-----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, Bdhy0MkO98I1pOoDYWPQkWkrDi2Ei2VLo4bdWf6+qa4DcpwtA0DxkAMqQMtzcbZQ Tni3ETkT5SjGTuMYC4wytA== 0001047469-05-020844.txt : 20050805 0001047469-05-020844.hdr.sgml : 20050805 20050805122419 ACCESSION NUMBER: 0001047469-05-020844 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20050531 FILED AS OF DATE: 20050805 DATE AS OF CHANGE: 20050805 EFFECTIVENESS DATE: 20050805 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 SEC ACT: 1940 Act SEC FILE NUMBER: 811-06067 FILM NUMBER: 051001680 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 1 a2159865zn-csrs.txt N-CSRS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-6067 ---------------------------------------------- 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: December 1, 2004 - May 31, 2005 ITEM 1. REPORTS TO STOCKHOLDERS. ================================================================================ Dimensional Investment Group Inc. U.S. Large Company Institutional Index Portfolio SEMI-ANNUAL REPORT Six Months Ended May 31, 2005 (Unaudited) ================================================================================ DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS
PAGE ------ DIMENSIONAL INVESTMENT GROUP INC. Disclosure of Fund Expenses 1 Disclosure of Portfolio Holdings 2 Statement of Assets and Liabilities 3 Statement of Operations 4 Statements of Changes in Net Assets 5 Financial Highlights 6 Notes to Financial Statements 7 THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE COMPANY SERIES Disclosure of Fund Expenses 10 Disclosure of Portfolio Holdings 11 Schedule of Investments 12 Statement of Assets and Liabilities 15 Statement of Operations 16 Statements of Changes in Net Assets 17 Financial Highlights 18 Notes to Financial Statements 19 VOTING PROXIES ON FUND PORTFOLIO SECURITIES 22 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 23
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ---------- ---------- --------- -------- Actual Fund Return $ 1,000.00 $ 1,024.00 0.10% $ 0.50 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.50 0.10% $ 0.50
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 1 DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The Dimensional Investment Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Investment Companies 100.0% ----- 100.0% =====
2 DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investment in The U.S. Large Company Series of The DFA Investment Trust Company (Cost $500,545) at Value+ $ 615,238 Receivable for Fund Shares Sold 649 Prepaid Expenses and Other Assets 1 ------------- Total Assets 615,888 ------------- LIABILITIES: Payables: Investment Securities Purchased 602 Fund Shares Redeemed 47 Due to Advisor 3 Accrued Expenses and Other Liabilities 47 ------------- Total Liabilities 699 ------------- NET ASSETS $ 615,189 ============= SHARES OUTSTANDING, $0.01 PAR VALUE (Authorized 200,000,000 Shares) 65,770,363 ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 9.35 =============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 3 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Dividends $ 5,060 Interest 158 Income from Securities Lending 15 Expenses Allocated from Master Funds (147) ------------- Total Investment Income 5,086 ------------- EXPENSES Administrative Services 143 Accounting & Transfer Agent Fees 60 Legal Fees 9 Audit Fees 2 Filing Fees 25 Shareholders' Reports 21 Directors' Fees and Expenses 2 Other 3 ------------- Total Expenses 265 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C) (126) ------------- Net Expenses 139 ------------- NET INVESTMENT INCOME (LOSS) 4,947 ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold (2,582) Net Realized Gain (Loss) on Futures 373 Change in Unrealized Appreciation (Depreciation) of: Investment Securities 11,143 Futures (212) ------------- NET GAIN (LOSS) 8,722 ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 13,669 =============
See accompanying Notes to Financial Statements. 4 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 -------------- -------------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 4,947 $ 9,275 Net Realized Gain (Loss) on Investment Securities Sold (2,582) (372) Net Realized Gain (Loss) on Futures 373 1,279 Change in Unrealized Appreciation (Depreciation) of: Investment Securities 11,143 45,364 Futures (212) 118 -------------- -------------- Net Increase (Decrease) in Net Assets Resulting from Operations 13,669 55,664 -------------- -------------- Distributions From: Net Investment Income (5,987) (7,110) -------------- -------------- Total Distributions (5,987) (7,110) -------------- -------------- Capital Share Transactions (1): Shares Issued 90,710 126,003 Shares Issued in Lieu of Cash Distributions 5,891 7,025 Shares Redeemed (23,379) (46,252) -------------- -------------- Net Increase (Decrease) from Capital Share Transactions 73,222 86,776 -------------- -------------- Total Increase (Decrease) 80,904 135,330 NET ASSETS Beginning of Period 534,285 398,955 -------------- -------------- End of Period $ 615,189 $ 534,285 ============== ============== (1) SHARES ISSUED AND REDEEMED: Shares Issued 9,782 14,335 Shares Issued in Lieu of Cash Distributions 629 802 Shares Redeemed (2,513) (5,239) -------------- -------------- 7,898 9,898 ============== ==============
See accompanying Notes to Financial Statements. 5 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 9.23 $ 8.32 $ 7.36 $ 8.94 $ 10.31 $ 10.87 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.08 0.17 0.13 0.11 0.11 0.11 Net Gains (Losses) on Securities (Realized and Unrealized) 0.14 0.88 0.95 (1.58) (1.37) (0.57) ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations 0.22 1.05 1.08 (1.47) (1.26) (0.46) - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.10) (0.14) (0.12) (0.11) (0.11) (0.10) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.10) (0.14) (0.12) (0.11) (0.11) (0.10) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 9.35 $ 9.23 $ 8.32 $ 7.36 $ 8.94 $ 10.31 ================================================================================================================================== Total Return 2.40%# 12.66% 14.94% (16.61)% (12.31)% (4.28)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 615,189 $ 534,285 $ 398,955 $ 305,408 $ 219,629 $ 174,078 Ratio of Expenses to Average Net Assets (1) 0.10%* 0.10% 0.11% 0.10% 0.10% 0.10% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees) (1) 0.14%* 0.15% 0.16% 0.17% 0.16% 0.17% Ratio of Net Investment Income to Average Net Assets 1.74%* 1.96% 1.69% 1.49% 1.22% 1.07% Portfolio Turnover Rate of Master Fund Series 3%# 2% 8% 11% 8% 8%
* Annualized # Non-annualized (1) Represents the combined ratio for the Portfolio and its respective pro-rata share of the Master Fund Series. See accompanying Notes to Financial Statements. 6 DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO 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 consists of sixteen portfolios, of which U.S. Large Company Institutional Index Portfolio (the "Portfolio") is presented in this report. The Portfolio invests all of its assets in The U.S. Large Company Series (the "Series" or the "Master Fund"), a corresponding series of The DFA Investment Trust Company. At May 31, 2005, the Portfolio owned 16% of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The Portfolio's investment reflects its proportionate interest in the net assets of the Series. 2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $8,991. 3. OTHER: The Portfolio accrues its share of income and expenses daily on its investment in the Series, which is treated as a partnership for federal income tax purposes. All of the net investment income and realized and unrealized gains or losses from the security transactions of the Series are allocated pro rata among its investors at the time of such determination. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Expenses directly attributable to the Portfolio are directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides administrative services to the Portfolio, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. The Advisor provides investment advisory services to the Series. For the six months ended May 31, 2005, the Portfolio's Administrative Fees were accrued daily and paid monthly to the Advisor at an effective annual rate of 0.05 of 1% of average daily net assets. 7 Pursuant to a Fee Expense Waiver and Assumption Agreement for the U.S. Large Company Institutional Index Portfolio, the Advisor has agreed to waive its administration fee to the extent necessary to reduce the Portfolio's expenses to the extent that its total direct and indirect expenses (including the expenses the Portfolio bears as a shareholder of the Master Fund) exceed 0.10% of its average net assets on an annualized basis. At any time that the total direct and indirect expenses of the Portfolio are less than 0.10% of its average net assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived to the extent that such reimbursement will not cause the Portfolio's total direct and indirect expenses to exceed 0.10% of its average net assets on an annualized basis. The Portfolio is not obligated to reimburse the Advisor for fees waived by the Advisor more than thirty-six months prior to the date of such reimbursement. The Fee Expense Waiver and Assumption Agreement will remain in effect for a period of one year from April 1, 2005 to April 1, 2006, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. At May 31, 2005, approximately $589,000 of previously waived fees are subject to future reimbursement to the Advisor over various periods not exceeding May 31, 2008. Certain officers of the Fund are also officers, directors and shareholders of the Advisor. D. FEDERAL INCOME TAXES: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL ------------- ------------- --------- 2004 $ 7,110 -- $ 7,110 2003 5,127 -- 5,127
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. As of November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED CAPITAL EARNINGS NET INVESTMENT LOSS (ACCUMULATED INCOME CARRY FORWARDS LOSSES) -------------- -------------- -------------- $ 3,731 $ (81,270) $ (77,539)
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at November 30, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. At November 30, 2004, the Portfolio had a capital loss carryforward available to offset future realized gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON NOVEMBER 30, ----------------------------------------- 2008 2009 2010 2011 TOTAL -------- -------- -------- -------- -------- $ 692 $ 51,761 $ 14,821 $ 13,996 $ 81,270
8 At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ---------- ------------ ------------ -------------- $ 516,940 $ 114,693 $ (16,395) $ 98,298
E. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
ACCUMULATED UNREALIZED ACCUMULATED NET REALIZED APPRECIATION NET GAIN (LOSS) (DEPRECIATION) INVESTMENT OF INVESTMENT OF INVESTMENT PAID-IN INCOME SECURITIES AND SECURITIES AND TOTAL NET CAPITAL (LOSS) FUTURES FUTURES ASSETS --------- ----------- -------------- -------------- ----------- $ 597,092 $ 2,660 $ (99,256) $ 114,693 $ 615,189
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 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings by the Portfolio under the discretionary line of credit during the six months ended May 31, 2005. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement of the line of credit expires on April 2, 2006. There were no borrowings by the Portfolio under the line of credit during the six months ended May 31, 2005. G. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 9 THE DFA INVESTMENT TRUST COMPANY THE U.S. LARGE COMPANY SERIES DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ---------- ---------- ---------- -------- Actual Fund Return $ 1,000.00 $ 1,024.40 0.05% $ 0.25 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.75 0.05% $ 0.25
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 10 THE DFA INVESTMENT TRUST COMPANY THE U.S. LARGE COMPANY SERIES DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment Trust Company, this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Financials 19.5% Information Technology 15.5 Health Care 13.4 Industrials 11.5 Consumer Discretionary 11.4 Consumer Staples 10.4 Energy 8.3 Utilities 3.3 Telecommunication Services 3.1 Materials 3.0 REITS 0.6 -------- 100.0% ========
11 THE U.S. LARGE COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (92.4%) Financials -- (18.1%) # Ace, Ltd. 98,800 $ 4,270,136 AFLAC, Inc. 174,400 7,246,320 # Allstate Corp. 236,000 13,735,200 AMBAC Financial Group, Inc. 37,800 2,727,270 American Express Co. 407,600 21,949,260 American International Group, Inc. 905,100 50,278,305 AmSouth Bancorporation 123,400 3,289,844 AON Corp. 109,900 2,739,807 Bank of America Corp. 1,408,600 65,246,352 Bank of New York Co., Inc. 270,500 7,795,810 # BB&T Corp. 190,600 7,612,564 # Bear Stearns Companies, Inc. 39,300 3,892,272 Capital One Financial Corp. 85,900 6,476,860 Chubb Corp. 66,500 5,601,295 Cincinnati Financial Corp. 58,005 2,289,457 CIT Group, Inc. 73,300 3,109,386 Citigroup, Inc. 1,815,800 85,542,338 Comerica, Inc. 59,200 3,308,096 Compass Bancshares, Inc. 43,000 1,916,510 Countrywide Financial Corp. 201,700 7,497,189 * E*TRADE Financial Corp. 128,800 1,590,680 Federal Home Loan Mortgage Corporation 239,100 15,551,064 Federal National Mortgage Association 336,400 19,928,336 Federated Investors, Inc. 33,100 980,091 Fifth Third Bancorp 180,700 7,701,434 # First Horizon National Corp. 42,800 1,807,444 Franklin Resources, Inc. 68,800 4,963,232 Golden West Financial Corp. 98,200 6,149,284 Hartford Financial Services Group, Inc. 102,800 7,688,412 Huntington Bancshares, Inc. 80,500 1,877,260 Janus Capital Group, Inc. 82,000 1,259,520 Jefferson-Pilot Corp. 47,400 2,388,960 JPMorgan Chase & Co. 1,235,000 44,151,250 KeyCorp 141,200 4,625,712 Lehman Brothers Holdings, Inc. 95,900 8,841,980 # Lincoln National Corp. 60,600 2,759,118 Loews Corp. 55,500 4,179,150 M&T Bank Corp. 34,200 3,493,188 Marsh & McLennan Companies, Inc. 183,800 5,337,552 Marshall & Ilsley Corp. 72,100 3,137,071 MBIA, Inc. 48,900 2,734,977 MBNA Corp. 444,000 9,363,960
1 Mellon Financial Corp. 147,200 4,086,272 Merrill Lynch & Co., Inc. 323,500 17,553,110 MetLife, Inc. 254,700 11,359,620 MGIC Investment Corp. 33,600 2,061,024 # Moody's Corp. 95,400 4,127,958 Morgan Stanley 386,600 18,927,936 National City Corp. 206,500 7,136,640 North Fork Bancorporation, Inc. 163,600 4,459,736 Northern Trust Corp. 70,700 3,246,544 PNC Financial Services Group 98,300 5,372,095 Principal Financial Group, Inc. 104,100 4,152,549 Progressive Corp. 69,600 6,686,472 * Providian Financial Corp. 101,900 1,815,858 Prudential Financial, Inc. 182,100 11,528,751 # Regions Financial Corp. 161,400 5,435,952 Safeco Corp. 44,200 2,378,402 Schwab (Charles) Corp. 399,000 4,524,660 SLM Corp. 149,400 7,211,538 Sovereign Bancorp, Inc. 130,300 2,908,296 State Street Corp. 115,900 5,563,200 SunTrust Banks, Inc. 117,900 8,678,619 Synovus Financial Corp. 108,100 3,142,467 T. Rowe Price Group, Inc. 43,000 2,565,380 The Goldman Sachs Group, Inc. 155,600 15,171,000 The St. Paul Travelers Companies, Inc. 232,500 8,807,100 Torchmark Corp. 37,600 1,983,400 U.S. Bancorp 644,100 18,891,453 UnumProvident Corp. 103,400 1,898,424 Wachovia Corp. 550,900 27,958,175 Washington Mutual, Inc. 303,500 12,534,550 Wells Fargo & Co. 589,300 35,599,613 XL Capital, Ltd. 48,300 3,636,024 Zions Bancorporation 31,200 2,210,208 ---------------- Total Financials (Cost $518,161,659) 740,646,972 ---------------- Information Technology -- (14.3%) * ADC Telecommunications, Inc. 40,242 730,795 # Adobe Systems, Inc. 169,200 5,593,752 * Advanced Micro Devices, Inc. 136,900 2,245,160 * Affiliated Computer Services, Inc. Class A 44,000 2,276,120 * Agilent Technologies, Inc. 150,200 3,606,302 * Altera Corp. 129,400 2,871,386 Analog Devices, Inc. 129,500 4,801,860 * Andrew Corp. 55,900 741,234 * Apple Computer, Inc. 284,000 11,277,640 Applied Materials, Inc. 579,600 9,511,236 * Applied Micro Circuits Corp. 107,000 307,090 Autodesk, Inc. 79,800 3,158,484 Automatic Data Processing, Inc. 202,600 8,873,880 * Avaya, Inc. 166,700 1,525,305 * BMC Software, Inc. 76,900 1,308,838 * Broadcom Corp. 101,000 3,584,490 * Ciena Corp. 198,900 433,602 * Cisco Sytems, Inc. 2,246,300 43,533,294
2 * Citrix Systems, Inc. 59,000 1,484,440 Computer Associates International, Inc. 185,968 5,071,347 * Computer Sciences Corp. 66,400 3,074,984 * Compuware Corp. 134,600 922,010 * Comverse Technology, Inc. 68,800 1,618,864 * Convergys Corp. 49,400 673,322 * Corning, Inc. 489,900 7,681,632 * Dell, Inc. 854,600 34,089,994 * Electronic Arts, Inc. 107,000 5,621,780 Electronic Data Systems Corp. 179,900 3,544,030 * EMC Corp. 835,900 11,752,754 First Data Corp. 278,700 10,543,221 * Fiserv, Inc. 67,100 2,885,300 * Freescale Semiconductor, Inc. Class B 139,600 2,819,920 * Gateway, Inc. 103,900 359,494 Hewlett-Packard Co. 1,006,200 22,649,562 Intel Corp. 2,163,800 58,271,134 International Business Machines Corp. 567,300 42,859,515 * Intuit, Inc. 64,500 2,787,690 * Jabil Circuit, Inc. 63,800 1,864,874 * JDS Uniphase Corp. 502,000 768,060 # KLA-Tencor Corp. 68,400 3,106,044 * Lexmark International, Inc. 44,000 3,011,360 Linear Technology Corp. 106,700 3,998,049 * LSI Logic Corp. 133,700 984,032 * # Lucent Technologies, Inc. 1,539,700 4,326,557 Maxim Integrated Products, Inc. 113,600 4,475,840 * Mercury Interactive Corp. 29,300 1,322,016 * Micron Technology, Inc. 213,300 2,342,034 Microsoft Corp. 3,516,200 90,717,960 Molex, Inc. 58,300 1,544,367 Motorola, Inc. 852,000 14,799,240 National Semiconductor Corp. 123,500 2,484,820 * NCR Corp. 64,700 2,369,961 * Network Appliance, Inc. 127,200 3,658,272 * Novell, Inc. 131,700 770,445 * Novellus Systems, Inc. 48,600 1,295,190 * Nvidia Corp. 57,800 1,571,582 * Oracle Corp. 1,561,500 20,018,430 * Parametric Technology Corp. 94,000 565,880 Paychex, Inc. 123,600 3,569,568 * PMC-Sierra, Inc. 62,400 547,248 * QLogic Corp. 31,900 1,021,438 Qualcomm, Inc. 571,900 21,308,994 Sabre Holdings Corp. 45,700 917,199 * Sanmina-SCI Corp. 181,900 933,147 Scientific-Atlanta, Inc. 52,900 1,761,570 * Siebel Systems, Inc. 178,900 1,649,458 * Solectron Corp. 337,400 1,231,510 * Sun Microsystems, Inc. 1,173,900 4,472,559 * Sungard Data Systems, Inc. 100,300 3,481,413 * # Symantec Corp. 246,500 5,573,365 Symbol Technologies, Inc. 84,300 970,293 Tektronix, Inc. 31,100 705,037 * Tellabs, Inc. 160,500 1,319,310
3 * Teradyne, Inc. 67,400 876,874 Texas Instruments, Inc. 598,200 16,534,248 * Unisys Corp. 117,200 848,528 * Veritas Software Corp. 146,600 3,645,942 * Xerox Corp. 332,700 4,514,739 Xilinx, Inc. 121,100 3,360,525 * Yahoo!, Inc. 453,100 16,855,320 ---------------- Total Information Technology (Cost $560,187,362) 587,184,759 ---------------- Health Care -- (12.4%) Abbott Laboratories 541,700 26,131,608 Aetna, Inc. 102,300 7,980,423 Allergan, Inc. 45,700 3,533,067 AmerisourceBergen Corp. 36,600 2,363,262 * Amgen, Inc. 435,400 27,247,332 Applera Corp. - Applied Biosystems Group 68,300 1,462,303 Bard (C.R.), Inc. 36,400 2,484,300 Bausch & Lomb, Inc. 18,700 1,460,283 Baxter International, Inc. 215,400 7,948,260 Becton Dickinson & Co. 88,000 5,055,600 * Biogen Idec, Inc. 115,900 4,531,690 Biomet, Inc. 87,900 3,312,951 * Boston Scientific Corp. 264,100 7,154,469 Bristol-Myers Squibb Co. 679,000 17,219,440 # Cardinal Health, Inc. 150,700 8,730,051 * # Caremark Rx, Inc. 158,900 7,096,474 * Chiron Corp. 51,300 1,925,802 Cigna Corp. 45,700 4,444,325 Eli Lilly & Co. 393,700 22,952,710 * # Express Scripts, Inc. 26,400 2,439,096 * # Fisher Scientific International, Inc. 40,800 2,548,368 * Forest Laboratories, Inc. 122,100 4,710,618 * Genzyme Corp. 86,100 5,371,779 * Gilead Sciences, Inc. 150,400 6,136,320 Guidant Corp. 112,100 8,283,069 HCA, Inc. 143,100 7,727,400 # Health Management Associates, Inc. 84,800 2,138,656 * Hospira, Inc. 54,300 2,067,744 * Humana, Inc. 55,900 2,032,524 IMS Health, Inc. 80,600 1,978,730 Johnson & Johnson 1,033,300 69,334,430 * King Pharmaceuticals, Inc. 84,000 794,640 * Laboratory Corp. of America Holdings 46,900 2,272,305 Manor Care, Inc. 29,900 1,161,914 McKesson Corp. 102,600 4,131,702 * Medco Health Solutions, Inc. 95,600 4,780,000 * Medimmune, Inc. 86,400 2,280,960 Medtronic, Inc. 420,300 22,591,125 Merck & Co., Inc. 767,300 24,891,212 * Millipore Corp. 17,300 890,777 Mylan Laboratories, Inc. 93,600 1,544,400 PerkinElmer, Inc. 45,100 862,763 Pfizer, Inc. 2,592,500 72,330,750 Quest Diagnostics, Inc. 31,700 3,328,500
4 Schering-Plough Corp. 512,500 9,993,750 * St. Jude Medical, Inc. 125,400 5,031,048 Stryker Corp. 130,200 6,334,230 * Tenet Healthcare Corp. 162,800 1,973,136 * Thermo Electron Corp. 55,600 1,463,392 UnitedHealth Group, Inc. 445,800 21,656,964 * Waters Corp. 42,000 1,631,700 * Watson Pharmaceuticals, Inc. 38,100 1,145,286 * WellPoint, Inc. 106,000 14,098,000 Wyeth 464,300 20,136,691 * Zimmer Holdings, Inc. 85,700 6,562,906 ---------------- Total Health Care (Cost $377,818,748) 509,691,235 ---------------- Industrials -- (10.7%) 3M Co. 268,400 20,572,860 * Allied Waste Industries, Inc. 94,300 727,053 American Power Conversion Corp. 62,400 1,588,704 American Standard Companies, Inc. 62,600 2,679,280 Avery Dennison Corp. 35,400 1,856,730 # Boeing Co. 289,300 18,486,270 Burlington Northern Santa Fe Corp. 131,500 6,498,730 Caterpillar, Inc. 119,200 11,217,912 Cendant Corp. 366,600 7,775,586 Cintas Corp. 51,900 2,095,203 Cooper Industries, Ltd. 32,200 2,219,868 CSX Corp. 74,900 3,114,342 # Cummins, Inc. 14,900 1,012,455 # Danaher Corp. 95,600 5,270,428 Deere & Co. 85,800 5,675,670 * # Delta Air Lines, Inc. 48,600 187,110 Donnelley (R.R.) & Sons Co. 74,900 2,490,425 Dover Corp. 70,800 2,681,196 Eaton Corp. 53,100 3,178,035 Emerson Electric Co. 145,700 9,684,679 Equifax, Inc. 46,900 1,626,961 FedEx Corp. 104,700 9,362,274 # Fluor Corp. 29,700 1,706,265 General Dynamics Corp. 69,600 7,515,408 General Electric Co. 3,683,200 134,363,136 Goodrich (B.F.) Co. 41,700 1,745,562 Honeywell International, Inc. 295,600 10,709,588 Illinois Tool Works, Inc. 95,400 8,054,622 Ingersoll-Rand Co., Ltd. Class A 60,200 4,660,082 ITT Industries, Inc. 32,000 3,040,000 L-3 Communications Holdings, Inc. 40,100 2,838,278 Lockheed Martin Corp. 139,500 9,052,155 Masco Corp. 155,700 4,985,514 * Monster Worldwide, Inc. 41,900 1,105,322 * Navistar International Corp. 22,900 698,679 Norfolk Southern Corp. 139,200 4,443,264 Northrop Grumman Corp. 125,200 6,976,144 Paccar, Inc. 60,400 4,273,300 Pall Corp. 43,100 1,258,089 Parker Hannifin Corp. 41,700 2,515,761
5 Pitney Bowes, Inc. 80,200 3,577,722 Raytheon Co. 157,400 6,163,784 Robert Half International, Inc. 55,900 1,394,146 Rockwell Automation, Inc. 60,800 3,123,296 Rockwell Collins, Inc. 61,900 3,057,241 Ryder System, Inc. 22,300 819,302 Southwest Airlines Co. 256,000 3,724,800 Textron, Inc. 46,900 3,624,901 Tyco International, Ltd. 699,600 20,239,428 Union Pacific Corp. 90,700 6,073,272 United Parcel Service, Inc. 389,000 28,649,850 United Technologies Corp. 178,000 18,992,600 W.W. Grainger, Inc. 29,000 1,577,310 Waste Management, Inc. 197,500 5,824,275 ---------------- Total Industrials (Cost $311,260,626) 436,784,867 ---------------- Consumer Discretionary -- (10.5%) * Apollo Group, Inc. Class A 57,600 4,521,600 * AutoNation, Inc. 78,500 1,569,215 * Autozone, Inc. 23,500 2,127,220 * Bed Bath and Beyond, Inc. 105,100 4,272,315 Best Buy Co., Inc. 103,800 5,649,834 * Big Lots, Inc. 39,200 496,272 # Black & Decker Corp. 27,900 2,436,228 Brunswick Corp. 33,700 1,450,448 Carnival Corp. 183,100 9,685,990 Centex Corp. 44,000 2,881,120 Circuit City Stores, Inc. 66,400 1,088,296 Clear Channel Communications, Inc. 183,200 5,354,936 * Coach, Inc. 132,900 3,859,416 * Comcast Corp. Class A 768,700 24,752,140 Cooper Tire & Rubber Co. 22,300 424,592 Dana Corp. 52,100 705,955 Darden Restaurants, Inc. 51,300 1,666,224 Delphi Corp. 195,000 848,250 Dillards, Inc. Class A 24,500 586,040 Disney (Walt) Co. 711,400 19,520,816 Dollar General Corp. 104,700 2,053,167 Dow Jones & Co., Inc. 24,500 869,750 Eastman Kodak Co. 99,600 2,617,488 * # eBay, Inc. 420,500 15,983,205 Family Dollar Stores, Inc. 58,300 1,496,561 # Federated Department Stores, Inc. 58,900 3,972,805 Ford Motor Co. 636,200 6,349,276 Fortune Brands, Inc. 50,400 4,359,600 Gannett Co., Inc. 87,300 6,500,358 Gap, Inc. 275,500 5,785,500 # General Motors Corp. 196,300 6,189,339 Genuine Parts Co. 60,700 2,607,672 * # Goodyear Tire & Rubber Co. 61,100 879,229 H&R Block, Inc. 57,400 2,865,408 Harley-Davidson, Inc. 101,500 4,976,545 # Harrahs Entertainment, Inc. 39,500 2,836,495 Hasbro, Inc. 58,000 1,170,440
6 Hilton Hotels Corp. 133,700 3,239,551 Home Depot, Inc. 763,000 30,024,050 International Game Technology 119,900 3,378,782 * Interpublic Group of Companies, Inc. 146,900 1,812,746 Johnson Controls, Inc. 66,400 3,762,224 Jones Apparel Group, Inc. 42,600 1,359,366 KB Home 29,000 1,958,660 Knight-Ridder, Inc. 26,300 1,659,004 * Kohl's Corp. 113,300 5,516,577 Leggett & Platt, Inc. 66,300 1,766,232 Limited Brands, Inc. 132,800 2,731,696 Liz Claiborne, Inc. 37,800 1,419,390 # Lowe's Companies, Inc. 268,600 15,366,606 Marriott International, Inc. Class A 69,800 4,714,292 # Mattel, Inc. 144,800 2,632,464 May Department Stores Co. 101,500 3,873,240 # Maytag Corp. 27,700 404,143 McDonald's Corp. 442,000 13,675,480 McGraw-Hill Companies, Inc. 132,400 5,780,584 Meredith Corp. 15,800 783,680 Newell Rubbermaid, Inc. 95,500 2,176,445 News Corp. Class A 864,600 13,945,998 NIKE, Inc. Class B 79,800 6,559,560 Nordstrom, Inc. 43,800 2,673,552 * Office Depot, Inc. 108,700 2,143,564 OfficeMax, Inc. 24,400 740,540 Omnicom Group, Inc. 64,800 5,306,472 Penney (J.C.) Co., Inc. 94,100 4,682,416 Pulte Homes, Inc. 41,200 3,149,740 RadioShack Corp. 55,100 1,386,316 # Reebok International, Ltd. 19,500 793,845 * Sears Holdings Corp. 22,865 3,354,295 Sherwin-Williams Co. 44,000 1,955,800 # Snap-On, Inc. 20,100 693,651 Staples, Inc. 258,250 5,560,123 * Starbucks Corp. 138,900 7,604,775 Starwood Hotels & Resorts Worldwide, Inc. 73,900 4,136,183 Target Corp. 311,100 16,706,070 # The New York Times Co. Class A 50,700 1,590,459 The Stanley Works 26,100 1,164,321 The TJX Companies, Inc. 167,400 3,838,482 # Tiffany & Co. 50,600 1,575,178 * Time Warner, Inc. 1,597,100 27,789,540 * Toys R Us, Inc. 74,800 1,959,760 Tribune Co. 103,700 3,751,866 * Univision Communications, Inc. Class A 101,400 2,698,254 V.F. Corp. 34,700 1,958,121 Viacom, Inc. Class B 592,500 20,316,825 # Visteon Corp. 45,100 344,113 Wendy's International, Inc. 39,600 1,787,148 Whirlpool Corp. 23,300 1,603,040 Yum! Brands, Inc. 101,300 5,195,677 ---------------- Total Consumer Discretionary (Cost $353,509,371) 430,410,641 ----------------
7 Consumer Staples -- (9.6%) Alberto-Culver Co. Class B 29,400 1,303,302 # Albertson's, Inc. 127,900 2,684,621 # Altria Group, Inc. 718,900 48,266,946 Anheuser-Busch Companies, Inc. 270,000 12,649,500 Archer-Daniels-Midland Co. 216,500 4,297,525 Avon Products, Inc. 163,900 6,513,386 Brown-Forman Corp. Class B 31,300 1,866,106 Campbell Soup Co. 113,200 3,512,596 Clorox Co. 53,300 3,113,253 Coca-Cola Co. 787,200 35,132,736 Coca-Cola Enterprises, Inc. 122,500 2,680,300 Colgate-Palmolive Co. 182,600 9,124,522 ConAgra, Inc. 179,100 4,683,465 Costco Wholesale Corp. 164,200 7,457,964 CVS Corp. 139,100 7,629,635 General Mills, Inc. 126,800 6,276,600 Gillette Co. 344,500 18,168,930 Heinz (H.J.) Co. 121,600 4,422,592 Hershey Foods Corp. 76,000 4,879,960 Kellogg Co. 121,900 5,545,231 Kimberly-Clark Corp. 167,200 10,755,976 McCormick & Co., Inc. 47,100 1,593,864 Molson Coors Brewing Co. 28,000 1,637,160 Pepsi Bottling Group, Inc. 68,800 1,951,856 PepsiCo, Inc. 583,200 32,834,160 Procter & Gamble Co. 876,500 48,338,975 # Reynolds American, Inc. 40,500 3,357,855 * Safeway, Inc. 155,500 3,422,555 Sara Lee Corp. 274,300 5,565,547 Supervalu, Inc. 46,900 1,536,444 Sysco Corp. 221,300 8,223,508 * The Kroger Co. 254,400 4,266,288 UST, Inc. 57,400 2,557,744 # Walgreen Co. 354,900 16,091,166 Wal-Mart Stores, Inc. 1,177,200 55,599,156 Wrigley (Wm.) Jr. Co. 68,000 4,642,360 ---------------- Total Consumer Staples (Cost $263,498,630) 392,583,784 ---------------- Energy -- (7.7%) Amerada Hess Corp. 29,600 2,748,360 # Anadarko Petroleum Corp. 82,300 6,230,110 # Apache Corp. 113,500 6,669,260 Ashland, Inc. 23,100 1,577,730 Baker Hughes, Inc. 117,500 5,427,325 BJ Services Co. 56,400 2,839,740 Burlington Resources, Inc. 134,500 6,816,460 ChevronTexaco Corp. 731,200 39,323,936 ConocoPhillips 241,700 26,064,928 Devon Energy Corp. 166,500 7,642,350 # El Paso Corp. 223,600 2,312,024 EOG Resources, Inc. 83,100 4,145,859 Exxon Mobil Corp. 2,218,900 124,702,180 Halliburton Co. 175,300 7,492,322
8 # Kerr-McGee Corp. 40,500 2,991,330 Kinder Morgan, Inc. 38,200 2,968,522 Marathon Oil Corp. 120,600 5,847,894 * Nabors Industries, Ltd. 49,200 2,711,412 * National-Oilwell, Inc. 58,300 2,623,500 # Noble Corp. 47,100 2,666,802 Occidental Petroleum Corp. 138,000 10,089,180 Rowan Companies, Inc. 37,200 1,023,000 Schlumberger, Ltd. 204,900 14,009,013 Sunoco, Inc. 24,100 2,471,937 The Williams Companies, Inc. 198,200 3,648,862 * # Transocean, Inc. 111,600 5,558,796 Unocal Corp. 94,000 5,357,060 Valero Energy Corp. 89,200 6,120,904 XTO Energy, Inc. 120,700 3,756,184 ---------------- Total Energy (Cost $190,448,944) 315,836,980 ---------------- Utilities -- (3.0%) * AES Corp. 225,500 3,357,695 * Allegheny Energy, Inc. 56,300 1,361,334 Ameren Corp. 67,900 3,705,982 American Electric Power Co., Inc. 133,200 4,753,908 * # Calpine Corp. 185,600 553,088 CenterPoint Energy, Inc. 100,500 1,232,130 Cinergy Corp. 66,500 2,741,795 * # CMS Energy Corp. 74,900 990,927 Consolidated Edison, Inc. 84,300 3,836,493 Constellation Energy Group 61,400 3,281,830 Dominion Resources, Inc. 118,400 8,324,704 DTE Energy Co. 60,500 2,876,170 # Duke Energy Corp. 325,900 8,955,732 * Dynegy, Inc. 115,000 534,750 Edison International 113,200 4,160,100 Entergy Corp. 74,100 5,322,603 Exelon Corp. 231,000 10,822,350 FirstEnergy Corp. 114,600 5,076,780 FPL Group, Inc. 135,900 5,524,335 KeySpan Corp. 60,100 2,388,374 Nicor, Inc. 15,300 604,350 NiSource, Inc. 94,300 2,272,630 Peoples Energy Corp. 13,200 564,300 PG&E Corp. 125,400 4,485,558 Pinnacle West Capital Corp. 33,700 1,486,844 # PPL Corp. 65,700 3,778,407 Progress Energy, Inc. 85,800 3,794,934 Public Service Enterprise Group, Inc. 82,900 4,600,950 Sempra Energy 82,800 3,284,676 Southern Co. 258,200 8,765,890 TECO Energy, Inc. 71,700 1,267,656 TXU Corp. 83,500 6,703,380 Xcel Energy, Inc. 139,400 2,569,142 ---------------- Total Utilities (Cost $94,737,953) 123,979,797 ----------------
9 Telecommunication Services -- (2.9%) Alltel Corp. 113,600 6,608,112 AT&T Corp. 278,100 5,225,499 BellSouth Corp. 636,400 17,030,064 CenturyTel, Inc. 46,700 1,531,293 # Citizens Communications Co. 116,600 1,590,424 * Nextel Communications, Inc. 391,500 11,815,470 * Qwest Communications International, Inc. 580,700 2,276,344 SBC Communications, Inc. 1,147,900 26,837,902 Sprint Corp. 513,600 12,167,184 Verizon Communications, Inc. 962,600 34,056,788 ---------------- Total Telecommunication Services (Cost $138,008,205) 119,139,080 ---------------- Materials -- (2.7%) Air Products & Chemicals, Inc. 79,100 4,764,193 Alcoa, Inc. 302,900 8,208,590 Allegheny Technologies, Inc. 31,100 661,186 Ball Corp. 38,200 1,434,410 Bemis Co., Inc. 37,200 1,010,352 Dow Chemical Co. 331,300 15,004,577 DuPont (E.I.) de Nemours & Co., Inc. 346,500 16,115,715 Eastman Chemical Co. 27,100 1,592,938 Ecolab, Inc. 76,700 2,479,711 Engelhard Corp. 42,400 1,246,560 Freeport-McMoRan Copper & Gold, Inc. Class B 62,100 2,192,130 Georgia-Pacific Corp. 90,300 2,992,542 Great Lakes Chemical Corp. 17,900 606,810 * Hercules, Inc. 38,900 537,598 International Flavors & Fragrances, Inc. 30,800 1,142,372 International Paper Co. 170,400 5,488,584 Louisiana-Pacific Corp. 38,500 969,430 # MeadWestavco Corp. 70,400 2,019,072 Monsanto Co. 92,500 5,272,500 Newmont Mining Corp. 154,300 5,746,132 Nucor Corp. 55,500 2,939,280 * Pactiv Corp. 51,600 1,179,060 Phelps Dodge Corp. 33,600 2,936,640 # PPG Industries, Inc. 60,200 3,936,478 Praxair, Inc. 112,100 5,254,127 Rohm & Haas Co. 67,600 3,153,540 * Sealed Air Corp. 29,000 1,501,910 Sigma-Aldrich Corp. 23,900 1,431,849 Temple-Inland, Inc. 39,800 1,421,656 United States Steel Corp. 39,600 1,574,892 Vulcan Materials Co. 35,800 2,145,494 Weyerhaeuser Co. 84,400 5,414,260 ---------------- Total Materials (Cost $84,499,322) 112,374,588 ---------------- Real Estate Investment Trusts -- (0.5%) Apartment Investment & Management Co. Class A 33,300 1,235,430 Archstone-Smith Trust 69,500 2,558,990 Equity Office Properties Trust 140,100 4,551,849 Equity Residential 98,300 3,528,970
10 Plum Creek Timber Co., Inc. 63,900 2,239,695 # ProLogis 64,000 2,613,760 Simon Property Group, Inc. 76,800 5,277,696 ---------------- Total Real Estate Investment Trusts 22,006,390 ---------------- (Cost $18,025,834) TOTAL COMMON STOCKS 3,790,639,093 ---------------- (Cost $2,910,156,654)
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (7.6%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05 (Collateralized by $512,215,000 U.S. STRIPS, rates ranging from 7.50% to 11.75%, maturities ranging from 11/15/14 to 11/15/24, valued at $239,637,495) to be repurchased at $234,956,078 (Cost $234,937,022) $ 234,937 234,937,022 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $77,493,000 FHLMC Notes 4.00%, 09/22/09, valued at $77,589,866) to be repurchased at $76,449,137 (Cost $76,443,000) 76,443 76,443,000 ---------------- 311,380,022 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $311,380,022) 311,380,022 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $3,221,536,676) $ 4,102,019,115 ================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 11 THE DFA INVESTMENT TRUST COMPANY THE U.S. LARGE COMPANY SERIES STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) ASSETS: Investments at Value (including $227,963 of securities on loan) $ 4,102,019 Cash 3,232 Receivables: Dividends and Interest 6,559 Fund Shares Sold 2,597 Securities Lending Income 39 Prepaid Expenses and Other Assets 24 ------------- Total Assets 4,114,470 ------------- LIABILITIES: Payables: Upon Return of Securities Loaned 234,937 Fund Shares Redeemed 693 Due to Advisor 79 Payable for Futures Margin Variation 435 Accrued Expenses and Other Liabilities 202 ------------- Total Liabilities 236,346 ------------- NET ASSETS $ 3,878,124 ============= Investments at Cost $ 3,221,537 =============
See accompanying Notes to Financial Statements. 15 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Dividends $ 32,510 Interest 1,014 Income from Securities Lending 94 ------------- Total Investment Income 33,618 ------------- EXPENSES Investment Advisory Services 459 Accounting & Transfer Agent Fees 275 Custodian Fees 68 Legal Fees 13 Audit Fees 19 S&P 500 Fees 40 Shareholders' Reports 21 Trustees' Fees and Expenses 16 Other 31 ------------- Total Expenses 942 ------------- NET INVESTMENT INCOME (LOSS) 32,676 ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold (16,162) Net Realized Gain (Loss) on Futures 3,238 Change in Unrealized Appreciation (Depreciation) of: Investment Securities 69,706 Futures (1,348) ------------- NET GAIN (LOSS) 55,434 ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 88,110 =============
See accompanying Notes to Financial Statements. 16 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 -------------- -------------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 32,676 $ 65,462 Net Realized Gain (Loss) on Investment Securities Sold (16,162) (2,763) Net Realized Gain (Loss) on Futures 3,238 9,374 Change in Unrealized Appreciation (Depreciation) of: Investment Securities 69,706 317,965 Futures (1,348) 714 -------------- -------------- Net Increase (Decrease) in Net Assets Resulting from Operations 88,110 390,752 -------------- -------------- Transactions in Interest: Contributions 465,880 571,038 Withdrawals (169,785) (468,868) -------------- -------------- Net Increase from Transactions in Interest 296,095 102,170 -------------- -------------- Total Increase (Decrease) 384,205 492,922 NET ASSETS Beginning of Period 3,493,919 3,000,997 -------------- -------------- End of Period $ 3,878,124 $ 3,493,919 ============== ==============
See accompanying Notes to Financial Statements. 17 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (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 2.44%# 12.77% 15.05% (16.59)% (12.30)% (4.25)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,878,124 $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812 Ratio of Expenses to Average Net Assets 0.05%* 0.05% 0.05% 0.05% 0.05% 0.06% Ratio of Net Investment Income to Average Net Assets 1.78%* 1.99% 1.75% 1.53% 1.26% 1.12% Portfolio Turnover Rate 3%# 2% 8% 11% 8% 8%
* Annualized # Non-annualized N/A Not applicable as The U.S. Large Company Series is organized as a partnership and does not have a unitized value. See accompanying Notes to Financial Statements. 18 THE DFA INVESTMENT TRUST COMPANY THE U.S. LARGE COMPANY SERIES 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. The Trust consists of twenty-one series, of which The U.S. Large Company Series (the "Series") is presented in this report. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the 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 requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Series which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day. Securities held by the Series that are listed on NASDAQ are valued at the NASDAQ Official Closing Price ("NOCP"). If there is no such reported sale price or NOCP for the day, the Series values securities at the mean between the quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the mean between the most recent bid and asked prices. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods determined by the Board of Trustees. 2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may defer payment of a percentage of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA 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) are included in Trustees' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities in the amount of $58,041. 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. 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 are allocated using methods approved by the Board of Trustees, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Series. For the six months ended May 31, 2005, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.025 of 1% of average daily net assets. Certain officers of the Trust are also officers, directors and shareholders of the Advisor. 19 D. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2005, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands): Purchases $ 423,290 Sales 99,310
There were no purchases or sales of U.S. Government Securities during the six months ended May 31, 2005. E. FEDERAL INCOME TAXES: No provision for federal income taxes is required since the Series is treated as a partnership for federal income tax purposes. Any interest, dividends and gains or losses have been deemed to have been "passed through" to its partners. At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ----------- ------------ ------------ -------------- $ 3,395,166 $ 1,107,748 $ (400,895) $ 706,853
F. 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 or with the Trust's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on May 31, 2005. 2. FUTURES CONTRACTS: During the six months ended May 31, 2005, the Series entered into futures contracts in accordance with its investment objectives. Upon entering into a futures contract, the Series deposits cash with 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 fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by the Series as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Series 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, 2005, the Series had outstanding 260 long futures contracts on the S&P 500 Index, all of which expire on June 17, 2005. The value of such contracts on May 31, 2005 was $77,499,500, which resulted in an unrealized gain of $1,607,600. Approximately $4,160,000 of cash has been segregated as collateral for the open futures contracts and has been accounted for as cash on the Statement of Assets and Liabilities. Risks 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. 20 G. LINE OF CREDIT: The Trust, together with other Dimensional-advised series, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each series is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each series is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings under the discretionary line of credit by the Series during the six months ended May 31, 2005. The Trust, together with other Dimensional-advised series, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each series is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each series is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement of the line of credit expires on April 2, 2006. There were no borrowings by the Series under the line of credit during the six months ended May 31, 2005. H. SECURITIES LENDING: As of May 31, 2005, the Series had securities on loan to broker/dealers, for which the Series held cash collateral. The Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% of the market value of the securities on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. The cash collateral received by the Series from securities on loan is invested in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. The Series paid fees for securities lending for the period ended May 31, 2005, which have been netted against the Income from Securities Lending on the Statements of Operations. For the six months ended May 31, 2005 the fees were approximately $23,000. I. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 21 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Trust uses in voting proxies relating to securities held in the portfolio is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dfaus.com and reflects the twelve-month period beginning July 1 and ending June 30. 22 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT At the Board meeting held on December 15, 2004 (the "Meeting"), the Board of Trustees of The DFA Investment Trust Company (the "Board") considered the continuation of the investment management agreement ("Advisory Agreement") for the series (the "Fund"). Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Advisory Agreement. The Independent Board Members, met with their independent counsel in advance of the Meeting to discuss the materials provided by the Advisor, the independent reports prepared by Lipper Analytical Services, Inc., and issues related to the continuation of the Advisory Agreement. At the Meeting, the Board considered a number of factors when considering the continuation of the Advisory Agreement for the Fund, including: (i) the nature, extent and quality of services provided by the Advisor to the Fund; (ii) the performance of the Fund and the Advisor; (iii) the fees and expenses borne by the Fund; (iv) the profitability realized by the Advisor from the relationship with the Fund; (v) whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of the advisory fee charged; (vi) comparisons of the services to be rendered and the amounts to be paid under other advisory contracts; and (vii) any benefits to be derived by the Advisor from its relationship with the Fund. When considering the nature and quality of the services provided by the Advisor to the Fund, the Board reviewed: (a) the scope and depth of the Advisor's organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor's investment advisory capabilities. The Board evaluated the Advisor's portfolio management process. The Board also considered the nature and character of non-investment management services provided by the Advisor. After analyzing the caliber of services provided by the Advisor to the Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to the Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund. In considering the performance of the Fund, the Board analyzed the Lipper reports, which compared the performance of the Fund with other funds in its respective peer group and peer universe, and noted that the performance of the Fund compared favorably with its peer group. The Board determined, among other things, that the performance of the Fund was acceptable as compared with relevant performance standards. When considering the fees and expenses borne by the Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Lipper reports. The Board concluded that the advisory fees and total expenses of the Fund over various periods were favorable in relation to its peer funds, and that the advisory fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large. The Board considered the profitability of the Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to the Fund, including administrative fees paid by the feeder portfolios. The Board considered the profitability to the Advisor of managing the Fund and other "non-1940 Act registered" investment vehicles. Upon closely examining the Advisor's profitability, the Board concluded, among other things, that it was reasonable. The Board also discussed whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of advisory fee charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory fee charged were inapplicable to the Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund. 23 After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Advisory Agreement for the Fund was in the best interests of the Fund and its shareholders. 24 DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY SEMI-ANNUAL REPORT SIX MONTHS ENDED MAY 31, 2005 (UNAUDITED) DFA INVESTMENT DIMENSIONS GROUP INC. SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS
PAGE ---- Disclosure of Fund Expenses 1 Disclosure of Portfolio Holdings 4 Schedules of Investments U.S. Large Company Portfolio 8 Enhanced U.S. Large Company Portfolio 8 U.S. Large Cap Value Portfolio 8 U.S. Small XM Value Portfolio 8 U.S. Small Cap Value Portfolio 9 U.S. Small Cap Portfolio 9 U.S. Micro Cap Portfolio 9 DFA Real Estate Securities Portfolio 10 Large Cap International Portfolio 12 International Small Company Portfolio 18 Japanese Small Company Portfolio 18 Pacific Rim Small Company Portfolio 18 United Kingdom Small Company Portfolio 19 Continental Small Company Portfolio 19 DFA International Small Cap Value Portfolio 20 Emerging Markets Portfolio 26 Emerging Markets Small Cap Portfolio 26 Emerging Markets Core Equity Portfolio 27 DFA One-Year Fixed Income Portfolio 31 DFA Two-Year Global Fixed Income Portfolio 31 DFA Five-Year Government Portfolio 32 DFA Five-Year Global Fixed Income Portfolio 33 DFA Intermediate Government Fixed Income Portfolio 35 DFA Short-Term Municipal Bond Portfolio 36 Statements of Assets and Liabilities 42 Statements of Operations 45 Statements of Changes in Net Assets 51 Financial Highlights 57 Notes to Financial Statements 69 Voting Proxies on Fund Portfolio Securities 177 Board Approval of Investment Advisory Agreements 178
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS
PAGE ---- Disclosure of Fund Expenses 83 Disclosure of Portfolio Holdings 84 Statement of Assets and Liabilities 85 Statement of Operations 86 Statements of Changes in Net Assets 87 Financial Highlights 88 Notes to Financial Statements 89
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. ii THE DFA INVESTMENT TRUST COMPANY SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS
PAGE ---- Disclosure of Fund Expenses 92 Disclosure of Portfolio Holdings 94 Schedules of Investments The U.S. Large Company Series 99 The Enhanced U.S. Large Company Series 102 The U.S. Large Cap Value Series 104 The U.S. Small XM Value Series 107 The U.S. Small Cap Value Series 110 The U.S. Small Cap Series 113 The U.S. Micro Cap Series 116 The DFA International Value Series 119 The Japanese Small Company Series 124 The Pacific Rim Small Company Series 127 The United Kingdom Small Company Series 130 The Continental Small Company Series 133 The Emerging Markets Series 138 The Emerging Markets Small Cap Series 142 The DFA One-Year Fixed Income Series 146 The DFA Two-Year Global Fixed Income Series 148 Statements of Assets and Liabilities 150 Statements of Operations 152 Statements of Changes in Net Assets 156 Financial Highlights 160 Notes to Financial Statements 168 Voting Proxies on Fund Portfolio Securities 177 Board Approval of Investment Advisory Agreements 178
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. iii [THIS PAGE INTENTIONALLY LEFT BLANK] DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case - because the return used is not the fund's actual return - the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ----------- ----------- ----------- ----------- U. S. LARGE COMPANY PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,023.90 0.15% $ 0.76 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.25 0.15% $ 0.76 ENHANCED U.S. LARGE COMPANY PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,019.80 0.35% $ 1.76 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.25 0.35% $ 1.77 U.S. LARGE CAP VALUE PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,049.10 0.30% $ 1.53 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.50 0.30% $ 1.51
1
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ----------- ----------- ----------- ----------- U.S. SMALL XM VALUE PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,010.50 0.48% $ 2.41 Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.61 0.48% $ 2.42 U.S. SMALL CAP VALUE PORTFOLIO Actual Fund Return $ 1,000.00 $ 995.00 0.55% $ 2.74 Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.26 0.55% $ 2.77 U.S. SMALL CAP PORTFOLIO Actual Fund Return $ 1,000.00 $ 984.30 0.40% $ 1.98 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.01 0.40% $ 2.02 U.S. MICRO CAP PORTFOLIO Actual Fund Return $ 1,000.00 $ 973.00 0.55% $ 2.71 Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.26 0.55% $ 2.77 DFA REAL ESTATE SECURITIES PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,066.60 0.37% $ 1.91 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.16 0.37% $ 1.87 LARGE CAP INTERNATIONAL PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,013.70 0.38% $ 1.91 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.11 0.38% $ 1.92 INTERNATIONAL SMALL COMPANY PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,055.20 0.65% $ 3.33 Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.76 0.65% $ 3.28 JAPANESE SMALL COMPANY PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,085.40 0.69% $ 3.59 Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.56 0.69% $ 3.48 PACIFIC RIM SMALL COMPANY PORTFOLIO Actual Fund Return $ 1,000.00 $ 980.30 0.75% $ 3.70 Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.26 0.75% $ 3.78 UNITED KINGDOM SMALL COMPANY PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,023.80 0.70% $ 3.53 Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.51 0.70% $ 3.53 CONTINENTAL SMALL COMPANY PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,075.20 0.71% $ 3.67 Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.46 0.71% $ 3.58 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,083.30 0.75% $ 3.90 Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.26 0.75% $ 3.78
2
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ----------- ----------- ----------- ----------- EMERGING MARKETS PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,078.30 0.69% $ 3.58 Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.56 0.69% $ 3.48 EMERGING MARKETS SMALL CAP PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,051.30 0.97% $ 4.96 Hypothetical 5% Annual Return $ 1,000.00 $ 1,020.16 0.97% $ 4.89 EMERGING MARKETS CORE EQUITY PORTFOLIO** Actual Fund Return $ 1,000.00 $ 972.00 1.38% $ 6.78 Hypothetical 5% Annual Return $ 1,000.00 $ 1,018.12 1.38% $ 6.94 DFA ONE-YEAR FIXED INCOME PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,011.20 0.20% $ 1.00 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.00 0.20% $ 1.01 DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,009.00 0.21% $ 1.05 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.95 0.21% $ 1.06 DFA FIVE-YEAR GOVERNMENT PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,014.60 0.26% $ 1.31 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.70 0.26% $ 1.31 DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,021.30 0.33% $ 1.66 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.35 0.33% $ 1.66 DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,030.90 0.16% $ 0.81 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.20 0.16% $ 0.81 DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,004.80 0.30% $ 1.50 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.50 0.30% $ 1.51
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. ** Portfolio commenced operations April 5, 2005. Ending account value derived from fund's actual return since inception. 3 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. U.S. LARGE COMPANY PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== ENHANCED U.S. LARGE COMPANY PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== U.S. LARGE CAP VALUE PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== U.S. SMALL XM VALUE PORTFOLIO Investment Companies 100.0% ----- 100.0% =====
4 U.S. SMALL CAP VALUE PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== U.S. SMALL CAP PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== U.S. MICRO CAP PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== DFA REAL ESTATE SECURITIES PORTFOLIO REITS 100.0% ----- 100.0% ===== LARGE CAP INTERNATIONAL PORTFOLIO Financials 24.7% Consumer Discretionary 12.8 Industrials 10.5 Consumer Staples 9.1 Telecommunication Services 8.8 Health Care 8.2 Energy 7.7 Materials 6.6 Information Technology 5.6 Utilities 5.3 Other 0.5 REITS 0.2 ----- 100.0% ===== INTERNATIONAL SMALL COMPANY PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== JAPANESE SMALL COMPANY PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== PACIFIC RIM SMALL COMPANY PORTFOLIO Investment Companies 100.0% ----- 100.0% =====
5 UNITED KINGDOM SMALL COMPANY PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== CONTINENTAL SMALL COMPANY PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO Industrials 26.7% Financials 21.0 Consumer Discretionary 19.5 Materials 12.4 Information Technology 6.5 Consumer Staples 6.4 Energy 3.1 Health Care 1.9 REITS 1.0 Telecommunication Services 0.6 Utilities 0.5 Other 0.4 ----- 100.0% ===== EMERGING MARKETS PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== EMERGING MARKETS SMALL CAP PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== EMERGING MARKETS CORE EQUITY PORTFOLIO Financials 21.2% Materials 14.7 Information Technology 11.5 Industrials 10.7 Telecommunication Services 10.1 Consumer Discretionary 10.0 Consumer Staples 9.9 Health Care 3.9 Utilities 3.4 Energy 3.1 Other 1.5 ----- 100.0% ===== DFA ONE-YEAR FIXED INCOME PORTFOLIO Investment Companies 100.0% ----- 100.0% =====
6 DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== DFA FIVE-YEAR GOVERNMENT PORTFOLIO Government 100.0% ----- 100.0% ===== DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO Foreign Government 42.3% Foreign Corporate 19.0 Corporate 15.6 Supranational 11.7 Government 11.4 ----- 100.0% ===== DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO Government 100.0% ----- 100.0% ===== DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO Muni Insured 44.6% Muni Revenue 19.8 Muni G.O. State 19.6 Muni G.O. Local 16.0 ----- 100.0% =====
7 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULES OF INVESTMENTS MAY 31, 2005 U.S. LARGE COMPANY PORTFOLIO (UNAUDITED)
VALUE+ ----------------- Investment in The U.S. Large Company Series of The DFA Investment Trust Company $ 1,743,767,165 ----------------- Total Investments (100%) (Cost $1,446,523,781) $ 1,743,767,165 =================
ENHANCED U.S. LARGE COMPANY PORTFOLIO (UNAUDITED)
SHARES VALUE+ ----------- ----------------- Investment in The Enhanced U.S. Large Company Series of The DFA Investment Trust Company 30,387,939 $ 270,756,536 ----------------- Total Investments (100%) (Cost $242,173,557) $ 270,756,536 =================
U.S. LARGE CAP VALUE PORTFOLIO (UNAUDITED)
SHARES VALUE+ ----------- ----------------- Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company 166,549,740 $ 3,219,406,474 ----------------- Total Investments (100%) (Cost $2,447,819,240) $ 3,219,406,474 =================
U.S. SMALL XM VALUE PORTFOLIO (UNAUDITED)
SHARES VALUE+ ----------- ----------------- Investment in The U.S. Small XM Value Series of The DFA Investment Trust Company 13,465,816 $ 152,837,012 ----------------- Total Investments (100%) (Cost $129,745,938) $ 152,837,012 =================
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 8 U.S. SMALL CAP VALUE PORTFOLIO (UNAUDITED)
SHARES VALUE+ ----------- ----------------- Investment in The U.S. Small Cap Value Series of The DFA Investment Trust Company 283,628,758 $ 6,072,491,709 ----------------- Total Investments (100%) (Cost $4,489,021,946) $ 6,072,491,709 =================
U.S. SMALL CAP PORTFOLIO (UNAUDITED)
SHARES VALUE+ ----------- ----------------- Investment in The U.S. Small Cap Series of The DFA Investment Trust Company 151,215,772 $ 2,274,285,211 ----------------- Total Investments (100%) (Cost $1,928,588,449) $ 2,274,285,211 =================
U.S. MICRO CAP PORTFOLIO (UNAUDITED)
SHARES VALUE+ ----------- ----------------- Investment in The U.S. Micro Cap Series of The DFA Investment Trust Company 313,499,630 $ 3,335,636,063 ----------------- Total Investments (100%) (Cost $2,456,162,651) $ 3,335,636,063 =================
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 9 DFA REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (95.5%) Real Estate Investment Trusts -- (95.5%) Acadia Realty Trust 194,600 $ 3,298,470 Affordable Residential Communities 254,100 3,130,512 Agree Realty Corp. 47,500 1,365,625 * Alexander's, Inc. 14,000 3,609,620 Alexandria Real Estate Equities, Inc. 121,800 8,440,740 AMB Property Corp. 515,200 20,767,712 * America First Apartment Investors, Inc. 3,000 33,900 American Campus Communites, Inc. 47,400 971,700 American Land Lease, Inc. 46,200 997,920 # AmeriVest Properties, Inc. 148,900 655,160 AMLI Residential Properties Trust 158,800 4,563,912 Apartment Investment & Management Co. Class A 588,100 21,818,510 Archstone-Smith Trust 1,238,655 45,607,277 Arden Realty Group, Inc. 411,200 14,104,160 * Ashford Hospitality Trust 253,500 2,524,860 Associated Estates Realty Corp. 122,200 1,057,030 # AvalonBay Communities, Inc. 451,900 33,833,753 Bedford Property Investors, Inc. 101,900 2,361,023 BioMed Realty Trust, Inc. 194,900 4,356,015 BNP Residential Properties, Inc. 41,700 655,524 # Boston Properties, Inc. 674,400 45,043,176 * Boykin Lodging Co. 108,200 1,146,920 Brandywine Realty Trust 344,900 9,712,384 BRE Properties, Inc. Class A 314,800 12,132,392 * Burnham Pacific Properties, Inc. 12,500 1,013 Camden Property Trust 321,600 16,597,776 # Capital Automotive 285,403 10,211,719 CarrAmerica Realty Corp. 334,900 11,577,493 CBL & Associates Properties, Inc. 191,500 15,601,505 Cedar Shopping Centers, Inc. 114,700 1,551,891 CenterPoint Properties Trust 301,800 12,615,240 Colonial Properties Trust 246,156 10,043,165 Commercial Net Lease Realty 318,075 6,170,655 Corporate Office Properties Trust 225,800 6,306,594 Cousins Properties, Inc. 311,500 8,827,910 Crescent Real Estate Equities, Inc. 698,200 12,839,898 CRT Properties, Inc. 197,300 4,535,927 Developers Diversified Realty Corp. 672,299 30,656,834 * Digital Realty Trust, Inc. 56,500 847,500 Duke Realty Corp. 889,200 27,449,604 EastGroup Properties, Inc. 135,900 5,533,848 Entertainment Properties Trust 156,000 6,942,000
1 Equity Inns, Inc. 334,600 4,011,854 Equity Lifestyle Properties, Inc. 143,700 5,451,978 Equity Office Properties Trust 2,521,063 81,909,337 Equity One, Inc. 457,476 9,785,412 Equity Residential 1,777,000 63,794,300 Essex Property Trust, Inc. 142,800 11,424,000 Extra Space Storage, Inc. 162,993 2,347,099 Federal Realty Investment Trust 325,200 17,951,040 * FelCor Lodging Trust, Inc. 369,800 5,147,616 # First Industrial Realty Trust, Inc. 266,300 10,332,440 * First Potomac Realty Trust 27,500 622,875 * # First Union Real Estate Equity & Mortgage Investments 178,500 658,665 Gables Residential Trust 181,900 6,622,979 # General Growth Properties 1,462,200 56,923,446 Glenborough Realty Trust, Inc. 223,500 4,516,935 Glimcher Realty Trust 220,700 5,683,025 Global Signal, Inc. 323,300 11,260,539 * Golf Trust America, Inc. 40,300 58,032 * Government Properties Trust, Inc. 71,700 652,470 Heritage Property Investment Trust 286,300 9,301,887 Hersha Hospitality Trust 125,800 1,197,616 * Highland Hospitality Corp. 229,800 2,435,880 Highwood Properties, Inc. 328,000 9,026,560 * HMG Courtland Properties, Inc. 2,400 25,680 Home Properties of New York, Inc. 200,990 8,280,788 Hospitality Properties Trust 410,100 18,011,592 Host Marriott Corp. 2,185,400 36,605,450 HRPT Properties Trust 1,218,400 14,413,672 Humphrey Hospitality Trust 74,200 330,190 Inland Real Estate Corp. 409,400 6,386,640 Innkeepers USA Trust 265,200 3,582,852 Kilroy Realty Corp. 177,100 8,001,378 Kimco Realty Corp. 684,550 39,539,608 * Kite Realty Group Trust 40,600 592,354 Lasalle Hotel Properties 183,400 5,667,060 Lexington Corporate Properties Trust 304,600 7,014,938 Liberty Property Trust 530,600 21,908,474 Macerich Co. 364,200 22,955,526 Mack-Cali Realty Corp. 381,700 16,829,153 Maguire Properties, Inc. 264,400 6,914,060 Malan Realty Investors, Inc. 19,100 70,479 Maxus Realty Trust, Inc. 1,700 22,950 * Meristar Hospitality Corp. 542,100 4,548,219 Mid-America Apartment Communities, Inc. 140,500 5,690,250 Mills Corp. 335,400 19,278,792 Mission West Properties, Inc. 112,200 1,065,900 Monmouth Real Estate Investment Corp. Class A 110,458 849,422 New Plan Excel Realty Trust 628,400 16,929,096 One Liberty Properties, Inc. 61,100 1,163,955 Pan Pacific Retail Properties, Inc. 247,831 15,824,009 * Paragon Real Estate Equity & Investment Trust 10,700 1,284 Parkway Properties, Inc. 87,200 4,207,400 Pennsylvania Real Estate Investment Trust 242,981 10,691,164 * Philips International Realty Corp. 14,400 504 Post Properties, Inc. 245,300 8,045,840
2 Prentiss Properties Trust 275,800 9,515,100 * Prime Group Realty Trust 127,900 915,764 # ProLogis 1,145,700 46,790,388 PS Business Parks, Inc. 135,600 5,565,024 Public Storage, Inc. 803,400 48,308,442 Ramco-Gershenson Properties Trust 102,600 2,847,150 Realty Income Corp. 490,400 12,073,648 Reckson Associates Realty Corp. 497,901 15,728,693 Regency Centers Corp. 384,700 21,485,495 # Roberts Realty Investors, Inc. 14,400 110,160 Saul Centers, Inc. 102,300 3,391,245 Senior Housing Properties Trust 424,700 7,640,353 Shurgard Storage Centers, Inc. Class A 284,600 12,422,790 Simon Property Group, Inc. 1,353,997 93,046,674 Simon Property Group, L.P. 66,210 3,972,600 Sizeler Property Investors, Inc. 99,500 1,194,000 SL Green Realty Corp. 253,900 15,729,105 Sovran Self Storage, Inc. 97,900 4,365,361 Strategic Hotel Capital, Inc. 179,200 2,922,752 Sun Communities, Inc. 112,400 4,046,400 Sunstone Hotel Investors, Inc. 212,900 4,898,829 Tanger Factory Outlet Centers, Inc. 167,900 4,064,859 * # Tarragon Corp. 149,195 3,270,354 Taubman Centers, Inc. 307,400 9,756,876 Town & Country Trust 105,000 2,892,750 Trizec Properties, Inc. 953,700 18,606,687 Trustreet Properties, Inc. 151,900 2,392,425 United Dominion Realty Trust, Inc. 833,900 19,221,395 United Mobile Homes, Inc. 54,700 801,355 Urstadt Biddle Properties, Inc. 19,800 325,314 Urstadt Biddle Properties, Inc. Class A 114,200 1,879,732 U-Store-It Trust 127,500 2,409,750 Vornado Realty Trust 775,400 61,023,980 Washington Real Estate Investment Trust 257,200 7,998,920 Weingarten Realty Investors 543,500 20,658,435 Winston Hotels, Inc. 161,700 1,697,850 ---------------- Total Real Estate Investment Trusts (Cost $1,096,101,372) 1,531,034,186 ---------------- TOTAL COMMON STOCKS (Cost $1,096,101,372) 1,531,034,186 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (4.5%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05 (Collateralized by $128,705,000 U.S. STRIPS 6.125%, 11/15/27, valued at $46,244,994) to be repurchased at $45,340,256 (Cost $45,336,579) $ 45,337 45,336,579 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $26,333,000 FHLMC Notes 4.00%, 09/22/09, valued at $26,365,916) to be repurchased at $25,978,085 (Cost $25,976,000) 25,976 25,976,000 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $71,312,579) 71,312,579 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $1,167,413,951) $ 1,602,346,765 ----------------
3 - ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 4 LARGE CAP INTERNATIONAL PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- UNITED KINGDOM -- (21.3%) COMMON STOCKS -- (21.3%) 3I Group P.L.C. 47,318 $ 594,438 Aegis Group P.L.C. 93,242 165,345 Aggreko P.L.C. 20,000 70,480 Alliance & Leicester P.L.C. 46,652 725,947 Alliance Unichem P.L.C. 46,743 698,703 Allied Domecq P.L.C. 105,124 1,324,067 Amec P.L.C. 26,046 159,010 Amvescap P.L.C. 81,593 478,659 Anglo America P.L.C. 147,129 3,505,501 Antofagasta P.L.C. 38,710 812,567 Arm Holdings P.L.C. 124,215 244,467 Arriva P.L.C. 17,572 169,943 Associated British Foods P.L.C. 156,137 2,269,990 Associated British Ports Holdings P.L.C. 28,575 253,370 Aviva P.L.C. 217,315 2,431,366 AWG P.L.C. 13,189 214,592 BAA P.L.C. 101,758 1,151,096 BAE Systems P.L.C. 304,982 1,493,891 Balfour Beatty P.L.C. 38,213 224,245 Barclays P.L.C 630,263 5,972,908 Barratt Developments P.L.C. 21,581 259,174 BBA Group P.L.C. 37,724 206,081 Bellway P.L.C. 10,083 156,096 BG Group P.L.C. 335,914 2,543,817 BHP Billiton P.L.C. 234,473 2,834,078 BOC Group P.L.C. 38,519 703,446 Boots Group P.L.C. 67,524 744,109 Bovis Homes Group P.L.C. 9,923 123,351 BP Amoco P.L.C. 2,029,664 20,356,813 BPB P.L.C. 44,716 416,570 Bradford & Bingley P.L.C. 58,335 326,839 Brambles Industries P.L.C. 66,589 364,051 Britannic P.L.C. 16,713 155,117 * British Airways P.L.C. 184,946 921,270 British American Tobacco P.L.C. 273,139 5,184,939 British Land Co. P.L.C. 47,925 758,219 British Sky Broadcasting Group P.L.C. 272,457 2,701,753 Brixton P.L.C. 23,087 154,405 BT Group P.L.C. 807,511 3,133,717 * BTG P.L.C. 5,600 14,319 Bunzl P.L.C. 40,785 398,012 Cable and Wireless P.L.C. 217,095 528,702 Cadbury Schweppes P.L.C. 196,938 1,918,147
1 * Cairn Energy P.L.C. 13,970 308,089 Capita Group P.L.C. 60,892 424,340 Carnival P.L.C. 17,221 942,788 Carpetright P.L.C. 8,513 133,826 Carphone Warehouse Group P.L.C. 182,534 545,501 Cattles P.L.C. 24,806 143,449 Centrica P.L.C. 352,500 1,485,992 Close Brothers Group P.L.C. 14,870 197,300 Cobham P.L.C. 10,041 257,187 Collins Stewart Tullett P.L.C. 22,435 172,015 # * Colt Telecom Group P.L.C. 192,155 181,459 Compass Group P.L.C. 204,776 806,533 Computacenter P.L.C. 15,015 67,603 * Cookson Group P.L.C. 13,053 77,090 * Corus Group P.L.C. 446,515 368,389 Davis Service Group P.L.C. 18,246 146,948 De La Rue P.L.C. 12,250 84,204 Diageo P.L.C. 282,174 4,058,389 Dixons Group P.L.C. 175,098 480,399 DX Services P.L.C. 7,451 46,747 * Easyjet P.L.C. 52,671 215,739 * Egg P.L.C. 98,437 197,552 Electrocomponents P.L.C. 39,172 185,572 Emap P.L.C. 23,642 345,692 EMI Group P.L.C. 72,649 327,857 Enterprise Inns P.L.C. 31,451 443,955 First Choice Holidays P.L.C. 47,135 154,845 Firstgroup P.L.C. 36,648 211,275 FKI P.L.C. 52,392 91,939 Friends Provident P.L.C. 209,193 663,777 Gallaher Group P.L.C. 62,237 958,719 General Electric Co. 22,898 841,099 GKN P.L.C. 64,999 297,801 Glaxosmithkline P.L.C. 556,137 13,764,313 Go-Ahead Group P.L.C. 3,736 91,616 Great Portland Estates P.L.C. 11,008 72,067 Great Universal Stores P.L.C. 94,865 1,460,716 Greene King P.L.C. 6,207 138,985 Group 4 Securicor P.L.C. 89,820 224,254 Hammerson P.L.C. 25,492 420,476 Hanson P.L.C. 70,011 645,697 Hays P.L.C. 151,308 341,690 HBOS P.L.C. 381,407 5,547,718 * Henderson Group P.L.C. 136,500 154,350 Hilton Group P.L.C. 151,980 784,450 HMV Group P.L.C. 37,627 155,423 HSBC Holdings P.L.C. 1,080,317 17,084,223 ICAP P.L.C. 64,402 321,348 IMI P.L.C. 31,802 238,421 Imperial Chemical Industries P.L.C. 109,590 506,805 Imperial Tobacco Group P.L.C. 68,712 1,858,737 Inchcape P.L.C. 7,420 263,531 InterContinental Hotels Group P.L.C. 56,166 652,269 International Power P.L.C. 135,538 476,892
2 Intertek Group P.L.C. 12,740 174,817 * Invensys P.L.C. 477,720 97,784 ISIS Asset Management P.L.C. 46,394 194,976 Isoft Group P.L.C. 19,129 139,333 ITV P.L.C. 288,809 600,519 Jardine Lloyd Thompson Group P.L.C. 21,550 136,864 Johnson Matthey P.L.C. 19,864 352,975 Johnston Press P.L.C. 31,946 273,141 Kelda Group P.L.C. 34,560 404,213 Kesa Electricals P.L.C. 47,659 231,840 Kingfisher P.L.C. 223,029 1,042,556 Land Securities Group P.L.C. 44,468 1,153,534 Legal and General Group P.L.C. 618,036 1,217,142 Liberty International P.L.C. 39,267 698,214 Lloyds TSB Group P.L.C. 557,469 4,592,496 Logicacmg P.L.C. 33,214 102,670 Lonmin P.L.C. 13,023 242,967 Man Group P.L.C. 32,195 770,751 Manchester United P.L.C. 30,345 164,033 * Marconi Corp. P.L.C. 18,441 100,747 Marks & Spencer Group P.L.C. 204,766 1,256,309 Matalan P.L.C. 45,690 153,049 Meggitt P.L.C. 39,217 208,269 MFI Furniture Group P.L.C. 52,153 101,350 Millennium and Copthorne Hotels P.L.C. 38,892 251,564 Misys P.L.C. 50,290 197,659 Mitchells & Butlers P.L.C. 47,001 276,545 Morrison (Wm.) Supermarkets P.L.C. 278,508 957,094 * MyTravel Group P.L.C. Series A 22,000 1,990 National Express Group P.L.C. 11,282 177,943 National Grid Group P.L.C. 293,541 2,867,395 Next P.L.C. 24,719 646,450 Northern Foods P.L.C. 37,322 106,382 Northern Rock P.L.C. 40,016 535,637 * O2 P.L.C. 613,859 1,422,183 Ocean Group P.L.C. 28,112 433,533 Pearson P.L.C. 77,971 932,804 Peninsular & Oriental Steam Navigation P.L.C. 66,687 376,146 Pennon Group P.L.C. 11,263 206,397 Persimmon P.L.C. 27,757 376,810 Pilkington P.L.C. 135,509 285,278 Premier Farnell P.L.C. 30,487 89,883 Provident Financial P.L.C. 17,113 209,143 Prudential Corp. P.L.C. 225,662 2,002,268 Punch Taverns, Ltd. 22,497 278,888 Rank Group P.L.C. 61,189 298,083 Reckitt Benckiser P.L.C. 80,054 2,444,239 Reed International P.L.C. 121,003 1,153,837 * Regus Group P.L.C. 95,569 156,665 Rentokill Initial P.L.C. 166,530 446,811 Reuters Holdings Group P.L.C. 136,336 957,946 Rexam P.L.C. 50,658 443,369 Rio Tinto P.L.C. 101,446 3,011,521 * Rolls Royce Group P.L.C. 177,791 876,638
3 * Rolls Royce Group P.L.C. Class B 8,429,800 15,318 Royal & Sun Alliance Insurance Group P.L.C. 267,928 375,227 Royal Bank of Scotland Group P.L.C. 303,894 8,917,233 Sabmiller P.L.C. 124,801 1,916,502 Sage Group P.L.C. 117,928 463,117 Sainsbury (J.) P.L.C. 198,701 1,033,133 Schroders P.L.C. 33,726 464,153 Scottish & Newcastle P.L.C. 93,185 805,151 Scottish Hydro-Electric P.L.C. 79,968 1,426,204 Scottish Power P.L.C. 173,475 1,461,289 Serco Group P.L.C. 39,172 179,317 Severn Trent P.L.C. 32,867 604,822 Shell Transport & Trading Co., P.L.C. 885,490 7,692,869 Shire Pharmaceuticals Group P.L.C. 43,525 461,914 Signet Group P.L.C. 164,896 308,066 Slough Estates P.L.C. 37,702 352,229 Smith & Nephew P.L.C. 89,664 885,668 Smith (WH) P.L.C. 13,348 86,788 Smiths Industries P.L.C. 53,441 854,424 Somerfield P.L.C. 48,928 175,419 * Spirent P.L.C. 72,279 60,839 SSL International P.L.C. 12,000 60,875 Stagecoach Group P.L.C. 120,769 242,712 Standard Chartered P.L.C. 125,919 2,279,357 T&F Informa Group P.L.C. 28,437 210,601 Tate & Lyle P.L.C. 49,954 429,818 Taylor Nelson AGB P.L.C. 36,013 140,595 Taylor Woodrow P.L.C. 55,846 321,482 Tesco P.L.C. 736,698 4,194,107 * The Berkeley Group Holdings P.L.C. 10,535 158,316 * TI Automotive P.L.C. Series A 18,000 0 Tomkins P.L.C. 71,196 348,620 Travis Perkins P.L.C. 11,935 378,927 Trinity Mirror P.L.C. 27,900 315,848 Tullow Oil P.L.C. 54,536 165,740 Unilever P.L.C. 290,187 2,831,477 United Business Media P.L.C. 31,939 290,180 United Utilities P.L.C. 74,036 912,058 Viridian Group P.L.C. 10,986 148,021 Vodafone Group P.L.C. 6,136,607 15,449,029 Whitbread P.L.C. 23,704 391,389 William Hill P.L.C. 36,278 326,312 Wilson Bowden P.L.C. 12,801 265,146 Wimpey (George) P.L.C. 35,916 278,131 Wolseley P.L.C. 55,981 1,144,207 Wolverhampton & Dudley Breweries P.L.C. 6,548 131,867 Wood Group (John) P.L.C. 28,221 75,163 WPP Group P.L.C. 124,799 1,330,147 Xstrata P.L.C. 95,888 1,718,805 Yell Group P.L.C. 66,922 496,898 Zeneca Group P.L.C. 155,158 6,574,255 ----------------- TOTAL COMMON STOCKS (Cost $197,422,630) 235,913,076 -----------------
4 INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling 138,318 ---------------- (Cost $141,510) TOTAL -- UNITED KINGDOM (Cost $197,564,140) 236,051,394 ---------------- JAPAN -- (19.2%) COMMON STOCKS -- (19.2%) Acom Co., Ltd. 7,500 480,023 Aderans Co., Ltd. 3,000 69,464 Advantest Corp. 7,370 553,305 AEON Co., Ltd. 48,700 749,427 Aeon Credit Service, Ltd. 2,700 171,676 * Aeon Mall Co., Ltd. 2,300 77,029 Aichi Bank, Ltd. 500 47,126 Aichi Steel Corp. 5,000 25,506 Aiful Corp. 9,900 726,480 AIOI Insurance Co., Ltd. 54,000 267,548 Air Water, Inc. 9,000 67,395 Aisin Seiki Co., Ltd. 25,600 568,095 Ajinomoto Co., Inc. 39,000 430,655 Akita Bank, Ltd. 6,000 27,132 Alfresa Holdings Corp. 1,800 82,661 # All Nippon Airways Co., Ltd. 190,000 597,452 # Alps Electric Co., Ltd. 13,000 196,419 Amada Co., Ltd. 27,000 183,331 Amano Corp. 3,000 31,149 Anritsu Corp. 6,000 36,051 AOC Holdings, Inc. 3,600 50,244 Aoyama Trading Co., Ltd. 3,400 82,376 Ariake Japan Co., Ltd. 1,210 28,521 Arisawa Manufacturing Co., Ltd. 1,540 44,468 Asahi Breweries, Ltd. 35,700 433,103 Asahi Denka Kogyo KK 5,000 51,357 Asahi Glass Co., Ltd. 94,000 1,012,959 Asahi Kasei Corp. 97,000 472,639 Asatsu-Dk, Inc. 2,600 74,717 * Ashikaga Financial Group, Inc. 41,000 0 Autobacs Seven Co., Ltd. 1,800 56,227 Avex, Inc. 1,000 13,264 Awa Bank, Ltd. 14,000 83,518 Bandai Co., Ltd. 5,000 103,166 Bank of Ikeda, Ltd. 1,100 55,847 Bank of Iwate, Ltd. 1,100 62,637 # Bank of Kyoto, Ltd. 20,000 167,802 Bank of Nagoya, Ltd. 11,000 64,580 Bank of Yokohama, Ltd. 97,000 554,847 Benesse Corp. 7,700 244,436 Bosch Automotive Systems Corp. 30,000 148,737 Bridgestone Corp. 61,000 1,199,359 Brother Industries, Ltd. 19,000 174,272
5 Calsonic Corp. 15,000 82,976 Canon, Inc. 71,000 3,839,342 Capcom Co., Ltd. 2,000 18,735 Casio Computer Co., Ltd. 18,000 251,029 * Cawachi, Ltd. 600 26,239 Central Glass Co., Ltd. 14,000 88,988 Central Japan Railway Co. 254 2,043,625 Chiba Bank, Ltd. 59,000 400,355 Chiyoda Corp. 11,000 130,997 Chubu Electric Power Co., Ltd. 58,100 1,347,826 Chudenko Corp. 2,700 42,327 Chugai Pharmaceutical Co., Ltd. 54,600 806,502 Chugoku Bank, Ltd. 15,000 175,400 Chugoku Electric Power Co., Ltd. 25,800 485,743 Circle K Sunkus Co., Ltd. 5,100 114,395 Citizen Watch Co., Ltd. 21,000 183,456 Coca-Cola West Japan Co., Ltd. 4,600 102,898 Comsys Holdings Corp. 8,000 67,433 Cosmo Oil Co., Ltd. 37,000 135,282 Cosmo Securities Co., Ltd. 13,000 23,795 Credit Saison Co., Ltd. 10,600 351,879 CSK Corp. 4,800 170,207 Culture Convenience Club Co., Ltd. 2,300 40,577 Dai Nippon Ink & Chemicals, Inc. 47,000 138,840 Dai Nippon Pharmaceutical Co., Ltd. 10,000 95,870 Dai Nippon Printing Co., Ltd. 58,000 915,031 Dai Nippon Screen Mfg. Co., Ltd. 15,000 101,886 Daibiru Corp. 7,000 51,528 Daicel Chemical Industries, Ltd. 19,000 98,634 Daido Steel Co., Ltd. 27,000 109,653 Daiei OMC, Inc. 6,000 71,538 # * Daiei, Inc. 3,500 60,487 Daifuku Co., Ltd. 3,000 25,019 Daihatsu Motor Co., Ltd. 28,000 206,480 Dai-Ichi Pharmaceutical Co., Ltd. 17,900 400,576 Daikin Industries, Ltd. 18,000 438,145 Daimaru, Inc. 16,000 136,964 Daio Paper Corp. 9,000 69,527 Daishi Bank, Ltd. 22,000 91,690 Daito Trust Construction Co., Ltd. 9,800 368,187 Daiwa House Industry Co., Ltd. 37,000 407,916 Daiwa Securities Co., Ltd. 100,000 631,413 Denki Kagaku Kogyo KK 29,000 101,130 Denso Corp. 78,000 1,768,836 Dentsu, Inc. 242 599,649 Diamond City Co., Ltd. 2,300 67,558 Disco Corp. 1,700 72,657 Don Quijote Co., Ltd. 900 49,121 Dowa Mining Co., Ltd. 20,000 128,823 East Japan Railway Co. 292 1,447,075 Ebara Corp. 20,000 71,888 Edion Corp. 5,000 59,606 Elsai Co., Ltd. 21,300 719,625 Eneserve Corp. 1,500 49,045
6 Exedy Corp. 1,700 28,018 Ezaki Glico Co., Ltd. 10,000 79,817 Familymart Co., Ltd. 6,000 173,708 Fancl Corp. 700 25,743 Fanuc, Ltd. 20,800 1,284,474 Fast Retailing Co., Ltd. 10,200 537,536 Fuji Electric Co., Ltd. 49,000 148,632 Fuji Fire & Marine Insurance Co., Ltd. 10,000 29,670 Fuji Heavy Industries 50,000 208,741 Fuji Oil Co., Ltd. 3,900 40,563 Fuji Photo Film Co., Ltd. 42,000 1,307,916 Fuji Soft ABC, Inc. 1,800 52,255 Fuji Television Network, Inc. 157 321,783 Fujikura, Ltd. 29,000 146,973 Fujirebio, Inc. 3,000 58,967 Fujitsu, Ltd. 153,440 839,059 Fukui Bank, Ltd. 14,000 53,085 Fukuoka Bank, Ltd. 43,000 262,412 Fukuyama Transporting Co., Ltd. 11,000 43,241 Funai Electric Co., Ltd. 2,500 264,556 * Furukawa Electric Co., Ltd. 30,000 123,855 Futaba Industrial Co., Ltd. 2,900 55,096 Glory, Ltd. 4,600 77,733 * GMO Internet, Inc. 2,000 49,521 Goldcrest Co., Ltd. 800 38,999 * Goodwill Group, Inc. 26 48,002 * Gulliver International Co., Ltd. 340 47,907 Gunma Bank, Ltd. 31,000 184,382 Gunze, Ltd. 14,000 61,335 Hachijuni Bank, Ltd. 38,000 250,834 # Hamamatsu Photonics K.K. 4,000 85,658 Hankyu Corp. 66,000 242,786 Hankyu Department Stores, Inc. 10,000 60,043 Hanshin Electric Railway Co., Ltd. 21,000 78,326 Hanwa Co., Ltd. 9,000 29,877 * Haseko Corp. 31,000 65,172 Heiwa Corp. 6,700 96,431 Higo Bank, Ltd. 14,000 99,920 Hikari Tsushin, Inc. 3,800 225,800 Hino Motors, Ltd. 53,000 293,583 Hirose Electric Co., Ltd. 2,700 285,976 Hiroshima Bank, Ltd. 39,000 168,735 Hisamitsu Pharmaceutical Co., Inc. 4,000 99,912 Hitachi Cable, Ltd. 18,000 77,609 Hitachi Chemical Co., Ltd. 17,700 320,040 Hitachi Construction Machinery Co., Ltd. 12,000 141,686 Hitachi High-Technologies Corp. 8,300 128,509 Hitachi Information Systems, Ltd. 1,800 35,045 Hitachi Koki Co., Ltd. 3,000 27,961 Hitachi Kokusai Electric, Inc. 5,000 43,730 Hitachi Maxell, Ltd. 3,700 44,969 Hitachi Metals, Ltd. 25,000 159,329 Hitachi Software Engineering Co., Ltd. 3,000 50,035 Hitachi Transport System, Ltd. 7,000 58,303
7 * Hitachi Zosen Corp. 20,000 25,883 Hitachi, Ltd. 285,000 1,702,890 Hokkaido Electric Power Co., Inc. 13,700 276,229 Hokkoku Bank, Ltd. 16,000 69,733 Hokuetsu Paper Mills, Ltd. 9,000 48,943 Hokugin Financial Group, Inc. 84,000 267,281 Hokuriku Electric Power Co., Inc. 14,100 260,423 Honda Motor Co., Ltd. 63,700 3,135,294 Hosiden Corp. 1,900 19,569 House Foods Corp. 5,600 78,887 Hoya Corp. 8,900 990,832 Hyakugo Bank, Ltd. 15,000 91,996 Hyakujishi Bank, Ltd. 19,000 107,838 # Ibiden Co., Ltd. 7,700 198,501 * Invoice, Inc. 372 38,210 Isetan Co., Ltd. 14,300 183,326 Ishihara Sangyo Kaisha, Ltd. 12,000 26,278 * Ishikawajima-Harima Heavy Industries Co., Ltd. 91,000 129,355 # Isuzu Motors, Ltd. 67,000 174,351 ITO EN, Ltd. 2,800 133,200 Itochu Corp. 105,000 506,814 Itochu Techno-Science Corp. 4,200 135,120 Itoham Foods, Inc. 12,000 54,656 Ito-Yokado Co., Ltd. 30,000 1,012,393 Iyo Bank, Ltd. 21,000 167,424 Izumi Co., Ltd. 2,500 60,438 # Japan Airlines System Corp. 252,000 722,603 Japan Airport Terminal Co., Ltd. 6,000 56,035 Japan Aviation Electronics Industry, Ltd. 4,000 43,008 Japan Petroleum Exploration Co., Ltd. 4,000 155,210 JFE Holdings, Inc. 44,300 1,110,011 * JFE Shoji Holdings, Inc. 9,000 31,174 JGC Corp. 15,000 169,944 Joyo Bank, Ltd. 55,000 279,617 Jsr Corp., Tokyo 18,500 388,188 Juroku Bank, Ltd. 18,000 96,368 Kadokawa Holdings, Inc. 800 28,447 Kagoshima Bank, Ltd. 13,000 98,920 Kajima Corp. 70,000 238,857 # Kaken Pharmaceutical Co., Ltd. 3,000 19,612 Kamigumi Co., Ltd. 18,000 134,124 Kandenko Co., Ltd. 8,000 47,050 * Kanebo, Ltd. 1,900 5,281 Kaneka Corp. 21,000 218,622 # * Kankaku Securities Co., Ltd. 86,000 149,721 Kansai Electric Power Co., Inc. 68,800 1,336,606 Kansai Paint Co., Ltd., Osaka 16,000 99,468 Kanto Auto Works, Ltd., Yokosuka 2,100 24,664 Kao Corp. 42,000 970,731 Katokichi Co., Ltd. 9,300 65,000 Kawasaki Heavy Industries, Ltd. 99,000 177,166 Kawasaki Kisen Kaisha, Ltd. 35,000 206,931 KDDI Corp. 344 1,573,213 Keihin Corp. 4,100 65,415
8 # Keihin Electric Express Railway Co., Ltd. 34,000 207,344 Keio Electric Railway Co., Ltd. 43,000 232,548 Keisei Electric Railway Co., Ltd. 19,000 91,627 Keiyo Bank, Ltd. 17,000 81,195 Keyence Corp. 3,200 699,132 Kikkoman Corp. 12,000 108,651 Kinden Corp. 14,000 103,584 Kinki Nippon Railway Co., Ltd. 120,280 358,359 Kirin Beverage Corp. 900 22,188 Kirin Brewery Co., Ltd. 70,000 684,696 Kissei Pharmaceutical Co., Ltd. 4,000 76,313 Kobayashi Pharmaceutical Co., Ltd. 1,800 47,125 Kobe Steel, Ltd. 185,000 321,768 Koei Co., Ltd. 2,800 66,634 Koito Manufacturing Co., Ltd. 7,000 75,263 Kokuyo Co., Ltd. 8,000 102,572 Komatsu, Ltd. 74,000 552,589 Komeri Co., Ltd. 2,300 58,862 Komori Corp. 4,000 60,584 Konami Co., Ltd. 8,600 171,220 Konica Corp. 34,000 303,716 Kose Corp. 3,355 113,251 Koyo Seiko Co. 15,000 194,500 Kubota Corp. 88,000 486,445 Kuraray Co., Ltd. 31,000 274,687 # Kuraya Sanseido, Inc. 13,500 179,881 Kurita Water Industries, Ltd. 7,000 104,033 Kyocera Corp. 14,500 1,109,368 KYORIN Pharmaceutical Co., Ltd. 4,000 49,893 Kyowa Exeo Corp. 5,000 40,926 Kyowa Hakko Kogyo Co., Ltd. 24,000 152,354 Kyushu Electric Power Co., Inc. 36,100 751,148 Lawson Inc. 8,100 294,811 * Leopalace21 Corp. 9,000 137,081 Lintec Corp. 4,000 60,084 Lion Corp. 19,000 99,273 Lopro Corp. 2,100 15,357 Mabuchi Motor Co., Ltd. 3,400 196,652 Maeda Corp. 8,000 44,133 Makita Corp. 8,000 155,775 Marubeni Corp. 99,000 312,444 Marui Co., Ltd. 26,200 363,552 Maruichi Steel Tube, Ltd. 4,000 85,333 * Matsui Securities Co., Ltd. 2,000 22,936 Matsumotokiyoshi Co., Ltd. 2,400 62,685 Matsushita Electric Industrial Co., Ltd. 198,188 2,952,225 Matsushita Electric Works, Ltd. 79,000 652,983 Matsuzakaya Co., Ltd. 7,000 32,444 # Mazda Motor Corp. 89,000 334,742 Meiji Dairies Corp. 16,000 88,814 Meiji Seika Kaisha, Ltd. Tokyo 23,000 111,950 Meitec Corp. 2,600 79,743 Millea Holdings, Inc. 125 1,653,990 Minebea Co., Ltd. 24,000 97,572
9 Misumi Corp. 1,900 58,297 Mitsubishi Chemical Corp. 150,000 428,893 Mitsubishi Corp. 118,500 1,563,999 Mitsubishi Electric Corp. 149,000 808,699 Mitsubishi Estate Co., Ltd. 92,000 987,888 Mitsubishi Gas Chemical Co., Inc. 27,000 132,946 Mitsubishi Heavy Industries, Ltd. 258,000 664,048 Mitsubishi Logistics Corp. 7,000 66,760 Mitsubishi Materials Corp. 71,000 155,403 # * Mitsubishi Motors Corp. 272,000 336,314 Mitsubishi Paper Mills, Ltd. 13,000 17,402 Mitsubishi Pharma Corp. 46,000 405,087 Mitsubishi Rayon Co., Ltd. 30,000 120,892 Mitsubishi Securities Co., Ltd. 51,000 424,966 Mitsubishi Tokyo Financial Group, Inc. 501 4,148,035 Mitsui & Co., Ltd. 112,000 1,002,107 Mitsui Chemicals, Inc. 50,000 283,539 Mitsui Engineering and Shipbuilding Co., Ltd. 51,000 109,973 Mitsui Fudosan Co., Ltd. 41,000 456,392 Mitsui Marine & Fire Insurance Co., Ltd. 115,790 1,052,385 Mitsui Mining and Smelting Co., Ltd. 40,000 173,224 Mitsui O.S.K. Lines, Ltd. 84,000 503,341 Mitsui Trust Holdings 63,000 614,481 Mitsukoshi, Ltd. 23,000 98,526 Mitsumi Electric Co., Ltd. 3,700 39,162 Mizuho Holdings, Inc. 983 4,624,289 Mochida Pharmaceutical Co., Ltd. 6,000 37,819 Mori Seiki Co., Ltd. 4,000 41,358 Morinaga Milk Industry Co., Ltd. 14,000 57,772 Murata Manufacturing Co., Ltd. 18,300 940,696 Musashino Bank, Ltd. 1,300 59,418 Nagase & Co., Ltd. 7,000 68,342 # Nagoya Railroad Co., Ltd. 59,000 195,481 Namco, Ltd. 6,400 86,378 Nanto Bank, Ltd. 15,000 76,999 NEC Corp. 143,000 791,502 NEC Fielding, Ltd. 2,700 58,011 Net One Systems Co., Ltd. 36 98,758 NGK Insulators, Ltd. 22,000 229,025 NGK Spark Plug Co., Ltd. 14,000 157,447 NHK Spring Co., Ltd. 14,000 115,970 Nichicon Corp. 5,600 73,593 Nichii Gakkan Co. 1,760 43,284 Nichirei Corp. 20,000 74,942 Nidec Corp. 5,500 593,448 Nifco, Inc. 4,000 62,697 Nihon Unisys, Ltd. 3,000 28,085 Nikko Cordial Corp. 138,000 603,475 Nikon Corp. 24,000 265,871 Nintendo Co., Ltd., Kyoto 10,700 1,137,223 Nippon Electric Glass Co., Ltd. 25,000 385,556 Nippon Express Co., Ltd. 70,000 318,210 Nippon Kayaku Co., Ltd. 9,000 48,540 Nippon Light Metal Co., Ltd. 34,000 81,850
10 Nippon Meat Packers, Inc., Osaka 14,000 172,967 Nippon Mining Holdings, Inc. 60,500 329,934 Nippon Mitsubishi Oil Corp. 113,000 736,987 Nippon Paint Co., Ltd. 15,000 52,421 Nippon Sanso Corp. 22,000 109,954 Nippon Sheet Glass Co., Ltd. 26,000 101,588 Nippon Shinpan Co., Ltd. 19,000 92,530 Nippon Shokubai Co., Ltd. 12,000 96,159 Nippon Steel Corp. 526,000 1,222,810 Nippon Suisan Kaisha, Ltd. 21,000 79,691 Nippon System Development Co., Ltd. 900 16,955 Nippon Telegraph & Telephone Corp. 2,177 8,882,061 Nippon Television Network Corp. 890 124,492 Nippon Unipac Holding, Tokyo 68 264,290 Nippon Yusen KK 82,000 445,791 Nipponkoa Insurance Co., Ltd. 56,000 387,262 * Nipro Corp. 4,000 59,737 Nishimatsu Construction Co., Ltd. 17,000 57,321 Nishimatsuya Chain Co., Ltd. 960 22,960 Nishi-Nippon Bank, Ltd. 45,000 184,863 Nishi-Nippon Railroad Co., Ltd. 26,000 79,417 Nissan Chemical Industries, Ltd. 10,000 102,382 Nissan Diesel Motor Co., Ltd. 7,000 26,077 Nissan Motor Co., Ltd. 437,600 4,288,631 Nissan Shatai Co., Ltd. 7,000 46,469 Nissay Dowa General Insurance Co., Ltd. 25,000 125,775 Nisshin Seifun Group, Inc. 15,000 147,514 Nisshin Steel Co., Ltd. 63,000 153,343 Nisshinbo Industries, Inc. 13,000 99,740 # * Nissho Iwai-Nichmen Holdings Corp. 15,500 59,857 Nissin Food Products Co., Ltd. 8,400 221,783 Nitto Denko Corp. 13,900 778,348 NOK Corp. 15,000 405,679 Nomura Research Institute, Ltd. 3,900 368,689 Nomura Securities Co., Ltd. 165,000 2,078,920 Noritake Co., Ltd. 4,000 16,580 * NS Solutions Corp. 2,800 58,838 NSK, Ltd. 33,000 159,945 NTN Corp. 27,000 146,082 NTT Data Corp. 303 965,560 NTT Docomo, Inc. 6,017 9,024,644 Obayashi Corp. 43,000 217,466 Obic Co., Ltd. 500 87,265 Odakyu Electric Railway Co., Ltd. 41,000 217,192 Ogaki Kyoritsu Bank, Ltd. 13,000 76,856 Oita Bank, Ltd. 8,000 51,760 Oji Paper Co., Ltd. 69,000 364,934 Okamura Corp. 8,000 56,022 Okasan Securities Co., Ltd. 8,000 40,639 Oki Electric Industry Co., Ltd. 36,000 121,956 Okumura Corp. 16,000 86,175 Olympus Optical Co., Ltd. 15,000 292,960 Omron Corp. 14,600 320,486 Ono Pharmaceutical Co., Ltd. 7,800 357,041
11 Onward Kashiyama Co., Ltd. 10,000 121,583 # Oracle Corp. Japan 17,500 687,752 * Orient Corp. 31,000 113,815 Oriental Land Co., Ltd. 9,400 556,636 Orix Corp. 4,260 613,150 Osaka Gas Co., Ltd. 164,000 506,990 OSG Corp. 4,000 52,637 Otsuka Corp. 1,600 124,510 Pacific Metals Co., Ltd. 5,000 20,936 PanaHome Corp. 5,000 26,112 Paramount Bed Co., Ltd. 1,000 23,618 Paris Miki, Inc. 1,900 40,396 Park24 Co., Ltd. 3,000 58,913 Pasona, Inc. 20 45,430 Pioneer Electronic Corp. 11,700 192,790 Promise Co., Ltd. 6,500 403,725 Q.P. Corp. 8,900 77,393 Rengo Co., Ltd. 12,000 62,020 * Resona Holdings, Inc. 1,412,000 2,685,656 Ricoh Co., Ltd., Tokyo 58,000 944,730 Rinnai Corp. 3,000 75,335 Rohm Co., Ltd. 9,100 856,779 Round One Corp. 25 61,015 * Ryohin Keikaku Co., Ltd. 1,600 72,457 Ryosan Co., Ltd. 2,000 48,785 Ryoshoku, Ltd. 1,700 47,749 Sagami Railway Co., Ltd. 19,000 63,801 Saizeriya Co., Ltd. 1,300 15,494 San In Godo Bank, Ltd. 11,000 105,033 Sanden Corp. 7,000 28,940 Sanken Electric Co., Ltd. 6,000 81,882 Sankyo Co, Ltd. 8,700 378,566 Sankyo Co., Ltd. 32,800 666,937 Sankyo Seiki Manufacturing Co., Ltd. 5,000 46,051 Sankyo-Tateyama Holdings, Inc. 17,000 42,522 Sankyu, Inc., Tokyo 15,000 42,164 * Sanrio Co., Ltd. 3,000 29,943 Santen Pharmaceutical Co., Ltd. 5,300 119,653 Sanwa Shutter Corp. 15,000 83,804 Sanyo Chemical Industries, Ltd. 6,000 43,391 Sanyo Electric Co., Ltd. 123,000 333,618 Sapporo Breweries, Ltd. 19,000 94,727 Sapporo Hokuyo Holdings, Inc. 25 180,510 Secom Co., Ltd. 18,000 759,282 Sega Sammy Holdings, Inc. 3,024 174,023 Seiko Corp. 3,000 16,153 * Seiko Epson Corp. 7,800 259,109 Seino Transportation Co., Ltd. 10,000 87,421 * Seiyu, Ltd. 28,000 46,441 Sekisui Chemical Co., Ltd. 35,000 242,419 Sekisui House, Ltd. 50,000 489,544 Seven-Eleven Japan Co., Ltd. 92,200 2,594,469 Seventy-seven (77) Bank, Ltd. 25,000 157,206 SFCG Co., Ltd. 870 221,073
12 Sharp Corp. Osaka 81,000 1,252,575 Shiga Bank, Ltd. 15,000 92,785 Shikoku Bank, Ltd. 14,000 75,009 Shikoku Electric Power Co., Inc. 16,200 316,231 Shima Seiki Manufacturing Co., Ltd. 1,500 36,899 Shimachu Co., Ltd. 3,500 87,042 Shimadzu Corp. 12,000 71,080 Shimamura Co., Ltd. 2,400 185,336 Shimano, Inc. 7,700 221,514 Shimizu Corp. 52,000 230,674 Shin-Etsu Chemical Co., Ltd. 31,400 1,158,164 Shinko Electric Industries Co., Ltd. 1,600 62,190 Shinko Securities Co., Ltd. 47,000 142,035 * Shinsei Bank, Ltd. 77,000 389,194 Shionogi & Co., Ltd. 23,000 315,103 Shiseido Co., Ltd. 27,000 324,195 Shizuoka Bank, Ltd. 45,000 387,862 Showa Corp. 2,300 28,723 Showa Denko KK 79,000 187,167 Showa Shell Sekiyu KK 35,100 339,885 Skylark Co., Ltd. 6,500 101,822 SMBC Friend Securities Co., Ltd. 16,500 84,827 SMC Corp. 5,000 529,084 * Snow Brand Milk Products Co., Ltd. 12,000 34,157 Softbank Corp. 28,600 1,024,098 Sohgo Security Services Co.,Ltd. 6,200 78,954 Sony Corp. 85,800 3,204,090 Square Enix Co., Ltd. 9,500 272,234 Stanley Electric Co., Ltd. 10,300 159,668 Sumisho Computer Systems Corp. 1,600 37,953 Sumitomo Bakelite Co., Ltd. 12,000 74,647 Sumitomo Chemical Co., Ltd. 106,000 496,110 Sumitomo Corp. 84,000 670,880 Sumitomo Corporation's Leasing, Ltd. 2,000 70,481 Sumitomo Electric Industries, Ltd. 57,000 597,862 Sumitomo Forestry Co., Ltd. 8,000 69,555 Sumitomo Heavy Industries, Ltd. 37,000 182,517 Sumitomo Metal Industries, Ltd. Osaka 332,000 558,547 Sumitomo Metal Mining Co., Ltd. 40,000 255,899 Sumitomo Mitsui Financial Group, Inc. 421 2,723,040 Sumitomo Osaka Cement Co., Ltd. 25,000 60,041 Sumitomo Real Estate Sales Co., Ltd. 1,200 53,785 Sumitomo Realty & Development Co., Ltd. 31,000 333,184 Sumitomo Rubber 16,000 169,847 Sumitomo Special Metals Co., Ltd. 4,000 90,655 Sumitomo Trust & Banking Co., Ltd. 118,000 697,927 Sumitomo Warehouse Co., Ltd. 10,000 51,148 Sundrug Co., Ltd. 1,000 37,593 Suruga Bank, Ltd. 15,000 122,283 Suzuken Co., Ltd. 6,980 185,314 Suzuki Motor Corp. 46,500 757,915 Sysmex Corp. 1,300 81,386 T&D Holdings, Inc. 16,900 846,442 Taiheiyo Cement Corp. 56,000 145,023
13 Taisei Corp. 71,000 235,057 Taisho Pharmaceutical Co., Ltd. 30,000 570,112 Taiyo Yuden Co., Ltd. 10,000 111,109 Takara Shuzo Co., Ltd. 10,000 63,199 Takara Standard Co., Ltd. 9,000 57,542 Takashimaya Co., Ltd. 19,000 159,088 Takeda Chemical Industries, Ltd. 74,900 3,597,236 Takefuji Corp. 10,350 640,174 Takuma Co., Ltd. 2,000 13,871 # * TC Properties Co., Ltd. 61,900 79,351 TDK Corp. 10,300 747,920 Teijin, Ltd. 57,000 250,258 Teikoku Oil Co., Ltd. 16,000 108,027 Terumo Corp. 13,000 341,860 The Nisshin Oillio Group, Ltd. 6,000 33,883 THK Co., Ltd. 7,200 145,390 TIS, Inc. 2,700 88,534 Toagosei Co., Ltd. 15,000 61,342 Tobu Railway Co., Ltd. 61,000 225,293 Toda Corp. 14,000 57,211 Toho Bank, Ltd. 14,000 57,339 Toho Co., Ltd. 12,800 179,696 Toho Gas Co., Ltd. 36,000 138,683 Toho Titanium Co., Ltd. 2,000 73,915 Tohuku Electric Power Co., Inc. 38,300 769,089 Tokai Rika Co., Ltd. 4,000 63,159 Tokai Rubber Industries, Ltd. 6,000 81,533 Tokai Tokyo Securities Co., Ltd. 8,000 23,558 Tokuyama Corp. 15,000 110,658 Tokyo Broadcasting System, Inc. 11,200 188,288 Tokyo Dome Corp. 10,000 54,403 Tokyo Electric Power Co., Ltd 100,800 2,360,478 Tokyo Electron, Ltd. 14,400 802,439 Tokyo Gas Co., Ltd. 217,000 850,014 Tokyo Seimitsu Co., Ltd. 1,600 64,373 Tokyo Steel Manufacturing Co., Ltd. 10,100 132,339 Tokyo Style Co., Ltd. 7,000 71,211 Tokyo Tatemono Co., Ltd. 12,000 82,901 Tokyo Tomin Bank, Ltd. 2,300 58,121 Tokyu Corp. 75,000 333,051 Tokyu Land Corp. 27,000 117,780 * Tomen Corp. 35,000 48,955 TonenGeneral Sekiyu KK 24,000 255,742 Toppan Forms Co., Ltd. 3,500 38,425 Toppan Printing Co., Ltd. 46,000 467,554 Toray Industries, Inc. 97,000 429,723 Toshiba Corp. 247,000 1,007,520 Toshiba Machine Co., Ltd. 7,000 38,118 Toshiba TEC Corp. 11,000 48,614 Tosoh Corp. 37,000 150,549 Tostem Inax Holding Corp. 22,740 386,832 Toto, Ltd. 25,000 197,751 Toyo Ink Manufacturing Co., Ltd. 13,000 50,528 Toyo Seikan Kaisha, Ltd. 15,300 265,223
14 Toyo Suisan Kaisha, Ltd. 7,000 109,751 Toyobo Co., Ltd. 37,000 83,829 Toyoda Gosei Co., Ltd. 10,100 176,538 Toyoda Machine Works, Ltd. 3,000 28,975 Toyota Auto Body Co., Ltd. 6,200 121,393 Toyota Industries Corp. 15,300 410,577 Toyota Motor Credit Corp. 248,400 8,829,632 # Toyota Tsusho Corp. 18,000 304,181 Trans Cosmos, Inc. 1,000 34,112 Trend Micro Inc. 9,500 295,617 Tsumura & Co. 4,000 69,764 TV Asahi Corp. 50 102,409 Ube Industries, Ltd. 52,000 98,145 * UFJ Holdings, Inc. 367 1,851,069 * UFJ Tsubasa Securities Co. Ltd. 36,000 122,314 Uni-Charm Corp. 4,600 187,121 Uniden Corp. 5,000 74,907 Union Tool Co. 800 23,301 UNY Co., Ltd. 12,000 130,156 * Urban Corp. 1,300 47,779 Ushio Inc. 7,000 134,933 USS Co., Ltd. 1,720 108,252 Victor Co. of Japan, Ltd. 16,000 125,067 Wacoal Corp. 7,000 93,069 * West Japan Railway Co. 136 464,218 World Co., Ltd. 2,800 92,890 Xebio Co., Ltd. 1,700 47,796 Yahoo Japan Corp. 1,500 3,006,318 Yakult Honsha Co., Ltd. 12,000 221,266 Yamada Denki Co., Ltd. 5,300 287,774 Yamaguchi Bank, Ltd. 13,000 147,049 Yamaha Corp. 14,500 211,769 Yamaha Motor Co., Ltd. 21,000 382,681 Yamanashi Chuo Bank, Ltd. 10,000 60,027 Yamanouchi Pharmaceutical Co., Ltd. 38,255 1,362,123 Yamatake Corp. 3,700 61,048 Yamato Kogyo Co., Ltd. 3,000 34,376 Yamato Transport Co., Ltd. 33,000 460,321 Yamazaki Baking Co., Ltd. 12,000 103,102 * Yaskawa Electric Corp. 12,000 67,685 Yasuda Fire & Marine Insurance Co., Ltd. 66,000 666,781 # Yasuda Trust & Banking Co., Ltd. 667,000 1,011,504 Yodogawa Steel Works, Ltd. 8,000 42,235 Yokogawa Electric Corp. 14,000 172,706 Yokohama Rubber Co., Ltd. 21,000 86,284 York-Benimaru Co., Ltd. 2,700 75,055 * Yoshinoya D&C Co., Ltd. 19 29,745 Zeon Corp. 15,000 130,333 ---------------- TOTAL COMMON STOCKS (Cost $222,416,289) 213,115,847 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Japanese Yen 82,312 ---------------- (Cost $82,940) TOTAL -- JAPAN (Cost $222,499,229) 213,198,159 ----------------
15 FRANCE -- (8.2%) COMMON STOCKS -- (8.2%) # Accor SA 16,187 746,294 Air France 24,260 386,115 # Air Liquide SA 9,412 1,635,865 Air Liquide SA Primes De Fid 02 11,393 1,989,401 * Alcatel SA 99,180 1,083,444 * Alstom SA 321,074 292,534 Arcelor SA 29,800 592,554 # Assurances Generales de France (AGF) 15,535 1,246,063 * Atos Origin 4,218 260,964 # AXA 129,554 3,162,236 # BNP Paribas SA 72,070 4,844,918 Bollore Technologies SA 203 99,138 # Bouygues 25,936 997,400 * Business Objects SA 5,500 157,932 * Cap Gemini SA 9,658 308,111 # Carrefour 47,596 2,359,753 # Casino Guichard Perrachon 9,856 735,764 Cie Generale D'Optique Essilor Intenational SA 7,532 516,206 Clarins SA 1,307 80,353 * CNP Assurances 2,921 195,783 # Compagnie de Saint-Gobain 27,653 1,590,576 Compagnie Francaise d'Etudes et de Construction Technip SA 7,160 316,256 Dassault Systemes SA 9,666 448,409 # Dior (Christian) SA 17,202 1,247,783 Eiffage SA 3,165 252,583 Esso SA 173 29,146 Euler-Hermes SA 3,120 235,889 * European Aeronautic Defence & Space Co. 21,888 647,011 Faurecia SA 1,328 99,601 Fimalac SA 560 25,645 # * France Telecom SA 231,887 6,593,043 * Gecina SA 5,098 618,240 # Generale des Establissements Michelin SA Series B 10,031 633,618 # Groupe Danone 20,359 1,870,510 # Havas SA 27,830 164,460 # Hermes International SA 4,009 775,940 Iliad SA 2,200 77,602 Imerys SA 5,342 384,967 * JC Decaux SA 18,441 446,395 Klepierre SA 1,862 175,315 # LaFarge SA 14,341 1,297,720 LaFarge SA Prime Fidelity 8,912 812,634 # Lagardere S.C.A. SA 10,537 750,245 # L'Oreal 64,016 4,635,405 # LVMH (Louis Vuitton Moet Hennessy) 43,990 3,138,346 Metropole Television SA 10,023 250,424
16 Neopost SA 2,155 192,391 NRJ Group 3,492 71,882 # Pernod-Ricard SA 4,485 692,739 # Peugeot SA 16,477 986,127 # Pinault Printemps Redoute SA 9,979 987,712 Publicis Groupe 14,334 420,431 Rallye SA 1,275 63,320 Remy Cointreau SA 2,257 95,244 # Renault SA 20,388 1,744,260 Sagem SA 13,268 251,085 # Sanofi Synthelabo 99,510 8,954,779 # Schneider SA 18,030 1,325,641 * Scor SA 28,551 58,503 SEB SA Prime Fidelite 2002 953 97,893 SEB SA Prime Fidelity 990 101,785 Societe BIC SA 3,600 193,293 # Societe des Ciments de Francais 1,006 91,941 # Societe Generale Paris 28,923 2,841,986 # Societe Television Francaise 1 17,323 468,796 Sodexho Alliance SA 11,496 369,067 Somfy Interational SA 134 27,121 # Ste des Autoroutes du Sud de la France 25,546 1,317,896 Stmicroelectronics NV 53,696 832,550 # Suez (ex Suez Lyonnaise des Eaux) 70,519 1,896,705 # Thales SA 16,134 644,020 # Thomson Multimedia 16,643 422,570 # Total SA 49,434 10,993,233 Unibail SA 3,395 431,488 Valeo SA 5,890 246,497 # Veolia Environnement SA 29,204 1,106,330 # Vinci SA 11,396 853,265 # Vivendi Universal SA 89,770 2,733,870 Wendel Investissement 4,149 329,890 Zodiac SA 4,549 221,092 ---------------- TOTAL COMMON STOCKS (Cost $78,314,817) 91,273,993 ---------------- RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 2,377 1,083 ---------------- (Cost $4,469) TOTAL -- FRANCE (Cost $78,319,286) 91,275,076 ---------------- GERMANY -- (5.9%) COMMON STOCKS -- (5.9%) * Aachener und Muenchener Beteiligungs AG 5,721 462,208 Adidas-Salomon AG 3,668 610,147 # * Aixtron AG 2,400 7,808 Allianz AG 28,115 3,310,285 Altana AG 14,018 832,270 # BASF AG 45,217 3,000,881
17 # Bayer AG 59,643 2,002,778 # Bayerische Motorenwerke AG 59,234 2,561,133 * Bayerische Vereinsbank AG 51,617 1,268,381 Beiersdorf AG 12,509 1,340,463 BHW Holding AG 1,358 23,303 # Commerzbank AG 43,148 937,121 # Continental AG 10,033 710,527 * D. Logistics AG 1,200 2,537 # DaimlerChrysler AG 79,549 3,207,104 # Deutsche Bank AG 45,186 3,515,426 Deutsche Boerse AG 8,822 649,003 # Deutsche Lufthansa AG 43,579 549,520 Deutsche Post AG 135,361 3,174,945 Deutsche Telekom AG 354,516 6,588,307 Douglas Holding AG 1,500 50,909 E.ON AG 56,479 4,903,165 * Epcos AG 2,800 35,845 Fraport AG 9,524 393,238 * Freenet.De AG 2,562 64,734 # Fresenius Medical Care AG 6,632 520,919 Gehe AG 9,662 791,542 Hannover Rueckversicherungs AG 12,626 481,359 * Heidelberger Druckmaschinen AG 6,690 206,547 Heidelberger Zement AG 9,226 590,063 Henkel KGAA 1,961 170,435 Hochtief AG 4,316 146,660 Hugo Boss AG 808 24,139 Hypo Real Estate Holding AG 10,787 424,812 * Infineon Technologies AG 54,518 480,117 * IVG Immobilien AG 3,712 67,435 K & S Aktiengesellschaft AG 2,419 129,168 * Karstadt Quelle AG 10,229 112,477 * Lanxess 4,179 88,657 # * Linde AG 9,032 612,940 # MAN AG 12,430 551,407 # Medion AG 2,850 44,074 Merck KGAA 4,005 312,828 Metro AG 36,404 1,816,036 * MG Technologies AG 14,061 159,429 Munchener Rueckversicherungs-Gesellschaft AG 17,069 1,866,256 Oldenburgische Landesbank AG 969 70,780 # Preussag AG 12,979 321,774 Puma AG 1,055 267,343 Rheinmetall Berlin AG 1,424 72,242 Rwe AG (Neu) 800 42,259 Rwe AG (NEU) Series A 38,004 2,321,049 SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung) 25,996 4,287,803 Schering AG 12,657 794,686 Schwarz Pharma AG 2,790 122,222 * SGL Carbon AG 1,750 20,615 Siemens AG 71,302 5,218,898 Stada Arzneimittel AG 2,242 69,141 Suedzucker AG 18,765 354,071
18 ThyssenKrupp AG 44,279 812,909 United Internet AG 1,321 34,210 Volkswagen AG 24,379 1,072,922 * WCM Beteiligungs AG 11,608 6,281 ---------------- TOTAL -- GERMANY (Cost $64,930,249) 65,688,543 ---------------- SWITZERLAND -- (5.9%) COMMON STOCKS -- (5.9%) * ABB, Ltd. 165,197 1,078,864 * Actelion, Ltd. 1,600 162,141 Adecco SA 18,801 891,650 Baloise-Holding 4,100 214,086 BKW FMB Energie AG 556 329,690 Ciba Spezialitaetenchemie Holding AG 5,321 316,369 Cie Financiere Richemont AG Series A 46,023 1,401,176 * Clariant AG 18,560 260,157 Credit Swisse Group 96,225 3,849,392 * Fischer (Georg) AG, Schaffhausen 145 42,984 * Forbo Holding AG, Eglisau 102 19,444 Geberit AG 314 206,219 Givaudan SA 613 364,867 Holcim, Ltd. 21,899 1,331,212 # * Julius Baer Holding AG 3,453 210,341 Kudelski SA 3,084 108,557 Kuehne & Nagel International AG 3,032 631,538 * Kuoni Reisen Holding AG 180 71,395 Lindt & Spruengli AG 12 191,742 * Logitech International SA 3,719 221,470 Lonza Group AG 2,970 181,160 Nestle SA, Cham und Vevey 35,676 9,390,043 Nobel Biocare Holding AG 1,832 365,225 Novartis AG 236,286 11,534,671 Phonak Holding AG 4,487 164,516 Publicitas Holding SA, Lausanne 104 30,312 Roche Holding AG Bearer 26,618 3,852,257 Roche Holding AG Genusschein 59,538 7,499,453 Schindler Holding AG 210 75,397 Schindler Holding AG 1,845 663,956 Serono SA 1,432 873,400 Societe Generale de Surveillance Holding SA 933 655,246 Straumann Holding AG 1,836 369,601 Sulzer AG, Winterthur 165 68,620 Swatch Group AG 2,692 356,055 * Swiss Life AG 2,640 348,581 # Swiss Reinsurance Co., Zurich 27,255 1,687,148 Swisscom AG 10,343 3,461,537 * Syngenta AG 8,613 890,390 Synthes, Inc. 10,130 1,111,264 Tecan Group AG 627 17,907 The Swatch Group AG 18,164 497,104
19 UBS AG 95,271 7,357,923 # Unaxis Holding AG 912 127,967 * Valora Holding AG 209 45,860 * Zurich Financial SVCS AG 12,187 2,024,434 ---------------- TOTAL COMMON STOCKS (Cost $51,368,768) 65,553,321 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs 15,302 ---------------- (Cost $15,636) TOTAL -- SWITZERLAND (Cost $51,384,404) 65,568,623 ---------------- AUSTRALIA -- (4.4%) COMMON STOCKS -- (4.4%) ABC Learning Centres, Ltd. 13,810 55,167 Alinta, Ltd. 20,508 152,650 Amcor, Ltd. 68,662 351,213 AMP, Ltd. 158,850 789,468 Ansell, Ltd. 12,403 85,985 APN News & Media, Ltd. 49,644 190,915 Aristocrat Leisure, Ltd. 49,521 390,409 # Australand Property Group 55,200 58,751 Australia & New Zealand Banking Group, Ltd. 158,581 2,564,740 Australian Gas Light Co. 40,414 424,034 Australian Stock Exchange, Ltd. 7,599 131,100 * Australian Wealth Management, Ltd. 17,398 12,615 AWB, Ltd. 25,051 84,064 AXA Asia Pacific Holdings, Ltd. 244,297 856,027 Bendigo Bank, Ltd. 9,970 72,887 BHP Billiton, Ltd. 326,085 4,088,585 Billabong International, Ltd. 17,806 165,753 Bluescope Steel, Ltd. 60,628 368,291 Boral, Ltd. 49,907 223,272 Brambles Industries, Ltd. 84,826 508,229 Brickworks, Ltd. 9,442 71,927 * Burns, Philp & Co., Ltd. 147,539 98,310 Caltex Australia, Ltd. 29,754 338,389 * Challenger Financial Services Group, Ltd. 38,847 97,781 Coca-Cola Amatil, Ltd. 40,824 241,686 Cochlear, Ltd. 4,162 101,332 Coles Myer, Ltd. 100,590 691,252 Commonwealth Bank of Australia 111,378 3,111,357 Computershare, Ltd. 51,406 227,959 CSL, Ltd. 16,771 365,010 CSR, Ltd. 67,847 126,620 DB RREEF Trust 43,342 44,787 DCA Group, Ltd. 31,921 83,729 Downer Group, Ltd. 17,631 70,239 Flight Centre, Ltd. 6,023 65,420 Foodland Associates, Ltd. 8,315 165,978
20 Foster's Group, Ltd. 172,992 703,984 Futuris Corp., Ltd. 44,053 56,141 General Property Trust 75,385 200,751 Gunns, Ltd. 27,987 81,458 * Hardman Resources NL 33,188 45,468 Harvey Norman Holdings, Ltd. 128,448 237,119 Iluka Resources, Ltd. 20,985 97,246 Insurance Australiz Group, Ltd. 136,198 599,897 James Hardies Industries NL 30,184 152,756 John Fairfax Holdings, Ltd. 76,451 240,833 Leighton Holdings, Ltd. 30,749 239,952 Lend Lease Corp., Ltd. 31,264 288,023 * Lihir Gold, Ltd. 79,000 63,726 Lion Nathan, Ltd. 63,050 349,305 Macquarie Bank, Ltd. 18,800 713,296 Macquarie Goodman Group 102,680 310,216 Macquarie Infrastructure Group 83,347 244,566 Mayne Group, Ltd. 50,885 177,493 # * Metcash Limited 94,739 268,336 Mirvac, Ltd. 67,012 168,836 * Multiplex Group 59,010 114,100 National Australia Bank, Ltd. 138,432 3,285,797 National Foods, Ltd. 17,881 85,901 Newcrest Mining, Ltd. 24,364 243,896 Nufarm, Ltd. 11,456 76,220 * Oil Search, Ltd. 67,498 121,911 Onesteel, Ltd. 38,516 72,942 Orica, Ltd. 22,231 263,730 Origin Energy, Ltd. 64,493 347,387 * Oxiana, Ltd. 52,556 34,018 Pacific Brands, Ltd. 39,285 66,870 Paperlinx, Ltd. 29,331 51,272 Patrick Corp., Ltd. 50,695 217,454 Perpetual Trustees Australia, Ltd. 2,758 116,386 Promina Group, Ltd. 86,780 333,200 Publishing and Broadcasting, Ltd. 118,759 1,363,795 QBE Insurance Group, Ltd. 67,065 741,229 Quantas Airways, Ltd. 332,379 806,248 Rinker Group, Ltd. 80,131 744,010 # Rio Tinto, Ltd. 44,239 1,415,343 Rural Press, Ltd. 8,895 68,374 Santos, Ltd. 47,603 361,579 * Scigen 11,443 432 SFE Corp., Ltd. 9,801 74,490 Sigma Co., Ltd. 7,216 44,634 Sims Group, Ltd. 6,740 68,581 Sonic Healthcare, Ltd. 20,706 180,986 * Sons of Gwalia, Ltd. 7,201 0 St. George Bank, Ltd. 44,108 866,579 Stockland Trust Group 33,269 138,600 * Stockland Trust Group Issue 05 1,124 4,635 Suncorp-Metway, Ltd. 47,615 703,560 Tab Queensland, Ltd. 8,003 80,809 Tabcorp Holdings, Ltd. 43,536 514,454
21 Telstra Corp., Ltd. 1,076,734 4,079,625 Ten Network Holdings, Ltd. 28,370 79,941 Toll Holdings, Ltd. 30,780 289,925 Transurban Group 59,543 326,232 * Virgin Blue Holdings, Ltd. 70,347 89,352 Washington H. Soul Pattinson & Co., Ltd. 18,899 128,354 Wesfarmers, Ltd. 31,257 865,208 West Australian Newspapers Holdings, Ltd. 15,484 89,723 * Westfield Group 1,187 14,972 Westfield Group Stapled 37,972 481,019 Westpac Banking Corp. 156,363 2,318,248 WMC Resources, Ltd. 77,964 454,159 WMC, Ltd. 95,810 396,914 Woodside Petroleum, Ltd. 70,327 1,312,320 Woolworths, Ltd. 86,513 1,047,927 Worley Group, Ltd. 12,260 65,072 ---------------- TOTAL COMMON STOCKS (Cost $33,118,345) 48,363,746 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Australian Dollar 197,429 ---------------- (Cost $197,620) TOTAL -- AUSTRALIA (Cost $33,315,965) 48,561,175 ---------------- NETHERLANDS -- (4.0%) COMMON STOCKS -- (4.0%) ABN AMRO Holding NV 160,214 3,720,734 Aegon NV 150,762 1,930,274 AKZO Nobel NV 25,960 1,019,845 Buhrmann NV 6,020 55,170 DSM NV 11,122 744,500 Elsevier NV 67,133 928,120 Getronics NV 27,590 45,121 * Hagemeyer NV 21,897 52,022 Heineken Holding NV Series A 40,723 1,156,070 Heineken NV 77,252 2,450,918 # Hunter Douglas NV 5,232 270,541 IHC Caland NV 2,636 169,024 ING Groep NV 219,463 6,072,380 # * Ispat International NV 20,616 508,236 * Koninklijke Ahold NV 145,070 1,095,076 Koninklijke KPN NV 241,808 1,922,943 Koninklijke Nedlloyd NV 4,376 300,292 Koninklijke Philips Electronics NV 122,480 3,132,930 * Norit NV 42,074 677,742 * Nutricia (Verenigde Bedrijven) NV 15,794 629,756 Oce NV 4,991 72,313 Randstad Holdings NV 20,298 726,276 Royal Dutch Petroleum Co., Den Haag 190,405 11,119,403 TNT Post Groep NV 57,222 1,461,685
22 # Unilever NV 50,102 3,321,654 Vedior NV 15,338 217,854 VNU NV 23,417 637,006 Wolters Kluwer NV 27,979 490,845 ---------------- TOTAL COMMON STOCKS (Cost $43,261,593) 44,928,730 ---------------- RIGHTS/WARRANTS -- (0.0%) * SBM Offshore Coupons 2,636 0 ---------------- (Cost $0) TOTAL -- NETHERLANDS (Cost $43,261,593) 44,928,730 ---------------- ITALY -- (3.2%) COMMON STOCKS -- (3.2%) Acea SpA 7,694 86,811 AEM SpA 102,681 215,627 * Alitalia Linee Aeree Italiane SpA Series A 50,000 15,895 # Alleanza Assicurazioni SpA 52,431 560,544 ASM Brescia SpA 7,586 24,122 # Assicurazioni Generali SpA, Trieste 78,677 2,390,188 Autogrill SpA, Novara 14,752 205,152 # Autostade SpA 40,846 1,063,882 Banca Antoniana Popolare Veneta SpA 14,739 470,547 Banca Fideuram SpA 70,232 346,825 # Banca Monte Dei Paschi di Siena SpA 176,149 632,583 # * Banca Nazionale del Lavoro SpA 173,414 584,556 Banca Popolare di Lodi Scarl 14,675 143,129 Banca Popolare di Milano 30,454 308,543 # Banco Popolare Bergamo SpA 19,238 389,851 Banco Popolare di Verona e Novara SpA 29,390 532,686 Benetton Group SpA 6,950 63,067 Bulgari SpA 16,639 185,858 Buzzi Unicem SpA 3,954 56,895 Capitalia SpA 125,484 655,610 Cassa di Risparmio di Firenze SpA 34,725 86,612 CIR SpA (Cie Industriale Riunite), Torino 34,312 94,832 Compagnia Assicuratrice Unipol SpA 34,504 136,657 Credito Bergamasco SpA 854 25,240 Credito Emiliano SpA 12,917 145,584 # Credito Italiano 379,350 1,963,513 Davide Campari - Milano SpA 10,200 72,840 * E.Biscom SpA 3,329 145,358 # * Edison SpA 370,539 839,467 # Eni SpA 237,013 6,069,975 # Ente Nazionale per L'Energia Elettrica SpA 461,796 4,153,898 * Fiat SpA 47,140 317,619 Finecogroup SpA 18,285 156,722 Finmeccanica SpA 385,000 350,528 # Gruppo Editoriale L'espresso SpA 21,573 123,254 * Hera SpA 36,487 102,523
23 Intesabci SpA 397,132 1,854,736 Italcementi SpA 8,940 138,059 Italmobiliare SpA, Milano 449 27,892 Lottomatica SpA 2,664 89,075 # Luxottica Group SpA 40,566 842,224 # Mediaset SpA 83,030 978,552 Mediobanca SpA 34,000 591,233 # Mediolanum SpA 44,701 285,579 Milano Assicurazioni SpA 9,884 56,190 Mondadori (Arnoldo) Editore SpA 13,860 134,053 Pirelli & Co. SpA 93,332 103,004 # RAS SpA (Riunione Adriatica di Sicurta) 50,861 980,686 # SAI SpA (Sta Assicuratrice Industriale), Torino 6,188 161,279 # Saipem SpA 24,958 315,063 # San Paolo-IMI SpA 96,588 1,341,524 * Seat Pagine Gialle SpA 429,123 174,395 * Seat Pagine Gialle SpA, Torino 3,591 1,698 SNAM Rete Gas SpA 142,784 764,677 * SNIA SpA 9,248 3,213 Societe Cattolica di Assicurazoni Scarl SpA 3,387 148,164 * Sorin SpA 13,872 41,525 Telecom Italia Mobile SpA 39,514 219,554 Telecom Italia SpA 740,972 2,378,691 * Tiscali SpA 13,000 38,798 ---------------- TOTAL COMMON STOCKS (Cost $29,690,692) 35,386,857 ---------------- PREFERRED STOCKS -- (0.0%) * Fiat SpA 3,000 16,168 ---------------- (Cost $43,047) RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 01/31/07 1,677 392 ---------------- (Cost $0) TOTAL -- ITALY (Cost $29,733,739) 35,403,417 ---------------- SPAIN -- (3.2%) COMMON STOCKS -- (3.2%) Acciona SA 5,051 463,450 Acerinox SA 15,983 230,663 Actividades de Construccion y Servicios SA 22,866 607,527 Antena 3 de Television SA 9,360 187,382 # Autopistas Concesionaria Espanola SA 44,293 987,875 Banco Bilbao Vizcaya SA 182,100 2,855,438 Banco de Andalucia 655 57,729 Banco de Sabadell SA 18,074 474,044 # Banco de Valencia SA 5,586 162,489 * Banco Espanol de Credito SA 39,155 563,771 # Banco Pastor SA 2,530 94,443 Banco Popular Espanol SA, Madrid 15,148 902,424
24 # Banco Santander Central Hispanoamerica SA 504,762 5,766,128 Bankinter SA 3,867 196,084 Cementos Portland SA 1,338 91,871 Cia Espanola de Petroleous SA 13,626 536,569 Compania de Distribucion Integral Logista SA 1,928 96,348 Coporacion Financiera Reunida SA 6,070 77,013 Corporacion Mapfre Compania Internacional de Reaseguros SA 15,336 223,492 Ebro Puleva SA 8,097 145,656 Enagas SA 14,223 226,365 Endesa SA, Madrid 80,559 1,753,292 Fomento de Construcciones y Contratas SA 11,974 659,527 # Gamesa Corporacion Tecnologica SA 12,172 164,691 Gas Natural SA, Buenos Aires 43,183 1,210,460 # Grupo Ferrovial SA 11,821 727,492 # Iberdrola SA 64,787 1,652,554 Iberia Lineas Aereas de Espana SA 65,471 206,957 Indra Sistemas SA 9,037 165,159 Industria de Diseno Textil SA 60,827 1,724,185 Inmobiliaria Urbis SA 2,577 43,731 # Metrovacesa SA 4,468 270,705 Promotora de Informaciones SA 17,174 336,419 Red Electrica de Espana SA 7,740 191,773 Repsol SA 77,069 1,927,286 * Sociedad General de Aguas de Barcelona SA 62 1,246 Sociedad General de Aguas de Barcelona SA Class A 8,008 161,285 # * Sogecable SA 8,794 321,037 Sol Melia SA 8,400 88,165 Tabacalera SA 19,552 801,538 Tele Pizza SA 7,000 14,278 Telefonica de Espana SA 350,218 5,871,750 # Telefonica Publicidad e Informacion SA 26,439 223,024 Union Fenosa SA 19,200 577,811 Vallehermoso SA 20,299 409,079 # Zardoya Otis SA 16,449 475,036 Zeltia SA 10,500 84,588 ---------------- TOTAL COMMON STOCKS (Cost $25,422,245) 35,009,829 ---------------- RIGHTS/WARRANTS -- (0.0%) * Banco Valencia SA Rights 06/07/05 5,586 3,368 * Sogecable SA Rights 06/07/05 8,794 3,679 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 7,047 ---------------- TOTAL -- SPAIN (Cost $25,422,245) 35,016,876 ---------------- SWEDEN -- (2.0%) COMMON STOCKS -- (2.0%) Alfa Laval AB 7,600 114,537 Assa Abloy AB Series B 24,100 316,772
25 Atlas Copco AB Series A 30,300 462,112 * Atlas Copco AB Series A Redemption Shares 10,100 27,147 Atlas Copco AB Series B 16,200 227,481 * Atlas Copco AB Series B Redemption Shares 5,400 14,514 Axfood AB 3,550 88,314 Billerud AB 3,200 38,669 Castellum AB 3,250 125,309 Electrolux AB Series B 23,700 518,084 Eniro AB 12,700 144,586 Fabege AB 6,135 123,790 Gambro AB Series A 19,800 262,608 Gambro AB Series B 7,200 95,932 Getinge AB 11,600 168,483 Hennes & Mauritz AB Series B 67,750 2,389,900 Hoganas AB Series B 1,300 34,273 Holmen AB Series B 6,000 161,369 Lennart Wallenstam Byggnads AB Class B 18,500 245,444 * Lundin Petroleum AB 14,500 104,737 * Modern Times Group AB Series B 4,150 127,991 NCC AB Series B 3,200 46,954 Nordic Baltic Holdings AB 233,048 2,128,696 * OMHEX AB 6,500 78,432 # Sandvik AB 19,200 759,651 # Scania AB Series A 4,000 145,423 Scania AB Series B 7,800 284,856 Securitas AB Series B 24,100 401,377 Skandia Insurance AB 75,500 417,025 Skandinaviska Enskilda Banken Series A 60,900 1,047,629 Skanska AB Series B 31,100 389,670 SKF AB Series A 9,200 94,066 * SKF AB Series A Redemption Shares 2,300 7,697 SKF AB Series B 30,400 310,557 * SKF AB Series B Redemption Shares 7,600 25,432 SSAB Swedish Steel Series A 4,700 114,257 SSAB Swedish Steel Series B 2,600 61,066 Svenska Cellulosa AB Series B 14,300 486,832 Svenska Handelsbanken Series A 50,700 1,096,578 Swedish Match AB (Frueher Svenska Taendsticks AB) 24,000 275,061 Tele2 AB Series A 2,400 23,204 * Tele2 AB Series A Redemption Shares 800 1,070 Tele2 AB Series B 30,150 288,017 * Tele2 AB Series B Redemption Shares 10,050 13,439 Telefon AB L.M. Ericsson Series B 1,251,800 3,936,917 Telia AB 555,400 2,748,671 Tietoenator Corp. AB 3,400 104,297 Trelleborg AB Series B 5,800 90,106 Volvo AB Series A 11,700 462,198 Volvo AB Series B 24,700 1,009,822 * Wihlborgs Fastigheter AB 1,227 28,857 WM-Data AB Series B 8,500 22,141 ---------------- TOTAL COMMON STOCKS (Cost $18,457,469) 22,692,050 ----------------
26 INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona 58,904 ---------------- (Cost $59,725) RIGHTS/WARRANTS -- (0.0%) * Sandvik AB Redeemable Rights 06/07/05 19,200 11,276 ---------------- (Cost $0) TOTAL -- SWEDEN (Cost $18,517,194) 22,762,230 ---------------- HONG KONG -- (1.6%) COMMON STOCKS -- (1.6%) # ASM Pacific Technology, Ltd. 12,000 52,660 Bank of East Asia, Ltd. 110,149 323,581 Cathay Pacific Airways, Ltd. 221,000 399,389 Chaoda Modern Agriculture (Holdings), Ltd. 88,000 36,396 Cheung Kong Holdings, Ltd. 135,600 1,233,317 Cheung Kong Infrastructure Holdings, Ltd. 129,000 388,528 China Merchants Holdings (International) Co., Ltd. 90,000 167,793 China Overseas Land & Investment, Ltd. 210,000 39,269 China Travel International Investment, Ltd. 126,000 34,691 China Unicom, Ltd. 642,000 514,786 * CITIC 21CN Co., Ltd. 116,000 32,702 Citic Ka Wah Bank, Ltd. 84,000 30,937 Citic Pacific, Ltd. 94,000 261,484 CLP Holdings, Ltd. 155,400 888,204 CNOOC, Ltd. 2,166,500 1,187,876 Dah Sing Banking Group, Ltd. 720 1,298 Dah Sing Financial Holdings, Ltd. 8,059 52,249 Esprit Holdings, Ltd. 70,041 500,334 * First Pacific Co., Ltd. 130,000 44,574 Giordano International, Ltd. 98,000 64,175 Global Bio-Chem Technology Group Co., Ltd. 70,000 47,046 GOME Electrical Appliances Holdings, Ltd. 56,000 55,720 Great Eagle Holdings, Ltd. 16,000 36,425 Hang Lung Development Co., Ltd. 70,000 119,392 Hang Lung Properties, Ltd. 113,500 164,354 Hang Seng Bank, Ltd. 131,100 1,757,441 # Henderson Investment, Ltd. 119,000 166,207 Henderson Land Development Co., Ltd. 117,000 532,172 Hong Kong and China Gas Co., Ltd. 305,000 612,708 Hong Kong and Shanghai Hotels, Ltd. 43,001 44,918 Hong Kong Electric Holdings, Ltd. 119,207 526,499 Hong Kong Exchanges & Clearing, Ltd. 48,000 117,575 Hopewell Holdings, Ltd. 49,000 121,015 Hutchison Whampoa, Ltd. 256,500 2,225,886 Hysan Development Co., Ltd. 54,462 109,564 I-Cable Communications, Ltd. 9,854 3,447 Johnson Electric Holdings, Ltd. 168,000 157,074 K. Wah Construction Materials, Ltd. 42,000 34,009 Kerry Properties, Ltd. 41,255 90,266 Kingboard Chemical Holdings, Ltd. 34,000 103,336
27 Kowloon Motor Bus Holdings, Ltd. 12,800 69,067 Legend Group, Ltd. 248,000 78,448 Li & Fung, Ltd. 126,000 240,477 Melco International Development, Ltd. 32,000 37,222 MTR Corp., Ltd. 225,570 415,042 New World Development Co., Ltd. 155,477 162,208 NWS Holdings Ltd. 67,000 92,893 PCCW, Ltd. 235,265 143,632 SCMP Group, Ltd. 39,198 16,978 Shanghai Industrial Holdings, Ltd. 26,000 50,385 # Shangri-La Asia, Ltd. 100,913 152,354 Shun Tak Holdings, Ltd. 80,000 75,319 Silver Grant International Industries, Ltd. 62,000 29,187 # Sino Land Co., Ltd. 184,485 188,920 Smartone Telecommunications Holdings, Ltd. 23,000 25,558 Sung Hungkai Properties, Ltd. 135,706 1,291,519 Swire Pacific, Ltd. Series A 42,500 362,302 Techtronic Industries Co., Ltd. 67,500 150,747 Television Broadcasts, Ltd. 20,000 101,895 Texwinca Holdings, Ltd. 60,000 47,768 * Tingyi (Cayman Islands) Holding Corp. 118,000 32,219 Union Bank of Hong Kong, Ltd. 24,000 29,702 Wharf Holdings, Ltd. 136,542 445,298 Wheelock and Co., Ltd. 70,000 100,818 Wheelock Properties, Ltd. 70,000 35,908 Wing Hang Bank, Ltd. 12,500 89,069 Wing Lung Bank, Ltd. 4,600 34,844 Yue Yuen Industrial (Holdings), Ltd. 78,500 232,672 ---------------- TOTAL COMMON STOCKS (Cost $16,727,871) 18,011,748 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars 32,169 ---------------- (Cost $32,171) TOTAL -- HONG KONG (Cost $16,760,042) 18,043,917 ---------------- FINLAND -- (1.3%) COMMON STOCKS -- (1.3%) Amer-Yhtymae Oyj Series A 4,500 76,479 Elisa Communications Corp. 10,063 150,717 Fortum Oyj 113,088 1,713,057 KCI Konecranes International Oyj 700 28,593 Kemira GrowHow Oyj 1,275 9,878 Kemira Oyj 6,000 79,869 Kesko Oyj 6,400 153,398 Kone Corp. 5,140 425,464 Metso Oyj 10,444 209,101 M-Real Oyj Series B 26,000 140,346 * Neste Oil Oyj 28,272 631,444 Nokia Oyj 372,121 6,258,856
28 Nokian Renkaat Oyj 5,000 89,220 Orion-Yhtyma Oyj Series A 4,200 81,547 Orion-Yhtyma Oyj Series B 5,800 112,821 Outokumpu Oyj Series A 19,700 271,710 Pohjola Group P.L.C. Series D 9,600 121,852 Rautaruukki Oyj Series K 8,700 122,560 Sampo Insurance Co., Ltd. 61,500 868,186 Sanoma-Wsoy Oyj Series A 1,391 34,223 Sanoma-Wsoy Oyj Series B 14,403 337,842 Stora Enso Oyj Series R 67,900 892,141 Tietoenator Corp. 5,460 168,303 Upm-Kymmene Oyj 45,800 885,514 Uponor Oyj Series A 4,600 85,324 Wartsila Corp. Oyj Series B 6,750 203,070 ---------------- TOTAL -- FINLAND (Cost $11,284,993) 14,151,515 ---------------- BELGIUM -- (1.0%) COMMON STOCKS -- (1.0%) AGFA-Gevaert NV, Mortsel 7,300 208,992 Barco (New) NV 400 29,055 Bekaert SA 700 51,894 Cofinimmo SA 200 31,762 Colruyt SA Halle 1,700 246,538 Compagnie Maritime Belge 1,500 48,981 * Cumerio 1,431 19,722 * Cumerio VVPR 55 2 # Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 4,572 269,802 # Dexia SA 55,596 1,206,268 D'Ieteren SA 290 57,584 # Electrabel SA 2,998 1,319,986 Euronav SA 1,500 44,431 Exmar NV 300 18,059 # Fortis AG 87,291 2,374,616 Groupe Bruxelles Lambert 2,500 212,642 Interbrew SA 29,842 986,171 KBC Bancassurance Holding SA 28,460 2,307,181 Mobistar SA 2,500 199,777 Omega Pharma SA 500 25,488 # Solvay SA 4,400 477,225 # UCB SA 7,600 347,333 * Umicore-Strip VVPR 55 7 Union Miniere SA 1,431 112,404 ---------------- TOTAL -- BELGIUM (Cost $7,841,615) 10,595,920 ----------------
29 DENMARK -- (0.7%) COMMON STOCKS -- (0.7%) Bang & Olufsen Holding A.S. Series B 290 18,652 Carlsberg A.S. Series B 3,475 170,125 Codan A.S. 950 46,478 Coloplast A.S. 1,940 109,296 Dampskibsselsk Torm A.S. 1,250 68,242 Dampskibsselskabet Svendborg A.S. 325 2,938,657 Danisco A.S. 3,950 271,971 Danske Bank A.S. 40,756 1,169,528 DSV, De Sammensluttede Vognmaend A.S. 1,580 122,538 East Asiatic Co., Ltd. 900 56,425 FLS Industries Series B 890 16,554 GN Great Nordic A.S. 16,720 192,040 * Group 4 Securicor A.S. 28,536 72,722 H. Lundbeck A.S. 17,802 445,569 * Jyske Bank A.S. 5,010 191,401 Koebenhavns Lufthavne 390 86,308 NKT Holding A.S. 1,100 42,794 Novo-Nordisk A.S. Series B 14,150 727,774 Novozymes A.S. Series B 4,380 212,592 Rockwool, Ltd. 350 24,292 Sydbank A.S. 4,880 101,237 Tele Danmark A.S. 16,210 714,696 * TK Development 614 3,897 * Topdanmark A.S. 1,300 93,344 * Vestas Wind Systems A.S. 5,866 95,328 * William Demant Holding 3,260 156,019 ---------------- TOTAL COMMON STOCKS (Cost $5,769,360) 8,148,479 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone 83,181 ---------------- (Cost $85,319) TOTAL -- DENMARK (Cost $5,854,679) 8,231,660 ---------------- SINGAPORE -- (0.7%) COMMON STOCKS -- (0.7%) Allgreen Properties, Ltd. 41,000 26,504 Asia Pacific Breweries, Ltd. 4,000 21,243 Capitacommercial Trust 23,100 20,925 # Capitaland, Ltd. 115,500 160,465 * Chartered Semiconductor Manufacturing, Ltd. 112,000 80,606 City Developments, Ltd. 32,000 131,188 Comfortdelgro Corp., Ltd. 132,000 134,395 * Cosco Corp., Ltd. 23,000 25,175 Creative Technology Co., Ltd. 3,000 23,853 Cycle & Carriage, Ltd. 9,097 67,012 DBS Group Holdings, Ltd. 95,000 791,031 Fraser & Neave, Ltd. 11,100 104,384 Great Eastern Holdings, Ltd. 21,000 180,093 Haw Par Brothers International, Ltd. 2,248 7,143
30 Hong Leong Finance, Ltd. 15,000 30,396 Keppel Corp., Ltd. 37,000 256,605 Keppel Land, Ltd. 22,000 30,038 MobileOne, Ltd. 41,390 50,909 Neptune Orient Lines, Ltd. 47,000 94,006 Overseas Chinese Banking Corp., Ltd. 89,300 743,849 Overseas Union Enterprise, Ltd. 6,000 30,039 Parkway Holdings, Ltd. 20,000 21,567 SembCorp Industries, Ltd. 73,320 99,632 * SembCorp Logistics, Ltd. 32,730 34,209 Sembcorp Marine, Ltd. 55,000 69,186 Singapore Airlines, Ltd. 85,000 584,715 Singapore Land, Ltd. 11,000 34,225 * Singapore Petroleum Co., Ltd. 11,000 27,161 * Singapore Post, Ltd. 58,000 31,977 Singapore Press Holdings, Ltd. 122,000 315,797 Singapore Technologies Engineering, Ltd. 174,000 250,366 Singapore Telecommunications, Ltd. 1,367,000 2,130,340 Smrt Corporation, Ltd. 59,000 37,831 * St Assembly test Services, Ltd. 80,000 57,877 United Industrial Corp., Ltd. 39,000 24,067 United Overseas Bank, Ltd. 98,000 839,835 United Overseas Land, Ltd. 22,000 28,962 Venture Manufacturing (Singapore), Ltd. 17,000 152,641 Wing Tai Holdings, Ltd. 22,166 11,806 ---------------- TOTAL COMMON STOCKS (Cost $7,769,250) 7,762,053 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars 25,559 ---------------- (Cost $25,612) TOTAL -- SINGAPORE (Cost $7,794,862) 7,787,612 ---------------- IRELAND -- (0.7%) COMMON STOCKS -- (0.7%) Allied Irish Banks P.L.C. 83,158 1,725,441 Anglo Irish Bank Corp. P.L.C. 57,332 671,061 Bank of Ireland P.L.C. 92,665 1,406,789 CRH P.L.C. 50,877 1,284,491 DCC P.L.C. 6,914 137,079 * Eircom Group P.L.C. 20,550 46,827 * Elan Corp. P.L.C. 33,579 256,365 Fyffes P.L.C. 17,987 50,452 Grafton Group P.L.C. 15,596 181,220 Greencore Group P.L.C. 13,520 56,808 IAWS Group P.L.C. 11,551 173,356 Independent News & Media P.L.C. 77,963 239,705 Irish Permanent P.L.C. 24,811 412,646 Kerry Group P.L.C. 22,953 564,900 Kingspan Group P.L.C. 7,855 91,435
31 * Ryanair Holdings P.L.C. 32,702 261,005 * Waterford Wedgwood P.L.C. 153,442 7,742 ---------------- TOTAL -- IRELAND (Cost $6,069,613) 7,567,322 ---------------- NORWAY -- (0.5%) COMMON STOCKS -- (0.5%) * Aker Kvaerner OGEP ASA 467 17,646 Aker Yards ASA 288 10,554 Den Norske Bank ASA Series A 57,400 555,187 * Fred Olsen Energy ASA 1,500 30,100 * Merkantildata ASA 6,800 1,967 * Nera ASA 6,300 13,371 Norsk Hydro ASA 16,900 1,369,699 Norske Skogindustrier ASA Series A 8,600 132,079 Odfjell ASA Series A 3,400 64,841 * Opticom ASA 600 4,455 Orkla ASA Series A 14,721 501,769 * Petroleum Geo-Services ASA (New) 1,200 81,339 Prosafe ASA 1,350 40,566 Schibsted ASA 3,700 97,661 Smedvig ASA Series A 3,800 66,524 Statoil Den Norske Stats Oljeselskap ASA 98,701 1,737,431 Storebrand ASA 18,700 155,584 Tandberg ASA Series A 8,000 85,528 Telenor ASA 83,141 662,110 Tomra Systems ASA 9,200 39,723 Wilhelmsen (Wilhelm), Ltd. ASA Series A 1,000 25,412 Yara International ASA 16,900 249,891 ---------------- TOTAL COMMON STOCKS (Cost $3,977,030) 5,943,437 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone 527 ---------------- (Cost $537) TOTAL -- NORWAY (Cost $3,977,567) 5,943,964 ---------------- GREECE -- (0.4%) COMMON STOCKS -- (0.4%) Alpha Credit Bank 22,420 616,241 Athens Water Supply & Sewage Co. S.A. 4,100 28,719 Attica Holdings S.A. 3,130 11,073 Bank of Piraeus S.A. 14,710 262,988 * Commercial Bank of Greece 4,680 143,366 Cosmote Mobile Telecommunications S.A. 21,450 384,242 EFG Eurobank Ergasias S.A. 18,520 570,561 Hellenic Bottling Co. S.A. 16,870 446,290
32 Hellenic Duty Free Shops S.A. 2,000 33,002 Hellenic Petroleum S.A. 15,660 150,573 Hellenic Technodomiki S.A. 4,680 24,407 Hellenic Telecommunication Organization Co. S.A. 33,920 604,313 Intracom S.A. 3,310 16,990 * Mailis (M.J.) S.A. 2,800 13,354 National Bank of Greece 20,700 698,621 * Public Power Corp. of Greece 15,920 393,755 Titan Cement Co. 4,180 124,814 Viohalco S.A. 2,800 17,965 ---------------- TOTAL -- GREECE (Cost $3,415,686) 4,541,274 ---------------- AUSTRIA -- (0.3%) COMMON STOCKS -- (0.3%) Bank Austria Creditanstalt AG 3,568 350,879 * Betandwin.com Interactive Entertainment AG 367 52,509 Boehler-Uddeholm AG 480 61,949 BWT AG 880 27,042 Erste Bank der Oesterreichischen Sparkassen AG 12,663 623,417 EVN AG 1,049 72,586 Flughafen Wien AG 579 37,084 * Immofinanz Immobilien Anlagen AG 8,273 74,749 Mayr-Melnhof Karton AG 472 67,274 Oesterreichische Elektrizitaetswirtschafts AG 810 209,521 OMV AG 1,728 605,200 * RHI AG, Wien 778 21,446 Telekom Austria AG 25,712 479,222 Uniqa Versicherungen AG 1,710 29,883 Voestalpine AG 1,802 121,491 Wienerberger AG 4,749 210,465 ---------------- TOTAL COMMON STOCKS (Cost $1,761,203) 3,044,717 ---------------- RIGHTS/WARRANTS -- (0.0%) * Boehler-Uddeholm AG Rights 06/02/05 480 0 ---------------- (Cost $0) TOTAL -- AUSTRIA (Cost $1,761,203) 3,044,717 ---------------- PORTUGAL -- (0.3%) COMMON STOCKS -- (0.3%) Banco Comercial Portugues SA 190,708 493,478 Banco Espirito Santo e Comercial de Lisboa 19,360 303,924 BPI SGPS SA 44,098 166,833 # Brisa Auto Estradas de Portugal SA 27,775 216,574 Cimpor Cimentos de Portugal SA 34,848 186,940 Electricidade de Portugal SA 187,612 476,321
33 Jeronimo Martins SGPS SA 7,355 102,943 # Portugal Telecom SA 65,007 666,519 PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA 6,410 136,165 Sonae SGPS SA 108,923 159,621 ---------------- TOTAL COMMON STOCKS (Cost $2,888,823) 2,909,318 ---------------- RIGHTS/WARRANTS -- (0.0%) PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA * Warrants 05/23/05 6,410 2,524 ---------------- (Cost $0) TOTAL -- PORTUGAL (Cost $2,888,823) 2,911,842 ---------------- EMU -- (0.2%) INVESTMENT IN CURRENCY -- (0.2%) * Euro Currency 2,288,023 ---------------- (Cost $2,342,556) NEW ZEALAND -- (0.2%) COMMON STOCKS -- (0.2%) Auckland International Airport, Ltd. 95,556 137,678 Carter Holt Harvey, Ltd. 124,305 156,131 Contact Energy, Ltd. 47,343 234,509 Fisher & Paykel Apppliances Holdings, Ltd. 14,080 30,676 Fisher & Paykel Healthcare Corp. 31,395 65,912 Fletcher Building, Ltd. 35,299 154,906 Independent Newspapers, Ltd. (Auckland) 21,417 93,771 Sky City Entertainment Group, Ltd. 29,418 88,722 Sky Network Television, Ltd. 17,139 79,463 Telecom Corporation of New Zealand, Ltd. 160,535 677,265 * Tower, Ltd. 21,977 32,065 Trustpower, Ltd. 14,898 59,181 Warehouse Group, Ltd. 14,200 32,533 ---------------- TOTAL COMMON STOCKS (Cost $1,177,729) 1,842,812 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar 2,858 ---------------- (Cost $2,904) TOTAL -- NEW ZEALAND (Cost $1,180,633) 1,845,670 ----------------
34
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (14.8%) ^ Repurchase Agreement, Deutsche Bank Securities & Morgan Stanley 2.96%, 06/01/05 (Collateralized by $320,972,265 U.S. TIPS 1.875%, 07/15/13 & U.S. STRIPS, maturities ranging from 05/15/20 to 11/15/21, valued at $164,624,642) to be repurchased at $161,409,041 (Cost $161,395,770) $ 161,396 161,395,770 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $2,766,000 FNMA Notes 2.95%, 11/14/07, valued at $2,762,543) to be repurchased at $2,721,218 (Cost $2,721,000) 2,721 2,721,000 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $164,116,770) 164,116,770 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $1,000,237,086) $ 1,109,524,429 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. ^ Security purchased with cash proceeds from securities on loan. # Total or Partial Securities on Loan. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 35 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULES OF INVESTMENTS MAY 31, 2005 INTERNATIONAL SMALL COMPANY PORTFOLIO (UNAUDITED)
VALUE+ ------ Investment Companies (99.8%): Investment in The Continental Small Company Series of The DFA Investment Trust Company (35.2%) (Cost $470,941,624) $ 718,491,876 Investment in The Japanese Small Company Series of The DFA Investment Trust Company (30.8%) (Cost $519,448,899) 632,216,610 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company (19.9%) (Cost $322,628,356) 405,917,480 Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company (13.9%) (Cost $252,476,994) 283,730,701 --------------- Total Investment Companies (Cost $1,565,495,873) $ 2,040,356,667 ===============
FACE AMOUNT ------ (000) Temporary Cash Investments (0.2%): Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $4,232,000 FNMA Notes 2.95%, 11/14/07, valued at $4,226,710) to be repurchased at $4,164,334 (Cost $4,164,000) $ 4,164 4,164,000 --------------- Total Investments (100%) (Cost $1,569,659,873) $ 2,044,520,667 ===============
JAPANESE SMALL COMPANY PORTFOLIO (UNAUDITED)
VALUE+ ------ Investment in The Japanese Small Company Series of The DFA Investment Trust Company $ 108,576,807 --------------- Total Investments (100%) (Cost $217,988,284) $ 108,576,807 ===============
PACIFIC RIM SMALL COMPANY PORTFOLIO (UNAUDITED)
VALUE+ ------ Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company $ 30,465,191 --------------- Total Investments (100%) (Cost $57,857,101) $ 30,465,191 ===============
- ---------- +See Note B to Financial Statements. See accompanying Notes to Financial Statements. 18 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULES OF INVESTMENTS MAY 31, 2005 UNITED KINGDOM SMALL COMPANY PORTFOLIO (UNAUDITED)
VALUE+ ------ Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company $ 16,933,245 --------------- Total Investments (100%) (Cost $10,490,024) $ 16,933,245 ===============
CONTINENTAL SMALL COMPANY PORTFOLIO (UNAUDITED)
VALUE+ ------ Investment in The Continental Small Company Series of The DFA Investment Trust Company $ 45,599,828 --------------- Total Investments (100%) (Cost $29,920,524) $ 45,599,828 ===============
- ---------- +See Note B to Financial Statements. See accompanying Notes to Financial Statements. 19 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- JAPAN -- (24.6%) COMMON STOCKS -- (24.6%) * # A&A Material Corp. 168,000 $ 227,118 ABILIT Corp. 38,600 1,512,571 Achilles Corp. 422,000 765,153 Agro-Kanesho Co., Ltd. 18,000 144,526 Aichi Bank, Ltd. 51,400 4,844,602 Aichi Machine Industry Co., Ltd. 776,000 3,444,393 Aida Engineering, Ltd. 209,000 1,126,510 Aigan Co., Ltd. 159,500 1,416,878 # Airport Facilities Co., Ltd. 178,000 994,068 * Akai Electric Co., Ltd. 490,000 4,515 Akita Bank, Ltd. 1,205,000 5,448,950 Aloka Co., Ltd. 226,000 1,585,433 # Alpha Systems, Inc. 16,000 339,116 # Altech Co., Ltd. 45,800 332,283 Ando Corp. 632,000 1,664,202 Anest Iwata Corp. 63,000 206,505 AOI Advertising Promotion, Inc. 11,500 88,089 AOI Electronics Co., Ltd. 10,600 160,458 # Aoki International Co., Ltd. 317,600 3,842,286 * Apic Yamada Corp. 97,000 219,796 Arakawa Chemical Industries, Ltd. 117,700 1,569,786 # Araya Industrial Co., Ltd. 390,000 968,632 # Argo 21 Corp. 57,200 554,224 Aronkasei Co., Ltd. 143,000 696,142 Asahi Kogyosha Co., Ltd. 242,000 905,781 Asahi Organic Chemicals Industry Co., Ltd. 792,000 2,678,463 * # Asahi Tec Corp. 182,000 333,391 Asanuma Corp. 572,000 1,142,090 Ashimori Industry Co., Ltd. 401,000 967,827 # Asia Air Survey Co., Ltd. 79,000 336,748 # Asia Securities Printing Co., Ltd. 43,000 498,016 Asti Corp. 29,000 286,486 Atsugi Co., Ltd. 1,922,000 2,376,324 Autobacs Seven Co., Ltd. 80,400 2,511,465 * Azel Corp., Tokyo 557,000 984,675 Bank of Iwate, Ltd. 50,000 2,847,144 Bank of Okinawa, Ltd. 135,100 4,370,197 Bank of Saga, Ltd. 418,000 1,551,767 # Best Denki Co., Ltd. 1,093,000 4,205,662 Biken Techno Corp. 50,400 425,987 Bull Dog Sauce Co., Ltd. 12,000 148,965 Bunka Shutter Co., Ltd. 129,000 679,657 # Cabin Co., Ltd. 316,000 1,146,432
1 * Catena Corp. 210,000 410,022 Central Finance Co., Ltd. 746,000 3,239,502 CFS Corp. 14,000 81,703 Chiyoda Co., Ltd. 83,000 1,353,462 Chodai Co., Ltd. 58,000 267,492 Chofu Seisakusho Co., Ltd. 95,200 1,952,636 Chudenko Corp. 179,460 2,813,347 # Chuetsu Pulp and Paper Co., Ltd. 894,000 2,332,542 * Chugai Mining Co., Ltd. 1,378,400 859,671 Chuo Gyorui Co., Ltd. 295,000 752,496 Chuo Spring Co., Ltd., Nagoya 513,000 2,110,258 Chuo Woollen Mills, Ltd. 30,000 68,912 Cleanup Corp. 140,200 1,352,648 Coca-Cola Central Japan Co., Ltd. 594 4,970,501 Comsys Holdings Corp. 187,000 1,576,252 Corona Corp. 229,800 3,560,818 # Credia Co., Ltd. 25,700 926,031 Cresco, Ltd. 54,000 694,457 CTI Engineering Co., Ltd. 101,900 871,130 Daibiru Corp. 13,000 95,696 Dai-Dan Co., Ltd. 374,000 2,166,315 # Daido Kogyo Co., Ltd. 71,000 190,717 Daido Steel Co., Ltd. 1,150,000 4,670,400 # Daidoh, Ltd. 91,000 957,484 # Daihen Corp. 264,000 688,122 # Daiho Corp. 492,000 1,191,224 Dai-Ichi Jitsugyo Co., Ltd. 70,000 253,783 # Dai-Ichi Kogyo Seiyaku Co., Ltd. 169,000 606,810 Daiko Clearing Services Corp. 106,300 795,601 * Daiko Denshi Tsushin, Ltd. 89,000 213,380 * Daikyo, Inc. 391,000 790,746 Daimaruenawin Co., Ltd 10,600 57,578 Daimei Telecom Engineering Corp. 123,000 1,055,322 Dainichi Co., Ltd. 137,100 1,160,109 Daisyo Corp. 12,100 147,458 * Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 267,000 346,984 Daiwa Industries, Ltd. 174,000 990,210 Daiwa Kosho Lease Co., Ltd. 428,000 2,178,739 Daiwabo Co., Ltd. 956,000 1,471,609 # Daiwabo Information System Co., Ltd. 94,000 1,536,614 Danto Corp. 222,000 852,110 DC Co., Ltd. 226,000 698,459 Denki Kogyo Co., Ltd. 135,000 768,439 Denyo Co., Ltd. 199,000 1,712,958 Descente, Ltd. 331,000 1,261,134 * # Dia Kensetsu Co., Ltd. 117,000 241,497 # Dijet Industrial Co., Ltd. 53,000 145,086 DMW Corp. 12,200 498,378 DyDo Drinco, Inc. 66,200 2,209,878 # Edion Corp. 389,375 4,641,823 Edosawa Co., Ltd. 48,000 218,395 Ehime Bank, Ltd. 152,000 511,221 # Eighteenth Bank, Ltd. 1,631,000 7,683,970 Eikoh, Inc. 27,000 250,149
2 Fine Sinter Co., Ltd. 84,000 293,619 * # First Baking Co., Ltd. 430,000 929,093 Foster Electric Co., Ltd. 60,000 527,949 * Fuji Electric Construction Co., Ltd. 40,000 57,004 Fuji Kiko Co., Ltd. 1,000 3,921 Fujicco Co., Ltd. 73,000 1,076,835 Fujikura Rubber, Ltd. 30,000 170,826 # Fujitsu Access, Ltd. 186,100 1,393,061 Fujitsu Business Systems, Ltd. 228,500 3,357,739 Fujitsu Fronttec, Ltd. 125,200 1,282,835 Fukuda Corp. 391,000 2,434,854 Fuso Dentsu Co., Ltd. 56,000 245,743 Fuso Lexel Inc. 139,400 1,198,644 Fuso Pharmaceutical Industries, Ltd. 851,000 2,949,014 Futaba Industrial Co., Ltd. 101,000 1,918,873 # Gakken Co., Ltd. 904,000 2,522,319 * Generas Corp. 121,000 1,115 * GKN D1 Tochigi Holdings Shares 302 926,577 Global-Dining, Inc. 46,100 308,347 # Godo Steel, Ltd. 434,000 1,345,651 * Goldwin, Inc. 377,000 877,416 Gourmet Kineya Co., Ltd. 169,000 1,375,002 * Graphtec Corp. 72,000 108,805 * Gro-BeLS Co., Ltd. 638,000 1,027,522 * GSI Creos Corp. 32,000 74,695 # Gun-Ei Chemical Industry Co., Ltd. 353,000 1,358,038 Gunze, Ltd. 80,000 350,485 Haltec Corp. 167,000 344,730 Happinet Corp. 39,900 680,107 Harima Chemicals, Inc. 183,000 1,091,100 Haruyama Trading Co., Ltd. 106,800 1,549,183 Heiwado Co., Ltd. 92,000 1,402,185 Hibiya Engineering, Ltd. 345,000 3,089,179 Higashi-Nippon Bank, Ltd. 867,000 3,283,543 Himaraya Co., Ltd. 80,500 370,628 # Hisaka Works, Ltd. 88,000 809,954 Hitachi Cable, Ltd. 275,000 1,185,695 # Hitachi Kiden Kogyo, Ltd. 151,000 671,080 Hitachi Koki Co., Ltd. 265,000 2,469,864 Hitachi Kokusai Electric, Inc. 216,000 1,889,151 Hitachi Medical Corp. 353,000 4,645,089 Hitachi Metals Techno, Ltd. 53,500 186,989 Hitachi Plant Engineering & Construction Co., Ltd. 807,000 3,896,004 Hitachi Transport System, Ltd. 355,000 2,956,818 Hochiki Corp. 38,000 158,875 Hokkai Can Co., Ltd., Tokyo 497,000 1,455,472 Hokkaido Coca-Cola Bottling Co., Ltd. 346,000 2,437,911 Hokko Chemical Industry Co., Ltd. 190,000 698,702 # Hokuetsu Bank, Ltd. 2,218,000 4,683,645 Hokuriku Electrical Construction Co., Ltd. 186,000 670,461 Homac Corp. 364,300 3,626,400 Horipro, Inc. 97,500 986,364 * # Howa Machinery, Ltd. 139,000 170,424 Ichikawa Co., Ltd. 211,000 833,752
3 # Ichikoh Industries, Ltd. 239,000 592,613 Ichiyoshi Securities Co., Ltd. 82,000 737,755 Ihara Chemical Industry Co., Ltd. 386,000 1,181,883 i-Logistics Corp. 139,000 477,868 Imasen Electric Industrial Co., Ltd. 90,900 688,309 * # Impress Corp. 211 258,911 Inaba Denki Sangyo Co., Ltd. 55,000 1,531,217 # Inabata and Co., Ltd., Osaka 155,000 1,273,347 # Ines Corp. 290,300 2,415,309 ISE Chemicals Corp. 116,000 541,632 Ishikawajima Construction Materials Co., Ltd. 144,000 406,816 # Ishikawajima Transport Machinery Co., Ltd. 209,000 590,781 Ishizuka Glass Co., Ltd. 225,000 596,489 # Itochu Enex Co., Ltd. 541,300 3,623,815 Itoham Foods, Inc. 557,000 2,536,966 # Itoki Crebio Corp. 325,000 1,810,871 Iwaki & Co., Ltd. 200,000 594,942 Iwasaki Electric Co., Ltd. 88,000 338,670 Iwatsu Electric Co., Ltd. 50,000 109,365 Izumiya Co., Ltd. 902,000 5,945,883 * Jac Holdings Co., Ltd. 128,800 194,731 Jaccs Co., Ltd. 311,000 2,447,515 Jamco Corp. 17,000 104,599 Japan Airport Terminal Co., Ltd. 174,000 1,625,007 * Japan Bridge Corp. 31,000 40,957 Japan Digital Laboratory Co., Ltd. 235,000 2,854,078 Japan Foundation Engineering Co., Ltd. 229,800 1,281,709 Japan Information Processing Service Co., Ltd. 29,500 183,042 Japan Maintenance Co., Ltd. 52,300 566,742 Japan Oil Transportation Co., Ltd. 237,000 776,919 # Japan Pulp and Paper Co., Ltd. 1,250,000 4,099,356 * # Japan Radio Co., Ltd. 1,189,000 4,772,748 Japan Steel Tower Co., Ltd. 156,000 768,239 Japan Steel Works, Ltd. 594,000 1,199,679 * # Japan Storage Battery Co., Ltd. 181,000 368,815 # Japan Transcity Corp. 287,000 1,106,054 Japan Vilene Co., Ltd. 120,000 675,399 Japan Wool Textile Co., Ltd. 338,000 2,262,775 Jeans Mate Corp. 5,590 74,309 JMS Co., Ltd. 282,000 971,476 # Joban Kosan Co., Ltd. 105,000 186,588 # J-Oil Mills, Inc. 367,000 1,480,789 # Joshin Denki Co., Ltd. 512,000 2,138,277 JSP Corp. 25,300 254,593 Juel Verite Ohkubo Co., Ltd 50,000 123,441 * # Jujiya Co., Ltd. 265,000 191,777 Juntendo Co., Ltd. 57,000 112,689 K.R.S. Corp. 38,000 548,843 Kagawa Bank, Ltd. 864,000 4,899,134 Kagoshima Bank, Ltd. 559,000 4,253,562 # Kahma Co., Ltd. 252,500 3,603,941 Kameda Seika Co., Ltd. 38,000 348,684 Kamei Corp. 279,000 3,039,103 Kanaden Corp. 255,000 1,490,299
4 Kanamoto Co., Ltd. 225,000 1,405,392 Kandenko Co., Ltd. 519,000 3,052,391 Kanto Natural Gas Development Co., Ltd. 399,000 2,537,988 * # Kanto Tsukuba Bank, Ltd. 110,200 766,380 Kasai Kogyo Co., Ltd. 118,000 396,793 Kasei (C.I.) Co., Ltd. 232,000 965,984 Katakura Chikkarin Co., Ltd. 148,000 480,197 Kato Sangyo Co., Ltd. 55,000 806,215 Kato Works Co., Ltd. 437,000 1,144,391 * Katsumura Construction Co., Ltd. 208,000 209,759 Kawada Industries, Inc. 374,000 927,703 * Kawai Musical Instruments Manufacturing Co., Ltd. 104,000 223,277 * Kawasaki Kasei Chemicals, Ltd. 305,000 516,377 * # Kawashima Textile Manufacturers, Ltd. 215,000 332,668 Kawasho Gecoss Corp. 223,200 1,316,598 # Kawasumi Laboratories, Inc. 143,000 989,316 Keihanshin Real Estate Co., Ltd. 182,000 1,100,958 # Keihin Co., Ltd. 101,000 335,054 Keiiyu Co., Ltd. 66,400 778,403 * # Keiyo Co., Ltd. 360,200 1,377,419 Kinki Coca-Cola Bottling Co., Ltd. 321,000 3,390,082 Kioritz Corp. 514,000 1,405,999 Kishu Paper Co., Ltd. 634,000 1,170,514 # Kitagawa Iron Works Co., Ltd. 123,000 254,443 Kita-Nippon Bank, Ltd. 68,900 3,259,211 Kitano Construction Corp. 576,000 1,492,096 Kitazawa Sangyo Co., Ltd. 154,500 482,671 Koa Corp. 481,600 3,807,974 Kodensha Co., Ltd. 134,000 446,387 Koekisha Co., Ltd. 45,300 1,009,339 Koike Sanso Kogyo Co., Ltd. 221,000 578,598 Koito Industries, Ltd. 291,000 1,340,211 # Kojima Co., Ltd. 263,500 3,450,309 * Kokune Corp. 99,000 0 * Kokusai Kogyo Co., Ltd. 284,000 907,940 Komai Tekko, Inc. 261,000 857,328 Komatsu Seiren Co., Ltd. 238,000 1,250,747 Komatsu Wall Industry Co., Ltd. 21,200 377,845 Komori Corp. 153,000 2,317,350 # Konaka Co., Ltd. 195,490 2,454,707 Kondotec, Inc. 35,000 299,623 Konishi Co., Ltd. 149,500 1,374,959 Kosaido Co., Ltd. 159,500 1,261,427 Kosei Securities Co., Ltd. 138,000 266,314 # Kumiai Chemical Industry Co., Ltd., Tokyo 643,000 1,483,554 Kurabo Industries, Ltd. 2,481,000 5,988,033 # Kurimoto, Ltd. 1,166,000 3,275,336 Kuroganeya Co., Ltd. 83,000 329,751 # Kurosaki Harima Corp. 245,000 703,508 Kyodo Printing Co., Ltd. 777,000 3,348,493 # Kyoei Sangyo Co., Ltd. 65,000 220,251 Kyokuto Boeki Kaisha, Ltd. 200,000 607,560 # Kyokuto Kaihatsu Kogyo Co., Ltd. 237,900 2,871,745 # Kyosan Electric Manufacturing Co., Ltd. 470,000 1,617,318
5 Kyowa Leather Cloth Co., Ltd. 179,100 1,096,223 Kyudenko Corp. 577,000 3,428,318 * Kyushu-Shinwa Holdings, Inc. 1,750,000 2,648,928 # Laox Co., Ltd. 641,000 1,772,390 * Lonseal Corp. 306,000 441,174 * # Look, Inc. 270,000 826,501 Maeda Corp. 995,000 5,489,090 Maeda Road Construction Co., Ltd. 739,000 5,192,497 Maezawa Industries, Inc. 145,600 817,662 Maezawa Kaisei Industries Co., Ltd. 39,800 711,902 # Maezawa Kyuso Industries Co., Ltd. 62,900 867,784 # Makino Milling Machine Co., Ltd. 76,000 449,947 Marubeni Construction Material Lease Co., Ltd. 30,000 71,357 Marubeni Infotec Corp. 14,000 43,987 Marubun Corp. 211,000 1,837,372 Marudai Food Co., Ltd. 1,869,000 5,108,626 Maruei Department Store Co., Ltd. 295,000 812,030 Maruetsu, Inc. 597,000 2,772,303 Marusan Securities Co., Ltd. 146,000 918,997 Maruwa Co., Ltd. 33,100 650,848 Maruwn Corp. 216,000 816,047 Maruyama Manufacturing Co., Inc. 87,000 715,619 Maruzen Co., Ltd. - General Commercial Kitchen Appliances & Equipment 20,000 120,337 Maruzen Showa Unyu Co., Ltd. 725,000 2,450,683 Maspro Denkoh Corp. 149,200 1,385,728 # Matsui Construction Co., Ltd. 227,700 1,023,717 * # Matsuo Bridge Co., Ltd. 249,000 472,932 * # Meiji Machine Co., Ltd. 126,000 140,429 Meito Sangyo Co., Ltd. 48,100 819,363 Meiwa Estate Co., Ltd. 293,400 3,059,495 Meiwa Industry Co., Ltd. 126,000 463,814 Mercian Corp. 1,680,000 4,703,932 Mesco, Inc. 92,000 296,911 Michinoku Bank, Ltd. 550,000 2,550,854 Mikuni Coca-Cola Bottling Co., Ltd. 376,600 3,604,948 Mirai Group Co., Ltd. 109,000 225,895 * Misawa Homes Holdings, Inc. 12,000 425,017 Mito Securities Co., Ltd. 219,000 939,607 Mitsuba Corp. 397,000 3,414,185 * # Mitsubishi Cable Industries, Ltd. 1,022,000 1,180,483 # Mitsubishi Paper Mills, Ltd. 2,626,000 3,515,136 Mitsubishi Pencil Co., Ltd. 111,000 1,125,316 # Mitsubishi Shindoh Co., Ltd. 53,000 123,681 Mitsubishi Steel Manufacturing Co., Ltd. 209,000 418,457 Mitsubishi Tokyo Financial Group, Inc. 1 4,711 Mitsuboshi Belting, Ltd. 111,000 647,342 Mitsui Home Co., Ltd. 104,000 506,013 Mitsui Sugar Co., Ltd. 1,184,000 3,286,739 Mitsui-Soko Co., Ltd. 294,000 995,414 Mitsuuroko Co., Ltd. 370,000 2,554,774 # Miyaji Engineering Group 249,175 624,793 Miyazaki Bank, Ltd. 1,447,260 6,007,095 Miyuki Keori Co., Ltd. 273,000 1,064,053
6 Mizuno Corp. 977,000 4,399,565 # Mori Seiki Co., Ltd. 210,000 2,171,299 Morita Corp. 130,000 767,161 Morozoff, Ltd., Osaka 328,000 731,707 Mory Industries, Inc. 136,000 458,270 MOS Food Services, Inc. 80,000 1,169,604 # MR Max Corp. 279,100 1,023,137 * Mutoh Industries, Ltd. 292,000 634,872 Mutow Co., Ltd. 187,500 883,469 Myojo Foods Co., Ltd. 67,000 419,942 Nagano Bank, Ltd. 982,000 3,022,804 Nagase & Co., Ltd. 284,000 2,772,725 * Naigai Co., Ltd. 696,000 823,188 Nakabayashi Co., Ltd. 228,000 642,280 * Nakamichi Corp. 96,000 0 Nakamuraya Co., Ltd. 4,000 14,739 * Nakano Corp. 78,500 172,537 Nakayama Steel Works, Ltd. 351,000 1,374,348 Nakayo Telecommunications, Inc. 46,000 240,764 Nanto Bank, Ltd. 225,000 1,154,991 NEC System Integration & Construction, Ltd. 374,700 3,359,904 # Neturen Co., Ltd., Tokyo 320,000 2,267,482 * Nice Corp. 99,000 299,831 # Nichia Steel Works, Ltd. 316,200 1,512,112 Nichiban Co., Ltd. 214,000 836,506 # Nichimo Co., Ltd. 337,000 896,411 * Nichimo Corp. 182,000 237,254 Nichireki Co., Ltd. 215,000 822,466 Nihon Dempa Kogyo Co., Ltd. 35,500 833,401 Nihon Kagaku Sangyo Co., Ltd. 141,000 808,178 Nihon Matai Co., Ltd. 269,000 636,174 Nihon Nohyaku Co., Ltd. 475,000 1,186,586 Nihon Shokuh Kako Co., Ltd. 210,000 694,750 Nihon Tokushu Toryo Co., Ltd. 60,000 399,684 Nikko Co., Ltd., Akashi 314,000 1,168,598 Nikko Travel Co., Ltd. 12,600 66,808 Nippei Toyama Corp. 236,000 642,172 Nippo Corp. 660,000 4,408,630 Nippon Beet Sugar Manufacturing Co., Ltd. 1,833,000 4,065,921 Nippon Broadcasting System, Inc. 4,400 257,180 Nippon Carbon Co., Ltd. 54,000 95,315 # Nippon Chemical Industrial Co., Ltd. 104,000 324,760 Nippon Chemi-Con Corp. 131,000 816,721 # Nippon Chutetsukan KK 155,000 347,762 # Nippon Concrete Industries Co., Ltd. 188,000 609,775 * # Nippon Conveyor Co., Ltd. 129,000 164,991 Nippon Densetsu Kogyo Co., Ltd. 569,000 3,375,468 Nippon Denwa Shisetu Co., Ltd. 452,000 1,637,650 Nippon Felt Co., Ltd. 63,000 311,710 Nippon Fine Chemical Co., Ltd. 204,000 1,158,264 Nippon Formula Feed Manufacturing Co., Ltd. 35,000 59,969 # Nippon Hume Corp. 200,000 599,467 Nippon Kinzoku Co., Ltd. 57,000 119,887 # Nippon Koei Co., Ltd., Tokyo 710,000 2,392,504
7 Nippon Konpo Unyu Soko Co., Ltd. 250,000 2,632,595 * # Nippon Koshuha Steel Co., Ltd. 204,000 279,662 Nippon Pigment Co., Ltd. 35,000 156,676 Nippon Piston Ring Co., Ltd. 151,000 345,549 Nippon Road Co., Ltd. 697,000 1,581,286 Nippon Seisen Co., Ltd. 60,000 217,916 # Nippon Sharyo, Ltd. 1,354,000 3,255,552 Nippon Shinpan Co., Ltd. 591,000 2,878,167 Nippon Shinyaku Co., Ltd. 372,000 2,980,519 # Nippon Signal Co., Ltd. 69,000 400,502 # Nippon Soda Co., Ltd. 1,527,000 4,916,207 # Nippon Synthetic Chemical Industry Co., Ltd. 856,000 2,295,274 Nippon Systemware Co., Ltd. 109,300 765,219 Nippon Tungsten Co., Ltd. 193,000 497,193 Nippon Yakin Kogyo Co., Ltd. 15,000 58,358 # Nishimatsu Construction Co., Ltd. 387,000 1,304,893 Nishishiba Electric Co., Ltd. 96,000 178,785 Nissei Plastic Industrial Co., Ltd. 165,000 1,190,632 * Nisseki House Industry Co., Ltd. 180,000 0 # Nisshin Fire & Marine Insurance Co., Ltd. 271,000 1,007,227 # Nisshin Fudosan Co., Ltd. 118,600 1,440,001 Nisshinbo Industries, Inc. 227,000 1,741,614 Nissho Electronics Corp. 113,300 863,596 Nissin Corp. 213,000 648,477 Nissin Electric Co., Ltd. 398,000 1,293,564 Nissin Sugar Manufacturing Co., Ltd. 460,000 989,031 # Nissui Pharmaceutical Co., Ltd. 155,000 973,223 Nittan Co., Ltd. 107,000 370,071 Nittan Valve Co., Ltd. 70,000 549,685 Nittetsu Mining Co., Ltd. 727,000 2,923,219 Nitto Boseki Co., Ltd. 1,999,000 4,051,824 Nitto Electric Works, Ltd. 54,200 616,348 Nitto FC Co., Ltd. 207,000 1,291,584 Nitto Flour Milling Co., Ltd. 273,000 800,566 Nitto Seiko Co., Ltd. 54,000 154,983 * Nittoc Construction Co., Ltd. 106,000 211,815 Noda Corp. 135,500 898,225 Nohmi Bosai, Ltd. 313,000 1,613,981 # Nomura Co., Ltd. 140,000 563,532 # Noritsu Koki Co., Ltd. 162,100 3,356,179 Noritz Corp. 73,000 1,146,873 # Obayashi Road Corp. 346,000 782,065 Odakyu Construction Co., Ltd. 40,000 108,490 * Ohki Corp. 128,000 0 Oie Sangyo Co., Ltd. 12,700 103,420 Oita Bank, Ltd. 898,000 5,810,033 # Okabe Co., Ltd. 174,000 1,150,250 Oki Electric Cable Co., Ltd. 87,000 377,822 * # OKK Corp. 149,000 278,609 # Okuma and Howa Machinery, Ltd. 164,000 539,782 Okumura Corp. 479,000 2,579,858 Okura Industrial Co., Ltd. 164,000 1,032,316 Olympic Corp. 151,700 1,686,593 # O-M, Ltd. 36,000 84,765
8 * Omikenshi Co., Ltd. 449,000 461,939 Oriental Construction Co., Ltd. 208,200 953,073 Original Engineering Consultants Co., Ltd. 55,500 249,986 Osaka Securities Finance Co., Ltd. 85,000 323,026 # Osaka Steel Co., Ltd. 432,600 5,334,988 Oyo Corp. 217,100 2,463,440 P.S. Mitsubishi Construction Co., Ltd. 230,800 913,253 # Pacific Industrial Co., Ltd. 277,000 1,319,604 # PanaHome Corp. 364,000 1,900,925 Parco Co., Ltd. 121,000 761,392 Piolax, Inc. 102,300 2,152,403 Pocket Card Co., Ltd. 11,600 239,869 Pokka Corp. 256,000 1,361,381 Posful Corp. 176,800 944,151 Raito Kogyo Co., Ltd. 509,100 1,951,260 Rengo Co., Ltd. 135,000 697,731 * Renown D'urban Holdings, Inc. 371,760 3,288,873 Rheon Automatic Machinery Co., Ltd. 197,000 666,482 Rhythm Watch Co., Ltd. 208,000 426,179 Ricoh Elemex Corp. 183,000 1,338,439 Rikei Corp. 105,500 295,925 Riken Electric Wire Co., Ltd. 25,000 44,027 Riken Technos Corp. 298,000 1,170,207 Riken Vitamin Co., Ltd. 51,000 1,401,936 Roland Corp. 59,200 1,010,431 Royal Co., Ltd. 68,000 811,183 Ryoden Trading Co., Ltd. 376,000 2,452,063 Ryosan Co., Ltd. 209,500 5,110,200 # Ryoyo Electro Corp. 296,100 4,803,039 S Foods, Inc. 56,500 413,308 Sagami Co., Ltd. 280,000 1,069,853 Sakai Chemical Industry Co., Ltd. 852,000 3,687,516 # Sakai Heavy Industries, Ltd. 295,000 749,036 # Sakata Seed Corp. 500,100 6,619,919 * Sakurada Co., Ltd. 36,000 55,205 Sala Corp. 121,000 584,296 San In Godo Bank, Ltd. 347,000 3,313,320 San-Ai Oil Co., Ltd. 771,000 3,589,351 # Sanix, Inc. 151,500 1,556,968 # Sankei Building Co., Ltd. 486,000 3,470,805 Sanki Engineering Co., Ltd. 715,000 5,069,530 Sanko Co., Ltd. 62,000 443,187 Sanko Metal Industrial Co., Ltd., Tokyo 85,000 176,822 Sankyo Seiko Co., Ltd. 346,000 1,476,020 Sanoh Industrial Co., Ltd. 110,000 748,350 Sanritsu Corp. 38,700 389,939 Sanshin Electronics Co., Ltd. 289,000 2,509,225 * Sansui Electric Co., Ltd. 232,000 44,711 # Sanyo Denki Co., Ltd. 189,000 915,658 Sanyo Engineering & Construction, Inc. 167,000 937,298 Sanyo Industries, Ltd., Tokyo 159,000 425,238 # Sanyo Special Steel Co., Ltd. 1,454,000 4,509,421 * Sata Construction Co., Ltd., Gumma 106,000 128,058 Sato Shoji Corp. 83,000 693,561
9 Satori Electric Co., Ltd. 31,560 410,182 Seibu Electric Industry Co., Ltd. 158,000 859,779 Seika Corp. 75,000 161,959 * Seikitokyu Kogyo Co., Ltd. 458,000 528,187 Sekisui Jushi Co., Ltd. 412,000 2,650,600 Sekisui Plastics Co., Ltd. 684,000 2,425,787 Sekonic Corp. 100,000 244,374 Senko Co., Ltd. 180,000 623,417 Senshukai Co., Ltd. 149,000 1,270,343 Shaddy Co., Ltd. 136,600 1,362,613 # Shibusawa Warehouse Co., Ltd. 563,000 1,570,425 Shibuya Kogyo Co., Ltd. 60,100 510,049 Shiga Bank, Ltd. 246,000 1,521,673 * Shikibo, Ltd. 941,000 1,188,370 Shikoku Coca-Cola Bottling Co., Ltd. 246,100 3,594,995 Shimizu Bank, Ltd. 93,100 4,638,043 Shin Nippon Air Technologies Co., Ltd. 186,920 1,299,091 Shinagawa Refractories Co., Ltd. 337,000 1,067,336 # Shindengen Electric Manufacturing Co., Ltd. 600,000 1,975,550 Shinki Co., Ltd. 261,200 2,367,993 # Shinko Shoji Co., Ltd. 169,000 1,422,909 Shinmaywa Industries, Ltd. 1,092,000 5,411,097 * Shiraishi Corp. 142,000 253,899 Shizuki Electric Co., Inc. 62,000 166,312 * # Sho-Bond Corp. 242,700 1,884,217 Shobunsha Publications, Inc. 138,800 1,789,166 Shoei Foods Corp. 145,000 1,071,272 Showa Aircraft Industry Co., Ltd. 147,000 1,515,049 # Showa Electric Wire & Cable Co., Ltd., Kawasaki 2,195,000 2,734,781 Showa Highpolymer Co., Ltd. 403,000 1,221,879 Showa Sangyo Co., Ltd. 146,000 414,412 Showa Tansan Co., Ltd. 172,000 608,589 Silver Ox Inc. 147,000 325,309 # Simree Co., Ltd. 68,600 460,184 Sinanen Co., Ltd. 645,000 3,312,091 Sintokogio, Ltd., Nagoya 349,000 2,622,120 Snow Brand Seed Co., Ltd. 127,000 641,141 # SNT Corp. 232,700 1,081,672 Soda Nikka Co., Ltd. 170,000 562,261 * Sofmap Co., Ltd. 83,200 352,137 Software Research Associates, Inc. 15,500 301,579 Sokkisha Co., Ltd. 90,000 276,944 Somar Corp. 146,000 569,424 Sonton Food Industry Co., Ltd. 81,000 862,731 # Sotoh Co., Ltd. 26,000 451,015 # Space Co., Ltd. 31,440 382,593 Starzen Corp. 122,000 374,927 Subaru Enterprise Co., Ltd. 183,000 633,097 # Sugimoto & Co., Ltd. 52,900 702,057 Suminoe Textile Co., Ltd. 563,000 1,188,444 Sumitomo Densetsu Co., Ltd. 260,300 1,036,343 Sumitomo Osaka Cement Co., Ltd. 845,000 2,029,372 Sumitomo Pipe & Tube Co., Ltd. 244,000 1,105,803 Sumitomo Precision Products Co., Ltd., Amagasaki City 280,000 1,084,081
10 Sumitomo Seika Chemicals Co., Ltd. 10,000 29,094 # Sumitomo Warehouse Co., Ltd. 846,000 4,327,085 Sun Wave Corp. 375,000 1,164,843 SunTelephone Co., Ltd. 295,000 2,355,261 * Suzutan Co., Ltd. 11,200 64,463 * SXL Corp. 589,000 728,955 Tabai Espec Corp. 22,000 229,859 Tachikawa Corp. 150,200 1,079,011 Tachi-S Co., Ltd. 129,610 1,343,612 Tadano, Ltd. 281,000 1,425,322 Taihei Dengyo Kaisha, Ltd. 369,000 2,085,336 * Taiheiyo Kouhatsu, Inc. 320,000 535,191 Taiho Kogyo Co., Ltd. 216,900 2,315,350 Taikisha, Ltd. 60,000 785,828 Taisei Rotec Corp. 642,000 1,295,277 Takada Kiko Co., Ltd. 165,000 1,051,375 Takagi Securities Co., Ltd. 370,000 1,120,423 Takano Co., Ltd. 13,900 205,390 Takaoka Electric Manufacturing Co., Ltd., Tokyo 117,000 231,219 * Taka-Q Co., Ltd. 96,000 237,068 Takara Standard Co., Ltd. 319,000 2,039,550 Takasago Thermal Engineering Co., Ltd. 739,000 5,209,192 Takigami Steel Construction Co., Ltd. 197,000 1,453,081 # Takiron Co., Ltd. 199,000 872,085 Takuma Co., Ltd. 173,000 1,199,801 Tamura Corp. 693,000 2,652,134 Tanseisha Co., Ltd. 65,000 250,566 # Tasaki Shinju Co., Ltd. 275,000 1,129,070 Tatsuta Electric Wire & Cable Co., Ltd. 546,000 1,169,087 Tayca Corp. 342,000 963,168 * # Teac Corp. 710,000 1,033,105 Techno Ryowa, Ltd. 148,500 996,728 Teikoku Hormone Manufacturing Co., Ltd. 180,000 1,732,465 Teikoku Tsushin Kogyo Co., Ltd. 199,000 834,300 Tekken Corp. 1,363,000 2,492,044 Ten Allied Co., Ltd. 194,800 786,013 Tenma Corp. 261,700 4,967,640 Teraoka Seisakusho Co., Ltd. 94,900 854,032 # Tetra Co., Ltd., Tokyo 116,000 426,775 The Daito Bank, Ltd. 58,000 91,891 The Nisshin Oillio Group, Ltd. 520,000 2,936,506 # Tigers Polymer Corp. 159,000 899,438 * # Titan Kogyo KK 196,000 395,558 Toa Corp. 1,216,000 2,285,112 # Toa Doro Kogyo Co., Ltd. 320,000 1,025,353 * Toabo Corp. 134,000 140,746 Toagosei Co., Ltd. 419,693 1,716,331 TOC Co., Ltd. 117,000 449,251 * TOC Co., Ltd. Issue 05 122,850 471,713 Tochigi Bank, Ltd. 1,080,000 6,646,269 Toda Corp. 976,000 3,988,395 # Toda Kogyo Corp. 307,000 1,178,334 Todentu Corp. 274,000 780,862 Toenec Corp. 863,000 3,642,430
11 Tohcello Co., Ltd. 92,000 522,410 Toho Bank, Ltd. 169,000 692,169 # Toho Real Estate Co., Ltd. 451,000 2,029,327 Toho Zinc Co., Ltd. 111,000 267,758 # Tohoku Bank, Ltd. 76,000 200,636 * Tohoku Misawa Homes Co., Ltd. 127,900 385,041 Tohoku Pioneer Corp. 189,300 2,399,209 Tohoku Telecommunications Construction Co., Ltd. 55,000 425,014 * # Tohto Suisan Co., Ltd. 117,000 407,518 # Tokai Carbon Co., Ltd. 301,000 1,271,331 * Tokai Kanko Co., Ltd. 141,000 49,176 Tokai Konetsu Kogyo Co., Ltd. 29,000 113,557 * Tokai Lease Co., Ltd. 181,000 477,831 Tokai Senko KK, Nagoya 118,000 260,074 Tokai Tokyo Securities Co., Ltd. 436,000 1,283,919 # Toko Electric Corp. 131,000 556,763 Toko, Inc. 1,021,000 2,777,529 Tokushima Bank, Ltd. 62,000 520,528 Tokushu Paper Manufacturing Co., Ltd. 366,000 1,727,284 Tokyo Biso Kogyo Corp. 46,000 589,226 Tokyo Denpa Co., Ltd. 3,500 44,473 Tokyo Dome Corp. 838,000 4,558,976 Tokyo Energy & Systems, Inc. 293,000 1,583,283 Tokyo Rope Manufacturing Co., Ltd. 1,205,000 2,173,536 Tokyo Sangyo Co., Ltd. 213,500 751,897 Tokyo Soir Co., Ltd. 135,000 565,851 Tokyo Style Co., Ltd. 30,000 305,190 Tokyo Theatres Co., Inc., Tokyo 11,000 23,307 Tokyu Recreation Corp. 208,000 1,187,340 Tokyu Store Chain Corp. 110,000 518,406 Toli Corp. 494,000 1,436,181 Tomato Bank, Ltd. 406,000 940,046 Tomoe Corp. 113,000 412,122 Tomoku Co., Ltd. 383,000 1,019,089 # Tonami Transportation Co., Ltd. 1,012,000 3,428,927 Topre Corp. 110,000 828,410 Torigoe Co., Ltd. 78,000 536,019 # Torishima Pump Manufacturing Co., Ltd., Osaka 207,000 1,275,447 Toshiba Plant Kensetsu Co., Ltd. 256,000 1,111,744 Tosho Printing Co., Ltd. 451,000 1,627,723 Totenko Co., Ltd. 185,000 473,924 Totetsu Kogyo Co., Ltd. 263,000 1,244,764 * Totoku Electric Co., Ltd., Tokyo 199,000 403,974 Tottori Bank, Ltd. 13,000 41,304 * # Towa Real Estate Development Co., Ltd. 123,500 414,508 Toyo Bussan Co., Ltd. 130,800 1,319,293 * Toyo Communication Equipment Co., Ltd. 77,000 312,277 # Toyo Electric Co., Ltd. 41,000 157,675 Toyo Ink Manufacturing Co., Ltd. 221,000 858,970 * Toyo Kanetsu KK 240,000 344,565 # Toyo Kohan Co., Ltd. 877,000 4,087,647 # Toyo Wharf & Warehouse Co., Ltd. 573,000 1,193,485 Toyoda Machine Works, Ltd. 351,000 3,390,072 Tsubakimoto Kogyo Co., Ltd. 15,000 48,722
12 # Tsudakoma Corp. 503,000 1,382,549 Tsukamoto Co., Ltd. 49,000 94,017 # Tsukishima Kikai Co., Ltd. 297,000 2,500,460 Tsurumi Manufacturing Co., Ltd. 207,000 1,772,102 Tsutsumi Jewelry Co., Ltd. 44,800 1,191,396 Tsutsunaka Plastic Industry Co., Ltd. 352,958 1,633,368 Tsuzuki Denki Co., Ltd. 172,000 662,987 # Tsuzuki Densan Co., Ltd. 75,700 431,298 TYK Corp. 310,000 833,033 U.Store Co., Ltd. 131,900 1,238,755 Ube Material Industries, Ltd. 198,000 514,442 Uchida Yoko Co., Ltd. 533,000 2,233,156 Ueki Corp. 234,000 583,873 U-Shin, Ltd. 169,000 1,595,067 Vital-Net, Inc. 44,700 334,954 # Wakachiku Construction Co., Ltd. 459,000 891,883 Wakodo Co., Ltd. 5,200 151,385 * Wondertable, Ltd. 78,000 101,363 Yahagi Construction Co., Ltd. 41,000 162,199 Yamagata Bank, Ltd. 1,106,000 5,254,334 Yamaichi Electronics Co., Ltd. 56,600 690,753 Yamamura Glass Co., Ltd. 1,003,000 2,692,795 Yamanashi Chuo Bank, Ltd. 361,000 2,166,976 Yamatake Corp. 265,400 4,378,939 Yamatane Corp. 132,000 315,122 # Yamato Corp. 58,000 265,945 Yamato International, Inc. 72,000 397,078 Yamato Kogyo Co., Ltd. 96,000 1,100,029 Yamaura Corp. 127,500 324,640 # Yasuda Warehouse Co., Ltd. 163,700 1,131,683 Ye Data, Inc. 34,000 96,431 # Yellow Hat, Ltd., Tokyo 170,500 1,445,415 Yodogawa Steel Works, Ltd. 869,000 4,587,727 Yokogawa Bridge Corp. 361,000 2,180,686 # Yokohama Reito Co., Ltd. 387,000 2,969,575 Yondenko Corp. 283,650 1,564,193 Yonex Co., Ltd. 144,000 1,484,155 Yorozu Corp. 54,200 486,871 Yuasa Funashoku Co., Ltd. 362,000 844,446 Yuken Kogyo Co., Ltd. 55,000 156,127 Yuki Gosei Kogyo Co., Ltd. 156,000 553,024 Yuraku Real Estate Co., Ltd. 351,000 1,515,388 Yurtec Corp. 707,000 3,895,120 Yushiro Chemical Industry Co., Ltd. 15,000 282,754 ---------------- TOTAL COMMON STOCKS (Cost $786,790,019) 923,663,430 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Japanese Yen 688,786 ---------------- (Cost $692,386) TOTAL -- JAPAN (Cost $787,482,405) 924,352,216 ----------------
13 UNITED KINGDOM -- (18.9%) COMMON STOCKS -- (18.3%) 4imprint P.L.C. 194,691 751,443 600 Group P.L.C. 556,625 720,827 Abbeycrest P.L.C. 114,547 98,809 Aberdeen Asset Management P.L.C. 1,811,232 3,864,690 Acal P.L.C. 258,896 1,487,347 AGA Food Service Group P.L.C. 1,940,095 10,752,047 * Airflow Streamlines P.L.C. 19,305 20,521 Airsprung Furniture Group P.L.C. 20,586 8,244 Alexandra P.L.C. 332,427 736,715 Alphameric P.L.C. 1,136,368 1,631,807 Alumasc Group P.L.C. 342,917 984,102 * Amberley Group P.L.C. 71,000 14,193 * Anglo Eastern Plantations P.L.C. 214,043 717,088 Anglo Pacific Group P.L.C. 497,334 862,149 * Anite Group P.L.C. 656,160 752,472 * API Group P.L.C. 335,850 834,026 * Applied Optical Technologies P.L.C. 546,366 296,311 * ARC International P.L.C. 1,738,849 1,147,761 Arena Leisure P.L.C. 645,000 455,219 * Argonaut Games, Ltd. 493,000 27,995 Armour Group P.L.C. 225,000 231,656 Arriva P.L.C. 112,920 1,092,079 * Ashtead Group P.L.C. 2,183,506 3,542,218 Ashtenne Holdings P.L.C. 213,611 1,261,548 * Aston Villa P.L.C. 15,100 101,153 Atrium Underwriting P.L.C. 373,468 1,458,566 Austin Reed Group P.L.C. 178,581 386,635 Autologic Holdings P.L.C. 373,697 1,256,578 Avesco P.L.C. 56,789 103,143 Aviva P.L.C. 153,834 1,721,134 Avon Rubber P.L.C. 273,244 1,022,807 Baggeridge Brick P.L.C. 349,384 1,145,664 * Baltimore Technologies P.L.C. 2,814 88,115 Beale P.L.C. 96,298 120,984 Beattie (James) P.L.C. 438,830 888,905 * Bede P.L.C. 283,000 176,240 Belhaven Brewery Group P.L.C. 33,181 291,710 Bellway P.L.C. 150,000 2,322,172 * Berkeley Technology, Ltd. 222,520 35,225 * Biocompatibles International P.L.C. 406,430 1,424,249 Bizspace P.L.C. 34,782 34,790 Black Arrow Group P.L.C. 35,000 44,454 Blacks Leisure Group P.L.C. 5,018 38,504 Body Shop International P.L.C. 4,923 19,691 Bodycote International P.L.C. 3,929,685 11,847,616 Boot (Henry) P.L.C. 173,704 1,613,299 Bovis Homes Group P.L.C. 1,036,344 12,882,584 Brammer P.L.C. 242,432 676,574 Brewin Dolphin Holdings P.L.C. 272,000 535,508 Bristol Water Group P.L.C. 148,168 1,840,390
14 Britannic P.L.C. 1,034,026 9,597,002 British Polythene Industries P.L.C. 255,166 1,724,192 British Vita P.L.C. 2,043,236 13,264,914 Brown (N) Group P.L.C. 3,579,315 8,733,720 BSS Group P.L.C. 83,203 1,720,793 * BTG P.L.C. 239,400 612,156 Caffyns P.L.C. 21,866 308,902 * Cambridge Antibody Technology Group P.L.C. 122,700 1,359,348 * Cape P.L.C. 237,482 567,869 Capital & Regional P.L.C. 1,021,420 14,464,979 * Carbo P.L.C. 34,200 3,418 Carclo P.L.C. 501,604 559,365 Carr's Milling Industries P.L.C. 71,801 719,614 Castings P.L.C. 354,985 1,266,132 Chapelthorpe P.L.C. 1,312,145 381,427 Character Group P.L.C. 50,000 33,288 * Chorion P.L.C. 2,920 16,281 Churchill China P.L.C. 53,181 169,747 * City of London Group P.L.C. 34,000 27,153 Clinton Cards P.L.C. 292,245 458,455 * CLS Holdings P.L.C. 722,839 6,056,120 Colefax Group P.L.C. 96,000 159,328 * # Colt Telecom Group P.L.C. 4,189,044 3,955,864 Communisis P.L.C. 1,410,149 2,711,469 Compel Group P.L.C. 227,198 375,676 Computacenter P.L.C. 148,210 667,295 * Cookson Group P.L.C. 454,578 2,684,537 Coral Products P.L.C. 102,000 46,752 * Corporate Services Group P.L.C. 1,423,456 220,888 Cosalt P.L.C. 124,168 723,268 * Courts P.L.C. 381,726 93,640 Cox Insurance Holdings P.L.C. 1,245,190 2,094,565 * Cradley Group Holdings P.L.C. 38,466 6,291 * Creightons P.L.C. 250,000 16,977 Crest Nicholson P.L.C. 650,741 4,523,013 Creston P.L.C. 40,400 98,780 Cropper (James) P.L.C. 38,601 150,711 Daejan Holdings P.L.C. 131,640 6,666,190 * Dana Petroleum P.L.C. 448,349 4,186,941 Dart Group P.L.C. 229,376 1,295,703 * Dawson International P.L.C. 502,194 88,824 De Vere Group P.L.C. 939,772 9,110,866 Delta P.L.C. 1,282,942 2,768,649 Derwent Valley Holdings P.L.C. 724,091 15,108,948 Development Securities P.L.C. 398,531 3,428,075 * Dimension Data Holdings P.L.C. 2,992,147 1,772,690 Diploma P.L.C. 70,000 863,284 * Dowding & Mills P.L.C. 862,770 282,879 DRS Data & Research Services P.L.C. 51,000 29,632 DTZ Holdings P.L.C. 113,023 447,293 Dyson Group P.L.C. 150,000 968,274 East Surrey Holdings P.L.C. 445,684 4,299,339 * Easyjet P.L.C. 2,217,691 9,083,615 * Easynet Group P.L.C. 71,000 99,415
15 Eleco P.L.C. 68,900 41,457 Electronic Data Processing P.L.C. 271,803 379,433 * Elementis P.L.C. 4,230,532 3,621,780 * Emerald Energy P.L.C. 74,090 205,120 * Emess P.L.C. 2,282,539 309,733 Ennstone P.L.C. 1,590,697 1,234,309 * Enodis P.L.C. 718,000 1,434,309 * Entertainment Rights P.L.C. 2,797,560 1,348,392 Erinaceous Group P.L.C. 371,424 1,806,131 * Eurodis Electron P.L.C. 2,531,550 53,779 * European Colour P.L.C. 185,000 54,675 European Motor Holdings P.L.C. 271,675 1,210,783 Fenner P.L.C. 272,000 590,918 * Ferguson International Holdings P.L.C. 88,836 38,742 Ferraris Group P.L.C. 493,846 814,100 * Fibernet Group P.L.C. 604,346 954,638 * FII Group P.L.C. 104,900 12,866 Filtronic P.L.C. 525,936 1,887,282 * Financial Objects P.L.C. 139,000 109,794 First Technology P.L.C. 555,824 2,922,070 Fisher (James) & Sons P.L.C. 255,000 1,434,147 FKI P.L.C. 667,689 1,171,684 * Fortress Holdings P.L.C. 200,000 9,994 Freeport P.L.C. 432,204 3,276,068 Fuller, Smith & Turner P.L.C. Series A 103,102 1,689,203 Fulmar P.L.C. 107,500 196,250 Future Network P.L.C. 669,770 1,052,575 Galliford Try P.L.C. 646,740 675,859 Game Group P.L.C. 2,741,194 4,019,677 * Garton Engineering P.L.C. 6,000 0 * Gaskell P.L.C. 40,000 1,817 GB Group P.L.C. 707,131 512,718 * Georgica P.L.C. 124,719 180,419 Get Group P.L.C. 25,000 70,339 * Gladstone P.L.C. 158,000 64,702 Gleeson (M.J.) Group P.L.C. 439,381 2,577,724 * Global Natural Energy P.L.C. 60,517 152,392 Goodwin P.L.C. 5,000 33,556 Great Portland Estates P.L.C. 1,865,906 12,215,727 Greene King P.L.C. 274,505 6,146,639 * Greenwich Resources P.L.C. 312,000 15,738 Guiness Peat Group P.L.C. 583,167 741,393 * Gyrus Group P.L.C. 851,382 4,053,314 Halstead (James) Group P.L.C. 79,267 775,570 * Hampson Industries P.L.C. 481,250 217,869 * Hampton Trust P.L.C. 200,491 5,009 Hardy Underwriting Group P.L.C. 212,395 824,370 Hardys & Hansons P.L.C. 204,374 2,391,905 * Harvey Nash Group P.L.C. 150,000 145,713 * Hawtin P.L.C. 150,000 32,062 Haynes Publishing Group P.L.C. 25,591 173,165 Helical Bar P.L.C. 135,403 3,269,592 * Heywood Williams Group P.L.C. 885,102 1,497,514 * Highbury House Communications P.L.C. 2,726,216 99,319
16 Highway Insurance Holdings P.L.C. 1,815,945 1,387,492 Hill & Smith Holdings P.L.C. 74,890 236,650 Hiscox P.L.C. 4,067,983 12,400,961 Hitachi Capital (UK) P.L.C. 150,432 682,604 * Homestyle Group P.L.C. 431,208 434,103 House of Fraser P.L.C. 1,466,915 2,637,039 Hunting P.L.C. 805,904 3,430,390 Huntsworth P.L.C. 3,710,263 1,336,652 IFX Group P.L.C. 260,579 518,570 Infast Group P.L.C. 890,722 540,368 * Intec Telecom Systems P.L.C. 462,054 507,742 Intelek P.L.C. 555,250 106,837 Intserve P.L.C. 145,032 941,116 Inveresk P.L.C. 756,409 191,671 * Jarvis Porter Group P.L.C. 101,000 9,635 JJB Sports P.L.C. 2,969,536 9,784,671 JKX Oil and Gas P.L.C. 581,306 1,455,212 John David Group P.L.C. 45,672 180,146 Johnson Service Group P.L.C. 37,000 313,141 * Kalamazoo Computer Group P.L.C. 12,200 388 KBC Advanced Technologies P.L.C. 574,472 391,450 * Kewill Systems P.L.C. 60,000 70,791 Kiln P.L.C. 1,342,106 2,184,052 Kingston Communications P.L.C. 2,984,965 3,669,083 * Knowledge Support Systems Group P.L.C. 136,000 0 Laing (John) P.L.C. 166,912 746,255 Laird Group P.L.C. 216,800 1,223,126 Lambert Howarth Group P.L.C. 184,286 866,667 * Lamont Holdings P.L.C. 100,000 1,136 * Laura Ashley Holdings P.L.C. 517,800 96,691 Lavendon Group P.L.C. 351,347 1,244,662 * Leeds Group P.L.C. 241,639 59,118 Linton Park P.L.C. 40,500 319,654 Litho Supplies P.L.C. 113,000 121,225 London Merchant Securities P.L.C. 3,788,348 15,782,064 Lookers P.L.C. 238,524 1,344,629 Low & Bonar P.L.C. 866,657 1,755,960 Luminar P.L.C. 1,373,024 12,886,625 Lupus Capital P.L.C. 1,125,000 265,754 * Macfarlane Group P.L.C. 1,126,324 689,721 Macro 4 P.L.C. 44,820 224,462 Mallett P.L.C. 104,602 487,485 Management Consulting Group P.L.C. 1,273,000 1,047,783 Manganese Bronze Holdings P.L.C. 105,064 396,566 * Marylebone Warwick Balfour Group P.L.C. 790,303 1,467,753 Mayborn Group P.L.C. 50,000 395,787 * Mayflower Corp. P.L.C. 1,809,000 0 McAlpine (Alfred) P.L.C. 1,223,952 7,934,293 McCarthy & Stone P.L.C. 417,189 4,320,679 McKay Securities P.L.C. 320,136 1,517,115 * Medical Solutions P.L.C. 67,777 8,143 * # Medisys P.L.C. 800,000 41,855 Mersey Docks & Harbour Co. P.L.C. 575,409 10,080,748
17 Metalrax Group P.L.C. 200,000 284,098 MFI Furniture Group P.L.C. 3,768,806 7,323,982 Mice Group P.L.C. 638,401 320,357 * Microgen P.L.C. 1,024,548 1,485,477 * Mid-States P.L.C. 50,000 13,855 Minerva P.L.C. 1,381,242 6,488,335 * Molins P.L.C. 101,360 257,541 * Montpellier Group P.L.C. 14,000 7,015 * Morgan Crucible Company P.L.C. 1,758,048 5,769,463 Morse P.L.C. 101,664 139,421 Moss Brothers Group P.L.C. 450,000 858,556 Mothercare P.L.C. 536,443 2,747,163 Mowlem (John) & Co. P.L.C. 1,607,662 5,255,138 MS International P.L.C. 119,401 172,669 MSB International P.L.C. 173,435 225,309 MTL Instruments Group P.L.C. 114,675 644,442 Mucklow (A & J) Group P.L.C. 426,765 2,779,259 * Music Choice Europe P.L.C. 191,633 31,798 * MyTravel Group P.L.C. Series A 3,336,000 301,701 * Ncipher P.L.C. 218,027 870,382 Nestor Healthcare Group P.L.C. 953,519 2,401,629 * Nettec P.L.C. 220,000 4,006 * New Avesco P.L.C. 56,789 102,053 Nichols P.L.C. 48,000 166,107 * Noble Investments (UK) P.L.C. 300 306 Nord Anglia Education P.L.C. 277,578 579,946 Northamber P.L.C. 139,057 230,130 * NSB Retail P.L.C. 1,895,000 878,083 * NXT P.L.C. 48,000 59,551 Owen (H.R.) P.L.C. 117,528 391,349 Oxford Instruments P.L.C. 269,240 1,168,313 * Pace Micro Technology P.L.C. 616,176 680,360 Panther Securities P.L.C. 45,000 255,093 Parity Group P.L.C. 420,000 58,863 * Partridge Fine Arts P.L.C. 33,000 38,377 Pendragon P.L.C. 237,500 1,273,996 Penna Consulting P.L.C. 121,500 273,800 * Pharmagene P.L.C. 387,527 168,053 PHS Group P.L.C. 5,566,716 9,847,933 * Pilkingtons Tiles Group P.L.C. 170,000 9,355 Pillar Property P.L.C. 884,918 13,434,210 * Pittards P.L.C. 39,000 14,528 Portmeirion Group P.L.C. 56,335 164,776 Porvair P.L.C. 360,390 660,253 * Premier Oil P.L.C. 396,934 4,241,442 * Pressac P.L.C. 429,000 5,846 Primary Health Properties P.L.C. 189,960 1,018,802 * Probus Estates P.L.C. 416,666 1,136 * Provalis P.L.C. 2,427,440 213,436 Psion P.L.C. 3,101,744 3,454,846 * QA P.L.C. 80,000 4,594 * Quays Group P.L.C. 71,000 7,741 Quintain Estates & Development P.L.C. 460,887 4,534,390 Radamec Group P.L.C. 71,000 37,276
18 Ransom (William) & Son P.L.C. 115,000 94,811 Raven Mount P.L.C. 125,337 142,591 Redrow P.L.C. 784,859 5,687,439 * Redstone P.L.C. 3,694,516 429,522 Reg Vardy P.L.C. 514,614 4,597,316 * Regent Inns P.L.C. 1,046,500 1,464,221 Renold P.L.C. 434,470 359,924 Ricardo P.L.C. 228,464 1,186,466 Rowe Evans Investments P.L.C. 95,900 342,214 Roxboro Group P.L.C. 60,000 433,275 RPC Group P.L.C. 355,740 1,639,454 Rugby Estates P.L.C. 78,667 446,778 Rutland Trust P.L.C. 182,210 149,039 S & U P.L.C. 7,000 67,126 * Safeland P.L.C. 100,000 131,925 # Sanctuary Group P.L.C. 3,426,401 2,504,127 Savills P.L.C. 90,000 1,113,989 Scapa Group P.L.C. 1,417,496 643,002 * SDL P.L.C. 166,480 365,247 * Secure Ventures (No. 1) P.L.C. 250,000 0 * Secure Ventures (No. 2) P.L.C. 250,000 11,357 * Secure Ventures (No. 3) P.L.C. 250,000 0 * Secure Ventures (No. 4) P.L.C. 250,000 10,221 * Secure Ventures (No. 5) P.L.C. 250,000 10,221 * Secure Ventures (No. 6) P.L.C. 250,000 0 * Secure Ventures (No. 7) P.L.C. 250,000 0 Senior P.L.C. 3,077,419 2,251,928 * SFI Holdings, Ltd. Series A 79,000 44,501 Shaftesbury P.L.C. 1,617,406 10,798,394 * Sherwood Group P.L.C. 424,000 82,929 * Shiloh P.L.C. 25,000 45,847 * Simon Group P.L.C. 1,145,752 934,679 Sinclair (William) Holdings P.L.C. 81,940 77,636 Singer & Friedlander Group P.L.C. 2,125,740 12,048,475 Sirdar P.L.C. 280,105 209,157 Smart (J.) & Co. (Contractors) P.L.C. 18,263 204,091 Smith (DS) Holdings P.L.C. 4,791,223 13,421,322 Smith (James) Estates P.L.C. 104,132 872,875 Smith (WH) P.L.C. 259,297 1,685,933 * Soco International P.L.C. 5,000 44,483 Somerfield P.L.C. 1,959,426 7,025,033 Speedy Hire P.L.C. 15,000 186,335 * Spirent P.L.C. 1,619,709 1,363,344 Spring Group P.L.C. 200,000 319,310 St. Ives P.L.C. 664,857 4,357,337 St. Modwen Properties P.L.C. 214,000 1,620,083 Stanley (Charles) Group P.L.C. 150,000 699,013 Stanley Leisure P.L.C. 1,480,991 14,669,400 * Sterling Publishing Group P.L.C. 300,000 40,751 Stylo P.L.C. 5,293 6,308 Swallowfield P.L.C. 60,849 82,097 * Tadpole Technology P.L.C. 296,000 27,619 * Tandem Group P.L.C. 472,000 0 Taylor Woodrow P.L.C. 76,520 440,494
19 * Telecity P.L.C. 963,152 293,306 Telemetrix P.L.C. 143,000 225,756 * Telspec P.L.C. 205,000 84,891 * Terence Chapman Group P.L.C. 62,500 360 Tex Holdings P.L.C. 11,000 21,050 The Cardiff Property P.L.C. 4,000 69,668 * The Innovation Group P.L.C. 889,000 537,408 * The Television Corp. P.L.C. 202,247 273,405 Thorpe (F.W.) P.L.C. 19,149 108,334 * Thus Group P.L.C. 10,626,615 2,704,709 * Tinsley (Eliza) Group P.L.C. 145,967 41,111 Titon Holdings P.L.C. 36,110 76,815 Tops Estates P.L.C. 275,064 2,546,450 * Torotrak P.L.C. 167,000 202,190 * Tottenham Hotspur P.L.C. 146,000 82,010 Town Centre Securities (New) P.L.C. 433,274 2,545,394 Trace Computers P.L.C. 33,014 48,847 * Trafficmaster P.L.C. 300,000 233,268 Transport Development Group P.L.C. 949,461 3,734,324 Treatt P.L.C. 38,663 169,546 Trifast P.L.C. 6,000 7,878 TT Electronics P.L.C. 1,733,532 5,196,685 U.K. Coal P.L.C. 924,530 2,101,652 UCM Group P.L.C. 186,000 249,185 Ultraframe P.L.C. 24,169 20,596 Umeco P.L.C. 96,782 833,920 Uniq P.L.C. 1,167,668 3,187,479 Unite Group P.L.C. 1,750,403 9,044,663 * Universal Salvage P.L.C. 209,473 292,656 Urbium P.L.C. 1,752 20,090 Vega Group P.L.C. 14,000 49,094 * Vernalis P.L.C. 132,072 159,908 Victoria P.L.C. 52,231 196,383 Vislink P.L.C. 816,969 432,833 * Volex Group P.L.C. 195,418 269,194 VP P.L.C. 315,426 1,115,874 * VTR P.L.C. 13,000 15,713 Wagon P.L.C. 525,653 1,592,162 Warner Estate Holdings P.L.C. 395,720 4,133,686 * Waterdorm P.L.C. 70,000 0 Waterman P.L.C. 311,969 559,039 Wembley P.L.C. 277,102 3,900,542 Westbury P.L.C. 2,167,949 18,289,960 Wetherspoon (J.D.) P.L.C. 1,008,263 5,083,202 Whitehead Mann Group P.L.C. 22,000 14,430 Willliam Jacks P.L.C. 10,000 12,933 Wilmington Group P.L.C. 422,000 1,107,388 * Wilshaw P.L.C. 28,000 5,249 Wolverhampton & Dudley Breweries P.L.C. 822,007 16,554,053 Woolworths Group P.L.C. 11,067,763 7,038,896 Workspace Group P.L.C. 2,578,142 11,108,679 WSP Group P.L.C. 366,454 1,748,984 Wyevale Garden Centres P.L.C. 625,653 5,739,163 Wyndeham Press Group P.L.C. 496,261 1,164,057 XANSA P.L.C. 759,231 1,268,753
20 * Xenova Group P.L.C. 2,170,484 171,669 * Yorkshire Group P.L.C. 117,096 12,235 Young & Co's Brewery P.L.C. Class A 8,950 294,882 Zotefoams P.L.C. 196,330 315,639 ---------------- TOTAL COMMON STOCKS (Cost $559,375,137) 687,987,982 ---------------- INVESTMENT IN CURRENCY -- (0.6%) * British Pound Sterling 21,806,665 ---------------- (Cost $21,939,137) RIGHTS/WARRANTS -- (0.0%) * Letter of Entitlements - Audemars Piguet 81,758 0 * SFI Holdings, Ltd. Litigation Certificate 79,000 0 * Xenova Group P.L.C. Warrants 12/31/08 125,718 5,425 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 5,425 ---------------- TOTAL -- UNITED KINGDOM (Cost $581,314,274) 709,800,072 ---------------- AUSTRALIA -- (5.9%) COMMON STOCKS -- (5.8%) A.P. Eagers, Ltd. 55,765 315,842 ABB Grain, Ltd. 88,291 393,156 * Adacel Technologies, Ltd. 123,126 25,992 Adelaide Brighton, Ltd. 6,972,846 9,099,564 # Adsteam Marine, Ltd. 4,008,715 6,020,656 Adtrans Group, Ltd. 103,591 288,416 Alesco Corp., Ltd. 84,679 447,550 * Altium, Ltd. 279,609 49,408 Amalgamated Holdings, Ltd. 1,304,047 3,989,838 Amcom Telecommunications, Ltd. 3,522,859 451,300 * Amrad Corp., Ltd. 638,574 213,824 Ansell, Ltd. 387,110 2,683,665 APN News & Media, Ltd. 237,269 912,459 Ariadne Australia, Ltd. 369,295 94,939 * Atlas Pacific, Ltd. 113,450 16,750 AuIron Energy, Ltd. 90,569 181,269 Ausdrill, Ltd. 646,782 348,186 Auspine, Ltd. 459,469 1,197,337 * Austal, Ltd. 654,587 875,773 * Austar United Communications, Ltd. 1,264,310 839,726 # Austereo Group, Ltd. 4,432,236 5,847,172 # Australand Property Group 2,037,335 2,168,408 Australian Agricultural Co., Ltd. 2,230,297 2,539,299 Australian Pharmaceutical Industries, Ltd. 849,117 1,858,953 * Australian Wealth Management, Ltd. 2,070,654 1,501,403 * Australian Worldwide Exploration, Ltd. 116,990 154,093 Auto Group, Ltd. 64,351 32,808 # AV Jennings Homes, Ltd. 1,694,206 1,772,002
21 Avatar Industries, Ltd. 381,722 253,466 * Avexa, Ltd. 319,287 32,556 AWB, Ltd. 336,282 1,128,464 BayCorp Advantage, Ltd. 2,783,199 6,144,927 Beach Petroleum, Ltd. 2,628,696 1,077,727 Bendigo Bank, Ltd. 402,020 2,939,006 * Betcorp, Ltd. 1,248,119 174,812 * Biota Holdings, Ltd. 136,051 46,183 Boral, Ltd. 24,484 109,536 Brickworks, Ltd. 166,947 1,271,760 Bridgestone Australia, Ltd. 297,702 669,265 * Broadcast Services Australia, Ltd. 1,794,843 447,924 * Burns, Philp & Co., Ltd. 748,991 499,079 Caltex Australia, Ltd. 402,300 4,575,318 Candle Australia, Ltd. 346,943 470,094 * # Capral Aluminium, Ltd. 1,009,563 1,240,573 Cellnet Telecommunications Group, Ltd. 503,851 490,450 Centennial Coal, Ltd. 312,364 1,185,778 Central Equity, Ltd. 738,528 1,171,698 * Charters Towers Gold Mines, Ltd. 1,176,939 101,387 Chiquita Brands South Pacific, Ltd. 692,871 418,529 Circadian Technologies, Ltd. 144,361 149,157 * Climax Mining, Ltd. 1,958,909 124,312 * # Clough, Ltd. 4,325,357 1,614,161 CMI, Ltd. 213,362 233,650 Coates Hire, Ltd. 279,187 878,809 Coca-Cola Amatil, Ltd. 209,949 1,242,936 Collection House, Ltd. 1,096,204 1,165,439 Commander Communications, Ltd. 500,892 788,804 * Coplex Resources NL 351,512 23,895 Coventry Group, Ltd. 344,342 1,599,552 * CPI, Ltd. 121,577 54,156 Crane Group, Ltd. 956,016 5,756,330 # Croesus Mining NL 4,480,025 1,096,450 # DCA Group, Ltd. 611,663 1,604,404 # Devine, Ltd. 1,230,461 552,790 * Dominion Mining, Ltd. 132,707 30,990 Downer Group, Ltd. 2,729,898 10,875,533 * E.R.G., Ltd. 4,268,550 866,263 * Emporer Mines, Ltd. 189,033 42,857 Energy Developments, Ltd. 1,116,303 3,178,693 Energy Resources of Australia, Ltd. Series A 200,366 1,677,758 * Energy World Corp., Ltd. 393,461 12,127 Evans & Tate, Ltd. 674,120 355,986 FKP, Ltd. 409,028 854,887 * Forest Enterprises Australia, Ltd. 2,684,773 1,072,172 Futuris Corp., Ltd. 6,968,200 8,880,296 Gale Pacific, Ltd. 205,726 229,480 Gazal Corp., Ltd. 91,673 210,551 Globe International, Ltd. 4,019,093 1,287,747 Gowing Bros., Ltd. 157,139 303,739 * Gowing Retail, Ltd. 5,323 701 * Gradipore, Ltd. 43,768 20,667 Graincorp, Ltd. Series A 95,367 819,831
22 Grand Hotel Group 2,458,090 1,440,299 GRD NL 219,912 253,288 Great Southern Plantations, Ltd. 380,106 1,016,783 Green's Foods, Ltd. 200,755 78,618 GUD Holdings, Ltd. 96,340 493,784 GWA International, Ltd. 1,730,686 3,750,921 * Gympie Gold, Ltd. 266,614 0 * Haoma Mining NL 440,554 20,353 Healthscope, Ltd. 145,521 489,306 Henry Walker Eltin Group, Ltd. 1,153,772 431,364 HGL, Ltd. 428,980 586,046 Home Building Society, Ltd. 41,310 224,544 Housewares International, Ltd. 1,168,019 1,413,273 * Hudson Investment Group, Ltd. 297,500 4,494 * Hutchison Telecommunications (Australia), Ltd. 6,074,332 1,165,895 Iluka Resources, Ltd. 2,571,650 11,917,195 * Imdex, Ltd. 202,532 32,803 Incitec Pivot, Ltd. 85,075 1,011,778 * Intercard Wireless, Ltd. 62,379 2,120 * Intermoco, Ltd. 7,514,093 198,288 * International All Sports, Ltd. 37,973 7,744 Investor Group, Ltd. 43,040 133,796 # ION, Ltd. 554,140 0 IOOF Holdings, Ltd. 456,851 2,312,724 # IWL, Ltd. 44,166 85,063 JDV, Ltd. 40,681 27,629 # Jones (David), Ltd. 805,650 1,093,462 K&S Corp., Ltd. 85,482 197,529 Keycorp, Ltd. 181,913 227,763 Kingsgate Consolidated NL 49,187 100,864 Kresta Holdings, Ltd. 513,341 112,386 Lemarne Corp., Ltd. 38,606 71,076 Lighting Corp., Ltd. 778,093 393,411 * Lynas Gold NL 1,387,873 177,310 # MacArthur Coal, Ltd. 634,488 3,299,609 MacMahon Holdings, Ltd. 3,168,633 969,446 * Macquarie Corporate Telecommunications, Ltd. 303,300 26,262 Magellan Petroleum Australia, Ltd. 29,537 26,592 * Magnesium International, Ltd. 60,027 64,318 MaxiTRANS Industries, Ltd. 182,891 106,412 # McGuigan Simeon Wines, Ltd. 1,342,329 3,950,145 McPherson's, Ltd. 445,905 1,093,384 # Miller's Retail, Ltd. 1,778,400 1,059,219 Minara Resources, Ltd. 1,976,573 2,793,456 MYOB, Ltd. 144,171 118,918 Namoi Cotton Cooperative, Ltd. 597,224 234,790 National Can Industries, Ltd. 18,850 18,734 * Novera Energy, Ltd. 183,131 203,647 Nufarm, Ltd. 220,300 1,465,722 Onesteel, Ltd. 1,102,497 2,087,922 * Orbital Engine Corp., Ltd. 165,000 12,174 # Pacific Group, Ltd. 1,126,117 1,286,690 Pacific Hydro, Ltd. 377,438 1,443,638 * Payce Consolidated, Ltd. 179,001 366,390
23 * People Telecom, Ltd. 1,067,550 108,653 * Perilya Mines NL 702,065 386,474 * Petsec Energy, Ltd. 153,726 128,112 * Plantcorp NL 14,403 0 Plaspak Group, Ltd. 748,115 514,653 * PMP, Ltd. 666,000 625,205 Port Bouvard, Ltd. 802,363 813,032 * PowerTel, Ltd. Series B 441,788 396,830 * Pracom, Ltd. 122,300 1,755 Prime Television, Ltd. 1,043,256 2,440,549 * Primelife Corp., Ltd. 272,182 181,024 Queensland Cotton Holdings, Ltd. 229,310 726,474 * Reinsurance Australia Corp., Ltd. 3,822,592 1,355,193 Repcol, Ltd. 1,303,888 471,752 * Resolute Mining, Ltd. 920,903 624,330 Ridley Corp., Ltd. 2,666,829 2,710,623 * # Roc Oil Co., Ltd. 1,499,446 1,857,901 Senetas Corp., Ltd. 206,798 41,894 Servcorp, Ltd. 28,622 56,071 Seven Network, Ltd. 705,659 3,794,099 Sigma Co., Ltd. 152,700 944,506 * Silex System, Ltd. 197,100 145,308 # Smorgon Steel Group, Ltd. 6,552,886 6,142,255 SMS Management & Technology, Ltd. 643,462 814,811 * # Sons of Gwalia, Ltd. 942,771 0 # Southern Cross Broadcasting (Australia), Ltd. 516,607 4,750,541 * Southern Pacific Petroleum NL 424,400 0 Spotless Group, Ltd. 5,718 21,118 * St. Barbara Mines, Ltd. 329,338 23,526 Straits Resources, Ltd. 577,289 732,508 * Strathfield Group, Ltd. 165,666 10,273 * Tap Oil, Ltd. 1,478,213 2,221,463 Tectonic Resources NL 268,861 31,396 * Television & Media Services, Ltd. 240,000 7,075 Ten Network Holdings, Ltd. 656,900 1,851,006 Thakral Holdings Group 7,655,402 4,507,496 Ticor, Ltd. 1,042,688 1,334,039 # Timbercorp, Ltd. 1,392,566 2,011,375 * Titan Resources NL 1,711,400 76,264 Triako Resources, Ltd. 58,482 36,283 Trust Company of Australia, Ltd. 22,214 156,322 United Group, Ltd. 92,878 591,715 UXC, Ltd. 1,161,023 682,836 Villa World, Ltd. 980,647 1,064,792 * Village Roadshow, Ltd. 1,517,302 2,920,073 Vision Systems, Ltd. 1,620,442 1,260,923 Volante Group, Ltd. 1,160,608 1,032,748 # Wattyl, Ltd. 1,079,491 1,728,833 * Webster, Ltd. 370,669 212,840 Wide Bay Capricorn Building Society, Ltd. 29,461 155,821 * Xanadu Wines, Ltd. 150,525 3,396 * Yates, Ltd. 144,138 4,027 ---------------- TOTAL COMMON STOCKS (Cost $192,389,309) 219,183,013 ----------------
24 PREFERRED STOCKS -- (0.1%) * Village Roadshow, Ltd. 2% Class A 1,176,086 1,783,108 ---------------- (Cost $1,448,798) INVESTMENT IN CURRENCY -- (0.0%) * Australian Dollar 1,155,858 ---------------- (Cost $1,134,972) RIGHTS/WARRANTS -- (0.0%) * Beach Petroleum, Ltd. Warrants 06/30/06 646,673 0 * Forest Enterprises Australia, Ltd. Rights 06/07/05 447,462 6,759 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 6,759 ---------------- TOTAL -- AUSTRALIA (Cost $194,973,079) 222,128,738 ---------------- FRANCE -- (3.9%) COMMON STOCKS -- (3.9%) * Actielec Technologies 28,700 190,272 # Affine 10,255 1,047,379 * Alain Manoukian SA 9,565 349,997 Ares (Groupe) SA 53,672 374,991 Aubay SA 79,377 421,858 Bacou-Dalloz 51,545 4,251,518 Bains de Mer et du Cercle des Etrangers a Monaco 7,064 4,259,401 * Bigben Interactive 13,755 65,355 Bonduelle SA 5,749 460,221 # Bongrain SA 80,383 4,952,798 * Bricorama SA 1,768 111,786 * Bull SA 1,328,747 1,077,599 # Burelle SA 11,325 1,469,305 Carbone Lorraine 21,774 991,690 * CBo Territoria 5,724 20,427 CEGID SA 4,108 146,769 CFF Recycling SA 77,680 2,175,265 * CGBI 7,000 3,773 # Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux SA 48,652 3,013,755 * # Club Mediterranee SA 156,941 7,528,322 Compagnie Internationale Andre Trigano Ciat SA 2,100 64,618 * Conflandey SA 1,939 23,128 Consortium International de Diffusion et de Representation Sante 1,300 11,741 * # CS Communication et Systemes 13,500 465,591 Delachaux SA 10,172 1,503,530 * Desquenne et Giral SA 4,761 56,318 # Deveaux SA 5,587 546,219 Didot-Bottin 1,204 100,748 * Dynaction SA 14,803 302,232 Elior 58,756 691,662
25 Etam Developpement SA 34,200 989,766 * Euraltech SA 55,173 101,563 * # Euro Disney SCA 5,082,010 625,679 # Evialis SA 12,253 457,274 * Explosifs et de Produits Chimiques 312 129,443 Faurecia SA 14,175 1,063,135 # Fimalac SA 108,252 4,957,351 Fleury Michon SA 1,727 79,669 Francois Freres (Tonnellerie) SA 7,663 227,755 * Gantois Series A 465 8,583 Gascogne SA 10,632 932,772 # Gaumont 10,491 721,610 * # Generale de Geophysique SA 95,324 7,851,622 * Geodis SA 4,900 519,560 Gevelot 4,329 292,066 # GFI Informatique SA 420,538 2,504,147 Groupe Bourbon SA 5,724 351,176 * Groupe Flo SA 52,020 454,903 * Groupe Focal SA 5,149 50,477 Groupe Guillin SA 480 36,654 * # Guerbet SA 4,911 531,863 # Guyenne et Gascogne SA 13,079 1,588,549 * HBS Technologie SA 405 6,889 IDSUD 2,129 76,891 * Immobiliere et Hoteliere SA 27,700 68,173 * IMS International Metal Service SA 89,627 1,282,727 # Ingenico SA 20,000 283,343 Lafuma SA 812 70,752 Laurent-Perrier 18,448 832,317 # Lisi SA 42,753 2,617,117 * LVL Medical Groupe SA 27,900 190,435 * Maire (Henri) 1,252 14,636 * Matussiere et Forest SA 15,720 56,099 * Metaleurop SA 62,320 41,412 MGI Coutier SA 10,254 429,276 Montupet SA 71,034 1,585,426 # Nexans 266,537 9,828,919 * Oeneo 61,605 94,761 * Otor SA 58,348 327,410 * Paris Orleans et Cie SA 1,336 333,312 * # Penauille Polyservices SA 98,852 933,384 Pinguely-Haulotte SA 214,316 2,482,428 # Plastic Omnium SA 106,822 2,811,557 Plastivaloire SA 14,399 408,885 Prosodie SA 27,401 626,545 # Provimi SA 154,602 3,303,313 PSB Industries SA 14,760 607,507 * Radiall SA 11,998 816,071 Remy Cointreau SA 196,701 8,300,639 Robertet SA 1,300 188,917 Rougier SA 2,715 228,725 * S.T. Dupont SA 29,035 136,666 # SA Fromageries Bel la Vache Qui Rit 3,875 661,699 Sabeton 18,460 281,745
26 Saint-Etienne 600 21,379 Sasa Industries SA 11,794 428,566 * Saveurs de France-Brossard 5,500 337,170 * # Scor SA 3,171,250 6,498,141 * SDR de Bretagne SA 12,398 467,962 Sechilienne-Sidec 1,000 394,727 Securidev SA 16,908 270,137 Setforge 600 29,166 # Signaux Girod SA 6,528 578,811 # SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 104,887 9,663,538 Skis Rossignol SA 7,216 168,133 Smoby SA 4,911 511,261 Societe Industrielle D'Aviations Latecoere SA 20,648 913,621 Sucriere de Pithiviers-le-Vieil 2,392 1,574,136 * Sylis SA 46,034 292,791 Taittinger SA 1,086 415,749 * Teamlog SA 38,219 129,651 Tivoly SA 1,904 54,753 * # Ubi Soft Entertainment SA 179,515 8,047,289 # Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 43,572 10,089,373 * Valtech, La Defense 251,100 265,650 # Vilmorin et Cie SA 16,610 2,995,406 VM Materiaux SA 3,272 441,517 Vranken Monopole 23,761 1,054,095 * Xilam Animation 12,911 39,157 * XRT 170,393 255,242 ---------------- TOTAL COMMON STOCKS (Cost $101,999,057) 147,019,282 ---------------- RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 133,819 60,929 * Groupe Ares SA Warrants 10/03/05 29,000 4,996 * Groupe Focal SA Warrants 02/21/10 1,716 0 * Oeneo Warrants 08/26/06 28,305 1,045 * Penauille Polyservices SA Rights 06/09 98,852 353,564 * Prosodie SA Warrants 10/28/06 19,600 7,236 * Ubi Soft Entertainment SA Warrants 05/14/06 66,800 49,321 * Valtech, La Defense Warrants 07/29/05 251,100 3,090 ---------------- TOTAL RIGHTS/WARRANTS (Cost $433,466) 480,181 ---------------- TOTAL -- FRANCE (Cost $102,432,523) 147,499,463 ---------------- GERMANY -- (3.8%) COMMON STOCKS -- (3.8%) * 3U Telecom AG 284,600 385,030 A.S. Creation Tapeton AG 9,300 298,739 * AAP Implantate AG 55,800 115,752 Aareal Bank AG 287,387 8,342,078
27 * Acg AG Fuer Chipkarten und Informationssysteme 86,130 60,446 * AC-Service AG 22,900 149,485 * Adva AG Optical Networking 50,600 268,313 * Allbecon AG 6,700 15,238 Amadeus Fire AG 28,677 213,163 * Analytik Jena AG 37,411 197,704 Andreae-Noris Zahn AG, Anzag 31,491 1,355,278 * Articon Integralis AG 47,711 176,424 Atoss Software AG 24,082 266,189 * Augusta Technologie AG 5,609 38,655 * Baader Wertpapier Handelsbank AG 146,387 808,168 Bechtle AG 73,700 1,788,509 * Berliner Elektro Holding AG 81,920 836,884 * Beta Systems Software AG 20,850 351,557 Bien-Haus AG 16,900 173,082 # Bilfinger & Berger Bau AG 328,961 15,616,285 * Biolitec AG 43,100 147,198 Biotest AG 43,409 976,334 * BMP AG 12,980 30,448 * # Borussia Dortmund GMBH & Co. KGAA 92,117 274,679 Bremer Energiekonto AG 54,600 104,250 * Bremer Woll-Kaemmerei AG 25,291 48,239 * Broadnet Mediascape Communications AG 146,327 468,377 * Brueder Mannesmann AG 20,600 59,223 * Caatoosee AG 69,600 56,299 * CBB Holding AG 200,846 46,959 * Ce Consumer Electrnic AG 46,800 49,934 Cewe Color Holding AG 38,395 1,405,693 * Cinemaxx AG 3,100 7,788 * CNV Vermoegensverwaltungs AG 2,500 33,306 Comdirect Bank AG 497,939 3,864,972 Computerlinks AG 10,900 208,374 * Concord Effekten AG 4,400 5,896 * Condomi AG 19,900 22,555 * COR AG Insurance Technologies 12,700 32,203 * Cybio AG 11,100 37,905 * D. Logistics AG 237,908 502,907 # DAB Bank AG 61,779 440,219 * DAS Werk AG 10,600 522 Data Modul AG 14,229 241,500 * DEAG Deutsche Entertainment AG 77,453 208,399 Deutsche Euroshop AG 168,045 8,832,953 * # Deutz AG 130,266 598,901 * Dierig Holding AG 8,750 122,748 * # Drillisch AG 36,400 167,657 * # Duerr Beteiligungs AG 55,310 946,976 DVB Bank AG 11,529 1,562,542 Dyckerhoff AG DM50 29,750 1,376,501 * Eckert and Ziegler Strahlen - und Medizintechnik AG 27,600 366,246 * # Em.TV AG 36,712 230,630 * # Epcos AG 176,709 2,262,197 * Escada AG 64,090 1,485,550 * Evotec Biosystems AG 337,854 1,161,727 FJA AG 16,618 58,990
28 * Freenet.De AG 58,386 1,475,234 Fuchs Petrolub AG Oel & Chemie 19,440 1,851,356 * Gesco AG 11,877 358,495 * # GFT Technologies AG 92,927 210,158 * Girindus AG 49,312 368,050 * Gontard & Metallbank AG 46,008 2,099 * GPC Biotech AG 72,300 826,690 * Herlitz AG 26,031 147,614 * Hoeft & Wessel AG 52,955 333,044 Hucke AG 39,149 148,994 * Hutschenreuther AG 8,591 116,289 Hyrican Informations Systeme AG 4,901 59,983 * I-D Media AG 11,265 24,237 * IM International Media AG 149,500 149,509 * # Innovation in Traffic Systems AG 13,500 71,395 Interseroh AG 3,600 103,049 * # Intershop Deutschland AG 7,195 7,619 * Intertainment AG 14,082 33,418 * IPC Archtec AG 15,800 36,843 * Isra Vision Systems AG 10,086 219,929 * IVG Immobilien AG 178,878 3,249,640 # Iwka AG 308,474 7,314,562 * Jenoptik AG 532,436 5,728,601 Kampa-Haus AG 35,200 247,058 * Kaufring AG 5,600 1,792 * # Kloeckner-Werke AG 177,348 2,831,852 * Kontron AG 215,645 1,718,289 Krones AG 4,700 504,853 KSB AG 4,650 743,230 KWS Kleinwanzlebener Saatzucht AG 691 590,758 * Leica Camera AG 6,791 21,262 * Leifheit AG 23,042 626,029 Leoni AG 16,300 1,257,780 * Loesch Umweltschutz AG 16,000 19,028 * Loewe AG 48,538 557,810 LPKF Laser & Electronics AG 7,700 41,925 * M & S Elektronik AG 19,600 991 * Mania Technologie AG 12,100 19,320 * Mannheimer Aktiengesellschaft Holding AG 27,000 104,973 * Marbert AG 6,800 7,120 * Maxdata AG 113,610 527,834 * Mediantis AG 10,950 28,068 * Mediclin AG 44,923 105,327 * Medigene AG 43,900 570,014 # Medion AG 264,041 4,083,257 * Mosaic Software AG 21,800 29,212 * Mwb Wertpapierhandelshaus AG 15,700 53,897 * MWG Biotech AG 127,600 62,474 Nemetschek AG 20,847 344,983 * Nexus AG 78,083 312,088 Norddeutsche Affinerie AG 326,714 6,608,545 Norddeutsche Steingutfabrik AG 10,182 86,547 * Nordwest Handel AG 11,313 59,519 * November AG 57,639 351,720
29 * Pandatel AG 28,300 39,642 * Parsytec AG 82,026 282,938 PC-Ware Information Technologies AG 38,794 485,276 * Personal & Informatik AG 2,150 25,521 * Pfleiderer AG 185,313 2,918,409 * Pironet NDH AG 91,215 489,923 * Pixelpark AG 15,050 31,190 * # Plambeck Neue Energien AG 63,465 55,262 * # Plasmaselect AG 175,241 990,744 * # Primacom AG 62,300 264,790 * Produkte und Syteme der Informationstechnologie AG 114,771 546,530 * # Qs Communications AG 260,800 1,181,459 * Ravensberg Bau-Beteiligungen AG 29,500 5,082 * Realtech AG 20,200 167,568 REpower Systems AG 26,461 488,606 Rheinmetall Berlin AG 85,490 4,337,053 * Rinol AG 15,000 25,716 * Roesch Medizintechnik AG 7,300 2,206 * Rohwedder AG 31,792 299,402 * RTV Family Entertainment AG 2,480 2,529 * Ruecker AG 25,400 189,100 * Saltus Technology AG 5,900 31,981 Salzgitter AG 450,405 10,538,196 Sartorius AG 20,000 419,001 Schlott Sebaldus AG 29,189 972,386 Sektkellerei Schloss Wachenheim AG 2,900 37,751 * Senator Entertainment AG 10,730 18,742 * Ser Systeme AG 9,400 1,215 * SHS Informationssysteme AG 17,611 80,099 * # Singulus Technologies AG 100,217 1,210,614 * SinnerSchrader AG 14,498 26,911 Sixt AG 80,700 1,594,923 Stahl (R.) AG 15,700 268,352 * Steag Hamtech AG 78,350 158,146 * Stoehr & Co. AG 44,310 190,841 * Strabag AG 17,199 1,052,380 * # Suess Microtec AG 138,239 780,033 Syskoplan AG 16,400 123,652 * Syzygy AG 52,485 315,888 * SZ Testsysteme AG 7,000 788 Technotrans AG 25,800 487,912 * Telegate AG 19,300 340,741 * Textilgruppe Hof AG 22,530 187,247 * TFG Venture Capital AG & Co. KGAA 165,040 482,768 * Tiptel AG 13,600 26,957 * TTL Information Technology AG 22,800 82,244 * TV Loonland AG 22,500 52,001 * Umweltbank AG 25,780 311,166 * Value Management & Research AG 50,180 214,976 * Varetis AG 18,084 155,512 * VBH (Vereinigter Baubeschlag-Handel) AG 6,000 21,879 * Vereinigte Deutsche Nickel-Werke AG 43,909 22,153 Vossloh AG 39,200 1,862,012 * W.O.M. World of Medicine AG 68,273 261,866
30 * # WCM Beteiligungs AG 2,324,892 1,257,951 Westag and Getalit AG, Rheda-Wiedenbrueck 10,653 125,848 * Windhoff AG 11,400 2,161 Wuerttembergische Lebensversicherung AG 13,822 296,502 * Wuerttembergische Metallwarenfabrik AG 64,620 1,129,424 ---------------- TOTAL COMMON STOCKS (Cost $120,125,215) 143,231,304 ---------------- RIGHTS/WARRANTS -- (0.0%) * Em.TV AG Options 04/18/06 36,712 44,273 ---------------- (Cost $99,180) TOTAL -- GERMANY (Cost $120,224,395) 143,275,577 ---------------- FINLAND -- (3.2%) COMMON STOCKS -- (3.2%) Amanda Capital Oyj 190,425 479,342 Amer-Yhtymae Oyj Series A 241,800 4,109,495 # Aspocomp Group P.L.C. 123,800 610,096 Bank of Aland, Ltd. 5,700 152,208 * Benefon Oy 19,000 6,238 Componenta Oyj 76,000 635,370 Efore Oy 37,600 86,571 # Elcoteq Network Oyj 197,318 3,871,433 Elisa Communications Corp. 6,247 93,563 * Eq Online Oyj 131,840 334,452 * Evox Rifa Group Oyj 120,395 14,790 Finnair Oyj 607,600 5,178,903 Finnlines Oyj 496,200 8,476,052 Fiskars Oy AB Series A 195,860 2,262,598 HK Ruokatalo Oy Series A 235,900 2,745,649 Honkarakenne Oy Series B 15,900 101,053 # Huhtamaki Van Leer Oyj 1,251,450 19,001,730 Ilkka-Yhtyma Oyj 14,620 159,627 * Incap Oyj 8,500 17,790 Julius Tallberg-Kiinteistoet Oy, Helsinki Series B 11,601 150,894 Kemira GrowHow Oyj 26,158 202,654 Kemira Oyj 555,500 7,394,561 Laennen Tehtaat Oy 45,750 674,765 Lemminkainen Oy 84,200 1,973,405 Leo Longlife Oy 25,350 140,395 Metsaemarkka Oyj Series B 6,968 57,069 M-Real Oyj Series B 710,630 3,835,934 * Okmetic Oyj 130,875 367,911 Okobank Class A 705,880 11,260,906 Olvi Oyj Series A 39,650 810,859 Raisio Group P.L.C. Series V 1,088,900 2,921,203 Rautaruukki Oyj Series K 1,259,410 17,741,814 Raute Oy Series A 25,100 307,656 * Satama Interactive Oyj 42,000 45,515 Sponda Oyj 694,535 6,558,606
31 SSH Communications Oyj 308,500 463,666 * Stonesoft Corp. 282,398 232,845 Tamfelt Oyj 2,100 21,671 * Tecnomen Holding Oyj 699,797 1,191,711 Tulikivi Oyj 29,500 225,904 Turkistuottajat Oy 9,900 94,319 Viking Line AB 18,100 546,780 Wartsila Corp. Oyj Series B 324,450 9,760,893 Yit-Yhtymae Oyj 106,200 3,430,033 ---------------- TOTAL -- FINLAND (Cost $88,659,933) 118,748,929 ---------------- SWITZERLAND -- (3.1%) COMMON STOCKS -- (3.1%) AFG Arbonia-Forster Holding AG 10,550 2,877,132 Allreal Holding AG 36,534 3,268,966 Ascom Holding AG 160,800 2,478,257 # Baloise-Holding 184,845 9,651,900 Bank Coop AG 11,560 532,787 Banque Cantonale de Geneve 8,520 1,256,345 Banque Cantonale du Jura 800 228,914 Banque Cantonale Vaudoise 16,398 3,621,627 Batigroup Holding AG 52,192 702,599 * Berna Biotech 293,607 2,148,957 Bobst Group SA 115,400 4,550,642 Bossard Holding AG 5,450 322,725 * Bucher Industries AG 66,310 4,222,552 Caisse d'Epargne Cantonale Vaudoise, Lausanne 1,900 1,692,079 Calida Holding AG 400 124,259 * Card Guard AG 94,100 324,521 Carlo Gavazzi Holding AG 3,114 274,375 Charles Voegele Holding AG 94,443 5,878,686 Cie Financiere Tradition 3,121 279,620 * Converium Holding AG 77,200 604,960 Conzzeta Holdings AG 3,340 3,741,307 * COS Computer Systems AG 15,258 462,216 * Crealogix Holding AG 1,221 68,113 * Crossair AG, Basel 71,730 511,313 Daetwyler Holding AG, Atldorf 940 2,263,771 Escor Casino & Entertainment AG 4,915 116,090 Feintol International Holding AG 4,290 911,296 * Fischer (Georg) AG, Schaffhausen 22,887 6,784,690 * Flughafen Zuerich AG 49,800 6,978,556 * Forbo Holding AG, Eglisau 9,291 1,771,072 Galenica Holding, Ltd. AG, Bern 20,000 3,293,148 * Getaz Romang Holding SA 3,271 1,154,020 * Golay-Buchel Holding SA, Lausanne 125 119,548 Gurit-Heberlein AG 2,860 1,993,697 Helvetia Patria Holding 33,371 4,997,145 Industrieholding Cham AG, Cham 7,000 1,682,381 * Isotis SA 648,598 910,010
32 * Kardex AG, Zuerich 9,725 327,392 * Leica Geosystems Holdings AG 3,500 1,044,268 * Lem Holdings AG, Lyss 1,880 662,759 * Metraux Services SA 1,817 229,889 * Moevenpick-Holding, Zuerich 2,360 549,733 * Nextrom Holding SA 250 2,750 * PSP Swiss Property AG 53,700 2,369,128 Schweizerhall Holding AG 19,175 1,460,159 # Schweizerische National Versicherungs Gesellschaft 6,788 3,421,214 Siegfried Holding AG 10,103 1,206,454 * Sihl 750 1,802 * Sika Finanz AG, Baar 870 546,493 St. Galler Kantonalbank 6,370 1,621,905 Sulzer AG, Winterthur 16,040 6,670,668 * Swiss Prime Site AG 147,100 7,040,836 * Swisslog Holding AG 245,500 220,067 * Tornos Holding SA 16,000 108,851 * UMS Schweizerische Metallwerke Holding AG, Bern 3,200 33,824 # Unaxis Holding AG 11,890 1,668,344 * Valiant Holding AG 6,655 586,265 Vaudoise Assurances Holding, Lausanne 499 921,903 * Von Roll Holding AG, Gerlafingen 30,090 53,066 * Wmh Walter Meier Holding AG, Zuerich 10,533 622,818 Zehnder Holding AG 50 60,595 Zschokke Holding SA, Geneve 2,398 1,283,277 * Zueblin Holding AG 261,740 2,223,126 ---------------- TOTAL COMMON STOCKS (Cost $82,464,680) 117,737,862 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs 249,493 ---------------- (Cost $252,847) TOTAL -- SWITZERLAND (Cost $82,717,527) 117,987,355 ---------------- SWEDEN -- (3.1%) COMMON STOCKS -- (3.1%) * Active Biotech AB 15,000 76,625 Angpannefoereningen AB Series B 9,850 184,199 * Anoto Group AB 50,533 78,255 * # Artimplant AB Series B 255,000 156,625 B & N Bylock & Nordsjoefrakt AB Series B 227,500 774,123 Beijer AB Series B 48,300 819,151 Beijer Alma AB Series B 27,300 467,551 Bergman & Beving AB Series B 110,100 1,237,347 Biacore International AB 20,350 470,864 Bilia AB Series A 201,750 3,419,043 # Billerud AB 527,100 6,369,488 * BioGaia AB Series B 28,000 49,756 * Boliden AB 1,788,550 7,317,116 * Bong Ljungdahl AB 64,100 419,681
33 * Boras Waefveri AB Series B 15,900 54,894 Capona AB 85,542 1,069,273 # Carbo AB 241,100 5,875,327 # Castellum AB 314,000 12,106,758 Cloetta AB Series B 18,600 549,943 Concordia Maritime AB Series B 172,100 754,611 * Consilium AB Series B 8,000 33,003 * Doro AB Series A 1,200 5,697 * Duroc AB Series B 1,400 3,554 * Elekta AB 13,100 494,621 * Enea Data AB Series B 339,400 216,993 Expanda AB 78,200 403,265 Fabege AB 308,770 6,230,281 * Framtidsfabriken AB 884,520 78,152 * Frontec AB Series B 478,900 567,323 Geveko AB Series B 28,900 680,193 * Glocalnet AB 160,000 86,281 Gunnebo AB 24,200 311,863 # Haldex AB 248,000 4,389,074 Hiq International AB 45,000 189,760 * # IBS AB Series B 711,950 1,883,894 * Industrial & Financial Systems AB Series B 293,000 273,138 * Industrifoervaltnings AB Skandigen 46,200 154,288 * Intellecta AB Series B 7,100 30,540 * Intentia International AB Series B 556,000 1,085,988 Invik and Co. AB Series B 44,000 359,115 Karlshamns AB 11,900 200,387 * Klippans Finpappersbruk AB 30,800 33,438 Klovern AB 395,078 1,327,657 # Kungsleden AB 556,000 13,798,305 Lagercrantz Group AB Series B 166,135 416,616 Lennart Wallenstam Byggnads AB Class B 398,000 5,280,372 Ljungberg Gruppen AB Series B 4,200 119,965 * Lundin Mining Corp. 1,421 12,028 * Mandator AB 157,500 29,711 * Medivir Series B 23,250 156,112 * Micronic Laser Systems AB 26,000 269,000 Naerkes Elektriska AB Series B 57,350 954,256 NCC AB Series A 45,400 663,777 NCC AB Series B 423,800 6,218,530 Nolato AB Series B 82,300 564,327 # Observer AB 864,800 3,492,261 OEM International AB Series B 10,100 169,414 * Ortivus AB 80,300 306,039 Partnertech AB 36,982 397,370 # PEAB AB Series B 386,200 4,024,710 * # Pergo AB 469,716 1,662,014 Poolia AB Series B 147,200 680,601 * Pricer AB Series B 441,000 56,516 * Proact It Group AB 69,000 162,603 Profilgruppen AB 25,600 224,159 # Protect Data AB 15,600 246,880 * PyroSequencing AB 165,782 229,440 * Rorvik Timber AB 30,600 49,158
34 # Rottneros Bruk AB 1,191,000 1,114,930 Salus Ansvar AB Series B 36,600 141,564 * Scribona AB Series A 15,700 30,647 * # Scribona AB Series B 339,100 663,309 * Semcon AB 30,500 184,790 * Studsvik AB 37,200 679,655 Sweco AB Series B 47,050 814,166 * Teleca AB Series B 413,400 2,131,219 * Teligent AB 74,500 234,570 # Trelleborg AB Series B 322,500 5,010,223 Uniflex AB Series B 3,400 20,461 * Viking Telecom AB 29,100 9,611 * Wedins Skor & Accessoarer AB 4,049 24,601 Westergyllen AB Series B 29,600 209,120 * Wihlborgs Fastigheter AB 61,754 1,452,362 Xponcard Group AB 18,200 416,429 ---------------- TOTAL COMMON STOCKS (Cost $80,797,077) 114,610,956 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona 99,215 ---------------- (Cost $100,814) TOTAL -- SWEDEN (Cost $80,897,891) 114,710,171 ---------------- HONG KONG -- (3.0%) COMMON STOCKS -- (3.0%) Aeon Credit Service (Asia) Co., Ltd. 416,000 260,561 ALCO Holdings, Ltd. 710,000 275,438 Allan International Holdings, Ltd. 1,086,000 160,381 Allied Group, Ltd. 1,183,000 1,638,511 Allied Properties, Ltd. 1,673,500 1,024,642 * Applied International Holdings, Ltd. 1,150,000 36,511 * APT Satellite Holdings, Ltd. 956,000 163,359 Artel Solutions Group Holdings, Ltd. 3,320,000 64,029 * A-S China Plumbing Products, Ltd. 125,000 28,758 Asia Aluminum Holdings, Ltd. 14,821,000 1,634,445 * Asia Commercial Holdings, Ltd. 35,960 2,540 Asia Financial Holdings, Ltd. 3,538,106 930,520 Asia Standard International Group, Ltd. 16,910,666 736,515 * Asia Tele-Net & Technology Corp., Ltd. 200,000 9,133 * Asia Zirconium, Ltd. 628,000 65,331 Associated International Hotels, Ltd. 1,280,000 1,215,200 Automated Systems Holdings, Ltd. 116,000 27,440 * B.A.L. Holdings, Ltd. 4,079 147 * Beauforte Investors Corp., Ltd. 440,000 16,927 * Capital Estate, Ltd. 720,000 2,665 * Capital Publications, Ltd. 1,015,200 29,489 * Catic International Holdings, Ltd. 11,556,000 133,692 CCT Telecom Holdings, Ltd. 1,452,800 233,066 * Celestial Asia Securities Holdings, Ltd. 251,900 12,293
35 * Century City International Holdings, Ltd. 2,863,067 39,466 # Champion Technology Holdings, Ltd. 4,380,046 668,169 Cheuk Nang (Holdings), Ltd. 48,057 26,209 Chevalier International Holdings, Ltd. 1,006,491 1,188,231 * Chi Cheung Investment Co., Ltd. 431,085 123,460 * China Aerospace International Holdings, Ltd. 8,958,600 481,954 * China Bio-medical Group, Ltd. 258,750 4,989 China Everbright International, Ltd. 3,610,000 207,908 * China Everbright Technology, Ltd. 6,582,000 261,622 # China Everbright, Ltd. 2,508,000 978,460 China Hong-Kong Photo Products Holdings, Ltd. 3,627,000 340,906 * China Investments Holdings, Ltd. 1,186,800 25,626 * China Motion Telecom International, Ltd. 522,000 14,089 China Motor Bus Co., Ltd. 57,000 460,963 China Online (Bermuda), Ltd. 1,062,600 171,682 China Overseas Land & Investment, Ltd. 8,660,000 1,619,374 * China Rare Earth Holdings, Ltd. 3,562,000 448,423 # China Resources Land, Ltd. 5,278,000 845,248 * China Rich Holdings, Ltd. 2,554,000 10,176 * China Sci-Tech Holdings, Ltd. 541,600 14,507 * China Star Entertainment, Ltd. 607,380 24,874 * China Strategic Holdings, Ltd. 2,225,250 231,943 # China Travel International Investment, Ltd. 8,228,000 2,265,350 # Chinese Estates Holdings, Ltd. 3,772,000 3,211,549 Chinney Investments, Ltd. 1,824,000 172,825 Chow Sang Sang Holdings International, Ltd. 1,534,800 1,073,020 Chuangs China Investments, Ltd. 3,198,000 159,682 Chuang's Consortium International, Ltd. 5,535,760 459,586 Chun Wo Holdings, Ltd. 2,688,000 323,475 City e Solutions, Ltd. 472,964 50,528 City Telecom (H.K.), Ltd. 1,932,000 197,666 * CNT Group, Ltd. 1,428,000 25,706 * Coastal Greenland, Ltd. 5,760,000 220,944 # COFCO International, Ltd. 1,032,000 473,254 * Computer & Technologies Holdings, Ltd. 336,000 35,266 Continental Holdings, Ltd. 506,000 53,363 Continental Mariner Investment Co., Ltd. 3,260,000 543,525 COSCO International Holdings, Ltd. 2,236,000 334,729 Coslight Technology International Group, Ltd. 1,470,000 334,016 Cosmos Machinery Enterprises, Ltd. 455,400 22,167 * Crocodile Garments, Ltd. 1,720,000 129,842 * Dan Form Holdings Co., Ltd. 3,233,000 168,603 * DigitalHongKong.com 12 0 * Dynamic Global Holdings, Ltd. 990,000 5,344 Dynamic Holdings, Ltd. 624,000 95,740 Easyknit International Holdings, Ltd. 6,022,400 163,972 * E-Kong Group, Ltd. 250,200 4,374 * Emperor Entertainment Hotel, Ltd. 111,600 18,951 Emperor International Holdings, Ltd. 4,051,000 546,034 * eSun Holdings, Ltd. 2,384,400 643,451 Ezcom Holdings, Ltd. 67,280 431 Fairwood Holdings, Ltd. 67,500 36,389 # Far East Consortium International, Ltd. 2,499,501 1,016,604 * Far East Hotels & Entertainment, Ltd. 1,428,000 96,907
36 * Far East Technology International, Ltd. 81,600 14,467 First Sign International Holdings, Ltd. 2,440,000 81,241 Four Seas Frozen Food Holdings, Ltd. 814,000 119,164 * GeoMaxima Energy Holdings, Ltd. 2,950,000 22,736 * Global China Group Holdings, Ltd. 3,050,000 148,843 Global Green Tech Group, Ltd. 2,676,000 288,321 Gold Peak Industries (Holdings), Ltd. 2,021,000 407,293 Golden Resources Development International, Ltd. 3,855,000 170,918 * Gold-Face Holdings, Ltd. 1,158,000 0 Goldlion Holdings, Ltd. 3,328,000 426,298 * Golik Holdings, Ltd. 1,216,000 35,634 * Gorient Holdings, Ltd. 2,697 13 Grande Holdings, Ltd. 450,000 424,644 # Great Eagle Holdings, Ltd. 1,661,537 3,782,641 * Great Wall Cybertech, Ltd. 11,392,830 14,643 Group Sense (International), Ltd. 1,462,000 110,438 Guangzhou Investment Co., Ltd. 28,430,000 2,184,201 * G-Vision International (Holdings), Ltd. 298,000 3,830 Hang Fung Gold Technology, Ltd. 2,536,000 383,569 Hang Ten Group Holdings, Ltd. 2,670 380 Hanny Holdings, Ltd. 350,450 133,620 * Hansom Eastern Holdings, Ltd. 2,082,600 8,012 Harbour Centre Development, Ltd. 1,362,000 2,262,571 * Hen Fung Holdings, Ltd. 392,000 7,526 Henderson China Holdings, Ltd. 1,719,000 1,697,814 High Fashion International, Ltd. 962,000 205,168 # HKR International, Ltd. 5,172,000 3,407,435 Hon Kwok Land Investment Co., Ltd 1,438,000 373,102 Hong Kong and Shanghai Hotels, Ltd. 3,912,798 4,087,186 Hong Kong Catering Management, Ltd. 384,000 75,805 * Hong Kong Construction Holdings, Ltd. 4,107,000 279,180 Hong Kong Ferry (Holdings) Co., Ltd. 1,577,000 1,891,646 * Hong Kong Parkview Group, Ltd. 646,000 30,721 Hongkong Chinese, Ltd. 4,850,000 684,213 * Hop Hing Holdings, Ltd. 604,000 22,513 Hopewell Holdings, Ltd. 1,493,800 3,689,229 Hopson Development Holdings, Ltd. 1,758,000 952,944 * Hsin Chong Construction Group, Ltd. 1,920,000 103,446 Hua Han Bio-Pharmaceutical Holdings, Ltd. 1,212,000 143,143 Huafeng Textile International Group, Ltd. 2,122,000 110,315 * Hualing Holdings, Ltd. 4,990,000 115,524 Hysan Development Co., Ltd. 325,519 654,865 * I-China Holdings, Ltd. 388,360 9,491 * Imagi International Holdings, Ltd. 324,000 40,817 * Interchina Holdings Co., Ltd. 2,475,000 31,413 International Bank of Asia, Ltd. 2,621,000 1,049,941 * Inworld Group, Ltd. 40,798 78 ITC Corp., Ltd. 3,868,000 257,621 * Jessica Publications, Ltd. 1,015,200 41,754 * Jinchang Pharmaceutical Holdings, Ltd. 507,600 0 # Jinhui Holdings Co., Ltd. 978,000 273,400 # K Wah International Holdings, Ltd. 4,766,244 1,574,957 * Kader Holdings Co., Ltd. 857,000 20,945 Karce International Holdings Co., Ltd. 1,608,000 78,281
37 Keck Seng Investments (Hong Kong), Ltd. 570,000 146,268 Kee-Shing Holdings Co., Ltd. 256,000 33,219 Kin Yat Holdings, Ltd. 1,172,000 108,239 King Fook Holdings, Ltd. 338,000 23,410 Kowloon Development Co., Ltd. 1,157,000 1,269,601 KTP Holdings, Ltd. 758,000 48,571 Kwoon Chung Bus Holdings, Ltd. 1,432,000 310,606 * Lai Fung Holdings, Ltd. 4,773,437 124,600 * Lai Sun Development Co., Ltd. 3,358,800 51,649 * Lai Sun Garment (International), Ltd. 4,286,000 260,776 Lam Soon (Hong Kong), Ltd. 203,250 73,277 Lerado Group (Holding) Co., Ltd. 356,000 45,247 * LifeTec Group, Ltd. 7,460,000 78,448 Lippo, Ltd. 1,362,000 323,517 Liu Chong Hing Bank, Ltd. 1,997,000 2,919,393 Liu Chong Hing Investment, Ltd. 1,360,000 1,273,145 Luks Industrial Group, Ltd. 1,386,560 199,014 * MACRO-LINK International Holdings, Ltd. 843,750 25,523 Magnificent Estates, Ltd. 19,628,600 344,451 * Media Partners International Holdings, Inc. 2,794,000 205,834 Melbourne Enterprises, Ltd. 41,000 167,049 Midas International Holdings, Ltd. 2,170,000 164,352 Min Xin Holdings, Ltd. 1,652,000 305,308 Miramar Hotel & Investment Co., Ltd. 1,587,000 2,383,622 * Morning Star Resources, Ltd. 3,075,000 31,618 * Nam Fong International Holdings, Ltd. 1,740,000 16,773 * Nam Hing Holdings, Ltd. 538,000 16,223 Nanyang Holdings, Ltd. 101,350 117,396 National Electronics Holdings, Ltd. 5,104,000 160,386 * New City (Beijing) Development, Ltd. 6,760 230 New Hanison Construction Hldg 231,373 20,491 * # New World China Land, Ltd. 5,728,000 1,928,905 * New World Cyberbase, Ltd. 4,240 214 New World Development Co., Ltd. 6,792,370 7,086,409 * New World TMT, Ltd. 3,009,400 177,359 * Nippon Asia Investments Holdings, Ltd. 749,100 8,473 * Onfem Holdings, Ltd. 2,374,000 158,107 Orient Power Holdings, Ltd. 2,182,573 83,923 Oriental Watch Holdings, Ltd. 1,128,000 224,328 # Pacific Andes International Holdings, Ltd. 3,386,000 586,174 Pacific Century Insurance Holdings, Ltd. 478,000 186,925 * Pacific Plywood Holdings, Ltd. 10,094,000 33,617 # Paul Y. ITC Construction Holdings, Ltd. 2,669,088 710,235 Peace Mark Holdings, Ltd. 537,510 143,035 Perfectech International Holdings, Ltd. 966,000 83,815 Pico Far East Holdings, Ltd. 1,554,000 240,956 Playmates Holdings, Ltd. 1,492,000 307,540 Pokfulam Development Co., Ltd. 244,000 100,204 * Pokphand (C.P.) Co., Ltd. 7,548,000 310,949 * Poly Investments Holdings, Ltd. 1,428,000 21,082 * Premium Land, Ltd. 1,792,500 73,724 Prime Success International Group, Ltd. 800,000 199,101 Proview International Holdings, Ltd. 2,082,000 336,271 * QPL International Holdings, Ltd. 651,000 76,723
38 * # Regal Hotels International Holdings, Ltd. 31,424,179 2,732,565 * Rexcapital International Holdings, Ltd. 5,170,090 109,643 * Rivera Holdings, Ltd. 3,152,000 92,765 * Riverhill Holdings, Ltd. 54,398 755 * RNA Holdings, Ltd. 580,200 2,013 Roadshow Holdings, Ltd. 2,956,000 322,015 S.A.S.Dragon Holdings, Ltd. 862,400 96,322 San Miguel Brewery Hong Kong, Ltd. 1,130,400 276,454 Sea Holdings, Ltd. 1,444,000 574,571 * Seapower Resources International, Ltd. 167,100 3,514 * Shanghai Land Holdings, Ltd. 352,000 0 # Shanghai Real Estates, Ltd. 1,828,000 196,989 Shell Electric Manufacturing (Holdings) Co., Ltd. 1,270,974 234,801 Shenyin Wanguo (Hong Kong), Ltd. 2,085,000 176,295 Shougang Concord Century Holdings, Ltd. 1,000,000 85,925 * Shougang Concord Grand (Group), Ltd. 833,000 77,894 * Shougang Concord Technology Holdings, Ltd. 6,119,035 316,858 * Shun Ho Resources Holdings, Ltd. 510,000 35,659 Shun Ho Technology Holdings, Ltd. 814,380 65,611 Shun Tak Holdings, Ltd. 3,313,000 3,119,134 * Sincere Co., Ltd. 2,258,000 150,824 Sino Hotels (Holdings), Ltd. 282,772 186,870 * Sino Prosper Holdings, Ltd. 1,680,000 43,520 * Sino-I.com, Ltd. 59,317,000 943,942 Sinolink Worldwide Holdings, Ltd. 4,286,400 747,648 Sinopec Kantons Holdings, Ltd. 3,866,000 545,092 SIS International Holdings, Ltd. 326,000 27,165 SNP Leefung Holdings, Ltd. 128,000 22,087 * Softbank Investment International (Strategic), Ltd. 4,112,000 40,568 * South China Holdings, Ltd. 4,060,800 151,360 South China Industries, Ltd. 1,182,000 114,397 * South Sea Holdings Co., Ltd. 136,150,000 505,661 Starlight International Holdings, Ltd. 2,910,000 257,471 Stelux Holdings International, Ltd. 2,779,552 306,272 Styland Holdings, Ltd. 1,359,999 4,370 * Sun Fook Kong Holdings, Ltd. 4,518,000 75,999 Sun Hung Kai & Co., Ltd. 3,340,000 882,554 * Sunday Communications, Ltd. 4,227,000 277,145 Sunway International Holdings, Ltd. 1,002,000 35,393 Tai Cheung Holdings, Ltd. 1,899,000 991,323 Tai Fook Securities Group, Ltd. 1,506,000 193,338 Tai Sang Land Development, Ltd. 1,033,900 341,067 Tak Sing Alliance Holdings, Ltd. 1,299,335 56,519 # Tan Chong International, Ltd. 2,943,000 544,574 # TCL International Holdings, Ltd. 3,916,000 702,632 Tern Properties Co., Ltd. 168,000 52,903 * Tian An China Investments Co., Ltd. 2,765,700 692,251 Tian Teck Land, Ltd. 800,000 282,848 Tianjin Development Holdings, Ltd. 2,878,000 1,025,252 * Tomorrow International Holdings, Ltd. 330,600 29,669 Topsearch International (Holdings), Ltd. 2,526,000 304,654 Tungtex (Holdings) Co., Ltd. 558,000 207,692 * Tysan Holdings, Ltd. 614,000 16,730 * U-Cyber Technology Holdings, Ltd. 370,000 8,703
39 * Universe International Holdings, Ltd. 301,756 1,862 USI Holdings, Ltd. 671,999 181,063 Van Shung Chong Holdings, Ltd. 1,672,000 191,010 * Wah Nam International Holdings, Ltd. 12,600 240 Wai Kee Holdings, Ltd. 2,863,000 566,590 Wellnet Holdings, Ltd. 3,457,000 190,845 # Wheelock Properties, Ltd. 6,271,000 3,216,844 * Winfoong International, Ltd. 4,248,000 283,292 Wing On Co. International, Ltd. 1,049,000 1,481,569 * Wing On Travel Holdings, Ltd. 241,200 52,512 * Wing Shan International, Ltd. 1,612,000 80,586 Winsor Properties Holdings, Ltd. 110,000 113,602 * Wo Kee Hong Holdings 4,282,332 25,760 Wong's International (Holdings), Ltd. 209,000 20,196 World Houseware (Holdings), Ltd. 672,342 20,757 Y. T. Realty Group, Ltd. 1,166,000 166,274 Yangtzekiang Garment Manufacturing Co., Ltd. 372,000 89,732 * Yaohan International Holdings, Ltd. 1,660,000 0 Yau Lee Holdings, Ltd. 1,409,750 122,843 * Yue Fung International Group Holding, Ltd. 31,490 4,250 Yugang International, Ltd. 29,698,000 456,918 * Zhu Kuan Development Co., Ltd. 2,226,000 151,408 ---------------- TOTAL COMMON STOCKS (Cost $90,997,174) 113,739,849 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars 512,501 ---------------- (Cost $512,413) RIGHTS/WARRANTS -- (0.0%) * B.A.L. Holdings, Ltd. Rights 06/10/05 1,359 31 * China Credit Holdings Warrants 09/30/09 39,200 479 * Lai Sun Garment (International), Ltd. Rights 06/24/05 535,750 0 * Playmates Holdings, Ltd. Warrants 05/23/06 298,400 6,942 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 7,452 ---------------- TOTAL -- HONG KONG (Cost $91,509,587) 114,259,802 ---------------- NETHERLANDS -- (2.4%) COMMON STOCKS -- (2.4%) AM NV 548,108 5,737,708 Batenburg Beheer NV 1,800 82,483 * Begemann Groep NV 24,247 72,505 * Begemann Groep NV Series B 44,600 10,977 Boskalis Westminster NV 23,304 845,968 # Brunel International NV 22,100 275,512 # Buhrmann NV 1,304,396 11,954,027 DOCdata NV 24,290 179,414 * # Draka Holding NV 181,764 2,420,405
40 * Econosto NV 23,804 89,296 Gamma Holding NV 58,811 2,467,591 Gemeenschappeljk Bezit Crown van Gelder NV 35,962 810,597 Grolsche NV 720 20,921 Grontmij NV 20,061 1,271,627 * # Hagemeyer NV 1,953,439 4,640,904 # Heijmans NV 259,547 11,087,048 Kas Bank NV 108,358 2,087,437 * Kendrion NV 51,681 92,760 Koninklijke Bam NV 81,843 5,164,262 Koninklijke Nedlloyd NV 106,876 7,334,089 Koninklijke Ten Cate NV 46,495 3,912,506 Koninklijke Vopak NV 100,542 2,301,402 MacIntosh NV 23,191 976,121 * Maverix Capital NV 900 42,085 Nutreco Holding NV 19,168 617,202 # Oce NV 302,283 4,379,688 Reesink NV 2,110 191,047 Roto Smeets de Boer NV 22,107 1,278,352 * Samas-Groep NV 62,743 488,031 * Seagull Holding NV 2,000 7,746 * # Semiconductor Industries NV 201,732 1,015,041 Smit Internationale NV 27,875 1,299,149 Stork NV 92,187 3,660,740 * Textielgroep Twenthe NV 1,200 3,692 * Tulip Computers NV 38,643 8,144 Twentsche Kabel Holding NV 23,496 1,022,994 Univar NV 181,591 5,470,815 Van Der Mollen Holding NV 407,948 2,056,718 * # Versatel Telecom International NV 534,428 1,282,912 Wegener Arcade NV . 190,704 2,369,922 ---------------- TOTAL COMMON STOCKS (Cost $64,933,316) 89,029,838 ---------------- RIGHTS/WARRANTS -- (0.0%) * Boskalis Westminster NV Coupons 06/02/05 23,304 0 * Nutreco Holding NV Coupons 06/07/05 19,168 0 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 0 ---------------- TOTAL -- NETHERLANDS (Cost $64,933,316) 89,029,838 ---------------- ITALY -- (2.3%) COMMON STOCKS -- (2.3%) * A.S. Roma SpA 208,000 133,909 # Acegas SpA 160,674 1,888,693 # Aedes SpA (Sta Ligure Lombarda per Imprese & Costruzioni) 390,465 2,622,509 * Alitalia Linee Aeree Italiane SpA Series A 17,578,590 5,588,308 # Banca Popolare Dell'etruria e Del Lazio Scrl 177,372 2,574,257 Banca Popolare di Spoleto SpA 500 5,693
41 # Banco Piccolo Valellinese Scarl SpA 11,847 179,051 # Benetton Group SpA 498,034 4,519,377 Biesse SpA 120,000 552,606 Buzzi Unicem SpA 28,500 410,091 # Caltagirone Editore SpA 392,553 3,505,392 Caltagirone SpA 595,400 4,672,906 Carraro SpA 108,000 532,037 Cembre SpA 12,452 57,624 Cementir Cementerie del Tirreno SpA 929,859 4,627,501 Centrale del Latte di Torino & Co. SpA 51,557 283,904 CIR SpA (Cie Industriale Riunite), Torino 1,315,000 3,634,413 * Cirio Finanziaria SpA 960,000 205,552 Credito Artigiano SpA 66,193 274,435 # Cremonini SpA 115,750 349,812 * CSP International Industria Calze SpA 97,000 133,341 # Danieli & C.Officine Meccaniche SpA 205,825 1,263,585 # De Longhi SpA 752,732 2,775,099 * Ducati Motor Holding SpA 100,000 123,047 * Finarte Casa d'Aste SpA (Milano) 5,000 6,077 * # Finarte Partecipazioni Pro Arte SpA 1,472,050 147,995 # Gefran SpA 87,647 512,359 Gemina SpA 1,933,934 3,298,860 * Giacomelli SpA 168,000 37,212 * Giovanni Crespi SpA 302,100 316,715 Gruppo Ceramiche Ricchetti SpA 269,565 541,558 I Grandi Viaggi SpA 214,867 262,126 * # Immobiliare Lombardia SpA 2,796,456 773,890 Immsi SpA 211,292 405,398 Impregilo SpA 317,000 2,537,514 Industria Romagnola Conduttori Elettrici SpA 141,624 519,417 * Intek SpA 595,199 518,883 Italmobiliare SpA, Milano 29,780 1,849,944 La Doria SpA 124,000 370,371 * Lavorwash SpA 43,000 126,722 Linificio and Canapificio Nazionale SpA 46,250 161,167 Maffei SpA 128,000 273,172 Manifattura Lane Gaetano Marzotto & Figli SpA 212,000 4,661,460 * Meliorbanca SpA 327,438 1,249,164 Milano Assicurazioni SpA 732,200 4,162,517 # Monrif SpA 183,000 299,088 * Montefibre SpA 556,474 208,452 * NGP SpA 42,059 18,115 * Olidata SpA 170,291 196,398 * Opengate Group SpA 22,800 53,588 * Pagnossin SpA 79,000 59,438 * Partecipazioni Italiane SpA 198,125 69,240 Pininfarina SpA 10,416 293,571 # Premafin Finanziaria SpA Holding di Partecipazioni, Roma 1,904,588 3,687,641 Premuda SpA 708,444 1,340,377 * Ratti SpA 175,906 136,079 * Reno de Medici SpA, Milano 1,355,135 1,241,627 * Richard-Ginori 1735 SpA 134,357 83,315 * Risanamento Napoli SpA 1,381,281 4,987,140 SAES Getters SpA 31,000 580,966
42 * Sirti SpA 139,803 324,452 SISA (Societa Imballaggi Speciali Asti SpA) 113,283 349,265 * # SNIA SpA 1,188,493 412,921 * Societa Partecipazioni Finanziarie SpA 581,463 353,852 Sogefi SpA 101,876 493,893 Sol SpA 102,000 621,234 * Sorin SpA 35,430 106,057 * STA Metallurgica Italiana SpA 1,622,949 1,300,364 Stefanel SpA 272,131 1,339,065 Targetti Sankey SpA 100,000 655,933 Terme Demaniali di Acqui SpA 553,330 804,097 Trevi-Finanziaria Industriale SpA 322,240 714,369 * Vemer Siber Group SpA 13,800 6,364 Vianini Industria SpA 163,800 549,920 Vianini Lavori SpA 233,090 1,994,309 * Zucchi (Vincenzo) SpA 122,989 524,361 ---------------- TOTAL COMMON STOCKS (Cost $56,528,188) 87,451,154 ---------------- RIGHTS/WARRANTS -- (0.0%) * Roncadin SpA Warrants 10/15/07 63,180 19,087 ---------------- (Cost $0) TOTAL -- ITALY (Cost $56,528,188) 87,470,241 ---------------- SINGAPORE -- (1.7%) COMMON STOCKS -- (1.7%) * Acma, Ltd. 3,856,500 80,415 Allgreen Properties, Ltd. 5,592,000 3,614,836 Amtek Engineering, Ltd. 755,000 402,746 Apollo Enterprises, Ltd. 240,000 79,194 * ASA Group Holdings, Ltd. 857,000 138,329 Ascott Group, Ltd. 7,610,038 2,208,614 * Asia Food and Properties, Ltd. 1,820,000 545,099 Auric Pacific Group, Ltd. 57,000 34,613 Beyonics Technology, Ltd. 2,122,500 393,146 * Blu Inc. Group, Ltd.. 1,085,000 100,897 Bonvests Holdings, Ltd. 675,400 226,942 * Causeway Investment, Ltd. 539,000 61,526 * Chemical Industries (Far East), Ltd. 40,000 13,319 China Merchants Holdings Pacific, Ltd. 469,000 169,753 CIH, Ltd. 355,000 571,096 * CK Tang, Ltd. 983,000 224,559 Courts Singapore, Ltd. 760,000 246,633 Eagle Brand Holdings, Ltd. 5,722,000 240,130 Eastern Asia Technology, Ltd. 884,000 111,157 * Econ International, Ltd. 1,412,000 38,121 ECS Holdings, Ltd. 1,636,000 279,388 Eng Wah Organisation, Ltd. 481,000 86,396 * Excel Machine Tools, Ltd. 473,000 4,257 * Federal International (2000), Ltd. 167,000 22,474
43 * Firstlink Investments Corp., Ltd. 923,000 30,334 G & W Group Holdings, Ltd. 244,039 21,230 GB Holdings, Ltd. 231,000 134,359 GK Goh Holdings, Ltd. 412,000 226,080 * GP Batteries International, Ltd. 195,000 219,641 Guocoland, Ltd. 3,092,000 2,501,057 Hiap Moh Corp., Ltd. 10,125 1,868 Ho Bee Investment, Ltd. 1,277,000 275,744 Hong Fok Corp., Ltd. 1,924,000 265,648 # Hong Leong Finance, Ltd. 457,000 926,054 Hotel Grand Central, Ltd. 655,400 178,938 Hotel Plaza, Ltd. 942,000 505,827 Hotel Properties, Ltd. 2,333,000 1,762,220 Hour Glass, Ltd. 349,000 132,619 Hwa Hong Corp., Ltd. 3,329,000 1,159,085 International Factors (Singapore), Ltd. 22,000 7,396 * Interra Resources, Ltd. 27,836 3,237 * Intraco, Ltd. 316,000 62,549 IPC Corp., Ltd. 812,000 53,299 Isetan (Singapore), Ltd. 152,000 282,724 Jurong Engineering, Ltd. 199,000 265,865 K1 Ventures, Ltd. 7,899,000 1,252,728 Keppel Land, Ltd. 3,609,000 4,927,558 Kian Ann Engineering, Ltd. 861,000 77,531 * Koh Brothers, Ltd. 1,445,000 77,907 Lee Kim Tah Holdings, Ltd. 2,313,000 381,566 * Leong Hin Holdings, Ltd. 516,000 94,262 Low Keng Huat Singapore, Ltd. 368,000 92,050 Lum Chang Holdings, Ltd. 1,211,000 218,309 Magnecomp International, Ltd. 526,000 273,390 Marco Polo Developments, Ltd. 2,153,000 3,523,432 # MCL Land, Ltd. 1,863,000 1,372,868 Metro Holdings, Ltd. 2,980,800 901,742 Natsteel, Ltd. 214,000 278,169 * Orchard Parade Holdings, Ltd. 1,293,625 290,245 Overseas Union Enterprise, Ltd. 459,000 2,297,963 Pan-United Corp., Ltd. 1,101,000 199,625 Pan-United Marine, Ltd. 550,500 96,246 * Penguin Boat International, Ltd. 642,000 40,758 Pertama Holdings, Ltd. 105,000 18,274 PSC Corp., Ltd. 6,076,000 291,990 QAF, Ltd. 1,460,000 446,970 # Raffles Holdings, Ltd. 9,898,000 4,157,769 San Teh, Ltd. 579,000 114,390 Singapore Land, Ltd. 1,507,000 4,688,837 Singapore Reinsurance Corp., Ltd 1,551,000 246,744 Singapore Shipping Corp., Ltd. 2,153,000 644,149 Singapura Finance, Ltd. 84,000 74,602 SNP Corp., Ltd. 389,500 209,962 * SP Corp., Ltd. 55,000 2,274 Ssangyong Cement (Singapore), Ltd. 77,000 41,776 Stamford Land Corp., Ltd. 4,308,000 659,025 Straits Trading Co., Ltd. 2,446,200 3,313,235 * Sunright, Ltd. 196,000 29,817
44 Superior Metal Printing, Ltd. 552,000 56,358 TT International, Ltd. 1,391,000 145,912 * Tuan Sing Holdings, Ltd. 4,197,000 238,014 * Ultro Technologies, Ltd. 693,000 32,839 United Engineers, Ltd. 1,038,666 1,039,630 United Industrial Corp., Ltd. 7,075,000 4,365,937 United Overseas Land, Ltd. 3,262,000 4,294,281 United Pulp & Paper Co., Ltd. 391,000 102,998 WBL Corp., Ltd. 445,500 822,311 Wing Tai Holdings, Ltd. 3,320,333 1,768,406 Xpress Holdings, Ltd. 370,000 11,112 ---------------- TOTAL COMMON STOCKS (Cost $53,489,169) 63,123,375 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars 599,276 ---------------- (Cost $601,845) TOTAL -- SINGAPORE (Cost $54,091,014) 63,722,651 ---------------- BELGIUM -- (1.7%) COMMON STOCKS -- (1.7%) # Ackermans & Van Haaren SA 7,990 317,041 Associated Weavers International 20,791 199,610 Banque Nationale de Belgique 909 3,733,917 # Bekaert SA 39,600 2,935,694 # CFE (Compagnie Francois d'Entreprises) 3,812 1,537,924 Cofinimmo SA 73,153 11,617,615 # Compagnie Maritime Belge 245,295 8,009,858 # D'Ieteren SA 9,562 1,898,680 Euronav SA 245,295 7,265,763 # Exmar NV 29,600 1,781,801 Floridienne NV 1,900 135,638 * Immobel (Cie Immobiliere de Belgique SA) 33,202 1,427,905 * Integrated Production & Test Engineering NV 28,600 153,019 * Ion Beam Application SA 183,300 1,261,871 * Ipso-Ilg SA 38,662 345,001 Nord-Sumatra Investissements SA 421 189,242 Papeteries de Catala SA 450 49,838 # Quick Restaurants SA 38,332 732,197 * Quick Restaurants VVPR 27,380 337 # Recticel SA 97,731 829,784 Rosier SA 200 31,362 * # Sait Radioholland 21,764 115,247 # Sapec SA 7,671 774,127 * Solvus SA 146,000 2,798,258 Spector Photo Group SA 11,701 93,700 * Systemat SA 68,225 461,970 # Telindus Group SA 253,662 2,806,767 # Tessenderlo Chemie 235,667 9,128,010 # Warehouses de Pauw Sicafi 37,195 1,623,436 ---------------- TOTAL COMMON STOCKS (Cost $40,802,998) 62,255,612 ----------------
45 RIGHTS/WARRANTS -- (0.0%) * Belge des Betons Contingent Rights 12,520 0 ---------------- (Cost $0) TOTAL -- BELGIUM (Cost $40,802,998) 62,255,612 ---------------- SPAIN -- (1.4%) COMMON STOCKS -- (1.4%) * # Amper SA 101,200 640,874 * # Avanzit SA 76,700 137,026 # CAF (Construcciones y Auxiliar de Ferrocarriles SA) 11,875 1,156,431 Cementos Portland SA 30,532 2,096,412 Cie Automotive SA 17,839 272,515 Cortefiel SA 364,515 8,369,199 * Dogi International Fabrics SA 21,900 135,506 * # Duro Felguera SA 65,433 905,731 * # Ercros SA 1,605,154 2,115,502 * Espanola del Zinc SA 53,703 121,596 Funespana SA 43,617 434,460 Global Steel Wire SA 73,031 394,108 # Grupo Empresarial Ence SA 122,580 3,344,194 Hullas del Coto Cortes 7,000 84,218 Iberpapel Gestion SA 69,862 1,460,713 Inbesos SA 26,897 282,037 Inmobiliaria Colonial SA ICSA 79,400 4,119,315 Inmobiliaria Urbis SA 288,600 4,897,439 * LSB (La Seda de Barcelona SA) Series B 211,150 649,447 * Mecalux SA 101,989 1,287,947 * Nicolas Correa SA 37,386 246,395 Obrascon Huarte Lain SA 560,306 6,624,971 Pescanova SA 63,141 1,405,923 * # Service Point Solutions SA 107,972 477,867 # Sol Melia SA 111,200 1,167,137 Tavex Algodonera SA 139,958 585,018 * # Tecnocom Telecomunicaciones y Energia SA 35,910 281,230 # Tubacex SA 1,140,716 3,846,207 Tubos Reunidos SA 10,300 138,145 Unipapel SA 74,558 1,612,597 * # Uralita SA 672,840 3,356,601 * Urbanizzciones y Transportes SA 79,329 121,044 Vidrala SA, Alava 10,880 218,158 # Viscofan Industria Navarra de Envolturas Celulosicas SA 24,100 233,630 ---------------- TOTAL -- SPAIN (Cost $23,550,052) 53,219,593 ----------------
46 GREECE -- (1.2%) COMMON STOCKS -- (1.2%) * A. Cambas Holding & Real Estate S.A. 80,660 203,875 * Aegek S.A. 369,814 235,213 * Agrotiki Insurance S.A. 44,150 142,798 Alco Hellas ABEE S.A. 145,300 221,184 * Allatini Industrial & Commercial Co. 58,400 112,397 Alte Technological Co. S.A. 299,816 29,384 * Altec Information & Communication Systems S.A. 348,200 157,942 Alumil Milonas S.A. 88,060 257,593 * Aluminum of Attica S.A. 337,348 78,860 Anek Lines S.A. 258,359 336,067 Arcadia Metal Industry C. Rokas S.A. 84,011 814,658 * Aspis Bank S.A. 155,920 490,909 * Aspis Pronia General Insurance S.A. 194,160 143,484 * Astir Palace Vouliagmenis S.A. 11,930 74,688 * Athens Medical Center S.A. 418,340 904,235 Athens Water Supply & Sewage Co. S.A. 58,200 407,665 Atlantic Super Market S.A. 129,593 207,323 Attica Holdings S.A. 482,314 1,706,295 Atti-Kat S.A. 378,008 222,457 Bank of Greece 41,488 5,237,533 * Bitros Holdings S.A. 82,020 208,369 Chipita S.A. 162,730 481,616 Delta Holdings S.A. 64,300 473,742 Edrasi Psalllidas Technical Co. S.A. 117,012 102,055 Egnatia Bank S.A. 457,070 1,517,475 El. D. Mouzakis S.A. 123,900 78,726 Elgeka S.A. 18,970 51,246 * Empedos S.A. 56,700 5,582 * Ergas S.A. 104,948 29,872 ETEM S.A. Light Metals Industry 120,028 215,233 * Ethniki General Insurance Co. S.A. 73,570 306,824 * Etma Rayon S.A. 39,176 78,956 * Euro Reliance General Insurance 16,470 20,802 Euromedica S.A. 109,200 231,980 * European Techniki 98,150 27,779 * Fanco S.A. 44,900 10,936 * Forthnet S.A. 61,700 361,316 * Fourlis S.A. 155,000 1,326,650 Frigoglass S.A. 176,140 931,458 G.Polyhronos S.A. 27,800 21,862 General Commercial & Industry 96,240 85,082 * General Hellenic Bank 124,299 1,224,662 Halkor S.A. 132,600 236,380 Hatziioannou S.A. 97,400 86,190 Hellas Can Packaging Manufacturers S.A. 64,287 546,529 * Hellenic Cables S.A. 122,938 128,387 Hellenic Fabrics S.A. 55,000 131,721 Hellenic Sugar Industry S.A. 55,180 251,396 Hellenic Technodomiki S.A. 707,510 3,689,834 * Hermes Real Estate S.A. 115,846 527,887 Inform P. Lykos S.A. 32,320 137,937 Intracom Constructions S.A. 129,640 165,336
47 Intracom S.A. 735,896 3,777,242 * J Boutaris & Son Holding S.A. 105,600 80,253 J&P-Avax S.A. 74,430 347,727 Kalpinis - N. Simos Steel Service Center 49,238 222,983 * Karatzis S.A. 58,710 68,254 Kathimerini S.A. 73,740 625,023 Katselis Sons S.A. 21,000 57,476 * Keranis Holdings SA 53,625 19,744 Kordellou Brothers S.A. 17,200 39,900 * Lambrakis Press S.A. 232,459 830,261 * Lavipharm S.A. 160,616 183,594 * Loulis Mills S.A. 77,428 131,626 * Maritime Company of Lesvos S.A. 164,000 78,608 * Maxim Knitwear Factory C.M. Pertsinidis 61,360 16,502 Mesochoritis Bros. Construction Co. S.A. 89,900 31,928 Michaniki S.A. 309,918 677,663 Minoan Lines S.A. 328,387 1,250,260 Mochlos S.A. 679,690 267,184 Mytilineos Holdings S.A. 128,870 1,550,639 * N. Levederis S.A. 24,700 19,946 * N.B.G. Real Estate Development Co. 210,650 934,245 * Naoussa Spinning Mills S.A. 286,650 66,494 * Nexans Hellas S.A. 25,070 49,242 Nikas S.A. 35,183 216,982 Notos Com.Holdings S.A. 11,808 45,241 Pantechniki S.A. 201,405 296,666 * Parnassos Enterprises S.A. 93,550 70,911 * Pegasus Publishing & Printing S.A. 217,030 424,208 * Petzetakis S.A. 88,200 138,449 * Pilias S.A. 85,264 14,573 Piraeus Leasing 23,551 188,251 * Prodeftiki Technical Co. 164,900 54,576 * Sanyo Hellas S.A. 323,808 174,694 Sarantis S.A. 154,900 1,157,117 Sato S.A. 93,160 84,661 * Selected Textile Industry Assoc. S.A. 171,500 75,490 Sfakianakis S.A. 38,370 206,904 * Sheet Steel S.A. 77,100 14,246 * Shelman Hellenic-Swiss Wood S.A. 155,548 170,190 Silver and Baryte Ores Mining Co. S.A. 88,550 621,878 Spyroy Agricultural House S.A. 103,200 133,210 * Stabilton S.A. 221,900 21,845 Strintzis Shipping Lines S.A. 486,146 632,203 Technical Olympic S.A. 626,840 3,599,418 * Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 23,730 6,132 Teletypos S.A. Mega Channel 24,180 95,991 Terna Tourist Technical & Maritime S.A. 33,100 256,722 Themeliodomi S.A. 140,360 86,464 Thrace Plastics Co. S.A. 210,660 315,661 * Varvaressos S.A. European Spinning Mills 36,350 21,918 * Veterin S.A. 62,096 66,506 Vioter S.A. 227,695 276,867 * Vis Container Manufacturing Co. 12,511 34,004 * Zampa S.A. 1,750 22,433 ---------------- TOTAL -- GREECE (Cost $47,079,955) 46,529,585 ----------------
48 NORWAY -- (1.2%) COMMON STOCKS -- (1.2%) ABG Sundal Collier ASA 93,000 78,358 # Aker Yards ASA 48,248 1,768,027 Bonheur ASA 39,205 2,362,382 * Choice Hotel Scandinavia ASA 13,000 40,471 * Dale of Norway Holding ASA 18,200 6,483 Det Norske Oljeselskap ASA Series A 161,379 1,852,728 # DOF ASA 182,000 670,143 EDB Elektronisk Data Behandling ASA 1,800 13,650 Farstad Shipping ASA 101,600 1,179,470 * # Fjord Seafood ASA 1,451,246 657,014 * # Fred Olsen Energy ASA 303,500 6,090,271 Ganger Rolf ASA 42,950 2,410,921 Gresvig ASA 13,300 79,812 * Home Invest ASA 7,066 5,472 * Independent Oil Tools ASA 137,172 38,242 Kongsberg Gruppen ASA 42,900 631,515 * Kverneland ASA 39,457 488,789 Leroy Seafood Group ASA 6,000 39,452 * # Merkantildata ASA 1,286,200 372,007 * # Nera ASA 660,611 1,402,045 * # Ocean Rig ASA 437,549 2,861,111 Odfjell ASA Series A 353,896 6,749,111 * Petroleum Geo-Services ASA (New) 2,300 155,899 * Petrolia Drilling ASA 388,760 36,686 * SAS AB 38,000 341,958 * Scana Industrier ASA 33,500 18,564 * Sinvest ASA 6,003 24,813 Smedvig ASA Series A 281,900 4,935,011 * # Software Innovation ASA 47,062 130,547 Solstad Offshore ASA 103,000 1,104,517 * Sparebk Midt-Norge 19,650 852,982 * # Tandberg Data ASA 107,700 138,393 * Tandberg Storage ASA 107,700 41,664 * # Tandberg Television ASA 152,300 1,741,883 * # TTS Marine ASA 42,000 172,894 * Tybring-Gjed ASA 163,020 79,979 Veidekke ASA 7,000 138,614 Wilhelmsen (Wilhelm), Ltd. ASA Series A 245,200 6,230,980 ---------------- TOTAL COMMON STOCKS (Cost $19,289,673) 45,942,858 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone 131,648 ---------------- (Cost $132,307) TOTAL -- NORWAY (Cost $19,421,980) 46,074,506 ----------------
49 IRELAND -- (1.1%) COMMON STOCKS -- (1.1%) Abbey P.L.C. 312,231 3,527,122 * Ardagh P.L.C. 77,019 222,724 * Datalex P.L.C. 326,768 168,599 Donegal Creameries P.L.C. 28,204 133,621 * Dragon Oil P.L.C. 2,523,854 4,188,019 Fyffes P.L.C. 700,000 1,963,449 Grafton Group P.L.C. 124,009 1,440,943 Greencore Group P.L.C. 1,692,615 7,112,044 IFG Group P.L.C. 368,564 421,791 * Iona Technologies P.L.C. 146,143 489,615 Irish Intercontental Group P.L.C. 321,133 3,797,891 Jurys Hotel Group P.L.C. 848,393 15,854,016 * Oakhill Group P.L.C. 69,119 12,758 Qualceram Shires P.L.C. 30,338 41,066 Readymix P.L.C. 834,473 2,162,424 * Waterford Wedgwood P.L.C. 14,057,269 709,229 ---------------- TOTAL -- IRELAND (Cost $33,658,244) 42,245,311 ---------------- DENMARK -- (0.9%) COMMON STOCKS -- (0.9%) Aarhus Oliefabrik A.S. Aeries A 10,395 840,669 * Alm. Brand A.S. 45,705 1,573,139 Amagerbanken A.S. 4,226 698,345 Ambu International A.S. Series B 12,160 289,271 Amtssparekassen Fyn A.S. 4,181 712,837 * Andersen & Martini Series B 3,500 18,230 Arkil Holdings A.S. Series B 680 101,165 Bording (F.E.) A.S. Series B 475 25,919 * Brodrene Hartmann A.S. Series B 13,560 359,174 * Brondbyernes I.F. Fodbold A.S. Series B 3,200 33,122 Codan A.S. 52,875 2,586,881 Dalhoff, Larsen & Hornemann A.S. Series B 3,663 336,211 # Dampskibsselsk Torm A.S. 73,140 3,992,957 * Danionics A.S. Series A 12,586 8,842 * Denka Holding A.S. 400 22,785 DFDS A.S., Copenhagen 20,820 1,268,660 DiskontoBanken A.S. 1,301 290,807 Djursland Bank 2,365 173,589 East Asiatic Co., Ltd. 802 50,281 Egnsbank Han Herred 3,181 508,630 * Fimiston Resources & Technology, Ltd. 2,000 36,309 # FLS Industries Series B 138,986 2,585,197 Foras Holding A.S. Series A 31,379 425,418 # Forstaedernes Bank 6,931 584,931
50 * Genmab A.S. 11,592 214,281 * Glostrup Plade Vaerksted Industri A.S. 2,600 73,080 H&H International A.S. Series B 500 114,805 Harboes Bryggeri A.S. 460 186,102 Hedegaard (Peder P.) A.S. 1,406 133,596 Hojgaard Holding A.S. Series B 7,075 219,888 HVB Bank A.S. 3,110 164,587 Lan & Spar Bank A.S. 5,706 287,787 Lokalbanken I Nordsjaelland A.S. 3,450 148,357 * Migatronic Series B 1,294 40,012 Mons Bank A.S. 424 63,525 Morso Bank 240 38,013 NKT Holding A.S. 57,585 2,240,252 Nordjyske Bank A.S. 1,203 240,817 Norresundby Bank 439 232,385 * NTR Holdings A.S. 1,650 21,855 Per Aarsleff A.S. Series B 5,540 347,832 * # Pharmexa A.S. 42,400 156,865 Ringkjobing Bank 3,440 291,204 Rockwool, Ltd. 26,020 1,805,942 * # RTX Telecom A.S. 11,600 112,969 Salling Bank 500 49,592 Sanistal A.S. Series B 4,670 451,714 * Scanbox Danmark A.S. Series B 3,400 1,085 Scandinavian Brake Systems A.S. 510 58,188 Schouw & Co. A.S. 31,885 845,142 Skaelskor Bank 3,600 118,738 Skjern Bank A.S. 1,530 129,848 * Spaencom A.S. 300 14,187 Spar Nord Bank A.S. 11,919 1,475,825 Sparbank Vest A.S. 11,870 557,257 Sparekassen Faaborg A.S. 1,634 635,314 Sydbank A.S. 175,700 3,644,934 * # TK Development 26,740 169,711 * Torsana A.S. Series B 200 4,795 Totalbanken A.S. 600 101,713 Treka A.S. 26,230 681,799 Vestfyns Bank 500 63,956 Vestjysk Bank A.S. 19,420 674,449 VT Holdings Shares B 5,900 321,764 ---------------- TOTAL COMMON STOCKS (Cost $14,865,983) 34,657,534 ---------------- RIGHTS/WARRANTS -- (0.0%) * Forstaedernes Bank Rights 06/07/05 6,931 18,337 * Pharmexa A.S. Rights 05/31/05 42,400 23,487 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 41,824 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone 7,756 ---------------- (Cost $8,165) TOTAL -- DENMARK (Cost $14,874,148) 34,707,114 ----------------
51 AUSTRIA -- (0.8%) COMMON STOCKS -- (0.8%) Agrana Beteiligungs AG 23,296 2,088,787 Allgemeine Sparkasse Baugesellschaft 120 16,329 * Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 273,399 2,358,125 # Boehler-Uddeholm AG 83,224 10,740,940 * CA Immobilien Anlagen AG 202,360 5,075,807 * Demeter Vermoegensverwaltung 105,381 0 * Eybl International AG 14,402 354,088 Flughafen Wien AG 86,865 5,563,510 Frauenthal Holding AG 1,308 137,415 * General Partners Inmobilienbesitz AG 5,900 11,181 Lenzing AG 1,950 461,968 Linz Textil Holding AG 200 34,333 Oberbank AG 2,403 237,063 * # RHI AG, Wien 31,752 875,253 Rosenbauer International AG 1,462 107,598 ---------------- TOTAL COMMON STOCKS (Cost $23,726,554) 28,062,397 ---------------- RIGHTS/WARRANTS -- (0.0%) * Boehler-Uddeholm AG Rights 06/02/05 81,870 0 * CA Immobilien Anlagen AG Rights 06/01/05 202,360 2,490 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 2,490 ---------------- TOTAL -- AUSTRIA (Cost $23,726,554) 28,064,887 ---------------- NEW ZEALAND -- (0.6%) COMMON STOCKS -- (0.6%) AFFCO Holdings, Ltd. 4,822,896 1,323,156 CDL Hotels New Zealand, Ltd. 3,112,559 1,220,916 CDL Investments New Zealand, Ltd. 886,094 199,209 Colonial Motor Co., Ltd. 207,470 439,449 * Evergreen Forests, Ltd. 648,900 136,870 Fisher & Paykel Apppliances Holdings, Ltd. 131,412 286,306 # Fletcher Challenge Forests, Ltd. 352,153 876,787 Independent Newspapers, Ltd. (Auckland) 1,213,784 5,314,350 Met Lifecare, Ltd. 161,905 375,270 * New Zealand Oil & Gas, Ltd. 308,137 185,708 New Zealand Refining Co., Ltd. 12,100 287,285 Northland Port Corp. (New Zealand), Ltd. 24,300 51,298 * Pan Pacific Petroleum NL 374,079 34,036 Pyne Gould Guinness, Ltd. 246,048 302,703
52 Richina Pacific, Ltd. 929,648 477,034 * Rubicon, Ltd. 2,390,292 1,513,027 Sanford, Ltd. 729,208 2,206,746 South Port New Zealand, Ltd. 71,088 56,035 * Tasman Farms 228,576 0 Taylors Group, Ltd. 42,000 73,674 Tourism Holdings, Ltd. 822,786 1,028,654 * Tower, Ltd. 2,952,353 4,307,497 * Trans Tasman Properties, Ltd. 3,568,944 1,007,051 Wrightson, Ltd. 246,297 279,693 ---------------- TOTAL COMMON STOCKS (Cost $13,435,631) 21,982,754 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar 116,645 ---------------- (Cost $117,753) TOTAL -- NEW ZEALAND (Cost $13,553,384) 22,099,399 ---------------- PORTUGAL -- (0.2%) COMMON STOCKS -- (0.2%) Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 2,306,331 3,246,073 EFACEC Capital, SGPS, SA 222,131 595,100 Finibanco Holdings SGPS, SA 76,344 120,777 * # Gescartao, SGPS, SA 90,825 1,196,870 * Investimentos Participacoes e Gestao SA Inapa 440,502 1,349,524 Mota-Engil, SGPS, SA 31,300 92,529 * Papelaria Fernandes-Industria e Comercia SA 2,000 9,110 * Sociedad Construcoes Soares da Costa SA 294,047 548,348 * Sonae Industria-Sociedade Gestora de Participacoes Sociais SA 18,110 117,574 * Sumolis - Companhia Industrial de Fruitas e Bebidas, SA 59,147 111,977 * Tertir Terminais de Portugal SA 80,798 273,756 ---------------- TOTAL -- PORTUGAL (Cost $7,941,772) 7,661,638 ---------------- EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Euro Currency 1,524,787 ---------------- (Cost $1,551,309) MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Jaks Resources Berhad 10,750 4,126 * Promet Berhad 201,000 0
53 * Rekapacific Berhad 130,000 0 ---------------- TOTAL COMMON STOCKS (Cost $276,025) 4,126 ---------------- PREFERRED STOCKS -- (0.0%) * Ramunia Holdings Berhard Non Cumulative Irredeemable Convertible Preferred Shares 28,880 1,216 ---------------- (Cost $387,349) TOTAL -- MALAYSIA (Cost $663,374) 5,342 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (15.0%) ^ Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05 (Collateralized by $996,804,661 U.S. TIPS 1.875%, 07/15/13; U.S. STRIPS, rates ranging from 0% to 6.75%, maturities ranging from 05/15/16 to 11/15/27; U.S. Treasury Bond, 7.625%, 02/15/25; & U.S. Treasury Bill, 08/25/05, valued at $569,830,072) to be repurchased at $558,696,400 (Cost $558,650,466) $ 558,650 558,650,466 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $5,379,000 FNMA Notes 2.95%, 11/14/07, valued at $5,372,276) to be repurchased at $5,292,425 (Cost $5,292,000) 5,292 5,292,000 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $563,942,466) 563,942,466 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $3,096,530,368) $ 3,761,315,293 ----------------
- ---------- + Securities have been fair valued. 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. See accompanying Notes to Financial Statements. 54 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULES OF INVESTMENTS MAY 31, 2005 EMERGING MARKETS PORTFOLIO (UNAUDITED)
VALUE+ ------ Investment in The Emerging Markets Series of The DFA Investment Trust Company $ 1,367,074,598 ----------------- Total Investments (100%) (Cost $970,497,093) $ 1,367,074,598 =================
EMERGING MARKETS SMALL CAP PORTFOLIO (UNAUDITED)
VALUE+ ------ Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company $ 289,020,405 ----------------- Total Investments (100%) (Cost $244,084,194) $ 289,020,405 =================
- ---------- +See Note B to Financial Statements. See accompanying Notes to Financial Statements. 26 EMERGING MARKETS CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- UNITED STATES -- (16.3%) COMMON STOCKS -- (16.3%) * America Movil S.A. de C.V. ADR 9,900 $ 561,132 * AngloGold Ashanti, Ltd. ADR 1,520 52,197 Aracruz Celulose SA ADR 4,600 154,928 * AudioCodes, Ltd. ADR 3,575 43,150 Banco Bradesco SA ADR 9,900 316,503 * Banco de Chile Series F ADR 600 20,820 Banco Itau Holding Financeira SA ADR 5,400 474,822 Banco Santander Chile Sponsored ADR 1,900 59,280 Brasil Telecom Participacoes SA ADR 2,500 82,975 Brasil Telecom SA ADR 4,200 50,862 * Braskem SA Special Preferred A ADR 6,000 113,520 Cemex S.A. de C.V. ADR 18,300 699,060 Cia Telecom de Chile ADR 18,000 176,940 Coca-Cola Femsa S.A. de C.V. ADR 3,000 71,400 Companhia Brasileira de Distribuicao Grupo Pao de Acucar ADR 3,444 74,735 Companhia Energetica de Minas Gerais SA ADR 8,100 244,863 Companhia Siderurgica Nacional SA ADR 12,800 228,480 Compania Cervecerias Uni ADR 5,700 133,665 * Distribucion y Servicio D&S SA ADR 14,100 258,030 Embotelladora Andina SA Andina Series B ADR 2,000 26,380 * Empresa Brasileira de Aeronautica SA ADR 6,500 196,950 Empresa Nacional de Electricidad SA ADR 14,000 322,000 * Enersis SA ADR 18,350 169,003 Fomento Economico Mexicano S.A. de C.V. ADR 10,100 552,975 Gerdau SA ADR 20,600 207,030 Grupo Elektra S.A. de C.V. ADR 1,000 28,220 Grupo Televisia S.A. de C.V. ADR 5,500 330,000 Industrias Bachoco S.A. de C.V. ADR 2,500 39,500 * Kookmin Bank Sponsored ADR 4,200 185,640 * NICE Systems, Ltd. ADR 1,000 36,450 * Partner Communications Co., Ltd. ADR 3,300 27,258 Philippine Long Distance Telephone Co. ADR 3,600 97,704 * POSCO Sponsored ADR 6,600 296,472 * PT Indosat Tbk ADR 3,900 100,425 * PT Telekomunikasi Indonesia Tbk ADR 13,700 270,575 * Shinhan Financial Group Co., Ltd. ADR 1,600 82,720 Sociedad Quimica y Minera de Chile SA ADR 2,600 222,092 Tele Norte Leste Participacoes SA ADR 14,700 224,175 * Telefonos de Mexico S.A. de C.V. ADR 29,800 556,068 * Telesp Celular Participacoes SA ADR 10,300 52,221 Teva Pharmaceutical Industries, Ltd. ADR 22,200 740,814 Tim Participacoes SA ADR 3,000 47,250 * TV Azteca S.A. de C.V. ADR 5,000 41,050
1 Vale do Rio Doce Companhia ADR 10,300 254,204 Votorantim Celulose e Papel SA ADR 8,800 105,512 ---------------- TOTAL -- UNITED STATES (Cost $8,924,900) 9,030,050 ---------------- SOUTH AFRICA -- (10.8%) COMMON STOCKS -- (10.8%) ABSA Group, Ltd. 16,982 206,253 Aeci, Ltd. 6,000 37,656 African Life Assurance Co., Ltd. 11,174 36,731 African Oxygen, Ltd. 11,724 43,960 Alexander Forbes, Ltd. 27,499 45,730 Allied Technologies, Ltd. 7,060 42,516 Anglo American Platinum Corp., Ltd. 1,069 45,947 * Anglovaal Mining, Ltd. 7,933 39,207 Aspen Pharmacare Holdings PLC 13,645 49,983 Astral Foods, Ltd. 4,482 41,478 Aveng, Ltd. 39,884 67,676 AVI, Ltd. 33,472 61,187 Barloworld, Ltd. 20,119 260,019 Bidvest Group, Ltd. 15,138 153,899 Bytes Technology Group, Ltd. 18,000 20,302 Caxton & CTP Publishers & Printers, Ltd. 13,059 20,870 Delta Electrical Industries, Ltd. 850 4,936 * Dimension Data Holdings PLC 89,974 52,219 * Discovery Holdings, Ltd. 14,881 48,078 Distell Group, Ltd. 15,395 54,297 Edgars Consolidated Stores, Ltd. 1,712 67,043 Ellerine Holdings, Ltd. 5,201 38,199 Firstrand, Ltd. 86,383 174,135 Foschini, Ltd. 10,303 55,454 Gold Reef Casino Resorts, Ltd. 18,312 36,610 Grindrod, Ltd. 5,663 39,959 Illovo Sugar, Ltd. 30,744 37,487 Impala Platinum Holdings, Ltd. 1,689 141,900 * Imperial Holdings, Ltd. 13,160 193,522 Investec, Ltd. 2,961 85,081 JD Group, Ltd. 12,557 111,022 Johnic Communications, Ltd. 9,238 51,535 Liberty Group, Ltd. 14,455 131,794 Massmart Holdings, Ltd. 8,004 49,693 Medi-Clinic Corp., Ltd. 23,075 53,707 Metropolitan Holdings, Ltd. 51,384 71,938 Mr. Price Group, Ltd. 22,039 39,125 Mittal Steel South Africa, Ltd. 15,454 115,292 MTN Group, Ltd. 40,133 264,865 Murray & Roberts Holdings, Ltd. 30,002 60,350 Nampak, Ltd. 48,000 105,916 Naspers, Ltd. Series N 8,000 98,349 Nedcor, Ltd. 11,851 132,039
2 Network Healthcare Holdings, Ltd. 40,215 35,702 New Clicks Holdings, Ltd. 28,723 31,669 Northam Platinum, Ltd. 32,326 51,080 Old Mutual PLC 225,248 479,410 Omnia Holdings, Ltd. 5,787 33,582 Pick'n Pay Stores, Ltd. 13,212 48,198 Pretoria Portland Cement Co., Ltd. 1,091 35,033 Primedia, Ltd. N Shares 12,600 21,085 Rainbow Chicken, Ltd. 31,311 32,804 Reunert 8,713 46,911 Sanlam, Ltd. 179,977 296,503 Santam, Ltd. 8,527 76,398 Sappi, Ltd. 4,404 42,646 Shoprite Holdings, Ltd. 25,498 52,787 Standard Bank Group, Ltd. 36,564 332,826 Steinhoff International Holdings, Ltd. 79,037 157,084 Sun International, Ltd. 7,991 75,189 Super Group, Ltd. 23,494 39,149 Telkom SA, Ltd. 15,043 245,644 Tiger Brands, Ltd. 7,411 117,707 Tiger Wheels, Ltd. 10,064 36,332 Tongaat-Hulett Group, Ltd. 4,224 36,647 Trencor, Ltd. 13,109 38,326 Truworths International, Ltd. 19,200 47,316 * Western Areas, Ltd. 8,000 26,369 * Woolworths Holdings, Ltd. 48,602 74,468 ---------------- TOTAL -- SOUTH AFRICA (Cost $6,573,891) 5,998,824 ---------------- TAIWAN -- (10.6%) COMMON STOCKS -- (10.5%) * Accton Technology Corp. 102,000 51,416 Acer, Inc. 70,000 132,443 * Advanced Semiconductor Engineering, Inc. 135,000 97,465 Asia Cement Corp. 81,000 51,781 Benq Corp. 77,000 79,186 Catcher Co., Ltd. 10,000 52,086 Cathay Financial Holdings Co., Ltd. 57,000 108,658 Cathay Real Estate Development Co., Ltd. 113,000 47,333 Cheng Loong Corp. 154,000 47,945 Cheng Shin Rubber Industry Co., Ltd. 46,000 50,926 Cheng Uei Precision Industry Co., Ltd. 18,000 49,789 Chi Mei Optoelectronic Corp. 39,000 61,252 * China Development Financial Holding Corp. 406,000 154,632 * China Man-Made Fiber Co., Ltd. 110,000 47,160 China Motor Co., Ltd. 46,000 47,320 China Steel Corp. 129,000 125,501 * Chungwa Picture Tubes Co., Ltd. 167,000 73,121 CMC Magnetics Corp. 144,000 66,467 Compal Electronics, Inc. 103,000 98,485 * Cosmos Bank Taiwan 108,000 51,275
3 Delta Electronics Industrial Co., Ltd. 32,000 51,782 D-Link Corp. 41,000 49,472 Elitegroup Computer Systems Co., Ltd. 84,000 53,482 Evergreen International Storage & Transport Corp. 129,000 49,129 Evergreen Marine Corp., Ltd. 52,000 46,511 Far East Textile, Ltd. 113,000 84,655 Feng Hsin Iron & Steel Co., Ltd. 47,000 45,336 Formosa Chemicals & Fiber Co., Ltd. 30,000 54,305 Formosa Plastics Corp. 49,000 83,254 Formosa Taffeta Co., Ltd. 101,000 49,290 Fu Sheng Industrial Co., Ltd. 39,000 47,604 Fubon Financial Holding Co., Ltd. 105,000 99,454 Fuh-Hwa Financial Holding Co., Ltd. 103,000 54,559 Giga-Byte Technology Co., Ltd. 53,000 58,077 High Tech Computer Corp. 8,000 70,447 Hon Hai Precision Industry Co., Ltd. 31,000 162,242 Hotai Motor Co., Ltd. 23,000 51,946 * Hsinchu International Bank 82,000 48,061 Hua Nan Financial Holding Co., Ltd. 106,000 81,824 Inventec Corp. 116,000 53,592 King Yuan Electronics Co., Ltd. 72,000 65,347 Kinpo Electronics, Inc. 120,000 51,868 Largan Precision Co., Ltd. 9,000 61,886 Lite-On Technology Corp. 90,000 96,216 * Macronix International Co., Ltd. 328,000 51,347 Media Tek, Inc. 11,000 94,712 Mega Financial Holding Co., Ltd. 411,000 266,291 Mitac International Corp. 59,000 62,809 Nan Ya Plastic Corp. 83,000 113,457 * Nanya Technology Co., Ltd. 76,000 58,135 Nien Hsing Textile Co., Ltd. 56,000 46,776 Optimax Technology Corp. 18,000 43,850 Premier Image Technology Corp. 53,000 58,860 * Q-Run Technology Co., Ltd. 18,000 67,831 Quanta Computer, Inc. 30,000 54,735 * Quanta Display, Inc. 106,000 52,443 Realtek Semiconductor Corp. 55,000 55,689 Shin Kong Financial Holding Co., Ltd. 53,000 53,639 * Silicon Integrated Systems Corp. 121,000 65,653 Siliconware Precision Industries Co., Ltd. 59,000 55,911 SinoPac Holdings Co., Ltd. 176,000 93,686 Sunplus Technology Co., Ltd. 38,000 52,739 Synnex Technology International Corp. 35,000 52,182 * Taichung Commercial Bank 162,000 46,063 Taishin Financial Holdings Co., Ltd. 84,000 72,409 Taiwan Cement Corp. 84,000 47,680 Taiwan Glass Ind. Corp. 57,000 54,285 * Tatung Co., Ltd. 186,000 59,279 Teco Electric & Machinery Co., Ltd. 188,000 54,472 Tung Ho Steel Enterprise Corp. 74,000 47,076 U-Ming Marine Transport Corp. 31,000 48,318 Uni-President Enterprises Corp. 137,000 61,794 * United Microelectronics Corp. 432,000 291,059 * Via Technologies, Inc. 98,000 63,402 * Walsin Lihwa Corp. 125,000 52,139
4 * Winbond Electronics Corp. 192,000 61,571 Wistron Corp. 90,000 63,278 Ya Hsin Industrial Co., Ltd. 53,000 49,795 * Yageo Corp. 164,000 61,958 Yang Ming Marine Transport Corp. 50,000 43,860 Yieh Phui Enterprise Co., Ltd. 95,000 48,526 Yuen Foong Yu Paper Manufacturing Co., Ltd. 118,000 44,612 Yulon Motor Co., Ltd. 43,000 49,841 Zyxel Communication Corp. 22,000 55,556 ---------------- TOTAL COMMON STOCKS (Cost $5,813,198) 5,842,298 ---------------- INVESTMENT IN CURRENCY -- (0.1%) * Taiwan Dollar 38,318 ---------------- (Cost $38,374) TOTAL -- TAIWAN (Cost $5,851,572) 5,880,616 ---------------- SOUTH KOREA -- (10.1%) COMMON STOCKS -- (10.1%) Amorepacific Corp. 160 41,716 Cheil Industrial, Inc. 2,550 41,952 CJ Corp. 880 62,639 Daegu Bank Co., Ltd. 7,040 54,967 Daelim Industrial Co., Ltd. 1,210 58,030 Daewoo Heavy Industries & Machinery, Ltd. 4,370 35,220 Daewoo International Corp. 2,600 38,205 * Daewoo Securities Co., Ltd. 6,010 39,794 Daewoo Shipbuilding & Marine Engineering Co., Ltd. 2,550 51,337 Daishin Securities Co., Ltd. 2,740 34,914 Dong Bu Insurance Co., Ltd. 4,930 41,721 Dongkuk Steel Mill Co., Ltd. 2,280 37,277 Dongwon Financial Holding Co., Ltd. 2,720 45,612 * Doosan Industrial Development Co., Ltd. 7,950 39,267 Halla Climate Control Corp. 5,810 49,798 Han Wha Corp. 2,150 34,784 Hanil Cement Manufacturing Co., Ltd. 670 37,066 Hanjin Heavy Industry Co., Ltd. 3,240 38,271 Hanjin Shipping Co., Ltd. 1,330 35,428 Hankook Tire Manufacturing Co., Ltd. 3,890 43,913 Hansol Paper Co., Ltd. 3,540 34,384 Hite Brewery Co., Ltd. 540 49,713 * Honam Petrochemical Corp. 1,040 40,762 Hyosung T & C Co., Ltd. 3,310 36,451 Hyundai Department Store Co., Ltd. 930 43,919 Hyundai Development Co. 2,960 62,345 Hyundai Heavy Industries Co., Ltd. 1,610 84,227 Hyundai Hysco 2,980 35,564 Hyundai Mipo Dockyard Co., Ltd. 760 47,806 Hyundai Mobis 910 58,475 Hyundai Motor Co., Ltd. 5,040 282,366
5 * Hyundai Securities Co., Ltd. 6,640 44,717 INI Steel Co., Ltd. 2,920 42,935 Kangwon Land, Inc. 2,700 38,754 Kia Motors Corp. 6,090 86,633 Korea Electric Power Corp. 5,670 165,675 * Korea Exchange Bank 4,740 40,169 Korea Gas 1,300 36,370 Korea Reinsurance Co., Ltd. 7,490 41,111 Korean Air Co., Ltd. 2,060 36,578 KT Corp. 2,200 88,666 KT&G Corp. 2,600 91,059 Kumgang Korea Chemical Co., Ltd. 270 45,424 Kumho Industrial Co., Ltd. 2,560 31,983 * LG Card Co., Ltd. 1,550 51,756 LG Chemical Investment, Ltd. 2,720 69,294 LG Chemical, Ltd. 2,220 80,586 LG Engineering & Construction Corp. 1,760 54,734 LG Household & Healthcare Co., Ltd. 1,210 44,479 LG International Corp. 3,450 39,704 LG Investment & Securities Co., Ltd. 5,480 51,039 * LG Phillips LCD Co., Ltd. 1,000 51,871 Lotte Chilsung Beverage Co., Ltd. 40 37,363 Lotte Confectionary Co., Ltd. 60 42,828 * NCsoft Corp. 660 57,542 Nong Shim Co., Ltd. 140 42,190 ORION Corp. 370 53,193 Poong San Corp. 3,160 39,704 Samsung Corp. 8,200 111,905 Samsung Electro-Mechanics Co., Ltd. 2,970 72,134 Samsung Electronics Co., Ltd. 2,330 1,125,257 Samsung Fine Chemicals Co., Ltd. 1,960 37,950 Samsung Fire and Marine Insurance, Ltd. 830 62,868 Samsung Heavy Industries Co., Ltd. 8,470 70,873 Samsung SDI Co., Ltd. 1,330 126,576 Samsung Securities Co., Ltd. 2,590 66,863 Samsung Techwin Co., Ltd. 4,320 39,465 Seoul Bank 3,710 94,138 Shinsegae Co., Ltd. 220 72,910 Sindo Ricoh Co., Ltd. 660 37,117 SK Corp., Ltd. 3,170 164,364 SK Telecom Co., Ltd. 740 131,246 S-Oil Corp. 650 47,869 * Ssangyong Cement Industry Co., Ltd. 27,740 35,152 * Ssangyong Motor Co. 5,460 37,636 Tai Han Electric Wire Co., Ltd. 3,480 38,269 Yuhan Corp. 460 42,429 ---------------- TOTAL -- SOUTH KOREA (Cost $5,521,889) 5,559,301 ----------------
6 MALAYSIA -- (8.7%) COMMON STOCKS -- (8.7%) Affin Holdings Berhad 94,600 35,786 AMMB Holdings Berhad 178,100 108,552 Bandar Raya Developments Berhad 100,600 30,916 Berjaya Sports Toto Berhad 63,900 65,517 Bernas Padiberas Nasional Berhad 105,200 35,082 Boustead Holdings Berhad 83,400 38,807 British American Tobacco Berhad 8,700 92,668 CIMB Berhad 38,100 50,115 Commerce Asset Holding Berhad 264,100 323,460 * Digi.Com Berhad 29,600 40,431 Diversified Resources Berhad 88,400 32,067 Edaran Otomobil Nasional Berhad 37,300 33,284 * Fountain View Development Berhad 31,500 3,260 Fraser & Neave Holdings Berhad 29,900 40,505 Gamuda Berhad 83,200 95,338 Genting Berhad 52,200 245,702 Golden Hope Plantations Berhad 50,900 51,142 Guiness Anchor Berhad 27,700 38,249 Highlands and Lowlands Berhad 42,100 42,087 Hong Leong Bank Berhad 52,400 68,922 Hong Leong Credit Berhad 41,900 44,279 Hume Industries (Malaysia) Berhad 30,900 39,602 IGB Corp. Berhad 161,100 46,541 IJM Corp. Berhad 61,000 75,422 IOI Corp. Berhad 67,800 163,996 Island & Peninsular Berhad 41,400 14,846 Johor Port Berhad 82,500 39,060 KFC Holdings (Malaysia) Berhad 41,000 37,102 Kuala Lumpur Kepong Berhad 38,200 64,303 Kulim Malaysia Berhad 30,000 23,816 Landmarks Berhad 163,800 36,551 Lion Diversified Holdings Berhad 83,900 37,448 Lion Industries Corp. Berhad 112,900 37,057 Magnum Corp. Berhad 160,000 84,127 Malakoff Berhad 49,600 95,183 Malayan Banking Berhad 68,300 197,507 Malayan Cement Berhad 260,300 40,369 Malaysia Industrial Development Finance Berhad 120,000 35,950 Malaysian Airlines System Berhad 46,900 43,696 Malaysian Oxygen Berhad 15,600 50,454 Malaysian Plantations Berhad 72,600 46,193 Maxis Communications Berhad 34,400 89,106 * MTD Infraperdana Berhad 237,500 53,120 * Mulpha International Berhad 301,600 39,272 NCB Holdings Berhad 25,000 17,081 * New Straits Times Press (Malaysia) Berhad 51,400 42,987 Oriental Holdings Berhad 45,500 47,827 OSK Holdings Berhad 122,666 35,144 Oyl Industries Berhad 5,600 53,416 Petronas Dagangan Berhad 46,800 51,471 Petronas Gas Berhad 29,500 55,076 Phileo Allied Berhad 53,100 43,815 Plus Expressways Berhad 69,000 55,873 Resorts World Berhad 54,400 137,881
7 RHB Capital Berhad 142,900 75,489 Road Builders (Malaysia) Holdings Berhad 123,100 85,762 Selangor Properties Berhad 71,700 37,901 Shell Refining Co. Federation of Malaysia Berhad 17,300 41,864 Sime Darby Berhad 132,500 202,260 SP Setia Berhad 66,100 64,375 Star Publications (Malaysia) Berhad 22,700 41,180 Sunway City Berhad 164,000 86,194 Sunway Holdings, Inc. Berhad 153,200 43,102 TA Enterprise Berhad 108,000 20,730 Telekom Malaysia Berhad 63,000 162,144 Tenaga Nasional Berhad 59,400 160,924 * UEM World Berhad 63,100 10,199 UMW Holdings Berhad 48,700 64,031 Unisem (M) Berhad 194,700 85,489 United Plantations Berhad 37,700 49,541 YTL Corp. Berhad 77,500 107,019 ---------------- TOTAL -- MALAYSIA (Cost $4,966,194) 4,785,665 ---------------- INDIA -- (7.9%) COMMON STOCKS -- (7.9%) * Adani Exports, Ltd. 30,000 43,676 * Amtek Auto, Ltd. 7,915 28,188 * Apollo Hospitals Enterprise, Ltd. 3,835 28,514 * ASEA Brown Boveri, Ltd. 2,705 80,340 * Asian Paints (India), Ltd. 8,789 77,089 * Aurobindo Pharmaceuticals, Ltd. 7,749 52,046 * Bajaj Auto, Ltd. 4,803 134,588 * Ballarpur Industries, Ltd. 20,947 57,475 * Biocon, Ltd. 8,178 80,332 * Cipla, Ltd. 12,386 81,794 * Dr. Reddy's Laboratories, Ltd. 3,481 57,421 * EIH, Ltd. 10,542 91,577 * Federal Bank, Ltd. 14,152 53,617 * Glaxosmithkline Pharmaceuticals, Ltd. 4,580 79,472 * Great Eastern Shipping Co., Ltd. 25,000 89,203 * GTL, Ltd. 21,995 50,282 * Gujarat Ambuja Cements, Ltd. 7,751 80,300 * HCL Technologies, Ltd. 9,768 81,444 HDFC Banking, Ltd. 7,000 86,123 * Hero Honda Motors, Ltd. Series B 5,591 70,575 * Hindustan Lever, Ltd. 20,000 65,431 * Indian Hotels Co., Ltd. 9,338 142,544 Indian Petrochemicals Corp., Ltd. 13,445 50,126 * IndusInd Bank, Ltd. 42,947 60,287 * Industrial Development Bank of India, Ltd. 27,202 58,056 * Infosys Technologies, Ltd. 4,230 217,558 * Ispat Industries, Ltd. 242,829 114,800 * ITC, Ltd. 2,000 72,979 Jammu & Kashmir Bank, Ltd. 10,431 80,120
8 * Jindal Vijaynagar Steel, Ltd. 10,337 74,415 * Larsen & Toubro, Ltd. 3,455 82,678 * LIC Housing Finance, Ltd. 14,000 76,521 * Mahindra & Mahindra, Ltd. 4,915 57,416 * Marico, Ltd. 3,156 19,254 * Maruti Udyog, Ltd. 8,037 85,637 * Micro Inks, Ltd. 822 10,913 * Patni Computer Systems, Ltd. 9,873 78,524 * Ranbaxy Laboratories, Ltd. 8,011 201,563 * Satyam Computer Services, Ltd. 8,178 84,972 * Siemens India, Ltd. 1,788 82,138 * Sterling Biotech, Ltd. 15,647 28,696 * Sun Pharmaceuticals Industries, Ltd. 6,527 78,245 * Tata Chemicals, Ltd. 25,000 101,850 * Tata Consultancy Services 4,017 122,286 * Tata Iron & Steel Co., Ltd. 9,584 79,448 * Tata Motors, Ltd. 18,433 182,247 * Tata Tea, Ltd. 7,500 98,319 * Tata Teleservices Maharashtra, Ltd. 130,389 76,972 * Thermax, Ltd. 2,097 30,999 UTI Bank, Ltd. 14,194 77,658 * Videsh Sanchar Nigam, Ltd. 25,000 118,807 * Wipro, Ltd. 11,486 187,341 * Zee Telefilms, Ltd. Series B 14,148 44,937 ---------------- TOTAL -- INDIA (Cost $4,308,697) 4,347,793 ---------------- BRAZIL -- (4.8%) PREFERRED STOCKS -- (4.6%) Acesita SA 4,000 52,608 Centrais Electricas de Santa Catarin Celesc Series B 119,000 42,967 Companhia Brasileira de Petroleo Ipiranga SA 4,000 43,893 Confab Industrial SA 39,000 54,385 Coteminas Cia Tecidos Norte de Minas 370,000 31,940 Duratex SA 1,000,000 45,653 * Electropaulo Electrecidade Metropolitana 1,650,000 64,028 Investimentos Itau SA 158,000 322,623 Klabin SA 51,000 84,030 Lojas Americanas SA 3,900,000 71,234 Marcopolo SA 19,600 34,978 Metal Leve SA 500,000 28,325 Metalurgica Gerdau SA 14,300 198,224 * Net Servicos de Comunicacao SA 150,000 40,465 Paranaense de Energia Series B 16,400,000 93,928 * Paranapanema SA 11,800,000 35,016 Perdigao SA NPV 2,800 58,626 Ripasa SA Papel e Celulose 14,000 20,743 Sadia SA 75,000 122,328 Sao Pau Alpargatas SA 400,000 54,783 Siderurgica Belgo-Mineira 80,000 35,194
9 Siderurgica de Tubarao 3,000,000 161,361 Telemar Norte Leste SA 8,000 186,927 Telemig Celular Participacoes SA 34,200,000 55,924 Telesp Participacoes SA 4,500,000 85,443 Tim Sul SA Preferred Series B 1,150,000 52,023 Ultrapar Participants 1,200,000 20,673 Uniao des Industrias Petroquimicas SA Series B 34,800 43,040 Usinas Siderurgicas de Minas Gerais SA 17,400 327,780 Weg SA 21,000 63,710 ---------------- TOTAL PREFERRED STOCKS (Cost $2,544,351) 2,532,852 ---------------- COMMON STOCKS -- (0.2%) Souza Cruz Industria e Comercio 5,900 74,194 * Tractebel Energia SA 9,300 45,506 ---------------- TOTAL COMMON STOCKS (Cost $115,480) 119,700 ---------------- RIGHTS/WARRANTS -- (0.0%) * Itausa-Investimentos Itau SA Preferred Rights 06/01/05 356 129 ---------------- (Cost $0) TOTAL -- BRAZIL (Cost $2,659,831) 2,652,681 ---------------- MEXICO -- (4.7%) COMMON STOCKS -- (4.7%) Alfa S.A. de C.V. Series A 58,000 333,047 * America Telecom S.A. de C.V. Series A 39,948 120,750 * Carso Global Telecom S.A. de C.V. Telecom Series A1 116,900 207,286 Consorcio Ara S.A. 21,700 70,576 Controladora Comercial Mexicana S.A. de C.V. Series B 49,400 53,102 * Corporacion Geo S.A. de C.V. Series B 20,000 47,316 Embotelladora Arca S.A. de C.V., Mexico 31,100 63,975 * Empresas ICA Sociedad Controladora S.A. de C.V. 188,500 74,469 Gruma S.A. de C.V. Series B 24,800 52,975 Grupo Carso S.A. de C.V. Series A-1 20,400 35,611 Grupo Cementos de Chihuahua S.A. de C.V. 9,000 15,959 Grupo Financiero del Norte S.A. Series C 38,697 257,723 Grupo Industrial Bimbo S.A. de C.V. Series A 58,500 159,091 Grupo Modelo S.A. de C.V. Series C 44,100 133,706 Industrias Penoles S.A. de C.V. 12,000 59,314 * Industrias S.A. de C.V. Series B 21,900 45,473 Kimberly Clark de Mexico S.A. de C.V. Series A 51,600 164,267 Nueva Grupo Mexico S.A. de C.V. Series B 62,722 296,197 * Organizacion Soriana S.A. de C.V. Series B 18,900 71,888 Vitro S.A. de C.V. 40,000 31,201 Wal-Mart de Mexico S.A. de C.V. Series V 79,000 299,398 ---------------- TOTAL -- MEXICO (Cost $2,502,647) 2,593,324 ----------------
10 TURKEY -- (4.1%) COMMON STOCKS -- (4.1%) Akbank T.A.S. 48,977 261,432 Akcansa Cimento Sanayi ve Ticaret A.S. 11,097 37,789 Aksa Akrilik Kimya Sanayii A.S. 2,060 18,137 Aksigorta A.S. 9,597 36,850 * Alarko Holding A.S. 1,134 36,592 Anadolu Cam Sanayii A.S. 8,719 31,016 Anadolu Efes Biracilik ve Malt Sanayi A.S. 5,121 101,823 Anadolu Hayat Sigorta A.S. 11,250 16,173 Arcelik A.S 7,913 41,501 Aygaz A.S. 12,539 25,605 * Beko Elektronik A.S. 22,842 37,843 Bolu Cimento Sanayii A.S. 19,387 24,363 Cimsa Cimento Sanayi Ve Ticaret A.S. 5,157 21,696 * Dogan Sirketler Grubu Holding A.S. 50,162 115,296 * Dogan Yayin Holding A.S. 13,237 30,130 Eczacibasi Ilac Sanayi ve Ticaret A.S. 11,476 27,658 Enka Insaat ve Sanayi A.S. 1,752 19,068 Eregli Demir ve Celik Fabrikalari Turk A.S. 27,548 110,609 * Finansbank A.S. 12,789 45,319 Ford Otomotiv Sanayi A.S. 7,203 44,768 Hurriyet Gazetecilik ve Matbaacilik A.S. 8,218 15,720 Ihlas Holding A.S. 34,364 23,090 Koc Holding A.S. Series B 25,353 107,414 Migros Turk A.S. 13,301 102,859 * Tansas Perakende Magazacilik Ticaret A.S. 24,872 34,089 Tofas Turk Otomobil Fabrikasi A.S. 21,405 29,553 Trakya Cam Sanayii A.S. 13,095 41,651 Tupras-Turkiye Petrol Rafinerileri A.S. 8,087 101,896 * Turk Dis Ticaret Bankasi A.S. 22,297 70,626 Turk Ekonomi Bankasi A.S. 3,450 21,880 Turk Sise ve Cam Fabrikalari A.S. 15,612 37,472 * Turkiye Garanti Bankasi A.S. 38,615 145,736 Turkiye Is Bankasi A.S. 37,182 200,827 Ulker Gida Sanayi ve Ticaret A.S. 9,000 25,789 * Vestel Elektronik Sanayi ve Ticaret A.S. 23,341 81,081 * Yapi ve Kredi Bankasi A.S. 34,278 130,265 * Zorlu Enerji Elektrik Uretim A.S. 6,925 20,705 ---------------- TOTAL -- TURKEY (Cost $2,383,599) 2,274,321 ---------------- ISRAEL -- (3.5%) COMMON STOCKS -- (3.5%) Africa-Israel Investments, Ltd. 1,298 47,978 Alony Hetz Properties & Investments, Ltd. 14,933 39,221 American Israeli Paper Mills, Ltd. 257 11,872 Azorim Investment Development & Construction Co., Ltd. 4,397 42,882 Bank Hapoalim, Ltd. 40,000 140,427
11 Bank Leumi Le-Israel 49,500 140,062 * Bezeq Israeli Telecommunication Corp., Ltd. 38,500 47,553 Blue Square Israel, Ltd. 2,400 23,240 CLAL Industries, Ltd. 3,500 16,119 CLAL Insurance, Ltd. 799 16,800 Delek Automotive Systems, Ltd. 6,335 46,190 Delek Drilling 77,506 38,201 Delta Galil Industries, Ltd. 4,396 36,677 Direct Insurance - I.D.I. Insurance Co., Ltd. 13,144 38,337 Discount Investment Corp 1,500 36,717 Elbit Medical Imaging, Ltd. 2,691 51,795 Elbit Systems, Ltd. 3,356 81,765 Electra Consumer Products 3,258 27,682 Electra Israel, Ltd. 560 41,865 * Elron Electronic Industries, Ltd. 3,742 53,826 FMS Enterprises Migun, Ltd. 924 42,227 Formula Systems (1985), Ltd. 2,164 31,369 Frutarom Industries (1995), Ltd. 5,210 40,750 IDB Development Corp., Ltd. Series A 3,001 92,135 Israel Chemicals, Ltd. 14,000 44,806 Knafaim-Arkia Holdings, Ltd. 1,500 16,997 M.A.Industries, Ltd. 21,049 127,341 Migdal Insurance Holdings 28,827 40,739 * Orckit Communications, Ltd. 730 17,423 Ormat Industries, Ltd. 8,577 42,323 Osem Investment, Ltd. 4,373 37,266 Property and Building Corp., Ltd. 459 41,575 * RADVision, Ltd. 2,629 34,792 * Retalix, Ltd. 1,939 46,547 Scitex Corp., Ltd. 6,201 42,079 Strauss Elite, Ltd. 4,680 43,903 Suny Electronic Inc., Ltd. 5,749 40,132 Super-Sol, Ltd. Series B 22,075 59,531 Tadiran Communications, Ltd. 1,190 41,448 * Union Bank of Israel, Ltd. 10,728 39,183 * United Mizrahi Bank, Ltd. 11,400 54,008 ---------------- TOTAL -- ISRAEL (Cost $1,925,631) 1,955,783 ---------------- THAILAND -- (3.2%) COMMON STOCKS -- (3.2%) Advance Info Service Public Co., Ltd. (Foreign) 50,100 115,293 Aromatics (Thailand) Public Co., Ltd. (Foreign) 33,000 43,047 Bangkok Expressway Public Co., Ltd. (Foreign) 58,500 37,795 * Bank of Ayudhya Public Co., Ltd. (Foreign) 197,200 61,640 Banpu Public Co., Ltd. (Foreign) 19,000 70,613 BEC World Public Co., Ltd. (Foreign) 109,400 33,388 Central Pattana Public Co., Ltd. (Foreign) 179,700 38,479 Charoen Pokphand Foods Public Co., Ltd. (Foreign) 393,300 41,431 Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 82,300 30,992 Hana Microelectronics Public Co., Ltd. (Foreign) 167,316 79,890
12 * International Broadcasting Corp. Public Co., Ltd. (Foreign) 68,000 37,824 * K.R. Precision Public Co., Ltd. (Foreign) 610,200 57,671 Krung Thai Bank Public Co., Ltd. (Foreign) 634,200 143,604 MBK Development Public Co., Ltd. (Foreign) 31,400 37,482 National Finance and Securities Public Co., Ltd. (Foreign) 174,000 57,814 Picnic Gas & Engineering Public Co., Ltd. (Foreign) 163,400 45,043 Ratchaburi Electricity Generating Holding Public Co., Ltd. (Foreign) 66,500 63,832 Regional Container Lines Public Co., Ltd. (Foreign) 56,900 43,414 Shin Corporation Public Co., Ltd. (Foreign) 77,800 70,849 * Shinawatra Satellite Public Co., Ltd. (Foreign) 217,700 90,016 Siam City Cement Public Co., Ltd. (Foreign) 6,000 41,940 Siam Commercial Bank Public Co., Ltd. (Foreign) 146,000 171,585 Siam Makro Public Co., Ltd. (Foreign) 28,900 44,456 * Telecomasia Corp. Public Co., Ltd. (Foreign) 239,700 50,736 * Thai Military Bank Public Co., Ltd. (Foreign) 451,500 45,117 * Thai Olefins Public Co., Ltd. (Foreign) 35,000 52,547 Thai Plastic & Chemicals Public Co., Ltd. (Foreign) 76,200 29,257 Thai Union Frozen Products Public Co., Ltd. (Foreign) 56,900 39,212 * TPI Polene Public Co., Ltd. (Foreign) 55,900 35,428 Vinythai Public Co., Ltd. (Foreign) 312,600 78,477 ---------------- TOTAL -- THAILAND (Cost $1,891,826) 1,788,872 ---------------- HUNGARY -- (3.0%) COMMON STOCKS -- (3.0%) * Danubius Hotel & Spa RT 157 3,537 Delmagyarorszagi Aramszolgaltato Demasz RT 313 20,886 Egis RT 618 53,119 Gedeon Richter, Ltd. 2,247 292,831 * Magyar Olay-Es Gazipari RT 6,089 452,772 Matav RT 52,484 203,971 Orszagos Takerekpenztar es Keresdelmi Bank RT 16,799 520,894 * Tiszai Vegyi Kombinat RT 3,750 105,494 ---------------- TOTAL -- HUNGARY (Cost $1,863,310) 1,653,504 ---------------- POLAND -- (2.8%) COMMON STOCKS -- (2.8%) * Agora SA 3,178 63,950 Bank Polska Kasa Opieki - Grupa Pekao SA 6,765 272,547 Bank Zackodni WDK SA 2,851 77,714 Big Bank Gdanski SA 37,000 34,182 * Cersanit-Krasnystaw SA 571 18,241 Debica SA 1,550 38,014 * Farmacol SA 600 5,348 * Impexmetal SA 1,927 23,227 Netia Holdings SA 40,092 45,153
13 Polski Koncern Naftowy Orlen SA 40,803 553,322 * Prokom Software SA 3,247 91,875 Telekomunikacja Polska SA 46,140 255,346 Zaklady Metali Lekkich Kety SA 1,384 45,004 ---------------- TOTAL -- POLAND (Cost $1,669,401) 1,523,923 ---------------- INDONESIA -- (2.0%) COMMON STOCKS -- (2.0%) PT Astra Agro Lestari Tbk 98,500 37,731 PT Astra International Tbk 130,000 159,423 PT Bank Central Asia Tbk 754,500 274,634 PT Bank Danamon Indonesia Tbk 190,000 96,116 PT Bank NISP Tbk 437,500 43,034 PT Berlian Laju Tanker Tbk 551,000 54,361 PT Citra Marga Nusaphala Persada 377,000 36,805 PT Gudang Garam Tbk 91,000 123,114 PT International Nickel Indonesia Tbk 48,500 70,797 PT Kalbe Farma Tbk 628,500 51,297 * PT Kawasan Industry Jababeka Tbk 2,528,500 33,092 PT Ramayana Lestari Sentosa Tbk (Foreign) 369,000 31,791 PT Semen Gresik Tbk 30,500 51,501 PT Tempo Scan Pacific Tak 14,500 10,626 PT Unilever Tbk 118,500 56,868 ---------------- TOTAL -- INDONESIA (Cost $1,155,939) 1,131,190 ---------------- CHILE -- (1.8%) COMMON STOCKS -- (1.8%) Banco de Credito e Inversiones SA Series A 2,355 48,008 CAP SA (Compania de Aceros del Pacifico) 13,270 147,192 Cementos Bio-Bio SA 22,587 50,107 Consumidores de Gas de Santiago SA 10,736 50,577 COPEC (Cia de Petroleos de Chile) 22,710 184,014 Cristalerias de Chile SA 5,491 50,795 Empresa Nacional de Telecomunicaciones SA 15,654 151,378 Empresas CMPC SA 2,100 45,687 * Empresas Iansa SA 500,000 23,983 Lan Airlines SA 7,071 51,844 * Madeco Manufacturera de Cobre SA 419,040 37,902 Maderas y Sinteticos SA 77,758 43,024 Parque Arauco SA 35,000 20,385 Sud Americana de Vapores SA 30,062 65,660 Vina de Concha y Toro SA 28,624 42,856 ---------------- TOTAL -- CHILE (Cost $1,070,046) 1,013,412 ----------------
14 PHILIPPINES -- (1.0%) COMMON STOCKS -- (1.0%) Ayala Land, Inc. 357,000 50,186 Bank of the Philippine Island 130,200 115,386 Equitable PCI Bank, Inc. 44,300 42,161 * Filinvest Land, Inc. 1,408,000 36,605 * First Philippines Holdings Corp. 46,500 39,159 * International Container Terminal Services, Inc. 176,000 24,133 * Megaworld Properties & Holdings, Inc. 1,195,000 30,150 Metro Bank and Trust Co. 86,300 46,515 Petron Corp. 811,000 48,946 * Pilipino Telephone Corp. 862,000 50,400 SM Prime Holdings, Inc. 497,000 69,036 ---------------- TOTAL -- PHILIPPINES (Cost $566,505) 552,677 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (4.7%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $2,635,000 FNMA Notes 2.95%, 11/14/07, valued at $2,631,706) to be repurchased at $2,592,208 $ 2,592 2,592,000 ---------------- (Cost $2,592,000) TOTAL INVESTMENTS - (100.0%) (Cost $56,427,878) $ 55,333,936 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 15 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULES OF INVESTMENTS MAY 31, 2005 DFA ONE-YEAR FIXED INCOME PORTFOLIO (UNAUDITED)
SHARES VALUE+ ------ ------ Investment in The DFA One-Year Fixed Income Series of The DFA Investment Trust Company 209,400,816 $ 2,091,914,152 ----------------- Total Investments (100%) (Cost $2,090,344,366) $ 2,091,914,152 =================
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO (UNAUDITED)
SHARES VALUE+ ------ ------ Investment in The DFA Two-Year Global Fixed Income Series of The DFA Investment Trust Company 183,289,128 $ 1,832,891,280 ----------------- Total Investments (100%) (Cost $1,836,200,112) $ 1,832,891,280 =================
- ---------- +See Note B to Financial Statements. See accompanying Notes to Financial Statements. 31 DFA FIVE-YEAR GOVERNMENT PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
FACE AMOUNT VALUE+ ------ ------ (000) AGENCY OBLIGATIONS -- (99.4%) Federal Farm Credit Bank 3.625%, 10/24/08 $ 83,000 $ 82,189,339 3.650%, 12/17/08 16,000 15,846,656 3.700%, 12/17/08 56,700 56,064,847 3.900%, 02/24/09 6,000 5,989,512 3.550%, 04/06/09 22,595 22,271,349 4.125%, 04/15/09 16,500 16,599,182 4.375%, 06/24/09 20,570 20,880,977 Federal Home Loan Bank 5.800%, 09/02/08 53,300 56,369,547 5.865%, 09/02/08 2,670 2,833,212 3.625%, 11/14/08 24,000 23,782,632 3.625%, 11/14/08 21,000 20,809,803 3.500%, 02/13/09 42,880 42,266,087 3.000%, 04/15/09 39,400 38,101,494 4.250%, 05/15/09 27,500 27,800,685 3.750%, 08/18/09 39,400 39,170,219 3.500%, 11/03/09 58,000 56,788,322 4.000%, 11/13/09 15,000 14,979,420 6.500%, 11/13/09 5,000 5,506,205 3.875%, 01/15/10 23,300 23,208,711 Tennessee Valley Authority 5.375%, 11/13/08 76,445 79,924,241 --------------- TOTAL AGENCY OBLIGATIONS (Cost $656,957,382) 651,382,440 --------------- TEMPORARY CASH INVESTMENTS -- (0.6%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $4,067,000 FHLMC Notes 4.00%, 09/22/09, valued at $4,072,084) to be repurchased at $4,011,322 (Cost $4,011,000) 4,011 4,011,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $660,968,382) $ 655,393,440 ===============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 32 DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
FACE AMOUNT VALUE+ --------------- --------------- (000) UNITED STATES -- (30.0%) BONDS -- (18.8%) Bayerische Landesbank 3.200%, 04/15/09 $ 10,000 $ 9,637,650 Citigroup, Inc. 4.250%, 07/29/09 13,575 13,591,195 General Electric Capital Corp. 3.250%, 06/15/09 33,850 32,657,363 Gillette Co. 3.800%, 09/15/09 34,185 33,784,249 Pfizer, Inc. 5.625%, 04/15/09 18,300 19,243,109 Procter & Gamble Co. 6.875%, 09/15/09 22,579 24,991,002 Toyota Motor Credit Corp. 2.875%, 08/01/08 6,000 5,819,364 US Bank NA 3.400%, 03/02/09 30,250 29,423,510 Wal-Mart Stores, Inc. 6.875%, 08/10/09 33,590 37,026,694 Wells Fargo & Co. 3.125%, 04/01/09 32,090 30,972,562 Westdeutsche Landesbank 6.050%, 01/15/09 32,200 34,017,239 --------------- TOTAL BONDS (Cost $274,546,786) 271,163,937 --------------- AGENCY OBLIGATIONS (11.2%) Federal Farm Credit Bank 4.125%, 04/15/09 17,500 17,605,192 Federal Home Loan Bank 4.000%, 11/13/09 6,000 5,991,768 3.875%, 01/15/10 33,000 32,870,706 Federal Home Loan Mortgage Corporation 5.750%, 03/15/09 16,000 17,016,320 @3.750%, 07/15/09 19,100 24,498,246 6.625%, 09/15/09 21,000 23,167,746 Federal National Mortgage Association 5.250%, 01/15/09 10,500 10,952,329 3.250%, 02/15/09 30,000 29,264,340 --------------- TOTAL AGENCY OBLIGATIONS (Cost $162,865,463) 161,366,647 --------------- TOTAL -- UNITED STATES (Cost $437,412,249) 432,530,584 --------------- CANADA -- (13.2%) BONDS -- (13.2%) BP Canada Finance 3.625%, 01/15/09 11,394 11,268,837 ^British Columbia, Province of 6.250%, 12/01/09 42,600 37,831,936 ^Canada Housing Trust 4.650%, 09/15/09 $ 47,900 $ 39,921,285 ^Canada, Goverment of 4.250%, 09/01/09 35,800 29,542,415 ^Ontario, Province of 6.200%, 11/19/09 42,500 37,630,378 ^Toyota Credit Canada 4.250%, 06/17/09 27,600 22,509,788 4.750%, 06/29/09 14,300 11,860,706 --------------- TOTAL -- CANADA (Cost $188,256,513) 190,565,345 --------------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (11.7%) BONDS -- (11.7%) African Development Bank 3.250%, 08/01/08 15,300 15,067,623 Asian Development Bank 5.948%, 05/20/09 34,000 36,380,238 European Investment Bank 3.375%, 03/16/09 33,435 32,886,031 #4.000%, 04/15/09 10,200 1,440,961 Inter-American Development Bank 5.375%, 11/18/08 9,000 9,456,057 ^5.625%, 06/29/09 32,360 27,858,861 International Finance Corp. 3.750%, 06/30/09 15,035 14,944,835 #Oresundsbro Konsortiet 6.000%, 04/20/09 9,000 1,353,524 World Bank (International Bank for Reconstruction & Development) 5.125%, 03/13/09 27,300 28,483,455 --------------- TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS (Cost $167,060,999) 167,871,585 --------------- GERMANY -- (8.6%) BONDS -- (8.6%) @ Bundesrepublik Deutschland 5.375%, 01/04/10 14,000 19,262,197 Deutsche Postbank AG 5.500%, 02/17/09 8,000 8,420,760 KFW-Kreditanstalt Fuer Wiederaufbau AG #3.750%, 01/28/09 15,560 2,174,701 @3.500%, 04/17/09 29,000 36,938,422 ^ Landesbank Baden-Wuerttemberg FoerderBank 4.500%, 01/26/09 19,800 16,293,324 ^ Landwirtschaftliche RentenBank 4.250%, 09/01/09 50,100 41,031,549 --------------- TOTAL -- GERMANY (Cost $127,888,528) 124,120,953 ---------------
33
FACE AMOUNT VALUE+ --------------- --------------- (000) FRANCE -- (8.2%) BONDS -- (8.2%) Dexia Credit Local 5.500%, 01/21/09 $ 20,115 $ 21,113,207 @ERAP 3.750%, 04/25/10 14,200 18,285,610 @French Republic 3.000%, 01/12/10 28,000 35,012,163 Total Capital SA 3.500%, 01/05/09 30,900 30,375,658 @UNEDIC 3.000%, 02/02/10 10,000 12,476,127 --------------- TOTAL -- FRANCE (Cost $121,210,022) 117,262,765 --------------- NETHERLANDS -- (7.8%) BONDS -- (7.8%) Bank Nederlandse Gemeenten NV 4.375%, 09/15/09 15,000 15,187,005 @Dutch Government Bond 3.000%, 01/15/10 32,000 40,025,399 Nederlandse Waterschapsbank NV 2.750%, 12/30/08 19,300 18,514,027 ^Rabobank 4.250%, 01/05/09 47,200 38,472,512 --------------- TOTAL -- NETHERLANDS (Cost $114,995,012) 112,198,943 --------------- SWEDEN -- (6.7%) BONDS -- (6.7%) Kommuninvest I Sverige AB #4.100%, 05/11/09 156,000 22,049,881 4.000%, 01/21/10 10,000 9,990,450 #Stockholm, Sweden 3.375%, 03/08/10 178,000 24,594,522 #Swedish Government 4.000%, 12/01/09 277,000 39,378,117 --------------- TOTAL BONDS (Cost $101,229,465) 96,012,970 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona (Cost $703,044) 695,396 --------------- TOTAL -- SWEDEN (Cost $101,932,509) 96,708,366 --------------- UNITED KINGDOM -- (2.8%) BONDS (2.8%) @Network Rail Finance P.L.C. 3.125%, 03/30/09 (Cost $41,539,716) 32,000 40,157,477 --------------- AUSTRIA -- (2.7%) BONDS -- (2.7%) @Asfinag 3.250%, 10/19/09 (Cost $40,349,337) $ 30,700 $ 38,738,010 --------------- NORWAY -- (2.4%) BONDS -- (2.4%) Eksportfinans ASA 4.375%, 07/15/09 (Cost $34,326,502) 34,000 34,334,118 --------------- SPAIN -- (2.3%) BONDS -- (2.3%) Institut de Credito Oficial 3.875%, 07/15/09 (Cost $32,819,215) 33,045 32,964,436 --------------- FINLAND -- (2.2%) BONDS -- (2.2%) Republic of Finland 3.250%, 05/15/09 (Cost $31,752,973) 32,700 32,087,725 --------------- EMU -- (0.3%) INVESTMENT IN CURRENCY -- (0.3%) *Euro Currency (Cost $4,735,333) 4,631,804 --------------- TEMPORARY CASH INVESTMENTS -- (1.1%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $15,773,000 FNMA Notes 2.95%, 11/14/07, valued at $15,753,284) to be repurchased at $15,521,246 (Cost $15,520,000) 15,520 15,520,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,459,798,908) $ 1,439,692,111 ===============
- ---------- + See Note B to Financial Statements. ^ Denominated in Canadian Dollars. @ Denominated in Euro Currency. # Denominated in Swedish Krona. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 34 DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
FACE AMOUNT VALUE+ --------------- --------------- (000) U.S. TREASURY OBLIGATIONS -- (33.7%) U.S. Treasury Bonds 11.250%, 02/15/15 $ 5,000 $ 7,875,000 10.625%, 08/15/15 6,000 9,266,483 9.875%, 11/15/15 6,000 8,931,564 9.250%, 02/15/16 9,000 12,981,798 7.250%, 05/15/16 6,000 7,639,920 7.500%, 11/15/16 4,000 5,211,720 9.000%, 11/15/18 8,200 12,176,041 U.S. Treasury Notes 5.625%, 05/15/08 7,000 7,385,546 5.500%, 05/15/09 5,000 5,334,375 6.000%, 08/15/09 8,000 8,702,496 6.500%, 02/15/10 6,600 7,373,441 5.750%, 08/15/10 3,600 3,934,123 5.000%, 02/15/11 16,700 17,737,220 5.000%, 08/15/11 17,000 18,112,310 4.875%, 02/15/12 3,000 3,185,625 3.875%, 02/15/13 10,300 10,305,634 --------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $139,245,969) 146,153,296 --------------- AGENCY OBLIGATIONS -- (65.6%) Federal Farm Credit Bank 6.450%, 10/07/09 2,000 2,193,534 7.160%, 05/19/10 3,000 3,412,149 4.180%, 09/22/10 7,000 7,024,493 6.700%, 11/22/10 2,000 2,254,942 6.135%, 12/13/10 4,000 4,394,516 5.750%, 01/18/11 9,000 9,739,062 6.000%, 03/07/11 9,000 9,849,681 6.740%, 04/11/11 1,000 1,133,521 4.800%, 05/24/11 3,300 3,411,072 6.300%, 06/06/11 2,800 3,126,774 4.250%, 07/11/11 10,000 10,043,750 4.300%, 11/23/11 5,500 5,532,835 6.260%, 12/02/11 2,000 2,232,884 4.500%, 03/14/12 3,000 3,049,818 4.480%, 08/24/12 4,000 4,059,760 6.280%, 11/26/12 3,000 3,388,071 4.150%, 05/15/13 4,000 3,970,852 3.880%, 07/08/13 4,000 3,894,956 8.160%, 09/30/14 3,615 4,666,028 4.700%, 12/10/14 4,000 4,109,316 4.375%, 02/17/15 6,000 6,008,682 Federal Home Loan Bank 6.045%, 05/22/08 1,000 1,061,519 5.945%, 07/28/08 6,000 6,370,182 5.915%, 08/25/08 $ 3,000 $ 3,186,057 5.800%, 09/02/08 3,000 3,172,770 5.550%, 11/17/08 5,000 5,269,915 5.315%, 12/23/08 10,000 10,475,260 5.545%, 02/17/09 3,000 3,172,107 5.950%, 03/16/09 5,550 5,954,800 5.863%, 04/22/09 9,000 9,643,293 6.730%, 06/22/09 2,500 2,768,213 6.500%, 08/14/09 3,000 3,283,785 6.500%, 11/13/09 9,000 9,911,169 3.875%, 02/12/10 3,000 2,980,338 7.375%, 02/12/10 2,080 2,373,110 7.625%, 05/14/10 3,020 3,502,484 4.125%, 08/13/10 9,000 8,989,893 6.625%, 11/15/10 1,000 1,119,631 4.500%, 05/13/11 2,045 2,081,773 7.200%, 06/14/11 3,000 3,499,623 5.750%, 08/15/11 8,000 8,668,776 5.750%, 05/15/12 16,300 17,831,352 4.500%, 11/15/12 8,000 8,164,760 3.875%, 06/14/13 3,600 3,531,406 4.500%, 09/16/13 11,000 11,207,350 5.250%, 06/18/14 14,000 14,974,904 4.500%, 11/14/14 4,000 4,046,560 Tennessee Valley Authority 5.375%, 11/13/08 8,000 8,364,104 5.625%, 01/18/11 11,000 11,775,775 6.000%, 03/15/13 9,000 10,048,968 --------------- TOTAL AGENCY OBLIGATIONS (Cost $271,774,185) 284,926,573 --------------- TEMPORARY CASH INVESTMENTS -- (0.7%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $2,910,000 FHLMC Notes 4.00%, 09/22/09, valued at $2,913,638) to be repurchased at $2,870,230 (Cost $2,870,000) 2,870 2,870,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $413,890,154) $ 433,949,869 ===============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 35 DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
FACE AMOUNT VALUE+ --------------- --------------- (000) MUNICIPAL BONDS -- (65.3%) ALABAMA -- (2.2%) Alabama State Department of Dock Facilities Revenue Bonds 6.000%, 10/01/08 $ 1,000 $ 1,092,960 Alabama State Federal Highway Finance Authority Series A 5.000%, 03/01/09 4,000 4,270,920 Alabama Water Pollution Control Authority Revenue Bonds 5.000%, 08/15/08 2,160 2,291,458 City of Huntsville, Alabama General Obligations 4.500%, 08/01/07 1,000 1,032,820 Jefferson County, Alabama Series A General Obligations 5.000%, 04/01/08 1,300 1,370,291 --------------- TOTAL -- ALABAMA (Cost $10,226,944) 10,058,449 --------------- ARIZONA -- (1.5%) Arizona State Transportation Board Revenue Bonds 5.250%, 07/01/08 3,000 3,207,000 City of Scottsdale, Arizona General Obligations 5.000%, 07/01/08 2,250 2,386,755 Pima County, Arizona General Obligations 5.100%, 07/01/07 1,000 1,045,060 --------------- TOTAL -- ARIZONA (Cost $6,691,628) 6,638,815 --------------- ARKANSAS -- (1.6%) Fort Smith, Arkansas Water & Sewer Redevelopment 5.000%, 10/01/09 2,850 3,067,626 State of Arkansas General Obligations 5.500%, 08/01/09 3,885 4,255,746 --------------- TOTAL -- ARKANSAS (Cost $7,393,869) 7,323,372 --------------- COLORADO -- (0.2%) Jefferson County, Colorado School District General Obligations 5.500%, 12/15/06 (Cost $1,046,380) 1,000 1,039,930 --------------- CONNECTICUT -- (3.9%) City of Stamford, Connecticut General Obligations 5.000%, 07/15/09 2,000 2,159,400 Connecticut State General Obligations 5.000%, 12/15/09 4,000 4,320,840 Connecticut State Special Obligation Rate Reduction 5.000%, 06/30/09 5,000 5,368,850 State of Connecticut Health Education Refunding Bonds 4.500%, 03/15/09 $ 5,600 $ 5,902,176 --------------- TOTAL -- CONNECTICUT (Cost $17,972,158) 17,751,266 --------------- DELAWARE -- (0.5%) Delaware Transportation Authority Series B Revenue Bonds 5.250%, 07/01/07 1,000 1,048,270 State of Delaware Series B General Obligations 5.000%, 05/01/07 1,000 1,040,830 --------------- TOTAL -- DELAWARE (Cost $2,094,262) 2,089,100 --------------- FLORIDA -- (2.8%) Florida State Board of Education Series C General Obligations 4.000%, 06/01/09 4,000 4,146,480 Florida State Board of Education Series H General Obligations 5.000%, 06/01/08 2,000 2,117,860 Gainesville, Florida Utility System Revenue Bonds 5.000%, 10/01/09 4,000 4,310,480 Jacksonville, Florida Excise Taxes Revenue Bonds 5.250%, 10/01/07 1,000 1,053,410 Tallahassee, Florida Energy Systems 2.750%, 10/01/05 1,000 999,990 --------------- TOTAL -- FLORIDA (Cost $12,872,890) 12,628,220 --------------- GEORGIA -- (1.9%) State of Georgia Finance & Investment Committee 5.750%, 09/01/07 1,000 1,063,020 State of Georgia General Obligations 5.250%, 08/01/07 1,000 1,050,350 6.700%, 08/01/08 2,000 2,227,240 6.250%, 04/01/09 2,000 2,235,600 5.800%, 11/01/09 2,010 2,239,964 --------------- TOTAL -- GEORGIA (Cost $8,877,355) 8,816,174 --------------- HAWAII -- (0.9%) Honolulu, Hawaii General Obligations 5.000%, 03/01/10 2,000 2,164,540 State of Hawaii General Obligations 5.000%, 04/01/08 2,000 2,109,820 --------------- TOTAL -- HAWAII (Cost $4,291,594) 4,274,360 ---------------
36
FACE AMOUNT VALUE+ --------------- --------------- (000) ILLINOIS -- (2.8%) Central Lake County, Illinois General Obligations 6.000%, 02/01/08 $ 1,000 $ 1,075,340 Chicago Metropolitan Water Reclamation District General Obligations 5.500%, 12/01/08 2,000 2,163,320 Chicago, Illinois Public Building Commission Revenue Bonds 5.000%, 03/01/08 1,000 1,051,460 Chicago, Illinois Tax Increment 5.500%, 01/01/07 970 1,008,907 Du Page, Cook & Will Counties Community College District General Obligations 5.000%, 06/01/08 2,175 2,299,323 Du Page, Illinois Water Commission General Obligations 5.000%, 03/01/07 1,000 1,036,290 State of Illinois First Series General Obligations 5.250%, 04/01/07 600 625,008 State of Illinois General Obligations 5.500%, 04/01/09 3,000 3,263,520 --------------- TOTAL -- ILLINOIS (Cost $12,696,487) 12,523,168 --------------- INDIANA -- (0.9%) Indianapolis, Indiana Local Improvement Revenue Bonds 6.500%, 01/01/08 1,000 1,084,620 Ivy Technical State College Revenue Bonds 5.000%, 07/01/08 1,000 1,058,060 Logansport Multi-Purpose School Building Corp. Revenue Bonds 4.250%, 07/05/08 1,000 1,036,290 Valparaiso, Indiana School Building Corp. 4.500%, 01/05/07 1,000 1,024,020 --------------- TOTAL -- INDIANA (Cost $4,246,037) 4,202,990 --------------- IOWA -- (0.9%) Des Moines, Iowa General Obligations 5.000%, 06/01/09 (Cost $3,918,966) 3,680 3,943,635 --------------- KANSAS -- (0.7%) Johnson County, Kansas General Obligations 5.250%, 09/01/07 1,000 1,052,000 Kansas State Development Finance Authority Revenue Bonds 5.000%, 10/01/07 1,000 1,047,590 Wyandotte County, Kansas City, Kansas 5.000%, 09/01/07 1,000 1,045,940 --------------- TOTAL -- KANSAS (Cost $3,148,181) 3,145,530 --------------- KENTUCKY -- (0.7%) Kentucky State Turnpike Authority Revenue Bonds 5.500%, 07/01/08 (Cost $3,274,721) $ 3,000 $ 3,221,610 --------------- LOUISIANA -- (0.9%) Calcasieu Parish, Louisiana General Obligations 4.600%, 08/15/06 700 714,077 New Orleans, Louisiana Certificates of Indebtedness General Obligations 5.000%, 03/01/08 1,000 1,049,840 Shreveport, Louisiana Series A Certificates of Indebtedness 5.000%, 10/01/07 1,000 1,046,900 St. Tammany Parish, Louisiana 6.000%, 04/01/07 1,000 1,054,380 --------------- TOTAL -- LOUISIANA (Cost $3,888,667) 3,865,197 --------------- MARYLAND -- (1.9%) State of Maryland General Obligations 5.000%, 07/15/08 2,000 2,127,920 State of Maryland General Obligations 5.250%, 02/01/09 5,000 5,406,950 Washington Suburban Sanitation District General Obligations 5.250%, 06/01/08 1,000 1,069,610 --------------- TOTAL -- MARYLAND (Cost $8,608,259) 8,604,480 --------------- MASSACHUSETTS -- (0.7%) Boston, Massachusetts Series A General Obligations 5.000%, 02/01/08 1,000 1,052,580 State of Massachusetts Series C General Obligations 5.250%, 12/01/07 2,000 2,109,340 --------------- TOTAL -- MASSACHUSETTS (Cost $3,189,488) 3,161,920 --------------- MICHIGAN -- (1.9%) Detroit, Michigan City School District Series B General Obligations 4.500%, 05/01/08 1,000 1,044,050 Fraser Public School District General Obligations 5.150%, 05/01/08 1,000 1,062,060 Michigan Municipal Bond Authority Revenue Bonds 5.250%, 10/01/07 1,000 1,054,110 5.250%, 10/01/08 3,000 3,222,000 Michigan State Comprehensive Transportation Series A Revenue Bonds 5.750%, 05/15/07 1,000 1,054,220 Wayne County, Michigan Community College General Obligations 5.000%, 07/01/07 1,000 1,043,880 --------------- TOTAL -- MICHIGAN (Cost $8,575,704) 8,480,320 ---------------
37
FACE AMOUNT VALUE+ --------------- --------------- (000) MINNESOTA -- (1.3%) Metropolitan Council of Minneapolis and St. Paul General Obligations 4.000%, 02/01/08 $ 1,200 $ 1,234,464 State of Minnesota General Obligations 6.000%, 08/01/05 1,000 1,005,110 5.000%, 11/01/07 1,000 1,050,450 5.000%, 08/01/09 2,600 2,805,062 --------------- TOTAL -- MINNESOTA (Cost $6,099,991) 6,095,086 --------------- MISSISSIPPI -- (1.2%) Rankin County, Mississippi School District 4.500%, 02/01/07 1,000 1,027,210 State of Mississippi General Obligations 5.000%, 10/01/09 4,000 4,308,800 --------------- TOTAL -- MISSISSIPPI (Cost $5,330,594) 5,336,010 --------------- MISSOURI -- (0.7%) State of Missouri General Obligations 5.000%, 08/01/08 (Cost $3,238,552) 3,000 3,193,560 --------------- NEVADA -- (2.0%) Clark County, Nevada School District General Obligations 4.000%, 06/01/09 3,540 3,665,564 Las Vegas, Nevada Valley Water Distribution Series B 5.250%, 06/01/09 2,830 3,062,484 State of Nevada General Obligations 5.375%, 10/01/08 2,100 2,258,823 --------------- TOTAL -- NEVADA (Cost $9,134,775) 8,986,871 --------------- NEW HAMPSHIRE -- (0.2%) New Hampshire State Turnpike Systems Revenue Bonds 5.000%, 10/01/06 (Cost $1,033,492) 1,000 1,028,570 --------------- NEW JERSEY -- (1.7%) New Jersey State Transportation Trust Fund Authority 5.375%, 12/15/07 1,000 1,061,030 5.250%, 12/15/09 6,130 6,675,202 --------------- TOTAL -- NEW JERSEY (Cost $7,831,690) 7,736,232 --------------- NEW MEXICO -- (0.4%) New Mexico State Severance Tax Series 5.000%, 07/01/07 550 573,677 5.000%, 07/01/07 1,000 1,042,850 --------------- TOTAL -- NEW MEXICO (Cost $1,621,921) 1,616,527 --------------- NEW YORK -- (2.1%) Long Island Power Authority Series A Revenue Bonds 5.250%, 12/01/05 $ 1,000 $ 1,012,690 Municipal Assistance Corp. for the City of New York 6.000%, 07/01/07 1,000 1,064,130 Nassau County, New York Interim Finance Authority 5.000%, 11/15/09 3,415 3,693,049 New York State Thruway Authority 5.000%, 04/01/09 3,500 3,753,820 --------------- TOTAL -- NEW YORK (Cost $9,663,568) 9,523,689 --------------- NORTH CAROLINA -- (2.1%) Durham County, North Carolina General Obligations 5.500%, 04/01/09 3,000 3,278,250 North Carolina State Public Improvements General Obligations 5.500%, 03/01/08 1,000 1,069,710 State of North Carolina General Obligations 5.000%, 03/01/09 4,000 4,292,920 University of North Carolina Revenue Bonds 5.000%, 04/01/08 1,000 1,057,700 --------------- TOTAL -- NORTH CAROLINA (Cost $9,755,300) 9,698,580 --------------- OHIO -- (2.8%) Franklin County, Ohio General Obligations 5.500%, 12/01/07 1,000 1,063,370 Ohio State Building Authority Revenue Bonds 5.500%, 10/01/08 1,500 1,619,835 Ohio State Higher Education Capital Facilities Revenue Bonds 5.000%, 12/01/08 5,000 5,332,850 Ohio State Higher Education Capital Facilities Series II Revenue Bonds 5.250%, 12/01/06 1,000 1,034,720 Ohio State Water Development Authority Revenue Bonds 5.000%, 06/01/08 2,500 2,647,325 State of Ohio Highway Improvement General Obligations 5.500%, 05/01/07 1,000 1,048,730 --------------- TOTAL -- OHIO (Cost $12,928,946) 12,746,830 --------------- OKLAHOMA -- (1.0%) Grand River Dam Authority of Oklahoma Revenue Bonds 5.750%, 06/01/08 (Cost $4,367,666) 4,000 4,323,520 ---------------
38
FACE AMOUNT VALUE+ --------------- --------------- (000) OREGON -- (2.1%) Oregon State Deparment of Transportation Revenue Bonds 5.000%, 11/15/06 $ 900 $ 927,279 Oregon State Department of Administrative Services Revenue Bonds 5.250%, 04/01/08 2,000 2,126,080 Salem-Keizer, Oregon School District General Obligations 5.000%, 06/15/09 6,055 6,511,729 --------------- TOTAL -- OREGON (Cost $9,503,429) 9,565,088 --------------- PENNSYLVANIA -- (1.9%) Allegheny County, Pennsylvania Sanitation Authority 5.000%, 12/01/07 1,000 1,051,170 Berks County, Pennsylvania General Obligations 6.350%, 11/15/07 1,500 1,621,140 Pennsylvania Intergovernmental Cooperative Authority Special Tax 5.000%, 06/15/08 1,000 1,060,250 Pittsburgh, Pennsylvania School District General Obligations 5.000%, 09/01/07 1,000 1,046,160 State of Pennsylvania General Obligations 5.000%, 01/15/07 650 671,489 5.000%, 10/01/09 2,950 3,186,413 --------------- TOTAL -- PENNSYLVANIA (Cost $8,700,917) 8,636,622 --------------- SOUTH CAROLINA -- (1.0%) Piedmont Municipal Power Agency Electric Revenue Bonds Series 1985B 6.125%, 01/01/07 1,000 1,049,990 Richland County, South Carolina General Obligations 5.000%, 02/01/10 1,500 1,624,785 State of South Carolina General Obligations 5.000%, 04/01/09 1,900 2,040,638 --------------- TOTAL -- SOUTH CAROLINA (Cost $4,694,462) 4,715,413 --------------- TENNESSEE -- (2.2%) Knox County, Tennessee General Obligations 4.500%, 04/01/08 2,000 2,082,880 Metro Government Nashville & Davidson Counties General Obligations 5.000%, 11/15/08 2,000 2,130,140 Metro Government of Nashville & Davidson Counties Series A Prerefunded General Obligations 5.250%, 10/15/07 790 832,881 Metro Government of Nashville & Davidson Counties Series B Unrefunded General Obligations 5.250%, 10/15/07 210 221,201 Shelby County, Tennessee General Obligations 5.000%, 04/01/09 $ 4,195 $ 4,488,272 --------------- TOTAL -- TENNESSEE (Cost $9,834,110) 9,755,374 --------------- TEXAS -- (4.5%) Austin, Texas Electric Utility Systems Revenue Bonds 5.000%, 11/15/05 1,000 1,009,750 Dallas, Texas Waterworks & Sewer System 5.250%, 10/01/08 3,000 3,212,130 Houston, Texas General Obligations 5.500%, 03/01/06 70 71,338 5.500%, 03/01/06 430 438,441 Lower Colorado River Authority Revenue Bonds 5.250%, 05/15/08 1,000 1,064,220 San Antonio, Texas Pre Refunded General Obligations 5.000%, 08/01/07 20 20,873 San Antonio, Texas Unrefunded General Obligations 5.000%, 08/01/07 980 1,022,140 State of Texas General Obligations 5.000%, 08/01/09 4,000 4,300,880 Texas A&M University Revenue Bond 5.000%, 05/15/09 4,000 4,281,960 Texas State University Systems Financing Revenue Bonds 5.000%, 03/15/09 2,245 2,400,197 Trinity River Authority Texas Regional Wastewater System Revenue Bond 5.500%, 08/01/08 2,200 2,363,900 --------------- TOTAL -- TEXAS (Cost $20,428,941) 20,185,829 --------------- UTAH -- (1.6%) Salt Lake City, Utah General Obligations 5.250%, 06/15/07 1,000 1,046,870 Salt Lake County, Utah Municipal Building Authority Lease Revenue Bonds 5.000%, 10/01/08 1,800 1,913,724 State of Utah General Obligations 4.000%, 07/01/08 3,000 3,099,120 Utah State Board of Regents Revenue Bonds 5.250%, 04/01/08 1,000 1,061,640 --------------- TOTAL -- UTAH (Cost $7,238,752) 7,121,354 --------------- VERMONT -- (0.2%) Vermont Public Power Supply Authority 4.000%, 07/01/07 (Cost $1,025,769) 1,000 1,022,820 --------------- VIRGINIA -- (4.9%) Arlington County, Virginia General Obligations 4.000%, 01/15/09 4,000 4,151,320
39
FACE AMOUNT VALUE+ --------------- --------------- (000) Fairfax Country, Virginia General Obligations 5.000%, 06/01/09 $ 3,465 $ 3,733,503 Richmond, Virginia General Obligations 5.000%, 07/15/07 1,000 1,045,720 Virginia Commonwealth Transportation Board Federal Highway Reimbursement Notes 5.000%, 10/01/09 5,000 5,396,500 Virginia State Public Building Authority 5.000%, 08/01/09 4,000 4,305,720 Virginia State Public School Authority 5.250%, 08/01/09 3,500 3,800,055 --------------- TOTAL -- VIRGINIA (Cost $22,538,182) 22,432,818 --------------- WASHINGTON -- (3.6%) Grant County, Washington Public Utility 5.000%, 01/01/10 2,000 2,154,760 King County, Washington Sewer Revenue Bonds 5.250%, 01/01/08 2,000 2,112,820 Seattle, Washington Drain & Wastewater Revenue Bonds 4.000%, 07/01/08 1,000 1,028,870 Seattle, Washington Light & Power Authority 4.000%, 08/01/09 5,940 6,147,009 Snohomish County, Washington School District Revenue Bonds 4.500%, 06/01/09 3,500 3,689,490 State of Washington General Obligations 5.500%, 09/01/07 1,000 1,054,940 --------------- TOTAL -- WASHINGTON (Cost $16,339,315) 16,187,889 --------------- WISCONSIN -- (0.9%) Muskego Norway, Wisconsin School District General Obligations 5.000%, 04/01/07 1,000 1,037,080 State of Wisconsin General Obligations 5.000%, 05/01/07 1,000 1,038,740 5.250%, 05/01/09 2,000 2,161,000 --------------- TOTAL -- WISCONSIN (Cost $4,234,949) 4,236,820 --------------- TOTAL MUNICIPAL BONDS (Cost $298,558,911) 295,914,038 --------------- TAX EXEMPT COMMERCIAL PAPER -- (33.6%) ARIZONA -- (3.2%) City of Mesa, Arizona Municipal Bonds 2.250%, 06/08/05 4,000 3,999,879 Salt River Project Agricultural Improvement 2.950%, 06/08/05 3,000 3,000,000 2.950%, 06/09/05 2,500 2,500,000 2.900%, 06/24/05 5,000 5,000,000 --------------- TOTAL -- ARIZONA (Cost $14,500,000) 14,499,879 --------------- CONNECTICUT -- (0.7%) State of Connecticut Health and Education 2.730%, 06/20/05 $ 1,000 $ 1,000,000 2.650%, 06/29/05 2,000 2,000,000 --------------- TOTAL-- CONNECTICUT (Cost $3,000,000) 3,000,000 --------------- FLORIDA -- (2.5%) City of Gainesville, Florida 2.950%, 06/13/05 5,000 5,000,000 2.900%, 06/16/05 6,500 6,500,000 --------------- TOTAL -- FLORIDA (Cost $11,500,000) 11,500,000 --------------- GEORGIA -- (2.4%) Burke County, Georgia Development Authority 2.600%, 06/02/05 (Cost $11,000,000) 11,000 11,000,000 --------------- MARYLAND -- (2.4%) Maryland Health & Higher Education 2.950%, 06/01/05 3,000 3,000,000 3.000%, 06/01/05 3,000 3,000,000 3.000%, 06/06/05 1,000 1,000,000 2.830%, 07/12/05 4,000 4,000,000 --------------- TOTAL -- MARYLAND (Cost $11,000,000) 11,000,000 --------------- MASSACHUSETTS -- (3.8%) Massachusetts Health & Education Facility 2.950%, 06/02/05 2,003 2,003,000 2.950%, 06/03/05 2,000 2,000,000 Massachusetts Port Authority 2.650%, 06/14/05 1,000 1,000,000 2.950%, 06/16/05 5,000 5,000,000 Massachusetts Water Resource 2.650%, 06/09/05 3,000 3,000,000 2.650%, 06/28/05 2,000 2,000,000 State of Massachusetts General Obligations 2.730%, 06/21/05 2,000 2,000,000 --------------- TOTAL -- MASSACHUSETTS (Cost $17,003,000) 17,003,000 --------------- NEBRASKA -- (1.8%) Omaha Public Power District 2.900%, 06/02/05 4,100 4,100,000 2.550%, 06/07/05 2,000 2,000,000 2.650%, 06/30/05 2,000 2,000,000 --------------- TOTAL -- NEBRASKA (Cost $8,100,000) 8,100,000 ---------------
40
FACE AMOUNT VALUE+ --------------- --------------- (000) NEW YORK -- (1.5%) Dormitory Authority of New York 2.950%, 06/14/05 $ 5,000 $ 5,000,000 New York State Environmental Quality General Obligations 2.980%, 06/03/05 2,000 2,000,000 --------------- TOTAL -- NEW YORK (Cost $7,000,000) 7,000,000 --------------- SOUTH CAROLINA -- (0.8%) South Carolina Public Service 2.600%, 06/03/05 1,750 1,750,000 2.750%, 06/22/05 2,000 2,000,000 --------------- TOTAL -- SOUTH CAROLINA (Cost $3,750,000) 3,750,000 --------------- TENNESSEE -- (1.2%) Tennessee State School Board Authority 2.900%, 06/01/05 2,400 2,400,000 2.770%, 07/08/05 2,790 2,790,000 --------------- TOTAL -- TENNESSEE (Cost $5,190,000) 5,190,000 --------------- TEXAS -- (11.6%) City of San Antonio, TX 3.000%, 06/03/05 2,100 2,100,000 City of San Antonio, TX Electric 2.770%, 07/11/05 5,000 5,000,000 Dallas Area Rapid Transit 2.600%, 06/06/05 1,000 1,000,000 2.650%, 06/10/05 9,000 9,000,000 Harris County, Texas General Obligations 2.900%, 06/23/05 1,500 1,500,000 Houston, Texas General Obligations 2.900%, 06/06/05 3,000 3,000,000 Plano, Texas Health Facility 2.950%, 06/06/05 2,500 2,500,000 2.750%, 06/07/05 2,000 2,000,000 Texas Public Finance Authority 2.950%, 06/15/05 9,359 9,359,000 Texas Tech University Board of Regents 2.850%, 07/13/05 $ 7,000 $ 7,000,000 University of Texas Board of Regents 2.900%, 06/09/05 10,000 10,000,000 --------------- TOTAL -- TEXAS (Cost $52,459,000) 52,459,000 --------------- UTAH -- (0.9%) Intermountain Power Agency 2.900%, 06/02/05 1,000 1,000,000 2.650%, 06/13/05 1,000 1,000,000 2.650%, 06/27/05 2,000 2,000,000 --------------- TOTAL -- UTAH (Cost $4,000,000) 4,000,000 --------------- VIRGINIA -- (0.6%) IDA of The City of Hampton, VA 2.950%, 06/17/05 (Cost $2,600,000) 2,600 2,600,000 --------------- WISCONSIN -- (0.2%) State of Wisconsin General Obligations 2.850%, 06/10/05 (Cost $1,095,000) 1,095 1,095,000 --------------- TOTAL TAX EXEMPT COMMERCIAL PAPER (Cost $152,197,000) 152,196,879 --------------- SHARES --------------- (000) TEMPORARY CASH INVESTMENTS--(1.1%) WT Investment Trust I- Money Market Series/ Tax-Exempt Series-- Investor Shares (Cost $5,116,781) 5,117 5,116,781 --------------- TOTAL INVESTMENTS--(100.0%) (Cost $455,872,692) $ 453,227,698 ===============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 41 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED)
U.S ENHANCED U.S. U.S. LARGE U.S. LARGE LARGE CAP SMALL XM COMPANY COMPANY VALUE VALUE PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ---------------- ---------------- ---------------- ---------------- ASSETS: Investments at Value $ 1,743,767 $ 270,757 $ 3,219,406 $ 152,837 Receivables for Fund Shares Sold 1,711 197 4,390 32 Prepaid Expenses and Other Assets 10 3 9 -- ---------------- ---------------- ---------------- ---------------- Total Assets 1,745,488 270,957 3,223,805 152,869 ---------------- ---------------- ---------------- ---------------- LIABILITIES: Payables: Investment Securities Purchased 1,397 92 3,867 -- Fund Shares Redeemed 314 105 523 32 Due to Advisor 99 33 390 37 Accrued Expenses and Other Liabilities 61 7 59 6 ---------------- ---------------- ---------------- ---------------- Total Liabilities 1,871 237 4,839 75 ---------------- ---------------- ---------------- ---------------- NET ASSETS $ 1,743,617 $ 270,720 $ 3,218,966 $ 152,794 ================ ================ ================ ================ SHARES OUTSTANDING $0.01 PAR VALUE 49,757,434 28,695,437 159,379,308 9,734,912 ================ ================ ================ ================ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 35.04 $ 9.43 $ 20.20 $ 15.70 ================ ================ ================ ================ Investments at Cost $ 1,446,524 $ 242,174 $ 2,447,819 $ 129,746 ================ ================ ================ ================ U.S. U.S. U.S. DFA SMALL CAP SMALL MICRO REAL ESTATE VALUE CAP CAP SECURITIES PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ---------------- ---------------- ---------------- ---------------- ASSETS: Investments at Value (including $0, $0, $0, and $44,394, of securities on loan, respectively) $ 6,072,492 $ 2,274,285 $ 3,335,636 $ 1,602,347 Receivables: Investment Securities Sold -- 52 77 499 Dividends and Interest -- -- -- 1,236 Securities Lending Income -- -- -- 15 Fund Shares Sold 8,044 1,231 1,603 1,145 Prepaid Expenses and Other Assets 49 32 23 45 ---------------- ---------------- ---------------- ---------------- Total Assets 6,080,585 2,275,600 3,337,339 1,605,287 ---------------- ---------------- ---------------- ---------------- LIABILITIES: Payables: Upon Return of Securities Loaned -- -- -- 45,337 Investment Securities Purchased 5,622 -- -- 13,648 Fund Shares Redeemed 2,422 1,283 1,680 2,217 Due to Advisor 1,464 590 1,077 379 Accrued Expenses and Other Liabilities 138 48 73 111 ---------------- ---------------- ---------------- ---------------- Total Liabilities 9,646 1,921 2,830 61,692 ---------------- ---------------- ---------------- ---------------- NET ASSETS $ 6,070,939 $ 2,273,679 $ 3,334,509 $ 1,543,595 ================ ================ ================ ================ SHARES OUTSTANDING $0.01 PAR VALUE 235,241,450 122,140,796 237,149,729 66,276,843 ================ ================ ================ ================ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 25.81 $ 18.62 $ 14.06 $ 23.29 ================ ================ ================ ================ Investments at Cost $ 4,489,022 $ 1,928,588 $ 2,456,163 $ 1,167,414 ================ ================ ================ ================
See accompanying Notes to Financial Statements. 42
INTERNATIONAL JAPANESE PACIFIC RIM LARGE CAP SMALL SMALL SMALL INTERNATIONAL COMPANY COMPANY COMPANY PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ---------------- ---------------- ---------------- ---------------- ASSETS: Investments at Value (including $152,394, $0, $0, and $0 of securities on loan, respectively) $ 1,109,524 $ 2,044,521 $ 108,577 $ 30,465 Cash 15 15 -- -- Receivables: Dividends, Interest, and Tax Reclaims 3,694 1 -- -- Securities Lending Income 188 -- -- -- Fund Shares Sold 1,053 3,076 -- 126 Prepaid Expenses and Other Assets 50 13 13 3 ---------------- ---------------- ---------------- ---------------- Total Assets 1,114,524 2,047,626 108,590 30,594 ---------------- ---------------- ---------------- ---------------- LIABILITIES: Payables: Upon Return of Securities Loaned 161,396 -- -- -- Investment Securities Purchased 9 5,000 -- 126 Fund Shares Redeemed 696 400 -- -- Due to Advisor 198 677 36 8 Accrued Expenses and Other Liabilities 128 43 8 4 ---------------- ---------------- ---------------- ---------------- Total Liabilities 162,427 6,120 44 138 ---------------- ---------------- ---------------- ---------------- NET ASSETS $ 952,097 $ 2,041,506 $ 108,546 $ 30,456 ================ ================ ================ ================ SHARES OUTSTANDING $0.01 PAR VALUE 54,801,864 141,298,553 7,231,561 2,182,675 ================ ================ ================ ================ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 17.37 $ 14.45 $ 15.01 $ 13.95 ================ ================ ================ ================ Investments at Cost $ 1,000,237 $ 1,569,660 $ 217,988 $ 57,857 ================ ================ ================ ================ DFA UNITED CONTINENTAL INTERNATIONAL KINGDOM SMALL SMALL CAP EMERGING SMALL COMPANY COMPANY VALUE MARKETS PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ---------------- ---------------- ---------------- ---------------- ASSETS: Investments at Value (including $0, $0, $518,086, and $0, of securities on loan respectively) $ 16,933 $ 45,600 $ 3,761,315 $ 1,367,075 Cash -- -- 15 -- Receivables: Investment Securities Sold -- -- 7,732 -- Dividends, Interest, and Tax Reclaims -- -- 12,084 -- Securities Lending Income -- -- 630 -- Fund Shares Sold -- -- 29,733 713 Prepaid Expenses and Other Assets 6 4 102 15 ---------------- ---------------- ---------------- ---------------- Total Assets 16,939 45,604 3,811,611 1,367,803 ---------------- ---------------- ---------------- ---------------- LIABILITIES: Payables: Upon Return of Securities Loaned -- -- 558,650 -- Investment Securities Purchased -- -- 27,769 570 Fund Shares Redeemed -- -- 1,095 143 Due to Advisor 3 13 1,707 447 Accrued Expenses and Other Liabilities 3 5 288 24 ---------------- ---------------- ---------------- ---------------- Total Liabilities 6 18 589,509 1,184 ---------------- ---------------- ---------------- ---------------- NET ASSETS $ 16,933 $ 45,586 $ 3,222,102 $ 1,366,619 ================ ================ ================ ================ SHARES OUTSTANDING $0.01 PAR VALUE 743,093 3,153,757 203,152,072 81,825,526 ================ ================ ================ ================ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 22.79 $ 14.45 $ 15.86 $ 16.70 ================ ================ ================ ================ Investments at Cost $ 10,490 $ 29,921 $ 3,096,530 $ 970,497 ================ ================ ================ ================
See accompanying Notes to Financial Statements. 43
DFA EMERGING EMERGING DFA TWO-YEAR MARKETS MARKETS ONE-YEAR GLOBAL SMALL CAP CORE EQUITY FIXED INCOME FIXED INCOME PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ---------------- ---------------- ---------------- ---------------- ASSETS: Investments at Value $ 289,020 $ 55,334 $ 2,091,914 $ 1,832,891 Cash -- 15 -- -- Receivables: Investment Securities Sold -- -- 6,527 -- Dividends and Interest -- 226 -- -- Fund Shares Sold 435 1,410 2,411 2,466 Prepaid Expenses and Other Assets -- 1 15 8 ---------------- ---------------- ---------------- ---------------- Total Assets 289,455 56,986 2,100,867 1,835,365 ---------------- ---------------- ---------------- ---------------- LIABILITIES: Payables: Investment Securities Purchased 386 2,345 -- 2,112 Fund Shares Redeemed 49 -- 8,938 354 Due to Advisor 106 -- 176 152 Deferred Thailand Capital Gains Tax -- 6 -- -- Accrued Expenses and Other Liabilities 8 31 60 48 ---------------- ---------------- ---------------- ---------------- Total Liabilities 549 2,382 9,174 2,666 ---------------- ---------------- ---------------- ---------------- NET ASSETS $ 288,906 $ 54,604 $ 2,091,693 $ 1,832,699 ================ ================ ================ ================ SHARES OUTSTANDING $0.01 PAR VALUE 25,166,073 5,618,694 205,300,077 184,570,561 ================ ================ ================ ================ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 11.48 $ 9.72 $ 10.19 $ 9.93 ================ ================ ================ ================ Investments at Cost $ 244,084 $ 56,428 $ 2,090,344 $ 1,836,200 ================ ================ ================ ================ DFA DFA DFA FIVE-YEAR INTERMEDIATE DFA FIVE-YEAR GLOBAL GOVERNMENT SHORT-TERM GOVERNMENT FIXED INCOME FIXED INCOME MUNICIPAL BOND PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ---------------- ---------------- ---------------- ---------------- ASSETS: Investments at Value $ 655,393 $ 1,439,692 $ 433,950 $ 453,228 Cash 1 15 -- -- Receivables: Dividends and Interest 4,886 19,660 5,040 4,523 Fund Shares Sold 705 1,266 256 452 Unrealized Gain on Forward Currency Contracts -- 16,408 -- -- Prepaid Expenses and Other Assets 2 14 -- 16 ---------------- ---------------- ---------------- ---------------- Total Assets 660,987 1,477,055 439,246 458,219 ---------------- ---------------- ---------------- ---------------- LIABILITIES: Payables: Investment Securities Purchased -- 10,857 -- -- Fund Shares Redeemed 78 597 20 288 Due to Advisor 108 299 36 80 Accrued Expenses and Other Liabilities 42 124 35 48 ---------------- ---------------- ---------------- ---------------- Total Liabilities 228 11,877 91 416 ---------------- ---------------- ---------------- ---------------- NET ASSETS $ 660,759 $ 1,465,178 $ 439,155 $ 457,803 ================ ================ ================ ================ SHARES OUTSTANDING $0.01 PAR VALUE 62,186,528 137,666,845 37,046,532 45,585,842 ================ ================ ================ ================ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.63 $ 10.64 $ 11.85 $ 10.04 ================ ================ ================ ================ Investments at Cost $ 660,968 $ 1,459,799 $ 413,890 $ 455,873 ================ ================ ================ ================
See accompanying Notes to Financial Statements. 44 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED)
U.S ENHANCED U.S. U.S. LARGE U.S. LARGE LARGE CAP SMALL XM COMPANY COMPANY VALUE VALUE PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------- ------------- ------------- ------------- INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company -- $ 2,636 $ 17,615 $ 1,398 Dividends $ 14,087 -- -- -- Interest 441 -- -- -- Income from Securities Lending 41 -- -- -- Expenses Allocated from Master Funds (408) -- -- -- ------------- ------------- ------------- ------------- Total Investment Income 14,161 2,636 17,615 1,398 ------------- ------------- ------------- ------------- EXPENSES Administrative Services 1,711 183 2,180 232 Accounting & Transfer Agent Fees 167 7 26 6 Legal Fees 8 1 14 1 Audit Fees 2 1 3 1 Filing Fees 35 17 34 19 Shareholders' Reports 9 1 14 1 Directors' Fees and Expenses 6 1 11 1 Other 2 -- 2 -- ------------- ------------- ------------- ------------- Total Expenses 1,940 211 2,284 261 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C) (1,158) -- -- -- ------------- ------------- ------------- ------------- Net Expenses 782 211 2,284 261 ------------- ------------- ------------- ------------- NET INVESTMENT INCOME (LOSS) 13,379 2,425 15,331 1,137 ------------- ------------- ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from The DFA Investment Trust Company -- -- 2,658 18,636 Net Realized Gain (Loss) on Investment Securities Sold (7,292) (58) (75) (834) Net Realized Gain (Loss) on Futures 820 -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities 30,567 2,658 119,466 (17,663) Futures (522) -- -- -- ------------- ------------- ------------- ------------- NET GAIN (LOSS) 23,573 2,600 122,049 139 ------------- ------------- ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 36,952 $ 5,025 $ 137,380 $ 1,276 ============= ============= ============= =============
See accompanying Notes to Financial Statements. 45
U.S. U.S. U.S. DFA SMALL CAP SMALL MICRO REAL ESTATE VALUE CAP CAP SECURITIES PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------- ------------- ------------- ------------- INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company $ 32,889 $ 9,343 $ 10,038 -- Dividends -- -- -- $ 30,936 Interest -- -- -- 163 Income from Securities Lending -- -- -- 66 ------------- ------------- ------------- ------------- Total Investment Income 32,889 9,343 10,038 31,165 ------------- ------------- ------------- ------------- EXPENSES Investment Advisory Services -- -- -- 2,081 Administrative Services 8,876 3,566 6,524 -- Accounting & Transfer Agent Fees 29 13 16 317 Custodian Fees -- -- -- 66 Legal Fees 33 9 19 7 Audit Fees 6 3 3 20 Filing Fees 49 19 29 33 Shareholders' Reports 33 10 18 8 Directors' Fees and Expenses 24 8 14 5 Other 10 2 6 9 ------------- ------------- ------------- ------------- Total Expenses 9,060 3,630 6,629 2,546 ------------- ------------- ------------- ------------- NET INVESTMENT INCOME (LOSS) 23,829 5,713 3,409 28,619 ------------- ------------- ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from The DFA Investment Trust Company 533,322 104,187 267,454 -- Net Realized Gain (Loss) on Investment Securities Sold (8,945) (5,822) (2,849) 6,660 Change in Unrealized Appreciation (Depreciation) of Investment Securities (579,635) (142,032) (356,906) 60,382 ------------- ------------- ------------- ------------- NET GAIN (LOSS) (55,258) (43,667) (92,301) 67,042 ------------- ------------- ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (31,429) $ (37,954) $ (88,892) $ 95,661 ============= ============= ============= =============
See accompanying Notes to Financial Statements. 46
INTERNATIONAL JAPANESE PACIFIC RIM LARGE CAP SMALL SMALL SMALL INTERNATIONAL COMPANY COMPANY COMPANY PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------- ------------- ------------- ------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $1,378, $2,200, $64, and $15, respectively) $ 15,080 $ 26,292 $ 848 $ 574 Interest 112 240 10 4 Income from Securities Lending 536 2,574 227 32 Expenses Allocated from Master Funds -- (2,353) (110) (42) ------------- ------------- ------------- ------------- Total Investment Income 15,728 26,753 975 568 ------------- ------------- ------------- ------------- EXPENSES Investment Advisory Services 1,144 -- -- -- Administrative Services -- 3,878 194 61 Accounting & Transfer Agent Fees 359 18 16 16 Custodian Fees 150 -- -- -- Legal Fees 6 12 -- -- Audit Fees 14 1 1 1 Filing Fees 19 31 11 9 Shareholders' Reports 5 16 -- -- Directors' Fees and Expenses 3 7 -- -- Other 19 3 1 -- ------------- ------------- ------------- ------------- Total Expenses 1,719 3,966 223 87 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C) -- -- -- (16) ------------- ------------- ------------- ------------- Net Expenses 1,719 3,966 223 71 ------------- ------------- ------------- ------------- NET INVESTMENT INCOME (LOSS) 14,009 22,787 752 497 ------------- ------------- ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 1,972 26,647 (210) (150) Net Realized Gain (Loss) on Foreign Currency Transactions (71) (151) (3) 4 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (5,794) 38,474 6,224 (1,215) Translation of Foreign Currency Denominated Amounts (157) (285) (24) (1) ------------- ------------- ------------- ------------- NET GAIN (LOSS) (4,050) 64,685 5,987 (1,362) ------------- ------------- ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 9,959 $ 87,472 $ 6,739 $ (865) ============= ============= ============= =============
See accompanying Notes to Financial Statements. 47
DFA UNITED CONTINENTAL INTERNATIONAL KINGDOM SMALL SMALL CAP EMERGING SMALL COMPANY COMPANY VALUE MARKETS PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------- ------------- ------------- ------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $103, $4,247, and $2,648, respectively) $ 243 $ 635 $ 49,195 $ 24,470 Interest 2 4 475 117 Income from Securities Lending 2 51 2,979 -- Expenses Allocated from Master Funds (20) (49) -- (1,771) ------------- ------------- ------------- ------------- Total Investment Income 227 641 52,649 22,816 ------------- ------------- ------------- ------------- EXPENSES Investment Advisory Services -- -- 9,238 -- Administrative Services 34 80 -- 2,560 Accounting & Transfer Agent Fees 16 16 610 34 Custodian Fees -- -- 635 -- Legal Fees -- -- 14 8 Audit Fees 1 1 32 1 Filing Fees 8 12 42 22 Shareholders' Reports -- -- 12 8 Directors' Fees and Expenses -- -- 8 4 Other -- -- 31 3 ------------- ------------- ------------- ------------- Total Expenses 59 109 10,622 2,640 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C) (19) (15) -- -- ------------- ------------- ------------- ------------- Net Expenses 40 94 10,622 2,640 ------------- ------------- ------------- ------------- NET INVESTMENT INCOME (LOSS) 187 547 42,027 20,176 ------------- ------------- ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 351 855 64,514 9,739 Net Realized Gain (Loss) on Foreign Currency Transactions (2) (9) (404) (855) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (204) 995 77,650 60,488 Translation of Foreign Currency Denominated Amounts -- (5) (332) (24) Deferred Thailand Capital Gains Tax -- -- -- 109 ------------- ------------- ------------- ------------- NET GAIN (LOSS) 145 1,836 141,428 69,457 ------------- ------------- ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 332 $ 2,383 $ 183,455 $ 89,633 ============= ============= ============= =============
See accompanying Notes to Financial Statements. 48
DFA EMERGING EMERGING DFA TWO-YEAR MARKETS MARKETS ONE-YEAR GLOBAL SMALL CAP CORE EQUITY FIXED INCOME FIXED INCOME PORTFOLIO PORTFOLIO(1) PORTFOLIO PORTFOLIO ------------- ------------- ------------- ------------- INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company -- -- $ 24,673 $ 14,477 Dividends (Net of Foreign Taxes Withheld of $363, $31, $0, and $0, respectively) $ 4,529 $ 335 -- -- Interest 35 16 -- -- Expenses Allocated from Master Funds (603) -- -- -- ------------- ------------- ------------- ------------- Total Investment Income 3,961 351 24,673 14,477 ------------- ------------- ------------- ------------- EXPENSES Investment Advisory Services -- 30 -- -- Administrative Services 560 -- 1,003 872 Accounting & Transfer Agent Fees 16 7 12 11 Custodian Fees -- 48 -- -- Legal Fees 1 -- 12 10 Audit Fees 1 1 2 2 Filing Fees 17 -- 36 32 Shareholders' Reports 1 -- 15 11 Directors' Fees and Expenses 1 -- 9 7 Organizational Costs -- 18 -- -- Other 1 1 2 5 ------------- ------------- ------------- ------------- Total Expenses 598 105 1,091 950 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C) -- (30) -- -- ------------- ------------- ------------- ------------- Net Expenses 598 75 1,091 950 ------------- ------------- ------------- ------------- NET INVESTMENT INCOME (LOSS) 3,363 276 23,582 13,527 ------------- ------------- ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 2,218 (1) (2,158) (682) Net Realized Gain (Loss) on Foreign Currency Transactions (81) (27) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 2,436 (1,094) 773 3,080 Translation of Foreign Currency Denominated Amounts 6 32 -- -- Deferred Thailand Capital Gains Tax 92 (6) -- -- ------------- ------------- ------------- ------------- NET GAIN (LOSS) 4,671 (1,096) (1,385) 2,398 ------------- ------------- ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 8,034 $ (820) $ 22,197 $ 15,925 ============= ============= ============= =============
- ---------- (1) The Portfolio commenced operations on April 5, 2005. See accompanying Notes to Financial Statements. 49
DFA DFA DFA FIVE-YEAR INTERMEDIATE DFA FIVE-YEAR GLOBAL GOVERNMENT SHORT-TERM GOVERNMENT FIXED INCOME FIXED INCOME MUNICIPAL BOND PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------- ------------- ------------- -------------- INVESTMENT INCOME Interest $ 10,909 $ 24,377 $ 9,793 $ 5,056 ------------- ------------- ------------- -------------- Total Investment Income 10,909 24,377 9,793 5,056 ------------- ------------- ------------- -------------- EXPENSES Investment Advisory Services 599 1,643 204 424 Accounting & Transfer Agent Fees 83 348 63 133 Custodian Fees 26 71 18 18 Legal Fees 3 7 2 3 Audit Fees 10 23 7 6 Filing Fees 33 36 22 24 Shareholders' Reports 4 8 2 2 Directors' Fees and Expenses 2 6 2 2 Other 6 9 8 18 ------------- ------------- ------------- -------------- Total Expenses 766 2,151 328 630 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C) -- -- -- 4 ------------- ------------- ------------- -------------- Net Expenses 766 2,151 328 634 ------------- ------------- ------------- -------------- NET INVESTMENT INCOME (LOSS) 10,143 22,226 9,465 4,422 ------------- ------------- ------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold -- (4,707) 725 -- Net Realized Gain (Loss) on Foreign Currency Transactions -- 16,353 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (845) (23,924) 2,739 (2,126) Translation of Foreign Currency Denominated Amounts -- 19,080 -- -- ------------- ------------- ------------- -------------- NET GAIN (LOSS) (845) 6,802 3,464 (2,126) ------------- ------------- ------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 9,298 $ 29,028 $ 12,929 $ 2,296 ============= ============= ============= ==============
See accompanying Notes to Financial Statements. 50 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
U.S. LARGE ENHANCED COMPANY U.S. LARGE COMPANY PORTFOLIO PORTFOLIO -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 13,379 $ 23,743 $ 2,425 $ 1,667 Capital Gain Distributions Received from The DFA Investment Trust Company -- -- -- -- Net Realized Gain (Loss) on Investment Securities Sold (7,292) (998) (58) (1,264) Net Realized Gain (Loss) on Futures 820 3,229 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities 30,567 118,762 2,658 20,021 Futures (522) 378 -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 36,952 145,114 5,025 20,424 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (16,210) (17,869) (2,541) (1,883) Net Short-Term Gains -- -- -- -- Net Long-Term Gains -- -- -- -- ----------- ----------- ----------- ----------- Total Distributions (16,210) (17,869) (2,541) (1,883) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 362,567 443,844 66,443 90,004 Shares Issued in Lieu of Cash Distributions 15,581 17,160 2,512 1,863 Shares Redeemed (96,142) (164,645) (22,463) (30,153) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 282,006 296,359 46,492 61,714 ----------- ----------- ----------- ----------- Total Increase (Decrease) 302,748 423,604 48,976 80,255 NET ASSETS Beginning of Period 1,440,869 1,017,265 221,744 141,489 ----------- ----------- ----------- ----------- End of Period $ 1,743,617 $ 1,440,869 $ 270,720 $ 221,744 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 10,426 13,474 7,104 10,083 Shares Issued in Lieu of Cash Distributions 443 523 266 208 Shares Redeemed (2,762) (4,989) (2,382) (3,383) ----------- ----------- ----------- ----------- 8,107 9,008 4,988 6,908 =========== =========== =========== =========== U.S. LARGE U.S. SMALL CAP VALUE XM VALUE PORTFOLIO PORTFOLIO -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 15,331 $ 19,153 $ 1,137 $ 357 Capital Gain Distributions Received from The DFA Investment Trust Company 2,658 -- 18,636 11,499 Net Realized Gain (Loss) on Investment Securities Sold (75) (377) (834) (819) Net Realized Gain (Loss) on Futures -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities 119,466 400,873 (17,663) 20,899 Futures -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 137,380 419,649 1,276 31,936 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (16,507) (24,851) (1,206) (683) Net Short-Term Gains -- -- (7,739) (6,051) Net Long-Term Gains -- -- (5,689) (5,912) ----------- ----------- ----------- ----------- Total Distributions (16,507) (24,851) (14,634) (12,646) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 604,431 770,612 16,292 64,693 Shares Issued in Lieu of Cash Distributions 14,922 23,431 11,271 12,485 Shares Redeemed (151,621) (267,908) (20,736) (34,067) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 467,732 526,135 6,827 43,111 ----------- ----------- ----------- ----------- Total Increase (Decrease) 588,605 920,933 (6,531) 62,401 NET ASSETS Beginning of Period 2,630,361 1,709,428 159,325 96,924 ----------- ----------- ----------- ----------- End of Period $ 3,218,966 $ 2,630,361 $ 152,794 $ 159,325 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 30,479 43,662 1,031 4,309 Shares Issued in Lieu of Cash Distributions 751 1,343 720 893 Shares Redeemed (7,646) (15,122) (1,339) (2,282) ----------- ----------- ----------- ----------- 23,584 29,883 412 2,920 =========== =========== =========== ===========
See accompanying Notes to the Financial Statements. 51
U.S. SMALL CAP U.S. SMALL VALUE CAP PORTFOLIO PORTFOLIO -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 23,829 $ 2,120 $ 5,713 $ 3,415 Capital Gain Distributions Received from The DFA Investment Trust Company 533,322 331,592 104,187 494 Net Realized Gain (Loss) on Investment Securities Sold (8,945) (4,445) (5,822) (4,470) Change in Unrealized Appreciation (Depreciation) of Investment Securities (579,635) 866,604 (142,032) 260,305 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations (31,429) 1,195,871 (37,954) 259,744 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (27,111) (17,838) (7,402) (6,735) Net Short-Term Gains (63,661) (51,847) (17,174) (494) Net Long-Term Gains (284,230) (216,189) -- -- Return of Capital -- -- -- (1,515) ----------- ----------- ----------- ----------- Total Distributions (375,002) (285,874) (24,576) (8,744) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 805,931 1,376,124 341,616 1,056,150 Shares Issued in Lieu of Cash Distributions 357,211 277,491 23,851 8,415 Shares Redeemed (480,938) (978,193) (167,228) (311,622) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 682,204 675,422 198,239 752,943 ----------- ----------- ----------- ----------- Total Increase (Decrease) 275,773 1,585,419 135,709 1,003,943 NET ASSETS Beginning of Period 5,795,166 4,209,747 2,137,970 1,134,027 ----------- ----------- ----------- ----------- End of Period $ 6,070,939 $ 5,795,166 $ 2,273,679 $ 2,137,970 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 31,003 56,306 18,163 60,763 Shares Issued in Lieu of Cash Distributions 13,644 12,282 1,248 501 Shares Redeemed (18,542) (40,464) (9,031) (18,159) ----------- ----------- ----------- ----------- 26,105 28,124 10,380 43,105 =========== =========== =========== =========== U.S. MICRO DFA REAL ESTATE CAP SECURITIES PORTFOLIO PORTFOLIO -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 3,409 $ 1,747 $ 28,619 $ 36,046 Capital Gain Distributions Received from The DFA Investment Trust Company 267,454 57,526 -- -- Net Realized Gain (Loss) on Investment Securities Sold (2,849) 53,770 6,660 30,696 Change in Unrealized Appreciation (Depreciation) of Investment Securities (356,906) 332,087 60,382 205,195 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations (88,892) 445,130 95,661 271,937 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (6,241) (8,955) (38,190) (39,355) Net Short-Term Gains (50,345) (35,761) (3,262) (707) Net Long-Term Gains (76,559) (33,947) (28,712) (6,193) Return of Capital -- -- -- -- ----------- ----------- ----------- ----------- Total Distributions (133,145) (78,663) (70,164) (46,255) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 430,203 708,465 299,536 426,234 Shares Issued in Lieu of Cash Distributions 125,555 75,364 69,268 45,463 Shares Redeemed (213,732) (558,623) (159,604) (171,886) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 342,026 225,206 209,200 299,811 ----------- ----------- ----------- ----------- Total Increase (Decrease) 119,989 591,673 234,697 525,493 NET ASSETS Beginning of Period 3,214,520 2,622,847 1,308,898 783,405 ----------- ----------- ----------- ----------- End of Period $ 3,334,509 $ 3,214,520 $ 1,543,595 $ 1,308,898 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 30,050 51,580 13,534 21,487 Shares Issued in Lieu of Cash Distributions 8,542 5,771 3,065 2,448 Shares Redeemed (14,869) (40,560) (7,187) (8,746) ----------- ----------- ----------- ----------- 23,723 16,791 9,412 15,189 =========== =========== =========== ===========
See accompanying Notes to the Financial Statements. 52
LARGE CAP INTERNATIONAL INTERNATIONAL SMALL COMPANY PORTFOLIO PORTFOLIO -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 14,009 $ 14,084 $ 22,787 $ 23,252 Net Realized Gain (Loss) on Investment Securities Sold 1,972 2,103 26,647 41,764 Net Realized Gain (Loss) on Foreign Currency Transactions (71) (15) (151) 97 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (5,794) 119,249 38,474 286,938 Translation of Foreign Currency Denominated Amounts (157) 32 (285) 92 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 9,959 135,453 87,472 352,143 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (8,867) (20,560) (12,302) (32,182) Net Short-Term Gains -- -- (2,774) -- Net Long-Term Gains -- -- (37,025) -- ----------- ----------- ----------- ----------- Total Distributions (8,867) (20,560) (52,101) (32,182) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 155,809 291,666 415,375 540,048 Shares Issued in Lieu of Cash Distributions 8,367 19,638 49,957 31,815 Shares Redeemed (58,054) (85,437) (117,381) (143,527) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 106,122 225,867 347,951 428,336 ----------- ----------- ----------- ----------- Total Increase (Decrease) 107,214 340,760 383,322 748,297 NET ASSETS Beginning of Period 844,883 504,123 1,658,184 909,887 ----------- ----------- ----------- ----------- End of Period $ 952,097 $ 844,883 $ 2,041,506 $ 1,658,184 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 8,790 18,507 28,301 43,527 Shares Issued in Lieu of Cash Distributions 474 1,271 3,594 2,697 Shares Redeemed (3,263) (5,382) (7,999) (11,553) ----------- ----------- ----------- ----------- 6,001 14,396 23,896 34,671 =========== =========== =========== =========== JAPANESE PACIFIC RIM SMALL COMPANY SMALL COMPANY PORTFOLIO PORTFOLIO -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 752 $ 477 $ 497 $ 822 Net Realized Gain (Loss) on Investment Securities Sold (210) (3,850) (150) (1,129) Net Realized Gain (Loss) on Foreign Currency Transactions (3) (5) 4 9 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 6,224 14,049 (1,215) 5,552 Translation of Foreign Currency Denominated Amounts (24) 12 (1) 1 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 6,739 10,683 (865) 5,255 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (903) (396) (561) (1,138) Net Short-Term Gains -- -- -- -- Net Long-Term Gains -- -- -- -- ----------- ----------- ----------- ----------- Total Distributions (903) (396) (561) (1,138) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 39,740 41,185 9,131 12,619 Shares Issued in Lieu of Cash Distributions 899 396 534 1,136 Shares Redeemed (3,808) (8,702) (4,518) (11,515) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 36,831 32,879 5,147 2,240 ----------- ----------- ----------- ----------- Total Increase (Decrease) 42,667 43,166 3,721 6,357 NET ASSETS Beginning of Period 65,879 22,713 26,735 20,378 ----------- ----------- ----------- ----------- End of Period $ 108,546 $ 65,879 $ 30,456 $ 26,735 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 2,714 3,229 622 992 Shares Issued in Lieu of Cash Distributions 65 37 38 96 Shares Redeemed (257) (659) (316) (933) ----------- ----------- ----------- ----------- 2,522 2,607 344 155 =========== =========== =========== ===========
See accompanying Notes to the Financial Statements. 53
UNITED KINGDOM CONTINENTAL SMALL SMALL COMPANY COMPANY PORTFOLIO PORTFOLIO -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 187 $ 306 $ 547 $ 427 Net Realized Gain (Loss) on Investment Securities Sold 351 781 855 1,303 Net Realized Gain (Loss) on Foreign Currency Transactions (2) (5) (9) 11 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (204) 2,435 995 6,844 Translation of Foreign Currency Denominated Amounts -- (3) (5) (6) Deferred Thailand Capital Gains Tax -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 332 3,514 2,383 8,579 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (163) (723) (397) (970) Net Short-Term Gains (141) -- (41) (290) Net Long-Term Gains (538) -- (1,241) (3,086) ----------- ----------- ----------- ----------- Total Distributions (842) (723) (1,679) (4,346) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 2,216 2,663 12,911 8,894 Shares Issued in Lieu of Cash Distributions 842 723 1,654 4,343 Shares Redeemed (1,431) (2,570) (3,522) (8,007) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 1,627 816 11,043 5,230 ----------- ----------- ----------- ----------- Total Increase (Decrease) 1,117 3,607 11,747 9,463 NET ASSETS Beginning of Period 15,816 12,209 33,839 24,376 ----------- ----------- ----------- ----------- End of Period $ 16,933 $ 15,816 $ 45,586 $ 33,839 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 93 125 880 733 Shares Issued in Lieu of Cash Distributions 36 37 121 400 Shares Redeemed (60) (122) (243) (671) ----------- ----------- ----------- ----------- 69 40 758 462 =========== =========== =========== =========== DFA INTERNATIONAL SMALL CAP VALUE EMERGING MARKETS PORTFOLIO PORTFOLIO -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 42,027 $ 25,893 $ 20,176 $ 18,139 Net Realized Gain (Loss) on Investment Securities Sold 64,514 61,932 9,739 251 Net Realized Gain (Loss) on Foreign Currency Transactions (404) 215 (855) (1,457) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 77,650 409,293 60,488 239,858 Translation of Foreign Currency Denominated Amounts (332) 126 (24) 60 Deferred Thailand Capital Gains Tax -- -- 109 (960) ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 183,455 497,459 89,633 255,891 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (19,794) (38,344) (9,480) (19,202) Net Short-Term Gains (2,748) (197) -- -- Net Long-Term Gains (58,588) (8,285) -- -- ----------- ----------- ----------- ----------- Total Distributions (81,130) (46,826) (9,480) (19,202) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 1,005,692 818,387 230,008 385,464 Shares Issued in Lieu of Cash Distributions 76,656 45,802 7,465 17,283 Shares Redeemed (178,094) (194,996) (82,785) (101,734) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 904,254 669,193 154,688 301,013 ----------- ----------- ----------- ----------- Total Increase (Decrease) 1,006,579 1,119,826 234,841 537,702 NET ASSETS Beginning of Period 2,215,523 1,095,697 1,131,778 594,076 ----------- ----------- ----------- ----------- End of Period $ 3,222,102 $ 2,215,523 $ 1,366,619 $ 1,131,778 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 63,006 62,188 13,819 28,628 Shares Issued in Lieu of Cash Distributions 5,122 3,752 458 1,348 Shares Redeemed (11,167) (14,824) (4,977) (7,497) ----------- ----------- ----------- ----------- 56,961 51,116 9,300 22,479 =========== =========== =========== ===========
See accompanying Notes to the Financial Statements. 54 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
EMERGING MARKETS EMERGING MARKETS SMALL CAP CORE EQUITY PORTFOLIO PORTFOLIO -------------------------- ---------------- SIX MONTHS YEAR ENDED ENDED APRIL 5, 2005(1) MAY 31, NOV. 30, TO 2005 2004 MAY 31, 2005 ----------- ----------- ---------------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 3,363 $ 1,818 $ 276 Capital Gain Distributions Received from The DFA Investment Trust Company -- -- -- Net Realized Gain (Loss) on Investment Securities Sold 2,218 8,584 (1) Net Realized Gain (Loss) on Foreign Currency Transactions (81) (303) (27) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 2,436 26,593 (1,094) Translation of Foreign Currency Denominated Amounts 6 33 32 Deferred Thailand Capital Gains Tax 92 312 (6) ----------- ----------- ---------------- Net Increase (Decrease) in Net Assets Resulting from Operations 8,034 37,037 (820) ----------- ----------- ---------------- Distributions From: Net Investment Income (767) (2,334) -- Net Short-Term Gains (2,143) (216) -- Net Long-Term Gains (6,395) (432) -- ----------- ----------- ---------------- Total Distributions (9,305) (2,982) -- ----------- ----------- ---------------- Capital Share Transactions (1): Shares Issued 109,049 99,556 55,656 Shares Issued in Lieu of Cash Distributions 8,423 2,969 -- Shares Redeemed (17,323) (30,905) (232) ----------- ----------- ---------------- Net Increase (Decrease) from Capital Share Transactions 100,149 71,620 55,424 ----------- ----------- ---------------- Total Increase (Decrease) 98,878 105,675 54,604 NET ASSETS Beginning of Period 190,028 84,353 -- ----------- ----------- ---------------- End of Period $ 288,906 $ 190,028 $ 54,604 =========== =========== ================ (1) SHARES ISSUED AND REDEEMED: Shares Issued 9,279 9,869 5,643 Shares Issued in Lieu of Cash Distributions 751 317 -- Shares Redeemed (1,482) (3,223) (24) ----------- ----------- ---------------- 8,548 6,963 5,619 =========== =========== ================ DFA DFA ONE-YEAR TWO-YEAR FIXED INCOME GLOBAL FIXED INCOME PORTFOLIO PORTFOLIO -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 23,582 $ 24,725 $ 13,527 $ 20,008 Capital Gain Distributions Received from The DFA Investment Trust Company -- 9,757 -- 13,460 Net Realized Gain (Loss) on Investment Securities Sold (2,158) (3,878) (682) (372) Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 773 (12,753) 3,080 (18,662) Translation of Foreign Currency Denominated Amounts -- -- -- -- Deferred Thailand Capital Gains Tax -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 22,197 17,851 15,925 14,434 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (23,949) (24,460) (13,613) (22,447) Net Short-Term Gains -- (9,586) -- (13,106) Net Long-Term Gains -- -- -- -- ----------- ----------- ----------- ----------- Total Distributions (23,949) (34,046) (13,613) (35,553) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 810,023 1,216,580 399,087 740,944 Shares Issued in Lieu of Cash Distributions 22,520 31,872 13,550 35,364 Shares Redeemed (477,672) (948,419) (257,222) (275,289) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 354,871 300,033 155,415 501,019 ----------- ----------- ----------- ----------- Total Increase (Decrease) 353,119 283,838 157,727 479,900 NET ASSETS Beginning of Period 1,738,574 1,454,736 1,674,972 1,195,072 ----------- ----------- ----------- ----------- End of Period $ 2,091,693 $ 1,738,574 $ 1,832,699 $ 1,674,972 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 79,584 118,714 40,360 74,279 Shares Issued in Lieu of Cash Distributions 2,215 3,118 1,373 3,553 Shares Redeemed (46,940) (92,631) (26,008) (27,584) ----------- ----------- ----------- ----------- 34,859 29,201 15,725 50,248 =========== =========== =========== ===========
- ---------- (1) The Portfolio commenced operations on April 5, 2005. See accompanying Notes to the Financial Statements. 55
DFA DFA FIVE-YEAR FIVE-YEAR GOVERNMENT GLOBAL FIXED INCOME PORTFOLIO PORTFOLIO -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 10,143 $ 15,105 $ 22,226 $ 34,954 Net Realized Gain (Loss) on Investment Securities Sold -- (884) (4,707) (5,049) Net Realized Gain (Loss) on Foreign Currency Transactions -- -- 16,353 (6,964) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (845) (1,529) (23,924) 11,559 Translation of Foreign Currency Denominated Amounts -- -- 19,080 (2,966) ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 9,298 12,692 29,028 31,534 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (8,707) (16,684) (10,083) (32,175) Net Short-Term Gains -- -- -- (7,366) Net Long-Term Gains -- (13,164) -- (30,042) ----------- ----------- ----------- ----------- Total Distributions (8,707) (30,277) (10,083) (69,583) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 160,336 234,672 367,391 486,993 Shares Issued in Lieu of Cash Distributions 8,616 29,995 9,950 69,052 Shares Redeemed (51,418) (107,440) (136,686) (281,857) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 117,534 157,227 240,655 274,188 ----------- ----------- ----------- ----------- Total Increase (Decrease) 118,125 139,642 259,600 236,139 NET ASSETS Beginning of Period 542,634 402,992 1,205,578 969,439 ----------- ----------- ----------- ----------- End of Period $ 660,759 $ 542,634 $ 1,465,178 $ 1,205,578 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 15,229 21,929 34,925 46,221 Shares Issued in Lieu of Cash Distributions 817 2,835 949 6,592 Shares Redeemed (4,882) (10,011) (12,998) (26,765) ----------- ----------- ----------- ----------- 11,164 14,753 22,876 26,048 =========== =========== =========== =========== DFA INTERMEDIATE DFA GOVERNMENT SHORT-TERM FIXED INCOME MUNICIPAL BOND PORTFOLIO PORTFOLIO -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 9,465 $ 16,093 $ 4,422 $ 5,359 Net Realized Gain (Loss) on Investment Securities Sold 725 1,129 -- (17) Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 2,739 (3,418) (2,126) (1,598) Translation of Foreign Currency Denominated Amounts -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 12,929 13,804 2,296 3,744 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (8,627) (15,547) (4,073) (5,043) Net Short-Term Gains -- (630) -- -- Net Long-Term Gains (1,145) (6,872) -- -- ----------- ----------- ----------- ----------- Total Distributions (9,772) (23,049) (4,073) (5,043) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 79,355 94,918 125,573 221,275 Shares Issued in Lieu of Cash Distributions 9,652 22,843 3,978 4,959 Shares Redeemed (26,117) (51,642) (51,680) (56,615) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 62,890 66,119 77,871 169,619 ----------- ----------- ----------- ----------- Total Increase (Decrease) 66,047 56,874 76,094 168,320 NET ASSETS Beginning of Period 373,108 316,234 381,709 213,389 ----------- ----------- ----------- ----------- End of Period $ 439,155 $ 373,108 $ 457,803 $ 381,709 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 6,795 8,057 12,487 21,904 Shares Issued in Lieu of Cash Distributions 829 1,941 396 492 Shares Redeemed (2,233) (4,392) (5,142) (5,608) ----------- ----------- ----------- ----------- 5,391 5,606 7,741 16,788 =========== =========== =========== ===========
See accompanying Notes to the Financial Statements. 56 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 34.59 $ 31.16 $ 27.56 $ 33.51 $ 38.70 $ 41.08 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.28 0.61 0.47 0.42 0.42 0.43 Net Gains (Losses) on Securities (Realized and Unrealized) 0.55 3.31 3.57 (5.95) (5.19) (2.16) ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.83 3.92 4.04 (5.53) (4.77) (1.73) - ---------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.38) (0.49) (0.44) (0.42) (0.42) (0.40) Net Realized Gains -- -- -- -- -- (0.25) Tax Return of Capital -- -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.38) (0.49) (0.44) (0.42) (0.42) (0.65) - ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 35.04 $ 34.59 $ 31.16 $ 27.56 $ 33.51 $ 38.70 ============================================================================================================================ Total Return 2.39%# 12.68% 14.90% (16.64)% (12.41)% (4.33)% - ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,743,617 $ 1,440,869 $ 1,017,265 $ 775,769 $ 851,921 $ 1,037,593 Ratio of Expenses to Average Net Assets** 0.15%* 0.15% 0.15% 0.15% 0.15% 0.15% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.30%* 0.30% 0.30% 0.30% 0.30% 0.32% Ratio of Net Investment Income to Average Net Assets 1.69%* 1.92% 1.66% 1.43% 1.16% 1.02% Portfolio Turnover Rate of Master Fund Series 3%# 2% 8% 11% 8% 8% ENHANCED U.S. LARGE COMPANY 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 9.35 $ 8.42 $ 7.41 $ 8.91 $ 11.91 $ 15.12 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.10 0.09 0.10 0.16 0.06 1.46 Net Gains (Losses) on Securities (Realized and Unrealized) 0.09 0.94 1.02 (1.52) (1.27) (2.00) ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.19 1.03 1.12 (1.36) (1.21) (0.54) - ---------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.11) (0.10) (0.11) (0.14) (0.68) (1.26) Net Realized Gains -- -- -- -- (0.75) (1.41) Tax Return of Capital -- -- -- -- (0.36) -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.11) (0.10) (0.11) (0.14) (1.79) (2.67) - ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 9.43 $ 9.35 $ 8.42 $ 7.41 $ 8.91 $ 11.91 ============================================================================================================================ Total Return 1.98%# 12.28% 15.39% (15.40)% (11.90)% (4.84)% - ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 270,720 $ 221,744 $ 141,489 $ 101,329 $ 90,780 $ 89,878 Ratio of Expenses to Average Net Assets** 0.35%* 0.37% 0.36% 0.37% 0.39% 0.40% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.35%* 0.37% 0.36% 0.37% 0.39% 0.40% Ratio of Net Investment Income to Average Net Assets 2.00%* 0.95% 1.32% 2.00% 0.36% 10.58% Portfolio Turnover Rate of Master Fund Series 45%# 125% 138% 183% 122% 71%
* Annualized # Non-annualized ** Represents the combined ratios for the respective portfolio and its respective pro-rata share of the Master Fund Series. See accompanying Notes to Financial Statements. 57
U.S. LARGE CAP VALUE 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 19.37 $ 16.14 $ 13.63 $ 16.97 $ 18.36 $ 20.09 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.11 0.16 0.20 0.19 0.29 0.36 Net Gains (Losses) on Securities (Realized and Unrealized) 0.84 3.28 2.50 (1.51) 1.46 0.10 ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.95 3.44 2.70 (1.32) 1.75 0.46 - ---------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.12) (0.21) (0.19) (0.21) (0.30) (0.36) Net Realized Gains -- -- -- (1.81) (2.84) (1.83) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.12) (0.21) (0.19) (2.02) (3.14) (2.19) - ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 20.20 $ 19.37 $ 16.14 $ 13.63 $ 16.97 $ 18.36 ============================================================================================================================ Total Return 4.91%# 21.48% 20.10% (8.77)% 10.83% 2.85% - ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,218,966 $ 2,630,361 $ 1,709,428 $ 1,176,711 $ 1,166,611 $ 1,245,177 Ratio of Expenses to Average Net Assets** 0.30%* 0.32% 0.31% 0.32% 0.31% 0.33% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.30%* 0.32% 0.31% 0.32% 0.31% 0.33% Ratio of Net Investment Income to Average Net Assets 1.06%* 0.89% 1.46% 1.25% 1.59% 1.97% Portfolio Turnover Rate of Master Fund Series 3%# 7% 7% 9% 6% 26% U.S. SMALL XM VALUE PORTFOLIO --------------------------------------------------------------------------------- SIX MONTHS YEAR YEAR YEAR YEAR FEB. 23, ENDED ENDED ENDED ENDED ENDED TO MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 17.09 $ 15.14 $ 12.41 $ 13.03 $ 11.06 $ 10.00 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.95 0.86 0.05 0.07 0.14 0.15 Net Gains (Losses) on Securities (Realized and Unrealized) (0.77) 2.88 4.12 0.18 2.38 0.91 ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.18 3.74 4.17 0.25 2.52 1.06 - ---------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.96) (0.90) (0.09) (0.12) (0.18) -- Net Realized Gains (0.61) (0.89) (1.35) (0.75) (0.37) -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (1.57) (1.79) (1.44) (0.87) (0.55) -- - ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.70 $ 17.09 $ 15.14 $ 12.41 $ 13.03 $ 11.06 ============================================================================================================================ Total Return 1.05%# 27.36% 38.43% 1.77% 23.77% 10.60%# - ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 152,794 $ 159,325 $ 96,924 $ 66,954 $ 69,130 $ 67,638 Ratio of Expenses to Average Net Assets** 0.48%* 0.50% 0.47% 0.50% 0.47% 0.50%* Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.48%* 0.48% 0.48% 0.52% 0.47% 0.85%* Ratio of Net Investment Income to Average Net Assets 1.48%* 0.27% 0.41% 0.73% 1.03% 8.77%* Portfolio Turnover Rate of Master Fund Series 14%# 38% 43% 34% 8% 26%(a)
* Annualized # Non-annualized ** Represents the combined ratios for the respective portfolio and its respective pro-rata share of the Master Fund Series. (a) For the year ended November 30, 2000. See accompanying Notes to Financial Statements. 58
U.S. SMALL CAP VALUE 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, 2005 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ (UNAUDITED) Net Asset Value, Beginning of Period $ 27.71 $ 23.26 $ 17.70 $ 21.11 $ 18.79 $ 19.17 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.41 0.30 0.08 0.08 0.12 0.12 Net Gains (Losses) on Securities (Realized and Unrealized) (0.52) 5.73 7.21 0.19 3.95 1.11 ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations (0.11) 6.03 7.29 0.27 4.07 1.23 - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.43) (0.38) (0.07) (0.12) (0.13) (0.10) Net Realized Gains (1.36) (1.20) (1.66) (3.56) (1.62) (1.51) Tax Return of Capital -- -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (1.79) (1.58) (1.73) (3.68) (1.75) (1.61) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 25.81 $ 27.71 $ 23.26 $ 17.70 $ 21.11 $ 18.79 ============================================================================================================================== Total Return (0.50)%# 27.46% 45.92% 0.71% 23.47% 6.99% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 6,070,939 $ 5,795,166 $ 4,209,747 $ 2,972,651 $ 2,914,661 $ 2,633,943 Ratio of Expenses to Average Net Assets** 0.55%* 0.56% 0.56% 0.56% 0.56% 0.56% Ratio of Net Investment Income to Average Net Assets 0.81%* 0.04% 0.46% 0.42% 0.54% 0.60% Portfolio Turnover Rate of Master Fund Series 14%# 26% 35% 30% 13% 32% U.S. SMALL CAP 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, 2005 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ (UNAUDITED) Net Asset Value, Beginning of Period $ 19.13 $ 16.52 $ 11.97 $ 14.43 $ 14.27 $ 14.68 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.20 0.05 0.06 0.07 0.09 0.08 Net Gains (Losses) on Securities (Realized and Unrealized) (0.49) 2.67 4.65 (1.16) 1.57 0.78 ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations (0.29) 2.72 4.71 (1.09) 1.66 0.86 - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.22) (0.10) (0.07) (0.08) (0.09) (0.08) Net Realized Gains -- -- (0.09) (1.29) (1.41) (1.19) Tax Return of Capital -- (0.01) -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.22) (0.11) (0.16) (1.37) (1.50) (1.27) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 18.62 $ 19.13 $ 16.52 $ 11.97 $ 14.43 $ 14.27 ============================================================================================================================== Total Return (1.57)%# 16.59% 39.89% (8.73)% 12.70% 6.09% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 2,273,679 $ 2,137,970 $ 1,134,027 $ 646,872 $ 784,278 $ 585,873 Ratio of Expenses to Average Net Assets** 0.40%* 0.41% 0.42% 0.41% 0.42% 0.43% Ratio of Net Investment Income to Average Net Assets 0.51%* 0.22% 0.52% 0.47% 0.62% 0.63% Portfolio Turnover Rate of Master Fund Series 9%# 16% 16% 34% 13% 38%
* Annualized # Non-annualized ** Represents the combined ratios for the respective portfolio and its respective pro-rata share of the Master Fund Series. See accompanying Notes to Financial Statements. 59
U.S. MICRO CAP PORTFOLIO ----------------------------------------------- SIX MONTHS YEAR YEAR ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, 2005 2004 2003 - ------------------------------------------------------------------------------------------ (UNAUDITED) Net Asset Value, Beginning of Period $ 15.06 $ 13.34 $ 9.07 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.25 0.19 0.03 Net Gains (Losses) on Securities (Realized and Unrealized) (0.63) 1.93 4.40 ----------- ----------- ----------- Total From Investment Operations (0.38) 2.12 4.43 - ------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.26) (0.22) (0.02) Net Realized Gains (0.36) (0.18) (0.14) ----------- ----------- ----------- Total Distributions (0.62) (0.40) (0.16) - ------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 14.06 $ 15.06 $ 13.34 ========================================================================================== Total Return (2.70)%# 16.34% 49.69% - ------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 3,334,509 $ 3,214,520 $ 2,622,847 Ratio of Expenses to Average Net Assets 0.55%(a)* 0.56%(a) 0.56%(a) Ratio of Net Investment Income to Average Net Assets 0.21%* 0.06% 0.25% Portfolio Turnover Rate N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 10%# 27% 19% U.S. MICRO CAP PORTFOLIO ----------------------------------------------- YEAR YEAR YEAR ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, 2002 2001 2000 - ------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 11.09 $ 11.93 $ 12.54 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.03 0.05 0.04 Net Gains (Losses) on Securities (Realized and Unrealized) (0.29) 1.59 0.61 ----------- ----------- ----------- Total From Investment Operations (0.26) 1.64 0.65 - ------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.05) (0.05) (0.04) Net Realized Gains (1.71) (2.43) (1.22) ----------- ----------- ----------- Total Distributions (1.76) (2.48) (1.26) - ------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 9.07 $ 11.09 $ 11.93 ========================================================================================== Total Return (3.31)% 17.22% 5.36% - ------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 1,609,472 $ 1,606,367 $ 1,443,412 Ratio of Expenses to Average Net Assets 0.56%(a) 0.56%(a) 0.56%(a) Ratio of Net Investment Income to Average Net Assets 0.24% 0.41% 0.34% Portfolio Turnover Rate N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 19% 14% 37% DFA REAL ESTATE SECURITIES PORTFOLIO ----------------------------------------------- SIX MONTHS YEAR YEAR ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, 2005 2004 2003 - ------------------------------------------------------------------------------------------ (UNAUDITED) Net Asset Value, Beginning of Period $ 23.02 $ 18.80 $ 14.91 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.52 0.62 0.64 Net Gains (Losses) on Securities (Realized and Unrealized) 0.98 4.47 4.08 ----------- ----------- ----------- Total From Investment Operations 1.50 5.09 4.72 - ------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.67) (0.71) (0.75) Net Realized Gains (0.56) (0.16) (0.08) ----------- ----------- ----------- Total Distributions (1.23) (0.87) (0.83) - ------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 23.29 $ 23.02 $ 18.80 ========================================================================================== Total Return 6.66%# 29.44% 33.48% - ------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 1,543,595 $ 1,308,898 $ 783,405 Ratio of Expenses to Average Net Assets 0.37%* 0.39% 0.41% Ratio of Net Investment Income to Average Net Assets 4.14%* 3.61% 4.19% Portfolio Turnover Rate 1%# 6% 2% Portfolio Turnover Rate of Master Fund Series N/A+ N/A+ N/A+ DFA REAL ESTATE SECURITIES PORTFOLIO ----------------------------------------------- YEAR YEAR YEAR ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, 2002 2001 2000 - ------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 15.02 $ 13.51 $ 11.50 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.54 0.82 0.76 Net Gains (Losses) on Securities (Realized and Unrealized) 0.18 1.49 1.90 ----------- ----------- ----------- Total From Investment Operations 0.72 2.31 2.66 - ------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.75) (0.80) (0.65) Net Realized Gains (0.08) -- -- ----------- ----------- ----------- Total Distributions (0.83) (0.80) (0.65) - ------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 14.91 $ 15.02 $ 13.51 ========================================================================================== Total Return 5.36% 17.76% 24.49% - ------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 413,264 $ 283,732 $ 210,231 Ratio of Expenses to Average Net Assets 0.42% 0.43% 0.45% Ratio of Net Investment Income to Average Net Assets 4.71% 5.55% 6.06% Portfolio Turnover Rate 2% 6% 7% Portfolio Turnover Rate of Master Fund Series N/A+ N/A+ N/A+
* Annualized # Non-annualized (a) For the U.S. Micro Cap Portfolio, the expense ratios represent the combined ratios for the Portfolio and its respective pro-rata share of its Master Fund Series. N/A Refer to the Master Fund Series. N/A+ Not applicable, as the DFA Real Estate Securities Portfolio is a stand-alone registered investment company. See accompanying Notes to Financial Statements. 60
LARGE CAP INTERNATIONAL PORTFOLIO ----------------------------------------------- SIX MONTHS YEAR YEAR ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, 2005 2004 2003 - ------------------------------------------------------------------------------------------ (UNAUDITED) Net Asset Value, Beginning of Period $ 17.31 $ 14.65 $ 12.10 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.27 0.31 0.25 Net Gains (Losses) on Securities (Realized and Unrealized) (0.03) 2.86 2.51 ----------- ----------- ----------- Total From Investment Operations 0.24 3.17 2.76 - ------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.18) (0.51) (0.21) Net Realized Gains -- -- -- ----------- ----------- ----------- Total Distributions (0.18) (0.51) (0.21) - ------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 17.37 $ 17.31 $ 14.65 ========================================================================================== Total Return 1.37%# 22.09% 23.32% - ------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 952,097 $ 844,883 $ 504,123 Ratio of Expenses to Average Net Assets 0.38%* 0.41% 0.43% Ratio of Net Investment Income to Average Net Assets 3.07%* 2.07% 2.10% Portfolio Turnover Rate 2%# 1% 1% LARGE CAP INTERNATIONAL PORTFOLIO ----------------------------------------------- YEAR YEAR YEAR ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, 2002 2001 2000 - ------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 13.90 $ 17.30 $ 19.41 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.22 0.25 0.23 Net Gains (Losses) on Securities (Realized and Unrealized) (1.79) (3.38) (1.96) ----------- ----------- ----------- Total From Investment Operations (1.57) (3.13) (1.73) - ------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.23) (0.22) (0.21) Net Realized Gains -- (0.05) (0.17) ----------- ----------- ----------- Total Distributions (0.23) (0.27) (0.38) - ------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 12.10 $ 13.90 $ 17.30 ========================================================================================== Total Return (11.50)% (18.42)% (9.19)% - ------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 337,367 $ 344,871 $ 358,638 Ratio of Expenses to Average Net Assets 0.44% 0.45% 0.47% Ratio of Net Investment Income to Average Net Assets 1.74% 1.65% 1.21% Portfolio Turnover Rate 9% 4% 1% INTERNATIONAL SMALL COMPANY PORTFOLIO ----------------------------------------------- SIX MONTHS YEAR YEAR ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, 2005 2004 2003 - ------------------------------------------------------------------------------------------ (UNAUDITED) Net Asset Value, Beginning of Period $ 14.12 $ 11.00 $ 7.41 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.17 0.22 0.16 Net Gains (Losses) on Securities (Realized and Unrealized) 0.59 3.24 3.57 ----------- ----------- ----------- Total From Investment Operations 0.76 3.46 3.73 - ------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.10) (0.34) (0.14) Net Realized Gains (0.33) -- -- ----------- ----------- ----------- Total Distributions (0.43) (0.34) (0.14) - ------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 14.45 $ 14.12 $ 11.00 ========================================================================================== Total Return 5.52%# 32.10% 51.28% - ------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 2,041,506 $ 1,658,285 $ 909,887 Ratio of Expenses to Average Net Assets 0.65%(a)* 0.69%(a) 0.71%(a) Ratio of Net Investment Income to Average Net Assets 2.36%* 1.82% 1.97% Portfolio Turnover Rate N/A N/A N/A INTERNATIONAL SMALL COMPANY PORTFOLIO ----------------------------------------------- YEAR YEAR YEAR ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, 2002 2001 2000 - ------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 7.67 $ 8.49 $ 9.13 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.14 0.15 0.17 Net Gains (Losses) on Securities (Realized and Unrealized) (0.25) (0.67) (0.62) ----------- ----------- ----------- Total From Investment Operations (0.11) (0.52) (0.45) - ------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.15) (0.17) (0.19) Net Realized Gains -- (0.13) -- ----------- ----------- ----------- Total Distributions (0.15) (0.30) (0.19) - ------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 7.41 $ 7.67 $ 8.49 ========================================================================================== Total Return (1.39)% (6.36)% (5.01)% - ------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 464,578 $ 356,200 $ 309,060 Ratio of Expenses to Average Net Assets 0.71%(a) 0.72%(a) 0.71%(a) Ratio of Net Investment Income to Average Net Assets 1.83% 2.02% 2.10% Portfolio Turnover Rate N/A N/A N/A
* Annualized # Non-annualized (a) For the International Small Company Portfolio, the expense ratios represent the combined ratios for the Portfolio and its respective pro-rata share of its Master Fund Series. N/A Refer to the respective Master Fund Series. See accompanying Notes to Financial Statements. 61
JAPANESE SMALL COMPANY 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, 2005 2004 2003 2002 2001 2000 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) Net Asset Value, Beginning of Period $ 13.99 $ 10.80 $ 7.49 $ 8.42 $ 9.90 $ 11.11 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.14 0.22 0.05 0.06 0.09 0.10 Net Gains (Losses) on Securities (Realized and Unrealized) 1.04 3.16 3.35 (0.90) (1.46) (1.24) ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 1.18 3.38 3.40 (0.84) (1.37) (1.14) - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.16) (0.19) (0.09) (0.09) (0.11) (0.07) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.16) (0.19) (0.09) (0.09) (0.11) (0.07) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.01 $ 13.99 $ 10.80 $ 7.49 $ 8.42 $ 9.90 ================================================================================================================================= Total Return 8.54%# 31.79% 46.01% (9.96)% (13.94)% (10.23)% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 108,546 $ 65,879 $ 22,713 $ 51,819 $ 76,570 $ 101,115 Ratio of Expenses to Average Net Assets** 0.69%* 0.73% 0.75% 0.74% 0.74% 0.72% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.69%* 0.79% 0.85% 0.75% 0.74% 0.72% Ratio of Net Investment Income to Average Net Assets 1.56%* 1.01% 1.18% 0.76% 0.93% 0.93% Portfolio Turnover Rate of Master Fund Series 2%# 5% 16% 5% 9% 5% PACIFIC RIM SMALL COMPANY 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, 2005 2004 2003 2002 2001 2000 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) Net Asset Value, Beginning of Period $ 14.54 $ 12.10 $ 7.92 $ 7.70 $ 7.89 $ 9.76 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.33 0.50 (0.13) 0.24 0.25 0.34 Net Gains (Losses) on Securities (Realized and Unrealized) (0.61) 2.58 4.69 0.27 (0.06) (1.80) ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations (0.28) 3.08 4.56 0.51 0.19 (1.46) - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.31) (0.64) (0.38) (0.29) (0.38) (0.41) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.31) (0.64) (0.38) (0.29) (0.38) (0.41) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 13.95 $ 14.54 $ 12.10 $ 7.92 $ 7.70 $ 7.89 ================================================================================================================================= Total Return (1.97)%# 26.73% 60.57% 6.92% 2.32% (15.65)% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 30,456 $ 26,735 $ 20,378 $ 54,185 $ 74,185 $ 88,307 Ratio of Expenses to Average Net Assets** 0.75%* 0.80% 0.78% 0.79% 0.75% 0.74% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.86%* 0.96% 0.88% 0.80% 0.75% 0.74% Ratio of Net Investment Income to Average Net Assets 3.29%* 3.29% 2.87% 3.23% 3.18% 3.64% Portfolio Turnover Rate of Master Fund Series 3%# 11% 15% 26% 10% 7%
* Annualized # Non-annualized ** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series. See accompanying Notes to Financial Statements. 62
UNITED KINGDOM SMALL COMPANY 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, 2005 2004 2003 2002 2001 2000 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) Net Asset Value, Beginning of Period $ 23.47 $ 19.26 $ 14.24 $ 16.23 $ 19.31 $ 24.22 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.27 0.48 0.62 0.50 0.47 0.65 Net Gains (Losses) on Securities (Realized and Unrealized) 0.31 4.87 5.26 (1.23) (1.26) (1.89) ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.58 5.35 5.88 (0.73) (0.79) (1.24) - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.24) (1.14) (0.54) (0.48) (0.63) (0.82) Net Realized Gains (1.02) -- (0.32) (0.78) (1.66) (2.85) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (1.26) (1.14) (0.86) (1.26) (2.29) (3.67) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 22.79 $ 23.47 $ 19.26 $ 14.24 $ 16.23 $ 19.31 ================================================================================================================================= Total Return 2.38%# 29.05% 44.01% (5.13)% (5.36)% (6.57)% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 16,933 $ 15,816 $ 12,209 $ 28,985 $ 41,143 $ 56,400 Ratio of Expenses to Average Net Assets** 0.70%* 0.74% 0.73% 0.73% 0.74% 0.73% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.93%* 1.04% 0.96% 0.80% 0.79% 0.74% Ratio of Net Investment Income to Average Net Assets 2.21%* 2.21% 2.83% 2.55% 2.38% 2.59% Portfolio Turnover Rate of Master Fund Series 5%# 7% 7% 6% 14% 11% CONTINENTAL SMALL COMPANY 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, 2005 2004 2003 2002 2001 2000 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) Net Asset Value, Beginning of Period $ 14.12 $ 12.60 $ 8.93 $ 9.96 $ 12.33 $ 14.29 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.14 0.17 0.49 0.23 0.27 0.33 Net Gains (Losses) on Securities (Realized and Unrealized) 0.89 3.64 3.83 0.02 (0.85) (0.01) ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 1.03 3.81 4.32 0.25 (0.58) 0.32 - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.17) (0.50) (0.22) (0.27) (0.32) (0.25) Net Realized Gains (0.53) (1.79) (0.43) (1.01) (1.47) (2.03) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.70) (2.29) (0.65) (1.28) (1.79) (2.28) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 14.45 $ 14.12 $ 12.60 $ 8.93 $ 9.96 $ 12.33 ================================================================================================================================= Total Return 7.52%# 35.91% 52.10% 2.71% (5.85)% 2.26% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 45,586 $ 33,839 $ 24,376 $ 60,743 $ 82,883 $ 110,220 Ratio of Expenses to Average Net Assets** 0.71%* 0.73% 0.77% 0.78% 0.76% 0.72% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.79%* 0.87% 0.88% 0.78% 0.76% 0.72% Ratio of Net Investment Income to Average Net Assets 2.73%* 1.56% 2.07% 1.84% 2.28% 1.92% Portfolio Turnover Rate of Master Fund Series 3%# 9% 11% 12% 12% 9%
* Annualized # Non-annualized ** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series. See accompanying Notes to Financial Statements. 63
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO --------------------------------------------- SIX MONTHS YEAR YEAR ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, 2005 2004 2003 - ---------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 15.16 $ 11.52 $ 7.42 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.24 0.23 0.16 Net Gains (Losses) on Securities (Realized and Unrealized) 0.99 3.85 4.09 ----------- ----------- ----------- Total From Investment Operations 1.23 4.08 4.25 - ---------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.13) (0.35) (0.15) Net Realized Gains (0.40) (0.09) -- ----------- ----------- ----------- Total Distributions (0.53) (0.44) (0.15) - ---------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.86 $ 15.16 $ 11.52 ======================================================================================== Total Return 8.33%# 36.34% 58.44% - ---------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,222,102 $ 2,215,523 $ 1,095,697 Ratio of Expenses to Average Net Assets 0.75%* 0.78% 0.81% Ratio of Net Investment Income to Average Net Assets 2.97%* 1.63% 1.75% Portfolio Turnover Rate 5%# 10% 10% Portfolio Turnover Rate of Master Fund Series N/A+ N/A+ N/A+ DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO --------------------------------------------- YEAR YEAR YEAR ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, 2002 2001 2000 - ---------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 7.39 $ 7.84 $ 8.49 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.15 0.19 0.18 Net Gains (Losses) on Securities (Realized and Unrealized) 0.06 (0.20) (0.63) ----------- ----------- ----------- Total From Investment Operations 0.21 (0.01) (0.45) - ---------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.18) (0.18) (0.20) Net Realized Gains -- (0.26) -- ----------- ----------- ----------- Total Distributions (0.18) (0.44) (0.20) - ---------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 7.42 $ 7.39 $ 7.84 ======================================================================================== Total Return 2.95% (0.15)% (5.36)% - ---------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 576,537 $ 492,911 $ 472,235 Ratio of Expenses to Average Net Assets 0.83% 0.83% 0.82% Ratio of Net Investment Income to Average Net Assets 1.87% 2.36% 2.28% Portfolio Turnover Rate 21% 13% 16% Portfolio Turnover Rate of Master Fund Series N/A+ N/A+ N/A+ EMERGING MARKETS PORTFOLIO --------------------------------------------- SIX MONTHS YEAR YEAR ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, 2005 2004 2003 - ---------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 15.61 $ 11.87 $ 8.65 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.24 0.27 0.16 Net Gains (Losses) on Securities (Realized and Unrealized) 0.98 3.80 3.18 ----------- ----------- ----------- Total From Investment Operations 1.22 4.07 3.34 - ---------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.13) (0.33) (0.12) Net Realized Gains -- -- -- ----------- ----------- ----------- Total Distributions (0.13) (0.33) (0.12) - ---------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 16.70 $ 15.61 $ 11.87 ======================================================================================== Total Return 7.83%# 34.95% 39.13% - ---------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,366,619 $ 1,131,778 $ 594,076 Ratio of Expenses to Average Net Assets 0.69%*(a) 0.74%(a) 0.78%(a) Ratio of Net Investment Income to Average Net Assets 3.16%* 2.20% 1.79% Portfolio Turnover Rate N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 2%# 2% 1% EMERGING MARKETS PORTFOLIO --------------------------------------------- YEAR YEAR YEAR ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, 2002 2001 2000 - ---------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 8.62 $ 9.52 $ 12.37 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.10 0.12 0.11 Net Gains (Losses) on Securities (Realized and Unrealized) 0.05 (0.96) (2.86) ----------- ----------- ----------- Total From Investment Operations 0.15 (0.84) (2.75) - ---------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.12) (0.06) (0.10) Net Realized Gains -- -- -- ----------- ----------- ----------- Total Distributions (0.12) (0.06) (0.10) - ---------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 8.65 $ 8.62 $ 9.52 ======================================================================================== Total Return 1.71% (8.95)% (22.49)% - ---------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 333,866 $ 298,036 $ 286,152 Ratio of Expenses to Average Net Assets 0.78%(a) 0.90%(a) 0.90%(a) Ratio of Net Investment Income to Average Net Assets 1.20% 1.50% 0.90% Portfolio Turnover Rate N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 8% 6% 12%
* Annualized # Non-annualized (a) For the Emerging Markets Portfolio, the expense ratios represent the combined ratios for the Portfolio and its respective pro-rata share of its Master Fund Series. N/A Refer to the Master Fund Series. N/A+ Not applicable, as the DFA International Small Cap Value Portfolio is a stand-alone registered investment company. See accompanying Notes to Financial Statements. 64
EMERGING MARKETS SMALL CAP PORTFOLIO --------------------------------------------- SIX MONTHS YEAR YEAR ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, 2005 2004 2003 - -------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 11.44 $ 8.74 $ 5.89 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.14 0.11 0.10 Net Gains (Losses) on Securities (Realized and Unrealized) 0.43 2.85 2.88 ----------- ----------- ----------- Total From Investment Operations 0.57 2.96 2.98 - -------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.04) (0.19) (0.07) Net Realized Gains (0.49) (0.07) (0.06) ----------- ----------- ----------- Total Distributions (0.53) (0.26) (0.13) - -------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 11.48 $ 11.44 $ 8.74 ==================================================================================================================== Total Return 5.13%# 34.55% 51.84% - -------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 288,906 $ 190,028 $ 84,353 Ratio of Expenses to Average Net Assets 0.97%*(a) 1.04%(a) 1.12%(a) Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees) 0.97%*(a) 1.04%(a) 1.12%(a) Ratio of Net Investment Income to Average Net Assets 2.71%* 1.41% 1.81% Portfolio Turnover Rate N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 2%# 11% 6% - -------------------------------------------------------------------------------------------------------------------- EMERGING MARKETS SMALL CAP PORTFOLIO --------------------------------------------- YEAR YEAR YEAR ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, 2002 2001 2000 --------------------------------------------- Net Asset Value, Beginning of Period $ 5.33 $ 6.79 $ 14.88 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.06 0.10 0.12 Net Gains (Losses) on Securities (Realized and Unrealized) 0.54 (0.65) (1.68) ----------- ----------- ----------- Total From Investment Operations 0.60 (0.55) (1.56) - -------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.04) (0.06) (0.15) Net Realized Gains -- (0.85) (6.38) ----------- ----------- ----------- Total Distributions (0.04) (0.91) (6.53) - -------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 5.89 $ 5.33 $ 6.79 ==================================================================================================================== Total Return 11.23% (9.44)% (23.38)% - -------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 26,516 $ 15,172 $ 10,992 Ratio of Expenses to Average Net Assets 1.20%(a) 1.56%(a) 1.56%(a) Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees) 1.20%(a) 1.56%(a) 1.56%(a) Ratio of Net Investment Income to Average Net Assets 1.31% 1.18% 0.77% Portfolio Turnover Rate N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 16% 14% 20% - -------------------------------------------------------------------------------------------------------------------- EMERGING MARKETS CORE EQUITY PORTFOLIO ----------------- FOR THE PERIOD APRIL 5, 2005(1) TO MAY 31, 2005 ----------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 10.00 ----------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.04 Net Gains (Losses) on Securities (Realized and Unrealized) (0.32) ----------------- Total From Investment Operations (0.28) - ---------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- Net Realized Gains -- ----------------- Total Distributions -- - ---------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 9.72 ======================================================================================== Total Return (2.80)%# - ---------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 54,604 Ratio of Expenses to Average Net Assets 1.38%* Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees) 1.92%* Ratio of Net Investment Income to Average Net Assets 5.08%* Portfolio Turnover Rate 0%# Portfolio Turnover Rate of Master Fund Series N/A+ - ----------------------------------------------------------------------------------------
* Annualized # Non-annualized (1) Commencement of operations. (a) For the Emerging Markets Small Cap Portfolio, the expense ratios represent the combined ratios for the Portfolio and its respective pro-rata share of its Master Fund Series. N/A Refer to Master Fund Series. N/A+ Not applicable, as the Emerging Markets Core Equity Portfolio is a stand alone registered investment company. See accompanying Notes to Financial Statements. 65
DFA ONE-YEAR 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, 2005 2004 2003 2002 2001 2000 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) Net Asset Value, Beginning of Period $ 10.20 $ 10.30 $ 10.39 $ 10.31 $ 10.21 $ 10.17 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.12 0.25 0.16 0.27 0.51 0.60 Net Gains (Losses) on Securities (Realized and Unrealized) (0.01) (0.10) 0.03 0.08 0.11 0.04 ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.11 0.15 0.19 0.35 0.62 0.64 - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.12) (0.25) (0.16) (0.27) (0.52) (0.60) Net Realized Gains -- -- (0.12) -- -- -- Tax Return of Capital -- -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.12) (0.25) (0.28) (0.27) (0.52) (0.60) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.19 $ 10.20 $ 10.30 $ 10.39 $ 10.31 $ 10.21 ================================================================================================================================= Total Return 1.12%# 1.08% 1.85% 3.43% 6.21% 6.49% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 2,091,693 $ 1,738,574 $ 1,454,736 $ 992,307 $ 739,847 $ 725,284 Ratio of Expenses to Average Net Assets** 0.20%* 0.20% 0.20% 0.20% 0.20% 0.20% Ratio of Net Investment Income to Average Net Assets 2.36%* 1.40% 1.45% 2.56% 5.04% 5.90% Portfolio Turnover Rate of Master Fund Series 39%# 154% 143% 154% 55% 35% DFA TWO-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, 2005 2004 2003 2002 2001 2000 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) Net Asset Value, Beginning of Period $ 9.92 $ 10.08 $ 10.19 $ 9.95 $ 10.05 $ 10.31 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.08 0.25 0.22 0.25 0.19 1.01 Net Gains (Losses) on Securities (Realized and Unrealized) 0.01 (0.14) 0.01 0.20 0.45 (0.41) ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.09 0.11 0.23 0.45 0.64 0.60 - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.08) (0.27) (0.34) (0.21) (0.56) (0.86) Net Realized Gains -- -- -- -- -- -- Tax Return of Capital -- -- -- -- (0.18) -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.08) (0.27) (0.34) (0.21) (0.74) (0.86) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 9.93 $ 9.92 $ 10.08 $ 10.19 $ 9.95 $ 10.05 ================================================================================================================================= Total Return 0.90%# 1.08% 2.26% 4.54% 6.75% 6.18% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,832,699 $ 1,674,972 $ 1,195,072 $ 799,214 $ 596,119 $ 518,491 Ratio of Expenses to Average Net Assets** 0.21%* 0.23% 0.25% 0.25% 0.27% 0.27% Ratio of Net Investment Income to Average Net Assets 1.56%* 1.35% 1.68% 2.58% 1.34% 9.97% Portfolio Turnover Rate of Master Fund Series 39%# 131% 144% 138% 113% 73%
* Annualized # Non-annualized ** Represents the combined ratio for the respective portfolio and its respective pro-rata share of its Master Fund Series. See accompanying Notes to Financial Statements. 66
DFA FIVE-YEAR GOVERNMENT 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, 2005 2004 2003 2002 2001 2000 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) Net Asset Value, Beginning of Period $ 10.64 $ 11.11 $ 11.05 $ 10.56 $ 10.32 $ 10.26 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.17 0.33 0.34 0.41 0.49 0.59 Net Gains (Losses) on Securities (Realized and Unrealized) (0.02) (0.01) 0.10 0.51 0.32 0.01 ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.15 0.32 0.44 0.92 0.81 0.60 - --------------------------------------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income (0.16) (0.41) (0.38) (0.43) (0.57) (0.54) Net Realized Gains -- (0.38) -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.16) (0.79) (0.38) (0.43) (0.57) (0.54) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.63 $ 10.64 $ 11.11 $ 11.05 $ 10.56 $ 10.32 ================================================================================================================================= Total Return 1.46%# 3.02% 4.02% 9.06% 8.18% 6.16% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 660,759 $ 542,634 $ 402,992 $ 315,290 $ 243,880 $ 218,557 Ratio of Expenses to Average Net Assets 0.26%* 0.27% 0.27% 0.26% 0.27% 0.28% Ratio of Net Investment Income to Average Net Assets 3.40%* 3.21% 3.20% 4.09% 4.79% 5.75% Portfolio Turnover Rate 0%# 45% 149% 19% 189% 60% 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, 2005 2004 2003 2002 2001 2000 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) Net Asset Value, Beginning of Period $ 10.50 $ 10.92 $ 10.93 $ 10.50 $ 10.50 $ 10.53 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.29 0.26 0.33 0.33 0.50 0.61 Net Gains (Losses) on Securities (Realized and Unrealized) (0.07) 0.06 0.15 0.44 0.22 -- ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.22 0.32 0.48 0.77 0.72 0.61 - --------------------------------------------------------------------------------------------------------------------------------- Less Distributions Net Investment Income (0.08) (0.32) (0.39) (0.33) (0.72) (0.64) Net Realized Gains -- (0.42) (0.10) (0.01) -- -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.08) (0.74) (0.49) (0.34) (0.72) (0.64) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.64 $ 10.50 $ 10.92 $ 10.93 $ 10.50 $ 10.50 ================================================================================================================================= Total Return 2.13%# 3.04% 4.45% 7.55% 7.23% 6.09% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,465,178 $ 1,205,578 $ 969,439 $ 761,717 $ 628,936 $ 517,325 Ratio of Expenses to Average Net Assets 0.33%* 0.34% 0.34% 0.35% 0.37% 0.38% Ratio of Net Investment Income to Average Net Assets 3.39%* 3.12% 3.23% 4.09% 4.04% 4.15% Portfolio Turnover Rate 32%# 90% 103% 79% 113% 80%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 67 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE GOVERNMENT 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, 2005 2004 2003 2002 2001 2000 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) Net Asset Value, Beginning of Period $ 11.79 $ 12.14 $ 12.39 $ 11.90 $ 11.18 $ 10.84 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.27 0.55 0.62 0.65 0.65 0.63 Net Gains (Losses) on Securities (Realized and Unrealized) 0.09 (0.05) (0.02) 0.48 0.71 0.38 ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.36 0.50 0.60 1.13 1.36 1.01 - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.26) (0.56) (0.65) (0.64) (0.64) (0.63) Net Realized Gains (0.04) (0.29) (0.20) -- -- (0.04) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.30) (0.85) (0.85) (0.64) (0.64) (0.67) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 11.85 $ 11.79 $ 12.14 $ 12.39 $ 11.90 $ 11.18 ================================================================================================================================= Total Return 3.09%# 4.21% 4.86% 9.95% 12.57% 9.75% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 439,155 $ 373,108 $ 316,234 $ 300,059 $ 310,661 $ 286,444 Ratio of Expenses to Average Net Assets 0.16%* 0.17% 0.17% 0.16% 0.16% 0.18% Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees) 0.16%* 0.17% 0.17% 0.16% 0.16% 0.18% Ratio of Net Investment Income to Average Net Assets 4.66%* 4.72% 4.91% 5.37% 5.60% 6.00% Portfolio Turnover Rate 4%# 6% 23% 14% 17% 8% DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO -------------------------------------------------------- SIX MONTHS YEAR YEAR AUG. 20 ENDED ENDED ENDED TO MAY 31, NOV. 30, NOV. 30, NOV. 30, 2005 2004 2003 2002 - --------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 10.09 $ 10.13 $ 9.97 $ 10.00 ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.10 0.17 0.16 0.04 Net Gains (Losses) on Securities (Realized and Unrealized) (0.05) (0.04) 0.15 (0.04) ----------- ----------- ----------- ----------- Total From Investment Operations 0.05 0.13 0.31 -- - --------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.10) (0.17) (0.15) (0.03) Net Realized Gains -- -- -- -- ----------- ----------- ----------- ----------- Total Distributions (0.10) (0.17) (0.15) (0.03) - --------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.04 $ 10.09 $ 10.13 $ 9.97 =================================================================================================== Total Return 0.48%# 1.27% 3.17% (0.03)%# - --------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 457,803 $ 381,709 $ 213,389 $ 78,819 Ratio of Expenses to Average Net Assets 0.30%* 0.30% 0.30% 0.30%* Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees) 0.30%* 0.33% 0.34% 0.75%* Ratio of Net Investment Income to Average Net Assets 2.09%* 1.73% 1.60% 1.71%* Portfolio Turnover Rate 0%# 6% 0% 0%*#
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 68 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS (UNAUDITED) A. ORGANIZATION: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company whose shares are offered, without a sales charge, generally to institutional investors and clients of registered investment advisors. Twenty-four of the Fund's thirty-seven portfolios (the "Portfolios") are included in this report. Of the remaining thirteen portfolios, six portfolios are only available through a select group of insurance products and are presented in a separate report and seven are presented individually in separate reports. The following Portfolios (the "Feeder Funds") invest in a series of The DFA Investment Trust Company (the "Master Funds"):
PERCENTAGE OWNERSHIP PORTFOLIOS (FEEDER FUNDS) SERIES (MASTER FUNDS) AT 05/31/05 - ------------------------- --------------------- ----------- U.S. Large Company Portfolio The U.S. Large Company Series 45% Enhanced U.S. Large Company Portfolio The Enhanced U.S. Large Company Series 100% U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 67% U.S. Small XM Value Portfolio The U.S. Small XM Value Series 80% U.S. Small Cap Value Portfolio The U.S. Small Cap Value Series 92% U.S. Small Cap Portfolio The U.S. Small Cap Series 91% U.S. Micro Cap Portfolio The U.S. Micro Cap Series 100% International Small Company Portfolio The Japanese Small Company Series 81% The Pacific Rim Small Company Series 85% The United Kingdom Small Company Series 90% The Continental Small Company Series 88% Japanese Small Company Portfolio The Japanese Small Company Series 14% Pacific Rim Small Company Portfolio The Pacific Rim Small Company Series 9% United Kingdom Small Company Portfolio The United Kingdom Small Company Series 4% Continental Small Company Portfolio The Continental Small Company Series 6% Emerging Markets Portfolio The Emerging Markets Series 97% Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 85% DFA One-Year Fixed Income Portfolio The DFA One-Year Fixed Income Series 100% DFA Two-Year Global Fixed Income Portfolio The DFA Two-Year Global Fixed Income Series 97%
Each Feeder Fund, with the exception of the International Small Company Portfolio (which invests in the four funds indicated), invests solely in a corresponding Master Fund. The International Small Company Portfolio also invests in short-term temporary cash investments. The financial statements of the Master Funds are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Funds. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the 69 reported amounts of increases and decreases in net assets from operations during the reporting period. 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, DFA International Small Cap Value Portfolio and Emerging Markets Core Equity Portfolio (the "International Equity Portfolios") which are listed on a securities exchange are valued at the last quoted sale price. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the mean between the most recent bid and asked prices. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Directors. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the New York Stock Exchange (NYSE). For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors of the Funds have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable, and may trigger fair value pricing. Consequently, fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Funds utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of such prices will have a material impact on the net asset value of a Fund. When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. Securities held by DFA Five-Year Government Portfolio, DFA Five-Year Global Fixed Income Portfolio, DFA Intermediate Government Fixed Income Portfolio and DFA Short-Term Municipal Bond Portfolio (the "Fixed Income Portfolios"), are valued at the mean between the most recently quoted bid and asked prices or prices provided by a pricing service when such prices are believed to reflect the fair market value of such securities. Securities for which quotations are not readily available are valued in good faith at fair value using methods approved by the Board of Directors. Master Fund shares held by the Feeder Funds are valued at their respective daily net asset values or for the U.S. Large Company Portfolio, the Japanese Small Company Portfolio, the Pacific Rim Small Company Portfolio, the United Kingdom Small Company Portfolio, the Continental Small Company Portfolio, the International Small Company Portfolio, the Emerging Markets Portfolio and the Emerging Markets Small Cap Portfolio, their investments reflect each of their proportionate interest in the net assets of the corresponding Master Fund. 2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities of the International Equity Portfolios and the DFA Five-Year Global Fixed Income Portfolio whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses 70 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 Equity Portfolios do not isolate the effect of fluctuation in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. However, the DFA Five-Year Global Fixed Income Portfolio does isolate the effect of fluctuations in foreign currency rates when determining the realized gain or loss upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. Federal income tax regulations; such amounts are categorized as foreign exchange gain or loss for both financial reporting and income tax reporting purposes. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the International Equity Portfolios and the DFA Five-Year Global Fixed Income Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board of Directors, generally based on average net assets. The U.S. Large Company Portfolio, the International Small Company Portfolio, the Japanese Small Company Portfolio, the Pacific Rim Small Company Portfolio, the United Kingdom Small Company Portfolio, the Continental Small Company Portfolio, the Emerging Markets Portfolio and the Emerging Markets Small Cap Portfolio each accrue their respective share of income and expenses daily on their investment in their corresponding Master Fund, which are treated as partnerships for federal income tax purposes. All of the net investment income and realized and unrealized gains and losses from the security transactions and foreign currency of the Master Funds are allocated pro rata among its investors at the time of such determination. The Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Portfolios accrue such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. The Portfolios' investments in Thailand are subject to a 15% governmental capital gains tax. Such taxes are due upon sale of individual securities. The Portfolios accrue for taxes on the capital gains throughout the holding period of the underlying securities. 71 C. INVESTMENT ADVISOR AND ADMINISTRATOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to all Portfolios except the Feeder Funds. The Advisor provides administrative services to the Feeder Funds, including supervision of services provided by others, providing information to shareholders and the Board of Directors, and other administrative services. For the six months ended May 31, 2005, the Portfolios' advisory fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: DFA Real Estate Securities Portfolio 0.30 of 1% Large Cap International Portfolio 0.25 of 1% DFA International Small Cap Value Portfolio 0.65 of 1% Emerging Markets Core Equity Portfolio 0.55 of 1% DFA Five-Year Government Portfolio 0.20 of 1% DFA Five-Year Global Fixed Income Portfolio 0.25 of 1% DFA Intermediate Government Fixed Income Portfolio 0.10 of 1% DFA Short-Term Municipal Bond Portfolio 0.20 of 1%
For the six months ended May 31, 2005, the Feeder Funds accrued daily and paid monthly to the Advisor an administrative fee based on the following effective annual rates of average daily net assets: U.S. Large Company Portfolio 0.125 of 1% Enhanced U.S. Large Company Portfolio 0.15 of 1% U.S. Large Cap Value Portfolio 0.15 of 1% U.S. Small XM Value Portfolio 0.30 of 1% U.S. Small Cap Value Portfolio 0.30 of 1% U.S. Small Cap Portfolio 0.32 of 1% U.S. Micro Cap Portfolio 0.40 of 1% International Small Company Portfolio 0.40 of 1% Japanese Small Company Portfolio 0.40 of 1% Pacific Rim Small Company Portfolio 0.40 of 1% United Kingdom Small Company Portfolio 0.40 of 1% Continental Small Company Portfolio 0.40 of 1% Emerging Markets Portfolio 0.40 of 1% Emerging Markets Small Cap Portfolio 0.45 of 1% DFA One-Year Fixed Income Portfolio 0.10 of 1% DFA Two-Year Global Fixed Income Portfolio 0.10 of 1%
Pursuant to a Fee Waiver and Expense Assumption Agreement for the U.S. Large Company Portfolio, U.S. Small XM Value Portfolio, and Emerging Markets Portfolio, the Advisor has agreed to waive its administration fee and to assume each Portfolio's direct and indirect expenses (including the expenses the Portfolio bears as a shareholder of its master fund) to the extent necessary to limit the expenses of each Portfolio to the following rates as a percentage of average net assets on an annualized basis: 0.15% for the U.S. Large Company Portfolio, 0.50% for the U.S. Small XM Value Portfolio, and 1.00% for the Emerging Markets Portfolio. At any time that the annualized expenses of a Portfolio are less than the rate listed above for such Portfolio on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the Portfolio's annualized expenses to exceed the applicable percentage of average net assets as listed above. The Portfolios are not obligated to reimburse the Advisor for fees waived or expenses assumed by the Advisor more than thirty-six months prior to the date of such reimbursement. The Fee Waiver and Expense Assumption Agreement will remain in effect for a period of one year from April 1, 2005 to April 1, 2006, and shall continue to remain in effect from year to year unless terminated by the Fund or the Advisor. At May 31, 2005, U.S. Large Company Portfolio had approximately $4,912,200 of previously waived fees subject to future reimbursement to the 72 Advisor over various periods not exceeding May 31, 2008. The U.S. Small XM Value Portfolio and Emerging Markets Portfolio had no fees waived subject to future reimbursement to the Advisor. Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has agreed to waive its administration fee for the Enhanced U.S. Large Company Portfolio to the extent necessary to reduce the Portfolio's expenses to the extent that its total direct and indirect expenses (including the expenses the Portfolio bears as a shareholder of The Enhanced U.S. Large Company Series) exceed 0.45% of its average net assets on an annualized basis. At any time that the total direct and indirect expenses of the Portfolio are less than 0.45% of its assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived to the extent that such reimbursement will not cause the Portfolio's total direct and indirect expenses to exceed 0.45% of average net assets on an annualized basis. The Portfolio is not obligated to reimburse the Advisor for fees waived by the Advisor more than thirty-six months prior to the date of such reimbursement. The Fee Waiver and Expense Assumption Agreement will remain in effect for a period of one year from April 1, 2005 to April 1, 2006, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. At May 31, 2005, there were no fees waived subject to future reimbursement to the Advisor. Pursuant to a Fee Waiver and Expense Assumption Agreement for the International Small Company Portfolio, the Advisor has agreed to waive its administration fee and to assume the Portfolio's other direct expenses to the extent necessary to limit the direct expenses of the Portfolio to 0.45% of its average net assets on an annualized basis. This fee waiver and expense assumption arrangement does not include the indirect expenses the Portfolio bears as a shareholder of the International Master Funds. At any time that the direct expenses of the Portfolio are less than 0.45% of its average net assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the Portfolio's direct expenses to exceed 0.45% of average net assets on an annualized basis. The International Small Company Portfolio is not obligated to reimburse the Advisor for fees waived or expenses previously assumed by the Advisor more than thirty-six months prior to the date of such reimbursement. The Fee Waiver and Expense Assumption Agreement will remain in effect for a period of one year from April 1, 2005 to April 1, 2006, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. At May 31, 2005, there were no fees waived subject to future reimbursement to the Advisor. Pursuant to a Fee Waiver and Expense Assumption Agreement for Japanese Small Company Portfolio, Pacific Rim Small Company Portfolio, United Kingdom Small Company Portfolio, and Continental Small Company Portfolio, the Advisor has agreed to waive its administration fee and to assume each Portfolio's other direct expenses to the extent necessary to limit the direct expenses of the Portfolios to 0.47% of its average net assets on an annualized basis. These fee waiver and expense assumption arrangements do not include the indirect expenses each Portfolio bears as a shareholder of its master fund. At any time that the direct expenses of each Portfolio are less than 0.47% of its average net assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the Portfolio's direct expenses to exceed 0.47% of its average net assets on an annualized basis. The Portfolios are not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months prior to the date of such reimbursement. The Fee Waiver and Expense Assumption Agreement will remain in effect for a period of one year from April 1, 2005 to April 1, 2006, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. At May 31, 2005, for the Japanese Small Company Portfolio, Pacific Rim Small Company Portfolio, United Kingdom Small Company Portfolio, and Continental Small Company Portfolio there were approximately $64,200, $93,000, $98,200, and $88,500, respectively, of previously waived fees subject to future reimbursement to the Advisor over various periods not exceeding May 31, 2008. Pursuant to a Fee Waiver and Expense Assumption Agreement for Emerging Markets Core Equity Portfolio, the Advisor has contractually agreed to waive all or a portion of its management fee to reduce the Portfolio's expenses up to the amount of its total management fee when the Portfolio's total operating expenses exceed 1.00% of the Portfolio's average net assets on an annualized basis. At any time that the annualized expenses of the Portfolio are less than 1.00% of its average net assets on an annualized basis, the Advisor retains the right to seek reimbursement 73 for any fees previously waived to the extent that such reimbursement will not cause the Portfolio's expenses to exceed 1.00% of its average net assets on an annualized basis. The Portfolio is not obligated to reimburse the Advisor for fees waived by the Advisor more than thirty-six months prior to the date of such reimbursement. The Fee Waiver and Expense Assumption Agreement will remain in effect for a period of one year from April 5, 2005 (commencement of operations) to April 1, 2006, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. At May 31, 2005, Emerging Markets Core Equity Portfolio, had approximately $29,600 of waived fees subject to future reimbursement to the Advisor over various periods not exceeding May 31, 2008. Pursuant to a Fee Waiver and Expense Assumption Agreement for DFA Short-Term Municipal Bond Portfolio, the Advisor has contractually agreed to waive its management fee to the extent necessary to reduce the Portfolio's expenses when its total operating expenses exceed 0.30% of its average net assets on an annualized basis. At any time that the annualized expenses of the Portfolio are less than 0.30% of its average net assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived to the extent that such reimbursement will not cause the Portfolio's annualized expenses to exceed 0.30% of its average net assets. The Portfolio is not obligated to reimburse the Advisor for fees previously waived by the Advisor more than thirty-six months prior to the date of such reimbursement. The Fee Waiver and Expense Assumption Agreement will remain in effect for a period of one year from April 1, 2005 to April 1, 2006, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. At May 31, 2005, DFA Short-Term Municipal Bond Portfolio had approximately $138,000 of previously waived fees subject to future reimbursement over various periods not exceeding May 31, 2008. Certain officers of the Fund are also officers and shareholders of the Advisor. D. DEFERRED COMPENSATION: At May 31, 2005, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities as follows: U.S. Large Company Portfolio $ 24,716 Enhanced U.S. Large Company Portfolio 3,773 U.S. Large Cap Value Portfolio 45,174 U.S. Small XM Value Portfolio 2,492 U.S. Small Cap Value Portfolio 94,810 U.S. Small Cap Portfolio 35,678 U.S. Micro Cap Portfolio 52,437 DFA Real Estate Securities Portfolio 21,595 Large Cap International Portfolio 14,396 International Small Company Portfolio 30,155 Japanese Small Company Portfolio 1,459 Pacific Rim Small Company Portfolio 472 United Kingdom Small Company Portfolio 269 Continental Small Company Portfolio 607 DFA International Small Cap Value Portfolio 42,966 Emerging Markets Portfolio 20,070 Emerging Markets Small Cap Portfolio 3,736 Emerging Markets Core Equity Portfolio 132 DFA One-Year Fixed Income Portfolio 31,190 DFA Two-Year Global Fixed Income Portfolio 27,328 DFA Five-Year Government Portfolio 9,229 DFA Five-Year Global Fixed Income Portfolio 20,239 DFA Intermediate Government Fixed Income Portfolio 6,353 DFA Short-Term Municipal Bond Portfolio 6,574
74 E. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2005, the Portfolios made the following purchases and sales of investment securities other than short-term securities (amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT SECURITIES SECURITIES ---------------------- ---------------------- PURCHASES SALES PURCHASES SALES ---------- ---------- ---------- ---------- DFA Real Estate Securities Portfolio -- -- $ 195,051 $ 19,905 Large Cap International Portfolio -- -- 121,356 14,245 DFA International Small Cap Value Portfolio -- -- 966,486 148,782 Emerging Markets Core Equity Portfolio -- -- 53,561 8 DFA Five-Year Government Portfolio $ 118,354 -- -- -- DFA Five-Year Global Fixed Income Portfolio 147,394 $ 227,411 588,350 178,600 DFA Intermediate Government Fixed Income Portfolio 80,178 16,011 -- -- DFA Short-Term Municipal Bond Portfolio -- -- 61,889 --
F. FEDERAL INCOME TAXES: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM RETURN OF CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL ------------- ------------- --------- ---------- U.S. Large Company Portfolio 2004 $ 17,869 -- -- $ 17,869 2003 12,490 -- -- 12,490 Enhanced U.S. Large Company Portfolio 2004 1,797 -- $ 86 1,883 2003 1,697 -- -- 1,697 U.S. Large Cap Value Portfolio 2004 23,826 -- 1,025 24,851 2003 17,524 -- -- 17,524 U.S. Small XM Value Portfolio 2004 6,606 $ 6,040 -- 12,646 2003 444 6,874 -- 7,318 U.S. Small Cap Value Portfolio 2004 69,276 216,598 -- 285,874 2003 12,117 271,483 -- 283,600 U.S. Small Cap Portfolio 2004 7,229 -- 1,515 8,744 2003 3,458 4,842 -- 8,300 U.S. Micro Cap Portfolio 2004 43,268 35,395 -- 78,663 2003 2,812 24,249 -- 27,061
75
ORDINARY INCOME AND SHORT-TERM LONG-TERM RETURN OF CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL ------------- ------------- --------- ---------- DFA Real Estate Securities Portfolio 2004 $ 40,062 $ 6,193 -- $ 46,255 2003 20,722 2,261 -- 22,983 Large Cap International Portfolio 2004 20,560 -- -- 20,560 2003 5,772 -- -- 5,772 International Small Company Portfolio 2004 32,182 -- -- 32,182 2003 8,564 -- -- 8,564 Japanese Small Company Portfolio 2004 396 -- -- 396 2003 575 -- -- 575 Pacific Rim Small Company Portfolio 2004 1,138 -- -- 1,138 2003 2,468 -- -- 2,468 United Kingdom Small Company Portfolio 2004 723 -- -- 723 2003 1,017 599 -- 1,616 Continental Small Company Portfolio 2004 1,260 3,086 -- 4,346 2003 1,802 2,582 -- 4,384 DFA International Small Cap Value Portfolio 2004 38,541 8,285 -- 46,826 2003 11,202 -- -- 11,202 Emerging Markets Portfolio 2004 19,202 -- -- 19,202 2003 4,473 -- -- 4,473 Emerging Markets Small Cap Portfolio 2004 2,550 432 -- 2,982 2003 338 273 -- 611 DFA One-Year Fixed Income Portfolio 2004 34,046 -- -- 34,046 2003 30,253 -- -- 30,253 DFA Two-Year Global Fixed Income Portfolio 2004 35,146 -- $ 407 35,553 2003 28,481 -- -- 28,481 DFA Five-Year Government Portfolio 2004 17,118 13,159 -- 30,277 2003 11,597 -- -- 11,597
76
ORDINARY INCOME AND SHORT-TERM LONG-TERM RETURN OF CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL ------------- ------------- --------- ---------- DFA Five-Year Global Fixed Income Portfolio 2004 $ 39,545 $ 30,038 -- $ 69,583 2003 32,928 2,655 -- 35,583 DFA Intermediate Government Fixed Income Portfolio 2004 16,177 6,872 -- 23,049 2003 15,142 4,808 -- 19,950 DFA Short-Term Municipal Bond Portfolio 2004 5,043 -- -- 5,043 2003 2,097 -- -- 2,097
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS/ NET INVESTMENT LONG-TERM LOSS (ACCUMULATED INCOME CAPITAL GAINS CARRYFORWARD LOSSES) -------------- ------------- ------------ ------------- U.S. Large Company Portfolio $ 9,846 -- $ (28,610) $ (18,764) Enhanced U.S. Large Company Portfolio -- -- (2,576) (2,576) U.S. Large Cap Value Portfolio -- -- (1,214) (1,214) U.S. Small XM Value Portfolio -- $ 5,557 -- 5,557 U.S. Small Cap Value Portfolio -- 283,742 -- 283,742 U.S. Small Cap Portfolio -- -- -- -- U.S. Micro Cap Portfolio -- 75,070 -- 75,070 DFA Real Estate Securities Portfolio 9,090 28,181 -- 37,271 Large Cap International Portfolio 6,784 -- (19,070) (12,286) International Small Company Portfolio 12,406 37,023 -- 49,429 Japanese Small Company Portfolio 481 -- (44,582) (44,101) Pacific Rim Small Company Portfolio 317 -- (11,735) (11,418) United Kingdom Small Company Portfolio 258 538 -- 796 Continental Small Company Portfolio 182 1,230 -- 1,412 DFA International Small Cap Value Portfolio 18,232 58,553 -- 76,785 Emerging Markets Portfolio 5,535 -- (47,372) (41,837) Emerging Markets Small Cap Portfolio 2,104 6,390 -- 8,494 DFA One-Year Fixed Income Portfolio 426 -- (1,205) (779) DFA Two-Year Global Fixed Income Portfolio -- -- (216) (216) DFA Five-Year Government Portfolio 4,241 -- (884) 3,357 DFA Five-Year Global Fixed Income Portfolio 111 -- (5,041) (4,930) DFA Intermediate Government Fixed Income Portfolio 4,193 1,113 -- 5,306 DFA Short-Term Municipal Bond Portfolio 602 -- (17) 585
77 For federal income tax purposes, the Fund measures its capital loss carryforwards annually at November 30, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. As of November 30, 2004, the following Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON NOVEMBER 30, -------------------------------------------------------------------------- 2005 2006 2007 2008 2009 2010 2011 2012 TOTAL ------- ------- ------- ----- -------- -------- -------- ------- -------- U.S. Large Company Portfolio -- -- -- -- -- -- $ 28,610 -- $ 28,610 Enhanced U.S. Large Company Portfolio -- -- -- -- $ 4 -- 2,572 -- 2,576 U.S. Large Cap Value Portfolio -- -- -- -- -- $ 1,214 -- -- 1,214 Large Cap International Portfolio -- -- -- -- 357 18,180 533 -- 19,070 Japanese Small Company Portfolio $ 1,532 $ 7,918 $ 2,827 $ 632 3,508 4,453 19,912 $ 3,800 44,582 Pacific Rim Small Company Portfolio -- -- 343 -- 906 3,164 6,171 1,151 11,735 Emerging Markets Portfolio -- 710 1,831 -- 18,234 19,225 7,372 -- 47,372 DFA One-Year Fixed Income Portfolio -- -- -- 45 -- -- -- 1,160 1,205 DFA Two-Year Global Fixed Income Portfolio -- -- -- -- 216 -- -- -- 216 DFA Five-Year Government Portfolio -- -- -- -- -- -- -- 884 884 DFA Five-Year Global Fixed Income Portfolio -- -- -- -- -- -- -- 5,041 5,041 DFA Short-Term Municipal Bond Portfolio -- -- -- -- -- -- -- 17 17
Certain of the Portfolio's investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. During the year ended November 30, 2004, the following Portfolio's had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income.
MARK TO MARKET REALIZED GAINS -------------- -------------- Large Cap International Portfolio $ 5,327,264 $ 81,703 International Small Company Portfolio 5,791,352 1,229,922 Japanese Small Company Portfolio 411,994 7,294 Pacific Rim Small Company Portfolio 761,683 340,318 United Kingdom Small Company Portfolio 80,659 16,885 Continental Small Company Portfolio 203,533 457,178 DFA International Small Cap Value Portfolio 14,608,263 1,665,316 Emerging Markets Portfolio 2,882,092 309,704 Emerging Markets Small Cap Portfolio 104,625 153,583
78 At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ------------ ------------ ------------ ------------- U.S. Large Company Portfolio $ 1,501,638 $ 387,174 $ (145,045) $ 242,129 Enhanced U.S. Large Company Portfolio 276,242 28,584 (34,070) (5,486) U.S. Large Cap Value Portfolio 2,557,684 771,587 (109,865) 661,722 U.S. Small XM Value Portfolio 132,339 23,091 (2,593) 20,498 U.S. Small Cap Value Portfolio 4,663,313 1,583,470 (174,292) 1,409,178 U.S. Small Cap Portfolio 2,004,987 345,697 (76,399) 269,298 U.S. Micro Cap Portfolio 2,558,492 879,473 (102,329) 777,144 DFA Real Estate Securities Portfolio 1,168,848 438,660 (5,161) 433,499 Large Cap International Portfolio 1,001,050 174,997 (66,523) 108,474 International Small Company Portfolio 1,570,205 492,862 (18,546) 474,316 Japanese Small Company Portfolio 220,765 28,656 (140,844) (112,188) Pacific Rim Small Company Portfolio 57,904 48,962 (76,401) (27,439) United Kingdom Small Company Portfolio 10,497 69,987 (63,551) 6,436 Continental Small Company Portfolio 29,921 82,400 (66,721) 15,679 DFA International Small Cap Value Portfolio 3,096,803 796,220 (131,708) 664,512 Emerging Markets Portfolio 971,119 461,927 (65,972) 395,955 Emerging Markets Small Cap Portfolio 244,085 53,860 (8,924) 44,936 Emerging Markets Core Equity Portfolio 56,429 1,144 (2,239) (1,095) DFA One-Year Fixed Income Portfolio 2,100,822 1,570 (10,478) (8,908) DFA Two-Year Global Fixed Income Portfolio 1,845,671 -- (12,780) (12,780) DFA Five-Year Government Portfolio 660,968 894 (6,469) (5,575) DFA Five-Year Global Fixed Income Portfolio 1,459,830 -- (20,138) (20,138) DFA Intermediate Government Fixed Income Portfolio 413,890 20,259 (199) 20,060 DFA Short-Term Municipal Bond Portfolio 455,873 321 (2,966) (2,645)
79 G. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
UNREALIZED ACCUMULATED APPRECIATION ACCUMULATED NET REALIZED ACCUMULATED DEFERRED (DEPRECIATION) NET GAIN (LOSS) OF NET REALIZED THAILAND OF INVESTMENT INVESTMENT INVESTMENT FOREIGN CAPITAL SECURITIES, PAID-IN INCOME SECURITIES AND EXCHANGE GAINS FUTURES AND CAPITAL (LOSS) FUTURES GAIN (LOSS) TAX FOREIGN CURRENCY ------------ ----------- -------------- ------------ -------- ---------------- U.S. Large Company Portfolio $ 1,524,383 $ 6,998 $ (85,007) -- -- $ 297,243 Enhanced U.S. Large Company Portfolio 278,896 (119) (36,640) -- -- 28,583 U.S. Large Cap Value Portfolio 2,556,999 (1,206) (108,414) -- -- 771,587 U.S. Small XM Value Portfolio 122,381 (71) 7,393 -- -- 23,091 U.S. Small Cap Value Portfolio 4,199,113 (3,349) 291,705 -- -- 1,583,470 U.S. Small Cap Portfolio 1,919,113 (1,711) 10,580 -- -- 345,697 U.S. Micro Cap Portfolio 2,318,996 (2,872) 138,912 -- -- 879,473 DFA Real Estate Securities Portfolio 1,109,179 (10,160) 9,643 -- -- 434,933 Large Cap International Portfolio 854,346 6,590 (17,965) $ (71) -- 109,287 International Small Company Portfolio 1,526,152 14,812 25,836 (151) -- 474,861 Japanese Small Company Portfolio 265,596 (82) (47,539) (3) -- (109,411) Pacific Rim Small Company Portfolio 70,288 (707) (11,734) 4 -- (27,392) United Kingdom Small Company Portfolio 10,088 65 339 (2) -- 6,443 Continental Small Company Portfolio 28,946 828 103 (9) -- 15,679 DFA International Small Cap Value Portfolio 2,470,285 23,123 64,404 (404) -- 664,785 Emerging Markets Portfolio 1,000,537 13,647 (39,855) (855) $ (3,469) 396,578 Emerging Markets Small Cap Portfolio 239,528 2,589 2,090 (81) (194) 44,936 Emerging Markets Core Equity Portfolio 55,424 276 (1) (27) (6) (1,094) DFA One-Year Fixed Income Portfolio 2,102,597 6 (12,480) -- -- 1,570 DFA Two-Year Global Fixed Income Portfolio 1,845,803 (108) (9,687) -- -- (3,309) DFA Five-Year Government Portfolio 661,547 5,671 (884) -- -- (5,575) DFA Five-Year Global Fixed Income Portfolio 1,447,241 15,285 (9,708) 16,353 -- (20,107) DFA Intermediate Government Fixed Income Portfolio 413,375 5,027 693 -- -- 20,060 DFA Short-Term Municipal Bond Portfolio 459,497 968 (17) -- -- (2,645) UNREALIZED NET FOREIGN EXCHANGE NUMBER OF GAIN TOTAL NET SHARES (LOSS) ASSETS AUTHORIZED ----------- ----------- ------------ U.S. Large Company Portfolio -- $ 1,743,617 200,000,000 Enhanced U.S. Large Company Portfolio -- 270,720 100,000,000 U.S. Large Cap Value Portfolio -- 3,218,966 250,000,000 U.S. Small XM Value Portfolio -- 152,794 100,000,000 U.S. Small Cap Value Portfolio -- 6,070,939 400,000,000 U.S. Small Cap Portfolio -- 2,273,679 200,000,000 U.S. Micro Cap Portfolio -- 3,334,509 300,000,000 DFA Real Estate Securities Portfolio -- 1,543,595 100,000,000 Large Cap International Portfolio $ (90) 952,097 150,000,000 International Small Company Portfolio (4) 2,041,506 200,000,000 Japanese Small Company Portfolio (15) 108,546 50,000,000 Pacific Rim Small Company Portfolio (3) 30,456 50,000,000 United Kingdom Small Company Portfolio -- 16,933 70,000,000 Continental Small Company Portfolio 39 45,586 50,000,000 DFA International Small Cap Value Portfolio (91) 3,222,102 300,000,000 Emerging Markets Portfolio 36 1,366,619 150,000,000 Emerging Markets Small Cap Portfolio 38 288,906 100,000,000 Emerging Markets Core Equity Portfolio 32 54,604 100,000,000 DFA One-Year Fixed Income Portfolio -- 2,091,693 300,000,000 DFA Two-Year Global Fixed Income Portfolio -- 1,832,699 250,000,000 DFA Five-Year Government Portfolio -- 660,759 100,000,000 DFA Five-Year Global Fixed Income Portfolio 16,114 1,465,178 200,000,000 DFA Intermediate Government Fixed Income Portfolio -- 439,155 100,000,000 DFA Short-Term Municipal Bond Portfolio -- 457,803 100,000,000
80 H. FINANCIAL INSTRUMENTS: In accordance with the Portfolios' investment objectives and policies, the Portfolios may invest, either directly or through their investment in a corresponding Master Fund, in certain financial instruments that have off-balance sheet risk and concentrations of credit risk. These instruments and their significant corresponding risks are described below: 1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Fund's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on May 31, 2005. 2. FORWARD CURRENCY CONTRACTS: The DFA Five-Year Global Fixed Income Portfolio may enter into forward foreign currency contracts only to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies. At May 31, 2005, the DFA Five-Year Global Fixed Income Portfolio had entered into the following contracts and the net unrealized foreign exchange gain/loss is reflected in the accompanying financial statements.
UNREALIZED VALUE AT FOREIGN SETTLEMENT CONTRACT MAY 31, EXCHANGE DATE CURRENCY SOLD CURRENCY AMOUNT 2005 GAIN (LOSS) - ---------- ------------- --------------- -------------- -------------- -------------- 06/09/05 191,956,050 Canadian Dollar $ 153,649,286 $ 152,949,104 $ 700,182 06/23/05 191,776,077 Canadian Dollar 152,032,806 152,842,784 (809,978) 06/09/05 683,606,458 Swedish Krona 95,935,240 91,895,416 4,039,824 06/09/05 218,389,651 Euro Currency 281,264,962 268,787,483 12,477,479 -------------- -------------- -------------- Total $ 682,882,294 $ 666,474,787 $ 16,407,507 ============== ============== ==============
Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar. 3. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Fund may be inhibited. I. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. For the six months ended May 31, 2005, borrowings under the line of credit were as follows:
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD ------------- ------------ ----------- -------- --------------- DFA Real Estate Securities Portfolio 3.00% $ 4,292,000 2 $ 715 $ 7,512,000 International Small Company Portfolio 3.25% 688,559 17 1,056 1,120,000
There were no outstanding borrowings under the line of credit at May 31, 2005. 81 The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings under the line of credit during the six months ended May 31, 2005. J. SECURITIES LENDING: As of May 31, 2005, some of the Portfolios had securities on loan to broker/dealers, for which each portfolio held cash collateral. Each portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% of the market value of the securities on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. The cash collateral received by each Portfolio from securities on loan is invested in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. The Portfolios paid fees for securities lending for the six month period ended May 31, 2005, which have been netted against Income from Securities Lending on the Statements of Operations. These fees are presented below (amounts in thousands): DFA Real Estate Securities Portfolio $ 16 Large Cap International Portfolio 230 DFA International Small Cap Value Portfolio 1,281
K. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 82 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case - because the return used is not the fund's actual return - the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ----------- ---------- ---------- --------- Actual Fund Return $ 1,000.00 $ 1,022.10 0.48% $ 2.42 Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.61 0.48% $ 2.42
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 83 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The Dimensional Investment Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Investment Companies 100.0% ----- 100.0% =====
84 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investment in The DFA International Value Series of The DFA Investment Trust Company (121,008,937 Shares, Cost $1,535,989) at Value+ $ 1,895,000 Receivable for Fund Shares Sold 5,402 Prepaid Expenses and Other Assets 17 -------------- Total Assets 1,900,419 -------------- LIABILITIES: Payables: Investment Securities Purchased 4,414 Fund Shares Redeemed 988 Due to Advisor 313 Accrued Expenses and Other Liabilities 58 -------------- Total Liabilities 5,773 -------------- NET ASSETS $ 1,894,646 ============== SHARES OUTSTANDING, $0.01 PAR VALUE (Authorized 200,000,000 Shares) 118,933,004 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.93 ==============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 85 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company $ 13,650 ------------ EXPENSES Administrative Services 1,733 Accounting & Transfer Agent Fees 23 Legal Fees 22 Audit Fees 4 Filing Fees 26 Shareholders' Reports 7 Directors' Fees and Expenses 6 Other 2 ------------ Total Expenses 1,823 ------------ NET INVESTMENT INCOME (LOSS) 11,827 ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from The DFA Investment Trust Company 55,190 Net Realized Gain (Loss) on Investment Securities Sold (143) Change in Unrealized Appreciation (Depreciation) of Investment Securities (45,409) ------------ NET GAIN (LOSS) 9,638 ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 21,465 ============
See accompanying Notes to Financial Statements. 86 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS) (UNAUDITED)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------- ------------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 11,827 $ 19,143 Capital Gain Distributions Received from The DFA Investment Trust Company 55,190 -- Net Realized Gain (Loss) on Investment Securities Sold (143) (828) Change in Unrealized Appreciation (Depreciation) of Investment Securities (45,409) 276,301 ------------- ------------- Net Increase (Decrease) in Net Assets Resulting from Operations 21,465 294,616 ------------- ------------- Distributions From: Net Investment Income (12,681) (21,908) Net Short-Term Gains (1,280) -- ------------- ------------- Total Distributions (13,961) (21,908) ------------- ------------- Capital Share Transactions (1): Shares Issued 555,950 520,740 Shares Issued in Lieu of Cash Distributions 12,048 19,587 Shares Redeemed (112,845) (129,365) ------------- ------------- Net Increase (Decrease) from Capital Share Transactions 455,153 410,962 ------------- ------------- Total Increase (Decrease) 462,657 683,670 NET ASSETS Beginning of Period 1,431,989 748,319 ------------- ------------- End of Period $ 1,894,646 $ 1,431,989 ============= ============= (1) SHARES ISSUED AND REDEEMED: Shares Issued 34,103 37,677 Shares Issued in Lieu of Cash Distributions 753 1,445 Shares Redeemed (6,949) (9,431) ------------- ------------- 27,907 29,691 ============= =============
See accompanying Notes to Financial Statements. 87 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO FINANCIAL HIGHLIGHTS
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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 15.73 $ 12.20 $ 9.19 $ 10.30 $ 12.58 $ 13.07 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.14 0.26 0.22 0.23 0.25 0.24 Net Gains (Losses) on Securities (Realized and Unrealized) 0.21 3.58 3.02 (0.78) (1.50) (0.32) ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations 0.35 3.84 3.24 (0.55) (1.25) (0.08) - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.15) (0.31) (0.23) (0.21) (0.27) (0.22) Net Realized Gains -- -- -- (0.35) (0.76) (0.19) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.15) (0.31) (0.23) (0.56) (1.03) (0.41) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.93 $ 15.73 $ 12.20 $ 9.19 $ 10.30 $ 12.58 ================================================================================================================================== Total Return 2.21%# 31.86% 35.92% (5.72)% (10.96)% (0.72)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,894,646 $ 1,431,989 $ 748,319 $ 464,313 $ 449,496 $ 569,234 Ratio of Expenses to Average Net Assets ** 0.48%* 0.51% 0.52% 0.53% 0.51% 0.52% Ratio of Net Investment Income to Average Net Assets 1.37%* 1.87% 2.26% 2.35% 2.12% 1.76% Portfolio Turnover Rate of Master Fund Series 5%# 15% 14% 18% 6% 9%
* Annualized # Non-annualized ** Represents the combined ratio for the Portfolio and its respective pro-rata share of its Master Fund Series. See accompanying Notes to Financial Statements. 88 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO 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 sixteen portfolios, of which DFA International Value Portfolio (the "Portfolio") is presented in this report. The Portfolio invests all of its assets in The DFA International Value Series (the "Series"), a corresponding series of The DFA Investment Trust Company. At May 31, 2005, the Portfolio owned 55% of the outstanding shares of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The shares of the Series held by the Portfolio are valued at its respective daily net asset value. 2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $26,695. 3. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Expenses directly attributable to the Portfolio or to the Series are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board of Directors, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides administrative services to the Portfolio, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. The Advisor provides investment advisory services to the Series. For the six months ended May 31, 2005, the Portfolio's administrative fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.20 of 1% of average daily net assets. Certain officers of the Fund are also officers, directors and shareholders of the Advisor. 89 D. FEDERAL INCOME TAXES: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM RETURN OF CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL ------------- ------------- --------- -------- 2004 $ 21,188 -- $ 720 $ 21,908 2003 12,609 -- -- 12,609
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED CAPITAL TOTAL NET NET INVESTMENT LOSS DISTRIBUTABLE INCOME CARRYFORWARD EARNINGS -------------- ------------ ------------- -- $ (9,562) $ (9,562)
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at November 30, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. As of November 30, 2004, the Portfolio had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON NOVEMBER 30, ----------------- 2010 2011 TOTAL -------- ------ -------- $ 8,681 $ 881 $ 9,562
At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ----------- ------------ ------------ -------------- $ 1,567,028 $ 359,012 $ (31,040) $ 327,972
E. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
ACCUMULATED ACCUMULATED UNREALIZED NET NET REALIZED APPRECIATION INVESTMENT GAIN (LOSS) (DEPRECIATION) PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET CAPITAL (LOSS) SECURITIES SECURITIES ASSETS ------------ ----------- ------------- ------------- ----------- $ 1,523,153 $ (868) $ 13,350 $ 359,011 $ 1,894,646
90 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 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the current overnight federal funds rate plus a variable rate determined at the date of borrowing. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings by the Portfolio under the line of credit during the six months ended May 31, 2005. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement of the line of credit expires on April 2, 2006. There were no borrowings under the line of credit during the six months ended May 31, 2005. G. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 91 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case - because the return used is not the fund's actual return - the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ---------- ---------- ---------- --------- THE U.S. LARGE COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,024.40 0.05% $ 0.25 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.75 0.05% $ 0.25 THE ENHANCED U.S. LARGE COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,020.70 0.18% $ 0.91 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.10 0.18% $ 0.91 THE U.S. LARGE CAP VALUE SERIES Actual Fund Return $ 1,000.00 $ 1,049.70 0.14% $ 0.72 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
92
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ---------- ---------- ---------- --------- THE U.S. SMALL XM VALUE SERIES Actual Fund Return $ 1,000.00 $ 1,011.90 0.14% $ 0.70 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71 THE U.S. SMALL CAP VALUE SERIES Actual Fund Return $ 1,000.00 $ 996.40 0.24% $ 1.19 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.80 0.24% $ 1.21 THE U.S. SMALL CAP SERIES Actual Fund Return $ 1,000.00 $ 985.70 0.07% $ 0.35 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.65 0.07% $ 0.35 THE U.S. MICRO CAP SERIES Actual Fund Return $ 1,000.00 $ 974.90 0.14% $ 0.69 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71 THE DFA INTERNATIONAL VALUE SERIES Actual Fund Return $ 1,000.00 $ 1,023.10 0.27% $ 1.36 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36 THE JAPANESE SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,089.40 0.23% $ 1.20 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.85 0.23% $ 1.16 THE PACIFIC RIM SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 982.80 0.28% $ 1.38 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.60 0.28% $ 1.41 THE UNITED KINGDOM SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,025.70 0.23% $ 1.16 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.85 0.23% $ 1.16 THE CONTINENTAL SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,078.10 0.24% $ 1.24 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.80 0.24% $ 1.21 THE EMERGING MARKETS SERIES Actual Fund Return $ 1,000.00 $ 1,080.90 0.28% $ 1.45 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.60 0.28% $ 1.41 THE EMERGING MARKETS SMALL CAP SERIES Actual Fund Return $ 1,000.00 $ 1,053.80 0.49% $ 2.51 Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.56 0.49% $ 2.47 THE DFA ONE-YEAR FIXED INCOME SERIES Actual Fund Return $ 1,000.00 $ 1,011.50 0.09% $ 0.45 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.55 0.09% $ 0.45 THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES Actual Fund Return $ 1,000.00 $ 1,009.50 0.11% $ 0.55 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.45 0.11% $ 0.56
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 93 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment Trust Company, this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. THE U.S. LARGE COMPANY SERIES Financials 19.5% Information Technology 15.5 Health Care 13.4 Industrials 11.5 Consumer Discretionary 11.4 Consumer Staples 10.4 Energy 8.3 Utilities 3.3 Telecommunication Services 3.1 Materials 3.0 REITS 0.6 ----- 100.0% =====
94 THE ENHANCED U.S. LARGE COMPANY SERIES Government 35.2% Foreign Government 26.3 Foreign Corporate 17.0 Supranational 13.4 Corporate 8.1 ----- 100.0% =====
THE U.S. LARGE CAP VALUE SERIES Consumer Discretionary 29.4% Financials 27.4 Energy 9.0 Industrials 8.7 Information Technology 6.1 Health Care 5.6 Materials 5.4 Consumer Staples 4.3 Telecommunication Services 3.7 Utilities 0.4 ----- 100.0% =====
THE U.S. SMALL XM VALUE SERIES Consumer Discretionary 22.5% Financials 17.9 Industrials 17.5 Information Technology 15.8 Energy 9.2 Materials 8.8 Consumer Staples 3.8 Health Care 2.4 Utilities 1.1 Telecommunication Services 0.8 Other 0.2 ----- 100.0% =====
THE U.S. SMALL CAP VALUE SERIES Consumer Discretionary 24.1% Industrials 20.7 Financials 13.2 Information Technology 11.9 Materials 9.8 Energy 8.5 Health Care 5.0 Consumer Staples 4.8 Telecommunication Services 1.0 Other 0.6 Utilities 0.4 ----- 100.0% =====
95 THE U.S. SMALL CAP SERIES Information Technology 20.8% Consumer Discretionary 17.8 Industrials 15.5 Health Care 14.7 Financials 12.7 Energy 5.6 Materials 5.2 Consumer Staples 3.7 Utilities 2.6 Telecommunication Services 1.2 Other 0.2 ----- 100.0% =====
THE U.S. MICRO CAP SERIES Information Technology 21.5% Consumer Discretionary 17.9 Health Care 16.6 Industrials 16.2 Financials 12.2 Energy 4.7 Consumer Staples 3.9 Materials 3.7 Utilities 1.5 Telecommunication Services 1.1 Other 0.7 ----- 100.0% =====
THE DFA INTERNATIONAL VALUE SERIES Financials 36.4% Consumer Discretionary 17.8 Materials 12.6 Industrials 11.4 Telecommunication Services 6.9 Consumer Staples 4.4 Utilities 3.5 Energy 2.9 Information Technology 2.2 Health Care 1.2 Other 0.4 REITS 0.3 ----- 100.0% =====
THE JAPANESE SMALL COMPANY SERIES Industrials 27.6% Consumer Discretionary 24.2 Information Technology 11.4 Materials 11.0 Consumer Staples 10.3 Financials 10.1 Health Care 3.4 Energy 1.3 Utilities 0.7 ----- 100.0% =====
96 THE PACIFIC RIM SMALL COMPANY SERIES Industrials 20.9% Consumer Discretionary 20.1 Financials 15.0 Materials 14.8 Information Technology 7.5 Health Care 7.4 Consumer Staples 5.2 Energy 4.6 Utilities 2.2 Telecommunication Services 1.5 REITS 0.4 Other 0.4 ----- 100.0% =====
THE UNITED KINGDOM SMALL COMPANY SERIES Industrials 29.5% Consumer Discretionary 23.4 Financials 14.3 Information Technology 10.2 Consumer Staples 6.4 Energy 4.9 Materials 4.4 Health Care 4.2 Telecommunication Services 1.3 Other 0.7 Utilities 0.7 ----- 100.0% =====
THE CONTINENTAL SMALL COMPANY SERIES Industrials 25.1% Financials 17.0 Consumer Discretionary 16.9 Information Technology 10.3 Materials 8.6 Consumer Staples 7.0 Health Care 7.0 Energy 3.7 Utilities 2.1 Telecommunication Services 1.1 Other 0.7 REITS 0.5 ----- 100.0% =====
97 THE EMERGING MARKETS SERIES Financials 23.9% Telecommunication Services 16.8 Materials 16.3 Consumer Staples 10.0 Information Technology 9.0 Industrials 7.4 Consumer Discretionary 6.8 Utilities 4.4 Energy 3.2 Health Care 2.1 Other 0.1 ----- 100.0% =====
THE EMERGING MARKETS SMALL CAP SERIES Consumer Discretionary 17.1% Materials 15.7 Industrials 14.5 Financials 14.0 Consumer Staples 11.9 Information Technology 10.6 Other 6.0 Health Care 3.2 Telecommunication Services 2.9 Utilities 2.6 Energy 1.5 ----- 100.0% =====
THE DFA ONE-YEAR FIXED INCOME SERIES Government 30.7% Foreign Government 30.5 Foreign Corporate 14.3 Supranational 13.7 Corporate 10.8 ----- 100.0% =====
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES Government 34.8% Foreign Government 27.4 Supranational 15.3 Foreign Corporate 14.6 Corporate 7.9 ----- 100.0% =====
98 THE U.S. LARGE COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (92.4%) Financials -- (18.1%) # Ace, Ltd. 98,800 $ 4,270,136 AFLAC, Inc. 174,400 7,246,320 # Allstate Corp. 236,000 13,735,200 AMBAC Financial Group, Inc. 37,800 2,727,270 American Express Co. 407,600 21,949,260 American International Group, Inc. 905,100 50,278,305 AmSouth Bancorporation 123,400 3,289,844 AON Corp. 109,900 2,739,807 Bank of America Corp. 1,408,600 65,246,352 Bank of New York Co., Inc. 270,500 7,795,810 # BB&T Corp. 190,600 7,612,564 # Bear Stearns Companies, Inc. 39,300 3,892,272 Capital One Financial Corp. 85,900 6,476,860 Chubb Corp. 66,500 5,601,295 Cincinnati Financial Corp. 58,005 2,289,457 CIT Group, Inc. 73,300 3,109,386 Citigroup, Inc. 1,815,800 85,542,338 Comerica, Inc. 59,200 3,308,096 Compass Bancshares, Inc. 43,000 1,916,510 Countrywide Financial Corp. 201,700 7,497,189 * E*TRADE Financial Corp. 128,800 1,590,680 Federal Home Loan Mortgage Corporation 239,100 15,551,064 Federal National Mortgage Association 336,400 19,928,336 Federated Investors, Inc. 33,100 980,091 Fifth Third Bancorp 180,700 7,701,434 # First Horizon National Corp. 42,800 1,807,444 Franklin Resources, Inc. 68,800 4,963,232 Golden West Financial Corp. 98,200 6,149,284 Hartford Financial Services Group, Inc. 102,800 7,688,412 Huntington Bancshares, Inc. 80,500 1,877,260 Janus Capital Group, Inc. 82,000 1,259,520 Jefferson-Pilot Corp. 47,400 2,388,960 JPMorgan Chase & Co. 1,235,000 44,151,250 KeyCorp 141,200 4,625,712 Lehman Brothers Holdings, Inc. 95,900 8,841,980 # Lincoln National Corp. 60,600 2,759,118 Loews Corp. 55,500 4,179,150 M&T Bank Corp. 34,200 3,493,188 Marsh & McLennan Companies, Inc. 183,800 5,337,552 Marshall & Ilsley Corp. 72,100 3,137,071 MBIA, Inc. 48,900 2,734,977 MBNA Corp. 444,000 9,363,960
1 Mellon Financial Corp. 147,200 4,086,272 Merrill Lynch & Co., Inc. 323,500 17,553,110 MetLife, Inc. 254,700 11,359,620 MGIC Investment Corp. 33,600 2,061,024 # Moody's Corp. 95,400 4,127,958 Morgan Stanley 386,600 18,927,936 National City Corp. 206,500 7,136,640 North Fork Bancorporation, Inc. 163,600 4,459,736 Northern Trust Corp. 70,700 3,246,544 PNC Financial Services Group 98,300 5,372,095 Principal Financial Group, Inc. 104,100 4,152,549 Progressive Corp. 69,600 6,686,472 * Providian Financial Corp. 101,900 1,815,858 Prudential Financial, Inc. 182,100 11,528,751 # Regions Financial Corp. 161,400 5,435,952 Safeco Corp. 44,200 2,378,402 Schwab (Charles) Corp. 399,000 4,524,660 SLM Corp. 149,400 7,211,538 Sovereign Bancorp, Inc. 130,300 2,908,296 State Street Corp. 115,900 5,563,200 SunTrust Banks, Inc. 117,900 8,678,619 Synovus Financial Corp. 108,100 3,142,467 T. Rowe Price Group, Inc. 43,000 2,565,380 The Goldman Sachs Group, Inc. 155,600 15,171,000 The St. Paul Travelers Companies, Inc. 232,500 8,807,100 Torchmark Corp. 37,600 1,983,400 U.S. Bancorp 644,100 18,891,453 UnumProvident Corp. 103,400 1,898,424 Wachovia Corp. 550,900 27,958,175 Washington Mutual, Inc. 303,500 12,534,550 Wells Fargo & Co. 589,300 35,599,613 XL Capital, Ltd. 48,300 3,636,024 Zions Bancorporation 31,200 2,210,208 ---------------- Total Financials (Cost $518,161,659) 740,646,972 ---------------- Information Technology -- (14.3%) * ADC Telecommunications, Inc. 40,242 730,795 # Adobe Systems, Inc. 169,200 5,593,752 * Advanced Micro Devices, Inc. 136,900 2,245,160 * Affiliated Computer Services, Inc. Class A 44,000 2,276,120 * Agilent Technologies, Inc. 150,200 3,606,302 * Altera Corp. 129,400 2,871,386 Analog Devices, Inc. 129,500 4,801,860 * Andrew Corp. 55,900 741,234 * Apple Computer, Inc. 284,000 11,277,640 Applied Materials, Inc. 579,600 9,511,236 * Applied Micro Circuits Corp. 107,000 307,090 Autodesk, Inc. 79,800 3,158,484 Automatic Data Processing, Inc. 202,600 8,873,880 * Avaya, Inc. 166,700 1,525,305 * BMC Software, Inc. 76,900 1,308,838 * Broadcom Corp. 101,000 3,584,490 * Ciena Corp. 198,900 433,602 * Cisco Sytems, Inc. 2,246,300 43,533,294
2 * Citrix Systems, Inc. 59,000 1,484,440 Computer Associates International, Inc. 185,968 5,071,347 * Computer Sciences Corp. 66,400 3,074,984 * Compuware Corp. 134,600 922,010 * Comverse Technology, Inc. 68,800 1,618,864 * Convergys Corp. 49,400 673,322 * Corning, Inc. 489,900 7,681,632 * Dell, Inc. 854,600 34,089,994 * Electronic Arts, Inc. 107,000 5,621,780 Electronic Data Systems Corp. 179,900 3,544,030 * EMC Corp. 835,900 11,752,754 First Data Corp. 278,700 10,543,221 * Fiserv, Inc. 67,100 2,885,300 * Freescale Semiconductor, Inc. Class B 139,600 2,819,920 * Gateway, Inc. 103,900 359,494 Hewlett-Packard Co. 1,006,200 22,649,562 Intel Corp. 2,163,800 58,271,134 International Business Machines Corp. 567,300 42,859,515 * Intuit, Inc. 64,500 2,787,690 * Jabil Circuit, Inc. 63,800 1,864,874 * JDS Uniphase Corp. 502,000 768,060 # KLA-Tencor Corp. 68,400 3,106,044 * Lexmark International, Inc. 44,000 3,011,360 Linear Technology Corp. 106,700 3,998,049 * LSI Logic Corp. 133,700 984,032 * # Lucent Technologies, Inc. 1,539,700 4,326,557 Maxim Integrated Products, Inc. 113,600 4,475,840 * Mercury Interactive Corp. 29,300 1,322,016 * Micron Technology, Inc. 213,300 2,342,034 Microsoft Corp. 3,516,200 90,717,960 Molex, Inc. 58,300 1,544,367 Motorola, Inc. 852,000 14,799,240 National Semiconductor Corp. 123,500 2,484,820 * NCR Corp. 64,700 2,369,961 * Network Appliance, Inc. 127,200 3,658,272 * Novell, Inc. 131,700 770,445 * Novellus Systems, Inc. 48,600 1,295,190 * Nvidia Corp. 57,800 1,571,582 * Oracle Corp. 1,561,500 20,018,430 * Parametric Technology Corp. 94,000 565,880 Paychex, Inc. 123,600 3,569,568 * PMC-Sierra, Inc. 62,400 547,248 * QLogic Corp. 31,900 1,021,438 Qualcomm, Inc. 571,900 21,308,994 Sabre Holdings Corp. 45,700 917,199 * Sanmina-SCI Corp. 181,900 933,147 Scientific-Atlanta, Inc. 52,900 1,761,570 * Siebel Systems, Inc. 178,900 1,649,458 * Solectron Corp. 337,400 1,231,510 * Sun Microsystems, Inc. 1,173,900 4,472,559 * Sungard Data Systems, Inc. 100,300 3,481,413 * # Symantec Corp. 246,500 5,573,365 Symbol Technologies, Inc. 84,300 970,293 Tektronix, Inc. 31,100 705,037 * Tellabs, Inc. 160,500 1,319,310
3 * Teradyne, Inc. 67,400 876,874 Texas Instruments, Inc. 598,200 16,534,248 * Unisys Corp. 117,200 848,528 * Veritas Software Corp. 146,600 3,645,942 * Xerox Corp. 332,700 4,514,739 Xilinx, Inc. 121,100 3,360,525 * Yahoo!, Inc. 453,100 16,855,320 ---------------- Total Information Technology (Cost $560,187,362) 587,184,759 ---------------- Health Care -- (12.4%) Abbott Laboratories 541,700 26,131,608 Aetna, Inc. 102,300 7,980,423 Allergan, Inc. 45,700 3,533,067 AmerisourceBergen Corp. 36,600 2,363,262 * Amgen, Inc. 435,400 27,247,332 Applera Corp. - Applied Biosystems Group 68,300 1,462,303 Bard (C.R.), Inc. 36,400 2,484,300 Bausch & Lomb, Inc. 18,700 1,460,283 Baxter International, Inc. 215,400 7,948,260 Becton Dickinson & Co. 88,000 5,055,600 * Biogen Idec, Inc. 115,900 4,531,690 Biomet, Inc. 87,900 3,312,951 * Boston Scientific Corp. 264,100 7,154,469 Bristol-Myers Squibb Co. 679,000 17,219,440 # Cardinal Health, Inc. 150,700 8,730,051 * # Caremark Rx, Inc. 158,900 7,096,474 * Chiron Corp. 51,300 1,925,802 Cigna Corp. 45,700 4,444,325 Eli Lilly & Co. 393,700 22,952,710 * # Express Scripts, Inc. 26,400 2,439,096 * # Fisher Scientific International, Inc. 40,800 2,548,368 * Forest Laboratories, Inc. 122,100 4,710,618 * Genzyme Corp. 86,100 5,371,779 * Gilead Sciences, Inc. 150,400 6,136,320 Guidant Corp. 112,100 8,283,069 HCA, Inc. 143,100 7,727,400 # Health Management Associates, Inc. 84,800 2,138,656 * Hospira, Inc. 54,300 2,067,744 * Humana, Inc. 55,900 2,032,524 IMS Health, Inc. 80,600 1,978,730 Johnson & Johnson 1,033,300 69,334,430 * King Pharmaceuticals, Inc. 84,000 794,640 * Laboratory Corp. of America Holdings 46,900 2,272,305 Manor Care, Inc. 29,900 1,161,914 McKesson Corp. 102,600 4,131,702 * Medco Health Solutions, Inc. 95,600 4,780,000 * Medimmune, Inc. 86,400 2,280,960 Medtronic, Inc. 420,300 22,591,125 Merck & Co., Inc. 767,300 24,891,212 * Millipore Corp. 17,300 890,777 Mylan Laboratories, Inc. 93,600 1,544,400 PerkinElmer, Inc. 45,100 862,763 Pfizer, Inc. 2,592,500 72,330,750 Quest Diagnostics, Inc. 31,700 3,328,500
4 Schering-Plough Corp. 512,500 9,993,750 * St. Jude Medical, Inc. 125,400 5,031,048 Stryker Corp. 130,200 6,334,230 * Tenet Healthcare Corp. 162,800 1,973,136 * Thermo Electron Corp. 55,600 1,463,392 UnitedHealth Group, Inc. 445,800 21,656,964 * Waters Corp. 42,000 1,631,700 * Watson Pharmaceuticals, Inc. 38,100 1,145,286 * WellPoint, Inc. 106,000 14,098,000 Wyeth 464,300 20,136,691 * Zimmer Holdings, Inc. 85,700 6,562,906 ---------------- Total Health Care (Cost $377,818,748) 509,691,235 ---------------- Industrials -- (10.7%) 3M Co. 268,400 20,572,860 * Allied Waste Industries, Inc. 94,300 727,053 American Power Conversion Corp. 62,400 1,588,704 American Standard Companies, Inc. 62,600 2,679,280 Avery Dennison Corp. 35,400 1,856,730 # Boeing Co. 289,300 18,486,270 Burlington Northern Santa Fe Corp. 131,500 6,498,730 Caterpillar, Inc. 119,200 11,217,912 Cendant Corp. 366,600 7,775,586 Cintas Corp. 51,900 2,095,203 Cooper Industries, Ltd. 32,200 2,219,868 CSX Corp. 74,900 3,114,342 # Cummins, Inc. 14,900 1,012,455 # Danaher Corp. 95,600 5,270,428 Deere & Co. 85,800 5,675,670 * # Delta Air Lines, Inc. 48,600 187,110 Donnelley (R.R.) & Sons Co. 74,900 2,490,425 Dover Corp. 70,800 2,681,196 Eaton Corp. 53,100 3,178,035 Emerson Electric Co. 145,700 9,684,679 Equifax, Inc. 46,900 1,626,961 FedEx Corp. 104,700 9,362,274 # Fluor Corp. 29,700 1,706,265 General Dynamics Corp. 69,600 7,515,408 General Electric Co. 3,683,200 134,363,136 Goodrich (B.F.) Co. 41,700 1,745,562 Honeywell International, Inc. 295,600 10,709,588 Illinois Tool Works, Inc. 95,400 8,054,622 Ingersoll-Rand Co., Ltd. Class A 60,200 4,660,082 ITT Industries, Inc. 32,000 3,040,000 L-3 Communications Holdings, Inc. 40,100 2,838,278 Lockheed Martin Corp. 139,500 9,052,155 Masco Corp. 155,700 4,985,514 * Monster Worldwide, Inc. 41,900 1,105,322 * Navistar International Corp. 22,900 698,679 Norfolk Southern Corp. 139,200 4,443,264 Northrop Grumman Corp. 125,200 6,976,144 Paccar, Inc. 60,400 4,273,300 Pall Corp. 43,100 1,258,089 Parker Hannifin Corp. 41,700 2,515,761
5 Pitney Bowes, Inc. 80,200 3,577,722 Raytheon Co. 157,400 6,163,784 Robert Half International, Inc. 55,900 1,394,146 Rockwell Automation, Inc. 60,800 3,123,296 Rockwell Collins, Inc. 61,900 3,057,241 Ryder System, Inc. 22,300 819,302 Southwest Airlines Co. 256,000 3,724,800 Textron, Inc. 46,900 3,624,901 Tyco International, Ltd. 699,600 20,239,428 Union Pacific Corp. 90,700 6,073,272 United Parcel Service, Inc. 389,000 28,649,850 United Technologies Corp. 178,000 18,992,600 W.W. Grainger, Inc. 29,000 1,577,310 Waste Management, Inc. 197,500 5,824,275 ---------------- Total Industrials (Cost $311,260,626) 436,784,867 ---------------- Consumer Discretionary -- (10.5%) * Apollo Group, Inc. Class A 57,600 4,521,600 * AutoNation, Inc. 78,500 1,569,215 * Autozone, Inc. 23,500 2,127,220 * Bed Bath and Beyond, Inc. 105,100 4,272,315 Best Buy Co., Inc. 103,800 5,649,834 * Big Lots, Inc. 39,200 496,272 # Black & Decker Corp. 27,900 2,436,228 Brunswick Corp. 33,700 1,450,448 Carnival Corp. 183,100 9,685,990 Centex Corp. 44,000 2,881,120 Circuit City Stores, Inc. 66,400 1,088,296 Clear Channel Communications, Inc. 183,200 5,354,936 * Coach, Inc. 132,900 3,859,416 * Comcast Corp. Class A 768,700 24,752,140 Cooper Tire & Rubber Co. 22,300 424,592 Dana Corp. 52,100 705,955 Darden Restaurants, Inc. 51,300 1,666,224 Delphi Corp. 195,000 848,250 Dillards, Inc. Class A 24,500 586,040 Disney (Walt) Co. 711,400 19,520,816 Dollar General Corp. 104,700 2,053,167 Dow Jones & Co., Inc. 24,500 869,750 Eastman Kodak Co. 99,600 2,617,488 * # eBay, Inc. 420,500 15,983,205 Family Dollar Stores, Inc. 58,300 1,496,561 # Federated Department Stores, Inc. 58,900 3,972,805 Ford Motor Co. 636,200 6,349,276 Fortune Brands, Inc. 50,400 4,359,600 Gannett Co., Inc. 87,300 6,500,358 Gap, Inc. 275,500 5,785,500 # General Motors Corp. 196,300 6,189,339 Genuine Parts Co. 60,700 2,607,672 * # Goodyear Tire & Rubber Co. 61,100 879,229 H&R Block, Inc. 57,400 2,865,408 Harley-Davidson, Inc. 101,500 4,976,545 # Harrahs Entertainment, Inc. 39,500 2,836,495 Hasbro, Inc. 58,000 1,170,440
6 Hilton Hotels Corp. 133,700 3,239,551 Home Depot, Inc. 763,000 30,024,050 International Game Technology 119,900 3,378,782 * Interpublic Group of Companies, Inc. 146,900 1,812,746 Johnson Controls, Inc. 66,400 3,762,224 Jones Apparel Group, Inc. 42,600 1,359,366 KB Home 29,000 1,958,660 Knight-Ridder, Inc. 26,300 1,659,004 * Kohl's Corp. 113,300 5,516,577 Leggett & Platt, Inc. 66,300 1,766,232 Limited Brands, Inc. 132,800 2,731,696 Liz Claiborne, Inc. 37,800 1,419,390 # Lowe's Companies, Inc. 268,600 15,366,606 Marriott International, Inc. Class A 69,800 4,714,292 # Mattel, Inc. 144,800 2,632,464 May Department Stores Co. 101,500 3,873,240 # Maytag Corp. 27,700 404,143 McDonald's Corp. 442,000 13,675,480 McGraw-Hill Companies, Inc. 132,400 5,780,584 Meredith Corp. 15,800 783,680 Newell Rubbermaid, Inc. 95,500 2,176,445 News Corp. Class A 864,600 13,945,998 NIKE, Inc. Class B 79,800 6,559,560 Nordstrom, Inc. 43,800 2,673,552 * Office Depot, Inc. 108,700 2,143,564 OfficeMax, Inc. 24,400 740,540 Omnicom Group, Inc. 64,800 5,306,472 Penney (J.C.) Co., Inc. 94,100 4,682,416 Pulte Homes, Inc. 41,200 3,149,740 RadioShack Corp. 55,100 1,386,316 # Reebok International, Ltd. 19,500 793,845 * Sears Holdings Corp. 22,865 3,354,295 Sherwin-Williams Co. 44,000 1,955,800 # Snap-On, Inc. 20,100 693,651 Staples, Inc. 258,250 5,560,123 * Starbucks Corp. 138,900 7,604,775 Starwood Hotels & Resorts Worldwide, Inc. 73,900 4,136,183 Target Corp. 311,100 16,706,070 # The New York Times Co. Class A 50,700 1,590,459 The Stanley Works 26,100 1,164,321 The TJX Companies, Inc. 167,400 3,838,482 # Tiffany & Co. 50,600 1,575,178 * Time Warner, Inc. 1,597,100 27,789,540 * Toys R Us, Inc. 74,800 1,959,760 Tribune Co. 103,700 3,751,866 * Univision Communications, Inc. Class A 101,400 2,698,254 V.F. Corp. 34,700 1,958,121 Viacom, Inc. Class B 592,500 20,316,825 # Visteon Corp. 45,100 344,113 Wendy's International, Inc. 39,600 1,787,148 Whirlpool Corp. 23,300 1,603,040 Yum! Brands, Inc. 101,300 5,195,677 ---------------- Total Consumer Discretionary (Cost $353,509,371) 430,410,641 ----------------
7 Consumer Staples -- (9.6%) Alberto-Culver Co. Class B 29,400 1,303,302 # Albertson's, Inc. 127,900 2,684,621 # Altria Group, Inc. 718,900 48,266,946 Anheuser-Busch Companies, Inc. 270,000 12,649,500 Archer-Daniels-Midland Co. 216,500 4,297,525 Avon Products, Inc. 163,900 6,513,386 Brown-Forman Corp. Class B 31,300 1,866,106 Campbell Soup Co. 113,200 3,512,596 Clorox Co. 53,300 3,113,253 Coca-Cola Co. 787,200 35,132,736 Coca-Cola Enterprises, Inc. 122,500 2,680,300 Colgate-Palmolive Co. 182,600 9,124,522 ConAgra, Inc. 179,100 4,683,465 Costco Wholesale Corp. 164,200 7,457,964 CVS Corp. 139,100 7,629,635 General Mills, Inc. 126,800 6,276,600 Gillette Co. 344,500 18,168,930 Heinz (H.J.) Co. 121,600 4,422,592 Hershey Foods Corp. 76,000 4,879,960 Kellogg Co. 121,900 5,545,231 Kimberly-Clark Corp. 167,200 10,755,976 McCormick & Co., Inc. 47,100 1,593,864 Molson Coors Brewing Co. 28,000 1,637,160 Pepsi Bottling Group, Inc. 68,800 1,951,856 PepsiCo, Inc. 583,200 32,834,160 Procter & Gamble Co. 876,500 48,338,975 # Reynolds American, Inc. 40,500 3,357,855 * Safeway, Inc. 155,500 3,422,555 Sara Lee Corp. 274,300 5,565,547 Supervalu, Inc. 46,900 1,536,444 Sysco Corp. 221,300 8,223,508 * The Kroger Co. 254,400 4,266,288 UST, Inc. 57,400 2,557,744 # Walgreen Co. 354,900 16,091,166 Wal-Mart Stores, Inc. 1,177,200 55,599,156 Wrigley (Wm.) Jr. Co. 68,000 4,642,360 ---------------- Total Consumer Staples (Cost $263,498,630) 392,583,784 ---------------- Energy -- (7.7%) Amerada Hess Corp. 29,600 2,748,360 # Anadarko Petroleum Corp. 82,300 6,230,110 # Apache Corp. 113,500 6,669,260 Ashland, Inc. 23,100 1,577,730 Baker Hughes, Inc. 117,500 5,427,325 BJ Services Co. 56,400 2,839,740 Burlington Resources, Inc. 134,500 6,816,460 ChevronTexaco Corp. 731,200 39,323,936 ConocoPhillips 241,700 26,064,928 Devon Energy Corp. 166,500 7,642,350 # El Paso Corp. 223,600 2,312,024 EOG Resources, Inc. 83,100 4,145,859 Exxon Mobil Corp. 2,218,900 124,702,180 Halliburton Co. 175,300 7,492,322
8 # Kerr-McGee Corp. 40,500 2,991,330 Kinder Morgan, Inc. 38,200 2,968,522 Marathon Oil Corp. 120,600 5,847,894 * Nabors Industries, Ltd. 49,200 2,711,412 * National-Oilwell, Inc. 58,300 2,623,500 # Noble Corp. 47,100 2,666,802 Occidental Petroleum Corp. 138,000 10,089,180 Rowan Companies, Inc. 37,200 1,023,000 Schlumberger, Ltd. 204,900 14,009,013 Sunoco, Inc. 24,100 2,471,937 The Williams Companies, Inc. 198,200 3,648,862 * # Transocean, Inc. 111,600 5,558,796 Unocal Corp. 94,000 5,357,060 Valero Energy Corp. 89,200 6,120,904 XTO Energy, Inc. 120,700 3,756,184 ---------------- Total Energy (Cost $190,448,944) 315,836,980 ---------------- Utilities -- (3.0%) * AES Corp. 225,500 3,357,695 * Allegheny Energy, Inc. 56,300 1,361,334 Ameren Corp. 67,900 3,705,982 American Electric Power Co., Inc. 133,200 4,753,908 * # Calpine Corp. 185,600 553,088 CenterPoint Energy, Inc. 100,500 1,232,130 Cinergy Corp. 66,500 2,741,795 * # CMS Energy Corp. 74,900 990,927 Consolidated Edison, Inc. 84,300 3,836,493 Constellation Energy Group 61,400 3,281,830 Dominion Resources, Inc. 118,400 8,324,704 DTE Energy Co. 60,500 2,876,170 # Duke Energy Corp. 325,900 8,955,732 * Dynegy, Inc. 115,000 534,750 Edison International 113,200 4,160,100 Entergy Corp. 74,100 5,322,603 Exelon Corp. 231,000 10,822,350 FirstEnergy Corp. 114,600 5,076,780 FPL Group, Inc. 135,900 5,524,335 KeySpan Corp. 60,100 2,388,374 Nicor, Inc. 15,300 604,350 NiSource, Inc. 94,300 2,272,630 Peoples Energy Corp. 13,200 564,300 PG&E Corp. 125,400 4,485,558 Pinnacle West Capital Corp. 33,700 1,486,844 # PPL Corp. 65,700 3,778,407 Progress Energy, Inc. 85,800 3,794,934 Public Service Enterprise Group, Inc. 82,900 4,600,950 Sempra Energy 82,800 3,284,676 Southern Co. 258,200 8,765,890 TECO Energy, Inc. 71,700 1,267,656 TXU Corp. 83,500 6,703,380 Xcel Energy, Inc. 139,400 2,569,142 ---------------- Total Utilities (Cost $94,737,953) 123,979,797 ----------------
9 Telecommunication Services -- (2.9%) Alltel Corp. 113,600 6,608,112 AT&T Corp. 278,100 5,225,499 BellSouth Corp. 636,400 17,030,064 CenturyTel, Inc. 46,700 1,531,293 # Citizens Communications Co. 116,600 1,590,424 * Nextel Communications, Inc. 391,500 11,815,470 * Qwest Communications International, Inc. 580,700 2,276,344 SBC Communications, Inc. 1,147,900 26,837,902 Sprint Corp. 513,600 12,167,184 Verizon Communications, Inc. 962,600 34,056,788 ---------------- Total Telecommunication Services (Cost $138,008,205) 119,139,080 ---------------- Materials -- (2.7%) Air Products & Chemicals, Inc. 79,100 4,764,193 Alcoa, Inc. 302,900 8,208,590 Allegheny Technologies, Inc. 31,100 661,186 Ball Corp. 38,200 1,434,410 Bemis Co., Inc. 37,200 1,010,352 Dow Chemical Co. 331,300 15,004,577 DuPont (E.I.) de Nemours & Co., Inc. 346,500 16,115,715 Eastman Chemical Co. 27,100 1,592,938 Ecolab, Inc. 76,700 2,479,711 Engelhard Corp. 42,400 1,246,560 Freeport-McMoRan Copper & Gold, Inc. Class B 62,100 2,192,130 Georgia-Pacific Corp. 90,300 2,992,542 Great Lakes Chemical Corp. 17,900 606,810 * Hercules, Inc. 38,900 537,598 International Flavors & Fragrances, Inc. 30,800 1,142,372 International Paper Co. 170,400 5,488,584 Louisiana-Pacific Corp. 38,500 969,430 # MeadWestavco Corp. 70,400 2,019,072 Monsanto Co. 92,500 5,272,500 Newmont Mining Corp. 154,300 5,746,132 Nucor Corp. 55,500 2,939,280 * Pactiv Corp. 51,600 1,179,060 Phelps Dodge Corp. 33,600 2,936,640 # PPG Industries, Inc. 60,200 3,936,478 Praxair, Inc. 112,100 5,254,127 Rohm & Haas Co. 67,600 3,153,540 * Sealed Air Corp. 29,000 1,501,910 Sigma-Aldrich Corp. 23,900 1,431,849 Temple-Inland, Inc. 39,800 1,421,656 United States Steel Corp. 39,600 1,574,892 Vulcan Materials Co. 35,800 2,145,494 Weyerhaeuser Co. 84,400 5,414,260 ---------------- Total Materials (Cost $84,499,322) 112,374,588 ---------------- Real Estate Investment Trusts -- (0.5%) Apartment Investment & Management Co. Class A 33,300 1,235,430 Archstone-Smith Trust 69,500 2,558,990 Equity Office Properties Trust 140,100 4,551,849 Equity Residential 98,300 3,528,970
10 Plum Creek Timber Co., Inc. 63,900 2,239,695 # ProLogis 64,000 2,613,760 Simon Property Group, Inc. 76,800 5,277,696 ---------------- Total Real Estate Investment Trusts 22,006,390 ---------------- (Cost $18,025,834) TOTAL COMMON STOCKS 3,790,639,093 ---------------- (Cost $2,910,156,654)
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (7.6%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05 (Collateralized by $512,215,000 U.S. STRIPS, rates ranging from 7.50% to 11.75%, maturities ranging from 11/15/14 to 11/15/24, valued at $239,637,495) to be repurchased at $234,956,078 (Cost $234,937,022) $ 234,937 234,937,022 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $77,493,000 FHLMC Notes 4.00%, 09/22/09, valued at $77,589,866) to be repurchased at $76,449,137 (Cost $76,443,000) 76,443 76,443,000 ---------------- 311,380,022 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $311,380,022) 311,380,022 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $3,221,536,676) $ 4,102,019,115 ================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 11 THE ENHANCED U.S. LARGE COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
FACE AMOUNT VALUE+ ------------- ------------- (000) UNITED STATES -- (69.6%) COMMERCIAL PAPER -- (30.9%) Barton Capital Corp. 3.020%, 06/09/05 $ 5,000 $ 4,996,633 3.050%, 07/07/05 2,000 1,993,846 Canadian Wheat Board 2.790%, 06/10/05 6,000 5,995,515 Ciesco L.P. 2.940%, 06/08/05 7,000 6,995,876 Compass Securitization LLC 3.020%, 06/20/05 1,100 1,098,236 Dexia Delaware LLC 2.870%, 06/08/05 2,000 1,998,837 DuPont (E.I.) de Nemours & Co., Inc. 2.920%, 06/13/05 6,800 6,793,223 Govco, Inc. 3.130%, 07/25/05 2,500 2,488,184 KFW International Finance, Inc. 3.040%, 06/01/05 4,200 4,200,000 Nestle Capital Corp. 2.860%, 06/03/05 1,000 999,834 2.880%, 06/03/05 5,500 5,499,086 Network Rail Finance P.L.C. 3.010%, 06/30/05 4,000 3,990,269 3.080%, 07/13/05 3,035 3,024,126 3.100%, 07/20/05 500 497,894 3.110%, 07/29/05 400 397,985 Paccar Financial Corp. 2.800%, 06/02/05 3,000 2,999,751 2.910%, 06/03/05 4,300 4,299,285 Shell Finance UK 3.040%, 07/18/05 4,000 3,983,879 Siemens Capital Corp. 2.910%, 06/03/05 4,300 4,299,285 Total Capital SA 3.110%, 06/01/05 7,000 7,000,000 UBS Finance Delaware, Inc. 2.870%, 06/01/05 1,000 1,000,000 3.010%, 06/17/05 6,000 5,992,021 Wal-Mart Stores, Inc. 2.890%, 06/07/05 1,000 999,502 3.050%, 07/12/05 1,000 996,507 Windmill Funding Corp. 3.020%, 06/08/05 1,000 999,409 ------------- TOTAL COMMERCIAL PAPER (Cost $83,540,306) 83,539,183 ------------- AGENCY OBLIGATIONS -- (26.1%) Federal Farm Credit Bank 2.600%, 09/07/06 3,800 3,748,012 Federal Home Loan Bank 2.625%, 10/16/06 11,000 10,843,701 3.375%, 02/23/07 9,800 9,743,768 Federal Home Loan Mortgage Corporation 3.070%, 08/01/05 $ 15,000 $ 14,921,715 2.750%, 08/15/06 1,000 988,976 2.750%, 10/15/06 7,300 7,207,151 Federal National Mortgage Association 4.375%, 10/15/06 6,000 6,053,484 2.625%, 11/15/06 3,000 2,954,115 2.375%, 02/15/07 14,200 13,878,100 ------------- TOTAL AGENCY OBLIGATIONS (Cost $70,619,619) 70,339,022 ------------- BONDS -- (12.6%) Citigroup, Inc. 5.750%, 05/10/06 895 910,412 5.500%, 08/09/06 2,600 2,644,317 General Electric Capital Corp. 2.970%, 07/26/06 5,000 4,951,365 KFW International Finance, Inc. 5.250%, 06/28/06 3,000 3,043,128 Landesbank Baden-Wuerttemberg 4.150%, 03/30/07 6,500 6,519,591 Toyota Motor Credit Corp. 2.900%, 07/14/06 5,000 4,936,785 Wal-Mart Stores, Inc. 5.450%, 08/01/06 5,000 5,086,920 Wells Fargo & Co. 5.900%, 05/21/06 5,800 5,907,439 ------------- TOTAL BONDS (Cost $34,289,938) 33,999,957 ------------- TOTAL -- UNITED STATES (Cost $188,449,863) 187,878,162 ------------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (10.2%) BONDS -- (10.2%) Asian Development Bank 4.875%, 02/05/07 7,000 7,148,960 European Investment Bank 3.000%, 08/15/06 2,300 2,286,128 4.875%, 09/06/06 3,000 3,045,006 Inter-American Development Bank 6.625%, 03/07/07 2,400 2,520,977 International Finance Corp. 5.250%, 05/02/06 6,502 6,572,541 World Bank (International Bank for Reconstruction & Development) Corporate Bonds 4.375%, 09/28/06 6,000 6,060,714 ------------- TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS (Cost $27,727,978) 27,634,326 -------------
102
FACE AMOUNT VALUE ------------- ------------- (000) GERMANY -- (4.6%) BONDS -- (4.6%) Landeskreditbank Baden- Wuerttemberg-Foerderbank 4.875%, 01/30/07 $ 5,000 $ 5,081,930 Landwirtschaft Rentenbank 4.500%, 10/23/06 6,300 6,361,356 4.875%, 03/12/07 1,000 1,017,023 ------------- TOTAL -- GERMANY (Cost $12,520,850) 12,460,309 ------------- AUSTRIA -- (2.7%) BONDS -- (2.7%) Oesterreichische Kontrollbank AG 5.125%, 03/20/07 (Cost $7,144,627) 7,000 7,172,494 ------------- SWEDEN -- (2.6%) BONDS -- (2.6%) Swedish Export Credit Corp. 2.875%, 01/26/07 (Cost $7,034,620) 7,100 6,988,105 ------------- SPAIN -- (2.6%) BONDS -- (2.6%) Institut de Credito Oficial 4.625%, 11/29/06 (Cost $6,935,874) 6,800 6,871,291 ------------- DENMARK -- (2.5%) BONDS -- (2.5%) Denmark (Kingdom of) 5.125%, 12/28/06 (Cost $6,873,667) 6,700 6,845,042 ------------- NORWAY -- (1.9%) BONDS -- (1.9%) Eksportfinans ASA 5.750%, 06/06/06 (Cost $5,155,389) $ 5,000 $ 5,099,920 ------------- UNITED KINGDOM -- (1.6%) BONDS -- (1.6%) BP Capital Markets P.L.C. 2.750%, 12/29/06 (Cost $4,410,989) 4,500 4,428,958 ------------- NETHERLANDS -- (1.2%) BONDS -- (1.2%) Bank Nederlandse Gemeenten 4.500%, 12/14/06 (Cost $3,348,603) 3,300 3,334,426 ------------- TEMPORARY CASH INVESTMENTS -- (0.5%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $1,253,000 FHLMC Notes 4.00%, 09/22/09, valued at $1,254,566) to be repurchased at $1,236,099 (Cost $1,236,000) 1,236 1,236,000 ------------- TOTAL INVESTMENTS -- (100.0%) (Cost $270,838,460) $ 269,949,033 =============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 103 THE U.S. LARGE CAP VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (95.5%) Consumer Discretionary -- (28.1%) American Greetings Corp. Class A 177,600 $ 4,614,048 * AutoNation, Inc. 2,057,600 41,131,424 * Barnes & Noble, Inc. 176,400 6,676,740 Belo Corp. Class A 362,300 8,905,334 * Big Lots, Inc. 253,500 3,209,310 # Blockbuster, Inc. Class A 83,900 766,007 Borders Group, Inc. 34,000 859,860 BorgWarner, Inc. 201,600 10,777,536 * Caesars Entertainment, Inc. 845,900 18,229,145 * Cavco Industries, Inc. 22,900 616,239 Circuit City Stores, Inc. 586,200 9,607,818 Clear Channel Communications, Inc. 1,942,666 56,784,127 * Comcast Corp. Class A 3,966,525 127,722,105 * Comcast Corp. Special Class A Non-Voting 927,100 29,333,444 Dana Corp. 511,600 6,932,180 Dillards, Inc. Class A 286,000 6,841,120 Disney (Walt) Co. 906,600 24,877,104 # Federated Department Stores, Inc. 618,200 41,697,590 Foot Locker, Inc. 90,400 2,387,464 Ford Motor Co. 5,892,000 58,802,160 # General Motors Corp. 1,913,900 60,345,267 * # Goodyear Tire & Rubber Co. 203,900 2,934,121 Hearst-Argyle Television, Inc. 238,600 5,955,456 Hollinger International, Inc. Class A 257,600 2,382,800 Horton (D.R.), Inc. 1,091,829 37,744,529 * # IAC/InterActiveCorp 2,346,703 57,494,223 Lear Corp. 227,800 8,588,060 * Liberty Media Corp. Class A 9,460,100 98,290,439 * Liberty Media International, Inc. Class A 313,805 13,151,568 May Department Stores Co. 446,600 17,042,256 * MGM Mirage 734,400 27,973,296 News Corp. Class A 44,676 720,624 # OfficeMax, Inc. 354,300 10,753,005 Penney (J.C.) Co., Inc. 1,120,000 55,731,200 Pulte Homes, Inc. 248,400 18,990,180 * Radio One, Inc. 55,000 694,100 Saks, Inc. 743,200 12,738,448 * Sears Holdings Corp. 173,929 25,515,384 Service Corp. International 311,600 2,361,928 Starwood Hotels & Resorts Worldwide, Inc. 548,600 30,705,142 * The DIRECTV Group, Inc. 481,937 7,195,319 * Time Warner, Inc. 10,059,480 175,034,952
1 * Toys R Us, Inc. 819,300 21,465,660 Tribune Co. 1,182,400 42,779,232 * # Univision Communications, Inc. Class A 932,900 24,824,469 Viacom, Inc. Class B 5,017,000 172,032,930 ---------------- Total Consumer Discretionary (Cost $1,294,572,123) 1,394,215,343 ---------------- Financials -- (26.1%) A.G. Edwards, Inc. 199,100 8,224,821 * Allmerica Financial Corp. 179,700 6,275,124 # Allstate Corp. 1,791,600 104,271,120 AMBAC Financial Group, Inc. 23,200 1,673,880 American Financial Group, Inc. 280,200 9,084,084 American National Insurance Co. 57,800 6,670,120 * AmeriCredit Corp. 395,300 9,831,111 AmerUs Group Co. 124,600 5,929,714 Astoria Financial Corp. 60,750 1,673,055 Bank of Hawaii Corp. 327,500 15,959,075 # Bear Stearns Companies, Inc. 373,770 37,018,181 Chubb Corp. 428,000 36,050,440 Cincinnati Financial Corp. 658,116 25,975,839 * CNA Financial Corp. 919,500 25,359,810 Commerce Group, Inc. 93,100 5,548,760 Commercial Federal Corp. 98,900 2,473,489 Countrywide Financial Corp. 1,639,998 60,958,726 Fidelity National Financial, Inc. 520,800 18,743,592 First American Corp. 330,100 12,774,870 First Citizens BancShares, Inc. 10,300 1,344,459 Hartford Financial Services Group, Inc. 868,200 64,932,678 Hibernia Corp. 274,500 8,825,175 Independence Community Bank Corp. 300,500 11,262,740 * Instinet Group, Inc. 15,200 80,256 Janus Capital Group, Inc. 796,800 12,238,848 JPMorgan Chase & Co. 2,244,400 80,237,300 KeyCorp 941,600 30,846,816 * LaBranche & Co., Inc. 19,700 108,941 Lehman Brothers Holdings, Inc. 227,800 21,003,160 Lincoln National Corp. 620,400 28,246,812 Loews Corp. 636,800 47,951,040 MBIA, Inc. 498,050 27,855,937 MetLife, Inc. 2,623,300 116,999,180 MGIC Investment Corp. 335,500 20,579,570 Nationwide Financial Services, Inc. 208,500 7,960,530 # New York Community Bancorp, Inc. 327,700 5,970,694 # Odyssey Re Holdings Corp. 50,500 1,217,555 Old Republic International Corp. 635,412 15,796,342 PMI Group, Inc. 346,300 13,090,140 Principal Financial Group, Inc. 1,075,700 42,909,673 Protective Life Corp. 227,500 9,143,225 * Providian Financial Corp. 483,100 8,608,842 Prudential Financial, Inc. 1,731,800 109,640,258 Radian Group, Inc. 316,400 14,516,432 Reinsurance Group of America, Inc. 199,600 9,131,700 Safeco Corp. 486,400 26,173,184 South Financial Group, Inc. 54,300 1,479,675
2 Sovereign Bancorp, Inc. 842,320 18,800,582 StanCorp Financial Group, Inc. 104,200 7,799,370 The St. Paul Travelers Companies, Inc. 2,390,826 90,564,489 Torchmark Corp. 127,200 6,709,800 Transatlantic Holdings, Inc. 9,400 536,834 UnionBanCal Corp. 86,600 5,435,882 Unitrin, Inc. 223,800 11,143,002 UnumProvident Corp. 1,048,489 19,250,258 Wesco Financial Corp. 13,540 4,851,111 ---------------- Total Financials (Cost $932,265,029) 1,297,738,301 ---------------- Energy -- (8.6%) Amerada Hess Corp. 318,532 29,575,696 # Anadarko Petroleum Corp. 815,878 61,761,965 # Apache Corp. 129,990 7,638,212 # Ashland, Inc. 297,600 20,326,080 # Chesapeake Energy Corp. 361,000 7,389,670 ConocoPhillips 220,400 23,767,936 # Diamond Offshore Drilling, Inc. 313,641 14,819,537 * Forest Oil Corp. 214,600 8,532,496 Helmerich & Payne, Inc. 146,800 6,087,796 # Kerr-McGee Corp. 431,426 31,865,124 Marathon Oil Corp. 1,061,450 51,469,710 Occidental Petroleum Corp. 650,800 47,579,988 Overseas Shipholding Group, Inc. 86,500 5,285,150 Pogo Producing Co. 209,700 10,367,568 * Pride International, Inc. 366,700 8,269,085 Sunoco, Inc. 298,800 30,647,916 Tidewater, Inc. 217,700 7,532,420 Valero Energy Corp. 776,800 53,304,016 ---------------- Total Energy (Cost $225,588,682) 426,220,365 ---------------- Industrials -- (8.3%) * # AGCO Corp. 275,400 5,056,344 * Allegheny Corp. 18,292 5,126,333 * Allied Waste Industries, Inc. 1,180,900 9,104,739 Burlington Northern Santa Fe Corp. 1,283,000 63,405,860 Cendant Corp. 1,166,500 24,741,465 CSX Corp. 773,900 32,178,762 Curtiss-Wright Corp. 27,130 1,483,468 * # Delta Air Lines, Inc. 402,500 1,549,625 Florida East Coast Industries, Inc. 30,500 1,282,830 IKON Office Solutions, Inc. 329,600 3,193,824 * Laidlaw International, Inc. 160,200 3,562,848 Norfolk Southern Corp. 1,541,200 49,195,104 Northrop Grumman Corp. 1,320,242 73,563,884 * PHH Corp. 15,590 374,004 Raytheon Co. 1,311,300 51,350,508 Ryder System, Inc. 275,400 10,118,196 Steelcase, Inc. Class A 49,000 632,100 Textron, Inc. 123,000 9,506,670 * Thomas & Betts Corp. 46,900 1,448,272 Union Pacific Corp. 950,700 63,658,872 ---------------- Total Industrials (Cost $322,613,101) 410,533,708 ----------------
3 Information Technology -- (5.9%) * 3Com Corp. 1,041,900 3,813,354 * Advanced Micro Devices, Inc. 504,800 8,278,720 * Agere Systems, Inc. Class A 22,101 300,582 * Andrew Corp. 582,400 7,722,624 * Applied Micro Circuits Corp. 213,200 611,884 * Arrow Electronics, Inc. 402,900 11,261,055 * Avnet, Inc. 436,600 9,133,672 AVX Corp. 364,500 4,330,260 * CheckFree Corp. 49,700 1,855,301 * Ciena Corp. 489,600 1,067,328 * Computer Sciences Corp. 661,100 30,615,541 * Compuware Corp. 956,430 6,551,546 * Comverse Technology, Inc. 111,500 2,623,595 * Corning, Inc. 998,300 15,653,344 Electronic Data Systems Corp. 1,851,700 36,478,490 * GameStop Corp. Class B 9,432 253,155 Hewlett-Packard Co. 1,407,700 31,687,327 * Ingram Micro, Inc. 608,300 9,617,223 Intersil Corp. 570,400 10,700,704 * JDS Uniphase Corp. 1,095,700 1,676,421 * LSI Logic Corp. 1,347,970 9,921,059 * Lucent Technologies, Inc. 1,193,800 3,354,578 * Micron Technology, Inc. 2,163,300 23,753,034 * Sanmina-SCI Corp. 1,864,500 9,564,885 * Solectron Corp. 1,566,700 5,718,455 * Sun Microsystems, Inc. 2,143,700 8,167,497 * Tech Data Corp. 219,000 7,862,100 * Tellabs, Inc. 1,630,656 13,403,992 * Unisys Corp. 198,000 1,433,520 * # VeriSign, Inc. 166,300 5,379,805 * Vishay Intertechnology, Inc. 626,916 8,087,216 * Vitesse Semiconductor, Inc. 2,800 7,000 * Xerox Corp. 75,000 1,017,750 ---------------- Total Information Technology (Cost $275,612,074) 291,903,017 ---------------- Health Care -- (5.4%) Aetna, Inc. 1,079,252 84,192,449 AmerisourceBergen Corp. 308,900 19,945,673 * Human Genome Sciences, Inc. 23,900 269,592 * Humana, Inc. 461,200 16,769,232 * Invitrogen Corp. 124,900 9,908,317 McKesson Corp. 653,300 26,308,391 * Medco Health Solutions, Inc. 690,100 34,505,000 * Millennium Pharmaceuticals, Inc. 1,158,100 9,693,297 * PacifiCare Health Systems, Inc. 243,400 15,292,822 * Tenet Healthcare Corp. 1,547,300 18,753,276 * Thermo Electron Corp. 239,900 6,314,168 * Triad Hospitals, Inc. 234,100 11,873,552 * Watson Pharmaceuticals, Inc. 389,900 11,720,394 * WebMD Corp. 25,800 243,294 ---------------- Total Health Care (Cost $147,902,837) 265,789,457 ----------------
4 Materials -- (5.1%) Bowater, Inc. 199,600 6,267,440 Eastman Chemical Co. 24,200 1,422,476 Georgia-Pacific Corp. 974,200 32,284,988 International Paper Co. 1,215,775 39,160,113 LaFarge North America, Inc. 257,500 15,545,275 Louisiana-Pacific Corp. 385,300 9,701,854 Lubrizol Corp. 182,000 7,165,340 Lyondell Chemical Co. 308,300 7,319,042 # MeadWestavco Corp. 758,431 21,751,801 * Owens-Illinois, Inc. 314,400 8,083,224 Phelps Dodge Corp. 287,085 25,091,229 * Smurfit-Stone Container Corp. 959,126 10,425,700 Temple-Inland, Inc. 262,600 9,380,072 Valhi, Inc. 158,500 2,938,590 Weyerhaeuser Co. 860,700 55,213,905 Worthington Industries, Inc. 133,200 2,232,432 ---------------- Total Materials (Cost $214,260,843) 253,983,481 ---------------- Consumer Staples -- (4.1%) # Albertson's, Inc. 1,316,400 27,631,236 Archer-Daniels-Midland Co. 2,475,260 49,133,911 Coca-Cola Enterprises, Inc. 1,874,800 41,020,624 Corn Products International, Inc. 186,400 4,117,576 Kraft Foods, Inc. 312,800 10,147,232 PepsiAmericas, Inc. 192,000 4,650,240 # Reynolds American, Inc. 251,326 20,837,439 * Rite Aid Corp. 969,800 3,840,408 * Smithfield Foods, Inc. 157,600 4,701,208 Supervalu, Inc. 565,200 18,515,952 Tyson Foods, Inc. Class A 912,556 16,845,784 Weis Markets, Inc. 20,800 764,192 ---------------- Total Consumer Staples (Cost $146,694,245) 202,205,802 ---------------- Telecommunication Services -- (3.5%) * American Tower Corp. 294,600 5,314,584 AT&T Corp. 2,206,280 41,456,001 * Crown Castle International Corp. 468,900 8,337,042 * # Level 3 Communications, Inc. 195,500 406,640 * Qwest Communications International, Inc. 2,000,600 7,842,352 SBC Communications, Inc. 1,613,100 37,714,278 Sprint Corp. 2,161,500 51,205,935 Telephone & Data Systems, Inc. 177,800 6,889,750 * Telephone & Data Systems, Inc. Special Shares 177,800 6,756,400 * United States Cellular Corp. 167,200 7,865,088 ---------------- Total Telecommunication Services (Cost $181,272,270) 173,788,070 ----------------
5 Utilities -- (0.4%) Alliant Energy Corp. 212,900 5,876,040 Questar Corp. 251,000 15,823,040 ---------------- Total Utilities (Cost $10,735,877) 21,699,080 ---------------- TOTAL COMMON STOCKS (Cost $3,751,517,081) 4,738,076,624 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (4.5%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05 (Collateralized by $255,811,000 U.S. STRIPS, rates ranging from 7.500% to 9.875%, maturities ranging from 11/15/15 to 11/15/24, valued at $162,719,199) to be repurchased at $159,540,395 (Cost $159,527,456) $ 159,527 159,527,456 Repurchase Agrrement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $67,131,000 FHLMC Notes 4.00%, 09/22/09, valued at $67,214,914) to be repurchased at $66,226,316 (Cost $66,221,000) 66,221 66,221,000 ---------------- 225,748,456 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $225,748,456) 225,748,456 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $3,977,265,537) $ 4,963,825,080 ================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 6 THE U.S. SMALL XM VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (97.6%) Consumer Discretionary -- (21.9%) * Alderwoods Group, Inc. 1,000 $ 13,850 * Alloy, Inc. 16,100 82,754 American Axle & Manufacturing Holdings, Inc. 9,300 192,510 American Greetings Corp. Class A 51,300 1,332,774 * AnnTaylor Stores Corp. 13,000 334,880 * Applica, Inc. 9,200 26,312 ArvinMeritor, Inc. 7,300 105,120 * Audiovox Corp. Class A 12,800 187,264 * Aztar Corp. 7,000 223,580 * Bally Total Fitness Holding Corp. 13,300 40,432 Bandag, Inc. 1,800 83,304 Bandag, Inc. Class A 3,800 158,650 * Barnes & Noble, Inc. 34,500 1,305,825 Bassett Furniture Industries, Inc. 4,600 89,838 Beazer Homes USA, Inc. 25,000 1,336,500 * Big Lots, Inc. 95,400 1,207,764 Blockbuster, Inc. Class A 73,900 674,707 * Bluegreen Corp. 6,100 102,846 Bob Evans Farms, Inc. 24,200 566,280 * Bombay Co., Inc. 5,100 27,183 Borders Group, Inc. 54,200 1,370,718 Brown Shoe Company, Inc. 3,600 126,360 Building Materials Holding Corp. 300 18,609 Burlington Coat Factory Warehouse Corp. 29,200 967,980 Callaway Golf Co. 15,300 178,857 * Charming Shoppes, Inc. 87,714 792,057 * # Charter Communications, Inc. 50,200 57,228 Coachmen Industries, Inc. 6,100 74,725 * Collins & Aikman Corp. 36,200 4,109 Cooper Tire & Rubber Co. 55,000 1,047,200 * Cox Radio, Inc. 19,200 312,384 CSS Industries, Inc. 4,600 141,680 * Cumulus Media, Inc. Class A 38,600 482,114 Dana Corp. 30,000 406,500 Dillards, Inc. Class A 58,914 1,409,223 * Dura Automotive Systems, Inc. 6,150 26,260 * Emmis Communications Corp. Class A 27,823 494,136 * Entercom Communications Corp. 11,877 394,316 * Entravision Communications Corp. 47,300 351,439 * Fairchild Corp. Class A 8,736 20,093 * # Federal-Mogul Corp. 98,700 59,220 * Fleetwood Enterprises, Inc. 3,900 37,323
1 * Franklin Covey Co. 6,500 40,300 Furniture Brands International, Inc. 10,600 213,166 * Gaylord Entertainment Co. 27,650 1,162,129 Goody's Family Clothing, Inc. 12,700 90,170 Gray Television, Inc. 29,300 344,275 * Group 1 Automotive, Inc. 15,900 424,689 * Ha-Lo Industries, Inc. 27,300 19 Handleman Co. 14,800 268,620 Hearst-Argyle Television, Inc. 30,500 761,280 * Insight Communications Co., Inc. 40,300 455,390 * Insight Enterprises, Inc. 33,881 663,390 * Interface, Inc. Class A 11,670 89,275 * Jakks Pacific, Inc. 17,699 365,838 * Jo-Ann Stores, Inc. 15,800 422,650 * K2, Inc. 31,800 400,362 Kellwood Co. 19,200 483,072 Kimball International, Inc. Class B 16,239 199,740 * La Quinta Corp. 40,200 348,534 * Lakes Entertainment, Inc. 5,700 70,851 Landry's Restaurants, Inc. 13,900 416,583 La-Z-Boy, Inc. 9,300 124,155 Lear Corp. 1,600 60,320 Levitt Corp. Class A 1,900 54,720 Liberty Corp. 12,700 458,597 * Lin TV Corp. 8,100 117,855 * Linens 'n Things, Inc. 9,000 219,330 Lithia Motors, Inc. Class A 10,500 279,300 Lone Star Steakhouse & Saloon, Inc. 12,452 376,175 * Luby's, Inc. 10,400 85,696 M/I Homes, Inc. 2,900 146,392 Media General, Inc. Class A 14,400 879,840 Modine Manufacturing Co. 26,924 818,490 Monaco Coach Corp. 4,000 65,640 Movado Group, Inc. 12,000 202,320 National Presto Industries, Inc. 2,700 115,695 * O'Charleys, Inc. 4,100 76,137 Oxford Industries, Inc. 1,600 57,216 * Paxson Communications Corp. 18,600 13,950 * Payless ShoeSource, Inc. 47,400 797,742 Pep Boys - Manny, Moe & Jack 40,300 538,408 Phillips-Van Heusen Corp. 18,600 576,414 * Pinnacle Entertainment, Inc. 11,800 205,674 Pulitzer, Inc. 6,000 383,760 * Radio One, Inc. 15,500 195,610 * Rent-Way, Inc. 9,700 89,919 * Retail Ventures, Inc. 13,300 149,891 Russ Berrie & Co., Inc. 5,100 66,351 Russell Corp. 20,200 377,740 * Ryan's Restaurant Group, Inc. 29,100 406,236 Saks, Inc. 99,900 1,712,286 * Scholastic Corp. 7,400 277,648 Service Corp. International 236,400 1,791,912 * Shiloh Industries, Inc. 5,300 59,943 * ShopKo Stores, Inc. 23,400 554,814 * Six Flags, Inc. 70,700 311,787
2 * Skechers U.S.A., Inc. Class A 1,300 16,471 Skyline Corp. 3,300 129,030 Snap-On, Inc. 5,800 200,158 Sonic Automotive, Inc. 21,100 449,852 * Spanish Broadcasting System, Inc. 2,500 21,625 * Stage Stores, Inc. 3,600 140,580 Standard Motor Products, Inc. 7,700 86,779 Stewart Enterprises, Inc. 75,400 446,368 * Stoneridge, Inc. 8,800 68,816 Stride Rite Corp. 26,300 312,707 # Superior Industries International, Inc. 5,300 120,045 * Systemax, Inc. 13,350 85,040 The Marcus Corp. 14,400 317,232 * The Sports Authority, Inc. 5,000 160,000 * # Tower Automotive, Inc. 27,500 2,915 * Trans World Entertainment Corp. 15,200 197,600 * Tweeter Home Entertainment Group, Inc. 9,400 33,276 * Unifi, Inc. 21,100 67,731 Unifirst Corp. 5,900 215,940 United Auto Group, Inc. 32,300 994,840 * Vail Resorts, Inc. 17,860 491,150 Visteon Corp. 94,100 717,983 * Warnaco Group, Inc. 8,900 189,926 * WCI Communities, Inc. 9,000 269,100 * West Marine, Inc. 2,100 34,839 ---------------- Total Consumer Discretionary (Cost $43,255,519) 42,503,203 ---------------- Financials -- (17.5%) 1st Source Corp. 14,400 313,632 21st Century Insurance Group 12,400 172,732 Advanta Corp. Class A 6,287 144,161 Advanta Corp. Class B Non-Voting 13,327 328,777 Alfa Corp. 16,000 229,120 * Allmerica Financial Corp. 33,600 1,173,312 American Financial Group, Inc. 56,800 1,841,456 American National Insurance Co. 10,400 1,200,160 AmerUs Group Co. 31,200 1,484,808 * Argonaut Group, Inc. 20,723 433,940 Baldwin & Lyons, Inc. Class B 4,725 121,433 BankUnited Financial Corp. Class A 8,900 219,919 Banner Corp. 4,497 119,665 Bay View Capital Corp. 3,460 54,841 Brookline Bancorp, Inc. 9,670 146,984 Cash America International, Inc. 5,300 91,160 Chemical Financial Corp. 3,804 121,652 * CNA Surety Corp. 27,800 384,196 Commercial Federal Corp. 30,400 760,304 Community Bank System, Inc. 16,800 391,440 * CompuCredit Corp. 26,400 832,392 Delphi Financial Group, Inc. Class A 18,317 776,641 Downey Financial Corp. 14,300 1,072,786 FBL Financial Group, Inc. Class A 18,300 489,525 Financial Federal Corp. 500 18,650 First Citizens BancShares, Inc. 3,500 456,855
3 First Commonwealth Financial Corp. 9,000 120,240 First Community Bancorp 600 26,508 First Merchants Corp. 3,100 77,097 First Niagara Financial Group, Inc. 23,400 304,668 * FirstFed Financial Corp. 1,700 92,106 Flagstar Bancorp, Inc. 12,300 243,048 Fremont General Corp. 10,400 223,704 Great American Financial Resources, Inc. 18,400 310,224 Harleysville Group, Inc. 22,500 456,975 Horace Mann Educators Corp. 29,300 533,260 Infinity Property & Casualty Corp. 4,100 131,200 * Instinet Group, Inc. 147,676 779,729 Irwin Financial Corp. 5,700 119,643 * Knight Capital Group, Inc. 64,431 486,454 * LaBranche & Co., Inc. 45,900 253,827 LandAmerica Financial Group, Inc. 14,900 837,380 MAF Bancorp, Inc. 22,840 972,070 MCG Capital Corp. 9,900 158,400 * Metris Companies, Inc. 40,500 525,690 Midland Co. 6,900 220,455 NetBank, Inc. 18,773 156,004 * Ocwen Financial Corp. 28,600 206,778 # Odyssey Re Holdings Corp. 45,200 1,089,772 Ohio Casualty Corp. 42,700 1,020,530 * Piper Jaffray Companies, Inc. 6,200 175,274 * PMA Capital Corp. Class A 16,434 122,105 Presidential Life Corp. 20,305 307,621 Protective Life Corp. 6,800 273,292 Provident Financial Services, Inc. 1,400 24,892 Reinsurance Group of America, Inc. 19,900 910,425 RLI Corp. 17,600 769,824 * SCPIE Holdings, Inc. 3,900 43,758 Selective Insurance Group, Inc. 19,400 933,722 South Financial Group, Inc. 14,300 389,675 StanCorp Financial Group, Inc. 21,800 1,631,730 State Auto Financial Corp. 6,505 175,635 * Sterling Financial Corp. 2,300 81,305 Stewart Information Services Corp. 13,400 525,950 Susquehanna Bancshares, Inc. 9,300 211,668 SWS Group, Inc. 1,100 17,435 The Phoenix Companies, Inc. 66,100 760,150 TierOne Corp. 900 21,713 * Triad Guaranty, Inc. 10,100 547,420 UICI 9,100 228,865 UMB Financial Corp. 15,953 888,582 Umpqua Holdings Corp. 8,500 198,135 United Community Financial Corp. 22,800 239,628 Washington Federal, Inc. 5,564 126,970 Webster Financial Corp. 5,300 248,570 Wesbanco, Inc. 1,200 35,484 Wesco Financial Corp. 2,775 994,227 Westcorp, Inc. 5,200 251,888 ---------------- Total Financials (Cost $30,657,812) 33,862,246 ----------------
4 Industrials -- (17.0%) * AAR Corp. 22,300 357,692 * AGCO Corp. 18,100 332,316 * Alaska Air Group, Inc. 20,700 611,064 Alexander & Baldwin, Inc. 29,156 1,295,984 * Allegheny Corp. 3,113 872,418 * Allied Waste Industries, Inc. 39,800 306,858 * Amerco, Inc. 10,636 565,622 Applied Industrial Technologies, Inc. 23,550 716,862 * Armstrong Holdings, Inc. 20,200 62,014 * # ATA Holdings Corp. 4,600 4,140 Barnes Group, Inc. 1,800 55,224 Bowne & Co., Inc. 26,030 344,898 C&D Technologies, Inc. 17,800 130,296 Central Parking Corp. 24,700 417,430 * Century Business Services, Inc. 64,700 259,447 CIRCOR International, Inc. 5,950 147,263 * Columbus McKinnon Corp. 1,400 13,216 * Comfort Systems USA, Inc. 14,800 93,092 * COMSYS IT Partners, Inc. 44 744 * Consolidated Freightways Corp. 400 1 * Consolidated Graphics, Inc. 4,700 198,951 * Continental Airlines, Inc. 40,100 555,786 * Corrections Corporation of America 7,100 256,310 * Covenant Transport, Inc. Class A 4,900 68,012 Cubic Corp. 4,400 77,440 * Dollar Thrifty Automotive Group, Inc. 16,800 604,632 * Electro Rent Corp. 6,376 74,918 * EMCOR Group, Inc. 3,000 142,500 * EnPro Industries, Inc. 2,100 56,847 * Esterline Technologies Corp. 14,700 571,830 Federal Signal Corp. 8,700 135,981 * Flowserve Corp. 38,700 1,140,489 * Frontier Airlines, Inc. 3,600 43,956 * FTI Consulting, Inc. 8,100 178,119 G & K Services, Inc. Class A 3,900 153,504 GATX Corp. 38,600 1,288,082 * Genesee & Wyoming, Inc. 4,800 134,112 Granite Construction, Inc. 5,400 126,630 * Griffon Corp. 600 11,958 Heico Corp. 2,900 61,190 * Hexcel Corp. 100 1,634 Hughes Supply, Inc. 43,000 1,118,000 IKON Office Solutions, Inc. 112,100 1,086,249 * Insituform Technologies, Inc. Class A 200 2,968 * Integrated Electrical Services, Inc. 17,900 27,208 Interpool, Inc. 10,750 233,490 Kaman Corp. Class A 9,000 139,230 * Kansas City Southern 47,700 953,523 Kelly Services, Inc. Class A 25,200 700,812 Kennametal, Inc. 7,500 330,000 * Laidlaw International, Inc. 20,000 444,800 * Magnetek, Inc. 8,700 19,227 * Milacron, Inc. 19,167 41,784 * Mobile Mini, Inc. 3,147 116,187
5 Mueller Industries, Inc. 21,000 567,000 NACCO Industries, Inc. Class A 4,100 420,250 * NCI Building Systems, Inc. 11,300 390,302 * NCO Group, Inc. 22,195 440,793 * # Northwest Airlines Corp. 33,500 204,015 * Orbital Sciences Corp. 2,900 28,159 * PHH Corp. 3,500 83,965 * Pico Holdings, Inc. 4,200 108,738 * PRG-Schultz International, Inc. 27,514 106,204 * Quanta Services, Inc. 88,200 796,446 * RailAmerica, Inc. 25,400 296,418 Regal-Beloit Corp. 17,100 439,470 Ryder System, Inc. 12,900 473,946 * SCS Transportation, Inc. 5,750 104,938 * Sequa Corp. Class A 2,800 162,400 * Sequa Corp. Class B 1,300 77,038 * Shaw Group, Inc. 46,700 941,005 Skywest, Inc. 11,500 209,760 Smith (A.O.) Corp. 16,750 525,280 * SOURCECORP, Inc. 10,200 218,382 * Spherion Corp. 45,800 250,526 Standard Register Co. 12,700 180,340 Starrett (L.S.) Co. Class A 2,000 34,140 Steelcase, Inc. Class A 35,500 457,950 Stewart & Stevenson Services, Inc. 1,600 38,224 * Swift Transportation Co., Inc. 14,400 353,520 Tecumseh Products Co. Class A 8,800 240,592 Tecumseh Products Co. Class B 2,200 60,335 Teleflex, Inc. 1,600 89,520 * Tetra Tech, Inc. 4,700 56,635 Thomas Industries, Inc. 1,100 43,857 Timken Co. 62,600 1,471,100 Titan International, Inc. 8,000 118,160 Tredegar Industries, Inc. 29,300 446,825 Trinity Industries, Inc. 35,600 1,034,536 * Triumph Group, Inc. 11,100 393,828 * United Rentals, Inc. 58,000 1,164,640 * URS Corp. 30,100 1,018,283 Valmont Industries, Inc. 1,500 35,925 Viad Corp. 1,400 38,920 * Volt Information Sciences, Inc. 6,000 117,900 * Washington Group International, Inc. 2,600 124,826 Werner Enterprises, Inc. 15,800 297,198 * Wolverine Tube, Inc. 4,800 34,608 * # Yellow Roadway Corp. 11,917 628,979 York International Corp. 1,000 41,200 ---------------- Total Industrials (Cost $31,972,783) 33,050,016 ---------------- Information Technology -- (15.6%) * 3Com Corp. 256,761 939,745 * Actel Corp. 3,500 51,765 * Adaptec, Inc. 84,499 336,306 * Advanced Digital Information Corp. 47,839 328,654 * Aeroflex, Inc. 14,900 119,200
6 * Agile Software Corp. 35,342 227,956 Agilysys, Inc. 23,393 359,784 * Alliance Semiconductor Corp. 13,700 23,016 * Amkor Technology, Inc. 8,400 29,820 * Anadigics, Inc. 6,800 11,152 * Andrew Corp. 32,200 426,972 * Anixter International, Inc. 7,500 283,575 * Applied Micro Circuits Corp. 227,653 653,364 * Ariba, Inc. 6,781 41,568 * Arris Group, Inc. 121 1,048 * Arrow Electronics, Inc. 11,677 326,372 * Atmel Corp. 76,320 228,960 * Avnet, Inc. 91,400 1,912,088 * Avocent Corp. 500 14,000 AVX Corp. 136,100 1,616,868 * Axcelis Technologies, Inc. 20,400 135,660 * BearingPoint, Inc. 54,344 355,953 Belden CDT, Inc. 8,900 179,068 * Benchmark Electronics, Inc. 8,300 262,861 Black Box Corp. 11,400 391,932 * Borland Software Corp. 11,700 74,880 * Checkpoint Systems, Inc. 7,400 130,388 * Ciber, Inc. 46,900 382,235 * Ciena Corp. 87,100 189,878 * Coherent, Inc. 22,036 723,442 * Compuware Corp. 170,436 1,167,487 * Conexant Systems, Inc. 34,691 49,608 * Convergys Corp. 28,300 385,729 * Credence Systems Corp. 53,185 421,225 CTS Corp. 25,300 269,445 * DoubleClick, Inc. 70,020 576,265 * E.piphany, Inc. 47,432 165,538 * Edgewater Technology, Inc. 4,472 19,453 * Electro Scientific Industries, Inc. 5,100 91,494 * Electroglas, Inc. 7,500 25,875 * Electronics for Imaging, Inc. 10,900 207,100 * Exar Corp. 28,202 406,109 * Fairchild Semiconductor Corp. Class A 23,900 341,770 * FSI International, Inc. 2,100 7,896 * Genesis Microchip, Inc. 7,000 115,850 * Gerber Scientific, Inc. 8,700 64,206 * Glenayre Technologies, Inc. 25,600 81,920 * Hypercom Corp. 18,900 120,015 Imation Corp. 5,600 211,456 * InFocus Corp. 27,400 113,984 * Ingram Micro, Inc. 15,900 251,379 * Integrated Device Technology, Inc. 21,000 256,830 * Interland, Inc. 180 342 Intersil Corp. 6,700 125,692 * Interwoven, Inc. 1,300 10,348 * Iomega Corp. 24,500 75,705 * JDA Software Group, Inc. 18,852 243,568 * Keane, Inc. 12,500 167,750 * Kemet Corp. 68,700 480,900 * Lattice Semiconductor Corp. 69,400 292,868
7 * LSI Logic Corp. 215,500 1,586,080 Maximus, Inc. 2,100 72,009 * Maxtor Corp. 25,000 137,250 * McDATA Corp. 8,900 33,909 * MedQuist, Inc. 28,200 366,882 * MKS Instruments, Inc. 32,446 541,848 * MPS Group, Inc. 78,800 739,144 * MSC.Software Corp. 5,000 51,425 * Neoforma, Inc. 4,600 31,510 * NetIQ Corp. 43,858 484,192 * Newport Corp. 28,288 397,446 * Novell, Inc. 10,300 60,255 * Oplink Communications, Inc. 62,000 92,380 Park Electrochemical Corp. 12,550 291,160 * Paxar Corp. 6,400 112,768 * Pegasus Solutions, Inc. 200 2,152 * Photronics, Inc. 21,574 496,849 * Plexus Corp. 26,809 368,624 * Polycom, Inc. 18,900 323,379 * Powerwave Technologies, Inc. 42,100 384,373 * Quantum Corp. 36,400 94,640 * REMEC, Inc. 3,255 20,349 * Riverstone Networks, Inc. 13,200 9,273 * Rofin-Sinar Technologies, Inc. 900 29,070 * Safeguard Scientifics, Inc. 66,500 65,835 * SafeNet, Inc. 15,600 490,152 * Sanmina-SCI Corp. 2,086 10,701 * ScanSoft, Inc. 66,372 269,470 * # Silicon Graphics, Inc. 79,700 64,557 * Silicon Storage Technology, Inc. 900 3,096 * Skyworks Solutions, Inc. 18,400 116,472 * SonicWALL, Inc. 49,400 305,292 * SR Telecom, Inc. 21 7 * Sycamore Networks, Inc. 207,882 702,641 * Tech Data Corp. 40,700 1,461,130 Technitrol, Inc. 5,800 76,154 * Transmeta Corp. 100 81 * Triquint Semiconductor, Inc. 70,451 238,829 * Unisys Corp. 62,500 452,500 * Verity, Inc. 1,900 16,207 * Vignette Corp. 63,300 73,428 * Vishay Intertechnology, Inc. 106,000 1,367,400 * Vitesse Semiconductor, Inc. 14,700 36,750 * Zoran Corp. 28,100 346,754 ---------------- Total Information Technology (Cost $34,563,326) 30,330,740 ---------------- Energy -- (9.0%) * Comstock Resources, Inc. 2,400 54,768 * Forest Oil Corp. 42,400 1,685,824 * Gulfmark Offshore, Inc. 4,200 105,252 * Hanover Compressor Co. 62,800 655,004 Helmerich & Payne, Inc. 31,600 1,310,452 * Houston Exploration Co. 17,100 871,587 * Input/Output, Inc. 14,800 87,764
8 * Key Energy Group, Inc. 13,100 143,969 * Magnum Hunter Resources, Inc. 60,200 930,692 * Meridian Resource Corp. 7,900 35,787 * Newpark Resources, Inc. 57,600 351,360 * Offshore Logistics, Inc. 15,800 494,856 * Oil States International, Inc. 3,400 78,744 Overseas Shipholding Group, Inc. 30,000 1,833,000 * Pride International, Inc. 10,100 227,755 Resource America, Inc. 4,948 168,133 * SEACOR Holdings, Inc. 13,550 786,713 * Spinnaker Exploration Co. 24,300 745,281 * Stone Energy Corp. 4,300 185,029 * Swift Energy Corp. 19,800 676,170 * Tel Offshore Trust 875 6,361 Tesoro Petroleum Corp. 45,900 2,001,240 Tidewater, Inc. 40,600 1,404,760 * TransMontaigne, Inc. 6,500 53,820 * Universal Compression Holdings, Inc. 23,860 816,012 USEC, Inc. 63,300 864,045 * Veritas DGC, Inc. 23,300 629,100 * Whiting Petroleum Corp. 4,600 159,068 ---------------- Total Energy (Cost $11,446,610) 17,362,546 ---------------- Materials -- (8.6%) Airgas, Inc. 15,100 362,400 * AK Steel Holding Corp. 1,538 11,766 Arch Chemicals, Inc. 14,550 342,944 Bowater, Inc. 38,100 1,196,340 * Buckeye Technologies, Inc. 27,200 224,944 Cabot Corp. 12,600 365,400 Calgon Carbon Corp. 15,100 134,541 Cambrex Corp. 13,500 244,350 * Caraustar Industries, Inc. 21,800 228,900 Carpenter Technology Corp. 16,600 896,400 * Castle (A.M.) & Co. 6,200 86,738 * Century Aluminum Co. 7,262 162,741 Chesapeake Corp. 13,700 285,919 Commercial Metals Co. 1,746 45,675 Fuller (H.B.) Co. 5,300 171,720 Gibraltar Industries, Inc. 9,450 184,842 Glatfelter (P.H.) Co. 35,400 396,480 * Graphic Packaging Corp. 21,500 80,625 Great Lakes Chemical Corp. 5,100 172,890 Longview Fibre Co. 36,700 732,899 Louisiana-Pacific Corp. 12,900 324,822 Lubrizol Corp. 36,100 1,421,257 * Maxxam, Inc. 2,600 60,450 * Metals USA, Inc. 1,800 38,106 Minerals Technologies, Inc. 13,600 915,280 Myers Industries, Inc. 12,310 137,257 * NewMarket Corp. 5,560 75,560 * OM Group, Inc. 5,700 143,640 * Oregon Steel Mills, Inc. 4,800 84,768 * PolyOne Corp. 28,200 189,504
9 Pope & Talbot, Inc. 1,900 20,957 Potlatch Corp. 3,000 155,070 Quanex Corp. 5,450 282,801 Reliance Steel & Aluminum Co. 25,600 985,344 Rock-Tenn Co. Class A 24,500 281,995 * RTI International Metals, Inc. 14,900 408,111 Ryerson Tull, Inc. 17,418 265,102 Schnitzer Steel Industries, Inc. Class A 10,000 231,200 Schulman (A.), Inc. 22,055 360,820 Schweitzer-Maudoit International, Inc. 10,500 314,685 Sensient Technologies Corp. 9,400 191,290 Spartech Corp. 5,500 111,265 Steel Dynamics, Inc. 9,000 242,010 Stepan Co. 3,500 74,235 * Stillwater Mining Co. 46,800 315,900 * Terra Industries, Inc. 22,700 144,145 Texas Industries, Inc. 16,900 777,738 * Universal Stainless & Alloy Products, Inc. 2,500 31,375 Valhi, Inc. 60,100 1,114,254 Wausau-Mosinee Paper Corp. 36,800 460,000 Wellman, Inc. 12,500 140,500 Worthington Industries, Inc. 2,000 33,520 ---------------- Total Materials (Cost $16,769,849) 16,661,475 ---------------- Consumer Staples -- (3.8%) Alliance One International, Inc. 17,500 112,175 # American Italian Pasta Co. 3,600 82,836 Casey's General Stores, Inc. 34,935 630,227 * Central Garden & Pet Co. 8,035 356,352 Chiquita Brands International, Inc. 8,200 238,456 Corn Products International, Inc. 50,480 1,115,103 * Del Monte Foods Co. 42,200 440,568 * Great Atlantic & Pacific Tea Co., Inc. 13,550 337,802 * Hain Celestial Group, Inc. 24,600 442,800 Ingles Market, Inc. Class A 4,000 50,560 Longs Drug Stores Corp. 29,700 1,218,888 * M&F Worldwide Corp. 7,100 90,809 * Pathmark Stores, Inc. 11,800 105,610 * Performance Food Group Co. 9,400 254,364 Ruddick Corp. 5,700 136,971 Seaboard Corp. 540 726,300 Universal Corp. 5,100 226,440 Weis Markets, Inc. 18,700 687,038 * # Winn-Dixie Stores, Inc. 35,300 37,065 ---------------- Total Consumer Staples (Cost $5,967,322) 7,290,364 ---------------- Health Care -- (2.3%) Alpharma, Inc. Class A 25,100 323,037 Analogic Corp. 10,965 465,903 * Arena Pharmaceuticals, Inc. 4,800 32,880 * Conmed Corp. 18,075 566,471 * Corixa Corp. 5,895 25,054 * Cross Country Healthcare, Inc. 24,361 412,919
10 * CuraGen Corp. 5,766 24,678 * First Horizon Pharmaceutical Corp. 500 9,400 * Genesis HealthCare Corp. 3,100 134,819 * Hanger Orthopedic Group, Inc. 6,900 35,190 * Kindred Healthcare, Inc. 25,500 983,790 * Maxygen, Inc. 3,900 30,537 NDCHealth Corp. 2,200 36,872 * # OCA, Inc. 31,100 127,510 * Parexel International Corp. 2,600 47,450 PerkinElmer, Inc. 19,200 367,296 * Per-Se Technologies, Inc. 3,700 70,189 * Sequenom, Inc. 13,100 12,445 * Sunrise Senior Living, Inc. 12,700 662,305 * Viasys Healthcare, Inc. 3,100 72,075 * Wilson Greatbatch Technologies, Inc. 1,800 43,272 ---------------- Total Health Care (Cost $3,875,992) 4,484,092 ---------------- Utilities -- (1.1%) * CMS Energy Corp. 72,075 953,552 * Dynegy, Inc. 129,400 601,710 New Jersey Resources Corp. 2,700 121,770 South Jersey Industries, Inc. 7,700 436,590 ---------------- Total Utilities (Cost $1,649,495) 2,113,622 ---------------- Telecommunication Services -- (0.8%) * Cincinnati Bell, Inc. 85,400 337,330 * General Communications, Inc. Class A 6,830 56,279 * IDT Corp. 18,800 253,612 * IDT Corp. Class B 35,500 486,350 * Price Communications Corp. 11,200 192,528 SureWest Communications 200 4,760 * Teleglobe International Holdings, Ltd. 3,000 7,140 * Time Warner Telecom, Inc. 29,130 148,563 ---------------- Total Telecommunication Services (Cost $2,150,842) 1,486,562 ---------------- Other -- (0.0%) * # Trenwick Group, Ltd. 38,857 194 (Cost $556,170) ---------------- TOTAL COMMON STOCKS (Cost $182,865,720) 189,145,060 ---------------- RIGHTS/WARRANTS -- (0.1%) Other -- (0.1%) * Chiquita Brands International, Inc. Warrants 03/19/09 24,308 265,201 * Imperial Credit Industries, Inc. Warrants 01/31/08 511 0 * Timco Aviation Services, Inc. Warrants 02/27/07 2,178 0 * Trico Marine Services, Inc. Warrants 03/15/08 Series B 192 305 * Trico Marine Services, Inc. Warrants 03/15/10 Series A 192 768 ---------------- Total Other (Cost $1,269,873) 266,274 ---------------- TOTAL RIGHTS/WARRANTS (Cost $1,269,873) 266,274 ----------------
11 FACE AMOUNT VALUE+ ---------------- ---------------- (000) BONDS -- (0.0%) Other -- (0.0%) * Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 $ 1 0 ---------------- (Cost $0) TEMPORARY CASH INVESTMENTS -- (2.3%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.94%, 06/01/05 (Collateralized by $1,805,000 U.S. TIPS 3.375%, 01/15/07, valued at $2,319,115) to be repurchased at $2,271,684 (Cost $2,271,498) 2,271 2,271,498 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $2,203,000 FHLMC Notes 4.00%, 09/22/09, valued at $2,205,754) to be repurchased at $2,173,174 (Cost $2,173,000) 2,173 2,173,000 ---------------- 4,444,498 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $4,444,498) 4,444,498 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $188,580,091) $ 193,855,832 ================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 12 THE U.S. SMALL CAP VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (95.1%) Consumer Discretionary -- (23.0%) * 4Kids Entertainment, Inc. 112,600 $ 2,139,400 * Acme Communications, Inc. 477,511 1,890,944 * ACT Teleconferencing, Inc. 97,261 57,384 Action Performance Companies, Inc. 479,800 4,466,938 * Advanced Marketing Services, Inc. 218,100 888,757 * Aftermarket Technology Corp. 58,523 897,743 * Alderwoods Group, Inc. 107,600 1,490,260 * All American Semiconductor, Inc. 29,260 140,155 * Alloy, Inc. 869,729 4,470,407 * Amcast Industrial Corp. 149,400 2,913 American Axle & Manufacturing Holdings, Inc. 625,500 12,947,850 * American Biltrite, Inc. 45,600 428,640 American Greetings Corp. Class A 1,194,800 31,040,904 * AMS Health Sciences, Inc. 11,400 20,406 Andersons, Inc. 96,900 3,178,320 * Applica, Inc. 813,100 2,325,466 * Arlington Hospitality, Inc. 70,000 87,500 ArvinMeritor, Inc. 1,700 24,480 * Ashworth, Inc. 443,189 4,254,614 * Audiovox Corp. Class A 677,417 9,910,611 * # Avatar Holdings, Inc. 75,500 3,616,450 * Aztar Corp. 578,000 18,461,320 * Ballantyne of Omaha, Inc. 32,200 140,070 * # Bally Total Fitness Holding Corp. 1,006,100 3,058,544 Bandag, Inc. 138,319 6,401,403 Bandag, Inc. Class A 112,600 4,701,050 * Barry (R.G.) Corp. 153,064 688,788 Bassett Furniture Industries, Inc. 389,375 7,604,494 * Big Lots, Inc. 1,150,800 14,569,128 Blair Corp. 270,790 10,574,349 # Blockbuster, Inc. Class A 239,800 2,189,374 * Bluegreen Corp. 927,398 15,635,930 Bob Evans Farms, Inc. 646,328 15,124,075 * Bombay Co., Inc. 1,220,940 6,507,610 Bon-Ton Stores, Inc. 450,660 8,143,426 Books-A-Million, Inc. 318,800 2,684,296 Bowl America, Inc. Class A 35,822 479,836 * Boyds Collection, Ltd. 652,700 1,429,413 * # Brillian Corp. 126,175 393,666 Brown Shoe Company, Inc. 369,000 12,951,900 * Buca, Inc. 618,860 3,156,186 Building Materials Holding Corp. 78,715 4,882,691
1 * Bull Run Corp. 6,860 4,939 Burlington Coat Factory Warehouse Corp. 1,487,301 49,304,028 * CabelTel International Corp. 1,070 5,403 * California Coastal Communities, Inc. 71,400 2,112,726 Callaway Golf Co. 904,100 10,568,929 * Capital Pacific Holdings, Inc. 201,300 829,356 * Carriage Services, Inc. 515,900 3,033,492 * Casual Male Retail Group, Inc. 233,565 1,646,633 * Catalina Lighting, Inc. 22,040 181,830 * Cavalier Homes, Inc. 367,281 1,340,576 * Championship Auto Racing Teams, Inc. 70,000 11,550 * Champps Entertainment, Inc. 370,096 2,979,273 * Charlotte Russe Holding, Inc. 122,206 1,460,362 * Charming Shoppes, Inc. 3,535,465 31,925,249 * # Charter Communications, Inc. 116,600 132,924 * Chromcraft Revington, Inc. 5,900 70,800 Coachmen Industries, Inc. 534,700 6,550,075 Coast Distribution System, Inc. 97,600 443,104 * Coastcast Corp. 101,900 236,917 * Cobra Electronics Corp. 84,100 597,110 * # Collins & Aikman Corp. 1,907,794 216,535 * Concord Camera Corp. 794,700 1,033,110 * Congoleum Corp. Class A 97,400 409,080 * Cooker Restaurant Corp. 109,768 560 Cooper Tire & Rubber Co. 1,295,300 24,662,512 * Cost-U-Less, Inc. 31,041 259,503 * Crown Media Holdings, Inc. 137,065 1,287,040 CSS Industries, Inc. 252,150 7,766,220 * Culp, Inc. 366,418 1,593,918 * Cumulus Media, Inc. Class A 1,050,207 13,117,085 Cutter & Buck, Inc. 305,437 4,010,388 * # Cybex International, Inc. 114,200 349,452 * Dan River, Inc. Class A 500 0 * Dave & Busters, Inc. 182,140 3,271,234 Decorator Industries, Inc. 22,132 181,261 Delta Apparel, Inc. 104,000 3,054,480 * Delta Woodside Industries, Inc. 130,000 84,500 * Department 56, Inc. 168,900 1,884,924 * Diedrich Coffee, Inc. 13 54 * Dixie Group, Inc. 366,399 5,430,033 * Dominion Homes, Inc. 213,866 3,321,339 Dover Motorsports, Inc. 397,100 2,287,296 * drugstore.com, Inc. 211,194 726,507 * Duckwall-ALCO Stores, Inc. 103,200 2,038,200 * Dura Automotive Systems, Inc. 625,874 2,672,482 * E Com Ventures, Inc. 548 7,809 * ELXSI Corp. 27,900 92,070 * EMAK Worldwide, Inc. 1,100 12,100 * Emerson Radio Corp. 3,712 9,577 * # Emmis Communications Corp. Class A 206,272 3,663,391 * Enesco Group, Inc. 463,300 1,783,705 * Entravision Communications Corp. 2,028,098 15,068,768 * Fab Industries, Inc. 82,381 247,143 * Fairchild Corp. Class A 697,129 1,603,397 * Featherlite, Inc. 39,750 164,962
2 Fedders Corp. 47,766 106,041 Federal Screw Works 3,125 68,125 * # Federal-Mogul Corp. 823,500 494,100 * Finlay Enterprises, Inc. 220,200 2,858,196 * # Fleetwood Enterprises, Inc. 44,300 423,951 Flexsteel Industries, Inc. 90,400 1,266,504 * # Footstar, Inc. 509,400 2,152,215 * Franklin Covey Co. 341,800 2,119,160 * Franklin Electronic Publishers, Inc. 112,300 421,125 * # Friedmans, Inc. Class A 592,200 580,356 Furniture Brands International, Inc. 1,122,036 22,564,144 * # Gadzooks, Inc. 238,170 10,479 * Gaiam, Inc. 19,084 113,746 GameTech International, Inc. 79,900 222,122 * Gaylord Entertainment Co. 1,261,985 53,041,230 * G-III Apparel Group, Ltd. 98,600 709,920 Goody's Family Clothing, Inc. 591,800 4,201,780 * Gottschalks, Inc. 223,900 2,406,925 Gray Television, Inc. 1,457,650 17,127,387 Gray Television, Inc. Class A 40,650 449,589 * Group 1 Automotive, Inc. 775,500 20,713,605 Haggar Corp. 102,925 1,899,995 * Ha-Lo Industries, Inc. 223,600 157 * Hampshire Group, Ltd. 19,100 759,416 Hancock Fabrics, Inc. 446,400 2,629,296 Handleman Co. 669,676 12,154,619 * Harolds Stores, Inc. 2,000 2,900 * Harris Interactive, Inc. 124,343 613,011 * Hartmarx Corp. 753,900 7,146,972 * Hastings Entertainment, Inc. 353,500 2,110,395 * Hastings Manufacturing Co. 1,700 2,975 Haverty Furniture Co., Inc. 204,300 2,886,759 * Hayes Lemmerz International, Inc. 75,290 489,385 * Hollywood Media Corp. 283,300 1,314,512 * Huffy Corp. 3,725 317 * Image Entertainment, Inc. 17,600 70,576 * IMPCO Technologies, Inc. 239,200 794,144 * Infosonics Corp. 55,100 164,749 * Insight Communications Co., Inc. 1,408,916 15,920,751 * Insight Enterprises, Inc. 535,133 10,477,904 * Interface, Inc. Class A 1,248,707 9,552,609 Intermet Corp. 478 53 * Interstate Hotels & Resorts, Inc. 194,340 893,964 * J. Alexander's Corp. 107,200 796,496 * J. Jill Group, Inc. 57,240 729,810 * Jaclyn, Inc. 26,900 165,435 * Jakks Pacific, Inc. 894,346 18,486,132 * Jo-Ann Stores, Inc. 401,100 10,729,425 * Johnson Outdoors, Inc. 121,800 2,132,718 * K2, Inc. 1,616,510 20,351,861 Kellwood Co. 944,017 23,751,468 Kimball International, Inc. Class B 713,285 8,773,405 * # KIT Manufacturing Co. 1,400 1 Knape & Vogt Manufacturing Co. 37,434 421,132 * LaCrosse Footwear, Inc. 29,400 291,060
3 * Lakes Entertainment, Inc. 204,994 2,548,075 Landry's Restaurants, Inc. 924,835 27,717,305 * Lazare Kaplan International, Inc. 126,800 1,093,016 La-Z-Boy, Inc. 1,106,697 14,774,405 * Learning Care Group, Inc. 43,500 160,950 Libbey, Inc. 2,800 53,340 Liberty Corp. 493,150 17,807,646 * Lin TV Corp. 551,600 8,025,780 * Linens 'n Things, Inc. 1,050,175 25,592,765 Lithia Motors, Inc. Class A 521,975 13,884,535 * Lodgenet Entertainment Corp. 26,000 440,960 * Lodgian, Inc. 3,444 32,718 Lone Star Steakhouse & Saloon, Inc. 680,376 20,554,159 * LOUD Technologies, Inc. 1,000 3,500 * Luby's, Inc. 744,900 6,137,976 M/I Homes, Inc. 274,400 13,851,712 * Madden (Steven), Ltd. 147,263 2,615,391 * Magic Lantern Group, Inc. 28,600 2,059 * Magna Entertainment Corp. 158,300 842,156 * Main Street Restaurant Group, Inc. 287,364 994,279 * Marisa Christina, Inc. 93,900 85,449 * Marlton Technologies, Inc. 96,500 78,165 * Mayor's Jewelers, Inc. 291,200 165,984 McRae Industries, Inc. Class A 32,700 383,244 * Meade Instruments Corp. 620,433 1,712,395 Media General, Inc. Class A 49,100 3,000,010 * Merisel, Inc. 3,600 25,920 * Mestek, Inc. 13,500 347,355 * Michael Anthony Jewelers, Inc. 21 61,530 Modine Manufacturing Co. 592,427 18,009,781 Monaco Coach Corp. 524,500 8,607,045 * Mothers Work, Inc. 77,906 1,061,859 * # Motorcar Parts of America, Inc. 63,350 666,759 Movado Group, Inc. 544,900 9,187,014 * Nathan's Famous, Inc. 106,400 881,950 National Presto Industries, Inc. 135,950 5,825,457 * National RV Holdings, Inc. 267,650 2,374,055 * Nature Vision, Inc. 2,100 9,723 * Navigant International, Inc. 514,301 6,511,051 * Nitches, Inc. 4,047 18,171 * Nobel Learning Communities, Inc. 83,500 730,625 * O'Charleys, Inc. 215,116 3,994,704 * Odd Job Stores, Inc. 175,300 26,295 Ohio Art Co. 3,500 25,375 * One Price Clothing Stores, Inc. 37,085 28 * # Oneida, Ltd. 179,800 422,530 * Opinion Research Corp. 20,000 140,800 * Palm Harbor Homes, Inc. 142,311 2,665,485 * Paxson Communications Corp. 462,700 347,025 * Payless Cashways, Inc. 684 1 * Payless ShoeSource, Inc. 1,874,500 31,547,835 * PC Mall, Inc. 10,431 51,624 Pep Boys - Manny, Moe & Jack 1,917,700 25,620,472 * Perry Ellis International, Inc. 286,928 5,738,560 Phillips-Van Heusen Corp. 814,800 25,250,652
4 * Pinnacle Entertainment, Inc. 569,700 9,929,871 * Pomeroy IT Solutions, Inc. 402,743 5,070,534 Pulitzer, Inc. 198,300 12,683,268 * QEP Co., Inc. 20,600 213,828 # Quaker Fabric Corp. 554,815 1,930,756 * Quantum Fuel Systems Technologies Worldwide, Inc. 11,850 50,362 * R&B, Inc. 243,462 3,274,564 * Radio One, Inc. 150,512 1,899,461 Raytech Corp. 26,800 41,540 * Reading International, Inc. Class A 213,799 1,423,901 * Reading International, Inc. Class B 14,660 95,290 * Regent Communications, Inc. 1,398,651 8,391,906 * Rent-Way, Inc. 751,700 6,968,259 * Reptron Electronics, Inc. 2,856 3,998 * Retail Ventures, Inc. 1,086,073 12,240,043 * Rex Stores Corp. 350,850 4,911,900 * Rexhall Industries, Inc. 33,598 6,216 * Riviera Holdings Corp. 16,500 334,125 * # Rockford Corp. 173,400 452,574 * Rocky Shoes & Boots, Inc. 31,787 940,577 * Rubio's Restaurants, Inc. 111,814 1,023,098 Russ Berrie & Co., Inc. 201,700 2,624,117 Russell Corp. 1,071,600 20,038,920 * Ryan's Restaurant Group, Inc. 676,815 9,448,337 * S&K Famous Brands, Inc. 78,600 1,257,600 * Safety Components International, Inc. 1,155 16,112 * # Salton, Inc. 371,100 385,944 * Sands Regent Casino Hotel 15,492 146,554 Saucony, Inc. Class B 35,454 694,898 * Schieb (Earl), Inc. 75,600 255,150 * Scholastic Corp. 114,299 4,288,498 Service Corp. International 3,615,208 27,403,277 * Sharper Image Corp. 208,368 2,769,211 * Shiloh Industries, Inc. 231,636 2,619,803 * Shoe Carnival, Inc. 446,414 8,182,769 * # Shoe Pavilion, Inc. 9,500 45,030 * ShopKo Stores, Inc. 851,000 20,177,210 * Six Flags, Inc. 3,136,600 13,832,406 * Skechers U.S.A., Inc. Class A 71,332 903,776 Skyline Corp. 118,700 4,641,170 * Smith & Wollensky Restaurant Group, Inc. 160,400 1,008,916 Sonic Automotive, Inc. 980,893 20,912,639 * Southern Energy Homes, Inc. 180,800 1,057,680 * Spanish Broadcasting System, Inc. 12,300 106,395 * SPAR Group, Inc. 4,700 10,058 * Sport Chalet, Inc. 45,900 670,140 * Sport Supply Group, Inc. 105,400 330,956 * Sport-Haley, Inc. 60,800 213,408 * Stage Stores, Inc. 281,266 10,983,437 Standard Motor Products, Inc. 615,650 6,938,375 Star Buffet, Inc. 7,200 50,328 * Steinway Musical Instruments, Inc. 249,800 7,074,336 Stewart Enterprises, Inc. 3,387,678 20,055,054 * Stoneridge, Inc. 667,200 5,217,504 Stride Rite Corp. 1,181,600 14,049,224
5 # Superior Industries International, Inc. 634,300 14,366,895 Superior Uniform Group, Inc. 136,600 1,891,910 Syms Corp. 343,900 4,498,212 * Systemax, Inc. 517,100 3,293,927 * Tag-It Pacific, Inc. 54,100 126,594 Tandy Brand Accessories, Inc. 63,700 837,018 * Tarrant Apparel Group 287,100 780,912 The Marcus Corp. 680,600 14,993,618 * The Rowe Companies 9,400 36,284 * The Sports Authority, Inc. 504,500 16,144,000 * The Sports Club Co., Inc. 115,700 190,905 * # Tower Automotive, Inc. 1,597,350 169,319 Traffix, Inc. 259,000 1,243,200 * Trans World Entertainment Corp. 1,067,874 13,882,362 * # Transpro, Inc. 191,600 1,300,964 * # Tweeter Home Entertainment Group, Inc. 804,706 2,848,659 * Unapix Entertainment, Inc. 5,800 23 * Unifi, Inc. 1,666,066 5,348,072 Unifirst Corp. 276,600 10,123,560 United Auto Group, Inc. 1,532,900 47,213,320 * United Retail Group, Inc. 304,501 2,113,237 * Vail Resorts, Inc. 978,523 26,909,382 * Virco Manufacturing Corp. 60,786 437,659 # Visteon Corp. 3,494,865 26,665,820 * Warnaco Group, Inc. 226,826 4,840,467 * WCI Communities, Inc. 813,900 24,335,610 Wellco Enterprises, Inc. 100 1,313 * Wells-Gardner Electronics Corp. 64,303 218,630 * West Marine, Inc. 117,528 1,949,790 * Westcoast Hospitality Corp. 290,000 1,998,100 * Whitehall Jewelers, Inc. 374,500 2,715,125 * Wickes, Inc. 49,400 148 * Wilsons The Leather Experts, Inc. 477,301 2,801,757 * Worldwide Restaurant Concepts, Inc. 794,905 5,095,341 * Zapata Corp. 252,880 1,636,134 ---------------- Total Consumer Discretionary (Cost $1,391,142,561) 1,562,379,929 ---------------- Industrials -- (19.7%) * AAR Corp. 1,096,630 17,589,945 * Ablest, Inc. 16,800 116,256 Abrams Industries, Inc. 10,000 52,700 * ABX Air, Inc. 534,400 4,018,688 * Active Power, Inc. 991,749 2,657,887 * AirNet Systems, Inc. 312,700 1,560,373 Alamo Group, Inc. 158,700 3,237,480 * Alaska Air Group, Inc. 1,004,900 29,664,648 Alexander & Baldwin, Inc. 659,654 29,321,620 * Allied Defense Group, Inc. 148,100 3,530,704 * Allied Holdings, Inc. 111,535 122,689 Ambassadors International, Inc. 159,500 2,044,790 * Amerco, Inc. 113,000 6,009,340 * # America West Holdings Corp. Class B 674,200 3,775,520 Ameron International Corp. 280,205 9,246,765 Ampco-Pittsburgh Corp. 200,200 2,308,306
6 Amrep Corp. 96,692 2,099,183 Angelica Corp. 206,900 5,476,643 Applied Industrial Technologies, Inc. 997,000 30,348,680 Arkansas Best Corp. 6,600 216,018 * # Armstrong Holdings, Inc. 387,200 1,188,704 * Astronics Corp. 27,443 220,916 * # AstroPower, Inc. 22,344 22 * # ATA Holdings Corp. 184,300 165,870 * Ault, Inc. 93,400 232,566 * Avalon Holding Corp. Class A 25,112 122,798 * AZZ, Inc. 81,100 1,298,411 * Baldwin Technology Co., Inc. Class A 219,700 659,100 Barnes Group, Inc. 48,000 1,472,640 * Barrett Business Services, Inc. 69,789 1,009,149 Bowne & Co., Inc. 1,182,413 15,666,972 * BTU International, Inc. 91,200 345,648 * Butler International, Inc. 81,200 267,960 C&D Technologies, Inc. 375,000 2,745,000 * Cannon Express, Inc. 900 0 * Capstone Turbine Corp. 62,150 62,150 * Catalytica Energy Systems, Inc. 237,200 467,284 CDI Corp. 205,988 4,395,784 * Celadon Group, Inc. 25,710 465,351 Central Parking Corp. 1,207,037 20,398,925 * Century Business Services, Inc. 1,680,956 6,740,634 * Cenveo, Inc. 398,100 3,336,078 Champion Industries, Inc. 104,200 437,640 * Channell Commercial Corp. 17,600 105,952 Chicago Rivet & Machine Co. 10,800 321,624 CIRCOR International, Inc. 515,323 12,754,244 Collins Industries, Inc. 30,500 152,500 * Columbus McKinnon Corp. 88,565 836,054 * Comforce Corp. 58,000 112,520 * Comfort Systems USA, Inc. 1,335,300 8,399,037 * Compudyne Corp. 57,485 347,784 CompX International, Inc. 37,300 538,985 * # Consolidated Freightways Corp. 24,700 74 * Consolidated Graphics, Inc. 213,494 9,037,201 * # Continental Airlines, Inc. 2,267,500 31,427,550 * Cornell Companies, Inc. 461,048 5,919,856 * Correctional Services Corp. 247,312 714,707 * Corrections Corporation of America 8,600 310,460 * Corrpro Companies, Inc. 88,475 70,780 * Covenant Transport, Inc. Class A 405,987 5,635,100 * Cross (A.T.) Co. Class A 234,300 1,178,529 * Crown Andersen, Inc. 22,900 23,473 Cubic Corp. 51,500 906,400 * Distributed Energy Systems Corp. 1,020,622 3,388,465 * Dollar Thrifty Automotive Group, Inc. 854,400 30,749,856 * Ducommun, Inc. 192,279 3,162,990 Eastern Co. 29,400 649,446 Ecology & Environment, Inc. Class A 28,100 182,650 * Electro Rent Corp. 380,804 4,474,447 * EMCOR Group, Inc. 376,319 17,875,153 * Encore Wire Corp. 32,856 361,416
7 * EnPro Industries, Inc. 449,944 12,179,984 Espey Manufacturing & Electronics Corp. 3,800 102,030 * Esterline Technologies Corp. 731,493 28,455,078 * Evergreen Solar, Inc. 131,503 664,090 Federal Signal Corp. 499,815 7,812,108 * First Aviation Services, Inc. 9,000 36,900 * First Consulting Group, Inc. 87,892 455,281 * # Flow International Corp. 34,100 221,650 * Flowserve Corp. 1,864,640 54,950,941 * Foster (L.B.) Co. Class A 162,400 1,461,600 * Foster Wheeler, Ltd. 46,355 686,054 * Frontier Airlines, Inc. 1,133,239 13,836,848 * Frozen Food Express Industries, Inc. 464,747 4,996,030 * FTI Consulting, Inc. 265,600 5,840,544 * FuelCell Energy, Inc. 114,471 931,794 GATX Corp. 1,577,900 52,654,523 * Gehl Co. 200,998 6,027,528 Gencorp, Inc. 317,040 5,992,056 * Genesee & Wyoming, Inc. 187,036 5,225,786 * GP Strategies Corp. 235,265 1,670,382 Graham Corp. 25,950 524,709 Granite Construction, Inc. 1,100 25,795 Hardinge, Inc. 148,600 2,409,995 * Hawaiian Holdings, Inc. 498,455 2,661,750 * Hawk Corp. 138,900 1,554,291 Heico Corp. 307,000 6,477,700 Heico Corp. Class A 25,251 423,964 * Herley Industries, Inc. 360,613 6,314,342 * Hexcel Corp. 599,250 9,791,745 * Hudson Technologies, Inc. 52,500 48,300 Hughes Supply, Inc. 347,316 9,030,216 IKON Office Solutions, Inc. 1,777,700 17,225,913 * Industrial Distribution Group, Inc. 308,575 2,712,374 * Innotrac Corp. 119,600 1,015,404 * Insituform Technologies, Inc. Class A 106,525 1,580,831 * # Integrated Electrical Services, Inc. 1,097,600 1,668,352 International Aluminum Corp. 55,800 1,925,100 * International Shipholding Corp. 80,650 1,177,490 Interpool, Inc. 594,914 12,921,532 * Jacuzzi Brands, Inc. 78,400 800,464 * JPS Industries, Inc. 43,200 207,360 * Kadant, Inc. 465,860 9,550,130 Kaman Corp. Class A 713,954 11,044,868 * # Kansas City Southern 2,225,700 44,491,743 Kelly Services, Inc. Class A 248,533 6,911,703 * Key Technology, Inc. 19,200 211,200 * K-Tron International, Inc. 6,300 180,180 * Ladish Co., Inc. 299,510 3,324,561 * Lancer Corp. 108,400 1,875,320 Lawson Products, Inc. 16,228 694,558 * LMI Aerospace, Inc. 29,100 131,648 LSI Industries, Inc. 348,083 4,730,448 * Lydall, Inc. 511,600 4,215,584 * Lynch Corp. 6,200 57,040 * Mac-Gray Corp. 324,700 2,831,384
8 * Magnetek, Inc. 896,500 1,981,265 * MAIR Holdings, Inc. 560,851 5,350,519 * Marten Transport, Ltd. 200 3,922 * Mastec, Inc. 1,177,200 9,959,112 * Maxco, Inc. 38,500 168,284 * # MCSi, Inc. 27,200 3 * Meadow Valley Corp. 44,064 232,658 * # Medialink Worldwide, Inc. 63,000 198,450 Mercury Air Group, Inc. 39,650 137,189 * Merrimac Industries, Inc. 35,170 313,013 * # Mesa Air Group, Inc. 134,170 856,005 * MFRI, Inc. 59,900 464,764 * # Midwest Air Group, Inc. 582,802 1,142,292 * Milacron, Inc. 1,148,968 2,504,750 * Misonix, Inc. 120,285 693,082 * Mobile Mini, Inc. 273,821 10,109,471 * # Modtech Holdings, Inc. 462,114 2,865,107 * Moore Handley, Inc. 2,000 8,000 Mueller (Paul) Co. 2,300 68,425 Mueller Industries, Inc. 1,134,866 30,641,382 NACCO Industries, Inc. Class A 116,800 11,972,000 * Nashua Corp. 116,000 1,044,000 * # National Patent Development Corp. 235,265 550,520 * National Technical Systems, Inc. 128,684 584,225 * NCI Building Systems, Inc. 473,898 16,368,437 * NCO Group, Inc. 1,058,221 21,016,279 * NES Rentals Holdings, Inc. 448 4,390 * New Horizons Worldwide, Inc. 112,075 404,591 * North America Galvanizing & Coatings, Inc. 73,400 149,736 * On Assignment, Inc. 614,067 3,254,555 * Orbital Sciences Corp. 34,300 333,053 Outlook Group Corp. 59,300 468,470 * Patrick Industries, Inc. 96,250 862,015 * Peerless Manufacturing Co. 20,100 279,591 * PHH Corp. 100 2,399 * Pico Holdings, Inc. 202,251 5,236,278 * Power-One, Inc. 24,696 135,334 * PPT Vision, Inc. 22,250 28,258 Preformed Line Products Co. 14,300 488,059 * PRG-Schultz International, Inc. 556,949 2,149,823 * Protection One, Inc. 61 1,220 Providence & Worcester Railroad Co. 47,100 624,075 * Quanta Services, Inc. 3,830,850 34,592,576 * RailAmerica, Inc. 1,246,038 14,541,263 * RCM Technologies, Inc. 234,100 1,076,860 * Refac 11,357 56,728 Regal-Beloit Corp. 822,383 21,135,243 * RemedyTemp, Inc. 184,200 1,814,370 * # Riviera Tool Co. 16,500 17,903 Robbins & Myers, Inc. 479,900 11,349,635 * Rush Enterprises, Inc. Class A 147,934 2,128,770 * Rush Enterprises, Inc. Class B 105,400 1,533,570 * Schuff International, Inc. 106,600 327,795 * SCS Transportation, Inc. 506,932 9,251,509 * Secom General Corp. 11,500 16,445
9 * Sequa Corp. Class A 94,900 5,504,200 * Sequa Corp. Class B 28,900 1,712,614 * Servotronics, Inc. 400 1,900 * Shaw Group, Inc. 2,106,898 42,453,995 * Sholodge, Inc. 71,600 281,030 * SIFCO Industries, Inc. 74,715 256,272 * Sitel Corp. 984,800 1,949,904 Skywest, Inc. 358,377 6,536,796 Smith (A.O.) Corp. 716,100 22,456,896 Smith (A.O.) Corp. Convertible Class A 70,050 2,196,768 * Smithway Motor Xpress Corp. Class A 73,800 442,800 * SOURCECORP, Inc. 491,436 10,521,645 * Spacehab, Inc. 120,247 169,548 * Sparton Corp. 126,528 1,262,749 * Spherion Corp. 1,999,689 10,938,299 Standard Register Co. 677,399 9,619,066 Starrett (L.S.) Co. Class A 64,600 1,102,722 * Sterling Construction Co., Inc. 1,100 8,118 Stewart & Stevenson Services, Inc. 304,600 7,276,894 * Strategic Distribution, Inc. 65,178 671,333 Supreme Industries, Inc. 56,610 370,796 Sypris Solutions, Inc. 401,688 4,233,792 TB Wood's Corp. 92,900 536,962 * TeamStaff, Inc. 86,000 141,040 Tecumseh Products Co. Class A 442,233 12,090,650 Tecumseh Products Co. Class B 15,600 427,830 * Tetra Tech, Inc. 24,100 290,405 * The Lamson & Sessions Co. 3,700 40,293 Thomas Industries, Inc. 141,200 5,629,644 # Titan International, Inc. 232,000 3,426,640 Todd Shipyards Corp. 81,650 1,571,763 * Trailer Bridge, Inc. 111,200 867,360 * Transport Corp. of America 20,000 125,000 * Transtechnology Corp. 97,300 727,318 * TRC Companies, Inc. 110,900 1,264,260 Tredegar Industries, Inc. 1,273,486 19,420,662 Trinity Industries, Inc. 1,482,100 43,069,826 * Triumph Group, Inc. 524,517 18,609,863 Twin Disc, Inc. 37,400 813,450 * U.S. Xpress Enterprises, Inc. Class A 163,490 1,996,213 * United Rentals, Inc. 1,831,600 36,778,528 * URS Corp. 1,438,667 48,670,105 * USA Truck, Inc. 71,600 1,449,900 * # Valence Technology, Inc. 4,800 14,208 * Valpey Fisher Corp. 10,350 32,706 Viad Corp. 116,900 3,249,820 * Volt Information Sciences, Inc. 402,800 7,915,020 * Washington Group International, Inc. 194,191 9,323,110 Waste Industries USA, Inc. 238,100 3,435,783 * Water Pik Technologies, Inc. 106,545 1,979,606 * Westaff, Inc. 192,900 669,363 * Western Power & Equipment Corp. 4,091 5,318 * Willis Lease Finance Corp. 132,900 1,083,135 * Wolverine Tube, Inc. 482,000 3,475,220 * Xanser Corp. 259,400 573,274
10 * Yellow Roadway Corp. 278,908 14,720,764 ---------------- Total Industrials (Cost $1,070,818,270) 1,335,575,135 ---------------- Financials -- (12.6%) 1st Source Corp. 342,018 7,449,152 21st Century Insurance Group 151,658 2,112,596 ABC Bancorp 21,936 389,364 * ACE Cash Express, Inc. 9,217 201,023 Advanta Corp. Class A 281,453 6,453,717 Advanta Corp. Class B Non-Voting 494,299 12,194,356 * Aether Systems, Inc. 1,403,851 4,394,054 Alfa Corp. 16,525 236,638 * Allmerica Financial Corp. 157,900 5,513,868 * # American Business Financial Services, Inc. 43,184 2,699 * American Physicians Capital, Inc. 289,108 10,017,592 American Physicians Services Group, Inc. 36,300 450,120 Americana Bancorp 26,030 372,489 * AmeriServe Financial, Inc. 422,573 2,307,249 AmerUs Group Co. 338,785 16,122,778 * Arch Capital Group, Ltd. 34,800 1,553,820 * Argonaut Group, Inc. 857,264 17,951,108 ASB Financial Corp. 12,268 274,496 * Atlantic American Corp. 42,900 129,558 Baldwin & Lyons, Inc. Class B 156,125 4,012,412 * Bancinsurance Corp. 76,470 397,644 BankUnited Financial Corp. Class A 48,704 1,203,476 Banner Corp. 345,012 9,180,769 Bay View Capital Corp. 200,776 3,182,300 Beverly Hills Bancorp, Inc. 135,659 1,417,637 * BF Enterprises, Inc. 2,300 18,998 * BNS Holding, Inc. Class A 46,855 323,299 Brookline Bancorp, Inc. 258,695 3,932,164 California First National Bancorp 77,600 900,160 Camco Financial Corp. 19,083 275,368 * Ceres Group, Inc. 629,501 3,607,041 CFS Bancorp, Inc. 333,167 4,367,819 Chemical Financial Corp. 15,511 496,042 Citizens South Banking Corp. 2,500 31,575 * Citizens, Inc. 118,607 686,735 Clark, Inc. 624,728 9,058,556 * CNA Surety Corp. 428,495 5,921,801 Commercial Federal Corp. 1,330,398 33,273,254 Community Bank System, Inc. 466,400 10,867,120 Community West Bancshares 9,600 116,928 * # CompuCredit Corp. 833,453 26,278,773 * Consumer Portfolio Services, Inc. 26,000 114,400 Cooperative Bankshares, Inc. 28,500 530,100 * Credit Acceptance Corp. 518,230 7,312,225 * # Danielson Holding Corp. 68,150 1,107,438 Delphi Financial Group, Inc. Class A 881,563 37,378,271 Donegal Group, Inc. Class A 110,763 2,044,685 Donegal Group, Inc. Class B 47,264 778,438 Downey Financial Corp. 100 7,502 EFC Bancorp, Inc. 5,300 143,100
11 EMC Insurance Group, Inc. 150,700 2,688,488 * Epoch Holding Corp. 108,700 489,150 * EZCORP, Inc. Class A Non-Voting 237,900 2,262,429 FBL Financial Group, Inc. Class A 732,775 19,601,731 Fidelity Southern Corp. 84,400 1,368,968 * Firebrand Financial Group, Inc. 86,400 6,048 * First Bank of Delaware 71,503 235,960 First Citizens BancShares, Inc. 10,300 1,344,459 First Defiance Financial Corp. 128,500 3,436,090 First Federal Bancshares of Arkansas, Inc. 112,100 2,745,329 First Indiana Corp. 229,223 6,177,560 * First Investors Financial Services Group, Inc. 120,900 577,298 First Keystone Financial, Inc. 37,300 645,663 First Merchants Corp. 64,259 1,598,121 First Niagara Financial Group, Inc. 250,797 3,265,377 First Place Financial Corp. 385,659 7,593,626 Flagstar Bancorp, Inc. 126,800 2,505,568 FNB Corp. 700 12,950 FNB Financial Services Corp. 17,375 368,176 * FPIC Insurance Group, Inc. 326,687 9,722,205 Great American Financial Resources, Inc. 221,500 3,734,490 Guaranty Federal Bancshares, Inc. 15,300 355,725 Harleysville Group, Inc. 899,000 18,258,690 HF Financial Corp. 54,615 1,242,491 HMN Financial, Inc. 74,300 2,239,031 Horace Mann Educators Corp. 1,438,408 26,179,026 Independence Holding Co. 104,148 1,838,212 Infinity Property & Casualty Corp. 307,103 9,827,296 * Instinet Group, Inc. 440,262 2,324,583 Investors Title Co. 18,200 641,004 Irwin Financial Corp. 339,242 7,120,690 * ITLA Capital Corp. 147,000 7,323,540 * Kennedy-Wilson, Inc. 30,800 317,856 * KNBT Bancorp, Inc. 5,224 77,904 * Knight Capital Group, Inc. 978,781 7,389,797 * Knight Trading Group, Inc. 5,300 40,015 * LaBranche & Co., Inc. 1,334,340 7,378,900 LandAmerica Financial Group, Inc. 611,212 34,350,114 LSB Corp. 3,500 56,175 MAF Bancorp, Inc. 172,628 7,347,048 MASSBANK Corp. 63,149 2,251,262 * Matrix Bancorp, Inc. 5,000 64,000 MCG Capital Corp. 321,844 5,149,504 * Meadowbrook Insurance Group, Inc. 560,064 2,884,330 Medallion Finanacial Corp. 364,005 3,370,686 Merchants Group, Inc. 23,900 599,890 Meta Financial Group, Inc. 32,400 683,640 * Metris Companies, Inc. 1,938,600 25,163,028 MFB Corp. 17,700 464,979 MicroFinancial, Inc. 125,000 486,250 Midland Co. 49,800 1,591,110 * National Western Life Insurance Co. Class A 24,300 4,456,013 * Navigators Group, Inc. 149,190 4,959,076 NetBank, Inc. 302,082 2,510,301 * Newtek Business Services, Inc. 86,500 224,035
12 North Central Bancshares, Inc. 39,900 1,545,726 Northeast Bancorp 21,200 464,704 Northrim BanCorp, Inc. 1 14 NYMAGIC, Inc. 125,800 2,572,610 * # Ocwen Financial Corp. 1,193,630 8,629,945 Ohio Casualty Corp. 1,932,614 46,189,475 * Pacific Premier Bancorp, Inc. 29,840 312,484 Parkvale Financial Corp. 40,825 1,134,935 PAULA Financial 90,600 159,456 * Penn Treaty American Corp. 366,900 818,187 Pinnacle Bancshares, Inc. 10,400 146,744 * Piper Jaffray Companies, Inc. 448,361 12,675,165 * PMA Capital Corp. Class A 729,273 5,418,498 Pocahontas Bancorp, Inc. 69,800 977,200 * Premier Financial Bancorp 1,100 11,963 Presidential Life Corp. 968,912 14,679,017 Provident Financial Holdings, Inc. 53,800 1,496,716 Provident Financial Services, Inc. 5,000 88,900 * Republic First Bancorp, Inc. 80,083 1,066,710 Riverview Bancorp, Inc. 56,600 1,216,900 RLI Corp. 286,779 12,543,713 * RTW, Inc. 93,850 910,345 * SCPIE Holdings, Inc. 150,800 1,691,976 Selective Insurance Group, Inc. 913,294 43,956,840 Simmons First National Corp. Class A 140,711 3,453,048 Sound Federal Bancorp, Inc. 40,140 639,029 * Standard Management Corp. 134,600 242,280 State Auto Financial Corp. 3,201 86,427 State Financial Services Corp. Class A 18,241 724,168 Stewart Information Services Corp. 598,000 23,471,500 * Stifel Financial Corp. 65,029 1,373,412 * Stratus Properties, Inc. 94,450 1,575,426 * Sun Bancorp, Inc. 60,174 1,248,009 Susquehanna Bancshares, Inc. 287,264 6,538,129 SWS Group, Inc. 267,400 4,238,290 TF Financial Corp. 36,200 1,049,800 * The Banc Corp. 84,508 887,334 # The Phoenix Companies, Inc. 2,736,000 31,464,000 TierOne Corp. 43,474 1,048,810 Timberland Bancorp, Inc. 56,400 1,297,764 * Triad Guaranty, Inc. 209,863 11,374,575 UICI 969,000 24,370,350 UMB Financial Corp. 636,690 35,463,633 Umpqua Holdings Corp. 100,166 2,334,869 * Unico American Corp. 72,700 665,205 * United America Idemnity, Ltd. 262,676 4,478,626 United Community Financial Corp. 805,706 8,467,970 United Fire & Casualty Co. 88,900 3,499,993 Unizan Financial Corp. 18,431 469,806 Vesta Insurance Group, Inc. 1,142,100 2,878,092 Wesbanco, Inc. 9,876 292,033 Westbank Corp. 1,143 19,248 Willow Grove Bancorp, Inc. 65,500 998,613 * Wilshire Enterprises, Inc. 110,090 825,675 Ziegler Companies, Inc. 8,200 161,950 ---------------- Total Financials (Cost $658,967,144) 850,984,881 ----------------
13 Information Technology -- (11.6%) * 3Com Corp. 74,200 271,572 * Actel Corp. 306,134 4,527,722 * ActivCard Corp. 136,166 561,004 * Adaptec, Inc. 1,410,894 5,615,358 * Adept Technology, Inc. 18,720 150,696 * Advanced Digital Information Corp. 143,520 985,982 * Advanced Power Technology, Inc. 245,688 1,584,688 * Aehr Test Systems 89,200 269,384 * Aeroflex, Inc. 35,740 285,920 * Aetrium, Inc. 69,748 179,950 * Agile Software Corp. 616,831 3,978,560 Agilysys, Inc. 935,734 14,391,589 * Airspan Networks, Inc. 85,900 410,602 * Akamai Technologies, Inc. 355,127 4,985,983 Allen Organ Co. Class B 5,000 278,375 * Alliance Semiconductor Corp. 1,167,202 1,960,899 * Allied Motion Technologies, Inc. 45,300 216,534 * Alpha Technologies Group, Inc. 82,112 3,695 American Software, Inc. Class A 269,536 1,390,806 * American Technical Ceramics Corp. 83,300 869,652 * Amistar Corp. 42,300 127,746 * Amtech Systems, Inc. 6,000 35,940 * Anadigics, Inc. 954,146 1,564,799 * Analex Corp. 35,200 115,104 * Analysts International Corp. 564,081 1,855,826 * Analytical Surveys, Inc. 830 1,336 * Anaren, Inc. 590,974 6,997,132 * AnswerThink, Inc. 141,628 560,847 * APA Enterprises, Inc. 157,400 248,692 * Applied Films Corp. 279,950 7,530,655 * Applied Innovation, Inc. 51,000 248,370 * Applied Micro Circuits Corp. 3,092,322 8,874,964 * Apropos Technology, Inc. 447,216 1,149,345 * Ariba, Inc. 244,189 1,496,879 * Arris Group, Inc. 1,326,831 11,490,356 * Art Technology Group, Inc. 203,713 220,010 * # Aspen Technology, Inc. 343,227 1,798,509 * Astea International, Inc. 13,200 97,548 Astro-Med, Inc. 31,540 275,975 * Atari, Inc. 8,867 21,901 * Atmel Corp. 5,988 17,964 * # Avanex Corp. 403,000 407,030 * # Avici Systems, Inc. 378,629 1,688,685 * Aware, Inc. 559,924 3,695,498 * Axcelis Technologies, Inc. 36,459 242,452 * AXT, Inc. 465,578 586,628 * BearingPoint, Inc. 28,800 188,640 Belden CDT, Inc. 906,748 18,243,770 * Bell Industries, Inc. 161,863 357,717 * Bell Microproducts, Inc. 928,006 7,609,649 * Benchmark Electronics, Inc. 14,200 449,714
14 Black Box Corp. 338,856 11,649,869 * Blonder Tongue Laboratories, Inc. 22,600 65,540 Bogen Communications International, Inc. 44,700 213,443 * # Bookham, Inc. 184,450 516,460 * Brooktrout, Inc. 23,035 229,659 * CalAmp Corp. 232,435 1,534,071 * Canterbury Consulting Group, Inc. 842 274 * Captaris, Inc. 975,052 3,529,688 * Carrier Access Corp. 131,778 635,170 * C-COR, Inc. 59,992 412,745 Celeritek, Inc. 384,872 315,595 * CellStar Corp. 598,069 777,490 * Centillium Communications, Inc. 102,929 225,415 * Checkpoint Systems, Inc. 266,500 4,695,730 * Chyron Corp. 1,200 420 * Ciber, Inc. 1,957,800 15,956,070 * Ciena Corp. 1,006,100 2,193,298 * Ciprico, Inc. 70,900 308,415 * Cirrus Logic, Inc. 319,991 1,657,553 * Clarus Corp. 391,100 3,011,470 * Cognitronics Corp. 7,700 29,106 * Coherent, Inc. 1,024,276 33,626,981 * Comarco, Inc. 109,300 873,307 * # Commerce One, Inc. 57,500 7,245 Communications Systems, Inc. 17,300 174,730 * Computer Horizons Corp. 553,091 1,603,964 * Computer Network Technology Corp. 745,784 3,728,920 * Computer Task Group, Inc. 158,300 554,050 * Conexant Systems, Inc. 383,556 548,485 * Convera Corp. 35,389 152,527 * Copper Mountain Networks, Inc. 23,556 21,672 * Cosine Communications, Inc. 313,826 737,491 * Cray, Inc. 400 584 * Credence Systems Corp. 1,210,206 9,584,832 * Crossroads Systems, Inc. 22,000 20,680 * CSP, Inc. 34,000 333,540 CTS Corp. 1,212,900 12,917,385 * Data I/O Corp. 86,400 250,560 * Data Systems & Software, Inc. 91,400 109,680 * Datalink Corp. 197,400 485,604 * Dataram Corp. 28,010 164,139 * Delphax Technologies, Inc. 70,700 263,923 * Digimarc Corp. 111,584 569,078 * DoubleClick, Inc. 134,930 1,110,474 * E.piphany, Inc. 1,359,381 4,744,240 * EasyLink Services Corp. 640 627 * Echelon Corp. 160,132 1,100,107 * Edgewater Technology, Inc. 255,288 1,110,503 * Electro Scientific Industries, Inc. 88,377 1,585,483 * Electroglas, Inc. 485,533 1,675,089 * Electronics for Imaging, Inc. 366,579 6,965,001 * eLoyalty Corp. 49,200 243,540 * EMCORE Corp. 228,231 906,077 * EMS Technologies, Inc. 342,094 4,618,269 * En Pointe Technologies, Inc. 39,500 108,625
15 * Entrust, Inc. 94,279 385,601 * ePlus, Inc. 207,370 2,571,595 * ESS Technology, Inc. 199,365 821,384 * Evans & Sutherland Computer Corp. 181,900 934,057 * Exar Corp. 1,344,986 19,367,798 * # FalconStor Software, Inc. 47,700 348,687 * FEI Co. 500 10,410 * Forgent Networks, Inc. 362,164 651,895 * Forrester Research, Inc. 28,525 470,663 Frequency Electronics, Inc. 97,600 1,141,920 * FSI International, Inc. 733,528 2,758,065 * Gateway, Inc. 1,110,900 3,843,714 * Genesis Microchip, Inc. 400,035 6,620,579 * Gerber Scientific, Inc. 685,200 5,056,776 * # Giga-Tronics, Inc. 28,800 116,640 * Glenayre Technologies, Inc. 996,900 3,190,080 * Globecomm Systems, Inc. 162,400 902,944 * # Glowpoint, Inc. 155,001 206,151 * GTSI Corp. 291,200 2,382,016 * Halifax Corp. 24,000 92,640 * HEI, Inc. 1,400 4,271 * HI/FN, Inc. 147,915 982,156 * HomeStore, Inc. 49,000 102,410 * Hypercom Corp. 1,549,600 9,839,960 * # Ibis Technology Corp. 52,740 66,452 * Identix, Inc. 136,448 749,100 * iGATE Capital Corp. 570,208 2,491,809 * I-many, Inc. 397,000 627,260 Imation Corp. 696,200 26,288,512 * InFocus Corp. 1,322,488 5,501,550 Inforte Corp. 365,374 1,253,233 * Innovex, Inc. 326,137 1,102,343 * InsWeb Corp. 23,166 64,865 * Integrated Device Technology, Inc. 147,470 1,803,558 * Integrated Silicon Solution, Inc. 586,009 3,838,359 * Intelligent Systems Corp. 52,375 108,940 * Intelligroup, Inc. 70,900 83,662 * Interland, Inc. 503,239 956,154 * Internet Commerce Corp. 50,000 81,000 * Interwoven, Inc. 396,724 3,157,923 * IntriCon Corp. 76,500 145,350 * # Intrusion, Inc. 23,600 66,552 * Iomega Corp. 1,624,700 5,020,323 * # IPIX Corp. 7,500 20,025 * iVillage, Inc. 36,000 217,080 * Jaco Electronics, Inc. 105,869 332,429 * JDA Software Group, Inc. 876,171 11,320,129 * Keane, Inc. 158,500 2,127,070 * Kemet Corp. 2,936,384 20,554,688 * Key Tronic Corp. 151,900 558,992 * Keynote Systems, Inc. 288,000 3,340,800 * Lantronix, Inc. 139,900 191,663 * Lattice Semiconductor Corp. 1,051,023 4,435,317 * LeCroy Corp. 16,000 263,360 * # Level 8 Systems, Inc. 5,966 346
16 Liberate Technologies, Inc. 662,100 205,251 * Lightbridge, Inc. 482,181 3,028,097 * # LightPath Technologies, Inc. 31,300 81,380 * Logic Devices, Inc. 92,700 124,218 * LogicVision, Inc. 157,400 283,320 * LTX Corp. 1,700 8,143 * Management Network Group, Inc. 216,686 509,212 * Manchester Technologies, Inc. 177,600 1,113,552 * Manugistic Group, Inc. 646,622 1,163,920 Maximus, Inc. 54,000 1,851,660 * Maxtor Corp. 285,700 1,568,493 * McDATA Corp. 216,923 826,477 * MDI, Inc. 187,300 95,523 * MedQuist, Inc. 471,073 6,128,660 * Merix Corp. 329,356 2,387,831 * MetaSolv, Inc. 586,637 1,214,339 Methode Electronics, Inc. 100 1,194 * Micro Linear Corp. 189,300 1,107,405 * Microtune, Inc. 145,600 643,552 * MKS Instruments, Inc. 612,098 10,222,037 * MPS Group, Inc. 3,484,300 32,682,734 * MRV Communications, Inc. 703,900 1,302,215 * # MSC.Software Corp. 949,639 9,767,037 * # MTI Technology Corp. 300 492 * MTM Technologies, Inc. 6,200 24,614 * # Nanometrics, Inc. 419,649 4,733,641 * Neoforma, Inc. 304,884 2,088,455 * # NeoMagic Corp. 335,100 123,987 * Net2Phone, Inc. 789,432 1,263,091 * NetIQ Corp. 1,818,553 20,076,825 * NetManage, Inc. 83,916 532,867 * NetRatings, Inc. 444,865 6,059,061 * Netscout System, Inc. 132,766 817,839 * Network Engines, Inc. 18,400 31,280 * Network Equipment Technologies, Inc. 738,784 4,129,803 * Newport Corp. 1,230,197 17,284,268 * NMS Communications Corp. 193,500 628,875 * Nu Horizons Electronics Corp. 550,317 3,235,864 * NumereX Corp. Class A 77,800 374,218 * NYFIX, Inc. 489,727 2,473,121 * O.I. Corp. 51,900 616,313 * Omtool, Ltd. 52,514 307,207 * Opent Technologies, Inc. 46,386 375,263 * Oplink Communications, Inc. 158,500 236,165 * OPTi, Inc. 168,800 283,584 * Optical Cable Corp. 30,393 135,553 * Optical Communication Products, Inc. 8,172 14,628 * OSI Systems, Inc. 551,557 8,218,199 * Overland Storage, Inc. 65,524 634,928 * OYO Geospace Corp. 147,500 2,413,395 * PalmSource, Inc. 146,730 1,471,702 * Paradyne Networks Corp. 11,000 21,670 Park Electrochemical Corp. 222,250 5,156,200 * Parlex Corp. 165,300 975,270 * Paxar Corp. 151,600 2,671,192
17 * PC Connection, Inc. 553,286 2,827,291 * PC-Tel, Inc. 594,790 4,347,915 * Peerless Systems Corp. 120,900 437,658 * Pegasus Solutions, Inc. 723,341 7,783,149 * Pegasystems, Inc. 72,001 429,846 * Pemstar, Inc. 690,271 814,520 * Perceptron, Inc. 257,037 1,678,452 * Performance Technologies, Inc. 10,184 68,538 * Pericom Semiconductor Corp. 588,662 4,715,183 * Pervasive Software, Inc. 77,792 360,177 * Phoenix Technologies, Ltd. 133,269 1,082,144 * Photronics, Inc. 540,704 12,452,413 * Pinnacle Systems, Inc. 46,737 276,216 * Planar Systems, Inc. 201,179 1,617,479 * PLATO Learning, Inc. 232,506 1,776,346 * Plexus Corp. 597,091 8,210,001 * PowerCerv Corp. 20,666 11,573 * Powerwave Technologies, Inc. 1,030,883 9,411,962 Printronix, Inc. 90,000 1,429,200 * Procom Technology, Inc. 5,400 8,640 * Quantum Corp. 956,600 2,487,160 * QuickLogic Corp. 428,717 1,873,493 * Quovadx, Inc. 501,945 1,365,290 * RadiSys Corp. 140,691 2,274,973 * Raindance Communictions, Inc. 67,025 137,401 * Register.com, Inc. 77,555 484,719 * Reliability, Inc. 41,800 8,360 * Relm Wireless Corp. 59,254 139,247 * REMEC, Inc. 341,773 2,136,084 Richardson Electronics, Ltd. 49,717 442,481 * Riverstone Networks, Inc. 9,900 6,955 * Robotic Vision Systems, Inc. 14,000 448 * Rofin-Sinar Technologies, Inc. 10,956 353,879 * Rudolph Technologies, Inc. 50,929 734,396 * Safeguard Scientifics, Inc. 1,008,300 998,217 * SafeNet, Inc. 580,612 18,242,829 * SatCon Technology Corp. 97,500 133,575 * SBS Technologies, Inc. 369,322 3,586,117 * ScanSoft, Inc. 359,963 1,461,450 * SCM Microsystems, Inc. 353,070 1,048,618 * SEEC, Inc. 2,200 440 * Segue Software, Inc. 67,900 339,500 * Selectica, Inc. 930,002 2,948,106 * SEMX Corp. 8,700 522 * Sigmatron International, Inc. 16,800 178,920 * # Silicon Graphics, Inc. 1,681,500 1,362,015 * Silicon Storage Technology, Inc. 17,632 60,654 * SimpleTech, Inc. 520,716 1,822,506 * Sipex Corp. 502,253 828,717 * Skyworks Solutions, Inc. 928,258 5,875,873 * Somera Communications, Inc. 93,400 129,826 * # Sonic Foundry, Inc. 22,800 29,184 * SonicWALL, Inc. 1,411,933 8,725,746 * Spectrum Control, Inc. 173,800 1,230,504 * # SR Telecom, Inc. 11,987 3,716
18 * Standard Microsystems Corp. 244,943 3,982,773 * SteelCloud, Inc. 5,900 13,806 * Stellent, Inc. 734,372 5,559,196 * # Stratos International, Inc. 274,103 1,181,384 * SumTotal Systems, Inc. 16,297 68,284 Sunrise Telecom, Inc. 191,400 306,240 * Suntron Corp. 92,475 121,142 * Sycamore Networks, Inc. 1,818,151 6,145,350 * Sykes Enterprises, Inc. 901,750 7,466,490 * Taitron Components, Inc. 6,500 11,375 * Technical Communications Corp. 6,300 19,215 Technitrol, Inc. 584,322 7,672,148 * Technology Solutions Corp. 44,500 23,140 * TechTeam Global, Inc. 232,800 3,259,200 * Tegal Corp. 66,300 70,278 * Telular Corp. 1,000 3,900 * Terayon Communication Systems, Inc. 120,600 382,302 * TheStreet.com, Inc. 259,000 802,900 * Three-Five Systems, Inc. 685,700 459,419 * Tier Technologies, Inc. Class B 611,998 5,410,062 * TII Network Technologies, Inc. 98,200 143,372 * Tollgrade Communications, Inc. 229,725 1,741,316 * Transcat, Inc. 60,000 277,800 Trans-Lux Corp. 2,746 18,261 * Transmeta Corp. 9,791 7,931 * Triquint Semiconductor, Inc. 1,009,028 3,420,605 * Tumbleweed Communications Corp. 37,100 81,620 * Tut Systems, Inc. 13,500 40,770 * Veeco Instruments, Inc. 67,861 1,022,665 * # Verilink Corp. 119,978 190,765 * Verity, Inc. 606,099 5,170,024 * Verso Technologies, Inc. 165,649 43,069 * Vicon Industries, Inc. 71,500 210,925 * Viewpoint Corp. 1,400 2,030 * Vignette Corp. 927,600 1,076,016 * Visual Networks, Inc. 26,900 34,701 * # Vitech America, Inc. 700 0 * Vitesse Semiconductor, Inc. 5,400 13,500 * Vyyo, Inc. 81,414 503,139 * WatchGuard Technologies, Inc. 1,086,802 3,945,091 * Webb Interactive Services, Inc. 1,300 143 * webMethods, Inc. 1,100 5,533 * White Electronics Designs Corp. 196,498 980,525 Wireless Telecom Group, Inc. 35,600 90,068 Woodhead Industries, Inc. 90,612 1,162,552 * Zhone Technologies, Inc. 89,314 242,041 * Zomax, Inc. 1,040,946 2,862,602 * Zones, Inc. 172,800 639,360 * Zoran Corp. 802,916 9,907,983 * Zygo Corp. 484,226 4,687,308 ---------------- Total Information Technology (Cost $843,140,581) 785,941,564 ----------------
19 Materials -- (9.4%) * AK Steel Holding Corp. 1,694,116 12,959,987 * Aleris International, Inc. 570,339 13,585,475 * American Pacific Corp. 104,300 844,830 Arch Chemicals, Inc. 366,287 8,633,385 Atlantis Plastics, Inc. 47,200 293,112 * Badger Paper Mills, Inc. 10,400 34,736 Bairnco Corp. 114,700 1,281,199 * Brush Engineered Materials, Inc. 325,700 4,618,426 * Buckeye Technologies, Inc. 1,277,677 10,566,389 Calgon Carbon Corp. 1,065,500 9,493,605 Cambrex Corp. 709,583 12,843,452 * Caraustar Industries, Inc. 885,399 9,296,690 Carpenter Technology Corp. 716,562 38,694,348 * Castle (A.M.) & Co. 217,730 3,046,043 Chesapeake Corp. 666,306 13,905,806 * Coeur d'Alene Mines Corp. 207,124 689,723 Commercial Metals Co. 1,177,532 30,804,237 * Continental Materials Corp. 4,600 143,474 * # Core Molding Technologies, Inc. 500 4,700 CPAC, Inc. 82,200 410,178 * Detrex Corp. 12,800 59,840 * Devcon International Corp. 52,300 614,525 * Eden Bioscience Corp. 36,120 21,672 * Environmental Technologies Corp. 35,800 16 Friedman Industries, Inc. 40 308 Fuller (H.B.) Co. 517,300 16,760,520 Gibraltar Industries, Inc. 385,124 7,533,025 Glatfelter (P.H.) Co. 1,494,800 16,741,760 * Graphic Packaging Corp. 421,900 1,582,125 Great Lakes Chemical Corp. 4,300 145,770 * ICO, Inc. 264,200 618,228 * Impreso, Inc. 6,500 6,955 * Kaiser Aluminum Corp. 665 47 * Keystone Consolidated Industries, Inc. 18,342 3,118 * Lesco, Inc. 216,600 2,924,100 Longview Fibre Co. 1,691,340 33,776,060 * Material Sciences Corp. 407,767 4,974,757 * Maxxam, Inc. 105,500 2,452,875 * Metals USA, Inc. 349,405 7,396,904 Minerals Technologies, Inc. 246,000 16,555,800 * Mod-Pac Corp. Class B 1,278 18,914 Myers Industries, Inc. 809,071 9,021,142 * NewMarket Corp. 470,102 6,388,686 Niagara Corp. 132,200 1,130,310 NN, Inc. 34,774 441,282 * Northwest Pipe Co. 91,800 2,034,288 * # Olympic Steel, Inc. 304,300 4,777,510 * OM Group, Inc. 719,400 18,128,880 * OMNOVA Solutions, Inc. 167,979 681,995 * Oregon Steel Mills, Inc. 58,700 1,036,642 Penford Corp. 79,800 1,236,102 * PolyOne Corp. 456,506 3,067,720 Pope & Talbot, Inc. 446,500 4,924,895 Potlatch Corp. 403,200 20,841,408 Quaker Chemical Corp. 188,550 3,337,335 Quanex Corp. 543,803 28,217,938
20 Reliance Steel & Aluminum Co. 903,098 34,760,242 Roanoke Electric Steel Corp. 140,900 2,825,045 Rock of Ages Corp. 87,600 531,732 Rock-Tenn Co. Class A 1,161,623 13,370,281 * RTI International Metals, Inc. 693,750 19,001,813 # Ryerson Tull, Inc. 825,539 12,564,704 Schnitzer Steel Industries, Inc. Class A 133,822 3,093,965 Schulman (A.), Inc. 981,082 16,050,502 Schweitzer-Maudoit International, Inc. 250,100 7,495,497 Sensient Technologies Corp. 355,700 7,238,495 * Southwall Technologies, Inc. 131,500 176,210 Spartech Corp. 551,500 11,156,845 Steel Dynamics, Inc. 503,988 13,552,237 Steel Technologies, Inc. 426,113 8,522,260 Stepan Co. 129,000 2,736,090 * Stillwater Mining Co. 1,151,780 7,774,515 Summa Industries, Inc. 41,800 321,860 * Synalloy Corp. 88,350 1,020,443 * Terra Industries, Inc. 2,308,500 14,658,975 Texas Industries, Inc. 727,557 33,482,173 * U.S. Concrete, Inc. 625,733 3,829,486 * Universal Stainless & Alloy Products, Inc. 118,900 1,492,195 Valhi, Inc. 138,552 2,568,754 Vulcan International Corp. 11,200 549,920 Wausau-Mosinee Paper Corp. 1,254,999 15,687,488 * Webco Industries, Inc. 93,900 539,925 Wellman, Inc. 864,400 9,715,856 * WHX Corp. 1,413 49 * Williams Industries, Inc. 3,400 11,852 * # Zoltek Companies, Inc. 201,080 2,002,757 ---------------- Total Materials (Cost $518,160,422) 636,335,413 ---------------- Energy -- (8.1%) Adams Resources & Energy, Inc. 6,700 112,895 * Bolt Technology Corp. 13,700 80,145 * # BPZ Energy, Inc. 4,188 19,265 * Callon Petroleum Co. 592,400 8,382,460 Castle Energy Corp. 201,400 2,618,200 * Giant Industries, Inc. 414,500 11,941,745 * Gulfmark Offshore, Inc. 453,461 11,363,733 * Hanover Compressor Co. 2,951,815 30,787,430 * # Horizon Offshore, Inc. 667,752 210,342 * Houston Exploration Co. 686,942 35,013,434 * Input/Output, Inc. 770,600 4,569,658 * Key Energy Group, Inc. 2,200 24,178 Lufkin Industries, Inc. 206,400 5,950,512 * Magnum Hunter Resources, Inc. 2,790,568 43,142,181 Maritrans, Inc. 108,500 2,592,065 * # Matrix Service Co. 215,730 890,965 * Meridian Resource Corp. 489,100 2,215,623 * Mission Resources Corp. 521,424 3,686,468 * Mitcham Industries, Inc. 134,928 947,195 * NATCO Group, Inc. Class A 141,900 1,526,844 * Newpark Resources, Inc. 925,900 5,647,990
21 * Offshore Logistics, Inc. 774,700 24,263,604 * Oil States International, Inc. 121,483 2,813,546 Overseas Shipholding Group, Inc. 452,875 27,670,662 * Parker Drilling Co. 2,438,599 13,900,014 Resource America, Inc. 316,976 10,770,844 * Seabulk International, Inc. 556,300 10,909,043 * SEACOR Holdings, Inc. 623,566 36,204,242 * Spinnaker Exploration Co. 1,129,266 34,634,588 * Stone Energy Corp. 615,511 26,485,438 * Swift Energy Corp. 925,005 31,588,921 * T-3 Energy Services, Inc. 880 6,248 * Tel Offshore Trust 40,574 294,973 Tesoro Petroleum Corp. 1,157,200 50,453,920 * Tipperary Corp. 126,900 592,623 * # Torch Offshore, Inc. 215,000 26,337 * TransMontaigne, Inc. 998,924 8,271,091 * # U.S. Energy Corp. Wyoming 25,700 103,314 * Universal Compression Holdings, Inc. 1,045,984 35,772,653 USEC, Inc. 2,797,802 38,189,997 * Veritas DGC, Inc. 943,700 25,479,900 * Whiting Petroleum Corp. 9,400 325,052 ---------------- Total Energy (Cost $328,604,264) 550,480,338 ---------------- Health Care -- (4.8%) * Accelrys, Inc. 832,759 4,396,968 * Air Methods Corp. 259,451 1,759,078 * Albany Molecular Research, Inc. 300,572 3,579,813 * Allied Healthcare International, Inc. 228,160 1,578,867 * Allied Healthcare Products, Inc. 124,200 642,114 * Allscripts Healthcare Solutions, Inc. 31 507 * Almost Family, Inc. 8,250 98,010 Alpharma, Inc. Class A 1,388,800 17,873,856 American Shared Hospital Services 30,900 185,400 Analogic Corp. 152,388 6,474,966 * Angeion Corp. 315 753 * Aradigm Corp. 3,301 3,565 * Arena Pharmaceuticals, Inc. 871,172 5,967,528 * Argonaut Technologies, Inc. 6,299 5,921 * Arqule, Inc. 691,485 4,529,227 Atrion Corp. 36,100 2,359,135 * ATS Medical, Inc. 56,219 182,712 * Avigen, Inc. 666,089 1,991,606 * Beverly Enterprises, Inc. 1,276,800 15,794,016 * Bioanalytical Systems, Inc. 17,100 108,585 * BioScrip, Inc. 608,462 3,182,256 * Biosource International, Inc. 118,800 1,207,008 * Bruker BioSciences Corp. 182,593 766,891 * Caliper Life Sciences, Inc. 865,775 5,333,174 * Capital Senior Living Corp. 793,099 4,806,180 * Caprius, Inc. 72 216 * Cardiac Sciences, Inc. 107,444 105,295 * # Cardiotech International, Inc. 41,591 77,775 * CareCentric, Inc. 29,400 44,100 * # Cell Genesys, Inc. 83,150 483,102
22 * Coast Dental Services, Inc. 48,533 174,719 * Compex Technologies, Inc. 216,826 815,266 * Conmed Corp. 442,611 13,871,429 * Corautus Genetics, Inc. 642 2,536 * Corixa Corp. 121,800 517,650 * Criticare Systems, Inc. 91,000 422,240 * Cross Country Healthcare, Inc. 576,922 9,778,828 * # CryoLife, Inc. 400 2,900 * # CuraGen Corp. 1,276,636 5,464,002 * # Curative Health Services, Inc. 462,318 1,188,157 * Curis, Inc. 20 79 * # CytRx Corp. 2,800 2,380 D&K Healthcare Resources, Inc. 451,249 3,682,192 Datascope Corp. 200 6,088 * Del Global Technologies Corp. 69,517 195,690 * Dendreon Corp. 4,200 22,218 * # Digital Angel Corp. 350,050 1,372,196 * Discovery Partners International, Inc. 624,909 1,843,482 * Dyax Corp. 216,796 1,008,101 * Emisphere Technologies, Inc. 145,427 564,257 * Encore Medical Corp. 103,490 525,729 * Endologix, Inc. 108,700 472,845 * First Horizon Pharmaceutical Corp. 64,231 1,207,543 * Fischer Imaging Corp. 39,500 109,810 * Five Star Quality Care, Inc. 245,775 1,676,186 * Genaissance Pharmaceuticals, Inc. 101,700 92,547 * Gene Logic, Inc. 1,051,748 3,544,391 * Genesis HealthCare Corp. 265,263 11,536,288 * GTC Biotherapeutics, Inc. 379,069 507,952 * Guilford Pharmaceuticals, Inc. 315,391 794,785 * Hanger Orthopedic Group, Inc. 730,600 3,726,060 * Harvard Bioscience, Inc. 412,729 1,328,987 * HealthTronics Surgical Services, Inc. 21,675 275,056 * HMS Holdings Corp. 343,637 2,130,549 Hooper Holmes, Inc. 1,867,000 7,468,000 * ImmunoGen, Inc. 303,998 1,811,828 * Incyte Corp. 737,121 5,624,233 * Innovative Clinical Solutions, Ltd. 4,226 17 * # Insmed, Inc. 36,825 46,768 * IntegraMed America, Inc. 56,400 589,380 * Iridex Corp. 89,000 534,000 * Kendle International, Inc. 400,960 4,623,069 Kewaunee Scientific Corp. 31,100 248,489 * Kindred Healthcare, Inc. 1,144,681 44,161,793 * # Lipid Sciences, Inc. 86,802 458,315 * Maxim Pharmaceuticals, Inc. 180,666 274,612 * Maxygen, Inc. 192,595 1,508,019 * MedCath Corp. 282,332 7,315,222 * Medical Staffing Network Holdings, Inc. 362,000 1,965,660 * Microtek Medical Holdings, Inc. 710,234 2,500,024 * Molecular Devices Corp. 83,159 1,606,632 * # Nanogen, Inc. 209,580 855,086 National Home Health Care Corp. 53,533 710,383 National Research Corp. 60,153 855,977 * Natus Medical, Inc. 70,200 709,020
23 NDCHealth Corp. 40,400 677,104 * Neose Technologies, Inc. 15,721 41,346 * Neurogen Corp. 131,407 888,311 * New Brunswick Scientific Co., Inc. 103,193 552,083 * NMT Medical, Inc. 123,900 1,084,125 * North American Scientific, Inc. 137,561 412,683 NWH, Inc. 56,100 841,500 * # OCA, Inc. 1,663,800 6,821,580 * Orthologic Corp. 337,942 1,372,045 * Oscient Pharmaceutical Corp. 38,618 63,720 * Osteotech, Inc. 172,112 497,404 * Parexel International Corp. 1,726 31,500 * Pediatric Services of America, Inc. 236,000 3,112,840 * Per-Se Technologies, Inc. 234,979 4,457,552 * Pharmacopia Drug Discovery, Inc. 150,545 728,638 * PRAECIS Pharmaceuticals, Inc. 899,847 593,899 * Pure World, Inc. 100,500 198,990 * Quidel Corp. 50,950 223,161 * Radiologix, Inc. 255,792 1,005,263 * Res-Care, Inc. 528,510 7,045,038 * Rochester Medical Corp. 19,950 206,682 * # Rural/Metro Corp. 134,500 1,009,961 * Sangamo BioSciences, Inc. 8,400 31,500 * Sequenom, Inc. 668,851 635,408 * Sonic Innovations, Inc. 147,939 643,535 Span-American Medical System, Inc. 24,000 247,200 * SRI/Surgical Express, Inc. 86,600 392,731 * Strategic Diagnostics, Inc. 4,550 12,786 * Suncoast Naturals, Inc. 624 71 * SunLink Health Systems, Inc. 65,400 529,086 * # Sunrise Senior Living, Inc. 670,200 34,950,930 * Synovis Life Technologies, Inc. 94,696 724,424 * Theragenics Corp. 1,001,400 3,434,802 * Third Wave Technologies, Inc. 18,876 70,974 * Titan Pharmaceuticals, Inc. 304,298 654,241 * Transgenomic, Inc. 20,818 14,156 * # Trestle Holdings, Inc. 5,240 8,384 * Tripos, Inc. 7,200 25,920 * # U.S. Diagnostic, Inc. 20,800 0 * United American Healthcare Corp. 17,950 38,593 * Urologix, Inc. 45,500 198,835 * V.I. Technologies, Inc. 18 53 * Vical, Inc. 479,118 1,820,648 * Virologic, Inc. 784,915 2,142,818 * Wilson Greatbatch Technologies, Inc. 258,900 6,223,956 * Zoll Medical Corp. 37,797 897,301 * ZymeTx, Inc. 1,100 61 ---------------- Total Health Care (Cost $275,812,488) 321,832,127 ---------------- Consumer Staples -- (4.6%) Alliance One International, Inc. 2,803,307 17,969,198 # American Italian Pasta Co. 408,700 9,404,187 # Cal-Maine Foods, Inc. 113,658 737,640 * Carrington Laboratories, Inc. 121,900 453,468
24 Casey's General Stores, Inc. 603,352 10,884,470 * Central Garden & Pet Co. 385,385 17,091,825 Chiquita Brands International, Inc. 885,273 25,743,739 Corn Products International, Inc. 625,500 13,817,295 * Cruzan International, Inc. 73,100 1,019,745 * Foodarama Supermarkets, Inc. 12,900 399,900 * Fresh Brands, Inc. 2,900 19,546 Golden Enterprises, Inc. 17,200 63,640 * # Great Atlantic & Pacific Tea Co., Inc. 1,028,200 25,633,026 * Griffin Land & Nurseries, Inc. Class A 25,000 600,000 * Hain Celestial Group, Inc. 730,169 13,143,042 Imperial Sugar Co. (NEW) 243,452 3,749,161 Ingles Market, Inc. Class A 371,422 4,694,774 * Katy Industries, Inc. 133,000 464,170 Longs Drug Stores Corp. 1,268,200 52,046,928 * M&F Worldwide Corp. 582,676 7,452,426 Marsh Supermarkets, Inc. Class A 36,900 415,125 Marsh Supermarkets, Inc. Class B 59,400 751,410 MGP Ingredients, Inc. 221,989 1,855,828 * Monterey Pasta Co. 472,200 1,426,044 # Nash Finch Co. 374,343 13,319,124 * Natrol, Inc. 122,500 343,000 * Natural Alternatives International, Inc. 81,500 616,140 Northland Cranberries, Inc. 500 170 Oil-Dri Corp. of America 47,700 815,670 * Omega Protein Corp. 646,100 4,587,310 * Pathmark Stores, Inc. 954,190 8,540,000 * Performance Food Group Co. 259,321 7,017,226 * PriceSmart, Inc. 319,192 2,234,344 Pyramid Breweries, Inc. 110,100 208,001 * # Redhook Ale Brewery, Inc. 126,500 385,825 Ruddick Corp. 12,491 300,159 * San Filippo (John B.) & Son, Inc. 115,305 2,438,701 * Scheid Vineyards, Inc. 34,100 197,780 Scope Industries 8,100 566,190 Seaboard Corp. 23,576 31,709,720 * Seneca Foods Corp. Class B 10,500 173,512 * Smart & Final Food, Inc. 204,800 2,222,080 * Spartan Stores, Inc. 113,219 1,460,525 Stephan Co. 51,500 229,175 Tasty Baking Co. 241,200 1,929,600 Universal Corp. 449,928 19,976,803 * Weider Nutrition International, Inc. 166,500 679,320 Weis Markets, Inc. 26,400 969,936 * Wild Oats Markets, Inc. 8,164 91,763 * # Winn-Dixie Stores, Inc. 1,578,500 1,657,425 ---------------- Total Consumer Staples (Cost $216,413,498) 312,506,086 ---------------- Telecommunication Services -- (0.9%) Alaska Communications Systems Group, Inc. 251,100 2,377,917 * Boston Communications Group, Inc. 309,111 429,664 * Cincinnati Bell, Inc. 123,800 489,010 * # Cogent Communications Group, Inc. 257 5,914 CT Communications, Inc. 383,330 4,638,293
25 D&E Communications, Inc. 232,042 1,877,220 * GoAmerica, Inc. 559 3,891 Hector Communications Corp. 10,600 243,800 * IDT Corp. 695,022 9,375,847 * IDT Corp. Class B 1,460,200 20,004,740 * LCC International, Inc. Class A 335,372 1,197,278 * Metro One Telecommunications, Inc. 436,119 409,952 * Price Communications Corp. 876,426 15,065,763 SureWest Communications 105,299 2,506,116 * TALK America Holdings, Inc. 285,777 2,540,558 * Teleglobe International Holdings, Ltd. 123,955 295,013 * Time Warner Telecom, Inc. 498,936 2,544,574 * Xeta Corp. 30,500 97,600 ---------------- Total Telecommunication Services (Cost $69,878,679) 64,103,150 ---------------- Utilities -- (0.4%) Black Hills Corp. 3 110 * CMS Energy Corp. 96,269 1,273,639 Delta Natural Gas Co., Inc. 27,300 702,156 * Dynegy, Inc. 119,900 557,535 Empire District Electric Co. 12,400 284,952 Florida Public Utilities Co. 1,800 31,860 Maine & Maritimes Corp. 400 10,700 South Jersey Industries, Inc. 441,391 25,026,870 Southwest Gas Corp. 1,700 42,466 ---------------- Total Utilities (Cost $17,089,320) 27,930,288 ---------------- Other -- (0.0%) * Big 4 Ranch, Inc. 73,300 0 * Bush Industries, Inc. Escrow 1,800 42 * Career Blazers, Inc. Trust Units 9,540 0 * Celebrity, Inc. Escrow Shares 26,325 0 * Denali, Inc. 69,500 0 * ePresence, Inc. Escrow Shares 312,600 40,638 * Hoenig Group Escrow Shares 104,700 0 * # Imperial Sugar Co. 282,800 0 * Medical Resources, Inc. 1,619 0 * Noel Group, Inc. 95,400 1,431 * Petrocorp, Inc. Escrow Shares 102,600 6,156 * StorageNetworks, Inc. Escrow Shares 362,800 9,832 * Suburban Lodges of America, Inc. Escrow Shares 241,100 0 * # Trenwick Group, Ltd. 199,776 999 * # Trump Entertainment Resorts, Inc. 265 3,453 * Wireless WebConnect!, Inc. 1,400 15 ---------------- Total Other (Cost $4,824,168) 62,566 ---------------- TOTAL COMMON STOCKS (Cost $5,394,851,395) 6,448,131,477 ----------------
26 RIGHTS/WARRANTS -- (0.0%) Other -- (0.0%) * American Banknote Corp. Warrants Series 1 10/01/07 257 0 * American Banknote Corp. Warrants Series 2 10/01/07 257 0 * # Angeion Corp. Warrants 10/31/20 315 0 * Chart Industries, Inc. Warrants 09/15/10 3 76 * Chiquita Brands International, Inc. Warrants 03/19/09 142,110 1,550,420 * CSF Holding, Inc. Litigation Rights 40,500 0 * Del Global Technologies Corp. Warrants 03/28/08 19,927 29,891 * # Foster Wheelers, Ltd. Warrants 09/24/07 927,100 0 * Imperial Credit Industries, Inc. Warrants 01/31/08 4,082 1 * Imperial Sugar Co. Warrants 08/29/08 9,694 6,786 * Milltope Group, Inc. Contigent Value Rights 53,600 0 PMR Corp. Contingent Value Rights 105,000 0 * Timco Aviation Services, Inc. Warrants 02/27/07 25,879 3 * Trico Marine Services, Inc. Warrants 03/15/08 Series B 9,256 14,717 * Trico Marine Services, Inc. Warrants 03/15/10 Series A 9,256 37,024 * # Trump Entertainment Resorts, Inc. Warrants 05/23/06 29,394 0 * Virologic, Inc. Contingent Value Rights 784,916 137,360 ---------------- Total Other (Cost $9,788,772) 1,776,278 ---------------- Consumer Discretionary -- (0.0%) * Lodgian, Inc. Class A Warrants 11/25/07 3,433 120 * Lodgian, Inc. Class B Warrants 11/25/09 10,609 212 ---------------- Total Consumer Discretionary (Cost $0) 332 ---------------- Consumer Staples -- (0.0%) * Cruzan International, Inc. Rights 06/21/05 14,620 0 ---------------- (Cost $0) TOTAL RIGHTS/WARRANTS (Cost $9,788,772) 1,776,610 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) BONDS -- (0.0%) Other -- (0.0%) * Del Global Technologies Corp. Subordinated Promissory Note 6.000%, 03/28/07 $ 40 0 * Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 6 0 ---------------- Total Other (Cost $0) 0 ---------------- TOTAL BONDS (Cost $0) 0 ---------------- TEMPORARY CASH INVESTMENTS -- (4.9%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05 (Collateralized by $545,515,000 U.S. STRIPS 6.125%, 11/15/27, valued at $196,008,995) to be repurchased at $192,180,081 (Cost $192,164,494) 192,164 192,164,494 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $142,182,000 FHLMC Notes 4.00%, 09/22/09, valued at $142,359,728) to be repurchased at $140,266,259 (Cost $140,255,000) 140,255 140,255,000 ---------------- 332,419,494 ----------------
27 TOTAL TEMPORARY CASH INVESTMENTS (Cost $332,419,494) 332,419,494 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $5,737,059,661) $ 6,782,327,581 ================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 28 THE U.S. SMALL CAP SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (94.8%) Information Technology -- (19.9%) * 24/7 Real Media, Inc. 3,180 $ 9,667 * 3Com Corp. 14,400 52,704 * # 8X8, Inc. 19,200 37,056 * Access Integrated Technologies, Inc. 1,000 6,300 * # ACE*COMM Corp. 7,500 15,900 * Actel Corp. 66,135 978,137 * ActivCard Corp. 110,943 457,085 * Actuate Corp. 163,700 350,318 * Adaptec, Inc. 286,800 1,141,464 * ADDvantage Technologies Group, Inc. 4,200 13,146 * ADE Corp. 13,300 298,319 * Adept Technology, Inc. 1,400 11,270 Adtran, Inc. 86,129 1,892,254 * Advanced Digital Information Corp. 162,800 1,118,436 * Advanced Energy Industries, Inc. 88,064 840,131 * # Advanced Photonix, Inc. 9,000 19,800 * Advanced Power Technology, Inc. 26,695 172,183 * Advent Software, Inc. 87,885 1,762,973 * Aehr Test Systems 7,100 21,442 * Aeroflex, Inc. 194,750 1,558,000 * Aetrium, Inc. 9,300 23,994 * Agile Software Corp. 137,671 887,978 Agilysys, Inc. 83,888 1,290,197 * Airspan Networks, Inc. 101,300 484,214 * Akamai Technologies, Inc. 82,588 1,159,536 Allen Organ Co. Class B 800 44,540 * Alliance Semiconductor Corp. 94,300 158,424 * Allied Motion Technologies, Inc. 2,900 13,862 * Alpha Technologies Group, Inc. 7,100 320 * Altiris, Inc. 72,700 1,366,760 American Software, Inc. Class A 54,205 279,698 * American Technical Ceramics Corp. 8,000 83,520 * Amistar Corp. 1,600 4,832 * Amkor Technology, Inc. 446,050 1,583,478 * Ampex Corp. Class A 5,925 210,338 * Amtech Systems, Inc. 1,900 11,381 * Anadigics, Inc. 82,200 134,808 * Analex Corp. 37,500 122,625 * Analysts International Corp. 62,486 205,579 * Analytical Surveys, Inc. 730 1,175 * Anaren, Inc. 50,100 593,184 * Anixter International, Inc. 101,100 3,822,591
1 * Ansoft Corp. 30,839 687,710 * AnswerThink, Inc. 116,025 459,459 * Ansys, Inc. 81,888 2,730,146 * Anteon International Corp. 97,700 4,317,363 * APA Enterprises, Inc. 11,800 18,644 * Apogee Technology, Inc. 5,400 6,534 * Applied Films Corp. 37,961 1,021,151 * Applied Innovation, Inc. 15,100 73,537 * Applied Micro Circuits Corp. 358,000 1,027,460 * Applix, Inc. 26,500 127,730 * Apropos Technology, Inc. 46,200 118,734 * aQuantive, Inc. 161,325 2,482,792 * # Ardent Communications, Inc. 12,900 13 * Ariba, Inc. 164,121 1,006,062 * Arris Group, Inc. 236,500 2,048,090 * Art Technology Group, Inc. 121,085 130,772 * # Artisoft, Inc. 2,400 3,960 * ASA International, Ltd. 640 2,016 * Ask Jeeves, Inc. 129,700 3,944,177 * Aspect Communications Corp. 156,883 1,506,077 * # Aspen Technology, Inc. 92,664 485,559 * Astea International, Inc. 2,900 21,431 Astro-Med, Inc. 9,830 86,013 * Asyst Technologies, Inc. 104,400 439,524 * Atari, Inc. 315,361 778,942 * ATMI, Inc. 84,833 2,383,807 * August Technology Corp. 44,500 505,965 * Authentidate Holding Corp. 89,400 262,836 * autobytel.com, Inc. 91,700 445,662 * # Avanex Corp. 349,695 353,192 * # Avici Systems, Inc. 33,643 150,048 * Avocent Corp. 62,819 1,758,932 * Aware, Inc. 60,459 399,029 * Axcelis Technologies, Inc. 269,900 1,794,835 * Axesstel, Inc. 50,200 187,246 * # AXS-One, Inc. 73,700 123,816 * AXT, Inc. 38,700 48,762 * Bankrate, Inc. 7,000 127,890 * BearingPoint, Inc. 12,500 81,875 BEI Technologies, Inc. 40,200 1,033,542 Bel Fuse, Inc. Class A 2,600 65,754 Bel Fuse, Inc. Class B 7,650 228,735 Belden CDT, Inc. 83,439 1,678,793 * Bell Industries, Inc. 8,900 19,669 * Bell Microproducts, Inc. 74,731 612,794 * Benchmark Electronics, Inc. 111,600 3,534,372 * BindView Development Corp. 125,800 392,496 * Bitstream, Inc. 8,400 23,184 Black Box Corp. 45,300 1,557,414 * Blonder Tongue Laboratories, Inc. 9,800 28,420 * Blue Coat Systems, Inc. 32,886 638,317 Bogen Communications International, Inc. 12,500 59,688 * # Bookham, Inc. 28,147 78,812 * Borland Software Corp. 209,200 1,338,880 * Bottomline Technologies, Inc. 46,306 628,835
2 * Brightpoint, Inc. 52,600 988,880 * # BroadVision, Inc. 86,077 120,508 * Brocade Communications Systems, Inc. 90,424 353,558 * Brooks Automation, Inc. 121,539 1,832,808 * Brooktrout, Inc. 34,407 343,038 * Cabot Microelectronics Corp. 66,700 2,089,711 * CalAmp Corp. 57,928 382,325 * California Micro Devices Corp. 57,600 276,480 * Callidus Software 32,000 110,400 * CAM Commerce Solutions, Inc. 3,000 47,220 * Canterbury Consulting Group, Inc. 1,571 511 * Captaris, Inc. 78,928 285,719 * Captiva Software Corp. 7,660 102,797 * Carreker Corp. 21,871 114,823 * Carrier Access Corp. 88,789 427,963 * Catalyst Semiconductor, Inc. 47,440 215,378 * Catapult Communications Corp. 38,891 547,196 * CCC Information Services Group, Inc. 57,848 1,352,486 * C-COR, Inc. 123,600 850,368 * CDC Corp. 4,282 10,705 Celeritek, Inc. 28,400 23,288 * CellStar Corp. 53,118 69,053 * Centillium Communications, Inc. 100,889 220,947 * Centra Software, Inc. 71,644 123,228 * # Cenuco, Inc. 32,600 107,906 * CEVA, Inc. 36,896 268,603 * Checkpoint Systems, Inc. 103,600 1,825,432 * Cherokee International Corp. 16,842 69,221 * Chordiant Software, Inc. 173,200 296,172 * # Chyron Corp. 23,000 8,050 * Ciber, Inc. 164,412 1,339,958 * Ciena Corp. 66,100 144,098 * Ciprico, Inc. 4,900 21,315 * Cirrus Logic, Inc. 220,918 1,144,355 * Clarus Corp. 33,800 260,260 * ClearOne Communications, Inc. 11,000 36,740 * CMGI, Inc. 124,200 270,756 * CNET Networks, Inc. 373,500 3,876,930 Cognex Corp. 124,600 3,234,616 * Cognitronics Corp. 4,250 16,065 * Coherent, Inc. 80,078 2,628,961 Cohu, Inc. 56,798 1,091,658 * Comarco, Inc. 10,200 81,498 * # Commerce One, Inc. 45,000 5,670 * CommScope, Inc. 145,500 2,461,860 Communications Systems, Inc. 8,200 82,820 * Competitive Technologies, Inc. 6,100 66,734 * Computer Horizons Corp. 37,400 108,460 * Computer Network Technology Corp. 68,110 340,550 * Computer Task Group, Inc. 37,600 131,600 * Comtech Telecommunications Corp. 55,800 2,018,286 * Concord Communications, Inc. 49,400 835,848 * Concur Technologies, Inc. 86,603 830,523 * Concurrent Computer Corp. 151,900 276,458 * Conexant Systems, Inc. 226,933 324,514
3 * Convera Corp. 98,574 424,854 * # Copper Mountain Networks, Inc. 16,910 15,557 * Corillian Corp. 100,861 324,268 * Cosine Communications, Inc. 23,321 54,804 * Covansys Corp. 48,200 590,450 * # C-Phone Corp. 8,900 62 * Cray, Inc. 229,248 334,702 * Credence Systems Corp. 234,147 1,854,444 * # Critical Path, Inc. 16,400 7,708 * Crossroads Systems, Inc. 42,369 39,827 * CSG Systems International, Inc. 137,732 2,619,663 * CSP, Inc. 3,500 34,335 CTS Corp. 95,559 1,017,703 * # Cyberguard Corp. 79,385 509,652 * Cyberoptics Corp. 22,911 294,635 * Cybersource Corp. 89,800 602,558 * Cymer, Inc. 99,886 2,837,761 * Cypress Semiconductor Corp. 307,400 3,974,682 * Daktronics, Inc. 50,766 1,182,340 * Data I/O Corp. 7,600 22,040 * Data Systems & Software, Inc. 7,300 8,760 * Datalink Corp. 13,300 32,718 * Dataram Corp. 21,500 125,990 * Datastream Systems, Inc. 20,100 119,193 * DataTRAK International, Inc. 5,200 99,840 * Datawatch Corp. 4,132 17,354 * Delphax Technologies, Inc. 6,100 22,771 * Digi International, Inc. 59,526 698,240 * Digimarc Corp. 43,365 221,162 * Digital Insight Corp. 95,902 2,084,909 * Digital Lightwave, Inc. 378 185 * Digital River, Inc. 91,000 2,504,320 * Digital Theater Systems, Inc. 37,489 640,687 * Digitas, Inc. 234,156 2,592,107 * Diodes, Inc. 12,150 403,988 * Dionex Corp. 56,215 2,521,243 * Display Technologies, Inc. 11,330 9 * Ditech Communications Corp. 89,455 644,971 * DocuCorp International, Inc. 29,353 196,665 * Document Sciences Corp. 14,200 98,690 * Dot Hill Systems Corp. 113,460 602,473 * DoubleClick, Inc. 326,518 2,687,243 * DPAC Technologies Corp. 13,541 3,656 * DSP Group, Inc. 75,600 1,778,112 * DuraSwitch Industries, Inc. 10,500 15,603 * Dynamics Research Corp. 16,098 239,699 * E.piphany, Inc. 199,247 695,372 * EarthLink, Inc. 264,575 2,807,141 * EasyLink Services Corp. 7,969 7,810 * Echelon Corp. 104,806 720,017 * eCollege.com 58,575 605,080 * EDGAR Online, Inc. 45,684 132,027 * Edgewater Technology, Inc. 11,569 50,325 * EFJ, Inc. 9,100 64,610 * eFunds Corp. 128,506 2,598,391
4 * Electro Scientific Industries, Inc. 68,993 1,237,734 * Electroglas, Inc. 56,200 193,890 * Electronics for Imaging, Inc. 137,900 2,620,100 * eLoyalty Corp. 6,700 33,165 * Embarcadero Technologies, Inc. 63,250 361,158 * EMCORE Corp. 121,961 484,185 * EMS Technologies, Inc. 28,274 381,699 * Emulex Corp. 206,800 3,908,520 * En Pointe Technologies, Inc. 6,500 17,875 * # Endwave Corp. 6,800 245,140 * Entegris, Inc. 191,838 1,860,829 * Enterrasys Networks, Inc. 378,100 351,633 * Entrust, Inc. 162,900 666,261 * Epicor Software Corp. 137,655 1,697,286 * EPIQ Systems, Inc. 46,450 759,458 * ePlus, Inc. 22,490 278,898 * Equinix, Inc. 60,920 2,321,052 * ESS Technology, Inc. 100,400 413,648 * Euronet Worldwide, Inc. 88,036 2,468,529 * Evans & Sutherland Computer Corp. 10,400 53,404 * Evolving Systems, Inc. 12,600 33,390 * Exar Corp. 108,108 1,556,755 * Excel Technology, Inc. 31,372 785,869 * Extended Systems, Inc. 11,100 37,851 * Extreme Networks, Inc. 315,821 1,443,302 * Ezenia! Inc. 200 530 * F5 Networks, Inc. 6,619 338,959 Factset Research Systems, Inc. 120,200 3,847,602 * # FalconStor Software, Inc. 122,705 896,974 * Fargo Electronics 32,700 590,235 * Faro Technologies, Inc. 36,260 1,008,753 * FEI Co. 86,558 1,802,138 * Filenet Corp. 107,480 2,994,393 * FindWhat.com 79,200 421,344 * Finisar Corp. 366,256 435,845 * Firstwave Technologies, Inc. 2,600 4,485 * FOCUS Enhancements, Inc. 3,132 2,349 * Forgent Networks, Inc. 64,800 116,640 * FormFactor, Inc. 97,362 2,533,359 * Forrester Research, Inc. 56,729 936,029 * Foundry Networks, Inc. 78,800 728,112 Frequency Electronics, Inc. 8,300 97,110 * FSI International, Inc. 77,900 292,904 * Gartner Group, Inc. 231,800 2,299,456 * Gartner, Inc. 50,500 496,920 * Gateway, Inc. 164,800 570,208 * Genesis Microchip, Inc. 79,062 1,308,476 * Gerber Scientific, Inc. 58,000 428,040 * Giga-Tronics, Inc. 4,600 18,630 * Glenayre Technologies, Inc. 139,427 446,166 * # Global e-Point, Inc. 3,008 9,084 * Global Imaging Systems, Inc. 61,056 1,940,970 * Globecomm Systems, Inc. 16,500 91,740 * # Glowpoint, Inc. 58,350 77,606 * GoRemote Internet Communications, Inc. 74,000 115,440
5 * GTSI Corp. 22,020 180,124 * Halifax Corp. 1,000 3,860 * Harmonic, Inc. 187,846 1,170,281 * Hauppauge Digital, Inc. 8,800 33,880 * HEI, Inc. 7,600 23,184 Helix Technology Corp. 67,924 856,522 * HI/FN, Inc. 19,600 130,144 * HomeStore, Inc. 292,445 611,210 * Hutchinson Technology, Inc. 65,400 2,705,598 * Hypercom Corp. 135,100 857,885 * # HyperFeed Technologies, Inc. 1,450 2,683 * Hyperion Solutions Corp. 48,824 2,154,603 * # Ibis Technology Corp. 27,000 34,020 * iCAD, Inc. 3,600 12,780 * Identix, Inc. 253,512 1,391,781 * iGATE Capital Corp. 134,823 589,177 * # ImageWare Systems, Inc. 6,900 22,977 * I-many, Inc. 47,700 75,366 Imation Corp. 87,700 3,311,552 * Immersion Corp. 61,500 360,390 * Indus International, Inc. 34,900 78,525 * # Infocrossing, Inc. 52,491 575,301 * InFocus Corp. 102,689 427,186 * Informatica Corp. 226,800 1,945,944 * Information Architects Corp. 1,080 167 Inforte Corp. 28,500 97,755 * InfoSpace, Inc. 86,146 2,922,072 infoUSA, Inc. 138,305 1,670,724 * Innodata Isogen, Inc. 58,300 174,317 * Innovex, Inc. 49,800 168,324 * Insightful Corp. 6,300 20,790 * InsWeb Corp. 1,633 4,572 Integral Systems, Inc. 9,200 200,100 * Integral Vision, Inc. 2,200 3,520 * Integrated Circuit Systems, Inc. 85,408 1,809,796 * Integrated Device Technology, Inc. 273,313 3,342,618 * Integrated Silicon Solution, Inc. 94,694 620,246 * # Intelli-Check, Inc. 28,000 154,280 * Intellidata Technologies Corp. 45,578 15,497 * Intelligent Systems Corp. 4,500 9,360 * Intelligroup, Inc. 31,400 37,052 * # Intellisync Corp. 155,850 416,120 * Interactive Intelligence, Inc. 41,441 202,232 * Interdigital Communications Corp. 143,000 2,639,780 * Intergraph Corp. 87,400 2,743,486 * Interland, Inc. 41,810 79,439 * Interlink Electronics, Inc. 35,600 190,104 * # Intermix Media, Inc. 83,200 493,376 * International Microcomputer Software, Inc. 5,100 5,967 * Internet Commerce Corp. 4,000 6,480 * Internet Security Systems, Inc. 131,851 2,927,092 * Interphase Corp. 5,400 38,070 Inter-Tel, Inc. 69,300 1,422,729 * Intervoice, Inc. 95,818 858,529 * Interwoven, Inc. 105,307 838,244
6 * Intest Corp. 8,600 30,865 * Intevac, Inc. 36,201 376,852 * Intrado, Inc. 44,810 573,120 * Intraware, Inc. 4,500 1,755 * IntriCon Corp. 4,750 9,025 * # Intrusion, Inc. 4,050 11,421 * Iomega Corp. 138,195 427,023 * iPass, Inc. 77,300 476,941 * # IPIX Corp. 4,350 11,615 * I-Sector Corp. 10,400 84,656 * # Island Pacific, Inc. 73,700 13,266 * Iteris, Inc. 6,520 17,148 * Itron, Inc. 55,000 2,261,050 * iVillage, Inc. 188,922 1,139,200 * Ixia 162,447 2,987,400 * IXYS Corp. 86,424 1,195,244 * j2 Global Communication, Inc. 65,732 2,305,879 * Jaco Electronics, Inc. 5,659 17,771 * JDA Software Group, Inc. 75,012 969,155 * JMAR Industries, Inc. 23,700 29,862 * Jupitermedia Corp. 87,569 1,598,134 * Keane, Inc. 161,264 2,164,163 Keithley Instruments, Inc. 36,900 543,537 * Kemet Corp. 225,023 1,575,161 * Key Tronic Corp. 8,600 31,648 * Keynote Systems, Inc. 18,600 215,760 * Kintera, Inc. 14,476 44,731 * Komag, Inc. 72,609 2,094,770 * Kopin Corp. 181,991 700,665 * Kronos, Inc. 69,500 3,138,620 * Kulicke & Soffa Industries, Inc. 133,634 776,414 Landauer, Inc. 23,300 1,138,205 * Lantronix, Inc. 15,000 20,550 * # LaserCard Corp. 29,724 178,344 * Lattice Semiconductor Corp. 285,451 1,204,603 * Lawson Software, Inc. 257,608 1,525,039 * LeCroy Corp. 31,613 520,350 * # Level 8 Systems, Inc. 3,729 216 * # Lexar Media, Inc. 205,597 1,032,097 Liberate Technologies, Inc. 106,300 32,953 * Lightbridge, Inc. 68,876 432,541 * Lightning Rod Software, Inc. 580 539 * LightPath Technologies, Inc. 1,850 4,810 * Lionbridge Technologies, Inc. 121,646 605,797 * Littlefuse, Inc. 58,600 1,762,688 * Logic Devices, Inc. 6,700 8,978 * LogicVision, Inc. 53,741 96,734 * Logility, Inc. 13,200 59,400 * LoJack Corp. 42,400 624,976 Lowrance Electronics, Inc. 6,692 138,859 * LTX Corp. 158,700 760,173 * Macrovision Corp. 129,293 2,716,446 * Magma Design Automation, Inc. 91,283 727,526 * MAI Systems Corp. 500 30 * Management Network Group, Inc. 57,200 134,420
7 * Manatron, Inc. 1,102 10,436 * Manchester Technologies, Inc. 8,000 50,160 * Manhattan Associates, Inc. 77,494 1,645,973 * Manugistic Group, Inc. 190,000 342,000 * Mapinfo Corp. 52,999 660,368 * # Marchex, Inc. Class B 4,759 71,004 * MatrixOne, Inc. 134,044 612,581 * Mattson Technology, Inc. 133,745 1,045,886 Maximus, Inc. 55,400 1,899,666 * Maxtor Corp. 502,000 2,755,980 * Maxwell Technologies, Inc. 38,460 395,369 * McDATA Corp. 204,501 779,149 * MDI, Inc. 14,000 7,140 * Measurement Specialties, Inc. 12,900 250,260 * Mechanical Technology, Inc. 6,200 22,134 * MedQuist, Inc. 64,700 841,747 * Mentor Graphics Corp. 202,927 2,086,090 * Merix Corp. 49,513 358,969 * MetaSolv, Inc. 105,579 218,549 Methode Electronics, Inc. 34,100 407,154 * Metrologic Instruments, Inc. 56,200 778,932 * Micrel, Inc. 234,173 2,716,407 * Micro Linear Corp. 31,616 184,954 * Micromuse, Inc. 117,493 737,856 * Micros Systems, Inc. 98,104 4,412,718 * Microsemi Corp. 158,838 3,276,828 * MicroStrategy, Inc. 33,400 1,860,380 * Microtune, Inc. 147,547 652,158 * # Midway Games, Inc. 224,900 1,990,365 * Mindspeed Technologies, Inc. 262,730 375,704 * MIPS Technologies, Inc. 109,400 943,028 * Mitek Systems, Inc. 5,800 3,654 * MKS Instruments, Inc. 138,807 2,318,077 * Mobility Electronics, Inc. 73,840 649,792 * Mobius Management Systems, Inc. 17,100 105,507 Mocon, Inc. 5,500 52,250 * Moldflow Corp. 27,256 359,779 * Monolithic System Technology, Inc. 49,133 273,671 * Motive, Inc. 26,900 233,761 * MPS Group, Inc. 269,200 2,525,096 * MRO Software, Inc. 65,222 978,330 * MRV Communications, Inc. 270,781 500,945 * # MSC.Software Corp. 63,900 657,212 * MSGI Security Solutions, Inc. 942 6,830 * # MTI Technology Corp. 1,300 2,132 * MTM Technologies, Inc. 4,900 19,453 MTS Systems Corp. 51,887 1,655,714 * Mykrolis Corp. 108,700 1,466,363 * # Nanometrics, Inc. 45,794 516,556 * Napco Security Systems, Inc. 5,160 47,627 * Napster, Inc. 1,629 6,907 * Neoforma, Inc. 52,714 361,091 * NeoMagic Corp. 46,677 17,270 * NEON Systems, Inc. 8,600 26,660 * Neoware Systems, Inc. 42,000 425,040
8 * Net Perceptions, Inc. 22,600 18,306 * Net2Phone, Inc. 115,300 184,480 * NETGEAR, Inc. 43,093 847,639 * Netguru, Inc. 17,200 17,888 * NetIQ Corp. 141,587 1,563,120 * NetManage, Inc. 10,442 66,307 * Netopia, Inc. 43,200 144,504 * NetRatings, Inc. 91,131 1,241,204 * Netscout System, Inc. 78,950 486,332 * Network Engines, Inc. 78,500 133,450 * Network Equipment Technologies, Inc. 64,900 362,791 * Newport Corp. 111,718 1,569,638 * NIC, Inc. 186,278 817,760 * Niku Corp. 36,000 541,440 * NMS Communications Corp. 142,200 462,150 * Novatel Wireless, Inc. 75,202 937,769 * Nu Horizons Electronics Corp. 43,900 258,132 * Nuance Communications, Inc. 66,500 313,215 * NumereX Corp. Class A 10,800 51,948 * NYFIX, Inc. 81,014 409,121 * O.I. Corp. 2,700 32,063 * # OmniVision Technologies, Inc. 147,200 2,328,704 * # Omtool, Ltd. 3,570 20,885 * ON Semiconductor Corp. 648,860 2,919,870 * Online Resources Corp. 50,800 494,792 * ONYX Software Corp. 38,850 130,148 * Open Solutions, Inc. 5,200 92,300 * Opent Technologies, Inc. 51,832 419,321 * OpenTV Corp. 39,946 111,449 * Openwave Systems, Inc. 176,422 2,743,362 * Oplink Communications, Inc. 53,100 79,119 * Opsware, Inc. 246,692 1,226,059 * OPTi, Inc. 11,600 19,488 * Optical Cable Corp. 13,300 59,318 * Optical Communication Products, Inc. 77,950 139,531 * OSI Systems, Inc. 42,200 628,780 * Overland Storage, Inc. 36,275 351,505 * OYO Geospace Corp. 10,600 173,437 * Packeteer, Inc. 87,600 1,039,812 * # PalmOne, Inc. 126,792 3,603,429 * PalmSource, Inc. 38,881 389,976 * Panavision, Inc. 3,600 19,800 * PAR Technology Corp. 7,800 223,470 * Paradyne Networks Corp. 111,455 219,566 * Parametric Technology Corp. 515,069 3,100,715 Park Electrochemical Corp. 50,950 1,182,040 * # Parkervision, Inc. 46,081 207,365 * Parlex Corp. 13,800 81,420 * # Path 1 Network Technologies, Inc. 17,600 70,400 * Paxar Corp. 103,100 1,816,622 * PC Connection, Inc. 63,650 325,252 * PC-Tel, Inc. 53,900 394,009 * PDF Solutions, Inc. 66,393 779,454 * PEC Solutions, Inc. 71,717 1,112,331 * Peerless Systems Corp. 24,300 87,966
9 * Pegasus Solutions, Inc. 55,957 602,097 * Pegasystems, Inc. 91,238 544,691 * Pemstar, Inc. 73,200 86,376 * Perceptron, Inc. 22,768 148,675 * Performance Technologies, Inc. 33,200 223,436 * Pericom Semiconductor Corp. 68,736 550,575 * Pervasive Software, Inc. 56,639 262,239 * Pfsweb, Inc. 9 19 * Phoenix Technologies, Ltd. 64,336 522,408 * Photon Dynamics, Inc. 44,000 849,640 * Photronics, Inc. 84,600 1,948,338 * Pinnacle Systems, Inc. 170,500 1,007,655 * Pixelworks, Inc. 51,000 437,070 * Planar Systems, Inc. 37,400 300,696 * PLATO Learning, Inc. 58,366 445,916 * Plexus Corp. 110,200 1,515,250 * Plumtree Software, Inc. 1,504 6,918 * PLX Technology, Inc. 69,038 526,070 * PMC-Sierra, Inc. 7,800 68,406 * Porta Systems Corp. 300 45 * Portal Software, Inc. 98,020 193,099 * Power Intergrations, Inc. 80,700 1,922,274 * PowerCerv Corp. 1,755 983 * Powerwave Technologies, Inc. 263,145 2,402,514 * Presstek, Inc. 90,598 773,707 Printronix, Inc. 5,800 92,104 * Private Business, Inc. 945 1,531 * Procom Technology, Inc. 5,400 8,640 Programmers Paradise, Inc. 5,200 53,404 * Progress Software Corp. 95,000 2,771,150 * Proxim Corp. 6,726 2,152 QAD, Inc. 87,759 616,068 Quality Systems, Inc. 34,009 2,044,961 * Qualstar Corp. 5,500 20,625 * Quantum Corp. 262,800 683,280 * Quest Software, Inc. 251,077 3,320,493 * QuickLogic Corp. 68,600 299,782 * # Quokka Sports, Inc. 1,128 8 * Quovadx, Inc. 62,047 168,768 * Radiant Systems, Inc. 74,944 783,914 * RadiSys Corp. 50,862 822,439 * Radyne ComStream, Inc. 9,500 81,415 * Raindance Communictions, Inc. 97,696 200,277 * Rambus, Inc. 36,020 552,187 * Ramtron International Corp. 58,000 158,334 * RealNetworks, Inc. 444,519 2,271,492 * Redback Networks, Inc. 139,033 792,488 * Register.com, Inc. 44,100 275,625 * Reliability, Inc. 2,100 420 * Relm Wireless Corp. 7,600 17,860 * REMEC, Inc. 72,006 450,042 * Remote Dynamics, Inc. 276 428 Renaissance Learning, Inc. 80,215 1,585,851 * Research Frontiers, Inc. 700 3,052 * RF Micro Devices, Inc. 487,555 2,267,131
10 * RF Monolithics, Inc. 19,600 123,480 Richardson Electronics, Ltd. 40,925 364,233 * Rimage Corp. 8,600 181,890 * Robotic Vision Systems, Inc. 3,480 111 * Rofin-Sinar Technologies, Inc. 39,177 1,265,417 * Rogers Corp. 43,600 1,804,604 * RSA Security, Inc. 180,844 2,224,381 * Rudolph Technologies, Inc. 43,700 630,154 * S1 Corp. 191,706 858,843 * Saba Software, Inc. 29,577 120,083 * Safeguard Scientifics, Inc. 208,000 205,920 * SafeNet, Inc. 62,104 1,951,308 * Sapient Corp. 323,394 2,716,510 * SatCon Technology Corp. 52,200 71,514 * SBE, Inc. 3,500 7,595 * SBS Technologies, Inc. 40,530 393,546 * ScanSoft, Inc. 270,653 1,098,851 * ScanSource, Inc. 32,800 1,610,152 * Schmitt Industries, Inc. 2,466 22,934 * Scientific Learning Corp. 4,400 26,268 * Scientific Technologies, Inc. 6,700 21,172 * SCM Microsystems, Inc. 40,063 118,987 * Seachange International, Inc. 73,000 576,700 * Secure Computing Corp. 64,074 718,910 * SeeBeyond Technology Corp. 222,875 664,168 * SEEC, Inc. 100 20 * Segue Software, Inc. 9,500 47,500 * Selectica, Inc. 78,760 249,669 * Semitool, Inc. 74,660 654,768 * Semtech Corp. 192,557 3,512,240 * SEMX Corp. 300 18 * Serena Software, Inc. 110,890 2,170,117 * # ServiceWare Technologies, Inc. 290 1,015 * SI International, Inc. 3,000 85,050 * # Sigma Designs, Inc. 54,500 430,550 * Sigmatron International, Inc. 2,200 23,430 * # Silicon Graphics, Inc. 348,800 282,528 * Silicon Image, Inc. 203,105 2,384,453 * Silicon Laboratories, Inc. 20,700 574,011 * Silicon Storage Technology, Inc. 221,300 761,272 * SimpleTech, Inc. 119,515 418,303 * Sipex Corp. 83,446 137,686 * Sirenza Microdevices, Inc. 90,840 292,505 * Skyworks Solutions, Inc. 387,593 2,453,464 * SM&A 52,600 460,776 * Smith Micro Software, Inc. 21,400 92,448 * Somera Communications, Inc. 59,150 82,219 * # Sonic Foundry, Inc. 42,300 54,144 * Sonic Solutions, Inc. 63,100 964,168 * SonicWALL, Inc. 185,800 1,148,244 * Sonus Networks, Inc. 54,057 240,554 SpectraLink Corp. 61,200 705,024 * Spectrum Control, Inc. 13,000 92,040 * SPSS, Inc. 27,637 483,095 * SRA International, Inc. 67,200 2,281,440
11 * SRS Labs, Inc. 38,045 213,398 SS&C Technologies, Inc. 59,335 1,774,117 * Staktek Holdings, Inc. 26,861 73,599 * Standard Microsystems Corp. 47,672 775,147 StarTek, Inc. 36,200 504,990 * # STATS ChipPAC, Ltd. 127,537 920,817 * SteelCloud, Inc. 12,100 28,314 * Stellent, Inc. 70,600 534,442 * Stratasys, Inc. 27,000 873,720 * Stratex Networks, Inc. 187,728 328,524 * Stratos International, Inc. 34,736 149,712 * SumTotal Systems, Inc. 45,217 189,459 * Sunair Electronics, Inc. 3,000 27,630 Sunrise Telecom, Inc. 19,500 31,200 * Suntron Corp. 5,265 6,897 * Supertex, Inc. 34,000 591,260 * SupportSoft, Inc. 110,900 574,462 * Sybase, Inc. 190,100 3,878,040 * Sycamore Networks, Inc. 432,488 1,461,809 * Sykes Enterprises, Inc. 101,607 841,306 * Symmetricom, Inc. 119,867 1,352,100 * Synaptics, Inc. 68,320 1,313,794 * SYNNEX Corp. 200 3,164 * Synplicity, Inc. 65,575 400,008 Syntel, Inc. 104,807 1,641,278 * Taitron Components, Inc. 5,000 8,750 * Take-Two Interactive Software, Inc. 61,350 1,580,376 TALX Corp. 53,957 1,506,479 * Technical Communications Corp. 400 1,220 Technitrol, Inc. 104,400 1,370,772 * Technology Solutions Corp. 25,265 13,138 * TechTeam Global, Inc. 20,000 280,000 * Tegal Corp. 5,000 5,300 * Tekelec 166,600 2,267,426 * TeleCommunication Systems, Inc. 79,900 205,343 * # Telkonet, Inc. 114,600 481,320 * Telular Corp. 34,600 134,940 * Terayon Communication Systems, Inc. 193,900 614,663 * Tessco Technologies, Inc. 4,500 57,330 * Tessera Technologies, Inc. 7,600 223,744 * Therma-Wave, Inc. 91,190 142,256 * TheStreet.com, Inc. 64,125 198,788 * THQ, Inc. 102,034 2,845,728 * Three-Five Systems, Inc. 48,799 32,695 * Tier Technologies, Inc. Class B 58,200 514,488 * TII Network Technologies, Inc. 11,260 16,440 * Titan Corp. 203,300 4,472,600 * Tollgrade Communications, Inc. 33,491 253,862 * Track Data Corp. 3,218 7,080 * Transact Technologies, Inc. 8,550 84,047 * Transaction Systems Architects, Inc. 102,739 2,340,394 * Transcat, Inc. 6,100 28,243 * Trans-Industries, Inc. 1,400 868 * Transmeta Corp. 19,100 15,471 * # Transwitch Corp. 40,600 79,982
12 * Trident Microsystems, Inc. 60,300 1,277,154 * Trio-Tech International 400 1,490 * Tripath Technology, Inc. 11,641 9,080 * Triquint Semiconductor, Inc. 332,294 1,126,477 Troy Group, Inc. 13,800 35,880 TSR, Inc. 4,400 25,758 * TTM Technologies, Inc. 106,300 844,022 * Tumbleweed Communications Corp. 124,795 274,549 * Tut Systems, Inc. 65,500 197,810 * Tyler Technologies, Inc. 107,300 698,523 * Ulticom, Inc. 112,030 1,030,676 * Ultimate Software Group, Inc. 57,701 918,600 * Ultradata Systems, Inc. 800 208 * Ultratech, Inc. 61,900 1,085,107 United Online, Inc. 157,003 2,031,619 * Universal Display Corp. 72,548 681,951 * Unova, Inc. 159,300 3,278,394 * # USDATA Corp. 2,820 197 * VA Software Corp. 141,800 239,642 * ValueClick, Inc. 210,900 2,260,848 * Varian Semiconductor Equipment Associates, Inc. 95,000 3,855,100 * Veeco Instruments, Inc. 76,100 1,146,827 * VendingData Corp. 2,100 3,990 * # Verilink Corp. 59,058 93,902 * Verint Systems, Inc. 65,594 2,295,790 * Verity, Inc. 101,600 866,648 * Versant Corp. 1,974 809 * Verso Technologies, Inc. 14,119 3,671 * Viasat, Inc. 69,791 1,416,059 * Vicon Industries, Inc. 4,600 13,570 Video Display Corp. 7,200 92,880 * Viewpoint Corp. 140,816 204,183 * Vignette Corp. 407,600 472,816 * # Viisage Technology, Inc. 123,095 526,847 * Virage Logic Corp. 57,327 632,890 * Vishay Intertechnology, Inc. 205,681 2,653,285 * Visual Networks, Inc. 31,900 41,151 * # Vitech America, Inc. 14,850 10 * Vitesse Semiconductor, Inc. 377,146 942,865 * Vitria Technology, Inc. 86,842 277,894 * Vodavi Technology, Inc. 4,300 23,822 * Vyyo, Inc. 38,700 239,166 * WatchGuard Technologies, Inc. 84,180 305,573 * Webb Interactive Services, Inc. 1,400 154 * WebEx Communications, Inc. 117,680 3,160,885 * webMethods, Inc. 116,402 585,502 * Websense, Inc. 61,700 3,313,907 * WebSideStory, Inc. 16,300 186,635 * Westell Technologies, Inc. 139,819 837,516 * White Electronics Designs Corp. 62,123 309,994 * Wind River Systems, Inc. 215,683 3,535,044 Wireless Telecom Group, Inc. 43,600 110,308 * Witness Systems, Inc. 69,700 1,211,386 * WJ Communications, Inc. 148,728 298,943 Woodhead Industries, Inc. 30,557 392,046
13 * # WorldGate Communications, Inc. 6,500 32,897 X-Rite, Inc. 54,263 600,149 * Zhone Technologies, Inc. 210,262 569,810 * # Zix Corp. 82,926 272,827 * Zomax, Inc. 70,500 193,875 * Zones, Inc. 13,500 49,950 * Zoran Corp. 107,235 1,323,280 * Zygo Corp. 46,700 452,056 ---------------- Total Information Technology (Cost $570,506,769) 520,498,833 ---------------- Consumer Discretionary -- (16.9%) * 1-800 CONTACTS, Inc. 33,678 658,068 * 1-800-FLOWERS.COM, Inc. 75,920 562,567 * 4Kids Entertainment, Inc. 34,700 659,300 * 99 Cents Only Stores 180,700 2,190,084 * A.C. Moore Arts & Crafts, Inc. 52,900 1,574,304 Aaron Rents, Inc. 107,500 2,430,575 Aaron Rents, Inc. Class A 8,550 172,881 * Acme Communications, Inc. 43,100 170,676 Acme United Corp. 3,400 57,868 * ACT Teleconferencing, Inc. 8,913 5,259 Action Performance Companies, Inc. 50,200 467,362 * Advanced Marketing Services, Inc. 48,550 197,841 Advo, Inc. 80,450 2,497,972 * Aeropostale, Inc. 92,850 2,530,162 * AFC Enterprises, Inc. 39,800 1,014,900 * Aftermarket Technology Corp. 54,350 833,729 * Alderwoods Group, Inc. 8,800 121,880 Aldila, Inc. 5,733 133,235 * All American Semiconductor, Inc. 4,000 19,160 * Alliance Gaming Corp. 137,960 1,792,100 * Alloy, Inc. 71,200 365,968 Ambassadors Group, Inc. 9,800 354,270 * Amcast Industrial Corp. 8,400 164 American Axle & Manufacturing Holdings, Inc. 127,700 2,643,390 * American Biltrite, Inc. 3,400 31,960 American Greetings Corp. Class A 82,300 2,138,154 * America's Car-Mart, Inc. 29,400 629,160 Ameristar Casinos, Inc. 73,236 3,759,936 * AMS Health Sciences, Inc. 10,600 18,974 Andersons, Inc. 8,200 268,960 * Applica, Inc. 55,400 158,444 * Arbitron, Inc. 9,400 379,196 Arctic Cat, Inc. 35,530 767,448 * Argosy Gaming Corp. 64,800 3,004,776 Ark Restaurants Corp. 2,700 73,332 * Arlington Hospitality, Inc. 4,900 6,125 ArvinMeritor, Inc. 800 11,520 * Asbury Automotive Group, Inc. 169,700 2,494,590 * Ashworth, Inc. 36,871 353,962 * Audiovox Corp. Class A 52,000 760,760 * # Avatar Holdings, Inc. 8,700 416,730 * Aztar Corp. 93,500 2,986,390 * Ballantyne of Omaha, Inc. 11,900 51,765
14 * # Bally Total Fitness Holding Corp. 88,600 269,344 Bandag, Inc. 23,100 1,069,068 Bandag, Inc. Class A 9,600 400,800 * Barry (R.G.) Corp. 9,500 42,750 Bassett Furniture Industries, Inc. 30,904 603,555 * Beasley Broadcast Group, Inc. 19,233 309,267 * Benihana, Inc. 1,000 14,600 * Benihana, Inc. Class A 150 2,218 * Big Dog Holdings, Inc. 1,500 10,155 * Big Lots, Inc. 292,600 3,704,316 * BJ's Restaurants, Inc. 50,992 938,253 Blair Corp. 21,300 831,765 # Blockbuster, Inc. Class A 113,400 1,035,342 * Blount International, Inc. 117,300 2,071,518 * Bluegreen Corp. 78,865 1,329,664 Blyth, Inc. 107,400 3,043,716 Bob Evans Farms, Inc. 92,038 2,153,689 * Bombay Co., Inc. 98,800 526,604 * Bontex, Inc. 200 12 Bon-Ton Stores, Inc. 35,014 632,703 Books-A-Million, Inc. 18,300 154,086 Boston Acoustics, Inc. 4,600 68,356 * Boyds Collection, Ltd. 152,817 334,669 * Bright Horizons Family Solutions, Inc. 13,200 488,532 * # Brillian Corp. 10,369 32,351 * Broadview Media, Inc. 200 800 * Brookstone, Inc. 54,892 1,105,525 Brown Shoe Company, Inc. 47,000 1,649,700 * Buca, Inc. 52,486 267,679 Buckle, Inc. 30,000 1,183,800 Building Materials Holding Corp. 37,421 2,321,225 * Bull Run Corp. 3,100 2,232 Burlington Coat Factory Warehouse Corp. 117,549 3,896,749 * CabelTel International Corp. 674 3,404 * Cache, Inc. 40,655 531,767 Cadmus Communications Corp. 8,900 141,510 * California Coastal Communities, Inc. 10,000 295,900 * California Pizza Kitchen, Inc. 51,312 1,231,488 Callaway Golf Co. 198,300 2,318,127 * Calloway's Nursery, Inc. 1,200 246 * Candie's, Inc. 75,295 399,816 * Candlewood Hotel Co., Inc. 1,500 90 * Capital Pacific Holdings, Inc. 14,500 59,740 Carmike Cinemas, Inc. 32,228 1,054,178 * Carriage Services, Inc. 46,200 271,656 * Carter's, Inc. 6,300 293,895 * Casual Male Retail Group, Inc. 88,908 626,801 * Catalina Lighting, Inc. 1,760 14,520 Catalina Marketing Corp. 136,000 3,264,000 Cato Corp. Class A 54,700 1,578,642 * Cavalier Homes, Inc. 46,760 170,674 * Cavco Industries, Inc. 7,704 207,315 * CD Warehouse, Inc. 3,300 11 * CEC Entertainment, Inc. 94,450 3,829,947 * Champion Enterprises, Inc. 195,900 1,906,107
15 * Championship Auto Racing Teams, Inc. 8,900 1,468 * Champps Entertainment, Inc. 32,640 262,752 * Charles and Colvard, Ltd. 36,308 734,148 * Charlotte Russe Holding, Inc. 56,200 671,590 * Charming Shoppes, Inc. 312,168 2,818,877 * # Charter Communications, Inc. 482,485 550,033 * Chaus (Bernard), Inc. 1,300 1,066 * Checkers Drive-In Restaurants, Inc. 29,107 418,850 Cherokee, Inc. 8,100 286,092 Christopher & Banks Corp. 96,413 1,764,358 * Chromcraft Revington, Inc. 6,000 72,000 Churchill Downs, Inc. 14,400 620,064 CKE Restaurants, Inc. 150,100 2,476,650 Coachmen Industries, Inc. 42,400 519,400 Coast Distribution System, Inc. 5,600 25,424 * Coastcast Corp. 7,600 17,670 * Cobra Electronics Corp. 6,100 43,310 * Coldwater Creek, Inc. 53,662 1,205,785 # Collegiate Pacific, Inc. 26,000 229,320 * # Collins & Aikman Corp. 209,060 23,728 Concepts Direct, Inc. 400 60 * Concord Camera Corp. 52,056 67,673 * Congoleum Corp. Class A 3,600 15,120 * Cooker Restaurant Corp. 6,500 33 Cooper Tire & Rubber Co. 175,400 3,339,616 * Corinthian Colleges, Inc. 154,298 2,385,447 * Cost Plus, Inc. 58,775 1,367,106 * Cost-U-Less, Inc. 3,000 25,080 Courier Corp. 6,412 224,694 CPI Corp. 11,200 203,840 Craftmade International, Inc. 12,700 211,950 * Crown Media Holdings, Inc. 194,078 1,822,392 * CSK Auto Corp. 121,500 2,056,995 CSS Industries, Inc. 12,900 397,320 * Culp, Inc. 25,400 110,490 * Cumulus Media, Inc. Class A 149,893 1,872,164 Cutter & Buck, Inc. 29,224 383,711 * # Cybex International, Inc. 8,700 26,622 * Cycle Country Accessories Corp. 13,700 45,758 * Daily Journal Corp. 200 7,750 * Dan River, Inc. Class A 100 0 * Dave & Busters, Inc. 13,200 237,072 Deb Shops, Inc. 19,299 583,023 * Deckers Outdoor Corp. 9,200 222,824 Decorator Industries, Inc. 2,762 22,621 Delta Apparel, Inc. 5,240 153,899 * Delta Woodside Industries, Inc. 5,850 3,802 * Department 56, Inc. 35,800 399,528 * DeVry, Inc. 188,500 3,873,675 * Diedrich Coffee, Inc. 4,025 16,829 * Digital Generation Systems, Inc. 114,900 125,241 * Dixie Group, Inc. 31,300 463,866 * # Dominion Homes, Inc. 20,200 313,706 Dover Downs Gaming & Entertainment, Inc. 9,910 117,235 Dover Motorsports, Inc. 43,900 252,864
16 * Drew Industries, Inc. 26,800 1,098,800 * drugstore.com, Inc. 218,423 751,375 * Duckwall-ALCO Stores, Inc. 4,100 80,975 * Dura Automotive Systems, Inc. 49,300 210,511 * # E Com Ventures, Inc. 2,175 30,994 * eCost.com, Inc. 36,233 114,569 * Educational Development Corp. 1,800 18,180 * Electronics Boutique Holdings Corp. 63,130 3,744,240 * ELXSI Corp. 1,800 5,940 * EMAK Worldwide, Inc. 5,700 62,700 * Emerging Vision, Inc. 25,700 3,598 * Emerson Radio Corp. 70,422 181,689 * # Emmis Communications Corp. Class A 133,900 2,378,064 * Enesco Group, Inc. 36,000 138,600 * Entravision Communications Corp. 154,517 1,148,061 Ethan Allen Interiors, Inc. 93,500 2,917,200 * # Everlast Worldwide, Inc. 1,500 10,500 * Fab Industries, Inc. 5,200 15,600 * Fairchild Corp. Class A 56,152 129,150 * Famous Dave's of America, Inc. 29,525 320,346 * Featherlite, Inc. 9,750 40,462 # Fedders Corp. 100,910 224,020 Federal Screw Works 1,562 34,052 * # Federal-Mogul Corp. 57,900 34,740 Finish Line, Inc. Class A 110,834 2,207,813 * Finlay Enterprises, Inc. 19,000 246,620 * # Fleetwood Enterprises, Inc. 144,200 1,379,994 Flexsteel Industries, Inc. 6,100 85,461 * Foamex International, Inc. 58,623 89,693 * # Footstar, Inc. 27,600 116,610 * Fountain Powerboat Industries, Inc. 4,700 22,372 * Fox & Hound Restaurant Group 25,761 316,860 * Franklin Covey Co. 19,300 119,660 * Franklin Electronic Publishers, Inc. 7,900 29,625 Fred's, Inc. 102,350 1,517,850 * Friedmans, Inc. Class A 35,240 34,535 * Friendly Ice Cream Corp. 7,300 77,380 Frisch's Restaurants, Inc. 4,900 120,540 Furniture Brands International, Inc. 137,600 2,767,136 * # Gadzooks, Inc. 13,600 598 * Gaiam, Inc. 5,500 32,782 * # GameStop Corp. 54,200 1,580,472 GameTech International, Inc. 11,100 30,858 * Gaming Partners International Corp. 4,100 61,910 * # Gander Mountain Co. 2,700 33,453 * Gaylord Entertainment Co. 87,363 3,671,867 * Genesco, Inc. 58,000 1,986,500 Gentek, Inc. 25,183 274,747 * G-III Apparel Group, Ltd. 6,700 48,240 Goody's Family Clothing, Inc. 43,942 311,988 * Gottschalks, Inc. 12,700 136,525 Gray Television, Inc. 112,160 1,317,880 Gray Television, Inc. Class A 6,800 75,208 * Group 1 Automotive, Inc. 61,100 1,631,981 * GSI Commerce, Inc. 108,132 1,604,679
17 * Guess, Inc. 114,880 1,934,579 * Guitar Center, Inc. 65,900 3,755,641 * Gymboree Corp. 80,474 1,065,476 Haggar Corp. 6,300 116,298 * Ha-Lo Industries, Inc. 64,900 45 * Hammons (John Q.) Hotels, Inc. Class A 5,200 120,172 * Hampshire Group, Ltd. 4,000 159,040 Hancock Fabrics, Inc. 51,000 300,390 Handleman Co. 55,923 1,015,002 * Harolds Stores, Inc. 2,308 3,347 * Harris Interactive, Inc. 155,400 766,122 * Hartmarx Corp. 94,100 892,068 * Hastings Entertainment, Inc. 22,800 136,116 * Hastings Manufacturing Co. 700 1,225 Haverty Furniture Co., Inc. 15,700 221,841 Haverty Furniture Co., Inc. Class A 400 5,660 * Hayes Lemmerz International, Inc. 42,410 275,665 * Hibbett Sporting Goods, Inc. 61,070 2,144,778 Hollinger International, Inc. Class A 196,800 1,820,400 * Hollywood Media Corp. 80,246 372,341 * Hot Topic, Inc. 118,300 2,539,901 * I.C. Isaacs & Co., Inc. 7,200 44,280 IHOP Corp. 51,800 2,466,198 * Image Entertainment, Inc. 55,800 223,758 * IMPCO Technologies, Inc. 59,102 196,219 * Index Development Partners, Inc. 4,600 9,200 * Infosonics Corp. 4,100 12,259 * Insight Communications Co., Inc. 125,375 1,416,737 * Insight Enterprises, Inc. 127,341 2,493,337 * Insignia Systems, Inc. 19,250 17,325 * Interface, Inc. Class A 117,306 897,391 * Interstate Hotels & Resorts, Inc. 53,840 247,664 * INVESTools, Inc. 115,983 423,338 * Isle of Capri Casinos, Inc. 77,124 1,918,845 * J. Alexander's Corp. 9,200 68,356 * J. Jill Group, Inc. 52,255 666,251 * Jack in the Box, Inc. 94,500 3,919,860 * Jaclyn, Inc. 1,300 7,995 * Jakks Pacific, Inc. 68,226 1,410,231 * Jarden Corp. 75,650 3,849,072 * Jennifer Convertibles, Inc. 1,300 2,925 * Jo-Ann Stores, Inc. 59,175 1,582,931 * Johnson Outdoors, Inc. 6,700 117,317 * Jos. A. Bank Clothiers, Inc. 34,500 1,359,990 * Journal Register Co. 109,100 1,812,151 Juno Lighting, Inc. 980 39,200 * K2, Inc. 123,663 1,556,917 Kellwood Co. 71,976 1,810,916 Kenneth Cole Productions, Inc. Class A 31,550 949,655 * Keystone Automotive Industries, Inc. 40,099 791,554 Kimball International, Inc. Class B 63,200 777,360 * Kirkland's, Inc. 17,200 152,908 Knape & Vogt Manufacturing Co. 2,290 25,762 Koss Corp. 3,600 61,343 * # Krispy Kreme Doughnuts, Inc. 160,600 1,299,254
18 K-Swiss, Inc. Class A 68,200 2,189,220 * LaCrosse Footwear, Inc. 5,800 57,420 * Lakeland Industries, Inc. 2,662 34,659 * # Lakes Entertainment, Inc. 57,887 719,535 Landry's Restaurants, Inc. 68,800 2,061,936 * Lazare Kaplan International, Inc. 8,700 74,994 La-Z-Boy, Inc. 135,600 1,810,260 * Learning Care Group, Inc. 5,200 19,240 Levitt Corp. Class A 48,321 1,391,645 Libbey, Inc. 35,800 681,990 Liberty Corp. 48,800 1,762,168 Liberty Homes, Inc. Class A 200 970 Lifetime Hoan Corp. 28,698 489,588 * Lin TV Corp. 70,400 1,024,320 * Linens 'n Things, Inc. 117,500 2,863,475 Lithia Motors, Inc. Class A 39,310 1,045,646 * LKG Corp. 3,300 81,906 * Lodgenet Entertainment Corp. 45,834 777,345 * Lodgian, Inc. 51 484 Lone Star Steakhouse & Saloon, Inc. 45,746 1,381,987 * LOUD Technologies, Inc. 12,400 43,400 * Luby's, Inc. 57,900 477,096 M/I Homes, Inc. 36,600 1,847,568 * Mace Security International, Inc. 11,200 29,677 * Madden (Steven), Ltd. 34,233 607,978 * Magic Lantern Group, Inc. 1,700 122 * Magna Entertainment Corp. 21,200 112,784 * Main Street Restaurant Group, Inc. 36,100 124,906 * Major Automotive Companies, Inc. 3,280 3,378 * # Manning (Greg) Auctions, Inc. 35,120 334,694 Marine Products Corp. 38,295 578,254 * MarineMax, Inc. 44,075 1,212,944 * Marisa Christina, Inc. 6,700 6,097 * Marlton Technologies, Inc. 7,800 6,318 * # Martha Stewart Living Omnimedia, Inc. 58,200 1,507,380 * Max & Erma's Restaurants, Inc. 2,300 33,948 * Mayor's Jewelers, Inc. 20,300 11,571 # Maytag Corp. 206,700 3,015,753 McRae Industries, Inc. Class A 2,600 30,472 * Meade Instruments Corp. 51,232 141,400 Media General, Inc. Class A 6,100 372,710 * MediaBay, Inc. 1,650 891 * Mediacom Communications Corp. 235,041 1,429,049 * Meritage Homes Corp. 48,200 3,505,104 * Mestek, Inc. 5,400 138,942 * Michael Anthony Jewelers, Inc. 4 11,720 * Midas, Inc. 41,000 963,500 * Mikohn Gaming Corp. 57,575 726,021 * Mity Enterprises, Inc. 5,000 73,500 Modine Manufacturing Co. 90,495 2,751,048 Monaco Coach Corp. 75,950 1,246,339 * Monarch Casino & Resort, Inc. 16,000 321,600 * Monro Muffler Brake, Inc. 12,300 330,501 * Morgan's Foods, Inc. 800 1,360 * Mossimo, Inc. 16,600 70,550
19 * Mothers Work, Inc. 13,654 186,104 * Motorcar Parts of America, Inc. 2,500 26,312 Movado Group, Inc. 46,700 787,362 Movie Gallery, Inc. 116,649 3,728,102 * MTR Gaming Group, Inc. 74,286 762,174 * # Multimedia Games, Inc. 72,635 775,015 * Nathan's Famous, Inc. 7,000 58,023 National Presto Industries, Inc. 6,800 291,380 * National RV Holdings, Inc. 25,700 227,959 * # Nature Vision, Inc. 500 2,315 Nautilus Group, Inc. 85,500 2,288,835 * # Navarre Corp. 70,160 631,440 * Navigant International, Inc. 39,814 504,045 Nelson (Thomas), Inc. 35,900 834,675 * # Netflix, Inc. 135,582 1,937,467 * Nevada Gold & Casinos, Inc. 33,350 366,516 * New Frontier Media, Inc. 3,400 20,400 * Nitches, Inc. 864 3,879 * Nobel Learning Communities, Inc. 6,500 56,875 Nobility Homes, Inc. 4,100 102,869 Noble International, Ltd. 24,160 498,904 * NTN Communications, Inc. 138,693 302,351 * Nutri/System, Inc. 79,900 979,574 Oakley, Inc. 176,900 2,600,430 * O'Charleys, Inc. 55,962 1,039,214 * Odd Job Stores, Inc. 12,700 1,905 * One Price Clothing Stores, Inc. 2,557 2 * # Oneida, Ltd. 28,700 67,445 * Opinion Research Corp. 6,700 47,168 # Orleans Homebuilders, Inc. 48,600 1,088,640 OshKosh B'Gosh, Inc. Class A 24,355 630,307 * # Overstock.com, Inc. 51,500 1,971,935 Oxford Industries, Inc. 43,100 1,541,256 * P & F Industries, Inc. Class A 1,300 21,125 * P.F. Chang's China Bistro, Inc. 56,300 3,336,901 * # Palm Harbor Homes, Inc. 58,511 1,095,911 * Panera Bread Co. 10,635 672,132 * Pantry, Inc. 52,800 2,042,832 * Papa John's International, Inc. 43,200 1,684,800 * Party City Corp. 44,791 598,856 * Paxson Communications Corp. 118,700 89,025 * Payless Cashways, Inc. 60 0 * Payless ShoeSource, Inc. 177,000 2,978,910 * PC Mall, Inc. 30,017 148,557 * # Pegasus Communications Corp. 17,540 110,063 Pep Boys - Manny, Moe & Jack 143,000 1,910,480 * Perry Ellis International, Inc. 23,900 478,000 * PetMed Express, Inc. 60,965 430,413 Phillips-Van Heusen Corp. 83,200 2,578,368 * Phoenix Gold International, Inc. 600 330 Pier 1 Imports, Inc. 55,200 926,808 * Pinnacle Entertainment, Inc. 104,800 1,826,664 * Playboy Enterprises, Inc. Class A 4,700 53,909 * # Playboy Enterprises, Inc. Class B 74,100 938,847 * Point.360 9,000 26,820
20 * Pomeroy IT Solutions, Inc. 31,837 400,828 # Pre-Paid Legal Services, Inc. 40,350 1,519,984 * # Priceline.com, Inc. 101,016 2,419,333 * PRIMEDIA, Inc. 658,238 2,402,569 * Princeton Review, Inc. 14,600 79,862 * ProQuest Co. 77,300 2,481,330 * Provide Commerce 29,200 674,812 Pulitzer, Inc. 23,800 1,522,248 * QEP Co., Inc. 2,125 22,057 Quaker Fabric Corp. 41,950 145,986 * # Quantum Fuel Systems Technologies Worldwide, Inc. 86,271 366,652 * R&B, Inc. 16,800 225,960 * Radio One, Inc. 25,300 319,286 * Radio One, Inc. 8,150 102,690 * Rare Hospitality International, Inc. 88,450 2,744,603 Raytech Corp. 16,400 25,420 * RC2 Corp. 52,991 1,909,796 * Reading International, Inc. Class A 18,149 120,872 * Reading International, Inc. Class B 1,060 6,890 * Red Robin Gourmet Burgers, Inc. 5,599 307,273 * RedEnvelope, Inc. 2,000 19,900 * Regent Communications, Inc. 114,113 684,678 * Rentrak Corp. 26,900 270,345 * Rent-Way, Inc. 68,200 632,214 * Reptron Electronics, Inc. 343 480 * Restoration Hardware, Inc. 85,900 608,172 * Retail Ventures, Inc. 91,400 1,030,078 * Rex Stores Corp. 26,600 372,400 * Rexhall Industries, Inc. 3,142 581 * Riviera Holdings Corp. 10,800 218,700 * Rockford Corp. 14,600 38,106 * Rocky Shoes & Boots, Inc. 4,500 133,155 * Rubio's Restaurants, Inc. 23,195 212,234 Russ Berrie & Co., Inc. 54,100 703,841 Russell Corp. 85,300 1,595,110 * Ryan's Restaurant Group, Inc. 107,800 1,504,888 * S&K Famous Brands, Inc. 2,100 33,600 * Safety Components International, Inc. 118 1,646 * Saga Communications, Inc. Class A 47,625 657,225 * Salem Communications Corp. 52,969 962,447 * # Salton, Inc. 29,600 30,784 * Sands Regent Casino Hotel 2,000 18,920 Saucony, Inc. Class A 2,700 53,730 Saucony, Inc. Class B 3,500 68,600 Sauer-Danfoss, Inc. 49,600 974,640 * Schieb (Earl), Inc. 2,200 7,425 * Scholastic Corp. 97,062 3,641,766 SCP Pool Corp. 68,384 2,449,515 * Select Comfort Corp. 93,175 2,264,152 Service Corp. International 208,300 1,578,914 * # Sharper Image Corp. 40,800 542,232 * Shiloh Industries, Inc. 40,866 462,194 * Shoe Carnival, Inc. 38,079 697,988 * # Shoe Pavilion, Inc. 6,200 29,388 * ShopKo Stores, Inc. 65,800 1,560,118
21 * # Shuffle Master, Inc. 92,130 2,524,362 Sinclair Broadcast Group, Inc. Class A 115,200 1,014,912 * Six Flags, Inc. 241,905 1,066,801 * Skechers U.S.A., Inc. Class A 58,000 734,860 Skyline Corp. 8,300 324,530 * Smith & Wesson Holding Corp. 79,900 303,620 * Smith & Wollensky Restaurant Group, Inc. 13,400 84,286 Sonic Automotive, Inc. 76,300 1,626,716 * Sotheby's Holdings, Inc. Class A 119,900 1,682,197 * Source Interlink Companies, Inc. 74,500 726,375 * Southern Energy Homes, Inc. 13,825 80,876 * Spanish Broadcasting System, Inc. 104,500 903,925 * SPAR Group, Inc. 2,900 6,206 Spartan Motors, Inc. 32,545 349,533 Speedway Motorsports, Inc. 67,390 2,311,477 * Sport Chalet, Inc. 2,700 39,420 * Sport Supply Group, Inc. 8,900 27,946 * Sport-Haley, Inc. 2,700 9,477 * Sportsman's Guide, Inc. 18,533 315,042 * Stage Stores, Inc. 46,172 1,803,017 * Stamps.com, Inc. 58,923 1,317,518 Standard Motor Products, Inc. 50,500 569,135 Stanley Furniture, Inc. 6,700 283,075 Star Buffet, Inc. 2,800 19,572 * Steak n Shake Co. 71,818 1,478,733 * Stein Mart, Inc. 110,616 2,661,421 * Steinway Musical Instruments, Inc. 18,800 532,416 Stewart Enterprises, Inc. 274,470 1,624,862 * Stoneridge, Inc. 59,200 462,944 * Strattec Security Corp. 4,100 207,583 Strayer Education, Inc. 8,300 722,100 Stride Rite Corp. 94,500 1,123,605 Sturm Ruger & Co., Inc. 70,000 569,800 * Sunterra Corp. 400 6,240 # Superior Industries International, Inc. 69,200 1,567,380 Superior Uniform Group, Inc. 7,000 96,950 Syms Corp. 28,200 368,856 * Systemax, Inc. 63,568 404,928 * Tag-It Pacific, Inc. 46,900 109,746 Tandy Brand Accessories, Inc. 5,900 77,526 * Tarrant Apparel Group 42,115 114,553 * TBC Corp. 57,990 1,480,485 Technical Olympic USA, Inc. 145,740 3,191,706 * Tenneco Automotive, Inc. 112,800 1,692,000 * The Children's Place Retail Stores, Inc. 70,200 3,279,042 * The Dress Barn, Inc. 80,252 1,452,561 The Marcus Corp. 54,000 1,189,620 * The Mens Warehouse, Inc. 94,000 4,828,780 * The Rowe Companies 13,100 50,566 * The Sports Authority, Inc. 67,206 2,150,592 * The Sports Club Co., Inc. 20,100 33,165 * # TiVo, Inc. 209,126 1,409,509 * Too, Inc. 90,200 1,793,176 * # Tower Automotive, Inc. 111,100 11,777 * Tractor Supply Co. 91,932 4,083,619
22 Traffix, Inc. 35,600 170,880 * Trans World Entertainment Corp. 78,400 1,019,200 * Transpro, Inc. 16,100 109,319 Triarc Companies, Inc. Class A 61,700 965,605 Triarc Companies, Inc. Class B 49,000 705,600 * # Tropical Sportswear International Corp. 13,075 157 * Tuesday Morning Corp. 106,836 3,246,746 Tupperware Corp. 154,400 3,489,440 * Tweeter Home Entertainment Group, Inc. 63,900 226,206 * Ultimate Electronics, Inc. 858 60 * # Unapix Entertainment, Inc. 6,100 25 * Unifi, Inc. 135,234 434,101 Unifirst Corp. 23,650 865,590 United Auto Group, Inc. 120,800 3,720,640 * United Retail Group, Inc. 22,866 158,690 * Universal Electronics, Inc. 35,324 589,204 * Universal Technical Institute, Inc. 4,800 146,640 * Vail Resorts, Inc. 92,100 2,532,750 Value Line, Inc. 9,900 359,568 * ValueVision Media, Inc. Class A 95,452 918,248 * Varsity Group, Inc. 25,136 151,319 * Vertrue, Inc. 24,000 907,200 * Virco Manufacturing Corp. 13,269 95,537 # Visteon Corp. 325,000 2,479,750 * Warnaco Group, Inc. 120,017 2,561,163 * Waxman Industries, Inc. 600 4,275 * WCI Communities, Inc. 117,100 3,501,290 Wellco Enterprises, Inc. 1,000 13,135 * Wells-Gardner Electronics Corp. 22,261 75,687 * West Marine, Inc. 54,078 897,154 * Westcoast Hospitality Corp. 12,900 88,881 * # Wet Seal, Inc. Class A 90,237 384,410 Weyco Group, Inc. 600 11,502 * Whitehall Jewelers, Inc. 30,250 219,312 * Wickes, Inc. 4,400 13 * William Lyon Homes, Inc. 22,500 2,025,000 * Wilsons The Leather Experts, Inc. 101,045 593,134 * Winmark Corp. 3,800 82,650 # Winnebago Industries, Inc. 87,400 2,857,106 * # WMS Industries, Inc. 80,900 2,570,193 Wolverine World Wide, Inc. 150,600 3,460,788 World Wrestling Federation Entertainment, Inc. 54,200 587,528 * Worldwide Restaurant Concepts, Inc. 71,400 457,674 Yankee Candle Co., Inc. 105,700 3,334,835 * Young Broadcasting, Inc. Class A 44,662 257,253 * Zapata Corp. 18,720 121,118 ---------------- Total Consumer Discretionary (Cost $378,480,696) 441,458,478 ---------------- Industrials -- (14.7%) * 3-D Systems Corp. 24,600 521,520 * AAON, Inc. 13,100 234,490 * AAR Corp. 83,683 1,342,275 * Ablest, Inc. 2,100 14,532 ABM Industries, Inc. 130,400 2,486,728
23 Abrams Industries, Inc. 200 1,054 * ABX Air, Inc. 66,600 500,832 Aceto Corp. 63,525 461,827 * ACT Manufacturing, Inc. 800 8 * Active Power, Inc. 125,456 336,222 * Actuant Corp. 69,980 3,149,100 Acuity Brands, Inc. 33,500 822,425 Administaff, Inc. 66,200 1,414,032 * AeroCentury Corp. 300 948 * Aerosonic Corp. 3,900 20,163 * AirNet Systems, Inc. 22,200 110,778 * Airtran Holdings, Inc. 231,500 2,259,440 * Akorn, Inc. 31,100 91,434 Alamo Group, Inc. 12,500 255,000 * Alaska Air Group, Inc. 73,200 2,160,864 Albany International Corp. Class A 75,672 2,366,263 Alexander & Baldwin, Inc. 57,915 2,574,322 * Allied Defense Group, Inc. 12,400 295,616 * Allied Holdings, Inc. 8,300 9,130 Ambassadors International, Inc. 9,800 125,636 * Amerco, Inc. 14,700 781,746 * # America West Holdings Corp. Class B 94,800 530,880 American Ecology Corp. 14,650 185,469 * American Locker Group, Inc. 300 1,383 * American Science & Engineering, Inc. 21,300 811,743 * American Superconductor Corp. 83,099 735,426 American Woodmark Corp. 44,476 1,494,838 Ameron International Corp. 22,800 752,400 * AML Communications, Inc. 7,800 8,346 Ampco-Pittsburgh Corp. 9,600 110,688 * # AMR Corp. 44,000 567,600 Amrep Corp. 6,500 141,115 Angelica Corp. 22,900 606,163 * APAC Customer Services, Inc. 102,850 98,736 Apogee Enterprises, Inc. 73,910 1,034,001 Applied Industrial Technologies, Inc. 80,550 2,451,942 Applied Signal Technologies, Inc. 29,500 516,250 * ARGON ST, Inc. 49,025 1,683,028 Arkansas Best Corp. 65,500 2,143,815 * Armor Holdings, Inc. 88,800 3,352,200 * # Armstrong Holdings, Inc. 4,400 13,508 * # Arotech Corp. 90,691 96,132 * Artesyn Technologies, Inc. 82,300 677,329 * Art's-Way Manufacturing Co., Inc. 200 1,254 * Astec Industries, Inc. 53,900 1,182,027 * Astronics Corp. 7,725 62,186 * # AstroPower, Inc. 5,058 5 * ASV, Inc. 35,316 1,281,971 * # ATA Holdings Corp. 24,879 22,391 * Ault, Inc. 4,500 11,205 * # Avalon Holding Corp. Class A 1,550 7,580 * Aviall, Inc. 95,900 2,951,802 * Axsys Technologies, Inc. 7,050 120,132 * AZZ, Inc. 8,200 131,282 Badger Meter, Inc. 6,400 240,768
24 * Baker (Michael) Corp. 7,600 131,176 Baldor Electric Co. 89,033 2,239,180 * Baldwin Technology Co., Inc. Class A 13,300 39,900 Banta Corp. 67,300 2,955,816 Barnes Group, Inc. 60,600 1,859,208 * Barrett Business Services, Inc. 8,700 125,802 * BE Aerospace, Inc. 147,610 2,135,917 Bowne & Co., Inc. 89,600 1,187,200 Brady Co. Class A 113,700 3,475,809 * BTU International, Inc. 12,900 48,891 * Butler International, Inc. 8,400 27,720 C&D Technologies, Inc. 65,900 482,388 * Cannon Express, Inc. 200 0 * Capstone Turbine Corp. 78,300 78,300 Cascade Corp. 32,900 1,158,738 * Casella Waste Systems, Inc. Class A 64,089 731,255 * Catalytica Energy Systems, Inc. 19,891 39,185 * CD&L, Inc. 2,600 4,940 CDI Corp. 50,300 1,073,402 * Celadon Group, Inc. 26,879 486,510 Central Parking Corp. 96,837 1,636,545 * Century Business Services, Inc. 196,557 788,194 * Cenveo, Inc. 131,500 1,101,970 * Ceradyne, Inc. 64,365 1,486,188 CERBCO, Inc. Class A 200 1,975 Champion Industries, Inc. 9,674 40,631 * Channell Commercial Corp. 6,600 39,732 Chase Corp. 4,000 56,320 Chicago Rivet & Machine Co. 200 5,956 CIRCOR International, Inc. 40,690 1,007,078 Clarcor, Inc. 138,600 3,893,274 * Clean Harbors, Inc. 37,200 771,900 * CNE Group, Inc. 2,000 320 * Coinstar, Inc. 68,100 1,289,814 Collins Industries, Inc. 7,000 35,000 * Columbus McKinnon Corp. 38,700 365,328 * Comforce Corp. 13,277 25,757 * Comfort Systems USA, Inc. 101,800 640,322 * # Compudyne Corp. 20,804 125,864 CompX International, Inc. 5,100 73,695 * Conrad Industries, Inc. 7,200 9,396 * Consolidated Freightways Corp. 550 2 * Consolidated Graphics, Inc. 35,582 1,506,186 * # Continental Airlines, Inc. 179,500 2,487,870 * Cornell Companies, Inc. 37,600 482,784 * Correctional Services Corp. 20,512 59,278 * Corrections Corporation of America 95,400 3,443,940 * Corrpro Companies, Inc. 7,275 5,820 * CoStar Group, Inc. 47,611 1,913,010 * Covenant Transport, Inc. Class A 31,955 443,535 * CPI Aerostructures, Inc. 13,666 127,504 * CRA International, Inc. 9,000 512,910 * Cross (A.T.) Co. Class A 14,700 73,941 * Crown Andersen, Inc. 1,000 1,025 Cubic Corp. 69,500 1,223,200
25 * CUNO, Inc. 46,408 3,299,609 Curtiss-Wright Corp. 11,600 634,288 * # Delta Air Lines, Inc. 367,200 1,413,720 * DHB Industries, Inc. 114,200 897,612 * DiamondCluster International, Inc. 93,450 1,222,326 * Distributed Energy Systems Corp. 92,650 307,598 * Dollar Thrifty Automotive Group, Inc. 65,600 2,360,944 * DRS Technologies, Inc. 48,500 2,283,380 * Ducommun, Inc. 26,000 427,700 * Duratek, Inc. 13,500 296,055 * Dycom Industries, Inc. 126,566 2,485,756 * Dynamex, Inc. 29,500 530,705 * # Dynamic Materials Corp. 2,000 87,600 Eastern Co. 4,950 109,346 Ecology & Environment, Inc. Class A 2,000 13,000 EDO Corp. 52,000 1,480,440 * EGL, Inc. 123,096 2,342,517 * Electro Rent Corp. 64,261 755,067 ElkCorp 51,600 1,702,800 * EMCOR Group, Inc. 39,000 1,852,500 * Encore Wire Corp. 60,088 660,968 * # Energy Conversion Devices, Inc. 66,197 1,276,278 Engineered Support Systems, Inc. 87,913 3,428,607 * ENGlobal Corp. 2,500 9,075 Ennis, Inc. 68,600 1,090,054 * EnPro Industries, Inc. 54,300 1,469,901 * Environmental Tectonics Corp. 7,100 38,553 * ESCO Technologies, Inc. 32,000 2,712,000 Espey Manufacturing & Electronics Corp. 400 10,740 * Essex Corp. 2,900 54,230 * Esterline Technologies Corp. 65,200 2,536,280 * Evercel, Inc. 466 466 * Evergreen Solar, Inc. 138,827 701,076 * Exponent, Inc. 6,700 165,959 * ExpressJet Holdings, Inc. 141,500 1,221,145 Federal Signal Corp. 125,100 1,955,313 * Fiberstars, Inc. 18,900 178,605 * First Aviation Services, Inc. 6,200 25,420 * First Consulting Group, Inc. 63,503 328,946 * Flanders Corp. 68,397 681,918 Florida East Coast Industries, Inc. 83,600 3,516,216 * # Flow International Corp. 33,300 216,450 * Flowserve Corp. 143,600 4,231,892 * # FLYi, Inc. 68,000 51,680 Forward Air Corp. 125,001 3,356,277 * Foster (L.B.) Co. Class A 10,000 90,000 * Foster Wheeler, Ltd. 2,030 30,044 Franklin Electric Co., Inc. 21,600 829,872 * Frontier Airlines, Inc. 92,643 1,131,171 * Frozen Food Express Industries, Inc. 45,199 485,889 * FTI Consulting, Inc. 112,225 2,467,828 * # FuelCell Energy, Inc. 125,254 1,019,568 G & K Services, Inc. Class A 50,055 1,970,165 * Gardner Denver Machinery, Inc. 59,988 2,300,540 GATX Corp. 118,700 3,961,019
26 * Gehl Co. 16,900 506,797 Gencorp, Inc. 99,711 1,884,538 * General Binding Corp. 13,300 275,177 * General Cable Corp. 103,400 1,448,634 * General Employment Enterprises, Inc. 3,100 4,061 * Genesee & Wyoming, Inc. 63,050 1,761,617 * Genlyte Group, Inc. 63,000 2,807,280 Gevity HR, Inc. 70,510 1,209,247 * Global Payment Technologies, Inc. 5,500 24,750 * Global Power Equipment Group, Inc. 121,600 931,456 Gorman-Rupp Co. 9,968 202,350 * GP Strategies Corp. 30,960 219,816 * Graftech International, Ltd. 243,700 1,072,280 Graham Corp. 1,000 20,220 Granite Construction, Inc. 108,200 2,537,290 Greenbrier Companies, Inc. 14,100 390,852 * Griffon Corp. 75,380 1,502,323 Hardinge, Inc. 8,800 142,718 Harland (John H.) Co. 72,300 2,723,541 * Hawaiian Holdings, Inc. 29,875 159,533 * Hawk Corp. 8,500 95,115 Healthcare Services Group, Inc. 24,975 467,033 Heartland Express, Inc. 144,343 2,894,077 Heico Corp. 25,900 546,490 Heico Corp. Class A 36,765 617,284 * Heidrick & Struggles International, Inc. 49,853 1,251,809 * Herley Industries, Inc. 36,500 639,115 * Hexcel Corp. 134,000 2,189,560 * Hirsch International Corp. Class A 3,300 3,300 * Hi-Shear Technology Corp. 8,600 31,304 * Hub Group, Inc. Class A 15,700 431,436 * Hudson Highland Group, Inc. 5,560 89,016 * Hudson Technologies, Inc. 4,800 4,416 Hughes Supply, Inc. 8,330 216,580 * Hurco Companies, Inc. 6,800 118,388 * Huttig Building Products, Inc. 7,700 84,007 * ICT Group, Inc. 19,274 179,055 * II-VI, Inc. 75,740 1,247,438 IKON Office Solutions, Inc. 171,760 1,664,354 * Imagistics International, Inc. 11,400 307,116 * Industrial Distribution Group, Inc. 24,106 211,892 * Infrasource Services, Inc. 4,700 51,700 * Innotrac Corp. 11,600 98,484 * Innovative Solutions & Support, Inc. 12,700 439,928 * Insituform Technologies, Inc. Class A 67,119 996,046 * # Integrated Electrical Services, Inc. 85,100 129,352 International Aluminum Corp. 2,100 72,450 * International Shipholding Corp. 6,100 89,060 Interpool, Inc. 38,000 825,360 * # Ionatron, Inc. 17,500 155,750 * Jacuzzi Brands, Inc. 199,378 2,035,649 JLG Industries, Inc. 128,500 3,275,465 * JPS Industries, Inc. 9,200 44,160 * Kadant, Inc. 36,020 738,410 Kaman Corp. Class A 57,000 881,790
27 * Kansas City Southern 163,100 3,260,369 Kaydon Corp. 73,300 2,091,982 * Keith Companies, Inc. 11,400 241,110 Kelly Services, Inc. Class A 83,266 2,315,627 * Key Technology, Inc. 4,700 51,700 * Kforce, Inc. 103,155 829,366 * Kirby Corp. 64,500 2,751,570 Knight Transportation, Inc. 146,953 3,593,001 * Korn/Ferry International 104,000 1,649,440 * K-Tron International, Inc. 2,400 68,640 * KVH Industries, Inc. 37,628 349,564 * LaBarge, Inc. 38,500 546,315 * Labor Ready, Inc. 110,600 2,282,784 * Ladish Co., Inc. 19,500 216,450 * Lancer Corp. 9,325 161,323 Lawson Products, Inc. 9,600 410,880 * Layne Christensen Co. 11,600 200,680 * Learning Tree International, Inc. 44,081 567,322 Lennox International, Inc. 158,705 3,370,894 Lincoln Electric Holdings, Inc. 107,661 3,526,974 Lindsay Manufacturer Co. 30,600 612,306 * LMI Aerospace, Inc. 7,900 35,740 LSI Industries, Inc. 51,383 698,295 * Lydall, Inc. 41,900 345,256 * Lynch Corp. 1,500 13,800 * Mac-Gray Corp. 18,500 161,320 * Magnetek, Inc. 74,200 163,982 * MAIR Holdings, Inc. 52,916 504,819 * Marten Transport, Ltd. 9,450 185,315 * Mastec, Inc. 126,050 1,066,383 * Maxco, Inc. 3,100 13,550 McGrath Rentcorp. 63,214 1,457,083 * Meadow Valley Corp. 2,400 12,672 * # Medialink Worldwide, Inc. 5,900 18,585 Mercury Air Group, Inc. 4,950 17,127 * Mercury Computer Systems, Inc. 54,800 1,583,720 * Merrimac Industries, Inc. 2,860 25,454 * # Mesa Air Group, Inc. 79,035 504,243 Met-Pro Corp. 8,100 116,721 * MFRI, Inc. 4,900 38,019 * # Microvision, Inc. 55,923 361,822 Middleby Corp. 23,187 1,279,922 * Midwest Air Group, Inc. 45,000 88,200 * Milacron, Inc. 162,405 354,043 * # Millennium Cell, Inc. 58,900 88,939 * Miller Industries, Inc. 9,280 110,896 Mine Safety Appliances Co. 94,500 4,329,045 * Misonix, Inc. 17,000 97,954 * Mobile Mini, Inc. 38,215 1,410,898 * # Modtech Holdings, Inc. 37,650 233,430 * Moog, Inc. Class A 28,800 874,080 * Moog, Inc. Class B 4,950 151,965 * Morgan Group Holding Co. 200 19 * MPW Industrial Services Group, Inc. 5,000 11,075 * MTC Technologies, Inc. 15,400 516,362
28 Mueller Industries, Inc. 95,145 2,568,915 Multi-Color Corp. 2,250 59,175 * M-Wave, Inc. 2,900 3,074 NACCO Industries, Inc. Class A 6,500 666,250 * Nashua Corp. 5,800 52,200 * # National Patent Development Corp. 14,560 34,070 * National Technical Systems, Inc. 8,600 39,044 * Navigant Consulting, Inc. 125,400 2,876,676 * NCI Building Systems, Inc. 53,600 1,851,344 * NCO Group, Inc. 82,622 1,640,883 * NES Rentals Holdings, Inc. 36 353 * New Horizons Worldwide, Inc. 12,400 44,764 Nordson Corp. 94,675 2,943,446 * North America Galvanizing & Coatings, Inc. 6,700 13,668 * # Northwest Airlines Corp. 218,445 1,330,330 * NuCo2, Inc. 19,100 452,288 * Odyssey Marine Exploration, Inc. 106,200 510,822 * Old Dominion Freight Line, Inc. 64,548 1,966,778 * On Assignment, Inc. 65,015 344,580 * Orbit International Corp. 1,582 16,168 * Orbital Sciences Corp. 134,152 1,302,616 Outlook Group Corp. 2,400 18,960 * P.A.M. Transportation Services, Inc. 20,550 338,664 * Paragon Technologies, Inc. 4,200 45,150 * Park-Ohio Holdings Corp. 10,400 158,600 * Patrick Industries, Inc. 4,500 40,302 * Patriot Transportation Holding, Inc. 2,500 130,750 * Peerless Manufacturing Co. 3,000 41,730 * # Pemco Aviation Group, Inc. 950 23,655 * Perini Corp. 65,800 992,264 * Pico Holdings, Inc. 17,100 442,719 * Pinnacle Airlines Corp. 800 7,840 * # Plug Power, Inc. 190,443 1,184,555 * Portfolio Recovery Associates, Inc. 40,305 1,588,420 * Powell Industries, Inc. 19,159 352,909 * Power-One, Inc. 201,561 1,104,554 * PPT Vision, Inc. 1,700 2,159 Preformed Line Products Co. 1,200 40,956 * PRG-Schultz International, Inc. 161,219 622,305 Providence & Worcester Railroad Co. 3,000 39,750 * PW Eagle, Inc. 7,000 46,060 * Quanta Services, Inc. 302,100 2,727,963 * Quipp, Inc. 1,400 15,099 Quixote Corp. 22,740 442,975 * RailAmerica, Inc. 98,200 1,145,994 Raven Industries, Inc. 46,850 1,193,738 * RCM Technologies, Inc. 10,500 48,300 Regal-Beloit Corp. 75,504 1,940,453 * RemedyTemp, Inc. 15,100 148,735 * Republic Airways Holdings, Inc. 1,600 20,416 * Resources Connection, Inc. 123,036 2,450,877 Robbins & Myers, Inc. 37,800 893,970 Rollins, Inc. 178,050 3,632,220 * Rush Enterprises, Inc. Class A 16,900 243,191 * Rush Enterprises, Inc. Class B 7,000 101,850
29 Schawk, Inc. 22,200 534,132 * School Specialty, Inc. 3,900 152,958 * # Schuff International, Inc. 7,000 21,525 * SCS Transportation, Inc. 38,654 705,436 * Secom General Corp. 140 200 * Senomyx, Inc. 1,100 15,213 * Sequa Corp. Class A 6,900 400,200 * Sequa Corp. Class B 2,600 154,076 * Servotronics, Inc. 1,100 5,225 * Shaw Group, Inc. 166,587 3,356,728 * Sholodge, Inc. 5,100 20,018 * SIFCO Industries, Inc. 5,400 18,522 * Simclar, Inc. 6,500 21,905 Simpson Manufacturing Co., Inc. 103,100 2,963,094 * Sirva, Inc. 4,200 32,970 * Sitel Corp. 176,800 350,064 Skywest, Inc. 144,796 2,641,079 * SL Industries, Inc. 5,900 100,713 Smith (A.O.) Corp. 57,200 1,793,792 Smith (A.O.) Corp. Convertible Class A 3,750 117,600 * Smithway Motor Xpress Corp. Class A 4,000 24,000 * SOURCECORP, Inc. 34,502 738,688 * Spacehab, Inc. 27,766 39,150 * Sparton Corp. 8,334 83,173 * Spherion Corp. 159,120 870,386 * # Spherix, Inc. 12,100 20,691 * Spire Corp. 6,700 29,480 * # Standard Automotive Corp. 4,400 0 * Standard Parking Corp. 1,500 22,515 Standard Register Co. 61,100 867,620 Standex International Corp. 32,100 858,996 Starrett (L.S.) Co. Class A 4,800 81,936 * Sterling Construction Co., Inc. 8,700 64,206 Stewart & Stevenson Services, Inc. 74,802 1,787,020 * Stonepath Group, Inc. 69,400 48,580 * Strategic Distribution, Inc. 3,029 31,199 Sun Hydraulics, Inc. 4,900 180,908 Supreme Industries, Inc. 11,408 74,722 * Swift Transportation Co., Inc. 6,343 155,721 Sypris Solutions, Inc. 44,847 472,687 TB Wood's Corp. 7,600 43,928 * Team, Inc. 7,600 144,400 * TeamStaff, Inc. 20,200 33,128 Tech/Ops Sevcon, Inc. 3,100 18,445 Technology Research Corp. 14,350 71,894 Tecumseh Products Co. Class A 34,700 948,698 * Teledyne Technologies, Inc. 86,300 2,728,806 * TeleTech Holdings, Inc. 194,300 1,587,431 Tennant Co. 22,500 839,250 * Terex Corp. 21 830 * Tetra Tech, Inc. 146,896 1,770,097 The Alpine Group, Inc. 13,500 20,925 * The Geo Group, Inc. 25,000 606,750 * The Lamson & Sessions Co. 36,000 392,040 The Manitowoc Co., Inc. 76,750 3,110,678
30 * Thomas Group, Inc. 4,000 8,040 Thomas Industries, Inc. 44,750 1,784,183 Titan International, Inc. 19,600 289,492 Todd Shipyards Corp. 6,300 121,275 * Trailer Bridge, Inc. 9,800 76,440 * Transport Corp. of America 5,200 32,500 * Transtechnology Corp. 6,200 46,345 * TRC Companies, Inc. 34,600 394,440 Tredegar Industries, Inc. 100,391 1,530,963 * Trex Co., Inc. 38,400 1,480,320 Trinity Industries, Inc. 123,600 3,591,816 * Triumph Group, Inc. 41,302 1,465,395 * TRM Corp. 7,000 113,610 * Tufco Technologies, Inc. 4,500 27,855 * # TurboChef Technologies, Inc. 70,833 786,246 Twin Disc, Inc. 2,800 60,900 * U.S. Home Systems, Inc. 700 3,393 * U.S. Xpress Enterprises, Inc. Class A 10,823 132,149 * Ultralife Batteries, Inc. 13,100 213,792 United Industrial Corp. 31,700 1,098,405 * United Rentals, Inc. 192,600 3,867,408 * United Stationers, Inc. 60,900 2,985,927 Universal Forest Products, Inc. 46,505 1,850,899 * UQM Technologies, Inc. 60,100 180,300 * URS Corp. 110,913 3,752,187 * # US Airways Group, Inc. Class A 46,800 42,588 * USA Truck, Inc. 9,300 188,325 * # Valence Technology, Inc. 20,900 61,864 Valley National Gases, Inc. 4,200 57,540 Valmont Industries, Inc. 62,200 1,489,690 * Valpey Fisher Corp. 1,650 5,214 * Versar, Inc. 8,700 26,970 Viad Corp. 57,600 1,601,280 Vicor Corp. 77,819 1,034,993 * VL Dissolution Corp. 3,101 0 * Volt Information Sciences, Inc. 33,000 648,450 Wabash National Corp. 80,200 1,997,782 Wabtec Corp. 119,600 2,475,720 Walter Industries, Inc. 93,900 3,981,360 * Washington Group International, Inc. 63,815 3,063,758 * Waste Connections, Inc. 78,500 2,910,780 Waste Industries USA, Inc. 19,300 278,499 * Water Pik Technologies, Inc. 8,600 159,788 Waters Instruments, Inc. 300 2,445 Watsco, Inc. Class A 60,000 2,651,400 Watsco, Inc. Class B 1,350 59,569 Watson Wyatt & Co. Holdings 84,700 2,229,304 Watts Water Technologies, Inc. 65,100 2,267,433 * WESCO International, Inc. 121,500 3,547,800 * Westaff, Inc. 24,300 84,321 * Western Power & Equipment Corp. 3,373 4,385 * Willis Lease Finance Corp. 9,500 77,425 * Wolverine Tube, Inc. 37,300 268,933 Woodward Governor Co. 29,591 2,289,456 WSI Industries, Inc. 2,000 5,740
31 * Xanser Corp. 42,800 94,588 * Yellow Roadway Corp. 21,783 1,149,707 York International Corp. 93,900 3,868,680 ---------------- Total Industrials (Cost $320,610,525) 385,582,611 ---------------- Health Care -- (13.9%) * A.D.A.M., Inc. 700 3,983 * # aaiPharma, Inc. 47,250 13,230 * Abaxis, Inc. 18,300 191,235 * Abgenix, Inc. 231,617 1,667,642 * Abiomed, Inc. 59,370 556,297 * # Able Laboratories, Inc. 47,000 200,690 * # Acacia Research-CombiMatrix 78,938 227,341 * Accelr8 Technology Corp. 880 2,130 * Accelrys, Inc. 56,300 297,264 * # Access Pharmaceuticals, Inc. 40,100 95,438 * Accredo Health, Inc. 814 36,483 * Adolor Corp. 105,500 1,008,580 * # Advanced Magnetics, Inc. 12,300 110,085 * Advanced Medical Optics, Inc. 156,212 6,031,376 * Advanced Neuromodulation Systems, Inc. 54,598 1,941,505 * Advancis Pharmaceutical Corp. 4,868 21,711 * # ADVENTRX Pharmaceuticals, Inc. 67,800 145,092 * Air Methods Corp. 27,770 188,281 * # Aksys, Ltd. 76,878 230,634 * Albany Molecular Research, Inc. 82,060 977,335 * Alexion Pharmaceuticals, Inc. 73,500 1,672,125 * Align Technology, Inc. 159,510 1,159,638 * Alkermes, Inc. 242,825 2,816,770 * Alliance Imaging, Inc. 127,700 1,280,831 * Allied Healthcare International, Inc. 36,700 253,964 * Allied Healthcare Products, Inc. 6,700 34,639 * Allos Therapeutics, Inc. 81,610 171,381 * Allscripts Healthcare Solutions, Inc. 100,949 1,651,526 * Almost Family, Inc. 1,600 19,008 Alpharma, Inc. Class A 110,200 1,418,274 * Alteon, Inc. 61,700 45,658 * Amedisys, Inc. 41,175 1,243,897 * America Services Group, Inc. 29,158 574,121 * American Claims Evaluation, Inc. 1,000 1,790 * American Dental Partners, Inc. 10,500 252,315 * American Healthways, Inc. 89,300 3,506,811 * American Medical Systems Holdings, Inc. 182,266 3,638,029 * American Retirement Corp. 78,400 1,073,296 American Shared Hospital Services 5,100 30,600 * AMICAS, Inc. 115,080 490,241 * AMN Healthcare Services, Inc. 76,500 1,104,660 * Amsurg Corp. 79,033 2,130,743 Analogic Corp. 35,600 1,512,644 * Andrx Corp. 2,800 55,944 * Angeion Corp. 215 514 * AngioDynamics, Inc. 7,332 144,880 * Anika Therapeutics, Inc. 19,800 299,574 * # Antigenics, Inc. 121,813 816,147
32 * AP Pharma, Inc. 45,823 73,317 * # Aphton Corp. 94,488 65,197 * Applera Corp. - Celera Genomics Group 195,700 1,941,344 * Applied Imaging Corp. 3,775 5,360 * Apria Healthcare Group, Inc. 55,300 1,741,950 * Aradigm Corp. 82,790 89,413 * Arena Pharmaceuticals, Inc. 77,685 532,142 * Argonaut Technologies, Inc. 8,699 8,177 * Ariad Pharmaceuticals, Inc. 142,131 857,050 * Arqule, Inc. 86,933 569,411 * Array BioPharma, Inc. 99,503 620,899 # Arrhythmia Research Technology, Inc. 6,900 123,510 Arrow International, Inc. 109,900 3,714,620 * Arthrocare Corp. 49,692 1,602,070 * Aspect Medical Systems, Inc. 55,386 1,781,214 * # AtheroGenics, Inc. 96,100 1,369,425 Atrion Corp. 1,700 111,095 * ATS Medical, Inc. 38,197 124,140 * AVANIR Pharmaceuticals Class A 263,700 653,976 * Avant Immunotherapeutics, Inc. 141,134 200,410 * AVI BioPharma, Inc. 114,800 270,928 * Avigen, Inc. 54,843 163,981 * # AXM Pharma, Inc. 47,000 84,130 * Axonyx, Inc. 1,300 1,677 * Bentley Pharmaceuticals, Inc. 55,360 602,870 * Beverly Enterprises, Inc. 270,200 3,342,374 * Bioanalytical Systems, Inc. 4,600 29,210 * BioCryst Pharmaceuticals, Inc. 70,536 328,698 * Bioenvision, Inc. 97,262 634,148 * Bio-Imaging Technologies, Inc. 29,290 88,456 # BioLase Technology, Inc. 61,408 433,540 * Bio-Logic Systems Corp. 6,300 37,734 * BioMarin Pharmaceutical, Inc. 167,685 1,140,258 * Bio-Rad Laboratories, Inc. Class A 20,000 1,077,600 * Bio-Reference Laboratories, Inc. 34,246 503,416 * BioSante Pharmaceuticals, Inc. 49,300 182,410 * BioScrip, Inc. 82,505 431,501 * Biosite, Inc. 45,345 2,480,825 * Biosource International, Inc. 9,600 97,536 * Biospecifics Technologies Corp. 4,500 4,950 * BioSphere Medical, Inc. 38,400 180,864 * BioTime, Inc. 11,000 6,600 * Bioveris Corp. 30,900 157,281 * Bone Care International, Inc. 53,909 1,764,981 * # Bradley Pharmaceuticals, Inc. 40,051 400,911 * # BriteSmile, Inc. 785 2,747 * Bruker BioSciences Corp. 231,692 973,106 * Caliper Life Sciences, Inc. 79,324 488,636 * CancerVax Corp. 64,300 191,614 * Candela Corp. 60,910 623,109 * Cantel Medical Corp. 39,660 1,217,562 * Capital Senior Living Corp. 69,300 419,958 * Caprius, Inc. 27 81 * Caraco Pharmaceutical Laboratories, Ltd. 67,350 483,573 * Cardiac Sciences, Inc. 132,830 130,173
33 * CardioDynamics International Corp. 126,602 281,056 * # Cardiotech International, Inc. 47,263 88,382 * # Cell Genesys, Inc. 115,152 669,033 * # Cell Therapeutics, Inc. 158,300 470,151 * # Cellegy Pharmaceuticals, Inc. 64,796 116,633 * Centene Corp. 111,900 3,597,585 * Cepheid, Inc. 113,806 1,035,635 * Cerus Corp. 60,000 245,400 * Chad Therapeutics, Inc. 10,000 40,700 Chemed Corp. 64,800 2,739,744 * Cholestech Corp. 38,800 355,020 * Ciphergen Biosystems, Inc. 75,886 156,325 * # Clarient, Inc. 20,200 28,684 Clinical Data, Inc. 1,787 31,094 * Closure Medical Corp. 41,627 1,122,680 CNS, Inc. 36,320 762,720 * Coast Dental Services, Inc. 2,066 7,438 * Collagenex Pharmaceuticals, Inc. 38,843 191,496 * Columbia Laboratories, Inc. 104,400 271,440 * Compex Technologies, Inc. 31,654 119,019 Computer Programs & Systems, Inc. 31,100 1,053,668 * Conceptus, Inc. 74,236 395,678 * Conmed Corp. 79,654 2,496,356 * Connetics Corp. 96,160 2,141,483 * Corautus Genetics, Inc. 1,542 6,091 * Corgentech, Inc. 2,700 6,480 * Corixa Corp. 160,458 681,946 * Cortex Pharmaceuticals, Inc. 3,500 8,190 * Corvel Corp. 10,900 289,286 * Cotherix, Inc. 37,600 342,160 * Critical Therapeutics, Inc. 16,500 96,690 * Criticare Systems, Inc. 29,800 138,272 * Cross Country Healthcare, Inc. 83,757 1,419,681 * # CryoLife, Inc. 63,000 456,750 * Cubist Pharmaceuticals, Inc. 133,040 1,331,730 * # CuraGen Corp. 134,760 576,773 * # Curative Health Services, Inc. 39,000 100,230 * Curis, Inc. 124,449 492,818 * CV Therapeutics, Inc. 97,005 1,961,441 * Cyberonics, Inc. 64,500 2,353,605 * Cygnus, Inc. 100 13 * Cypress Bioscience, Inc. 79,433 965,111 * # Cytogen Corp. 41,870 226,935 * # CytRx Corp. 1,700 1,445 D&K Healthcare Resources, Inc. 38,030 310,325 Datascope Corp. 39,134 1,191,239 * Daxor Corp. 4,600 94,760 * Del Global Technologies Corp. 10,927 30,760 * # Dendreon Corp. 156,681 828,842 * Dendrite International, Inc. 113,208 1,754,724 * DepoMed, Inc. 92,134 407,232 Diagnostic Products Corp. 75,800 3,300,332 * Digene Corp. 54,000 1,358,640 * # Digital Angel Corp. 112,800 442,176 * Discovery Laboratories, Inc. 114,123 804,567
34 * Discovery Partners International, Inc. 67,953 200,461 * Diversa Corp. 116,578 582,890 * DJ Orthopedics, Inc. 57,900 1,606,725 * DOV Pharmaceutical, Inc. 56,428 852,063 * # Durect Corp. 139,866 502,119 * DUSA Pharmaceuticals, Inc. 44,700 500,193 * Dyax Corp. 81,900 380,835 * # Dynacq Healthcare, Inc. 22,200 104,562 * Eclipsys Corp. 17,600 236,192 * Elite Pharmaceuticals, Inc. 50,900 152,700 * Embrex, Inc. 16,700 187,374 * Emeritus Corp. 14,100 186,120 * Emisphere Technologies, Inc. 49,856 193,441 * Encore Medical Corp. 135,800 689,864 * Encysive Pharmaceuticals, Inc. 149,998 1,529,980 * # Endocare, Inc. 25,800 80,109 * Endologix, Inc. 82,351 358,227 * Enpath Medical, Inc. 11,600 77,372 * Entremed, Inc. 107,800 287,826 * Enzo Biochem, Inc. 84,304 1,287,322 * Enzon Pharmaceuticals, Inc. 51,600 313,212 * # EP Medsystems, Inc. 14,900 38,740 * Epimmune, Inc. 19,800 17,365 * EPIX Pharmaceuticals, Inc. 60,428 479,194 * eResearch Technology, Inc. 133,710 1,636,610 * Ergo Science Corp. 7,150 19,662 * Escalon Medical Corp. 3,200 25,440 * Exact Sciences Corp. 68,105 197,505 * Exactech, Inc. 10,800 144,720 * Exelixis, Inc. 197,823 1,388,717 E-Z-EM, Inc. 8,562 126,033 * First Horizon Pharmaceutical Corp. 93,864 1,764,643 * Fischer Imaging Corp. 9,100 25,298 * Five Star Quality Care, Inc. 31,600 215,512 * Genaera Corp. 23,000 46,230 * Genaissance Pharmaceuticals, Inc. 61,375 55,851 * Gene Logic, Inc. 82,272 277,257 * Genesis HealthCare Corp. 51,450 2,237,561 * Genta, Inc. 162,275 180,125 * Gentiva Health Services, Inc. 16,850 267,747 * GenVec, Inc. 116,369 215,283 * # Geron Corp. 141,209 1,129,672 * GTC Biotherapeutics, Inc. 59,964 80,352 * Guilford Pharmaceuticals, Inc. 115,520 291,110 * Haemonetics Corp. 67,300 2,739,110 * Hanger Orthopedic Group, Inc. 49,552 252,715 * Harvard Bioscience, Inc. 78,817 253,791 * HealthAxis, Inc. 750 1,425 * HealthExtras, Inc. 96,076 1,646,743 * HealthTronics Surgical Services, Inc. 86,210 1,094,005 * # Hemispherx Biopharma, Inc. 95,100 152,160 * Hi-Tech Pharmacal, Inc. 20,250 608,715 * HMS Holdings Corp. 50,688 314,266 * Hollis-Eden Pharmaceuticals, Inc. 50,053 424,950 * Hologic, Inc. 54,300 1,998,783
35 Hooper Holmes, Inc. 184,000 736,000 * Horizon Health Corp. 9,900 434,115 * Human Genome Sciences, Inc. 115,329 1,300,911 * ICOS Corp. 3,915 84,564 * ICU Medical, Inc. 35,250 1,162,193 * IDX Systems Corp. 80,451 2,566,387 * I-Flow Corp. 58,000 947,720 * IGI, Inc. 2,100 2,625 * Illumina, Inc. 99,042 1,039,941 * # Immtech International, Inc. 27,700 352,344 * Immucor, Inc. 117,218 3,926,803 * ImmunoGen, Inc. 106,253 633,268 * # Immunomedics, Inc. 140,600 253,080 * Impath, Inc. 21,600 95,904 * Impax Laboratoroes, Inc. 152,044 2,493,522 * # Implant Sciences Corp. 22,300 63,332 * Incyte Corp. 215,405 1,643,540 * Indevus Pharmaceuticals, Inc. 119,394 409,521 * Inhibitex, Inc. 33,100 224,749 * InKine Pharmaceutical Co., Inc. 21,400 48,792 * Innovative Clinical Solutions, Ltd. 568 2 * # Insite Vision, Inc. 18,000 11,340 * # Insmed, Inc. 69,118 87,780 * Inspire Pharmaceuticals, Inc. 108,869 707,649 * Integra LifeSciences Holdings 76,255 2,548,442 * IntegraMed America, Inc. 3,100 32,395 * Interferon Scientific, Inc. 1,135 148 * Intermagnetics General Corp. 72,842 2,102,949 * InterMune, Inc. 84,700 1,017,247 * # Interpharm Holdings, Inc. 57,600 74,880 * IntraBiotics Pharmaceuticals, Inc. 19,300 66,585 * # Introgen Therapeutics, Inc. 79,911 570,565 * Intuitive Surgical, Inc. 81,623 4,040,339 Invacare Corp. 76,100 3,394,821 * Inverness Medical Innovations, Inc. 7,461 211,146 * Iomed, Inc. 16,500 34,650 * Iridex Corp. 6,800 40,800 * IRIS International, Inc. 42,424 810,723 * Isis Pharmaceuticals, Inc. 143,200 524,112 * # Isolagen, Inc. 78,000 317,460 * Ista Pharmaceuticals, Inc. 63,845 505,652 * # I-Trax, Inc. 58,600 90,830 * iVow, Inc. 6,500 2,925 * Kendle International, Inc. 34,403 396,667 * # Kensey Nash Corp. 29,554 803,869 * Keryx Biopharmaceuticals, Inc. 73,488 899,493 Kewaunee Scientific Corp. 2,000 15,980 * Kindred Healthcare, Inc. 96,478 3,722,121 * Kos Pharmaceuticals, Inc. 2,529 145,999 * Kosan Biosciences, Inc. 75,406 356,670 * K-V Pharmaceutical Co. Class A 93,250 1,855,675 * K-V Pharmaceutical Co. Class B 20,975 420,339 * Kyphon, Inc. 108,690 3,118,316 * La Jolla Pharmaceutical Co. 91,400 74,034 * LabOne, Inc. 44,585 1,718,306
36 * Lannet Co., Inc. 58,830 294,150 * # Large Scale Biology Corp. 29,900 24,518 * Laserscope 55,650 1,916,030 LCA-Vision, Inc. 52,025 2,298,465 Lectec Corp. 3,900 5,460 * Lexicon Genetics, Inc. 164,918 798,203 * Lifecell Corp. 76,000 1,007,760 * Lifecore Biomedical, Inc. 33,730 430,395 * Lifeline Systems, Inc. 8,200 266,992 * LifePoint Hospitals, Inc. 25,910 1,165,432 * Ligand Pharmaceuticals, Inc. Class B 192,200 1,122,448 * # Lipid Sciences, Inc. 64,108 338,490 * Luminex Corp. 80,772 804,489 * Magellan Health Services, Inc. 69,382 2,252,834 * Martek Biosciences Corp. 29,100 1,088,049 * Matria Healthcare, Inc. 41,203 1,173,873 * # Matritech, Inc. 30,500 25,010 * Matrixx Initiatives, Inc. 24,675 260,075 Matthews International Corp. Class A 83,766 3,098,504 * Maxim Pharmaceuticals, Inc. 66,333 100,826 * Maxygen, Inc. 91,052 712,937 * Medarex, Inc. 265,262 2,010,686 * MedCath Corp. 46,849 1,213,858 * # Med-Design Corp. 25,262 17,178 * Medical Action Industries, Inc. 26,639 472,309 * Medical Staffing Network Holdings, Inc. 77,800 422,454 * Medicore, Inc. 3,800 45,220 * MEDTOX Scientific, Inc. 7,545 45,270 * Memory Pharmaceuticals Corp. 200 496 * Memry Corp. 26,600 42,560 Mentor Corp. 104,600 4,279,186 * Merge Technologies, Inc. 34,094 593,236 Meridian Bioscience, Inc. 40,704 742,848 * Merit Medical Systems, Inc. 68,076 995,952 Mesa Laboratories, Inc. 3,300 41,184 * Metropolitan Health Networks, Inc. 121,800 315,462 * Micro Therapeutics, Inc. 123,731 494,924 * Microtek Medical Holdings, Inc. 110,416 388,664 * # Milestone Scientific, Inc. 16,300 38,305 * Miravant Medical Technologies 1,800 1,116 * Molecular Devices Corp. 44,540 860,513 * Molina Healthcare, Inc. 7,400 316,720 * Myogen, Inc. 7,400 48,988 * Myriad Genetics, Inc. 79,957 1,316,092 * Nabi Biopharmaceuticals 152,850 1,878,527 * # Nanogen, Inc. 123,810 505,145 * # Nastech Pharmaceutical Co., Inc. 46,433 564,161 * National Dentex Corp. 5,250 98,438 National Home Health Care Corp. 5,465 72,521 * National Medical Health Card Systems, Inc. 12,600 290,052 National Research Corp. 7,000 99,610 * Natus Medical, Inc. 45,400 458,540 NDCHealth Corp. 93,600 1,568,736 * Nektar Therapeutics 220,283 4,026,773 * Neogen Corp. 24,125 351,284
37 * Neopharm, Inc. 60,517 593,672 * Neose Technologies, Inc. 60,701 159,644 * Neurobiological Technologies, Inc. 2,700 8,964 * Neurocrine Biosciences, Inc. 26,900 1,013,323 * Neurogen Corp. 89,107 602,363 * New Brunswick Scientific Co., Inc. 7,660 40,981 * NMT Medical, Inc. 19,400 169,750 * North American Scientific, Inc. 39,750 119,250 * Northfield Laboratories, Inc. 67,685 883,966 * NovaMed, Inc. 55,400 342,926 * # Novavax, Inc. 102,771 140,796 * Noven Pharmaceuticals, Inc. 60,908 1,096,344 * Novoste Corp. 27,000 22,410 * NPS Pharmaceuticals, Inc. 97,120 1,123,678 * Nutraceutical International Corp. 30,064 396,544 * # Nutrition 21, Inc. 3,400 3,298 * NuVasive, Inc. 800 12,560 * Nuvelo, Inc. 104,581 775,991 NWH, Inc. 4,200 63,000 * # OCA, Inc. 130,851 536,489 * Odyssey Healthcare, Inc. 95,200 1,262,352 * Omnicell, Inc. 65,776 427,544 * Onyx Pharmaceuticals, Inc. 91,700 2,291,583 * Optical Sensors, Inc. 1,633 3,756 Option Care, Inc. 83,550 1,111,215 * OraSure Technologies, Inc. 115,850 962,714 * Orchid Biosciences, Inc. 58,160 565,315 * Orphan Medical, Inc. 10,300 109,592 * Orthologic Corp. 98,863 401,384 * Oscient Pharmaceutical Corp. 182,400 300,960 * Osteotech, Inc. 43,500 125,715 Owens & Minor, Inc. 102,900 3,189,900 * # Oxigene, Inc. 16,000 73,440 * Pain Therapeutics, Inc. 111,822 587,066 * PainCare Holdings, Inc. 116,100 476,010 * Palatin Technologies, Inc. 62 125 * Palomar Medical Technologies, Inc. 43,394 991,553 * Par Pharmaceutical Companies, Inc. 88,100 2,819,200 * Parexel International Corp. 67,962 1,240,307 * Patient Infosystems, Inc. 733 4,178 * PDI, Inc. 38,159 457,908 * Pediatric Services of America, Inc. 18,680 246,389 * Pediatrix Medical Group, Inc. 51,600 3,799,308 * Penwest Pharmaceuticals Co. 55,800 674,064 Perrigo Co. 186,047 2,891,170 * Per-Se Technologies, Inc. 78,427 1,487,760 * Pharmacopia Drug Discovery, Inc. 26,450 128,018 * # Pharmacyclics, Inc. 51,301 411,434 * # Pharmanetics, Inc. 1,000 275 * PhotoMedex, Inc. 65,295 139,731 * Physiometrix, Inc. 7,200 5,184 * Point Therapeutics, Inc. 660 3,056 PolyMedica Corp. 72,149 2,532,430 * Possis Medical, Inc. 44,554 469,154 * Pozen, Inc. 75,167 553,981
38 * PRAECIS Pharmaceuticals, Inc. 97,104 64,089 * # Premier Laser Systems, Inc. Class A 3,400 1 * Priority Healthcare Corp. 96,039 2,197,372 * Progenics Pharmaceuticals, Inc. 46,300 926,000 * ProxyMed, Inc. 10,679 68,025 * PSS World Medical, Inc. 168,100 1,973,494 Psychemedics Corp. 5,225 75,763 * Psychiatric Solutions, Inc. 53,233 2,179,891 * Pure World, Inc. 7,600 15,048 * QLT, Inc. 38,900 403,393 * # QuadraMed Corp. 38,906 59,526 * Questcor Pharmaceuticals, Inc. 26,700 16,020 * Quidel Corp. 80,635 353,181 * Quigley Corp. 24,006 212,453 * Quinton Cardiology Systems, Inc. 34,800 278,052 * Radiation Therapy Services, Inc. 9,100 188,370 * Radiologix, Inc. 56,700 222,831 * Regeneration Technologies, Inc. 69,240 465,985 * Regeneron Pharmaceuticals, Inc. 139,337 868,070 * RehabCare Group, Inc. 42,700 1,186,633 * Repligen Corp. 72,100 165,109 * Res-Care, Inc. 37,785 503,674 * Rigel Pharmaceuticals, Inc. 11,822 211,496 * Rita Medical Systems, Inc. 97,521 259,406 * Rochester Medical Corp. 5,300 54,908 * # Rural/Metro Corp. 14,000 105,126 * Sangamo BioSciences, Inc. 65,897 247,114 * Savient Pharmaceuticals, Inc. 76,600 257,376 * Schick Technologies, Inc. 9,000 171,900 * Sciclone Pharmaceuticals, Inc. 123,969 308,683 * Seattle Genetics, Inc. 109,565 529,199 * # Senesco Technologies, Inc. 28,000 61,040 * Sequenom, Inc. 61,006 57,956 * SeraCare Life Sciences, Inc. 4,080 55,202 * Serologicals Corp. 89,922 1,932,424 * SFBC International, Inc. 47,518 1,663,605 * Sierra Health Services, Inc. 58,036 3,834,439 * # Sirna Therapeutics, Inc. 99,875 219,725 * Sonic Innovations, Inc. 54,300 236,205 * SonoSite, Inc. 39,945 1,226,312 * Sonus Pharmaceuticals, Inc. 55,550 179,982 Span-American Medical System, Inc. 2,400 24,720 * Specialty Laboratories, Inc. 60,000 493,200 * Spectranetics Corp. 65,882 376,186 * Spectrum Pharmaceuticals, Inc. 39,808 207,400 * SRI/Surgical Express, Inc. 8,700 39,455 * Staar Surgical Co. 53,600 210,648 * # StemCells, Inc. 2,600 10,790 * Stratagene Corp. 4,926 42,216 * Strategic Diagnostics, Inc. 50,100 140,781 * Sun Healthcare Group, Inc. 39,392 275,744 * Suncoast Naturals, Inc. 950 107 * SunLink Health Systems, Inc. 1,048 8,478 * # Sunrise Senior Living, Inc. 52,865 2,756,910 * SuperGen, Inc. 132,959 668,784
39 * SurModics, Inc. 47,092 1,856,367 * Sybron Dental Specialties, Inc. 99,700 3,695,879 * Symbion, Inc. 1,000 23,600 * Synovis Life Technologies, Inc. 29,700 227,205 * Synthetech, Inc. 16,200 9,769 * Tanox, Inc. 113,954 1,128,145 * Telik, Inc. 133,900 1,909,414 * The Medicines Co. 125,092 2,744,518 * Theragenics Corp. 77,900 267,197 * Third Wave Technologies, Inc. 106,973 402,218 * Thoratec Corp. 126,743 1,893,540 * Titan Pharmaceuticals, Inc. 84,100 180,815 * TLC Vision Corp. 33,060 285,969 * Transgenomic, Inc. 10,749 7,309 * Transkaryotic Therapies, Inc. 90,386 3,072,220 * Trestle Holdings, Inc. 450 720 * Trimeris, Inc. 56,878 577,312 * TriPath Imaging, Inc. 98,952 849,998 * Tripos, Inc. 10,620 38,232 * TriZetto Group, Inc. 118,732 1,648,000 * U.S. Physical Therapy, Inc. 32,298 517,737 * United Surgical Partners International, Inc. 74,117 3,567,992 * United Therapeutics Corp. 58,458 2,920,562 * Urologix, Inc. 37,142 162,311 # Utah Medical Products, Inc. 5,000 108,800 * V.I. Technologies, Inc. 18,206 53,708 * Varian, Inc. 91,299 3,396,323 * # Vascular Solutions, Inc. 36,900 442,062 * Vaxgen, Inc. 42,400 421,456 * Ventana Medical Systems, Inc. 91,342 3,859,200 * Ventiv Health, Inc. 65,677 1,333,243 * Vertex Pharmaceuticals, Inc. 211,129 2,938,916 * Viasys Healthcare, Inc. 15,100 351,075 * Vical, Inc. 47,255 179,569 * Vicuron Pharmaceuticals, Inc. 157,650 2,598,072 * Virbac Corp. 22,000 72,050 * Virologic, Inc. 201,960 551,351 * # ViroPharma, Inc. 65,625 285,469 * Vision-Sciences, Inc. 5,100 13,719 * VistaCare, Inc. 500 8,920 * # Vital Images, Inc. 30,392 542,497 Vital Signs, Inc. 33,840 1,427,033 * Vivus, Inc. 111,164 264,570 West Pharmaceutical Services, Inc. 80,600 2,243,904 * Wilson Greatbatch Technologies, Inc. 56,100 1,348,644 * Wright Medical Group, Inc. 88,026 2,424,236 * Zevex International, Inc. 3,400 13,957 * Zila, Inc. 118,529 343,734 * Zoll Medical Corp. 24,862 590,224 * ZymeTx, Inc. 700 39 * Zymogenetics, Inc. 145,639 2,535,575 ---------------- Total Health Care (Cost $356,009,402) 364,979,811 ----------------
40 Financials -- (12.1%) 1st Independence Financial Group, Inc. 1,100 20,900 1st Source Corp. 53,131 1,157,193 # 21st Century Holding Co. 1,650 21,450 21st Century Insurance Group 214,200 2,983,806 * A. B. Watley Group, Inc. 9,400 564 ABC Bancorp 11,292 200,433 * # Acacia Research-Acacia Technologies 20,960 117,586 * Accredited Home Lenders Holding Co. 55,056 2,310,700 * ACE Cash Express, Inc. 36,832 803,306 Advanta Corp. Class A 25,017 573,640 Advanta Corp. Class B Non-Voting 49,242 1,214,800 * Aether Systems, Inc. 114,042 356,951 * # Agility Capital, Inc. 500 3 * # Aixtron AG 36,373 117,849 Alabama National Bancorporation 45,846 2,882,796 Alfa Corp. 209,478 2,999,725 * Allmerica Financial Corp. 11,700 408,564 Amcore Financial, Inc. 66,665 1,857,287 Amegy Bancorporation, Inc. 183,720 3,272,053 * AMEN Properties, Inc. 1,975 10,053 * # American Business Financial Services, Inc. 5,074 317 * American Independence Corp. 8,400 111,300 * American Physicians Capital, Inc. 22,400 776,160 American Physicians Services Group, Inc. 100 1,240 * American West Bancorporation 3,552 70,223 Americana Bancorp 2,712 38,809 * AmeriServe Financial, Inc. 50,766 277,182 AmerUs Group Co. 27,644 1,315,578 Anchor Bancorp Wisconsin, Inc. 60,417 1,668,718 * Arch Capital Group, Ltd. 5,900 263,435 * Argonaut Group, Inc. 74,701 1,564,239 Arrow Financial Corp. 10,239 276,453 ASB Financial Corp. 1,000 22,375 ASTA Funding, Inc. 1,900 53,048 * Atlantic American Corp. 21,100 63,722 Baldwin & Lyons, Inc. Class B 17,725 455,532 * Bancinsurance Corp. 5,700 29,640 * Bancshares of Florida, Inc. 100 1,600 Bank of Granite Corp. 16,400 297,824 Bank of The Ozarks, Inc. 42,900 1,356,498 BankAtlantic Bancorp, Inc. Class A 46,085 817,548 BankUnited Financial Corp. Class A 80,475 1,988,537 Banner Corp. 31,251 831,589 Bay View Capital Corp. 17,155 271,907 Beverly Hills Bancorp, Inc. 20,837 217,747 * BFC Financial Corp. 10,938 98,880 * BNS Holding, Inc. Class A 4,120 28,428 Boston Private Financial Holdings, Inc. 74,500 1,823,760 Bristol West Holdings, Inc. 700 12,110 Brookline Bancorp, Inc. 153,619 2,335,009 Bryn Mawr Bank Corp. 1,600 31,184 C&F Financial Corp. 300 12,000 California First National Bancorp 10,400 120,640 Camco Financial Corp. 7,516 108,456 Capital Corp. of the West 9,082 220,238
41 * Capital Crossing Bank 11,800 383,264 Capital Southwest Corp. 300 24,690 Capitol Bancorp, Ltd. 8,564 265,056 * Cardinal Financial Corp. 47,258 430,048 Cash America International, Inc. 79,300 1,363,960 # Cavalry Bancorp, Inc. 500 11,000 Center Bancorp, Inc. 1,984 23,635 Center Financial Corp. 27,190 581,050 Central Bancorp, Inc. 1,600 41,392 Central Pacific Financial Corp. 78,100 2,772,550 Century Bancorp, Inc. Class A 1,000 26,280 * Ceres Group, Inc. 89,695 513,952 CFS Bancorp, Inc. 23,720 310,969 Charter Financial Corp. 22,811 793,823 Chemical Financial Corp. 65,873 2,106,619 Chester Valley Bancorp, Inc. 603 14,951 Chittenden Corp. 125,253 3,287,891 Citizens Banking Corp. 112,417 3,257,845 * Citizens First Bancorp, Inc. 750 15,757 Citizens South Banking Corp. 17,229 217,602 * # Citizens, Inc. 97,286 563,286 City Holding Co. 44,692 1,509,696 Clark, Inc. 49,524 718,098 * CNA Surety Corp. 90,918 1,256,487 CoBiz, Inc. 12,825 230,593 Columbia Banking System, Inc. 41,987 1,032,880 Commercial Bancshares, Inc. 5,665 220,878 Commercial Capital Bancorp, Inc. 34,625 586,894 Commercial Federal Corp. 106,000 2,651,060 Commercial National Financial Corp. 3,200 68,000 Community Bank System, Inc. 79,500 1,852,350 Community Bankshares, Inc. 210 3,622 Community Trust Bancorp, Inc. 15,103 447,200 Community West Bancshares 5,500 66,990 * # CompuCredit Corp. 123,710 3,900,576 Consolidated-Tokoma Land Co. 6,100 468,175 * Consumer Portfolio Services, Inc. 3,300 14,520 Cooperative Bankshares, Inc. 2,100 39,060 Corus Bankshares, Inc. 75,044 3,851,258 Crawford & Co. Class A 27,300 195,468 Crawford & Co. Class B 25,300 182,666 * Credit Acceptance Corp. 95,699 1,350,313 CVB Financial Corp. 159,058 2,933,030 * # Danielson Holding Corp. 107,650 1,749,312 Delphi Financial Group, Inc. Class A 74,050 3,139,720 Delta Financial Corp. 54,700 495,035 Dime Community Bancshares 99,000 1,494,900 Donegal Group, Inc. Class A 14,221 262,520 Donegal Group, Inc. Class B 3,910 64,398 Downey Financial Corp. 17,976 1,348,560 EFC Bancorp, Inc. 4,600 124,200 * E-Loan, Inc. 165,700 472,245 EMC Insurance Group, Inc. 11,300 201,592 * Encore Capital Group, Inc. 58,100 892,416 * Epoch Holding Corp. 8,400 37,800
42 ESB Financial Corp. 11,762 156,671 * eSpeed, Inc. 84,500 724,165 * EZCORP, Inc. Class A Non-Voting 10,800 102,708 F.N.B. Corp. 146,320 2,718,626 FBL Financial Group, Inc. Class A 71,000 1,899,250 Federal Agriculture Mortgage Corporation 27,300 504,504 Fidelity Bankshares, Inc. 62,948 1,557,963 Fidelity Southern Corp. 8,800 142,736 Financial Federal Corp. 45,200 1,685,960 * Financial Industries Corp. 12,482 106,721 * Firebrand Financial Group, Inc. 9,100 637 * First Acceptance Corp. 112,100 1,003,295 First Albany Companies, Inc. 9,098 52,313 First Bancorp 9,315 194,683 * First Bank of Delaware 6,967 22,991 * First Cash Financial Services, Inc. 41,581 723,509 First Charter Corp. 77,808 1,715,666 First Citizens BancShares, Inc. 1,300 169,689 First Commonwealth Financial Corp. 180,951 2,417,505 First Community Bancorp 40,400 1,784,872 First Community Bancshares, Inc. 28,561 859,115 First Defiance Financial Corp. 6,859 183,410 First Federal Bancshares of Arkansas, Inc. 5,800 142,042 First Financial Bancorp 112,957 2,033,226 First Financial Bankshares, Inc. 15,395 639,508 First Financial Corp. 2,550 69,105 First Financial Holdings, Inc. 31,964 909,056 First Franklin Corp. 300 4,728 First Indiana Corp. 40,322 1,086,678 * First Investors Financial Services Group, Inc. 5,400 25,785 First Keystone Financial, Inc. 2,000 34,620 First M&F Corp. 2,100 69,961 * First Mariner Bancorp 4,900 81,683 First Merchants Corp. 47,508 1,181,524 First Midwest Bancorp, Inc. 7,375 255,839 First Mutual Bancshares, Inc. 5,013 123,821 First Niagara Financial Group, Inc. 269,404 3,507,640 First Oak Brook Bancshares, Inc. 3,150 86,908 First PacTrust Bancorp, Inc. 8,200 202,868 First Place Financial Corp. 38,858 765,114 First Republic Bank 65,425 2,098,834 First State Bancorporation 39,876 736,111 First United Corp. 3,500 70,840 Firstbank Corp. 2,976 75,907 FirstBank NW Corp. 2,928 76,567 * FirstCity Financial Corp. 28,500 370,500 * FirstFed Financial Corp. 42,900 2,324,322 Flag Financial Corp. 6,500 96,850 Flagstar Bancorp, Inc. 159,500 3,151,720 Flushing Financial Corp. 50,014 844,736 FMS Financial Corp. 3,300 57,865 FNB Corp. 2,700 49,950 FNB Financial Services Corp. 2,625 55,624 Foothill Independent Bancorp 8,193 168,627 * FPIC Insurance Group, Inc. 26,046 775,129
43 * Franklin Bank Corp. 34,744 594,122 Frontier Financial Corp. 7,100 176,790 Gabelli Asset Management, Inc. 18,800 820,620 Gateway Financial Holdings, Inc. 19,065 343,364 GB & T Bancshares, Inc. 875 18,865 Glacier Bancorp, Inc. 79,771 1,862,659 Gold Banc Corp. 63,565 882,918 Great American Financial Resources, Inc. 18,300 308,538 Great Southern Bancorp, Inc. 13,600 424,456 Greater Bay Bancorp 132,312 3,325,001 Greater Communications Bancorp 3,690 59,040 Greene County Bancshares, Inc. 1,900 54,625 * Grubb & Ellis Co. 14,900 89,400 Guaranty Bancshares, Inc. 3,000 61,230 Guaranty Federal Bancshares, Inc. 3,000 69,750 Hancock Holding Co. 84,429 2,732,122 Hanmi Financial Corp. 12,900 207,303 Harbor Florida Bancshares, Inc. 61,991 2,205,020 Harleysville Group, Inc. 78,302 1,590,314 Harleysville National Corp. 68,134 1,571,851 Heartland Financial USA, Inc. 5,779 114,309 Heritage Commerce Corp. 2,800 51,856 Heritage Financial Corp. 7,500 163,125 HF Financial Corp. 3,630 82,582 Hilb Rogal Hamilton Co. 93,300 3,180,597 HMN Financial, Inc. 4,400 132,594 Home Federal Bancorp 4,300 104,920 # Home Loan Financial Corp. 1,700 33,303 HopFed Bancorp, Inc. 2,100 33,642 Horace Mann Educators Corp. 111,338 2,026,352 Horizon Financial Corp. 25,674 516,047 IBERIABANK Corp. 19,853 1,168,151 ILX Resorts, Inc. 2,900 28,449 Independence Holding Co. 4,950 87,367 Independent Bank Corp. MA 39,823 1,112,256 Independent Bank Corp. MI 55,084 1,550,064 Infinity Property & Casualty Corp. 53,046 1,697,472 * Instinet Group, Inc. 33,471 176,727 Integra Bank Corp. 45,119 996,679 Interchange Financial Services Corp. 18,900 343,224 * Investment Technology Group, Inc. 109,100 2,153,634 Investors Title Co. 1,400 49,308 Irwin Financial Corp. 73,500 1,542,765 * ITLA Capital Corp. 5,800 288,956 * Jones Lang LaSalle, Inc. 83,100 3,524,271 * Kennedy-Wilson, Inc. 8,800 90,816 * KNBT Bancorp, Inc. 7,184 107,118 * Knight Capital Group, Inc. 286,123 2,160,229 * LaBranche & Co., Inc. 112,200 620,466 * Ladenburg Thalmann Financial Services, Inc. 26,069 15,902 Lakeland Bancorp, Inc. 13,119 199,671 LandAmerica Financial Group, Inc. 46,200 2,596,440 Leesport Financial Corp. 551 13,659 LNB Bancorp, Inc. 1,200 20,028 LSB Bancshares, Inc. 5,156 90,746
44 LSB Corp. 4,300 69,015 MAF Bancorp, Inc. 70,827 3,014,397 Main Street Banks, Inc. 55,524 1,464,168 MASSBANK Corp. 4,700 167,555 * Matrix Bancorp, Inc. 6,500 83,200 * Mays (J.W.), Inc. 200 3,208 MB Financial, Inc. 74,464 2,843,780 MBT Financial Corp. 44,861 857,742 MCG Capital Corp. 115,934 1,854,944 * Meadowbrook Insurance Group, Inc. 75,600 389,340 Medallion Finanacial Corp. 45,822 424,312 Mercantile Bank Corp. 1,260 51,471 * Mercer Insurance Group, Inc. 1,000 12,850 Merchants Bancshares, Inc. 6,150 162,852 Merchants Group, Inc. 1,300 32,630 Meta Financial Group, Inc. 2,400 50,640 * Metris Companies, Inc. 150,700 1,956,086 MetroCorp. Bancshares, Inc. 7,000 145,600 MFB Corp. 1,300 34,151 MicroFinancial, Inc. 15,200 59,128 Midland Co. 6,600 210,870 Mid-State Bancshares 60,403 1,616,988 Midwest Banc Holdings, Inc. 46,520 930,400 MutualFirst Financial, Inc. 2,000 43,920 Nara Bancorp, Inc. 60,711 843,276 National Penn Bancshares, Inc. 89,710 2,124,333 * National Western Life Insurance Co. Class A 1,000 183,375 * Navigators Group, Inc. 32,984 1,096,388 NBT Bancorp, Inc. 85,499 2,026,326 NetBank, Inc. 57,533 478,099 New Hampshire Thrift Bancshares, Inc. 400 6,460 NewMil Bancorp, Inc. 4,400 134,200 * Newtek Business Services, Inc. 89,188 230,997 North Central Bancshares, Inc. 1,700 65,858 Northeast Bancorp 900 19,728 Northrim BanCorp, Inc. 6,068 138,784 Northwest Bancorp, Inc. 131,309 2,613,049 NYMAGIC, Inc. 8,700 177,915 Oak Hill Financial, Inc. 3,000 77,790 OceanFirst Financial Corp. 33,880 728,420 * Ocwen Financial Corp. 162,434 1,174,398 Ohio Casualty Corp. 142,349 3,402,141 Old National Bancorp 96,100 1,905,663 Omega Financial Corp. 8,200 239,194 Pacific Capital Bancorp 118,247 3,996,749 * Pacific Mercantile Bancorp 5,900 83,284 * Pacific Premier Bancorp, Inc. 3,900 40,841 Pamrapo Bancorp, Inc. 5,100 111,690 Park Bancorp, Inc. 1,200 36,156 Parkvale Financial Corp. 5,700 158,460 Partners Trust Financial Group, Inc. 12,189 125,790 PAULA Financial 6,100 10,736 * Penn Treaty American Corp. 83,600 186,428 Pennfed Financial Services, Inc. 14,800 214,896 Penns Woods Bancorp, Inc. 770 37,391
45 Peoples Bancorp, Inc. 300 5,909 PFF Bancorp, Inc. 65,700 1,907,928 * Philadelphia Consolidated Holding Corp. 27,238 2,246,318 * Pinnacle Financial Partners, Inc. 20,760 463,778 * Piper Jaffray Companies, Inc. 53,800 1,520,926 * PMA Capital Corp. Class A 82,308 611,548 Pocahontas Bancorp, Inc. 4,400 61,600 * Premier Financial Bancorp 5,200 56,550 Presidential Life Corp. 75,392 1,142,189 * ProAssurance Corp. 75,850 2,967,252 ProCentury Corp. 1,200 12,240 Prosperity Bancshares, Inc. 71,425 1,937,046 Provident Bancorp, Inc. 90,549 1,060,329 Provident Bankshares Corp. 86,093 2,723,983 Provident Financial Holdings, Inc. 8,325 231,601 Provident Financial Services, Inc. 16,553 294,312 Pulaski Financial Corp. 5,400 120,366 Rainier Pacific Financial Group, Inc. 2,000 34,180 Renasant Corp. 2,490 75,746 Republic Bancorp, Inc. 183,071 2,527,295 Republic Bancorp, Inc. Class A 15,986 364,801 * Republic First Bancorp, Inc. 7,803 103,936 * Rewards Network, Inc. 63,600 324,996 Riverview Bancorp, Inc. 4,500 96,750 RLI Corp. 66,000 2,886,840 Royal Bancshares of Pennsylvania, Inc. Class A 4,518 106,625 * RTW, Inc. 5,150 49,955 S&T Bancorp, Inc. 68,981 2,424,682 Sanders Morris Harris Group, Inc. 54,739 894,983 Sandy Spring Bancorp, Inc. 38,050 1,263,260 * SCPIE Holdings, Inc. 9,300 104,346 Seacoast Banking Corp. of Florida 40,153 813,901 Selective Insurance Group, Inc. 71,361 3,434,605 * Siebert Financial Corp. 22,300 65,785 Sierra Bancorp 1,700 38,733 Simmons First National Corp. Class A 36,427 893,919 Sound Federal Bancorp, Inc. 30,784 490,081 Southern Banc Co., Inc. 200 3,035 Southside Banchares, Inc. 348 6,835 Southwest Bancorp, Inc. 31,700 573,770 * Standard Management Corp. 7,600 13,680 State Auto Financial Corp. 103,912 2,805,624 State Financial Services Corp. Class A 7,800 309,660 Sterling Bancorp 47,351 1,001,474 Sterling Bancshares, Inc. 116,799 1,588,466 * Sterling Financial Corp. 59,270 2,095,194 Stewart Information Services Corp. 47,100 1,848,675 * Stifel Financial Corp. 25,200 532,224 * Stratus Properties, Inc. 7,050 117,594 Suffolk Bancorp 8,600 269,524 Summit Bancshares, Inc. 4,000 70,560 Summit Bank Corp. 2,520 35,305 * Sun Bancorp, Inc. 45,666 947,113 * Superior Essex, Inc. 21,408 359,012 Susquehanna Bancshares, Inc. 116,691 2,655,887
46 * SVB Financial Group 71,258 3,403,282 SWS Group, Inc. 34,518 547,110 Teche Holding Co. 700 25,305 * Tejon Ranch Co. 13,900 721,410 Texas Regional Banchshares, Inc. Class A 82,660 2,379,781 Texas United Bancshares, Inc. 100 1,739 TF Financial Corp. 2,600 75,400 * Thackeray Corp. 4,100 0 * Thackeray Corp. Escrow Shares 4,100 820 * The Banc Corp. 45,200 474,600 The Colonial BancGroup, Inc. 8,500 189,465 # The Phoenix Companies, Inc. 246,900 2,839,350 * The Washtenaw Group, Inc. 1,500 1,875 TierOne Corp. 47,512 1,146,227 Timberland Bancorp, Inc. 3,900 89,739 Tompkins County Trustco, Inc. 399 16,479 * Tradestation Group, Inc. 108,600 800,382 * Trammell Crow Co. 91,400 2,061,070 * Triad Guaranty, Inc. 36,814 1,995,319 Trico Bancshares 9,900 201,960 TrustCo Bank Corp. NY 194,804 2,425,310 UICI 118,900 2,990,335 UMB Financial Corp. 56,265 3,133,960 Umpqua Holdings Corp. 110,236 2,569,601 * Unico American Corp. 5,500 50,325 Union Bankshares Corp. 170 6,164 Union Community Bancorp 2,300 37,904 * United America Idemnity, Ltd. 24,043 409,933 United Bankshares, Inc. 86,576 2,895,967 United Community Banks, Inc. 96,391 2,407,847 United Community Financial Corp. 78,072 820,537 United Financial Corp. 660 16,153 * United Financial Mortgage Corp. 10,400 45,032 United Fire & Casualty Co. 12,400 488,188 * United PanAm Financial Corp. 600 14,292 # United Security Bancshares 2,000 51,592 Unity Bancorp, Inc. 5,733 70,229 * Universal American Financial Corp. 143,652 2,720,769 Unizan Financial Corp. 33,197 846,192 * USA Mobility, Inc. 42,300 1,119,258 USB Holding Co., Inc. 17,953 379,367 Vail Banks, Inc. 1,300 18,200 Vesta Insurance Group, Inc. 93,800 236,376 * Virginia Commerce Bancorp, Inc. 625 13,962 Washington Banking Co. 6,240 89,232 Washington Savings Bank, FSB 2,400 20,784 Washington Trust Bancorp, Inc. 33,863 954,598 Wesbanco, Inc. 57,861 1,710,950 West Bancorporation 35,716 636,102 West Coast Bancorp 38,629 840,567 Westamerica Bancorporation 3,713 195,489 Westbank Corp. 4,740 79,822 * Western Sierra Bancorp 1,575 53,723 Westwood Holdings Group, Inc. 6,479 109,430 Willow Grove Bancorp, Inc. 23,951 365,157
47 * Wilshire Enterprises, Inc. 7,107 53,302 Wintrust Financial Corp. 56,019 2,804,871 * World Acceptance Corp. 49,409 1,287,104 Yardville National Bancorp 16,400 556,124 Zenith National Insurance Corp. 18,600 1,178,310 ---------------- Total Financials (Cost $256,684,688) 315,527,466 ---------------- Energy -- (5.3%) * Abraxas Petroleum Corp. 4,100 11,234 Adams Resources & Energy, Inc. 4,200 70,770 * Atlas America, Inc. 400 12,504 * ATP Oil & Gas Corp. 72,000 1,518,480 * Atwood Oceanics, Inc. 41,000 2,348,890 Barnwell Industries, Inc. 800 49,000 Berry Petroleum Corp. Class A 54,700 2,601,532 * Bolt Technology Corp. 5,400 31,590 * # BPZ Energy, Inc. 544 2,502 * Brigham Exploration Co. 114,213 966,242 Cabot Oil & Gas Corp. 69,750 2,186,662 * Cal Dive International, Inc. 64,586 2,932,204 * Callon Petroleum Co. 45,762 647,532 CARBO Ceramics, Inc. 43,100 3,087,684 * Carrizo Oil & Gas, Inc. 18,600 280,488 Castle Energy Corp. 14,300 185,900 * # Cimarex Energy Co. 14,004 526,971 * Clayton Williams Energy, Inc. 9,200 251,344 * Comstock Resources, Inc. 105,900 2,416,638 * Contango Oil & Gas Co. 1,300 10,322 * Dawson Geophysical Co. 5,400 112,320 * Delta Petroleum Corp. 105,718 1,207,300 * Denbury Resources, Inc. 106,100 3,393,078 * Dril-Quip, Inc. 46,700 1,277,245 * Edge Petroleum Corp. 44,413 605,349 * Encore Acquisition Co. 84,800 3,163,040 * Endeavour International Corp. 213,700 703,073 * Energy Partners, Ltd. 93,300 2,131,905 Frontier Oil Corp. 70,100 3,428,591 * # FX Energy, Inc. 19,400 180,808 * Gasco Energy, Inc. 9,700 30,652 * Giant Industries, Inc. 34,700 999,707 * Goodrich Petroleum Corp. 54,700 968,737 * Grey Wolf, Inc. 496,000 3,258,720 * # GSV, Inc. 1,800 468 Gulf Island Fabrication, Inc. 31,577 634,698 * Gulfmark Offshore, Inc. 52,114 1,305,977 * Hanover Compressor Co. 225,100 2,347,793 * Harvest Natural Resources, Inc. 97,700 1,059,068 Holly Corp. 37,200 1,422,156 * # Horizon Offshore, Inc. 48,983 15,430 * Houston Exploration Co. 49,997 2,548,347 * Hydril Co. 47,500 2,465,725 * # Infinity, Inc. 27,998 230,983 * Input/Output, Inc. 204,500 1,212,685 * KCS Energy, Inc. 128,500 1,805,425
48 * Key Energy Group, Inc. 249,200 2,738,708 * # KFX, Inc. 169,800 2,236,266 * Lone Star Technologies, Inc. 75,500 3,129,475 Lufkin Industries, Inc. 12,800 369,024 * Magnum Hunter Resources, Inc. 216,302 3,344,029 Maritrans, Inc. 7,800 186,342 MarkWest Hydrocarbon, Inc. 10,285 224,624 * # Matrix Service Co. 45,000 185,850 * Maverick Tube Corp. 111,200 3,359,352 * # McMoran Exploration Co. 63,464 1,174,719 * Meridian Resource Corp. 206,000 933,180 * Mission Resources Corp. 106,500 752,955 * Mitcham Industries, Inc. 22,300 156,546 * NATCO Group, Inc. Class A 25,100 270,076 * Natural Gas Services Group 300 3,087 * Newpark Resources, Inc. 218,300 1,331,630 * NS Group, Inc. 57,700 1,662,914 * Oceaneering International, Inc. 66,700 2,434,550 * Offshore Logistics, Inc. 60,500 1,894,860 * Oil States International, Inc. 128,831 2,983,726 * # OMNI Energy Services Corp. 29,200 47,596 Overseas Shipholding Group, Inc. 18,725 1,144,097 * Parallel Petroleum Corp. 81,100 552,291 * Parker Drilling Co. 246,600 1,405,620 Penn Virginia Corp. 47,800 1,972,706 * Petrohawk Energy Corp. 11,800 103,132 * Petroleum Development Corp. 43,033 1,124,452 * Pioneer Drilling Co. 1,500 20,985 Range Resources Corp. 164,500 3,799,950 * Remington Oil & Gas Corp. 72,200 2,238,200 * Rentech, Inc. 57,800 85,544 Resource America, Inc. 45,153 1,534,299 * Royale Energy, Inc. 4,509 24,619 RPC, Inc. 42,900 633,633 * Seabulk International, Inc. 46,800 917,748 * SEACOR Holdings, Inc. 49,400 2,868,164 * Spinnaker Exploration Co. 88,190 2,704,787 St. Mary Land & Exploration Co. 175,600 4,569,112 * Stone Energy Corp. 69,363 2,984,690 * Superior Energy Services, Inc. 199,200 3,117,480 * Swift Energy Corp. 72,900 2,489,535 * Syntroleum Corp. 138,726 1,202,754 * T-3 Energy Services, Inc. 1,250 8,875 * # Tel Offshore Trust 3,145 22,864 Tesoro Petroleum Corp. 43,595 1,900,742 * # Teton Petroleum Co. 20,400 71,400 * TETRA Technologies, Inc. 58,200 1,606,320 * Tipperary Corp. 17,900 83,593 * # Torch Offshore, Inc. 18,300 2,242 * Toreador Resources Corp. 4,900 105,252 * TransMontaigne, Inc. 108,100 895,068 * # Tri-Valley Corp. 57,800 690,132 * # U.S. Energy Corp. Wyoming 11,500 46,230 * Universal Compression Holdings, Inc. 82,249 2,812,916 USEC, Inc. 221,431 3,022,533
49 * Veritas DGC, Inc. 88,000 2,376,000 * Westmoreland Coal Co. 21,300 457,524 * W-H Energy Services, Inc. 72,100 1,562,407 * Whiting Petroleum Corp. 7,660 264,883 World Fuel Services Corp. 59,300 1,562,555 ---------------- Total Energy (Cost $94,571,902) 139,052,612 ---------------- Materials -- (5.0%) * AEP Industries, Inc. 13,000 223,990 * AK Steel Holding Corp. 285,400 2,183,310 Albemarle Corp. 78,881 3,000,633 * Aleris International, Inc. 77,684 1,850,433 AMCOL International Corp. 78,200 1,517,080 * American Pacific Corp. 7,100 57,510 American Vanguard Corp. 2,642 47,292 Applied Extrusion Technologies, Inc. 50 0 Arch Chemicals, Inc. 60,122 1,417,076 Atlantis Plastics, Inc. 4,400 27,324 * Badger Paper Mills, Inc. 1,000 3,340 Bairnco Corp. 7,300 81,541 Balchem Corp. 7,050 195,285 * Brush Engineered Materials, Inc. 51,900 735,942 * Buckeye Technologies, Inc. 101,083 835,956 Calgon Carbon Corp. 102,600 914,166 Cambrex Corp. 72,600 1,314,060 * Canyon Resources Corp. 63,900 47,286 * Caraustar Industries, Inc. 76,066 798,693 Carpenter Technology Corp. 59,900 3,234,600 * Castle (A.M.) & Co. 15,437 215,964 * Century Aluminum Co. 86,490 1,938,241 Chesapeake Corp. 50,702 1,058,151 Cleveland-Cliffs, Inc. 54,000 3,166,020 * Coeur d'Alene Mines Corp. 643,300 2,142,189 Commercial Metals Co. 90,000 2,354,400 Compass Minerals International, Inc. 21,900 493,407 * Constar International, Inc. 20,900 66,880 * # Continental Materials Corp. 200 6,238 * # Core Molding Technologies, Inc. 7,700 72,380 CPAC, Inc. 5,120 25,549 Crompton Corp. 286,900 4,403,915 Deltic Timber Corp. 32,871 1,272,108 * Detrex Corp. 500 2,338 * Devcon International Corp. 3,600 42,300 Eagle Materials, Inc. 22,200 1,946,274 Eagle Materials, Inc. Class B 21,600 1,837,080 * Eden Bioscience Corp. 6,200 3,720 * Environmental Technologies Corp. 3,700 2 Ferro Corp. 108,900 2,095,236 Flamemaster Corp. 189 803 Friedman Industries, Inc. 6,158 47,355 Fuller (H.B.) Co. 73,609 2,384,932 Georgia Gulf Corp. 85,000 2,701,300 Gibraltar Industries, Inc. 63,004 1,232,358 Glatfelter (P.H.) Co. 114,100 1,277,920
50 * Graphic Packaging Corp. 317,600 1,191,000 Great Lakes Chemical Corp. 132,800 4,501,920 Hawkins, Inc. 10,200 125,460 * Headwaters, Inc. 103,800 3,433,704 * Hecla Mining Co. 307,600 1,378,048 * Hercules, Inc. 208,900 2,886,998 * ICO, Inc. 14,320 33,509 * Impreso, Inc. 5,300 5,671 * Keystone Consolidated Industries, Inc. 2,100 357 Kronos Worldwide, Inc. 688 21,741 * Landec Corp. 61,790 370,122 * Lesco, Inc. 18,300 247,050 * # Liquidmetal Technologies, Inc. 68,495 106,852 Longview Fibre Co. 131,900 2,634,043 MacDermid, Inc. 78,800 2,293,868 * Material Sciences Corp. 37,500 457,500 * Maxxam, Inc. 8,900 206,925 Metal Management, Inc. 62,800 1,153,636 * Metals USA, Inc. 52,480 1,111,002 Minerals Technologies, Inc. 53,100 3,573,630 * Mines Management, Inc. 900 5,139 * Mod-Pac Corp. 2,750 43,860 * Mod-Pac Corp. Class B 1,112 16,458 Myers Industries, Inc. 89,419 997,022 * # Nanophase Technologies Corp. 46,498 303,167 Nevada Chemicals, Inc. 2,500 16,750 * NewMarket Corp. 43,500 591,165 Niagara Corp. 8,200 70,110 * NL Industries, Inc. 126,576 1,923,955 NN, Inc. 43,875 556,774 Northern Technologies International Corp. 3,000 14,700 * Northwest Pipe Co. 6,300 139,608 Olin Corp. 170,252 3,195,630 * # Olympic Steel, Inc. 25,900 406,630 * OM Group, Inc. 72,900 1,837,080 * OMNOVA Solutions, Inc. 14,000 56,840 * Oregon Steel Mills, Inc. 91,800 1,621,188 Packaging Dynamics Corp. 4,120 58,092 Penford Corp. 7,300 113,077 * PolyOne Corp. 170,800 1,147,776 Pope & Talbot, Inc. 44,800 494,144 Potlatch Corp. 75,300 3,892,257 Quaker Chemical Corp. 27,020 478,254 Quanex Corp. 65,250 3,385,823 Reliance Steel & Aluminum Co. 82,457 3,173,770 Roanoke Electric Steel Corp. 9,900 198,495 Rock of Ages Corp. 4,400 26,708 Rock-Tenn Co. Class A 89,500 1,030,145 Royal Gold, Inc. 54,235 951,824 * RTI International Metals, Inc. 56,400 1,544,796 # Ryerson Tull, Inc. 65,000 989,300 Schnitzer Steel Industries, Inc. Class A 62,351 1,441,555 Schulman (A.), Inc. 78,955 1,291,704 Schweitzer-Maudoit International, Inc. 38,600 1,156,842 Sensient Technologies Corp. 122,400 2,490,840
51 Silgan Holdings, Inc. 47,913 2,731,041 * Southwall Technologies, Inc. 14,200 19,028 Spartech Corp. 83,600 1,691,228 Steel Dynamics, Inc. 36,058 969,600 Steel Technologies, Inc. 33,450 669,000 Stepan Co. 8,400 178,164 * Stillwater Mining Co. 234,900 1,585,575 Summa Industries, Inc. 5,200 40,040 * Symyx Technologies, Inc. 84,600 2,155,608 * Synalloy Corp. 5,900 68,145 * Terra Industries, Inc. 241,800 1,535,430 Texas Industries, Inc. 57,800 2,659,956 * # Titanium Metals Corp. 15,850 674,259 * # U.S. Aggregates, Inc. 1,600 4 * U.S. Concrete, Inc. 74,600 456,552 * UFP Technologies, Inc. 3,800 11,780 * Universal Stainless & Alloy Products, Inc. 6,000 75,300 Valhi, Inc. 10,040 186,142 Vulcan International Corp. 700 34,370 Wausau-Mosinee Paper Corp. 134,036 1,675,450 * Webco Industries, Inc. 6,000 34,500 Wellman, Inc. 70,400 791,296 * Williams Industries, Inc. 1,200 4,183 Worthington Industries, Inc. 28,229 473,118 * # Zoltek Companies, Inc. 44,000 438,240 ---------------- Total Materials (Cost $114,062,666) 129,825,100 ---------------- Consumer Staples -- (3.5%) * # Advanced Nutraceuticals, Inc. 700 2,975 * Alico, Inc. 7,000 360,500 Alliance One International, Inc. 209,216 1,341,075 # American Italian Pasta Co. 47,300 1,088,373 * Atlantic Premium Brands, Ltd. 2,000 2,300 * Boston Beer Co., Inc. Class A 26,200 553,082 * Bridgford Foods Corp. 10,400 80,704 * Cagle's, Inc. Class A 2,000 19,200 Calavo Growers, Inc. 26,043 270,665 Cal-Maine Foods, Inc. 55,600 360,844 * Carrington Laboratories, Inc. 9,800 36,456 Casey's General Stores, Inc. 129,310 2,332,752 CCA Industries, Inc. 18,266 183,573 * Central European Distribution Corp. 44,327 1,478,305 * Central Garden & Pet Co. 51,700 2,292,895 * Chattem, Inc. 53,600 2,299,440 Chiquita Brands International, Inc. 106,496 3,096,904 Coca-Cola Bottling Co. Consolidated 6,000 291,000 Corn Products International, Inc. 38,600 852,674 * Cruzan International, Inc. 4,600 64,170 * Darling International, Inc. 168,600 627,192 Delta & Pine Land Co. 100,600 2,716,200 * Elizabeth Arden, Inc. 74,300 1,561,786 Farmer Brothers Co. 19,000 456,000 * # Female Health Co. 9,300 16,740 Flowers Foods, Inc. 112,425 3,670,676
52 * Foodarama Supermarkets, Inc. 1,100 34,100 * Fresh Brands, Inc. 5,100 34,374 * Galaxy Nutritional Foods, Inc. 11,500 23,000 * Gardenburger, Inc. 4,000 320 * Genesee Corp. Class B 200 415 * Glacier Water Services, Inc. 3,600 80,280 Golden Enterprises, Inc. 11,800 43,660 * # Great Atlantic & Pacific Tea Co., Inc. 100,400 2,502,972 * Green Mountain Coffee, Inc. 17,830 593,204 * Griffin Land & Nurseries, Inc. Class A 2,200 52,800 * Hain Celestial Group, Inc. 94,095 1,693,710 * Hines Horticulture, Inc. 22,000 78,100 Imperial Sugar Co. (NEW) 26,520 408,408 Ingles Market, Inc. Class A 26,180 330,915 * # Integrated Biopharma, Inc. 32,800 145,960 # Inter Parfums, Inc. 19,398 344,314 * # Interstate Bakeries Corp. 81,300 531,702 J & J Snack Foods Corp. 23,489 1,159,417 * Katy Industries, Inc. 8,300 28,967 Lance, Inc. 76,900 1,359,592 Longs Drug Stores Corp. 98,000 4,021,920 * M&F Worldwide Corp. 46,100 589,619 # Mannatech, Inc. 13,500 217,485 Marsh Supermarkets, Inc. Class A 1,600 18,000 Marsh Supermarkets, Inc. Class B 4,500 56,925 * Maui Land & Pineapple Co., Inc. 10,200 421,362 * # Medifast, Inc. 28,600 87,802 MGP Ingredients, Inc. 41,855 349,908 * Monterey Pasta Co. 32,100 96,942 Nash Finch Co. 32,440 1,154,215 * National Beverage Corp. 36,200 296,840 * Natrol, Inc. 10,000 28,000 * Natural Alternatives International, Inc. 5,400 40,824 Nature's Sunshine Products, Inc. 39,184 645,360 * # NeighborCare, Inc. 73,800 2,214,738 Northland Cranberries, Inc. 100 34 Nu Skin Enterprises, Inc. Class A 125,000 2,823,750 Oil-Dri Corp. of America 4,200 71,820 * Omega Protein Corp. 62,300 442,330 * # Parlux Fragrances, Inc. 23,623 590,103 * Pathmark Stores, Inc. 78,179 699,702 * Peet's Coffee & Tea, Inc. 34,739 986,240 * Performance Food Group Co. 117,187 3,171,080 * Pizza Inn, Inc. 10,000 26,500 * Playtex Products, Inc. 159,200 1,716,176 * PriceSmart, Inc. 47,000 329,000 Pyramid Breweries, Inc. 5,700 10,768 Ralcorp Holdings, Inc. 76,700 2,925,338 * Redhook Ale Brewery, Inc. 9,300 28,365 # Reliv International, Inc. 43,122 452,781 * Revlon, Inc. 881,100 2,616,867 Rocky Mountain Chocolate Factory, Inc. 4,216 99,329 Ruddick Corp. 122,500 2,943,675 * San Filippo (John B.) & Son, Inc. 19,893 420,737 Sanderson Farms, Inc. 51,900 1,967,010
53 * Scheid Vineyards, Inc. 2,200 12,760 Seaboard Corp. 1,400 1,883,000 * Seneca Foods Corp. Class A 200 3,240 * Seneca Foods Corp. Class B 1,300 21,482 * Smart & Final Food, Inc. 79,600 863,660 * Spartan Stores, Inc. 52,475 676,927 * Spectrum Brands, Inc. 84,300 3,116,571 * # Star Scientific, Inc. 196,495 1,139,671 Stephan Co. 3,500 15,575 Tasty Baking Co. 18,900 151,200 The Topps Co., Inc. 105,148 979,979 * Tofutti Brands, Inc. 6,900 21,735 * United Natural Foods, Inc. 106,213 3,445,550 United-Guardian, Inc. 1,900 14,402 Universal Corp. 66,500 2,952,600 * # USANA Health Services, Inc. 49,660 2,180,074 # Vector Group, Ltd. 108,624 1,862,902 * Vermont Pure Holdings, Ltd. 17,300 31,486 WD-40 Co. 42,189 1,222,637 * Weider Nutrition International, Inc. 10,500 42,840 Weis Markets, Inc. 70,307 2,583,079 * Wild Oats Markets, Inc. 74,269 834,784 * # Winn-Dixie Stores, Inc. 331,700 348,285 ---------------- Total Consumer Staples (Cost $73,256,010) 92,468,675 ---------------- Utilities -- (2.5%) ALLETE, Inc. 80,100 3,844,800 American States Water Co. 43,450 1,215,731 * Aquila, Inc. 628,500 2,350,590 Artesian Resources Corp. Class A 1,815 58,570 Avista Corp. 129,500 2,283,085 * BayCorp Holdings, Ltd. 484 6,703 BIW, Ltd. 800 14,560 Black Hills Corp. 87,659 3,210,073 California Water Service Group 48,500 1,749,880 * # Calpine Corp. 32,730 97,535 Cascade Natural Gas Corp. 30,000 576,600 Central Vermont Public Service Corp. 32,800 688,800 CH Energy Group, Inc. 42,600 1,925,520 Chesapeake Utilities Corp. 14,100 406,362 Cleco Corp. 133,300 2,784,637 * CMS Energy Corp. 19,075 252,362 Connecticut Water Services, Inc. 7,600 190,152 Delta Natural Gas Co., Inc. 7,320 188,270 # Duquesne Light Holdings, Inc. 185,600 3,531,968 * Dynegy, Inc. 63,200 293,880 * El Paso Electric Co. 123,200 2,472,624 Empire District Electric Co. 67,600 1,553,448 * Energy West, Inc. 3,900 31,980 EnergySouth, Inc. 19,603 527,713 * Environmental Power Corp. 6,200 30,380 Florida Public Utilities Co. 3,866 68,428 Green Mountain Power Corp. 12,500 365,250 IDACORP, Inc. 108,400 3,069,888
54 Laclede Group, Inc. 54,700 1,635,530 Maine & Maritimes Corp. 1,600 42,800 MGE Energy, Inc. 52,727 1,898,172 Middlesex Water Co. 8,400 162,456 New Jersey Resources Corp. 69,600 3,138,960 Northwest Natural Gas Co. 71,300 2,581,060 NorthWestern Corp. 18,564 537,985 Otter Tail Corp. 75,260 1,916,120 Piedmont Natural Gas Co. 64,600 1,580,116 PNM Resources, Inc. 116,000 3,380,240 RGC Resources, Inc. 3,564 96,014 SEMCO Energy, Inc. 73,900 404,972 * # Sierra Pacific Resources 305,100 3,645,945 SJW Corp. 9,000 379,800 South Jersey Industries, Inc. 35,864 2,033,489 * Southern Union Co. 1 17 Southwest Gas Corp. 96,700 2,415,566 Southwest Water Co. 50,169 533,798 UIL Holdings Corp. 38,100 1,975,104 Unisource Energy Corp. 67,080 1,929,892 Unitil Corp. 4,700 127,511 WGL Holdings, Inc. 14,000 455,560 ---------------- Total Utilities (Cost $52,099,958) 64,660,896 ---------------- Telecommunication Services -- (1.0%) * @Road, Inc. 148,000 408,480 Alaska Communications Systems Group, Inc. 26,700 252,849 * Boston Communications Group, Inc. 46,100 64,079 * # Broadwing Corp. 106,624 522,458 * Centennial Communications Corp. 156,896 2,053,769 * Cincinnati Bell, Inc. 641,000 2,531,950 * # Cogent Communications Group, Inc. 1,735 39,922 * Commonwealth Telephone Enterprises, Inc. 56,600 2,957,350 * Covista Communications, Inc. 3,000 2,640 CT Communications, Inc. 48,760 589,996 D&E Communications, Inc. 37,074 299,929 * General Communications, Inc. Class A 140,981 1,161,683 * GoAmerica, Inc. 56 390 Hector Communications Corp. 3,500 80,500 Hickory Tech Corp. 13,900 126,212 * IDT Corp. 45,278 610,800 * IDT Corp. Class B 194,300 2,661,910 * LCC International, Inc. Class A 51,841 185,072 * Lynch Interactive Corp. 2,800 74,200 * Metro One Telecommunications, Inc. 36,450 34,263 * # Network Plus Corp. 14,500 13 North Pittsburgh Systems, Inc. 39,006 731,753 * Pac-West Telecomm, Inc. 23,100 24,024 * Premiere Global Services, Inc. 183,937 2,069,291 * Price Communications Corp. 145,170 2,495,472 * # Primus Telecommunications Group, Inc. 166,257 149,631 * Rural Cellular Corp. Class A 4,800 23,136 * SBA Communications Corp. 101,800 1,138,124 * Shared Technologies Cellular, Inc. 10,100 15
55 * SunCom Wireless Holdings, Inc. 149,100 313,110 SureWest Communications 37,312 888,026 * TALK America Holdings, Inc. 67,609 601,044 * Teleglobe International Holdings, Ltd. 11,300 26,894 * Time Warner Telecom, Inc. 124,187 633,354 * UbiquiTel, Inc. 237,390 1,642,739 * # US LEC Corp. 76,386 190,965 Warwick Valley Telephone Co. 300 7,500 * Wireless Facilities, Inc. 177,751 915,418 * WQN, Inc. 1,500 2,955 * Xeta Corp. 10,300 32,960 ---------------- Total Telecommunication Services (Cost $28,906,932) 26,544,876 ---------------- Real Estate Investment Trusts -- (0.0%) Saxon Capital, Inc. 16,400 277,652 ---------------- (Cost $181,384) Other -- (0.0%) * Big 4 Ranch, Inc. 3,200 0 * Breed Technologies, Inc. 36,800 515 * Bush Industries, Inc. Escrow 700 16 * Career Blazers, Inc. Trust Units 800 0 * Celebrity, Inc. Escrow Shares 1,300 0 * Convergence Systems, Inc. 1 0 * Denali, Inc. 4,300 0 * DLB Oil & Gas, Inc. 1,300 0 * ePresence, Inc. Escrow Shares 25,100 3,263 * # EquiMed, Inc. Nevis 2,250 0 * Hoenig Group Escrow Shares 7,900 0 * iGo Escrow Share 4,100 0 * Imperial Sugar Co. 14,551 0 * Noel Group, Inc. 8,000 120 * # Nucentrix Broadband Networks, Inc. Escrow Shares 10,400 0 * Petrocorp, Inc. Escrow Shares 6,900 414 * Source Media, Inc. 27,400 0 * Starbiz Restrictive Shares 2 0 * StorageNetworks, Inc. Escrow Shares 60,800 1,648 * Suburban Lodges of America, Inc. Escrow Shares 18,500 0 Swisher International, Inc. 700 3,378 * # Trenwick Group, Ltd. 11,975 60 * Trump Entertainment Resorts, Inc. 23 309 * VLPS Lighting Services International, Inc. Escrow Shares 4,800 392 * Wireless WebConnect!, Inc. 2,500 28 ---------------- Total Other (Cost $1,548,194) 10,143 ---------------- TOTAL COMMON STOCKS (Cost $2,246,919,126) 2,480,887,153 ---------------- RIGHTS/WARRANTS -- (0.0%) Other -- (0.0%) * American Banknote Corp. Warrants Series 1 10/01/07 30 0 * American Banknote Corp. Warrants Series 2 10/01/07 30 0
56 * # Angeion Corp. Warrants 10/31/20 215 0 * Aura Systems, Inc. Warrants 05/31/05 1,262 0 * Chart Industries, Inc. Warrants 09/15/10 24 612 * Chiquita Brands International, Inc. Warrants 03/19/09 9,947 108,522 * CSF Holding, Inc. Litigation Rights 3,250 0 * Del Global Technologies Corp. Warrants 03/28/08 971 1,456 * # Foster Wheelers, Ltd. Warrants 09/24/07 40,600 0 * Imperial Credit Industries, Inc. Warrants 01/31/08 22 0 * Imperial Sugar Co. Warrants 08/29/08 498 348 * Milltope Group, Inc. Contigent Value Rights 5,800 0 * Optical Cable Corp. Warrants 10/24/07 2,823 0 * # OSI Pharmaceuticals, Inc. Contingent Value Rights 4,829 435 * PDS Gaming Corp. 1,100 1,650 PMR Corp. Contingent Value Rights 7,300 0 * # RCN Corp. Warrants 12/21/06 60 0 * Timco Aviation Services, Inc. Warrants 02/27/07 6,696 1 * Trico Marine Services, Inc. Warrants 03/15/08 Series B 744 1,183 * Trico Marine Services, Inc. Warrants 03/15/10 Series A 744 2,976 * Trump Entertainment Resorts, Inc. Warrants 05/23/06 2,634 0 * Virologic, Inc. Contingent Value Rights 102,461 17,931 ---------------- Total Other (Cost $970,937) 135,114 ---------------- Consumer Discretionary -- (0.0%) * Lodgian, Inc. Class A Warrants 11/25/07 188 6 * Lodgian, Inc. Class B Warrants 11/25/09 582 12 ---------------- Total Consumer Discretionary (Cost $0) 18 ---------------- Consumer Staples -- (0.0%) * Cruzan International, Inc. Rights 06/21/05 920 0 ---------------- (Cost $0) TOTAL RIGHTS/WARRANTS (Cost $970,937) 135,132 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) BONDS -- (0.0%) Other -- (0.0%) * Del Global Technologies Corp. Subordinated Promissory Note 6.000%, 03/28/07 2 0 * Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 4 0 ---------------- Total Other (Cost $0) 0 ---------------- TOTAL BONDS (Cost $0) 0 ---------------- TEMPORARY CASH INVESTMENTS -- (5.2%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05 (Collateralized by $189,895,000 U.S. STRIPS 9.875%, 11/15/15, valued at $122,070,194) to be repurchased at $119,685,348 (Cost $119,675,641) 119,676 119,675,641 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $17,915,000 FHLMC Notes 4.00%, 09/22/09, valued at $17,937,394) to be repurchased at $17,673,419 (Cost $17,672,000) 17,672 17,672,000 ---------------- 137,347,641 ----------------
57 TOTAL TEMPORARY CASH INVESTMENTS (Cost $137,347,641) 137,347,641 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $2,385,237,704) $ 2,618,369,926 ================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 58 THE U.S. MICRO CAP SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (94.0%) Information Technology -- (20.4%) * 24/7 Real Media, Inc. 4,040 $ 12,282 * # 8X8, Inc. 84,000 162,120 * Access Integrated Technologies, Inc. 4,900 30,870 * # ACE*COMM Corp. 78,700 166,844 * Actel Corp. 173,096 2,560,090 * ActivCard Corp. 287,630 1,185,036 * Actuate Corp. 422,548 904,253 * Adaptec, Inc. 55,700 221,686 * ADDvantage Technologies Group, Inc. 2,200 6,886 * ADE Corp. 81,400 1,825,802 * Adept Technology, Inc. 6,000 48,300 * Advanced Digital Information Corp. 406,525 2,792,827 * Advanced Energy Industries, Inc. 225,617 2,152,386 * # Advanced Photonix, Inc. 68,300 150,260 * Advanced Power Technology, Inc. 73,800 476,010 * Advent Software, Inc. 224,881 4,511,113 * Aehr Test Systems 57,400 173,348 * Aeroflex, Inc. 6,300 50,400 * Aetrium, Inc. 87,300 225,234 * Agile Software Corp. 364,842 2,353,231 Agilysys, Inc. 216,138 3,324,202 * Airspan Networks, Inc. 262,139 1,253,024 Allen Organ Co. Class B 4,700 261,673 * Alliance Semiconductor Corp. 242,180 406,862 * Allied Motion Technologies, Inc. 34,580 165,292 * Alpha Technologies Group, Inc. 87,200 3,924 * Altiris, Inc. 57,819 1,086,997 American Software, Inc. Class A 277,700 1,432,932 * American Technical Ceramics Corp. 68,100 710,964 * Amistar Corp. 27,800 83,956 * Amkor Technology, Inc. 41,136 146,033 * Ampex Corp. Class A 7,565 268,558 * Amtech Systems, Inc. 2,400 14,376 * Anadigics, Inc. 213,000 349,320 * Analex Corp. 61,500 201,105 * Analysts International Corp. 190,092 625,403 * Analytical Surveys, Inc. 5,670 9,129 * Anaren, Inc. 134,946 1,597,761 * Ansoft Corp. 114,500 2,553,350 * AnswerThink, Inc. 307,749 1,218,686 * APA Enterprises, Inc. 41,400 65,412 * Apogee Technology, Inc. 4,500 5,445
1 * Applied Films Corp. 102,301 2,751,897 * Applied Innovation, Inc. 142,200 692,514 * Applix, Inc. 121,600 586,112 * Apropos Technology, Inc. 123,050 316,239 * aQuantive, Inc. 420,385 6,469,725 * # Ardent Communications, Inc. 20,000 20 * Ariba, Inc. 82,006 502,697 * Arris Group, Inc. 604,747 5,237,109 * Art Technology Group, Inc. 117,611 127,020 * # Artisoft, Inc. 23,716 39,131 * Aspect Communications Corp. 412,662 3,961,555 * # Aspen Technology, Inc. 255,257 1,337,547 * Astea International, Inc. 21,160 156,372 Astro-Med, Inc. 54,422 476,193 * Asyst Technologies, Inc. 311,289 1,310,527 * Atari, Inc. 801,021 1,978,522 * ATMI, Inc. 153,395 4,310,400 * August Technology Corp. 115,815 1,316,817 * Authentidate Holding Corp. 233,400 686,196 * autobytel.com, Inc. 258,326 1,255,464 * # Avanex Corp. 441,189 445,601 * Avici Systems, Inc. 89,881 400,869 * Aware, Inc. 158,550 1,046,430 * Axcelis Technologies, Inc. 7,600 50,540 * Axesstel, Inc. 123,000 458,790 * # AXS-One, Inc. 197,000 330,960 * AXT, Inc. 114,600 144,396 * Bankrate, Inc. 59,099 1,079,739 BEI Technologies, Inc. 131,800 3,388,578 Bel Fuse, Inc. Class A 42,550 1,076,090 Bel Fuse, Inc. Class B 93,150 2,785,185 * Bell Industries, Inc. 88,500 195,585 * Bell Microproducts, Inc. 202,350 1,659,270 * BindView Development Corp. 338,887 1,057,327 * Bitstream, Inc. 81,600 225,216 Black Box Corp. 115,236 3,961,814 * Blonder Tongue Laboratories, Inc. 76,300 221,270 * Blue Coat Systems, Inc. 83,965 1,629,761 Bogen Communications International, Inc. 64,200 306,555 * # Bookham, Inc. 44,126 123,553 * Borland Software Corp. 73,000 467,200 * Bottomline Technologies, Inc. 127,064 1,725,529 * Brightpoint, Inc. 134,562 2,529,766 * # BroadVision, Inc. 226,173 316,642 * Brooks Automation, Inc. 293,056 4,419,284 * Brooktrout, Inc. 109,050 1,087,229 * CalAmp Corp. 154,084 1,016,954 * California Micro Devices Corp. 148,000 710,400 * Callidus Software 125,200 431,940 * CAM Commerce Solutions, Inc. 11,300 177,862 * Canterbury Consulting Group, Inc. 8,428 2,739 * Captaris, Inc. 209,500 758,390 * Captiva Software Corp. 85,109 1,142,163 * Carreker Corp. 153,865 807,791 * Carrier Access Corp. 234,130 1,128,507
2 * Catalyst Semiconductor, Inc. 125,821 571,227 * Catapult Communications Corp. 102,598 1,443,554 * CCC Information Services Group, Inc. 112,590 2,632,354 * C-COR, Inc. 333,856 2,296,929 * CDC Corp. 6,093 15,233 Celeritek, Inc. 68,957 56,545 * CellStar Corp. 137,152 178,298 * Centillium Communications, Inc. 264,073 578,320 * Centra Software, Inc. 176,045 302,797 * # Cenuco, Inc. 87,000 287,970 * CEVA, Inc. 88,210 642,169 * Checkpoint Systems, Inc. 274,900 4,843,738 * Cherokee International Corp. 21,583 88,706 * Chordiant Software, Inc. 625,045 1,068,827 * Ciber, Inc. 469,764 3,828,577 * Ciprico, Inc. 49,200 214,020 * Cirrus Logic, Inc. 590,856 3,060,634 * Clarus Corp. 138,650 1,067,605 * ClearOne Communications, Inc. 32,300 107,882 * Cognitronics Corp. 82,975 313,646 Cohu, Inc. 151,479 2,911,426 * Comarco, Inc. 63,800 509,762 * # Commerce One, Inc. 13,200 1,663 Communications Systems, Inc. 118,400 1,195,840 * Competitive Technologies, Inc. 102,100 1,116,974 * Computer Horizons Corp. 298,100 864,490 * Computer Network Technology Corp. 179,900 899,500 * Computer Task Group, Inc. 174,600 611,100 * Comtech Telecommunications Corp. 151,837 5,491,944 * Concord Communications, Inc. 126,981 2,148,519 * Concur Technologies, Inc. 229,880 2,204,549 * Concurrent Computer Corp. 374,700 681,954 * Convera Corp. 268,025 1,155,188 * Copper Mountain Networks, Inc. 42,560 39,155 * Corillian Corp. 268,260 862,456 * Cosine Communications, Inc. 64,479 151,526 * Covansys Corp. 167,658 2,053,811 * # C-Phone Corp. 23,600 165 * Cray, Inc. 549,513 802,289 * Credence Systems Corp. 100,267 794,115 * # Critical Path, Inc. 15,110 7,102 * Crossroads Systems, Inc. 131,178 123,307 * CSP, Inc. 78,328 768,398 CTS Corp. 257,319 2,740,447 * # Cyberguard Corp. 211,495 1,357,798 * Cyberoptics Corp. 60,642 779,856 * Cybersource Corp. 517,800 3,474,438 * Daktronics, Inc. 167,200 3,894,088 * Data I/O Corp. 77,000 223,300 * Data Systems & Software, Inc. 86,500 103,800 * Datalink Corp. 51,500 126,690 * Dataram Corp. 83,150 487,259 * Datastream Systems, Inc. 126,600 750,738 * # DataTRAK International, Inc. 28,900 554,880 * Datawatch Corp. 18,488 77,650
3 * Delphax Technologies, Inc. 52,900 197,476 * Digi International, Inc. 155,515 1,824,191 * Digimarc Corp. 116,994 596,669 * Digital Insight Corp. 249,640 5,427,174 * Digital Lightwave, Inc. 400 196 * Digital Theater Systems, Inc. 82,989 1,418,282 * Diodes, Inc. 131,250 4,364,063 * Display Technologies, Inc. 44,255 35 * Ditech Communications Corp. 234,060 1,687,573 * DocuCorp International, Inc. 103,300 692,110 * Document Sciences Corp. 15,400 107,030 * Dot Hill Systems Corp. 301,246 1,599,616 * DPAC Technologies Corp. 69,030 18,638 * DSP Group, Inc. 192,913 4,537,314 * DuraSwitch Industries, Inc. 8,800 13,077 * Dynamics Research Corp. 66,100 984,229 * E.piphany, Inc. 485,917 1,695,850 * EasyLink Services Corp. 27,519 26,969 * Echelon Corp. 277,698 1,907,785 * eCollege.com 151,900 1,569,127 * EDGAR Online, Inc. 86,500 249,985 * Edgewater Technology, Inc. 70,674 307,432 * EFJ, Inc. 41,000 291,100 * Electro Scientific Industries, Inc. 151,698 2,721,462 * Electroglas, Inc. 153,700 530,265 Electro-Sensors, Inc. 3,450 14,663 * eLoyalty Corp. 10,200 50,490 * Embarcadero Technologies, Inc. 170,602 974,137 * EMCORE Corp. 311,991 1,238,604 * EMS Technologies, Inc. 115,299 1,556,537 * En Pointe Technologies, Inc. 57,200 157,300 * # Endwave Corp. 55,900 2,015,195 * Entegris, Inc. 221,088 2,144,554 * Enterrasys Networks, Inc. 56,900 52,917 * Entrust, Inc. 438,220 1,792,320 * Epicor Software Corp. 397,428 4,900,287 * EPIQ Systems, Inc. 123,330 2,016,446 * ePlus, Inc. 60,880 754,973 * Equinix, Inc. 85,063 3,240,900 * ESS Technology, Inc. 266,793 1,099,187 * Evans & Sutherland Computer Corp. 99,800 512,473 * Evolving Systems, Inc. 71,600 189,740 * Exar Corp. 288,363 4,152,427 * Excel Technology, Inc. 83,222 2,084,711 * Extended Systems, Inc. 11,600 39,556 * Extreme Networks, Inc. 360,447 1,647,243 * Ezenia! Inc. 2,900 7,685 * # FalconStor Software, Inc. 328,918 2,404,391 * Fargo Electronics 99,400 1,794,170 * Faro Technologies, Inc. 99,375 2,764,613 * FEI Co. 112,249 2,337,024 * FindWhat.com 205,897 1,095,372 * Finisar Corp. 48,400 57,596 * Firstwave Technologies, Inc. 19,200 33,120 * FOCUS Enhancements, Inc. 28,188 21,141
4 * Forgent Networks, Inc. 263,300 473,940 * Forrester Research, Inc. 149,203 2,461,850 Frequency Electronics, Inc. 89,100 1,042,470 * FSI International, Inc. 200,002 752,008 * Genesis Microchip, Inc. 158,881 2,629,481 * Gerber Scientific, Inc. 153,800 1,135,044 * Giga-Tronics, Inc. 49,100 198,855 * Glenayre Technologies, Inc. 394,184 1,261,389 * # Global e-Point, Inc. 18,731 56,568 * Global Imaging Systems, Inc. 39,125 1,243,784 * Globecomm Systems, Inc. 96,000 533,760 * Glowpoint, Inc. 138,839 184,656 * GoRemote Internet Communications, Inc. 172,300 268,788 * GTSI Corp. 84,700 692,846 * Halifax Corp. 8,650 33,389 * Harmonic, Inc. 504,055 3,140,263 * Hauppauge Digital, Inc. 83,200 320,320 * HEI, Inc. 33,900 103,412 Helix Technology Corp. 180,222 2,272,599 * HI/FN, Inc. 47,444 315,028 * HomeStore, Inc. 382,141 798,675 * Hypercom Corp. 358,400 2,275,840 * HyperFeed Technologies, Inc. 10,730 19,851 * I.D. Systems, Inc. 7,062 105,648 * # Ibis Technology Corp. 71,513 90,106 * iCAD, Inc. 37,500 133,125 * Identix, Inc. 735,967 4,040,459 * iGATE Capital Corp. 352,100 1,538,677 * # ImageWare Systems, Inc. 13,800 45,954 * I-many, Inc. 175,900 277,922 * Immersion Corp. 163,303 956,956 * Indus International, Inc. 159,700 359,325 * # Infocrossing, Inc. 137,089 1,502,495 * InFocus Corp. 270,546 1,125,471 * Informatica Corp. 457,293 3,923,574 * Information Architects Corp. 13,040 2,021 Inforte Corp. 82,450 282,804 infoUSA, Inc. 367,489 4,439,267 * Innodata Isogen, Inc. 155,726 465,621 * Innovex, Inc. 131,200 443,456 * Insightful Corp. 40,100 132,330 * InsWeb Corp. 12,966 36,305 Integral Systems, Inc. 118,700 2,581,725 * Integral Vision, Inc. 21,100 33,760 * Integrated Silicon Solution, Inc. 250,631 1,641,633 * # Intelli-Check, Inc. 74,200 408,842 * Intellidata Technologies Corp. 115,935 39,418 * Intelligent Systems Corp. 38,100 79,248 * Intelligroup, Inc. 116,800 137,824 * # Intellisync Corp. 412,433 1,101,196 * Interactive Intelligence, Inc. 109,891 536,268 * Interland, Inc. 107,645 204,526 * Interlink Electronics, Inc. 94,500 504,630 * Intermix Media, Inc. 209,800 1,244,114 * International Microcomputer Software, Inc. 4,200 4,914
5 * Internet Commerce Corp. 13,900 22,518 * Interphase Corp. 62,700 442,035 Inter-Tel, Inc. 184,147 3,780,538 * Intervoice, Inc. 249,595 2,236,371 * Interwoven, Inc. 278,529 2,217,091 * Intest Corp. 29,200 104,799 * Intevac, Inc. 138,900 1,445,949 * Intrado, Inc. 121,589 1,555,123 * Intraware, Inc. 1,100 429 * IntriCon Corp. 46,700 88,730 * # Intrusion, Inc. 20,825 58,727 * Iomega Corp. 375,891 1,161,503 * iPass, Inc. 257,900 1,591,243 * # IPIX Corp. 2,000 5,340 * I-Sector Corp. 32,000 260,480 * # Island Pacific, Inc. 41,900 7,542 * Iteris, Inc. 9,700 25,511 * Itron, Inc. 154,100 6,335,051 * iVillage, Inc. 374,783 2,259,941 * IXYS Corp. 229,399 3,172,588 * Jaco Electronics, Inc. 63,009 197,850 * JDA Software Group, Inc. 200,411 2,589,310 * JMAR Industries, Inc. 189,000 238,140 * Jupitermedia Corp. 233,512 4,261,594 Keithley Instruments, Inc. 98,000 1,443,540 * Kemet Corp. 333,700 2,335,900 * Key Tronic Corp. 96,300 354,384 * Keynote Systems, Inc. 64,500 748,200 * Kintera, Inc. 11,000 33,990 * Komag, Inc. 191,540 5,525,929 * Kopin Corp. 483,010 1,859,589 * Kulicke & Soffa Industries, Inc. 354,805 2,061,417 Landauer, Inc. 82,000 4,005,700 * Lantronix, Inc. 15,000 20,550 * # LaserCard Corp. 104,450 626,700 * Lattice Semiconductor Corp. 115,212 486,195 * Lawson Software, Inc. 438,491 2,595,867 * LeCroy Corp. 85,200 1,402,392 * # Level 8 Systems, Inc. 26,400 1,531 * # Lexar Media, Inc. 524,656 2,633,773 Liberate Technologies, Inc. 47,200 14,632 * Lightbridge, Inc. 180,370 1,132,724 * Lightning Rod Software, Inc. 2,180 2,027 * LightPath Technologies, Inc. 8,650 22,490 * Lionbridge Technologies, Inc. 276,022 1,374,590 * Littlefuse, Inc. 86,468 2,600,957 * Logic Devices, Inc. 45,800 61,372 * LogicVision, Inc. 156,450 281,610 * Logility, Inc. 135,600 610,200 * LoJack Corp. 152,600 2,249,324 Lowrance Electronics, Inc. 20,439 424,109 * LTX Corp. 409,759 1,962,746 * Magma Design Automation, Inc. 242,305 1,931,171 * MAI Systems Corp. 2,807 168 * Management Network Group, Inc. 68,499 160,973
6 * Manatron, Inc. 115 1,089 * Manchester Technologies, Inc. 83,700 524,799 * Manhattan Associates, Inc. 204,170 4,336,571 * Manugistic Group, Inc. 453,822 816,880 * Mapinfo Corp. 140,731 1,753,508 * # Marchex, Inc. Class B 22,109 329,866 * MatrixOne, Inc. 350,600 1,602,242 * Mattson Technology, Inc. 356,917 2,791,091 Maximus, Inc. 144,800 4,965,192 * Maxwell Technologies, Inc. 101,692 1,045,394 * McDATA Corp. 186,356 710,016 * MDI, Inc. 107,900 55,029 * Measurement Specialties, Inc. 78,500 1,522,900 * Mechanical Technology, Inc. 12,100 43,197 * MedQuist, Inc. 133,500 1,736,835 * Mentor Graphics Corp. 10,400 106,912 * Merix Corp. 130,500 946,125 * MetaSolv, Inc. 278,537 576,572 Methode Electronics, Inc. 80,000 955,200 * Metrologic Instruments, Inc. 151,310 2,097,157 * Micro Linear Corp. 109,300 639,405 * Micromuse, Inc. 97,737 613,788 * Microtune, Inc. 398,888 1,763,085 * # Mindspeed Technologies, Inc. 267,080 381,924 * MIPS Technologies, Inc. 290,392 2,503,179 * Mitek Systems, Inc. 6,100 3,843 * Mobility Electronics, Inc. 197,573 1,738,642 * Mobius Management Systems, Inc. 174,400 1,076,048 Mocon, Inc. 72,775 691,363 * Moldflow Corp. 73,862 974,978 * Monolithic System Technology, Inc. 176,788 984,709 * Motive, Inc. 79,300 689,117 * MRO Software, Inc. 174,246 2,613,690 * MRV Communications, Inc. 707,819 1,309,465 * # MSC.Software Corp. 171,500 1,763,878 * MSGI Security Solutions, Inc. 904 6,554 * # MTI Technology Corp. 3,300 5,412 * MTM Technologies, Inc. 44,200 175,474 MTS Systems Corp. 188,648 6,019,758 * Mykrolis Corp. 284,400 3,836,556 * Nanometrics, Inc. 119,851 1,351,919 * # Napco Security Systems, Inc. 146,760 1,354,595 * Neoforma, Inc. 156,824 1,074,244 * NeoMagic Corp. 127,268 47,089 * NEON Systems, Inc. 14,800 45,880 * Neoware Systems, Inc. 111,450 1,127,874 * Net Perceptions, Inc. 13,400 10,854 * Net2Phone, Inc. 310,579 496,926 * NETGEAR, Inc. 126,937 2,496,851 * Netguru, Inc. 46,800 48,672 * NetIQ Corp. 377,855 4,171,519 * NetManage, Inc. 49,128 311,963 * Netopia, Inc. 129,756 434,034 * NetRatings, Inc. 249,427 3,397,196 * Netscout System, Inc. 207,832 1,280,245
7 * Network Engines, Inc. 207,412 352,600 * Network Equipment Technologies, Inc. 169,700 948,623 * Newport Corp. 294,653 4,139,875 * NIC, Inc. 535,448 2,350,617 * Niku Corp. 104,294 1,568,582 * NMS Communications Corp. 419,008 1,361,776 * Novatel Wireless, Inc. 197,294 2,460,256 * Nu Horizons Electronics Corp. 115,950 681,786 * Nuance Communications, Inc. 196,100 923,631 * NumereX Corp. Class A 102,700 493,987 * NYFIX, Inc. 214,349 1,082,462 * O.I. Corp. 25,700 305,188 * Omtool, Ltd. 30,770 180,005 * Online Resources Corp. 162,240 1,580,218 * ONYX Software Corp. 108,284 362,751 * Open Solutions, Inc. 21,481 381,288 * Opent Technologies, Inc. 136,883 1,107,383 * OpenTV Corp. 159,125 443,959 * Oplink Communications, Inc. 183,800 273,862 * Opsware, Inc. 641,367 3,187,594 * OPTi, Inc. 118,200 198,576 * Optical Cable Corp. 37,205 165,934 * Optical Communication Products, Inc. 169,285 303,020 * OSI Systems, Inc. 111,942 1,667,936 * Overland Storage, Inc. 107,900 1,045,551 * OYO Geospace Corp. 41,100 672,478 * Packeteer, Inc. 232,555 2,760,428 * PalmSource, Inc. 104,417 1,047,303 * Panavision, Inc. 13,000 71,500 * PAR Technology Corp. 79,500 2,277,675 * Paradyne Networks Corp. 388,950 766,232 Park Electrochemical Corp. 137,400 3,187,680 * # Parkervision, Inc. 122,450 551,025 * Parlex Corp. 57,800 341,020 * # Path 1 Network Technologies, Inc. 46,200 184,800 * Paxar Corp. 39,500 695,990 * PC Connection, Inc. 168,680 861,955 * PC-Tel, Inc. 148,300 1,084,073 * PDF Solutions, Inc. 177,661 2,085,740 * PEC Solutions, Inc. 187,618 2,909,955 * Peerless Systems Corp. 101,700 368,154 * Pegasus Solutions, Inc. 146,987 1,581,580 * Pegasystems, Inc. 239,718 1,431,116 * Pemstar, Inc. 146,200 172,516 * Perceptron, Inc. 76,350 498,566 * Performance Technologies, Inc. 131,275 883,481 * Pericom Semiconductor Corp. 180,589 1,446,518 * Pervasive Software, Inc. 225,700 1,044,991 * Pfsweb, Inc. 1 2 * Phoenix Technologies, Ltd. 170,641 1,385,605 * Photon Dynamics, Inc. 115,000 2,220,650 * Photronics, Inc. 226,608 5,218,782 * Pinnacle Systems, Inc. 456,453 2,697,637 * Pixelworks, Inc. 113,400 971,838 * Planar Systems, Inc. 100,000 804,000
8 * PLATO Learning, Inc. 158,226 1,208,847 * Plexus Corp. 287,089 3,947,474 * Plumtree Software, Inc. 7,194 33,092 * PLX Technology, Inc. 184,900 1,408,938 * Porta Systems Corp. 1,490 224 * Portal Software, Inc. 265,283 522,608 * Power Intergrations, Inc. 211,001 5,026,044 * PowerCerv Corp. 12,633 7,074 * Powerwave Technologies, Inc. 347,661 3,174,145 * Presstek, Inc. 241,438 2,061,881 Printronix, Inc. 67,150 1,066,342 * Private Business, Inc. 8,305 13,454 * Procom Technology, Inc. 19,200 30,720 Programmers Paradise, Inc. 48,200 495,014 * Proxim Corp. 20,861 6,676 QAD, Inc. 233,779 1,641,129 Quality Systems, Inc. 99,200 5,964,896 * Quantum Corp. 362,400 942,240 * QuickLogic Corp. 182,000 795,340 * # Quokka Sports, Inc. 480 4 * Quovadx, Inc. 202,907 551,907 * Radiant Systems, Inc. 251,931 2,635,198 * RadiSys Corp. 137,113 2,217,117 * Radyne ComStream, Inc. 71,000 608,470 * Raindance Communictions, Inc. 104,200 213,610 * Ramtron International Corp. 185,100 505,304 * Redback Networks, Inc. 342,252 1,950,836 * Register.com, Inc. 99,500 621,875 * Reliability, Inc. 24,600 4,920 * Relm Wireless Corp. 47,941 112,661 * REMEC, Inc. 191,059 1,194,123 * Remote Dynamics, Inc. 2,702 4,188 Renaissance Learning, Inc. 138,490 2,737,947 * Research Frontiers, Inc. 1,100 4,796 * RF Monolithics, Inc. 83,500 526,050 Richardson Electronics, Ltd. 112,404 1,000,396 * Rimage Corp. 92,225 1,950,559 * Riverstone Networks, Inc. 1,900 1,335 * Robotic Vision Systems, Inc. 6,201 198 * Rofin-Sinar Technologies, Inc. 104,400 3,372,120 * Rogers Corp. 92,900 3,845,131 * Rudolph Technologies, Inc. 116,373 1,678,099 * S1 Corp. 501,290 2,245,779 * # Saba Software, Inc. 72,699 295,158 * Safeguard Scientifics, Inc. 586,100 580,239 * SafeNet, Inc. 164,151 5,157,624 * SatCon Technology Corp. 151,700 207,829 * SBE, Inc. 34,600 75,082 * SBS Technologies, Inc. 105,900 1,028,289 * ScanSoft, Inc. 836,552 3,396,401 * ScanSource, Inc. 87,080 4,274,757 * Schmitt Industries, Inc. 17,800 165,540 * Scientific Learning Corp. 1,900 11,343 * Scientific Technologies, Inc. 38,400 121,344 * SCM Microsystems, Inc. 104,624 310,733
9 * Seachange International, Inc. 190,903 1,508,134 * Secure Computing Corp. 213,058 2,390,511 * SeeBeyond Technology Corp. 591,484 1,762,622 * SEEC, Inc. 1,200 240 * Segue Software, Inc. 102,300 511,500 * Selectica, Inc. 261,300 828,321 * Semitool, Inc. 197,600 1,732,952 * # ServiceWare Technologies, Inc. 2,530 8,855 * SI International, Inc. 20,362 577,263 * # Sigma Designs, Inc. 173,500 1,370,650 * Sigmatron International, Inc. 18,200 193,830 * # Silicon Graphics, Inc. 162,400 131,544 * Silicon Storage Technology, Inc. 97,900 336,776 * SimpleTech, Inc. 311,866 1,091,531 * Sipex Corp. 223,709 369,120 * Sirenza Microdevices, Inc. 245,538 790,632 * SM&A 140,170 1,227,889 * Smith Micro Software, Inc. 121,400 524,448 * Somera Communications, Inc. 83,100 115,509 * # Sonic Foundry, Inc. 95,300 121,984 * Sonic Solutions, Inc. 167,550 2,560,164 * SonicWALL, Inc. 485,782 3,002,133 SpectraLink Corp. 163,500 1,883,520 * Spectrum Control, Inc. 118,900 841,812 * SPSS, Inc. 90,385 1,579,930 * # SR Telecom, Inc. 162 50 * SRS Labs, Inc. 120,600 676,457 SS&C Technologies, Inc. 156,896 4,691,190 * Staktek Holdings, Inc. 37,030 101,462 * Standard Microsystems Corp. 127,800 2,078,028 StarTek, Inc. 100,900 1,407,555 * SteelCloud, Inc. 75,500 176,670 * Stellent, Inc. 185,724 1,405,931 * Stratasys, Inc. 72,213 2,336,813 * Stratex Networks, Inc. 478,875 838,031 * Stratos International, Inc. 86,635 373,397 * SumTotal Systems, Inc. 58,283 244,206 * Sunair Electronics, Inc. 33,700 310,377 Sunrise Telecom, Inc. 275,600 440,960 * Suntron Corp. 36,507 47,824 * Supertex, Inc. 94,300 1,639,877 * SupportSoft, Inc. 296,352 1,535,103 * Sykes Enterprises, Inc. 270,400 2,238,912 * Symmetricom, Inc. 378,352 4,267,811 * Synaptics, Inc. 181,262 3,485,668 * SYNNEX Corp. 10,200 161,364 * Synplicity, Inc. 180,733 1,102,471 Syntel, Inc. 67,063 1,050,207 * Taitron Components, Inc. 15,500 27,125 TALX Corp. 143,228 3,998,926 * Taser International, Inc. 6,500 73,710 * Technical Communications Corp. 7,300 22,265 Technitrol, Inc. 96,400 1,265,732 * Technology Solutions Corp. 41,200 21,424 * TechTeam Global, Inc. 81,200 1,136,800
10 * Tegal Corp. 41,000 43,460 * TeleCommunication Systems, Inc. 209,790 539,160 * # Telkonet, Inc. 304,200 1,277,640 * Telular Corp. 106,075 413,693 * Terayon Communication Systems, Inc. 525,573 1,666,066 * Tessco Technologies, Inc. 53,500 681,590 * Therma-Wave, Inc. 239,769 374,040 * TheStreet.com, Inc. 227,700 705,870 * Three-Five Systems, Inc. 136,100 91,187 * Tier Technologies, Inc. Class B 169,900 1,501,916 * TII Network Technologies, Inc. 57,160 83,454 * Tollgrade Communications, Inc. 88,995 674,582 * Track Data Corp. 3,418 7,520 * Transact Technologies, Inc. 82,200 808,026 * Transaction Systems Architects, Inc. 33,327 759,189 * Transcat, Inc. 42,500 196,775 * Trans-Industries, Inc. 9,500 5,890 Trans-Lux Corp. 7,545 50,174 * Transmeta Corp. 1,384 1,121 * # Transwitch Corp. 52,000 102,440 * Trident Microsystems, Inc. 210,300 4,454,154 * Tripath Technology, Inc. 9,041 7,052 * Triquint Semiconductor, Inc. 147,266 499,232 Troy Group, Inc. 14,400 37,440 TSR, Inc. 100,400 587,742 * TTM Technologies, Inc. 283,741 2,252,904 * Tumbleweed Communications Corp. 327,369 720,212 * Tut Systems, Inc. 173,800 524,876 * Tyler Technologies, Inc. 388,250 2,527,508 * Ulticom, Inc. 297,727 2,739,088 * Ultimate Software Group, Inc. 155,644 2,477,852 * Ultradata Systems, Inc. 2,500 650 * Ultratech, Inc. 164,802 2,888,979 United Online, Inc. 334,480 4,328,171 * Universal Display Corp. 193,684 1,820,630 * # USDATA Corp. 24,040 1,683 * VA Software Corp. 367,930 621,802 * Veeco Instruments, Inc. 202,896 3,057,643 * VendingData Corp. 2,100 3,990 * # Verilink Corp. 154,542 245,722 * Verity, Inc. 281,479 2,401,016 * Versant Corp. 6,000 2,460 * Verso Technologies, Inc. 61,399 15,964 * Viasat, Inc. 185,211 3,757,931 * Vicon Industries, Inc. 44,450 131,128 Video Display Corp. 96,880 1,249,752 * Viewpoint Corp. 364,721 528,845 * Vignette Corp. 86,378 100,198 * # Viisage Technology, Inc. 317,272 1,357,924 * Virage Logic Corp. 152,000 1,678,080 * Visual Networks, Inc. 64,100 82,689 * # Vitech America, Inc. 99,280 70 * Vitesse Semiconductor, Inc. 86,500 216,250 * Vitria Technology, Inc. 227,009 726,429 * Vodavi Technology, Inc. 26,400 146,256
11 * Vyyo, Inc. 102,816 635,403 * WatchGuard Technologies, Inc. 229,784 834,116 * webMethods, Inc. 322,647 1,622,914 * WebSideStory, Inc. 48,100 550,745 * Westell Technologies, Inc. 365,584 2,189,848 * White Electronics Designs Corp. 165,556 826,124 Wireless Telecom Group, Inc. 192,400 486,772 * Witness Systems, Inc. 185,078 3,216,656 * WJ Communications, Inc. 266,742 536,151 Woodhead Industries, Inc. 157,850 2,025,216 * # WorldGate Communications, Inc. 24,000 121,464 X-Rite, Inc. 173,100 1,914,486 * Zhone Technologies, Inc. 201,650 546,472 * # Zix Corp. 219,784 723,089 * Zomax, Inc. 265,192 729,278 * Zones, Inc. 147,800 546,860 * Zoran Corp. 250,641 3,092,910 * Zygo Corp. 122,265 1,183,525 ---------------- Total Information Technology (Cost $724,847,028) 716,433,089 ---------------- Consumer Discretionary -- (17.0%) * 1-800 CONTACTS, Inc. 93,065 1,818,490 * 1-800-FLOWERS.COM, Inc. 201,690 1,494,523 * 4Kids Entertainment, Inc. 92,100 1,749,900 * A.C. Moore Arts & Crafts, Inc. 137,700 4,097,952 * Acme Communications, Inc. 120,000 475,200 Acme United Corp. 30,407 517,527 * ACT Teleconferencing, Inc. 13,437 7,928 Action Performance Companies, Inc. 131,400 1,223,334 * Advanced Marketing Services, Inc. 135,675 552,876 * AFC Enterprises, Inc. 9,700 247,350 * Aftermarket Technology Corp. 151,100 2,317,874 * Alderwoods Group, Inc. 29,100 403,035 Aldila, Inc. 35,733 830,435 * All American Semiconductor, Inc. 45,140 216,221 * Alliance Gaming Corp. 352,500 4,578,975 * Alloy, Inc. 215,380 1,107,053 Ambassadors Group, Inc. 70,300 2,541,345 * Amcast Industrial Corp. 85,700 1,671 * American Biltrite, Inc. 57,750 542,850 * America's Car-Mart, Inc. 80,910 1,731,474 * AMS Health Sciences, Inc. 31,800 56,922 Andersons, Inc. 51,500 1,689,200 * Applica, Inc. 159,500 456,170 Arctic Cat, Inc. 93,682 2,023,531 Ark Restaurants Corp. 21,400 581,224 * Arlington Hospitality, Inc. 60,600 75,750 * Asbury Automotive Group, Inc. 100,900 1,483,230 * Ashworth, Inc. 132,600 1,272,960 * Audiovox Corp. Class A 138,426 2,025,172 * # Avatar Holdings, Inc. 47,000 2,251,300 * Ballantyne of Omaha, Inc. 126,135 548,687 * Bally Total Fitness Holding Corp. 235,100 714,704 * Barry (R.G.) Corp. 163,435 735,457
12 Bassett Furniture Industries, Inc. 105,200 2,054,556 * Beasley Broadcast Group, Inc. 52,078 837,414 * Benihana, Inc. 11,500 167,900 * Benihana, Inc. Class A 3,335 49,325 * Big Dog Holdings, Inc. 2,100 14,217 * BJ's Restaurants, Inc. 136,703 2,515,335 Blair Corp. 68,800 2,686,640 * Blount International, Inc. 197,300 3,484,318 * Bluegreen Corp. 226,729 3,822,651 * Bombay Co., Inc. 302,900 1,614,457 * Bontex, Inc. 2,200 132 Bon-Ton Stores, Inc. 110,500 1,996,735 Books-A-Million, Inc. 171,700 1,445,714 Boston Acoustics, Inc. 52,750 783,865 Bowl America, Inc. Class A 55,406 742,163 * Boyds Collection, Ltd. 460,400 1,008,276 * # Brillian Corp. 26,800 83,616 * Broadview Media, Inc. 15,800 63,200 * Brookstone, Inc. 170,775 3,439,408 Brown Shoe Company, Inc. 129,300 4,538,430 * Buca, Inc. 132,551 676,010 Buckle, Inc. 101,800 4,017,028 Building Materials Holding Corp. 86,200 5,346,986 * Bull Run Corp. 14,490 10,433 * CabelTel International Corp. 3,430 17,321 * Cache, Inc. 109,806 1,436,262 Cadmus Communications Corp. 67,100 1,066,890 * California Coastal Communities, Inc. 63,600 1,881,924 * California Pizza Kitchen, Inc. 135,131 3,243,144 * Calloway's Nursery, Inc. 1,700 348 * Candie's, Inc. 196,113 1,041,360 * Candlewood Hotel Co., Inc. 3,100 186 * Capital Pacific Holdings, Inc. 87,000 358,440 Carmike Cinemas, Inc. 86,143 2,817,738 * Carriage Services, Inc. 123,600 726,768 * Casual Male Retail Group, Inc. 236,140 1,664,787 * Catalina Lighting, Inc. 11,080 91,410 Cato Corp. Class A 139,300 4,020,198 * Cavalier Homes, Inc. 148,500 542,025 * Cavco Industries, Inc. 23,012 619,253 * CD Warehouse, Inc. 5,600 18 * Champion Enterprises, Inc. 476,400 4,635,372 * Championship Auto Racing Teams, Inc. 29,900 4,933 * Champps Entertainment, Inc. 109,710 883,165 * Charles and Colvard, Ltd. 92,820 1,876,820 * Charlotte Russe Holding, Inc. 151,700 1,812,815 * Chaus (Bernard), Inc. 1,760 1,443 * Checkers Drive-In Restaurants, Inc. 78,030 1,122,852 Cherokee, Inc. 20,200 713,464 Christopher & Banks Corp. 248,800 4,553,040 * Chromcraft Revington, Inc. 100,600 1,207,200 Churchill Downs, Inc. 17,700 762,162 Coachmen Industries, Inc. 108,400 1,327,900 Coast Distribution System, Inc. 40,600 184,324 * Coastcast Corp. 75,000 174,375
13 * Cobra Electronics Corp. 114,900 815,790 Collegiate Pacific, Inc. 69,000 608,580 * # Collins & Aikman Corp. 492,920 55,946 Concepts Direct, Inc. 1,600 240 * Concord Camera Corp. 156,186 203,042 * Congoleum Corp. Class A 35,500 149,100 * Conn's, Inc. 10,235 195,386 * Cost Plus, Inc. 154,099 3,584,343 * Cost-U-Less, Inc. 13,600 113,696 Courier Corp. 141,318 4,951,783 CPI Corp. 39,200 713,440 Craftmade International, Inc. 61,350 1,023,870 * Crown Media Holdings, Inc. 18 169 * CSK Auto Corp. 274,500 4,647,285 CSS Industries, Inc. 32,250 993,300 * Culp, Inc. 152,480 663,288 Cutter & Buck, Inc. 111,600 1,465,308 * # Cybex International, Inc. 75,950 232,407 * Cycle Country Accessories Corp. 34,100 113,894 * Daily Journal Corp. 200 7,750 * Dave & Busters, Inc. 121,200 2,176,752 Deb Shops, Inc. 100,300 3,030,063 * Deckers Outdoor Corp. 64,900 1,571,878 Decorator Industries, Inc. 20,587 168,608 Delta Apparel, Inc. 38,640 1,134,857 * Delta Woodside Industries, Inc. 51,000 33,150 * Department 56, Inc. 115,950 1,294,002 * Diedrich Coffee, Inc. 28,025 117,173 * Digital Generation Systems, Inc. 314,100 342,369 * Dixie Group, Inc. 98,600 1,461,252 * Dominion Homes, Inc. 61,600 956,648 Dover Downs Gaming & Entertainment, Inc. 7,845 92,806 Dover Motorsports, Inc. 118,100 680,256 * Drew Industries, Inc. 94,000 3,854,000 * drugstore.com, Inc. 581,292 1,999,644 * Duckwall-ALCO Stores, Inc. 41,000 809,750 * Dura Automotive Systems, Inc. 128,800 549,976 * # E Com Ventures, Inc. 10,825 154,256 * eCost.com, Inc. 113,829 359,927 * Educational Development Corp. 15,400 155,540 * ELXSI Corp. 7,100 23,430 * EMAK Worldwide, Inc. 58,100 639,100 * Emerging Vision, Inc. 145,200 20,328 * Emerson Radio Corp. 184,378 475,695 * Enesco Group, Inc. 122,400 471,240 * Entravision Communications Corp. 229,405 1,704,479 * Everlast Worldwide, Inc. 5,600 39,200 * Fab Industries, Inc. 40,200 120,600 * # Factory 2-U Stores, Inc. 73,754 369 * Fairchild Corp. Class A 148,929 342,537 * Famous Dave's of America, Inc. 77,130 836,860 * Featherlite, Inc. 78,600 326,190 Fedders Corp. 259,982 577,160 Federal Screw Works 33,750 735,750 * Finlay Enterprises, Inc. 79,800 1,035,804
14 Flanigan's Enterprises, Inc. 20,600 153,470 * # Fleetwood Enterprises, Inc. 382,599 3,661,472 Flexsteel Industries, Inc. 60,900 853,209 * Foamex International, Inc. 157,909 241,601 * # Footstar, Inc. 83,700 353,632 * Fountain Powerboat Industries, Inc. 35,700 169,932 * Fox & Hound Restaurant Group 67,031 824,481 * Franklin Covey Co. 181,100 1,122,820 * Franklin Electronic Publishers, Inc. 81,300 304,875 Fred's, Inc. 271,786 4,030,586 * Friedmans, Inc. Class A 131,900 129,262 * Friendly Ice Cream Corp. 24,500 259,700 Frisch's Restaurants, Inc. 63,868 1,571,153 * Gadzooks, Inc. 81,000 3,564 * Gaiam, Inc. 3,551 21,165 GameTech International, Inc. 70,200 195,156 * Gaming Partners International Corp. 31,800 480,180 * # Gander Mountain Co. 13,647 169,086 * Genesco, Inc. 153,900 5,271,075 Gentek, Inc. 66,974 730,686 * G-III Apparel Group, Ltd. 61,470 442,584 Goody's Family Clothing, Inc. 177,000 1,256,700 * Gottschalks, Inc. 129,300 1,389,975 Gray Television, Inc. 295,800 3,475,650 Gray Television, Inc. Class A 41,200 455,672 * Group 1 Automotive, Inc. 162,200 4,332,362 * # GSI Commerce, Inc. 287,954 4,273,237 * Guess, Inc. 305,000 5,136,200 * Gymboree Corp. 225,300 2,982,972 Haggar Corp. 58,500 1,079,910 * Ha-Lo Industries, Inc. 8,600 6 * Hammons (John Q.) Hotels, Inc. Class A 49,400 1,141,634 * Hampshire Group, Ltd. 12,700 504,952 Hancock Fabrics, Inc. 182,600 1,075,514 Handleman Co. 149,605 2,715,331 * Harolds Stores, Inc. 41,537 60,229 * Harris Interactive, Inc. 409,243 2,017,568 * Hartmarx Corp. 295,600 2,802,288 * Hastings Entertainment, Inc. 96,000 573,120 * Hastings Manufacturing Co. 13,700 23,975 Haverty Furniture Co., Inc. 50,700 716,391 Haverty Furniture Co., Inc. Class A 12,000 169,800 * Hayes Lemmerz International, Inc. 47,100 306,150 * Hibbett Sporting Goods, Inc. 162,012 5,689,861 * Hollywood Media Corp. 216,957 1,006,680 * Image Entertainment, Inc. 172,400 691,324 * IMPCO Technologies, Inc. 182,458 605,761 * Index Development Partners, Inc. 6,700 13,400 * Infosonics Corp. 14,000 41,860 * Insight Communications Co., Inc. 326,606 3,690,648 * Insignia Systems, Inc. 58,650 52,785 * Interface, Inc. Class A 314,268 2,404,150 * Interstate Hotels & Resorts, Inc. 205,150 943,690 * INVESTools, Inc. 310,350 1,132,777 * Isle of Capri Casinos, Inc. 190,855 4,748,472
15 * J. Alexander's Corp. 104,700 777,921 * J. Jill Group, Inc. 168,450 2,147,737 * Jaclyn, Inc. 20,027 123,166 * Jakks Pacific, Inc. 183,956 3,802,371 * Jennifer Convertibles, Inc. 41,000 92,250 * Jo-Ann Stores, Inc. 156,300 4,181,025 * Johnson Outdoors, Inc. 52,800 924,528 * # Jos. A. Bank Clothiers, Inc. 102,937 4,057,777 * Journal Register Co. 158,300 2,629,363 * K2, Inc. 328,063 4,130,313 Kenneth Cole Productions, Inc. Class A 82,300 2,477,230 * Keystone Automotive Industries, Inc. 141,700 2,797,158 Kimball International, Inc. Class B 160,449 1,973,523 * Kirkland's, Inc. 93,173 828,308 Knape & Vogt Manufacturing Co. 27,588 310,365 Koss Corp. 84,000 1,431,343 * # Krause's Furniture, Inc. 23,000 2 * # Krispy Kreme Doughnuts, Inc. 390,000 3,155,100 * LaCrosse Footwear, Inc. 20,400 201,960 * Lakeland Industries, Inc. 26,486 344,859 * # Lakes Entertainment, Inc. 153,500 1,908,005 Landry's Restaurants, Inc. 34,900 1,045,953 * Lazare Kaplan International, Inc. 67,400 580,988 La-Z-Boy, Inc. 91,300 1,218,855 * Learning Care Group, Inc. 31,700 117,290 Levitt Corp. Class A 128,300 3,695,040 Libbey, Inc. 95,400 1,817,370 Liberty Corp. 14,300 516,373 Liberty Homes, Inc. Class A 200 970 Lifetime Hoan Corp. 89,052 1,519,227 Lithia Motors, Inc. Class A 105,700 2,811,620 * LKG Corp. 14,666 364,010 * Lodgenet Entertainment Corp. 121,761 2,065,067 * Lodgian, Inc. 1,698 16,131 Lone Star Steakhouse & Saloon, Inc. 127,334 3,846,760 * LOUD Technologies, Inc. 112,900 395,150 * Luby's, Inc. 156,150 1,286,676 M/I Homes, Inc. 126,500 6,385,720 * Mace Security International, Inc. 26,700 70,747 * Madden (Steven), Ltd. 123,500 2,193,360 * Magic Lantern Group, Inc. 11,700 842 * Magna Entertainment Corp. 15,800 84,056 * Main Street Restaurant Group, Inc. 100,825 348,854 * Major Automotive Companies, Inc. 3,350 3,450 * # Manning (Greg) Auctions, Inc. 119,284 1,136,777 Marine Products Corp. 103,005 1,555,375 * MarineMax, Inc. 116,976 3,219,180 * Marisa Christina, Inc. 68,900 62,699 * Marlton Technologies, Inc. 52,900 42,849 * Max & Erma's Restaurants, Inc. 20,844 307,657 * Mayor's Jewelers, Inc. 160,400 91,428 McRae Industries, Inc. Class A 9,100 106,652 * Meade Instruments Corp. 138,060 381,046 * MediaBay, Inc. 2,500 1,350 * Mediacom Communications Corp. 32,496 197,576
16 * Merisel, Inc. 5 36 * Mestek, Inc. 115,650 2,975,674 * Michael Anthony Jewelers, Inc. 40 117,200 * Midas, Inc. 110,400 2,594,400 * Mikohn Gaming Corp. 155,125 1,956,126 * Mity Enterprises, Inc. 40,550 596,085 Monaco Coach Corp. 200,600 3,291,846 * Monarch Casino & Resort, Inc. 145,000 2,914,500 * Monro Muffler Brake, Inc. 83,397 2,240,877 * Morgan's Foods, Inc. 500 850 * Mossimo, Inc. 149,150 633,887 * Mothers Work, Inc. 35,000 477,050 * Motorcar Parts of America, Inc. 24,500 257,862 Movado Group, Inc. 185,800 3,132,588 * MTR Gaming Group, Inc. 197,581 2,027,181 * # Multimedia Games, Inc. 194,509 2,075,411 * Nathan's Famous, Inc. 52,600 436,001 * National RV Holdings, Inc. 102,650 910,505 * Nature Vision, Inc. 500 2,315 Nautilus Group, Inc. 89,050 2,383,868 * # Navarre Corp. 186,300 1,676,700 * Navigant International, Inc. 104,400 1,321,704 Nelson (Thomas), Inc. 126,800 2,948,100 * # Netflix, Inc. 301,042 4,301,890 * Nevada Gold & Casinos, Inc. 88,050 967,669 * New Frontier Media, Inc. 20,500 123,000 * Nitches, Inc. 11,213 50,346 * Nobel Learning Communities, Inc. 49,600 434,000 Nobility Homes, Inc. 43,800 1,098,942 Noble International, Ltd. 64,190 1,325,523 * NTN Communications, Inc. 363,891 793,282 * Nutri/System, Inc. 212,000 2,599,120 * O'Charleys, Inc. 150,075 2,786,893 * Odd Job Stores, Inc. 86,200 12,930 Ohio Art Co. 3,600 26,100 * One Price Clothing Stores, Inc. 19,114 14 * # Oneida, Ltd. 103,200 242,520 * Opinion Research Corp. 27,500 193,600 Orleans Homebuilders, Inc. 129,000 2,889,600 OshKosh B'Gosh, Inc. Class A 66,126 1,711,341 Oxford Industries, Inc. 114,500 4,094,520 * P & F Industries, Inc. Class A 600 9,750 * Palm Harbor Homes, Inc. 154,248 2,889,065 * Pantry, Inc. 140,533 5,437,222 * Papa John's International, Inc. 113,678 4,433,442 * Party City Corp. 118,927 1,590,054 * Paxson Communications Corp. 343,100 257,325 * Payless Cashways, Inc. 436 1 * PC Mall, Inc. 94,300 466,700 * # Pegasus Communications Corp. 56,640 355,416 * Perry Ellis International, Inc. 68,400 1,368,000 * PetMed Express, Inc. 161,806 1,142,350 Phillips-Van Heusen Corp. 87,200 2,702,328 * Phoenix Gold International, Inc. 3,600 1,980 * Pinnacle Entertainment, Inc. 276,900 4,826,367
17 * Playboy Enterprises, Inc. Class B 197,080 2,497,004 * Point.360 84,700 252,406 * Pomeroy IT Solutions, Inc. 105,149 1,323,826 # Pre-Paid Legal Services, Inc. 106,500 4,011,855 * PRIMEDIA, Inc. 78,404 286,175 * Princeton Review, Inc. 77,683 424,926 * Provide Commerce 83,890 1,938,698 * QEP Co., Inc. 15,000 155,700 Quaker Fabric Corp. 147,950 514,866 * # Quantum Fuel Systems Technologies Worldwide, Inc. 272,701 1,158,979 * R&B, Inc. 138,600 1,864,170 Raytech Corp. 51,695 80,127 * RC2 Corp. 138,561 4,993,738 * Reading International, Inc. Class A 142,163 946,806 * Reading International, Inc. Class B 10,140 65,910 * RedEnvelope, Inc. 8,351 83,092 * Regent Communications, Inc. 551,100 3,306,600 * Rentrak Corp. 104,800 1,053,240 * Rent-Way, Inc. 181,100 1,678,797 * Reptron Electronics, Inc. 2,178 3,049 * Restoration Hardware, Inc. 266,000 1,883,280 * Retail Ventures, Inc. 263,656 2,971,403 * Rex Stores Corp. 141,475 1,980,650 * Rexhall Industries, Inc. 26,800 4,958 * Riviera Holdings Corp. 66,300 1,342,575 * Rockford Corp. 57,300 149,553 * Rocky Shoes & Boots, Inc. 34,200 1,011,978 * Rubio's Restaurants, Inc. 68,500 626,775 Russ Berrie & Co., Inc. 141,800 1,844,818 Russell Corp. 225,800 4,222,460 * Ryan's Restaurant Group, Inc. 283,942 3,963,830 * S&K Famous Brands, Inc. 24,600 393,600 * Safety Components International, Inc. 1,180 16,461 * Saga Communications, Inc. Class A 126,441 1,744,886 * Salem Communications Corp. 140,802 2,558,372 * # Salton, Inc. 77,400 80,496 Saucony, Inc. Class A 55,300 1,100,470 Saucony, Inc. Class B 57,600 1,128,960 * Schieb (Earl), Inc. 71,500 241,312 * Select Comfort Corp. 176,503 4,289,023 * Sharper Image Corp. 107,300 1,426,017 * Shiloh Industries, Inc. 121,400 1,373,034 * Shoe Carnival, Inc. 123,800 2,269,254 * Shoe Pavilion, Inc. 5,700 27,018 * ShopKo Stores, Inc. 255,600 6,060,276 Sinclair Broadcast Group, Inc. Class A 163,831 1,443,351 * Six Flags, Inc. 640,400 2,824,164 * Skechers U.S.A., Inc. Class A 154,700 1,960,049 Skyline Corp. 34,800 1,360,680 * Smith & Wesson Holding Corp. 207,400 788,120 * Smith & Wollensky Restaurant Group, Inc. 52,300 328,967 Sonesta International Hotels Corp. Class A 400 12,800 * Source Interlink Companies, Inc. 221,474 2,159,371 * Southern Energy Homes, Inc. 120,525 705,071 * Spanish Broadcasting System, Inc. 273,371 2,364,659
18 * SPAR Group, Inc. 1,000 2,140 Spartan Motors, Inc. 92,900 997,746 * Sport Chalet, Inc. 56,500 824,900 * Sport Supply Group, Inc. 63,100 198,134 * Sport-Haley, Inc. 32,100 112,671 * Sportsman's Guide, Inc. 64,350 1,093,886 * Stage Stores, Inc. 96,718 3,776,838 * Stamps.com, Inc. 156,298 3,494,823 Standard Motor Products, Inc. 135,200 1,523,704 Stanley Furniture, Inc. 70,800 2,991,300 Star Buffet, Inc. 16,400 114,636 * Steak n Shake Co. 190,600 3,924,454 * Stein Mart, Inc. 53,206 1,280,136 * Steinway Musical Instruments, Inc. 79,000 2,237,280 Stewart Enterprises, Inc. 345,922 2,047,858 * Stoneridge, Inc. 170,700 1,334,874 * Strattec Security Corp. 40,900 2,070,767 Stride Rite Corp. 247,800 2,946,342 Sturm Ruger & Co., Inc. 185,700 1,511,598 * Sunterra Corp. 36,082 562,879 # Superior Industries International, Inc. 182,300 4,129,095 Superior Uniform Group, Inc. 86,600 1,199,410 Syms Corp. 143,200 1,873,056 * Systemax, Inc. 157,100 1,000,727 * Tag-It Pacific, Inc. 123,400 288,756 Tandy Brand Accessories, Inc. 56,777 746,050 * Tarrant Apparel Group 124,200 337,824 * TBC Corp. 180,300 4,603,059 * Tenneco Automotive, Inc. 299,400 4,491,000 * The Dress Barn, Inc. 209,026 3,783,371 The Hallwood Group, Inc. 2,653 225,187 The Marcus Corp. 145,800 3,211,974 * The Rowe Companies 120,268 464,234 * The Sports Authority, Inc. 173,400 5,548,800 * The Sports Club Co., Inc. 142,200 234,630 * # TiVo, Inc. 569,965 3,841,564 * Too, Inc. 79,331 1,577,100 * # Tower Automotive, Inc. 255,400 27,072 Traffix, Inc. 142,900 685,920 * Trans World Entertainment Corp. 218,126 2,835,638 * Transpro, Inc. 63,000 427,770 * # Tropical Sportswear International Corp. 160 2 * Tweeter Home Entertainment Group, Inc. 168,025 594,808 * # Ultimate Electronics, Inc. 2,190 153 * Unifi, Inc. 354,600 1,138,266 Unifirst Corp. 87,300 3,195,180 * United Retail Group, Inc. 118,000 818,920 * Universal Electronics, Inc. 97,200 1,621,296 * ValueVision Media, Inc. Class A 250,541 2,410,204 * Varsity Group, Inc. 44,925 270,448 * Vertrue, Inc. 66,950 2,530,710 * Virco Manufacturing Corp. 155,131 1,116,943 * Waxman Industries, Inc. Class B 975 6,947 Wellco Enterprises, Inc. 10,600 139,231 * Wells-Gardner Electronics Corp. 58,141 197,679
19 * West Marine, Inc. 142,100 2,357,439 * Westcoast Hospitality Corp. 118,800 818,532 * # Wet Seal, Inc. Class A 239,364 1,019,691 Weyco Group, Inc. 6,600 126,522 * Whitehall Jewelers, Inc. 153,200 1,110,700 * Wickes, Inc. 37,100 111 * # William Lyon Homes, Inc. 48,800 4,392,000 * Wilsons The Leather Experts, Inc. 265,220 1,556,841 * Winmark Corp. 51,900 1,128,825 * Worldwide Restaurant Concepts, Inc. 245,424 1,573,168 * Young Broadcasting, Inc. Class A 121,796 701,545 * Zapata Corp. 106,880 691,514 ---------------- Total Consumer Discretionary (Cost $453,443,829) 595,167,056 ---------------- Health Care -- (15.7%) * A.D.A.M., Inc. 5,100 29,019 * # aaiPharma, Inc. 154,500 43,260 * Abaxis, Inc. 146,800 1,534,060 * Abgenix, Inc. 107,537 774,266 * Abiomed, Inc. 154,338 1,446,147 * # Able Laboratories, Inc. 127,130 542,845 * # Acacia Research-CombiMatrix 178,551 514,227 * Accelr8 Technology Corp. 10,362 25,076 * Accelrys, Inc. 220,300 1,163,184 * Access Pharmaceuticals, Inc. 107,100 254,898 * Adolor Corp. 273,636 2,615,960 * # Advanced Magnetics, Inc. 64,200 574,590 * Advanced Neuromodulation Systems, Inc. 141,135 5,018,761 * Advancis Pharmaceutical Corp. 28,597 127,543 * # ADVENTRX Pharmaceuticals, Inc. 65,000 139,100 * Air Methods Corp. 76,100 515,958 * # Aksys, Ltd. 200,537 601,611 * Albany Molecular Research, Inc. 218,340 2,600,429 * Alexion Pharmaceuticals, Inc. 195,572 4,449,263 * Align Technology, Inc. 229,365 1,667,484 * Alliance Imaging, Inc. 344,500 3,455,335 * Allied Healthcare International, Inc. 149,500 1,034,540 * Allied Healthcare Products, Inc. 65,800 340,186 * Allos Therapeutics, Inc. 212,027 445,257 * Allscripts Healthcare Solutions, Inc. 273,600 4,476,096 * Almost Family, Inc. 11,500 136,620 Alpharma, Inc. Class A 63,000 810,810 * Alteon, Inc. 231,200 171,088 * Amedisys, Inc. 107,547 3,248,995 * America Services Group, Inc. 74,450 1,465,920 * American Claims Evaluation, Inc. 3,100 5,549 * American Dental Partners, Inc. 57,700 1,386,531 * American Retirement Corp. 214,900 2,941,981 American Shared Hospital Services 26,800 160,800 * AMICAS, Inc. 315,800 1,345,308 * AMN Healthcare Services, Inc. 201,200 2,905,328 * Amsurg Corp. 66,946 1,804,878 Analogic Corp. 92,609 3,934,956 * Angeion Corp. 1,294 3,093
20 * AngioDynamics, Inc. 74,011 1,462,457 * Anika Therapeutics, Inc. 72,200 1,092,386 * # Antigenics, Inc. 318,678 2,135,143 * AP Pharma, Inc. 193,400 309,440 * # Aphton Corp. 253,216 174,719 * Applied Imaging Corp. 10,350 14,697 * Aradigm Corp. 152,941 165,176 * Arena Pharmaceuticals, Inc. 246,402 1,687,854 * Argonaut Technologies, Inc. 57,648 54,189 * Ariad Pharmaceuticals, Inc. 369,802 2,229,906 * Arqule, Inc. 239,972 1,571,817 * Array BioPharma, Inc. 264,115 1,648,078 # Arrhythmia Research Technology, Inc. 17,575 314,592 * Arthrocare Corp. 131,761 4,247,975 * Aspect Medical Systems, Inc. 143,287 4,608,110 * # AtheroGenics, Inc. 106,366 1,515,715 Atrion Corp. 15,400 1,006,390 * ATS Medical, Inc. 55,840 181,480 * AVANIR Pharmaceuticals Class A 737,700 1,829,496 * Avant Immunotherapeutics, Inc. 408,574 580,175 * # AVI BioPharma, Inc. 308,970 729,169 * Avigen, Inc. 140,300 419,497 * # AXM Pharma, Inc. 105,600 189,024 * Axonyx, Inc. 1,200 1,548 * Bentley Pharmaceuticals, Inc. 144,850 1,577,416 * Beverly Enterprises, Inc. 142,200 1,759,014 * Bioanalytical Systems, Inc. 8,700 55,245 * BioCryst Pharmaceuticals, Inc. 179,700 837,402 * Bioenvision, Inc. 262,648 1,712,465 * Bio-Imaging Technologies, Inc. 76,291 230,399 # BioLase Technology, Inc. 156,852 1,107,375 * Bio-Logic Systems Corp. 64,200 384,532 * BioMarin Pharmaceutical, Inc. 449,046 3,053,513 * Bio-Reference Laboratories, Inc. 87,457 1,285,618 * BioSante Pharmaceuticals, Inc. 131,200 485,440 * BioScrip, Inc. 280,048 1,464,651 * Biosource International, Inc. 98,100 996,696 * Biospecifics Technologies Corp. 39,000 42,900 * BioSphere Medical, Inc. 100,842 474,966 * BioTime, Inc. 11,000 6,600 * Bone Care International, Inc. 137,676 4,507,512 * # Bradley Pharmaceuticals, Inc. 106,349 1,064,553 * # BriteSmile, Inc. 4,700 16,450 * Bruker BioSciences Corp. 608,991 2,557,762 * Caliper Life Sciences, Inc. 213,452 1,314,864 * # CancerVax Corp. 189,500 564,710 * Candela Corp. 180,702 1,848,581 * Cantel Medical Corp. 104,634 3,212,264 * Capital Senior Living Corp. 204,900 1,241,694 * Caprius, Inc. 100 300 * Caraco Pharmaceutical Laboratories, Ltd. 171,550 1,231,729 * Cardiac Sciences, Inc. 401,781 393,745 * CardioDynamics International Corp. 326,305 724,397 * # Cardiotech International, Inc. 120,460 225,260 * CareCentric, Inc. 33,815 50,722
21 * # Cell Genesys, Inc. 317,569 1,845,076 * # Cell Therapeutics, Inc. 435,179 1,292,482 * # Cellegy Pharmaceuticals, Inc. 178,700 321,660 * Cepheid, Inc. 291,395 2,651,694 * Cerus Corp. 153,231 626,715 * Chad Therapeutics, Inc. 9,300 37,851 * Cholestech Corp. 114,500 1,047,675 * Ciphergen Biosystems, Inc. 199,606 411,188 * Clarient, Inc. 44,200 62,764 Clinical Data, Inc. 5,890 102,486 * Closure Medical Corp. 107,165 2,890,240 CNS, Inc. 140,800 2,956,800 * Coast Dental Services, Inc. 19,133 68,879 * Collagenex Pharmaceuticals, Inc. 99,300 489,549 * Columbia Laboratories, Inc. 266,763 693,584 * Compex Technologies, Inc. 100,400 377,504 Computer Programs & Systems, Inc. 91,493 3,099,783 * Conceptus, Inc. 209,981 1,119,199 * Corautus Genetics, Inc. 3,614 14,275 * Corgentech, Inc. 40,765 97,836 * Corixa Corp. 492,659 2,093,801 * Cortex Pharmaceuticals, Inc. 29,500 69,030 * Corvel Corp. 18,600 493,644 * Cotherix, Inc. 110,900 1,009,190 * Critical Therapeutics, Inc. 47,925 280,840 * Criticare Systems, Inc. 80,200 372,128 * Cross Country Healthcare, Inc. 222,281 3,767,663 * # CryoLife, Inc. 164,250 1,190,812 * Cubist Pharmaceuticals, Inc. 372,614 3,729,866 * CuraGen Corp. 346,831 1,484,437 * Curative Health Services, Inc. 115,100 295,807 * Curis, Inc. 330,332 1,308,115 * CV Therapeutics, Inc. 203,028 4,105,226 * Cyberonics, Inc. 62,939 2,296,644 * Cygnus, Inc. 600 78 * Cypress Bioscience, Inc. 209,816 2,549,264 * # Cytogen Corp. 106,845 579,100 * # CytRx Corp. 6,400 5,440 D&K Healthcare Resources, Inc. 103,900 847,824 Datascope Corp. 103,062 3,137,207 * Daxor Corp. 46,300 953,780 * Del Global Technologies Corp. 78,521 221,037 * Dendreon Corp. 414,361 2,191,970 * Dendrite International, Inc. 297,685 4,614,117 * DepoMed, Inc. 304,150 1,344,343 * Digene Corp. 137,903 3,469,639 * # Digital Angel Corp. 303,800 1,190,896 * Discovery Laboratories, Inc. 184,050 1,297,552 * Discovery Partners International, Inc. 180,792 533,336 * Diversa Corp. 307,900 1,539,500 * DJ Orthopedics, Inc. 151,900 4,215,225 * DOV Pharmaceutical, Inc. 154,023 2,325,747 * # Durect Corp. 362,729 1,302,197 * DUSA Pharmaceuticals, Inc. 115,635 1,293,956 * Dyax Corp. 217,901 1,013,240
22 * # Dynacq Healthcare, Inc. 67,234 316,672 * # Elite Pharmaceuticals, Inc. 145,900 437,700 * Embrex, Inc. 120,100 1,347,522 * Emeritus Corp. 145,800 1,924,560 * Emisphere Technologies, Inc. 134,447 521,654 * Encore Medical Corp. 360,277 1,830,207 * Encysive Pharmaceuticals, Inc. 400,394 4,084,019 * # Endocare, Inc. 71,300 221,386 * Endologix, Inc. 220,108 957,470 * Enpath Medical, Inc. 11,807 78,753 * Entremed, Inc. 298,116 795,970 * Enzo Biochem, Inc. 224,663 3,430,604 * EP Medsystems, Inc. 193,300 502,580 * # Epimmune, Inc. 59,070 51,804 * EPIX Pharmaceuticals, Inc. 160,231 1,270,632 * eResearch Technology, Inc. 256,893 3,144,370 * Ergo Science Corp. 36,350 99,962 * Exact Sciences Corp. 180,592 523,717 * Exactech, Inc. 76,400 1,023,760 * Exelixis, Inc. 525,485 3,688,905 E-Z-EM, Inc. 86,424 1,272,161 * First Horizon Pharmaceutical Corp. 248,976 4,680,749 * Fischer Imaging Corp. 60,600 168,468 * Five Star Quality Care, Inc. 84,350 575,267 * Genaera Corp. 178,100 357,981 * Genaissance Pharmaceuticals, Inc. 166,339 151,368 * Gene Logic, Inc. 254,260 856,856 * Genesis HealthCare Corp. 120,003 5,218,930 * Genta, Inc. 130,100 144,411 * Gentiva Health Services, Inc. 56,587 899,167 * GenVec, Inc. 310,509 574,442 * Geron Corp. 376,504 3,012,032 * GTC Biotherapeutics, Inc. 145,853 195,443 * Guilford Pharmaceuticals, Inc. 315,527 795,128 * Hanger Orthopedic Group, Inc. 178,800 911,880 * Harvard Bioscience, Inc. 206,335 664,399 * HealthAxis, Inc. 5,710 10,849 * HealthExtras, Inc. 258,314 4,427,502 * HealthStream, Inc. 14,400 43,056 * HealthTronics Surgical Services, Inc. 231,605 2,939,067 * # Hemispherx Biopharma, Inc. 262,700 420,320 * Hi-Tech Pharmacal, Inc. 57,150 1,717,929 * HMS Holdings Corp. 167,500 1,038,500 * # Hollis-Eden Pharmaceuticals, Inc. 133,092 1,129,951 * Hologic, Inc. 191,700 7,056,477 Hooper Holmes, Inc. 518,200 2,072,800 * Horizon Health Corp. 47,775 2,094,934 * ICU Medical, Inc. 102,525 3,380,249 * I-Flow Corp. 153,840 2,513,746 * IGI, Inc. 16,400 20,500 * Illumina, Inc. 262,761 2,758,990 * # Immtech International, Inc. 75,900 965,448 * Immunicon Corp. 5,100 21,981 * ImmunoGen, Inc. 281,854 1,679,850 * # Immunomedics, Inc. 373,056 671,501
23 * Impath, Inc. 70,200 311,688 * # Implant Sciences Corp. 59,000 167,560 * Incyte Corp. 571,473 4,360,339 * Indevus Pharmaceuticals, Inc. 318,711 1,093,179 * Inhibitex, Inc. 97,500 662,025 * InKine Pharmaceutical Co., Inc. 9,500 21,660 * Innovative Clinical Solutions, Ltd. 610 2 * # Insite Vision, Inc. 179,500 113,085 * # Insmed, Inc. 201,082 255,374 * Inspire Pharmaceuticals, Inc. 290,270 1,886,755 * IntegraMed America, Inc. 19,600 204,820 * Interferon Scientific, Inc. 5,495 714 * Intermagnetics General Corp. 229,372 6,621,970 * InterMune, Inc. 224,789 2,699,716 * # Interpharm Holdings, Inc. 139,900 181,870 * IntraBiotics Pharmaceuticals, Inc. 50,457 174,077 * # Introgen Therapeutics, Inc. 212,133 1,514,630 * Inverness Medical Innovations, Inc. 2,955 83,626 * Iomed, Inc. 45,400 95,340 * Iridex Corp. 56,300 337,800 * IRIS International, Inc. 112,450 2,148,919 * Isis Pharmaceuticals, Inc. 383,746 1,404,510 * # Isolagen, Inc. 213,600 869,352 * Ista Pharmaceuticals, Inc. 177,651 1,406,996 * # I-Trax, Inc. 128,200 198,710 * IVAX Diagnostics, Inc. 4,400 20,680 * iVow, Inc. 19,950 8,977 * Kendle International, Inc. 98,600 1,136,858 * # Kensey Nash Corp. 122,700 3,337,440 * # Kera Vision, Inc. 17,800 12 * Keryx Biopharmaceuticals, Inc. 142,148 1,739,892 Kewaunee Scientific Corp. 19,400 155,006 * Kosan Biosciences, Inc. 233,902 1,106,356 * La Jolla Pharmaceutical Co. 327,850 265,558 * LabOne, Inc. 118,342 4,560,901 * Lannet Co., Inc. 158,870 794,350 * # Large Scale Biology Corp. 15,160 12,431 * Laserscope 147,809 5,089,064 LCA-Vision, Inc. 139,849 6,178,529 Lectec Corp. 25,637 35,892 * Lexicon Genetics, Inc. 558,005 2,700,744 * Lifecell Corp. 201,740 2,675,072 * Lifecore Biomedical, Inc. 116,800 1,490,368 * Lifeline Systems, Inc. 74,000 2,409,440 * Ligand Pharmaceuticals, Inc. Class B 39,100 228,344 * # Lipid Sciences, Inc. 171,900 907,632 * Luminex Corp. 215,121 2,142,605 * Matria Healthcare, Inc. 134,812 3,840,794 * # Matritech, Inc. 257,800 211,396 * Matrixx Initiatives, Inc. 91,900 968,626 * Maxim Pharmaceuticals, Inc. 174,994 265,991 * Maxygen, Inc. 237,902 1,862,773 * Medarex, Inc. 76,722 581,553 * MedCath Corp. 125,423 3,249,710 * # Med-Design Corp. 65,920 44,826
24 * Medical Action Industries, Inc. 89,200 1,581,516 * Medical Staffing Network Holdings, Inc. 207,000 1,124,010 * Medicore, Inc. 45,000 535,500 * MEDTOX Scientific, Inc. 32,372 194,232 * Memory Pharmaceuticals Corp. 1,400 3,472 * Memry Corp. 26,800 42,880 * Merge Technologies, Inc. 91,255 1,587,837 Meridian Bioscience, Inc. 139,300 2,542,225 * Merit Medical Systems, Inc. 204,306 2,988,997 Mesa Laboratories, Inc. 27,800 346,944 * Metropolitan Health Networks, Inc. 208,500 540,015 * Micro Therapeutics, Inc. 292,879 1,171,516 * Microtek Medical Holdings, Inc. 375,445 1,321,566 * # Milestone Scientific, Inc. 27,100 63,685 * Molecular Devices Corp. 131,366 2,537,991 * Myogen, Inc. 27,719 183,500 * Myriad Genetics, Inc. 212,155 3,492,071 * Nabi Biopharmaceuticals 87,341 1,073,421 * # Nanogen, Inc. 323,567 1,320,153 * # Nastech Pharmaceutical Co., Inc. 123,746 1,503,514 * National Dentex Corp. 41,100 770,625 National Home Health Care Corp. 24,566 325,991 * National Medical Health Card Systems, Inc. 32,221 741,727 National Research Corp. 52,200 742,806 * Natus Medical, Inc. 120,232 1,214,343 NDCHealth Corp. 248,800 4,169,888 * Neogen Corp. 71,525 1,041,476 * Neopharm, Inc. 162,342 1,592,575 * # NeoRx Corp. 200 114 * Neose Technologies, Inc. 168,347 442,753 * Neurobiological Technologies, Inc. 14,600 48,472 * Neurogen Corp. 285,332 1,928,844 * New Brunswick Scientific Co., Inc. 75,600 404,460 * NMT Medical, Inc. 90,000 787,500 * North American Scientific, Inc. 105,700 317,100 * Northfield Laboratories, Inc. 184,582 2,410,641 * NovaMed, Inc. 148,726 920,614 * # Novavax, Inc. 268,739 368,172 * Noven Pharmaceuticals, Inc. 162,211 2,919,798 * Novoste Corp. 77,899 64,656 * NPS Pharmaceuticals, Inc. 224,764 2,600,519 * Nutraceutical International Corp. 79,910 1,054,013 * # Nutrition 21, Inc. 5,085 4,932 * NuVasive, Inc. 26,302 412,941 * Nuvelo, Inc. 289,896 2,151,028 NWH, Inc. 14,700 220,500 * # OCA, Inc. 340,700 1,396,870 * Odyssey Healthcare, Inc. 247,333 3,279,636 * Omnicell, Inc. 176,308 1,146,002 * Optical Sensors, Inc. 1,133 2,606 # Option Care, Inc. 220,713 2,935,483 * OraSure Technologies, Inc. 313,292 2,603,457 * Orchid Biosciences, Inc. 165,841 1,611,975 * Orphan Medical, Inc. 84,635 900,516 * Orthologic Corp. 304,100 1,234,646
25 * Oscient Pharmaceutical Corp. 488,624 806,230 * Osteotech, Inc. 151,125 436,751 * # Oxigene, Inc. 138,400 635,256 * Pain Therapeutics, Inc. 301,359 1,582,135 * PainCare Holdings, Inc. 308,200 1,263,620 * Palatin Technologies, Inc. 1,937 3,913 * Palomar Medical Technologies, Inc. 115,271 2,633,942 * Parexel International Corp. 180,924 3,301,863 * Patient Infosystems, Inc. 408 2,326 * PDI, Inc. 101,694 1,220,328 * Pediatric Services of America, Inc. 51,200 675,328 * Penwest Pharmaceuticals Co. 149,334 1,803,955 * Per-Se Technologies, Inc. 208,419 3,953,708 * Pharmacopia Drug Discovery, Inc. 103,050 498,762 * Pharmacyclics, Inc. 134,287 1,076,982 * # Pharmanetics, Inc. 50,300 13,832 * # PhotoMedex, Inc. 236,908 506,983 * Physiometrix, Inc. 13,900 10,008 * Point Therapeutics, Inc. 5,640 26,113 * Possis Medical, Inc. 159,600 1,680,588 * Pozen, Inc. 196,654 1,449,340 * PRAECIS Pharmaceuticals, Inc. 263,347 173,809 * # Premier Laser Systems, Inc. Class A 16,400 7 * Progenics Pharmaceuticals, Inc. 133,068 2,661,360 * ProxyMed, Inc. 26,939 171,601 * PSS World Medical, Inc. 322,568 3,786,948 Psychemedics Corp. 49,039 711,065 * Psychiatric Solutions, Inc. 79,289 3,246,885 * Pure World, Inc. 66,630 131,927 * QuadraMed Corp. 197,437 302,079 * Questcor Pharmaceuticals, Inc. 124,400 74,640 * Quidel Corp. 256,200 1,122,156 * Quigley Corp. 64,395 569,896 * Quinton Cardiology Systems, Inc. 94,068 751,603 * Radiation Therapy Services, Inc. 33,266 688,606 * Radiologix, Inc. 176,100 692,073 * Regeneration Technologies, Inc. 184,493 1,241,638 * Regeneron Pharmaceuticals, Inc. 373,358 2,326,020 * RehabCare Group, Inc. 114,900 3,193,071 * Repligen Corp. 250,400 573,416 * Res-Care, Inc. 107,702 1,435,668 * Rigel Pharmaceuticals, Inc. 75,326 1,347,582 * Rita Medical Systems, Inc. 285,694 759,946 * Rochester Medical Corp. 48,400 501,424 * Rural/Metro Corp. 110,300 828,243 * Sangamo BioSciences, Inc. 174,932 655,995 * Santarus, Inc. 14,724 43,730 * Savient Pharmaceuticals, Inc. 254,600 855,456 * Schick Technologies, Inc. 47,200 901,520 * Sciclone Pharmaceuticals, Inc. 351,550 875,360 * Seattle Genetics, Inc. 287,621 1,389,209 * # Senesco Technologies, Inc. 38,500 83,930 * Sequenom, Inc. 148,580 141,151 * SeraCare Life Sciences, Inc. 21,120 285,754 * Serologicals Corp. 189,506 4,072,484
26 * SFBC International, Inc. 125,839 4,405,623 * # Sirna Therapeutics, Inc. 272,090 598,598 * Sonic Innovations, Inc. 143,885 625,900 * SonoSite, Inc. 106,070 3,256,349 * # Sonus Pharmaceuticals, Inc. 145,200 470,448 Span-American Medical System, Inc. 36,600 376,980 * Specialty Laboratories, Inc. 159,300 1,309,446 * Spectranetics Corp. 226,102 1,291,042 * # Spectrum Pharmaceuticals, Inc. 105,751 550,963 * SRI/Surgical Express, Inc. 38,400 174,144 * Staar Surgical Co. 142,775 561,106 * # StemCells, Inc. 17,500 72,625 * Stratagene Corp. 51,244 439,161 * Strategic Diagnostics, Inc. 161,000 452,410 * Sun Healthcare Group, Inc. 103,717 726,019 * Suncoast Naturals, Inc. 2,699 305 * SunLink Health Systems, Inc. 33,465 270,732 * SuperGen, Inc. 352,878 1,774,976 * SurModics, Inc. 123,538 4,869,868 * Symbion, Inc. 11,436 269,890 * Synovis Life Technologies, Inc. 88,200 674,730 * Synthetech, Inc. 114,050 68,772 * Tanox, Inc. 307,384 3,043,102 * Theragenics Corp. 206,100 706,923 * Third Wave Technologies, Inc. 283,912 1,067,509 * Thoratec Corp. 331,539 4,953,193 * Titan Pharmaceuticals, Inc. 219,900 472,785 * TLC Vision Corp. 126,365 1,093,057 * Transgenomic, Inc. 11,569 7,867 * Transkaryotic Therapies, Inc. 9,234 313,864 * # Trestle Holdings, Inc. 3,440 5,504 * Trimeris, Inc. 150,449 1,527,057 * TriPath Imaging, Inc. 258,753 2,222,688 * Tripos, Inc. 47,600 171,360 * TriZetto Group, Inc. 313,537 4,351,894 * # U.S. Diagnostic, Inc. 26,100 0 * U.S. Physical Therapy, Inc. 84,573 1,355,705 * Urologix, Inc. 97,600 426,512 # Utah Medical Products, Inc. 53,100 1,155,456 * V.I. Technologies, Inc. 23,709 69,942 * # Vascular Solutions, Inc. 99,497 1,191,974 * Vaxgen, Inc. 129,700 1,289,218 * Ventiv Health, Inc. 177,366 3,600,530 * Vical, Inc. 120,967 459,675 * Virbac Corp. 29,500 96,613 * Virologic, Inc. 504,897 1,378,369 * # ViroPharma, Inc. 178,987 778,593 * Vision-Sciences, Inc. 23,250 62,543 * VistaCare, Inc. 26,110 465,802 * Vital Images, Inc. 82,460 1,471,911 Vital Signs, Inc. 91,700 3,866,989 * Vivus, Inc. 299,642 713,148 West Pharmaceutical Services, Inc. 173,800 4,838,592 * Wilson Greatbatch Technologies, Inc. 148,800 3,577,152 * Zevex International, Inc. 26,500 108,783
27 * Zila, Inc. 311,597 903,631 * Zoll Medical Corp. 65,129 1,546,162 * ZymeTx, Inc. 2,400 132 ---------------- Total Health Care (Cost $520,751,981) 550,805,028 ---------------- Industrials -- (15.3%) * 3-D Systems Corp. 110,010 2,332,212 * AAON, Inc. 141,725 2,536,878 * AAR Corp. 222,637 3,571,097 * Ablest, Inc. 13,500 93,420 Abrams Industries, Inc. 17,100 90,117 Aceto Corp. 194,062 1,410,831 * ACT Manufacturing, Inc. 200 2 * Active Power, Inc. 337,559 904,658 Administaff, Inc. 175,900 3,757,224 * Aerosonic Corp. 33,100 171,127 * AirNet Systems, Inc. 96,100 479,539 * # Akorn, Inc. 202,000 593,880 Alamo Group, Inc. 70,700 1,442,280 * Allied Defense Group, Inc. 48,640 1,159,578 * Allied Holdings, Inc. 73,100 80,410 Ambassadors International, Inc. 70,300 901,246 * # America West Holdings Corp. Class B 247,200 1,384,320 American Ecology Corp. 116,498 1,474,865 * American Locker Group, Inc. 32,200 148,442 * American Science & Engineering, Inc. 61,500 2,343,765 * American Superconductor Corp. 223,631 1,979,134 American Woodmark Corp. 129,320 4,346,445 Ameron International Corp. 58,100 1,917,300 * AML Communications, Inc. 61,500 65,805 Ampco-Pittsburgh Corp. 81,300 937,389 Amrep Corp. 63,610 1,380,973 Angelica Corp. 49,300 1,304,971 * APAC Customer Services, Inc. 362,319 347,826 Apogee Enterprises, Inc. 241,900 3,384,181 Applied Industrial Technologies, Inc. 97,950 2,981,598 Applied Signal Technologies, Inc. 94,700 1,657,250 * ARGON ST, Inc. 132,988 4,565,478 * # Armstrong Holdings, Inc. 27,400 84,118 * # Arotech Corp. 54,400 57,664 * Artesyn Technologies, Inc. 219,200 1,804,016 * Art's-Way Manufacturing Co., Inc. 100 627 * Astec Industries, Inc. 137,783 3,021,581 * Astronics Corp. 50,436 406,010 * # AstroPower, Inc. 14,986 15 * ASV, Inc. 93,750 3,403,125 * # ATA Holdings Corp. 152,600 137,340 * Ault, Inc. 40,100 99,849 * Avalon Holding Corp. Class A 15,475 75,673 * Axsys Technologies, Inc. 74,400 1,267,776 * AZZ, Inc. 59,726 956,213 Badger Meter, Inc. 129,000 4,852,980 * Baker (Michael) Corp. 61,614 1,063,458 * Baker (Michael) Corp. Class B 15,400 265,804
28 * Baldwin Technology Co., Inc. Class A 131,900 395,700 Barnes Group, Inc. 160,872 4,935,553 * Barrett Business Services, Inc. 92,700 1,340,442 * BE Aerospace, Inc. 392,614 5,681,125 * # BOLDER Technologies Corp. 40,300 204 Bowne & Co., Inc. 239,968 3,179,576 * BTU International, Inc. 78,200 296,378 * Butler International, Inc. 69,690 229,979 C&D Technologies, Inc. 180,000 1,317,600 * Cannon Express, Inc. 50 0 * Capstone Turbine Corp. 36,037 36,037 Cascade Corp. 116,650 4,108,413 * Casella Waste Systems, Inc. Class A 167,005 1,905,527 * Catalytica Energy Systems, Inc. 58,500 115,245 * CD&L, Inc. 13,100 24,890 CDI Corp. 137,970 2,944,280 * Celadon Group, Inc. 74,800 1,353,880 Central Parking Corp. 256,232 4,330,321 * Century Business Services, Inc. 365,976 1,467,564 * Cenveo, Inc. 337,500 2,828,250 * Ceradyne, Inc. 171,451 3,958,804 CERBCO, Inc. Class A 3,500 34,563 Champion Industries, Inc. 92,800 389,760 * Channell Commercial Corp. 21,100 127,022 Chase Corp. 24,200 340,736 Chicago Rivet & Machine Co. 20,000 595,600 CIRCOR International, Inc. 109,311 2,705,447 * Clean Harbors, Inc. 103,200 2,141,400 * CNE Group, Inc. 2,900 464 * Coinstar, Inc. 183,722 3,479,695 Collins Industries, Inc. 65,725 328,625 * Columbus McKinnon Corp. 116,300 1,097,872 * Comforce Corp. 108,466 210,424 * Comfort Systems USA, Inc. 336,100 2,114,069 * Compudyne Corp. 56,171 339,835 CompX International, Inc. 9,500 137,275 * Conrad Industries, Inc. 18,700 24,404 * Consolidated Graphics, Inc. 94,500 4,000,185 * # Continental Airlines, Inc. 296,400 4,108,104 * Cornell Companies, Inc. 100,200 1,286,568 * Correctional Services Corp. 114,441 330,723 * Corrpro Companies, Inc. 42,775 34,220 * CoStar Group, Inc. 50,700 2,037,126 * Covenant Transport, Inc. Class A 91,000 1,263,080 * CPI Aerostructures, Inc. 36,333 338,987 * CRA International, Inc. 48,100 2,741,219 * Cross (A.T.) Co. Class A 130,300 655,409 * Crown Andersen, Inc. 11,600 11,890 Cubic Corp. 186,050 3,274,480 * # Delta Air Lines, Inc. 176,600 679,910 * DHB Industries, Inc. 317,400 2,494,764 * DiamondCluster International, Inc. 238,934 3,125,257 * Distributed Energy Systems Corp. 247,261 820,907 * Dollar Thrifty Automotive Group, Inc. 155,500 5,596,445 * Driver-Harris Co. 9,898 1
29 * Ducommun, Inc. 93,900 1,544,655 * Duratek, Inc. 124,000 2,719,320 * Dynamex, Inc. 78,551 1,413,132 * # Dynamic Materials Corp. 14,700 643,860 Eastern Co. 33,900 748,851 Ecology & Environment, Inc. Class A 13,900 90,350 EDO Corp. 141,000 4,014,270 * Electro Rent Corp. 175,438 2,061,397 ElkCorp 136,500 4,504,500 * EMCOR Group, Inc. 101,700 4,830,750 * Encore Wire Corp. 219,225 2,411,475 * # Energy Conversion Devices, Inc. 178,304 3,437,701 * ENGlobal Corp. 11,600 42,108 Ennis, Inc. 222,300 3,532,347 * EnPro Industries, Inc. 142,000 3,843,940 * Environmental Tectonics Corp. 59,500 323,085 Espey Manufacturing & Electronics Corp. 20,500 550,425 * Essex Corp. 36,566 683,784 * Esterline Technologies Corp. 83,700 3,255,930 * Evercel, Inc. 2,566 2,566 * Evergreen Solar, Inc. 420,200 2,122,010 * Exponent, Inc. 69,800 1,728,946 * ExpressJet Holdings, Inc. 373,900 3,226,757 * EXX, Inc. Class A 1,900 3,572 * EXX, Inc. Class B 100 180 Federal Signal Corp. 28,300 442,329 * Fiberstars, Inc. 51,209 483,925 * First Aviation Services, Inc. 1,700 6,970 * First Consulting Group, Inc. 168,234 871,452 * Flanders Corp. 251,600 2,508,452 * # Flow International Corp. 151,900 987,350 * # FLYi, Inc. 158,993 120,835 * Foster (L.B.) Co. Class A 120,700 1,086,300 * Frontier Airlines, Inc. 271,066 3,309,716 * Frozen Food Express Industries, Inc. 161,875 1,740,156 * # FuelCell Energy, Inc. 327,490 2,665,769 * Gardner Denver Machinery, Inc. 110,112 4,222,795 * Gehl Co. 49,800 1,493,402 Gencorp, Inc. 4,400 83,160 * General Binding Corp. 40,700 842,083 * General Cable Corp. 273,500 3,831,735 * General Employment Enterprises, Inc. 17,700 23,187 * Genesee & Wyoming, Inc. 167,250 4,672,965 Gevity HR, Inc. 187,200 3,210,480 * Global Payment Technologies, Inc. 52,900 238,050 * Global Power Equipment Group, Inc. 323,700 2,479,542 Gorman-Rupp Co. 68,250 1,385,475 * GP Strategies Corp. 127,100 902,410 * Graftech International, Ltd. 4,500 19,800 Graham Corp. 12,350 249,717 Greenbrier Companies, Inc. 126,600 3,509,352 * Griffon Corp. 211,150 4,208,220 Hardinge, Inc. 83,500 1,354,203 * Hawaiian Holdings, Inc. 588,481 3,142,489 * Hawk Corp. 64,400 720,636
30 Healthcare Services Group, Inc. 236,100 4,415,070 Heico Corp. 69,600 1,468,560 Heico Corp. Class A 95,885 1,609,909 * Heidrick & Struggles International, Inc. 133,511 3,352,461 * Herley Industries, Inc. 107,850 1,888,454 * Hexcel Corp. 83,200 1,359,488 * Hirsch International Corp. Class A 4,550 4,550 * Hi-Shear Technology Corp. 45,350 165,074 * Hub Group, Inc. Class A 134,112 3,685,398 * Hudson Highland Group, Inc. 26,375 422,264 * Hudson Technologies, Inc. 27,384 25,193 * Hurco Companies, Inc. 48,800 849,608 * Huttig Building Products, Inc. 33,500 365,485 * ICT Group, Inc. 91,700 851,893 * II-VI, Inc. 228,104 3,756,873 * Imagistics International, Inc. 62,200 1,675,668 * Industrial Distribution Group, Inc. 81,400 715,506 * Infrasource Services, Inc. 22,800 250,800 * Innotrac Corp. 156,400 1,327,836 * Innovative Solutions & Support, Inc. 23,900 827,896 * Insituform Technologies, Inc. Class A 179,160 2,658,734 * # Integrated Electrical Services, Inc. 278,800 423,776 International Aluminum Corp. 18,500 638,250 * International Shipholding Corp. 51,200 747,520 Interpool, Inc. 114,300 2,482,596 * # Ionatron, Inc. 133,700 1,189,930 * Jacuzzi Brands, Inc. 496,922 5,073,574 * JPS Industries, Inc. 24,500 117,600 * Kadant, Inc. 95,800 1,963,900 Kaman Corp. Class A 147,899 2,287,998 * Keith Companies, Inc. 18,300 387,045 * Key Technology, Inc. 36,000 396,000 * Kforce, Inc. 273,676 2,200,355 * Korn/Ferry International 275,900 4,375,774 * K-Tron International, Inc. 55,500 1,587,300 * KVH Industries, Inc. 99,800 927,142 * LaBarge, Inc. 211,950 3,007,571 * Labor Ready, Inc. 277,100 5,719,344 * Ladish Co., Inc. 115,500 1,282,050 * Lancer Corp. 94,525 1,635,283 Lawson Products, Inc. 4,900 209,720 * Layne Christensen Co. 159,000 2,750,700 * Learning Tree International, Inc. 116,895 1,504,439 Lindsay Manufacturer Co. 81,300 1,626,813 * LMI Aerospace, Inc. 3,700 16,739 LSI Industries, Inc. 260,130 3,535,167 * Lydall, Inc. 141,300 1,164,312 * Lynch Corp. 29,500 271,400 * Mac-Gray Corp. 116,200 1,013,264 * Magnetek, Inc. 208,000 459,680 * MAIR Holdings, Inc. 135,529 1,292,947 * Marten Transport, Ltd. 118,800 2,329,668 * Mastec, Inc. 335,500 2,838,330 * Maxco, Inc. 18,800 82,175 McGrath Rentcorp. 167,806 3,867,928
31 * # MCSi, Inc. 2,000 0 * Meadow Valley Corp. 22,900 120,912 * # Medialink Worldwide, Inc. 49,800 156,870 Mercury Air Group, Inc. 33,508 115,938 * Mercury Computer Systems, Inc. 145,518 4,205,470 * Merrimac Industries, Inc. 14,265 126,959 * # Mesa Air Group, Inc. 331,800 2,116,884 Met-Pro Corp. 146,886 2,116,627 * MFRI, Inc. 31,800 246,736 * # Microvision, Inc. 146,741 949,414 Middleby Corp. 97,100 5,359,920 * Midwest Air Group, Inc. 119,800 234,808 * Milacron, Inc. 429,434 936,166 * # Millennium Cell, Inc. 165,950 250,585 * Miller Industries, Inc. 32,700 390,765 * Misonix, Inc. 46,550 268,221 * Mobile Mini, Inc. 101,400 3,743,688 * # Modtech Holdings, Inc. 106,312 659,134 * Moore Handley, Inc. 1,500 6,000 * Morgan Group Holding Co. 3,300 305 * MTC Technologies, Inc. 100,811 3,380,193 Mueller (Paul) Co. 26,300 782,425 Multi-Color Corp. 30,600 804,780 * M-Wave, Inc. 3,000 3,180 * Nashua Corp. 54,500 490,500 * National Patent Development Corp. 109,400 255,996 * National Technical Systems, Inc. 83,600 379,544 * NCI Building Systems, Inc. 133,200 4,600,728 * NCO Group, Inc. 108,680 2,158,385 * NES Rentals Holdings, Inc. 245 2,401 * New Horizons Worldwide, Inc. 79,875 288,349 * North America Galvanizing & Coatings, Inc. 56,500 115,260 * # Northwest Airlines Corp. 111,750 680,558 * NuCo2, Inc. 115,558 2,736,413 * Odyssey Marine Exploration, Inc. 268,400 1,291,004 * Old Dominion Freight Line, Inc. 118,418 3,608,196 * On Assignment, Inc. 175,186 928,486 * Orbit International Corp. 11,666 119,227 * Orbital Sciences Corp. 363,800 3,532,498 Outlook Group Corp. 36,600 289,140 * P.A.M. Transportation Services, Inc. 60,952 1,004,489 * Paragon Technologies, Inc. 39,425 423,819 * Park-Ohio Holdings Corp. 125,525 1,914,256 * Patrick Industries, Inc. 44,000 394,064 * Patriot Transportation Holding, Inc. 31,700 1,657,910 * Peerless Manufacturing Co. 18,500 257,335 * Pemco Aviation Group, Inc. 250 6,225 * Perini Corp. 174,700 2,634,476 * Pico Holdings, Inc. 83,771 2,168,831 * Pinnacle Airlines Corp. 14,273 139,875 * # Plug Power, Inc. 502,355 3,124,648 * Portfolio Recovery Associates, Inc. 106,928 4,214,032 * Powell Industries, Inc. 57,718 1,063,166 * Power-One, Inc. 78,689 431,216 * PPT Vision, Inc. 11,750 14,923
32 Preformed Line Products Co. 4,700 160,411 * PRG-Schultz International, Inc. 428,109 1,652,501 Providence & Worcester Railroad Co. 11,000 145,750 * PW Eagle, Inc. 21,900 144,102 * Quipp, Inc. 14,300 154,226 Quixote Corp. 68,200 1,328,536 * RailAmerica, Inc. 259,166 3,024,467 Raven Industries, Inc. 356,440 9,082,091 * RCM Technologies, Inc. 91,800 422,280 * Refac 8,519 42,552 Regal-Beloit Corp. 148,730 3,822,361 * RemedyTemp, Inc. 72,900 718,065 * Republic Airways Holdings, Inc. 18,308 233,610 * Riviera Tool Co. 7,000 7,595 Robbins & Myers, Inc. 101,000 2,388,650 * Rush Enterprises, Inc. Class A 76,575 1,101,914 * Rush Enterprises, Inc. Class B 54,500 792,975 Schawk, Inc. 168,300 4,049,298 * Schuff International, Inc. 53,200 163,590 * SCS Transportation, Inc. 104,432 1,905,884 * Secom General Corp. 1,000 1,430 * Senomyx, Inc. 20,442 282,713 * Servotronics, Inc. 24,804 117,819 * Sholodge, Inc. 52,300 205,278 * SIFCO Industries, Inc. 45,775 157,008 * Simclar, Inc. 23,400 78,858 * Sirva, Inc. 35,000 274,750 * Sitel Corp. 401,700 795,366 * SL Industries, Inc. 91,885 1,568,477 * Smithway Motor Xpress Corp. Class A 35,000 210,000 * SOURCECORP, Inc. 94,676 2,027,013 * Spacehab, Inc. 94,200 132,822 * Sparton Corp. 84,328 841,593 * Spherion Corp. 417,793 2,285,328 * # Spherix, Inc. 103,300 176,643 * Spire Corp. 102,842 452,505 * # Standard Automotive Corp. 21,700 2 * Standard Parking Corp. 6,200 93,062 Standard Register Co. 164,100 2,330,220 Standex International Corp. 84,100 2,250,516 Starrett (L.S.) Co. Class A 35,900 612,813 * Sterling Construction Co., Inc. 6,600 48,708 Stewart & Stevenson Services, Inc. 195,711 4,675,536 * Stonepath Group, Inc. 214,900 150,430 * Strategic Distribution, Inc. 27,770 286,031 Sun Hydraulics, Inc. 12,600 465,192 Supreme Industries, Inc. 92,283 604,454 Sypris Solutions, Inc. 122,835 1,294,681 * SYS 500 1,420 TB Wood's Corp. 26,200 151,436 * Team, Inc. 55,200 1,048,800 * TeamStaff, Inc. 16,600 27,224 Tech/Ops Sevcon, Inc. 60,800 361,760 Technology Research Corp. 44,600 223,446 Tecumseh Products Co. Class A 15,842 433,120
33 * TeleTech Holdings, Inc. 259,346 2,118,857 Tennant Co. 62,100 2,316,330 * Tetra Tech, Inc. 38,092 459,009 The Alpine Group, Inc. 87,800 136,090 * The Geo Group, Inc. 92,800 2,252,256 * The Lamson & Sessions Co. 144,400 1,572,516 * Thomas Group, Inc. 35,100 70,551 Thomas Industries, Inc. 114,200 4,553,154 Titan International, Inc. 53,350 787,980 Todd Shipyards Corp. 44,600 858,550 * Trailer Bridge, Inc. 42,500 331,500 * Transport Corp. of America 15,900 99,375 * Transtechnology Corp. 94,300 704,893 * TRC Companies, Inc. 95,750 1,091,550 Tredegar Industries, Inc. 265,850 4,054,213 * Trex Co., Inc. 102,500 3,951,375 * Triumph Group, Inc. 108,800 3,860,224 * TRM Corp. 59,300 962,439 * Tufco Technologies, Inc. 1,300 8,047 * # TurboChef Technologies, Inc. 187,966 2,086,423 Twin Disc, Inc. 41,100 893,925 * # U.S. Home Systems, Inc. 6,590 31,942 * U.S. Xpress Enterprises, Inc. Class A 100,900 1,231,989 * Ultralife Batteries, Inc. 101,400 1,654,848 United Industrial Corp. 124,900 4,327,785 Universal Forest Products, Inc. 108,940 4,335,812 * UQM Technologies, Inc. 172,400 517,200 * # US Airways Group, Inc. Class A 56,221 51,161 * USA Truck, Inc. 53,200 1,077,300 * # Valence Technology, Inc. 67,400 199,504 Valley National Gases, Inc. 10,200 139,740 Valmont Industries, Inc. 163,920 3,925,884 * Valpey Fisher Corp. 35,700 112,812 * Versar, Inc. 54,200 168,020 Viad Corp. 152,200 4,231,160 Vicor Corp. 205,168 2,728,734 * VL Dissolution Corp. 12,426 0 * Volt Information Sciences, Inc. 127,204 2,499,559 Wabash National Corp. 107,640 2,681,312 Waste Industries USA, Inc. 67,900 979,797 * Water Pik Technologies, Inc. 37,800 702,324 Waters Instruments, Inc. 750 6,113 * Westaff, Inc. 142,650 494,996 * Western Power & Equipment Corp. 18,448 23,982 * Willis Lease Finance Corp. 67,300 548,495 * Wolverine Tube, Inc. 101,400 731,094 * Xanser Corp. 303,000 669,630 ---------------- Total Industrials (Cost $374,630,432) 535,338,292 ---------------- Financials -- (11.4%) 1st Independence Financial Group, Inc. 3,700 70,300 1st Source Corp. 140,940 3,069,673 # 21st Century Holding Co. 1,050 13,650 * A. B. Watley Group, Inc. 9,900 594
34 ABC Bancorp 79,304 1,407,646 Abigail Adams National Bancorp 1,512 23,754 * # Acacia Research-Acacia Technologies 82,983 465,535 * ACE Cash Express, Inc. 105,275 2,296,048 Advanta Corp. Class A 66,283 1,519,869 Advanta Corp. Class B Non-Voting 126,093 3,110,714 * Aether Systems, Inc. 303,188 948,978 * # Aixtron AG 109,752 355,596 Amcore Financial, Inc. 73,360 2,043,810 * AMEN Properties, Inc. 12,375 62,989 * # American Business Financial Services, Inc. 35,450 2,216 * American Independence Corp. 14,733 195,212 * American Physicians Capital, Inc. 59,465 2,060,462 American Physicians Services Group, Inc. 36,700 455,080 * American West Bancorporation 14,733 291,271 Americana Bancorp 20,350 291,208 * AmeriServe Financial, Inc. 176,775 965,191 Anchor Bancorp Wisconsin, Inc. 156,918 4,334,075 * Argonaut Group, Inc. 192,425 4,029,379 Arrow Financial Corp. 87,047 2,350,269 ASB Financial Corp. 4,500 100,687 ASTA Funding, Inc. 34,378 959,834 * Atlantic American Corp. 157,725 476,329 Baldwin & Lyons, Inc. Class B 23,100 593,670 * Bancinsurance Corp. 39,480 205,296 * Bancshares of Florida, Inc. 207 3,312 Bank of Granite Corp. 31,200 566,592 Bank of The Ozarks, Inc. 114,665 3,625,707 Banner Corp. 116,190 3,091,816 Bay View Capital Corp. 46,210 732,428 Berkshire Hills Bancorp, Inc. 1,500 47,775 Beverly Hills Bancorp, Inc. 46,202 482,811 * BFC Financial Corp. 11,500 103,960 * BNS Holding, Inc. Class A 26,480 182,712 Boston Private Financial Holdings, Inc. 193,061 4,726,133 Bristol West Holdings, Inc. 7,000 121,100 * Brooke Corp. 3,100 46,593 Bryn Mawr Bank Corp. 5,600 109,144 C&F Financial Corp. 100 4,000 California First National Bancorp 79,100 917,560 Camco Financial Corp. 17,471 252,107 Capital Corp. of the West 22,559 547,056 * Capital Crossing Bank 86,700 2,816,016 Capitol Bancorp, Ltd. 40,500 1,253,475 * Cardinal Financial Corp. 99,236 903,048 Cash America International, Inc. 202,440 3,481,968 # Cavalry Bancorp, Inc. 300 6,600 Center Bancorp, Inc. 5,512 65,654 Center Financial Corp. 45,564 973,703 Central Bancorp, Inc. 10,000 258,700 * Centrue Financial Corp 3,000 82,050 Century Bancorp, Inc. Class A 7,600 199,728 * Ceres Group, Inc. 235,178 1,347,570 CFS Bancorp, Inc. 67,181 880,743 Chester Valley Bancorp, Inc. 7,911 196,153
35 * Citizens First Bancorp, Inc. 8,093 170,034 Citizens South Banking Corp. 41,974 530,132 * # Citizens, Inc. 262,077 1,517,426 City Holding Co. 115,728 3,909,292 Clark, Inc. 128,300 1,860,350 * CNA Surety Corp. 102,280 1,413,510 CoBiz, Inc. 29,475 529,960 Columbia Bancorp 1,700 58,803 Columbia Banking System, Inc. 135,528 3,333,989 Commercial Bancshares, Inc. 33,803 1,317,979 Commercial National Financial Corp. 1,600 34,000 Community Bank System, Inc. 115,100 2,681,830 Community Banks, Inc. 714 17,679 Community Bankshares, Inc. 2,730 47,092 Community Trust Bancorp, Inc. 59,037 1,748,086 Community West Bancshares 23,200 282,576 Consolidated-Tokoma Land Co. 28,400 2,179,700 * Consumer Portfolio Services, Inc. 5,000 22,000 Cooperative Bankshares, Inc. 8,250 153,450 Crawford & Co. Class A 94,400 675,904 Crawford & Co. Class B 132,500 956,650 * Credit Acceptance Corp. 82,695 1,166,826 * # Danielson Holding Corp. 69,767 1,133,726 Delta Financial Corp. 139,700 1,264,285 Dime Community Bancshares 258,780 3,907,578 Donegal Group, Inc. Class A 61,506 1,135,401 Donegal Group, Inc. Class B 25,520 420,314 EFC Bancorp, Inc. 15,800 426,600 * E-Loan, Inc. 450,899 1,285,062 EMC Insurance Group, Inc. 85,100 1,518,184 * Encore Capital Group, Inc. 155,681 2,391,260 * Epoch Holding Corp. 75,975 341,887 ESB Financial Corp. 94,531 1,259,162 * eSpeed, Inc. 224,152 1,920,983 * EZCORP, Inc. Class A Non-Voting 91,900 873,969 Federal Agriculture Mortgage Corporation 70,900 1,310,232 Fidelity Bancorp, Inc. 645 13,553 Fidelity Bankshares, Inc. 172,192 4,261,752 Fidelity Southern Corp. 82,500 1,338,150 Financial Federal Corp. 120,000 4,476,000 * Financial Industries Corp. 9,148 78,215 * Firebrand Financial Group, Inc. 75,400 5,278 * First Acceptance Corp. 192,600 1,723,770 First Albany Companies, Inc. 35,519 204,234 First Bancorp 51,021 1,066,339 * First Bank of Delaware 50,014 165,046 * First Cash Financial Services, Inc. 120,900 2,103,660 First Charter Corp. 186,018 4,101,697 First Community Bancorp 107,404 4,745,109 First Community Bancshares, Inc. 77,695 2,337,066 First Defiance Financial Corp. 68,292 1,826,128 First Federal Bancshares of Arkansas, Inc. 46,800 1,146,132 First Financial Holdings, Inc. 122,500 3,483,900 First Franklin Corp. 600 9,456 First Indiana Corp. 123,300 3,322,935
36 * First Investors Financial Services Group, Inc. 43,200 206,280 First Keystone Financial, Inc. 16,500 285,615 First M&F Corp. 3,000 99,945 * First Mariner Bancorp 16,400 273,388 First Merchants Corp. 126,186 3,138,246 First Mutual Bancshares, Inc. 29,471 727,934 First Oak Brook Bancshares, Inc. 30,000 827,700 First PacTrust Bancorp, Inc. 13,213 326,890 First Place Financial Corp. 103,530 2,038,506 First Republic Bank 90,750 2,911,260 First State Bancorporation 105,526 1,948,010 First United Corp. 17,500 354,200 Firstbank Corp. 6,945 177,117 FirstBank NW Corp. 16,097 420,937 * FirstCity Financial Corp. 77,595 1,008,735 # Flag Financial Corp. 35,200 524,480 Flushing Financial Corp. 175,312 2,961,020 FMS Financial Corp. 8,400 147,294 FNB Corp. 10,700 197,950 FNB Financial Services Corp. 8,500 180,115 Foothill Independent Bancorp 53,767 1,106,535 * FPIC Insurance Group, Inc. 68,914 2,050,881 * Franklin Bank Corp. 95,637 1,635,393 Gateway Financial Holdings, Inc. 50,789 914,712 GB & T Bancshares, Inc. 1,750 37,730 Glacier Bancorp, Inc. 200,091 4,672,131 Gold Banc Corp. 202,734 2,815,975 Great Southern Bancorp, Inc. 79,400 2,478,074 Greater Communications Bancorp 2,998 47,968 Greene County Bancshares, Inc. 3,900 112,125 * Grubb & Ellis Co. 177,552 1,065,312 GS Financial Corp. 6,400 114,592 Guaranty Bancshares, Inc. 1,600 32,656 Guaranty Federal Bancshares, Inc. 17,100 397,575 Harleysville Group, Inc. 192,675 3,913,229 Harleysville National Corp. 178,305 4,113,496 Heartland Financial USA, Inc. 8,092 160,060 Heritage Commerce Corp. 8,600 159,272 Heritage Financial Corp. 83,700 1,820,475 HF Financial Corp. 29,920 680,680 Hingham Institution for Savings 5,350 225,904 HMN Financial, Inc. 33,000 994,455 Home Federal Bancorp 37,400 912,560 HopFed Bancorp, Inc. 4,500 72,090 Horace Mann Educators Corp. 23,400 425,880 Horizon Financial Corp. 84,960 1,707,696 IBERIABANK Corp. 55,800 3,283,272 ILX Resorts, Inc. 15,900 155,979 Independence Holding Co. 30,924 545,809 Independent Bank Corp. MA 129,900 3,628,107 Independent Bank Corp. MI 194,831 5,482,544 Infinity Property & Casualty Corp. 140,871 4,507,872 Integra Bank Corp. 119,776 2,645,852 Interchange Financial Services Corp. 111,397 2,022,970 * Investment Technology Group, Inc. 247,300 4,881,702
37 Investors Title Co. 19,800 697,356 Irwin Financial Corp. 109,800 2,304,702 * ITLA Capital Corp. 51,800 2,580,676 * Kennedy-Wilson, Inc. 76,600 790,512 Kent Financial Services, Inc. 50,712 116,638 * KNBT Bancorp, Inc. 5,306 79,121 * LaBranche & Co., Inc. 166,500 920,745 * Ladenburg Thalmann Financial Services, Inc. 67,599 41,235 Lakeland Bancorp, Inc. 11,250 171,225 Leesport Financial Corp. 551 13,659 LNB Bancorp, Inc. 1,000 16,690 LSB Bancshares, Inc. 35,571 626,050 LSB Corp. 16,200 260,010 Main Street Banks, Inc. 146,925 3,874,412 * Marlin Business Services, Inc. 4,047 82,073 MASSBANK Corp. 31,399 1,119,374 * Matrix Bancorp, Inc. 29,500 377,600 Mayflower Co-Operative Bank Middleboro 450 6,325 * Mays (J.W.), Inc. 2,700 43,308 MBT Financial Corp. 120,692 2,307,631 MCG Capital Corp. 11,000 176,000 * Meadowbrook Insurance Group, Inc. 197,500 1,017,125 Medallion Finanacial Corp. 118,600 1,098,236 Mercantile Bank Corp. 2,625 107,231 * Mercer Insurance Group, Inc. 4,800 61,680 Merchants Bancshares, Inc. 47,100 1,247,208 Merchants Group, Inc. 15,700 394,070 Meta Financial Group, Inc. 16,500 348,150 * Metris Companies, Inc. 388,394 5,041,354 MetroCorp. Bancshares, Inc. 23,000 478,400 MFB Corp. 8,500 223,295 MicroFinancial, Inc. 30,300 117,867 Midland Co. 88,200 2,817,990 Mid-State Bancshares 158,623 4,246,338 Midwest Banc Holdings, Inc. 123,661 2,473,220 MutualFirst Financial, Inc. 2,900 63,684 Nara Bancorp, Inc. 158,679 2,204,051 National Security Group, Inc. 12,600 264,726 * National Western Life Insurance Co. Class A 2,600 476,775 * Navigators Group, Inc. 86,617 2,879,149 NBT Bancorp, Inc. 120,675 2,859,997 NetBank, Inc. 112,237 932,689 New Hampshire Thrift Bancshares, Inc. 3,200 51,680 NewMil Bancorp, Inc. 44,100 1,345,050 * Newtek Business Services, Inc. 235,527 610,015 North Central Bancshares, Inc. 17,500 677,950 Northeast Bancorp 12,600 276,192 Northrim BanCorp, Inc. 34,939 799,062 NYMAGIC, Inc. 71,100 1,453,995 Oak Hill Financial, Inc. 12,200 316,346 OceanFirst Financial Corp. 88,560 1,904,040 * Ocwen Financial Corp. 427,203 3,088,678 * Pacific Mercantile Bancorp 7,700 108,693 * Pacific Premier Bancorp, Inc. 21,717 227,420 Pamrapo Bancorp, Inc. 36,400 797,160
38 Park Bancorp, Inc. 800 24,104 Parkvale Financial Corp. 50,395 1,400,981 Partners Trust Financial Group, Inc. 88,538 913,712 PAULA Financial 49,300 86,768 * Penn Treaty American Corp. 140,600 313,538 Pennfed Financial Services, Inc. 120,200 1,745,304 Penns Woods Bancorp, Inc. 110 5,342 Peoples Bancorp, Inc. 400 7,879 Peoples Bancorp, Inc. 2,310 65,142 PFF Bancorp, Inc. 153,700 4,463,448 Pinnacle Bancshares, Inc. 700 9,877 * Pinnacle Financial Partners, Inc. 56,996 1,273,291 * Piper Jaffray Companies, Inc. 16,100 455,147 * PMA Capital Corp. Class A 218,589 1,624,116 Pocahontas Bancorp, Inc. 51,900 726,600 * Premier Financial Bancorp 6,600 71,775 Presidential Life Corp. 202,574 3,068,996 ProCentury Corp. 1,881 19,186 Prosperity Bancshares, Inc. 152,150 4,126,308 Provident Bancorp, Inc. 234,314 2,743,817 Provident Financial Holdings, Inc. 72,400 2,014,168 Pulaski Financial Corp. 30,400 677,616 Rainier Pacific Financial Group, Inc. 4,471 76,409 Renasant Corp. 2,212 67,289 Republic Bancorp, Inc. Class A 39,249 895,662 * Republic First Bancorp, Inc. 56,015 746,129 * Rewards Network, Inc. 175,250 895,527 Riverview Bancorp, Inc. 34,400 739,600 Royal Bancshares of Pennsylvania, Inc. Class A 16,079 379,464 * RTW, Inc. 43,450 421,465 Sanders Morris Harris Group, Inc. 160,686 2,627,216 Sandy Spring Bancorp, Inc. 99,923 3,317,444 * SCPIE Holdings, Inc. 19,000 213,180 Seacoast Banking Corp. of Florida 106,249 2,153,667 * Siebert Financial Corp. 42,300 124,785 Sierra Bancorp 3,900 88,858 Simmons First National Corp. Class A 98,395 2,414,613 Sound Federal Bancorp, Inc. 83,921 1,336,022 Southside Banchares, Inc. 117 2,298 Southwest Bancorp, Inc. 83,210 1,506,101 * Standard Management Corp. 69,015 124,227 State Financial Services Corp. Class A 77,532 3,078,020 Sterling Bancorp 299,170 6,327,445 Sterling Bancshares, Inc. 310,563 4,223,657 Sterling Financial Corp. 2,031 52,298 Stewart Information Services Corp. 116,100 4,556,925 * Stifel Financial Corp. 67,892 1,433,879 * Stratus Properties, Inc. 53,750 896,550 Suffolk Bancorp 68,400 2,143,656 Summit Bancshares, Inc. 65,800 1,160,712 Summit Bank Corp. 8,400 117,684 * Sun Bancorp, Inc. 165,851 3,439,750 * Superior Essex, Inc. 72,375 1,213,729 SWS Group, Inc. 70,349 1,115,032 Teche Holding Co. 2,700 97,605
39 Texas United Bancshares, Inc. 481 8,365 TF Financial Corp. 13,900 403,100 * Thackeray Corp. 69,700 0 * Thackeray Corp. Escrow Shares 69,700 13,940 * The Banc Corp. 91,694 962,787 The Colonial BancGroup, Inc. 47,600 1,061,004 * The Washtenaw Group, Inc. 2,000 2,500 TierOne Corp. 126,198 3,044,527 Timberland Bancorp, Inc. 36,300 835,263 Tompkins County Trustco, Inc. 520 21,476 * Tradestation Group, Inc. 326,300 2,404,831 * Trammell Crow Co. 261,500 5,896,825 Trico Bancshares 79,100 1,613,640 * Unico American Corp. 114,100 1,044,015 Union Bankshares Corp. 2,557 92,717 Union Community Bancorp 3,000 49,440 * United America Idemnity, Ltd. 79,809 1,360,743 * United Capital Corp. 90,008 2,146,691 United Community Financial Corp. 198,071 2,081,726 United Financial Corp. 2,640 64,614 * United Financial Mortgage Corp. 19,300 83,569 United Fire & Casualty Co. 22,600 889,762 * United PanAm Financial Corp. 600 14,292 # United Security Bancshares 6,500 167,674 Unity Bancorp, Inc. 15,986 195,828 * Universal American Financial Corp. 49,733 941,943 Unizan Financial Corp. 100,034 2,549,867 USB Holding Co., Inc. 1,697 35,876 Vesta Insurance Group, Inc. 245,300 618,156 * Virginia Commerce Bancorp, Inc. 312 6,970 Wainwright Bank & Trust Co. 306 3,419 Washington Banking Co. 18,721 267,710 Washington Savings Bank, FSB 43,368 375,567 Washington Trust Bancorp, Inc. 89,623 2,526,472 Wesbanco, Inc. 154,969 4,582,433 West Bancorporation 57,549 1,024,948 West Coast Bancorp 104,787 2,280,165 Westbank Corp. 10,363 174,513 * Western Sierra Bancorp 1,732 59,079 Westwood Holdings Group, Inc. 6,037 101,965 Willow Grove Bancorp, Inc. 66,612 1,015,567 * Wilshire Enterprises, Inc. 130,375 977,812 * World Acceptance Corp. 177,000 4,610,850 WSFS Financial Corp. 12,200 679,296 Yardville National Bancorp 75,767 2,569,259 Ziegler Companies, Inc. 4,200 82,950 ---------------- Total Financials (Cost $273,895,890) 400,890,082 ---------------- Energy -- (4.4%) * Abraxas Petroleum Corp. 35,600 97,544 Adams Resources & Energy, Inc. 68,250 1,150,012 * # Allis-Chalmers Energy, Inc. 1,300 6,565 * # Atlas America, Inc. 4,804 150,173 * # ATP Oil & Gas Corp. 206,905 4,363,626
40 Barnwell Industries, Inc. 20,200 1,237,250 * Bolt Technology Corp. 44,700 261,495 * # BPZ Energy, Inc. 2,616 12,034 * Brigham Exploration Co. 292,171 2,471,767 * Callon Petroleum Co. 123,000 1,740,450 * Carrizo Oil & Gas, Inc. 116,331 1,754,271 Castle Energy Corp. 56,600 735,800 * Clayton Williams Energy, Inc. 75,458 2,061,513 * Comstock Resources, Inc. 117,000 2,669,940 * Contango Oil & Gas Co. 10,900 86,546 * Dawson Geophysical Co. 41,200 856,960 * Delta Petroleum Corp. 285,858 3,264,498 * Dril-Quip, Inc. 122,200 3,342,170 * Edge Petroleum Corp. 118,012 1,608,504 * Endeavour International Corp. 591,960 1,947,548 * Energy Partners, Ltd. 212,700 4,860,195 * # FX Energy, Inc. 120,900 1,126,788 * Gasco Energy, Inc. 28,200 89,112 * Giant Industries, Inc. 92,000 2,650,520 * Goodrich Petroleum Corp. 145,200 2,571,492 * GSV, Inc. 5,340 1,388 Gulf Island Fabrication, Inc. 88,600 1,780,860 * Gulfmark Offshore, Inc. 138,700 3,475,822 * Harvest Natural Resources, Inc. 487,800 5,287,752 * # Horizon Offshore, Inc. 160,309 50,497 * # Infinity, Inc. 89,047 734,638 * Input/Output, Inc. 542,800 3,218,804 * KCS Energy, Inc. 318,200 4,470,710 * # KFX, Inc. 407,000 5,360,190 Lufkin Industries, Inc. 92,200 2,658,126 * Magnum Hunter Resources, Inc. 42,340 654,576 Maritrans, Inc. 47,700 1,139,553 MarkWest Hydrocarbon, Inc. 73,931 1,614,653 * # Matrix Service Co. 150,600 621,978 * # McMoran Exploration Co. 168,300 3,115,233 * Meridian Resource Corp. 541,572 2,453,321 * Mission Resources Corp. 278,582 1,969,575 * Mitcham Industries, Inc. 90,200 633,204 * NATCO Group, Inc. Class A 163,600 1,760,336 * Natural Gas Services Group 6,000 61,740 * Newpark Resources, Inc. 574,300 3,503,230 * NS Group, Inc. 170,000 4,899,400 * Offshore Logistics, Inc. 156,241 4,893,468 * # OMNI Energy Services Corp. 73,530 119,854 * Parallel Petroleum Corp. 215,200 1,465,512 * Parker Drilling Co. 648,700 3,697,590 Penn Virginia Corp. 116,800 4,820,336 * # Petrohawk Energy Corp. 34,056 297,649 * Petroleum Development Corp. 139,678 3,649,786 * Pioneer Drilling Co. 3,700 51,763 * Remington Oil & Gas Corp. 192,960 5,981,760 * Rentech, Inc. 48,300 71,484 Resource America, Inc. 168,780 5,735,144 * Royale Energy, Inc. 40,402 220,595 RPC, Inc. 154,550 2,282,703
41 * Seabulk International, Inc. 182,900 3,586,669 * Syntroleum Corp. 373,698 3,239,962 * T-3 Energy Services, Inc. 9,270 65,817 * Tel Offshore Trust 615 4,471 * # Teton Petroleum Co. 61,000 213,500 * TETRA Technologies, Inc. 193,200 5,332,320 * Tipperary Corp. 76,000 354,920 * # Torch Offshore, Inc. 64,000 7,840 * Toreador Resources Corp. 41,700 895,716 * TransMontaigne, Inc. 283,660 2,348,705 * # Tri-Valley Corp. 153,500 1,832,790 * # U.S. Energy Corp. Wyoming 71,870 288,917 * Veritas DGC, Inc. 124,800 3,369,600 * Westmoreland Coal Co. 56,900 1,222,212 * W-H Energy Services, Inc. 190,800 4,134,636 World Fuel Services Corp. 184,600 4,864,210 ---------------- Total Energy (Cost $85,044,991) 155,632,288 ---------------- Consumer Staples -- (3.8%) * Advanced Nutraceuticals, Inc. 475 2,019 * Alico, Inc. 53,400 2,750,100 Alliance One International, Inc. 626,824 4,017,942 # American Italian Pasta Co. 126,800 2,917,668 * Atlantic Premium Brands, Ltd. 27,000 31,050 * Boston Beer Co., Inc. Class A 131,700 2,780,187 * Bridgford Foods Corp. 91,467 709,784 * Cagle's, Inc. Class A 94,800 910,080 Calavo Growers, Inc. 34,730 360,949 Cal-Maine Foods, Inc. 164,000 1,064,360 * Carrington Laboratories, Inc. 73,900 274,908 CCA Industries, Inc. 44,530 447,526 * Central European Distribution Corp. 114,906 3,832,115 * Central Garden & Pet Co. 46,422 2,058,816 * Chattem, Inc. 175,200 7,516,080 * Cruzan International, Inc. 48,800 680,760 * Darling International, Inc. 506,900 1,885,668 * Elizabeth Arden, Inc. 197,162 4,144,345 * Female Health Co. 44,000 79,200 * Foodarama Supermarkets, Inc. 20,700 641,700 * Fresh Brands, Inc. 59,300 399,682 * Galaxy Nutritional Foods, Inc. 37,700 75,400 * Gardenburger, Inc. 33,700 2,696 * Genesee Corp. Class B 800 1,660 * Glacier Water Services, Inc. 24,500 546,350 Golden Enterprises, Inc. 61,900 229,030 * # Great Atlantic & Pacific Tea Co., Inc. 226,100 5,636,673 * Green Mountain Coffee, Inc. 59,700 1,986,219 * Griffin Land & Nurseries, Inc. Class A 23,400 561,600 * Hain Celestial Group, Inc. 164,053 2,952,954 * Hines Horticulture, Inc. 195,700 694,735 Imperial Sugar Co. (NEW) 69,917 1,076,722 Ingles Market, Inc. Class A 74,283 938,937 * # Integrated Biopharma, Inc. 78,975 351,439 # Inter Parfums, Inc. 168,600 2,992,650
42 * Interstate Bakeries Corp. 238,400 1,559,136 J & J Snack Foods Corp. 83,200 4,106,752 * Katy Industries, Inc. 76,100 265,589 Lance, Inc. 240,521 4,252,411 * M&F Worldwide Corp. 168,000 2,148,720 # Mannatech, Inc. 5,200 83,772 Marsh Supermarkets, Inc. Class A 17,700 199,125 Marsh Supermarkets, Inc. Class B 29,800 376,970 * Maui Land & Pineapple Co., Inc. 35,500 1,466,505 * # Medifast, Inc. 75,100 230,557 MGP Ingredients, Inc. 151,200 1,264,032 * Monterey Pasta Co. 135,300 408,606 Nash Finch Co. 91,400 3,252,012 * National Beverage Corp. 213,800 1,753,160 * Natrol, Inc. 99,700 279,160 * Natural Alternatives International, Inc. 48,800 368,928 Nature's Sunshine Products, Inc. 153,100 2,521,557 Northland Cranberries, Inc. 400 136 Oil-Dri Corp. of America 56,300 962,730 * Omega Protein Corp. 175,600 1,246,760 * # Parlux Fragrances, Inc. 90,500 2,260,690 * Pathmark Stores, Inc. 207,500 1,857,125 * Peet's Coffee & Tea, Inc. 92,271 2,619,574 * Pizza Inn, Inc. 39,700 105,205 * Playtex Products, Inc. 422,400 4,553,472 * PriceSmart, Inc. 98,900 692,300 Pyramid Breweries, Inc. 36,800 69,523 * # Redhook Ale Brewery, Inc. 62,900 191,845 Reliv International, Inc. 114,430 1,201,515 * Revlon, Inc. 18,104 53,769 Rocky Mountain Chocolate Factory, Inc. 57,110 1,345,512 * San Filippo (John B.) & Son, Inc. 57,900 1,224,585 Sanderson Farms, Inc. 141,709 5,370,771 * Scheid Vineyards, Inc. 14,500 84,100 Scope Industries 16,650 1,163,835 * Seneca Foods Corp. Class A 200 3,240 * Seneca Foods Corp. Class B 6,800 112,370 * Smart & Final Food, Inc. 207,700 2,253,545 * Spartan Stores, Inc. 141,449 1,824,692 * # Star Scientific, Inc. 543,917 3,154,719 Stephan Co. 33,500 149,075 Tasty Baking Co. 80,500 644,000 The Topps Co., Inc. 274,208 2,555,619 * Tofutti Brands, Inc. 4,000 12,600 United-Guardian, Inc. 36,820 279,096 * # USANA Health Services, Inc. 117,736 5,168,610 # Vector Group, Ltd. 284,463 4,878,540 * Vermont Pure Holdings, Ltd. 20,600 37,492 WD-40 Co. 112,746 3,267,379 * Weider Nutrition International, Inc. 70,700 288,456 * Wild Oats Markets, Inc. 197,095 2,215,348 * # Winn-Dixie Stores, Inc. 624,600 655,830 ---------------- Total Consumer Staples (Cost $84,029,995) 132,593,054 ----------------
43 Materials -- (3.5%) * AEP Industries, Inc. 60,750 1,046,723 * AK Steel Holding Corp. 82,200 628,830 * Aleris International, Inc. 251,078 5,980,678 AMCOL International Corp. 206,800 4,011,920 * American Pacific Corp. 66,400 537,840 American Vanguard Corp. 22,296 399,098 Arch Chemicals, Inc. 165,149 3,892,562 Atlantis Plastics, Inc. 34,800 216,108 * Badger Paper Mills, Inc. 200 668 Bairnco Corp. 105,300 1,176,201 Balchem Corp. 36,150 1,001,355 * Brush Engineered Materials, Inc. 137,400 1,948,332 * Buckeye Technologies, Inc. 258,490 2,137,712 Calgon Carbon Corp. 275,100 2,451,141 Cambrex Corp. 202,200 3,659,820 * Canyon Resources Corp. 176,800 130,832 * Caraustar Industries, Inc. 199,486 2,094,603 * Castle (A.M.) & Co. 74,225 1,038,408 Chesapeake Corp. 136,822 2,855,475 * Coeur d'Alene Mines Corp. 149,600 498,168 * Constar International, Inc. 81,600 261,120 * Continental Materials Corp. 14,900 464,731 * # Core Molding Technologies, Inc. 39,597 372,212 CPAC, Inc. 51,978 259,370 * Crown Resources Corp. 13,540 19,633 Deltic Timber Corp. 84,000 3,250,800 * Detrex Corp. 10,200 47,685 * Devcon International Corp. 29,000 340,750 * Environmental Technologies Corp. 39,700 18 Flamemaster Corp. 189 803 Friedman Industries, Inc. 152,403 1,171,979 Gibraltar Industries, Inc. 69,280 1,355,117 Glatfelter (P.H.) Co. 302,900 3,392,480 Hawkins, Inc. 92,485 1,137,566 * Hecla Mining Co. 681,700 3,054,016 * ICO, Inc. 165,818 388,014 * Impreso, Inc. 31,500 33,705 * Keystone Consolidated Industries, Inc. 11,000 1,870 * Landec Corp. 165,747 992,825 * Lesco, Inc. 87,900 1,186,650 * # Liquidmetal Technologies, Inc. 106,651 166,376 * Material Sciences Corp. 131,800 1,607,960 * Maxxam, Inc. 20,500 476,625 Metal Management, Inc. 166,697 3,062,224 * Metals USA, Inc. 138,478 2,931,579 * Mines Management, Inc. 8,400 47,964 * Mod-Pac Corp. 19,740 314,833 * Mod-Pac Corp. Class B 6,877 101,780 Myers Industries, Inc. 237,047 2,643,074 * # Nanophase Technologies Corp. 121,700 793,484 Nevada Chemicals, Inc. 400 2,680 * NewMarket Corp. 115,700 1,572,363 Niagara Corp. 75,500 645,525 NN, Inc. 132,600 1,682,694
44 Northern Technologies International Corp. 26,400 129,360 * Northwest Pipe Co. 47,500 1,052,600 * # Olympic Steel, Inc. 73,100 1,147,670 * OM Group, Inc. 20,900 526,680 * OMNOVA Solutions, Inc. 93,800 380,828 * Oregon Steel Mills, Inc. 77,000 1,359,820 Packaging Dynamics Corp. 32,980 465,018 Penford Corp. 54,800 848,852 * PolyOne Corp. 74,900 503,328 Pope & Talbot, Inc. 123,700 1,364,411 Quaker Chemical Corp. 78,600 1,391,220 Roanoke Electric Steel Corp. 87,400 1,752,370 Rock of Ages Corp. 32,900 199,703 Rock-Tenn Co. Class A 241,100 2,775,061 Royal Gold, Inc. 163,200 2,864,160 * RTI International Metals, Inc. 153,100 4,193,409 # Ryerson Tull, Inc. 170,100 2,588,922 Schnitzer Steel Industries, Inc. Class A 23,911 552,822 Schulman (A.), Inc. 210,882 3,450,030 Schweitzer-Maudoit International, Inc. 100,900 3,023,973 * Solitario Resources Corp. 2,937 3,407 * Southwall Technologies, Inc. 79,100 105,994 Spartech Corp. 171,400 3,467,422 Steel Technologies, Inc. 88,800 1,776,000 Stepan Co. 35,200 746,592 * Stillwater Mining Co. 2,200 14,850 Summa Industries, Inc. 31,800 244,860 * Synalloy Corp. 87,058 1,005,520 * Terra Industries, Inc. 626,100 3,975,735 * # Titanium Metals Corp. 103,950 4,422,033 * U.S. Concrete, Inc. 186,417 1,140,872 * UFP Technologies, Inc. 11,800 36,580 * Universal Stainless & Alloy Products, Inc. 55,300 694,015 Vulcan International Corp. 8,251 405,124 Wausau-Mosinee Paper Corp. 32,400 405,000 * Webco Industries, Inc. 37,500 215,625 Wellman, Inc. 250,200 2,812,248 * Williams Industries, Inc. 5,800 20,219 * # Zoltek Companies, Inc. 130,900 1,303,764 ---------------- Total Materials (Cost $105,678,165) 122,853,076 ---------------- Utilities -- (1.5%) American States Water Co. 115,200 3,223,296 * Aquila, Inc. 250,200 935,748 Artesian Resources Corp. Class A 800 25,816 * BayCorp Holdings, Ltd. 4,189 58,018 California Water Service Group 126,747 4,573,032 Cascade Natural Gas Corp. 98,400 1,891,248 Central Vermont Public Service Corp. 140,100 2,942,100 CH Energy Group, Inc. 42,700 1,930,040 Chesapeake Utilities Corp. 53,375 1,538,268 Connecticut Water Services, Inc. 93,287 2,334,041 Delta Natural Gas Co., Inc. 20,000 514,400 Empire District Electric Co. 180,200 4,140,996
45 * Energy West, Inc. 11,211 91,930 EnergySouth, Inc. 76,425 2,057,361 * Environmental Power Corp. 11,400 55,860 Florida Public Utilities Co. 22,800 403,560 Green Mountain Power Corp. 59,100 1,726,902 Laclede Group, Inc. 145,300 4,344,470 Maine & Maritimes Corp. 29,300 783,775 MGE Energy, Inc. 138,895 5,000,220 Middlesex Water Co. 56,000 1,083,040 Otter Tail Corp. 46,924 1,194,685 RGC Resources, Inc. 4,698 126,564 SEMCO Energy, Inc. 196,220 1,075,286 South Jersey Industries, Inc. 82,082 4,654,049 Southwest Water Co. 133,961 1,425,345 UIL Holdings Corp. 31,211 1,617,978 Unitil Corp. 39,500 1,071,635 ---------------- Total Utilities (Cost $37,494,218) 50,819,663 ---------------- Telecommunication Services -- (1.0%) * @Road, Inc. 378,053 1,043,426 Alaska Communications Systems Group, Inc. 232,300 2,199,881 * Boston Communications Group, Inc. 131,800 183,202 * # Broadwing Corp. 120,189 588,926 * # Cogent Communications Group, Inc. 2,451 56,398 * Covista Communications, Inc. 21,500 18,920 CT Communications, Inc. 130,232 1,575,807 D&E Communications, Inc. 96,400 779,876 * General Communications, Inc. Class A 366,935 3,023,544 * GoAmerica, Inc. 117 814 Hector Communications Corp. 24,700 568,100 Hickory Tech Corp. 12,800 116,224 * LCC International, Inc. Class A 137,300 490,161 * Lynch Interactive Corp. 59,200 1,568,800 * Metro One Telecommunications, Inc. 109,000 102,460 * Moscow CableCom Corp. 15,000 83,250 * # Network Plus Corp. 10,000 9 North Pittsburgh Systems, Inc. 102,603 1,924,832 * Pac-West Telecomm, Inc. 193,400 201,136 * Premiere Global Services, Inc. 373,925 4,206,656 * # Primus Telecommunications Group, Inc. 72,879 65,591 * Rural Cellular Corp. Class A 19,700 94,954 * SBA Communications Corp. 305,281 3,413,042 * Shared Technologies Cellular, Inc. 24,600 37 * SunCom Wireless Holdings, Inc. 410,100 861,210 SureWest Communications 98,508 2,344,490 * TALK America Holdings, Inc. 183,256 1,629,146 * Teleglobe International Holdings, Ltd. 14,650 34,867 * Time Warner Telecom, Inc. 220,297 1,123,515 * UbiquiTel, Inc. 638,944 4,421,492 * # US LEC Corp. 242,800 607,000 * Wireless Facilities, Inc. 491,631 2,531,900 * Xeta Corp. 85,700 274,240 ---------------- Total Telecommunication Services (Cost $36,209,648) 36,133,906 ----------------
46 Other -- (0.0%) * Big 4 Ranch, Inc. 35,000 0 * Breed Technologies, Inc. 5,600 78 * Bush Industries, Inc. Escrow 2,300 53 * Career Blazers, Inc. Trust Units 4,360 0 * Celebrity, Inc. Escrow Shares 13,500 0 * Convergence Systems, Inc. 13 0 * Denali, Inc. 33,100 0 * DLB Oil & Gas, Inc. 7,600 0 * ePresence, Inc. Escrow Shares 191,500 24,895 * # EquiMed, Inc. Nevis 6,533 1 * Hoenig Group Escrow Shares 61,000 0 * iGo Escrow Share 11,200 0 * # Imperial Sugar Co. 74,200 0 * Noel Group, Inc. 43,600 654 * # Nucentrix Broadband Networks, Inc. Escrow Shares 114,500 0 * Petrocorp, Inc. Escrow Shares 37,100 2,226 * # Source Media, Inc. 154,600 0 * Star Struck, Ltd. 500 463 * Starbiz Restrictive Shares 2 0 * StorageNetworks, Inc. Escrow Shares 56,400 1,528 * Suburban Lodges of America, Inc. Escrow Shares 127,500 0 Swisher International, Inc. 8,500 41,013 * # Trenwick Group, Ltd. 12,662 63 * Trump Entertainment Resorts, Inc. 63 826 * Wireless WebConnect!, Inc. 18,707 206 ---------------- Total Other (Cost $2,786,982) 72,006 ---------------- TOTAL COMMON STOCKS (Cost $2,698,813,159) 3,296,737,540 ---------------- RIGHTS/WARRANTS -- (0.0%) Other -- (0.0%) * American Banknote Corp. Warrants Series 1 10/01/07 205 0 * American Banknote Corp. Warrants Series 2 10/01/07 205 0 * # Angeion Corp. Warrants 10/31/20 1,294 0 * Chart Industries, Inc. Warrants 09/15/10 159 4,054 * Chiquita Brands International, Inc. Warrants 03/19/09 546 5,957 * Del Global Technologies Corp. Warrants 03/28/08 4,265 6,398 * Imperial Credit Industries, Inc. Warrants 01/31/08 1,010 0 * Imperial Sugar Co. Warrants 08/29/08 2,543 1,780 * Milltope Group, Inc. Contigent Value Rights 44,000 0 * Optical Cable Corp. Warrants 10/24/07 655 0 * # OSI Pharmaceuticals, Inc. Contingent Value Rights 4,500 405 PMR Corp. Contingent Value Rights 61,200 0 * # RCN Corp. Warrants 12/21/06 3 0 * Timco Aviation Services, Inc. Warrants 02/27/07 17,520 2 * Trico Marine Services, Inc. Warrants 03/15/08 Series B 2,334 3,711 * Trico Marine Services, Inc. Warrants 03/15/10 Series A 2,334 9,336 * Trump Entertainment Resorts, Inc. Warrants 05/23/06 7,027 0 * Virologic, Inc. Contingent Value Rights 155,210 27,162 ---------------- Total Other (Cost $968,656) 58,805 ----------------
47 Consumer Discretionary -- (0.0%) * Lodgian, Inc. Class A Warrants 11/25/07 1,813 63 * Lodgian, Inc. Class B Warrants 11/25/09 5,601 112 ---------------- Total Consumer Discretionary (Cost $0) 175 ---------------- Consumer Staples -- (0.0%) * Cruzan International, Inc. Rights 06/21/05 9,760 0 ---------------- (Cost $0) TOTAL RIGHTS/WARRANTS (Cost $968,656) 58,980 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) BONDS -- (0.0%) Other -- (0.0%) * Del Global Technologies Corp. Subordinated Promissory Note 6.000%, 03/28/07 $ 9 0 * Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 1 0 ---------------- Total Other (Cost $0) 0 TOTAL BONDS ---------------- (Cost $0) TEMPORARY CASH INVESTMENTS -- (6.0%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05 (Collateralized by $365,688,000 U.S. STRIPS, rates ranging from 6.125% to 9.875%, maturities ranging from 11/15/15 to 11/15/27, valued at $157,248,973) to be repurchased at $154,177,711 (Cost $154,165,206) 154,165 154,165,206 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $56,109,000 FHLMC Notes 4.00%, 09/22/09, valued at $56,179,136) to be repurchased at $55,352,443 (Cost $55,348,000) 55,348 55,348,000 ---------------- 209,513,206 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $209,513,206) 209,513,206 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $2,909,295,021) $ 3,506,309,726 ================
48 - ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 49 THE DFA INTERNATIONAL VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- UNITED KINGDOM -- (15.5%) COMMON STOCKS -- (15.5%) Amvescap P.L.C. 314,493 $ 1,844,950 Anglo America P.L.C. 2,159,787 51,459,160 Arriva P.L.C. 231,050 2,234,545 Associated British Foods P.L.C. 1,004,913 14,609,875 Associated British Ports Holdings P.L.C. 378,800 3,358,760 Aviva P.L.C. 2,630,567 29,431,339 AWG P.L.C. 76,018 1,236,854 BAA P.L.C. 1,632,557 18,467,632 BAE Systems P.L.C. 4,006,840 19,626,679 Barratt Developments P.L.C. 338,959 4,070,681 BBA Group P.L.C. 680,050 3,715,025 Bellway P.L.C. 38,000 588,284 Bovis Homes Group P.L.C. 132,000 1,640,865 BPB P.L.C. 458,500 4,271,338 Bradford & Bingley P.L.C. 273,288 1,531,177 Britannic P.L.C. 278,864 2,588,193 * British Airways P.L.C. 1,839,331 9,162,247 British Land Co. P.L.C. 874,751 13,839,395 British Vita P.L.C. 286,388 1,859,262 Brixton P.L.C. 359,333 2,403,207 Cable and Wireless P.L.C. 3,547,491 8,639,378 Carnival P.L.C. 157,273 8,610,132 * Colt Telecom Group P.L.C. 698,726 659,832 * Corus Group P.L.C. 6,312,988 5,208,408 Derwent Valley Holdings P.L.C. 49,351 1,029,762 Dixons Group P.L.C. 2,098,938 5,758,646 * Easyjet P.L.C. 294,025 1,204,320 FKI P.L.C. 856,795 1,503,534 Friends Provident P.L.C. 2,272,618 7,211,098 Great Portland Estates P.L.C. 239,324 1,566,808 Greene King P.L.C. 105,263 2,357,020 Hammerson P.L.C. 468,800 7,732,596 Hanson P.L.C. 963,671 8,887,742 HBOS P.L.C. 14,935 217,236 * Henderson Group P.L.C. 404,000 456,831 Hilton Group P.L.C. 2,710,354 13,989,594 InterContinental Hotels Group P.L.C. 864,975 10,045,164 International Power P.L.C. 2,525,271 8,885,196 ITV P.L.C. 1,567,741 3,259,794 Johnson Matthey P.L.C. 43,250 768,534 Kelda Group P.L.C. 161,510 1,889,016 Kingfisher P.L.C. 2,829,717 13,227,596 Land Securities Group P.L.C. 79,240 2,055,546
1 Liberty International P.L.C. 469,345 8,345,510 London Merchant Securities P.L.C. 358,862 1,495,001 Marks & Spencer Group P.L.C. 1,197,239 7,345,469 Mersey Docks & Harbour Co. P.L.C. 115,042 2,015,452 MFI Furniture Group P.L.C. 66,600 129,425 Millennium and Copthorne Hotels P.L.C. 493,245 3,190,438 Mitchells & Butlers P.L.C. 630,549 3,710,031 * O2 P.L.C. 8,760,348 20,295,896 Pearson P.L.C. 924,664 11,062,196 Peninsular & Oriental Steam Navigation P.L.C. 1,130,420 6,376,107 Pennon Group P.L.C. 58,615 1,074,131 Persimmon P.L.C. 278,509 3,780,846 Pillar Property P.L.C. 131,128 1,990,694 * Premier Oil P.L.C. 119,812 1,280,252 Rio Tinto P.L.C. 83,136 2,467,971 * Rolls Royce Group P.L.C. 2,749,448 13,556,759 * Rolls Royce Group P.L.C. Class B 137,472,400 249,800 Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,028,724 Royal Bank of Scotland Group P.L.C. 219,664 6,445,653 Sabmiller P.L.C. 192,609 2,957,793 Sainsbury (J.) P.L.C. 2,650,025 13,778,639 Scottish & Newcastle P.L.C. 1,005,702 8,689,619 Scottish Power P.L.C. 2,139,658 18,023,688 Severn Trent P.L.C. 210,597 3,875,426 Shire Pharmaceuticals Group P.L.C. 683,427 7,252,939 Singer & Friedlander Group P.L.C. 253,818 1,438,614 Slough Estates P.L.C. 706,900 6,604,174 Somerfield P.L.C. 741,014 2,656,721 Stanley Leisure P.L.C. 190,940 1,891,284 Tate & Lyle P.L.C. 660,070 5,679,426 Taylor Woodrow P.L.C. 998,309 5,746,854 * The Berkeley Group Holdings P.L.C. 228,802 3,438,341 Trinity Mirror P.L.C. 495,640 5,611,004 United Utilities P.L.C. 265,595 3,271,895 Vodafone Group P.L.C. 59,364,901 149,452,303 Whitbread P.L.C. 450,082 7,431,362 Wilson Bowden P.L.C. 105,900 2,193,495 Wimpey (George) P.L.C. 457,583 3,543,491 Wolverhampton & Dudley Breweries P.L.C. 107,366 2,162,199 Woolworths Group P.L.C. 2,125,199 1,351,588 WPP Group P.L.C. 394,800 4,207,903 Xstrata P.L.C. 496,100 8,892,658 ---------------- TOTAL COMMON STOCKS (Cost $542,532,199) 675,095,022 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling 14,769 ---------------- (Cost $14,769) TOTAL -- UNITED KINGDOM (Cost $542,546,968) 675,109,791 ----------------
2 JAPAN -- (13.9%) COMMON STOCKS -- (13.7%) Aichi Bank, Ltd. 8,100 763,449 # Aichi Steel Corp. 120,000 612,133 AIOI Insurance Co., Ltd. 928,735 4,601,504 Aisin Seiki Co., Ltd. 182,500 4,049,894 Akita Bank, Ltd. 115,000 520,024 Alpine Electronics, Inc. 36,800 523,837 Amada Co., Ltd. 376,000 2,553,049 # Anritsu Corp. 67,000 402,573 Aoyama Trading Co., Ltd. 50,400 1,221,105 Asahi Breweries, Ltd. 138,500 1,680,246 Asatsu-Dk, Inc. 32,500 933,957 # Autobacs Seven Co., Ltd. 23,700 740,320 Awa Bank, Ltd. 196,600 1,172,832 Bank of Iwate, Ltd. 15,300 871,226 # Bank of Kyoto, Ltd. 347,400 2,914,717 Bank of Nagoya, Ltd. 185,000 1,086,110 Canon Sales Co., Inc. 124,900 2,212,736 # Chiba Bank, Ltd. 941,000 6,385,328 Chudenko Corp. 41,100 644,314 Chugoku Bank, Ltd. 238,800 2,792,365 Citizen Watch Co., Ltd. 318,000 2,778,042 Coca-Cola West Japan Co., Ltd. 58,400 1,306,361 Comsys Holdings Corp. 105,000 885,061 Cosmo Oil Co., Ltd. 764,000 2,793,389 Dai Nippon Ink & Chemicals, Inc. 459,000 1,355,906 Dai Nippon Pharmaceutical Co., Ltd. 106,000 1,016,224 Dai Nippon Printing Co., Ltd. 937,000 14,782,487 Daibiru Corp. 9,000 66,251 Daicel Chemical Industries, Ltd. 485,000 2,517,757 Daido Steel Co., Ltd. 274,000 1,112,774 # Daio Paper Corp. 51,000 393,988 Daishi Bank, Ltd. 355,000 1,479,538 Daiwa House Industry Co., Ltd. 663,000 7,309,407 Denso Corp. 22,500 510,241 # Ebara Corp. 231,000 830,308 Ezaki Glico Co., Ltd. 174,600 1,393,597 Fuji Electric Co., Ltd. 525,780 1,594,855 Fuji Fire & Marine Insurance Co., Ltd. 297,000 881,192 Fuji Heavy Industries 752,000 3,139,462 Fuji Oil Co., Ltd. 55,200 574,115 Fuji Photo Film Co., Ltd. 770,000 23,978,455 Fujikura, Ltd. 355,000 1,799,156 Fukui Bank, Ltd. 343,000 1,300,575 # Fukuoka Bank, Ltd. 695,000 4,241,307 Fukuyama Transporting Co., Ltd. 266,000 1,045,649 Futaba Corp. 16,000 433,071 Futaba Industrial Co., Ltd. 44,100 837,845 Glory, Ltd. 54,600 922,653 Gunma Bank, Ltd. 444,000 2,640,827 Gunze, Ltd. 223,000 976,976 Hachijuni Bank, Ltd. 589,000 3,887,927 Hankyu Corp. 174,000 640,072
3 Hankyu Department Stores, Inc. 116,000 696,497 Hanshin Electric Railway Co., Ltd. 253,000 943,640 Heiwa Corp. 81,500 1,173,008 Heiwado Co., Ltd. 38,000 579,163 Higo Bank, Ltd. 308,000 2,198,248 Hitachi Cable, Ltd. 236,000 1,017,542 Hitachi Kokusai Electric, Inc. 87,000 760,908 Hitachi Maxell, Ltd. 96,000 1,166,763 Hitachi Metals, Ltd. 201,000 1,281,006 Hitachi Software Engineering Co., Ltd. 33,800 563,727 Hitachi Transport System, Ltd. 76,000 633,009 Hitachi, Ltd. 4,970,000 29,696,012 Hokkoku Bank, Ltd. 239,000 1,041,637 Hokuetsu Paper Mills, Ltd. 162,000 880,974 House Foods Corp. 117,000 1,648,185 Hyakugo Bank, Ltd. 258,000 1,582,335 Hyakujishi Bank, Ltd. 314,000 1,782,165 * Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,164,194 Itoham Foods, Inc. 132,000 601,220 Iyo Bank, Ltd. 237,000 1,889,496 Japan Airport Terminal Co., Ltd. 68,300 637,862 Joyo Bank, Ltd. 892,000 4,534,886 Juroku Bank, Ltd. 349,000 1,868,471 Kadokawa Holdings, Inc. 15,200 540,500 Kagoshima Bank, Ltd. 154,000 1,171,822 Kamigumi Co., Ltd. 357,000 2,660,128 Kandenko Co., Ltd. 129,000 758,687 Kanto Auto Works, Ltd., Yokosuka 12,600 147,981 Katokichi Co., Ltd. 103,500 723,388 Kawasaki Heavy Industries, Ltd. 910,000 1,628,496 Keiyo Bank, Ltd. 212,000 1,012,548 Kikkoman Corp. 259,000 2,345,042 Kinden Corp. 167,000 1,235,604 Kirin Brewery Co., Ltd. 1,152,000 11,268,141 # Kissei Pharmaceutical Co., Ltd. 41,000 782,210 Kobe Steel, Ltd. 2,041,000 3,549,885 Koito Manufacturing Co., Ltd. 101,000 1,085,932 Kokuyo Co., Ltd. 81,200 1,041,108 Komori Corp. 52,000 787,596 Kuraray Co., Ltd. 499,000 4,421,577 Kyocera Corp. 238,800 18,270,139 KYORIN Pharmaceutical Co., Ltd. 52,000 648,607 Maeda Corp. 129,000 711,651 Makita Corp. 209,000 4,069,632 Marubeni Corp. 1,942,000 6,128,947 Marui Co., Ltd. 408,600 5,669,748 Maruichi Steel Tube, Ltd. 117,000 2,495,996 Matsushita Electric Industrial Co., Ltd. 3,561,135 53,046,962 Matsushita Electric Works, Ltd. 403,000 3,331,039 Meiji Seika Kaisha, Ltd. Tokyo 292,000 1,421,273 Millea Holdings, Inc. 2,296 30,391,067 Mitsubishi Gas Chemical Co., Inc. 305,000 1,501,802 Mitsubishi Heavy Industries, Ltd. 4,791,000 12,331,213 Mitsubishi Logistics Corp. 106,000 1,010,933
4 Mitsubishi Materials Corp. 975,000 2,134,057 Mitsubishi Securities Co., Ltd. 226,000 1,883,182 Mitsui Chemicals, Inc. 807,800 4,580,860 Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 1,037,198 Mitsui Marine & Fire Insurance Co., Ltd. 2,138,000 19,431,714 Mitsumi Electric Co., Ltd. 45,800 484,763 # Mori Seiki Co., Ltd. 63,500 656,559 Morinaga Milk Industry Co., Ltd. 160,000 660,253 Musashino Bank, Ltd. 21,300 973,546 Nagase & Co., Ltd. 101,000 986,075 Namco, Ltd. 11,000 148,462 Nanto Bank, Ltd. 317,000 1,627,254 NGK Insulators, Ltd. 216,000 2,248,607 NGK Spark Plug Co., Ltd. 144,000 1,619,451 Nichicon Corp. 72,900 958,028 Nichirei Corp. 180,000 674,476 # Nifco, Inc. 37,000 579,950 Nihon Unisys, Ltd. 69,100 646,881 Nippon Express Co., Ltd. 211,000 959,175 # Nippon Kayaku Co., Ltd. 128,000 690,344 Nippon Meat Packers, Inc., Osaka 248,000 3,063,990 Nippon Mitsubishi Oil Corp. 1,871,050 12,203,013 Nippon Paint Co., Ltd. 184,000 643,029 Nippon Sheet Glass Co., Ltd. 358,000 1,398,783 Nippon Shinpan Co., Ltd. 191,000 930,169 Nippon Shokubai Co., Ltd. 163,000 1,306,161 Nippon Suisan Kaisha, Ltd. 143,000 542,657 Nippon Television Network Corp. 9,400 1,314,856 Nippon Unipac Holding, Tokyo 1,080 4,197,550 Nipponkoa Insurance Co., Ltd. 909,000 6,286,099 * Nipro Corp. 42,000 627,234 # Nishimatsu Construction Co., Ltd. 364,000 1,227,341 Nissay Dowa General Insurance Co., Ltd. 383,000 1,926,866 Nisshin Seifun Group, Inc. 165,000 1,622,652 Nisshin Steel Co., Ltd. 753,000 1,832,813 Nisshinbo Industries, Inc. 305,000 2,340,054 NSK, Ltd. 319,000 1,546,136 Obayashi Corp. 751,000 3,798,076 Ogaki Kyoritsu Bank, Ltd. 227,000 1,342,026 Oita Bank, Ltd. 81,000 524,068 Oji Paper Co., Ltd. 924,000 4,886,947 Okumura Corp. 175,000 942,537 Onward Kashiyama Co., Ltd. 125,000 1,519,788 PanaHome Corp. 106,000 553,566 Pioneer Electronic Corp. 196,200 3,232,942 Promise Co., Ltd. 60,500 3,757,748 Q.P. Corp. 109,600 953,070 Rengo Co., Ltd. 180,000 930,307 * Resona Holdings, Inc. 1,873,000 3,562,488 Rinnai Corp. 37,100 931,643 Ryosan Co., Ltd. 30,500 743,967 San In Godo Bank, Ltd. 144,000 1,374,980 Sanwa Shutter Corp. 101,000 564,277 Sanyo Chemical Industries, Ltd. 54,000 390,521
5 # Sanyo Electric Co., Ltd. 1,981,000 5,373,145 # Sapporo Breweries, Ltd. 251,000 1,251,396 Sapporo Hokuyo Holdings, Inc. 271 1,956,724 Seino Transportation Co., Ltd. 193,000 1,687,227 Sekisui Chemical Co., Ltd. 557,000 3,857,932 Sekisui House, Ltd. 942,000 9,223,018 Seventy-seven (77) Bank, Ltd. 334,000 2,100,276 SFCG Co., Ltd. 8,010 2,035,396 Shiga Bank, Ltd. 272,000 1,682,500 Shikoku Bank, Ltd. 153,000 819,740 Shimachu Co., Ltd. 49,900 1,240,974 Shinko Securities Co., Ltd. 540,000 1,631,886 Shizuoka Bank, Ltd. 744,000 6,412,659 Sohgo Security Services Co.,Ltd. 73,300 933,443 Sumitomo Bakelite Co., Ltd. 105,000 653,160 Sumitomo Corp. 471,000 3,761,719 Sumitomo Electric Industries, Ltd. 899,000 9,429,436 Sumitomo Forestry Co., Ltd. 139,000 1,208,517 Sumitomo Metal Mining Co., Ltd. 215,000 1,375,456 Sumitomo Osaka Cement Co., Ltd. 348,000 835,765 Sumitomo Trust & Banking Co., Ltd. 21,000 124,207 Sumitomo Warehouse Co., Ltd. 114,000 583,082 Suzuken Co., Ltd. 56,700 1,505,343 Taiheiyo Cement Corp. 1,209,800 3,133,016 Taiyo Yuden Co., Ltd. 126,000 1,399,978 Takara Standard Co., Ltd. 118,000 754,442 Takashimaya Co., Ltd. 124,000 1,038,260 Teijin, Ltd. 893,000 3,920,705 Teikoku Oil Co., Ltd. 346,000 2,336,074 The Nisshin Oillio Group, Ltd. 48,000 271,062 Toda Corp. 203,000 829,553 Toho Bank, Ltd. 87,000 356,324 Tokai Tokyo Securities Co., Ltd. 155,000 456,439 Tokuyama Corp. 248,000 1,829,540 Tokyo Broadcasting System, Inc. 117,500 1,975,348 Tokyo Dome Corp. 110,000 598,434 Tokyo Style Co., Ltd. 133,000 1,353,008 Tokyo Tatemono Co., Ltd. 143,000 987,906 Toppan Forms Co., Ltd. 33,200 364,492 Toppan Printing Co., Ltd. 720,000 7,318,236 Toshiba TEC Corp. 181,000 799,920 Tostem Inax Holding Corp. 324,500 5,520,102 Toyo Ink Manufacturing Co., Ltd. 174,000 676,293 Toyo Seikan Kaisha, Ltd. 287,600 4,985,498 Toyo Suisan Kaisha, Ltd. 64,000 1,003,435 Toyoda Machine Works, Ltd. 54,000 521,549 Toyota Auto Body Co., Ltd. 86,000 1,683,836 TV Asahi Corp. 565 1,157,225 UNY Co., Ltd. 158,000 1,713,715 # Wacoal Corp. 149,000 1,981,030 Yamaguchi Bank, Ltd. 151,000 1,708,035 Yamaha Corp. 250,100 3,652,658 Yamanashi Chuo Bank, Ltd. 140,000 840,378 Yamatake Corp. 47,700 787,021
6 Yamato Kogyo Co., Ltd. 32,000 366,676 Yamazaki Baking Co., Ltd. 155,000 1,331,732 Yasuda Fire & Marine Insurance Co., Ltd. 431,000 4,354,284 Yodogawa Steel Works, Ltd. 123,000 649,356 Yokohama Rubber Co., Ltd. 410,000 1,684,596 York-Benimaru Co., Ltd. 29,300 814,490 ---------------- TOTAL COMMON STOCKS (Cost $581,985,790) 601,474,625 ---------------- INVESTMENT IN CURRENCY -- (0.2%) * Japanese Yen 8,010,462 ---------------- (Cost $8,054,614) TOTAL -- JAPAN (Cost $590,040,404) 609,485,087 ---------------- FRANCE -- (10.2%) COMMON STOCKS -- (10.2%) Air France 192,225 3,059,396 Air Liquide SA 9,820 1,714,730 Arcelor SA 167,800 3,336,596 # Assurances Generales de France (AGF) 177,559 14,242,010 # AXA 2,459,139 60,024,211 # BNP Paribas SA 1,368,012 91,964,838 # Bongrain SA 7,145 440,239 # * Business Objects SA 94,856 2,723,788 * Cap Gemini SA 167,370 5,339,463 # * CNP Assurances 33,992 2,278,353 # Compagnie de Saint-Gobain 455,792 26,216,746 # Compagnie Francaise d'Etudes et de Construction Technip SA 105,512 4,660,453 # Credit Agricole SA 27,709 718,511 # Eiffage SA 10,431 832,447 Esso SA 686 115,573 # Euler-Hermes SA 10,710 809,734 Faurecia SA 30,445 2,283,397 # Fimalac SA 46,887 2,147,169 * Gecina SA 29,500 3,577,499 # Generale des Establissements Michelin SA Series B 212,585 13,428,150 Havas SA 300,744 1,777,230 # Imerys SA 44,000 3,170,823 # LaFarge SA 253,511 22,940,260 LaFarge SA Prime Fidelity 85,542 7,800,086 # Lagardere S.C.A. SA 10,900 776,091 # Peugeot SA 238,144 14,252,610 # Pinault Printemps Redoute SA 100,151 9,912,856 Remy Cointreau SA 56,022 2,364,088 # Renault SA 317,738 27,183,519 # Schneider SA 318,189 23,394,591 SEB SA Prime Fidelity 9,900 1,017,849 # Societe BIC SA 52,288 2,807,476 # Societe des Ciments de Francais 35,796 3,271,505 # Societe Generale Paris 293,528 28,842,183
7 Sodexho Alliance SA 122,494 3,932,540 # Suez (ex Suez Lyonnaise des Eaux) 666,220 17,918,894 # Thomson Multimedia 345,508 8,772,529 # Unibail SA 58,749 7,466,708 # Valeo SA 103,212 4,319,434 Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 4,504 1,042,930 # Vivendi Universal SA 403,364 12,284,113 ---------------- TOTAL COMMON STOCKS (Cost $337,331,390) 445,161,618 ---------------- RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 16,500 7,513 * Rallye SA Series B Warrants 11/30/05 18,020 1,330 ---------------- TOTAL RIGHTS/WARRANTS (Cost $28,587) 8,843 ---------------- TOTAL -- FRANCE (Cost $337,359,977) 445,170,461 ---------------- GERMANY -- (6.1%) COMMON STOCKS -- (6.1%) * Aachener und Muenchener Beteiligungs AG 33,828 2,733,015 Allianz AG 11,053 1,301,390 BASF AG 154,032 10,222,522 # Bayer AG 498,853 16,751,199 # Bayerische Motorenwerke AG 519,011 22,440,762 * Bayerische Vereinsbank AG 845,488 20,776,122 BHW Holding AG 10,667 183,041 Bilfinger & Berger Bau AG 23,702 1,125,170 # Commerzbank AG 594,131 12,903,783 # DaimlerChrysler AG 1,368,494 55,172,318 # Deutsche Bank AG 770,191 59,920,101 E.ON AG 12,593 1,093,248 Fraport AG 68,708 2,836,900 Fresenius Medical Care AG 18,966 1,489,708 * Heidelberger Druckmaschinen AG 46,167 1,425,361 Heidelberger Zement AG 78,542 5,023,273 # Hochtief AG 71,840 2,441,166 Hypo Real Estate Holding AG 84,277 3,318,984 * IVG Immobilien AG 30,276 550,018 * Lanxess 49,885 1,058,301 # * Linde AG 77,043 5,228,378
8 Merck KGAA 67,288 5,255,818 * MG Technologies AG 150,773 1,709,520 # Preussag AG 181,223 4,492,857 Salzgitter AG 13,041 305,122 SCA Hygiene Products AG 3,550 1,266,675 Suedzucker AG 26,428 498,662 ThyssenKrupp AG 450,803 8,276,198 Vattenfall Europe AG 90,913 3,557,582 # Volkswagen AG 295,657 13,011,886 ---------------- TOTAL -- GERMANY (Cost $248,181,818) 266,369,080 ---------------- SWITZERLAND -- (5.9%) COMMON STOCKS -- (5.9%) Baloise-Holding 214,760 11,213,948 Bank Sarasin & Cie Series B, Basel 180 302,919 Banque Cantonale Vaudoise 12,608 2,784,576 Berner Kantonalbank 15,175 2,237,805 Ciba Spezialitaetenchemie Holding AG 81,000 4,815,990 Cie Financiere Richemont AG Series A 1,251,000 38,086,850 * Clariant AG 64,982 910,858 # Credit Swisse Group 1,452,179 58,093,081 * Fischer (Georg) AG, Schaffhausen 1,280 379,447 # Givaudan SA 5,792 3,447,490 Holcim, Ltd. 199,770 12,143,764 Jelmoli Holding AG 500 679,112 Luzerner Kantonalbank AG 12,294 2,362,894 Pargesa Holding SA, Geneve 1,935 6,973,437 * PSP Swiss Property AG 109,600 4,835,314 Rieters Holdings AG 7,860 2,130,195 Sig Holding AG 30,888 6,567,412 * Sika Finanz AG, Baar 3,828 2,404,569 St. Galler Kantonalbank 10,146 2,583,336 * Swiss Life AG 132,137 17,447,146 # Swiss Reinsurance Co., Zurich 330,715 20,472,030 * Syngenta AG 165,100 17,067,625 # Unaxis Holding AG 45,400 6,370,296 * Valiant Holding AG 39,295 3,461,651 * Valora Holding AG 12,170 2,670,439 * Zurich Financial SVCS AG 152,206 25,283,580 ---------------- TOTAL -- SWITZERLAND (Cost $188,429,435) 255,725,764 ---------------- AUSTRALIA -- (4.5%) COMMON STOCKS -- (4.4%) Amcor, Ltd. 881,869 4,510,853 AMP, Ltd. 1,026,864 5,103,408 Ansell, Ltd. 303,463 2,103,777
9 APN News & Media, Ltd. 509,371 1,958,875 # Australand Property Group 674,862 718,280 AWB, Ltd. 364,594 1,223,471 AXA Asia Pacific Holdings, Ltd. 2,837,724 9,943,499 Bluescope Steel, Ltd. 1,252,100 7,606,018 Boral, Ltd. 944,335 4,224,733 Brickworks, Ltd. 37,510 285,742 Caltex Australia, Ltd. 238,359 2,710,833 Commonwealth Bank of Australia 1,376,094 38,441,344 CSR, Ltd. 1,514,337 2,826,140 Downer Group, Ltd. 225,933 900,086 Futuris Corp., Ltd. 531,719 677,624 Insurance Australiz Group, Ltd. 763,270 3,361,898 Lend Lease Corp., Ltd. 568,460 5,236,997 Lion Nathan, Ltd. 871,345 4,827,362 Mayne Group, Ltd. 1,315,561 4,588,824 Mirvac, Ltd. 1,229,901 3,098,714 National Australia Bank, Ltd. 1,823,878 43,291,233 Onesteel, Ltd. 505,842 957,969 Orica, Ltd. 51,604 612,186 Origin Energy, Ltd. 817,347 4,402,584 Paperlinx, Ltd. 727,704 1,272,060 Publishing and Broadcasting, Ltd. 219,621 2,522,066 Quantas Airways, Ltd. 3,489,827 8,465,231 Rinker Group, Ltd. 982,162 9,119,299 Santos, Ltd. 972,348 7,385,686 Seven Network, Ltd. 211,508 1,137,210 Stockland Trust Group 22,867 95,265 * Stockland Trust Group Issue 05 772 3,184 WMC Resources, Ltd. 1,821,249 10,609,212 ---------------- TOTAL COMMON STOCKS (Cost $133,957,352) 194,221,663 ---------------- INVESTMENT IN CURRENCY -- (0.1%) * Australian Dollar 3,698,009 ---------------- (Cost $3,701,213) TOTAL -- AUSTRALIA (Cost $137,658,565) 197,919,672 ---------------- NETHERLANDS -- (4.4%) COMMON STOCKS -- (4.4%) ABN AMRO Holding NV 35,897 833,655 Aegon NV 2,897,384 37,096,508 DSM NV 134,117 8,977,717 # Hunter Douglas NV 94,242 4,873,152 IHC Caland NV 16,740 1,073,392 ING Groep NV 2,065,009 57,137,284 * Koninklijke Ahold NV 1,815,643 13,705,566 Koninklijke KPN NV 2,458,914 19,554,154 Koninklijke Nedlloyd NV 21,621 1,483,685 Koninklijke Philips Electronics NV 1,412,706 36,135,774
10 NV Holdingsmij de Telegraaf 6,800 146,078 VNU NV 387,846 10,550,466 ---------------- TOTAL COMMON STOCKS (Cost $157,028,179) 191,567,431 ---------------- RIGHTS/WARRANTS -- (0.0%) * SBM Offshore Coupons 16,740 0 ---------------- (Cost $0) TOTAL -- NETHERLANDS (Cost $157,028,179) 191,567,431 ---------------- HONG KONG -- (2.9%) COMMON STOCKS -- (2.9%) Cheung Kong Holdings, Ltd. 2,727,000 24,802,772 China Overseas Land & Investment, Ltd. 1,864,000 348,558 China Travel International Investment, Ltd. 680,000 187,219 China Unicom, Ltd. 5,118,000 4,103,851 # Citic Ka Wah Bank, Ltd. 1,272,000 468,472 Citic Pacific, Ltd. 934,000 2,598,145 Great Eagle Holdings, Ltd. 308,987 703,437 Hang Lung Development Co., Ltd. 2,518,000 4,294,704 Henderson Land Development Co., Ltd. 1,122,000 5,103,391 Hong Kong and Shanghai Hotels, Ltd. 892,417 932,191 Hopewell Holdings, Ltd. 1,455,000 3,593,405 Hutchison Whampoa, Ltd. 3,751,000 32,550,877 Hysan Development Co., Ltd. 2,157,039 4,339,438 # Kerry Properties, Ltd. 2,312,291 5,059,302 New World Development Co., Ltd. 3,131,239 3,266,789 Shanghai Industrial Holdings, Ltd. 1,094,000 2,120,039 # Shangri-La Asia, Ltd. 3,000,733 4,530,388 # Sino Land Co., Ltd. 8,212,433 8,409,841 Tsim Sha Tsui Properties, Ltd. 472,000 815,730 Union Bank of Hong Kong, Ltd. 364,000 450,473 Wharf Holdings, Ltd. 3,438,214 11,212,895 # Wheelock and Co., Ltd. 3,940,000 5,674,640 Wheelock Properties, Ltd. 1,485,000 761,763 ---------------- TOTAL -- HONG KONG (Cost $112,259,789) 126,328,320 ---------------- SWEDEN -- (2.7%) COMMON STOCKS -- (2.7%) Carbo AB 2,900 70,670 Castellum AB 4,100 158,082 Electrolux AB Series B 324,100 7,084,855 Gambro AB Series A 555,400 7,366,291 Gambro AB Series B 216,300 2,881,955 Holmen AB Series A 6,300 178,842 # Holmen AB Series B 155,700 4,187,532
11 # NCC AB Series B 59,700 875,994 Nordic Baltic Holdings AB 2,603,100 23,777,113 Skandinaviska Enskilda Banken Series A 368,800 6,344,263 Skandinaviska Enskilda Banken Series C 9,800 161,411 # * SKF AB Redeemable Shares Series A 22,650 75,795 * SKF AB Redeemable Shares Series B 29,700 99,387 SKF AB Series A 90,600 926,347 SKF AB Series B 118,800 1,213,623 SSAB Swedish Steel Series A 180,800 4,395,242 SSAB Swedish Steel Series B 60,500 1,420,951 # Svenska Cellulosa AB Series A 19,000 652,990 Svenska Cellulosa AB Series B 221,100 7,527,170 Telia AB 2,582,000 12,778,300 Trelleborg AB Series B 160,600 2,495,014 Volvo AB Series A 243,200 9,607,395 Volvo AB Series B 443,400 18,127,730 Whilborg Fastigheter AB Class B 173,980 3,510,524 # * Wihlborgs Fastigheter AB 34,796 818,350 ---------------- TOTAL COMMON STOCKS (Cost $88,187,543) 116,735,826 ---------------- RIGHTS/WARRANTS -- (0.0%) * SSAB Svenskt AB Redemption Rights 05/23/05 180,800 87,473 * SSAB Svenskt AB Series B Redemption Rights 05/23/05 60,500 34,962 * TeliaSonera AB Redeemable Rights 06/09/05 2,317,000 221,083 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 343,518 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona 14,372 ---------------- (Cost $14,635) TOTAL -- SWEDEN (Cost $88,202,178) 117,093,716 ---------------- SPAIN -- (2.6%) COMMON STOCKS -- (2.6%) Acerinox SA 261,360 3,771,894 Arcelor SA 30,000 594,540 Autopistas Concesionaria Espanola SA 310,251 6,919,589 Banco de Andalucia 900 79,322 Banco de Sabadell SA 154,021 4,039,655 # Banco Pastor SA 59,400 2,217,359 Banco Santander Central Hispanoamerica SA 84,304 963,043 # Cementos Portland SA 21,016 1,443,017 Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 2,135,749 # Ebro Puleva SA 120,322 2,164,453 # Endesa SA, Madrid 1,136,646 24,738,040 Gas Natural SA, Buenos Aires 121,385 3,402,534 # Iberdrola SA 535,000 13,646,506 # Iberia Lineas Aereas de Espana SA 617,500 1,951,947
12 # Inmobiliaria Urbis SA 96,328 1,634,652 Repsol SA 1,289,224 32,239,985 Sociedad General de Aguas de Barcelona SA 119,484 2,406,473 * Sociedad General de Aguas de Barcelona SA 1,194 23,994 # Sol Melia SA 157,217 1,650,123 Union Fenosa SA 230,000 6,921,699 Vallehermoso SA 46,125 929,543 ---------------- TOTAL -- SPAIN (Cost $70,367,226) 113,874,117 ---------------- ITALY -- (2.3%) COMMON STOCKS -- (2.3%) * Alitalia Linee Aeree Italiane SpA Series A 6,690,000 2,126,779 # Banca Antoniana Popolare Veneta SpA 83,000 2,649,800 # Banca Monte Dei Paschi di Siena SpA 2,279,872 8,187,429 # * Banca Nazionale del Lavoro SpA 2,230,687 7,519,362 # Banca Popolare di Lodi Scarl 437,995 4,271,876 Banca Popolare di Milano 730,208 7,398,062 # Benetton Group SpA 181,249 1,644,732 # Buzzi Unicem SpA 67,793 975,483 # Caltagirone Editore SpA 184,888 1,651,000 Capitalia SpA 2,992,113 15,632,746 # CIR SpA (Cie Industriale Riunite), Torino 500,000 1,381,906 # Compagnia Assicuratrice Unipol SpA 745,685 2,953,366 # * Edison SpA 1,734,262 3,929,021 Erg SpA 197,993 3,067,753 # * Fiat SpA 1,054,970 7,108,155 # Italcementi SpA 444,060 6,857,544 # Italmobiliare SpA, Milano 33,664 2,091,219 Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 122,539 Milano Assicurazioni SpA 182,000 1,034,660 # Pirelli & Co. SpA 1,486,658 1,640,719 # SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 4,368,323 # San Paolo-IMI SpA 833,105 11,571,110 Societe Cattolica di Assicurazoni Scarl SpA 8,800 384,956 ---------------- TOTAL COMMON STOCKS (Cost $85,190,508) 98,568,540 ---------------- RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 2007 51,693 12,086 ---------------- (Cost $0) TOTAL -- ITALY (Cost $85,190,508) 98,580,626 ---------------- IRELAND -- (1.8%) COMMON STOCKS -- (1.8%) Allied Irish Banks P.L.C. 688,656 14,288,890 Bank of Ireland P.L.C. 1,181,012 17,929,477
13 CRH P.L.C. 1,243,314 31,389,925 * Elan Corp. P.L.C. 587,038 4,481,845 Irish Permanent P.L.C. 650,175 10,813,430 ---------------- TOTAL -- IRELAND (Cost $73,640,064) 78,903,567 ---------------- FINLAND -- (1.2%) COMMON STOCKS -- (1.2%) Fortum Oyj 383,200 5,804,712 Huhtamaki Van Leer Oyj 2,300 34,923 Kemira GrowHow Oyj 21,542 166,892 Kemira Oyj 101,377 1,349,484 Kesko Oyj 157,000 3,763,045 Metso Oyj 219,166 4,387,953 M-Real Oyj Series B 253,400 1,367,837 Okobank Class A 65,000 1,036,945 Outokumpu Oyj Series A 351,300 4,845,269 Rautaruukki Oyj Series K 75,900 1,069,234 Stora Enso Oyj Series R 922,500 12,120,767 Upm-Kymmene Oyj 865,900 16,741,637 Wartsila Corp. Oyj Series B 59,400 1,787,015 ---------------- TOTAL -- FINLAND (Cost $47,739,726) 54,475,713 ---------------- BELGIUM -- (1.2%) COMMON STOCKS -- (1.2%) Ackermans & Van Haaren SA 4,187 166,139 Banque Nationale de Belgique 1,049 4,308,998 Bekaert SA 2,787 206,610 Cofinimmo SA 1,108 175,964 # * Cumerio 70,740 974,956 * Cumerio VVPR 2,009 74 # Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 231,485 13,660,326 # Dexia SA 191,251 4,149,578 D'Ieteren SA 431 85,582 # Groupe Bruxelles Lambert 55,500 4,720,650 * ING Bank Belgium NV 128 0 Interbrew SA 196,392 6,490,050 KBC Bancassurance Holding SA 127,286 10,318,758 # Nationale a Portefeuille 4,029 853,844 # Suez (ex Suez Lyonnaise des Eaux) 95,400 2,568,186 * Umicore-Strip VVPR 2,009 270 Union Miniere SA 70,740 5,556,572 ---------------- TOTAL -- BELGIUM (Cost $39,649,089) 54,236,557 ----------------
14 DENMARK -- (1.2%) COMMON STOCKS -- (1.2%) Carlsberg A.S. Series B 35,725 1,748,981 # Codan A.S. 57,000 2,788,695 Danisco A.S. 90,330 6,219,533 Danske Bank A.S. 481,453 13,815,709 * Jyske Bank A.S. 89,350 3,413,511 Nordea AB 475,918 4,348,109 Rockwool, Ltd. 16,200 1,124,376 Sydbank A.S. 71,200 1,477,059 Tele Danmark A.S. 380,150 16,760,739 ---------------- TOTAL -- DENMARK (Cost $36,729,428) 51,696,712 ---------------- NORWAY -- (1.0%) COMMON STOCKS -- (1.0%) Den Norske Bank ASA Series A 905,394 8,757,199 * Fred Olsen Energy ASA 34,000 682,271 # Norsk Hydro ASA 287,800 23,325,408 Norske Skogindustrier ASA Series A 247,500 3,801,116 Orkla ASA Series A 96,900 3,302,860 Prosafe ASA 7,300 219,358 Storebrand ASA 415,300 3,455,309 ---------------- TOTAL -- NORWAY (Cost $36,542,042) 43,543,521 ---------------- SINGAPORE -- (0.7%) COMMON STOCKS -- (0.7%) # Creative Technology Co., Ltd. 39,550 314,458 DBS Group Holdings, Ltd. 813,000 6,769,561 Fraser & Neave, Ltd. 756,290 7,112,115 Keppel Land, Ltd. 258,000 352,261 Neptune Orient Lines, Ltd. 189,000 378,024 Overseas Chinese Banking Corp., Ltd. 94,000 782,999 SembCorp Industries, Ltd. 690,900 938,841 Singapore Airlines, Ltd. 1,258,000 8,653,781 Singapore Land, Ltd. 813,000 2,529,545 United Overseas Bank, Ltd. 66,000 565,603 # United Overseas Land, Ltd. 1,734,000 2,282,735 ---------------- TOTAL -- SINGAPORE (Cost $26,577,243) 30,679,923 ----------------
15 PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) Banco Comercial Portugues SA 2,332,042 6,034,412 Banco Espirito Santo e Comercial de Lisboa 192,268 3,018,327 BPI SGPS SA 635,057 2,402,573 Cimpor Cimentos de Portugal SA 385,415 2,067,538 Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,487,422 ---------------- TOTAL -- PORTUGAL (Cost $14,634,454) 16,010,272 ---------------- GREECE -- (0.3%) COMMON STOCKS -- (0.3%) * Agricultural Bank of Greece S.A. 123,600 895,249 Alpha Credit Bank 42,048 1,155,740 Bank of Greece 8,520 1,075,583 Bank of Piraeus S.A. 4,600 82,240 * Commercial Bank of Greece 44,760 1,371,166 EFG Eurobank Ergasias S.A. 60,097 1,851,458 Hellenic Petroleum S.A. 159,140 1,530,147 Hellenic Telecommunication Organization Co. S.A. 276,079 4,918,577 National Bank of Greece 20,176 680,936 ---------------- TOTAL -- GREECE (Cost $9,708,569) 13,561,096 ---------------- AUSTRIA -- (0.3%) COMMON STOCKS -- (0.3%) Bank Austria Creditanstalt AG 70,493 6,932,327 Bohler Uddeholm AG 6,402 826,246 Voestalpine AG 62,211 4,194,277 Wienerberger AG 10,244 453,991 ---------------- TOTAL COMMON STOCKS (Cost $8,010,878) 12,406,841 ---------------- RIGHTS/WARRANTS -- (0.0%) * Boehler-Uddeholm AG Rights 06/02/05 6,402 0 ---------------- (Cost $0) TOTAL -- AUSTRIA (Cost $8,010,878) 12,406,841 ---------------- EMU -- (0.2%) INVESTMENT IN CURRENCY -- (0.2%) * Euro Currency 8,495,382 ---------------- (Cost $8,683,335)
16 NEW ZEALAND -- (0.1%) COMMON STOCKS -- (0.1%) Auckland International Airport, Ltd. 399,312 575,334 Carter Holt Harvey, Ltd. 1,955,577 2,456,271 Fletcher Building, Ltd. 693,880 3,045,029 ---------------- TOTAL -- NEW ZEALAND (Cost $5,397,217) 6,076,634 ---------------- MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Rekapacific Berhad 691,000 0 ---------------- (cost $1,085,853)
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (20.6%) ^ Repurchase Agreement, Deutsche Bank Securities, Merrill Lynch & Mizuho Securities USA 2.96%, 3.07%, and 2.98%, respectively, 06/01/05 (Collateralized by $1,247,813,560 U.S. TIPS 1.875%, 07/15/13 and 3.375%, 01/15/07; U.S. STRIPS, rates ranging from 0% to 10.75%, maturities ranging from 08/15/05 to 02/15/31; GNMA's, rates ranging from 3.75% to 5.75%, maturities ranging from 01/20/34 to 05/20/35; AID-Israel, rates ranging from 0% to 5.50%, maturities ranging from 11/01/13 to 09/18/23; & U.S. Treasury Notes, rates ranging from 1.125% to 4.75%, maturities ranging from 06/30/05 to 02/15/15, valued at $915,552,116) to be repurchased at $897,667,509 (Cost $897,592,866) $ 897,593 897,592,866 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $3,763,255,811) $ 4,364,903,149 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 17 THE JAPANESE SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- JAPAN -- (77.6%) COMMON STOCKS -- (77.2%) Industrials -- (21.7%) # * A&A Material Corp. 123,000 $ 166,283 # Advan Co., Ltd. 62,300 812,276 ADVANEX, Inc. 78,000 312,390 Aica Kogyo Co., Ltd. 157,000 1,796,579 Aichi Corp. 166,700 887,368 Aida Engineering, Ltd. 113,000 609,070 # Airtech Japan, Ltd. 12,100 118,542 # Alps Logistics Co., Ltd. 35,400 663,319 Altech Co., Ltd. 14,000 101,571 Altech Corp. 17,050 195,329 Amano Corp. 184,000 1,910,494 Amatsuji Steel Ball Manufacturing Co., Ltd. 42,000 480,324 Ando Corp. 165,000 434,483 Anest Iwata Corp. 100,000 327,786 * Arai-Gumi, Ltd. 34,450 67,418 Asahi Diamond Industrial Co., Ltd. 162,000 1,013,388 Asahi Kogyosha Co., Ltd. 48,000 179,659 # Asahi Pretec Corp. 48,000 688,438 * Asahi Tec Corp. 118,000 216,155 # Asahi Techno Glass Corp. 126,000 676,712 Asanuma Corp. 162,000 323,459 Asia Air Survey Co., Ltd. 17,000 72,465 Asia Securities Printing Co., Ltd. 36,000 416,944 Asunaro Construction, Ltd. 102,000 575,244 Ataka Constuction & Engineering Co., Ltd. 38,000 147,529 Bando Chemical Industries, Ltd. 236,000 1,007,264 Biken Techno Corp. 4,200 35,499 # BSL Corp. 432,140 820,879 Bunka Shutter Co., Ltd. 153,000 806,104 * Cats, Inc. 15,400 426 Central Security Patrols Co., Ltd. 31,400 255,415 # Chugai Ro Co., Ltd. 201,000 486,955 # Chuo Denki Kogyo Co., Ltd. 54,000 311,167 CKD Corp. 139,000 988,330 Commuture Corp. 97,202 707,009 # Cosel Co., Ltd. 45,500 1,211,471 CTI Engineering Co., Ltd. 38,200 326,567 Dai-Dan Co., Ltd. 102,000 590,813 Daifuku Co., Ltd. 249,000 2,076,609 Daihen Corp. 292,000 761,105 Daiho Corp. 125,000 302,648 Dai-Ichi Jitsugyo Co., Ltd. 119,000 431,432
1 Daimei Telecom Engineering Corp. 84,000 720,708 Daiseki Co., Ltd. 51,000 717,629 # * Daisue Construction Co., Ltd. 151,500 158,175 Daiwa Industries, Ltd. 101,000 574,777 # Danto Corp. 62,000 237,977 # Densei-Lambda KK 34,584 444,384 Denyo Co., Ltd. 56,000 482,038 DMW Corp. 1,600 65,361 Eikoh, Inc. 12,100 112,104 # * Enshu, Ltd. 96,000 282,678 # * Fudo Construction Co., Ltd. 346,200 614,876 * Fujita Corp. 365,100 281,154 # Fujitec Co., Ltd. 203,000 1,049,253 Fujitsu Devices, Inc. 51,000 562,449 Fukuda Corp. 96,000 597,816 Fukusima Industries Corp. 20,000 265,418 # * Furukawa Co., Ltd. 908,000 1,098,086 Hakuyosha Co., Ltd. 57,000 177,342 Haltec Corp. 32,000 66,056 * Hamai Co., Ltd. 22,000 34,705 # Hanwa Co., Ltd. 484,000 1,606,737 * Hazama Corp. 152,500 362,450 Hibiya Engineering, Ltd. 84,000 752,148 # Hisaka Works, Ltd. 41,000 377,365 Hitachi Kiden Kogyo, Ltd. 27,000 119,994 Hitachi Metals Techno, Ltd. 13,000 45,437 Hitachi Plant Engineering & Construction Co., Ltd. 260,000 1,255,218 Hitachi Tool Engineering, Ltd. 55,000 605,545 Hitachi Transport System, Ltd. 75,000 624,680 # * Hitachi Zosen Corp. 1,147,500 1,485,018 Hokuriku Electrical Construction Co., Ltd. 36,000 129,767 # * Hosokawa Micron Corp. 78,000 683,227 # * Howa Machinery, Ltd. 235,000 288,126 * Ichiken Co., Ltd. 48,000 84,363 # Iino Kaiun Kaisha, Ltd. 263,000 1,209,897 i-Logistics Corp. 52,000 178,771 Inaba Denki Sangyo Co., Ltd. 58,400 1,625,874 Inabata and Co., Ltd., Osaka 126,000 1,035,108 Inui Steamship Co., Ltd. 68,000 321,843 # Iseki & Co., Ltd. 498,000 1,270,849 # * Ishikawa Seisakusho, Ltd. 75,000 160,822 Ishikawajima Construction Materials Co., Ltd. 18,000 50,852 Ishikawajima Transport Machinery Co., Ltd. 30,000 84,801 # Itoki Crebio Corp. 78,000 434,609 # Iwasaki Electric Co., Ltd. 183,000 704,281 Iwatani International Corp. 566,000 1,463,145 * J Bridge Corp. 41,000 635,906 # Jalux, Inc. 24,500 430,858 Jamco Corp. 49,000 301,491 * Japan Bridge Corp. 31,000 40,957 Japan Cash Machine Co., Ltd. 67,215 1,493,515 Japan Foundation Engineering Co., Ltd. 62,000 345,805 Japan Maintenance Co., Ltd. 40,800 442,124 # Japan Pulp and Paper Co., Ltd. 325,000 1,065,833 Japan Servo Co., Ltd. 51,000 137,230
2 Japan Steel Tower Co., Ltd. 44,000 216,683 # Japan Steel Works, Ltd. 846,000 1,708,634 # * Japan Storage Battery Co., Ltd. 529,000 1,077,919 # Japan Transcity Corp. 137,000 527,977 * JFE Shoji Holdings, Inc. 116,000 401,794 * Kamagai Gumi Co., Ltd. 87,800 226,588 Kamei Corp. 89,000 969,463 Kanaden Corp. 66,000 385,724 # Kanagawa Chuo Kotsu Co., Ltd. 134,000 666,105 Kanamoto Co., Ltd. 66,000 412,248 * Kanematsu Corp. 921,500 1,188,653 * Kanematsu-NNK Corp. 60,000 109,585 # Katakura Industries Co., Ltd. 72,000 1,015,917 # Kato Works Co., Ltd. 109,000 285,443 * Katsumura Construction Co., Ltd. 48,600 49,011 Kawada Industries, Inc. 102,000 253,010 Kawasho Gecoss Corp. 73,100 431,198 # Keihin Co., Ltd. 178,000 590,492 * Kimmon Manufacturing Co., Ltd. 41,000 74,681 # * Kimura Chemical Plants Co., Ltd. 27,000 92,608 # Kinki Sharyo Co., Ltd., Nagaokakyo 150,000 389,729 * Kinsho Corp. 21,000 68,328 Kioritz Corp. 143,000 391,163 # Kitagawa Iron Works Co., Ltd. 150,000 310,297 Kitano Construction Corp. 162,000 419,652 Kitazawa Sangyo Co., Ltd. 17,500 54,671 # Kitz Corp. 268,000 1,246,653 Kodensha Co., Ltd. 14,000 46,637 Koekisha Co., Ltd. 9,600 213,900 Koike Sanso Kogyo Co., Ltd. 71,000 185,884 Koito Industries, Ltd. 92,000 423,709 * Kokusai Kogyo Co., Ltd. 60,000 191,818 Komai Tekko, Inc. 74,000 243,074 Kondotec, Inc. 30,000 256,820 Kosaido Co., Ltd. 55,700 440,511 Kuroda Electric Co., Ltd. 71,300 1,719,195 # Kyodo Printing Co., Ltd. 188,000 810,189 # Kyoei Sangyo Co., Ltd. 44,000 149,093 Kyokuto Boeki Kaisha, Ltd. 36,000 109,361 Kyokuto Kaihatsu Kogyo Co., Ltd. 63,400 765,316 Kyosan Electric Manufacturing Co., Ltd. 119,000 409,491 Kyowa Exeo Corp. 201,000 1,645,236 Kyudenko Corp. 182,000 1,081,376 Link Consulting Associates - Japan Corp. 24,300 92,751 * Lonseal Corp. 69,000 99,480 Maeda Corp. 358,000 1,974,969 Maeda Road Construction Co., Ltd. 220,000 1,545,804 Maezawa Industries, Inc. 38,100 213,962 Maezawa Kaisei Industries Co., Ltd. 33,800 604,580 # Makino Milling Machine Co., Ltd. 193,000 1,142,628 Marubeni Construction Material Lease Co., Ltd. 54,000 128,442 Maruwn Corp. 44,000 166,232 # Maruyama Manufacturing Co., Inc. 108,000 888,355 Maruzen Showa Unyu Co., Ltd. 205,000 692,952 Matsuda Sangyo Co., Ltd. 41,500 380,726
3 Matsui Construction Co., Ltd. 61,600 276,948 # * Matsuo Bridge Co., Ltd. 37,000 70,275 Max Co., Ltd. 126,000 1,479,697 # Meidensha Corp. 533,050 1,251,054 # * Meiji Machine Co., Ltd. 90,000 100,307 Meiji Shipping Co., Ltd. 58,000 212,712 * Meisei Industrial Co., Ltd. 29,000 90,411 Meito Transportation Co., Ltd. 22,000 201,970 * Meiwa Trading Co., Ltd. 55,000 134,721 Mirai Group Co., Ltd. 49,000 101,549 # * Mitsubishi Cable Industries, Ltd. 330,000 381,173 # * Mitsubishi Kakoki Kaisha, Ltd. 149,000 277,856 Mitsubishi Pencil Co., Ltd. 70,000 709,658 Mitsuboshi Belting, Ltd. 190,000 1,108,062 # * Mitsui Matsushima Co., Ltd. 117,000 234,931 Mitsui-Soko Co., Ltd. 307,000 1,039,429 Mitsumura Printing Co., Ltd. 73,000 476,078 Miura Co., Ltd. 92,900 1,857,598 Miura Printing Corp. 19,000 69,074 # Miyaji Engineering Group 120,000 300,893 # Mori Seiki Co., Ltd. 191,400 1,978,984 Morita Corp. 100,000 590,124 Moshi Moshi Hotline, Inc. 12,200 1,215,404 Mystar Engineering Corp. 15,600 90,271 Nabtesco Corp. 285,000 1,806,013 NAC Co., Ltd. 25,100 416,412 # Nachi-Fujikoshi Corp. 553,000 1,876,792 * Nakano Corp. 49,000 107,698 NEC System Integration & Construction, Ltd. 94,100 843,787 Nichias Corp. 296,000 1,194,421 Nichiban Co., Ltd. 75,000 293,168 Nichiha Corp. 75,080 1,095,918 Nichireki Co., Ltd. 65,000 248,652 * Nihon Spindle Manufacturing Co., Ltd. 56,000 121,983 Nikkiso Co., Ltd. 151,000 897,956 # Nikko Co., Ltd., Akashi 66,000 245,629 Nippei Toyama Corp. 80,000 217,685 Nippo Corp. 256,000 1,710,014 # Nippon Carbon Co., Ltd. 242,000 427,152 Nippon Chutetsukan KK 44,000 98,720 # * Nippon Conveyor Co., Ltd. 43,000 54,997 Nippon Densetsu Kogyo Co., Ltd. 134,000 794,926 Nippon Denwa Shisetu Co., Ltd. 121,000 438,398 Nippon Hume Corp. 43,000 128,885 Nippon Jogesuido Sekkei Co., Ltd. 175 255,584 Nippon Kanzai Co., Ltd. 42,300 769,989 # Nippon Koei Co., Ltd., Tokyo 190,000 640,248 Nippon Konpo Unyu Soko Co., Ltd. 167,000 1,758,573 Nippon Road Co., Ltd. 208,000 471,890 Nippon Seisen Co., Ltd. 39,000 141,645 Nippon Sharyo, Ltd. 322,000 774,215 # Nippon Signal Co., Ltd. 140,000 812,612 Nippon Thompson Co., Ltd. 171,000 1,218,272 Nippon Tungsten Co., Ltd. 44,000 113,350 # Nippon Yusoki Co., Ltd. 71,000 263,051
4 Nishimatsu Construction Co., Ltd. 238,000 802,492 Nishishiba Electric Co., Ltd. 28,000 52,146 Nissan Diesel Motor Co., Ltd. 64,000 238,414 Nissei Corp. 65,700 703,994 Nissei Plastic Industrial Co., Ltd. 46,000 331,934 Nissha Printing Co., Ltd. 102,000 1,571,354 # Nisshin Fudosan Co., Ltd. 40,600 492,951 # * Nissho Iwai-Nichmen Holdings Corp. 347,100 1,340,409 Nissin Corp. 248,000 755,034 Nissin Electric Co., Ltd. 223,000 724,786 Nitchitsu Co., Ltd. 14,000 31,025 Nitta Corp. 64,100 910,096 Nittan Co., Ltd. 23,000 79,548 Nitto Boseki Co., Ltd. 560,000 1,135,078 Nitto Electric Works, Ltd. 95,500 1,086,001 Nitto Kohki Co., Ltd. 47,600 847,780 Nitto Seiko Co., Ltd. 56,000 160,724 # * Nittoc Construction Co., Ltd. 61,000 121,893 # Nomura Co., Ltd. 122,000 491,078 Noritz Corp. 114,000 1,791,008 Obayashi Road Corp. 65,000 146,920 Odakyu Construction Co., Ltd. 29,000 78,656 * Ohki Corp. 73,000 0 # * Ohmori Co., Ltd. 18,400 11,494 Oiles Corp. 44,800 890,951 Okabe Co., Ltd. 46,000 304,089 * Okamoto Machine Tool Works, Ltd. 75,000 204,106 Okamura Corp. 257,000 1,799,702 # Oki Electric Cable Co., Ltd. 76,000 330,052 * OKK Corp. 138,000 258,040 Okuma and Howa Machinery, Ltd. 96,000 315,970 Okuma Corp. 303,000 1,720,772 # O-M, Ltd. 46,000 108,311 Onoken Co., Ltd. 42,000 568,788 Organo Corp. 113,000 516,986 Oriental Construction Co., Ltd. 51,900 237,582 Original Engineering Consultants Co., Ltd. 9,000 40,538 Oyo Corp. 62,000 703,516 P.S. Mitsubishi Construction Co., Ltd. 58,300 230,687 * Pasco Corp. 135,500 339,057 # Patlite Corp. 21,340 461,814 # * Penta-Ocean Construction Co., Ltd. 887,000 1,292,535 # * PIA Corp. 17,200 330,497 Pilot Corp. 83 337,131 Raito Kogyo Co., Ltd. 110,600 423,904 Rasa Industries, Ltd. 146,000 464,480 Rheon Automatic Machinery Co., Ltd. 40,000 135,326 Riken Electric Wire Co., Ltd. 20,000 35,222 Ryobi, Ltd. 390,000 1,696,514 * Saeki Kensetsu Kogyo Co., Ltd. 71,000 97,278 * Sailor Pen Co., Ltd. 74,000 159,934 Sakai Heavy Industries, Ltd. 60,000 152,346 * Sakurada Co., Ltd. 38,000 58,272 # Sanix, Inc. 73,400 754,333 Sanki Engineering Co., Ltd. 172,000 1,219,523
5 Sanko Metal Industrial Co., Ltd., Tokyo 54,000 112,334 # Sankyu, Inc., Tokyo 628,000 1,765,259 Sanritsu Corp. 5,400 54,410 Sanyo Denki Co., Ltd. 133,000 644,352 Sanyo Engineering & Construction, Inc. 48,000 269,403 Sanyo Industries, Ltd., Tokyo 48,000 128,374 # * Sasebo Heavy Industries Co., Ltd., Tokyo 362,000 706,073 * Sata Construction Co., Ltd., Gumma 61,000 73,694 # Sato Corp. 71,600 1,569,069 Sato Shoji Corp. 42,000 350,959 Sawafugji Electric Co., Ltd. 31,000 85,639 Secom Joshinetsu Co., Ltd. 29,200 678,188 Secom Techno Service Co., Ltd. 29,000 933,494 Seibu Electric Industry Co., Ltd. 46,000 250,315 Seika Corp. 179,000 386,542 * Seikitokyu Kogyo Co., Ltd. 86,000 99,179 Sekisui Jushi Co., Ltd. 97,000 624,049 Senko Co., Ltd. 226,000 782,734 Senshu Electric Co., Ltd. 21,300 327,026 # Shibaura Mechatronics Corp. 105,000 888,222 Shibusawa Warehouse Co., Ltd. 140,000 390,514 Shibuya Kogyo Co., Ltd. 54,000 458,281 Shin Nippon Air Technologies Co., Ltd. 52,680 366,125 Shin-Keisei Electric Railway Co., Ltd. 97,000 350,006 # Shinko Electric Co., Ltd. 284,000 786,830 Shin-Kobe Electric Machinery Co., Ltd. 97,000 548,840 Shinmaywa Industries, Ltd. 264,000 1,308,177 Shinsho Corp. 139,000 347,345 # Shinwa Kaiun Kaisha, Ltd. 359,000 1,048,190 * Shiraishi Corp. 25,000 44,701 * Sho-Bond Corp. 54,900 426,220 # Shoko Co., Ltd. 234,000 402,795 # Showa Electric Wire & Cable Co., Ltd., Kawasaki 424,000 528,268 Showa Mining Co., Ltd. 66,000 218,437 Sintokogio, Ltd., Nagoya 116,000 871,536 Soda Nikka Co., Ltd. 35,000 115,760 Sodick Co., Ltd. 97,000 911,724 Space Co., Ltd. 29,180 355,091 Sugimoto & Co., Ltd. 20,500 272,064 * Sumitomo Coal Mining Co., Ltd. 281,500 331,626 Sumitomo Densetsu Co., Ltd. 69,800 277,897 # * Sumitomo Mitsui Construction Co., Ltd. 629,600 501,633 Sumitomo Precision Products Co., Ltd., Amagasaki City 84,000 325,224 # Sumitomo Warehouse Co., Ltd. 311,000 1,590,690 Sun Wave Corp. 96,000 298,200 Tadano, Ltd. 286,000 1,450,683 Taihei Dengyo Kaisha, Ltd. 97,000 548,178 * Taihei Kogyo Co., Ltd. 151,000 428,961 * Taiheiyo Kouhatsu, Inc. 90,000 150,522 Taiho Kogyo Co., Ltd. 50,400 538,007 Taikisha, Ltd. 97,000 1,270,422 Taisei Rotec Corp. 185,000 373,250 Takada Kiko Co., Ltd. 44,000 280,367 # Takamatsu Corp. 43,700 1,335,419 Takano Co., Ltd. 34,400 508,304
6 Takaoka Electric Manufacturing Co., Ltd., Tokyo 194,000 383,388 Takara Printing Co., Ltd. 17,050 142,367 Takara Standard Co., Ltd. 46,000 294,104 Takasago Thermal Engineering Co., Ltd. 189,000 1,332,256 Takashima & Co., Ltd. 90,000 223,742 Takigami Steel Construction Co., Ltd. 50,000 368,802 Takuma Co., Ltd. 195,000 1,352,377 Tanseisha Co., Ltd. 26,000 100,226 Tatsuta Electric Wire & Cable Co., Ltd. 137,000 293,342 # * TC Properties Co., Ltd. 579,000 0 # TCM Corp. 176,000 406,863 Techno Ryowa, Ltd. 32,200 216,126 Tekken Corp. 336,000 614,326 Teraoka Seisakusho Co., Ltd. 37,000 332,973 Tetra Co., Ltd., Tokyo 64,000 235,462 Toa Corp. 440,000 826,850 # Toa Doro Kogyo Co., Ltd. 110,000 352,465 # Tocalo Co., Ltd. 39,000 849,176 Todentu Corp. 57,000 162,442 Toenec Corp. 218,000 920,104 Tohoku Telecommunications Construction Co., Ltd. 42,000 324,556 Tokai Konetsu Kogyo Co., Ltd. 15,000 58,736 * Tokai Lease Co., Ltd. 18,000 47,519 # Tokimec, Inc. 152,000 294,522 # Toko Electric Corp. 72,000 306,007 Tokyo Biso Kogyo Corp. 19,000 243,376 Tokyo Energy & Systems, Inc. 77,000 416,085 # Tokyo Kikai Seisakusho, Ltd. 172,000 480,939 Tokyo Leasing Co., Ltd. 142,500 2,006,349 Tokyo Sangyo Co., Ltd. 36,500 128,544 Toli Corp. 173,000 502,954 Tomoe Corp. 84,000 306,356 Tonami Transportation Co., Ltd. 210,000 711,536 # Torishima Pump Manufacturing Co., Ltd., Osaka 62,000 382,018 # Toshiba Machine Co., Ltd. 366,000 1,993,050 Toshiba Plant Kensetsu Co., Ltd. 221,000 959,748 Tosho Printing Co., Ltd. 156,000 563,026 Totetsu Kogyo Co., Ltd. 73,000 345,505 Toyo Bussan Co., Ltd. 36,300 366,134 # * Toyo Construction Co., Ltd. 541,000 629,359 # Toyo Electric Co., Ltd. 91,000 349,962 # Toyo Engineering Corp. 473,000 1,289,579 # * Toyo Shutter Co., Ltd. 77,000 102,112 Toyo Wharf & Warehouse Co., Ltd. 150,000 312,431 Trusco Nakayama Corp. 75,500 1,391,815 Tsubaki Nakashima Co., Ltd. 112,000 1,377,190 Tsubakimoto Chain Co. 435,000 1,961,268 Tsubakimoto Kogyo Co., Ltd. 44,000 142,917 Tsudakoma Corp. 124,000 340,827 # Tsugami Corp. 188,000 930,373 Tsukishima Kikai Co., Ltd. 102,000 858,744 Tsurumi Manufacturing Co., Ltd. 53,000 453,727 Tsuzuki Denki Co., Ltd. 36,000 138,765 Uchida Yoko Co., Ltd. 101,000 423,168 Ueki Corp. 47,000 117,274
7 # Union Tool Co. 48,500 1,412,643 Utoc Corp. 68,000 192,804 # Wakachiku Construction Co., Ltd. 251,000 487,718 Watabe Wedding Corp. 18,900 341,016 Weathernews, Inc. 15,800 115,587 Yahagi Construction Co., Ltd. 75,000 296,706 # Yamato Corp. 50,000 229,263 Yamaura Corp. 19,000 48,378 Yamazen Co., Ltd. 205,000 742,529 Yasuda Warehouse Co., Ltd. 61,000 421,702 Yokogawa Bridge Corp. 98,400 594,403 Yondenko Corp. 80,800 445,573 * Yuasa Trading Co., Ltd. 376,000 595,177 Yuken Kogyo Co., Ltd. 83,000 235,611 Yurtec Corp. 179,000 986,176 # Yushin Precision Equipment Co., Ltd. 30,640 520,160 * Z- Plus Holdings Co., Ltd. 52,000 131,977 ---------------- Total Industrials (Cost $226,668,478) 218,629,039 ---------------- Consumer Discretionary -- (17.3%) # ABILIT Corp. 38,000 1,489,060 # Aeon Fantasy Co., Ltd. 27,300 671,138 # Ahresty Corp. 38,200 629,043 Aichi Machine Industry Co., Ltd. 189,000 838,905 Aigan Co., Ltd. 33,500 297,589 Aisan Industry Co., Ltd. 121,800 1,188,959 # Akebono Brake Industry Co., Ltd. 215,000 1,205,919 * Akindo Sushiro Co., Ltd. 2,200 58,377 # Alpine Electronics, Inc. 133,400 1,898,909 # Anrakutei Co., Ltd. 39,000 275,186 AOI Advertising Promotion, Inc. 21,000 160,859 Aoki International Co., Ltd. 100,800 1,219,466 Araya Industrial Co., Ltd. 112,000 278,171 Ashimori Industry Co., Ltd. 109,000 263,075 Asics Corp. 479,000 2,121,118 Asics Trading Co., Ltd. 12,000 145,777 # Atom Corp. 16,600 64,084 # Atsugi Co., Ltd. 410,000 506,916 Aucnet, Inc. 18,500 364,842 Autoseven Co., Inc. 7,600 89,307 # Avex, Inc. 98,900 1,311,824 Banpresto Co., Ltd. 17,100 270,869 Belluna Co., Ltd. 56,980 1,642,977 # Best Denki Co., Ltd. 276,000 1,061,997 * Bookoff Corp. 6,000 140,139 Cabin Co., Ltd. 86,000 312,004 * Catena Corp. 46,000 89,814 # * Cecile Co., Ltd. 89,400 795,972 Chiyoda Co., Ltd. 94,500 1,540,990 Chofu Seisakusho Co., Ltd. 54,500 1,117,843 * Chori Co., Ltd. 405,000 807,045 Chuo Spring Co., Ltd., Nagoya 137,000 563,558 Chuo Woollen Mills, Ltd. 24,000 55,129 # * Clarion Co., Ltd. 640,000 1,090,034
8 Cleanup Corp. 90,000 868,319 # Colowide Co., Ltd. 55,500 414,207 # * Columbia Music Entertainment, Inc. 409,000 408,930 # Copal Co., Ltd. 21,600 244,193 Corona Corp. 68,900 1,067,626 # Culture Convenience Club Co., Ltd. 112,200 1,979,474 Cybozu, Inc. 184 208,971 # D&M Holdings, Inc. 162,000 337,475 Daido Kogyo Co., Ltd. 85,000 228,323 # Daidoh, Ltd. 83,000 873,310 # * Daiei, Inc. 24,950 431,184 Daiki Co., Ltd. 49,900 487,893 * Daikyo, Inc. 580,000 1,172,973 Dainichi Co., Ltd. 37,700 319,009 Daisyo Corp. 53,200 648,327 * Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 42,000 54,582 # * Daiwa Seiko, Inc. 343,000 555,552 Daiwabo Co., Ltd. 272,000 418,700 # Denny's Japan Co., Ltd. 67,000 1,230,540 Descente, Ltd. 164,000 624,852 # * Dia Kensetsu Co., Ltd. 141,200 291,448 # Doshisha Co., Ltd. 25,800 872,524 # Doutor Coffee Co., Ltd. 47,900 821,944 Dynic Corp. 66,000 213,596 # Eagle Industry Co., Ltd. 93,000 659,270 * Econach Co., Ltd. 26,000 12,664 Exedy Corp. 114,000 1,878,821 F.D.C. Products, Inc. 21,190 289,482 Fine Sinter Co., Ltd. 31,000 108,360 # France Bed Holdings Co., Ltd. 530,000 1,243,297 # Fuji Co.,Ltd. 76,100 1,345,963 # Fuji Corp, Ltd. 56,000 321,369 Fuji Kiko Co., Ltd. 102,000 399,955 Fuji Kyuko Co., Ltd. 251,000 898,128 * Fuji Spinning Co., Ltd., Tokyo 163,000 191,013 Fujikura Rubber, Ltd. 34,000 193,603 Fujita Kanko, Inc. 254,000 1,121,753 Fujitsu Business Systems, Ltd. 54,800 805,270 # * Fujitsu General, Ltd. 236,000 799,539 # * Furukawa Battery Co., Ltd. 45,000 108,005 Fuso Lexel Inc. 35,500 305,250 Gakken Co., Ltd. 247,000 689,173 # Genki Sushi Co., Ltd. 17,200 205,539 Gigas K's Denki Corp. 10,644 249,114 Global-Dining, Inc. 6,200 41,470 # * Goldwin, Inc. 117,000 272,302 Gourmet Kineya Co., Ltd. 47,000 382,397 # * GSI Creos Corp. 120,000 280,106 * H.I.S. Co., Ltd. 6,400 143,585 Happinet Corp. 25,100 427,837 Haruyama Trading Co., Ltd. 33,100 480,131 Hitachi Koki Co., Ltd. 205,000 1,910,650 Hitachi Powdered Metal Co., Ltd. 62,000 415,038 Homac Corp. 97,100 966,575 Horipro, Inc. 23,400 236,727
9 * Ichida and Co., Ltd. 23,400 35,747 Ichikawa Co., Ltd. 49,000 193,620 # Ichikoh Industries, Ltd. 163,000 404,167 Imasen Electric Industrial Co., Ltd. 23,500 177,946 Impact 21 Co., Ltd. 41,500 1,021,813 # * Impress Corp. 257 315,356 Inaba Seisa Kusho Co., Ltd. 38,600 640,629 Ishizuka Glass Co., Ltd. 49,000 129,902 * Izuhakone Railway Co., Ltd. 300 14,926 # * Izutsuya Co., Ltd. 166,000 251,596 # * Jac Holdings Co., Ltd. 170,800 258,230 * Janome Sewing Machine Co., Ltd. 320,000 395,216 # Japan Kenzai Co., Ltd. 60,240 433,338 Japan Vilene Co., Ltd. 143,000 804,850 Japan Wool Textile Co., Ltd. 202,000 1,352,309 Jeans Mate Corp. 15,540 206,576 Joban Kosan Co., Ltd. 193,000 342,966 Joint Corp. 40,200 1,099,947 # Joshin Denki Co., Ltd. 147,000 613,919 Juel Verite Ohkubo Co., Ltd 24,000 59,252 # * Jujiya Co., Ltd. 442,000 319,870 Juki Corp. 247,000 972,185 * Jyomo Co., Ltd. 48,000 109,929 # Kabuki-Za Co., Ltd. 25,000 1,002,170 Kadokawa Holdings, Inc. 27,000 960,098 Kahma Co., Ltd. 69,300 989,121 Kanto Auto Works, Ltd., Yokosuka 148,900 1,748,761 Kasai Kogyo Co., Ltd. 79,000 265,650 Kato Sangyo Co., Ltd. 86,300 1,265,025 # * Kawai Musical Instruments Manufacturing Co., Ltd. 144,000 309,152 # * Kawashima Textile Manufacturers, Ltd. 175,000 270,776 Kayaba Industry Co., Ltd. 496,000 1,660,461 Keiiyu Co., Ltd. 22,100 259,077 # * Keiyo Co., Ltd. 139,900 534,983 Kentucky Fried Chicken Japan, Ltd. 55,000 1,055,927 # Kenwood Corp. 692,000 1,304,437 # Kinki Nippon Tourist Co., Ltd. 196,000 504,954 # Kinugawa Rubber Industrial Co., Ltd. 139,000 314,979 # Kisoji Co., Ltd. 52,600 832,882 # Kohnan Shoji Co., Ltd. 47,500 639,522 # Kojima Co., Ltd. 83,000 1,086,815 Komatsu Seiren Co., Ltd. 80,000 420,419 Konaka Co., Ltd. 49,300 619,045 # Konami Sports Corp. 64,000 1,021,999 Kurabo Industries, Ltd. 554,000 1,337,110 Kuroganeya Co., Ltd. 14,000 55,621 Kyoritsu Maintenance Co., Ltd. 22,300 432,588 Kyoto Kimono Yuzen Co., Ltd. 187 430,065 Kyowa Leather Cloth Co., Ltd. 38,800 237,484 # Laox Co., Ltd. 144,000 398,166 * Look, Inc. 50,000 153,056 # Maezawa Kyuso Industries Co., Ltd. 29,800 411,128 # * Magara Construction Co., Ltd. 61,000 69,864 * Mamiya-Op Co., Ltd. 58,000 135,889 Marche Corp. 10,700 102,029
10 Mars Engineering Corp. 46,700 1,237,656 Marubeni Telecom Co., Ltd. 117 120,252 Maruei Department Store Co., Ltd. 72,000 198,190 # * Maruzen Co., Ltd. 208,000 369,355 Maruzen Co., Ltd. - General Commercial Kitchen Appliances & Equipment 30,000 180,505 # Matsuya Co., Ltd. 120,000 963,489 Matsuya Foods Co., Ltd. 39,500 804,514 # Matsuzakaya Co., Ltd. 386,077 1,789,416 Meiwa Industry Co., Ltd. 15,000 55,216 # * Misawa Homes Holdings, Inc. 57,990 2,053,896 # Misawa Resort Co., Ltd. 113,000 413,880 Mitsuba Corp. 101,690 874,530 Mitsui Home Co., Ltd. 137,000 666,575 Miyuki Keori Co., Ltd. 73,000 284,527 Mizuno Corp. 299,000 1,346,438 # MOS Food Services, Inc. 72,000 1,052,644 # MR Max Corp. 73,900 270,906 Mutow Co., Ltd. 38,000 179,050 * Naigai Co., Ltd. 109,000 128,919 Nichimo Co., Ltd. 54,000 143,639 # * Nichimo Corp. 204,000 265,933 Nidec Tosok Corp. 31,700 416,216 Nihon Eslead Corp. 28,540 716,747 * Nihon Kentetsu Co., Ltd. 27,000 68,264 Nihon Tokushu Toryo Co., Ltd. 44,000 293,101 Nikko Travel Co., Ltd. 12,200 64,687 Nippon Felt Co., Ltd. 56,000 277,075 # Nippon Piston Ring Co., Ltd. 168,000 384,452 Nippon Seiki Co., Ltd. 130,000 1,658,626 Nishimatsuya Chain Co., Ltd. 6,200 148,285 * Nissen Co., Ltd. 21,100 227,307 Nissin Kogyo Co., Ltd. 48,500 1,835,886 Nittan Valve Co., Ltd. 58,000 455,453 Nitto Seimo Co., Ltd. 32,000 85,564 Noritake Co., Ltd. 351,000 1,454,871 # Noritsu Koki Co., Ltd. 74,900 1,550,757 * Omikenshi Co., Ltd. 78,000 80,248 * Orient Watch Co., Ltd. 12,000 4,533 Pacific Industrial Co., Ltd. 116,000 552,614 Parco Co., Ltd. 172,000 1,082,310 # Pentax Corp. 279,000 928,108 Piolax, Inc. 27,300 574,395 Press Kogyo Co., Ltd. 237,000 759,847 * Renown D'urban Holdings, Inc. 82,800 732,512 # Resorttrust, Inc. 64,700 1,634,382 Rhythm Watch Co., Ltd. 344,000 704,834 Right On Co., Ltd. 52,600 1,905,119 Riken Corp. 234,000 1,146,234 Ringer Hut Co., Ltd. 46,400 514,925 Roland Corp. 56,400 962,641 # Roland DG Corp. 39,300 831,653 Royal Co., Ltd. 88,000 1,049,767 # Sagami Chain Co., Ltd. 44,000 393,056 Sagami Co., Ltd. 66,000 252,180 Sagami Rubber Industries Co., Ltd. 15,000 43,187
11 # Saizeriya Co., Ltd. 114,400 1,363,509 # Sakai Ovex Co., Ltd. 124,000 266,680 # Sanden Corp. 323,000 1,335,386 * Sanei-International Co., Ltd. 4,300 139,853 Sankyo Seiko Co., Ltd. 132,000 563,106 Sanoh Industrial Co., Ltd. 70,000 476,223 # * Sanrio Co., Ltd. 173,700 1,733,686 # Sanyo Shokai, Ltd. 303,000 1,612,031 Seiko Corp. 251,407 1,353,684 # Seiren Co., Ltd. 128,000 1,311,370 Senshukai Co., Ltd. 106,000 903,734 Shaddy Co., Ltd. 38,800 387,038 * Shikibo, Ltd. 215,000 271,519 # Shinyei Kaisha 80,000 271,927 Shiroki Co., Ltd. 179,000 464,991 Shobunsha Publications, Inc. 35,200 453,737 # Shochiku Co., Ltd. 237,000 1,489,294 Showa Aircraft Industry Co., Ltd. 67,000 690,532 Showa Corp. 39,500 493,287 Silver Ox Inc. 30,000 66,390 # * Silver Seiko, Ltd. 228,000 83,802 # Simree Co., Ltd. 11,700 78,486 SK Japan Co., Ltd. 8,250 60,544 SNT Corp. 58,300 270,999 * Sofmap Co., Ltd. 9,300 39,362 Sotoh Co., Ltd. 12,000 208,161 SPK Corp. 7,800 116,142 Suminoe Textile Co., Ltd. 159,000 335,635 * Suzutan Co., Ltd. 13,200 75,975 * SXL Corp. 129,000 159,652 Tachikawa Corp. 43,800 314,652 Tachi-S Co., Ltd. 78,840 817,301 Taito Corp. 789 1,122,407 * Taka-Q Co., Ltd. 34,500 85,196 # * Takara Co., Ltd. 224,000 709,038 Tasaki Shinju Co., Ltd. 70,000 287,400 Taya Co., Ltd. 5,000 40,349 * TDF Corp. 11,000 40,861 # Tecmo, Ltd. 46,600 465,449 Teikoku Piston Ring Co., Ltd. 70,000 782,497 Teikoku Sen-I Co., Ltd. 39,000 182,532 # Ten Allied Co., Ltd. 37,000 149,294 Tenma Corp. 71,100 1,349,634 Tigers Polymer Corp. 40,000 226,274 * Toabo Corp. 73,000 76,675 # Toei Co., Ltd. 327,000 1,598,995 * Tohoku Misawa Homes Co., Ltd. 24,000 72,252 # Tohoku Pioneer Corp. 49,600 628,636 # * Tohto Suisan Co., Ltd. 80,000 278,645 * Tokai Kanko Co., Ltd. 618,000 215,539 Tokai Senko KK, Nagoya 47,000 103,589 Tokyo Dome Corp. 314,000 1,708,256 Tokyo Nissan Auto Sales Co., Ltd. 97,000 715,339 Tokyo Soir Co., Ltd. 34,000 142,510 # Tokyotokeiba Co., Ltd. 691,000 1,655,697
12 Tokyu Recreation Corp. 63,000 359,627 # Tomy Co., Ltd. 42,000 654,165 Topre Corp. 118,000 888,658 # * Tosco Co., Ltd. 35,000 233,865 Totenko Co., Ltd. 35,000 89,661 # Touei Housing Corp. 60,740 1,306,391 # Toyo Radiator Co., Ltd. 166,000 743,611 Toyo Tire & Rubber Co., Ltd. 476,000 1,914,861 Tsukamoto Co., Ltd. 44,000 84,424 Tsutsumi Jewelry Co., Ltd. 44,400 1,180,758 # Unitika, Ltd. 1,067,000 1,270,702 U-Shin, Ltd. 54,000 509,666 # Watami Food Service Co., Ltd. 82,100 739,799 * Wondertable, Ltd. 69,000 89,667 Xebio Co., Ltd. 21,100 593,236 XNET Corp. 57 142,012 Yamatane Corp. 175,000 417,775 Yamato International, Inc. 43,000 237,144 Yellow Hat, Ltd., Tokyo 49,200 417,093 # Yokohama Reito Co., Ltd. 92,000 705,945 # Yomiuri Land Co., Ltd. 180,000 1,027,451 Yonex Co., Ltd. 41,000 422,572 Yorozu Corp. 45,000 404,228 Yoshimoto Kogyo Co., Ltd. 79,000 1,315,468 Yuasa Funashoku Co., Ltd. 69,000 160,958 Zenrin Co., Ltd. 81,900 1,224,646 # Zensho Co., Ltd. 59,700 1,184,463 ---------------- Total Consumer Discretionary (Cost $166,895,331) 174,060,739 ---------------- Information Technology -- (9.0%) Aichi Tokei Denki Co., Ltd. 94,000 288,119 Aiphone Co., Ltd. 44,600 761,274 # Allied Telesis KK 169,600 828,200 Alpha Systems, Inc. 23,600 500,197 # Anritsu Corp. 280,000 1,682,393 AOI Electronics Co., Ltd. 24,900 376,925 * Apic Yamada Corp. 20,000 45,319 Argo 21 Corp. 22,400 217,039 Asti Corp. 8,000 79,031 CAC Corp. 39,400 458,494 Canon Electronics, Inc. 62,000 1,634,300 Canon Finetech, Inc. 96,070 1,816,904 # Capcom Co., Ltd. 132,400 1,240,287 Chino Corp. 89,000 277,889 # CMK Corp. 118,000 1,882,981 Computer Engineering & Consulting, Ltd. 38,100 420,468 # Core Corp. 27,400 302,609 Cresco, Ltd. 11,600 149,180 # Daikoku Denki Co., Ltd. 34,200 951,406 Daiwabo Information System Co., Ltd. 33,000 539,450 Denki Kogyo Co., Ltd. 167,000 950,587 * Dodwell B.M.S., Ltd. 15,000 105,173 DTS Corp. 31,500 870,309 Eizo Nanao Corp. 47,500 1,450,286
13 * Elna Co., Ltd. 34,000 67,884 Enplas Corp. 46,200 1,097,014 * FDK Corp. 260,000 418,583 Foster Electric Co., Ltd. 44,000 387,163 Fujitsu Access, Ltd. 48,000 359,307 Fujitsu Fronttec, Ltd. 49,200 504,117 * Graphtec Corp. 39,000 58,936 Hakuto Co., Ltd. 49,900 706,218 # Hitachi Business Solution Co., Ltd. 22,700 153,565 Hitachi Information Systems, Ltd. 39,600 770,989 Hitachi Kokusai Electric, Inc. 229,000 2,002,850 Hitachi Mobile Co., Ltd. 35,000 235,431 # Hochiki Corp. 42,000 175,599 # Hokuriku Electric Industry Co., Ltd. 159,000 384,173 Horiba, Ltd. 84,000 1,691,579 Hosiden Corp. 165,400 1,703,554 Icom, Inc. 32,400 817,229 Idec Izumi Corp. 83,500 961,621 # * Ikegami Tsushinki Co., Ltd. 102,000 185,741 # Ines Corp. 108,800 905,221 I-Net Corp. 18,300 113,472 # Information Services International-Dentsu, Ltd. 65,100 791,395 Intec, Inc. 102,128 945,630 Ishii Hyoki Co., Ltd. 8,600 102,620 # Iwatsu Electric Co., Ltd. 207,000 452,772 Japan Aviation Electronics Industry, Ltd. 43,000 462,341 Japan Business Computer Co., Ltd. 46,300 312,406 Japan Digital Laboratory Co., Ltd. 71,500 868,368 Japan Information Processing Service Co., Ltd. 31,800 197,313 # * Japan Radio Co., Ltd. 303,000 1,216,268 Jastec Co., Ltd. 16,400 279,904 Jiec Co., Ltd. 87 95,634 # Kaga Electronics Co., Ltd. 56,300 1,063,275 Kanematsu Electronics, Ltd. 45,500 329,591 Kawatetsu Systems, Inc. 112 142,194 Koa Corp. 86,500 683,949 # Komatsu Electronics Metals Co., Ltd. 59,400 513,738 # Kubotek Corp. 230 261,283 Kyoden Co., Ltd. 106,000 1,038,105 Kyowa Electronic Instruments Co., Ltd. 30,000 115,330 Macnica, Inc. 39,900 1,051,976 Marubeni Infotec Corp. 21,000 65,980 Marubun Corp. 67,600 588,656 Maruwa Co., Ltd. 22,000 432,588 Maspro Denkoh Corp. 38,900 361,292 # Megachips Corp. 50,600 551,725 Melco Holdings, Inc. 9,000 205,058 # Mimasu Semiconductor Industry Co., Ltd. 49,100 720,311 # Miroku Jyoho Service Co., Ltd. 63,000 250,216 Mitsui High-Tec, Inc. 90,300 1,061,204 Mitsui Knowledge Industry Co., Ltd. 20,100 168,391 Mitsumi Electric Co., Ltd. 165,400 1,750,652 Moritex Corp. 15,000 115,788 * Mutoh Industries, Ltd. 102,000 221,770 # * Nagano Japan Radio Co., Ltd. 63,000 117,477
14 Nakayo Telecommunications, Inc. 49,000 256,466 NEC Infrontia Corp. 244,000 887,679 NEC Mobiling, Ltd. 31,300 599,397 # NEC Tokin Corp. 251,000 1,527,178 * Netmarks, Inc. 50 133,597 New Japan Radio Co., Ltd. 72,000 640,575 Nihon Dempa Kogyo Co., Ltd. 46,100 1,082,247 Nihon Inter Electronics Corp. 76,700 540,005 Nippon Avionics Co., Ltd. 40,000 183,568 Nippon Ceramic Co., Ltd. 49,000 749,601 Nippon Chemi-Con Corp. 287,000 1,789,306 Nippon System Development Co., Ltd. 57,300 1,079,491 Nippon Systemware Co., Ltd. 20,000 140,022 Nissho Electronics Corp. 49,900 380,348 # NIWS Co., Ltd. 1,110 1,486,291 Nohmi Bosai, Ltd. 81,000 417,676 # Okaya Electric Industries Co., Ltd. 32,000 123,101 Ono Sokki Co., Ltd. 53,000 364,193 Origin Electric Co., Ltd. 85,000 634,724 Osaki Electric Co., Ltd. 72,000 404,293 PCA Corp. 12,000 214,507 Pulstec Industrial Co., Ltd. 21,200 109,047 Ricoh Elemex Corp. 41,000 299,869 Rikei Corp. 22,500 63,112 Riken Keiki Co., Ltd. 48,000 362,102 Ryoden Trading Co., Ltd. 94,000 613,016 Ryosan Co., Ltd. 73,700 1,797,717 Ryoyo Electro Corp. 71,700 1,163,046 Sanko Co., Ltd. 12,000 85,778 Sanshin Electronics Co., Ltd. 67,000 581,723 Satori Electric Co., Ltd. 33,380 433,836 Sekonic Corp. 17,000 41,544 # Shindengen Electric Manufacturing Co., Ltd. 148,000 487,302 Shinkawa, Ltd. 44,100 802,253 Shinko Shoji Co., Ltd. 57,000 479,916 Shizuki Electric Co., Inc. 47,000 126,075 Siix Corp. 25,800 333,426 SMK Corp. 176,000 809,086 Software Research Associates, Inc. 15,100 293,796 Sokkisha Co., Ltd. 69,000 212,324 # Sorun Corp. 51,000 321,690 # * SPC Electronics Corp. 29,000 114,062 Star Micronics Co., Ltd. 124,000 1,314,925 # Sumida Corp. 42,649 914,128 SunTelephone Co., Ltd. 67,000 534,924 Tabai Espec Corp. 49,000 511,958 * Tachibana Eletech Co., Ltd. 11,000 117,262 Tamura Corp. 164,000 627,633 Tamura Taiko Holdings, Inc. 131,000 1,022,109 # * Teac Corp. 350,000 509,277 Teikoku Tsushin Kogyo Co., Ltd. 89,000 373,129 TKC Corp. 67,800 1,107,042 Toko, Inc. 195,000 530,478 # Tokyo Denpa Co., Ltd. 11,000 139,772 # Tokyo Electron Device, Ltd. 171 423,184
15 Tomen Electronics Corp. 33,600 836,095 Tose Co., Ltd. 12,200 184,624 # Toshiba Ceramics Co., Ltd. 350,000 1,066,519 # * Totoku Electric Co., Ltd., Tokyo 62,000 125,861 Toukei Computer Co., Ltd. 14,710 181,803 Towa Corp. 33,000 210,966 Towa Meccs Corp. 75,000 77,764 * Toyo Communication Equipment Co., Ltd. 124,000 502,888 # Toyo Corp. 71,800 839,310 # Trans Cosmos, Inc. 53,800 1,835,226 Tsuzuki Densan Co., Ltd. 14,200 80,904 Yamaichi Electronics Co., Ltd. 40,900 499,148 Yamatake Corp. 165,700 2,733,950 Yaskawa Information Systems Corp. 23,400 116,021 Ye Data, Inc. 25,000 70,905 Yokowo Co., Ltd. 38,000 335,689 Zuken, Inc. 59,700 572,343 ---------------- Total Information Technology (Cost $87,131,008) 90,625,088 ---------------- Materials -- (8.7%) Achilles Corp. 549,000 995,424 Agro-Kanesho Co., Ltd. 7,000 56,204 Arakawa Chemical Industries, Ltd. 34,500 460,133 Aronkasei Co., Ltd. 83,000 404,055 Asahi Denka Kogyo KK 169,000 1,735,866 Asahi Organic Chemicals Industry Co., Ltd. 210,000 710,198 # Chuetsu Pulp and Paper Co., Ltd. 259,000 675,759 * Chugai Mining Co., Ltd. 373,800 233,129 Chugoku Marine Paints, Ltd. 152,000 884,460 # Chugokukogyo Co., Ltd. 45,000 120,491 # * Co-Op Chemical Co., Ltd. 80,000 141,050 # * Dai Nippon Toryo, Ltd. 286,000 482,678 # Dai-Ichi Kogyo Seiyaku Co., Ltd. 47,000 168,758 Daiken Corp. 289,000 1,228,949 Dainichiseika Colour & Chemicals Manufacturing Co., Ltd. 195,000 1,001,588 Dainippon Shigyo Co., Ltd. 25,000 110,429 # Daiso Co., Ltd. 206,000 632,772 DC Co., Ltd. 58,000 179,251 Dijet Industrial Co., Ltd. 34,000 93,074 # FP Corp. 50,800 983,487 Fujikura Kasei Co., Ltd. 51,000 373,556 Fumakilla, Ltd. 37,000 115,004 Geostar Corp. 10,000 45,147 # Godo Steel, Ltd. 355,000 1,100,706 # Gun-Ei Chemical Industry Co., Ltd. 180,000 692,484 Harima Chemicals, Inc. 47,000 280,228 Hodogaya Chemical Co., Ltd. 163,000 816,211 Hokkai Can Co., Ltd., Tokyo 133,000 389,492 Hokko Chemical Industry Co., Ltd. 41,000 150,773 Hokushin Co., Ltd. 39,900 88,110 Honshu Chemical Industry Co., Ltd. 17,000 111,820 # Ihara Chemical Industry Co., Ltd. 106,000 324,558 ISE Chemicals Corp. 38,000 177,431 Ishihara Sangyo Kaisha, Ltd. 883,500 1,934,749
16 # * Ishii Iron Works Co., Ltd. 52,000 124,968 # JSP Corp. 62,100 624,909 Kanto Denka Kogyo Co., Ltd. 110,000 380,745 Kasei (C.I.) Co., Ltd. 58,000 241,496 Katakura Chikkarin Co., Ltd. 27,000 87,603 * Kawasaki Kasei Chemicals, Ltd. 36,000 60,949 Kishu Paper Co., Ltd. 160,000 295,398 Koatsu Gas Kogyo Co., Ltd. 112,000 515,314 Kohsoku Corp. 48,000 320,887 Komatsu Wall Industry Co., Ltd. 20,800 370,716 Konishi Co., Ltd. 41,700 383,517 # Kumiai Chemical Industry Co., Ltd., Tokyo 166,000 383,002 Kureha Chemical Industry Co., Ltd. 428,000 1,740,391 # Kurimoto, Ltd. 278,000 780,912 Kurosaki Harima Corp. 165,000 473,791 MEC Co., Ltd. 18,200 280,677 Mesco, Inc. 15,000 48,409 # Mitsubishi Paper Mills, Ltd. 700,000 937,013 Mitsubishi Plastics, Inc. 490,000 1,325,100 # Mitsubishi Shindoh Co., Ltd. 107,000 249,695 # Mitsubishi Steel Manufacturing Co., Ltd. 305,000 610,667 # * Mitsui Mining Co., Ltd. 345,000 970,905 Mory Industries, Inc. 85,000 286,419 Nakabayashi Co., Ltd. 112,000 315,506 Nakayama Steel Works, Ltd. 260,000 1,018,036 # Neturen Co., Ltd., Tokyo 92,000 651,901 # Nichia Steel Works, Ltd. 88,900 425,132 Nihon Kagaku Sangyo Co., Ltd. 32,000 183,416 Nihon Matai Co., Ltd. 50,000 118,248 Nihon Nohyaku Co., Ltd. 131,000 327,248 # Nihon Parkerizing Co., Ltd. 146,000 1,740,180 Nihon Seiko Co., Ltd. 11,000 34,297 * Nippon Carbide Industries Co., Inc., Tokyo 101,000 167,195 # Nippon Chemical Industrial Co., Ltd. 192,000 599,557 # Nippon Concrete Industries Co., Ltd. 88,000 285,427 # Nippon Denko Co., Ltd. 246,000 910,465 Nippon Fine Chemical Co., Ltd. 50,000 283,888 Nippon Foil Mfg., Co., Ltd. 21,000 55,612 # * Nippon Kasei Chemical Co., Ltd. 215,000 526,820 # Nippon Kinzoku Co., Ltd. 130,000 273,427 # * Nippon Koshuha Steel Co., Ltd. 266,000 364,657 # Nippon Metal Industry Co., Ltd. 364,000 675,045 Nippon Pigment Co., Ltd. 11,000 49,241 # Nippon Pillar Packing Co., Ltd. 43,000 293,879 Nippon Soda Co., Ltd. 314,000 1,010,929 # Nippon Synthetic Chemical Industry Co., Ltd. 204,000 547,005 Nippon Valqua Industries, Ltd. 168,000 486,052 Nippon Yakin Kogyo Co., Ltd. 203,500 791,719 Nittetsu Mining Co., Ltd. 174,000 699,643 Nitto FC Co., Ltd. 72,000 449,246 Noda Corp. 33,800 224,059 NOF Corp. 453,000 1,681,583 # Okamoto Industries, Inc. 284,000 1,027,543 Okura Industrial Co., Ltd. 130,000 818,300 Osaka Steel Co., Ltd. 93,600 1,154,311
17 # Pacific Metals Co., Ltd. 415,000 1,737,647 Riken Technos Corp. 143,000 561,542 * S Science Co., Ltd. 808,000 126,151 # S.T. Chemical Co., Ltd. 66,000 848,305 Sakai Chemical Industry Co., Ltd. 230,000 995,456 Sakata INX Corp. 136,000 709,655 Sanyo Chemical Industries, Ltd. 267,000 1,930,907 Sanyo Special Steel Co., Ltd. 362,000 1,122,703 Sekisui Plastics Co., Ltd. 221,000 783,770 Shikoku Chemicals Corp. 126,000 524,312 Shinagawa Refractories Co., Ltd. 131,000 414,899 Shin-Etsu Polymer Co., Ltd. 188,000 1,407,383 Showa Highpolymer Co., Ltd. 112,000 339,579 Showa Tansan Co., Ltd. 31,000 109,688 Somar Corp. 22,000 85,804 # Stella Chemifa Corp. 23,900 498,790 Sumitomo Light Metal Industries, Ltd. 736,000 1,199,702 Sumitomo Pipe & Tube Co., Ltd. 52,000 235,663 Sumitomo Seika Chemicals Co., Ltd. 125,000 363,674 # Sumitomo Titanium Corp. 19,500 2,552,495 Taisei Lamick Co., Ltd. 11,300 282,120 Takasago International Corp. 220,000 1,040,288 Takiron Co., Ltd. 164,000 718,703 Tateho Chemical Industries Co., Ltd. 26,500 94,015 Tayca Corp. 96,000 270,363 * Titan Kogyo KK 36,000 72,654 Toagosei Co., Ltd. 544,719 2,227,623 # Toda Kogyo Corp. 84,000 322,411 Tohcello Co., Ltd. 67,000 380,451 # * Toho Rayon Co., Ltd. 320,000 1,344,734 Toho Titanium Co., Ltd. 61,000 2,254,406 # Toho Zinc Co., Ltd. 277,000 668,190 * Tohpe Corp. 36,000 63,399 # Tokai Carbon Co., Ltd. 460,000 1,942,898 # Tokai Pulp & Paper Co., Ltd. 121,000 390,278 # Tokushu Paper Manufacturing Co., Ltd. 111,000 523,848 Tokyo Rope Manufacturing Co., Ltd. 337,000 607,869 # Tokyo Tekko Co., Ltd. 85,000 269,197 Tomoegawa Paper Co., Ltd. 80,000 254,955 Tomoku Co., Ltd. 177,000 470,963 # Topy Industries, Ltd. 492,000 1,632,301 Toyo Kohan Co., Ltd. 225,000 1,048,712 Tsutsunaka Plastic Industry Co., Ltd. 92,000 425,744 TYK Corp. 67,000 180,043 Ube Material Industries, Ltd. 144,000 374,140 Wood One Co., Ltd. 107,000 786,632 Yamamura Glass Co., Ltd. 250,000 671,185 Yamato Kogyo Co., Ltd. 118,000 1,352,119 Yodogawa Steel Works, Ltd. 338,000 1,784,409 Yuki Gosei Kogyo Co., Ltd. 31,000 109,896 Yushiro Chemical Industry Co., Ltd. 33,000 622,058 ---------------- Total Materials (Cost $87,469,311) 87,315,803 ----------------
18 Consumer Staples -- (8.1%) Aderans Co., Ltd. 87,050 2,015,621 Ahjikan Co., Ltd. 10,500 81,672 # Ariake Japan Co., Ltd. 73,700 1,737,162 Asahi Soft Drinks Co., Ltd. 119,000 1,309,402 Bull Dog Sauce Co., Ltd. 37,000 459,310 Calpis Co., Ltd. 174,000 1,238,482 CFS Corp. 61,500 358,908 Chuo Gyorui Co., Ltd. 61,000 155,601 Coca-Cola Central Japan Co., Ltd. 204 1,707,041 CVS Bay Area, Inc. 30,000 89,414 DyDo Drinco, Inc. 36,600 1,221,776 Echo Trading Co., Ltd. 4,000 55,888 Ensuiko Sugar Refining Co., Ltd. 51,000 145,010 Fancl Corp. 51,400 1,890,240 * First Baking Co., Ltd. 67,000 144,766 Fujicco Co., Ltd. 61,000 899,821 # Fujiya Co., Ltd. 283,000 603,384 Hagoromo Foods Corp. 41,000 442,996 Harashin Co., Ltd. 33,800 309,954 Hayashikane Sangyo Co., Ltd. 166,000 238,811 Heiwado Co., Ltd. 130,000 1,981,348 * Hohsui Corp. 56,000 124,780 Hokkaido Coca-Cola Bottling Co., Ltd. 80,000 563,679 # Hokuto Corp. 74,900 1,368,378 Inageya Co., Ltd. 118,000 1,058,795 # Itochu Shokuh Co., Ltd. 28,800 1,102,110 Izumiya Co., Ltd. 205,000 1,351,337 Japan Carlit Co., Ltd. 28,000 206,047 # J-Oil Mills, Inc. 362,000 1,460,615 K.R.S. Corp. 25,500 368,303 # Kagome Co., Ltd. 173,900 1,809,084 Kameda Seika Co., Ltd. 48,000 440,443 # * Kanebo, Ltd. 104,200 289,648 Kasumi Co., Ltd. 132,000 750,307 Key Coffee, Inc. 48,600 662,272 Kibun Food Chemifa Co., Ltd. 62,000 1,463,568 Kinki Coca-Cola Bottling Co., Ltd. 138,000 1,457,419 Kirindo Co., Ltd. 10,300 97,969 # Kyodo Shiryo Co., Ltd. 188,000 341,100 Kyokuyo Co., Ltd. 198,000 462,605 # Life Corp. 120,400 1,487,459 * Mandom Corp. 4,600 116,552 Marudai Food Co., Ltd. 289,000 789,937 Maruetsu, Inc. 286,000 1,328,105 Maruha Group, Inc. 477,000 1,209,422 Maruya Co., Ltd. 14,000 108,838 Maxvalu Tohok Co., Ltd. 18,200 160,750 Meito Sangyo Co., Ltd. 50,100 853,432 Mercian Corp. 304,000 851,188 Mikuni Coca-Cola Bottling Co., Ltd. 117,000 1,119,965 Milbon Co., Ltd. 22,600 707,762 Ministop Co., Ltd. 62,600 1,175,146 Mitsui Sugar Co., Ltd. 271,850 754,645 Miyoshi Oil & Fat Co., Ltd. 149,000 355,015 Morinaga & Co., Ltd. 612,000 1,567,703
19 Morishita Jinton Co., Ltd. 32,800 140,726 Morozoff, Ltd., Osaka 50,000 111,541 Myojo Foods Co., Ltd. 91,000 570,369 Nagatanien Co., Ltd. 83,000 652,014 Nakamuraya Co., Ltd. 152,000 560,076 Nichiro Corp. 327,000 626,490 Nihon Shokuh Kako Co., Ltd. 40,000 132,333 Niitaka Co., Ltd. 7,260 79,200 # Nippon Beet Sugar Manufacturing Co., Ltd. 314,000 696,508 # Nippon Flour Mills Co., Ltd. 385,000 1,748,371 Nippon Formula Feed Manufacturing Co., Ltd. 144,000 246,730 Nippon Suisan Kaisha, Ltd. 529,000 2,007,452 Nissin Sugar Manufacturing Co., Ltd. 102,000 219,307 Nitto Flour Milling Co., Ltd. 54,000 158,354 Nosan Corp. 271,000 660,944 Oenon Holdings, Inc. 123,000 434,310 Oie Sangyo Co., Ltd. 13,200 107,491 Okuwa Co., Ltd. 101,000 1,144,042 Olympic Corp. 48,200 535,885 # Oriental Yeast Co., Ltd. 61,000 407,884 Pigeon Corp. 46,900 682,763 Pokka Corp. 72,000 382,888 Poplar Co., Ltd. 13,560 181,756 Posful Corp. 47,600 254,195 * Prima Meat Packers, Ltd. 460,000 641,236 # Q'Sai Co., Ltd. 70,100 694,340 Riken Vitamin Co., Ltd. 49,900 1,371,698 Rock Field Co., Ltd. 25,300 384,304 S Foods, Inc. 60,000 438,911 Sakata Seed Corp. 115,700 1,531,543 # Seijo Corp. 22,600 495,319 Shikoku Coca-Cola Bottling Co., Ltd. 48,500 708,481 Shoei Foods Corp. 35,000 258,583 Showa Sangyo Co., Ltd. 398,000 1,129,698 # * Snow Brand Milk Products Co., Ltd. 501,000 1,426,049 Snow Brand Seed Co., Ltd. 30,000 151,451 Sonton Food Industry Co., Ltd. 33,000 351,483 # Sotetsu Rosen Co., Ltd. 60,000 329,005 Starzen Corp. 169,000 519,366 # Sugi Pharmacy Co., Ltd. 55,400 1,618,742 # T.Hasegawa Co., Ltd. 89,400 1,451,855 The Nisshin Oillio Group, Ltd. 346,000 1,953,906 Three F Co., Ltd. 12,200 110,382 * Tobu Store Co., Ltd. 103,000 271,333 Toho Co., Ltd. 51,000 388,652 Tokyu Store Chain Corp. 175,000 824,737 Torigoe Co., Ltd. 48,000 329,858 * Toyo Sugar Refining Co., Ltd. 105,000 170,987 * Tsuruha Co., Ltd. 4,000 123,831 U.Store Co., Ltd. 63,600 597,307 # Unicafe, Inc. 10,360 152,458 Unimat Offisco Corp. 37,500 430,788 # Valor Co., Ltd. 40,000 1,109,345 Wakodo Co., Ltd. 12,200 355,173 Warabeya Nichiyo Co., Ltd. 34,760 678,311
20 Yaizu Suisankagaku Industry Co., Ltd. 27,500 289,651 Yaoko Co., Ltd. 46,100 886,632 Yomeishu Seizo Co., Ltd. 71,000 612,826 Yonekyu Corp. 58,000 666,380 # Yukiguni Maitake Co., Ltd. 60,580 295,278 ---------------- Total Consumer Staples (Cost $77,218,674) 81,542,513 ---------------- Financials -- (7.9%) Aichi Bank, Ltd. 19,000 1,790,806 Akita Bank, Ltd. 441,000 1,994,180 Aomori Bank, Ltd. 417,000 1,635,211 # * Azel Corp., Tokyo 89,000 157,336 Bank of Okinawa, Ltd. 47,000 1,520,350 Bank of Saga, Ltd. 384,000 1,425,547 Bank of the Ryukyus, Ltd. 68,580 1,576,604 Central Finance Co., Ltd. 201,000 872,842 * Century Leasing System, Inc. 11,300 123,687 * Chiba Kogyo Bank, Ltd. 117,700 947,678 Chukyo Bank, Ltd. 497,000 1,661,191 # Cosmo Securities Co., Ltd. 952,000 1,742,518 Credia Co., Ltd. 14,000 504,453 Daibiru Corp. 226,000 1,663,633 Daiko Clearing Services Corp. 25,000 187,112 Daisan Bank, Ltd. 417,000 1,485,081 Daiwa Kosho Lease Co., Ltd. 333,000 1,695,140 Diamond City Co., Ltd. 17,050 500,808 Ehime Bank, Ltd. 330,000 1,109,887 # Eighteenth Bank, Ltd. 390,000 1,837,369 # Fukushima Bank, Ltd. 432,000 638,984 * Generas Corp. 64,000 590 * Gro-BeLS Co., Ltd. 84,000 135,285 Hanshin Sogo Bank, Ltd. 867,000 1,720,169 Higashi-Nippon Bank, Ltd. 413,000 1,564,133 # Hokuetsu Bank, Ltd. 504,000 1,064,273 Ichiyoshi Securities Co., Ltd. 103,000 926,692 Jaccs Co., Ltd. 207,000 1,629,053 Kagawa Bank, Ltd. 167,350 948,924 * Kanto Tsukuba Bank, Ltd. 45,500 316,427 Keihanshin Real Estate Co., Ltd. 93,000 562,577 Kita-Nippon Bank, Ltd. 17,806 842,286 Kiyo Bank, Ltd. 976,000 1,837,633 Kobayashi Yoko Co., Ltd. 21,600 363,386 # Kosei Securities Co., Ltd. 173,000 333,857 * Kyushu-Shinwa Holdings, Inc. 702,000 1,062,599 Marusan Securities Co., Ltd. 167,000 1,051,181 Meiwa Estate Co., Ltd. 52,900 551,627 Michinoku Bank, Ltd. 349,000 1,618,633 Mito Securities Co., Ltd. 181,000 776,570 Mitsubishi Tokyo Financial Group, Inc. 1 7,356 Miyazaki Bank, Ltd. 324,000 1,344,816 * Momiji Holdings, Inc. 449 1,001,734 Nagano Bank, Ltd. 179,000 551,000 # Nisshin Fire & Marine Insurance Co., Ltd. 447,000 1,661,367 * Nittyu Co., Ltd. 700 117,317
21 Odakyu Real Estate Co., Ltd. 85,000 228,405 Oita Bank, Ltd. 301,000 1,947,461 Osaka Securities Finance Co., Ltd. 54,000 205,217 Pocket Card Co., Ltd. 41,000 847,812 Ricoh Leasing Co., Ltd. 67,700 1,586,445 Sankei Building Co., Ltd. 159,000 1,135,510 # Sanyo Electric Credit Co., Ltd. 76,800 1,568,059 Shimizu Bank, Ltd. 21,100 1,051,157 Shinki Co., Ltd. 158,100 1,433,307 Shoei Co., Ltd. 28,800 522,895 Shokusan Bank, Ltd. 98,000 328,577 # Suruga Corp. 22,700 765,797 # Tachihi Enterprise Co., Ltd. 31,750 1,177,509 Takagi Securities Co., Ltd. 125,000 378,521 The Daito Bank, Ltd. 232,000 367,562 TOC Co., Ltd. 139,000 533,725 Tochigi Bank, Ltd. 256,000 1,575,412 Toho Bank, Ltd. 433,000 1,773,427 Toho Real Estate Co., Ltd. 140,000 629,946 Tohoku Bank, Ltd. 117,000 308,874 Tokai Tokyo Securities Co., Ltd. 635,250 1,870,664 Tokushima Bank, Ltd. 159,200 1,336,581 Tokyo Rakutenchi Co., Ltd. 126,000 488,199 # Tokyo Theatres Co., Inc., Tokyo 164,000 347,483 Tokyo Tomin Bank, Ltd. 80,500 2,034,234 Tokyu Community Corp. 31,700 597,967 # Tokyu Livable Inc. 35,300 1,418,701 Tomato Bank, Ltd. 251,000 581,162 Tottori Bank, Ltd. 235,000 746,654 Towa Bank, Ltd. 535,000 1,183,264 # * Towa Real Estate Development Co., Ltd. 217,000 728,326 Toyo Securities Co., Ltd. 171,000 638,725 Yamagata Bank, Ltd. 389,000 1,848,043 Yuraku Real Estate Co., Ltd. 116,000 500,812 ---------------- Total Financials (Cost $75,605,228) 79,746,335 ---------------- Health Care -- (2.7%) Aloka Co., Ltd. 63,000 441,957 As One Corp. 37,080 712,603 Create Medic Co., Ltd. 11,000 109,299 # Eiken Chemical Co., Ltd. 54,000 612,740 # Fujirebio, Inc. 101,500 1,995,056 Fuso Pharmaceutical Industries, Ltd. 203,000 703,466 Hitachi Medical Corp. 89,000 1,171,141 Hogy Medical Co., Ltd. 35,900 1,529,228 Iwaki & Co., Ltd. 38,000 113,039 # Japan Medical Dynamic Marketing, Inc. 38,300 419,824 # Jeol, Ltd. 168,000 922,701 JMS Co., Ltd. 69,000 237,701 # Kaken Pharmaceutical Co., Ltd. 213,000 1,392,479 Kawamoto Corp. 4,000 22,716 * Kawanishi Holdings, Ltd. 1,300 14,983 Kawasumi Laboratories, Inc. 35,000 242,140 Mochida Pharmaceutical Co., Ltd. 130,000 819,402
22 Nihon Kohden Corp. 101,000 1,444,351 Nikken Chemicals Co., Ltd. 134,000 418,973 # * Nippon Chemiphar Co., Ltd. 70,000 452,671 Nippon Shinyaku Co., Ltd. 155,000 1,241,883 Nissui Pharmaceutical Co., Ltd. 34,000 213,481 Paramount Bed Co., Ltd. 72,700 1,717,057 Rion Co., Ltd. 5,000 28,125 Rohto Pharmaceutical Co., Ltd. 119,000 1,466,700 * Seikagaku Corp. 10,000 112,130 Sogo Medical Co., Ltd. 13,400 269,584 SS Pharmaceutical Co., Ltd., Tokyo 276,000 1,876,822 Teikoku Hormone Manufacturing Co., Ltd. 44,000 423,491 Topcon Corp. 102,000 1,611,759 Torii Pharmaceutical Co., Ltd. 63,900 1,359,157 * Toyama Chemicals Co., Ltd. 431,000 1,491,594 Vital-Net, Inc. 98,800 740,345 Wakamoto Pharmaceutical Co., Ltd. 48,000 150,415 # Zeria Pharmacetical Co., Ltd. 99,000 996,490 ---------------- Total Health Care (Cost $24,860,469) 27,475,503 ---------------- Energy -- (1.1%) AOC Holdings, Inc. 160,200 2,235,879 # * Fuji Kosan Co., Ltd. 178,000 283,800 # Itochu Enex Co., Ltd. 201,300 1,347,633 Japan Oil Transportation Co., Ltd. 45,000 147,516 Kanto Natural Gas Development Co., Ltd. 119,000 756,944 # Kyoei Tanker Co., Ltd. 78,000 311,747 Mitsuuroko Co., Ltd. 153,000 1,056,434 * Modec, Inc. 26,200 606,436 # Nippon Gas Co., Ltd. 104,000 870,174 Petrolub International Co., Ltd. 52,900 262,490 Sala Corp. 84,000 405,627 San-Ai Oil Co., Ltd. 155,000 721,595 Shinko Plantech Co., Ltd. 56,000 110,880 Sinanen Co., Ltd. 160,000 821,604 Toa Oil Co., Ltd. 181,000 307,491 # * Toyo Kanetsu KK 261,000 374,714 ---------------- Total Energy (Cost $10,346,115) 10,620,964 ---------------- Utilities -- (0.5%) Hokkaido Gas Co., Ltd. 105,000 301,391 Hokuriku Gas Co., Ltd. 64,000 183,855 Okinawa Electric Power Co., Ltd. 33,810 1,589,148 # Saibu Gas Co., Ltd. 843,000 1,722,986 Shizuokagas Co., Ltd. 157,000 805,516 Tokai Corp. 163,000 708,105 ---------------- Total Utilities (Cost $4,652,743) 5,311,001 ---------------- Other -- (0.2%) Airport Facilities Co., Ltd. 120,970 675,575 * Akai Electric Co., Ltd. 363,000 3,345 * Fujii & Co., Ltd. 44,000 405
23 * Fujiko Co., Ltd. 55,000 0 * Gajoen Kanko KK 37,000 0 * GKN D1 Tochigi Holdings Shares 51 156,475 * Kakuei (L.) Corp. 100,000 921 * Kokune Corp. 42,000 0 * Maruishi Holdings Co., Ltd. 214,000 1,972 * New Real Property KK 43,900 0 * Nichiboshin, Ltd. 1,190 1,096 * Nisseki House Industry Co., Ltd. 260,000 0 Subaru Enterprise Co., Ltd. 36,000 124,544 Sundrug Co., Ltd. 6,400 240,592 * Takarabune Corp. 26,000 240 * TOC Co., Ltd. Issue 05 145,950 560,412 ---------------- Total Other (Cost $4,788,037) 1,765,577 ---------------- TOTAL COMMON STOCKS (Cost $765,635,394) 777,092,562 ---------------- RIGHTS/WARRANTS -- (0.0%) Other -- (0.0%) * BSL Corp. Rights 06/10/05 43,214 0 * Kanematsu Corp. Warrants 03/31/06 20,125 0 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 0 ---------------- INVESTMENT IN CURRENCY -- (0.4%) * Japanese Yen 3,888,366 ---------------- (Cost $3,914,685) TOTAL -- JAPAN (Cost $769,550,079) 780,980,928 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (22.4%) ^ Repurchase Agreement, Deutsche Bank Securities & Mizuho Securities USA 2.96% and 2.98%, respectively, 06/01/05 (Collateralized by $350,771,984 U.S. TIPS 1.875%, 07/15/13 & U.S. STRIPS, rates ranging from 0% to 9.25%, maturities ranging from 11/15/08 to 11/15/22, valued at $223,916,808) to be repurchased at $219,542,589 (Cost $219,524,430) $ 219,524 219,524,430 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $5,863,000 FNMA Notes 2.95%, 11/14/07, valued at $5,855,671) to be repurchased at $5,769,463 (Cost $5,769,000) 5,769 5,769,000 ---------------- Total Repurchase Agreements 225,293,430 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $225,293,430) 225,293,430 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $994,843,509) $ 1,006,274,358 ================
24 - --------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 25 THE PACIFIC RIM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- AUSTRALIA -- (41.9%) COMMON STOCKS -- (41.5%) A.I., Ltd. 129,195 $ 15,591 A.P. Eagers, Ltd. 27,393 155,149 AAV, Ltd. 192,653 169,491 # ABB Grain, Ltd. 363,642 1,619,283 ABC Learning Centres, Ltd. 353,727 1,413,036 * Acclaim Exploration NL 435,905 11,503 * Adacel Technologies, Ltd. 113,249 23,907 ADCorp Australia, Ltd. 123,389 67,082 Adelaide Bank, Ltd. 251,960 2,069,209 Adelaide Brighton, Ltd. 1,430,948 1,867,387 # Adsteam Marine, Ltd. 650,984 977,707 Adtrans Group, Ltd. 32,047 89,225 * Agenix, Ltd. 267,186 62,556 * AGT Biosciences, Ltd. 261,684 108,895 * Ainsworth Game Techology, Ltd. 314,923 132,756 AJ Lucas Group, Ltd. 85,235 99,574 Alesco Corp., Ltd. 182,571 964,934 * Alkane Exploration, Ltd. 185,165 23,016 * Allegiance Mining NL 301,699 29,575 * Altium, Ltd. 162,100 28,644 Amalgamated Holdings, Ltd. 320,951 981,976 Amcom Telecommunications, Ltd. 596,711 76,442 * Amity Oil NL 372,573 143,239 * Amrad Corp., Ltd. 211,023 70,660 * Anadis, Ltd. 136,900 37,227 * Anateus Energy, Ltd. 193,687 13,605 Ansell, Ltd. 19,924 138,124 ARB Corporation, Ltd. 151,288 371,208 * Arc Energy NL 459,772 645,842 Ariadne Australia, Ltd. 277,334 71,297 Arrow Pharmaceuticals, Ltd. 787,475 1,544,786 Aspen Group, Ltd. 20,479 3,099 * Atlas Pacific, Ltd. 82,585 12,193 # AuIron Energy, Ltd. 133,822 267,837 Ausdrill, Ltd. 178,089 95,872 Ausmelt, Ltd. 36,118 6,969 Auspine, Ltd. 115,651 301,377 * Austal, Ltd. 444,288 594,413 * Austar United Communications, Ltd. 3,146,981 2,090,155 # Austereo Group, Ltd. 1,080,140 1,424,961 Austin Group, Ltd. 70,265 42,395 Australian Agricultural Co., Ltd. 558,072 635,391 * Australian Magnesium Corp., Ltd. 332,383 2,503
1 Australian Pharmaceutical Industries, Ltd. 669,829 1,466,442 # Australian Pipeline Trust 726,465 1,999,900 # * Australian Worldwide Exploration, Ltd. 929,537 1,224,335 Auto Group, Ltd. 41,309 21,060 # Autron Corporation, Ltd. 989,247 119,576 AV Jennings Homes, Ltd. 496,066 518,845 Avatar Industries, Ltd. 195,019 129,494 * Avexa, Ltd. 67,761 6,909 * Ballarat Goldfields NL 1,665,281 281,950 # Bank of Queensland, Ltd. 262,337 2,179,525 Baxter Group, Ltd. 89,652 336,504 BayCorp Advantage, Ltd. 538,318 1,188,533 Beach Petroleum, Ltd. 1,951,255 799,986 Beaconsfield Gold NL 89,078 22,524 Bendigo Bank, Ltd. 358,878 2,623,612 # * Bendigo Mining NL 651,655 481,152 * Betcorp, Ltd. 273,622 38,324 * Beyond International, Ltd. 61,256 19,201 * Biota Holdings, Ltd. 265,336 90,069 Blackmores, Ltd. 37,565 365,798 * Blina Diamonds, Ltd. 13,703 2,686 * Bolnisi Gold NL 484,156 173,625 * Boom Logistics, Ltd. 40,650 59,871 * Boulder Group NL 717,587 135,168 * BQT Solutions, Ltd. 179,898 24,445 Brazin, Ltd. 273,219 387,328 Bridgestone Australia, Ltd. 66,100 148,600 * Broadcast Services Australia, Ltd. 337,438 84,212 * Buka Mineral, Ltd. 210,323 30,803 Cabcharge Austalia, Ltd. 267,963 913,016 Campbell Brothers, Ltd. 108,322 793,127 Candle Australia, Ltd. 69,486 94,151 * Cape Range Wireless, Ltd. 3,581,304 104,883 * Capral Aluminium, Ltd. 276,367 339,606 * Carpenter Pacific Resources, Ltd. 225,546 39,826 CDS Technologies, Ltd. 61,294 90,274 Cedar Woods Properties, Ltd. 77,414 126,283 * Cellestis, Ltd. 220,327 486,209 Cellnet Telecommunications Group, Ltd. 91,100 88,677 * Centamin Egypt, Ltd. 996,437 217,533 Centennial Coal, Ltd. 597,110 2,266,714 Central Equity, Ltd. 183,928 291,808 * Charters Towers Gold Mines, Ltd. 727,142 62,640 * Chemeq, Ltd. 166,742 149,175 Chiquita Brands South Pacific, Ltd. 341,774 206,448 Circadian Technologies, Ltd. 64,591 66,737 Citect Corp., Ltd. 109,822 78,012 * Climax Mining, Ltd. 870,299 55,229 # * Clough, Ltd. 1,236,465 461,431 Clover Corp., Ltd. 269,348 37,525 * Cluff Resources Pacific NL 911,746 10,979 CMI, Ltd. 81,810 89,589 * CO2 Group, Ltd. 280,693 68,069 # Coates Hire, Ltd. 549,361 1,729,247
2 Cochlear, Ltd. 124,836 3,039,369 * Codan, Ltd. 32,604 35,707 Coffey International, Ltd. 167,427 265,311 Collection House, Ltd. 224,054 238,205 Colorado Group, Ltd. 242,046 805,687 Commander Communications, Ltd. 453,465 714,116 Consolidated Minerals, Ltd. 436,304 1,293,415 * Coplex Resources NL 231,400 15,730 # Corporate Express Australia, Ltd. 449,830 1,834,457 Count Financial, Ltd. 552,306 540,486 Coventry Group, Ltd. 84,583 392,908 * CPI, Ltd. 68,585 30,551 # Crane Group, Ltd. 152,617 918,932 Croesus Mining NL 798,235 195,362 * Crown Diamonds NL 521,549 72,878 Danks Holdings, Ltd. 10,425 76,390 # DCA Group, Ltd. 509,294 1,335,888 Devine, Ltd. 289,972 130,271 * Dioro Exploraration NL 297,142 14,582 * Dominion Mining, Ltd. 192,017 44,840 Downer Group, Ltd. 688,972 2,744,768 * Dragon Mining NL 709,605 96,039 # * E.R.G., Ltd. 1,647,173 334,279 * Echelon Resources, Ltd. 7,950 1,921 * Emporer Mines, Ltd. 324,668 73,607 Energy Developments, Ltd. 311,265 886,333 * Energy World Corp., Ltd. 325,630 10,036 # Envestra, Ltd. 2,038,400 1,737,575 * Environmental Solutions International, Ltd. 67,364 3,358 Equigold NL 351,475 240,211 Evans & Tate, Ltd. 164,154 86,686 * Excel Coal, Ltd. 168,010 802,178 * Falcon Minerals, Ltd. 240,897 78,863 # Fantastic Holdings, Ltd. 185,528 517,617 FKP, Ltd. 470,587 983,548 # Fleetwood Corp., Ltd. 115,978 550,203 Flight Centre, Ltd. 10,991 119,381 * Forest Enterprises Australia, Ltd. 489,229 195,375 # * Fortescue Metals Group, Ltd. 361,735 655,641 # Funtastic, Ltd. 312,883 399,427 Futuris Corp., Ltd. 1,238,179 1,577,939 Gale Pacific, Ltd. 123,557 137,823 GasNet Australia Group 343,500 637,191 Gazal Corp., Ltd. 101,046 232,079 * Genetic Technologies, Ltd. 830,383 213,197 * Geodynamics, Ltd. 174,778 240,414 * Giants Reef Mining, Ltd. 1,400,196 29,612 Globe International, Ltd. 882,836 282,867 * Gold Aura, Ltd. 41,097 2,875 * Goldstream Mining NL 151,648 41,758 Gowing Bros., Ltd. 79,311 153,303 * Gradipore, Ltd. 104,226 49,215 # Graincorp, Ltd. Series A 87,738 754,247 Grand Hotel Group 473,257 277,301
3 GRD NL 494,134 569,129 # Great Southern Plantations, Ltd. 735,162 1,966,557 Green's Foods, Ltd. 193,688 75,851 # GUD Holdings, Ltd. 174,840 896,131 Gunns, Ltd. 602,832 1,754,578 * Gutnick Resources NL 17,866 944 GWA International, Ltd. 698,010 1,512,799 * Gympie Gold, Ltd. 302,445 0 # * Hardman Resources NL 1,706,925 2,338,532 Harvey World Travel, Ltd. 87,638 91,408 Healthscope, Ltd. 261,453 879,121 Henry Walker Eltin Group, Ltd. 463,214 173,183 * Herald Resources, Ltd. 69,910 29,341 HGL, Ltd. 87,018 118,879 # Hills Industries, Ltd. 407,018 1,264,961 Home Building Society, Ltd. 27,907 151,691 * Horizon Oil NL 752,832 56,849 # Housewares International, Ltd. 307,812 372,445 HPAL, Ltd. 274,861 352,972 # * Hutchison Telecommunications (Australia), Ltd. 1,455,265 279,321 IBA Health, Ltd. 552,155 184,756 * ICSGlobal, Ltd. 155,693 33,481 IInet, Ltd. 192,656 429,425 Iluka Resources, Ltd. 513,563 2,379,885 * Imdex, Ltd. 135,662 21,972 Incitec Pivot, Ltd. 103,989 1,236,718 * Independent Practioner Network, Ltd. 457,414 25,581 * Indophil Resources NL 518,540 149,860 # Infomedia, Ltd. 696,356 280,875 Institute of Drug Technology Australia, Ltd. 82,205 110,531 Integrated Group, Ltd. 145,820 202,665 Integrated Research, Ltd. 261,513 82,803 * Integrated Tree Cropping, Ltd. 17,366 16,396 * Intellect Holdings, Ltd. 967,267 18,308 * Intermoco, Ltd. 1,067,459 28,169 * International All Sports, Ltd. 58,815 11,995 Investor Group, Ltd. 170,947 531,412 * Invocare, Ltd. 51,192 156,208 # ION, Ltd. 419,349 0 # IOOF Holdings, Ltd. 128,916 652,613 Iress Market Technology, Ltd. 281,018 867,640 IWL, Ltd. 81,474 156,918 * Ixla, Ltd. 89,921 1,562 # JB Hi-Fi, Ltd. 281,832 725,597 JDV, Ltd. 123,805 84,085 # Jones (David), Ltd. 1,190,508 1,615,808 Jubilee Mines NL 358,412 1,588,689 * Just Group, Ltd. 117,200 164,206 K&S Corp., Ltd. 128,017 295,818 * Kagara Zinc, Ltd. 437,281 410,743 Keycorp, Ltd. 156,412 195,834 * Kids Campus, Ltd. 69,303 34,585 * Kimberley Diamond Co. NL 274,068 237,914 * Kings Mineral NL 516,989 87,871
4 Kingsgate Consolidated NL 186,350 382,134 Kresta Holdings, Ltd. 231,002 50,573 * Lakes Oil NL 2,055,217 34,161 Lemarne Corp., Ltd. 20,790 38,276 * Leyshon Resources, Ltd. 103,357 23,644 Lighting Corp., Ltd. 180,200 91,111 * LionOre Mining International, Ltd. 20,000 99,205 * Longreach Group, Ltd. 276,023 43,614 * Lynas Gold NL 433,768 55,417 MacArthur Coal, Ltd. 394,540 2,051,777 MacMahon Holdings, Ltd. 804,171 246,037 * Macmin Silver, Ltd. 343,722 29,597 * Macquarie Corporate Telecommunications, Ltd. 350,192 30,322 Magellan Petroleum Australia, Ltd. 32,760 29,494 * Magnesium International, Ltd. 32,803 35,148 * Maryborough Sugar Factory, Ltd. 600 3,037 * Matrix Oil NL 557,000 18,511 MaxiTRANS Industries, Ltd. 482,299 280,618 # McGuigan Simeon Wines, Ltd. 296,961 873,883 McPherson's, Ltd. 141,730 347,530 * Medica Holdings, Ltd. 31,587 10,812 Melbourne IT, Ltd. 85,583 84,106 # * Metabolic Pharmaceuticals, Ltd. 700,000 399,784 # * Metal Storm, Ltd. 956,640 101,274 # * MFS, Ltd. 276,486 281,914 # Miller's Retail, Ltd. 566,259 337,265 Minara Resources, Ltd. 1,229,086 1,737,046 Mincor Resources NL 492,383 270,466 Monadelphous Group, Ltd. 51,561 438,262 * Mosaic Oil NL 756,146 99,606 * Multiemedia, Ltd. 3,014,095 36,349 * MXL, Ltd. 512,804 52,068 MYOB, Ltd. 917,057 756,424 Namoi Cotton Cooperative, Ltd. 160,347 63,038 National Can Industries, Ltd. 97,017 96,418 * New Hope Corp., Ltd. 41,453 35,693 * Norwood Abbey, Ltd. 326,063 106,930 * Nova Health, Ltd. 427,034 94,868 * Novera Energy, Ltd. 62,826 69,864 * Novogen, Ltd. 246,646 982,351 Nufarm, Ltd. 287,774 1,914,646 * Nylex, Ltd. 1,960,108 398,936 Oakton, Ltd. 162,978 191,575 # Oamps, Ltd. 336,965 625,323 * Occupational & Medical Innovations, Ltd. 31,208 9,524 * Oceana Gold, Ltd. 192,400 77,019 * Orbital Engine Corp., Ltd. 537,358 39,647 OrotonGroup, Ltd. 76,854 145,170 # * Oxiana, Ltd. 2,856,763 1,849,102 Pacific Brands, Ltd. 518,500 882,576 Pacific Group, Ltd. 320,974 366,742 Pacific Hydro, Ltd. 380,820 1,456,574 # * Paladin Resources, Ltd. 783,776 587,212 * Palm Springs, Ltd. 222,804 10,581
5 * Pan Pacific Petroleum NL 327,800 24,624 * Panbio, Ltd. 58,078 11,683 Paperlinx, Ltd. 501,058 875,872 * Payce Consolidated, Ltd. 29,670 60,730 Penfold Buscombe, Ltd. 85,065 116,028 * People Telecom, Ltd. 535,431 54,495 Peptech, Ltd. 379,247 383,451 * Perilya Mines NL 386,030 212,503 * Perseverance Corp., Ltd. 1,265,363 252,283 # * Petsec Energy, Ltd. 253,743 211,463 * Plantcorp NL 4,329 0 Plaspak Group, Ltd. 99,965 68,769 # * PMP, Ltd. 761,276 714,645 * Polartechnics, Ltd. 43,405 4,919 Port Bouvard, Ltd. 108,200 109,639 * Port Douglas Reef Resorts, Ltd. 251,655 23,759 * PowerTel, Ltd. Series B 175,372 157,526 * Prana Biotechnology, Ltd. 195,424 26,026 * Precious Metals Australia, Ltd. 12,727 1,978 * Preston Resources NL 64,000 579 Primary Health Care, Ltd. 292,807 1,819,418 Prime Television, Ltd. 294,381 688,662 * Primelife Corp., Ltd. 215,916 143,602 * Progen Industries, Ltd. 83,761 163,854 Programmed Maintenance Service, Ltd. 167,811 407,696 # * Psivida, Ltd. 467,864 277,961 Queensland Cotton Holdings, Ltd. 64,879 205,542 * Quiktrak Networks, Ltd. 7,401 0 Ramsay Health Care, Ltd. 340,994 2,063,632 Raptis Group, Ltd. 12,000 4,985 Rebel Sport, Ltd. 173,512 276,287 Redfire Resources NL 859,797 177,663 * Redflex Holdings, Ltd. 230,706 530,891 Reece Australia, Ltd. 251,463 2,282,042 * Reinsurance Australia Corp., Ltd. 399,993 141,806 * Repco Corp., Ltd. 110,651 225,651 Repcol, Ltd. 308,668 111,677 # * Resolute Mining, Ltd. 456,861 309,731 * Resonance Health, Ltd. 29,264 2,974 Ridley Corp., Ltd. 620,822 631,017 Roberts, Ltd. 26,336 157,070 * Roc Oil Co., Ltd. 438,259 543,028 Rock Building Society, Ltd. 25,092 77,806 Ross Human Directions, Ltd. 124,630 63,031 S8, Ltd. 180,798 239,806 * SAI Global, Ltd. 57,098 107,815 * Sally Malay Mining, Ltd. 402,323 246,747 Salmat, Ltd. 302,282 1,081,687 Schaffer Corp., Ltd. 33,766 126,360 # SDI, Ltd. 236,993 115,455 * Sedimentary Holdings, Ltd. 577,321 76,085 Select Harvests, Ltd. 106,523 791,589 Senetas Corp., Ltd. 746,923 151,314 Servcorp, Ltd. 187,972 368,240
6 # Seven Network, Ltd. 354,582 1,906,472 SFE Corp., Ltd. 334,655 2,543,444 Sigma Co., Ltd. 375,345 2,321,649 * Silex System, Ltd. 287,621 212,042 Sims Group, Ltd. 150,718 1,533,592 * Sino Gold, Ltd. 276,623 318,802 * Sirtex Medical, Ltd. 96,109 103,049 # Skilled Engineering, Ltd. 197,124 360,580 # Smorgon Steel Group, Ltd. 2,163,008 2,027,465 SMS Management & Technology, Ltd. 132,991 168,405 * Sons of Gwalia, Ltd. 253,252 0 # Southern Cross Broadcasting (Australia), Ltd. 149,035 1,370,475 * Southern Pacific Petroleum NL 698,740 0 # SP Telecommunications, Ltd. 819,927 1,081,761 # Spotless Group, Ltd. 517,370 1,910,767 * St. Barbara Mines, Ltd. 375,500 26,824 Star Games, Ltd. 219,830 169,092 * Starpharma Holdings, Ltd. 258,219 105,342 Straits Resources, Ltd. 312,715 396,796 * Strategic Minerals Corp. NL 358,100 23,330 * Strathfield Group, Ltd. 492,553 30,544 * Striker Resources NL 435,484 10,518 # STW Communications Group, Ltd. 462,047 969,121 Sunland Group, Ltd. 530,550 556,219 Sydney Aquarium, Ltd. 49,135 199,959 # * Sydney Gas, Ltd. 661,636 346,802 Symex Holdings, Ltd. 203,321 220,933 * Taipan Resources NL 2,475,883 89,857 * Tandou, Ltd. 3,410 3,855 * Tap Oil, Ltd. 407,790 612,828 Technology One, Ltd. 705,539 306,170 Tectonic Resources NL 259,183 30,266 * Television & Media Services, Ltd. 2,000,584 58,979 Thakral Holdings Group 1,569,889 924,350 Ticor, Ltd. 630,193 806,283 # Timbercorp, Ltd. 551,027 795,884 * Titan Resources NL 595,172 26,522 * Tooth & Co., Ltd. 153,000 10,632 Transfield Services, Ltd. 375,908 1,995,323 Triako Resources, Ltd. 31,217 19,367 Troy Resources NL 96,896 178,819 Trust Company of Australia, Ltd. 75,179 529,042 # United Group, Ltd. 249,861 1,591,836 * Unitract, Ltd. 147,406 77,158 * Universal Resources, Ltd. 109,414 12,407 UXC, Ltd. 297,944 175,231 VeCommerce, Ltd. 13,680 17,411 * Ventracor, Ltd. 502,158 563,305 * Victoria Petroleum NL 2,180,492 52,507 # Villa World, Ltd. 229,021 248,672 * Village Roadshow, Ltd. 591,536 1,138,421 * Virotec International NL 403,655 161,451 # Vision Systems, Ltd. 426,575 331,933 * Voicenet (Australia), Ltd. 495,284 4,845
7 Volante Group, Ltd. 273,599 243,458 Waterco, Ltd. 33,300 90,461 Watpac, Ltd. 142,703 117,397 # Wattyl, Ltd. 225,230 360,712 * Webster, Ltd. 119,092 68,383 * Wedgetail Exploration NL 1,413,422 42,632 * Western Areas NL 259,360 262,189 Wide Bay Capricorn Building Society, Ltd. 47,718 252,384 Worley Group, Ltd. 398,370 2,114,403 * Yates, Ltd. 60,281 1,684 ---------------- TOTAL COMMON STOCKS (Cost $151,551,186) 166,901,713 ---------------- INVESTMENT IN CURRENCY -- (0.3%) * Australian Dollar 1,269,403 ---------------- (Cost $1,273,029) PREFERRED STOCKS -- (0.1%) * Village Roadshow, Ltd. 2% Class A 200,025 303,265 ---------------- (Cost $283,859) RIGHTS/WARRANTS -- (0.0%) * Beach Petroleum, Ltd. Warrants 06/30/06 480,019 0 * Boulder Steel, Ltd. Options 11/30/05 71,759 2,439 * Equigold NL Options 05/31/07 87,868 6,637 * Forest Enterprises Australia, Ltd. Rights 06/07/05 81,538 1,232 ---------------- TOTAL RIGHTS/WARRANTS (Cost $2,187) 10,308 ---------------- TOTAL -- AUSTRALIA (Cost $153,110,261) 168,484,689 ---------------- HONG KONG -- (23.1%) COMMON STOCKS -- (23.0%) * 139 Holdings, Ltd. 6,200,000 22,227 ABC Communications (Holdings), Ltd. 930,000 83,582 Aeon Credit Service (Asia) Co., Ltd. 740,000 463,497 ALCO Holdings, Ltd. 740,000 287,077 Allan International Holdings, Ltd. 592,000 87,427 Allied Group, Ltd. 559,200 774,518 Allied Properties, Ltd. 802,600 491,412 * Anex International Holdings, Ltd. 152,000 1,909 * Applied International Holdings, Ltd. 1,243,000 39,463 * APT Satellite Holdings, Ltd. 599,000 102,356 Artel Solutions Group Holdings, Ltd. 2,315,000 44,647 Arts Optical International Holdings, Ltd. 468,000 166,971 Asia Aluminum Holdings, Ltd. 4,042,000 445,748 * Asia Commercial Holdings, Ltd. 72,800 5,143 Asia Financial Holdings, Ltd. 1,976,908 519,926 * Asia Logistics Technologies, Ltd. 22,140 2,760 Asia Satellite Telecommunications Holdings, Ltd. 404,500 712,544
8 Asia Standard International Group, Ltd. 6,780,000 295,291 * Asia Tele-Net & Technology Corp., Ltd. 521,000 23,792 Associated International Hotels, Ltd. 898,000 852,538 Automated Systems Holdings, Ltd. 340,000 80,428 * B.A.L. Holdings, Ltd. 305 11 Baltrans Holdings, Ltd. 376,000 164,283 * Beijing Development (Hong Kong), Ltd. 166,000 17,069 # Bossini International Holdings, Ltd. 1,801,500 348,927 Bright International Group, Ltd. 710,000 67,522 # Cafe de Coral Holdings, Ltd. 672,000 768,200 * Capital Prosper, Ltd. 480,000 5,073 * Capital Strategic Investment, Ltd. 30,500 5,827 Cash Financial Services Group, Ltd. 27,018 731 * Casil Telecommunications Holdings, Ltd. 1,420,000 71,327 * Catic International Holdings, Ltd. 5,332,000 61,686 CCT Telecom Holdings, Ltd. 472,970 75,876 CEC International Holdings, Ltd. 210,000 4,818 * Celestial Asia Securities Holdings, Ltd. 426,036 20,791 * Central China Enterprises, Ltd. 210,400 19,190 # Champion Technology Holdings, Ltd. 1,379,390 210,424 Chaoda Modern Agriculture (Holdings), Ltd. 2,620,000 1,083,622 Chen Hsong Holdings, Ltd. 1,210,000 695,000 Cheuk Nang (Holdings), Ltd. 113,344 61,815 * Cheung Tai Hong Holdings, Ltd. 100,920 5,291 Chevalier International Holdings, Ltd. 441,482 521,200 Chevalier Itech Holdings, Ltd. 355,250 72,709 * China Aerospace International Holdings, Ltd. 3,384,000 182,052 * China Bio-medical Group, Ltd. 415,000 8,001 * China Digicontent Co., Ltd. 2,710,000 3,483 * China Electronic Corp. Holdings Co., Ltd. 468,250 84,257 China Everbright International, Ltd. 3,945,000 227,201 * China Everbright Technology, Ltd. 3,244,000 128,943 * China Gas Holdings, Ltd. 2,026,000 345,895 China Hong-Kong Photo Products Holdings, Ltd. 1,909,000 179,429 * China Insurance International Holdings Co., Ltd. 1,866,000 682,350 * China Investments Holdings, Ltd. 210,000 4,534 * China Merchants Dichain (Asia), Ltd. 7,160,000 59,662 * China Motion Telecom International, Ltd. 257,000 6,937 China Motor Bus Co., Ltd. 74,000 598,443 * China Nan Feng Group, Ltd. 28,800 341 # China National Aviation Co., Ltd. 3,710,000 832,720 China Online (Bermuda), Ltd. 296,240 47,863 * China Pharmaceutical Enterprise and Investment Corp., Ltd. 1,802,000 370,168 * China Rare Earth Holdings, Ltd. 1,180,000 148,551 # China Resources Land, Ltd. 2,658,000 425,667 China Resources Logic, Ltd. 3,796,000 422,570 * China Rich Holdings, Ltd. 3,380,000 13,467 * China Sci-Tech Holdings, Ltd. 278,600 7,462 * China Star Entertainment, Ltd. 440,292 18,031 * China Strategic Holdings, Ltd. 1,368,500 142,642 Chinney Investments, Ltd. 1,144,000 108,395 Chitaly Holdings, Ltd. 214,000 189,202 Chow Sang Sang Holdings International, Ltd. 865,680 605,220 Chuangs China Investments, Ltd. 1,347,000 67,258
9 Chuang's Consortium International, Ltd. 1,858,884 154,327 Chun Wo Holdings, Ltd. 1,671,917 201,199 Chung Tai Printing Holdings, Ltd. 548,000 88,085 * CITIC 21CN Co., Ltd. 3,674,000 1,035,737 * CITIC Resources Holdings, Ltd. 2,822,000 388,240 City e Solutions, Ltd. 186,000 19,871 City Telecom (H.K.), Ltd. 1,070,000 109,474 # * Clear Media, Ltd. 529,000 452,026 * Climax International Co., Ltd. 296,000 1,635 # CNPC (Hong Kong), Ltd. 6,430,000 939,837 * CNT Group, Ltd. 3,078,000 55,408 * Coastal Greenland, Ltd. 2,440,000 93,594 COFCO International, Ltd. 2,188,000 1,003,371 * Compass Pacific Holdings, Ltd. 624,000 19,274 * Computer & Technologies Holdings, Ltd. 432,000 45,343 Continental Holdings, Ltd. 98,825 10,422 Continental Mariner Investment Co., Ltd. 1,328,000 221,411 COSCO International Holdings, Ltd. 2,573,600 385,268 Coslight Technology International Group, Ltd. 626,000 142,241 Cosmos Machinery Enterprises, Ltd. 1,126,400 54,829 * Crocodile Garments, Ltd. 1,539,000 116,178 Cross Harbour Tunnel Co., Ltd. 386,520 372,509 * Culturecom Holdings, Ltd. 3,767,000 163,747 * Dah Hwa International Holdings, Ltd. 1,062,000 50,836 * Dan Form Holdings Co., Ltd. 2,386,600 124,462 * Daqing Petroleum & Chemical Group, Ltd. 1,375,000 85,512 Dickson Concepts International, Ltd. 498,300 849,976 * Digital China Holdings, Ltd. 1,416,000 422,467 * DVN Holdings, Ltd. 744,490 174,075 * Dynamic Global Holdings, Ltd. 3,522,000 19,012 Dynamic Holdings, Ltd. 244,000 37,437 Easyknit International Holdings, Ltd. 282,860 7,701 * Eforce Holdings, Ltd. 2,620,000 12,068 Egana Jewelry & Pearls, Ltd. 331,789 56,980 # Eganagoldfeil Holdings, Ltd. 2,017,235 491,801 * Emperor Entertainment Hotel, Ltd. 870,000 147,737 Emperor International Holdings, Ltd. 904,360 121,899 * e-New Media Co., Ltd. 320,000 11,294 * eSun Holdings, Ltd. 653,600 176,380 * Extrawell Pharmaceutical Holdings, Ltd. 3,220,000 74,316 Ezcom Holdings, Ltd. 72,576 464 Fairwood Holdings, Ltd. 42,600 22,966 # Far East Consortium International, Ltd. 1,968,680 800,707 * Far East Hotels & Entertainment, Ltd. 1,853,000 125,749 * Far East Pharmaceutical Technology Co., Ltd. 3,216,000 28,108 First Natural Foods Holdings, Ltd. 295,000 20,818 First Sign International Holdings, Ltd. 1,424,000 47,413 Fong's Industries Co., Ltd. 664,000 499,051 * Forefront International Holdings, Ltd. 658,000 48,206 * Fortuna International Holdings, Ltd. 9,344,000 14,506 * Foundation Group, Ltd. 83,800 2,122 * Founder Holdings, Ltd. 1,854,000 116,418 Fountain Set Holdings, Ltd. 972,000 523,384 Four Seas Frozen Food Holdings, Ltd. 347,184 50,825
10 Four Seas Mercantile Holdings, Ltd. 592,000 205,441 * Fujian Holdings, Ltd. 237,800 6,143 Fujikon Industrial Holdings, Ltd. 532,000 95,718 * Fushan Holdings, Ltd. 2,566,000 160,794 * GeoMaxima Energy Holdings, Ltd. 5,810,000 44,779 Giordano International, Ltd. 1,866,000 1,221,939 * Global China Group Holdings, Ltd. 3,022,000 147,477 Global Green Tech Group, Ltd. 1,336,000 143,945 * Global Tech (Holdings), Ltd. 5,612,000 36,065 Glorious Sun Enterprises, Ltd. 1,650,000 709,497 Gold Peak Industries (Holdings), Ltd. 1,059,250 213,471 * Goldbond Group Holdings, Ltd. 2,609,500 43,048 Golden Meditech Company, Ltd. 1,473,802 280,160 Golden Resources Development International, Ltd. 1,456,500 64,576 * Gold-Face Holdings, Ltd. 2,003,600 0 Goldlion Holdings, Ltd. 1,438,000 184,200 * Golik Holdings, Ltd. 930,500 27,268 Good Fellow Group, Ltd. 3,488,000 50,649 * Gorient Holdings, Ltd. 7,370 35 Grande Holdings, Ltd. 502,000 473,714 * Great Wall Cybertech, Ltd. 15,795,170 20,301 Group Sense (International), Ltd. 2,062,000 155,761 Guangdong Brewery Holdings, Ltd. 2,212,000 751,638 * Guangnan Holdings, Ltd. 14,216,000 222,133 Guangzhou Investment Co., Ltd. 8,860,000 680,690 * Guo Xin Group, Ltd. 3,640,000 14,881 Guorun Holdings, Ltd. 3,570,000 213,111 GZI Transport, Ltd. 1,820,000 589,702 Hang Fung Gold Technology, Ltd. 1,016,000 153,670 Hang Ten Group Holdings, Ltd. 405,850 57,805 Hanny Holdings, Ltd. 186,658 71,169 * Hansom Eastern Holdings, Ltd. 3,473,235 13,362 Harbour Centre Development, Ltd. 517,000 858,847 Harbour Ring International Holdings, Ltd. 6,936,000 720,666 * Hen Fung Holdings, Ltd. 1,740,000 33,406 Henderson China Holdings, Ltd. 815,000 804,955 Heng Tai Consumables Group, Ltd. 530,000 97,870 # Hengan International Group Co., Ltd. 1,194,000 774,159 High Fashion International, Ltd. 268,000 57,157 # HKR International, Ltd. 1,884,860 1,241,790 Hon Kwok Land Investment Co., Ltd 572,535 148,549 Hong Kong and Shanghai Hotels, Ltd. 500,041 522,327 Hong Kong Catering Management, Ltd. 512,000 101,073 * Hong Kong Construction Holdings, Ltd. 970,000 65,937 Hong Kong Ferry (Holdings) Co., Ltd. 671,300 805,239 * Hong Kong Parkview Group, Ltd. 1,130,000 53,738 * Hong Kong Pharmaceuticals Holdings, Ltd. 1,834,000 45,730 Hongkong Chinese, Ltd. 2,126,000 299,925 * Hop Hing Holdings, Ltd. 660,265 24,610 Hopson Development Holdings, Ltd. 1,246,000 675,409 * Hsin Chong Construction Group, Ltd. 1,569,658 84,570 Hua Han Bio-Pharmaceutical Holdings, Ltd. 208,000 24,566 * Huabao International Holdings, Ltd. 19,300 3,319 Huafeng Textile International Group, Ltd. 248,000 12,893
11 * Hualing Holdings, Ltd. 1,344,000 31,115 Hung Hing Printing Group, Ltd. 684,122 504,736 * Hycomm Wireless, Ltd. 4,709,000 48,263 I-Cable Communications, Ltd. 2,155,000 753,903 * I-China Holdings, Ltd. 375,756 9,183 # IDT International, Ltd. 4,028,486 573,733 * Imagi International Holdings, Ltd. 137,400 17,309 * Innomaxx Biotechnology Group, Ltd. 3,050,000 49,709 * Interchina Holdings Co., Ltd. 8,130,000 103,186 International Bank of Asia, Ltd. 1,098,000 439,846 * Inworld Group, Ltd. 3,054 6 ITC Corp., Ltd. 466,157 31,048 JCG Holdings, Ltd. 792,000 763,245 Jinhui Holdings Co., Ltd. 280,000 78,274 * Joyce Boutique Holdings, Ltd. 514,000 40,128 * Junefield Department Store Group, Ltd. 256,000 3,290 # K Wah International Holdings, Ltd. 3,096,364 1,023,162 K. Wah Construction Materials, Ltd. 2,455,075 1,987,953 * Kader Holdings Co., Ltd. 545,600 13,334 * Kanstar Environmental Paper Products Holdings, Ltd. 1,220,000 46,956 Karrie International Holdings, Ltd. 488,000 203,574 Keck Seng Investments (Hong Kong), Ltd. 858,600 220,326 Kee-Shing Holdings Co., Ltd. 886,000 114,969 Kin Yat Holdings, Ltd. 586,000 54,120 King Fook Holdings, Ltd. 1,000,000 69,261 * King Pacific International Holdings, Ltd. 1,404,200 22,019 Kingdee International Software Group Co., Ltd. 638,000 126,073 Kingmaker Footwear Holdings, Ltd. 1,058,750 305,814 * Kong Sun Holdings, Ltd. 2,198,000 7,063 Kowloon Development Co., Ltd. 706,000 774,709 * KPI Co., Ltd. 396,000 7,272 KTP Holdings, Ltd. 560,400 35,909 Kwoon Chung Bus Holdings, Ltd. 556,000 120,598 * Lai Sun Development Co., Ltd. 7,592,000 116,745 * Lai Sun Garment (International), Ltd. 2,325,000 141,461 Lam Soon (Hong Kong), Ltd. 302,310 108,991 Le Saunda Holdings, Ltd. 236,000 36,550 * Leadership Publishing Group, Ltd. 250,511 483 * Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 2,969 Lee & Man Holdings, Ltd. 566,000 86,464 Lerado Group (Holding) Co., Ltd. 1,048,000 133,198 * LifeTec Group, Ltd. 1,383,000 14,543 Lippo, Ltd. 1,074,760 255,289 Liu Chong Hing Bank, Ltd. 537,000 785,035 Liu Chong Hing Investment, Ltd. 635,200 594,634 Luk Fook Holdings (International), Ltd. 690,000 212,424 Luks Industrial Group, Ltd. 645,555 92,657 Lung Kee (Bermuda) Holdings, Ltd. 1,071,875 695,360 * MACRO-LINK International Holdings, Ltd. 1,036,250 31,346 * Mae Holdings, Ltd. 111,000 1,469 Magnificent Estates, Ltd. 8,368,000 146,845 * Magnum International Holdings, Ltd. 300,000 4,049 Mainland Headwear Holdings, Ltd. 410,000 147,344 * Mansion House Group, Ltd. 1,820,000 27,574
12 Matrix Holdings, Ltd. 402,000 122,565 * Matsunichi Communications Holdings, Ltd. 388,000 113,320 * Mei Ah Entertainment Group, Ltd. 1,142,000 42,512 Melbourne Enterprises, Ltd. 45,500 185,384 Melco International Development, Ltd. 1,000,000 1,163,187 Midas International Holdings, Ltd. 774,000 58,621 Midland Realty (Holding), Ltd. 1,110,000 652,983 * Millennium Group, Ltd. 1,392,000 4,814 Min Xin Holdings, Ltd. 753,200 139,200 Miramar Hotel & Investment Co., Ltd. 607,000 911,694 * Morning Star Resources, Ltd. 1,845,000 18,971 # Moulin International Holdings, Ltd. 699,274 453,879 Multi-Asia International Holdings, Ltd. 460,920 52,048 Nanyang Holdings, Ltd. 137,500 159,269 National Electronics Holdings, Ltd. 2,156,000 67,749 Natural Beauty Bio-Technology, Ltd. 1,610,000 117,876 New Island Printing Holdings, Ltd. 176,000 15,156 * New World China Land, Ltd. 1,807,600 608,710 * New World Cyberbase, Ltd. 72,628 3,669 * New World TMT, Ltd. 1,380,600 81,366 * Newocean Green Energy Holdings, Ltd. 393,120 41,902 * Next Media, Ltd. 1,792,000 764,514 # Ngai Lik Industrial Holdings, Ltd. 1,556,000 418,913 * Nippon Asia Investments Holdings, Ltd. 1,573,200 17,794 # * Onfem Holdings, Ltd. 1,266,000 84,315 Orient Power Holdings, Ltd. 804,000 30,915 * Oriental Metals, Ltd. 711,780 232,859 Oriental Press Group, Ltd. 2,928,000 929,514 Oriental Watch Holdings, Ltd. 398,000 79,151 Pacific Andes International Holdings, Ltd. 1,172,000 202,893 Pacific Century Insurance Holdings, Ltd. 1,272,000 497,423 Pacific Century Premium Developments, Ltd. 2,785,000 846,373 * Pacific Plywood Holdings, Ltd. 4,430,000 14,754 # Paul Y. ITC Construction Holdings, Ltd. 2,309,062 614,434 Peace Mark Holdings, Ltd. 1,138,022 302,835 Pegasus International Holdings, Ltd. 226,000 31,371 Perfectech International Holdings, Ltd. 571,450 49,582 Pico Far East Holdings, Ltd. 1,190,000 184,516 Playmates Holdings, Ltd. 2,223,000 458,218 Pokfulam Development Co., Ltd. 234,000 96,098 * Poly Investments Holdings, Ltd. 2,670,000 39,419 Prime Success International Group, Ltd. 2,366,000 588,841 # Proview International Holdings, Ltd. 944,000 152,469 # * QPL International Holdings, Ltd. 1,191,000 140,364 Quality Healthcare Asia, Ltd. 133,800 33,604 Raymond Industrial, Ltd. 605,400 188,292 # * Regal Hotels International Holdings, Ltd. 11,656,000 1,013,576 * Rexcapital International Holdings, Ltd. 1,272,905 26,995 * Riche Multi-Media Holdings, Ltd. 7,060,000 349,894 * Rivera Holdings, Ltd. 3,620,000 106,538 * Riverhill Holdings, Ltd. 4,072 57 Road King Infrastructure, Ltd. 656,000 467,546 Roadshow Holdings, Ltd. 1,456,000 158,611 S.A.S.Dragon Holdings, Ltd. 1,696,000 189,428
13 # SA SA International Holdings, Ltd. 1,872,000 865,043 Safety Godown Co., Ltd. 408,000 178,295 Saint Honore Holdings, Ltd. 128,000 44,006 San Miguel Brewery Hong Kong, Ltd. 612,800 149,868 SCMP Group, Ltd. 2,276,000 985,787 Sea Holdings, Ltd. 832,000 331,055 * Seapower Resources International, Ltd. 151,680 3,190 SEEC Media Group, Ltd. 2,550,000 94,778 * Shanghai Allied Cement, Ltd. 1,152,080 41,608 * Shanghai Century Holdings, Ltd. 7,142,000 148,504 * Shanghai Land Holdings, Ltd. 1,464,000 0 * Shanghai Ming Yuan Holdings, Ltd. 3,090,000 289,316 # Shanghai Real Estates, Ltd. 2,234,000 240,741 Shaw Brothers Hong Kong, Ltd. 134,000 161,008 Shell Electric Manufacturing (Holdings) Co., Ltd. 782,172 144,499 Shenyin Wanguo (Hong Kong), Ltd. 847,500 71,659 Shenzhen International Holdings, Ltd. 13,502,500 450,235 Shougang Concord Century Holdings, Ltd. 1,676,000 144,010 * Shougang Concord Grand (Group), Ltd. 1,701,000 159,061 * Shougang Concord International Enterprises Co., Ltd. 6,380,000 456,962 * Shougang Concord Technology Holdings, Ltd. 2,639,809 136,696 # Shui On Construction & Materials, Ltd. 468,000 504,143 * Shun Ho Resources Holdings, Ltd. 483,000 33,771 Shun Ho Technology Holdings, Ltd. 1,037,452 83,582 Silver Grant International Industries, Ltd. 2,423,000 1,140,643 * Sincere Co., Ltd. 505,500 33,765 Singamas Container Holdings, Ltd. 838,000 650,138 Sino Golf Holdings, Ltd. 438,000 44,539 * Sinocan Holdings, Ltd. 350,000 1,754 * Sino-I.com, Ltd. 23,783,158 378,474 Sinolink Worldwide Holdings, Ltd. 3,933,600 686,111 Sinopec Kantons Holdings, Ltd. 1,638,000 230,952 * Skynet (International Group) Holdings, Ltd. 976 97 SNP Leefung Holdings, Ltd. 144,000 24,848 * Softbank Investment International (Strategic), Ltd. 7,398,000 72,986 * Solartech International Holdings, Ltd. 49,600 1,913 South China Brokerage Co., Ltd. 4,872,000 58,186 South China Industries, Ltd. 1,124,000 108,783 * South Sea Holdings Co., Ltd. 27,550,000 102,321 Southeast Asia Properties & Finance, Ltd. 263,538 37,937 Starlight International Holdings, Ltd. 1,311,292 116,020 Starlite Holdings, Ltd. 694,000 78,486 Stelux Holdings International, Ltd. 1,307,702 144,093 Styland Holdings, Ltd. 101,808 327 Sun Hing Vision Group Holdings, Ltd. 358,000 158,376 Sun Hung Kai & Co., Ltd. 2,048,600 541,318 * Sun Innovation Holdings, Ltd. 1,420,360 12,390 * Sun Media Group Holdings, Ltd. 9,814,000 21,443 * Sunday Communications, Ltd. 4,441,000 291,176 Sunway International Holdings, Ltd. 866,000 30,589 * Suwa International Holdings, Ltd. 1,062,000 27,241 SW Kingsway Capitol Holdings, Ltd. 2,206,000 91,963 # Symphony Holdings, Ltd. 982,000 200,002 Tack Fat Group International, Ltd. 1,472,000 185,101
14 * Tack Hsin Holdings, Ltd. 542,000 28,091 Tai Cheung Holdings, Ltd. 1,013,000 528,810 Tai Fook Securities Group, Ltd. 590,000 75,743 Tai Sang Land Development, Ltd. 471,984 155,700 Tak Shun Technology Group, Ltd. 2,088,000 88,368 Tak Sing Alliance Holdings, Ltd. 2,909,865 126,575 # Tan Chong International, Ltd. 1,182,000 218,718 TCC International Holdings, Ltd. 1,124,000 190,615 # TCL International Holdings, Ltd. 3,228,000 579,187 * Technology Venture Holdings, Ltd. 586,000 8,675 * Termbray Industries International (Holdings), Ltd. 2,304,900 145,161 Tern Properties Co., Ltd. 61,200 19,272 Texwinca Holdings, Ltd. 858,000 683,085 * The Sun's Group, Ltd. 17,004,000 21,855 * Tian An China Investments Co., Ltd. 1,238,275 309,939 Tian Teck Land, Ltd. 1,098,000 388,209 Tianjin Development Holdings, Ltd. 1,118,000 398,274 * Tingyi (Cayman Islands) Holding Corp. 3,000,000 819,127 Titan Petrochemicals Group, Ltd. 5,500,000 549,558 * Tomorrow International Holdings, Ltd. 165,000 14,808 * Tongda Group Holdings, Ltd. 1,020,000 20,162 Tonic Industries Holdings, Ltd. 1,380,000 37,444 Top Form International, Ltd. 1,586,000 452,759 Topsearch International (Holdings), Ltd. 204,000 24,604 * Tristate Holdings, Ltd. 138,000 39,021 Truly International Holdings, Ltd. 536,000 712,029 Tungtex (Holdings) Co., Ltd. 788,000 293,300 * Tysan Holdings, Ltd. 1,040,773 28,359 * U-Cyber Technology Holdings, Ltd. 432,800 10,180 * United Power Investment, Ltd. 1,664,000 151,282 * Universal Holdings Ltd 2,770,000 51,980 * Universe International Holdings, Ltd. 573,339 3,537 U-Right International Holdings, Ltd. 2,040,000 73,258 USI Holdings, Ltd. 928,999 250,308 Van Shung Chong Holdings, Ltd. 359,335 41,050 * Vanda Systems & Communications Holdings, Ltd. 7,846,000 673,776 # Varitronix International, Ltd. 534,293 486,436 Veeko International Holdings, Ltd. 1,420,000 53,711 Victory City International Holdings, Ltd. 855,350 271,601 Vital Biotech Holdings, Ltd. 470,000 16,285 # Vitasoy International Holdings, Ltd. 1,423,000 443,428 Wah Ha Realty Co., Ltd. 278,600 52,996 * Wah Nam International Holdings, Ltd. 38,696 738 Wai Kee Holdings, Ltd. 1,265,738 250,491 Wang On Group, Ltd. 47,897 16,265 Wellnet Holdings, Ltd. 2,059,200 113,679 Wheelock Properties, Ltd. 2,360,000 1,210,613 * Winfoong International, Ltd. 1,210,000 80,693 Wing On Co. International, Ltd. 565,000 797,985 * Wing Shan International, Ltd. 896,000 44,792 Wisdom Venture Holdings, Ltd. 398,000 32,145 Wong's International (Holdings), Ltd. 737,641 71,278 * Wonson International Holdings, Ltd. 4,040,000 7,270 World Houseware (Holdings), Ltd. 605,700 18,699
15 Y. T. Realty Group, Ltd. 965,000 137,611 Yangtzekiang Garment Manufacturing Co., Ltd. 607,500 146,538 * Yanion International Holdings, Ltd. 118,000 11,060 * Yaohan International Holdings, Ltd. 974,000 0 Yau Lee Holdings, Ltd. 534,000 46,532 YGM Trading, Ltd. 228,000 397,484 Yip's Chemical Holdings, Ltd. 674,000 201,179 Yugang International, Ltd. 11,916,000 183,333 * Yunnan Enterprises Holdings, Ltd. 240,000 13,026 * Zhu Kuan Development Co., Ltd. 646,000 43,940 ---------------- TOTAL COMMON STOCKS (Cost $103,984,609) 92,538,898 ---------------- INVESTMENT IN CURRENCY -- (0.1%) * Hong Kong Dollars 107,726 ---------------- (Cost $107,692) RIGHTS/WARRANTS -- (0.0%) * B.A.L. Holdings, Ltd. Rights 06/10/05 101 2 * China Credit Holdings Warrants 09/30/09 174,000 2,125 * Lai Sun Garment (International), Ltd. Rights 06/24/05 290,625 0 * Mae Holdings, Ltd. Rights 06/06/05 5,550 2 * Playmates Holdings, Ltd. Warrants 05/23/06 444,600 10,343 * Quality Healthcare Asia, Ltd. Warrants 01/13/07 26,760 447 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 12,919 ---------------- TOTAL -- HONG KONG (Cost $104,092,301) 92,659,543 ---------------- SINGAPORE -- (12.9%) COMMON STOCKS -- (12.9%) * Acma, Ltd. 3,040,700 63,404 Airocean Group, Ltd. 1,649,000 193,127 * Alliance Technology & Development, Ltd. 156,000 9,827 Amtek Engineering, Ltd. 799,625 426,551 Apollo Enterprises, Ltd. 193,000 63,685 Armstrong Industrial Corp. 1,460,000 109,590 * ASA Group Holdings, Ltd. 586,000 94,587 Ascott Group, Ltd. 1,807,250 524,507 Aussino Group, Ltd. 967,000 179,506 Benjamin (F.J.) Holdings, Ltd. 1,095,000 161,144 # Beyonics Technology, Ltd. 1,945,800 360,416 * Blu Inc. Group, Ltd. 729,000 67,792 Bonvests Holdings, Ltd. 825,000 277,210 Brilliant Manufacturing, Ltd. 1,855,000 533,085 * Broadway Industrial Group, Ltd. 461,000 91,010 Bukit Sembawang Estates, Ltd. 71,334 568,561 * Central Properties, Ltd. 66,000 0 Ch Offshore, Ltd. 823,200 172,286 * Chemical Industries (Far East), Ltd. 105,910 35,265
16 China Merchants Holdings Pacific, Ltd. 652,000 235,989 Chip Eng Seng Corp., Ltd. 1,775,000 154,234 Chosen Holdings, Ltd. 1,284,000 142,512 Chuan Hup Holdings, Ltd. 4,385,000 1,946,228 Chuan Soon Huat Industrial Group, Ltd. 614,000 106,785 CIH, Ltd. 498,460 801,883 * CK Tang, Ltd. 614,000 140,264 * Compact Metal Industries, Ltd. 643,000 7,715 Courts Singapore, Ltd. 495,000 160,636 * CSC Holdings, Ltd. 672,000 10,079 CSE Global, Ltd. 1,262,000 415,568 CWT Distribution, Ltd. 461,500 178,374 Eagle Brand Holdings, Ltd. 5,158,000 216,461 # Eastern Asia Technology, Ltd. 1,844,260 231,903 * Eastgate Technology, Ltd. 870,000 36,600 * Econ International, Ltd. 2,267,000 61,204 ECS Holdings, Ltd. 1,375,000 234,816 Eng Wah Organisation, Ltd. 265,000 47,599 * Firstlink Investments Corp., Ltd. 995,000 32,701 Freight Links Express Holdings, Ltd. 3,368,000 151,259 Frontline Technologies Corp., Ltd. 3,170,000 228,489 # Fu Yu Manufacturing, Ltd. 2,273,750 686,414 Fuji Offset Plates Manufacturing, Ltd. 33,750 5,821 G & W Group Holdings, Ltd. 252,314 21,950 GB Holdings, Ltd. 200,000 116,328 Ges International, Ltd. 2,909,000 1,226,625 GK Goh Holdings, Ltd. 1,494,000 819,816 # Goodpack, Ltd. 1,592,000 1,276,919 GP Industries, Ltd. 1,516,000 759,057 Guocoland, Ltd. 1,215,000 982,789 Hiap Moh Corp., Ltd. 34,874 6,434 Ho Bee Investment, Ltd. 761,000 164,324 Hong Fok Corp., Ltd. 1,796,000 247,975 Hong Leong Asia, Ltd. 1,048,000 599,704 * Horizon Education & Technologies, Ltd. 2,054,000 73,396 Hotel Grand Central, Ltd. 875,280 238,970 Hotel Plaza, Ltd. 1,189,000 638,459 Hotel Properties, Ltd. 1,675,000 1,265,203 Hour Glass, Ltd. 298,000 113,239 HTL International Holdings, Ltd. 1,471,875 1,227,359 Huan Hsin Holdings, Ltd. 1,138,400 548,997 Hup Seng Huat, Ltd. 900,200 169,423 Hwa Hong Corp., Ltd. 2,488,000 866,267 IDT Holdings, Ltd. 718,000 964,045 * Inno-Pacific Holdings, Ltd. 680,000 8,126 Innovalues Precision, Ltd. 520,000 171,335 International Factors (Singapore), Ltd. 290,000 97,495 * Internet Technology Group, Ltd. 874,408 13,141 * Interra Resources, Ltd. 37,086 4,313 * Intraco, Ltd. 292,500 57,897 Isetan (Singapore), Ltd. 122,500 227,854 Jaya Holdings, Ltd. 2,733,000 1,686,003 JK Yaming International, Ltd. 907,000 199,234 Jurong Cement, Ltd. 132,500 55,646
17 Jurong Engineering, Ltd. 137,000 183,033 # Jurong Technologies Industrial Corp., Ltd. 1,446,000 1,391,398 K1 Ventures, Ltd. 5,340,500 846,967 Keppel Telecommunications and Transportation, Ltd. 2,058,000 1,068,111 Khong Guan Flour Milling, Ltd. 19,000 17,327 Kian Ann Engineering, Ltd. 868,000 78,162 Kian Ho Bearings, Ltd. 521,000 46,834 * Koh Brothers, Ltd. 1,494,000 80,549 * L & M Group Investments, Ltd. 7,107,100 21,320 # Labroy Marine, Ltd. 3,343,000 1,479,655 * LanTroVision (S), Ltd. 1,117,500 23,184 Lee Kim Tah Holdings, Ltd. 1,600,000 263,945 * Leong Hin Holdings, Ltd. 526,000 96,089 * Liang Huat Aluminium, Ltd. 2,954,000 17,723 Lion Asiapac, Ltd. 473,000 43,874 Low Keng Huat Singapore, Ltd. 372,000 93,051 Lum Chang Holdings, Ltd. 1,134,030 204,434 Magnecomp International, Ltd. 931,000 483,890 Manufacturing Integration Technology, Ltd. 588,000 35,148 MCL Land, Ltd. 1,427,000 1,051,574 * Mediaring.Com, Ltd. 3,410,000 305,788 Metro Holdings, Ltd. 2,256,960 682,769 MMI Holdings, Ltd. 1,994,000 434,699 Multi-Chem, Ltd. 1,263,000 155,338 Nera Telecommunications, Ltd. 1,450,000 330,446 New Toyo Intenational Holdings, Ltd. 1,043,000 315,528 Norelco Centreline Holdings, Ltd. 941,000 250,275 * Orchard Parade Holdings, Ltd. 1,084,022 243,217 # Osim International, Ltd. 1,638,000 1,157,772 Ossia International, Ltd. 728,332 67,700 Pan-United Corp., Ltd. 2,193,000 397,619 Pan-United Marine, Ltd. 1,096,500 191,705 PCI, Ltd. 734,000 232,978 Pertama Holdings, Ltd. 459,750 80,014 Popular Holdings, Ltd. 1,813,000 396,958 PSC Corp., Ltd. 5,723,200 275,036 * Qian Hu Corp., Ltd. 408,200 68,153 Robinson & Co., Ltd. 284,832 1,008,272 Rotary Engineering, Ltd. 1,624,000 345,294 San Teh, Ltd. 838,406 165,640 SBS Transit, Ltd. 1,011,000 1,315,615 Sea View Hotel, Ltd. 66,000 3,092 * Seatown Corp., Ltd. 101,000 1,818 Sembawang Kimtrans, Ltd. 1,295,000 151,435 Sin Soon Huat, Ltd. 1,307,000 78,153 Sing Investments & Finance, Ltd. 94,500 102,219 # Singapore Food Industries, Ltd. 1,707,000 1,022,821 Singapore Reinsurance Corp., Ltd 1,540,935 245,142 Singapore Shipping Corp., Ltd. 1,930,000 577,430 Singapura Finance, Ltd. 139,250 123,670 SMB United, Ltd. 2,010,000 162,705 SNP Corp., Ltd. 466,495 251,467 * SP Corp., Ltd. 454,000 18,768 Ssangyong Cement (Singapore), Ltd. 236,000 128,042
18 Stamford Land Corp., Ltd. 3,229,000 493,963 Straits Trading Co., Ltd. 1,117,200 1,513,182 * Sunright, Ltd. 378,000 57,505 Superbowl Holdings, Ltd. 490,000 61,694 Superior Metal Printing, Ltd. 490,500 50,079 Thakral Corp., Ltd. 6,028,000 397,881 Tiong Woon Corp. Holding, Ltd. 906,000 129,915 * Transmarco, Ltd. 106,500 51,116 Trek 2000 International, Ltd. 1,004,000 230,923 TSM Resources, Ltd. 1,502,000 265,397 # TT International, Ltd. 2,109,600 221,292 * Tuan Sing Holdings, Ltd. 3,362,000 190,660 * Ultro Technologies, Ltd. 530,000 25,115 Unisteel Technology, Ltd. 974,000 980,021 United Engineers, Ltd. 846,666 847,452 United Overseas Insurance, Ltd. 125,500 268,047 United Pulp & Paper Co., Ltd. 354,000 93,251 UOB-Kay Hian Holdings, Ltd. 1,602,000 897,151 Vicom, Ltd. 120,000 67,576 WBL Corp., Ltd. 647,000 1,194,242 Xpress Holdings, Ltd. 1,392,000 41,806 * Yongnam Holdings, Ltd. 1,506,000 31,623 ---------------- TOTAL COMMON STOCKS (Cost $56,377,025) 51,937,147 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars 77,737 ---------------- (Cost $77,932) RIGHTS/WARRANTS -- (0.0%) * China Dairy Group Warrants 12/22/07 300,400 9,912 ---------------- (Cost $0) TOTAL -- SINGAPORE (Cost $56,454,957) 52,024,796 ---------------- NEW ZEALAND -- (4.9%) COMMON STOCKS -- (4.9%) AFFCO Holdings, Ltd. 1,806,887 495,717 Cavalier Corp., Ltd. 283,674 728,432 CDL Hotels New Zealand, Ltd. 1,387,344 544,192 CDL Investments New Zealand, Ltd. 328,510 73,855 Colonial Motor Co., Ltd. 126,795 268,569 * Cue Energy Resources NL 452,354 76,981 Ebos Group, Ltd. 112,108 309,863 * Evergreen Forests, Ltd. 323,301 68,193 Hallenstein Glassons Holdings, Ltd. 241,638 636,850 Hellaby Holdings, Ltd. 201,679 808,342 Horizon Energy Distribution, Ltd. 40,420 122,364 Met Lifecare, Ltd. 270,895 627,891 Michael Hill International, Ltd. 156,746 829,546 * New Zealand Oil & Gas, Ltd. 584,872 352,491
19 New Zealand Refining Co., Ltd. 84,779 2,012,874 Northland Port Corp. (New Zealand), Ltd. 219,997 464,421 Nuplex Industries, Ltd. 271,267 749,195 * Pacific Retail Group, Ltd. 194,156 265,995 Port of Tauranga, Ltd. 541,952 1,791,836 * Provenco Group, Ltd. 281,600 150,474 Pyne Gould Guinness, Ltd. 229,634 282,510 Restaurant Brand New Zealand, Ltd. 369,175 329,847 Richina Pacific, Ltd. 309,644 158,889 * Rubicon, Ltd. 995,760 630,304 Ryman Healthcare Group, Ltd. 415,999 1,080,776 Sanford, Ltd. 418,047 1,265,103 Scott Technology, Ltd. 60,843 120,738 * Seafresh Fisheries (NZ) 80,520 1,587 South Port New Zealand, Ltd. 30,744 24,234 Steel & Tube Holdings, Ltd. 379,638 1,212,447 * Tasman Farms 157,056 0 Taylors Group, Ltd. 29,646 52,003 Tourism Holdings, Ltd. 402,452 503,149 * Trans Tasman Properties, Ltd. 2,311,308 652,183 Waste Management NZ, Ltd. 430,471 1,863,264 Wrightson, Ltd. 279,834 317,777 ---------------- TOTAL COMMON STOCKS (Cost $11,983,474) 19,872,892 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar 11,551 ---------------- (Cost $11,693) TOTAL -- NEW ZEALAND (Cost $11,995,167) 19,884,443 ---------------- MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Aliran Ihsan Resources Berhad 1,650 240 * Autoways Holdings Berhad 10,000 3,395 * Jaks Resources Berhad 11,975 4,596 * Promet Berhad 1,143,000 0 * Rekapacific Berhad 473,000 0 ---------------- TOTAL COMMON STOCKS (Cost $983,525) 8,231 ---------------- PREFERRED STOCKS -- (0.0%) * Ramunia Holdings Berhard Non Cumulative Irredeemable Convertible Preferred Shares 17,882 753 ---------------- (Cost $229,462) TOTAL -- MALAYSIA (Cost $1,212,987) 8,984 ----------------
20 UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * Exergy, Inc. 7,260 0 * Molecular Devices Corp. 118 2,280 ---------------- TOTAL -- UNITED STATES (Cost $2,510) 2,280 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (17.2%) ^ Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05 (Collateralized by $61,891,609 U.S. TIPS 1.875%, 07/15/13, valued at $66,806,963) to be repurchased at $65,497,023 (Cost $65,491,638) $ 65,492 65,491,638 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $3,513,000 FNMA Notes 2.95%, 11/14/07, valued at $3,508,609) to be repurchased at $3,456,277 (Cost $3,456,000) 3,456 3,456,000 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $68,947,638) 68,947,638 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $395,815,821) $ 402,012,373 ----------------
- --------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 21 THE UNITED KINGDOM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- UNITED KINGDOM -- (95.8%) COMMON STOCKS -- (94.4%) Industrials -- (27.6%) 600 Group P.L.C. 125,656 $ 162,724 AEA Technology P.L.C. 96,276 113,474 Aggreko P.L.C. 577,491 2,035,089 Air Partner P.L.C. 15,611 154,940 * Airflow Streamlines P.L.C. 20,500 21,791 Alumasc Group P.L.C. 100,245 287,683 Amec P.L.C. 49,000 299,143 Arriva P.L.C. 129,697 1,254,334 * Ashtead Group P.L.C. 674,240 1,093,794 Atkins (WS) P.L.C. 234,487 2,927,200 Autologic Holdings P.L.C. 96,590 324,790 # Avis Europe P.L.C. 1,767,228 2,119,342 Babcock International Group P.L.C. 462,763 1,251,402 * Bailey (C.H.) P.L.C. 109,500 27,856 * Bailey (C.H.) P.L.C. Class B 10,000 16,808 Birse Group P.L.C. 421,901 92,109 Black Arrow Group P.L.C. 56,500 71,762 Bodycote International P.L.C. 745,073 2,246,322 BPP Holdings P.L.C. 114,663 720,063 Brammer P.L.C. 119,123 332,446 Brandon Hire P.L.C. 58,441 158,814 BSS Group P.L.C. 55,830 1,154,668 * BTG P.L.C. 284,452 727,356 Business Post Group P.L.C. 157,099 1,788,749 Carillion P.L.C. 486,131 2,178,066 * Carlisle Holdings, Ltd. 8,709 50,611 Castings P.L.C. 83,784 298,834 Charles Taylor Consulting P.L.C. 67,918 303,960 * Charter P.L.C. 315,702 1,551,000 Chemring Group P.L.C. 54,030 464,567 Chloride Group P.L.C. 485,500 584,188 Christie Group P.L.C. 53,263 91,324 Clarkson (Horace) P.L.C. 44,733 728,178 Communisis P.L.C. 317,904 611,274 * Cookson Group P.L.C. 419,725 2,478,705 * Corporate Services Group P.L.C. 1,704,859 264,555 * Costain Group P.L.C. 1,176,378 1,014,389 * Danka Business Systems P.L.C. 367,079 117,281 Dart Group P.L.C. 74,000 418,012 Datamonitor P.L.C. 136,693 419,045 Davis Service Group P.L.C. 345,079 2,779,174 De La Rue P.L.C. 417,469 2,869,586
1 Domino Printing Sciences P.L.C. 355,935 1,542,684 Domnick Hunter Group P.L.C. 76,296 527,593 * Dowding & Mills P.L.C. 336,440 110,310 * Easyjet P.L.C. 1,068,671 4,377,254 Eleco P.L.C. 104,685 62,989 * Enodis P.L.C. 918,539 1,834,915 Fenner P.L.C. 236,681 514,188 FKI P.L.C. 1,350,586 2,370,056 Forth Ports P.L.C. 142,983 3,436,809 * Fortress Holdings P.L.C. 120,728 6,033 Fulmar P.L.C. 107,500 196,250 Galliford Try P.L.C. 517,870 541,187 Get Group P.L.C. 20,485 57,636 Gibbs & Dandy P.L.C. 13,681 103,960 Gleeson (M.J.) Group P.L.C. 112,355 659,155 * Glotel P.L.C. 63,851 100,978 Go-Ahead Group P.L.C. 95,242 2,335,575 Group 4 Securicor P.L.C. 88,013 219,742 Halstead (James) Group P.L.C. 52,208 510,817 * Hampson Industries P.L.C. 584,903 264,794 * Harvey Nash Group P.L.C. 183,750 178,498 Havelock Europa P.L.C. 75,907 177,829 Heath (Samuel) & Sons P.L.C. 7,500 66,097 Helphire Group P.L.C. 246,301 957,568 * Heywood Williams Group P.L.C. 173,468 293,493 Homeserve P.L.C. 147,895 2,492,543 Hyder Consulting P.L.C. 65,359 246,874 Infast Group P.L.C. 301,224 182,742 Intertek Group P.L.C. 70,100 961,902 Intserve P.L.C. 264,157 1,714,120 * Invensys P.L.C. 13,169,327 2,695,625 Ite Group P.L.C. 518,511 918,824 * Jarvis Porter Group P.L.C. 99,894 9,530 Johnson Service Group P.L.C. 126,960 1,074,497 Keller Group P.L.C. 125,955 635,938 Kier Group P.L.C. 75,365 1,231,575 Laing (John) P.L.C. 425,832 1,903,873 Latchways P.L.C. 22,878 174,532 Lavendon Group P.L.C. 81,799 289,776 Lincat Group P.L.C. 19,000 169,079 Litho Supplies P.L.C. 20,000 21,456 * Lorien P.L.C. 60,000 44,670 Low & Bonar P.L.C. 166,108 336,556 Management Consulting Group P.L.C. 412,929 339,874 McAlpine (Alfred) P.L.C. 232,610 1,507,899 Meggitt P.L.C. 514,738 2,733,610 Mersey Docks & Harbour Co. P.L.C. 117,087 2,051,279 Michael Page International P.L.C. 731,357 2,507,014 Mitie Group P.L.C. 716,043 2,077,549 * Molins P.L.C. 68,000 172,778 * Morgan Crucible Company P.L.C. 673,398 2,209,920 Morgan Sindall P.L.C. 78,265 1,075,283 Mouchel Parkman P.L.C. 200,665 873,623 Mowlem (John) & Co. P.L.C. 347,397 1,135,574 MS International P.L.C. 71,500 103,398
2 MSB International P.L.C. 30,748 39,945 National Express Group P.L.C. 25,000 394,308 Nord Anglia Education P.L.C. 63,924 133,557 Northern Recruitment Group P.L.C. 36,500 121,055 Northgate P.L.C. 137,678 2,233,572 Ocean Wilsons Holdings, Ltd. 84,250 439,928 Penna Consulting P.L.C. 42,417 95,586 PHS Group P.L.C. 1,144,660 2,024,988 PSD Group P.L.C. 54,896 225,963 Quantica P.L.C. 96,190 90,129 Radstone Technology P.L.C. 67,511 327,256 * Regus Group P.L.C. 2,282,259 3,741,272 Reliance Security Group P.L.C. 66,349 567,812 Renold P.L.C. 153,256 126,960 Ricardo P.L.C. 114,409 594,152 Robert Walters P.L.C. 150,103 299,905 ROK property solutions P.L.C. 58,166 580,733 RPS Group P.L.C. 442,348 1,193,340 Salvesen (Christian) P.L.C. 533,873 567,901 Senior P.L.C. 678,557 496,540 Serco Group P.L.C. 235,235 1,076,833 Severfield-Rowan P.L.C. 26,211 276,481 Shanks & McEwan Group P.L.C. 543,212 1,342,876 SHL Group P.L.C. 124,412 281,190 SIG P.L.C. 273,601 2,859,416 * Simon Group P.L.C. 348,089 283,963 Smart (J.) & Co. (Contractors) P.L.C. 22,500 251,440 Speedy Hire P.L.C. 90,349 1,122,345 Spirax-Sarco Engineering P.L.C. 168,524 2,172,230 Spring Group P.L.C. 406,488 648,978 * Stanelco P.L.C. 1,201,354 573,318 T. Clarke P.L.C. 75,774 322,158 Tarsus Group P.L.C. 86,934 184,740 Teesland P.L.C. 431,476 535,789 Thorpe (F.W.) P.L.C. 24,000 135,778 * Tinsley (Eliza) Group P.L.C. 19,844 5,589 * Trafficmaster P.L.C. 252,418 196,270 Transport Development Group P.L.C. 176,699 694,975 Trifast P.L.C. 135,388 177,762 Ultra Electronics Holdings P.L.C. 157,442 2,273,301 Ultraframe P.L.C. 162,456 138,440 Umeco P.L.C. 70,900 610,909 * Universal Salvage P.L.C. 36,111 50,451 * Volex Group P.L.C. 58,801 81,000 VP P.L.C. 108,111 382,461 VT Group P.L.C. 409,317 2,530,566 Weir Group P.L.C. 465,726 2,617,684 Whatman P.L.C. 281,949 1,330,592 White Young Green P.L.C. 78,615 369,505 Whitehead Mann Group P.L.C. 95,000 62,313 * Wilshaw P.L.C. 198,409 37,196 Wincanton P.L.C. 251,678 1,157,712 WSP Group P.L.C. 131,793 629,012 Wyndeham Press Group P.L.C. 111,879 262,429 XP Power P.L.C. 44,311 300,719 ---------------- Total Industrials (Cost $99,323,658) 130,215,054 ----------------
3 Consumer Discretionary -- (21.9%) 4imprint P.L.C. 50,375 194,431 Abbeycrest P.L.C. 42,590 36,739 AGA Food Service Group P.L.C. 271,542 1,504,891 Airsprung Furniture Group P.L.C. 18,314 7,334 Alba P.L.C. 105,025 859,125 Alexandra P.L.C. 86,243 191,129 Alexon Group P.L.C. 123,392 647,941 Alpha Airports Group P.L.C. 392,541 684,749 Arena Leisure P.L.C. 1,136,685 802,233 * Aston Villa P.L.C. 12,961 86,824 Austin Reed Group P.L.C. 68,999 149,385 Avesco P.L.C. 29,998 54,484 Avon Rubber P.L.C. 59,463 222,582 Beale P.L.C. 22,161 27,842 Beattie (James) P.L.C. 132,247 267,883 Bellway P.L.C. 132,240 2,047,227 Ben Bailey P.L.C. 26,000 209,713 Blacks Leisure Group P.L.C. 90,290 692,802 Bloomsbury Publishing P.L.C. 148,970 924,229 Boot (Henry) P.L.C. 71,794 666,796 Bovis Homes Group P.L.C. 273,016 3,393,807 * Brown & Jackson P.L.C. 748,566 632,572 Brown (N) Group P.L.C. 562,850 1,373,384 Caffyns P.L.C. 6,000 84,762 Capital Radio P.L.C. 313,351 1,697,802 # Carpetright P.L.C. 125,839 1,978,208 * Celtic P.L.C. 40,759 42,744 Character Group P.L.C. 97,314 64,789 Chime Communications P.L.C. 354,020 176,639 Chrysalis Group P.L.C. 328,544 876,256 Churchill China P.L.C. 30,000 95,756 City Restaurant Group P.L.C. 410,347 979,543 Clinton Cards P.L.C. 433,380 679,859 Colefax Group P.L.C. 60,000 99,580 Cosalt P.L.C. 30,700 178,825 * Courts P.L.C. 110,722 27,161 Crest Nicholson P.L.C. 267,250 1,857,536 Dawson Holdings P.L.C. 144,502 378,987 * Dawson International P.L.C. 100,688 17,809 De Vere Group P.L.C. 159,232 1,543,716 * Emess P.L.C. 480,556 65,210 * Entertainment Rights P.L.C. 633,958 305,561 Euromoney Institutional Investors P.L.C. 205,774 1,554,908 European Motor Holdings P.L.C. 118,325 527,343 * FII Group P.L.C. 41,166 5,049 Findel P.L.C. 181,122 1,554,466 First Choice Holidays P.L.C. 898,634 2,952,132 First Technology P.L.C. 165,655 870,879 Forminster P.L.C. 43,333 17,394 French Connection Group P.L.C. 284,510 1,429,006 Fuller, Smith & Turner P.L.C. Series A 28,927 473,934
4 Future Network P.L.C. 730,823 1,148,523 Game Group P.L.C. 747,530 1,096,175 Games Workshop Group P.L.C. 69,683 518,581 * Gaskell P.L.C. 36,000 1,635 * Global Natural Energy P.L.C. 11,004 27,710 Greene King P.L.C. 157,536 3,527,502 Haynes Publishing Group P.L.C. 14,703 99,490 Headlam Group P.L.C. 194,400 1,447,438 * Highbury House Communications P.L.C. 439,166 15,999 HMV Group P.L.C. 82,598 341,181 Holidaybreak P.L.C. 99,292 1,151,189 * Homestyle Group P.L.C. 139,717 140,655 Hornby P.L.C. 77,295 276,243 House of Fraser P.L.C. 518,142 931,452 Huntsworth P.L.C. 1,360,648 490,184 Incisive Media P.L.C. 202,396 583,317 JJB Sports P.L.C. 448,783 1,478,748 John David Group P.L.C. 114,500 451,627 LA Fitness P.L.C. 53,738 209,891 Lambert Howarth Group P.L.C. 43,203 203,177 * Laura Ashley Holdings P.L.C. 2,505,661 467,893 * London Clubs International P.L.C. 499,923 1,128,421 Lookers P.L.C. 63,057 355,471 Luminar P.L.C. 167,243 1,569,672 Maiden Group P.L.C. 16,800 63,891 Mallett P.L.C. 24,837 115,750 # Manchester United P.L.C. 609,642 3,295,485 Manganese Bronze Holdings P.L.C. 32,184 121,479 Marchpole Holdings P.L.C. 271,422 113,792 Matalan P.L.C. 405,344 1,357,788 * Mayflower Corp. P.L.C. 550,636 0 McCarthy & Stone P.L.C. 236,392 2,448,228 Menzies (John) P.L.C. 103,775 1,046,416 Merchant Retail Group P.L.C. 185,666 659,344 Metal Bulletin P.L.C. 100,433 431,150 MFI Furniture Group P.L.C. 1,434,326 2,787,349 Mice Group P.L.C. 174,886 87,760 Millennium and Copthorne Hotels P.L.C. 80,633 521,555 * Monsoon P.L.C. 71,000 407,443 Moss Brothers Group P.L.C. 163,400 311,751 Mothercare P.L.C. 139,350 713,621 * Music Choice Europe P.L.C. 33,796 5,608 * MyTravel Group P.L.C. Series A 628,934 56,880 Newcastle United P.L.C. 198,896 158,639 Next Fifteen Communtications P.L.C. 25,000 26,655 Northamber P.L.C. 75,888 125,590 * NXT P.L.C. 125,976 156,291 Ottakar's P.L.C. 34,693 170,032 Owen (H.R.) P.L.C. 46,993 156,479 * Pace Micro Technology P.L.C. 428,871 473,544 * Partridge Fine Arts P.L.C. 58,000 67,450 Pendragon P.L.C. 308,482 1,654,758 Photo-Me International P.L.C. 850,594 1,387,491 * Pittards P.L.C. 60,985 22,717 Portmeirion Group P.L.C. 22,856 66,852
5 * Pressac P.L.C. 78,129 1,065 * QXL Ricardo P.L.C. 130 6,967 Redrow P.L.C. 364,678 2,642,620 Reg Vardy P.L.C. 112,005 1,000,599 * Regent Inns P.L.C. 247,095 345,725 # Sanctuary Group P.L.C. 779,911 569,985 Scottish Radio Holdings P.L.C. 75,876 1,203,500 SCS Upholstery P.L.C. 66,745 411,865 Sinclair (William) Holdings P.L.C. 53,000 50,216 Sirdar P.L.C. 69,754 52,086 SMG P.L.C. 574,831 950,986 Smith (WH) P.L.C. 271,915 1,767,974 Southampton Leisure Holdings P.L.C. 19,615 9,980 * Sportech P.L.C. 846,974 138,462 St. Ives P.L.C. 224,249 1,469,682 Stanley Leisure P.L.C. 237,264 2,350,129 * Sterling Publishing Group P.L.C. 75,298 10,228 Stylo P.L.C. 64,096 76,393 T&F Informa Group P.L.C. 355,029 2,629,305 Taylor Nelson AGB P.L.C. 109,000 425,537 Ted Baker P.L.C. 82,767 704,587 The Peacock Group P.L.C. 250,589 1,083,406 * The Television Corp. P.L.C. 86,861 117,422 * Toad Group P.L.C. 85,507 16,049 Topps Tiles P.L.C. 491,811 1,698,553 * Torotrak P.L.C. 246,442 298,372 * Tottenham Hotspur P.L.C. 150,000 84,257 Ulster Television, Ltd. 115,602 945,295 Victoria P.L.C. 12,000 45,119 Vitec Group P.L.C. 80,367 439,247 Wagon P.L.C. 116,757 353,648 Wembley P.L.C. 61,550 866,390 Westbury P.L.C. 263,421 2,222,358 Wetherspoon (J.D.) P.L.C. 412,658 2,080,433 Wilmington Group P.L.C. 143,376 376,239 Wilson Bowden P.L.C. 7,000 144,990 Woolworths Group P.L.C. 3,110,645 1,978,314 Wyevale Garden Centres P.L.C. 114,526 1,050,556 ---------------- Total Consumer Discretionary (Cost $80,612,238) 103,506,457 ---------------- Financials -- (13.7%) Aberdeen Asset Management P.L.C. 420,124 896,433 Atrium Underwriting P.L.C. 88,040 343,837 Aviva P.L.C. 102,230 1,143,771 * Bradstock Group P.L.C. 5,200 4,158 Brewin Dolphin Holdings P.L.C. 378,661 745,501 Britannic P.L.C. 294,095 2,729,555 Brixton P.L.C. 497,280 3,325,792 Capital & Regional P.L.C. 167,410 2,370,800 Chesnara P.L.C. 92,900 222,859 * CLS Holdings P.L.C. 180,364 1,511,133 Collins Stewart Tullett P.L.C. 297,402 2,280,252 Countrywide P.L.C. 185,800 902,712 Cox Insurance Holdings P.L.C. 609,714 1,025,615
6 Daejan Holdings P.L.C. 31,808 1,610,743 Derwent Valley Holdings P.L.C. 120,874 2,522,168 Development Securities P.L.C. 57,390 493,656 Domestic & General Group P.L.C. 82,529 1,108,966 DTZ Holdings P.L.C. 114,500 453,138 * Egg P.L.C. 446,600 896,278 Freeport P.L.C. 60,253 456,712 Grainger Trust P.L.C. 250,786 1,813,785 Great Portland Estates P.L.C. 307,973 2,016,240 Guiness Peat Group P.L.C. 1,251,349 1,590,867 * Hampton Trust P.L.C. 232,050 5,798 Hardy Underwriting Group P.L.C. 46,683 181,191 * Hawtin P.L.C. 196,500 42,001 Helical Bar P.L.C. 28,750 694,230 Highway Insurance Holdings P.L.C. 467,933 357,529 Hiscox P.L.C. 706,541 2,153,841 Hitachi Capital (UK) P.L.C. 124,239 563,750 ISIS Asset Management P.L.C. 268,751 1,129,457 Jardine Lloyd Thompson Group P.L.C. 205,205 1,303,256 Kensington Group P.L.C. 98,187 975,479 Kiln P.L.C. 383,129 623,478 London Merchant Securities P.L.C. 731,745 3,048,412 London Scottish Bank P.L.C. 325,260 659,019 * Marylebone Warwick Balfour Group P.L.C. 239,501 444,802 McKay Securities P.L.C. 97,232 460,780 Minerva P.L.C. 266,135 1,250,160 Mucklow (A & J) Group P.L.C. 175,000 1,139,668 Paragon Group of Companies P.L.C. 153,200 1,136,645 Park Group P.L.C. 291,600 145,505 Pillar Property P.L.C. 171,938 2,610,243 Primary Health Properties P.L.C. 23,784 127,559 Quintain Estates & Development P.L.C. 159,407 1,568,310 * Rensburg Sheppards P.L.C. 37,158 357,264 Rugby Estates P.L.C. 15,328 87,053 Rutland Trust P.L.C. 174,255 142,532 S & U P.L.C. 21,140 202,720 Savills P.L.C. 127,846 1,582,433 Secure Trust Group P.L.C. 29,802 220,867 Shaftesbury P.L.C. 327,189 2,184,433 Shore Capital Group P.L.C. 504,863 350,454 Smith (James) Estates P.L.C. 17,524 146,893 St. Modwen Properties P.L.C. 228,607 1,730,665 Stanley (Charles) Group P.L.C. 86,800 404,496 Tops Estates P.L.C. 116,033 1,074,194 Town Centre Securities (New) P.L.C. 142,137 835,025 Unite Group P.L.C. 254,029 1,312,616 Warner Estate Holdings P.L.C. 95,471 997,289 Workspace Group P.L.C. 411,093 1,771,314 ---------------- Total Financials (Cost $43,635,352) 64,486,332 ---------------- Information Technology -- (9.5%) Abacus Group P.L.C. 105,130 351,143 Acal P.L.C. 60,982 350,339 Alphameric P.L.C. 254,907 366,043
7 * Alterian P.L.C. 68,403 131,318 Amstrad P.L.C. 149,652 355,659 * Anite Group P.L.C. 804,568 922,664 * ARC International P.L.C. 330,444 218,116 Arm Holdings P.L.C. 127,000 249,948 * Autonomy Corp. P.L.C. 213,837 973,139 Aveva Group P.L.C. 50,171 674,413 Axon Group P.L.C. 88,403 321,911 * Baltimore Technologies P.L.C. 485 15,187 * Bede P.L.C. 135,978 84,681 CML Microsystems P.L.C. 28,361 154,446 Comino Group P.L.C. 30,924 133,149 Compel Group P.L.C. 75,752 125,257 Computacenter P.L.C. 452,614 2,037,832 Deltron Electronics P.L.C. 90,964 98,954 Detica Group P.L.C. 49,413 685,808 Dicom Group P.L.C. 47,661 775,306 * Dimension Data Holdings P.L.C. 939,000 556,308 Diploma P.L.C. 49,895 615,337 * Easynet Group P.L.C. 281,185 393,720 * Easyscreen P.L.C. 72,275 22,492 * Eidos P.L.C. 200,222 204,162 Electronic Data Processing P.L.C. 55,200 77,058 * Eurodis Electron P.L.C. 2,118,657 45,008 * Fibernet Group P.L.C. 142,341 224,845 Filtronic P.L.C. 164,131 588,972 * Financial Objects P.L.C. 17,000 13,428 GB Group P.L.C. 250,000 181,267 * Gresham Computing P.L.C. 112,777 268,501 Halma P.L.C. 866,782 2,297,578 ICM Computer Group P.L.C. 45,983 271,446 * Imagination Technologies Group P.L.C. 443,056 516,744 * Intec Telecom Systems P.L.C. 654,113 718,792 Intelek P.L.C. 99,880 19,218 * Itouch International P.L.C. 882,895 690,997 * Kalamazoo Computer Group P.L.C. 56,120 1,785 * Kewill Systems P.L.C. 179,299 211,545 * Knowledge Support Systems Group P.L.C. 25,000 0 Laird Group P.L.C. 353,674 1,995,331 * Lastminute.com P.L.C. 504,477 1,515,349 Macro 4 P.L.C. 45,932 230,031 * Microgen P.L.C. 238,323 345,541 Morse P.L.C. 277,169 380,108 MTL Instruments Group P.L.C. 24,678 138,684 * Ncipher P.L.C. 59,092 235,900 * Northgate Information Solutions P.L.C. 1,140,585 1,439,008 * NSB Retail P.L.C. 869,182 402,751 Oxford Instruments P.L.C. 111,061 481,927 Parity Group P.L.C. 381,072 53,408 Planit Holdings P.L.C. 235,000 98,418 * Plasmon P.L.C. 135,733 279,291 Premier Farnell P.L.C. 847,510 2,498,655 Psion P.L.C. 881,202 981,518 * QA P.L.C. 158,950 9,129 Renishaw P.L.C. 188,734 2,365,695
8 * Retail Decisions P.L.C. 562,639 286,629 RM P.L.C. 201,697 658,955 Rotork P.L.C. 200,116 1,804,002 Roxboro Group P.L.C. 59,608 430,444 Royalblue Group P.L.C. 68,710 644,312 * Scipher P.L.C. 34,563 707 * SDL P.L.C. 95,883 210,362 Spectris P.L.C. 292,280 2,626,165 * Spirent P.L.C. 1,993,034 1,677,579 * Superscape P.L.C. 302,847 193,214 * Surfcontrol P.L.C. 68,696 634,998 * Tadpole Technology P.L.C. 427,207 39,862 * Telecity P.L.C. 599,148 182,457 Telemetrix P.L.C. 177,320 279,938 * Telspec P.L.C. 25,000 10,352 * The Innovation Group P.L.C. 956,444 578,179 Trace Computers P.L.C. 33,552 49,643 TT Electronics P.L.C. 328,134 983,662 * TTP Communications P.L.C. 483,547 378,119 Vega Group P.L.C. 44,012 154,337 Vislink P.L.C. 124,752 66,094 * Wolfson Microelectronics P.L.C. 261,475 739,864 Workplace Systems International P.L.C. 238,739 61,820 XAAR P.L.C. 143,837 558,217 XANSA P.L.C. 714,984 1,194,812 XKO Group P.L.C. 30,304 42,728 ---------------- Total Information Technology (Cost $43,357,563) 44,882,711 ---------------- Consumer Staples -- (6.0%) * Anglo Eastern Plantations P.L.C. 87,249 292,302 Arla Foods UK P.L.C. 1,658,226 1,925,635 Barr (A.G.) P.L.C. 43,000 763,799 Belhaven Brewery Group P.L.C. 68,797 604,826 Body Shop International P.L.C. 583,233 2,332,806 Cranswick P.L.C. 97,180 1,054,902 Dairy Crest Group P.L.C. 291,948 2,531,754 Devro P.L.C. 344,712 765,102 Greggs P.L.C. 28,256 2,424,220 Hardys & Hansons P.L.C. 48,000 561,771 Kleeneze P.L.C. 109,256 216,996 Linton Park P.L.C. 39,000 307,815 McBride P.L.C. 382,113 1,049,918 Nichols P.L.C. 66,550 230,300 Northern Foods P.L.C. 1,114,287 3,176,138 PZ Cuzzons P.L.C. 40,541 965,935 Richmond Foods P.L.C. 40,237 460,269 Robert Wiseman Dairies P.L.C. 199,037 902,498 Somerfield P.L.C. 722,361 2,589,845 Swallowfield P.L.C. 15,000 20,238 Thorntons P.L.C. 158,000 372,304 Uniq P.L.C. 263,207 718,498 Whittard of Chelsea P.L.C. 37,487 62,327 Wolverhampton & Dudley Breweries P.L.C. 178,160 3,587,889 Young & Co's Brewery P.L.C. 10,000 257,090 Young & Co's Brewery P.L.C. Class A 5,234 172,448 ---------------- Total Consumer Staples (Cost $19,067,077) 28,347,625 ----------------
9 Energy -- (4.6%) Abbot Group P.L.C. 406,292 1,613,388 * Burren Energy P.L.C. 119,815 1,154,069 * Dana Petroleum P.L.C. 181,375 1,693,784 * Edinburgh Oil & Gas P.L.C. 75,430 432,188 * Emerald Energy P.L.C. 72,830 201,632 Expro International Group P.L.C. 163,241 1,186,562 Fisher (James) & Sons P.L.C. 100,909 567,523 * Fortune Oil P.L.C. 3,248,130 337,854 Hunting P.L.C. 230,567 981,425 JKX Oil and Gas P.L.C. 264,746 662,752 KBC Advanced Technologies P.L.C. 68,734 46,836 * Melrose Resources P.L.C. 163,459 728,069 Paladin Resources P.L.C. 786,415 2,655,019 * Premier Oil P.L.C. 189,684 2,026,870 * Soco International P.L.C. 167,005 1,485,770 Sondex P.L.C. 118,851 433,006 Tullow Oil P.L.C. 500,218 1,520,214 * Venture Production P.L.C. 280,582 1,558,297 Wood Group (John) P.L.C. 881,804 2,348,582 ---------------- Total Energy (Cost $15,579,305) 21,633,840 ---------------- Materials -- (4.1%) * Amberley Group P.L.C. 200,000 39,980 Anglo Pacific Group P.L.C. 209,785 363,671 * API Group P.L.C. 64,073 159,114 * Applied Optical Technologies P.L.C. 117,822 63,898 Baggeridge Brick P.L.C. 98,000 321,351 British Polythene Industries P.L.C. 56,740 383,400 British Vita P.L.C. 425,448 2,762,055 Carclo P.L.C. 114,684 127,890 Chamberlin & Hill P.L.C. 18,000 64,860 Chapelthorpe P.L.C. 656,803 190,926 Coral Products P.L.C. 50,000 22,918 Croda International P.L.C. 295,550 2,022,315 Cropper (James) P.L.C. 22,000 85,895 Delta P.L.C. 289,145 623,988 Dyson Group P.L.C. 66,003 426,060 * Elementis P.L.C. 955,009 817,588 Ennstone P.L.C. 638,996 495,832 * European Colour P.L.C. 82,090 24,261 * Greenwich Resources P.L.C. 438,664 22,127 Hill & Smith Holdings P.L.C. 138,474 437,573 Inveresk P.L.C. 150,000 38,009 * Macfarlane Group P.L.C. 228,287 139,795 Marshalls P.L.C. 325,633 1,722,324 Metalrax Group P.L.C. 358,740 509,587 Porvair P.L.C. 81,246 148,847 RPC Group P.L.C. 215,312 992,281 Scapa Group P.L.C. 319,593 144,973
10 Smith (DS) Holdings P.L.C. 901,625 2,525,660 Treatt P.L.C. 14,957 65,590 U.K. Coal P.L.C. 322,996 734,238 UCM Group P.L.C. 41,980 56,241 Victrex P.L.C. 190,262 1,506,893 Wellington Holdings P.L.C. 35,979 117,025 * Yorkshire Group P.L.C. 82,504 8,620 Yule Catto & Co. P.L.C. 278,083 1,230,219 Zotefoams P.L.C. 62,000 99,678 ---------------- Total Materials (Cost $16,273,683) 19,495,682 ---------------- Health Care -- (3.9%) * Acambis P.L.C. 159,373 629,436 * Alizyme P.L.C. 322,667 522,978 * Antisoma P.L.C. 533,154 181,369 * Axis-Shield P.L.C. 94,475 482,656 Bespak P.L.C. 59,782 550,846 * Biocompatibles International P.L.C. 106,509 373,238 * Bioquell P.L.C. 50,194 102,784 Biotrace International P.L.C. 87,657 137,207 * Cambridge Antibody Technology Group P.L.C. 84,453 935,624 Care UK P.L.C. 121,100 927,855 Corin Group P.L.C. 73,178 474,580 Dechra Pharmaceuticals P.L.C. 111,880 412,377 Ferraris Group P.L.C. 63,540 104,745 * Genetix Group P.L.C. 151,246 140,538 Goldshield Group P.L.C. 79,169 379,164 * Gyrus Group P.L.C. 191,527 911,834 Huntleigh Technology P.L.C. 90,597 584,980 Isoft Group P.L.C. 480,414 3,499,273 Isotron P.L.C. 50,325 538,903 * M.L. Laboratories P.L.C. 377,657 128,476 * Medical Solutions P.L.C. 140,731 16,908 * Medisys P.L.C. 586,814 30,701 Nestor Healthcare Group P.L.C. 200,863 505,914 * Oxford Biomedica, Ltd. 766,802 426,329 * Pharmagene P.L.C. 160,000 69,385 * Phytopharm P.L.C. 111,349 238,747 * Protherics P.L.C. 557,510 474,846 * Provalis P.L.C. 796,584 70,041 * Shiloh P.L.C. 14,500 26,591 * Skyepharma P.L.C. 1,317,991 1,291,690 SSL International P.L.C. 448,464 2,275,024 Sygen International P.L.C. 616,770 418,597 * Vernalis P.L.C. 334,552 405,063 * Weston Medical Group P.L.C. 50,200 2,280 * Xenova Group P.L.C. 607,931 48,083 ---------------- Total Health Care (Cost $18,206,035) 18,319,062 ---------------- Other -- (1.3%) * Argonaut Games, Ltd. 100,000 5,678 Ashtenne Holdings P.L.C. 51,168 302,189 * Bombshell P.L.C. 932 0
11 Braemar Seascope Group P.L.C. 45,450 324,211 Broadcastle P.L.C. 74,468 133,390 Carr's Milling Industries P.L.C. 19,000 190,425 * Clinical Computing P.L.C. 46,666 14,335 Creston P.L.C. 31,812 77,782 Dewhurst P.L.C. 9,000 32,006 Dewhurst P.L.C. Class A Non-Voting 15,500 46,347 DRS Data & Research Services P.L.C. 26,825 15,586 * Durlacher Corp. P.L.C. 15,272 29,520 Erinaceous Group P.L.C. 205,293 998,282 * Ferguson International Holdings P.L.C. 89,105 38,859 * Garton Engineering P.L.C. 10,248 0 IFX Group P.L.C. 34,486 68,630 * IMS Group P.L.C. 75,000 6,133 Independent Media Distribution P.L.C. 21,621 17,329 * Industrial & Commercial Holdings P.L.C. 5,000 136 Lupus Capital P.L.C. 429,989 101,575 * Netstore P.L.C. 143,737 113,725 * New Avesco P.L.C. 29,998 53,908 * Osmetech P.L.C. 669,354 28,242 * Planestation Group P.L.C. 76,551 12,867 * Primback Units 135,600 0 * Probus Estates P.L.C. 83,333 227 Radamec Group P.L.C. 35,000 18,376 Ransom (William) & Son P.L.C. 30,000 24,733 Reed Health Group P.L.C. 155,333 116,306 * Richmond Oil & Gas P.L.C. 220,000 0 * RMS Communications P.L.C. 15,000 0 * Safeland P.L.C. 25,000 32,981 * Seashell II P.L.C. 932 0 * Secure Ventures (No. 1) P.L.C. 62,500 0 * Secure Ventures (No. 2) P.L.C. 62,500 2,839 * Secure Ventures (No. 3) P.L.C. 62,500 0 * Secure Ventures (No. 4) P.L.C. 62,500 2,555 * Secure Ventures (No. 5) P.L.C. 62,500 2,555 * Secure Ventures (No. 6) P.L.C. 62,500 0 * Secure Ventures (No. 7) P.L.C. 62,500 0 * Servicepower Technologies P.L.C. 150,000 70,808 * SFI Holdings, Ltd. Series A 26,713 15,047 Singer & Friedlander Group P.L.C. 391,896 2,221,226 * Tandem Group P.L.C. 327,365 0 * Terence Chapman Group P.L.C. 62,500 360 Tex Holdings P.L.C. 14,000 26,791 * The Wireless Group P.L.C. 189,923 308,171 * Theratase P.L.C. 80,563 53,351 * Waterdorm P.L.C. 105,000 0 Waterman P.L.C. 74,473 133,453 Watermark Group P.L.C. 68,660 164,240 Windsor P.L.C. 149,435 139,289 * Wraith P.L.C. 1,441 2,226 ---------------- Total Other (Cost $6,482,590) 5,946,689 ----------------
12 Telecommunication Services -- (1.2%) * # Colt Telecom Group P.L.C. 2,574,360 2,431,060 Kingston Communications P.L.C. 850,036 1,044,854 * Redstone P.L.C. 376,324 43,751 Telecom Plus P.L.C. 125,297 513,882 * Thus Group P.L.C. 3,113,150 792,366 * Vanco P.L.C. 145,748 892,124 ---------------- Total Telecommunication Services 5,718,037 (Cost $5,706,353) ---------------- Utilities -- (0.6%) AWG P.L.C. 16,000 260,329 Bristol Water Group P.L.C. 35,257 437,926 Dee Valley Group P.L.C. 4,214 71,152 East Surrey Holdings P.L.C. 234,414 2,261,300 Hydro International P.L.C. 27,669 44,084 ---------------- Total Utilities 3,074,791 (Cost $1,610,319) ---------------- TOTAL COMMON STOCKS (Cost $349,854,173) 445,626,280 ---------------- INVESTMENT IN CURRENCY -- (1.4%) * British Pound Sterling 6,391,026 ---------------- (Cost $6,438,398) EMU -- (0.0%) INVESTMENT IN CURRENCY * Euro Currency 119 ---------------- TOTAL EMU (Cost $101) 119 ---------------- RIGHTS/WARRANTS -- (0.0%) Other -- (0.0%) * Letter of Entitlements -- Audemars Piguet 90,242 0 * Planestation Group P.L.C. Warrants 01/13/11 229,653 209 * Plasmon P.L.C. Subscription Shares 18,509 0 * SFI Holdings, Ltd. Litigation Certificate 26,713 0 * Xenova Group P.L.C. Warrants 12/31/08 56,991 2,459 ---------------- Total Other (Cost $4,781) 2,668 ---------------- TOTAL RIGHTS/WARRANTS (Cost $4,781) 2,668 ---------------- TOTAL UNITED KINGDOM (Cost $356,297,453) 452,020,093 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (4.2%) ^ Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05 (Collateralized by $10,268,130 U.S. TIPS 1.875%, 07/15/13, valued at $11,083,612) to be repurchased at $10,866,286 (Cost $10,865,393) $ 10,865 10,865,393 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $9,352,000 FNMA Notes 2.95%, 11/14/07, valued at $9,340,310) to be repurchased at $9,202,739 (Cost $9,202,000) 9,202 9,202,000 ---------------- 20,067,393 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $20,067,393) 20,067,393 ---------------- TOTAL INVESTMENTS -- (100.0%) (Cost $376,364,846) $ 472,087,486 ================
13 - ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 14 THE CONTINENTAL SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- FRANCE -- (11.6%) COMMON STOCKS -- (11.6%) * Actielec Technologies 19,137 $ 126,872 Affine 1,920 196,096 * Alain Afflelou SA 21,488 666,487 Ales Groupe SA 11,349 188,228 Altedia SA 2,800 64,311 * Alten SA 53,456 1,354,670 * Altran Technologies SA 182,539 1,615,645 Apem SA 1,000 75,081 April Group SA 31,201 1,044,797 * Archos 8,679 159,456 Ares (Groupe) SA 10,632 74,283 Arkopharma 18,720 336,736 Assystem Brime SA 7,580 169,013 Aubay SA 16,825 89,418 # Audika SA 5,003 418,175 * Baccarat SA 1,090 174,152 Bacou-Dalloz 8,306 685,093 Bains de Mer et du Cercle des Etrangers a Monaco 4,615 2,782,721 Banque Tarneaud SA 1,000 168,110 # Beneteau SA 19,638 1,519,659 * Bigben Interactive 2,100 9,978 Boiron SA 16,659 407,395 Boizel Chanoine Champagne SA 600 48,173 Bonduelle SA 6,723 538,192 # Bongrain SA 13,784 849,301 * Bricorama SA 3,717 235,016 Brioche Pasquier SA 2,888 191,030 Buffalo Grill SA 1,028 22,777 * Bull SA 1,122,656 910,461 Burelle SA 4,030 522,852 * Business Objects SA 16,500 473,797 * BVRP SA 7,419 170,754 Camaieu SA 4,988 599,270 # Canal Plus SA 169,452 1,363,644 # Carbone Lorraine 40,631 1,850,526 * CBo Territoria 28,320 101,063 Cegedim SA 6,902 556,832 # CEGID SA 18,000 643,097 * Cesar SA 75,259 111,106 CFF Recycling SA 84,608 2,369,269 * Cibox Inter@ctive SA 135,470 73,138 # Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux SA 13,013 806,092
1 Clarins SA 8,798 540,893 * # Club Mediterranee SA 33,732 1,618,094 Consortium International de Diffusion et de Representation Sante 600 5,419 * CS Communication et Systemes 4,983 171,855 * Cybergun 2,121 34,783 Damartex SA 22,900 855,275 * Dane-Elec Memory SA 27,622 159,691 Delachaux SA 1,300 192,154 Deveaux SA 1,040 101,677 Didot-Bottin 1,620 135,558 * DMC (Dollfus Mieg et Cie) 9,630 52,266 * Dynaction SA 10,660 217,644 Electricite de Strasbourg 23,784 3,161,887 # Elior 184,391 2,170,607 * Encres Dubuit SA 4,176 46,972 # Esso SA 3,200 539,114 Etam Developpement SA 8,972 259,654 * Euraltech SA 11,700 21,537 * Euro Disney SCA 797,643 98,203 Evialis SA 1,200 44,783 Exel Industries SA 1,800 141,265 * Explosifs et de Produits Chimiques 524 217,397 Faurecia SA 6,500 487,505 # Fimalac SA 111,143 5,089,744 Fininfo SA 9,760 210,165 Fleury Michon SA 3,100 143,007 Foncia Groupe 8,220 199,151 Francois Freres (Tonnellerie) SA 3,150 93,622 * Gantois Series A 647 11,943 Gascogne SA 6,472 567,805 Gaumont 14,607 1,004,724 * GCI (Groupe Chatellier Industrie SA) 7,258 893 * Geci International 8,616 16,705 * # Generale de Geophysique SA 20,770 1,710,778 # Generale de Sante 55,413 1,261,857 Generale Location SA 9,000 272,839 * Geodis SA 4,379 464,317 Gevelot 3,584 241,803 GFI Informatique SA 77,855 463,597 # Gifi 4,678 172,696 * Ginger (Groupe Ingenierie Europe) 2,600 46,496 Grands Moulins de Strasbourg 110 64,310 # Groupe Bourbon SA 28,320 1,737,474 Groupe Crit 6,900 200,423 * Groupe Finuchem SA 5,120 81,591 * Groupe Flo SA 11,900 104,063 * Groupe Focal SA 1,400 13,725 Groupe Go Sport SA 2,207 174,200 Groupe Guillin SA 1,200 91,635 # Groupe Open SA 8,551 130,274 Groupe Steria 25,566 934,460 * Guerbet SA 1,700 184,111 # Guyenne et Gascogne SA 26,000 3,157,908
2 Havas SA 62,300 368,158 * Hotels et Casinos de Deauville 2,055 1,016,070 Hyparlo SA 5,514 460,719 IDSUD 614 22,175 * IEC Professionnel Media 8,734 20,410 Iliad SA 36,238 1,278,244 * IMS International Metal Service SA 12,630 180,759 Industrielle et Financiere d'Entreprise SA 300 62,504 * # Infogrames Entertainment SA 210,581 328,304 # Ingenico SA 61,820 875,815 Ipsos SA 5,776 571,937 Kaufman et Broad SA 8,035 476,650 Lafuma SA 827 72,059 Laurent-Perrier 3,100 139,863 Lectra Systemes SA 23,092 115,265 # Lisi SA 7,827 479,128 * LVL Medical Groupe SA 15,338 104,691 # Manitou SA 44,368 1,640,023 Manutan International SA 4,700 219,614 * Marie Brizard & Roger International SA 1,198 127,617 * Matussiere et Forest SA 13,600 48,533 * Metaleurop SA 35,449 23,556 MGI Coutier SA 1,400 58,610 * MoneyLine 1,336 56,690 Montupet SA 32,450 724,260 Mr. Bricolage SA 6,600 130,618 Neopost SA 7,200 642,791 # Nexans 43,798 1,615,112 # Norbert Dentressangle 8,372 441,281 NRJ Group 10,819 222,708 * Oberthur Card Systems SA 53,640 438,375 * # Oeneo 31,265 48,092 * Orpea 19,650 798,447 * Otor SA 13,700 76,875 * Paris Orleans et Cie SA 2,832 706,541 Passat SA 3,843 55,049 * # Penauille Polyservices SA 10,200 96,311 Petit Forestier SA 3,043 119,697 Pierre & Vacances 7,596 767,767 Pinguely-Haulotte SA 25,000 289,576 # Plastic Omnium SA 30,846 811,867 Plastivaloire SA 1,700 48,275 Prosodie SA 5,183 118,513 # Provimi SA 30,782 657,706 PSB Industries SA 6,200 255,186 * Radiall SA 1,340 91,143 Remy Cointreau SA 32,945 1,390,255 Robertet SA 1,885 273,929 # Rodriguez Group SA 16,706 815,229 Rougier SA 2,040 171,860 * S.T. Dupont SA 3,800 17,886 Sabeton 13,500 206,043 Samse SA 4,400 730,676 Sasa Industries SA 1,000 36,338
3 * Saveurs de France-Brossard 3,410 209,045 * # Scor SA 1,501,322 3,076,327 * SDR de Bretagne SA 3,305 124,747 # SEB SA Prime Fidelite 2002 10,950 1,124,798 # Sechilienne-Sidec 2,200 868,399 Securidev SA 1,500 23,965 Signaux Girod SA 600 53,200 # SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 21,246 1,957,454 Skis Rossignol SA 41,668 970,865 Smoby SA 500 52,053 Societe du Louvre SA 14,513 2,106,951 Societe Industrielle D'Aviations Latecoere SA 11,038 488,403 Societe Pour L'Informatique Industrielle SA 2,250 111,671 Solving International SA 2,160 12,870 Somfy Interational SA 22,900 4,634,894 Sopra SA 7,618 397,996 # SR Teleperformance 90,928 2,678,600 Stallergenes Temp Trading Line SA 4,818 557,902 Ste Virbac SA 11,439 422,694 Stef-Tfe SA 2,171 291,109 Sucriere de Pithiviers-le-Vieil 1,825 1,201,002 * Sylis SA 9,782 62,217 Synergie SA 8,000 240,011 Taittinger SA 12,700 4,861,886 * Teamlog SA 6,457 21,904 Tessi SA 1,700 102,852 Touax (Touage Investissement SA) 10,378 263,104 Toupargel-Agrigel SA 6,200 248,162 Trigano SA 16,286 1,499,273 * # Ubi Soft Entertainment SA 29,740 1,333,183 Unilog SA 20,794 1,366,561 # Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 31,700 7,340,336 * Valtech, La Defense 187,303 198,156 Viel et Compagnie 44,339 182,381 Vilmorin et Cie SA 2,349 423,613 VM Materiaux SA 600 80,963 Vranken Monopole 2,800 124,215 * XRT 67,181 100,634 Zodiac SA 14,964 727,285 ---------------- TOTAL COMMON STOCKS (Cost $68,844,497) 116,970,796 ---------------- RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 24,800 11,292 * Ales Groupe SA Warrants 03/23/09 316 2,994 * Ginger (Groupe Ingenierie Europe) Warrants 09/30/05 2,600 304 * Groupe Focal SA Warrants 02/21/10 466 0 * Groupe Open SA Warrants 10/21/06 1,000 898 * Oeneo Warrants 08/26/06 14,365 530 * Penauille Polyservices SA Rights 06/09 10,200 36,482 * Prosodie SA Warrants 10/28/06 900 332 * Ubi Soft Entertainment SA Warrants 05/14/06 4,100 3,027
4 * Valtech, La Defense Warrants 07/29/05 20,000 246 ---------------- TOTAL RIGHTS/WARRANTS (Cost $63,013) 56,105 ---------------- TOTAL -- FRANCE (Cost $68,907,510) 117,026,901 ---------------- SWITZERLAND -- (11.4%) COMMON STOCKS -- (11.3%) * 4M Technologies Holding SA 3,751 15,020 A. Hiestad Holding AG 1,005 803,245 * Actelion, Ltd. 19,108 1,936,374 AFG Arbonia-Forster Holding AG 2,702 736,873 Agie Charmilles Holding AG 3,402 273,736 Allreal Holding AG 10,278 919,648 Also Holding AG 569 173,438 Amazys Holding AG 4,091 230,505 Ascom Holding AG 55,915 861,765 Bachem AG 15,313 881,690 Baloise-Holding 98,089 5,121,833 Bank Coop AG 29,405 1,355,242 Bank Sarasin & Cie Series B, Basel 752 1,265,527 Banque Cantonale de Geneve 1,344 198,184 Banque Cantonale du Jura 450 128,764 Banque Cantonale Vaudoise 2,355 520,120 Banque Privee Edmond de Rothschild SA, Geneve 120 1,524,335 * Barry Callebaut AG 6,346 1,682,657 Basellandschaftliche Kantonalbank 600 473,982 Basler Kantonalbank 5,250 439,585 Batigroup Holding AG 11,298 152,092 Belimo Holdings 1,056 625,719 * Berna Biotech 92,109 674,161 Berner Kantonalbank 7,061 1,041,262 BHB Beteiligungs und Finanzgesellschaft 150 5,276 Bobst Group SA 21,540 849,401 Bossard Holding AG 6,699 396,686 * Bucher Industries AG 16,775 1,068,215 BVZ (Brig Visp Zermatt) Holding AG 370 80,019 Caisse d'Epargne Cantonale Vaudoise, Lausanne 1,002 892,349 Calida Holding AG 396 123,016 * Card Guard AG 15,187 52,375 Carlo Gavazzi Holding AG 910 80,180 Charles Voegele Holding AG 22,160 1,379,368 Cie Financiere Tradition 5,202 466,063 Conzzeta Holdings AG 1,415 1,585,015 * COS Computer Systems AG 3,712 112,449 * Crealogix Holding AG 491 27,390 * Crossair AG, Basel 13,517 96,353 Daetwyler Holding AG, Atldorf 348 838,077 Edipresse SA, Lausanne 750 375,913 EGL (Elektrizitaets-Gesellschaft Laufenberg) AG, Laufenberg 3,207 2,104,880 Eichhof Holding AG 188 192,678
5 * ELMA Electronic AG 472 96,443 * Emmi AG 1,670 153,038 Ems-Chemie Holding AG 16,276 1,413,347 Energie Electrique du Simplon SA 350 84,104 Energiedienst Holding AG 8,265 2,681,187 Escor Casino & Entertainment AG 2,010 47,475 Feintol International Holding AG 896 190,331 * Fischer (Georg) AG, Schaffhausen 8,458 2,507,314 * Flughafen Zuerich AG 4,463 625,408 * Forbo Holding AG, Eglisau 1,100 209,685 Fuchs Petrolub AG Oel & Chemie Non-Voting 6,003 588,784 Galenica Holding, Ltd. AG, Bern 12,488 2,056,241 Generale d'Affichage 4,059 585,439 Generali (Switzerland) Holdings, Adliswil 2,043 516,025 * Getaz Romang Holding SA 828 292,121 * Golay-Buchel Holding SA, Lausanne 40 38,255 Gornergrat Monte Rasa-Bahnen Zermatt 70 56,070 Gurit-Heberlein AG 1,125 784,234 Helvetia Patria Holding 6,131 918,087 Industrieholding Cham AG, Cham 950 228,323 * Interroll-Holding SA 970 144,529 * Isotis SA 195,512 274,311 Jelmoli Holding AG 1,521 2,065,858 Jelmoli Holding AG, Zuerich (Namen) 2,835 764,871 Kaba Holding AG 5,543 1,489,630 * Kardex AG, Zuerich 12,205 410,881 * Komax Holding AG 5,285 404,112 Kudelski SA 77,568 2,730,391 * Kuoni Reisen Holding AG 6,937 2,751,468 * Leica Geosystems Holdings AG 5,448 1,625,478 * Lem Holdings AG, Lyss 578 203,763 * Logitech International SA 22,086 1,315,243 Luzerner Kantonalbank AG 5,601 1,076,506 * Metraux Services SA 501 63,387 * Micronas Semi 78,808 2,952,423 * Mikron Holding AG, Biel 23,835 276,342 * Mobilezone Holding AG 38,456 153,253 * Moevenpick-Holding, Zuerich 1,320 307,478 * Nextrom Holding SA 1,409 15,497 Orell Fussli Graphische Betriebe Ag, Zuerich 3,841 458,370 OZ Holding AG 7,479 440,025 * Parco Industriale e Immobiliare SA 600 1,682 Phoenix Mecano AG, Stein am Rhein 2,749 674,150 Phonak Holding AG 119,848 4,394,238 * PSP Swiss Property AG 83,303 3,675,148 Publicitas Holding SA, Lausanne 2,762 805,008 Rieters Holdings AG 11,206 3,037,018 SAIA-Burgess Electronics AG 1,191 663,186 * Sarna Kunststoff Holding AG 4,991 505,367 * Saurer AG 36,702 2,090,847 Schaffner Holding AG 1,584 201,249 * Schweiter Technology AG 1,877 319,978 Schweizerhall Holding AG 5,725 435,954 Schweizerische National Versicherungs Gesellschaft 1,526 769,118
6 * SEZ Holding AG 34,429 854,434 SIA Abrasives Holding AG 1,865 444,582 Siegfried Holding AG 8,560 1,022,196 Sig Holding AG 14,026 2,982,211 * Sihl 150 360 * Sika Finanz AG, Baar 4,967 3,120,035 Sopracenerina 2,409 531,242 St. Galler Kantonalbank 4,870 1,239,981 Sulzer AG, Winterthur 1,832 761,887 * Swiss Prime Site AG 29,315 1,403,142 * Swissfirst AG 614 24,590 * Swissfirst AG 5,049 202,300 * Swisslog Holding AG 337,083 302,163 * Swissquote Group Holding SA 1,354 109,550 Tamedia AG 5,300 482,923 Tecan Group AG 29,876 853,266 * Temenos Group AG 35,359 197,565 * # Tornos Holding SA 32,553 221,463 * UMS Schweizerische Metallwerke Holding AG, Bern 14,055 148,561 # Unaxis Holding AG 26,214 3,678,214 Unilabs SA 21,665 641,066 * Valiant Holding AG 38,011 3,348,538 * Valora Holding AG 7,856 1,723,827 Vaudoise Assurances Holding, Lausanne 67 123,783 Villars Holding SA, Fribourg 150 48,060 * Von Roll Holding AG, Gerlafingen 247,719 436,869 Vontobel Holdings AG 58,345 1,261,393 Walliser Kantonalbank 1,120 358,999 * Wmh Walter Meier Holding AG, Zuerich 4,041 238,945 Zehnder Holding AG 655 793,800 Zschokke Holding SA, Geneve 481 257,405 * Zueblin Holding AG 36,765 312,269 Zuger Kantonalbank 590 1,540,877 ---------------- TOTAL COMMON STOCKS (Cost $91,041,286) 113,996,626 ---------------- PREFERRED STOCKS -- (0.1%) Fuchs Petrolub AG Oel & Chemie 6,003 556,142 ---------------- (Cost $266,229) INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs 524,235 ---------------- (Cost $530,393) TOTAL -- SWITZERLAND (Cost $91,837,908) 115,077,003 ---------------- GERMANY -- (9.6%) COMMON STOCKS -- (9.6%) * 3U Telecom AG 69,676 94,263 A.S. Creation Tapeton AG 2,900 93,155 * AAP Implantate AG 14,384 29,838
7 Aareal Bank AG 46,391 1,346,607 * Acg AG Fuer Chipkarten und Informationssysteme 16,940 11,888 Ackermann-Goeggingen AG 8,100 165,185 * AC-Service AG 4,300 28,069 * Adlink Internet Media AG 42,605 182,393 * Adva AG Optical Networking 39,883 211,485 * Agrob AG 5,800 52,696 * # Aixtron AG 74,124 241,167 Amadeus Fire AG 4,900 36,423 Andreae-Noris Zahn AG, Anzag 27,200 1,170,606 * Articon Integralis AG 14,031 51,883 Atoss Software AG 3,700 40,898 * Augusta Technologie AG 1,174 8,096 Ava Allgemeine Handelsgesellschaft der Verbraucher AG 35,814 2,027,959 * AWD Holding AG 52,932 2,085,776 * Baader Wertpapier Handelsbank AG 27,351 150,998 Balda AG 40,277 393,562 * Basler AG 3,200 55,996 # Beate Uhse AG 56,241 537,938 # Bechtle AG 25,498 618,771 * Berliner Elektro Holding AG 20,841 212,909 Bertrandt AG 9,850 114,515 * Beta Systems Software AG 2,850 48,055 Bien-Haus AG 2,400 24,580 Bilfinger & Berger Bau AG 50,828 2,412,883 * Biolitec AG 8,000 27,322 Biotest AG 7,933 178,425 * BKN International AG 17,600 126,816 * BMP AG 10,600 24,865 * Boewe Systec AG 7,866 419,480 * Borussia Dortmund GMBH & Co. KGAA 21,650 64,557 Bremer Energiekonto AG 14,700 28,067 * Broadnet Mediascape Communications AG 20,624 66,015 * CBB Holding AG 102,602 23,989 * Ce Consumer Electrnic AG 21,600 23,047 * Ceag AG 20,670 141,300 * Cenit AG Systemhaus 3,500 78,422 * Centrotec Hochleistungskunststoffe AG 7,500 199,486 Cewe Color Holding AG 7,987 292,415 * CNV Vermoegensverwaltungs AG 6,625 88,261 Comdirect Bank AG 120,666 936,602 * Computec Media AG 4,650 39,194 Computerlinks AG 5,700 108,966 * Condomi AG 1,800 2,040 * CTS Eventim AG 14,800 553,598 Curanum AG 21,500 107,200 * D. Logistics AG 37,750 79,799 # DAB Bank AG 70,271 500,731 Data Modul AG 3,194 54,210 * DEAG Deutsche Entertainment AG 10,500 28,252 Deutsche Euroshop AG 20,091 1,056,044 * Deutsche Steinzeug Cremer & Breuer AG 87,200 52,539 * Deutz AG 101,512 466,704 * Dierig Holding AG 10,500 147,298
8 Dis Deutscher Industrie Service AG 18,524 792,658 Douglas Holding AG 71,252 2,418,245 Dr. Hoenle AG 8,769 98,137 * # Drillisch AG 38,437 177,040 * Duerr Beteiligungs AG 17,593 301,214 DVB Bank AG 7,124 965,526 * Easy Software AG 8,966 42,112 * Eckert and Ziegler Strahlen -- und Medizintechnik AG 3,000 39,809 * Elexis AG 8,600 126,832 Elmos Semiconductor AG 23,218 370,970 ElreingKlinger AG 3,000 221,514 * # Em.TV AG 18,773 117,935 * Emprise Management Consulting AG 8,950 17,552 * EMS New Media AG 18,126 35,897 * Epcos AG 59,882 766,599 Erlus Baustoffwerke AG 297 136,182 * Escada AG 20,520 475,636 * Euwax AG 536 17,686 * Evotec Biosystems AG 67,521 232,174 Feilmann AG 29,181 1,919,633 FJA AG 9,889 35,104 Fortec Elektronik AG 1,400 52,891 * Freenet.De AG 50,400 1,273,453 Fuchs Petrolub AG Oel & Chemie 6,693 637,404 * Gerry Weber International AG 10,945 134,122 * Gesco AG 3,875 116,963 GFK AG 45,483 1,677,196 * GFT Technologies AG 22,600 51,111 * Girindus AG 12,227 91,259 * GPC Biotech AG 39,562 452,358 Grenkeleasing AG 15,958 636,008 * Grundstuecks & Baugesellschaft AG 3,567 124,877 Gwag Bayerische Wohnungs--Aktiengesellschaft AG 3,383 187,542 Hamborner AG 21,000 710,742 Hawesko Holdings AG 5,291 213,168 * Herlitz AG 6,962 39,479 Hochtief AG 34,000 1,155,340 * Hoeft & Wessel AG 8,386 52,741 Hucke AG 8,300 31,588 Hugo Boss AG 25,100 749,861 * Hutschenreuther AG 2,800 37,901 Hyrican Informations Systeme AG 3,107 38,026 * I-D Media AG 9,700 20,870 * IFA Hotel & Touristik AG 7,000 68,569 * IM International Media AG 19,800 19,801 * InfoGenie Europe AG 14,059 45,321 * Innovation in Traffic Systems AG 12,300 65,049 Interseroh AG 11,845 339,061 * # Intershop Deutschland AG 45,158 47,818 * Intertainment AG 8,500 20,171 * Isra Vision Systems AG 3,650 79,590 * itelligence AG 18,143 40,047 * IVG Immobilien AG 143,237 2,602,157 Iwka AG 44,442 1,053,813
9 * Jack White Productiions AG 8,424 94,651 * Jenoptik AG 101,045 1,087,166 K & S Aktiengesellschaft AG 129,500 6,914,946 Kampa-Haus AG 10,375 72,819 Keramag Keramische Werke AG 13,000 927,840 * # Kloeckner-Werke AG 53,211 849,661 * Kontron AG 92,611 737,937 Krones AG 10,180 1,093,490 KSB AG 2,387 381,525 KWS Kleinwanzlebener Saatzucht AG 1,650 1,410,638 * Leica Camera AG 4,400 13,776 * Leifheit AG 12,500 339,613 Leoni AG 37,500 2,893,666 * Loewe AG 7,100 81,595 LPKF Laser & Electronics AG 9,000 49,003 * Mania Technologie AG 12,670 20,230 Masterflex AG 4,400 147,925 * Maxdata AG 32,897 152,840 * Mediclin AG 38,553 90,392 * Medigene AG 20,165 261,830 # Medion AG 45,454 702,923 * Mensch und Maschine Software AG 10,700 49,986 # Mobilcom AG 106,387 2,330,841 * Mologen AG 7,239 39,077 * Morphosys AG 6,656 268,767 * Mosaic Software AG 5,200 6,968 Muehlabauer Holdings AG & Co. KGAA 7,423 345,457 MVV Energie AG 59,215 1,180,227 * MWG Biotech AG 30,700 15,031 Nemetschek AG 8,499 140,644 * Neschen AG 5,800 20,809 * Nexus AG 21,275 85,033 Norddeutsche Affinerie AG 51,075 1,033,110 Norddeutsche Steingutfabrik AG 5,960 50,660 * November AG 9,018 55,029 Ohb Teledata 16,598 150,202 Oldenburgische Landesbank AG 1,102 80,495 * Pandatel AG 5,700 7,985 Paragon AG 22,134 432,198 * Parsytec AG 14,700 50,706 * PC-Spezialist Franchise AG 2,462 22,488 PC-Ware Information Technologies AG 5,100 63,796 * Personal & Informatik AG 5,900 70,036 Pfeiffer Vacuum Technology AG 16,633 793,099 * Pfleiderer AG 51,351 808,703 * Pironet NDH AG 10,964 58,889 * Plambeck Neue Energien AG 19,350 16,849 * Plasmaselect AG 21,396 120,965 * Plenum AG 9,300 13,423 * Primacom AG 29,925 127,188 * Produkte und Syteme der Informationstechnologie AG 14,792 70,438 Progress-Werk Oberkirch AG 5,000 203,042 * Pulsion Medical Systems AG 11,078 66,200 * PVATepla AG 15,550 113,585
10 * # Qs Communications AG 124,164 562,480 Rational AG 15,083 1,655,169 * Realtech AG 3,650 30,278 Renk AG 19,400 650,977 REpower Systems AG 5,000 92,326 Rheinmetall Berlin AG 45,000 2,282,926 Rhoen Klinikum AG 24,107 1,590,263 * Rinol AG 5,900 10,115 * Rohwedder AG 4,860 45,769 * Ruecker AG 7,800 58,070 * S.A.G. Solarstrom AG 11,440 90,987 Salzgitter AG 95,909 2,243,998 Sartorius AG 16,918 354,433 Schlott Sebaldus AG 7,440 247,852 Schwarz Pharma AG 30,101 1,318,636 Sektkellerei Schloss Wachenheim AG 15,120 196,826 * Senator Entertainment AG 980 1,712 * # SGL Carbon AG 57,758 680,376 * SHS Informationssysteme AG 9,737 44,286 * Silicon Sensor International AG 2,122 27,932 * # Singulus Technologies AG 46,050 556,280 Sinner AG, Karlsruhe 4,160 49,144 * SinnerSchrader AG 8,412 15,614 Sixt AG 19,433 384,066 * Sm Wirtschaftsberatungs AG 3,350 21,072 Software AG 39,230 1,500,688 Stada Arzneimittel AG 84,036 2,591,605 Stahl (R.) AG 6,300 107,683 * Steag Hamtech AG 35,473 71,601 * Stoehr & Co. AG 16,000 68,911 * Strabag AG 4,840 296,152 Stratec Biomedical Systems AG 3,200 90,558 Stuttgarter Hofbraeu AG 18,000 615,771 Sued-Chemie AG 29,146 1,230,825 * Suess Microtec AG 17,785 100,354 Syskoplan AG 3,300 24,881 * Syzygy AG 18,000 108,335 Takkt AG 87,707 808,661 * TDS Informationstechnologie AG 10,411 30,696 * Techem AG 29,076 1,189,783 Technotrans AG 9,778 184,915 * Telegate AG 20,500 361,927 * Teles AG Informationstechnologien 26,657 319,099 * Textilgruppe Hof AG 12,170 101,145 * TFG Venture Capital AG & Co. KGAA 16,727 48,929 * Tomorrow Focus AG 42,650 110,641 * TTL Information Technology AG 6,400 23,086 * TV Loonland AG 7,000 16,178 * Umweltbank AG 7,227 87,230 United Internet AG 85,759 2,220,925 * Utimaco Safeware AG 12,200 91,092 * Value Management & Research AG 14,150 60,620 * Varetis AG 3,439 29,573 * VBH (Vereinigter Baubeschlag-Handel) AG 9,415 34,331
11 * Vereinigte Deutsche Nickel-Werke AG 12,150 6,130 * Vivacon AG 6,559 113,317 Vossloh AG 21,469 1,019,784 * W.O.M. World of Medicine AG 11,983 45,962 Wanderer-Werke AG 7,903 295,643 * WaveLight Laser Technologies AG 1,159 20,488 * WCM Beteiligungs AG 440,394 238,288 Westag and Getalit AG, Rheda-Wiedenbrueck 7,000 82,693 Wuerttembergische Lebensversicherung AG 11,330 243,045 * Wuerttembergische Metallwarenfabrik AG 30,330 530,106 Wuerzburger Hofbraeu AG 133 70,048 * Zapf Creation AG 7,500 95,785 ---------------- TOTAL -- GERMANY (Cost $69,430,081) 96,254,453 ---------------- ITALY -- (6.6%) COMMON STOCKS -- (6.6%) Acea SpA 163,000 1,839,125 Acegas SpA 36,106 424,419 * Actelios SpA 25,801 206,687 Aedes SpA (Sta Ligure Lombarda per Imprese & Costruzioni) 122,707 824,146 # Aem Torino SpA 507,240 1,246,218 Aeroporto de Firenze SpA 6,000 84,203 * Alitalia Linee Aeree Italiane SpA Series A 3,706,002 1,178,154 Amplifon SpA 18,242 1,171,521 Astaldi SpA 77,523 499,097 Azienda Mediterranea Gas e Acqua SpA 360,014 696,596 Banca Ifis SpA 19,351 223,454 Banca Intermobiliare di Investimenti e Gestoni SpA 132,998 1,071,671 # Banca Popolare Dell'etruria e Del Lazio Scrl 36,408 528,401 Banca Profilo SpA 114,243 270,574 Banco di Desio e della Brianza SpA 109,105 885,710 # Banco Piccolo Valellinese Scarl SpA 86,233 1,303,292 * Beghelli SpA 142,000 108,239 Benetton Group SpA 8,444 76,625 Beni Stabili SpA, Roma 1,309,500 1,257,595 Biesse SpA 17,100 78,746 Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma 9,675 290,516 Bremba SpA 74,782 559,016 Buzzi Unicem SpA 94,100 1,354,019 # Caltagirone Editore SpA 132,868 1,186,475 Caltagirone SpA 178,399 1,400,137 CAMFIN (Cam Finanziaria) 36,527 98,509 Carraro SpA 34,400 169,464 Cementir Cementerie del Tirreno SpA 249,704 1,242,667 Centrale del Latte di Torino & Co. SpA 4,182 23,029 CIR SpA (Cie Industriale Riunite), Torino 591,100 1,633,689 * Cirio Finanziaria SpA 175,000 37,470 # Class Editore SpA 83,868 175,775 * # CMI SpA 90,302 391,941 * Coats Cucirini SpA 30,000 36,323
12 * Compagnia Immobiliare Azionaria 44,000 10,556 Credito Artigiano SpA 114,446 474,490 # Credito Bergamasco SpA 6,102 180,345 # Cremonini SpA 135,428 409,282 * CSP International Industria Calze SpA 10,000 13,747 # Danieli & C.Officine Meccaniche SpA 66,500 408,252 Davide Campari - Milano SpA 275,990 1,970,907 # De Longhi SpA 139,386 513,875 * Ducati Motor Holding SpA 129,900 159,838 Emak SpA 27,000 149,986 Erg SpA 173,330 2,685,619 Ergo Previdenza SpA 95,165 616,037 Esprinet SpA 37,000 237,122 * Fiera Milano SpA 3,484 40,740 * Finarte Casa d'Aste SpA (Milano) 56,266 68,388 * Finarte Partecipazioni Pro Arte SpA 242,693 24,400 * # Finmatica SpA 35,900 100,679 Gabetti Holding SpA 55,000 257,891 Gefran SpA 11,000 64,303 # Gemina SpA 331,283 565,095 Gewiss SpA 221,700 1,342,304 * Giovanni Crespi SpA 49,200 51,580 Granitifiandre SpA 33,237 290,208 Gruppo Ceramiche Ricchetti SpA 41,000 82,369 I Grandi Viaggi SpA 28,100 34,281 * Immobiliare Lombardia SpA 425,000 117,614 Immsi SpA 373,100 715,854 Impregilo SpA 59,230 474,123 # Industria Macchine Automatique SpA 33,671 443,670 Industria Romagnola Conduttori Elettrici SpA 17,500 64,183 # Industrie Zignago S. Margherita SpA 52,000 1,220,071 * Intek SpA 163,776 142,777 * Interpump Group SpA 75,402 463,187 * ITALJOLLY (Cia Italiana dei Jolly Hotels SpA) 34,500 367,902 Italmobiliare SpA, Milano 20,975 1,302,974 * Juventus Footbal Club SpA 98,000 165,725 La Doria SpA 22,000 65,711 * Lavorwash SpA 10,000 29,470 Linificio and Canapificio Nazionale SpA 28,995 101,039 Maffei SpA 52,500 112,043 Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 3,034,347 Mariella Burani Fashion Group SpA 26,077 324,434 * Meliorbanca SpA 90,667 345,891 # Merloni Elettrodomestici SpA 155,000 1,929,873 Milano Assicurazioni SpA 266,700 1,516,175 Mirato SpA 12,000 99,794 * Modena Energia Territorio Ambiente SpA 140,840 495,699 Monrif SpA 150,000 245,154 * Montefibre SpA 143,130 53,616 Navigazione Montanari SpA 110,917 378,964 * Negri Bossi SpA 13,700 35,704 * NGP SpA 17,891 7,706 * Olidata SpA 20,000 23,066 * Opengate Group SpA 4,000 9,401
13 * Pagnossin SpA 9,000 6,771 * Partecipazioni Italiane SpA 41,062 14,350 Permasteelisa SpA 24,470 379,235 Pininfarina SpA 31,285 881,754 Pirelli & C.Real Estate SpA 9,600 507,778 Poligrafici Editoriale SpA 132,000 337,831 Premafin Finanziaria SpA Holding di Partecipazioni, Roma 342,051 662,275 Premuda SpA 115,214 217,985 * Ratti SpA 31,768 24,575 Recordati SpA 234,576 1,600,621 * Reno de Medici SpA, Milano 332,210 304,384 * Richard-Ginori 1735 SpA 140,800 87,311 * Risanamento Napoli SpA 304,043 1,097,753 Sabaf SpA 9,200 194,024 SAES Getters SpA 14,750 276,427 * Schiapparelli 1824 SpA, Milano 831,000 48,504 * Seat Pagine Gialle SpA, Torino 1,927,737 911,800 * Sirti SpA 29,967 69,547 SISA (Societa Imballaggi Speciali Asti SpA) 65,000 200,403 * SNIA SpA 227,590 79,072 * Societa Partecipazioni Finanziarie SpA 54,060 32,899 # Societe Cattolica di Assicurazoni Scarl SpA 27,170 1,188,553 Socotherm SpA 29,770 304,648 Sogefi SpA 182,500 884,757 Sol SpA 81,830 498,388 * Sorin SpA 341,385 1,021,912 * STA Metallurgica Italiana SpA 282,640 226,461 Stefanel SpA 54,400 267,684 Targetti Sankey SpA 14,500 95,110 * Tecnodiffusione Italia SpA 3,332 8,200 Terme Demaniali di Acqui SpA 532,000 773,101 * # Tiscali SpA 296,735 885,601 # Tod's Group SpA 30,476 1,528,424 Trevi-Finanziaria Industriale SpA 52,400 116,165 * Vemer Siber Group SpA 46,000 21,212 * Viaggi del Ventaglio SpA 58,380 82,736 Vianini Industria SpA 52,520 176,323 Vianini Lavori SpA 180,752 1,546,507 Vittoria Assicurazioni SpA 51,500 506,458 * Zucchi (Vincenzo) SpA 144,350 615,433 ---------------- TOTAL -- ITALY (Cost $41,549,484) 66,294,936 ---------------- SWEDEN -- (6.2%) COMMON STOCKS -- (6.1%) * # Active Biotech AB 38,600 197,182 Addtech AB Series B 22,300 194,682 Alfa Laval AB 18,600 280,314 * Alfaskop AB 3,200 344 Angpannefoereningen AB Series B 10,800 201,964 * Anoto Group AB 134,833 208,800
14 Aros Quality Group AB 5,500 78,187 * Artimplant AB Series B 46,000 28,254 # Axfood AB 73,400 1,825,983 Axis AB 76,994 289,717 B & N Bylock & Nordsjoefrakt AB Series B 83,600 284,469 Ballingslov International AB 13,000 231,897 Beiger Electronics AB 11,700 133,193 Beijer AB Series B 11,700 198,428 Beijer Alma AB Series B 10,400 178,115 Bergman & Beving AB Series B 36,200 406,830 Biacore International AB 11,150 257,992 Bilia AB Series A 116,725 1,978,130 Billerud AB 58,700 709,332 * BioGaia AB Series B 7,000 12,439 * Boliden AB 203,900 834,173 * Bong Ljungdahl AB 9,000 58,926 * Boras Waefveri AB Series B 8,600 29,691 * Boss Media AB 73,700 262,403 * Capio AB 121,900 1,921,015 Capona AB 25,400 317,499 Carbo AB 37,100 904,084 Castellum AB 60,900 2,348,094 Cloetta AB Series B 22,250 657,862 Concordia Maritime AB Series B 37,300 163,550 * Consilium AB Series B 5,246 21,642 D. Carnegie & Co. AB 88,200 905,984 * Doro AB Series A 400 1,899 * Duroc AB Series B 2,700 6,855 * Elekta AB 37,000 1,397,022 Elverket Vallentuna AB 8,050 56,877 * Enea Data AB Series B 505,000 322,868 Eniro AB 154,000 1,753,251 Expanda AB 6,547 33,762 Fabege AB 164,145 3,312,075 Fagerhult AB 14,100 222,613 * # Framtidsfabriken AB 966,000 85,351 * Frontec AB Series B 50,800 60,180 Getinge AB 176,604 2,565,060 Geveko AB Series B 8,300 195,350 * Glocalnet AB 187,500 101,111 Gunnebo AB 50,000 644,345 Haldex AB 39,000 690,217 Heba Fastighets AB Series B 13,500 227,854 Hexagon AB 10,716 198,817 Hiq International AB 47,889 201,942 HL Display AB Series B 6,000 100,705 Hoganas AB Series B 38,200 1,007,105 * IBS AB Series B 95,200 251,909 * # Industrial & Financial Systems AB Series B 118,600 110,560 * Industrifoervaltnings AB Skandigen 63,975 213,649 * Intentia International AB Series B 171,420 334,820 * # Intrum Justitia AB 115,700 791,652 # Invik and Co. AB Series B 155,400 1,268,329 * JM AB 13,800 472,870
15 Karlshamns AB 23,800 400,775 * Klippans Finpappersbruk AB 5,800 6,297 Klovern AB 189,976 638,413 Kungsleden AB 73,100 1,814,130 Lagercrantz Group AB Series B 31,800 79,745 * LB Icon AB 14,530 82,096 # Lennart Wallenstam Byggnads AB Class B 83,500 1,107,817 Lindex AB 16,100 716,067 Ljungberg Gruppen AB Series B 3,800 108,540 * Lundin Mining Corp. 4,323 36,580 * Lundin Petroleum AB 322,400 2,328,776 * Mandator AB 220,520 41,599 Meda AB Series A 67,125 627,131 * Medivir Series B 10,650 71,509 * Micronic Laser Systems AB 50,800 525,585 * Modern Times Group AB Series B 48,700 1,501,964 Naerkes Elektriska AB Series B 4,250 70,716 NCC AB Series B 118,100 1,732,913 Nefab AB Series B 5,100 133,310 * Net Insight AB Series B 369,000 80,067 New Wave Group AB 20,800 353,607 Nibe Industrier AB 23,500 632,410 # Nobia AB 77,600 1,240,548 Nolato AB Series B 42,840 293,752 Observer AB 137,856 556,694 OEM International AB Series B 7,100 119,093 * OMHEX AB 129,100 1,557,789 Orc Software AB 16,500 132,946 * Ortivus AB 11,507 43,855 Partnertech AB 12,300 132,163 PEAB AB Series B 105,200 1,096,322 * Pergo AB 43,300 153,210 Poolia AB Series B 18,150 83,919 Prevas AB Series B 16,000 36,565 * Pricer AB Series B 641,500 82,211 * Proact It Group AB 15,000 35,349 * Proffice AB 72,800 109,859 Profilgruppen AB 4,000 35,025 Protect Data AB 13,500 213,646 * PyroSequencing AB 51,940 71,884 # Q-Med AB 34,000 890,814 * Readsoft AB Series B 24,800 87,430 Rottneros Bruk AB 366,600 343,185 Salus Ansvar AB Series B 12,900 49,895 Sardus AB 11,200 141,536 * Scribona AB Series A 40,100 78,277 * Scribona AB Series B 56,300 110,128 * Semcon AB 18,300 110,874 * # Sigma AB Series B 25,800 36,443 * Sintercast AB 5,600 44,821 Skistar AB 23,300 409,931 SSAB Swedish Steel Series A 60,300 1,465,891 SSAB Swedish Steel Series B 17,100 401,624 * Studsvik AB 4,400 80,389
16 Sweco AB Series B 23,450 405,785 * # Switchcore AB 185,784 38,637 * Teleca AB Series B 73,000 376,340 * Telelogic AB 352,200 795,743 * Teligent AB 26,200 82,493 * Ticket Travel Group AB 15,152 28,402 Trelleborg AB Series B 75,400 1,171,382 # TV 4 AB Series A 22,200 429,772 Uniflex AB Series B 3,630 21,845 VBG AB Series B 271 4,880 * Wedins Skor & Accessoarer AB 8,900 54,075 Westergyllen AB Series B 8,600 60,758 * # Wihlborgs Fastigheter AB 32,829 772,089 Wilh. Sonesson AB Series A 4,160 16,269 Wilh. Sonesson AB Series B 4,160 15,353 WM-Data AB Series B 460,600 1,199,803 Xponcard Group AB 2,800 64,066 ---------------- TOTAL COMMON STOCKS (Cost $37,572,660) 61,624,030 ---------------- INVESTMENT IN CURRENCY -- (0.1%) * Swedish Krona 381,234 ---------------- (Cost $387,038) TOTAL -- SWEDEN (Cost $37,959,698) 62,005,264 ---------------- NETHERLANDS -- (6.0%) COMMON STOCKS -- (6.0%) Aalberts Industries NV 45,516 2,003,643 Accell Group NV 15,651 341,670 AFC Ajax NV 10,787 124,743 Airspray NV 3,800 91,652 AM NV 143,311 1,500,209 Arcadis NV 20,638 464,827 * # ASM International NV 92,464 1,349,580 * Atag Group NV 4,630 1,652 Athlon Groep NV 34,250 845,537 Batenburg Beheer NV 3,000 137,472 * Begemann Groep NV 11,909 35,611 * Begemann Groep NV Series B 13,451 3,310 Beter Bed Holding NV 14,334 424,515 Boskalis Westminster NV 65,442 2,375,638 Brunel International NV 49,126 612,435 Buhrmann NV 245,259 2,247,655 * # Crucell NV 88,757 1,729,993 * Draka Holding NV 26,175 348,551 * Econosto NV 32,113 120,466 Eriks Group NV 22,542 848,136 Exact Holding NV 51,660 1,582,600 Fornix Biosciences NV 8,767 208,299 * Fox Kids Europe NV 71,715 1,181,894
17 Gamma Holding NV 15,705 658,950 Gemeenschappeljk Bezit Crown van Gelder NV 12,000 270,485 Getronics NV 1,156,748 1,891,759 Grolsche NV 32,100 932,742 Grontmij NV 7,109 450,625 * # Hagemeyer NV 1,095,089 2,601,670 Heijmans NV 60,267 2,574,421 * Hitt NV 3,804 23,451 ICT Automatisering NV 5,800 92,778 Imtech NV 49,620 1,635,412 Kas Bank NV 42,888 826,206 * Kendrion NV 241,262 433,030 Koninklijke Bam NV 40,018 2,525,120 Koninklijke Frans Maas Groep NV 12,349 418,176 Koninklijke Nedlloyd NV 33,528 2,300,772 Koninklijke Ten Cate NV 13,515 1,137,273 Koninklijke Vopak NV 51,376 1,175,994 * # Laurus NV 92,984 315,257 MacIntosh NV 15,590 656,191 * Maverix Capital NV 1,500 70,142 Nederlandsche Apparatenfabriek 14,000 466,593 NH Hoteles SA 21,703 260,925 Nutreco Holding NV 50,668 1,631,489 NV Holdingsmij de Telegraaf 46,153 991,461 Oce NV 128,201 1,857,466 Opg Groep NV Series A 28,369 1,811,589 * # Pharming Group NV 163,643 846,419 Reesink NV 2,050 185,614 Roto Smeets de Boer NV 2,640 152,660 Rubber Cultuur Maatschappij Amsterdam NV 40,800 183,070 * Samas-Groep NV 27,117 210,923 * Seagull Holding NV 6,767 26,209 * Semiconductor Industries NV 56,979 286,697 Sligro Food Group NV 28,753 1,239,139 Smit Internationale NV 20,578 959,063 Stern Groep NV 1,236 42,815 Stork NV 69,531 2,761,072 * Textielgroep Twenthe NV 1,000 3,076 * Tulip Computers NV 150,799 31,781 Twentsche Kabel Holding NV 18,244 794,327 United Services Group NV 39,409 1,166,569 Univar NV 47,480 1,430,436 Van Der Mollen Holding NV 57,660 290,700 * # Versatel Telecom International NV 1,041,167 2,499,356 Wegener Arcade NV. 70,830 880,220 ---------------- TOTAL COMMON STOCKS (Cost $43,561,295) 60,580,211 ---------------- RIGHTS/WARRANTS -- (0.0%) * Boskalis Westminster NV Coupons 06/02/05 65,442 0 * Eriks Group NV Coupons 06/01/05 11,271 0 * Nutreco Holding NV Coupons 06/07/05 50,668 0 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 0 ---------------- TOTAL -- NETHERLANDS (Cost $43,561,295) 60,580,211 ----------------
18 FINLAND -- (4.9%) COMMON STOCKS -- (4.9%) Alandsbanken AB Series B 7,790 180,520 * Aldata Solutions Oyj 124,635 250,400 Amanda Capital Oyj 25,870 65,121 Amer-Yhtymae Oyj Series A 141,760 2,409,272 Aspo P.L.C. 42,300 374,730 Aspocomp Group P.L.C. 25,476 125,548 Basware Oyj 7,050 75,857 * Benefon Oy 1,900 624 * Biotie Therapies Oyj 39,754 36,821 Capman Oyj Series B 12,485 37,806 Componenta Oyj 11,200 93,634 Comptel Oyj 149,541 298,494 Efore Oy 25,840 59,495 Elcoteq Network Oyj 44,060 864,469 # Elektrobit Group Oyj 138,919 434,472 Elisa Communications Corp. 83,260 1,247,014 * Eq Online Oyj 23,900 60,630 Etteplan Oyj 6,000 43,693 * Evox Rifa Group Oyj 189,210 23,244 Finnair Oyj 118,150 1,007,056 Finnlines Oyj 78,360 1,338,540 Fiskars Oy AB Series A 82,728 955,684 * F-Secure Oyj 156,528 357,811 HK Ruokatalo Oy Series A 44,760 520,963 Honkarakenne Oy Series B 3,030 19,257 Huhtamaki Van Leer Oyj 147,650 2,241,884 Ilkka-Yhtyma Oyj 19,360 211,380 * Incap Oyj 11,000 23,022 J.W. Suominen Yhtyma Oy 17,955 85,458 Jaakko Poyry Group Oyj 16,810 517,622 Julius Tallberg-Kiinteistoet Oy, Helsinki Series B 4,500 58,531 KCI Konecranes International Oyj 29,900 1,221,314 Kemira GrowHow Oyj 25,160 194,922 Kemira Oyj 139,200 1,852,966 Kesko Oyj 32,060 768,428 Laennen Tehtaat Oy 8,670 127,874 Lassila & Tikanoja Oyj 68,276 1,212,352 Lemminkainen Oy 16,600 389,056 Leo Longlife Oy 7,830 43,365 Martela Oy 1,060 10,058 Metsaemarkka Oyj Series B 832 6,814 M-Real Oyj Series B 89,000 480,416 New Kyro Corp. Oyj 91,340 492,149 Nokian Renkaat Oyj 158,900 2,835,395 Nordic Aluminium Oy 1,900 27,570
19 * Okmetic Oyj 21,204 59,608 Okobank Class A 101,080 1,612,530 Olvi Oyj Series A 8,020 164,012 Orion-Yhtyma Oyj Series A 41,180 799,553 Orion-Yhtyma Oyj Series B 60,920 1,185,010 Oy Stockmann AB Series B 53,350 1,769,090 Perlos P.L.C. Warrants 04/04/04 76,811 734,688 PK Cables Oyj 19,990 238,053 * Pmj Automec Oyj 45,410 44,100 Pohjola Group P.L.C. Series D 146,205 1,855,760 Ponsse Oyj 12,600 278,781 * Proha Oyj 82,532 47,530 Raisio Group P.L.C. Series V 299,423 803,265 Rakentajain Koneuvokrammo Oy 10,260 86,638 Ramirent Oyj 24,540 402,843 Rapala VMC Oyj 36,040 248,138 Rautaruukki Oyj Series K 188,780 2,659,420 Raute Oy Series A 4,190 51,358 Rocla Oy 2,900 35,659 * Satama Interactive Oyj 70,900 76,834 Saunalahti Group Oyj 141,454 336,212 # Scanfil Oyj 63,879 311,149 Sponda Oyj 109,111 1,030,353 SSH Communications Oyj 44,900 67,483 Stockmann Oyj AB 35,240 1,158,776 * Stonesoft Corp. 49,279 40,632 Sysopen P.L.C. 16,020 87,113 Talentum Oyj 36,600 148,947 * Tecnomen Holding Oyj 112,970 192,381 Teleste Corp. Oyi 21,249 167,345 Tieto-X Oyj 10,200 43,303 Tulikivi Oyj 5,710 43,726 Turkistuottajat Oy 4,290 40,871 Uponor Oyj Series A 129,000 2,392,785 Vacon Oyj 14,537 241,193 Vaisala Oy Series A 21,200 495,114 Viking Line AB 10,560 319,005 Wartsila Corp. Oyj Series B 99,690 2,999,117 Yit-Yhtymae Oyj 67,708 2,186,824 ---------------- TOTAL -- FINLAND (Cost $30,505,512) 49,136,930 ---------------- GREECE -- (4.0%) COMMON STOCKS -- (4.0%) * A. Cambas Holding & Real Estate S.A. 54,237 137,088 * Aegek S.A. 99,835 63,498 * Agrotiki Insurance S.A. 34,455 111,441 Aktor Technical Co. S.A. 196,380 776,604 Alco Hellas ABEE S.A. 38,730 58,957 * Alfa Alfa Energy S.A. 3,810 6,530 * Alfa-Beta Vassilopoulos S.A. 15,172 225,417
20 Alisida S.A. 2,160 4,762 * Allatini Industrial & Commercial Co. 15,370 29,581 Alpha Credit Bank 6,552 180,090 Alte Technological Co. S.A. 85,048 8,335 * Altec Information & Communication Systems S.A. 80,278 36,414 Alumil Milonas S.A. 27,516 80,490 * Aluminum of Attica S.A. 104,982 24,541 Anek Lines S.A. 60,821 79,114 Arcadia Metal Industry C. Rokas S.A. 22,389 217,107 AS Co. S.A. 25,370 20,902 * Aspis Bank S.A. 72,374 227,867 * Aspis Pronia General Insurance S.A. 48,640 35,945 * Astir Palace Vouliagmenis S.A. 58,560 366,614 * Athens Medical Center S.A. 104,974 226,900 Athens Water Supply & Sewage Co. S.A. 53,245 372,957 Atlantic Super Market S.A. 13,776 22,039 Attica Holdings S.A. 156,234 552,713 Attica Publications S.A. 16,674 63,544 Atti-Kat S.A. 88,984 52,367 Autohellas S.A. 44,980 202,533 Babis Vovos S.A. 50,982 864,479 Balafas Construction Holdings S.A. 15,200 3,554 Bank of Attica S.A. 115,721 672,722 Bank of Greece 21,842 2,757,381 Bank of Piraeus S.A. 163,829 2,928,966 Benrubi S.A. 11,121 53,915 Betanet S.A. 11,220 42,447 * Bitros Holdings S.A. 19,302 49,036 Byte Computers S.A. 17,230 32,876 Chipita S.A. 76,902 227,599 * Commercial Bank of Greece 1,960 60,042 * Compucon Computer Applications S.A. 11,260 4,280 Computer Peripherals International S.A. 9,110 6,303 Cyclon Hellas S.A 18,131 11,149 Daios Plastics S.A. 16,350 109,450 Delta Holdings S.A. 33,747 248,637 * Diagnostic & Therapeutic Center of Athens "Hygeia" S.A. 38,330 58,385 Dionic S.A. 12,948 8,568 Domiki Krittis S.A. 17,730 10,438 Dynamic Life S.A. 16,440 10,924 Edrasi Psalllidas Technical Co. S.A. 31,108 27,132 Egnatia Bank S.A. 117,107 388,796 El. D. Mouzakis S.A. 31,653 20,112 Elais Oleaginous Production S.A. 16,707 399,905 * Elbisco Holding S.A. 56,000 378,850 Elektrak S.A. 14,040 36,205 Elektroniki of Athens S.A. 21,560 68,356 * Elephant S.A. 26,310 4,877 Elgeka S.A. 18,590 50,219 Elmec Sport S.A. 64,256 135,925 Elton S.A. 18,640 16,448 * Empedos S.A. 15,974 1,573 ETEM S.A. Light Metals Industry 37,502 67,248 * Ethniki General Insurance Co. S.A. 118,768 495,323
21 * Etma Rayon S.A. 11,242 22,657 * Euro Reliance General Insurance 14,830 18,730 Eurodrip S.A. 11,620 24,598 Euromedica S.A. 33,300 70,741 * European Techniki 32,750 9,269 Everest S.A. 30,730 58,967 * Evrofarma S.A. 9,500 13,363 F.G. Europe SA Common Registered Shares 4,536 17,744 * Fanco S.A. 10,110 2,462 * Forthnet S.A. 17,510 102,539 * Fourlis S.A. 64,420 551,373 Frigoglass S.A. 49,990 264,355 G.Polyhronos S.A. 10,580 8,320 Galaxidi Fish S.A. 12,940 7,133 General Commercial & Industry 24,060 21,270 * General Hellenic Bank 35,139 346,209 Germanos S.A. 61,810 1,935,169 * Goody's S.A. 17,740 269,609 Halkor S.A. 121,226 216,104 Hatziioannou S.A. 44,200 39,113 Hellas Can Packaging Manufacturers S.A. 27,902 237,206 * Hellenic Cables S.A. 26,908 28,101 Hellenic Duty Free Shops S.A. 80,020 1,320,417 Hellenic Fabrics S.A. 17,110 40,977 Hellenic Sugar Industry S.A. 35,750 162,874 Hellenic Technodomiki S.A. 224,647 1,171,588 Heracles General Cement Co. 93,293 1,021,289 * Hermes Real Estate S.A. 78,424 357,363 * Hippotour S.A. 12,155 16,156 Hyatt Regency S.A. 130,260 1,497,942 Iaso S.A. 54,510 200,362 Iktinos Hellas S.A. 6,500 10,546 Inform P. Lykos S.A. 20,610 87,960 Informatics S.A. 3,778 1,527 * Intersat S.A. 19,392 8,352 Intertech S.A. 12,236 42,407 Intracom Constructions S.A. 30,520 38,924 Intracom S.A. 199,316 1,023,059 * Ionian Hotel Enterprises S.A. 16,754 196,782 Ipirotiki Software & Publications S.A. 22,110 52,765 * J Boutaris & Son Holding S.A. 28,150 21,393 J&P-Avax S.A. 100,626 470,111 Kalpinis - N. Simos Steel Service Center 12,432 56,301 Karelia Tobacco Co., Inc. S.A. 2,160 165,031 Kathimerini S.A. 21,240 180,031 Katselis Sons S.A. 18,000 49,265 Kego S.A. 21,670 29,048 Kekrops S.A. 2,244 31,444 * Keramia-Allatini S.A. Industrielle Commerciale & Technique 10,368 10,399 * Klonatex Group S.A. Bearer Shares 20,351 18,147 Kordellou Brothers S.A. 12,300 28,533 * Lambrakis Press S.A. 107,586 384,259 * Lampsa Hotel Co. 19,051 140,504 * Lan-Net S.A. 31,675 41,881
22 * Lavipharm S.A. 39,294 44,915 Lazarides Vineyards S.A. 18,326 29,186 * Logic Dis S.A. 77,230 31,138 * Loulis Mills S.A. 15,382 26,149 * Mailis (M.J.) S.A. 101,594 484,523 * Maritime Company of Lesvos S.A. 30,753 14,740 * Maxim Knitwear Factory C.M. Pertsinidis 16,360 4,400 Medicon Hellas S.A. 2,860 15,177 Mesochoritis Bros. Construction Co. S.A. 23,700 8,417 Metka S.A. 59,820 505,098 Michaniki S.A. 108,755 237,802 Minerva Knitwear 5,140 6,654 Minoan Lines S.A. 98,789 376,117 MLS Multimedia S.A. 8,300 7,349 Mochlos S.A. 101,679 39,970 Motor Oil (Hellas) Corinth Refineries S.A. 211,380 3,294,370 Mytilineos Holdings S.A. 47,000 565,531 * N. Levederis S.A. 8,355 6,747 * N.B.G. Real Estate Development Co. 163,170 723,669 * Naoussa Spinning Mills S.A. 76,407 17,724 Naytemporiki S.A. 26,080 42,478 * Neochimiki Lv Lavrentiadis S.A. 30,890 144,438 * Neorion-Syro's Shipyards S.A. 27,210 22,370 * Newsphone Hellas Audiotex S.A. 23,890 93,534 * Nexans Hellas S.A. 3,003 5,898 Nikas S.A. 25,287 155,951 Notos Com.Holdings S.A. 94,554 362,270 Pantechniki S.A. 50,460 74,327 * Pegasus Publishing & Printing S.A. 58,590 114,520 Persefs S.A. Health Care 23,592 14,172 Petros Petropoulos S.A. 7,360 49,306 * Petzetakis S.A. 32,935 51,699 * Pilias S.A. 103,584 17,704 Pipeworks L. Girakian Profil S.A. 11,730 18,147 Piraeus Leasing 5,765 46,082 * Prodeftiki Technical Co. 32,257 10,676 * Promota Hellas S.A. 26,580 10,044 Rilken S.A. 1,982 11,397 * Sanyo Hellas S.A. 59,251 31,966 Sarantis S.A. 43,940 328,236 Sato S.A. 28,850 26,218 * Selected Textile Industry Assoc. S.A. 44,649 19,653 Sfakianakis S.A. 13,390 72,204 * Sheet Steel S.A. 25,850 4,776 * Shelman Hellenic-Swiss Wood S.A. 38,042 41,623 Silver and Baryte Ores Mining Co. S.A. 38,361 269,406 Spyroy Agricultural House S.A. 22,258 28,731 * Stabilton S.A. 27,530 2,710 Strintzis Shipping Lines S.A. 150,740 196,028 Technical Olympic S.A. 180,370 1,035,714 * Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 13,910 3,595 Teletypos S.A. Mega Channel 36,227 143,816 Terna Tourist Technical & Maritime S.A. 63,180 490,020 Themeliodomi S.A. 37,422 23,052
23 Thrace Plastics Co. S.A. 45,500 68,179 * Uncle Stathis S.A. 10,999 79,893 Unisystems S.A. 41,820 74,183 Vardas S.A. 13,780 34,558 * Varvaressos S.A. European Spinning Mills 7,200 4,341 * Veterin S.A. 18,984 20,332 Viohalco S.A. 296,585 1,902,943 Vioter S.A. 80,590 97,994 * Vis Container Manufacturing Co. 4,259 11,576 * Zampa S.A. 830 10,640 ---------------- TOTAL COMMON STOCKS (Cost $38,181,724) 40,286,215 ---------------- PREFERRED STOCKS -- (0.0%) Egnatia Bank S.A. 3,196 9,115 ---------------- (Cost $8,592) TOTAL -- GREECE (Cost $38,190,316) 40,295,330 ---------------- SPAIN -- (4.0%) COMMON STOCKS -- (4.0%) Abengoa SA 66,042 711,043 Adolfo Dominguez SA 3,700 104,713 * Amper SA 56,800 359,700 * Avanzit SA 17,275 30,862 * # Azkoyen SA 52,500 435,447 Banco de Andalucia 9,800 863,732 Banco de Credito Balear SA 35,424 881,805 Banco de Valencia SA 191,814 5,579,619 # Banco Guipuzcoano SA 43,530 903,409 # Banco Pastor SA 34,300 1,280,394 * Baron de Ley SA 7,542 362,236 * Bodegas Riojanas SA 1,633 17,613 CAF (Construcciones y Auxiliar de Ferrocarriles SA) 7,500 730,378 # Campofrio Alimentacion SA 92,800 1,542,054 Cementos Portland SA 16,881 1,159,096 Cie Automotive SA 10,011 152,932 Compania de Distribucion Integral Logista SA 29,600 1,479,207 Compania Vinicola del Norte de Espana SA 6,633 102,894 Cortefiel SA 57,093 1,310,845 * Dogi International Fabrics SA 9,809 60,693 * Duro Felguera SA 10,860 150,325 Elecnor SA 18,300 969,434 * Ercros SA 120,980 159,445 * Espanola del Zinc SA 29,250 66,229 * Estacionamientos Urbanos SA 4,200 0 Europistas Concesionaria Espanola SA 174,940 1,196,574 # Faes Farma SA 36,107 675,711 Funespana SA 6,354 63,291 Grupo Empresarial Ence SA 18,593 507,249 Hullas del Coto Cortes 8,666 104,262
24 Iberpapel Gestion SA 6,700 140,087 Inbesos SA 8,050 84,411 Indo Internacional SA 33,600 262,162 Indra Sistemas SA 75,200 1,374,345 Inmobiliaria Colonial SA ICSA 35,200 1,826,195 Inmobiliaria del Sur SA 378 63,261 * Inmobiliaria del Sur SA Issue 2004 38 5,611 Inmobiliaria Urbis SA 80,282 1,362,357 Lingotes Especiales SA 22,080 135,999 * LSB (La Seda de Barcelona SA) Series B 32,010 98,455 * Mecalux SA 9,500 119,969 Metrovacesa SA 744 45,077 Miquel y Costas y Miquel SA 8,512 335,772 * Natra SA 14,979 129,670 * Natraceutical SA 93,825 143,150 * Nicolas Correa SA 15,750 103,802 Obrascon Huarte Lain SA 65,366 772,877 Pescanova SA 26,443 588,790 * Prim SA 3,900 91,324 Prosegur Cia de Seguridad SA 45,049 944,886 * # Service Point Solutions SA 20,648 91,385 * Sociedad Nacional Inds. Aplicaciones Celulosa Espanola 44,383 70,913 Sol Melia SA 112,700 1,182,880 # SOS Cuetara SA 83,608 1,248,819 Tavex Algodonera SA 31,944 133,524 * Tecnocom Telecomunicaciones y Energia SA 6,300 49,339 # Tele Pizza SA 237,546 484,521 Transportes Azkar, SA 35,477 293,644 Tubacex SA 121,020 408,049 Tubos Reunidos SA 12,466 167,196 Unipapel SA 44,264 957,376 * Uralita SA 338,493 1,688,642 * Urbanizzciones y Transportes SA 12,213 18,635 Vidrala SA, Alava 47,040 943,214 # Viscofan Industria Navarra de Envolturas Celulosicas SA 97,492 945,104 # Zeltia SA 87,378 703,913 ---------------- TOTAL COMMON STOCKS (Cost $16,699,311) 39,976,546 ---------------- RIGHTS/WARRANTS -- (0.0%) * Banco Guipuzcoano SA Rights 06/20/05 43,530 45,531 * Banco Valencia SA Rights 06/07/05 191,814 115,659 * Faes Farma SA Rights 07/06/05 36,107 83,532 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 244,722 ---------------- TOTAL -- SPAIN (Cost $16,699,311) 40,221,268 ----------------
25 DENMARK -- (3.9%) COMMON STOCKS -- (3.9%) Aarhus Oliefabrik A.S. Aeries A 4,950 400,319 * Alm. Brand A.S. 28,360 976,134 Amagerbanken A.S. 2,734 451,792 Ambu International A.S. Series B 3,000 71,366 Amtssparekassen Fyn A.S. 2,243 382,419 Arkil Holdings A.S. Series B 270 40,168 # Bang & Olufsen Holding A.S. Series B 13,387 861,014 * # Bavarian Nordic A.S. 4,930 487,856 * Brodrene Hartmann A.S. Series B 5,865 155,351 * Brondbyernes I.F. Fodbold A.S. Series B 2,000 20,702 Bryggerigruppen A.S. 8,515 685,029 Christian Hansen Holding A.S. Series B 10,855 1,605,962 Codan A.S. 43,400 2,123,322 Dalhoff, Larsen & Hornemann A.S. Series B 1,370 125,746 Dampskibsselsk Torm A.S. 49,460 2,700,186 Dantherm Holding A.S. 2,400 46,036 Danware A.S. 4,185 73,927 DFDS A.S., Copenhagen 11,760 716,592 DiskontoBanken A.S. 743 166,079 DSV, De Sammensluttede Vognmaend A.S. 22,630 1,755,084 East Asiatic Co., Ltd. 22,723 1,424,598 Edb Gruppen A.S. 3,230 103,983 * Fimiston Resources & Technology, Ltd. 400 7,262 FLS Industries Series B 73,180 1,361,178 Fluegger A.S. Series B 2,913 281,655 Foras Holding A.S. Series A 13,292 180,205 Forstaedernes Bank 4,322 364,749 * Genmab A.S. 28,629 529,213 * Glunz & Jensen A.S. 1,470 20,241 GN Great Nordic A.S. 210,980 2,423,246 H&H International A.S. Series B 1,140 261,754 * Hadsten Bank 70 12,037 Harboes Bryggeri A.S. 575 232,628 Hedegaard (Peder P.) A.S. 660 62,712 Hojgaard Holding A.S. Series B 2,500 77,699 * IC Co. A.S. 3,510 126,436 * Incentive A.S. 3,575 10,936 * Jyske Bank A.S. 75,520 2,885,152 Kjobenhavns Sommer Tivoli A.S. 580 262,002 Koebenhavns Lufthavne 9,910 2,193,114 Lan & Spar Bank A.S. 2,250 113,481 * Lastas A.S. Series B 3,600 35,608 Lollands Bank A.S. 750 31,687 * Maconomy A.S. 6,000 11,889 * # Neurosearch A.S. 9,160 410,134 NKT Holding A.S. 30,245 1,176,633 Nordjyske Bank A.S. 920 184,166 * NTR Holdings A.S. 1,130 14,967 Oestjydsk Bank 550 68,208 Per Aarsleff A.S. Series B 1,545 97,004 * Pharmexa A.S. 12,940 47,873 Ringkjobing Bank 1,670 141,370 Ringkjobing Landbobank 1,620 642,532 Rockwool, Ltd. 24,520 1,701,834
26 * RTX Telecom A.S. 8,400 81,805 Salling Bank 250 24,796 Sanistal A.S. Series B 1,786 172,754 * SAS Danmark A.S. 34,300 309,606 Satair A.S. 1,350 39,083 Schouw & Co. A.S. 15,485 410,445 Simcorp A.S. 5,240 416,879 Sjaelso Gruppen A.S. 2,388 286,440 Skjern Bank A.S. 725 61,529 * Sondagsavisen A.S. 21,165 120,706 Spar Nord Bank A.S. 6,823 844,832 Sparbank Vest A.S. 6,600 309,848 Sparekassen Faaborg A.S. 481 187,017 Sydbank A.S. 81,720 1,695,299 # Thrane & Thrane A.S. 5,258 216,145 * TK Development 12,478 79,194 * Topdanmark A.S. 28,300 2,032,024 Treka A.S. 8,498 220,890 Vestfyns Bank 200 25,582 Vestjysk Bank A.S. 10,800 375,080 VT Holdings Shares B 3,130 170,698 ---------------- TOTAL COMMON STOCKS (Cost $17,204,519) 39,423,922 ---------------- RIGHTS/WARRANTS -- (0.0%) * Forstaedernes Bank Rights 06/07/05 4,322 11,435 * Pharmexa A.S. Rights 05/31/05 12,940 7,168 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 18,603 ---------------- TOTAL -- DENMARK (Cost $17,204,519) 39,442,525 ---------------- NORWAY -- (3.6%) COMMON STOCKS -- (3.6%) * Acta Holding ASA 10,000 18,521 * Aker Kvaerner OGEP ASA 45,609 1,723,396 Aker Yards ASA 28,121 1,030,482 Aktiv Kapital ASA 57,017 846,270 Arendals Fosse Kompani ASA 100 11,616 * Blom ASA 18,367 35,578 Bonheur ASA 16,850 1,015,333 * Choice Hotel Scandinavia ASA 27,740 86,359 * Corrocean ASA 19,321 8,827 Det Norske Oljeselskap ASA Series A 88,945 1,021,142 # DOF ASA 97,006 357,186 # EDB Elektronisk Data Behandling ASA 149,417 1,133,086 Ekornes ASA 56,490 1,100,643 * # Eltek ASA 40,842 457,832 Expert ASA 48,758 528,206 Farstad Shipping ASA 60,790 705,709
27 * # Fjord Seafood ASA 783,483 354,702 * # Fred Olsen Energy ASA 91,600 1,838,118 Ganger Rolf ASA 6,690 375,531 Gresvig ASA 4,590 27,544 * Home Invest ASA 15,077 11,676 * Independent Oil Tools ASA 75,603 21,077 * Itera Consulting Group ASA 90,000 39,379 # Kongsberg Gruppen ASA 49,500 728,672 * Kverneland ASA 16,160 200,188 Leroy Seafood Group ASA 23,800 156,494 * # Merkantildata ASA 320,521 92,704 Natural ASA 10,143 45,538 * Nera ASA 187,753 398,477 * Nordic Semiconductor ASA 25,000 195,146 * Northern Offshore, Ltd. 214,000 84,972 * Ocean Rig ASA 105,531 690,062 Odfjell ASA Series A 99,640 1,900,223 Olav Thon Eiendomsselskap ASA 8,320 604,806 * Opticom ASA 3,600 26,728 * Otrum ASA 11,600 54,984 P4 Radio Hele Norge ASA 32,200 104,956 * Petrolia Drilling ASA 100,000 9,437 * Photocure ASA 26,690 156,104 Prosafe ASA 55,980 1,682,144 * Q-Free ASA 8,000 25,325 Rieber and Son ASA Series A 63,654 508,073 * Scana Industrier ASA 50,000 27,707 Schibsted ASA 112,960 2,981,575 * # Sinvest ASA 58,220 240,646 Smedvig ASA Series A 83,580 1,463,172 * # Software Innovation ASA 13,423 37,235 Solstad Offshore ASA 54,100 580,139 * Sparebk Midt-Norge 2,200 95,499 Steen and Stroem ASA 19,512 539,663 # Storebrand ASA 183,330 1,525,312 * Synnove Finden ASA 4,200 18,911 # Tandberg ASA Series A 217,280 2,322,945 * # Tandberg Data ASA 58,950 75,750 * Tandberg Storage ASA 48,450 18,743 * Tandberg Television ASA 90,430 1,034,264 * Telecomputing ASA 44,963 75,893 * Tgs-Nopec Geophysical Co. ASA 40,910 1,127,788 Tomra Systems ASA 294,480 1,271,474 * TTS Marine ASA 12,000 49,398 * Tybring-Gjed ASA 145,146 71,210 * Unit 4 Agresso NV 4,620 49,374 Veidekke ASA 21,846 432,594 Visma ASA 47,393 547,676 Wilhelmsen (Wilhelm), Ltd. ASA Series A 60,800 1,545,039 ---------------- TOTAL COMMON STOCKS (Cost $19,444,016) 36,545,253 ----------------
28 INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone 101,196 ---------------- (Cost $102,528) TOTAL -- NORWAY (Cost $19,546,544) 36,646,449 ---------------- BELGIUM -- (3.3%) COMMON STOCKS -- (3.3%) * Abfin SA 2,560 0 # Ackermans & Van Haaren SA 54,011 2,143,143 * # Arinso International NV 14,739 204,715 Associated Weavers International 5,057 48,551 Banque Nationale de Belgique 710 2,916,481 # Barco (New) NV 17,896 1,299,920 # Bekaert SA 32,028 2,374,353 Brantano NV 2,060 120,734 # Brederode SA 12,180 306,272 Carrieres Unies Porphyre 20 35,088 # CFE (Compagnie Francois d'Entreprises) 2,080 839,161 # Cofinimmo SA 11,516 1,828,885 * Commerciale de Brasserie SA COBRHA 115 148,473 # Compagnie Maritime Belge 41,185 1,344,854 * Cumerio 9,586 132,116 # Deceuninck SA 63,700 1,863,952 # D'Ieteren SA 6,425 1,275,781 # Distrigaz 57 214,180 * Docpharma SA NV 4,489 152,683 Dolmen Computer Applications 5,036 58,369 Duvel Moorgat NV 5,019 166,435 Euronav SA 41,185 1,219,921 EVS Broadcast Equipment SA 5,500 134,757 Exmar NV 8,641 520,153 Floridienne NV 2,033 145,133 Glaces de Moustier-sur-Sambre SA 13,370 562,948 * ICOS Vision Systems Corp. NV 12,914 336,156 * Immobel (Cie Immobiliere de Belgique SA) 5,621 241,740 * Innogenetics NV 39,726 637,637 * Integrated Production & Test Engineering NV 4,380 23,434 * International Brachtherapy SA 9,935 60,498 * Ion Beam Application SA 35,077 241,477 * Ipso-Ilg SA 5,990 53,452 Keytrade Bank SA 2,800 94,475 Kinepolis Group NV 5,020 162,417 Lotus Bakeries NV 650 82,662 # Melexis NV 52,741 641,682 Metiers Automatiques Picanol 16,120 343,772 * Neuhaus NV 670 35,448 # Nord-Sumatra Investissements SA 650 292,180 # Omega Pharma SA 28,203 1,437,698 * Option NV 14,958 487,048 Papeteries de Catala SA 315 34,886 # Quick Restaurants SA 19,501 372,497 * Real Software SA 55,542 34,927
29 # Recticel SA 22,870 194,177 * Resilux NV 1,754 83,029 Rosier SA 655 102,712 # Roularta Media Groep 9,837 605,545 * Sait Radioholland 7,313 38,725 # Sapec SA 3,635 366,830 * Sapec SA VVPR 75 205 # Sioen Industries 21,502 235,250 * SIPEF (Societe Internationale de Plantations & de Finance), Anvers 1,685 282,206 * Solvus SA 38,344 734,907 * Solvus SA Interim Strip VVPR 18,176 224 Spector Photo Group SA 5,408 43,306 * Systemat SA 12,107 81,980 # Telindus Group SA 64,911 718,239 Ter Beke NV 2,281 179,544 # Tessenderlo Chemie 47,282 1,831,358 UNIBRA 1,600 163,221 Union Miniere SA 9,586 752,973 # Van de Velde NV 2,683 472,472 VPK Packaging Group SA 7,185 247,553 # Warehouses de Pauw Sicafi 9,025 393,911 ---------------- TOTAL COMMON STOCKS (Cost $22,063,145) 33,199,511 ---------------- RIGHTS/WARRANTS -- (0.0%) * Belge des Betons Contingent Rights 8,500 0 ---------------- (Cost $0) TOTAL -- BELGIUM (Cost $22,063,145) 33,199,511 ---------------- IRELAND -- (2.6%) COMMON STOCKS -- (2.6%) Abbey P.L.C. 50,849 574,416 * Ardagh P.L.C. 14,262 41,243 * Datalex P.L.C. 72,754 37,538 DCC P.L.C. 136,863 2,713,488 Donegal Creameries P.L.C. 18,079 85,652 * Dragon Oil P.L.C. 307,485 510,233 FBD Holdings P.L.C. 23,114 675,524 Fyffes P.L.C. 630,111 1,767,415 Glanbia P.L.C. 321,765 1,042,847 Grafton Group P.L.C. 284,256 3,302,959 Greencore Group P.L.C. 306,561 1,288,111 * Horizon Technology Group P.L.C. 45,564 57,131 IAWS Group P.L.C. 153,525 2,304,092 IFG Group P.L.C. 52,309 59,863 Independent News & Media P.L.C. 645,069 1,983,328 * Iona Technologies P.L.C. 53,750 180,076 Irish Intercontental Group P.L.C. 37,153 439,391 * IWP International P.L.C. 39,611 3,899
30 Jurys Hotel Group P.L.C. 114,531 2,140,254 * Kenmare Resources P.L.C. 942,269 405,905 Kingspan Group P.L.C. 185,024 2,153,739 McInerney Holdings P.L.C. 58,094 592,857 Paddy Power P.L.C. 71,162 1,221,796 Readymix P.L.C. 109,762 284,433 United Drug P.L.C. 442,555 1,857,124 * Waterford Wedgwood P.L.C. 2,737,733 138,126 ---------------- TOTAL -- IRELAND (Cost $16,873,795) 25,861,440 ---------------- AUSTRIA -- (2.1%) COMMON STOCKS -- (2.1%) * Admiral Sportwetten AG 1,000 17,535 Agrana Beteiligungs AG 2,921 261,905 Andritz AG 13,609 1,187,041 Austria Email AG 715 3,085 * Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 42,784 369,021 Bank Fuer Kaernten und Steiermark AG 520 61,493 * # Betandwin.com Interactive Entertainment AG 12,749 1,824,094 Boehler-Uddeholm AG 11,195 1,444,834 BWT AG 21,819 670,478 * CA Immobilien Anlagen AG 36,830 923,809 Constantia-Verpackungen AG 19,123 636,370 * Conwert Immobilien Invest AG 18,614 306,558 * Demeter Vermoegensverwaltung 15,000 0 * Eybl International AG 2,400 59,006 Flughafen Wien AG 25,698 1,645,900 Frauenthal Holding AG 485 50,953 * Immofinanz Immobilien Anlagen AG 165,130 1,492,002 Lenzing AG 3,948 935,308 Manner (Josef) & Co. AG 870 42,823 Mayr-Melnhof Karton AG 11,760 1,676,150 Oberbank AG 5,384 531,147 Palfinger AG 10,383 600,202 * # RHI AG, Wien 29,275 806,974 Rosenbauer International AG 1,530 112,603 * S&T System Integration & Technology Distribution AG 2,515 92,580 Schoeller-Bleckmann Oilfield Equipment AG 11,860 284,419 * Sparkassen Immobilien AG 33,975 342,114 Ubm Realitaetenentwicklung AG 1,440 61,492 # Uniqa Versicherungen AG 128,555 2,246,598 Voestalpine AG 30,095 2,029,010 * Wolford AG 4,900 105,603 ---------------- TOTAL COMMON STOCKS (Cost $11,965,667) 20,821,107 ----------------
31 RIGHTS/WARRANTS -- (0.0%) * Boehler-Uddeholm AG Rights 06/02/05 11,195 0 * CA Immobilien Anlagen AG Rights 06/01/05 34,837 429 * Jenbacher AG Rights 03/31/08 7,860 0 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 429 ---------------- TOTAL -- AUSTRIA (Cost $11,965,667) 20,821,536 ---------------- PORTUGAL -- (1.2%) COMMON STOCKS -- (1.2%) Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 194,100 273,188 EFACEC Capital, SGPS, SA 60,600 162,350 Finibanco Holdings SGPS, SA 35,482 56,133 * Gescartao, SGPS, SA 10,107 133,188 Ibersol SGPS SA 14,462 94,311 * # Impresa Sociedade Gestora de Participacoes Socias SA 190,166 1,284,504 * Investimentos Participacoes e Gestao SA Inapa 43,702 133,886 Jeronimo Martins SGPS SA 170,757 2,389,975 Mota-Engil, SGPS, SA 250,900 741,711 * # Novabase SGPS 56,005 409,918 * # ParaRede-SGPS SA 97,133 40,764 Portucel-Empresa Produtora de Pasta de Papel SA 466,977 805,259 Sag Gest - Solucoes Automovel Globais SGPS SA 235,500 371,460 Salvador Caetano - Industrias Metalurgicas e Veiculos de Transporte SA 54,900 253,341 * Sociedad Construcoes Soares da Costa SA 19,200 35,805 # Sociedade de Investimento e Gestao SGPS SA 160,396 909,016 Sonae SGPS SA 1,079,900 1,582,540 * # Sonaecom SGPS SA 321,175 1,384,888 * Sporting Sociedad Desportiva de Futebol 3,301 9,828 Teixeira Duarte Engenharia e Construcoes SA 609,000 824,289 ---------------- TOTAL -- PORTUGAL (Cost $6,843,117) 11,896,354 ---------------- EMU -- (0.1%) INVESTMENT IN CURRENCY -- (0.1%) * Euro Currency 554,480 ---------------- (Cost $564,980) UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * Epicor Software Corp. 2,171 26,768 * InFocus Corp. 10,455 43,493 ---------------- TOTAL -- UNITED STATES (Cost $214,919) 70,261 ----------------
32 FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (18.9%) ^ Repurchase Agreement, Deutsche Bank Securities & Mizuho Securities USA 2.96% and 2.98%, respectively, 06/01/05 (Collateralized by $277,454,335 U.S. TIPS 1.875%, 07/15/13 & U.S. STRIPS, rates ranging from 0% to 9.875%, maturities ranging from 11/15/05 to 02/15/29, valued at $193,688,829) to be repurchased at $189,898,459 (Cost $189,882,796) $ 189,883 189,882,796 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $828,000 FNMA Notes 2.95%, 11/14/07, valued at $826,965) to be repurchased at $814,065 (Cost $814,000) 814 814,000 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $190,696,796) 190,696,796 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $724,614,597) $ 1,006,081,648 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 33 THE EMERGING MARKETS SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE + ---------------- ---------------- MEXICO -- (12.1%) COMMON STOCKS -- (12.1%) Alfa S.A. de C.V. Series A 640,590 $ 3,678,389 America Movil S.A. de C.V. Series L 10,897,700 30,837,777 * America Telecom S.A. de C.V. Series A 5,129,240 15,504,095 * Carso Global Telecom S.A. de C.V. Telecom Series A1 3,638,671 6,452,048 Cementos de Mexico S.A. de C.V. Series B 1,551,017 11,800,403 Coca-Cola Femsa S.A. de C.V. Series L 1,310,600 3,111,431 Consorcio Ara S.A. 157,500 512,249 Controladora Comercial Mexicana S.A. de C.V. Series B 633,700 681,188 * Corporacion Interamericana de Entramiento S.A. de C.V. Series B 75,000 145,392 * Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,107 214 Corporativo Fragua S.A. de C.V. Series B 21 67 * Desc S.A. de C.V. Series B 619,841 167,996 El Puerto de Liverpool S.A. de C.V. Series C1 339,500 686,215 Embotelladora Arca S.A. de C.V., Mexico 466,500 959,629 * Empresas ICA Sociedad Controladora S.A. de C.V. 623,700 246,401 Empresas la Moderna S.A. de C.V. Series A 120,000 22,993 Fomento Economico Mexicano Series B & D 754,800 4,122,695 Gruma S.A. de C.V. Series B 90,406 193,116 Grupo Carso S.A. de C.V. Series A-1 3,272,232 5,712,092 Grupo Continental S.A. de C.V. 358,600 553,499 Grupo Elektra S.A. de C.V. 141,400 1,000,317 Grupo Financiero del Norte S.A. Series C 568,984 3,789,445 * Grupo Financiero GBM Atlantico S.A. de C.V. Series L 22,746 11,703 Grupo Financiero Inbursa S.A. de C.V. Series O 3,161,776 6,739,328 * Grupo Gigante S.A. de C.V. Series B 117,282 80,815 Grupo Industrial Bimbo S.A. de C.V. Series A 1,711,100 4,653,338 Grupo Industrial Maseca S.A. de C.V. Series B 229,000 130,234 Grupo Modelo S.A. de C.V. Series C 2,602,300 7,889,851 * Grupo Nutrisa S.A. de C.V. 129 50 * Grupo Qumma S.A. de C.V. Series B 1,591 26 Grupo Televisa S.A. (Certificate Representing Series A, Series D & Series L) 2,117,800 6,339,186 * Grupo Tribasa S.A. de C.V. 2,120 0 Hylsamex S.A. de C.V. Series B 153,914 554,322 Industrias Penoles S.A. de C.V. 324,600 1,604,458 Kimberly Clark de Mexico S.A. de C.V. Series A 980,200 3,120,437 Nueva Grupo Mexico S.A. de C.V. Series B 930,858 4,395,862 * Organizacion Soriana S.A. de C.V. Series B 701,000 2,666,342 Telefonos de Mexico S.A. Series A 200,000 186,690 Telefonos de Mexico S.A. de C.V. 18,366,800 16,975,833 TV Azteca S.A. de C.V. Series A 1,832,100 935,883 * US Commercial Corp. S.A. de C.V. 223,000 80,416 Vitro S.A. de C.V. 121,600 94,850 Wal-Mart de Mexico S.A. de C.V. Series V 5,494,302 20,822,553 ---------------- TOTAL -- MEXICO (Cost $112,747,040) 167,459,828 ----------------
1 TAIWAN -- (11.7%) COMMON STOCKS -- (11.7%) Acer, Inc. 1,051,883 1,990,209 * Advanced Semiconductor Engineering, Inc. 2,302,396 1,662,238 Advantech Co., Ltd. 138,254 325,610 Asia Cement Corp. 1,009,750 645,500 Asustek Computer, Inc. 1,479,062 4,070,093 * Au Optronics Corp. 2,755,487 4,555,326 Benq Corp. 1,083,160 1,113,908 Cathay Financial Holdings Co., Ltd. 5,527,529 10,537,019 Cathay Real Estate Development Co., Ltd. 568,213 238,013 * Chang Hwa Commercial Bank 2,407,796 1,352,975 Cheng Shin Rubber Industry Co., Ltd. 487,437 539,634 Cheng Uei Precision Industry Co., Ltd. 43,136 119,317 Chi Mei Optoelectronic Corp. 2,536,177 3,983,214 China Airlines 1,236,157 684,244 * China Development Financial Holding Corp. 5,507,000 2,097,432 China Motor Co., Ltd. 714,628 735,133 China Steel Corp. 5,889,753 5,730,002 Chinatrust Financial Holdings Co., Ltd. 3,310,473 3,719,032 * Chungwa Picture Tubes Co., Ltd. 3,932,298 1,721,769 CMC Magnetics Corp. 1,356,400 626,080 Compal Electronics, Inc. 1,595,372 1,525,437 * Cosmos Bank Taiwan 478,000 226,941 Delta Electronics Industrial Co., Ltd. 822,228 1,330,514 D-Link Corp. 145,122 175,109 E.Sun Financial Holding Co., Ltd. 1,482,744 1,201,988 * Eva Airways Corp. 1,326,289 656,994 Evergreen Marine Corp., Ltd. 1,320,382 1,180,997 Far East Textile, Ltd. 2,372,668 1,777,511 * Far Eastern International Bank 583,000 317,434 * First Financial Holding Co., Ltd. 3,192,000 2,592,120 Formosa Chemicals & Fiber Co., Ltd. 3,480,090 6,299,508 Formosa Plastics Corp. 3,027,210 5,143,441 Formosa Taffeta Co., Ltd. 436,767 213,149 Fu Sheng Industrial Co., Ltd. 203,035 247,827 Fubon Financial Holding Co., Ltd. 6,054,052 5,734,274 Fuh-Hwa Financial Holding Co., Ltd. 1,082,976 573,651 Giga-Byte Technology Co., Ltd. 167,160 183,172 High Tech Computer Corp. 122,600 1,079,606 Hon Hai Precision Industry Co., Ltd. 1,899,306 9,940,234 Hotai Motor Co., Ltd. 223,000 503,647 * Hsinchu International Bank 451,800 264,802 Hua Nan Financial Holding Co., Ltd. 3,654,320 2,820,860 International Bank of Taipei 885,928 608,765 Inventec Corp. 763,888 352,916
2 Lite-On Technology Corp. 1,331,010 1,422,942 * Macronix International Co., Ltd. 1,547,500 242,255 Media Tek, Inc. 418,730 3,605,331 Mega Financial Holding Co., Ltd. 6,278,535 4,067,932 Mitac International Corp. 166,000 176,717 * Mosel Vitelic Inc. Co., Ltd. 336 92 Nan Ya Plastic Corp. 4,237,625 5,792,656 * Nanya Technology Co., Ltd. 2,240,989 1,714,196 Optimax Technology Corp. 112,455 273,952 Oriental Union Chemical Corp. 132,531 120,462 * Pacific Electric Wire & Cable Corp. 233,200 3,866 Pou Chen Corp. 1,001,859 818,176 President Chain Store Corp. 435,260 797,159 * Q-Run Technology Co., Ltd. 187,200 705,438 Quanta Computer, Inc. 2,051,308 3,742,611 * Quanta Display, Inc. 2,116,000 1,046,887 Realtek Semiconductor Corp. 194,001 196,432 Ritek Corp. 580,204 203,450 Shin Kong Financial Holding Co., Ltd. 1,753,463 1,774,619 Siliconware Precision Industries Co., Ltd. 874,200 828,429 SinoPac Holdings Co., Ltd. 1,721,096 916,156 Sunplus Technology Co., Ltd. 361,145 501,217 Synnex Technology International Corp. 326,680 487,055 Taishin Financial Holdings Co., Ltd. 2,495,135 2,150,829 * Taiwan Business Bank 1,632,644 517,917 Taiwan Cement Corp. 1,302,731 739,455 Taiwan Glass Ind. Corp. 542,079 516,255 Taiwan Life Insurance Co., Ltd 101,200 172,598 Taiwan Semiconductor Manufacturing Co., Ltd. 13,743,936 24,779,451 * Tatung Co., Ltd. 1,684,000 536,702 Transcend Information, Inc. 35,187 90,055 U-Ming Marine Transport Corp. 279,050 434,936 Uni-President Enterprises Corp. 1,495,020 674,327 * United Microelectronics Corp. 8,696,611 5,859,321 * Via Technologies, Inc. 359,699 232,711 * Walsin Lihwa Corp. 1,338,000 558,095 Wan Hai Lines Co., Ltd. 823,934 777,861 Waterland Financial Holdings 801,000 336,247 * Winbond Electronics Corp. 1,794,000 575,308 Wintek Corp. 151,000 202,586 Ya Hsin Industrial Co., Ltd. 223,683 210,156 * Yageo Corp. 608,440 229,865 Yang Ming Marine Transport Corp. 1,248,894 1,095,527 Yieh Phui Enterprise Co., Ltd. 266,435 136,096 Yuen Foong Yu Paper Manufacturing Co., Ltd. 383,022 144,808 Yulon Motor Co., Ltd. 684,753 793,686 Zyxel Communication Corp. 116,980 295,407 ---------------- TOTAL COMMON STOCKS (Cost $143,235,910) 162,895,874 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Taiwan Dollar 17,498 ---------------- (Cost $17,422) TOTAL -- TAIWAN (Cost $143,253,332) 162,913,372 ----------------
3 SOUTH KOREA -- (11.7%) COMMON STOCKS -- (11.7%) Amorepacific Corp. 5,100 1,329,694 CJ Corp. 10,400 740,276 Daelim Industrial Co., Ltd. 16,090 771,661 Daewoo Engineering & Construction Co., Ltd. 247,900 1,734,810 Daewoo Heavy Industries & Machinery, Ltd. 113,400 913,943 Daewoo International Corp. 32,910 483,589 * Daewoo Securities Co., Ltd. 56,445 373,741 Daewoo Shipbuilding & Marine Engineering Co., Ltd. 126,010 2,536,876 Dongkuk Steel Mill Co., Ltd. 14,670 239,848 Doosan Heavy Industries & Construction Co., Ltd. 24,500 337,234 GS Holdings Corp. 42,945 968,036 Hanjin Shipping Co., Ltd. 35,750 952,294 Hankook Tire Manufacturing Co., Ltd. 72,650 820,116 Hanwha Chemical Corp. 32,000 342,885 Hite Brewery Co., Ltd. 12,140 1,117,612 * Honam Petrochemical Corp. 8,750 342,947 Hyundai Development Co. 33,870 713,391 Hyundai Heavy Industries Co., Ltd. 43,820 2,292,452 * Hyundai Merchant Marine Co., Ltd. 67,170 1,064,216 Hyundai Mobis 46,710 3,001,525 Hyundai Motor Co., Ltd. 103,609 5,804,693 INI Steel Co., Ltd. 45,530 669,464 Kangwon Land, Inc. 138,510 1,988,073 Kia Motors Corp. 250,830 3,568,154 Kookmin Bank 146,005 6,402,301 Korea Electric Power Corp. 495,290 14,472,188 * Korea Exchange Bank 561,620 4,759,380 Korea Gas 65,190 1,823,804 Korean Air Co., Ltd. 42,880 761,393 KT Corp. 195,930 7,896,552 KT&G Corp. 103,590 3,628,014 Kumgang Korea Chemical Co., Ltd. 5,970 1,004,380 * LG Card Co., Ltd. 64,169 2,142,657 LG Chemical Investment, Ltd. 126,575 3,224,579 LG Chemical, Ltd. 33,656 1,221,714 LG Electronics, Inc. 77,220 5,559,551 LG Engineering & Construction Corp. 23,120 719,009 LG Investment & Securities Co., Ltd. 40,060 373,109 LG Petrochemical Co., Ltd. 18,420 447,786 * LG Phillips LCD Co., Ltd. 22,030 1,142,710 Lotte Chilsung Beverage Co., Ltd. 400 373,628 * NCsoft Corp. 10,110 881,432 Nong Shim Co., Ltd. 3,050 919,130 POSCO 40,940 7,297,089 Pusan Bank 50,610 430,347 S1 Corp. 20,538 839,513 Samsung Corp. 58,510 798,482 Samsung Electro-Mechanics Co., Ltd. 32,707 794,372
4 Samsung Electronics Co., Ltd. 53,188 25,686,766 Samsung Fire and Marine Insurance, Ltd. 24,219 1,834,462 Samsung Heavy Industries Co., Ltd. 100,590 841,685 Samsung SDI Co., Ltd. 22,742 2,164,363 Samsung Securities Co., Ltd. 29,230 754,592 Seoul Bank 104,780 2,658,698 Shinhan Financial Group Co., Ltd. 165,422 4,236,740 Shinsegae Co., Ltd. 9,100 3,015,812 SK Corp., Ltd. 66,504 3,448,220 SK Telecom Co., Ltd. 56,085 9,947,204 S-Oil Corp. 86,310 6,356,268 ---------------- TOTAL -- SOUTH KOREA (Cost $94,368,322) 161,965,460 ---------------- SOUTH AFRICA -- (10.9%) COMMON STOCKS -- (10.9%) ABSA Group, Ltd. 604,870 7,346,378 African Oxygen, Ltd. 393,939 1,477,115 Anglo American Platinum Corp., Ltd. 302,315 12,993,774 Anglo American PLC 667,281 15,902,785 Anglogold, Ltd. 304,962 10,293,029 * Anglovaal Mining, Ltd. 93,775 463,461 Aspen Pharmacare Holdings PLC 259,317 949,904 AVI, Ltd. 178,834 326,907 Barloworld, Ltd. 157,177 2,031,363 Bidvest Group, Ltd. 254,135 2,583,633 * Consol, Ltd. 178,834 273,079 * Dimension Data Holdings PLC 246,926 143,310 * Discovery Holdings, Ltd. 463,855 1,498,636 Edgars Consolidated Stores, Ltd. 39,111 1,531,616 Firstrand, Ltd. 5,453,719 10,993,898 Foschini, Ltd. 167,846 903,392 Gold Fields, Ltd. 306,889 3,366,763 Harmony Gold Mining Co., Ltd. 298,281 2,213,024 Impala Platinum Holdings, Ltd. 46,076 3,871,032 * Imperial Holdings, Ltd. 159,111 2,339,773 Investec, Ltd. 28,155 809,000 JD Group, Ltd. 119,825 1,059,422 Kumba Resources, Ltd. 15,092 148,775 Liberty Group, Ltd. 331,965 3,026,709 Massmart Holdings, Ltd. 136,739 848,955 Mittal Steel South Africa, Ltd. 545,537 4,069,873 MTN Group, Ltd. 1,329,332 8,773,164 Nampak, Ltd. 460,336 1,015,773 Naspers, Ltd. Series N 204,973 2,519,852 Nedcor, Ltd. 454,722 5,066,339 Network Healthcare Holdings, Ltd. 1,448,416 1,285,890 Old Mutual PLC 2,547,699 5,422,437 Pick'n Pay Stores, Ltd. 584,356 2,131,740 Pretoria Portland Cement Co., Ltd. 75,919 2,437,822 Sanlam, Ltd. 1,913,846 3,152,969
5 Santam, Ltd. 81,524 730,420 Sappi, Ltd. 163,117 1,579,527 Standard Bank Group, Ltd. 979,729 8,918,054 Steinhoff International Holdings, Ltd. 954,753 1,897,552 Telkom SA, Ltd. 660,710 10,789,042 Tiger Brands, Ltd. 111,679 1,773,769 Truworths International, Ltd. 307,364 757,453 * Woolworths Holdings, Ltd. 689,630 1,056,654 ---------------- TOTAL -- SOUTH AFRICA (Cost $135,051,995) 150,774,063 ---------------- BRAZIL -- (10.8%) PREFERRED STOCKS -- (9.7%) Ambev Cia de Bebidas das Americas 12,453,835 3,721,937 Aracruz Celulose SA Series B 711,999 2,405,342 Banci Itau Holding Financeira SA 86,800 15,274,206 Banco Bradesco SA 401,079 12,908,768 Brasil Telecom Participacoes SA 234,026,240 1,555,966 Brasil Telecom SA 626,730,875 2,523,050 Brasileira de Distribuicao Pao de Acucar 58,650,000 1,241,399 * Braskem SA Preferred A 435,600 4,150,810 Companhia Energetica de Minas Gerais 109,900,000 3,329,612 Embraer Empresa Brasileira de Aeronautica 747,821 5,654,824 * Embratel Participacoes SA 143,582,922 305,103 * Empresa Nasional de Comercio Redito e Participacoes SA 480,000 2,391 Gerdau SA 465,156 4,691,135 Investimentos Itau SA 3,300,893 6,740,151 Klabin SA 682,875 1,125,135 * Lojas Renner SA 800,000 26,728 Metalurgica Gerdau SA 98,850 1,370,239 Paranaense de Energia Series B 100,000,000 572,733 Siderurgica Belgo-Mineira 10,870,000 4,781,988 Siderurgica de Tubarao 63,720,000 3,427,314 Siderurgica Paulista Casipa Series B 325 6,070 Suzano Bahia Sul Papel e Celullose SA 143,545 625,533 * Tele Centro Oeste Celular Participacoes SA 76,815 820,911 Tele Norte Leste Participacoes SA 180,034 2,736,188 * Tele Sudeste Celular Participacoes SA 16,200 129,761 Telemar Norte Leste SA 225,100 5,259,651 * Telesp Celular Participacoes SA 858,662 4,351,219 Telesp Participacoes SA 621,100,000 11,793,038 Unibanco-Uniao de Bancos Brasileiros SA 20,000 60,178 Unibanco-Uniao de Bancos Brasileiros Units SA 513,130 3,679,969 Usinas Siderurgicas de Minas Gerais SA 200,539 3,777,740 Vale do Rio Doce Series A 926,880 22,888,300 * Vale do Rio Doce Series B 81,160 0 Votorantim Celulose e Papel SA 71,336 847,032 Weg SA 489,800 1,485,967 ---------------- TOTAL PREFERRED STOCKS (Cost $78,699,331) 134,270,388 ----------------
6 COMMON STOCKS -- (1.1%) Ambev Cia de Bebidas das Americas 5,420,000 1,453,131 Brasil Telecom Participacoes SA 59,520,574 535,055 Companhia Siderurgica Nacional SA 241,404 4,278,046 Copesul Companhia Petroquimica do Sul 55,860 739,545 CPFL Geracao de Energia SA 3,140,000 14,987 * Embratel Participacoes SA 57,550,000 114,646 Souza Cruz Industria e Comercio 521,300 6,555,464 * Tele Centro Oeste Celular Participacoes SA 19,748 215,962 * Tele Norte Celular Participacoes SA 57,624,254 21,524 Tele Norte Leste Participacoes SA 59,254 1,224,673 * Tele Sudeste Celular Participacoes SA 613 4,740 * Tractebel Energia SA 108,600 531,394 ---------------- TOTAL COMMON STOCKS (Cost $9,933,446) 15,689,167 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Brazilian Real 34,038 ---------------- (Cost $32,142) RIGHTS/WARRANTS -- (0.0%) * Itausa-Investimentos Itau SA Preferred Rights 06/01/05 25,591 9,240 ---------------- (Cost $0) TOTAL -- BRAZIL (Cost $88,664,919) 150,002,833 ---------------- MALAYSIA -- (6.6%) COMMON STOCKS -- (6.6%) * AmInvestment Group Berhad 406,882 173,460 AMMB Holdings Berhad 2,103,331 1,281,975 Berjaya Sports Toto Berhad 746,800 765,698 British American Tobacco Berhad 295,300 3,145,379 CIMB Berhad 259,300 341,070 Commerce Asset Holding Berhad 2,588,400 3,170,177 * Digi.Com Berhad 767,162 1,047,881 Diversified Resources Berhad 643,200 233,317 Gamuda Berhad 510,000 584,406 Genting Berhad 697,300 3,282,146 Golden Hope Plantations Berhad 948,200 952,708 Highlands and Lowlands Berhad 107,500 107,467 Hong Leong Bank Berhad 1,607,150 2,113,878 Hong Leong Credit Berhad 1,060,629 1,120,858 IJM Corp. Berhad 228,300 282,275 IOI Corp. Berhad 1,044,500 2,526,453 IOI Oleochemical Industries Berhad 22,041 53,346 IOI Properties Berhad 151,300 292,553 Kuala Lumpur Kepong Berhad 747,000 1,257,443 Magnum Corp. Berhad 1,487,600 782,169 Malakoff Berhad 835,700 1,603,712 Malayan Banking Berhad 2,815,700 8,142,334
7 Malayan Cement Berhad 2,266,300 351,476 Malaysia Mining Corp. Berhad 828,700 414,207 Malaysian Airlines System Berhad 1,090,600 1,016,099 Malaysian International Shipping Corp. (Foreign) 1,501,566 6,824,540 Malaysian Pacific Industries 170,000 482,570 Malaysian Plantations Berhad 927,500 590,137 Maxis Communications Berhad 1,631,600 4,226,294 Nestle (Malaysia) Berhad 229,200 1,440,167 Oriental Holdings Berhad 215,300 226,310 Oyl Industries Berhad 134,300 1,281,040 Petronas Dagangan Berhad 813,400 894,588 Petronas Gas Berhad 1,810,900 3,380,889 Plus Expressways Berhad 3,046,800 2,467,171 PPB Group Berhad 579,600 1,097,171 Proton Holdings Berhad 389,000 726,132 Public Bank Berhad 1,550,201 2,729,507 Resorts World Berhad 1,120,700 2,840,505 RHB Capital Berhad 1,849,900 977,243 Shell Refining Co. Federation of Malaysia Berhad 227,000 549,315 Sime Darby Berhad 2,334,600 3,563,750 Southern Bank Berhad 48,440 41,009 Southern Bank Berhad (Foreign) 1,412,337 1,151,714 SP Setia Berhad 488,100 475,362 Star Publications (Malaysia) Berhad 182,800 331,621 Telekom Malaysia Berhad 3,138,900 8,078,652 Tenaga Nasional Berhad 3,662,800 9,923,114 UMW Holdings Berhad 364,533 479,289 YTL Corp. Berhad 1,578,966 2,180,370 ---------------- TOTAL -- MALAYSIA (Cost $86,119,098) 92,000,947 ---------------- TURKEY -- (6.3%) COMMON STOCKS -- (6.3%) Akbank T.A.S. 2,264,998 12,090,210 Anadolu Efes Biracilik ve Malt Sanayi A.S. 182,246 3,623,681 Arcelik A.S 1,549,702 8,127,666 * Dogan Sirketler Grubu Holding A.S. 722,062 1,659,633 * Dogan Yayin Holding A.S. 542,816 1,235,561 Enka Insaat ve Sanayi A.S. 494,820 5,385,251 Eregli Demir ve Celik Fabrikalari Turk A.S. 1,595,341 6,405,511 Ford Otomotiv Sanayi A.S. 867,588 5,391,825 Hurriyet Gazetecilik ve Matbaacilik A.S. 629,278 1,203,744 * Koc Holding A.S. 281,693 1,197,380 Koc Holding A.S. Series B 1,058,111 4,482,928 Migros Turk A.S. 450,270 3,482,021 Tofas Turk Otomobil Fabrikasi A.S. 1,489,092 2,055,958 Trakya Cam Sanayii A.S. 187,301 595,751 Tupras-Turkiye Petrol Rafinerileri A.S. 289,886 3,652,551 Turk Sise ve Cam Fabrikalari A.S. 639,484 1,534,884 * Turkiye Garanti Bankasi A.S. 2,261,914 8,536,645 Turkiye Is Bankasi A.S. 2,002,976 10,818,452 * Vestel Elektronik Sanayi ve Ticaret A.S. 240,241 834,543 * Yapi ve Kredi Bankasi A.S. 1,232,184 4,682,623 ---------------- TOTAL -- TURKEY (Cost $29,310,662) 86,996,818 ----------------
8 ISRAEL -- (5.5%) COMMON STOCKS -- (5.5%) Africa-Israel Investments, Ltd. 108,700 4,017,919 Bank Hapoalim, Ltd. 2,309,640 8,108,404 Bank Leumi Le-Israel 2,802,069 7,928,531 * Bezeq Israeli Telecommunication Corp., Ltd. 4,049,014 5,001,098 Blue Square Israel, Ltd. 16,186 156,734 CLAL Industries, Ltd. 289,038 1,331,162 CLAL Insurance, Ltd. 114,684 2,411,331 Delek Group, Ltd. 4,584 447,323 Discount Investment Corp 66,100 1,618,017 Elbit Systems, Ltd. 98,319 2,395,417 * Elron Electronic Industries, Ltd. 0 5 * First International Bank of Israel, Ltd. Par Value $.01 347,200 537,889 * First International Bank of Israel, Ltd. Par Value $.05 48,660 349,471 IDB Development Corp., Ltd. Series A 101,015 3,101,292 IDB Holding Corp., Ltd. 36,578 802,548 Israel Chemicals, Ltd. 2,410,526 7,714,773 Israel Corp. Series A 5,500 1,573,282 * Koor Industries, Ltd. 25,971 1,690,252 M.A.Industries, Ltd. 843,283 5,101,647 Migdal Insurance Holdings 2,079,107 2,938,231 Osem Investment, Ltd. 210,522 1,794,037 * Perrigo Co. 57,227 896,928 Strauss Elite, Ltd. 33,250 311,919 Super-Sol, Ltd. Series B 372,926 1,005,696 Teva Pharmaceutical Industries, Ltd. 418,280 13,912,996 * United Mizrahi Bank, Ltd. 384,693 1,822,509 ---------------- TOTAL COMMON STOCKS (Cost $37,118,237) 76,969,411 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Israel Shekel 157 ---------------- (Cost $153) TOTAL -- ISRAEL (Cost $37,118,390) 76,969,568 ---------------- INDONESIA -- (4.7%) COMMON STOCKS -- (4.7%) PT Astra International Tbk 8,470,461 10,387,615 PT Bank Central Asia Tbk 1,980,000 720,708 PT Bank Danamon Indonesia Tbk 1,762,000 891,351 PT Bimantara Citra Tbk 1,485,000 365,880
9 PT Gudang Garam Tbk 4,695,500 6,352,536 * PT Indocement Tunggal Prakarsa Tbk 7,362,000 2,468,047 PT Indofood Sukses Makmur Tbk 18,886,400 2,377,886 PT Indonesian Satellite Corp.Tbk 14,967,500 7,774,558 PT International Nickel Indonesia Tbk 580,000 846,641 * PT Makindo Tbk 2,236,500 224,402 PT Medco Energi International Tbk 9,754,000 3,226,110 * PT Panasia Indosyntec Tbk 75,100 3,945 PT Semen Gresik Tbk 1,739,502 2,937,277 PT Telekomunikasi Indonesia (Persero) Tbk 37,153,640 18,242,960 PT Unilever Tbk 16,022,000 7,688,916 ---------------- TOTAL COMMON STOCKS (Cost $39,400,179) 64,508,832 ---------------- RIGHTS/WARRANTS -- (0.0%) * PT Lippo Karawaci Tbk Free Warrants 11/30/07 45,877 928 ---------------- (Cost $0) TOTAL -- INDONESIA (Cost $39,400,179) 64,509,760 ---------------- UNITED STATES -- (4.0%) COMMON STOCKS -- (4.0%) * Banco Bilboa Vizcaya Argentaria Chile SA ADR 64,200 1,653,362 * Banco de Chile Series F ADR 47,643 1,653,212 Banco Santander Chile Sponsored ADR 295,998 9,235,138 Cia Telecom de Chile ADR 421,400 4,142,362 Compania Cervecerias Uni ADR 115,400 2,706,130 Cristalerias de Chile SA ADR 35,600 1,004,632 * Distribucion y Servicio D&S SA ADR 208,828 3,821,552 Embotelladora Andina SA Andina ADR 109,600 1,282,320 Embotelladora Andina SA Andina Series B ADR 89,100 1,175,229 Empresa Nacional de Electricidad SA ADR 514,018 11,822,414 * Enersis SA ADR 285,903 2,633,167 * Grupo Financiero Galicia SA ADR 211,011 1,846,346 Lan Chile SA ADR 125,900 4,620,530 * Madeco SA 4,450 40,361 Masisa SA ADR 25,100 414,150 Sociedad Quimica y Minera de Chile SA ADR 61,300 5,236,246 Sociedad Quimica y Minera de Chile SA ADR Class A 902 85,239 Vina Concha y Toro SA Conchatoro ADR 27,100 2,039,275 ---------------- TOTAL -- UNITED STATES (Cost $40,357,553) 55,411,665 ---------------- THAILAND -- (3.6%) COMMON STOCKS -- (3.6%) Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 13,766,109 Aromatics (Thailand) Public Co., Ltd. (Foreign) 1,387,500 1,809,931 Bangkok Expressway Public Co., Ltd. (Foreign) 1,794,100 1,159,122
10 * Bank of Ayudhya Public Co., Ltd. (Foreign) 5,174,500 1,617,429 Banpu Public Co., Ltd. (Foreign) 132,000 490,574 BEC World Public Co., Ltd. (Foreign) 3,915,000 1,194,831 Charoen Pokphand Foods Public Co., Ltd. (Foreign) 14,442,000 1,521,333 Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 4,100,710 1,544,201 Krung Thai Bank Public Co., Ltd. (Foreign) 17,302,970 3,917,975 Land & Houses Public Co., Ltd. (Foreign) 2,130,310 403,726 National Finance and Securities Public Co., Ltd. (Foreign) 630,150 209,378 National Petrochemical Public Co., Ltd. (Foreign) 441,500 1,314,829 Ratchaburi Electricity Generating Holding Public Co., Ltd. (Foreign) 2,200,000 2,111,740 Shin Corporation Public Co., Ltd. (Foreign) 6,122,000 5,575,043 Siam Cement Public Co., Ltd. (Foreign) 270,000 1,621,462 Siam City Cement Public Co., Ltd. (Foreign) 633,413 4,427,499 Siam Commercial Bank Public Co., Ltd. (Foreign) 2,549,166 2,995,882 * Telecomasia Corp. Public Co., Ltd. (Foreign) 6,977,800 1,476,965 * Thai Military Bank Public Co., Ltd. (Foreign) 12,415,080 1,240,591 Thai Union Frozen Products Public Co., Ltd. (Foreign) 3,178,520 2,190,464 ---------------- TOTAL COMMON STOCKS (Cost $40,370,479) 50,589,084 ---------------- RIGHTS/WARRANTS -- (0.0%) * Telecomasia Corp. Public Co., Ltd. (Foreign) Warrants 03/31/08 1,444,563 0 ---------------- (Cost $0) TOTAL -- THAILAND (Cost $40,370,479) 50,589,084 ---------------- HUNGARY -- (3.0%) COMMON STOCKS -- (3.0%) Budapesti Elektromos Muvek RT 185 20,127 Delmagyarorszagi Aramszolgaltato Demasz RT 2,275 151,804 Egis RT 37,757 3,245,334 Gedeon Richter, Ltd. 46,937 6,116,871 * Magyar Olay-Es Gazipari RT 168,429 12,524,216 Matav RT 1,050,555 4,082,831 Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 11,975,686 * Tiszai Vegyi Kombinat RT 117,534 3,306,425 ---------------- TOTAL -- HUNGARY (Cost $15,788,433) 41,423,294 ---------------- PHILIPPINES -- (2.5%) COMMON STOCKS -- (2.5%) Aboitiz Equity Ventures, Inc. 7,803,400 705,138 Ayala Corp. Series A 850,070 5,842,676 Ayala Land, Inc. 27,511,576 3,867,503 Bank of the Philippine Island 4,641,373 4,113,276 Equitable PCI Bank, Inc. 2,217,300 2,110,226 * Filipina Water Bottling Corp. 2,006,957 0
11 Metro Bank and Trust Co. 4,584,435 2,471,000 Petron Corp. 28,593,000 1,725,646 Philippine Long Distance Telephone Co. 347,030 9,389,585 SM Prime Holdings, Inc. 29,223,000 4,059,262 Union Bank of the Philippines 419,500 218,894 ---------------- TOTAL -- PHILIPPINES (Cost $41,776,760) 34,503,206 ---------------- POLAND -- (2.4%) COMMON STOCKS -- (2.4%) * Agora SA 98,779 1,987,712 Bank Polska Kasa Opieki -- Grupa Pekao SA 156,792 6,316,804 Bank Przemyslowo Handlowy BPH 31,526 4,776,577 Bank Zackodni WBK SA 93,312 2,543,552 Big Bank Gdanski SA 2,029,541 1,874,987 Browary Zywiec SA 15,860 2,359,684 * Budimex SA 36,763 537,420 * Cersanit-Krasnystaw SA 19,143 611,528 Debica SA 19,800 485,598 Frantschach Swiecie SA 103,599 1,447,415 * Kredyt Bank SA 418,562 1,161,463 Netia Holdings SA 495,665 558,232 * Optimus Technologie 6,873 14,259 Orbis SA 77,409 522,323 Polski Koncern Naftowy Orlen SA 267,237 3,623,950 * Prokom Software SA 21,336 603,706 Telekomunikacja Polska SA 712,274 3,941,839 Zaklady Metali Lekkich Kety SA 15,120 491,660 ---------------- TOTAL -- POLAND (Cost $20,586,160) 33,858,709 ---------------- ARGENTINA -- (1.7%) COMMON STOCKS -- (1.7%) Acindar Industria Argentina de Aceros SA Series B 899,000 1,879,116 * Alpargatas SA Industrial y Comercial 1,078 1,297 Alto Palermo SA Series A 5,000 11,045 Banco del Sud Sociedad Anonima Series B 29,000 38,722 * Banco Frances del Rio de la Plata SA 489,961 1,088,745 * Capex SA Series A 52,893 100,270 Celulosa Argentina SA Series B 18,750 22,130 * Central Costanera SA Series B 114,100 127,900 * Central Puerto SA Series B 16,000 9,073 * Garovaglio y Zorraquin SA 28,000 4,800 * Gas Natural SA, Buenos Aires 345,000 227,486 * Grupo Financiero Galicia SA Series B 150,000 123,633 * IRSA Inversiones y Representaciones SA 657,649 784,887 * Juan Minetti SA 353,151 387,712 Ledesma S.A.A.I. 242,632 142,388
12 * Metrogas SA Series B 543,115 241,730 * Molinos Rio de la Plata SA Series B 694,833 1,065,217 * Perez Companc SA 2,329,901 2,703,864 * Renault Argentina SA 399,465 108,652 Siderar S.A.I.C. Series A 721,484 5,280,613 Solvay Indupa S.A.I.C. 555,366 750,702 * Telecom Argentina Stet-France SA Series B 977,000 2,264,407 Tenaris SA 653,898 4,311,662 * Transportadora de Gas del Sur SA Series B 1,028,000 1,220,114 ---------------- TOTAL COMMON STOCKS (Cost $24,666,515) 22,896,165 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Argentine Peso 261,567 ---------------- (Cost $256,447) TOTAL -- ARGENTINA (Cost $24,922,962) 23,157,732 ---------------- INDIA -- (1.5%) COMMON STOCKS -- (1.5%) * Arvind Mills, Ltd. 18,986 61,552 * ASEA Brown Boveri, Ltd. 5,549 164,808 * Ashok Leyland, Ltd. 142,358 77,787 * Asian Paints (India), Ltd. 15,554 136,426 Aventis Pharma, Ltd. 2,238 65,808 * Bajaj Auto, Ltd. 6,338 177,601 * Bharat Earth Movers, Ltd. 3,595 54,866 * Bharat Forge, Ltd. 2,427 75,455 * Biocon, Ltd. 9,717 95,450 * Cadila Healthcare, Ltd. 5,103 56,558 * Cipla, Ltd. 24,613 162,538 * Colgate-Palmolive (India), Ltd. 11,162 55,974 * Crompton Greaves, Ltd. 5,089 54,699 * Dr. Reddy's Laboratories, Ltd. 23,214 382,927 * Glaxosmithkline Pharmaceuticals, Ltd. 11,432 198,369 * Great Eastern Shipping Co., Ltd. 36,320 129,595 * Gujarat Ambuja Cements, Ltd. 14,366 148,832 * HCL Technologies, Ltd. 34,977 291,632 HDFC Banking, Ltd. 92,565 1,138,848 * Hero Honda Motors, Ltd. Series B 41,808 527,741 * Hindustan Lever, Ltd. 417,111 1,364,595 * I-Flex Solutions, Ltd. 18,868 307,902 * Indian Hotels Co., Ltd. 8,770 133,873 Indian Petrochemicals Corp., Ltd. 41,340 154,124 * Indian Rayon & Industries, Ltd. 5,819 59,184 * Industrial Development Bank of India, Ltd. 85,476 182,428 * Infosys Technologies, Ltd. 82,467 4,241,466 * ITC, Ltd. 37,604 1,372,143 * Jindal Steel & Power, Ltd. 2,992 62,663 * Jindal Vijaynagar Steel, Ltd. 19,819 142,674 * Jubilant Organsys, Ltd. 2,601 55,561
13 * Larsen & Toubro, Ltd. 10,664 255,190 * Mahindra & Mahindra, Ltd. 26,845 313,600 * Maruti Udyog, Ltd. 37,828 403,069 * Matrix Laboratories, Ltd. 14,545 61,289 * Moser Baer (India), Ltd. 11,441 55,994 * Motor Industries Co., Ltd. 3,520 173,385 * Nicholas Piramal India, Ltd. 9,850 55,655 * Nirma, Ltd. 7,714 69,369 * Patni Computer Systems, Ltd. 19,208 152,770 * Ranbaxy Laboratories, Ltd. 37,255 937,364 Raymond, Ltd. 7,347 57,491 * Satyam Computer Services, Ltd. 101,831 1,058,054 * Sesa Goa, Ltd. 3,825 57,196 * Siemens India, Ltd. 4,338 199,281 * Sterlite Industries (India), Ltd. Series A 16,881 232,702 * Sun Pharmaceuticals Industries, Ltd. 25,252 302,720 * Tata Chemicals, Ltd. 17,655 71,926 * Tata Consultancy Services 31,845 969,430 * Tata Iron & Steel Co., Ltd. 72,467 600,725 * Tata Motors, Ltd. 89,716 887,023 * Tata Tea, Ltd. 11,253 147,517 * Tata Teleservices Maharashtra, Ltd. 229,010 135,191 UTI Bank, Ltd. 42,054 230,084 * Videsh Sanchar Nigam, Ltd. 31,313 148,808 * Wipro, Ltd. 50,702 826,971 * Wockhardt, Ltd. 7,465 62,175 * Zee Telefilms, Ltd. Series B 69,127 219,560 ---------------- TOTAL -- INDIA (Cost $20,211,656) 20,818,618 ---------------- CZECH REPUBLIC -- (0.6%) COMMON STOCKS -- (0.6%) Cesky Telecom A.S. 146,147 2,736,273 CEZ A.S. 222,890 3,779,222 Komercni Banka A.S. 15,737 1,941,621 Phillip Morris CR A.S. 478 332,388 * Zentiva NV 3,470 115,093 ---------------- TOTAL -- CZECH REPUBLIC (Cost $6,006,278) 8,904,597 ----------------
14
FACE AMOUNT VALUE + ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (0.4%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $5,486,000 FNMA Notes 2.95%, 11/14/07, valued at $5,479,143) to be repurchased at $5,398,433 $ 5,398 5,398,000 ---------------- (Cost $5,398,000) TOTAL INVESTMENTS -- (100.0%) (Cost $981,452,218) $ 1,387,657,554 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 15 THE EMERGING MARKETS SMALL CAP SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE + ---------------- ---------------- TAIWAN -- (12.2%) COMMON STOCKS -- (12.1%) Ability Enterprise Co., Ltd. 66,197 $ 30,434 Abit Computer Co., Ltd. 131,260 6,361 * Accton Technology Corp. 354,000 178,445 Advantech Co., Ltd. 179,902 423,697 Altek Corp. 16,800 16,601 * Ambassador Hotel 136,000 110,355 Amtran Technology Co., Ltd. 122,216 62,420 * Arima Computer Corp. 582,000 140,584 Asia Polymer Corp. 44,280 20,621 * Askey Computer Co., Ltd. 183,321 103,601 Audix Co., Ltd. 18,942 22,245 * Aurora Corp. 52,250 31,454 Avermedia Technologies, Inc. 30,844 30,288 Avision, Inc. 25,030 12,732 Bank of Kaohsiung Co., Ltd. 276,966 185,034 Basso Industry Corp., Ltd. 72,600 175,779 * Behavior Tech Computer Corp. 117,000 41,291 * Bes Engineering Corp. 455,572 63,542 * Carnival Industrial Corp. 95,000 20,055 Catcher Co., Ltd. 149,692 779,691 Cathay Real Estate Development Co., Ltd. 439,753 184,204 * Central Insurance Co., Ltd. 63,600 19,752 Central Reinsurance Co., Ltd. 69,133 27,811 Cheng Loong Corp. 745,330 232,047 Cheng Uei Precision Industry Co., Ltd. 193,320 534,738 * Chia Hsin Cement Corp. 327,000 119,368 * Chia Hsin Food & Synthetic Fiber Co., Ltd. 153,330 13,406 Chicony Electronics Co., Ltd. 227,639 226,432 * Chien Shing Stainless Steel Co., Ltd. 56,000 9,141 * China General Plastics Corp. 76,000 21,713 * China Life Insurance Co., Ltd. 362,418 154,188 * China Man-Made Fiber Co., Ltd. 1,081,280 463,579 China Metal Products Co., Ltd. 23,705 19,589 * China Petrochemical Development Corp. 1,078,000 256,732 * China Rebar Co., Ltd. 126,800 10,668 China Steel Chemical Corp. 86,552 131,274 * China Synthetic Rubber Corp. 59,987 19,917 * China United Trust & Investment Corp. 138,100 16,979 Chin-Poon Industrial Co., Ltd. 36,809 20,250 * Chou Chin Industrial Co., Ltd. 42,180 0 Chroma Ate, Inc. 57,954 50,619 * Chun Yu Works & Co., Ltd. 69,000 16,855 Chun Yuan Steel Industrial Co., Ltd. 193,000 111,278
1 Chung Hsin Electric & Machinery Co., Ltd. 120,000 51,721 Chung Hwa Pulp Corp. 226,594 76,398 Clevo Co. 84,381 28,957 * Compal Commun 282,250 768,600 * Compeq Manufacturing Co., Ltd. 665,000 220,505 Continental Engineering Corp. 488,979 217,263 * Cosmos Bank Taiwan 768,000 364,625 CTCI Corp. 227,663 120,311 Der Pao Construction Co., Ltd. 78,000 17,540 D-Link Corp. 628,271 758,095 Edom Technology Co., Ltd. 14,160 11,676 Elan Microelectronincs Corp. 82,784 40,212 Elite Semiconductor Memory Technology, Inc. 111,600 199,367 Elitegroup Computer Systems Co., Ltd. 484,250 308,316 * Enlight Corp. 53,000 16,838 * EnTie Commercial Bank 1,345,246 463,816 Epistar Corp. 38,030 57,433 * ET Internet Technology Corp. 475,114 188,882 Eternal Chemical Co., Ltd. 284,700 190,740 * Everest Textile Co., Ltd. 115,360 25,661 Evergreen International Storage & Transport Corp. 775,000 295,154 Everlight Chemical Industrial Corp. 65,000 19,785 Everlight Electronics Co., Ltd. 140,004 177,694 * Everspring Industry Co., Ltd. 51,000 11,492 Far East Department Stores, Ltd. 628,000 344,038 * Far Eastern International Bank 492,000 267,886 Federal Corp. 77,229 41,309 Feng Hsin Iron & Steel Co., Ltd. 439,180 423,630 Feng Tay Enterprise Co., Ltd. 284,468 315,703 * FIC Global, Inc. 142,875 17,323 First Copper Technology Co., Ltd. 62,000 15,923 Formosa International Hotels Corp. 49,500 82,614 Formosa Taffeta Co., Ltd. 1,239,000 604,651 * Formosan Rubber Group, Inc. 68,000 27,307 Giant Manufacture Co., Ltd. 188,170 305,190 * Giga Storage Corp. 43,859 13,578 Giga-Byte Technology Co., Ltd. 696,000 762,667 Globe Union Industrial Corp. 77,855 95,247 * Gold Circuit Electronics, Ltd. 77,446 34,775 * Goldsun Development & Construction Co., Ltd. 449,000 105,281 * Grand Pacific Petrochemical Corp. 115,000 33,441 Great China Metal Industry Co., Ltd. 63,000 30,959 Great Taipei Gas Co., Ltd. 97,000 39,684 Great Wall Enterprise Co., Ltd. 64,890 18,796 Greatek Co., Ltd. 149,701 146,931 Hey Song Corp. 96,000 29,359 Ho Tung Holding Corp. 153,486 35,395 * Hocheng Corp. 71,000 17,348 Hotai Motor Co., Ltd. 179,000 404,273 Hsin Kuang Steel Co., Ltd. 25,854 25,133 * Hsinchu International Bank 579,700 339,765 Hsing Ta Cement Co., Ltd. 103,000 29,879 Hua Eng Wire & Cable Co., Ltd. 113,565 21,834 Hung Poo Construction Corp. 76,000 54,211
2 * Hung Sheng Construction Co., Ltd. 263,000 133,844 Ichia Technologies, Inc. 137,905 135,911 Infortrend Technology, Inc. 100,900 212,318 * K Laser Technology, Inc. 20,343 11,380 * Kao Hsing Chang Iron & Steel Corp. 101,000 26,997 Kaulin Manufacturing Co., Ltd. 18,400 18,106 Kendra Rubber Industrial Co., Ltd. 184,872 125,171 King Yuan Electronics Co., Ltd. 583,386 529,483 * Kingdom Construction Co., Ltd. 107,000 25,329 * King's Town Construction Co., Ltd. 65,000 102,381 Kinpo Electronics, Inc. 1,005,560 434,636 Knowledge-Yield-Excellence Systems Corp. 25,966 19,119 Largan Precision Co., Ltd. 85,000 584,481 * Lead Data Co., Ltd. 86,920 15,044 * Lealea Enterprise Co., Ltd. 110,000 14,453 Lee Chang Yung Chemical Industry Corp. 180,075 92,162 * Lelon Co., Ltd. 29,170 11,310 * Leofoo Development Co., Ltd. 35,000 20,994 Li Shin International Enterprise Corp. 26,544 14,035 Lien Hwa Industrial Corp. 273,000 92,212 Lingsen Precision Industries, Ltd. 45,000 17,417 Long Bon Development Co., Ltd. 98,000 26,991 Long Chen Paper Co., Ltd. 89,000 22,468 Lucky Cement Corp. 97,000 22,022 * Macronix International Co., Ltd. 4,841,000 757,840 Meiloon Co., Ltd. 52,533 36,518 Mercuries & Associates, Ltd. 112,455 28,479 Mercuries Data Co., Ltd. 52,504 15,241 Merry Electronics Co., Ltd. 50,924 120,133 * Microelectronics Technology, Inc. 77,000 30,756 Micro-Star International Co., Ltd. 463,700 360,165 Mitac International Corp. 845,000 899,553 Mustek Systems, Inc. 39,600 10,789 * Nankang Rubber Tire Co., Ltd. 123,000 113,968 National Petroleum Co., Ltd. 104,824 85,360 Nien Hsing Textile Co., Ltd. 493,000 411,795 Nien Made Enterprise Co., Ltd. 218,642 350,332 Optimax Technology Corp. 124,336 302,895 * Opto Tech Corp. 61,000 13,966 * Orient Semiconductor Electronics, Ltd. 226,487 19,569 Oriental Union Chemical Corp. 545,821 496,117 * Pacific Electric Wire & Cable Corp. 726,000 12,036 Pan Jit International, Inc. 37,000 18,416 Pan Overseas Electronics Co., Ltd. 68,407 16,764 * Pan-International Industrial Corp. 226,250 320,669 Phihong Technology Co., Ltd. 41,635 12,480 Phoenix Precision Technology Corp. 334,583 331,958 Phoenixtec Power Co., Ltd. 292,725 291,894 * Picvue Electronics, Ltd. 181,900 20,709 Pihsiang Machinery Mfg. Co., Ltd. 109,440 233,134 Premier Image Technology Corp. 434,550 482,596 Primax Electronics, Ltd. 61,186 14,636 * Prince Housing & Development Corp. 223,000 56,594 * Procomp Informatics, Ltd. 21,675 0
3 Prodisc Technology, Inc. 377,199 127,432 * Q-Run Technology Co., Ltd. 212,400 800,401 * Radium Life Tech Corp. 33,000 16,938 Realtek Semiconductor Corp. 811,000 821,163 Ritek Corp. 2,446,000 857,695 * Ruentex Development Co., Ltd. 140,000 28,675 * Ruentex Industries, Ltd. 426,000 173,494 Sampo Corp. 459,900 79,823 * San Fang Chemical Industry Co., Ltd. 44,770 25,782 Sanyang Industrial Co., Ltd. 430,000 187,852 Sanyo Electric Co., Ltd. 56,000 30,007 Senao International Co., Ltd. 34,133 13,795 Sheng Yu Steel Co., Ltd. 212,980 222,799 Shihlin Electric & Engineering Corp. 301,000 215,440 * Shihlin Paper Corp. 56,000 39,407 * Shinkong Synthetic Fibers Co., Ltd. 765,000 159,879 Shuttle, Inc. 35,250 18,101 * Silicon Integrated Systems Corp. 942,608 511,444 Sincere Navigation Corp. 244,391 265,092 * Sinkong Spinning Co., Ltd. 60,000 21,264 * Sintek Photronics Corp. 337,450 146,765 Sinyi Realty, Inc. 26,000 56,295 * Solomon Technology Corp. 90,000 17,440 * Southeast Cement Co., Ltd. 98,700 19,490 Springsoft, Inc. 85,825 171,565 Stark Technology, Inc. 45,100 21,846 Sunonwealth Electric Machine Industry Co., Ltd. 44,719 18,903 Sunrex Technology Corp. 91,849 96,064 Systex Corp., Ltd. 558,348 183,239 Ta Chen Stainless Pipe Co., Ltd. 25,000 12,235 * Ta Chong Bank 888,212 266,184 Ta Ya Electric Wire & Cable Co., Ltd. 92,220 28,260 * Taichung Commercial Bank 1,137,000 323,296 * Tainan Business Bank 424,000 157,309 Tainan Enterprises Co., Ltd. 28,000 35,963 Tainan Spinning Co., Ltd. 1,073,000 246,268 Taiwan Acceptance Corp. 38,480 38,544 Taiwan Fire & Marine Insurance Co., Ltd. 72,695 35,249 Taiwan Fu Hsing Industrial Co., Ltd. 30,000 35,136 Taiwan Green Point Enterprises Co., Ltd. 130,899 491,623 Taiwan Hon Chuan Enterprise Co., Ltd. 20,007 17,812 Taiwan Kai Yih Industrial Co., Ltd. 28,088 22,270 * Taiwan Kolin Co., Ltd. 90,000 24,008 Taiwan Life Insurance Co., Ltd 332,785 567,571 Taiwan Mask Corp. 49,720 22,517 Taiwan Navigation Co., Ltd. 158,176 117,408 Taiwan Polypropylene Co., Ltd. 120,586 95,055 Taiwan Secom 349,912 523,031 Taiwan Sogo Shinkong Security Co., Ltd. 46,053 27,570 Taiwan Styrene Monomer Corp. 278,000 146,796 * Taiwan Tea Corp. 220,917 33,796 Teco Electric & Machinery Co., Ltd. 1,552,000 449,688 Tecom, Ltd. 41,114 19,790 Test-Rite International Co., Ltd. 83,405 52,859
4 * The Chinese Bank 464,000 73,354 * The Farmers Bank of China 1,413,887 447,299 The First Insurance Co., Ltd. 56,000 28,767 Ton Yi Industrial Corp. 790,280 196,122 Tong Yang Industry Co., Ltd. 339,558 486,033 Transcend Information, Inc. 197,649 505,848 Tsann Kuen Enterprise Co., Ltd. 62,930 73,269 TSRC Corp. 251,000 124,886 Tung Ho Steel Enterprise Corp. 595,167 378,622 * Twinhead International Corp. 60,504 9,704 TYC Brother Industrial Co., Ltd. 49,140 35,826 * Tycoons Group Enterprise Co., Ltd. 72,000 16,646 U-Ming Marine Transport Corp. 200,100 311,882 * Union Bank of Taiwan 1,338,488 410,151 * Union Insurance Co., Ltd. 99,203 22,822 * Unitech Printed Circuit Board Corp. 62,000 20,076 United Epitaxy Co., Ltd. 52,550 28,680 United Integration Service Co., Ltd. 48,481 51,822 * Universal Cement Corp. 70,560 24,967 Universal Scientific Industrial Co., Ltd. 353,550 134,089 UPC Technology Corp. 314,680 110,449 USI Corp. 379,000 124,654 * Via Technologies, Inc. 1,049,392 678,915 Walsin Technology Corp., Ltd. 100,788 54,339 Waterland Financial Holdings 682,000 286,293 * Wei Chuan Food Corp. 70,000 21,279 Weltrend Semiconductor, Inc. 34,529 12,950 Wintek Corp. 493,199 661,692 Wistron Corp. 595,938 418,998 World Peace Industrial Co., Ltd. 102,287 58,648 Wus Printed Circuit Co., Ltd. 138,064 49,001 Ya Hsin Industrial Co., Ltd. 575,316 540,523 * Yageo Corp. 2,485,000 938,817 Yeung Cyang Industrial Co., Ltd. 29,016 20,973 Yieh Phui Enterprise Co., Ltd. 1,218,457 622,394 Yosun Industrial Corp. 21,227 14,453 Yuen Foong Yu Paper Manufacturing Co., Ltd. 1,661,972 628,338 Yung Chi Paint & Varnish Manufacturing Co., Ltd. 28,672 37,519 Yung Shin Pharmaceutical Industrial Co., Ltd. 86,000 85,779 Yung Tay Engineering Co., Ltd. 127,000 66,294 Zig Sheng Industrial Co., Ltd. 73,840 20,319 Zinwell Corp. 26,106 27,371 Zyxel Communication Corp. 201,692 509,328 ---------------- TOTAL COMMON STOCKS (Cost $39,300,564) 41,513,126 ---------------- INVESTMENT IN CURRENCY -- (0.1%) * Taiwan Dollar 309,643 ---------------- (Cost $309,563) TOTAL -- TAIWAN (Cost $39,610,127) 41,822,769 ----------------
5 SOUTH KOREA -- (12.1%) COMMON STOCKS -- (12.1%) * Anam Semiconductor, Inc. 132,743 279,086 Asia Cement Manufacturing Co., Ltd. 1,243 41,904 Bing Grae Co., Ltd. 4,980 197,917 Bu Kwang Pharmaceutical Co., Ltd. 10,550 152,664 Byuck San Engineering and Construction Co., Ltd. 8,750 42,759 * Capro Corp. 11,440 56,618 Cheil Communications, Inc. 3,257 552,131 Cheil Industrial, Inc. 33,120 544,889 Chong Kun Dang Pharmaceutical Corp. 2,950 36,591 Choongwae Pharmaceutical Corp. 1,877 45,676 Chungho Comnet Co., Ltd. 720 8,513 * Comtec Systems Co., Ltd. 2,000 2,464 * Dacom Corp. 9,430 90,572 * Dae Ho Corp. 543 70 Dae Sang Corp. 17,680 82,817 Dae Won Kang Up Co., Ltd. 1,740 31,910 Daeduck Electronics Co., Ltd. 22,437 177,591 Daeduck Industries Co., Ltd. 7,526 70,877 Daegu Bank Co., Ltd. 85,030 663,905 Daehan City Gas Co., Ltd. 2,621 60,040 Daehan Flour Mills Co., Ltd. 470 38,912 Daesung Industrial Co., Ltd. 1,690 51,176 Daewoo International Corp. 73,740 1,083,557 Daewoo Motor Sales Corp. 13,190 150,242 Daewoo Precision Industries Co., Ltd. 2,800 43,868 * Daewoo Securities Co., Ltd. 179,550 1,188,861 Daewoong Co., Ltd. 4,686 43,904 Daewoong Pharmaceutical Co., Ltd. 3,630 83,820 Daishin Securities Co., Ltd. 32,790 417,818 * Daou Technology, Inc. 7,000 11,090 DC Chemical Co., Ltd. 11,486 234,188 * Dong Ah Tire Industrial Co., Ltd. 7,555 37,486 Dong Bu Insurance Co., Ltd. 52,320 442,763 Dong-A Pharmaceutical Co., Ltd. 3,293 122,486 Dongbu Corp. 9,050 104,776 Dongbu Hannong Chemical Co., Ltd. 2,920 50,031 Dongbu Steel Co., Ltd. 11,230 114,937 Dongkuk Steel Mill Co., Ltd. 53,347 872,200 * Dongsu Industrial Co., Ltd. 2,870 34,087 Dongwon F&B Co., Ltd. 900 47,972 Dongwon Financial Holding Co., Ltd. 36,158 606,340 Dongyang Mechatronics Corp. 7,020 24,414 * Doosan Corp. 10,640 112,304 Doosan Heavy Industries & Construction Co., Ltd. 60,280 829,732 * Doosan Industrial Development Co., Ltd. 61,780 305,149 * Eastel Systems Corp. 32,127 45,876 * Firstech Co., Ltd. 29,210 45,275 * FNC Kolon Corp. 2,264 16,184 Fursys, Inc. 2,880 45,573 Global Enterprise Co., Ltd. 9,345 45,931 Green Cross Corp. 1,825 56,468
6 Hae In Co., Ltd. 5,964 11,572 Halla Climate Control Corp. 84,000 719,966 Halla Engineering & Construction Corp. 2,360 38,031 Han Kuk Carbon Co., Ltd. 7,903 21,655 Han Wha Corp. 58,570 947,580 Hana Securities Co., Ltd. 5,930 60,616 Handok Pharmaceuticals Co., Ltd. 3,860 42,084 Handsome Corp. 13,420 144,168 Hanil Cement Manufacturing Co., Ltd. 4,168 230,581 Hanjin Heavy Industry Co., Ltd. 48,990 578,665 Hanjin Transportation Co., Ltd. 3,471 42,857 * Hankook Synthetics, Inc. 550 2,819 Hankuk Electric Glass Co., Ltd. 5,240 229,482 Hankuk Glass Industries, Inc. 7,800 447,137 Hankuk Paper Manufacturing Co., Ltd. 1,450 51,596 Hanmi Pharmaceutical Industrial Co, Ltd. 3,777 216,864 * Hansol Electronics Inc. 797 6,579 Hansol Paper Co., Ltd. 29,350 285,076 Hanssem Co., Ltd. 6,820 42,287 * Hansung Enterprise Co., Ltd. 620 2,895 Hanwha Chemical Corp. 93,200 998,651 Hanwha Securities Co., Ltd. 13,070 61,872 Hotel Shilla, Ltd. 15,138 103,270 Huchems Fine Chemical Corp. 5,616 28,956 * Hung Chang Co., Ltd. 6 38 Hyosung T & C Co., Ltd. 16,258 179,041 Hyundai Auton Co., Ltd. 106,390 370,253 Hyundai Cement Co., Ltd. 2,570 71,117 * Hyundai Corp. 6,515 41,872 Hyundai Department Store Co., Ltd. 17,410 822,183 Hyundai Department Store H & S Co., Ltd. 1,290 38,452 Hyundai Development Co. 39,110 823,759 Hyundai Elevator Co., Ltd. 3,394 145,239 Hyundai Hysco 59,570 710,931 Hyundai Marine & Fire Insurance Co., Ltd. 50,050 274,418 * Hyundai Merchant Marine Co., Ltd. 65,410 1,036,331 Hyundai Mipo Dockyard Co., Ltd. 15,098 949,708 * Hyundai Securities Co., Ltd. 94,129 633,917 Iljin Diamond Co., Ltd. 1,272 12,322 * Iljin Display Co., Ltd. 728 7,957 Iljin Electric, Ltd. 9,150 21,866 Ilshin Spinning Co., Ltd. 380 15,501 * Inchon Oil Refinery Co., Ltd. 373 20 ISU Chemical Co., Ltd. 1,530 16,141 Isupetasys Co., Ltd. 7,160 12,241 Jahwa Electronics Co., Ltd. 6,230 51,201 Jeonbuk Bank, Ltd. 8,847 41,561 * Jindo Corp. 500 2,791 K.C. Tech Co., Ltd. 6,000 28,264 * Keang Nam Enterprises Co., Ltd. 3,380 29,580 KEC Corp. 30,350 46,730 * Kolon Industries, Inc. 5,090 36,980 * Kolon International Corp. 321 1,373 Korea Circuit Co. 7,800 40,018
7 * Korea Data Systems Co., Ltd. 35,000 3,805 Korea Development Co., Ltd. 4,980 101,143 * Korea Development Leasing Corp. 1,040 29,545 Korea Electric Terminal Co., Ltd. 3,530 45,598 Korea Fine Chemical Co., Ltd. 1,388 13,296 Korea Iron & Steel Co., Ltd. 5,230 114,013 Korea Iron & Steel Works Co., Ltd. 3,328 52,123 Korea Komho Petrochemical Co., Ltd. 16,940 300,317 Korea Line Corp. 5,130 151,635 Korea Petrochemical Industry Co., Ltd. 2,410 54,667 Korea Polyol Co., Ltd. 1,570 50,753 Korea Reinsurance Co., Ltd. 66,430 364,619 Korea Zinc Co., Ltd. 12,300 369,571 Korean Air Co., Ltd. 13,610 241,664 * KP Chemical Corp. 64,291 295,351 * KTB Network, Ltd. 17,000 51,160 Kukdong City Gas Co., Ltd. 1,740 38,503 Kumho Electronics Co., Ltd. 2,026 99,867 Kumho Industrial Co., Ltd. 23,950 299,217 Kwang Dong Pharmaceutical Co., Ltd. 12,880 35,877 Kyeryong Construction Industrial Co., Ltd. 3,400 71,034 Kyobo Securities Co., Ltd. 10,440 38,442 LG Ad Inc., Ltd. 4,120 75,587 LG Cable, Ltd. 25,270 603,562 LG Caltex Gas Co., Ltd. 1,980 60,891 LG Engineering & Construction Corp. 28,150 875,437 LG Household & Healthcare Co., Ltd. 8,720 320,541 LG Industrial Systems, Ltd. 19,410 377,823 LG Insurance Co., Ltd. 27,140 175,302 LG International Corp. 44,138 507,960 LG Investment & Securities Co., Ltd. 95,130 886,018 * LG Life Sciences, Ltd. 10,315 365,614 LG Petrochemical Co., Ltd. 26,470 643,479 Lotte Chilsung Beverage Co., Ltd. 1,032 963,960 Lotte Confectionary Co., Ltd. 1,240 885,112 Lotte Sam Kang Co., Ltd. 230 32,381 * Meritz Securities Co., Ltd. 2,940 9,142 * Midopa Co., Ltd. 41,650 252,020 Namhae Chemical Corp. 13,104 29,123 Namyang Dairy Products Co., Ltd. 340 143,983 Nong Shim Holdings Co., Ltd. 780 60,350 Oriental Fire & Marine Insurance Co., Ltd. 2,750 53,940 ORION Corp. 4,310 619,632 Ottogi Corp. 990 77,530 Pacific Industries, Inc. 2,100 29,837 * Pantech Co., Ltd. 8,690 42,191 Pohang Coated Steel Co., Ltd. 1,760 48,900 Poong San Corp. 16,810 211,212 Pulmuone Co., Ltd. 2,030 70,387 Pusan Bank 97,000 824,810 Pusan City Gas Co., Ltd. 3,000 54,454 Pyung Hwa Industrial Co., Ltd. 6,170 29,600 S1 Corp. 15,730 642,981 * Saehan Industries, Inc. 7,440 17,420
8 Samchully Co., Ltd. 2,000 158,140 Samlip Industrial Co., Ltd. 4,560 27,267 Samsung Engineering Co., Ltd. 21,090 214,558 Samsung Fine Chemicals Co., Ltd. 14,950 289,464 Samsung Techwin Co., Ltd. 51,810 473,311 Samwhan Corp. 2,900 35,508 Samyang Corp. 4,730 171,068 * Samyang Foods Co., Ltd. 1,530 29,461 Samyang Genex Co., Ltd. 220 9,671 Samyoung Corp. 2,170 33,962 Samyoung Electronics Co., Ltd. 5,800 38,354 Seah Holdings Corp. 880 35,552 Seah Steel Corp. 1,170 33,819 Sejong Securities Co., Ltd. 3,659 16,597 Seondo Electric Co., Ltd. 4,400 7,174 Seoul City Gas Co., Ltd. 2,750 85,619 Seoul Securities Co., Ltd. 19,500 65,993 Shin Young Securities Co., Ltd. 2,620 44,174 * Shindongbang Corp. 1,696 12,703 * Shin-Ho Paper Manufacturing Co., Ltd. 5,830 29,091 Shinmoorim Paper Manufacturing Co., Ltd. 2,858 28,658 Shinsung Engineering Co., Ltd. 11,880 37,698 Sindo Ricoh Co., Ltd. 7,510 422,348 SK Chemicals Co., Ltd. 5,140 59,498 SK Gas Co., Ltd. 3,580 102,899 * SKC Co., Ltd. 14,290 121,935 * Ssang Bang Wool Co., Ltd. 6,950 20,606 * Ssangyong Cement Industry Co., Ltd. 180,970 229,322 * Ssangyong Motor Co. 88,310 608,725 STX Corp. 8,858 165,250 STX Engine Co., Ltd. 4,692 49,449 Suheung Capsule Co., Ltd. 1,900 13,602 Sung Shin Cement Co., Ltd. 10,040 197,620 * Sunkyong Securities Co., Ltd. 149,540 172,773 Tae Kwang Industrial Co., Ltd. 670 405,476 Tae Young Corp. 3,274 111,449 Taegu Department Store Co., Ltd. 3,130 26,405 Tai Han Electric Wire Co., Ltd. 19,511 214,562 * Tong Yang Investment Bank 49,860 195,498 Tongil Heavy Industries Co., Ltd. 46,780 47,565 * Trigem Computer, Inc. 21,159 24,467 Union Steel Manufacturing Co., Ltd. 5,292 171,228 Woongjin Coway Co., Ltd. 9,270 138,313 Woongjin.Com Co., Ltd. 6,810 35,998 Youlchon Chemical Co., Ltd. 8,890 110,450 * Young Poong Mining & Construction Corp. 1,580 86 Youngone Corp. 18,210 61,859 Youngpoong Corp. 540 54,224 Yuhan Corp. 5,295 488,390 ---------------- TOTAL -- SOUTH KOREA (Cost $27,932,788) 41,164,696 ----------------
9 SOUTH AFRICA -- (11.7%) COMMON STOCKS -- (11.7%) ADCorp Holdings, Ltd. 43,285 111,457 Advtech, Ltd. 120,000 24,305 Aeci, Ltd. 113,735 713,807 Afgri, Ltd. 394,599 297,065 African Life Assurance Co., Ltd. 165,518 544,083 African Oxygen, Ltd. 229,102 859,042 * Afrikander Lease, Ltd. 309,187 182,824 AG Industries, Ltd. 107,512 49,740 Alexander Forbes, Ltd. 575,600 957,199 Allied Electronics Corp., Ltd. 99,058 254,482 Allied Technologies, Ltd. 123,419 743,243 Amalgamated Appliance Holdings, Ltd. 191,501 136,424 * Anglovaal Mining, Ltd. 345,181 1,705,975 Argent Industrial, Ltd. 62,038 93,505 Aspen Pharmacare Holdings PLC 338,902 1,241,432 Astral Foods, Ltd. 50,147 464,078 Aveng, Ltd. 367,622 623,792 AVI, Ltd. 293,586 536,673 Bearing Man, Ltd. 69,024 74,380 * Bell Equipment, Ltd. 73,476 93,212 Brandcorp Holdings, Ltd. 43,383 51,436 * Business Connexion Group, Ltd. 229,687 162,036 Bytes Technology Group, Ltd. 157,376 177,502 Capitec Bank Holdings, Ltd. 56,781 129,512 Cashbuild, Ltd. 23,796 131,222 Caxton & CTP Publishers & Printers, Ltd. 538,807 861,091 Ceramic Industries, Ltd. 19,849 278,629 City Lodge Hotels, Ltd. 41,634 236,204 Connection Group Holdings, Ltd. 26,487 37,413 Corpcapital, Ltd. 241,136 9,559 * Cullinan Holdings, Ltd. 10,000 781 * Datacentrix Holdings, Ltd. 162,198 68,712 * Datatec, Ltd. 129,943 223,316 Delta Electrical Industries, Ltd. 45,094 261,847 * Dimension Data Holdings PLC 1,623,030 941,968 Distell Group, Ltd. 230,733 813,776 Distribution & Warehousing Network, Ltd. 160,606 134,193 Dorbyl, Ltd. 26,530 157,584 * Durban Roodeport Deep, Ltd. 223,484 253,203 Ellerine Holdings, Ltd. 138,298 1,015,750 Enviroserv Holdings, Ltd. 64,500 33,949 Famous Brands, Ltd. 42,836 41,513 Foschini, Ltd. 168,564 907,257 * Frontrange, Ltd. 116,544 84,118 Gold Reef Casino Resorts, Ltd. 235,403 470,627 Grindrod, Ltd. 110,283 778,168 Group Five, Ltd. 58,867 117,557 Highveld Steel & Vanadilum Corp., Ltd. 170,284 1,868,877 Hudaco Industries, Ltd. 32,410 178,506 Iliad Africa, Ltd. 150,725 220,522 Illovo Sugar, Ltd. 311,402 379,701
10 Investec, Ltd. 61,734 1,773,851 * JCI, Ltd. 1,622,051 68,817 Johnic Communications, Ltd. 159,965 892,386 M Cubed Holdings, Ltd. 385,000 24,874 Medi-Clinic Corp., Ltd. 421,569 981,195 Metair Investment, Ltd. 6,133 207,266 * Metorex, Ltd. 233,200 125,547 Metropolitan Holdings, Ltd. 627,031 877,848 Mr. Price Group, Ltd. 293,245 520,585 Murray & Roberts Holdings, Ltd. 315,729 635,099 Mustek, Ltd. 20,612 31,275 Mvelaphanda Group, Ltd. 211,861 199,224 New Clicks Holdings, Ltd. 395,048 435,570 Northam Platinum, Ltd. 246,757 389,913 Nu-World Holdings, Ltd. 11,932 49,889 Oceana Group, Ltd. 110,362 214,006 Omnia Holdings, Ltd. 44,132 256,101 * Palabora Mining Co., Ltd. 20,554 113,925 Peregrine Holdings, Ltd. 218,856 131,784 Primedia, Ltd. N Shares 242,078 405,095 PSG Group, Ltd. 110,387 129,893 Rainbow Chicken, Ltd. 301,146 315,504 * Randgold & Exploration Co., Ltd. 60,670 94,985 Redefine Income Fund, Ltd. 34,692 19,117 Reunert 196,516 1,058,043 * SA Chrome and Alloys 798,852 72,661 * Sage Group, Ltd. 201,897 45,134 Santam, Ltd. 103,921 931,087 Shoprite Holdings, Ltd. 676,148 1,399,784 Spur Corp., Ltd. 53,697 47,400 Sun International, Ltd. 118,612 1,116,046 Super Group, Ltd. 487,656 812,605 Tiger Wheels, Ltd. 55,166 199,156 Tongaat-Hulett Group, Ltd. 170,160 1,476,295 Tourism Investment 647,510 137,034 Trans Hex Group, Ltd. 92,930 232,993 Trencor, Ltd. 191,076 558,636 Truworths International, Ltd. 449,776 1,108,406 UCS Group, Ltd. 144,872 24,620 Unitrans Ltd 65,023 309,931 Value Group, Ltd. 49,189 12,996 * Western Areas, Ltd. 163,102 537,613 Wilson Bayly Holme 54,508 216,357 ---------------- TOTAL -- SOUTH AFRICA (Cost $36,033,034) 39,923,793 ----------------
11 BRAZIL -- (11.7%) PREFERRED STOCKS -- (10.8%) Acesita SA 97,876 1,287,276 Banco Mercantil do Brasil SA 130,000 16,186 Centrais Electricas de Santa Catarin Celesc Series B 1,309,000 472,642 Companhia Brasileira de Petroleo Ipiranga SA 60,800 667,172 Confab Industrial SA 555,000 773,936 Coteminas Cia Tecidos Norte de Minas 6,977,102 602,298 Distribuidora de Produtos de Petroleo Ipiranga SA 3,900 61,507 Duratex SA 17,300,000 789,790 * Electropaulo Electrecidade Metropolitana 49,450,000 1,918,894 Embraco SA 262,000 97,863 * Embratel Participacoes SA 443,600,000 942,615 * Empressa Metropolitanade Aguas e Energia SA 24,000,000 52,592 Energetica do Ceara Coelce 98,000,000 191,160 ENERSUL Empresa Energetjica de Mato Grosso do Sul SA Series B 13,156,000 73,711 Fertibras SA 3,400 33,866 Forca Luz Cataguazes Leopoldina Series A 23,400,000 12,916 Forjas Taurus SA 88,000 41,270 Fras-Le Preferred 20,200 49,295 Globex Utilidades SA 42,468 188,149 * Gradiente Eletronica SA 2,600 12,409 * Industria de Bebidas Antarctica Polar SA 23,000 25,057 Industrias Romi SA 1,400 40,091 * Inepar SA Industria e Construcoes 79,900,001 39,129 Klabin SA 1,216,000 2,003,536 Lojas Americanas SA 115,490,369 2,109,455 Magnesita SA Series A 54,500,000 299,699 Magnesita SA Series C 202,338 1,238 Marcopolo SA 182,900 326,404 Metal Leve SA 6,600,000 373,895 Metalurgica Gerdau SA 130,853 1,813,858 * Net Servicos de Comunicacao SA 3,697,439 997,442 Paranaense de Energia Series B 409,200,000 2,343,623 * Paranapanema SA 238,300,000 707,136 Perdigao SA NPV 71,300 1,492,876 Random Implementos e Participacoes SA 162,500 418,137 Rasip Agro-Pastoril SA 51,000 5,080 Refinaria de Petroleo Ipiranga SA 12,300 288,472 Ripasa SA Papel e Celulose 584,200 865,571 Sadia SA 910,000 1,484,250 Santista Textil SA Preferred 16,400 119,112 Sao Pau Alpargatas SA 2,620,001 358,830 Saraiva Livreiros Editores 4,000 21,664 * Sharp SA Equipamentos Eletronicos 30,200,000 251 Suzano Bahia Sul Papel e Celullose SA 292,642 1,275,261 Suzano Petroquimica SA 30,000 57,398 Tele Celular Sul Participacoes SA 965,995,284 1,515,444 * Tele Centro Oeste Celular Participacoes SA 93,003 993,910 * Tele Leste Celular Participacoes SA 11,193 96,159 * Tele Norte Celular Participacoes SA 549,505,027 70,698 * Tele Sudeste Celular Participacoes SA 82,400 660,021 Telemig Celular Participacoes SA 466,590,371 762,966 * Tim Sul Prefered Receipts 465,785 21,071 Tim Sul SA Preferred Series B 24,690,000 1,116,916 Ultrapar Participants 138,130,353 2,379,660 Uniao des Industrias Petroquimicas SA Series B 1,074,144 1,328,470
12 * Varig Participacoes Em Transportes 122,026 456 * Varig Particpacoes Em Servicos 116,823 144 * Varig SA Viacao Aerea Riograndense 16,000 10,425 Weg SA 726,800 2,204,984 ---------------- TOTAL PREFERRED STOCKS (Cost $25,429,586) 36,914,336 ---------------- COMMON STOCKS -- (0.9%) Acesita SA 4,290 60,179 Acos Villares SA Avil 120,000 17,630 Avipal SA Avicultura e Agropecua 93,900,000 307,500 Copesul Companhia Petroquimica do Sul 182,000 2,409,546 Eternit SA 1,200 17,984 Metalurgica Gerdau SA 1,938 25,658 * Rhodia Ster SA 640,780 50,528 Sao Paulo Alpargatas SA 510,000 73,553 ---------------- TOTAL COMMON STOCKS (Cost $1,278,647) 2,962,578 ---------------- TOTAL -- BRAZIL (Cost $26,708,233) 39,876,914 ---------------- MALAYSIA -- (10.6%) COMMON STOCKS -- (10.6%) * A&M Realty Berhad 32,500 11,974 ACP Industries Berhad 34,000 7,118 Affin Holdings Berhad 1,335,800 505,320 Amalgamated Industrial Steel Berhad 11,250 1,688 * AMBD Berhad 58,000 1,753 Amway (Malaysia) Holdings Berhad 382,300 668,357 Ann Joo Resources Berhad 179,000 74,400 * Anson Perdana Berhad 10,000 118 * Antah Holding Berhad 23,000 1,453 * Aokam Perdana Berhad 37 7 APM Automotive Holdings Berhad 147,300 93,533 * Arab Malaysia Corp. Berhad 558,000 159,919 Asas Dunia Berhad 16,000 3,195 * Asia Pacific Land Berhad 70,000 3,498 Asiatic Development Berhad 1,794,600 764,165 * Avenue Assets Berhad 254,000 35,937 Ayer Hitam Planting Syndicate Berhad 6,000 3,270 Bandar Raya Developments Berhad 922,800 283,588 Batu Kawan Berhad 302,400 469,734 * Berjaya Capital Berhad 391,000 85,385 Berjaya Land Berhad 620,600 130,628 Bernas Padiberas Nasional Berhad 650,000 216,762 Bimb Holdings Berhad 208,200 75,558 Bintai Kinden Corp. Berhad 16,000 4,286 Bolton Properties Berhad 96,000 23,981 Boustead Holdings Berhad 1,301,700 605,697 Cahya Mata Sarawak Berhad 153,000 50,708 * Camerlin Group Berhad 58,000 18,309
13 Carlsberg Brewery Malaysia Berhad 246,100 712,395 Cement Industries of Malaysia Berhad 48,800 17,463 Chemical Co. of Malaysia Berhad 231,800 145,833 Chin Teck Plantations Berhad 33,000 41,842 * Cosway Corp. Berhad 113,000 19,488 Courts Mammoth Berhad 177,000 53,502 Cycle & Carriage Bintang Berhad 15,000 11,642 * Damansara Realty Berhad 65,000 1,368 Datuk Keramik Holdings Berhad 24,000 253 Dijaya Corp. Berhad 96,000 20,216 Diperdana Corp. Berhad 4,000 1,788 Diversified Resources Berhad 704,300 255,481 DNP Holdings Berhad 34,000 5,275 * E&O Property Development Berhad 1,174,100 195,990 Eastern & Oriental Berhad 72,000 19,931 * Econstates Berhad 280,800 42,802 Edaran Otomobil Nasional Berhad 499,700 445,904 Esso Malaysia Berhad 183,500 121,716 Europlus Berhad 25,700 2,330 * Faber Group Berhad 16,000 2,123 Far East Holdings Berhad 23,700 26,307 * FCW Holdings Berhad 24,000 1,386 * Fountain View Development Berhad 808,200 83,654 Fraser & Neave Holdings Berhad 430,600 583,321 Globetronics Technology Berhad 1,090,500 107,428 Glomac Berhad 70,200 23,091 Gold IS Berhad 163,600 59,445 * Golden Hope Plantations Berhad Series A 792,682 604,942 * Golden Plus Holdings Berhad 16,000 1,833 * Gopeng Berhad 17,000 2,186 Guiness Anchor Berhad 713,200 984,807 * Gula Perak Berhad 170,975 9,882 Guthrie Ropel Berhad 35,900 34,190 Hap Seng Consolidated Berhad 752,300 419,387 Heitech Padu Berhad 26,000 14,914 Highlands and Lowlands Berhad 411,700 411,573 * HIL Industries Berhad 56,810 3,953 * HLG Capital Berhad 12,000 2,119 Hock Seng Lee Berhad 44,160 31,361 Hong Leong Industries Berhad 452,400 426,060 Hong Leong Properties Berhad 605,800 93,111 Hume Industries (Malaysia) Berhad 374,067 479,416 Hwang-DBS (Malaysia) Berhad 97,500 31,031 IGB Corp. Berhad 1,854,850 535,854 IJM Corp. Berhad 255,500 315,906 IJM Plantations Berhad 37,600 9,992 * Insas Berhad 226,000 17,817 Island & Peninsular Berhad 777,140 278,672 * Jaks Resources Berhad 1,000 384 Jaya Jusco Stores Berhad 291,400 344,655 Jaya Tiasa Holdings Berhad 283,600 149,041 * Johan Holdings Berhad 30,000 1,180 John Hancock Life Insurance (M) Berhad 100,800 60,888 Johor Port Berhad 476,300 225,505
14 Johore Tenggara Oil Palm Berhad 59,200 12,769 JT International Berhad 525,900 553,260 K & N Kenanga Holdings Berhad 287,300 49,146 Keck Seng (Malaysia) Berhad 82,000 41,218 KFC Holdings (Malaysia) Berhad 289,700 262,155 Kian Joo Can Factory Berhad 146,300 98,537 Kim Hin Industry Berhad 52,000 23,087 KPJ Healthcare Berhad 62,000 26,447 * Kretam Holdings Berhad 15,000 1,776 Kris Components Berhad 98,863 87,858 KSL Holdings Berhad 186,600 94,955 * Kub Malaysia Berhad 586,500 63,220 Kulim Malaysia Berhad 365,350 290,033 * Kumpulan Hartanah Selangor Berhad 166,500 9,624 Kwantas Corp. Berhad 155,800 153,314 Ladang Perbadanan-Fima Berhad 11,000 7,885 * Land & General Berhad 180,000 6,623 Landmarks Berhad 635,500 141,807 * Leader Universal Holdings Berhad 69,000 6,435 * Leong Hup Holdings Berhad 46,000 10,646 Lingkaran Trans Kota Holdings Berhad 932,400 583,891 Lingui Development Berhad 712,800 185,226 Lion Diversified Holdings Berhad 925,100 412,907 Lion Industries Corp. Berhad 1,311,600 430,509 Liqua Health Corp. Berhad 173 11 MAA Holdings Berhad 239,133 295,354 Magnum 4D Berhad 80,000 62,473 Malayan Cement Berhad 1,453,050 225,351 Malayawata Steel Berhad 72,000 24,809 * Malaysia Aica Berhad 48,200 10,001 * Malaysia Building Society Berhad 35,000 6,067 Malaysia Industrial Development Finance Berhad 2,255,000 675,568 Malaysia Mining Corp. Berhad 732,900 366,324 Malaysian Mosaics Berhad 280,300 114,294 Malaysian National Reinsurance Berhad 264,400 243,371 Malaysian Oxygen Berhad 296,500 958,951 Malaysian Plantations Berhad 622,500 396,076 * Malaysian Resources Corp. Berhad 94,666 11,307 * Mancon Berhad 12,000 2,747 Maruichi Malaysia Steel Tube Berhad 58,600 22,494 Matsushita Electric Co. (Malaysia) Berhad 70,084 191,614 MBM Resources Berhad 102,966 56,814 * Media Prima Berhad 61,533 26,684 Metro Kajang Holdings Berhad 58,800 13,433 Mieco Chipboard Berhad 69,000 32,317 * MTD Infraperdana Berhad 1,975,100 441,758 * MUI Properties Berhad 75,200 5,231 * Mulpha International Berhad 2,712,250 353,166 * Multi-Purpose Holdings Berhad 457,000 95,428 * Mycron Steel Berhad 14,650 3,775 Naim Cendera Berhad 381,100 338,779 * Naluri Berhad 491,000 54,159 * Nam Fatt Berhad 9,000 803 Narra Industries Berhad 16,000 5,702
15 NCB Holdings Berhad 1,147,200 783,820 * New Straits Times Press (Malaysia) Berhad 339,000 283,513 Nikko Electronics Berhad 36,600 9,240 NV Multi Corp. Berhad 129,500 11,929 * NWP Holdings Berhad 112,000 19,836 Nylex (Malaysia) Berhad 41,500 6,631 Oriental Holdings Berhad 362,900 381,458 OSK Holdings Berhad 1,179,371 337,889 OSK Property Holdings Berhad 3,393 672 Pacific & Orient Berhad 40,400 19,452 Pacificmas Berhad 9,500 14,125 * Pan Malaysia Cement Works Berhad 192,000 22,644 * Pan Malaysian Industries Berhad 818,000 11,854 * Pan Pacific Asia Berhad 12,000 284 * Panglobal Berhad 14,000 6,963 PBA Holdings Berhad 139,800 50,353 Pelangi Berhad 268,700 53,025 * Pernas International Holdings Berhad 603,400 110,990 Petaling Garden Berhad 190,600 78,206 Phileo Allied Berhad 1,152,600 951,055 PK Resources Berhad 14,000 1,917 * Prime Utilities Berhad 3,000 272 * Promet Berhad 52,000 0 * Puncak Niaga Holdings Berhad 1,113,600 735,034 QL Resources Berhad 57,000 44,220 QSR Brand Berhad 32,000 25,070 Ramatex Berhad 292,700 234,863 Ranhill Berhad 1,095,180 394,579 * Ranhill Utilities Berhad 227,160 95,554 * Rashid Hussain Berhad 182,000 16,517 * Rekapacific Berhad 55,000 0 Road Builders (Malaysia) Holdings Berhad 984,600 685,953 Sapura Telecommunications Berhad 64,846 16,538 Sarawak Enterprise Corp. Berhad 421,000 138,476 SCB Developments Berhad 290,500 266,096 Scomi Group Berhad 2,329,800 906,473 Selangor Properties Berhad 526,100 278,103 Shangri-La Hotels (Malaysia) Berhad 114,000 37,499 Shell Refining Co. Federation of Malaysia Berhad 190,500 460,989 SHL Consolidated Berhad 75,000 34,138 * Sime Engineering Services Berhad 279,100 66,312 Sime UEP Properties Berhad 133,000 147,700 Southern Acids (Malaysia) Berhad 41,000 17,757 Southern Steel Berhad 262,900 109,968 SP Setia Berhad 351,400 342,229 * SRI Hartemas Berhad 65,000 0 Star Publications (Malaysia) Berhad 229,300 415,977 Subur Tiasa Holdings Berhad 137,400 87,437 Sunrise Berhad 497,220 186,976 Sunway City Berhad 645,100 339,049 Sunway Holdings, Inc. Berhad 805,000 226,483 * Supermax Corp. Berhad 26,900 30,274 * Suria Capital Holdings Berhad 186,000 20,043 Symphony House Berhad 20,571 2,757
16 Ta Ann Holdings Berhad 313,600 531,741 TA Enterprise Berhad 2,638,300 506,405 Talam Corp. Berhad 12,850 1,283 * Tamco Corp. Holdings Berhad 83,000 5,766 Tan Chong Motor Holdings Berhad 1,525,300 641,828 * Tanah Emas Corp. Berhad 65,000 10,071 Tasek Corp. Berhad 87,600 54,643 * Time Dotcom Berhad 1,001,500 69,586 Top Glove Corp. Berhad 298,100 351,574 Tractors Malaysia Holdings Berhad 143,400 124,828 Tradewinds (Malaysia) Berhad 290,600 199,710 * Trengganu Development & Management Berhad 79,700 15,674 Tronoh Mines Malaysia Berhad 476,300 338,444 UAC Berhad 25,000 31,335 Uchi Technologies Berhad 651,200 493,428 UDA Holdings Berhad 243,700 94,707 * UEM World Berhad 3,342,200 540,221 Unico-Desa Plantations Berhad 316,000 37,022 * Union Paper Holdings Berhad 70,000 10,763 Uniphone Telecommunications Berhad 43,000 4,874 Unisem (M) Berhad 715,800 314,294 United Malacca Rubber Estates Berhad 47,500 42,731 United Malayan Land Berhad 13,000 3,249 United Plantations Berhad 407,500 535,491 * Utama Banking Group Berhad 122,000 15,691 Wah Seong Corp 423,500 205,890 Worldwide Holdings Berhad 52,000 24,190 WTK Holdings Berhad 117,400 129,618 Yeo Hiap Seng (Malaysia) Berhad 47,300 23,972 Yu Neh Huat Berhad 97,200 32,987 ---------------- TOTAL COMMON STOCKS (Cost $42,241,527) 36,292,371 ---------------- RIGHTS/WARRANTS -- (0.0%) * Liqua Health Marketing Berhad Warrants 09/09/08 34 1 * Melewar Industrial Group Warrants 11,720 0 * Mieco Chipboard Berhad Warrants 04/21/09 23,000 4,055 ---------------- TOTAL RIGHTS/WARRANTS (Cost $1,222) 4,056 ---------------- PREFERRED STOCKS -- (0.0%) * Malayan United Industries Berhad A1 08/03/13 176,957 2,096 * Malayan United Industries Berhad A2 08/03/13 176,957 1,630 * Ramunia Holdings Berhard Non Cumulative Irredeemable Convertible Preferred Shares 1,840 77 ---------------- TOTAL PREFERRED STOCKS (Cost $43,180) 3,803 ---------------- TOTAL -- MALAYSIA (Cost $42,285,929) 36,300,230 ----------------
17 TURKEY -- (8.1%) COMMON STOCKS -- (8.1%) Adana Cimento Sanayi Ticaret A.S. 646,276 400,097 * Ak-Al Tekstil A.S. 2,779 9,848 Akcansa Cimento Sanayi ve Ticaret A.S. 309,894 1,055,291 * Akenerji Elektrik Uretim A.S. 80,193 313,663 Aksa Akrilik Kimya Sanayii A.S. 47,621 419,267 Aksigorta A.S. 324,225 1,244,948 * Aksu Iplik Dokuma ve Boya Apre Fabrikalari A.S. 4,477 10,687 * Aktas Elektrik Ticaret A.S. 370 40,674 Alarko Carrier Sanayii ve Ticaret A.S. 14,579 97,296 * Alarko Holding A.S. 26,419 852,490 * Alcatel Telekomunikasyon Endustri ve Ticaret A.S. 24,197 79,058 Alkim Alkali Kimya A.S. 27,197 69,767 * Alternatifbank A.S. 97,063 84,940 * Altinyildiz mensucat ve Konfeksiyon Fabrikalari A.S. 21,960 21,059 * Anadolu Anonim Turk Sigorta Sirketi 122,999 259,603 Anadolu Cam Sanayii A.S. 277,157 985,928 Anadolu Hayat Sigorta A.S. 74,683 107,365 Anadolu Isuzu Otomotiv Sanayi ve Ticaret A.S. 15,586 104,406 * Ayen Enerji A.S. 161,469 219,193 Aygaz A.S. 83,805 171,131 Bagfas Bandirma Gubre Fabrikalari A.S. 3,450 70,269 * Banvit Bandirma Vitaminli Yem Sanayii Ticaret A.S. 147,698 200,151 Bati Anabolu Cimento A.S. 110,525 297,856 * Beko Elektronik A.S. 234,899 389,167 Bolu Cimento Sanayii A.S. 187,058 235,067 Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 36,993 274,923 Bossa Ticaret ve Sanayi Isletmeleri Ticaret A.S. 128,217 149,540 * Boyner Buyuk Magazacilik A.S. 122,086 214,903 Brisa Bridgestone Sabanci Lastik San ve Ticaret A.S. 5,857 302,310 Bursa Cimento Fabrikasi A.S. 57,680 401,563 * Celebi Hava Servisi A.S. 28,354 169,790 Cimsa Cimento Sanayi Ve Ticaret A.S. 259,130 1,090,196 Deva Holding A.S. 64,797 74,295 * Dogan Gazetecilik A.S. 105,300 189,539 * Dogan Yayin Holding A.S. 402,635 916,481 Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,993 73,261 Eczacibasi Ilac Sanayi ve Ticaret A.S. 294,407 709,537 * Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S. 116,012 148,892 * Ege Plstik Ticaret ve Sanayi A.S. 14,342 7,150 * EGE Seramik Sanayi ve Ticaret A.S. 44,835 37,823 Federal - Mogul Izmit Piston ve Pim Uretim Tesisleri A.S. 229 110,862 * Finansbank A.S. 911,286 3,229,243 * Global Yatirim Holding A.S. 46,576 34,878 * Goldas Kuyumculuk Sanayi A.S. 88,799 58,020 Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 7,128 105,985 * Goodyear Lastikleri T.A.S. 14,659 125,390 GSD Holding A.S. 62,399 50,937 Gubre Fabrikalari Ticaret A.S. 8,436 14,578 Gunes Sigorta A.S. 68,999 77,283 * Hektas Ticaret T.A.S. 25,477 18,984 Hurriyet Gazetecilik ve Matbaacilik A.S. 184,673 353,260
18 Ihlas Holding A.S. 485,407 326,156 * Isiklar Ambalaj A.S. 6,417 4,445 * Izmir Demir Celik Sanayii A.S. 57,269 118,443 * Kardemir Karabuk Demir Sanayi ve Ticaret A.S. 83,077 147,457 * Karsu Tekstil Sanayii ve Ticaret A.S. 17,040 10,797 Karton Sanayi ve Ticaret A.S. 1,698 151,400 * Kav Danismanlik Pazarlama ve Ticaret A.S. 4,654 11,553 * Kerevitas Gida Sanayii ve Ticaret A.S. 2,532 7,065 Konya Cimento Sanayii A.S. 4,921 138,355 Kordsa Sabanci Dupont Endustriyel Iplik Kord Bezi Sanayi ve Ticaret A.S. 146,305 241,465 * Kutahya Porselen Sanayii A.S. 2,617 40,566 Mardin Cimento Sanayii ve Ticaret 103,083 270,356 * Marshall Boya ve Vernik Sanayii A.S. 4,372 86,019 * Medya Holdings A.S. 15,849 80,145 * Menderes Tekstil Sanayi ve Ticaret A.S. 104,549 49,756 * Merko Gida Sanayi ve Ticaret A.S. 10,580 5,603 Migros Turk A.S. 81,518 630,394 * Milpa Ticari ve Sinai Urunler Pazarlama Sanayi ve Ticaret A.S. 13,329 15,037 * Mudurnu Tavukculuk A.S. 1,740 574 Multu Aku ve Malzemeleri Sanayi A.S. 1,527 25,367 * Nergis Holding A.S. 1,784 4,837 * Net Holding A.S. 47,826 13,649 * Net Turizm Ticaret ve Sanayi A.S. 33,660 19,664 Nortel Networks Netas Telekomuenikasyon A.S. 8,756 192,301 Olmuksa International Paper Sabanci Ambalaj Sanayi ve Ticaret A.S. 20,976 35,023 Otobus Karoseri Sanayi A.S. 44,321 145,963 Pinar Sut Mamulleri Sanayii A.S. 35,215 41,297 * Raks Elektronik Sanayi ve Ticaret A.S. 2,730 1,565 * Sanko Pazarlama Ithalat Ihracat A.S. 48,903 120,784 Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 54,998 67,096 * Sasa Dupont Sabanci Polyester Sanayi A.S. 310,985 261,331 * Sonmez Filament Sentetik Iplik ve Elyaf Sanayi A.S. 6,300 4,552 * Tansas Perakende Magazacilik Ticaret A.S. 464,813 637,064 * Tat Konserve Sanayii A.S. 63,787 123,013 * Tekstil Bankasi A.S. 143,546 127,209 Tire Kutsan Oluklu Mukavva Kutu ve Kagit Sanayii A.S. 39,939 55,419 Tofas Turk Otomobil Fabrikasi A.S. 293,085 404,656 Trakya Cam Sanayii A.S. 303,163 964,275 Turk Demir Dokum Fabrikalari A.S. 60,749 268,912 * Turk Dis Ticaret Bankasi A.S. 612,806 1,941,057 Turk Ekonomi Bankasi A.S. 32,820 208,142 Turk Pirelli Kablo ve Sistemleri A.S. 39,702 68,242 Turk Sise ve Cam Fabrikalari A.S. 393,110 943,539 Ulker Gida Sanayi ve Ticaret A.S. 258,103 739,581 USAS Ucak Servisi A.S. 71,628 235,478 Uzel Makina Sanayii A.S. 156,941 226,625 * Vakif Finansal Kiralama A.S. 5,450 8,285 * Vestel Elektronik Sanayi ve Ticaret A.S. 94,186 327,181 Yunsa Yunlu Sanayi ve Ticaret A.S. 10,027 9,203 * Zorlu Enerji Elektrik Uretim A.S. 100,448 300,327 ---------------- TOTAL -- TURKEY (Cost $17,648,646) 27,536,067 ----------------
19 ISRAEL -- (7.5%) COMMON STOCKS -- (7.5%) * Afcon Industries 159 2,172 * Albad Massuot Yitzhak, Ltd. 9,175 120,557 Alony Hetz Properties & Investments, Ltd. 82,840 217,574 * Alvarion, Ltd. 77,089 702,181 American Israeli Paper Mills, Ltd. 6,495 300,032 Analyst I.M.S. 9,114 95,741 * AudioCodes, Ltd. 74,231 900,817 Azorim Investment Development & Construction Co., Ltd. 69,788 680,611 * Baran Group, Ltd. 9,500 95,847 * Beit Shemesh Engines Holdings (1997), Ltd. 3,351 12,400 Blue Square Chain Stores Properties & Investments, Ltd. 36,516 335,834 Blue Square Israel, Ltd. 86,605 838,624 * C Mer Industries, Ltd. 10,065 147,826 * Cham Foods (Israel), Ltd. 14,289 21,470 CLAL Industries, Ltd. 12,431 57,251 * Compugen, Ltd. 11,938 38,413 * Dan Vehicle & Transportation 14,070 73,262 Danya Cebus, Ltd. 24,719 138,404 Delek Automotive Systems, Ltd. 154,049 1,123,219 Delek Drilling 933,038 459,873 Delta Galil Industries, Ltd. 31,940 266,489 Direct Insurance - I.D.I. Insurance Co., Ltd. 83,451 243,400 * Discount Mortgage Bank, Ltd. 1,320 144,132 Elbit Medical Imaging, Ltd. 41,196 792,917 Electra Consumer Products 28,963 246,088 Electra Israel, Ltd. 5,514 412,220 * Electronics Line, Ltd. 3,169 11,377 * Elron Electronic Industries, Ltd. 56,547 813,394 * Feuchtwanger Investments 1984, Ltd. 4,200 2,386 * First International Bank of Israel, Ltd. Par Value $.01 473,321 733,279 FMS Enterprises Migun, Ltd. 16,997 776,774 Formula Systems (1985), Ltd. 17,849 258,733 * Formula Vision Technologies, Ltd. 1,604 1,549 Frutarom Industries (1995), Ltd. 91,981 719,425 * Gachelet Invetment Co., Ltd. 653 47,365 * Granite Hacarmel Investments, Ltd. 19,200 26,827 * Ham-Let Ltd 12,751 63,267 * Housing & Construction Holding Co., Ltd. 664,947 503,898 Industrial Building Corp., Ltd. 371,518 435,732 * Israel Land Development Co., Ltd. 32,626 142,695 Israel Petrochemical Enterprises, Ltd. 41,748 363,016 Israel Salt Industries 38,139 162,578 Ituran 10,835 348,251 * J.O.E.L. Jerusalem Oil Exploration, Ltd. 6,178 41,093 Knafaim-Arkia Holdings, Ltd. 21,671 245,561 * Koor Industries, Ltd. 19,500 1,269,096 * Leader Holding & Investments, Ltd. 32,148 61,301 Lipman Electronic Engineering, Ltd. 28,513 911,617 * Magal Security Systems, Ltd. 10,117 99,148
20 * Magic Software Enterprises, Ltd. 35,590 85,825 * Matav Cable Israel 58,667 461,729 * Medcon, Ltd. 18,524 39,126 * Medtechnica, Ltd. 14,470 65,763 Mehadrin, Ltd. 3,887 71,431 * Metalink, Ltd. 26,556 125,039 * Middle East Tube Co. 19,000 22,381 Miloumor, Ltd. 12,658 43,000 Mivtach Shamir Holdings, Ltd. 13,409 229,519 * Naphtha Israel Petroleum Corp. 105,630 17,489 * Nice Systems, Ltd. 28,424 1,042,590 Nisko Industries (1992), Ltd. 6,691 45,505 * OCIF Investments and Development, Ltd. 2,267 42,527 * Orckit Communications, Ltd. 11,142 265,923 Ormat Industries, Ltd. 189,774 936,431 Packer Plada, Ltd. 844 41,357 * Perrigo Co. 4,339 68,006 Property and Building Corp., Ltd. 8,596 778,602 * RADVision, Ltd. 36,193 478,979 Rapac Electronics, Ltd. 6,000 16,014 Rapac Technologies (2000), Ltd. 6,000 23,491 * Retalix, Ltd. 27,444 658,808 Scitex Corp., Ltd. 68,344 463,768 * Shrem Fudim Kelner & Co., Ltd. 15,466 53,923 Suny Electronic Inc., Ltd. 59,632 416,272 Super-Sol, Ltd. Series B 409,493 1,104,308 Tadiran Communications, Ltd. 22,291 776,396 * Team Computer & Systems, Ltd. 1,400 15,948 Telsys, Ltd. Electronic Engineering 5,300 26,350 * Tower Semiconductor, Ltd. 85,632 137,352 * Union Bank of Israel, Ltd. 86,282 315,140 * Urdan Industries, Ltd. 52,742 27,929 * Ytong Industries, Ltd. 52,585 49,246 ---------------- TOTAL COMMON STOCKS (Cost $18,931,808) 25,451,883 ---------------- RIGHTS/WARRANTS -- (0.0%) * Alony Hetz Properties & Investments, Ltd. Warrants 11/20/07 16,263 12,478 ---------------- (Cost $0) TOTAL -- ISRAEL (Cost $18,931,808) 25,464,361 ---------------- MEXICO -- (7.1%) COMMON STOCKS -- (7.1%) Consorcio Ara S.A. 775,400 2,521,892 * Consorcio Hogar S.A. de C.V. Series B 325,000 101,522 Controladora Comercial Mexicana S.A. de C.V. Series B 1,633,500 1,755,911 * Corporacion Geo S.A. de C.V. Series B 1,330,000 3,146,490 * Corporacion Interamericana de Entramiento S.A. de C.V. Series B 703,769 1,364,301 * Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,623 313
21 Corporativo Fragua S.A. de C.V. Series B 31 98 * Desc S.A. de C.V. Series B 981,833 266,108 Embotelladora Arca S.A. de C.V., Mexico 1,331,800 2,739,622 * Empaques Ponderosa S.A. de C.V. Series B 206,000 17,034 * Empresas ICA Sociedad Controladora S.A. de C.V. 6,256,350 2,471,650 Empresas la Moderna S.A. de C.V. Series A 610,700 117,013 Gruma S.A. de C.V. Series B 856,800 1,830,206 Grupo Cementos de Chihuahua S.A. de C.V. 566,100 1,003,802 Grupo Continental S.A. de C.V. 601,800 928,879 Grupo Corvi S.A. de C.V. Series L 100,000 18,467 Grupo Elektra S.A. de C.V. 89,300 631,742 Grupo Financiero GBM Atlantico S.A. de C.V. Series L 9,441 4,771 * Grupo Financiero GBM Atlantico S.A. de C.V. Series L 23,928 12,311 * Grupo Herdez S.A. de C.V. 107,000 53,380 Grupo Industrial Maseca S.A. de C.V. Series B 510,000 290,040 Grupo Industrial Saltillo S.A. de C.V. 176,552 270,886 * Grupo Iusacell S.A. de C.V. 51,405 84,067 * Grupo Nutrisa S.A. de C.V. 188 73 Grupo Posadas S.A. de C.V. Series L 199,000 147,179 * Grupo Qumma S.A. de C.V. Series B 105,334 1,742 * Grupo Tribasa S.A. de C.V. 67,110 0 Hylsamex S.A. de C.V. Series B 82,000 295,323 Industrias Bachoco S.A. de C.V. (Certificate Representing Series B and Series L) 76,000 195,510 Industrias Penoles S.A. de C.V. 162,000 800,746 * Industrias S.A. de C.V. Series B 661,248 1,372,999 * Jugos del Valle S.A. de C.V. Series B 50,900 77,161 * Movilaccess S.A. de C.V. Series B 13,489 30,053 * Sanluis Corporacion S.A. de C.V. Series A 3,300 1,182 * Sanluis Corporacion S.A. de C.V. Series C & Series B 4,642 1,915 TV Azteca S.A. de C.V. Series A 2,248,900 1,148,795 Vitro S.A. de C.V. 811,000 632,595 ---------------- TOTAL COMMON STOCKS (Cost $19,249,303) 24,335,778 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Mexican Peso 7,227 ---------------- (Cost $8,636) TOTAL -- MEXICO (Cost $19,257,939) 24,343,005 ---------------- THAILAND -- (6.0%) COMMON STOCKS -- (6.0%) A.J. Plast Public Co., Ltd. (Foreign) 166,500 19,179 * Adkinson Securities Public Co., Ltd. (Foreign) 138,150 22,441 * Advance Agro Public Co., Ltd. (Foreign) 809,000 455,971 Aeon Thana Sinsap (Thailand) Public Co., Ltd. 142,500 136,783 Amarin Plaza Public Co., Ltd. (Foreign) 523,680 24,360 Amata Corp. Public Co., Ltd. 2,040,400 572,497 Asia Securities Trading Public Co., Ltd. (Foreign) 3,575,000 510,337 Asian Property Development Public Co., Ltd. (Foreign) 3,828,800 356,211
22 Bangkok Dusit Medical Services Public Co., Ltd. (Foreign) 1,282,233 533,343 Bangkok Expressway Public Co., Ltd. (Foreign) 1,170,400 756,165 Bangkok Insurance Public Co., Ltd. (Foreign) 65,180 362,557 * Bangkok Land Public Co., Ltd. (Foreign) 12,166,170 143,730 * Bangkok Rubber Public Co., Ltd. (Foreign) 14,600 891 Big C Supercenter Public Co., Ltd. (Foreign) 87,000 47,750 * Book Club Finance Public Co., Ltd. 157,200 14,702 Bumrungrad Hospital Public Co., Ltd. 1,043,800 500,962 Cal-Comp Electronics (Thailand) Public Co., Ltd. (Foreign) 5,498,000 468,203 Capital Nomura Securities Public Co., Ltd. (Foreign) 46,000 58,873 * Central Paper Industry Public Co., Ltd. (Foreign) 19,800 1,023 Central Pattana Public Co., Ltd. (Foreign) 3,668,000 785,420 Central Plaza Hotel Public Co., Ltd. (Foreign) 79,000 44,721 Ch Karnchang Public Co., Ltd. (Foreign) 2,472,700 687,706 Charoong Thai Wire & Cable Public Co., Ltd. 130,000 25,117 Compass East Ind-Foreign 122,000 10,449 Dynasty Ceramic Public Co., Ltd. 232,500 92,702 Eastern Water Resources Development & Management Public Co., Ltd. (Foreign) 1,081,200 99,525 Fancy Wood Industries Public Co., Ltd. 260,800 34,020 * GFPT Public Co., Ltd. 71,400 25,305 GMM Grammy Public Co., Ltd. (Foreign) 765,100 244,802 * Golden Land Property Development Public Co., Ltd. (Foreign) 485,616 77,689 Hana Microelectronics Public Co., Ltd. (Foreign) 1,851,409 884,010 Hermraj Land & Development Public Co., Ltd. (Foreign) 6,804,400 152,400 Home Product Center Public Co., Ltd. 417,900 64,284 ICC International Public Co., Ltd. (Foreign) 204,600 207,093 * International Broadcasting Corp. Public Co., Ltd. (Foreign) 975,170 542,428 * International Engineering Public Co., Ltd. (Foreign) 20,000 537 * ITV Public Co., Ltd. 2,333,700 683,511 * Jasmine International Public Co., Ltd. (Foreign) 8,436,600 107,975 * K.R. Precision Public Co., Ltd. (Foreign) 320,598 30,300 Kang Yong Electric Public Co., Ltd. (Foreign) 7,200 11,784 KCE Electronics Public Co., Ltd. (Foreign) 204,000 21,389 * Keppel Thai Properties Public Co., Ltd. 8,360 687 KGI Securities One Public Co., Ltd. (Foreign) 2,713,846 169,657 Krungthai Card Public Co., Ltd. (Foreign) 230,800 131,220 Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 32,200 36,456 Loxley Public Co., Ltd. (Foreign) 2,256,520 153,286 LPN Development Public Co., Ltd. (Foreign) 415,250 33,318 Major Cineplex Group Public Co., Ltd. 1,083,300 314,618 MBK Development Public Co., Ltd. (Foreign) 278,800 332,803 Media of Medias Public Co., Ltd. (Foreign) 9,100 1,377 MFC Asset Management Public Co., Ltd. (Foreign) 5,000 2,547 * Millennium Steel Public Co., Ltd. (Foreign) 6,061,600 243,180 MK Real Estate Development Public Co., Ltd. (Foreign) 472,260 28,129 Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 17,000 92,887 * Nakornthai Strip Mill Public Co., Ltd. (Foreign) 13,202,000 422,412 Nation Multimedia Group Public Co., Ltd. (Foreign) 146,259 44,637 National Finance and Securities Public Co., Ltd. (Foreign) 1,530,800 508,634 * Natural Park Public Co., Ltd. (Foreign) 12,385,200 298,732 Noble Development Public Co., Ltd. 260,100 28,039 * Pacific Assets Public Co., Ltd. (Foreign) 141,000 16,172 Padaeng Industry Public Co., Ltd. (Foreign) 73,800 23,250
23 Patum Rice Mill & Granary Public Co., Ltd. (Foreign) 5,500 3,993 Phatra Insurance Public Co., Ltd. 10,000 27,566 Picnic Gas & Engineering Public Co., Ltd. 521,800 143,839 * Prasit Development Public Co., Ltd. (Foreign) 29,700 1,097 Quality Houses Public Co., Ltd. (Foreign) 8,362,600 246,988 Regional Container Lines Public Co., Ltd. (Foreign) 869,900 663,719 * Robinson Department Store Public Co., Ltd. (Foreign) 18,525 2,079 Saha Pathana Inter-Holding Public Co., Ltd. (Foreign) 350,000 150,751 Saha-Union Public Co., Ltd. (Foreign) 279,500 108,003 * Samart Corporation Public Co., Ltd. 1,146,900 153,842 Sammakorn Public Co., Ltd. (Foreign) 75,000 4,024 Sansiri Public Co., Ltd. (Foreign) 780,566 58,019 Seamico Securities Public Co., Ltd. 978,022 127,579 Serm Suk Public Co., Ltd. (Foreign) 10,000 5,021 * Shinawatra Satellite Public Co., Ltd. (Foreign) 1,930,500 798,238 Siam Food Products Public Co., Ltd. (Foreign) 9,000 10,633 Siam Industrial Credit Public Co., Ltd. (Foreign) 352,862 50,806 Siam Makro Public Co., Ltd. (Foreign) 486,600 748,523 Sino-Thai Engineering & Construction Public Co., Ltd. (Foreign) 1,616,500 409,795 Sri Trang Agro Industry Public Co., Ltd. (Foreign) 60,992 28,822 Srithai Superware Public Co., Ltd. (Foreign) 16,400 3,936 * Standard Chartered Nakornthon Bank Public Co., Ltd. (Foreign) 54 29 * STP & I Public Co., Ltd. 138,700 6,111 * Sun Tech Group Public Co., Ltd. (Foreign) 27,200 1,875 Supalai Public Co., Ltd. (Foreign) 346,000 20,608 * SVI Public Co., Ltd. 122,266 26,030 * Tanayong Public Co., Ltd. (Foreign) 261,000 6,424 * Telecomasia Corp. Public Co., Ltd. (Foreign) 2,633,800 557,487 Thai Plastic & Chemicals Public Co., Ltd. (Foreign) 1,493,100 573,280 Thai Reinsurance Public Co., Ltd. (Foreign) 660,300 71,182 Thai Rung Union Car Public Co., Ltd. (Foreign) 165,000 28,021 * Thai Stanley Electric (Thailand) Public Co., Ltd. 119,800 368,570 Thai Union Frozen Products Public Co., Ltd. (Foreign) 64,800 44,657 Thai Vegetable Oil-Foreign 482,600 124,718 Thai Wacoal Public Co., Ltd. (Foreign) 78,000 62,392 * Thai-German Ceramic Industry Public Co., Ltd. (Foreign) 361,000 26,122 * Tipco Asphalt Public Co., Ltd. (Foreign) 95,200 48,502 TIPCO Foods (Thailand) Public Co., Ltd. 147,620 16,204 TISCO Finance Public Co., Ltd. (Foreign) 745,900 463,549 * TT&T Public Co., Ltd. (Foreign) 6,559,000 506,898 * Tuntex (Thailand) Public Co., Ltd. (Foreign) 126,728 5,989 Tycoons Worldwide Group Public Co., Ltd. (Foreign) 804,700 202,017 * United Communication Industry Public Co., Ltd. (Foreign) 139,000 151,385 United Palm Oil Industry Public Co., Ltd. 21,000 19,705 Vanachai Group Co-Foreign 2,482,066 390,973 Vinythai Public Co., Ltd. (Foreign) 1,833,180 459,681 ---------------- TOTAL COMMON STOCKS (Cost $21,247,682) 20,630,868 ---------------- RIGHTS/WARRANTS -- (0.0%) * Bangkok Land Public Co., Ltd. (Foreign) Warrants 2006 217,330 0 ---------------- (Cost $0) TOTAL -- THAILAND (Cost $21,247,682) 20,630,868 ----------------
24 INDONESIA -- (4.6%) COMMON STOCKS -- (4.6%) * PT Artha Graya Investama Sentral Tbk 4,773,000 65,106 PT Asahimas Flat Glass Tbk 1,271,000 353,579 PT Astra Agro Lestari Tbk 6,656,000 2,549,611 PT Astra Graphia Tbk 4,549,000 164,579 PT Bank NISP Tbk 13,832,920 1,360,657 * PT Batu Buana 77,715 1,062 PT Berlian Laju Tanker Tbk 14,767,200 1,456,914 PT Bhakti Investama Tbk 9,031,500 222,462 * PT Branta Mulia Tbk 66,000 6,934 * PT Budi Acid Jaya Tbk 1,449,000 17,446 * PT Charoen Pokphand Indonesia Tbk 3,406,500 153,760 PT Citra Marga Nusaphala Persada 6,649,500 649,167 * PT Clipan Finance Indonesia Tbk 3,133,000 113,150 PT Dankos Laboratories Tbk 6,022,800 644,538 * PT Davomas Adabi Tbk 20,960,000 320,091 * PT Dharmala Intiland 277,400 9,343 PT Dynaplast Tbk 1,038,000 160,523 PT Enseval Putera Megatrading Tbk 6,380,000 481,972 * PT Eterindo Wahanatama Tbk 397,000 9,335 * PT Ever Shine Textile Tbk 4,029,640 31,753 * PT GT Petrochem Industries Tbk 918,000 48,749 * PT Hero Supermarket Tbk 33,000 10,950 * PT Indal Aluminium Industry 47,000 1,189 PT Indorama Synthetics Tbk 2,211,000 139,127 * PT Jaya Real Property Tbk 393,500 98,848 PT Kalbe Farma Tbk 25,907,600 2,114,538 * PT Karwell Indonesia Tbk 138,000 5,945 * PT Kawasan Industry Jababeka Tbk 43,401,000 568,021 * PT Keramika Indonesia Assosiasi Tbk 100,000 1,839 PT Komatsu Indonesia Tbk 860,000 357,609 PT Lautan Luas Tbk 1,887,500 124,948 PT Matahari Putra Prima Tbk 2,609,000 155,838 PT Mayorah Indah Tbk 2,473,500 310,980 * PT Metrodata Electronics Tbk 3,981,000 37,436 * PT Modern Photo Tbk 40,000 2,433 * PT Mulia Industrindo 542,000 16,449 * PT Mustika Ratu Tbk 723,000 30,300 * PT Pakuwon Jati Tbk 63,000 3,111 * PT Panasia Indosyntec Tbk 79,000 4,150 * PT Panin Insurance Tbk 7,979,000 255,175 * PT Prasidha Aneka Niaga Tbk 84,000 794 PT Pudjiadi Prestige, Ltd. Tbk 45,500 1,315 * PT Putra Sejahtera Pioneerindo 29,000 1,219 PT Rig Tenders Indonesia Tbk 1,780,000 167,429 PT Selamat Semp Tbk 1,920,000 60,202 * PT Semen Cibinong Tbk 702,000 34,951 * PT Sinar Mas Agro Resources and Technology Tbk 87,792 38,970 PT Summarecon Agung Tbk 6,332,000 636,078
25 * PT Sunson Textile Manufacturer Tbk 343,000 10,995 * PT Suparma Tbk 2,400,000 66,967 * PT Surabaya Agung Industri Pulp & Paper 64,500 440 * PT Surya Dumai Industri Tbk 3,298,500 124,759 * PT Suryamas Dutamakmur 125,000 2,430 PT Tempo Scan Pacific Tbk 471,500 345,518 * PT Texmaco Jaya Tbk 93,000 28,824 PT Timah Tbk 1,701,000 409,955 PT Trias Sentosa Tbk 9,198,400 178,941 PT Trimegah Sec Tbk 9,961,000 151,600 PT Tunas Ridean Tbk 1,987,000 172,941 * PT Ultrajaya Milk Industry & Trading Co. Tbk 390,000 12,289 PT Unggul Indah Corp. Tbk 48,239 15,205 PT United Tractors 501,760 172,284 * PT Wicaksana Overseas International 28,560 390 ---------------- TOTAL -- INDONESIA (Cost $8,065,050) 15,694,113 ---------------- POLAND -- (2.2%) COMMON STOCKS -- (2.2%) * Amica Wronki SA 18,410 170,405 * Budimex SA 33,325 487,162 * Cersanit-Krasnystaw SA 22,217 709,727 * Computerland SA 14,630 437,669 Debica SA 22,742 557,751 * Echo Investment SA 23,155 603,956 * Fabryki Mebli Forte SA 39,475 126,145 * Farmacol SA 39,250 349,870 * Huta Ferrum SA 309 813 * Impexmetal SA 26,519 319,649 * IVAX Corp. 24,547 461,700 Kroscienskie Huty Szkla Krosno SA 2,000 61,011 * Lentex SA 13,464 59,112 * Mostostal Export SA 42,087 13,130 Mostostal Siedlce SA 17,520 153,065 * Mostostal Warszawa SA 18,600 33,784 * Mostostal Zabrze Holding SA 18,293 3,898 Netia Holdings SA 117,106 131,888 * Ocean Company SA 8,530 302 * Optimus Technologie 7,500 15,560 Orbis SA 32,000 215,923 Polifarb Cieszyn Wroclaw SA 98,435 198,546 Polska Grupa Farmaceutyczna SA 25,329 400,255 * Prosper SA 12,770 40,664 Przedsiebiorstwo Farmaceutyczne JELFA SA 14,330 247,098 * Przedsiebiorstwo Telekomunikacyjne Szeptel A.S. 16,774 18,735 * Raciborska Fabryka Kotlow SA 37,758 134,029 * Softbank SA 51,313 374,027 * Stalexport SA 90,737 47,875 * Ster-Projekt SA 20,650 46,143 Zaklad Przetworstwa Hutniczego Stalprodukt SA 8,169 169,675 Zaklady Metali Lekkich Kety SA 19,615 637,825 * Zaklady Tluszcowe Kruszwica SA 23,610 195,267 ---------------- TOTAL -- POLAND (Cost $4,725,756) 7,422,659 ----------------
26 PHILIPPINES -- (1.9%) COMMON STOCKS -- (1.9%) Alaska Milk Corp. 1,404,000 82,573 Bacnotan Consolidated Industries, Inc. 122,234 25,764 * Belle Corp. 20,937,000 450,448 * C & P Homes, Inc. 6,477,000 30,626 * Digital Telecommunications (Philippines), Inc. 20,973,000 422,152 EDSA Properties Holdings, Inc. 1,759,970 22,096 * EEI Corp. 1,108,000 12,048 * Fil-Estate Land, Inc. 3,170,700 32,323 * Filinvest Development Corp. 4,664,500 105,830 * Filinvest Land, Inc. 25,798,050 670,692 Ginebra San Miguel, Inc. 1,065,200 604,620 * Global Equities, Inc. 886,462 1,330 * House of Investments, Inc. 732,000 16,502 * International Container Terminal Services, Inc. 4,593,837 629,908 * Ionics, Inc. 769,825 18,535 * iVantage Corp. 593,400 7,682 Keppel Philippines Marine, Inc. 610,000 6,716 * Lepanto Consolidated Mining Co. Series B 1,925,000 11,976 * Mabuhay Holdings Corp. 516,000 1,419 * Macroasia Corp. 2,237,500 73,450 * Manila Jockey Club, Inc. 130,622 7,203 * Megaworld Properties & Holdings, Inc. 21,843,500 551,118 * Metro Pacific Corp. 45,763,860 316,917 * Philex Mining Corp. Series B 150,000 2,801 * Philippine Bank of Communications 14,726 18,623 * Philippine National Bank 929,975 595,625 * Philippine National Construction Corp. 173,000 10,702 Philippine Savings Bank 317,212 191,862 * Pilipino Telephone Corp. 1,692,000 98,929 * Prime Orion Philippines, Inc. 2,920,000 12,042 Republic Glass Holding Corp. 507,500 17,208 * RFM Corp. 2,378,934 34,882 Robinson's Land Corp. Series B 3,402,000 301,903 Security Bank Corp. 320,842 172,196 SM Development Corp. 4,971,000 142,067 Soriano (A.) Corp. 3,430,211 124,880 Union Bank of the Philippines 47,500 24,785 * United Paragon Mining Corp. 322,500 1,182 * Universal Rightfield Property Holdings, Inc. 1,062,000 545 Universal Robina Corp. 3,158,100 754,635 * Victorias Milling Co., Inc. 139,680 2,228 * Vitarich Corp. 176,000 864 ---------------- TOTAL -- PHILIPPINES (Cost $6,061,276) 6,609,887 ----------------
27 INDIA -- (1.4%) COMMON STOCKS -- (1.4%) * Adani Exports, Ltd. 128,535 187,130 * Alstom Projects India, Ltd. 38,197 210,134 * Amtek Auto, Ltd. 54,884 195,459 * Apollo Hospitals Enterprise, Ltd. 23,706 176,257 * Asahi India Glass, Ltd. 45,571 186,677 * Aurobindo Pharmaceuticals, Ltd. 28,933 194,328 * Bajaj Hindusthan, Ltd. 26,228 84,050 * Ballarpur Industries, Ltd. 47,630 130,688 * Balrampur Chini Mills, Ltd. 132,104 171,186 * Birla Corp., Ltd. 17,000 70,584 * Bombay Dyeing & Manufacturing Co., Ltd. 11,587 83,236 * Chambal Fertilizers & Chemicals, Ltd. 121,939 88,792 * Divi's Laboratories, Ltd. 3,849 95,526 * Federal Bank, Ltd. 19,761 74,868 * Glaxosmithkline Consumer Healthcare, Ltd. 12,364 105,404 * GTL, Ltd. 42,241 96,565 * Hexaware Technologies, Ltd. 66,714 194,257 * Hinduja TMT, Ltd. 12,284 94,496 * Hindustan Construction, Ltd. 6,012 75,804 * Hotel Leelaventure, Ltd. 21,274 95,667 * IndusInd Bank, Ltd. 85,132 119,504 * Ispat Industries, Ltd. 394,710 186,603 Jammu & Kashmir Bank, Ltd. 14,566 111,881 * Jindal Stainless, Ltd. 33,010 74,793 * Marico, Ltd. 29,761 181,568 * Max India, Ltd. 12,128 158,222 * McDowell & Co., Ltd. 29,475 196,299 * Micro Inks, Ltd. 6,793 90,182 * Motherson Sumi Systems, Ltd. 133,835 199,765 * Pantaloon Retail India, Ltd. 2,578 69,775 * Pidilite Industries, Ltd. 5,780 61,927 * Shree Cement, Ltd. 10,463 83,465 * Sterling Biotech, Ltd. 73,211 134,269 * Sundram Fastners, Ltd. 59,875 182,714 * Thermax, Ltd. 13,251 195,886 * Titan Industries, Ltd. 12,697 86,986 * Tube Investments of India, Ltd. 11,099 78,479 * TVS Motor Co., Ltd. 60,259 102,137 ---------------- TOTAL -- INDIA (Cost $4,991,989) 4,925,563 ----------------
28 HUNGARY -- (1.4%) COMMON STOCKS -- (1.4%) * Danubius Hotel & Spa RT 58,038 1,307,560 Delmagyarorszagi Aramszolgaltato Demasz RT 15,581 1,039,675 * Fotex First Hungarian-American Photo Service Co. 749,391 905,560 * Globus Konzervipari RT 101,338 186,259 * Mezogazdasagi Gepgyarto Reszvenytarsasag (Mezogep) 67,414 417,005 * North American Business Industries RT 51,024 62,913 * Pannonplast P.L.C. 39,441 286,134 * Raba Hungarian Railway Carriage & Machine Works 143,528 459,296 * Synergon Information Systems Ltd., Budapest 30,190 70,218 Zwack Unicum Liqueur Industry & Trading Co., Ltd. 1,100 49,693 ---------------- TOTAL -- HUNGARY (Cost $4,841,731) 4,784,313 ---------------- ARGENTINA -- (0.7%) COMMON STOCKS -- (0.7%) * Alpargatas SA Industrial y Comercial 1,007 1,212 Banco del Sud Sociedad Anonima Series B 89,000 118,836 * Banco Suquia SA 76,789 12,532 * Capex SA Series A 26,370 49,990 Celulosa Argentina SA Series B 6,375 7,524 * Central Costanera SA Series B 50,000 56,047 * Central Puerto SA Series B 61,000 34,591 Cresud SA Comercial Industrial Financiera y Agropecuaria 201,401 249,663 DYCASA SA (Dragados y Construcciones Argentina) Series B 23,052 24,510 * Ferrum SA de Ceramica y Metalurgica Series B 25,200 29,079 Fiplasto SA Comercial y Industrial 12,000 5,104 * Garovaglio y Zorraquin SA 14,160 2,427 Importadora y Exportadora de la Patagonia Series B 11,500 68,246 Introductora de Buenos Aires SA Series A 9,832 4,862 * IRSA Inversiones y Representaciones SA 379,635 453,085 * Juan Minetti SA 131,531 144,403 Ledesma S.A.A.I. 387,128 227,185 * Metrogas SA Series B 90,000 40,057 * Polledo SA Industrial y Constructora y Financiera 88,891 19,635 * Quimica Estrella SA Series B 30,460 9,440 * Renault Argentina SA 624,451 169,847 * Sol Petroleo SA 50,662 13,178 Solvay Indupa S.A.I.C. 440,500 595,435 ---------------- TOTAL COMMON STOCKS (Cost $2,451,971) 2,336,888 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Argentine Peso 118,681 ---------------- (Cost $116,655) TOTAL -- ARGENTINA (Cost $2,568,626) 2,455,569 ---------------- UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * TTI Team Telecom International, Ltd. 2,940 6,791 ---------------- (Cost $12,241)
29 FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (0.8%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $2,710,000 FNMA Notes 2.95%, 11/14/07, valued at $2,706,613) to be repurchased at $2,666,214 $ 2,666 2,666,000 ---------------- (Cost $2,666,000) TOTAL INVESTMENTS - (100.0%) (Cost $283,588,855) $ 341,627,598 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 30 THE DFA ONE-YEAR FIXED INCOME SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
FACE AMOUNT VALUE+ --------------- --------------- (000) UNITED STATES -- (69.9%) COMMERCIAL PAPER -- (33.6%) Barton Capital Corp. 3.050%, 07/07/05 $ 24,000 $ 23,926,152 3.040%, 07/08/05 20,000 19,936,688 3.070%, 07/20/05 17,000 16,927,736 Canadian Wheat Board 2.910%, 06/07/05 4,000 3,998,006 2.790%, 06/10/05 8,000 7,994,020 2.960%, 06/27/05 8,777 8,757,900 3.000%, 07/05/05 2,000 1,994,263 3.030%, 07/18/05 8,000 7,967,758 3.020%, 07/22/05 10,000 9,956,069 CBA (DE) Finance, Inc. 3.060%, 07/12/05 11,000 10,961,577 Ciesco L.P. 2.940%, 06/08/05 1,000 999,411 2.950%, 06/14/05 36,000 35,960,609 3.020%, 06/15/05 13,000 12,984,681 2.980%, 06/16/05 4,000 3,994,950 3.080%, 07/15/05 8,000 7,969,689 Compass Securitization LLC 3.030%, 06/15/05 35,000 34,958,756 3.020%, 06/20/05 15,000 14,975,949 Dexia Delaware LLC 3.020%, 06/27/05 1,100 1,097,606 DuPont (E.I.) de Nemours & Co., Inc. 2.920%, 06/13/05 10,000 9,990,033 2.990%, 06/28/05 26,800 26,739,397 Export Development Corp. 3.020%, 07/18/05 23,000 22,907,303 Govco, Inc. 3.070%, 07/06/05 4,000 3,988,045 Lloyds TSB Bank P.L.C. 3.005%, 06/30/05 28,000 27,931,882 Nestle Australia, Ltd. 2.980%, 06/08/05 7,000 6,995,930 Nestle Capital Corp. 2.860%, 06/03/05 15,000 14,997,507 3.040%, 07/08/05 5,000 4,984,326 3.050%, 07/11/05 7,500 7,474,475 3.100%, 08/02/05 34,000 33,816,369 Network Rail Finance P.L.C. 3.080%, 07/13/05 10,000 9,964,171 3.100%, 07/20/05 8,000 7,966,310 3.110%, 07/26/05 16,700 16,620,498 3.110%, 07/29/05 17,000 16,914,381 New Center Asset Trust 2.940%, 06/01/05 4,300 4,300,000 Paccar Financial Corp. 2.800%, 06/02/05 9,755 9,754,189 2.910%, 06/03/05 7,900 7,898,687 3.100%, 08/10/05 4,200 4,174,185 Sheffield Receivables Corp. 3.020%, 06/13/05 30,000 29,969,598 Shell Finance UK 3.030%, 07/11/05 $ 18,000 $ 17,938,739 3.040%, 07/18/05 900 896,373 Siemens Capital Corp. 2.910%, 06/02/05 15,000 14,998,754 2.910%, 06/03/05 5,700 5,699,053 Total Capital SA 3.110%, 06/01/05 52,000 52,000,000 UBS Finance Delaware, Inc. 3.010%, 06/17/05 40,000 39,946,808 3.030%, 07/01/05 2,500 2,493,702 3.090%, 07/18/05 16,000 15,935,515 Wal-Mart Stores, Inc. 2.890%, 06/07/05 18,800 18,790,630 3.050%, 07/12/05 7,000 6,975,549 Windmill Funding Corp. 2.830%, 06/01/05 8,000 8,000,000 3.020%, 06/16/05 15,000 14,981,000 3.060%, 07/08/05 10,000 9,968,241 --------------- TOTAL COMMERCIAL PAPER (Cost $701,388,259) 701,373,470 --------------- AGENCY OBLIGATIONS -- (19.2%) Federal Farm Credit Bank 2.250%, 09/01/06 10,000 9,822,930 2.600%, 09/07/06 24,600 24,263,447 2.750%, 09/29/06 50,000 49,374,050 Federal Home Loan Bank 2.875%, 08/15/06 70,000 69,337,240 2.750%, 11/15/06 36,000 35,495,496 Federal Home Loan Mortgage Corporation 2.750%, 08/15/06 22,000 21,757,472 2.750%, 10/15/06 66,000 65,160,546 2.375%, 02/15/07 30,000 29,326,050 Federal National Mortgage Association 4.375%, 10/15/06 70,700 71,330,220 2.625%, 11/15/06 25,000 24,617,625 --------------- TOTAL AGENCY OBLIGATIONS (Cost $403,012,131) 400,485,076 --------------- BONDS -- (17.1%) Bank of America Corp. 5.250%, 02/01/07 15,000 15,314,115 Bayerische Landesbank 2.600%, 10/16/06 10,000 9,834,300 Citigroup, Inc. 5.750%, 05/10/06 38,050 38,705,221 5.500%, 08/09/06 12,400 12,611,358 5.000%, 03/06/07 8,000 8,134,256 General Electric Capital Corp. 2.970%, 07/26/06 52,000 51,494,196 KFW International Finance, Inc. 5.250%, 06/28/06 53,000 53,761,928
146
FACE AMOUNT VALUE+ --------------- --------------- (000) Landesbank Baden-Wuerttemberg 4.150%, 03/30/07 $ 51,000 $ 51,153,714 Toyota Motor Credit Corp. 2.900%, 07/14/06 53,000 52,329,921 US Bank NA 2.850%, 11/15/06 34,350 33,808,507 Wal-Mart Stores, Inc. 5.450%, 08/01/06 19,100 19,432,034 Wells Fargo & Co. 5.900%, 05/21/06 8,600 8,759,306 --------------- TOTAL BONDS (Cost $357,891,586) 355,338,856 --------------- TOTAL -- UNITED STATES (Cost $1,462,291,976) 1,457,197,402 --------------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (9.4%) BONDS -- (9.4%) Asian Development Bank 4.875%, 02/05/07 50,000 51,064,000 European Investment Bank 3.000%, 08/15/06 52,600 52,282,769 Inter-American Development Bank 6.625%, 03/07/07 43,503 45,695,856 International Finance Corp. 5.250%, 05/02/06 19,400 19,616,252 4.750%, 04/30/07 28,000 28,497,280 --------------- TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS (Cost $197,885,211) 197,156,157 --------------- CANADA -- (6.9%) BONDS -- (6.9%) British Columbia, Province of 4.625%, 10/03/06 48,040 48,663,271 Manitoba, Province of 4.250%, 11/20/06 51,000 51,362,916 Ontario, Province of 2.650%, 12/15/06 44,000 43,256,048 --------------- TOTAL -- CANADA (Cost $144,169,118) 143,282,235 --------------- GERMANY -- (2.5%) BONDS -- (2.5%) Landwirtschaft Rentenbank 4.500%, 10/23/06 50,100 50,587,924 4.875%, 03/12/07 2,000 2,034,046 --------------- TOTAL -- GERMANY (Cost $53,230,441) 52,621,970 --------------- SPAIN -- (2.4%) BONDS -- (2.4%) Institut de Credito Oficial 4.625%, 11/29/06 (Cost $51,467,050) 50,500 51,029,442 --------------- NORWAY -- (2.4%) BONDS -- (2.4%) Eksportfinans ASA 5.750%, 06/06/06 (Cost $51,487,845) 50,000 50,999,200 --------------- SWEDEN -- (2.4%) BONDS -- (2.4%) Swedish Export Credit Corp. 2.875%, 01/26/07 (Cost $49,543,854) $ 50,000 $ 49,212,000 --------------- AUSTRIA -- (2.3%) BONDS -- (2.3%) Oesterreichische Kontrollbank AG 5.125%, 03/20/07 (Cost $46,967,784) 46,000 47,133,532 --------------- UNITED KINGDOM -- (1.0%) BONDS -- (1.0%) BP Capital Markets P.L.C. 2.750%, 12/29/06 (Cost $20,917,918) 21,332 20,995,232 --------------- TEMPORARY CASH INVESTMENTS -- (0.8%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $16,366,000 FHLMC Notes 4.00%, 09/22/09, valued at $16,386,458) to be repurchased at $16,145,296 (Cost $16,144,000) 16,144 16,144,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,094,105,197) $ 2,085,771,170 ===============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 147 THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
FACE AMOUNT VALUE+ --------------- --------------- (000) UNITED STATES -- (50.8%) AGENCY OBLIGATIONS -- (33.4%) Federal Farm Credit Bank 2.750%, 09/29/06 $ 141,060 $ 139,294,070 Federal Home Loan Bank 2.875%, 08/15/06 17,000 16,839,044 2.625%, 10/16/06 66,000 65,062,206 3.375%, 02/23/07 70,000 69,598,340 Federal Home Loan Mortgage Corporation 2.750%, 08/15/06 31,500 31,152,744 2.750%, 10/15/06 105,000 103,664,505 3.750%, 04/15/07 26,000 26,010,920 Federal National Mortgage Association 4.375%, 10/15/06 121,000 122,078,594 2.375%, 02/15/07 50,000 48,866,550 --------------- TOTAL AGENCY OBLIGATIONS (Cost $628,366,597) 622,566,973 --------------- BONDS -- (17.4%) Bank of America Corp. 5.250%, 02/01/07 52,700 53,803,591 Citigroup, Inc. 6.250%, 05/15/06 21,079 21,532,220 5.500%, 08/09/06 6,600 6,712,497 General Electric Capital Corp. 2.970%, 07/26/06 45,200 44,760,340 KFW International Finance, Inc. 5.250%, 06/28/06 45,000 45,646,920 Landesbank Baden-Wuerttemberg 4.150%, 03/30/07 53,000 53,159,742 Toyota Motor Credit Corp. 3.000%, 06/09/06 40,000 39,605,920 2.900%, 07/14/06 5,200 5,134,256 US Bank NA 2.850%, 11/15/06 7,000 6,889,652 Wal-Mart Stores, Inc. 5.450%, 08/01/06 28,323 28,815,367 Wells Fargo & Co. 5.900%, 05/21/06 17,035 17,350,556 --------------- TOTAL BONDS (Cost $325,474,332) 323,411,061 --------------- TOTAL -- UNITED STATES (Cost $953,840,929) 945,978,034 --------------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (14.6%) BONDS -- (14.6%) Asian Development Bank 4.875%, 02/05/07 51,500 52,595,920 Council of Europe 4.875%, 01/23/07 53,000 53,936,669 European Bank For Reconstruction & Development 5.375%, 06/15/06 $ 49,700 $ 50,389,389 European Investment Bank 3.000%, 08/15/06 34,000 33,794,946 4.875%, 09/06/06 16,500 16,747,533 Inter-American Development Bank 6.625%, 03/07/07 10,600 11,134,314 International Finance Corp. 4.750%, 04/30/07 7,700 7,836,752 World Bank (International Bank for Reconstruction & Development) Corporate Bonds 4.375%, 09/28/06 44,500 44,950,295 --------------- TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS (Cost $272,520,661) 271,385,818 --------------- CANADA -- (7.8%) BONDS -- (7.8%) British Columbia, Province of 4.625%, 10/03/06 48,500 49,129,239 Canadian Government 6.750%, 08/28/06 46,700 48,444,151 Manitoba, Province of 4.250%, 11/20/06 47,000 47,334,476 --------------- TOTAL -- CANADA (Cost $146,414,630) 144,907,866 --------------- GERMANY -- (5.7%) BONDS -- (5.7%) Landeskreditbank Baden-Wuerttemberg-Foerderbank 4.875%, 01/30/07 53,000 53,868,458 Landwirtschaft Rentenbank 4.500%, 10/23/06 49,737 50,221,390 4.875%, 03/12/07 3,000 3,051,069 --------------- TOTAL -- GERMANY (Cost $107,871,824) 107,140,917 --------------- NETHERLANDS -- (4.5%) BONDS -- (4.5%) Bank Nederlandse Gemeenten 4.500%, 12/14/06 43,000 43,448,576 Nederlandse Waterschapsbank NV 6.875%, 10/26/06 10,000 10,395,470 Rabobank 5.750%, 05/25/06 30,000 30,575,580 --------------- TOTAL -- NETHERLANDS (Cost $84,927,406) 84,419,626 ---------------
148
FACE AMOUNT VALUE+ --------------- --------------- (000) AUSTRIA -- (3.3%) BONDS -- (3.3%) Bank Austria AG 5.750%, 06/08/06 $ 10,000 $ 10,189,910 Oesterreichische Kontrollbank AG 5.125%, 03/20/07 50,000 51,232,100 --------------- TOTAL -- AUSTRIA (Cost $61,204,193) 61,422,010 --------------- SPAIN -- (2.7%) BONDS -- (2.7%) Institut de Credito Oficial 4.625%, 11/29/06 (Cost $50,944,882) 50,000 50,524,200 --------------- SWEDEN -- (2.7%) BONDS -- (2.7%) Swedish Export Credit Corp. 4.625%, 11/06/06 15,000 15,168,735 2.875%, 01/26/07 35,000 34,448,400 --------------- TOTAL -- SWEDEN (Cost $49,981,036) 49,617,135 --------------- NORWAY -- (2.5%) BONDS -- (2.5%) Eksportfinans ASA 5.750%, 06/06/06 (Cost $47,042,721) 45,700 46,613,269 --------------- DENMARK -- (2.4%) BONDS -- (2.4%) Denmark (Kingdom of) 5.125%, 12/28/06 (Cost $44,120,887) 43,000 43,930,864 --------------- UNITED KINGDOM -- (1.5%) BONDS -- (1.5%) BP Capital Markets P.L.C. 2.350%, 06/15/06 $ 14,000 $ 13,785,002 2.750%, 12/29/06 15,066 14,828,157 --------------- TOTAL -- UNITED KINGDOM (Cost $28,660,972) 28,613,159 --------------- FRANCE -- (0.8%) BONDS -- (0.8%) Dexia Municipal Agency 5.125%, 09/11/06 (Cost $15,420,689) 15,000 15,223,185 --------------- TEMPORARY CASH INVESTMENTS -- (0.7%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $12,453,000 FNMA Notes 2.95%, 11/14/07, valued at $12,437,434) to be repurchased at $12,253,984 (Cost $12,253,000) 12,253 12,253,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,875,203,830) $ 1,862,029,083 ===============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 149 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED)
THE U.S. THE ENHANCED THE U.S. THE U.S. LARGE U.S. LARGE LARGE CAP SMALL XM COMPANY COMPANY VALUE VALUE SERIES SERIES SERIES SERIES ------------ ------------ ------------ ------------- ASSETS: Investments at Value (including $227,963, $0, $153,810, and $2,028 of securities on loan, respectively) $ 4,102,019 $ 269,949 $ 4,963,825 $ 193,856 Cash 3,232 -- 1 1 Receivables: Investment Securities Sold -- -- 1,427 578 Dividends and Interest 6,559 1,635 6,334 130 Securities Lending Income 39 -- 260 8 Fund Shares Sold 2,597 92 6,047 32 Unrealized Gain on Swap Contracts -- 715 -- -- Prepaid Expenses and Other Assets 24 4 20 3 ------------ ------------ ------------ ------------- Total Assets 4,114,470 272,395 4,977,914 194,608 ------------ ------------ ------------ ------------- LIABILITIES: Payables: Upon Return of Securities Loaned 234,937 -- 159,527 2,271 Investment Securities Purchased -- -- 29,501 871 Fund Shares Redeemed 693 -- 109 -- Due to Advisor 79 11 387 16 Payable for Futures Margin Variation 435 1,669 -- -- Accrued Expenses and Other Liabilities 202 35 259 22 ------------ ------------ ------------ ------------- Total Liabilities 236,346 1,715 189,783 3,180 ------------ ------------ ------------ ------------- NET ASSETS $ 3,878,124 $ 270,680 $ 4,788,131 $ 191,428 ============ ============ ============ ============= SHARES OUTSTANDING $0.01 PAR VALUE N/A 30,387,939 247,661,374 16,871,850 ============ ============ ============ ============= NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE N/A $ 8.91 $ 19.33 $ 11.35 ============ ============ ============ ============= Investments at Cost $ 3,221,537 $ 270,838 $ 3,977,265 $ 188,579 ============ ============ ============ ============= THE U.S. THE U.S. THE U.S. THE DFA SMALL CAP SMALL MICRO INTERNATIONAL VALUE CAP CAP VALUE SERIES SERIES SERIES SERIES ------------ ------------ ------------ ------------- ASSETS: Investments at Value (including $173,532, $109,475, $138,767, and $845,639 of securities on loan, respectively) $ 6,782,328 $ 2,618,370 $ 3,506,310 $ 4,364,903 Cash 1 -- 1 -- Receivables: Investment Securities Sold 30,002 6,861 10,618 122 Dividends, Interest, and Tax Reclaims 3,833 1,100 1,153 11,301 Securities Lending Income 402 318 497 1,018 Fund Shares Sold 7,296 669 339 6,763 Prepaid Expenses and Other Assets 31 14 37 17 ------------ ------------ ------------ ------------- Total Assets 6,823,893 2,627,332 3,518,955 4,384,124 ------------ ------------ ------------ ------------- LIABILITIES: Payables: Upon Return of Securities Loaned 192,164 119,676 154,165 897,593 Investment Securities Purchased 34,422 5,820 27,516 9,084 Fund Shares Redeemed 354 128 77 323 Due to Advisor 1,061 61 270 575 Loan Payable -- -- -- 241 Accrued Expenses and Other Liabilities 402 141 228 247 ------------ ------------ ------------ ------------- Total Liabilities 228,403 125,826 182,256 908,063 ------------ ------------ ------------ ------------- NET ASSETS $ 6,595,490 $ 2,501,506 $ 3,336,699 $ 3,476,061 ============ ============ ============ ============= SHARES OUTSTANDING $0.01 PAR VALUE 307,994,629 166,281,387 313,499,630 221,948,580 ============ ============ ============ ============= NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE $ 21.41 $ 15.04 $ 10.64 $ 15.66 ============ ============ ============ ============= Investments at Cost $ 5,737,060 $ 2,385,238 $ 2,909,295 $ 3,763,256 ============ ============ ============ =============
See accompanying Notes to Financial Statements. 150
THE THE UNITED THE THE JAPANESE PACIFIC RIM KINGDOM CONTINENTAL SMALL SMALL SMALL SMALL COMPANY COMPANY COMPANY COMPANY SERIES SERIES SERIES SERIES ------------ ------------ ------------ ------------ ASSETS: Investments at Value (including $202,651, $57,424, $10,136, and $179,113 of securities on loan, respectively) $ 1,006,274 $ 402,012 $ 472,087 $ 1,006,082 Cash 15 5 15 15 Receivables: Investment Securities Sold -- 1,076 3,250 675 Dividends, Interest, and Tax Reclaims 5,404 691 1,508 2,027 Securities Lending Income 308 63 10 253 Fund Shares Sold 73 155 2,017 59 Prepaid Expenses and Other Assets 6 2 2 3 ------------ ------------ ------------ ------------ Total Assets 1,012,080 404,004 478,889 1,009,114 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned 219,524 65,492 10,865 189,883 Investment Securities Purchased 7,372 4,313 14,795 2,152 Fund Shares Redeemed -- 42 1 4 Due to Advisor 66 28 36 68 Accrued Expenses and Other Liabilities 88 60 63 115 ------------ ------------ ------------ ------------ Total Liabilities 227,050 69,935 25,760 192,222 ------------ ------------ ------------ ------------ NET ASSETS $ 785,030 $ 334,069 $ 453,129 $ 816,892 ============ ============ ============ ============ Investments at Cost $ 994,844 $ 395,816 $ 376,365 $ 724,615 ============ ============ ============ ============ THE THE EMERGING THE DFA THE DFA EMERGING MARKETS ONE-YEAR TWO-YEAR GLOBAL MARKETS SMALL CAP FIXED INCOME FIXED INCOME SERIES SERIES SERIES SERIES ------------- ------------- ------------- --------------- ASSETS: Investments at Value $ 1,387,658 $ 341,628 $ 2,085,771 $ 1,862,029 Cash 15 16 1 16 Receivables: Investment Securities Sold 15,037 -- -- -- Dividends, Interest, and Tax Reclaims 5,947 1,237 11,883 20,184 Fund Shares Sold 773 386 2,197 Prepaid Expenses and Other Assets 6 1 8 8 ------------- ------------- ------------- --------------- Total Assets 1,409,436 343,268 2,097,663 1,884,434 ------------- ------------- ------------- --------------- LIABILITIES: Payables: Investment Securities Purchased 1,089 1,701 -- -- Fund Shares Redeemed 1 -- 6,527 -- Due to Advisor 115 56 88 78 Deferred Thailand Capital Gains Tax 3,562 430 -- -- Accrued Expenses and Other Liabilities 236 84 113 123 ------------- ------------- ------------- --------------- Total Liabilities 5,003 2,271 6,728 201 ============= ============= ============= =============== NET ASSETS $ 1,404,433 $ 340,997 $ 2,090,935 $ 1,884,233 ============= ============= ============= =============== SHARES OUTSTANDING $0.01 PAR VALUE N/A N/A 209,400,816 188,475,872 ============= ============= ============= =============== NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE N/A N/A $ 9.99 $ 10.00 ============= ============= ============= =============== Investments at Cost $ 981,452 $ 283,589 $ 2,094,105 $ 1,875,204 ============= ============= ============= ===============
See accompanying Notes to Financial Statements. 151 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED)
THE U.S. THE ENHANCED THE U.S. THE U.S. LARGE U.S. LARGE LARGE CAP SMALL XM COMPANY COMPANY VALUE VALUE SERIES SERIES SERIES SERIES ------------ ------------ ------------ ------------ INVESTMENT INCOME Dividends $ 32,510 -- $ 30,069 $ 840 Interest 1,014 $ 3,455 644 22 Income from Securities Lending 94 -- 501 38 ------------ ------------ ------------ ------------ Total Investment Income 33,618 3,455 31,214 900 ------------ ------------ ------------ ------------ EXPENSES Investment Advisory Services 459 61 2,171 97 Accounting & Transfer Agent Fees 275 124 610 16 Custodian Fees 68 19 206 9 Legal Fees 13 1 8 1 Audit Fees 19 1 18 1 S&P 500 Fees 40 2 -- -- Shareholders' Reports 21 1 20 1 Trustees' Fees and Expenses 16 1 16 1 Other 31 5 30 8 ------------ ------------ ------------ ------------ Total Expenses 942 215 3,079 134 ------------ ------------ ------------ ------------ NET INVESTMENT INCOME (LOSS) 32,676 3,240 28,135 766 ------------ ------------ ------------ ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold (16,162) (526) 33,983 9,820 Net Realized Gain (Loss) on Futures 3,238 14,884 -- -- Net Realized Gain (Loss) on Foreign Currency Transactions -- 1,046 -- -- Net Realized Gain (Loss) on Swap Contracts -- 760 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 69,706 (916) 146,995 (8,416) Futures (1,348) (12,146) -- -- Swap Contracts -- (932) -- -- Translation of Foreign Currency Denominated Amounts -- (251) -- -- ------------ ------------ ------------ ------------ NET GAIN (LOSS) 55,434 1,919 180,978 1,404 ------------ ------------ ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 88,110 $ 5,159 $ 209,113 $ 2,170 ============ ============ ============ ============
See accompanying Notes to Financial Statements. 152
THE U.S. THE U.S. THE U.S. THE DFA SMALL CAP SMALL MICRO INTERNATIONAL VALUE CAP CAP VALUE SERIES SERIES SERIES SERIES ------------ ------------ ------------ ------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, and $6,624, respectively) $ 30,927 $ 10,397 $ 11,991 $ 59,004 Interest 1,022 279 376 243 Income from Securities Lending 2,073 1,451 2,549 2,820 ------------ ------------ ------------ ------------- Total Investment Income 34,022 12,127 14,916 62,067 ------------ ------------ ------------ ------------- EXPENSES Investment Advisory Services 6,438 365 1,631 3,260 Accounting & Transfer Agent Fees 903 341 458 655 Custodian Fees 306 116 155 381 Legal Fees 26 5 10 8 Audit Fees 31 10 16 12 Shareholders' Reports 35 11 19 14 Trustees' Fees and Expenses 26 8 14 10 Other 48 18 27 42 ------------ ------------ ------------ ------------- Total Expenses 7,813 874 2,330 4,382 ------------ ------------ ------------ ------------- NET INVESTMENT INCOME (LOSS) 26,209 11,253 12,586 57,685 ------------ ------------ ------------ ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 411,894 87,072 157,840 62,333 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- (82) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (462,336) (134,361) (252,417) (67,392) Translation of Foreign Currency Denominated Amounts -- -- -- (654) ------------ ------------ ------------ ------------- NET GAIN (LOSS) (50,442) (47,289) (94,577) (5,795) ------------ ------------ ------------ ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (24,233) $ (36,036) $ (81,991) $ 51,890 ============ ============ ============ =============
See accompanying Notes to Financial Statements. 153
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 $474, $160, $0, and $1,905, respectively) $ 6,294 $ 6,272 $ 6,108 $ 11,783 Interest 73 45 55 83 Income from Securities Lending 1,721 358 36 953 ------------ ------------ ------------ ------------ Total Investment Income 8,088 6,675 6,199 12,819 ------------ ------------ ------------ ------------ EXPENSES Investment Advisory Services 366 168 214 382 Accounting & Transfer Agent Fees 321 203 234 329 Custodian Fees 130 92 40 198 Legal Fees 2 1 1 2 Audit Fees 3 1 2 3 Shareholders' Reports 3 1 2 4 Trustees' Fees and Expenses 2 1 1 3 Other 11 5 6 12 ------------ ------------ ------------ ------------ Total Expenses 838 472 500 933 ------------ ------------ ------------ ------------ NET INVESTMENT INCOME (LOSS) 7,250 6,203 5,699 11,886 ------------ ------------ ------------ ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 5,269 4,275 4,575 15,308 Net Realized Gain (Loss) on Foreign Currency Transactions (3) 46 (49) (166) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 42,645 (17,021) (1,088) 22,727 Translation of Foreign Currency Denominated Amounts (204) (8) (5) (120) ------------ ------------ ------------ ------------ NET GAIN (LOSS) 47,707 (12,708) 3,433 37,749 ------------ ------------ ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 54,957 $ (6,505) $ 9,132 $ 49,635 ============ ============ ============ ============
See accompanying Notes to Financial Statements. 154
THE THE EMERGING THE DFA THE DFA EMERGING MARKETS ONE-YEAR TWO-YEAR GLOBAL MARKETS SMALL CAP FIXED INCOME FIXED INCOME SERIES SERIES SERIES SERIES ------------ ------------ ------------ --------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $2,719, $438, $0, and $0, respectively) $ 25,129 $ 5,439 -- -- Interest 121 42 $ 28,277 $ 26,070 ------------ ------------ ------------ --------------- Total Investment Income 25,250 5,481 28,277 26,070 ------------ ------------ ------------ --------------- EXPENSES Investment Advisory Services 657 300 502 447 Accounting & Transfer Agent Fees 407 187 225 392 Custodian Fees 713 231 86 59 Legal Fees 4 1 9 4 Audit Fees 5 1 10 9 Shareholders' Reports 6 1 11 9 Trustees' Fees and Expenses 5 1 9 7 Other 22 6 18 11 ------------ ------------ ------------ --------------- Total Expenses 1,819 728 870 938 ------------ ------------ ------------ --------------- NET INVESTMENT INCOME (LOSS) 23,431 4,753 27,407 25,132 ------------ ------------ ------------ --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 9,968 2,819 (4,906) (6,009) Net Realized Gain (Loss) on Foreign Currency Transactions (877) (94) -- 7,070 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 61,977 3,620 (881) (7,241) Translation of Foreign Currency Denominated Amounts (25) 4 -- (1,735) Deferred Thailand Capital Gains Tax 114 99 -- -- ------------ ------------ ------------ --------------- NET GAIN (LOSS) 71,157 6,448 (5,787) (7,915) ------------ ------------ ------------ --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 94,588 $ 11,201 $ 21,620 $ 17,217 ============ ============ ============ ===============
See accompanying Notes to Financial Statements. 155 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE U.S. THE ENHANCED LARGE COMPANY U.S. LARGE COMPANY SERIES SERIES -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 32,676 $ 65,462 $ 3,240 $ 2,781 Net Realized Gain (Loss) on Investment Securities Sold (16,162) (2,763) (526) (321) Net Realized Gain (Loss) on Futures 3,238 9,374 14,884 13,917 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- 1,046 (1,063) Net Realized Gain (Loss) on Swap Contracts -- -- 760 1,633 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 69,706 317,965 (916) 277 Translation of Foreign Currency Denominated Amounts -- -- (251) 251 Futures (1,348) 714 (12,146) 1,966 Swap Contracts -- -- (932) 1,337 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 88,110 390,752 5,159 20,778 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income -- -- (2,636) (1,998) Net Short-Term Gains -- -- -- -- Net Long-Term Gains -- -- -- -- ----------- ----------- ----------- ----------- Total Distributions -- -- (2,636) (1,998) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued -- -- 54,561 73,871 Shares Issued in Lieu of Cash Distributions -- -- 2,607 1,977 Shares Redeemed -- -- (10,791) (14,326) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions -- -- 46,377 61,522 ----------- ----------- ----------- ----------- Transactions in Interest: Contributions 465,880 571,038 -- -- Withdrawals (169,785) (468,868) -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest 296,095 102,170 -- -- ----------- ----------- ----------- ----------- Total Increase (Decrease) 384,205 492,922 48,900 80,302 NET ASSETS Beginning of Period 3,493,919 3,000,997 221,780 141,478 ----------- ----------- ----------- ----------- End of Period $ 3,878,124 $ 3,493,919 $ 270,680 $ 221,780 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued N/A N/A 6,187 8,760 Shares Issued in Lieu of Cash Distributions N/A N/A 293 234 Shares Redeemed N/A N/A (1,209) (1,698) ----------- ----------- ----------- ----------- N/A N/A 5,271 7,296 =========== =========== =========== =========== THE U.S. THE U.S. LARGE CAP VALUE SMALL XM VALUE SERIES SERIES -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 28,135 $ 45,093 $ 766 $ 2,059 Net Realized Gain (Loss) on Investment Securities Sold 33,983 84,609 9,820 24,457 Net Realized Gain (Loss) on Futures -- -- -- -- Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Net Realized Gain (Loss) on Swap Contracts -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 146,995 496,658 (8,416) 22,437 Translation of Foreign Currency Denominated Amounts -- -- -- -- Futures -- -- -- -- Swap Contracts -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 209,113 626,360 2,170 48,953 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (26,329) (33,641) (1,817) (1,311) Net Short-Term Gains -- -- (10,061) (10,132) Net Long-Term Gains (3,972) -- (14,166) (10,283) ----------- ----------- ----------- ----------- Total Distributions (30,301) (33,641) (26,044) (21,726) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 677,006 857,913 13,390 59,251 Shares Issued in Lieu of Cash Distributions 28,649 32,697 22,682 21,565 Shares Redeemed (16,249) (74,078) (28,095) (80,125) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 689,406 816,532 7,977 691 ----------- ----------- ----------- ----------- Transactions in Interest: Contributions -- -- -- -- Withdrawals -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest -- -- -- -- ----------- ----------- ----------- ----------- Total Increase (Decrease) 868,218 1,409,251 (15,897) 27,918 NET ASSETS Beginning of Period 3,919,913 2,510,662 207,325 179,407 ----------- ----------- ----------- ----------- End of Period $ 4,788,131 $ 3,919,913 $ 191,428 $ 207,325 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 35,683 50,791 1,168 5,275 Shares Issued in Lieu of Cash Distributions 1,509 1,939 2,007 2,056 Shares Redeemed (857) (4,363) (2,488) (7,080) ----------- ----------- ----------- ----------- 36,335 48,367 687 251 =========== =========== =========== ===========
See accompanying Notes to the Financial Statements. 156
THE U.S. THE U.S. SMALL CAP VALUE SMALL CAP SERIES SERIES -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 26,209 $ 41,172 $ 11,253 $ 15,072 Net Realized Gain (Loss) on Investment Securities Sold 411,894 580,495 87,072 113,151 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (462,336) 685,887 (134,361) 180,068 ----------- ----------- ----------- ----------- Translation of Foreign Currency Denominated Amounts -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations (24,233) 1,307,554 (36,036) 308,291 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (35,770) (18,623) (10,150) (10,116) Net Short-Term Gains (67,865) (55,751) (18,608) (638) Net Long-Term Gains (512,161) (300,806) (94,497) -- ----------- ----------- ----------- ----------- Total Distributions (615,796) (375,180) (123,255) (10,754) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 532,840 896,415 279,725 890,063 Shares Issued in Lieu of Cash Distributions 598,005 366,785 122,467 10,424 Shares Redeemed (190,228) (418,726) (62,485) (345,420) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 940,617 844,474 339,707 555,067 ----------- ----------- ----------- ----------- Total Increase (Decrease) 300,588 1,776,848 180,416 852,604 NET ASSETS Beginning of Period 6,294,902 4,518,054 2,321,090 1,468,486 ----------- ----------- ----------- ----------- End of Period $ 6,595,490 $ 6,294,902 $ 2,501,506 $ 2,321,090 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 24,632 42,487 18,288 60,867 Shares Issued in Lieu of Cash Distributions 27,569 18,895 7,940 728 Shares Redeemed (8,888) (20,327) (4,219) (23,461) ----------- ----------- ----------- ----------- 43,313 41,055 22,009 38,134 =========== =========== =========== =========== THE U.S. THE DFA MICRO CAP INTERNATIONAL VALUE SERIES SERIES -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 12,586 $ 18,087 $ 57,685 $ 49,525 Net Realized Gain (Loss) on Investment Securities Sold 157,840 346,562 62,333 115,062 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (82) (332) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (252,417) 92,588 (67,392) 436,284 ----------- ----------- ----------- ----------- Translation of Foreign Currency Denominated Amounts -- -- (654) 162 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations (81,991) 457,237 51,890 600,701 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (10,038) (13,321) (26,491) (44,310) Net Short-Term Gains (50,131) (35,169) (2,493) -- Net Long-Term Gains (217,324) (22,357) (104,987) -- ----------- ----------- ----------- ----------- Total Distributions (277,493) (70,847) (133,971) (44,310) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 248,621 408,460 664,859 728,312 Shares Issued in Lieu of Cash Distributions 269,889 67,549 131,569 42,852 Shares Redeemed (38,767) (270,002) (42,329) (128,290) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 479,743 206,007 754,099 642,874 ----------- ----------- ----------- ----------- Total Increase (Decrease) 120,259 592,397 672,018 1,199,265 NET ASSETS Beginning of Period 3,216,440 2,624,043 2,804,043 1,604,778 ----------- ----------- ----------- ----------- End of Period $ 3,336,699 $ 3,216,440 $ 3,476,061 $ 2,804,043 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 22,962 37,622 41,322 51,724 Shares Issued in Lieu of Cash Distributions 24,315 6,513 8,398 3,072 Shares Redeemed (3,546) (24,725) (2,638) (9,358) ----------- ----------- ----------- ----------- 43,731 19,410 47,082 45,438 =========== =========== =========== ===========
See accompanying Notes to the Financial Statements. 157
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, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 7,250 $ 6,488 $ 6,203 $ 7,693 Net Realized Gain (Loss) on Investment Securities Sold 5,269 4,671 4,275 8,924 Net Realized Gain (Loss) on Foreign Currency Transactions (3) (28) 46 69 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 42,645 101,600 (17,021) 37,804 Translation of Foreign Currency Denominated Amounts (204) 127 (8) 16 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 54,957 112,858 (6,505) 54,506 ----------- ----------- ----------- ----------- Transactions in Interest: Contributions 131,321 214,817 63,123 82,852 Withdrawals (6,380) (6,242) (5,548) (11,124) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest 124,941 208,575 57,575 71,728 ----------- ----------- ----------- ----------- Total Increase (Decrease) 179,898 321,433 51,070 126,234 NET ASSETS Beginning of Period 605,132 283,699 282,999 156,765 ----------- ----------- ----------- ----------- End of Period $ 785,030 $ 605,132 $ 334,069 $ 282,999 =========== =========== =========== =========== 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, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 5,699 $ 7,631 $ 11,886 $ 11,410 Net Realized Gain (Loss) on Investment Securities Sold 4,575 7,907 15,308 20,346 Net Realized Gain (Loss) on Foreign Currency Transactions (49) (42) (166) 114 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (1,088) 56,621 22,727 139,855 Translation of Foreign Currency Denominated Amounts (5) (12) (120) (20) ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 9,132 72,105 49,635 171,705 ----------- ----------- ----------- ----------- Transactions in Interest: Contributions 69,014 148,279 115,927 70,258 Withdrawals (2,780) (3,538) (3,314) (35,726) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest 66,234 144,741 112,613 34,532 ----------- ----------- ----------- ----------- Total Increase (Decrease) 75,366 216,846 162,248 206,237 NET ASSETS Beginning of Period 377,763 160,917 654,644 448,407 ----------- ----------- ----------- ----------- End of Period $ 453,129 $ 377,763 $ 816,892 $ 654,644 =========== =========== =========== ===========
See accompanying Notes to the Financial Statements. 158
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, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 23,431 $ 22,194 $ 4,753 $ 3,243 Net Realized Gain (Loss) on Investment Securities Sold 9,968 84 2,819 10,731 Net Realized Gain (Loss) on Foreign Currency Transactions (877) (1,491) (94) (378) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 61,977 245,707 3,620 35,801 Translation of Foreign Currency Denominated Amounts (25) 61 4 42 Deferred Thailand Capital Gains Tax 114 (985) 99 410 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 94,588 265,570 11,201 49,849 ----------- ----------- ----------- ----------- 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 181,980 377,916 94,933 89,119 Withdrawals (32,397) (90,785) (3,002) (18,847) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest 149,583 287,131 91,931 70,272 ----------- ----------- ----------- ----------- Total Increase (Decrease) 244,171 552,701 103,132 120,121 NET ASSETS Beginning of Period 1,160,262 607,561 237,865 117,744 ----------- ----------- ----------- ----------- End of Period $ 1,404,433 $ 1,160,262 $ 340,997 $ 237,865 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued N/A N/A N/A N/A Shares Issued in Lieu of Cash Distributions N/A N/A N/A N/A Shares Redeemed N/A N/A N/A N/A ----------- ----------- ----------- ----------- N/A N/A N/A N/A =========== =========== =========== =========== THE DFA THE DFA ONE-YEAR FIXED TWO-YEAR GLOBAL INCOME SERIES FIXED INCOME SERIES -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 27,407 $ 28,887 $ 25,132 $ 29,405 Net Realized Gain (Loss) on Investment Securities Sold (4,906) (4,145) (6,009) (6,273) Net Realized Gain (Loss) on Foreign Currency Transactions -- -- 7,070 (7,224) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (881) (4,638) (7,241) (2,216) Translation of Foreign Currency Denominated Amounts -- -- (1,735) 1,735 Deferred Thailand Capital Gains Tax -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 21,620 20,104 17,217 15,427 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (24,672) (26,750) (14,818) (21,943) Net Short-Term Gains -- (9,586) -- (13,106) Net Long-Term Gains -- (172) -- (354) ----------- ----------- ----------- ----------- Total Distributions (24,672) (36,508) (14,818) (35,403) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 581,179 818,007 202,753 536,479 Shares Issued in Lieu of Cash Distributions 23,594 34,532 14,792 35,234 Shares Redeemed (250,270) (552,025) (42,843) (40,215) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 354,503 300,514 174,702 531,498 ----------- ----------- ----------- ----------- Transactions in Interest: Contributions -- -- -- -- Withdrawals -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest -- -- -- -- ----------- ----------- ----------- ----------- Total Increase (Decrease) 351,451 284,110 177,101 511,522 NET ASSETS Beginning of Period 1,739,484 1,455,374 1,707,132 1,195,610 ----------- ----------- ----------- ----------- End of Period $ 2,090,935 $ 1,739,484 $ 1,884,233 $ 1,707,132 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 58,240 81,382 20,360 53,400 Shares Issued in Lieu of Cash Distributions 2,367 3,445 1,489 3,515 Shares Redeemed (25,086) (54,998) (4,300) (3,974) ----------- ----------- ----------- ----------- 35,521 29,829 17,549 52,941 =========== =========== =========== ===========
See accompanying Notes to the Financial Statements. 159 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (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 2.44%# 12.77% 15.05% (16.59)% (12.30)% (4.25)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,878,124 $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812 Ratio of Expenses to Average Net Assets 0.05%* 0.05% 0.05% 0.05% 0.05% 0.06% Ratio of Net Investment Income to Average Net Assets 1.78%* 1.99% 1.75% 1.53% 1.26% 1.12% Portfolio Turnover Rate 3%# 2% 8% 11% 8% 8% THE ENHANCED 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 8.83 $ 7.94 $ 6.97 $ 8.41 $ 9.92 $ 13.03 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.16 0.08 0.15 0.18 0.44 1.18 Net Gains (Losses) on Securities (Realized and Unrealized) 0.02 0.91 0.93 (1.46) (1.57) (1.62) ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.18 0.99 1.08 (1.28) (1.13) (0.44) - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.10) (0.10) (0.11) (0.16) (0.06) (1.30) Net Realized Gains -- -- -- -- -- (1.37) Return of Capital -- -- -- -- (0.32) -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.10) (0.10) (0.11) (0.16) (0.38) (2.67) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 8.91 $ 8.83 $ 7.94 $ 6.97 $ 8.41 $ 9.92 ================================================================================================================================== Total Return 2.07%# 12.50% 15.71% (15.34)% (11.66)% 4.64% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 270,680 $ 221,780 $ 141,478 $ 101,407 $ 90,801 $ 89,927 Ratio of Expenses to Average Net Assets 0.18%* 0.18% 0.18% 0.18% 0.19% 0.19% Ratio of Net Investment Income to Average Net Assets 2.67%* 1.59% 1.44% 2.61% 4.37% 5.26% Portfolio Turnover Rate 45%# 125% 138% 183% 122% 71%
* Annualized # Non-annualized N/A+ Not applicable as The U.S. Large Company Series is organized as a partnership and does not have a unitized value. See accompanying Notes to Financial Statements. 160
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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.12 0.23 0.21 0.20 0.25 0.33 Net Gains (Losses) on Securities (Realized and Unrealized) 0.80 3.09 2.41 (1.43) 1.25 0.04 ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.92 3.32 2.62 (1.23) 1.50 0.37 - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.12) (0.18) (0.22) (0.20) (0.27) (0.32) Net Realized Gains (0.02) -- -- -- (1.50) (3.13) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.14) (0.18) (0.22) (0.20) (1.77) (3.45) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 19.33 $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 ================================================================================================================================== Total Return 4.97%# 21.68% 20.34% (8.64)% 10.97% 3.06% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 4,788,131 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343 Ratio of Expenses to Average Net Assets 0.14%* 0.15% 0.15% 0.15% 0.15% 0.16% Ratio of Net Investment Income to Average Net Assets 1.30%* 1.41% 1.62% 1.49% 1.66% 2.20% Portfolio Turnover Rate 3%# 7% 7% 9% 6% 26% THE U.S. SMALL XM 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 12.81 $ 11.26 $ 9.08 $ 10.21 $ 8.95 $ 9.03 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.05 0.12 0.24 0.10 0.15 0.15 Net Gains (Losses) on Securities (Realized and Unrealized) 0.09 2.73 2.90 0.14 1.88 0.15 ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.14 2.85 3.14 0.24 2.03 0.30 - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.11) (0.08) (0.07) (0.10) (0.14) (0.15) Net Realized Gains (1.49) (1.22) (0.89) (1.27) (0.63) (0.23) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (1.60) (1.30) (0.96) (1.37) (0.77) (0.38) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 11.35 $ 12.81 $ 11.26 $ 9.08 $ 10.21 $ 8.95 ================================================================================================================================== Total Return 1.19%# 27.86% 38.88% 2.17% 24.10% 3.42% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 191,428 $ 207,325 $ 179,407 $ 804,555 $ 793,190 $ 801,368 Ratio of Expenses to Average Net Assets 0.14%* 0.13% 0.13% 0.13% 0.13% 0.13% Ratio of Net Investment Income to Average Net Assets 0.79%* 1.03% 0.89% 1.04% 1.32% 2.03% Portfolio Turnover Rate 14%# 38% 43% 34% 8% 26%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 161
THE U.S. SMALL 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 23.78 $ 20.20 $ 15.04 $ 16.54 $ 16.47 $ 17.16 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.09 0.16 0.12 0.11 0.15 0.16 Net Gains (Losses) on Securities (Realized and Unrealized) (0.15) 5.09 6.29 0.11 3.15 0.97 ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations (0.06) 5.25 6.41 0.22 3.30 1.13 - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.13) (0.08) (0.12) (0.11) (0.15) (0.16) Net Realized Gains (2.18) (1.59) (1.13) (1.61) (3.08) (1.66) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (2.31) (1.67) (1.25) (1.72) (3.23) (1.82) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 21.41 $ 23.78 $ 20.20 $ 15.04 $ 16.54 $ 16.47 ================================================================================================================================== Total Return (0.36)%# 27.87% 46.31% 1.05% 23.86% 7.29% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 6,595,490 $ 6,294,902 $ 4,518,054 $ 3,148,780 $ 3,039,844 $ 2,711,041 Ratio of Expenses to Average Net Assets 0.24%* 0.25% 0.25% 0.25% 0.25% 0.25% Ratio of Net Investment Income to Average Net Assets 0.82%* 0.78% 0.75% 0.70% 0.86% 0.92% Portfolio Turnover Rate 14%# 26% 35% 30% 13% 32% 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.07 0.12 0.08 0.09 0.10 0.11 Net Gains (Losses) on Securities (Realized and Unrealized) (0.28) 2.22 3.92 (1.00) 1.24 0.65 ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations (0.21) 2.34 4.00 (0.91) 1.34 0.76 - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.07) (0.08) (0.09) (0.10) (0.10) (0.11) Net Realized Gains (0.77) (0.01) -- (0.14) (1.83) (1.22) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.84) (0.09) (0.09) (0.24) (1.93) (1.33) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.04 $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67 ================================================================================================================================== Total Return (1.43)%# 16.99% 40.32% (8.42)% 13.08% 6.48% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 2,501,506 $ 2,321,090 $ 1,468,486 $ 851,901 $ 991,082 $ 768,151 Ratio of Expenses to Average Net Assets 0.07%* 0.07% 0.08% 0.08% 0.08% 0.08% Ratio of Net Investment Income to Average Net Assets 0.93%* 0.85% 0.84% 0.81% 0.94% 0.99% Portfolio Turnover Rate 9%# 16% 16% 34% 13% 38%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 162
THE U.S. MICRO 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 11.92 $ 10.48 $ 7.11 $ 7.50 $ 8.19 $ 9.55 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.04 0.07 0.05 0.04 0.07 0.07 Net Gains (Losses) on Securities (Realized and Unrealized) (0.29) 1.65 3.47 (0.25) 1.07 0.46 ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations (0.25) 1.72 3.52 (0.21) 1.14 0.53 - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.04) (0.05) (0.05) (0.05) (0.06) (0.07) Net Realized Gains (0.99) (0.23) (0.10) (0.13) (1.77) (1.82) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (1.03) (0.28) (0.15) (0.18) (1.83) (1.89) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.64 $ 11.92 $ 10.48 $ 7.11 $ 7.50 $ 8.19 ================================================================================================================================== Total Return (2.51)%# 16.83% 50.34% (2.96)% 17.66% 5.82% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,336,699 $ 3,216,440 $ 2,624,043 $ 1,611,189 $ 1,616,114 $ 1,443,726 Ratio of Expenses to Average Net Assets 0.14%* 0.15% 0.15% 0.15% 0.15% 0.15% Ratio of Net Investment Income to Average Net Assets 0.77%* 0.64% 0.68% 0.58% 0.88% 0.76% Portfolio Turnover Rate 10%# 27% 19% 19% 14% 37% 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.27 0.33 0.27 0.24 0.27 0.27 Net Gains (Losses) on Securities (Realized and Unrealized) 0.10 3.61 3.06 (0.78) (1.49) (0.31) ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.37 3.94 3.33 (0.54) (1.22) (0.04) - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.15) (0.30) (0.25) (0.25) (0.27) (0.26) Net Realized Gains (0.60) -- (0.01) (0.03) (0.43) (0.81) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.75) (0.30) (0.26) (0.28) (0.70) (1.07) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.66 $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 ================================================================================================================================== Total Return 2.31%# 32.15% 36.24% (5.53)% (10.75)% (0.51)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,476,061 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481 Ratio of Expenses to Average Net Assets 0.27%* 0.28% 0.30% 0.30% 0.29% 0.29% Ratio of Net Investment Income to Average Net Assets 3.55%* 2.35% 2.61% 2.36% 2.32% 2.13% Portfolio Turnover Rate 5%# 15% 14% 18% 6% 9%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 163
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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (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 8.94%# 32.73% 47.87% (9.62)% (13.51)% (9.93)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 785,030 $ 605,132 $ 283,699 $ 195,047 $ 196,187 $ 196,118 Ratio of Expenses to Average Net Assets 0.23%* 0.27% 0.28% 0.27% 0.28% 0.27% Ratio of Net Investment Income to Average Net Assets 1.99%* 1.45% 1.41% 1.26% 1.41% 1.38% Portfolio Turnover Rate 2%# 5% 16% 5% 9% 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (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 (1.72)%# 27.40% 61.47% 7.28% 2.84% (10.99)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 334,069 $ 282,999 $ 156,765 $ 121,637 $ 130,554 $ 131,888 Ratio of Expenses to Average Net Assets 0.28%* 0.32% 0.31% 0.32% 0.28% 0.29% Ratio of Net Investment Income to Average Net Assets 3.71%* 3.82% 3.35% 3.77% 3.69% 4.10% Portfolio Turnover Rate 3%# 11% 15% 26% 10% 7%
* Annualized # Non-annualized N/A+ Not applicable as The Japanese Small Company Series and The Pacific Rim Small Company Series are organized as partnerships and do not have unitized values. See accompanying Notes to Financial Statements. 164
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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (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 2.57%# 29.68% 44.65% (4.67)% (4.89)% (6.18)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 453,129 $ 377,763 $ 160,917 $ 98,899 $ 96,741 $ 109,806 Ratio of Expenses to Average Net Assets 0.23%* 0.27% 0.26% 0.26% 0.27% 0.26% Ratio of Net Investment Income to Average Net Assets 2.67%* 2.70% 3.25% 3.03% 2.86% 3.06% Portfolio Turnover Rate 5%# 7% 7% 6% 14% 11% 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (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 7.81%# 36.57% 52.86% 3.22% (5.43)% 2.67% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 816,892 $ 654,644 $ 448,407 $ 263,068 $ 210,337 $ 226,724 Ratio of Expenses to Average Net Assets 0.24%* 0.26% 0.30% 0.31% 0.30% 0.28% Ratio of Net Investment Income to Average Net Assets 3.12%* 2.09% 2.49% 2.22% 2.73% 2.36% Portfolio Turnover Rate 3%# 9% 11% 12% 12% 9%
* Annualized # Non-annualized N/A+ Not applicable as The United Kingdom Small Company Series and The Continental Small Company Series are organized as partnerships and do not have unitized values. See accompanying Notes to Financial Statements. 165
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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (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 8.09%# 35.47% 39.67% 2.10% (8.54)% (22.30)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,404,433 $ 1,160,262 $ 607,561 $ 343,193 $ 307,720 $ 296,726 Ratio of Expenses to Average Net Assets 0.28%* 0.31% 0.34% 0.34% 0.46% 0.46% Ratio of Net Investment Income to Average Net Assets 3.58%* 2.63% 2.23% 1.64% 1.94% 1.33% Portfolio Turnover Rate 2%# 2% 1% 8% 6% 12% 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (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 5.38%# 35.22% 52.80% 13.07% (9.55)% (23.28)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 340,997 $ 237,865 $ 117,744 $ 40,379 $ 34,687 $ 32,572 Ratio of Expenses to Average Net Assets 0.49%* 0.52% 0.54% 0.51% 0.63% 0.66% Ratio of Net Investment Income to Average Net Assets 3.17%* 1.93% 2.44% 2.03% 2.17% 1.69% Portfolio Turnover Rate 2%# 11% 6% 16% 14% 20%
* Annualized # Non-annualized N/A+ Not applicable as The Emerging Markets Series and The Emerging Markets Small Cap Series are organized as partnerships and do not have unitized values. See accompanying Notes to Financial Statements. 166
THE DFA ONE-YEAR 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 10.00 $ 10.10 $ 10.19 $ 10.11 $ 10.01 $ 9.97 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.13 0.16 0.15 0.27 0.49 0.60 Net Gains (Losses) on Securities (Realized and Unrealized) (0.02) (0.04) 0.04 0.09 0.13 0.04 ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.11 0.12 0.19 0.36 0.62 0.64 - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.12) (0.15) (0.16) (0.28) (0.52) (0.60) Net Realized Gains -- (0.07) (0.12) -- -- -- Return of Capital -- -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.12) (0.22) (0.28) (0.28) (0.52) (0.60) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 9.99 $ 10.00 $ 10.10 $ 10.19 $ 10.11 $ 10.01 ================================================================================================================================== Total Return 1.15%# 1.21% 1.95% 3.57% 6.33% 6.63% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 2,090,935 $ 1,739,484 $ 1,455,374 $ 992,829 $ 739,657 $ 841,506 Ratio of Expenses to Average Net Assets 0.09%* 0.09% 0.09% 0.09% 0.09% 0.09% Ratio of Net Investment Income to Average Net Assets 2.74%* 1.63% 1.51% 2.65% 4.89% 6.07% Portfolio Turnover Rate 39%# 154% 143% 154% 55% 35% 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 9.99 $ 10.13 $ 10.22 $ 10.03 $ 9.70 $ 10.11 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.17 0.12 0.25 0.30 0.44 0.84 Net Gains (Losses) on Securities (Realized and Unrealized) (0.08) -- (0.01) 0.16 0.22 (0.23) ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.09 0.12 0.24 0.46 0.66 0.61 - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.08) (0.15) (0.19) (0.27) (0.14) (1.02) Net Realized Gains -- (0.11) (0.14) -- -- -- Return of Capital -- -- -- -- (0.19) -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.08) (0.26) (0.33) (0.27) (0.33) (1.02) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.00 $ 9.99 $ 10.13 $ 10.22 $ 10.03 $ 9.70 ================================================================================================================================== Total Return 0.95%# 1.22% 2.36% 4.60% 6.91% 6.30% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,884,233 $ 1,707,132 $ 1,195,610 $ 799,308 $ 596,209 $ 518,518 Ratio of Expenses to Average Net Assets 0.11%* 0.11% 0.13% 0.14% 0.15% 0.15% Ratio of Net Investment Income to Average Net Assets 2.82%* 1.96% 1.78% 3.20% 4.54% 5.03% Portfolio Turnover Rate 39%# 131% 144% 138% 113% 73%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 167 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, 2005, the Trust consisted of twenty-one investment portfolios, ("the Portfolios") of which sixteen are included in this report, (collectively, the "Series") (five are presented in separate reports): The U.S. Large Company Series The Enhanced U.S. Large Company Series The U.S. Large Cap Value Series The U.S. Small XM Value Series The U.S. Small Cap Value Series The U.S. Small Cap Series The U.S. Micro Cap Series (the "Domestic Equity Portfolios") The DFA One-Year Fixed Income Series The DFA Two-Year Global Fixed Income Series (the "Fixed Income Portfolios") The DFA International Value Series The Japanese Small Company Series The Pacific Rim Small Company Series The United Kingdom Small Company Series The Continental Small Company Series The Emerging Markets Series The Emerging Markets Small Cap Series (the "International Equity Portfolios") B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the 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 requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day. Securities held by the Series that are listed on NASDAQ are valued at the NASDAQ Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Series values securities at the mean between the quoted bid and asked prices. Securities held by the International Equity Portfolios that are listed on a securities exchange are valued at the last quoted sale price. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are available are valued at the mean between the most recent bid and asked prices. Fixed income instruments held by The Enhanced U.S. Large Company Series and The Fixed Income Portfolios are valued at the mean between the most recent quoted bid and asked prices or prices provided by a pricing service when such prices are believed to reflect the current market value of these securities. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Trustees. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the New York Stock Exchange (NYSE). For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time 168 differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Trustees of the Funds have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable, and may trigger fair value pricing. Consequently, fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Series utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of such prices will have a material impact on the net asset value of a Series. When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. 2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities of The Enhanced U.S. Large Company Series, the International Equity Portfolios and The DFA Two-Year Global Fixed Income Series, whose values are initially expressed in foreign currencies, are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income Series also enter into forward foreign currency contracts solely for the purpose of hedging against fluctuations in currency exchange rates. These contracts are also marked to market daily based on daily exchange rates. The International Equity Portfolios do not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. However, The Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income Series do isolate the effect of fluctuations in foreign currency rates when determining the realized gain or loss upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. federal income tax regulations; such amounts are categorized as foreign exchange gain or loss for both financial reporting and income tax reporting purposes. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of The Enhanced U.S. Large Company Series, the International Equity Portfolios and The DFA Two-Year Global Fixed Income Series and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may defer payment of a percentage of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Trustees' Fees and Expenses. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Discount and premium on securities purchased are amortized over the lives of the respective securities, utilizing the effective interest method. Expenses directly attributable to a Portfolio 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. 169 The International Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Funds accrue such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation 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 Portfolio'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 Trust. For the six months ended May 31, 2005, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: The U.S. Large Company Series 0.025 of 1% The Enhanced U.S. Large Company Series 0.05 of 1% The U.S. Large Cap Value Series 0.10 of 1% The U.S. Small XM Value Series 0.10 of 1% The U.S. Small Cap Value Series 0.20 of 1% The U.S. Small Cap Series 0.03 of 1% The U.S. Micro Cap Series 0.10 of 1% The DFA International Value Series 0.20 of 1% The Japanese Small Company Series 0.10 of 1% The Pacific Rim Small Company Series 0.10 of 1% The United Kingdom Small Company Series 0.10 of 1% The Continental Small Company Series 0.10 of 1% The Emerging Markets Series 0.10 of 1% The Emerging Markets Small Cap Series 0.20 of 1% The DFA One-Year Fixed Income Series 0.05 of 1% The DFA Two-Year Global Fixed Income Series 0.05 of 1%
Certain officers of the Trust are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At May 31, 2005, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities as follows: The U.S. Large Company Series $ 58,041 The Enhanced U.S. Large Company Series 3,773 The U.S. Large Cap Value Series 67,547 The U.S. Small XM Value Series 3,144 The U.S. Small Cap Value Series 103,173 The U.S. Small Cap Series 38,856 The U.S. Micro Cap Series 52,450 The DFA International Value Series 50,660 The Japanese Small Company Series 11,236 The Pacific Rim Small Company Series 5,339 The United Kingdom Small Company Series 6,759 The Continental Small Company Series 11,761 The Emerging Markets Series 20,595 The Emerging Markets Small Cap Series 4,565 The DFA One-Year Fixed Income Series 31,190 The DFA Two-Year Global Fixed Income Series 27,975
170 E. PURCHASE AND SALES OF SECURITIES: For the six months ended May 31, 2005, 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 -- -- $ 423,290 $ 99,310 The Enhanced U.S. Large Company Series $ 31,958 $ 10,952 74,911 53,635 The U.S. Large Cap Value Series -- -- 765,051 122,559 The U.S. Small XM Value Series -- -- 26,840 42,826 The U.S. Small Cap Value Series -- -- 1,199,579 915,320 The U.S. Small Cap Series -- -- 437,486 209,714 The U.S. Micro Cap Series -- -- 542,965 330,868 The DFA International Value Series -- -- 843,507 165,589 The Japanese Small Company Series -- -- 148,731 11,669 The Pacific Rim Small Company Series -- -- 76,340 9,687 The United Kingdom Small Company Series -- -- 88,705 19,689 The Continental Small Company Series -- -- 151,068 25,106 The Emerging Markets Series -- -- 183,827 32,326 The Emerging Markets Small Cap Series -- -- 104,948 6,200 The DFA One-Year Fixed Income Series 283,506 216,474 555,081 246,265 The DFA Two-Year Global Fixed Income Series 170,861 185,092 704,272 492,688
F. FEDERAL INCOME TAXES: It is the intention of The Enhanced U.S. Large Company Series, The U.S. Large Cap Value Series, The U.S. Small XM Value Series, The U.S. Small Cap Value Series, The U.S. Small Cap Series, The U.S. Micro Cap Series, The DFA International Value Series, The DFA One-Year Fixed Income Series and The DFA Two-Year Global Fixed Income Series to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and to distribute substantially all of their taxable income and capital gains to shareholders. The U.S. Large Company Series, The Japanese Small Company Series, The Pacific Rim Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series, The Emerging Markets Series and The Emerging Markets Small Cap Series are treated as partnerships for federal income tax purposes and therefore, no provision for federal income taxes is required. Any interest, dividends, and gains or losses have been deemed to have been "passed down" to their respective partners. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL ------------- ------------- ---------- The Enhanced U.S. Large Company Series 2004 $ 1,998 -- $ 1,998 2003 1,810 -- 1,810 The U.S. Large Cap Value Series 2004 33,641 -- 33,641 2003 31,464 -- 31,464
171
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL ------------- ------------- ------------- The U.S. Small XM Value Series 2004 $ 11,443 $ 10,283 $ 21,726 2003 2,339 78,781 81,120 The U.S. Small Cap Value Series 2004 74,374 300,806 375,180 2003 26,137 230,313 256,450 The U.S. Small Cap Series 2004 10,754 -- 10,754 2003 8,820 -- 8,820 The U.S. Micro Cap Series 2004 48,490 22,357 70,847 2003 12,775 22,183 34,958 The DFA International Value Series 2004 44,310 -- 44,310 2003 30,082 1,177 31,259 The DFA One-Year Fixed Income Series 2004 36,362 146 36,508 2003 31,733 10 31,743 The DFA Two-Year Global Fixed Income Series 2004 35,086 317 35,403 2003 17,698 10,965 28,663
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET UNDISTRIBUTED DISTRIBUTABLE NET UNDISTRIBUTED CAPITAL EARNINGS INVESTMENT LONG-TERM LOSS (ACCUMULATED INCOME CAPITAL GAINS CARRYFORWARD LOSS) ------------- ------------- ------------- ------------- The Enhanced U.S. Large Company Series $ 1,842 -- $ (11,188) $ (9,346) The U.S. Large Cap Value Series 13,203 $ 3,947 -- 17,150 The U.S. Small XM Value Series 11,290 14,101 -- 25,391 The U.S. Small Cap Value Series 92,387 511,749 -- 604,136 The U.S. Small Cap Series 23,732 94,427 -- 118,159 The U.S. Micro Cap Series 54,927 216,958 -- 271,885 The DFA International Value Series 22,727 104,819 -- 127,546 The DFA One-Year Fixed Income Series 3,162 -- (4,145) (983) The DFA Two-Year Global Fixed Income Series 4,286 -- (6,273) (1,987)
172 For federal income tax purposes, the Fund measures its capital loss carryforwards annually at November 30, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. As of November 30, 2004, the following Series' had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON NOVEMBER 30, ----------------------- 2010 2012 TOTAL ----------- --------- ---------- The Enhanced U.S. Large Company Series $ 11,188 -- $ 11,188 The DFA One-Year Fixed Income Series -- $ 4,145 4,145 The DFA Two-Year Global Fixed Income Series -- 6,273 6,273
Certain of the Series' investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. During the year ended November 30, 2004, the following Series' had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income.
MARK TO MARKET REALIZED GAINS -------------- -------------- The DFA International Value Series $ 10,083,171 $ 12,003,955 The Japanese Small Company Series 3,639,564 92,868 The Pacific Rim Small Company Series 1,131,373 1,633,733 The United Kingdom Small Company Series 1,424,643 32,840 The Continental Small Company Series 3,269,647 1,120,728 The Emerging Markets Series 2,976,502 318,491 The Emerging Markets Small Cap Series 214,365 435,517
At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ------------- ------------ -------------- ------------- The U.S. Large Company Series $ 3,395,166 $ 1,107,748 $ (400,895) $ 706,853 The Enhanced U.S. Large Company Series 270,875 144 (1,070) (926) The U.S. Large Cap Value Series 3,977,265 1,216,187 (229,627) 986,560 The U.S. Small XM Value Series 188,686 31,429 (26,259) 5,170 The U.S. Small Cap Value Series 5,739,649 1,627,915 (585,236) 1,042,679 The U.S. Small Cap Series 2,388,147 538,573 (308,350) 230,223 The U.S. Micro Cap Series 2,910,535 1,022,374 (426,599) 595,775 The DFA International Value Series 3,763,356 692,851 (91,304) 601,547 The Japanese Small Company Series 998,112 125,118 (116,956) 8,162 The Pacific Rim Small Company Series 395,866 71,148 (65,001) 6,147 The United Kingdom Small Company Series 376,376 125,938 (30,226) 95,712 The Continental Small Company Series 724,615 315,673 (34,206) 281,467 The Emerging Markets Series 982,065 469,044 (63,451) 405,593 The Emerging Markets Small Cap Series 283,589 84,408 (26,370) 58,038 The DFA One-Year Fixed Income Series 2,094,206 573 (9,008) (8,435) The DFA Two-Year Global Fixed Income Series 1,875,204 1,634 (14,809) (13,175)
173 G. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
UNREALIZED ACCUMULATED APPRECIATION NET REALIZED (DEPRECIATION) GAIN (LOSS) OF INVESTMENT ACCUMULATED OF INVESTMENT ACCUMULATED SECURITIES, UNREALIZED NET SECURITIES, NET REALIZED FUTURES, NET FOREIGN INVESTMENT FUTURES AND FOREIGN SWAP CONTRACTS EXCHANGE NUMBER OF PAID-IN INCOME SWAP EXCHANGE AND FOREIGN GAIN TOTAL NET SHARES CAPITAL (LOSS) CONTRACTS GAIN (LOSS) CURRENCY (LOSS) ASSETS AUTHORIZED ----------- ----------- ------------- ------------ -------------- ----------- ----------- ---------- The Enhanced U.S. Large Company Series $ 275,826 $ 564 $ (3,280) $ 1,046 $ (3,476) -- $ 270,680 Unlimited The U.S. Large Cap Value Series 3,752,794 14,963 33,814 -- 986,560 -- 4,788,131 Unlimited The U.S. Small XM Value Series 176,606 (249) 9,794 -- 5,277 -- 191,428 Unlimited The U.S. Small Cap Value Series 5,126,701 13,820 409,701 -- 1,045,268 -- 6,595,490 Unlimited The U.S. Small Cap Series 2,178,692 6,252 83,430 -- 233,132 -- 2,501,506 Unlimited The U.S. Micro Cap Series 2,575,996 7,255 156,433 -- 597,015 -- 3,336,699 Unlimited The DFA International Value Series 2,771,495 49,058 54,235 (82) 601,647 $ (292) 3,476,061 Unlimited The DFA One-Year Fixed Income Series 2,102,449 5,922 (9,102) -- (8,334) -- 2,090,935 Unlimited The DFA Two-Year Global Fixed Income Series 1,889,729 12,985 (12,376) 7,070 (13,175) -- 1,884,233 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 31, 2005. 2. FORWARD CURRENCY CONTRACTS: The Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income Series may enter into forward foreign currency contracts only to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies. At May 31, 2005, there were no outstanding forward foreign currency contracts. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar. 3. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain consideration and risks not typically associated with investments in the United States, including the possibility of future political and economic developments and the level of foreign government supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Series may be inhibited. 4. FUTURES CONTRACTS: During the six months ended May 31, 2005, The U.S. Large Company Series ("Large Company") and The Enhanced U.S. Large Company Series ("Enhanced") entered into futures contracts in accordance with their investment objectives. Upon entering into a futures contract, Large Company and Enhanced deposit cash or pledge U.S. Government securities to a broker, equal to the minimum "initial margin" requirements of the exchange 174 on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by Large Company and Enhanced as unrealized gains or losses until the contracts are closed. When the contracts are closed, Large Company and Enhanced record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. At May 31, 2005, Large Company had outstanding 260 long futures contracts on the S&P 500 Index, all of which expire on June 17, 2005. The value of such contracts on May 31, 2005 was $77,499,500, which resulted in an unrealized gain of $1,607,600. Approximately $4,160,000 of cash has been segregated as collateral for the open futures contracts and has been accounted for as cash on the Statement of Assets and Liabilities. At May 31, 2005, Enhanced had outstanding 845 long futures contracts on the S&P 500 Index which expire on June 17, 2005. The value of such contracts on May 31, 2005 was $251,873,375, which resulted in an unrealized loss of $3,301,225. The securities in Enhanced have been segregated as collateral for the open futures contracts. Risks arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities and from the possibility of an illiquid secondary market for these instruments and from the possibility that the Series could lose more than the initial margin requirements. 5. EQUITY INDEX SWAPS: Enhanced may enter into equity index swaps in accordance with its investment objectives. A swap agreement obligates two parties to exchange returns realized on a notional amount agreed upon by both parties. The obligations of the parties are calculated on a net basis based on the daily fluctuations in the indices on which the agreement is based. The daily net fluctuation is recorded as unrealized gains or losses by Enhanced. At the termination of the agreement, Enhanced will receive from or pay to the counterparty, the accumulated net unrealized gain or loss, which will then be recorded as realized. At May 31, 2005, Enhanced had an outstanding equity index swap with Morgan Stanley dated April 15, 2005 (which represents approximately 6% of the net assets of Enhanced), terminating on October 15, 2005. The notional value of the swap was $17,139,300 and Enhanced had recorded net unrealized appreciation of $714,809, owed to Enhanced as of May 31, 2005. Payments made by Enhanced are based on the London Interbank Offered Rate (LIBOR) plus 0.07% per annum calculated on the original notional amount plus accumulated interest added on the monthly LIBOR reset date. Payments received by Enhanced are based on the daily value of the S&P 500 Index plus accumulated dividends as expressed in Index points calculated on the original notional amount. Risks arise upon entering into equity index swap agreements in the event of the default or bankruptcy of a swap agreement counterparty where the swap agreement counterparty would not be able to pay any unrealized appreciation upon termination of the agreement, and in the event of unfavorable market and interest changes resulting in a liability of the Series. I. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. For the six months ended May 31, 2005, borrowings under the line of credit were as follows:
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD ------------- ------------ ----------- -------- --------------- The U.S. Small XM Value Series 3.34% $ 2,582,295 21 $ 5,030 $ 4,910,000 The DFA International Value Series 3.76% 241,250 1 25 241,250 The Japanese Small Company Series 3.15% 200,000 1 18 200,000 The Pacific Rim Small Company Series 3.76% 300,000 4 125 300,000 The United Kingdom Small Company Series 3.49% 2,053,000 4 797 2,700,000
175 At May 31, 2005, The DFA International Value Series had an outstanding borrowing under the line of credit of $241,250 plus accrued interest. There were no other outstanding borrowings under the line of credit at May 31, 2005. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings by the Trust under the line of credit during the six months ended May 31, 2005. J. SECURITIES LENDING: As of May 31, 2005, 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, the lending agent has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. The cash collateral received by each portfolio from securities on loan is invested in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. The Portfolios paid fees for securities lending for the six month period ended May 31, 2005, which have been netted against Income from Securities Lending on the Statements of Operations. These fees are presented below (amounts in thousands): The U.S. Large Company Series $ 23 The U.S. Large Cap Value Series 126 The U.S. Small XM Value Series 10 The U.S. Small Cap Value Series 514 The U.S. Small Cap Series 363 The U.S. Micro Cap Series 637 The DFA International Value Series 1,219 The Japanese Small Company Series 740 The Pacific Rim Small Company Series 154 The United Kingdom Small Company Series 16 The Continental Small Company Series 408
K. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 176 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Fund and the Trust uses in voting proxies relating to securities held in the portfolio is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dfaus.com and reflects the twelve-month period beginning July 1 and ending June 30. 177 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS At the Board meeting held on December 15, 2004 (the "December Meeting"), the Board of Directors of DFA Investment Dimensions Group Inc. and the Board of Trustees of The DFA Investment Trust Company (together, the "Board") considered the continuation of the investment advisory/management agreements for each portfolio or series (collectively, the "Funds") and, if applicable, a Fund's sub-advisory agreement. For certain Funds, Dimensional Fund Advisors Ltd. or DFA Australia Limited serve as a sub-advisor. (The investment advisory/management agreements and the sub-advisory agreements are referred to as the "Advisory Agreements," and the Advisor and sub-advisors are referred to as the "Advisor.") Prior to the December Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Advisory Agreements. The Independent Board Members, met with their independent counsel in advance of the Meeting to discuss the materials provided by the Advisor, the independent reports prepared by Lipper Analytical Services, Inc., and issues related to the continuation of the Advisory Agreements. At the December Meeting, the Board considered a number of factors when considering the continuation of each Advisory Agreement for a Fund, including: (i) the nature, extent and quality of services provided by the Advisor to each Fund; (ii) the performance of each Fund and the Advisor; (iii) the fees and expenses borne by each Fund; (iv) the profitability realized by the Advisor from the relationship with each Fund; (v) whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of the advisory fee charged; (vi) comparisons of the services to be rendered and the amounts to be paid under other advisory contracts; and (vii) any benefits to be derived by the Advisor from its relationship with each Fund. When considering the nature and quality of the services provided by the Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor's investment advisory capabilities. The Board evaluated the Advisor's portfolio management process. The Board also considered the nature and character of non-investment management services provided by the Advisor. After analyzing the caliber of services provided by the Advisor to each Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to each Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund. In considering the performance of each Fund, the Board analyzed the Lipper reports, which compared the performance of each Fund with other funds in its respective peer group and peer universe, and noted that the performance of most Funds compared favorably with their peer groups. At the Board's request, the Advisor specifically addressed the factors that contributed to the comparative performance of the DFA Real Estate Securities Portfolio, DFA Short-Term Municipal Bond Portfolio, U.S. Micro Cap Series, U.S. Small Cap Series, DFA One-Year Fixed Income Series and DFA Two-Year Global Fixed Income Series. The Board concluded that the Advisor's explanations provided a sound basis for understanding the performance of these Funds. The Board determined, among other things, that the performance of each Fund was acceptable as compared with relevant performance standards. When considering the fees and expenses borne by each Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Lipper reports. The Board concluded that the advisory fees and total expenses of each Fund over various periods were favorable in relation to their peer funds, and that the advisory fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large. The Board considered the profitability of each Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to each Fund, including administrative 178 fees paid by the feeder portfolios. The Board considered the profitability to the Advisor of managing the Funds and other "non-1940 Act registered" investment vehicles. Upon closely examining the Advisor's profitability, the Board concluded, among other things, that it was reasonable. The Board also discussed whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of advisory fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory fees charged were inapplicable to each Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund. After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Advisory Agreement for each Fund was in the best interests of the Fund and its shareholders. NEW EMERGING MARKETS CORE EQUITY PORTFOLIO At the Board meeting on March 23, 2005 (the " March Meeting"), the Board of Directors of the DFA Investment Dimensions Group Inc. considered the approval of the Advisory Agreement between the Fund and the Advisor for the Emerging Markets Core Equity Portfolio (the "Core Equity Portfolio"), a new portfolio. At the March Meeting, the Board considered a number of factors when considering the approval of the Advisory Agreement for the Core Equity Portfolio, including: (i) the nature, extent and quality of services that will be provided by the Advisor to the Core Equity Portfolio; (ii) the performance of the Advisor; (iii) the fees and expenses that will be borne by the Core Equity Portfolio; (iv) the profitability realized by the Advisor from the relationship with the Core Equity Portfolio; (v) whether economies of scale will be realized by the Advisor with respect to the Core Equity Portfolio as it grows larger, and the extent to which this is reflected in the level of the advisory fee charged; (vi) comparisons of the services to be rendered and the amounts to be paid under other advisory contracts; and (vii) any benefits to be derived by the Advisor from its relationship with the Core Equity Portfolio. When considering the nature, extent and quality of the services that will be provided by the Advisor to the Core Equity Portfolio, the Board reviewed the experience and expertise of Advisor's investment professionals that will furnish management services to the Core Equity Portfolio. The Board also evaluated the Advisor's investment advisory capabilities (as had been discussed at the December Meeting) and the portfolio management process described for the Core Equity Portfolio. The Board concluded that the nature, extent and quality of services that the Advisor was proposing to provide to the Core Equity Portfolio appeared to be consistent with the Core Equity Portfolio's anticipated operational requirements. The Board also considered the proposed fees and anticipated expenses for the Core Equity Portfolio and compared the fees to be charged by the Advisor to the fees charged by the Advisor to other relevant Funds, and to the funds in its anticipated peer group for comparable services. The Board concluded, among other things, that the proposed advisory fee and anticipated total expenses of the Core Equity Portfolio appeared to compare favorably to expected peer funds, and that the proposed advisory fee was fair, both on an absolute basis and in comparison with funds likely to be in the peer group. The Board also concluded that economies of scale and the reflection of such economies of scale in the level of advisory fee charged were inapplicable to the Core Equity Portfolio, at the present time. The Board also noted that, as the Core Equity Portfolio had not yet commenced investment operations, there was no investment performance for either the Core Equity Portfolio or the Advisor in managing the Core Equity Portfolio for the Board to evaluate; however, the Board noted its analysis at the December Meeting of similar investment products that are managed by the Advisor. Furthermore, the Board noted that the Advisor had not realized any profitability from its relationship with the Core Equity Portfolio because the Core Equity Portfolio had not yet commenced investment operations. 179 After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the approval of the Advisory Agreement for the Core Equity Portfolio was in the best interests of the Portfolio and its shareholders. 180 ================================================================================ DIMENSIONAL INVESTMENT GROUP INC. LWAS/DFA U.S. High Book to Market Portfolio LWAS/DFA Two-Year Fixed Income Portfolio LWAS/DFA Two-Year Government Portfolio DFA INVESTMENT DIMENSIONS GROUP INC. LWAS/DFA International High Book to Market Portfolio SEMI-ANNUAL REPORT Six Months Ended May 31, 2005 (Unaudited) ================================================================================ SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS
PAGE ---- DIMENSIONAL INVESTMENT GROUP INC. Disclosure of Fund Expenses 1 Disclosure of Portfolio Holdings 2 Statement of Assets and Liabilities 3 Statements of Net Assets 4 Statements of Operations 7 Statements of Changes in Net Assets 8 Financial Highlights 9 Notes to Financial Statements 12 DFA INVESTMENT DIMENSIONS GROUP INC. Disclosure of Fund Expenses 16 Disclosure of Portfolio Holdings 17 Statement of Assets and Liabilities 18 Statement of Operations 19 Statements of Changes in Net Assets 20 Financial Highlights 21 Notes to Financial Statements 22 THE DFA INVESTMENT TRUST COMPANY Disclosure of Fund Expenses 25 Disclosure of Portfolio Holdings 26 Schedules of Investments The U.S. Large Cap Value Series 28 The DFA International Value Series 31 Statements of Assets and Liabilities 36 Statements of Operations 37 Statements of Changes in Net Assets 38 Financial Highlights 39 Notes to Financial Statements 41 VOTING PROXIES ON FUND PORTFOLIO SECURITIES 46 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS 47
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i [THIS PAGE INTENTIONALLY LEFT BLANK] DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of a Portfolio, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A Portfolio's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in a Portfolio and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the Portfolio's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by a shareholder who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the Portfolio's expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your Portfolio under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your Portfolio's costs with those of other mutual funds. It assumes that the Portfolio had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the Portfolio's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your Portfolio's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ---------- ---------- ------------ -------- LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO Actual Fund Return $ 1,000 $ 1,048.30 0.35% $ 1.79 Hypothetical 5% Annual Return $ 1,000 $ 1,023.25 0.35% $ 1.77 LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO Actual Fund Return $ 1,000 $ 1,007.90 0.38% $ 1.90 Hypothetical 5% Annual Return $ 1,000 $ 1,023.11 0.38% $ 1.92 LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO Actual Fund Return $ 1,000 $ 1,007.40 0.38% $ 1.90 Hypothetical 5% Annual Return $ 1,000 $ 1,023.11 0.38% $ 1.92
- ---------- *Expenses are equal to the Portfolio's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 1 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Investment Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO Government 40.8% Foreign Government 23.6 Supranational 12.1 Corporate 12.0 Foreign Corporate 11.5 ----- 100.0% ===== LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO Government 100.0% ----- 100.0% =====
2 DIMENSIONAL INVESTMENT GROUP INC. LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company (5,001,251 Shares, Cost $65,861) at Value+ $ 96,674 Receivable for Investment Securities Sold 35 Prepaid Expenses and Other Assets 8 ------------- Total Assets 96,717 ------------- LIABILITIES: Payables: Fund Shares Redeemed 35 Due to Advisor 1 Accrued Expenses and Other Liabilities 24 ------------- Total Liabilities 60 ------------- NET ASSETS $ 96,657 ============= SHARES OUTSTANDING $0.01 PAR VALUE (Authorized 200,000,000 Shares) 7,551,413 ============= NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE $ 12.80 =============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 3 DIMENSIONAL INVESTMENT GROUP INC. LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO STATEMENT OF NET ASSETS MAY 31, 2005 (UNAUDITED)
FACE AMOUNT VALUE+ ------------ --------------- (000) UNITED STATES -- (61.6%) AGENCY OBLIGATIONS -- (39.0%) Federal Farm Credit Bank 2.600%, 09/07/06 $ 1,700 $ 1,676,742 2.750%, 09/29/06 6,200 6,122,382 Federal Home Loan Bank 2.875%, 08/15/06 300 297,160 2.625%, 10/16/06 6,500 6,407,642 3.375%, 02/23/07 1,100 1,093,688 Federal Home Loan Mortgage Corporation 2.750%, 10/15/06 8,000 7,898,248 Federal National Mortgage Association 3.625%, 03/15/07 8,200 8,174,810 --------------- TOTAL AGENCY OBLIGATIONS (Cost $31,901,573) 31,670,672 --------------- BONDS -- (22.6%) Bank of America Corp. 5.250%, 02/01/07 2,300 2,348,164 Citigroup, Inc. 5.750%, 05/10/06 2,200 2,237,884 General Electric Capital Corp. 2.970%, 07/26/06 2,300 2,277,628 KFW International Finance, Inc. 5.250%, 06/28/06 2,000 2,028,752 Landesbank Baden-Wuerttemberg 4.150%, 03/30/07 2,200 2,206,631 Toyota Motor Credit Corp. 3.000%, 06/09/06 2,000 1,980,296 US Bank NA 2.850%, 11/15/06 2,300 2,263,743 Wal-Mart Stores, Inc. 5.450%, 08/01/06 2,300 2,339,983 Wells Fargo & Co. 5.900%, 05/21/06 600 611,114 --------------- TOTAL BONDS (Cost $18,448,223) 18,294,195 --------------- TOTAL -- UNITED STATES (Cost $50,349,796) 49,964,867 --------------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (11.5%) BONDS -- (11.5%) Asian Development Bank 4.875%, 02/05/07 2,300 2,348,944 European Bank For Reconstruction & Development 5.375%, 06/15/06 2,300 2,331,903 European Investment Bank 3.000%, 08/15/06 $ 2,300 $ 2,286,129 International Finance Corp. 4.750%, 04/30/07 2,300 2,340,848 --------------- TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS (Cost $9,350,183) 9,307,824 --------------- CANADA -- (8.6%) BONDS -- (8.6%) British Columbia, Province of 4.625%, 10/03/06 2,300 2,329,840 Canadian Government 6.750%, 08/28/06 2,300 2,385,900 Ontario, Province of 2.650%, 12/15/06 2,300 2,261,112 --------------- TOTAL -- CANADA (Cost $7,022,469) 6,976,852 --------------- GERMANY -- (3.0%) BONDS -- (3.0%) Landwirtschaft Rentenbank 4.500%, 10/23/06 (Cost $2,444,533) 2,400 2,423,374 --------------- AUSTRIA -- (2.9%) BONDS -- (2.9%) Oesterreichische Kontrollbank AG 5.125%, 03/20/07 (Cost $2,347,520) 2,300 2,356,677 --------------- NORWAY -- (2.9%) BONDS -- (2.9%) Eksportfinans ASA 5.750%, 06/06/06 (Cost $2,365,881) 2,300 2,345,963 --------------- SPAIN -- (2.9%) BONDS -- (2.9%) Institut de Credito Oficial 4.625%, 11/29/06 (Cost $2,344,044) 2,300 2,324,113 --------------- UNITED KINGDOM -- (2.8%) BONDS -- (2.8%) BP Capital Markets P.L.C 2.750%, 12/29/06 (Cost $2,254,506) 2,300 2,263,690 --------------- SWEDEN -- (2.7%) BONDS -- (2.7%) Swedish Export Credit Corp. 2.875%, 01/26/07 (Cost $2,179,930) 2,200 2,165,328 ---------------
4
FACE AMOUNT VALUE+ ------------ --------------- (000) TEMPORARY CASH INVESTMENTS -- (0.3%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $280,000 FHLMC Notes 4.00%, 09/22/09, valued at $280,350) to be repurchased at $276,022 (Cost $276,000) $ 276 $ 276,000 --------------- TOTAL INVESTMENTS -- (99.2%) (Cost $80,934,862) 80,404,688 --------------- OTHER ASSETS AND LIABILITIES -- (0.8%) Interest Receivable 726,729 Due to Advisor (10,133) Other Liabilities in Excess of Other Assets (45,449) --------------- 671,147 --------------- NET ASSETS -- (100.0%) Applicable to 8,216,258 Outstanding $0.01 Par Value Shares (200,000,000 Shares Authorized) $ 81,075,835 =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 9.87 ===============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 5 STATEMENT OF NET ASSETS MAY 31, 2005 (UNAUDITED)
FACE AMOUNT VALUE+ ------------ ------------- (000) AGENCY OBLIGATIONS -- (99.1%) Federal Farm Credit Bank 2.600%, 05/19/06 $ 10,700 $ 10,593,770 2.750%, 09/29/06 23,240 22,949,059 Federal Home Loan Bank 2.875%, 08/15/06 5,400 5,348,873 2.625%, 10/16/06 7,850 7,738,459 3.375%, 02/23/07 23,400 23,265,731 ------------- TOTAL AGENCY OBLIGATIONS (Cost $70,333,669) 69,895,892 ------------- TEMPORARY CASH INVESTMENTS -- (0.4%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $256,000 FHLMC Notes 4.00%, 09/22/09, valued at $256,320) to be repurchased at $252,020 (Cost $252,000) 252 252,000 ------------- TOTAL INVESTMENTS -- (99.5%) (Cost $70,585,669) 70,147,892 ------------- OTHER ASSETS AND LIABILITIES -- (0.5%) Interest Receivable 405,819 Due to Advisor (8,808) Other Liabilities in Excess of Other Assets (22,128) ------------- 374,883 ------------- NET ASSETS -- (100.0%) Applicable to 7,200,332 Outstanding $0.01 Par Value Shares (200,000,000 Shares Authorized) $ 70,522,775 ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 9.79 =============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 6 STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED)
LWAS/DFA LWAS/DFA LWAS/DFA U.S. HIGH TWO-YEAR TWO-YEAR BOOK TO MARKET FIXED INCOME GOVERNMENT PORTFOLIO PORTFOLIO PORTFOLIO -------------- ------------ ------------ INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company $ 603 -- -- Interest -- $ 1,182 $ 1,039 -------------- ------------ ------------ Total Investment Income 603 1,182 1,039 -------------- ------------ ------------ EXPENSES Investment Advisory Services -- 61 54 Administrative Service Fees 5 -- -- Accounting & Transfer Agent Fees 1 21 19 Shareholder Servicing Fees 71 32 29 Custodian Fees -- 3 3 Legal Fees 2 2 2 Audit Fees 1 11 10 Filing Fees 7 11 9 Shareholders' Reports 10 10 9 Directors' Fees and Expenses 1 -- -- Other -- 3 1 -------------- ------------ ------------ Total Expenses 98 154 136 -------------- ------------ ------------ NET INVESTMENT INCOME (LOSS) 505 1,028 903 -------------- ------------ ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from The DFA Investment Trust Company 92 -- -- Net Realized Gain (Loss) on Investment Securities Sold 107 (437) (313) Change in Unrealized Appreciation (Depreciation)of Investment Securities 3,772 58 (11) -------------- ------------ ------------ NET GAIN (LOSS) 3,971 (379) (324) -------------- ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 4,476 $ 649 $ 579 ============== ============ ============
See accompanying Notes to Financial Statements. 7 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
LWAS/DFA LWAS/DFA LWAS/DFA U.S. HIGH TWO-YEAR TWO-YEAR BOOK TO MARKET FIXED INCOME GOVERNMENT 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, 2005 2004 2005 2004 2005 2004 ----------- -------- ----------- -------- ----------- -------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 505 $ 741 $ 1,028 $ 1,332 $ 903 $ 1,197 Capital Gain Distributions Received from The DFA Investment Trust Company 92 -- -- -- -- -- Net Realized Gain (Loss) on Investment Securities Sold 107 134 (437) (454) (313) (393) Change in Unrealized Appreciation (Depreciation) of Investment Securities 3,772 15,602 58 (316) (11) 16 ----------- -------- ----------- -------- ----------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations 4,476 16,477 649 562 579 820 ----------- -------- ----------- -------- ----------- -------- Distributions From: Net Investment Income (541) (976) (883) (1,155) (810) (1,100) Net Short-Term Gains -- -- -- (1,374) -- (1,836) Net Long-Term Gains -- -- -- (281) -- -- ----------- -------- ----------- -------- ----------- -------- Total Distributions (541) (976) (883) (2,810) (810) (2,936) ----------- -------- ----------- -------- ----------- -------- Capital Share Transactions (1): Shares Issued 5,522 10,202 7,307 19,535 10,532 17,475 Shares Issued in Lieu of Cash Distributions 474 862 766 2,433 770 2,795 Shares Redeemed (5,768) (10,558) (7,347) (12,237) (10,401) (33,441) ----------- -------- ----------- -------- ----------- -------- Net Increase (Decrease) from Capital Share Transactions 228 506 726 9,731 901 (13,171) ----------- -------- ----------- -------- ----------- -------- Total Increase (Decrease) 4,163 16,007 492 7,483 670 (15,287) NET ASSETS Beginning of Period 92,494 76,487 80,584 73,101 69,853 85,140 ----------- -------- ----------- -------- ----------- -------- End of Period $ 96,657 $ 92,494 $ 81,076 $ 80,584 $ 70,523 $ 69,853 =========== ======== =========== ======== =========== ======== (1) SHARES ISSUED AND REDEEMED: Shares Issued 438 921 743 1,941 1,079 1,764 Shares Issued in Lieu of Cash Distributions 38 78 78 245 79 284 Shares Redeemed (460) (943) (748) (1,229) (1,068) (3,342) ----------- -------- ----------- -------- ----------- -------- 16 56 73 957 90 (1,294) =========== ======== =========== ======== =========== ========
See accompanying Notes to Financial Statements. 8 DIMENSIONAL INVESTMENT GROUP INC. LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO 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, 2005 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 12.28 $ 10.23 $ 8.74 $ 11.17 $ 12.14 $ 13.82 --------- --------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.07 0.10 0.13 0.12 0.25 0.22 Net Gains (Losses) on Securities (Realized and Unrealized) 0.52 2.08 1.59 (0.98) 0.90 0.12 --------- --------- --------- --------- --------- --------- Total from Investment Operations 0.59 2.18 1.72 (0.86) 1.15 0.34 - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.07) (0.13) (0.12) (0.13) (0.25) (0.21) Net Realized Gains -- -- (0.11) (1.44) (1.87) (1.81) --------- --------- --------- --------- --------- --------- Total Distributions (0.07) (0.13) (0.23) (1.57) (2.12) (2.02) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 12.80 $ 12.28 $ 10.23 $ 8.74 $ 11.17 $ 12.14 ================================================================================================================================ Total Return 4.83%# 21.45% 20.18% (8.86)% 10.74% 2.82% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 96,657 $ 92,494 $ 76,487 $ 71,336 $ 99,247 $ 130,007 Ratio of Expenses to Average Net Assets (1) 0.35%* 0.35% 0.36% 0.36% 0.36% 0.37% Ratio of Net Investment Income to Average Net Assets 1.07%* 0.87% 1.39% 1.15% 1.53% 1.92% Portfolio Turnover Rate of Master Fund Series 3%# 7% 7% 9% 6% 26% - --------------------------------------------------------------------------------------------------------------------------------
* Annualized # Non-annualized (1) Represents the combined ratio for the Portfolio and its respective pro-rata share of its Master Fund Series. See accompanying Notes to Financial Statements. 9 DIMENSIONAL INVESTMENT GROUP INC. LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO 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, 2005 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 9.90 $ 10.17 $ 10.40 $ 10.25 $ 10.15 $ 10.09 --------- --------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.12 0.16 0.23 0.32 0.47 0.58 Net Gains (Losses) on Securities (Realized and Unrealized) (0.04) (0.08) (0.01) 0.18 0.16 0.03 --------- --------- --------- --------- --------- --------- Total from Investment Operations 0.08 0.08 0.22 0.50 0.63 0.61 - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.11) (0.14) (0.22) (0.35) (0.53) (0.55) Net Realized Gains -- (0.21) (0.23) -- -- -- --------- --------- --------- --------- --------- --------- Total Distributions (0.11) (0.35) (0.45) (0.35) (0.53) (0.55) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 9.87 $ 9.90 $ 10.17 $ 10.40 $ 10.25 $ 10.15 ================================================================================================================================ Total Return 0.79%# 0.85% 2.15% 4.95% 6.46% 6.29% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 81,076 $ 80,584 $ 73,101 $ 82,184 $ 105,656 $ 119,602 Ratio of Expenses to Average Net Assets 0.38%* 0.38% 0.37% 0.35% 0.35% 0.34% Ratio of Net Investment Income to Average Net Assets 2.55%* 1.65% 1.72% 3.09% 4.63% 5.72% Portfolio Turnover Rate 42%# 152% 171% 131% 58% 24% - --------------------------------------------------------------------------------------------------------------------------------
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 10 DIMENSIONAL INVESTMENT GROUP INC. LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO 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, 2005 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 9.83 $ 10.13 $ 10.46 $ 10.37 $ 10.13 $ 10.05 --------- --------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.12 0.17 0.16 0.31 0.47 0.58 Net Gains (Losses) on Securities (Realized and Unrealized) (0.05) (0.06) 0.06 0.16 0.29 0.03 --------- --------- --------- --------- --------- --------- Total from Investment Operations 0.07 0.11 0.22 0.47 0.76 0.61 - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.11) (0.15) (0.20) (0.34) (0.52) (0.53) Net Realized Gains -- (0.26) (0.35) (0.04) -- -- --------- --------- --------- --------- --------- --------- Total Distributions (0.11) (0.41) (0.55) (0.38) (0.52) (0.53) --------- --------- --------- --------- --------- --------- Net Asset Value, End of Period $ 9.79 $ 9.83 $ 10.13 $ 10.46 $ 10.37 $ 10.13 ================================================================================================================================ Total Return 0.74%# 1.10% 2.11% 4.73% 7.79% 6.23% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 70,523 $ 69,853 $ 85,140 $ 85,609 $ 108,422 $ 122,341 Ratio of Expenses to Average Net Assets 0.38%* 0.36% 0.35% 0.35% 0.34% 0.34% Ratio of Net Investment Income to Average Net Assets 2.51%* 1.63% 1.57% 2.88% 4.57% 5.82% Portfolio Turnover Rate 37%# 142% 216% 165% 113% 90% - --------------------------------------------------------------------------------------------------------------------------------
* Annualized # Non-annualized 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 consists of sixteen portfolios (the "Portfolios"), of which three are presented in this report. The LWAS/DFA U.S. High Book to Market Portfolio ("Feeder Fund") invests all of its assets in The U.S. Large Cap Value Series (the "Series"), a corresponding Series of The DFA Investment Trust Company. At May 31, 2005, the Portfolio owned 2% of the outstanding shares of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Fund. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The shares of The U.S. Large Cap Value Series held by the LWAS/DFA U.S. High Book to Market Portfolio are valued at its respective daily net asset value. Securities held by the LWAS/DFA Two-Year Fixed Income Portfolio and the LWAS/DFA Two-Year Government 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 current market value of such securities. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Directors. 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. 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 the Portfolios are directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors, generally based on average net assets. 12 C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides administrative services to one of the Portfolios, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. The Advisor provides investment advisory services to two of the Portfolios. For the six months ended May 31, 2005, the Portfolios' administrative fees or advisory fees, respectively, were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets for each Portfolio:
ADMINISTRATIVE ADVISORY FEES FEES -------------- -------- LWAS/DFA U.S. High Book to Market Portfolio 0.01% -- LWAS/DFA Two-Year Fixed Income Portfolio -- 0.15% LWAS/DFA Two-Year Government Portfolio -- 0.15%
Certain officers of the Fund are also officers, directors and shareholders of the Advisor. In addition, pursuant to a Client Service Agreement with LWI Financial Inc. ("LWIF"), the Portfolios pay to LWIF fees at the following effective annual rates of their average daily net assets for each Portfolio: LWAS/DFA U.S. High Book to Market Portfolio 0.15% LWAS/DFA Two-Year Fixed Income Portfolio 0.08% LWAS/DFA Two-Year Government Portfolio 0.08%
D. DEFERRED COMPENSATION: At May 31, 2005, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities as follows: LWAS/DFA U.S. High Book to Market Portfolio $ 1,515 LWAS/DFA Two-Year Fixed Income Portfolio 1,291 LWAS/DFA Two-Year Government Portfolio 1,163
E. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2005, the following portfolios made the following purchases and sales of investment securities other than short-term securities (amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT SECURITIES SECURITIES -------------------- ------------------- PURCHASES SALES PURCHASES SALES --------- ----- --------- ----- LWAS/DFA Two-Year Fixed Income Portfolio $ 9,632 $ 16,162 $ 25,400 $ 17,401 LWAS/DFA Two-Year Government Portfolio 27,324 26,374 -- --
F. FEDERAL INCOME TAXES: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. 13 The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM RETURN OF CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL -------------- ------------- --------- ----- LWAS/DFA U.S. High Book to Market Portfolio 2004 $ 935 -- $ 41 $ 976 2003 898 $ 775 -- 1,673 LWAS/DFA Two-Year Fixed Income Portfolio 2004 2,531 279 -- 2,810 2003 3,407 -- -- 3,407 LWAS/DFA Two-Year Government Portfolio 2004 2,936 -- -- 2,936 2003 4,243 128 -- 4,371
Short-term capital gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET UNDISTRIBUTABLE UNDISTRIBUTED CAPITAL EARNINGS/ NET INVESTMENT LOSS (ACCUMULATED INCOME CARRYFORWARD LOSS) -------------- ------------ --------------- LWAS/DFA U.S. High Book to Market Portfolio -- $ (359) $ (359) LWAS/DFA Two-Year Fixed Income Portfolio $ 415 (454) (39) LWAS/DFA Two-Year Government Portfolio 402 (393) 9
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at November 30, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. As of November 30, 2004, the following Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON NOVEMBER 30, ----------------------- 2011 2012 TOTAL ---- ---- ----- LWAS/DFA U.S. High Book to Market Portfolio $ 359 -- $ 359 LWAS/DFA Two-Year Fixed Income Portfolio -- $ 454 454 LWAS/DFA Two-Year Government Portfolio -- 393 393
At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) -------- ------------ ------------ -------------- LWAS/DFA U.S. High Book to Market Portfolio $ 76,511 $ 30,812 $ (10,649) $ 20,163 LWAS/DFA Two-Year Fixed Income Portfolio 80,935 67 (597) (530) LWAS/DFA Two-Year Government Portfolio 70,586 80 (518) (438)
14 G. FINANCIAL INSTRUMENTS: In accordance with the Portfolios' investment objectives and policies, the Portfolio's 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. The instruments and its significant corresponding risks are described below: REPURCHASE AGREEMENTS: The LWAS/DFA Two-Year Fixed Income Portfolio and the LWAS/DFA Two-Year Government Portfolio may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system 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 31, 2005. H. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings under the discretionary line of credit by the Portfolios during the six months ended May 31, 2005. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings under the line of credit by the Portfolios with the international custodian bank during the six months ended May 31, 2005. I. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
ACCUMULATED ACCUMULATED UNREALIZED NET NET REALIZED APPRECIATION INVESTMENT GAIN (LOSS) (DEPRECIATION) PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET CAPITAL (LOSS) SECURITIES SECURITIES ASSETS --------- ----------- ------------- ------------- --------- LWAS/DFA U.S. High Book to Market Portfolio $ 76,742 $ (37) $ (10,861) $ 30,813 $ 96,657 LWAS/DFA Two-Year Fixed Income Portfolio 81,938 559 (891) (530) 81,076 LWAS/DFA Two-Year Government Portfolio 71,173 494 (706) (438) 70,523
J. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 15 DFA INVESTMENT DIMENSIONS GROUP INC. LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of a Portfolio, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A Portfolio's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in a Portfolio and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the Portfolio's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by a shareholder who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your Portfolio under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your Portfolio's costs with those of other mutual funds. It assumes that the Portfolio had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the Portfolio's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your Portfolio's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* -------- -------- --------- -------- Actual Fund Return $ 1,000 $ 1,021.50 0.51% $ 2.57 Hypothetical 5% Annual Return $ 1,000 $ 1,022.46 0.51% $ 2.57
- ---------- *Expenses are equal to the Portfolio's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 16 DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc., filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Investment Companies 100.0% ----- 100.0% =====
17 DFA INVESTMENT DIMENSIONS GROUP INC. LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investment in The DFA International Value Series of The DFA Investment Trust Company (8,085,457 Shares, Cost $71,621) at Value+ $ 126,618 Receivable for Investment Securities Sold 9 Prepaid Expenses and Other Assets 13 ------------- Total Assets 126,640 ------------- LIABILITIES: Payables: Fund Shares Redeemed 9 Due to Advisor 1 Accrued Expenses and Other Liabilities 35 ------------- Total Liabilities 45 ------------- NET ASSETS $ 126,595 ============= SHARES OUTSTANDING, $0.01 PAR VALUE (Authorized 100,000,000 Shares) 8,021,592 ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.78 =============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 18 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company $ 1,174 ----------- EXPENSES Administrative Services 6 Accounting & Transfer Agent Fees 2 Shareholder Servicing Fees 125 Legal Fees 1 Audit Fees 1 Filing Fees 6 Shareholders' Reports 14 Directors' Fees and Expenses 1 ----------- Total Expenses 156 ----------- NET INVESTMENT INCOME (LOSS) 1,018 ----------- NET REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from The DFA Investment Trust Company 4,814 Net Realized Gain (Loss) on Investment Securities Sold 1,257 Change in Unrealized Appreciation (Depreciation) of Investment Securities (4,133) ----------- NET GAIN (LOSS) 1,938 ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 2,956 ===========
See accompanying Notes to Financial Statements. 19 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------ ------------ (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 1,018 $ 2,205 Capital Gain Distributions Received from The DFA Investment Trust Company 4,814 Net Realized Gain (Loss) on Investment Securities Sold 1,257 3,085 Change in Unrealized Appreciation (Depreciation) of Investment Securities (4,133) 27,548 ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 2,956 32,838 ------------ ------------ Distributions From: Net Investment Income (1,035) (4,270) Net Short-Term Gains (168) (9) Net Long-Term Gains (2,756) (77) ------------ ------------ Total Distributions (3,959) (4,356) ------------ ------------ Capital Share Transactions (1): Shares Issued 6,926 10,358 Shares Issued in Lieu of Cash Distributions 3,469 4,125 Shares Redeemed (13,194) (22,510) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions (2,799) (8,027) ------------ ------------ Total Increase (Decrease) (3,802) 20,455 NET ASSETS Beginning of Period 130,397 109,942 ------------ ------------ End of Period $ 126,595 $ 130,397 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 428 748 Shares Issued in Lieu of Cash Distributions 220 311 Shares Redeemed (814) (1,631) ------------ ------------ (166) (572) ============ ============
See accompanying Notes to Financial Statements 20 DFA INVESTMENT DIMENSIONS GROUP INC. LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO 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, 2005 2004 2003 2002 2001 2000 - ----------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 15.93 $ 12.55 $ 9.61 $ 11.35 $ 14.47 $ 15.29 --------- --------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.14 0.27 0.24 0.30 0.32 0.30 Net Gains (Losses) on Securities (Realized and Unrealized) 0.20 3.63 3.07 (0.90) (1.68) (0.39) --------- --------- --------- --------- --------- --------- Total from Investment Operations 0.34 3.90 3.31 (0.60) (1.36) (0.09) - ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.14) (0.51) (0.24) (0.34) (0.33) (0.32) Net Realized Gains (0.35) (0.01) (0.13) (0.80) (1.43) (0.41) --------- --------- --------- --------- --------- --------- Total Distributions (0.49) (0.52) (0.37) (1.14) (1.76) (0.73) - ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.78 $ 15.93 $ 12.55 $ 9.61 $ 11.35 $ 14.47 ============================================================================================================================= Total Return 2.15%# 31.89% 35.96% (5.76)% 10.97% (0.75)% - ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 126,595 $ 130,397 $ 109,942 $ 89,140 $ 141,058 $ 209,123 Ratio of Expenses to Average Net Assets (1) 0.51%* 0.52% 0.55% 0.54% 0.52% 0.52% Ratio of Net Investment Income to Average Net Assets 1.56%* 1.88% 2.20% 2.15% 2.14% 1.85% Portfolio Turnover Rate of Master Fund Series 5%# 15% 14% 18% 6% 9% - -----------------------------------------------------------------------------------------------------------------------------
* Annualized # Non-annualized (1) Represents the combined ratio for the Portfolio and its respective pro-rata share of its Master Fund Series. See accompanying Notes to Financial Statements. 21 DFA INVESTMENT DIMENSIONS GROUP INC. LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO NOTES TO FINANCIAL STATEMENTS (UNAUDITED) A. ORGANIZATION: DFA Investment Dimensions 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 consists of thirty-seven portfolios, of which the LWAS/DFA International High Book to Market Portfolio ("Portfolio") is presented in this report. The Portfolio invests all of its assets in The DFA International Value Series (the "Series"), a corresponding series of The DFA Investment Trust Company. At May 31, 2005, the Portfolio owned 4% of the outstanding shares of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with these financial statements. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The shares of the Series held by the Portfolio are valued at its respective daily net asset value. 2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $2,117. 3. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Expenses directly attributable to the Portfolio or to the Series are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board of Directors, generally based on average net assets. The Series may be subject to taxes imposed by countries in which its 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 Series 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. 22 C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides administrative services to the Portfolio, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. The Advisor provides investment advisory services to the Series. For the six months ended May 31, 2005, the Portfolio's administrative fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.01 of 1% of the Portfolio's average daily net assets. Certain officers of the Fund are also officers, directors and shareholders of the Advisor. In addition, pursuant to a Client Service Agreement with LWI Financial Inc. ("LWIF"), the Portfolio pays to LWIF a fee at the effective annual rate of 0.19 of 1% of its average daily net assets. D. FEDERAL INCOME TAXES: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAIN TOTAL -------------- ------------ ----- 2004 $ 4,267 $ 89 $ 4,356 2003 2,111 1,176 3,287
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET UNDISTRIBUTED DISTRIBUTABLE NET UNDISTRIBUTED EARNINGS INVESTMENT LONG-TERM (ACCUMULATED INCOME CAPITAL GAINS LOSSES) ------------- ------------- ------------- -- $ 2,732 $ 2,732
At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amount in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) -------- ------------ ------------ -------------- $ 76,743 $ 54,997 $ (5,122) $ 49,875
E. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the current 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 23 facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings under the discretionary line of credit by the Portfolio during the six months ended May 31, 2005. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings under the line of credit by the Portfolio during the six months ended May 31, 2005. F. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
ACCUMULATED ACCUMULATED UNREALIZED NET NET REALIZED APPRECIATION INVESTMENT GAIN (LOSS) (DEPRECIATION) PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET CAPITAL (LOSS) SECURITIES SECURITIES ASSETS ------- ------------ ------------- --------------- --------- $ 71,093 $ (18) $ 523 $ 54,997 $ 126,595
G. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 24 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ----------- ----------- ---------- --------- THE U.S. LARGE CAP VALUE SERIES Actual Fund Return $ 1,000.00 $ 1,049.70 0.14% $ 0.72 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71 THE DFA INTERNATIONAL VALUE SERIES Actual Fund Return $ 1,000.00 $ 1,023.10 0.27% $ 1.36 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
- ---------- *Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 25 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment Trust Company, this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to: Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. THE U.S. LARGE CAP VALUE SERIES Consumer Discretionary 29.4% Financials 27.4 Energy 9.0 Industrials 8.7 Information Technology 6.1 Health Care 5.6 Materials 5.4 Consumer Staples 4.3 Telecommunication Services 3.7 Utilities 0.4 ----- 100.0% =====
26 THE DFA INTERNATIONAL VALUE SERIES Financials 36.4% Consumer Discretionary 17.8 Materials 12.6 Industrials 11.4 Telecommunication Services 6.9 Consumer Staples 4.4 Utilities 3.5 Energy 2.9 Information Technology 2.2 Health Care 1.2 Other 0.4 REITS 0.3 ----- 100.0% =====
27 THE U.S. LARGE CAP VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (95.5%) Consumer Discretionary -- (28.1%) American Greetings Corp. Class A 177,600 $ 4,614,048 * AutoNation, Inc. 2,057,600 41,131,424 * Barnes & Noble, Inc. 176,400 6,676,740 Belo Corp. Class A 362,300 8,905,334 * Big Lots, Inc. 253,500 3,209,310 # Blockbuster, Inc. Class A 83,900 766,007 Borders Group, Inc. 34,000 859,860 BorgWarner, Inc. 201,600 10,777,536 * Caesars Entertainment, Inc. 845,900 18,229,145 * Cavco Industries, Inc. 22,900 616,239 Circuit City Stores, Inc. 586,200 9,607,818 Clear Channel Communications, Inc. 1,942,666 56,784,127 * Comcast Corp. Class A 3,966,525 127,722,105 * Comcast Corp. Special Class A Non-Voting 927,100 29,333,444 Dana Corp. 511,600 6,932,180 Dillards, Inc. Class A 286,000 6,841,120 Disney (Walt) Co. 906,600 24,877,104 # Federated Department Stores, Inc. 618,200 41,697,590 Foot Locker, Inc. 90,400 2,387,464 Ford Motor Co. 5,892,000 58,802,160 # General Motors Corp. 1,913,900 60,345,267 * # Goodyear Tire & Rubber Co. 203,900 2,934,121 Hearst-Argyle Television, Inc. 238,600 5,955,456 Hollinger International, Inc. Class A 257,600 2,382,800 Horton (D.R.), Inc. 1,091,829 37,744,529 * # IAC/InterActiveCorp 2,346,703 57,494,223 Lear Corp. 227,800 8,588,060 * Liberty Media Corp. Class A 9,460,100 98,290,439 * Liberty Media International, Inc. Class A 313,805 13,151,568 May Department Stores Co. 446,600 17,042,256 * MGM Mirage 734,400 27,973,296 News Corp. Class A 44,676 720,624 # OfficeMax, Inc. 354,300 10,753,005 Penney (J.C.) Co., Inc. 1,120,000 55,731,200 Pulte Homes, Inc. 248,400 18,990,180 * Radio One, Inc. 55,000 694,100 Saks, Inc. 743,200 12,738,448 * Sears Holdings Corp. 173,929 25,515,384 Service Corp. International 311,600 2,361,928 Starwood Hotels & Resorts Worldwide, Inc. 548,600 30,705,142 * The DIRECTV Group, Inc. 481,937 7,195,319 * Time Warner, Inc. 10,059,480 175,034,952
1 * Toys R Us, Inc. 819,300 21,465,660 Tribune Co. 1,182,400 42,779,232 * # Univision Communications, Inc. Class A 932,900 24,824,469 Viacom, Inc. Class B 5,017,000 172,032,930 ---------------- Total Consumer Discretionary (Cost $1,294,572,123) 1,394,215,343 ---------------- Financials -- (26.1%) A.G. Edwards, Inc. 199,100 8,224,821 * Allmerica Financial Corp. 179,700 6,275,124 # Allstate Corp. 1,791,600 104,271,120 AMBAC Financial Group, Inc. 23,200 1,673,880 American Financial Group, Inc. 280,200 9,084,084 American National Insurance Co. 57,800 6,670,120 * AmeriCredit Corp. 395,300 9,831,111 AmerUs Group Co. 124,600 5,929,714 Astoria Financial Corp. 60,750 1,673,055 Bank of Hawaii Corp. 327,500 15,959,075 # Bear Stearns Companies, Inc. 373,770 37,018,181 Chubb Corp. 428,000 36,050,440 Cincinnati Financial Corp. 658,116 25,975,839 * CNA Financial Corp. 919,500 25,359,810 Commerce Group, Inc. 93,100 5,548,760 Commercial Federal Corp. 98,900 2,473,489 Countrywide Financial Corp. 1,639,998 60,958,726 Fidelity National Financial, Inc. 520,800 18,743,592 First American Corp. 330,100 12,774,870 First Citizens BancShares, Inc. 10,300 1,344,459 Hartford Financial Services Group, Inc. 868,200 64,932,678 Hibernia Corp. 274,500 8,825,175 Independence Community Bank Corp. 300,500 11,262,740 * Instinet Group, Inc. 15,200 80,256 Janus Capital Group, Inc. 796,800 12,238,848 JPMorgan Chase & Co. 2,244,400 80,237,300 KeyCorp 941,600 30,846,816 * LaBranche & Co., Inc. 19,700 108,941 Lehman Brothers Holdings, Inc. 227,800 21,003,160 Lincoln National Corp. 620,400 28,246,812 Loews Corp. 636,800 47,951,040 MBIA, Inc. 498,050 27,855,937 MetLife, Inc. 2,623,300 116,999,180 MGIC Investment Corp. 335,500 20,579,570 Nationwide Financial Services, Inc. 208,500 7,960,530 # New York Community Bancorp, Inc. 327,700 5,970,694 # Odyssey Re Holdings Corp. 50,500 1,217,555 Old Republic International Corp. 635,412 15,796,342 PMI Group, Inc. 346,300 13,090,140 Principal Financial Group, Inc. 1,075,700 42,909,673 Protective Life Corp. 227,500 9,143,225 * Providian Financial Corp. 483,100 8,608,842 Prudential Financial, Inc. 1,731,800 109,640,258 Radian Group, Inc. 316,400 14,516,432 Reinsurance Group of America, Inc. 199,600 9,131,700 Safeco Corp. 486,400 26,173,184 South Financial Group, Inc. 54,300 1,479,675
2 Sovereign Bancorp, Inc. 842,320 18,800,582 StanCorp Financial Group, Inc. 104,200 7,799,370 The St. Paul Travelers Companies, Inc. 2,390,826 90,564,489 Torchmark Corp. 127,200 6,709,800 Transatlantic Holdings, Inc. 9,400 536,834 UnionBanCal Corp. 86,600 5,435,882 Unitrin, Inc. 223,800 11,143,002 UnumProvident Corp. 1,048,489 19,250,258 Wesco Financial Corp. 13,540 4,851,111 ---------------- Total Financials (Cost $932,265,029) 1,297,738,301 ---------------- Energy -- (8.6%) Amerada Hess Corp. 318,532 29,575,696 # Anadarko Petroleum Corp. 815,878 61,761,965 # Apache Corp. 129,990 7,638,212 # Ashland, Inc. 297,600 20,326,080 # Chesapeake Energy Corp. 361,000 7,389,670 ConocoPhillips 220,400 23,767,936 # Diamond Offshore Drilling, Inc. 313,641 14,819,537 * Forest Oil Corp. 214,600 8,532,496 Helmerich & Payne, Inc. 146,800 6,087,796 # Kerr-McGee Corp. 431,426 31,865,124 Marathon Oil Corp. 1,061,450 51,469,710 Occidental Petroleum Corp. 650,800 47,579,988 Overseas Shipholding Group, Inc. 86,500 5,285,150 Pogo Producing Co. 209,700 10,367,568 * Pride International, Inc. 366,700 8,269,085 Sunoco, Inc. 298,800 30,647,916 Tidewater, Inc. 217,700 7,532,420 Valero Energy Corp. 776,800 53,304,016 ---------------- Total Energy (Cost $225,588,682) 426,220,365 ---------------- Industrials -- (8.3%) * # AGCO Corp. 275,400 5,056,344 * Allegheny Corp. 18,292 5,126,333 * Allied Waste Industries, Inc. 1,180,900 9,104,739 Burlington Northern Santa Fe Corp. 1,283,000 63,405,860 Cendant Corp. 1,166,500 24,741,465 CSX Corp. 773,900 32,178,762 Curtiss-Wright Corp. 27,130 1,483,468 * # Delta Air Lines, Inc. 402,500 1,549,625 Florida East Coast Industries, Inc. 30,500 1,282,830 IKON Office Solutions, Inc. 329,600 3,193,824 * Laidlaw International, Inc. 160,200 3,562,848 Norfolk Southern Corp. 1,541,200 49,195,104 Northrop Grumman Corp. 1,320,242 73,563,884 * PHH Corp. 15,590 374,004 Raytheon Co. 1,311,300 51,350,508 Ryder System, Inc. 275,400 10,118,196 Steelcase, Inc. Class A 49,000 632,100 Textron, Inc. 123,000 9,506,670 * Thomas & Betts Corp. 46,900 1,448,272 Union Pacific Corp. 950,700 63,658,872 ---------------- Total Industrials (Cost $322,613,101) 410,533,708 ----------------
3 Information Technology -- (5.9%) * 3Com Corp. 1,041,900 3,813,354 * Advanced Micro Devices, Inc. 504,800 8,278,720 * Agere Systems, Inc. Class A 22,101 300,582 * Andrew Corp. 582,400 7,722,624 * Applied Micro Circuits Corp. 213,200 611,884 * Arrow Electronics, Inc. 402,900 11,261,055 * Avnet, Inc. 436,600 9,133,672 AVX Corp. 364,500 4,330,260 * CheckFree Corp. 49,700 1,855,301 * Ciena Corp. 489,600 1,067,328 * Computer Sciences Corp. 661,100 30,615,541 * Compuware Corp. 956,430 6,551,546 * Comverse Technology, Inc. 111,500 2,623,595 * Corning, Inc. 998,300 15,653,344 Electronic Data Systems Corp. 1,851,700 36,478,490 * GameStop Corp. Class B 9,432 253,155 Hewlett-Packard Co. 1,407,700 31,687,327 * Ingram Micro, Inc. 608,300 9,617,223 Intersil Corp. 570,400 10,700,704 * JDS Uniphase Corp. 1,095,700 1,676,421 * LSI Logic Corp. 1,347,970 9,921,059 * Lucent Technologies, Inc. 1,193,800 3,354,578 * Micron Technology, Inc. 2,163,300 23,753,034 * Sanmina-SCI Corp. 1,864,500 9,564,885 * Solectron Corp. 1,566,700 5,718,455 * Sun Microsystems, Inc. 2,143,700 8,167,497 * Tech Data Corp. 219,000 7,862,100 * Tellabs, Inc. 1,630,656 13,403,992 * Unisys Corp. 198,000 1,433,520 * # VeriSign, Inc. 166,300 5,379,805 * Vishay Intertechnology, Inc. 626,916 8,087,216 * Vitesse Semiconductor, Inc. 2,800 7,000 * Xerox Corp. 75,000 1,017,750 ---------------- Total Information Technology (Cost $275,612,074) 291,903,017 ---------------- Health Care -- (5.4%) Aetna, Inc. 1,079,252 84,192,449 AmerisourceBergen Corp. 308,900 19,945,673 * Human Genome Sciences, Inc. 23,900 269,592 * Humana, Inc. 461,200 16,769,232 * Invitrogen Corp. 124,900 9,908,317 McKesson Corp. 653,300 26,308,391 * Medco Health Solutions, Inc. 690,100 34,505,000 * Millennium Pharmaceuticals, Inc. 1,158,100 9,693,297 * PacifiCare Health Systems, Inc. 243,400 15,292,822 * Tenet Healthcare Corp. 1,547,300 18,753,276 * Thermo Electron Corp. 239,900 6,314,168 * Triad Hospitals, Inc. 234,100 11,873,552 * Watson Pharmaceuticals, Inc. 389,900 11,720,394 * WebMD Corp. 25,800 243,294 ---------------- Total Health Care (Cost $147,902,837) 265,789,457 ----------------
4 Materials -- (5.1%) Bowater, Inc. 199,600 6,267,440 Eastman Chemical Co. 24,200 1,422,476 Georgia-Pacific Corp. 974,200 32,284,988 International Paper Co. 1,215,775 39,160,113 LaFarge North America, Inc. 257,500 15,545,275 Louisiana-Pacific Corp. 385,300 9,701,854 Lubrizol Corp. 182,000 7,165,340 Lyondell Chemical Co. 308,300 7,319,042 # MeadWestavco Corp. 758,431 21,751,801 * Owens-Illinois, Inc. 314,400 8,083,224 Phelps Dodge Corp. 287,085 25,091,229 * Smurfit-Stone Container Corp. 959,126 10,425,700 Temple-Inland, Inc. 262,600 9,380,072 Valhi, Inc. 158,500 2,938,590 Weyerhaeuser Co. 860,700 55,213,905 Worthington Industries, Inc. 133,200 2,232,432 ---------------- Total Materials (Cost $214,260,843) 253,983,481 ---------------- Consumer Staples -- (4.1%) # Albertson's, Inc. 1,316,400 27,631,236 Archer-Daniels-Midland Co. 2,475,260 49,133,911 Coca-Cola Enterprises, Inc. 1,874,800 41,020,624 Corn Products International, Inc. 186,400 4,117,576 Kraft Foods, Inc. 312,800 10,147,232 PepsiAmericas, Inc. 192,000 4,650,240 # Reynolds American, Inc. 251,326 20,837,439 * Rite Aid Corp. 969,800 3,840,408 * Smithfield Foods, Inc. 157,600 4,701,208 Supervalu, Inc. 565,200 18,515,952 Tyson Foods, Inc. Class A 912,556 16,845,784 Weis Markets, Inc. 20,800 764,192 ---------------- Total Consumer Staples (Cost $146,694,245) 202,205,802 ---------------- Telecommunication Services -- (3.5%) * American Tower Corp. 294,600 5,314,584 AT&T Corp. 2,206,280 41,456,001 * Crown Castle International Corp. 468,900 8,337,042 * # Level 3 Communications, Inc. 195,500 406,640 * Qwest Communications International, Inc. 2,000,600 7,842,352 SBC Communications, Inc. 1,613,100 37,714,278 Sprint Corp. 2,161,500 51,205,935 Telephone & Data Systems, Inc. 177,800 6,889,750 * Telephone & Data Systems, Inc. Special Shares 177,800 6,756,400 * United States Cellular Corp. 167,200 7,865,088 ---------------- Total Telecommunication Services (Cost $181,272,270) 173,788,070 ----------------
5 Utilities -- (0.4%) Alliant Energy Corp. 212,900 5,876,040 Questar Corp. 251,000 15,823,040 ---------------- Total Utilities (Cost $10,735,877) 21,699,080 ---------------- TOTAL COMMON STOCKS (Cost $3,751,517,081) 4,738,076,624 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (4.5%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05 (Collateralized by $255,811,000 U.S. STRIPS, rates ranging from 7.500% to 9.875%, maturities ranging from 11/15/15 to 11/15/24, valued at $162,719,199) to be repurchased at $159,540,395 (Cost $159,527,456) $ 159,527 159,527,456 Repurchase Agrrement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $67,131,000 FHLMC Notes 4.00%, 09/22/09, valued at $67,214,914) to be repurchased at $66,226,316 (Cost $66,221,000) 66,221 66,221,000 ---------------- 225,748,456 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $225,748,456) 225,748,456 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $3,977,265,537) $ 4,963,825,080 ================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 6 THE DFA INTERNATIONAL VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- UNITED KINGDOM -- (15.5%) COMMON STOCKS -- (15.5%) Amvescap P.L.C. 314,493 $ 1,844,950 Anglo America P.L.C. 2,159,787 51,459,160 Arriva P.L.C. 231,050 2,234,545 Associated British Foods P.L.C. 1,004,913 14,609,875 Associated British Ports Holdings P.L.C. 378,800 3,358,760 Aviva P.L.C. 2,630,567 29,431,339 AWG P.L.C. 76,018 1,236,854 BAA P.L.C. 1,632,557 18,467,632 BAE Systems P.L.C. 4,006,840 19,626,679 Barratt Developments P.L.C. 338,959 4,070,681 BBA Group P.L.C. 680,050 3,715,025 Bellway P.L.C. 38,000 588,284 Bovis Homes Group P.L.C. 132,000 1,640,865 BPB P.L.C. 458,500 4,271,338 Bradford & Bingley P.L.C. 273,288 1,531,177 Britannic P.L.C. 278,864 2,588,193 * British Airways P.L.C. 1,839,331 9,162,247 British Land Co. P.L.C. 874,751 13,839,395 British Vita P.L.C. 286,388 1,859,262 Brixton P.L.C. 359,333 2,403,207 Cable and Wireless P.L.C. 3,547,491 8,639,378 Carnival P.L.C. 157,273 8,610,132 * Colt Telecom Group P.L.C. 698,726 659,832 * Corus Group P.L.C. 6,312,988 5,208,408 Derwent Valley Holdings P.L.C. 49,351 1,029,762 Dixons Group P.L.C. 2,098,938 5,758,646 * Easyjet P.L.C. 294,025 1,204,320 FKI P.L.C. 856,795 1,503,534 Friends Provident P.L.C. 2,272,618 7,211,098 Great Portland Estates P.L.C. 239,324 1,566,808 Greene King P.L.C. 105,263 2,357,020 Hammerson P.L.C. 468,800 7,732,596 Hanson P.L.C. 963,671 8,887,742 HBOS P.L.C. 14,935 217,236 * Henderson Group P.L.C. 404,000 456,831 Hilton Group P.L.C. 2,710,354 13,989,594 InterContinental Hotels Group P.L.C. 864,975 10,045,164 International Power P.L.C. 2,525,271 8,885,196 ITV P.L.C. 1,567,741 3,259,794 Johnson Matthey P.L.C. 43,250 768,534 Kelda Group P.L.C. 161,510 1,889,016 Kingfisher P.L.C. 2,829,717 13,227,596 Land Securities Group P.L.C. 79,240 2,055,546
1 Liberty International P.L.C. 469,345 8,345,510 London Merchant Securities P.L.C. 358,862 1,495,001 Marks & Spencer Group P.L.C. 1,197,239 7,345,469 Mersey Docks & Harbour Co. P.L.C. 115,042 2,015,452 MFI Furniture Group P.L.C. 66,600 129,425 Millennium and Copthorne Hotels P.L.C. 493,245 3,190,438 Mitchells & Butlers P.L.C. 630,549 3,710,031 * O2 P.L.C. 8,760,348 20,295,896 Pearson P.L.C. 924,664 11,062,196 Peninsular & Oriental Steam Navigation P.L.C. 1,130,420 6,376,107 Pennon Group P.L.C. 58,615 1,074,131 Persimmon P.L.C. 278,509 3,780,846 Pillar Property P.L.C. 131,128 1,990,694 * Premier Oil P.L.C. 119,812 1,280,252 Rio Tinto P.L.C. 83,136 2,467,971 * Rolls Royce Group P.L.C. 2,749,448 13,556,759 * Rolls Royce Group P.L.C. Class B 137,472,400 249,800 Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,028,724 Royal Bank of Scotland Group P.L.C. 219,664 6,445,653 Sabmiller P.L.C. 192,609 2,957,793 Sainsbury (J.) P.L.C. 2,650,025 13,778,639 Scottish & Newcastle P.L.C. 1,005,702 8,689,619 Scottish Power P.L.C. 2,139,658 18,023,688 Severn Trent P.L.C. 210,597 3,875,426 Shire Pharmaceuticals Group P.L.C. 683,427 7,252,939 Singer & Friedlander Group P.L.C. 253,818 1,438,614 Slough Estates P.L.C. 706,900 6,604,174 Somerfield P.L.C. 741,014 2,656,721 Stanley Leisure P.L.C. 190,940 1,891,284 Tate & Lyle P.L.C. 660,070 5,679,426 Taylor Woodrow P.L.C. 998,309 5,746,854 * The Berkeley Group Holdings P.L.C. 228,802 3,438,341 Trinity Mirror P.L.C. 495,640 5,611,004 United Utilities P.L.C. 265,595 3,271,895 Vodafone Group P.L.C. 59,364,901 149,452,303 Whitbread P.L.C. 450,082 7,431,362 Wilson Bowden P.L.C. 105,900 2,193,495 Wimpey (George) P.L.C. 457,583 3,543,491 Wolverhampton & Dudley Breweries P.L.C. 107,366 2,162,199 Woolworths Group P.L.C. 2,125,199 1,351,588 WPP Group P.L.C. 394,800 4,207,903 Xstrata P.L.C. 496,100 8,892,658 ---------------- TOTAL COMMON STOCKS (Cost $542,532,199) 675,095,022 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling 14,769 ---------------- (Cost $14,769) TOTAL -- UNITED KINGDOM (Cost $542,546,968) 675,109,791 ----------------
2 JAPAN -- (13.9%) COMMON STOCKS -- (13.7%) Aichi Bank, Ltd. 8,100 763,449 # Aichi Steel Corp. 120,000 612,133 AIOI Insurance Co., Ltd. 928,735 4,601,504 Aisin Seiki Co., Ltd. 182,500 4,049,894 Akita Bank, Ltd. 115,000 520,024 Alpine Electronics, Inc. 36,800 523,837 Amada Co., Ltd. 376,000 2,553,049 # Anritsu Corp. 67,000 402,573 Aoyama Trading Co., Ltd. 50,400 1,221,105 Asahi Breweries, Ltd. 138,500 1,680,246 Asatsu-Dk, Inc. 32,500 933,957 # Autobacs Seven Co., Ltd. 23,700 740,320 Awa Bank, Ltd. 196,600 1,172,832 Bank of Iwate, Ltd. 15,300 871,226 # Bank of Kyoto, Ltd. 347,400 2,914,717 Bank of Nagoya, Ltd. 185,000 1,086,110 Canon Sales Co., Inc. 124,900 2,212,736 # Chiba Bank, Ltd. 941,000 6,385,328 Chudenko Corp. 41,100 644,314 Chugoku Bank, Ltd. 238,800 2,792,365 Citizen Watch Co., Ltd. 318,000 2,778,042 Coca-Cola West Japan Co., Ltd. 58,400 1,306,361 Comsys Holdings Corp. 105,000 885,061 Cosmo Oil Co., Ltd. 764,000 2,793,389 Dai Nippon Ink & Chemicals, Inc. 459,000 1,355,906 Dai Nippon Pharmaceutical Co., Ltd. 106,000 1,016,224 Dai Nippon Printing Co., Ltd. 937,000 14,782,487 Daibiru Corp. 9,000 66,251 Daicel Chemical Industries, Ltd. 485,000 2,517,757 Daido Steel Co., Ltd. 274,000 1,112,774 # Daio Paper Corp. 51,000 393,988 Daishi Bank, Ltd. 355,000 1,479,538 Daiwa House Industry Co., Ltd. 663,000 7,309,407 Denso Corp. 22,500 510,241 # Ebara Corp. 231,000 830,308 Ezaki Glico Co., Ltd. 174,600 1,393,597 Fuji Electric Co., Ltd. 525,780 1,594,855 Fuji Fire & Marine Insurance Co., Ltd. 297,000 881,192 Fuji Heavy Industries 752,000 3,139,462 Fuji Oil Co., Ltd. 55,200 574,115 Fuji Photo Film Co., Ltd. 770,000 23,978,455 Fujikura, Ltd. 355,000 1,799,156 Fukui Bank, Ltd. 343,000 1,300,575 # Fukuoka Bank, Ltd. 695,000 4,241,307 Fukuyama Transporting Co., Ltd. 266,000 1,045,649 Futaba Corp. 16,000 433,071 Futaba Industrial Co., Ltd. 44,100 837,845 Glory, Ltd. 54,600 922,653 Gunma Bank, Ltd. 444,000 2,640,827 Gunze, Ltd. 223,000 976,976 Hachijuni Bank, Ltd. 589,000 3,887,927 Hankyu Corp. 174,000 640,072
3 Hankyu Department Stores, Inc. 116,000 696,497 Hanshin Electric Railway Co., Ltd. 253,000 943,640 Heiwa Corp. 81,500 1,173,008 Heiwado Co., Ltd. 38,000 579,163 Higo Bank, Ltd. 308,000 2,198,248 Hitachi Cable, Ltd. 236,000 1,017,542 Hitachi Kokusai Electric, Inc. 87,000 760,908 Hitachi Maxell, Ltd. 96,000 1,166,763 Hitachi Metals, Ltd. 201,000 1,281,006 Hitachi Software Engineering Co., Ltd. 33,800 563,727 Hitachi Transport System, Ltd. 76,000 633,009 Hitachi, Ltd. 4,970,000 29,696,012 Hokkoku Bank, Ltd. 239,000 1,041,637 Hokuetsu Paper Mills, Ltd. 162,000 880,974 House Foods Corp. 117,000 1,648,185 Hyakugo Bank, Ltd. 258,000 1,582,335 Hyakujishi Bank, Ltd. 314,000 1,782,165 * Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,164,194 Itoham Foods, Inc. 132,000 601,220 Iyo Bank, Ltd. 237,000 1,889,496 Japan Airport Terminal Co., Ltd. 68,300 637,862 Joyo Bank, Ltd. 892,000 4,534,886 Juroku Bank, Ltd. 349,000 1,868,471 Kadokawa Holdings, Inc. 15,200 540,500 Kagoshima Bank, Ltd. 154,000 1,171,822 Kamigumi Co., Ltd. 357,000 2,660,128 Kandenko Co., Ltd. 129,000 758,687 Kanto Auto Works, Ltd., Yokosuka 12,600 147,981 Katokichi Co., Ltd. 103,500 723,388 Kawasaki Heavy Industries, Ltd. 910,000 1,628,496 Keiyo Bank, Ltd. 212,000 1,012,548 Kikkoman Corp. 259,000 2,345,042 Kinden Corp. 167,000 1,235,604 Kirin Brewery Co., Ltd. 1,152,000 11,268,141 # Kissei Pharmaceutical Co., Ltd. 41,000 782,210 Kobe Steel, Ltd. 2,041,000 3,549,885 Koito Manufacturing Co., Ltd. 101,000 1,085,932 Kokuyo Co., Ltd. 81,200 1,041,108 Komori Corp. 52,000 787,596 Kuraray Co., Ltd. 499,000 4,421,577 Kyocera Corp. 238,800 18,270,139 KYORIN Pharmaceutical Co., Ltd. 52,000 648,607 Maeda Corp. 129,000 711,651 Makita Corp. 209,000 4,069,632 Marubeni Corp. 1,942,000 6,128,947 Marui Co., Ltd. 408,600 5,669,748 Maruichi Steel Tube, Ltd. 117,000 2,495,996 Matsushita Electric Industrial Co., Ltd. 3,561,135 53,046,962 Matsushita Electric Works, Ltd. 403,000 3,331,039 Meiji Seika Kaisha, Ltd. Tokyo 292,000 1,421,273 Millea Holdings, Inc. 2,296 30,391,067 Mitsubishi Gas Chemical Co., Inc. 305,000 1,501,802 Mitsubishi Heavy Industries, Ltd. 4,791,000 12,331,213 Mitsubishi Logistics Corp. 106,000 1,010,933
4 Mitsubishi Materials Corp. 975,000 2,134,057 Mitsubishi Securities Co., Ltd. 226,000 1,883,182 Mitsui Chemicals, Inc. 807,800 4,580,860 Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 1,037,198 Mitsui Marine & Fire Insurance Co., Ltd. 2,138,000 19,431,714 Mitsumi Electric Co., Ltd. 45,800 484,763 # Mori Seiki Co., Ltd. 63,500 656,559 Morinaga Milk Industry Co., Ltd. 160,000 660,253 Musashino Bank, Ltd. 21,300 973,546 Nagase & Co., Ltd. 101,000 986,075 Namco, Ltd. 11,000 148,462 Nanto Bank, Ltd. 317,000 1,627,254 NGK Insulators, Ltd. 216,000 2,248,607 NGK Spark Plug Co., Ltd. 144,000 1,619,451 Nichicon Corp. 72,900 958,028 Nichirei Corp. 180,000 674,476 # Nifco, Inc. 37,000 579,950 Nihon Unisys, Ltd. 69,100 646,881 Nippon Express Co., Ltd. 211,000 959,175 # Nippon Kayaku Co., Ltd. 128,000 690,344 Nippon Meat Packers, Inc., Osaka 248,000 3,063,990 Nippon Mitsubishi Oil Corp. 1,871,050 12,203,013 Nippon Paint Co., Ltd. 184,000 643,029 Nippon Sheet Glass Co., Ltd. 358,000 1,398,783 Nippon Shinpan Co., Ltd. 191,000 930,169 Nippon Shokubai Co., Ltd. 163,000 1,306,161 Nippon Suisan Kaisha, Ltd. 143,000 542,657 Nippon Television Network Corp. 9,400 1,314,856 Nippon Unipac Holding, Tokyo 1,080 4,197,550 Nipponkoa Insurance Co., Ltd. 909,000 6,286,099 * Nipro Corp. 42,000 627,234 # Nishimatsu Construction Co., Ltd. 364,000 1,227,341 Nissay Dowa General Insurance Co., Ltd. 383,000 1,926,866 Nisshin Seifun Group, Inc. 165,000 1,622,652 Nisshin Steel Co., Ltd. 753,000 1,832,813 Nisshinbo Industries, Inc. 305,000 2,340,054 NSK, Ltd. 319,000 1,546,136 Obayashi Corp. 751,000 3,798,076 Ogaki Kyoritsu Bank, Ltd. 227,000 1,342,026 Oita Bank, Ltd. 81,000 524,068 Oji Paper Co., Ltd. 924,000 4,886,947 Okumura Corp. 175,000 942,537 Onward Kashiyama Co., Ltd. 125,000 1,519,788 PanaHome Corp. 106,000 553,566 Pioneer Electronic Corp. 196,200 3,232,942 Promise Co., Ltd. 60,500 3,757,748 Q.P. Corp. 109,600 953,070 Rengo Co., Ltd. 180,000 930,307 * Resona Holdings, Inc. 1,873,000 3,562,488 Rinnai Corp. 37,100 931,643 Ryosan Co., Ltd. 30,500 743,967 San In Godo Bank, Ltd. 144,000 1,374,980 Sanwa Shutter Corp. 101,000 564,277 Sanyo Chemical Industries, Ltd. 54,000 390,521
5 # Sanyo Electric Co., Ltd. 1,981,000 5,373,145 # Sapporo Breweries, Ltd. 251,000 1,251,396 Sapporo Hokuyo Holdings, Inc. 271 1,956,724 Seino Transportation Co., Ltd. 193,000 1,687,227 Sekisui Chemical Co., Ltd. 557,000 3,857,932 Sekisui House, Ltd. 942,000 9,223,018 Seventy-seven (77) Bank, Ltd. 334,000 2,100,276 SFCG Co., Ltd. 8,010 2,035,396 Shiga Bank, Ltd. 272,000 1,682,500 Shikoku Bank, Ltd. 153,000 819,740 Shimachu Co., Ltd. 49,900 1,240,974 Shinko Securities Co., Ltd. 540,000 1,631,886 Shizuoka Bank, Ltd. 744,000 6,412,659 Sohgo Security Services Co.,Ltd. 73,300 933,443 Sumitomo Bakelite Co., Ltd. 105,000 653,160 Sumitomo Corp. 471,000 3,761,719 Sumitomo Electric Industries, Ltd. 899,000 9,429,436 Sumitomo Forestry Co., Ltd. 139,000 1,208,517 Sumitomo Metal Mining Co., Ltd. 215,000 1,375,456 Sumitomo Osaka Cement Co., Ltd. 348,000 835,765 Sumitomo Trust & Banking Co., Ltd. 21,000 124,207 Sumitomo Warehouse Co., Ltd. 114,000 583,082 Suzuken Co., Ltd. 56,700 1,505,343 Taiheiyo Cement Corp. 1,209,800 3,133,016 Taiyo Yuden Co., Ltd. 126,000 1,399,978 Takara Standard Co., Ltd. 118,000 754,442 Takashimaya Co., Ltd. 124,000 1,038,260 Teijin, Ltd. 893,000 3,920,705 Teikoku Oil Co., Ltd. 346,000 2,336,074 The Nisshin Oillio Group, Ltd. 48,000 271,062 Toda Corp. 203,000 829,553 Toho Bank, Ltd. 87,000 356,324 Tokai Tokyo Securities Co., Ltd. 155,000 456,439 Tokuyama Corp. 248,000 1,829,540 Tokyo Broadcasting System, Inc. 117,500 1,975,348 Tokyo Dome Corp. 110,000 598,434 Tokyo Style Co., Ltd. 133,000 1,353,008 Tokyo Tatemono Co., Ltd. 143,000 987,906 Toppan Forms Co., Ltd. 33,200 364,492 Toppan Printing Co., Ltd. 720,000 7,318,236 Toshiba TEC Corp. 181,000 799,920 Tostem Inax Holding Corp. 324,500 5,520,102 Toyo Ink Manufacturing Co., Ltd. 174,000 676,293 Toyo Seikan Kaisha, Ltd. 287,600 4,985,498 Toyo Suisan Kaisha, Ltd. 64,000 1,003,435 Toyoda Machine Works, Ltd. 54,000 521,549 Toyota Auto Body Co., Ltd. 86,000 1,683,836 TV Asahi Corp. 565 1,157,225 UNY Co., Ltd. 158,000 1,713,715 # Wacoal Corp. 149,000 1,981,030 Yamaguchi Bank, Ltd. 151,000 1,708,035 Yamaha Corp. 250,100 3,652,658 Yamanashi Chuo Bank, Ltd. 140,000 840,378 Yamatake Corp. 47,700 787,021
6 Yamato Kogyo Co., Ltd. 32,000 366,676 Yamazaki Baking Co., Ltd. 155,000 1,331,732 Yasuda Fire & Marine Insurance Co., Ltd. 431,000 4,354,284 Yodogawa Steel Works, Ltd. 123,000 649,356 Yokohama Rubber Co., Ltd. 410,000 1,684,596 York-Benimaru Co., Ltd. 29,300 814,490 ---------------- TOTAL COMMON STOCKS (Cost $581,985,790) 601,474,625 ---------------- INVESTMENT IN CURRENCY -- (0.2%) * Japanese Yen 8,010,462 ---------------- (Cost $8,054,614) TOTAL -- JAPAN (Cost $590,040,404) 609,485,087 ---------------- FRANCE -- (10.2%) COMMON STOCKS -- (10.2%) Air France 192,225 3,059,396 Air Liquide SA 9,820 1,714,730 Arcelor SA 167,800 3,336,596 # Assurances Generales de France (AGF) 177,559 14,242,010 # AXA 2,459,139 60,024,211 # BNP Paribas SA 1,368,012 91,964,838 # Bongrain SA 7,145 440,239 # * Business Objects SA 94,856 2,723,788 * Cap Gemini SA 167,370 5,339,463 # * CNP Assurances 33,992 2,278,353 # Compagnie de Saint-Gobain 455,792 26,216,746 # Compagnie Francaise d'Etudes et de Construction Technip SA 105,512 4,660,453 # Credit Agricole SA 27,709 718,511 # Eiffage SA 10,431 832,447 Esso SA 686 115,573 # Euler-Hermes SA 10,710 809,734 Faurecia SA 30,445 2,283,397 # Fimalac SA 46,887 2,147,169 * Gecina SA 29,500 3,577,499 # Generale des Establissements Michelin SA Series B 212,585 13,428,150 Havas SA 300,744 1,777,230 # Imerys SA 44,000 3,170,823 # LaFarge SA 253,511 22,940,260 LaFarge SA Prime Fidelity 85,542 7,800,086 # Lagardere S.C.A. SA 10,900 776,091 # Peugeot SA 238,144 14,252,610 # Pinault Printemps Redoute SA 100,151 9,912,856 Remy Cointreau SA 56,022 2,364,088 # Renault SA 317,738 27,183,519 # Schneider SA 318,189 23,394,591 SEB SA Prime Fidelity 9,900 1,017,849 # Societe BIC SA 52,288 2,807,476 # Societe des Ciments de Francais 35,796 3,271,505 # Societe Generale Paris 293,528 28,842,183
7 Sodexho Alliance SA 122,494 3,932,540 # Suez (ex Suez Lyonnaise des Eaux) 666,220 17,918,894 # Thomson Multimedia 345,508 8,772,529 # Unibail SA 58,749 7,466,708 # Valeo SA 103,212 4,319,434 Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 4,504 1,042,930 # Vivendi Universal SA 403,364 12,284,113 ---------------- TOTAL COMMON STOCKS (Cost $337,331,390) 445,161,618 ---------------- RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 16,500 7,513 * Rallye SA Series B Warrants 11/30/05 18,020 1,330 ---------------- TOTAL RIGHTS/WARRANTS (Cost $28,587) 8,843 ---------------- TOTAL -- FRANCE (Cost $337,359,977) 445,170,461 ---------------- GERMANY -- (6.1%) COMMON STOCKS -- (6.1%) * Aachener und Muenchener Beteiligungs AG 33,828 2,733,015 Allianz AG 11,053 1,301,390 BASF AG 154,032 10,222,522 # Bayer AG 498,853 16,751,199 # Bayerische Motorenwerke AG 519,011 22,440,762 * Bayerische Vereinsbank AG 845,488 20,776,122 BHW Holding AG 10,667 183,041 Bilfinger & Berger Bau AG 23,702 1,125,170 # Commerzbank AG 594,131 12,903,783 # DaimlerChrysler AG 1,368,494 55,172,318 # Deutsche Bank AG 770,191 59,920,101 E.ON AG 12,593 1,093,248 Fraport AG 68,708 2,836,900 Fresenius Medical Care AG 18,966 1,489,708 * Heidelberger Druckmaschinen AG 46,167 1,425,361 Heidelberger Zement AG 78,542 5,023,273 # Hochtief AG 71,840 2,441,166 Hypo Real Estate Holding AG 84,277 3,318,984 * IVG Immobilien AG 30,276 550,018 * Lanxess 49,885 1,058,301 # * Linde AG 77,043 5,228,378
8 Merck KGAA 67,288 5,255,818 * MG Technologies AG 150,773 1,709,520 # Preussag AG 181,223 4,492,857 Salzgitter AG 13,041 305,122 SCA Hygiene Products AG 3,550 1,266,675 Suedzucker AG 26,428 498,662 ThyssenKrupp AG 450,803 8,276,198 Vattenfall Europe AG 90,913 3,557,582 # Volkswagen AG 295,657 13,011,886 ---------------- TOTAL -- GERMANY (Cost $248,181,818) 266,369,080 ---------------- SWITZERLAND -- (5.9%) COMMON STOCKS -- (5.9%) Baloise-Holding 214,760 11,213,948 Bank Sarasin & Cie Series B, Basel 180 302,919 Banque Cantonale Vaudoise 12,608 2,784,576 Berner Kantonalbank 15,175 2,237,805 Ciba Spezialitaetenchemie Holding AG 81,000 4,815,990 Cie Financiere Richemont AG Series A 1,251,000 38,086,850 * Clariant AG 64,982 910,858 # Credit Swisse Group 1,452,179 58,093,081 * Fischer (Georg) AG, Schaffhausen 1,280 379,447 # Givaudan SA 5,792 3,447,490 Holcim, Ltd. 199,770 12,143,764 Jelmoli Holding AG 500 679,112 Luzerner Kantonalbank AG 12,294 2,362,894 Pargesa Holding SA, Geneve 1,935 6,973,437 * PSP Swiss Property AG 109,600 4,835,314 Rieters Holdings AG 7,860 2,130,195 Sig Holding AG 30,888 6,567,412 * Sika Finanz AG, Baar 3,828 2,404,569 St. Galler Kantonalbank 10,146 2,583,336 * Swiss Life AG 132,137 17,447,146 # Swiss Reinsurance Co., Zurich 330,715 20,472,030 * Syngenta AG 165,100 17,067,625 # Unaxis Holding AG 45,400 6,370,296 * Valiant Holding AG 39,295 3,461,651 * Valora Holding AG 12,170 2,670,439 * Zurich Financial SVCS AG 152,206 25,283,580 ---------------- TOTAL -- SWITZERLAND (Cost $188,429,435) 255,725,764 ---------------- AUSTRALIA -- (4.5%) COMMON STOCKS -- (4.4%) Amcor, Ltd. 881,869 4,510,853 AMP, Ltd. 1,026,864 5,103,408 Ansell, Ltd. 303,463 2,103,777
9 APN News & Media, Ltd. 509,371 1,958,875 # Australand Property Group 674,862 718,280 AWB, Ltd. 364,594 1,223,471 AXA Asia Pacific Holdings, Ltd. 2,837,724 9,943,499 Bluescope Steel, Ltd. 1,252,100 7,606,018 Boral, Ltd. 944,335 4,224,733 Brickworks, Ltd. 37,510 285,742 Caltex Australia, Ltd. 238,359 2,710,833 Commonwealth Bank of Australia 1,376,094 38,441,344 CSR, Ltd. 1,514,337 2,826,140 Downer Group, Ltd. 225,933 900,086 Futuris Corp., Ltd. 531,719 677,624 Insurance Australiz Group, Ltd. 763,270 3,361,898 Lend Lease Corp., Ltd. 568,460 5,236,997 Lion Nathan, Ltd. 871,345 4,827,362 Mayne Group, Ltd. 1,315,561 4,588,824 Mirvac, Ltd. 1,229,901 3,098,714 National Australia Bank, Ltd. 1,823,878 43,291,233 Onesteel, Ltd. 505,842 957,969 Orica, Ltd. 51,604 612,186 Origin Energy, Ltd. 817,347 4,402,584 Paperlinx, Ltd. 727,704 1,272,060 Publishing and Broadcasting, Ltd. 219,621 2,522,066 Quantas Airways, Ltd. 3,489,827 8,465,231 Rinker Group, Ltd. 982,162 9,119,299 Santos, Ltd. 972,348 7,385,686 Seven Network, Ltd. 211,508 1,137,210 Stockland Trust Group 22,867 95,265 * Stockland Trust Group Issue 05 772 3,184 WMC Resources, Ltd. 1,821,249 10,609,212 ---------------- TOTAL COMMON STOCKS (Cost $133,957,352) 194,221,663 ---------------- INVESTMENT IN CURRENCY -- (0.1%) * Australian Dollar 3,698,009 ---------------- (Cost $3,701,213) TOTAL -- AUSTRALIA (Cost $137,658,565) 197,919,672 ---------------- NETHERLANDS -- (4.4%) COMMON STOCKS -- (4.4%) ABN AMRO Holding NV 35,897 833,655 Aegon NV 2,897,384 37,096,508 DSM NV 134,117 8,977,717 # Hunter Douglas NV 94,242 4,873,152 IHC Caland NV 16,740 1,073,392 ING Groep NV 2,065,009 57,137,284 * Koninklijke Ahold NV 1,815,643 13,705,566 Koninklijke KPN NV 2,458,914 19,554,154 Koninklijke Nedlloyd NV 21,621 1,483,685 Koninklijke Philips Electronics NV 1,412,706 36,135,774
10 NV Holdingsmij de Telegraaf 6,800 146,078 VNU NV 387,846 10,550,466 ---------------- TOTAL COMMON STOCKS (Cost $157,028,179) 191,567,431 ---------------- RIGHTS/WARRANTS -- (0.0%) * SBM Offshore Coupons 16,740 0 ---------------- (Cost $0) TOTAL -- NETHERLANDS (Cost $157,028,179) 191,567,431 ---------------- HONG KONG -- (2.9%) COMMON STOCKS -- (2.9%) Cheung Kong Holdings, Ltd. 2,727,000 24,802,772 China Overseas Land & Investment, Ltd. 1,864,000 348,558 China Travel International Investment, Ltd. 680,000 187,219 China Unicom, Ltd. 5,118,000 4,103,851 # Citic Ka Wah Bank, Ltd. 1,272,000 468,472 Citic Pacific, Ltd. 934,000 2,598,145 Great Eagle Holdings, Ltd. 308,987 703,437 Hang Lung Development Co., Ltd. 2,518,000 4,294,704 Henderson Land Development Co., Ltd. 1,122,000 5,103,391 Hong Kong and Shanghai Hotels, Ltd. 892,417 932,191 Hopewell Holdings, Ltd. 1,455,000 3,593,405 Hutchison Whampoa, Ltd. 3,751,000 32,550,877 Hysan Development Co., Ltd. 2,157,039 4,339,438 # Kerry Properties, Ltd. 2,312,291 5,059,302 New World Development Co., Ltd. 3,131,239 3,266,789 Shanghai Industrial Holdings, Ltd. 1,094,000 2,120,039 # Shangri-La Asia, Ltd. 3,000,733 4,530,388 # Sino Land Co., Ltd. 8,212,433 8,409,841 Tsim Sha Tsui Properties, Ltd. 472,000 815,730 Union Bank of Hong Kong, Ltd. 364,000 450,473 Wharf Holdings, Ltd. 3,438,214 11,212,895 # Wheelock and Co., Ltd. 3,940,000 5,674,640 Wheelock Properties, Ltd. 1,485,000 761,763 ---------------- TOTAL -- HONG KONG (Cost $112,259,789) 126,328,320 ---------------- SWEDEN -- (2.7%) COMMON STOCKS -- (2.7%) Carbo AB 2,900 70,670 Castellum AB 4,100 158,082 Electrolux AB Series B 324,100 7,084,855 Gambro AB Series A 555,400 7,366,291 Gambro AB Series B 216,300 2,881,955 Holmen AB Series A 6,300 178,842 # Holmen AB Series B 155,700 4,187,532
11 # NCC AB Series B 59,700 875,994 Nordic Baltic Holdings AB 2,603,100 23,777,113 Skandinaviska Enskilda Banken Series A 368,800 6,344,263 Skandinaviska Enskilda Banken Series C 9,800 161,411 # * SKF AB Redeemable Shares Series A 22,650 75,795 * SKF AB Redeemable Shares Series B 29,700 99,387 SKF AB Series A 90,600 926,347 SKF AB Series B 118,800 1,213,623 SSAB Swedish Steel Series A 180,800 4,395,242 SSAB Swedish Steel Series B 60,500 1,420,951 # Svenska Cellulosa AB Series A 19,000 652,990 Svenska Cellulosa AB Series B 221,100 7,527,170 Telia AB 2,582,000 12,778,300 Trelleborg AB Series B 160,600 2,495,014 Volvo AB Series A 243,200 9,607,395 Volvo AB Series B 443,400 18,127,730 Whilborg Fastigheter AB Class B 173,980 3,510,524 # * Wihlborgs Fastigheter AB 34,796 818,350 ---------------- TOTAL COMMON STOCKS (Cost $88,187,543) 116,735,826 ---------------- RIGHTS/WARRANTS -- (0.0%) * SSAB Svenskt AB Redemption Rights 05/23/05 180,800 87,473 * SSAB Svenskt AB Series B Redemption Rights 05/23/05 60,500 34,962 * TeliaSonera AB Redeemable Rights 06/09/05 2,317,000 221,083 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 343,518 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona 14,372 ---------------- (Cost $14,635) TOTAL -- SWEDEN (Cost $88,202,178) 117,093,716 ---------------- SPAIN -- (2.6%) COMMON STOCKS -- (2.6%) Acerinox SA 261,360 3,771,894 Arcelor SA 30,000 594,540 Autopistas Concesionaria Espanola SA 310,251 6,919,589 Banco de Andalucia 900 79,322 Banco de Sabadell SA 154,021 4,039,655 # Banco Pastor SA 59,400 2,217,359 Banco Santander Central Hispanoamerica SA 84,304 963,043 # Cementos Portland SA 21,016 1,443,017 Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 2,135,749 # Ebro Puleva SA 120,322 2,164,453 # Endesa SA, Madrid 1,136,646 24,738,040 Gas Natural SA, Buenos Aires 121,385 3,402,534 # Iberdrola SA 535,000 13,646,506 # Iberia Lineas Aereas de Espana SA 617,500 1,951,947
12 # Inmobiliaria Urbis SA 96,328 1,634,652 Repsol SA 1,289,224 32,239,985 Sociedad General de Aguas de Barcelona SA 119,484 2,406,473 * Sociedad General de Aguas de Barcelona SA 1,194 23,994 # Sol Melia SA 157,217 1,650,123 Union Fenosa SA 230,000 6,921,699 Vallehermoso SA 46,125 929,543 ---------------- TOTAL -- SPAIN (Cost $70,367,226) 113,874,117 ---------------- ITALY -- (2.3%) COMMON STOCKS -- (2.3%) * Alitalia Linee Aeree Italiane SpA Series A 6,690,000 2,126,779 # Banca Antoniana Popolare Veneta SpA 83,000 2,649,800 # Banca Monte Dei Paschi di Siena SpA 2,279,872 8,187,429 # * Banca Nazionale del Lavoro SpA 2,230,687 7,519,362 # Banca Popolare di Lodi Scarl 437,995 4,271,876 Banca Popolare di Milano 730,208 7,398,062 # Benetton Group SpA 181,249 1,644,732 # Buzzi Unicem SpA 67,793 975,483 # Caltagirone Editore SpA 184,888 1,651,000 Capitalia SpA 2,992,113 15,632,746 # CIR SpA (Cie Industriale Riunite), Torino 500,000 1,381,906 # Compagnia Assicuratrice Unipol SpA 745,685 2,953,366 # * Edison SpA 1,734,262 3,929,021 Erg SpA 197,993 3,067,753 # * Fiat SpA 1,054,970 7,108,155 # Italcementi SpA 444,060 6,857,544 # Italmobiliare SpA, Milano 33,664 2,091,219 Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 122,539 Milano Assicurazioni SpA 182,000 1,034,660 # Pirelli & Co. SpA 1,486,658 1,640,719 # SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 4,368,323 # San Paolo-IMI SpA 833,105 11,571,110 Societe Cattolica di Assicurazoni Scarl SpA 8,800 384,956 ---------------- TOTAL COMMON STOCKS (Cost $85,190,508) 98,568,540 ---------------- RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 2007 51,693 12,086 ---------------- (Cost $0) TOTAL -- ITALY (Cost $85,190,508) 98,580,626 ---------------- IRELAND -- (1.8%) COMMON STOCKS -- (1.8%) Allied Irish Banks P.L.C. 688,656 14,288,890 Bank of Ireland P.L.C. 1,181,012 17,929,477
13 CRH P.L.C. 1,243,314 31,389,925 * Elan Corp. P.L.C. 587,038 4,481,845 Irish Permanent P.L.C. 650,175 10,813,430 ---------------- TOTAL -- IRELAND (Cost $73,640,064) 78,903,567 ---------------- FINLAND -- (1.2%) COMMON STOCKS -- (1.2%) Fortum Oyj 383,200 5,804,712 Huhtamaki Van Leer Oyj 2,300 34,923 Kemira GrowHow Oyj 21,542 166,892 Kemira Oyj 101,377 1,349,484 Kesko Oyj 157,000 3,763,045 Metso Oyj 219,166 4,387,953 M-Real Oyj Series B 253,400 1,367,837 Okobank Class A 65,000 1,036,945 Outokumpu Oyj Series A 351,300 4,845,269 Rautaruukki Oyj Series K 75,900 1,069,234 Stora Enso Oyj Series R 922,500 12,120,767 Upm-Kymmene Oyj 865,900 16,741,637 Wartsila Corp. Oyj Series B 59,400 1,787,015 ---------------- TOTAL -- FINLAND (Cost $47,739,726) 54,475,713 ---------------- BELGIUM -- (1.2%) COMMON STOCKS -- (1.2%) Ackermans & Van Haaren SA 4,187 166,139 Banque Nationale de Belgique 1,049 4,308,998 Bekaert SA 2,787 206,610 Cofinimmo SA 1,108 175,964 # * Cumerio 70,740 974,956 * Cumerio VVPR 2,009 74 # Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 231,485 13,660,326 # Dexia SA 191,251 4,149,578 D'Ieteren SA 431 85,582 # Groupe Bruxelles Lambert 55,500 4,720,650 * ING Bank Belgium NV 128 0 Interbrew SA 196,392 6,490,050 KBC Bancassurance Holding SA 127,286 10,318,758 # Nationale a Portefeuille 4,029 853,844 # Suez (ex Suez Lyonnaise des Eaux) 95,400 2,568,186 * Umicore-Strip VVPR 2,009 270 Union Miniere SA 70,740 5,556,572 ---------------- TOTAL -- BELGIUM (Cost $39,649,089) 54,236,557 ----------------
14 DENMARK -- (1.2%) COMMON STOCKS -- (1.2%) Carlsberg A.S. Series B 35,725 1,748,981 # Codan A.S. 57,000 2,788,695 Danisco A.S. 90,330 6,219,533 Danske Bank A.S. 481,453 13,815,709 * Jyske Bank A.S. 89,350 3,413,511 Nordea AB 475,918 4,348,109 Rockwool, Ltd. 16,200 1,124,376 Sydbank A.S. 71,200 1,477,059 Tele Danmark A.S. 380,150 16,760,739 ---------------- TOTAL -- DENMARK (Cost $36,729,428) 51,696,712 ---------------- NORWAY -- (1.0%) COMMON STOCKS -- (1.0%) Den Norske Bank ASA Series A 905,394 8,757,199 * Fred Olsen Energy ASA 34,000 682,271 # Norsk Hydro ASA 287,800 23,325,408 Norske Skogindustrier ASA Series A 247,500 3,801,116 Orkla ASA Series A 96,900 3,302,860 Prosafe ASA 7,300 219,358 Storebrand ASA 415,300 3,455,309 ---------------- TOTAL -- NORWAY (Cost $36,542,042) 43,543,521 ---------------- SINGAPORE -- (0.7%) COMMON STOCKS -- (0.7%) # Creative Technology Co., Ltd. 39,550 314,458 DBS Group Holdings, Ltd. 813,000 6,769,561 Fraser & Neave, Ltd. 756,290 7,112,115 Keppel Land, Ltd. 258,000 352,261 Neptune Orient Lines, Ltd. 189,000 378,024 Overseas Chinese Banking Corp., Ltd. 94,000 782,999 SembCorp Industries, Ltd. 690,900 938,841 Singapore Airlines, Ltd. 1,258,000 8,653,781 Singapore Land, Ltd. 813,000 2,529,545 United Overseas Bank, Ltd. 66,000 565,603 # United Overseas Land, Ltd. 1,734,000 2,282,735 ---------------- TOTAL -- SINGAPORE (Cost $26,577,243) 30,679,923 ----------------
15 PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) Banco Comercial Portugues SA 2,332,042 6,034,412 Banco Espirito Santo e Comercial de Lisboa 192,268 3,018,327 BPI SGPS SA 635,057 2,402,573 Cimpor Cimentos de Portugal SA 385,415 2,067,538 Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,487,422 ---------------- TOTAL -- PORTUGAL (Cost $14,634,454) 16,010,272 ---------------- GREECE -- (0.3%) COMMON STOCKS -- (0.3%) * Agricultural Bank of Greece S.A. 123,600 895,249 Alpha Credit Bank 42,048 1,155,740 Bank of Greece 8,520 1,075,583 Bank of Piraeus S.A. 4,600 82,240 * Commercial Bank of Greece 44,760 1,371,166 EFG Eurobank Ergasias S.A. 60,097 1,851,458 Hellenic Petroleum S.A. 159,140 1,530,147 Hellenic Telecommunication Organization Co. S.A. 276,079 4,918,577 National Bank of Greece 20,176 680,936 ---------------- TOTAL -- GREECE (Cost $9,708,569) 13,561,096 ---------------- AUSTRIA -- (0.3%) COMMON STOCKS -- (0.3%) Bank Austria Creditanstalt AG 70,493 6,932,327 Bohler Uddeholm AG 6,402 826,246 Voestalpine AG 62,211 4,194,277 Wienerberger AG 10,244 453,991 ---------------- TOTAL COMMON STOCKS (Cost $8,010,878) 12,406,841 ---------------- RIGHTS/WARRANTS -- (0.0%) * Boehler-Uddeholm AG Rights 06/02/05 6,402 0 ---------------- (Cost $0) TOTAL -- AUSTRIA (Cost $8,010,878) 12,406,841 ---------------- EMU -- (0.2%) INVESTMENT IN CURRENCY -- (0.2%) * Euro Currency 8,495,382 ---------------- (Cost $8,683,335)
16 NEW ZEALAND -- (0.1%) COMMON STOCKS -- (0.1%) Auckland International Airport, Ltd. 399,312 575,334 Carter Holt Harvey, Ltd. 1,955,577 2,456,271 Fletcher Building, Ltd. 693,880 3,045,029 ---------------- TOTAL -- NEW ZEALAND (Cost $5,397,217) 6,076,634 ---------------- MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Rekapacific Berhad 691,000 0 ---------------- (cost $1,085,853)
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (20.6%) ^ Repurchase Agreement, Deutsche Bank Securities, Merrill Lynch & Mizuho Securities USA 2.96%, 3.07%, and 2.98%, respectively, 06/01/05 (Collateralized by $1,247,813,560 U.S. TIPS 1.875%, 07/15/13 and 3.375%, 01/15/07; U.S. STRIPS, rates ranging from 0% to 10.75%, maturities ranging from 08/15/05 to 02/15/31; GNMA's, rates ranging from 3.75% to 5.75%, maturities ranging from 01/20/34 to 05/20/35; AID-Israel, rates ranging from 0% to 5.50%, maturities ranging from 11/01/13 to 09/18/23; & U.S. Treasury Notes, rates ranging from 1.125% to 4.75%, maturities ranging from 06/30/05 to 02/15/15, valued at $915,552,116) to be repurchased at $897,667,509 (Cost $897,592,866) $ 897,593 897,592,866 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $3,763,255,811) $ 4,364,903,149 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 17 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED)
THE U.S. LARGE THE DFA CAP VALUE INTERNATIONAL SERIES VALUE SERIES --------------- --------------- ASSETS: Investments at Value (including $153,810 and $845,639 of securities on loan, respectively)+ $ 4,963,825 $ 4,364,903 Cash 1 -- Receivables: Investment Securities Sold 1,427 122 Dividends, Interest, and Tax Reclaims 6,334 11,301 Securities Lending Income 260 1,018 Fund Shares Sold 6,047 6,763 Prepaid Expenses and Other Assets 20 17 --------------- --------------- Total Assets 4,977,914 4,384,124 --------------- --------------- LIABILITIES: Payables: Upon Return of Securities Loaned 159,527 897,593 Investment Securities Purchased 29,501 9,084 Fund Shares Redeemed 109 323 Due to Advisor 387 575 Loan Payable -- 241 Accrued Expenses and Other Liabilities 259 247 --------------- --------------- Total Liabilities 189,783 908,063 --------------- --------------- NET ASSETS $ 4,788,131 $ 3,476,061 =============== =============== SHARES OUTSTANDING $0.01 PAR VALUE (Unlimited Number of Shares Authorized) 247,661,374 221,948,580 =============== =============== NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE $ 19.33 $ 15.66 =============== =============== Investments at Cost $ 3,977,265 $ 3,763,256 =============== ===============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 36 STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED)
THE U.S. LARGE THE DFA CAP VALUE INTERNATIONAL SERIES VALUE SERIES -------------- ------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0 and $6,624, respectively) $ 30,069 $ 59,004 Interest 644 243 Income from Securities Lending 501 2,820 ------------ ------------ Total Investment Income 31,214 62,067 ------------ ------------ EXPENSES Investment Advisory Services 2,171 3,260 Accounting & Transfer Agent Fees 610 655 Custodian Fees 206 381 Legal Fees 8 8 Audit Fees 18 12 Shareholders' Reports 20 14 Trustees' Fees and Expenses 16 10 Other 30 42 ------------ ------------ Total Expenses 3,079 4,382 ------------ ------------ NET INVESTMENT INCOME (LOSS) 28,135 57,685 ------------ ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 33,983 62,333 Net Realized Gain (Loss) on Foreign Currency Transactions -- (82) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 146,995 (67,392) Translation of Foreign Currency Denominated Amounts -- (654) ------------ ------------ NET GAIN (LOSS) 180,978 (5,795) ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 209,113 $ 51,890 ============ ============
See accompanying Notes to Financial Statements. 37 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP THE DFA INTERNATIONAL VALUE SERIES VALUE SERIES -------------------------------- -------------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ------------- ------------- ------------- ------------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 28,135 $ 45,093 $ 57,685 $ 49,525 Net Realized Gain (Loss) on Investment Securities Sold 33,983 84,609 62,333 115,062 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (82) (332) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 146,995 496,658 (67,392) 436,284 Translation of Foreign Currency Denominated Amounts -- -- (654) 162 ------------- ------------- ------------- ------------- Net Increase (Decrease) in Net Assets Resulting from Operations 209,113 626,360 51,890 600,701 ------------- ------------- ------------- ------------- Distributions From: Net Investment Income (26,329) (33,641) (26,491) (44,310) Net Short-Term Gains -- -- (2,493) -- Net Long-Term Gains (3,972) -- (104,987) -- ------------- ------------- ------------- ------------- Total Distributions (30,301) (33,641) (133,971) (44,310) ------------- ------------- ------------- ------------- Capital Share Transactions (1): Shares Issued 677,006 857,913 664,859 728,312 Shares Issued in Lieu of Cash Distributions 28,649 32,697 131,569 42,852 Shares Redeemed (16,249) (74,078) (42,329) (128,290) ------------- ------------- ------------- ------------- Net Increase (Decrease) from Capital Share Transactions 689,406 816,532 754,099 642,874 ------------- ------------- ------------- ------------- Total Increase (Decrease) 868,218 1,409,251 672,018 1,199,265 NET ASSETS Beginning of Period 3,919,913 2,510,662 2,804,043 1,604,778 ------------- ------------- ------------- ------------- End of Period $ 4,788,131 $ 3,919,913 $ 3,476,061 $ 2,804,043 ============= ============= ============= ============= (1) SHARES ISSUED AND REDEEMED: Shares Issued 35,683 50,791 41,322 51,724 Shares Issued in Lieu of Cash Distributions 1,509 1,939 8,398 3,072 Shares Redeemed (857) (4,363) (2,638) (9,358) ------------- ------------- ------------- ------------- 36,335 48,367 47,082 45,438 ============= ============= ============= =============
See accompanying Notes to Financial Statements. 38 THE DFA INVESTMENT TRUST COMPANY THE U.S. LARGE CAP VALUE SERIES 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.12 0.23 0.21 0.20 0.25 0.33 Net Gains (Losses) on Securities (Realized and Unrealized) 0.80 3.09 2.41 (1.43) 1.25 0.04 ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations 0.92 3.32 2.62 (1.23) 1.50 0.37 - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.12) (0.18) (0.22) (0.20) (0.27) (0.32) Net Realized Gains (0.02) -- -- -- (1.50) (3.13) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.14) (0.18) (0.22) (0.20) (1.77) (3.45) ----------- ----------- ----------- ----------- ----------- ----------- Net Asset Value, End of Period $ 19.33 $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 ================================================================================================================================== Total Return 4.97%# 21.68% 20.34% (8.64)% 10.97% 3.06% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 4,788,131 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343 Ratio of Expenses to Average Net Assets 0.14%* 0.15% 0.15% 0.15% 0.15% 0.16% Ratio of Net Investment Income to Average Net Assets 1.30%* 1.41% 1.62% 1.49% 1.66% 2.20% Portfolio Turnover Rate 3%# 7% 7% 9% 6% 26% - ----------------------------------------------------------------------------------------------------------------------------------
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 39 THE DFA INVESTMENT TRUST COMPANY THE DFA INTERNATIONAL VALUE SERIES 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.27 0.33 0.27 0.24 0.27 0.27 Net Gains (Losses) on Securities (Realized and Unrealized) 0.10 3.61 3.06 (0.78) (1.49) (0.31) ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations 0.37 3.94 3.33 (0.54) (1.22) (0.04) - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.15) (0.30) (0.25) (0.25) (0.27) (0.26) Net Realized Gains (0.60) -- (0.01) (0.03) (0.43) (0.81) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.75) (0.30) (0.26) (0.28) (0.70) (1.07) ----------- ----------- ----------- ----------- ----------- ----------- Net Asset Value, End of Period $ 15.66 $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 ================================================================================================================================== Total Return 2.31%# 32.15% 36.24% (5.53)% (10.75)% (0.51)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,476,061 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481 Ratio of Expenses to Average Net Assets 0.27%* 0.28% 0.30% 0.30% 0.29% 0.29% Ratio of Net Investment Income to Average Net Assets 3.55%* 2.35% 2.61% 2.36% 2.32% 2.13% Portfolio Turnover Rate 5%# 15% 14% 18% 6% 9% - ----------------------------------------------------------------------------------------------------------------------------------
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 40 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. The Trust consists of twenty-one series, of which two (the "Series") are presented in this report. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the 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 requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Series which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day. Securities held by the Series that are listed on NASDAQ are valued at the NASDAQ Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Series values the securities at the mean between the quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the mean between the most recent bid and asked prices. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Trustees. The DFA International Value Series (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 Trustees of the Trust 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 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. 2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities of The DFA International Value Series whose values are initially expressed in foreign currencies, are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. 41 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 International Value Series 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 DFA International Value Series books 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 the 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 DFA International Value Series may be subject to taxes imposed by countries in which it invests, with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The DFA International Value Series 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 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. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Series. For the six months ended May 31, 2005, the advisory fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.10 of 1% and 0.20 of 1% of average daily net assets for The U.S. Large Cap Value Series and The DFA International Value Series, respectively. Certain officers of the Trust are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At May 31, 2005, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities as follows: The U.S. Large Cap Value Series $ 67,547 The DFA International Value Series 50,660
42 E. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2005, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands):
PURCHASES SALES --------- --------- The U.S. Large Cap Value Series $ 765,051 $ 122,559 The DFA International Value Series 843,507 165,589
There were no purchases or sales of U.S. Government Securities during the six months ended May 31, 2005. F. FEDERAL INCOME TAXES: Each Series has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- -------- The U.S. Large Cap Value Series 2004 $ 33,641 -- $ 33,641 2003 31,464 -- 31,464 The DFA International Value Series 2004 44,310 -- 44,310 2003 30,082 $ 1,177 31,259
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED EARNINGS NET INVESTMENT LONG-TERM (ACCUMULATED INCOME CAPITAL GAINS LOSS) -------------- ------------- ------------ The U.S. Large Cap Value Series $ 13,203 $ 3,947 $ 17,150 The DFA International Value Series 22,727 104,819 127,546
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. During the year ended November 30, 2004, The DFA International Value Series had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies, of $10,083,171 and $12,003,955, respectively, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income. At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amount in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ----------- ------------ ------------ -------------- The U.S. Large Cap Value Series $ 3,977,265 $ 1,216,187 $ (229,627) $ 986,560 The DFA International Value Series 3,763,356 692,851 (91,304) 601,547
43 G. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
APPRECIATION ACCUMULATED ACCUMULATED UNREALIZED (DEPRECIATION) ACCUMULATED NET INVESTMENT NET REALIZED NET REALIZED OF INVESTMENT NET FOREIGN INCOME (LOSS) GAIN (LOSS) FOREIGN SECURITIES AND EXCHANGE PAID-IN OF INVESTMENT OF INVESTMENT EXCHANGE FOREIGN GAIN TOTAL NET CAPITAL SECURITIES SECURITIES GAIN (LOSS) CURRENCY (LOSS) ASSETS ----------- -------------- ------------- ------------ -------------- ----------- ----------- The U.S. Large Cap Value Series $ 3,752,794 $ 14,963 $ 33,814 -- $ 986,560 -- $ 4,788,131 The DFA International Value Series 2,771,495 49,058 54,235 $ (82) 601,647 $ (292) 3,476,061
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 31, 2005. 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. I. LINE OF CREDIT: The Trust, together with other Dimensional-advised series, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each series is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each series is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. Borrowings under the discretionary line of credit by the Series during the six months ended May 31, 2005 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 DFA International Value Series 3.76% $ 241,250 1 $ 25 $ 241,250
At May 31, 2005, The DFA International Value Series had an outstanding borrowing under the line of credit of $241,250 plus accrued interest. There were no other outstanding borrowings under the line of credit at May 31, 2005. The Trust, together with other Dimensional-advised series, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each series is permitted to borrow, 44 subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each series is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings under the line of credit by the Series during the six months ended May 31, 2005. J. SECURITIES LENDING: As of May 31, 2005, 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, the lending agent has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. The cash collateral received by each portfolio from securities on loan is invested in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. The Series paid fees for securities lending for the six month period ended May 31, 2005, which have been netted against the Income for Securities Lending on the Statements of Operations. These fees are presented below (amounts in thousands): The U.S. Large Cap Value Series $ 126 The DFA International Value Series 1,219
K. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 45 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Fund and the Trust uses in voting proxies relating to securities held in the portfolios is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dfaus.com and reflects the twelve-month period beginning July 1 and ending June 30. 46 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS At the Board meeting held on December 15, 2004 (the "Meeting"), the Board of Directors of Dimensional Investment Group Inc. and the Board of Trustees of The DFA Investment Trust Company (together, the "Board") considered the continuation of the investment advisory/management agreements for each portfolio or series (collectively, the "Funds"). (The investment advisory/management agreements are referred to as the "Advisory Agreements.") Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Advisory Agreements. The Independent Board Members, met with their independent counsel in advance of the Meeting to discuss the materials provided by the Advisor, the independent reports prepared by Lipper Analytical Services, Inc., and issues related to the continuation of the Advisory Agreements. At the Meeting, the Board considered a number of factors when considering the continuation of each Advisory Agreement for a Fund, including: (i) the nature, extent and quality of services provided by the Advisor to each Fund; (ii) the performance of each Fund and the Advisor; (iii) the fees and expenses borne by each Fund; (iv) the profitability realized by the Advisor from the relationship with each Fund; (v) whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of the advisory fee charged; (vi) comparisons of the services to be rendered and the amounts to be paid under other advisory contracts; and (vii) any benefits to be derived by the Advisor from its relationship with each Fund. When considering the nature and quality of the services provided by the Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor's investment advisory capabilities. The Board evaluated the Advisor's portfolio management process. The Board also considered the nature and character of non-investment management services provided by the Advisor. After analyzing the caliber of services provided by the Advisor to each Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to each Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund. In considering the performance of each Fund, the Board analyzed the Lipper reports, which compared the performance of each Fund with other funds in its respective peer group and peer universe, and noted that the performance of The U.S. Large Cap Value Series and The DFA International Value Series compared favorably with their peer groups. At the Board's request, the Advisor specifically addressed the factors that contributed to the comparative performance of the LWAS/DFA Two-Year Fixed Income Portfolio and LWAS/DFA Two-Year Government Portfolio. The Board concluded that the Advisor's explanations provided a sound basis for understanding the performance of these Funds. The Board determined, among other things, that the performance of each Fund was acceptable as compared with relevant performance standards. When considering the fees and expenses borne by each Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Lipper reports. The Board concluded that the advisory fees and total expenses of each Fund over various periods were favorable in relation to their peer funds, and that the advisory fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large. The Board considered the profitability of each Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to each Fund, including administrative fees paid by the feeder portfolios. The Board considered the profitability to the Advisor of managing 47 the Funds and other "non-1940 Act registered" investment vehicles. Upon closely examining the Advisor's profitability, the Board concluded, among other things, that it was reasonable. The Board also discussed whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of advisory fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory fees charged were inapplicable to each Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund. After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Advisory Agreement for each Fund was in the best interests of the Fund and its shareholders. 48 [THIS PAGE INTENTIONALLY LEFT BLANK] [THIS PAGE INTENTIONALLY LEFT BLANK] ================================================================================ Dimensional Investment Group Inc. Global Equity Portfolio Global 60/40 Portfolio Global 25/75 Portfolio Class R Shares Institutional Class Shares Semi-Annual Report Six Months Ended May 31, 2005 (Unaudited) ================================================================================ DIMENSIONAL INVESTMENT GROUP INC. SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS
PAGE ------ DIMENSIONAL INVESTMENT GROUP INC. Disclosure of Fund Expenses 1 Disclosure of Portfolio Holdings 3 Schedules of Investments Global Equity Portfolio 4 Global 60/40 Portfolio 6 Global 25/75 Portfolio 8 Statements of Assets and Liabilities 9 Statements of Operations 10 Statements of Changes in Net Assets 11 Financial Highlights 12 Notes to Financial Statements 14 THE DFA INVESTMENT TRUST COMPANY Disclosure of Fund Expenses 21 Disclosure of Portfolio Holdings 23 Schedules of Investments The U.S. Large Company Series 27 The U.S. Large Cap Value Series 30 The U.S. Small Cap Series 33 The DFA International Value Series 36 The Japanese Small Company Series 41 The Pacific Rim Small Company Series 44 The United Kingdom Small Company Series 47 The Continental Small Company Series 50 The Emerging Markets Series 55 The Emerging Markets Small Cap Series 59 The DFA Two-Year Global Fixed Income Series 63 Statements of Assets and Liabilities 65 Statements of Operations 67 Statements of Changes in Net Assets 70 Financial Highlights 73 Notes to Financial Statements 79 DFA INVESTMENT DIMENSIONS GROUP INC. Disclosure of Fund Expenses 87 Disclosure of Portfolio Holdings 88 Schedules of Investments DFA Real Estate Securities Portfolio 90 Large Cap International Portfolio 92 DFA Five-Year Global Fixed Income Portfolio 98 Statements of Assets and Liabilities 100 Statements of Operations 101 Statements of Changes in Net Assets 102 Financial Highlights 103 Notes to Financial Statements 105
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PAGE ------ DIMENSIONAL EMERGING MARKETS VALUE FUND INC. Disclosure of Fund Expenses 111 Disclosure of Portfolio Holdings 112 Schedule of Investments 113 Statement of Assets and Liabilities 118 Statement of Operations 119 Statements of Changes in Net Assets 120 Financial Highlights 121 Notes to Financial Statements 122 VOTING PROXIES ON FUND PORTFOLIO SECURITIES 126
This report is submitted for the information of the Funds' shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. ii DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ---------- ---------- ---------- -------- GLOBAL EQUITY PORTFOLIO Actual Fund Return Class R Shares $ 1,000.00 $ 1,027.30 0.73% $ 3.69 Institutional Class Shares $ 1,000.00 $ 1,028.20 0.48% $ 2.43 Hypothetical 5% Annual Return Class R Shares $ 1,000.00 $ 1,021.36 0.73% $ 3.68 Institutional Class Shares $ 1,000.00 $ 1,022.61 0.48% $ 2.42
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BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ---------- ---------- ---------- -------- GLOBAL 60/40 PORTFOLIO Actual Fund Return Class R Shares $ 1,000.00 $ 1,023.10 0.71% $ 3.58 Institutional Class Shares $ 1,000.00 $ 1,023.50 0.46% $ 2.32 Hypothetical 5% Annual Return Class R Shares $ 1,000.00 $ 1,021.46 0.71% $ 3.58 Institutional Class Shares $ 1,000.00 $ 1,022.71 0.46% $ 2.32 GLOBAL 25/75 PORTFOLIO Actual Fund Return Class R Shares $ 1,000.00 $ 1,017.30 0.85% $ 4.28 Institutional Class Shares $ 1,000.00 $ 1,017.80 0.60% $ 3.02 Hypothetical 5% Annual Return Class R Shares $ 1,000.00 $ 1,020.76 0.85% $ 4.28 Institutional Class Shares $ 1,000.00 $ 1,022.01 0.60% $ 3.02
- ---------- *Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 2 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Investment Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. GLOBAL EQUITY PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== GLOBAL 60/40 PORTFOLIO Investment Companies 100.0% ----- 100.0% ===== GLOBAL 25/75 PORTFOLIO Investment Companies 100.0% ----- 100.0% =====
3 DIMENSIONAL INVESTMENT GROUP INC. SCHEDULE OF INVESTMENTS GLOBAL EQUITY PORTFOLIO MAY 31, 2005 (UNAUDITED)
VALUE+ ------ Investment Companies -- (99.6%): Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company (24.9%) (4,169,425 Shares, Cost $74,002,521) $ 80,594,985 Investment in The U.S. Large Company Series of The DFA Investment Trust Company (24.9%) (Cost $76,709,458) 80,369,171 Investment in The U.S. Small Cap Series of The DFA Investment Trust Company (18.0%) (3,871,513 Shares, Cost $57,444,560) 58,227,556 Investment in The DFA International Value Series of The DFA Investment Trust Company (9.9%) (2,038,802 Shares, Cost $30,320,688) 31,927,639 Investment in Large Cap International Portfolio of DFA Investment Dimensions Group Inc. (5.0%) (918,488 Shares, Cost $15,247,964) 15,954,137 Investment in The Continental Small Company Series of The DFA Investment Trust Company (3.9%) (Cost $11,083,218) 12,724,320 Investment in The Japanese Small Company Series of The DFA Investment Trust Company (2.7%) (Cost $8,132,501) 8,819,922 Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc. (2.0%) (279,264 Shares, Cost $5,763,856) 6,504,059 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company (2.0%) (Cost $6,038,819) 6,450,064 Investment in The Emerging Markets Series of The DFA Investment Trust Company (2.0%) (Cost $5,553,697) 6,444,875 Investment in Dimensional Emerging Markets Value Fund Inc. (2.0%) (223,268 Shares, Cost $5,566,240) 6,414,490 Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company (1.3%) (Cost $4,050,200) 4,170,812 Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company (1.0%) (Cost $2,864,378) 3,213,627 --------------- Total Investment Companies (Cost $302,778,100) 321,815,657 ===============
4
FACE AMOUNT (000) VALUE+ ------ ------ Temporary Cash Investments (0.4%): Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $1,494,000 FHLMC Notes 4.00%, 09/22/09, valued at $1,495,868) to be repurchased at $1,473,118 (Cost $1,473,000) $ 1,473 $ 1,473,000 --------------- Total Investments (100%) (Cost $304,251,100) $ 323,288,657 ===============
- ---------- +See Note B to Financial Statements See accompanying Notes to Financial Statements. 5 DIMENSIONAL INVESTMENT GROUP INC. SCHEDULE OF INVESTMENTS GLOBAL 60/40 PORTFOLIO MAY 31, 2005 (UNAUDITED)
VALUE+ ------ Investment Companies -- (99.9%): Investment in DFA Five-Year Global Fixed Income Portfolio of DFA Investment Dimensions Group Inc. (20.0%) (3,461,878 Shares, Cost $36,370,184) $ 36,834,382 Investment in The DFA Two-Year Global Fixed Income Series of The DFA Investment Trust Company (20.0%) (3,680,196 Shares, Cost $36,766,844) 36,801,960 Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company (15.0%) (1,422,763 Shares, Cost $25,318,923) 27,502,009 Investment in The U.S. Large Company Series of The DFA Investment Trust Company (14.9%) (Cost $26,187,973) 27,401,197 Investment in The U.S. Small Cap Series of The DFA Investment Trust Company (10.9%) (1,328,012 Shares, Cost $19,602,431) 19,973,300 Investment in The DFA International Value Series of The DFA Investment Trust Company (5.9%) (697,350 Shares, Cost $10,427,181) 10,920,501 Investment in Large Cap International Portfolio of DFA Investment Dimensions Group Inc. (3.0%) (313,570 Shares, Cost $5,223,990) 5,446,711 Investment in The Continental Small Company Series of The DFA Investment Trust Company (2.4%) (Cost $3,825,235) 4,345,892 Investment in The Japanese Small Company Series of The DFA Investment Trust Company (1.6%) (Cost $2,784,997) 3,001,916 Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc. (1.2%) (95,241 Shares, Cost $1,975,473) 2,218,163 Investment in The Emerging Markets Series of The DFA Investment Trust Company (1.2%) (Cost $1,928,703) 2,212,049 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company (1.2%) (Cost $2,076,902) 2,204,617 Investment in Dimensional Emerging Markets Value Fund Inc. (1.2%) (76,632 Shares, Cost $1,933,902) 2,201,637 Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company (0.8%) (Cost $1,386,170) 1,422,080 Investment in The Emerging Markets Small Cap Series of DFA Investment Trust Company (0.6%) (Cost $988,951) 1,100,372 --------------- Total Investment Companies (Cost $176,797,859) 183,586,786 ===============
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FACE AMOUNT (000) VALUE+ ------ ------ Temporary Cash Investments (0.1%): Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $241,000 FHLMC Notes 4.00%, 09/22/09, valued at $241,301) to be repurchased at $237,019 (Cost $237,000) $ 237 $ 237,000 --------------- Total Investments (100%) (Cost $177,034,859) $ 183,823,786 ===============
- ---------- +See Note B to Financial Statements See accompanying Notes to Financial Statements. 7 DIMENSIONAL INVESTMENT GROUP INC. SCHEDULE OF INVESTMENTS GLOBAL 25/75 PORTFOLIO MAY 31, 2005 (UNAUDITED)
VALUE+ ------ Investment in DFA Five-Year Global Fixed Income Portfolio of DFA Investment Dimensions Group Inc. (37.6%) (1,417,872 Shares, Cost $14,872,602) $ 15,086,158 Investment in The DFA Two-Year Global Fixed Income Series of The DFA Investment Trust Company (37.6%) (1,506,549 Shares, Cost $15,060,426) 15,065,490 Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company (6.2%) (129,462 Shares, Cost $2,230,634) 2,502,500 Investment in The U.S. Large Company Series of The DFA Investment Trust Company (6.2%) (Cost $2,339,212) 2,495,342 Investment in The U.S. Small Cap Series of The DFA Investment Trust Company (4.5%) (120,119 Shares, Cost $1,737,304) 1,806,590 Investment in The DFA International Value Series of The DFA Investment Trust Company (2.5%) (63,344 Shares, Cost $914,685) 991,967 Investment in Large Cap International Portfolio of DFA Investment Dimensions Group Inc. (1.2%) (28,573 Shares, Cost $461,724) 496,313 Investment in The Continental Small Company Series of The DFA Investment Trust Company (1.0%) (Cost $325,587) 396,029 Investment in The Japanese Small Company Series of The DFA Investment Trust Company (0.7%) (Cost $238,978) 268,344 Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc. (0.5%) (8,689 Shares, Cost $174,623) 202,367 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company (0.5%) (Cost $182,150) 201,404 Investment in The Emerging Markets Series of The DFA Investment Trust Company (0.5%) (Cost $163,397) 201,007 Investment in Dimensional Emerging Markets Value Fund Inc. (0.5%) (6,970 Shares, Cost $165,831) 200,248 Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company (0.3%) (Cost $121,986) 130,657 Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company (0.2%) (Cost $84,028) 99,939 --------------- Total Investments (100%) (Cost $39,073,167) $ 40,144,355 ===============
- ---------- +See Note B to Financial Statements 8 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED)
GLOBAL GLOBAL GLOBAL EQUITY 60/40 25/75 PORTFOLIO PORTFOLIO PORTFOLIO ---------- ---------- ---------- ASSETS: Investments at Value $ 323,289 $ 183,824 $ 40,144 Cash 1 -- -- Receivables: From Advisor -- -- 2 Investment Securities Sold -- -- 240 Fund Shares Sold 4,431 2,777 204 Prepaid Expenses and Other Assets 20 19 21 ---------- ---------- ---------- Total Assets 327,741 186,620 40,611 ---------- ---------- ---------- LIABILITIES: Payables: Investment Securities Purchased 1,399 162 -- Fund Shares Redeemed 36 33 101 Due to Advisor 68 28 -- Loan Payable -- -- 120 Accrued Expenses and Other Liabilities 18 12 8 ---------- ---------- ---------- Total Liabilities 1,521 235 229 ---------- ---------- ---------- NET ASSETS $ 326,220 $ 186,385 $ 40,382 ========== ========== ========== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R - based on net assets of $14,599, $1,631, and $45 and 1,240,231, 148,464, and 4,298 shares outstanding, respectively (Authorized 100,000,000 Shares) $ 11.77 $ 10.99 $ 10.43 ========== ========== ========== Institutional Class - based on net assets of $311,621, $184,754, and $40,337 and 26,425,544, 16,791,676 and 3,860,258 shares outstanding, respectively (Authorized 100,000,000 Shares) $ 11.79 $ 11.00 $ 10.45 ========== ========== ========== Investments at Cost $ 304,251 $ 177,035 $ 39,073 ========== ========== ==========
See accompanying Notes to Financial Statements. 9 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED)
GLOBAL GLOBAL GLOBAL EQUITY 60/40 25/75 PORTFOLIO PORTFOLIO PORTFOLIO ---------- ---------- ---------- INVESTMENT INCOME Income Distributions Received From Master Funds $ 996 $ 767 $ 264 Dividends (Net of Foreign Taxes Withheld of $48, $16 and $2, respectively) 1,085 369 38 Interest 34 16 3 Income from Securities Lending 36 12 1 Expenses Allocated from Master Funds (61) (21) (2) ---------- ---------- ---------- Total Investment Income 2,090 1,143 304 ---------- ---------- ---------- EXPENSES Administrative Services 388 184 37 Accounting & Transfer Agent Fees 40 40 40 Shareholder Servicing Fees - Class R 19 2 -- Legal Fees 1 1 -- Audit Fees 1 1 1 Shareholders' Reports 33 15 5 Directors' Fees and Expenses 1 -- -- Other 13 12 7 ---------- ---------- ---------- Total Expenses 496 255 90 ---------- ---------- ---------- Fees Waived, Expenses Reimbursed and/or Previously Waived Fees Recovered by Advisor (Note C) (54) (48) (16) ---------- ---------- ---------- Net Expenses 442 207 74 ---------- ---------- ---------- NET INVESTMENT INCOME (LOSS) 1,648 936 230 ---------- ---------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received From Master Funds 2,738 889 117 Net Realized Gain (Loss) on Investment Securities Sold (135) (150) (57) Net Realized Gain (Loss) on Futures (41) (15) (1) Net Realized Gain (Loss) on Foreign Currency Transactions (8) (3) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 1,613 1,376 328 Translation of Foreign Currency Denominated Amounts (3) (1) -- Futures (17) (3) (1) Deferred Thailand Capital Gains Tax 2 1 -- ---------- ---------- ---------- NET GAIN (LOSS) 4,149 2,094 386 ---------- ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 5,797 $ 3,030 $ 616 ========== ========== ==========
See accompanying Notes to Financial Statements. 10 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
GLOBAL GLOBAL GLOBAL EQUITY 60/40 25/75 PORTFOLIO PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- ----------------------------- SIX MONTHS DEC. 24, 2003(1) SIX MONTHS DEC. 24, 2003(1) SIX MONTHS DEC. 24, 2003(1) ENDED TO ENDED TO ENDED TO MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 2005 2004 ----------- ---------------- ----------- ---------------- ------------ ---------------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 1,648 $ 907 $ 936 $ 486 $ 230 $ 125 Capital Gain Distributions Received From Master Funds 2,738 -- 889 -- 117 -- Net Realized Gain (Loss) on Investment Securities Sold (135) (876) (150) (195) (57) (30) Net Realized Gain (Loss) on Futures (41) (388) (15) (106) (1) (14) Net Realized Gain (Loss) on Foreign Currency Transactions (8) (6) (3) (2) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities, Futures and Foreign Currency 1,613 17,413 1,376 5,406 328 742 Translation of Foreign Currency Denominated Amounts (3) 3 (1) 1 -- -- Futures (17) 29 (3) 10 (1) 2 Deferred Thailand Capital Gains Tax 2 (1) 1 (1) -- -- ---------- ---------- ---------- ---------- --------- ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 5,797 17,081 3,030 5,599 616 825 ---------- ---------- ---------- ---------- --------- ------------ Distributions to Shareholders From: Net Investment Income: Institutional Class (1,332) (661) (852) (456) (239) (187) Class R (85) (92) (13) (17) -- -- ---------- ---------- ---------- ---------- --------- ------------ Total Distributions From Net Investment Income (1,417) (753) (865) (473) (239) (187) ---------- ---------- ---------- ---------- --------- ------------ Net Realized Gains: Institutional Class (299) -- (103) -- (14) -- Class R (23) -- (2) -- -- -- ---------- ---------- ---------- ---------- --------- ----------- Total Distributions From Net Realized Gains (322) -- (105) -- (14) -- ---------- ---------- ---------- ---------- --------- ----------- Total Distributions to Shareholders (1,739) (753) (970) (473) (253) (187) ---------- ---------- ---------- ---------- --------- ----------- Capital Share Transactions: Shares Issued 147,205 193,217 99,637 103,282 15,109 32,700 Shares Issued in Lieu of Cash Distributions 1,738 753 965 473 253 186 Shares Redeemed (20,544) (16,535) (20,530) (4,628) (6,616) (2,251) ---------- ---------- ---------- ---------- --------- ----------- Net Increase (Decrease) From Capital Share Transactions 128,399 177,435 80,072 99,127 8,746 30,635 ---------- ---------- ---------- ---------- --------- ----------- Total Increase (Decrease) 132,457 193,763 82,132 104,253 9,109 31,273 NET ASSETS Beginning of Period 193,763 -- 104,253 -- 31,273 -- ---------- ---------- ---------- ---------- --------- ----------- End of Period $ 326,220 $ 193,763 $ 186,385 $ 104,253 $ 40,382 $ 31,273 ========== ========== ========== ========== ========= ===========
- ---------- (1) The Portfolios commenced operations on December 24, 2003. See accompanying Notes to Financial Statements. 11 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) INSTITUTIONAL CLASS SHARES
GLOBAL EQUITY PORTFOLIO ----------------------------- SIX MONTHS DEC. 24, 2003(1) ENDED TO MAY 31, NOVEMBER 30, 2005 2004 - ------------------------------------------------------------------------------------------------------ (UNAUDITED) Net Asset Value, Beginning of Period $ 11.56 $ 10.00 ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.10 0.09 Net Gains (Losses) on Securities (Realized and Unrealized) 0.23 1.55 ---------- ---------- Total from Investment Operations 0.33 1.64 - ------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.10) (0.08) ---------- ---------- Total Distributions (0.10) (0.08) - ------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 11.79 $ 11.56 ====================================================================================================== Total Return 2.82%# 16.46%# - ------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 311,621 $ 179,079 Ratio of Expenses to Average Net Assets** 0.48%* 0.67%*(a) Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.52%* 0.71%*(a) Ratio of Net Investment Income to Average Net Assets 1.28%* 1.08%* GLOBAL 60/40 PORTFOLIO ----------------------------- SIX MONTHS DEC. 24, 2003(1) ENDED TO MAY 31, NOVEMBER 30, 2005 2004 - ------------------------------------------------------------------------------------------------------ (UNAUDITED) Net Asset Value, Beginning of Period $ 10.83 $ 10.00 ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.09 0.11 Net Gains (Losses) on Securities (Realized and Unrealized) 0.16 0.83 ---------- ---------- Total from Investment Operations 0.25 0.94 - ------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.08) (0.11) ---------- ---------- Total Distributions (0.08) (0.11) - ------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 11.00 $ 10.83 ====================================================================================================== Total Return 2.35%# 9.41%# - ------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 184,754 $ 102,341 Ratio of Expenses to Average Net Assets** 0.46%* 0.65%*(a) Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.52%* 0.83%*(a) Ratio of Net Investment Income to Average Net Assets 1.28%* 1.18%* GLOBAL 25/75 PORTFOLIO ----------------------------- SIX MONTHS DEC. 24, 2003(1) ENDED TO MAY 31, NOVEMBER 30, 2005 2004 - ------------------------------------------------------------------------------------------------------ (UNAUDITED) Net Asset Value, Beginning of Period $ 10.34 $ 10.00 ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.07 0.11 Net Gains (Losses) on Securities (Realized and Unrealized) 0.11 0.36 ---------- ---------- Total from Investment Operations 0.18 0.47 - ------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.07) (0.13) ---------- ---------- Total Distributions (0.07) (0.13) - ------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 10.45 $ 10.34 ====================================================================================================== Total Return 1.78%# 4.73%# - ------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 40,337 $ 31,208 Ratio of Expenses to Average Net Assets** 0.60%* 0.99%*(a) Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.69%* 1.32%*(a) Ratio of Net Investment Income to Average Net Assets 1.24%* 0.95%*
* Annualized # Non-annualized ** Represents the combined ratio for the respective Portfolio and its respective pro-rata share of its Master Fund Series'. (1) Commencement of operations (a) Because of commencement of operations and related preliminary transactions costs, these ratios are not necessarily indicative of future ratios. See accompanying Notes to Financial Statements. 12 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) CLASS R SHARES
GLOBAL EQUITY PORTFOLIO ----------------------------- SIX MONTHS DEC. 24, 2003(1) ENDED TO MAY 31, NOVEMBER 30, 2005 2004 - ------------------------------------------------------------------------------------------------------ (UNAUDITED) Net Asset Value, Beginning of Period $ 11.54 $ 10.00 ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.09 0.07 Net Gains (Losses) on Securities (Realized and Unrealized) 0.23 1.54 ---------- ---------- Total from Investment Operations 0.32 1.61 - ------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.09) (0.07) ---------- ---------- Total Distributions (0.09) (0.07) - ------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 11.77 $ 11.54 ====================================================================================================== Total Return 2.73%# 16.18%# - ------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 14,599 $ 14,684 Ratio of Expenses to Average Net Assets** 0.73%* 0.90%*(a) Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.78%* 0.94%*(a) Ratio of Net Investment Income to Average Net Assets 1.18%* 0.82%* GLOBAL 60/40 PORTFOLIO ----------------------------- SIX MONTHS DEC. 24, 2003(1) ENDED TO MAY 31, NOVEMBER 30, 2005 2004 - ------------------------------------------------------------------------------------------------------ (UNAUDITED) Net Asset Value, Beginning of Period $ 10.83 $ 10.00 ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.07 0.08 Net Gains (Losses) on Securities (Realized and Unrealized) 0.18 0.84 ---------- ---------- Total from Investment Operations 0.25 0.92 - ------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.09) (0.09) ---------- ---------- Total Distributions (0.09) (0.09) - ------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 10.99 $ 10.83 ====================================================================================================== Total Return 2.31%# 9.29%# - ------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 1,631 $1,912 Ratio of Expenses to Average Net Assets** 0.71%* 0.95%*(a) Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.78%* 1.28%*(a) Ratio of Net Investment Income to Average Net Assets 1.20%* 0.94%* GLOBAL 25/75 PORTFOLIO ----------------------------- SIX MONTHS DEC. 24, 2003(1) ENDED TO MAY 31, NOVEMBER 30, 2005 2004 - ------------------------------------------------------------------------------------------------------ (UNAUDITED) Net Asset Value, Beginning of Period $ 10.33 $ 10.00 ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.04 0.07 Net Gains (Losses) on Securities (Realized and Unrealized) 0.14 0.37 ---------- ---------- Total from Investment Operations 0.18 0.44 - ------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.08) (0.11) ---------- ---------- Total Distributions (0.08) (0.11) - ------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 10.43 $ 10.33 ====================================================================================================== Total Return 1.73%# 4.44%# - ------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 45 $ 65 Ratio of Expenses to Average Net Assets** 0.85%* 0.95%*(a) Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees)** 0.93%* 6.00%*(a) Ratio of Net Investment Income to Average Net Assets 0.95%* 1.03%*
* Annualized # Non-annualized ** Represents the combined ratio for the respective Portfolio and its respective pro-rata share of its Master Fund Series'. (1) Commencement of operations (a) Because of commencement of operations and related preliminary transactions costs, these ratios are not necessarily indicative of future ratios. See accompanying Notes to Financial Statements. 13 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 sixteen portfolios ("the Portfolios"), of which Global Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio (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"), DFA Investment Dimensions Group Inc. ("IDG") and Dimensional Emerging Markets Value Fund Inc. ("DEM") (collectively, the "Master Funds").
GLOBAL FUNDS MASTER FUNDS - ------------ ------------ 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 six months ended May 31, 2005. At May 31, 2005, all of the Global Funds owned less than 3% of any Master Fund's total net assets. The financial statements of the Master Funds are included in this report and should be read in conjunction with the financial statements of the Global Funds. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The shares of the Master Funds held by the Global Funds are valued at their respective daily net asset values where the Master Funds are organized as regulated investment companies for federal income tax purposes. The U.S. Large Company Series, The Japanese Small Company Series, The Pacific Rim Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series, The Emerging 14 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 Global 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. Pursuant to a Fee Waiver and Expense Assumption Agreement for the period December 1, 2004 to May 31, 2005, 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. (Effective June 1, 2005, the Fee Waiver and Expense Assumption Agreement was amended to the rates shown below):
DECEMBER 1, 2004 TO EFFECTIVE MAY 31, 2005 JUNE 1, 2005 ------------------- ------------ Global Equity Portfolio 0.35% 0.27% Global 60/40 Portfolio 0.30% 0.25% Global 25/75 Portfolio 0.25% 0.22%
The Fee Waiver and Expense Assumption Agreement will remain in effect for a period of one year from April 1, 2005 to April 1, 2006, 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 paid to the Advisor by the Master Funds), as is necessary to limit the total 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. (Effective June 1, 2005, the Fee Waiver and Expense Assumption Agreement was amended to the rates shown below):
DECEMBER 1, 2004 TO EFFECTIVE MAY 31, 2005 JUNE 1, 2005 ------------------- ------------ Global Equity Portfolio 0.70% 0.44% Global 60/40 Portfolio 0.65% 0.41% Global 25/75 Portfolio 0.60% 0.37%
15 As of June 1, 2005, the assumption of direct operating expenses of the Institutional Class shares will no longer be limited to the amount equal to the total fees paid to the Advisor by the Institutional Class shares (including the pass through of the management fees paid to the Advisor by the Master Funds). The Fee Waiver and Expense Assumption Agreement will remain in effect for a period of one year from April 1, 2005 to April 1, 2006, 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 of the Master Funds and including Shareholder Servicing Fees) of the Class R shares. (Effective June 1, 2005, the Fee Waiver and Expense Assumption Agreement was amended to the rates shown below):
DECEMBER 1, 2004 TO EFFECTIVE MAY 31, 2005 JUNE 1, 2005 ------------------- ------------ Global Equity Portfolio 0.95% 0.69% Global 60/40 Portfolio 0.95% 0.66% Global 25/75 Portfolio 0.95% 0.62%
The Fee Waiver and Expense Assumption Agreement will remain in effect for a period of one year from April 1, 2005 to April 1, 2006, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. At any time that the rate of fees and annualized expenses of a Global Fund are less than the rates listed above for the Global Fund on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the Global Fund's Institutional and Class R shares' fees or expenses to exceed the fee or expense limitations listed above. The Global Funds are not obligated to reimburse the Advisor for fees waived or expenses assumed by the Advisor more than thirty-six months prior to the date of such reimbursement. At May 31, 2005, the following waived fees were subject to future reimbursement over various periods not exceeding May 31, 2008:
INSTITUTIONAL CLASS CLASS R ------------------- ------- Global Equity Portfolio $ 82,200 $ 8,000 Global 60/40 Portfolio 120,800 5,900 Global 25/75 Portfolio 59,500 5,400
Certain officers of the Fund are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At May 31, 2005, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities as follows: Global Equity Portfolio $ 3,823 Global 60/40 Portfolio 2,161 Global 25/75 Portfolio 573
E. FEDERAL INCOME TAXES: Each Global Fund has qualified and intends to continue to qualify as a regulated investment company under Sub-chapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. 16 The tax character of dividends and distributions declared and paid during the period from December 24, 2003 to November 30, 2004 was as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM RETURN OF CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL ------------- ------------- --------- ----- Global Equity Portfolio Institutional Class $ 661 -- -- $ 661 Class R 92 -- -- 92 ------------- ------------- --------- ------- 753 -- -- 753 Global 60/40 Portfolio Institutional Class 456 -- -- 456 Class R 17 -- -- 17 ------------- ------------- --------- ------- 473 -- -- 473 Global 25/75 Portfolio Institutional Class 182 -- $ 4 186 Class R 1 -- -- 1 ------------- ------------- --------- ------- 183 -- 4 187
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED CAPITAL EARNINGS NET INVESTMENT LOSS (ACCUMULATED INCOME CARRYFORWARD LOSSES) -------------- ------------ ------------- Global Equity Portfolio $ 287 $ (1,150) $ (863) Global 60/40 Portfolio 92 (298) (206) Global 25/75 Portfolio -- (21) (21)
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at November 30, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. As of November 30, 2004, the following Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON NOVEMBER 30, 2012 ------------ Global Equity Portfolio $ 1,150 Global 60/40 Portfolio 298 Global 25/75 Portfolio 21
Certain of the investments held by the Portfolios 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, 2004, the Portfolio's had unrealized appreciation (depreciation) (mark to market) of realized gains on the sale of passive foreign investment companies, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income.
MARK TO MARKET REALIZED GAINS -------------- -------------- Global Equity Portfolio $ 75,726 $ 7,266 Global 60/40 Portfolio 23,607 2,265 Global 25/75 Portfolio 2,994 288
17 At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ---------- ------------ ------------ -------------- Global Equity Portfolio $ 304,582 $ 19,207 $ (500) $ 18,707 Global 60/40 Portfolio 177,216 6,840 (232) 6,608 Global 25/75 Portfolio 39,159 1,073 (88) 985
F. CAPITAL SHARE TRANSACTIONS: The capital share transactions by class were as follows (in thousands):
SIX MONTHS DECEMBER 24, 2003(1) ENDED TO MAY 31, 2005 NOVEMBER 30, 2004 --------------------- ---------------------- AMOUNT SHARES AMOUNT SHARES ---------- --------- ----------- --------- GLOBAL EQUITY PORTFOLIO Institutional Class Shares Shares Issued $ 146,574 12,448 $ 176,942 16,680 Shares Issued in Lieu of Cash Distributions 1,630 139 661 63 Shares Redeemed (19,424) (1,651) (13,409) (1,253) ---------- --------- ----------- --------- Net Increase (Decrease)--Institutional Shares $ 128,780 10,936 $ 164,194 15,490 ========== ========= =========== ========= Class R Shares Shares Issued $ 631 54 $ 16,275 1,559 Shares Issued in Lieu of Cash Distributions 108 9 92 9 Shares Redeemed (1,120) (95) (3,126) (296) ---------- --------- ----------- --------- Net Increase (Decrease)--Class R Shares $ (381) (32) $ 13,241 1,272 ========== ========= =========== ========= GLOBAL 60/40 PORTFOLIO Institutional Class Shares Shares Issued $ 99,522 9,087 $ 100,739 9,780 Shares Issued in Lieu of Cash Distributions 951 86 456 44 Shares Redeemed (20,095) (1,831) (3,866) (374) ---------- --------- ----------- --------- Net Increase (Decrease)--Institutional Shares $ 80,378 7,342 $ 97,329 9,450 ========== ========= =========== ========= Class R Shares Shares Issued $ 115 11 $ 2,543 249 Shares Issued in Lieu of Cash Distributions 14 1 17 2 Shares Redeemed (435) (40) (762) (74) ---------- --------- ----------- --------- Net Increase (Decrease)--Class R Shares $ (306) (28) $ 1,798 177 ========== ========= =========== ========= GLOBAL 25/75 PORTFOLIO Institutional Class Shares Shares Issued $ 15,103 1,452 $ 32,360 3,191 Shares Issued in Lieu of Cash Distributions 253 24 185 19 Shares Redeemed (6,589) (634) (1,974) (192) ---------- --------- ----------- --------- Net Increase (Decrease)--Institutional Shares $ 8,767 842 $ 30,571 3,018 ========== ========= =========== ========= Class R Shares Shares Issued $ 6 1 $ 340 34 Shares Issued in Lieu of Cash Distributions -- -- 1 -- Shares Redeemed (27) (3) (277) (28) ---------- --------- ----------- --------- Net Increase (Decrease)--Class R Shares $ (21) (2) $ 64 6 ========== ========= =========== =========
- ---------- (1) The Global Funds commenced operations on December 24, 2003. 18 G. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
UNREALIZED ACCUMULATED APPRECIATION ACCUMULATED NET REALIZED ACCUMULATED (DEPRECIATION) OF UNREALIZED NET GAIN (LOSS) NET REALIZED INVESTMENT NET FOREIGN DEFERRED INVESTMENT OF INVESTMENT FOREIGN SECURITIES, FOREIGN EXCHANGE THAILAND PAID-IN INCOME SECURITIES AND EXCHANGE CURRENCY AND GAIN CAPITAL TOTAL NET CAPITAL (LOSS) FUTURES GAIN (LOSS) FUTURES (LOSS) GAINS TAX ASSETS --------- ----------- -------------- ------------ ------------------- ----------- --------- ---------- Global Equity Portfolio $ 305,834 $ 386 $ 969 $ (8) $ 19,038 -- $ 1 $ 326,220 Global 60/40 Portfolio 179,199 84 316 (3) 6,789 $ 1 (1) 186,385 Global 25/75 Portfolio 39,378 (68) 1 -- 1,071 -- -- 40,382
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. The instrument and its significant corresponding risks are described below: 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 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 31, 2005. I. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. For the six months ending May 31, 2005, borrowings under the line were as follows:
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD ------------- ------------ ----------- -------- --------------- Global 60/40 Portfolio 3.02% $ 304,400 5 $ 128 $ 352,000 Global 25/75 Portfolio 3.29% 172,929 14 221 336,000
At May 31, 2005, Global 25/75 Portfolio had an outstanding borrowing under the line of credit of $120,000 plus accrued interest. The remaining Global Funds had no outstanding borrowings at May 31, 2005. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings by the Global Funds under the line of credit with the international custodian bank during the six months ended May 31, 2005. 19 J. 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. K. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Global Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund's expect the risk of loss to be remote. 20 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ---------- ---------- ---------- -------- THE U.S. LARGE COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,024.40 0.05% $ 0.25 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.75 0.05% $ 0.25 THE U.S. LARGE CAP VALUE SERIES Actual Fund Return $ 1,000.00 $ 1,049.70 0.14% $ 0.72 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
21
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ---------- ---------- ---------- -------- THE U.S. SMALL CAP SERIES Actual Fund Return $ 1,000.00 $ 985.70 0.07% $ 0.35 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.65 0.07% $ 0.35 THE DFA INTERNATIONAL VALUE SERIES Actual Fund Return $ 1,000.00 $ 1,023.10 0.27% $ 1.36 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36 THE JAPANESE SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,089.40 0.23% $ 1.20 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.85 0.23% $ 1.16 THE PACIFIC RIM SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 982.80 0.28% $ 1.38 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.60 0.28% $ 1.41 THE UNITED KINGDOM SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,025.70 0.23% $ 1.16 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.85 0.23% $ 1.16 THE CONTINENTAL SMALL COMPANY SERIES Actual Fund Return $ 1,000.00 $ 1,078.10 0.24% $ 1.24 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.80 0.24% $ 1.21 THE EMERGING MARKETS SERIES Actual Fund Return $ 1,000.00 $ 1,080.90 0.28% $ 1.45 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.60 0.28% $ 1.41 THE EMERGING MARKETS SMALL CAP SERIES Actual Fund Return $ 1,000.00 $ 1,053.80 0.49% $ 2.51 Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.56 0.49% $ 2.47 THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES Actual Fund Return $ 1,000.00 $ 1,009.50 0.11% $ 0.55 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.45 0.11% $ 0.56
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 22 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment Trust Company, this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. THE U.S. LARGE COMPANY SERIES Financials 19.5% Information Technology 15.5 Health Care 13.4 Industrials 11.5 Consumer Discretionary 11.4 Consumer Staples 10.4 Energy 8.3 Utilities 3.3 Telecommunication Services 3.1 Materials 3.0 REITS 0.6 ----- 100.0% =====
23 THE U.S. LARGE CAP VALUE SERIES Consumer Discretionary 29.4% Financials 27.4 Energy 9.0 Industrials 8.7 Information Technology 6.1 Health Care 5.6 Materials 5.4 Consumer Staples 4.3 Telecommunication Services 3.7 Utilities 0.4 ----- 100.0% ===== THE U.S. SMALL CAP SERIES Information Technology 20.8% Consumer Discretionary 17.8 Industrials 15.5 Health Care 14.7 Financials 12.7 Energy 5.6 Materials 5.2 Consumer Staples 3.7 Utilities 2.6 Telecommunication Services 1.2 Other 0.2 ----- 100.0% ===== THE DFA INTERNATIONAL VALUE SERIES Financials 36.4% Consumer Discretionary 17.8 Materials 12.6 Industrials 11.4 Telecommunication Services 6.9 Consumer Staples 4.4 Utilities 3.5 Energy 2.9 Information Technology 2.2 Health Care 1.2 Other 0.4 REITS 0.3 ----- 100.0% ===== THE JAPANESE SMALL COMPANY SERIES Industrials 27.6% Consumer Discretionary 24.2 Information Technology 11.4 Materials 11.0 Consumer Staples 10.3 Financials 10.1 Health Care 3.4 Energy 1.3 Utilities 0.7 ----- 100.0% =====
24 THE PACIFIC RIM SMALL COMPANY SERIES Industrials 20.9% Consumer Discretionary 20.1 Financials 15.0 Materials 14.8 Information Technology 7.5 Health Care 7.4 Consumer Staples 5.2 Energy 4.6 Utilities 2.2 Telecommunication Services 1.5 REITS 0.4 Other 0.4 ----- 100.0% ===== THE UNITED KINGDOM SMALL COMPANY SERIES Industrials 29.5% Consumer Discretionary 23.4 Financials 14.3 Information Technology 10.2 Consumer Staples 6.4 Energy 4.9 Materials 4.4 Health Care 4.2 Telecommunication Services 1.3 Other 0.7 Utilities 0.7 ----- 100.0% ===== THE CONTINENTAL SMALL COMPANY SERIES Industrials 25.1% Financials 17.0 Consumer Discretionary 16.9 Information Technology 10.3 Materials 8.6 Consumer Staples 7.0 Health Care 7.0 Energy 3.7 Utilities 2.1 Telecommunication Services 1.1 Other 0.7 REITS 0.5 ----- 100.0% ===== THE EMERGING MARKETS SERIES Financials 23.9% Telecommunication Services 16.8 Materials 16.3 Consumer Staples 10.0 Information Technology 9.0 Industrials 7.4 Consumer Discretionary 6.8 Utilities 4.4 Energy 3.2 Health Care 2.1 Other 0.1 ----- 100.0% =====
25 THE EMERGING MARKETS SMALL CAP SERIES Consumer Discretionary 17.1% Materials 15.7 Industrials 14.5 Financials 14.0 Consumer Staples 11.9 Information Technology 10.6 Other 6.0 Health Care 3.2 Telecommunication Services 2.9 Utilities 2.6 Energy 1.5 ----- 100.0% ===== THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES Government 34.8% Foreign Government 27.4 Supranational 15.3 Foreign Corporate 14.6 Corporate 7.9 ----- 100.0% =====
26 THE U.S. LARGE COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (92.4%) Financials -- (18.1%) # Ace, Ltd. 98,800 $ 4,270,136 AFLAC, Inc. 174,400 7,246,320 # Allstate Corp. 236,000 13,735,200 AMBAC Financial Group, Inc. 37,800 2,727,270 American Express Co. 407,600 21,949,260 American International Group, Inc. 905,100 50,278,305 AmSouth Bancorporation 123,400 3,289,844 AON Corp. 109,900 2,739,807 Bank of America Corp. 1,408,600 65,246,352 Bank of New York Co., Inc. 270,500 7,795,810 # BB&T Corp. 190,600 7,612,564 # Bear Stearns Companies, Inc. 39,300 3,892,272 Capital One Financial Corp. 85,900 6,476,860 Chubb Corp. 66,500 5,601,295 Cincinnati Financial Corp. 58,005 2,289,457 CIT Group, Inc. 73,300 3,109,386 Citigroup, Inc. 1,815,800 85,542,338 Comerica, Inc. 59,200 3,308,096 Compass Bancshares, Inc. 43,000 1,916,510 Countrywide Financial Corp. 201,700 7,497,189 * E*TRADE Financial Corp. 128,800 1,590,680 Federal Home Loan Mortgage Corporation 239,100 15,551,064 Federal National Mortgage Association 336,400 19,928,336 Federated Investors, Inc. 33,100 980,091 Fifth Third Bancorp 180,700 7,701,434 # First Horizon National Corp. 42,800 1,807,444 Franklin Resources, Inc. 68,800 4,963,232 Golden West Financial Corp. 98,200 6,149,284 Hartford Financial Services Group, Inc. 102,800 7,688,412 Huntington Bancshares, Inc. 80,500 1,877,260 Janus Capital Group, Inc. 82,000 1,259,520 Jefferson-Pilot Corp. 47,400 2,388,960 JPMorgan Chase & Co. 1,235,000 44,151,250 KeyCorp 141,200 4,625,712 Lehman Brothers Holdings, Inc. 95,900 8,841,980 # Lincoln National Corp. 60,600 2,759,118 Loews Corp. 55,500 4,179,150 M&T Bank Corp. 34,200 3,493,188 Marsh & McLennan Companies, Inc. 183,800 5,337,552 Marshall & Ilsley Corp. 72,100 3,137,071 MBIA, Inc. 48,900 2,734,977 MBNA Corp. 444,000 9,363,960
1 Mellon Financial Corp. 147,200 4,086,272 Merrill Lynch & Co., Inc. 323,500 17,553,110 MetLife, Inc. 254,700 11,359,620 MGIC Investment Corp. 33,600 2,061,024 # Moody's Corp. 95,400 4,127,958 Morgan Stanley 386,600 18,927,936 National City Corp. 206,500 7,136,640 North Fork Bancorporation, Inc. 163,600 4,459,736 Northern Trust Corp. 70,700 3,246,544 PNC Financial Services Group 98,300 5,372,095 Principal Financial Group, Inc. 104,100 4,152,549 Progressive Corp. 69,600 6,686,472 * Providian Financial Corp. 101,900 1,815,858 Prudential Financial, Inc. 182,100 11,528,751 # Regions Financial Corp. 161,400 5,435,952 Safeco Corp. 44,200 2,378,402 Schwab (Charles) Corp. 399,000 4,524,660 SLM Corp. 149,400 7,211,538 Sovereign Bancorp, Inc. 130,300 2,908,296 State Street Corp. 115,900 5,563,200 SunTrust Banks, Inc. 117,900 8,678,619 Synovus Financial Corp. 108,100 3,142,467 T. Rowe Price Group, Inc. 43,000 2,565,380 The Goldman Sachs Group, Inc. 155,600 15,171,000 The St. Paul Travelers Companies, Inc. 232,500 8,807,100 Torchmark Corp. 37,600 1,983,400 U.S. Bancorp 644,100 18,891,453 UnumProvident Corp. 103,400 1,898,424 Wachovia Corp. 550,900 27,958,175 Washington Mutual, Inc. 303,500 12,534,550 Wells Fargo & Co. 589,300 35,599,613 XL Capital, Ltd. 48,300 3,636,024 Zions Bancorporation 31,200 2,210,208 ---------------- Total Financials (Cost $518,161,659) 740,646,972 ---------------- Information Technology -- (14.3%) * ADC Telecommunications, Inc. 40,242 730,795 # Adobe Systems, Inc. 169,200 5,593,752 * Advanced Micro Devices, Inc. 136,900 2,245,160 * Affiliated Computer Services, Inc. Class A 44,000 2,276,120 * Agilent Technologies, Inc. 150,200 3,606,302 * Altera Corp. 129,400 2,871,386 Analog Devices, Inc. 129,500 4,801,860 * Andrew Corp. 55,900 741,234 * Apple Computer, Inc. 284,000 11,277,640 Applied Materials, Inc. 579,600 9,511,236 * Applied Micro Circuits Corp. 107,000 307,090 Autodesk, Inc. 79,800 3,158,484 Automatic Data Processing, Inc. 202,600 8,873,880 * Avaya, Inc. 166,700 1,525,305 * BMC Software, Inc. 76,900 1,308,838 * Broadcom Corp. 101,000 3,584,490 * Ciena Corp. 198,900 433,602 * Cisco Sytems, Inc. 2,246,300 43,533,294
2 * Citrix Systems, Inc. 59,000 1,484,440 Computer Associates International, Inc. 185,968 5,071,347 * Computer Sciences Corp. 66,400 3,074,984 * Compuware Corp. 134,600 922,010 * Comverse Technology, Inc. 68,800 1,618,864 * Convergys Corp. 49,400 673,322 * Corning, Inc. 489,900 7,681,632 * Dell, Inc. 854,600 34,089,994 * Electronic Arts, Inc. 107,000 5,621,780 Electronic Data Systems Corp. 179,900 3,544,030 * EMC Corp. 835,900 11,752,754 First Data Corp. 278,700 10,543,221 * Fiserv, Inc. 67,100 2,885,300 * Freescale Semiconductor, Inc. Class B 139,600 2,819,920 * Gateway, Inc. 103,900 359,494 Hewlett-Packard Co. 1,006,200 22,649,562 Intel Corp. 2,163,800 58,271,134 International Business Machines Corp. 567,300 42,859,515 * Intuit, Inc. 64,500 2,787,690 * Jabil Circuit, Inc. 63,800 1,864,874 * JDS Uniphase Corp. 502,000 768,060 # KLA-Tencor Corp. 68,400 3,106,044 * Lexmark International, Inc. 44,000 3,011,360 Linear Technology Corp. 106,700 3,998,049 * LSI Logic Corp. 133,700 984,032 * # Lucent Technologies, Inc. 1,539,700 4,326,557 Maxim Integrated Products, Inc. 113,600 4,475,840 * Mercury Interactive Corp. 29,300 1,322,016 * Micron Technology, Inc. 213,300 2,342,034 Microsoft Corp. 3,516,200 90,717,960 Molex, Inc. 58,300 1,544,367 Motorola, Inc. 852,000 14,799,240 National Semiconductor Corp. 123,500 2,484,820 * NCR Corp. 64,700 2,369,961 * Network Appliance, Inc. 127,200 3,658,272 * Novell, Inc. 131,700 770,445 * Novellus Systems, Inc. 48,600 1,295,190 * Nvidia Corp. 57,800 1,571,582 * Oracle Corp. 1,561,500 20,018,430 * Parametric Technology Corp. 94,000 565,880 Paychex, Inc. 123,600 3,569,568 * PMC-Sierra, Inc. 62,400 547,248 * QLogic Corp. 31,900 1,021,438 Qualcomm, Inc. 571,900 21,308,994 Sabre Holdings Corp. 45,700 917,199 * Sanmina-SCI Corp. 181,900 933,147 Scientific-Atlanta, Inc. 52,900 1,761,570 * Siebel Systems, Inc. 178,900 1,649,458 * Solectron Corp. 337,400 1,231,510 * Sun Microsystems, Inc. 1,173,900 4,472,559 * Sungard Data Systems, Inc. 100,300 3,481,413 * # Symantec Corp. 246,500 5,573,365 Symbol Technologies, Inc. 84,300 970,293 Tektronix, Inc. 31,100 705,037 * Tellabs, Inc. 160,500 1,319,310
3 * Teradyne, Inc. 67,400 876,874 Texas Instruments, Inc. 598,200 16,534,248 * Unisys Corp. 117,200 848,528 * Veritas Software Corp. 146,600 3,645,942 * Xerox Corp. 332,700 4,514,739 Xilinx, Inc. 121,100 3,360,525 * Yahoo!, Inc. 453,100 16,855,320 ---------------- Total Information Technology (Cost $560,187,362) 587,184,759 ---------------- Health Care -- (12.4%) Abbott Laboratories 541,700 26,131,608 Aetna, Inc. 102,300 7,980,423 Allergan, Inc. 45,700 3,533,067 AmerisourceBergen Corp. 36,600 2,363,262 * Amgen, Inc. 435,400 27,247,332 Applera Corp. - Applied Biosystems Group 68,300 1,462,303 Bard (C.R.), Inc. 36,400 2,484,300 Bausch & Lomb, Inc. 18,700 1,460,283 Baxter International, Inc. 215,400 7,948,260 Becton Dickinson & Co. 88,000 5,055,600 * Biogen Idec, Inc. 115,900 4,531,690 Biomet, Inc. 87,900 3,312,951 * Boston Scientific Corp. 264,100 7,154,469 Bristol-Myers Squibb Co. 679,000 17,219,440 # Cardinal Health, Inc. 150,700 8,730,051 * # Caremark Rx, Inc. 158,900 7,096,474 * Chiron Corp. 51,300 1,925,802 Cigna Corp. 45,700 4,444,325 Eli Lilly & Co. 393,700 22,952,710 * # Express Scripts, Inc. 26,400 2,439,096 * # Fisher Scientific International, Inc. 40,800 2,548,368 * Forest Laboratories, Inc. 122,100 4,710,618 * Genzyme Corp. 86,100 5,371,779 * Gilead Sciences, Inc. 150,400 6,136,320 Guidant Corp. 112,100 8,283,069 HCA, Inc. 143,100 7,727,400 # Health Management Associates, Inc. 84,800 2,138,656 * Hospira, Inc. 54,300 2,067,744 * Humana, Inc. 55,900 2,032,524 IMS Health, Inc. 80,600 1,978,730 Johnson & Johnson 1,033,300 69,334,430 * King Pharmaceuticals, Inc. 84,000 794,640 * Laboratory Corp. of America Holdings 46,900 2,272,305 Manor Care, Inc. 29,900 1,161,914 McKesson Corp. 102,600 4,131,702 * Medco Health Solutions, Inc. 95,600 4,780,000 * Medimmune, Inc. 86,400 2,280,960 Medtronic, Inc. 420,300 22,591,125 Merck & Co., Inc. 767,300 24,891,212 * Millipore Corp. 17,300 890,777 Mylan Laboratories, Inc. 93,600 1,544,400 PerkinElmer, Inc. 45,100 862,763 Pfizer, Inc. 2,592,500 72,330,750 Quest Diagnostics, Inc. 31,700 3,328,500
4 Schering-Plough Corp. 512,500 9,993,750 * St. Jude Medical, Inc. 125,400 5,031,048 Stryker Corp. 130,200 6,334,230 * Tenet Healthcare Corp. 162,800 1,973,136 * Thermo Electron Corp. 55,600 1,463,392 UnitedHealth Group, Inc. 445,800 21,656,964 * Waters Corp. 42,000 1,631,700 * Watson Pharmaceuticals, Inc. 38,100 1,145,286 * WellPoint, Inc. 106,000 14,098,000 Wyeth 464,300 20,136,691 * Zimmer Holdings, Inc. 85,700 6,562,906 ---------------- Total Health Care (Cost $377,818,748) 509,691,235 ---------------- Industrials -- (10.7%) 3M Co. 268,400 20,572,860 * Allied Waste Industries, Inc. 94,300 727,053 American Power Conversion Corp. 62,400 1,588,704 American Standard Companies, Inc. 62,600 2,679,280 Avery Dennison Corp. 35,400 1,856,730 # Boeing Co. 289,300 18,486,270 Burlington Northern Santa Fe Corp. 131,500 6,498,730 Caterpillar, Inc. 119,200 11,217,912 Cendant Corp. 366,600 7,775,586 Cintas Corp. 51,900 2,095,203 Cooper Industries, Ltd. 32,200 2,219,868 CSX Corp. 74,900 3,114,342 # Cummins, Inc. 14,900 1,012,455 # Danaher Corp. 95,600 5,270,428 Deere & Co. 85,800 5,675,670 * # Delta Air Lines, Inc. 48,600 187,110 Donnelley (R.R.) & Sons Co. 74,900 2,490,425 Dover Corp. 70,800 2,681,196 Eaton Corp. 53,100 3,178,035 Emerson Electric Co. 145,700 9,684,679 Equifax, Inc. 46,900 1,626,961 FedEx Corp. 104,700 9,362,274 # Fluor Corp. 29,700 1,706,265 General Dynamics Corp. 69,600 7,515,408 General Electric Co. 3,683,200 134,363,136 Goodrich (B.F.) Co. 41,700 1,745,562 Honeywell International, Inc. 295,600 10,709,588 Illinois Tool Works, Inc. 95,400 8,054,622 Ingersoll-Rand Co., Ltd. Class A 60,200 4,660,082 ITT Industries, Inc. 32,000 3,040,000 L-3 Communications Holdings, Inc. 40,100 2,838,278 Lockheed Martin Corp. 139,500 9,052,155 Masco Corp. 155,700 4,985,514 * Monster Worldwide, Inc. 41,900 1,105,322 * Navistar International Corp. 22,900 698,679 Norfolk Southern Corp. 139,200 4,443,264 Northrop Grumman Corp. 125,200 6,976,144 Paccar, Inc. 60,400 4,273,300 Pall Corp. 43,100 1,258,089 Parker Hannifin Corp. 41,700 2,515,761
5 Pitney Bowes, Inc. 80,200 3,577,722 Raytheon Co. 157,400 6,163,784 Robert Half International, Inc. 55,900 1,394,146 Rockwell Automation, Inc. 60,800 3,123,296 Rockwell Collins, Inc. 61,900 3,057,241 Ryder System, Inc. 22,300 819,302 Southwest Airlines Co. 256,000 3,724,800 Textron, Inc. 46,900 3,624,901 Tyco International, Ltd. 699,600 20,239,428 Union Pacific Corp. 90,700 6,073,272 United Parcel Service, Inc. 389,000 28,649,850 United Technologies Corp. 178,000 18,992,600 W.W. Grainger, Inc. 29,000 1,577,310 Waste Management, Inc. 197,500 5,824,275 ---------------- Total Industrials (Cost $311,260,626) 436,784,867 ---------------- Consumer Discretionary -- (10.5%) * Apollo Group, Inc. Class A 57,600 4,521,600 * AutoNation, Inc. 78,500 1,569,215 * Autozone, Inc. 23,500 2,127,220 * Bed Bath and Beyond, Inc. 105,100 4,272,315 Best Buy Co., Inc. 103,800 5,649,834 * Big Lots, Inc. 39,200 496,272 # Black & Decker Corp. 27,900 2,436,228 Brunswick Corp. 33,700 1,450,448 Carnival Corp. 183,100 9,685,990 Centex Corp. 44,000 2,881,120 Circuit City Stores, Inc. 66,400 1,088,296 Clear Channel Communications, Inc. 183,200 5,354,936 * Coach, Inc. 132,900 3,859,416 * Comcast Corp. Class A 768,700 24,752,140 Cooper Tire & Rubber Co. 22,300 424,592 Dana Corp. 52,100 705,955 Darden Restaurants, Inc. 51,300 1,666,224 Delphi Corp. 195,000 848,250 Dillards, Inc. Class A 24,500 586,040 Disney (Walt) Co. 711,400 19,520,816 Dollar General Corp. 104,700 2,053,167 Dow Jones & Co., Inc. 24,500 869,750 Eastman Kodak Co. 99,600 2,617,488 * # eBay, Inc. 420,500 15,983,205 Family Dollar Stores, Inc. 58,300 1,496,561 # Federated Department Stores, Inc. 58,900 3,972,805 Ford Motor Co. 636,200 6,349,276 Fortune Brands, Inc. 50,400 4,359,600 Gannett Co., Inc. 87,300 6,500,358 Gap, Inc. 275,500 5,785,500 # General Motors Corp. 196,300 6,189,339 Genuine Parts Co. 60,700 2,607,672 * # Goodyear Tire & Rubber Co. 61,100 879,229 H&R Block, Inc. 57,400 2,865,408 Harley-Davidson, Inc. 101,500 4,976,545 # Harrahs Entertainment, Inc. 39,500 2,836,495 Hasbro, Inc. 58,000 1,170,440
6 Hilton Hotels Corp. 133,700 3,239,551 Home Depot, Inc. 763,000 30,024,050 International Game Technology 119,900 3,378,782 * Interpublic Group of Companies, Inc. 146,900 1,812,746 Johnson Controls, Inc. 66,400 3,762,224 Jones Apparel Group, Inc. 42,600 1,359,366 KB Home 29,000 1,958,660 Knight-Ridder, Inc. 26,300 1,659,004 * Kohl's Corp. 113,300 5,516,577 Leggett & Platt, Inc. 66,300 1,766,232 Limited Brands, Inc. 132,800 2,731,696 Liz Claiborne, Inc. 37,800 1,419,390 # Lowe's Companies, Inc. 268,600 15,366,606 Marriott International, Inc. Class A 69,800 4,714,292 # Mattel, Inc. 144,800 2,632,464 May Department Stores Co. 101,500 3,873,240 # Maytag Corp. 27,700 404,143 McDonald's Corp. 442,000 13,675,480 McGraw-Hill Companies, Inc. 132,400 5,780,584 Meredith Corp. 15,800 783,680 Newell Rubbermaid, Inc. 95,500 2,176,445 News Corp. Class A 864,600 13,945,998 NIKE, Inc. Class B 79,800 6,559,560 Nordstrom, Inc. 43,800 2,673,552 * Office Depot, Inc. 108,700 2,143,564 OfficeMax, Inc. 24,400 740,540 Omnicom Group, Inc. 64,800 5,306,472 Penney (J.C.) Co., Inc. 94,100 4,682,416 Pulte Homes, Inc. 41,200 3,149,740 RadioShack Corp. 55,100 1,386,316 # Reebok International, Ltd. 19,500 793,845 * Sears Holdings Corp. 22,865 3,354,295 Sherwin-Williams Co. 44,000 1,955,800 # Snap-On, Inc. 20,100 693,651 Staples, Inc. 258,250 5,560,123 * Starbucks Corp. 138,900 7,604,775 Starwood Hotels & Resorts Worldwide, Inc. 73,900 4,136,183 Target Corp. 311,100 16,706,070 # The New York Times Co. Class A 50,700 1,590,459 The Stanley Works 26,100 1,164,321 The TJX Companies, Inc. 167,400 3,838,482 # Tiffany & Co. 50,600 1,575,178 * Time Warner, Inc. 1,597,100 27,789,540 * Toys R Us, Inc. 74,800 1,959,760 Tribune Co. 103,700 3,751,866 * Univision Communications, Inc. Class A 101,400 2,698,254 V.F. Corp. 34,700 1,958,121 Viacom, Inc. Class B 592,500 20,316,825 # Visteon Corp. 45,100 344,113 Wendy's International, Inc. 39,600 1,787,148 Whirlpool Corp. 23,300 1,603,040 Yum! Brands, Inc. 101,300 5,195,677 ---------------- Total Consumer Discretionary (Cost $353,509,371) 430,410,641 ----------------
7 Consumer Staples -- (9.6%) Alberto-Culver Co. Class B 29,400 1,303,302 # Albertson's, Inc. 127,900 2,684,621 # Altria Group, Inc. 718,900 48,266,946 Anheuser-Busch Companies, Inc. 270,000 12,649,500 Archer-Daniels-Midland Co. 216,500 4,297,525 Avon Products, Inc. 163,900 6,513,386 Brown-Forman Corp. Class B 31,300 1,866,106 Campbell Soup Co. 113,200 3,512,596 Clorox Co. 53,300 3,113,253 Coca-Cola Co. 787,200 35,132,736 Coca-Cola Enterprises, Inc. 122,500 2,680,300 Colgate-Palmolive Co. 182,600 9,124,522 ConAgra, Inc. 179,100 4,683,465 Costco Wholesale Corp. 164,200 7,457,964 CVS Corp. 139,100 7,629,635 General Mills, Inc. 126,800 6,276,600 Gillette Co. 344,500 18,168,930 Heinz (H.J.) Co. 121,600 4,422,592 Hershey Foods Corp. 76,000 4,879,960 Kellogg Co. 121,900 5,545,231 Kimberly-Clark Corp. 167,200 10,755,976 McCormick & Co., Inc. 47,100 1,593,864 Molson Coors Brewing Co. 28,000 1,637,160 Pepsi Bottling Group, Inc. 68,800 1,951,856 PepsiCo, Inc. 583,200 32,834,160 Procter & Gamble Co. 876,500 48,338,975 # Reynolds American, Inc. 40,500 3,357,855 * Safeway, Inc. 155,500 3,422,555 Sara Lee Corp. 274,300 5,565,547 Supervalu, Inc. 46,900 1,536,444 Sysco Corp. 221,300 8,223,508 * The Kroger Co. 254,400 4,266,288 UST, Inc. 57,400 2,557,744 # Walgreen Co. 354,900 16,091,166 Wal-Mart Stores, Inc. 1,177,200 55,599,156 Wrigley (Wm.) Jr. Co. 68,000 4,642,360 ---------------- Total Consumer Staples (Cost $263,498,630) 392,583,784 ---------------- Energy -- (7.7%) Amerada Hess Corp. 29,600 2,748,360 # Anadarko Petroleum Corp. 82,300 6,230,110 # Apache Corp. 113,500 6,669,260 Ashland, Inc. 23,100 1,577,730 Baker Hughes, Inc. 117,500 5,427,325 BJ Services Co. 56,400 2,839,740 Burlington Resources, Inc. 134,500 6,816,460 ChevronTexaco Corp. 731,200 39,323,936 ConocoPhillips 241,700 26,064,928 Devon Energy Corp. 166,500 7,642,350 # El Paso Corp. 223,600 2,312,024 EOG Resources, Inc. 83,100 4,145,859 Exxon Mobil Corp. 2,218,900 124,702,180 Halliburton Co. 175,300 7,492,322
8 # Kerr-McGee Corp. 40,500 2,991,330 Kinder Morgan, Inc. 38,200 2,968,522 Marathon Oil Corp. 120,600 5,847,894 * Nabors Industries, Ltd. 49,200 2,711,412 * National-Oilwell, Inc. 58,300 2,623,500 # Noble Corp. 47,100 2,666,802 Occidental Petroleum Corp. 138,000 10,089,180 Rowan Companies, Inc. 37,200 1,023,000 Schlumberger, Ltd. 204,900 14,009,013 Sunoco, Inc. 24,100 2,471,937 The Williams Companies, Inc. 198,200 3,648,862 * # Transocean, Inc. 111,600 5,558,796 Unocal Corp. 94,000 5,357,060 Valero Energy Corp. 89,200 6,120,904 XTO Energy, Inc. 120,700 3,756,184 ---------------- Total Energy (Cost $190,448,944) 315,836,980 ---------------- Utilities -- (3.0%) * AES Corp. 225,500 3,357,695 * Allegheny Energy, Inc. 56,300 1,361,334 Ameren Corp. 67,900 3,705,982 American Electric Power Co., Inc. 133,200 4,753,908 * # Calpine Corp. 185,600 553,088 CenterPoint Energy, Inc. 100,500 1,232,130 Cinergy Corp. 66,500 2,741,795 * # CMS Energy Corp. 74,900 990,927 Consolidated Edison, Inc. 84,300 3,836,493 Constellation Energy Group 61,400 3,281,830 Dominion Resources, Inc. 118,400 8,324,704 DTE Energy Co. 60,500 2,876,170 # Duke Energy Corp. 325,900 8,955,732 * Dynegy, Inc. 115,000 534,750 Edison International 113,200 4,160,100 Entergy Corp. 74,100 5,322,603 Exelon Corp. 231,000 10,822,350 FirstEnergy Corp. 114,600 5,076,780 FPL Group, Inc. 135,900 5,524,335 KeySpan Corp. 60,100 2,388,374 Nicor, Inc. 15,300 604,350 NiSource, Inc. 94,300 2,272,630 Peoples Energy Corp. 13,200 564,300 PG&E Corp. 125,400 4,485,558 Pinnacle West Capital Corp. 33,700 1,486,844 # PPL Corp. 65,700 3,778,407 Progress Energy, Inc. 85,800 3,794,934 Public Service Enterprise Group, Inc. 82,900 4,600,950 Sempra Energy 82,800 3,284,676 Southern Co. 258,200 8,765,890 TECO Energy, Inc. 71,700 1,267,656 TXU Corp. 83,500 6,703,380 Xcel Energy, Inc. 139,400 2,569,142 ---------------- Total Utilities (Cost $94,737,953) 123,979,797 ----------------
9 Telecommunication Services -- (2.9%) Alltel Corp. 113,600 6,608,112 AT&T Corp. 278,100 5,225,499 BellSouth Corp. 636,400 17,030,064 CenturyTel, Inc. 46,700 1,531,293 # Citizens Communications Co. 116,600 1,590,424 * Nextel Communications, Inc. 391,500 11,815,470 * Qwest Communications International, Inc. 580,700 2,276,344 SBC Communications, Inc. 1,147,900 26,837,902 Sprint Corp. 513,600 12,167,184 Verizon Communications, Inc. 962,600 34,056,788 ---------------- Total Telecommunication Services (Cost $138,008,205) 119,139,080 ---------------- Materials -- (2.7%) Air Products & Chemicals, Inc. 79,100 4,764,193 Alcoa, Inc. 302,900 8,208,590 Allegheny Technologies, Inc. 31,100 661,186 Ball Corp. 38,200 1,434,410 Bemis Co., Inc. 37,200 1,010,352 Dow Chemical Co. 331,300 15,004,577 DuPont (E.I.) de Nemours & Co., Inc. 346,500 16,115,715 Eastman Chemical Co. 27,100 1,592,938 Ecolab, Inc. 76,700 2,479,711 Engelhard Corp. 42,400 1,246,560 Freeport-McMoRan Copper & Gold, Inc. Class B 62,100 2,192,130 Georgia-Pacific Corp. 90,300 2,992,542 Great Lakes Chemical Corp. 17,900 606,810 * Hercules, Inc. 38,900 537,598 International Flavors & Fragrances, Inc. 30,800 1,142,372 International Paper Co. 170,400 5,488,584 Louisiana-Pacific Corp. 38,500 969,430 # MeadWestavco Corp. 70,400 2,019,072 Monsanto Co. 92,500 5,272,500 Newmont Mining Corp. 154,300 5,746,132 Nucor Corp. 55,500 2,939,280 * Pactiv Corp. 51,600 1,179,060 Phelps Dodge Corp. 33,600 2,936,640 # PPG Industries, Inc. 60,200 3,936,478 Praxair, Inc. 112,100 5,254,127 Rohm & Haas Co. 67,600 3,153,540 * Sealed Air Corp. 29,000 1,501,910 Sigma-Aldrich Corp. 23,900 1,431,849 Temple-Inland, Inc. 39,800 1,421,656 United States Steel Corp. 39,600 1,574,892 Vulcan Materials Co. 35,800 2,145,494 Weyerhaeuser Co. 84,400 5,414,260 ---------------- Total Materials (Cost $84,499,322) 112,374,588 ---------------- Real Estate Investment Trusts -- (0.5%) Apartment Investment & Management Co. Class A 33,300 1,235,430 Archstone-Smith Trust 69,500 2,558,990 Equity Office Properties Trust 140,100 4,551,849 Equity Residential 98,300 3,528,970
10 Plum Creek Timber Co., Inc. 63,900 2,239,695 # ProLogis 64,000 2,613,760 Simon Property Group, Inc. 76,800 5,277,696 ---------------- Total Real Estate Investment Trusts 22,006,390 ---------------- (Cost $18,025,834) TOTAL COMMON STOCKS 3,790,639,093 ---------------- (Cost $2,910,156,654)
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (7.6%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05 (Collateralized by $512,215,000 U.S. STRIPS, rates ranging from 7.50% to 11.75%, maturities ranging from 11/15/14 to 11/15/24, valued at $239,637,495) to be repurchased at $234,956,078 (Cost $234,937,022) $ 234,937 234,937,022 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $77,493,000 FHLMC Notes 4.00%, 09/22/09, valued at $77,589,866) to be repurchased at $76,449,137 (Cost $76,443,000) 76,443 76,443,000 ---------------- 311,380,022 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $311,380,022) 311,380,022 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $3,221,536,676) $ 4,102,019,115 ================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 11 THE U.S. LARGE CAP VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (95.5%) Consumer Discretionary -- (28.1%) American Greetings Corp. Class A 177,600 $ 4,614,048 * AutoNation, Inc. 2,057,600 41,131,424 * Barnes & Noble, Inc. 176,400 6,676,740 Belo Corp. Class A 362,300 8,905,334 * Big Lots, Inc. 253,500 3,209,310 # Blockbuster, Inc. Class A 83,900 766,007 Borders Group, Inc. 34,000 859,860 BorgWarner, Inc. 201,600 10,777,536 * Caesars Entertainment, Inc. 845,900 18,229,145 * Cavco Industries, Inc. 22,900 616,239 Circuit City Stores, Inc. 586,200 9,607,818 Clear Channel Communications, Inc. 1,942,666 56,784,127 * Comcast Corp. Class A 3,966,525 127,722,105 * Comcast Corp. Special Class A Non-Voting 927,100 29,333,444 Dana Corp. 511,600 6,932,180 Dillards, Inc. Class A 286,000 6,841,120 Disney (Walt) Co. 906,600 24,877,104 # Federated Department Stores, Inc. 618,200 41,697,590 Foot Locker, Inc. 90,400 2,387,464 Ford Motor Co. 5,892,000 58,802,160 # General Motors Corp. 1,913,900 60,345,267 * # Goodyear Tire & Rubber Co. 203,900 2,934,121 Hearst-Argyle Television, Inc. 238,600 5,955,456 Hollinger International, Inc. Class A 257,600 2,382,800 Horton (D.R.), Inc. 1,091,829 37,744,529 * # IAC/InterActiveCorp 2,346,703 57,494,223 Lear Corp. 227,800 8,588,060 * Liberty Media Corp. Class A 9,460,100 98,290,439 * Liberty Media International, Inc. Class A 313,805 13,151,568 May Department Stores Co. 446,600 17,042,256 * MGM Mirage 734,400 27,973,296 News Corp. Class A 44,676 720,624 # OfficeMax, Inc. 354,300 10,753,005 Penney (J.C.) Co., Inc. 1,120,000 55,731,200 Pulte Homes, Inc. 248,400 18,990,180 * Radio One, Inc. 55,000 694,100 Saks, Inc. 743,200 12,738,448 * Sears Holdings Corp. 173,929 25,515,384 Service Corp. International 311,600 2,361,928 Starwood Hotels & Resorts Worldwide, Inc. 548,600 30,705,142 * The DIRECTV Group, Inc. 481,937 7,195,319 * Time Warner, Inc. 10,059,480 175,034,952
1 * Toys R Us, Inc. 819,300 21,465,660 Tribune Co. 1,182,400 42,779,232 * # Univision Communications, Inc. Class A 932,900 24,824,469 Viacom, Inc. Class B 5,017,000 172,032,930 ---------------- Total Consumer Discretionary (Cost $1,294,572,123) 1,394,215,343 ---------------- Financials -- (26.1%) A.G. Edwards, Inc. 199,100 8,224,821 * Allmerica Financial Corp. 179,700 6,275,124 # Allstate Corp. 1,791,600 104,271,120 AMBAC Financial Group, Inc. 23,200 1,673,880 American Financial Group, Inc. 280,200 9,084,084 American National Insurance Co. 57,800 6,670,120 * AmeriCredit Corp. 395,300 9,831,111 AmerUs Group Co. 124,600 5,929,714 Astoria Financial Corp. 60,750 1,673,055 Bank of Hawaii Corp. 327,500 15,959,075 # Bear Stearns Companies, Inc. 373,770 37,018,181 Chubb Corp. 428,000 36,050,440 Cincinnati Financial Corp. 658,116 25,975,839 * CNA Financial Corp. 919,500 25,359,810 Commerce Group, Inc. 93,100 5,548,760 Commercial Federal Corp. 98,900 2,473,489 Countrywide Financial Corp. 1,639,998 60,958,726 Fidelity National Financial, Inc. 520,800 18,743,592 First American Corp. 330,100 12,774,870 First Citizens BancShares, Inc. 10,300 1,344,459 Hartford Financial Services Group, Inc. 868,200 64,932,678 Hibernia Corp. 274,500 8,825,175 Independence Community Bank Corp. 300,500 11,262,740 * Instinet Group, Inc. 15,200 80,256 Janus Capital Group, Inc. 796,800 12,238,848 JPMorgan Chase & Co. 2,244,400 80,237,300 KeyCorp 941,600 30,846,816 * LaBranche & Co., Inc. 19,700 108,941 Lehman Brothers Holdings, Inc. 227,800 21,003,160 Lincoln National Corp. 620,400 28,246,812 Loews Corp. 636,800 47,951,040 MBIA, Inc. 498,050 27,855,937 MetLife, Inc. 2,623,300 116,999,180 MGIC Investment Corp. 335,500 20,579,570 Nationwide Financial Services, Inc. 208,500 7,960,530 # New York Community Bancorp, Inc. 327,700 5,970,694 # Odyssey Re Holdings Corp. 50,500 1,217,555 Old Republic International Corp. 635,412 15,796,342 PMI Group, Inc. 346,300 13,090,140 Principal Financial Group, Inc. 1,075,700 42,909,673 Protective Life Corp. 227,500 9,143,225 * Providian Financial Corp. 483,100 8,608,842 Prudential Financial, Inc. 1,731,800 109,640,258 Radian Group, Inc. 316,400 14,516,432 Reinsurance Group of America, Inc. 199,600 9,131,700 Safeco Corp. 486,400 26,173,184 South Financial Group, Inc. 54,300 1,479,675
2 Sovereign Bancorp, Inc. 842,320 18,800,582 StanCorp Financial Group, Inc. 104,200 7,799,370 The St. Paul Travelers Companies, Inc. 2,390,826 90,564,489 Torchmark Corp. 127,200 6,709,800 Transatlantic Holdings, Inc. 9,400 536,834 UnionBanCal Corp. 86,600 5,435,882 Unitrin, Inc. 223,800 11,143,002 UnumProvident Corp. 1,048,489 19,250,258 Wesco Financial Corp. 13,540 4,851,111 ---------------- Total Financials (Cost $932,265,029) 1,297,738,301 ---------------- Energy -- (8.6%) Amerada Hess Corp. 318,532 29,575,696 # Anadarko Petroleum Corp. 815,878 61,761,965 # Apache Corp. 129,990 7,638,212 # Ashland, Inc. 297,600 20,326,080 # Chesapeake Energy Corp. 361,000 7,389,670 ConocoPhillips 220,400 23,767,936 # Diamond Offshore Drilling, Inc. 313,641 14,819,537 * Forest Oil Corp. 214,600 8,532,496 Helmerich & Payne, Inc. 146,800 6,087,796 # Kerr-McGee Corp. 431,426 31,865,124 Marathon Oil Corp. 1,061,450 51,469,710 Occidental Petroleum Corp. 650,800 47,579,988 Overseas Shipholding Group, Inc. 86,500 5,285,150 Pogo Producing Co. 209,700 10,367,568 * Pride International, Inc. 366,700 8,269,085 Sunoco, Inc. 298,800 30,647,916 Tidewater, Inc. 217,700 7,532,420 Valero Energy Corp. 776,800 53,304,016 ---------------- Total Energy (Cost $225,588,682) 426,220,365 ---------------- Industrials -- (8.3%) * # AGCO Corp. 275,400 5,056,344 * Allegheny Corp. 18,292 5,126,333 * Allied Waste Industries, Inc. 1,180,900 9,104,739 Burlington Northern Santa Fe Corp. 1,283,000 63,405,860 Cendant Corp. 1,166,500 24,741,465 CSX Corp. 773,900 32,178,762 Curtiss-Wright Corp. 27,130 1,483,468 * # Delta Air Lines, Inc. 402,500 1,549,625 Florida East Coast Industries, Inc. 30,500 1,282,830 IKON Office Solutions, Inc. 329,600 3,193,824 * Laidlaw International, Inc. 160,200 3,562,848 Norfolk Southern Corp. 1,541,200 49,195,104 Northrop Grumman Corp. 1,320,242 73,563,884 * PHH Corp. 15,590 374,004 Raytheon Co. 1,311,300 51,350,508 Ryder System, Inc. 275,400 10,118,196 Steelcase, Inc. Class A 49,000 632,100 Textron, Inc. 123,000 9,506,670 * Thomas & Betts Corp. 46,900 1,448,272 Union Pacific Corp. 950,700 63,658,872 ---------------- Total Industrials (Cost $322,613,101) 410,533,708 ----------------
3 Information Technology -- (5.9%) * 3Com Corp. 1,041,900 3,813,354 * Advanced Micro Devices, Inc. 504,800 8,278,720 * Agere Systems, Inc. Class A 22,101 300,582 * Andrew Corp. 582,400 7,722,624 * Applied Micro Circuits Corp. 213,200 611,884 * Arrow Electronics, Inc. 402,900 11,261,055 * Avnet, Inc. 436,600 9,133,672 AVX Corp. 364,500 4,330,260 * CheckFree Corp. 49,700 1,855,301 * Ciena Corp. 489,600 1,067,328 * Computer Sciences Corp. 661,100 30,615,541 * Compuware Corp. 956,430 6,551,546 * Comverse Technology, Inc. 111,500 2,623,595 * Corning, Inc. 998,300 15,653,344 Electronic Data Systems Corp. 1,851,700 36,478,490 * GameStop Corp. Class B 9,432 253,155 Hewlett-Packard Co. 1,407,700 31,687,327 * Ingram Micro, Inc. 608,300 9,617,223 Intersil Corp. 570,400 10,700,704 * JDS Uniphase Corp. 1,095,700 1,676,421 * LSI Logic Corp. 1,347,970 9,921,059 * Lucent Technologies, Inc. 1,193,800 3,354,578 * Micron Technology, Inc. 2,163,300 23,753,034 * Sanmina-SCI Corp. 1,864,500 9,564,885 * Solectron Corp. 1,566,700 5,718,455 * Sun Microsystems, Inc. 2,143,700 8,167,497 * Tech Data Corp. 219,000 7,862,100 * Tellabs, Inc. 1,630,656 13,403,992 * Unisys Corp. 198,000 1,433,520 * # VeriSign, Inc. 166,300 5,379,805 * Vishay Intertechnology, Inc. 626,916 8,087,216 * Vitesse Semiconductor, Inc. 2,800 7,000 * Xerox Corp. 75,000 1,017,750 ---------------- Total Information Technology (Cost $275,612,074) 291,903,017 ---------------- Health Care -- (5.4%) Aetna, Inc. 1,079,252 84,192,449 AmerisourceBergen Corp. 308,900 19,945,673 * Human Genome Sciences, Inc. 23,900 269,592 * Humana, Inc. 461,200 16,769,232 * Invitrogen Corp. 124,900 9,908,317 McKesson Corp. 653,300 26,308,391 * Medco Health Solutions, Inc. 690,100 34,505,000 * Millennium Pharmaceuticals, Inc. 1,158,100 9,693,297 * PacifiCare Health Systems, Inc. 243,400 15,292,822 * Tenet Healthcare Corp. 1,547,300 18,753,276 * Thermo Electron Corp. 239,900 6,314,168 * Triad Hospitals, Inc. 234,100 11,873,552 * Watson Pharmaceuticals, Inc. 389,900 11,720,394 * WebMD Corp. 25,800 243,294 ---------------- Total Health Care (Cost $147,902,837) 265,789,457 ----------------
4 Materials -- (5.1%) Bowater, Inc. 199,600 6,267,440 Eastman Chemical Co. 24,200 1,422,476 Georgia-Pacific Corp. 974,200 32,284,988 International Paper Co. 1,215,775 39,160,113 LaFarge North America, Inc. 257,500 15,545,275 Louisiana-Pacific Corp. 385,300 9,701,854 Lubrizol Corp. 182,000 7,165,340 Lyondell Chemical Co. 308,300 7,319,042 # MeadWestavco Corp. 758,431 21,751,801 * Owens-Illinois, Inc. 314,400 8,083,224 Phelps Dodge Corp. 287,085 25,091,229 * Smurfit-Stone Container Corp. 959,126 10,425,700 Temple-Inland, Inc. 262,600 9,380,072 Valhi, Inc. 158,500 2,938,590 Weyerhaeuser Co. 860,700 55,213,905 Worthington Industries, Inc. 133,200 2,232,432 ---------------- Total Materials (Cost $214,260,843) 253,983,481 ---------------- Consumer Staples -- (4.1%) # Albertson's, Inc. 1,316,400 27,631,236 Archer-Daniels-Midland Co. 2,475,260 49,133,911 Coca-Cola Enterprises, Inc. 1,874,800 41,020,624 Corn Products International, Inc. 186,400 4,117,576 Kraft Foods, Inc. 312,800 10,147,232 PepsiAmericas, Inc. 192,000 4,650,240 # Reynolds American, Inc. 251,326 20,837,439 * Rite Aid Corp. 969,800 3,840,408 * Smithfield Foods, Inc. 157,600 4,701,208 Supervalu, Inc. 565,200 18,515,952 Tyson Foods, Inc. Class A 912,556 16,845,784 Weis Markets, Inc. 20,800 764,192 ---------------- Total Consumer Staples (Cost $146,694,245) 202,205,802 ---------------- Telecommunication Services -- (3.5%) * American Tower Corp. 294,600 5,314,584 AT&T Corp. 2,206,280 41,456,001 * Crown Castle International Corp. 468,900 8,337,042 * # Level 3 Communications, Inc. 195,500 406,640 * Qwest Communications International, Inc. 2,000,600 7,842,352 SBC Communications, Inc. 1,613,100 37,714,278 Sprint Corp. 2,161,500 51,205,935 Telephone & Data Systems, Inc. 177,800 6,889,750 * Telephone & Data Systems, Inc. Special Shares 177,800 6,756,400 * United States Cellular Corp. 167,200 7,865,088 ---------------- Total Telecommunication Services (Cost $181,272,270) 173,788,070 ----------------
5 Utilities -- (0.4%) Alliant Energy Corp. 212,900 5,876,040 Questar Corp. 251,000 15,823,040 ---------------- Total Utilities (Cost $10,735,877) 21,699,080 ---------------- TOTAL COMMON STOCKS (Cost $3,751,517,081) 4,738,076,624 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (4.5%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05 (Collateralized by $255,811,000 U.S. STRIPS, rates ranging from 7.500% to 9.875%, maturities ranging from 11/15/15 to 11/15/24, valued at $162,719,199) to be repurchased at $159,540,395 (Cost $159,527,456) $ 159,527 159,527,456 Repurchase Agrrement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $67,131,000 FHLMC Notes 4.00%, 09/22/09, valued at $67,214,914) to be repurchased at $66,226,316 (Cost $66,221,000) 66,221 66,221,000 ---------------- 225,748,456 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $225,748,456) 225,748,456 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $3,977,265,537) $ 4,963,825,080 ================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 6 THE U.S. SMALL CAP SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (94.8%) Information Technology -- (19.9%) * 24/7 Real Media, Inc. 3,180 $ 9,667 * 3Com Corp. 14,400 52,704 * # 8X8, Inc. 19,200 37,056 * Access Integrated Technologies, Inc. 1,000 6,300 * # ACE*COMM Corp. 7,500 15,900 * Actel Corp. 66,135 978,137 * ActivCard Corp. 110,943 457,085 * Actuate Corp. 163,700 350,318 * Adaptec, Inc. 286,800 1,141,464 * ADDvantage Technologies Group, Inc. 4,200 13,146 * ADE Corp. 13,300 298,319 * Adept Technology, Inc. 1,400 11,270 Adtran, Inc. 86,129 1,892,254 * Advanced Digital Information Corp. 162,800 1,118,436 * Advanced Energy Industries, Inc. 88,064 840,131 * # Advanced Photonix, Inc. 9,000 19,800 * Advanced Power Technology, Inc. 26,695 172,183 * Advent Software, Inc. 87,885 1,762,973 * Aehr Test Systems 7,100 21,442 * Aeroflex, Inc. 194,750 1,558,000 * Aetrium, Inc. 9,300 23,994 * Agile Software Corp. 137,671 887,978 Agilysys, Inc. 83,888 1,290,197 * Airspan Networks, Inc. 101,300 484,214 * Akamai Technologies, Inc. 82,588 1,159,536 Allen Organ Co. Class B 800 44,540 * Alliance Semiconductor Corp. 94,300 158,424 * Allied Motion Technologies, Inc. 2,900 13,862 * Alpha Technologies Group, Inc. 7,100 320 * Altiris, Inc. 72,700 1,366,760 American Software, Inc. Class A 54,205 279,698 * American Technical Ceramics Corp. 8,000 83,520 * Amistar Corp. 1,600 4,832 * Amkor Technology, Inc. 446,050 1,583,478 * Ampex Corp. Class A 5,925 210,338 * Amtech Systems, Inc. 1,900 11,381 * Anadigics, Inc. 82,200 134,808 * Analex Corp. 37,500 122,625 * Analysts International Corp. 62,486 205,579 * Analytical Surveys, Inc. 730 1,175 * Anaren, Inc. 50,100 593,184 * Anixter International, Inc. 101,100 3,822,591
1 * Ansoft Corp. 30,839 687,710 * AnswerThink, Inc. 116,025 459,459 * Ansys, Inc. 81,888 2,730,146 * Anteon International Corp. 97,700 4,317,363 * APA Enterprises, Inc. 11,800 18,644 * Apogee Technology, Inc. 5,400 6,534 * Applied Films Corp. 37,961 1,021,151 * Applied Innovation, Inc. 15,100 73,537 * Applied Micro Circuits Corp. 358,000 1,027,460 * Applix, Inc. 26,500 127,730 * Apropos Technology, Inc. 46,200 118,734 * aQuantive, Inc. 161,325 2,482,792 * # Ardent Communications, Inc. 12,900 13 * Ariba, Inc. 164,121 1,006,062 * Arris Group, Inc. 236,500 2,048,090 * Art Technology Group, Inc. 121,085 130,772 * # Artisoft, Inc. 2,400 3,960 * ASA International, Ltd. 640 2,016 * Ask Jeeves, Inc. 129,700 3,944,177 * Aspect Communications Corp. 156,883 1,506,077 * # Aspen Technology, Inc. 92,664 485,559 * Astea International, Inc. 2,900 21,431 Astro-Med, Inc. 9,830 86,013 * Asyst Technologies, Inc. 104,400 439,524 * Atari, Inc. 315,361 778,942 * ATMI, Inc. 84,833 2,383,807 * August Technology Corp. 44,500 505,965 * Authentidate Holding Corp. 89,400 262,836 * autobytel.com, Inc. 91,700 445,662 * # Avanex Corp. 349,695 353,192 * # Avici Systems, Inc. 33,643 150,048 * Avocent Corp. 62,819 1,758,932 * Aware, Inc. 60,459 399,029 * Axcelis Technologies, Inc. 269,900 1,794,835 * Axesstel, Inc. 50,200 187,246 * # AXS-One, Inc. 73,700 123,816 * AXT, Inc. 38,700 48,762 * Bankrate, Inc. 7,000 127,890 * BearingPoint, Inc. 12,500 81,875 BEI Technologies, Inc. 40,200 1,033,542 Bel Fuse, Inc. Class A 2,600 65,754 Bel Fuse, Inc. Class B 7,650 228,735 Belden CDT, Inc. 83,439 1,678,793 * Bell Industries, Inc. 8,900 19,669 * Bell Microproducts, Inc. 74,731 612,794 * Benchmark Electronics, Inc. 111,600 3,534,372 * BindView Development Corp. 125,800 392,496 * Bitstream, Inc. 8,400 23,184 Black Box Corp. 45,300 1,557,414 * Blonder Tongue Laboratories, Inc. 9,800 28,420 * Blue Coat Systems, Inc. 32,886 638,317 Bogen Communications International, Inc. 12,500 59,688 * # Bookham, Inc. 28,147 78,812 * Borland Software Corp. 209,200 1,338,880 * Bottomline Technologies, Inc. 46,306 628,835
2 * Brightpoint, Inc. 52,600 988,880 * # BroadVision, Inc. 86,077 120,508 * Brocade Communications Systems, Inc. 90,424 353,558 * Brooks Automation, Inc. 121,539 1,832,808 * Brooktrout, Inc. 34,407 343,038 * Cabot Microelectronics Corp. 66,700 2,089,711 * CalAmp Corp. 57,928 382,325 * California Micro Devices Corp. 57,600 276,480 * Callidus Software 32,000 110,400 * CAM Commerce Solutions, Inc. 3,000 47,220 * Canterbury Consulting Group, Inc. 1,571 511 * Captaris, Inc. 78,928 285,719 * Captiva Software Corp. 7,660 102,797 * Carreker Corp. 21,871 114,823 * Carrier Access Corp. 88,789 427,963 * Catalyst Semiconductor, Inc. 47,440 215,378 * Catapult Communications Corp. 38,891 547,196 * CCC Information Services Group, Inc. 57,848 1,352,486 * C-COR, Inc. 123,600 850,368 * CDC Corp. 4,282 10,705 Celeritek, Inc. 28,400 23,288 * CellStar Corp. 53,118 69,053 * Centillium Communications, Inc. 100,889 220,947 * Centra Software, Inc. 71,644 123,228 * # Cenuco, Inc. 32,600 107,906 * CEVA, Inc. 36,896 268,603 * Checkpoint Systems, Inc. 103,600 1,825,432 * Cherokee International Corp. 16,842 69,221 * Chordiant Software, Inc. 173,200 296,172 * # Chyron Corp. 23,000 8,050 * Ciber, Inc. 164,412 1,339,958 * Ciena Corp. 66,100 144,098 * Ciprico, Inc. 4,900 21,315 * Cirrus Logic, Inc. 220,918 1,144,355 * Clarus Corp. 33,800 260,260 * ClearOne Communications, Inc. 11,000 36,740 * CMGI, Inc. 124,200 270,756 * CNET Networks, Inc. 373,500 3,876,930 Cognex Corp. 124,600 3,234,616 * Cognitronics Corp. 4,250 16,065 * Coherent, Inc. 80,078 2,628,961 Cohu, Inc. 56,798 1,091,658 * Comarco, Inc. 10,200 81,498 * # Commerce One, Inc. 45,000 5,670 * CommScope, Inc. 145,500 2,461,860 Communications Systems, Inc. 8,200 82,820 * Competitive Technologies, Inc. 6,100 66,734 * Computer Horizons Corp. 37,400 108,460 * Computer Network Technology Corp. 68,110 340,550 * Computer Task Group, Inc. 37,600 131,600 * Comtech Telecommunications Corp. 55,800 2,018,286 * Concord Communications, Inc. 49,400 835,848 * Concur Technologies, Inc. 86,603 830,523 * Concurrent Computer Corp. 151,900 276,458 * Conexant Systems, Inc. 226,933 324,514
3 * Convera Corp. 98,574 424,854 * # Copper Mountain Networks, Inc. 16,910 15,557 * Corillian Corp. 100,861 324,268 * Cosine Communications, Inc. 23,321 54,804 * Covansys Corp. 48,200 590,450 * # C-Phone Corp. 8,900 62 * Cray, Inc. 229,248 334,702 * Credence Systems Corp. 234,147 1,854,444 * # Critical Path, Inc. 16,400 7,708 * Crossroads Systems, Inc. 42,369 39,827 * CSG Systems International, Inc. 137,732 2,619,663 * CSP, Inc. 3,500 34,335 CTS Corp. 95,559 1,017,703 * # Cyberguard Corp. 79,385 509,652 * Cyberoptics Corp. 22,911 294,635 * Cybersource Corp. 89,800 602,558 * Cymer, Inc. 99,886 2,837,761 * Cypress Semiconductor Corp. 307,400 3,974,682 * Daktronics, Inc. 50,766 1,182,340 * Data I/O Corp. 7,600 22,040 * Data Systems & Software, Inc. 7,300 8,760 * Datalink Corp. 13,300 32,718 * Dataram Corp. 21,500 125,990 * Datastream Systems, Inc. 20,100 119,193 * DataTRAK International, Inc. 5,200 99,840 * Datawatch Corp. 4,132 17,354 * Delphax Technologies, Inc. 6,100 22,771 * Digi International, Inc. 59,526 698,240 * Digimarc Corp. 43,365 221,162 * Digital Insight Corp. 95,902 2,084,909 * Digital Lightwave, Inc. 378 185 * Digital River, Inc. 91,000 2,504,320 * Digital Theater Systems, Inc. 37,489 640,687 * Digitas, Inc. 234,156 2,592,107 * Diodes, Inc. 12,150 403,988 * Dionex Corp. 56,215 2,521,243 * Display Technologies, Inc. 11,330 9 * Ditech Communications Corp. 89,455 644,971 * DocuCorp International, Inc. 29,353 196,665 * Document Sciences Corp. 14,200 98,690 * Dot Hill Systems Corp. 113,460 602,473 * DoubleClick, Inc. 326,518 2,687,243 * DPAC Technologies Corp. 13,541 3,656 * DSP Group, Inc. 75,600 1,778,112 * DuraSwitch Industries, Inc. 10,500 15,603 * Dynamics Research Corp. 16,098 239,699 * E.piphany, Inc. 199,247 695,372 * EarthLink, Inc. 264,575 2,807,141 * EasyLink Services Corp. 7,969 7,810 * Echelon Corp. 104,806 720,017 * eCollege.com 58,575 605,080 * EDGAR Online, Inc. 45,684 132,027 * Edgewater Technology, Inc. 11,569 50,325 * EFJ, Inc. 9,100 64,610 * eFunds Corp. 128,506 2,598,391
4 * Electro Scientific Industries, Inc. 68,993 1,237,734 * Electroglas, Inc. 56,200 193,890 * Electronics for Imaging, Inc. 137,900 2,620,100 * eLoyalty Corp. 6,700 33,165 * Embarcadero Technologies, Inc. 63,250 361,158 * EMCORE Corp. 121,961 484,185 * EMS Technologies, Inc. 28,274 381,699 * Emulex Corp. 206,800 3,908,520 * En Pointe Technologies, Inc. 6,500 17,875 * # Endwave Corp. 6,800 245,140 * Entegris, Inc. 191,838 1,860,829 * Enterrasys Networks, Inc. 378,100 351,633 * Entrust, Inc. 162,900 666,261 * Epicor Software Corp. 137,655 1,697,286 * EPIQ Systems, Inc. 46,450 759,458 * ePlus, Inc. 22,490 278,898 * Equinix, Inc. 60,920 2,321,052 * ESS Technology, Inc. 100,400 413,648 * Euronet Worldwide, Inc. 88,036 2,468,529 * Evans & Sutherland Computer Corp. 10,400 53,404 * Evolving Systems, Inc. 12,600 33,390 * Exar Corp. 108,108 1,556,755 * Excel Technology, Inc. 31,372 785,869 * Extended Systems, Inc. 11,100 37,851 * Extreme Networks, Inc. 315,821 1,443,302 * Ezenia! Inc. 200 530 * F5 Networks, Inc. 6,619 338,959 Factset Research Systems, Inc. 120,200 3,847,602 * # FalconStor Software, Inc. 122,705 896,974 * Fargo Electronics 32,700 590,235 * Faro Technologies, Inc. 36,260 1,008,753 * FEI Co. 86,558 1,802,138 * Filenet Corp. 107,480 2,994,393 * FindWhat.com 79,200 421,344 * Finisar Corp. 366,256 435,845 * Firstwave Technologies, Inc. 2,600 4,485 * FOCUS Enhancements, Inc. 3,132 2,349 * Forgent Networks, Inc. 64,800 116,640 * FormFactor, Inc. 97,362 2,533,359 * Forrester Research, Inc. 56,729 936,029 * Foundry Networks, Inc. 78,800 728,112 Frequency Electronics, Inc. 8,300 97,110 * FSI International, Inc. 77,900 292,904 * Gartner Group, Inc. 231,800 2,299,456 * Gartner, Inc. 50,500 496,920 * Gateway, Inc. 164,800 570,208 * Genesis Microchip, Inc. 79,062 1,308,476 * Gerber Scientific, Inc. 58,000 428,040 * Giga-Tronics, Inc. 4,600 18,630 * Glenayre Technologies, Inc. 139,427 446,166 * # Global e-Point, Inc. 3,008 9,084 * Global Imaging Systems, Inc. 61,056 1,940,970 * Globecomm Systems, Inc. 16,500 91,740 * # Glowpoint, Inc. 58,350 77,606 * GoRemote Internet Communications, Inc. 74,000 115,440
5 * GTSI Corp. 22,020 180,124 * Halifax Corp. 1,000 3,860 * Harmonic, Inc. 187,846 1,170,281 * Hauppauge Digital, Inc. 8,800 33,880 * HEI, Inc. 7,600 23,184 Helix Technology Corp. 67,924 856,522 * HI/FN, Inc. 19,600 130,144 * HomeStore, Inc. 292,445 611,210 * Hutchinson Technology, Inc. 65,400 2,705,598 * Hypercom Corp. 135,100 857,885 * # HyperFeed Technologies, Inc. 1,450 2,683 * Hyperion Solutions Corp. 48,824 2,154,603 * # Ibis Technology Corp. 27,000 34,020 * iCAD, Inc. 3,600 12,780 * Identix, Inc. 253,512 1,391,781 * iGATE Capital Corp. 134,823 589,177 * # ImageWare Systems, Inc. 6,900 22,977 * I-many, Inc. 47,700 75,366 Imation Corp. 87,700 3,311,552 * Immersion Corp. 61,500 360,390 * Indus International, Inc. 34,900 78,525 * # Infocrossing, Inc. 52,491 575,301 * InFocus Corp. 102,689 427,186 * Informatica Corp. 226,800 1,945,944 * Information Architects Corp. 1,080 167 Inforte Corp. 28,500 97,755 * InfoSpace, Inc. 86,146 2,922,072 infoUSA, Inc. 138,305 1,670,724 * Innodata Isogen, Inc. 58,300 174,317 * Innovex, Inc. 49,800 168,324 * Insightful Corp. 6,300 20,790 * InsWeb Corp. 1,633 4,572 Integral Systems, Inc. 9,200 200,100 * Integral Vision, Inc. 2,200 3,520 * Integrated Circuit Systems, Inc. 85,408 1,809,796 * Integrated Device Technology, Inc. 273,313 3,342,618 * Integrated Silicon Solution, Inc. 94,694 620,246 * # Intelli-Check, Inc. 28,000 154,280 * Intellidata Technologies Corp. 45,578 15,497 * Intelligent Systems Corp. 4,500 9,360 * Intelligroup, Inc. 31,400 37,052 * # Intellisync Corp. 155,850 416,120 * Interactive Intelligence, Inc. 41,441 202,232 * Interdigital Communications Corp. 143,000 2,639,780 * Intergraph Corp. 87,400 2,743,486 * Interland, Inc. 41,810 79,439 * Interlink Electronics, Inc. 35,600 190,104 * # Intermix Media, Inc. 83,200 493,376 * International Microcomputer Software, Inc. 5,100 5,967 * Internet Commerce Corp. 4,000 6,480 * Internet Security Systems, Inc. 131,851 2,927,092 * Interphase Corp. 5,400 38,070 Inter-Tel, Inc. 69,300 1,422,729 * Intervoice, Inc. 95,818 858,529 * Interwoven, Inc. 105,307 838,244
6 * Intest Corp. 8,600 30,865 * Intevac, Inc. 36,201 376,852 * Intrado, Inc. 44,810 573,120 * Intraware, Inc. 4,500 1,755 * IntriCon Corp. 4,750 9,025 * # Intrusion, Inc. 4,050 11,421 * Iomega Corp. 138,195 427,023 * iPass, Inc. 77,300 476,941 * # IPIX Corp. 4,350 11,615 * I-Sector Corp. 10,400 84,656 * # Island Pacific, Inc. 73,700 13,266 * Iteris, Inc. 6,520 17,148 * Itron, Inc. 55,000 2,261,050 * iVillage, Inc. 188,922 1,139,200 * Ixia 162,447 2,987,400 * IXYS Corp. 86,424 1,195,244 * j2 Global Communication, Inc. 65,732 2,305,879 * Jaco Electronics, Inc. 5,659 17,771 * JDA Software Group, Inc. 75,012 969,155 * JMAR Industries, Inc. 23,700 29,862 * Jupitermedia Corp. 87,569 1,598,134 * Keane, Inc. 161,264 2,164,163 Keithley Instruments, Inc. 36,900 543,537 * Kemet Corp. 225,023 1,575,161 * Key Tronic Corp. 8,600 31,648 * Keynote Systems, Inc. 18,600 215,760 * Kintera, Inc. 14,476 44,731 * Komag, Inc. 72,609 2,094,770 * Kopin Corp. 181,991 700,665 * Kronos, Inc. 69,500 3,138,620 * Kulicke & Soffa Industries, Inc. 133,634 776,414 Landauer, Inc. 23,300 1,138,205 * Lantronix, Inc. 15,000 20,550 * # LaserCard Corp. 29,724 178,344 * Lattice Semiconductor Corp. 285,451 1,204,603 * Lawson Software, Inc. 257,608 1,525,039 * LeCroy Corp. 31,613 520,350 * # Level 8 Systems, Inc. 3,729 216 * # Lexar Media, Inc. 205,597 1,032,097 Liberate Technologies, Inc. 106,300 32,953 * Lightbridge, Inc. 68,876 432,541 * Lightning Rod Software, Inc. 580 539 * LightPath Technologies, Inc. 1,850 4,810 * Lionbridge Technologies, Inc. 121,646 605,797 * Littlefuse, Inc. 58,600 1,762,688 * Logic Devices, Inc. 6,700 8,978 * LogicVision, Inc. 53,741 96,734 * Logility, Inc. 13,200 59,400 * LoJack Corp. 42,400 624,976 Lowrance Electronics, Inc. 6,692 138,859 * LTX Corp. 158,700 760,173 * Macrovision Corp. 129,293 2,716,446 * Magma Design Automation, Inc. 91,283 727,526 * MAI Systems Corp. 500 30 * Management Network Group, Inc. 57,200 134,420
7 * Manatron, Inc. 1,102 10,436 * Manchester Technologies, Inc. 8,000 50,160 * Manhattan Associates, Inc. 77,494 1,645,973 * Manugistic Group, Inc. 190,000 342,000 * Mapinfo Corp. 52,999 660,368 * # Marchex, Inc. Class B 4,759 71,004 * MatrixOne, Inc. 134,044 612,581 * Mattson Technology, Inc. 133,745 1,045,886 Maximus, Inc. 55,400 1,899,666 * Maxtor Corp. 502,000 2,755,980 * Maxwell Technologies, Inc. 38,460 395,369 * McDATA Corp. 204,501 779,149 * MDI, Inc. 14,000 7,140 * Measurement Specialties, Inc. 12,900 250,260 * Mechanical Technology, Inc. 6,200 22,134 * MedQuist, Inc. 64,700 841,747 * Mentor Graphics Corp. 202,927 2,086,090 * Merix Corp. 49,513 358,969 * MetaSolv, Inc. 105,579 218,549 Methode Electronics, Inc. 34,100 407,154 * Metrologic Instruments, Inc. 56,200 778,932 * Micrel, Inc. 234,173 2,716,407 * Micro Linear Corp. 31,616 184,954 * Micromuse, Inc. 117,493 737,856 * Micros Systems, Inc. 98,104 4,412,718 * Microsemi Corp. 158,838 3,276,828 * MicroStrategy, Inc. 33,400 1,860,380 * Microtune, Inc. 147,547 652,158 * # Midway Games, Inc. 224,900 1,990,365 * Mindspeed Technologies, Inc. 262,730 375,704 * MIPS Technologies, Inc. 109,400 943,028 * Mitek Systems, Inc. 5,800 3,654 * MKS Instruments, Inc. 138,807 2,318,077 * Mobility Electronics, Inc. 73,840 649,792 * Mobius Management Systems, Inc. 17,100 105,507 Mocon, Inc. 5,500 52,250 * Moldflow Corp. 27,256 359,779 * Monolithic System Technology, Inc. 49,133 273,671 * Motive, Inc. 26,900 233,761 * MPS Group, Inc. 269,200 2,525,096 * MRO Software, Inc. 65,222 978,330 * MRV Communications, Inc. 270,781 500,945 * # MSC.Software Corp. 63,900 657,212 * MSGI Security Solutions, Inc. 942 6,830 * # MTI Technology Corp. 1,300 2,132 * MTM Technologies, Inc. 4,900 19,453 MTS Systems Corp. 51,887 1,655,714 * Mykrolis Corp. 108,700 1,466,363 * # Nanometrics, Inc. 45,794 516,556 * Napco Security Systems, Inc. 5,160 47,627 * Napster, Inc. 1,629 6,907 * Neoforma, Inc. 52,714 361,091 * NeoMagic Corp. 46,677 17,270 * NEON Systems, Inc. 8,600 26,660 * Neoware Systems, Inc. 42,000 425,040
8 * Net Perceptions, Inc. 22,600 18,306 * Net2Phone, Inc. 115,300 184,480 * NETGEAR, Inc. 43,093 847,639 * Netguru, Inc. 17,200 17,888 * NetIQ Corp. 141,587 1,563,120 * NetManage, Inc. 10,442 66,307 * Netopia, Inc. 43,200 144,504 * NetRatings, Inc. 91,131 1,241,204 * Netscout System, Inc. 78,950 486,332 * Network Engines, Inc. 78,500 133,450 * Network Equipment Technologies, Inc. 64,900 362,791 * Newport Corp. 111,718 1,569,638 * NIC, Inc. 186,278 817,760 * Niku Corp. 36,000 541,440 * NMS Communications Corp. 142,200 462,150 * Novatel Wireless, Inc. 75,202 937,769 * Nu Horizons Electronics Corp. 43,900 258,132 * Nuance Communications, Inc. 66,500 313,215 * NumereX Corp. Class A 10,800 51,948 * NYFIX, Inc. 81,014 409,121 * O.I. Corp. 2,700 32,063 * # OmniVision Technologies, Inc. 147,200 2,328,704 * # Omtool, Ltd. 3,570 20,885 * ON Semiconductor Corp. 648,860 2,919,870 * Online Resources Corp. 50,800 494,792 * ONYX Software Corp. 38,850 130,148 * Open Solutions, Inc. 5,200 92,300 * Opent Technologies, Inc. 51,832 419,321 * OpenTV Corp. 39,946 111,449 * Openwave Systems, Inc. 176,422 2,743,362 * Oplink Communications, Inc. 53,100 79,119 * Opsware, Inc. 246,692 1,226,059 * OPTi, Inc. 11,600 19,488 * Optical Cable Corp. 13,300 59,318 * Optical Communication Products, Inc. 77,950 139,531 * OSI Systems, Inc. 42,200 628,780 * Overland Storage, Inc. 36,275 351,505 * OYO Geospace Corp. 10,600 173,437 * Packeteer, Inc. 87,600 1,039,812 * # PalmOne, Inc. 126,792 3,603,429 * PalmSource, Inc. 38,881 389,976 * Panavision, Inc. 3,600 19,800 * PAR Technology Corp. 7,800 223,470 * Paradyne Networks Corp. 111,455 219,566 * Parametric Technology Corp. 515,069 3,100,715 Park Electrochemical Corp. 50,950 1,182,040 * # Parkervision, Inc. 46,081 207,365 * Parlex Corp. 13,800 81,420 * # Path 1 Network Technologies, Inc. 17,600 70,400 * Paxar Corp. 103,100 1,816,622 * PC Connection, Inc. 63,650 325,252 * PC-Tel, Inc. 53,900 394,009 * PDF Solutions, Inc. 66,393 779,454 * PEC Solutions, Inc. 71,717 1,112,331 * Peerless Systems Corp. 24,300 87,966
9 * Pegasus Solutions, Inc. 55,957 602,097 * Pegasystems, Inc. 91,238 544,691 * Pemstar, Inc. 73,200 86,376 * Perceptron, Inc. 22,768 148,675 * Performance Technologies, Inc. 33,200 223,436 * Pericom Semiconductor Corp. 68,736 550,575 * Pervasive Software, Inc. 56,639 262,239 * Pfsweb, Inc. 9 19 * Phoenix Technologies, Ltd. 64,336 522,408 * Photon Dynamics, Inc. 44,000 849,640 * Photronics, Inc. 84,600 1,948,338 * Pinnacle Systems, Inc. 170,500 1,007,655 * Pixelworks, Inc. 51,000 437,070 * Planar Systems, Inc. 37,400 300,696 * PLATO Learning, Inc. 58,366 445,916 * Plexus Corp. 110,200 1,515,250 * Plumtree Software, Inc. 1,504 6,918 * PLX Technology, Inc. 69,038 526,070 * PMC-Sierra, Inc. 7,800 68,406 * Porta Systems Corp. 300 45 * Portal Software, Inc. 98,020 193,099 * Power Intergrations, Inc. 80,700 1,922,274 * PowerCerv Corp. 1,755 983 * Powerwave Technologies, Inc. 263,145 2,402,514 * Presstek, Inc. 90,598 773,707 Printronix, Inc. 5,800 92,104 * Private Business, Inc. 945 1,531 * Procom Technology, Inc. 5,400 8,640 Programmers Paradise, Inc. 5,200 53,404 * Progress Software Corp. 95,000 2,771,150 * Proxim Corp. 6,726 2,152 QAD, Inc. 87,759 616,068 Quality Systems, Inc. 34,009 2,044,961 * Qualstar Corp. 5,500 20,625 * Quantum Corp. 262,800 683,280 * Quest Software, Inc. 251,077 3,320,493 * QuickLogic Corp. 68,600 299,782 * # Quokka Sports, Inc. 1,128 8 * Quovadx, Inc. 62,047 168,768 * Radiant Systems, Inc. 74,944 783,914 * RadiSys Corp. 50,862 822,439 * Radyne ComStream, Inc. 9,500 81,415 * Raindance Communictions, Inc. 97,696 200,277 * Rambus, Inc. 36,020 552,187 * Ramtron International Corp. 58,000 158,334 * RealNetworks, Inc. 444,519 2,271,492 * Redback Networks, Inc. 139,033 792,488 * Register.com, Inc. 44,100 275,625 * Reliability, Inc. 2,100 420 * Relm Wireless Corp. 7,600 17,860 * REMEC, Inc. 72,006 450,042 * Remote Dynamics, Inc. 276 428 Renaissance Learning, Inc. 80,215 1,585,851 * Research Frontiers, Inc. 700 3,052 * RF Micro Devices, Inc. 487,555 2,267,131
10 * RF Monolithics, Inc. 19,600 123,480 Richardson Electronics, Ltd. 40,925 364,233 * Rimage Corp. 8,600 181,890 * Robotic Vision Systems, Inc. 3,480 111 * Rofin-Sinar Technologies, Inc. 39,177 1,265,417 * Rogers Corp. 43,600 1,804,604 * RSA Security, Inc. 180,844 2,224,381 * Rudolph Technologies, Inc. 43,700 630,154 * S1 Corp. 191,706 858,843 * Saba Software, Inc. 29,577 120,083 * Safeguard Scientifics, Inc. 208,000 205,920 * SafeNet, Inc. 62,104 1,951,308 * Sapient Corp. 323,394 2,716,510 * SatCon Technology Corp. 52,200 71,514 * SBE, Inc. 3,500 7,595 * SBS Technologies, Inc. 40,530 393,546 * ScanSoft, Inc. 270,653 1,098,851 * ScanSource, Inc. 32,800 1,610,152 * Schmitt Industries, Inc. 2,466 22,934 * Scientific Learning Corp. 4,400 26,268 * Scientific Technologies, Inc. 6,700 21,172 * SCM Microsystems, Inc. 40,063 118,987 * Seachange International, Inc. 73,000 576,700 * Secure Computing Corp. 64,074 718,910 * SeeBeyond Technology Corp. 222,875 664,168 * SEEC, Inc. 100 20 * Segue Software, Inc. 9,500 47,500 * Selectica, Inc. 78,760 249,669 * Semitool, Inc. 74,660 654,768 * Semtech Corp. 192,557 3,512,240 * SEMX Corp. 300 18 * Serena Software, Inc. 110,890 2,170,117 * # ServiceWare Technologies, Inc. 290 1,015 * SI International, Inc. 3,000 85,050 * # Sigma Designs, Inc. 54,500 430,550 * Sigmatron International, Inc. 2,200 23,430 * # Silicon Graphics, Inc. 348,800 282,528 * Silicon Image, Inc. 203,105 2,384,453 * Silicon Laboratories, Inc. 20,700 574,011 * Silicon Storage Technology, Inc. 221,300 761,272 * SimpleTech, Inc. 119,515 418,303 * Sipex Corp. 83,446 137,686 * Sirenza Microdevices, Inc. 90,840 292,505 * Skyworks Solutions, Inc. 387,593 2,453,464 * SM&A 52,600 460,776 * Smith Micro Software, Inc. 21,400 92,448 * Somera Communications, Inc. 59,150 82,219 * # Sonic Foundry, Inc. 42,300 54,144 * Sonic Solutions, Inc. 63,100 964,168 * SonicWALL, Inc. 185,800 1,148,244 * Sonus Networks, Inc. 54,057 240,554 SpectraLink Corp. 61,200 705,024 * Spectrum Control, Inc. 13,000 92,040 * SPSS, Inc. 27,637 483,095 * SRA International, Inc. 67,200 2,281,440
11 * SRS Labs, Inc. 38,045 213,398 SS&C Technologies, Inc. 59,335 1,774,117 * Staktek Holdings, Inc. 26,861 73,599 * Standard Microsystems Corp. 47,672 775,147 StarTek, Inc. 36,200 504,990 * # STATS ChipPAC, Ltd. 127,537 920,817 * SteelCloud, Inc. 12,100 28,314 * Stellent, Inc. 70,600 534,442 * Stratasys, Inc. 27,000 873,720 * Stratex Networks, Inc. 187,728 328,524 * Stratos International, Inc. 34,736 149,712 * SumTotal Systems, Inc. 45,217 189,459 * Sunair Electronics, Inc. 3,000 27,630 Sunrise Telecom, Inc. 19,500 31,200 * Suntron Corp. 5,265 6,897 * Supertex, Inc. 34,000 591,260 * SupportSoft, Inc. 110,900 574,462 * Sybase, Inc. 190,100 3,878,040 * Sycamore Networks, Inc. 432,488 1,461,809 * Sykes Enterprises, Inc. 101,607 841,306 * Symmetricom, Inc. 119,867 1,352,100 * Synaptics, Inc. 68,320 1,313,794 * SYNNEX Corp. 200 3,164 * Synplicity, Inc. 65,575 400,008 Syntel, Inc. 104,807 1,641,278 * Taitron Components, Inc. 5,000 8,750 * Take-Two Interactive Software, Inc. 61,350 1,580,376 TALX Corp. 53,957 1,506,479 * Technical Communications Corp. 400 1,220 Technitrol, Inc. 104,400 1,370,772 * Technology Solutions Corp. 25,265 13,138 * TechTeam Global, Inc. 20,000 280,000 * Tegal Corp. 5,000 5,300 * Tekelec 166,600 2,267,426 * TeleCommunication Systems, Inc. 79,900 205,343 * # Telkonet, Inc. 114,600 481,320 * Telular Corp. 34,600 134,940 * Terayon Communication Systems, Inc. 193,900 614,663 * Tessco Technologies, Inc. 4,500 57,330 * Tessera Technologies, Inc. 7,600 223,744 * Therma-Wave, Inc. 91,190 142,256 * TheStreet.com, Inc. 64,125 198,788 * THQ, Inc. 102,034 2,845,728 * Three-Five Systems, Inc. 48,799 32,695 * Tier Technologies, Inc. Class B 58,200 514,488 * TII Network Technologies, Inc. 11,260 16,440 * Titan Corp. 203,300 4,472,600 * Tollgrade Communications, Inc. 33,491 253,862 * Track Data Corp. 3,218 7,080 * Transact Technologies, Inc. 8,550 84,047 * Transaction Systems Architects, Inc. 102,739 2,340,394 * Transcat, Inc. 6,100 28,243 * Trans-Industries, Inc. 1,400 868 * Transmeta Corp. 19,100 15,471 * # Transwitch Corp. 40,600 79,982
12 * Trident Microsystems, Inc. 60,300 1,277,154 * Trio-Tech International 400 1,490 * Tripath Technology, Inc. 11,641 9,080 * Triquint Semiconductor, Inc. 332,294 1,126,477 Troy Group, Inc. 13,800 35,880 TSR, Inc. 4,400 25,758 * TTM Technologies, Inc. 106,300 844,022 * Tumbleweed Communications Corp. 124,795 274,549 * Tut Systems, Inc. 65,500 197,810 * Tyler Technologies, Inc. 107,300 698,523 * Ulticom, Inc. 112,030 1,030,676 * Ultimate Software Group, Inc. 57,701 918,600 * Ultradata Systems, Inc. 800 208 * Ultratech, Inc. 61,900 1,085,107 United Online, Inc. 157,003 2,031,619 * Universal Display Corp. 72,548 681,951 * Unova, Inc. 159,300 3,278,394 * # USDATA Corp. 2,820 197 * VA Software Corp. 141,800 239,642 * ValueClick, Inc. 210,900 2,260,848 * Varian Semiconductor Equipment Associates, Inc. 95,000 3,855,100 * Veeco Instruments, Inc. 76,100 1,146,827 * VendingData Corp. 2,100 3,990 * # Verilink Corp. 59,058 93,902 * Verint Systems, Inc. 65,594 2,295,790 * Verity, Inc. 101,600 866,648 * Versant Corp. 1,974 809 * Verso Technologies, Inc. 14,119 3,671 * Viasat, Inc. 69,791 1,416,059 * Vicon Industries, Inc. 4,600 13,570 Video Display Corp. 7,200 92,880 * Viewpoint Corp. 140,816 204,183 * Vignette Corp. 407,600 472,816 * # Viisage Technology, Inc. 123,095 526,847 * Virage Logic Corp. 57,327 632,890 * Vishay Intertechnology, Inc. 205,681 2,653,285 * Visual Networks, Inc. 31,900 41,151 * # Vitech America, Inc. 14,850 10 * Vitesse Semiconductor, Inc. 377,146 942,865 * Vitria Technology, Inc. 86,842 277,894 * Vodavi Technology, Inc. 4,300 23,822 * Vyyo, Inc. 38,700 239,166 * WatchGuard Technologies, Inc. 84,180 305,573 * Webb Interactive Services, Inc. 1,400 154 * WebEx Communications, Inc. 117,680 3,160,885 * webMethods, Inc. 116,402 585,502 * Websense, Inc. 61,700 3,313,907 * WebSideStory, Inc. 16,300 186,635 * Westell Technologies, Inc. 139,819 837,516 * White Electronics Designs Corp. 62,123 309,994 * Wind River Systems, Inc. 215,683 3,535,044 Wireless Telecom Group, Inc. 43,600 110,308 * Witness Systems, Inc. 69,700 1,211,386 * WJ Communications, Inc. 148,728 298,943 Woodhead Industries, Inc. 30,557 392,046
13 * # WorldGate Communications, Inc. 6,500 32,897 X-Rite, Inc. 54,263 600,149 * Zhone Technologies, Inc. 210,262 569,810 * # Zix Corp. 82,926 272,827 * Zomax, Inc. 70,500 193,875 * Zones, Inc. 13,500 49,950 * Zoran Corp. 107,235 1,323,280 * Zygo Corp. 46,700 452,056 ---------------- Total Information Technology (Cost $570,506,769) 520,498,833 ---------------- Consumer Discretionary -- (16.9%) * 1-800 CONTACTS, Inc. 33,678 658,068 * 1-800-FLOWERS.COM, Inc. 75,920 562,567 * 4Kids Entertainment, Inc. 34,700 659,300 * 99 Cents Only Stores 180,700 2,190,084 * A.C. Moore Arts & Crafts, Inc. 52,900 1,574,304 Aaron Rents, Inc. 107,500 2,430,575 Aaron Rents, Inc. Class A 8,550 172,881 * Acme Communications, Inc. 43,100 170,676 Acme United Corp. 3,400 57,868 * ACT Teleconferencing, Inc. 8,913 5,259 Action Performance Companies, Inc. 50,200 467,362 * Advanced Marketing Services, Inc. 48,550 197,841 Advo, Inc. 80,450 2,497,972 * Aeropostale, Inc. 92,850 2,530,162 * AFC Enterprises, Inc. 39,800 1,014,900 * Aftermarket Technology Corp. 54,350 833,729 * Alderwoods Group, Inc. 8,800 121,880 Aldila, Inc. 5,733 133,235 * All American Semiconductor, Inc. 4,000 19,160 * Alliance Gaming Corp. 137,960 1,792,100 * Alloy, Inc. 71,200 365,968 Ambassadors Group, Inc. 9,800 354,270 * Amcast Industrial Corp. 8,400 164 American Axle & Manufacturing Holdings, Inc. 127,700 2,643,390 * American Biltrite, Inc. 3,400 31,960 American Greetings Corp. Class A 82,300 2,138,154 * America's Car-Mart, Inc. 29,400 629,160 Ameristar Casinos, Inc. 73,236 3,759,936 * AMS Health Sciences, Inc. 10,600 18,974 Andersons, Inc. 8,200 268,960 * Applica, Inc. 55,400 158,444 * Arbitron, Inc. 9,400 379,196 Arctic Cat, Inc. 35,530 767,448 * Argosy Gaming Corp. 64,800 3,004,776 Ark Restaurants Corp. 2,700 73,332 * Arlington Hospitality, Inc. 4,900 6,125 ArvinMeritor, Inc. 800 11,520 * Asbury Automotive Group, Inc. 169,700 2,494,590 * Ashworth, Inc. 36,871 353,962 * Audiovox Corp. Class A 52,000 760,760 * # Avatar Holdings, Inc. 8,700 416,730 * Aztar Corp. 93,500 2,986,390 * Ballantyne of Omaha, Inc. 11,900 51,765
14 * # Bally Total Fitness Holding Corp. 88,600 269,344 Bandag, Inc. 23,100 1,069,068 Bandag, Inc. Class A 9,600 400,800 * Barry (R.G.) Corp. 9,500 42,750 Bassett Furniture Industries, Inc. 30,904 603,555 * Beasley Broadcast Group, Inc. 19,233 309,267 * Benihana, Inc. 1,000 14,600 * Benihana, Inc. Class A 150 2,218 * Big Dog Holdings, Inc. 1,500 10,155 * Big Lots, Inc. 292,600 3,704,316 * BJ's Restaurants, Inc. 50,992 938,253 Blair Corp. 21,300 831,765 # Blockbuster, Inc. Class A 113,400 1,035,342 * Blount International, Inc. 117,300 2,071,518 * Bluegreen Corp. 78,865 1,329,664 Blyth, Inc. 107,400 3,043,716 Bob Evans Farms, Inc. 92,038 2,153,689 * Bombay Co., Inc. 98,800 526,604 * Bontex, Inc. 200 12 Bon-Ton Stores, Inc. 35,014 632,703 Books-A-Million, Inc. 18,300 154,086 Boston Acoustics, Inc. 4,600 68,356 * Boyds Collection, Ltd. 152,817 334,669 * Bright Horizons Family Solutions, Inc. 13,200 488,532 * # Brillian Corp. 10,369 32,351 * Broadview Media, Inc. 200 800 * Brookstone, Inc. 54,892 1,105,525 Brown Shoe Company, Inc. 47,000 1,649,700 * Buca, Inc. 52,486 267,679 Buckle, Inc. 30,000 1,183,800 Building Materials Holding Corp. 37,421 2,321,225 * Bull Run Corp. 3,100 2,232 Burlington Coat Factory Warehouse Corp. 117,549 3,896,749 * CabelTel International Corp. 674 3,404 * Cache, Inc. 40,655 531,767 Cadmus Communications Corp. 8,900 141,510 * California Coastal Communities, Inc. 10,000 295,900 * California Pizza Kitchen, Inc. 51,312 1,231,488 Callaway Golf Co. 198,300 2,318,127 * Calloway's Nursery, Inc. 1,200 246 * Candie's, Inc. 75,295 399,816 * Candlewood Hotel Co., Inc. 1,500 90 * Capital Pacific Holdings, Inc. 14,500 59,740 Carmike Cinemas, Inc. 32,228 1,054,178 * Carriage Services, Inc. 46,200 271,656 * Carter's, Inc. 6,300 293,895 * Casual Male Retail Group, Inc. 88,908 626,801 * Catalina Lighting, Inc. 1,760 14,520 Catalina Marketing Corp. 136,000 3,264,000 Cato Corp. Class A 54,700 1,578,642 * Cavalier Homes, Inc. 46,760 170,674 * Cavco Industries, Inc. 7,704 207,315 * CD Warehouse, Inc. 3,300 11 * CEC Entertainment, Inc. 94,450 3,829,947 * Champion Enterprises, Inc. 195,900 1,906,107
15 * Championship Auto Racing Teams, Inc. 8,900 1,468 * Champps Entertainment, Inc. 32,640 262,752 * Charles and Colvard, Ltd. 36,308 734,148 * Charlotte Russe Holding, Inc. 56,200 671,590 * Charming Shoppes, Inc. 312,168 2,818,877 * # Charter Communications, Inc. 482,485 550,033 * Chaus (Bernard), Inc. 1,300 1,066 * Checkers Drive-In Restaurants, Inc. 29,107 418,850 Cherokee, Inc. 8,100 286,092 Christopher & Banks Corp. 96,413 1,764,358 * Chromcraft Revington, Inc. 6,000 72,000 Churchill Downs, Inc. 14,400 620,064 CKE Restaurants, Inc. 150,100 2,476,650 Coachmen Industries, Inc. 42,400 519,400 Coast Distribution System, Inc. 5,600 25,424 * Coastcast Corp. 7,600 17,670 * Cobra Electronics Corp. 6,100 43,310 * Coldwater Creek, Inc. 53,662 1,205,785 # Collegiate Pacific, Inc. 26,000 229,320 * # Collins & Aikman Corp. 209,060 23,728 Concepts Direct, Inc. 400 60 * Concord Camera Corp. 52,056 67,673 * Congoleum Corp. Class A 3,600 15,120 * Cooker Restaurant Corp. 6,500 33 Cooper Tire & Rubber Co. 175,400 3,339,616 * Corinthian Colleges, Inc. 154,298 2,385,447 * Cost Plus, Inc. 58,775 1,367,106 * Cost-U-Less, Inc. 3,000 25,080 Courier Corp. 6,412 224,694 CPI Corp. 11,200 203,840 Craftmade International, Inc. 12,700 211,950 * Crown Media Holdings, Inc. 194,078 1,822,392 * CSK Auto Corp. 121,500 2,056,995 CSS Industries, Inc. 12,900 397,320 * Culp, Inc. 25,400 110,490 * Cumulus Media, Inc. Class A 149,893 1,872,164 Cutter & Buck, Inc. 29,224 383,711 * # Cybex International, Inc. 8,700 26,622 * Cycle Country Accessories Corp. 13,700 45,758 * Daily Journal Corp. 200 7,750 * Dan River, Inc. Class A 100 0 * Dave & Busters, Inc. 13,200 237,072 Deb Shops, Inc. 19,299 583,023 * Deckers Outdoor Corp. 9,200 222,824 Decorator Industries, Inc. 2,762 22,621 Delta Apparel, Inc. 5,240 153,899 * Delta Woodside Industries, Inc. 5,850 3,802 * Department 56, Inc. 35,800 399,528 * DeVry, Inc. 188,500 3,873,675 * Diedrich Coffee, Inc. 4,025 16,829 * Digital Generation Systems, Inc. 114,900 125,241 * Dixie Group, Inc. 31,300 463,866 * # Dominion Homes, Inc. 20,200 313,706 Dover Downs Gaming & Entertainment, Inc. 9,910 117,235 Dover Motorsports, Inc. 43,900 252,864
16 * Drew Industries, Inc. 26,800 1,098,800 * drugstore.com, Inc. 218,423 751,375 * Duckwall-ALCO Stores, Inc. 4,100 80,975 * Dura Automotive Systems, Inc. 49,300 210,511 * # E Com Ventures, Inc. 2,175 30,994 * eCost.com, Inc. 36,233 114,569 * Educational Development Corp. 1,800 18,180 * Electronics Boutique Holdings Corp. 63,130 3,744,240 * ELXSI Corp. 1,800 5,940 * EMAK Worldwide, Inc. 5,700 62,700 * Emerging Vision, Inc. 25,700 3,598 * Emerson Radio Corp. 70,422 181,689 * # Emmis Communications Corp. Class A 133,900 2,378,064 * Enesco Group, Inc. 36,000 138,600 * Entravision Communications Corp. 154,517 1,148,061 Ethan Allen Interiors, Inc. 93,500 2,917,200 * # Everlast Worldwide, Inc. 1,500 10,500 * Fab Industries, Inc. 5,200 15,600 * Fairchild Corp. Class A 56,152 129,150 * Famous Dave's of America, Inc. 29,525 320,346 * Featherlite, Inc. 9,750 40,462 # Fedders Corp. 100,910 224,020 Federal Screw Works 1,562 34,052 * # Federal-Mogul Corp. 57,900 34,740 Finish Line, Inc. Class A 110,834 2,207,813 * Finlay Enterprises, Inc. 19,000 246,620 * # Fleetwood Enterprises, Inc. 144,200 1,379,994 Flexsteel Industries, Inc. 6,100 85,461 * Foamex International, Inc. 58,623 89,693 * # Footstar, Inc. 27,600 116,610 * Fountain Powerboat Industries, Inc. 4,700 22,372 * Fox & Hound Restaurant Group 25,761 316,860 * Franklin Covey Co. 19,300 119,660 * Franklin Electronic Publishers, Inc. 7,900 29,625 Fred's, Inc. 102,350 1,517,850 * Friedmans, Inc. Class A 35,240 34,535 * Friendly Ice Cream Corp. 7,300 77,380 Frisch's Restaurants, Inc. 4,900 120,540 Furniture Brands International, Inc. 137,600 2,767,136 * # Gadzooks, Inc. 13,600 598 * Gaiam, Inc. 5,500 32,782 * # GameStop Corp. 54,200 1,580,472 GameTech International, Inc. 11,100 30,858 * Gaming Partners International Corp. 4,100 61,910 * # Gander Mountain Co. 2,700 33,453 * Gaylord Entertainment Co. 87,363 3,671,867 * Genesco, Inc. 58,000 1,986,500 Gentek, Inc. 25,183 274,747 * G-III Apparel Group, Ltd. 6,700 48,240 Goody's Family Clothing, Inc. 43,942 311,988 * Gottschalks, Inc. 12,700 136,525 Gray Television, Inc. 112,160 1,317,880 Gray Television, Inc. Class A 6,800 75,208 * Group 1 Automotive, Inc. 61,100 1,631,981 * GSI Commerce, Inc. 108,132 1,604,679
17 * Guess, Inc. 114,880 1,934,579 * Guitar Center, Inc. 65,900 3,755,641 * Gymboree Corp. 80,474 1,065,476 Haggar Corp. 6,300 116,298 * Ha-Lo Industries, Inc. 64,900 45 * Hammons (John Q.) Hotels, Inc. Class A 5,200 120,172 * Hampshire Group, Ltd. 4,000 159,040 Hancock Fabrics, Inc. 51,000 300,390 Handleman Co. 55,923 1,015,002 * Harolds Stores, Inc. 2,308 3,347 * Harris Interactive, Inc. 155,400 766,122 * Hartmarx Corp. 94,100 892,068 * Hastings Entertainment, Inc. 22,800 136,116 * Hastings Manufacturing Co. 700 1,225 Haverty Furniture Co., Inc. 15,700 221,841 Haverty Furniture Co., Inc. Class A 400 5,660 * Hayes Lemmerz International, Inc. 42,410 275,665 * Hibbett Sporting Goods, Inc. 61,070 2,144,778 Hollinger International, Inc. Class A 196,800 1,820,400 * Hollywood Media Corp. 80,246 372,341 * Hot Topic, Inc. 118,300 2,539,901 * I.C. Isaacs & Co., Inc. 7,200 44,280 IHOP Corp. 51,800 2,466,198 * Image Entertainment, Inc. 55,800 223,758 * IMPCO Technologies, Inc. 59,102 196,219 * Index Development Partners, Inc. 4,600 9,200 * Infosonics Corp. 4,100 12,259 * Insight Communications Co., Inc. 125,375 1,416,737 * Insight Enterprises, Inc. 127,341 2,493,337 * Insignia Systems, Inc. 19,250 17,325 * Interface, Inc. Class A 117,306 897,391 * Interstate Hotels & Resorts, Inc. 53,840 247,664 * INVESTools, Inc. 115,983 423,338 * Isle of Capri Casinos, Inc. 77,124 1,918,845 * J. Alexander's Corp. 9,200 68,356 * J. Jill Group, Inc. 52,255 666,251 * Jack in the Box, Inc. 94,500 3,919,860 * Jaclyn, Inc. 1,300 7,995 * Jakks Pacific, Inc. 68,226 1,410,231 * Jarden Corp. 75,650 3,849,072 * Jennifer Convertibles, Inc. 1,300 2,925 * Jo-Ann Stores, Inc. 59,175 1,582,931 * Johnson Outdoors, Inc. 6,700 117,317 * Jos. A. Bank Clothiers, Inc. 34,500 1,359,990 * Journal Register Co. 109,100 1,812,151 Juno Lighting, Inc. 980 39,200 * K2, Inc. 123,663 1,556,917 Kellwood Co. 71,976 1,810,916 Kenneth Cole Productions, Inc. Class A 31,550 949,655 * Keystone Automotive Industries, Inc. 40,099 791,554 Kimball International, Inc. Class B 63,200 777,360 * Kirkland's, Inc. 17,200 152,908 Knape & Vogt Manufacturing Co. 2,290 25,762 Koss Corp. 3,600 61,343 * # Krispy Kreme Doughnuts, Inc. 160,600 1,299,254
18 K-Swiss, Inc. Class A 68,200 2,189,220 * LaCrosse Footwear, Inc. 5,800 57,420 * Lakeland Industries, Inc. 2,662 34,659 * # Lakes Entertainment, Inc. 57,887 719,535 Landry's Restaurants, Inc. 68,800 2,061,936 * Lazare Kaplan International, Inc. 8,700 74,994 La-Z-Boy, Inc. 135,600 1,810,260 * Learning Care Group, Inc. 5,200 19,240 Levitt Corp. Class A 48,321 1,391,645 Libbey, Inc. 35,800 681,990 Liberty Corp. 48,800 1,762,168 Liberty Homes, Inc. Class A 200 970 Lifetime Hoan Corp. 28,698 489,588 * Lin TV Corp. 70,400 1,024,320 * Linens 'n Things, Inc. 117,500 2,863,475 Lithia Motors, Inc. Class A 39,310 1,045,646 * LKG Corp. 3,300 81,906 * Lodgenet Entertainment Corp. 45,834 777,345 * Lodgian, Inc. 51 484 Lone Star Steakhouse & Saloon, Inc. 45,746 1,381,987 * LOUD Technologies, Inc. 12,400 43,400 * Luby's, Inc. 57,900 477,096 M/I Homes, Inc. 36,600 1,847,568 * Mace Security International, Inc. 11,200 29,677 * Madden (Steven), Ltd. 34,233 607,978 * Magic Lantern Group, Inc. 1,700 122 * Magna Entertainment Corp. 21,200 112,784 * Main Street Restaurant Group, Inc. 36,100 124,906 * Major Automotive Companies, Inc. 3,280 3,378 * # Manning (Greg) Auctions, Inc. 35,120 334,694 Marine Products Corp. 38,295 578,254 * MarineMax, Inc. 44,075 1,212,944 * Marisa Christina, Inc. 6,700 6,097 * Marlton Technologies, Inc. 7,800 6,318 * # Martha Stewart Living Omnimedia, Inc. 58,200 1,507,380 * Max & Erma's Restaurants, Inc. 2,300 33,948 * Mayor's Jewelers, Inc. 20,300 11,571 # Maytag Corp. 206,700 3,015,753 McRae Industries, Inc. Class A 2,600 30,472 * Meade Instruments Corp. 51,232 141,400 Media General, Inc. Class A 6,100 372,710 * MediaBay, Inc. 1,650 891 * Mediacom Communications Corp. 235,041 1,429,049 * Meritage Homes Corp. 48,200 3,505,104 * Mestek, Inc. 5,400 138,942 * Michael Anthony Jewelers, Inc. 4 11,720 * Midas, Inc. 41,000 963,500 * Mikohn Gaming Corp. 57,575 726,021 * Mity Enterprises, Inc. 5,000 73,500 Modine Manufacturing Co. 90,495 2,751,048 Monaco Coach Corp. 75,950 1,246,339 * Monarch Casino & Resort, Inc. 16,000 321,600 * Monro Muffler Brake, Inc. 12,300 330,501 * Morgan's Foods, Inc. 800 1,360 * Mossimo, Inc. 16,600 70,550
19 * Mothers Work, Inc. 13,654 186,104 * Motorcar Parts of America, Inc. 2,500 26,312 Movado Group, Inc. 46,700 787,362 Movie Gallery, Inc. 116,649 3,728,102 * MTR Gaming Group, Inc. 74,286 762,174 * # Multimedia Games, Inc. 72,635 775,015 * Nathan's Famous, Inc. 7,000 58,023 National Presto Industries, Inc. 6,800 291,380 * National RV Holdings, Inc. 25,700 227,959 * # Nature Vision, Inc. 500 2,315 Nautilus Group, Inc. 85,500 2,288,835 * # Navarre Corp. 70,160 631,440 * Navigant International, Inc. 39,814 504,045 Nelson (Thomas), Inc. 35,900 834,675 * # Netflix, Inc. 135,582 1,937,467 * Nevada Gold & Casinos, Inc. 33,350 366,516 * New Frontier Media, Inc. 3,400 20,400 * Nitches, Inc. 864 3,879 * Nobel Learning Communities, Inc. 6,500 56,875 Nobility Homes, Inc. 4,100 102,869 Noble International, Ltd. 24,160 498,904 * NTN Communications, Inc. 138,693 302,351 * Nutri/System, Inc. 79,900 979,574 Oakley, Inc. 176,900 2,600,430 * O'Charleys, Inc. 55,962 1,039,214 * Odd Job Stores, Inc. 12,700 1,905 * One Price Clothing Stores, Inc. 2,557 2 * # Oneida, Ltd. 28,700 67,445 * Opinion Research Corp. 6,700 47,168 # Orleans Homebuilders, Inc. 48,600 1,088,640 OshKosh B'Gosh, Inc. Class A 24,355 630,307 * # Overstock.com, Inc. 51,500 1,971,935 Oxford Industries, Inc. 43,100 1,541,256 * P & F Industries, Inc. Class A 1,300 21,125 * P.F. Chang's China Bistro, Inc. 56,300 3,336,901 * # Palm Harbor Homes, Inc. 58,511 1,095,911 * Panera Bread Co. 10,635 672,132 * Pantry, Inc. 52,800 2,042,832 * Papa John's International, Inc. 43,200 1,684,800 * Party City Corp. 44,791 598,856 * Paxson Communications Corp. 118,700 89,025 * Payless Cashways, Inc. 60 0 * Payless ShoeSource, Inc. 177,000 2,978,910 * PC Mall, Inc. 30,017 148,557 * # Pegasus Communications Corp. 17,540 110,063 Pep Boys - Manny, Moe & Jack 143,000 1,910,480 * Perry Ellis International, Inc. 23,900 478,000 * PetMed Express, Inc. 60,965 430,413 Phillips-Van Heusen Corp. 83,200 2,578,368 * Phoenix Gold International, Inc. 600 330 Pier 1 Imports, Inc. 55,200 926,808 * Pinnacle Entertainment, Inc. 104,800 1,826,664 * Playboy Enterprises, Inc. Class A 4,700 53,909 * # Playboy Enterprises, Inc. Class B 74,100 938,847 * Point.360 9,000 26,820
20 * Pomeroy IT Solutions, Inc. 31,837 400,828 # Pre-Paid Legal Services, Inc. 40,350 1,519,984 * # Priceline.com, Inc. 101,016 2,419,333 * PRIMEDIA, Inc. 658,238 2,402,569 * Princeton Review, Inc. 14,600 79,862 * ProQuest Co. 77,300 2,481,330 * Provide Commerce 29,200 674,812 Pulitzer, Inc. 23,800 1,522,248 * QEP Co., Inc. 2,125 22,057 Quaker Fabric Corp. 41,950 145,986 * # Quantum Fuel Systems Technologies Worldwide, Inc. 86,271 366,652 * R&B, Inc. 16,800 225,960 * Radio One, Inc. 25,300 319,286 * Radio One, Inc. 8,150 102,690 * Rare Hospitality International, Inc. 88,450 2,744,603 Raytech Corp. 16,400 25,420 * RC2 Corp. 52,991 1,909,796 * Reading International, Inc. Class A 18,149 120,872 * Reading International, Inc. Class B 1,060 6,890 * Red Robin Gourmet Burgers, Inc. 5,599 307,273 * RedEnvelope, Inc. 2,000 19,900 * Regent Communications, Inc. 114,113 684,678 * Rentrak Corp. 26,900 270,345 * Rent-Way, Inc. 68,200 632,214 * Reptron Electronics, Inc. 343 480 * Restoration Hardware, Inc. 85,900 608,172 * Retail Ventures, Inc. 91,400 1,030,078 * Rex Stores Corp. 26,600 372,400 * Rexhall Industries, Inc. 3,142 581 * Riviera Holdings Corp. 10,800 218,700 * Rockford Corp. 14,600 38,106 * Rocky Shoes & Boots, Inc. 4,500 133,155 * Rubio's Restaurants, Inc. 23,195 212,234 Russ Berrie & Co., Inc. 54,100 703,841 Russell Corp. 85,300 1,595,110 * Ryan's Restaurant Group, Inc. 107,800 1,504,888 * S&K Famous Brands, Inc. 2,100 33,600 * Safety Components International, Inc. 118 1,646 * Saga Communications, Inc. Class A 47,625 657,225 * Salem Communications Corp. 52,969 962,447 * # Salton, Inc. 29,600 30,784 * Sands Regent Casino Hotel 2,000 18,920 Saucony, Inc. Class A 2,700 53,730 Saucony, Inc. Class B 3,500 68,600 Sauer-Danfoss, Inc. 49,600 974,640 * Schieb (Earl), Inc. 2,200 7,425 * Scholastic Corp. 97,062 3,641,766 SCP Pool Corp. 68,384 2,449,515 * Select Comfort Corp. 93,175 2,264,152 Service Corp. International 208,300 1,578,914 * # Sharper Image Corp. 40,800 542,232 * Shiloh Industries, Inc. 40,866 462,194 * Shoe Carnival, Inc. 38,079 697,988 * # Shoe Pavilion, Inc. 6,200 29,388 * ShopKo Stores, Inc. 65,800 1,560,118
21 * # Shuffle Master, Inc. 92,130 2,524,362 Sinclair Broadcast Group, Inc. Class A 115,200 1,014,912 * Six Flags, Inc. 241,905 1,066,801 * Skechers U.S.A., Inc. Class A 58,000 734,860 Skyline Corp. 8,300 324,530 * Smith & Wesson Holding Corp. 79,900 303,620 * Smith & Wollensky Restaurant Group, Inc. 13,400 84,286 Sonic Automotive, Inc. 76,300 1,626,716 * Sotheby's Holdings, Inc. Class A 119,900 1,682,197 * Source Interlink Companies, Inc. 74,500 726,375 * Southern Energy Homes, Inc. 13,825 80,876 * Spanish Broadcasting System, Inc. 104,500 903,925 * SPAR Group, Inc. 2,900 6,206 Spartan Motors, Inc. 32,545 349,533 Speedway Motorsports, Inc. 67,390 2,311,477 * Sport Chalet, Inc. 2,700 39,420 * Sport Supply Group, Inc. 8,900 27,946 * Sport-Haley, Inc. 2,700 9,477 * Sportsman's Guide, Inc. 18,533 315,042 * Stage Stores, Inc. 46,172 1,803,017 * Stamps.com, Inc. 58,923 1,317,518 Standard Motor Products, Inc. 50,500 569,135 Stanley Furniture, Inc. 6,700 283,075 Star Buffet, Inc. 2,800 19,572 * Steak n Shake Co. 71,818 1,478,733 * Stein Mart, Inc. 110,616 2,661,421 * Steinway Musical Instruments, Inc. 18,800 532,416 Stewart Enterprises, Inc. 274,470 1,624,862 * Stoneridge, Inc. 59,200 462,944 * Strattec Security Corp. 4,100 207,583 Strayer Education, Inc. 8,300 722,100 Stride Rite Corp. 94,500 1,123,605 Sturm Ruger & Co., Inc. 70,000 569,800 * Sunterra Corp. 400 6,240 # Superior Industries International, Inc. 69,200 1,567,380 Superior Uniform Group, Inc. 7,000 96,950 Syms Corp. 28,200 368,856 * Systemax, Inc. 63,568 404,928 * Tag-It Pacific, Inc. 46,900 109,746 Tandy Brand Accessories, Inc. 5,900 77,526 * Tarrant Apparel Group 42,115 114,553 * TBC Corp. 57,990 1,480,485 Technical Olympic USA, Inc. 145,740 3,191,706 * Tenneco Automotive, Inc. 112,800 1,692,000 * The Children's Place Retail Stores, Inc. 70,200 3,279,042 * The Dress Barn, Inc. 80,252 1,452,561 The Marcus Corp. 54,000 1,189,620 * The Mens Warehouse, Inc. 94,000 4,828,780 * The Rowe Companies 13,100 50,566 * The Sports Authority, Inc. 67,206 2,150,592 * The Sports Club Co., Inc. 20,100 33,165 * # TiVo, Inc. 209,126 1,409,509 * Too, Inc. 90,200 1,793,176 * # Tower Automotive, Inc. 111,100 11,777 * Tractor Supply Co. 91,932 4,083,619
22 Traffix, Inc. 35,600 170,880 * Trans World Entertainment Corp. 78,400 1,019,200 * Transpro, Inc. 16,100 109,319 Triarc Companies, Inc. Class A 61,700 965,605 Triarc Companies, Inc. Class B 49,000 705,600 * # Tropical Sportswear International Corp. 13,075 157 * Tuesday Morning Corp. 106,836 3,246,746 Tupperware Corp. 154,400 3,489,440 * Tweeter Home Entertainment Group, Inc. 63,900 226,206 * Ultimate Electronics, Inc. 858 60 * # Unapix Entertainment, Inc. 6,100 25 * Unifi, Inc. 135,234 434,101 Unifirst Corp. 23,650 865,590 United Auto Group, Inc. 120,800 3,720,640 * United Retail Group, Inc. 22,866 158,690 * Universal Electronics, Inc. 35,324 589,204 * Universal Technical Institute, Inc. 4,800 146,640 * Vail Resorts, Inc. 92,100 2,532,750 Value Line, Inc. 9,900 359,568 * ValueVision Media, Inc. Class A 95,452 918,248 * Varsity Group, Inc. 25,136 151,319 * Vertrue, Inc. 24,000 907,200 * Virco Manufacturing Corp. 13,269 95,537 # Visteon Corp. 325,000 2,479,750 * Warnaco Group, Inc. 120,017 2,561,163 * Waxman Industries, Inc. 600 4,275 * WCI Communities, Inc. 117,100 3,501,290 Wellco Enterprises, Inc. 1,000 13,135 * Wells-Gardner Electronics Corp. 22,261 75,687 * West Marine, Inc. 54,078 897,154 * Westcoast Hospitality Corp. 12,900 88,881 * # Wet Seal, Inc. Class A 90,237 384,410 Weyco Group, Inc. 600 11,502 * Whitehall Jewelers, Inc. 30,250 219,312 * Wickes, Inc. 4,400 13 * William Lyon Homes, Inc. 22,500 2,025,000 * Wilsons The Leather Experts, Inc. 101,045 593,134 * Winmark Corp. 3,800 82,650 # Winnebago Industries, Inc. 87,400 2,857,106 * # WMS Industries, Inc. 80,900 2,570,193 Wolverine World Wide, Inc. 150,600 3,460,788 World Wrestling Federation Entertainment, Inc. 54,200 587,528 * Worldwide Restaurant Concepts, Inc. 71,400 457,674 Yankee Candle Co., Inc. 105,700 3,334,835 * Young Broadcasting, Inc. Class A 44,662 257,253 * Zapata Corp. 18,720 121,118 ---------------- Total Consumer Discretionary (Cost $378,480,696) 441,458,478 ---------------- Industrials -- (14.7%) * 3-D Systems Corp. 24,600 521,520 * AAON, Inc. 13,100 234,490 * AAR Corp. 83,683 1,342,275 * Ablest, Inc. 2,100 14,532 ABM Industries, Inc. 130,400 2,486,728
23 Abrams Industries, Inc. 200 1,054 * ABX Air, Inc. 66,600 500,832 Aceto Corp. 63,525 461,827 * ACT Manufacturing, Inc. 800 8 * Active Power, Inc. 125,456 336,222 * Actuant Corp. 69,980 3,149,100 Acuity Brands, Inc. 33,500 822,425 Administaff, Inc. 66,200 1,414,032 * AeroCentury Corp. 300 948 * Aerosonic Corp. 3,900 20,163 * AirNet Systems, Inc. 22,200 110,778 * Airtran Holdings, Inc. 231,500 2,259,440 * Akorn, Inc. 31,100 91,434 Alamo Group, Inc. 12,500 255,000 * Alaska Air Group, Inc. 73,200 2,160,864 Albany International Corp. Class A 75,672 2,366,263 Alexander & Baldwin, Inc. 57,915 2,574,322 * Allied Defense Group, Inc. 12,400 295,616 * Allied Holdings, Inc. 8,300 9,130 Ambassadors International, Inc. 9,800 125,636 * Amerco, Inc. 14,700 781,746 * # America West Holdings Corp. Class B 94,800 530,880 American Ecology Corp. 14,650 185,469 * American Locker Group, Inc. 300 1,383 * American Science & Engineering, Inc. 21,300 811,743 * American Superconductor Corp. 83,099 735,426 American Woodmark Corp. 44,476 1,494,838 Ameron International Corp. 22,800 752,400 * AML Communications, Inc. 7,800 8,346 Ampco-Pittsburgh Corp. 9,600 110,688 * # AMR Corp. 44,000 567,600 Amrep Corp. 6,500 141,115 Angelica Corp. 22,900 606,163 * APAC Customer Services, Inc. 102,850 98,736 Apogee Enterprises, Inc. 73,910 1,034,001 Applied Industrial Technologies, Inc. 80,550 2,451,942 Applied Signal Technologies, Inc. 29,500 516,250 * ARGON ST, Inc. 49,025 1,683,028 Arkansas Best Corp. 65,500 2,143,815 * Armor Holdings, Inc. 88,800 3,352,200 * # Armstrong Holdings, Inc. 4,400 13,508 * # Arotech Corp. 90,691 96,132 * Artesyn Technologies, Inc. 82,300 677,329 * Art's-Way Manufacturing Co., Inc. 200 1,254 * Astec Industries, Inc. 53,900 1,182,027 * Astronics Corp. 7,725 62,186 * # AstroPower, Inc. 5,058 5 * ASV, Inc. 35,316 1,281,971 * # ATA Holdings Corp. 24,879 22,391 * Ault, Inc. 4,500 11,205 * # Avalon Holding Corp. Class A 1,550 7,580 * Aviall, Inc. 95,900 2,951,802 * Axsys Technologies, Inc. 7,050 120,132 * AZZ, Inc. 8,200 131,282 Badger Meter, Inc. 6,400 240,768
24 * Baker (Michael) Corp. 7,600 131,176 Baldor Electric Co. 89,033 2,239,180 * Baldwin Technology Co., Inc. Class A 13,300 39,900 Banta Corp. 67,300 2,955,816 Barnes Group, Inc. 60,600 1,859,208 * Barrett Business Services, Inc. 8,700 125,802 * BE Aerospace, Inc. 147,610 2,135,917 Bowne & Co., Inc. 89,600 1,187,200 Brady Co. Class A 113,700 3,475,809 * BTU International, Inc. 12,900 48,891 * Butler International, Inc. 8,400 27,720 C&D Technologies, Inc. 65,900 482,388 * Cannon Express, Inc. 200 0 * Capstone Turbine Corp. 78,300 78,300 Cascade Corp. 32,900 1,158,738 * Casella Waste Systems, Inc. Class A 64,089 731,255 * Catalytica Energy Systems, Inc. 19,891 39,185 * CD&L, Inc. 2,600 4,940 CDI Corp. 50,300 1,073,402 * Celadon Group, Inc. 26,879 486,510 Central Parking Corp. 96,837 1,636,545 * Century Business Services, Inc. 196,557 788,194 * Cenveo, Inc. 131,500 1,101,970 * Ceradyne, Inc. 64,365 1,486,188 CERBCO, Inc. Class A 200 1,975 Champion Industries, Inc. 9,674 40,631 * Channell Commercial Corp. 6,600 39,732 Chase Corp. 4,000 56,320 Chicago Rivet & Machine Co. 200 5,956 CIRCOR International, Inc. 40,690 1,007,078 Clarcor, Inc. 138,600 3,893,274 * Clean Harbors, Inc. 37,200 771,900 * CNE Group, Inc. 2,000 320 * Coinstar, Inc. 68,100 1,289,814 Collins Industries, Inc. 7,000 35,000 * Columbus McKinnon Corp. 38,700 365,328 * Comforce Corp. 13,277 25,757 * Comfort Systems USA, Inc. 101,800 640,322 * # Compudyne Corp. 20,804 125,864 CompX International, Inc. 5,100 73,695 * Conrad Industries, Inc. 7,200 9,396 * Consolidated Freightways Corp. 550 2 * Consolidated Graphics, Inc. 35,582 1,506,186 * # Continental Airlines, Inc. 179,500 2,487,870 * Cornell Companies, Inc. 37,600 482,784 * Correctional Services Corp. 20,512 59,278 * Corrections Corporation of America 95,400 3,443,940 * Corrpro Companies, Inc. 7,275 5,820 * CoStar Group, Inc. 47,611 1,913,010 * Covenant Transport, Inc. Class A 31,955 443,535 * CPI Aerostructures, Inc. 13,666 127,504 * CRA International, Inc. 9,000 512,910 * Cross (A.T.) Co. Class A 14,700 73,941 * Crown Andersen, Inc. 1,000 1,025 Cubic Corp. 69,500 1,223,200
25 * CUNO, Inc. 46,408 3,299,609 Curtiss-Wright Corp. 11,600 634,288 * # Delta Air Lines, Inc. 367,200 1,413,720 * DHB Industries, Inc. 114,200 897,612 * DiamondCluster International, Inc. 93,450 1,222,326 * Distributed Energy Systems Corp. 92,650 307,598 * Dollar Thrifty Automotive Group, Inc. 65,600 2,360,944 * DRS Technologies, Inc. 48,500 2,283,380 * Ducommun, Inc. 26,000 427,700 * Duratek, Inc. 13,500 296,055 * Dycom Industries, Inc. 126,566 2,485,756 * Dynamex, Inc. 29,500 530,705 * # Dynamic Materials Corp. 2,000 87,600 Eastern Co. 4,950 109,346 Ecology & Environment, Inc. Class A 2,000 13,000 EDO Corp. 52,000 1,480,440 * EGL, Inc. 123,096 2,342,517 * Electro Rent Corp. 64,261 755,067 ElkCorp 51,600 1,702,800 * EMCOR Group, Inc. 39,000 1,852,500 * Encore Wire Corp. 60,088 660,968 * # Energy Conversion Devices, Inc. 66,197 1,276,278 Engineered Support Systems, Inc. 87,913 3,428,607 * ENGlobal Corp. 2,500 9,075 Ennis, Inc. 68,600 1,090,054 * EnPro Industries, Inc. 54,300 1,469,901 * Environmental Tectonics Corp. 7,100 38,553 * ESCO Technologies, Inc. 32,000 2,712,000 Espey Manufacturing & Electronics Corp. 400 10,740 * Essex Corp. 2,900 54,230 * Esterline Technologies Corp. 65,200 2,536,280 * Evercel, Inc. 466 466 * Evergreen Solar, Inc. 138,827 701,076 * Exponent, Inc. 6,700 165,959 * ExpressJet Holdings, Inc. 141,500 1,221,145 Federal Signal Corp. 125,100 1,955,313 * Fiberstars, Inc. 18,900 178,605 * First Aviation Services, Inc. 6,200 25,420 * First Consulting Group, Inc. 63,503 328,946 * Flanders Corp. 68,397 681,918 Florida East Coast Industries, Inc. 83,600 3,516,216 * # Flow International Corp. 33,300 216,450 * Flowserve Corp. 143,600 4,231,892 * # FLYi, Inc. 68,000 51,680 Forward Air Corp. 125,001 3,356,277 * Foster (L.B.) Co. Class A 10,000 90,000 * Foster Wheeler, Ltd. 2,030 30,044 Franklin Electric Co., Inc. 21,600 829,872 * Frontier Airlines, Inc. 92,643 1,131,171 * Frozen Food Express Industries, Inc. 45,199 485,889 * FTI Consulting, Inc. 112,225 2,467,828 * # FuelCell Energy, Inc. 125,254 1,019,568 G & K Services, Inc. Class A 50,055 1,970,165 * Gardner Denver Machinery, Inc. 59,988 2,300,540 GATX Corp. 118,700 3,961,019
26 * Gehl Co. 16,900 506,797 Gencorp, Inc. 99,711 1,884,538 * General Binding Corp. 13,300 275,177 * General Cable Corp. 103,400 1,448,634 * General Employment Enterprises, Inc. 3,100 4,061 * Genesee & Wyoming, Inc. 63,050 1,761,617 * Genlyte Group, Inc. 63,000 2,807,280 Gevity HR, Inc. 70,510 1,209,247 * Global Payment Technologies, Inc. 5,500 24,750 * Global Power Equipment Group, Inc. 121,600 931,456 Gorman-Rupp Co. 9,968 202,350 * GP Strategies Corp. 30,960 219,816 * Graftech International, Ltd. 243,700 1,072,280 Graham Corp. 1,000 20,220 Granite Construction, Inc. 108,200 2,537,290 Greenbrier Companies, Inc. 14,100 390,852 * Griffon Corp. 75,380 1,502,323 Hardinge, Inc. 8,800 142,718 Harland (John H.) Co. 72,300 2,723,541 * Hawaiian Holdings, Inc. 29,875 159,533 * Hawk Corp. 8,500 95,115 Healthcare Services Group, Inc. 24,975 467,033 Heartland Express, Inc. 144,343 2,894,077 Heico Corp. 25,900 546,490 Heico Corp. Class A 36,765 617,284 * Heidrick & Struggles International, Inc. 49,853 1,251,809 * Herley Industries, Inc. 36,500 639,115 * Hexcel Corp. 134,000 2,189,560 * Hirsch International Corp. Class A 3,300 3,300 * Hi-Shear Technology Corp. 8,600 31,304 * Hub Group, Inc. Class A 15,700 431,436 * Hudson Highland Group, Inc. 5,560 89,016 * Hudson Technologies, Inc. 4,800 4,416 Hughes Supply, Inc. 8,330 216,580 * Hurco Companies, Inc. 6,800 118,388 * Huttig Building Products, Inc. 7,700 84,007 * ICT Group, Inc. 19,274 179,055 * II-VI, Inc. 75,740 1,247,438 IKON Office Solutions, Inc. 171,760 1,664,354 * Imagistics International, Inc. 11,400 307,116 * Industrial Distribution Group, Inc. 24,106 211,892 * Infrasource Services, Inc. 4,700 51,700 * Innotrac Corp. 11,600 98,484 * Innovative Solutions & Support, Inc. 12,700 439,928 * Insituform Technologies, Inc. Class A 67,119 996,046 * # Integrated Electrical Services, Inc. 85,100 129,352 International Aluminum Corp. 2,100 72,450 * International Shipholding Corp. 6,100 89,060 Interpool, Inc. 38,000 825,360 * # Ionatron, Inc. 17,500 155,750 * Jacuzzi Brands, Inc. 199,378 2,035,649 JLG Industries, Inc. 128,500 3,275,465 * JPS Industries, Inc. 9,200 44,160 * Kadant, Inc. 36,020 738,410 Kaman Corp. Class A 57,000 881,790
27 * Kansas City Southern 163,100 3,260,369 Kaydon Corp. 73,300 2,091,982 * Keith Companies, Inc. 11,400 241,110 Kelly Services, Inc. Class A 83,266 2,315,627 * Key Technology, Inc. 4,700 51,700 * Kforce, Inc. 103,155 829,366 * Kirby Corp. 64,500 2,751,570 Knight Transportation, Inc. 146,953 3,593,001 * Korn/Ferry International 104,000 1,649,440 * K-Tron International, Inc. 2,400 68,640 * KVH Industries, Inc. 37,628 349,564 * LaBarge, Inc. 38,500 546,315 * Labor Ready, Inc. 110,600 2,282,784 * Ladish Co., Inc. 19,500 216,450 * Lancer Corp. 9,325 161,323 Lawson Products, Inc. 9,600 410,880 * Layne Christensen Co. 11,600 200,680 * Learning Tree International, Inc. 44,081 567,322 Lennox International, Inc. 158,705 3,370,894 Lincoln Electric Holdings, Inc. 107,661 3,526,974 Lindsay Manufacturer Co. 30,600 612,306 * LMI Aerospace, Inc. 7,900 35,740 LSI Industries, Inc. 51,383 698,295 * Lydall, Inc. 41,900 345,256 * Lynch Corp. 1,500 13,800 * Mac-Gray Corp. 18,500 161,320 * Magnetek, Inc. 74,200 163,982 * MAIR Holdings, Inc. 52,916 504,819 * Marten Transport, Ltd. 9,450 185,315 * Mastec, Inc. 126,050 1,066,383 * Maxco, Inc. 3,100 13,550 McGrath Rentcorp. 63,214 1,457,083 * Meadow Valley Corp. 2,400 12,672 * # Medialink Worldwide, Inc. 5,900 18,585 Mercury Air Group, Inc. 4,950 17,127 * Mercury Computer Systems, Inc. 54,800 1,583,720 * Merrimac Industries, Inc. 2,860 25,454 * # Mesa Air Group, Inc. 79,035 504,243 Met-Pro Corp. 8,100 116,721 * MFRI, Inc. 4,900 38,019 * # Microvision, Inc. 55,923 361,822 Middleby Corp. 23,187 1,279,922 * Midwest Air Group, Inc. 45,000 88,200 * Milacron, Inc. 162,405 354,043 * # Millennium Cell, Inc. 58,900 88,939 * Miller Industries, Inc. 9,280 110,896 Mine Safety Appliances Co. 94,500 4,329,045 * Misonix, Inc. 17,000 97,954 * Mobile Mini, Inc. 38,215 1,410,898 * # Modtech Holdings, Inc. 37,650 233,430 * Moog, Inc. Class A 28,800 874,080 * Moog, Inc. Class B 4,950 151,965 * Morgan Group Holding Co. 200 19 * MPW Industrial Services Group, Inc. 5,000 11,075 * MTC Technologies, Inc. 15,400 516,362
28 Mueller Industries, Inc. 95,145 2,568,915 Multi-Color Corp. 2,250 59,175 * M-Wave, Inc. 2,900 3,074 NACCO Industries, Inc. Class A 6,500 666,250 * Nashua Corp. 5,800 52,200 * # National Patent Development Corp. 14,560 34,070 * National Technical Systems, Inc. 8,600 39,044 * Navigant Consulting, Inc. 125,400 2,876,676 * NCI Building Systems, Inc. 53,600 1,851,344 * NCO Group, Inc. 82,622 1,640,883 * NES Rentals Holdings, Inc. 36 353 * New Horizons Worldwide, Inc. 12,400 44,764 Nordson Corp. 94,675 2,943,446 * North America Galvanizing & Coatings, Inc. 6,700 13,668 * # Northwest Airlines Corp. 218,445 1,330,330 * NuCo2, Inc. 19,100 452,288 * Odyssey Marine Exploration, Inc. 106,200 510,822 * Old Dominion Freight Line, Inc. 64,548 1,966,778 * On Assignment, Inc. 65,015 344,580 * Orbit International Corp. 1,582 16,168 * Orbital Sciences Corp. 134,152 1,302,616 Outlook Group Corp. 2,400 18,960 * P.A.M. Transportation Services, Inc. 20,550 338,664 * Paragon Technologies, Inc. 4,200 45,150 * Park-Ohio Holdings Corp. 10,400 158,600 * Patrick Industries, Inc. 4,500 40,302 * Patriot Transportation Holding, Inc. 2,500 130,750 * Peerless Manufacturing Co. 3,000 41,730 * # Pemco Aviation Group, Inc. 950 23,655 * Perini Corp. 65,800 992,264 * Pico Holdings, Inc. 17,100 442,719 * Pinnacle Airlines Corp. 800 7,840 * # Plug Power, Inc. 190,443 1,184,555 * Portfolio Recovery Associates, Inc. 40,305 1,588,420 * Powell Industries, Inc. 19,159 352,909 * Power-One, Inc. 201,561 1,104,554 * PPT Vision, Inc. 1,700 2,159 Preformed Line Products Co. 1,200 40,956 * PRG-Schultz International, Inc. 161,219 622,305 Providence & Worcester Railroad Co. 3,000 39,750 * PW Eagle, Inc. 7,000 46,060 * Quanta Services, Inc. 302,100 2,727,963 * Quipp, Inc. 1,400 15,099 Quixote Corp. 22,740 442,975 * RailAmerica, Inc. 98,200 1,145,994 Raven Industries, Inc. 46,850 1,193,738 * RCM Technologies, Inc. 10,500 48,300 Regal-Beloit Corp. 75,504 1,940,453 * RemedyTemp, Inc. 15,100 148,735 * Republic Airways Holdings, Inc. 1,600 20,416 * Resources Connection, Inc. 123,036 2,450,877 Robbins & Myers, Inc. 37,800 893,970 Rollins, Inc. 178,050 3,632,220 * Rush Enterprises, Inc. Class A 16,900 243,191 * Rush Enterprises, Inc. Class B 7,000 101,850
29 Schawk, Inc. 22,200 534,132 * School Specialty, Inc. 3,900 152,958 * # Schuff International, Inc. 7,000 21,525 * SCS Transportation, Inc. 38,654 705,436 * Secom General Corp. 140 200 * Senomyx, Inc. 1,100 15,213 * Sequa Corp. Class A 6,900 400,200 * Sequa Corp. Class B 2,600 154,076 * Servotronics, Inc. 1,100 5,225 * Shaw Group, Inc. 166,587 3,356,728 * Sholodge, Inc. 5,100 20,018 * SIFCO Industries, Inc. 5,400 18,522 * Simclar, Inc. 6,500 21,905 Simpson Manufacturing Co., Inc. 103,100 2,963,094 * Sirva, Inc. 4,200 32,970 * Sitel Corp. 176,800 350,064 Skywest, Inc. 144,796 2,641,079 * SL Industries, Inc. 5,900 100,713 Smith (A.O.) Corp. 57,200 1,793,792 Smith (A.O.) Corp. Convertible Class A 3,750 117,600 * Smithway Motor Xpress Corp. Class A 4,000 24,000 * SOURCECORP, Inc. 34,502 738,688 * Spacehab, Inc. 27,766 39,150 * Sparton Corp. 8,334 83,173 * Spherion Corp. 159,120 870,386 * # Spherix, Inc. 12,100 20,691 * Spire Corp. 6,700 29,480 * # Standard Automotive Corp. 4,400 0 * Standard Parking Corp. 1,500 22,515 Standard Register Co. 61,100 867,620 Standex International Corp. 32,100 858,996 Starrett (L.S.) Co. Class A 4,800 81,936 * Sterling Construction Co., Inc. 8,700 64,206 Stewart & Stevenson Services, Inc. 74,802 1,787,020 * Stonepath Group, Inc. 69,400 48,580 * Strategic Distribution, Inc. 3,029 31,199 Sun Hydraulics, Inc. 4,900 180,908 Supreme Industries, Inc. 11,408 74,722 * Swift Transportation Co., Inc. 6,343 155,721 Sypris Solutions, Inc. 44,847 472,687 TB Wood's Corp. 7,600 43,928 * Team, Inc. 7,600 144,400 * TeamStaff, Inc. 20,200 33,128 Tech/Ops Sevcon, Inc. 3,100 18,445 Technology Research Corp. 14,350 71,894 Tecumseh Products Co. Class A 34,700 948,698 * Teledyne Technologies, Inc. 86,300 2,728,806 * TeleTech Holdings, Inc. 194,300 1,587,431 Tennant Co. 22,500 839,250 * Terex Corp. 21 830 * Tetra Tech, Inc. 146,896 1,770,097 The Alpine Group, Inc. 13,500 20,925 * The Geo Group, Inc. 25,000 606,750 * The Lamson & Sessions Co. 36,000 392,040 The Manitowoc Co., Inc. 76,750 3,110,678
30 * Thomas Group, Inc. 4,000 8,040 Thomas Industries, Inc. 44,750 1,784,183 Titan International, Inc. 19,600 289,492 Todd Shipyards Corp. 6,300 121,275 * Trailer Bridge, Inc. 9,800 76,440 * Transport Corp. of America 5,200 32,500 * Transtechnology Corp. 6,200 46,345 * TRC Companies, Inc. 34,600 394,440 Tredegar Industries, Inc. 100,391 1,530,963 * Trex Co., Inc. 38,400 1,480,320 Trinity Industries, Inc. 123,600 3,591,816 * Triumph Group, Inc. 41,302 1,465,395 * TRM Corp. 7,000 113,610 * Tufco Technologies, Inc. 4,500 27,855 * # TurboChef Technologies, Inc. 70,833 786,246 Twin Disc, Inc. 2,800 60,900 * U.S. Home Systems, Inc. 700 3,393 * U.S. Xpress Enterprises, Inc. Class A 10,823 132,149 * Ultralife Batteries, Inc. 13,100 213,792 United Industrial Corp. 31,700 1,098,405 * United Rentals, Inc. 192,600 3,867,408 * United Stationers, Inc. 60,900 2,985,927 Universal Forest Products, Inc. 46,505 1,850,899 * UQM Technologies, Inc. 60,100 180,300 * URS Corp. 110,913 3,752,187 * # US Airways Group, Inc. Class A 46,800 42,588 * USA Truck, Inc. 9,300 188,325 * # Valence Technology, Inc. 20,900 61,864 Valley National Gases, Inc. 4,200 57,540 Valmont Industries, Inc. 62,200 1,489,690 * Valpey Fisher Corp. 1,650 5,214 * Versar, Inc. 8,700 26,970 Viad Corp. 57,600 1,601,280 Vicor Corp. 77,819 1,034,993 * VL Dissolution Corp. 3,101 0 * Volt Information Sciences, Inc. 33,000 648,450 Wabash National Corp. 80,200 1,997,782 Wabtec Corp. 119,600 2,475,720 Walter Industries, Inc. 93,900 3,981,360 * Washington Group International, Inc. 63,815 3,063,758 * Waste Connections, Inc. 78,500 2,910,780 Waste Industries USA, Inc. 19,300 278,499 * Water Pik Technologies, Inc. 8,600 159,788 Waters Instruments, Inc. 300 2,445 Watsco, Inc. Class A 60,000 2,651,400 Watsco, Inc. Class B 1,350 59,569 Watson Wyatt & Co. Holdings 84,700 2,229,304 Watts Water Technologies, Inc. 65,100 2,267,433 * WESCO International, Inc. 121,500 3,547,800 * Westaff, Inc. 24,300 84,321 * Western Power & Equipment Corp. 3,373 4,385 * Willis Lease Finance Corp. 9,500 77,425 * Wolverine Tube, Inc. 37,300 268,933 Woodward Governor Co. 29,591 2,289,456 WSI Industries, Inc. 2,000 5,740
31 * Xanser Corp. 42,800 94,588 * Yellow Roadway Corp. 21,783 1,149,707 York International Corp. 93,900 3,868,680 ---------------- Total Industrials (Cost $320,610,525) 385,582,611 ---------------- Health Care -- (13.9%) * A.D.A.M., Inc. 700 3,983 * # aaiPharma, Inc. 47,250 13,230 * Abaxis, Inc. 18,300 191,235 * Abgenix, Inc. 231,617 1,667,642 * Abiomed, Inc. 59,370 556,297 * # Able Laboratories, Inc. 47,000 200,690 * # Acacia Research-CombiMatrix 78,938 227,341 * Accelr8 Technology Corp. 880 2,130 * Accelrys, Inc. 56,300 297,264 * # Access Pharmaceuticals, Inc. 40,100 95,438 * Accredo Health, Inc. 814 36,483 * Adolor Corp. 105,500 1,008,580 * # Advanced Magnetics, Inc. 12,300 110,085 * Advanced Medical Optics, Inc. 156,212 6,031,376 * Advanced Neuromodulation Systems, Inc. 54,598 1,941,505 * Advancis Pharmaceutical Corp. 4,868 21,711 * # ADVENTRX Pharmaceuticals, Inc. 67,800 145,092 * Air Methods Corp. 27,770 188,281 * # Aksys, Ltd. 76,878 230,634 * Albany Molecular Research, Inc. 82,060 977,335 * Alexion Pharmaceuticals, Inc. 73,500 1,672,125 * Align Technology, Inc. 159,510 1,159,638 * Alkermes, Inc. 242,825 2,816,770 * Alliance Imaging, Inc. 127,700 1,280,831 * Allied Healthcare International, Inc. 36,700 253,964 * Allied Healthcare Products, Inc. 6,700 34,639 * Allos Therapeutics, Inc. 81,610 171,381 * Allscripts Healthcare Solutions, Inc. 100,949 1,651,526 * Almost Family, Inc. 1,600 19,008 Alpharma, Inc. Class A 110,200 1,418,274 * Alteon, Inc. 61,700 45,658 * Amedisys, Inc. 41,175 1,243,897 * America Services Group, Inc. 29,158 574,121 * American Claims Evaluation, Inc. 1,000 1,790 * American Dental Partners, Inc. 10,500 252,315 * American Healthways, Inc. 89,300 3,506,811 * American Medical Systems Holdings, Inc. 182,266 3,638,029 * American Retirement Corp. 78,400 1,073,296 American Shared Hospital Services 5,100 30,600 * AMICAS, Inc. 115,080 490,241 * AMN Healthcare Services, Inc. 76,500 1,104,660 * Amsurg Corp. 79,033 2,130,743 Analogic Corp. 35,600 1,512,644 * Andrx Corp. 2,800 55,944 * Angeion Corp. 215 514 * AngioDynamics, Inc. 7,332 144,880 * Anika Therapeutics, Inc. 19,800 299,574 * # Antigenics, Inc. 121,813 816,147
32 * AP Pharma, Inc. 45,823 73,317 * # Aphton Corp. 94,488 65,197 * Applera Corp. - Celera Genomics Group 195,700 1,941,344 * Applied Imaging Corp. 3,775 5,360 * Apria Healthcare Group, Inc. 55,300 1,741,950 * Aradigm Corp. 82,790 89,413 * Arena Pharmaceuticals, Inc. 77,685 532,142 * Argonaut Technologies, Inc. 8,699 8,177 * Ariad Pharmaceuticals, Inc. 142,131 857,050 * Arqule, Inc. 86,933 569,411 * Array BioPharma, Inc. 99,503 620,899 # Arrhythmia Research Technology, Inc. 6,900 123,510 Arrow International, Inc. 109,900 3,714,620 * Arthrocare Corp. 49,692 1,602,070 * Aspect Medical Systems, Inc. 55,386 1,781,214 * # AtheroGenics, Inc. 96,100 1,369,425 Atrion Corp. 1,700 111,095 * ATS Medical, Inc. 38,197 124,140 * AVANIR Pharmaceuticals Class A 263,700 653,976 * Avant Immunotherapeutics, Inc. 141,134 200,410 * AVI BioPharma, Inc. 114,800 270,928 * Avigen, Inc. 54,843 163,981 * # AXM Pharma, Inc. 47,000 84,130 * Axonyx, Inc. 1,300 1,677 * Bentley Pharmaceuticals, Inc. 55,360 602,870 * Beverly Enterprises, Inc. 270,200 3,342,374 * Bioanalytical Systems, Inc. 4,600 29,210 * BioCryst Pharmaceuticals, Inc. 70,536 328,698 * Bioenvision, Inc. 97,262 634,148 * Bio-Imaging Technologies, Inc. 29,290 88,456 # BioLase Technology, Inc. 61,408 433,540 * Bio-Logic Systems Corp. 6,300 37,734 * BioMarin Pharmaceutical, Inc. 167,685 1,140,258 * Bio-Rad Laboratories, Inc. Class A 20,000 1,077,600 * Bio-Reference Laboratories, Inc. 34,246 503,416 * BioSante Pharmaceuticals, Inc. 49,300 182,410 * BioScrip, Inc. 82,505 431,501 * Biosite, Inc. 45,345 2,480,825 * Biosource International, Inc. 9,600 97,536 * Biospecifics Technologies Corp. 4,500 4,950 * BioSphere Medical, Inc. 38,400 180,864 * BioTime, Inc. 11,000 6,600 * Bioveris Corp. 30,900 157,281 * Bone Care International, Inc. 53,909 1,764,981 * # Bradley Pharmaceuticals, Inc. 40,051 400,911 * # BriteSmile, Inc. 785 2,747 * Bruker BioSciences Corp. 231,692 973,106 * Caliper Life Sciences, Inc. 79,324 488,636 * CancerVax Corp. 64,300 191,614 * Candela Corp. 60,910 623,109 * Cantel Medical Corp. 39,660 1,217,562 * Capital Senior Living Corp. 69,300 419,958 * Caprius, Inc. 27 81 * Caraco Pharmaceutical Laboratories, Ltd. 67,350 483,573 * Cardiac Sciences, Inc. 132,830 130,173
33 * CardioDynamics International Corp. 126,602 281,056 * # Cardiotech International, Inc. 47,263 88,382 * # Cell Genesys, Inc. 115,152 669,033 * # Cell Therapeutics, Inc. 158,300 470,151 * # Cellegy Pharmaceuticals, Inc. 64,796 116,633 * Centene Corp. 111,900 3,597,585 * Cepheid, Inc. 113,806 1,035,635 * Cerus Corp. 60,000 245,400 * Chad Therapeutics, Inc. 10,000 40,700 Chemed Corp. 64,800 2,739,744 * Cholestech Corp. 38,800 355,020 * Ciphergen Biosystems, Inc. 75,886 156,325 * # Clarient, Inc. 20,200 28,684 Clinical Data, Inc. 1,787 31,094 * Closure Medical Corp. 41,627 1,122,680 CNS, Inc. 36,320 762,720 * Coast Dental Services, Inc. 2,066 7,438 * Collagenex Pharmaceuticals, Inc. 38,843 191,496 * Columbia Laboratories, Inc. 104,400 271,440 * Compex Technologies, Inc. 31,654 119,019 Computer Programs & Systems, Inc. 31,100 1,053,668 * Conceptus, Inc. 74,236 395,678 * Conmed Corp. 79,654 2,496,356 * Connetics Corp. 96,160 2,141,483 * Corautus Genetics, Inc. 1,542 6,091 * Corgentech, Inc. 2,700 6,480 * Corixa Corp. 160,458 681,946 * Cortex Pharmaceuticals, Inc. 3,500 8,190 * Corvel Corp. 10,900 289,286 * Cotherix, Inc. 37,600 342,160 * Critical Therapeutics, Inc. 16,500 96,690 * Criticare Systems, Inc. 29,800 138,272 * Cross Country Healthcare, Inc. 83,757 1,419,681 * # CryoLife, Inc. 63,000 456,750 * Cubist Pharmaceuticals, Inc. 133,040 1,331,730 * # CuraGen Corp. 134,760 576,773 * # Curative Health Services, Inc. 39,000 100,230 * Curis, Inc. 124,449 492,818 * CV Therapeutics, Inc. 97,005 1,961,441 * Cyberonics, Inc. 64,500 2,353,605 * Cygnus, Inc. 100 13 * Cypress Bioscience, Inc. 79,433 965,111 * # Cytogen Corp. 41,870 226,935 * # CytRx Corp. 1,700 1,445 D&K Healthcare Resources, Inc. 38,030 310,325 Datascope Corp. 39,134 1,191,239 * Daxor Corp. 4,600 94,760 * Del Global Technologies Corp. 10,927 30,760 * # Dendreon Corp. 156,681 828,842 * Dendrite International, Inc. 113,208 1,754,724 * DepoMed, Inc. 92,134 407,232 Diagnostic Products Corp. 75,800 3,300,332 * Digene Corp. 54,000 1,358,640 * # Digital Angel Corp. 112,800 442,176 * Discovery Laboratories, Inc. 114,123 804,567
34 * Discovery Partners International, Inc. 67,953 200,461 * Diversa Corp. 116,578 582,890 * DJ Orthopedics, Inc. 57,900 1,606,725 * DOV Pharmaceutical, Inc. 56,428 852,063 * # Durect Corp. 139,866 502,119 * DUSA Pharmaceuticals, Inc. 44,700 500,193 * Dyax Corp. 81,900 380,835 * # Dynacq Healthcare, Inc. 22,200 104,562 * Eclipsys Corp. 17,600 236,192 * Elite Pharmaceuticals, Inc. 50,900 152,700 * Embrex, Inc. 16,700 187,374 * Emeritus Corp. 14,100 186,120 * Emisphere Technologies, Inc. 49,856 193,441 * Encore Medical Corp. 135,800 689,864 * Encysive Pharmaceuticals, Inc. 149,998 1,529,980 * # Endocare, Inc. 25,800 80,109 * Endologix, Inc. 82,351 358,227 * Enpath Medical, Inc. 11,600 77,372 * Entremed, Inc. 107,800 287,826 * Enzo Biochem, Inc. 84,304 1,287,322 * Enzon Pharmaceuticals, Inc. 51,600 313,212 * # EP Medsystems, Inc. 14,900 38,740 * Epimmune, Inc. 19,800 17,365 * EPIX Pharmaceuticals, Inc. 60,428 479,194 * eResearch Technology, Inc. 133,710 1,636,610 * Ergo Science Corp. 7,150 19,662 * Escalon Medical Corp. 3,200 25,440 * Exact Sciences Corp. 68,105 197,505 * Exactech, Inc. 10,800 144,720 * Exelixis, Inc. 197,823 1,388,717 E-Z-EM, Inc. 8,562 126,033 * First Horizon Pharmaceutical Corp. 93,864 1,764,643 * Fischer Imaging Corp. 9,100 25,298 * Five Star Quality Care, Inc. 31,600 215,512 * Genaera Corp. 23,000 46,230 * Genaissance Pharmaceuticals, Inc. 61,375 55,851 * Gene Logic, Inc. 82,272 277,257 * Genesis HealthCare Corp. 51,450 2,237,561 * Genta, Inc. 162,275 180,125 * Gentiva Health Services, Inc. 16,850 267,747 * GenVec, Inc. 116,369 215,283 * # Geron Corp. 141,209 1,129,672 * GTC Biotherapeutics, Inc. 59,964 80,352 * Guilford Pharmaceuticals, Inc. 115,520 291,110 * Haemonetics Corp. 67,300 2,739,110 * Hanger Orthopedic Group, Inc. 49,552 252,715 * Harvard Bioscience, Inc. 78,817 253,791 * HealthAxis, Inc. 750 1,425 * HealthExtras, Inc. 96,076 1,646,743 * HealthTronics Surgical Services, Inc. 86,210 1,094,005 * # Hemispherx Biopharma, Inc. 95,100 152,160 * Hi-Tech Pharmacal, Inc. 20,250 608,715 * HMS Holdings Corp. 50,688 314,266 * Hollis-Eden Pharmaceuticals, Inc. 50,053 424,950 * Hologic, Inc. 54,300 1,998,783
35 Hooper Holmes, Inc. 184,000 736,000 * Horizon Health Corp. 9,900 434,115 * Human Genome Sciences, Inc. 115,329 1,300,911 * ICOS Corp. 3,915 84,564 * ICU Medical, Inc. 35,250 1,162,193 * IDX Systems Corp. 80,451 2,566,387 * I-Flow Corp. 58,000 947,720 * IGI, Inc. 2,100 2,625 * Illumina, Inc. 99,042 1,039,941 * # Immtech International, Inc. 27,700 352,344 * Immucor, Inc. 117,218 3,926,803 * ImmunoGen, Inc. 106,253 633,268 * # Immunomedics, Inc. 140,600 253,080 * Impath, Inc. 21,600 95,904 * Impax Laboratoroes, Inc. 152,044 2,493,522 * # Implant Sciences Corp. 22,300 63,332 * Incyte Corp. 215,405 1,643,540 * Indevus Pharmaceuticals, Inc. 119,394 409,521 * Inhibitex, Inc. 33,100 224,749 * InKine Pharmaceutical Co., Inc. 21,400 48,792 * Innovative Clinical Solutions, Ltd. 568 2 * # Insite Vision, Inc. 18,000 11,340 * # Insmed, Inc. 69,118 87,780 * Inspire Pharmaceuticals, Inc. 108,869 707,649 * Integra LifeSciences Holdings 76,255 2,548,442 * IntegraMed America, Inc. 3,100 32,395 * Interferon Scientific, Inc. 1,135 148 * Intermagnetics General Corp. 72,842 2,102,949 * InterMune, Inc. 84,700 1,017,247 * # Interpharm Holdings, Inc. 57,600 74,880 * IntraBiotics Pharmaceuticals, Inc. 19,300 66,585 * # Introgen Therapeutics, Inc. 79,911 570,565 * Intuitive Surgical, Inc. 81,623 4,040,339 Invacare Corp. 76,100 3,394,821 * Inverness Medical Innovations, Inc. 7,461 211,146 * Iomed, Inc. 16,500 34,650 * Iridex Corp. 6,800 40,800 * IRIS International, Inc. 42,424 810,723 * Isis Pharmaceuticals, Inc. 143,200 524,112 * # Isolagen, Inc. 78,000 317,460 * Ista Pharmaceuticals, Inc. 63,845 505,652 * # I-Trax, Inc. 58,600 90,830 * iVow, Inc. 6,500 2,925 * Kendle International, Inc. 34,403 396,667 * # Kensey Nash Corp. 29,554 803,869 * Keryx Biopharmaceuticals, Inc. 73,488 899,493 Kewaunee Scientific Corp. 2,000 15,980 * Kindred Healthcare, Inc. 96,478 3,722,121 * Kos Pharmaceuticals, Inc. 2,529 145,999 * Kosan Biosciences, Inc. 75,406 356,670 * K-V Pharmaceutical Co. Class A 93,250 1,855,675 * K-V Pharmaceutical Co. Class B 20,975 420,339 * Kyphon, Inc. 108,690 3,118,316 * La Jolla Pharmaceutical Co. 91,400 74,034 * LabOne, Inc. 44,585 1,718,306
36 * Lannet Co., Inc. 58,830 294,150 * # Large Scale Biology Corp. 29,900 24,518 * Laserscope 55,650 1,916,030 LCA-Vision, Inc. 52,025 2,298,465 Lectec Corp. 3,900 5,460 * Lexicon Genetics, Inc. 164,918 798,203 * Lifecell Corp. 76,000 1,007,760 * Lifecore Biomedical, Inc. 33,730 430,395 * Lifeline Systems, Inc. 8,200 266,992 * LifePoint Hospitals, Inc. 25,910 1,165,432 * Ligand Pharmaceuticals, Inc. Class B 192,200 1,122,448 * # Lipid Sciences, Inc. 64,108 338,490 * Luminex Corp. 80,772 804,489 * Magellan Health Services, Inc. 69,382 2,252,834 * Martek Biosciences Corp. 29,100 1,088,049 * Matria Healthcare, Inc. 41,203 1,173,873 * # Matritech, Inc. 30,500 25,010 * Matrixx Initiatives, Inc. 24,675 260,075 Matthews International Corp. Class A 83,766 3,098,504 * Maxim Pharmaceuticals, Inc. 66,333 100,826 * Maxygen, Inc. 91,052 712,937 * Medarex, Inc. 265,262 2,010,686 * MedCath Corp. 46,849 1,213,858 * # Med-Design Corp. 25,262 17,178 * Medical Action Industries, Inc. 26,639 472,309 * Medical Staffing Network Holdings, Inc. 77,800 422,454 * Medicore, Inc. 3,800 45,220 * MEDTOX Scientific, Inc. 7,545 45,270 * Memory Pharmaceuticals Corp. 200 496 * Memry Corp. 26,600 42,560 Mentor Corp. 104,600 4,279,186 * Merge Technologies, Inc. 34,094 593,236 Meridian Bioscience, Inc. 40,704 742,848 * Merit Medical Systems, Inc. 68,076 995,952 Mesa Laboratories, Inc. 3,300 41,184 * Metropolitan Health Networks, Inc. 121,800 315,462 * Micro Therapeutics, Inc. 123,731 494,924 * Microtek Medical Holdings, Inc. 110,416 388,664 * # Milestone Scientific, Inc. 16,300 38,305 * Miravant Medical Technologies 1,800 1,116 * Molecular Devices Corp. 44,540 860,513 * Molina Healthcare, Inc. 7,400 316,720 * Myogen, Inc. 7,400 48,988 * Myriad Genetics, Inc. 79,957 1,316,092 * Nabi Biopharmaceuticals 152,850 1,878,527 * # Nanogen, Inc. 123,810 505,145 * # Nastech Pharmaceutical Co., Inc. 46,433 564,161 * National Dentex Corp. 5,250 98,438 National Home Health Care Corp. 5,465 72,521 * National Medical Health Card Systems, Inc. 12,600 290,052 National Research Corp. 7,000 99,610 * Natus Medical, Inc. 45,400 458,540 NDCHealth Corp. 93,600 1,568,736 * Nektar Therapeutics 220,283 4,026,773 * Neogen Corp. 24,125 351,284
37 * Neopharm, Inc. 60,517 593,672 * Neose Technologies, Inc. 60,701 159,644 * Neurobiological Technologies, Inc. 2,700 8,964 * Neurocrine Biosciences, Inc. 26,900 1,013,323 * Neurogen Corp. 89,107 602,363 * New Brunswick Scientific Co., Inc. 7,660 40,981 * NMT Medical, Inc. 19,400 169,750 * North American Scientific, Inc. 39,750 119,250 * Northfield Laboratories, Inc. 67,685 883,966 * NovaMed, Inc. 55,400 342,926 * # Novavax, Inc. 102,771 140,796 * Noven Pharmaceuticals, Inc. 60,908 1,096,344 * Novoste Corp. 27,000 22,410 * NPS Pharmaceuticals, Inc. 97,120 1,123,678 * Nutraceutical International Corp. 30,064 396,544 * # Nutrition 21, Inc. 3,400 3,298 * NuVasive, Inc. 800 12,560 * Nuvelo, Inc. 104,581 775,991 NWH, Inc. 4,200 63,000 * # OCA, Inc. 130,851 536,489 * Odyssey Healthcare, Inc. 95,200 1,262,352 * Omnicell, Inc. 65,776 427,544 * Onyx Pharmaceuticals, Inc. 91,700 2,291,583 * Optical Sensors, Inc. 1,633 3,756 Option Care, Inc. 83,550 1,111,215 * OraSure Technologies, Inc. 115,850 962,714 * Orchid Biosciences, Inc. 58,160 565,315 * Orphan Medical, Inc. 10,300 109,592 * Orthologic Corp. 98,863 401,384 * Oscient Pharmaceutical Corp. 182,400 300,960 * Osteotech, Inc. 43,500 125,715 Owens & Minor, Inc. 102,900 3,189,900 * # Oxigene, Inc. 16,000 73,440 * Pain Therapeutics, Inc. 111,822 587,066 * PainCare Holdings, Inc. 116,100 476,010 * Palatin Technologies, Inc. 62 125 * Palomar Medical Technologies, Inc. 43,394 991,553 * Par Pharmaceutical Companies, Inc. 88,100 2,819,200 * Parexel International Corp. 67,962 1,240,307 * Patient Infosystems, Inc. 733 4,178 * PDI, Inc. 38,159 457,908 * Pediatric Services of America, Inc. 18,680 246,389 * Pediatrix Medical Group, Inc. 51,600 3,799,308 * Penwest Pharmaceuticals Co. 55,800 674,064 Perrigo Co. 186,047 2,891,170 * Per-Se Technologies, Inc. 78,427 1,487,760 * Pharmacopia Drug Discovery, Inc. 26,450 128,018 * # Pharmacyclics, Inc. 51,301 411,434 * # Pharmanetics, Inc. 1,000 275 * PhotoMedex, Inc. 65,295 139,731 * Physiometrix, Inc. 7,200 5,184 * Point Therapeutics, Inc. 660 3,056 PolyMedica Corp. 72,149 2,532,430 * Possis Medical, Inc. 44,554 469,154 * Pozen, Inc. 75,167 553,981
38 * PRAECIS Pharmaceuticals, Inc. 97,104 64,089 * # Premier Laser Systems, Inc. Class A 3,400 1 * Priority Healthcare Corp. 96,039 2,197,372 * Progenics Pharmaceuticals, Inc. 46,300 926,000 * ProxyMed, Inc. 10,679 68,025 * PSS World Medical, Inc. 168,100 1,973,494 Psychemedics Corp. 5,225 75,763 * Psychiatric Solutions, Inc. 53,233 2,179,891 * Pure World, Inc. 7,600 15,048 * QLT, Inc. 38,900 403,393 * # QuadraMed Corp. 38,906 59,526 * Questcor Pharmaceuticals, Inc. 26,700 16,020 * Quidel Corp. 80,635 353,181 * Quigley Corp. 24,006 212,453 * Quinton Cardiology Systems, Inc. 34,800 278,052 * Radiation Therapy Services, Inc. 9,100 188,370 * Radiologix, Inc. 56,700 222,831 * Regeneration Technologies, Inc. 69,240 465,985 * Regeneron Pharmaceuticals, Inc. 139,337 868,070 * RehabCare Group, Inc. 42,700 1,186,633 * Repligen Corp. 72,100 165,109 * Res-Care, Inc. 37,785 503,674 * Rigel Pharmaceuticals, Inc. 11,822 211,496 * Rita Medical Systems, Inc. 97,521 259,406 * Rochester Medical Corp. 5,300 54,908 * # Rural/Metro Corp. 14,000 105,126 * Sangamo BioSciences, Inc. 65,897 247,114 * Savient Pharmaceuticals, Inc. 76,600 257,376 * Schick Technologies, Inc. 9,000 171,900 * Sciclone Pharmaceuticals, Inc. 123,969 308,683 * Seattle Genetics, Inc. 109,565 529,199 * # Senesco Technologies, Inc. 28,000 61,040 * Sequenom, Inc. 61,006 57,956 * SeraCare Life Sciences, Inc. 4,080 55,202 * Serologicals Corp. 89,922 1,932,424 * SFBC International, Inc. 47,518 1,663,605 * Sierra Health Services, Inc. 58,036 3,834,439 * # Sirna Therapeutics, Inc. 99,875 219,725 * Sonic Innovations, Inc. 54,300 236,205 * SonoSite, Inc. 39,945 1,226,312 * Sonus Pharmaceuticals, Inc. 55,550 179,982 Span-American Medical System, Inc. 2,400 24,720 * Specialty Laboratories, Inc. 60,000 493,200 * Spectranetics Corp. 65,882 376,186 * Spectrum Pharmaceuticals, Inc. 39,808 207,400 * SRI/Surgical Express, Inc. 8,700 39,455 * Staar Surgical Co. 53,600 210,648 * # StemCells, Inc. 2,600 10,790 * Stratagene Corp. 4,926 42,216 * Strategic Diagnostics, Inc. 50,100 140,781 * Sun Healthcare Group, Inc. 39,392 275,744 * Suncoast Naturals, Inc. 950 107 * SunLink Health Systems, Inc. 1,048 8,478 * # Sunrise Senior Living, Inc. 52,865 2,756,910 * SuperGen, Inc. 132,959 668,784
39 * SurModics, Inc. 47,092 1,856,367 * Sybron Dental Specialties, Inc. 99,700 3,695,879 * Symbion, Inc. 1,000 23,600 * Synovis Life Technologies, Inc. 29,700 227,205 * Synthetech, Inc. 16,200 9,769 * Tanox, Inc. 113,954 1,128,145 * Telik, Inc. 133,900 1,909,414 * The Medicines Co. 125,092 2,744,518 * Theragenics Corp. 77,900 267,197 * Third Wave Technologies, Inc. 106,973 402,218 * Thoratec Corp. 126,743 1,893,540 * Titan Pharmaceuticals, Inc. 84,100 180,815 * TLC Vision Corp. 33,060 285,969 * Transgenomic, Inc. 10,749 7,309 * Transkaryotic Therapies, Inc. 90,386 3,072,220 * Trestle Holdings, Inc. 450 720 * Trimeris, Inc. 56,878 577,312 * TriPath Imaging, Inc. 98,952 849,998 * Tripos, Inc. 10,620 38,232 * TriZetto Group, Inc. 118,732 1,648,000 * U.S. Physical Therapy, Inc. 32,298 517,737 * United Surgical Partners International, Inc. 74,117 3,567,992 * United Therapeutics Corp. 58,458 2,920,562 * Urologix, Inc. 37,142 162,311 # Utah Medical Products, Inc. 5,000 108,800 * V.I. Technologies, Inc. 18,206 53,708 * Varian, Inc. 91,299 3,396,323 * # Vascular Solutions, Inc. 36,900 442,062 * Vaxgen, Inc. 42,400 421,456 * Ventana Medical Systems, Inc. 91,342 3,859,200 * Ventiv Health, Inc. 65,677 1,333,243 * Vertex Pharmaceuticals, Inc. 211,129 2,938,916 * Viasys Healthcare, Inc. 15,100 351,075 * Vical, Inc. 47,255 179,569 * Vicuron Pharmaceuticals, Inc. 157,650 2,598,072 * Virbac Corp. 22,000 72,050 * Virologic, Inc. 201,960 551,351 * # ViroPharma, Inc. 65,625 285,469 * Vision-Sciences, Inc. 5,100 13,719 * VistaCare, Inc. 500 8,920 * # Vital Images, Inc. 30,392 542,497 Vital Signs, Inc. 33,840 1,427,033 * Vivus, Inc. 111,164 264,570 West Pharmaceutical Services, Inc. 80,600 2,243,904 * Wilson Greatbatch Technologies, Inc. 56,100 1,348,644 * Wright Medical Group, Inc. 88,026 2,424,236 * Zevex International, Inc. 3,400 13,957 * Zila, Inc. 118,529 343,734 * Zoll Medical Corp. 24,862 590,224 * ZymeTx, Inc. 700 39 * Zymogenetics, Inc. 145,639 2,535,575 ---------------- Total Health Care (Cost $356,009,402) 364,979,811 ----------------
40 Financials -- (12.1%) 1st Independence Financial Group, Inc. 1,100 20,900 1st Source Corp. 53,131 1,157,193 # 21st Century Holding Co. 1,650 21,450 21st Century Insurance Group 214,200 2,983,806 * A. B. Watley Group, Inc. 9,400 564 ABC Bancorp 11,292 200,433 * # Acacia Research-Acacia Technologies 20,960 117,586 * Accredited Home Lenders Holding Co. 55,056 2,310,700 * ACE Cash Express, Inc. 36,832 803,306 Advanta Corp. Class A 25,017 573,640 Advanta Corp. Class B Non-Voting 49,242 1,214,800 * Aether Systems, Inc. 114,042 356,951 * # Agility Capital, Inc. 500 3 * # Aixtron AG 36,373 117,849 Alabama National Bancorporation 45,846 2,882,796 Alfa Corp. 209,478 2,999,725 * Allmerica Financial Corp. 11,700 408,564 Amcore Financial, Inc. 66,665 1,857,287 Amegy Bancorporation, Inc. 183,720 3,272,053 * AMEN Properties, Inc. 1,975 10,053 * # American Business Financial Services, Inc. 5,074 317 * American Independence Corp. 8,400 111,300 * American Physicians Capital, Inc. 22,400 776,160 American Physicians Services Group, Inc. 100 1,240 * American West Bancorporation 3,552 70,223 Americana Bancorp 2,712 38,809 * AmeriServe Financial, Inc. 50,766 277,182 AmerUs Group Co. 27,644 1,315,578 Anchor Bancorp Wisconsin, Inc. 60,417 1,668,718 * Arch Capital Group, Ltd. 5,900 263,435 * Argonaut Group, Inc. 74,701 1,564,239 Arrow Financial Corp. 10,239 276,453 ASB Financial Corp. 1,000 22,375 ASTA Funding, Inc. 1,900 53,048 * Atlantic American Corp. 21,100 63,722 Baldwin & Lyons, Inc. Class B 17,725 455,532 * Bancinsurance Corp. 5,700 29,640 * Bancshares of Florida, Inc. 100 1,600 Bank of Granite Corp. 16,400 297,824 Bank of The Ozarks, Inc. 42,900 1,356,498 BankAtlantic Bancorp, Inc. Class A 46,085 817,548 BankUnited Financial Corp. Class A 80,475 1,988,537 Banner Corp. 31,251 831,589 Bay View Capital Corp. 17,155 271,907 Beverly Hills Bancorp, Inc. 20,837 217,747 * BFC Financial Corp. 10,938 98,880 * BNS Holding, Inc. Class A 4,120 28,428 Boston Private Financial Holdings, Inc. 74,500 1,823,760 Bristol West Holdings, Inc. 700 12,110 Brookline Bancorp, Inc. 153,619 2,335,009 Bryn Mawr Bank Corp. 1,600 31,184 C&F Financial Corp. 300 12,000 California First National Bancorp 10,400 120,640 Camco Financial Corp. 7,516 108,456 Capital Corp. of the West 9,082 220,238
41 * Capital Crossing Bank 11,800 383,264 Capital Southwest Corp. 300 24,690 Capitol Bancorp, Ltd. 8,564 265,056 * Cardinal Financial Corp. 47,258 430,048 Cash America International, Inc. 79,300 1,363,960 # Cavalry Bancorp, Inc. 500 11,000 Center Bancorp, Inc. 1,984 23,635 Center Financial Corp. 27,190 581,050 Central Bancorp, Inc. 1,600 41,392 Central Pacific Financial Corp. 78,100 2,772,550 Century Bancorp, Inc. Class A 1,000 26,280 * Ceres Group, Inc. 89,695 513,952 CFS Bancorp, Inc. 23,720 310,969 Charter Financial Corp. 22,811 793,823 Chemical Financial Corp. 65,873 2,106,619 Chester Valley Bancorp, Inc. 603 14,951 Chittenden Corp. 125,253 3,287,891 Citizens Banking Corp. 112,417 3,257,845 * Citizens First Bancorp, Inc. 750 15,757 Citizens South Banking Corp. 17,229 217,602 * # Citizens, Inc. 97,286 563,286 City Holding Co. 44,692 1,509,696 Clark, Inc. 49,524 718,098 * CNA Surety Corp. 90,918 1,256,487 CoBiz, Inc. 12,825 230,593 Columbia Banking System, Inc. 41,987 1,032,880 Commercial Bancshares, Inc. 5,665 220,878 Commercial Capital Bancorp, Inc. 34,625 586,894 Commercial Federal Corp. 106,000 2,651,060 Commercial National Financial Corp. 3,200 68,000 Community Bank System, Inc. 79,500 1,852,350 Community Bankshares, Inc. 210 3,622 Community Trust Bancorp, Inc. 15,103 447,200 Community West Bancshares 5,500 66,990 * # CompuCredit Corp. 123,710 3,900,576 Consolidated-Tokoma Land Co. 6,100 468,175 * Consumer Portfolio Services, Inc. 3,300 14,520 Cooperative Bankshares, Inc. 2,100 39,060 Corus Bankshares, Inc. 75,044 3,851,258 Crawford & Co. Class A 27,300 195,468 Crawford & Co. Class B 25,300 182,666 * Credit Acceptance Corp. 95,699 1,350,313 CVB Financial Corp. 159,058 2,933,030 * # Danielson Holding Corp. 107,650 1,749,312 Delphi Financial Group, Inc. Class A 74,050 3,139,720 Delta Financial Corp. 54,700 495,035 Dime Community Bancshares 99,000 1,494,900 Donegal Group, Inc. Class A 14,221 262,520 Donegal Group, Inc. Class B 3,910 64,398 Downey Financial Corp. 17,976 1,348,560 EFC Bancorp, Inc. 4,600 124,200 * E-Loan, Inc. 165,700 472,245 EMC Insurance Group, Inc. 11,300 201,592 * Encore Capital Group, Inc. 58,100 892,416 * Epoch Holding Corp. 8,400 37,800
42 ESB Financial Corp. 11,762 156,671 * eSpeed, Inc. 84,500 724,165 * EZCORP, Inc. Class A Non-Voting 10,800 102,708 F.N.B. Corp. 146,320 2,718,626 FBL Financial Group, Inc. Class A 71,000 1,899,250 Federal Agriculture Mortgage Corporation 27,300 504,504 Fidelity Bankshares, Inc. 62,948 1,557,963 Fidelity Southern Corp. 8,800 142,736 Financial Federal Corp. 45,200 1,685,960 * Financial Industries Corp. 12,482 106,721 * Firebrand Financial Group, Inc. 9,100 637 * First Acceptance Corp. 112,100 1,003,295 First Albany Companies, Inc. 9,098 52,313 First Bancorp 9,315 194,683 * First Bank of Delaware 6,967 22,991 * First Cash Financial Services, Inc. 41,581 723,509 First Charter Corp. 77,808 1,715,666 First Citizens BancShares, Inc. 1,300 169,689 First Commonwealth Financial Corp. 180,951 2,417,505 First Community Bancorp 40,400 1,784,872 First Community Bancshares, Inc. 28,561 859,115 First Defiance Financial Corp. 6,859 183,410 First Federal Bancshares of Arkansas, Inc. 5,800 142,042 First Financial Bancorp 112,957 2,033,226 First Financial Bankshares, Inc. 15,395 639,508 First Financial Corp. 2,550 69,105 First Financial Holdings, Inc. 31,964 909,056 First Franklin Corp. 300 4,728 First Indiana Corp. 40,322 1,086,678 * First Investors Financial Services Group, Inc. 5,400 25,785 First Keystone Financial, Inc. 2,000 34,620 First M&F Corp. 2,100 69,961 * First Mariner Bancorp 4,900 81,683 First Merchants Corp. 47,508 1,181,524 First Midwest Bancorp, Inc. 7,375 255,839 First Mutual Bancshares, Inc. 5,013 123,821 First Niagara Financial Group, Inc. 269,404 3,507,640 First Oak Brook Bancshares, Inc. 3,150 86,908 First PacTrust Bancorp, Inc. 8,200 202,868 First Place Financial Corp. 38,858 765,114 First Republic Bank 65,425 2,098,834 First State Bancorporation 39,876 736,111 First United Corp. 3,500 70,840 Firstbank Corp. 2,976 75,907 FirstBank NW Corp. 2,928 76,567 * FirstCity Financial Corp. 28,500 370,500 * FirstFed Financial Corp. 42,900 2,324,322 Flag Financial Corp. 6,500 96,850 Flagstar Bancorp, Inc. 159,500 3,151,720 Flushing Financial Corp. 50,014 844,736 FMS Financial Corp. 3,300 57,865 FNB Corp. 2,700 49,950 FNB Financial Services Corp. 2,625 55,624 Foothill Independent Bancorp 8,193 168,627 * FPIC Insurance Group, Inc. 26,046 775,129
43 * Franklin Bank Corp. 34,744 594,122 Frontier Financial Corp. 7,100 176,790 Gabelli Asset Management, Inc. 18,800 820,620 Gateway Financial Holdings, Inc. 19,065 343,364 GB & T Bancshares, Inc. 875 18,865 Glacier Bancorp, Inc. 79,771 1,862,659 Gold Banc Corp. 63,565 882,918 Great American Financial Resources, Inc. 18,300 308,538 Great Southern Bancorp, Inc. 13,600 424,456 Greater Bay Bancorp 132,312 3,325,001 Greater Communications Bancorp 3,690 59,040 Greene County Bancshares, Inc. 1,900 54,625 * Grubb & Ellis Co. 14,900 89,400 Guaranty Bancshares, Inc. 3,000 61,230 Guaranty Federal Bancshares, Inc. 3,000 69,750 Hancock Holding Co. 84,429 2,732,122 Hanmi Financial Corp. 12,900 207,303 Harbor Florida Bancshares, Inc. 61,991 2,205,020 Harleysville Group, Inc. 78,302 1,590,314 Harleysville National Corp. 68,134 1,571,851 Heartland Financial USA, Inc. 5,779 114,309 Heritage Commerce Corp. 2,800 51,856 Heritage Financial Corp. 7,500 163,125 HF Financial Corp. 3,630 82,582 Hilb Rogal Hamilton Co. 93,300 3,180,597 HMN Financial, Inc. 4,400 132,594 Home Federal Bancorp 4,300 104,920 # Home Loan Financial Corp. 1,700 33,303 HopFed Bancorp, Inc. 2,100 33,642 Horace Mann Educators Corp. 111,338 2,026,352 Horizon Financial Corp. 25,674 516,047 IBERIABANK Corp. 19,853 1,168,151 ILX Resorts, Inc. 2,900 28,449 Independence Holding Co. 4,950 87,367 Independent Bank Corp. MA 39,823 1,112,256 Independent Bank Corp. MI 55,084 1,550,064 Infinity Property & Casualty Corp. 53,046 1,697,472 * Instinet Group, Inc. 33,471 176,727 Integra Bank Corp. 45,119 996,679 Interchange Financial Services Corp. 18,900 343,224 * Investment Technology Group, Inc. 109,100 2,153,634 Investors Title Co. 1,400 49,308 Irwin Financial Corp. 73,500 1,542,765 * ITLA Capital Corp. 5,800 288,956 * Jones Lang LaSalle, Inc. 83,100 3,524,271 * Kennedy-Wilson, Inc. 8,800 90,816 * KNBT Bancorp, Inc. 7,184 107,118 * Knight Capital Group, Inc. 286,123 2,160,229 * LaBranche & Co., Inc. 112,200 620,466 * Ladenburg Thalmann Financial Services, Inc. 26,069 15,902 Lakeland Bancorp, Inc. 13,119 199,671 LandAmerica Financial Group, Inc. 46,200 2,596,440 Leesport Financial Corp. 551 13,659 LNB Bancorp, Inc. 1,200 20,028 LSB Bancshares, Inc. 5,156 90,746
44 LSB Corp. 4,300 69,015 MAF Bancorp, Inc. 70,827 3,014,397 Main Street Banks, Inc. 55,524 1,464,168 MASSBANK Corp. 4,700 167,555 * Matrix Bancorp, Inc. 6,500 83,200 * Mays (J.W.), Inc. 200 3,208 MB Financial, Inc. 74,464 2,843,780 MBT Financial Corp. 44,861 857,742 MCG Capital Corp. 115,934 1,854,944 * Meadowbrook Insurance Group, Inc. 75,600 389,340 Medallion Finanacial Corp. 45,822 424,312 Mercantile Bank Corp. 1,260 51,471 * Mercer Insurance Group, Inc. 1,000 12,850 Merchants Bancshares, Inc. 6,150 162,852 Merchants Group, Inc. 1,300 32,630 Meta Financial Group, Inc. 2,400 50,640 * Metris Companies, Inc. 150,700 1,956,086 MetroCorp. Bancshares, Inc. 7,000 145,600 MFB Corp. 1,300 34,151 MicroFinancial, Inc. 15,200 59,128 Midland Co. 6,600 210,870 Mid-State Bancshares 60,403 1,616,988 Midwest Banc Holdings, Inc. 46,520 930,400 MutualFirst Financial, Inc. 2,000 43,920 Nara Bancorp, Inc. 60,711 843,276 National Penn Bancshares, Inc. 89,710 2,124,333 * National Western Life Insurance Co. Class A 1,000 183,375 * Navigators Group, Inc. 32,984 1,096,388 NBT Bancorp, Inc. 85,499 2,026,326 NetBank, Inc. 57,533 478,099 New Hampshire Thrift Bancshares, Inc. 400 6,460 NewMil Bancorp, Inc. 4,400 134,200 * Newtek Business Services, Inc. 89,188 230,997 North Central Bancshares, Inc. 1,700 65,858 Northeast Bancorp 900 19,728 Northrim BanCorp, Inc. 6,068 138,784 Northwest Bancorp, Inc. 131,309 2,613,049 NYMAGIC, Inc. 8,700 177,915 Oak Hill Financial, Inc. 3,000 77,790 OceanFirst Financial Corp. 33,880 728,420 * Ocwen Financial Corp. 162,434 1,174,398 Ohio Casualty Corp. 142,349 3,402,141 Old National Bancorp 96,100 1,905,663 Omega Financial Corp. 8,200 239,194 Pacific Capital Bancorp 118,247 3,996,749 * Pacific Mercantile Bancorp 5,900 83,284 * Pacific Premier Bancorp, Inc. 3,900 40,841 Pamrapo Bancorp, Inc. 5,100 111,690 Park Bancorp, Inc. 1,200 36,156 Parkvale Financial Corp. 5,700 158,460 Partners Trust Financial Group, Inc. 12,189 125,790 PAULA Financial 6,100 10,736 * Penn Treaty American Corp. 83,600 186,428 Pennfed Financial Services, Inc. 14,800 214,896 Penns Woods Bancorp, Inc. 770 37,391
45 Peoples Bancorp, Inc. 300 5,909 PFF Bancorp, Inc. 65,700 1,907,928 * Philadelphia Consolidated Holding Corp. 27,238 2,246,318 * Pinnacle Financial Partners, Inc. 20,760 463,778 * Piper Jaffray Companies, Inc. 53,800 1,520,926 * PMA Capital Corp. Class A 82,308 611,548 Pocahontas Bancorp, Inc. 4,400 61,600 * Premier Financial Bancorp 5,200 56,550 Presidential Life Corp. 75,392 1,142,189 * ProAssurance Corp. 75,850 2,967,252 ProCentury Corp. 1,200 12,240 Prosperity Bancshares, Inc. 71,425 1,937,046 Provident Bancorp, Inc. 90,549 1,060,329 Provident Bankshares Corp. 86,093 2,723,983 Provident Financial Holdings, Inc. 8,325 231,601 Provident Financial Services, Inc. 16,553 294,312 Pulaski Financial Corp. 5,400 120,366 Rainier Pacific Financial Group, Inc. 2,000 34,180 Renasant Corp. 2,490 75,746 Republic Bancorp, Inc. 183,071 2,527,295 Republic Bancorp, Inc. Class A 15,986 364,801 * Republic First Bancorp, Inc. 7,803 103,936 * Rewards Network, Inc. 63,600 324,996 Riverview Bancorp, Inc. 4,500 96,750 RLI Corp. 66,000 2,886,840 Royal Bancshares of Pennsylvania, Inc. Class A 4,518 106,625 * RTW, Inc. 5,150 49,955 S&T Bancorp, Inc. 68,981 2,424,682 Sanders Morris Harris Group, Inc. 54,739 894,983 Sandy Spring Bancorp, Inc. 38,050 1,263,260 * SCPIE Holdings, Inc. 9,300 104,346 Seacoast Banking Corp. of Florida 40,153 813,901 Selective Insurance Group, Inc. 71,361 3,434,605 * Siebert Financial Corp. 22,300 65,785 Sierra Bancorp 1,700 38,733 Simmons First National Corp. Class A 36,427 893,919 Sound Federal Bancorp, Inc. 30,784 490,081 Southern Banc Co., Inc. 200 3,035 Southside Banchares, Inc. 348 6,835 Southwest Bancorp, Inc. 31,700 573,770 * Standard Management Corp. 7,600 13,680 State Auto Financial Corp. 103,912 2,805,624 State Financial Services Corp. Class A 7,800 309,660 Sterling Bancorp 47,351 1,001,474 Sterling Bancshares, Inc. 116,799 1,588,466 * Sterling Financial Corp. 59,270 2,095,194 Stewart Information Services Corp. 47,100 1,848,675 * Stifel Financial Corp. 25,200 532,224 * Stratus Properties, Inc. 7,050 117,594 Suffolk Bancorp 8,600 269,524 Summit Bancshares, Inc. 4,000 70,560 Summit Bank Corp. 2,520 35,305 * Sun Bancorp, Inc. 45,666 947,113 * Superior Essex, Inc. 21,408 359,012 Susquehanna Bancshares, Inc. 116,691 2,655,887
46 * SVB Financial Group 71,258 3,403,282 SWS Group, Inc. 34,518 547,110 Teche Holding Co. 700 25,305 * Tejon Ranch Co. 13,900 721,410 Texas Regional Banchshares, Inc. Class A 82,660 2,379,781 Texas United Bancshares, Inc. 100 1,739 TF Financial Corp. 2,600 75,400 * Thackeray Corp. 4,100 0 * Thackeray Corp. Escrow Shares 4,100 820 * The Banc Corp. 45,200 474,600 The Colonial BancGroup, Inc. 8,500 189,465 # The Phoenix Companies, Inc. 246,900 2,839,350 * The Washtenaw Group, Inc. 1,500 1,875 TierOne Corp. 47,512 1,146,227 Timberland Bancorp, Inc. 3,900 89,739 Tompkins County Trustco, Inc. 399 16,479 * Tradestation Group, Inc. 108,600 800,382 * Trammell Crow Co. 91,400 2,061,070 * Triad Guaranty, Inc. 36,814 1,995,319 Trico Bancshares 9,900 201,960 TrustCo Bank Corp. NY 194,804 2,425,310 UICI 118,900 2,990,335 UMB Financial Corp. 56,265 3,133,960 Umpqua Holdings Corp. 110,236 2,569,601 * Unico American Corp. 5,500 50,325 Union Bankshares Corp. 170 6,164 Union Community Bancorp 2,300 37,904 * United America Idemnity, Ltd. 24,043 409,933 United Bankshares, Inc. 86,576 2,895,967 United Community Banks, Inc. 96,391 2,407,847 United Community Financial Corp. 78,072 820,537 United Financial Corp. 660 16,153 * United Financial Mortgage Corp. 10,400 45,032 United Fire & Casualty Co. 12,400 488,188 * United PanAm Financial Corp. 600 14,292 # United Security Bancshares 2,000 51,592 Unity Bancorp, Inc. 5,733 70,229 * Universal American Financial Corp. 143,652 2,720,769 Unizan Financial Corp. 33,197 846,192 * USA Mobility, Inc. 42,300 1,119,258 USB Holding Co., Inc. 17,953 379,367 Vail Banks, Inc. 1,300 18,200 Vesta Insurance Group, Inc. 93,800 236,376 * Virginia Commerce Bancorp, Inc. 625 13,962 Washington Banking Co. 6,240 89,232 Washington Savings Bank, FSB 2,400 20,784 Washington Trust Bancorp, Inc. 33,863 954,598 Wesbanco, Inc. 57,861 1,710,950 West Bancorporation 35,716 636,102 West Coast Bancorp 38,629 840,567 Westamerica Bancorporation 3,713 195,489 Westbank Corp. 4,740 79,822 * Western Sierra Bancorp 1,575 53,723 Westwood Holdings Group, Inc. 6,479 109,430 Willow Grove Bancorp, Inc. 23,951 365,157
47 * Wilshire Enterprises, Inc. 7,107 53,302 Wintrust Financial Corp. 56,019 2,804,871 * World Acceptance Corp. 49,409 1,287,104 Yardville National Bancorp 16,400 556,124 Zenith National Insurance Corp. 18,600 1,178,310 ---------------- Total Financials (Cost $256,684,688) 315,527,466 ---------------- Energy -- (5.3%) * Abraxas Petroleum Corp. 4,100 11,234 Adams Resources & Energy, Inc. 4,200 70,770 * Atlas America, Inc. 400 12,504 * ATP Oil & Gas Corp. 72,000 1,518,480 * Atwood Oceanics, Inc. 41,000 2,348,890 Barnwell Industries, Inc. 800 49,000 Berry Petroleum Corp. Class A 54,700 2,601,532 * Bolt Technology Corp. 5,400 31,590 * # BPZ Energy, Inc. 544 2,502 * Brigham Exploration Co. 114,213 966,242 Cabot Oil & Gas Corp. 69,750 2,186,662 * Cal Dive International, Inc. 64,586 2,932,204 * Callon Petroleum Co. 45,762 647,532 CARBO Ceramics, Inc. 43,100 3,087,684 * Carrizo Oil & Gas, Inc. 18,600 280,488 Castle Energy Corp. 14,300 185,900 * # Cimarex Energy Co. 14,004 526,971 * Clayton Williams Energy, Inc. 9,200 251,344 * Comstock Resources, Inc. 105,900 2,416,638 * Contango Oil & Gas Co. 1,300 10,322 * Dawson Geophysical Co. 5,400 112,320 * Delta Petroleum Corp. 105,718 1,207,300 * Denbury Resources, Inc. 106,100 3,393,078 * Dril-Quip, Inc. 46,700 1,277,245 * Edge Petroleum Corp. 44,413 605,349 * Encore Acquisition Co. 84,800 3,163,040 * Endeavour International Corp. 213,700 703,073 * Energy Partners, Ltd. 93,300 2,131,905 Frontier Oil Corp. 70,100 3,428,591 * # FX Energy, Inc. 19,400 180,808 * Gasco Energy, Inc. 9,700 30,652 * Giant Industries, Inc. 34,700 999,707 * Goodrich Petroleum Corp. 54,700 968,737 * Grey Wolf, Inc. 496,000 3,258,720 * # GSV, Inc. 1,800 468 Gulf Island Fabrication, Inc. 31,577 634,698 * Gulfmark Offshore, Inc. 52,114 1,305,977 * Hanover Compressor Co. 225,100 2,347,793 * Harvest Natural Resources, Inc. 97,700 1,059,068 Holly Corp. 37,200 1,422,156 * # Horizon Offshore, Inc. 48,983 15,430 * Houston Exploration Co. 49,997 2,548,347 * Hydril Co. 47,500 2,465,725 * # Infinity, Inc. 27,998 230,983 * Input/Output, Inc. 204,500 1,212,685 * KCS Energy, Inc. 128,500 1,805,425
48 * Key Energy Group, Inc. 249,200 2,738,708 * # KFX, Inc. 169,800 2,236,266 * Lone Star Technologies, Inc. 75,500 3,129,475 Lufkin Industries, Inc. 12,800 369,024 * Magnum Hunter Resources, Inc. 216,302 3,344,029 Maritrans, Inc. 7,800 186,342 MarkWest Hydrocarbon, Inc. 10,285 224,624 * # Matrix Service Co. 45,000 185,850 * Maverick Tube Corp. 111,200 3,359,352 * # McMoran Exploration Co. 63,464 1,174,719 * Meridian Resource Corp. 206,000 933,180 * Mission Resources Corp. 106,500 752,955 * Mitcham Industries, Inc. 22,300 156,546 * NATCO Group, Inc. Class A 25,100 270,076 * Natural Gas Services Group 300 3,087 * Newpark Resources, Inc. 218,300 1,331,630 * NS Group, Inc. 57,700 1,662,914 * Oceaneering International, Inc. 66,700 2,434,550 * Offshore Logistics, Inc. 60,500 1,894,860 * Oil States International, Inc. 128,831 2,983,726 * # OMNI Energy Services Corp. 29,200 47,596 Overseas Shipholding Group, Inc. 18,725 1,144,097 * Parallel Petroleum Corp. 81,100 552,291 * Parker Drilling Co. 246,600 1,405,620 Penn Virginia Corp. 47,800 1,972,706 * Petrohawk Energy Corp. 11,800 103,132 * Petroleum Development Corp. 43,033 1,124,452 * Pioneer Drilling Co. 1,500 20,985 Range Resources Corp. 164,500 3,799,950 * Remington Oil & Gas Corp. 72,200 2,238,200 * Rentech, Inc. 57,800 85,544 Resource America, Inc. 45,153 1,534,299 * Royale Energy, Inc. 4,509 24,619 RPC, Inc. 42,900 633,633 * Seabulk International, Inc. 46,800 917,748 * SEACOR Holdings, Inc. 49,400 2,868,164 * Spinnaker Exploration Co. 88,190 2,704,787 St. Mary Land & Exploration Co. 175,600 4,569,112 * Stone Energy Corp. 69,363 2,984,690 * Superior Energy Services, Inc. 199,200 3,117,480 * Swift Energy Corp. 72,900 2,489,535 * Syntroleum Corp. 138,726 1,202,754 * T-3 Energy Services, Inc. 1,250 8,875 * # Tel Offshore Trust 3,145 22,864 Tesoro Petroleum Corp. 43,595 1,900,742 * # Teton Petroleum Co. 20,400 71,400 * TETRA Technologies, Inc. 58,200 1,606,320 * Tipperary Corp. 17,900 83,593 * # Torch Offshore, Inc. 18,300 2,242 * Toreador Resources Corp. 4,900 105,252 * TransMontaigne, Inc. 108,100 895,068 * # Tri-Valley Corp. 57,800 690,132 * # U.S. Energy Corp. Wyoming 11,500 46,230 * Universal Compression Holdings, Inc. 82,249 2,812,916 USEC, Inc. 221,431 3,022,533
49 * Veritas DGC, Inc. 88,000 2,376,000 * Westmoreland Coal Co. 21,300 457,524 * W-H Energy Services, Inc. 72,100 1,562,407 * Whiting Petroleum Corp. 7,660 264,883 World Fuel Services Corp. 59,300 1,562,555 ---------------- Total Energy (Cost $94,571,902) 139,052,612 ---------------- Materials -- (5.0%) * AEP Industries, Inc. 13,000 223,990 * AK Steel Holding Corp. 285,400 2,183,310 Albemarle Corp. 78,881 3,000,633 * Aleris International, Inc. 77,684 1,850,433 AMCOL International Corp. 78,200 1,517,080 * American Pacific Corp. 7,100 57,510 American Vanguard Corp. 2,642 47,292 Applied Extrusion Technologies, Inc. 50 0 Arch Chemicals, Inc. 60,122 1,417,076 Atlantis Plastics, Inc. 4,400 27,324 * Badger Paper Mills, Inc. 1,000 3,340 Bairnco Corp. 7,300 81,541 Balchem Corp. 7,050 195,285 * Brush Engineered Materials, Inc. 51,900 735,942 * Buckeye Technologies, Inc. 101,083 835,956 Calgon Carbon Corp. 102,600 914,166 Cambrex Corp. 72,600 1,314,060 * Canyon Resources Corp. 63,900 47,286 * Caraustar Industries, Inc. 76,066 798,693 Carpenter Technology Corp. 59,900 3,234,600 * Castle (A.M.) & Co. 15,437 215,964 * Century Aluminum Co. 86,490 1,938,241 Chesapeake Corp. 50,702 1,058,151 Cleveland-Cliffs, Inc. 54,000 3,166,020 * Coeur d'Alene Mines Corp. 643,300 2,142,189 Commercial Metals Co. 90,000 2,354,400 Compass Minerals International, Inc. 21,900 493,407 * Constar International, Inc. 20,900 66,880 * # Continental Materials Corp. 200 6,238 * # Core Molding Technologies, Inc. 7,700 72,380 CPAC, Inc. 5,120 25,549 Crompton Corp. 286,900 4,403,915 Deltic Timber Corp. 32,871 1,272,108 * Detrex Corp. 500 2,338 * Devcon International Corp. 3,600 42,300 Eagle Materials, Inc. 22,200 1,946,274 Eagle Materials, Inc. Class B 21,600 1,837,080 * Eden Bioscience Corp. 6,200 3,720 * Environmental Technologies Corp. 3,700 2 Ferro Corp. 108,900 2,095,236 Flamemaster Corp. 189 803 Friedman Industries, Inc. 6,158 47,355 Fuller (H.B.) Co. 73,609 2,384,932 Georgia Gulf Corp. 85,000 2,701,300 Gibraltar Industries, Inc. 63,004 1,232,358 Glatfelter (P.H.) Co. 114,100 1,277,920
50 * Graphic Packaging Corp. 317,600 1,191,000 Great Lakes Chemical Corp. 132,800 4,501,920 Hawkins, Inc. 10,200 125,460 * Headwaters, Inc. 103,800 3,433,704 * Hecla Mining Co. 307,600 1,378,048 * Hercules, Inc. 208,900 2,886,998 * ICO, Inc. 14,320 33,509 * Impreso, Inc. 5,300 5,671 * Keystone Consolidated Industries, Inc. 2,100 357 Kronos Worldwide, Inc. 688 21,741 * Landec Corp. 61,790 370,122 * Lesco, Inc. 18,300 247,050 * # Liquidmetal Technologies, Inc. 68,495 106,852 Longview Fibre Co. 131,900 2,634,043 MacDermid, Inc. 78,800 2,293,868 * Material Sciences Corp. 37,500 457,500 * Maxxam, Inc. 8,900 206,925 Metal Management, Inc. 62,800 1,153,636 * Metals USA, Inc. 52,480 1,111,002 Minerals Technologies, Inc. 53,100 3,573,630 * Mines Management, Inc. 900 5,139 * Mod-Pac Corp. 2,750 43,860 * Mod-Pac Corp. Class B 1,112 16,458 Myers Industries, Inc. 89,419 997,022 * # Nanophase Technologies Corp. 46,498 303,167 Nevada Chemicals, Inc. 2,500 16,750 * NewMarket Corp. 43,500 591,165 Niagara Corp. 8,200 70,110 * NL Industries, Inc. 126,576 1,923,955 NN, Inc. 43,875 556,774 Northern Technologies International Corp. 3,000 14,700 * Northwest Pipe Co. 6,300 139,608 Olin Corp. 170,252 3,195,630 * # Olympic Steel, Inc. 25,900 406,630 * OM Group, Inc. 72,900 1,837,080 * OMNOVA Solutions, Inc. 14,000 56,840 * Oregon Steel Mills, Inc. 91,800 1,621,188 Packaging Dynamics Corp. 4,120 58,092 Penford Corp. 7,300 113,077 * PolyOne Corp. 170,800 1,147,776 Pope & Talbot, Inc. 44,800 494,144 Potlatch Corp. 75,300 3,892,257 Quaker Chemical Corp. 27,020 478,254 Quanex Corp. 65,250 3,385,823 Reliance Steel & Aluminum Co. 82,457 3,173,770 Roanoke Electric Steel Corp. 9,900 198,495 Rock of Ages Corp. 4,400 26,708 Rock-Tenn Co. Class A 89,500 1,030,145 Royal Gold, Inc. 54,235 951,824 * RTI International Metals, Inc. 56,400 1,544,796 # Ryerson Tull, Inc. 65,000 989,300 Schnitzer Steel Industries, Inc. Class A 62,351 1,441,555 Schulman (A.), Inc. 78,955 1,291,704 Schweitzer-Maudoit International, Inc. 38,600 1,156,842 Sensient Technologies Corp. 122,400 2,490,840
51 Silgan Holdings, Inc. 47,913 2,731,041 * Southwall Technologies, Inc. 14,200 19,028 Spartech Corp. 83,600 1,691,228 Steel Dynamics, Inc. 36,058 969,600 Steel Technologies, Inc. 33,450 669,000 Stepan Co. 8,400 178,164 * Stillwater Mining Co. 234,900 1,585,575 Summa Industries, Inc. 5,200 40,040 * Symyx Technologies, Inc. 84,600 2,155,608 * Synalloy Corp. 5,900 68,145 * Terra Industries, Inc. 241,800 1,535,430 Texas Industries, Inc. 57,800 2,659,956 * # Titanium Metals Corp. 15,850 674,259 * # U.S. Aggregates, Inc. 1,600 4 * U.S. Concrete, Inc. 74,600 456,552 * UFP Technologies, Inc. 3,800 11,780 * Universal Stainless & Alloy Products, Inc. 6,000 75,300 Valhi, Inc. 10,040 186,142 Vulcan International Corp. 700 34,370 Wausau-Mosinee Paper Corp. 134,036 1,675,450 * Webco Industries, Inc. 6,000 34,500 Wellman, Inc. 70,400 791,296 * Williams Industries, Inc. 1,200 4,183 Worthington Industries, Inc. 28,229 473,118 * # Zoltek Companies, Inc. 44,000 438,240 ---------------- Total Materials (Cost $114,062,666) 129,825,100 ---------------- Consumer Staples -- (3.5%) * # Advanced Nutraceuticals, Inc. 700 2,975 * Alico, Inc. 7,000 360,500 Alliance One International, Inc. 209,216 1,341,075 # American Italian Pasta Co. 47,300 1,088,373 * Atlantic Premium Brands, Ltd. 2,000 2,300 * Boston Beer Co., Inc. Class A 26,200 553,082 * Bridgford Foods Corp. 10,400 80,704 * Cagle's, Inc. Class A 2,000 19,200 Calavo Growers, Inc. 26,043 270,665 Cal-Maine Foods, Inc. 55,600 360,844 * Carrington Laboratories, Inc. 9,800 36,456 Casey's General Stores, Inc. 129,310 2,332,752 CCA Industries, Inc. 18,266 183,573 * Central European Distribution Corp. 44,327 1,478,305 * Central Garden & Pet Co. 51,700 2,292,895 * Chattem, Inc. 53,600 2,299,440 Chiquita Brands International, Inc. 106,496 3,096,904 Coca-Cola Bottling Co. Consolidated 6,000 291,000 Corn Products International, Inc. 38,600 852,674 * Cruzan International, Inc. 4,600 64,170 * Darling International, Inc. 168,600 627,192 Delta & Pine Land Co. 100,600 2,716,200 * Elizabeth Arden, Inc. 74,300 1,561,786 Farmer Brothers Co. 19,000 456,000 * # Female Health Co. 9,300 16,740 Flowers Foods, Inc. 112,425 3,670,676
52 * Foodarama Supermarkets, Inc. 1,100 34,100 * Fresh Brands, Inc. 5,100 34,374 * Galaxy Nutritional Foods, Inc. 11,500 23,000 * Gardenburger, Inc. 4,000 320 * Genesee Corp. Class B 200 415 * Glacier Water Services, Inc. 3,600 80,280 Golden Enterprises, Inc. 11,800 43,660 * # Great Atlantic & Pacific Tea Co., Inc. 100,400 2,502,972 * Green Mountain Coffee, Inc. 17,830 593,204 * Griffin Land & Nurseries, Inc. Class A 2,200 52,800 * Hain Celestial Group, Inc. 94,095 1,693,710 * Hines Horticulture, Inc. 22,000 78,100 Imperial Sugar Co. (NEW) 26,520 408,408 Ingles Market, Inc. Class A 26,180 330,915 * # Integrated Biopharma, Inc. 32,800 145,960 # Inter Parfums, Inc. 19,398 344,314 * # Interstate Bakeries Corp. 81,300 531,702 J & J Snack Foods Corp. 23,489 1,159,417 * Katy Industries, Inc. 8,300 28,967 Lance, Inc. 76,900 1,359,592 Longs Drug Stores Corp. 98,000 4,021,920 * M&F Worldwide Corp. 46,100 589,619 # Mannatech, Inc. 13,500 217,485 Marsh Supermarkets, Inc. Class A 1,600 18,000 Marsh Supermarkets, Inc. Class B 4,500 56,925 * Maui Land & Pineapple Co., Inc. 10,200 421,362 * # Medifast, Inc. 28,600 87,802 MGP Ingredients, Inc. 41,855 349,908 * Monterey Pasta Co. 32,100 96,942 Nash Finch Co. 32,440 1,154,215 * National Beverage Corp. 36,200 296,840 * Natrol, Inc. 10,000 28,000 * Natural Alternatives International, Inc. 5,400 40,824 Nature's Sunshine Products, Inc. 39,184 645,360 * # NeighborCare, Inc. 73,800 2,214,738 Northland Cranberries, Inc. 100 34 Nu Skin Enterprises, Inc. Class A 125,000 2,823,750 Oil-Dri Corp. of America 4,200 71,820 * Omega Protein Corp. 62,300 442,330 * # Parlux Fragrances, Inc. 23,623 590,103 * Pathmark Stores, Inc. 78,179 699,702 * Peet's Coffee & Tea, Inc. 34,739 986,240 * Performance Food Group Co. 117,187 3,171,080 * Pizza Inn, Inc. 10,000 26,500 * Playtex Products, Inc. 159,200 1,716,176 * PriceSmart, Inc. 47,000 329,000 Pyramid Breweries, Inc. 5,700 10,768 Ralcorp Holdings, Inc. 76,700 2,925,338 * Redhook Ale Brewery, Inc. 9,300 28,365 # Reliv International, Inc. 43,122 452,781 * Revlon, Inc. 881,100 2,616,867 Rocky Mountain Chocolate Factory, Inc. 4,216 99,329 Ruddick Corp. 122,500 2,943,675 * San Filippo (John B.) & Son, Inc. 19,893 420,737 Sanderson Farms, Inc. 51,900 1,967,010
53 * Scheid Vineyards, Inc. 2,200 12,760 Seaboard Corp. 1,400 1,883,000 * Seneca Foods Corp. Class A 200 3,240 * Seneca Foods Corp. Class B 1,300 21,482 * Smart & Final Food, Inc. 79,600 863,660 * Spartan Stores, Inc. 52,475 676,927 * Spectrum Brands, Inc. 84,300 3,116,571 * # Star Scientific, Inc. 196,495 1,139,671 Stephan Co. 3,500 15,575 Tasty Baking Co. 18,900 151,200 The Topps Co., Inc. 105,148 979,979 * Tofutti Brands, Inc. 6,900 21,735 * United Natural Foods, Inc. 106,213 3,445,550 United-Guardian, Inc. 1,900 14,402 Universal Corp. 66,500 2,952,600 * # USANA Health Services, Inc. 49,660 2,180,074 # Vector Group, Ltd. 108,624 1,862,902 * Vermont Pure Holdings, Ltd. 17,300 31,486 WD-40 Co. 42,189 1,222,637 * Weider Nutrition International, Inc. 10,500 42,840 Weis Markets, Inc. 70,307 2,583,079 * Wild Oats Markets, Inc. 74,269 834,784 * # Winn-Dixie Stores, Inc. 331,700 348,285 ---------------- Total Consumer Staples (Cost $73,256,010) 92,468,675 ---------------- Utilities -- (2.5%) ALLETE, Inc. 80,100 3,844,800 American States Water Co. 43,450 1,215,731 * Aquila, Inc. 628,500 2,350,590 Artesian Resources Corp. Class A 1,815 58,570 Avista Corp. 129,500 2,283,085 * BayCorp Holdings, Ltd. 484 6,703 BIW, Ltd. 800 14,560 Black Hills Corp. 87,659 3,210,073 California Water Service Group 48,500 1,749,880 * # Calpine Corp. 32,730 97,535 Cascade Natural Gas Corp. 30,000 576,600 Central Vermont Public Service Corp. 32,800 688,800 CH Energy Group, Inc. 42,600 1,925,520 Chesapeake Utilities Corp. 14,100 406,362 Cleco Corp. 133,300 2,784,637 * CMS Energy Corp. 19,075 252,362 Connecticut Water Services, Inc. 7,600 190,152 Delta Natural Gas Co., Inc. 7,320 188,270 # Duquesne Light Holdings, Inc. 185,600 3,531,968 * Dynegy, Inc. 63,200 293,880 * El Paso Electric Co. 123,200 2,472,624 Empire District Electric Co. 67,600 1,553,448 * Energy West, Inc. 3,900 31,980 EnergySouth, Inc. 19,603 527,713 * Environmental Power Corp. 6,200 30,380 Florida Public Utilities Co. 3,866 68,428 Green Mountain Power Corp. 12,500 365,250 IDACORP, Inc. 108,400 3,069,888
54 Laclede Group, Inc. 54,700 1,635,530 Maine & Maritimes Corp. 1,600 42,800 MGE Energy, Inc. 52,727 1,898,172 Middlesex Water Co. 8,400 162,456 New Jersey Resources Corp. 69,600 3,138,960 Northwest Natural Gas Co. 71,300 2,581,060 NorthWestern Corp. 18,564 537,985 Otter Tail Corp. 75,260 1,916,120 Piedmont Natural Gas Co. 64,600 1,580,116 PNM Resources, Inc. 116,000 3,380,240 RGC Resources, Inc. 3,564 96,014 SEMCO Energy, Inc. 73,900 404,972 * # Sierra Pacific Resources 305,100 3,645,945 SJW Corp. 9,000 379,800 South Jersey Industries, Inc. 35,864 2,033,489 * Southern Union Co. 1 17 Southwest Gas Corp. 96,700 2,415,566 Southwest Water Co. 50,169 533,798 UIL Holdings Corp. 38,100 1,975,104 Unisource Energy Corp. 67,080 1,929,892 Unitil Corp. 4,700 127,511 WGL Holdings, Inc. 14,000 455,560 ---------------- Total Utilities (Cost $52,099,958) 64,660,896 ---------------- Telecommunication Services -- (1.0%) * @Road, Inc. 148,000 408,480 Alaska Communications Systems Group, Inc. 26,700 252,849 * Boston Communications Group, Inc. 46,100 64,079 * # Broadwing Corp. 106,624 522,458 * Centennial Communications Corp. 156,896 2,053,769 * Cincinnati Bell, Inc. 641,000 2,531,950 * # Cogent Communications Group, Inc. 1,735 39,922 * Commonwealth Telephone Enterprises, Inc. 56,600 2,957,350 * Covista Communications, Inc. 3,000 2,640 CT Communications, Inc. 48,760 589,996 D&E Communications, Inc. 37,074 299,929 * General Communications, Inc. Class A 140,981 1,161,683 * GoAmerica, Inc. 56 390 Hector Communications Corp. 3,500 80,500 Hickory Tech Corp. 13,900 126,212 * IDT Corp. 45,278 610,800 * IDT Corp. Class B 194,300 2,661,910 * LCC International, Inc. Class A 51,841 185,072 * Lynch Interactive Corp. 2,800 74,200 * Metro One Telecommunications, Inc. 36,450 34,263 * # Network Plus Corp. 14,500 13 North Pittsburgh Systems, Inc. 39,006 731,753 * Pac-West Telecomm, Inc. 23,100 24,024 * Premiere Global Services, Inc. 183,937 2,069,291 * Price Communications Corp. 145,170 2,495,472 * # Primus Telecommunications Group, Inc. 166,257 149,631 * Rural Cellular Corp. Class A 4,800 23,136 * SBA Communications Corp. 101,800 1,138,124 * Shared Technologies Cellular, Inc. 10,100 15
55 * SunCom Wireless Holdings, Inc. 149,100 313,110 SureWest Communications 37,312 888,026 * TALK America Holdings, Inc. 67,609 601,044 * Teleglobe International Holdings, Ltd. 11,300 26,894 * Time Warner Telecom, Inc. 124,187 633,354 * UbiquiTel, Inc. 237,390 1,642,739 * # US LEC Corp. 76,386 190,965 Warwick Valley Telephone Co. 300 7,500 * Wireless Facilities, Inc. 177,751 915,418 * WQN, Inc. 1,500 2,955 * Xeta Corp. 10,300 32,960 ---------------- Total Telecommunication Services (Cost $28,906,932) 26,544,876 ---------------- Real Estate Investment Trusts -- (0.0%) Saxon Capital, Inc. 16,400 277,652 ---------------- (Cost $181,384) Other -- (0.0%) * Big 4 Ranch, Inc. 3,200 0 * Breed Technologies, Inc. 36,800 515 * Bush Industries, Inc. Escrow 700 16 * Career Blazers, Inc. Trust Units 800 0 * Celebrity, Inc. Escrow Shares 1,300 0 * Convergence Systems, Inc. 1 0 * Denali, Inc. 4,300 0 * DLB Oil & Gas, Inc. 1,300 0 * ePresence, Inc. Escrow Shares 25,100 3,263 * # EquiMed, Inc. Nevis 2,250 0 * Hoenig Group Escrow Shares 7,900 0 * iGo Escrow Share 4,100 0 * Imperial Sugar Co. 14,551 0 * Noel Group, Inc. 8,000 120 * # Nucentrix Broadband Networks, Inc. Escrow Shares 10,400 0 * Petrocorp, Inc. Escrow Shares 6,900 414 * Source Media, Inc. 27,400 0 * Starbiz Restrictive Shares 2 0 * StorageNetworks, Inc. Escrow Shares 60,800 1,648 * Suburban Lodges of America, Inc. Escrow Shares 18,500 0 Swisher International, Inc. 700 3,378 * # Trenwick Group, Ltd. 11,975 60 * Trump Entertainment Resorts, Inc. 23 309 * VLPS Lighting Services International, Inc. Escrow Shares 4,800 392 * Wireless WebConnect!, Inc. 2,500 28 ---------------- Total Other (Cost $1,548,194) 10,143 ---------------- TOTAL COMMON STOCKS (Cost $2,246,919,126) 2,480,887,153 ---------------- RIGHTS/WARRANTS -- (0.0%) Other -- (0.0%) * American Banknote Corp. Warrants Series 1 10/01/07 30 0 * American Banknote Corp. Warrants Series 2 10/01/07 30 0
56 * # Angeion Corp. Warrants 10/31/20 215 0 * Aura Systems, Inc. Warrants 05/31/05 1,262 0 * Chart Industries, Inc. Warrants 09/15/10 24 612 * Chiquita Brands International, Inc. Warrants 03/19/09 9,947 108,522 * CSF Holding, Inc. Litigation Rights 3,250 0 * Del Global Technologies Corp. Warrants 03/28/08 971 1,456 * # Foster Wheelers, Ltd. Warrants 09/24/07 40,600 0 * Imperial Credit Industries, Inc. Warrants 01/31/08 22 0 * Imperial Sugar Co. Warrants 08/29/08 498 348 * Milltope Group, Inc. Contigent Value Rights 5,800 0 * Optical Cable Corp. Warrants 10/24/07 2,823 0 * # OSI Pharmaceuticals, Inc. Contingent Value Rights 4,829 435 * PDS Gaming Corp. 1,100 1,650 PMR Corp. Contingent Value Rights 7,300 0 * # RCN Corp. Warrants 12/21/06 60 0 * Timco Aviation Services, Inc. Warrants 02/27/07 6,696 1 * Trico Marine Services, Inc. Warrants 03/15/08 Series B 744 1,183 * Trico Marine Services, Inc. Warrants 03/15/10 Series A 744 2,976 * Trump Entertainment Resorts, Inc. Warrants 05/23/06 2,634 0 * Virologic, Inc. Contingent Value Rights 102,461 17,931 ---------------- Total Other (Cost $970,937) 135,114 ---------------- Consumer Discretionary -- (0.0%) * Lodgian, Inc. Class A Warrants 11/25/07 188 6 * Lodgian, Inc. Class B Warrants 11/25/09 582 12 ---------------- Total Consumer Discretionary (Cost $0) 18 ---------------- Consumer Staples -- (0.0%) * Cruzan International, Inc. Rights 06/21/05 920 0 ---------------- (Cost $0) TOTAL RIGHTS/WARRANTS (Cost $970,937) 135,132 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) BONDS -- (0.0%) Other -- (0.0%) * Del Global Technologies Corp. Subordinated Promissory Note 6.000%, 03/28/07 2 0 * Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 4 0 ---------------- Total Other (Cost $0) 0 ---------------- TOTAL BONDS (Cost $0) 0 ---------------- TEMPORARY CASH INVESTMENTS -- (5.2%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05 (Collateralized by $189,895,000 U.S. STRIPS 9.875%, 11/15/15, valued at $122,070,194) to be repurchased at $119,685,348 (Cost $119,675,641) 119,676 119,675,641 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $17,915,000 FHLMC Notes 4.00%, 09/22/09, valued at $17,937,394) to be repurchased at $17,673,419 (Cost $17,672,000) 17,672 17,672,000 ---------------- 137,347,641 ----------------
57 TOTAL TEMPORARY CASH INVESTMENTS (Cost $137,347,641) 137,347,641 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $2,385,237,704) $ 2,618,369,926 ================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 58 THE DFA INTERNATIONAL VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- UNITED KINGDOM -- (15.5%) COMMON STOCKS -- (15.5%) Amvescap P.L.C. 314,493 $ 1,844,950 Anglo America P.L.C. 2,159,787 51,459,160 Arriva P.L.C. 231,050 2,234,545 Associated British Foods P.L.C. 1,004,913 14,609,875 Associated British Ports Holdings P.L.C. 378,800 3,358,760 Aviva P.L.C. 2,630,567 29,431,339 AWG P.L.C. 76,018 1,236,854 BAA P.L.C. 1,632,557 18,467,632 BAE Systems P.L.C. 4,006,840 19,626,679 Barratt Developments P.L.C. 338,959 4,070,681 BBA Group P.L.C. 680,050 3,715,025 Bellway P.L.C. 38,000 588,284 Bovis Homes Group P.L.C. 132,000 1,640,865 BPB P.L.C. 458,500 4,271,338 Bradford & Bingley P.L.C. 273,288 1,531,177 Britannic P.L.C. 278,864 2,588,193 * British Airways P.L.C. 1,839,331 9,162,247 British Land Co. P.L.C. 874,751 13,839,395 British Vita P.L.C. 286,388 1,859,262 Brixton P.L.C. 359,333 2,403,207 Cable and Wireless P.L.C. 3,547,491 8,639,378 Carnival P.L.C. 157,273 8,610,132 * Colt Telecom Group P.L.C. 698,726 659,832 * Corus Group P.L.C. 6,312,988 5,208,408 Derwent Valley Holdings P.L.C. 49,351 1,029,762 Dixons Group P.L.C. 2,098,938 5,758,646 * Easyjet P.L.C. 294,025 1,204,320 FKI P.L.C. 856,795 1,503,534 Friends Provident P.L.C. 2,272,618 7,211,098 Great Portland Estates P.L.C. 239,324 1,566,808 Greene King P.L.C. 105,263 2,357,020 Hammerson P.L.C. 468,800 7,732,596 Hanson P.L.C. 963,671 8,887,742 HBOS P.L.C. 14,935 217,236 * Henderson Group P.L.C. 404,000 456,831 Hilton Group P.L.C. 2,710,354 13,989,594 InterContinental Hotels Group P.L.C. 864,975 10,045,164 International Power P.L.C. 2,525,271 8,885,196 ITV P.L.C. 1,567,741 3,259,794 Johnson Matthey P.L.C. 43,250 768,534 Kelda Group P.L.C. 161,510 1,889,016 Kingfisher P.L.C. 2,829,717 13,227,596 Land Securities Group P.L.C. 79,240 2,055,546
1 Liberty International P.L.C. 469,345 8,345,510 London Merchant Securities P.L.C. 358,862 1,495,001 Marks & Spencer Group P.L.C. 1,197,239 7,345,469 Mersey Docks & Harbour Co. P.L.C. 115,042 2,015,452 MFI Furniture Group P.L.C. 66,600 129,425 Millennium and Copthorne Hotels P.L.C. 493,245 3,190,438 Mitchells & Butlers P.L.C. 630,549 3,710,031 * O2 P.L.C. 8,760,348 20,295,896 Pearson P.L.C. 924,664 11,062,196 Peninsular & Oriental Steam Navigation P.L.C. 1,130,420 6,376,107 Pennon Group P.L.C. 58,615 1,074,131 Persimmon P.L.C. 278,509 3,780,846 Pillar Property P.L.C. 131,128 1,990,694 * Premier Oil P.L.C. 119,812 1,280,252 Rio Tinto P.L.C. 83,136 2,467,971 * Rolls Royce Group P.L.C. 2,749,448 13,556,759 * Rolls Royce Group P.L.C. Class B 137,472,400 249,800 Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,028,724 Royal Bank of Scotland Group P.L.C. 219,664 6,445,653 Sabmiller P.L.C. 192,609 2,957,793 Sainsbury (J.) P.L.C. 2,650,025 13,778,639 Scottish & Newcastle P.L.C. 1,005,702 8,689,619 Scottish Power P.L.C. 2,139,658 18,023,688 Severn Trent P.L.C. 210,597 3,875,426 Shire Pharmaceuticals Group P.L.C. 683,427 7,252,939 Singer & Friedlander Group P.L.C. 253,818 1,438,614 Slough Estates P.L.C. 706,900 6,604,174 Somerfield P.L.C. 741,014 2,656,721 Stanley Leisure P.L.C. 190,940 1,891,284 Tate & Lyle P.L.C. 660,070 5,679,426 Taylor Woodrow P.L.C. 998,309 5,746,854 * The Berkeley Group Holdings P.L.C. 228,802 3,438,341 Trinity Mirror P.L.C. 495,640 5,611,004 United Utilities P.L.C. 265,595 3,271,895 Vodafone Group P.L.C. 59,364,901 149,452,303 Whitbread P.L.C. 450,082 7,431,362 Wilson Bowden P.L.C. 105,900 2,193,495 Wimpey (George) P.L.C. 457,583 3,543,491 Wolverhampton & Dudley Breweries P.L.C. 107,366 2,162,199 Woolworths Group P.L.C. 2,125,199 1,351,588 WPP Group P.L.C. 394,800 4,207,903 Xstrata P.L.C. 496,100 8,892,658 ---------------- TOTAL COMMON STOCKS (Cost $542,532,199) 675,095,022 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling 14,769 ---------------- (Cost $14,769) TOTAL -- UNITED KINGDOM (Cost $542,546,968) 675,109,791 ----------------
2 JAPAN -- (13.9%) COMMON STOCKS -- (13.7%) Aichi Bank, Ltd. 8,100 763,449 # Aichi Steel Corp. 120,000 612,133 AIOI Insurance Co., Ltd. 928,735 4,601,504 Aisin Seiki Co., Ltd. 182,500 4,049,894 Akita Bank, Ltd. 115,000 520,024 Alpine Electronics, Inc. 36,800 523,837 Amada Co., Ltd. 376,000 2,553,049 # Anritsu Corp. 67,000 402,573 Aoyama Trading Co., Ltd. 50,400 1,221,105 Asahi Breweries, Ltd. 138,500 1,680,246 Asatsu-Dk, Inc. 32,500 933,957 # Autobacs Seven Co., Ltd. 23,700 740,320 Awa Bank, Ltd. 196,600 1,172,832 Bank of Iwate, Ltd. 15,300 871,226 # Bank of Kyoto, Ltd. 347,400 2,914,717 Bank of Nagoya, Ltd. 185,000 1,086,110 Canon Sales Co., Inc. 124,900 2,212,736 # Chiba Bank, Ltd. 941,000 6,385,328 Chudenko Corp. 41,100 644,314 Chugoku Bank, Ltd. 238,800 2,792,365 Citizen Watch Co., Ltd. 318,000 2,778,042 Coca-Cola West Japan Co., Ltd. 58,400 1,306,361 Comsys Holdings Corp. 105,000 885,061 Cosmo Oil Co., Ltd. 764,000 2,793,389 Dai Nippon Ink & Chemicals, Inc. 459,000 1,355,906 Dai Nippon Pharmaceutical Co., Ltd. 106,000 1,016,224 Dai Nippon Printing Co., Ltd. 937,000 14,782,487 Daibiru Corp. 9,000 66,251 Daicel Chemical Industries, Ltd. 485,000 2,517,757 Daido Steel Co., Ltd. 274,000 1,112,774 # Daio Paper Corp. 51,000 393,988 Daishi Bank, Ltd. 355,000 1,479,538 Daiwa House Industry Co., Ltd. 663,000 7,309,407 Denso Corp. 22,500 510,241 # Ebara Corp. 231,000 830,308 Ezaki Glico Co., Ltd. 174,600 1,393,597 Fuji Electric Co., Ltd. 525,780 1,594,855 Fuji Fire & Marine Insurance Co., Ltd. 297,000 881,192 Fuji Heavy Industries 752,000 3,139,462 Fuji Oil Co., Ltd. 55,200 574,115 Fuji Photo Film Co., Ltd. 770,000 23,978,455 Fujikura, Ltd. 355,000 1,799,156 Fukui Bank, Ltd. 343,000 1,300,575 # Fukuoka Bank, Ltd. 695,000 4,241,307 Fukuyama Transporting Co., Ltd. 266,000 1,045,649 Futaba Corp. 16,000 433,071 Futaba Industrial Co., Ltd. 44,100 837,845 Glory, Ltd. 54,600 922,653 Gunma Bank, Ltd. 444,000 2,640,827 Gunze, Ltd. 223,000 976,976 Hachijuni Bank, Ltd. 589,000 3,887,927 Hankyu Corp. 174,000 640,072
3 Hankyu Department Stores, Inc. 116,000 696,497 Hanshin Electric Railway Co., Ltd. 253,000 943,640 Heiwa Corp. 81,500 1,173,008 Heiwado Co., Ltd. 38,000 579,163 Higo Bank, Ltd. 308,000 2,198,248 Hitachi Cable, Ltd. 236,000 1,017,542 Hitachi Kokusai Electric, Inc. 87,000 760,908 Hitachi Maxell, Ltd. 96,000 1,166,763 Hitachi Metals, Ltd. 201,000 1,281,006 Hitachi Software Engineering Co., Ltd. 33,800 563,727 Hitachi Transport System, Ltd. 76,000 633,009 Hitachi, Ltd. 4,970,000 29,696,012 Hokkoku Bank, Ltd. 239,000 1,041,637 Hokuetsu Paper Mills, Ltd. 162,000 880,974 House Foods Corp. 117,000 1,648,185 Hyakugo Bank, Ltd. 258,000 1,582,335 Hyakujishi Bank, Ltd. 314,000 1,782,165 * Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,164,194 Itoham Foods, Inc. 132,000 601,220 Iyo Bank, Ltd. 237,000 1,889,496 Japan Airport Terminal Co., Ltd. 68,300 637,862 Joyo Bank, Ltd. 892,000 4,534,886 Juroku Bank, Ltd. 349,000 1,868,471 Kadokawa Holdings, Inc. 15,200 540,500 Kagoshima Bank, Ltd. 154,000 1,171,822 Kamigumi Co., Ltd. 357,000 2,660,128 Kandenko Co., Ltd. 129,000 758,687 Kanto Auto Works, Ltd., Yokosuka 12,600 147,981 Katokichi Co., Ltd. 103,500 723,388 Kawasaki Heavy Industries, Ltd. 910,000 1,628,496 Keiyo Bank, Ltd. 212,000 1,012,548 Kikkoman Corp. 259,000 2,345,042 Kinden Corp. 167,000 1,235,604 Kirin Brewery Co., Ltd. 1,152,000 11,268,141 # Kissei Pharmaceutical Co., Ltd. 41,000 782,210 Kobe Steel, Ltd. 2,041,000 3,549,885 Koito Manufacturing Co., Ltd. 101,000 1,085,932 Kokuyo Co., Ltd. 81,200 1,041,108 Komori Corp. 52,000 787,596 Kuraray Co., Ltd. 499,000 4,421,577 Kyocera Corp. 238,800 18,270,139 KYORIN Pharmaceutical Co., Ltd. 52,000 648,607 Maeda Corp. 129,000 711,651 Makita Corp. 209,000 4,069,632 Marubeni Corp. 1,942,000 6,128,947 Marui Co., Ltd. 408,600 5,669,748 Maruichi Steel Tube, Ltd. 117,000 2,495,996 Matsushita Electric Industrial Co., Ltd. 3,561,135 53,046,962 Matsushita Electric Works, Ltd. 403,000 3,331,039 Meiji Seika Kaisha, Ltd. Tokyo 292,000 1,421,273 Millea Holdings, Inc. 2,296 30,391,067 Mitsubishi Gas Chemical Co., Inc. 305,000 1,501,802 Mitsubishi Heavy Industries, Ltd. 4,791,000 12,331,213 Mitsubishi Logistics Corp. 106,000 1,010,933
4 Mitsubishi Materials Corp. 975,000 2,134,057 Mitsubishi Securities Co., Ltd. 226,000 1,883,182 Mitsui Chemicals, Inc. 807,800 4,580,860 Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 1,037,198 Mitsui Marine & Fire Insurance Co., Ltd. 2,138,000 19,431,714 Mitsumi Electric Co., Ltd. 45,800 484,763 # Mori Seiki Co., Ltd. 63,500 656,559 Morinaga Milk Industry Co., Ltd. 160,000 660,253 Musashino Bank, Ltd. 21,300 973,546 Nagase & Co., Ltd. 101,000 986,075 Namco, Ltd. 11,000 148,462 Nanto Bank, Ltd. 317,000 1,627,254 NGK Insulators, Ltd. 216,000 2,248,607 NGK Spark Plug Co., Ltd. 144,000 1,619,451 Nichicon Corp. 72,900 958,028 Nichirei Corp. 180,000 674,476 # Nifco, Inc. 37,000 579,950 Nihon Unisys, Ltd. 69,100 646,881 Nippon Express Co., Ltd. 211,000 959,175 # Nippon Kayaku Co., Ltd. 128,000 690,344 Nippon Meat Packers, Inc., Osaka 248,000 3,063,990 Nippon Mitsubishi Oil Corp. 1,871,050 12,203,013 Nippon Paint Co., Ltd. 184,000 643,029 Nippon Sheet Glass Co., Ltd. 358,000 1,398,783 Nippon Shinpan Co., Ltd. 191,000 930,169 Nippon Shokubai Co., Ltd. 163,000 1,306,161 Nippon Suisan Kaisha, Ltd. 143,000 542,657 Nippon Television Network Corp. 9,400 1,314,856 Nippon Unipac Holding, Tokyo 1,080 4,197,550 Nipponkoa Insurance Co., Ltd. 909,000 6,286,099 * Nipro Corp. 42,000 627,234 # Nishimatsu Construction Co., Ltd. 364,000 1,227,341 Nissay Dowa General Insurance Co., Ltd. 383,000 1,926,866 Nisshin Seifun Group, Inc. 165,000 1,622,652 Nisshin Steel Co., Ltd. 753,000 1,832,813 Nisshinbo Industries, Inc. 305,000 2,340,054 NSK, Ltd. 319,000 1,546,136 Obayashi Corp. 751,000 3,798,076 Ogaki Kyoritsu Bank, Ltd. 227,000 1,342,026 Oita Bank, Ltd. 81,000 524,068 Oji Paper Co., Ltd. 924,000 4,886,947 Okumura Corp. 175,000 942,537 Onward Kashiyama Co., Ltd. 125,000 1,519,788 PanaHome Corp. 106,000 553,566 Pioneer Electronic Corp. 196,200 3,232,942 Promise Co., Ltd. 60,500 3,757,748 Q.P. Corp. 109,600 953,070 Rengo Co., Ltd. 180,000 930,307 * Resona Holdings, Inc. 1,873,000 3,562,488 Rinnai Corp. 37,100 931,643 Ryosan Co., Ltd. 30,500 743,967 San In Godo Bank, Ltd. 144,000 1,374,980 Sanwa Shutter Corp. 101,000 564,277 Sanyo Chemical Industries, Ltd. 54,000 390,521
5 # Sanyo Electric Co., Ltd. 1,981,000 5,373,145 # Sapporo Breweries, Ltd. 251,000 1,251,396 Sapporo Hokuyo Holdings, Inc. 271 1,956,724 Seino Transportation Co., Ltd. 193,000 1,687,227 Sekisui Chemical Co., Ltd. 557,000 3,857,932 Sekisui House, Ltd. 942,000 9,223,018 Seventy-seven (77) Bank, Ltd. 334,000 2,100,276 SFCG Co., Ltd. 8,010 2,035,396 Shiga Bank, Ltd. 272,000 1,682,500 Shikoku Bank, Ltd. 153,000 819,740 Shimachu Co., Ltd. 49,900 1,240,974 Shinko Securities Co., Ltd. 540,000 1,631,886 Shizuoka Bank, Ltd. 744,000 6,412,659 Sohgo Security Services Co.,Ltd. 73,300 933,443 Sumitomo Bakelite Co., Ltd. 105,000 653,160 Sumitomo Corp. 471,000 3,761,719 Sumitomo Electric Industries, Ltd. 899,000 9,429,436 Sumitomo Forestry Co., Ltd. 139,000 1,208,517 Sumitomo Metal Mining Co., Ltd. 215,000 1,375,456 Sumitomo Osaka Cement Co., Ltd. 348,000 835,765 Sumitomo Trust & Banking Co., Ltd. 21,000 124,207 Sumitomo Warehouse Co., Ltd. 114,000 583,082 Suzuken Co., Ltd. 56,700 1,505,343 Taiheiyo Cement Corp. 1,209,800 3,133,016 Taiyo Yuden Co., Ltd. 126,000 1,399,978 Takara Standard Co., Ltd. 118,000 754,442 Takashimaya Co., Ltd. 124,000 1,038,260 Teijin, Ltd. 893,000 3,920,705 Teikoku Oil Co., Ltd. 346,000 2,336,074 The Nisshin Oillio Group, Ltd. 48,000 271,062 Toda Corp. 203,000 829,553 Toho Bank, Ltd. 87,000 356,324 Tokai Tokyo Securities Co., Ltd. 155,000 456,439 Tokuyama Corp. 248,000 1,829,540 Tokyo Broadcasting System, Inc. 117,500 1,975,348 Tokyo Dome Corp. 110,000 598,434 Tokyo Style Co., Ltd. 133,000 1,353,008 Tokyo Tatemono Co., Ltd. 143,000 987,906 Toppan Forms Co., Ltd. 33,200 364,492 Toppan Printing Co., Ltd. 720,000 7,318,236 Toshiba TEC Corp. 181,000 799,920 Tostem Inax Holding Corp. 324,500 5,520,102 Toyo Ink Manufacturing Co., Ltd. 174,000 676,293 Toyo Seikan Kaisha, Ltd. 287,600 4,985,498 Toyo Suisan Kaisha, Ltd. 64,000 1,003,435 Toyoda Machine Works, Ltd. 54,000 521,549 Toyota Auto Body Co., Ltd. 86,000 1,683,836 TV Asahi Corp. 565 1,157,225 UNY Co., Ltd. 158,000 1,713,715 # Wacoal Corp. 149,000 1,981,030 Yamaguchi Bank, Ltd. 151,000 1,708,035 Yamaha Corp. 250,100 3,652,658 Yamanashi Chuo Bank, Ltd. 140,000 840,378 Yamatake Corp. 47,700 787,021
6 Yamato Kogyo Co., Ltd. 32,000 366,676 Yamazaki Baking Co., Ltd. 155,000 1,331,732 Yasuda Fire & Marine Insurance Co., Ltd. 431,000 4,354,284 Yodogawa Steel Works, Ltd. 123,000 649,356 Yokohama Rubber Co., Ltd. 410,000 1,684,596 York-Benimaru Co., Ltd. 29,300 814,490 ---------------- TOTAL COMMON STOCKS (Cost $581,985,790) 601,474,625 ---------------- INVESTMENT IN CURRENCY -- (0.2%) * Japanese Yen 8,010,462 ---------------- (Cost $8,054,614) TOTAL -- JAPAN (Cost $590,040,404) 609,485,087 ---------------- FRANCE -- (10.2%) COMMON STOCKS -- (10.2%) Air France 192,225 3,059,396 Air Liquide SA 9,820 1,714,730 Arcelor SA 167,800 3,336,596 # Assurances Generales de France (AGF) 177,559 14,242,010 # AXA 2,459,139 60,024,211 # BNP Paribas SA 1,368,012 91,964,838 # Bongrain SA 7,145 440,239 # * Business Objects SA 94,856 2,723,788 * Cap Gemini SA 167,370 5,339,463 # * CNP Assurances 33,992 2,278,353 # Compagnie de Saint-Gobain 455,792 26,216,746 # Compagnie Francaise d'Etudes et de Construction Technip SA 105,512 4,660,453 # Credit Agricole SA 27,709 718,511 # Eiffage SA 10,431 832,447 Esso SA 686 115,573 # Euler-Hermes SA 10,710 809,734 Faurecia SA 30,445 2,283,397 # Fimalac SA 46,887 2,147,169 * Gecina SA 29,500 3,577,499 # Generale des Establissements Michelin SA Series B 212,585 13,428,150 Havas SA 300,744 1,777,230 # Imerys SA 44,000 3,170,823 # LaFarge SA 253,511 22,940,260 LaFarge SA Prime Fidelity 85,542 7,800,086 # Lagardere S.C.A. SA 10,900 776,091 # Peugeot SA 238,144 14,252,610 # Pinault Printemps Redoute SA 100,151 9,912,856 Remy Cointreau SA 56,022 2,364,088 # Renault SA 317,738 27,183,519 # Schneider SA 318,189 23,394,591 SEB SA Prime Fidelity 9,900 1,017,849 # Societe BIC SA 52,288 2,807,476 # Societe des Ciments de Francais 35,796 3,271,505 # Societe Generale Paris 293,528 28,842,183
7 Sodexho Alliance SA 122,494 3,932,540 # Suez (ex Suez Lyonnaise des Eaux) 666,220 17,918,894 # Thomson Multimedia 345,508 8,772,529 # Unibail SA 58,749 7,466,708 # Valeo SA 103,212 4,319,434 Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 4,504 1,042,930 # Vivendi Universal SA 403,364 12,284,113 ---------------- TOTAL COMMON STOCKS (Cost $337,331,390) 445,161,618 ---------------- RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 16,500 7,513 * Rallye SA Series B Warrants 11/30/05 18,020 1,330 ---------------- TOTAL RIGHTS/WARRANTS (Cost $28,587) 8,843 ---------------- TOTAL -- FRANCE (Cost $337,359,977) 445,170,461 ---------------- GERMANY -- (6.1%) COMMON STOCKS -- (6.1%) * Aachener und Muenchener Beteiligungs AG 33,828 2,733,015 Allianz AG 11,053 1,301,390 BASF AG 154,032 10,222,522 # Bayer AG 498,853 16,751,199 # Bayerische Motorenwerke AG 519,011 22,440,762 * Bayerische Vereinsbank AG 845,488 20,776,122 BHW Holding AG 10,667 183,041 Bilfinger & Berger Bau AG 23,702 1,125,170 # Commerzbank AG 594,131 12,903,783 # DaimlerChrysler AG 1,368,494 55,172,318 # Deutsche Bank AG 770,191 59,920,101 E.ON AG 12,593 1,093,248 Fraport AG 68,708 2,836,900 Fresenius Medical Care AG 18,966 1,489,708 * Heidelberger Druckmaschinen AG 46,167 1,425,361 Heidelberger Zement AG 78,542 5,023,273 # Hochtief AG 71,840 2,441,166 Hypo Real Estate Holding AG 84,277 3,318,984 * IVG Immobilien AG 30,276 550,018 * Lanxess 49,885 1,058,301 # * Linde AG 77,043 5,228,378
8 Merck KGAA 67,288 5,255,818 * MG Technologies AG 150,773 1,709,520 # Preussag AG 181,223 4,492,857 Salzgitter AG 13,041 305,122 SCA Hygiene Products AG 3,550 1,266,675 Suedzucker AG 26,428 498,662 ThyssenKrupp AG 450,803 8,276,198 Vattenfall Europe AG 90,913 3,557,582 # Volkswagen AG 295,657 13,011,886 ---------------- TOTAL -- GERMANY (Cost $248,181,818) 266,369,080 ---------------- SWITZERLAND -- (5.9%) COMMON STOCKS -- (5.9%) Baloise-Holding 214,760 11,213,948 Bank Sarasin & Cie Series B, Basel 180 302,919 Banque Cantonale Vaudoise 12,608 2,784,576 Berner Kantonalbank 15,175 2,237,805 Ciba Spezialitaetenchemie Holding AG 81,000 4,815,990 Cie Financiere Richemont AG Series A 1,251,000 38,086,850 * Clariant AG 64,982 910,858 # Credit Swisse Group 1,452,179 58,093,081 * Fischer (Georg) AG, Schaffhausen 1,280 379,447 # Givaudan SA 5,792 3,447,490 Holcim, Ltd. 199,770 12,143,764 Jelmoli Holding AG 500 679,112 Luzerner Kantonalbank AG 12,294 2,362,894 Pargesa Holding SA, Geneve 1,935 6,973,437 * PSP Swiss Property AG 109,600 4,835,314 Rieters Holdings AG 7,860 2,130,195 Sig Holding AG 30,888 6,567,412 * Sika Finanz AG, Baar 3,828 2,404,569 St. Galler Kantonalbank 10,146 2,583,336 * Swiss Life AG 132,137 17,447,146 # Swiss Reinsurance Co., Zurich 330,715 20,472,030 * Syngenta AG 165,100 17,067,625 # Unaxis Holding AG 45,400 6,370,296 * Valiant Holding AG 39,295 3,461,651 * Valora Holding AG 12,170 2,670,439 * Zurich Financial SVCS AG 152,206 25,283,580 ---------------- TOTAL -- SWITZERLAND (Cost $188,429,435) 255,725,764 ---------------- AUSTRALIA -- (4.5%) COMMON STOCKS -- (4.4%) Amcor, Ltd. 881,869 4,510,853 AMP, Ltd. 1,026,864 5,103,408 Ansell, Ltd. 303,463 2,103,777
9 APN News & Media, Ltd. 509,371 1,958,875 # Australand Property Group 674,862 718,280 AWB, Ltd. 364,594 1,223,471 AXA Asia Pacific Holdings, Ltd. 2,837,724 9,943,499 Bluescope Steel, Ltd. 1,252,100 7,606,018 Boral, Ltd. 944,335 4,224,733 Brickworks, Ltd. 37,510 285,742 Caltex Australia, Ltd. 238,359 2,710,833 Commonwealth Bank of Australia 1,376,094 38,441,344 CSR, Ltd. 1,514,337 2,826,140 Downer Group, Ltd. 225,933 900,086 Futuris Corp., Ltd. 531,719 677,624 Insurance Australiz Group, Ltd. 763,270 3,361,898 Lend Lease Corp., Ltd. 568,460 5,236,997 Lion Nathan, Ltd. 871,345 4,827,362 Mayne Group, Ltd. 1,315,561 4,588,824 Mirvac, Ltd. 1,229,901 3,098,714 National Australia Bank, Ltd. 1,823,878 43,291,233 Onesteel, Ltd. 505,842 957,969 Orica, Ltd. 51,604 612,186 Origin Energy, Ltd. 817,347 4,402,584 Paperlinx, Ltd. 727,704 1,272,060 Publishing and Broadcasting, Ltd. 219,621 2,522,066 Quantas Airways, Ltd. 3,489,827 8,465,231 Rinker Group, Ltd. 982,162 9,119,299 Santos, Ltd. 972,348 7,385,686 Seven Network, Ltd. 211,508 1,137,210 Stockland Trust Group 22,867 95,265 * Stockland Trust Group Issue 05 772 3,184 WMC Resources, Ltd. 1,821,249 10,609,212 ---------------- TOTAL COMMON STOCKS (Cost $133,957,352) 194,221,663 ---------------- INVESTMENT IN CURRENCY -- (0.1%) * Australian Dollar 3,698,009 ---------------- (Cost $3,701,213) TOTAL -- AUSTRALIA (Cost $137,658,565) 197,919,672 ---------------- NETHERLANDS -- (4.4%) COMMON STOCKS -- (4.4%) ABN AMRO Holding NV 35,897 833,655 Aegon NV 2,897,384 37,096,508 DSM NV 134,117 8,977,717 # Hunter Douglas NV 94,242 4,873,152 IHC Caland NV 16,740 1,073,392 ING Groep NV 2,065,009 57,137,284 * Koninklijke Ahold NV 1,815,643 13,705,566 Koninklijke KPN NV 2,458,914 19,554,154 Koninklijke Nedlloyd NV 21,621 1,483,685 Koninklijke Philips Electronics NV 1,412,706 36,135,774
10 NV Holdingsmij de Telegraaf 6,800 146,078 VNU NV 387,846 10,550,466 ---------------- TOTAL COMMON STOCKS (Cost $157,028,179) 191,567,431 ---------------- RIGHTS/WARRANTS -- (0.0%) * SBM Offshore Coupons 16,740 0 ---------------- (Cost $0) TOTAL -- NETHERLANDS (Cost $157,028,179) 191,567,431 ---------------- HONG KONG -- (2.9%) COMMON STOCKS -- (2.9%) Cheung Kong Holdings, Ltd. 2,727,000 24,802,772 China Overseas Land & Investment, Ltd. 1,864,000 348,558 China Travel International Investment, Ltd. 680,000 187,219 China Unicom, Ltd. 5,118,000 4,103,851 # Citic Ka Wah Bank, Ltd. 1,272,000 468,472 Citic Pacific, Ltd. 934,000 2,598,145 Great Eagle Holdings, Ltd. 308,987 703,437 Hang Lung Development Co., Ltd. 2,518,000 4,294,704 Henderson Land Development Co., Ltd. 1,122,000 5,103,391 Hong Kong and Shanghai Hotels, Ltd. 892,417 932,191 Hopewell Holdings, Ltd. 1,455,000 3,593,405 Hutchison Whampoa, Ltd. 3,751,000 32,550,877 Hysan Development Co., Ltd. 2,157,039 4,339,438 # Kerry Properties, Ltd. 2,312,291 5,059,302 New World Development Co., Ltd. 3,131,239 3,266,789 Shanghai Industrial Holdings, Ltd. 1,094,000 2,120,039 # Shangri-La Asia, Ltd. 3,000,733 4,530,388 # Sino Land Co., Ltd. 8,212,433 8,409,841 Tsim Sha Tsui Properties, Ltd. 472,000 815,730 Union Bank of Hong Kong, Ltd. 364,000 450,473 Wharf Holdings, Ltd. 3,438,214 11,212,895 # Wheelock and Co., Ltd. 3,940,000 5,674,640 Wheelock Properties, Ltd. 1,485,000 761,763 ---------------- TOTAL -- HONG KONG (Cost $112,259,789) 126,328,320 ---------------- SWEDEN -- (2.7%) COMMON STOCKS -- (2.7%) Carbo AB 2,900 70,670 Castellum AB 4,100 158,082 Electrolux AB Series B 324,100 7,084,855 Gambro AB Series A 555,400 7,366,291 Gambro AB Series B 216,300 2,881,955 Holmen AB Series A 6,300 178,842 # Holmen AB Series B 155,700 4,187,532
11 # NCC AB Series B 59,700 875,994 Nordic Baltic Holdings AB 2,603,100 23,777,113 Skandinaviska Enskilda Banken Series A 368,800 6,344,263 Skandinaviska Enskilda Banken Series C 9,800 161,411 # * SKF AB Redeemable Shares Series A 22,650 75,795 * SKF AB Redeemable Shares Series B 29,700 99,387 SKF AB Series A 90,600 926,347 SKF AB Series B 118,800 1,213,623 SSAB Swedish Steel Series A 180,800 4,395,242 SSAB Swedish Steel Series B 60,500 1,420,951 # Svenska Cellulosa AB Series A 19,000 652,990 Svenska Cellulosa AB Series B 221,100 7,527,170 Telia AB 2,582,000 12,778,300 Trelleborg AB Series B 160,600 2,495,014 Volvo AB Series A 243,200 9,607,395 Volvo AB Series B 443,400 18,127,730 Whilborg Fastigheter AB Class B 173,980 3,510,524 # * Wihlborgs Fastigheter AB 34,796 818,350 ---------------- TOTAL COMMON STOCKS (Cost $88,187,543) 116,735,826 ---------------- RIGHTS/WARRANTS -- (0.0%) * SSAB Svenskt AB Redemption Rights 05/23/05 180,800 87,473 * SSAB Svenskt AB Series B Redemption Rights 05/23/05 60,500 34,962 * TeliaSonera AB Redeemable Rights 06/09/05 2,317,000 221,083 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 343,518 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona 14,372 ---------------- (Cost $14,635) TOTAL -- SWEDEN (Cost $88,202,178) 117,093,716 ---------------- SPAIN -- (2.6%) COMMON STOCKS -- (2.6%) Acerinox SA 261,360 3,771,894 Arcelor SA 30,000 594,540 Autopistas Concesionaria Espanola SA 310,251 6,919,589 Banco de Andalucia 900 79,322 Banco de Sabadell SA 154,021 4,039,655 # Banco Pastor SA 59,400 2,217,359 Banco Santander Central Hispanoamerica SA 84,304 963,043 # Cementos Portland SA 21,016 1,443,017 Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 2,135,749 # Ebro Puleva SA 120,322 2,164,453 # Endesa SA, Madrid 1,136,646 24,738,040 Gas Natural SA, Buenos Aires 121,385 3,402,534 # Iberdrola SA 535,000 13,646,506 # Iberia Lineas Aereas de Espana SA 617,500 1,951,947
12 # Inmobiliaria Urbis SA 96,328 1,634,652 Repsol SA 1,289,224 32,239,985 Sociedad General de Aguas de Barcelona SA 119,484 2,406,473 * Sociedad General de Aguas de Barcelona SA 1,194 23,994 # Sol Melia SA 157,217 1,650,123 Union Fenosa SA 230,000 6,921,699 Vallehermoso SA 46,125 929,543 ---------------- TOTAL -- SPAIN (Cost $70,367,226) 113,874,117 ---------------- ITALY -- (2.3%) COMMON STOCKS -- (2.3%) * Alitalia Linee Aeree Italiane SpA Series A 6,690,000 2,126,779 # Banca Antoniana Popolare Veneta SpA 83,000 2,649,800 # Banca Monte Dei Paschi di Siena SpA 2,279,872 8,187,429 # * Banca Nazionale del Lavoro SpA 2,230,687 7,519,362 # Banca Popolare di Lodi Scarl 437,995 4,271,876 Banca Popolare di Milano 730,208 7,398,062 # Benetton Group SpA 181,249 1,644,732 # Buzzi Unicem SpA 67,793 975,483 # Caltagirone Editore SpA 184,888 1,651,000 Capitalia SpA 2,992,113 15,632,746 # CIR SpA (Cie Industriale Riunite), Torino 500,000 1,381,906 # Compagnia Assicuratrice Unipol SpA 745,685 2,953,366 # * Edison SpA 1,734,262 3,929,021 Erg SpA 197,993 3,067,753 # * Fiat SpA 1,054,970 7,108,155 # Italcementi SpA 444,060 6,857,544 # Italmobiliare SpA, Milano 33,664 2,091,219 Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 122,539 Milano Assicurazioni SpA 182,000 1,034,660 # Pirelli & Co. SpA 1,486,658 1,640,719 # SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 4,368,323 # San Paolo-IMI SpA 833,105 11,571,110 Societe Cattolica di Assicurazoni Scarl SpA 8,800 384,956 ---------------- TOTAL COMMON STOCKS (Cost $85,190,508) 98,568,540 ---------------- RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 2007 51,693 12,086 ---------------- (Cost $0) TOTAL -- ITALY (Cost $85,190,508) 98,580,626 ---------------- IRELAND -- (1.8%) COMMON STOCKS -- (1.8%) Allied Irish Banks P.L.C. 688,656 14,288,890 Bank of Ireland P.L.C. 1,181,012 17,929,477
13 CRH P.L.C. 1,243,314 31,389,925 * Elan Corp. P.L.C. 587,038 4,481,845 Irish Permanent P.L.C. 650,175 10,813,430 ---------------- TOTAL -- IRELAND (Cost $73,640,064) 78,903,567 ---------------- FINLAND -- (1.2%) COMMON STOCKS -- (1.2%) Fortum Oyj 383,200 5,804,712 Huhtamaki Van Leer Oyj 2,300 34,923 Kemira GrowHow Oyj 21,542 166,892 Kemira Oyj 101,377 1,349,484 Kesko Oyj 157,000 3,763,045 Metso Oyj 219,166 4,387,953 M-Real Oyj Series B 253,400 1,367,837 Okobank Class A 65,000 1,036,945 Outokumpu Oyj Series A 351,300 4,845,269 Rautaruukki Oyj Series K 75,900 1,069,234 Stora Enso Oyj Series R 922,500 12,120,767 Upm-Kymmene Oyj 865,900 16,741,637 Wartsila Corp. Oyj Series B 59,400 1,787,015 ---------------- TOTAL -- FINLAND (Cost $47,739,726) 54,475,713 ---------------- BELGIUM -- (1.2%) COMMON STOCKS -- (1.2%) Ackermans & Van Haaren SA 4,187 166,139 Banque Nationale de Belgique 1,049 4,308,998 Bekaert SA 2,787 206,610 Cofinimmo SA 1,108 175,964 # * Cumerio 70,740 974,956 * Cumerio VVPR 2,009 74 # Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 231,485 13,660,326 # Dexia SA 191,251 4,149,578 D'Ieteren SA 431 85,582 # Groupe Bruxelles Lambert 55,500 4,720,650 * ING Bank Belgium NV 128 0 Interbrew SA 196,392 6,490,050 KBC Bancassurance Holding SA 127,286 10,318,758 # Nationale a Portefeuille 4,029 853,844 # Suez (ex Suez Lyonnaise des Eaux) 95,400 2,568,186 * Umicore-Strip VVPR 2,009 270 Union Miniere SA 70,740 5,556,572 ---------------- TOTAL -- BELGIUM (Cost $39,649,089) 54,236,557 ----------------
14 DENMARK -- (1.2%) COMMON STOCKS -- (1.2%) Carlsberg A.S. Series B 35,725 1,748,981 # Codan A.S. 57,000 2,788,695 Danisco A.S. 90,330 6,219,533 Danske Bank A.S. 481,453 13,815,709 * Jyske Bank A.S. 89,350 3,413,511 Nordea AB 475,918 4,348,109 Rockwool, Ltd. 16,200 1,124,376 Sydbank A.S. 71,200 1,477,059 Tele Danmark A.S. 380,150 16,760,739 ---------------- TOTAL -- DENMARK (Cost $36,729,428) 51,696,712 ---------------- NORWAY -- (1.0%) COMMON STOCKS -- (1.0%) Den Norske Bank ASA Series A 905,394 8,757,199 * Fred Olsen Energy ASA 34,000 682,271 # Norsk Hydro ASA 287,800 23,325,408 Norske Skogindustrier ASA Series A 247,500 3,801,116 Orkla ASA Series A 96,900 3,302,860 Prosafe ASA 7,300 219,358 Storebrand ASA 415,300 3,455,309 ---------------- TOTAL -- NORWAY (Cost $36,542,042) 43,543,521 ---------------- SINGAPORE -- (0.7%) COMMON STOCKS -- (0.7%) # Creative Technology Co., Ltd. 39,550 314,458 DBS Group Holdings, Ltd. 813,000 6,769,561 Fraser & Neave, Ltd. 756,290 7,112,115 Keppel Land, Ltd. 258,000 352,261 Neptune Orient Lines, Ltd. 189,000 378,024 Overseas Chinese Banking Corp., Ltd. 94,000 782,999 SembCorp Industries, Ltd. 690,900 938,841 Singapore Airlines, Ltd. 1,258,000 8,653,781 Singapore Land, Ltd. 813,000 2,529,545 United Overseas Bank, Ltd. 66,000 565,603 # United Overseas Land, Ltd. 1,734,000 2,282,735 ---------------- TOTAL -- SINGAPORE (Cost $26,577,243) 30,679,923 ----------------
15 PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) Banco Comercial Portugues SA 2,332,042 6,034,412 Banco Espirito Santo e Comercial de Lisboa 192,268 3,018,327 BPI SGPS SA 635,057 2,402,573 Cimpor Cimentos de Portugal SA 385,415 2,067,538 Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,487,422 ---------------- TOTAL -- PORTUGAL (Cost $14,634,454) 16,010,272 ---------------- GREECE -- (0.3%) COMMON STOCKS -- (0.3%) * Agricultural Bank of Greece S.A. 123,600 895,249 Alpha Credit Bank 42,048 1,155,740 Bank of Greece 8,520 1,075,583 Bank of Piraeus S.A. 4,600 82,240 * Commercial Bank of Greece 44,760 1,371,166 EFG Eurobank Ergasias S.A. 60,097 1,851,458 Hellenic Petroleum S.A. 159,140 1,530,147 Hellenic Telecommunication Organization Co. S.A. 276,079 4,918,577 National Bank of Greece 20,176 680,936 ---------------- TOTAL -- GREECE (Cost $9,708,569) 13,561,096 ---------------- AUSTRIA -- (0.3%) COMMON STOCKS -- (0.3%) Bank Austria Creditanstalt AG 70,493 6,932,327 Bohler Uddeholm AG 6,402 826,246 Voestalpine AG 62,211 4,194,277 Wienerberger AG 10,244 453,991 ---------------- TOTAL COMMON STOCKS (Cost $8,010,878) 12,406,841 ---------------- RIGHTS/WARRANTS -- (0.0%) * Boehler-Uddeholm AG Rights 06/02/05 6,402 0 ---------------- (Cost $0) TOTAL -- AUSTRIA (Cost $8,010,878) 12,406,841 ---------------- EMU -- (0.2%) INVESTMENT IN CURRENCY -- (0.2%) * Euro Currency 8,495,382 ---------------- (Cost $8,683,335)
16 NEW ZEALAND -- (0.1%) COMMON STOCKS -- (0.1%) Auckland International Airport, Ltd. 399,312 575,334 Carter Holt Harvey, Ltd. 1,955,577 2,456,271 Fletcher Building, Ltd. 693,880 3,045,029 ---------------- TOTAL -- NEW ZEALAND (Cost $5,397,217) 6,076,634 ---------------- MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Rekapacific Berhad 691,000 0 ---------------- (cost $1,085,853)
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (20.6%) ^ Repurchase Agreement, Deutsche Bank Securities, Merrill Lynch & Mizuho Securities USA 2.96%, 3.07%, and 2.98%, respectively, 06/01/05 (Collateralized by $1,247,813,560 U.S. TIPS 1.875%, 07/15/13 and 3.375%, 01/15/07; U.S. STRIPS, rates ranging from 0% to 10.75%, maturities ranging from 08/15/05 to 02/15/31; GNMA's, rates ranging from 3.75% to 5.75%, maturities ranging from 01/20/34 to 05/20/35; AID-Israel, rates ranging from 0% to 5.50%, maturities ranging from 11/01/13 to 09/18/23; & U.S. Treasury Notes, rates ranging from 1.125% to 4.75%, maturities ranging from 06/30/05 to 02/15/15, valued at $915,552,116) to be repurchased at $897,667,509 (Cost $897,592,866) $ 897,593 897,592,866 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $3,763,255,811) $ 4,364,903,149 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 17 THE JAPANESE SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- JAPAN -- (77.6%) COMMON STOCKS -- (77.2%) Industrials -- (21.7%) # * A&A Material Corp. 123,000 $ 166,283 # Advan Co., Ltd. 62,300 812,276 ADVANEX, Inc. 78,000 312,390 Aica Kogyo Co., Ltd. 157,000 1,796,579 Aichi Corp. 166,700 887,368 Aida Engineering, Ltd. 113,000 609,070 # Airtech Japan, Ltd. 12,100 118,542 # Alps Logistics Co., Ltd. 35,400 663,319 Altech Co., Ltd. 14,000 101,571 Altech Corp. 17,050 195,329 Amano Corp. 184,000 1,910,494 Amatsuji Steel Ball Manufacturing Co., Ltd. 42,000 480,324 Ando Corp. 165,000 434,483 Anest Iwata Corp. 100,000 327,786 * Arai-Gumi, Ltd. 34,450 67,418 Asahi Diamond Industrial Co., Ltd. 162,000 1,013,388 Asahi Kogyosha Co., Ltd. 48,000 179,659 # Asahi Pretec Corp. 48,000 688,438 * Asahi Tec Corp. 118,000 216,155 # Asahi Techno Glass Corp. 126,000 676,712 Asanuma Corp. 162,000 323,459 Asia Air Survey Co., Ltd. 17,000 72,465 Asia Securities Printing Co., Ltd. 36,000 416,944 Asunaro Construction, Ltd. 102,000 575,244 Ataka Constuction & Engineering Co., Ltd. 38,000 147,529 Bando Chemical Industries, Ltd. 236,000 1,007,264 Biken Techno Corp. 4,200 35,499 # BSL Corp. 432,140 820,879 Bunka Shutter Co., Ltd. 153,000 806,104 * Cats, Inc. 15,400 426 Central Security Patrols Co., Ltd. 31,400 255,415 # Chugai Ro Co., Ltd. 201,000 486,955 # Chuo Denki Kogyo Co., Ltd. 54,000 311,167 CKD Corp. 139,000 988,330 Commuture Corp. 97,202 707,009 # Cosel Co., Ltd. 45,500 1,211,471 CTI Engineering Co., Ltd. 38,200 326,567 Dai-Dan Co., Ltd. 102,000 590,813 Daifuku Co., Ltd. 249,000 2,076,609 Daihen Corp. 292,000 761,105 Daiho Corp. 125,000 302,648 Dai-Ichi Jitsugyo Co., Ltd. 119,000 431,432
1 Daimei Telecom Engineering Corp. 84,000 720,708 Daiseki Co., Ltd. 51,000 717,629 # * Daisue Construction Co., Ltd. 151,500 158,175 Daiwa Industries, Ltd. 101,000 574,777 # Danto Corp. 62,000 237,977 # Densei-Lambda KK 34,584 444,384 Denyo Co., Ltd. 56,000 482,038 DMW Corp. 1,600 65,361 Eikoh, Inc. 12,100 112,104 # * Enshu, Ltd. 96,000 282,678 # * Fudo Construction Co., Ltd. 346,200 614,876 * Fujita Corp. 365,100 281,154 # Fujitec Co., Ltd. 203,000 1,049,253 Fujitsu Devices, Inc. 51,000 562,449 Fukuda Corp. 96,000 597,816 Fukusima Industries Corp. 20,000 265,418 # * Furukawa Co., Ltd. 908,000 1,098,086 Hakuyosha Co., Ltd. 57,000 177,342 Haltec Corp. 32,000 66,056 * Hamai Co., Ltd. 22,000 34,705 # Hanwa Co., Ltd. 484,000 1,606,737 * Hazama Corp. 152,500 362,450 Hibiya Engineering, Ltd. 84,000 752,148 # Hisaka Works, Ltd. 41,000 377,365 Hitachi Kiden Kogyo, Ltd. 27,000 119,994 Hitachi Metals Techno, Ltd. 13,000 45,437 Hitachi Plant Engineering & Construction Co., Ltd. 260,000 1,255,218 Hitachi Tool Engineering, Ltd. 55,000 605,545 Hitachi Transport System, Ltd. 75,000 624,680 # * Hitachi Zosen Corp. 1,147,500 1,485,018 Hokuriku Electrical Construction Co., Ltd. 36,000 129,767 # * Hosokawa Micron Corp. 78,000 683,227 # * Howa Machinery, Ltd. 235,000 288,126 * Ichiken Co., Ltd. 48,000 84,363 # Iino Kaiun Kaisha, Ltd. 263,000 1,209,897 i-Logistics Corp. 52,000 178,771 Inaba Denki Sangyo Co., Ltd. 58,400 1,625,874 Inabata and Co., Ltd., Osaka 126,000 1,035,108 Inui Steamship Co., Ltd. 68,000 321,843 # Iseki & Co., Ltd. 498,000 1,270,849 # * Ishikawa Seisakusho, Ltd. 75,000 160,822 Ishikawajima Construction Materials Co., Ltd. 18,000 50,852 Ishikawajima Transport Machinery Co., Ltd. 30,000 84,801 # Itoki Crebio Corp. 78,000 434,609 # Iwasaki Electric Co., Ltd. 183,000 704,281 Iwatani International Corp. 566,000 1,463,145 * J Bridge Corp. 41,000 635,906 # Jalux, Inc. 24,500 430,858 Jamco Corp. 49,000 301,491 * Japan Bridge Corp. 31,000 40,957 Japan Cash Machine Co., Ltd. 67,215 1,493,515 Japan Foundation Engineering Co., Ltd. 62,000 345,805 Japan Maintenance Co., Ltd. 40,800 442,124 # Japan Pulp and Paper Co., Ltd. 325,000 1,065,833 Japan Servo Co., Ltd. 51,000 137,230
2 Japan Steel Tower Co., Ltd. 44,000 216,683 # Japan Steel Works, Ltd. 846,000 1,708,634 # * Japan Storage Battery Co., Ltd. 529,000 1,077,919 # Japan Transcity Corp. 137,000 527,977 * JFE Shoji Holdings, Inc. 116,000 401,794 * Kamagai Gumi Co., Ltd. 87,800 226,588 Kamei Corp. 89,000 969,463 Kanaden Corp. 66,000 385,724 # Kanagawa Chuo Kotsu Co., Ltd. 134,000 666,105 Kanamoto Co., Ltd. 66,000 412,248 * Kanematsu Corp. 921,500 1,188,653 * Kanematsu-NNK Corp. 60,000 109,585 # Katakura Industries Co., Ltd. 72,000 1,015,917 # Kato Works Co., Ltd. 109,000 285,443 * Katsumura Construction Co., Ltd. 48,600 49,011 Kawada Industries, Inc. 102,000 253,010 Kawasho Gecoss Corp. 73,100 431,198 # Keihin Co., Ltd. 178,000 590,492 * Kimmon Manufacturing Co., Ltd. 41,000 74,681 # * Kimura Chemical Plants Co., Ltd. 27,000 92,608 # Kinki Sharyo Co., Ltd., Nagaokakyo 150,000 389,729 * Kinsho Corp. 21,000 68,328 Kioritz Corp. 143,000 391,163 # Kitagawa Iron Works Co., Ltd. 150,000 310,297 Kitano Construction Corp. 162,000 419,652 Kitazawa Sangyo Co., Ltd. 17,500 54,671 # Kitz Corp. 268,000 1,246,653 Kodensha Co., Ltd. 14,000 46,637 Koekisha Co., Ltd. 9,600 213,900 Koike Sanso Kogyo Co., Ltd. 71,000 185,884 Koito Industries, Ltd. 92,000 423,709 * Kokusai Kogyo Co., Ltd. 60,000 191,818 Komai Tekko, Inc. 74,000 243,074 Kondotec, Inc. 30,000 256,820 Kosaido Co., Ltd. 55,700 440,511 Kuroda Electric Co., Ltd. 71,300 1,719,195 # Kyodo Printing Co., Ltd. 188,000 810,189 # Kyoei Sangyo Co., Ltd. 44,000 149,093 Kyokuto Boeki Kaisha, Ltd. 36,000 109,361 Kyokuto Kaihatsu Kogyo Co., Ltd. 63,400 765,316 Kyosan Electric Manufacturing Co., Ltd. 119,000 409,491 Kyowa Exeo Corp. 201,000 1,645,236 Kyudenko Corp. 182,000 1,081,376 Link Consulting Associates - Japan Corp. 24,300 92,751 * Lonseal Corp. 69,000 99,480 Maeda Corp. 358,000 1,974,969 Maeda Road Construction Co., Ltd. 220,000 1,545,804 Maezawa Industries, Inc. 38,100 213,962 Maezawa Kaisei Industries Co., Ltd. 33,800 604,580 # Makino Milling Machine Co., Ltd. 193,000 1,142,628 Marubeni Construction Material Lease Co., Ltd. 54,000 128,442 Maruwn Corp. 44,000 166,232 # Maruyama Manufacturing Co., Inc. 108,000 888,355 Maruzen Showa Unyu Co., Ltd. 205,000 692,952 Matsuda Sangyo Co., Ltd. 41,500 380,726
3 Matsui Construction Co., Ltd. 61,600 276,948 # * Matsuo Bridge Co., Ltd. 37,000 70,275 Max Co., Ltd. 126,000 1,479,697 # Meidensha Corp. 533,050 1,251,054 # * Meiji Machine Co., Ltd. 90,000 100,307 Meiji Shipping Co., Ltd. 58,000 212,712 * Meisei Industrial Co., Ltd. 29,000 90,411 Meito Transportation Co., Ltd. 22,000 201,970 * Meiwa Trading Co., Ltd. 55,000 134,721 Mirai Group Co., Ltd. 49,000 101,549 # * Mitsubishi Cable Industries, Ltd. 330,000 381,173 # * Mitsubishi Kakoki Kaisha, Ltd. 149,000 277,856 Mitsubishi Pencil Co., Ltd. 70,000 709,658 Mitsuboshi Belting, Ltd. 190,000 1,108,062 # * Mitsui Matsushima Co., Ltd. 117,000 234,931 Mitsui-Soko Co., Ltd. 307,000 1,039,429 Mitsumura Printing Co., Ltd. 73,000 476,078 Miura Co., Ltd. 92,900 1,857,598 Miura Printing Corp. 19,000 69,074 # Miyaji Engineering Group 120,000 300,893 # Mori Seiki Co., Ltd. 191,400 1,978,984 Morita Corp. 100,000 590,124 Moshi Moshi Hotline, Inc. 12,200 1,215,404 Mystar Engineering Corp. 15,600 90,271 Nabtesco Corp. 285,000 1,806,013 NAC Co., Ltd. 25,100 416,412 # Nachi-Fujikoshi Corp. 553,000 1,876,792 * Nakano Corp. 49,000 107,698 NEC System Integration & Construction, Ltd. 94,100 843,787 Nichias Corp. 296,000 1,194,421 Nichiban Co., Ltd. 75,000 293,168 Nichiha Corp. 75,080 1,095,918 Nichireki Co., Ltd. 65,000 248,652 * Nihon Spindle Manufacturing Co., Ltd. 56,000 121,983 Nikkiso Co., Ltd. 151,000 897,956 # Nikko Co., Ltd., Akashi 66,000 245,629 Nippei Toyama Corp. 80,000 217,685 Nippo Corp. 256,000 1,710,014 # Nippon Carbon Co., Ltd. 242,000 427,152 Nippon Chutetsukan KK 44,000 98,720 # * Nippon Conveyor Co., Ltd. 43,000 54,997 Nippon Densetsu Kogyo Co., Ltd. 134,000 794,926 Nippon Denwa Shisetu Co., Ltd. 121,000 438,398 Nippon Hume Corp. 43,000 128,885 Nippon Jogesuido Sekkei Co., Ltd. 175 255,584 Nippon Kanzai Co., Ltd. 42,300 769,989 # Nippon Koei Co., Ltd., Tokyo 190,000 640,248 Nippon Konpo Unyu Soko Co., Ltd. 167,000 1,758,573 Nippon Road Co., Ltd. 208,000 471,890 Nippon Seisen Co., Ltd. 39,000 141,645 Nippon Sharyo, Ltd. 322,000 774,215 # Nippon Signal Co., Ltd. 140,000 812,612 Nippon Thompson Co., Ltd. 171,000 1,218,272 Nippon Tungsten Co., Ltd. 44,000 113,350 # Nippon Yusoki Co., Ltd. 71,000 263,051
4 Nishimatsu Construction Co., Ltd. 238,000 802,492 Nishishiba Electric Co., Ltd. 28,000 52,146 Nissan Diesel Motor Co., Ltd. 64,000 238,414 Nissei Corp. 65,700 703,994 Nissei Plastic Industrial Co., Ltd. 46,000 331,934 Nissha Printing Co., Ltd. 102,000 1,571,354 # Nisshin Fudosan Co., Ltd. 40,600 492,951 # * Nissho Iwai-Nichmen Holdings Corp. 347,100 1,340,409 Nissin Corp. 248,000 755,034 Nissin Electric Co., Ltd. 223,000 724,786 Nitchitsu Co., Ltd. 14,000 31,025 Nitta Corp. 64,100 910,096 Nittan Co., Ltd. 23,000 79,548 Nitto Boseki Co., Ltd. 560,000 1,135,078 Nitto Electric Works, Ltd. 95,500 1,086,001 Nitto Kohki Co., Ltd. 47,600 847,780 Nitto Seiko Co., Ltd. 56,000 160,724 # * Nittoc Construction Co., Ltd. 61,000 121,893 # Nomura Co., Ltd. 122,000 491,078 Noritz Corp. 114,000 1,791,008 Obayashi Road Corp. 65,000 146,920 Odakyu Construction Co., Ltd. 29,000 78,656 * Ohki Corp. 73,000 0 # * Ohmori Co., Ltd. 18,400 11,494 Oiles Corp. 44,800 890,951 Okabe Co., Ltd. 46,000 304,089 * Okamoto Machine Tool Works, Ltd. 75,000 204,106 Okamura Corp. 257,000 1,799,702 # Oki Electric Cable Co., Ltd. 76,000 330,052 * OKK Corp. 138,000 258,040 Okuma and Howa Machinery, Ltd. 96,000 315,970 Okuma Corp. 303,000 1,720,772 # O-M, Ltd. 46,000 108,311 Onoken Co., Ltd. 42,000 568,788 Organo Corp. 113,000 516,986 Oriental Construction Co., Ltd. 51,900 237,582 Original Engineering Consultants Co., Ltd. 9,000 40,538 Oyo Corp. 62,000 703,516 P.S. Mitsubishi Construction Co., Ltd. 58,300 230,687 * Pasco Corp. 135,500 339,057 # Patlite Corp. 21,340 461,814 # * Penta-Ocean Construction Co., Ltd. 887,000 1,292,535 # * PIA Corp. 17,200 330,497 Pilot Corp. 83 337,131 Raito Kogyo Co., Ltd. 110,600 423,904 Rasa Industries, Ltd. 146,000 464,480 Rheon Automatic Machinery Co., Ltd. 40,000 135,326 Riken Electric Wire Co., Ltd. 20,000 35,222 Ryobi, Ltd. 390,000 1,696,514 * Saeki Kensetsu Kogyo Co., Ltd. 71,000 97,278 * Sailor Pen Co., Ltd. 74,000 159,934 Sakai Heavy Industries, Ltd. 60,000 152,346 * Sakurada Co., Ltd. 38,000 58,272 # Sanix, Inc. 73,400 754,333 Sanki Engineering Co., Ltd. 172,000 1,219,523
5 Sanko Metal Industrial Co., Ltd., Tokyo 54,000 112,334 # Sankyu, Inc., Tokyo 628,000 1,765,259 Sanritsu Corp. 5,400 54,410 Sanyo Denki Co., Ltd. 133,000 644,352 Sanyo Engineering & Construction, Inc. 48,000 269,403 Sanyo Industries, Ltd., Tokyo 48,000 128,374 # * Sasebo Heavy Industries Co., Ltd., Tokyo 362,000 706,073 * Sata Construction Co., Ltd., Gumma 61,000 73,694 # Sato Corp. 71,600 1,569,069 Sato Shoji Corp. 42,000 350,959 Sawafugji Electric Co., Ltd. 31,000 85,639 Secom Joshinetsu Co., Ltd. 29,200 678,188 Secom Techno Service Co., Ltd. 29,000 933,494 Seibu Electric Industry Co., Ltd. 46,000 250,315 Seika Corp. 179,000 386,542 * Seikitokyu Kogyo Co., Ltd. 86,000 99,179 Sekisui Jushi Co., Ltd. 97,000 624,049 Senko Co., Ltd. 226,000 782,734 Senshu Electric Co., Ltd. 21,300 327,026 # Shibaura Mechatronics Corp. 105,000 888,222 Shibusawa Warehouse Co., Ltd. 140,000 390,514 Shibuya Kogyo Co., Ltd. 54,000 458,281 Shin Nippon Air Technologies Co., Ltd. 52,680 366,125 Shin-Keisei Electric Railway Co., Ltd. 97,000 350,006 # Shinko Electric Co., Ltd. 284,000 786,830 Shin-Kobe Electric Machinery Co., Ltd. 97,000 548,840 Shinmaywa Industries, Ltd. 264,000 1,308,177 Shinsho Corp. 139,000 347,345 # Shinwa Kaiun Kaisha, Ltd. 359,000 1,048,190 * Shiraishi Corp. 25,000 44,701 * Sho-Bond Corp. 54,900 426,220 # Shoko Co., Ltd. 234,000 402,795 # Showa Electric Wire & Cable Co., Ltd., Kawasaki 424,000 528,268 Showa Mining Co., Ltd. 66,000 218,437 Sintokogio, Ltd., Nagoya 116,000 871,536 Soda Nikka Co., Ltd. 35,000 115,760 Sodick Co., Ltd. 97,000 911,724 Space Co., Ltd. 29,180 355,091 Sugimoto & Co., Ltd. 20,500 272,064 * Sumitomo Coal Mining Co., Ltd. 281,500 331,626 Sumitomo Densetsu Co., Ltd. 69,800 277,897 # * Sumitomo Mitsui Construction Co., Ltd. 629,600 501,633 Sumitomo Precision Products Co., Ltd., Amagasaki City 84,000 325,224 # Sumitomo Warehouse Co., Ltd. 311,000 1,590,690 Sun Wave Corp. 96,000 298,200 Tadano, Ltd. 286,000 1,450,683 Taihei Dengyo Kaisha, Ltd. 97,000 548,178 * Taihei Kogyo Co., Ltd. 151,000 428,961 * Taiheiyo Kouhatsu, Inc. 90,000 150,522 Taiho Kogyo Co., Ltd. 50,400 538,007 Taikisha, Ltd. 97,000 1,270,422 Taisei Rotec Corp. 185,000 373,250 Takada Kiko Co., Ltd. 44,000 280,367 # Takamatsu Corp. 43,700 1,335,419 Takano Co., Ltd. 34,400 508,304
6 Takaoka Electric Manufacturing Co., Ltd., Tokyo 194,000 383,388 Takara Printing Co., Ltd. 17,050 142,367 Takara Standard Co., Ltd. 46,000 294,104 Takasago Thermal Engineering Co., Ltd. 189,000 1,332,256 Takashima & Co., Ltd. 90,000 223,742 Takigami Steel Construction Co., Ltd. 50,000 368,802 Takuma Co., Ltd. 195,000 1,352,377 Tanseisha Co., Ltd. 26,000 100,226 Tatsuta Electric Wire & Cable Co., Ltd. 137,000 293,342 # * TC Properties Co., Ltd. 579,000 0 # TCM Corp. 176,000 406,863 Techno Ryowa, Ltd. 32,200 216,126 Tekken Corp. 336,000 614,326 Teraoka Seisakusho Co., Ltd. 37,000 332,973 Tetra Co., Ltd., Tokyo 64,000 235,462 Toa Corp. 440,000 826,850 # Toa Doro Kogyo Co., Ltd. 110,000 352,465 # Tocalo Co., Ltd. 39,000 849,176 Todentu Corp. 57,000 162,442 Toenec Corp. 218,000 920,104 Tohoku Telecommunications Construction Co., Ltd. 42,000 324,556 Tokai Konetsu Kogyo Co., Ltd. 15,000 58,736 * Tokai Lease Co., Ltd. 18,000 47,519 # Tokimec, Inc. 152,000 294,522 # Toko Electric Corp. 72,000 306,007 Tokyo Biso Kogyo Corp. 19,000 243,376 Tokyo Energy & Systems, Inc. 77,000 416,085 # Tokyo Kikai Seisakusho, Ltd. 172,000 480,939 Tokyo Leasing Co., Ltd. 142,500 2,006,349 Tokyo Sangyo Co., Ltd. 36,500 128,544 Toli Corp. 173,000 502,954 Tomoe Corp. 84,000 306,356 Tonami Transportation Co., Ltd. 210,000 711,536 # Torishima Pump Manufacturing Co., Ltd., Osaka 62,000 382,018 # Toshiba Machine Co., Ltd. 366,000 1,993,050 Toshiba Plant Kensetsu Co., Ltd. 221,000 959,748 Tosho Printing Co., Ltd. 156,000 563,026 Totetsu Kogyo Co., Ltd. 73,000 345,505 Toyo Bussan Co., Ltd. 36,300 366,134 # * Toyo Construction Co., Ltd. 541,000 629,359 # Toyo Electric Co., Ltd. 91,000 349,962 # Toyo Engineering Corp. 473,000 1,289,579 # * Toyo Shutter Co., Ltd. 77,000 102,112 Toyo Wharf & Warehouse Co., Ltd. 150,000 312,431 Trusco Nakayama Corp. 75,500 1,391,815 Tsubaki Nakashima Co., Ltd. 112,000 1,377,190 Tsubakimoto Chain Co. 435,000 1,961,268 Tsubakimoto Kogyo Co., Ltd. 44,000 142,917 Tsudakoma Corp. 124,000 340,827 # Tsugami Corp. 188,000 930,373 Tsukishima Kikai Co., Ltd. 102,000 858,744 Tsurumi Manufacturing Co., Ltd. 53,000 453,727 Tsuzuki Denki Co., Ltd. 36,000 138,765 Uchida Yoko Co., Ltd. 101,000 423,168 Ueki Corp. 47,000 117,274
7 # Union Tool Co. 48,500 1,412,643 Utoc Corp. 68,000 192,804 # Wakachiku Construction Co., Ltd. 251,000 487,718 Watabe Wedding Corp. 18,900 341,016 Weathernews, Inc. 15,800 115,587 Yahagi Construction Co., Ltd. 75,000 296,706 # Yamato Corp. 50,000 229,263 Yamaura Corp. 19,000 48,378 Yamazen Co., Ltd. 205,000 742,529 Yasuda Warehouse Co., Ltd. 61,000 421,702 Yokogawa Bridge Corp. 98,400 594,403 Yondenko Corp. 80,800 445,573 * Yuasa Trading Co., Ltd. 376,000 595,177 Yuken Kogyo Co., Ltd. 83,000 235,611 Yurtec Corp. 179,000 986,176 # Yushin Precision Equipment Co., Ltd. 30,640 520,160 * Z- Plus Holdings Co., Ltd. 52,000 131,977 ---------------- Total Industrials (Cost $226,668,478) 218,629,039 ---------------- Consumer Discretionary -- (17.3%) # ABILIT Corp. 38,000 1,489,060 # Aeon Fantasy Co., Ltd. 27,300 671,138 # Ahresty Corp. 38,200 629,043 Aichi Machine Industry Co., Ltd. 189,000 838,905 Aigan Co., Ltd. 33,500 297,589 Aisan Industry Co., Ltd. 121,800 1,188,959 # Akebono Brake Industry Co., Ltd. 215,000 1,205,919 * Akindo Sushiro Co., Ltd. 2,200 58,377 # Alpine Electronics, Inc. 133,400 1,898,909 # Anrakutei Co., Ltd. 39,000 275,186 AOI Advertising Promotion, Inc. 21,000 160,859 Aoki International Co., Ltd. 100,800 1,219,466 Araya Industrial Co., Ltd. 112,000 278,171 Ashimori Industry Co., Ltd. 109,000 263,075 Asics Corp. 479,000 2,121,118 Asics Trading Co., Ltd. 12,000 145,777 # Atom Corp. 16,600 64,084 # Atsugi Co., Ltd. 410,000 506,916 Aucnet, Inc. 18,500 364,842 Autoseven Co., Inc. 7,600 89,307 # Avex, Inc. 98,900 1,311,824 Banpresto Co., Ltd. 17,100 270,869 Belluna Co., Ltd. 56,980 1,642,977 # Best Denki Co., Ltd. 276,000 1,061,997 * Bookoff Corp. 6,000 140,139 Cabin Co., Ltd. 86,000 312,004 * Catena Corp. 46,000 89,814 # * Cecile Co., Ltd. 89,400 795,972 Chiyoda Co., Ltd. 94,500 1,540,990 Chofu Seisakusho Co., Ltd. 54,500 1,117,843 * Chori Co., Ltd. 405,000 807,045 Chuo Spring Co., Ltd., Nagoya 137,000 563,558 Chuo Woollen Mills, Ltd. 24,000 55,129 # * Clarion Co., Ltd. 640,000 1,090,034
8 Cleanup Corp. 90,000 868,319 # Colowide Co., Ltd. 55,500 414,207 # * Columbia Music Entertainment, Inc. 409,000 408,930 # Copal Co., Ltd. 21,600 244,193 Corona Corp. 68,900 1,067,626 # Culture Convenience Club Co., Ltd. 112,200 1,979,474 Cybozu, Inc. 184 208,971 # D&M Holdings, Inc. 162,000 337,475 Daido Kogyo Co., Ltd. 85,000 228,323 # Daidoh, Ltd. 83,000 873,310 # * Daiei, Inc. 24,950 431,184 Daiki Co., Ltd. 49,900 487,893 * Daikyo, Inc. 580,000 1,172,973 Dainichi Co., Ltd. 37,700 319,009 Daisyo Corp. 53,200 648,327 * Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 42,000 54,582 # * Daiwa Seiko, Inc. 343,000 555,552 Daiwabo Co., Ltd. 272,000 418,700 # Denny's Japan Co., Ltd. 67,000 1,230,540 Descente, Ltd. 164,000 624,852 # * Dia Kensetsu Co., Ltd. 141,200 291,448 # Doshisha Co., Ltd. 25,800 872,524 # Doutor Coffee Co., Ltd. 47,900 821,944 Dynic Corp. 66,000 213,596 # Eagle Industry Co., Ltd. 93,000 659,270 * Econach Co., Ltd. 26,000 12,664 Exedy Corp. 114,000 1,878,821 F.D.C. Products, Inc. 21,190 289,482 Fine Sinter Co., Ltd. 31,000 108,360 # France Bed Holdings Co., Ltd. 530,000 1,243,297 # Fuji Co.,Ltd. 76,100 1,345,963 # Fuji Corp, Ltd. 56,000 321,369 Fuji Kiko Co., Ltd. 102,000 399,955 Fuji Kyuko Co., Ltd. 251,000 898,128 * Fuji Spinning Co., Ltd., Tokyo 163,000 191,013 Fujikura Rubber, Ltd. 34,000 193,603 Fujita Kanko, Inc. 254,000 1,121,753 Fujitsu Business Systems, Ltd. 54,800 805,270 # * Fujitsu General, Ltd. 236,000 799,539 # * Furukawa Battery Co., Ltd. 45,000 108,005 Fuso Lexel Inc. 35,500 305,250 Gakken Co., Ltd. 247,000 689,173 # Genki Sushi Co., Ltd. 17,200 205,539 Gigas K's Denki Corp. 10,644 249,114 Global-Dining, Inc. 6,200 41,470 # * Goldwin, Inc. 117,000 272,302 Gourmet Kineya Co., Ltd. 47,000 382,397 # * GSI Creos Corp. 120,000 280,106 * H.I.S. Co., Ltd. 6,400 143,585 Happinet Corp. 25,100 427,837 Haruyama Trading Co., Ltd. 33,100 480,131 Hitachi Koki Co., Ltd. 205,000 1,910,650 Hitachi Powdered Metal Co., Ltd. 62,000 415,038 Homac Corp. 97,100 966,575 Horipro, Inc. 23,400 236,727
9 * Ichida and Co., Ltd. 23,400 35,747 Ichikawa Co., Ltd. 49,000 193,620 # Ichikoh Industries, Ltd. 163,000 404,167 Imasen Electric Industrial Co., Ltd. 23,500 177,946 Impact 21 Co., Ltd. 41,500 1,021,813 # * Impress Corp. 257 315,356 Inaba Seisa Kusho Co., Ltd. 38,600 640,629 Ishizuka Glass Co., Ltd. 49,000 129,902 * Izuhakone Railway Co., Ltd. 300 14,926 # * Izutsuya Co., Ltd. 166,000 251,596 # * Jac Holdings Co., Ltd. 170,800 258,230 * Janome Sewing Machine Co., Ltd. 320,000 395,216 # Japan Kenzai Co., Ltd. 60,240 433,338 Japan Vilene Co., Ltd. 143,000 804,850 Japan Wool Textile Co., Ltd. 202,000 1,352,309 Jeans Mate Corp. 15,540 206,576 Joban Kosan Co., Ltd. 193,000 342,966 Joint Corp. 40,200 1,099,947 # Joshin Denki Co., Ltd. 147,000 613,919 Juel Verite Ohkubo Co., Ltd 24,000 59,252 # * Jujiya Co., Ltd. 442,000 319,870 Juki Corp. 247,000 972,185 * Jyomo Co., Ltd. 48,000 109,929 # Kabuki-Za Co., Ltd. 25,000 1,002,170 Kadokawa Holdings, Inc. 27,000 960,098 Kahma Co., Ltd. 69,300 989,121 Kanto Auto Works, Ltd., Yokosuka 148,900 1,748,761 Kasai Kogyo Co., Ltd. 79,000 265,650 Kato Sangyo Co., Ltd. 86,300 1,265,025 # * Kawai Musical Instruments Manufacturing Co., Ltd. 144,000 309,152 # * Kawashima Textile Manufacturers, Ltd. 175,000 270,776 Kayaba Industry Co., Ltd. 496,000 1,660,461 Keiiyu Co., Ltd. 22,100 259,077 # * Keiyo Co., Ltd. 139,900 534,983 Kentucky Fried Chicken Japan, Ltd. 55,000 1,055,927 # Kenwood Corp. 692,000 1,304,437 # Kinki Nippon Tourist Co., Ltd. 196,000 504,954 # Kinugawa Rubber Industrial Co., Ltd. 139,000 314,979 # Kisoji Co., Ltd. 52,600 832,882 # Kohnan Shoji Co., Ltd. 47,500 639,522 # Kojima Co., Ltd. 83,000 1,086,815 Komatsu Seiren Co., Ltd. 80,000 420,419 Konaka Co., Ltd. 49,300 619,045 # Konami Sports Corp. 64,000 1,021,999 Kurabo Industries, Ltd. 554,000 1,337,110 Kuroganeya Co., Ltd. 14,000 55,621 Kyoritsu Maintenance Co., Ltd. 22,300 432,588 Kyoto Kimono Yuzen Co., Ltd. 187 430,065 Kyowa Leather Cloth Co., Ltd. 38,800 237,484 # Laox Co., Ltd. 144,000 398,166 * Look, Inc. 50,000 153,056 # Maezawa Kyuso Industries Co., Ltd. 29,800 411,128 # * Magara Construction Co., Ltd. 61,000 69,864 * Mamiya-Op Co., Ltd. 58,000 135,889 Marche Corp. 10,700 102,029
10 Mars Engineering Corp. 46,700 1,237,656 Marubeni Telecom Co., Ltd. 117 120,252 Maruei Department Store Co., Ltd. 72,000 198,190 # * Maruzen Co., Ltd. 208,000 369,355 Maruzen Co., Ltd. - General Commercial Kitchen Appliances & Equipment 30,000 180,505 # Matsuya Co., Ltd. 120,000 963,489 Matsuya Foods Co., Ltd. 39,500 804,514 # Matsuzakaya Co., Ltd. 386,077 1,789,416 Meiwa Industry Co., Ltd. 15,000 55,216 # * Misawa Homes Holdings, Inc. 57,990 2,053,896 # Misawa Resort Co., Ltd. 113,000 413,880 Mitsuba Corp. 101,690 874,530 Mitsui Home Co., Ltd. 137,000 666,575 Miyuki Keori Co., Ltd. 73,000 284,527 Mizuno Corp. 299,000 1,346,438 # MOS Food Services, Inc. 72,000 1,052,644 # MR Max Corp. 73,900 270,906 Mutow Co., Ltd. 38,000 179,050 * Naigai Co., Ltd. 109,000 128,919 Nichimo Co., Ltd. 54,000 143,639 # * Nichimo Corp. 204,000 265,933 Nidec Tosok Corp. 31,700 416,216 Nihon Eslead Corp. 28,540 716,747 * Nihon Kentetsu Co., Ltd. 27,000 68,264 Nihon Tokushu Toryo Co., Ltd. 44,000 293,101 Nikko Travel Co., Ltd. 12,200 64,687 Nippon Felt Co., Ltd. 56,000 277,075 # Nippon Piston Ring Co., Ltd. 168,000 384,452 Nippon Seiki Co., Ltd. 130,000 1,658,626 Nishimatsuya Chain Co., Ltd. 6,200 148,285 * Nissen Co., Ltd. 21,100 227,307 Nissin Kogyo Co., Ltd. 48,500 1,835,886 Nittan Valve Co., Ltd. 58,000 455,453 Nitto Seimo Co., Ltd. 32,000 85,564 Noritake Co., Ltd. 351,000 1,454,871 # Noritsu Koki Co., Ltd. 74,900 1,550,757 * Omikenshi Co., Ltd. 78,000 80,248 * Orient Watch Co., Ltd. 12,000 4,533 Pacific Industrial Co., Ltd. 116,000 552,614 Parco Co., Ltd. 172,000 1,082,310 # Pentax Corp. 279,000 928,108 Piolax, Inc. 27,300 574,395 Press Kogyo Co., Ltd. 237,000 759,847 * Renown D'urban Holdings, Inc. 82,800 732,512 # Resorttrust, Inc. 64,700 1,634,382 Rhythm Watch Co., Ltd. 344,000 704,834 Right On Co., Ltd. 52,600 1,905,119 Riken Corp. 234,000 1,146,234 Ringer Hut Co., Ltd. 46,400 514,925 Roland Corp. 56,400 962,641 # Roland DG Corp. 39,300 831,653 Royal Co., Ltd. 88,000 1,049,767 # Sagami Chain Co., Ltd. 44,000 393,056 Sagami Co., Ltd. 66,000 252,180 Sagami Rubber Industries Co., Ltd. 15,000 43,187
11 # Saizeriya Co., Ltd. 114,400 1,363,509 # Sakai Ovex Co., Ltd. 124,000 266,680 # Sanden Corp. 323,000 1,335,386 * Sanei-International Co., Ltd. 4,300 139,853 Sankyo Seiko Co., Ltd. 132,000 563,106 Sanoh Industrial Co., Ltd. 70,000 476,223 # * Sanrio Co., Ltd. 173,700 1,733,686 # Sanyo Shokai, Ltd. 303,000 1,612,031 Seiko Corp. 251,407 1,353,684 # Seiren Co., Ltd. 128,000 1,311,370 Senshukai Co., Ltd. 106,000 903,734 Shaddy Co., Ltd. 38,800 387,038 * Shikibo, Ltd. 215,000 271,519 # Shinyei Kaisha 80,000 271,927 Shiroki Co., Ltd. 179,000 464,991 Shobunsha Publications, Inc. 35,200 453,737 # Shochiku Co., Ltd. 237,000 1,489,294 Showa Aircraft Industry Co., Ltd. 67,000 690,532 Showa Corp. 39,500 493,287 Silver Ox Inc. 30,000 66,390 # * Silver Seiko, Ltd. 228,000 83,802 # Simree Co., Ltd. 11,700 78,486 SK Japan Co., Ltd. 8,250 60,544 SNT Corp. 58,300 270,999 * Sofmap Co., Ltd. 9,300 39,362 Sotoh Co., Ltd. 12,000 208,161 SPK Corp. 7,800 116,142 Suminoe Textile Co., Ltd. 159,000 335,635 * Suzutan Co., Ltd. 13,200 75,975 * SXL Corp. 129,000 159,652 Tachikawa Corp. 43,800 314,652 Tachi-S Co., Ltd. 78,840 817,301 Taito Corp. 789 1,122,407 * Taka-Q Co., Ltd. 34,500 85,196 # * Takara Co., Ltd. 224,000 709,038 Tasaki Shinju Co., Ltd. 70,000 287,400 Taya Co., Ltd. 5,000 40,349 * TDF Corp. 11,000 40,861 # Tecmo, Ltd. 46,600 465,449 Teikoku Piston Ring Co., Ltd. 70,000 782,497 Teikoku Sen-I Co., Ltd. 39,000 182,532 # Ten Allied Co., Ltd. 37,000 149,294 Tenma Corp. 71,100 1,349,634 Tigers Polymer Corp. 40,000 226,274 * Toabo Corp. 73,000 76,675 # Toei Co., Ltd. 327,000 1,598,995 * Tohoku Misawa Homes Co., Ltd. 24,000 72,252 # Tohoku Pioneer Corp. 49,600 628,636 # * Tohto Suisan Co., Ltd. 80,000 278,645 * Tokai Kanko Co., Ltd. 618,000 215,539 Tokai Senko KK, Nagoya 47,000 103,589 Tokyo Dome Corp. 314,000 1,708,256 Tokyo Nissan Auto Sales Co., Ltd. 97,000 715,339 Tokyo Soir Co., Ltd. 34,000 142,510 # Tokyotokeiba Co., Ltd. 691,000 1,655,697
12 Tokyu Recreation Corp. 63,000 359,627 # Tomy Co., Ltd. 42,000 654,165 Topre Corp. 118,000 888,658 # * Tosco Co., Ltd. 35,000 233,865 Totenko Co., Ltd. 35,000 89,661 # Touei Housing Corp. 60,740 1,306,391 # Toyo Radiator Co., Ltd. 166,000 743,611 Toyo Tire & Rubber Co., Ltd. 476,000 1,914,861 Tsukamoto Co., Ltd. 44,000 84,424 Tsutsumi Jewelry Co., Ltd. 44,400 1,180,758 # Unitika, Ltd. 1,067,000 1,270,702 U-Shin, Ltd. 54,000 509,666 # Watami Food Service Co., Ltd. 82,100 739,799 * Wondertable, Ltd. 69,000 89,667 Xebio Co., Ltd. 21,100 593,236 XNET Corp. 57 142,012 Yamatane Corp. 175,000 417,775 Yamato International, Inc. 43,000 237,144 Yellow Hat, Ltd., Tokyo 49,200 417,093 # Yokohama Reito Co., Ltd. 92,000 705,945 # Yomiuri Land Co., Ltd. 180,000 1,027,451 Yonex Co., Ltd. 41,000 422,572 Yorozu Corp. 45,000 404,228 Yoshimoto Kogyo Co., Ltd. 79,000 1,315,468 Yuasa Funashoku Co., Ltd. 69,000 160,958 Zenrin Co., Ltd. 81,900 1,224,646 # Zensho Co., Ltd. 59,700 1,184,463 ---------------- Total Consumer Discretionary (Cost $166,895,331) 174,060,739 ---------------- Information Technology -- (9.0%) Aichi Tokei Denki Co., Ltd. 94,000 288,119 Aiphone Co., Ltd. 44,600 761,274 # Allied Telesis KK 169,600 828,200 Alpha Systems, Inc. 23,600 500,197 # Anritsu Corp. 280,000 1,682,393 AOI Electronics Co., Ltd. 24,900 376,925 * Apic Yamada Corp. 20,000 45,319 Argo 21 Corp. 22,400 217,039 Asti Corp. 8,000 79,031 CAC Corp. 39,400 458,494 Canon Electronics, Inc. 62,000 1,634,300 Canon Finetech, Inc. 96,070 1,816,904 # Capcom Co., Ltd. 132,400 1,240,287 Chino Corp. 89,000 277,889 # CMK Corp. 118,000 1,882,981 Computer Engineering & Consulting, Ltd. 38,100 420,468 # Core Corp. 27,400 302,609 Cresco, Ltd. 11,600 149,180 # Daikoku Denki Co., Ltd. 34,200 951,406 Daiwabo Information System Co., Ltd. 33,000 539,450 Denki Kogyo Co., Ltd. 167,000 950,587 * Dodwell B.M.S., Ltd. 15,000 105,173 DTS Corp. 31,500 870,309 Eizo Nanao Corp. 47,500 1,450,286
13 * Elna Co., Ltd. 34,000 67,884 Enplas Corp. 46,200 1,097,014 * FDK Corp. 260,000 418,583 Foster Electric Co., Ltd. 44,000 387,163 Fujitsu Access, Ltd. 48,000 359,307 Fujitsu Fronttec, Ltd. 49,200 504,117 * Graphtec Corp. 39,000 58,936 Hakuto Co., Ltd. 49,900 706,218 # Hitachi Business Solution Co., Ltd. 22,700 153,565 Hitachi Information Systems, Ltd. 39,600 770,989 Hitachi Kokusai Electric, Inc. 229,000 2,002,850 Hitachi Mobile Co., Ltd. 35,000 235,431 # Hochiki Corp. 42,000 175,599 # Hokuriku Electric Industry Co., Ltd. 159,000 384,173 Horiba, Ltd. 84,000 1,691,579 Hosiden Corp. 165,400 1,703,554 Icom, Inc. 32,400 817,229 Idec Izumi Corp. 83,500 961,621 # * Ikegami Tsushinki Co., Ltd. 102,000 185,741 # Ines Corp. 108,800 905,221 I-Net Corp. 18,300 113,472 # Information Services International-Dentsu, Ltd. 65,100 791,395 Intec, Inc. 102,128 945,630 Ishii Hyoki Co., Ltd. 8,600 102,620 # Iwatsu Electric Co., Ltd. 207,000 452,772 Japan Aviation Electronics Industry, Ltd. 43,000 462,341 Japan Business Computer Co., Ltd. 46,300 312,406 Japan Digital Laboratory Co., Ltd. 71,500 868,368 Japan Information Processing Service Co., Ltd. 31,800 197,313 # * Japan Radio Co., Ltd. 303,000 1,216,268 Jastec Co., Ltd. 16,400 279,904 Jiec Co., Ltd. 87 95,634 # Kaga Electronics Co., Ltd. 56,300 1,063,275 Kanematsu Electronics, Ltd. 45,500 329,591 Kawatetsu Systems, Inc. 112 142,194 Koa Corp. 86,500 683,949 # Komatsu Electronics Metals Co., Ltd. 59,400 513,738 # Kubotek Corp. 230 261,283 Kyoden Co., Ltd. 106,000 1,038,105 Kyowa Electronic Instruments Co., Ltd. 30,000 115,330 Macnica, Inc. 39,900 1,051,976 Marubeni Infotec Corp. 21,000 65,980 Marubun Corp. 67,600 588,656 Maruwa Co., Ltd. 22,000 432,588 Maspro Denkoh Corp. 38,900 361,292 # Megachips Corp. 50,600 551,725 Melco Holdings, Inc. 9,000 205,058 # Mimasu Semiconductor Industry Co., Ltd. 49,100 720,311 # Miroku Jyoho Service Co., Ltd. 63,000 250,216 Mitsui High-Tec, Inc. 90,300 1,061,204 Mitsui Knowledge Industry Co., Ltd. 20,100 168,391 Mitsumi Electric Co., Ltd. 165,400 1,750,652 Moritex Corp. 15,000 115,788 * Mutoh Industries, Ltd. 102,000 221,770 # * Nagano Japan Radio Co., Ltd. 63,000 117,477
14 Nakayo Telecommunications, Inc. 49,000 256,466 NEC Infrontia Corp. 244,000 887,679 NEC Mobiling, Ltd. 31,300 599,397 # NEC Tokin Corp. 251,000 1,527,178 * Netmarks, Inc. 50 133,597 New Japan Radio Co., Ltd. 72,000 640,575 Nihon Dempa Kogyo Co., Ltd. 46,100 1,082,247 Nihon Inter Electronics Corp. 76,700 540,005 Nippon Avionics Co., Ltd. 40,000 183,568 Nippon Ceramic Co., Ltd. 49,000 749,601 Nippon Chemi-Con Corp. 287,000 1,789,306 Nippon System Development Co., Ltd. 57,300 1,079,491 Nippon Systemware Co., Ltd. 20,000 140,022 Nissho Electronics Corp. 49,900 380,348 # NIWS Co., Ltd. 1,110 1,486,291 Nohmi Bosai, Ltd. 81,000 417,676 # Okaya Electric Industries Co., Ltd. 32,000 123,101 Ono Sokki Co., Ltd. 53,000 364,193 Origin Electric Co., Ltd. 85,000 634,724 Osaki Electric Co., Ltd. 72,000 404,293 PCA Corp. 12,000 214,507 Pulstec Industrial Co., Ltd. 21,200 109,047 Ricoh Elemex Corp. 41,000 299,869 Rikei Corp. 22,500 63,112 Riken Keiki Co., Ltd. 48,000 362,102 Ryoden Trading Co., Ltd. 94,000 613,016 Ryosan Co., Ltd. 73,700 1,797,717 Ryoyo Electro Corp. 71,700 1,163,046 Sanko Co., Ltd. 12,000 85,778 Sanshin Electronics Co., Ltd. 67,000 581,723 Satori Electric Co., Ltd. 33,380 433,836 Sekonic Corp. 17,000 41,544 # Shindengen Electric Manufacturing Co., Ltd. 148,000 487,302 Shinkawa, Ltd. 44,100 802,253 Shinko Shoji Co., Ltd. 57,000 479,916 Shizuki Electric Co., Inc. 47,000 126,075 Siix Corp. 25,800 333,426 SMK Corp. 176,000 809,086 Software Research Associates, Inc. 15,100 293,796 Sokkisha Co., Ltd. 69,000 212,324 # Sorun Corp. 51,000 321,690 # * SPC Electronics Corp. 29,000 114,062 Star Micronics Co., Ltd. 124,000 1,314,925 # Sumida Corp. 42,649 914,128 SunTelephone Co., Ltd. 67,000 534,924 Tabai Espec Corp. 49,000 511,958 * Tachibana Eletech Co., Ltd. 11,000 117,262 Tamura Corp. 164,000 627,633 Tamura Taiko Holdings, Inc. 131,000 1,022,109 # * Teac Corp. 350,000 509,277 Teikoku Tsushin Kogyo Co., Ltd. 89,000 373,129 TKC Corp. 67,800 1,107,042 Toko, Inc. 195,000 530,478 # Tokyo Denpa Co., Ltd. 11,000 139,772 # Tokyo Electron Device, Ltd. 171 423,184
15 Tomen Electronics Corp. 33,600 836,095 Tose Co., Ltd. 12,200 184,624 # Toshiba Ceramics Co., Ltd. 350,000 1,066,519 # * Totoku Electric Co., Ltd., Tokyo 62,000 125,861 Toukei Computer Co., Ltd. 14,710 181,803 Towa Corp. 33,000 210,966 Towa Meccs Corp. 75,000 77,764 * Toyo Communication Equipment Co., Ltd. 124,000 502,888 # Toyo Corp. 71,800 839,310 # Trans Cosmos, Inc. 53,800 1,835,226 Tsuzuki Densan Co., Ltd. 14,200 80,904 Yamaichi Electronics Co., Ltd. 40,900 499,148 Yamatake Corp. 165,700 2,733,950 Yaskawa Information Systems Corp. 23,400 116,021 Ye Data, Inc. 25,000 70,905 Yokowo Co., Ltd. 38,000 335,689 Zuken, Inc. 59,700 572,343 ---------------- Total Information Technology (Cost $87,131,008) 90,625,088 ---------------- Materials -- (8.7%) Achilles Corp. 549,000 995,424 Agro-Kanesho Co., Ltd. 7,000 56,204 Arakawa Chemical Industries, Ltd. 34,500 460,133 Aronkasei Co., Ltd. 83,000 404,055 Asahi Denka Kogyo KK 169,000 1,735,866 Asahi Organic Chemicals Industry Co., Ltd. 210,000 710,198 # Chuetsu Pulp and Paper Co., Ltd. 259,000 675,759 * Chugai Mining Co., Ltd. 373,800 233,129 Chugoku Marine Paints, Ltd. 152,000 884,460 # Chugokukogyo Co., Ltd. 45,000 120,491 # * Co-Op Chemical Co., Ltd. 80,000 141,050 # * Dai Nippon Toryo, Ltd. 286,000 482,678 # Dai-Ichi Kogyo Seiyaku Co., Ltd. 47,000 168,758 Daiken Corp. 289,000 1,228,949 Dainichiseika Colour & Chemicals Manufacturing Co., Ltd. 195,000 1,001,588 Dainippon Shigyo Co., Ltd. 25,000 110,429 # Daiso Co., Ltd. 206,000 632,772 DC Co., Ltd. 58,000 179,251 Dijet Industrial Co., Ltd. 34,000 93,074 # FP Corp. 50,800 983,487 Fujikura Kasei Co., Ltd. 51,000 373,556 Fumakilla, Ltd. 37,000 115,004 Geostar Corp. 10,000 45,147 # Godo Steel, Ltd. 355,000 1,100,706 # Gun-Ei Chemical Industry Co., Ltd. 180,000 692,484 Harima Chemicals, Inc. 47,000 280,228 Hodogaya Chemical Co., Ltd. 163,000 816,211 Hokkai Can Co., Ltd., Tokyo 133,000 389,492 Hokko Chemical Industry Co., Ltd. 41,000 150,773 Hokushin Co., Ltd. 39,900 88,110 Honshu Chemical Industry Co., Ltd. 17,000 111,820 # Ihara Chemical Industry Co., Ltd. 106,000 324,558 ISE Chemicals Corp. 38,000 177,431 Ishihara Sangyo Kaisha, Ltd. 883,500 1,934,749
16 # * Ishii Iron Works Co., Ltd. 52,000 124,968 # JSP Corp. 62,100 624,909 Kanto Denka Kogyo Co., Ltd. 110,000 380,745 Kasei (C.I.) Co., Ltd. 58,000 241,496 Katakura Chikkarin Co., Ltd. 27,000 87,603 * Kawasaki Kasei Chemicals, Ltd. 36,000 60,949 Kishu Paper Co., Ltd. 160,000 295,398 Koatsu Gas Kogyo Co., Ltd. 112,000 515,314 Kohsoku Corp. 48,000 320,887 Komatsu Wall Industry Co., Ltd. 20,800 370,716 Konishi Co., Ltd. 41,700 383,517 # Kumiai Chemical Industry Co., Ltd., Tokyo 166,000 383,002 Kureha Chemical Industry Co., Ltd. 428,000 1,740,391 # Kurimoto, Ltd. 278,000 780,912 Kurosaki Harima Corp. 165,000 473,791 MEC Co., Ltd. 18,200 280,677 Mesco, Inc. 15,000 48,409 # Mitsubishi Paper Mills, Ltd. 700,000 937,013 Mitsubishi Plastics, Inc. 490,000 1,325,100 # Mitsubishi Shindoh Co., Ltd. 107,000 249,695 # Mitsubishi Steel Manufacturing Co., Ltd. 305,000 610,667 # * Mitsui Mining Co., Ltd. 345,000 970,905 Mory Industries, Inc. 85,000 286,419 Nakabayashi Co., Ltd. 112,000 315,506 Nakayama Steel Works, Ltd. 260,000 1,018,036 # Neturen Co., Ltd., Tokyo 92,000 651,901 # Nichia Steel Works, Ltd. 88,900 425,132 Nihon Kagaku Sangyo Co., Ltd. 32,000 183,416 Nihon Matai Co., Ltd. 50,000 118,248 Nihon Nohyaku Co., Ltd. 131,000 327,248 # Nihon Parkerizing Co., Ltd. 146,000 1,740,180 Nihon Seiko Co., Ltd. 11,000 34,297 * Nippon Carbide Industries Co., Inc., Tokyo 101,000 167,195 # Nippon Chemical Industrial Co., Ltd. 192,000 599,557 # Nippon Concrete Industries Co., Ltd. 88,000 285,427 # Nippon Denko Co., Ltd. 246,000 910,465 Nippon Fine Chemical Co., Ltd. 50,000 283,888 Nippon Foil Mfg., Co., Ltd. 21,000 55,612 # * Nippon Kasei Chemical Co., Ltd. 215,000 526,820 # Nippon Kinzoku Co., Ltd. 130,000 273,427 # * Nippon Koshuha Steel Co., Ltd. 266,000 364,657 # Nippon Metal Industry Co., Ltd. 364,000 675,045 Nippon Pigment Co., Ltd. 11,000 49,241 # Nippon Pillar Packing Co., Ltd. 43,000 293,879 Nippon Soda Co., Ltd. 314,000 1,010,929 # Nippon Synthetic Chemical Industry Co., Ltd. 204,000 547,005 Nippon Valqua Industries, Ltd. 168,000 486,052 Nippon Yakin Kogyo Co., Ltd. 203,500 791,719 Nittetsu Mining Co., Ltd. 174,000 699,643 Nitto FC Co., Ltd. 72,000 449,246 Noda Corp. 33,800 224,059 NOF Corp. 453,000 1,681,583 # Okamoto Industries, Inc. 284,000 1,027,543 Okura Industrial Co., Ltd. 130,000 818,300 Osaka Steel Co., Ltd. 93,600 1,154,311
17 # Pacific Metals Co., Ltd. 415,000 1,737,647 Riken Technos Corp. 143,000 561,542 * S Science Co., Ltd. 808,000 126,151 # S.T. Chemical Co., Ltd. 66,000 848,305 Sakai Chemical Industry Co., Ltd. 230,000 995,456 Sakata INX Corp. 136,000 709,655 Sanyo Chemical Industries, Ltd. 267,000 1,930,907 Sanyo Special Steel Co., Ltd. 362,000 1,122,703 Sekisui Plastics Co., Ltd. 221,000 783,770 Shikoku Chemicals Corp. 126,000 524,312 Shinagawa Refractories Co., Ltd. 131,000 414,899 Shin-Etsu Polymer Co., Ltd. 188,000 1,407,383 Showa Highpolymer Co., Ltd. 112,000 339,579 Showa Tansan Co., Ltd. 31,000 109,688 Somar Corp. 22,000 85,804 # Stella Chemifa Corp. 23,900 498,790 Sumitomo Light Metal Industries, Ltd. 736,000 1,199,702 Sumitomo Pipe & Tube Co., Ltd. 52,000 235,663 Sumitomo Seika Chemicals Co., Ltd. 125,000 363,674 # Sumitomo Titanium Corp. 19,500 2,552,495 Taisei Lamick Co., Ltd. 11,300 282,120 Takasago International Corp. 220,000 1,040,288 Takiron Co., Ltd. 164,000 718,703 Tateho Chemical Industries Co., Ltd. 26,500 94,015 Tayca Corp. 96,000 270,363 * Titan Kogyo KK 36,000 72,654 Toagosei Co., Ltd. 544,719 2,227,623 # Toda Kogyo Corp. 84,000 322,411 Tohcello Co., Ltd. 67,000 380,451 # * Toho Rayon Co., Ltd. 320,000 1,344,734 Toho Titanium Co., Ltd. 61,000 2,254,406 # Toho Zinc Co., Ltd. 277,000 668,190 * Tohpe Corp. 36,000 63,399 # Tokai Carbon Co., Ltd. 460,000 1,942,898 # Tokai Pulp & Paper Co., Ltd. 121,000 390,278 # Tokushu Paper Manufacturing Co., Ltd. 111,000 523,848 Tokyo Rope Manufacturing Co., Ltd. 337,000 607,869 # Tokyo Tekko Co., Ltd. 85,000 269,197 Tomoegawa Paper Co., Ltd. 80,000 254,955 Tomoku Co., Ltd. 177,000 470,963 # Topy Industries, Ltd. 492,000 1,632,301 Toyo Kohan Co., Ltd. 225,000 1,048,712 Tsutsunaka Plastic Industry Co., Ltd. 92,000 425,744 TYK Corp. 67,000 180,043 Ube Material Industries, Ltd. 144,000 374,140 Wood One Co., Ltd. 107,000 786,632 Yamamura Glass Co., Ltd. 250,000 671,185 Yamato Kogyo Co., Ltd. 118,000 1,352,119 Yodogawa Steel Works, Ltd. 338,000 1,784,409 Yuki Gosei Kogyo Co., Ltd. 31,000 109,896 Yushiro Chemical Industry Co., Ltd. 33,000 622,058 ---------------- Total Materials (Cost $87,469,311) 87,315,803 ----------------
18 Consumer Staples -- (8.1%) Aderans Co., Ltd. 87,050 2,015,621 Ahjikan Co., Ltd. 10,500 81,672 # Ariake Japan Co., Ltd. 73,700 1,737,162 Asahi Soft Drinks Co., Ltd. 119,000 1,309,402 Bull Dog Sauce Co., Ltd. 37,000 459,310 Calpis Co., Ltd. 174,000 1,238,482 CFS Corp. 61,500 358,908 Chuo Gyorui Co., Ltd. 61,000 155,601 Coca-Cola Central Japan Co., Ltd. 204 1,707,041 CVS Bay Area, Inc. 30,000 89,414 DyDo Drinco, Inc. 36,600 1,221,776 Echo Trading Co., Ltd. 4,000 55,888 Ensuiko Sugar Refining Co., Ltd. 51,000 145,010 Fancl Corp. 51,400 1,890,240 * First Baking Co., Ltd. 67,000 144,766 Fujicco Co., Ltd. 61,000 899,821 # Fujiya Co., Ltd. 283,000 603,384 Hagoromo Foods Corp. 41,000 442,996 Harashin Co., Ltd. 33,800 309,954 Hayashikane Sangyo Co., Ltd. 166,000 238,811 Heiwado Co., Ltd. 130,000 1,981,348 * Hohsui Corp. 56,000 124,780 Hokkaido Coca-Cola Bottling Co., Ltd. 80,000 563,679 # Hokuto Corp. 74,900 1,368,378 Inageya Co., Ltd. 118,000 1,058,795 # Itochu Shokuh Co., Ltd. 28,800 1,102,110 Izumiya Co., Ltd. 205,000 1,351,337 Japan Carlit Co., Ltd. 28,000 206,047 # J-Oil Mills, Inc. 362,000 1,460,615 K.R.S. Corp. 25,500 368,303 # Kagome Co., Ltd. 173,900 1,809,084 Kameda Seika Co., Ltd. 48,000 440,443 # * Kanebo, Ltd. 104,200 289,648 Kasumi Co., Ltd. 132,000 750,307 Key Coffee, Inc. 48,600 662,272 Kibun Food Chemifa Co., Ltd. 62,000 1,463,568 Kinki Coca-Cola Bottling Co., Ltd. 138,000 1,457,419 Kirindo Co., Ltd. 10,300 97,969 # Kyodo Shiryo Co., Ltd. 188,000 341,100 Kyokuyo Co., Ltd. 198,000 462,605 # Life Corp. 120,400 1,487,459 * Mandom Corp. 4,600 116,552 Marudai Food Co., Ltd. 289,000 789,937 Maruetsu, Inc. 286,000 1,328,105 Maruha Group, Inc. 477,000 1,209,422 Maruya Co., Ltd. 14,000 108,838 Maxvalu Tohok Co., Ltd. 18,200 160,750 Meito Sangyo Co., Ltd. 50,100 853,432 Mercian Corp. 304,000 851,188 Mikuni Coca-Cola Bottling Co., Ltd. 117,000 1,119,965 Milbon Co., Ltd. 22,600 707,762 Ministop Co., Ltd. 62,600 1,175,146 Mitsui Sugar Co., Ltd. 271,850 754,645 Miyoshi Oil & Fat Co., Ltd. 149,000 355,015 Morinaga & Co., Ltd. 612,000 1,567,703
19 Morishita Jinton Co., Ltd. 32,800 140,726 Morozoff, Ltd., Osaka 50,000 111,541 Myojo Foods Co., Ltd. 91,000 570,369 Nagatanien Co., Ltd. 83,000 652,014 Nakamuraya Co., Ltd. 152,000 560,076 Nichiro Corp. 327,000 626,490 Nihon Shokuh Kako Co., Ltd. 40,000 132,333 Niitaka Co., Ltd. 7,260 79,200 # Nippon Beet Sugar Manufacturing Co., Ltd. 314,000 696,508 # Nippon Flour Mills Co., Ltd. 385,000 1,748,371 Nippon Formula Feed Manufacturing Co., Ltd. 144,000 246,730 Nippon Suisan Kaisha, Ltd. 529,000 2,007,452 Nissin Sugar Manufacturing Co., Ltd. 102,000 219,307 Nitto Flour Milling Co., Ltd. 54,000 158,354 Nosan Corp. 271,000 660,944 Oenon Holdings, Inc. 123,000 434,310 Oie Sangyo Co., Ltd. 13,200 107,491 Okuwa Co., Ltd. 101,000 1,144,042 Olympic Corp. 48,200 535,885 # Oriental Yeast Co., Ltd. 61,000 407,884 Pigeon Corp. 46,900 682,763 Pokka Corp. 72,000 382,888 Poplar Co., Ltd. 13,560 181,756 Posful Corp. 47,600 254,195 * Prima Meat Packers, Ltd. 460,000 641,236 # Q'Sai Co., Ltd. 70,100 694,340 Riken Vitamin Co., Ltd. 49,900 1,371,698 Rock Field Co., Ltd. 25,300 384,304 S Foods, Inc. 60,000 438,911 Sakata Seed Corp. 115,700 1,531,543 # Seijo Corp. 22,600 495,319 Shikoku Coca-Cola Bottling Co., Ltd. 48,500 708,481 Shoei Foods Corp. 35,000 258,583 Showa Sangyo Co., Ltd. 398,000 1,129,698 # * Snow Brand Milk Products Co., Ltd. 501,000 1,426,049 Snow Brand Seed Co., Ltd. 30,000 151,451 Sonton Food Industry Co., Ltd. 33,000 351,483 # Sotetsu Rosen Co., Ltd. 60,000 329,005 Starzen Corp. 169,000 519,366 # Sugi Pharmacy Co., Ltd. 55,400 1,618,742 # T.Hasegawa Co., Ltd. 89,400 1,451,855 The Nisshin Oillio Group, Ltd. 346,000 1,953,906 Three F Co., Ltd. 12,200 110,382 * Tobu Store Co., Ltd. 103,000 271,333 Toho Co., Ltd. 51,000 388,652 Tokyu Store Chain Corp. 175,000 824,737 Torigoe Co., Ltd. 48,000 329,858 * Toyo Sugar Refining Co., Ltd. 105,000 170,987 * Tsuruha Co., Ltd. 4,000 123,831 U.Store Co., Ltd. 63,600 597,307 # Unicafe, Inc. 10,360 152,458 Unimat Offisco Corp. 37,500 430,788 # Valor Co., Ltd. 40,000 1,109,345 Wakodo Co., Ltd. 12,200 355,173 Warabeya Nichiyo Co., Ltd. 34,760 678,311
20 Yaizu Suisankagaku Industry Co., Ltd. 27,500 289,651 Yaoko Co., Ltd. 46,100 886,632 Yomeishu Seizo Co., Ltd. 71,000 612,826 Yonekyu Corp. 58,000 666,380 # Yukiguni Maitake Co., Ltd. 60,580 295,278 ---------------- Total Consumer Staples (Cost $77,218,674) 81,542,513 ---------------- Financials -- (7.9%) Aichi Bank, Ltd. 19,000 1,790,806 Akita Bank, Ltd. 441,000 1,994,180 Aomori Bank, Ltd. 417,000 1,635,211 # * Azel Corp., Tokyo 89,000 157,336 Bank of Okinawa, Ltd. 47,000 1,520,350 Bank of Saga, Ltd. 384,000 1,425,547 Bank of the Ryukyus, Ltd. 68,580 1,576,604 Central Finance Co., Ltd. 201,000 872,842 * Century Leasing System, Inc. 11,300 123,687 * Chiba Kogyo Bank, Ltd. 117,700 947,678 Chukyo Bank, Ltd. 497,000 1,661,191 # Cosmo Securities Co., Ltd. 952,000 1,742,518 Credia Co., Ltd. 14,000 504,453 Daibiru Corp. 226,000 1,663,633 Daiko Clearing Services Corp. 25,000 187,112 Daisan Bank, Ltd. 417,000 1,485,081 Daiwa Kosho Lease Co., Ltd. 333,000 1,695,140 Diamond City Co., Ltd. 17,050 500,808 Ehime Bank, Ltd. 330,000 1,109,887 # Eighteenth Bank, Ltd. 390,000 1,837,369 # Fukushima Bank, Ltd. 432,000 638,984 * Generas Corp. 64,000 590 * Gro-BeLS Co., Ltd. 84,000 135,285 Hanshin Sogo Bank, Ltd. 867,000 1,720,169 Higashi-Nippon Bank, Ltd. 413,000 1,564,133 # Hokuetsu Bank, Ltd. 504,000 1,064,273 Ichiyoshi Securities Co., Ltd. 103,000 926,692 Jaccs Co., Ltd. 207,000 1,629,053 Kagawa Bank, Ltd. 167,350 948,924 * Kanto Tsukuba Bank, Ltd. 45,500 316,427 Keihanshin Real Estate Co., Ltd. 93,000 562,577 Kita-Nippon Bank, Ltd. 17,806 842,286 Kiyo Bank, Ltd. 976,000 1,837,633 Kobayashi Yoko Co., Ltd. 21,600 363,386 # Kosei Securities Co., Ltd. 173,000 333,857 * Kyushu-Shinwa Holdings, Inc. 702,000 1,062,599 Marusan Securities Co., Ltd. 167,000 1,051,181 Meiwa Estate Co., Ltd. 52,900 551,627 Michinoku Bank, Ltd. 349,000 1,618,633 Mito Securities Co., Ltd. 181,000 776,570 Mitsubishi Tokyo Financial Group, Inc. 1 7,356 Miyazaki Bank, Ltd. 324,000 1,344,816 * Momiji Holdings, Inc. 449 1,001,734 Nagano Bank, Ltd. 179,000 551,000 # Nisshin Fire & Marine Insurance Co., Ltd. 447,000 1,661,367 * Nittyu Co., Ltd. 700 117,317
21 Odakyu Real Estate Co., Ltd. 85,000 228,405 Oita Bank, Ltd. 301,000 1,947,461 Osaka Securities Finance Co., Ltd. 54,000 205,217 Pocket Card Co., Ltd. 41,000 847,812 Ricoh Leasing Co., Ltd. 67,700 1,586,445 Sankei Building Co., Ltd. 159,000 1,135,510 # Sanyo Electric Credit Co., Ltd. 76,800 1,568,059 Shimizu Bank, Ltd. 21,100 1,051,157 Shinki Co., Ltd. 158,100 1,433,307 Shoei Co., Ltd. 28,800 522,895 Shokusan Bank, Ltd. 98,000 328,577 # Suruga Corp. 22,700 765,797 # Tachihi Enterprise Co., Ltd. 31,750 1,177,509 Takagi Securities Co., Ltd. 125,000 378,521 The Daito Bank, Ltd. 232,000 367,562 TOC Co., Ltd. 139,000 533,725 Tochigi Bank, Ltd. 256,000 1,575,412 Toho Bank, Ltd. 433,000 1,773,427 Toho Real Estate Co., Ltd. 140,000 629,946 Tohoku Bank, Ltd. 117,000 308,874 Tokai Tokyo Securities Co., Ltd. 635,250 1,870,664 Tokushima Bank, Ltd. 159,200 1,336,581 Tokyo Rakutenchi Co., Ltd. 126,000 488,199 # Tokyo Theatres Co., Inc., Tokyo 164,000 347,483 Tokyo Tomin Bank, Ltd. 80,500 2,034,234 Tokyu Community Corp. 31,700 597,967 # Tokyu Livable Inc. 35,300 1,418,701 Tomato Bank, Ltd. 251,000 581,162 Tottori Bank, Ltd. 235,000 746,654 Towa Bank, Ltd. 535,000 1,183,264 # * Towa Real Estate Development Co., Ltd. 217,000 728,326 Toyo Securities Co., Ltd. 171,000 638,725 Yamagata Bank, Ltd. 389,000 1,848,043 Yuraku Real Estate Co., Ltd. 116,000 500,812 ---------------- Total Financials (Cost $75,605,228) 79,746,335 ---------------- Health Care -- (2.7%) Aloka Co., Ltd. 63,000 441,957 As One Corp. 37,080 712,603 Create Medic Co., Ltd. 11,000 109,299 # Eiken Chemical Co., Ltd. 54,000 612,740 # Fujirebio, Inc. 101,500 1,995,056 Fuso Pharmaceutical Industries, Ltd. 203,000 703,466 Hitachi Medical Corp. 89,000 1,171,141 Hogy Medical Co., Ltd. 35,900 1,529,228 Iwaki & Co., Ltd. 38,000 113,039 # Japan Medical Dynamic Marketing, Inc. 38,300 419,824 # Jeol, Ltd. 168,000 922,701 JMS Co., Ltd. 69,000 237,701 # Kaken Pharmaceutical Co., Ltd. 213,000 1,392,479 Kawamoto Corp. 4,000 22,716 * Kawanishi Holdings, Ltd. 1,300 14,983 Kawasumi Laboratories, Inc. 35,000 242,140 Mochida Pharmaceutical Co., Ltd. 130,000 819,402
22 Nihon Kohden Corp. 101,000 1,444,351 Nikken Chemicals Co., Ltd. 134,000 418,973 # * Nippon Chemiphar Co., Ltd. 70,000 452,671 Nippon Shinyaku Co., Ltd. 155,000 1,241,883 Nissui Pharmaceutical Co., Ltd. 34,000 213,481 Paramount Bed Co., Ltd. 72,700 1,717,057 Rion Co., Ltd. 5,000 28,125 Rohto Pharmaceutical Co., Ltd. 119,000 1,466,700 * Seikagaku Corp. 10,000 112,130 Sogo Medical Co., Ltd. 13,400 269,584 SS Pharmaceutical Co., Ltd., Tokyo 276,000 1,876,822 Teikoku Hormone Manufacturing Co., Ltd. 44,000 423,491 Topcon Corp. 102,000 1,611,759 Torii Pharmaceutical Co., Ltd. 63,900 1,359,157 * Toyama Chemicals Co., Ltd. 431,000 1,491,594 Vital-Net, Inc. 98,800 740,345 Wakamoto Pharmaceutical Co., Ltd. 48,000 150,415 # Zeria Pharmacetical Co., Ltd. 99,000 996,490 ---------------- Total Health Care (Cost $24,860,469) 27,475,503 ---------------- Energy -- (1.1%) AOC Holdings, Inc. 160,200 2,235,879 # * Fuji Kosan Co., Ltd. 178,000 283,800 # Itochu Enex Co., Ltd. 201,300 1,347,633 Japan Oil Transportation Co., Ltd. 45,000 147,516 Kanto Natural Gas Development Co., Ltd. 119,000 756,944 # Kyoei Tanker Co., Ltd. 78,000 311,747 Mitsuuroko Co., Ltd. 153,000 1,056,434 * Modec, Inc. 26,200 606,436 # Nippon Gas Co., Ltd. 104,000 870,174 Petrolub International Co., Ltd. 52,900 262,490 Sala Corp. 84,000 405,627 San-Ai Oil Co., Ltd. 155,000 721,595 Shinko Plantech Co., Ltd. 56,000 110,880 Sinanen Co., Ltd. 160,000 821,604 Toa Oil Co., Ltd. 181,000 307,491 # * Toyo Kanetsu KK 261,000 374,714 ---------------- Total Energy (Cost $10,346,115) 10,620,964 ---------------- Utilities -- (0.5%) Hokkaido Gas Co., Ltd. 105,000 301,391 Hokuriku Gas Co., Ltd. 64,000 183,855 Okinawa Electric Power Co., Ltd. 33,810 1,589,148 # Saibu Gas Co., Ltd. 843,000 1,722,986 Shizuokagas Co., Ltd. 157,000 805,516 Tokai Corp. 163,000 708,105 ---------------- Total Utilities (Cost $4,652,743) 5,311,001 ---------------- Other -- (0.2%) Airport Facilities Co., Ltd. 120,970 675,575 * Akai Electric Co., Ltd. 363,000 3,345 * Fujii & Co., Ltd. 44,000 405
23 * Fujiko Co., Ltd. 55,000 0 * Gajoen Kanko KK 37,000 0 * GKN D1 Tochigi Holdings Shares 51 156,475 * Kakuei (L.) Corp. 100,000 921 * Kokune Corp. 42,000 0 * Maruishi Holdings Co., Ltd. 214,000 1,972 * New Real Property KK 43,900 0 * Nichiboshin, Ltd. 1,190 1,096 * Nisseki House Industry Co., Ltd. 260,000 0 Subaru Enterprise Co., Ltd. 36,000 124,544 Sundrug Co., Ltd. 6,400 240,592 * Takarabune Corp. 26,000 240 * TOC Co., Ltd. Issue 05 145,950 560,412 ---------------- Total Other (Cost $4,788,037) 1,765,577 ---------------- TOTAL COMMON STOCKS (Cost $765,635,394) 777,092,562 ---------------- RIGHTS/WARRANTS -- (0.0%) Other -- (0.0%) * BSL Corp. Rights 06/10/05 43,214 0 * Kanematsu Corp. Warrants 03/31/06 20,125 0 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 0 ---------------- INVESTMENT IN CURRENCY -- (0.4%) * Japanese Yen 3,888,366 ---------------- (Cost $3,914,685) TOTAL -- JAPAN (Cost $769,550,079) 780,980,928 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (22.4%) ^ Repurchase Agreement, Deutsche Bank Securities & Mizuho Securities USA 2.96% and 2.98%, respectively, 06/01/05 (Collateralized by $350,771,984 U.S. TIPS 1.875%, 07/15/13 & U.S. STRIPS, rates ranging from 0% to 9.25%, maturities ranging from 11/15/08 to 11/15/22, valued at $223,916,808) to be repurchased at $219,542,589 (Cost $219,524,430) $ 219,524 219,524,430 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $5,863,000 FNMA Notes 2.95%, 11/14/07, valued at $5,855,671) to be repurchased at $5,769,463 (Cost $5,769,000) 5,769 5,769,000 ---------------- Total Repurchase Agreements 225,293,430 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $225,293,430) 225,293,430 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $994,843,509) $ 1,006,274,358 ================
24 - --------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 25 THE PACIFIC RIM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- AUSTRALIA -- (41.9%) COMMON STOCKS -- (41.5%) A.I., Ltd. 129,195 $ 15,591 A.P. Eagers, Ltd. 27,393 155,149 AAV, Ltd. 192,653 169,491 # ABB Grain, Ltd. 363,642 1,619,283 ABC Learning Centres, Ltd. 353,727 1,413,036 * Acclaim Exploration NL 435,905 11,503 * Adacel Technologies, Ltd. 113,249 23,907 ADCorp Australia, Ltd. 123,389 67,082 Adelaide Bank, Ltd. 251,960 2,069,209 Adelaide Brighton, Ltd. 1,430,948 1,867,387 # Adsteam Marine, Ltd. 650,984 977,707 Adtrans Group, Ltd. 32,047 89,225 * Agenix, Ltd. 267,186 62,556 * AGT Biosciences, Ltd. 261,684 108,895 * Ainsworth Game Techology, Ltd. 314,923 132,756 AJ Lucas Group, Ltd. 85,235 99,574 Alesco Corp., Ltd. 182,571 964,934 * Alkane Exploration, Ltd. 185,165 23,016 * Allegiance Mining NL 301,699 29,575 * Altium, Ltd. 162,100 28,644 Amalgamated Holdings, Ltd. 320,951 981,976 Amcom Telecommunications, Ltd. 596,711 76,442 * Amity Oil NL 372,573 143,239 * Amrad Corp., Ltd. 211,023 70,660 * Anadis, Ltd. 136,900 37,227 * Anateus Energy, Ltd. 193,687 13,605 Ansell, Ltd. 19,924 138,124 ARB Corporation, Ltd. 151,288 371,208 * Arc Energy NL 459,772 645,842 Ariadne Australia, Ltd. 277,334 71,297 Arrow Pharmaceuticals, Ltd. 787,475 1,544,786 Aspen Group, Ltd. 20,479 3,099 * Atlas Pacific, Ltd. 82,585 12,193 # AuIron Energy, Ltd. 133,822 267,837 Ausdrill, Ltd. 178,089 95,872 Ausmelt, Ltd. 36,118 6,969 Auspine, Ltd. 115,651 301,377 * Austal, Ltd. 444,288 594,413 * Austar United Communications, Ltd. 3,146,981 2,090,155 # Austereo Group, Ltd. 1,080,140 1,424,961 Austin Group, Ltd. 70,265 42,395 Australian Agricultural Co., Ltd. 558,072 635,391 * Australian Magnesium Corp., Ltd. 332,383 2,503
1 Australian Pharmaceutical Industries, Ltd. 669,829 1,466,442 # Australian Pipeline Trust 726,465 1,999,900 # * Australian Worldwide Exploration, Ltd. 929,537 1,224,335 Auto Group, Ltd. 41,309 21,060 # Autron Corporation, Ltd. 989,247 119,576 AV Jennings Homes, Ltd. 496,066 518,845 Avatar Industries, Ltd. 195,019 129,494 * Avexa, Ltd. 67,761 6,909 * Ballarat Goldfields NL 1,665,281 281,950 # Bank of Queensland, Ltd. 262,337 2,179,525 Baxter Group, Ltd. 89,652 336,504 BayCorp Advantage, Ltd. 538,318 1,188,533 Beach Petroleum, Ltd. 1,951,255 799,986 Beaconsfield Gold NL 89,078 22,524 Bendigo Bank, Ltd. 358,878 2,623,612 # * Bendigo Mining NL 651,655 481,152 * Betcorp, Ltd. 273,622 38,324 * Beyond International, Ltd. 61,256 19,201 * Biota Holdings, Ltd. 265,336 90,069 Blackmores, Ltd. 37,565 365,798 * Blina Diamonds, Ltd. 13,703 2,686 * Bolnisi Gold NL 484,156 173,625 * Boom Logistics, Ltd. 40,650 59,871 * Boulder Group NL 717,587 135,168 * BQT Solutions, Ltd. 179,898 24,445 Brazin, Ltd. 273,219 387,328 Bridgestone Australia, Ltd. 66,100 148,600 * Broadcast Services Australia, Ltd. 337,438 84,212 * Buka Mineral, Ltd. 210,323 30,803 Cabcharge Austalia, Ltd. 267,963 913,016 Campbell Brothers, Ltd. 108,322 793,127 Candle Australia, Ltd. 69,486 94,151 * Cape Range Wireless, Ltd. 3,581,304 104,883 * Capral Aluminium, Ltd. 276,367 339,606 * Carpenter Pacific Resources, Ltd. 225,546 39,826 CDS Technologies, Ltd. 61,294 90,274 Cedar Woods Properties, Ltd. 77,414 126,283 * Cellestis, Ltd. 220,327 486,209 Cellnet Telecommunications Group, Ltd. 91,100 88,677 * Centamin Egypt, Ltd. 996,437 217,533 Centennial Coal, Ltd. 597,110 2,266,714 Central Equity, Ltd. 183,928 291,808 * Charters Towers Gold Mines, Ltd. 727,142 62,640 * Chemeq, Ltd. 166,742 149,175 Chiquita Brands South Pacific, Ltd. 341,774 206,448 Circadian Technologies, Ltd. 64,591 66,737 Citect Corp., Ltd. 109,822 78,012 * Climax Mining, Ltd. 870,299 55,229 # * Clough, Ltd. 1,236,465 461,431 Clover Corp., Ltd. 269,348 37,525 * Cluff Resources Pacific NL 911,746 10,979 CMI, Ltd. 81,810 89,589 * CO2 Group, Ltd. 280,693 68,069 # Coates Hire, Ltd. 549,361 1,729,247
2 Cochlear, Ltd. 124,836 3,039,369 * Codan, Ltd. 32,604 35,707 Coffey International, Ltd. 167,427 265,311 Collection House, Ltd. 224,054 238,205 Colorado Group, Ltd. 242,046 805,687 Commander Communications, Ltd. 453,465 714,116 Consolidated Minerals, Ltd. 436,304 1,293,415 * Coplex Resources NL 231,400 15,730 # Corporate Express Australia, Ltd. 449,830 1,834,457 Count Financial, Ltd. 552,306 540,486 Coventry Group, Ltd. 84,583 392,908 * CPI, Ltd. 68,585 30,551 # Crane Group, Ltd. 152,617 918,932 Croesus Mining NL 798,235 195,362 * Crown Diamonds NL 521,549 72,878 Danks Holdings, Ltd. 10,425 76,390 # DCA Group, Ltd. 509,294 1,335,888 Devine, Ltd. 289,972 130,271 * Dioro Exploraration NL 297,142 14,582 * Dominion Mining, Ltd. 192,017 44,840 Downer Group, Ltd. 688,972 2,744,768 * Dragon Mining NL 709,605 96,039 # * E.R.G., Ltd. 1,647,173 334,279 * Echelon Resources, Ltd. 7,950 1,921 * Emporer Mines, Ltd. 324,668 73,607 Energy Developments, Ltd. 311,265 886,333 * Energy World Corp., Ltd. 325,630 10,036 # Envestra, Ltd. 2,038,400 1,737,575 * Environmental Solutions International, Ltd. 67,364 3,358 Equigold NL 351,475 240,211 Evans & Tate, Ltd. 164,154 86,686 * Excel Coal, Ltd. 168,010 802,178 * Falcon Minerals, Ltd. 240,897 78,863 # Fantastic Holdings, Ltd. 185,528 517,617 FKP, Ltd. 470,587 983,548 # Fleetwood Corp., Ltd. 115,978 550,203 Flight Centre, Ltd. 10,991 119,381 * Forest Enterprises Australia, Ltd. 489,229 195,375 # * Fortescue Metals Group, Ltd. 361,735 655,641 # Funtastic, Ltd. 312,883 399,427 Futuris Corp., Ltd. 1,238,179 1,577,939 Gale Pacific, Ltd. 123,557 137,823 GasNet Australia Group 343,500 637,191 Gazal Corp., Ltd. 101,046 232,079 * Genetic Technologies, Ltd. 830,383 213,197 * Geodynamics, Ltd. 174,778 240,414 * Giants Reef Mining, Ltd. 1,400,196 29,612 Globe International, Ltd. 882,836 282,867 * Gold Aura, Ltd. 41,097 2,875 * Goldstream Mining NL 151,648 41,758 Gowing Bros., Ltd. 79,311 153,303 * Gradipore, Ltd. 104,226 49,215 # Graincorp, Ltd. Series A 87,738 754,247 Grand Hotel Group 473,257 277,301
3 GRD NL 494,134 569,129 # Great Southern Plantations, Ltd. 735,162 1,966,557 Green's Foods, Ltd. 193,688 75,851 # GUD Holdings, Ltd. 174,840 896,131 Gunns, Ltd. 602,832 1,754,578 * Gutnick Resources NL 17,866 944 GWA International, Ltd. 698,010 1,512,799 * Gympie Gold, Ltd. 302,445 0 # * Hardman Resources NL 1,706,925 2,338,532 Harvey World Travel, Ltd. 87,638 91,408 Healthscope, Ltd. 261,453 879,121 Henry Walker Eltin Group, Ltd. 463,214 173,183 * Herald Resources, Ltd. 69,910 29,341 HGL, Ltd. 87,018 118,879 # Hills Industries, Ltd. 407,018 1,264,961 Home Building Society, Ltd. 27,907 151,691 * Horizon Oil NL 752,832 56,849 # Housewares International, Ltd. 307,812 372,445 HPAL, Ltd. 274,861 352,972 # * Hutchison Telecommunications (Australia), Ltd. 1,455,265 279,321 IBA Health, Ltd. 552,155 184,756 * ICSGlobal, Ltd. 155,693 33,481 IInet, Ltd. 192,656 429,425 Iluka Resources, Ltd. 513,563 2,379,885 * Imdex, Ltd. 135,662 21,972 Incitec Pivot, Ltd. 103,989 1,236,718 * Independent Practioner Network, Ltd. 457,414 25,581 * Indophil Resources NL 518,540 149,860 # Infomedia, Ltd. 696,356 280,875 Institute of Drug Technology Australia, Ltd. 82,205 110,531 Integrated Group, Ltd. 145,820 202,665 Integrated Research, Ltd. 261,513 82,803 * Integrated Tree Cropping, Ltd. 17,366 16,396 * Intellect Holdings, Ltd. 967,267 18,308 * Intermoco, Ltd. 1,067,459 28,169 * International All Sports, Ltd. 58,815 11,995 Investor Group, Ltd. 170,947 531,412 * Invocare, Ltd. 51,192 156,208 # ION, Ltd. 419,349 0 # IOOF Holdings, Ltd. 128,916 652,613 Iress Market Technology, Ltd. 281,018 867,640 IWL, Ltd. 81,474 156,918 * Ixla, Ltd. 89,921 1,562 # JB Hi-Fi, Ltd. 281,832 725,597 JDV, Ltd. 123,805 84,085 # Jones (David), Ltd. 1,190,508 1,615,808 Jubilee Mines NL 358,412 1,588,689 * Just Group, Ltd. 117,200 164,206 K&S Corp., Ltd. 128,017 295,818 * Kagara Zinc, Ltd. 437,281 410,743 Keycorp, Ltd. 156,412 195,834 * Kids Campus, Ltd. 69,303 34,585 * Kimberley Diamond Co. NL 274,068 237,914 * Kings Mineral NL 516,989 87,871
4 Kingsgate Consolidated NL 186,350 382,134 Kresta Holdings, Ltd. 231,002 50,573 * Lakes Oil NL 2,055,217 34,161 Lemarne Corp., Ltd. 20,790 38,276 * Leyshon Resources, Ltd. 103,357 23,644 Lighting Corp., Ltd. 180,200 91,111 * LionOre Mining International, Ltd. 20,000 99,205 * Longreach Group, Ltd. 276,023 43,614 * Lynas Gold NL 433,768 55,417 MacArthur Coal, Ltd. 394,540 2,051,777 MacMahon Holdings, Ltd. 804,171 246,037 * Macmin Silver, Ltd. 343,722 29,597 * Macquarie Corporate Telecommunications, Ltd. 350,192 30,322 Magellan Petroleum Australia, Ltd. 32,760 29,494 * Magnesium International, Ltd. 32,803 35,148 * Maryborough Sugar Factory, Ltd. 600 3,037 * Matrix Oil NL 557,000 18,511 MaxiTRANS Industries, Ltd. 482,299 280,618 # McGuigan Simeon Wines, Ltd. 296,961 873,883 McPherson's, Ltd. 141,730 347,530 * Medica Holdings, Ltd. 31,587 10,812 Melbourne IT, Ltd. 85,583 84,106 # * Metabolic Pharmaceuticals, Ltd. 700,000 399,784 # * Metal Storm, Ltd. 956,640 101,274 # * MFS, Ltd. 276,486 281,914 # Miller's Retail, Ltd. 566,259 337,265 Minara Resources, Ltd. 1,229,086 1,737,046 Mincor Resources NL 492,383 270,466 Monadelphous Group, Ltd. 51,561 438,262 * Mosaic Oil NL 756,146 99,606 * Multiemedia, Ltd. 3,014,095 36,349 * MXL, Ltd. 512,804 52,068 MYOB, Ltd. 917,057 756,424 Namoi Cotton Cooperative, Ltd. 160,347 63,038 National Can Industries, Ltd. 97,017 96,418 * New Hope Corp., Ltd. 41,453 35,693 * Norwood Abbey, Ltd. 326,063 106,930 * Nova Health, Ltd. 427,034 94,868 * Novera Energy, Ltd. 62,826 69,864 * Novogen, Ltd. 246,646 982,351 Nufarm, Ltd. 287,774 1,914,646 * Nylex, Ltd. 1,960,108 398,936 Oakton, Ltd. 162,978 191,575 # Oamps, Ltd. 336,965 625,323 * Occupational & Medical Innovations, Ltd. 31,208 9,524 * Oceana Gold, Ltd. 192,400 77,019 * Orbital Engine Corp., Ltd. 537,358 39,647 OrotonGroup, Ltd. 76,854 145,170 # * Oxiana, Ltd. 2,856,763 1,849,102 Pacific Brands, Ltd. 518,500 882,576 Pacific Group, Ltd. 320,974 366,742 Pacific Hydro, Ltd. 380,820 1,456,574 # * Paladin Resources, Ltd. 783,776 587,212 * Palm Springs, Ltd. 222,804 10,581
5 * Pan Pacific Petroleum NL 327,800 24,624 * Panbio, Ltd. 58,078 11,683 Paperlinx, Ltd. 501,058 875,872 * Payce Consolidated, Ltd. 29,670 60,730 Penfold Buscombe, Ltd. 85,065 116,028 * People Telecom, Ltd. 535,431 54,495 Peptech, Ltd. 379,247 383,451 * Perilya Mines NL 386,030 212,503 * Perseverance Corp., Ltd. 1,265,363 252,283 # * Petsec Energy, Ltd. 253,743 211,463 * Plantcorp NL 4,329 0 Plaspak Group, Ltd. 99,965 68,769 # * PMP, Ltd. 761,276 714,645 * Polartechnics, Ltd. 43,405 4,919 Port Bouvard, Ltd. 108,200 109,639 * Port Douglas Reef Resorts, Ltd. 251,655 23,759 * PowerTel, Ltd. Series B 175,372 157,526 * Prana Biotechnology, Ltd. 195,424 26,026 * Precious Metals Australia, Ltd. 12,727 1,978 * Preston Resources NL 64,000 579 Primary Health Care, Ltd. 292,807 1,819,418 Prime Television, Ltd. 294,381 688,662 * Primelife Corp., Ltd. 215,916 143,602 * Progen Industries, Ltd. 83,761 163,854 Programmed Maintenance Service, Ltd. 167,811 407,696 # * Psivida, Ltd. 467,864 277,961 Queensland Cotton Holdings, Ltd. 64,879 205,542 * Quiktrak Networks, Ltd. 7,401 0 Ramsay Health Care, Ltd. 340,994 2,063,632 Raptis Group, Ltd. 12,000 4,985 Rebel Sport, Ltd. 173,512 276,287 Redfire Resources NL 859,797 177,663 * Redflex Holdings, Ltd. 230,706 530,891 Reece Australia, Ltd. 251,463 2,282,042 * Reinsurance Australia Corp., Ltd. 399,993 141,806 * Repco Corp., Ltd. 110,651 225,651 Repcol, Ltd. 308,668 111,677 # * Resolute Mining, Ltd. 456,861 309,731 * Resonance Health, Ltd. 29,264 2,974 Ridley Corp., Ltd. 620,822 631,017 Roberts, Ltd. 26,336 157,070 * Roc Oil Co., Ltd. 438,259 543,028 Rock Building Society, Ltd. 25,092 77,806 Ross Human Directions, Ltd. 124,630 63,031 S8, Ltd. 180,798 239,806 * SAI Global, Ltd. 57,098 107,815 * Sally Malay Mining, Ltd. 402,323 246,747 Salmat, Ltd. 302,282 1,081,687 Schaffer Corp., Ltd. 33,766 126,360 # SDI, Ltd. 236,993 115,455 * Sedimentary Holdings, Ltd. 577,321 76,085 Select Harvests, Ltd. 106,523 791,589 Senetas Corp., Ltd. 746,923 151,314 Servcorp, Ltd. 187,972 368,240
6 # Seven Network, Ltd. 354,582 1,906,472 SFE Corp., Ltd. 334,655 2,543,444 Sigma Co., Ltd. 375,345 2,321,649 * Silex System, Ltd. 287,621 212,042 Sims Group, Ltd. 150,718 1,533,592 * Sino Gold, Ltd. 276,623 318,802 * Sirtex Medical, Ltd. 96,109 103,049 # Skilled Engineering, Ltd. 197,124 360,580 # Smorgon Steel Group, Ltd. 2,163,008 2,027,465 SMS Management & Technology, Ltd. 132,991 168,405 * Sons of Gwalia, Ltd. 253,252 0 # Southern Cross Broadcasting (Australia), Ltd. 149,035 1,370,475 * Southern Pacific Petroleum NL 698,740 0 # SP Telecommunications, Ltd. 819,927 1,081,761 # Spotless Group, Ltd. 517,370 1,910,767 * St. Barbara Mines, Ltd. 375,500 26,824 Star Games, Ltd. 219,830 169,092 * Starpharma Holdings, Ltd. 258,219 105,342 Straits Resources, Ltd. 312,715 396,796 * Strategic Minerals Corp. NL 358,100 23,330 * Strathfield Group, Ltd. 492,553 30,544 * Striker Resources NL 435,484 10,518 # STW Communications Group, Ltd. 462,047 969,121 Sunland Group, Ltd. 530,550 556,219 Sydney Aquarium, Ltd. 49,135 199,959 # * Sydney Gas, Ltd. 661,636 346,802 Symex Holdings, Ltd. 203,321 220,933 * Taipan Resources NL 2,475,883 89,857 * Tandou, Ltd. 3,410 3,855 * Tap Oil, Ltd. 407,790 612,828 Technology One, Ltd. 705,539 306,170 Tectonic Resources NL 259,183 30,266 * Television & Media Services, Ltd. 2,000,584 58,979 Thakral Holdings Group 1,569,889 924,350 Ticor, Ltd. 630,193 806,283 # Timbercorp, Ltd. 551,027 795,884 * Titan Resources NL 595,172 26,522 * Tooth & Co., Ltd. 153,000 10,632 Transfield Services, Ltd. 375,908 1,995,323 Triako Resources, Ltd. 31,217 19,367 Troy Resources NL 96,896 178,819 Trust Company of Australia, Ltd. 75,179 529,042 # United Group, Ltd. 249,861 1,591,836 * Unitract, Ltd. 147,406 77,158 * Universal Resources, Ltd. 109,414 12,407 UXC, Ltd. 297,944 175,231 VeCommerce, Ltd. 13,680 17,411 * Ventracor, Ltd. 502,158 563,305 * Victoria Petroleum NL 2,180,492 52,507 # Villa World, Ltd. 229,021 248,672 * Village Roadshow, Ltd. 591,536 1,138,421 * Virotec International NL 403,655 161,451 # Vision Systems, Ltd. 426,575 331,933 * Voicenet (Australia), Ltd. 495,284 4,845
7 Volante Group, Ltd. 273,599 243,458 Waterco, Ltd. 33,300 90,461 Watpac, Ltd. 142,703 117,397 # Wattyl, Ltd. 225,230 360,712 * Webster, Ltd. 119,092 68,383 * Wedgetail Exploration NL 1,413,422 42,632 * Western Areas NL 259,360 262,189 Wide Bay Capricorn Building Society, Ltd. 47,718 252,384 Worley Group, Ltd. 398,370 2,114,403 * Yates, Ltd. 60,281 1,684 ---------------- TOTAL COMMON STOCKS (Cost $151,551,186) 166,901,713 ---------------- INVESTMENT IN CURRENCY -- (0.3%) * Australian Dollar 1,269,403 ---------------- (Cost $1,273,029) PREFERRED STOCKS -- (0.1%) * Village Roadshow, Ltd. 2% Class A 200,025 303,265 ---------------- (Cost $283,859) RIGHTS/WARRANTS -- (0.0%) * Beach Petroleum, Ltd. Warrants 06/30/06 480,019 0 * Boulder Steel, Ltd. Options 11/30/05 71,759 2,439 * Equigold NL Options 05/31/07 87,868 6,637 * Forest Enterprises Australia, Ltd. Rights 06/07/05 81,538 1,232 ---------------- TOTAL RIGHTS/WARRANTS (Cost $2,187) 10,308 ---------------- TOTAL -- AUSTRALIA (Cost $153,110,261) 168,484,689 ---------------- HONG KONG -- (23.1%) COMMON STOCKS -- (23.0%) * 139 Holdings, Ltd. 6,200,000 22,227 ABC Communications (Holdings), Ltd. 930,000 83,582 Aeon Credit Service (Asia) Co., Ltd. 740,000 463,497 ALCO Holdings, Ltd. 740,000 287,077 Allan International Holdings, Ltd. 592,000 87,427 Allied Group, Ltd. 559,200 774,518 Allied Properties, Ltd. 802,600 491,412 * Anex International Holdings, Ltd. 152,000 1,909 * Applied International Holdings, Ltd. 1,243,000 39,463 * APT Satellite Holdings, Ltd. 599,000 102,356 Artel Solutions Group Holdings, Ltd. 2,315,000 44,647 Arts Optical International Holdings, Ltd. 468,000 166,971 Asia Aluminum Holdings, Ltd. 4,042,000 445,748 * Asia Commercial Holdings, Ltd. 72,800 5,143 Asia Financial Holdings, Ltd. 1,976,908 519,926 * Asia Logistics Technologies, Ltd. 22,140 2,760 Asia Satellite Telecommunications Holdings, Ltd. 404,500 712,544
8 Asia Standard International Group, Ltd. 6,780,000 295,291 * Asia Tele-Net & Technology Corp., Ltd. 521,000 23,792 Associated International Hotels, Ltd. 898,000 852,538 Automated Systems Holdings, Ltd. 340,000 80,428 * B.A.L. Holdings, Ltd. 305 11 Baltrans Holdings, Ltd. 376,000 164,283 * Beijing Development (Hong Kong), Ltd. 166,000 17,069 # Bossini International Holdings, Ltd. 1,801,500 348,927 Bright International Group, Ltd. 710,000 67,522 # Cafe de Coral Holdings, Ltd. 672,000 768,200 * Capital Prosper, Ltd. 480,000 5,073 * Capital Strategic Investment, Ltd. 30,500 5,827 Cash Financial Services Group, Ltd. 27,018 731 * Casil Telecommunications Holdings, Ltd. 1,420,000 71,327 * Catic International Holdings, Ltd. 5,332,000 61,686 CCT Telecom Holdings, Ltd. 472,970 75,876 CEC International Holdings, Ltd. 210,000 4,818 * Celestial Asia Securities Holdings, Ltd. 426,036 20,791 * Central China Enterprises, Ltd. 210,400 19,190 # Champion Technology Holdings, Ltd. 1,379,390 210,424 Chaoda Modern Agriculture (Holdings), Ltd. 2,620,000 1,083,622 Chen Hsong Holdings, Ltd. 1,210,000 695,000 Cheuk Nang (Holdings), Ltd. 113,344 61,815 * Cheung Tai Hong Holdings, Ltd. 100,920 5,291 Chevalier International Holdings, Ltd. 441,482 521,200 Chevalier Itech Holdings, Ltd. 355,250 72,709 * China Aerospace International Holdings, Ltd. 3,384,000 182,052 * China Bio-medical Group, Ltd. 415,000 8,001 * China Digicontent Co., Ltd. 2,710,000 3,483 * China Electronic Corp. Holdings Co., Ltd. 468,250 84,257 China Everbright International, Ltd. 3,945,000 227,201 * China Everbright Technology, Ltd. 3,244,000 128,943 * China Gas Holdings, Ltd. 2,026,000 345,895 China Hong-Kong Photo Products Holdings, Ltd. 1,909,000 179,429 * China Insurance International Holdings Co., Ltd. 1,866,000 682,350 * China Investments Holdings, Ltd. 210,000 4,534 * China Merchants Dichain (Asia), Ltd. 7,160,000 59,662 * China Motion Telecom International, Ltd. 257,000 6,937 China Motor Bus Co., Ltd. 74,000 598,443 * China Nan Feng Group, Ltd. 28,800 341 # China National Aviation Co., Ltd. 3,710,000 832,720 China Online (Bermuda), Ltd. 296,240 47,863 * China Pharmaceutical Enterprise and Investment Corp., Ltd. 1,802,000 370,168 * China Rare Earth Holdings, Ltd. 1,180,000 148,551 # China Resources Land, Ltd. 2,658,000 425,667 China Resources Logic, Ltd. 3,796,000 422,570 * China Rich Holdings, Ltd. 3,380,000 13,467 * China Sci-Tech Holdings, Ltd. 278,600 7,462 * China Star Entertainment, Ltd. 440,292 18,031 * China Strategic Holdings, Ltd. 1,368,500 142,642 Chinney Investments, Ltd. 1,144,000 108,395 Chitaly Holdings, Ltd. 214,000 189,202 Chow Sang Sang Holdings International, Ltd. 865,680 605,220 Chuangs China Investments, Ltd. 1,347,000 67,258
9 Chuang's Consortium International, Ltd. 1,858,884 154,327 Chun Wo Holdings, Ltd. 1,671,917 201,199 Chung Tai Printing Holdings, Ltd. 548,000 88,085 * CITIC 21CN Co., Ltd. 3,674,000 1,035,737 * CITIC Resources Holdings, Ltd. 2,822,000 388,240 City e Solutions, Ltd. 186,000 19,871 City Telecom (H.K.), Ltd. 1,070,000 109,474 # * Clear Media, Ltd. 529,000 452,026 * Climax International Co., Ltd. 296,000 1,635 # CNPC (Hong Kong), Ltd. 6,430,000 939,837 * CNT Group, Ltd. 3,078,000 55,408 * Coastal Greenland, Ltd. 2,440,000 93,594 COFCO International, Ltd. 2,188,000 1,003,371 * Compass Pacific Holdings, Ltd. 624,000 19,274 * Computer & Technologies Holdings, Ltd. 432,000 45,343 Continental Holdings, Ltd. 98,825 10,422 Continental Mariner Investment Co., Ltd. 1,328,000 221,411 COSCO International Holdings, Ltd. 2,573,600 385,268 Coslight Technology International Group, Ltd. 626,000 142,241 Cosmos Machinery Enterprises, Ltd. 1,126,400 54,829 * Crocodile Garments, Ltd. 1,539,000 116,178 Cross Harbour Tunnel Co., Ltd. 386,520 372,509 * Culturecom Holdings, Ltd. 3,767,000 163,747 * Dah Hwa International Holdings, Ltd. 1,062,000 50,836 * Dan Form Holdings Co., Ltd. 2,386,600 124,462 * Daqing Petroleum & Chemical Group, Ltd. 1,375,000 85,512 Dickson Concepts International, Ltd. 498,300 849,976 * Digital China Holdings, Ltd. 1,416,000 422,467 * DVN Holdings, Ltd. 744,490 174,075 * Dynamic Global Holdings, Ltd. 3,522,000 19,012 Dynamic Holdings, Ltd. 244,000 37,437 Easyknit International Holdings, Ltd. 282,860 7,701 * Eforce Holdings, Ltd. 2,620,000 12,068 Egana Jewelry & Pearls, Ltd. 331,789 56,980 # Eganagoldfeil Holdings, Ltd. 2,017,235 491,801 * Emperor Entertainment Hotel, Ltd. 870,000 147,737 Emperor International Holdings, Ltd. 904,360 121,899 * e-New Media Co., Ltd. 320,000 11,294 * eSun Holdings, Ltd. 653,600 176,380 * Extrawell Pharmaceutical Holdings, Ltd. 3,220,000 74,316 Ezcom Holdings, Ltd. 72,576 464 Fairwood Holdings, Ltd. 42,600 22,966 # Far East Consortium International, Ltd. 1,968,680 800,707 * Far East Hotels & Entertainment, Ltd. 1,853,000 125,749 * Far East Pharmaceutical Technology Co., Ltd. 3,216,000 28,108 First Natural Foods Holdings, Ltd. 295,000 20,818 First Sign International Holdings, Ltd. 1,424,000 47,413 Fong's Industries Co., Ltd. 664,000 499,051 * Forefront International Holdings, Ltd. 658,000 48,206 * Fortuna International Holdings, Ltd. 9,344,000 14,506 * Foundation Group, Ltd. 83,800 2,122 * Founder Holdings, Ltd. 1,854,000 116,418 Fountain Set Holdings, Ltd. 972,000 523,384 Four Seas Frozen Food Holdings, Ltd. 347,184 50,825
10 Four Seas Mercantile Holdings, Ltd. 592,000 205,441 * Fujian Holdings, Ltd. 237,800 6,143 Fujikon Industrial Holdings, Ltd. 532,000 95,718 * Fushan Holdings, Ltd. 2,566,000 160,794 * GeoMaxima Energy Holdings, Ltd. 5,810,000 44,779 Giordano International, Ltd. 1,866,000 1,221,939 * Global China Group Holdings, Ltd. 3,022,000 147,477 Global Green Tech Group, Ltd. 1,336,000 143,945 * Global Tech (Holdings), Ltd. 5,612,000 36,065 Glorious Sun Enterprises, Ltd. 1,650,000 709,497 Gold Peak Industries (Holdings), Ltd. 1,059,250 213,471 * Goldbond Group Holdings, Ltd. 2,609,500 43,048 Golden Meditech Company, Ltd. 1,473,802 280,160 Golden Resources Development International, Ltd. 1,456,500 64,576 * Gold-Face Holdings, Ltd. 2,003,600 0 Goldlion Holdings, Ltd. 1,438,000 184,200 * Golik Holdings, Ltd. 930,500 27,268 Good Fellow Group, Ltd. 3,488,000 50,649 * Gorient Holdings, Ltd. 7,370 35 Grande Holdings, Ltd. 502,000 473,714 * Great Wall Cybertech, Ltd. 15,795,170 20,301 Group Sense (International), Ltd. 2,062,000 155,761 Guangdong Brewery Holdings, Ltd. 2,212,000 751,638 * Guangnan Holdings, Ltd. 14,216,000 222,133 Guangzhou Investment Co., Ltd. 8,860,000 680,690 * Guo Xin Group, Ltd. 3,640,000 14,881 Guorun Holdings, Ltd. 3,570,000 213,111 GZI Transport, Ltd. 1,820,000 589,702 Hang Fung Gold Technology, Ltd. 1,016,000 153,670 Hang Ten Group Holdings, Ltd. 405,850 57,805 Hanny Holdings, Ltd. 186,658 71,169 * Hansom Eastern Holdings, Ltd. 3,473,235 13,362 Harbour Centre Development, Ltd. 517,000 858,847 Harbour Ring International Holdings, Ltd. 6,936,000 720,666 * Hen Fung Holdings, Ltd. 1,740,000 33,406 Henderson China Holdings, Ltd. 815,000 804,955 Heng Tai Consumables Group, Ltd. 530,000 97,870 # Hengan International Group Co., Ltd. 1,194,000 774,159 High Fashion International, Ltd. 268,000 57,157 # HKR International, Ltd. 1,884,860 1,241,790 Hon Kwok Land Investment Co., Ltd 572,535 148,549 Hong Kong and Shanghai Hotels, Ltd. 500,041 522,327 Hong Kong Catering Management, Ltd. 512,000 101,073 * Hong Kong Construction Holdings, Ltd. 970,000 65,937 Hong Kong Ferry (Holdings) Co., Ltd. 671,300 805,239 * Hong Kong Parkview Group, Ltd. 1,130,000 53,738 * Hong Kong Pharmaceuticals Holdings, Ltd. 1,834,000 45,730 Hongkong Chinese, Ltd. 2,126,000 299,925 * Hop Hing Holdings, Ltd. 660,265 24,610 Hopson Development Holdings, Ltd. 1,246,000 675,409 * Hsin Chong Construction Group, Ltd. 1,569,658 84,570 Hua Han Bio-Pharmaceutical Holdings, Ltd. 208,000 24,566 * Huabao International Holdings, Ltd. 19,300 3,319 Huafeng Textile International Group, Ltd. 248,000 12,893
11 * Hualing Holdings, Ltd. 1,344,000 31,115 Hung Hing Printing Group, Ltd. 684,122 504,736 * Hycomm Wireless, Ltd. 4,709,000 48,263 I-Cable Communications, Ltd. 2,155,000 753,903 * I-China Holdings, Ltd. 375,756 9,183 # IDT International, Ltd. 4,028,486 573,733 * Imagi International Holdings, Ltd. 137,400 17,309 * Innomaxx Biotechnology Group, Ltd. 3,050,000 49,709 * Interchina Holdings Co., Ltd. 8,130,000 103,186 International Bank of Asia, Ltd. 1,098,000 439,846 * Inworld Group, Ltd. 3,054 6 ITC Corp., Ltd. 466,157 31,048 JCG Holdings, Ltd. 792,000 763,245 Jinhui Holdings Co., Ltd. 280,000 78,274 * Joyce Boutique Holdings, Ltd. 514,000 40,128 * Junefield Department Store Group, Ltd. 256,000 3,290 # K Wah International Holdings, Ltd. 3,096,364 1,023,162 K. Wah Construction Materials, Ltd. 2,455,075 1,987,953 * Kader Holdings Co., Ltd. 545,600 13,334 * Kanstar Environmental Paper Products Holdings, Ltd. 1,220,000 46,956 Karrie International Holdings, Ltd. 488,000 203,574 Keck Seng Investments (Hong Kong), Ltd. 858,600 220,326 Kee-Shing Holdings Co., Ltd. 886,000 114,969 Kin Yat Holdings, Ltd. 586,000 54,120 King Fook Holdings, Ltd. 1,000,000 69,261 * King Pacific International Holdings, Ltd. 1,404,200 22,019 Kingdee International Software Group Co., Ltd. 638,000 126,073 Kingmaker Footwear Holdings, Ltd. 1,058,750 305,814 * Kong Sun Holdings, Ltd. 2,198,000 7,063 Kowloon Development Co., Ltd. 706,000 774,709 * KPI Co., Ltd. 396,000 7,272 KTP Holdings, Ltd. 560,400 35,909 Kwoon Chung Bus Holdings, Ltd. 556,000 120,598 * Lai Sun Development Co., Ltd. 7,592,000 116,745 * Lai Sun Garment (International), Ltd. 2,325,000 141,461 Lam Soon (Hong Kong), Ltd. 302,310 108,991 Le Saunda Holdings, Ltd. 236,000 36,550 * Leadership Publishing Group, Ltd. 250,511 483 * Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 2,969 Lee & Man Holdings, Ltd. 566,000 86,464 Lerado Group (Holding) Co., Ltd. 1,048,000 133,198 * LifeTec Group, Ltd. 1,383,000 14,543 Lippo, Ltd. 1,074,760 255,289 Liu Chong Hing Bank, Ltd. 537,000 785,035 Liu Chong Hing Investment, Ltd. 635,200 594,634 Luk Fook Holdings (International), Ltd. 690,000 212,424 Luks Industrial Group, Ltd. 645,555 92,657 Lung Kee (Bermuda) Holdings, Ltd. 1,071,875 695,360 * MACRO-LINK International Holdings, Ltd. 1,036,250 31,346 * Mae Holdings, Ltd. 111,000 1,469 Magnificent Estates, Ltd. 8,368,000 146,845 * Magnum International Holdings, Ltd. 300,000 4,049 Mainland Headwear Holdings, Ltd. 410,000 147,344 * Mansion House Group, Ltd. 1,820,000 27,574
12 Matrix Holdings, Ltd. 402,000 122,565 * Matsunichi Communications Holdings, Ltd. 388,000 113,320 * Mei Ah Entertainment Group, Ltd. 1,142,000 42,512 Melbourne Enterprises, Ltd. 45,500 185,384 Melco International Development, Ltd. 1,000,000 1,163,187 Midas International Holdings, Ltd. 774,000 58,621 Midland Realty (Holding), Ltd. 1,110,000 652,983 * Millennium Group, Ltd. 1,392,000 4,814 Min Xin Holdings, Ltd. 753,200 139,200 Miramar Hotel & Investment Co., Ltd. 607,000 911,694 * Morning Star Resources, Ltd. 1,845,000 18,971 # Moulin International Holdings, Ltd. 699,274 453,879 Multi-Asia International Holdings, Ltd. 460,920 52,048 Nanyang Holdings, Ltd. 137,500 159,269 National Electronics Holdings, Ltd. 2,156,000 67,749 Natural Beauty Bio-Technology, Ltd. 1,610,000 117,876 New Island Printing Holdings, Ltd. 176,000 15,156 * New World China Land, Ltd. 1,807,600 608,710 * New World Cyberbase, Ltd. 72,628 3,669 * New World TMT, Ltd. 1,380,600 81,366 * Newocean Green Energy Holdings, Ltd. 393,120 41,902 * Next Media, Ltd. 1,792,000 764,514 # Ngai Lik Industrial Holdings, Ltd. 1,556,000 418,913 * Nippon Asia Investments Holdings, Ltd. 1,573,200 17,794 # * Onfem Holdings, Ltd. 1,266,000 84,315 Orient Power Holdings, Ltd. 804,000 30,915 * Oriental Metals, Ltd. 711,780 232,859 Oriental Press Group, Ltd. 2,928,000 929,514 Oriental Watch Holdings, Ltd. 398,000 79,151 Pacific Andes International Holdings, Ltd. 1,172,000 202,893 Pacific Century Insurance Holdings, Ltd. 1,272,000 497,423 Pacific Century Premium Developments, Ltd. 2,785,000 846,373 * Pacific Plywood Holdings, Ltd. 4,430,000 14,754 # Paul Y. ITC Construction Holdings, Ltd. 2,309,062 614,434 Peace Mark Holdings, Ltd. 1,138,022 302,835 Pegasus International Holdings, Ltd. 226,000 31,371 Perfectech International Holdings, Ltd. 571,450 49,582 Pico Far East Holdings, Ltd. 1,190,000 184,516 Playmates Holdings, Ltd. 2,223,000 458,218 Pokfulam Development Co., Ltd. 234,000 96,098 * Poly Investments Holdings, Ltd. 2,670,000 39,419 Prime Success International Group, Ltd. 2,366,000 588,841 # Proview International Holdings, Ltd. 944,000 152,469 # * QPL International Holdings, Ltd. 1,191,000 140,364 Quality Healthcare Asia, Ltd. 133,800 33,604 Raymond Industrial, Ltd. 605,400 188,292 # * Regal Hotels International Holdings, Ltd. 11,656,000 1,013,576 * Rexcapital International Holdings, Ltd. 1,272,905 26,995 * Riche Multi-Media Holdings, Ltd. 7,060,000 349,894 * Rivera Holdings, Ltd. 3,620,000 106,538 * Riverhill Holdings, Ltd. 4,072 57 Road King Infrastructure, Ltd. 656,000 467,546 Roadshow Holdings, Ltd. 1,456,000 158,611 S.A.S.Dragon Holdings, Ltd. 1,696,000 189,428
13 # SA SA International Holdings, Ltd. 1,872,000 865,043 Safety Godown Co., Ltd. 408,000 178,295 Saint Honore Holdings, Ltd. 128,000 44,006 San Miguel Brewery Hong Kong, Ltd. 612,800 149,868 SCMP Group, Ltd. 2,276,000 985,787 Sea Holdings, Ltd. 832,000 331,055 * Seapower Resources International, Ltd. 151,680 3,190 SEEC Media Group, Ltd. 2,550,000 94,778 * Shanghai Allied Cement, Ltd. 1,152,080 41,608 * Shanghai Century Holdings, Ltd. 7,142,000 148,504 * Shanghai Land Holdings, Ltd. 1,464,000 0 * Shanghai Ming Yuan Holdings, Ltd. 3,090,000 289,316 # Shanghai Real Estates, Ltd. 2,234,000 240,741 Shaw Brothers Hong Kong, Ltd. 134,000 161,008 Shell Electric Manufacturing (Holdings) Co., Ltd. 782,172 144,499 Shenyin Wanguo (Hong Kong), Ltd. 847,500 71,659 Shenzhen International Holdings, Ltd. 13,502,500 450,235 Shougang Concord Century Holdings, Ltd. 1,676,000 144,010 * Shougang Concord Grand (Group), Ltd. 1,701,000 159,061 * Shougang Concord International Enterprises Co., Ltd. 6,380,000 456,962 * Shougang Concord Technology Holdings, Ltd. 2,639,809 136,696 # Shui On Construction & Materials, Ltd. 468,000 504,143 * Shun Ho Resources Holdings, Ltd. 483,000 33,771 Shun Ho Technology Holdings, Ltd. 1,037,452 83,582 Silver Grant International Industries, Ltd. 2,423,000 1,140,643 * Sincere Co., Ltd. 505,500 33,765 Singamas Container Holdings, Ltd. 838,000 650,138 Sino Golf Holdings, Ltd. 438,000 44,539 * Sinocan Holdings, Ltd. 350,000 1,754 * Sino-I.com, Ltd. 23,783,158 378,474 Sinolink Worldwide Holdings, Ltd. 3,933,600 686,111 Sinopec Kantons Holdings, Ltd. 1,638,000 230,952 * Skynet (International Group) Holdings, Ltd. 976 97 SNP Leefung Holdings, Ltd. 144,000 24,848 * Softbank Investment International (Strategic), Ltd. 7,398,000 72,986 * Solartech International Holdings, Ltd. 49,600 1,913 South China Brokerage Co., Ltd. 4,872,000 58,186 South China Industries, Ltd. 1,124,000 108,783 * South Sea Holdings Co., Ltd. 27,550,000 102,321 Southeast Asia Properties & Finance, Ltd. 263,538 37,937 Starlight International Holdings, Ltd. 1,311,292 116,020 Starlite Holdings, Ltd. 694,000 78,486 Stelux Holdings International, Ltd. 1,307,702 144,093 Styland Holdings, Ltd. 101,808 327 Sun Hing Vision Group Holdings, Ltd. 358,000 158,376 Sun Hung Kai & Co., Ltd. 2,048,600 541,318 * Sun Innovation Holdings, Ltd. 1,420,360 12,390 * Sun Media Group Holdings, Ltd. 9,814,000 21,443 * Sunday Communications, Ltd. 4,441,000 291,176 Sunway International Holdings, Ltd. 866,000 30,589 * Suwa International Holdings, Ltd. 1,062,000 27,241 SW Kingsway Capitol Holdings, Ltd. 2,206,000 91,963 # Symphony Holdings, Ltd. 982,000 200,002 Tack Fat Group International, Ltd. 1,472,000 185,101
14 * Tack Hsin Holdings, Ltd. 542,000 28,091 Tai Cheung Holdings, Ltd. 1,013,000 528,810 Tai Fook Securities Group, Ltd. 590,000 75,743 Tai Sang Land Development, Ltd. 471,984 155,700 Tak Shun Technology Group, Ltd. 2,088,000 88,368 Tak Sing Alliance Holdings, Ltd. 2,909,865 126,575 # Tan Chong International, Ltd. 1,182,000 218,718 TCC International Holdings, Ltd. 1,124,000 190,615 # TCL International Holdings, Ltd. 3,228,000 579,187 * Technology Venture Holdings, Ltd. 586,000 8,675 * Termbray Industries International (Holdings), Ltd. 2,304,900 145,161 Tern Properties Co., Ltd. 61,200 19,272 Texwinca Holdings, Ltd. 858,000 683,085 * The Sun's Group, Ltd. 17,004,000 21,855 * Tian An China Investments Co., Ltd. 1,238,275 309,939 Tian Teck Land, Ltd. 1,098,000 388,209 Tianjin Development Holdings, Ltd. 1,118,000 398,274 * Tingyi (Cayman Islands) Holding Corp. 3,000,000 819,127 Titan Petrochemicals Group, Ltd. 5,500,000 549,558 * Tomorrow International Holdings, Ltd. 165,000 14,808 * Tongda Group Holdings, Ltd. 1,020,000 20,162 Tonic Industries Holdings, Ltd. 1,380,000 37,444 Top Form International, Ltd. 1,586,000 452,759 Topsearch International (Holdings), Ltd. 204,000 24,604 * Tristate Holdings, Ltd. 138,000 39,021 Truly International Holdings, Ltd. 536,000 712,029 Tungtex (Holdings) Co., Ltd. 788,000 293,300 * Tysan Holdings, Ltd. 1,040,773 28,359 * U-Cyber Technology Holdings, Ltd. 432,800 10,180 * United Power Investment, Ltd. 1,664,000 151,282 * Universal Holdings Ltd 2,770,000 51,980 * Universe International Holdings, Ltd. 573,339 3,537 U-Right International Holdings, Ltd. 2,040,000 73,258 USI Holdings, Ltd. 928,999 250,308 Van Shung Chong Holdings, Ltd. 359,335 41,050 * Vanda Systems & Communications Holdings, Ltd. 7,846,000 673,776 # Varitronix International, Ltd. 534,293 486,436 Veeko International Holdings, Ltd. 1,420,000 53,711 Victory City International Holdings, Ltd. 855,350 271,601 Vital Biotech Holdings, Ltd. 470,000 16,285 # Vitasoy International Holdings, Ltd. 1,423,000 443,428 Wah Ha Realty Co., Ltd. 278,600 52,996 * Wah Nam International Holdings, Ltd. 38,696 738 Wai Kee Holdings, Ltd. 1,265,738 250,491 Wang On Group, Ltd. 47,897 16,265 Wellnet Holdings, Ltd. 2,059,200 113,679 Wheelock Properties, Ltd. 2,360,000 1,210,613 * Winfoong International, Ltd. 1,210,000 80,693 Wing On Co. International, Ltd. 565,000 797,985 * Wing Shan International, Ltd. 896,000 44,792 Wisdom Venture Holdings, Ltd. 398,000 32,145 Wong's International (Holdings), Ltd. 737,641 71,278 * Wonson International Holdings, Ltd. 4,040,000 7,270 World Houseware (Holdings), Ltd. 605,700 18,699
15 Y. T. Realty Group, Ltd. 965,000 137,611 Yangtzekiang Garment Manufacturing Co., Ltd. 607,500 146,538 * Yanion International Holdings, Ltd. 118,000 11,060 * Yaohan International Holdings, Ltd. 974,000 0 Yau Lee Holdings, Ltd. 534,000 46,532 YGM Trading, Ltd. 228,000 397,484 Yip's Chemical Holdings, Ltd. 674,000 201,179 Yugang International, Ltd. 11,916,000 183,333 * Yunnan Enterprises Holdings, Ltd. 240,000 13,026 * Zhu Kuan Development Co., Ltd. 646,000 43,940 ---------------- TOTAL COMMON STOCKS (Cost $103,984,609) 92,538,898 ---------------- INVESTMENT IN CURRENCY -- (0.1%) * Hong Kong Dollars 107,726 ---------------- (Cost $107,692) RIGHTS/WARRANTS -- (0.0%) * B.A.L. Holdings, Ltd. Rights 06/10/05 101 2 * China Credit Holdings Warrants 09/30/09 174,000 2,125 * Lai Sun Garment (International), Ltd. Rights 06/24/05 290,625 0 * Mae Holdings, Ltd. Rights 06/06/05 5,550 2 * Playmates Holdings, Ltd. Warrants 05/23/06 444,600 10,343 * Quality Healthcare Asia, Ltd. Warrants 01/13/07 26,760 447 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 12,919 ---------------- TOTAL -- HONG KONG (Cost $104,092,301) 92,659,543 ---------------- SINGAPORE -- (12.9%) COMMON STOCKS -- (12.9%) * Acma, Ltd. 3,040,700 63,404 Airocean Group, Ltd. 1,649,000 193,127 * Alliance Technology & Development, Ltd. 156,000 9,827 Amtek Engineering, Ltd. 799,625 426,551 Apollo Enterprises, Ltd. 193,000 63,685 Armstrong Industrial Corp. 1,460,000 109,590 * ASA Group Holdings, Ltd. 586,000 94,587 Ascott Group, Ltd. 1,807,250 524,507 Aussino Group, Ltd. 967,000 179,506 Benjamin (F.J.) Holdings, Ltd. 1,095,000 161,144 # Beyonics Technology, Ltd. 1,945,800 360,416 * Blu Inc. Group, Ltd. 729,000 67,792 Bonvests Holdings, Ltd. 825,000 277,210 Brilliant Manufacturing, Ltd. 1,855,000 533,085 * Broadway Industrial Group, Ltd. 461,000 91,010 Bukit Sembawang Estates, Ltd. 71,334 568,561 * Central Properties, Ltd. 66,000 0 Ch Offshore, Ltd. 823,200 172,286 * Chemical Industries (Far East), Ltd. 105,910 35,265
16 China Merchants Holdings Pacific, Ltd. 652,000 235,989 Chip Eng Seng Corp., Ltd. 1,775,000 154,234 Chosen Holdings, Ltd. 1,284,000 142,512 Chuan Hup Holdings, Ltd. 4,385,000 1,946,228 Chuan Soon Huat Industrial Group, Ltd. 614,000 106,785 CIH, Ltd. 498,460 801,883 * CK Tang, Ltd. 614,000 140,264 * Compact Metal Industries, Ltd. 643,000 7,715 Courts Singapore, Ltd. 495,000 160,636 * CSC Holdings, Ltd. 672,000 10,079 CSE Global, Ltd. 1,262,000 415,568 CWT Distribution, Ltd. 461,500 178,374 Eagle Brand Holdings, Ltd. 5,158,000 216,461 # Eastern Asia Technology, Ltd. 1,844,260 231,903 * Eastgate Technology, Ltd. 870,000 36,600 * Econ International, Ltd. 2,267,000 61,204 ECS Holdings, Ltd. 1,375,000 234,816 Eng Wah Organisation, Ltd. 265,000 47,599 * Firstlink Investments Corp., Ltd. 995,000 32,701 Freight Links Express Holdings, Ltd. 3,368,000 151,259 Frontline Technologies Corp., Ltd. 3,170,000 228,489 # Fu Yu Manufacturing, Ltd. 2,273,750 686,414 Fuji Offset Plates Manufacturing, Ltd. 33,750 5,821 G & W Group Holdings, Ltd. 252,314 21,950 GB Holdings, Ltd. 200,000 116,328 Ges International, Ltd. 2,909,000 1,226,625 GK Goh Holdings, Ltd. 1,494,000 819,816 # Goodpack, Ltd. 1,592,000 1,276,919 GP Industries, Ltd. 1,516,000 759,057 Guocoland, Ltd. 1,215,000 982,789 Hiap Moh Corp., Ltd. 34,874 6,434 Ho Bee Investment, Ltd. 761,000 164,324 Hong Fok Corp., Ltd. 1,796,000 247,975 Hong Leong Asia, Ltd. 1,048,000 599,704 * Horizon Education & Technologies, Ltd. 2,054,000 73,396 Hotel Grand Central, Ltd. 875,280 238,970 Hotel Plaza, Ltd. 1,189,000 638,459 Hotel Properties, Ltd. 1,675,000 1,265,203 Hour Glass, Ltd. 298,000 113,239 HTL International Holdings, Ltd. 1,471,875 1,227,359 Huan Hsin Holdings, Ltd. 1,138,400 548,997 Hup Seng Huat, Ltd. 900,200 169,423 Hwa Hong Corp., Ltd. 2,488,000 866,267 IDT Holdings, Ltd. 718,000 964,045 * Inno-Pacific Holdings, Ltd. 680,000 8,126 Innovalues Precision, Ltd. 520,000 171,335 International Factors (Singapore), Ltd. 290,000 97,495 * Internet Technology Group, Ltd. 874,408 13,141 * Interra Resources, Ltd. 37,086 4,313 * Intraco, Ltd. 292,500 57,897 Isetan (Singapore), Ltd. 122,500 227,854 Jaya Holdings, Ltd. 2,733,000 1,686,003 JK Yaming International, Ltd. 907,000 199,234 Jurong Cement, Ltd. 132,500 55,646
17 Jurong Engineering, Ltd. 137,000 183,033 # Jurong Technologies Industrial Corp., Ltd. 1,446,000 1,391,398 K1 Ventures, Ltd. 5,340,500 846,967 Keppel Telecommunications and Transportation, Ltd. 2,058,000 1,068,111 Khong Guan Flour Milling, Ltd. 19,000 17,327 Kian Ann Engineering, Ltd. 868,000 78,162 Kian Ho Bearings, Ltd. 521,000 46,834 * Koh Brothers, Ltd. 1,494,000 80,549 * L & M Group Investments, Ltd. 7,107,100 21,320 # Labroy Marine, Ltd. 3,343,000 1,479,655 * LanTroVision (S), Ltd. 1,117,500 23,184 Lee Kim Tah Holdings, Ltd. 1,600,000 263,945 * Leong Hin Holdings, Ltd. 526,000 96,089 * Liang Huat Aluminium, Ltd. 2,954,000 17,723 Lion Asiapac, Ltd. 473,000 43,874 Low Keng Huat Singapore, Ltd. 372,000 93,051 Lum Chang Holdings, Ltd. 1,134,030 204,434 Magnecomp International, Ltd. 931,000 483,890 Manufacturing Integration Technology, Ltd. 588,000 35,148 MCL Land, Ltd. 1,427,000 1,051,574 * Mediaring.Com, Ltd. 3,410,000 305,788 Metro Holdings, Ltd. 2,256,960 682,769 MMI Holdings, Ltd. 1,994,000 434,699 Multi-Chem, Ltd. 1,263,000 155,338 Nera Telecommunications, Ltd. 1,450,000 330,446 New Toyo Intenational Holdings, Ltd. 1,043,000 315,528 Norelco Centreline Holdings, Ltd. 941,000 250,275 * Orchard Parade Holdings, Ltd. 1,084,022 243,217 # Osim International, Ltd. 1,638,000 1,157,772 Ossia International, Ltd. 728,332 67,700 Pan-United Corp., Ltd. 2,193,000 397,619 Pan-United Marine, Ltd. 1,096,500 191,705 PCI, Ltd. 734,000 232,978 Pertama Holdings, Ltd. 459,750 80,014 Popular Holdings, Ltd. 1,813,000 396,958 PSC Corp., Ltd. 5,723,200 275,036 * Qian Hu Corp., Ltd. 408,200 68,153 Robinson & Co., Ltd. 284,832 1,008,272 Rotary Engineering, Ltd. 1,624,000 345,294 San Teh, Ltd. 838,406 165,640 SBS Transit, Ltd. 1,011,000 1,315,615 Sea View Hotel, Ltd. 66,000 3,092 * Seatown Corp., Ltd. 101,000 1,818 Sembawang Kimtrans, Ltd. 1,295,000 151,435 Sin Soon Huat, Ltd. 1,307,000 78,153 Sing Investments & Finance, Ltd. 94,500 102,219 # Singapore Food Industries, Ltd. 1,707,000 1,022,821 Singapore Reinsurance Corp., Ltd 1,540,935 245,142 Singapore Shipping Corp., Ltd. 1,930,000 577,430 Singapura Finance, Ltd. 139,250 123,670 SMB United, Ltd. 2,010,000 162,705 SNP Corp., Ltd. 466,495 251,467 * SP Corp., Ltd. 454,000 18,768 Ssangyong Cement (Singapore), Ltd. 236,000 128,042
18 Stamford Land Corp., Ltd. 3,229,000 493,963 Straits Trading Co., Ltd. 1,117,200 1,513,182 * Sunright, Ltd. 378,000 57,505 Superbowl Holdings, Ltd. 490,000 61,694 Superior Metal Printing, Ltd. 490,500 50,079 Thakral Corp., Ltd. 6,028,000 397,881 Tiong Woon Corp. Holding, Ltd. 906,000 129,915 * Transmarco, Ltd. 106,500 51,116 Trek 2000 International, Ltd. 1,004,000 230,923 TSM Resources, Ltd. 1,502,000 265,397 # TT International, Ltd. 2,109,600 221,292 * Tuan Sing Holdings, Ltd. 3,362,000 190,660 * Ultro Technologies, Ltd. 530,000 25,115 Unisteel Technology, Ltd. 974,000 980,021 United Engineers, Ltd. 846,666 847,452 United Overseas Insurance, Ltd. 125,500 268,047 United Pulp & Paper Co., Ltd. 354,000 93,251 UOB-Kay Hian Holdings, Ltd. 1,602,000 897,151 Vicom, Ltd. 120,000 67,576 WBL Corp., Ltd. 647,000 1,194,242 Xpress Holdings, Ltd. 1,392,000 41,806 * Yongnam Holdings, Ltd. 1,506,000 31,623 ---------------- TOTAL COMMON STOCKS (Cost $56,377,025) 51,937,147 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars 77,737 ---------------- (Cost $77,932) RIGHTS/WARRANTS -- (0.0%) * China Dairy Group Warrants 12/22/07 300,400 9,912 ---------------- (Cost $0) TOTAL -- SINGAPORE (Cost $56,454,957) 52,024,796 ---------------- NEW ZEALAND -- (4.9%) COMMON STOCKS -- (4.9%) AFFCO Holdings, Ltd. 1,806,887 495,717 Cavalier Corp., Ltd. 283,674 728,432 CDL Hotels New Zealand, Ltd. 1,387,344 544,192 CDL Investments New Zealand, Ltd. 328,510 73,855 Colonial Motor Co., Ltd. 126,795 268,569 * Cue Energy Resources NL 452,354 76,981 Ebos Group, Ltd. 112,108 309,863 * Evergreen Forests, Ltd. 323,301 68,193 Hallenstein Glassons Holdings, Ltd. 241,638 636,850 Hellaby Holdings, Ltd. 201,679 808,342 Horizon Energy Distribution, Ltd. 40,420 122,364 Met Lifecare, Ltd. 270,895 627,891 Michael Hill International, Ltd. 156,746 829,546 * New Zealand Oil & Gas, Ltd. 584,872 352,491
19 New Zealand Refining Co., Ltd. 84,779 2,012,874 Northland Port Corp. (New Zealand), Ltd. 219,997 464,421 Nuplex Industries, Ltd. 271,267 749,195 * Pacific Retail Group, Ltd. 194,156 265,995 Port of Tauranga, Ltd. 541,952 1,791,836 * Provenco Group, Ltd. 281,600 150,474 Pyne Gould Guinness, Ltd. 229,634 282,510 Restaurant Brand New Zealand, Ltd. 369,175 329,847 Richina Pacific, Ltd. 309,644 158,889 * Rubicon, Ltd. 995,760 630,304 Ryman Healthcare Group, Ltd. 415,999 1,080,776 Sanford, Ltd. 418,047 1,265,103 Scott Technology, Ltd. 60,843 120,738 * Seafresh Fisheries (NZ) 80,520 1,587 South Port New Zealand, Ltd. 30,744 24,234 Steel & Tube Holdings, Ltd. 379,638 1,212,447 * Tasman Farms 157,056 0 Taylors Group, Ltd. 29,646 52,003 Tourism Holdings, Ltd. 402,452 503,149 * Trans Tasman Properties, Ltd. 2,311,308 652,183 Waste Management NZ, Ltd. 430,471 1,863,264 Wrightson, Ltd. 279,834 317,777 ---------------- TOTAL COMMON STOCKS (Cost $11,983,474) 19,872,892 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar 11,551 ---------------- (Cost $11,693) TOTAL -- NEW ZEALAND (Cost $11,995,167) 19,884,443 ---------------- MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Aliran Ihsan Resources Berhad 1,650 240 * Autoways Holdings Berhad 10,000 3,395 * Jaks Resources Berhad 11,975 4,596 * Promet Berhad 1,143,000 0 * Rekapacific Berhad 473,000 0 ---------------- TOTAL COMMON STOCKS (Cost $983,525) 8,231 ---------------- PREFERRED STOCKS -- (0.0%) * Ramunia Holdings Berhard Non Cumulative Irredeemable Convertible Preferred Shares 17,882 753 ---------------- (Cost $229,462) TOTAL -- MALAYSIA (Cost $1,212,987) 8,984 ----------------
20 UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * Exergy, Inc. 7,260 0 * Molecular Devices Corp. 118 2,280 ---------------- TOTAL -- UNITED STATES (Cost $2,510) 2,280 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (17.2%) ^ Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05 (Collateralized by $61,891,609 U.S. TIPS 1.875%, 07/15/13, valued at $66,806,963) to be repurchased at $65,497,023 (Cost $65,491,638) $ 65,492 65,491,638 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $3,513,000 FNMA Notes 2.95%, 11/14/07, valued at $3,508,609) to be repurchased at $3,456,277 (Cost $3,456,000) 3,456 3,456,000 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $68,947,638) 68,947,638 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $395,815,821) $ 402,012,373 ----------------
- --------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 21 THE UNITED KINGDOM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- UNITED KINGDOM -- (95.8%) COMMON STOCKS -- (94.4%) Industrials -- (27.6%) 600 Group P.L.C. 125,656 $ 162,724 AEA Technology P.L.C. 96,276 113,474 Aggreko P.L.C. 577,491 2,035,089 Air Partner P.L.C. 15,611 154,940 * Airflow Streamlines P.L.C. 20,500 21,791 Alumasc Group P.L.C. 100,245 287,683 Amec P.L.C. 49,000 299,143 Arriva P.L.C. 129,697 1,254,334 * Ashtead Group P.L.C. 674,240 1,093,794 Atkins (WS) P.L.C. 234,487 2,927,200 Autologic Holdings P.L.C. 96,590 324,790 # Avis Europe P.L.C. 1,767,228 2,119,342 Babcock International Group P.L.C. 462,763 1,251,402 * Bailey (C.H.) P.L.C. 109,500 27,856 * Bailey (C.H.) P.L.C. Class B 10,000 16,808 Birse Group P.L.C. 421,901 92,109 Black Arrow Group P.L.C. 56,500 71,762 Bodycote International P.L.C. 745,073 2,246,322 BPP Holdings P.L.C. 114,663 720,063 Brammer P.L.C. 119,123 332,446 Brandon Hire P.L.C. 58,441 158,814 BSS Group P.L.C. 55,830 1,154,668 * BTG P.L.C. 284,452 727,356 Business Post Group P.L.C. 157,099 1,788,749 Carillion P.L.C. 486,131 2,178,066 * Carlisle Holdings, Ltd. 8,709 50,611 Castings P.L.C. 83,784 298,834 Charles Taylor Consulting P.L.C. 67,918 303,960 * Charter P.L.C. 315,702 1,551,000 Chemring Group P.L.C. 54,030 464,567 Chloride Group P.L.C. 485,500 584,188 Christie Group P.L.C. 53,263 91,324 Clarkson (Horace) P.L.C. 44,733 728,178 Communisis P.L.C. 317,904 611,274 * Cookson Group P.L.C. 419,725 2,478,705 * Corporate Services Group P.L.C. 1,704,859 264,555 * Costain Group P.L.C. 1,176,378 1,014,389 * Danka Business Systems P.L.C. 367,079 117,281 Dart Group P.L.C. 74,000 418,012 Datamonitor P.L.C. 136,693 419,045 Davis Service Group P.L.C. 345,079 2,779,174 De La Rue P.L.C. 417,469 2,869,586
1 Domino Printing Sciences P.L.C. 355,935 1,542,684 Domnick Hunter Group P.L.C. 76,296 527,593 * Dowding & Mills P.L.C. 336,440 110,310 * Easyjet P.L.C. 1,068,671 4,377,254 Eleco P.L.C. 104,685 62,989 * Enodis P.L.C. 918,539 1,834,915 Fenner P.L.C. 236,681 514,188 FKI P.L.C. 1,350,586 2,370,056 Forth Ports P.L.C. 142,983 3,436,809 * Fortress Holdings P.L.C. 120,728 6,033 Fulmar P.L.C. 107,500 196,250 Galliford Try P.L.C. 517,870 541,187 Get Group P.L.C. 20,485 57,636 Gibbs & Dandy P.L.C. 13,681 103,960 Gleeson (M.J.) Group P.L.C. 112,355 659,155 * Glotel P.L.C. 63,851 100,978 Go-Ahead Group P.L.C. 95,242 2,335,575 Group 4 Securicor P.L.C. 88,013 219,742 Halstead (James) Group P.L.C. 52,208 510,817 * Hampson Industries P.L.C. 584,903 264,794 * Harvey Nash Group P.L.C. 183,750 178,498 Havelock Europa P.L.C. 75,907 177,829 Heath (Samuel) & Sons P.L.C. 7,500 66,097 Helphire Group P.L.C. 246,301 957,568 * Heywood Williams Group P.L.C. 173,468 293,493 Homeserve P.L.C. 147,895 2,492,543 Hyder Consulting P.L.C. 65,359 246,874 Infast Group P.L.C. 301,224 182,742 Intertek Group P.L.C. 70,100 961,902 Intserve P.L.C. 264,157 1,714,120 * Invensys P.L.C. 13,169,327 2,695,625 Ite Group P.L.C. 518,511 918,824 * Jarvis Porter Group P.L.C. 99,894 9,530 Johnson Service Group P.L.C. 126,960 1,074,497 Keller Group P.L.C. 125,955 635,938 Kier Group P.L.C. 75,365 1,231,575 Laing (John) P.L.C. 425,832 1,903,873 Latchways P.L.C. 22,878 174,532 Lavendon Group P.L.C. 81,799 289,776 Lincat Group P.L.C. 19,000 169,079 Litho Supplies P.L.C. 20,000 21,456 * Lorien P.L.C. 60,000 44,670 Low & Bonar P.L.C. 166,108 336,556 Management Consulting Group P.L.C. 412,929 339,874 McAlpine (Alfred) P.L.C. 232,610 1,507,899 Meggitt P.L.C. 514,738 2,733,610 Mersey Docks & Harbour Co. P.L.C. 117,087 2,051,279 Michael Page International P.L.C. 731,357 2,507,014 Mitie Group P.L.C. 716,043 2,077,549 * Molins P.L.C. 68,000 172,778 * Morgan Crucible Company P.L.C. 673,398 2,209,920 Morgan Sindall P.L.C. 78,265 1,075,283 Mouchel Parkman P.L.C. 200,665 873,623 Mowlem (John) & Co. P.L.C. 347,397 1,135,574 MS International P.L.C. 71,500 103,398
2 MSB International P.L.C. 30,748 39,945 National Express Group P.L.C. 25,000 394,308 Nord Anglia Education P.L.C. 63,924 133,557 Northern Recruitment Group P.L.C. 36,500 121,055 Northgate P.L.C. 137,678 2,233,572 Ocean Wilsons Holdings, Ltd. 84,250 439,928 Penna Consulting P.L.C. 42,417 95,586 PHS Group P.L.C. 1,144,660 2,024,988 PSD Group P.L.C. 54,896 225,963 Quantica P.L.C. 96,190 90,129 Radstone Technology P.L.C. 67,511 327,256 * Regus Group P.L.C. 2,282,259 3,741,272 Reliance Security Group P.L.C. 66,349 567,812 Renold P.L.C. 153,256 126,960 Ricardo P.L.C. 114,409 594,152 Robert Walters P.L.C. 150,103 299,905 ROK property solutions P.L.C. 58,166 580,733 RPS Group P.L.C. 442,348 1,193,340 Salvesen (Christian) P.L.C. 533,873 567,901 Senior P.L.C. 678,557 496,540 Serco Group P.L.C. 235,235 1,076,833 Severfield-Rowan P.L.C. 26,211 276,481 Shanks & McEwan Group P.L.C. 543,212 1,342,876 SHL Group P.L.C. 124,412 281,190 SIG P.L.C. 273,601 2,859,416 * Simon Group P.L.C. 348,089 283,963 Smart (J.) & Co. (Contractors) P.L.C. 22,500 251,440 Speedy Hire P.L.C. 90,349 1,122,345 Spirax-Sarco Engineering P.L.C. 168,524 2,172,230 Spring Group P.L.C. 406,488 648,978 * Stanelco P.L.C. 1,201,354 573,318 T. Clarke P.L.C. 75,774 322,158 Tarsus Group P.L.C. 86,934 184,740 Teesland P.L.C. 431,476 535,789 Thorpe (F.W.) P.L.C. 24,000 135,778 * Tinsley (Eliza) Group P.L.C. 19,844 5,589 * Trafficmaster P.L.C. 252,418 196,270 Transport Development Group P.L.C. 176,699 694,975 Trifast P.L.C. 135,388 177,762 Ultra Electronics Holdings P.L.C. 157,442 2,273,301 Ultraframe P.L.C. 162,456 138,440 Umeco P.L.C. 70,900 610,909 * Universal Salvage P.L.C. 36,111 50,451 * Volex Group P.L.C. 58,801 81,000 VP P.L.C. 108,111 382,461 VT Group P.L.C. 409,317 2,530,566 Weir Group P.L.C. 465,726 2,617,684 Whatman P.L.C. 281,949 1,330,592 White Young Green P.L.C. 78,615 369,505 Whitehead Mann Group P.L.C. 95,000 62,313 * Wilshaw P.L.C. 198,409 37,196 Wincanton P.L.C. 251,678 1,157,712 WSP Group P.L.C. 131,793 629,012 Wyndeham Press Group P.L.C. 111,879 262,429 XP Power P.L.C. 44,311 300,719 ---------------- Total Industrials (Cost $99,323,658) 130,215,054 ----------------
3 Consumer Discretionary -- (21.9%) 4imprint P.L.C. 50,375 194,431 Abbeycrest P.L.C. 42,590 36,739 AGA Food Service Group P.L.C. 271,542 1,504,891 Airsprung Furniture Group P.L.C. 18,314 7,334 Alba P.L.C. 105,025 859,125 Alexandra P.L.C. 86,243 191,129 Alexon Group P.L.C. 123,392 647,941 Alpha Airports Group P.L.C. 392,541 684,749 Arena Leisure P.L.C. 1,136,685 802,233 * Aston Villa P.L.C. 12,961 86,824 Austin Reed Group P.L.C. 68,999 149,385 Avesco P.L.C. 29,998 54,484 Avon Rubber P.L.C. 59,463 222,582 Beale P.L.C. 22,161 27,842 Beattie (James) P.L.C. 132,247 267,883 Bellway P.L.C. 132,240 2,047,227 Ben Bailey P.L.C. 26,000 209,713 Blacks Leisure Group P.L.C. 90,290 692,802 Bloomsbury Publishing P.L.C. 148,970 924,229 Boot (Henry) P.L.C. 71,794 666,796 Bovis Homes Group P.L.C. 273,016 3,393,807 * Brown & Jackson P.L.C. 748,566 632,572 Brown (N) Group P.L.C. 562,850 1,373,384 Caffyns P.L.C. 6,000 84,762 Capital Radio P.L.C. 313,351 1,697,802 # Carpetright P.L.C. 125,839 1,978,208 * Celtic P.L.C. 40,759 42,744 Character Group P.L.C. 97,314 64,789 Chime Communications P.L.C. 354,020 176,639 Chrysalis Group P.L.C. 328,544 876,256 Churchill China P.L.C. 30,000 95,756 City Restaurant Group P.L.C. 410,347 979,543 Clinton Cards P.L.C. 433,380 679,859 Colefax Group P.L.C. 60,000 99,580 Cosalt P.L.C. 30,700 178,825 * Courts P.L.C. 110,722 27,161 Crest Nicholson P.L.C. 267,250 1,857,536 Dawson Holdings P.L.C. 144,502 378,987 * Dawson International P.L.C. 100,688 17,809 De Vere Group P.L.C. 159,232 1,543,716 * Emess P.L.C. 480,556 65,210 * Entertainment Rights P.L.C. 633,958 305,561 Euromoney Institutional Investors P.L.C. 205,774 1,554,908 European Motor Holdings P.L.C. 118,325 527,343 * FII Group P.L.C. 41,166 5,049 Findel P.L.C. 181,122 1,554,466 First Choice Holidays P.L.C. 898,634 2,952,132 First Technology P.L.C. 165,655 870,879 Forminster P.L.C. 43,333 17,394 French Connection Group P.L.C. 284,510 1,429,006 Fuller, Smith & Turner P.L.C. Series A 28,927 473,934
4 Future Network P.L.C. 730,823 1,148,523 Game Group P.L.C. 747,530 1,096,175 Games Workshop Group P.L.C. 69,683 518,581 * Gaskell P.L.C. 36,000 1,635 * Global Natural Energy P.L.C. 11,004 27,710 Greene King P.L.C. 157,536 3,527,502 Haynes Publishing Group P.L.C. 14,703 99,490 Headlam Group P.L.C. 194,400 1,447,438 * Highbury House Communications P.L.C. 439,166 15,999 HMV Group P.L.C. 82,598 341,181 Holidaybreak P.L.C. 99,292 1,151,189 * Homestyle Group P.L.C. 139,717 140,655 Hornby P.L.C. 77,295 276,243 House of Fraser P.L.C. 518,142 931,452 Huntsworth P.L.C. 1,360,648 490,184 Incisive Media P.L.C. 202,396 583,317 JJB Sports P.L.C. 448,783 1,478,748 John David Group P.L.C. 114,500 451,627 LA Fitness P.L.C. 53,738 209,891 Lambert Howarth Group P.L.C. 43,203 203,177 * Laura Ashley Holdings P.L.C. 2,505,661 467,893 * London Clubs International P.L.C. 499,923 1,128,421 Lookers P.L.C. 63,057 355,471 Luminar P.L.C. 167,243 1,569,672 Maiden Group P.L.C. 16,800 63,891 Mallett P.L.C. 24,837 115,750 # Manchester United P.L.C. 609,642 3,295,485 Manganese Bronze Holdings P.L.C. 32,184 121,479 Marchpole Holdings P.L.C. 271,422 113,792 Matalan P.L.C. 405,344 1,357,788 * Mayflower Corp. P.L.C. 550,636 0 McCarthy & Stone P.L.C. 236,392 2,448,228 Menzies (John) P.L.C. 103,775 1,046,416 Merchant Retail Group P.L.C. 185,666 659,344 Metal Bulletin P.L.C. 100,433 431,150 MFI Furniture Group P.L.C. 1,434,326 2,787,349 Mice Group P.L.C. 174,886 87,760 Millennium and Copthorne Hotels P.L.C. 80,633 521,555 * Monsoon P.L.C. 71,000 407,443 Moss Brothers Group P.L.C. 163,400 311,751 Mothercare P.L.C. 139,350 713,621 * Music Choice Europe P.L.C. 33,796 5,608 * MyTravel Group P.L.C. Series A 628,934 56,880 Newcastle United P.L.C. 198,896 158,639 Next Fifteen Communtications P.L.C. 25,000 26,655 Northamber P.L.C. 75,888 125,590 * NXT P.L.C. 125,976 156,291 Ottakar's P.L.C. 34,693 170,032 Owen (H.R.) P.L.C. 46,993 156,479 * Pace Micro Technology P.L.C. 428,871 473,544 * Partridge Fine Arts P.L.C. 58,000 67,450 Pendragon P.L.C. 308,482 1,654,758 Photo-Me International P.L.C. 850,594 1,387,491 * Pittards P.L.C. 60,985 22,717 Portmeirion Group P.L.C. 22,856 66,852
5 * Pressac P.L.C. 78,129 1,065 * QXL Ricardo P.L.C. 130 6,967 Redrow P.L.C. 364,678 2,642,620 Reg Vardy P.L.C. 112,005 1,000,599 * Regent Inns P.L.C. 247,095 345,725 # Sanctuary Group P.L.C. 779,911 569,985 Scottish Radio Holdings P.L.C. 75,876 1,203,500 SCS Upholstery P.L.C. 66,745 411,865 Sinclair (William) Holdings P.L.C. 53,000 50,216 Sirdar P.L.C. 69,754 52,086 SMG P.L.C. 574,831 950,986 Smith (WH) P.L.C. 271,915 1,767,974 Southampton Leisure Holdings P.L.C. 19,615 9,980 * Sportech P.L.C. 846,974 138,462 St. Ives P.L.C. 224,249 1,469,682 Stanley Leisure P.L.C. 237,264 2,350,129 * Sterling Publishing Group P.L.C. 75,298 10,228 Stylo P.L.C. 64,096 76,393 T&F Informa Group P.L.C. 355,029 2,629,305 Taylor Nelson AGB P.L.C. 109,000 425,537 Ted Baker P.L.C. 82,767 704,587 The Peacock Group P.L.C. 250,589 1,083,406 * The Television Corp. P.L.C. 86,861 117,422 * Toad Group P.L.C. 85,507 16,049 Topps Tiles P.L.C. 491,811 1,698,553 * Torotrak P.L.C. 246,442 298,372 * Tottenham Hotspur P.L.C. 150,000 84,257 Ulster Television, Ltd. 115,602 945,295 Victoria P.L.C. 12,000 45,119 Vitec Group P.L.C. 80,367 439,247 Wagon P.L.C. 116,757 353,648 Wembley P.L.C. 61,550 866,390 Westbury P.L.C. 263,421 2,222,358 Wetherspoon (J.D.) P.L.C. 412,658 2,080,433 Wilmington Group P.L.C. 143,376 376,239 Wilson Bowden P.L.C. 7,000 144,990 Woolworths Group P.L.C. 3,110,645 1,978,314 Wyevale Garden Centres P.L.C. 114,526 1,050,556 ---------------- Total Consumer Discretionary (Cost $80,612,238) 103,506,457 ---------------- Financials -- (13.7%) Aberdeen Asset Management P.L.C. 420,124 896,433 Atrium Underwriting P.L.C. 88,040 343,837 Aviva P.L.C. 102,230 1,143,771 * Bradstock Group P.L.C. 5,200 4,158 Brewin Dolphin Holdings P.L.C. 378,661 745,501 Britannic P.L.C. 294,095 2,729,555 Brixton P.L.C. 497,280 3,325,792 Capital & Regional P.L.C. 167,410 2,370,800 Chesnara P.L.C. 92,900 222,859 * CLS Holdings P.L.C. 180,364 1,511,133 Collins Stewart Tullett P.L.C. 297,402 2,280,252 Countrywide P.L.C. 185,800 902,712 Cox Insurance Holdings P.L.C. 609,714 1,025,615
6 Daejan Holdings P.L.C. 31,808 1,610,743 Derwent Valley Holdings P.L.C. 120,874 2,522,168 Development Securities P.L.C. 57,390 493,656 Domestic & General Group P.L.C. 82,529 1,108,966 DTZ Holdings P.L.C. 114,500 453,138 * Egg P.L.C. 446,600 896,278 Freeport P.L.C. 60,253 456,712 Grainger Trust P.L.C. 250,786 1,813,785 Great Portland Estates P.L.C. 307,973 2,016,240 Guiness Peat Group P.L.C. 1,251,349 1,590,867 * Hampton Trust P.L.C. 232,050 5,798 Hardy Underwriting Group P.L.C. 46,683 181,191 * Hawtin P.L.C. 196,500 42,001 Helical Bar P.L.C. 28,750 694,230 Highway Insurance Holdings P.L.C. 467,933 357,529 Hiscox P.L.C. 706,541 2,153,841 Hitachi Capital (UK) P.L.C. 124,239 563,750 ISIS Asset Management P.L.C. 268,751 1,129,457 Jardine Lloyd Thompson Group P.L.C. 205,205 1,303,256 Kensington Group P.L.C. 98,187 975,479 Kiln P.L.C. 383,129 623,478 London Merchant Securities P.L.C. 731,745 3,048,412 London Scottish Bank P.L.C. 325,260 659,019 * Marylebone Warwick Balfour Group P.L.C. 239,501 444,802 McKay Securities P.L.C. 97,232 460,780 Minerva P.L.C. 266,135 1,250,160 Mucklow (A & J) Group P.L.C. 175,000 1,139,668 Paragon Group of Companies P.L.C. 153,200 1,136,645 Park Group P.L.C. 291,600 145,505 Pillar Property P.L.C. 171,938 2,610,243 Primary Health Properties P.L.C. 23,784 127,559 Quintain Estates & Development P.L.C. 159,407 1,568,310 * Rensburg Sheppards P.L.C. 37,158 357,264 Rugby Estates P.L.C. 15,328 87,053 Rutland Trust P.L.C. 174,255 142,532 S & U P.L.C. 21,140 202,720 Savills P.L.C. 127,846 1,582,433 Secure Trust Group P.L.C. 29,802 220,867 Shaftesbury P.L.C. 327,189 2,184,433 Shore Capital Group P.L.C. 504,863 350,454 Smith (James) Estates P.L.C. 17,524 146,893 St. Modwen Properties P.L.C. 228,607 1,730,665 Stanley (Charles) Group P.L.C. 86,800 404,496 Tops Estates P.L.C. 116,033 1,074,194 Town Centre Securities (New) P.L.C. 142,137 835,025 Unite Group P.L.C. 254,029 1,312,616 Warner Estate Holdings P.L.C. 95,471 997,289 Workspace Group P.L.C. 411,093 1,771,314 ---------------- Total Financials (Cost $43,635,352) 64,486,332 ---------------- Information Technology -- (9.5%) Abacus Group P.L.C. 105,130 351,143 Acal P.L.C. 60,982 350,339 Alphameric P.L.C. 254,907 366,043
7 * Alterian P.L.C. 68,403 131,318 Amstrad P.L.C. 149,652 355,659 * Anite Group P.L.C. 804,568 922,664 * ARC International P.L.C. 330,444 218,116 Arm Holdings P.L.C. 127,000 249,948 * Autonomy Corp. P.L.C. 213,837 973,139 Aveva Group P.L.C. 50,171 674,413 Axon Group P.L.C. 88,403 321,911 * Baltimore Technologies P.L.C. 485 15,187 * Bede P.L.C. 135,978 84,681 CML Microsystems P.L.C. 28,361 154,446 Comino Group P.L.C. 30,924 133,149 Compel Group P.L.C. 75,752 125,257 Computacenter P.L.C. 452,614 2,037,832 Deltron Electronics P.L.C. 90,964 98,954 Detica Group P.L.C. 49,413 685,808 Dicom Group P.L.C. 47,661 775,306 * Dimension Data Holdings P.L.C. 939,000 556,308 Diploma P.L.C. 49,895 615,337 * Easynet Group P.L.C. 281,185 393,720 * Easyscreen P.L.C. 72,275 22,492 * Eidos P.L.C. 200,222 204,162 Electronic Data Processing P.L.C. 55,200 77,058 * Eurodis Electron P.L.C. 2,118,657 45,008 * Fibernet Group P.L.C. 142,341 224,845 Filtronic P.L.C. 164,131 588,972 * Financial Objects P.L.C. 17,000 13,428 GB Group P.L.C. 250,000 181,267 * Gresham Computing P.L.C. 112,777 268,501 Halma P.L.C. 866,782 2,297,578 ICM Computer Group P.L.C. 45,983 271,446 * Imagination Technologies Group P.L.C. 443,056 516,744 * Intec Telecom Systems P.L.C. 654,113 718,792 Intelek P.L.C. 99,880 19,218 * Itouch International P.L.C. 882,895 690,997 * Kalamazoo Computer Group P.L.C. 56,120 1,785 * Kewill Systems P.L.C. 179,299 211,545 * Knowledge Support Systems Group P.L.C. 25,000 0 Laird Group P.L.C. 353,674 1,995,331 * Lastminute.com P.L.C. 504,477 1,515,349 Macro 4 P.L.C. 45,932 230,031 * Microgen P.L.C. 238,323 345,541 Morse P.L.C. 277,169 380,108 MTL Instruments Group P.L.C. 24,678 138,684 * Ncipher P.L.C. 59,092 235,900 * Northgate Information Solutions P.L.C. 1,140,585 1,439,008 * NSB Retail P.L.C. 869,182 402,751 Oxford Instruments P.L.C. 111,061 481,927 Parity Group P.L.C. 381,072 53,408 Planit Holdings P.L.C. 235,000 98,418 * Plasmon P.L.C. 135,733 279,291 Premier Farnell P.L.C. 847,510 2,498,655 Psion P.L.C. 881,202 981,518 * QA P.L.C. 158,950 9,129 Renishaw P.L.C. 188,734 2,365,695
8 * Retail Decisions P.L.C. 562,639 286,629 RM P.L.C. 201,697 658,955 Rotork P.L.C. 200,116 1,804,002 Roxboro Group P.L.C. 59,608 430,444 Royalblue Group P.L.C. 68,710 644,312 * Scipher P.L.C. 34,563 707 * SDL P.L.C. 95,883 210,362 Spectris P.L.C. 292,280 2,626,165 * Spirent P.L.C. 1,993,034 1,677,579 * Superscape P.L.C. 302,847 193,214 * Surfcontrol P.L.C. 68,696 634,998 * Tadpole Technology P.L.C. 427,207 39,862 * Telecity P.L.C. 599,148 182,457 Telemetrix P.L.C. 177,320 279,938 * Telspec P.L.C. 25,000 10,352 * The Innovation Group P.L.C. 956,444 578,179 Trace Computers P.L.C. 33,552 49,643 TT Electronics P.L.C. 328,134 983,662 * TTP Communications P.L.C. 483,547 378,119 Vega Group P.L.C. 44,012 154,337 Vislink P.L.C. 124,752 66,094 * Wolfson Microelectronics P.L.C. 261,475 739,864 Workplace Systems International P.L.C. 238,739 61,820 XAAR P.L.C. 143,837 558,217 XANSA P.L.C. 714,984 1,194,812 XKO Group P.L.C. 30,304 42,728 ---------------- Total Information Technology (Cost $43,357,563) 44,882,711 ---------------- Consumer Staples -- (6.0%) * Anglo Eastern Plantations P.L.C. 87,249 292,302 Arla Foods UK P.L.C. 1,658,226 1,925,635 Barr (A.G.) P.L.C. 43,000 763,799 Belhaven Brewery Group P.L.C. 68,797 604,826 Body Shop International P.L.C. 583,233 2,332,806 Cranswick P.L.C. 97,180 1,054,902 Dairy Crest Group P.L.C. 291,948 2,531,754 Devro P.L.C. 344,712 765,102 Greggs P.L.C. 28,256 2,424,220 Hardys & Hansons P.L.C. 48,000 561,771 Kleeneze P.L.C. 109,256 216,996 Linton Park P.L.C. 39,000 307,815 McBride P.L.C. 382,113 1,049,918 Nichols P.L.C. 66,550 230,300 Northern Foods P.L.C. 1,114,287 3,176,138 PZ Cuzzons P.L.C. 40,541 965,935 Richmond Foods P.L.C. 40,237 460,269 Robert Wiseman Dairies P.L.C. 199,037 902,498 Somerfield P.L.C. 722,361 2,589,845 Swallowfield P.L.C. 15,000 20,238 Thorntons P.L.C. 158,000 372,304 Uniq P.L.C. 263,207 718,498 Whittard of Chelsea P.L.C. 37,487 62,327 Wolverhampton & Dudley Breweries P.L.C. 178,160 3,587,889 Young & Co's Brewery P.L.C. 10,000 257,090 Young & Co's Brewery P.L.C. Class A 5,234 172,448 ---------------- Total Consumer Staples (Cost $19,067,077) 28,347,625 ----------------
9 Energy -- (4.6%) Abbot Group P.L.C. 406,292 1,613,388 * Burren Energy P.L.C. 119,815 1,154,069 * Dana Petroleum P.L.C. 181,375 1,693,784 * Edinburgh Oil & Gas P.L.C. 75,430 432,188 * Emerald Energy P.L.C. 72,830 201,632 Expro International Group P.L.C. 163,241 1,186,562 Fisher (James) & Sons P.L.C. 100,909 567,523 * Fortune Oil P.L.C. 3,248,130 337,854 Hunting P.L.C. 230,567 981,425 JKX Oil and Gas P.L.C. 264,746 662,752 KBC Advanced Technologies P.L.C. 68,734 46,836 * Melrose Resources P.L.C. 163,459 728,069 Paladin Resources P.L.C. 786,415 2,655,019 * Premier Oil P.L.C. 189,684 2,026,870 * Soco International P.L.C. 167,005 1,485,770 Sondex P.L.C. 118,851 433,006 Tullow Oil P.L.C. 500,218 1,520,214 * Venture Production P.L.C. 280,582 1,558,297 Wood Group (John) P.L.C. 881,804 2,348,582 ---------------- Total Energy (Cost $15,579,305) 21,633,840 ---------------- Materials -- (4.1%) * Amberley Group P.L.C. 200,000 39,980 Anglo Pacific Group P.L.C. 209,785 363,671 * API Group P.L.C. 64,073 159,114 * Applied Optical Technologies P.L.C. 117,822 63,898 Baggeridge Brick P.L.C. 98,000 321,351 British Polythene Industries P.L.C. 56,740 383,400 British Vita P.L.C. 425,448 2,762,055 Carclo P.L.C. 114,684 127,890 Chamberlin & Hill P.L.C. 18,000 64,860 Chapelthorpe P.L.C. 656,803 190,926 Coral Products P.L.C. 50,000 22,918 Croda International P.L.C. 295,550 2,022,315 Cropper (James) P.L.C. 22,000 85,895 Delta P.L.C. 289,145 623,988 Dyson Group P.L.C. 66,003 426,060 * Elementis P.L.C. 955,009 817,588 Ennstone P.L.C. 638,996 495,832 * European Colour P.L.C. 82,090 24,261 * Greenwich Resources P.L.C. 438,664 22,127 Hill & Smith Holdings P.L.C. 138,474 437,573 Inveresk P.L.C. 150,000 38,009 * Macfarlane Group P.L.C. 228,287 139,795 Marshalls P.L.C. 325,633 1,722,324 Metalrax Group P.L.C. 358,740 509,587 Porvair P.L.C. 81,246 148,847 RPC Group P.L.C. 215,312 992,281 Scapa Group P.L.C. 319,593 144,973
10 Smith (DS) Holdings P.L.C. 901,625 2,525,660 Treatt P.L.C. 14,957 65,590 U.K. Coal P.L.C. 322,996 734,238 UCM Group P.L.C. 41,980 56,241 Victrex P.L.C. 190,262 1,506,893 Wellington Holdings P.L.C. 35,979 117,025 * Yorkshire Group P.L.C. 82,504 8,620 Yule Catto & Co. P.L.C. 278,083 1,230,219 Zotefoams P.L.C. 62,000 99,678 ---------------- Total Materials (Cost $16,273,683) 19,495,682 ---------------- Health Care -- (3.9%) * Acambis P.L.C. 159,373 629,436 * Alizyme P.L.C. 322,667 522,978 * Antisoma P.L.C. 533,154 181,369 * Axis-Shield P.L.C. 94,475 482,656 Bespak P.L.C. 59,782 550,846 * Biocompatibles International P.L.C. 106,509 373,238 * Bioquell P.L.C. 50,194 102,784 Biotrace International P.L.C. 87,657 137,207 * Cambridge Antibody Technology Group P.L.C. 84,453 935,624 Care UK P.L.C. 121,100 927,855 Corin Group P.L.C. 73,178 474,580 Dechra Pharmaceuticals P.L.C. 111,880 412,377 Ferraris Group P.L.C. 63,540 104,745 * Genetix Group P.L.C. 151,246 140,538 Goldshield Group P.L.C. 79,169 379,164 * Gyrus Group P.L.C. 191,527 911,834 Huntleigh Technology P.L.C. 90,597 584,980 Isoft Group P.L.C. 480,414 3,499,273 Isotron P.L.C. 50,325 538,903 * M.L. Laboratories P.L.C. 377,657 128,476 * Medical Solutions P.L.C. 140,731 16,908 * Medisys P.L.C. 586,814 30,701 Nestor Healthcare Group P.L.C. 200,863 505,914 * Oxford Biomedica, Ltd. 766,802 426,329 * Pharmagene P.L.C. 160,000 69,385 * Phytopharm P.L.C. 111,349 238,747 * Protherics P.L.C. 557,510 474,846 * Provalis P.L.C. 796,584 70,041 * Shiloh P.L.C. 14,500 26,591 * Skyepharma P.L.C. 1,317,991 1,291,690 SSL International P.L.C. 448,464 2,275,024 Sygen International P.L.C. 616,770 418,597 * Vernalis P.L.C. 334,552 405,063 * Weston Medical Group P.L.C. 50,200 2,280 * Xenova Group P.L.C. 607,931 48,083 ---------------- Total Health Care (Cost $18,206,035) 18,319,062 ---------------- Other -- (1.3%) * Argonaut Games, Ltd. 100,000 5,678 Ashtenne Holdings P.L.C. 51,168 302,189 * Bombshell P.L.C. 932 0
11 Braemar Seascope Group P.L.C. 45,450 324,211 Broadcastle P.L.C. 74,468 133,390 Carr's Milling Industries P.L.C. 19,000 190,425 * Clinical Computing P.L.C. 46,666 14,335 Creston P.L.C. 31,812 77,782 Dewhurst P.L.C. 9,000 32,006 Dewhurst P.L.C. Class A Non-Voting 15,500 46,347 DRS Data & Research Services P.L.C. 26,825 15,586 * Durlacher Corp. P.L.C. 15,272 29,520 Erinaceous Group P.L.C. 205,293 998,282 * Ferguson International Holdings P.L.C. 89,105 38,859 * Garton Engineering P.L.C. 10,248 0 IFX Group P.L.C. 34,486 68,630 * IMS Group P.L.C. 75,000 6,133 Independent Media Distribution P.L.C. 21,621 17,329 * Industrial & Commercial Holdings P.L.C. 5,000 136 Lupus Capital P.L.C. 429,989 101,575 * Netstore P.L.C. 143,737 113,725 * New Avesco P.L.C. 29,998 53,908 * Osmetech P.L.C. 669,354 28,242 * Planestation Group P.L.C. 76,551 12,867 * Primback Units 135,600 0 * Probus Estates P.L.C. 83,333 227 Radamec Group P.L.C. 35,000 18,376 Ransom (William) & Son P.L.C. 30,000 24,733 Reed Health Group P.L.C. 155,333 116,306 * Richmond Oil & Gas P.L.C. 220,000 0 * RMS Communications P.L.C. 15,000 0 * Safeland P.L.C. 25,000 32,981 * Seashell II P.L.C. 932 0 * Secure Ventures (No. 1) P.L.C. 62,500 0 * Secure Ventures (No. 2) P.L.C. 62,500 2,839 * Secure Ventures (No. 3) P.L.C. 62,500 0 * Secure Ventures (No. 4) P.L.C. 62,500 2,555 * Secure Ventures (No. 5) P.L.C. 62,500 2,555 * Secure Ventures (No. 6) P.L.C. 62,500 0 * Secure Ventures (No. 7) P.L.C. 62,500 0 * Servicepower Technologies P.L.C. 150,000 70,808 * SFI Holdings, Ltd. Series A 26,713 15,047 Singer & Friedlander Group P.L.C. 391,896 2,221,226 * Tandem Group P.L.C. 327,365 0 * Terence Chapman Group P.L.C. 62,500 360 Tex Holdings P.L.C. 14,000 26,791 * The Wireless Group P.L.C. 189,923 308,171 * Theratase P.L.C. 80,563 53,351 * Waterdorm P.L.C. 105,000 0 Waterman P.L.C. 74,473 133,453 Watermark Group P.L.C. 68,660 164,240 Windsor P.L.C. 149,435 139,289 * Wraith P.L.C. 1,441 2,226 ---------------- Total Other (Cost $6,482,590) 5,946,689 ----------------
12 Telecommunication Services -- (1.2%) * # Colt Telecom Group P.L.C. 2,574,360 2,431,060 Kingston Communications P.L.C. 850,036 1,044,854 * Redstone P.L.C. 376,324 43,751 Telecom Plus P.L.C. 125,297 513,882 * Thus Group P.L.C. 3,113,150 792,366 * Vanco P.L.C. 145,748 892,124 ---------------- Total Telecommunication Services 5,718,037 (Cost $5,706,353) ---------------- Utilities -- (0.6%) AWG P.L.C. 16,000 260,329 Bristol Water Group P.L.C. 35,257 437,926 Dee Valley Group P.L.C. 4,214 71,152 East Surrey Holdings P.L.C. 234,414 2,261,300 Hydro International P.L.C. 27,669 44,084 ---------------- Total Utilities 3,074,791 (Cost $1,610,319) ---------------- TOTAL COMMON STOCKS (Cost $349,854,173) 445,626,280 ---------------- INVESTMENT IN CURRENCY -- (1.4%) * British Pound Sterling 6,391,026 ---------------- (Cost $6,438,398) EMU -- (0.0%) INVESTMENT IN CURRENCY * Euro Currency 119 ---------------- TOTAL EMU (Cost $101) 119 ---------------- RIGHTS/WARRANTS -- (0.0%) Other -- (0.0%) * Letter of Entitlements -- Audemars Piguet 90,242 0 * Planestation Group P.L.C. Warrants 01/13/11 229,653 209 * Plasmon P.L.C. Subscription Shares 18,509 0 * SFI Holdings, Ltd. Litigation Certificate 26,713 0 * Xenova Group P.L.C. Warrants 12/31/08 56,991 2,459 ---------------- Total Other (Cost $4,781) 2,668 ---------------- TOTAL RIGHTS/WARRANTS (Cost $4,781) 2,668 ---------------- TOTAL UNITED KINGDOM (Cost $356,297,453) 452,020,093 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (4.2%) ^ Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05 (Collateralized by $10,268,130 U.S. TIPS 1.875%, 07/15/13, valued at $11,083,612) to be repurchased at $10,866,286 (Cost $10,865,393) $ 10,865 10,865,393 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $9,352,000 FNMA Notes 2.95%, 11/14/07, valued at $9,340,310) to be repurchased at $9,202,739 (Cost $9,202,000) 9,202 9,202,000 ---------------- 20,067,393 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $20,067,393) 20,067,393 ---------------- TOTAL INVESTMENTS -- (100.0%) (Cost $376,364,846) $ 472,087,486 ================
13 - ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 14 THE CONTINENTAL SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- FRANCE -- (11.6%) COMMON STOCKS -- (11.6%) * Actielec Technologies 19,137 $ 126,872 Affine 1,920 196,096 * Alain Afflelou SA 21,488 666,487 Ales Groupe SA 11,349 188,228 Altedia SA 2,800 64,311 * Alten SA 53,456 1,354,670 * Altran Technologies SA 182,539 1,615,645 Apem SA 1,000 75,081 April Group SA 31,201 1,044,797 * Archos 8,679 159,456 Ares (Groupe) SA 10,632 74,283 Arkopharma 18,720 336,736 Assystem Brime SA 7,580 169,013 Aubay SA 16,825 89,418 # Audika SA 5,003 418,175 * Baccarat SA 1,090 174,152 Bacou-Dalloz 8,306 685,093 Bains de Mer et du Cercle des Etrangers a Monaco 4,615 2,782,721 Banque Tarneaud SA 1,000 168,110 # Beneteau SA 19,638 1,519,659 * Bigben Interactive 2,100 9,978 Boiron SA 16,659 407,395 Boizel Chanoine Champagne SA 600 48,173 Bonduelle SA 6,723 538,192 # Bongrain SA 13,784 849,301 * Bricorama SA 3,717 235,016 Brioche Pasquier SA 2,888 191,030 Buffalo Grill SA 1,028 22,777 * Bull SA 1,122,656 910,461 Burelle SA 4,030 522,852 * Business Objects SA 16,500 473,797 * BVRP SA 7,419 170,754 Camaieu SA 4,988 599,270 # Canal Plus SA 169,452 1,363,644 # Carbone Lorraine 40,631 1,850,526 * CBo Territoria 28,320 101,063 Cegedim SA 6,902 556,832 # CEGID SA 18,000 643,097 * Cesar SA 75,259 111,106 CFF Recycling SA 84,608 2,369,269 * Cibox Inter@ctive SA 135,470 73,138 # Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux SA 13,013 806,092
1 Clarins SA 8,798 540,893 * # Club Mediterranee SA 33,732 1,618,094 Consortium International de Diffusion et de Representation Sante 600 5,419 * CS Communication et Systemes 4,983 171,855 * Cybergun 2,121 34,783 Damartex SA 22,900 855,275 * Dane-Elec Memory SA 27,622 159,691 Delachaux SA 1,300 192,154 Deveaux SA 1,040 101,677 Didot-Bottin 1,620 135,558 * DMC (Dollfus Mieg et Cie) 9,630 52,266 * Dynaction SA 10,660 217,644 Electricite de Strasbourg 23,784 3,161,887 # Elior 184,391 2,170,607 * Encres Dubuit SA 4,176 46,972 # Esso SA 3,200 539,114 Etam Developpement SA 8,972 259,654 * Euraltech SA 11,700 21,537 * Euro Disney SCA 797,643 98,203 Evialis SA 1,200 44,783 Exel Industries SA 1,800 141,265 * Explosifs et de Produits Chimiques 524 217,397 Faurecia SA 6,500 487,505 # Fimalac SA 111,143 5,089,744 Fininfo SA 9,760 210,165 Fleury Michon SA 3,100 143,007 Foncia Groupe 8,220 199,151 Francois Freres (Tonnellerie) SA 3,150 93,622 * Gantois Series A 647 11,943 Gascogne SA 6,472 567,805 Gaumont 14,607 1,004,724 * GCI (Groupe Chatellier Industrie SA) 7,258 893 * Geci International 8,616 16,705 * # Generale de Geophysique SA 20,770 1,710,778 # Generale de Sante 55,413 1,261,857 Generale Location SA 9,000 272,839 * Geodis SA 4,379 464,317 Gevelot 3,584 241,803 GFI Informatique SA 77,855 463,597 # Gifi 4,678 172,696 * Ginger (Groupe Ingenierie Europe) 2,600 46,496 Grands Moulins de Strasbourg 110 64,310 # Groupe Bourbon SA 28,320 1,737,474 Groupe Crit 6,900 200,423 * Groupe Finuchem SA 5,120 81,591 * Groupe Flo SA 11,900 104,063 * Groupe Focal SA 1,400 13,725 Groupe Go Sport SA 2,207 174,200 Groupe Guillin SA 1,200 91,635 # Groupe Open SA 8,551 130,274 Groupe Steria 25,566 934,460 * Guerbet SA 1,700 184,111 # Guyenne et Gascogne SA 26,000 3,157,908
2 Havas SA 62,300 368,158 * Hotels et Casinos de Deauville 2,055 1,016,070 Hyparlo SA 5,514 460,719 IDSUD 614 22,175 * IEC Professionnel Media 8,734 20,410 Iliad SA 36,238 1,278,244 * IMS International Metal Service SA 12,630 180,759 Industrielle et Financiere d'Entreprise SA 300 62,504 * # Infogrames Entertainment SA 210,581 328,304 # Ingenico SA 61,820 875,815 Ipsos SA 5,776 571,937 Kaufman et Broad SA 8,035 476,650 Lafuma SA 827 72,059 Laurent-Perrier 3,100 139,863 Lectra Systemes SA 23,092 115,265 # Lisi SA 7,827 479,128 * LVL Medical Groupe SA 15,338 104,691 # Manitou SA 44,368 1,640,023 Manutan International SA 4,700 219,614 * Marie Brizard & Roger International SA 1,198 127,617 * Matussiere et Forest SA 13,600 48,533 * Metaleurop SA 35,449 23,556 MGI Coutier SA 1,400 58,610 * MoneyLine 1,336 56,690 Montupet SA 32,450 724,260 Mr. Bricolage SA 6,600 130,618 Neopost SA 7,200 642,791 # Nexans 43,798 1,615,112 # Norbert Dentressangle 8,372 441,281 NRJ Group 10,819 222,708 * Oberthur Card Systems SA 53,640 438,375 * # Oeneo 31,265 48,092 * Orpea 19,650 798,447 * Otor SA 13,700 76,875 * Paris Orleans et Cie SA 2,832 706,541 Passat SA 3,843 55,049 * # Penauille Polyservices SA 10,200 96,311 Petit Forestier SA 3,043 119,697 Pierre & Vacances 7,596 767,767 Pinguely-Haulotte SA 25,000 289,576 # Plastic Omnium SA 30,846 811,867 Plastivaloire SA 1,700 48,275 Prosodie SA 5,183 118,513 # Provimi SA 30,782 657,706 PSB Industries SA 6,200 255,186 * Radiall SA 1,340 91,143 Remy Cointreau SA 32,945 1,390,255 Robertet SA 1,885 273,929 # Rodriguez Group SA 16,706 815,229 Rougier SA 2,040 171,860 * S.T. Dupont SA 3,800 17,886 Sabeton 13,500 206,043 Samse SA 4,400 730,676 Sasa Industries SA 1,000 36,338
3 * Saveurs de France-Brossard 3,410 209,045 * # Scor SA 1,501,322 3,076,327 * SDR de Bretagne SA 3,305 124,747 # SEB SA Prime Fidelite 2002 10,950 1,124,798 # Sechilienne-Sidec 2,200 868,399 Securidev SA 1,500 23,965 Signaux Girod SA 600 53,200 # SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 21,246 1,957,454 Skis Rossignol SA 41,668 970,865 Smoby SA 500 52,053 Societe du Louvre SA 14,513 2,106,951 Societe Industrielle D'Aviations Latecoere SA 11,038 488,403 Societe Pour L'Informatique Industrielle SA 2,250 111,671 Solving International SA 2,160 12,870 Somfy Interational SA 22,900 4,634,894 Sopra SA 7,618 397,996 # SR Teleperformance 90,928 2,678,600 Stallergenes Temp Trading Line SA 4,818 557,902 Ste Virbac SA 11,439 422,694 Stef-Tfe SA 2,171 291,109 Sucriere de Pithiviers-le-Vieil 1,825 1,201,002 * Sylis SA 9,782 62,217 Synergie SA 8,000 240,011 Taittinger SA 12,700 4,861,886 * Teamlog SA 6,457 21,904 Tessi SA 1,700 102,852 Touax (Touage Investissement SA) 10,378 263,104 Toupargel-Agrigel SA 6,200 248,162 Trigano SA 16,286 1,499,273 * # Ubi Soft Entertainment SA 29,740 1,333,183 Unilog SA 20,794 1,366,561 # Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 31,700 7,340,336 * Valtech, La Defense 187,303 198,156 Viel et Compagnie 44,339 182,381 Vilmorin et Cie SA 2,349 423,613 VM Materiaux SA 600 80,963 Vranken Monopole 2,800 124,215 * XRT 67,181 100,634 Zodiac SA 14,964 727,285 ---------------- TOTAL COMMON STOCKS (Cost $68,844,497) 116,970,796 ---------------- RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 24,800 11,292 * Ales Groupe SA Warrants 03/23/09 316 2,994 * Ginger (Groupe Ingenierie Europe) Warrants 09/30/05 2,600 304 * Groupe Focal SA Warrants 02/21/10 466 0 * Groupe Open SA Warrants 10/21/06 1,000 898 * Oeneo Warrants 08/26/06 14,365 530 * Penauille Polyservices SA Rights 06/09 10,200 36,482 * Prosodie SA Warrants 10/28/06 900 332 * Ubi Soft Entertainment SA Warrants 05/14/06 4,100 3,027
4 * Valtech, La Defense Warrants 07/29/05 20,000 246 ---------------- TOTAL RIGHTS/WARRANTS (Cost $63,013) 56,105 ---------------- TOTAL -- FRANCE (Cost $68,907,510) 117,026,901 ---------------- SWITZERLAND -- (11.4%) COMMON STOCKS -- (11.3%) * 4M Technologies Holding SA 3,751 15,020 A. Hiestad Holding AG 1,005 803,245 * Actelion, Ltd. 19,108 1,936,374 AFG Arbonia-Forster Holding AG 2,702 736,873 Agie Charmilles Holding AG 3,402 273,736 Allreal Holding AG 10,278 919,648 Also Holding AG 569 173,438 Amazys Holding AG 4,091 230,505 Ascom Holding AG 55,915 861,765 Bachem AG 15,313 881,690 Baloise-Holding 98,089 5,121,833 Bank Coop AG 29,405 1,355,242 Bank Sarasin & Cie Series B, Basel 752 1,265,527 Banque Cantonale de Geneve 1,344 198,184 Banque Cantonale du Jura 450 128,764 Banque Cantonale Vaudoise 2,355 520,120 Banque Privee Edmond de Rothschild SA, Geneve 120 1,524,335 * Barry Callebaut AG 6,346 1,682,657 Basellandschaftliche Kantonalbank 600 473,982 Basler Kantonalbank 5,250 439,585 Batigroup Holding AG 11,298 152,092 Belimo Holdings 1,056 625,719 * Berna Biotech 92,109 674,161 Berner Kantonalbank 7,061 1,041,262 BHB Beteiligungs und Finanzgesellschaft 150 5,276 Bobst Group SA 21,540 849,401 Bossard Holding AG 6,699 396,686 * Bucher Industries AG 16,775 1,068,215 BVZ (Brig Visp Zermatt) Holding AG 370 80,019 Caisse d'Epargne Cantonale Vaudoise, Lausanne 1,002 892,349 Calida Holding AG 396 123,016 * Card Guard AG 15,187 52,375 Carlo Gavazzi Holding AG 910 80,180 Charles Voegele Holding AG 22,160 1,379,368 Cie Financiere Tradition 5,202 466,063 Conzzeta Holdings AG 1,415 1,585,015 * COS Computer Systems AG 3,712 112,449 * Crealogix Holding AG 491 27,390 * Crossair AG, Basel 13,517 96,353 Daetwyler Holding AG, Atldorf 348 838,077 Edipresse SA, Lausanne 750 375,913 EGL (Elektrizitaets-Gesellschaft Laufenberg) AG, Laufenberg 3,207 2,104,880 Eichhof Holding AG 188 192,678
5 * ELMA Electronic AG 472 96,443 * Emmi AG 1,670 153,038 Ems-Chemie Holding AG 16,276 1,413,347 Energie Electrique du Simplon SA 350 84,104 Energiedienst Holding AG 8,265 2,681,187 Escor Casino & Entertainment AG 2,010 47,475 Feintol International Holding AG 896 190,331 * Fischer (Georg) AG, Schaffhausen 8,458 2,507,314 * Flughafen Zuerich AG 4,463 625,408 * Forbo Holding AG, Eglisau 1,100 209,685 Fuchs Petrolub AG Oel & Chemie Non-Voting 6,003 588,784 Galenica Holding, Ltd. AG, Bern 12,488 2,056,241 Generale d'Affichage 4,059 585,439 Generali (Switzerland) Holdings, Adliswil 2,043 516,025 * Getaz Romang Holding SA 828 292,121 * Golay-Buchel Holding SA, Lausanne 40 38,255 Gornergrat Monte Rasa-Bahnen Zermatt 70 56,070 Gurit-Heberlein AG 1,125 784,234 Helvetia Patria Holding 6,131 918,087 Industrieholding Cham AG, Cham 950 228,323 * Interroll-Holding SA 970 144,529 * Isotis SA 195,512 274,311 Jelmoli Holding AG 1,521 2,065,858 Jelmoli Holding AG, Zuerich (Namen) 2,835 764,871 Kaba Holding AG 5,543 1,489,630 * Kardex AG, Zuerich 12,205 410,881 * Komax Holding AG 5,285 404,112 Kudelski SA 77,568 2,730,391 * Kuoni Reisen Holding AG 6,937 2,751,468 * Leica Geosystems Holdings AG 5,448 1,625,478 * Lem Holdings AG, Lyss 578 203,763 * Logitech International SA 22,086 1,315,243 Luzerner Kantonalbank AG 5,601 1,076,506 * Metraux Services SA 501 63,387 * Micronas Semi 78,808 2,952,423 * Mikron Holding AG, Biel 23,835 276,342 * Mobilezone Holding AG 38,456 153,253 * Moevenpick-Holding, Zuerich 1,320 307,478 * Nextrom Holding SA 1,409 15,497 Orell Fussli Graphische Betriebe Ag, Zuerich 3,841 458,370 OZ Holding AG 7,479 440,025 * Parco Industriale e Immobiliare SA 600 1,682 Phoenix Mecano AG, Stein am Rhein 2,749 674,150 Phonak Holding AG 119,848 4,394,238 * PSP Swiss Property AG 83,303 3,675,148 Publicitas Holding SA, Lausanne 2,762 805,008 Rieters Holdings AG 11,206 3,037,018 SAIA-Burgess Electronics AG 1,191 663,186 * Sarna Kunststoff Holding AG 4,991 505,367 * Saurer AG 36,702 2,090,847 Schaffner Holding AG 1,584 201,249 * Schweiter Technology AG 1,877 319,978 Schweizerhall Holding AG 5,725 435,954 Schweizerische National Versicherungs Gesellschaft 1,526 769,118
6 * SEZ Holding AG 34,429 854,434 SIA Abrasives Holding AG 1,865 444,582 Siegfried Holding AG 8,560 1,022,196 Sig Holding AG 14,026 2,982,211 * Sihl 150 360 * Sika Finanz AG, Baar 4,967 3,120,035 Sopracenerina 2,409 531,242 St. Galler Kantonalbank 4,870 1,239,981 Sulzer AG, Winterthur 1,832 761,887 * Swiss Prime Site AG 29,315 1,403,142 * Swissfirst AG 614 24,590 * Swissfirst AG 5,049 202,300 * Swisslog Holding AG 337,083 302,163 * Swissquote Group Holding SA 1,354 109,550 Tamedia AG 5,300 482,923 Tecan Group AG 29,876 853,266 * Temenos Group AG 35,359 197,565 * # Tornos Holding SA 32,553 221,463 * UMS Schweizerische Metallwerke Holding AG, Bern 14,055 148,561 # Unaxis Holding AG 26,214 3,678,214 Unilabs SA 21,665 641,066 * Valiant Holding AG 38,011 3,348,538 * Valora Holding AG 7,856 1,723,827 Vaudoise Assurances Holding, Lausanne 67 123,783 Villars Holding SA, Fribourg 150 48,060 * Von Roll Holding AG, Gerlafingen 247,719 436,869 Vontobel Holdings AG 58,345 1,261,393 Walliser Kantonalbank 1,120 358,999 * Wmh Walter Meier Holding AG, Zuerich 4,041 238,945 Zehnder Holding AG 655 793,800 Zschokke Holding SA, Geneve 481 257,405 * Zueblin Holding AG 36,765 312,269 Zuger Kantonalbank 590 1,540,877 ---------------- TOTAL COMMON STOCKS (Cost $91,041,286) 113,996,626 ---------------- PREFERRED STOCKS -- (0.1%) Fuchs Petrolub AG Oel & Chemie 6,003 556,142 ---------------- (Cost $266,229) INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs 524,235 ---------------- (Cost $530,393) TOTAL -- SWITZERLAND (Cost $91,837,908) 115,077,003 ---------------- GERMANY -- (9.6%) COMMON STOCKS -- (9.6%) * 3U Telecom AG 69,676 94,263 A.S. Creation Tapeton AG 2,900 93,155 * AAP Implantate AG 14,384 29,838
7 Aareal Bank AG 46,391 1,346,607 * Acg AG Fuer Chipkarten und Informationssysteme 16,940 11,888 Ackermann-Goeggingen AG 8,100 165,185 * AC-Service AG 4,300 28,069 * Adlink Internet Media AG 42,605 182,393 * Adva AG Optical Networking 39,883 211,485 * Agrob AG 5,800 52,696 * # Aixtron AG 74,124 241,167 Amadeus Fire AG 4,900 36,423 Andreae-Noris Zahn AG, Anzag 27,200 1,170,606 * Articon Integralis AG 14,031 51,883 Atoss Software AG 3,700 40,898 * Augusta Technologie AG 1,174 8,096 Ava Allgemeine Handelsgesellschaft der Verbraucher AG 35,814 2,027,959 * AWD Holding AG 52,932 2,085,776 * Baader Wertpapier Handelsbank AG 27,351 150,998 Balda AG 40,277 393,562 * Basler AG 3,200 55,996 # Beate Uhse AG 56,241 537,938 # Bechtle AG 25,498 618,771 * Berliner Elektro Holding AG 20,841 212,909 Bertrandt AG 9,850 114,515 * Beta Systems Software AG 2,850 48,055 Bien-Haus AG 2,400 24,580 Bilfinger & Berger Bau AG 50,828 2,412,883 * Biolitec AG 8,000 27,322 Biotest AG 7,933 178,425 * BKN International AG 17,600 126,816 * BMP AG 10,600 24,865 * Boewe Systec AG 7,866 419,480 * Borussia Dortmund GMBH & Co. KGAA 21,650 64,557 Bremer Energiekonto AG 14,700 28,067 * Broadnet Mediascape Communications AG 20,624 66,015 * CBB Holding AG 102,602 23,989 * Ce Consumer Electrnic AG 21,600 23,047 * Ceag AG 20,670 141,300 * Cenit AG Systemhaus 3,500 78,422 * Centrotec Hochleistungskunststoffe AG 7,500 199,486 Cewe Color Holding AG 7,987 292,415 * CNV Vermoegensverwaltungs AG 6,625 88,261 Comdirect Bank AG 120,666 936,602 * Computec Media AG 4,650 39,194 Computerlinks AG 5,700 108,966 * Condomi AG 1,800 2,040 * CTS Eventim AG 14,800 553,598 Curanum AG 21,500 107,200 * D. Logistics AG 37,750 79,799 # DAB Bank AG 70,271 500,731 Data Modul AG 3,194 54,210 * DEAG Deutsche Entertainment AG 10,500 28,252 Deutsche Euroshop AG 20,091 1,056,044 * Deutsche Steinzeug Cremer & Breuer AG 87,200 52,539 * Deutz AG 101,512 466,704 * Dierig Holding AG 10,500 147,298
8 Dis Deutscher Industrie Service AG 18,524 792,658 Douglas Holding AG 71,252 2,418,245 Dr. Hoenle AG 8,769 98,137 * # Drillisch AG 38,437 177,040 * Duerr Beteiligungs AG 17,593 301,214 DVB Bank AG 7,124 965,526 * Easy Software AG 8,966 42,112 * Eckert and Ziegler Strahlen -- und Medizintechnik AG 3,000 39,809 * Elexis AG 8,600 126,832 Elmos Semiconductor AG 23,218 370,970 ElreingKlinger AG 3,000 221,514 * # Em.TV AG 18,773 117,935 * Emprise Management Consulting AG 8,950 17,552 * EMS New Media AG 18,126 35,897 * Epcos AG 59,882 766,599 Erlus Baustoffwerke AG 297 136,182 * Escada AG 20,520 475,636 * Euwax AG 536 17,686 * Evotec Biosystems AG 67,521 232,174 Feilmann AG 29,181 1,919,633 FJA AG 9,889 35,104 Fortec Elektronik AG 1,400 52,891 * Freenet.De AG 50,400 1,273,453 Fuchs Petrolub AG Oel & Chemie 6,693 637,404 * Gerry Weber International AG 10,945 134,122 * Gesco AG 3,875 116,963 GFK AG 45,483 1,677,196 * GFT Technologies AG 22,600 51,111 * Girindus AG 12,227 91,259 * GPC Biotech AG 39,562 452,358 Grenkeleasing AG 15,958 636,008 * Grundstuecks & Baugesellschaft AG 3,567 124,877 Gwag Bayerische Wohnungs--Aktiengesellschaft AG 3,383 187,542 Hamborner AG 21,000 710,742 Hawesko Holdings AG 5,291 213,168 * Herlitz AG 6,962 39,479 Hochtief AG 34,000 1,155,340 * Hoeft & Wessel AG 8,386 52,741 Hucke AG 8,300 31,588 Hugo Boss AG 25,100 749,861 * Hutschenreuther AG 2,800 37,901 Hyrican Informations Systeme AG 3,107 38,026 * I-D Media AG 9,700 20,870 * IFA Hotel & Touristik AG 7,000 68,569 * IM International Media AG 19,800 19,801 * InfoGenie Europe AG 14,059 45,321 * Innovation in Traffic Systems AG 12,300 65,049 Interseroh AG 11,845 339,061 * # Intershop Deutschland AG 45,158 47,818 * Intertainment AG 8,500 20,171 * Isra Vision Systems AG 3,650 79,590 * itelligence AG 18,143 40,047 * IVG Immobilien AG 143,237 2,602,157 Iwka AG 44,442 1,053,813
9 * Jack White Productiions AG 8,424 94,651 * Jenoptik AG 101,045 1,087,166 K & S Aktiengesellschaft AG 129,500 6,914,946 Kampa-Haus AG 10,375 72,819 Keramag Keramische Werke AG 13,000 927,840 * # Kloeckner-Werke AG 53,211 849,661 * Kontron AG 92,611 737,937 Krones AG 10,180 1,093,490 KSB AG 2,387 381,525 KWS Kleinwanzlebener Saatzucht AG 1,650 1,410,638 * Leica Camera AG 4,400 13,776 * Leifheit AG 12,500 339,613 Leoni AG 37,500 2,893,666 * Loewe AG 7,100 81,595 LPKF Laser & Electronics AG 9,000 49,003 * Mania Technologie AG 12,670 20,230 Masterflex AG 4,400 147,925 * Maxdata AG 32,897 152,840 * Mediclin AG 38,553 90,392 * Medigene AG 20,165 261,830 # Medion AG 45,454 702,923 * Mensch und Maschine Software AG 10,700 49,986 # Mobilcom AG 106,387 2,330,841 * Mologen AG 7,239 39,077 * Morphosys AG 6,656 268,767 * Mosaic Software AG 5,200 6,968 Muehlabauer Holdings AG & Co. KGAA 7,423 345,457 MVV Energie AG 59,215 1,180,227 * MWG Biotech AG 30,700 15,031 Nemetschek AG 8,499 140,644 * Neschen AG 5,800 20,809 * Nexus AG 21,275 85,033 Norddeutsche Affinerie AG 51,075 1,033,110 Norddeutsche Steingutfabrik AG 5,960 50,660 * November AG 9,018 55,029 Ohb Teledata 16,598 150,202 Oldenburgische Landesbank AG 1,102 80,495 * Pandatel AG 5,700 7,985 Paragon AG 22,134 432,198 * Parsytec AG 14,700 50,706 * PC-Spezialist Franchise AG 2,462 22,488 PC-Ware Information Technologies AG 5,100 63,796 * Personal & Informatik AG 5,900 70,036 Pfeiffer Vacuum Technology AG 16,633 793,099 * Pfleiderer AG 51,351 808,703 * Pironet NDH AG 10,964 58,889 * Plambeck Neue Energien AG 19,350 16,849 * Plasmaselect AG 21,396 120,965 * Plenum AG 9,300 13,423 * Primacom AG 29,925 127,188 * Produkte und Syteme der Informationstechnologie AG 14,792 70,438 Progress-Werk Oberkirch AG 5,000 203,042 * Pulsion Medical Systems AG 11,078 66,200 * PVATepla AG 15,550 113,585
10 * # Qs Communications AG 124,164 562,480 Rational AG 15,083 1,655,169 * Realtech AG 3,650 30,278 Renk AG 19,400 650,977 REpower Systems AG 5,000 92,326 Rheinmetall Berlin AG 45,000 2,282,926 Rhoen Klinikum AG 24,107 1,590,263 * Rinol AG 5,900 10,115 * Rohwedder AG 4,860 45,769 * Ruecker AG 7,800 58,070 * S.A.G. Solarstrom AG 11,440 90,987 Salzgitter AG 95,909 2,243,998 Sartorius AG 16,918 354,433 Schlott Sebaldus AG 7,440 247,852 Schwarz Pharma AG 30,101 1,318,636 Sektkellerei Schloss Wachenheim AG 15,120 196,826 * Senator Entertainment AG 980 1,712 * # SGL Carbon AG 57,758 680,376 * SHS Informationssysteme AG 9,737 44,286 * Silicon Sensor International AG 2,122 27,932 * # Singulus Technologies AG 46,050 556,280 Sinner AG, Karlsruhe 4,160 49,144 * SinnerSchrader AG 8,412 15,614 Sixt AG 19,433 384,066 * Sm Wirtschaftsberatungs AG 3,350 21,072 Software AG 39,230 1,500,688 Stada Arzneimittel AG 84,036 2,591,605 Stahl (R.) AG 6,300 107,683 * Steag Hamtech AG 35,473 71,601 * Stoehr & Co. AG 16,000 68,911 * Strabag AG 4,840 296,152 Stratec Biomedical Systems AG 3,200 90,558 Stuttgarter Hofbraeu AG 18,000 615,771 Sued-Chemie AG 29,146 1,230,825 * Suess Microtec AG 17,785 100,354 Syskoplan AG 3,300 24,881 * Syzygy AG 18,000 108,335 Takkt AG 87,707 808,661 * TDS Informationstechnologie AG 10,411 30,696 * Techem AG 29,076 1,189,783 Technotrans AG 9,778 184,915 * Telegate AG 20,500 361,927 * Teles AG Informationstechnologien 26,657 319,099 * Textilgruppe Hof AG 12,170 101,145 * TFG Venture Capital AG & Co. KGAA 16,727 48,929 * Tomorrow Focus AG 42,650 110,641 * TTL Information Technology AG 6,400 23,086 * TV Loonland AG 7,000 16,178 * Umweltbank AG 7,227 87,230 United Internet AG 85,759 2,220,925 * Utimaco Safeware AG 12,200 91,092 * Value Management & Research AG 14,150 60,620 * Varetis AG 3,439 29,573 * VBH (Vereinigter Baubeschlag-Handel) AG 9,415 34,331
11 * Vereinigte Deutsche Nickel-Werke AG 12,150 6,130 * Vivacon AG 6,559 113,317 Vossloh AG 21,469 1,019,784 * W.O.M. World of Medicine AG 11,983 45,962 Wanderer-Werke AG 7,903 295,643 * WaveLight Laser Technologies AG 1,159 20,488 * WCM Beteiligungs AG 440,394 238,288 Westag and Getalit AG, Rheda-Wiedenbrueck 7,000 82,693 Wuerttembergische Lebensversicherung AG 11,330 243,045 * Wuerttembergische Metallwarenfabrik AG 30,330 530,106 Wuerzburger Hofbraeu AG 133 70,048 * Zapf Creation AG 7,500 95,785 ---------------- TOTAL -- GERMANY (Cost $69,430,081) 96,254,453 ---------------- ITALY -- (6.6%) COMMON STOCKS -- (6.6%) Acea SpA 163,000 1,839,125 Acegas SpA 36,106 424,419 * Actelios SpA 25,801 206,687 Aedes SpA (Sta Ligure Lombarda per Imprese & Costruzioni) 122,707 824,146 # Aem Torino SpA 507,240 1,246,218 Aeroporto de Firenze SpA 6,000 84,203 * Alitalia Linee Aeree Italiane SpA Series A 3,706,002 1,178,154 Amplifon SpA 18,242 1,171,521 Astaldi SpA 77,523 499,097 Azienda Mediterranea Gas e Acqua SpA 360,014 696,596 Banca Ifis SpA 19,351 223,454 Banca Intermobiliare di Investimenti e Gestoni SpA 132,998 1,071,671 # Banca Popolare Dell'etruria e Del Lazio Scrl 36,408 528,401 Banca Profilo SpA 114,243 270,574 Banco di Desio e della Brianza SpA 109,105 885,710 # Banco Piccolo Valellinese Scarl SpA 86,233 1,303,292 * Beghelli SpA 142,000 108,239 Benetton Group SpA 8,444 76,625 Beni Stabili SpA, Roma 1,309,500 1,257,595 Biesse SpA 17,100 78,746 Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma 9,675 290,516 Bremba SpA 74,782 559,016 Buzzi Unicem SpA 94,100 1,354,019 # Caltagirone Editore SpA 132,868 1,186,475 Caltagirone SpA 178,399 1,400,137 CAMFIN (Cam Finanziaria) 36,527 98,509 Carraro SpA 34,400 169,464 Cementir Cementerie del Tirreno SpA 249,704 1,242,667 Centrale del Latte di Torino & Co. SpA 4,182 23,029 CIR SpA (Cie Industriale Riunite), Torino 591,100 1,633,689 * Cirio Finanziaria SpA 175,000 37,470 # Class Editore SpA 83,868 175,775 * # CMI SpA 90,302 391,941 * Coats Cucirini SpA 30,000 36,323
12 * Compagnia Immobiliare Azionaria 44,000 10,556 Credito Artigiano SpA 114,446 474,490 # Credito Bergamasco SpA 6,102 180,345 # Cremonini SpA 135,428 409,282 * CSP International Industria Calze SpA 10,000 13,747 # Danieli & C.Officine Meccaniche SpA 66,500 408,252 Davide Campari - Milano SpA 275,990 1,970,907 # De Longhi SpA 139,386 513,875 * Ducati Motor Holding SpA 129,900 159,838 Emak SpA 27,000 149,986 Erg SpA 173,330 2,685,619 Ergo Previdenza SpA 95,165 616,037 Esprinet SpA 37,000 237,122 * Fiera Milano SpA 3,484 40,740 * Finarte Casa d'Aste SpA (Milano) 56,266 68,388 * Finarte Partecipazioni Pro Arte SpA 242,693 24,400 * # Finmatica SpA 35,900 100,679 Gabetti Holding SpA 55,000 257,891 Gefran SpA 11,000 64,303 # Gemina SpA 331,283 565,095 Gewiss SpA 221,700 1,342,304 * Giovanni Crespi SpA 49,200 51,580 Granitifiandre SpA 33,237 290,208 Gruppo Ceramiche Ricchetti SpA 41,000 82,369 I Grandi Viaggi SpA 28,100 34,281 * Immobiliare Lombardia SpA 425,000 117,614 Immsi SpA 373,100 715,854 Impregilo SpA 59,230 474,123 # Industria Macchine Automatique SpA 33,671 443,670 Industria Romagnola Conduttori Elettrici SpA 17,500 64,183 # Industrie Zignago S. Margherita SpA 52,000 1,220,071 * Intek SpA 163,776 142,777 * Interpump Group SpA 75,402 463,187 * ITALJOLLY (Cia Italiana dei Jolly Hotels SpA) 34,500 367,902 Italmobiliare SpA, Milano 20,975 1,302,974 * Juventus Footbal Club SpA 98,000 165,725 La Doria SpA 22,000 65,711 * Lavorwash SpA 10,000 29,470 Linificio and Canapificio Nazionale SpA 28,995 101,039 Maffei SpA 52,500 112,043 Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 3,034,347 Mariella Burani Fashion Group SpA 26,077 324,434 * Meliorbanca SpA 90,667 345,891 # Merloni Elettrodomestici SpA 155,000 1,929,873 Milano Assicurazioni SpA 266,700 1,516,175 Mirato SpA 12,000 99,794 * Modena Energia Territorio Ambiente SpA 140,840 495,699 Monrif SpA 150,000 245,154 * Montefibre SpA 143,130 53,616 Navigazione Montanari SpA 110,917 378,964 * Negri Bossi SpA 13,700 35,704 * NGP SpA 17,891 7,706 * Olidata SpA 20,000 23,066 * Opengate Group SpA 4,000 9,401
13 * Pagnossin SpA 9,000 6,771 * Partecipazioni Italiane SpA 41,062 14,350 Permasteelisa SpA 24,470 379,235 Pininfarina SpA 31,285 881,754 Pirelli & C.Real Estate SpA 9,600 507,778 Poligrafici Editoriale SpA 132,000 337,831 Premafin Finanziaria SpA Holding di Partecipazioni, Roma 342,051 662,275 Premuda SpA 115,214 217,985 * Ratti SpA 31,768 24,575 Recordati SpA 234,576 1,600,621 * Reno de Medici SpA, Milano 332,210 304,384 * Richard-Ginori 1735 SpA 140,800 87,311 * Risanamento Napoli SpA 304,043 1,097,753 Sabaf SpA 9,200 194,024 SAES Getters SpA 14,750 276,427 * Schiapparelli 1824 SpA, Milano 831,000 48,504 * Seat Pagine Gialle SpA, Torino 1,927,737 911,800 * Sirti SpA 29,967 69,547 SISA (Societa Imballaggi Speciali Asti SpA) 65,000 200,403 * SNIA SpA 227,590 79,072 * Societa Partecipazioni Finanziarie SpA 54,060 32,899 # Societe Cattolica di Assicurazoni Scarl SpA 27,170 1,188,553 Socotherm SpA 29,770 304,648 Sogefi SpA 182,500 884,757 Sol SpA 81,830 498,388 * Sorin SpA 341,385 1,021,912 * STA Metallurgica Italiana SpA 282,640 226,461 Stefanel SpA 54,400 267,684 Targetti Sankey SpA 14,500 95,110 * Tecnodiffusione Italia SpA 3,332 8,200 Terme Demaniali di Acqui SpA 532,000 773,101 * # Tiscali SpA 296,735 885,601 # Tod's Group SpA 30,476 1,528,424 Trevi-Finanziaria Industriale SpA 52,400 116,165 * Vemer Siber Group SpA 46,000 21,212 * Viaggi del Ventaglio SpA 58,380 82,736 Vianini Industria SpA 52,520 176,323 Vianini Lavori SpA 180,752 1,546,507 Vittoria Assicurazioni SpA 51,500 506,458 * Zucchi (Vincenzo) SpA 144,350 615,433 ---------------- TOTAL -- ITALY (Cost $41,549,484) 66,294,936 ---------------- SWEDEN -- (6.2%) COMMON STOCKS -- (6.1%) * # Active Biotech AB 38,600 197,182 Addtech AB Series B 22,300 194,682 Alfa Laval AB 18,600 280,314 * Alfaskop AB 3,200 344 Angpannefoereningen AB Series B 10,800 201,964 * Anoto Group AB 134,833 208,800
14 Aros Quality Group AB 5,500 78,187 * Artimplant AB Series B 46,000 28,254 # Axfood AB 73,400 1,825,983 Axis AB 76,994 289,717 B & N Bylock & Nordsjoefrakt AB Series B 83,600 284,469 Ballingslov International AB 13,000 231,897 Beiger Electronics AB 11,700 133,193 Beijer AB Series B 11,700 198,428 Beijer Alma AB Series B 10,400 178,115 Bergman & Beving AB Series B 36,200 406,830 Biacore International AB 11,150 257,992 Bilia AB Series A 116,725 1,978,130 Billerud AB 58,700 709,332 * BioGaia AB Series B 7,000 12,439 * Boliden AB 203,900 834,173 * Bong Ljungdahl AB 9,000 58,926 * Boras Waefveri AB Series B 8,600 29,691 * Boss Media AB 73,700 262,403 * Capio AB 121,900 1,921,015 Capona AB 25,400 317,499 Carbo AB 37,100 904,084 Castellum AB 60,900 2,348,094 Cloetta AB Series B 22,250 657,862 Concordia Maritime AB Series B 37,300 163,550 * Consilium AB Series B 5,246 21,642 D. Carnegie & Co. AB 88,200 905,984 * Doro AB Series A 400 1,899 * Duroc AB Series B 2,700 6,855 * Elekta AB 37,000 1,397,022 Elverket Vallentuna AB 8,050 56,877 * Enea Data AB Series B 505,000 322,868 Eniro AB 154,000 1,753,251 Expanda AB 6,547 33,762 Fabege AB 164,145 3,312,075 Fagerhult AB 14,100 222,613 * # Framtidsfabriken AB 966,000 85,351 * Frontec AB Series B 50,800 60,180 Getinge AB 176,604 2,565,060 Geveko AB Series B 8,300 195,350 * Glocalnet AB 187,500 101,111 Gunnebo AB 50,000 644,345 Haldex AB 39,000 690,217 Heba Fastighets AB Series B 13,500 227,854 Hexagon AB 10,716 198,817 Hiq International AB 47,889 201,942 HL Display AB Series B 6,000 100,705 Hoganas AB Series B 38,200 1,007,105 * IBS AB Series B 95,200 251,909 * # Industrial & Financial Systems AB Series B 118,600 110,560 * Industrifoervaltnings AB Skandigen 63,975 213,649 * Intentia International AB Series B 171,420 334,820 * # Intrum Justitia AB 115,700 791,652 # Invik and Co. AB Series B 155,400 1,268,329 * JM AB 13,800 472,870
15 Karlshamns AB 23,800 400,775 * Klippans Finpappersbruk AB 5,800 6,297 Klovern AB 189,976 638,413 Kungsleden AB 73,100 1,814,130 Lagercrantz Group AB Series B 31,800 79,745 * LB Icon AB 14,530 82,096 # Lennart Wallenstam Byggnads AB Class B 83,500 1,107,817 Lindex AB 16,100 716,067 Ljungberg Gruppen AB Series B 3,800 108,540 * Lundin Mining Corp. 4,323 36,580 * Lundin Petroleum AB 322,400 2,328,776 * Mandator AB 220,520 41,599 Meda AB Series A 67,125 627,131 * Medivir Series B 10,650 71,509 * Micronic Laser Systems AB 50,800 525,585 * Modern Times Group AB Series B 48,700 1,501,964 Naerkes Elektriska AB Series B 4,250 70,716 NCC AB Series B 118,100 1,732,913 Nefab AB Series B 5,100 133,310 * Net Insight AB Series B 369,000 80,067 New Wave Group AB 20,800 353,607 Nibe Industrier AB 23,500 632,410 # Nobia AB 77,600 1,240,548 Nolato AB Series B 42,840 293,752 Observer AB 137,856 556,694 OEM International AB Series B 7,100 119,093 * OMHEX AB 129,100 1,557,789 Orc Software AB 16,500 132,946 * Ortivus AB 11,507 43,855 Partnertech AB 12,300 132,163 PEAB AB Series B 105,200 1,096,322 * Pergo AB 43,300 153,210 Poolia AB Series B 18,150 83,919 Prevas AB Series B 16,000 36,565 * Pricer AB Series B 641,500 82,211 * Proact It Group AB 15,000 35,349 * Proffice AB 72,800 109,859 Profilgruppen AB 4,000 35,025 Protect Data AB 13,500 213,646 * PyroSequencing AB 51,940 71,884 # Q-Med AB 34,000 890,814 * Readsoft AB Series B 24,800 87,430 Rottneros Bruk AB 366,600 343,185 Salus Ansvar AB Series B 12,900 49,895 Sardus AB 11,200 141,536 * Scribona AB Series A 40,100 78,277 * Scribona AB Series B 56,300 110,128 * Semcon AB 18,300 110,874 * # Sigma AB Series B 25,800 36,443 * Sintercast AB 5,600 44,821 Skistar AB 23,300 409,931 SSAB Swedish Steel Series A 60,300 1,465,891 SSAB Swedish Steel Series B 17,100 401,624 * Studsvik AB 4,400 80,389
16 Sweco AB Series B 23,450 405,785 * # Switchcore AB 185,784 38,637 * Teleca AB Series B 73,000 376,340 * Telelogic AB 352,200 795,743 * Teligent AB 26,200 82,493 * Ticket Travel Group AB 15,152 28,402 Trelleborg AB Series B 75,400 1,171,382 # TV 4 AB Series A 22,200 429,772 Uniflex AB Series B 3,630 21,845 VBG AB Series B 271 4,880 * Wedins Skor & Accessoarer AB 8,900 54,075 Westergyllen AB Series B 8,600 60,758 * # Wihlborgs Fastigheter AB 32,829 772,089 Wilh. Sonesson AB Series A 4,160 16,269 Wilh. Sonesson AB Series B 4,160 15,353 WM-Data AB Series B 460,600 1,199,803 Xponcard Group AB 2,800 64,066 ---------------- TOTAL COMMON STOCKS (Cost $37,572,660) 61,624,030 ---------------- INVESTMENT IN CURRENCY -- (0.1%) * Swedish Krona 381,234 ---------------- (Cost $387,038) TOTAL -- SWEDEN (Cost $37,959,698) 62,005,264 ---------------- NETHERLANDS -- (6.0%) COMMON STOCKS -- (6.0%) Aalberts Industries NV 45,516 2,003,643 Accell Group NV 15,651 341,670 AFC Ajax NV 10,787 124,743 Airspray NV 3,800 91,652 AM NV 143,311 1,500,209 Arcadis NV 20,638 464,827 * # ASM International NV 92,464 1,349,580 * Atag Group NV 4,630 1,652 Athlon Groep NV 34,250 845,537 Batenburg Beheer NV 3,000 137,472 * Begemann Groep NV 11,909 35,611 * Begemann Groep NV Series B 13,451 3,310 Beter Bed Holding NV 14,334 424,515 Boskalis Westminster NV 65,442 2,375,638 Brunel International NV 49,126 612,435 Buhrmann NV 245,259 2,247,655 * # Crucell NV 88,757 1,729,993 * Draka Holding NV 26,175 348,551 * Econosto NV 32,113 120,466 Eriks Group NV 22,542 848,136 Exact Holding NV 51,660 1,582,600 Fornix Biosciences NV 8,767 208,299 * Fox Kids Europe NV 71,715 1,181,894
17 Gamma Holding NV 15,705 658,950 Gemeenschappeljk Bezit Crown van Gelder NV 12,000 270,485 Getronics NV 1,156,748 1,891,759 Grolsche NV 32,100 932,742 Grontmij NV 7,109 450,625 * # Hagemeyer NV 1,095,089 2,601,670 Heijmans NV 60,267 2,574,421 * Hitt NV 3,804 23,451 ICT Automatisering NV 5,800 92,778 Imtech NV 49,620 1,635,412 Kas Bank NV 42,888 826,206 * Kendrion NV 241,262 433,030 Koninklijke Bam NV 40,018 2,525,120 Koninklijke Frans Maas Groep NV 12,349 418,176 Koninklijke Nedlloyd NV 33,528 2,300,772 Koninklijke Ten Cate NV 13,515 1,137,273 Koninklijke Vopak NV 51,376 1,175,994 * # Laurus NV 92,984 315,257 MacIntosh NV 15,590 656,191 * Maverix Capital NV 1,500 70,142 Nederlandsche Apparatenfabriek 14,000 466,593 NH Hoteles SA 21,703 260,925 Nutreco Holding NV 50,668 1,631,489 NV Holdingsmij de Telegraaf 46,153 991,461 Oce NV 128,201 1,857,466 Opg Groep NV Series A 28,369 1,811,589 * # Pharming Group NV 163,643 846,419 Reesink NV 2,050 185,614 Roto Smeets de Boer NV 2,640 152,660 Rubber Cultuur Maatschappij Amsterdam NV 40,800 183,070 * Samas-Groep NV 27,117 210,923 * Seagull Holding NV 6,767 26,209 * Semiconductor Industries NV 56,979 286,697 Sligro Food Group NV 28,753 1,239,139 Smit Internationale NV 20,578 959,063 Stern Groep NV 1,236 42,815 Stork NV 69,531 2,761,072 * Textielgroep Twenthe NV 1,000 3,076 * Tulip Computers NV 150,799 31,781 Twentsche Kabel Holding NV 18,244 794,327 United Services Group NV 39,409 1,166,569 Univar NV 47,480 1,430,436 Van Der Mollen Holding NV 57,660 290,700 * # Versatel Telecom International NV 1,041,167 2,499,356 Wegener Arcade NV. 70,830 880,220 ---------------- TOTAL COMMON STOCKS (Cost $43,561,295) 60,580,211 ---------------- RIGHTS/WARRANTS -- (0.0%) * Boskalis Westminster NV Coupons 06/02/05 65,442 0 * Eriks Group NV Coupons 06/01/05 11,271 0 * Nutreco Holding NV Coupons 06/07/05 50,668 0 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 0 ---------------- TOTAL -- NETHERLANDS (Cost $43,561,295) 60,580,211 ----------------
18 FINLAND -- (4.9%) COMMON STOCKS -- (4.9%) Alandsbanken AB Series B 7,790 180,520 * Aldata Solutions Oyj 124,635 250,400 Amanda Capital Oyj 25,870 65,121 Amer-Yhtymae Oyj Series A 141,760 2,409,272 Aspo P.L.C. 42,300 374,730 Aspocomp Group P.L.C. 25,476 125,548 Basware Oyj 7,050 75,857 * Benefon Oy 1,900 624 * Biotie Therapies Oyj 39,754 36,821 Capman Oyj Series B 12,485 37,806 Componenta Oyj 11,200 93,634 Comptel Oyj 149,541 298,494 Efore Oy 25,840 59,495 Elcoteq Network Oyj 44,060 864,469 # Elektrobit Group Oyj 138,919 434,472 Elisa Communications Corp. 83,260 1,247,014 * Eq Online Oyj 23,900 60,630 Etteplan Oyj 6,000 43,693 * Evox Rifa Group Oyj 189,210 23,244 Finnair Oyj 118,150 1,007,056 Finnlines Oyj 78,360 1,338,540 Fiskars Oy AB Series A 82,728 955,684 * F-Secure Oyj 156,528 357,811 HK Ruokatalo Oy Series A 44,760 520,963 Honkarakenne Oy Series B 3,030 19,257 Huhtamaki Van Leer Oyj 147,650 2,241,884 Ilkka-Yhtyma Oyj 19,360 211,380 * Incap Oyj 11,000 23,022 J.W. Suominen Yhtyma Oy 17,955 85,458 Jaakko Poyry Group Oyj 16,810 517,622 Julius Tallberg-Kiinteistoet Oy, Helsinki Series B 4,500 58,531 KCI Konecranes International Oyj 29,900 1,221,314 Kemira GrowHow Oyj 25,160 194,922 Kemira Oyj 139,200 1,852,966 Kesko Oyj 32,060 768,428 Laennen Tehtaat Oy 8,670 127,874 Lassila & Tikanoja Oyj 68,276 1,212,352 Lemminkainen Oy 16,600 389,056 Leo Longlife Oy 7,830 43,365 Martela Oy 1,060 10,058 Metsaemarkka Oyj Series B 832 6,814 M-Real Oyj Series B 89,000 480,416 New Kyro Corp. Oyj 91,340 492,149 Nokian Renkaat Oyj 158,900 2,835,395 Nordic Aluminium Oy 1,900 27,570
19 * Okmetic Oyj 21,204 59,608 Okobank Class A 101,080 1,612,530 Olvi Oyj Series A 8,020 164,012 Orion-Yhtyma Oyj Series A 41,180 799,553 Orion-Yhtyma Oyj Series B 60,920 1,185,010 Oy Stockmann AB Series B 53,350 1,769,090 Perlos P.L.C. Warrants 04/04/04 76,811 734,688 PK Cables Oyj 19,990 238,053 * Pmj Automec Oyj 45,410 44,100 Pohjola Group P.L.C. Series D 146,205 1,855,760 Ponsse Oyj 12,600 278,781 * Proha Oyj 82,532 47,530 Raisio Group P.L.C. Series V 299,423 803,265 Rakentajain Koneuvokrammo Oy 10,260 86,638 Ramirent Oyj 24,540 402,843 Rapala VMC Oyj 36,040 248,138 Rautaruukki Oyj Series K 188,780 2,659,420 Raute Oy Series A 4,190 51,358 Rocla Oy 2,900 35,659 * Satama Interactive Oyj 70,900 76,834 Saunalahti Group Oyj 141,454 336,212 # Scanfil Oyj 63,879 311,149 Sponda Oyj 109,111 1,030,353 SSH Communications Oyj 44,900 67,483 Stockmann Oyj AB 35,240 1,158,776 * Stonesoft Corp. 49,279 40,632 Sysopen P.L.C. 16,020 87,113 Talentum Oyj 36,600 148,947 * Tecnomen Holding Oyj 112,970 192,381 Teleste Corp. Oyi 21,249 167,345 Tieto-X Oyj 10,200 43,303 Tulikivi Oyj 5,710 43,726 Turkistuottajat Oy 4,290 40,871 Uponor Oyj Series A 129,000 2,392,785 Vacon Oyj 14,537 241,193 Vaisala Oy Series A 21,200 495,114 Viking Line AB 10,560 319,005 Wartsila Corp. Oyj Series B 99,690 2,999,117 Yit-Yhtymae Oyj 67,708 2,186,824 ---------------- TOTAL -- FINLAND (Cost $30,505,512) 49,136,930 ---------------- GREECE -- (4.0%) COMMON STOCKS -- (4.0%) * A. Cambas Holding & Real Estate S.A. 54,237 137,088 * Aegek S.A. 99,835 63,498 * Agrotiki Insurance S.A. 34,455 111,441 Aktor Technical Co. S.A. 196,380 776,604 Alco Hellas ABEE S.A. 38,730 58,957 * Alfa Alfa Energy S.A. 3,810 6,530 * Alfa-Beta Vassilopoulos S.A. 15,172 225,417
20 Alisida S.A. 2,160 4,762 * Allatini Industrial & Commercial Co. 15,370 29,581 Alpha Credit Bank 6,552 180,090 Alte Technological Co. S.A. 85,048 8,335 * Altec Information & Communication Systems S.A. 80,278 36,414 Alumil Milonas S.A. 27,516 80,490 * Aluminum of Attica S.A. 104,982 24,541 Anek Lines S.A. 60,821 79,114 Arcadia Metal Industry C. Rokas S.A. 22,389 217,107 AS Co. S.A. 25,370 20,902 * Aspis Bank S.A. 72,374 227,867 * Aspis Pronia General Insurance S.A. 48,640 35,945 * Astir Palace Vouliagmenis S.A. 58,560 366,614 * Athens Medical Center S.A. 104,974 226,900 Athens Water Supply & Sewage Co. S.A. 53,245 372,957 Atlantic Super Market S.A. 13,776 22,039 Attica Holdings S.A. 156,234 552,713 Attica Publications S.A. 16,674 63,544 Atti-Kat S.A. 88,984 52,367 Autohellas S.A. 44,980 202,533 Babis Vovos S.A. 50,982 864,479 Balafas Construction Holdings S.A. 15,200 3,554 Bank of Attica S.A. 115,721 672,722 Bank of Greece 21,842 2,757,381 Bank of Piraeus S.A. 163,829 2,928,966 Benrubi S.A. 11,121 53,915 Betanet S.A. 11,220 42,447 * Bitros Holdings S.A. 19,302 49,036 Byte Computers S.A. 17,230 32,876 Chipita S.A. 76,902 227,599 * Commercial Bank of Greece 1,960 60,042 * Compucon Computer Applications S.A. 11,260 4,280 Computer Peripherals International S.A. 9,110 6,303 Cyclon Hellas S.A 18,131 11,149 Daios Plastics S.A. 16,350 109,450 Delta Holdings S.A. 33,747 248,637 * Diagnostic & Therapeutic Center of Athens "Hygeia" S.A. 38,330 58,385 Dionic S.A. 12,948 8,568 Domiki Krittis S.A. 17,730 10,438 Dynamic Life S.A. 16,440 10,924 Edrasi Psalllidas Technical Co. S.A. 31,108 27,132 Egnatia Bank S.A. 117,107 388,796 El. D. Mouzakis S.A. 31,653 20,112 Elais Oleaginous Production S.A. 16,707 399,905 * Elbisco Holding S.A. 56,000 378,850 Elektrak S.A. 14,040 36,205 Elektroniki of Athens S.A. 21,560 68,356 * Elephant S.A. 26,310 4,877 Elgeka S.A. 18,590 50,219 Elmec Sport S.A. 64,256 135,925 Elton S.A. 18,640 16,448 * Empedos S.A. 15,974 1,573 ETEM S.A. Light Metals Industry 37,502 67,248 * Ethniki General Insurance Co. S.A. 118,768 495,323
21 * Etma Rayon S.A. 11,242 22,657 * Euro Reliance General Insurance 14,830 18,730 Eurodrip S.A. 11,620 24,598 Euromedica S.A. 33,300 70,741 * European Techniki 32,750 9,269 Everest S.A. 30,730 58,967 * Evrofarma S.A. 9,500 13,363 F.G. Europe SA Common Registered Shares 4,536 17,744 * Fanco S.A. 10,110 2,462 * Forthnet S.A. 17,510 102,539 * Fourlis S.A. 64,420 551,373 Frigoglass S.A. 49,990 264,355 G.Polyhronos S.A. 10,580 8,320 Galaxidi Fish S.A. 12,940 7,133 General Commercial & Industry 24,060 21,270 * General Hellenic Bank 35,139 346,209 Germanos S.A. 61,810 1,935,169 * Goody's S.A. 17,740 269,609 Halkor S.A. 121,226 216,104 Hatziioannou S.A. 44,200 39,113 Hellas Can Packaging Manufacturers S.A. 27,902 237,206 * Hellenic Cables S.A. 26,908 28,101 Hellenic Duty Free Shops S.A. 80,020 1,320,417 Hellenic Fabrics S.A. 17,110 40,977 Hellenic Sugar Industry S.A. 35,750 162,874 Hellenic Technodomiki S.A. 224,647 1,171,588 Heracles General Cement Co. 93,293 1,021,289 * Hermes Real Estate S.A. 78,424 357,363 * Hippotour S.A. 12,155 16,156 Hyatt Regency S.A. 130,260 1,497,942 Iaso S.A. 54,510 200,362 Iktinos Hellas S.A. 6,500 10,546 Inform P. Lykos S.A. 20,610 87,960 Informatics S.A. 3,778 1,527 * Intersat S.A. 19,392 8,352 Intertech S.A. 12,236 42,407 Intracom Constructions S.A. 30,520 38,924 Intracom S.A. 199,316 1,023,059 * Ionian Hotel Enterprises S.A. 16,754 196,782 Ipirotiki Software & Publications S.A. 22,110 52,765 * J Boutaris & Son Holding S.A. 28,150 21,393 J&P-Avax S.A. 100,626 470,111 Kalpinis - N. Simos Steel Service Center 12,432 56,301 Karelia Tobacco Co., Inc. S.A. 2,160 165,031 Kathimerini S.A. 21,240 180,031 Katselis Sons S.A. 18,000 49,265 Kego S.A. 21,670 29,048 Kekrops S.A. 2,244 31,444 * Keramia-Allatini S.A. Industrielle Commerciale & Technique 10,368 10,399 * Klonatex Group S.A. Bearer Shares 20,351 18,147 Kordellou Brothers S.A. 12,300 28,533 * Lambrakis Press S.A. 107,586 384,259 * Lampsa Hotel Co. 19,051 140,504 * Lan-Net S.A. 31,675 41,881
22 * Lavipharm S.A. 39,294 44,915 Lazarides Vineyards S.A. 18,326 29,186 * Logic Dis S.A. 77,230 31,138 * Loulis Mills S.A. 15,382 26,149 * Mailis (M.J.) S.A. 101,594 484,523 * Maritime Company of Lesvos S.A. 30,753 14,740 * Maxim Knitwear Factory C.M. Pertsinidis 16,360 4,400 Medicon Hellas S.A. 2,860 15,177 Mesochoritis Bros. Construction Co. S.A. 23,700 8,417 Metka S.A. 59,820 505,098 Michaniki S.A. 108,755 237,802 Minerva Knitwear 5,140 6,654 Minoan Lines S.A. 98,789 376,117 MLS Multimedia S.A. 8,300 7,349 Mochlos S.A. 101,679 39,970 Motor Oil (Hellas) Corinth Refineries S.A. 211,380 3,294,370 Mytilineos Holdings S.A. 47,000 565,531 * N. Levederis S.A. 8,355 6,747 * N.B.G. Real Estate Development Co. 163,170 723,669 * Naoussa Spinning Mills S.A. 76,407 17,724 Naytemporiki S.A. 26,080 42,478 * Neochimiki Lv Lavrentiadis S.A. 30,890 144,438 * Neorion-Syro's Shipyards S.A. 27,210 22,370 * Newsphone Hellas Audiotex S.A. 23,890 93,534 * Nexans Hellas S.A. 3,003 5,898 Nikas S.A. 25,287 155,951 Notos Com.Holdings S.A. 94,554 362,270 Pantechniki S.A. 50,460 74,327 * Pegasus Publishing & Printing S.A. 58,590 114,520 Persefs S.A. Health Care 23,592 14,172 Petros Petropoulos S.A. 7,360 49,306 * Petzetakis S.A. 32,935 51,699 * Pilias S.A. 103,584 17,704 Pipeworks L. Girakian Profil S.A. 11,730 18,147 Piraeus Leasing 5,765 46,082 * Prodeftiki Technical Co. 32,257 10,676 * Promota Hellas S.A. 26,580 10,044 Rilken S.A. 1,982 11,397 * Sanyo Hellas S.A. 59,251 31,966 Sarantis S.A. 43,940 328,236 Sato S.A. 28,850 26,218 * Selected Textile Industry Assoc. S.A. 44,649 19,653 Sfakianakis S.A. 13,390 72,204 * Sheet Steel S.A. 25,850 4,776 * Shelman Hellenic-Swiss Wood S.A. 38,042 41,623 Silver and Baryte Ores Mining Co. S.A. 38,361 269,406 Spyroy Agricultural House S.A. 22,258 28,731 * Stabilton S.A. 27,530 2,710 Strintzis Shipping Lines S.A. 150,740 196,028 Technical Olympic S.A. 180,370 1,035,714 * Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 13,910 3,595 Teletypos S.A. Mega Channel 36,227 143,816 Terna Tourist Technical & Maritime S.A. 63,180 490,020 Themeliodomi S.A. 37,422 23,052
23 Thrace Plastics Co. S.A. 45,500 68,179 * Uncle Stathis S.A. 10,999 79,893 Unisystems S.A. 41,820 74,183 Vardas S.A. 13,780 34,558 * Varvaressos S.A. European Spinning Mills 7,200 4,341 * Veterin S.A. 18,984 20,332 Viohalco S.A. 296,585 1,902,943 Vioter S.A. 80,590 97,994 * Vis Container Manufacturing Co. 4,259 11,576 * Zampa S.A. 830 10,640 ---------------- TOTAL COMMON STOCKS (Cost $38,181,724) 40,286,215 ---------------- PREFERRED STOCKS -- (0.0%) Egnatia Bank S.A. 3,196 9,115 ---------------- (Cost $8,592) TOTAL -- GREECE (Cost $38,190,316) 40,295,330 ---------------- SPAIN -- (4.0%) COMMON STOCKS -- (4.0%) Abengoa SA 66,042 711,043 Adolfo Dominguez SA 3,700 104,713 * Amper SA 56,800 359,700 * Avanzit SA 17,275 30,862 * # Azkoyen SA 52,500 435,447 Banco de Andalucia 9,800 863,732 Banco de Credito Balear SA 35,424 881,805 Banco de Valencia SA 191,814 5,579,619 # Banco Guipuzcoano SA 43,530 903,409 # Banco Pastor SA 34,300 1,280,394 * Baron de Ley SA 7,542 362,236 * Bodegas Riojanas SA 1,633 17,613 CAF (Construcciones y Auxiliar de Ferrocarriles SA) 7,500 730,378 # Campofrio Alimentacion SA 92,800 1,542,054 Cementos Portland SA 16,881 1,159,096 Cie Automotive SA 10,011 152,932 Compania de Distribucion Integral Logista SA 29,600 1,479,207 Compania Vinicola del Norte de Espana SA 6,633 102,894 Cortefiel SA 57,093 1,310,845 * Dogi International Fabrics SA 9,809 60,693 * Duro Felguera SA 10,860 150,325 Elecnor SA 18,300 969,434 * Ercros SA 120,980 159,445 * Espanola del Zinc SA 29,250 66,229 * Estacionamientos Urbanos SA 4,200 0 Europistas Concesionaria Espanola SA 174,940 1,196,574 # Faes Farma SA 36,107 675,711 Funespana SA 6,354 63,291 Grupo Empresarial Ence SA 18,593 507,249 Hullas del Coto Cortes 8,666 104,262
24 Iberpapel Gestion SA 6,700 140,087 Inbesos SA 8,050 84,411 Indo Internacional SA 33,600 262,162 Indra Sistemas SA 75,200 1,374,345 Inmobiliaria Colonial SA ICSA 35,200 1,826,195 Inmobiliaria del Sur SA 378 63,261 * Inmobiliaria del Sur SA Issue 2004 38 5,611 Inmobiliaria Urbis SA 80,282 1,362,357 Lingotes Especiales SA 22,080 135,999 * LSB (La Seda de Barcelona SA) Series B 32,010 98,455 * Mecalux SA 9,500 119,969 Metrovacesa SA 744 45,077 Miquel y Costas y Miquel SA 8,512 335,772 * Natra SA 14,979 129,670 * Natraceutical SA 93,825 143,150 * Nicolas Correa SA 15,750 103,802 Obrascon Huarte Lain SA 65,366 772,877 Pescanova SA 26,443 588,790 * Prim SA 3,900 91,324 Prosegur Cia de Seguridad SA 45,049 944,886 * # Service Point Solutions SA 20,648 91,385 * Sociedad Nacional Inds. Aplicaciones Celulosa Espanola 44,383 70,913 Sol Melia SA 112,700 1,182,880 # SOS Cuetara SA 83,608 1,248,819 Tavex Algodonera SA 31,944 133,524 * Tecnocom Telecomunicaciones y Energia SA 6,300 49,339 # Tele Pizza SA 237,546 484,521 Transportes Azkar, SA 35,477 293,644 Tubacex SA 121,020 408,049 Tubos Reunidos SA 12,466 167,196 Unipapel SA 44,264 957,376 * Uralita SA 338,493 1,688,642 * Urbanizzciones y Transportes SA 12,213 18,635 Vidrala SA, Alava 47,040 943,214 # Viscofan Industria Navarra de Envolturas Celulosicas SA 97,492 945,104 # Zeltia SA 87,378 703,913 ---------------- TOTAL COMMON STOCKS (Cost $16,699,311) 39,976,546 ---------------- RIGHTS/WARRANTS -- (0.0%) * Banco Guipuzcoano SA Rights 06/20/05 43,530 45,531 * Banco Valencia SA Rights 06/07/05 191,814 115,659 * Faes Farma SA Rights 07/06/05 36,107 83,532 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 244,722 ---------------- TOTAL -- SPAIN (Cost $16,699,311) 40,221,268 ----------------
25 DENMARK -- (3.9%) COMMON STOCKS -- (3.9%) Aarhus Oliefabrik A.S. Aeries A 4,950 400,319 * Alm. Brand A.S. 28,360 976,134 Amagerbanken A.S. 2,734 451,792 Ambu International A.S. Series B 3,000 71,366 Amtssparekassen Fyn A.S. 2,243 382,419 Arkil Holdings A.S. Series B 270 40,168 # Bang & Olufsen Holding A.S. Series B 13,387 861,014 * # Bavarian Nordic A.S. 4,930 487,856 * Brodrene Hartmann A.S. Series B 5,865 155,351 * Brondbyernes I.F. Fodbold A.S. Series B 2,000 20,702 Bryggerigruppen A.S. 8,515 685,029 Christian Hansen Holding A.S. Series B 10,855 1,605,962 Codan A.S. 43,400 2,123,322 Dalhoff, Larsen & Hornemann A.S. Series B 1,370 125,746 Dampskibsselsk Torm A.S. 49,460 2,700,186 Dantherm Holding A.S. 2,400 46,036 Danware A.S. 4,185 73,927 DFDS A.S., Copenhagen 11,760 716,592 DiskontoBanken A.S. 743 166,079 DSV, De Sammensluttede Vognmaend A.S. 22,630 1,755,084 East Asiatic Co., Ltd. 22,723 1,424,598 Edb Gruppen A.S. 3,230 103,983 * Fimiston Resources & Technology, Ltd. 400 7,262 FLS Industries Series B 73,180 1,361,178 Fluegger A.S. Series B 2,913 281,655 Foras Holding A.S. Series A 13,292 180,205 Forstaedernes Bank 4,322 364,749 * Genmab A.S. 28,629 529,213 * Glunz & Jensen A.S. 1,470 20,241 GN Great Nordic A.S. 210,980 2,423,246 H&H International A.S. Series B 1,140 261,754 * Hadsten Bank 70 12,037 Harboes Bryggeri A.S. 575 232,628 Hedegaard (Peder P.) A.S. 660 62,712 Hojgaard Holding A.S. Series B 2,500 77,699 * IC Co. A.S. 3,510 126,436 * Incentive A.S. 3,575 10,936 * Jyske Bank A.S. 75,520 2,885,152 Kjobenhavns Sommer Tivoli A.S. 580 262,002 Koebenhavns Lufthavne 9,910 2,193,114 Lan & Spar Bank A.S. 2,250 113,481 * Lastas A.S. Series B 3,600 35,608 Lollands Bank A.S. 750 31,687 * Maconomy A.S. 6,000 11,889 * # Neurosearch A.S. 9,160 410,134 NKT Holding A.S. 30,245 1,176,633 Nordjyske Bank A.S. 920 184,166 * NTR Holdings A.S. 1,130 14,967 Oestjydsk Bank 550 68,208 Per Aarsleff A.S. Series B 1,545 97,004 * Pharmexa A.S. 12,940 47,873 Ringkjobing Bank 1,670 141,370 Ringkjobing Landbobank 1,620 642,532 Rockwool, Ltd. 24,520 1,701,834
26 * RTX Telecom A.S. 8,400 81,805 Salling Bank 250 24,796 Sanistal A.S. Series B 1,786 172,754 * SAS Danmark A.S. 34,300 309,606 Satair A.S. 1,350 39,083 Schouw & Co. A.S. 15,485 410,445 Simcorp A.S. 5,240 416,879 Sjaelso Gruppen A.S. 2,388 286,440 Skjern Bank A.S. 725 61,529 * Sondagsavisen A.S. 21,165 120,706 Spar Nord Bank A.S. 6,823 844,832 Sparbank Vest A.S. 6,600 309,848 Sparekassen Faaborg A.S. 481 187,017 Sydbank A.S. 81,720 1,695,299 # Thrane & Thrane A.S. 5,258 216,145 * TK Development 12,478 79,194 * Topdanmark A.S. 28,300 2,032,024 Treka A.S. 8,498 220,890 Vestfyns Bank 200 25,582 Vestjysk Bank A.S. 10,800 375,080 VT Holdings Shares B 3,130 170,698 ---------------- TOTAL COMMON STOCKS (Cost $17,204,519) 39,423,922 ---------------- RIGHTS/WARRANTS -- (0.0%) * Forstaedernes Bank Rights 06/07/05 4,322 11,435 * Pharmexa A.S. Rights 05/31/05 12,940 7,168 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 18,603 ---------------- TOTAL -- DENMARK (Cost $17,204,519) 39,442,525 ---------------- NORWAY -- (3.6%) COMMON STOCKS -- (3.6%) * Acta Holding ASA 10,000 18,521 * Aker Kvaerner OGEP ASA 45,609 1,723,396 Aker Yards ASA 28,121 1,030,482 Aktiv Kapital ASA 57,017 846,270 Arendals Fosse Kompani ASA 100 11,616 * Blom ASA 18,367 35,578 Bonheur ASA 16,850 1,015,333 * Choice Hotel Scandinavia ASA 27,740 86,359 * Corrocean ASA 19,321 8,827 Det Norske Oljeselskap ASA Series A 88,945 1,021,142 # DOF ASA 97,006 357,186 # EDB Elektronisk Data Behandling ASA 149,417 1,133,086 Ekornes ASA 56,490 1,100,643 * # Eltek ASA 40,842 457,832 Expert ASA 48,758 528,206 Farstad Shipping ASA 60,790 705,709
27 * # Fjord Seafood ASA 783,483 354,702 * # Fred Olsen Energy ASA 91,600 1,838,118 Ganger Rolf ASA 6,690 375,531 Gresvig ASA 4,590 27,544 * Home Invest ASA 15,077 11,676 * Independent Oil Tools ASA 75,603 21,077 * Itera Consulting Group ASA 90,000 39,379 # Kongsberg Gruppen ASA 49,500 728,672 * Kverneland ASA 16,160 200,188 Leroy Seafood Group ASA 23,800 156,494 * # Merkantildata ASA 320,521 92,704 Natural ASA 10,143 45,538 * Nera ASA 187,753 398,477 * Nordic Semiconductor ASA 25,000 195,146 * Northern Offshore, Ltd. 214,000 84,972 * Ocean Rig ASA 105,531 690,062 Odfjell ASA Series A 99,640 1,900,223 Olav Thon Eiendomsselskap ASA 8,320 604,806 * Opticom ASA 3,600 26,728 * Otrum ASA 11,600 54,984 P4 Radio Hele Norge ASA 32,200 104,956 * Petrolia Drilling ASA 100,000 9,437 * Photocure ASA 26,690 156,104 Prosafe ASA 55,980 1,682,144 * Q-Free ASA 8,000 25,325 Rieber and Son ASA Series A 63,654 508,073 * Scana Industrier ASA 50,000 27,707 Schibsted ASA 112,960 2,981,575 * # Sinvest ASA 58,220 240,646 Smedvig ASA Series A 83,580 1,463,172 * # Software Innovation ASA 13,423 37,235 Solstad Offshore ASA 54,100 580,139 * Sparebk Midt-Norge 2,200 95,499 Steen and Stroem ASA 19,512 539,663 # Storebrand ASA 183,330 1,525,312 * Synnove Finden ASA 4,200 18,911 # Tandberg ASA Series A 217,280 2,322,945 * # Tandberg Data ASA 58,950 75,750 * Tandberg Storage ASA 48,450 18,743 * Tandberg Television ASA 90,430 1,034,264 * Telecomputing ASA 44,963 75,893 * Tgs-Nopec Geophysical Co. ASA 40,910 1,127,788 Tomra Systems ASA 294,480 1,271,474 * TTS Marine ASA 12,000 49,398 * Tybring-Gjed ASA 145,146 71,210 * Unit 4 Agresso NV 4,620 49,374 Veidekke ASA 21,846 432,594 Visma ASA 47,393 547,676 Wilhelmsen (Wilhelm), Ltd. ASA Series A 60,800 1,545,039 ---------------- TOTAL COMMON STOCKS (Cost $19,444,016) 36,545,253 ----------------
28 INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone 101,196 ---------------- (Cost $102,528) TOTAL -- NORWAY (Cost $19,546,544) 36,646,449 ---------------- BELGIUM -- (3.3%) COMMON STOCKS -- (3.3%) * Abfin SA 2,560 0 # Ackermans & Van Haaren SA 54,011 2,143,143 * # Arinso International NV 14,739 204,715 Associated Weavers International 5,057 48,551 Banque Nationale de Belgique 710 2,916,481 # Barco (New) NV 17,896 1,299,920 # Bekaert SA 32,028 2,374,353 Brantano NV 2,060 120,734 # Brederode SA 12,180 306,272 Carrieres Unies Porphyre 20 35,088 # CFE (Compagnie Francois d'Entreprises) 2,080 839,161 # Cofinimmo SA 11,516 1,828,885 * Commerciale de Brasserie SA COBRHA 115 148,473 # Compagnie Maritime Belge 41,185 1,344,854 * Cumerio 9,586 132,116 # Deceuninck SA 63,700 1,863,952 # D'Ieteren SA 6,425 1,275,781 # Distrigaz 57 214,180 * Docpharma SA NV 4,489 152,683 Dolmen Computer Applications 5,036 58,369 Duvel Moorgat NV 5,019 166,435 Euronav SA 41,185 1,219,921 EVS Broadcast Equipment SA 5,500 134,757 Exmar NV 8,641 520,153 Floridienne NV 2,033 145,133 Glaces de Moustier-sur-Sambre SA 13,370 562,948 * ICOS Vision Systems Corp. NV 12,914 336,156 * Immobel (Cie Immobiliere de Belgique SA) 5,621 241,740 * Innogenetics NV 39,726 637,637 * Integrated Production & Test Engineering NV 4,380 23,434 * International Brachtherapy SA 9,935 60,498 * Ion Beam Application SA 35,077 241,477 * Ipso-Ilg SA 5,990 53,452 Keytrade Bank SA 2,800 94,475 Kinepolis Group NV 5,020 162,417 Lotus Bakeries NV 650 82,662 # Melexis NV 52,741 641,682 Metiers Automatiques Picanol 16,120 343,772 * Neuhaus NV 670 35,448 # Nord-Sumatra Investissements SA 650 292,180 # Omega Pharma SA 28,203 1,437,698 * Option NV 14,958 487,048 Papeteries de Catala SA 315 34,886 # Quick Restaurants SA 19,501 372,497 * Real Software SA 55,542 34,927
29 # Recticel SA 22,870 194,177 * Resilux NV 1,754 83,029 Rosier SA 655 102,712 # Roularta Media Groep 9,837 605,545 * Sait Radioholland 7,313 38,725 # Sapec SA 3,635 366,830 * Sapec SA VVPR 75 205 # Sioen Industries 21,502 235,250 * SIPEF (Societe Internationale de Plantations & de Finance), Anvers 1,685 282,206 * Solvus SA 38,344 734,907 * Solvus SA Interim Strip VVPR 18,176 224 Spector Photo Group SA 5,408 43,306 * Systemat SA 12,107 81,980 # Telindus Group SA 64,911 718,239 Ter Beke NV 2,281 179,544 # Tessenderlo Chemie 47,282 1,831,358 UNIBRA 1,600 163,221 Union Miniere SA 9,586 752,973 # Van de Velde NV 2,683 472,472 VPK Packaging Group SA 7,185 247,553 # Warehouses de Pauw Sicafi 9,025 393,911 ---------------- TOTAL COMMON STOCKS (Cost $22,063,145) 33,199,511 ---------------- RIGHTS/WARRANTS -- (0.0%) * Belge des Betons Contingent Rights 8,500 0 ---------------- (Cost $0) TOTAL -- BELGIUM (Cost $22,063,145) 33,199,511 ---------------- IRELAND -- (2.6%) COMMON STOCKS -- (2.6%) Abbey P.L.C. 50,849 574,416 * Ardagh P.L.C. 14,262 41,243 * Datalex P.L.C. 72,754 37,538 DCC P.L.C. 136,863 2,713,488 Donegal Creameries P.L.C. 18,079 85,652 * Dragon Oil P.L.C. 307,485 510,233 FBD Holdings P.L.C. 23,114 675,524 Fyffes P.L.C. 630,111 1,767,415 Glanbia P.L.C. 321,765 1,042,847 Grafton Group P.L.C. 284,256 3,302,959 Greencore Group P.L.C. 306,561 1,288,111 * Horizon Technology Group P.L.C. 45,564 57,131 IAWS Group P.L.C. 153,525 2,304,092 IFG Group P.L.C. 52,309 59,863 Independent News & Media P.L.C. 645,069 1,983,328 * Iona Technologies P.L.C. 53,750 180,076 Irish Intercontental Group P.L.C. 37,153 439,391 * IWP International P.L.C. 39,611 3,899
30 Jurys Hotel Group P.L.C. 114,531 2,140,254 * Kenmare Resources P.L.C. 942,269 405,905 Kingspan Group P.L.C. 185,024 2,153,739 McInerney Holdings P.L.C. 58,094 592,857 Paddy Power P.L.C. 71,162 1,221,796 Readymix P.L.C. 109,762 284,433 United Drug P.L.C. 442,555 1,857,124 * Waterford Wedgwood P.L.C. 2,737,733 138,126 ---------------- TOTAL -- IRELAND (Cost $16,873,795) 25,861,440 ---------------- AUSTRIA -- (2.1%) COMMON STOCKS -- (2.1%) * Admiral Sportwetten AG 1,000 17,535 Agrana Beteiligungs AG 2,921 261,905 Andritz AG 13,609 1,187,041 Austria Email AG 715 3,085 * Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 42,784 369,021 Bank Fuer Kaernten und Steiermark AG 520 61,493 * # Betandwin.com Interactive Entertainment AG 12,749 1,824,094 Boehler-Uddeholm AG 11,195 1,444,834 BWT AG 21,819 670,478 * CA Immobilien Anlagen AG 36,830 923,809 Constantia-Verpackungen AG 19,123 636,370 * Conwert Immobilien Invest AG 18,614 306,558 * Demeter Vermoegensverwaltung 15,000 0 * Eybl International AG 2,400 59,006 Flughafen Wien AG 25,698 1,645,900 Frauenthal Holding AG 485 50,953 * Immofinanz Immobilien Anlagen AG 165,130 1,492,002 Lenzing AG 3,948 935,308 Manner (Josef) & Co. AG 870 42,823 Mayr-Melnhof Karton AG 11,760 1,676,150 Oberbank AG 5,384 531,147 Palfinger AG 10,383 600,202 * # RHI AG, Wien 29,275 806,974 Rosenbauer International AG 1,530 112,603 * S&T System Integration & Technology Distribution AG 2,515 92,580 Schoeller-Bleckmann Oilfield Equipment AG 11,860 284,419 * Sparkassen Immobilien AG 33,975 342,114 Ubm Realitaetenentwicklung AG 1,440 61,492 # Uniqa Versicherungen AG 128,555 2,246,598 Voestalpine AG 30,095 2,029,010 * Wolford AG 4,900 105,603 ---------------- TOTAL COMMON STOCKS (Cost $11,965,667) 20,821,107 ----------------
31 RIGHTS/WARRANTS -- (0.0%) * Boehler-Uddeholm AG Rights 06/02/05 11,195 0 * CA Immobilien Anlagen AG Rights 06/01/05 34,837 429 * Jenbacher AG Rights 03/31/08 7,860 0 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 429 ---------------- TOTAL -- AUSTRIA (Cost $11,965,667) 20,821,536 ---------------- PORTUGAL -- (1.2%) COMMON STOCKS -- (1.2%) Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 194,100 273,188 EFACEC Capital, SGPS, SA 60,600 162,350 Finibanco Holdings SGPS, SA 35,482 56,133 * Gescartao, SGPS, SA 10,107 133,188 Ibersol SGPS SA 14,462 94,311 * # Impresa Sociedade Gestora de Participacoes Socias SA 190,166 1,284,504 * Investimentos Participacoes e Gestao SA Inapa 43,702 133,886 Jeronimo Martins SGPS SA 170,757 2,389,975 Mota-Engil, SGPS, SA 250,900 741,711 * # Novabase SGPS 56,005 409,918 * # ParaRede-SGPS SA 97,133 40,764 Portucel-Empresa Produtora de Pasta de Papel SA 466,977 805,259 Sag Gest - Solucoes Automovel Globais SGPS SA 235,500 371,460 Salvador Caetano - Industrias Metalurgicas e Veiculos de Transporte SA 54,900 253,341 * Sociedad Construcoes Soares da Costa SA 19,200 35,805 # Sociedade de Investimento e Gestao SGPS SA 160,396 909,016 Sonae SGPS SA 1,079,900 1,582,540 * # Sonaecom SGPS SA 321,175 1,384,888 * Sporting Sociedad Desportiva de Futebol 3,301 9,828 Teixeira Duarte Engenharia e Construcoes SA 609,000 824,289 ---------------- TOTAL -- PORTUGAL (Cost $6,843,117) 11,896,354 ---------------- EMU -- (0.1%) INVESTMENT IN CURRENCY -- (0.1%) * Euro Currency 554,480 ---------------- (Cost $564,980) UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * Epicor Software Corp. 2,171 26,768 * InFocus Corp. 10,455 43,493 ---------------- TOTAL -- UNITED STATES (Cost $214,919) 70,261 ----------------
32 FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (18.9%) ^ Repurchase Agreement, Deutsche Bank Securities & Mizuho Securities USA 2.96% and 2.98%, respectively, 06/01/05 (Collateralized by $277,454,335 U.S. TIPS 1.875%, 07/15/13 & U.S. STRIPS, rates ranging from 0% to 9.875%, maturities ranging from 11/15/05 to 02/15/29, valued at $193,688,829) to be repurchased at $189,898,459 (Cost $189,882,796) $ 189,883 189,882,796 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $828,000 FNMA Notes 2.95%, 11/14/07, valued at $826,965) to be repurchased at $814,065 (Cost $814,000) 814 814,000 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $190,696,796) 190,696,796 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $724,614,597) $ 1,006,081,648 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 33 THE EMERGING MARKETS SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE + ---------------- ---------------- MEXICO -- (12.1%) COMMON STOCKS -- (12.1%) Alfa S.A. de C.V. Series A 640,590 $ 3,678,389 America Movil S.A. de C.V. Series L 10,897,700 30,837,777 * America Telecom S.A. de C.V. Series A 5,129,240 15,504,095 * Carso Global Telecom S.A. de C.V. Telecom Series A1 3,638,671 6,452,048 Cementos de Mexico S.A. de C.V. Series B 1,551,017 11,800,403 Coca-Cola Femsa S.A. de C.V. Series L 1,310,600 3,111,431 Consorcio Ara S.A. 157,500 512,249 Controladora Comercial Mexicana S.A. de C.V. Series B 633,700 681,188 * Corporacion Interamericana de Entramiento S.A. de C.V. Series B 75,000 145,392 * Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,107 214 Corporativo Fragua S.A. de C.V. Series B 21 67 * Desc S.A. de C.V. Series B 619,841 167,996 El Puerto de Liverpool S.A. de C.V. Series C1 339,500 686,215 Embotelladora Arca S.A. de C.V., Mexico 466,500 959,629 * Empresas ICA Sociedad Controladora S.A. de C.V. 623,700 246,401 Empresas la Moderna S.A. de C.V. Series A 120,000 22,993 Fomento Economico Mexicano Series B & D 754,800 4,122,695 Gruma S.A. de C.V. Series B 90,406 193,116 Grupo Carso S.A. de C.V. Series A-1 3,272,232 5,712,092 Grupo Continental S.A. de C.V. 358,600 553,499 Grupo Elektra S.A. de C.V. 141,400 1,000,317 Grupo Financiero del Norte S.A. Series C 568,984 3,789,445 * Grupo Financiero GBM Atlantico S.A. de C.V. Series L 22,746 11,703 Grupo Financiero Inbursa S.A. de C.V. Series O 3,161,776 6,739,328 * Grupo Gigante S.A. de C.V. Series B 117,282 80,815 Grupo Industrial Bimbo S.A. de C.V. Series A 1,711,100 4,653,338 Grupo Industrial Maseca S.A. de C.V. Series B 229,000 130,234 Grupo Modelo S.A. de C.V. Series C 2,602,300 7,889,851 * Grupo Nutrisa S.A. de C.V. 129 50 * Grupo Qumma S.A. de C.V. Series B 1,591 26 Grupo Televisa S.A. (Certificate Representing Series A, Series D & Series L) 2,117,800 6,339,186 * Grupo Tribasa S.A. de C.V. 2,120 0 Hylsamex S.A. de C.V. Series B 153,914 554,322 Industrias Penoles S.A. de C.V. 324,600 1,604,458 Kimberly Clark de Mexico S.A. de C.V. Series A 980,200 3,120,437 Nueva Grupo Mexico S.A. de C.V. Series B 930,858 4,395,862 * Organizacion Soriana S.A. de C.V. Series B 701,000 2,666,342 Telefonos de Mexico S.A. Series A 200,000 186,690 Telefonos de Mexico S.A. de C.V. 18,366,800 16,975,833 TV Azteca S.A. de C.V. Series A 1,832,100 935,883 * US Commercial Corp. S.A. de C.V. 223,000 80,416 Vitro S.A. de C.V. 121,600 94,850 Wal-Mart de Mexico S.A. de C.V. Series V 5,494,302 20,822,553 ---------------- TOTAL -- MEXICO (Cost $112,747,040) 167,459,828 ----------------
1 TAIWAN -- (11.7%) COMMON STOCKS -- (11.7%) Acer, Inc. 1,051,883 1,990,209 * Advanced Semiconductor Engineering, Inc. 2,302,396 1,662,238 Advantech Co., Ltd. 138,254 325,610 Asia Cement Corp. 1,009,750 645,500 Asustek Computer, Inc. 1,479,062 4,070,093 * Au Optronics Corp. 2,755,487 4,555,326 Benq Corp. 1,083,160 1,113,908 Cathay Financial Holdings Co., Ltd. 5,527,529 10,537,019 Cathay Real Estate Development Co., Ltd. 568,213 238,013 * Chang Hwa Commercial Bank 2,407,796 1,352,975 Cheng Shin Rubber Industry Co., Ltd. 487,437 539,634 Cheng Uei Precision Industry Co., Ltd. 43,136 119,317 Chi Mei Optoelectronic Corp. 2,536,177 3,983,214 China Airlines 1,236,157 684,244 * China Development Financial Holding Corp. 5,507,000 2,097,432 China Motor Co., Ltd. 714,628 735,133 China Steel Corp. 5,889,753 5,730,002 Chinatrust Financial Holdings Co., Ltd. 3,310,473 3,719,032 * Chungwa Picture Tubes Co., Ltd. 3,932,298 1,721,769 CMC Magnetics Corp. 1,356,400 626,080 Compal Electronics, Inc. 1,595,372 1,525,437 * Cosmos Bank Taiwan 478,000 226,941 Delta Electronics Industrial Co., Ltd. 822,228 1,330,514 D-Link Corp. 145,122 175,109 E.Sun Financial Holding Co., Ltd. 1,482,744 1,201,988 * Eva Airways Corp. 1,326,289 656,994 Evergreen Marine Corp., Ltd. 1,320,382 1,180,997 Far East Textile, Ltd. 2,372,668 1,777,511 * Far Eastern International Bank 583,000 317,434 * First Financial Holding Co., Ltd. 3,192,000 2,592,120 Formosa Chemicals & Fiber Co., Ltd. 3,480,090 6,299,508 Formosa Plastics Corp. 3,027,210 5,143,441 Formosa Taffeta Co., Ltd. 436,767 213,149 Fu Sheng Industrial Co., Ltd. 203,035 247,827 Fubon Financial Holding Co., Ltd. 6,054,052 5,734,274 Fuh-Hwa Financial Holding Co., Ltd. 1,082,976 573,651 Giga-Byte Technology Co., Ltd. 167,160 183,172 High Tech Computer Corp. 122,600 1,079,606 Hon Hai Precision Industry Co., Ltd. 1,899,306 9,940,234 Hotai Motor Co., Ltd. 223,000 503,647 * Hsinchu International Bank 451,800 264,802 Hua Nan Financial Holding Co., Ltd. 3,654,320 2,820,860 International Bank of Taipei 885,928 608,765 Inventec Corp. 763,888 352,916
2 Lite-On Technology Corp. 1,331,010 1,422,942 * Macronix International Co., Ltd. 1,547,500 242,255 Media Tek, Inc. 418,730 3,605,331 Mega Financial Holding Co., Ltd. 6,278,535 4,067,932 Mitac International Corp. 166,000 176,717 * Mosel Vitelic Inc. Co., Ltd. 336 92 Nan Ya Plastic Corp. 4,237,625 5,792,656 * Nanya Technology Co., Ltd. 2,240,989 1,714,196 Optimax Technology Corp. 112,455 273,952 Oriental Union Chemical Corp. 132,531 120,462 * Pacific Electric Wire & Cable Corp. 233,200 3,866 Pou Chen Corp. 1,001,859 818,176 President Chain Store Corp. 435,260 797,159 * Q-Run Technology Co., Ltd. 187,200 705,438 Quanta Computer, Inc. 2,051,308 3,742,611 * Quanta Display, Inc. 2,116,000 1,046,887 Realtek Semiconductor Corp. 194,001 196,432 Ritek Corp. 580,204 203,450 Shin Kong Financial Holding Co., Ltd. 1,753,463 1,774,619 Siliconware Precision Industries Co., Ltd. 874,200 828,429 SinoPac Holdings Co., Ltd. 1,721,096 916,156 Sunplus Technology Co., Ltd. 361,145 501,217 Synnex Technology International Corp. 326,680 487,055 Taishin Financial Holdings Co., Ltd. 2,495,135 2,150,829 * Taiwan Business Bank 1,632,644 517,917 Taiwan Cement Corp. 1,302,731 739,455 Taiwan Glass Ind. Corp. 542,079 516,255 Taiwan Life Insurance Co., Ltd 101,200 172,598 Taiwan Semiconductor Manufacturing Co., Ltd. 13,743,936 24,779,451 * Tatung Co., Ltd. 1,684,000 536,702 Transcend Information, Inc. 35,187 90,055 U-Ming Marine Transport Corp. 279,050 434,936 Uni-President Enterprises Corp. 1,495,020 674,327 * United Microelectronics Corp. 8,696,611 5,859,321 * Via Technologies, Inc. 359,699 232,711 * Walsin Lihwa Corp. 1,338,000 558,095 Wan Hai Lines Co., Ltd. 823,934 777,861 Waterland Financial Holdings 801,000 336,247 * Winbond Electronics Corp. 1,794,000 575,308 Wintek Corp. 151,000 202,586 Ya Hsin Industrial Co., Ltd. 223,683 210,156 * Yageo Corp. 608,440 229,865 Yang Ming Marine Transport Corp. 1,248,894 1,095,527 Yieh Phui Enterprise Co., Ltd. 266,435 136,096 Yuen Foong Yu Paper Manufacturing Co., Ltd. 383,022 144,808 Yulon Motor Co., Ltd. 684,753 793,686 Zyxel Communication Corp. 116,980 295,407 ---------------- TOTAL COMMON STOCKS (Cost $143,235,910) 162,895,874 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Taiwan Dollar 17,498 ---------------- (Cost $17,422) TOTAL -- TAIWAN (Cost $143,253,332) 162,913,372 ----------------
3 SOUTH KOREA -- (11.7%) COMMON STOCKS -- (11.7%) Amorepacific Corp. 5,100 1,329,694 CJ Corp. 10,400 740,276 Daelim Industrial Co., Ltd. 16,090 771,661 Daewoo Engineering & Construction Co., Ltd. 247,900 1,734,810 Daewoo Heavy Industries & Machinery, Ltd. 113,400 913,943 Daewoo International Corp. 32,910 483,589 * Daewoo Securities Co., Ltd. 56,445 373,741 Daewoo Shipbuilding & Marine Engineering Co., Ltd. 126,010 2,536,876 Dongkuk Steel Mill Co., Ltd. 14,670 239,848 Doosan Heavy Industries & Construction Co., Ltd. 24,500 337,234 GS Holdings Corp. 42,945 968,036 Hanjin Shipping Co., Ltd. 35,750 952,294 Hankook Tire Manufacturing Co., Ltd. 72,650 820,116 Hanwha Chemical Corp. 32,000 342,885 Hite Brewery Co., Ltd. 12,140 1,117,612 * Honam Petrochemical Corp. 8,750 342,947 Hyundai Development Co. 33,870 713,391 Hyundai Heavy Industries Co., Ltd. 43,820 2,292,452 * Hyundai Merchant Marine Co., Ltd. 67,170 1,064,216 Hyundai Mobis 46,710 3,001,525 Hyundai Motor Co., Ltd. 103,609 5,804,693 INI Steel Co., Ltd. 45,530 669,464 Kangwon Land, Inc. 138,510 1,988,073 Kia Motors Corp. 250,830 3,568,154 Kookmin Bank 146,005 6,402,301 Korea Electric Power Corp. 495,290 14,472,188 * Korea Exchange Bank 561,620 4,759,380 Korea Gas 65,190 1,823,804 Korean Air Co., Ltd. 42,880 761,393 KT Corp. 195,930 7,896,552 KT&G Corp. 103,590 3,628,014 Kumgang Korea Chemical Co., Ltd. 5,970 1,004,380 * LG Card Co., Ltd. 64,169 2,142,657 LG Chemical Investment, Ltd. 126,575 3,224,579 LG Chemical, Ltd. 33,656 1,221,714 LG Electronics, Inc. 77,220 5,559,551 LG Engineering & Construction Corp. 23,120 719,009 LG Investment & Securities Co., Ltd. 40,060 373,109 LG Petrochemical Co., Ltd. 18,420 447,786 * LG Phillips LCD Co., Ltd. 22,030 1,142,710 Lotte Chilsung Beverage Co., Ltd. 400 373,628 * NCsoft Corp. 10,110 881,432 Nong Shim Co., Ltd. 3,050 919,130 POSCO 40,940 7,297,089 Pusan Bank 50,610 430,347 S1 Corp. 20,538 839,513 Samsung Corp. 58,510 798,482 Samsung Electro-Mechanics Co., Ltd. 32,707 794,372
4 Samsung Electronics Co., Ltd. 53,188 25,686,766 Samsung Fire and Marine Insurance, Ltd. 24,219 1,834,462 Samsung Heavy Industries Co., Ltd. 100,590 841,685 Samsung SDI Co., Ltd. 22,742 2,164,363 Samsung Securities Co., Ltd. 29,230 754,592 Seoul Bank 104,780 2,658,698 Shinhan Financial Group Co., Ltd. 165,422 4,236,740 Shinsegae Co., Ltd. 9,100 3,015,812 SK Corp., Ltd. 66,504 3,448,220 SK Telecom Co., Ltd. 56,085 9,947,204 S-Oil Corp. 86,310 6,356,268 ---------------- TOTAL -- SOUTH KOREA (Cost $94,368,322) 161,965,460 ---------------- SOUTH AFRICA -- (10.9%) COMMON STOCKS -- (10.9%) ABSA Group, Ltd. 604,870 7,346,378 African Oxygen, Ltd. 393,939 1,477,115 Anglo American Platinum Corp., Ltd. 302,315 12,993,774 Anglo American PLC 667,281 15,902,785 Anglogold, Ltd. 304,962 10,293,029 * Anglovaal Mining, Ltd. 93,775 463,461 Aspen Pharmacare Holdings PLC 259,317 949,904 AVI, Ltd. 178,834 326,907 Barloworld, Ltd. 157,177 2,031,363 Bidvest Group, Ltd. 254,135 2,583,633 * Consol, Ltd. 178,834 273,079 * Dimension Data Holdings PLC 246,926 143,310 * Discovery Holdings, Ltd. 463,855 1,498,636 Edgars Consolidated Stores, Ltd. 39,111 1,531,616 Firstrand, Ltd. 5,453,719 10,993,898 Foschini, Ltd. 167,846 903,392 Gold Fields, Ltd. 306,889 3,366,763 Harmony Gold Mining Co., Ltd. 298,281 2,213,024 Impala Platinum Holdings, Ltd. 46,076 3,871,032 * Imperial Holdings, Ltd. 159,111 2,339,773 Investec, Ltd. 28,155 809,000 JD Group, Ltd. 119,825 1,059,422 Kumba Resources, Ltd. 15,092 148,775 Liberty Group, Ltd. 331,965 3,026,709 Massmart Holdings, Ltd. 136,739 848,955 Mittal Steel South Africa, Ltd. 545,537 4,069,873 MTN Group, Ltd. 1,329,332 8,773,164 Nampak, Ltd. 460,336 1,015,773 Naspers, Ltd. Series N 204,973 2,519,852 Nedcor, Ltd. 454,722 5,066,339 Network Healthcare Holdings, Ltd. 1,448,416 1,285,890 Old Mutual PLC 2,547,699 5,422,437 Pick'n Pay Stores, Ltd. 584,356 2,131,740 Pretoria Portland Cement Co., Ltd. 75,919 2,437,822 Sanlam, Ltd. 1,913,846 3,152,969
5 Santam, Ltd. 81,524 730,420 Sappi, Ltd. 163,117 1,579,527 Standard Bank Group, Ltd. 979,729 8,918,054 Steinhoff International Holdings, Ltd. 954,753 1,897,552 Telkom SA, Ltd. 660,710 10,789,042 Tiger Brands, Ltd. 111,679 1,773,769 Truworths International, Ltd. 307,364 757,453 * Woolworths Holdings, Ltd. 689,630 1,056,654 ---------------- TOTAL -- SOUTH AFRICA (Cost $135,051,995) 150,774,063 ---------------- BRAZIL -- (10.8%) PREFERRED STOCKS -- (9.7%) Ambev Cia de Bebidas das Americas 12,453,835 3,721,937 Aracruz Celulose SA Series B 711,999 2,405,342 Banci Itau Holding Financeira SA 86,800 15,274,206 Banco Bradesco SA 401,079 12,908,768 Brasil Telecom Participacoes SA 234,026,240 1,555,966 Brasil Telecom SA 626,730,875 2,523,050 Brasileira de Distribuicao Pao de Acucar 58,650,000 1,241,399 * Braskem SA Preferred A 435,600 4,150,810 Companhia Energetica de Minas Gerais 109,900,000 3,329,612 Embraer Empresa Brasileira de Aeronautica 747,821 5,654,824 * Embratel Participacoes SA 143,582,922 305,103 * Empresa Nasional de Comercio Redito e Participacoes SA 480,000 2,391 Gerdau SA 465,156 4,691,135 Investimentos Itau SA 3,300,893 6,740,151 Klabin SA 682,875 1,125,135 * Lojas Renner SA 800,000 26,728 Metalurgica Gerdau SA 98,850 1,370,239 Paranaense de Energia Series B 100,000,000 572,733 Siderurgica Belgo-Mineira 10,870,000 4,781,988 Siderurgica de Tubarao 63,720,000 3,427,314 Siderurgica Paulista Casipa Series B 325 6,070 Suzano Bahia Sul Papel e Celullose SA 143,545 625,533 * Tele Centro Oeste Celular Participacoes SA 76,815 820,911 Tele Norte Leste Participacoes SA 180,034 2,736,188 * Tele Sudeste Celular Participacoes SA 16,200 129,761 Telemar Norte Leste SA 225,100 5,259,651 * Telesp Celular Participacoes SA 858,662 4,351,219 Telesp Participacoes SA 621,100,000 11,793,038 Unibanco-Uniao de Bancos Brasileiros SA 20,000 60,178 Unibanco-Uniao de Bancos Brasileiros Units SA 513,130 3,679,969 Usinas Siderurgicas de Minas Gerais SA 200,539 3,777,740 Vale do Rio Doce Series A 926,880 22,888,300 * Vale do Rio Doce Series B 81,160 0 Votorantim Celulose e Papel SA 71,336 847,032 Weg SA 489,800 1,485,967 ---------------- TOTAL PREFERRED STOCKS (Cost $78,699,331) 134,270,388 ----------------
6 COMMON STOCKS -- (1.1%) Ambev Cia de Bebidas das Americas 5,420,000 1,453,131 Brasil Telecom Participacoes SA 59,520,574 535,055 Companhia Siderurgica Nacional SA 241,404 4,278,046 Copesul Companhia Petroquimica do Sul 55,860 739,545 CPFL Geracao de Energia SA 3,140,000 14,987 * Embratel Participacoes SA 57,550,000 114,646 Souza Cruz Industria e Comercio 521,300 6,555,464 * Tele Centro Oeste Celular Participacoes SA 19,748 215,962 * Tele Norte Celular Participacoes SA 57,624,254 21,524 Tele Norte Leste Participacoes SA 59,254 1,224,673 * Tele Sudeste Celular Participacoes SA 613 4,740 * Tractebel Energia SA 108,600 531,394 ---------------- TOTAL COMMON STOCKS (Cost $9,933,446) 15,689,167 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Brazilian Real 34,038 ---------------- (Cost $32,142) RIGHTS/WARRANTS -- (0.0%) * Itausa-Investimentos Itau SA Preferred Rights 06/01/05 25,591 9,240 ---------------- (Cost $0) TOTAL -- BRAZIL (Cost $88,664,919) 150,002,833 ---------------- MALAYSIA -- (6.6%) COMMON STOCKS -- (6.6%) * AmInvestment Group Berhad 406,882 173,460 AMMB Holdings Berhad 2,103,331 1,281,975 Berjaya Sports Toto Berhad 746,800 765,698 British American Tobacco Berhad 295,300 3,145,379 CIMB Berhad 259,300 341,070 Commerce Asset Holding Berhad 2,588,400 3,170,177 * Digi.Com Berhad 767,162 1,047,881 Diversified Resources Berhad 643,200 233,317 Gamuda Berhad 510,000 584,406 Genting Berhad 697,300 3,282,146 Golden Hope Plantations Berhad 948,200 952,708 Highlands and Lowlands Berhad 107,500 107,467 Hong Leong Bank Berhad 1,607,150 2,113,878 Hong Leong Credit Berhad 1,060,629 1,120,858 IJM Corp. Berhad 228,300 282,275 IOI Corp. Berhad 1,044,500 2,526,453 IOI Oleochemical Industries Berhad 22,041 53,346 IOI Properties Berhad 151,300 292,553 Kuala Lumpur Kepong Berhad 747,000 1,257,443 Magnum Corp. Berhad 1,487,600 782,169 Malakoff Berhad 835,700 1,603,712 Malayan Banking Berhad 2,815,700 8,142,334
7 Malayan Cement Berhad 2,266,300 351,476 Malaysia Mining Corp. Berhad 828,700 414,207 Malaysian Airlines System Berhad 1,090,600 1,016,099 Malaysian International Shipping Corp. (Foreign) 1,501,566 6,824,540 Malaysian Pacific Industries 170,000 482,570 Malaysian Plantations Berhad 927,500 590,137 Maxis Communications Berhad 1,631,600 4,226,294 Nestle (Malaysia) Berhad 229,200 1,440,167 Oriental Holdings Berhad 215,300 226,310 Oyl Industries Berhad 134,300 1,281,040 Petronas Dagangan Berhad 813,400 894,588 Petronas Gas Berhad 1,810,900 3,380,889 Plus Expressways Berhad 3,046,800 2,467,171 PPB Group Berhad 579,600 1,097,171 Proton Holdings Berhad 389,000 726,132 Public Bank Berhad 1,550,201 2,729,507 Resorts World Berhad 1,120,700 2,840,505 RHB Capital Berhad 1,849,900 977,243 Shell Refining Co. Federation of Malaysia Berhad 227,000 549,315 Sime Darby Berhad 2,334,600 3,563,750 Southern Bank Berhad 48,440 41,009 Southern Bank Berhad (Foreign) 1,412,337 1,151,714 SP Setia Berhad 488,100 475,362 Star Publications (Malaysia) Berhad 182,800 331,621 Telekom Malaysia Berhad 3,138,900 8,078,652 Tenaga Nasional Berhad 3,662,800 9,923,114 UMW Holdings Berhad 364,533 479,289 YTL Corp. Berhad 1,578,966 2,180,370 ---------------- TOTAL -- MALAYSIA (Cost $86,119,098) 92,000,947 ---------------- TURKEY -- (6.3%) COMMON STOCKS -- (6.3%) Akbank T.A.S. 2,264,998 12,090,210 Anadolu Efes Biracilik ve Malt Sanayi A.S. 182,246 3,623,681 Arcelik A.S 1,549,702 8,127,666 * Dogan Sirketler Grubu Holding A.S. 722,062 1,659,633 * Dogan Yayin Holding A.S. 542,816 1,235,561 Enka Insaat ve Sanayi A.S. 494,820 5,385,251 Eregli Demir ve Celik Fabrikalari Turk A.S. 1,595,341 6,405,511 Ford Otomotiv Sanayi A.S. 867,588 5,391,825 Hurriyet Gazetecilik ve Matbaacilik A.S. 629,278 1,203,744 * Koc Holding A.S. 281,693 1,197,380 Koc Holding A.S. Series B 1,058,111 4,482,928 Migros Turk A.S. 450,270 3,482,021 Tofas Turk Otomobil Fabrikasi A.S. 1,489,092 2,055,958 Trakya Cam Sanayii A.S. 187,301 595,751 Tupras-Turkiye Petrol Rafinerileri A.S. 289,886 3,652,551 Turk Sise ve Cam Fabrikalari A.S. 639,484 1,534,884 * Turkiye Garanti Bankasi A.S. 2,261,914 8,536,645 Turkiye Is Bankasi A.S. 2,002,976 10,818,452 * Vestel Elektronik Sanayi ve Ticaret A.S. 240,241 834,543 * Yapi ve Kredi Bankasi A.S. 1,232,184 4,682,623 ---------------- TOTAL -- TURKEY (Cost $29,310,662) 86,996,818 ----------------
8 ISRAEL -- (5.5%) COMMON STOCKS -- (5.5%) Africa-Israel Investments, Ltd. 108,700 4,017,919 Bank Hapoalim, Ltd. 2,309,640 8,108,404 Bank Leumi Le-Israel 2,802,069 7,928,531 * Bezeq Israeli Telecommunication Corp., Ltd. 4,049,014 5,001,098 Blue Square Israel, Ltd. 16,186 156,734 CLAL Industries, Ltd. 289,038 1,331,162 CLAL Insurance, Ltd. 114,684 2,411,331 Delek Group, Ltd. 4,584 447,323 Discount Investment Corp 66,100 1,618,017 Elbit Systems, Ltd. 98,319 2,395,417 * Elron Electronic Industries, Ltd. 0 5 * First International Bank of Israel, Ltd. Par Value $.01 347,200 537,889 * First International Bank of Israel, Ltd. Par Value $.05 48,660 349,471 IDB Development Corp., Ltd. Series A 101,015 3,101,292 IDB Holding Corp., Ltd. 36,578 802,548 Israel Chemicals, Ltd. 2,410,526 7,714,773 Israel Corp. Series A 5,500 1,573,282 * Koor Industries, Ltd. 25,971 1,690,252 M.A.Industries, Ltd. 843,283 5,101,647 Migdal Insurance Holdings 2,079,107 2,938,231 Osem Investment, Ltd. 210,522 1,794,037 * Perrigo Co. 57,227 896,928 Strauss Elite, Ltd. 33,250 311,919 Super-Sol, Ltd. Series B 372,926 1,005,696 Teva Pharmaceutical Industries, Ltd. 418,280 13,912,996 * United Mizrahi Bank, Ltd. 384,693 1,822,509 ---------------- TOTAL COMMON STOCKS (Cost $37,118,237) 76,969,411 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Israel Shekel 157 ---------------- (Cost $153) TOTAL -- ISRAEL (Cost $37,118,390) 76,969,568 ---------------- INDONESIA -- (4.7%) COMMON STOCKS -- (4.7%) PT Astra International Tbk 8,470,461 10,387,615 PT Bank Central Asia Tbk 1,980,000 720,708 PT Bank Danamon Indonesia Tbk 1,762,000 891,351 PT Bimantara Citra Tbk 1,485,000 365,880
9 PT Gudang Garam Tbk 4,695,500 6,352,536 * PT Indocement Tunggal Prakarsa Tbk 7,362,000 2,468,047 PT Indofood Sukses Makmur Tbk 18,886,400 2,377,886 PT Indonesian Satellite Corp.Tbk 14,967,500 7,774,558 PT International Nickel Indonesia Tbk 580,000 846,641 * PT Makindo Tbk 2,236,500 224,402 PT Medco Energi International Tbk 9,754,000 3,226,110 * PT Panasia Indosyntec Tbk 75,100 3,945 PT Semen Gresik Tbk 1,739,502 2,937,277 PT Telekomunikasi Indonesia (Persero) Tbk 37,153,640 18,242,960 PT Unilever Tbk 16,022,000 7,688,916 ---------------- TOTAL COMMON STOCKS (Cost $39,400,179) 64,508,832 ---------------- RIGHTS/WARRANTS -- (0.0%) * PT Lippo Karawaci Tbk Free Warrants 11/30/07 45,877 928 ---------------- (Cost $0) TOTAL -- INDONESIA (Cost $39,400,179) 64,509,760 ---------------- UNITED STATES -- (4.0%) COMMON STOCKS -- (4.0%) * Banco Bilboa Vizcaya Argentaria Chile SA ADR 64,200 1,653,362 * Banco de Chile Series F ADR 47,643 1,653,212 Banco Santander Chile Sponsored ADR 295,998 9,235,138 Cia Telecom de Chile ADR 421,400 4,142,362 Compania Cervecerias Uni ADR 115,400 2,706,130 Cristalerias de Chile SA ADR 35,600 1,004,632 * Distribucion y Servicio D&S SA ADR 208,828 3,821,552 Embotelladora Andina SA Andina ADR 109,600 1,282,320 Embotelladora Andina SA Andina Series B ADR 89,100 1,175,229 Empresa Nacional de Electricidad SA ADR 514,018 11,822,414 * Enersis SA ADR 285,903 2,633,167 * Grupo Financiero Galicia SA ADR 211,011 1,846,346 Lan Chile SA ADR 125,900 4,620,530 * Madeco SA 4,450 40,361 Masisa SA ADR 25,100 414,150 Sociedad Quimica y Minera de Chile SA ADR 61,300 5,236,246 Sociedad Quimica y Minera de Chile SA ADR Class A 902 85,239 Vina Concha y Toro SA Conchatoro ADR 27,100 2,039,275 ---------------- TOTAL -- UNITED STATES (Cost $40,357,553) 55,411,665 ---------------- THAILAND -- (3.6%) COMMON STOCKS -- (3.6%) Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 13,766,109 Aromatics (Thailand) Public Co., Ltd. (Foreign) 1,387,500 1,809,931 Bangkok Expressway Public Co., Ltd. (Foreign) 1,794,100 1,159,122
10 * Bank of Ayudhya Public Co., Ltd. (Foreign) 5,174,500 1,617,429 Banpu Public Co., Ltd. (Foreign) 132,000 490,574 BEC World Public Co., Ltd. (Foreign) 3,915,000 1,194,831 Charoen Pokphand Foods Public Co., Ltd. (Foreign) 14,442,000 1,521,333 Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 4,100,710 1,544,201 Krung Thai Bank Public Co., Ltd. (Foreign) 17,302,970 3,917,975 Land & Houses Public Co., Ltd. (Foreign) 2,130,310 403,726 National Finance and Securities Public Co., Ltd. (Foreign) 630,150 209,378 National Petrochemical Public Co., Ltd. (Foreign) 441,500 1,314,829 Ratchaburi Electricity Generating Holding Public Co., Ltd. (Foreign) 2,200,000 2,111,740 Shin Corporation Public Co., Ltd. (Foreign) 6,122,000 5,575,043 Siam Cement Public Co., Ltd. (Foreign) 270,000 1,621,462 Siam City Cement Public Co., Ltd. (Foreign) 633,413 4,427,499 Siam Commercial Bank Public Co., Ltd. (Foreign) 2,549,166 2,995,882 * Telecomasia Corp. Public Co., Ltd. (Foreign) 6,977,800 1,476,965 * Thai Military Bank Public Co., Ltd. (Foreign) 12,415,080 1,240,591 Thai Union Frozen Products Public Co., Ltd. (Foreign) 3,178,520 2,190,464 ---------------- TOTAL COMMON STOCKS (Cost $40,370,479) 50,589,084 ---------------- RIGHTS/WARRANTS -- (0.0%) * Telecomasia Corp. Public Co., Ltd. (Foreign) Warrants 03/31/08 1,444,563 0 ---------------- (Cost $0) TOTAL -- THAILAND (Cost $40,370,479) 50,589,084 ---------------- HUNGARY -- (3.0%) COMMON STOCKS -- (3.0%) Budapesti Elektromos Muvek RT 185 20,127 Delmagyarorszagi Aramszolgaltato Demasz RT 2,275 151,804 Egis RT 37,757 3,245,334 Gedeon Richter, Ltd. 46,937 6,116,871 * Magyar Olay-Es Gazipari RT 168,429 12,524,216 Matav RT 1,050,555 4,082,831 Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 11,975,686 * Tiszai Vegyi Kombinat RT 117,534 3,306,425 ---------------- TOTAL -- HUNGARY (Cost $15,788,433) 41,423,294 ---------------- PHILIPPINES -- (2.5%) COMMON STOCKS -- (2.5%) Aboitiz Equity Ventures, Inc. 7,803,400 705,138 Ayala Corp. Series A 850,070 5,842,676 Ayala Land, Inc. 27,511,576 3,867,503 Bank of the Philippine Island 4,641,373 4,113,276 Equitable PCI Bank, Inc. 2,217,300 2,110,226 * Filipina Water Bottling Corp. 2,006,957 0
11 Metro Bank and Trust Co. 4,584,435 2,471,000 Petron Corp. 28,593,000 1,725,646 Philippine Long Distance Telephone Co. 347,030 9,389,585 SM Prime Holdings, Inc. 29,223,000 4,059,262 Union Bank of the Philippines 419,500 218,894 ---------------- TOTAL -- PHILIPPINES (Cost $41,776,760) 34,503,206 ---------------- POLAND -- (2.4%) COMMON STOCKS -- (2.4%) * Agora SA 98,779 1,987,712 Bank Polska Kasa Opieki -- Grupa Pekao SA 156,792 6,316,804 Bank Przemyslowo Handlowy BPH 31,526 4,776,577 Bank Zackodni WBK SA 93,312 2,543,552 Big Bank Gdanski SA 2,029,541 1,874,987 Browary Zywiec SA 15,860 2,359,684 * Budimex SA 36,763 537,420 * Cersanit-Krasnystaw SA 19,143 611,528 Debica SA 19,800 485,598 Frantschach Swiecie SA 103,599 1,447,415 * Kredyt Bank SA 418,562 1,161,463 Netia Holdings SA 495,665 558,232 * Optimus Technologie 6,873 14,259 Orbis SA 77,409 522,323 Polski Koncern Naftowy Orlen SA 267,237 3,623,950 * Prokom Software SA 21,336 603,706 Telekomunikacja Polska SA 712,274 3,941,839 Zaklady Metali Lekkich Kety SA 15,120 491,660 ---------------- TOTAL -- POLAND (Cost $20,586,160) 33,858,709 ---------------- ARGENTINA -- (1.7%) COMMON STOCKS -- (1.7%) Acindar Industria Argentina de Aceros SA Series B 899,000 1,879,116 * Alpargatas SA Industrial y Comercial 1,078 1,297 Alto Palermo SA Series A 5,000 11,045 Banco del Sud Sociedad Anonima Series B 29,000 38,722 * Banco Frances del Rio de la Plata SA 489,961 1,088,745 * Capex SA Series A 52,893 100,270 Celulosa Argentina SA Series B 18,750 22,130 * Central Costanera SA Series B 114,100 127,900 * Central Puerto SA Series B 16,000 9,073 * Garovaglio y Zorraquin SA 28,000 4,800 * Gas Natural SA, Buenos Aires 345,000 227,486 * Grupo Financiero Galicia SA Series B 150,000 123,633 * IRSA Inversiones y Representaciones SA 657,649 784,887 * Juan Minetti SA 353,151 387,712 Ledesma S.A.A.I. 242,632 142,388
12 * Metrogas SA Series B 543,115 241,730 * Molinos Rio de la Plata SA Series B 694,833 1,065,217 * Perez Companc SA 2,329,901 2,703,864 * Renault Argentina SA 399,465 108,652 Siderar S.A.I.C. Series A 721,484 5,280,613 Solvay Indupa S.A.I.C. 555,366 750,702 * Telecom Argentina Stet-France SA Series B 977,000 2,264,407 Tenaris SA 653,898 4,311,662 * Transportadora de Gas del Sur SA Series B 1,028,000 1,220,114 ---------------- TOTAL COMMON STOCKS (Cost $24,666,515) 22,896,165 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Argentine Peso 261,567 ---------------- (Cost $256,447) TOTAL -- ARGENTINA (Cost $24,922,962) 23,157,732 ---------------- INDIA -- (1.5%) COMMON STOCKS -- (1.5%) * Arvind Mills, Ltd. 18,986 61,552 * ASEA Brown Boveri, Ltd. 5,549 164,808 * Ashok Leyland, Ltd. 142,358 77,787 * Asian Paints (India), Ltd. 15,554 136,426 Aventis Pharma, Ltd. 2,238 65,808 * Bajaj Auto, Ltd. 6,338 177,601 * Bharat Earth Movers, Ltd. 3,595 54,866 * Bharat Forge, Ltd. 2,427 75,455 * Biocon, Ltd. 9,717 95,450 * Cadila Healthcare, Ltd. 5,103 56,558 * Cipla, Ltd. 24,613 162,538 * Colgate-Palmolive (India), Ltd. 11,162 55,974 * Crompton Greaves, Ltd. 5,089 54,699 * Dr. Reddy's Laboratories, Ltd. 23,214 382,927 * Glaxosmithkline Pharmaceuticals, Ltd. 11,432 198,369 * Great Eastern Shipping Co., Ltd. 36,320 129,595 * Gujarat Ambuja Cements, Ltd. 14,366 148,832 * HCL Technologies, Ltd. 34,977 291,632 HDFC Banking, Ltd. 92,565 1,138,848 * Hero Honda Motors, Ltd. Series B 41,808 527,741 * Hindustan Lever, Ltd. 417,111 1,364,595 * I-Flex Solutions, Ltd. 18,868 307,902 * Indian Hotels Co., Ltd. 8,770 133,873 Indian Petrochemicals Corp., Ltd. 41,340 154,124 * Indian Rayon & Industries, Ltd. 5,819 59,184 * Industrial Development Bank of India, Ltd. 85,476 182,428 * Infosys Technologies, Ltd. 82,467 4,241,466 * ITC, Ltd. 37,604 1,372,143 * Jindal Steel & Power, Ltd. 2,992 62,663 * Jindal Vijaynagar Steel, Ltd. 19,819 142,674 * Jubilant Organsys, Ltd. 2,601 55,561
13 * Larsen & Toubro, Ltd. 10,664 255,190 * Mahindra & Mahindra, Ltd. 26,845 313,600 * Maruti Udyog, Ltd. 37,828 403,069 * Matrix Laboratories, Ltd. 14,545 61,289 * Moser Baer (India), Ltd. 11,441 55,994 * Motor Industries Co., Ltd. 3,520 173,385 * Nicholas Piramal India, Ltd. 9,850 55,655 * Nirma, Ltd. 7,714 69,369 * Patni Computer Systems, Ltd. 19,208 152,770 * Ranbaxy Laboratories, Ltd. 37,255 937,364 Raymond, Ltd. 7,347 57,491 * Satyam Computer Services, Ltd. 101,831 1,058,054 * Sesa Goa, Ltd. 3,825 57,196 * Siemens India, Ltd. 4,338 199,281 * Sterlite Industries (India), Ltd. Series A 16,881 232,702 * Sun Pharmaceuticals Industries, Ltd. 25,252 302,720 * Tata Chemicals, Ltd. 17,655 71,926 * Tata Consultancy Services 31,845 969,430 * Tata Iron & Steel Co., Ltd. 72,467 600,725 * Tata Motors, Ltd. 89,716 887,023 * Tata Tea, Ltd. 11,253 147,517 * Tata Teleservices Maharashtra, Ltd. 229,010 135,191 UTI Bank, Ltd. 42,054 230,084 * Videsh Sanchar Nigam, Ltd. 31,313 148,808 * Wipro, Ltd. 50,702 826,971 * Wockhardt, Ltd. 7,465 62,175 * Zee Telefilms, Ltd. Series B 69,127 219,560 ---------------- TOTAL -- INDIA (Cost $20,211,656) 20,818,618 ---------------- CZECH REPUBLIC -- (0.6%) COMMON STOCKS -- (0.6%) Cesky Telecom A.S. 146,147 2,736,273 CEZ A.S. 222,890 3,779,222 Komercni Banka A.S. 15,737 1,941,621 Phillip Morris CR A.S. 478 332,388 * Zentiva NV 3,470 115,093 ---------------- TOTAL -- CZECH REPUBLIC (Cost $6,006,278) 8,904,597 ----------------
14
FACE AMOUNT VALUE + ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (0.4%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $5,486,000 FNMA Notes 2.95%, 11/14/07, valued at $5,479,143) to be repurchased at $5,398,433 $ 5,398 5,398,000 ---------------- (Cost $5,398,000) TOTAL INVESTMENTS -- (100.0%) (Cost $981,452,218) $ 1,387,657,554 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 15 THE EMERGING MARKETS SMALL CAP SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE + ---------------- ---------------- TAIWAN -- (12.2%) COMMON STOCKS -- (12.1%) Ability Enterprise Co., Ltd. 66,197 $ 30,434 Abit Computer Co., Ltd. 131,260 6,361 * Accton Technology Corp. 354,000 178,445 Advantech Co., Ltd. 179,902 423,697 Altek Corp. 16,800 16,601 * Ambassador Hotel 136,000 110,355 Amtran Technology Co., Ltd. 122,216 62,420 * Arima Computer Corp. 582,000 140,584 Asia Polymer Corp. 44,280 20,621 * Askey Computer Co., Ltd. 183,321 103,601 Audix Co., Ltd. 18,942 22,245 * Aurora Corp. 52,250 31,454 Avermedia Technologies, Inc. 30,844 30,288 Avision, Inc. 25,030 12,732 Bank of Kaohsiung Co., Ltd. 276,966 185,034 Basso Industry Corp., Ltd. 72,600 175,779 * Behavior Tech Computer Corp. 117,000 41,291 * Bes Engineering Corp. 455,572 63,542 * Carnival Industrial Corp. 95,000 20,055 Catcher Co., Ltd. 149,692 779,691 Cathay Real Estate Development Co., Ltd. 439,753 184,204 * Central Insurance Co., Ltd. 63,600 19,752 Central Reinsurance Co., Ltd. 69,133 27,811 Cheng Loong Corp. 745,330 232,047 Cheng Uei Precision Industry Co., Ltd. 193,320 534,738 * Chia Hsin Cement Corp. 327,000 119,368 * Chia Hsin Food & Synthetic Fiber Co., Ltd. 153,330 13,406 Chicony Electronics Co., Ltd. 227,639 226,432 * Chien Shing Stainless Steel Co., Ltd. 56,000 9,141 * China General Plastics Corp. 76,000 21,713 * China Life Insurance Co., Ltd. 362,418 154,188 * China Man-Made Fiber Co., Ltd. 1,081,280 463,579 China Metal Products Co., Ltd. 23,705 19,589 * China Petrochemical Development Corp. 1,078,000 256,732 * China Rebar Co., Ltd. 126,800 10,668 China Steel Chemical Corp. 86,552 131,274 * China Synthetic Rubber Corp. 59,987 19,917 * China United Trust & Investment Corp. 138,100 16,979 Chin-Poon Industrial Co., Ltd. 36,809 20,250 * Chou Chin Industrial Co., Ltd. 42,180 0 Chroma Ate, Inc. 57,954 50,619 * Chun Yu Works & Co., Ltd. 69,000 16,855 Chun Yuan Steel Industrial Co., Ltd. 193,000 111,278
1 Chung Hsin Electric & Machinery Co., Ltd. 120,000 51,721 Chung Hwa Pulp Corp. 226,594 76,398 Clevo Co. 84,381 28,957 * Compal Commun 282,250 768,600 * Compeq Manufacturing Co., Ltd. 665,000 220,505 Continental Engineering Corp. 488,979 217,263 * Cosmos Bank Taiwan 768,000 364,625 CTCI Corp. 227,663 120,311 Der Pao Construction Co., Ltd. 78,000 17,540 D-Link Corp. 628,271 758,095 Edom Technology Co., Ltd. 14,160 11,676 Elan Microelectronincs Corp. 82,784 40,212 Elite Semiconductor Memory Technology, Inc. 111,600 199,367 Elitegroup Computer Systems Co., Ltd. 484,250 308,316 * Enlight Corp. 53,000 16,838 * EnTie Commercial Bank 1,345,246 463,816 Epistar Corp. 38,030 57,433 * ET Internet Technology Corp. 475,114 188,882 Eternal Chemical Co., Ltd. 284,700 190,740 * Everest Textile Co., Ltd. 115,360 25,661 Evergreen International Storage & Transport Corp. 775,000 295,154 Everlight Chemical Industrial Corp. 65,000 19,785 Everlight Electronics Co., Ltd. 140,004 177,694 * Everspring Industry Co., Ltd. 51,000 11,492 Far East Department Stores, Ltd. 628,000 344,038 * Far Eastern International Bank 492,000 267,886 Federal Corp. 77,229 41,309 Feng Hsin Iron & Steel Co., Ltd. 439,180 423,630 Feng Tay Enterprise Co., Ltd. 284,468 315,703 * FIC Global, Inc. 142,875 17,323 First Copper Technology Co., Ltd. 62,000 15,923 Formosa International Hotels Corp. 49,500 82,614 Formosa Taffeta Co., Ltd. 1,239,000 604,651 * Formosan Rubber Group, Inc. 68,000 27,307 Giant Manufacture Co., Ltd. 188,170 305,190 * Giga Storage Corp. 43,859 13,578 Giga-Byte Technology Co., Ltd. 696,000 762,667 Globe Union Industrial Corp. 77,855 95,247 * Gold Circuit Electronics, Ltd. 77,446 34,775 * Goldsun Development & Construction Co., Ltd. 449,000 105,281 * Grand Pacific Petrochemical Corp. 115,000 33,441 Great China Metal Industry Co., Ltd. 63,000 30,959 Great Taipei Gas Co., Ltd. 97,000 39,684 Great Wall Enterprise Co., Ltd. 64,890 18,796 Greatek Co., Ltd. 149,701 146,931 Hey Song Corp. 96,000 29,359 Ho Tung Holding Corp. 153,486 35,395 * Hocheng Corp. 71,000 17,348 Hotai Motor Co., Ltd. 179,000 404,273 Hsin Kuang Steel Co., Ltd. 25,854 25,133 * Hsinchu International Bank 579,700 339,765 Hsing Ta Cement Co., Ltd. 103,000 29,879 Hua Eng Wire & Cable Co., Ltd. 113,565 21,834 Hung Poo Construction Corp. 76,000 54,211
2 * Hung Sheng Construction Co., Ltd. 263,000 133,844 Ichia Technologies, Inc. 137,905 135,911 Infortrend Technology, Inc. 100,900 212,318 * K Laser Technology, Inc. 20,343 11,380 * Kao Hsing Chang Iron & Steel Corp. 101,000 26,997 Kaulin Manufacturing Co., Ltd. 18,400 18,106 Kendra Rubber Industrial Co., Ltd. 184,872 125,171 King Yuan Electronics Co., Ltd. 583,386 529,483 * Kingdom Construction Co., Ltd. 107,000 25,329 * King's Town Construction Co., Ltd. 65,000 102,381 Kinpo Electronics, Inc. 1,005,560 434,636 Knowledge-Yield-Excellence Systems Corp. 25,966 19,119 Largan Precision Co., Ltd. 85,000 584,481 * Lead Data Co., Ltd. 86,920 15,044 * Lealea Enterprise Co., Ltd. 110,000 14,453 Lee Chang Yung Chemical Industry Corp. 180,075 92,162 * Lelon Co., Ltd. 29,170 11,310 * Leofoo Development Co., Ltd. 35,000 20,994 Li Shin International Enterprise Corp. 26,544 14,035 Lien Hwa Industrial Corp. 273,000 92,212 Lingsen Precision Industries, Ltd. 45,000 17,417 Long Bon Development Co., Ltd. 98,000 26,991 Long Chen Paper Co., Ltd. 89,000 22,468 Lucky Cement Corp. 97,000 22,022 * Macronix International Co., Ltd. 4,841,000 757,840 Meiloon Co., Ltd. 52,533 36,518 Mercuries & Associates, Ltd. 112,455 28,479 Mercuries Data Co., Ltd. 52,504 15,241 Merry Electronics Co., Ltd. 50,924 120,133 * Microelectronics Technology, Inc. 77,000 30,756 Micro-Star International Co., Ltd. 463,700 360,165 Mitac International Corp. 845,000 899,553 Mustek Systems, Inc. 39,600 10,789 * Nankang Rubber Tire Co., Ltd. 123,000 113,968 National Petroleum Co., Ltd. 104,824 85,360 Nien Hsing Textile Co., Ltd. 493,000 411,795 Nien Made Enterprise Co., Ltd. 218,642 350,332 Optimax Technology Corp. 124,336 302,895 * Opto Tech Corp. 61,000 13,966 * Orient Semiconductor Electronics, Ltd. 226,487 19,569 Oriental Union Chemical Corp. 545,821 496,117 * Pacific Electric Wire & Cable Corp. 726,000 12,036 Pan Jit International, Inc. 37,000 18,416 Pan Overseas Electronics Co., Ltd. 68,407 16,764 * Pan-International Industrial Corp. 226,250 320,669 Phihong Technology Co., Ltd. 41,635 12,480 Phoenix Precision Technology Corp. 334,583 331,958 Phoenixtec Power Co., Ltd. 292,725 291,894 * Picvue Electronics, Ltd. 181,900 20,709 Pihsiang Machinery Mfg. Co., Ltd. 109,440 233,134 Premier Image Technology Corp. 434,550 482,596 Primax Electronics, Ltd. 61,186 14,636 * Prince Housing & Development Corp. 223,000 56,594 * Procomp Informatics, Ltd. 21,675 0
3 Prodisc Technology, Inc. 377,199 127,432 * Q-Run Technology Co., Ltd. 212,400 800,401 * Radium Life Tech Corp. 33,000 16,938 Realtek Semiconductor Corp. 811,000 821,163 Ritek Corp. 2,446,000 857,695 * Ruentex Development Co., Ltd. 140,000 28,675 * Ruentex Industries, Ltd. 426,000 173,494 Sampo Corp. 459,900 79,823 * San Fang Chemical Industry Co., Ltd. 44,770 25,782 Sanyang Industrial Co., Ltd. 430,000 187,852 Sanyo Electric Co., Ltd. 56,000 30,007 Senao International Co., Ltd. 34,133 13,795 Sheng Yu Steel Co., Ltd. 212,980 222,799 Shihlin Electric & Engineering Corp. 301,000 215,440 * Shihlin Paper Corp. 56,000 39,407 * Shinkong Synthetic Fibers Co., Ltd. 765,000 159,879 Shuttle, Inc. 35,250 18,101 * Silicon Integrated Systems Corp. 942,608 511,444 Sincere Navigation Corp. 244,391 265,092 * Sinkong Spinning Co., Ltd. 60,000 21,264 * Sintek Photronics Corp. 337,450 146,765 Sinyi Realty, Inc. 26,000 56,295 * Solomon Technology Corp. 90,000 17,440 * Southeast Cement Co., Ltd. 98,700 19,490 Springsoft, Inc. 85,825 171,565 Stark Technology, Inc. 45,100 21,846 Sunonwealth Electric Machine Industry Co., Ltd. 44,719 18,903 Sunrex Technology Corp. 91,849 96,064 Systex Corp., Ltd. 558,348 183,239 Ta Chen Stainless Pipe Co., Ltd. 25,000 12,235 * Ta Chong Bank 888,212 266,184 Ta Ya Electric Wire & Cable Co., Ltd. 92,220 28,260 * Taichung Commercial Bank 1,137,000 323,296 * Tainan Business Bank 424,000 157,309 Tainan Enterprises Co., Ltd. 28,000 35,963 Tainan Spinning Co., Ltd. 1,073,000 246,268 Taiwan Acceptance Corp. 38,480 38,544 Taiwan Fire & Marine Insurance Co., Ltd. 72,695 35,249 Taiwan Fu Hsing Industrial Co., Ltd. 30,000 35,136 Taiwan Green Point Enterprises Co., Ltd. 130,899 491,623 Taiwan Hon Chuan Enterprise Co., Ltd. 20,007 17,812 Taiwan Kai Yih Industrial Co., Ltd. 28,088 22,270 * Taiwan Kolin Co., Ltd. 90,000 24,008 Taiwan Life Insurance Co., Ltd 332,785 567,571 Taiwan Mask Corp. 49,720 22,517 Taiwan Navigation Co., Ltd. 158,176 117,408 Taiwan Polypropylene Co., Ltd. 120,586 95,055 Taiwan Secom 349,912 523,031 Taiwan Sogo Shinkong Security Co., Ltd. 46,053 27,570 Taiwan Styrene Monomer Corp. 278,000 146,796 * Taiwan Tea Corp. 220,917 33,796 Teco Electric & Machinery Co., Ltd. 1,552,000 449,688 Tecom, Ltd. 41,114 19,790 Test-Rite International Co., Ltd. 83,405 52,859
4 * The Chinese Bank 464,000 73,354 * The Farmers Bank of China 1,413,887 447,299 The First Insurance Co., Ltd. 56,000 28,767 Ton Yi Industrial Corp. 790,280 196,122 Tong Yang Industry Co., Ltd. 339,558 486,033 Transcend Information, Inc. 197,649 505,848 Tsann Kuen Enterprise Co., Ltd. 62,930 73,269 TSRC Corp. 251,000 124,886 Tung Ho Steel Enterprise Corp. 595,167 378,622 * Twinhead International Corp. 60,504 9,704 TYC Brother Industrial Co., Ltd. 49,140 35,826 * Tycoons Group Enterprise Co., Ltd. 72,000 16,646 U-Ming Marine Transport Corp. 200,100 311,882 * Union Bank of Taiwan 1,338,488 410,151 * Union Insurance Co., Ltd. 99,203 22,822 * Unitech Printed Circuit Board Corp. 62,000 20,076 United Epitaxy Co., Ltd. 52,550 28,680 United Integration Service Co., Ltd. 48,481 51,822 * Universal Cement Corp. 70,560 24,967 Universal Scientific Industrial Co., Ltd. 353,550 134,089 UPC Technology Corp. 314,680 110,449 USI Corp. 379,000 124,654 * Via Technologies, Inc. 1,049,392 678,915 Walsin Technology Corp., Ltd. 100,788 54,339 Waterland Financial Holdings 682,000 286,293 * Wei Chuan Food Corp. 70,000 21,279 Weltrend Semiconductor, Inc. 34,529 12,950 Wintek Corp. 493,199 661,692 Wistron Corp. 595,938 418,998 World Peace Industrial Co., Ltd. 102,287 58,648 Wus Printed Circuit Co., Ltd. 138,064 49,001 Ya Hsin Industrial Co., Ltd. 575,316 540,523 * Yageo Corp. 2,485,000 938,817 Yeung Cyang Industrial Co., Ltd. 29,016 20,973 Yieh Phui Enterprise Co., Ltd. 1,218,457 622,394 Yosun Industrial Corp. 21,227 14,453 Yuen Foong Yu Paper Manufacturing Co., Ltd. 1,661,972 628,338 Yung Chi Paint & Varnish Manufacturing Co., Ltd. 28,672 37,519 Yung Shin Pharmaceutical Industrial Co., Ltd. 86,000 85,779 Yung Tay Engineering Co., Ltd. 127,000 66,294 Zig Sheng Industrial Co., Ltd. 73,840 20,319 Zinwell Corp. 26,106 27,371 Zyxel Communication Corp. 201,692 509,328 ---------------- TOTAL COMMON STOCKS (Cost $39,300,564) 41,513,126 ---------------- INVESTMENT IN CURRENCY -- (0.1%) * Taiwan Dollar 309,643 ---------------- (Cost $309,563) TOTAL -- TAIWAN (Cost $39,610,127) 41,822,769 ----------------
5 SOUTH KOREA -- (12.1%) COMMON STOCKS -- (12.1%) * Anam Semiconductor, Inc. 132,743 279,086 Asia Cement Manufacturing Co., Ltd. 1,243 41,904 Bing Grae Co., Ltd. 4,980 197,917 Bu Kwang Pharmaceutical Co., Ltd. 10,550 152,664 Byuck San Engineering and Construction Co., Ltd. 8,750 42,759 * Capro Corp. 11,440 56,618 Cheil Communications, Inc. 3,257 552,131 Cheil Industrial, Inc. 33,120 544,889 Chong Kun Dang Pharmaceutical Corp. 2,950 36,591 Choongwae Pharmaceutical Corp. 1,877 45,676 Chungho Comnet Co., Ltd. 720 8,513 * Comtec Systems Co., Ltd. 2,000 2,464 * Dacom Corp. 9,430 90,572 * Dae Ho Corp. 543 70 Dae Sang Corp. 17,680 82,817 Dae Won Kang Up Co., Ltd. 1,740 31,910 Daeduck Electronics Co., Ltd. 22,437 177,591 Daeduck Industries Co., Ltd. 7,526 70,877 Daegu Bank Co., Ltd. 85,030 663,905 Daehan City Gas Co., Ltd. 2,621 60,040 Daehan Flour Mills Co., Ltd. 470 38,912 Daesung Industrial Co., Ltd. 1,690 51,176 Daewoo International Corp. 73,740 1,083,557 Daewoo Motor Sales Corp. 13,190 150,242 Daewoo Precision Industries Co., Ltd. 2,800 43,868 * Daewoo Securities Co., Ltd. 179,550 1,188,861 Daewoong Co., Ltd. 4,686 43,904 Daewoong Pharmaceutical Co., Ltd. 3,630 83,820 Daishin Securities Co., Ltd. 32,790 417,818 * Daou Technology, Inc. 7,000 11,090 DC Chemical Co., Ltd. 11,486 234,188 * Dong Ah Tire Industrial Co., Ltd. 7,555 37,486 Dong Bu Insurance Co., Ltd. 52,320 442,763 Dong-A Pharmaceutical Co., Ltd. 3,293 122,486 Dongbu Corp. 9,050 104,776 Dongbu Hannong Chemical Co., Ltd. 2,920 50,031 Dongbu Steel Co., Ltd. 11,230 114,937 Dongkuk Steel Mill Co., Ltd. 53,347 872,200 * Dongsu Industrial Co., Ltd. 2,870 34,087 Dongwon F&B Co., Ltd. 900 47,972 Dongwon Financial Holding Co., Ltd. 36,158 606,340 Dongyang Mechatronics Corp. 7,020 24,414 * Doosan Corp. 10,640 112,304 Doosan Heavy Industries & Construction Co., Ltd. 60,280 829,732 * Doosan Industrial Development Co., Ltd. 61,780 305,149 * Eastel Systems Corp. 32,127 45,876 * Firstech Co., Ltd. 29,210 45,275 * FNC Kolon Corp. 2,264 16,184 Fursys, Inc. 2,880 45,573 Global Enterprise Co., Ltd. 9,345 45,931 Green Cross Corp. 1,825 56,468
6 Hae In Co., Ltd. 5,964 11,572 Halla Climate Control Corp. 84,000 719,966 Halla Engineering & Construction Corp. 2,360 38,031 Han Kuk Carbon Co., Ltd. 7,903 21,655 Han Wha Corp. 58,570 947,580 Hana Securities Co., Ltd. 5,930 60,616 Handok Pharmaceuticals Co., Ltd. 3,860 42,084 Handsome Corp. 13,420 144,168 Hanil Cement Manufacturing Co., Ltd. 4,168 230,581 Hanjin Heavy Industry Co., Ltd. 48,990 578,665 Hanjin Transportation Co., Ltd. 3,471 42,857 * Hankook Synthetics, Inc. 550 2,819 Hankuk Electric Glass Co., Ltd. 5,240 229,482 Hankuk Glass Industries, Inc. 7,800 447,137 Hankuk Paper Manufacturing Co., Ltd. 1,450 51,596 Hanmi Pharmaceutical Industrial Co, Ltd. 3,777 216,864 * Hansol Electronics Inc. 797 6,579 Hansol Paper Co., Ltd. 29,350 285,076 Hanssem Co., Ltd. 6,820 42,287 * Hansung Enterprise Co., Ltd. 620 2,895 Hanwha Chemical Corp. 93,200 998,651 Hanwha Securities Co., Ltd. 13,070 61,872 Hotel Shilla, Ltd. 15,138 103,270 Huchems Fine Chemical Corp. 5,616 28,956 * Hung Chang Co., Ltd. 6 38 Hyosung T & C Co., Ltd. 16,258 179,041 Hyundai Auton Co., Ltd. 106,390 370,253 Hyundai Cement Co., Ltd. 2,570 71,117 * Hyundai Corp. 6,515 41,872 Hyundai Department Store Co., Ltd. 17,410 822,183 Hyundai Department Store H & S Co., Ltd. 1,290 38,452 Hyundai Development Co. 39,110 823,759 Hyundai Elevator Co., Ltd. 3,394 145,239 Hyundai Hysco 59,570 710,931 Hyundai Marine & Fire Insurance Co., Ltd. 50,050 274,418 * Hyundai Merchant Marine Co., Ltd. 65,410 1,036,331 Hyundai Mipo Dockyard Co., Ltd. 15,098 949,708 * Hyundai Securities Co., Ltd. 94,129 633,917 Iljin Diamond Co., Ltd. 1,272 12,322 * Iljin Display Co., Ltd. 728 7,957 Iljin Electric, Ltd. 9,150 21,866 Ilshin Spinning Co., Ltd. 380 15,501 * Inchon Oil Refinery Co., Ltd. 373 20 ISU Chemical Co., Ltd. 1,530 16,141 Isupetasys Co., Ltd. 7,160 12,241 Jahwa Electronics Co., Ltd. 6,230 51,201 Jeonbuk Bank, Ltd. 8,847 41,561 * Jindo Corp. 500 2,791 K.C. Tech Co., Ltd. 6,000 28,264 * Keang Nam Enterprises Co., Ltd. 3,380 29,580 KEC Corp. 30,350 46,730 * Kolon Industries, Inc. 5,090 36,980 * Kolon International Corp. 321 1,373 Korea Circuit Co. 7,800 40,018
7 * Korea Data Systems Co., Ltd. 35,000 3,805 Korea Development Co., Ltd. 4,980 101,143 * Korea Development Leasing Corp. 1,040 29,545 Korea Electric Terminal Co., Ltd. 3,530 45,598 Korea Fine Chemical Co., Ltd. 1,388 13,296 Korea Iron & Steel Co., Ltd. 5,230 114,013 Korea Iron & Steel Works Co., Ltd. 3,328 52,123 Korea Komho Petrochemical Co., Ltd. 16,940 300,317 Korea Line Corp. 5,130 151,635 Korea Petrochemical Industry Co., Ltd. 2,410 54,667 Korea Polyol Co., Ltd. 1,570 50,753 Korea Reinsurance Co., Ltd. 66,430 364,619 Korea Zinc Co., Ltd. 12,300 369,571 Korean Air Co., Ltd. 13,610 241,664 * KP Chemical Corp. 64,291 295,351 * KTB Network, Ltd. 17,000 51,160 Kukdong City Gas Co., Ltd. 1,740 38,503 Kumho Electronics Co., Ltd. 2,026 99,867 Kumho Industrial Co., Ltd. 23,950 299,217 Kwang Dong Pharmaceutical Co., Ltd. 12,880 35,877 Kyeryong Construction Industrial Co., Ltd. 3,400 71,034 Kyobo Securities Co., Ltd. 10,440 38,442 LG Ad Inc., Ltd. 4,120 75,587 LG Cable, Ltd. 25,270 603,562 LG Caltex Gas Co., Ltd. 1,980 60,891 LG Engineering & Construction Corp. 28,150 875,437 LG Household & Healthcare Co., Ltd. 8,720 320,541 LG Industrial Systems, Ltd. 19,410 377,823 LG Insurance Co., Ltd. 27,140 175,302 LG International Corp. 44,138 507,960 LG Investment & Securities Co., Ltd. 95,130 886,018 * LG Life Sciences, Ltd. 10,315 365,614 LG Petrochemical Co., Ltd. 26,470 643,479 Lotte Chilsung Beverage Co., Ltd. 1,032 963,960 Lotte Confectionary Co., Ltd. 1,240 885,112 Lotte Sam Kang Co., Ltd. 230 32,381 * Meritz Securities Co., Ltd. 2,940 9,142 * Midopa Co., Ltd. 41,650 252,020 Namhae Chemical Corp. 13,104 29,123 Namyang Dairy Products Co., Ltd. 340 143,983 Nong Shim Holdings Co., Ltd. 780 60,350 Oriental Fire & Marine Insurance Co., Ltd. 2,750 53,940 ORION Corp. 4,310 619,632 Ottogi Corp. 990 77,530 Pacific Industries, Inc. 2,100 29,837 * Pantech Co., Ltd. 8,690 42,191 Pohang Coated Steel Co., Ltd. 1,760 48,900 Poong San Corp. 16,810 211,212 Pulmuone Co., Ltd. 2,030 70,387 Pusan Bank 97,000 824,810 Pusan City Gas Co., Ltd. 3,000 54,454 Pyung Hwa Industrial Co., Ltd. 6,170 29,600 S1 Corp. 15,730 642,981 * Saehan Industries, Inc. 7,440 17,420
8 Samchully Co., Ltd. 2,000 158,140 Samlip Industrial Co., Ltd. 4,560 27,267 Samsung Engineering Co., Ltd. 21,090 214,558 Samsung Fine Chemicals Co., Ltd. 14,950 289,464 Samsung Techwin Co., Ltd. 51,810 473,311 Samwhan Corp. 2,900 35,508 Samyang Corp. 4,730 171,068 * Samyang Foods Co., Ltd. 1,530 29,461 Samyang Genex Co., Ltd. 220 9,671 Samyoung Corp. 2,170 33,962 Samyoung Electronics Co., Ltd. 5,800 38,354 Seah Holdings Corp. 880 35,552 Seah Steel Corp. 1,170 33,819 Sejong Securities Co., Ltd. 3,659 16,597 Seondo Electric Co., Ltd. 4,400 7,174 Seoul City Gas Co., Ltd. 2,750 85,619 Seoul Securities Co., Ltd. 19,500 65,993 Shin Young Securities Co., Ltd. 2,620 44,174 * Shindongbang Corp. 1,696 12,703 * Shin-Ho Paper Manufacturing Co., Ltd. 5,830 29,091 Shinmoorim Paper Manufacturing Co., Ltd. 2,858 28,658 Shinsung Engineering Co., Ltd. 11,880 37,698 Sindo Ricoh Co., Ltd. 7,510 422,348 SK Chemicals Co., Ltd. 5,140 59,498 SK Gas Co., Ltd. 3,580 102,899 * SKC Co., Ltd. 14,290 121,935 * Ssang Bang Wool Co., Ltd. 6,950 20,606 * Ssangyong Cement Industry Co., Ltd. 180,970 229,322 * Ssangyong Motor Co. 88,310 608,725 STX Corp. 8,858 165,250 STX Engine Co., Ltd. 4,692 49,449 Suheung Capsule Co., Ltd. 1,900 13,602 Sung Shin Cement Co., Ltd. 10,040 197,620 * Sunkyong Securities Co., Ltd. 149,540 172,773 Tae Kwang Industrial Co., Ltd. 670 405,476 Tae Young Corp. 3,274 111,449 Taegu Department Store Co., Ltd. 3,130 26,405 Tai Han Electric Wire Co., Ltd. 19,511 214,562 * Tong Yang Investment Bank 49,860 195,498 Tongil Heavy Industries Co., Ltd. 46,780 47,565 * Trigem Computer, Inc. 21,159 24,467 Union Steel Manufacturing Co., Ltd. 5,292 171,228 Woongjin Coway Co., Ltd. 9,270 138,313 Woongjin.Com Co., Ltd. 6,810 35,998 Youlchon Chemical Co., Ltd. 8,890 110,450 * Young Poong Mining & Construction Corp. 1,580 86 Youngone Corp. 18,210 61,859 Youngpoong Corp. 540 54,224 Yuhan Corp. 5,295 488,390 ---------------- TOTAL -- SOUTH KOREA (Cost $27,932,788) 41,164,696 ----------------
9 SOUTH AFRICA -- (11.7%) COMMON STOCKS -- (11.7%) ADCorp Holdings, Ltd. 43,285 111,457 Advtech, Ltd. 120,000 24,305 Aeci, Ltd. 113,735 713,807 Afgri, Ltd. 394,599 297,065 African Life Assurance Co., Ltd. 165,518 544,083 African Oxygen, Ltd. 229,102 859,042 * Afrikander Lease, Ltd. 309,187 182,824 AG Industries, Ltd. 107,512 49,740 Alexander Forbes, Ltd. 575,600 957,199 Allied Electronics Corp., Ltd. 99,058 254,482 Allied Technologies, Ltd. 123,419 743,243 Amalgamated Appliance Holdings, Ltd. 191,501 136,424 * Anglovaal Mining, Ltd. 345,181 1,705,975 Argent Industrial, Ltd. 62,038 93,505 Aspen Pharmacare Holdings PLC 338,902 1,241,432 Astral Foods, Ltd. 50,147 464,078 Aveng, Ltd. 367,622 623,792 AVI, Ltd. 293,586 536,673 Bearing Man, Ltd. 69,024 74,380 * Bell Equipment, Ltd. 73,476 93,212 Brandcorp Holdings, Ltd. 43,383 51,436 * Business Connexion Group, Ltd. 229,687 162,036 Bytes Technology Group, Ltd. 157,376 177,502 Capitec Bank Holdings, Ltd. 56,781 129,512 Cashbuild, Ltd. 23,796 131,222 Caxton & CTP Publishers & Printers, Ltd. 538,807 861,091 Ceramic Industries, Ltd. 19,849 278,629 City Lodge Hotels, Ltd. 41,634 236,204 Connection Group Holdings, Ltd. 26,487 37,413 Corpcapital, Ltd. 241,136 9,559 * Cullinan Holdings, Ltd. 10,000 781 * Datacentrix Holdings, Ltd. 162,198 68,712 * Datatec, Ltd. 129,943 223,316 Delta Electrical Industries, Ltd. 45,094 261,847 * Dimension Data Holdings PLC 1,623,030 941,968 Distell Group, Ltd. 230,733 813,776 Distribution & Warehousing Network, Ltd. 160,606 134,193 Dorbyl, Ltd. 26,530 157,584 * Durban Roodeport Deep, Ltd. 223,484 253,203 Ellerine Holdings, Ltd. 138,298 1,015,750 Enviroserv Holdings, Ltd. 64,500 33,949 Famous Brands, Ltd. 42,836 41,513 Foschini, Ltd. 168,564 907,257 * Frontrange, Ltd. 116,544 84,118 Gold Reef Casino Resorts, Ltd. 235,403 470,627 Grindrod, Ltd. 110,283 778,168 Group Five, Ltd. 58,867 117,557 Highveld Steel & Vanadilum Corp., Ltd. 170,284 1,868,877 Hudaco Industries, Ltd. 32,410 178,506 Iliad Africa, Ltd. 150,725 220,522 Illovo Sugar, Ltd. 311,402 379,701
10 Investec, Ltd. 61,734 1,773,851 * JCI, Ltd. 1,622,051 68,817 Johnic Communications, Ltd. 159,965 892,386 M Cubed Holdings, Ltd. 385,000 24,874 Medi-Clinic Corp., Ltd. 421,569 981,195 Metair Investment, Ltd. 6,133 207,266 * Metorex, Ltd. 233,200 125,547 Metropolitan Holdings, Ltd. 627,031 877,848 Mr. Price Group, Ltd. 293,245 520,585 Murray & Roberts Holdings, Ltd. 315,729 635,099 Mustek, Ltd. 20,612 31,275 Mvelaphanda Group, Ltd. 211,861 199,224 New Clicks Holdings, Ltd. 395,048 435,570 Northam Platinum, Ltd. 246,757 389,913 Nu-World Holdings, Ltd. 11,932 49,889 Oceana Group, Ltd. 110,362 214,006 Omnia Holdings, Ltd. 44,132 256,101 * Palabora Mining Co., Ltd. 20,554 113,925 Peregrine Holdings, Ltd. 218,856 131,784 Primedia, Ltd. N Shares 242,078 405,095 PSG Group, Ltd. 110,387 129,893 Rainbow Chicken, Ltd. 301,146 315,504 * Randgold & Exploration Co., Ltd. 60,670 94,985 Redefine Income Fund, Ltd. 34,692 19,117 Reunert 196,516 1,058,043 * SA Chrome and Alloys 798,852 72,661 * Sage Group, Ltd. 201,897 45,134 Santam, Ltd. 103,921 931,087 Shoprite Holdings, Ltd. 676,148 1,399,784 Spur Corp., Ltd. 53,697 47,400 Sun International, Ltd. 118,612 1,116,046 Super Group, Ltd. 487,656 812,605 Tiger Wheels, Ltd. 55,166 199,156 Tongaat-Hulett Group, Ltd. 170,160 1,476,295 Tourism Investment 647,510 137,034 Trans Hex Group, Ltd. 92,930 232,993 Trencor, Ltd. 191,076 558,636 Truworths International, Ltd. 449,776 1,108,406 UCS Group, Ltd. 144,872 24,620 Unitrans Ltd 65,023 309,931 Value Group, Ltd. 49,189 12,996 * Western Areas, Ltd. 163,102 537,613 Wilson Bayly Holme 54,508 216,357 ---------------- TOTAL -- SOUTH AFRICA (Cost $36,033,034) 39,923,793 ----------------
11 BRAZIL -- (11.7%) PREFERRED STOCKS -- (10.8%) Acesita SA 97,876 1,287,276 Banco Mercantil do Brasil SA 130,000 16,186 Centrais Electricas de Santa Catarin Celesc Series B 1,309,000 472,642 Companhia Brasileira de Petroleo Ipiranga SA 60,800 667,172 Confab Industrial SA 555,000 773,936 Coteminas Cia Tecidos Norte de Minas 6,977,102 602,298 Distribuidora de Produtos de Petroleo Ipiranga SA 3,900 61,507 Duratex SA 17,300,000 789,790 * Electropaulo Electrecidade Metropolitana 49,450,000 1,918,894 Embraco SA 262,000 97,863 * Embratel Participacoes SA 443,600,000 942,615 * Empressa Metropolitanade Aguas e Energia SA 24,000,000 52,592 Energetica do Ceara Coelce 98,000,000 191,160 ENERSUL Empresa Energetjica de Mato Grosso do Sul SA Series B 13,156,000 73,711 Fertibras SA 3,400 33,866 Forca Luz Cataguazes Leopoldina Series A 23,400,000 12,916 Forjas Taurus SA 88,000 41,270 Fras-Le Preferred 20,200 49,295 Globex Utilidades SA 42,468 188,149 * Gradiente Eletronica SA 2,600 12,409 * Industria de Bebidas Antarctica Polar SA 23,000 25,057 Industrias Romi SA 1,400 40,091 * Inepar SA Industria e Construcoes 79,900,001 39,129 Klabin SA 1,216,000 2,003,536 Lojas Americanas SA 115,490,369 2,109,455 Magnesita SA Series A 54,500,000 299,699 Magnesita SA Series C 202,338 1,238 Marcopolo SA 182,900 326,404 Metal Leve SA 6,600,000 373,895 Metalurgica Gerdau SA 130,853 1,813,858 * Net Servicos de Comunicacao SA 3,697,439 997,442 Paranaense de Energia Series B 409,200,000 2,343,623 * Paranapanema SA 238,300,000 707,136 Perdigao SA NPV 71,300 1,492,876 Random Implementos e Participacoes SA 162,500 418,137 Rasip Agro-Pastoril SA 51,000 5,080 Refinaria de Petroleo Ipiranga SA 12,300 288,472 Ripasa SA Papel e Celulose 584,200 865,571 Sadia SA 910,000 1,484,250 Santista Textil SA Preferred 16,400 119,112 Sao Pau Alpargatas SA 2,620,001 358,830 Saraiva Livreiros Editores 4,000 21,664 * Sharp SA Equipamentos Eletronicos 30,200,000 251 Suzano Bahia Sul Papel e Celullose SA 292,642 1,275,261 Suzano Petroquimica SA 30,000 57,398 Tele Celular Sul Participacoes SA 965,995,284 1,515,444 * Tele Centro Oeste Celular Participacoes SA 93,003 993,910 * Tele Leste Celular Participacoes SA 11,193 96,159 * Tele Norte Celular Participacoes SA 549,505,027 70,698 * Tele Sudeste Celular Participacoes SA 82,400 660,021 Telemig Celular Participacoes SA 466,590,371 762,966 * Tim Sul Prefered Receipts 465,785 21,071 Tim Sul SA Preferred Series B 24,690,000 1,116,916 Ultrapar Participants 138,130,353 2,379,660 Uniao des Industrias Petroquimicas SA Series B 1,074,144 1,328,470
12 * Varig Participacoes Em Transportes 122,026 456 * Varig Particpacoes Em Servicos 116,823 144 * Varig SA Viacao Aerea Riograndense 16,000 10,425 Weg SA 726,800 2,204,984 ---------------- TOTAL PREFERRED STOCKS (Cost $25,429,586) 36,914,336 ---------------- COMMON STOCKS -- (0.9%) Acesita SA 4,290 60,179 Acos Villares SA Avil 120,000 17,630 Avipal SA Avicultura e Agropecua 93,900,000 307,500 Copesul Companhia Petroquimica do Sul 182,000 2,409,546 Eternit SA 1,200 17,984 Metalurgica Gerdau SA 1,938 25,658 * Rhodia Ster SA 640,780 50,528 Sao Paulo Alpargatas SA 510,000 73,553 ---------------- TOTAL COMMON STOCKS (Cost $1,278,647) 2,962,578 ---------------- TOTAL -- BRAZIL (Cost $26,708,233) 39,876,914 ---------------- MALAYSIA -- (10.6%) COMMON STOCKS -- (10.6%) * A&M Realty Berhad 32,500 11,974 ACP Industries Berhad 34,000 7,118 Affin Holdings Berhad 1,335,800 505,320 Amalgamated Industrial Steel Berhad 11,250 1,688 * AMBD Berhad 58,000 1,753 Amway (Malaysia) Holdings Berhad 382,300 668,357 Ann Joo Resources Berhad 179,000 74,400 * Anson Perdana Berhad 10,000 118 * Antah Holding Berhad 23,000 1,453 * Aokam Perdana Berhad 37 7 APM Automotive Holdings Berhad 147,300 93,533 * Arab Malaysia Corp. Berhad 558,000 159,919 Asas Dunia Berhad 16,000 3,195 * Asia Pacific Land Berhad 70,000 3,498 Asiatic Development Berhad 1,794,600 764,165 * Avenue Assets Berhad 254,000 35,937 Ayer Hitam Planting Syndicate Berhad 6,000 3,270 Bandar Raya Developments Berhad 922,800 283,588 Batu Kawan Berhad 302,400 469,734 * Berjaya Capital Berhad 391,000 85,385 Berjaya Land Berhad 620,600 130,628 Bernas Padiberas Nasional Berhad 650,000 216,762 Bimb Holdings Berhad 208,200 75,558 Bintai Kinden Corp. Berhad 16,000 4,286 Bolton Properties Berhad 96,000 23,981 Boustead Holdings Berhad 1,301,700 605,697 Cahya Mata Sarawak Berhad 153,000 50,708 * Camerlin Group Berhad 58,000 18,309
13 Carlsberg Brewery Malaysia Berhad 246,100 712,395 Cement Industries of Malaysia Berhad 48,800 17,463 Chemical Co. of Malaysia Berhad 231,800 145,833 Chin Teck Plantations Berhad 33,000 41,842 * Cosway Corp. Berhad 113,000 19,488 Courts Mammoth Berhad 177,000 53,502 Cycle & Carriage Bintang Berhad 15,000 11,642 * Damansara Realty Berhad 65,000 1,368 Datuk Keramik Holdings Berhad 24,000 253 Dijaya Corp. Berhad 96,000 20,216 Diperdana Corp. Berhad 4,000 1,788 Diversified Resources Berhad 704,300 255,481 DNP Holdings Berhad 34,000 5,275 * E&O Property Development Berhad 1,174,100 195,990 Eastern & Oriental Berhad 72,000 19,931 * Econstates Berhad 280,800 42,802 Edaran Otomobil Nasional Berhad 499,700 445,904 Esso Malaysia Berhad 183,500 121,716 Europlus Berhad 25,700 2,330 * Faber Group Berhad 16,000 2,123 Far East Holdings Berhad 23,700 26,307 * FCW Holdings Berhad 24,000 1,386 * Fountain View Development Berhad 808,200 83,654 Fraser & Neave Holdings Berhad 430,600 583,321 Globetronics Technology Berhad 1,090,500 107,428 Glomac Berhad 70,200 23,091 Gold IS Berhad 163,600 59,445 * Golden Hope Plantations Berhad Series A 792,682 604,942 * Golden Plus Holdings Berhad 16,000 1,833 * Gopeng Berhad 17,000 2,186 Guiness Anchor Berhad 713,200 984,807 * Gula Perak Berhad 170,975 9,882 Guthrie Ropel Berhad 35,900 34,190 Hap Seng Consolidated Berhad 752,300 419,387 Heitech Padu Berhad 26,000 14,914 Highlands and Lowlands Berhad 411,700 411,573 * HIL Industries Berhad 56,810 3,953 * HLG Capital Berhad 12,000 2,119 Hock Seng Lee Berhad 44,160 31,361 Hong Leong Industries Berhad 452,400 426,060 Hong Leong Properties Berhad 605,800 93,111 Hume Industries (Malaysia) Berhad 374,067 479,416 Hwang-DBS (Malaysia) Berhad 97,500 31,031 IGB Corp. Berhad 1,854,850 535,854 IJM Corp. Berhad 255,500 315,906 IJM Plantations Berhad 37,600 9,992 * Insas Berhad 226,000 17,817 Island & Peninsular Berhad 777,140 278,672 * Jaks Resources Berhad 1,000 384 Jaya Jusco Stores Berhad 291,400 344,655 Jaya Tiasa Holdings Berhad 283,600 149,041 * Johan Holdings Berhad 30,000 1,180 John Hancock Life Insurance (M) Berhad 100,800 60,888 Johor Port Berhad 476,300 225,505
14 Johore Tenggara Oil Palm Berhad 59,200 12,769 JT International Berhad 525,900 553,260 K & N Kenanga Holdings Berhad 287,300 49,146 Keck Seng (Malaysia) Berhad 82,000 41,218 KFC Holdings (Malaysia) Berhad 289,700 262,155 Kian Joo Can Factory Berhad 146,300 98,537 Kim Hin Industry Berhad 52,000 23,087 KPJ Healthcare Berhad 62,000 26,447 * Kretam Holdings Berhad 15,000 1,776 Kris Components Berhad 98,863 87,858 KSL Holdings Berhad 186,600 94,955 * Kub Malaysia Berhad 586,500 63,220 Kulim Malaysia Berhad 365,350 290,033 * Kumpulan Hartanah Selangor Berhad 166,500 9,624 Kwantas Corp. Berhad 155,800 153,314 Ladang Perbadanan-Fima Berhad 11,000 7,885 * Land & General Berhad 180,000 6,623 Landmarks Berhad 635,500 141,807 * Leader Universal Holdings Berhad 69,000 6,435 * Leong Hup Holdings Berhad 46,000 10,646 Lingkaran Trans Kota Holdings Berhad 932,400 583,891 Lingui Development Berhad 712,800 185,226 Lion Diversified Holdings Berhad 925,100 412,907 Lion Industries Corp. Berhad 1,311,600 430,509 Liqua Health Corp. Berhad 173 11 MAA Holdings Berhad 239,133 295,354 Magnum 4D Berhad 80,000 62,473 Malayan Cement Berhad 1,453,050 225,351 Malayawata Steel Berhad 72,000 24,809 * Malaysia Aica Berhad 48,200 10,001 * Malaysia Building Society Berhad 35,000 6,067 Malaysia Industrial Development Finance Berhad 2,255,000 675,568 Malaysia Mining Corp. Berhad 732,900 366,324 Malaysian Mosaics Berhad 280,300 114,294 Malaysian National Reinsurance Berhad 264,400 243,371 Malaysian Oxygen Berhad 296,500 958,951 Malaysian Plantations Berhad 622,500 396,076 * Malaysian Resources Corp. Berhad 94,666 11,307 * Mancon Berhad 12,000 2,747 Maruichi Malaysia Steel Tube Berhad 58,600 22,494 Matsushita Electric Co. (Malaysia) Berhad 70,084 191,614 MBM Resources Berhad 102,966 56,814 * Media Prima Berhad 61,533 26,684 Metro Kajang Holdings Berhad 58,800 13,433 Mieco Chipboard Berhad 69,000 32,317 * MTD Infraperdana Berhad 1,975,100 441,758 * MUI Properties Berhad 75,200 5,231 * Mulpha International Berhad 2,712,250 353,166 * Multi-Purpose Holdings Berhad 457,000 95,428 * Mycron Steel Berhad 14,650 3,775 Naim Cendera Berhad 381,100 338,779 * Naluri Berhad 491,000 54,159 * Nam Fatt Berhad 9,000 803 Narra Industries Berhad 16,000 5,702
15 NCB Holdings Berhad 1,147,200 783,820 * New Straits Times Press (Malaysia) Berhad 339,000 283,513 Nikko Electronics Berhad 36,600 9,240 NV Multi Corp. Berhad 129,500 11,929 * NWP Holdings Berhad 112,000 19,836 Nylex (Malaysia) Berhad 41,500 6,631 Oriental Holdings Berhad 362,900 381,458 OSK Holdings Berhad 1,179,371 337,889 OSK Property Holdings Berhad 3,393 672 Pacific & Orient Berhad 40,400 19,452 Pacificmas Berhad 9,500 14,125 * Pan Malaysia Cement Works Berhad 192,000 22,644 * Pan Malaysian Industries Berhad 818,000 11,854 * Pan Pacific Asia Berhad 12,000 284 * Panglobal Berhad 14,000 6,963 PBA Holdings Berhad 139,800 50,353 Pelangi Berhad 268,700 53,025 * Pernas International Holdings Berhad 603,400 110,990 Petaling Garden Berhad 190,600 78,206 Phileo Allied Berhad 1,152,600 951,055 PK Resources Berhad 14,000 1,917 * Prime Utilities Berhad 3,000 272 * Promet Berhad 52,000 0 * Puncak Niaga Holdings Berhad 1,113,600 735,034 QL Resources Berhad 57,000 44,220 QSR Brand Berhad 32,000 25,070 Ramatex Berhad 292,700 234,863 Ranhill Berhad 1,095,180 394,579 * Ranhill Utilities Berhad 227,160 95,554 * Rashid Hussain Berhad 182,000 16,517 * Rekapacific Berhad 55,000 0 Road Builders (Malaysia) Holdings Berhad 984,600 685,953 Sapura Telecommunications Berhad 64,846 16,538 Sarawak Enterprise Corp. Berhad 421,000 138,476 SCB Developments Berhad 290,500 266,096 Scomi Group Berhad 2,329,800 906,473 Selangor Properties Berhad 526,100 278,103 Shangri-La Hotels (Malaysia) Berhad 114,000 37,499 Shell Refining Co. Federation of Malaysia Berhad 190,500 460,989 SHL Consolidated Berhad 75,000 34,138 * Sime Engineering Services Berhad 279,100 66,312 Sime UEP Properties Berhad 133,000 147,700 Southern Acids (Malaysia) Berhad 41,000 17,757 Southern Steel Berhad 262,900 109,968 SP Setia Berhad 351,400 342,229 * SRI Hartemas Berhad 65,000 0 Star Publications (Malaysia) Berhad 229,300 415,977 Subur Tiasa Holdings Berhad 137,400 87,437 Sunrise Berhad 497,220 186,976 Sunway City Berhad 645,100 339,049 Sunway Holdings, Inc. Berhad 805,000 226,483 * Supermax Corp. Berhad 26,900 30,274 * Suria Capital Holdings Berhad 186,000 20,043 Symphony House Berhad 20,571 2,757
16 Ta Ann Holdings Berhad 313,600 531,741 TA Enterprise Berhad 2,638,300 506,405 Talam Corp. Berhad 12,850 1,283 * Tamco Corp. Holdings Berhad 83,000 5,766 Tan Chong Motor Holdings Berhad 1,525,300 641,828 * Tanah Emas Corp. Berhad 65,000 10,071 Tasek Corp. Berhad 87,600 54,643 * Time Dotcom Berhad 1,001,500 69,586 Top Glove Corp. Berhad 298,100 351,574 Tractors Malaysia Holdings Berhad 143,400 124,828 Tradewinds (Malaysia) Berhad 290,600 199,710 * Trengganu Development & Management Berhad 79,700 15,674 Tronoh Mines Malaysia Berhad 476,300 338,444 UAC Berhad 25,000 31,335 Uchi Technologies Berhad 651,200 493,428 UDA Holdings Berhad 243,700 94,707 * UEM World Berhad 3,342,200 540,221 Unico-Desa Plantations Berhad 316,000 37,022 * Union Paper Holdings Berhad 70,000 10,763 Uniphone Telecommunications Berhad 43,000 4,874 Unisem (M) Berhad 715,800 314,294 United Malacca Rubber Estates Berhad 47,500 42,731 United Malayan Land Berhad 13,000 3,249 United Plantations Berhad 407,500 535,491 * Utama Banking Group Berhad 122,000 15,691 Wah Seong Corp 423,500 205,890 Worldwide Holdings Berhad 52,000 24,190 WTK Holdings Berhad 117,400 129,618 Yeo Hiap Seng (Malaysia) Berhad 47,300 23,972 Yu Neh Huat Berhad 97,200 32,987 ---------------- TOTAL COMMON STOCKS (Cost $42,241,527) 36,292,371 ---------------- RIGHTS/WARRANTS -- (0.0%) * Liqua Health Marketing Berhad Warrants 09/09/08 34 1 * Melewar Industrial Group Warrants 11,720 0 * Mieco Chipboard Berhad Warrants 04/21/09 23,000 4,055 ---------------- TOTAL RIGHTS/WARRANTS (Cost $1,222) 4,056 ---------------- PREFERRED STOCKS -- (0.0%) * Malayan United Industries Berhad A1 08/03/13 176,957 2,096 * Malayan United Industries Berhad A2 08/03/13 176,957 1,630 * Ramunia Holdings Berhard Non Cumulative Irredeemable Convertible Preferred Shares 1,840 77 ---------------- TOTAL PREFERRED STOCKS (Cost $43,180) 3,803 ---------------- TOTAL -- MALAYSIA (Cost $42,285,929) 36,300,230 ----------------
17 TURKEY -- (8.1%) COMMON STOCKS -- (8.1%) Adana Cimento Sanayi Ticaret A.S. 646,276 400,097 * Ak-Al Tekstil A.S. 2,779 9,848 Akcansa Cimento Sanayi ve Ticaret A.S. 309,894 1,055,291 * Akenerji Elektrik Uretim A.S. 80,193 313,663 Aksa Akrilik Kimya Sanayii A.S. 47,621 419,267 Aksigorta A.S. 324,225 1,244,948 * Aksu Iplik Dokuma ve Boya Apre Fabrikalari A.S. 4,477 10,687 * Aktas Elektrik Ticaret A.S. 370 40,674 Alarko Carrier Sanayii ve Ticaret A.S. 14,579 97,296 * Alarko Holding A.S. 26,419 852,490 * Alcatel Telekomunikasyon Endustri ve Ticaret A.S. 24,197 79,058 Alkim Alkali Kimya A.S. 27,197 69,767 * Alternatifbank A.S. 97,063 84,940 * Altinyildiz mensucat ve Konfeksiyon Fabrikalari A.S. 21,960 21,059 * Anadolu Anonim Turk Sigorta Sirketi 122,999 259,603 Anadolu Cam Sanayii A.S. 277,157 985,928 Anadolu Hayat Sigorta A.S. 74,683 107,365 Anadolu Isuzu Otomotiv Sanayi ve Ticaret A.S. 15,586 104,406 * Ayen Enerji A.S. 161,469 219,193 Aygaz A.S. 83,805 171,131 Bagfas Bandirma Gubre Fabrikalari A.S. 3,450 70,269 * Banvit Bandirma Vitaminli Yem Sanayii Ticaret A.S. 147,698 200,151 Bati Anabolu Cimento A.S. 110,525 297,856 * Beko Elektronik A.S. 234,899 389,167 Bolu Cimento Sanayii A.S. 187,058 235,067 Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 36,993 274,923 Bossa Ticaret ve Sanayi Isletmeleri Ticaret A.S. 128,217 149,540 * Boyner Buyuk Magazacilik A.S. 122,086 214,903 Brisa Bridgestone Sabanci Lastik San ve Ticaret A.S. 5,857 302,310 Bursa Cimento Fabrikasi A.S. 57,680 401,563 * Celebi Hava Servisi A.S. 28,354 169,790 Cimsa Cimento Sanayi Ve Ticaret A.S. 259,130 1,090,196 Deva Holding A.S. 64,797 74,295 * Dogan Gazetecilik A.S. 105,300 189,539 * Dogan Yayin Holding A.S. 402,635 916,481 Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,993 73,261 Eczacibasi Ilac Sanayi ve Ticaret A.S. 294,407 709,537 * Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S. 116,012 148,892 * Ege Plstik Ticaret ve Sanayi A.S. 14,342 7,150 * EGE Seramik Sanayi ve Ticaret A.S. 44,835 37,823 Federal - Mogul Izmit Piston ve Pim Uretim Tesisleri A.S. 229 110,862 * Finansbank A.S. 911,286 3,229,243 * Global Yatirim Holding A.S. 46,576 34,878 * Goldas Kuyumculuk Sanayi A.S. 88,799 58,020 Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 7,128 105,985 * Goodyear Lastikleri T.A.S. 14,659 125,390 GSD Holding A.S. 62,399 50,937 Gubre Fabrikalari Ticaret A.S. 8,436 14,578 Gunes Sigorta A.S. 68,999 77,283 * Hektas Ticaret T.A.S. 25,477 18,984 Hurriyet Gazetecilik ve Matbaacilik A.S. 184,673 353,260
18 Ihlas Holding A.S. 485,407 326,156 * Isiklar Ambalaj A.S. 6,417 4,445 * Izmir Demir Celik Sanayii A.S. 57,269 118,443 * Kardemir Karabuk Demir Sanayi ve Ticaret A.S. 83,077 147,457 * Karsu Tekstil Sanayii ve Ticaret A.S. 17,040 10,797 Karton Sanayi ve Ticaret A.S. 1,698 151,400 * Kav Danismanlik Pazarlama ve Ticaret A.S. 4,654 11,553 * Kerevitas Gida Sanayii ve Ticaret A.S. 2,532 7,065 Konya Cimento Sanayii A.S. 4,921 138,355 Kordsa Sabanci Dupont Endustriyel Iplik Kord Bezi Sanayi ve Ticaret A.S. 146,305 241,465 * Kutahya Porselen Sanayii A.S. 2,617 40,566 Mardin Cimento Sanayii ve Ticaret 103,083 270,356 * Marshall Boya ve Vernik Sanayii A.S. 4,372 86,019 * Medya Holdings A.S. 15,849 80,145 * Menderes Tekstil Sanayi ve Ticaret A.S. 104,549 49,756 * Merko Gida Sanayi ve Ticaret A.S. 10,580 5,603 Migros Turk A.S. 81,518 630,394 * Milpa Ticari ve Sinai Urunler Pazarlama Sanayi ve Ticaret A.S. 13,329 15,037 * Mudurnu Tavukculuk A.S. 1,740 574 Multu Aku ve Malzemeleri Sanayi A.S. 1,527 25,367 * Nergis Holding A.S. 1,784 4,837 * Net Holding A.S. 47,826 13,649 * Net Turizm Ticaret ve Sanayi A.S. 33,660 19,664 Nortel Networks Netas Telekomuenikasyon A.S. 8,756 192,301 Olmuksa International Paper Sabanci Ambalaj Sanayi ve Ticaret A.S. 20,976 35,023 Otobus Karoseri Sanayi A.S. 44,321 145,963 Pinar Sut Mamulleri Sanayii A.S. 35,215 41,297 * Raks Elektronik Sanayi ve Ticaret A.S. 2,730 1,565 * Sanko Pazarlama Ithalat Ihracat A.S. 48,903 120,784 Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 54,998 67,096 * Sasa Dupont Sabanci Polyester Sanayi A.S. 310,985 261,331 * Sonmez Filament Sentetik Iplik ve Elyaf Sanayi A.S. 6,300 4,552 * Tansas Perakende Magazacilik Ticaret A.S. 464,813 637,064 * Tat Konserve Sanayii A.S. 63,787 123,013 * Tekstil Bankasi A.S. 143,546 127,209 Tire Kutsan Oluklu Mukavva Kutu ve Kagit Sanayii A.S. 39,939 55,419 Tofas Turk Otomobil Fabrikasi A.S. 293,085 404,656 Trakya Cam Sanayii A.S. 303,163 964,275 Turk Demir Dokum Fabrikalari A.S. 60,749 268,912 * Turk Dis Ticaret Bankasi A.S. 612,806 1,941,057 Turk Ekonomi Bankasi A.S. 32,820 208,142 Turk Pirelli Kablo ve Sistemleri A.S. 39,702 68,242 Turk Sise ve Cam Fabrikalari A.S. 393,110 943,539 Ulker Gida Sanayi ve Ticaret A.S. 258,103 739,581 USAS Ucak Servisi A.S. 71,628 235,478 Uzel Makina Sanayii A.S. 156,941 226,625 * Vakif Finansal Kiralama A.S. 5,450 8,285 * Vestel Elektronik Sanayi ve Ticaret A.S. 94,186 327,181 Yunsa Yunlu Sanayi ve Ticaret A.S. 10,027 9,203 * Zorlu Enerji Elektrik Uretim A.S. 100,448 300,327 ---------------- TOTAL -- TURKEY (Cost $17,648,646) 27,536,067 ----------------
19 ISRAEL -- (7.5%) COMMON STOCKS -- (7.5%) * Afcon Industries 159 2,172 * Albad Massuot Yitzhak, Ltd. 9,175 120,557 Alony Hetz Properties & Investments, Ltd. 82,840 217,574 * Alvarion, Ltd. 77,089 702,181 American Israeli Paper Mills, Ltd. 6,495 300,032 Analyst I.M.S. 9,114 95,741 * AudioCodes, Ltd. 74,231 900,817 Azorim Investment Development & Construction Co., Ltd. 69,788 680,611 * Baran Group, Ltd. 9,500 95,847 * Beit Shemesh Engines Holdings (1997), Ltd. 3,351 12,400 Blue Square Chain Stores Properties & Investments, Ltd. 36,516 335,834 Blue Square Israel, Ltd. 86,605 838,624 * C Mer Industries, Ltd. 10,065 147,826 * Cham Foods (Israel), Ltd. 14,289 21,470 CLAL Industries, Ltd. 12,431 57,251 * Compugen, Ltd. 11,938 38,413 * Dan Vehicle & Transportation 14,070 73,262 Danya Cebus, Ltd. 24,719 138,404 Delek Automotive Systems, Ltd. 154,049 1,123,219 Delek Drilling 933,038 459,873 Delta Galil Industries, Ltd. 31,940 266,489 Direct Insurance - I.D.I. Insurance Co., Ltd. 83,451 243,400 * Discount Mortgage Bank, Ltd. 1,320 144,132 Elbit Medical Imaging, Ltd. 41,196 792,917 Electra Consumer Products 28,963 246,088 Electra Israel, Ltd. 5,514 412,220 * Electronics Line, Ltd. 3,169 11,377 * Elron Electronic Industries, Ltd. 56,547 813,394 * Feuchtwanger Investments 1984, Ltd. 4,200 2,386 * First International Bank of Israel, Ltd. Par Value $.01 473,321 733,279 FMS Enterprises Migun, Ltd. 16,997 776,774 Formula Systems (1985), Ltd. 17,849 258,733 * Formula Vision Technologies, Ltd. 1,604 1,549 Frutarom Industries (1995), Ltd. 91,981 719,425 * Gachelet Invetment Co., Ltd. 653 47,365 * Granite Hacarmel Investments, Ltd. 19,200 26,827 * Ham-Let Ltd 12,751 63,267 * Housing & Construction Holding Co., Ltd. 664,947 503,898 Industrial Building Corp., Ltd. 371,518 435,732 * Israel Land Development Co., Ltd. 32,626 142,695 Israel Petrochemical Enterprises, Ltd. 41,748 363,016 Israel Salt Industries 38,139 162,578 Ituran 10,835 348,251 * J.O.E.L. Jerusalem Oil Exploration, Ltd. 6,178 41,093 Knafaim-Arkia Holdings, Ltd. 21,671 245,561 * Koor Industries, Ltd. 19,500 1,269,096 * Leader Holding & Investments, Ltd. 32,148 61,301 Lipman Electronic Engineering, Ltd. 28,513 911,617 * Magal Security Systems, Ltd. 10,117 99,148
20 * Magic Software Enterprises, Ltd. 35,590 85,825 * Matav Cable Israel 58,667 461,729 * Medcon, Ltd. 18,524 39,126 * Medtechnica, Ltd. 14,470 65,763 Mehadrin, Ltd. 3,887 71,431 * Metalink, Ltd. 26,556 125,039 * Middle East Tube Co. 19,000 22,381 Miloumor, Ltd. 12,658 43,000 Mivtach Shamir Holdings, Ltd. 13,409 229,519 * Naphtha Israel Petroleum Corp. 105,630 17,489 * Nice Systems, Ltd. 28,424 1,042,590 Nisko Industries (1992), Ltd. 6,691 45,505 * OCIF Investments and Development, Ltd. 2,267 42,527 * Orckit Communications, Ltd. 11,142 265,923 Ormat Industries, Ltd. 189,774 936,431 Packer Plada, Ltd. 844 41,357 * Perrigo Co. 4,339 68,006 Property and Building Corp., Ltd. 8,596 778,602 * RADVision, Ltd. 36,193 478,979 Rapac Electronics, Ltd. 6,000 16,014 Rapac Technologies (2000), Ltd. 6,000 23,491 * Retalix, Ltd. 27,444 658,808 Scitex Corp., Ltd. 68,344 463,768 * Shrem Fudim Kelner & Co., Ltd. 15,466 53,923 Suny Electronic Inc., Ltd. 59,632 416,272 Super-Sol, Ltd. Series B 409,493 1,104,308 Tadiran Communications, Ltd. 22,291 776,396 * Team Computer & Systems, Ltd. 1,400 15,948 Telsys, Ltd. Electronic Engineering 5,300 26,350 * Tower Semiconductor, Ltd. 85,632 137,352 * Union Bank of Israel, Ltd. 86,282 315,140 * Urdan Industries, Ltd. 52,742 27,929 * Ytong Industries, Ltd. 52,585 49,246 ---------------- TOTAL COMMON STOCKS (Cost $18,931,808) 25,451,883 ---------------- RIGHTS/WARRANTS -- (0.0%) * Alony Hetz Properties & Investments, Ltd. Warrants 11/20/07 16,263 12,478 ---------------- (Cost $0) TOTAL -- ISRAEL (Cost $18,931,808) 25,464,361 ---------------- MEXICO -- (7.1%) COMMON STOCKS -- (7.1%) Consorcio Ara S.A. 775,400 2,521,892 * Consorcio Hogar S.A. de C.V. Series B 325,000 101,522 Controladora Comercial Mexicana S.A. de C.V. Series B 1,633,500 1,755,911 * Corporacion Geo S.A. de C.V. Series B 1,330,000 3,146,490 * Corporacion Interamericana de Entramiento S.A. de C.V. Series B 703,769 1,364,301 * Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,623 313
21 Corporativo Fragua S.A. de C.V. Series B 31 98 * Desc S.A. de C.V. Series B 981,833 266,108 Embotelladora Arca S.A. de C.V., Mexico 1,331,800 2,739,622 * Empaques Ponderosa S.A. de C.V. Series B 206,000 17,034 * Empresas ICA Sociedad Controladora S.A. de C.V. 6,256,350 2,471,650 Empresas la Moderna S.A. de C.V. Series A 610,700 117,013 Gruma S.A. de C.V. Series B 856,800 1,830,206 Grupo Cementos de Chihuahua S.A. de C.V. 566,100 1,003,802 Grupo Continental S.A. de C.V. 601,800 928,879 Grupo Corvi S.A. de C.V. Series L 100,000 18,467 Grupo Elektra S.A. de C.V. 89,300 631,742 Grupo Financiero GBM Atlantico S.A. de C.V. Series L 9,441 4,771 * Grupo Financiero GBM Atlantico S.A. de C.V. Series L 23,928 12,311 * Grupo Herdez S.A. de C.V. 107,000 53,380 Grupo Industrial Maseca S.A. de C.V. Series B 510,000 290,040 Grupo Industrial Saltillo S.A. de C.V. 176,552 270,886 * Grupo Iusacell S.A. de C.V. 51,405 84,067 * Grupo Nutrisa S.A. de C.V. 188 73 Grupo Posadas S.A. de C.V. Series L 199,000 147,179 * Grupo Qumma S.A. de C.V. Series B 105,334 1,742 * Grupo Tribasa S.A. de C.V. 67,110 0 Hylsamex S.A. de C.V. Series B 82,000 295,323 Industrias Bachoco S.A. de C.V. (Certificate Representing Series B and Series L) 76,000 195,510 Industrias Penoles S.A. de C.V. 162,000 800,746 * Industrias S.A. de C.V. Series B 661,248 1,372,999 * Jugos del Valle S.A. de C.V. Series B 50,900 77,161 * Movilaccess S.A. de C.V. Series B 13,489 30,053 * Sanluis Corporacion S.A. de C.V. Series A 3,300 1,182 * Sanluis Corporacion S.A. de C.V. Series C & Series B 4,642 1,915 TV Azteca S.A. de C.V. Series A 2,248,900 1,148,795 Vitro S.A. de C.V. 811,000 632,595 ---------------- TOTAL COMMON STOCKS (Cost $19,249,303) 24,335,778 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Mexican Peso 7,227 ---------------- (Cost $8,636) TOTAL -- MEXICO (Cost $19,257,939) 24,343,005 ---------------- THAILAND -- (6.0%) COMMON STOCKS -- (6.0%) A.J. Plast Public Co., Ltd. (Foreign) 166,500 19,179 * Adkinson Securities Public Co., Ltd. (Foreign) 138,150 22,441 * Advance Agro Public Co., Ltd. (Foreign) 809,000 455,971 Aeon Thana Sinsap (Thailand) Public Co., Ltd. 142,500 136,783 Amarin Plaza Public Co., Ltd. (Foreign) 523,680 24,360 Amata Corp. Public Co., Ltd. 2,040,400 572,497 Asia Securities Trading Public Co., Ltd. (Foreign) 3,575,000 510,337 Asian Property Development Public Co., Ltd. (Foreign) 3,828,800 356,211
22 Bangkok Dusit Medical Services Public Co., Ltd. (Foreign) 1,282,233 533,343 Bangkok Expressway Public Co., Ltd. (Foreign) 1,170,400 756,165 Bangkok Insurance Public Co., Ltd. (Foreign) 65,180 362,557 * Bangkok Land Public Co., Ltd. (Foreign) 12,166,170 143,730 * Bangkok Rubber Public Co., Ltd. (Foreign) 14,600 891 Big C Supercenter Public Co., Ltd. (Foreign) 87,000 47,750 * Book Club Finance Public Co., Ltd. 157,200 14,702 Bumrungrad Hospital Public Co., Ltd. 1,043,800 500,962 Cal-Comp Electronics (Thailand) Public Co., Ltd. (Foreign) 5,498,000 468,203 Capital Nomura Securities Public Co., Ltd. (Foreign) 46,000 58,873 * Central Paper Industry Public Co., Ltd. (Foreign) 19,800 1,023 Central Pattana Public Co., Ltd. (Foreign) 3,668,000 785,420 Central Plaza Hotel Public Co., Ltd. (Foreign) 79,000 44,721 Ch Karnchang Public Co., Ltd. (Foreign) 2,472,700 687,706 Charoong Thai Wire & Cable Public Co., Ltd. 130,000 25,117 Compass East Ind-Foreign 122,000 10,449 Dynasty Ceramic Public Co., Ltd. 232,500 92,702 Eastern Water Resources Development & Management Public Co., Ltd. (Foreign) 1,081,200 99,525 Fancy Wood Industries Public Co., Ltd. 260,800 34,020 * GFPT Public Co., Ltd. 71,400 25,305 GMM Grammy Public Co., Ltd. (Foreign) 765,100 244,802 * Golden Land Property Development Public Co., Ltd. (Foreign) 485,616 77,689 Hana Microelectronics Public Co., Ltd. (Foreign) 1,851,409 884,010 Hermraj Land & Development Public Co., Ltd. (Foreign) 6,804,400 152,400 Home Product Center Public Co., Ltd. 417,900 64,284 ICC International Public Co., Ltd. (Foreign) 204,600 207,093 * International Broadcasting Corp. Public Co., Ltd. (Foreign) 975,170 542,428 * International Engineering Public Co., Ltd. (Foreign) 20,000 537 * ITV Public Co., Ltd. 2,333,700 683,511 * Jasmine International Public Co., Ltd. (Foreign) 8,436,600 107,975 * K.R. Precision Public Co., Ltd. (Foreign) 320,598 30,300 Kang Yong Electric Public Co., Ltd. (Foreign) 7,200 11,784 KCE Electronics Public Co., Ltd. (Foreign) 204,000 21,389 * Keppel Thai Properties Public Co., Ltd. 8,360 687 KGI Securities One Public Co., Ltd. (Foreign) 2,713,846 169,657 Krungthai Card Public Co., Ltd. (Foreign) 230,800 131,220 Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 32,200 36,456 Loxley Public Co., Ltd. (Foreign) 2,256,520 153,286 LPN Development Public Co., Ltd. (Foreign) 415,250 33,318 Major Cineplex Group Public Co., Ltd. 1,083,300 314,618 MBK Development Public Co., Ltd. (Foreign) 278,800 332,803 Media of Medias Public Co., Ltd. (Foreign) 9,100 1,377 MFC Asset Management Public Co., Ltd. (Foreign) 5,000 2,547 * Millennium Steel Public Co., Ltd. (Foreign) 6,061,600 243,180 MK Real Estate Development Public Co., Ltd. (Foreign) 472,260 28,129 Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 17,000 92,887 * Nakornthai Strip Mill Public Co., Ltd. (Foreign) 13,202,000 422,412 Nation Multimedia Group Public Co., Ltd. (Foreign) 146,259 44,637 National Finance and Securities Public Co., Ltd. (Foreign) 1,530,800 508,634 * Natural Park Public Co., Ltd. (Foreign) 12,385,200 298,732 Noble Development Public Co., Ltd. 260,100 28,039 * Pacific Assets Public Co., Ltd. (Foreign) 141,000 16,172 Padaeng Industry Public Co., Ltd. (Foreign) 73,800 23,250
23 Patum Rice Mill & Granary Public Co., Ltd. (Foreign) 5,500 3,993 Phatra Insurance Public Co., Ltd. 10,000 27,566 Picnic Gas & Engineering Public Co., Ltd. 521,800 143,839 * Prasit Development Public Co., Ltd. (Foreign) 29,700 1,097 Quality Houses Public Co., Ltd. (Foreign) 8,362,600 246,988 Regional Container Lines Public Co., Ltd. (Foreign) 869,900 663,719 * Robinson Department Store Public Co., Ltd. (Foreign) 18,525 2,079 Saha Pathana Inter-Holding Public Co., Ltd. (Foreign) 350,000 150,751 Saha-Union Public Co., Ltd. (Foreign) 279,500 108,003 * Samart Corporation Public Co., Ltd. 1,146,900 153,842 Sammakorn Public Co., Ltd. (Foreign) 75,000 4,024 Sansiri Public Co., Ltd. (Foreign) 780,566 58,019 Seamico Securities Public Co., Ltd. 978,022 127,579 Serm Suk Public Co., Ltd. (Foreign) 10,000 5,021 * Shinawatra Satellite Public Co., Ltd. (Foreign) 1,930,500 798,238 Siam Food Products Public Co., Ltd. (Foreign) 9,000 10,633 Siam Industrial Credit Public Co., Ltd. (Foreign) 352,862 50,806 Siam Makro Public Co., Ltd. (Foreign) 486,600 748,523 Sino-Thai Engineering & Construction Public Co., Ltd. (Foreign) 1,616,500 409,795 Sri Trang Agro Industry Public Co., Ltd. (Foreign) 60,992 28,822 Srithai Superware Public Co., Ltd. (Foreign) 16,400 3,936 * Standard Chartered Nakornthon Bank Public Co., Ltd. (Foreign) 54 29 * STP & I Public Co., Ltd. 138,700 6,111 * Sun Tech Group Public Co., Ltd. (Foreign) 27,200 1,875 Supalai Public Co., Ltd. (Foreign) 346,000 20,608 * SVI Public Co., Ltd. 122,266 26,030 * Tanayong Public Co., Ltd. (Foreign) 261,000 6,424 * Telecomasia Corp. Public Co., Ltd. (Foreign) 2,633,800 557,487 Thai Plastic & Chemicals Public Co., Ltd. (Foreign) 1,493,100 573,280 Thai Reinsurance Public Co., Ltd. (Foreign) 660,300 71,182 Thai Rung Union Car Public Co., Ltd. (Foreign) 165,000 28,021 * Thai Stanley Electric (Thailand) Public Co., Ltd. 119,800 368,570 Thai Union Frozen Products Public Co., Ltd. (Foreign) 64,800 44,657 Thai Vegetable Oil-Foreign 482,600 124,718 Thai Wacoal Public Co., Ltd. (Foreign) 78,000 62,392 * Thai-German Ceramic Industry Public Co., Ltd. (Foreign) 361,000 26,122 * Tipco Asphalt Public Co., Ltd. (Foreign) 95,200 48,502 TIPCO Foods (Thailand) Public Co., Ltd. 147,620 16,204 TISCO Finance Public Co., Ltd. (Foreign) 745,900 463,549 * TT&T Public Co., Ltd. (Foreign) 6,559,000 506,898 * Tuntex (Thailand) Public Co., Ltd. (Foreign) 126,728 5,989 Tycoons Worldwide Group Public Co., Ltd. (Foreign) 804,700 202,017 * United Communication Industry Public Co., Ltd. (Foreign) 139,000 151,385 United Palm Oil Industry Public Co., Ltd. 21,000 19,705 Vanachai Group Co-Foreign 2,482,066 390,973 Vinythai Public Co., Ltd. (Foreign) 1,833,180 459,681 ---------------- TOTAL COMMON STOCKS (Cost $21,247,682) 20,630,868 ---------------- RIGHTS/WARRANTS -- (0.0%) * Bangkok Land Public Co., Ltd. (Foreign) Warrants 2006 217,330 0 ---------------- (Cost $0) TOTAL -- THAILAND (Cost $21,247,682) 20,630,868 ----------------
24 INDONESIA -- (4.6%) COMMON STOCKS -- (4.6%) * PT Artha Graya Investama Sentral Tbk 4,773,000 65,106 PT Asahimas Flat Glass Tbk 1,271,000 353,579 PT Astra Agro Lestari Tbk 6,656,000 2,549,611 PT Astra Graphia Tbk 4,549,000 164,579 PT Bank NISP Tbk 13,832,920 1,360,657 * PT Batu Buana 77,715 1,062 PT Berlian Laju Tanker Tbk 14,767,200 1,456,914 PT Bhakti Investama Tbk 9,031,500 222,462 * PT Branta Mulia Tbk 66,000 6,934 * PT Budi Acid Jaya Tbk 1,449,000 17,446 * PT Charoen Pokphand Indonesia Tbk 3,406,500 153,760 PT Citra Marga Nusaphala Persada 6,649,500 649,167 * PT Clipan Finance Indonesia Tbk 3,133,000 113,150 PT Dankos Laboratories Tbk 6,022,800 644,538 * PT Davomas Adabi Tbk 20,960,000 320,091 * PT Dharmala Intiland 277,400 9,343 PT Dynaplast Tbk 1,038,000 160,523 PT Enseval Putera Megatrading Tbk 6,380,000 481,972 * PT Eterindo Wahanatama Tbk 397,000 9,335 * PT Ever Shine Textile Tbk 4,029,640 31,753 * PT GT Petrochem Industries Tbk 918,000 48,749 * PT Hero Supermarket Tbk 33,000 10,950 * PT Indal Aluminium Industry 47,000 1,189 PT Indorama Synthetics Tbk 2,211,000 139,127 * PT Jaya Real Property Tbk 393,500 98,848 PT Kalbe Farma Tbk 25,907,600 2,114,538 * PT Karwell Indonesia Tbk 138,000 5,945 * PT Kawasan Industry Jababeka Tbk 43,401,000 568,021 * PT Keramika Indonesia Assosiasi Tbk 100,000 1,839 PT Komatsu Indonesia Tbk 860,000 357,609 PT Lautan Luas Tbk 1,887,500 124,948 PT Matahari Putra Prima Tbk 2,609,000 155,838 PT Mayorah Indah Tbk 2,473,500 310,980 * PT Metrodata Electronics Tbk 3,981,000 37,436 * PT Modern Photo Tbk 40,000 2,433 * PT Mulia Industrindo 542,000 16,449 * PT Mustika Ratu Tbk 723,000 30,300 * PT Pakuwon Jati Tbk 63,000 3,111 * PT Panasia Indosyntec Tbk 79,000 4,150 * PT Panin Insurance Tbk 7,979,000 255,175 * PT Prasidha Aneka Niaga Tbk 84,000 794 PT Pudjiadi Prestige, Ltd. Tbk 45,500 1,315 * PT Putra Sejahtera Pioneerindo 29,000 1,219 PT Rig Tenders Indonesia Tbk 1,780,000 167,429 PT Selamat Semp Tbk 1,920,000 60,202 * PT Semen Cibinong Tbk 702,000 34,951 * PT Sinar Mas Agro Resources and Technology Tbk 87,792 38,970 PT Summarecon Agung Tbk 6,332,000 636,078
25 * PT Sunson Textile Manufacturer Tbk 343,000 10,995 * PT Suparma Tbk 2,400,000 66,967 * PT Surabaya Agung Industri Pulp & Paper 64,500 440 * PT Surya Dumai Industri Tbk 3,298,500 124,759 * PT Suryamas Dutamakmur 125,000 2,430 PT Tempo Scan Pacific Tbk 471,500 345,518 * PT Texmaco Jaya Tbk 93,000 28,824 PT Timah Tbk 1,701,000 409,955 PT Trias Sentosa Tbk 9,198,400 178,941 PT Trimegah Sec Tbk 9,961,000 151,600 PT Tunas Ridean Tbk 1,987,000 172,941 * PT Ultrajaya Milk Industry & Trading Co. Tbk 390,000 12,289 PT Unggul Indah Corp. Tbk 48,239 15,205 PT United Tractors 501,760 172,284 * PT Wicaksana Overseas International 28,560 390 ---------------- TOTAL -- INDONESIA (Cost $8,065,050) 15,694,113 ---------------- POLAND -- (2.2%) COMMON STOCKS -- (2.2%) * Amica Wronki SA 18,410 170,405 * Budimex SA 33,325 487,162 * Cersanit-Krasnystaw SA 22,217 709,727 * Computerland SA 14,630 437,669 Debica SA 22,742 557,751 * Echo Investment SA 23,155 603,956 * Fabryki Mebli Forte SA 39,475 126,145 * Farmacol SA 39,250 349,870 * Huta Ferrum SA 309 813 * Impexmetal SA 26,519 319,649 * IVAX Corp. 24,547 461,700 Kroscienskie Huty Szkla Krosno SA 2,000 61,011 * Lentex SA 13,464 59,112 * Mostostal Export SA 42,087 13,130 Mostostal Siedlce SA 17,520 153,065 * Mostostal Warszawa SA 18,600 33,784 * Mostostal Zabrze Holding SA 18,293 3,898 Netia Holdings SA 117,106 131,888 * Ocean Company SA 8,530 302 * Optimus Technologie 7,500 15,560 Orbis SA 32,000 215,923 Polifarb Cieszyn Wroclaw SA 98,435 198,546 Polska Grupa Farmaceutyczna SA 25,329 400,255 * Prosper SA 12,770 40,664 Przedsiebiorstwo Farmaceutyczne JELFA SA 14,330 247,098 * Przedsiebiorstwo Telekomunikacyjne Szeptel A.S. 16,774 18,735 * Raciborska Fabryka Kotlow SA 37,758 134,029 * Softbank SA 51,313 374,027 * Stalexport SA 90,737 47,875 * Ster-Projekt SA 20,650 46,143 Zaklad Przetworstwa Hutniczego Stalprodukt SA 8,169 169,675 Zaklady Metali Lekkich Kety SA 19,615 637,825 * Zaklady Tluszcowe Kruszwica SA 23,610 195,267 ---------------- TOTAL -- POLAND (Cost $4,725,756) 7,422,659 ----------------
26 PHILIPPINES -- (1.9%) COMMON STOCKS -- (1.9%) Alaska Milk Corp. 1,404,000 82,573 Bacnotan Consolidated Industries, Inc. 122,234 25,764 * Belle Corp. 20,937,000 450,448 * C & P Homes, Inc. 6,477,000 30,626 * Digital Telecommunications (Philippines), Inc. 20,973,000 422,152 EDSA Properties Holdings, Inc. 1,759,970 22,096 * EEI Corp. 1,108,000 12,048 * Fil-Estate Land, Inc. 3,170,700 32,323 * Filinvest Development Corp. 4,664,500 105,830 * Filinvest Land, Inc. 25,798,050 670,692 Ginebra San Miguel, Inc. 1,065,200 604,620 * Global Equities, Inc. 886,462 1,330 * House of Investments, Inc. 732,000 16,502 * International Container Terminal Services, Inc. 4,593,837 629,908 * Ionics, Inc. 769,825 18,535 * iVantage Corp. 593,400 7,682 Keppel Philippines Marine, Inc. 610,000 6,716 * Lepanto Consolidated Mining Co. Series B 1,925,000 11,976 * Mabuhay Holdings Corp. 516,000 1,419 * Macroasia Corp. 2,237,500 73,450 * Manila Jockey Club, Inc. 130,622 7,203 * Megaworld Properties & Holdings, Inc. 21,843,500 551,118 * Metro Pacific Corp. 45,763,860 316,917 * Philex Mining Corp. Series B 150,000 2,801 * Philippine Bank of Communications 14,726 18,623 * Philippine National Bank 929,975 595,625 * Philippine National Construction Corp. 173,000 10,702 Philippine Savings Bank 317,212 191,862 * Pilipino Telephone Corp. 1,692,000 98,929 * Prime Orion Philippines, Inc. 2,920,000 12,042 Republic Glass Holding Corp. 507,500 17,208 * RFM Corp. 2,378,934 34,882 Robinson's Land Corp. Series B 3,402,000 301,903 Security Bank Corp. 320,842 172,196 SM Development Corp. 4,971,000 142,067 Soriano (A.) Corp. 3,430,211 124,880 Union Bank of the Philippines 47,500 24,785 * United Paragon Mining Corp. 322,500 1,182 * Universal Rightfield Property Holdings, Inc. 1,062,000 545 Universal Robina Corp. 3,158,100 754,635 * Victorias Milling Co., Inc. 139,680 2,228 * Vitarich Corp. 176,000 864 ---------------- TOTAL -- PHILIPPINES (Cost $6,061,276) 6,609,887 ----------------
27 INDIA -- (1.4%) COMMON STOCKS -- (1.4%) * Adani Exports, Ltd. 128,535 187,130 * Alstom Projects India, Ltd. 38,197 210,134 * Amtek Auto, Ltd. 54,884 195,459 * Apollo Hospitals Enterprise, Ltd. 23,706 176,257 * Asahi India Glass, Ltd. 45,571 186,677 * Aurobindo Pharmaceuticals, Ltd. 28,933 194,328 * Bajaj Hindusthan, Ltd. 26,228 84,050 * Ballarpur Industries, Ltd. 47,630 130,688 * Balrampur Chini Mills, Ltd. 132,104 171,186 * Birla Corp., Ltd. 17,000 70,584 * Bombay Dyeing & Manufacturing Co., Ltd. 11,587 83,236 * Chambal Fertilizers & Chemicals, Ltd. 121,939 88,792 * Divi's Laboratories, Ltd. 3,849 95,526 * Federal Bank, Ltd. 19,761 74,868 * Glaxosmithkline Consumer Healthcare, Ltd. 12,364 105,404 * GTL, Ltd. 42,241 96,565 * Hexaware Technologies, Ltd. 66,714 194,257 * Hinduja TMT, Ltd. 12,284 94,496 * Hindustan Construction, Ltd. 6,012 75,804 * Hotel Leelaventure, Ltd. 21,274 95,667 * IndusInd Bank, Ltd. 85,132 119,504 * Ispat Industries, Ltd. 394,710 186,603 Jammu & Kashmir Bank, Ltd. 14,566 111,881 * Jindal Stainless, Ltd. 33,010 74,793 * Marico, Ltd. 29,761 181,568 * Max India, Ltd. 12,128 158,222 * McDowell & Co., Ltd. 29,475 196,299 * Micro Inks, Ltd. 6,793 90,182 * Motherson Sumi Systems, Ltd. 133,835 199,765 * Pantaloon Retail India, Ltd. 2,578 69,775 * Pidilite Industries, Ltd. 5,780 61,927 * Shree Cement, Ltd. 10,463 83,465 * Sterling Biotech, Ltd. 73,211 134,269 * Sundram Fastners, Ltd. 59,875 182,714 * Thermax, Ltd. 13,251 195,886 * Titan Industries, Ltd. 12,697 86,986 * Tube Investments of India, Ltd. 11,099 78,479 * TVS Motor Co., Ltd. 60,259 102,137 ---------------- TOTAL -- INDIA (Cost $4,991,989) 4,925,563 ----------------
28 HUNGARY -- (1.4%) COMMON STOCKS -- (1.4%) * Danubius Hotel & Spa RT 58,038 1,307,560 Delmagyarorszagi Aramszolgaltato Demasz RT 15,581 1,039,675 * Fotex First Hungarian-American Photo Service Co. 749,391 905,560 * Globus Konzervipari RT 101,338 186,259 * Mezogazdasagi Gepgyarto Reszvenytarsasag (Mezogep) 67,414 417,005 * North American Business Industries RT 51,024 62,913 * Pannonplast P.L.C. 39,441 286,134 * Raba Hungarian Railway Carriage & Machine Works 143,528 459,296 * Synergon Information Systems Ltd., Budapest 30,190 70,218 Zwack Unicum Liqueur Industry & Trading Co., Ltd. 1,100 49,693 ---------------- TOTAL -- HUNGARY (Cost $4,841,731) 4,784,313 ---------------- ARGENTINA -- (0.7%) COMMON STOCKS -- (0.7%) * Alpargatas SA Industrial y Comercial 1,007 1,212 Banco del Sud Sociedad Anonima Series B 89,000 118,836 * Banco Suquia SA 76,789 12,532 * Capex SA Series A 26,370 49,990 Celulosa Argentina SA Series B 6,375 7,524 * Central Costanera SA Series B 50,000 56,047 * Central Puerto SA Series B 61,000 34,591 Cresud SA Comercial Industrial Financiera y Agropecuaria 201,401 249,663 DYCASA SA (Dragados y Construcciones Argentina) Series B 23,052 24,510 * Ferrum SA de Ceramica y Metalurgica Series B 25,200 29,079 Fiplasto SA Comercial y Industrial 12,000 5,104 * Garovaglio y Zorraquin SA 14,160 2,427 Importadora y Exportadora de la Patagonia Series B 11,500 68,246 Introductora de Buenos Aires SA Series A 9,832 4,862 * IRSA Inversiones y Representaciones SA 379,635 453,085 * Juan Minetti SA 131,531 144,403 Ledesma S.A.A.I. 387,128 227,185 * Metrogas SA Series B 90,000 40,057 * Polledo SA Industrial y Constructora y Financiera 88,891 19,635 * Quimica Estrella SA Series B 30,460 9,440 * Renault Argentina SA 624,451 169,847 * Sol Petroleo SA 50,662 13,178 Solvay Indupa S.A.I.C. 440,500 595,435 ---------------- TOTAL COMMON STOCKS (Cost $2,451,971) 2,336,888 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Argentine Peso 118,681 ---------------- (Cost $116,655) TOTAL -- ARGENTINA (Cost $2,568,626) 2,455,569 ---------------- UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * TTI Team Telecom International, Ltd. 2,940 6,791 ---------------- (Cost $12,241)
29 FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (0.8%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $2,710,000 FNMA Notes 2.95%, 11/14/07, valued at $2,706,613) to be repurchased at $2,666,214 $ 2,666 2,666,000 ---------------- (Cost $2,666,000) TOTAL INVESTMENTS - (100.0%) (Cost $283,588,855) $ 341,627,598 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 30 THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
FACE AMOUNT VALUE+ ------ ------ (000) UNITED STATES -- (50.8%) AGENCY OBLIGATIONS -- (33.4%) Federal Farm Credit Bank 2.750%, 09/29/06 $ 141,060 $ 139,294,070 Federal Home Loan Bank 2.875%, 08/15/06 17,000 16,839,044 2.625%, 10/16/06 66,000 65,062,206 3.375%, 02/23/07 70,000 69,598,340 Federal Home Loan Mortgage Corporation 2.750%, 08/15/06 31,500 31,152,744 2.750%, 10/15/06 105,000 103,664,505 3.750%, 04/15/07 26,000 26,010,920 Federal National Mortgage Association 4.375%, 10/15/06 121,000 122,078,594 2.375%, 02/15/07 50,000 48,866,550 ---------------- TOTAL AGENCY OBLIGATIONS (Cost $628,366,597) 622,566,973 ---------------- BONDS -- (17.4%) Bank of America Corp. 5.250%, 02/01/07 52,700 53,803,591 Citigroup, Inc. 6.250%, 05/15/06 21,079 21,532,220 5.500%, 08/09/06 6,600 6,712,497 General Electric Capital Corp. 2.970%, 07/26/06 45,200 44,760,340 KFW International Finance, Inc. 5.250%, 06/28/06 45,000 45,646,920 Landesbank Baden-Wuerttemberg 4.150%, 03/30/07 53,000 53,159,742 Toyota Motor Credit Corp. 3.000%, 06/09/06 40,000 39,605,920 2.900%, 07/14/06 5,200 5,134,256 US Bank NA 2.850%, 11/15/06 7,000 6,889,652 Wal-Mart Stores, Inc. 5.450%, 08/01/06 28,323 28,815,367 Wells Fargo & Co. 5.900%, 05/21/06 17,035 17,350,556 ---------------- TOTAL -- BONDS (Cost $325,474,332) 323,411,061 ---------------- TOTAL -- UNITED STATES (Cost $953,840,929) 945,978,034 ---------------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (14.6%) BONDS -- (14.6%) Asian Development Bank 4.875%, 02/05/07 51,500 52,595,920 Council of Europe 4.875%, 01/23/07 53,000 53,936,669 European Bank For Reconstruction & Development 5.375%, 06/15/06 $ 49,700 $ 50,389,389 European Investment Bank 3.000%, 08/15/06 34,000 33,794,946 4.875%, 09/06/06 16,500 16,747,533 Inter-American Development Bank 6.625%, 03/07/07 10,600 11,134,314 International Finance Corp. 4.750%, 04/30/07 7,700 7,836,752 World Bank (International Bank for Reconstruction & Development) Corporate Bonds 4.375%, 09/28/06 44,500 44,950,295 ---------------- TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS (Cost $272,520,661) 271,385,818 ---------------- CANADA -- (7.8%) BONDS -- (7.8%) British Columbia, Province of 4.625%, 10/03/06 48,500 49,129,239 Canadian Government 6.750%, 08/28/06 46,700 48,444,151 Manitoba, Province of 4.250%, 11/20/06 47,000 47,334,476 ---------------- TOTAL -- CANADA (Cost $146,414,630) 144,907,866 ---------------- GERMANY -- (5.7%) BONDS -- (5.7%) Landeskreditbank Baden-Wuerttemberg-Foerderbank 4.875%, 01/30/07 53,000 53,868,458 Landwirtschaft Rentenbank 4.500%, 10/23/06 49,737 50,221,390 4.875%, 03/12/07 3,000 3,051,069 ---------------- TOTAL -- GERMANY (Cost $107,871,824) 107,140,917 ---------------- NETHERLANDS -- (4.5%) BONDS -- (4.5%) Bank Nederlandse Gemeenten 4.500%, 12/14/06 43,000 43,448,576 Nederlandse Waterschapsbank NV 6.875%, 10/26/06 10,000 10,395,470 Rabobank 5.750%, 05/25/06 30,000 30,575,580 ---------------- TOTAL -- NETHERLANDS (Cost $84,927,406) 84,419,626 ----------------
63
FACE AMOUNT VALUE+ ------ ------ (000) AUSTRIA -- (3.3%) BONDS -- (3.3%) Bank Austria AG 5.750%, 06/08/06 $ 10,000 $ 10,189,910 Oesterreichische Kontrollbank AG 5.125%, 03/20/07 50,000 51,232,100 ---------------- TOTAL -- AUSTRIA (Cost $61,204,193) 61,422,010 ---------------- SPAIN -- (2.7%) BONDS -- (2.7%) Institut de Credito Oficial 4.625%, 11/29/06 (Cost $50,944,882) 50,000 50,524,200 ---------------- SWEDEN -- (2.7%) BONDS -- (2.7%) Swedish Export Credit Corp. 4.625%, 11/06/06 15,000 15,168,735 2.875%, 01/26/07 35,000 34,448,400 ---------------- TOTAL -- SWEDEN (Cost $49,981,036) 49,617,135 ---------------- NORWAY -- (2.5%) BONDS -- (2.5%) Eksportfinans ASA 5.750%, 06/06/06 (Cost $47,042,721) 45,700 46,613,269 ---------------- DENMARK -- (2.4%) BONDS -- (2.4%) Denmark (Kingdom of) 5.125%, 12/28/06 (Cost $44,120,887) 43,000 43,930,864 ---------------- UNITED KINGDOM -- (1.5%) BONDS -- (1.5%) BP Capital Markets P.L.C. 2.350%, 06/15/06 $ 14,000 $ 13,785,002 2.750%, 12/29/06 15,066 14,828,157 ---------------- TOTAL -- UNITED KINGDOM (Cost $28,660,972) 28,613,159 ---------------- FRANCE -- (0.8%) BONDS -- (0.8%) Dexia Municipal Agency 5.125%, 09/11/06 (Cost $15,420,689) 15,000 15,223,185 ---------------- TEMPORARY CASH INVESTMENTS -- (0.7%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $12,453,000 FNMA Notes 2.95%, 11/14/07, valued at $12,437,434) to be repurchased at $12,253,984 (Cost $12,253,000) 12,253 12,253,000 ---------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,875,203,830) $ 1,862,029,083 ================
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 64 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED)
THE U.S. THE U.S. THE U.S. THE DFA LARGE LARGE CAP SMALL INTERNATIONAL COMPANY VALUE CAP VALUE SERIES SERIES SERIES SERIES ------------- ------------- ------------- --------------- ASSETS: Investments at Value (including $227,963, $153,810, $109,475, and $845,639 of securities on loan, respectively) $ 4,102,019 $ 4,963,825 $ 2,618,370 $ 4,364,903 Cash 3,232 1 -- -- Receivables: Investment Securities Sold -- 1,427 6,861 122 Dividends, Interest, and Tax Reclaims 6,559 6,334 1,100 11,301 Securities Lending Income 39 260 318 1,018 Fund Shares Sold 2,597 6,047 669 6,763 Prepaid Expenses and Other Assets 24 20 14 17 ------------- ------------- ------------- --------------- Total Assets 4,114,470 4,977,914 2,627,332 4,384,124 ------------- ------------- ------------- --------------- LIABILITIES: Payables: Upon Return of Securities Loaned 234,937 159,527 119,676 897,593 Investment Securities Purchased -- 29,501 5,820 9,084 Fund Shares Redeemed 693 109 128 323 Due to Advisor 79 387 61 575 Loan Payable -- -- -- 241 Payable for Futures Margin Variation 435 -- -- -- Accrued Expenses and Other Liabilities 202 259 141 247 ------------- ------------- ------------- --------------- Total Liabilities 236,346 189,783 125,826 908,063 ------------- ------------- ------------- --------------- NET ASSETS $ 3,878,124 $ 4,788,131 $ 2,501,506 $ 3,476,061 ============= ============= ============= =============== SHARES OUTSTANDING $0.01 PAR VALUE N/A 247,661,374 166,281,387 221,948,580 ============= ============= ============= =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE N/A $ 19.33 $ 15.04 $ 15.66 ============= ============= ============= =============== Investments at Cost $ 3,221,537 $ 3,977,265 $ 2,385,238 $ 3,763,256 ============= ============= ============= =============== THE THE UNITED THE THE JAPANESE PACIFIC RIM KINGDOM CONTINENTAL SMALL SMALL SMALL SMALL COMPANY COMPANY COMPANY COMPANY SERIES SERIES SERIES SERIES ------------- ------------- ------------- --------------- ASSETS: Investments at Value (including $202,651, $57,424, $10,136, and $179,113 of securities on loan, respectively) $ 1,006,274 $ 402,012 $ 472,087 $ 1,006,082 Cash 15 5 15 15 Receivables: Investment Securities Sold -- 1,076 3,250 675 Dividends, Interest, and Tax Reclaims 5,404 691 1,508 2,027 Securities Lending Income 308 63 10 253 Fund Shares Sold 73 155 2,017 59 Prepaid Expenses and Other Assets 6 2 2 3 ------------- ------------- ------------- --------------- Total Assets 1,012,080 404,004 478,889 1,009,114 ------------- ------------- ------------- --------------- LIABILITIES: Payables: Upon Return of Securities Loaned 219,524 65,492 10,865 189,883 Investment Securities Purchased 7,372 4,313 14,795 2,152 Fund Shares Redeemed -- 42 1 4 Due to Advisor 66 28 36 68 Accrued Expenses and Other Liabilities 88 60 63 115 ------------- ------------- ------------- --------------- Total Liabilities 227,050 69,935 25,760 192,222 ------------- ------------- ------------- --------------- NET ASSETS $ 785,030 $ 334,069 $ 453,129 $ 816,892 ============= ============= ============= =============== Investments at Cost $ 994,844 $ 395,816 $ 376,365 $ 724,615 ============= ============= ============= ===============
See accompanying Notes to Financial Statements. 65
THE THE EMERGING THE DFA EMERGING MARKETS TWO-YEAR GLOBAL MARKETS SMALL CAP FIXED INCOME SERIES SERIES SERIES ------------ ------------ --------------- ASSETS: Investments at Value $ 1,387,658 $ 341,628 $ 1,862,029 Cash 15 16 16 Receivables: Investment Securities Sold 15,037 -- -- Dividends, Interest, and Tax Reclaims 5,947 1,237 20,184 Fund Shares Sold 773 386 2,197 Prepaid Expenses and Other Assets 6 1 8 ------------ ------------ --------------- Total Assets 1,409,436 343,268 1,884,434 ------------ ------------ --------------- LIABILITIES: Payables: Investment Securities Purchased 1,089 1,701 -- Fund Shares Redeemed 1 -- -- Due to Advisor 115 56 78 Deferred Thailand Capital Gains Tax 3,562 430 -- Accrued Expenses and Other Liabilities 236 84 123 ------------ ------------ --------------- Total Liabilities 5,003 2,271 201 ------------ ------------ --------------- NET ASSETS $ 1,404,433 $ 340,997 $ 1,884,233 ============ ============ =============== SHARES OUTSTANDING $0.01 PAR VALUE N/A N/A 188,475,872 ============ ============ =============== NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE N/A N/A $ 10.00 ============ ============ =============== Investments at Cost $ 981,452 $ 283,589 $ 1,875,204 ============ ============ ===============
See accompanying Notes to Financial Statements. 66 STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (UNAUDITED)
THE U.S. THE U.S. THE U.S. THE DFA LARGE LARGE CAP SMALL INTERNATIONAL COMPANY VALUE CAP VALUE SERIES SERIES SERIES SERIES ------------- ------------- ------------- --------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, and $6,624, respectively) $ 32,510 $ 30,069 $ 10,397 $ 59,004 Interest 1,014 644 279 243 Income from Securities Lending 94 501 1,451 2,820 ------------- ------------- ------------- --------------- Total Investment Income 33,618 31,214 12,127 62,067 ------------- ------------- ------------- --------------- EXPENSES Investment Advisory Services 459 2,171 365 3,260 Accounting & Transfer Agent Fees 275 610 341 655 Custodian Fees 68 206 116 381 Legal Fees 13 8 5 8 Audit Fees 19 18 10 12 S&P 500 Fees 40 -- -- -- Shareholders' Reports 21 20 11 14 Trustees' Fees and Expenses 16 16 8 10 Other 31 30 18 42 ------------- ------------- ------------- --------------- Total Expenses 942 3,079 874 4,382 ------------- ------------- ------------- --------------- NET INVESTMENT INCOME (LOSS) 32,676 28,135 11,253 57,685 ------------- ------------- ------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold (16,162) 33,983 87,072 62,333 Net Realized Gain (Loss) on Futures 3,238 -- -- -- Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- (82) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 69,706 146,995 (134,361) (67,392) Translation of Foreign Currency Denominated Amounts -- -- -- (654) Futures (1,348) -- -- -- ------------- ------------- ------------- --------------- NET GAIN (LOSS) 55,434 180,978 (47,289) (5,795) ------------- ------------- ------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 88,110 $ 209,113 $ (36,036) $ 51,890 ============= ============= ============= ===============
See accompanying Notes to Financial Statements. 67
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 $474, $160, $0 and $1,905, respectively) $ 6,294 $ 6,272 $ 6,108 $ 11,783 Interest 73 45 55 83 Income from Securities Lending 1,721 358 36 953 ------------- ------------- ------------ ------------ Total Investment Income 8,088 6,675 6,199 12,819 ------------- ------------- ------------ ------------ EXPENSES Investment Advisory Services 366 168 214 382 Accounting & Transfer Agent Fees 321 203 234 329 Custodian Fees 130 92 40 198 Legal Fees 2 1 1 2 Audit Fees 3 1 2 3 Shareholders' Reports 3 1 2 4 Trustees' Fees and Expenses 2 1 1 3 Other 11 5 6 12 ------------- ------------- ------------ ------------ Total Expenses 838 472 500 933 ------------- ------------- ------------ ------------ NET INVESTMENT INCOME (LOSS) 7,250 6,203 5,699 11,886 ------------- ------------- ------------ ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 5,269 4,275 4,575 15,308 Net Realized Gain (Loss) on Foreign Currency Transactions (3) 46 (49) (166) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 42,645 (17,021) (1,088) 22,727 Translation of Foreign Currency Denominated Amounts (204) (8) (5) (120) ------------- ------------- ------------ ------------ NET GAIN (LOSS) 47,707 (12,708) 3,433 37,749 ------------- ------------- ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 54,957 $ (6,505) $ 9,132 $ 49,635 ============= ============= ============ ============
See accompanying Notes to Financial Statements. 68
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 $2,719, $438 and, $0, respectively) $ 25,129 $ 5,439 -- Interest 121 42 $ 26,070 ------------ ------------ --------------- Total Investment Income 25,250 5,481 26,070 ------------ ------------ --------------- EXPENSES Investment Advisory Services 657 300 447 Accounting & Transfer Agent Fees 407 187 392 Custodian Fees 713 231 59 Legal Fees 4 1 4 Audit Fees 5 1 9 Shareholders' Reports 6 1 9 Directors' Fees and Expenses 5 1 7 Other 22 6 11 ------------ ------------ --------------- Total Expenses 1,819 728 938 ------------ ------------ --------------- NET INVESTMENT INCOME (LOSS) 23,431 4,753 25,132 ------------ ------------ --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 9,968 2,819 (6,009) Net Realized Gain (Loss) on Foreign Currency Transactions (877) (94) 7,070 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 61,977 3,620 (7,241) Translation of Foreign Currency Denominated Amounts (25) 4 (1,735) Deferred Thailand Capital Gains Tax 114 99 -- ------------ ------------ --------------- NET GAIN (LOSS) 71,157 6,448 (7,915) ------------ ------------ --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 94,588 $ 11,201 $ 17,217 ============ ============ ===============
See accompanying Notes to Financial Statements. 69 THE DFA INVESTMENT TRUST COMPANY 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, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 32,676 $ 65,462 $ 28,135 $ 45,093 Net Realized Gain (Loss) on Investment Securities Sold (16,162) (2,763) 33,983 84,609 Net Realized Gain (Loss) on Futures 3,238 9,374 -- -- Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 69,706 317,965 146,995 496,658 Translation of Foreign Currency Denominated Amounts -- -- -- -- Futures (1,348) 714 -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 88,110 390,752 209,113 626,360 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income -- -- (26,329) (33,641) Net Short-Term Gains -- -- -- -- Net Long-Term Gains -- -- (3,972) -- ----------- ----------- ----------- ----------- Total Distributions -- -- (30,301) (33,641) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued -- -- 677,006 857,913 Shares Issued in Lieu of Cash -- -- Distributions -- -- 28,649 32,697 Shares Redeemed -- -- (16,249) (74,078) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions -- -- 689,406 816,532 ----------- ----------- ----------- ----------- Transactions in Interest: Contributions 465,880 571,038 -- -- Withdrawals (169,785) (468,868) -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest 296,095 102,170 -- -- ----------- ----------- ----------- ----------- Total Increase (Decrease) 384,205 492,922 868,218 1,409,251 NET ASSETS Beginning of Period 3,493,919 3,000,997 3,919,913 2,510,662 ----------- ----------- ----------- ----------- End of Period $ 3,878,124 $ 3,493,919 $ 4,788,131 $ 3,919,913 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued N/A N/A 35,683 50,791 Shares Issued in Lieu of Cash Distributions N/A N/A 1,509 1,939 Shares Redeemed N/A N/A (857) (4,363) ----------- ----------- 36,335 48,367 =========== =========== THE U.S. THE DFA SMALL CAP INTERNATIONAL VALUE SERIES SERIES ------------------------ ------------------------ SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 11,253 $ 15,072 $ 57,685 $ 49,525 Net Realized Gain (Loss) on Investment Securities Sold 87,072 113,151 62,333 115,062 Net Realized Gain (Loss) on Futures -- -- -- -- Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (82) (332) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (134,361) 180,068 (67,392) 436,284 Translation of Foreign Currency Denominated Amounts -- -- (654) 162 Futures -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations (36,036) 308,291 51,890 600,701 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (10,150) (10,116) (26,491) (44,310) Net Short-Term Gains (18,608) (638) (2,493) -- Net Long-Term Gains (94,497) -- (104,987) -- ----------- ----------- ----------- ----------- Total Distributions (123,255) (10,754) (133,971) (44,310) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 279,725 890,063 664,859 728,312 Shares Issued in Lieu of Cash Distributions 122,467 10,424 131,569 42,852 Shares Redeemed (62,485) (345,420) (42,329) (128,290) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 339,707 555,067 754,099 642,874 ----------- ----------- ----------- ----------- Transactions in Interest: Contributions -- -- -- -- Withdrawals -- -- -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest -- -- -- -- ----------- ----------- ----------- ----------- Total Increase (Decrease) 180,416 852,604 672,018 1,199,265 NET ASSETS Beginning of Period 2,321,090 1,468,486 2,804,043 1,604,778 ----------- ----------- ----------- ----------- End of Period $ 2,501,506 $ 2,321,090 $ 3,476,061 $ 2,804,043 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 18,288 60,867 41,322 51,724 Shares Issued in Lieu of Cash Distributions 7,940 728 8,398 3,072 Shares Redeemed (4,219) (23,461) (2,638) (9,358) ----------- ----------- ----------- ----------- 22,009 38,134 47,082 45,438 =========== =========== =========== ===========
See accompanying Notes to Financial Statements. 70 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, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 7,250 $ 6,488 $ 6,203 $ 7,693 Net Realized Gain (Loss) on Investment Securities Sold 5,269 4,671 4,275 8,924 Net Realized Gain (Loss) on Foreign Currency Transactions (3) (28) 46 69 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 42,645 101,600 (17,021) 37,804 Translation of Foreign Currency Denominated Amounts (204) 127 (8) 16 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 54,957 112,858 (6,505) 54,506 ----------- ----------- ----------- ----------- Transactions in Interest: Contributions 131,321 214,817 63,123 82,852 Withdrawals (6,380) (6,242) (5,548) (11,124) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest 124,941 208,575 57,575 71,728 ----------- ----------- ----------- ----------- Total Increase (Decrease) 179,898 321,433 51,070 126,234 NET ASSETS Beginning of Period 605,132 283,699 282,999 156,765 ----------- ----------- ----------- ----------- End of Period $ 785,030 $ 605,132 $ 334,069 $ 282,999 =========== =========== =========== =========== 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, 2005 2004 2005 2004 ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 5,699 $ 7,631 $ 11,886 $ 11,410 Net Realized Gain (Loss) on Investment Securities Sold 4,575 7,907 15,308 20,346 Net Realized Gain (Loss) on Foreign Currency Transactions (49) (42) (166) 114 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (1,088) 56,621 22,727 139,855 Translation of Foreign Currency Denominated Amounts (5) (12) (120) (20) ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 9,132 72,105 49,635 171,705 ----------- ----------- ----------- ----------- Transactions in Interest: Contributions 69,014 148,279 115,927 70,258 Withdrawals (2,780) (3,538) (3,314) (35,726) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest 66,234 144,741 112,613 34,532 ----------- ----------- ----------- ----------- Total Increase (Decrease) 75,366 216,846 162,248 206,237 NET ASSETS Beginning of Period 377,763 160,917 654,644 448,407 ----------- ----------- ----------- ----------- End of Period $ 453,129 $ 377,763 $ 816,892 $ 654,644 =========== =========== =========== ===========
See accompanying Notes to Financial Statements. 71
THE THE EMERGING THE DFA EMERGING MARKETS MARKETS SMALL CAP TWO-YEAR GLOBAL SERIES SERIES FIXED INCOME SERIES ------------------------ ------------------------ ------------------------ 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, 2005 2004 2005 2004 2005 2004 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 23,431 $ 22,194 $ 4,753 $ 3,243 $ 25,132 $ 29,405 Net Realized Gain (Loss) on Investment Securities Sold 9,968 84 2,819 10,731 (6,009) (6,273) Net Realized Gain (Loss) on Foreign Currency Transactions (877) (1,491) (94) (378) 7,070 (7,224) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 61,977 245,707 3,620 35,801 (7,241) (2,216) Translation of Foreign Currency Denominated Amounts (25) 61 4 42 (1,735) 1,735 Deferred Thailand Capital Gains Tax 114 (985) 99 410 -- -- ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 94,588 265,570 11,201 49,849 17,217 15,427 ----------- ----------- ----------- ----------- ----------- ----------- Distributions From: Net Investment Income -- -- -- -- (14,818) (21,943) Net Short-Term Gains -- -- -- -- -- (13,106) Net Long-Term Gains -- -- -- -- -- (354) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions -- -- -- -- (14,818) (35,403) ----------- ----------- ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued -- -- -- -- 202,753 536,479 Shares Issued in Lieu of Cash Distributions -- -- -- -- 14,792 35,234 Shares Redeemed -- -- -- -- (42,843) (40,215) ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions -- -- -- -- 174,702 531,498 ----------- ----------- ----------- ----------- ----------- ----------- Transactions in Interest: Contributions 181,980 377,916 94,933 89,119 -- -- Withdrawals (32,397) (90,785) (3,002) (18,847) -- -- ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest 149,583 287,131 91,931 70,272 -- -- ----------- ----------- ----------- ----------- ----------- ----------- Total Increase (Decrease) 244,171 552,701 103,132 120,121 177,101 511,522 NET ASSETS Beginning of Period 1,160,262 607,561 237,865 117,744 1,707,132 1,195,610 ----------- ----------- ----------- ----------- ----------- ----------- End of Period $ 1,404,433 $ 1,160,262 $ 340,997 $ 237,865 $ 1,884,233 $ 1,707,132 =========== =========== =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued N/A N/A N/A N/A 20,360 53,400 Shares Issued in Lieu of Cash Distributions N/A N/A N/A N/A 1,489 3,515 Shares Redeemed N/A N/A N/A N/A (4,300) (3,974) ----------- ----------- 17,549 52,941 =========== ===========
72 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (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 2.44%# 12.77% 15.05% (16.59)% (12.30)% (4.25)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,878,124 $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812 Ratio of Expenses to Average Net Assets 0.05%* 0.05% 0.05% 0.05% 0.05% 0.06% Ratio of Net Investment Income to Average Net Assets 1.78%* 1.99% 1.75% 1.53% 1.26% 1.12% Portfolio Turnover Rate 3%# 2% 8% 11% 8% 8% 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, 2005 2004 2003 2002 2001 2000 - ----------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.12 0.23 0.21 0.20 0.25 0.33 Net Gains (Losses) on Securities (Realized and Unrealized) 0.80 3.09 2.41 (1.43) 1.25 0.04 ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.92 3.32 2.62 (1.23) 1.50 0.37 - ----------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.12) (0.18) (0.22) (0.20) (0.27) (0.32) Net Realized Gains (0.02) -- -- -- (1.50) (3.13) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.14) (0.18) (0.22) (0.20) (1.77) (3.45) - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 19.33 $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 =================================================================================================================================== Total Return 4.97%# 21.68% 20.34% (8.64)% 10.97% 3.06% - ----------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 4,788,131 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343 Ratio of Expenses to Average Net Assets 0.14%* 0.15% 0.15% 0.15% 0.15% 0.16% Ratio of Net Investment Income to Average Net Assets 1.30%* 1.41% 1.62% 1.49% 1.66% 2.20% Portfolio Turnover Rate 3%# 7% 7% 9% 6% 26%
* Annualized # Non-annualized N/A+ Not applicable as The U.S. Large Company Series is organized as a partnership and does not have a unitized value. See accompanying Notes to Financial Statements. 73
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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.07 0.12 0.08 0.09 0.10 0.11 Net Gains (Losses) on Securities (Realized and Unrealized) (0.28) 2.22 3.92 (1.00) 1.24 0.65 ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations (0.21) 2.34 4.00 (0.91) 1.34 0.76 - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.07) (0.08) (0.09) (0.10) (0.10) (0.11) Net Realized Gains (0.77) (0.01) -- (0.14) (1.83) (1.22) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.84) (0.09) (0.09) (0.24) (1.93) (1.33) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.04 $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67 ================================================================================================================================== Total Return (1.43)%# 16.99% 40.32% (8.42)% 13.08 6.48% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 2,501,506 $ 2,321,090 $ 1,468,486 $ 851,901 $ 991,082 $ 768,151 Ratio of Expenses to Average Net Assets 0.07%* 0.07% 0.08% 0.08% 0.08% 0.08% Ratio of Net Investment Income to Average Net Assets 0.93%* 0.85% 0.84% 0.81% 0.94% 0.99% Portfolio Turnover Rate 9%# 16% 16% 34% 13% 38% 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.27 0.33 0.27 0.24 0.27 0.27 Net Gains (Losses) on Securities (Realized and Unrealized) 0.10 3.61 3.06 (0.78) (1.49) (0.31) ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.37 3.94 3.33 (0.54) (1.22) (0.04) - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.15) (0.30) (0.25) (0.25) (0.27) (0.26) Net Realized Gains (0.60) -- (0.01) (0.03) (0.43) (0.81) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.75) (0.30) (0.26) (0.28) (0.70) (1.07) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.66 $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 ================================================================================================================================== Total Return 2.31%# 32.15% 36.24% (5.53)% (10.75)% (0.51)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,476,061 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481 Ratio of Expenses to Average Net Assets 0.27%* 0.28% 0.30% 0.30% 0.29% 0.29% Ratio of Net Investment Income to Average Net Assets 3.55%* 2.35% 2.61% 2.36% 2.32% 2.13% Portfolio Turnover Rate 5%# 15% 14% 18% 6% 9%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 74
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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (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 8.94%# 32.73% 47.87% (9.62)% (13.51)% (9.93)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 785,030 $ 605,132 $ 283,699 $ 195,047 $ 196,187 $ 196,118 Ratio of Expenses to Average Net Assets 0.23%* 0.27% 0.28% 0.27% 0.28% 0.27% Ratio of Net Investment Income to Average Net Assets 1.99%* 1.45% 1.41% 1.26% 1.41% 1.38% Portfolio Turnover Rate 2%# 5% 16% 5% 9% 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (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 (1.72)%# 27.40% 61.47% 7.28% 2.84% (10.99)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 334,069 $ 282,999 $ 156,765 $ 121,637 $ 130,554 $ 131,888 Ratio of Expenses to Average Net Assets 0.28%* 0.32% 0.31% 0.32% 0.28% 0.29% Ratio of Net Investment Income to Average Net Assets 3.71%* 3.82% 3.35% 3.77% 3.69% 4.10% Portfolio Turnover Rate 3%# 11% 15% 26% 10% 7%
* Annualized # Non-annualized N/A+ Not applicable as The Japanese Small Company Series and The Pacific Rim Small Company Series are organized as partnerships and do not have unitized values. See accompanying Notes to Financial Statements. 75
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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (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 2.57%# 29.68% 44.65% (4.67)% (4.89)% (6.18)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 453,129 $ 377,763 $ 160,917 $ 98,899 $ 96,741 $ 109,806 Ratio of Expenses to Average Net Assets 0.23%* 0.27% 0.26% 0.26% 0.27% 0.26% Ratio of Net Investment Income to Average Net Assets 2.67%* 2.70% 3.25% 3.03% 2.86% 3.06% Portfolio Turnover Rate 5%# 7% 7% 6% 14% 11% 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, 2005 2004 2003 2002 2001 2000 - ----------------------------------------------------------------------------------------------------------------------------------- (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 7.81%# 36.57% 52.86% 3.22% (5.43)% 2.67% - ----------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 816,892 $ 654,644 $ 448,407 $ 263,068 $ 210,337 $ 226,724 Ratio of Expenses to Average Net Assets 0.24%* 0.26% 0.30% 0.31% 0.30% 0.28% Ratio of Net Investment Income to Average Net Assets 3.12%* 2.09% 2.49% 2.22% 2.73% 2.36% Portfolio Turnover Rate 3%# 9% 11% 12% 12% 9%
* Annualized # Non-annualized N/A+ Not applicable as The United Kingdom Small Company Series and The Continental Small Company Series are organized as partnerships and do not have unitized values. See accompanying Notes to Financial Statements. 76
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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (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 8.09%# 35.47% 39.67% 2.10% (8.54)% (22.30)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,404,433 $ 1,160,262 $ 607,561 $ 343,193 $ 307,720 $ 296,726 Ratio of Expenses to Average Net Assets 0.28%* 0.31% 0.34% 0.34% 0.46% 0.46% Ratio of Net Investment Income to Average Net Assets 3.58%* 2.63% 2.23% 1.64% 1.94% 1.33% Portfolio Turnover Rate 2%# 2% 1% 8% 6% 12% 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (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 5.38%# 35.22% 52.80% 13.07% (9.55)% (23.28)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 340,997 $ 237,865 $ 117,744 $ 40,379 $ 34,687 $ 32,572 Ratio of Expenses to Average Net Assets 0.49%* 0.52% 0.54% 0.51% 0.63% 0.66% Ratio of Net Investment Income to Average Net Assets 3.17%* 1.93% 2.44% 2.03% 2.17% 1.69% Portfolio Turnover Rate 2%# 11% 6% 16% 14% 20%
* Annualized # Non-annualized N/A+ Not applicable as The Emerging Markets Series and The Emerging Markets Small Cap Series are organized as partnerships and do not have unitized values. See accompanying Notes to Financial Statements. 77
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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 9.99 $ 10.13 $ 10.22 $ 10.03 $ 9.70 $ 10.11 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.17 0.12 0.25 0.30 0.44 0.84 Net Gains (Losses) on Securities (Realialized) (0.08) -- (0.01) 0.16 0.22 (0.23) ----------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.09 0.12 0.24 0.46 0.66 0.61 - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.08) (0.15) (0.19) (0.27) (0.14) (1.02) Net Realized Gains -- (0.11) (0.14) -- -- -- Return of Capital -- -- -- -- (0.19) -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.08) (0.26) (0.33) (0.27) (0.33) (1.02) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.00 $ 9.99 $ 10.13 $ 10.22 $ 10.03 $ 9.70 ================================================================================================================================== Total Return 0.95%# 1.22% 2.36% 4.60% 6.91% 6.30% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,884,233 $ 1,707,132 $ 1,195,610 $ 799,308 $ 596,209 $ 518,518 Ratio of Expenses to Average Net Assets 0.11%* 0.11% 0.13% 0.14% 0.15% 0.15% Ratio of Net Investment Income to Average Net Assets 2.82%* 1.96% 1.78% 3.20% 4.54% 5.03% Portfolio Turnover Rate 39%# 131% 144% 138% 113% 73%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 78 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, 2005, the Trust consisted of twenty-one investment portfolios ("the 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 "International Equity Portfolios") The DFA Two-Year Global Fixed Income Series (the "International Fixed Income Portfolio") (together, the "International Portfolios") B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the 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 requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day. Securities held by the Series that are listed on NASDAQ are valued at the NASDAQ Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Series values the securities at the mean between the quoted bid and asked prices. Securities held by the International Equity Portfolios that are listed on a securities exchange are valued at the last quoted sale price. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are available are valued at the mean between the most recent bid and asked prices. Fixed income instruments held by The DFA Two-Year Global Fixed Income Series are valued at the mean between the most recent quoted bid and asked prices or prices provided by a pricing service when such prices are believed to reflect the current market value of these securities. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Trustees. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the New York Stock Exchange (NYSE). For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time 79 the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Trustees of the Funds have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable, and may trigger fair value pricing. Consequently, fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Series utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of such prices will have a material impact on the net asset value of a Series. When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. 2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities of the 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 Two-Year Global Fixed Income Series may also enter into forward foreign currency contracts soley for the purpose of hedging against fluctuations in currency exchange rates. These contracts are also marked to market daily based on daily exchange rates. The International Equity Portfolios do not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. However, The DFA Two-Year Global Fixed Income Series 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 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. 80 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 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. The Portfolio'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 Trust. For the six months ended May 31, 2005, 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 Trust are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At May 31, 2005, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities as follows: The U.S. Large Company Series $ 58,041 The U.S. Large Cap Value Series 67,547 The U.S. Small Cap Series 38,856 The DFA International Value Series 50,660 The Japanese Small Company Series 11,236 The Pacific Rim Small Company Series 5,339 The United Kingdom Small Company Series 6,759 The Continental Small Company Series 11,761 The Emerging Markets Series 20,595 The Emerging Markets Small Cap Series 4,565 The DFA Two-Year Global Fixed Income Series 27,975
81 E. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2005, 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 -- -- $ 423,290 $ 99,310 The U.S. Large Cap Value Series -- -- 765,051 122,559 The U.S. Small Cap Series -- -- 437,486 209,714 The DFA International Value Series -- -- 843,507 165,589 The Japanese Small Company Series -- -- 148,731 11,669 The Pacific Rim Small Company Series -- -- 76,340 9,687 The United Kingdom Small Company Series -- -- 88,705 19,689 The Continental Small Company Series -- -- 151,068 25,106 The Emerging Markets Series -- -- 183,827 32,326 The Emerging Markets Small Cap Series -- -- 104,948 6,200 The DFA Two-Year Global Fixed Income Series $ 170,861 $ 185,092 704,272 492,688
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. 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 respective partners. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL ------------- ------------- --------- The U.S. Large Cap Value Series 2004 $ 33,641 -- $ 33,641 2003 31,464 -- 31,464 The U.S. Small Cap Series 2004 10,754 -- 10,754 2003 8,820 -- 8,820 The DFA International Value Series 2004 44,310 -- 44,310 2003 30,082 $ 1,177 31,259 The DFA Two-Year Global Fixed Income Series 2004 35,086 317 35,403 2003 17,698 10,965 28,663
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. 82 At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS NET INVESTMENT LONG-TERM LOSS (ACCUMULATED INCOME CAPITAL GAINS CARRYFORWARD LOSSES) -------------- ------------- ------------ ------------- The U.S. Large Cap Value Series $ 13,203 $ 3,947 -- $ 17,150 The U.S. Small Cap Series 23,732 94,427 -- 118,159 The DFA International Value Series 22,727 104,819 -- 127,546 The DFA Two-Year Global Fixed Income Series 4,286 -- $ (6,273) (1,987)
For federal income tax purposes, the Trust measures its capital loss carryforwards annually at November 30, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. As of November 30, 2004, the following Series' had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON NOVEMBER 30, 2012 ------------- The DFA Two-Year Global Fixed Income Series $ 6,273
Certain of the investments in the International Equity Portfolios 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, 2004, the following Series, had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income.
MARK TO MARKET REALIZED GAINS -------------- -------------- The DFA International Value Series $ 10,083,171 $ 12,003,955 The Japanese Small Company Series 3,639,564 92,868 The Pacific Rim Small Company Series 1,131,373 1,633,733 The United Kingdom Small Company Series 1,424,643 32,840 The Continental Small Company Series 3,269,647 1,120,728 The Emerging Markets Series 2,976,502 318,491 The Emerging Markets Small Cap Series 214,365 435,517
At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) -------------- ------------ ------------ ------------- The U.S. Large Company Series $ 3,395,166 $ 1,107,748 $ (400,895) $ 706,853 The U.S. Large Cap Value Series 3,977,265 1,216,187 (229,627) 986,560 The U.S. Small Cap Series 2,388,147 538,573 (308,350) 230,223 The DFA International Value Series 3,763,356 692,851 (91,304) 601,547 The Japanese Small Company Series 998,112 125,118 (116,956) 8,162 The Pacific Rim Small Company Series 395,866 71,148 (65,001) 6,147 The United Kingdom Small Company Series 376,376 125,938 (30,226) 95,712 The Continental Small Company Series 724,615 315,673 (34,026) 281,467 The Emerging Markets Series 982,065 469,044 (63,451) 405,593 The Emerging Markets Small Cap Series 283,589 84,408 (26,370) 58,038 The DFA Two-Year Global Fixed Income Series 1,875,204 1,634 (14,809) (13,175)
83 G. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
UNREALIZED ACCUMULATED ACCUMULATED ACCUMULATED APPRECIATION UNREALIZED NET NET REALIZED NET REALIZED (DEPRECIATION) OF NET FOREIGN INVESTMENT GAIN (LOSS) FOREIGN INVESTMENT EXCHANGE NUMBER OF PAID-IN INCOME OF INVESTMENT EXCHANGE SECURITIES AND GAIN TOTAL NET SHARES CAPITAL (LOSS) SECURITIES GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS AUTHORIZED ----------- ----------- ------------- ------------ ----------------- ----------- ----------- ---------- The U.S. Large Cap Value Series $ 3,752,794 $ 14,963 $ 33,814 -- $ 986,560 -- $ 4,788,131 Unlimited The U.S. Small Cap Series 2,178,692 6,252 83,430 -- 233,132 -- 2,501,506 Unlimited The DFA International Value Series 2,771,495 49,058 54,235 $ (82) 601,647 $ (292) 3,476,061 Unlimited The DFA Two-Year Global Fixed Income Series 1,889,729 12,985 (12,376) 7,070 (13,175) -- 1,884,233 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 31, 2005. 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, 2005, 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 with 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, 2005, Large Company had outstanding 260 long futures contracts on the S&P 500 Index, all of which expire on June 17, 2005. The value of such contracts on May 31, 2005 was $77,499,500 which resulted in an unrealized gain of $1,607,600. Approximately $4,160,000 of cash has been segregated as collateral for the open futures contracts and has been accounted for as cash on the Statement of Assets and Liabilities. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Series could lose more than the initial margin requirements. 84 4. FORWARD CURRENCY CONTRACTS: The DFA Two-Year Global Fixed Income Series may enter into forward foreign currency contracts only to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies. At May 31, 2005, there were no outstanding forward foreign currency contracts. I. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. For the six months ended May 31, 2005, borrowings under the line of credit 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 DFA International Value Series 3.76% $ 241,250 1 $ 25 $ 241,250 The Japanese Small Company Series 3.15% 200,000 1 18 200,000 The Pacific Rim Small Company Series 3.76% 300,000 4 125 300,000 The United Kingdom Small Company Series 3.49% 2,053,000 4 797 2,700,000
At May 31, 2005, The DFA International Value Series had an outstanding borrowing under the line of credit of $241,250 plus accrued interest. The remaining Series had no outstanding borrowings under the line of credit at May 31, 2005. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings by the Series under the line of credit during the six months ended May 31, 2005. J. SECURITIES LENDING: As of May 31, 2005, 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, the lending agent has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. The cash collateral received by each portfolio from securities on loan is invested in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. 85 The Series paid fees for securities lending for the six month period ended May 31, 2005, which have been netted against Income from Securities Lending on the Statements of Operations. These fees are presented below (amounts in thousands): The U.S. Large Company Series $ 23 The U.S. Large Cap Value Series 126 The U.S. Small Cap Series 363 The DFA International Value Series 1,219 The Japanese Small Company Series 740 The Pacific Rim Small Company Series 154 The United Kingdom Small Company Series 16 The Continental Small Company Series 408
K. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 86 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* -------------- ------------- ----------- ------------ DFA REAL ESTATE SECURITIES PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,066.60 0.37% $ 1.91 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.16 0.37% $ 1.87 LARGE CAP INTERNATIONAL PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,013.70 0.38% $ 1.91 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.11 0.38% $ 1.92 DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO Actual Fund Return $ 1,000.00 $ 1,021.30 0.33% $ 1.66 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.35 0.33% $ 1.66
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 87 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. DFA REAL ESTATE SECURITIES PORTFOLIO REITS 100.0% ----- 100.0% ===== LARGE CAP INTERNATIONAL PORTFOLIO Financials 24.7% Consumer Discretionary 12.8 Industrials 10.5 Consumer Staples 9.1 Telecommunication Services 8.8 Health Care 8.2 Energy 7.7 Materials 6.6 Information Technology 5.6 Utilities 5.3 Other 0.5 REITS 0.2 ----- 100.0% =====
88 DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO Foreign Government 42.3% Foreign Corporate 19.0 Corportate 15.6 Supranational 11.7 Government 11.4 ----- 100.0% =====
89 DFA REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (95.5%) Real Estate Investment Trusts -- (95.5%) Acadia Realty Trust 194,600 $ 3,298,470 Affordable Residential Communities 254,100 3,130,512 Agree Realty Corp. 47,500 1,365,625 * Alexander's, Inc. 14,000 3,609,620 Alexandria Real Estate Equities, Inc. 121,800 8,440,740 AMB Property Corp. 515,200 20,767,712 * America First Apartment Investors, Inc. 3,000 33,900 American Campus Communites, Inc. 47,400 971,700 American Land Lease, Inc. 46,200 997,920 # AmeriVest Properties, Inc. 148,900 655,160 AMLI Residential Properties Trust 158,800 4,563,912 Apartment Investment & Management Co. Class A 588,100 21,818,510 Archstone-Smith Trust 1,238,655 45,607,277 Arden Realty Group, Inc. 411,200 14,104,160 * Ashford Hospitality Trust 253,500 2,524,860 Associated Estates Realty Corp. 122,200 1,057,030 # AvalonBay Communities, Inc. 451,900 33,833,753 Bedford Property Investors, Inc. 101,900 2,361,023 BioMed Realty Trust, Inc. 194,900 4,356,015 BNP Residential Properties, Inc. 41,700 655,524 # Boston Properties, Inc. 674,400 45,043,176 * Boykin Lodging Co. 108,200 1,146,920 Brandywine Realty Trust 344,900 9,712,384 BRE Properties, Inc. Class A 314,800 12,132,392 * Burnham Pacific Properties, Inc. 12,500 1,013 Camden Property Trust 321,600 16,597,776 # Capital Automotive 285,403 10,211,719 CarrAmerica Realty Corp. 334,900 11,577,493 CBL & Associates Properties, Inc. 191,500 15,601,505 Cedar Shopping Centers, Inc. 114,700 1,551,891 CenterPoint Properties Trust 301,800 12,615,240 Colonial Properties Trust 246,156 10,043,165 Commercial Net Lease Realty 318,075 6,170,655 Corporate Office Properties Trust 225,800 6,306,594 Cousins Properties, Inc. 311,500 8,827,910 Crescent Real Estate Equities, Inc. 698,200 12,839,898 CRT Properties, Inc. 197,300 4,535,927 Developers Diversified Realty Corp. 672,299 30,656,834 * Digital Realty Trust, Inc. 56,500 847,500 Duke Realty Corp. 889,200 27,449,604 EastGroup Properties, Inc. 135,900 5,533,848 Entertainment Properties Trust 156,000 6,942,000
1 Equity Inns, Inc. 334,600 4,011,854 Equity Lifestyle Properties, Inc. 143,700 5,451,978 Equity Office Properties Trust 2,521,063 81,909,337 Equity One, Inc. 457,476 9,785,412 Equity Residential 1,777,000 63,794,300 Essex Property Trust, Inc. 142,800 11,424,000 Extra Space Storage, Inc. 162,993 2,347,099 Federal Realty Investment Trust 325,200 17,951,040 * FelCor Lodging Trust, Inc. 369,800 5,147,616 # First Industrial Realty Trust, Inc. 266,300 10,332,440 * First Potomac Realty Trust 27,500 622,875 * # First Union Real Estate Equity & Mortgage Investments 178,500 658,665 Gables Residential Trust 181,900 6,622,979 # General Growth Properties 1,462,200 56,923,446 Glenborough Realty Trust, Inc. 223,500 4,516,935 Glimcher Realty Trust 220,700 5,683,025 Global Signal, Inc. 323,300 11,260,539 * Golf Trust America, Inc. 40,300 58,032 * Government Properties Trust, Inc. 71,700 652,470 Heritage Property Investment Trust 286,300 9,301,887 Hersha Hospitality Trust 125,800 1,197,616 * Highland Hospitality Corp. 229,800 2,435,880 Highwood Properties, Inc. 328,000 9,026,560 * HMG Courtland Properties, Inc. 2,400 25,680 Home Properties of New York, Inc. 200,990 8,280,788 Hospitality Properties Trust 410,100 18,011,592 Host Marriott Corp. 2,185,400 36,605,450 HRPT Properties Trust 1,218,400 14,413,672 Humphrey Hospitality Trust 74,200 330,190 Inland Real Estate Corp. 409,400 6,386,640 Innkeepers USA Trust 265,200 3,582,852 Kilroy Realty Corp. 177,100 8,001,378 Kimco Realty Corp. 684,550 39,539,608 * Kite Realty Group Trust 40,600 592,354 Lasalle Hotel Properties 183,400 5,667,060 Lexington Corporate Properties Trust 304,600 7,014,938 Liberty Property Trust 530,600 21,908,474 Macerich Co. 364,200 22,955,526 Mack-Cali Realty Corp. 381,700 16,829,153 Maguire Properties, Inc. 264,400 6,914,060 Malan Realty Investors, Inc. 19,100 70,479 Maxus Realty Trust, Inc. 1,700 22,950 * Meristar Hospitality Corp. 542,100 4,548,219 Mid-America Apartment Communities, Inc. 140,500 5,690,250 Mills Corp. 335,400 19,278,792 Mission West Properties, Inc. 112,200 1,065,900 Monmouth Real Estate Investment Corp. Class A 110,458 849,422 New Plan Excel Realty Trust 628,400 16,929,096 One Liberty Properties, Inc. 61,100 1,163,955 Pan Pacific Retail Properties, Inc. 247,831 15,824,009 * Paragon Real Estate Equity & Investment Trust 10,700 1,284 Parkway Properties, Inc. 87,200 4,207,400 Pennsylvania Real Estate Investment Trust 242,981 10,691,164 * Philips International Realty Corp. 14,400 504 Post Properties, Inc. 245,300 8,045,840
2 Prentiss Properties Trust 275,800 9,515,100 * Prime Group Realty Trust 127,900 915,764 # ProLogis 1,145,700 46,790,388 PS Business Parks, Inc. 135,600 5,565,024 Public Storage, Inc. 803,400 48,308,442 Ramco-Gershenson Properties Trust 102,600 2,847,150 Realty Income Corp. 490,400 12,073,648 Reckson Associates Realty Corp. 497,901 15,728,693 Regency Centers Corp. 384,700 21,485,495 # Roberts Realty Investors, Inc. 14,400 110,160 Saul Centers, Inc. 102,300 3,391,245 Senior Housing Properties Trust 424,700 7,640,353 Shurgard Storage Centers, Inc. Class A 284,600 12,422,790 Simon Property Group, Inc. 1,353,997 93,046,674 Simon Property Group, L.P. 66,210 3,972,600 Sizeler Property Investors, Inc. 99,500 1,194,000 SL Green Realty Corp. 253,900 15,729,105 Sovran Self Storage, Inc. 97,900 4,365,361 Strategic Hotel Capital, Inc. 179,200 2,922,752 Sun Communities, Inc. 112,400 4,046,400 Sunstone Hotel Investors, Inc. 212,900 4,898,829 Tanger Factory Outlet Centers, Inc. 167,900 4,064,859 * # Tarragon Corp. 149,195 3,270,354 Taubman Centers, Inc. 307,400 9,756,876 Town & Country Trust 105,000 2,892,750 Trizec Properties, Inc. 953,700 18,606,687 Trustreet Properties, Inc. 151,900 2,392,425 United Dominion Realty Trust, Inc. 833,900 19,221,395 United Mobile Homes, Inc. 54,700 801,355 Urstadt Biddle Properties, Inc. 19,800 325,314 Urstadt Biddle Properties, Inc. Class A 114,200 1,879,732 U-Store-It Trust 127,500 2,409,750 Vornado Realty Trust 775,400 61,023,980 Washington Real Estate Investment Trust 257,200 7,998,920 Weingarten Realty Investors 543,500 20,658,435 Winston Hotels, Inc. 161,700 1,697,850 ---------------- Total Real Estate Investment Trusts (Cost $1,096,101,372) 1,531,034,186 ---------------- TOTAL COMMON STOCKS (Cost $1,096,101,372) 1,531,034,186 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (4.5%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05 (Collateralized by $128,705,000 U.S. STRIPS 6.125%, 11/15/27, valued at $46,244,994) to be repurchased at $45,340,256 (Cost $45,336,579) $ 45,337 45,336,579 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $26,333,000 FHLMC Notes 4.00%, 09/22/09, valued at $26,365,916) to be repurchased at $25,978,085 (Cost $25,976,000) 25,976 25,976,000 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $71,312,579) 71,312,579 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $1,167,413,951) $ 1,602,346,765 ----------------
3 - ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 4 LARGE CAP INTERNATIONAL PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- UNITED KINGDOM -- (21.3%) COMMON STOCKS -- (21.3%) 3I Group P.L.C. 47,318 $ 594,438 Aegis Group P.L.C. 93,242 165,345 Aggreko P.L.C. 20,000 70,480 Alliance & Leicester P.L.C. 46,652 725,947 Alliance Unichem P.L.C. 46,743 698,703 Allied Domecq P.L.C. 105,124 1,324,067 Amec P.L.C. 26,046 159,010 Amvescap P.L.C. 81,593 478,659 Anglo America P.L.C. 147,129 3,505,501 Antofagasta P.L.C. 38,710 812,567 Arm Holdings P.L.C. 124,215 244,467 Arriva P.L.C. 17,572 169,943 Associated British Foods P.L.C. 156,137 2,269,990 Associated British Ports Holdings P.L.C. 28,575 253,370 Aviva P.L.C. 217,315 2,431,366 AWG P.L.C. 13,189 214,592 BAA P.L.C. 101,758 1,151,096 BAE Systems P.L.C. 304,982 1,493,891 Balfour Beatty P.L.C. 38,213 224,245 Barclays P.L.C 630,263 5,972,908 Barratt Developments P.L.C. 21,581 259,174 BBA Group P.L.C. 37,724 206,081 Bellway P.L.C. 10,083 156,096 BG Group P.L.C. 335,914 2,543,817 BHP Billiton P.L.C. 234,473 2,834,078 BOC Group P.L.C. 38,519 703,446 Boots Group P.L.C. 67,524 744,109 Bovis Homes Group P.L.C. 9,923 123,351 BP Amoco P.L.C. 2,029,664 20,356,813 BPB P.L.C. 44,716 416,570 Bradford & Bingley P.L.C. 58,335 326,839 Brambles Industries P.L.C. 66,589 364,051 Britannic P.L.C. 16,713 155,117 * British Airways P.L.C. 184,946 921,270 British American Tobacco P.L.C. 273,139 5,184,939 British Land Co. P.L.C. 47,925 758,219 British Sky Broadcasting Group P.L.C. 272,457 2,701,753 Brixton P.L.C. 23,087 154,405 BT Group P.L.C. 807,511 3,133,717 * BTG P.L.C. 5,600 14,319 Bunzl P.L.C. 40,785 398,012 Cable and Wireless P.L.C. 217,095 528,702 Cadbury Schweppes P.L.C. 196,938 1,918,147
1 * Cairn Energy P.L.C. 13,970 308,089 Capita Group P.L.C. 60,892 424,340 Carnival P.L.C. 17,221 942,788 Carpetright P.L.C. 8,513 133,826 Carphone Warehouse Group P.L.C. 182,534 545,501 Cattles P.L.C. 24,806 143,449 Centrica P.L.C. 352,500 1,485,992 Close Brothers Group P.L.C. 14,870 197,300 Cobham P.L.C. 10,041 257,187 Collins Stewart Tullett P.L.C. 22,435 172,015 # * Colt Telecom Group P.L.C. 192,155 181,459 Compass Group P.L.C. 204,776 806,533 Computacenter P.L.C. 15,015 67,603 * Cookson Group P.L.C. 13,053 77,090 * Corus Group P.L.C. 446,515 368,389 Davis Service Group P.L.C. 18,246 146,948 De La Rue P.L.C. 12,250 84,204 Diageo P.L.C. 282,174 4,058,389 Dixons Group P.L.C. 175,098 480,399 DX Services P.L.C. 7,451 46,747 * Easyjet P.L.C. 52,671 215,739 * Egg P.L.C. 98,437 197,552 Electrocomponents P.L.C. 39,172 185,572 Emap P.L.C. 23,642 345,692 EMI Group P.L.C. 72,649 327,857 Enterprise Inns P.L.C. 31,451 443,955 First Choice Holidays P.L.C. 47,135 154,845 Firstgroup P.L.C. 36,648 211,275 FKI P.L.C. 52,392 91,939 Friends Provident P.L.C. 209,193 663,777 Gallaher Group P.L.C. 62,237 958,719 General Electric Co. 22,898 841,099 GKN P.L.C. 64,999 297,801 Glaxosmithkline P.L.C. 556,137 13,764,313 Go-Ahead Group P.L.C. 3,736 91,616 Great Portland Estates P.L.C. 11,008 72,067 Great Universal Stores P.L.C. 94,865 1,460,716 Greene King P.L.C. 6,207 138,985 Group 4 Securicor P.L.C. 89,820 224,254 Hammerson P.L.C. 25,492 420,476 Hanson P.L.C. 70,011 645,697 Hays P.L.C. 151,308 341,690 HBOS P.L.C. 381,407 5,547,718 * Henderson Group P.L.C. 136,500 154,350 Hilton Group P.L.C. 151,980 784,450 HMV Group P.L.C. 37,627 155,423 HSBC Holdings P.L.C. 1,080,317 17,084,223 ICAP P.L.C. 64,402 321,348 IMI P.L.C. 31,802 238,421 Imperial Chemical Industries P.L.C. 109,590 506,805 Imperial Tobacco Group P.L.C. 68,712 1,858,737 Inchcape P.L.C. 7,420 263,531 InterContinental Hotels Group P.L.C. 56,166 652,269 International Power P.L.C. 135,538 476,892
2 Intertek Group P.L.C. 12,740 174,817 * Invensys P.L.C. 477,720 97,784 ISIS Asset Management P.L.C. 46,394 194,976 Isoft Group P.L.C. 19,129 139,333 ITV P.L.C. 288,809 600,519 Jardine Lloyd Thompson Group P.L.C. 21,550 136,864 Johnson Matthey P.L.C. 19,864 352,975 Johnston Press P.L.C. 31,946 273,141 Kelda Group P.L.C. 34,560 404,213 Kesa Electricals P.L.C. 47,659 231,840 Kingfisher P.L.C. 223,029 1,042,556 Land Securities Group P.L.C. 44,468 1,153,534 Legal and General Group P.L.C. 618,036 1,217,142 Liberty International P.L.C. 39,267 698,214 Lloyds TSB Group P.L.C. 557,469 4,592,496 Logicacmg P.L.C. 33,214 102,670 Lonmin P.L.C. 13,023 242,967 Man Group P.L.C. 32,195 770,751 Manchester United P.L.C. 30,345 164,033 * Marconi Corp. P.L.C. 18,441 100,747 Marks & Spencer Group P.L.C. 204,766 1,256,309 Matalan P.L.C. 45,690 153,049 Meggitt P.L.C. 39,217 208,269 MFI Furniture Group P.L.C. 52,153 101,350 Millennium and Copthorne Hotels P.L.C. 38,892 251,564 Misys P.L.C. 50,290 197,659 Mitchells & Butlers P.L.C. 47,001 276,545 Morrison (Wm.) Supermarkets P.L.C. 278,508 957,094 * MyTravel Group P.L.C. Series A 22,000 1,990 National Express Group P.L.C. 11,282 177,943 National Grid Group P.L.C. 293,541 2,867,395 Next P.L.C. 24,719 646,450 Northern Foods P.L.C. 37,322 106,382 Northern Rock P.L.C. 40,016 535,637 * O2 P.L.C. 613,859 1,422,183 Ocean Group P.L.C. 28,112 433,533 Pearson P.L.C. 77,971 932,804 Peninsular & Oriental Steam Navigation P.L.C. 66,687 376,146 Pennon Group P.L.C. 11,263 206,397 Persimmon P.L.C. 27,757 376,810 Pilkington P.L.C. 135,509 285,278 Premier Farnell P.L.C. 30,487 89,883 Provident Financial P.L.C. 17,113 209,143 Prudential Corp. P.L.C. 225,662 2,002,268 Punch Taverns, Ltd. 22,497 278,888 Rank Group P.L.C. 61,189 298,083 Reckitt Benckiser P.L.C. 80,054 2,444,239 Reed International P.L.C. 121,003 1,153,837 * Regus Group P.L.C. 95,569 156,665 Rentokill Initial P.L.C. 166,530 446,811 Reuters Holdings Group P.L.C. 136,336 957,946 Rexam P.L.C. 50,658 443,369 Rio Tinto P.L.C. 101,446 3,011,521 * Rolls Royce Group P.L.C. 177,791 876,638
3 * Rolls Royce Group P.L.C. Class B 8,429,800 15,318 Royal & Sun Alliance Insurance Group P.L.C. 267,928 375,227 Royal Bank of Scotland Group P.L.C. 303,894 8,917,233 Sabmiller P.L.C. 124,801 1,916,502 Sage Group P.L.C. 117,928 463,117 Sainsbury (J.) P.L.C. 198,701 1,033,133 Schroders P.L.C. 33,726 464,153 Scottish & Newcastle P.L.C. 93,185 805,151 Scottish Hydro-Electric P.L.C. 79,968 1,426,204 Scottish Power P.L.C. 173,475 1,461,289 Serco Group P.L.C. 39,172 179,317 Severn Trent P.L.C. 32,867 604,822 Shell Transport & Trading Co., P.L.C. 885,490 7,692,869 Shire Pharmaceuticals Group P.L.C. 43,525 461,914 Signet Group P.L.C. 164,896 308,066 Slough Estates P.L.C. 37,702 352,229 Smith & Nephew P.L.C. 89,664 885,668 Smith (WH) P.L.C. 13,348 86,788 Smiths Industries P.L.C. 53,441 854,424 Somerfield P.L.C. 48,928 175,419 * Spirent P.L.C. 72,279 60,839 SSL International P.L.C. 12,000 60,875 Stagecoach Group P.L.C. 120,769 242,712 Standard Chartered P.L.C. 125,919 2,279,357 T&F Informa Group P.L.C. 28,437 210,601 Tate & Lyle P.L.C. 49,954 429,818 Taylor Nelson AGB P.L.C. 36,013 140,595 Taylor Woodrow P.L.C. 55,846 321,482 Tesco P.L.C. 736,698 4,194,107 * The Berkeley Group Holdings P.L.C. 10,535 158,316 * TI Automotive P.L.C. Series A 18,000 0 Tomkins P.L.C. 71,196 348,620 Travis Perkins P.L.C. 11,935 378,927 Trinity Mirror P.L.C. 27,900 315,848 Tullow Oil P.L.C. 54,536 165,740 Unilever P.L.C. 290,187 2,831,477 United Business Media P.L.C. 31,939 290,180 United Utilities P.L.C. 74,036 912,058 Viridian Group P.L.C. 10,986 148,021 Vodafone Group P.L.C. 6,136,607 15,449,029 Whitbread P.L.C. 23,704 391,389 William Hill P.L.C. 36,278 326,312 Wilson Bowden P.L.C. 12,801 265,146 Wimpey (George) P.L.C. 35,916 278,131 Wolseley P.L.C. 55,981 1,144,207 Wolverhampton & Dudley Breweries P.L.C. 6,548 131,867 Wood Group (John) P.L.C. 28,221 75,163 WPP Group P.L.C. 124,799 1,330,147 Xstrata P.L.C. 95,888 1,718,805 Yell Group P.L.C. 66,922 496,898 Zeneca Group P.L.C. 155,158 6,574,255 ----------------- TOTAL COMMON STOCKS (Cost $197,422,630) 235,913,076 -----------------
4 INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling 138,318 ---------------- (Cost $141,510) TOTAL -- UNITED KINGDOM (Cost $197,564,140) 236,051,394 ---------------- JAPAN -- (19.2%) COMMON STOCKS -- (19.2%) Acom Co., Ltd. 7,500 480,023 Aderans Co., Ltd. 3,000 69,464 Advantest Corp. 7,370 553,305 AEON Co., Ltd. 48,700 749,427 Aeon Credit Service, Ltd. 2,700 171,676 * Aeon Mall Co., Ltd. 2,300 77,029 Aichi Bank, Ltd. 500 47,126 Aichi Steel Corp. 5,000 25,506 Aiful Corp. 9,900 726,480 AIOI Insurance Co., Ltd. 54,000 267,548 Air Water, Inc. 9,000 67,395 Aisin Seiki Co., Ltd. 25,600 568,095 Ajinomoto Co., Inc. 39,000 430,655 Akita Bank, Ltd. 6,000 27,132 Alfresa Holdings Corp. 1,800 82,661 # All Nippon Airways Co., Ltd. 190,000 597,452 # Alps Electric Co., Ltd. 13,000 196,419 Amada Co., Ltd. 27,000 183,331 Amano Corp. 3,000 31,149 Anritsu Corp. 6,000 36,051 AOC Holdings, Inc. 3,600 50,244 Aoyama Trading Co., Ltd. 3,400 82,376 Ariake Japan Co., Ltd. 1,210 28,521 Arisawa Manufacturing Co., Ltd. 1,540 44,468 Asahi Breweries, Ltd. 35,700 433,103 Asahi Denka Kogyo KK 5,000 51,357 Asahi Glass Co., Ltd. 94,000 1,012,959 Asahi Kasei Corp. 97,000 472,639 Asatsu-Dk, Inc. 2,600 74,717 * Ashikaga Financial Group, Inc. 41,000 0 Autobacs Seven Co., Ltd. 1,800 56,227 Avex, Inc. 1,000 13,264 Awa Bank, Ltd. 14,000 83,518 Bandai Co., Ltd. 5,000 103,166 Bank of Ikeda, Ltd. 1,100 55,847 Bank of Iwate, Ltd. 1,100 62,637 # Bank of Kyoto, Ltd. 20,000 167,802 Bank of Nagoya, Ltd. 11,000 64,580 Bank of Yokohama, Ltd. 97,000 554,847 Benesse Corp. 7,700 244,436 Bosch Automotive Systems Corp. 30,000 148,737 Bridgestone Corp. 61,000 1,199,359 Brother Industries, Ltd. 19,000 174,272
5 Calsonic Corp. 15,000 82,976 Canon, Inc. 71,000 3,839,342 Capcom Co., Ltd. 2,000 18,735 Casio Computer Co., Ltd. 18,000 251,029 * Cawachi, Ltd. 600 26,239 Central Glass Co., Ltd. 14,000 88,988 Central Japan Railway Co. 254 2,043,625 Chiba Bank, Ltd. 59,000 400,355 Chiyoda Corp. 11,000 130,997 Chubu Electric Power Co., Ltd. 58,100 1,347,826 Chudenko Corp. 2,700 42,327 Chugai Pharmaceutical Co., Ltd. 54,600 806,502 Chugoku Bank, Ltd. 15,000 175,400 Chugoku Electric Power Co., Ltd. 25,800 485,743 Circle K Sunkus Co., Ltd. 5,100 114,395 Citizen Watch Co., Ltd. 21,000 183,456 Coca-Cola West Japan Co., Ltd. 4,600 102,898 Comsys Holdings Corp. 8,000 67,433 Cosmo Oil Co., Ltd. 37,000 135,282 Cosmo Securities Co., Ltd. 13,000 23,795 Credit Saison Co., Ltd. 10,600 351,879 CSK Corp. 4,800 170,207 Culture Convenience Club Co., Ltd. 2,300 40,577 Dai Nippon Ink & Chemicals, Inc. 47,000 138,840 Dai Nippon Pharmaceutical Co., Ltd. 10,000 95,870 Dai Nippon Printing Co., Ltd. 58,000 915,031 Dai Nippon Screen Mfg. Co., Ltd. 15,000 101,886 Daibiru Corp. 7,000 51,528 Daicel Chemical Industries, Ltd. 19,000 98,634 Daido Steel Co., Ltd. 27,000 109,653 Daiei OMC, Inc. 6,000 71,538 # * Daiei, Inc. 3,500 60,487 Daifuku Co., Ltd. 3,000 25,019 Daihatsu Motor Co., Ltd. 28,000 206,480 Dai-Ichi Pharmaceutical Co., Ltd. 17,900 400,576 Daikin Industries, Ltd. 18,000 438,145 Daimaru, Inc. 16,000 136,964 Daio Paper Corp. 9,000 69,527 Daishi Bank, Ltd. 22,000 91,690 Daito Trust Construction Co., Ltd. 9,800 368,187 Daiwa House Industry Co., Ltd. 37,000 407,916 Daiwa Securities Co., Ltd. 100,000 631,413 Denki Kagaku Kogyo KK 29,000 101,130 Denso Corp. 78,000 1,768,836 Dentsu, Inc. 242 599,649 Diamond City Co., Ltd. 2,300 67,558 Disco Corp. 1,700 72,657 Don Quijote Co., Ltd. 900 49,121 Dowa Mining Co., Ltd. 20,000 128,823 East Japan Railway Co. 292 1,447,075 Ebara Corp. 20,000 71,888 Edion Corp. 5,000 59,606 Elsai Co., Ltd. 21,300 719,625 Eneserve Corp. 1,500 49,045
6 Exedy Corp. 1,700 28,018 Ezaki Glico Co., Ltd. 10,000 79,817 Familymart Co., Ltd. 6,000 173,708 Fancl Corp. 700 25,743 Fanuc, Ltd. 20,800 1,284,474 Fast Retailing Co., Ltd. 10,200 537,536 Fuji Electric Co., Ltd. 49,000 148,632 Fuji Fire & Marine Insurance Co., Ltd. 10,000 29,670 Fuji Heavy Industries 50,000 208,741 Fuji Oil Co., Ltd. 3,900 40,563 Fuji Photo Film Co., Ltd. 42,000 1,307,916 Fuji Soft ABC, Inc. 1,800 52,255 Fuji Television Network, Inc. 157 321,783 Fujikura, Ltd. 29,000 146,973 Fujirebio, Inc. 3,000 58,967 Fujitsu, Ltd. 153,440 839,059 Fukui Bank, Ltd. 14,000 53,085 Fukuoka Bank, Ltd. 43,000 262,412 Fukuyama Transporting Co., Ltd. 11,000 43,241 Funai Electric Co., Ltd. 2,500 264,556 * Furukawa Electric Co., Ltd. 30,000 123,855 Futaba Industrial Co., Ltd. 2,900 55,096 Glory, Ltd. 4,600 77,733 * GMO Internet, Inc. 2,000 49,521 Goldcrest Co., Ltd. 800 38,999 * Goodwill Group, Inc. 26 48,002 * Gulliver International Co., Ltd. 340 47,907 Gunma Bank, Ltd. 31,000 184,382 Gunze, Ltd. 14,000 61,335 Hachijuni Bank, Ltd. 38,000 250,834 # Hamamatsu Photonics K.K. 4,000 85,658 Hankyu Corp. 66,000 242,786 Hankyu Department Stores, Inc. 10,000 60,043 Hanshin Electric Railway Co., Ltd. 21,000 78,326 Hanwa Co., Ltd. 9,000 29,877 * Haseko Corp. 31,000 65,172 Heiwa Corp. 6,700 96,431 Higo Bank, Ltd. 14,000 99,920 Hikari Tsushin, Inc. 3,800 225,800 Hino Motors, Ltd. 53,000 293,583 Hirose Electric Co., Ltd. 2,700 285,976 Hiroshima Bank, Ltd. 39,000 168,735 Hisamitsu Pharmaceutical Co., Inc. 4,000 99,912 Hitachi Cable, Ltd. 18,000 77,609 Hitachi Chemical Co., Ltd. 17,700 320,040 Hitachi Construction Machinery Co., Ltd. 12,000 141,686 Hitachi High-Technologies Corp. 8,300 128,509 Hitachi Information Systems, Ltd. 1,800 35,045 Hitachi Koki Co., Ltd. 3,000 27,961 Hitachi Kokusai Electric, Inc. 5,000 43,730 Hitachi Maxell, Ltd. 3,700 44,969 Hitachi Metals, Ltd. 25,000 159,329 Hitachi Software Engineering Co., Ltd. 3,000 50,035 Hitachi Transport System, Ltd. 7,000 58,303
7 * Hitachi Zosen Corp. 20,000 25,883 Hitachi, Ltd. 285,000 1,702,890 Hokkaido Electric Power Co., Inc. 13,700 276,229 Hokkoku Bank, Ltd. 16,000 69,733 Hokuetsu Paper Mills, Ltd. 9,000 48,943 Hokugin Financial Group, Inc. 84,000 267,281 Hokuriku Electric Power Co., Inc. 14,100 260,423 Honda Motor Co., Ltd. 63,700 3,135,294 Hosiden Corp. 1,900 19,569 House Foods Corp. 5,600 78,887 Hoya Corp. 8,900 990,832 Hyakugo Bank, Ltd. 15,000 91,996 Hyakujishi Bank, Ltd. 19,000 107,838 # Ibiden Co., Ltd. 7,700 198,501 * Invoice, Inc. 372 38,210 Isetan Co., Ltd. 14,300 183,326 Ishihara Sangyo Kaisha, Ltd. 12,000 26,278 * Ishikawajima-Harima Heavy Industries Co., Ltd. 91,000 129,355 # Isuzu Motors, Ltd. 67,000 174,351 ITO EN, Ltd. 2,800 133,200 Itochu Corp. 105,000 506,814 Itochu Techno-Science Corp. 4,200 135,120 Itoham Foods, Inc. 12,000 54,656 Ito-Yokado Co., Ltd. 30,000 1,012,393 Iyo Bank, Ltd. 21,000 167,424 Izumi Co., Ltd. 2,500 60,438 # Japan Airlines System Corp. 252,000 722,603 Japan Airport Terminal Co., Ltd. 6,000 56,035 Japan Aviation Electronics Industry, Ltd. 4,000 43,008 Japan Petroleum Exploration Co., Ltd. 4,000 155,210 JFE Holdings, Inc. 44,300 1,110,011 * JFE Shoji Holdings, Inc. 9,000 31,174 JGC Corp. 15,000 169,944 Joyo Bank, Ltd. 55,000 279,617 Jsr Corp., Tokyo 18,500 388,188 Juroku Bank, Ltd. 18,000 96,368 Kadokawa Holdings, Inc. 800 28,447 Kagoshima Bank, Ltd. 13,000 98,920 Kajima Corp. 70,000 238,857 # Kaken Pharmaceutical Co., Ltd. 3,000 19,612 Kamigumi Co., Ltd. 18,000 134,124 Kandenko Co., Ltd. 8,000 47,050 * Kanebo, Ltd. 1,900 5,281 Kaneka Corp. 21,000 218,622 # * Kankaku Securities Co., Ltd. 86,000 149,721 Kansai Electric Power Co., Inc. 68,800 1,336,606 Kansai Paint Co., Ltd., Osaka 16,000 99,468 Kanto Auto Works, Ltd., Yokosuka 2,100 24,664 Kao Corp. 42,000 970,731 Katokichi Co., Ltd. 9,300 65,000 Kawasaki Heavy Industries, Ltd. 99,000 177,166 Kawasaki Kisen Kaisha, Ltd. 35,000 206,931 KDDI Corp. 344 1,573,213 Keihin Corp. 4,100 65,415
8 # Keihin Electric Express Railway Co., Ltd. 34,000 207,344 Keio Electric Railway Co., Ltd. 43,000 232,548 Keisei Electric Railway Co., Ltd. 19,000 91,627 Keiyo Bank, Ltd. 17,000 81,195 Keyence Corp. 3,200 699,132 Kikkoman Corp. 12,000 108,651 Kinden Corp. 14,000 103,584 Kinki Nippon Railway Co., Ltd. 120,280 358,359 Kirin Beverage Corp. 900 22,188 Kirin Brewery Co., Ltd. 70,000 684,696 Kissei Pharmaceutical Co., Ltd. 4,000 76,313 Kobayashi Pharmaceutical Co., Ltd. 1,800 47,125 Kobe Steel, Ltd. 185,000 321,768 Koei Co., Ltd. 2,800 66,634 Koito Manufacturing Co., Ltd. 7,000 75,263 Kokuyo Co., Ltd. 8,000 102,572 Komatsu, Ltd. 74,000 552,589 Komeri Co., Ltd. 2,300 58,862 Komori Corp. 4,000 60,584 Konami Co., Ltd. 8,600 171,220 Konica Corp. 34,000 303,716 Kose Corp. 3,355 113,251 Koyo Seiko Co. 15,000 194,500 Kubota Corp. 88,000 486,445 Kuraray Co., Ltd. 31,000 274,687 # Kuraya Sanseido, Inc. 13,500 179,881 Kurita Water Industries, Ltd. 7,000 104,033 Kyocera Corp. 14,500 1,109,368 KYORIN Pharmaceutical Co., Ltd. 4,000 49,893 Kyowa Exeo Corp. 5,000 40,926 Kyowa Hakko Kogyo Co., Ltd. 24,000 152,354 Kyushu Electric Power Co., Inc. 36,100 751,148 Lawson Inc. 8,100 294,811 * Leopalace21 Corp. 9,000 137,081 Lintec Corp. 4,000 60,084 Lion Corp. 19,000 99,273 Lopro Corp. 2,100 15,357 Mabuchi Motor Co., Ltd. 3,400 196,652 Maeda Corp. 8,000 44,133 Makita Corp. 8,000 155,775 Marubeni Corp. 99,000 312,444 Marui Co., Ltd. 26,200 363,552 Maruichi Steel Tube, Ltd. 4,000 85,333 * Matsui Securities Co., Ltd. 2,000 22,936 Matsumotokiyoshi Co., Ltd. 2,400 62,685 Matsushita Electric Industrial Co., Ltd. 198,188 2,952,225 Matsushita Electric Works, Ltd. 79,000 652,983 Matsuzakaya Co., Ltd. 7,000 32,444 # Mazda Motor Corp. 89,000 334,742 Meiji Dairies Corp. 16,000 88,814 Meiji Seika Kaisha, Ltd. Tokyo 23,000 111,950 Meitec Corp. 2,600 79,743 Millea Holdings, Inc. 125 1,653,990 Minebea Co., Ltd. 24,000 97,572
9 Misumi Corp. 1,900 58,297 Mitsubishi Chemical Corp. 150,000 428,893 Mitsubishi Corp. 118,500 1,563,999 Mitsubishi Electric Corp. 149,000 808,699 Mitsubishi Estate Co., Ltd. 92,000 987,888 Mitsubishi Gas Chemical Co., Inc. 27,000 132,946 Mitsubishi Heavy Industries, Ltd. 258,000 664,048 Mitsubishi Logistics Corp. 7,000 66,760 Mitsubishi Materials Corp. 71,000 155,403 # * Mitsubishi Motors Corp. 272,000 336,314 Mitsubishi Paper Mills, Ltd. 13,000 17,402 Mitsubishi Pharma Corp. 46,000 405,087 Mitsubishi Rayon Co., Ltd. 30,000 120,892 Mitsubishi Securities Co., Ltd. 51,000 424,966 Mitsubishi Tokyo Financial Group, Inc. 501 4,148,035 Mitsui & Co., Ltd. 112,000 1,002,107 Mitsui Chemicals, Inc. 50,000 283,539 Mitsui Engineering and Shipbuilding Co., Ltd. 51,000 109,973 Mitsui Fudosan Co., Ltd. 41,000 456,392 Mitsui Marine & Fire Insurance Co., Ltd. 115,790 1,052,385 Mitsui Mining and Smelting Co., Ltd. 40,000 173,224 Mitsui O.S.K. Lines, Ltd. 84,000 503,341 Mitsui Trust Holdings 63,000 614,481 Mitsukoshi, Ltd. 23,000 98,526 Mitsumi Electric Co., Ltd. 3,700 39,162 Mizuho Holdings, Inc. 983 4,624,289 Mochida Pharmaceutical Co., Ltd. 6,000 37,819 Mori Seiki Co., Ltd. 4,000 41,358 Morinaga Milk Industry Co., Ltd. 14,000 57,772 Murata Manufacturing Co., Ltd. 18,300 940,696 Musashino Bank, Ltd. 1,300 59,418 Nagase & Co., Ltd. 7,000 68,342 # Nagoya Railroad Co., Ltd. 59,000 195,481 Namco, Ltd. 6,400 86,378 Nanto Bank, Ltd. 15,000 76,999 NEC Corp. 143,000 791,502 NEC Fielding, Ltd. 2,700 58,011 Net One Systems Co., Ltd. 36 98,758 NGK Insulators, Ltd. 22,000 229,025 NGK Spark Plug Co., Ltd. 14,000 157,447 NHK Spring Co., Ltd. 14,000 115,970 Nichicon Corp. 5,600 73,593 Nichii Gakkan Co. 1,760 43,284 Nichirei Corp. 20,000 74,942 Nidec Corp. 5,500 593,448 Nifco, Inc. 4,000 62,697 Nihon Unisys, Ltd. 3,000 28,085 Nikko Cordial Corp. 138,000 603,475 Nikon Corp. 24,000 265,871 Nintendo Co., Ltd., Kyoto 10,700 1,137,223 Nippon Electric Glass Co., Ltd. 25,000 385,556 Nippon Express Co., Ltd. 70,000 318,210 Nippon Kayaku Co., Ltd. 9,000 48,540 Nippon Light Metal Co., Ltd. 34,000 81,850
10 Nippon Meat Packers, Inc., Osaka 14,000 172,967 Nippon Mining Holdings, Inc. 60,500 329,934 Nippon Mitsubishi Oil Corp. 113,000 736,987 Nippon Paint Co., Ltd. 15,000 52,421 Nippon Sanso Corp. 22,000 109,954 Nippon Sheet Glass Co., Ltd. 26,000 101,588 Nippon Shinpan Co., Ltd. 19,000 92,530 Nippon Shokubai Co., Ltd. 12,000 96,159 Nippon Steel Corp. 526,000 1,222,810 Nippon Suisan Kaisha, Ltd. 21,000 79,691 Nippon System Development Co., Ltd. 900 16,955 Nippon Telegraph & Telephone Corp. 2,177 8,882,061 Nippon Television Network Corp. 890 124,492 Nippon Unipac Holding, Tokyo 68 264,290 Nippon Yusen KK 82,000 445,791 Nipponkoa Insurance Co., Ltd. 56,000 387,262 * Nipro Corp. 4,000 59,737 Nishimatsu Construction Co., Ltd. 17,000 57,321 Nishimatsuya Chain Co., Ltd. 960 22,960 Nishi-Nippon Bank, Ltd. 45,000 184,863 Nishi-Nippon Railroad Co., Ltd. 26,000 79,417 Nissan Chemical Industries, Ltd. 10,000 102,382 Nissan Diesel Motor Co., Ltd. 7,000 26,077 Nissan Motor Co., Ltd. 437,600 4,288,631 Nissan Shatai Co., Ltd. 7,000 46,469 Nissay Dowa General Insurance Co., Ltd. 25,000 125,775 Nisshin Seifun Group, Inc. 15,000 147,514 Nisshin Steel Co., Ltd. 63,000 153,343 Nisshinbo Industries, Inc. 13,000 99,740 # * Nissho Iwai-Nichmen Holdings Corp. 15,500 59,857 Nissin Food Products Co., Ltd. 8,400 221,783 Nitto Denko Corp. 13,900 778,348 NOK Corp. 15,000 405,679 Nomura Research Institute, Ltd. 3,900 368,689 Nomura Securities Co., Ltd. 165,000 2,078,920 Noritake Co., Ltd. 4,000 16,580 * NS Solutions Corp. 2,800 58,838 NSK, Ltd. 33,000 159,945 NTN Corp. 27,000 146,082 NTT Data Corp. 303 965,560 NTT Docomo, Inc. 6,017 9,024,644 Obayashi Corp. 43,000 217,466 Obic Co., Ltd. 500 87,265 Odakyu Electric Railway Co., Ltd. 41,000 217,192 Ogaki Kyoritsu Bank, Ltd. 13,000 76,856 Oita Bank, Ltd. 8,000 51,760 Oji Paper Co., Ltd. 69,000 364,934 Okamura Corp. 8,000 56,022 Okasan Securities Co., Ltd. 8,000 40,639 Oki Electric Industry Co., Ltd. 36,000 121,956 Okumura Corp. 16,000 86,175 Olympus Optical Co., Ltd. 15,000 292,960 Omron Corp. 14,600 320,486 Ono Pharmaceutical Co., Ltd. 7,800 357,041
11 Onward Kashiyama Co., Ltd. 10,000 121,583 # Oracle Corp. Japan 17,500 687,752 * Orient Corp. 31,000 113,815 Oriental Land Co., Ltd. 9,400 556,636 Orix Corp. 4,260 613,150 Osaka Gas Co., Ltd. 164,000 506,990 OSG Corp. 4,000 52,637 Otsuka Corp. 1,600 124,510 Pacific Metals Co., Ltd. 5,000 20,936 PanaHome Corp. 5,000 26,112 Paramount Bed Co., Ltd. 1,000 23,618 Paris Miki, Inc. 1,900 40,396 Park24 Co., Ltd. 3,000 58,913 Pasona, Inc. 20 45,430 Pioneer Electronic Corp. 11,700 192,790 Promise Co., Ltd. 6,500 403,725 Q.P. Corp. 8,900 77,393 Rengo Co., Ltd. 12,000 62,020 * Resona Holdings, Inc. 1,412,000 2,685,656 Ricoh Co., Ltd., Tokyo 58,000 944,730 Rinnai Corp. 3,000 75,335 Rohm Co., Ltd. 9,100 856,779 Round One Corp. 25 61,015 * Ryohin Keikaku Co., Ltd. 1,600 72,457 Ryosan Co., Ltd. 2,000 48,785 Ryoshoku, Ltd. 1,700 47,749 Sagami Railway Co., Ltd. 19,000 63,801 Saizeriya Co., Ltd. 1,300 15,494 San In Godo Bank, Ltd. 11,000 105,033 Sanden Corp. 7,000 28,940 Sanken Electric Co., Ltd. 6,000 81,882 Sankyo Co, Ltd. 8,700 378,566 Sankyo Co., Ltd. 32,800 666,937 Sankyo Seiki Manufacturing Co., Ltd. 5,000 46,051 Sankyo-Tateyama Holdings, Inc. 17,000 42,522 Sankyu, Inc., Tokyo 15,000 42,164 * Sanrio Co., Ltd. 3,000 29,943 Santen Pharmaceutical Co., Ltd. 5,300 119,653 Sanwa Shutter Corp. 15,000 83,804 Sanyo Chemical Industries, Ltd. 6,000 43,391 Sanyo Electric Co., Ltd. 123,000 333,618 Sapporo Breweries, Ltd. 19,000 94,727 Sapporo Hokuyo Holdings, Inc. 25 180,510 Secom Co., Ltd. 18,000 759,282 Sega Sammy Holdings, Inc. 3,024 174,023 Seiko Corp. 3,000 16,153 * Seiko Epson Corp. 7,800 259,109 Seino Transportation Co., Ltd. 10,000 87,421 * Seiyu, Ltd. 28,000 46,441 Sekisui Chemical Co., Ltd. 35,000 242,419 Sekisui House, Ltd. 50,000 489,544 Seven-Eleven Japan Co., Ltd. 92,200 2,594,469 Seventy-seven (77) Bank, Ltd. 25,000 157,206 SFCG Co., Ltd. 870 221,073
12 Sharp Corp. Osaka 81,000 1,252,575 Shiga Bank, Ltd. 15,000 92,785 Shikoku Bank, Ltd. 14,000 75,009 Shikoku Electric Power Co., Inc. 16,200 316,231 Shima Seiki Manufacturing Co., Ltd. 1,500 36,899 Shimachu Co., Ltd. 3,500 87,042 Shimadzu Corp. 12,000 71,080 Shimamura Co., Ltd. 2,400 185,336 Shimano, Inc. 7,700 221,514 Shimizu Corp. 52,000 230,674 Shin-Etsu Chemical Co., Ltd. 31,400 1,158,164 Shinko Electric Industries Co., Ltd. 1,600 62,190 Shinko Securities Co., Ltd. 47,000 142,035 * Shinsei Bank, Ltd. 77,000 389,194 Shionogi & Co., Ltd. 23,000 315,103 Shiseido Co., Ltd. 27,000 324,195 Shizuoka Bank, Ltd. 45,000 387,862 Showa Corp. 2,300 28,723 Showa Denko KK 79,000 187,167 Showa Shell Sekiyu KK 35,100 339,885 Skylark Co., Ltd. 6,500 101,822 SMBC Friend Securities Co., Ltd. 16,500 84,827 SMC Corp. 5,000 529,084 * Snow Brand Milk Products Co., Ltd. 12,000 34,157 Softbank Corp. 28,600 1,024,098 Sohgo Security Services Co.,Ltd. 6,200 78,954 Sony Corp. 85,800 3,204,090 Square Enix Co., Ltd. 9,500 272,234 Stanley Electric Co., Ltd. 10,300 159,668 Sumisho Computer Systems Corp. 1,600 37,953 Sumitomo Bakelite Co., Ltd. 12,000 74,647 Sumitomo Chemical Co., Ltd. 106,000 496,110 Sumitomo Corp. 84,000 670,880 Sumitomo Corporation's Leasing, Ltd. 2,000 70,481 Sumitomo Electric Industries, Ltd. 57,000 597,862 Sumitomo Forestry Co., Ltd. 8,000 69,555 Sumitomo Heavy Industries, Ltd. 37,000 182,517 Sumitomo Metal Industries, Ltd. Osaka 332,000 558,547 Sumitomo Metal Mining Co., Ltd. 40,000 255,899 Sumitomo Mitsui Financial Group, Inc. 421 2,723,040 Sumitomo Osaka Cement Co., Ltd. 25,000 60,041 Sumitomo Real Estate Sales Co., Ltd. 1,200 53,785 Sumitomo Realty & Development Co., Ltd. 31,000 333,184 Sumitomo Rubber 16,000 169,847 Sumitomo Special Metals Co., Ltd. 4,000 90,655 Sumitomo Trust & Banking Co., Ltd. 118,000 697,927 Sumitomo Warehouse Co., Ltd. 10,000 51,148 Sundrug Co., Ltd. 1,000 37,593 Suruga Bank, Ltd. 15,000 122,283 Suzuken Co., Ltd. 6,980 185,314 Suzuki Motor Corp. 46,500 757,915 Sysmex Corp. 1,300 81,386 T&D Holdings, Inc. 16,900 846,442 Taiheiyo Cement Corp. 56,000 145,023
13 Taisei Corp. 71,000 235,057 Taisho Pharmaceutical Co., Ltd. 30,000 570,112 Taiyo Yuden Co., Ltd. 10,000 111,109 Takara Shuzo Co., Ltd. 10,000 63,199 Takara Standard Co., Ltd. 9,000 57,542 Takashimaya Co., Ltd. 19,000 159,088 Takeda Chemical Industries, Ltd. 74,900 3,597,236 Takefuji Corp. 10,350 640,174 Takuma Co., Ltd. 2,000 13,871 # * TC Properties Co., Ltd. 61,900 79,351 TDK Corp. 10,300 747,920 Teijin, Ltd. 57,000 250,258 Teikoku Oil Co., Ltd. 16,000 108,027 Terumo Corp. 13,000 341,860 The Nisshin Oillio Group, Ltd. 6,000 33,883 THK Co., Ltd. 7,200 145,390 TIS, Inc. 2,700 88,534 Toagosei Co., Ltd. 15,000 61,342 Tobu Railway Co., Ltd. 61,000 225,293 Toda Corp. 14,000 57,211 Toho Bank, Ltd. 14,000 57,339 Toho Co., Ltd. 12,800 179,696 Toho Gas Co., Ltd. 36,000 138,683 Toho Titanium Co., Ltd. 2,000 73,915 Tohuku Electric Power Co., Inc. 38,300 769,089 Tokai Rika Co., Ltd. 4,000 63,159 Tokai Rubber Industries, Ltd. 6,000 81,533 Tokai Tokyo Securities Co., Ltd. 8,000 23,558 Tokuyama Corp. 15,000 110,658 Tokyo Broadcasting System, Inc. 11,200 188,288 Tokyo Dome Corp. 10,000 54,403 Tokyo Electric Power Co., Ltd 100,800 2,360,478 Tokyo Electron, Ltd. 14,400 802,439 Tokyo Gas Co., Ltd. 217,000 850,014 Tokyo Seimitsu Co., Ltd. 1,600 64,373 Tokyo Steel Manufacturing Co., Ltd. 10,100 132,339 Tokyo Style Co., Ltd. 7,000 71,211 Tokyo Tatemono Co., Ltd. 12,000 82,901 Tokyo Tomin Bank, Ltd. 2,300 58,121 Tokyu Corp. 75,000 333,051 Tokyu Land Corp. 27,000 117,780 * Tomen Corp. 35,000 48,955 TonenGeneral Sekiyu KK 24,000 255,742 Toppan Forms Co., Ltd. 3,500 38,425 Toppan Printing Co., Ltd. 46,000 467,554 Toray Industries, Inc. 97,000 429,723 Toshiba Corp. 247,000 1,007,520 Toshiba Machine Co., Ltd. 7,000 38,118 Toshiba TEC Corp. 11,000 48,614 Tosoh Corp. 37,000 150,549 Tostem Inax Holding Corp. 22,740 386,832 Toto, Ltd. 25,000 197,751 Toyo Ink Manufacturing Co., Ltd. 13,000 50,528 Toyo Seikan Kaisha, Ltd. 15,300 265,223
14 Toyo Suisan Kaisha, Ltd. 7,000 109,751 Toyobo Co., Ltd. 37,000 83,829 Toyoda Gosei Co., Ltd. 10,100 176,538 Toyoda Machine Works, Ltd. 3,000 28,975 Toyota Auto Body Co., Ltd. 6,200 121,393 Toyota Industries Corp. 15,300 410,577 Toyota Motor Credit Corp. 248,400 8,829,632 # Toyota Tsusho Corp. 18,000 304,181 Trans Cosmos, Inc. 1,000 34,112 Trend Micro Inc. 9,500 295,617 Tsumura & Co. 4,000 69,764 TV Asahi Corp. 50 102,409 Ube Industries, Ltd. 52,000 98,145 * UFJ Holdings, Inc. 367 1,851,069 * UFJ Tsubasa Securities Co. Ltd. 36,000 122,314 Uni-Charm Corp. 4,600 187,121 Uniden Corp. 5,000 74,907 Union Tool Co. 800 23,301 UNY Co., Ltd. 12,000 130,156 * Urban Corp. 1,300 47,779 Ushio Inc. 7,000 134,933 USS Co., Ltd. 1,720 108,252 Victor Co. of Japan, Ltd. 16,000 125,067 Wacoal Corp. 7,000 93,069 * West Japan Railway Co. 136 464,218 World Co., Ltd. 2,800 92,890 Xebio Co., Ltd. 1,700 47,796 Yahoo Japan Corp. 1,500 3,006,318 Yakult Honsha Co., Ltd. 12,000 221,266 Yamada Denki Co., Ltd. 5,300 287,774 Yamaguchi Bank, Ltd. 13,000 147,049 Yamaha Corp. 14,500 211,769 Yamaha Motor Co., Ltd. 21,000 382,681 Yamanashi Chuo Bank, Ltd. 10,000 60,027 Yamanouchi Pharmaceutical Co., Ltd. 38,255 1,362,123 Yamatake Corp. 3,700 61,048 Yamato Kogyo Co., Ltd. 3,000 34,376 Yamato Transport Co., Ltd. 33,000 460,321 Yamazaki Baking Co., Ltd. 12,000 103,102 * Yaskawa Electric Corp. 12,000 67,685 Yasuda Fire & Marine Insurance Co., Ltd. 66,000 666,781 # Yasuda Trust & Banking Co., Ltd. 667,000 1,011,504 Yodogawa Steel Works, Ltd. 8,000 42,235 Yokogawa Electric Corp. 14,000 172,706 Yokohama Rubber Co., Ltd. 21,000 86,284 York-Benimaru Co., Ltd. 2,700 75,055 * Yoshinoya D&C Co., Ltd. 19 29,745 Zeon Corp. 15,000 130,333 ---------------- TOTAL COMMON STOCKS (Cost $222,416,289) 213,115,847 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Japanese Yen 82,312 ---------------- (Cost $82,940) TOTAL -- JAPAN (Cost $222,499,229) 213,198,159 ----------------
15 FRANCE -- (8.2%) COMMON STOCKS -- (8.2%) # Accor SA 16,187 746,294 Air France 24,260 386,115 # Air Liquide SA 9,412 1,635,865 Air Liquide SA Primes De Fid 02 11,393 1,989,401 * Alcatel SA 99,180 1,083,444 * Alstom SA 321,074 292,534 Arcelor SA 29,800 592,554 # Assurances Generales de France (AGF) 15,535 1,246,063 * Atos Origin 4,218 260,964 # AXA 129,554 3,162,236 # BNP Paribas SA 72,070 4,844,918 Bollore Technologies SA 203 99,138 # Bouygues 25,936 997,400 * Business Objects SA 5,500 157,932 * Cap Gemini SA 9,658 308,111 # Carrefour 47,596 2,359,753 # Casino Guichard Perrachon 9,856 735,764 Cie Generale D'Optique Essilor Intenational SA 7,532 516,206 Clarins SA 1,307 80,353 * CNP Assurances 2,921 195,783 # Compagnie de Saint-Gobain 27,653 1,590,576 Compagnie Francaise d'Etudes et de Construction Technip SA 7,160 316,256 Dassault Systemes SA 9,666 448,409 # Dior (Christian) SA 17,202 1,247,783 Eiffage SA 3,165 252,583 Esso SA 173 29,146 Euler-Hermes SA 3,120 235,889 * European Aeronautic Defence & Space Co. 21,888 647,011 Faurecia SA 1,328 99,601 Fimalac SA 560 25,645 # * France Telecom SA 231,887 6,593,043 * Gecina SA 5,098 618,240 # Generale des Establissements Michelin SA Series B 10,031 633,618 # Groupe Danone 20,359 1,870,510 # Havas SA 27,830 164,460 # Hermes International SA 4,009 775,940 Iliad SA 2,200 77,602 Imerys SA 5,342 384,967 * JC Decaux SA 18,441 446,395 Klepierre SA 1,862 175,315 # LaFarge SA 14,341 1,297,720 LaFarge SA Prime Fidelity 8,912 812,634 # Lagardere S.C.A. SA 10,537 750,245 # L'Oreal 64,016 4,635,405 # LVMH (Louis Vuitton Moet Hennessy) 43,990 3,138,346 Metropole Television SA 10,023 250,424
16 Neopost SA 2,155 192,391 NRJ Group 3,492 71,882 # Pernod-Ricard SA 4,485 692,739 # Peugeot SA 16,477 986,127 # Pinault Printemps Redoute SA 9,979 987,712 Publicis Groupe 14,334 420,431 Rallye SA 1,275 63,320 Remy Cointreau SA 2,257 95,244 # Renault SA 20,388 1,744,260 Sagem SA 13,268 251,085 # Sanofi Synthelabo 99,510 8,954,779 # Schneider SA 18,030 1,325,641 * Scor SA 28,551 58,503 SEB SA Prime Fidelite 2002 953 97,893 SEB SA Prime Fidelity 990 101,785 Societe BIC SA 3,600 193,293 # Societe des Ciments de Francais 1,006 91,941 # Societe Generale Paris 28,923 2,841,986 # Societe Television Francaise 1 17,323 468,796 Sodexho Alliance SA 11,496 369,067 Somfy Interational SA 134 27,121 # Ste des Autoroutes du Sud de la France 25,546 1,317,896 Stmicroelectronics NV 53,696 832,550 # Suez (ex Suez Lyonnaise des Eaux) 70,519 1,896,705 # Thales SA 16,134 644,020 # Thomson Multimedia 16,643 422,570 # Total SA 49,434 10,993,233 Unibail SA 3,395 431,488 Valeo SA 5,890 246,497 # Veolia Environnement SA 29,204 1,106,330 # Vinci SA 11,396 853,265 # Vivendi Universal SA 89,770 2,733,870 Wendel Investissement 4,149 329,890 Zodiac SA 4,549 221,092 ---------------- TOTAL COMMON STOCKS (Cost $78,314,817) 91,273,993 ---------------- RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 2,377 1,083 ---------------- (Cost $4,469) TOTAL -- FRANCE (Cost $78,319,286) 91,275,076 ---------------- GERMANY -- (5.9%) COMMON STOCKS -- (5.9%) * Aachener und Muenchener Beteiligungs AG 5,721 462,208 Adidas-Salomon AG 3,668 610,147 # * Aixtron AG 2,400 7,808 Allianz AG 28,115 3,310,285 Altana AG 14,018 832,270 # BASF AG 45,217 3,000,881
17 # Bayer AG 59,643 2,002,778 # Bayerische Motorenwerke AG 59,234 2,561,133 * Bayerische Vereinsbank AG 51,617 1,268,381 Beiersdorf AG 12,509 1,340,463 BHW Holding AG 1,358 23,303 # Commerzbank AG 43,148 937,121 # Continental AG 10,033 710,527 * D. Logistics AG 1,200 2,537 # DaimlerChrysler AG 79,549 3,207,104 # Deutsche Bank AG 45,186 3,515,426 Deutsche Boerse AG 8,822 649,003 # Deutsche Lufthansa AG 43,579 549,520 Deutsche Post AG 135,361 3,174,945 Deutsche Telekom AG 354,516 6,588,307 Douglas Holding AG 1,500 50,909 E.ON AG 56,479 4,903,165 * Epcos AG 2,800 35,845 Fraport AG 9,524 393,238 * Freenet.De AG 2,562 64,734 # Fresenius Medical Care AG 6,632 520,919 Gehe AG 9,662 791,542 Hannover Rueckversicherungs AG 12,626 481,359 * Heidelberger Druckmaschinen AG 6,690 206,547 Heidelberger Zement AG 9,226 590,063 Henkel KGAA 1,961 170,435 Hochtief AG 4,316 146,660 Hugo Boss AG 808 24,139 Hypo Real Estate Holding AG 10,787 424,812 * Infineon Technologies AG 54,518 480,117 * IVG Immobilien AG 3,712 67,435 K & S Aktiengesellschaft AG 2,419 129,168 * Karstadt Quelle AG 10,229 112,477 * Lanxess 4,179 88,657 # * Linde AG 9,032 612,940 # MAN AG 12,430 551,407 # Medion AG 2,850 44,074 Merck KGAA 4,005 312,828 Metro AG 36,404 1,816,036 * MG Technologies AG 14,061 159,429 Munchener Rueckversicherungs-Gesellschaft AG 17,069 1,866,256 Oldenburgische Landesbank AG 969 70,780 # Preussag AG 12,979 321,774 Puma AG 1,055 267,343 Rheinmetall Berlin AG 1,424 72,242 Rwe AG (Neu) 800 42,259 Rwe AG (NEU) Series A 38,004 2,321,049 SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung) 25,996 4,287,803 Schering AG 12,657 794,686 Schwarz Pharma AG 2,790 122,222 * SGL Carbon AG 1,750 20,615 Siemens AG 71,302 5,218,898 Stada Arzneimittel AG 2,242 69,141 Suedzucker AG 18,765 354,071
18 ThyssenKrupp AG 44,279 812,909 United Internet AG 1,321 34,210 Volkswagen AG 24,379 1,072,922 * WCM Beteiligungs AG 11,608 6,281 ---------------- TOTAL -- GERMANY (Cost $64,930,249) 65,688,543 ---------------- SWITZERLAND -- (5.9%) COMMON STOCKS -- (5.9%) * ABB, Ltd. 165,197 1,078,864 * Actelion, Ltd. 1,600 162,141 Adecco SA 18,801 891,650 Baloise-Holding 4,100 214,086 BKW FMB Energie AG 556 329,690 Ciba Spezialitaetenchemie Holding AG 5,321 316,369 Cie Financiere Richemont AG Series A 46,023 1,401,176 * Clariant AG 18,560 260,157 Credit Swisse Group 96,225 3,849,392 * Fischer (Georg) AG, Schaffhausen 145 42,984 * Forbo Holding AG, Eglisau 102 19,444 Geberit AG 314 206,219 Givaudan SA 613 364,867 Holcim, Ltd. 21,899 1,331,212 # * Julius Baer Holding AG 3,453 210,341 Kudelski SA 3,084 108,557 Kuehne & Nagel International AG 3,032 631,538 * Kuoni Reisen Holding AG 180 71,395 Lindt & Spruengli AG 12 191,742 * Logitech International SA 3,719 221,470 Lonza Group AG 2,970 181,160 Nestle SA, Cham und Vevey 35,676 9,390,043 Nobel Biocare Holding AG 1,832 365,225 Novartis AG 236,286 11,534,671 Phonak Holding AG 4,487 164,516 Publicitas Holding SA, Lausanne 104 30,312 Roche Holding AG Bearer 26,618 3,852,257 Roche Holding AG Genusschein 59,538 7,499,453 Schindler Holding AG 210 75,397 Schindler Holding AG 1,845 663,956 Serono SA 1,432 873,400 Societe Generale de Surveillance Holding SA 933 655,246 Straumann Holding AG 1,836 369,601 Sulzer AG, Winterthur 165 68,620 Swatch Group AG 2,692 356,055 * Swiss Life AG 2,640 348,581 # Swiss Reinsurance Co., Zurich 27,255 1,687,148 Swisscom AG 10,343 3,461,537 * Syngenta AG 8,613 890,390 Synthes, Inc. 10,130 1,111,264 Tecan Group AG 627 17,907 The Swatch Group AG 18,164 497,104
19 UBS AG 95,271 7,357,923 # Unaxis Holding AG 912 127,967 * Valora Holding AG 209 45,860 * Zurich Financial SVCS AG 12,187 2,024,434 ---------------- TOTAL COMMON STOCKS (Cost $51,368,768) 65,553,321 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs 15,302 ---------------- (Cost $15,636) TOTAL -- SWITZERLAND (Cost $51,384,404) 65,568,623 ---------------- AUSTRALIA -- (4.4%) COMMON STOCKS -- (4.4%) ABC Learning Centres, Ltd. 13,810 55,167 Alinta, Ltd. 20,508 152,650 Amcor, Ltd. 68,662 351,213 AMP, Ltd. 158,850 789,468 Ansell, Ltd. 12,403 85,985 APN News & Media, Ltd. 49,644 190,915 Aristocrat Leisure, Ltd. 49,521 390,409 # Australand Property Group 55,200 58,751 Australia & New Zealand Banking Group, Ltd. 158,581 2,564,740 Australian Gas Light Co. 40,414 424,034 Australian Stock Exchange, Ltd. 7,599 131,100 * Australian Wealth Management, Ltd. 17,398 12,615 AWB, Ltd. 25,051 84,064 AXA Asia Pacific Holdings, Ltd. 244,297 856,027 Bendigo Bank, Ltd. 9,970 72,887 BHP Billiton, Ltd. 326,085 4,088,585 Billabong International, Ltd. 17,806 165,753 Bluescope Steel, Ltd. 60,628 368,291 Boral, Ltd. 49,907 223,272 Brambles Industries, Ltd. 84,826 508,229 Brickworks, Ltd. 9,442 71,927 * Burns, Philp & Co., Ltd. 147,539 98,310 Caltex Australia, Ltd. 29,754 338,389 * Challenger Financial Services Group, Ltd. 38,847 97,781 Coca-Cola Amatil, Ltd. 40,824 241,686 Cochlear, Ltd. 4,162 101,332 Coles Myer, Ltd. 100,590 691,252 Commonwealth Bank of Australia 111,378 3,111,357 Computershare, Ltd. 51,406 227,959 CSL, Ltd. 16,771 365,010 CSR, Ltd. 67,847 126,620 DB RREEF Trust 43,342 44,787 DCA Group, Ltd. 31,921 83,729 Downer Group, Ltd. 17,631 70,239 Flight Centre, Ltd. 6,023 65,420 Foodland Associates, Ltd. 8,315 165,978
20 Foster's Group, Ltd. 172,992 703,984 Futuris Corp., Ltd. 44,053 56,141 General Property Trust 75,385 200,751 Gunns, Ltd. 27,987 81,458 * Hardman Resources NL 33,188 45,468 Harvey Norman Holdings, Ltd. 128,448 237,119 Iluka Resources, Ltd. 20,985 97,246 Insurance Australiz Group, Ltd. 136,198 599,897 James Hardies Industries NL 30,184 152,756 John Fairfax Holdings, Ltd. 76,451 240,833 Leighton Holdings, Ltd. 30,749 239,952 Lend Lease Corp., Ltd. 31,264 288,023 * Lihir Gold, Ltd. 79,000 63,726 Lion Nathan, Ltd. 63,050 349,305 Macquarie Bank, Ltd. 18,800 713,296 Macquarie Goodman Group 102,680 310,216 Macquarie Infrastructure Group 83,347 244,566 Mayne Group, Ltd. 50,885 177,493 # * Metcash Limited 94,739 268,336 Mirvac, Ltd. 67,012 168,836 * Multiplex Group 59,010 114,100 National Australia Bank, Ltd. 138,432 3,285,797 National Foods, Ltd. 17,881 85,901 Newcrest Mining, Ltd. 24,364 243,896 Nufarm, Ltd. 11,456 76,220 * Oil Search, Ltd. 67,498 121,911 Onesteel, Ltd. 38,516 72,942 Orica, Ltd. 22,231 263,730 Origin Energy, Ltd. 64,493 347,387 * Oxiana, Ltd. 52,556 34,018 Pacific Brands, Ltd. 39,285 66,870 Paperlinx, Ltd. 29,331 51,272 Patrick Corp., Ltd. 50,695 217,454 Perpetual Trustees Australia, Ltd. 2,758 116,386 Promina Group, Ltd. 86,780 333,200 Publishing and Broadcasting, Ltd. 118,759 1,363,795 QBE Insurance Group, Ltd. 67,065 741,229 Quantas Airways, Ltd. 332,379 806,248 Rinker Group, Ltd. 80,131 744,010 # Rio Tinto, Ltd. 44,239 1,415,343 Rural Press, Ltd. 8,895 68,374 Santos, Ltd. 47,603 361,579 * Scigen 11,443 432 SFE Corp., Ltd. 9,801 74,490 Sigma Co., Ltd. 7,216 44,634 Sims Group, Ltd. 6,740 68,581 Sonic Healthcare, Ltd. 20,706 180,986 * Sons of Gwalia, Ltd. 7,201 0 St. George Bank, Ltd. 44,108 866,579 Stockland Trust Group 33,269 138,600 * Stockland Trust Group Issue 05 1,124 4,635 Suncorp-Metway, Ltd. 47,615 703,560 Tab Queensland, Ltd. 8,003 80,809 Tabcorp Holdings, Ltd. 43,536 514,454
21 Telstra Corp., Ltd. 1,076,734 4,079,625 Ten Network Holdings, Ltd. 28,370 79,941 Toll Holdings, Ltd. 30,780 289,925 Transurban Group 59,543 326,232 * Virgin Blue Holdings, Ltd. 70,347 89,352 Washington H. Soul Pattinson & Co., Ltd. 18,899 128,354 Wesfarmers, Ltd. 31,257 865,208 West Australian Newspapers Holdings, Ltd. 15,484 89,723 * Westfield Group 1,187 14,972 Westfield Group Stapled 37,972 481,019 Westpac Banking Corp. 156,363 2,318,248 WMC Resources, Ltd. 77,964 454,159 WMC, Ltd. 95,810 396,914 Woodside Petroleum, Ltd. 70,327 1,312,320 Woolworths, Ltd. 86,513 1,047,927 Worley Group, Ltd. 12,260 65,072 ---------------- TOTAL COMMON STOCKS (Cost $33,118,345) 48,363,746 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Australian Dollar 197,429 ---------------- (Cost $197,620) TOTAL -- AUSTRALIA (Cost $33,315,965) 48,561,175 ---------------- NETHERLANDS -- (4.0%) COMMON STOCKS -- (4.0%) ABN AMRO Holding NV 160,214 3,720,734 Aegon NV 150,762 1,930,274 AKZO Nobel NV 25,960 1,019,845 Buhrmann NV 6,020 55,170 DSM NV 11,122 744,500 Elsevier NV 67,133 928,120 Getronics NV 27,590 45,121 * Hagemeyer NV 21,897 52,022 Heineken Holding NV Series A 40,723 1,156,070 Heineken NV 77,252 2,450,918 # Hunter Douglas NV 5,232 270,541 IHC Caland NV 2,636 169,024 ING Groep NV 219,463 6,072,380 # * Ispat International NV 20,616 508,236 * Koninklijke Ahold NV 145,070 1,095,076 Koninklijke KPN NV 241,808 1,922,943 Koninklijke Nedlloyd NV 4,376 300,292 Koninklijke Philips Electronics NV 122,480 3,132,930 * Norit NV 42,074 677,742 * Nutricia (Verenigde Bedrijven) NV 15,794 629,756 Oce NV 4,991 72,313 Randstad Holdings NV 20,298 726,276 Royal Dutch Petroleum Co., Den Haag 190,405 11,119,403 TNT Post Groep NV 57,222 1,461,685
22 # Unilever NV 50,102 3,321,654 Vedior NV 15,338 217,854 VNU NV 23,417 637,006 Wolters Kluwer NV 27,979 490,845 ---------------- TOTAL COMMON STOCKS (Cost $43,261,593) 44,928,730 ---------------- RIGHTS/WARRANTS -- (0.0%) * SBM Offshore Coupons 2,636 0 ---------------- (Cost $0) TOTAL -- NETHERLANDS (Cost $43,261,593) 44,928,730 ---------------- ITALY -- (3.2%) COMMON STOCKS -- (3.2%) Acea SpA 7,694 86,811 AEM SpA 102,681 215,627 * Alitalia Linee Aeree Italiane SpA Series A 50,000 15,895 # Alleanza Assicurazioni SpA 52,431 560,544 ASM Brescia SpA 7,586 24,122 # Assicurazioni Generali SpA, Trieste 78,677 2,390,188 Autogrill SpA, Novara 14,752 205,152 # Autostade SpA 40,846 1,063,882 Banca Antoniana Popolare Veneta SpA 14,739 470,547 Banca Fideuram SpA 70,232 346,825 # Banca Monte Dei Paschi di Siena SpA 176,149 632,583 # * Banca Nazionale del Lavoro SpA 173,414 584,556 Banca Popolare di Lodi Scarl 14,675 143,129 Banca Popolare di Milano 30,454 308,543 # Banco Popolare Bergamo SpA 19,238 389,851 Banco Popolare di Verona e Novara SpA 29,390 532,686 Benetton Group SpA 6,950 63,067 Bulgari SpA 16,639 185,858 Buzzi Unicem SpA 3,954 56,895 Capitalia SpA 125,484 655,610 Cassa di Risparmio di Firenze SpA 34,725 86,612 CIR SpA (Cie Industriale Riunite), Torino 34,312 94,832 Compagnia Assicuratrice Unipol SpA 34,504 136,657 Credito Bergamasco SpA 854 25,240 Credito Emiliano SpA 12,917 145,584 # Credito Italiano 379,350 1,963,513 Davide Campari - Milano SpA 10,200 72,840 * E.Biscom SpA 3,329 145,358 # * Edison SpA 370,539 839,467 # Eni SpA 237,013 6,069,975 # Ente Nazionale per L'Energia Elettrica SpA 461,796 4,153,898 * Fiat SpA 47,140 317,619 Finecogroup SpA 18,285 156,722 Finmeccanica SpA 385,000 350,528 # Gruppo Editoriale L'espresso SpA 21,573 123,254 * Hera SpA 36,487 102,523
23 Intesabci SpA 397,132 1,854,736 Italcementi SpA 8,940 138,059 Italmobiliare SpA, Milano 449 27,892 Lottomatica SpA 2,664 89,075 # Luxottica Group SpA 40,566 842,224 # Mediaset SpA 83,030 978,552 Mediobanca SpA 34,000 591,233 # Mediolanum SpA 44,701 285,579 Milano Assicurazioni SpA 9,884 56,190 Mondadori (Arnoldo) Editore SpA 13,860 134,053 Pirelli & Co. SpA 93,332 103,004 # RAS SpA (Riunione Adriatica di Sicurta) 50,861 980,686 # SAI SpA (Sta Assicuratrice Industriale), Torino 6,188 161,279 # Saipem SpA 24,958 315,063 # San Paolo-IMI SpA 96,588 1,341,524 * Seat Pagine Gialle SpA 429,123 174,395 * Seat Pagine Gialle SpA, Torino 3,591 1,698 SNAM Rete Gas SpA 142,784 764,677 * SNIA SpA 9,248 3,213 Societe Cattolica di Assicurazoni Scarl SpA 3,387 148,164 * Sorin SpA 13,872 41,525 Telecom Italia Mobile SpA 39,514 219,554 Telecom Italia SpA 740,972 2,378,691 * Tiscali SpA 13,000 38,798 ---------------- TOTAL COMMON STOCKS (Cost $29,690,692) 35,386,857 ---------------- PREFERRED STOCKS -- (0.0%) * Fiat SpA 3,000 16,168 ---------------- (Cost $43,047) RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 01/31/07 1,677 392 ---------------- (Cost $0) TOTAL -- ITALY (Cost $29,733,739) 35,403,417 ---------------- SPAIN -- (3.2%) COMMON STOCKS -- (3.2%) Acciona SA 5,051 463,450 Acerinox SA 15,983 230,663 Actividades de Construccion y Servicios SA 22,866 607,527 Antena 3 de Television SA 9,360 187,382 # Autopistas Concesionaria Espanola SA 44,293 987,875 Banco Bilbao Vizcaya SA 182,100 2,855,438 Banco de Andalucia 655 57,729 Banco de Sabadell SA 18,074 474,044 # Banco de Valencia SA 5,586 162,489 * Banco Espanol de Credito SA 39,155 563,771 # Banco Pastor SA 2,530 94,443 Banco Popular Espanol SA, Madrid 15,148 902,424
24 # Banco Santander Central Hispanoamerica SA 504,762 5,766,128 Bankinter SA 3,867 196,084 Cementos Portland SA 1,338 91,871 Cia Espanola de Petroleous SA 13,626 536,569 Compania de Distribucion Integral Logista SA 1,928 96,348 Coporacion Financiera Reunida SA 6,070 77,013 Corporacion Mapfre Compania Internacional de Reaseguros SA 15,336 223,492 Ebro Puleva SA 8,097 145,656 Enagas SA 14,223 226,365 Endesa SA, Madrid 80,559 1,753,292 Fomento de Construcciones y Contratas SA 11,974 659,527 # Gamesa Corporacion Tecnologica SA 12,172 164,691 Gas Natural SA, Buenos Aires 43,183 1,210,460 # Grupo Ferrovial SA 11,821 727,492 # Iberdrola SA 64,787 1,652,554 Iberia Lineas Aereas de Espana SA 65,471 206,957 Indra Sistemas SA 9,037 165,159 Industria de Diseno Textil SA 60,827 1,724,185 Inmobiliaria Urbis SA 2,577 43,731 # Metrovacesa SA 4,468 270,705 Promotora de Informaciones SA 17,174 336,419 Red Electrica de Espana SA 7,740 191,773 Repsol SA 77,069 1,927,286 * Sociedad General de Aguas de Barcelona SA 62 1,246 Sociedad General de Aguas de Barcelona SA Class A 8,008 161,285 # * Sogecable SA 8,794 321,037 Sol Melia SA 8,400 88,165 Tabacalera SA 19,552 801,538 Tele Pizza SA 7,000 14,278 Telefonica de Espana SA 350,218 5,871,750 # Telefonica Publicidad e Informacion SA 26,439 223,024 Union Fenosa SA 19,200 577,811 Vallehermoso SA 20,299 409,079 # Zardoya Otis SA 16,449 475,036 Zeltia SA 10,500 84,588 ---------------- TOTAL COMMON STOCKS (Cost $25,422,245) 35,009,829 ---------------- RIGHTS/WARRANTS -- (0.0%) * Banco Valencia SA Rights 06/07/05 5,586 3,368 * Sogecable SA Rights 06/07/05 8,794 3,679 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 7,047 ---------------- TOTAL -- SPAIN (Cost $25,422,245) 35,016,876 ---------------- SWEDEN -- (2.0%) COMMON STOCKS -- (2.0%) Alfa Laval AB 7,600 114,537 Assa Abloy AB Series B 24,100 316,772
25 Atlas Copco AB Series A 30,300 462,112 * Atlas Copco AB Series A Redemption Shares 10,100 27,147 Atlas Copco AB Series B 16,200 227,481 * Atlas Copco AB Series B Redemption Shares 5,400 14,514 Axfood AB 3,550 88,314 Billerud AB 3,200 38,669 Castellum AB 3,250 125,309 Electrolux AB Series B 23,700 518,084 Eniro AB 12,700 144,586 Fabege AB 6,135 123,790 Gambro AB Series A 19,800 262,608 Gambro AB Series B 7,200 95,932 Getinge AB 11,600 168,483 Hennes & Mauritz AB Series B 67,750 2,389,900 Hoganas AB Series B 1,300 34,273 Holmen AB Series B 6,000 161,369 Lennart Wallenstam Byggnads AB Class B 18,500 245,444 * Lundin Petroleum AB 14,500 104,737 * Modern Times Group AB Series B 4,150 127,991 NCC AB Series B 3,200 46,954 Nordic Baltic Holdings AB 233,048 2,128,696 * OMHEX AB 6,500 78,432 # Sandvik AB 19,200 759,651 # Scania AB Series A 4,000 145,423 Scania AB Series B 7,800 284,856 Securitas AB Series B 24,100 401,377 Skandia Insurance AB 75,500 417,025 Skandinaviska Enskilda Banken Series A 60,900 1,047,629 Skanska AB Series B 31,100 389,670 SKF AB Series A 9,200 94,066 * SKF AB Series A Redemption Shares 2,300 7,697 SKF AB Series B 30,400 310,557 * SKF AB Series B Redemption Shares 7,600 25,432 SSAB Swedish Steel Series A 4,700 114,257 SSAB Swedish Steel Series B 2,600 61,066 Svenska Cellulosa AB Series B 14,300 486,832 Svenska Handelsbanken Series A 50,700 1,096,578 Swedish Match AB (Frueher Svenska Taendsticks AB) 24,000 275,061 Tele2 AB Series A 2,400 23,204 * Tele2 AB Series A Redemption Shares 800 1,070 Tele2 AB Series B 30,150 288,017 * Tele2 AB Series B Redemption Shares 10,050 13,439 Telefon AB L.M. Ericsson Series B 1,251,800 3,936,917 Telia AB 555,400 2,748,671 Tietoenator Corp. AB 3,400 104,297 Trelleborg AB Series B 5,800 90,106 Volvo AB Series A 11,700 462,198 Volvo AB Series B 24,700 1,009,822 * Wihlborgs Fastigheter AB 1,227 28,857 WM-Data AB Series B 8,500 22,141 ---------------- TOTAL COMMON STOCKS (Cost $18,457,469) 22,692,050 ----------------
26 INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona 58,904 ---------------- (Cost $59,725) RIGHTS/WARRANTS -- (0.0%) * Sandvik AB Redeemable Rights 06/07/05 19,200 11,276 ---------------- (Cost $0) TOTAL -- SWEDEN (Cost $18,517,194) 22,762,230 ---------------- HONG KONG -- (1.6%) COMMON STOCKS -- (1.6%) # ASM Pacific Technology, Ltd. 12,000 52,660 Bank of East Asia, Ltd. 110,149 323,581 Cathay Pacific Airways, Ltd. 221,000 399,389 Chaoda Modern Agriculture (Holdings), Ltd. 88,000 36,396 Cheung Kong Holdings, Ltd. 135,600 1,233,317 Cheung Kong Infrastructure Holdings, Ltd. 129,000 388,528 China Merchants Holdings (International) Co., Ltd. 90,000 167,793 China Overseas Land & Investment, Ltd. 210,000 39,269 China Travel International Investment, Ltd. 126,000 34,691 China Unicom, Ltd. 642,000 514,786 * CITIC 21CN Co., Ltd. 116,000 32,702 Citic Ka Wah Bank, Ltd. 84,000 30,937 Citic Pacific, Ltd. 94,000 261,484 CLP Holdings, Ltd. 155,400 888,204 CNOOC, Ltd. 2,166,500 1,187,876 Dah Sing Banking Group, Ltd. 720 1,298 Dah Sing Financial Holdings, Ltd. 8,059 52,249 Esprit Holdings, Ltd. 70,041 500,334 * First Pacific Co., Ltd. 130,000 44,574 Giordano International, Ltd. 98,000 64,175 Global Bio-Chem Technology Group Co., Ltd. 70,000 47,046 GOME Electrical Appliances Holdings, Ltd. 56,000 55,720 Great Eagle Holdings, Ltd. 16,000 36,425 Hang Lung Development Co., Ltd. 70,000 119,392 Hang Lung Properties, Ltd. 113,500 164,354 Hang Seng Bank, Ltd. 131,100 1,757,441 # Henderson Investment, Ltd. 119,000 166,207 Henderson Land Development Co., Ltd. 117,000 532,172 Hong Kong and China Gas Co., Ltd. 305,000 612,708 Hong Kong and Shanghai Hotels, Ltd. 43,001 44,918 Hong Kong Electric Holdings, Ltd. 119,207 526,499 Hong Kong Exchanges & Clearing, Ltd. 48,000 117,575 Hopewell Holdings, Ltd. 49,000 121,015 Hutchison Whampoa, Ltd. 256,500 2,225,886 Hysan Development Co., Ltd. 54,462 109,564 I-Cable Communications, Ltd. 9,854 3,447 Johnson Electric Holdings, Ltd. 168,000 157,074 K. Wah Construction Materials, Ltd. 42,000 34,009 Kerry Properties, Ltd. 41,255 90,266 Kingboard Chemical Holdings, Ltd. 34,000 103,336
27 Kowloon Motor Bus Holdings, Ltd. 12,800 69,067 Legend Group, Ltd. 248,000 78,448 Li & Fung, Ltd. 126,000 240,477 Melco International Development, Ltd. 32,000 37,222 MTR Corp., Ltd. 225,570 415,042 New World Development Co., Ltd. 155,477 162,208 NWS Holdings Ltd. 67,000 92,893 PCCW, Ltd. 235,265 143,632 SCMP Group, Ltd. 39,198 16,978 Shanghai Industrial Holdings, Ltd. 26,000 50,385 # Shangri-La Asia, Ltd. 100,913 152,354 Shun Tak Holdings, Ltd. 80,000 75,319 Silver Grant International Industries, Ltd. 62,000 29,187 # Sino Land Co., Ltd. 184,485 188,920 Smartone Telecommunications Holdings, Ltd. 23,000 25,558 Sung Hungkai Properties, Ltd. 135,706 1,291,519 Swire Pacific, Ltd. Series A 42,500 362,302 Techtronic Industries Co., Ltd. 67,500 150,747 Television Broadcasts, Ltd. 20,000 101,895 Texwinca Holdings, Ltd. 60,000 47,768 * Tingyi (Cayman Islands) Holding Corp. 118,000 32,219 Union Bank of Hong Kong, Ltd. 24,000 29,702 Wharf Holdings, Ltd. 136,542 445,298 Wheelock and Co., Ltd. 70,000 100,818 Wheelock Properties, Ltd. 70,000 35,908 Wing Hang Bank, Ltd. 12,500 89,069 Wing Lung Bank, Ltd. 4,600 34,844 Yue Yuen Industrial (Holdings), Ltd. 78,500 232,672 ---------------- TOTAL COMMON STOCKS (Cost $16,727,871) 18,011,748 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars 32,169 ---------------- (Cost $32,171) TOTAL -- HONG KONG (Cost $16,760,042) 18,043,917 ---------------- FINLAND -- (1.3%) COMMON STOCKS -- (1.3%) Amer-Yhtymae Oyj Series A 4,500 76,479 Elisa Communications Corp. 10,063 150,717 Fortum Oyj 113,088 1,713,057 KCI Konecranes International Oyj 700 28,593 Kemira GrowHow Oyj 1,275 9,878 Kemira Oyj 6,000 79,869 Kesko Oyj 6,400 153,398 Kone Corp. 5,140 425,464 Metso Oyj 10,444 209,101 M-Real Oyj Series B 26,000 140,346 * Neste Oil Oyj 28,272 631,444 Nokia Oyj 372,121 6,258,856
28 Nokian Renkaat Oyj 5,000 89,220 Orion-Yhtyma Oyj Series A 4,200 81,547 Orion-Yhtyma Oyj Series B 5,800 112,821 Outokumpu Oyj Series A 19,700 271,710 Pohjola Group P.L.C. Series D 9,600 121,852 Rautaruukki Oyj Series K 8,700 122,560 Sampo Insurance Co., Ltd. 61,500 868,186 Sanoma-Wsoy Oyj Series A 1,391 34,223 Sanoma-Wsoy Oyj Series B 14,403 337,842 Stora Enso Oyj Series R 67,900 892,141 Tietoenator Corp. 5,460 168,303 Upm-Kymmene Oyj 45,800 885,514 Uponor Oyj Series A 4,600 85,324 Wartsila Corp. Oyj Series B 6,750 203,070 ---------------- TOTAL -- FINLAND (Cost $11,284,993) 14,151,515 ---------------- BELGIUM -- (1.0%) COMMON STOCKS -- (1.0%) AGFA-Gevaert NV, Mortsel 7,300 208,992 Barco (New) NV 400 29,055 Bekaert SA 700 51,894 Cofinimmo SA 200 31,762 Colruyt SA Halle 1,700 246,538 Compagnie Maritime Belge 1,500 48,981 * Cumerio 1,431 19,722 * Cumerio VVPR 55 2 # Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 4,572 269,802 # Dexia SA 55,596 1,206,268 D'Ieteren SA 290 57,584 # Electrabel SA 2,998 1,319,986 Euronav SA 1,500 44,431 Exmar NV 300 18,059 # Fortis AG 87,291 2,374,616 Groupe Bruxelles Lambert 2,500 212,642 Interbrew SA 29,842 986,171 KBC Bancassurance Holding SA 28,460 2,307,181 Mobistar SA 2,500 199,777 Omega Pharma SA 500 25,488 # Solvay SA 4,400 477,225 # UCB SA 7,600 347,333 * Umicore-Strip VVPR 55 7 Union Miniere SA 1,431 112,404 ---------------- TOTAL -- BELGIUM (Cost $7,841,615) 10,595,920 ----------------
29 DENMARK -- (0.7%) COMMON STOCKS -- (0.7%) Bang & Olufsen Holding A.S. Series B 290 18,652 Carlsberg A.S. Series B 3,475 170,125 Codan A.S. 950 46,478 Coloplast A.S. 1,940 109,296 Dampskibsselsk Torm A.S. 1,250 68,242 Dampskibsselskabet Svendborg A.S. 325 2,938,657 Danisco A.S. 3,950 271,971 Danske Bank A.S. 40,756 1,169,528 DSV, De Sammensluttede Vognmaend A.S. 1,580 122,538 East Asiatic Co., Ltd. 900 56,425 FLS Industries Series B 890 16,554 GN Great Nordic A.S. 16,720 192,040 * Group 4 Securicor A.S. 28,536 72,722 H. Lundbeck A.S. 17,802 445,569 * Jyske Bank A.S. 5,010 191,401 Koebenhavns Lufthavne 390 86,308 NKT Holding A.S. 1,100 42,794 Novo-Nordisk A.S. Series B 14,150 727,774 Novozymes A.S. Series B 4,380 212,592 Rockwool, Ltd. 350 24,292 Sydbank A.S. 4,880 101,237 Tele Danmark A.S. 16,210 714,696 * TK Development 614 3,897 * Topdanmark A.S. 1,300 93,344 * Vestas Wind Systems A.S. 5,866 95,328 * William Demant Holding 3,260 156,019 ---------------- TOTAL COMMON STOCKS (Cost $5,769,360) 8,148,479 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone 83,181 ---------------- (Cost $85,319) TOTAL -- DENMARK (Cost $5,854,679) 8,231,660 ---------------- SINGAPORE -- (0.7%) COMMON STOCKS -- (0.7%) Allgreen Properties, Ltd. 41,000 26,504 Asia Pacific Breweries, Ltd. 4,000 21,243 Capitacommercial Trust 23,100 20,925 # Capitaland, Ltd. 115,500 160,465 * Chartered Semiconductor Manufacturing, Ltd. 112,000 80,606 City Developments, Ltd. 32,000 131,188 Comfortdelgro Corp., Ltd. 132,000 134,395 * Cosco Corp., Ltd. 23,000 25,175 Creative Technology Co., Ltd. 3,000 23,853 Cycle & Carriage, Ltd. 9,097 67,012 DBS Group Holdings, Ltd. 95,000 791,031 Fraser & Neave, Ltd. 11,100 104,384 Great Eastern Holdings, Ltd. 21,000 180,093 Haw Par Brothers International, Ltd. 2,248 7,143
30 Hong Leong Finance, Ltd. 15,000 30,396 Keppel Corp., Ltd. 37,000 256,605 Keppel Land, Ltd. 22,000 30,038 MobileOne, Ltd. 41,390 50,909 Neptune Orient Lines, Ltd. 47,000 94,006 Overseas Chinese Banking Corp., Ltd. 89,300 743,849 Overseas Union Enterprise, Ltd. 6,000 30,039 Parkway Holdings, Ltd. 20,000 21,567 SembCorp Industries, Ltd. 73,320 99,632 * SembCorp Logistics, Ltd. 32,730 34,209 Sembcorp Marine, Ltd. 55,000 69,186 Singapore Airlines, Ltd. 85,000 584,715 Singapore Land, Ltd. 11,000 34,225 * Singapore Petroleum Co., Ltd. 11,000 27,161 * Singapore Post, Ltd. 58,000 31,977 Singapore Press Holdings, Ltd. 122,000 315,797 Singapore Technologies Engineering, Ltd. 174,000 250,366 Singapore Telecommunications, Ltd. 1,367,000 2,130,340 Smrt Corporation, Ltd. 59,000 37,831 * St Assembly test Services, Ltd. 80,000 57,877 United Industrial Corp., Ltd. 39,000 24,067 United Overseas Bank, Ltd. 98,000 839,835 United Overseas Land, Ltd. 22,000 28,962 Venture Manufacturing (Singapore), Ltd. 17,000 152,641 Wing Tai Holdings, Ltd. 22,166 11,806 ---------------- TOTAL COMMON STOCKS (Cost $7,769,250) 7,762,053 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars 25,559 ---------------- (Cost $25,612) TOTAL -- SINGAPORE (Cost $7,794,862) 7,787,612 ---------------- IRELAND -- (0.7%) COMMON STOCKS -- (0.7%) Allied Irish Banks P.L.C. 83,158 1,725,441 Anglo Irish Bank Corp. P.L.C. 57,332 671,061 Bank of Ireland P.L.C. 92,665 1,406,789 CRH P.L.C. 50,877 1,284,491 DCC P.L.C. 6,914 137,079 * Eircom Group P.L.C. 20,550 46,827 * Elan Corp. P.L.C. 33,579 256,365 Fyffes P.L.C. 17,987 50,452 Grafton Group P.L.C. 15,596 181,220 Greencore Group P.L.C. 13,520 56,808 IAWS Group P.L.C. 11,551 173,356 Independent News & Media P.L.C. 77,963 239,705 Irish Permanent P.L.C. 24,811 412,646 Kerry Group P.L.C. 22,953 564,900 Kingspan Group P.L.C. 7,855 91,435
31 * Ryanair Holdings P.L.C. 32,702 261,005 * Waterford Wedgwood P.L.C. 153,442 7,742 ---------------- TOTAL -- IRELAND (Cost $6,069,613) 7,567,322 ---------------- NORWAY -- (0.5%) COMMON STOCKS -- (0.5%) * Aker Kvaerner OGEP ASA 467 17,646 Aker Yards ASA 288 10,554 Den Norske Bank ASA Series A 57,400 555,187 * Fred Olsen Energy ASA 1,500 30,100 * Merkantildata ASA 6,800 1,967 * Nera ASA 6,300 13,371 Norsk Hydro ASA 16,900 1,369,699 Norske Skogindustrier ASA Series A 8,600 132,079 Odfjell ASA Series A 3,400 64,841 * Opticom ASA 600 4,455 Orkla ASA Series A 14,721 501,769 * Petroleum Geo-Services ASA (New) 1,200 81,339 Prosafe ASA 1,350 40,566 Schibsted ASA 3,700 97,661 Smedvig ASA Series A 3,800 66,524 Statoil Den Norske Stats Oljeselskap ASA 98,701 1,737,431 Storebrand ASA 18,700 155,584 Tandberg ASA Series A 8,000 85,528 Telenor ASA 83,141 662,110 Tomra Systems ASA 9,200 39,723 Wilhelmsen (Wilhelm), Ltd. ASA Series A 1,000 25,412 Yara International ASA 16,900 249,891 ---------------- TOTAL COMMON STOCKS (Cost $3,977,030) 5,943,437 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone 527 ---------------- (Cost $537) TOTAL -- NORWAY (Cost $3,977,567) 5,943,964 ---------------- GREECE -- (0.4%) COMMON STOCKS -- (0.4%) Alpha Credit Bank 22,420 616,241 Athens Water Supply & Sewage Co. S.A. 4,100 28,719 Attica Holdings S.A. 3,130 11,073 Bank of Piraeus S.A. 14,710 262,988 * Commercial Bank of Greece 4,680 143,366 Cosmote Mobile Telecommunications S.A. 21,450 384,242 EFG Eurobank Ergasias S.A. 18,520 570,561 Hellenic Bottling Co. S.A. 16,870 446,290
32 Hellenic Duty Free Shops S.A. 2,000 33,002 Hellenic Petroleum S.A. 15,660 150,573 Hellenic Technodomiki S.A. 4,680 24,407 Hellenic Telecommunication Organization Co. S.A. 33,920 604,313 Intracom S.A. 3,310 16,990 * Mailis (M.J.) S.A. 2,800 13,354 National Bank of Greece 20,700 698,621 * Public Power Corp. of Greece 15,920 393,755 Titan Cement Co. 4,180 124,814 Viohalco S.A. 2,800 17,965 ---------------- TOTAL -- GREECE (Cost $3,415,686) 4,541,274 ---------------- AUSTRIA -- (0.3%) COMMON STOCKS -- (0.3%) Bank Austria Creditanstalt AG 3,568 350,879 * Betandwin.com Interactive Entertainment AG 367 52,509 Boehler-Uddeholm AG 480 61,949 BWT AG 880 27,042 Erste Bank der Oesterreichischen Sparkassen AG 12,663 623,417 EVN AG 1,049 72,586 Flughafen Wien AG 579 37,084 * Immofinanz Immobilien Anlagen AG 8,273 74,749 Mayr-Melnhof Karton AG 472 67,274 Oesterreichische Elektrizitaetswirtschafts AG 810 209,521 OMV AG 1,728 605,200 * RHI AG, Wien 778 21,446 Telekom Austria AG 25,712 479,222 Uniqa Versicherungen AG 1,710 29,883 Voestalpine AG 1,802 121,491 Wienerberger AG 4,749 210,465 ---------------- TOTAL COMMON STOCKS (Cost $1,761,203) 3,044,717 ---------------- RIGHTS/WARRANTS -- (0.0%) * Boehler-Uddeholm AG Rights 06/02/05 480 0 ---------------- (Cost $0) TOTAL -- AUSTRIA (Cost $1,761,203) 3,044,717 ---------------- PORTUGAL -- (0.3%) COMMON STOCKS -- (0.3%) Banco Comercial Portugues SA 190,708 493,478 Banco Espirito Santo e Comercial de Lisboa 19,360 303,924 BPI SGPS SA 44,098 166,833 # Brisa Auto Estradas de Portugal SA 27,775 216,574 Cimpor Cimentos de Portugal SA 34,848 186,940 Electricidade de Portugal SA 187,612 476,321
33 Jeronimo Martins SGPS SA 7,355 102,943 # Portugal Telecom SA 65,007 666,519 PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA 6,410 136,165 Sonae SGPS SA 108,923 159,621 ---------------- TOTAL COMMON STOCKS (Cost $2,888,823) 2,909,318 ---------------- RIGHTS/WARRANTS -- (0.0%) PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA * Warrants 05/23/05 6,410 2,524 ---------------- (Cost $0) TOTAL -- PORTUGAL (Cost $2,888,823) 2,911,842 ---------------- EMU -- (0.2%) INVESTMENT IN CURRENCY -- (0.2%) * Euro Currency 2,288,023 ---------------- (Cost $2,342,556) NEW ZEALAND -- (0.2%) COMMON STOCKS -- (0.2%) Auckland International Airport, Ltd. 95,556 137,678 Carter Holt Harvey, Ltd. 124,305 156,131 Contact Energy, Ltd. 47,343 234,509 Fisher & Paykel Apppliances Holdings, Ltd. 14,080 30,676 Fisher & Paykel Healthcare Corp. 31,395 65,912 Fletcher Building, Ltd. 35,299 154,906 Independent Newspapers, Ltd. (Auckland) 21,417 93,771 Sky City Entertainment Group, Ltd. 29,418 88,722 Sky Network Television, Ltd. 17,139 79,463 Telecom Corporation of New Zealand, Ltd. 160,535 677,265 * Tower, Ltd. 21,977 32,065 Trustpower, Ltd. 14,898 59,181 Warehouse Group, Ltd. 14,200 32,533 ---------------- TOTAL COMMON STOCKS (Cost $1,177,729) 1,842,812 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar 2,858 ---------------- (Cost $2,904) TOTAL -- NEW ZEALAND (Cost $1,180,633) 1,845,670 ----------------
34
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (14.8%) ^ Repurchase Agreement, Deutsche Bank Securities & Morgan Stanley 2.96%, 06/01/05 (Collateralized by $320,972,265 U.S. TIPS 1.875%, 07/15/13 & U.S. STRIPS, maturities ranging from 05/15/20 to 11/15/21, valued at $164,624,642) to be repurchased at $161,409,041 (Cost $161,395,770) $ 161,396 161,395,770 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $2,766,000 FNMA Notes 2.95%, 11/14/07, valued at $2,762,543) to be repurchased at $2,721,218 (Cost $2,721,000) 2,721 2,721,000 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $164,116,770) 164,116,770 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $1,000,237,086) $ 1,109,524,429 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. ^ Security purchased with cash proceeds from securities on loan. # Total or Partial Securities on Loan. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 35 DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
FACE AMOUNT VALUE+ ------ ------ (000) UNITED STATES -- (30.0%) BONDS -- (18.8%) Bayerische Landesbank 3.200%, 04/15/09 $ 10,000 $ 9,637,650 Citigroup, Inc. 4.250%, 07/29/09 13,575 13,591,195 General Electric Capital Corp. 3.250%, 06/15/09 33,850 32,657,363 Gillette Co. 3.800%, 09/15/09 34,185 33,784,249 Pfizer, Inc. 5.625%, 04/15/09 18,300 19,243,109 Procter & Gamble Co. 6.875%, 09/15/09 22,579 24,991,002 Toyota Motor Credit Corp. 2.875%, 08/01/08 6,000 5,819,364 US Bank NA 3.400%, 03/02/09 30,250 29,423,510 Wal-Mart Stores, Inc. 6.875%, 08/10/09 33,590 37,026,694 Wells Fargo & Co. 3.125%, 04/01/09 32,090 30,972,562 Westdeutsche Landesbank 6.050%, 01/15/09 32,200 34,017,239 --------------- TOTAL BONDS (Cost $274,546,786) 271,163,937 --------------- AGENCY OBLIGATIONS -- (11.2%) Federal Farm Credit Bank 4.125%, 04/15/09 17,500 17,605,192 Federal Home Loan Bank 4.000%, 11/13/09 6,000 5,991,768 3.875%, 01/15/10 33,000 32,870,706 Federal Home Loan Mortgage Corporation 5.750%, 03/15/09 16,000 17,016,320 @3.750%, 07/15/09 19,100 24,498,246 6.625%, 09/15/09 21,000 23,167,746 Federal National Mortgage Association 5.250%, 01/15/09 10,500 10,952,329 3.250%, 02/15/09 30,000 29,264,340 --------------- TOTAL AGENCY OBLIGATIONS (Cost $162,865,463) 161,366,647 --------------- TOTAL -- UNITED STATES (Cost $437,412,249) 432,530,584 --------------- CANADA -- (13.2%) BONDS -- (13.2%) BP Canada Finance 3.625%, 01/15/09 11,394 11,268,837 ^British Columbia, Province of 6.250%, 12/01/09 42,600 37,831,936 ^Canada Housing Trust 4.650%, 09/15/09 $ 47,900 $ 39,921,285 ^Canada, Goverment of 4.250%, 09/01/09 35,800 29,542,415 ^Ontario, Province of 6.200%, 11/19/09 42,500 37,630,378 ^Toyota Credit Canada 4.250%, 06/17/09 27,600 22,509,788 4.750%, 06/29/09 14,300 11,860,706 --------------- TOTAL -- CANADA (Cost $188,256,513) 190,565,345 --------------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (11.7%) BONDS -- (11.7%) African Development Bank 3.250%, 08/01/08 15,300 15,067,623 Asian Development Bank 5.948%, 05/20/09 34,000 36,380,238 European Investment Bank 3.375%, 03/16/09 33,435 32,886,031 #4.000%, 04/15/09 10,200 1,440,961 Inter-American Development Bank 5.375%, 11/18/08 9,000 9,456,057 ^5.625%, 06/29/09 32,360 27,858,861 International Finance Corp. 3.750%, 06/30/09 15,035 14,944,835 #Oresundsbro Konsortiet 6.000%, 04/20/09 9,000 1,353,524 World Bank (International Bank for Reconstruction & Development) 5.125%, 03/13/09 27,300 28,483,455 --------------- TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS (Cost $167,060,999) 167,871,585 --------------- GERMANY -- (8.6%) BONDS -- (8.6%) @Bundesrepublik Deutschland 5.375%, 01/04/10 14,000 19,262,197 Deutsche Postbank AG 5.500%, 02/17/09 8,000 8,420,760 KFW-Kreditanstalt Fuer Wiederaufbau AG #3.750%, 01/28/09 15,560 2,174,701 @3.500%, 04/17/09 29,000 36,938,422 ^Landesbank Baden-Wuerttemberg FoerderBank 4.500%, 01/26/09 19,800 16,293,324 ^Landwirtschaftliche RentenBank 4.250%, 09/01/09 50,100 41,031,549 --------------- TOTAL -- GERMANY (Cost $127,888,528) 124,120,953 ---------------
98
FACE AMOUNT VALUE+ ------ ------ (000) FRANCE -- (8.2%) BONDS -- (8.2%) Dexia Credit Local 5.500%, 01/21/09 $ 20,115 $ 21,113,207 @ERAP 3.750%, 04/25/10 14,200 18,285,610 @French Republic 3.000%, 01/12/10 28,000 35,012,163 Total Capital SA 3.500%, 01/05/09 30,900 30,375,658 @UNEDIC 3.000%, 02/02/10 10,000 12,476,127 --------------- TOTAL -- FRANCE (Cost $121,210,022) 117,262,765 --------------- NETHERLANDS -- (7.8%) BONDS -- (7.8%) Bank Nederlandse Gemeenten NV 4.375%, 09/15/09 15,000 15,187,005 @Dutch Government Bond 3.000%, 01/15/10 32,000 40,025,399 Nederlandse Waterschapsbank NV 2.750%, 12/30/08 19,300 18,514,027 ^Rabobank 4.250%, 01/05/09 47,200 38,472,512 --------------- TOTAL -- NETHERLANDS (Cost $114,995,012) 112,198,943 --------------- SWEDEN -- (6.7%) BONDS -- (6.7%) Kommuninvest I Sverige AB #4.100%, 05/11/09 156,000 22,049,881 4.000%, 01/21/10 10,000 9,990,450 #Stockholm, Sweden 3.375%, 03/08/10 178,000 24,594,522 #Swedish Government 4.000%, 12/01/09 277,000 39,378,117 --------------- TOTAL BONDS (Cost $101,229,465) 96,012,970 --------------- INVESTMENT IN CURRENCY -- (0.0%) *Swedish Krona (Cost $703,044) 695,396 --------------- TOTAL -- SWEDEN (Cost $101,932,509) 96,708,366 --------------- UNITED KINGDOM -- (2.8%) BONDS -- (2.8%) @ Network Rail Finance P.L.C. 3.125%, 03/30/09 (Cost $41,539,716) 32,000 40,157,477 --------------- AUSTRIA -- (2.7%) BONDS -- (2.7%) @Asfinag 3.250%, 10/19/09 (Cost $40,349,337) $ 30,700 $ 38,738,010 --------------- NORWAY -- (2.4%) BONDS -- (2.4%) Eksportfinans ASA 4.375%, 07/15/09 (Cost $34,326,502) 34,000 34,334,118 --------------- SPAIN -- (2.3%) BONDS -- (2.3%) Institut de Credito Oficial 3.875%, 07/15/09 (Cost $32,819,215) 33,045 32,964,436 --------------- FINLAND -- (2.2%) BONDS -- (2.2%) Republic of Finland 3.250%, 05/15/09 (Cost $31,752,973) 32,700 32,087,725 --------------- EMU -- (0.3%) INVESTMENT IN CURRENCY -- (0.3%) *Euro Currency (Cost $4,735,333) 4,631,804 --------------- TEMPORARY CASH INVESTMENTS -- (1.1%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $15,773,000 FNMA Notes 2.95%, 11/14/07, valued at $15,753,284) to be repurchased at $15,521,246 (Cost $15,520,000) 15,520 15,520,000 --------------- TOTAL INVESTMENTS-- (100.0%) (Cost $1,459,798,908) $ 1,439,692,111 ===============
- ---------- + See Note B to Financial Statements. @ Denominated in Euro Currency. ^ Denominated in Canadian Dollars. # Denominated in Swedish Krona. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 99 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED)
DFA DFA LARGE FIVE-YEAR REAL ESTATE CAP GLOBAL SECURITIES INTERNATIONAL FIXED INCOME PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- ASSETS: Investments at Value (including $44,394, $152,394, and $0, of securities on loan, respectively) $ 1,602,347 $ 1,109,524 $ 1,439,692 Cash -- 15 15 Receivables: Investment Securities Sold 499 -- -- Dividends, Interest, and Tax Reclaims 1,236 3,694 19,660 Securities Lending Income 15 188 -- Fund Shares Sold 1,145 1,053 1,266 Unrealized Gain on Forward Currency Contracts -- -- 16,408 Prepaid Expenses and Other Assets 45 50 14 --------------- --------------- --------------- Total Assets 1,605,287 1,114,524 1,477,055 --------------- --------------- --------------- LIABILITIES: Payables: Upon Return of Securities Loaned 45,337 161,396 -- Investment Securities Purchased 13,648 9 10,857 Fund Shares Redeemed 2,217 696 597 Due to Advisor 379 198 299 Accrued Expenses and Other Liabilities 111 128 124 --------------- --------------- --------------- Total Liabilities 61,692 162,427 11,877 --------------- --------------- --------------- NET ASSETS $ 1,543,595 $ 952,097 $ 1,465,178 =============== =============== =============== SHARES OUTSTANDING $0.01 PAR VALUE 66,276,843 54,801,864 137,666,845 =============== =============== =============== NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE $ 23.29 $ 17.37 $ 10.64 =============== =============== =============== Investments at Cost $ 1,167,414 $ 1,000,237 $ 1,459,799 =============== =============== ===============
See accompanying Notes to Financial Statements. 100 STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (UNAUDITED)
DFA DFA LARGE FIVE-YEAR REAL ESTATE CAP GLOBAL SECURITIES INTERNATIONAL FIXED INCOME PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $1,378, and $0, respectively) $ 30,936 $ 15,080 -- Interest 163 112 $ 24,377 Income from Securities Lending 66 536 -- --------------- --------------- --------------- Total Investment Income 31,165 15,728 24,377 --------------- --------------- --------------- EXPENSES Investment Advisory Services 2,081 1,144 1,643 Accounting & Transfer Agent Fees 317 359 348 Custodian Fees 66 150 71 Legal Fees 7 6 7 Audit Fees 20 14 23 Filing Fees 33 19 36 Shareholders' Reports 8 5 8 Directors' Fees and Expenses 5 3 6 Other 9 19 9 --------------- --------------- --------------- Total Expenses 2,546 1,719 2,151 --------------- --------------- --------------- NET INVESTMENT INCOME (LOSS) 28,619 14,009 22,226 --------------- --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 6,660 1,972 (4,707) Net Realized Gain (Loss) on Foreign Currency Transactions -- (71) 16,353 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 60,382 (5,794) (23,924) Translation of Foreign Currency Denominated Amounts -- (157) 19,080 --------------- --------------- --------------- NET GAIN (LOSS) 67,042 (4,050) 6,802 --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 95,661 $ 9,959 $ 29,028 =============== =============== ===============
See accompanying Notes to Financial Statements. 101 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DFA LARGE REAL ESTATE CAP SECURITIES INTERNATIONAL PORTFOLIO PORTFOLIO --------------------------- ---------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED MAY 31, NOV. 30, MAY 31, NOV. 30, 2005 2004 2005 2004 ------------ ----------- ------------ ------------ (UNAUDITED) (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 28,619 $ 36,046 $ 14,009 $ 14,084 Net Realized Gain (Loss) on Investment Securities Sold 6,660 30,696 1,972 2,103 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (71) (15) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 60,382 205,195 (5,794) 119,249 Translation of Foreign Currency Denominated Amounts -- -- (157) 32 ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 95,661 271,937 9,959 135,453 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (38,190) (39,355) (8,867) (20,560) Net Short-Term Gains (3,262) (707) -- -- Net Long-Term Gains (28,712) (6,193) -- -- ------------ ------------ ------------ ------------ Total Distributions (70,164) (46,255) (8,867) (20,560) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 299,536 426,234 155,809 291,666 Shares Issued in Lieu of Cash Distributions 69,268 45,463 8,367 19,638 Shares Redeemed (159,604) (171,886) (58,054) (85,437) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 209,200 299,811 106,122 225,867 ------------ ------------ ------------ ------------ Total Increase (Decrease) 234,697 525,493 107,214 340,760 NET ASSETS Beginning of Period 1,308,898 783,405 844,883 504,123 ------------ ------------ ------------ ------------ End of Period $ 1,543,595 $ 1,308,898 $ 952,097 $ 844,883 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 13,534 21,487 8,790 18,507 Shares Issued in Lieu of Cash Distributions 3,065 2,448 474 1,271 Shares Redeemed (7,187) (8,746) (3,263) (5,382) ------------ ------------ ------------ ------------ 9,412 15,189 6,001 14,396 ============ ============ ============ ============ DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO --------------------------- SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------ ----------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 22,226 $ 34,954 Net Realized Gain (Loss) on Investment Securities Sold (4,707) (5,049) Net Realized Gain (Loss) on Foreign Currency Transactions 16,353 (6,964) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (23,924) 11,559 Translation of Foreign Currency Denominated Amounts 19,080 (2,966) ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 29,028 31,534 ------------ ------------ Distributions From: Net Investment Income (10,083) (32,175) Net Short-Term Gains -- (7,366) Net Long-Term Gains -- (30,042) ------------ ------------ Total Distributions (10,083) (69,583) ------------ ------------ Capital Share Transactions (1): Shares Issued 367,391 486,993 Shares Issued in Lieu of Cash Distributions 9,950 69,052 Shares Redeemed (136,686) (281,857) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 240,655 274,188 ------------ ------------ Total Increase (Decrease) 259,600 236,139 NET ASSETS Beginning of Period 1,205,578 969,439 ------------ ------------ End of Period $ 1,465,178 $ 1,205,578 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 34,925 46,221 Shares Issued in Lieu of Cash Distributions 949 6,592 Shares Redeemed (12,998) (26,765) ------------ ------------ 22,876 26,048 ============ ============
See accompanying Notes to Financial Statements. 102 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, 2005 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 23.02 $ 18.80 $ 14.91 $ 15.02 $ 13.51 $ 11.50 ------------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.52 0.62 0.64 0.54 0.82 0.76 Net Gains (Losses) on Securities (Realized and Unrealized) 0.98 4.47 4.08 0.18 1.49 1.90 ------------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 1.50 5.09 4.72 0.72 2.31 2.66 - --------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.67) (0.71) (0.75) (0.75) (0.80) (0.65) Net Realized Gains (0.56) (0.16) (0.08) (0.08) -- -- ------------- ----------- ----------- ----------- ----------- ----------- Total Distributions (1.23) (0.87) (0.83) (0.83) (0.80) (0.65) - --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 23.29 $ 23.02 $ 18.80 $ 14.91 $ 15.02 $ 13.51 =========================================================================================================================== Total Return 6.66%# 29.44% 33.48% 5.36% 17.76% 24.49% - --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,543,595 $ 1,308,898 $ 783,405 $ 413,264 $ 283,732 $ 210,231 Ratio of Expenses to Average Net Assets 0.37%* 0.39% 0.41% 0.42% 0.43% 0.45% Ratio of Net Investment Income to Average Net Assets 4.14%* 3.61% 4.19% 4.71% 5.55% 6.06% Portfolio Turnover Rate 1%# 6% 2% 2% 6% 7% 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, 2005 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 17.31 $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41 ------------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.27 0.31 0.25 0.22 0.25 0.23 Net Gains (Losses) on Securities (Realized and Unrealized) (0.03) 2.86 2.51 (1.79) (3.38) (1.96) ------------- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.24 3.17 2.76 (1.57) (3.13) (1.73) - --------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.18) (0.51) (0.21) (0.23) (0.22) (0.21) Net Realized Gains -- -- -- -- (0.05) (0.17) ------------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.18) (0.51) (0.21) (0.23) (0.27) (0.38) - --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 17.37 $ 17.31 $ 14.65 $ 12.10 $ 13.90 $ 17.30 =========================================================================================================================== Total Return 1.37%# 22.09% 23.32% (11.50)% (18.42)% (9.19)% - --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 952,097 $ 844,883 $ 504,123 $ 337,367 $ 344,871 $ 358,638 Ratio of Expenses to Average Net Assets 0.38%* 0.41% 0.43% 0.44% 0.45% 0.47% Ratio of Net Investment Income to Average Net Assets 3.07%* 2.07% 2.10% 1.74% 1.65% 1.21% Portfolio Turnover Rate 2%# 1% 1% 9% 4% 1%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 103
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO -------------------------------------------------------- SIX MONTHS YEAR YEAR ENDED ENDED ENDED MAY 31, NOV. 30, NOV. 30, 2005 2004 2003 - ---------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 10.50 $ 10.92 $ 10.93 --------------- --------------- --------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.29 0.26 0.33 Net Gains (Losses) on Securities (Realized and and Unrealized) (0.07) 0.06 0.15 --------------- --------------- --------------- Total From Investment Operations 0.22 0.32 0.48 - ---------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.08) (0.32) (0.39) Net Realized Gains -- (0.42) (0.10) --------------- --------------- --------------- Total Distributions (0.08) (0.74) (0.49) - ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.64 $ 10.50 $ 10.92 ============================================================================================================================ Total Return 2.13%# 3.04% 4.45% - ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,465,178 $ 1,205,578 $ 969,439 Ratio of Expenses to Average Net Assets 0.33%* 0.34% 0.34% Ratio of Net Investment Income to Average Net Assets 3.39%* 3.12% 3.23% Portfolio Turnover Rate 32%# 90% 103% DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO -------------------------------------------------------- YEAR YEAR YEAR ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 10.50 $ 10.50 $ 10.53 --------------- --------------- --------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.33 0.50 0.61 Net Gains (Losses) on Securities (Realized and and Unrealized) 0.44 0.22 -- --------------- --------------- --------------- Total From Investment Operations 0.77 0.72 0.61 - ---------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.33) (0.72) (0.64) Net Realized Gains (0.01) -- -- --------------- --------------- --------------- Total Distributions (0.34) (0.72) (0.64) - ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.93 $ 10.50 $ 10.50 ============================================================================================================================ Total Return 7.55% 7.23% 6.09% - ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 761,717 $ 628,936 $ 517,325 Ratio of Expenses to Average Net Assets 0.35% 0.37% 0.38% Ratio of Net Investment Income to Average Net Assets 4.09% 4.04% 4.15% Portfolio Turnover Rate 79% 113% 80%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 104 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-seven 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. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. 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 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. 105 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 TRANSLATION: Securities and other assets and liabilities of the Large Cap International Portfolio and the DFA Five-Year Global Fixed Income Portfolio whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The DFA Five-Year Global Fixed Income Portfolio also enters into 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 Large Cap International Portfolio does 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 Large Cap International Portfolio and the DFA Five-Year Global Fixed Income Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board of Directors, generally based on average net assets. The Large Cap International Portfolio and the DFA Five-Year Global Fixed Income Portfolio 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. These Portfolios accrue such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the 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. 106 For the six months ended May 31, 2005, 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 Fund are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At May 31, 2005, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities as follows: DFA Real Estate Securities Portfolio $ 21,595 Large Cap International Portfolio 14,396 DFA Five-Year Global Fixed Income Portfolio 20,239
E. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2005, the Portfolios made the following purchases and sales of investment securities other than short-term securities (amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT SECURITIES SECURITIES --------------------- --------------------- PURCHASES SALES PURCHASES SALES --------- --------- --------- --------- DFA Real Estate Securities Portfolio -- -- $ 195,051 $ 19,905 Large Cap International Portfolio -- -- 121,356 14,245 DFA Five-Year Global Fixed Income Portfolio $ 147,394 $ 227,411 588,350 178,600
F. FEDERAL INCOME TAXES: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL ------------- ------------- -------- DFA Real Estate Securities Portfolio 2004 $ 40,062 $ 6,193 $ 46,255 2003 20,722 2,261 22,983 Large Cap International Portfolio 2004 20,560 -- 20,560 2003 5,772 -- 5,772 DFA Five-Year Global Fixed Income Portfolio 2004 39,545 30,038 69,583 2003 32,928 2,655 35,583
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. 107 At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS/ NET INVESTMENT LONG-TERM LOSS (ACCUMULATED INCOME CAPITAL GAINS CARRYFORWARD LOSSES) -------------- ------------- ------------ ------------- DFA Real Estate Securities Portfolio $ 9,090 $ 28,181 -- $ 37,271 Large Cap International Portfolio 6,784 -- $ (19,070) (12,286) DFA Five-Year Global Fixed Income Portfolio 111 -- (5,041) (4,930)
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at November 30, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. As of November 30, 2004, the following Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON NOVEMBER 30, ---------------------------------- 2009 2010 2011 2012 TOTAL ----- -------- ----- ------- -------- Large Cap International Portfolio $ 357 $ 18,180 $ 533 -- $ 19,070 DFA Five-Year Global Fixed Income Portfolio -- -- -- $ 5,041 5,041
Certain of the investments in Large Cap International Portfolio are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. During the year ended November 30, 2004, the Large Cap International Portfolio had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies of $5,327,264 and $81,703, respectively, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income. At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ------------ ------------ ------------ -------------- DFA Real Estate Securities Portfolio $ 1,168,848 $ 438,660 $ (5,161) $ 433,499 Large Cap International Portfolio 1,001,050 174,997 (66,523) 108,474 DFA Five-Year Global Fixed Income Portfolio 1,459,830 -- (20,138) (20,138)
G. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
ACCUMULATED ACCUMULATED NET NET REALIZED INVESTMENT ACCUMULATED FOREIGN PAID-IN INCOME NET REALIZED EXCHANGE CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) ----------------- ----------------- ----------------- ----------------- DFA Real Estate Securities Portfolio $ 1,109,179 $ (10,160) $ 9,643 -- Large Cap International Portfolio 854,346 6,590 (17,965) $ (71) DFA Five-Year Global Fixed Income Portfolio 1,447,241 15,285 (9,708) 16,353 UNREALIZED APPRECIATION UNREALIZED (DEPRECIATION) OF NET FOREIGN NUMBER OF INVESTMENT EXCHANGE TOTAL NET SHARES SECURITIES GAIN (LOSS) ASSETS AUTHORIZED ----------------- ----------------- ----------------- ----------------- DFA Real Estate Securities Portfolio $ 434,933 -- $ 1,543,595 100,000,000 Large Cap International Portfolio 109,287 $ (90) 952,097 150,000,000 DFA Five-Year Global Fixed Income Portfolio (20,107) 16,114 1,465,178 200,000,000
108 H. FINANCIAL INSTRUMENTS: In accordance with the Portfolios' investment objectives and policies, the Portfolios 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 Portfolios may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the 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. All open repurchase agreements were entered into on May 31, 2005. 2. FORWARD CURRENCY CONTRACTS: The 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, 2005, the DFA Five-Year Global Fixed Income Portfolio had entered into the following contracts and the net unrealized foreign exchange gain/loss is reflected in the accompanying financial statements.
UNREALIZED FOREIGN SETTLEMENT CONTRACT VALUE AT EXCHANGE DATE CURRENCY SOLD CURRENCY AMOUNT MAY 31, 2005 GAIN (LOSS) - ---------- ------------- --------------- ------------- -------------- ------------- 06/09/05 191,956,050 Canadian Dollar $ 153,649,286 $ 152,949,104 $ 700,182 06/23/05 191,776,077 Canadian Dollar 152,032,806 152,842,784 (809,978) 06/09/05 683,606,458 Swedish Krona 95,935,240 91,895,416 4,039,824 06/09/05 218,389,651 Euro Currency 281,264,962 268,787,483 12,477,479 ------------- -------------- ------------- Total $ 682,882,294 $ 666,474,787 $ 16,407,507 ============= ============== =============
Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar. 3. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain 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 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. During the six months ended May 31, 2005, borrowings under the line of credit were as follows:
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD ------------- ------------ ----------- -------- --------------- DFA Real Estate Securities Portfolio 3.00% $ 4,292,000 2 $ 715 $ 7,512,000
There were no outstanding borrowings under the line of credit at May 31, 2005. 109 The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings by the Portfolios during the six months ended May 31, 2005. J. SECURITIES LENDING: As of May 31, 2005, 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, the lending agent has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. The cash collateral received by each portfolio from securities on loan is invested in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. The Portfolios paid fees for securities lending for the six month period ended May 31, 2005, which have been netted against Income from Securities Lending on the Statements of Operations. These fees are presented below (amounts in thousands): DFA Real Estate Securities Portfolio $ 16 Large Cap International Portfolio 230
K. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 110 DIMENSIONAL EMERGING MARKETS VALUE FUND INC. DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ---------- ---------- ---------- -------- Actual Fund Return $ 1,000.00 $ 1,072.90 0.29% $ 1.50 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.55 0.29% $ 1.46
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 111 DIMENSIONAL EMERGING MARKETS VALUE FUND INC. DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Emerging Markets Value Fund Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Emerging Markets Value Fund Inc. filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or it may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Financials 25.0% Materials 21.3 Industrials 16.6 Consumer Discretionary 9.8 Consumer Staples 7.9 Information Technology 6.1 Utilities 3.7 Energy 3.4 Other 2.5 Telecommunication Services 2.3 Health Care 1.4 ----- 100.0% =====
112 DIMENSIONAL EMERGING MARKETS VALUE FUND INC. SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE + --------------- --------------- TAIWAN -- (12.6%) COMMON STOCKS -- (12.5%) * A.G.V. Products Corp. 327,000 $ 78,754 Ability Enterprise Co., Ltd. 271,000 124,590 Abit Computer Co., Ltd. 835,498 40,490 * Abocom Systems, Inc. 105,000 36,963 * Accton Technology Corp. 855,000 430,989 Acer, Inc. 1,544,235 2,921,761 * Allis Electric Co., Ltd. 86,320 16,819 Altek Corp. 36,000 35,574 * Ambassador Hotel 605,000 490,917 Amtran Technology Co., Ltd. 680,324 347,467 * Apex Science & Engineering Corp. 103,000 14,555 * Arima Computer Corp. 1,851,000 447,114 Asia Cement Corp. 6,392,115 4,086,269 Asia Chemical Corp. 357,000 99,253 Asia Polymer Corp. 272,160 126,746 * Askey Computer Co., Ltd. 723,917 409,110 Audix Co., Ltd. 56,000 65,766 * Aurora Corp. 448,650 270,083 Aurora Systems Corp. 157,000 69,059 Avision, Inc. 240,000 122,081 Bank of Kaohsiung Co., Ltd. 966,622 645,777 * Behavior Tech Computer Corp. 544,000 191,987 * Bes Engineering Corp. 2,010,089 280,364 * Carnival Industrial Corp. 336,000 70,932 Cathay Chemical Works, Inc. 131,000 37,929 Cathay Real Estate Development Co., Ltd. 2,493,421 1,044,444 * Central Insurance Co., Ltd. 336,020 104,357 Central Reinsurance Co., Ltd. 538,550 216,652 * Chang Hwa Commercial Bank 10,732,459 6,030,722 * Chang-Ho Fibre Corp. 50,000 21,217 * Charoen Pokphand Enterprises Co., Ltd. 96,000 15,288 Cheng Loong Corp. 1,798,480 559,929 * Chia Her Industrial Co., Ltd. 699,000 44,475 * Chia Hsin Cement Corp. 1,216,000 443,889 * Chia Hsin Food & Synthetic Fiber Co., Ltd. 812,250 71,018 Chia-I Industrial Co., Ltd. 474,000 91,540 * Chien Tai Cement Co., Ltd. 282,238 7,049 China Airlines 9,373,939 5,188,714 China Chemical & Pharmaceutical Co. 300,240 114,384 * China Development Financial Holding Corp. 20,000,000 7,617,330 China Electric Manufacturing Co., Ltd. 306,000 89,574 * China General Plastics Corp. 314,000 89,709 * China Glaze Co., Ltd. 54,000 11,329
1 * China Life Insurance Co., Ltd. 1,148,763 488,731 * China Man-Made Fiber Co., Ltd. 952,020 408,161 China Motor Co., Ltd. 3,157,000 3,247,583 * China Petrochemical Development Corp. 2,716,000 646,830 * China Rebar Co., Ltd. 1,009,328 84,913 China Steel Structure Co., Ltd. 173,873 80,357 * China Synthetic Rubber Corp. 497,948 165,330 * China United Trust & Investment Corp. 534,289 65,689 * China Wire & Cable Co., Ltd. 379,000 48,729 Chinatrust Financial Holdings Co., Ltd. 241,686 271,513 Chin-Poon Industrial Co., Ltd. 514,716 283,164 * Chun Yu Works & Co., Ltd. 230,000 56,185 Chun Yuan Steel Industrial Co., Ltd. 756,050 435,915 Chung Hsin Electric & Machinery Co., Ltd. 646,000 278,434 Chung Hwa Pulp Corp. 999,419 336,961 * Chung Shing Textile Co., Ltd. 228,600 2,941 * Chungwa Picture Tubes Co., Ltd. 15,536,000 6,802,487 Clevo Co. 822,848 282,376 CMC Magnetics Corp. 7,126,000 3,289,183 Collins Co., Ltd. 328,758 109,914 Compal Electronics, Inc. 2,118,000 2,025,155 * Compeq Manufacturing Co., Ltd. 1,514,000 502,022 * Compex International Co. Ltd. 46,400 296 Continental Engineering Corp. 1,840,965 817,978 * Cosmos Bank Taiwan 4,232,000 2,009,236 CTCI Corp. 1,049,154 554,437 Cyntec Co., Ltd. 33,600 28,354 * Da-Cin Construction Co., Ltd. 229,000 58,369 * Delpha Construction Co., Ltd. 228,044 30,020 Der Pao Construction Co., Ltd. 483,000 108,613 DFI, Inc. 64,000 38,046 Edom Technology Co., Ltd. 68,000 56,071 Elan Microelectronincs Corp. 45,000 21,859 * Elite Material Co., Ltd. 93,000 20,942 Elitegroup Computer Systems Co., Ltd. 1,384,250 881,334 * Enlight Corp. 250,000 79,424 * EnTie Commercial Bank 3,763,474 1,297,577 * ET Internet Technology Corp. 354,676 141,002 Eten Information Systems, Ltd. 134,000 91,948 Eternal Chemical Co., Ltd. 1,075,000 720,217 * Eva Airways Corp. 9,548,071 4,729,757 * Ever Fortune Industrial Co., Ltd. 409,000 4,303 * Everest Textile Co., Ltd. 432,177 96,135 Evergreen International Storage & Transport Corp. 2,303,000 877,084 Evergreen Marine Corp., Ltd. 2,170,457 1,941,335 Everlight Chemical Industrial Corp. 306,950 93,429 * Everspring Industry Co., Ltd. 206,000 46,420 Far East Department Stores, Ltd. 2,431,000 1,331,777 Far East Textile, Ltd. 10,566,613 7,916,095 * Far Eastern International Bank 825,000 449,199 Federal Corp. 353,000 188,818 * FIC Global, Inc. 640,080 77,607 First Copper Technology Co., Ltd. 322,750 82,890
2 * First Financial Holding Co., Ltd. 3,071,000 2,493,860 First Hotel 130,380 93,329 Formosa Taffeta Co., Ltd. 4,993,706 2,437,007 * Formosan Rubber Group, Inc. 562,000 225,684 Formosan Union Chemical Corp. 195,247 66,493 Fortune Electric Co., Ltd. 191,000 55,598 * Fu I Industrial Co., Ltd. 264,000 49,321 Fuh-Hwa Financial Holding Co., Ltd. 6,221,953 3,295,759 Fwuson Industry Co., Ltd. 302,000 48,663 * G.T.M. Corp. 133,000 43,233 * Giga Storage Corp. 209,898 64,979 Giga-Byte Technology Co., Ltd. 1,190,750 1,304,808 * Gold Circuit Electronics, Ltd. 714,140 320,668 * Goldsun Development & Construction Co., Ltd. 1,691,000 396,503 * Grand Pacific Petrochemical Corp. 347,000 100,905 Great China Metal Industry Co., Ltd. 461,000 226,541 Great Wall Enterprise Co., Ltd. 376,980 109,194 * Helix Co., Ltd 158,211 26,058 Hey Song Corp. 763,000 233,343 Ho Tung Holding Corp. 781,628 180,247 * Hocheng Corp. 364,000 88,942 Hong Ho Precision Textile Co., Ltd. 93,889 9,837 Hong Tai Electric Industrial Co., Ltd. 282,000 77,367 * Hsinchu International Bank 1,615,834 947,049 Hsing Ta Cement Co., Ltd. 376,980 109,357 Hua Eng Wire & Cable Co., Ltd. 702,035 134,971 Hua Nan Financial Holding Co., Ltd. 80,774 62,351 * Hualon Corp. 257,040 8,851 * Hung Ching Development & Construction Co., Ltd. 528,000 60,654 Hung Poo Construction Corp. 430,000 306,722 * Hung Sheng Construction Co., Ltd. 981,000 499,243 International Bank of Taipei 3,672,734 2,523,717 Inventec Corp. 5,395,550 2,492,740 * Jean Co., Ltd. 154,000 34,980 Jui Li Enterprise Co., Ltd. 195,000 46,660 Jung Shing Wire Co., Ltd. 123,000 38,359 Kang Na Hsiung Co., Ltd. 74,271 31,092 * Kao Hsing Chang Iron & Steel Corp. 520,000 138,996 * Kee Tai Properties Co., Ltd. 272,000 49,271 King Yuan Electronics Co., Ltd. 1,397,172 1,268,078 * Kingdom Construction Co., Ltd. 464,000 109,837 Kinpo Electronics, Inc. 2,613,240 1,129,527 Knowledge-Yield-Excellence Systems Corp. 289,000 212,797 * Kuoyang Construction Co., Ltd. 136,029 38,966 * Kwong Fong Industries Corp. 230,000 24,373 Lan Fa Textile Co., Ltd. 301,395 69,962 * Lead Data Co., Ltd. 444,140 76,871 * Leadtek Research, Inc. 112,000 56,100 * Lealea Enterprise Co., Ltd. 658,000 86,454 Lee Chang Yung Chemical Industry Corp. 857,501 438,866 * Lee Chi Enterprises Co., Ltd. 196,000 47,063 * Lelon Co., Ltd. 132,118 51,224 * Leofoo Development Co., Ltd. 238,000 142,762 * Les Enphants Co., Ltd. 126,000 64,071
3 * Li Peng Enterprise Co., Ltd. 694,000 143,340 Li Shin International Enterprise Corp. 39,900 21,096 Lien Hwa Industrial Corp. 1,116,000 376,956 Lingsen Precision Industries, Ltd. 211,320 81,792 Long Bon Development Co., Ltd. 694,000 191,143 Long Chen Paper Co., Ltd. 628,000 158,541 Lucky Cement Corp. 449,000 101,936 * Luxon Electronics Corp. 313,400 44,846 * Macronix International Co., Ltd. 8,709,000 1,363,361 Mega Financial Holding Co., Ltd. 18,530,000 12,005,790 * Megamedia Corp. 65,782 545 Mercuries & Associates, Ltd. 706,980 179,039 Mercuries Data Co., Ltd. 142,657 41,412 Merida Industry Co., Ltd. 171,000 107,520 * Microelectronics Technology, Inc. 621,000 248,046 Micro-Star International Co., Ltd. 1,471,400 1,142,865 * Microtek International, Inc. 115,062 17,933 Mitac International Corp. 2,265,120 2,411,355 Mitac Technology Corp. 171,000 128,962 Mustek Systems, Inc. 250,500 68,248 * Namchow Chemical Industrial Co., Ltd. 164,057 26,404 * Nankang Rubber Tire Co., Ltd. 104,312 96,653 Nantex Industry Co., Ltd. 186,430 70,144 * New Asia Construction & Development Co., Ltd. 146,000 16,666 Nien Hsing Textile Co., Ltd. 118,000 98,564 Ocean Plastics Co., Ltd. 128,000 45,106 * Opto Tech Corp. 483,000 110,587 * Orient Semiconductor Electronics, Ltd. 648,713 56,050 * Pacific Construction Co., Ltd. 324,256 18,127 * Pacific Electric Wire & Cable Corp. 1,873,020 31,053 Pan Jit International, Inc. 157,000 78,146 Pan Overseas Electronics Co., Ltd. 187,864 46,038 * Pan-International Industrial Corp. 198,450 281,267 Phihong Technology Co., Ltd. 239,110 71,670 Phoenix Precision Technology Corp. 602,000 597,276 * Picvue Electronics, Ltd. 604,000 68,764 Premier Image Technology Corp. 209,000 232,108 Primax Electronics, Ltd. 484,744 115,955 * Prince Housing & Development Corp. 1,536,000 389,815 * Procomp Informatics, Ltd. 391,440 0 Prodisc Technology, Inc. 1,339,157 452,419 * Radium Life Tech Corp. 85,534 43,902 Ralec Electronic Corp. 172,450 72,967 Realtek Semiconductor Corp. 1,364,000 1,381,094 * Rectron, Ltd. 78,300 10,893 Rexon Industrial Corp., Ltd. 218,820 67,432 Ritek Corp. 3,638,518 1,275,854 * Ruentex Development Co., Ltd. 1,099,000 225,098 Sampo Corp. 2,082,850 361,512 * San Fang Chemical Industry Co., Ltd. 207,280 119,366 Sanyang Industrial Co., Ltd. 1,570,000 685,877 Sanyo Electric Co., Ltd. 451,000 241,667 * SDI Corp. 191,483 71,271 Sheng Yu Steel Co., Ltd. 5,000 5,230 Shihlin Electric & Engineering Corp. 1,048,000 750,104
4 * Shihlin Paper Corp. 400,000 281,475 Shinkong Co., Ltd. 186,190 89,761 * Shinkong Synthetic Fibers Co., Ltd. 2,561,000 535,229 Shinung Corp. 290,700 61,683 Shuttle, Inc. 204,000 104,757 * Silicon Integrated Systems Corp. 2,630,423 1,427,225 Siliconware Precision Industries Co., Ltd. 1,128,000 1,068,941 * Sin Yih Ceramic Co., Ltd. 211,000 44,052 Sincere Navigation Corp. 382,052 414,414 * Sinkong Spinning Co., Ltd. 195,000 69,107 SinoPac Holdings Co., Ltd. 6,415,997 3,415,298 * Sintek Photronics Corp. 1,334,000 580,187 * Siward Crystal Technology Co., Ltd. 40,789 20,437 * Solomon Technology Corp. 338,000 65,495 * South East Soda Manufacturing Co., Ltd. 233,000 52,920 * Southeast Cement Co., Ltd. 656,700 129,676 * Space Shuttle Hi-Tech Co., Ltd. 177,000 19,808 Standard Foods Taiwan, Ltd. 288,000 105,340 Stark Technology, Inc. 150,000 72,659 Sunonwealth Electric Machine Industry Co., Ltd. 21,000 8,877 Systex Corp., Ltd. 1,541,341 505,839 Ta Chen Stainless Pipe Co., Ltd. 81,000 39,642 * Ta Chong Bank 2,711,906 812,719 * Ta Jung Transportation Co., Ltd. 602,000 153,812 Ta Ya Electric Wire & Cable Co., Ltd. 621,860 190,566 Tah Hsin Industrial Corp. 268,000 94,651 Ta-I Technology Co., Ltd. 151,200 89,150 * Taichung Commercial Bank 2,479,000 704,883 * Tainan Business Bank 749,000 277,888 Tainan Spinning Co., Ltd. 3,261,000 748,443 * Taita Chemical Co., Ltd. 223,000 62,452 * Taitung Business Bank 163,395 33,068 * Taiwan Business Bank 11,323,412 3,592,081 Taiwan Cement Corp. 7,528,763 4,273,469 Taiwan Fire & Marine Insurance Co., Ltd. 406,077 196,903 * Taiwan Flourescent Lamp Co., Ltd. 124,000 49,315 Taiwan Glass Ind. Corp. 2,245,896 2,138,904 * Taiwan Kolin Co., Ltd. 905,000 241,411 Taiwan Mask Corp. 525,000 237,761 Taiwan Navigation Co., Ltd. 116,354 86,365 * Taiwan Pulp & Paper Corp. 238,000 55,043 Taiwan Sakura Corp. 252,900 63,902 Taiwan Sogo Shinkong Security Co., Ltd. 563,860 337,559 * Taiwan Tea Corp. 992,215 151,789 * Tatung Co., Ltd. 9,309,000 2,966,840 * Tay-Shan Enterprises Co., Ltd. 372,320 73,067 Teapo Electronic Corp. 80,580 19,742 Teco Electric & Machinery Co., Ltd. 3,789,834 1,098,094 Tecom, Ltd. 406,753 195,790 Test-Rite International Co., Ltd. 97,005 61,478 * The Chinese Bank 2,740,000 433,166 * The Farmers Bank of China 3,670,160 1,161,097 The First Insurance Co., Ltd. 203,840 104,712 Ton Yi Industrial Corp. 4,114,810 1,021,162
5 Tsann Kuen Enterprise Co., Ltd. 253,870 295,580 TSRC Corp. 1,141,000 567,709 Tung Ho Steel Enterprise Corp. 722,323 459,514 * Twinhead International Corp. 211,017 33,846 TYC Brother Industrial Co., Ltd. 261,000 190,285 * Tycoons Group Enterprise Co., Ltd. 401,000 92,707 Ulead Systems, Inc. 66,000 59,266 * Union Bank of Taiwan 3,637,577 1,114,658 * Union Insurance Co., Ltd. 787,454 181,159 Uni-President Enterprises Corp. 7,962,130 3,591,312 * Unitech Printed Circuit Board Corp. 433,000 140,206 United Epitaxy Co., Ltd. 421,978 230,301 * United Microelectronics Corp. 29,761,000 20,051,403 * Universal Cement Corp. 465,360 164,664 * Universal Microelectronics Co., Ltd. 69,010 21,206 Universal Scientific Industrial Co., Ltd. 1,316,800 499,416 UPC Technology Corp. 1,370,840 481,150 USI Corp. 1,432,000 470,987 * U-TECH Media Corp. 120,000 47,250 * Ve Wong Corp. 177,000 46,289 * Via Technologies, Inc. 2,917,402 1,887,443 * Visual Photonics Epitacy Co., Ltd. 86,000 19,422 * Walsin Lihwa Corp. 7,240,000 3,019,884 Walsin Technology Corp., Ltd. 550,191 296,631 Wan Hwa Enterprise Co., Ltd. 260,590 113,092 Waterland Financial Holdings 4,553,000 1,911,276 * Wei Chih Steel Industrial Co., Ltd. 211,898 33,317 * Wei Chuan Food Corp. 420,000 127,672 Weltrend Semiconductor, Inc. 106,000 39,756 * Winbond Electronics Corp. 9,457,000 3,032,711 Wintek Corp. 128,432 172,308 Wistron Corp. 2,039,101 1,433,670 World Peace Industrial Co., Ltd. 314,700 180,437 Wus Printed Circuit Co., Ltd. 617,406 219,129 * Yageo Corp. 4,270,840 1,613,497 Yang Ming Marine Transport Corp. 1,078,058 945,670 * Yi Jinn Industrial Co., Ltd. 387,000 46,217 Yieh Phui Enterprise Co., Ltd. 1,882,478 961,579 Yosun Industrial Corp. 286,116 194,804 Yuen Foong Yu Paper Manufacturing Co., Ltd. 2,827,926 1,069,148 Yulon Motor Co., Ltd. 3,867,263 4,482,480 Yung Chi Paint & Varnish Manufacturing Co., Ltd. 1,000 1,309 Yung Shin Pharmaceutical Industrial Co., Ltd. 268,000 267,310 Yung Tay Engineering Co., Ltd. 574,000 299,626 Zig Sheng Industrial Co., Ltd. 477,764 131,467 --------------- TOTAL COMMON STOCKS (Cost $197,469,867) 210,305,089 --------------- INVESTMENT IN CURRENCY -- (0.1%) * Taiwan Dollar 2,130,393 --------------- (Cost $2,140,116) TOTAL -- TAIWAN (Cost $199,609,983) 212,435,482 ---------------
6
SHARES VALUE + --------------- --------------- SOUTH KOREA -- (12.5%) COMMON STOCKS -- (12.5%) Aekyung Petrochemical Co., Ltd. 10,140 188,134 * Anam Semiconductor, Inc. 519,149 1,091,486 Asia Cement Manufacturing Co., Ltd. 9,438 318,175 AUK Corp. 24,000 82,155 Baiksan Co., Ltd. 41,550 41,134 * Boo Kook Securities Co., Ltd. 17,385 112,801 BYC Co., Ltd. 810 44,933 * Byuck San Corp. 2,132 34,625 Byuck San Engineering and Construction Co., Ltd. 87,860 429,347 * Capro Corp. 16,830 83,294 Cheil Industrial, Inc. 95,804 1,576,163 * Cho Kwang Leather Co., Ltd. 4,860 15,382 Choil Aluminium Manufacturing Co., Ltd. 5,770 35,854 Chon Bang Co., Ltd. 2,520 87,740 Chong Kun Dang Pharmaceutical Corp. 11,299 140,151 Choongwae Pharmaceutical Corp. 9,816 238,866 Chosun Refractories Co., Ltd. 7,370 203,753 * CKD Bio Corp. 3,109 18,584 D.I Corp. 65,430 179,544 * Dacom Corp. 36,810 353,546 Dae Chang Industrial Co. 6,170 24,070 Dae Dong Industrial Co., Ltd. 3,930 25,876 Dae Han Fire & Marine Insurance Co., Ltd. 12,610 67,149 Dae Sang Corp. 82,740 387,572 Dae Won Kang Up Co., Ltd. 13,100 240,240 * Dae Young Packaging Co., Ltd. 356,210 50,845 Daeduck Electronics Co., Ltd. 58,160 460,343 Daeduck Industries Co., Ltd. 39,860 375,387 Daegu Bank Co., Ltd. 193,922 1,514,121 Daehan Flour Mills Co., Ltd. 2,525 209,051 Daehan Synthetic Fiber Co., Ltd. 2,000 63,080 Daelim Industrial Co., Ltd. 70,240 3,368,644 Daelim Trading Co., Ltd. 27,140 110,112 Daesung Industrial Co., Ltd. 7,690 232,865 Daewoo Engineering & Construction Co., Ltd. 819,780 5,736,840 Daewoo International Corp. 64,190 943,227 Daewoo Motor Sales Corp. 61,560 701,204 * Daewoo Securities Co., Ltd. 495,270 3,279,349 Daewoong Co., Ltd. 12,340 115,615 Dahaam E-Tec Co., Ltd. 5,985 82,554 Daishin Securities Co., Ltd. 103,481 1,318,578 Daiyang Metal Co., Ltd. 40,000 63,454 * Daou Technology, Inc. 60,000 95,061 DC Chemical Co., Ltd. 38,990 794,967 * Dong Ah Tire Industrial Co., Ltd. 43,904 217,838 Dong Bu Insurance Co., Ltd. 132,650 1,122,563 * Dong Hai Pulp Co., Ltd. 14,310 33,875 Dong IL Rubber Belt Co., Ltd. 7,744 16,086 Dong Wha Pharmaceutical Industries Co. 5,167 70,462
7 * Dong Won Co., Ltd. 5,520 62,634 Dong Yang Department Store Co., Ltd. 9,000 69,860 Dong-A Pharmaceutical Co., Ltd. 20,320 755,818 Dongbu Corp. 46,410 537,308 Dongbu Hannong Chemical Co., Ltd. 14,890 255,126 Dongbu Securities Co., Ltd. 22,040 79,532 Dongbu Steel Co., Ltd. 46,108 471,909 Dong-Il Corp. 4,205 133,621 Dongkook Industries Co., Ltd. 1,620 6,151 Dongkuk Steel Mill Co., Ltd. 155,862 2,548,275 * Dongsu Industrial Co., Ltd. 15,408 183,001 Dongsung Chemical Co., Ltd. 3,770 24,990 Dongwon F&B Co., Ltd. 6,666 355,309 Dongwon Financial Holding Co., Ltd. 116,926 1,960,752 Dongwon Industries Co., Ltd. 1,876 30,113 Dongyang Express & Construction Corp. 5,250 114,185 Dongyang Mechatronics Corp. 20,680 71,921 * Doosan Corp. 47,020 496,292 Doosan Heavy Industries & Construction Co., Ltd. 400,500 5,512,737 * Doosan Industrial Development Co., Ltd. 193,240 954,468 DPI Co., Ltd. 33,340 165,765 Duck Yang Industry Co., Ltd. 4,000 42,869 Enex Co., Ltd. 5,960 34,129 F&F Co., Ltd. 23,100 46,714 * First Fire & Marine Insurance Co., Ltd. 40,160 66,375 * Firstech Co., Ltd. 28,190 43,694 * FNC Kolon Corp. 11,960 85,493 Fursys, Inc. 24,120 381,678 Global & Yuasa Battery Co., Ltd. 11,600 27,819 Green Cross Corp. 10,540 326,121 Gwangju Shinsegae Co., Ltd. 1,590 125,617 Halla Engineering & Construction Corp. 7,450 120,056 Han Kuk Carbon Co., Ltd. 25,070 68,694 Han Wha Corp. 146,740 2,374,047 Han Yang Securities Co., Ltd. 24,940 88,546 Hana Securities Co., Ltd. 40,790 416,954 Handok Pharmaceuticals Co., Ltd. 18,150 197,882 Handsome Corp. 35,380 380,080 Hanil Cement Manufacturing Co., Ltd. 18,013 996,512 Hanil E-wha Co., Ltd. 79,730 123,357 Hanil Iron & Steel Co., Ltd. 1,815 37,671 Hanjin Heavy Industry Co., Ltd. 165,520 1,955,105 Hanjin Transportation Co., Ltd. 23,460 289,665 * Hankook Core Co., Ltd. 7,001 0 Hankook Cosmetics Co., Ltd. 30,000 64,182 Hankook Tire Manufacturing Co., Ltd. 150,550 1,699,498 Hankuk Electric Glass Co., Ltd. 23,010 1,007,707 Hankuk Glass Industries, Inc. 22,200 1,272,622 Hankuk Paper Manufacturing Co., Ltd. 9,800 348,721 * Hanmi Capital Co., Ltd. 28,690 159,217 Hansae Co., Ltd. 3,260 39,344 Hansol Chemical Co., Ltd. 12,467 80,600 Hansol CSN Co., Ltd. 103,640 147,984 Hansol Paper Co., Ltd. 102,044 991,153
8 * Hansol Telecom Co., Ltd. 547 7,873 Hanssem Co., Ltd. 12,390 76,823 Hanwha Chemical Corp. 246,060 2,636,568 Hanwha Securities Co., Ltd. 62,690 296,766 Heesung Cable, Ltd. 3,660 47,123 Histeel Co., Ltd. 1,188 18,792 * Honam Petrochemical Corp. 21,360 837,182 Hotel Shilla, Ltd. 76,920 524,738 HS R&A Co., Ltd. 4,980 44,801 Huchems Fine Chemical Corp. 45,340 233,775 * Huneed Technologies Co., Ltd. 90,030 36,966 Husteel Co., Ltd. 10,370 146,281 Hwa Sung Industrial Co. 26,510 156,884 Hwashin Co., Ltd. 42,000 64,462 Hyosung T & C Co., Ltd. 72,817 801,895 Hyundai Cement Co., Ltd. 15,435 427,117 * Hyundai Corp. 6,015 38,659 Hyundai Department Store Co., Ltd. 37,908 1,790,195 Hyundai Department Store H & S Co., Ltd. 8,362 249,251 Hyundai Development Co. 160,560 3,381,813 Hyundai Elevator Co., Ltd. 12,210 522,500 Hyundai Heavy Industries Co., Ltd. 189,160 9,895,943 Hyundai Hysco 170,820 2,038,629 Hyundai Marine & Fire Insurance Co., Ltd. 127,340 698,190 * Hyundai Merchant Marine Co., Ltd. 193,270 3,062,097 Hyundai Mipo Dockyard Co., Ltd. 15,693 987,135 Hyundai Motor Co., Ltd. 446,030 24,988,826 Hyundai Pharmaceutical Ind. Co., Ltd. 4,200 60,528 * Hyundai Securities Co., Ltd. 249,730 1,681,820 Il Dong Pharmaceutical Co., Ltd. 5,840 147,096 Il Yang Pharmaceutical Co., Ltd. 6,107 50,263 Iljin Diamond Co., Ltd. 9,368 90,751 * Iljin Display Co., Ltd. 5,361 58,597 Iljin Electric, Ltd. 26,530 63,400 Ilshin Spinning Co., Ltd. 3,600 146,849 Ilsung Pharmaceutical Co., Ltd. 3,990 94,577 INI Steel Co., Ltd. 235,930 3,469,070 ISU Chemical Co., Ltd. 14,350 151,392 Jeil Pharmaceutical Co. 2,220 127,609 Jeonbuk Bank, Ltd. 54,559 256,301 * Jinro, Ltd. 407 18,179 Joongang Constuction Co., Ltd. 9,880 132,562 * Keang Nam Enterprises Co., Ltd. 19,942 174,524 KEC Corp. 155,000 238,655 Keyang Electric Machinery Co., Ltd. 71,760 92,878 KG Chemical Corp. 11,123 59,634 Kia Motors Corp. 899,680 12,798,297 Kodenshi Korea Corp. 38,000 76,793 Kolon Chemical Co., Ltd. 20,220 147,983 * Kolon Engineering & Construction Co., Ltd. 37,850 192,457 * Kolon Industries, Inc. 32,379 235,242 * Kolon International Corp. 1,905 8,149 Korea Cast Iron Pipe Co., Ltd. 44,688 142,182 Korea Circuit Co. 31,660 162,431
9 Korea Development Co., Ltd. 23,520 477,686 * Korea Development Leasing Corp. 6,348 180,340 Korea Electric Terminal Co., Ltd. 9,980 128,915 Korea Fine Chemical Co., Ltd. 7,000 67,053 Korea Flange Co., Ltd. 10,290 165,469 Korea Iron & Steel Co., Ltd. 25,230 550,009 Korea Iron & Steel Works Co., Ltd. 21,294 333,507 Korea Kolmar Co., Ltd. 36,944 200,547 Korea Komho Petrochemical Co., Ltd. 61,750 1,094,720 Korea Mutual Savings Bank 14,910 108,853 Korea Petrochemical Industry Co., Ltd. 12,300 279,007 Korea Polyol Co., Ltd. 10,556 341,241 Korea Reinsurance Co., Ltd. 111,460 611,778 Korea Zinc Co., Ltd. 52,610 1,580,741 Korean Air Co., Ltd. 203,658 3,616,225 Korean Air Terminal Service Co., Ltd. 3,490 55,469 * KP Chemical Corp. 201,976 927,873 * KTB Network, Ltd. 135,720 408,440 Kukdo Chemical Co., Ltd. 8,710 117,591 Kukdong City Gas Co., Ltd. 12,780 282,798 Kumgang Korea Chemical Co., Ltd. 29,050 4,887,310 Kumho Industrial Co., Ltd. 99,300 1,240,595 Kunsul Chemical Industrial Co., Ltd. 12,700 110,973 Kwang Dong Pharmaceutical Co., Ltd. 114,660 319,382 Kyeryong Construction Industrial Co., Ltd. 17,500 365,614 Kyobo Securities Co., Ltd. 76,680 282,348 Kyong Dong Boiler Co., Ltd. 3,450 44,685 * Kyungbang Co., Ltd. 1,856 119,732 LG Cable, Ltd. 81,160 1,938,469 LG Chemical Investment, Ltd. 129,850 3,308,011 LG Chemical, Ltd. 26,500 961,951 LG Engineering & Construction Corp. 104,882 3,261,727 LG International Corp. 117,374 1,350,793 LG Investment & Securities Co., Ltd. 246,950 2,300,034 Lotte Confectionary Co., Ltd. 1,170 835,146 Lotte Sam Kang Co., Ltd. 2,480 346,337 * Meritz Securities Co., Ltd. 73,900 229,786 * Midopa Co., Ltd. 88,950 538,227 Motonic Corp. 640 14,753 Namhae Chemical Corp. 105,810 235,158 Namyang Dairy Products Co., Ltd. 1,600 677,568 Nong Shim Holdings Co., Ltd. 1,750 135,401 Oriental Fire & Marine Insurance Co., Ltd. 16,810 329,721 Ottogi Corp. 7,320 573,253 Pacific Industries, Inc. 12,240 173,906 * Pantech Co., Ltd. 40,270 195,518 PaperCorea, Inc. 19,552 54,560 * Partsnic Co., Ltd. 11,310 13,037 Pohang Coated Steel Co., Ltd. 12,780 355,077 Poong Lim Industrial Co., Ltd. 32,280 116,997 Poong San Corp. 66,220 832,032 * Pum Yang Construction Co., Ltd. 14,667 97,598 Pusan Bank 200,400 1,704,040 Pusan City Gas Co., Ltd. 21,560 391,343
10 Pyung Hwa Industrial Co., Ltd. 45,370 217,657 * Rocket Electric Co., Ltd. 3,460 5,335 * Saehan Industries, Inc. 95,610 223,858 * Saehan Media Corp. 31,250 48,186 Sam Jin Pharmaceutical Co., Ltd. 2,650 115,398 Sam Yung Trading Co., Ltd. 13,840 23,692 Sambu Construction Co., Ltd. 11,398 182,741 Samhwa Crown and Closure Co., Ltd. 3,100 37,832 Samhwa Paints Industrial Co., Ltd. 33,600 104,416 Samlip Industrial Co., Ltd. 15,670 93,699 Samsung Climate Control Co., Ltd. 11,990 63,428 Samsung Corp. 331,070 4,518,093 Samsung Electro-Mechanics Co., Ltd. 43,350 1,052,864 Samsung Engineering Co., Ltd. 84,110 855,690 Samsung Fine Chemicals Co., Ltd. 62,960 1,219,041 Samsung Heavy Industries Co., Ltd. 525,070 4,393,515 Samsung SDI Co., Ltd. 10,430 992,626 Samsung Securities Co., Ltd. 116,860 3,016,820 Samsung Techwin Co., Ltd. 130,710 1,194,104 Samwhan Corp. 17,730 217,089 Samyang Corp. 25,405 918,814 Samyang Genex Co., Ltd. 5,490 241,326 Samyang Tongsang Co., Ltd. 2,820 41,596 * Samyoung Chemical Co., Ltd. 2,820 25,188 Samyoung Corp. 6,130 95,939 Samyoung Electronics Co., Ltd. 39,200 259,223 Seah Holdings Corp. 4,619 186,609 Seah Steel Corp. 6,245 180,510 * Segye Corp. 20,530 34,419 Sejong Industrial Co., Ltd. 44,050 198,861 Sejong Securities Co., Ltd. 54,071 245,265 Sempio Foods Co. 3,610 40,670 Seoul Securities Co., Ltd. 109,220 369,626 * Shin Dong-Ah Fire & Marine Insurance Co. 22,873 81,442 Shin Heung Securities Co., Ltd. 9,130 32,629 Shin Young Securities Co., Ltd. 18,390 310,058 Shin Young Wacoal, Inc. 273 12,453 Shinhan Financial Group Co., Ltd. 46,326 1,186,488 * Shin-Ho Paper Manufacturing Co., Ltd. 38,850 193,856 Shinmoorim Paper Manufacturing Co., Ltd. 34,120 342,128 Shinpoong Pharmaceutical Co., Ltd. 4,540 65,025 Shinsegae Engineering & Construction Co., Ltd. 3,980 82,568 * Shinsung Tongsang Co., Ltd. 21,550 45,659 Sindo Ricoh Co., Ltd. 18,480 1,039,279 SK Chemicals Co., Ltd. 37,810 437,670 SK Gas Co., Ltd. 18,370 528,005 * SKC Co., Ltd. 71,130 606,943 Song Woun Industries 24,310 56,494 * Ssang Bang Wool Co., Ltd. 52,870 156,756 * Ssangyong Cement Industry Co., Ltd. 710,212 899,968 * Ssangyong Fire & Marine Insurance Co. 13,190 41,886 * Ssangyong Motor Co. 247,830 1,708,305 STX Corp. 24,376 454,746 STX Engine Co., Ltd. 8,711 91,805
11 Sung Chang Enterprise Co., Ltd. 9,000 135,197 Sung Shin Cement Co., Ltd. 45,580 897,162 * Sungwon Corp. 20,600 40,691 Sunjin Co., Ltd. 4,240 142,150 * Sunkyong Securities Co., Ltd. 384,280 443,983 Tae Kwang Industrial Co., Ltd. 2,881 1,743,547 Tae Kyung Industrial Co., Ltd. 63,000 198,383 Tae Young Corp. 16,270 553,840 Taegu Department Store Co., Ltd. 19,941 168,221 Tai Han Electric Wire Co., Ltd. 95,477 1,049,958 Tai Lim Packaging Industries Co., Ltd. 4,380 18,408 * The Will-Bes & Co., Ltd. 10,640 26,516 * Tong Kook Corp. 607 941 * Tong Yang Investment Bank 166,420 652,521 * Tong Yang Major Corp. 24,960 99,604 Tong Yang Moolsan Co., Ltd. 4,560 15,273 Tongil Heavy Industries Co., Ltd. 160,770 163,468 TS Corp. 3,881 81,585 Union Steel Manufacturing Co., Ltd. 21,297 689,088 Wiscom Co., Ltd. 22,000 97,425 Woongjin.Com Co., Ltd. 78,940 417,281 Yoosung Enterprise Co., Ltd. 37,800 110,311 Youlchon Chemical Co., Ltd. 47,300 587,660 * Young Poong Mining & Construction Corp. 18,030 984 Youngbo Chemical Co., Ltd. 33,000 60,535 Youngone Corp. 108,650 369,085 Youngpoong Corp. 2,710 272,125 Yuhan Corp. 5,435 501,303 Yuhwa Securities Co., Ltd. 17,000 174,600 * Zinus, Inc. 9,330 6,945 --------------- TOTAL -- SOUTH KOREA (Cost $123,891,857) 210,092,498 --------------- MEXICO -- (11.8%) COMMON STOCKS -- (11.8%) Alfa S.A. de C.V. Series A 5,405,364 31,038,624 Cementos de Mexico S.A. de C.V. Series B 785,300 5,974,697 * Cintra S.A. de C.V. 85,000 57,321 * Consorcio Hogar S.A. de C.V. Series B 540,200 168,745 Controladora Comercial Mexicana S.A. de C.V. Series B 7,880,200 8,470,725 * Corporacion Geo S.A. de C.V. Series B 1,728,500 4,089,254 * Corporacion Interamericana de Entramiento S.A. de C.V. Series B 1,414,805 2,742,689 * Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 3,689 712 Corporativo Fragua S.A. de C.V. Series B 70 222 * Desc S.A. de C.V. Series B 8,736,833 2,367,956 El Puerto de Liverpool S.A. de C.V. Series 1 20,000 40,425 El Puerto de Liverpool S.A. de C.V. Series C1 328,600 664,183 Embotelladora Arca S.A. de C.V., Mexico 304,200 625,764 * Empaques Ponderosa S.A. de C.V. Series B 90,000 7,442 * Empresas ICA Sociedad Controladora S.A. de C.V. 19,372,200 7,653,232
12 Empresas la Moderna S.A. de C.V. Series A 3,457,285 662,434 Fomento Economico Mexicano Series B & D 488,000 2,665,442 Gruma S.A. de C.V. Series B 3,347,050 7,149,615 Grupo Carso S.A. de C.V. Series A-1 13,173,051 22,995,215 Grupo Cementos de Chihuahua S.A. de C.V. 2,692,992 4,775,181 Grupo Continental S.A. de C.V. 1,444,500 2,229,587 Grupo Corvi S.A. de C.V. Series L 284,000 52,446 Grupo Financiero del Norte S.A. Series C 650,000 4,329,014 Grupo Financiero GBM Atlantico S.A. de C.V. Series L 74 37 * Grupo Financiero GBM Atlantico S.A. de C.V. Series L 75,724 38,960 Grupo Financiero Inbursa S.A. de C.V. Series O 6,727,615 14,339,916 * Grupo Gigante S.A. de C.V. Series B 324,076 223,309 * Grupo Herdez S.A. de C.V. 319,000 159,143 Grupo Industrial Maseca S.A. de C.V. Series B 2,771,700 1,576,284 Grupo Industrial Saltillo S.A. de C.V. 1,246,869 1,913,087 * Grupo Iusacell S.A. de C.V. 143,500 234,676 * Grupo Nutrisa S.A. de C.V. 428 165 Grupo Posadas S.A. de C.V. Series L 356,000 263,295 * Grupo Qumma S.A. de C.V. Series B 5,301 88 * Grupo Tribasa S.A. de C.V. 152,065 0 Hylsamex S.A. de C.V. Series B 1,026,960 3,698,598 Industrias Bachoco S.A. de C.V. (Certificate Representing Series B and Series L) 411,800 1,059,356 Industrias Penoles S.A. de C.V. 1,277,400 6,314,031 * Industrias S.A. de C.V. Series B 2,361,452 4,903,262 * Jugos del Valle S.A. de C.V. Series B 213,600 323,804 Nueva Grupo Mexico S.A. de C.V. Series B 7,114,545 33,597,561 * Organizacion Soriana S.A. de C.V. Series B 5,249,700 19,967,897 * Sanluis Corporacion S.A. de C.V. Series A 2,400 860 * Sanluis Corporacion S.A. de C.V. Series C & Series B 3,376 1,393 * US Commercial Corp. S.A. de C.V. 271,000 97,725 Vitro S.A. de C.V. 2,699,100 2,105,349 --------------- TOTAL COMMON STOCKS (Cost $146,081,834) 199,579,721 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Mexican Peso (Cost $6,375) 6,158 --------------- TOTAL -- MEXICO (Cost $146,088,209) 199,585,879 --------------- SOUTH AFRICA -- (11.5%) COMMON STOCKS -- (11.5%) ABSA Group, Ltd. 1,320,947 16,043,409 Advtech, Ltd. 620,958 125,768 Aeci, Ltd. 301,269 1,890,779 Afgri, Ltd. 1,009,836 760,232 African Life Assurance Co., Ltd. 488,203 1,604,797 * Afrikander Lease, Ltd. 246,760 145,911 AG Industries, Ltd. 361,487 167,239 Allied Electronics Corp., Ltd. 368,310 946,198
13 Anglo American PLC 234,915 5,598,545 * Anglovaal Mining, Ltd. 750,206 3,707,714 Argent Industrial, Ltd. 119,621 180,296 * AST Group, Ltd. 195,883 13,012 Aveng, Ltd. 967,782 1,642,163 AVI, Ltd. 770,487 1,408,444 Barloworld, Ltd. 591,025 7,638,436 * Bell Equipment, Ltd. 234,150 297,042 * Bridgestone Firestone Maxiprest, Ltd. 113,271 15,800 * Business Connexion Group, Ltd. 465,381 328,310 Bytes Technology Group, Ltd. 314,654 354,895 Capitec Bank Holdings, Ltd. 169,258 386,060 Caxton & CTP Publishers & Printers, Ltd. 1,459,539 2,332,553 Corpcapital, Ltd. 579,166 22,960 * Datatec, Ltd. 288,099 495,117 Delta Electrical Industries, Ltd. 136,407 792,073 * Dimension Data Holdings PLC 2,167,023 1,257,688 Distell Group, Ltd. 610,033 2,151,535 Dorbyl, Ltd. 84,373 501,163 * Durban Roodeport Deep, Ltd. 155,655 176,354 Ellerine Holdings, Ltd. 260,773 1,915,286 Enviroserv Holdings, Ltd. 259,484 136,579 Gold Reef Casino Resorts, Ltd. 344,218 688,174 Group Five, Ltd. 204,934 409,252 Harmony Gold Mining Co., Ltd. 1,129,748 8,381,894 Highveld Steel & Vanadilum Corp., Ltd. 262,534 2,881,326 Hudaco Industries, Ltd. 70,987 390,979 Iliad Africa, Ltd. 76,658 112,156 Illovo Sugar, Ltd. 819,780 999,582 * Imperial Holdings, Ltd. 377,275 5,547,936 Investec, Ltd. 140,205 4,028,620 * JCI, Ltd. 4,289,448 181,984 Johnic Communications, Ltd. 294,723 1,644,152 Liberty Group, Ltd. 1,200,433 10,945,012 M Cubed Holdings, Ltd. 1,367,759 88,370 Medi-Clinic Corp., Ltd. 1,077,421 2,507,681 Metair Investment, Ltd. 17,631 595,843 * Metorex, Ltd. 610,501 328,674 Metropolitan Holdings, Ltd. 1,647,423 2,306,403 Mittal Steel South Africa, Ltd. 1,861,627 13,888,307 Murray & Roberts Holdings, Ltd. 810,812 1,630,973 Mvelaphanda Group, Ltd. 533,601 501,774 Nampak, Ltd. 1,762,010 3,888,034 Nedcor, Ltd. 1,296,534 14,445,486 New Clicks Holdings, Ltd. 1,129,087 1,244,904 Northam Platinum, Ltd. 675,738 1,067,766 Nu-World Holdings, Ltd. 43,045 179,976 Oceana Group, Ltd. 330,762 641,389 Old Mutual PLC 9,543,274 20,311,584 Omnia Holdings, Ltd. 63,382 367,811 * Palabora Mining Co., Ltd. 69,265 383,917 Peregrine Holdings, Ltd. 559,969 337,185 * Prism Holdings, Ltd. 458,100 29,670
14 PSG Group, Ltd. 278,342 327,526 Rainbow Chicken, Ltd. 720,394 754,740 * Randgold & Exploration Co., Ltd. 204,896 320,785 Redefine Income Fund, Ltd. 83,325 45,916 Sanlam, Ltd. 7,196,373 11,855,679 Santam, Ltd. 368,608 3,302,568 Sappi, Ltd. 641,567 6,212,550 Steinhoff International Holdings, Ltd. 3,474,550 6,905,595 Sun International, Ltd. 151,284 1,423,464 Tiger Wheels, Ltd. 146,318 528,226 Tongaat-Hulett Group, Ltd. 430,477 3,734,785 Trans Hex Group, Ltd. 252,475 633,003 Trencor, Ltd. 580,044 1,695,834 UCS Group, Ltd. 376,067 63,911 Unitrans Ltd 165,695 789,782 Value Group, Ltd. 311,313 82,249 * Western Areas, Ltd. 200,686 661,497 --------------- TOTAL COMMON STOCKS (Cost $173,630,877) 193,331,282 --------------- INVESTMENT IN CURRENCY -- (0.0%) * South African Rand 135,706 --------------- (Cost $154,604) TOTAL -- SOUTH AFRICA (Cost $173,785,481) 193,466,988 --------------- BRAZIL -- (8.5%) PREFERRED STOCKS -- (7.4%) Acesita SA 413,076 5,432,819 Banco Bradesco SA 260,759 8,392,555 Bradespar SA 5,702 95,842 Brasil Telecom Participacoes SA 1,984,088 13,192 Brasileira de Distribuicao Pao de Acucar 146,540,000 3,101,697 * Braskem SA Preferred A 571,200 5,442,935 Centrais Electricas de Santa Catarin Celesc Series B 3,081,000 1,112,459 Companhia Brasileira de Petroleo Ipiranga SA 202,800 2,225,371 Confab Industrial SA 1,800,000 2,510,064 Coteminas Cia Tecidos Norte de Minas 21,607,500 1,865,267 Distribuidora de Produtos de Petroleo Ipiranga SA 8,000 126,167 Duratex SA 66,910,000 3,054,617 Embraco SA 437,300 163,341 * Embratel Participacoes SA 1,389,166 2,952 Forjas Taurus SA 254,000 119,120 Gerdau SA 1,163,328 11,732,256 Globex Utilidades SA 34,076 150,970 Industrias Romi SA 9,200 263,457 * Inepar SA Industria e Construcoes 78,960,001 38,669 Investimentos Itau SA 6,952,166 14,195,749 Magnesita SA Series A 132,900,000 730,826 Marcopolo SA 370,800 661,731 Metalurgica Gerdau SA 595,200 8,250,542
15 Perdigao SA NPV 199,200 4,170,840 * Plascar Participacoes Industriais SA 6,900,000 21,477 Polialden Petroquimica SA 780,000 263,831 Ripasa SA Papel e Celulose 1,495,000 2,215,045 Sadia SA 3,838,282 6,260,406 Santista Textil SA Preferred 29,600 214,982 Sao Pau Alpargatas SA 3,780,000 517,701 Siderurgica Belgo-Mineira 12,307,631 5,414,438 Siderurgica de Tubarao 211,770,000 11,390,493 Suzano Bahia Sul Papel e Celullose SA 459,431 2,002,086 Suzano Petroquimica SA 94,000 179,846 Tele Celular Sul Participacoes SA 2,775,366 4,354 * Tele Leste Celular Participacoes SA 35 301 * Tele Norte Celular Participacoes SA 1,390,958 179 Tele Norte Leste Participacoes SA 7,538 114,564 Telemar Norte Leste SA 545,000 12,734,385 Telemig Celular Participacoes SA 1,422,616 2,326 * Telesp Celular Participacoes SA 754 3,821 * Tim Sul Prefered Receipts 870,934 39,399 Tim Sul SA Preferred Series B 32,030,000 1,448,960 Uniao des Industrias Petroquimicas SA Series B 2,584,454 3,196,378 Unibanco-Uniao de Bancos Brasileiros Units SA 135,500 971,753 Usinas Siderurgicas de Minas Gerais SA 41,925 789,780 * Vale do Rio Doce Series B 239,144 0 Votorantim Celulose e Papel SA 231,000 2,742,855 --------------- TOTAL PREFERRED STOCKS (Cost $52,619,290) 124,382,798 --------------- COMMON STOCKS -- (1.1%) Avipal SA Avicultura e Agropecua 12,500,000 40,932 Brasil Telecom Participacoes SA 51,256,779 460,769 Companhia Siderurgica Nacional SA 931,400 16,505,823 * Embratel Participacoes SA 50,000,000 99,606 Eternit SA 8,800 131,881 Tele Celular Sul Participacoes SA 98,247,830 170,848 * Tele Centro Oeste Celular Participacoes SA 16,764 183,329 * Tele Leste Celular Participacoes SA 1,284 9,858 * Tele Norte Celular Participacoes SA 50,064,513 18,700 Tele Norte Leste Participacoes SA 51,468 1,063,750 Telemig Celular Participacoes SA 51,793,284 195,609 --------------- TOTAL COMMON STOCKS (Cost $9,216,359) 18,881,105 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Brazilian Real 349,799 --------------- (Cost $340,944) RIGHTS/WARRANTS -- (0.0%) * Itausa-Investimentos Itau SA Preferred Rights 06/01/05 53,899 19,461 --------------- (Cost $0) TOTAL -- BRAZIL (Cost $62,176,593) 143,633,163 ---------------
16
SHARES VALUE + --------------- --------------- MALAYSIA -- (7.5%) COMMON STOCKS -- (7.5%) * A&M Realty Berhad 213,550 78,679 ACP Industries Berhad 512,000 107,190 * Advance Synergy Berhad 641,000 42,161 Advanced Synergy Capital Berhad 153,500 20,906 Affin Holdings Berhad 7,143,300 2,702,241 Aluminum Co. of Malaysia Berhad 250,000 105,148 * AMBD Berhad 1,990,900 60,170 * AmInvestment Group Berhad 994,468 423,957 AMMB Holdings Berhad 4,338,144 2,644,088 Ancom Berhad 375,000 60,211 Ann Joo Resources Berhad 1,235,100 513,360 * Antah Holding Berhad 306,000 19,326 APM Automotive Holdings Berhad 779,100 494,717 Apollo Food Holdings Berhad 198,400 116,144 * Arab Malaysia Corp. Berhad 2,000,000 573,187 Asas Dunia Berhad 524,700 104,777 * Asia Pacific Land Berhad 1,349,000 67,413 Asiatic Development Berhad 3,736,600 1,591,094 * Avenue Assets Berhad 3,097,700 438,270 Ayer Hitam Planting Syndicate Berhad 27,000 14,713 Bandar Raya Developments Berhad 2,459,300 755,774 Batu Kawan Berhad 1,034,500 1,606,943 * Berjaya Capital Berhad 2,558,900 558,800 * Berjaya Group Berhad 3,516,900 69,124 Berjaya Land Berhad 3,934,800 828,222 Bernas Padiberas Nasional Berhad 2,341,700 780,912 Bimb Holdings Berhad 1,029,800 373,726 Bina Darulaman Berhad 118,000 32,507 Binaik Equity Berhad 149,800 26,578 Bolton Properties Berhad 1,107,100 276,554 Boustead Holdings Berhad 3,078,700 1,432,557 Cahya Mata Sarawak Berhad 1,008,800 334,342 * Camerlin Group Berhad 845,200 266,812 Chemical Co. of Malaysia Berhad 311,000 195,660 Chin Teck Plantations Berhad 296,600 376,067 Choo Bee Metal Industries Berhad 235,700 143,711 Commerce Asset Holding Berhad 1,104,000 1,352,139 * Cosway Corp. Berhad 854,100 147,295 * Country Heights Holdings Berhad 174,000 38,659 Courts Mammoth Berhad 1,280,000 386,904 Cycle & Carriage Bintang Berhad 249,800 193,882 * Damansara Realty Berhad 391,000 8,232 Datuk Keramik Holdings Berhad 127,000 1,338 Dijaya Corp. Berhad 612,100 128,897 Diversified Resources Berhad 6,048,600 2,194,095 DNP Holdings Berhad 166,000 25,754 * E&O Property Development Berhad 5,481,600 915,032 Eastern & Oriental Berhad 325,000 89,967 Eastern Pacific Industrial Corp. Berhad 414,400 190,513 * Econstates Berhad 327,900 49,982
17 Edaran Otomobil Nasional Berhad 1,327,100 1,184,229 Esso Malaysia Berhad 633,200 420,004 Europlus Berhad 278,100 25,217 * Faber Group Berhad 170,300 22,600 Far East Holdings Berhad 159,200 176,709 Focal Aims Holdings Berhad 424,000 33,556 Fraser & Neave Holdings Berhad 110,800 150,097 General Corp. Berhad 564,000 57,052 Glomac Berhad 591,000 194,399 Gold IS Berhad 1,287,600 467,856 Golden Hope Plantations Berhad 3,785,400 3,803,399 * Golden Hope Plantations Berhad Series A 532,950 406,725 * Golden Plus Holdings Berhad 201,000 23,023 * Gopeng Berhad 273,900 35,223 Grand United Holdings Berhad 451,100 33,180 * Gula Perak Berhad 729,750 42,180 Guthrie Ropel Berhad 191,700 182,567 Hap Seng Consolidated Berhad 1,499,200 835,764 Highlands and Lowlands Berhad 3,508,500 3,507,421 * HIL Industries Berhad 373,285 25,974 * Ho Hup Construction Co. Berhad 175,100 32,010 * Ho Wah Genting Berhad 369,000 17,910 Hong Leong Credit Berhad 1,191,937 1,259,623 Hong Leong Industries Berhad 708,000 666,779 Hong Leong Properties Berhad 2,972,341 456,849 Hume Industries (Malaysia) Berhad 389,967 499,794 Hwang-DBS (Malaysia) Berhad 654,000 208,147 IGB Corp. Berhad 8,275,700 2,390,797 IJM Corp. Berhad 1,608,500 1,988,784 IJM Plantations Berhad 204,400 54,316 * Insas Berhad 1,680,000 132,447 Integrated Logistics Berhad 324,000 145,840 IOI Properties Berhad 13,600 26,297 Island & Peninsular Berhad 522,500 187,361 Jaya Tiasa Holdings Berhad 1,128,700 593,170 * Jerneh Asia Berhad 265,700 153,928 * Johan Holdings Berhad 228,000 8,967 Johor Port Berhad 1,549,900 733,804 Johore Tenggara Oil Palm Berhad 464,000 100,079 K & N Kenanga Holdings Berhad 1,454,300 248,773 Keck Seng (Malaysia) Berhad 832,900 418,667 Kedah Cement Holdings Berhad 1,058,307 1,379,611 * Kejora Harta Berhad 601,000 39,490 Kian Joo Can Factory Berhad 598,200 402,906 * KIG Glass Industrial Berhad 260,000 6,840 Kim Hin Industry Berhad 325,900 144,691 Kim Loong Resources Berhad 113,000 30,286 KPJ Healthcare Berhad 478,600 204,155 Kris Components Berhad 368,377 327,371 Kuala Lumpur Kepong Berhad 3,820,500 6,431,139 * Kub Malaysia Berhad 1,251,400 134,892 Kulim Malaysia Berhad 1,295,725 1,028,612 * Kumpulan Emas Berhad 1,268,000 34,980 Kwantas Corp. Berhad 123,000 121,037
18 * Land & General Berhad 2,261,700 83,219 Landmarks Berhad 1,637,000 365,285 * Leader Universal Holdings Berhad 1,621,833 151,252 * Leong Hup Holdings Berhad 286,000 66,189 * Lien Hoe Corp. Berhad 654,850 38,653 Lingui Development Berhad 2,774,700 721,024 Lion Diversified Holdings Berhad 2,414,300 1,077,594 Lion Industries Corp. Berhad 3,576,181 1,173,817 Malayan Cement Berhad 67,500 10,468 Malayawata Steel Berhad 645,100 222,278 * Malaysia Building Society Berhad 263,000 45,586 Malaysia Industrial Development Finance Berhad 5,266,200 1,577,682 Malaysia Mining Corp. Berhad 6,511,900 3,254,826 Malaysian Airlines System Berhad 80,000 74,535 Malaysian Mosaics Berhad 1,968,000 802,463 Malaysian National Reinsurance Berhad 806,900 742,723 Malaysian Plantations Berhad 2,514,000 1,599,573 Maruichi Malaysia Steel Tube Berhad 479,000 183,869 Matsushita Electric Co. (Malaysia) Berhad 294,980 806,492 MBM Resources Berhad 349,933 193,084 * Meda, Inc. Berhad 650,100 17,926 Mega First Corp. Berhad 448,000 94,846 Mentakab Rubber Co. (Malaya) Berhad 1,100 478 * Merge Housing Berhad 57,900 20,583 Metro Kajang Holdings Berhad 535,333 122,295 * Metroplex Berhad 817,000 10,755 Mieco Chipboard Berhad 732,600 343,126 * MTD Infraperdana Berhad 5,891,300 1,317,668 Muda Holdings Berhad 706,000 54,771 Muhibbah Engineering Berhad 321,600 76,493 * MUI Properties Berhad 1,314,000 91,395 * Mulpha International Berhad 6,934,500 902,952 * Multi-Purpose Holdings Berhad 1,974,000 412,198 Mutiara Goodyear Development Berhad 247,900 27,738 MWE Holdings Berhad 360,000 59,590 * Mycron Steel Berhad 119,750 30,859 * Naluri Berhad 2,329,400 256,940 * Nam Fatt Berhad 286,100 25,535 Narra Industries Berhad 154,200 54,954 NCB Holdings Berhad 2,363,700 1,614,988 Negri Sembilan Oil Palms Berhad 167,600 100,470 * New Straits Times Press (Malaysia) Berhad 1,101,400 921,125 Nylex (Malaysia) Berhad 109,750 17,537 Oriental Holdings Berhad 2,837,416 2,982,519 Oriental Interest Berhad 170,000 55,875 OSK Holdings Berhad 3,075,218 881,048 OSK Property Holdings Berhad 186,678 36,977 Pacific & Orient Berhad 239,300 115,218 * Pan Malaysia Cement Works Berhad 1,271,800 149,993 * Pan Pacific Asia Berhad 100,000 2,368 * Paracorp Berhad 252,000 6,291 Paramount Corp. Berhad 203,900 121,855 PBA Holdings Berhad 1,502,500 541,167 Pelangi Berhad 1,655,800 326,753
19 * Pernas International Holdings Berhad 2,664,000 490,019 Petaling Garden Berhad 871,000 357,386 Petronas Dagangan Berhad 332,800 366,018 Phileo Allied Berhad 2,670,400 2,203,451 * Pilecon Engineering Berhad 210,000 3,575 PJ Development Holdings Berhad 1,043,900 104,250 PK Resources Berhad 25,000 3,423 PPB Group Berhad 3,187,333 6,033,555 * Premium Nutrients Berhad 513,100 24,962 * Prime Utilities Berhad 46,000 4,177 * Promet Berhad 140,000 0 Proton Holdings Berhad 1,305,500 2,436,930 Pulai Springs Berhad 159,800 62,222 RHB Capital Berhad 11,437,200 6,041,905 Road Builders (Malaysia) Holdings Berhad 2,368,700 1,650,230 Sapura Telecommunications Berhad 155,152 39,569 Sarawak Enterprise Corp. Berhad 4,271,000 1,404,825 Sarawak Oil Palms Berhad 93,000 51,842 SCB Developments Berhad 343,700 314,827 Scientex, Inc. Berhad 116,000 78,366 Selangor Dredging Berhad 619,000 58,529 Selangor Properties Berhad 1,498,300 792,019 Shangri-La Hotels (Malaysia) Berhad 706,000 232,233 Shell Refining Co. Federation of Malaysia Berhad 48,000 116,155 SHL Consolidated Berhad 943,700 429,553 * Silverstone Corp. Berhad 8,690 389 Sime Darby Berhad 355,980 543,401 * Sime Engineering Services Berhad 222,000 52,746 * South East Asia Lumber, Inc. Berhad 228,800 15,857 Southern Acids (Malaysia) Berhad 44,000 19,056 Southern Bank Berhad (Foreign) 1,854,950 1,512,650 Southern Steel Berhad 521,000 217,928 Store Corp. Berhad 124,630 78,793 Subur Tiasa Holdings Berhad 438,600 279,109 Sunrise Berhad 827,200 311,063 Sunway City Berhad 2,051,700 1,078,323 Sunway Holdings, Inc. Berhad 394,000 110,850 * Suria Capital Holdings Berhad 1,181,600 127,325 TA Enterprise Berhad 7,022,400 1,347,905 Talam Corp. Berhad 139,050 13,888 * Tamco Corp. Holdings Berhad 219,500 15,247 Tan Chong Motor Holdings Berhad 3,485,700 1,466,740 Tekala Corp. Berhad 337,700 94,047 * Time Dotcom Berhad 8,323,300 578,319 Tiong Nam Transport Holdings Berhad 171,500 40,172 Tradewinds (Malaysia) Berhad 782,900 538,035 * Trengganu Development & Management Berhad 534,400 105,099 Tronoh Mines Malaysia Berhad 508,500 361,325 UAC Berhad 49,800 62,419 UDA Holdings Berhad 875,200 340,121 * UEM World Berhad 5,673,800 917,093 UMW Holdings Berhad 3,008,943 3,956,167 Unico-Desa Plantations Berhad 2,705,000 316,915 * Union Paper Holdings Berhad 1,014,100 155,926
20 Uniphone Telecommunications Berhad 286,800 32,506 United Malacca Rubber Estates Berhad 310,800 279,594 United Plantations Berhad 821,200 1,079,130 * Utama Banking Group Berhad 955,000 122,823 VS Industry Berhad 285,500 84,856 Warisan TC Holdings Berhad 109,850 48,861 Worldwide Holdings Berhad 418,600 194,733 WTK Holdings Berhad 575,400 635,284 Yeo Hiap Seng (Malaysia) Berhad 296,100 150,066 YTL Corp. Berhad 2,986,700 4,124,289 Yu Neh Huat Berhad 748,600 254,058 --------------- TOTAL COMMON STOCKS (Cost $129,698,824) 126,145,284 --------------- PREFERRED STOCKS -- (0.0%) * Malayan United Industries Berhad A1 08/03/13 1,526,067 18,072 * Malayan United Industries Berhad A2 08/03/13 1,526,067 14,056 --------------- TOTAL PREFERRED STOCKS (Cost $8,641) 32,128 --------------- RIGHTS/WARRANTS -- (0.0%) * Ancom Berhad Rights 06/03/05 187,500 2,220 * Melewar Industrial Group Warrants 95,800 0 * Mieco Chipboard Berhad Warrants 04/21/09 76,000 13,400 --------------- TOTAL RIGHTS/WARRANTS (Cost $7,042) 15,620 --------------- TOTAL -- MALAYSIA (Cost $129,714,507) 126,193,032 --------------- TURKEY -- (6.3%) COMMON STOCKS -- (6.3%) Adana Cimento Sanayi Ticaret A.S. 259,762 160,814 Akbank T.A.S. 2,744,529 14,649,872 * Akenerji Elektrik Uretim A.S. 216,113 845,294 Aksa Akrilik Kimya Sanayii A.S. 148,490 1,307,341 Aksigorta A.S. 401,460 1,541,513 Alarko Carrier Sanayii ve Ticaret A.S. 40,047 267,262 * Alternatifbank A.S. 92,933 81,325 * Altinyildiz mensucat ve Konfeksiyon Fabrikalari A.S. 87,865 84,260 * Anadolu Anonim Turk Sigorta Sirketi 450,118 950,025 Anadolu Cam Sanayii A.S. 561,694 1,998,109 * Ayen Enerji A.S. 473,652 642,980 Bagfas Bandirma Gubre Fabrikalari A.S. 11,130 226,694 Bati Anabolu Cimento A.S. 255,022 687,263 Bolu Cimento Sanayii A.S. 485,644 610,285 Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 98,343 730,862 Bossa Ticaret ve Sanayi Isletmeleri Ticaret A.S. 360,180 420,079 Brisa Bridgestone Sabanci Lastik San ve Ticaret A.S. 9,261 478,008 Cimsa Cimento Sanayi Ve Ticaret A.S. 480,369 2,020,979
21 * Dardanel Onentas Gida Sanayii A.S. 16,183 10,066 * Dogan Sirketler Grubu Holding A.S. 3,007,361 6,912,309 Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,360 72,536 * Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S. 362,756 465,567 Eregli Demir ve Celik Fabrikalari Turk A.S. 1,995,394 8,011,778 * Finansbank A.S. 3,416,061 12,105,192 * Goldas Kuyumculuk Sanayi A.S. 327,200 213,790 Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 24,412 362,977 Gubre Fabrikalari Ticaret A.S. 29,241 50,529 Gunes Sigorta A.S. 309,093 346,202 Ihlas Holding A.S. 319,654 214,783 * Izmir Demir Celik Sanayii A.S. 230,946 477,639 Izocam Ticaret Ve Sanayi A.S. 27,299 86,148 Karton Sanayi ve Ticaret A.S. 1,000 89,164 Kordsa Sabanci Dupont Endustriyel Iplik Kord Bezi Sanayi ve Ticaret A.S. 414,951 684,845 * Kutahya Porselen Sanayii A.S. 7,076 109,684 Mardin Cimento Sanayii ve Ticaret 138,517 363,289 * Marshall Boya ve Vernik Sanayii A.S. 11,818 232,519 * Medya Holdings A.S. 33,508 169,443 * Menderes Tekstil Sanayi ve Ticaret A.S. 347,650 165,451 * Milpa Ticari ve Sinai Urunler Pazarlama Sanayi ve Ticaret A.S. 48,774 55,023 * Net Holding A.S. 369,294 105,389 * Net Turizm Ticaret ve Sanayi A.S. 184,178 107,599 Nortel Networks Netas Telekomuenikasyon A.S. 24,805 544,771 Otobus Karoseri Sanayi A.S. 98,162 323,279 Pinar Entegre et ve Un Sanayii A.S. 51,591 41,556 Pinar Sut Mamulleri Sanayii A.S. 58,424 68,514 * Raks Elektronik Sanayi ve Ticaret A.S. 5,859 3,359 * Sabah Yayincilik A.S. 31,938 88,944 Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 247,799 302,310 * Sasa Dupont Sabanci Polyester Sanayi A.S. 1,121,965 942,823 * Tat Konserve Sanayii A.S. 175,295 338,055 * Tekstil Bankasi A.S. 593,041 525,546 Tire Kutsan Oluklu Mukavva Kutu ve Kagit Sanayii A.S. 156,597 217,291 Tofas Turk Otomobil Fabrikasi A.S. 544,993 752,460 Trakya Cam Sanayii A.S. 1,227,824 3,905,356 Turk Demir Dokum Fabrikalari A.S. 166,949 739,018 * Turk Dis Ticaret Bankasi A.S. 1,984,958 6,287,335 Turk Pirelli Kablo ve Sistemleri A.S. 39,312 67,571 Turk Sise ve Cam Fabrikalari A.S. 2,182,218 5,237,741 * Turkiye Garanti Bankasi A.S. 2,762,007 10,424,036 Turkiye Is Bankasi A.S. 1,860,440 10,048,589 Ulker Gida Sanayi ve Ticaret A.S. 124,461 356,637 * Unye Cimento Sanayi ve Ticaret A.S. 20,978 24,726 USAS Ucak Servisi A.S. 20,520 67,460 * Vestel Elektronik Sanayi ve Ticaret A.S. 223,134 775,118 * Yapi ve Kredi Bankasi A.S. 1,405,653 5,341,851 * Yatas Yatak ve Yorgan Sanayi ve Ticaret A.S. 18,345 12,989 --------------- TOTAL -- TURKEY (Cost $31,903,220) 106,552,222 ---------------
22
SHARES VALUE + --------------- --------------- ISRAEL -- (5.1%) COMMON STOCKS -- (5.1%) * Afcon Industries, Ltd. 2,102 7,656 American Israeli Paper Mills, Ltd. 17,596 812,835 * Ashtrom Properties, Ltd. 171,400 77,137 Azorim Investment Development & Construction Co., Ltd. 299,403 2,919,943 Bank Hapoalim, Ltd. 4,239,985 14,885,225 Bank Leumi Le-Israel 5,434,353 15,376,651 Bank of Jerusalem, Ltd. 71,150 81,138 * Baran Group, Ltd. 94,200 950,394 Blue Square Chain Stores Properties & Investments, Ltd. 33,400 307,176 CLAL Industries, Ltd. 773,796 3,563,712 Delta Galil Industries, Ltd. 95,091 793,378 * Discount Mortgage Bank, Ltd. 3,611 394,288 Elbit Medical Imaging, Ltd. 168,210 3,237,612 Electra Consumer Products 23,400 198,821 * Electrochemical Industries (1952), Ltd. 48,800 0 * Elron Electronic Industries, Ltd. 202,296 2,909,915 * Feuchtwanger Investments 1984, Ltd. 10,500 5,964 * First International Bank of Israel, Ltd. Par Value $0.01 434,800 673,601 * First International Bank of Israel, Ltd. Par Value $0.05 294,660 2,116,218 Formula Systems (1985), Ltd. 93,700 1,358,244 * Formula Vision Technologies, Ltd. 1,953 1,886 Global Trade Centre Real Estate NV 3,052 6,667 * Granite Hacarmel Investments, Ltd. 142,500 199,110 IDB Development Corp., Ltd. Series A 87,522 2,687,039 Industrial Building Corp., Ltd. 557,683 654,074 Israel Cold Storage & Supply Co., Ltd. 7,000 29,807 Israel Corp. Series A 4,000 1,144,205 * Israel Land Development Co., Ltd. 234,969 1,027,675 Israel Petrochemical Enterprises, Ltd. 253,817 2,207,041 * Israel Steel Mills, Ltd. 97,000 857 * Kardan Real Estate, Ltd. 3,052 4,115 Knafaim-Arkia Holdings, Ltd. 117,857 1,335,476 * Koor Industries, Ltd. 125,769 8,185,325 * Leader Holding & Investments, Ltd. 166,882 318,219 * Liberty Properties, Ltd. 3,457 25,356 M.A.Industries, Ltd. 227,355 1,375,440 Mehadrin, Ltd. 24,063 442,202 Merhav-Ceramic & Building Materials Center, Ltd. 36,232 68,541 * Middle East Tube Co. 46,200 54,420 Miloumor, Ltd. 50,403 171,222 Minrav Holdings, Ltd. 2,000 74,228 * Nice Systems, Ltd. 50,930 1,868,109 * OCIF Investments and Development, Ltd. 7,956 149,249 Otzar Hashilton Hamekomi, Ltd. 1,050 87,585 Packer Plada, Ltd. 4,006 196,299 Polgat Industries, Ltd. Series A 87,600 59,821 Property and Building Corp., Ltd. 7,261 657,682 Scitex Corp., Ltd. 365,565 2,480,646 * Shrem Fudim Kelner & Co., Ltd. 28,100 97,972 Super-Sol, Ltd. Series B 688,337 1,856,287 * Team Computer & Systems, Ltd. 7,900 89,994
23 * Union Bank of Israel, Ltd. 373,011 1,362,399 * United Mizrahi Bank, Ltd. 1,233,305 5,842,867 * Urdan Industries, Ltd. 183,950 97,410 * Ytong Industries, Ltd. 174,250 163,385 --------------- TOTAL COMMON STOCKS (Cost $54,248,755) 85,692,518 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Israel Shekel 145 --------------- (Cost $132) RIGHTS/WARRANTS -- (0.0%) * GTC Warrants 91 0 --------------- (Cost $0) TOTAL -- ISRAEL (Cost $54,248,887) 85,692,663 --------------- INDONESIA -- (4.8%) COMMON STOCKS -- (4.8%) * PT Apac Centretex Corporation Tbk 774,000 14,667 PT Asahimas Flat Glass Tbk 5,333,500 1,483,723 PT Astra Agro Lestari Tbk 12,738,500 4,879,540 PT Astra Graphia Tbk 18,779,000 679,407 PT Bank Central Asia Tbk 2,554,000 929,641 PT Bank NISP Tbk 44,791,078 4,405,817 PT Bank Pan Indonesia Tbk 113,482,661 5,348,802 PT Berlian Laju Tanker Tbk 54,456,800 5,372,640 PT Bhakti Investama Tbk 31,933,500 786,579 * PT Branta Mulia Tbk 180,000 18,912 * PT Budi Acid Jaya Tbk 6,410,000 77,175 * PT Charoen Pokphand Indonesia Tbk 13,979,000 630,974 * PT Clipan Finance Indonesia Tbk 12,461,000 450,036 * PT Davomas Adabi Tbk 71,017,500 1,084,545 PT Dynaplast Tbk 3,040,000 470,127 * PT Ever Shine Textile Tbk 19,347,215 152,452 * PT Great River International Tbk 1,788,000 86,413 * PT Hero Supermarket Tbk 220,000 73,003 PT Indorama Synthetics Tbk 7,901,320 497,191 PT International Nickel Indonesia Tbk 7,522,000 10,980,061 * PT Jaya Real Property Tbk 5,189,500 1,303,609 * PT Karwell Indonesia Tbk 1,466,500 63,171 * PT Kawasan Industry Jababeka Tbk 534,000 6,989 PT Komatsu Indonesia Tbk 6,049,000 2,515,322 PT Lautan Luas Tbk 7,721,000 511,111 PT Matahari Putra Prima Tbk 12,852,500 767,694 PT Mayorah Indah Tbk 8,497,572 1,068,354 PT Medco Energi International Tbk 31,249,000 10,335,525 * PT Metrodata Electronics Tbk 18,582,000 174,741 * PT Modern Photo Tbk 1,266,500 77,030 * PT Mutlipolar Corporation Tbk 3,195,000 53,502 * PT Panasia Indosyntec Tbk 403,200 21,181
24 * PT Panin Insurance Tbk 27,086,000 866,233 PT Rig Tenders Indonesia Tbk 2,760,000 259,608 PT Selamat Semp Tbk 10,624,000 333,119 PT Semen Gresik Tbk 8,421,591 14,220,477 * PT Sinar Mas Agro Resources and Technology Tbk 1,688,580 749,554 PT Summarecon Agung Tbk 2,250,000 226,023 * PT Sunson Textile Manufacturer Tbk 6,012,000 192,708 * PT Suparma Tbk 3,995,345 111,482 * PT Surya Dumai Industri Tbk 5,145,000 194,600 PT Surya Toto Indonesia Tbk 46,400 29,250 PT Tempo Scan Pacific Tbk 6,466,000 4,738,319 * PT Tigaraksa Satria Tbk 68,400 26,590 PT Timah Tbk 5,855,000 1,411,102 PT Trias Sentosa Tbk 29,527,200 574,407 PT Trimegah Sec Tbk 34,298,000 521,995 PT Tunas Ridean Tbk 10,810,000 940,863 * PT Ultrajaya Milk Industry & Trading Co. Tbk 13,717,500 432,252 PT Unggul Indah Corp. Tbk 371,435 117,073 --------------- TOTAL COMMON STOCKS (Cost $37,309,655) 81,265,589 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Indonesia Rupiah 999 --------------- (Cost $1,132) TOTAL -- INDONESIA (Cost $37,310,787) 81,266,588 --------------- THAILAND -- (3.8%) COMMON STOCKS -- (3.8%) * Adkinson Securities Public Co., Ltd. (Foreign) 1,753,500 284,841 * Advance Agro Public Co., Ltd. (Foreign) 1,859,030 1,047,792 Amarin Plaza Public Co., Ltd. (Foreign) 1,130,300 52,579 Bangkok Bank Public Co., Ltd. (Foreign) 229,700 655,801 Bangkok Expressway Public Co., Ltd. (Foreign) 4,762,500 3,076,929 Bangkok Insurance Public Co., Ltd. (Foreign) 60,600 337,081 * Bangkok Land Public Co., Ltd. (Foreign) 25,356,703 299,562 * Bank of Ayudhya Public Co., Ltd. (Foreign) 13,791,900 4,311,030 Banpu Public Co., Ltd. (Foreign) 1,199,400 4,457,529 Big C Supercenter Public Co., Ltd. (Foreign) 1,274,800 699,681 Cal-Comp Electronics (Thailand) Public Co., Ltd. (Foreign) 6,655,000 566,731 Capital Nomura Securities Public Co., Ltd. (Foreign) 370,100 473,670 Central Plaza Hotel Public Co., Ltd. (Foreign) 723,000 409,279 Charoen Pokphand Foods Public Co., Ltd. (Foreign) 19,181,540 2,020,600 Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 1,986,600 748,092 Eastern Water Resources Development & Management Public Co., Ltd. (Foreign) 8,590,800 790,785 Finansa Public Co., Ltd. (Foreign) 47,700 22,776 * Golden Land Property Development Public Co., Ltd. (Foreign) 232,500 37,195 Hana Microelectronics Public Co., Ltd. (Foreign) 935,000 446,444 Hermraj Land & Development Public Co., Ltd. (Foreign) 8,293,700 185,756 ICC International Public Co., Ltd. (Foreign) 2,755,000 2,788,565
25 * Jasmine International Public Co., Ltd. (Foreign) 13,034,800 166,825 Kang Yong Electric Public Co., Ltd. (Foreign) 236,200 386,594 Kasikornbank Public Co., Ltd. (Foreign) 1,530,000 2,240,586 KCE Electronics Public Co., Ltd. (Foreign) 120,000 12,582 KGI Securities One Public Co., Ltd. (Foreign) 3,648,400 228,081 Krung Thai Bank Public Co., Ltd. (Foreign) 15,705,600 3,556,277 Krungthai Card Public Co., Ltd. (Foreign) 423,700 240,893 Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 545,800 617,937 Loxley Public Co., Ltd. (Foreign) 3,341,100 226,961 MBK Development Public Co., Ltd. (Foreign) 226,700 270,612 * Millennium Steel Public Co., Ltd. (Foreign) 6,139,300 246,297 Modernform Group Public Co., Ltd. (Foreign) 46,000 40,192 Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 134,300 733,808 * Nakornthai Strip Mill Public Co., Ltd. (Foreign) 18,337,100 586,715 National Finance and Securities Public Co., Ltd. (Foreign) 9,023,000 2,998,043 National Petrochemical Public Co., Ltd. (Foreign) 2,010,600 5,987,758 * Natural Park Public Co., Ltd. (Foreign) 2,593,500 62,556 * Pacific Assets Public Co., Ltd. (Foreign) 380,000 43,584 Padaeng Industry Public Co., Ltd. (Foreign) 1,600,800 504,313 Quality Houses Public Co., Ltd. (Foreign) 12,468,500 368,255 Regional Container Lines Public Co., Ltd. (Foreign) 6,950,000 5,302,732 Rojana Industrial Park Public Co., Ltd. (Foreign) 222,600 38,625 Saha Pathana Inter-Holding Public Co., Ltd. (Foreign) 3,316,000 1,428,255 Saha Pathanapibul Public Co., Ltd. (Foreign) 1,367,000 471,031 Saha-Union Public Co., Ltd. (Foreign) 3,025,300 1,169,018 Sansiri Public Co., Ltd. (Foreign) 1,055,400 78,447 * Shinawatra Satellite Public Co., Ltd. (Foreign) 939,100 388,306 Siam Commercial Bank Public Co., Ltd. (Foreign) 3,474,600 4,083,489 Siam Food Products Public Co., Ltd. (Foreign) 97,100 114,713 Siam Industrial Credit Public Co., Ltd. (Foreign) 4,055,050 583,855 Siam Makro Public Co., Ltd. (Foreign) 331,200 509,476 Sri Trang Agro Industry Public Co., Ltd. (Foreign) 119,700 56,565 * Standard Chartered Nakornthon Bank Public Co., Ltd. (Foreign) 839 454 Supalai Public Co., Ltd. (Foreign) 456,500 27,190 Thai Plastic & Chemicals Public Co., Ltd. (Foreign) 290,000 111,346 Thai Rayon Public Co., Ltd. (Foreign) 16,500 146,197 Thai Rung Union Car Public Co., Ltd. (Foreign) 5,386,250 914,721 Thai Wacoal Public Co., Ltd. (Foreign) 93,300 74,631 * Tipco Asphalt Public Co., Ltd. (Foreign) 43,600 22,213 * TPI Polene Public Co., Ltd. (Foreign) 4,168,162 2,641,648 * Tuntex (Thailand) Public Co., Ltd. (Foreign) 1,987,600 93,925 Tycoons Worldwide Group Public Co., Ltd. (Foreign) 1,243,300 312,126 * United Communication Industry Public Co., Ltd. (Foreign) 864,400 941,415 Vinythai Public Co., Ltd. (Foreign) 2,702,417 678,431 --------------- TOTAL COMMON STOCKS (Cost $39,493,571) 63,420,396 --------------- RIGHTS/WARRANTS -- (0.0%) * Bangkok Land Public Co., Ltd. (Foreign) Warrants 2006 3,987,330 0 * Modernform Group Public Co., Ltd. (Foreign) Warrants 11/30/07 4,600 389 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 389 --------------- TOTAL -- THAILAND (Cost $39,493,571) 63,420,785 ---------------
26 CZECH REPUBLIC -- (3.4%) COMMON STOCKS -- (3.4%) Cesky Telecom A.S. 535,201 10,020,432 CEZ A.S. 2,744,208 46,529,555 --------------- TOTAL -- CZECH REPUBLIC (Cost $49,958,001) 56,549,987 --------------- POLAND -- (3.3%) COMMON STOCKS -- (3.3%) * Amica Wronki SA 174,355 1,613,850 * Bank Ochrony Srodowiska SA 4,447 65,007 Bank Przemyslowo Handlowy BPH 9,050 1,371,186 Bank Zackodni WBK SA 31,975 871,593 Big Bank Gdanski SA 6,347,135 5,863,786 * Budimex SA 124,553 1,820,779 Debica SA 69,146 1,695,816 * Echo Investment SA 24,869 648,663 Elektrobudowa SA 31,748 219,405 * Fabryki Mebli Forte SA 36,826 117,680 * Huta Ferrum SA 4,233 11,142 * Impexmetal SA 241,068 2,905,734 * Lentex SA 139,083 610,630 * Mostostal Export SA 654,595 204,212 * Mostostal Warszawa SA 183,300 332,934 * Mostostal Zabrze Holding SA 140,376 29,909 Netia Holdings SA 2,929,680 3,299,490 Orbis SA 668,253 4,509,090 Polifarb Cieszyn Wroclaw SA 929,467 1,874,763 Polski Koncern Naftowy Orlen SA 1,699,007 23,039,907 * Prokom Software SA 34,197 967,611 Przedsiebiorstwo Farmaceutyczne JELFA SA 139,333 2,402,578 * Raciborska Fabryka Kotlow SA 291,972 1,036,405 * Stalexport SA 422,172 222,749 * Ster-Projekt SA 189,938 424,423 --------------- TOTAL -- POLAND (Cost $52,569,461) 56,159,342 --------------- CHILE -- (2.3%) COMMON STOCKS -- (2.3%) Banco de Credito e Inversiones SA Series A 54,733 1,115,756 Banmedica SA 347,000 255,606 CAP SA (Compania de Aceros del Pacifico) 199,310 2,210,762 Cementos Bio-Bio SA 62,327 138,267
27 Cervecerias Unidas SA 143,000 667,562 Consumidores de Gas de Santiago SA 103,000 485,225 COPEC (Cia de Petroleos de Chile) 947,488 7,677,290 Cristalerias de Chile SA 14,500 134,133 CTI SA (Cia Tecno Industrial) 4,900,000 105,261 Empresa Nacional de Electricidad SA 2,694,503 2,067,901 Empresa Nacional de Telecomunicaciones SA 86,880 840,150 Empresas CMPC SA 286,547 6,234,085 * Empresas Iansa SA 4,994,997 239,589 Enersis SA 11,659,592 2,148,161 Industrias Forestales Inforsa SA 2,387,597 511,672 * Inversiones Frimetal SA 4,900,000 0 * Madeco Manufacturera de Cobre SA 1,450,969 131,240 Maderas y Sinteticos SA 1,414,095 782,421 Minera Valparaiso SA 7,500 110,492 Parque Arauco SA 543,207 316,386 Sociedad Industrial Pizarreno SA 63,000 118,068 Sociedad Quimica y Minera de Chile SA Series A 43,364 404,929 Sociedad Quimica y Minera de Chile SA Series B 945,090 8,127,207 Soquimic Comercial SA 150,000 53,447 Sud Americana de Vapores SA 410,000 895,503 Telecomunicaciones de Chile SA Series A 477,600 1,178,148 Telecomunicaciones de Chile SA Series B 372,166 908,499 Vina de Concha y Toro SA 350,000 524,026 Vina San Pedro SA 4,500,000 49,722 Vina Sta Carolina SA Series A 163,489 103,653 --------------- TOTAL COMMON STOCKS (Cost $19,472,515) 38,535,161 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Chilean Pesos 825,466 --------------- (Cost $833,933) TOTAL -- CHILE (Cost $20,306,448) 39,360,627 --------------- ARGENTINA -- (2.0%) COMMON STOCKS -- (2.0%) Acindar Industria Argentina de Aceros SA Series B 2,261,067 4,726,149 * Alpargatas SA Industrial y Comercial 6,363 7,657 Banco del Sud Sociedad Anonima Series B 310,563 414,676 * Banco Frances del Rio de la Plata SA 353,379 785,245 * Banco Suquia SA 327,868 53,507 * Capex SA Series A 131,575 249,428 Celulosa Argentina SA Series B 10,843 12,798 * Central Costanera SA Series B 261,000 292,566 * Central Puerto SA Series B 161,000 91,297 Cresud SA Comercial Industrial Financiera y Agropecuaria 535,252 663,515 DYCASA SA (Dragados y Construcciones Argentina) Series B 55,000 58,479 * Garovaglio y Zorraquin SA 65,800 11,281 * Grupo Financiero Galicia SA Series B 2,067,935 1,704,439 * IRSA Inversiones y Representaciones SA 1,257,197 1,500,433
28 * Juan Minetti SA 806,693 885,640 Ledesma S.A.A.I. 885,405 519,597 * Metrogas SA Series B 176,000 78,334 * Molinos Rio de la Plata SA Series B 541,214 829,711 * Polledo SA Industrial y Constructora y Financiera 50,000 11,045 * Renault Argentina SA 2,501,957 680,516 Siderar S.A.I.C. Series A 645,512 4,724,567 * Sol Petroleo SA 173,000 45,002 Solvay Indupa S.A.I.C. 1,334,322 1,803,637 * Telecom Argentina Stet-France SA Series B 476,600 1,104,623 Tenaris SA 1,660,259 10,947,388 * Transportadora de Gas del Sur SA Series B 660,500 783,935 --------------- TOTAL COMMON STOCKS (Cost $19,009,344) 32,985,465 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Argentine Peso 471,019 --------------- (Cost $464,426) TOTAL -- ARGENTINA (Cost $19,473,770) 33,456,484 --------------- HUNGARY -- (1.9%) COMMON STOCKS -- (1.9%) * Danubius Hotel & Spa RT 172,246 3,880,595 Egis RT 80,537 6,922,410 * Fotex First Hungarian-American Photo Service Co. 2,356,737 2,847,869 * Globus Konzervipari RT 349,690 642,730 * Magyar Olay-Es Gazipari RT 85,309 6,337,524 * Mezogazdasagi Gepgyarto Reszvenytarsasag (Mezogep) 100,770 623,336 * North American Business Industries RT 121,832 150,221 * Pannonplast P.L.C. 138,882 1,007,553 * Raba Hungarian Railway Carriage & Machine Works 482,083 1,542,686 * Synergon Information Systems Ltd., Budapest 247,161 574,863 * Tiszai Vegyi Kombinat RT 253,242 7,124,115 --------------- TOTAL -- HUNGARY (Cost $22,009,258) 31,653,902 --------------- PHILIPPINES -- (1.7%) COMMON STOCKS -- (1.7%) Aboitiz Equity Ventures, Inc. 5,782,000 522,478 Alaska Milk Corp. 7,953,000 467,737 * Alsons Consolidated Resources, Inc. 16,904,000 139,699 Bacnotan Consolidated Industries, Inc. 1,696,970 357,682 * Belle Corp. 30,800,000 662,645 * Cebu Holdings, Inc. 7,763,250 132,430 * Digital Telecommunications (Philippines), Inc. 131,630,000 2,649,493 Equitable PCI Bank, Inc. 2,841,900 2,704,664 * Fil-Estate Land, Inc. 3,196,340 32,584
29 * Filinvest Development Corp. 5,283,500 119,874 * Filinvest Land, Inc. 151,904,100 3,949,168 * Filipina Water Bottling Corp. 5,471,786 0 * First E-Bank Corp. 409,000 6,236 Keppel Philippines Marine, Inc. 9,725,165 107,080 * Kuok Philippine Properties, Inc. 4,300,000 15,762 * Megaworld Properties & Holdings, Inc. 179,870,000 4,538,174 Metro Bank and Trust Co. 349,020 188,121 * Mondragon International Philippines, Inc. 2,464,000 5,645 Petron Corp. 15,160,000 914,937 * Philippine National Bank 3,619,900 2,318,452 * Philippine National Construction Corp. 398,900 24,675 * Philippine Realty & Holdings Corp. 20,930,000 69,051 Philippine Savings Bank 1,095,390 662,534 * Prime Orion Philippines, Inc. 14,400,000 59,384 * RFM Corp. 2,488,200 36,484 Robinson's Land Corp. Series B 16,019,000 1,421,571 Security Bank Corp. 2,713,200 1,456,174 SM Development Corp. 21,996,400 628,640 * Solid Group, Inc. 19,668,000 176,903 Soriano (A.) Corp. 20,195,000 735,218 Union Bank of the Philippines 547,400 285,632 Universal Robina Corp. 16,140,300 3,856,760 * Urban Bank, Inc. 14,950 171 --------------- TOTAL -- PHILIPPINES (Cost $28,352,717) 29,246,058 --------------- INDIA -- (1.0%) COMMON STOCKS -- (1.0%) * Adani Exports, Ltd. 257,879 375,437 * Alok Industries, Ltd. 150,255 231,089 * Apollo Tyres, Ltd. 35,681 226,298 * Arvind Mills, Ltd. 223,393 724,231 * Aurobindo Pharmaceuticals, Ltd. 58,049 389,885 * Ballarpur Industries, Ltd. 185,719 509,580 * BASF India, Ltd. 16,868 79,279 * Chambal Fertilizers & Chemicals, Ltd. 464,217 338,029 * Deepak Fertilizers & Petrochemicals Corp., Ltd. 96,707 146,866 * Dr. Reddy's Laboratories, Ltd. 104,746 1,727,839 * E.I.D. - Parry (India), Ltd. 53,405 149,107 * Electrosteel Casings, Ltd. 9,689 94,414 * Essel Propack, Ltd. 15,830 116,939 * Federal Bank, Ltd. 75,231 285,027 * Finolex Cables, Ltd. 21,901 112,661 * Finolex Industries, Ltd. 74,213 131,989 * Great Eastern Shipping Co., Ltd. 268,708 958,785 * GTL, Ltd. 86,203 197,065 * Gujarat Alkalies & Chemicals, Ltd. 43,945 133,900 * Gujarat State Fertilisers & Chemicals, Ltd. 91,254 243,840 * Himachal Futuristic Communications, Ltd. 556,774 239,626 * India Cements, Ltd. 141,720 242,958
30 * Indian Hotels Co., Ltd. 34,848 531,952 Indian Petrochemicals Corp., Ltd. 211,545 788,682 * Indian Rayon & Industries, Ltd. 15,834 161,045 * IndusInd Bank, Ltd. 173,729 243,872 * Industrial Development Bank of India, Ltd. 329,966 704,232 * Ingersoll-Rand (India), Ltd. 15,956 96,577 * Ispat Industries, Ltd. 791,903 374,379 * J.B. Chemicals & Pharmaceuticals, Ltd. 48,049 97,512 Jammu & Kashmir Bank, Ltd. 29,022 222,917 * Jindal Stainless, Ltd. 125,668 284,734 * LIC Housing Finance, Ltd. 50,824 277,793 * Mahavir Spinning Mills, Ltd. 15,408 131,452 * Mahindra & Mahindra, Ltd. 109,940 1,284,307 * Moser Baer (India), Ltd. 94,953 464,712 * MRF, Ltd. 2,143 121,315 * Nagarjuna Fertilizers & Chemicals, Ltd. 247,572 80,515 * NIIT, Ltd. 19,941 88,775 * Nirma, Ltd. 16,550 148,829 * Orchid Chemicals & Phamaceuticals, Ltd. 37,024 271,410 * Pentamedia Graphics, Ltd. 383,284 68,705 * Polaris Software Lab, Ltd. 58,650 135,481 * Punjab Tractors, Ltd. 38,385 167,588 Raymond, Ltd. 45,243 354,032 * SRF, Ltd. 78,441 242,425 * Tata Chemicals, Ltd. 170,715 695,492 * Tata Tea, Ltd. 44,990 589,781 * Tube Investments of India, Ltd. 19,300 136,466 * Videsh Sanchar Nigam, Ltd. 120,042 570,474 --------------- TOTAL -- INDIA (Cost $16,797,895) 16,990,298 --------------- UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * TTI Team Telecom International, Ltd. 16,590 38,323 --------------- TOTAL -- UNITED STATES (Cost $34,900) 38,323 --------------- EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Euro Currency 414 --------------- TOTAL -- EMU (Cost $284) 414 ---------------
31
FACE AMOUNT VALUE + --------------- --------------- (000) TEMPORARY CASH INVESTMENTS -- (0.0%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $878,000 FNMA Notes 2.95%, 11/14/07, valued at $876,903) to be repurchased at $863,069 $ 863 863,000 --------------- TOTAL TEMPORARY CASH INVESTMENTS 863,000 (Cost $863,000) --------------- TOTAL INVESTMENTS - (100.0%) (Cost $1,208,588,829) $ 1,686,657,735 ---------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 32 DIMENSIONAL EMERGING MARKETS VALUE FUND INC. STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investments at Value $ 1,686,658 Cash 15 Receivables: Investment Securities Sold 617 Dividends and Interest 9,845 Fund Shares Sold 104 Prepaid Expenses and Other Assets 7 ------------ Total Assets 1,697,246 ------------ LIABILITIES: Payables: Investment Securities Purchased 114 Fund Shares Redeemed 2,629 Due to Advisor 140 Deferred Thailand Capital Gains Tax 4,312 Deferred Chilean Repatriation Tax 237 Accrued Expenses and Other Liabilities 316 ------------ Total Liabilities 7,748 ------------ NET ASSETS $ 1,689,498 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (Unlimited Number of Shares Authorized) 58,811,655 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 28.73 ============ Investments at Cost $ 1,208,589 ============
See accompanying Notes to Financial Statements. 118 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $2,760) $ 31,477 Interest 198 ------------ Total Investment Income 31,675 ------------ EXPENSES Investment Advisory Services 761 Accounting & Transfer Agent Fees 434 Custodian Fees 919 Legal Fees 15 Audit Fees 11 Shareholders' Reports 49 Directors' Fees and Expenses 5 Other 37 ------------ Total Expenses 2,231 ------------ NET INVESTMENT INCOME (LOSS) 29,444 ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 7,388 Net Realized Gain (Loss) on Foreign Currency Transactions (1,918) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 42,126 Translation of Foreign Currency Denominated Amounts 84 Deferred Thailand Capital Gains Tax 56 ------------ NET GAIN (LOSS) 47,736 ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 77,180 ============
See accompanying Notes to Financial Statements. 119 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------ ------------ (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 29,444 $ 19,845 Net Realized Gain (Loss) on Investment Securities Sold 7,388 26,764 Net Realized Gain (Loss) on Foreign Currency Transactions (1,918) (1,330) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 42,126 294,842 Translation of Foreign Currency Denominated Amounts 84 36 Deferred Thailand Capital Gains Tax 56 1,032 ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 77,180 341,189 ------------ ------------ Distributions From: Net Investment Income (10,321) (15,246) Net Short-Term Gains (1,386) -- Net Long-Term Gains (24,479) (6,727) ------------ ------------ Total Distributions (36,186) (21,973) ------------ ------------ Capital Share Transactions (1): Shares Issued 468,527 283,404 Shares Issued in Lieu of Cash Distributions 32,560 19,331 Shares Redeemed (25,533) (66,724) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 475,554 236,011 ------------ ------------ Total Increase (Decrease) 516,548 555,227 NET ASSETS Beginning of Period 1,172,950 617,723 ------------ ------------ End of Period $ 1,689,498 $ 1,172,950 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 15,977 12,545 Shares Issued in Lieu of Cash Distributions 1,169 905 Shares Redeemed (875) (3,000) ------------ ------------ 16,271 10,450 ============ ============
See accompanying Notes to Financial Statements. 120 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 27.57 $ 19.25 $ 12.81 $ 12.28 $ 14.14 $ 20.88 ------------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.51 0.52 0.33 0.23 0.38 0.19 Net Gains (Losses) on Securities (Realized and Unrealized) 1.48 8.42 6.45 0.83 (0.92) (5.75) ------------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations 1.99 8.94 6.78 1.06 (0.54) (5.56) - ---------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.23) (0.41) (0.34) (0.32) (0.33) (0.16) Net Realized Gains (0.60) (0.21) -- (0.21) (0.99) (1.02) ------------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.83) (0.62) (0.34) (0.53) (1.32) (1.18) - ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 28.73 $ 27.57 $ 19.25 $ 12.81 $ 12.28 $ 14.14 ============================================================================================================================ Total Return 7.29%# 47.38% 53.30% 8.79% (4.34)% (28.02)% - ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,689,498 $ 1,172,950 $ 617,723 $ 345,597 $ 279,096 $ 295,276 Ratio of Expenses to Average Net Assets 0.29%* 0.34% 0.42% 0.40% 0.52% 0.54% Ratio of Net Investment Income to Average Net Assets 3.88%* 2.33% 2.39% 1.67% 3.16% 1.46% Portfolio Turnover Rate 1%# 8% 10% 15% 19% 19%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 121 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. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. 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 most recent 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 quoted 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. 2. FOREIGN CURRENCY TRANSLATION: 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. 122 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. 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, 2005, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $23,156. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 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. Such taxes are due when currencies are repatriated from the country. The Fund accrues for taxes on income as income is earned. 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, 2005, 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, 2005, the Fund made the following purchases and sales of investment securities other than short-term securities (amounts in thousands): Purchases $ 478,127 Sales 16,260
There were no purchases or sales of U.S. Government Securities during the six months ended May 31, 2005. 123 E. FEDERAL INCOME TAXES: The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM GAINS CAPITAL GAIN TOTAL ------------- ------------ --------- 2004 $ 15,246 $ 6,727 $ 21,973 2003 10,213 -- 10,213
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED EARNINGS NET INVESTMENT NET REALIZED (ACCUMULATED INCOME CAPITAL GAINS LOSSES) -------------- ------------- ------------- $ 5,282 $ 24,032 $ 29,314
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, 2004, the Fund had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies, of $1,967,765 and $2,725,434 , respectively, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income. At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ----------- ------------ ------------ -------------- $ 1,209,474 $ 544,700 $ (67,516) $ 477,184
F. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
UNREALIZED APPRECIATION ACCUMULATED ACCUMULATED (DEPRECIATION) UNREALIZED ACCUMULATED NET REALIZED NET REALIZED DEFERRED OF INVESTMENT NET NET GAIN (LOSS) FOREIGN THAILAND SECURITIES FOREIGN PAID-IN INVESTMENT OF INVESTMENT EXCHANGE CAPITAL AND FOREIGN EXCHANGE TOTAL CAPITAL INCOME (LOSS) SECURITIES GAIN (LOSS) GAINS TAX CURRENCY GAIN (LOSS) NET ASSETS ------------ ------------- ------------- ------------ --------- -------------- ----------- ------------ $ 1,192,574 $ 21,018 $ 3,961 $ (1,918) $ (4,312) $ 478,069 $ 106 $ 1,689,498
124 G. 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 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 31, 2005. 2. 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. H. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. 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, 2005. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings by the Fund under the line of credit during the six months ended May 31, 2005. I. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 125 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Fund and the Trust uses in voting proxies relating to securities held in the portfolio is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dfaus.com and reflects the twelve-month period beginning July 1 and ending June 30. 126 Dimensional Investment Group Inc. U.S. Large Cap Value Portfolio II SEMI-ANNUAL REPORT Six Months Ended May 31, 2005 (Unaudited) DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE CAP VALUE PORTFOLIO II SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS DIMENSIONAL INVESTMENT GROUP INC. Disclosure of Fund Expenses 1 Disclosure of Portfolio Holdings 2 Statement of Assets and Liabilities 3 Statement of Operations 4 Statements of Changes in Net Assets 5 Financial Highlights 6 Notes to Financial Statements 7 THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE CAP VALUE SERIES Disclosure of Fund Expenses 10 Disclosure of Portfolio Holdings 11 Schedule of Investments 12 Statement of Assets and Liabilities 15 Statement of Operations 16 Statements of Changes in Net Assets 17 Financial Highlights 18 Notes to Financial Statements 19 VOTING PROXIES ON FUND PORTFOLIO SECURITIES 22 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 23
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE CAP VALUE PORTFOLIO II DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ------------ ------------ ------------ ------------ Actual Fund Return $ 1,000.00 $ 1,049.40 0.18% $ 0.92 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.10 0.18% $ 0.91
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 1 DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE CAP VALUE PORTFOLIO II DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The Dimensional Investment Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Investment Companies 100.0% ----- 100.0% =====
2 DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE CAP VALUE PORTFOLIO II STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company (13,669,002 Shares, Cost $215,963) at Value+ $ 264,222 Receivable for Fund Shares Sold 352 Prepaid Expenses and Other Assets 9 ------------ Total Assets 264,583 ------------ LIABILITIES: Payables: Investment Securities Purchased 352 Due to Advisor 2 Accrued Expenses and Other Liabilities 16 ------------ Total Liabilities 370 ------------ NET ASSETS $ 264,213 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (Authorized 200,000,000 Shares) 13,973,359 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 18.91 ============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 3 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company $ 1,364 ------------ EXPENSES Administrative Services 12 Accounting & Transfer Agent Fees 2 Legal Fees 3 Audit Fees 1 Filing Fees 12 Shareholders' Reports 11 Directors' Fees and Expenses 1 ------------ Total Expenses 42 ------------ NET INVESTMENT INCOME (LOSS) 1,322 ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from The DFA Investment Trust Company 203 Net Realized Gain (Loss) on Investment Securities Sold (105) Change in Unrealized Appreciation (Depreciation) of Investment Securities 9,386 ------------ NET GAIN (LOSS) 9,484 ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 10,806 ============
See accompanying Notes to Financial Statements. 4 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------ ------------ (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 1,322 $ 1,492 Capital Gain Distributions Received from The DFA Investment Trust Company 203 -- Net Realized Gain (Loss) on Investment Securities Sold (105) (304) Change in Unrealized Appreciation (Depreciation) of Investment Securities 9,386 27,368 ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 10,806 28,556 ------------ ------------ Distributions From: Net Investment Income (1,316) (2,528) ------------ ------------ Total Distributions (1,316) (2,528) ------------ ------------ Capital Share Transactions (1): Shares Issued 61,341 78,379 Shares Issued in Lieu of Cash Distributions 1,316 2,528 Shares Redeemed (3,909) (14,381) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 58,748 66,526 ------------ ------------ Total Increase (Decrease) 68,238 92,554 NET ASSETS Beginning of Period 195,975 103,421 ------------ ------------ End of Period $ 264,213 $ 195,975 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 3,301 4,719 Shares Issued in Lieu of Cash Distributions 71 156 Shares Redeemed (211) (870) ------------ ------------ 3,161 4,005 ============ ============
See accompanying Notes to Financial Statements. 5 DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE CAP VALUE PORTFOLIO II 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, 2005 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 18.13 $ 15.19 $ 12.82 $ 15.05 $ 16.66 $ 19.15 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.11 0.16 0.18 0.18 0.23 0.32 Net Gains (Losses) on Securities (Realized and Unrealized) 0.78 3.09 2.38 (1.42) 1.31 0.07 ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations 0.89 3.25 2.56 (1.24) 1.54 0.39 - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.11) (0.31) (0.19) (0.21) (0.32) (0.34) Net Realized Gains -- -- -- (0.78) (2.83) (2.54) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.11) (0.31) (0.19) (0.99) (3.15) (2.88) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 18.91 $ 18.13 $ 15.19 $ 12.82 $ 15.05 $ 16.66 ================================================================================================================================ Total Return 4.94%# 21.66% 20.26% (8.76)% 10.74% 2.78% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 264,213 $ 195,975 $ 103,421 $ 69,848 $ 62,960 $ 33,364 Ratio of Expenses to Average Net Assets (1) 0.18%* 0.21% 0.22% 0.26% 0.36% 0.40% Ratio of Net Investment Income to Average Net Assets 1.15%* 0.98% 1.56% 1.30% 1.61% 1.88% Portfolio Turnover Rate of Master Fund Series 3%# 7% 7% 9% 6% 26%
* Annualized # Non-annualized (1) Represents the combined ratio for the Portfolio and its respective pro-rata share of its Master Fund Series. See accompanying Notes to Financial Statements. 6 DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE CAP VALUE PORTFOLIO II 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 consists of sixteen portfolios, of which U.S. Large Cap Value Portfolio II (the "Portfolio") is presented in this report. The Portfolio invests all of its assets in The U.S. Large Cap Value Series (the "Series" or the "Master Fund"), a corresponding series of The DFA Investment Trust Company. At May 31, 2005, the Portfolio owned 6% of the outstanding shares of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The shares of the Series held by the Portfolio are valued at its respective daily net asset value. 2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Directors is included in Accrued Expense and Other Liabilities in the amount of $3,540. 3. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Expenses directly attributable to the Portfolio are directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides administrative services to the Portfolio, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. The Advisor provides investment advisory services to the Series. The Portfolio's administrative fees are accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.01 of 1%. 7 Certain officers of the Fund are also officers, directors and shareholders of the Advisor. Pursuant to a Fee Expense Waiver and Assumption Agreement for the Portfolio, the Advisor has agreed to waive its administration fee and to reimburse the Portfolio's direct and indirect expenses (including the expenses the Portfolio bears as a shareholder of the Master Fund) to the extent necessary to limit the annualized expenses of the Portfolio to not more than 0.75% of average daily net assets on an annualized basis. At any time that the annualized expenses of the Portfolio are less than 0.75% of its average net assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived during the prior thirty-six months. The Fee Expense Waiver and Assumption Agreement will remain in effect for a period of one year from April 1, 2005 to April 1, 2006, and shall continue in effect from year to year thereafter unless terminated by the Fund or Advisor. At May 31, 2005, there are no previously waived fees subject to future reimbursement to the Advisor. D. FEDERAL INCOME TAXES: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY AND SHORT-TERM LONG-TERM RETURN OF CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL ------------- ------------- --------- -------- 2004 $ 2,505 -- $ 23 $ 2,528 2003 1,007 -- -- 1,007
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE EARNINGS CAPITAL LOSS (ACCUMULATED CARRYFORWARDS LOSSES) ------------- ------------- $ (1,183) $ (1,183)
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. At November 30, 2004, the Portfolio had capital loss carryforward available to offset future realized gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON NOVEMBER 30, ----------------------- 2010 2011 TOTAL --------- ----------- -------- $ 895 $ 288 $ 1,183
At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) --------- ------------ ------------ -------------- $ 223,272 $ 48,259 $ (7,309) $ 40,950
8 E. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
ACCUMULATED UNREALIZED NET REALIZED APPRECIATION ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET PAID-IN CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS --------------- -------------- -------------- ----------------- ---------- $ 224,234 $ 4 $ (8,284) $ 48,259 $ 264,213
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 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings under the discretionary line of credit by the Portfolio during the six months ended May 31, 2005. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings under the line of credit by the Portfolio during the six months ended May 31, 2005. G. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 9 THE DFA INVESTMENT TRUST COMPANY THE U.S. LARGE CAP VALUE SERIES DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ----------- ----------- ----------- -------- Actual Fund Return $ 1,000.00 $ 1,049.70 0.14% $ 0.72 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 10 THE DFA INVESTMENT TRUST COMPANY THE U.S. LARGE CAP VALUE SERIES DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment Trust Company, this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Consumer Discretionary 29.4% Financials 27.4 Energy 9.0 Industrials 8.7 Information Technology 6.1 Health Care 5.6 Materials 5.4 Consumer Staples 4.3 Telecommunication Services 3.7 Utilities 0.4 ----- 100.0% =====
11 THE U.S. LARGE CAP VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (95.5%) Consumer Discretionary -- (28.1%) American Greetings Corp. Class A 177,600 $ 4,614,048 * AutoNation, Inc. 2,057,600 41,131,424 * Barnes & Noble, Inc. 176,400 6,676,740 Belo Corp. Class A 362,300 8,905,334 * Big Lots, Inc. 253,500 3,209,310 # Blockbuster, Inc. Class A 83,900 766,007 Borders Group, Inc. 34,000 859,860 BorgWarner, Inc. 201,600 10,777,536 * Caesars Entertainment, Inc. 845,900 18,229,145 * Cavco Industries, Inc. 22,900 616,239 Circuit City Stores, Inc. 586,200 9,607,818 Clear Channel Communications, Inc. 1,942,666 56,784,127 * Comcast Corp. Class A 3,966,525 127,722,105 * Comcast Corp. Special Class A Non-Voting 927,100 29,333,444 Dana Corp. 511,600 6,932,180 Dillards, Inc. Class A 286,000 6,841,120 Disney (Walt) Co. 906,600 24,877,104 # Federated Department Stores, Inc. 618,200 41,697,590 Foot Locker, Inc. 90,400 2,387,464 Ford Motor Co. 5,892,000 58,802,160 # General Motors Corp. 1,913,900 60,345,267 * # Goodyear Tire & Rubber Co. 203,900 2,934,121 Hearst-Argyle Television, Inc. 238,600 5,955,456 Hollinger International, Inc. Class A 257,600 2,382,800 Horton (D.R.), Inc. 1,091,829 37,744,529 * # IAC/InterActiveCorp 2,346,703 57,494,223 Lear Corp. 227,800 8,588,060 * Liberty Media Corp. Class A 9,460,100 98,290,439 * Liberty Media International, Inc. Class A 313,805 13,151,568 May Department Stores Co. 446,600 17,042,256 * MGM Mirage 734,400 27,973,296 News Corp. Class A 44,676 720,624 # OfficeMax, Inc. 354,300 10,753,005 Penney (J.C.) Co., Inc. 1,120,000 55,731,200 Pulte Homes, Inc. 248,400 18,990,180 * Radio One, Inc. 55,000 694,100 Saks, Inc. 743,200 12,738,448 * Sears Holdings Corp. 173,929 25,515,384 Service Corp. International 311,600 2,361,928 Starwood Hotels & Resorts Worldwide, Inc. 548,600 30,705,142 * The DIRECTV Group, Inc. 481,937 7,195,319 * Time Warner, Inc. 10,059,480 175,034,952
1 * Toys R Us, Inc. 819,300 21,465,660 Tribune Co. 1,182,400 42,779,232 * # Univision Communications, Inc. Class A 932,900 24,824,469 Viacom, Inc. Class B 5,017,000 172,032,930 ---------------- Total Consumer Discretionary (Cost $1,294,572,123) 1,394,215,343 ---------------- Financials -- (26.1%) A.G. Edwards, Inc. 199,100 8,224,821 * Allmerica Financial Corp. 179,700 6,275,124 # Allstate Corp. 1,791,600 104,271,120 AMBAC Financial Group, Inc. 23,200 1,673,880 American Financial Group, Inc. 280,200 9,084,084 American National Insurance Co. 57,800 6,670,120 * AmeriCredit Corp. 395,300 9,831,111 AmerUs Group Co. 124,600 5,929,714 Astoria Financial Corp. 60,750 1,673,055 Bank of Hawaii Corp. 327,500 15,959,075 # Bear Stearns Companies, Inc. 373,770 37,018,181 Chubb Corp. 428,000 36,050,440 Cincinnati Financial Corp. 658,116 25,975,839 * CNA Financial Corp. 919,500 25,359,810 Commerce Group, Inc. 93,100 5,548,760 Commercial Federal Corp. 98,900 2,473,489 Countrywide Financial Corp. 1,639,998 60,958,726 Fidelity National Financial, Inc. 520,800 18,743,592 First American Corp. 330,100 12,774,870 First Citizens BancShares, Inc. 10,300 1,344,459 Hartford Financial Services Group, Inc. 868,200 64,932,678 Hibernia Corp. 274,500 8,825,175 Independence Community Bank Corp. 300,500 11,262,740 * Instinet Group, Inc. 15,200 80,256 Janus Capital Group, Inc. 796,800 12,238,848 JPMorgan Chase & Co. 2,244,400 80,237,300 KeyCorp 941,600 30,846,816 * LaBranche & Co., Inc. 19,700 108,941 Lehman Brothers Holdings, Inc. 227,800 21,003,160 Lincoln National Corp. 620,400 28,246,812 Loews Corp. 636,800 47,951,040 MBIA, Inc. 498,050 27,855,937 MetLife, Inc. 2,623,300 116,999,180 MGIC Investment Corp. 335,500 20,579,570 Nationwide Financial Services, Inc. 208,500 7,960,530 # New York Community Bancorp, Inc. 327,700 5,970,694 # Odyssey Re Holdings Corp. 50,500 1,217,555 Old Republic International Corp. 635,412 15,796,342 PMI Group, Inc. 346,300 13,090,140 Principal Financial Group, Inc. 1,075,700 42,909,673 Protective Life Corp. 227,500 9,143,225 * Providian Financial Corp. 483,100 8,608,842 Prudential Financial, Inc. 1,731,800 109,640,258 Radian Group, Inc. 316,400 14,516,432 Reinsurance Group of America, Inc. 199,600 9,131,700 Safeco Corp. 486,400 26,173,184 South Financial Group, Inc. 54,300 1,479,675
2 Sovereign Bancorp, Inc. 842,320 18,800,582 StanCorp Financial Group, Inc. 104,200 7,799,370 The St. Paul Travelers Companies, Inc. 2,390,826 90,564,489 Torchmark Corp. 127,200 6,709,800 Transatlantic Holdings, Inc. 9,400 536,834 UnionBanCal Corp. 86,600 5,435,882 Unitrin, Inc. 223,800 11,143,002 UnumProvident Corp. 1,048,489 19,250,258 Wesco Financial Corp. 13,540 4,851,111 ---------------- Total Financials (Cost $932,265,029) 1,297,738,301 ---------------- Energy -- (8.6%) Amerada Hess Corp. 318,532 29,575,696 # Anadarko Petroleum Corp. 815,878 61,761,965 # Apache Corp. 129,990 7,638,212 # Ashland, Inc. 297,600 20,326,080 # Chesapeake Energy Corp. 361,000 7,389,670 ConocoPhillips 220,400 23,767,936 # Diamond Offshore Drilling, Inc. 313,641 14,819,537 * Forest Oil Corp. 214,600 8,532,496 Helmerich & Payne, Inc. 146,800 6,087,796 # Kerr-McGee Corp. 431,426 31,865,124 Marathon Oil Corp. 1,061,450 51,469,710 Occidental Petroleum Corp. 650,800 47,579,988 Overseas Shipholding Group, Inc. 86,500 5,285,150 Pogo Producing Co. 209,700 10,367,568 * Pride International, Inc. 366,700 8,269,085 Sunoco, Inc. 298,800 30,647,916 Tidewater, Inc. 217,700 7,532,420 Valero Energy Corp. 776,800 53,304,016 ---------------- Total Energy (Cost $225,588,682) 426,220,365 ---------------- Industrials -- (8.3%) * # AGCO Corp. 275,400 5,056,344 * Allegheny Corp. 18,292 5,126,333 * Allied Waste Industries, Inc. 1,180,900 9,104,739 Burlington Northern Santa Fe Corp. 1,283,000 63,405,860 Cendant Corp. 1,166,500 24,741,465 CSX Corp. 773,900 32,178,762 Curtiss-Wright Corp. 27,130 1,483,468 * # Delta Air Lines, Inc. 402,500 1,549,625 Florida East Coast Industries, Inc. 30,500 1,282,830 IKON Office Solutions, Inc. 329,600 3,193,824 * Laidlaw International, Inc. 160,200 3,562,848 Norfolk Southern Corp. 1,541,200 49,195,104 Northrop Grumman Corp. 1,320,242 73,563,884 * PHH Corp. 15,590 374,004 Raytheon Co. 1,311,300 51,350,508 Ryder System, Inc. 275,400 10,118,196 Steelcase, Inc. Class A 49,000 632,100 Textron, Inc. 123,000 9,506,670 * Thomas & Betts Corp. 46,900 1,448,272 Union Pacific Corp. 950,700 63,658,872 ---------------- Total Industrials (Cost $322,613,101) 410,533,708 ----------------
3 Information Technology -- (5.9%) * 3Com Corp. 1,041,900 3,813,354 * Advanced Micro Devices, Inc. 504,800 8,278,720 * Agere Systems, Inc. Class A 22,101 300,582 * Andrew Corp. 582,400 7,722,624 * Applied Micro Circuits Corp. 213,200 611,884 * Arrow Electronics, Inc. 402,900 11,261,055 * Avnet, Inc. 436,600 9,133,672 AVX Corp. 364,500 4,330,260 * CheckFree Corp. 49,700 1,855,301 * Ciena Corp. 489,600 1,067,328 * Computer Sciences Corp. 661,100 30,615,541 * Compuware Corp. 956,430 6,551,546 * Comverse Technology, Inc. 111,500 2,623,595 * Corning, Inc. 998,300 15,653,344 Electronic Data Systems Corp. 1,851,700 36,478,490 * GameStop Corp. Class B 9,432 253,155 Hewlett-Packard Co. 1,407,700 31,687,327 * Ingram Micro, Inc. 608,300 9,617,223 Intersil Corp. 570,400 10,700,704 * JDS Uniphase Corp. 1,095,700 1,676,421 * LSI Logic Corp. 1,347,970 9,921,059 * Lucent Technologies, Inc. 1,193,800 3,354,578 * Micron Technology, Inc. 2,163,300 23,753,034 * Sanmina-SCI Corp. 1,864,500 9,564,885 * Solectron Corp. 1,566,700 5,718,455 * Sun Microsystems, Inc. 2,143,700 8,167,497 * Tech Data Corp. 219,000 7,862,100 * Tellabs, Inc. 1,630,656 13,403,992 * Unisys Corp. 198,000 1,433,520 * # VeriSign, Inc. 166,300 5,379,805 * Vishay Intertechnology, Inc. 626,916 8,087,216 * Vitesse Semiconductor, Inc. 2,800 7,000 * Xerox Corp. 75,000 1,017,750 ---------------- Total Information Technology (Cost $275,612,074) 291,903,017 ---------------- Health Care -- (5.4%) Aetna, Inc. 1,079,252 84,192,449 AmerisourceBergen Corp. 308,900 19,945,673 * Human Genome Sciences, Inc. 23,900 269,592 * Humana, Inc. 461,200 16,769,232 * Invitrogen Corp. 124,900 9,908,317 McKesson Corp. 653,300 26,308,391 * Medco Health Solutions, Inc. 690,100 34,505,000 * Millennium Pharmaceuticals, Inc. 1,158,100 9,693,297 * PacifiCare Health Systems, Inc. 243,400 15,292,822 * Tenet Healthcare Corp. 1,547,300 18,753,276 * Thermo Electron Corp. 239,900 6,314,168 * Triad Hospitals, Inc. 234,100 11,873,552 * Watson Pharmaceuticals, Inc. 389,900 11,720,394 * WebMD Corp. 25,800 243,294 ---------------- Total Health Care (Cost $147,902,837) 265,789,457 ----------------
4 Materials -- (5.1%) Bowater, Inc. 199,600 6,267,440 Eastman Chemical Co. 24,200 1,422,476 Georgia-Pacific Corp. 974,200 32,284,988 International Paper Co. 1,215,775 39,160,113 LaFarge North America, Inc. 257,500 15,545,275 Louisiana-Pacific Corp. 385,300 9,701,854 Lubrizol Corp. 182,000 7,165,340 Lyondell Chemical Co. 308,300 7,319,042 # MeadWestavco Corp. 758,431 21,751,801 * Owens-Illinois, Inc. 314,400 8,083,224 Phelps Dodge Corp. 287,085 25,091,229 * Smurfit-Stone Container Corp. 959,126 10,425,700 Temple-Inland, Inc. 262,600 9,380,072 Valhi, Inc. 158,500 2,938,590 Weyerhaeuser Co. 860,700 55,213,905 Worthington Industries, Inc. 133,200 2,232,432 ---------------- Total Materials (Cost $214,260,843) 253,983,481 ---------------- Consumer Staples -- (4.1%) # Albertson's, Inc. 1,316,400 27,631,236 Archer-Daniels-Midland Co. 2,475,260 49,133,911 Coca-Cola Enterprises, Inc. 1,874,800 41,020,624 Corn Products International, Inc. 186,400 4,117,576 Kraft Foods, Inc. 312,800 10,147,232 PepsiAmericas, Inc. 192,000 4,650,240 # Reynolds American, Inc. 251,326 20,837,439 * Rite Aid Corp. 969,800 3,840,408 * Smithfield Foods, Inc. 157,600 4,701,208 Supervalu, Inc. 565,200 18,515,952 Tyson Foods, Inc. Class A 912,556 16,845,784 Weis Markets, Inc. 20,800 764,192 ---------------- Total Consumer Staples (Cost $146,694,245) 202,205,802 ---------------- Telecommunication Services -- (3.5%) * American Tower Corp. 294,600 5,314,584 AT&T Corp. 2,206,280 41,456,001 * Crown Castle International Corp. 468,900 8,337,042 * # Level 3 Communications, Inc. 195,500 406,640 * Qwest Communications International, Inc. 2,000,600 7,842,352 SBC Communications, Inc. 1,613,100 37,714,278 Sprint Corp. 2,161,500 51,205,935 Telephone & Data Systems, Inc. 177,800 6,889,750 * Telephone & Data Systems, Inc. Special Shares 177,800 6,756,400 * United States Cellular Corp. 167,200 7,865,088 ---------------- Total Telecommunication Services (Cost $181,272,270) 173,788,070 ----------------
5 Utilities -- (0.4%) Alliant Energy Corp. 212,900 5,876,040 Questar Corp. 251,000 15,823,040 ---------------- Total Utilities (Cost $10,735,877) 21,699,080 ---------------- TOTAL COMMON STOCKS (Cost $3,751,517,081) 4,738,076,624 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (4.5%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05 (Collateralized by $255,811,000 U.S. STRIPS, rates ranging from 7.500% to 9.875%, maturities ranging from 11/15/15 to 11/15/24, valued at $162,719,199) to be repurchased at $159,540,395 (Cost $159,527,456) $ 159,527 159,527,456 Repurchase Agrrement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $67,131,000 FHLMC Notes 4.00%, 09/22/09, valued at $67,214,914) to be repurchased at $66,226,316 (Cost $66,221,000) 66,221 66,221,000 ---------------- 225,748,456 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $225,748,456) 225,748,456 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $3,977,265,537) $ 4,963,825,080 ================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 6 THE DFA INVESTMENT TRUST COMPANY THE U.S. LARGE CAP VALUE SERIES STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investments at Value (including $153,810 of securities on loan) $ 4,963,825 Cash 1 Receivables: Investment Securities Sold 1,427 Dividends and Interest 6,334 Fund Shares Sold 6,047 Securities Lending Income 260 Prepaid Expenses and Other Assets 20 ------------ Total Assets 4,977,914 ------------ LIABILITIES: Payables: Upon Return of Securities Loaned 159,527 Investment Securities Purchased 29,501 Fund Shares Redeemed 109 Due to Advisor 387 Accrued Expenses and Other Liabilities 259 ------------ Total Liabilities 189,783 ------------ NET ASSETS $ 4,788,131 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (Unlimited Number of Shares Authorized) 247,661,374 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 19.33 ============ Investments at Cost $ 3,977,265 ============
See accompanying Notes to Financial Statements. 15 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Dividends $ 30,069 Interest 644 Income from Securities Lending 501 ------------ Total Investment Income 31,214 ------------ EXPENSES Investment Advisory Services 2,171 Accounting & Transfer Agent Fees 610 Custodian Fees 206 Legal Fees 8 Audit Fees 18 Shareholders' Reports 20 Trustees' Fees and Expenses 16 Other 30 ------------ Total Expenses 3,079 ------------ NET INVESTMENT INCOME (LOSS) 28,135 ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 33,983 Change in Unrealized Appreciation (Depreciation) of Investment Securities 146,995 ------------ NET GAIN (LOSS) 180,978 ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 209,113 ============
See accompanying Notes to Financial Statements. 16 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------ ------------ (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 28,135 $ 45,093 Net Realized Gain (Loss) on Investment Securities Sold 33,983 84,609 Change in Unrealized Appreciation (Depreciation) of Investment Securities 146,995 496,658 ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 209,113 626,360 ------------ ------------ Distributions From: Net Investment Income (26,329) (33,641) Net Long-Term Gains (3,972) -- ------------ ------------ Total Distributions (30,301) (33,641) ------------ ------------ Capital Share Transactions (1): Shares Issued 677,006 857,913 Shares Issued in Lieu of Cash Distributions 28,649 32,697 Shares Redeemed (16,249) (74,078) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 689,406 816,532 ------------ ------------ Total Increase (Decrease) 868,218 1,409,251 NET ASSETS Beginning of Period 3,919,913 2,510,662 ------------ ------------ End of Period $ 4,788,131 $ 3,919,913 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 35,683 50,791 Shares Issued in Lieu of Cash Distributions 1,509 1,939 Shares Redeemed (857) (4,363) ------------ ------------ 36,335 48,367 ============ ============
See accompanying Notes to Financial Statements. 17 THE DFA INVESTMENT TRUST COMPANY THE U.S. LARGE CAP VALUE SERIES 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, 2005 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.12 0.23 0.21 0.20 0.25 0.33 Net Gains (Losses) on Securities (Realized and Unrealized) 0.80 3.09 2.41 (1.43) 1.25 0.04 ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations 0.92 3.32 2.62 (1.23) 1.50 0.37 - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.12) (0.18) (0.22) (0.20) (0.27) (0.32) Net Realized Gains (0.02) -- -- -- (1.50) (3.13) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.14) (0.18) (0.22) (0.20) (1.77) (3.45) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 19.33 $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 ================================================================================================================================ Total Return 4.97%# 21.68% 20.34% (8.64)% 10.97% 3.06% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 4,788,131 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343 Ratio of Expenses to Average Net Assets 0.14%* 0.15% 0.15% 0.15% 0.15% 0.16% Ratio of Net Investment Income to Average Net Assets 1.30%* 1.41% 1.62% 1.49% 1.66% 2.20% Portfolio Turnover Rate 3%# 7% 7% 9% 6% 26%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 18 THE DFA INVESTMENT TRUST COMPANY THE U.S. LARGE CAP VALUE SERIES 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. The Trust consists of twenty-one series, of which The U.S. Large Cap Value Series (the "Series") is presented in this report. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the 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 requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Series which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day. Securities held by the Series that are listed on NASDAQ are valued at the NASDAQ Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Series values the securities at the mean between the quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the mean between the most recent bid and asked prices. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Trustees. 2. 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. At May 31, 2005, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities in the amount of $67,547. 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 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 are allocated using methods approved by the Board of Trustees, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Series. For the six months ended May 31, 2005, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.10 of 1% of average daily net assets. Certain officers of the Trust are also officers, directors and shareholders of the Advisor. 19 D. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2005, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands): Purchases $ 765,051 Sales 122,559
There were no purchases or sales of U.S. Government Securities during the six months ended May 31, 2005. E. FEDERAL INCOME TAXES: The Series has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL --------------- ------------- --------- 2004 $ 33,641 -- $ 33,641 2003 31,464 -- 31,464
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
NET TOTAL NET REALIZED DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED EARNINGS NET INVESTMENT LONG-TERM (ACCUMULATED INCOME CAPITAL GAINS (LOSSES) -------------- ------------- ------------- $ 13,203 $ 3,947 $ 17,150
At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amount in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ------------ ------------ ------------ -------------- $ 3,977,265 $ 1,216,187 $ (229,627) $ 986,560
F. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
ACCUMULATED ACCUMULATED UNREALIZED NET NET REALIZED APPRECIATION INVESTMENT GAIN (LOSS) (DEPRECIATION) PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET CAPITAL (LOSS) SECURITIES SECURITIES ASSETS ------------ ----------- ------------- -------------- ------------ $ 3,752,794 $ 14,963 $ 33,814 $ 986,560 $ 4,788,131
20 G. 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. The instrument and the significant corresponding risk is described below: 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 31, 2005. H. LINE OF CREDIT: The Trust, together with other Dimensional-advised series, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each series is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line are charged interest at the then current federal funds rate plus 1%. Each series is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings by the Series under the line of credit for the six months ended May 31, 2005. The Trust, together with other Dimensional-advised series, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each series is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each series is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings by the Series under the line of credit during the six months ended May 31, 2005. I. SECURITIES LENDING: As of May 31, 2005, the Series had securities on loan to brokers/dealers, for which the Series held cash collateral. The Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% of the market value of the securities on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. The cash collateral received by the Series from securities on loan is invested along with cash collateral from the other portfolios of the Trust in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. The Series paid fees for securities lending for the period ended May 31, 2005, which have been netted against the Income from Securities Lending on the Statements of Operations. For the six months ended May 31, 2005 the fees were approximately $126,000. J. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 21 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Trust uses in voting proxies relating to securities held in the portfolio is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dfaus.com and reflects the twelve-month period beginning July 1 and ending June 30. 22 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT At the Board meeting held on December 15, 2004 (the "Meeting"), the Board of Trustees of The DFA Investment Trust Company (the "Board") considered the continuation of the investment management agreement ("Advisory Agreement") for the series (the "Fund"). Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Advisory Agreement. The Independent Board Members, met with their independent counsel in advance of the Meeting to discuss the materials provided by the Advisor, the independent reports prepared by Lipper Analytical Services, Inc., and issues related to the continuation of the Advisory Agreement. At the Meeting, the Board considered a number of factors when considering the continuation of the Advisory Agreement for the Fund, including: (i) the nature, extent and quality of services provided by the Advisor to the Fund; (ii) the performance of the Fund and the Advisor; (iii) the fees and expenses borne by the Fund; (iv) the profitability realized by the Advisor from the relationship with the Fund; (v) whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of the advisory fee charged; (vi) comparisons of the services to be rendered and the amounts to be paid under other advisory contracts; and (vii) any benefits to be derived by the Advisor from its relationship with the Fund. When considering the nature and quality of the services provided by the Advisor to the Fund, the Board reviewed: (a) the scope and depth of the Advisor's organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor's investment advisory capabilities. The Board evaluated the Advisor's portfolio management process. The Board also considered the nature and character of non-investment management services provided by the Advisor. After analyzing the caliber of services provided by the Advisor to the Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to the Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund. In considering the performance of the Fund, the Board analyzed the Lipper reports, which compared the performance of the Fund with other funds in its respective peer group and peer universe, and noted that the performance of the Fund compared favorably with its peer group. The Board determined, among other things, that the performance of the Fund was acceptable as compared with relevant performance standards. When considering the fees and expenses borne by the Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Lipper reports. The Board concluded that the advisory fees and total expenses of the Fund over various periods were favorable in relation to its peer funds, and that the advisory fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large. The Board considered the profitability of the Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to the Fund, including administrative fees paid by the feeder portfolios. The Board considered the profitability to the Advisor of managing the Fund and other "non-1940 Act registered" investment vehicles. Upon closely examining the Advisor's profitability, the Board concluded, among other things, that it was reasonable. The Board also discussed whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of advisory fee charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory fee charged were inapplicable to the Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund. After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Advisory Agreement for the Fund was in the best interests of the Fund and its shareholders. 23 ================================================================================ Dimensional Investment Group Inc. U.S. Large Cap Value Portfolio III SEMI-ANNUAL REPORT Six Months Ended May 31, 2005 (Unaudited) ================================================================================ DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE CAP VALUE PORTFOLIO III SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS
PAGE ------ DIMENSIONAL INVESTMENT GROUP INC. Disclosure of Fund Expenses 1 Disclosure of Portfolio Holdings 2 Statement of Assets and Liabilities 3 Statement of Operations 4 Statements of Changes in Net Assets 5 Financial Highlights 6 Notes to Financial Statements 7 THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE CAP VALUE SERIES Disclosure of Fund Expenses 10 Disclosure of Portfolio Holdings 11 Schedule of Investments 12 Statement of Assets and Liabilities 15 Statement of Operations 16 Statements of Changes in Net Assets 17 Financial Highlights 18 Notes to Financial Statements 19 VOTING PROXIES ON FUND PORTFOLIO SECURITIES 22 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 23
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE CAP VALUE PORTFOLIO III DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ---------- ---------- ---------- -------- Actual Fund Return $ 1,000.00 $ 1,049.40 0.17% $ 0.87 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.15 0.17% $ 0.86
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 1 DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE CAP VALUE PORTFOLIO III DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The Dimensional Investment Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Investment Companies 100.0% ----- 100.0% =====
2 DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE CAP VALUE PORTFOLIO III STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company (49,879,483 Shares, Cost $704,122) at Value+ $ 964,170 Receivable for Fund Shares Sold 885 Prepaid Expenses and Other Assets 2 ------------- Total Assets 965,057 ------------- LIABILITIES: Payables: Investment Securities Purchased 663 Fund Shares Redeemed 222 Due to Advisor 8 Accrued Expenses and Other Liabilities 35 ------------- Total Liabilities 928 ------------- NET ASSETS $ 964,129 ============= SHARES OUTSTANDING, $0.01 PAR VALUE (Authorized 200,000,000 Shares) 62,011,442 ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.55 =============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 3 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company $ 5,506 ------------- EXPENSES Administrative Services 45 Accounting & Transfer Agent Fees 8 Legal Fees 12 Audit Fees 3 Filing Fees 24 Shareholders' Reports 18 Directors' Fees and Expenses 3 Other 2 ------------- Total Expenses 115 ------------- NET INVESTMENT INCOME (LOSS) 5,391 ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from The DFA Investment Trust Company 834 Net Realized Gain (Loss) on Investment Securities Sold (29) Change in Unrealized Appreciation (Depreciation) of Investment Securities 36,646 ------------- NET GAIN (LOSS) 37,451 ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 42,842 =============
See accompanying Notes to Financial Statements. 4 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ----------- ----------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 5,391 $ 6,938 Capital Gain Distributions Received from The DFA Investment Trust Company 834 -- Net Realized Gain (Loss) on Investment Securities Sold (29) 4 Change in Unrealized Appreciation (Depreciation) of Investment Securities 36,646 126,161 ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 42,842 133,103 ----------- ----------- Distributions From: Net Investment Income (5,353) (12,698) Net Short-Term Gains (56) -- Net Long-Term Gains -- (5) ----------- ----------- Total Distributions (5,409) (12,703) ----------- ----------- Capital Share Transactions (1): Shares Issued 139,075 196,761 Shares Issued in Lieu of Cash Distributions 5,409 12,692 Shares Redeemed (38,982) (54,454) ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 105,502 154,999 ----------- ----------- Total Increase (Decrease) 142,935 275,399 NET ASSETS Beginning of Period 821,194 545,795 ----------- ----------- End of Period $ 964,129 $ 821,194 =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 9,121 14,493 Shares Issued in Lieu of Cash Distributions 353 955 Shares Redeemed (2,556) (4,002) ----------- ----------- 6,918 11,446 =========== ===========
See accompanying Notes to Financial Statements. 5 DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE CAP VALUE PORTFOLIO III 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, 2005 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 14.91 $ 12.50 $ 10.55 $ 13.02 $ 16.21 $ 19.07 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.10 0.14 0.16 0.13 0.27 0.40 Net Gains (Losses) on Securities (Realized and Unrealized) 0.63 2.54 1.94 (1.14) 1.13 -- ----------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations 0.73 2.68 2.10 (1.01) 1.40 0.40 - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.09) (0.27) (0.15) (0.19) (0.42) (0.39) Net Realized Gains -- -- -- (1.27) (4.17) (2.87) ----------- ---------- ---------- ---------- ---------- ---------- Total Distributions (0.09) (0.27) (0.15) (1.46) (4.59) (3.26) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.55 $ 14.91 $ 12.50 $ 10.55 $ 13.02 $ 16.21 ================================================================================================================================= Total Return 4.94%# 21.72% 20.23% (8.66)% 10.94% 3.00% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 964,129 $ 821,194 $ 545,795 $ 378,745 $ 282,658 $ 291,964 Ratio of Expenses to Average Net Assets (1) 0.17%* 0.19% 0.18% 0.19% 0.20% 0.20% Ratio of Net Investment Income to Average Net Assets 1.21%* 1.02% 1.58% 1.40% 1.71% 2.06% Portfolio Turnover Rate of Master Fund Series 3%# 7% 7% 9% 6% 26%
* Annualized # Non-annualized (1) Represents the combined ratio for the Portfolio and its respective pro-rata share of its Master Fund Series. See accompanying Notes to Financial Statements. 6 DIMENSIONAL INVESTMENT GROUP INC. U.S. LARGE CAP VALUE PORTFOLIO III 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 consists of sixteen portfolios, of which U.S. Large Cap Value Portfolio III (the "Portfolio") is presented in this report. The Portfolio invests all of its assets in The U.S. Large Cap Value Series (the "Series"), a corresponding series of The DFA Investment Trust Company. At May 31, 2005, the Portfolio owned 20% of the outstanding shares of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The shares of the Series held by the Portfolio are valued at its respective daily net asset value. 2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $14,061. 3. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Expenses directly attributable to the Portfolio are directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides administrative services to the Portfolio, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. The Advisor provides investment advisory services to the Series. For the six months ended May 31, 2005, the Portfolio's administrative fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.01 of 1% of average daily net assets. Certain officers of the Fund are also officers, directors and shareholders of the Advisor. 7 D. FEDERAL INCOME TAXES: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM RETURN OF CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL --------------- ------------- --------- -------- 2004 $ 12,682 $ 1 $ 20 $ 12,703 2003 5,177 -- -- 5,177
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. As of November 30, 2004, there were no distributable earnings/(accumulated losses) in the Portfolio. At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) --------- ------------ ------------ -------------- $ 714,823 $ 260,048 $ (10,701) $ 249,347
E. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
ACCUMULATED ACCUMULATED UNREALIZED NET NET REALIZED APPRECIATION INVESTMENT GAIN (LOSS) (DEPRECIATION) PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET CAPITAL (LOSS) SECURITIES SECURITIES ASSETS --------- ----------- ------------- -------------- --------- $ 713,976 $ 28 $ (9,923) $ 260,048 $ 964,129
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 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings by the Portfolio under the discretionary line of credit during the six months ended May 31, 2005. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by 8 the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement of the line of credit expires on April 2, 2006. There were no borrowings by the Portfolio under the line of credit during the six months ended May 31, 2005. G. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 9 THE DFA INVESTMENT TRUST COMPANY THE U.S. LARGE CAP VALUE SERIES DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ---------- ---------- ---------- -------- Actual Fund Return $ 1,000.00 $ 1,049.70 0.14% $ 0.72 Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 10 THE DFA INVESTMENT TRUST COMPANY THE U.S. LARGE CAP VALUE SERIES DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment Trust Company, this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Consumer Discretionary 29.4% Financials 27.4 Energy 9.0 Industrials 8.7 Information Technology 6.1 Health Care 5.6 Materials 5.4 Consumer Staples 4.3 Telecommunication Services 3.7 Utilities 0.4 ----- 100.0% =====
11 THE U.S. LARGE CAP VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (95.5%) Consumer Discretionary -- (28.1%) American Greetings Corp. Class A 177,600 $ 4,614,048 * AutoNation, Inc. 2,057,600 41,131,424 * Barnes & Noble, Inc. 176,400 6,676,740 Belo Corp. Class A 362,300 8,905,334 * Big Lots, Inc. 253,500 3,209,310 # Blockbuster, Inc. Class A 83,900 766,007 Borders Group, Inc. 34,000 859,860 BorgWarner, Inc. 201,600 10,777,536 * Caesars Entertainment, Inc. 845,900 18,229,145 * Cavco Industries, Inc. 22,900 616,239 Circuit City Stores, Inc. 586,200 9,607,818 Clear Channel Communications, Inc. 1,942,666 56,784,127 * Comcast Corp. Class A 3,966,525 127,722,105 * Comcast Corp. Special Class A Non-Voting 927,100 29,333,444 Dana Corp. 511,600 6,932,180 Dillards, Inc. Class A 286,000 6,841,120 Disney (Walt) Co. 906,600 24,877,104 # Federated Department Stores, Inc. 618,200 41,697,590 Foot Locker, Inc. 90,400 2,387,464 Ford Motor Co. 5,892,000 58,802,160 # General Motors Corp. 1,913,900 60,345,267 * # Goodyear Tire & Rubber Co. 203,900 2,934,121 Hearst-Argyle Television, Inc. 238,600 5,955,456 Hollinger International, Inc. Class A 257,600 2,382,800 Horton (D.R.), Inc. 1,091,829 37,744,529 * # IAC/InterActiveCorp 2,346,703 57,494,223 Lear Corp. 227,800 8,588,060 * Liberty Media Corp. Class A 9,460,100 98,290,439 * Liberty Media International, Inc. Class A 313,805 13,151,568 May Department Stores Co. 446,600 17,042,256 * MGM Mirage 734,400 27,973,296 News Corp. Class A 44,676 720,624 # OfficeMax, Inc. 354,300 10,753,005 Penney (J.C.) Co., Inc. 1,120,000 55,731,200 Pulte Homes, Inc. 248,400 18,990,180 * Radio One, Inc. 55,000 694,100 Saks, Inc. 743,200 12,738,448 * Sears Holdings Corp. 173,929 25,515,384 Service Corp. International 311,600 2,361,928 Starwood Hotels & Resorts Worldwide, Inc. 548,600 30,705,142 * The DIRECTV Group, Inc. 481,937 7,195,319 * Time Warner, Inc. 10,059,480 175,034,952
1 * Toys R Us, Inc. 819,300 21,465,660 Tribune Co. 1,182,400 42,779,232 * # Univision Communications, Inc. Class A 932,900 24,824,469 Viacom, Inc. Class B 5,017,000 172,032,930 ---------------- Total Consumer Discretionary (Cost $1,294,572,123) 1,394,215,343 ---------------- Financials -- (26.1%) A.G. Edwards, Inc. 199,100 8,224,821 * Allmerica Financial Corp. 179,700 6,275,124 # Allstate Corp. 1,791,600 104,271,120 AMBAC Financial Group, Inc. 23,200 1,673,880 American Financial Group, Inc. 280,200 9,084,084 American National Insurance Co. 57,800 6,670,120 * AmeriCredit Corp. 395,300 9,831,111 AmerUs Group Co. 124,600 5,929,714 Astoria Financial Corp. 60,750 1,673,055 Bank of Hawaii Corp. 327,500 15,959,075 # Bear Stearns Companies, Inc. 373,770 37,018,181 Chubb Corp. 428,000 36,050,440 Cincinnati Financial Corp. 658,116 25,975,839 * CNA Financial Corp. 919,500 25,359,810 Commerce Group, Inc. 93,100 5,548,760 Commercial Federal Corp. 98,900 2,473,489 Countrywide Financial Corp. 1,639,998 60,958,726 Fidelity National Financial, Inc. 520,800 18,743,592 First American Corp. 330,100 12,774,870 First Citizens BancShares, Inc. 10,300 1,344,459 Hartford Financial Services Group, Inc. 868,200 64,932,678 Hibernia Corp. 274,500 8,825,175 Independence Community Bank Corp. 300,500 11,262,740 * Instinet Group, Inc. 15,200 80,256 Janus Capital Group, Inc. 796,800 12,238,848 JPMorgan Chase & Co. 2,244,400 80,237,300 KeyCorp 941,600 30,846,816 * LaBranche & Co., Inc. 19,700 108,941 Lehman Brothers Holdings, Inc. 227,800 21,003,160 Lincoln National Corp. 620,400 28,246,812 Loews Corp. 636,800 47,951,040 MBIA, Inc. 498,050 27,855,937 MetLife, Inc. 2,623,300 116,999,180 MGIC Investment Corp. 335,500 20,579,570 Nationwide Financial Services, Inc. 208,500 7,960,530 # New York Community Bancorp, Inc. 327,700 5,970,694 # Odyssey Re Holdings Corp. 50,500 1,217,555 Old Republic International Corp. 635,412 15,796,342 PMI Group, Inc. 346,300 13,090,140 Principal Financial Group, Inc. 1,075,700 42,909,673 Protective Life Corp. 227,500 9,143,225 * Providian Financial Corp. 483,100 8,608,842 Prudential Financial, Inc. 1,731,800 109,640,258 Radian Group, Inc. 316,400 14,516,432 Reinsurance Group of America, Inc. 199,600 9,131,700 Safeco Corp. 486,400 26,173,184 South Financial Group, Inc. 54,300 1,479,675
2 Sovereign Bancorp, Inc. 842,320 18,800,582 StanCorp Financial Group, Inc. 104,200 7,799,370 The St. Paul Travelers Companies, Inc. 2,390,826 90,564,489 Torchmark Corp. 127,200 6,709,800 Transatlantic Holdings, Inc. 9,400 536,834 UnionBanCal Corp. 86,600 5,435,882 Unitrin, Inc. 223,800 11,143,002 UnumProvident Corp. 1,048,489 19,250,258 Wesco Financial Corp. 13,540 4,851,111 ---------------- Total Financials (Cost $932,265,029) 1,297,738,301 ---------------- Energy -- (8.6%) Amerada Hess Corp. 318,532 29,575,696 # Anadarko Petroleum Corp. 815,878 61,761,965 # Apache Corp. 129,990 7,638,212 # Ashland, Inc. 297,600 20,326,080 # Chesapeake Energy Corp. 361,000 7,389,670 ConocoPhillips 220,400 23,767,936 # Diamond Offshore Drilling, Inc. 313,641 14,819,537 * Forest Oil Corp. 214,600 8,532,496 Helmerich & Payne, Inc. 146,800 6,087,796 # Kerr-McGee Corp. 431,426 31,865,124 Marathon Oil Corp. 1,061,450 51,469,710 Occidental Petroleum Corp. 650,800 47,579,988 Overseas Shipholding Group, Inc. 86,500 5,285,150 Pogo Producing Co. 209,700 10,367,568 * Pride International, Inc. 366,700 8,269,085 Sunoco, Inc. 298,800 30,647,916 Tidewater, Inc. 217,700 7,532,420 Valero Energy Corp. 776,800 53,304,016 ---------------- Total Energy (Cost $225,588,682) 426,220,365 ---------------- Industrials -- (8.3%) * # AGCO Corp. 275,400 5,056,344 * Allegheny Corp. 18,292 5,126,333 * Allied Waste Industries, Inc. 1,180,900 9,104,739 Burlington Northern Santa Fe Corp. 1,283,000 63,405,860 Cendant Corp. 1,166,500 24,741,465 CSX Corp. 773,900 32,178,762 Curtiss-Wright Corp. 27,130 1,483,468 * # Delta Air Lines, Inc. 402,500 1,549,625 Florida East Coast Industries, Inc. 30,500 1,282,830 IKON Office Solutions, Inc. 329,600 3,193,824 * Laidlaw International, Inc. 160,200 3,562,848 Norfolk Southern Corp. 1,541,200 49,195,104 Northrop Grumman Corp. 1,320,242 73,563,884 * PHH Corp. 15,590 374,004 Raytheon Co. 1,311,300 51,350,508 Ryder System, Inc. 275,400 10,118,196 Steelcase, Inc. Class A 49,000 632,100 Textron, Inc. 123,000 9,506,670 * Thomas & Betts Corp. 46,900 1,448,272 Union Pacific Corp. 950,700 63,658,872 ---------------- Total Industrials (Cost $322,613,101) 410,533,708 ----------------
3 Information Technology -- (5.9%) * 3Com Corp. 1,041,900 3,813,354 * Advanced Micro Devices, Inc. 504,800 8,278,720 * Agere Systems, Inc. Class A 22,101 300,582 * Andrew Corp. 582,400 7,722,624 * Applied Micro Circuits Corp. 213,200 611,884 * Arrow Electronics, Inc. 402,900 11,261,055 * Avnet, Inc. 436,600 9,133,672 AVX Corp. 364,500 4,330,260 * CheckFree Corp. 49,700 1,855,301 * Ciena Corp. 489,600 1,067,328 * Computer Sciences Corp. 661,100 30,615,541 * Compuware Corp. 956,430 6,551,546 * Comverse Technology, Inc. 111,500 2,623,595 * Corning, Inc. 998,300 15,653,344 Electronic Data Systems Corp. 1,851,700 36,478,490 * GameStop Corp. Class B 9,432 253,155 Hewlett-Packard Co. 1,407,700 31,687,327 * Ingram Micro, Inc. 608,300 9,617,223 Intersil Corp. 570,400 10,700,704 * JDS Uniphase Corp. 1,095,700 1,676,421 * LSI Logic Corp. 1,347,970 9,921,059 * Lucent Technologies, Inc. 1,193,800 3,354,578 * Micron Technology, Inc. 2,163,300 23,753,034 * Sanmina-SCI Corp. 1,864,500 9,564,885 * Solectron Corp. 1,566,700 5,718,455 * Sun Microsystems, Inc. 2,143,700 8,167,497 * Tech Data Corp. 219,000 7,862,100 * Tellabs, Inc. 1,630,656 13,403,992 * Unisys Corp. 198,000 1,433,520 * # VeriSign, Inc. 166,300 5,379,805 * Vishay Intertechnology, Inc. 626,916 8,087,216 * Vitesse Semiconductor, Inc. 2,800 7,000 * Xerox Corp. 75,000 1,017,750 ---------------- Total Information Technology (Cost $275,612,074) 291,903,017 ---------------- Health Care -- (5.4%) Aetna, Inc. 1,079,252 84,192,449 AmerisourceBergen Corp. 308,900 19,945,673 * Human Genome Sciences, Inc. 23,900 269,592 * Humana, Inc. 461,200 16,769,232 * Invitrogen Corp. 124,900 9,908,317 McKesson Corp. 653,300 26,308,391 * Medco Health Solutions, Inc. 690,100 34,505,000 * Millennium Pharmaceuticals, Inc. 1,158,100 9,693,297 * PacifiCare Health Systems, Inc. 243,400 15,292,822 * Tenet Healthcare Corp. 1,547,300 18,753,276 * Thermo Electron Corp. 239,900 6,314,168 * Triad Hospitals, Inc. 234,100 11,873,552 * Watson Pharmaceuticals, Inc. 389,900 11,720,394 * WebMD Corp. 25,800 243,294 ---------------- Total Health Care (Cost $147,902,837) 265,789,457 ----------------
4 Materials -- (5.1%) Bowater, Inc. 199,600 6,267,440 Eastman Chemical Co. 24,200 1,422,476 Georgia-Pacific Corp. 974,200 32,284,988 International Paper Co. 1,215,775 39,160,113 LaFarge North America, Inc. 257,500 15,545,275 Louisiana-Pacific Corp. 385,300 9,701,854 Lubrizol Corp. 182,000 7,165,340 Lyondell Chemical Co. 308,300 7,319,042 # MeadWestavco Corp. 758,431 21,751,801 * Owens-Illinois, Inc. 314,400 8,083,224 Phelps Dodge Corp. 287,085 25,091,229 * Smurfit-Stone Container Corp. 959,126 10,425,700 Temple-Inland, Inc. 262,600 9,380,072 Valhi, Inc. 158,500 2,938,590 Weyerhaeuser Co. 860,700 55,213,905 Worthington Industries, Inc. 133,200 2,232,432 ---------------- Total Materials (Cost $214,260,843) 253,983,481 ---------------- Consumer Staples -- (4.1%) # Albertson's, Inc. 1,316,400 27,631,236 Archer-Daniels-Midland Co. 2,475,260 49,133,911 Coca-Cola Enterprises, Inc. 1,874,800 41,020,624 Corn Products International, Inc. 186,400 4,117,576 Kraft Foods, Inc. 312,800 10,147,232 PepsiAmericas, Inc. 192,000 4,650,240 # Reynolds American, Inc. 251,326 20,837,439 * Rite Aid Corp. 969,800 3,840,408 * Smithfield Foods, Inc. 157,600 4,701,208 Supervalu, Inc. 565,200 18,515,952 Tyson Foods, Inc. Class A 912,556 16,845,784 Weis Markets, Inc. 20,800 764,192 ---------------- Total Consumer Staples (Cost $146,694,245) 202,205,802 ---------------- Telecommunication Services -- (3.5%) * American Tower Corp. 294,600 5,314,584 AT&T Corp. 2,206,280 41,456,001 * Crown Castle International Corp. 468,900 8,337,042 * # Level 3 Communications, Inc. 195,500 406,640 * Qwest Communications International, Inc. 2,000,600 7,842,352 SBC Communications, Inc. 1,613,100 37,714,278 Sprint Corp. 2,161,500 51,205,935 Telephone & Data Systems, Inc. 177,800 6,889,750 * Telephone & Data Systems, Inc. Special Shares 177,800 6,756,400 * United States Cellular Corp. 167,200 7,865,088 ---------------- Total Telecommunication Services (Cost $181,272,270) 173,788,070 ----------------
5 Utilities -- (0.4%) Alliant Energy Corp. 212,900 5,876,040 Questar Corp. 251,000 15,823,040 ---------------- Total Utilities (Cost $10,735,877) 21,699,080 ---------------- TOTAL COMMON STOCKS (Cost $3,751,517,081) 4,738,076,624 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (4.5%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05 (Collateralized by $255,811,000 U.S. STRIPS, rates ranging from 7.500% to 9.875%, maturities ranging from 11/15/15 to 11/15/24, valued at $162,719,199) to be repurchased at $159,540,395 (Cost $159,527,456) $ 159,527 159,527,456 Repurchase Agrrement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $67,131,000 FHLMC Notes 4.00%, 09/22/09, valued at $67,214,914) to be repurchased at $66,226,316 (Cost $66,221,000) 66,221 66,221,000 ---------------- 225,748,456 ---------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $225,748,456) 225,748,456 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $3,977,265,537) $ 4,963,825,080 ================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 6 THE DFA INVESTMENT TRUST COMPANY THE U.S. LARGE CAP VALUE SERIES STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investments at Value (including $153,810 of securities on loan) $ 4,963,825 Cash 1 Receivables: Investment Securities Sold 1,427 Dividends and Interest 6,334 Fund Shares Sold 6,047 Securities Lending Income 260 Prepaid Expenses and Other Assets 20 ------------- Total Assets 4,977,914 ------------- LIABILITIES: Payables: Upon Return of Securities Loaned 159,527 Investment Securities Purchased 29,501 Fund Shares Redeemed 109 Due to Advisor 387 Accrued Expenses and Other Liabilities 259 ------------- Total Liabilities 189,783 ------------- NET ASSETS $ 4,788,131 ============= SHARES OUTSTANDING, $0.01 PAR VALUE (Unlimited Number of Shares Authorized) 247,661,374 ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 19.33 ============= Investments at Cost $ 3,977,265 =============
See accompanying Notes to Financial Statements. 15 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Dividends $ 30,069 Interest 644 Income from Securities Lending 501 ------------- Total Investment Income 31,214 ------------- EXPENSES Investment Advisory Services 2,171 Accounting & Transfer Agent Fees 610 Custodian Fees 206 Legal Fees 8 Audit Fees 18 Shareholders' Reports 20 Trustees' Fees and Expenses 16 Other 30 ------------- Total Expenses 3,079 ------------- NET INVESTMENT INCOME (LOSS) 28,135 ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 33,983 Change in Unrealized Appreciation (Depreciation) of Investment Securities 146,995 ------------- NET GAIN (LOSS) 180,978 ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 209,113 =============
See accompanying Notes to Financial Statements. 16 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ----------- ----------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 28,135 $ 45,093 Net Realized Gain (Loss) on Investment Securities Sold 33,983 84,609 Change in Unrealized Appreciation (Depreciation) of Investment Securities 146,995 496,658 ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 209,113 626,360 ----------- ----------- Distributions From: Net Investment Income (26,329) (33,641) Net Long-Term Gains (3,972) -- ----------- ----------- Total Distributions (30,301) (33,641) ----------- ----------- Capital Share Transactions (1): Shares Issued 677,006 857,913 Shares Issued in Lieu of Cash Distributions 28,649 32,697 Shares Redeemed (16,249) (74,078) ----------- ----------- Net Increase (Decrease) from Capital Share Transactions 689,406 816,532 ----------- ----------- Total Increase (Decrease) 868,218 1,409,251 NET ASSETS Beginning of Period 3,919,913 2,510,662 ----------- ----------- End of Period $ 4,788,131 $ 3,919,913 =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 35,683 50,791 Shares Issued in Lieu of Cash Distributions 1,509 1,939 Shares Redeemed (857) (4,363) ----------- ----------- 36,335 48,367 =========== ===========
See accompanying Notes to Financial Statements. 17 THE DFA INVESTMENT TRUST COMPANY THE U.S. LARGE CAP VALUE SERIES 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, 2005 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.12 0.23 0.21 0.20 0.25 0.33 Net Gains (Losses) on Securities (Realized and Unrealized) 0.80 3.09 2.41 (1.43) 1.25 0.04 ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations 0.92 3.32 2.62 (1.23) 1.50 0.37 - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.12) (0.18) (0.22) (0.20) (0.27) (0.32) Net Realized Gains (0.02) -- -- -- (1.50) (3.13) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.14) (0.18) (0.22) (0.20) (1.77) (3.45) - -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 19.33 $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 ================================================================================================================================ Total Return 4.97%# 21.68% 20.34% (8.64)% 10.97% 3.06% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 4,788,131 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343 Ratio of Expenses to Average Net Assets 0.14%* 0.15% 0.15% 0.15% 0.15% 0.16% Ratio of Net Investment Income to Average Net Assets 1.30%* 1.41% 1.62% 1.49% 1.66% 2.20% Portfolio Turnover Rate 3%# 7% 7% 9% 6% 26%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 18 THE DFA INVESTMENT TRUST COMPANY THE U.S. LARGE CAP VALUE SERIES 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. The Trust consists of twenty-one series, of which The U.S. Large Cap Value Series (the "Series") is presented in this report. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the 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 requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Series which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day. Securities held by the Series that are listed on NASDAQ are valued at the NASDAQ Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Series values the securities at the mean between the quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the mean between the most recent bid and asked prices. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Trustees. 2. 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. At May 31, 2005, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities in the amount of $67,547. 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 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 are allocated using methods approved by the Board of Trustees, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Series. For the six months ended May 31, 2005, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.10 of 1% of average daily net assets. Certain officers of the Trust are also officers, directors and shareholders of the Advisor. 19 D. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2005, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands): Purchases $ 765,051 Sales 122,559
There were no purchases or sales of U.S. Government Securities during the six months ended May 31, 2005. E. FEDERAL INCOME TAXES: The Series has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL --------------- ------------- -------- 2004 $ 33,641 -- $ 33,641 2003 31,464 -- 31,464
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
NET TOTAL NET REALIZED DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED EARNINGS NET INVESTMENT LONG-TERM (ACCUMULATED INCOME CAPITAL GAINS (LOSSES) -------------- ------------- -------------- $ 13,203 $ 3,947 $ 17,150
At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amount in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ----------- ------------ ------------ -------------- $ 3,977,265 $ 1,216,187 $ (229,627) $ 986,560
F. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
ACCUMULATED UNREALIZED NET APPRECIATION INVESTMENT ACCUMULATED (DEPRECIATION) PAID-IN INCOME NET REALIZED OF INVESTMENT TOTAL NET CAPITAL (LOSS) GAIN (LOSS) SECURITIES ASSETS --------- ----------- ------------- -------------- --------- $ 3,752,794 $ 14,963 $ 33,814 $ 986,560 $ 4,788,131
20 G. FINANCIAL INSTRUMENTS: In accordance with the Series investment objectives and policies, the Series may invest in certain financial instruments that have off-balance short risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. The instrument and the significant corresponding risk is described below: 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 31, 2005. H. LINE OF CREDIT: The Trust, together with other Dimensional-advised series, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each series is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line are charged interest at the then current federal funds rate plus 1%. Each series is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings by the Series under the line of credit for the six months ended May 31, 2005. The Trust, together with other Dimensional-advised series, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each series is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each series is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings by the Series under the line of credit during the six months ended May 31, 2005. I. SECURITIES LENDING: As of May 31, 2005, the Series had securities on loan to brokers/dealers, for which the Series held cash collateral. The Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% of the market value of the securities on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. The cash collateral received by the Series from securities on loan is invested in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. The Series paid fees for securities lending for the period ended May 31, 2005, which have been netted against the Income from Securities Lending on the Statements of Operations. For the six months ended May 31, 2005 the fees were approximately $126,000. J. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 21 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Trust uses in voting proxies relating to securities held in the portfolio is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dfaus.com and reflects the twelve-month period beginning July 1 and ending June 30. 22 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT At the Board meeting held on December 15, 2004 (the "Meeting"), the Board of Trustees of The DFA Investment Trust Company (the "Board") considered the continuation of the investment management agreement ("Advisory Agreement") for the series (the "Fund"). Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Advisory Agreement. The Independent Board Members, met with their independent counsel in advance of the Meeting to discuss the materials provided by the Advisor, the independent reports prepared by Lipper Analytical Services, Inc., and issues related to the continuation of the Advisory Agreement. At the Meeting, the Board considered a number of factors when considering the continuation of the Advisory Agreement for the Fund, including: (i) the nature, extent and quality of services provided by the Advisor to the Fund; (ii) the performance of the Fund and the Advisor; (iii) the fees and expenses borne by the Fund; (iv) the profitability realized by the Advisor from the relationship with the Fund; (v) whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of the advisory fee charged; (vi) comparisons of the services to be rendered and the amounts to be paid under other advisory contracts; and (vii) any benefits to be derived by the Advisor from its relationship with the Fund. When considering the nature and quality of the services provided by the Advisor to the Fund, the Board reviewed: (a) the scope and depth of the Advisor's organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor's investment advisory capabilities. The Board evaluated the Advisor's portfolio management process. The Board also considered the nature and character of non-investment management services provided by the Advisor. After analyzing the caliber of services provided by the Advisor to the Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to the Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund. In considering the performance of the Fund, the Board analyzed the Lipper reports, which compared the performance of the Fund with other funds in its respective peer group and peer universe, and noted that the performance of the Fund compared favorably with its peer group. The Board determined, among other things, that the performance of the Fund was acceptable as compared with relevant performance standards. When considering the fees and expenses borne by the Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Lipper reports. The Board concluded that the advisory fees and total expenses of the Fund over various periods were favorable in relation to its peer funds, and that the advisory fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large. The Board considered the profitability of the Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to the Fund, including administrative fees paid by the feeder portfolios. The Board considered the profitability to the Advisor of managing the Fund and other "non-1940 Act registered" investment vehicles. Upon closely examining the Advisor's profitability, the Board concluded, among other things, that it was reasonable. The Board also discussed whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of advisory fee charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory fee charged were inapplicable to the Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund. After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Advisory Agreement for the Fund was in the best interests of the Fund and its shareholders. 23 [THIS PAGE INTENTIONALLY LEFT BLANK] [THIS PAGE INTENTIONALLY LEFT BLANK] ================================================================================ Dimensional Investment Group Inc. U.S. Small Cap Value Portfolio II SEMI-ANNUAL REPORT Six Months Ended May 31, 2005 (Unaudited) ================================================================================ DIMENSIONAL INVESTMENT GROUP INC. U.S. SMALL CAP VALUE PORTFOLIO II SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS
PAGE --------- DIMENSIONAL INVESTMENT GROUP INC. Disclosure of Fund Expenses 1 Disclosure of Portfolio Holdings 2 Statement of Assets and Liabilities 3 Statement of Operations 4 Statements of Changes in Net Assets 5 Financial Highlights 6 Notes to Financial Statements 7 THE DFA INVESTMENT TRUST COMPANY -- THE U.S. SMALL CAP VALUE SERIES Disclosure of Fund Expenses 10 Disclosure of Portfolio Holdings 11 Schedule of Investments 12 Statement of Assets and Liabilities 15 Statement of Operations 16 Statements of Changes in Net Assets 17 Financial Highlights 18 Notes to Financial Statements 19 VOTING PROXIES ON FUND PORTFOLIO SECURITIES 22 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 23
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DIMENSIONAL INVESTMENT GROUP INC. U.S. SMALL CAP VALUE PORTFOLIO II DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ---------- ---------- ---------- -------- Actual Fund Return $ 1,000.00 $ 996.20 0.27% $ 1.34 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 1 DIMENSIONAL INVESTMENT GROUP INC. U.S. SMALL CAP VALUE PORTFOLIO II DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The Dimensional Investment Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Investment Companies 100.0% ----- 100.0% =====
2 DIMENSIONAL INVESTMENT GROUP INC. U.S. SMALL CAP VALUE PORTFOLIO II STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investment in The U.S. Small Cap Value Series of The DFA Investment Trust Company (24,365,871 Shares, Cost $427,987) at Value+ $ 521,673 Receivable for Investment Securities Sold 354 Prepaid Expenses and Other Assets 12 -------------- Total Assets 522,039 -------------- LIABILITIES: Payables: Fund Shares Redeemed 354 Due to Advisor 4 Accrued Expenses and Other Liabilities 30 -------------- Total Liabilities 388 -------------- NET ASSETS $ 521,651 ============== SHARES OUTSTANDING, $0.01 PAR VALUE (Authorized 200,000,000 Shares) 20,968,148 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 24.88 ==============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 3 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company $ 2,881 -------------- EXPENSES Administrative Services 26 Accounting & Transfer Agent Fees 3 Legal Fees 7 Audit Fees 2 Filing Fees 14 Shareholders' Reports 14 Directors' Fees and Expenses 2 -------------- Total Expenses 68 -------------- NET INVESTMENT INCOME (LOSS) 2,813 -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from The DFA Investment Trust Company 46,705 Net Realized Gain (Loss) on Investment Securities Sold (3,416) Change in Unrealized Appreciation (Depreciation) of Investment Securities (48,581) -------------- NET GAIN (LOSS) (5,292) -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (2,479) ==============
See accompanying Notes to Financial Statements. 4 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 -------------- -------------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 2,813 $ 1,252 Capital Gain Distributions Received from The DFA Investment Trust Company 46,705 24,964 Net Realized Gain (Loss) on Investment Securities Sold (3,416) (1,997) Change in Unrealized Appreciation (Depreciation) of Investment Securities (48,581) 72,242 -------------- -------------- Net Increase (Decrease) in Net Assets Resulting from Operations (2,479) 96,461 -------------- -------------- Distributions From: Net Investment Income (2,817) (2,692) Net Short-Term Gains (5,734) (3,903) Net Long-Term Gains (21,059) (10,169) -------------- -------------- Total Distributions (29,610) (16,764) -------------- -------------- Capital Share Transactions (1): Shares Issued 76,500 165,567 Shares Issued in Lieu of Cash Distributions 29,610 16,764 Shares Redeemed (49,710) (71,094) -------------- -------------- Net Increase (Decrease) from Capital Share Transactions 56,400 111,237 -------------- -------------- Total Increase (Decrease) 24,311 190,934 NET ASSETS Beginning of Period 497,340 306,406 -------------- -------------- End of Period $ 521,651 $ 497,340 ============== ============== (1) SHARES ISSUED AND REDEEMED: Shares Issued 3,022 7,052 Shares Issued in Lieu of Cash Distributions 1,175 774 Shares Redeemed (1,998) (3,094) -------------- -------------- 2,199 4,732 ============== ==============
See accompanying Notes to Financial Statements. 5 DIMENSIONAL INVESTMENT GROUP INC. U.S. SMALL CAP VALUE PORTFOLIO II 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, 2005 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 26.50 $ 21.83 $ 15.53 $ 17.52 $ 15.65 $ 16.26 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.43 0.34 0.12 0.10 0.12 0.13 Net Gains (Losses) on Securities (Realized and Unrealized) (0.51) 5.47 6.78 0.13 3.28 0.91 ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations (0.08) 5.81 6.90 0.23 3.40 1.04 - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.43) (0.44) (0.10) (0.12) (0.13) (0.11) Net Realized Gains (1.11) (0.70) (0.50) (2.10) (1.40) (1.54) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (1.54) (1.14) (0.60) (2.22) (1.53) (1.65) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 24.88 $ 26.50 $ 21.83 $ 15.53 $ 17.52 $ 15.65 ================================================================================================================================= Total Return (0.38)%# 27.83% 46.30% 0.93% 23.65% 7.07% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 521,651 $ 497,340 $ 306,406 $ 174,588 $ 123,888 $ 76,993 Ratio of Expenses to Average Net Assets** 0.27%* 0.28% 0.30% 0.33% 0.42% 0.42% Ratio of Net Investment Income to Average Net Assets 1.09%* 0.31% 0.82% 0.61% 0.79% 0.76% Portfolio Turnover Rate of Master Fund Series 14%# 26% 35% 30% 13% 32%
- ---------- * Annualized # Non-annualized ** Represents the combined ratios for the portfolio and its pro-rata share of the Master Fund Series. See accompanying Notes to Financial Statements. 6 DIMENSIONAL INVESTMENT GROUP INC. U.S. SMALL CAP VALUE PORTFOLIO II 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 consists of sixteen portfolios, of which U.S. Small Cap Value Portfolio II (the "Portfolio") is presented in this report. The Portfolio invests all of its assets in The U.S. Small Cap Value Series (the "Series"), a corresponding series of The DFA Investment Trust Company. At May 31, 2005, the Portfolio owned 8% of the outstanding shares of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The shares of the Series held by the Portfolio are valued at its respective daily net asset value. 2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $8,343. 3. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Expenses directly attributable to the Portfolio are directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides administrative services to the Portfolio, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. The Advisor provides investment advisory services to the Series. For the six months ended May 31, 2005, the Portfolio's administrative fees were accrued daily and paid monthly to the Advisor at an effective annual rate of 0.01 of 1% of average daily net assets. 7 Certain officers of the Fund are also officers, directors and shareholders of the Advisor. Pursuant to the Fee Expense Waiver and Assumption Agreement for the Portfolio, the Advisor has agreed to waive its administration fee and to assume the Portfolio's direct and indirect expenses (including the expenses the Portfolio bears as a shareholder of the Master Fund) to the extent necessary to limit the expenses of the Portfolio to 0.75% of its average net assets on an annualized basis. At any time that the total direct and indirect expenses of the Portfolio are less than 0.75% of its average net assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses assumed to the extent that such reimbursement will not cause the Portfolio's annualized expenses to exceed 0.75% of its average net assets. The Portfolio is not obligated to reimburse the Advisor for fees waived or expenses assumed by the Advisor more than thirty-six months prior to the date of such reimbursement. The Fee Expense Waiver and Assumption Agreement shall remain in effect for a period of one year from April 1, 2005 to April 1, 2006 and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. At May 31, 2005, there are no previously waived fees subject to future reimbursement to the Advisor. D. FEDERAL INCOME TAXES: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL ------------- ------------- --------- 2004 $ 6,595 $ 10,169 $ 16,764 2003 1,124 5,607 6,731
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/ (accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED EARNINGS NET INVESTMENT LONG-TERM (ACCUMULATED INCOME CAPITAL GAINS LOSSES) -------------- ------------- ------------- $ 244 $ 21,055 $ 21,299
At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) -------- ------------ ------------ -------------- $ 450,734 $ 93,686 $ (22,747) $ 70,939
8 E. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
ACCUMULATED UNREALIZED NET REALIZED APPRECIATION ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET PAID-IN CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS --------------- -------------- -------------- ----------------- --------- $ 409,973 $ (31) $ 18,023 $ 93,686 $ 521,651
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 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings by the Portfolio under the discretionary line of credit during the six months ended May 31, 2005. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused line of credit. The agreement of the line of credit expires on April 2, 2006. There were no borrowings by the Portfolio under the line of credit during the six months ended May 31, 2005. G. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 9 THE DFA INVESTMENT TRUST COMPANY THE U.S. SMALL CAP VALUE SERIES DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do no apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ---------- ---------- ---------- -------- Actual Fund Return $ 1,000.00 $ 996.40 0.24% $ 1.19 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.80 0.24% $ 1.21
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 10 THE DFA INVESTMENT TRUST COMPANY THE U.S. SMALL CAP VALUE SERIES DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment Trust Company, this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Consumer Discretionary 24.1% Industrials 20.7 Financials 13.2 Information Technology 11.9 Materials 9.8 Energy 8.5 Health Care 5.0 Consumer Staples 4.8 Telecommunication Services 1.0 Other 0.6 Utilities 0.4 ----- 100.0% =====
11 THE U.S. SMALL CAP VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- COMMON STOCKS -- (95.1%) Consumer Discretionary -- (23.0%) * 4Kids Entertainment, Inc. 112,600 $ 2,139,400 * Acme Communications, Inc. 477,511 1,890,944 * ACT Teleconferencing, Inc. 97,261 57,384 Action Performance Companies, Inc. 479,800 4,466,938 * Advanced Marketing Services, Inc. 218,100 888,757 * Aftermarket Technology Corp. 58,523 897,743 * Alderwoods Group, Inc. 107,600 1,490,260 * All American Semiconductor, Inc. 29,260 140,155 * Alloy, Inc. 869,729 4,470,407 * Amcast Industrial Corp. 149,400 2,913 American Axle & Manufacturing Holdings, Inc. 625,500 12,947,850 * American Biltrite, Inc. 45,600 428,640 American Greetings Corp. Class A 1,194,800 31,040,904 * AMS Health Sciences, Inc. 11,400 20,406 Andersons, Inc. 96,900 3,178,320 * Applica, Inc. 813,100 2,325,466 * Arlington Hospitality, Inc. 70,000 87,500 ArvinMeritor, Inc. 1,700 24,480 * Ashworth, Inc. 443,189 4,254,614 * Audiovox Corp. Class A 677,417 9,910,611 * # Avatar Holdings, Inc. 75,500 3,616,450 * Aztar Corp. 578,000 18,461,320 * Ballantyne of Omaha, Inc. 32,200 140,070 * # Bally Total Fitness Holding Corp. 1,006,100 3,058,544 Bandag, Inc. 138,319 6,401,403 Bandag, Inc. Class A 112,600 4,701,050 * Barry (R.G.) Corp. 153,064 688,788 Bassett Furniture Industries, Inc. 389,375 7,604,494 * Big Lots, Inc. 1,150,800 14,569,128 Blair Corp. 270,790 10,574,349 # Blockbuster, Inc. Class A 239,800 2,189,374 * Bluegreen Corp. 927,398 15,635,930 Bob Evans Farms, Inc. 646,328 15,124,075 * Bombay Co., Inc. 1,220,940 6,507,610 Bon-Ton Stores, Inc. 450,660 8,143,426 Books-A-Million, Inc. 318,800 2,684,296 Bowl America, Inc. Class A 35,822 479,836 * Boyds Collection, Ltd. 652,700 1,429,413 * # Brillian Corp. 126,175 393,666 Brown Shoe Company, Inc. 369,000 12,951,900 * Buca, Inc. 618,860 3,156,186 Building Materials Holding Corp. 78,715 4,882,691
1 * Bull Run Corp. 6,860 4,939 Burlington Coat Factory Warehouse Corp. 1,487,301 49,304,028 * CabelTel International Corp. 1,070 5,403 * California Coastal Communities, Inc. 71,400 2,112,726 Callaway Golf Co. 904,100 10,568,929 * Capital Pacific Holdings, Inc. 201,300 829,356 * Carriage Services, Inc. 515,900 3,033,492 * Casual Male Retail Group, Inc. 233,565 1,646,633 * Catalina Lighting, Inc. 22,040 181,830 * Cavalier Homes, Inc. 367,281 1,340,576 * Championship Auto Racing Teams, Inc. 70,000 11,550 * Champps Entertainment, Inc. 370,096 2,979,273 * Charlotte Russe Holding, Inc. 122,206 1,460,362 * Charming Shoppes, Inc. 3,535,465 31,925,249 * # Charter Communications, Inc. 116,600 132,924 * Chromcraft Revington, Inc. 5,900 70,800 Coachmen Industries, Inc. 534,700 6,550,075 Coast Distribution System, Inc. 97,600 443,104 * Coastcast Corp. 101,900 236,917 * Cobra Electronics Corp. 84,100 597,110 * # Collins & Aikman Corp. 1,907,794 216,535 * Concord Camera Corp. 794,700 1,033,110 * Congoleum Corp. Class A 97,400 409,080 * Cooker Restaurant Corp. 109,768 560 Cooper Tire & Rubber Co. 1,295,300 24,662,512 * Cost-U-Less, Inc. 31,041 259,503 * Crown Media Holdings, Inc. 137,065 1,287,040 CSS Industries, Inc. 252,150 7,766,220 * Culp, Inc. 366,418 1,593,918 * Cumulus Media, Inc. Class A 1,050,207 13,117,085 Cutter & Buck, Inc. 305,437 4,010,388 * # Cybex International, Inc. 114,200 349,452 * Dan River, Inc. Class A 500 0 * Dave & Busters, Inc. 182,140 3,271,234 Decorator Industries, Inc. 22,132 181,261 Delta Apparel, Inc. 104,000 3,054,480 * Delta Woodside Industries, Inc. 130,000 84,500 * Department 56, Inc. 168,900 1,884,924 * Diedrich Coffee, Inc. 13 54 * Dixie Group, Inc. 366,399 5,430,033 * Dominion Homes, Inc. 213,866 3,321,339 Dover Motorsports, Inc. 397,100 2,287,296 * drugstore.com, Inc. 211,194 726,507 * Duckwall-ALCO Stores, Inc. 103,200 2,038,200 * Dura Automotive Systems, Inc. 625,874 2,672,482 * E Com Ventures, Inc. 548 7,809 * ELXSI Corp. 27,900 92,070 * EMAK Worldwide, Inc. 1,100 12,100 * Emerson Radio Corp. 3,712 9,577 * # Emmis Communications Corp. Class A 206,272 3,663,391 * Enesco Group, Inc. 463,300 1,783,705 * Entravision Communications Corp. 2,028,098 15,068,768 * Fab Industries, Inc. 82,381 247,143 * Fairchild Corp. Class A 697,129 1,603,397 * Featherlite, Inc. 39,750 164,962
2 Fedders Corp. 47,766 106,041 Federal Screw Works 3,125 68,125 * # Federal-Mogul Corp. 823,500 494,100 * Finlay Enterprises, Inc. 220,200 2,858,196 * # Fleetwood Enterprises, Inc. 44,300 423,951 Flexsteel Industries, Inc. 90,400 1,266,504 * # Footstar, Inc. 509,400 2,152,215 * Franklin Covey Co. 341,800 2,119,160 * Franklin Electronic Publishers, Inc. 112,300 421,125 * # Friedmans, Inc. Class A 592,200 580,356 Furniture Brands International, Inc. 1,122,036 22,564,144 * # Gadzooks, Inc. 238,170 10,479 * Gaiam, Inc. 19,084 113,746 GameTech International, Inc. 79,900 222,122 * Gaylord Entertainment Co. 1,261,985 53,041,230 * G-III Apparel Group, Ltd. 98,600 709,920 Goody's Family Clothing, Inc. 591,800 4,201,780 * Gottschalks, Inc. 223,900 2,406,925 Gray Television, Inc. 1,457,650 17,127,387 Gray Television, Inc. Class A 40,650 449,589 * Group 1 Automotive, Inc. 775,500 20,713,605 Haggar Corp. 102,925 1,899,995 * Ha-Lo Industries, Inc. 223,600 157 * Hampshire Group, Ltd. 19,100 759,416 Hancock Fabrics, Inc. 446,400 2,629,296 Handleman Co. 669,676 12,154,619 * Harolds Stores, Inc. 2,000 2,900 * Harris Interactive, Inc. 124,343 613,011 * Hartmarx Corp. 753,900 7,146,972 * Hastings Entertainment, Inc. 353,500 2,110,395 * Hastings Manufacturing Co. 1,700 2,975 Haverty Furniture Co., Inc. 204,300 2,886,759 * Hayes Lemmerz International, Inc. 75,290 489,385 * Hollywood Media Corp. 283,300 1,314,512 * Huffy Corp. 3,725 317 * Image Entertainment, Inc. 17,600 70,576 * IMPCO Technologies, Inc. 239,200 794,144 * Infosonics Corp. 55,100 164,749 * Insight Communications Co., Inc. 1,408,916 15,920,751 * Insight Enterprises, Inc. 535,133 10,477,904 * Interface, Inc. Class A 1,248,707 9,552,609 Intermet Corp. 478 53 * Interstate Hotels & Resorts, Inc. 194,340 893,964 * J. Alexander's Corp. 107,200 796,496 * J. Jill Group, Inc. 57,240 729,810 * Jaclyn, Inc. 26,900 165,435 * Jakks Pacific, Inc. 894,346 18,486,132 * Jo-Ann Stores, Inc. 401,100 10,729,425 * Johnson Outdoors, Inc. 121,800 2,132,718 * K2, Inc. 1,616,510 20,351,861 Kellwood Co. 944,017 23,751,468 Kimball International, Inc. Class B 713,285 8,773,405 * # KIT Manufacturing Co. 1,400 1 Knape & Vogt Manufacturing Co. 37,434 421,132 * LaCrosse Footwear, Inc. 29,400 291,060
3 * Lakes Entertainment, Inc. 204,994 2,548,075 Landry's Restaurants, Inc. 924,835 27,717,305 * Lazare Kaplan International, Inc. 126,800 1,093,016 La-Z-Boy, Inc. 1,106,697 14,774,405 * Learning Care Group, Inc. 43,500 160,950 Libbey, Inc. 2,800 53,340 Liberty Corp. 493,150 17,807,646 * Lin TV Corp. 551,600 8,025,780 * Linens 'n Things, Inc. 1,050,175 25,592,765 Lithia Motors, Inc. Class A 521,975 13,884,535 * Lodgenet Entertainment Corp. 26,000 440,960 * Lodgian, Inc. 3,444 32,718 Lone Star Steakhouse & Saloon, Inc. 680,376 20,554,159 * LOUD Technologies, Inc. 1,000 3,500 * Luby's, Inc. 744,900 6,137,976 M/I Homes, Inc. 274,400 13,851,712 * Madden (Steven), Ltd. 147,263 2,615,391 * Magic Lantern Group, Inc. 28,600 2,059 * Magna Entertainment Corp. 158,300 842,156 * Main Street Restaurant Group, Inc. 287,364 994,279 * Marisa Christina, Inc. 93,900 85,449 * Marlton Technologies, Inc. 96,500 78,165 * Mayor's Jewelers, Inc. 291,200 165,984 McRae Industries, Inc. Class A 32,700 383,244 * Meade Instruments Corp. 620,433 1,712,395 Media General, Inc. Class A 49,100 3,000,010 * Merisel, Inc. 3,600 25,920 * Mestek, Inc. 13,500 347,355 * Michael Anthony Jewelers, Inc. 21 61,530 Modine Manufacturing Co. 592,427 18,009,781 Monaco Coach Corp. 524,500 8,607,045 * Mothers Work, Inc. 77,906 1,061,859 * # Motorcar Parts of America, Inc. 63,350 666,759 Movado Group, Inc. 544,900 9,187,014 * Nathan's Famous, Inc. 106,400 881,950 National Presto Industries, Inc. 135,950 5,825,457 * National RV Holdings, Inc. 267,650 2,374,055 * Nature Vision, Inc. 2,100 9,723 * Navigant International, Inc. 514,301 6,511,051 * Nitches, Inc. 4,047 18,171 * Nobel Learning Communities, Inc. 83,500 730,625 * O'Charleys, Inc. 215,116 3,994,704 * Odd Job Stores, Inc. 175,300 26,295 Ohio Art Co. 3,500 25,375 * One Price Clothing Stores, Inc. 37,085 28 * # Oneida, Ltd. 179,800 422,530 * Opinion Research Corp. 20,000 140,800 * Palm Harbor Homes, Inc. 142,311 2,665,485 * Paxson Communications Corp. 462,700 347,025 * Payless Cashways, Inc. 684 1 * Payless ShoeSource, Inc. 1,874,500 31,547,835 * PC Mall, Inc. 10,431 51,624 Pep Boys - Manny, Moe & Jack 1,917,700 25,620,472 * Perry Ellis International, Inc. 286,928 5,738,560 Phillips-Van Heusen Corp. 814,800 25,250,652
4 * Pinnacle Entertainment, Inc. 569,700 9,929,871 * Pomeroy IT Solutions, Inc. 402,743 5,070,534 Pulitzer, Inc. 198,300 12,683,268 * QEP Co., Inc. 20,600 213,828 # Quaker Fabric Corp. 554,815 1,930,756 * Quantum Fuel Systems Technologies Worldwide, Inc. 11,850 50,362 * R&B, Inc. 243,462 3,274,564 * Radio One, Inc. 150,512 1,899,461 Raytech Corp. 26,800 41,540 * Reading International, Inc. Class A 213,799 1,423,901 * Reading International, Inc. Class B 14,660 95,290 * Regent Communications, Inc. 1,398,651 8,391,906 * Rent-Way, Inc. 751,700 6,968,259 * Reptron Electronics, Inc. 2,856 3,998 * Retail Ventures, Inc. 1,086,073 12,240,043 * Rex Stores Corp. 350,850 4,911,900 * Rexhall Industries, Inc. 33,598 6,216 * Riviera Holdings Corp. 16,500 334,125 * # Rockford Corp. 173,400 452,574 * Rocky Shoes & Boots, Inc. 31,787 940,577 * Rubio's Restaurants, Inc. 111,814 1,023,098 Russ Berrie & Co., Inc. 201,700 2,624,117 Russell Corp. 1,071,600 20,038,920 * Ryan's Restaurant Group, Inc. 676,815 9,448,337 * S&K Famous Brands, Inc. 78,600 1,257,600 * Safety Components International, Inc. 1,155 16,112 * # Salton, Inc. 371,100 385,944 * Sands Regent Casino Hotel 15,492 146,554 Saucony, Inc. Class B 35,454 694,898 * Schieb (Earl), Inc. 75,600 255,150 * Scholastic Corp. 114,299 4,288,498 Service Corp. International 3,615,208 27,403,277 * Sharper Image Corp. 208,368 2,769,211 * Shiloh Industries, Inc. 231,636 2,619,803 * Shoe Carnival, Inc. 446,414 8,182,769 * # Shoe Pavilion, Inc. 9,500 45,030 * ShopKo Stores, Inc. 851,000 20,177,210 * Six Flags, Inc. 3,136,600 13,832,406 * Skechers U.S.A., Inc. Class A 71,332 903,776 Skyline Corp. 118,700 4,641,170 * Smith & Wollensky Restaurant Group, Inc. 160,400 1,008,916 Sonic Automotive, Inc. 980,893 20,912,639 * Southern Energy Homes, Inc. 180,800 1,057,680 * Spanish Broadcasting System, Inc. 12,300 106,395 * SPAR Group, Inc. 4,700 10,058 * Sport Chalet, Inc. 45,900 670,140 * Sport Supply Group, Inc. 105,400 330,956 * Sport-Haley, Inc. 60,800 213,408 * Stage Stores, Inc. 281,266 10,983,437 Standard Motor Products, Inc. 615,650 6,938,375 Star Buffet, Inc. 7,200 50,328 * Steinway Musical Instruments, Inc. 249,800 7,074,336 Stewart Enterprises, Inc. 3,387,678 20,055,054 * Stoneridge, Inc. 667,200 5,217,504 Stride Rite Corp. 1,181,600 14,049,224
5 # Superior Industries International, Inc. 634,300 14,366,895 Superior Uniform Group, Inc. 136,600 1,891,910 Syms Corp. 343,900 4,498,212 * Systemax, Inc. 517,100 3,293,927 * Tag-It Pacific, Inc. 54,100 126,594 Tandy Brand Accessories, Inc. 63,700 837,018 * Tarrant Apparel Group 287,100 780,912 The Marcus Corp. 680,600 14,993,618 * The Rowe Companies 9,400 36,284 * The Sports Authority, Inc. 504,500 16,144,000 * The Sports Club Co., Inc. 115,700 190,905 * # Tower Automotive, Inc. 1,597,350 169,319 Traffix, Inc. 259,000 1,243,200 * Trans World Entertainment Corp. 1,067,874 13,882,362 * # Transpro, Inc. 191,600 1,300,964 * # Tweeter Home Entertainment Group, Inc. 804,706 2,848,659 * Unapix Entertainment, Inc. 5,800 23 * Unifi, Inc. 1,666,066 5,348,072 Unifirst Corp. 276,600 10,123,560 United Auto Group, Inc. 1,532,900 47,213,320 * United Retail Group, Inc. 304,501 2,113,237 * Vail Resorts, Inc. 978,523 26,909,382 * Virco Manufacturing Corp. 60,786 437,659 # Visteon Corp. 3,494,865 26,665,820 * Warnaco Group, Inc. 226,826 4,840,467 * WCI Communities, Inc. 813,900 24,335,610 Wellco Enterprises, Inc. 100 1,313 * Wells-Gardner Electronics Corp. 64,303 218,630 * West Marine, Inc. 117,528 1,949,790 * Westcoast Hospitality Corp. 290,000 1,998,100 * Whitehall Jewelers, Inc. 374,500 2,715,125 * Wickes, Inc. 49,400 148 * Wilsons The Leather Experts, Inc. 477,301 2,801,757 * Worldwide Restaurant Concepts, Inc. 794,905 5,095,341 * Zapata Corp. 252,880 1,636,134 ---------------- Total Consumer Discretionary (Cost $1,391,142,561) 1,562,379,929 ---------------- Industrials -- (19.7%) * AAR Corp. 1,096,630 17,589,945 * Ablest, Inc. 16,800 116,256 Abrams Industries, Inc. 10,000 52,700 * ABX Air, Inc. 534,400 4,018,688 * Active Power, Inc. 991,749 2,657,887 * AirNet Systems, Inc. 312,700 1,560,373 Alamo Group, Inc. 158,700 3,237,480 * Alaska Air Group, Inc. 1,004,900 29,664,648 Alexander & Baldwin, Inc. 659,654 29,321,620 * Allied Defense Group, Inc. 148,100 3,530,704 * Allied Holdings, Inc. 111,535 122,689 Ambassadors International, Inc. 159,500 2,044,790 * Amerco, Inc. 113,000 6,009,340 * # America West Holdings Corp. Class B 674,200 3,775,520 Ameron International Corp. 280,205 9,246,765 Ampco-Pittsburgh Corp. 200,200 2,308,306
6 Amrep Corp. 96,692 2,099,183 Angelica Corp. 206,900 5,476,643 Applied Industrial Technologies, Inc. 997,000 30,348,680 Arkansas Best Corp. 6,600 216,018 * # Armstrong Holdings, Inc. 387,200 1,188,704 * Astronics Corp. 27,443 220,916 * # AstroPower, Inc. 22,344 22 * # ATA Holdings Corp. 184,300 165,870 * Ault, Inc. 93,400 232,566 * Avalon Holding Corp. Class A 25,112 122,798 * AZZ, Inc. 81,100 1,298,411 * Baldwin Technology Co., Inc. Class A 219,700 659,100 Barnes Group, Inc. 48,000 1,472,640 * Barrett Business Services, Inc. 69,789 1,009,149 Bowne & Co., Inc. 1,182,413 15,666,972 * BTU International, Inc. 91,200 345,648 * Butler International, Inc. 81,200 267,960 C&D Technologies, Inc. 375,000 2,745,000 * Cannon Express, Inc. 900 0 * Capstone Turbine Corp. 62,150 62,150 * Catalytica Energy Systems, Inc. 237,200 467,284 CDI Corp. 205,988 4,395,784 * Celadon Group, Inc. 25,710 465,351 Central Parking Corp. 1,207,037 20,398,925 * Century Business Services, Inc. 1,680,956 6,740,634 * Cenveo, Inc. 398,100 3,336,078 Champion Industries, Inc. 104,200 437,640 * Channell Commercial Corp. 17,600 105,952 Chicago Rivet & Machine Co. 10,800 321,624 CIRCOR International, Inc. 515,323 12,754,244 Collins Industries, Inc. 30,500 152,500 * Columbus McKinnon Corp. 88,565 836,054 * Comforce Corp. 58,000 112,520 * Comfort Systems USA, Inc. 1,335,300 8,399,037 * Compudyne Corp. 57,485 347,784 CompX International, Inc. 37,300 538,985 * # Consolidated Freightways Corp. 24,700 74 * Consolidated Graphics, Inc. 213,494 9,037,201 * # Continental Airlines, Inc. 2,267,500 31,427,550 * Cornell Companies, Inc. 461,048 5,919,856 * Correctional Services Corp. 247,312 714,707 * Corrections Corporation of America 8,600 310,460 * Corrpro Companies, Inc. 88,475 70,780 * Covenant Transport, Inc. Class A 405,987 5,635,100 * Cross (A.T.) Co. Class A 234,300 1,178,529 * Crown Andersen, Inc. 22,900 23,473 Cubic Corp. 51,500 906,400 * Distributed Energy Systems Corp. 1,020,622 3,388,465 * Dollar Thrifty Automotive Group, Inc. 854,400 30,749,856 * Ducommun, Inc. 192,279 3,162,990 Eastern Co. 29,400 649,446 Ecology & Environment, Inc. Class A 28,100 182,650 * Electro Rent Corp. 380,804 4,474,447 * EMCOR Group, Inc. 376,319 17,875,153 * Encore Wire Corp. 32,856 361,416
7 * EnPro Industries, Inc. 449,944 12,179,984 Espey Manufacturing & Electronics Corp. 3,800 102,030 * Esterline Technologies Corp. 731,493 28,455,078 * Evergreen Solar, Inc. 131,503 664,090 Federal Signal Corp. 499,815 7,812,108 * First Aviation Services, Inc. 9,000 36,900 * First Consulting Group, Inc. 87,892 455,281 * # Flow International Corp. 34,100 221,650 * Flowserve Corp. 1,864,640 54,950,941 * Foster (L.B.) Co. Class A 162,400 1,461,600 * Foster Wheeler, Ltd. 46,355 686,054 * Frontier Airlines, Inc. 1,133,239 13,836,848 * Frozen Food Express Industries, Inc. 464,747 4,996,030 * FTI Consulting, Inc. 265,600 5,840,544 * FuelCell Energy, Inc. 114,471 931,794 GATX Corp. 1,577,900 52,654,523 * Gehl Co. 200,998 6,027,528 Gencorp, Inc. 317,040 5,992,056 * Genesee & Wyoming, Inc. 187,036 5,225,786 * GP Strategies Corp. 235,265 1,670,382 Graham Corp. 25,950 524,709 Granite Construction, Inc. 1,100 25,795 Hardinge, Inc. 148,600 2,409,995 * Hawaiian Holdings, Inc. 498,455 2,661,750 * Hawk Corp. 138,900 1,554,291 Heico Corp. 307,000 6,477,700 Heico Corp. Class A 25,251 423,964 * Herley Industries, Inc. 360,613 6,314,342 * Hexcel Corp. 599,250 9,791,745 * Hudson Technologies, Inc. 52,500 48,300 Hughes Supply, Inc. 347,316 9,030,216 IKON Office Solutions, Inc. 1,777,700 17,225,913 * Industrial Distribution Group, Inc. 308,575 2,712,374 * Innotrac Corp. 119,600 1,015,404 * Insituform Technologies, Inc. Class A 106,525 1,580,831 * # Integrated Electrical Services, Inc. 1,097,600 1,668,352 International Aluminum Corp. 55,800 1,925,100 * International Shipholding Corp. 80,650 1,177,490 Interpool, Inc. 594,914 12,921,532 * Jacuzzi Brands, Inc. 78,400 800,464 * JPS Industries, Inc. 43,200 207,360 * Kadant, Inc. 465,860 9,550,130 Kaman Corp. Class A 713,954 11,044,868 * # Kansas City Southern 2,225,700 44,491,743 Kelly Services, Inc. Class A 248,533 6,911,703 * Key Technology, Inc. 19,200 211,200 * K-Tron International, Inc. 6,300 180,180 * Ladish Co., Inc. 299,510 3,324,561 * Lancer Corp. 108,400 1,875,320 Lawson Products, Inc. 16,228 694,558 * LMI Aerospace, Inc. 29,100 131,648 LSI Industries, Inc. 348,083 4,730,448 * Lydall, Inc. 511,600 4,215,584 * Lynch Corp. 6,200 57,040 * Mac-Gray Corp. 324,700 2,831,384
8 * Magnetek, Inc. 896,500 1,981,265 * MAIR Holdings, Inc. 560,851 5,350,519 * Marten Transport, Ltd. 200 3,922 * Mastec, Inc. 1,177,200 9,959,112 * Maxco, Inc. 38,500 168,284 * # MCSi, Inc. 27,200 3 * Meadow Valley Corp. 44,064 232,658 * # Medialink Worldwide, Inc. 63,000 198,450 Mercury Air Group, Inc. 39,650 137,189 * Merrimac Industries, Inc. 35,170 313,013 * # Mesa Air Group, Inc. 134,170 856,005 * MFRI, Inc. 59,900 464,764 * # Midwest Air Group, Inc. 582,802 1,142,292 * Milacron, Inc. 1,148,968 2,504,750 * Misonix, Inc. 120,285 693,082 * Mobile Mini, Inc. 273,821 10,109,471 * # Modtech Holdings, Inc. 462,114 2,865,107 * Moore Handley, Inc. 2,000 8,000 Mueller (Paul) Co. 2,300 68,425 Mueller Industries, Inc. 1,134,866 30,641,382 NACCO Industries, Inc. Class A 116,800 11,972,000 * Nashua Corp. 116,000 1,044,000 * # National Patent Development Corp. 235,265 550,520 * National Technical Systems, Inc. 128,684 584,225 * NCI Building Systems, Inc. 473,898 16,368,437 * NCO Group, Inc. 1,058,221 21,016,279 * NES Rentals Holdings, Inc. 448 4,390 * New Horizons Worldwide, Inc. 112,075 404,591 * North America Galvanizing & Coatings, Inc. 73,400 149,736 * On Assignment, Inc. 614,067 3,254,555 * Orbital Sciences Corp. 34,300 333,053 Outlook Group Corp. 59,300 468,470 * Patrick Industries, Inc. 96,250 862,015 * Peerless Manufacturing Co. 20,100 279,591 * PHH Corp. 100 2,399 * Pico Holdings, Inc. 202,251 5,236,278 * Power-One, Inc. 24,696 135,334 * PPT Vision, Inc. 22,250 28,258 Preformed Line Products Co. 14,300 488,059 * PRG-Schultz International, Inc. 556,949 2,149,823 * Protection One, Inc. 61 1,220 Providence & Worcester Railroad Co. 47,100 624,075 * Quanta Services, Inc. 3,830,850 34,592,576 * RailAmerica, Inc. 1,246,038 14,541,263 * RCM Technologies, Inc. 234,100 1,076,860 * Refac 11,357 56,728 Regal-Beloit Corp. 822,383 21,135,243 * RemedyTemp, Inc. 184,200 1,814,370 * # Riviera Tool Co. 16,500 17,903 Robbins & Myers, Inc. 479,900 11,349,635 * Rush Enterprises, Inc. Class A 147,934 2,128,770 * Rush Enterprises, Inc. Class B 105,400 1,533,570 * Schuff International, Inc. 106,600 327,795 * SCS Transportation, Inc. 506,932 9,251,509 * Secom General Corp. 11,500 16,445
9 * Sequa Corp. Class A 94,900 5,504,200 * Sequa Corp. Class B 28,900 1,712,614 * Servotronics, Inc. 400 1,900 * Shaw Group, Inc. 2,106,898 42,453,995 * Sholodge, Inc. 71,600 281,030 * SIFCO Industries, Inc. 74,715 256,272 * Sitel Corp. 984,800 1,949,904 Skywest, Inc. 358,377 6,536,796 Smith (A.O.) Corp. 716,100 22,456,896 Smith (A.O.) Corp. Convertible Class A 70,050 2,196,768 * Smithway Motor Xpress Corp. Class A 73,800 442,800 * SOURCECORP, Inc. 491,436 10,521,645 * Spacehab, Inc. 120,247 169,548 * Sparton Corp. 126,528 1,262,749 * Spherion Corp. 1,999,689 10,938,299 Standard Register Co. 677,399 9,619,066 Starrett (L.S.) Co. Class A 64,600 1,102,722 * Sterling Construction Co., Inc. 1,100 8,118 Stewart & Stevenson Services, Inc. 304,600 7,276,894 * Strategic Distribution, Inc. 65,178 671,333 Supreme Industries, Inc. 56,610 370,796 Sypris Solutions, Inc. 401,688 4,233,792 TB Wood's Corp. 92,900 536,962 * TeamStaff, Inc. 86,000 141,040 Tecumseh Products Co. Class A 442,233 12,090,650 Tecumseh Products Co. Class B 15,600 427,830 * Tetra Tech, Inc. 24,100 290,405 * The Lamson & Sessions Co. 3,700 40,293 Thomas Industries, Inc. 141,200 5,629,644 # Titan International, Inc. 232,000 3,426,640 Todd Shipyards Corp. 81,650 1,571,763 * Trailer Bridge, Inc. 111,200 867,360 * Transport Corp. of America 20,000 125,000 * Transtechnology Corp. 97,300 727,318 * TRC Companies, Inc. 110,900 1,264,260 Tredegar Industries, Inc. 1,273,486 19,420,662 Trinity Industries, Inc. 1,482,100 43,069,826 * Triumph Group, Inc. 524,517 18,609,863 Twin Disc, Inc. 37,400 813,450 * U.S. Xpress Enterprises, Inc. Class A 163,490 1,996,213 * United Rentals, Inc. 1,831,600 36,778,528 * URS Corp. 1,438,667 48,670,105 * USA Truck, Inc. 71,600 1,449,900 * # Valence Technology, Inc. 4,800 14,208 * Valpey Fisher Corp. 10,350 32,706 Viad Corp. 116,900 3,249,820 * Volt Information Sciences, Inc. 402,800 7,915,020 * Washington Group International, Inc. 194,191 9,323,110 Waste Industries USA, Inc. 238,100 3,435,783 * Water Pik Technologies, Inc. 106,545 1,979,606 * Westaff, Inc. 192,900 669,363 * Western Power & Equipment Corp. 4,091 5,318 * Willis Lease Finance Corp. 132,900 1,083,135 * Wolverine Tube, Inc. 482,000 3,475,220 * Xanser Corp. 259,400 573,274
10 * Yellow Roadway Corp. 278,908 14,720,764 ---------------- Total Industrials (Cost $1,070,818,270) 1,335,575,135 ---------------- Financials -- (12.6%) 1st Source Corp. 342,018 7,449,152 21st Century Insurance Group 151,658 2,112,596 ABC Bancorp 21,936 389,364 * ACE Cash Express, Inc. 9,217 201,023 Advanta Corp. Class A 281,453 6,453,717 Advanta Corp. Class B Non-Voting 494,299 12,194,356 * Aether Systems, Inc. 1,403,851 4,394,054 Alfa Corp. 16,525 236,638 * Allmerica Financial Corp. 157,900 5,513,868 * # American Business Financial Services, Inc. 43,184 2,699 * American Physicians Capital, Inc. 289,108 10,017,592 American Physicians Services Group, Inc. 36,300 450,120 Americana Bancorp 26,030 372,489 * AmeriServe Financial, Inc. 422,573 2,307,249 AmerUs Group Co. 338,785 16,122,778 * Arch Capital Group, Ltd. 34,800 1,553,820 * Argonaut Group, Inc. 857,264 17,951,108 ASB Financial Corp. 12,268 274,496 * Atlantic American Corp. 42,900 129,558 Baldwin & Lyons, Inc. Class B 156,125 4,012,412 * Bancinsurance Corp. 76,470 397,644 BankUnited Financial Corp. Class A 48,704 1,203,476 Banner Corp. 345,012 9,180,769 Bay View Capital Corp. 200,776 3,182,300 Beverly Hills Bancorp, Inc. 135,659 1,417,637 * BF Enterprises, Inc. 2,300 18,998 * BNS Holding, Inc. Class A 46,855 323,299 Brookline Bancorp, Inc. 258,695 3,932,164 California First National Bancorp 77,600 900,160 Camco Financial Corp. 19,083 275,368 * Ceres Group, Inc. 629,501 3,607,041 CFS Bancorp, Inc. 333,167 4,367,819 Chemical Financial Corp. 15,511 496,042 Citizens South Banking Corp. 2,500 31,575 * Citizens, Inc. 118,607 686,735 Clark, Inc. 624,728 9,058,556 * CNA Surety Corp. 428,495 5,921,801 Commercial Federal Corp. 1,330,398 33,273,254 Community Bank System, Inc. 466,400 10,867,120 Community West Bancshares 9,600 116,928 * # CompuCredit Corp. 833,453 26,278,773 * Consumer Portfolio Services, Inc. 26,000 114,400 Cooperative Bankshares, Inc. 28,500 530,100 * Credit Acceptance Corp. 518,230 7,312,225 * # Danielson Holding Corp. 68,150 1,107,438 Delphi Financial Group, Inc. Class A 881,563 37,378,271 Donegal Group, Inc. Class A 110,763 2,044,685 Donegal Group, Inc. Class B 47,264 778,438 Downey Financial Corp. 100 7,502 EFC Bancorp, Inc. 5,300 143,100
11 EMC Insurance Group, Inc. 150,700 2,688,488 * Epoch Holding Corp. 108,700 489,150 * EZCORP, Inc. Class A Non-Voting 237,900 2,262,429 FBL Financial Group, Inc. Class A 732,775 19,601,731 Fidelity Southern Corp. 84,400 1,368,968 * Firebrand Financial Group, Inc. 86,400 6,048 * First Bank of Delaware 71,503 235,960 First Citizens BancShares, Inc. 10,300 1,344,459 First Defiance Financial Corp. 128,500 3,436,090 First Federal Bancshares of Arkansas, Inc. 112,100 2,745,329 First Indiana Corp. 229,223 6,177,560 * First Investors Financial Services Group, Inc. 120,900 577,298 First Keystone Financial, Inc. 37,300 645,663 First Merchants Corp. 64,259 1,598,121 First Niagara Financial Group, Inc. 250,797 3,265,377 First Place Financial Corp. 385,659 7,593,626 Flagstar Bancorp, Inc. 126,800 2,505,568 FNB Corp. 700 12,950 FNB Financial Services Corp. 17,375 368,176 * FPIC Insurance Group, Inc. 326,687 9,722,205 Great American Financial Resources, Inc. 221,500 3,734,490 Guaranty Federal Bancshares, Inc. 15,300 355,725 Harleysville Group, Inc. 899,000 18,258,690 HF Financial Corp. 54,615 1,242,491 HMN Financial, Inc. 74,300 2,239,031 Horace Mann Educators Corp. 1,438,408 26,179,026 Independence Holding Co. 104,148 1,838,212 Infinity Property & Casualty Corp. 307,103 9,827,296 * Instinet Group, Inc. 440,262 2,324,583 Investors Title Co. 18,200 641,004 Irwin Financial Corp. 339,242 7,120,690 * ITLA Capital Corp. 147,000 7,323,540 * Kennedy-Wilson, Inc. 30,800 317,856 * KNBT Bancorp, Inc. 5,224 77,904 * Knight Capital Group, Inc. 978,781 7,389,797 * Knight Trading Group, Inc. 5,300 40,015 * LaBranche & Co., Inc. 1,334,340 7,378,900 LandAmerica Financial Group, Inc. 611,212 34,350,114 LSB Corp. 3,500 56,175 MAF Bancorp, Inc. 172,628 7,347,048 MASSBANK Corp. 63,149 2,251,262 * Matrix Bancorp, Inc. 5,000 64,000 MCG Capital Corp. 321,844 5,149,504 * Meadowbrook Insurance Group, Inc. 560,064 2,884,330 Medallion Finanacial Corp. 364,005 3,370,686 Merchants Group, Inc. 23,900 599,890 Meta Financial Group, Inc. 32,400 683,640 * Metris Companies, Inc. 1,938,600 25,163,028 MFB Corp. 17,700 464,979 MicroFinancial, Inc. 125,000 486,250 Midland Co. 49,800 1,591,110 * National Western Life Insurance Co. Class A 24,300 4,456,013 * Navigators Group, Inc. 149,190 4,959,076 NetBank, Inc. 302,082 2,510,301 * Newtek Business Services, Inc. 86,500 224,035
12 North Central Bancshares, Inc. 39,900 1,545,726 Northeast Bancorp 21,200 464,704 Northrim BanCorp, Inc. 1 14 NYMAGIC, Inc. 125,800 2,572,610 * # Ocwen Financial Corp. 1,193,630 8,629,945 Ohio Casualty Corp. 1,932,614 46,189,475 * Pacific Premier Bancorp, Inc. 29,840 312,484 Parkvale Financial Corp. 40,825 1,134,935 PAULA Financial 90,600 159,456 * Penn Treaty American Corp. 366,900 818,187 Pinnacle Bancshares, Inc. 10,400 146,744 * Piper Jaffray Companies, Inc. 448,361 12,675,165 * PMA Capital Corp. Class A 729,273 5,418,498 Pocahontas Bancorp, Inc. 69,800 977,200 * Premier Financial Bancorp 1,100 11,963 Presidential Life Corp. 968,912 14,679,017 Provident Financial Holdings, Inc. 53,800 1,496,716 Provident Financial Services, Inc. 5,000 88,900 * Republic First Bancorp, Inc. 80,083 1,066,710 Riverview Bancorp, Inc. 56,600 1,216,900 RLI Corp. 286,779 12,543,713 * RTW, Inc. 93,850 910,345 * SCPIE Holdings, Inc. 150,800 1,691,976 Selective Insurance Group, Inc. 913,294 43,956,840 Simmons First National Corp. Class A 140,711 3,453,048 Sound Federal Bancorp, Inc. 40,140 639,029 * Standard Management Corp. 134,600 242,280 State Auto Financial Corp. 3,201 86,427 State Financial Services Corp. Class A 18,241 724,168 Stewart Information Services Corp. 598,000 23,471,500 * Stifel Financial Corp. 65,029 1,373,412 * Stratus Properties, Inc. 94,450 1,575,426 * Sun Bancorp, Inc. 60,174 1,248,009 Susquehanna Bancshares, Inc. 287,264 6,538,129 SWS Group, Inc. 267,400 4,238,290 TF Financial Corp. 36,200 1,049,800 * The Banc Corp. 84,508 887,334 # The Phoenix Companies, Inc. 2,736,000 31,464,000 TierOne Corp. 43,474 1,048,810 Timberland Bancorp, Inc. 56,400 1,297,764 * Triad Guaranty, Inc. 209,863 11,374,575 UICI 969,000 24,370,350 UMB Financial Corp. 636,690 35,463,633 Umpqua Holdings Corp. 100,166 2,334,869 * Unico American Corp. 72,700 665,205 * United America Idemnity, Ltd. 262,676 4,478,626 United Community Financial Corp. 805,706 8,467,970 United Fire & Casualty Co. 88,900 3,499,993 Unizan Financial Corp. 18,431 469,806 Vesta Insurance Group, Inc. 1,142,100 2,878,092 Wesbanco, Inc. 9,876 292,033 Westbank Corp. 1,143 19,248 Willow Grove Bancorp, Inc. 65,500 998,613 * Wilshire Enterprises, Inc. 110,090 825,675 Ziegler Companies, Inc. 8,200 161,950 ---------------- Total Financials (Cost $658,967,144) 850,984,881 ----------------
13 Information Technology -- (11.6%) * 3Com Corp. 74,200 271,572 * Actel Corp. 306,134 4,527,722 * ActivCard Corp. 136,166 561,004 * Adaptec, Inc. 1,410,894 5,615,358 * Adept Technology, Inc. 18,720 150,696 * Advanced Digital Information Corp. 143,520 985,982 * Advanced Power Technology, Inc. 245,688 1,584,688 * Aehr Test Systems 89,200 269,384 * Aeroflex, Inc. 35,740 285,920 * Aetrium, Inc. 69,748 179,950 * Agile Software Corp. 616,831 3,978,560 Agilysys, Inc. 935,734 14,391,589 * Airspan Networks, Inc. 85,900 410,602 * Akamai Technologies, Inc. 355,127 4,985,983 Allen Organ Co. Class B 5,000 278,375 * Alliance Semiconductor Corp. 1,167,202 1,960,899 * Allied Motion Technologies, Inc. 45,300 216,534 * Alpha Technologies Group, Inc. 82,112 3,695 American Software, Inc. Class A 269,536 1,390,806 * American Technical Ceramics Corp. 83,300 869,652 * Amistar Corp. 42,300 127,746 * Amtech Systems, Inc. 6,000 35,940 * Anadigics, Inc. 954,146 1,564,799 * Analex Corp. 35,200 115,104 * Analysts International Corp. 564,081 1,855,826 * Analytical Surveys, Inc. 830 1,336 * Anaren, Inc. 590,974 6,997,132 * AnswerThink, Inc. 141,628 560,847 * APA Enterprises, Inc. 157,400 248,692 * Applied Films Corp. 279,950 7,530,655 * Applied Innovation, Inc. 51,000 248,370 * Applied Micro Circuits Corp. 3,092,322 8,874,964 * Apropos Technology, Inc. 447,216 1,149,345 * Ariba, Inc. 244,189 1,496,879 * Arris Group, Inc. 1,326,831 11,490,356 * Art Technology Group, Inc. 203,713 220,010 * # Aspen Technology, Inc. 343,227 1,798,509 * Astea International, Inc. 13,200 97,548 Astro-Med, Inc. 31,540 275,975 * Atari, Inc. 8,867 21,901 * Atmel Corp. 5,988 17,964 * # Avanex Corp. 403,000 407,030 * # Avici Systems, Inc. 378,629 1,688,685 * Aware, Inc. 559,924 3,695,498 * Axcelis Technologies, Inc. 36,459 242,452 * AXT, Inc. 465,578 586,628 * BearingPoint, Inc. 28,800 188,640 Belden CDT, Inc. 906,748 18,243,770 * Bell Industries, Inc. 161,863 357,717 * Bell Microproducts, Inc. 928,006 7,609,649 * Benchmark Electronics, Inc. 14,200 449,714
14 Black Box Corp. 338,856 11,649,869 * Blonder Tongue Laboratories, Inc. 22,600 65,540 Bogen Communications International, Inc. 44,700 213,443 * # Bookham, Inc. 184,450 516,460 * Brooktrout, Inc. 23,035 229,659 * CalAmp Corp. 232,435 1,534,071 * Canterbury Consulting Group, Inc. 842 274 * Captaris, Inc. 975,052 3,529,688 * Carrier Access Corp. 131,778 635,170 * C-COR, Inc. 59,992 412,745 Celeritek, Inc. 384,872 315,595 * CellStar Corp. 598,069 777,490 * Centillium Communications, Inc. 102,929 225,415 * Checkpoint Systems, Inc. 266,500 4,695,730 * Chyron Corp. 1,200 420 * Ciber, Inc. 1,957,800 15,956,070 * Ciena Corp. 1,006,100 2,193,298 * Ciprico, Inc. 70,900 308,415 * Cirrus Logic, Inc. 319,991 1,657,553 * Clarus Corp. 391,100 3,011,470 * Cognitronics Corp. 7,700 29,106 * Coherent, Inc. 1,024,276 33,626,981 * Comarco, Inc. 109,300 873,307 * # Commerce One, Inc. 57,500 7,245 Communications Systems, Inc. 17,300 174,730 * Computer Horizons Corp. 553,091 1,603,964 * Computer Network Technology Corp. 745,784 3,728,920 * Computer Task Group, Inc. 158,300 554,050 * Conexant Systems, Inc. 383,556 548,485 * Convera Corp. 35,389 152,527 * Copper Mountain Networks, Inc. 23,556 21,672 * Cosine Communications, Inc. 313,826 737,491 * Cray, Inc. 400 584 * Credence Systems Corp. 1,210,206 9,584,832 * Crossroads Systems, Inc. 22,000 20,680 * CSP, Inc. 34,000 333,540 CTS Corp. 1,212,900 12,917,385 * Data I/O Corp. 86,400 250,560 * Data Systems & Software, Inc. 91,400 109,680 * Datalink Corp. 197,400 485,604 * Dataram Corp. 28,010 164,139 * Delphax Technologies, Inc. 70,700 263,923 * Digimarc Corp. 111,584 569,078 * DoubleClick, Inc. 134,930 1,110,474 * E.piphany, Inc. 1,359,381 4,744,240 * EasyLink Services Corp. 640 627 * Echelon Corp. 160,132 1,100,107 * Edgewater Technology, Inc. 255,288 1,110,503 * Electro Scientific Industries, Inc. 88,377 1,585,483 * Electroglas, Inc. 485,533 1,675,089 * Electronics for Imaging, Inc. 366,579 6,965,001 * eLoyalty Corp. 49,200 243,540 * EMCORE Corp. 228,231 906,077 * EMS Technologies, Inc. 342,094 4,618,269 * En Pointe Technologies, Inc. 39,500 108,625
15 * Entrust, Inc. 94,279 385,601 * ePlus, Inc. 207,370 2,571,595 * ESS Technology, Inc. 199,365 821,384 * Evans & Sutherland Computer Corp. 181,900 934,057 * Exar Corp. 1,344,986 19,367,798 * # FalconStor Software, Inc. 47,700 348,687 * FEI Co. 500 10,410 * Forgent Networks, Inc. 362,164 651,895 * Forrester Research, Inc. 28,525 470,663 Frequency Electronics, Inc. 97,600 1,141,920 * FSI International, Inc. 733,528 2,758,065 * Gateway, Inc. 1,110,900 3,843,714 * Genesis Microchip, Inc. 400,035 6,620,579 * Gerber Scientific, Inc. 685,200 5,056,776 * # Giga-Tronics, Inc. 28,800 116,640 * Glenayre Technologies, Inc. 996,900 3,190,080 * Globecomm Systems, Inc. 162,400 902,944 * # Glowpoint, Inc. 155,001 206,151 * GTSI Corp. 291,200 2,382,016 * Halifax Corp. 24,000 92,640 * HEI, Inc. 1,400 4,271 * HI/FN, Inc. 147,915 982,156 * HomeStore, Inc. 49,000 102,410 * Hypercom Corp. 1,549,600 9,839,960 * # Ibis Technology Corp. 52,740 66,452 * Identix, Inc. 136,448 749,100 * iGATE Capital Corp. 570,208 2,491,809 * I-many, Inc. 397,000 627,260 Imation Corp. 696,200 26,288,512 * InFocus Corp. 1,322,488 5,501,550 Inforte Corp. 365,374 1,253,233 * Innovex, Inc. 326,137 1,102,343 * InsWeb Corp. 23,166 64,865 * Integrated Device Technology, Inc. 147,470 1,803,558 * Integrated Silicon Solution, Inc. 586,009 3,838,359 * Intelligent Systems Corp. 52,375 108,940 * Intelligroup, Inc. 70,900 83,662 * Interland, Inc. 503,239 956,154 * Internet Commerce Corp. 50,000 81,000 * Interwoven, Inc. 396,724 3,157,923 * IntriCon Corp. 76,500 145,350 * # Intrusion, Inc. 23,600 66,552 * Iomega Corp. 1,624,700 5,020,323 * # IPIX Corp. 7,500 20,025 * iVillage, Inc. 36,000 217,080 * Jaco Electronics, Inc. 105,869 332,429 * JDA Software Group, Inc. 876,171 11,320,129 * Keane, Inc. 158,500 2,127,070 * Kemet Corp. 2,936,384 20,554,688 * Key Tronic Corp. 151,900 558,992 * Keynote Systems, Inc. 288,000 3,340,800 * Lantronix, Inc. 139,900 191,663 * Lattice Semiconductor Corp. 1,051,023 4,435,317 * LeCroy Corp. 16,000 263,360 * # Level 8 Systems, Inc. 5,966 346
16 Liberate Technologies, Inc. 662,100 205,251 * Lightbridge, Inc. 482,181 3,028,097 * # LightPath Technologies, Inc. 31,300 81,380 * Logic Devices, Inc. 92,700 124,218 * LogicVision, Inc. 157,400 283,320 * LTX Corp. 1,700 8,143 * Management Network Group, Inc. 216,686 509,212 * Manchester Technologies, Inc. 177,600 1,113,552 * Manugistic Group, Inc. 646,622 1,163,920 Maximus, Inc. 54,000 1,851,660 * Maxtor Corp. 285,700 1,568,493 * McDATA Corp. 216,923 826,477 * MDI, Inc. 187,300 95,523 * MedQuist, Inc. 471,073 6,128,660 * Merix Corp. 329,356 2,387,831 * MetaSolv, Inc. 586,637 1,214,339 Methode Electronics, Inc. 100 1,194 * Micro Linear Corp. 189,300 1,107,405 * Microtune, Inc. 145,600 643,552 * MKS Instruments, Inc. 612,098 10,222,037 * MPS Group, Inc. 3,484,300 32,682,734 * MRV Communications, Inc. 703,900 1,302,215 * # MSC.Software Corp. 949,639 9,767,037 * # MTI Technology Corp. 300 492 * MTM Technologies, Inc. 6,200 24,614 * # Nanometrics, Inc. 419,649 4,733,641 * Neoforma, Inc. 304,884 2,088,455 * # NeoMagic Corp. 335,100 123,987 * Net2Phone, Inc. 789,432 1,263,091 * NetIQ Corp. 1,818,553 20,076,825 * NetManage, Inc. 83,916 532,867 * NetRatings, Inc. 444,865 6,059,061 * Netscout System, Inc. 132,766 817,839 * Network Engines, Inc. 18,400 31,280 * Network Equipment Technologies, Inc. 738,784 4,129,803 * Newport Corp. 1,230,197 17,284,268 * NMS Communications Corp. 193,500 628,875 * Nu Horizons Electronics Corp. 550,317 3,235,864 * NumereX Corp. Class A 77,800 374,218 * NYFIX, Inc. 489,727 2,473,121 * O.I. Corp. 51,900 616,313 * Omtool, Ltd. 52,514 307,207 * Opent Technologies, Inc. 46,386 375,263 * Oplink Communications, Inc. 158,500 236,165 * OPTi, Inc. 168,800 283,584 * Optical Cable Corp. 30,393 135,553 * Optical Communication Products, Inc. 8,172 14,628 * OSI Systems, Inc. 551,557 8,218,199 * Overland Storage, Inc. 65,524 634,928 * OYO Geospace Corp. 147,500 2,413,395 * PalmSource, Inc. 146,730 1,471,702 * Paradyne Networks Corp. 11,000 21,670 Park Electrochemical Corp. 222,250 5,156,200 * Parlex Corp. 165,300 975,270 * Paxar Corp. 151,600 2,671,192
17 * PC Connection, Inc. 553,286 2,827,291 * PC-Tel, Inc. 594,790 4,347,915 * Peerless Systems Corp. 120,900 437,658 * Pegasus Solutions, Inc. 723,341 7,783,149 * Pegasystems, Inc. 72,001 429,846 * Pemstar, Inc. 690,271 814,520 * Perceptron, Inc. 257,037 1,678,452 * Performance Technologies, Inc. 10,184 68,538 * Pericom Semiconductor Corp. 588,662 4,715,183 * Pervasive Software, Inc. 77,792 360,177 * Phoenix Technologies, Ltd. 133,269 1,082,144 * Photronics, Inc. 540,704 12,452,413 * Pinnacle Systems, Inc. 46,737 276,216 * Planar Systems, Inc. 201,179 1,617,479 * PLATO Learning, Inc. 232,506 1,776,346 * Plexus Corp. 597,091 8,210,001 * PowerCerv Corp. 20,666 11,573 * Powerwave Technologies, Inc. 1,030,883 9,411,962 Printronix, Inc. 90,000 1,429,200 * Procom Technology, Inc. 5,400 8,640 * Quantum Corp. 956,600 2,487,160 * QuickLogic Corp. 428,717 1,873,493 * Quovadx, Inc. 501,945 1,365,290 * RadiSys Corp. 140,691 2,274,973 * Raindance Communictions, Inc. 67,025 137,401 * Register.com, Inc. 77,555 484,719 * Reliability, Inc. 41,800 8,360 * Relm Wireless Corp. 59,254 139,247 * REMEC, Inc. 341,773 2,136,084 Richardson Electronics, Ltd. 49,717 442,481 * Riverstone Networks, Inc. 9,900 6,955 * Robotic Vision Systems, Inc. 14,000 448 * Rofin-Sinar Technologies, Inc. 10,956 353,879 * Rudolph Technologies, Inc. 50,929 734,396 * Safeguard Scientifics, Inc. 1,008,300 998,217 * SafeNet, Inc. 580,612 18,242,829 * SatCon Technology Corp. 97,500 133,575 * SBS Technologies, Inc. 369,322 3,586,117 * ScanSoft, Inc. 359,963 1,461,450 * SCM Microsystems, Inc. 353,070 1,048,618 * SEEC, Inc. 2,200 440 * Segue Software, Inc. 67,900 339,500 * Selectica, Inc. 930,002 2,948,106 * SEMX Corp. 8,700 522 * Sigmatron International, Inc. 16,800 178,920 * # Silicon Graphics, Inc. 1,681,500 1,362,015 * Silicon Storage Technology, Inc. 17,632 60,654 * SimpleTech, Inc. 520,716 1,822,506 * Sipex Corp. 502,253 828,717 * Skyworks Solutions, Inc. 928,258 5,875,873 * Somera Communications, Inc. 93,400 129,826 * # Sonic Foundry, Inc. 22,800 29,184 * SonicWALL, Inc. 1,411,933 8,725,746 * Spectrum Control, Inc. 173,800 1,230,504 * # SR Telecom, Inc. 11,987 3,716
18 * Standard Microsystems Corp. 244,943 3,982,773 * SteelCloud, Inc. 5,900 13,806 * Stellent, Inc. 734,372 5,559,196 * # Stratos International, Inc. 274,103 1,181,384 * SumTotal Systems, Inc. 16,297 68,284 Sunrise Telecom, Inc. 191,400 306,240 * Suntron Corp. 92,475 121,142 * Sycamore Networks, Inc. 1,818,151 6,145,350 * Sykes Enterprises, Inc. 901,750 7,466,490 * Taitron Components, Inc. 6,500 11,375 * Technical Communications Corp. 6,300 19,215 Technitrol, Inc. 584,322 7,672,148 * Technology Solutions Corp. 44,500 23,140 * TechTeam Global, Inc. 232,800 3,259,200 * Tegal Corp. 66,300 70,278 * Telular Corp. 1,000 3,900 * Terayon Communication Systems, Inc. 120,600 382,302 * TheStreet.com, Inc. 259,000 802,900 * Three-Five Systems, Inc. 685,700 459,419 * Tier Technologies, Inc. Class B 611,998 5,410,062 * TII Network Technologies, Inc. 98,200 143,372 * Tollgrade Communications, Inc. 229,725 1,741,316 * Transcat, Inc. 60,000 277,800 Trans-Lux Corp. 2,746 18,261 * Transmeta Corp. 9,791 7,931 * Triquint Semiconductor, Inc. 1,009,028 3,420,605 * Tumbleweed Communications Corp. 37,100 81,620 * Tut Systems, Inc. 13,500 40,770 * Veeco Instruments, Inc. 67,861 1,022,665 * # Verilink Corp. 119,978 190,765 * Verity, Inc. 606,099 5,170,024 * Verso Technologies, Inc. 165,649 43,069 * Vicon Industries, Inc. 71,500 210,925 * Viewpoint Corp. 1,400 2,030 * Vignette Corp. 927,600 1,076,016 * Visual Networks, Inc. 26,900 34,701 * # Vitech America, Inc. 700 0 * Vitesse Semiconductor, Inc. 5,400 13,500 * Vyyo, Inc. 81,414 503,139 * WatchGuard Technologies, Inc. 1,086,802 3,945,091 * Webb Interactive Services, Inc. 1,300 143 * webMethods, Inc. 1,100 5,533 * White Electronics Designs Corp. 196,498 980,525 Wireless Telecom Group, Inc. 35,600 90,068 Woodhead Industries, Inc. 90,612 1,162,552 * Zhone Technologies, Inc. 89,314 242,041 * Zomax, Inc. 1,040,946 2,862,602 * Zones, Inc. 172,800 639,360 * Zoran Corp. 802,916 9,907,983 * Zygo Corp. 484,226 4,687,308 ---------------- Total Information Technology (Cost $843,140,581) 785,941,564 ----------------
19 Materials -- (9.4%) * AK Steel Holding Corp. 1,694,116 12,959,987 * Aleris International, Inc. 570,339 13,585,475 * American Pacific Corp. 104,300 844,830 Arch Chemicals, Inc. 366,287 8,633,385 Atlantis Plastics, Inc. 47,200 293,112 * Badger Paper Mills, Inc. 10,400 34,736 Bairnco Corp. 114,700 1,281,199 * Brush Engineered Materials, Inc. 325,700 4,618,426 * Buckeye Technologies, Inc. 1,277,677 10,566,389 Calgon Carbon Corp. 1,065,500 9,493,605 Cambrex Corp. 709,583 12,843,452 * Caraustar Industries, Inc. 885,399 9,296,690 Carpenter Technology Corp. 716,562 38,694,348 * Castle (A.M.) & Co. 217,730 3,046,043 Chesapeake Corp. 666,306 13,905,806 * Coeur d'Alene Mines Corp. 207,124 689,723 Commercial Metals Co. 1,177,532 30,804,237 * Continental Materials Corp. 4,600 143,474 * # Core Molding Technologies, Inc. 500 4,700 CPAC, Inc. 82,200 410,178 * Detrex Corp. 12,800 59,840 * Devcon International Corp. 52,300 614,525 * Eden Bioscience Corp. 36,120 21,672 * Environmental Technologies Corp. 35,800 16 Friedman Industries, Inc. 40 308 Fuller (H.B.) Co. 517,300 16,760,520 Gibraltar Industries, Inc. 385,124 7,533,025 Glatfelter (P.H.) Co. 1,494,800 16,741,760 * Graphic Packaging Corp. 421,900 1,582,125 Great Lakes Chemical Corp. 4,300 145,770 * ICO, Inc. 264,200 618,228 * Impreso, Inc. 6,500 6,955 * Kaiser Aluminum Corp. 665 47 * Keystone Consolidated Industries, Inc. 18,342 3,118 * Lesco, Inc. 216,600 2,924,100 Longview Fibre Co. 1,691,340 33,776,060 * Material Sciences Corp. 407,767 4,974,757 * Maxxam, Inc. 105,500 2,452,875 * Metals USA, Inc. 349,405 7,396,904 Minerals Technologies, Inc. 246,000 16,555,800 * Mod-Pac Corp. Class B 1,278 18,914 Myers Industries, Inc. 809,071 9,021,142 * NewMarket Corp. 470,102 6,388,686 Niagara Corp. 132,200 1,130,310 NN, Inc. 34,774 441,282 * Northwest Pipe Co. 91,800 2,034,288 * # Olympic Steel, Inc. 304,300 4,777,510 * OM Group, Inc. 719,400 18,128,880 * OMNOVA Solutions, Inc. 167,979 681,995 * Oregon Steel Mills, Inc. 58,700 1,036,642 Penford Corp. 79,800 1,236,102 * PolyOne Corp. 456,506 3,067,720 Pope & Talbot, Inc. 446,500 4,924,895 Potlatch Corp. 403,200 20,841,408 Quaker Chemical Corp. 188,550 3,337,335 Quanex Corp. 543,803 28,217,938
20 Reliance Steel & Aluminum Co. 903,098 34,760,242 Roanoke Electric Steel Corp. 140,900 2,825,045 Rock of Ages Corp. 87,600 531,732 Rock-Tenn Co. Class A 1,161,623 13,370,281 * RTI International Metals, Inc. 693,750 19,001,813 # Ryerson Tull, Inc. 825,539 12,564,704 Schnitzer Steel Industries, Inc. Class A 133,822 3,093,965 Schulman (A.), Inc. 981,082 16,050,502 Schweitzer-Maudoit International, Inc. 250,100 7,495,497 Sensient Technologies Corp. 355,700 7,238,495 * Southwall Technologies, Inc. 131,500 176,210 Spartech Corp. 551,500 11,156,845 Steel Dynamics, Inc. 503,988 13,552,237 Steel Technologies, Inc. 426,113 8,522,260 Stepan Co. 129,000 2,736,090 * Stillwater Mining Co. 1,151,780 7,774,515 Summa Industries, Inc. 41,800 321,860 * Synalloy Corp. 88,350 1,020,443 * Terra Industries, Inc. 2,308,500 14,658,975 Texas Industries, Inc. 727,557 33,482,173 * U.S. Concrete, Inc. 625,733 3,829,486 * Universal Stainless & Alloy Products, Inc. 118,900 1,492,195 Valhi, Inc. 138,552 2,568,754 Vulcan International Corp. 11,200 549,920 Wausau-Mosinee Paper Corp. 1,254,999 15,687,488 * Webco Industries, Inc. 93,900 539,925 Wellman, Inc. 864,400 9,715,856 * WHX Corp. 1,413 49 * Williams Industries, Inc. 3,400 11,852 * # Zoltek Companies, Inc. 201,080 2,002,757 ---------------- Total Materials (Cost $518,160,422) 636,335,413 ---------------- Energy -- (8.1%) Adams Resources & Energy, Inc. 6,700 112,895 * Bolt Technology Corp. 13,700 80,145 * # BPZ Energy, Inc. 4,188 19,265 * Callon Petroleum Co. 592,400 8,382,460 Castle Energy Corp. 201,400 2,618,200 * Giant Industries, Inc. 414,500 11,941,745 * Gulfmark Offshore, Inc. 453,461 11,363,733 * Hanover Compressor Co. 2,951,815 30,787,430 * # Horizon Offshore, Inc. 667,752 210,342 * Houston Exploration Co. 686,942 35,013,434 * Input/Output, Inc. 770,600 4,569,658 * Key Energy Group, Inc. 2,200 24,178 Lufkin Industries, Inc. 206,400 5,950,512 * Magnum Hunter Resources, Inc. 2,790,568 43,142,181 Maritrans, Inc. 108,500 2,592,065 * # Matrix Service Co. 215,730 890,965 * Meridian Resource Corp. 489,100 2,215,623 * Mission Resources Corp. 521,424 3,686,468 * Mitcham Industries, Inc. 134,928 947,195 * NATCO Group, Inc. Class A 141,900 1,526,844 * Newpark Resources, Inc. 925,900 5,647,990
21 * Offshore Logistics, Inc. 774,700 24,263,604 * Oil States International, Inc. 121,483 2,813,546 Overseas Shipholding Group, Inc. 452,875 27,670,662 * Parker Drilling Co. 2,438,599 13,900,014 Resource America, Inc. 316,976 10,770,844 * Seabulk International, Inc. 556,300 10,909,043 * SEACOR Holdings, Inc. 623,566 36,204,242 * Spinnaker Exploration Co. 1,129,266 34,634,588 * Stone Energy Corp. 615,511 26,485,438 * Swift Energy Corp. 925,005 31,588,921 * T-3 Energy Services, Inc. 880 6,248 * Tel Offshore Trust 40,574 294,973 Tesoro Petroleum Corp. 1,157,200 50,453,920 * Tipperary Corp. 126,900 592,623 * # Torch Offshore, Inc. 215,000 26,337 * TransMontaigne, Inc. 998,924 8,271,091 * # U.S. Energy Corp. Wyoming 25,700 103,314 * Universal Compression Holdings, Inc. 1,045,984 35,772,653 USEC, Inc. 2,797,802 38,189,997 * Veritas DGC, Inc. 943,700 25,479,900 * Whiting Petroleum Corp. 9,400 325,052 ---------------- Total Energy (Cost $328,604,264) 550,480,338 ---------------- Health Care -- (4.8%) * Accelrys, Inc. 832,759 4,396,968 * Air Methods Corp. 259,451 1,759,078 * Albany Molecular Research, Inc. 300,572 3,579,813 * Allied Healthcare International, Inc. 228,160 1,578,867 * Allied Healthcare Products, Inc. 124,200 642,114 * Allscripts Healthcare Solutions, Inc. 31 507 * Almost Family, Inc. 8,250 98,010 Alpharma, Inc. Class A 1,388,800 17,873,856 American Shared Hospital Services 30,900 185,400 Analogic Corp. 152,388 6,474,966 * Angeion Corp. 315 753 * Aradigm Corp. 3,301 3,565 * Arena Pharmaceuticals, Inc. 871,172 5,967,528 * Argonaut Technologies, Inc. 6,299 5,921 * Arqule, Inc. 691,485 4,529,227 Atrion Corp. 36,100 2,359,135 * ATS Medical, Inc. 56,219 182,712 * Avigen, Inc. 666,089 1,991,606 * Beverly Enterprises, Inc. 1,276,800 15,794,016 * Bioanalytical Systems, Inc. 17,100 108,585 * BioScrip, Inc. 608,462 3,182,256 * Biosource International, Inc. 118,800 1,207,008 * Bruker BioSciences Corp. 182,593 766,891 * Caliper Life Sciences, Inc. 865,775 5,333,174 * Capital Senior Living Corp. 793,099 4,806,180 * Caprius, Inc. 72 216 * Cardiac Sciences, Inc. 107,444 105,295 * # Cardiotech International, Inc. 41,591 77,775 * CareCentric, Inc. 29,400 44,100 * # Cell Genesys, Inc. 83,150 483,102
22 * Coast Dental Services, Inc. 48,533 174,719 * Compex Technologies, Inc. 216,826 815,266 * Conmed Corp. 442,611 13,871,429 * Corautus Genetics, Inc. 642 2,536 * Corixa Corp. 121,800 517,650 * Criticare Systems, Inc. 91,000 422,240 * Cross Country Healthcare, Inc. 576,922 9,778,828 * # CryoLife, Inc. 400 2,900 * # CuraGen Corp. 1,276,636 5,464,002 * # Curative Health Services, Inc. 462,318 1,188,157 * Curis, Inc. 20 79 * # CytRx Corp. 2,800 2,380 D&K Healthcare Resources, Inc. 451,249 3,682,192 Datascope Corp. 200 6,088 * Del Global Technologies Corp. 69,517 195,690 * Dendreon Corp. 4,200 22,218 * # Digital Angel Corp. 350,050 1,372,196 * Discovery Partners International, Inc. 624,909 1,843,482 * Dyax Corp. 216,796 1,008,101 * Emisphere Technologies, Inc. 145,427 564,257 * Encore Medical Corp. 103,490 525,729 * Endologix, Inc. 108,700 472,845 * First Horizon Pharmaceutical Corp. 64,231 1,207,543 * Fischer Imaging Corp. 39,500 109,810 * Five Star Quality Care, Inc. 245,775 1,676,186 * Genaissance Pharmaceuticals, Inc. 101,700 92,547 * Gene Logic, Inc. 1,051,748 3,544,391 * Genesis HealthCare Corp. 265,263 11,536,288 * GTC Biotherapeutics, Inc. 379,069 507,952 * Guilford Pharmaceuticals, Inc. 315,391 794,785 * Hanger Orthopedic Group, Inc. 730,600 3,726,060 * Harvard Bioscience, Inc. 412,729 1,328,987 * HealthTronics Surgical Services, Inc. 21,675 275,056 * HMS Holdings Corp. 343,637 2,130,549 Hooper Holmes, Inc. 1,867,000 7,468,000 * ImmunoGen, Inc. 303,998 1,811,828 * Incyte Corp. 737,121 5,624,233 * Innovative Clinical Solutions, Ltd. 4,226 17 * # Insmed, Inc. 36,825 46,768 * IntegraMed America, Inc. 56,400 589,380 * Iridex Corp. 89,000 534,000 * Kendle International, Inc. 400,960 4,623,069 Kewaunee Scientific Corp. 31,100 248,489 * Kindred Healthcare, Inc. 1,144,681 44,161,793 * # Lipid Sciences, Inc. 86,802 458,315 * Maxim Pharmaceuticals, Inc. 180,666 274,612 * Maxygen, Inc. 192,595 1,508,019 * MedCath Corp. 282,332 7,315,222 * Medical Staffing Network Holdings, Inc. 362,000 1,965,660 * Microtek Medical Holdings, Inc. 710,234 2,500,024 * Molecular Devices Corp. 83,159 1,606,632 * # Nanogen, Inc. 209,580 855,086 National Home Health Care Corp. 53,533 710,383 National Research Corp. 60,153 855,977 * Natus Medical, Inc. 70,200 709,020
23 NDCHealth Corp. 40,400 677,104 * Neose Technologies, Inc. 15,721 41,346 * Neurogen Corp. 131,407 888,311 * New Brunswick Scientific Co., Inc. 103,193 552,083 * NMT Medical, Inc. 123,900 1,084,125 * North American Scientific, Inc. 137,561 412,683 NWH, Inc. 56,100 841,500 * # OCA, Inc. 1,663,800 6,821,580 * Orthologic Corp. 337,942 1,372,045 * Oscient Pharmaceutical Corp. 38,618 63,720 * Osteotech, Inc. 172,112 497,404 * Parexel International Corp. 1,726 31,500 * Pediatric Services of America, Inc. 236,000 3,112,840 * Per-Se Technologies, Inc. 234,979 4,457,552 * Pharmacopia Drug Discovery, Inc. 150,545 728,638 * PRAECIS Pharmaceuticals, Inc. 899,847 593,899 * Pure World, Inc. 100,500 198,990 * Quidel Corp. 50,950 223,161 * Radiologix, Inc. 255,792 1,005,263 * Res-Care, Inc. 528,510 7,045,038 * Rochester Medical Corp. 19,950 206,682 * # Rural/Metro Corp. 134,500 1,009,961 * Sangamo BioSciences, Inc. 8,400 31,500 * Sequenom, Inc. 668,851 635,408 * Sonic Innovations, Inc. 147,939 643,535 Span-American Medical System, Inc. 24,000 247,200 * SRI/Surgical Express, Inc. 86,600 392,731 * Strategic Diagnostics, Inc. 4,550 12,786 * Suncoast Naturals, Inc. 624 71 * SunLink Health Systems, Inc. 65,400 529,086 * # Sunrise Senior Living, Inc. 670,200 34,950,930 * Synovis Life Technologies, Inc. 94,696 724,424 * Theragenics Corp. 1,001,400 3,434,802 * Third Wave Technologies, Inc. 18,876 70,974 * Titan Pharmaceuticals, Inc. 304,298 654,241 * Transgenomic, Inc. 20,818 14,156 * # Trestle Holdings, Inc. 5,240 8,384 * Tripos, Inc. 7,200 25,920 * # U.S. Diagnostic, Inc. 20,800 0 * United American Healthcare Corp. 17,950 38,593 * Urologix, Inc. 45,500 198,835 * V.I. Technologies, Inc. 18 53 * Vical, Inc. 479,118 1,820,648 * Virologic, Inc. 784,915 2,142,818 * Wilson Greatbatch Technologies, Inc. 258,900 6,223,956 * Zoll Medical Corp. 37,797 897,301 * ZymeTx, Inc. 1,100 61 ---------------- Total Health Care (Cost $275,812,488) 321,832,127 ---------------- Consumer Staples -- (4.6%) Alliance One International, Inc. 2,803,307 17,969,198 # American Italian Pasta Co. 408,700 9,404,187 # Cal-Maine Foods, Inc. 113,658 737,640 * Carrington Laboratories, Inc. 121,900 453,468
24 Casey's General Stores, Inc. 603,352 10,884,470 * Central Garden & Pet Co. 385,385 17,091,825 Chiquita Brands International, Inc. 885,273 25,743,739 Corn Products International, Inc. 625,500 13,817,295 * Cruzan International, Inc. 73,100 1,019,745 * Foodarama Supermarkets, Inc. 12,900 399,900 * Fresh Brands, Inc. 2,900 19,546 Golden Enterprises, Inc. 17,200 63,640 * # Great Atlantic & Pacific Tea Co., Inc. 1,028,200 25,633,026 * Griffin Land & Nurseries, Inc. Class A 25,000 600,000 * Hain Celestial Group, Inc. 730,169 13,143,042 Imperial Sugar Co. (NEW) 243,452 3,749,161 Ingles Market, Inc. Class A 371,422 4,694,774 * Katy Industries, Inc. 133,000 464,170 Longs Drug Stores Corp. 1,268,200 52,046,928 * M&F Worldwide Corp. 582,676 7,452,426 Marsh Supermarkets, Inc. Class A 36,900 415,125 Marsh Supermarkets, Inc. Class B 59,400 751,410 MGP Ingredients, Inc. 221,989 1,855,828 * Monterey Pasta Co. 472,200 1,426,044 # Nash Finch Co. 374,343 13,319,124 * Natrol, Inc. 122,500 343,000 * Natural Alternatives International, Inc. 81,500 616,140 Northland Cranberries, Inc. 500 170 Oil-Dri Corp. of America 47,700 815,670 * Omega Protein Corp. 646,100 4,587,310 * Pathmark Stores, Inc. 954,190 8,540,000 * Performance Food Group Co. 259,321 7,017,226 * PriceSmart, Inc. 319,192 2,234,344 Pyramid Breweries, Inc. 110,100 208,001 * # Redhook Ale Brewery, Inc. 126,500 385,825 Ruddick Corp. 12,491 300,159 * San Filippo (John B.) & Son, Inc. 115,305 2,438,701 * Scheid Vineyards, Inc. 34,100 197,780 Scope Industries 8,100 566,190 Seaboard Corp. 23,576 31,709,720 * Seneca Foods Corp. Class B 10,500 173,512 * Smart & Final Food, Inc. 204,800 2,222,080 * Spartan Stores, Inc. 113,219 1,460,525 Stephan Co. 51,500 229,175 Tasty Baking Co. 241,200 1,929,600 Universal Corp. 449,928 19,976,803 * Weider Nutrition International, Inc. 166,500 679,320 Weis Markets, Inc. 26,400 969,936 * Wild Oats Markets, Inc. 8,164 91,763 * # Winn-Dixie Stores, Inc. 1,578,500 1,657,425 ---------------- Total Consumer Staples (Cost $216,413,498) 312,506,086 ---------------- Telecommunication Services -- (0.9%) Alaska Communications Systems Group, Inc. 251,100 2,377,917 * Boston Communications Group, Inc. 309,111 429,664 * Cincinnati Bell, Inc. 123,800 489,010 * # Cogent Communications Group, Inc. 257 5,914 CT Communications, Inc. 383,330 4,638,293
25 D&E Communications, Inc. 232,042 1,877,220 * GoAmerica, Inc. 559 3,891 Hector Communications Corp. 10,600 243,800 * IDT Corp. 695,022 9,375,847 * IDT Corp. Class B 1,460,200 20,004,740 * LCC International, Inc. Class A 335,372 1,197,278 * Metro One Telecommunications, Inc. 436,119 409,952 * Price Communications Corp. 876,426 15,065,763 SureWest Communications 105,299 2,506,116 * TALK America Holdings, Inc. 285,777 2,540,558 * Teleglobe International Holdings, Ltd. 123,955 295,013 * Time Warner Telecom, Inc. 498,936 2,544,574 * Xeta Corp. 30,500 97,600 ---------------- Total Telecommunication Services (Cost $69,878,679) 64,103,150 ---------------- Utilities -- (0.4%) Black Hills Corp. 3 110 * CMS Energy Corp. 96,269 1,273,639 Delta Natural Gas Co., Inc. 27,300 702,156 * Dynegy, Inc. 119,900 557,535 Empire District Electric Co. 12,400 284,952 Florida Public Utilities Co. 1,800 31,860 Maine & Maritimes Corp. 400 10,700 South Jersey Industries, Inc. 441,391 25,026,870 Southwest Gas Corp. 1,700 42,466 ---------------- Total Utilities (Cost $17,089,320) 27,930,288 ---------------- Other -- (0.0%) * Big 4 Ranch, Inc. 73,300 0 * Bush Industries, Inc. Escrow 1,800 42 * Career Blazers, Inc. Trust Units 9,540 0 * Celebrity, Inc. Escrow Shares 26,325 0 * Denali, Inc. 69,500 0 * ePresence, Inc. Escrow Shares 312,600 40,638 * Hoenig Group Escrow Shares 104,700 0 * # Imperial Sugar Co. 282,800 0 * Medical Resources, Inc. 1,619 0 * Noel Group, Inc. 95,400 1,431 * Petrocorp, Inc. Escrow Shares 102,600 6,156 * StorageNetworks, Inc. Escrow Shares 362,800 9,832 * Suburban Lodges of America, Inc. Escrow Shares 241,100 0 * # Trenwick Group, Ltd. 199,776 999 * # Trump Entertainment Resorts, Inc. 265 3,453 * Wireless WebConnect!, Inc. 1,400 15 ---------------- Total Other (Cost $4,824,168) 62,566 ---------------- TOTAL COMMON STOCKS (Cost $5,394,851,395) 6,448,131,477 ----------------
26 RIGHTS/WARRANTS -- (0.0%) Other -- (0.0%) * American Banknote Corp. Warrants Series 1 10/01/07 257 0 * American Banknote Corp. Warrants Series 2 10/01/07 257 0 * # Angeion Corp. Warrants 10/31/20 315 0 * Chart Industries, Inc. Warrants 09/15/10 3 76 * Chiquita Brands International, Inc. Warrants 03/19/09 142,110 1,550,420 * CSF Holding, Inc. Litigation Rights 40,500 0 * Del Global Technologies Corp. Warrants 03/28/08 19,927 29,891 * # Foster Wheelers, Ltd. Warrants 09/24/07 927,100 0 * Imperial Credit Industries, Inc. Warrants 01/31/08 4,082 1 * Imperial Sugar Co. Warrants 08/29/08 9,694 6,786 * Milltope Group, Inc. Contigent Value Rights 53,600 0 PMR Corp. Contingent Value Rights 105,000 0 * Timco Aviation Services, Inc. Warrants 02/27/07 25,879 3 * Trico Marine Services, Inc. Warrants 03/15/08 Series B 9,256 14,717 * Trico Marine Services, Inc. Warrants 03/15/10 Series A 9,256 37,024 * # Trump Entertainment Resorts, Inc. Warrants 05/23/06 29,394 0 * Virologic, Inc. Contingent Value Rights 784,916 137,360 ---------------- Total Other (Cost $9,788,772) 1,776,278 ---------------- Consumer Discretionary -- (0.0%) * Lodgian, Inc. Class A Warrants 11/25/07 3,433 120 * Lodgian, Inc. Class B Warrants 11/25/09 10,609 212 ---------------- Total Consumer Discretionary (Cost $0) 332 ---------------- Consumer Staples -- (0.0%) * Cruzan International, Inc. Rights 06/21/05 14,620 0 ---------------- (Cost $0) TOTAL RIGHTS/WARRANTS (Cost $9,788,772) 1,776,610 ----------------
FACE AMOUNT VALUE+ ---------------- ---------------- (000) BONDS -- (0.0%) Other -- (0.0%) * Del Global Technologies Corp. Subordinated Promissory Note 6.000%, 03/28/07 $ 40 0 * Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 6 0 ---------------- Total Other (Cost $0) 0 ---------------- TOTAL BONDS (Cost $0) 0 ---------------- TEMPORARY CASH INVESTMENTS -- (4.9%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05 (Collateralized by $545,515,000 U.S. STRIPS 6.125%, 11/15/27, valued at $196,008,995) to be repurchased at $192,180,081 (Cost $192,164,494) 192,164 192,164,494 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $142,182,000 FHLMC Notes 4.00%, 09/22/09, valued at $142,359,728) to be repurchased at $140,266,259 (Cost $140,255,000) 140,255 140,255,000 ---------------- 332,419,494 ----------------
27 TOTAL TEMPORARY CASH INVESTMENTS (Cost $332,419,494) 332,419,494 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $5,737,059,661) $ 6,782,327,581 ================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 28 THE DFA INVESTMENT TRUST COMPANY THE U.S. SMALL CAP VALUE SERIES STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investments at Value (including $173,532 of securities on loan) $ 6,782,328 Cash 1 Receivables: Investment Securities Sold 30,002 Dividends and Interest 3,833 Fund Shares Sold 7,296 Securities Lending Income 402 Prepaid Expenses and Other Assets 31 -------------- Total Assets 6,823,893 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned 192,164 Investment Securities Purchased 34,422 Fund Shares Redeemed 354 Due to Advisor 1,061 Accrued Expenses and Other Liabilities 402 -------------- Total Liabilities 228,403 -------------- NET ASSETS $ 6,595,490 ============== SHARES OUTSTANDING, $0.01 PAR VALUE (Unlimited Number of Shares Authorized) 307,994,629 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 21.41 ============== Investments at Cost $ 5,737,060 ==============
See accompanying Notes to Financial Statements. 15 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Dividends $ 30,927 Interest 1,022 Income from Securities Lending 2,073 ------------ Total Investment Income 34,022 ------------ EXPENSES Investment Advisory Services 6,438 Accounting & Transfer Agent Fees 903 Custodian Fees 306 Legal Fees 26 Audit Fees 31 Shareholders' Reports 35 Trustees' Fees and Expenses 26 Other 48 ------------ Total Expenses 7,813 ------------ NET INVESTMENT INCOME (LOSS) 26,209 ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 411,894 Change in Unrealized Appreciation (Depreciation) of Investment Securities (462,336) ------------ NET GAIN (LOSS) (50,442) ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (24,233) ============
See accompanying Notes to Financial Statements. 16 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------- ------------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 26,209 $ 41,172 Net Realized Gain (Loss) on Investment Securities Sold 411,894 580,495 Change in Unrealized Appreciation (Depreciation) of Investment Securities (462,336) 685,887 ------------- ------------- Net Increase (Decrease) in Net Assets Resulting from Operations (24,233) 1,307,554 ------------- ------------- Distributions From: Net Investment Income (35,770) (18,623) Net Short-Term Gains (67,865) (55,751) Net Long-Term Gains (512,161) (300,806) ------------- ------------- Total Distributions (615,796) (375,180) ------------- ------------- Capital Share Transactions (1): Shares Issued 532,840 896,415 Shares Issued in Lieu of Cash Distributions 598,005 366,785 Shares Redeemed (190,228) (418,726) ------------- ------------- Net Increase (Decrease) from Capital Share Transactions 940,617 844,474 ------------- ------------- Total Increase (Decrease) 300,588 1,776,848 NET ASSETS Beginning of Period 6,294,902 4,518,054 ------------- ------------- End of Period $ 6,595,490 $ 6,294,902 ============= ============= (1) SHARES ISSUED AND REDEEMED: Shares Issued 24,632 42,487 Shares Issued in Lieu of Cash Distributions 27,569 18,895 Shares Redeemed (8,888) (20,327) ------------- ------------- 43,313 41,055 ============= =============
See accompanying Notes to Financial Statements. 17 THE DFA INVESTMENT TRUST COMPANY THE U.S. SMALL CAP VALUE SERIES 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 23.78 $ 20.20 $ 15.04 $ 16.54 $ 16.47 $ 17.16 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.09 0.16 0.12 0.11 0.15 0.16 Net Gains (Losses) on Securities (Realized and Unrealized) (0.15) 5.09 6.29 0.11 3.15 0.97 ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations (0.06) 5.25 6.41 0.22 3.30 1.13 - ---------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.13) (0.08) (0.12) (0.11) (0.15) (0.16) Net Realized Gains (2.18) (1.59) (1.13) (1.61) (3.08) (1.66) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (2.31) (1.67) (1.25) (1.72) (3.23) (1.82) - ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 21.41 $ 23.78 $ 20.20 $ 15.04 $ 16.54 $ 16.47 ============================================================================================================================ Total Return (0.36)%# 27.87% 46.31% 1.05% 23.86% 7.29% - ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 6,595,490 $ 6,294,902 $ 4,518,054 $ 3,148,780 $ 3,039,884 $ 2,711,041 Ratio of Expenses to Average Net Assets 0.24%* 0.25% 0.25% 0.25% 0.25% 0.25% Ratio of Net Investment Income to Average Net Assets 0.82%* 0.78% 0.75% 0.70% 0.86% 0.92% Portfolio Turnover Rate 14%# 26% 35% 30% 13% 32%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 18 THE DFA INVESTMENT TRUST COMPANY THE U.S. SMALL CAP VALUE SERIES 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. The Trust consists of twenty-one series, of which The U.S. Small Cap Value Series (the "Series") is presented in this report. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the 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 requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Series which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day. Securities held by the Series that are listed on NASDAQ are valued at the NASDAQ Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Series values securities at the mean between the quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the mean between the most recent bid and asked prices. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Trustees. 2. 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. At May 31, 2005, the total liability for deferred compensation to Trustees is included in Accrured Expenses and Other Liabilities in the amount of $103,173. 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. 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 are allocated using methods approved by the Board of Trustees, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Series. For the six months ended May 31, 2005, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.20 of 1% of average daily net assets. Certain officers of the Trust are also officers, directors and shareholders of the Advisor. 19 D. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2005, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands): Purchases $ 1,199,579 Sales 915,320
There were no purchases or sales of U.S. Government Securities during the six months ended May 31, 2005. E. FEDERAL INCOME TAXES: The Series has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL --------------- ------------- ---------- 2004 $ 74,374 $ 300,806 $ 375,180 2003 26,137 230,313 256,450
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL UNDISTRIBUTED UNDISTRIBUTED NET NET INVESTMENT LONG-TERM DISTRIBUTABLE INCOME CAPITAL GAINS EARNINGS -------------- ------------- ------------- $ 92,387 $ 511,749 $ 604,136
At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ----------- ------------ ------------ -------------- $ 5,739,649 $ 1,627,915 $ (585,236) $ 1,042,679
F. 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. The instrument and its significant corresponding risks are described below: 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 31, 2005. 20 G. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
ACCUMULATED UNREALIZED NET REALIZED APPRECIATION ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET PAID-IN CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS --------------- -------------- -------------- ----------------- ----------- $ 5,126,701 $ 13,820 $ 409,701 $ 1,045,268 $ 6,595,490
H. LINE OF CREDIT: The Trust, together with other Dimensional-advised series, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each series is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each series is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings by the Series under the line of credit during the six months ended May 31, 2005. The Trust, together with other Dimensional-advised series, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each series is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each series is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2, 2006. There were no borrowings by the Series under the line of credit for the six months ended May 31, 2005. I. SECURITIES LENDING: As of May 31, 2005, the Series had securities on loan to brokers/dealers, for which the Series held cash collateral. The Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% of the market value of the securities on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. The cash collateral received by the Series from securities on loan is invested in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. The Series paid fees for securities lending for the period ended May 31, 2005, which have been netted against the Income from Securities Lending on the Statements of Operations. For the six months ended May 31, 2005 the fees were approximately $514,000. J. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 21 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Trust uses in voting proxies relating to securities held in the portfolio is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dfaus.com and reflects the twelve-month period beginning July 1 and ending June 30. 22 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT At the Board meeting held on December 15, 2004 (the "Meeting"), the Board of Trustees of The DFA Investment Trust Company (the "Board") considered the continuation of the investment management agreement ("Advisory Agreement") for the series (the "Fund"). Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Advisory Agreement. The Independent Board Members, met with their independent counsel in advance of the Meeting to discuss the materials provided by the Advisor, the independent reports prepared by Lipper Analytical Services, Inc., and issues related to the continuation of the Advisory Agreement. At the Meeting, the Board considered a number of factors when considering the continuation of the Advisory Agreement for the Fund, including: (i) the nature, extent and quality of services provided by the Advisor to the Fund; (ii) the performance of the Fund and the Advisor; (iii) the fees and expenses borne by the Fund; (iv) the profitability realized by the Advisor from the relationship with the Fund; (v) whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of the advisory fee charged; (vi) comparisons of the services to be rendered and the amounts to be paid under other advisory contracts; and (vii) any benefits to be derived by the Advisor from its relationship with the Fund. When considering the nature and quality of the services provided by the Advisor to the Fund, the Board reviewed: (a) the scope and depth of the Advisor's organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor's investment advisory capabilities. The Board evaluated the Advisor's portfolio management process. The Board also considered the nature and character of non-investment management services provided by the Advisor. After analyzing the caliber of services provided by the Advisor to the Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to the Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund. In considering the performance of the Fund, the Board analyzed the Lipper reports, which compared the performance of the Fund with other funds in its respective peer group and peer universe, and noted that the performance of the Fund compared favorably with its peer group. The Board determined, among other things, that the performance of the Fund was acceptable as compared with relevant performance standards. When considering the fees and expenses borne by the Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Lipper reports. The Board concluded that the advisory fees and total expenses of the Fund over various periods were favorable in relation to its peer funds, and that the advisory fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large. The Board considered the profitability of the Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to the Fund, including administrative fees paid by the feeder portfolios. The Board considered the profitability to the Advisor of managing the Fund and other "non-1940 Act registered" investment vehicles. Upon closely examining the Advisor's profitability, the Board concluded, among other things, that it was reasonable. The Board also discussed whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of advisory fee charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory fee charged were inapplicable to the Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund. After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Advisory Agreement for the Fund was in the best interests of the Fund and its shareholders. 23 ================================================================================ Dimensional Investment Group Inc. Emerging Markets Portfolio II Semi-Annual Report Six Months Ended May 31, 2005 (Unaudited) ================================================================================ DIMENSIONAL INVESTMENT GROUP INC. EMERGING MARKETS PORTFOLIO II SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS
PAGE -------- DIMENSIONAL INVESTMENT GROUP INC. Disclosure of Fund Expenses 1 Disclosure of Portfolio Holdings 2 Statement of Assets and Liabilities 3 Statement of Operations 4 Statements of Changes in Net Assets 5 Financial Highlights 6 Notes to Financial Statements 7 THE DFA INVESTMENT TRUST COMPANY -- THE EMERGING MARKETS SERIES Disclosure of Fund Expenses 10 Disclosure of Portfolio Holdings 11 Schedule of Investments 12 Statement of Assets and Liabilities 16 Statement of Operations 17 Statements of Changes in Net Assets 18 Financial Highlights 19 Notes to Financial Statements 20 VOTING PROXIES ON FUND PORTFOLIO SECURITIES 23 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 24
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DIMENSIONAL INVESTMENT GROUP INC. EMERGING MARKETS PORTFOLIO II DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. - To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ------------ ------------ ------------ ---------- Actual Fund Return $ 1,000.00 $ 1,080.10 0.51% $ 2.64 Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.46 0.51% $ 2.57
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 1 DIMENSIONAL INVESTMENT GROUP INC. EMERGING MARKETS PORTFOLIO II DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The Dimensional Investment Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specified industry classifications. Investment Companies 100.0% ----- 100.0% =====
2 DIMENSIONAL INVESTMENT GROUP INC. EMERGING MARKETS PORTFOLIO II STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investment in The Emerging Markets Series of The DFA Investment Trust Company (Cost $20,085) at Value+ $ 28,500 Receivable for Fund Shares Sold 100 Prepaid Expenses and Other Assets 16 ------------ Total Assets 28,616 ------------ LIABILITIES: Payable for Investment Securities Purchased 100 Accrued Expenses and Other Liabilities 14 ------------ Total Liabilities 114 ------------ NET ASSETS $ 28,502 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (Authorized 200,000,000 Shares) 2,062,030 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 13.82 ============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 3 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $56) $ 519 Interest 2 Expenses Allocated from Master Funds (37) ------------ Total Investment Income 484 ------------ EXPENSES Administrative Services 54 Accounting & Transfer Agent Fees 1 Legal Fees 1 Audit Fees 1 Filing Fees 12 Shareholders' Reports 15 ------------ Total Expenses 84 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Received by Advisor (Note C) (54) ------------ Net Expenses 30 ------------ NET INVESTMENT INCOME (LOSS) 454 ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 204 Net Realized Gain (Loss) on Foreign Currency Transactions (18) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 1,180 Deferred Thailand Capital Gains Tax 3 ------------ NET GAIN (LOSS) 1,369 ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 1,823 ============
See accompanying Notes to Financial Statements. 4 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------ ------------ (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 454 $ 414 Net Realized Gain (Loss) on Investment Securities Sold 204 12 Net Realized Gain (Loss) on Foreign Currency Transactions (18) (30) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 1,180 4,948 Translation of Foreign Currency Denominated Amounts -- 1 Deferred Thailand Capital Gains Tax 3 (21) ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 1,823 5,324 ------------ ------------ Distributions From: Net Investment Income (432) (229) ------------ ------------ Total Distributions (432) (229) ------------ ------------ Capital Share Transactions (1): Shares Issued 6,211 12,283 Shares Issued in Lieu of Cash Distributions 432 229 Shares Redeemed (2,310) (8,101) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 4,333 4,411 ------------ ------------ Total Increase (Decrease) 5,724 9,506 NET ASSETS Beginning of Period 22,778 13,272 ------------ ------------ End of Period $ 28,502 $ 22,778 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 447 1,111 Shares Issued in Lieu of Cash Distributions 33 22 Shares Redeemed (166) (742) ------------ ------------ 314 391 ============ ============
See accompanying Notes to Financial Statements. 5 DIMENSIONAL INVESTMENT GROUP INC. EMERGING MARKETS PORTFOLIO II 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, 2005 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ (UNAUDITED) Net Asset Value, Beginning of Period $ 13.03 $ 9.78 $ 7.11 $ 7.08 $ 7.83 $ 10.08 ------------ ---------- ---------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.22 0.24 0.16 0.09 0.10 0.09 Net Gains (Losses) on Securities (Realized and Unrealized) 0.81 3.18 2.63 0.04 (0.79) (2.26) ------------ ---------- ---------- --------- --------- --------- Total from Investment Operations 1.03 3.42 2.79 0.13 (0.69) (2.17) - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.24) (0.17) (0.12) (0.10) (0.06) (0.08) Net Realized Gains -- -- -- -- -- -- ------------ ---------- ---------- --------- --------- --------- Total Distributions (0.24) (0.17) (0.12) (0.10) (0.06) (0.08) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 13.82 $ 13.03 $ 9.78 $ 7.11 $ 7.08 $ 7.83 ============================================================================================================================== Total Return 8.01%# 35.39% 39.88% 1.83% (8.96)% (21.73)% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 28,502 $ 22,778 $ 13,272 $ 9,211 $ 9,568 $ 10,465 Ratio of Expenses to Average Net Assets (1) 0.51%* 0.53% 0.58% 0.65% 0.93% 0.82%(a) Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses and/or recovery of previously waived fees) (1) 0.91%* 0.93% 0.98% 1.05% 1.33% 1.22%(a) Ratio of Net Investment Income to Average Net Assets 3.40%* 2.43% 2.09% 1.34% 1.49% 0.98% Portfolio Turnover Rate of Master Fund Series 2%# 2% 1% 8% 6% 12%
* Annualized # Non-annualized (1) Represents the combined ratio for the Portfolio and its respective pro-rata share of its Master Fund Series. (a) The plan's sponsor has voluntarily contributed to the portfolio an amount equal to that portion of the aggregate fees and expenses incurred by the Portfolio relating to the plan's investment. See accompanying Notes to Financial Statements. 6 DIMENSIONAL INVESTMENT GROUP INC. EMERGING MARKETS PORTFOLIO II 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 consists of sixteen portfolios, of which the Emerging Markets Portfolio II (the "Portfolio") is presented in this report. The Portfolio invests all of its assets in The Emerging Markets Series (the "Series"), a series of The DFA Investment Trust Company. At May 31, 2005, the Portfolio owned 2% of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The Portfolio's investment reflects its proportionate interest in the net assets of the Series. 2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $415. 3. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Expenses directly attributable to the Portfolio are directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides administrative services to the Portfolio, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. The Advisor provides investment advisory services to the Series. For the six months ended May 31, 2005, the Portfolio's administrative fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.40 of 1% of the first $50 million of average net assets. 7 Certain officers of the Fund are also officers, directors and shareholders of the Advisor. Pursuant to a Fee Expense Waiver and Assumption Agreement for Emerging Markets Portfolio II, the Advisor has agreed to waive its administration fee of 0.40% per year for the Portfolio on the first $50 million of the Portfolio's average net assets. This Fee Expense Waiver and Assumption Agreement will remain in effect for a period of one year from April 1, 2005 to April 1, 2006, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. In addition, each sponsor of a benefit plan which invested in the Portfolio had agreed to make a voluntary monthly contribution prior to January 1, 2001 to the Portfolio in an amount equal to that portion of the aggregate fees and expenses incurred by the Portfolio related to the benefit plan's investment. Such contributions were made in accordance with the sponsor's practice of bearing the expenses of administering the benefit plan's investments and were recorded as additions to capital. Effective January 1, 2001, the sponsors of the benefit plans which invest in the Portfolio no longer make voluntary monthly contributions to the Portfolio for the portion of the fees and expenses incurred by the Portfolio relating to the benefit plan's investment. D. FEDERAL INCOME TAXES: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- ----- 2004 $ 229 -- $ 229 2003 147 -- 147
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED CAPITAL TOTAL NET NET INVESTMENT LOSS DISTRIBUTABLE EARNINGS INCOME CARRYFORWARDS (ACCUMULATED LOSSES) -------------- ------------- ---------------------- $ 365 $ (3,024) $ (2,659)
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at November 30, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. At November 30, 2004, the Portfolio had a capital loss carryforward available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON NOVEMBER 30, ---------------------------------------------- 2007 2009 2010 2011 TOTAL ---------- --------- -------- --------- ----------- $ 1,478 $ 592 $ 669 $ 285 $ 3,024
Certain of the Portfolio's investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. During the year ended November 30, 2004, the Portfolio had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies of $88,857 and $8,775, 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. 8 At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) -------- ------------ ------------ -------------- $ 20,110 $ 9,122 $ (731) $ 8,391
E. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
UNREALIZED ACCUMULATED ACCUMULATED APPRECIATION NET REALIZED NET REALIZED DEFERRED (DEPRECIATION) OF UNREALIZED ACCUMULATED GAIN (LOSS) OF FOREIGN THAILAND INVESTMENT NET FOREIGN NET INVESTMENT INVESTMENT EXCHANGE GAIN CAPITAL SECURITIES AND EXCHANGE GAIN TOTAL NET PAID-IN CAPITAL INCOME (LOSS) SECURITIES (LOSS) GAINS TAX FOREIGN CURRENCY (LOSS) ASSETS - --------------- -------------- -------------- ------------- --------- ----------------- ------------- --------- $ 22,795 $ 298 $ (2,898) $ (18) $ (91) $ 8,415 $ 1 $ 28,502
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 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings by the Portfolio under the line of credit during the six months ended May 31, 2005. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for it's particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement of the line of credit expires in April 2, 2006. There were no borrowings by the Portfolio under the line of credit during the six months ended May 31, 2005. G. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 9 THE DFA INVESTMENT TRUST COMPANY THE EMERGING MARKETS SERIES DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 5/31/05 RATIO PERIOD* ------------- ----------- ---------- ----------- Actual Fund Return $ 1,000.00 $ 1,080.90 0.28% $ 1.45 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.60 0.28% $ 1.41
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 10 THE DFA INVESTMENT TRUST COMPANY THE EMERGING MARKETS SERIES DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment Trust Company, this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Financials 23.9% Telecommunication Services 16.8 Materials 16.3 Consumer Staples 10.0 Information Technology 9.0 Industrials 7.4 Consumer Discretionary 6.8 Utilities 4.4 Energy 3.2 Health Care 2.1 Other 0.1 ----- 100.0% =====
11 THE EMERGING MARKETS SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE + ---------------- ---------------- MEXICO -- (12.1%) COMMON STOCKS -- (12.1%) Alfa S.A. de C.V. Series A 640,590 $ 3,678,389 America Movil S.A. de C.V. Series L 10,897,700 30,837,777 * America Telecom S.A. de C.V. Series A 5,129,240 15,504,095 * Carso Global Telecom S.A. de C.V. Telecom Series A1 3,638,671 6,452,048 Cementos de Mexico S.A. de C.V. Series B 1,551,017 11,800,403 Coca-Cola Femsa S.A. de C.V. Series L 1,310,600 3,111,431 Consorcio Ara S.A. 157,500 512,249 Controladora Comercial Mexicana S.A. de C.V. Series B 633,700 681,188 * Corporacion Interamericana de Entramiento S.A. de C.V. Series B 75,000 145,392 * Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,107 214 Corporativo Fragua S.A. de C.V. Series B 21 67 * Desc S.A. de C.V. Series B 619,841 167,996 El Puerto de Liverpool S.A. de C.V. Series C1 339,500 686,215 Embotelladora Arca S.A. de C.V., Mexico 466,500 959,629 * Empresas ICA Sociedad Controladora S.A. de C.V. 623,700 246,401 Empresas la Moderna S.A. de C.V. Series A 120,000 22,993 Fomento Economico Mexicano Series B & D 754,800 4,122,695 Gruma S.A. de C.V. Series B 90,406 193,116 Grupo Carso S.A. de C.V. Series A-1 3,272,232 5,712,092 Grupo Continental S.A. de C.V. 358,600 553,499 Grupo Elektra S.A. de C.V. 141,400 1,000,317 Grupo Financiero del Norte S.A. Series C 568,984 3,789,445 * Grupo Financiero GBM Atlantico S.A. de C.V. Series L 22,746 11,703 Grupo Financiero Inbursa S.A. de C.V. Series O 3,161,776 6,739,328 * Grupo Gigante S.A. de C.V. Series B 117,282 80,815 Grupo Industrial Bimbo S.A. de C.V. Series A 1,711,100 4,653,338 Grupo Industrial Maseca S.A. de C.V. Series B 229,000 130,234 Grupo Modelo S.A. de C.V. Series C 2,602,300 7,889,851 * Grupo Nutrisa S.A. de C.V. 129 50 * Grupo Qumma S.A. de C.V. Series B 1,591 26 Grupo Televisa S.A. (Certificate Representing Series A, Series D & Series L) 2,117,800 6,339,186 * Grupo Tribasa S.A. de C.V. 2,120 0 Hylsamex S.A. de C.V. Series B 153,914 554,322 Industrias Penoles S.A. de C.V. 324,600 1,604,458 Kimberly Clark de Mexico S.A. de C.V. Series A 980,200 3,120,437 Nueva Grupo Mexico S.A. de C.V. Series B 930,858 4,395,862 * Organizacion Soriana S.A. de C.V. Series B 701,000 2,666,342 Telefonos de Mexico S.A. Series A 200,000 186,690 Telefonos de Mexico S.A. de C.V. 18,366,800 16,975,833 TV Azteca S.A. de C.V. Series A 1,832,100 935,883 * US Commercial Corp. S.A. de C.V. 223,000 80,416 Vitro S.A. de C.V. 121,600 94,850 Wal-Mart de Mexico S.A. de C.V. Series V 5,494,302 20,822,553 ---------------- TOTAL -- MEXICO (Cost $112,747,040) 167,459,828 ----------------
1 TAIWAN -- (11.7%) COMMON STOCKS -- (11.7%) Acer, Inc. 1,051,883 1,990,209 * Advanced Semiconductor Engineering, Inc. 2,302,396 1,662,238 Advantech Co., Ltd. 138,254 325,610 Asia Cement Corp. 1,009,750 645,500 Asustek Computer, Inc. 1,479,062 4,070,093 * Au Optronics Corp. 2,755,487 4,555,326 Benq Corp. 1,083,160 1,113,908 Cathay Financial Holdings Co., Ltd. 5,527,529 10,537,019 Cathay Real Estate Development Co., Ltd. 568,213 238,013 * Chang Hwa Commercial Bank 2,407,796 1,352,975 Cheng Shin Rubber Industry Co., Ltd. 487,437 539,634 Cheng Uei Precision Industry Co., Ltd. 43,136 119,317 Chi Mei Optoelectronic Corp. 2,536,177 3,983,214 China Airlines 1,236,157 684,244 * China Development Financial Holding Corp. 5,507,000 2,097,432 China Motor Co., Ltd. 714,628 735,133 China Steel Corp. 5,889,753 5,730,002 Chinatrust Financial Holdings Co., Ltd. 3,310,473 3,719,032 * Chungwa Picture Tubes Co., Ltd. 3,932,298 1,721,769 CMC Magnetics Corp. 1,356,400 626,080 Compal Electronics, Inc. 1,595,372 1,525,437 * Cosmos Bank Taiwan 478,000 226,941 Delta Electronics Industrial Co., Ltd. 822,228 1,330,514 D-Link Corp. 145,122 175,109 E.Sun Financial Holding Co., Ltd. 1,482,744 1,201,988 * Eva Airways Corp. 1,326,289 656,994 Evergreen Marine Corp., Ltd. 1,320,382 1,180,997 Far East Textile, Ltd. 2,372,668 1,777,511 * Far Eastern International Bank 583,000 317,434 * First Financial Holding Co., Ltd. 3,192,000 2,592,120 Formosa Chemicals & Fiber Co., Ltd. 3,480,090 6,299,508 Formosa Plastics Corp. 3,027,210 5,143,441 Formosa Taffeta Co., Ltd. 436,767 213,149 Fu Sheng Industrial Co., Ltd. 203,035 247,827 Fubon Financial Holding Co., Ltd. 6,054,052 5,734,274 Fuh-Hwa Financial Holding Co., Ltd. 1,082,976 573,651 Giga-Byte Technology Co., Ltd. 167,160 183,172 High Tech Computer Corp. 122,600 1,079,606 Hon Hai Precision Industry Co., Ltd. 1,899,306 9,940,234 Hotai Motor Co., Ltd. 223,000 503,647 * Hsinchu International Bank 451,800 264,802 Hua Nan Financial Holding Co., Ltd. 3,654,320 2,820,860 International Bank of Taipei 885,928 608,765 Inventec Corp. 763,888 352,916
2 Lite-On Technology Corp. 1,331,010 1,422,942 * Macronix International Co., Ltd. 1,547,500 242,255 Media Tek, Inc. 418,730 3,605,331 Mega Financial Holding Co., Ltd. 6,278,535 4,067,932 Mitac International Corp. 166,000 176,717 * Mosel Vitelic Inc. Co., Ltd. 336 92 Nan Ya Plastic Corp. 4,237,625 5,792,656 * Nanya Technology Co., Ltd. 2,240,989 1,714,196 Optimax Technology Corp. 112,455 273,952 Oriental Union Chemical Corp. 132,531 120,462 * Pacific Electric Wire & Cable Corp. 233,200 3,866 Pou Chen Corp. 1,001,859 818,176 President Chain Store Corp. 435,260 797,159 * Q-Run Technology Co., Ltd. 187,200 705,438 Quanta Computer, Inc. 2,051,308 3,742,611 * Quanta Display, Inc. 2,116,000 1,046,887 Realtek Semiconductor Corp. 194,001 196,432 Ritek Corp. 580,204 203,450 Shin Kong Financial Holding Co., Ltd. 1,753,463 1,774,619 Siliconware Precision Industries Co., Ltd. 874,200 828,429 SinoPac Holdings Co., Ltd. 1,721,096 916,156 Sunplus Technology Co., Ltd. 361,145 501,217 Synnex Technology International Corp. 326,680 487,055 Taishin Financial Holdings Co., Ltd. 2,495,135 2,150,829 * Taiwan Business Bank 1,632,644 517,917 Taiwan Cement Corp. 1,302,731 739,455 Taiwan Glass Ind. Corp. 542,079 516,255 Taiwan Life Insurance Co., Ltd 101,200 172,598 Taiwan Semiconductor Manufacturing Co., Ltd. 13,743,936 24,779,451 * Tatung Co., Ltd. 1,684,000 536,702 Transcend Information, Inc. 35,187 90,055 U-Ming Marine Transport Corp. 279,050 434,936 Uni-President Enterprises Corp. 1,495,020 674,327 * United Microelectronics Corp. 8,696,611 5,859,321 * Via Technologies, Inc. 359,699 232,711 * Walsin Lihwa Corp. 1,338,000 558,095 Wan Hai Lines Co., Ltd. 823,934 777,861 Waterland Financial Holdings 801,000 336,247 * Winbond Electronics Corp. 1,794,000 575,308 Wintek Corp. 151,000 202,586 Ya Hsin Industrial Co., Ltd. 223,683 210,156 * Yageo Corp. 608,440 229,865 Yang Ming Marine Transport Corp. 1,248,894 1,095,527 Yieh Phui Enterprise Co., Ltd. 266,435 136,096 Yuen Foong Yu Paper Manufacturing Co., Ltd. 383,022 144,808 Yulon Motor Co., Ltd. 684,753 793,686 Zyxel Communication Corp. 116,980 295,407 ---------------- TOTAL COMMON STOCKS (Cost $143,235,910) 162,895,874 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Taiwan Dollar 17,498 ---------------- (Cost $17,422) TOTAL -- TAIWAN (Cost $143,253,332) 162,913,372 ----------------
3 SOUTH KOREA -- (11.7%) COMMON STOCKS -- (11.7%) Amorepacific Corp. 5,100 1,329,694 CJ Corp. 10,400 740,276 Daelim Industrial Co., Ltd. 16,090 771,661 Daewoo Engineering & Construction Co., Ltd. 247,900 1,734,810 Daewoo Heavy Industries & Machinery, Ltd. 113,400 913,943 Daewoo International Corp. 32,910 483,589 * Daewoo Securities Co., Ltd. 56,445 373,741 Daewoo Shipbuilding & Marine Engineering Co., Ltd. 126,010 2,536,876 Dongkuk Steel Mill Co., Ltd. 14,670 239,848 Doosan Heavy Industries & Construction Co., Ltd. 24,500 337,234 GS Holdings Corp. 42,945 968,036 Hanjin Shipping Co., Ltd. 35,750 952,294 Hankook Tire Manufacturing Co., Ltd. 72,650 820,116 Hanwha Chemical Corp. 32,000 342,885 Hite Brewery Co., Ltd. 12,140 1,117,612 * Honam Petrochemical Corp. 8,750 342,947 Hyundai Development Co. 33,870 713,391 Hyundai Heavy Industries Co., Ltd. 43,820 2,292,452 * Hyundai Merchant Marine Co., Ltd. 67,170 1,064,216 Hyundai Mobis 46,710 3,001,525 Hyundai Motor Co., Ltd. 103,609 5,804,693 INI Steel Co., Ltd. 45,530 669,464 Kangwon Land, Inc. 138,510 1,988,073 Kia Motors Corp. 250,830 3,568,154 Kookmin Bank 146,005 6,402,301 Korea Electric Power Corp. 495,290 14,472,188 * Korea Exchange Bank 561,620 4,759,380 Korea Gas 65,190 1,823,804 Korean Air Co., Ltd. 42,880 761,393 KT Corp. 195,930 7,896,552 KT&G Corp. 103,590 3,628,014 Kumgang Korea Chemical Co., Ltd. 5,970 1,004,380 * LG Card Co., Ltd. 64,169 2,142,657 LG Chemical Investment, Ltd. 126,575 3,224,579 LG Chemical, Ltd. 33,656 1,221,714 LG Electronics, Inc. 77,220 5,559,551 LG Engineering & Construction Corp. 23,120 719,009 LG Investment & Securities Co., Ltd. 40,060 373,109 LG Petrochemical Co., Ltd. 18,420 447,786 * LG Phillips LCD Co., Ltd. 22,030 1,142,710 Lotte Chilsung Beverage Co., Ltd. 400 373,628 * NCsoft Corp. 10,110 881,432 Nong Shim Co., Ltd. 3,050 919,130 POSCO 40,940 7,297,089 Pusan Bank 50,610 430,347 S1 Corp. 20,538 839,513 Samsung Corp. 58,510 798,482 Samsung Electro-Mechanics Co., Ltd. 32,707 794,372
4 Samsung Electronics Co., Ltd. 53,188 25,686,766 Samsung Fire and Marine Insurance, Ltd. 24,219 1,834,462 Samsung Heavy Industries Co., Ltd. 100,590 841,685 Samsung SDI Co., Ltd. 22,742 2,164,363 Samsung Securities Co., Ltd. 29,230 754,592 Seoul Bank 104,780 2,658,698 Shinhan Financial Group Co., Ltd. 165,422 4,236,740 Shinsegae Co., Ltd. 9,100 3,015,812 SK Corp., Ltd. 66,504 3,448,220 SK Telecom Co., Ltd. 56,085 9,947,204 S-Oil Corp. 86,310 6,356,268 ---------------- TOTAL -- SOUTH KOREA (Cost $94,368,322) 161,965,460 ---------------- SOUTH AFRICA -- (10.9%) COMMON STOCKS -- (10.9%) ABSA Group, Ltd. 604,870 7,346,378 African Oxygen, Ltd. 393,939 1,477,115 Anglo American Platinum Corp., Ltd. 302,315 12,993,774 Anglo American PLC 667,281 15,902,785 Anglogold, Ltd. 304,962 10,293,029 * Anglovaal Mining, Ltd. 93,775 463,461 Aspen Pharmacare Holdings PLC 259,317 949,904 AVI, Ltd. 178,834 326,907 Barloworld, Ltd. 157,177 2,031,363 Bidvest Group, Ltd. 254,135 2,583,633 * Consol, Ltd. 178,834 273,079 * Dimension Data Holdings PLC 246,926 143,310 * Discovery Holdings, Ltd. 463,855 1,498,636 Edgars Consolidated Stores, Ltd. 39,111 1,531,616 Firstrand, Ltd. 5,453,719 10,993,898 Foschini, Ltd. 167,846 903,392 Gold Fields, Ltd. 306,889 3,366,763 Harmony Gold Mining Co., Ltd. 298,281 2,213,024 Impala Platinum Holdings, Ltd. 46,076 3,871,032 * Imperial Holdings, Ltd. 159,111 2,339,773 Investec, Ltd. 28,155 809,000 JD Group, Ltd. 119,825 1,059,422 Kumba Resources, Ltd. 15,092 148,775 Liberty Group, Ltd. 331,965 3,026,709 Massmart Holdings, Ltd. 136,739 848,955 Mittal Steel South Africa, Ltd. 545,537 4,069,873 MTN Group, Ltd. 1,329,332 8,773,164 Nampak, Ltd. 460,336 1,015,773 Naspers, Ltd. Series N 204,973 2,519,852 Nedcor, Ltd. 454,722 5,066,339 Network Healthcare Holdings, Ltd. 1,448,416 1,285,890 Old Mutual PLC 2,547,699 5,422,437 Pick'n Pay Stores, Ltd. 584,356 2,131,740 Pretoria Portland Cement Co., Ltd. 75,919 2,437,822 Sanlam, Ltd. 1,913,846 3,152,969
5 Santam, Ltd. 81,524 730,420 Sappi, Ltd. 163,117 1,579,527 Standard Bank Group, Ltd. 979,729 8,918,054 Steinhoff International Holdings, Ltd. 954,753 1,897,552 Telkom SA, Ltd. 660,710 10,789,042 Tiger Brands, Ltd. 111,679 1,773,769 Truworths International, Ltd. 307,364 757,453 * Woolworths Holdings, Ltd. 689,630 1,056,654 ---------------- TOTAL -- SOUTH AFRICA (Cost $135,051,995) 150,774,063 ---------------- BRAZIL -- (10.8%) PREFERRED STOCKS -- (9.7%) Ambev Cia de Bebidas das Americas 12,453,835 3,721,937 Aracruz Celulose SA Series B 711,999 2,405,342 Banci Itau Holding Financeira SA 86,800 15,274,206 Banco Bradesco SA 401,079 12,908,768 Brasil Telecom Participacoes SA 234,026,240 1,555,966 Brasil Telecom SA 626,730,875 2,523,050 Brasileira de Distribuicao Pao de Acucar 58,650,000 1,241,399 * Braskem SA Preferred A 435,600 4,150,810 Companhia Energetica de Minas Gerais 109,900,000 3,329,612 Embraer Empresa Brasileira de Aeronautica 747,821 5,654,824 * Embratel Participacoes SA 143,582,922 305,103 * Empresa Nasional de Comercio Redito e Participacoes SA 480,000 2,391 Gerdau SA 465,156 4,691,135 Investimentos Itau SA 3,300,893 6,740,151 Klabin SA 682,875 1,125,135 * Lojas Renner SA 800,000 26,728 Metalurgica Gerdau SA 98,850 1,370,239 Paranaense de Energia Series B 100,000,000 572,733 Siderurgica Belgo-Mineira 10,870,000 4,781,988 Siderurgica de Tubarao 63,720,000 3,427,314 Siderurgica Paulista Casipa Series B 325 6,070 Suzano Bahia Sul Papel e Celullose SA 143,545 625,533 * Tele Centro Oeste Celular Participacoes SA 76,815 820,911 Tele Norte Leste Participacoes SA 180,034 2,736,188 * Tele Sudeste Celular Participacoes SA 16,200 129,761 Telemar Norte Leste SA 225,100 5,259,651 * Telesp Celular Participacoes SA 858,662 4,351,219 Telesp Participacoes SA 621,100,000 11,793,038 Unibanco-Uniao de Bancos Brasileiros SA 20,000 60,178 Unibanco-Uniao de Bancos Brasileiros Units SA 513,130 3,679,969 Usinas Siderurgicas de Minas Gerais SA 200,539 3,777,740 Vale do Rio Doce Series A 926,880 22,888,300 * Vale do Rio Doce Series B 81,160 0 Votorantim Celulose e Papel SA 71,336 847,032 Weg SA 489,800 1,485,967 ---------------- TOTAL PREFERRED STOCKS (Cost $78,699,331) 134,270,388 ----------------
6 COMMON STOCKS -- (1.1%) Ambev Cia de Bebidas das Americas 5,420,000 1,453,131 Brasil Telecom Participacoes SA 59,520,574 535,055 Companhia Siderurgica Nacional SA 241,404 4,278,046 Copesul Companhia Petroquimica do Sul 55,860 739,545 CPFL Geracao de Energia SA 3,140,000 14,987 * Embratel Participacoes SA 57,550,000 114,646 Souza Cruz Industria e Comercio 521,300 6,555,464 * Tele Centro Oeste Celular Participacoes SA 19,748 215,962 * Tele Norte Celular Participacoes SA 57,624,254 21,524 Tele Norte Leste Participacoes SA 59,254 1,224,673 * Tele Sudeste Celular Participacoes SA 613 4,740 * Tractebel Energia SA 108,600 531,394 ---------------- TOTAL COMMON STOCKS (Cost $9,933,446) 15,689,167 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Brazilian Real 34,038 ---------------- (Cost $32,142) RIGHTS/WARRANTS -- (0.0%) * Itausa-Investimentos Itau SA Preferred Rights 06/01/05 25,591 9,240 ---------------- (Cost $0) TOTAL -- BRAZIL (Cost $88,664,919) 150,002,833 ---------------- MALAYSIA -- (6.6%) COMMON STOCKS -- (6.6%) * AmInvestment Group Berhad 406,882 173,460 AMMB Holdings Berhad 2,103,331 1,281,975 Berjaya Sports Toto Berhad 746,800 765,698 British American Tobacco Berhad 295,300 3,145,379 CIMB Berhad 259,300 341,070 Commerce Asset Holding Berhad 2,588,400 3,170,177 * Digi.Com Berhad 767,162 1,047,881 Diversified Resources Berhad 643,200 233,317 Gamuda Berhad 510,000 584,406 Genting Berhad 697,300 3,282,146 Golden Hope Plantations Berhad 948,200 952,708 Highlands and Lowlands Berhad 107,500 107,467 Hong Leong Bank Berhad 1,607,150 2,113,878 Hong Leong Credit Berhad 1,060,629 1,120,858 IJM Corp. Berhad 228,300 282,275 IOI Corp. Berhad 1,044,500 2,526,453 IOI Oleochemical Industries Berhad 22,041 53,346 IOI Properties Berhad 151,300 292,553 Kuala Lumpur Kepong Berhad 747,000 1,257,443 Magnum Corp. Berhad 1,487,600 782,169 Malakoff Berhad 835,700 1,603,712 Malayan Banking Berhad 2,815,700 8,142,334
7 Malayan Cement Berhad 2,266,300 351,476 Malaysia Mining Corp. Berhad 828,700 414,207 Malaysian Airlines System Berhad 1,090,600 1,016,099 Malaysian International Shipping Corp. (Foreign) 1,501,566 6,824,540 Malaysian Pacific Industries 170,000 482,570 Malaysian Plantations Berhad 927,500 590,137 Maxis Communications Berhad 1,631,600 4,226,294 Nestle (Malaysia) Berhad 229,200 1,440,167 Oriental Holdings Berhad 215,300 226,310 Oyl Industries Berhad 134,300 1,281,040 Petronas Dagangan Berhad 813,400 894,588 Petronas Gas Berhad 1,810,900 3,380,889 Plus Expressways Berhad 3,046,800 2,467,171 PPB Group Berhad 579,600 1,097,171 Proton Holdings Berhad 389,000 726,132 Public Bank Berhad 1,550,201 2,729,507 Resorts World Berhad 1,120,700 2,840,505 RHB Capital Berhad 1,849,900 977,243 Shell Refining Co. Federation of Malaysia Berhad 227,000 549,315 Sime Darby Berhad 2,334,600 3,563,750 Southern Bank Berhad 48,440 41,009 Southern Bank Berhad (Foreign) 1,412,337 1,151,714 SP Setia Berhad 488,100 475,362 Star Publications (Malaysia) Berhad 182,800 331,621 Telekom Malaysia Berhad 3,138,900 8,078,652 Tenaga Nasional Berhad 3,662,800 9,923,114 UMW Holdings Berhad 364,533 479,289 YTL Corp. Berhad 1,578,966 2,180,370 ---------------- TOTAL -- MALAYSIA (Cost $86,119,098) 92,000,947 ---------------- TURKEY -- (6.3%) COMMON STOCKS -- (6.3%) Akbank T.A.S. 2,264,998 12,090,210 Anadolu Efes Biracilik ve Malt Sanayi A.S. 182,246 3,623,681 Arcelik A.S 1,549,702 8,127,666 * Dogan Sirketler Grubu Holding A.S. 722,062 1,659,633 * Dogan Yayin Holding A.S. 542,816 1,235,561 Enka Insaat ve Sanayi A.S. 494,820 5,385,251 Eregli Demir ve Celik Fabrikalari Turk A.S. 1,595,341 6,405,511 Ford Otomotiv Sanayi A.S. 867,588 5,391,825 Hurriyet Gazetecilik ve Matbaacilik A.S. 629,278 1,203,744 * Koc Holding A.S. 281,693 1,197,380 Koc Holding A.S. Series B 1,058,111 4,482,928 Migros Turk A.S. 450,270 3,482,021 Tofas Turk Otomobil Fabrikasi A.S. 1,489,092 2,055,958 Trakya Cam Sanayii A.S. 187,301 595,751 Tupras-Turkiye Petrol Rafinerileri A.S. 289,886 3,652,551 Turk Sise ve Cam Fabrikalari A.S. 639,484 1,534,884 * Turkiye Garanti Bankasi A.S. 2,261,914 8,536,645 Turkiye Is Bankasi A.S. 2,002,976 10,818,452 * Vestel Elektronik Sanayi ve Ticaret A.S. 240,241 834,543 * Yapi ve Kredi Bankasi A.S. 1,232,184 4,682,623 ---------------- TOTAL -- TURKEY (Cost $29,310,662) 86,996,818 ----------------
8 ISRAEL -- (5.5%) COMMON STOCKS -- (5.5%) Africa-Israel Investments, Ltd. 108,700 4,017,919 Bank Hapoalim, Ltd. 2,309,640 8,108,404 Bank Leumi Le-Israel 2,802,069 7,928,531 * Bezeq Israeli Telecommunication Corp., Ltd. 4,049,014 5,001,098 Blue Square Israel, Ltd. 16,186 156,734 CLAL Industries, Ltd. 289,038 1,331,162 CLAL Insurance, Ltd. 114,684 2,411,331 Delek Group, Ltd. 4,584 447,323 Discount Investment Corp 66,100 1,618,017 Elbit Systems, Ltd. 98,319 2,395,417 * Elron Electronic Industries, Ltd. 0 5 * First International Bank of Israel, Ltd. Par Value $.01 347,200 537,889 * First International Bank of Israel, Ltd. Par Value $.05 48,660 349,471 IDB Development Corp., Ltd. Series A 101,015 3,101,292 IDB Holding Corp., Ltd. 36,578 802,548 Israel Chemicals, Ltd. 2,410,526 7,714,773 Israel Corp. Series A 5,500 1,573,282 * Koor Industries, Ltd. 25,971 1,690,252 M.A.Industries, Ltd. 843,283 5,101,647 Migdal Insurance Holdings 2,079,107 2,938,231 Osem Investment, Ltd. 210,522 1,794,037 * Perrigo Co. 57,227 896,928 Strauss Elite, Ltd. 33,250 311,919 Super-Sol, Ltd. Series B 372,926 1,005,696 Teva Pharmaceutical Industries, Ltd. 418,280 13,912,996 * United Mizrahi Bank, Ltd. 384,693 1,822,509 ---------------- TOTAL COMMON STOCKS (Cost $37,118,237) 76,969,411 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Israel Shekel 157 ---------------- (Cost $153) TOTAL -- ISRAEL (Cost $37,118,390) 76,969,568 ---------------- INDONESIA -- (4.7%) COMMON STOCKS -- (4.7%) PT Astra International Tbk 8,470,461 10,387,615 PT Bank Central Asia Tbk 1,980,000 720,708 PT Bank Danamon Indonesia Tbk 1,762,000 891,351 PT Bimantara Citra Tbk 1,485,000 365,880
9 PT Gudang Garam Tbk 4,695,500 6,352,536 * PT Indocement Tunggal Prakarsa Tbk 7,362,000 2,468,047 PT Indofood Sukses Makmur Tbk 18,886,400 2,377,886 PT Indonesian Satellite Corp.Tbk 14,967,500 7,774,558 PT International Nickel Indonesia Tbk 580,000 846,641 * PT Makindo Tbk 2,236,500 224,402 PT Medco Energi International Tbk 9,754,000 3,226,110 * PT Panasia Indosyntec Tbk 75,100 3,945 PT Semen Gresik Tbk 1,739,502 2,937,277 PT Telekomunikasi Indonesia (Persero) Tbk 37,153,640 18,242,960 PT Unilever Tbk 16,022,000 7,688,916 ---------------- TOTAL COMMON STOCKS (Cost $39,400,179) 64,508,832 ---------------- RIGHTS/WARRANTS -- (0.0%) * PT Lippo Karawaci Tbk Free Warrants 11/30/07 45,877 928 ---------------- (Cost $0) TOTAL -- INDONESIA (Cost $39,400,179) 64,509,760 ---------------- UNITED STATES -- (4.0%) COMMON STOCKS -- (4.0%) * Banco Bilboa Vizcaya Argentaria Chile SA ADR 64,200 1,653,362 * Banco de Chile Series F ADR 47,643 1,653,212 Banco Santander Chile Sponsored ADR 295,998 9,235,138 Cia Telecom de Chile ADR 421,400 4,142,362 Compania Cervecerias Uni ADR 115,400 2,706,130 Cristalerias de Chile SA ADR 35,600 1,004,632 * Distribucion y Servicio D&S SA ADR 208,828 3,821,552 Embotelladora Andina SA Andina ADR 109,600 1,282,320 Embotelladora Andina SA Andina Series B ADR 89,100 1,175,229 Empresa Nacional de Electricidad SA ADR 514,018 11,822,414 * Enersis SA ADR 285,903 2,633,167 * Grupo Financiero Galicia SA ADR 211,011 1,846,346 Lan Chile SA ADR 125,900 4,620,530 * Madeco SA 4,450 40,361 Masisa SA ADR 25,100 414,150 Sociedad Quimica y Minera de Chile SA ADR 61,300 5,236,246 Sociedad Quimica y Minera de Chile SA ADR Class A 902 85,239 Vina Concha y Toro SA Conchatoro ADR 27,100 2,039,275 ---------------- TOTAL -- UNITED STATES (Cost $40,357,553) 55,411,665 ---------------- THAILAND -- (3.6%) COMMON STOCKS -- (3.6%) Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 13,766,109 Aromatics (Thailand) Public Co., Ltd. (Foreign) 1,387,500 1,809,931 Bangkok Expressway Public Co., Ltd. (Foreign) 1,794,100 1,159,122
10 * Bank of Ayudhya Public Co., Ltd. (Foreign) 5,174,500 1,617,429 Banpu Public Co., Ltd. (Foreign) 132,000 490,574 BEC World Public Co., Ltd. (Foreign) 3,915,000 1,194,831 Charoen Pokphand Foods Public Co., Ltd. (Foreign) 14,442,000 1,521,333 Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 4,100,710 1,544,201 Krung Thai Bank Public Co., Ltd. (Foreign) 17,302,970 3,917,975 Land & Houses Public Co., Ltd. (Foreign) 2,130,310 403,726 National Finance and Securities Public Co., Ltd. (Foreign) 630,150 209,378 National Petrochemical Public Co., Ltd. (Foreign) 441,500 1,314,829 Ratchaburi Electricity Generating Holding Public Co., Ltd. (Foreign) 2,200,000 2,111,740 Shin Corporation Public Co., Ltd. (Foreign) 6,122,000 5,575,043 Siam Cement Public Co., Ltd. (Foreign) 270,000 1,621,462 Siam City Cement Public Co., Ltd. (Foreign) 633,413 4,427,499 Siam Commercial Bank Public Co., Ltd. (Foreign) 2,549,166 2,995,882 * Telecomasia Corp. Public Co., Ltd. (Foreign) 6,977,800 1,476,965 * Thai Military Bank Public Co., Ltd. (Foreign) 12,415,080 1,240,591 Thai Union Frozen Products Public Co., Ltd. (Foreign) 3,178,520 2,190,464 ---------------- TOTAL COMMON STOCKS (Cost $40,370,479) 50,589,084 ---------------- RIGHTS/WARRANTS -- (0.0%) * Telecomasia Corp. Public Co., Ltd. (Foreign) Warrants 03/31/08 1,444,563 0 ---------------- (Cost $0) TOTAL -- THAILAND (Cost $40,370,479) 50,589,084 ---------------- HUNGARY -- (3.0%) COMMON STOCKS -- (3.0%) Budapesti Elektromos Muvek RT 185 20,127 Delmagyarorszagi Aramszolgaltato Demasz RT 2,275 151,804 Egis RT 37,757 3,245,334 Gedeon Richter, Ltd. 46,937 6,116,871 * Magyar Olay-Es Gazipari RT 168,429 12,524,216 Matav RT 1,050,555 4,082,831 Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 11,975,686 * Tiszai Vegyi Kombinat RT 117,534 3,306,425 ---------------- TOTAL -- HUNGARY (Cost $15,788,433) 41,423,294 ---------------- PHILIPPINES -- (2.5%) COMMON STOCKS -- (2.5%) Aboitiz Equity Ventures, Inc. 7,803,400 705,138 Ayala Corp. Series A 850,070 5,842,676 Ayala Land, Inc. 27,511,576 3,867,503 Bank of the Philippine Island 4,641,373 4,113,276 Equitable PCI Bank, Inc. 2,217,300 2,110,226 * Filipina Water Bottling Corp. 2,006,957 0
11 Metro Bank and Trust Co. 4,584,435 2,471,000 Petron Corp. 28,593,000 1,725,646 Philippine Long Distance Telephone Co. 347,030 9,389,585 SM Prime Holdings, Inc. 29,223,000 4,059,262 Union Bank of the Philippines 419,500 218,894 ---------------- TOTAL -- PHILIPPINES (Cost $41,776,760) 34,503,206 ---------------- POLAND -- (2.4%) COMMON STOCKS -- (2.4%) * Agora SA 98,779 1,987,712 Bank Polska Kasa Opieki -- Grupa Pekao SA 156,792 6,316,804 Bank Przemyslowo Handlowy BPH 31,526 4,776,577 Bank Zackodni WBK SA 93,312 2,543,552 Big Bank Gdanski SA 2,029,541 1,874,987 Browary Zywiec SA 15,860 2,359,684 * Budimex SA 36,763 537,420 * Cersanit-Krasnystaw SA 19,143 611,528 Debica SA 19,800 485,598 Frantschach Swiecie SA 103,599 1,447,415 * Kredyt Bank SA 418,562 1,161,463 Netia Holdings SA 495,665 558,232 * Optimus Technologie 6,873 14,259 Orbis SA 77,409 522,323 Polski Koncern Naftowy Orlen SA 267,237 3,623,950 * Prokom Software SA 21,336 603,706 Telekomunikacja Polska SA 712,274 3,941,839 Zaklady Metali Lekkich Kety SA 15,120 491,660 ---------------- TOTAL -- POLAND (Cost $20,586,160) 33,858,709 ---------------- ARGENTINA -- (1.7%) COMMON STOCKS -- (1.7%) Acindar Industria Argentina de Aceros SA Series B 899,000 1,879,116 * Alpargatas SA Industrial y Comercial 1,078 1,297 Alto Palermo SA Series A 5,000 11,045 Banco del Sud Sociedad Anonima Series B 29,000 38,722 * Banco Frances del Rio de la Plata SA 489,961 1,088,745 * Capex SA Series A 52,893 100,270 Celulosa Argentina SA Series B 18,750 22,130 * Central Costanera SA Series B 114,100 127,900 * Central Puerto SA Series B 16,000 9,073 * Garovaglio y Zorraquin SA 28,000 4,800 * Gas Natural SA, Buenos Aires 345,000 227,486 * Grupo Financiero Galicia SA Series B 150,000 123,633 * IRSA Inversiones y Representaciones SA 657,649 784,887 * Juan Minetti SA 353,151 387,712 Ledesma S.A.A.I. 242,632 142,388
12 * Metrogas SA Series B 543,115 241,730 * Molinos Rio de la Plata SA Series B 694,833 1,065,217 * Perez Companc SA 2,329,901 2,703,864 * Renault Argentina SA 399,465 108,652 Siderar S.A.I.C. Series A 721,484 5,280,613 Solvay Indupa S.A.I.C. 555,366 750,702 * Telecom Argentina Stet-France SA Series B 977,000 2,264,407 Tenaris SA 653,898 4,311,662 * Transportadora de Gas del Sur SA Series B 1,028,000 1,220,114 ---------------- TOTAL COMMON STOCKS (Cost $24,666,515) 22,896,165 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Argentine Peso 261,567 ---------------- (Cost $256,447) TOTAL -- ARGENTINA (Cost $24,922,962) 23,157,732 ---------------- INDIA -- (1.5%) COMMON STOCKS -- (1.5%) * Arvind Mills, Ltd. 18,986 61,552 * ASEA Brown Boveri, Ltd. 5,549 164,808 * Ashok Leyland, Ltd. 142,358 77,787 * Asian Paints (India), Ltd. 15,554 136,426 Aventis Pharma, Ltd. 2,238 65,808 * Bajaj Auto, Ltd. 6,338 177,601 * Bharat Earth Movers, Ltd. 3,595 54,866 * Bharat Forge, Ltd. 2,427 75,455 * Biocon, Ltd. 9,717 95,450 * Cadila Healthcare, Ltd. 5,103 56,558 * Cipla, Ltd. 24,613 162,538 * Colgate-Palmolive (India), Ltd. 11,162 55,974 * Crompton Greaves, Ltd. 5,089 54,699 * Dr. Reddy's Laboratories, Ltd. 23,214 382,927 * Glaxosmithkline Pharmaceuticals, Ltd. 11,432 198,369 * Great Eastern Shipping Co., Ltd. 36,320 129,595 * Gujarat Ambuja Cements, Ltd. 14,366 148,832 * HCL Technologies, Ltd. 34,977 291,632 HDFC Banking, Ltd. 92,565 1,138,848 * Hero Honda Motors, Ltd. Series B 41,808 527,741 * Hindustan Lever, Ltd. 417,111 1,364,595 * I-Flex Solutions, Ltd. 18,868 307,902 * Indian Hotels Co., Ltd. 8,770 133,873 Indian Petrochemicals Corp., Ltd. 41,340 154,124 * Indian Rayon & Industries, Ltd. 5,819 59,184 * Industrial Development Bank of India, Ltd. 85,476 182,428 * Infosys Technologies, Ltd. 82,467 4,241,466 * ITC, Ltd. 37,604 1,372,143 * Jindal Steel & Power, Ltd. 2,992 62,663 * Jindal Vijaynagar Steel, Ltd. 19,819 142,674 * Jubilant Organsys, Ltd. 2,601 55,561
13 * Larsen & Toubro, Ltd. 10,664 255,190 * Mahindra & Mahindra, Ltd. 26,845 313,600 * Maruti Udyog, Ltd. 37,828 403,069 * Matrix Laboratories, Ltd. 14,545 61,289 * Moser Baer (India), Ltd. 11,441 55,994 * Motor Industries Co., Ltd. 3,520 173,385 * Nicholas Piramal India, Ltd. 9,850 55,655 * Nirma, Ltd. 7,714 69,369 * Patni Computer Systems, Ltd. 19,208 152,770 * Ranbaxy Laboratories, Ltd. 37,255 937,364 Raymond, Ltd. 7,347 57,491 * Satyam Computer Services, Ltd. 101,831 1,058,054 * Sesa Goa, Ltd. 3,825 57,196 * Siemens India, Ltd. 4,338 199,281 * Sterlite Industries (India), Ltd. Series A 16,881 232,702 * Sun Pharmaceuticals Industries, Ltd. 25,252 302,720 * Tata Chemicals, Ltd. 17,655 71,926 * Tata Consultancy Services 31,845 969,430 * Tata Iron & Steel Co., Ltd. 72,467 600,725 * Tata Motors, Ltd. 89,716 887,023 * Tata Tea, Ltd. 11,253 147,517 * Tata Teleservices Maharashtra, Ltd. 229,010 135,191 UTI Bank, Ltd. 42,054 230,084 * Videsh Sanchar Nigam, Ltd. 31,313 148,808 * Wipro, Ltd. 50,702 826,971 * Wockhardt, Ltd. 7,465 62,175 * Zee Telefilms, Ltd. Series B 69,127 219,560 ---------------- TOTAL -- INDIA (Cost $20,211,656) 20,818,618 ---------------- CZECH REPUBLIC -- (0.6%) COMMON STOCKS -- (0.6%) Cesky Telecom A.S. 146,147 2,736,273 CEZ A.S. 222,890 3,779,222 Komercni Banka A.S. 15,737 1,941,621 Phillip Morris CR A.S. 478 332,388 * Zentiva NV 3,470 115,093 ---------------- TOTAL -- CZECH REPUBLIC (Cost $6,006,278) 8,904,597 ----------------
14
FACE AMOUNT VALUE + ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (0.4%) Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $5,486,000 FNMA Notes 2.95%, 11/14/07, valued at $5,479,143) to be repurchased at $5,398,433 $ 5,398 5,398,000 ---------------- (Cost $5,398,000) TOTAL INVESTMENTS -- (100.0%) (Cost $981,452,218) $ 1,387,657,554 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 15 THE DFA INVESTMENT TRUST COMPANY THE EMERGING MARKETS SERIES STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) ASSETS: Investments at Value $ 1,387,658 Cash 15 Receivables: Investment Securities Sold 15,037 Dividends and Interest 5,947 Fund Shares Sold 773 Prepaid Expenses and Other Assets 6 ------------- Total Assets 1,409,436 ------------- LIABILITIES: Payables: Investment Securities Purchased 1,089 Fund Shares Redeemed 1 Due to Advisor 115 Deferred Thailand Capital Gains Tax 3,562 Accrued Expenses and Other Liabilities 236 ------------- Total Liabilities 5,003 ------------- NET ASSETS $ 1,404,433 ============= Investments at Cost $ 981,452 =============
See accompanying Notes to Financial Statements. 16 THE DFA INVESTMENT TRUST COMPANY THE EMERGING MARKETS SERIES STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $2,719) $ 25,129 Interest 121 ------------- Total Investment Income 25,250 ------------- EXPENSES Investment Advisory Services 657 Accounting & Transfer Agent Fees 407 Custodian Fees 713 Legal Fees 4 Audit Fees 5 Shareholders' Reports 6 Trustees' Fees and Expenses 5 Other 22 ------------- Total Expenses 1,819 ------------- NET INVESTMENT INCOME (LOSS) 23,431 ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 9,968 Net Realized Gain (Loss) on Foreign Currency Transactions (877) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 61,977 Translation of Foreign Currency Denominated Amounts (25) Deferred Thailand Capital Gains Tax 114 ------------- NET GAIN (LOSS) 71,157 ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 94,588 =============
See accompanying Notes to Financial Statements. 17 THE DFA INVESTMENT TRUST COMPANY THE EMERGING MARKETS SERIES STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------- ------------ (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 23,431 $ 22,194 Net Realized Gain (Loss) on Investment Securities Sold 9,968 84 Net Realized Gain (Loss) on Foreign Currency Transactions (877) (1,491) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 61,977 245,707 Translation of Foreign Currency Denominated Amounts (25) 61 Deferred Thailand Capital Gains Tax 114 (985) ------------- ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 94,588 265,570 ------------- ------------ Transactions in Interest: Contributions 181,980 377,916 Withdrawals (32,397) (90,785) ------------- ------------ Net Increase from Transactions in Interest 149,583 287,131 ------------- ------------ Total Increase (Decrease) 244,171 552,701 NET ASSETS Beginning of Period 1,160,262 607,561 ------------- ------------ End of Period $ 1,404,433 $ 1,160,262 ============= ============
See accompanying Notes to Financial Statements. 18 THE DFA INVESTMENT TRUST COMPANY THE EMERGING MARKETS SERIES 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (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 8.09%# 35.47% 39.67% 2.10% (8.54)% (22.30)% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,404,433 $ 1,160,262 $ 607,561 $ 343,193 $ 307,720 $ 296,726 Ratio of Expenses to Average Net Assets 0.28%* 0.31% 0.34% 0.34% 0.46% 0.46% Ratio of Net Investment Income to Average Net Assets 3.58%* 2.63% 2.23% 1.64% 1.94% 1.33% Portfolio Turnover Rate 2%# 2% 1% 8% 6% 12%
- ---------- * Annualized # Non-annualized N/A+ Not applicable as The Emerging Markets Series is organized as a partnership and does not have a unitized value. See accompanying Notes to Financial Statements. 19 THE DFA INVESTMENT TRUST COMPANY THE EMERGING MARKETS SERIES 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. The Trust consists of twenty-one series, of which The Emerging Markets Series (the "Series") is presented in this report. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the 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 requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Series which are listed on a securities exchange 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 Trustees. The Series 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 Series is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the Series prices its shares at the close of the NYSE, the Series 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 Series' 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 Trust 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 Trust utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of such prices will have a material impact on the net asset value of a Series. When the Series uses fair value pricing, the values assigned to the Series' 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 Series whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual 20 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 Series does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the Series and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may defer payment of a percentage of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Trustees' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities in the amount of $20,595. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Discount and premium on securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust are allocated using methods approved by the Board of Trustees, generally based on average net assets. The Series 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 Series 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 Series' investments in Thailand are subject to a 15% governmental capital gains tax. Such taxes are due upon sale of individual securities. The Series 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 Series. For the six months ended May 31, 2005, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.10 of 1% of average daily net assets. Certain officers of the Trust are also officers, directors and shareholders of the Advisor. D. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2005, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands): Purchases $ 183,827 Sales 32,326
There were no purchases or sales of U.S. Government Securities during the six months ended May 31, 2005. 21 E. FEDERAL INCOME TAX: No provision for federal income taxes is required since the Series is treated as a partnership for federal income tax purposes. Any interest, dividends and gains or loses have been deemed to have been "passed through" to its partners. At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION) ---------- ------------ -------------- -------------- $ 982,065 $ 469,044 $ (63,451) $ 405,593
F. 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 or with the Trust's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on May 31, 2005. 2. 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 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. G. LINE OF CREDIT: The Trust, together with other Dimensional-advised series, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each series is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each series is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings by the Series under the discretionary line of credit during the six months ended May 31, 2005. The Trust, together with other Dimensional-advised series, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each series is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each series is individually, and not jointly liable for it's particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement of the line of credit expires on April 2, 2006. There were no borrowings by the Series under the line of credit during the six months ended May 31, 2005. H. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 22 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Trust uses in voting proxies relating to securities held in the portfolio is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dfaus.com and reflects the twelve-month period beginning July 1 and ending June 30. 23 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT At the Board meeting held on December 15, 2004 (the "Meeting"), the Board of Trustees of The DFA Investment Trust Company (the "Board") considered the continuation of the investment management agreement ("Advisory Agreement") for the series (the "Fund"). Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Advisory Agreement. The Independent Board Members, met with their independent counsel in advance of the Meeting to discuss the materials provided by the Advisor, the independent reports prepared by Lipper Analytical Services, Inc., and issues related to the continuation of the Advisory Agreement. At the Meeting, the Board considered a number of factors when considering the continuation of the Advisory Agreement for the Fund, including: (i) the nature, extent and quality of services provided by the Advisor to the Fund; (ii) the performance of the Fund and the Advisor; (iii) the fees and expenses borne by the Fund; (iv) the profitability realized by the Advisor from the relationship with the Fund; (v) whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of the advisory fee charged; (vi) comparisons of the services to be rendered and the amounts to be paid under other advisory contracts; and (vii) any benefits to be derived by the Advisor from its relationship with the Fund. When considering the nature and quality of the services provided by the Advisor to the Fund, the Board reviewed: (a) the scope and depth of the Advisor's organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor's investment advisory capabilities. The Board evaluated the Advisor's portfolio management process. The Board also considered the nature and character of non-investment management services provided by the Advisor. After analyzing the caliber of services provided by the Advisor to the Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to the Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund. In considering the performance of the Fund, the Board analyzed the Lipper reports, which compared the performance of the Fund with other funds in its respective peer group and peer universe, and noted that the performance of the Fund compared favorably with its peer group. The Board determined, among other things, that the performance of the Fund was acceptable as compared with relevant performance standards. When considering the fees and expenses borne by the Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Lipper reports. The Board concluded that the advisory fees and total expenses of the Fund over various periods were favorable in relation to its peer funds, and that the advisory fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large. The Board considered the profitability of the Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to the Fund, including administrative fees paid by the feeder portfolios. The Board considered the profitability to the Advisor of managing the Fund and other "non-1940 Act registered" investment vehicles. Upon closely examining the Advisor's profitability, the Board concluded, among other things, that it was reasonable. The Board also discussed whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of advisory fee charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory fee charged were inapplicable to the Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund. After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Advisory Agreement for the Fund was in the best interests of the Fund and its shareholders. 24 ================================================================================ Dimensional Investment Group Inc. Tax-Managed U.S. Marketwide Value Portfolio II SEMI-ANNUAL REPORT Six Months Ended May 31, 2005 (Unaudited) ================================================================================ DIMENSIONAL INVESTMENT GROUP INC. TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS
PAGE ---- DIMENSIONAL INVESTMENT GROUP INC. Disclosure of Fund Expenses 1 Disclosure of Portfolio Holdings 2 Statement of Assets and Liabilities 3 Statement of Operations 4 Statements of Changes in Net Assets 5 Financial Highlights 6 Notes to Financial Statements 7 THE DFA INVESTMENT TRUST COMPANY -- THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES Disclosure of Fund Expenses 10 Disclosure of Portfolio Holdings 11 Schedule of Investments 12 Statement of Assets and Liabilities 15 Statement of Operations 16 Statements of Changes in Net Assets 17 Financial Highlights 18 Notes to Financial Statements 19 VOTING PROXIES ON FUND PORTFOLIO SECURITIES 22 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 23
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DIMENSIONAL INVESTMENT GROUP INC. TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 5/31/05 RATIO PERIOD* ------------ ------------ ------------ ------------ Actual Fund Return $ 1,000.00 $ 1,043.90 0.27% $ 1.38 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, mutiplied by the number of days in the most recent fiscal half-year, then divided by 365. 1 DIMENSIONAL INVESTMENT GROUP INC. TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirements that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The Dimensional Investment Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Investment Companies 100.0% ----- 100.0% =====
2 DIMENSIONAL INVESTMENT GROUP INC. TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investment in The Tax-Managed U.S. Marketwide Value Series of The DFA Investment Trust Company (Cost $437,827) at Value+ $ 598,723 Receivable for Fund Shares Sold 439 Prepaid Expenses and Other Assets 2 ------------- Total Assets 599,164 ------------- LIABILITIES: Payables: Investment Securities Purchased 347 Fund Shares Redeemed 92 Accrued Expenses and Other Liabilities 38 ------------- Total Liabilities 477 ------------- NET ASSETS $ 598,687 ============= SHARES OUTSTANDING, $0.01 PAR VALUE (Authorized 200,000,000 Shares) 43,707,831 ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 13.70 =============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 3 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Dividends $ 4,347 Interest 73 Income from Securities Lending 39 Expenses Allocated from Master Funds (668) ------------- Total Investment Income 3,791 ------------- EXPENSES Accounting & Transfer Agent Fees 18 Legal Fees 7 Audit Fees 2 Filing Fees 14 Shareholders' Reports 20 Directors' Fees and Expenses 2 Other 2 ------------- Total Expenses 65 ------------- NET INVESTMENT INCOME (LOSS) 3,726 ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 5,524 Change in Unrealized Appreciation (Depreciation) of Investment Securities 14,700 ------------- NET GAIN (LOSS) 20,224 ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 23,950 =============
See accompanying Notes to Financial Statements. 4 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------ ------------ (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 3,726 $ 4,529 Net Realized Gain (Loss) on Investment Securities Sold 5,524 545 Change in Unrealized Appreciation (Depreciation) of Investment Securities 14,700 71,953 ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 23,950 77,027 ------------ ------------ Distributions From: Net Investment Income (3,082) (4,155) ------------ ------------ Total Distributions (3,082) (4,155) ------------ ------------ Capital Share Transactions (1): Shares Issued 89,094 136,094 Shares Issued in Lieu of Cash Distributions 3,082 4,155 Shares Redeemed (19,504) (36,232) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 72,672 104,017 ------------ ------------ Total Increase (Decrease) 93,540 176,889 NET ASSETS Beginning of Period 505,147 328,258 ------------ ------------ End of Period $ 598,687 $ 505,147 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 6,648 11,326 Shares Issued in Lieu of Cash Distributions 228 352 Shares Redeemed (1,447) (3,038) ------------ ------------ 5,429 8,640 ============ ============
See accompanying Notes to Financial Statements. 5 DIMENSIONAL INVESTMENT GROUP INC. TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 13.20 $ 11.08 $ 9.06 $ 11.46 $ 10.74 $ 10.68 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.09 0.13 0.05 0.04 0.10 0.17 Net Gains (Losses) on Securities (Realized and Unrealized) 0.49 2.12 2.01 (2.34) 0.77 0.12 ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations 0.58 2.25 2.06 (2.30) 0.87 0.29 - ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.08) (0.13) (0.04) (0.10) (0.15) (0.09) Net Realized Gains -- -- -- -- -- (0.14) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.08) (0.13) (0.04) (0.10) (0.15) (0.23) - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 13.70 $ 13.20 $ 11.08 $ 9.06 $ 11.46 $ 10.74 ================================================================================================================================== Total Return 4.39%# 20.41% 22.91% (20.26)% 8.17% 2.83% - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 598,687 $ 505,147 $ 328,258 $ 195,330 $ 116,355 $ 54,476 Ratio of Expenses to Average Net Assets (1) 0.27%* 0.28% 0.30% 0.30% 0.34% 0.44% Ratio of Net Investment Income to Average Net Assets 1.35%* 1.11% 0.57% 0.57% 1.10% 1.78% Portfolio Turnover Rate of Master Fund Series 7%# 5% 6% 15% 11% 39%
* Annualized # Non-annualized (1) Represents the combined ratios for the respective portfolio and its respective pro-rata share of the Master Fund Series. See accompanying Notes to Financial Statements. 6 DIMENSIONAL INVESTMENT GROUP INC. TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II 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 consists of sixteen portfolios, of which Tax-Managed U.S. Marketwide Value Portfolio II (the "Portfolio") is presented in this report. The Portfolio invests all of its assets in The Tax-Managed U.S. Marketwide Value Series (the "Series"), a corresponding series of The DFA Investment Trust Company. At May 31, 2005, the Portfolio owned 30% of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The Portfolio's investment reflects its proportionate interest in the net assets of the Series. 2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $8,656. 3. OTHER: The Portfolio accrues its share of income and expenses daily on its investment in the Series, which is treated as a partnership for federal income tax purposes. All of the net investment income and realized and unrealized gains or losses from the security transactions of the Series are allocated pro rata among its investors at the time of such determination. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Expenses directly attributable to the Portfolio are directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides administrative services to the Portfolio, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. The Portfolio is not charged a fee for these services. The Advisor provides investment advisory services to the Series. Certain officers of the Fund are also officers, directors and shareholders of the Advisor. 7 D. FEDERAL INCOME TAXES: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAIN TOTAL --------------- ------------ ---------- 2004 $ 4,155 -- $ 4,155 2003 932 -- 932
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED CAPITAL EARNINGS NET INVESTMENT LOSS (ACCUMULATED INCOME CARRYFORWARDS LOSSES) -------------- ------------- ------------- $ 1,634 $ (47,217) $ (45,583)
For federal income tax purposes the Portfolio measures its capital loss carryforwards annually at November 30, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. At November 30, 2004, the Portfolio had a capital loss carryforward available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON NOVEMBER 30, ----------------------------------------------- 2008 2009 2010 2011 TOTAL --------- --------- ----------- --------- ----------- $ 2,413 $ 1,364 $ 36,758 $ 6,682 $ 47,217
At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ----------- ------------- ------------- --------------- $ 437,935 $ 164,729 $ (3,941) $ 160,788
E. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
ACCUMULATED ACCUMULATED UNREALIZED NET NET REALIZED APPRECIATION INVESTMENT GAIN (LOSS) (DEPRECIATION) PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET CAPITAL (LOSS) SECURITIES SECURITIES ASSETS ------------ ------------- -------------- --------------- ------------- $ 477,321 $ 2,273 $ (41,803) $ 160,896 $ 598,687
8 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 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million. Borrowings under the line are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings by the Portfolio under the discretionary line of credit with the domestic custodian bank during the six months ended May 31, 2005. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement of the line of credit expires on April 2, 2006. There were no borrowings by the Portfolio under the line of credit during the six months ended May 31, 2005. G. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 9 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 5/31/05 RATIO PERIOD* ------------ ----------- ----------- ----------- Actual Fund Return $ 1,000.00 $ 1,044.50 0.24% $ 1.22 Hypothtical 5% Annual Return $ 1,000.00 $ 1,023.80 0.24% $ 1.21
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 10 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment Trust Company, this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR withing ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Financials 27.5% Consumer Discretionary 20.8 Energy 12.1 Industrials 10.5 Information Technology 8.7 Materials 6.0 Telecommunication Services 5.4 Health Care 4.4 Consumer Staples 4.2 Utilities 0.4 ----- 100.0% =====
11 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ----------------- ----------------- COMMON STOCKS -- (96.9%) Financials -- (26.7%) 1st Source Corp. 13,200 $ 287,496 21st Century Insurance Group 55,000 766,150 A.G. Edwards, Inc. 48,600 2,007,666 * ACE Cash Express, Inc. 600 13,086 Advanta Corp. Class A 14,400 330,192 Advanta Corp. Class B Non-Voting 15,000 370,050 * Aether Systems, Inc. 4,000 12,520 Alfa Corp. 31,257 447,600 * Allmerica Financial Corp. 24,800 866,016 Allstate Corp. 613,600 35,711,520 AMBAC Financial Group, Inc. 98,300 7,092,345 American Capital Strategies, Ltd. 66,823 2,340,141 American Financial Group, Inc. 73,500 2,382,870 * American Independence Corp. 1,266 16,774 American National Insurance Co. 24,200 2,792,680 * American Physicians Capital, Inc. 3,500 121,275 * American West Bancorporation 666 13,167 * AmeriCredit Corp. 67,900 1,688,673 * AmeriServe Financial, Inc. 800 4,368 AmerUs Group Co. 36,100 1,717,999 AmSouth Bancorporation 2,500 66,650 AON Corp. 263,700 6,574,041 * Arch Capital Group, Ltd. 3,900 174,135 * Argonaut Group, Inc. 7,850 164,379 Associated Banc-Corp 1,004 33,554 Astoria Financial Corp. 6,500 179,010 Baldwin & Lyons, Inc. Class B 2,600 66,820 * Bancinsurance Corp. 1,800 9,360 Bank of America Corp. 28,000 1,296,960 Bank of Hawaii Corp. 60,500 2,948,165 BankUnited Financial Corp. Class A 14,300 353,353 Banner Corp. 8,566 227,941 Bay View Capital Corp. 2,790 44,221 BB&T Corp. 437 17,454 Bear Stearns Companies, Inc. 115,222 11,411,587 Berkley (W.R.) Corp. 35,437 1,256,596 Beverly Hills Bancorp, Inc. 4,000 41,800 Brookline Bancorp, Inc. 39,125 594,700 Cash America International, Inc. 20,700 356,040 * Ceres Group, Inc. 3,006 17,224 CFS Bancorp, Inc. 3,023 39,632 Chemical Financial Corp. 15,205 486,256
1 Chubb Corp. 180,500 15,203,515 Cincinnati Financial Corp. 151,932 5,996,756 Citigroup, Inc. 45,069 2,123,201 Citizens South Banking Corp. 1,842 23,264 * # Citizens, Inc. 1,400 8,106 City Holding Co. 6,500 219,570 Clark, Inc. 6,300 91,350 * CNA Financial Corp. 114,500 3,157,910 * CNA Surety Corp. 14,500 200,390 Columbia Banking System, Inc. 6,623 162,926 Comerica, Inc. 72,600 4,056,888 Commerce Bancshares, Inc. 1,701 82,924 Commerce Group, Inc. 19,100 1,138,360 Commercial Capital Bancorp, Inc. 6,669 113,040 Commercial Federal Corp. 34,300 857,843 Community Bank System, Inc. 23,900 556,870 Community West Bancshares 400 4,872 Compass Bancshares, Inc. 2,700 120,339 * # CompuCredit Corp. 36,500 1,150,845 Corus Bankshares, Inc. 13,400 687,688 Countrywide Financial Corp. 462,798 17,202,202 * Credit Acceptance Corp. 35,400 499,494 Delphi Financial Group, Inc. Class A 22,500 954,000 Delta Financial Corp. 300 2,715 Dime Community Bancshares 19,912 300,671 Donegal Group, Inc. Class A 3,133 57,835 Downey Financial Corp. 23,100 1,732,962 * E*TRADE Financial Corp. 204,800 2,529,280 * Epoch Holding Corp. 600 2,700 F.N.B. Corp. 7,300 135,634 FBL Financial Group, Inc. Class A 21,400 572,450 Fidelity National Financial, Inc. 90,335 3,251,157 Financial Federal Corp. 2,100 78,330 * Financial Industries Corp. 2,444 20,896 First American Corp. 76,600 2,964,420 * First Bank of Delaware 550 1,815 * First Cash Financial Services, Inc. 2,700 46,980 First Charter Corp. 7,900 174,195 First Citizens BancShares, Inc. 3,900 509,067 First Community Bancorp 4,200 185,556 First Community Bancshares, Inc. 3,000 90,240 First Indiana Corp. 8,749 235,786 * First Mariner Bancorp 300 5,001 First Merchants Corp. 10,441 259,668 First Niagara Financial Group, Inc. 65,869 857,614 # First PacTrust Bancorp, Inc. 600 14,844 First Place Financial Corp. 9,953 195,975 First Republic Bank 10,200 327,216 First State Bancorporation 4,000 73,840 * FirstFed Financial Corp. 7,800 422,604 Flagstar Bancorp, Inc. 41,300 816,088 * FPIC Insurance Group, Inc. 3,400 101,184 Fremont General Corp. 54,000 1,161,540 Gold Banc Corp. 4,100 56,949 Great American Financial Resources, Inc. 2,300 38,778
2 Hancock Holding Co. 4,000 129,440 Harbor Florida Bancshares, Inc. 5,200 184,964 Harleysville Group, Inc. 19,500 396,045 Hartford Financial Services Group, Inc. 281,700 21,068,343 HCC Insurance Holdings, Inc. 11,800 462,678 Heritage Commerce Corp. 800 14,816 Hibernia Corp. 1,800 57,870 HMN Financial, Inc. 3,596 108,365 Horace Mann Educators Corp. 31,000 564,200 Horizon Financial Corp. 1,900 38,190 Huntington Bancshares, Inc. 2,500 58,300 ILX Resorts, Inc. 200 1,962 Independence Community Bank Corp. 77,287 2,896,717 IndyMac Bancorp, Inc. 33,000 1,357,950 Infinity Property & Casualty Corp. 14,800 473,600 * Instinet Group, Inc. 46,400 244,992 Integra Bank Corp. 4,100 90,569 Irwin Financial Corp. 17,400 365,226 * ITLA Capital Corp. 400 19,928 Janus Capital Group, Inc. 244,500 3,755,520 Jefferies Group, Inc. 22,800 807,348 Jefferson-Pilot Corp. 109,000 5,493,600 * Jones Lang LaSalle, Inc. 600 25,446 JPMorgan Chase & Co. 1,593,648 56,972,916 * Kennedy-Wilson, Inc. 900 9,288 KeyCorp 215,100 7,046,676 * Knight Capital Group, Inc. 74,400 561,720 * LaBranche & Co., Inc. 2,500 13,825 LandAmerica Financial Group, Inc. 17,100 961,020 Lehman Brothers Holdings, Inc. 91,071 8,396,746 Lincoln National Corp. 137,300 6,251,269 Loews Corp. 181,500 13,666,950 MAF Bancorp, Inc. 22,900 974,624 Manulife Financial Corp. 284,353 13,066,020 * Matrix Bancorp, Inc. 100 1,280 MBIA, Inc. 125,050 6,994,046 MCG Capital Corp. 18,300 292,800 * Meadowbrook Insurance Group, Inc. 6,200 31,930 Medallion Finanacial Corp. 7,400 68,524 Mercantile Bankshares Corp. 2,381 124,122 Merrill Lynch & Co., Inc. 189,200 10,265,992 MetLife, Inc. 759,500 33,873,700 * Metris Companies, Inc. 20,400 264,792 MGIC Investment Corp. 111,000 6,808,740 Midland Co. 2,000 63,900 National City Corp. 5,788 200,033 * National Western Life Insurance Co. Class A 900 165,037 Nationwide Financial Services, Inc. 47,500 1,813,550 * Navigators Group, Inc. 2,900 96,396 New York Community Bancorp, Inc. 215,500 3,926,410 * Newtek Business Services, Inc. 1,400 3,626 North Fork Bancorporation, Inc. 92,970 2,534,362 Northwest Bancorp, Inc. 2,200 43,780 OceanFirst Financial Corp. 2,300 49,450 * # Ocwen Financial Corp. 39,300 284,139
3 # Odyssey Re Holdings Corp. 53,300 1,285,063 Ohio Casualty Corp. 44,300 1,058,770 Old Republic International Corp. 143,650 3,571,139 * Pacific Mercantile Bancorp 1,000 14,116 * Pelican Financial, Inc. 300 1,953 * # Penn Treaty American Corp. 500 1,115 PFF Bancorp, Inc. 31,500 914,760 * Piper Jaffray Companies, Inc. 3,100 87,637 * PMA Capital Corp. Class A 7,357 54,663 PMI Group, Inc. 117,100 4,426,380 * Premier Financial Bancorp 400 4,350 Presidential Life Corp. 21,758 329,634 Principal Financial Group, Inc. 308,100 12,290,109 * ProAssurance Corp. 15,200 594,624 Protective Life Corp. 62,000 2,491,780 Provident Financial Holdings, Inc. 675 18,778 Provident Financial Services, Inc. 1,828 32,502 * Providian Financial Corp. 117,300 2,090,286 Prudential Financial, Inc. 517,500 32,762,925 Radian Group, Inc. 123,704 5,675,540 Regions Financial Corp. 119,637 4,029,374 Reinsurance Group of America, Inc. 54,700 2,502,525 * Republic First Bancorp, Inc. 616 8,205 RLI Corp. 18,400 804,816 Safeco Corp. 110,000 5,919,100 Sanders Morris Harris Group, Inc. 1,100 17,985 Selective Insurance Group, Inc. 23,000 1,106,990 Simmons First National Corp. Class A 7,811 191,682 Sound Federal Bancorp, Inc. 5,736 91,317 South Financial Group, Inc. 61,153 1,666,419 Sovereign Bancorp, Inc. 348,618 7,781,154 StanCorp Financial Group, Inc. 26,200 1,961,070 * Standard Management Corp. 100 180 State Auto Financial Corp. 24,300 656,100 * Sterling Financial Corp. 11,259 398,006 Stewart Information Services Corp. 13,700 537,725 * Stifel Financial Corp. 400 8,448 * Stratus Properties, Inc. 500 8,340 * Sun Bancorp, Inc. 3,115 64,605 Susquehanna Bancshares, Inc. 13,802 314,134 * SVB Financial Group 2,380 113,669 SWS Group, Inc. 10,800 171,180 TD Banknorth, Inc. 1,270 38,075 * The Banc Corp. 4,100 43,050 # The Phoenix Companies, Inc. 77,600 892,400 The St. Joe Corp. 1,600 126,192 The St. Paul Travelers Companies, Inc. 637,800 24,159,864 The Toronto Dominion Bank 705 29,984 * The Washtenaw Group, Inc. 100 125 TierOne Corp. 14,000 337,750 Torchmark Corp. 93,500 4,932,125 * Trammell Crow Co. 27,900 629,145 Transatlantic Holdings, Inc. 58,100 3,318,091 * Triad Guaranty, Inc. 5,600 303,520 UICI 45,600 1,146,840
4 UMB Financial Corp. 17,470 973,079 Umpqua Holdings Corp. 26,100 608,391 UnionBanCal Corp. 500 31,385 * United America Idemnity, Ltd. 3,722 63,460 United Community Financial Corp. 34,000 357,340 Unitrin, Inc. 57,300 2,852,967 Unity Bancorp, Inc. 1,543 18,902 * Universal American Financial Corp. 46,391 878,646 UnumProvident Corp. 218,100 4,004,316 Vesta Insurance Group, Inc. 13,700 34,524 Wachovia Corp. 49,732 2,523,899 Washington Federal, Inc. 43,820 999,972 Washington Mutual, Inc. 650,900 26,882,170 Webster Financial Corp. 44,000 2,063,600 Wesbanco, Inc. 8,859 261,961 Wesco Financial Corp. 1,110 397,691 Westcorp, Inc. 42,720 2,069,357 * WFS Financial, Inc. 9,100 443,625 Whitney Holding Corp. 8,775 278,255 Willow Grove Bancorp, Inc. 4,600 70,132 * Wilshire Enterprises, Inc. 600 4,500 Wintrust Financial Corp. 600 30,042 * World Acceptance Corp. 1,130 29,436 Yardville National Bancorp 3,100 105,121 ----------------- Total Financials (Cost $415,724,285) 549,621,621 ----------------- Consumer Discretionary -- (20.2%) * 4Kids Entertainment, Inc. 2,300 43,700 * Acme Communications, Inc. 1,000 3,960 Action Performance Companies, Inc. 10,900 101,479 * Advanced Marketing Services, Inc. 8,500 34,637 * Aftermarket Technology Corp. 5,900 90,506 * Alderwoods Group, Inc. 2,800 38,780 * All American Semiconductor, Inc. 800 3,832 * Alloy, Inc. 1,200 6,168 Ambassadors Group, Inc. 600 21,690 American Axle & Manufacturing Holdings, Inc. 44,300 917,010 American Greetings Corp. Class A 32,500 844,350 * AnnTaylor Stores Corp. 39,375 1,014,300 * Applica, Inc. 4,600 13,156 ArvinMeritor, Inc. 200 2,880 * Ashworth, Inc. 3,300 31,680 * Audiovox Corp. Class A 23,900 349,657 * AutoNation, Inc. 321,100 6,418,789 * # Avatar Holdings, Inc. 1,700 81,430 * Aztar Corp. 30,900 986,946 * # Bally Total Fitness Holding Corp. 1,100 3,344 Bandag, Inc. 4,500 208,260 Bandag, Inc. Class A 2,600 108,550 * Barnes & Noble, Inc. 30,500 1,154,425 Bassett Furniture Industries, Inc. 5,679 110,911 Beazer Homes USA, Inc. 36,603 1,956,796 Belo Corp. Class A 106,600 2,620,228 * Big Lots, Inc. 71,900 910,254
5 Blair Corp. 5,800 226,490 # Blockbuster, Inc. Class A 45,400 414,502 * Bluegreen Corp. 8,400 141,624 Bob Evans Farms, Inc. 24,200 566,280 * Bombay Co., Inc. 11,800 62,894 Bon-Ton Stores, Inc. 10,249 185,199 Books-A-Million, Inc. 5,000 42,100 Borders Group, Inc. 72,400 1,830,996 BorgWarner, Inc. 46,200 2,469,852 Boyd Gaming Corp. 42,300 2,235,978 * Boyds Collection, Ltd. 8,800 19,272 * # Brillian Corp. 1,375 4,290 * Brookstone, Inc. 1,375 27,692 Brown Shoe Company, Inc. 15,800 554,580 Brunswick Corp. 51,400 2,212,256 * Buca, Inc. 700 3,570 Building Materials Holding Corp. 8,900 552,067 Burlington Coat Factory Warehouse Corp. 51,900 1,720,485 * Cache, Inc. 1,050 13,734 * Caesars Entertainment, Inc. 247,700 5,337,935 * California Coastal Communities, Inc. 700 20,713 Callaway Golf Co. 53,200 621,908 * Capital Pacific Holdings, Inc. 5,700 23,484 * CarMax, Inc. 2,229 56,906 * Carriage Services, Inc. 1,800 10,584 * Casual Male Retail Group, Inc. 6,869 48,426 Cato Corp. Class A 400 11,544 * Cavalier Homes, Inc. 5,800 21,170 * Cavco Industries, Inc. 6,050 162,805 CBRL Group, Inc. 60,100 2,447,272 Centex Corp. 121,000 7,923,080 * Champion Enterprises, Inc. 4,300 41,839 * Champps Entertainment, Inc. 1,703 13,709 * Charles and Colvard, Ltd. 1,000 20,220 * Charlotte Russe Holding, Inc. 4,600 54,970 * Charming Shoppes, Inc. 47,400 428,022 * Checkers Drive-In Restaurants, Inc. 3,100 44,609 * Chromcraft Revington, Inc. 700 8,400 Circuit City Stores, Inc. 169,700 2,781,383 Clear Channel Communications, Inc. 480,400 14,042,092 Coachmen Industries, Inc. 9,000 110,250 * Cobra Electronics Corp. 1,200 8,520 * Coldwater Creek, Inc. 572 12,853 * # Collins & Aikman Corp. 20,300 2,304 * Comcast Corp. Class A 637,624 20,531,493 * Comcast Corp. Special Class A Non-Voting 322,500 10,203,900 * Concord Camera Corp. 7,081 9,205 Cooper Tire & Rubber Co. 51,100 972,944 * Cox Radio, Inc. 15,900 258,693 * Crown Media Holdings, Inc. 4,277 40,161 CSS Industries, Inc. 2,550 78,540 * Culp, Inc. 1,000 4,350 * Cumulus Media, Inc. Class A 16,200 202,338 Cutter & Buck, Inc. 4,100 53,833 Dana Corp. 164,900 2,234,395
6 * Dave & Busters, Inc. 3,400 61,064 * Deckers Outdoor Corp. 1,900 46,018 Delta Apparel, Inc. 300 8,811 * Department 56, Inc. 3,800 42,408 * Diedrich Coffee, Inc. 400 1,672 Dillards, Inc. Class A 74,100 1,772,472 Disney (Walt Co.) 569,300 15,621,592 * Dixie Group, Inc. 11,100 164,502 * # Dominion Homes, Inc. 3,000 46,590 Dover Motorsports, Inc. 9,000 51,840 * Drew Industries, Inc. 700 28,700 * drugstore.com, Inc. 22,804 78,446 * Dura Automotive Systems, Inc. 3,100 13,237 Eastman Kodak Co. 189,000 4,966,920 * eCost.com, Inc. 2,776 8,778 * # Emmis Communications Corp. Class A 15,400 273,504 * Enesco Group, Inc. 3,500 13,475 * Entercom Communications Corp. 18,700 620,840 * Entravision Communications Corp. 55,400 411,622 * Fairchild Corp. Class A 7,900 18,170 * Famous Dave's of America, Inc. 1,900 20,615 Federated Department Stores, Inc. 171,600 11,574,420 Finish Line, Inc. Class A 23,400 466,128 * Finlay Enterprises, Inc. 4,300 55,814 * # Fleetwood Enterprises, Inc. 39,500 378,015 Foot Locker, Inc. 32,000 845,120 Ford Motor Co. 1,362,440 13,597,151 Fortune Brands, Inc. 2,000 173,000 Furniture Brands International, Inc. 38,800 780,268 GameTech International, Inc. 800 2,224 * Gaylord Entertainment Co. 34,760 1,460,963 # General Motors Corp. 318,700 10,048,611 Genuine Parts Co. 3,800 163,248 * Getty Images, Inc. 11,400 853,176 * G-III Apparel Group, Ltd. 500 3,600 * Goodyear Tire & Rubber Co. 32,700 470,553 Goody's Family Clothing, Inc. 35,300 250,630 * Gottschalks, Inc. 2,400 25,800 Gray Television, Inc. 34,740 408,195 * Group 1 Automotive, Inc. 18,700 499,477 * # GSI Commerce, Inc. 2,800 41,552 * Guess, Inc. 11,000 185,240 * Gymboree Corp. 9,000 119,160 * Ha-Lo Industries, Inc. 19,500 14 Hancock Fabrics, Inc. 9,700 57,133 Handleman Co. 25,400 461,010 Harrahs Entertainment, Inc. 2,600 186,706 * Harris Interactive, Inc. 7,600 37,468 * Hartmarx Corp. 8,000 75,840 Hasbro, Inc. 226,200 4,564,716 * Hastings Entertainment, Inc. 5,000 29,850 * Hayes Lemmerz International, Inc. 1,100 7,150 Hearst-Argyle Television, Inc. 46,800 1,168,128 Hilton Hotels Corp. 42,400 1,027,352 Horton (D.R.), Inc. 110,340 3,814,454
7 * IAC/InterActiveCorp 244,522 5,990,789 IHOP Corp. 8,900 423,729 * Image Entertainment, Inc. 4,800 19,248 * IMPCO Technologies, Inc. 3,700 12,284 * Infosonics Corp. 900 2,691 * Insight Communications Co., Inc. 15,650 176,845 * Insight Enterprises, Inc. 16,100 315,238 * Interactive Data Corp. 23 495 * Interface, Inc. Class A 19,800 151,470 International Speedway Corp. Class A 800 43,728 * Interstate Hotels & Resorts, Inc. 4,600 21,160 * J. Jill Group, Inc. 500 6,375 * Jack in the Box, Inc. 2,100 87,108 * Jakks Pacific, Inc. 8,700 179,829 * Jarden Corp. 700 35,616 * Jo-Ann Stores, Inc. 7,300 195,275 * Johnson Outdoors, Inc. 500 8,755 Jones Apparel Group, Inc. 112,000 3,573,920 * # Jos. A. Bank Clothiers, Inc. 962 37,922 * K2, Inc. 18,324 230,699 KB Home 2,000 135,080 Kellwood Co. 94,600 2,380,136 * Keystone Automotive Industries, Inc. 4,700 92,778 Kimball International, Inc. Class B 16,482 202,729 Knight-Ridder, Inc. 500 31,540 * La Quinta Corp. 65,600 568,752 * LaCrosse Footwear, Inc. 400 3,960 * # Lakes Entertainment, Inc. 1,600 19,888 * Lamar Advertising Co. 66 2,760 Landry's Restaurants, Inc. 25,100 752,247 * Laureate Education, Inc. 15,349 716,798 * Lazare Kaplan International, Inc. 500 4,310 # La-Z-Boy, Inc. 32,300 431,205 Lear Corp. 59,000 2,224,300 Leggett & Platt, Inc. 1,500 39,960 Lennar Corp. Class A 34,400 1,995,544 Lennar Corp. Class B 4,240 227,858 Levitt Corp. Class A 100 2,880 Libbey, Inc. 2,400 45,720 Liberty Corp. 12,900 465,819 * Liberty Media Corp. Class A 1,307,600 13,585,964 * Liberty Media International, Inc. Class A 61,041 2,558,228 Limited Brands, Inc. 149,500 3,075,215 * Lin TV Corp. 9,300 135,315 * Linens `n Things, Inc. 15,800 385,046 Lithia Motors, Inc. Class A 12,200 324,520 Lone Star Steakhouse & Saloon, Inc. 41,400 1,250,694 * Luby's, Inc. 3,600 29,664 M/I Homes, Inc. 11,400 575,472 * Madden (Steven), Ltd. 900 15,984 * Magna Entertainment Corp. 7,000 37,240 * Main Street Restaurant Group, Inc. 1,300 4,498 * MarineMax, Inc. 7,200 198,144 May Department Stores Co. 184,600 7,044,336 McRae Industries, Inc. Class A 2,100 24,612
8 MDC Holdings, Inc. 20,364 1,470,484 * Meade Instruments Corp. 14,250 39,330 Media General, Inc. Class A 19,600 1,197,560 * MGM Mirage 183,800 7,000,942 Michaels Stores, Inc. 61,600 2,593,976 Modine Manufacturing Co. 25,400 772,160 Monaco Coach Corp. 18,000 295,380 * Monro Muffler Brake, Inc. 900 24,183 * Mothers Work, Inc. 200 2,726 Movado Group, Inc. 16,200 273,132 Movie Gallery, Inc. 17,300 552,908 * National RV Holdings, Inc. 2,500 22,175 * Navigant International, Inc. 5,200 65,832 News Corp. Class A 248,924 4,015,144 * Nobel Learning Communities, Inc. 400 3,500 Nordstrom, Inc. 1,900 115,976 * O'Charleys, Inc. 5,508 102,284 * Office Depot, Inc. 215,300 4,245,716 OfficeMax, Inc. 43,400 1,317,190 * # Oneida, Ltd. 2,600 6,110 * Opinion Research Corp. 5,200 36,608 # Orleans Homebuilders, Inc. 600 13,440 Oxford Industries, Inc. 14,500 518,520 * # Palm Harbor Homes, Inc. 6,800 127,364 * Payless ShoeSource, Inc. 23,600 397,188 * # PC Mall, Inc. 2,300 11,383 * # Pegasus Communications Corp. 2,500 15,687 Penney (J.C.) Co., Inc. 235,200 11,703,552 Pep Boys - Manny, Moe & Jack 62,500 835,000 * Perry Ellis International, Inc. 1,900 38,000 PETsMART, Inc. 78,300 2,487,591 Phillips-Van Heusen Corp. 24,600 762,354 Pier 1 Imports, Inc. 18,600 312,294 * Pinnacle Entertainment, Inc. 10,300 179,529 * Pomeroy IT Solutions, Inc. 10,400 130,936 Pulitzer, Inc. 6,200 396,552 Pulte Homes, Inc. 141,022 10,781,132 # Quaker Fabric Corp. 7,500 26,100 * Radio One, Inc. 7,900 99,698 * RC2 Corp. 3,900 140,556 # Reebok International, Ltd. 27,200 1,107,312 * Regent Communications, Inc. 32,400 194,400 * Rent-Way, Inc. 9,500 88,065 * Restoration Hardware, Inc. 4,500 31,860 * Retail Ventures, Inc. 9,300 104,811 * Rex Stores Corp. 4,150 58,100 * Riviera Holdings Corp. 900 18,225 * # Rockford Corp. 3,600 9,396 * Rocky Shoes & Boots, Inc. 300 8,877 * Rubio's Restaurants, Inc. 3,400 31,110 Russ Berrie & Co., Inc. 11,900 154,819 Russell Corp. 26,600 497,420 * Ryan's Restaurant Group, Inc. 41,450 578,642 Ryland Group, Inc. 22,000 1,507,000 Saks, Inc. 124,950 2,141,643
9 * # Salton, Inc. 500 520 Saucony, Inc. Class B 300 5,880 Sauer-Danfoss, Inc. 6,000 117,900 * Scholastic Corp. 12,482 468,325 * Sears Holdings Corp. 25,579 3,752,439 Service Corp. International 178,300 1,351,514 * # Sharper Image Corp. 2,600 34,554 Sherwin-Williams Co. 3,500 155,575 * Shiloh Industries, Inc. 4,000 45,240 * Shoe Carnival, Inc. 6,800 124,644 * ShopKo Stores, Inc. 16,100 381,731 Sinclair Broadcast Group, Inc. Class A 17,600 155,056 * Six Flags, Inc. 35,000 154,350 * Skechers U.S.A., Inc. Class A 5,800 73,486 Skyline Corp. 1,000 39,100 * Smith & Wollensky Restaurant Group, Inc. 3,700 23,273 Snap-On, Inc. 42,400 1,463,224 Sonic Automotive, Inc. 23,100 492,492 * Source Interlink Companies, Inc. 7,400 72,150 * Southern Energy Homes, Inc. 3,200 18,720 * Spanish Broadcasting System, Inc. 200 1,730 * Sport Chalet, Inc. 500 7,300 * Stage Stores, Inc. 3,900 152,295 * Stamps.com, Inc. 1,853 41,433 Standard Motor Products, Inc. 11,000 123,970 Standard Pacific Corp. 21,700 1,738,604 Starwood Hotels & Resorts Worldwide, Inc. 105,800 5,921,626 * Stein Mart, Inc. 3,168 76,222 * Steinway Musical Instruments, Inc. 1,600 45,312 Stewart Enterprises, Inc. 36,500 216,080 * Stoneridge, Inc. 16,200 126,684 Stride Rite Corp. 30,089 357,758 # Superior Industries International, Inc. 19,100 432,615 Syms Corp. 4,200 54,936 * Systemax, Inc. 1,600 10,192 * Tag-It Pacific, Inc. 700 1,638 * TBC Corp. 9,400 239,982 * The Children's Place Retail Stores, Inc. 700 32,697 * The DIRECTV Group, Inc. 26,179 390,852 * The Dress Barn, Inc. 12,300 222,630 The Marcus Corp. 17,100 376,713 * The Mens Warehouse, Inc. 7,000 359,590 The Neiman Marcus Group, Inc. 13,700 1,322,735 * The Sports Authority, Inc. 9,303 297,696 * Time Warner, Inc. 1,542,800 26,844,720 * Toll Brothers, Inc. 34,400 3,185,096 * Toys R Us, Inc. 147,400 3,861,880 Traffix, Inc. 18,100 86,880 * Trans World Entertainment Corp. 40,100 521,300 * # Transpro, Inc. 8,100 54,999 Triarc Companies, Inc. Class A 6,100 95,465 Tribune Co. 321,500 11,631,870 * # Tweeter Home Entertainment Group, Inc. 2,100 7,434 * Unifi, Inc. 9,100 29,211 Unifirst Corp. 5,900 215,940
10 United Auto Group, Inc. 37,000 1,139,600 * Univision Communications, Inc. Class A 117,130 3,116,829 * Vail Resorts, Inc. 10,900 299,750 * ValueVision Media, Inc. Class A 10,000 96,200 Viacom, Inc. Class A 54,900 1,890,756 Viacom, Inc. Class B 1,448,200 49,658,778 # Visteon Corp. 62,200 474,586 * WCI Communities, Inc. 15,700 469,430 * West Marine, Inc. 8,000 132,720 * Westcoast Hospitality Corp. 300 2,067 * # Wet Seal, Inc. Class A 1,700 7,242 * Whitehall Jewelers, Inc. 5,842 42,354 * Wickes, Inc. 400 1 * William Lyon Homes, Inc. 9,100 819,000 * # WMS Industries, Inc. 4,400 139,788 * Worldwide Restaurant Concepts, Inc. 12,900 82,689 * XM Satellite Radio Holdings, Inc. 20,800 667,888 * Zapata Corp. 1,600 10,352 ----------------- Total Consumer Discretionary (Cost $340,617,339) 416,140,403 ----------------- Energy -- (11.7%) Amerada Hess Corp. 91,800 8,523,630 Anadarko Petroleum Corp. 237,634 17,988,894 Apache Corp. 247,346 14,534,051 Arch Coal, Inc. 18,995 920,308 Ashland, Inc. 68,800 4,699,040 * # ATP Oil & Gas Corp. 1,400 29,526 * Brigham Exploration Co. 1,100 9,306 Burlington Resources, Inc. 321,400 16,288,552 Cabot Oil & Gas Corp. 25,650 804,127 * Callon Petroleum Co. 10,900 154,235 * Carrizo Oil & Gas, Inc. 700 10,556 Castle Energy Corp. 2,300 29,900 Chesapeake Energy Corp. 216,700 4,435,849 * # Cimarex Energy Co. 6,111 229,957 * Clayton Williams Energy, Inc. 5,900 161,188 * Comstock Resources, Inc. 13,300 303,506 ConocoPhillips 627,694 67,690,521 * Dawson Geophysical Co. 400 8,320 * Denbury Resources, Inc. 24,100 770,718 Devon Energy Corp. 163,800 7,518,420 Diamond Offshore Drilling, Inc. 80,300 3,794,175 * Dril-Quip, Inc. 2,600 71,110 * Edge Petroleum Corp. 3,100 42,253 * Energy Partners, Ltd. 9,800 223,930 ENSCO International, Inc. 85,046 2,832,032 EOG Resources, Inc. 107,900 5,383,131 * FMC Technologies, Inc. 19 599 * Forest Oil Corp. 46,950 1,866,732 * Giant Industries, Inc. 4,400 126,764 * Grey Wolf, Inc. 10,400 68,328 Gulf Island Fabrication, Inc. 2,900 58,290 * Gulfmark Offshore, Inc. 7,500 187,950 * Hanover Compressor Co. 25,500 265,965
11 * Harvest Natural Resources, Inc. 3,800 41,192 Helmerich & Payne, Inc. 40,300 1,671,241 * # Horizon Offshore, Inc. 6,000 1,890 * Houston Exploration Co. 13,400 682,998 * Input/Output, Inc. 24,200 143,506 # Kerr-McGee Corp. 139,090 10,273,187 * Key Energy Group, Inc. 50,600 556,094 * Lone Star Technologies, Inc. 6,300 261,135 * Magnum Hunter Resources, Inc. 24,600 380,316 Marathon Oil Corp. 289,900 14,057,251 MarkWest Hydrocarbon, Inc. 726 15,856 Massey Energy Co. 34,600 1,398,878 * # Matrix Service Co. 4,000 16,520 * Maverick Tube Corp. 13,900 419,919 * Meridian Resource Corp. 20,200 91,506 * Mission Resources Corp. 4,700 33,229 * NATCO Group, Inc. Class A 3,500 37,660 * National-Oilwell, Inc. 3,679 165,555 * Newfield Exploration Co. 50,780 1,952,491 * Newpark Resources, Inc. 26,400 161,040 Noble Energy, Inc. 18,700 1,390,719 Occidental Petroleum Corp. 14,500 1,060,095 * Offshore Logistics, Inc. 15,100 472,932 * Oil States International, Inc. 17,700 409,932 Overseas Shipholding Group, Inc. 36,600 2,236,260 * Parallel Petroleum Corp. 4,400 29,964 * Parker Drilling Co. 26,700 152,190 Peabody Energy Corp. 69,800 3,332,252 Penn Virginia Corp. 2,400 99,048 * Petroleum Development Corp. 1,600 41,808 Pioneer Natural Resources Co. 98,600 3,956,818 * Plains Exploration & Production Co. 20,910 638,800 Pogo Producing Co. 60,300 2,981,232 * Pride International, Inc. 60,000 1,353,000 Range Resources Corp. 19,100 441,210 Resource America, Inc. 16,600 564,068 Rowan Companies, Inc. 66,200 1,820,500 * Seabulk International, Inc. 7,641 149,840 * SEACOR Holdings, Inc. 12,550 728,653 * Southwestern Energy Co. 2,100 146,580 * Spinnaker Exploration Co. 12,200 374,174 * Stone Energy Corp. 11,800 507,754 Sunoco, Inc. 29,300 3,005,301 * Swift Energy Corp. 25,900 884,485 * # Tel Offshore Trust 357 2,595 Tesoro Petroleum Corp. 30,900 1,347,240 * TETRA Technologies, Inc. 7,900 218,040 Tidewater, Inc. 51,200 1,771,520 * Toreador Resources Corp. 500 10,740 * TransMontaigne, Inc. 14,100 116,748 * Unit Corp. 15,100 589,202 * Universal Compression Holdings, Inc. 11,600 396,720 USEC, Inc. 61,700 842,205 Valero Energy Corp. 216,400 14,849,368 * Veritas DGC, Inc. 3,600 97,200
12 Vintage Petroleum, Inc. 62,800 1,734,536 * Whiting Petroleum Corp. 366 12,656 ----------------- Total Energy (Cost $140,357,768) 241,159,712 ----------------- Industrials -- (10.2%) * AAR Corp. 12,500 200,500 * ABX Air, Inc. 11,774 88,540 * Active Power, Inc. 10,200 27,336 Administaff, Inc. 2,100 44,856 * AGCO Corp. 47,700 875,772 * AirNet Systems, Inc. 1,000 4,990 Alamo Group, Inc. 3,100 63,240 * Alaska Air Group, Inc. 15,700 463,464 Albany International Corp. Class A 17,000 531,590 Alexander & Baldwin, Inc. 40,000 1,778,000 * Allegheny Corp. 2,310 647,378 * Allied Defense Group, Inc. 200 4,768 * Allied Holdings, Inc. 1,000 1,100 * Allied Waste Industries, Inc. 145,000 1,117,950 Ambassadors International, Inc. 3,900 49,998 * # America West Holdings Corp. Class B 2,400 13,440 American Power Conversion Corp. 1,300 33,098 * American Superconductor Corp. 3,800 33,630 Ameron International Corp. 6,300 207,900 * # AMR Corp. 4,100 52,890 Amrep Corp. 500 10,855 Apogee Enterprises, Inc. 9,100 127,309 Applied Industrial Technologies, Inc. 21,450 652,938 Applied Signal Technologies, Inc. 2,400 42,000 Arkansas Best Corp. 15,700 513,861 * Armor Holdings, Inc. 8,200 309,550 * Artesyn Technologies, Inc. 30,500 251,015 * Astec Industries, Inc. 9,800 214,914 * # AstroPower, Inc. 2,200 2 * Aviall, Inc. 5,100 156,978 * Axsys Technologies, Inc. 450 7,668 * AZZ, Inc. 3,600 57,636 Banta Corp. 13,000 570,960 Barnes Group, Inc. 7,500 230,100 Bowne & Co., Inc. 29,200 386,900 Burlington Northern Santa Fe Corp. 311,900 15,414,098 C&D Technologies, Inc. 17,800 130,296 Cascade Corp. 3,500 123,270 * Casella Waste Systems, Inc. Class A 6,400 73,024 * Catalytica Energy Systems, Inc. 1,000 1,970 CDI Corp. 13,500 288,090 * Celadon Group, Inc. 2,000 36,200 Cendant Corp. 978,379 20,751,419 Central Parking Corp. 30,100 508,690 * Century Business Services, Inc. 42,800 171,628 * Cenveo, Inc. 11,600 97,208 * Ceradyne, Inc. 1,950 45,026 * Channell Commercial Corp. 700 4,214 * # Chart Industries, Inc. 3 160
13 CIRCOR International, Inc. 12,950 320,513 * Clean Harbors, Inc. 3,200 66,400 * Comfort Systems USA, Inc. 15,500 97,495 * # Compudyne Corp. 1,000 6,050 * Consolidated Graphics, Inc. 5,700 241,281 * # Continental Airlines, Inc. 20,100 278,586 * Cornell Companies, Inc. 3,700 47,508 * Correctional Services Corp. 1,500 4,335 * Corrections Corporation of America 11,900 429,590 * Covenant Transport, Inc. Class A 13,900 192,932 * Cross (A.T.) Co. Class A 1,100 5,533 CSX Corp. 205,700 8,553,006 # Cubic Corp. 31,500 554,400 Curtiss-Wright Corp. 1,272 69,553 Deere & Co. 2,300 152,145 * DiamondCluster International, Inc. 1,180 15,434 * Distributed Energy Systems Corp. 1,900 6,308 * Dollar Thrifty Automotive Group, Inc. 22,900 824,171 Donnelley (R.R.) & Sons Co. 10,300 342,475 * Ducommun, Inc. 1,000 16,450 * Dycom Industries, Inc. 21,099 414,384 * Dynamex, Inc. 700 12,593 Eaton Corp. 3,100 185,535 * EGL, Inc. 10,800 205,524 * Electro Rent Corp. 3,500 41,125 * EMCOR Group, Inc. 4,700 223,250 * Encore Wire Corp. 7,050 77,550 * EnPro Industries, Inc. 6,900 186,783 * ESCO Technologies, Inc. 400 33,900 * Esterline Technologies Corp. 9,200 357,880 * Exponent, Inc. 500 12,385 Federal Signal Corp. 28,600 447,018 FedEx Corp. 4,782 427,606 * First Consulting Group, Inc. 400 2,072 * Flanders Corp. 1,800 17,946 Florida East Coast Industries, Inc. 9,500 399,570 * Flowserve Corp. 35,500 1,046,185 * # FLYi, Inc. 61 46 * Foster (L.B.) Co. Class A 700 6,300 * Foster Wheeler, Ltd. 175 2,590 * Frontier Airlines, Inc. 15,400 188,034 * Frozen Food Express Industries, Inc. 4,300 46,225 * FuelCell Energy, Inc. 5,272 42,914 G & K Services, Inc. Class A 13,243 521,244 * Gardner Denver Machinery, Inc. 2,355 90,314 GATX Corp. 45,397 1,514,898 * Gehl Co. 1,100 32,987 Gencorp, Inc. 24,200 457,380 * General Binding Corp. 2,400 49,656 * Genesee & Wyoming, Inc. 4,700 131,318 * Genlyte Group, Inc. 11,000 490,160 * Global Payment Technologies, Inc. 400 1,800 * # GP Strategies Corp. 7,600 53,960 Granite Construction, Inc. 15,300 358,785 * Griffon Corp. 23,170 461,778
14 * Hawk Corp. 600 6,714 Healthcare Services Group, Inc. 900 16,830 Heico Corp. 8,700 183,570 Heico Corp. Class A 1,170 19,644 * Heidrick & Struggles International, Inc. 6,200 155,682 * Herley Industries, Inc. 5,500 96,305 * Hexcel Corp. 2,200 35,948 * Hub Group, Inc. Class A 1,000 27,480 * Hudson Highland Group, Inc. 4,680 74,927 Hughes Supply, Inc. 64,100 1,666,600 Hunt (J.B.) Transport Services, Inc. 100,000 2,008,000 * Huttig Building Products, Inc. 4,100 44,731 IDEX Corp. 12,750 489,728 IKON Office Solutions, Inc. 111,100 1,076,559 * Industrial Distribution Group, Inc. 1,300 11,427 * Innotrac Corp. 200 1,698 * Innovative Solutions & Support, Inc. 900 31,176 * Insituform Technologies, Inc. Class A 5,600 83,104 * # Integrated Electrical Services, Inc. 21,600 32,832 Interpool, Inc. 4,500 97,740 * Jacuzzi Brands, Inc. 15,200 155,192 JLG Industries, Inc. 39,300 1,001,757 # Joy Global, Inc. 7,500 281,550 * Kadant, Inc. 5,657 115,969 Kaman Corp. Class A 17,392 269,054 * # Kansas City Southern 29,300 585,707 * Keith Companies, Inc. 2,400 50,760 Kelly Services, Inc. Class A 23,904 664,770 Kennametal, Inc. 32,400 1,425,600 * Kforce, Inc. 1,676 13,475 * Kirby Corp. 8,300 354,078 * Korn/Ferry International 12,700 201,422 * K-Tron International, Inc. 200 5,720 * LaBarge, Inc. 1,900 26,961 * Labor Ready, Inc. 4,000 82,560 * Ladish Co., Inc. 3,000 33,300 * Laidlaw International, Inc. 7,100 157,904 * Lancer Corp. 700 12,110 * Layne Christensen Co. 800 13,840 Lennox International, Inc. 45,700 970,668 Lockheed Martin Corp. 133,500 8,662,815 LSI Industries, Inc. 8,950 121,631 * Lydall, Inc. 4,800 39,552 * Mac-Gray Corp. 2,000 17,440 * Magnetek, Inc. 2,100 4,641 * MAIR Holdings, Inc. 6,100 58,194 Manpower, Inc. 36,700 1,461,761 * Mastec, Inc. 21,500 181,890 McGrath Rentcorp. 6,008 138,484 * Merrimac Industries, Inc. 1,100 9,790 * # Mesa Air Group, Inc. 12,000 76,560 Middleby Corp. 500 27,600 * # Midwest Air Group, Inc. 300 588 * Miller Industries, Inc. 8,200 97,990 Mine Safety Appliances Co. 3,900 178,659
15 * Misonix, Inc. 4,400 25,353 * Mobile Mini, Inc. 5,900 217,828 * # Modtech Holdings, Inc. 1,800 11,160 * Monster Worldwide, Inc. 19,713 520,029 * Moog, Inc. Class A 7,762 235,577 Mueller Industries, Inc. 25,800 696,600 NACCO Industries, Inc. Class A 6,900 707,250 * Nashua Corp. 400 3,600 * # National Patent Development Corp. 7,600 17,784 * NCI Building Systems, Inc. 14,700 507,738 * NCO Group, Inc. 13,097 260,106 * NES Rentals Holdings, Inc. 5 49 * New Horizons Worldwide, Inc. 607 2,191 Norfolk Southern Corp. 428,600 13,680,912 Northrop Grumman Corp. 243,724 13,580,301 * Old Dominion Freight Line, Inc. 450 13,712 * On Assignment, Inc. 2,500 13,250 * Orbital Sciences Corp. 22,813 221,514 * P.A.M. Transportation Services, Inc. 400 6,592 Paccar, Inc. 3,825 270,619 Parker Hannifin Corp. 2,600 156,858 * Park-Ohio Holdings Corp. 2,800 42,700 * Patriot Transportation Holding, Inc. 200 10,460 * PHH Corp. 36,038 864,552 * Pico Holdings, Inc. 9,700 251,133 * Powell Industries, Inc. 1,400 25,788 * Power-One, Inc. 22,100 121,108 Precision Castparts Corp. 50,855 3,952,959 Preformed Line Products Co. 300 10,239 * PRG-Schultz International, Inc. 3,474 13,410 Providence & Worcester Railroad Co. 1,500 19,875 * PW Eagle, Inc. 500 3,290 * Quanta Services, Inc. 33,700 304,311 * RailAmerica, Inc. 17,300 201,891 Raytheon Co. 403,000 15,781,480 * RCM Technologies, Inc. 800 3,680 Regal-Beloit Corp. 19,600 503,720 * RemedyTemp, Inc. 3,200 31,520 Robbins & Myers, Inc. 11,700 276,705 * Rush Enterprises, Inc. Class A 3,600 51,804 * Rush Enterprises, Inc. Class B 500 7,275 Ryder System, Inc. 83,000 3,049,420 * SCS Transportation, Inc. 10,900 198,925 * Sequa Corp. Class A 3,300 191,400 * Sequa Corp. Class B 900 53,334 * Shaw Group, Inc. 23,300 469,495 Skywest, Inc. 37,100 676,704 * SL Industries, Inc. 400 6,828 Smith (A.O.) Corp. 16,300 511,168 Smith (A.O.) Corp. Convertible Class A 2,200 68,992 * SOURCECORP, Inc. 6,000 128,460 Southwest Airlines Co. 736,600 10,717,530 * Spherion Corp. 23,500 128,545 SPX Corp. 62,500 2,775,625 Standard Register Co. 15,000 213,000
16 Steelcase, Inc. Class A 41,600 536,640 Stewart & Stevenson Services, Inc. 16,800 401,352 * Strategic Distribution, Inc. 200 2,060 Supreme Industries, Inc. 610 3,996 * Swift Transportation Co., Inc. 22,820 560,231 Sypris Solutions, Inc. 9,401 99,087 TB Wood's Corp. 5,400 31,212 Tecumseh Products Co. Class A 9,184 251,091 Teleflex, Inc. 24,600 1,376,370 * TeleTech Holdings, Inc. 25,100 205,067 * Terex Corp. 22,800 901,056 * Tetra Tech, Inc. 18,600 224,130 Textron, Inc. 67,500 5,217,075 The Brink's Co. 20,300 633,563 * The Geo Group, Inc. 1,800 43,686 * The Lamson & Sessions Co. 12,800 139,392 * Thomas & Betts Corp. 63,600 1,963,968 Thomas Industries, Inc. 11,400 454,518 Timken Co. 79,100 1,858,850 Todd Shipyards Corp. 1,100 21,175 * Transport Corp. of America 500 3,125 * TRC Companies, Inc. 3,200 36,480 Tredegar Industries, Inc. 31,000 472,750 Trinity Industries, Inc. 38,300 1,112,998 * Triumph Group, Inc. 4,600 163,208 * Tufco Technologies, Inc. 300 1,857 * U.S. Xpress Enterprises, Inc. Class A 800 9,768 Union Pacific Corp. 251,400 16,833,744 * United Rentals, Inc. 58,300 1,170,664 * United Stationers, Inc. 9,700 475,591 Universal Forest Products, Inc. 16,700 664,660 * URS Corp. 15,400 520,982 * USA Truck, Inc. 1,900 38,475 Valmont Industries, Inc. 6,900 165,255 * Valpey Fisher Corp. 100 316 Viad Corp. 8,400 233,520 Vicor Corp. 16,500 219,450 * Volt Information Sciences, Inc. 13,400 263,310 Walter Industries, Inc. 30,140 1,277,936 * Waste Connections, Inc. 14,550 539,514 Waste Industries USA, Inc. 16,100 232,323 * Water Pik Technologies, Inc. 6,100 113,338 Watsco, Inc. Class A 23,900 1,056,141 Watts Water Technologies, Inc. 9,300 323,919 Werner Enterprises, Inc. 76,432 1,437,686 * WESCO International, Inc. 700 20,440 * Westaff, Inc. 3,700 12,839 * Willis Lease Finance Corp. 1,200 9,780 * Wolverine Tube, Inc. 100 721 Woodward Governor Co. 4,800 371,376 * Xanser Corp. 10,600 23,426 * # Yellow Roadway Corp. 30,728 1,621,824 York International Corp. 8,100 333,720 ----------------- Total Industrials (Cost $136,644,525) 209,346,970 -----------------
17 Information Technology -- (8.5%) * 3Com Corp. 178,500 653,310 * Actel Corp. 7,800 115,362 * ActivCard Corp. 10,100 41,612 * Activision, Inc. 15,033 236,920 * Adaptec, Inc. 18,100 72,038 * ADC Telecommunications, Inc. 24,628 447,244 * ADE Corp. 2,600 58,318 * Adept Technology, Inc. 140 1,127 * Advanced Digital Information Corp. 23,300 160,071 * Advanced Energy Industries, Inc. 1,700 16,218 * Advanced Micro Devices, Inc. 78,300 1,284,120 * Advanced Power Technology, Inc. 1,200 7,740 * Aeroflex, Inc. 16,800 134,400 * Agile Software Corp. 8,700 56,115 Agilysys, Inc. 23,700 364,506 * # Alliance Semiconductor Corp. 5,800 9,744 American Software, Inc. Class A 4,300 22,188 * American Technical Ceramics Corp. 500 5,220 * Amkor Technology, Inc. 300 1,065 * Anadigics, Inc. 1,700 2,788 * Analex Corp. 200 654 * Analysts International Corp. 300 987 * Anaren, Inc. 8,600 101,824 * Andrew Corp. 74,173 983,534 * Anixter International, Inc. 4,500 170,145 * AnswerThink, Inc. 16,800 66,528 * APA Enterprises, Inc. 3,693 5,835 * Apple Computer, Inc. 292,000 11,595,320 * Applied Films Corp. 4,600 123,740 * Applied Innovation, Inc. 900 4,383 * Applied Micro Circuits Corp. 96,400 276,668 * aQuantive, Inc. 9,600 147,744 * Ariba, Inc. 11,550 70,802 * Arris Group, Inc. 59,400 514,404 * Arrow Electronics, Inc. 54,300 1,517,685 * Aspect Communications Corp. 8,200 78,720 * # Aspen Technology, Inc. 3,100 16,244 Astro-Med, Inc. 200 1,750 * Atmel Corp. 43,308 129,924 * August Technology Corp. 6,800 77,316 * autobytel.com, Inc. 7,300 35,478 * # Avici Systems, Inc. 100 446 * Avid Technology, Inc. 44 2,580 * Avnet, Inc. 56,100 1,173,612 * Avocent Corp. 19,500 546,000 AVX Corp. 169,300 2,011,284 * Aware, Inc. 20,400 134,640 * Axcelis Technologies, Inc. 51,300 341,145 * BearingPoint, Inc. 62,300 408,065 Belden CDT, Inc. 18,550 373,226 * Bell Industries, Inc. 2,700 5,967 * Bell Microproducts, Inc. 9,600 78,720 * Benchmark Electronics, Inc. 12,600 399,042
18 Black Box Corp. 18,400 632,592 * Blonder Tongue Laboratories, Inc. 500 1,450 Bogen Communications International, Inc. 700 3,343 * Borland Software Corp. 12,900 82,560 * Bottomline Technologies, Inc. 1,000 13,580 * Brightpoint, Inc. 1,750 32,900 * Broadcom Corp. 19,700 699,153 * Brooktrout, Inc. 3,300 32,901 * CalAmp Corp. 1,900 12,540 * Captaris, Inc. 10,800 39,096 * Carreker Corp. 2,200 11,550 * Carrier Access Corp. 200 964 * C-COR, Inc. 8,100 55,728 * Celestica, Inc. 462 5,891 * CellStar Corp. 5,000 6,500 * Centillium Communications, Inc. 6,200 13,578 * CheckFree Corp. 13,400 500,222 * Checkpoint Systems, Inc. 24,200 426,404 * Ciber, Inc. 32,200 262,430 * Ciena Corp. 30,000 65,400 * Clarus Corp. 8,800 67,760 * CNET Networks, Inc. 38,000 394,440 * Coherent, Inc. 13,100 430,073 Cohu, Inc. 7,081 136,097 * Comarco, Inc. 8,700 69,513 * CommScope, Inc. 17,800 301,176 Computer Associates International, Inc. 176,412 4,810,755 * Computer Horizons Corp. 9,600 27,840 * Computer Network Technology Corp. 3,000 15,000 * Computer Sciences Corp. 38,200 1,769,042 * Computer Task Group, Inc. 5,600 19,600 * Compuware Corp. 173,400 1,187,790 * Comtech Telecommunications Corp. 1,200 43,404 * Comverse Technology, Inc. 219,026 5,153,682 * Conexant Systems, Inc. 37,010 52,924 * # Convera Corp. 5,700 24,567 * Convergys Corp. 66,100 900,943 * # Copper Mountain Networks, Inc. 700 644 * Corning, Inc. 453,100 7,104,608 * Cosine Communications, Inc. 800 1,880 * Covansys Corp. 21,000 257,250 * Credence Systems Corp. 17,100 135,432 * # Cree, Inc. 18,800 564,752 CTS Corp. 29,600 315,240 * Cyberoptics Corp. 600 7,716 * Cybersource Corp. 6,500 43,615 * Cypress Semiconductor Corp. 45,700 590,901 * Datastream Systems, Inc. 2,930 17,375 * Delphax Technologies, Inc. 400 1,493 Diebold, Inc. 200 10,012 * Digi International, Inc. 4,200 49,266 * Digimarc Corp. 2,400 12,240 * Digital Insight Corp. 7,900 171,746 * Digitas, Inc. 11,981 132,630 * Diodes, Inc. 3,000 99,750
19 * Ditech Communications Corp. 13,400 96,614 * DoubleClick, Inc. 49,200 404,916 * E.piphany, Inc. 14,200 49,558 * Echelon Corp. 3,200 21,984 * eFunds Corp. 16,300 329,586 * Electro Scientific Industries, Inc. 7,800 139,932 * Electroglas, Inc. 200 690 Electronic Data Systems Corp. 482,100 9,497,370 * Electronics for Imaging, Inc. 24,000 456,000 * eLoyalty Corp. 300 1,485 * EMC Corp. 26,550 373,293 * EMS Technologies, Inc. 6,300 85,050 * Emulex Corp. 3,400 64,260 * Entrust, Inc. 58,000 237,220 * ePlus, Inc. 2,100 26,042 * ESS Technology, Inc. 10,300 42,436 * Exar Corp. 14,000 201,600 * Extreme Networks, Inc. 31,632 144,558 Fair Isaac Corp. 12,922 442,579 * Fairchild Semiconductor Corp. Class A 49,666 710,224 * Faro Technologies, Inc. 1,400 38,948 * Forrester Research, Inc. 700 11,550 * FSI International, Inc. 1,800 6,768 * GameStop Corp. Class B 7,593 203,796 * Gateway, Inc. 13,150 45,499 * Genesis Microchip, Inc. 9,200 152,260 * Gerber Scientific, Inc. 3,500 25,830 * Glenayre Technologies, Inc. 400 1,280 * Globecomm Systems, Inc. 10,200 56,712 * GTSI Corp. 1,600 13,088 * Harmonic, Inc. 2,400 14,952 Harris Corp. 35,200 1,011,648 * Hauppauge Digital, Inc. 1,200 4,620 * Hewitt Associates, Inc. Class A 1,100 27,995 Hewlett-Packard Co. 2,267,400 51,039,174 * HI/FN, Inc. 2,300 15,272 * Hutchinson Technology, Inc. 17,900 740,523 * Hypercom Corp. 22,000 139,700 * Identix, Inc. 27,179 149,213 * iGATE Capital Corp. 19,300 84,341 Imation Corp. 31,300 1,181,888 * InFocus Corp. 9,100 37,856 * Informatica Corp. 400 3,432 Inforte Corp. 6,700 22,981 * InfoSpace, Inc. 8,500 288,320 * Ingram Micro, Inc. 76,100 1,203,141 * Innovex, Inc. 4,500 15,210 * Integrated Device Technology, Inc. 49,000 599,270 * Integrated Silicon Solution, Inc. 6,500 42,575 * Intergraph Corp. 26,900 844,391 * Interland, Inc. 4,700 8,930 * Interlink Electronics, Inc. 1,700 9,078 * International Rectifier Corp. 22,300 1,065,494 * Internet Security Systems, Inc. 13,900 308,580 * Interphase Corp. 1,100 7,755
20 Intersil Corp. 135,200 2,536,352 * Interwoven, Inc. 8,300 66,068 * Intest Corp. 600 2,153 * Iomega Corp. 7,000 21,630 * iPass, Inc. 7,900 48,743 * # IPIX Corp. 1,700 4,539 * Iron Mountain, Inc. 450 12,915 * IXYS Corp. 13,190 182,418 * Jaco Electronics, Inc. 1,400 4,396 * JDA Software Group, Inc. 10,000 129,200 * Keane, Inc. 26,300 352,946 * Kemet Corp. 27,800 194,600 * Keynote Systems, Inc. 12,100 140,360 * Komag, Inc. 400 11,540 * Kulicke & Soffa Industries, Inc. 8,500 49,385 * Lattice Semiconductor Corp. 13,200 55,704 * Lawson Software, Inc. 5,800 34,336 * LeCroy Corp. 1,200 19,752 * Lightbridge, Inc. 3,000 18,840 * LogicVision, Inc. 10,600 19,080 * Logility, Inc. 1,000 4,500 * LSI Logic Corp. 180,300 1,327,008 * LTX Corp. 15,351 73,531 * Macromedia, Inc. 19,900 879,978 * Manugistic Group, Inc. 5,221 9,398 * Mapinfo Corp. 6,700 83,482 * Maxtor Corp. 131,100 719,739 * Maxwell Technologies, Inc. 700 7,196 * McAfee, Inc. 2,200 63,096 * McDATA Corp. 10,300 39,243 * MedQuist, Inc. 8,300 107,983 * Merix Corp. 6,300 45,675 Methode Electronics, Inc. 1,000 11,940 * Metrologic Instruments, Inc. 6,432 89,148 * Micro Linear Corp. 4,200 24,570 * Micromuse, Inc. 22,000 138,160 * Micron Technology, Inc. 281,800 3,094,164 * Microsemi Corp. 17,900 369,277 * Microtune, Inc. 5,600 24,752 * # Midway Games, Inc. 3,000 26,550 * MIPS Technologies, Inc. 80 690 * MKS Instruments, Inc. 16,400 273,880 * Mobius Management Systems, Inc. 1,300 8,021 * Moldflow Corp. 2,000 26,400 * Motive, Inc. 5,000 43,450 * MPS Group, Inc. 86,100 807,618 * MRO Software, Inc. 30,300 454,500 * # MSC.Software Corp. 8,500 87,423 * Nanometrics, Inc. 2,200 24,816 * Napco Security Systems, Inc. 380 3,507 National Semiconductor Corp. 8,000 160,960 * NCR Corp. 12,500 457,875 * Neoforma, Inc. 7,800 53,430 * NEON Systems, Inc. 700 2,170 * Neoware Systems, Inc. 400 4,048
21 * Net2Phone, Inc. 200 320 * NetIQ Corp. 14,900 164,496 * Netopia, Inc. 300 1,004 * NetRatings, Inc. 23,200 315,984 * Netscout System, Inc. 22,100 136,136 * Network Engines, Inc. 1,700 2,890 * Network Equipment Technologies, Inc. 26,700 149,253 * Newport Corp. 16,600 233,230 * NIC, Inc. 8,000 35,120 * Novell, Inc. 205,000 1,199,250 * Nu Horizons Electronics Corp. 12,600 74,088 * NYFIX, Inc. 9,700 48,985 * O.I. Corp. 200 2,375 * Opent Technologies, Inc. 23,600 190,924 * Openwave Systems, Inc. 2,500 38,875 * OSI Systems, Inc. 4,800 71,520 * Overland Storage, Inc. 2,800 27,132 * OYO Geospace Corp. 2,500 40,905 * # PalmOne, Inc. 4,015 114,106 * PalmSource, Inc. 1,543 15,476 * Panavision, Inc. 600 3,300 * PAR Technology Corp. 600 17,190 * Paradyne Networks Corp. 10,200 20,094 Park Electrochemical Corp. 14,500 336,400 * Parlex Corp. 3,300 19,470 * Paxar Corp. 11,600 204,392 * PC Connection, Inc. 14,861 75,940 * PC-Tel, Inc. 4,800 35,088 * Pegasus Solutions, Inc. 5,900 63,484 * Pegasystems, Inc. 19,704 117,633 * Perceptron, Inc. 900 5,877 * Performance Technologies, Inc. 1,400 9,422 * Pericom Semiconductor Corp. 5,400 43,254 * Pervasive Software, Inc. 700 3,241 * Phoenix Technologies, Ltd. 7,400 60,088 * Photon Dynamics, Inc. 2,000 38,620 * Photronics, Inc. 13,200 303,996 * Pinnacle Systems, Inc. 19,258 113,815 * Pixelworks, Inc. 10,700 91,699 * Planar Systems, Inc. 1,200 9,648 * PLATO Learning, Inc. 13,300 101,612 * Plexus Corp. 13,700 188,375 * PLX Technology, Inc. 3,800 28,956 * Polycom, Inc. 41,200 704,932 * Powerwave Technologies, Inc. 27,700 252,901 * Presstek, Inc. 4,500 38,430 * # Procom Technology, Inc. 900 1,440 * Quantum Corp. 45,300 117,780 * QuickLogic Corp. 6,100 26,657 * Quovadx, Inc. 6,364 17,310 * RadiSys Corp. 7,300 118,041 * RealNetworks, Inc. 22,800 116,508 * Register.com, Inc. 5,600 35,000 * REMEC, Inc. 4,906 30,663 * RF Monolithics, Inc. 5,299 33,384
22 Richardson Electronics, Ltd. 13,800 122,820 * Rofin-Sinar Technologies, Inc. 900 29,070 * RSA Security, Inc. 18,400 226,320 * Rudolph Technologies, Inc. 4,600 66,332 Sabre Holdings Corp. 107,600 2,159,532 * Safeguard Scientifics, Inc. 8,000 7,920 * SafeNet, Inc. 7,518 236,216 * Sandisk Corp. 47,000 1,226,230 * Sanmina-SCI Corp. 199,900 1,025,487 * SBS Technologies, Inc. 1,200 11,652 * ScanSoft, Inc. 15,600 63,336 Scientific-Atlanta, Inc. 46,700 1,555,110 * SCM Microsystems, Inc. 7,900 23,463 * Seachange International, Inc. 7,500 59,250 * Selectica, Inc. 29,569 93,734 * Semitool, Inc. 26,400 231,528 * Silicon Storage Technology, Inc. 30,500 104,920 * SimpleTech, Inc. 7,700 26,950 * Sipex Corp. 30,000 49,500 * Skyworks Solutions, Inc. 50,180 317,639 * Solectron Corp. 363,400 1,326,410 * SonicWALL, Inc. 36,200 223,716 * Spectrum Control, Inc. 3,500 24,780 SS&C Technologies, Inc. 1,450 43,355 * Standard Microsystems Corp. 7,300 118,698 * Stellent, Inc. 6,775 51,287 * Storage Technology Corp. 40,100 1,294,428 * Stratasys, Inc. 600 19,416 * # Stratos International, Inc. 200 862 * SumTotal Systems, Inc. 100 419 * Sun Microsystems, Inc. 899,500 3,427,095 Sunrise Telecom, Inc. 14,900 23,840 * Sycamore Networks, Inc. 89,600 302,848 * Sykes Enterprises, Inc. 16,200 134,136 * Symmetricom, Inc. 9,542 107,634 * Tech Data Corp. 27,100 972,890 Technitrol, Inc. 8,200 107,666 * TechTeam Global, Inc. 5,000 70,000 Tektronix, Inc. 1,766 40,035 * Tellabs, Inc. 165,072 1,356,892 * Telular Corp. 3,400 13,260 * Teradyne, Inc. 72,300 940,623 * TheStreet.com, Inc. 6,700 20,770 * THQ, Inc. 12,086 337,079 * Three-Five Systems, Inc. 3,000 2,010 * TIBCO Software, Inc. 72,100 457,114 * Tier Technologies, Inc. Class B 8,900 78,676 * Titan Corp. 1,700 37,400 * Tollgrade Communications, Inc. 4,400 33,352 * Triquint Semiconductor, Inc. 22,500 76,275 * TTM Technologies, Inc. 12,400 98,456 * Tyler Technologies, Inc. 25,700 167,307 * Ulticom, Inc. 21,900 201,480 * Ultratech, Inc. 5,500 96,415 * Unisys Corp. 135,000 977,400
23 United Online, Inc. 18,300 236,802 * Unova, Inc. 29,300 602,994 * ValueClick, Inc. 20,400 218,688 * Veeco Instruments, Inc. 16,900 254,683 * VeriSign, Inc. 88,500 2,862,975 * Veritas Software Corp. 1 25 * Verity, Inc. 12,900 110,037 * Viasat, Inc. 10,900 221,161 * Vicon Industries, Inc. 300 885 Video Display Corp. 600 7,740 * Vishay Intertechnology, Inc. 67,111 865,732 * Vitesse Semiconductor, Inc. 49,800 124,500 * Vitria Technology, Inc. 200 640 * Vyyo, Inc. 1,400 8,652 * WatchGuard Technologies, Inc. 15,600 56,628 * White Electronics Designs Corp. 3,400 16,966 * Wind River Systems, Inc. 5,590 91,620 Wireless Telecom Group, Inc. 5,500 13,915 * Witness Systems, Inc. 4,100 71,258 Woodhead Industries, Inc. 5,000 64,150 * Xerox Corp. 158,800 2,154,916 * Yahoo!, Inc. 52 1,934 * # Zhone Technologies, Inc. 1,200 3,252 * Zomax, Inc. 14,600 40,150 * Zoran Corp. 11,932 147,241 * Zygo Corp. 15,000 145,200 ----------------- Total Information Technology (Cost $126,680,241) 174,495,544 ----------------- Materials -- (5.8%) * AEP Industries, Inc. 4,600 79,258 Airgas, Inc. 78,300 1,879,200 Albemarle Corp. 24,100 916,764 Alcoa, Inc. 2,552 69,159 * Aleris International, Inc. 2,363 56,287 Allegheny Technologies, Inc. 4,200 89,292 * American Pacific Corp. 500 4,050 Aptargroup, Inc. 6,500 325,000 Arch Chemicals, Inc. 17,100 403,047 Bowater, Inc. 47,400 1,488,360 * Brush Engineered Materials, Inc. 5,700 80,826 * Buckeye Technologies, Inc. 12,000 99,240 Cabot Corp. 51,800 1,502,200 Calgon Carbon Corp. 26,900 239,679 Cambrex Corp. 16,700 302,270 * Caraustar Industries, Inc. 16,500 173,250 Carpenter Technology Corp. 20,000 1,080,000 * Century Aluminum Co. 24,600 551,286 Chesapeake Corp. 14,700 306,789 Cleveland-Cliffs, Inc. 600 35,178 Commercial Metals Co. 37,200 973,152 * # Continental Materials Corp. 100 3,119 * Crown Holdings, Inc. 64,500 960,405 Cytec Industries, Inc. 13,500 562,410 * Devcon International Corp. 300 3,525
24 # Eagle Materials, Inc. 19,381 1,699,132 Eagle Materials, Inc. Class B 4,115 349,981 Eastman Chemical Co. 22,900 1,346,062 * FMC Corp. 10,200 565,590 Fuller (H.B.) Co. 14,200 460,080 Georgia-Pacific Corp. 246,200 8,159,068 Gibraltar Industries, Inc. 11,400 222,984 Glatfelter (P.H.) Co. 34,700 388,640 * Graphic Packaging Corp. 4,600 17,250 Great Lakes Chemical Corp. 36,200 1,227,180 International Paper Co. 303,312 9,769,680 Kronos Worldwide, Inc. 371 11,724 LaFarge North America, Inc. 65,400 3,948,198 * Landec Corp. 3,300 19,767 * Lesco, Inc. 3,500 47,250 Longview Fibre Co. 44,200 882,674 Louisiana-Pacific Corp. 128,500 3,235,630 Lubrizol Corp. 55,600 2,188,972 Lyondell Chemical Co. 185,455 4,402,702 Martin Marietta Materials, Inc. 24,300 1,483,515 * Material Sciences Corp. 3,900 47,580 MeadWestavco Corp. 165,800 4,755,144 * Metals USA, Inc. 1,000 21,170 Minerals Technologies, Inc. 18,600 1,251,780 Monsanto Co. 118,700 6,765,900 Myers Industries, Inc. 25,150 280,423 * NewMarket Corp. 4,600 62,514 Newmont Mining Corp. 2,294 85,429 * NL Industries, Inc. 14,500 220,400 NN, Inc. 6,300 79,947 * Northwest Pipe Co. 500 11,080 Nucor Corp. 71,600 3,791,936 Olin Corp. 448 8,409 * # Olympic Steel, Inc. 2,500 39,250 * OM Group, Inc. 9,300 234,360 * OMNOVA Solutions, Inc. 10,340 41,980 * Oregon Steel Mills, Inc. 6,000 105,960 * Owens-Illinois, Inc. 77,200 1,984,812 * Pactiv Corp. 1,800 41,130 Phelps Dodge Corp. 70,800 6,187,920 * PolyOne Corp. 2,300 15,456 Pope & Talbot, Inc. 9,100 100,373 Potlatch Corp. 25,100 1,297,419 Quaker Chemical Corp. 2,700 47,790 Quanex Corp. 18,150 941,804 Reliance Steel & Aluminum Co. 25,900 996,891 Rock of Ages Corp. 300 1,821 Rock-Tenn Co. Class A 23,500 270,485 Rohm & Haas Co. 900 41,985 RPM International, Inc. 92,000 1,619,200 * RTI International Metals, Inc. 20,900 572,451 # Ryerson Tull, Inc. 22,200 337,884 Schnitzer Steel Industries, Inc. Class A 13,200 305,184 Schulman (A.), Inc. 26,300 430,268 Schweitzer-Maudoit International, Inc. 10,500 314,685
25 * Sealed Air Corp. 38,700 2,004,273 Sensient Technologies Corp. 32,200 655,270 * Smurfit-Stone Container Corp. 202,200 2,197,914 Spartech Corp. 20,900 422,807 Steel Dynamics, Inc. 35,900 965,351 Steel Technologies, Inc. 10,400 208,000 Stepan Co. 1,100 23,331 * Stillwater Mining Co. 10,200 68,850 Summa Industries, Inc. 2,200 16,940 Temple-Inland, Inc. 77,000 2,750,440 * Terra Industries, Inc. 34,200 217,170 Texas Industries, Inc. 23,600 1,086,072 * The Mosaic Co. 56 732 * U.S. Concrete, Inc. 11,700 71,604 United States Steel Corp. 100,400 3,992,908 * Universal Stainless & Alloy Products, Inc. 500 6,275 Valhi, Inc. 90,900 1,685,286 Wausau-Mosinee Paper Corp. 35,000 437,500 Wellman, Inc. 25,300 284,372 Weyerhaeuser Co. 231,500 14,850,725 Worthington Industries, Inc. 68,000 1,139,680 * # Zoltek Companies, Inc. 16,800 167,328 ----------------- Total Materials (Cost $87,434,500) 119,173,473 ----------------- Telecommunication Services -- (5.2%) Alltel Corp. 500 29,085 * American Tower Corp. 66,700 1,203,268 AT&T Corp. 497,400 9,346,146 * Boston Communications Group, Inc. 2,600 3,614 CenturyTel, Inc. 3,100 101,649 Citizens Communications Co. 128,600 1,754,104 * Crown Castle International Corp. 93,300 1,658,874 CT Communications, Inc. 7,941 96,086 D&E Communications, Inc. 5,068 41,000 * General Communications, Inc. Class A 16,180 133,323 Hector Communications Corp. 200 4,600 * IDT Corp. 11,100 149,739 * IDT Corp. Class B 27,700 379,490 * LCC International, Inc. Class A 3,800 13,566 * # Level 3 Communications, Inc. 37,700 78,416 * Premiere Global Services, Inc. 3,900 43,875 * Price Communications Corp. 12,038 206,933 * Qwest Communications International, Inc. 97,900 383,768 SBC Communications, Inc. 2,459,600 57,505,448 Sprint Corp. 875,888 20,749,787 SureWest Communications 6,150 146,370 * TALK America Holdings, Inc. 3,300 29,337 Telephone & Data Systems, Inc. 47,900 1,856,125 * Telephone & Data Systems, Inc. Special Shares 45,400 1,725,200 * Time Warner Telecom, Inc. 13,200 67,320 * United States Cellular Corp. 21,900 1,030,176 Verizon Communications, Inc. 235,900 8,346,142 * Wireless Facilities, Inc. 17,600 90,640 * WQN, Inc. 300 591
26 * Xeta Corp. 78 250 ----------------- Total Telecommunication Services (Cost $101,183,276) 107,174,922 ----------------- Health Care -- (4.2%) * Accelrys, Inc. 15,400 81,312 Aetna, Inc. 183,800 14,338,238 * Air Methods Corp. 2,700 18,306 * Albany Molecular Research, Inc. 7,100 84,561 * Alexion Pharmaceuticals, Inc. 1,500 34,125 * Align Technology, Inc. 100 727 * Allied Healthcare International, Inc. 1,200 8,304 * Allied Healthcare Products, Inc. 400 2,068 * Allscripts Healthcare Solutions, Inc. 8,928 146,062 Alpharma, Inc. Class A 18,900 243,243 * America Services Group, Inc. 600 11,814 * American Dental Partners, Inc. 1,800 43,254 * American Retirement Corp. 3,200 43,808 American Shared Hospital Services 600 3,600 AmerisourceBergen Corp. 136,372 8,805,540 * AMN Healthcare Services, Inc. 7,000 101,080 Analogic Corp. 9,533 405,057 * Arena Pharmaceuticals, Inc. 2,400 16,440 * Arqule, Inc. 3,500 22,925 * Aspect Medical Systems, Inc. 1,500 48,240 Atrion Corp. 200 13,070 * ATS Medical, Inc. 200 650 * Avigen, Inc. 2,900 8,671 * Beverly Enterprises, Inc. 19,200 237,504 * Bio-Logic Systems Corp. 450 2,695 * BioMarin Pharmaceutical, Inc. 9,028 61,390 * Bio-Rad Laboratories, Inc. Class A 3,500 188,580 * BioScrip, Inc. 2,500 13,075 * Biosource International, Inc. 2,600 26,416 * Bruker BioSciences Corp. 20,600 86,520 * Caliper Life Sciences, Inc. 14,800 91,168 * Candela Corp. 5,300 54,219 * Capital Senior Living Corp. 9,600 58,176 * Cardiac Sciences, Inc. 2,000 1,960 * # Cell Genesys, Inc. 3,700 21,497 Chemed Corp. 2,400 101,472 Cigna Corp. 69,000 6,710,250 * Ciphergen Biosystems, Inc. 6,501 13,392 * Community Health Systems, Inc. 700 25,459 * Compex Technologies, Inc. 2,000 7,520 * Conmed Corp. 14,650 459,131 Cooper Companies, Inc. 537 35,469 * Cross Country Healthcare, Inc. 11,600 196,620 * # CryoLife, Inc. 1,100 7,975 * # CuraGen Corp. 5,400 23,112 * Curative Health Services, Inc. 7,300 18,761 D&K Healthcare Resources, Inc. 13,600 110,976 Datascope Corp. 6,217 189,245 * DaVita, Inc. 21,800 1,004,108 * # Dendreon Corp. 7,500 39,675
27 * # Digital Angel Corp. 5,300 20,776 * Discovery Partners International, Inc. 8,900 26,255 * DUSA Pharmaceuticals, Inc. 5,400 60,426 * Dyax Corp. 15,200 70,680 Eli Lilly & Co. 676 39,411 * Emisphere Technologies, Inc. 6,000 23,280 * Encore Medical Corp. 7,100 36,068 * Exelixis, Inc. 5,300 37,206 * First Horizon Pharmaceutical Corp. 5,765 108,382 * Gene Logic, Inc. 4,061 13,686 * Genesis HealthCare Corp. 100 4,349 * Gentiva Health Services, Inc. 2,300 36,547 * Genzyme Corp. 28 1,747 * Hanger Orthopedic Group, Inc. 9,000 45,900 * Harvard Bioscience, Inc. 14,900 47,978 * Health Net, Inc. 17,100 585,333 * HealthTronics Surgical Services, Inc. 6,919 87,802 * HMS Holdings Corp. 3,400 21,080 * Hologic, Inc. 5,600 206,136 Hooper Holmes, Inc. 53,300 213,200 * Horizon Health Corp. 48 2,105 * Human Genome Sciences, Inc. 11,700 131,976 * Humana, Inc. 89,500 3,254,220 * Illumina, Inc. 24,400 256,200 * ImmunoGen, Inc. 4,000 23,840 * Impath, Inc. 600 2,664 * Inspire Pharmaceuticals, Inc. 5,100 33,150 * IntegraMed America, Inc. 200 2,090 * Invitrogen Corp. 30,600 2,427,498 * Kendle International, Inc. 1,668 19,232 * Kindred Healthcare, Inc. 10,700 412,806 * King Pharmaceuticals, Inc. 8,300 78,518 * Lexicon Genetics, Inc. 9,053 43,817 * LifePoint Hospitals, Inc. 2,871 129,138 Manor Care, Inc. 29,800 1,158,028 * Matria Healthcare, Inc. 1,700 48,433 * Maxim Pharmaceuticals, Inc. 6,100 9,272 * Maxygen, Inc. 7,100 55,593 McKesson Corp. 229,000 9,221,830 * Medarex, Inc. 15,300 115,974 * MedCath Corp. 2,000 51,820 * Medco Health Solutions, Inc. 87,300 4,365,000 * Medical Staffing Network Holdings, Inc. 3,900 21,177 * MEDTOX Scientific, Inc. 3,650 21,900 * Microtek Medical Holdings, Inc. 1,300 4,576 * Millennium Pharmaceuticals, Inc. 131,300 1,098,981 * Molecular Devices Corp. 5,000 96,600 * Nabi Biopharmaceuticals 16,200 199,098 * # Nanogen, Inc. 200 816 * Natus Medical, Inc. 3,300 33,330 NDCHealth Corp. 21,700 363,692 * Nektar Therapeutics 3,390 61,969 * Neopharm, Inc. 1,610 15,794 * Neose Technologies, Inc. 200 526 * Neurogen Corp. 2,200 14,872
28 * NMT Medical, Inc. 1,500 13,125 * North American Scientific, Inc. 5,800 17,400 * Nutraceutical International Corp. 1,518 20,022 * Nuvelo, Inc. 21 156 * # OCA, Inc. 13,500 55,350 Omnicare, Inc. 64,800 2,483,136 * Onyx Pharmaceuticals, Inc. 1,900 47,481 Option Care, Inc. 3,000 39,900 * Oscient Pharmaceutical Corp. 1,500 2,475 * Osteotech, Inc. 170 491 * PacifiCare Health Systems, Inc. 31,500 1,979,145 * Pain Therapeutics, Inc. 10,631 55,813 * Parexel International Corp. 7,800 142,350 * PDI, Inc. 3,300 39,600 * Pediatric Services of America, Inc. 1,000 13,190 * Pediatrix Medical Group, Inc. 5,100 375,513 PerkinElmer, Inc. 92,800 1,775,264 Perrigo Co. 2,700 41,958 * Pharmacopia Drug Discovery, Inc. 7,900 38,236 * # Pharmacyclics, Inc. 2,900 23,258 PolyMedica Corp. 10,600 372,060 * Protein Design Labs, Inc. 14,850 283,635 * PSS World Medical, Inc. 59,059 693,353 * Quidel Corp. 2,200 9,636 * Radiologix, Inc. 1,000 3,930 * Res-Care, Inc. 1,610 21,461 * Respironics, Inc. 1,936 129,402 * Sangamo BioSciences, Inc. 8,400 31,500 * Savient Pharmaceuticals, Inc. 11,289 37,931 * Schein (Henry), Inc. 26,513 1,068,209 * Serologicals Corp. 3,450 74,140 * SFBC International, Inc. 1,500 52,515 * Sonic Innovations, Inc. 800 3,480 * Specialty Laboratories, Inc. 6,900 56,718 * SRI/Surgical Express, Inc. 700 3,174 * Staar Surgical Co. 8,200 32,226 * Strategic Diagnostics, Inc. 400 1,124 * # Sunrise Senior Living, Inc. 10,100 526,715 * Synovis Life Technologies, Inc. 500 3,825 * Tenet Healthcare Corp. 191,150 2,316,738 * Theragenics Corp. 4,700 16,121 * Thermo Electron Corp. 73,345 1,930,440 * Third Wave Technologies, Inc. 12,200 45,872 * Thoratec Corp. 12,440 185,854 * # Transkaryotic Therapies, Inc. 1,500 50,985 * Triad Hospitals, Inc. 36,462 1,849,353 * TriPath Imaging, Inc. 7,000 60,130 * TriZetto Group, Inc. 21,640 300,363 * United Therapeutics Corp. 800 39,968 * Urologix, Inc. 11,772 51,444 * Viasys Healthcare, Inc. 5,517 128,270 * Virologic, Inc. 15,880 43,352 * Watson Pharmaceuticals, Inc. 58,200 1,749,492 * WebMD Corp. 155,020 1,461,839 * WellPoint, Inc. 52,339 6,961,087
29 * Wilson Greatbatch Technologies, Inc. 6,100 146,644 * Zoll Medical Corp. 400 9,496 ----------------- Total Health Care (Cost $46,544,475) 87,646,582 ----------------- Consumer Staples -- (4.1%) Albertson's, Inc. 288,700 6,059,813 Alliance One International, Inc. 67,900 435,239 # American Italian Pasta Co. 13,100 301,431 Archer-Daniels-Midland Co. 657,865 13,058,620 * BJ's Wholesale Club, Inc. 500 15,075 Cal-Maine Foods, Inc. 16 104 Casey's General Stores, Inc. 36,600 660,264 * Central Garden & Pet Co. 7,100 314,885 Chiquita Brands International, Inc. 12,200 354,776 Coca-Cola Enterprises, Inc. 424,200 9,281,496 * Constellation Brands, Inc. 38,600 1,073,466 Corn Products International, Inc. 65,300 1,442,477 * Dean Foods Co. 67,000 2,610,990 * Del Monte Foods Co. 6,400 66,816 Farmer Brothers Co. 5,000 120,000 Flowers Foods, Inc. 39,150 1,278,247 * Foodarama Supermarkets, Inc. 100 3,100 * Genesee Corp. Class B 100 207 * Great Atlantic & Pacific Tea Co., Inc. 11,800 294,174 * Griffin Land & Nurseries, Inc. Class A 400 9,600 * Hain Celestial Group, Inc. 15,100 271,800 * Hines Horticulture, Inc. 1,600 5,680 Imperial Sugar Co. (New) 2,000 30,800 Ingles Market, Inc. Class A 5,000 63,200 * # Interstate Bakeries Corp. 14,600 95,484 J & J Snack Foods Corp. 700 34,552 J. M. Smucker Co. 46,482 2,315,268 Kraft Foods, Inc. 507,200 16,453,568 Lance, Inc. 14,100 249,288 Longs Drug Stores Corp. 29,800 1,222,992 * M&F Worldwide Corp. 6,200 79,298 MGP Ingredients, Inc. 5,800 48,488 Molson Coors Brewing Co. 9,900 578,853 * Monterey Pasta Co. 7,500 22,650 # Nash Finch Co. 8,900 316,662 * Natrol, Inc. 900 2,520 * Omega Protein Corp. 2,800 19,880 * Pathmark Stores, Inc. 9,720 86,994 PepsiAmericas, Inc. 169,900 4,114,978 * Performance Food Group Co. 8,600 232,716 Pilgrim's Pride Corp. 30,700 1,082,175 * PriceSmart, Inc. 1,750 12,250 Ralcorp Holdings, Inc. 900 34,326 * Redhook Ale Brewery, Inc. 5,900 17,995 Reynolds American, Inc. 98,300 8,150,053 Ruddick Corp. 15,400 370,062 * San Filippo (John B.) & Son, Inc. 1,100 23,265 Seaboard Corp. 1,100 1,479,500 * Smart & Final Food, Inc. 7,800 84,630
30 * Smithfield Foods, Inc. 60,100 1,792,783 * Spartan Stores, Inc. 6,700 86,430 Supervalu, Inc. 79,700 2,610,972 Tasty Baking Co. 3,800 30,400 The Topps Co., Inc. 10,300 95,996 Tyson Foods, Inc. Class A 229,230 4,231,586 Universal Corp. 17,900 794,760 Weis Markets, Inc. 13,600 499,664 * Wild Oats Markets, Inc. 1,000 11,240 * # Winn-Dixie Stores, Inc. 37,900 39,795 ----------------- Total Consumer Staples (Cost $67,241,213) 85,074,333 ----------------- Utilities -- (0.3%) * BayCorp Holdings, Ltd. 34 471 * CMS Energy Corp. 25,775 341,003 Dominion Resources, Inc. 1,194 83,950 * Dynegy, Inc. 69,100 321,315 Energen Corp. 11,300 736,534 New Jersey Resources Corp. 10,300 464,530 Questar Corp. 36,800 2,319,872 * Reliant Energy, Inc. 142,800 1,756,440 South Jersey Industries, Inc. 9,000 510,300 * Southern Union Co. 24,657 603,360 ----------------- Total Utilities (Cost $2,958,188) 7,137,775 ----------------- Real Estate Investment Trusts -- (0.0%) New Century Financial Corp. 2,000 101,900 ----------------- Total Real Estate Investment Trusts (Cost $14,972) 101,900 ----------------- Other -- (0.0%) * # ePresence, Inc. Escrow Shares 6,400 832 * Petrocorp, Inc. Escrow Shares 900 54 * Suburban Lodges of America, Inc. Escrow Shares 900 0 ----------------- Total Other (Cost $0) 886 TOTAL COMMON STOCKS (Cost $1,465,400,782) 1,997,074,121 ----------------- RIGHTS/WARRANTS -- (0.0%) Other -- (0.0%) * Chart Industries, Inc. Warrants 09/15/10 3 76 * Chiquita Brands International, Inc. Warrants 03/19/09 1,687 18,405 * Foster Wheelers, Ltd. Warrants 09/24/07 3,500 0 * # RCN Corp. Warrants 12/21/06 8 0 * Timco Aviation Services, Inc. Warrants 02/27/07 229 0 * Virologic, Inc. Contingent Value Rights 15,980 2,797 ----------------- Total Other (Cost $49,691) 21,278 ----------------- TOTAL RIGHTS/WARRANTS (Cost $49,691) 21,278 -----------------
31
FACE AMOUNT VALUE+ ----------------- ----------------- (000) BONDS -- (0.0%) Other -- (0.0%) * Timco Aviation Services, Inc. Jr. Subordinated Note 8.000%, 01/02/07 $ 0 0 ----------------- Total Other (Cost $0) 0 ----------------- TOTAL BONDS (Cost $0) 0 ----------------- TEMPORARY CASH INVESTMENTS -- (3.1%) ^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.94%, 06/01/05 (Collateralized by $77,415,000 U.S. STRIPS 6.125%, 11/15/27, valued at $27,815,984) to be repurchased at $27,272,582 (Cost $27,270,355) 27,270 27,270,355 Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized by $36,556,000 FHLMC Notes 4.00%, 09/22/09, valued at $36,601,695) to be repurchased at $36,062,895 (Cost $36,060,000) 36,060 36,060,000 ----------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $63,330,355) 63,330,355 ----------------- TOTAL INVESTMENTS - (100.0%) (Cost $1,528,780,828) $ 2,060,425,754 =================
- ---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 32 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) ASSETS: Investments at Value (including $26,163 of securities on loan) $ 2,060,426 Receivables: Investment Securities Sold 7,965 Dividends and Interest 2,495 Securities Lending Income 39 Fund Shares Sold 1,273 Prepaid Expenses and Other Assets 11 --------------- Total Assets 2,072,209 --------------- LIABILITIES: Payables: Upon Return of Securities Loaned 27,270 Investment Securities Purchased 24,244 Due to Advisor 327 Accrued Expenses and Other Liabilities 129 --------------- Total Liabilities 51,970 --------------- NET ASSETS $ 2,020,239 =============== Investments at Cost $ 1,528,781 ===============
See accompanying Notes to Financial Statements. 15 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Dividends $ 14,650 Interest 247 Income from Securities Lending 132 ------------ Total Investment Income 15,029 ------------ EXPENSES Investment Advisory Services 1,861 Accounting & Transfer Agent Fees 261 Custodian Fees 88 Legal Fees 4 Audit Fees 8 Shareholders' Reports 15 Trustees' Fees and Expenses 7 Other 8 ------------ Total Expenses 2,252 ------------ NET INVESTMENT INCOME (LOSS) 12,777 ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 17,987 Change in Unrealized Appreciation (Depreciation) of Investment Securities 49,089 ------------ NET GAIN (LOSS) 67,076 ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 79,853 ============
See accompanying Notes to Financial Statements. 16 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------ ------------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 12,777 $ 15,669 Net Realized Gain (Loss) on Investment Securities Sold 17,987 1,597 Change in Unrealized Appreciation (Depreciation) of Investment Securities 49,089 241,813 ------------ ------------- Net Increase (Decrease) in Net Assets Resulting from Operations 79,853 259,079 ------------ ------------- Transactions in Interest: Contributions 240,957 386,040 Withdrawals (3,184) (27,739) ------------ ------------- Net Increase from Transactions in Interest 237,773 358,301 ------------ ------------- Total Increase (Decrease) 317,626 617,380 NET ASSETS Beginning of Period 1,702,613 1,085,233 ------------ ------------- End of Period $ 2,020,239 $ 1,702,613 ============ =============
See accompanying Notes to Financial Statements. 17 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES 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, 2005 2004 2003 2002 2001 2000 - ---------------------------------------------------------------------------------------------------------------------------- (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 N/A N/A N/A N/A N/A N/A - ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A N/A N/A N/A N/A N/A ============================================================================================================================ Total Return 4.45%# 20.49% 22.88% (20.25)% 8.30% 3.07% - ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 2,020,239 $ 1,702,613 $ 1,085,233 $ 674,358 $ 690,795 $ 314,021 Ratio of Expenses to Average Net Assets 0.24%* 0.25% 0.25% 0.25% 0.25% 0.26% Ratio of Net Investment Income to Average Net Assets 1.38%* 1.14% 0.61% 0.61% 1.17% 1.98% Portfolio Turnover Rate 7%# 5% 6% 15% 11% 39%
* Annualized # Non-annualized N/A Not applicable as The Tax-Managed U.S. Marketwide Value Series is organized as a partnership and does not have a unitized value. See accompanying Notes to Financial Statements. 18 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES 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. The Trust consists of twenty-one series, of which The Tax-Managed U.S. Marketwide Value Series (the "Series") is presented in this report. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the 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 requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Series which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day. Securities held by the Series that are listed on NASDAQ are valued at the NASDAQ Official Closing Price ("NOCP"). If there is no such reported sale price or NOCP for the day, the Series values securities at the mean between the quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the mean between the most recent bid and asked prices. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Trustees. 2. 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. At May 31, 2005, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities in the amount of $29,098. 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 sold. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Discount and premium on securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust are allocated using methods approved by the Board of Trustees, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Series. For the six months ended May 31, 2005, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.20 of 1% of average daily net assets. Certain officers of the Trust are also officers, directors and shareholders of the Advisor. 19 D. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2005, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands): Purchases $ 359,133 Sales 123,276
There were no purchases or sales of U.S. Government Securities during the six months ended May 31, 2005. E. FEDERAL INCOME TAX: No provision for federal income taxes is required since the Series is treated as a partnership for federal income tax purposes. Any interest, dividends and gains or losses have been deemed to have been "passed through" to its partners. At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ------------ -------------- -------------- ---------------- $ 1,529,505 $ 583,575 $ (52,655) $ 530,920
F. FINANCIAL INSTRUMENTS: In accordance with the Series investment objective 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 concentration of credit and market risk. The instrument and its significant corresponding risks are described below: REPURCHASE AGREEMENTS: The Series may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system or with the Trust's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on May 31, 2005. G. LINE OF CREDIT: The Trust, together with other Dimensional-advised series, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each series is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each series is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings under the line of credit by the Series during the six months ended May 31, 2005. The Trust, together with other Dimensional-advised series, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each series is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Each series is individually, and not jointly liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement of the 20 line of credit expires on April 2, 2006. There were no borrowings by the Series under the line of credit during the six months ended May 31, 2005. H. SECURITIES LENDING: As of May 31, 2005, the Series had securities on loan to brokers/dealers, for which the Series held cash collateral. The Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% of the market value of the securities on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. The cash collateral received by the Series from securities on loan is invested in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. The Series paid fees for securities lending for the six month period ended May 31, 2005, which have been netted against the Income from Securities Lending on the Statements of Operations. For the six months ended May 31, 2005 the fees were approximately $33,000. I. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 21 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Trust uses in voting proxies relating to securities held in the portfolio is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dfaus.com and reflects the twelve-month period beginning July 1 and ending June 30. 22 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT At the Board meeting held on December 15, 2004 (the "Meeting"), the Board of Trustees of The DFA Investment Trust Company (the "Board") considered the continuation of the investment management agreement ("Advisory Agreement") for the series (the "Fund"). Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Advisory Agreement. The Independent Board Members, met with their independent counsel in advance of the Meeting to discuss the materials provided by the Advisor, the independent reports prepared by Lipper Analytical Services, Inc., and issues related to the continuation of the Advisory Agreement. At the Meeting, the Board considered a number of factors when considering the continuation of the Advisory Agreement for the Fund, including: (i) the nature, extent and quality of services provided by the Advisor to the Fund; (ii) the performance of the Fund and the Advisor; (iii) the fees and expenses borne by the Fund; (iv) the profitability realized by the Advisor from the relationship with the Fund; (v) whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of the advisory fee charged; (vi) comparisons of the services to be rendered and the amounts to be paid under other advisory contracts; and (vii) any benefits to be derived by the Advisor from its relationship with the Fund. When considering the nature and quality of the services provided by the Advisor to the Fund, the Board reviewed: (a) the scope and depth of the Advisor's organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor's investment advisory capabilities. The Board evaluated the Advisor's portfolio management process. The Board also considered the nature and character of non-investment management services provided by the Advisor. After analyzing the caliber of services provided by the Advisor to the Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to the Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund. In considering the performance of the Fund, the Board analyzed the Lipper reports, which compared the performance of the Fund with other funds in its respective peer group and peer universe. At the Board's request, the Advisor specifically addressed the factors that contributed to the comparative performance of the Fund. The Board concluded that the Advisor's explanations provided a sound basis for understanding the performance of the Fund. The Board determined, among other things, that the performance of the Fund was acceptable as compared with relevant performance standards. When considering the fees and expenses borne by the Fund, and considering the reasonableness of the management fee paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Lipper reports. The Board concluded that the advisory fees and total expenses of the Fund over various periods were favorable in relation to its peer funds, and that the advisory fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer group and the industry at large. The Board considered the profitability of the Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to the Fund, including administrative fees paid by the feeder portfolios. The Board considered the profitability to the Advisor of managing the Fund and other "non-1940 Act registered" investment vehicles. Upon closely examining the Advisor's profitability, the Board concluded, among other things, that it was reasonable. The Board also discussed whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of advisory fee charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory fee 23 charged were inapplicable to the Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund. After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Advisory Agreement for the Fund was in the best interests of the Fund and its shareholders. 24 ================================================================================ Dimensional Investment Group Inc. DFA International Value Portfolio II Semi-Annual Report Six Months Ended May 31, 2005 (Unaudited) ================================================================================ DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO II SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS
PAGE ------ DIMENSIONAL INVESTMENT GROUP INC. Disclosure of Fund Expenses 1 Disclosure of Portfolio Holdings 2 Statement of Assets and Liabilities 3 Statement of Operations 4 Statements of Changes in Net Assets 5 Financial Highlights 6 Notes to Financial Statements 7 THE DFA INVESTMENT TRUST COMPANY -- THE DFA INTERNATIONAL VALUE SERIES Disclosure of Fund Expenses 10 Disclosure of Portfolio Holdings 11 Schedule of Investments 12 Statement of Assets and Liabilities 17 Statement of Operations 18 Statements of Changes in Net Assets 19 Financial Highlights 20 Notes to Financial Statements 21 VOTING PROXIES ON FUND PORTFOLIO SECURITIES 26 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 27
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO II DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ------------ ------------ ------------ ------------ Actual Fund Return $ 1,000.00 $ 1,022.70 0.32% $ 1.61 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.40 0.32% $ 1.61
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 1 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO II DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The Dimensional Investment Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Investment Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart, or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirements. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Investment Companies 100.0% ----- 100.0% =====
2 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO II STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investment in The DFA International Value Series of The DFA Investment Trust Company (16,634,209 Shares, Cost $218,688) at Value+ $ 260,492 Receivable for Fund Shares Sold 782 ------------ Total Assets 261,274 ------------ LIABILITIES: Payables: Investment Securities Purchased 782 Due to Advisor 2 Accrued Expenses and Other Liabilities 23 ------------ Total Liabilities 807 ------------ NET ASSETS $ 260,467 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (Authorized 200,000,000 Shares) 17,507,049 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 14.88 ============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 3 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company $ 1,837 ------------ EXPENSES Administrative Services 12 Accounting & Transfer Agent Fees 3 Legal Fees 3 Audit Fees 1 Filing Fees 22 Shareholders' Reports 15 Directors' Fees and Expenses 1 ------------ Total Expenses 57 ------------ NET INVESTMENT INCOME (LOSS) 1,780 ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from The DFA Investment Trust Company 7,419 Net Realized Gain (Loss) on Investment Securities Sold (395) Change in Unrealized Appreciation (Depreciation) of Investment Securities (6,180) ------------ NET GAIN (LOSS) 844 ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 2,624 ============
See accompanying Notes to Financial Statements. 4 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------ ------------ (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 1,780 $ 2,420 Capital Gain Distributions Received from The DFA Investment Trust Company 7,419 -- Net Realized Gain (Loss) on Investment Securities Sold (395) (683) Change in Unrealized Appreciation (Depreciation) of Investment Securities (6,180) 31,796 ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 2,624 33,533 ------------ ------------ Distributions From: Net Investment Income (1,767) (3,547) Net Short-Term Gains (206) (129) Net Long-Term Gains -- (41) ------------ ------------ Total Distributions (1,973) (3,717) ------------ ------------ Capital Share Transactions (1): Shares Issued 79,874 115,384 Shares Issued in Lieu of Cash Distributions 1,973 3,717 Shares Redeemed (11,207) (28,961) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 70,640 90,140 ------------ ------------ Total Increase (Decrease) 71,291 119,956 NET ASSETS Beginning of Period 189,176 69,220 ------------ ------------ End of Period $ 260,467 $ 189,176 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 5,236 8,904 Shares Issued in Lieu of Cash Distributions 132 298 Shares Redeemed (742) (2,317) ------------ ------------ 4,626 6,885 ============ ============
See accompanying Notes to Financial Statements. 5 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO II 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, 2005 2004 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 14.69 $ 11.54 $ 8.69 $ 9.88 $ 12.10 $ 12.65 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.14 0.25 0.18 0.22 0.24 0.23 Net Gains (Losses) on Securities (Realized and Unrealized) 0.19 3.37 2.87 (0.74) (1.43) (0.32) ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations 0.33 3.62 3.05 (0.52) (1.19) (0.09) - -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.14) (0.44) (0.20) (0.24) (0.24) (0.25) Net Realized Gains -- (0.03) -- (0.43) (0.79) (0.21) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.14) (0.47) (0.20) (0.67) (1.03) (0.46) ----------- ----------- ----------- ----------- ----------- ----------- Net Asset Value, End of Period $ 14.88 $ 14.69 $ 11.54 $ 8.69 $ 9.88 $ 12.10 ================================================================================================================================ Total Return 2.27%# 32.11% 35.98% (5.62)% (10.94)% (0.80)% - -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 260,467 $ 189,176 $ 69,220 $ 37,576 $ 36,107 $ 42,435 Ratio of Expenses to Average Net Assets (1) 0.32%* 0.37% 0.40% 0.45% 0.51% 0.53% Ratio of Net Investment Income to Average Net Assets 1.52%* 1.98% 2.41% 2.45% 2.17% 1.87% Portfolio Turnover Rate of Master Fund Series 5%# 15% 14% 18% 6% 9%
* Annualized # Non-annualized (1) Represents the combined ratio for the Portfolio and its respective pro-rata share of its Master Fund Series. See accompanying Notes to Financial Statements. 6 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO II 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 consists of sixteen portfolios, of which the DFA International Value Portfolio II (the "Portfolio") is presented in this report. The Portfolio invests all of its assets in The DFA International Value Series (the "Series"), a corresponding series of The DFA Investment Trust Company. At May 31, 2005, the Portfolio owned 7% of the outstanding shares of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The shares of the Series held by the Portfolio are valued at its respective daily net asset value. 2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $3,575. 3. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Expenses directly attributable to the Portfolio are directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides administrative services to the Portfolio, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. The Advisor provides investment advisory services to the Series. For the six months ended May 31, 2005, the Portfolio's administrative fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.01 of 1%. 7 Certain officers of the Fund are also officers, directors and shareholders of the Advisor. Pursuant to a Fee Expense Waiver and Assumption Agreement for the Portfolio, the Advisor has agreed to waive its administration fee and to assume the Portfolio's direct and indirect expenses (including the expenses the Portfolio bears as a shareholder of the Master Fund) to the extent necessary to limit the expenses of the Portfolio to 0.75% of its average net assets on an annualized basis. At any time that the annualized expenses of the Portfolio are less that 0.75% of the Portfolio's average net assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the Portfolio's annualized expenses to exceed 0.75% of its average net assets. The Portfolio is not obligated to reimburse the Advisor for fees waived or expenses assumed by the Advisor more than thirty-six months prior to the date of such reimbursement. The Fee Expense Waiver and Assumption Agreement will remain in effect for a period of one year from April 1, 2005 to April 1, 2006, and shall continue to remain in effect from year to year thereafter unless terminated by the Fund or the Advisor. At May 31, 2005, there were no fees subject to future reimbursement to the Advisor. D. FEDERAL INCOME TAXES: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM RETURN OF CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL --------------- --------------- --------------- --------------- 2004 $ 3,657 $ 41 $ 19 $ 3,717 2003 856 -- -- 856
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. As of November 30, 2004, there were no distributable earnings in the Portfolio. At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) --------------- --------------- --------------- --------------- $ 230,584 $ 41,804 $ (11,896) $ 29,908
E. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
ACCUMULATED UNREALIZED NET REALIZED APPRECIATION ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET PAID-IN CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS --------------- --------------- -------------- ----------------- ---------- $ 223,302 $ 11 $ (4,650) $ 41,804 $ 260,467
8 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 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings under the discretionary line of credit by the Portfolio during the six months ended May 31, 2005. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused line of credit. The agreement of the line of credit expires on April 2, 2006. There were no borrowings by the Portfolio under the line of credit with the international custodian bank for the six months ended May 31, 2005. G. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 9 THE DFA INVESTMENT TRUST COMPANY THE DFA INTERNATIONAL VALUE SERIES DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ------------ ------------ ------------ ------------ Actual Fund Return $ 1,000.00 $ 1,023.10 0.27% $ 1.36 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 10 THE DFA INVESTMENT TRUST COMPANY THE DFA INTERNATIONAL VALUE SERIES DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment Trust Company, this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Financials 36.4% Consumer Discretionary 17.8 Materials 12.6 Industrials 11.4 Telecommunication Services 6.9 Consumer Staples 4.4 Utilities 3.5 Energy 2.9 Information Technology 2.2 Health Care 1.2 Other 0.4 REITS 0.3 ----- 100.0% =====
11 THE DFA INTERNATIONAL VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- UNITED KINGDOM -- (15.5%) COMMON STOCKS -- (15.5%) Amvescap P.L.C. 314,493 $ 1,844,950 Anglo America P.L.C. 2,159,787 51,459,160 Arriva P.L.C. 231,050 2,234,545 Associated British Foods P.L.C. 1,004,913 14,609,875 Associated British Ports Holdings P.L.C. 378,800 3,358,760 Aviva P.L.C. 2,630,567 29,431,339 AWG P.L.C. 76,018 1,236,854 BAA P.L.C. 1,632,557 18,467,632 BAE Systems P.L.C. 4,006,840 19,626,679 Barratt Developments P.L.C. 338,959 4,070,681 BBA Group P.L.C. 680,050 3,715,025 Bellway P.L.C. 38,000 588,284 Bovis Homes Group P.L.C. 132,000 1,640,865 BPB P.L.C. 458,500 4,271,338 Bradford & Bingley P.L.C. 273,288 1,531,177 Britannic P.L.C. 278,864 2,588,193 * British Airways P.L.C. 1,839,331 9,162,247 British Land Co. P.L.C. 874,751 13,839,395 British Vita P.L.C. 286,388 1,859,262 Brixton P.L.C. 359,333 2,403,207 Cable and Wireless P.L.C. 3,547,491 8,639,378 Carnival P.L.C. 157,273 8,610,132 * Colt Telecom Group P.L.C. 698,726 659,832 * Corus Group P.L.C. 6,312,988 5,208,408 Derwent Valley Holdings P.L.C. 49,351 1,029,762 Dixons Group P.L.C. 2,098,938 5,758,646 * Easyjet P.L.C. 294,025 1,204,320 FKI P.L.C. 856,795 1,503,534 Friends Provident P.L.C. 2,272,618 7,211,098 Great Portland Estates P.L.C. 239,324 1,566,808 Greene King P.L.C. 105,263 2,357,020 Hammerson P.L.C. 468,800 7,732,596 Hanson P.L.C. 963,671 8,887,742 HBOS P.L.C. 14,935 217,236 * Henderson Group P.L.C. 404,000 456,831 Hilton Group P.L.C. 2,710,354 13,989,594 InterContinental Hotels Group P.L.C. 864,975 10,045,164 International Power P.L.C. 2,525,271 8,885,196 ITV P.L.C. 1,567,741 3,259,794 Johnson Matthey P.L.C. 43,250 768,534 Kelda Group P.L.C. 161,510 1,889,016 Kingfisher P.L.C. 2,829,717 13,227,596 Land Securities Group P.L.C. 79,240 2,055,546
1 Liberty International P.L.C. 469,345 8,345,510 London Merchant Securities P.L.C. 358,862 1,495,001 Marks & Spencer Group P.L.C. 1,197,239 7,345,469 Mersey Docks & Harbour Co. P.L.C. 115,042 2,015,452 MFI Furniture Group P.L.C. 66,600 129,425 Millennium and Copthorne Hotels P.L.C. 493,245 3,190,438 Mitchells & Butlers P.L.C. 630,549 3,710,031 * O2 P.L.C. 8,760,348 20,295,896 Pearson P.L.C. 924,664 11,062,196 Peninsular & Oriental Steam Navigation P.L.C. 1,130,420 6,376,107 Pennon Group P.L.C. 58,615 1,074,131 Persimmon P.L.C. 278,509 3,780,846 Pillar Property P.L.C. 131,128 1,990,694 * Premier Oil P.L.C. 119,812 1,280,252 Rio Tinto P.L.C. 83,136 2,467,971 * Rolls Royce Group P.L.C. 2,749,448 13,556,759 * Rolls Royce Group P.L.C. Class B 137,472,400 249,800 Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,028,724 Royal Bank of Scotland Group P.L.C. 219,664 6,445,653 Sabmiller P.L.C. 192,609 2,957,793 Sainsbury (J.) P.L.C. 2,650,025 13,778,639 Scottish & Newcastle P.L.C. 1,005,702 8,689,619 Scottish Power P.L.C. 2,139,658 18,023,688 Severn Trent P.L.C. 210,597 3,875,426 Shire Pharmaceuticals Group P.L.C. 683,427 7,252,939 Singer & Friedlander Group P.L.C. 253,818 1,438,614 Slough Estates P.L.C. 706,900 6,604,174 Somerfield P.L.C. 741,014 2,656,721 Stanley Leisure P.L.C. 190,940 1,891,284 Tate & Lyle P.L.C. 660,070 5,679,426 Taylor Woodrow P.L.C. 998,309 5,746,854 * The Berkeley Group Holdings P.L.C. 228,802 3,438,341 Trinity Mirror P.L.C. 495,640 5,611,004 United Utilities P.L.C. 265,595 3,271,895 Vodafone Group P.L.C. 59,364,901 149,452,303 Whitbread P.L.C. 450,082 7,431,362 Wilson Bowden P.L.C. 105,900 2,193,495 Wimpey (George) P.L.C. 457,583 3,543,491 Wolverhampton & Dudley Breweries P.L.C. 107,366 2,162,199 Woolworths Group P.L.C. 2,125,199 1,351,588 WPP Group P.L.C. 394,800 4,207,903 Xstrata P.L.C. 496,100 8,892,658 ---------------- TOTAL COMMON STOCKS (Cost $542,532,199) 675,095,022 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling 14,769 ---------------- (Cost $14,769) TOTAL -- UNITED KINGDOM (Cost $542,546,968) 675,109,791 ----------------
2 JAPAN -- (13.9%) COMMON STOCKS -- (13.7%) Aichi Bank, Ltd. 8,100 763,449 # Aichi Steel Corp. 120,000 612,133 AIOI Insurance Co., Ltd. 928,735 4,601,504 Aisin Seiki Co., Ltd. 182,500 4,049,894 Akita Bank, Ltd. 115,000 520,024 Alpine Electronics, Inc. 36,800 523,837 Amada Co., Ltd. 376,000 2,553,049 # Anritsu Corp. 67,000 402,573 Aoyama Trading Co., Ltd. 50,400 1,221,105 Asahi Breweries, Ltd. 138,500 1,680,246 Asatsu-Dk, Inc. 32,500 933,957 # Autobacs Seven Co., Ltd. 23,700 740,320 Awa Bank, Ltd. 196,600 1,172,832 Bank of Iwate, Ltd. 15,300 871,226 # Bank of Kyoto, Ltd. 347,400 2,914,717 Bank of Nagoya, Ltd. 185,000 1,086,110 Canon Sales Co., Inc. 124,900 2,212,736 # Chiba Bank, Ltd. 941,000 6,385,328 Chudenko Corp. 41,100 644,314 Chugoku Bank, Ltd. 238,800 2,792,365 Citizen Watch Co., Ltd. 318,000 2,778,042 Coca-Cola West Japan Co., Ltd. 58,400 1,306,361 Comsys Holdings Corp. 105,000 885,061 Cosmo Oil Co., Ltd. 764,000 2,793,389 Dai Nippon Ink & Chemicals, Inc. 459,000 1,355,906 Dai Nippon Pharmaceutical Co., Ltd. 106,000 1,016,224 Dai Nippon Printing Co., Ltd. 937,000 14,782,487 Daibiru Corp. 9,000 66,251 Daicel Chemical Industries, Ltd. 485,000 2,517,757 Daido Steel Co., Ltd. 274,000 1,112,774 # Daio Paper Corp. 51,000 393,988 Daishi Bank, Ltd. 355,000 1,479,538 Daiwa House Industry Co., Ltd. 663,000 7,309,407 Denso Corp. 22,500 510,241 # Ebara Corp. 231,000 830,308 Ezaki Glico Co., Ltd. 174,600 1,393,597 Fuji Electric Co., Ltd. 525,780 1,594,855 Fuji Fire & Marine Insurance Co., Ltd. 297,000 881,192 Fuji Heavy Industries 752,000 3,139,462 Fuji Oil Co., Ltd. 55,200 574,115 Fuji Photo Film Co., Ltd. 770,000 23,978,455 Fujikura, Ltd. 355,000 1,799,156 Fukui Bank, Ltd. 343,000 1,300,575 # Fukuoka Bank, Ltd. 695,000 4,241,307 Fukuyama Transporting Co., Ltd. 266,000 1,045,649 Futaba Corp. 16,000 433,071 Futaba Industrial Co., Ltd. 44,100 837,845 Glory, Ltd. 54,600 922,653 Gunma Bank, Ltd. 444,000 2,640,827 Gunze, Ltd. 223,000 976,976 Hachijuni Bank, Ltd. 589,000 3,887,927 Hankyu Corp. 174,000 640,072
3 Hankyu Department Stores, Inc. 116,000 696,497 Hanshin Electric Railway Co., Ltd. 253,000 943,640 Heiwa Corp. 81,500 1,173,008 Heiwado Co., Ltd. 38,000 579,163 Higo Bank, Ltd. 308,000 2,198,248 Hitachi Cable, Ltd. 236,000 1,017,542 Hitachi Kokusai Electric, Inc. 87,000 760,908 Hitachi Maxell, Ltd. 96,000 1,166,763 Hitachi Metals, Ltd. 201,000 1,281,006 Hitachi Software Engineering Co., Ltd. 33,800 563,727 Hitachi Transport System, Ltd. 76,000 633,009 Hitachi, Ltd. 4,970,000 29,696,012 Hokkoku Bank, Ltd. 239,000 1,041,637 Hokuetsu Paper Mills, Ltd. 162,000 880,974 House Foods Corp. 117,000 1,648,185 Hyakugo Bank, Ltd. 258,000 1,582,335 Hyakujishi Bank, Ltd. 314,000 1,782,165 * Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,164,194 Itoham Foods, Inc. 132,000 601,220 Iyo Bank, Ltd. 237,000 1,889,496 Japan Airport Terminal Co., Ltd. 68,300 637,862 Joyo Bank, Ltd. 892,000 4,534,886 Juroku Bank, Ltd. 349,000 1,868,471 Kadokawa Holdings, Inc. 15,200 540,500 Kagoshima Bank, Ltd. 154,000 1,171,822 Kamigumi Co., Ltd. 357,000 2,660,128 Kandenko Co., Ltd. 129,000 758,687 Kanto Auto Works, Ltd., Yokosuka 12,600 147,981 Katokichi Co., Ltd. 103,500 723,388 Kawasaki Heavy Industries, Ltd. 910,000 1,628,496 Keiyo Bank, Ltd. 212,000 1,012,548 Kikkoman Corp. 259,000 2,345,042 Kinden Corp. 167,000 1,235,604 Kirin Brewery Co., Ltd. 1,152,000 11,268,141 # Kissei Pharmaceutical Co., Ltd. 41,000 782,210 Kobe Steel, Ltd. 2,041,000 3,549,885 Koito Manufacturing Co., Ltd. 101,000 1,085,932 Kokuyo Co., Ltd. 81,200 1,041,108 Komori Corp. 52,000 787,596 Kuraray Co., Ltd. 499,000 4,421,577 Kyocera Corp. 238,800 18,270,139 KYORIN Pharmaceutical Co., Ltd. 52,000 648,607 Maeda Corp. 129,000 711,651 Makita Corp. 209,000 4,069,632 Marubeni Corp. 1,942,000 6,128,947 Marui Co., Ltd. 408,600 5,669,748 Maruichi Steel Tube, Ltd. 117,000 2,495,996 Matsushita Electric Industrial Co., Ltd. 3,561,135 53,046,962 Matsushita Electric Works, Ltd. 403,000 3,331,039 Meiji Seika Kaisha, Ltd. Tokyo 292,000 1,421,273 Millea Holdings, Inc. 2,296 30,391,067 Mitsubishi Gas Chemical Co., Inc. 305,000 1,501,802 Mitsubishi Heavy Industries, Ltd. 4,791,000 12,331,213 Mitsubishi Logistics Corp. 106,000 1,010,933
4 Mitsubishi Materials Corp. 975,000 2,134,057 Mitsubishi Securities Co., Ltd. 226,000 1,883,182 Mitsui Chemicals, Inc. 807,800 4,580,860 Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 1,037,198 Mitsui Marine & Fire Insurance Co., Ltd. 2,138,000 19,431,714 Mitsumi Electric Co., Ltd. 45,800 484,763 # Mori Seiki Co., Ltd. 63,500 656,559 Morinaga Milk Industry Co., Ltd. 160,000 660,253 Musashino Bank, Ltd. 21,300 973,546 Nagase & Co., Ltd. 101,000 986,075 Namco, Ltd. 11,000 148,462 Nanto Bank, Ltd. 317,000 1,627,254 NGK Insulators, Ltd. 216,000 2,248,607 NGK Spark Plug Co., Ltd. 144,000 1,619,451 Nichicon Corp. 72,900 958,028 Nichirei Corp. 180,000 674,476 # Nifco, Inc. 37,000 579,950 Nihon Unisys, Ltd. 69,100 646,881 Nippon Express Co., Ltd. 211,000 959,175 # Nippon Kayaku Co., Ltd. 128,000 690,344 Nippon Meat Packers, Inc., Osaka 248,000 3,063,990 Nippon Mitsubishi Oil Corp. 1,871,050 12,203,013 Nippon Paint Co., Ltd. 184,000 643,029 Nippon Sheet Glass Co., Ltd. 358,000 1,398,783 Nippon Shinpan Co., Ltd. 191,000 930,169 Nippon Shokubai Co., Ltd. 163,000 1,306,161 Nippon Suisan Kaisha, Ltd. 143,000 542,657 Nippon Television Network Corp. 9,400 1,314,856 Nippon Unipac Holding, Tokyo 1,080 4,197,550 Nipponkoa Insurance Co., Ltd. 909,000 6,286,099 * Nipro Corp. 42,000 627,234 # Nishimatsu Construction Co., Ltd. 364,000 1,227,341 Nissay Dowa General Insurance Co., Ltd. 383,000 1,926,866 Nisshin Seifun Group, Inc. 165,000 1,622,652 Nisshin Steel Co., Ltd. 753,000 1,832,813 Nisshinbo Industries, Inc. 305,000 2,340,054 NSK, Ltd. 319,000 1,546,136 Obayashi Corp. 751,000 3,798,076 Ogaki Kyoritsu Bank, Ltd. 227,000 1,342,026 Oita Bank, Ltd. 81,000 524,068 Oji Paper Co., Ltd. 924,000 4,886,947 Okumura Corp. 175,000 942,537 Onward Kashiyama Co., Ltd. 125,000 1,519,788 PanaHome Corp. 106,000 553,566 Pioneer Electronic Corp. 196,200 3,232,942 Promise Co., Ltd. 60,500 3,757,748 Q.P. Corp. 109,600 953,070 Rengo Co., Ltd. 180,000 930,307 * Resona Holdings, Inc. 1,873,000 3,562,488 Rinnai Corp. 37,100 931,643 Ryosan Co., Ltd. 30,500 743,967 San In Godo Bank, Ltd. 144,000 1,374,980 Sanwa Shutter Corp. 101,000 564,277 Sanyo Chemical Industries, Ltd. 54,000 390,521
5 # Sanyo Electric Co., Ltd. 1,981,000 5,373,145 # Sapporo Breweries, Ltd. 251,000 1,251,396 Sapporo Hokuyo Holdings, Inc. 271 1,956,724 Seino Transportation Co., Ltd. 193,000 1,687,227 Sekisui Chemical Co., Ltd. 557,000 3,857,932 Sekisui House, Ltd. 942,000 9,223,018 Seventy-seven (77) Bank, Ltd. 334,000 2,100,276 SFCG Co., Ltd. 8,010 2,035,396 Shiga Bank, Ltd. 272,000 1,682,500 Shikoku Bank, Ltd. 153,000 819,740 Shimachu Co., Ltd. 49,900 1,240,974 Shinko Securities Co., Ltd. 540,000 1,631,886 Shizuoka Bank, Ltd. 744,000 6,412,659 Sohgo Security Services Co.,Ltd. 73,300 933,443 Sumitomo Bakelite Co., Ltd. 105,000 653,160 Sumitomo Corp. 471,000 3,761,719 Sumitomo Electric Industries, Ltd. 899,000 9,429,436 Sumitomo Forestry Co., Ltd. 139,000 1,208,517 Sumitomo Metal Mining Co., Ltd. 215,000 1,375,456 Sumitomo Osaka Cement Co., Ltd. 348,000 835,765 Sumitomo Trust & Banking Co., Ltd. 21,000 124,207 Sumitomo Warehouse Co., Ltd. 114,000 583,082 Suzuken Co., Ltd. 56,700 1,505,343 Taiheiyo Cement Corp. 1,209,800 3,133,016 Taiyo Yuden Co., Ltd. 126,000 1,399,978 Takara Standard Co., Ltd. 118,000 754,442 Takashimaya Co., Ltd. 124,000 1,038,260 Teijin, Ltd. 893,000 3,920,705 Teikoku Oil Co., Ltd. 346,000 2,336,074 The Nisshin Oillio Group, Ltd. 48,000 271,062 Toda Corp. 203,000 829,553 Toho Bank, Ltd. 87,000 356,324 Tokai Tokyo Securities Co., Ltd. 155,000 456,439 Tokuyama Corp. 248,000 1,829,540 Tokyo Broadcasting System, Inc. 117,500 1,975,348 Tokyo Dome Corp. 110,000 598,434 Tokyo Style Co., Ltd. 133,000 1,353,008 Tokyo Tatemono Co., Ltd. 143,000 987,906 Toppan Forms Co., Ltd. 33,200 364,492 Toppan Printing Co., Ltd. 720,000 7,318,236 Toshiba TEC Corp. 181,000 799,920 Tostem Inax Holding Corp. 324,500 5,520,102 Toyo Ink Manufacturing Co., Ltd. 174,000 676,293 Toyo Seikan Kaisha, Ltd. 287,600 4,985,498 Toyo Suisan Kaisha, Ltd. 64,000 1,003,435 Toyoda Machine Works, Ltd. 54,000 521,549 Toyota Auto Body Co., Ltd. 86,000 1,683,836 TV Asahi Corp. 565 1,157,225 UNY Co., Ltd. 158,000 1,713,715 # Wacoal Corp. 149,000 1,981,030 Yamaguchi Bank, Ltd. 151,000 1,708,035 Yamaha Corp. 250,100 3,652,658 Yamanashi Chuo Bank, Ltd. 140,000 840,378 Yamatake Corp. 47,700 787,021
6 Yamato Kogyo Co., Ltd. 32,000 366,676 Yamazaki Baking Co., Ltd. 155,000 1,331,732 Yasuda Fire & Marine Insurance Co., Ltd. 431,000 4,354,284 Yodogawa Steel Works, Ltd. 123,000 649,356 Yokohama Rubber Co., Ltd. 410,000 1,684,596 York-Benimaru Co., Ltd. 29,300 814,490 ---------------- TOTAL COMMON STOCKS (Cost $581,985,790) 601,474,625 ---------------- INVESTMENT IN CURRENCY -- (0.2%) * Japanese Yen 8,010,462 ---------------- (Cost $8,054,614) TOTAL -- JAPAN (Cost $590,040,404) 609,485,087 ---------------- FRANCE -- (10.2%) COMMON STOCKS -- (10.2%) Air France 192,225 3,059,396 Air Liquide SA 9,820 1,714,730 Arcelor SA 167,800 3,336,596 # Assurances Generales de France (AGF) 177,559 14,242,010 # AXA 2,459,139 60,024,211 # BNP Paribas SA 1,368,012 91,964,838 # Bongrain SA 7,145 440,239 # * Business Objects SA 94,856 2,723,788 * Cap Gemini SA 167,370 5,339,463 # * CNP Assurances 33,992 2,278,353 # Compagnie de Saint-Gobain 455,792 26,216,746 # Compagnie Francaise d'Etudes et de Construction Technip SA 105,512 4,660,453 # Credit Agricole SA 27,709 718,511 # Eiffage SA 10,431 832,447 Esso SA 686 115,573 # Euler-Hermes SA 10,710 809,734 Faurecia SA 30,445 2,283,397 # Fimalac SA 46,887 2,147,169 * Gecina SA 29,500 3,577,499 # Generale des Establissements Michelin SA Series B 212,585 13,428,150 Havas SA 300,744 1,777,230 # Imerys SA 44,000 3,170,823 # LaFarge SA 253,511 22,940,260 LaFarge SA Prime Fidelity 85,542 7,800,086 # Lagardere S.C.A. SA 10,900 776,091 # Peugeot SA 238,144 14,252,610 # Pinault Printemps Redoute SA 100,151 9,912,856 Remy Cointreau SA 56,022 2,364,088 # Renault SA 317,738 27,183,519 # Schneider SA 318,189 23,394,591 SEB SA Prime Fidelity 9,900 1,017,849 # Societe BIC SA 52,288 2,807,476 # Societe des Ciments de Francais 35,796 3,271,505 # Societe Generale Paris 293,528 28,842,183
7 Sodexho Alliance SA 122,494 3,932,540 # Suez (ex Suez Lyonnaise des Eaux) 666,220 17,918,894 # Thomson Multimedia 345,508 8,772,529 # Unibail SA 58,749 7,466,708 # Valeo SA 103,212 4,319,434 Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 4,504 1,042,930 # Vivendi Universal SA 403,364 12,284,113 ---------------- TOTAL COMMON STOCKS (Cost $337,331,390) 445,161,618 ---------------- RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 16,500 7,513 * Rallye SA Series B Warrants 11/30/05 18,020 1,330 ---------------- TOTAL RIGHTS/WARRANTS (Cost $28,587) 8,843 ---------------- TOTAL -- FRANCE (Cost $337,359,977) 445,170,461 ---------------- GERMANY -- (6.1%) COMMON STOCKS -- (6.1%) * Aachener und Muenchener Beteiligungs AG 33,828 2,733,015 Allianz AG 11,053 1,301,390 BASF AG 154,032 10,222,522 # Bayer AG 498,853 16,751,199 # Bayerische Motorenwerke AG 519,011 22,440,762 * Bayerische Vereinsbank AG 845,488 20,776,122 BHW Holding AG 10,667 183,041 Bilfinger & Berger Bau AG 23,702 1,125,170 # Commerzbank AG 594,131 12,903,783 # DaimlerChrysler AG 1,368,494 55,172,318 # Deutsche Bank AG 770,191 59,920,101 E.ON AG 12,593 1,093,248 Fraport AG 68,708 2,836,900 Fresenius Medical Care AG 18,966 1,489,708 * Heidelberger Druckmaschinen AG 46,167 1,425,361 Heidelberger Zement AG 78,542 5,023,273 # Hochtief AG 71,840 2,441,166 Hypo Real Estate Holding AG 84,277 3,318,984 * IVG Immobilien AG 30,276 550,018 * Lanxess 49,885 1,058,301 # * Linde AG 77,043 5,228,378
8 Merck KGAA 67,288 5,255,818 * MG Technologies AG 150,773 1,709,520 # Preussag AG 181,223 4,492,857 Salzgitter AG 13,041 305,122 SCA Hygiene Products AG 3,550 1,266,675 Suedzucker AG 26,428 498,662 ThyssenKrupp AG 450,803 8,276,198 Vattenfall Europe AG 90,913 3,557,582 # Volkswagen AG 295,657 13,011,886 ---------------- TOTAL -- GERMANY (Cost $248,181,818) 266,369,080 ---------------- SWITZERLAND -- (5.9%) COMMON STOCKS -- (5.9%) Baloise-Holding 214,760 11,213,948 Bank Sarasin & Cie Series B, Basel 180 302,919 Banque Cantonale Vaudoise 12,608 2,784,576 Berner Kantonalbank 15,175 2,237,805 Ciba Spezialitaetenchemie Holding AG 81,000 4,815,990 Cie Financiere Richemont AG Series A 1,251,000 38,086,850 * Clariant AG 64,982 910,858 # Credit Swisse Group 1,452,179 58,093,081 * Fischer (Georg) AG, Schaffhausen 1,280 379,447 # Givaudan SA 5,792 3,447,490 Holcim, Ltd. 199,770 12,143,764 Jelmoli Holding AG 500 679,112 Luzerner Kantonalbank AG 12,294 2,362,894 Pargesa Holding SA, Geneve 1,935 6,973,437 * PSP Swiss Property AG 109,600 4,835,314 Rieters Holdings AG 7,860 2,130,195 Sig Holding AG 30,888 6,567,412 * Sika Finanz AG, Baar 3,828 2,404,569 St. Galler Kantonalbank 10,146 2,583,336 * Swiss Life AG 132,137 17,447,146 # Swiss Reinsurance Co., Zurich 330,715 20,472,030 * Syngenta AG 165,100 17,067,625 # Unaxis Holding AG 45,400 6,370,296 * Valiant Holding AG 39,295 3,461,651 * Valora Holding AG 12,170 2,670,439 * Zurich Financial SVCS AG 152,206 25,283,580 ---------------- TOTAL -- SWITZERLAND (Cost $188,429,435) 255,725,764 ---------------- AUSTRALIA -- (4.5%) COMMON STOCKS -- (4.4%) Amcor, Ltd. 881,869 4,510,853 AMP, Ltd. 1,026,864 5,103,408 Ansell, Ltd. 303,463 2,103,777
9 APN News & Media, Ltd. 509,371 1,958,875 # Australand Property Group 674,862 718,280 AWB, Ltd. 364,594 1,223,471 AXA Asia Pacific Holdings, Ltd. 2,837,724 9,943,499 Bluescope Steel, Ltd. 1,252,100 7,606,018 Boral, Ltd. 944,335 4,224,733 Brickworks, Ltd. 37,510 285,742 Caltex Australia, Ltd. 238,359 2,710,833 Commonwealth Bank of Australia 1,376,094 38,441,344 CSR, Ltd. 1,514,337 2,826,140 Downer Group, Ltd. 225,933 900,086 Futuris Corp., Ltd. 531,719 677,624 Insurance Australiz Group, Ltd. 763,270 3,361,898 Lend Lease Corp., Ltd. 568,460 5,236,997 Lion Nathan, Ltd. 871,345 4,827,362 Mayne Group, Ltd. 1,315,561 4,588,824 Mirvac, Ltd. 1,229,901 3,098,714 National Australia Bank, Ltd. 1,823,878 43,291,233 Onesteel, Ltd. 505,842 957,969 Orica, Ltd. 51,604 612,186 Origin Energy, Ltd. 817,347 4,402,584 Paperlinx, Ltd. 727,704 1,272,060 Publishing and Broadcasting, Ltd. 219,621 2,522,066 Quantas Airways, Ltd. 3,489,827 8,465,231 Rinker Group, Ltd. 982,162 9,119,299 Santos, Ltd. 972,348 7,385,686 Seven Network, Ltd. 211,508 1,137,210 Stockland Trust Group 22,867 95,265 * Stockland Trust Group Issue 05 772 3,184 WMC Resources, Ltd. 1,821,249 10,609,212 ---------------- TOTAL COMMON STOCKS (Cost $133,957,352) 194,221,663 ---------------- INVESTMENT IN CURRENCY -- (0.1%) * Australian Dollar 3,698,009 ---------------- (Cost $3,701,213) TOTAL -- AUSTRALIA (Cost $137,658,565) 197,919,672 ---------------- NETHERLANDS -- (4.4%) COMMON STOCKS -- (4.4%) ABN AMRO Holding NV 35,897 833,655 Aegon NV 2,897,384 37,096,508 DSM NV 134,117 8,977,717 # Hunter Douglas NV 94,242 4,873,152 IHC Caland NV 16,740 1,073,392 ING Groep NV 2,065,009 57,137,284 * Koninklijke Ahold NV 1,815,643 13,705,566 Koninklijke KPN NV 2,458,914 19,554,154 Koninklijke Nedlloyd NV 21,621 1,483,685 Koninklijke Philips Electronics NV 1,412,706 36,135,774
10 NV Holdingsmij de Telegraaf 6,800 146,078 VNU NV 387,846 10,550,466 ---------------- TOTAL COMMON STOCKS (Cost $157,028,179) 191,567,431 ---------------- RIGHTS/WARRANTS -- (0.0%) * SBM Offshore Coupons 16,740 0 ---------------- (Cost $0) TOTAL -- NETHERLANDS (Cost $157,028,179) 191,567,431 ---------------- HONG KONG -- (2.9%) COMMON STOCKS -- (2.9%) Cheung Kong Holdings, Ltd. 2,727,000 24,802,772 China Overseas Land & Investment, Ltd. 1,864,000 348,558 China Travel International Investment, Ltd. 680,000 187,219 China Unicom, Ltd. 5,118,000 4,103,851 # Citic Ka Wah Bank, Ltd. 1,272,000 468,472 Citic Pacific, Ltd. 934,000 2,598,145 Great Eagle Holdings, Ltd. 308,987 703,437 Hang Lung Development Co., Ltd. 2,518,000 4,294,704 Henderson Land Development Co., Ltd. 1,122,000 5,103,391 Hong Kong and Shanghai Hotels, Ltd. 892,417 932,191 Hopewell Holdings, Ltd. 1,455,000 3,593,405 Hutchison Whampoa, Ltd. 3,751,000 32,550,877 Hysan Development Co., Ltd. 2,157,039 4,339,438 # Kerry Properties, Ltd. 2,312,291 5,059,302 New World Development Co., Ltd. 3,131,239 3,266,789 Shanghai Industrial Holdings, Ltd. 1,094,000 2,120,039 # Shangri-La Asia, Ltd. 3,000,733 4,530,388 # Sino Land Co., Ltd. 8,212,433 8,409,841 Tsim Sha Tsui Properties, Ltd. 472,000 815,730 Union Bank of Hong Kong, Ltd. 364,000 450,473 Wharf Holdings, Ltd. 3,438,214 11,212,895 # Wheelock and Co., Ltd. 3,940,000 5,674,640 Wheelock Properties, Ltd. 1,485,000 761,763 ---------------- TOTAL -- HONG KONG (Cost $112,259,789) 126,328,320 ---------------- SWEDEN -- (2.7%) COMMON STOCKS -- (2.7%) Carbo AB 2,900 70,670 Castellum AB 4,100 158,082 Electrolux AB Series B 324,100 7,084,855 Gambro AB Series A 555,400 7,366,291 Gambro AB Series B 216,300 2,881,955 Holmen AB Series A 6,300 178,842 # Holmen AB Series B 155,700 4,187,532
11 # NCC AB Series B 59,700 875,994 Nordic Baltic Holdings AB 2,603,100 23,777,113 Skandinaviska Enskilda Banken Series A 368,800 6,344,263 Skandinaviska Enskilda Banken Series C 9,800 161,411 # * SKF AB Redeemable Shares Series A 22,650 75,795 * SKF AB Redeemable Shares Series B 29,700 99,387 SKF AB Series A 90,600 926,347 SKF AB Series B 118,800 1,213,623 SSAB Swedish Steel Series A 180,800 4,395,242 SSAB Swedish Steel Series B 60,500 1,420,951 # Svenska Cellulosa AB Series A 19,000 652,990 Svenska Cellulosa AB Series B 221,100 7,527,170 Telia AB 2,582,000 12,778,300 Trelleborg AB Series B 160,600 2,495,014 Volvo AB Series A 243,200 9,607,395 Volvo AB Series B 443,400 18,127,730 Whilborg Fastigheter AB Class B 173,980 3,510,524 # * Wihlborgs Fastigheter AB 34,796 818,350 ---------------- TOTAL COMMON STOCKS (Cost $88,187,543) 116,735,826 ---------------- RIGHTS/WARRANTS -- (0.0%) * SSAB Svenskt AB Redemption Rights 05/23/05 180,800 87,473 * SSAB Svenskt AB Series B Redemption Rights 05/23/05 60,500 34,962 * TeliaSonera AB Redeemable Rights 06/09/05 2,317,000 221,083 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 343,518 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona 14,372 ---------------- (Cost $14,635) TOTAL -- SWEDEN (Cost $88,202,178) 117,093,716 ---------------- SPAIN -- (2.6%) COMMON STOCKS -- (2.6%) Acerinox SA 261,360 3,771,894 Arcelor SA 30,000 594,540 Autopistas Concesionaria Espanola SA 310,251 6,919,589 Banco de Andalucia 900 79,322 Banco de Sabadell SA 154,021 4,039,655 # Banco Pastor SA 59,400 2,217,359 Banco Santander Central Hispanoamerica SA 84,304 963,043 # Cementos Portland SA 21,016 1,443,017 Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 2,135,749 # Ebro Puleva SA 120,322 2,164,453 # Endesa SA, Madrid 1,136,646 24,738,040 Gas Natural SA, Buenos Aires 121,385 3,402,534 # Iberdrola SA 535,000 13,646,506 # Iberia Lineas Aereas de Espana SA 617,500 1,951,947
12 # Inmobiliaria Urbis SA 96,328 1,634,652 Repsol SA 1,289,224 32,239,985 Sociedad General de Aguas de Barcelona SA 119,484 2,406,473 * Sociedad General de Aguas de Barcelona SA 1,194 23,994 # Sol Melia SA 157,217 1,650,123 Union Fenosa SA 230,000 6,921,699 Vallehermoso SA 46,125 929,543 ---------------- TOTAL -- SPAIN (Cost $70,367,226) 113,874,117 ---------------- ITALY -- (2.3%) COMMON STOCKS -- (2.3%) * Alitalia Linee Aeree Italiane SpA Series A 6,690,000 2,126,779 # Banca Antoniana Popolare Veneta SpA 83,000 2,649,800 # Banca Monte Dei Paschi di Siena SpA 2,279,872 8,187,429 # * Banca Nazionale del Lavoro SpA 2,230,687 7,519,362 # Banca Popolare di Lodi Scarl 437,995 4,271,876 Banca Popolare di Milano 730,208 7,398,062 # Benetton Group SpA 181,249 1,644,732 # Buzzi Unicem SpA 67,793 975,483 # Caltagirone Editore SpA 184,888 1,651,000 Capitalia SpA 2,992,113 15,632,746 # CIR SpA (Cie Industriale Riunite), Torino 500,000 1,381,906 # Compagnia Assicuratrice Unipol SpA 745,685 2,953,366 # * Edison SpA 1,734,262 3,929,021 Erg SpA 197,993 3,067,753 # * Fiat SpA 1,054,970 7,108,155 # Italcementi SpA 444,060 6,857,544 # Italmobiliare SpA, Milano 33,664 2,091,219 Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 122,539 Milano Assicurazioni SpA 182,000 1,034,660 # Pirelli & Co. SpA 1,486,658 1,640,719 # SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 4,368,323 # San Paolo-IMI SpA 833,105 11,571,110 Societe Cattolica di Assicurazoni Scarl SpA 8,800 384,956 ---------------- TOTAL COMMON STOCKS (Cost $85,190,508) 98,568,540 ---------------- RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 2007 51,693 12,086 ---------------- (Cost $0) TOTAL -- ITALY (Cost $85,190,508) 98,580,626 ---------------- IRELAND -- (1.8%) COMMON STOCKS -- (1.8%) Allied Irish Banks P.L.C. 688,656 14,288,890 Bank of Ireland P.L.C. 1,181,012 17,929,477
13 CRH P.L.C. 1,243,314 31,389,925 * Elan Corp. P.L.C. 587,038 4,481,845 Irish Permanent P.L.C. 650,175 10,813,430 ---------------- TOTAL -- IRELAND (Cost $73,640,064) 78,903,567 ---------------- FINLAND -- (1.2%) COMMON STOCKS -- (1.2%) Fortum Oyj 383,200 5,804,712 Huhtamaki Van Leer Oyj 2,300 34,923 Kemira GrowHow Oyj 21,542 166,892 Kemira Oyj 101,377 1,349,484 Kesko Oyj 157,000 3,763,045 Metso Oyj 219,166 4,387,953 M-Real Oyj Series B 253,400 1,367,837 Okobank Class A 65,000 1,036,945 Outokumpu Oyj Series A 351,300 4,845,269 Rautaruukki Oyj Series K 75,900 1,069,234 Stora Enso Oyj Series R 922,500 12,120,767 Upm-Kymmene Oyj 865,900 16,741,637 Wartsila Corp. Oyj Series B 59,400 1,787,015 ---------------- TOTAL -- FINLAND (Cost $47,739,726) 54,475,713 ---------------- BELGIUM -- (1.2%) COMMON STOCKS -- (1.2%) Ackermans & Van Haaren SA 4,187 166,139 Banque Nationale de Belgique 1,049 4,308,998 Bekaert SA 2,787 206,610 Cofinimmo SA 1,108 175,964 # * Cumerio 70,740 974,956 * Cumerio VVPR 2,009 74 # Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 231,485 13,660,326 # Dexia SA 191,251 4,149,578 D'Ieteren SA 431 85,582 # Groupe Bruxelles Lambert 55,500 4,720,650 * ING Bank Belgium NV 128 0 Interbrew SA 196,392 6,490,050 KBC Bancassurance Holding SA 127,286 10,318,758 # Nationale a Portefeuille 4,029 853,844 # Suez (ex Suez Lyonnaise des Eaux) 95,400 2,568,186 * Umicore-Strip VVPR 2,009 270 Union Miniere SA 70,740 5,556,572 ---------------- TOTAL -- BELGIUM (Cost $39,649,089) 54,236,557 ----------------
14 DENMARK -- (1.2%) COMMON STOCKS -- (1.2%) Carlsberg A.S. Series B 35,725 1,748,981 # Codan A.S. 57,000 2,788,695 Danisco A.S. 90,330 6,219,533 Danske Bank A.S. 481,453 13,815,709 * Jyske Bank A.S. 89,350 3,413,511 Nordea AB 475,918 4,348,109 Rockwool, Ltd. 16,200 1,124,376 Sydbank A.S. 71,200 1,477,059 Tele Danmark A.S. 380,150 16,760,739 ---------------- TOTAL -- DENMARK (Cost $36,729,428) 51,696,712 ---------------- NORWAY -- (1.0%) COMMON STOCKS -- (1.0%) Den Norske Bank ASA Series A 905,394 8,757,199 * Fred Olsen Energy ASA 34,000 682,271 # Norsk Hydro ASA 287,800 23,325,408 Norske Skogindustrier ASA Series A 247,500 3,801,116 Orkla ASA Series A 96,900 3,302,860 Prosafe ASA 7,300 219,358 Storebrand ASA 415,300 3,455,309 ---------------- TOTAL -- NORWAY (Cost $36,542,042) 43,543,521 ---------------- SINGAPORE -- (0.7%) COMMON STOCKS -- (0.7%) # Creative Technology Co., Ltd. 39,550 314,458 DBS Group Holdings, Ltd. 813,000 6,769,561 Fraser & Neave, Ltd. 756,290 7,112,115 Keppel Land, Ltd. 258,000 352,261 Neptune Orient Lines, Ltd. 189,000 378,024 Overseas Chinese Banking Corp., Ltd. 94,000 782,999 SembCorp Industries, Ltd. 690,900 938,841 Singapore Airlines, Ltd. 1,258,000 8,653,781 Singapore Land, Ltd. 813,000 2,529,545 United Overseas Bank, Ltd. 66,000 565,603 # United Overseas Land, Ltd. 1,734,000 2,282,735 ---------------- TOTAL -- SINGAPORE (Cost $26,577,243) 30,679,923 ----------------
15 PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) Banco Comercial Portugues SA 2,332,042 6,034,412 Banco Espirito Santo e Comercial de Lisboa 192,268 3,018,327 BPI SGPS SA 635,057 2,402,573 Cimpor Cimentos de Portugal SA 385,415 2,067,538 Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,487,422 ---------------- TOTAL -- PORTUGAL (Cost $14,634,454) 16,010,272 ---------------- GREECE -- (0.3%) COMMON STOCKS -- (0.3%) * Agricultural Bank of Greece S.A. 123,600 895,249 Alpha Credit Bank 42,048 1,155,740 Bank of Greece 8,520 1,075,583 Bank of Piraeus S.A. 4,600 82,240 * Commercial Bank of Greece 44,760 1,371,166 EFG Eurobank Ergasias S.A. 60,097 1,851,458 Hellenic Petroleum S.A. 159,140 1,530,147 Hellenic Telecommunication Organization Co. S.A. 276,079 4,918,577 National Bank of Greece 20,176 680,936 ---------------- TOTAL -- GREECE (Cost $9,708,569) 13,561,096 ---------------- AUSTRIA -- (0.3%) COMMON STOCKS -- (0.3%) Bank Austria Creditanstalt AG 70,493 6,932,327 Bohler Uddeholm AG 6,402 826,246 Voestalpine AG 62,211 4,194,277 Wienerberger AG 10,244 453,991 ---------------- TOTAL COMMON STOCKS (Cost $8,010,878) 12,406,841 ---------------- RIGHTS/WARRANTS -- (0.0%) * Boehler-Uddeholm AG Rights 06/02/05 6,402 0 ---------------- (Cost $0) TOTAL -- AUSTRIA (Cost $8,010,878) 12,406,841 ---------------- EMU -- (0.2%) INVESTMENT IN CURRENCY -- (0.2%) * Euro Currency 8,495,382 ---------------- (Cost $8,683,335)
16 NEW ZEALAND -- (0.1%) COMMON STOCKS -- (0.1%) Auckland International Airport, Ltd. 399,312 575,334 Carter Holt Harvey, Ltd. 1,955,577 2,456,271 Fletcher Building, Ltd. 693,880 3,045,029 ---------------- TOTAL -- NEW ZEALAND (Cost $5,397,217) 6,076,634 ---------------- MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Rekapacific Berhad 691,000 0 ---------------- (cost $1,085,853)
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (20.6%) ^ Repurchase Agreement, Deutsche Bank Securities, Merrill Lynch & Mizuho Securities USA 2.96%, 3.07%, and 2.98%, respectively, 06/01/05 (Collateralized by $1,247,813,560 U.S. TIPS 1.875%, 07/15/13 and 3.375%, 01/15/07; U.S. STRIPS, rates ranging from 0% to 10.75%, maturities ranging from 08/15/05 to 02/15/31; GNMA's, rates ranging from 3.75% to 5.75%, maturities ranging from 01/20/34 to 05/20/35; AID-Israel, rates ranging from 0% to 5.50%, maturities ranging from 11/01/13 to 09/18/23; & U.S. Treasury Notes, rates ranging from 1.125% to 4.75%, maturities ranging from 06/30/05 to 02/15/15, valued at $915,552,116) to be repurchased at $897,667,509 (Cost $897,592,866) $ 897,593 897,592,866 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $3,763,255,811) $ 4,364,903,149 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 17 THE DFA INVESTMENT TRUST COMPANY THE DFA INTERNATIONAL VALUE SERIES STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investments at Value (including $845,639 of securities on loan) $ 4,364,903 Receivables: Investment Securities Sold 122 Dividends, Interest, and Tax Reclaims 11,301 Fund Shares Sold 6,763 Securities Lending Income 1,018 Prepaid Expenses and Other Assets 17 -------------- Total Assets 4,384,124 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned 897,593 Investment Securities Purchased 9,084 Fund Shares Redeemed 323 Due to Advisor 575 Loan Payable 241 Accrued Expenses and Other Liabilities 247 -------------- Total Liabilities 908,063 -------------- NET ASSETS $ 3,476,061 ============== SHARES OUTSTANDING, $0.01 PAR VALUE (Unlimited Number of Shares Authorized) 221,948,580 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.66 ============== Investments at Cost $ 3,763,256 ==============
See accompanying Notes to Financial Statements. 17 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $6,624) $ 59,004 Interest 243 Income from Securities Lending 2,820 -------------- Total Investment Income 62,067 -------------- EXPENSES Investment Advisory Services 3,260 Accounting & Transfer Agent Fees 655 Custodian Fees 381 Legal Fees 8 Audit Fees 12 Shareholders' Reports 14 Trustees' Fees and Expenses 10 Other 42 -------------- Total Expenses 4,382 -------------- NET INVESTMENT INCOME (LOSS) 57,685 -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 62,333 Net Realized Gain (Loss) on Foreign Currency Transactions (82) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (67,392) Translation of Foreign Currency Denominated Amounts (654) -------------- NET GAIN (LOSS) (5,795) -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 51,890 ==============
See accompanying Notes to Financial Statements. 18 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------ ------------ (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 57,685 $ 49,525 Net Realized Gain (Loss) on Investment Securities Sold 62,333 115,062 Net Realized Gain (Loss) on Foreign Currency Transactions (82) (332) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (67,392) 436,284 Translation of Foreign Currency Denominated Amounts (654) 162 ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 51,890 600,701 ------------ ------------ Distributions From: Net Investment Income (26,491) (44,310) Net Short-Term Gains (2,493) -- Net Long-Term Gains (104,987) -- ------------ ------------ Total Distributions (133,971) (44,310) ------------ ------------ Capital Share Transactions (1): Shares Issued 664,859 728,312 Shares Issued in Lieu of Cash Distributions 131,569 42,852 Shares Redeemed (42,329) (128,290) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 754,099 642,874 ------------ ------------ Total Increase (Decrease) 672,018 1,199,265 NET ASSETS Beginning of Period 2,804,043 1,604,778 ------------ ------------ End of Period $ 3,476,061 $ 2,804,043 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 41,322 51,724 Shares Issued in Lieu of Cash Distributions 8,398 3,072 Shares Redeemed (2,638) (9,358) ------------ ------------ 47,082 45,438 ============ ============
See accompanying Notes to Financial Statements. 19 THE DFA INVESTMENT TRUST COMPANY THE DFA INTERNATIONAL VALUE SERIES 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, 2005 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------ (UNAUDITED) Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 ------------- ------------- ------------- ------------- ------------- ------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.27 0.33 0.27 0.24 0.27 0.27 Net Gains (Losses) on Securities (Realized and Unrealized) 0.10 3.61 3.06 (0.78) (1.49) (0.31) ------------- ------------- ------------- ------------- ------------- ------------- Total from Investment Operations 0.37 3.94 3.33 (0.54) (1.22) (0.04) - ------------------------------------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.15) (0.30) (0.25) (0.25) (0.27) (0.26) Net Realized Gains (0.60) -- (0.01) (0.03) (0.43) (0.81) ------------- ------------- ------------- ------------- ------------- ------------- Total Distributions (0.75) (0.30) (0.26) (0.28) (0.70) (1.07) - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 15.66 $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 ============================================================================================================================== Total Return 2.31%# 32.15% 36.24% (5.53)% (10.75)% (0.51)% - ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 3,476,061 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481 Ratio of Expenses to Average Net Assets 0.27%* 0.28% 0.30% 0.30% 0.29% 0.29% Ratio of Net Investment Income to Average Net Assets 3.55%* 2.35% 2.61% 2.36% 2.32% 2.13% Portfolio Turnover Rate 5%# 15% 14% 18% 6% 9%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 20 THE DFA INVESTMENT TRUST COMPANY THE DFA INTERNATIONAL VALUE SERIES 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. The Trust consists of twenty-one series, of which The DFA International Value Series (the "Series") is presented in this report. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the 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 requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operation during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Series which are listed on a securities exchange are valued at the last quoted sale price. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the mean between the quoted bid and asked prices. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Trustees. The Series 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 Series is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the Series prices its shares at the close of the NYSE, the Series 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 Series' 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 Trust 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 Trust utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of such prices will have a material impact on the net asset value of a Series. When a Series uses fair value pricing, the values assigned to the Series' 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 Series whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates. Exchange gains or losses are realized upon ultimate receipt or disbursement. 21 The Series does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest dividends and foreign withholding taxes recorded on the books of the Series and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may defer payment of a percentage of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Trustees' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities in the amount of $50,660. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Discount and premium on securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust are allocated using methods approved by the Board of Trustees, generally based on average net assets. The Series may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers exiting 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 Series accrue such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Series. For the six months ended May 31, 2005, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.20 of 1% of average daily net assets. Certain officers of the Trust are also officers, directors and shareholders of the Advisor. D. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2005, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands): Purchases $ 843,507 Sales 165,589
There were no purchases or sales of U.S. Government Securities during the six months ended May 31, 2005. E. FEDERAL INCOME TAXES: The Series has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. 22 The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL ------------- ------------- --------- 2004 $ 44,310 -- $ 44,310 2003 30,082 $ 1,177 31,259
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED EARNINGS NET INVESTMENT LONG-TERM (ACCUMULATED INCOME CAPITAL GAINS LOSSES) -------------- ------------- ------------- $ 22,727 $ 104,819 $ 127,546
Certain of the Series' investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. During the year ended November 30, 2004, the Series had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies of $10,083,171 and $12,003,955, respectively, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income. At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ----------- ------------ ------------ -------------- $ 3,763,356 $ 692,851 $ (91,304) $ 601,547
F. 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. Those 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 31, 2005. 2. 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 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. 23 G. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
UNREALIZED ACCUMULATED ACCUMULATED APPRECIATION NET REALIZED NET REALIZED (DEPRECIATION) OF UNREALIZED ACCUMULATED GAIN (LOSS) OF FOREIGN INVESTMENT NET FOREIGN NET INVESTMENT INVESTMENT EXCHANGE GAIN SECURITIES AND EXCHANGE GAIN TOTAL NET PAID-IN CAPITAL INCOME (LOSS) SECURITIES (LOSS) FOREIGN CURRENCY (LOSS) ASSETS --------------- -------------- -------------- ------------- ----------------- ------------- ------------ $ 2,771,495 $ 49,058 $ 54,235 $ (82) $ 601,647 $ (292) $ 3,476,061
H. LINE OF CREDIT: The Trust, together with other Dimensional-advised series, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each series is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each series is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. Borrowings by the Series under the line of credit for the six months ended May 31, 2005 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 DFA International Value Series 3.76% $ 241,250 1 $ 25 $ 241,250
At May 31, 2005, The DFA International Value Series had an outstanding borrowing under the line of credit of $241,250 plus accrued interest. The Trust, together with other Dimensional-advised series, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each series is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each series is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings by the Series under the line of credit during the six months ended May 31, 2005. I. SECURITIES LENDING: As of May 31, 2005, the Series had securities on loan to broker/dealers, for which the Series held cash collateral. The Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% of the market value of the securities on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. The cash collateral received by the Series from securities on loan is invested in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. 24 The Series paid fees for securities lending for the period ended May 31, 2005, which have been netted against the Income from Securities Lending on the Statements of Operations. For the six months ended May 31, 2005 the fees were approximately $1,219,000. J. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 25 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Trust uses in voting proxies relating to securities held in the portfolio is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dfaus.com and reflects the twelve-month period beginning July 1 and ending June 30. 26 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT At the Board meeting held on December 15, 2004 (the "Meeting"), the Board of Trustees of The DFA Investment Trust Company (the "Board") considered the continuation of the investment management agreement ("Advisory Agreement") for the series (the "Fund"). Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Advisory Agreement. The Independent Board Members, met with their independent counsel in advance of the Meeting to discuss the materials provided by the Advisor, the independent reports prepared by Lipper Analytical Services, Inc., and issues related to the continuation of the Advisory Agreement. At the Meeting, the Board considered a number of factors when considering the continuation of the Advisory Agreement for the Fund, including: (i) the nature, extent and quality of services provided by the Advisor to the Fund; (ii) the performance of the Fund and the Advisor; (iii) the fees and expenses borne by the Fund; (iv) the profitability realized by the Advisor from the relationship with the Fund; (v) whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of the advisory fee charged; (vi) comparisons of the services to be rendered and the amounts to be paid under other advisory contracts; and (vii) any benefits to be derived by the Advisor from its relationship with the Fund. When considering the nature and quality of the services provided by the Advisor to the Fund, the Board reviewed: (a) the scope and depth of the Advisor's organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor's investment advisory capabilities. The Board evaluated the Advisor's portfolio management process. The Board also considered the nature and character of non-investment management services provided by the Advisor. After analyzing the caliber of services provided by the Advisor to the Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to the Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund. In considering the performance of the Fund, the Board analyzed the Lipper reports, which compared the performance of the Fund with other funds in its respective peer group and peer universe, and noted that the performance of the Fund compared favorably with its peer group. The Board determined, among other things, that the performance of the Fund was acceptable as compared with relevant performance standards. When considering the fees and expenses borne by the Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Lipper reports. The Board concluded that the advisory fees and total expenses of the Fund over various periods were favorable in relation to its peer funds, and that the advisory fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large. The Board considered the profitability of the Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to the Fund, including administrative fees paid by the feeder portfolios. The Board considered the profitability to the Advisor of managing the Fund and other "non-1940 Act registered" investment vehicles. Upon closely examining the Advisor's profitability, the Board concluded, among other things, that it was reasonable. The Board also discussed whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of advisory fee charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory fee charged were inapplicable to the Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund. After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Advisory Agreement for the Fund was in the best interests of the Fund and its shareholders. 27 ================================================================================ Dimensional Investment Group Inc. DFA International Value Portfolio III Semi-Annual Report Six Months Ended May 31, 2005 (Unaudited) ================================================================================ DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO III SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS
PAGE ------ DIMENSIONAL INVESTMENT GROUP INC. Disclosure of Fund Expenses 1 Disclosure of Portfolio Holdings 2 Statement of Assets and Liabilities 3 Statement of Operations 4 Statements of Changes in Net Assets 5 Financial Highlights 6 Notes to Financial Statements 7 THE DFA INVESTMENT TRUST COMPANY -- THE DFA INTERNATIONAL VALUE SERIES Disclosure of Fund Expenses 10 Disclosure of Portfolio Holdings 11 Schedule of Investments 12 Statement of Assets and Liabilities 17 Statement of Operations 18 Statements of Changes in Net Assets 19 Financial Highlights 20 Notes to Financial Statements 21 VOTING PROXIES ON FUND PORTFOLIO SECURITIES 26 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 27
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO III DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 5/31/05 RATIO PERIOD* ----------- ----------- ----------- ----------- Actual Fund Return $ 1,000.00 $ 1,023.20 0.31% $ 1.56 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.45 0.31% $ 1.56
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 1 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO III DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The Dimensional Investment Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Investment Companies 100.0% ----- 100.0% =====
2 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO III STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investment in The DFA International Value Series of The DFA Investment Trust Company (37,335,151 Shares, Cost $411,624) at Value+ $ 584,667 Receivable for Fund Shares Sold 658 ------------ Total Assets 585,325 ------------ LIABILITIES: Payables: Investment Securities Purchased 13 Fund Shares Redeemed 645 Due to Advisor 5 Accrued Expenses and Other Liabilities 40 ------------ Total Liabilities 703 ------------ NET ASSETS $ 584,622 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (Authorized 200,000,000 Shares) 38,389,021 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.23 ============
- ---------- + See Note B to Financial Statements. See accompanying Notes to Financial Statements. 3 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company $ 4,940 ------------ EXPENSES Administrative Services 29 Accounting & Transfer Agent Fees 7 Legal Fees 10 Audit Fees 2 Filing Fees 26 Shareholders' Reports 24 Directors' Fees and Expenses 2 Other 2 ------------ Total Expenses 102 ------------ NET INVESTMENT INCOME (LOSS) 4,838 ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from The DFA Investment Trust Company 20,175 Net Realized Gain (Loss) on Investment Securities Sold (74) Change in Unrealized Appreciation (Depreciation) of Investment Securities (13,487) ------------ NET GAIN (LOSS) 6,614 ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 11,452 ============
See accompanying Notes to Financial Statements. 4 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------ ------------ (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 4,838 $ 9,066 Capital Gain Distributions Received from The DFA Investment Trust Company 20,175 -- Net Realized Gain (Loss) on Investment Securities Sold (74) (49) Change in Unrealized Appreciation (Depreciation) of Investment Securities (13,487) 114,006 ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 11,452 123,023 ------------ ------------ Distributions From: Net Investment Income (4,804) (15,563) Net Short-Term Gains (514) (6) Net Long-Term Gains -- (243) ------------ ------------ Total Distributions (5,318) (15,812) ------------ ------------ Capital Share Transactions (1): Shares Issued 77,559 106,694 Shares Issued in Lieu of Cash Distributions 5,318 15,812 Shares Redeemed (37,036) (53,579) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 45,841 68,927 ------------ ------------ Total Increase (Decrease) 51,975 176,138 NET ASSETS Beginning of Period 532,647 356,509 ------------ ------------ End of Period $ 584,622 $ 532,647 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 4,990 8,120 Shares Issued in Lieu of Cash Distributions 347 1,253 Shares Redeemed (2,382) (4,065) ------------ ------------ 2,955 5,308 ============ ============
See accompanying Notes to Financial Statements. 5 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO III 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, 2005 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 15.03 $ 11.83 $ 8.92 $ 10.16 $ 13.15 $ 13.79 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.15 0.27 0.22 0.23 0.27 0.31 Net Gains (Losses) on Securities (Realized and Unrealized) 0.20 3.43 2.91 (0.76) (1.47) (0.36) ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations 0.35 3.70 3.13 (0.53) (1.20) (0.05) - ------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.15) (0.49) (0.20) (0.25) (0.33) (0.32) Net Realized Gains -- (0.01) (0.02) (0.46) (1.46) (0.27) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.15) (0.50) (0.22) (0.71) (1.79) (0.59) - ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.23 $ 15.03 $ 11.83 $ 8.92 $ 10.16 $ 13.15 =============================================================================================================================== Total Return 2.32%# 32.11% 36.09% (5.52)% (10.80)% (0.53)% - ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 584,622 $ 532,647 $ 356,509 $ 222,770 $ 184,306 $ 203,184 Ratio of Expenses to Average Net Assets (1) 0.31%* 0.33% 0.35% 0.35% 0.34% 0.33% Ratio of Net Investment Income to Average Net Assets 1.69%* 2.07% 2.46% 2.52% 2.34% 2.04% Portfolio Turnover Rate of Master Fund Series 5%# 15% 14% 18% 6% 9%
* Annualized # Non-annualized (1) Represents the combined ratio for the Portfolio and its respective pro-rata share of its Master Fund Series. See accompanying Notes to Financial Statements. 6 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO III 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 consists of sixteen portfolios, of which the DFA International Value Portfolio III (the "Portfolio") is presented in this report. The Portfolio invests all of its assets in The DFA International Value Series (the "Series"), a corresponding series of The DFA Investment Trust Company. At May 31, 2005, the Portfolio owned 17% of the outstanding shares of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The shares of the Series held by the Portfolio are valued at its respective daily net asset value. 2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $9,093. 3. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Expenses directly attributable to the Portfolio are directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides administrative services to the Portfolio, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. The Advisor provides investment advisory services to the Series. For the six months ended May 31, 2005, the Portfolio's administrative fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.01 of 1% of average daily net assets. Certain officers of the Fund are also officers, directors and shareholders of the Advisor. 7 D. FEDERAL INCOME TAXES: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM RETURN OF CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL --------------- ------------- --------- -------- 2004 $ 15,544 $ 220 $ 48 $ 15,812 2003 4,886 407 -- 5,293
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, there were no distributable earnings in the Portfolio. At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ---------- ------------ ------------ -------------- $ 421,464 $ 173,043 $ (9,839) $ 163,204
E. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
ACCUMULATED ACCUMULATED UNREALIZED NET NET REALIZED APPRECIATION INVESTMENT GAIN (LOSS) (DEPRECIATION) PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET CAPITAL (LOSS) SECURITIES SECURITIES ASSETS --------- ----------- ------------- -------------- --------- $ 401,729 $ 28 $ 9,822 $ 173,043 $ 584,622
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 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings under the discretionary line of credit by the Portfolio during the six months ended May 31, 2005. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings by the Portfolio under the line of credit during the six months ended May 31, 2005. 8 G. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 9 THE DFA INVESTMENT TRUST COMPANY THE DFA INTERNATIONAL VALUE SERIES DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ----------- ----------- ----------- ----------- Actual Fund Return $ 1,000.00 $ 1,023.10 0.27% $ 1.36 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 10 THE DFA INVESTMENT TRUST COMPANY THE DFA INTERNATIONAL VALUE SERIES DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment Trust Company, this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Financials 36.4% Consumer Discretionary 17.8 Materials 12.6 Industrials 11.4 Telecommunication Services 6.9 Consumer Staples 4.4 Utilities 3.5 Energy 2.9 Information Technology 2.2 Health Care 1.2 Other 0.4 REITS 0.3 ----- 100.0% =====
11 THE DFA INTERNATIONAL VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- UNITED KINGDOM -- (15.5%) COMMON STOCKS -- (15.5%) Amvescap P.L.C. 314,493 $ 1,844,950 Anglo America P.L.C. 2,159,787 51,459,160 Arriva P.L.C. 231,050 2,234,545 Associated British Foods P.L.C. 1,004,913 14,609,875 Associated British Ports Holdings P.L.C. 378,800 3,358,760 Aviva P.L.C. 2,630,567 29,431,339 AWG P.L.C. 76,018 1,236,854 BAA P.L.C. 1,632,557 18,467,632 BAE Systems P.L.C. 4,006,840 19,626,679 Barratt Developments P.L.C. 338,959 4,070,681 BBA Group P.L.C. 680,050 3,715,025 Bellway P.L.C. 38,000 588,284 Bovis Homes Group P.L.C. 132,000 1,640,865 BPB P.L.C. 458,500 4,271,338 Bradford & Bingley P.L.C. 273,288 1,531,177 Britannic P.L.C. 278,864 2,588,193 * British Airways P.L.C. 1,839,331 9,162,247 British Land Co. P.L.C. 874,751 13,839,395 British Vita P.L.C. 286,388 1,859,262 Brixton P.L.C. 359,333 2,403,207 Cable and Wireless P.L.C. 3,547,491 8,639,378 Carnival P.L.C. 157,273 8,610,132 * Colt Telecom Group P.L.C. 698,726 659,832 * Corus Group P.L.C. 6,312,988 5,208,408 Derwent Valley Holdings P.L.C. 49,351 1,029,762 Dixons Group P.L.C. 2,098,938 5,758,646 * Easyjet P.L.C. 294,025 1,204,320 FKI P.L.C. 856,795 1,503,534 Friends Provident P.L.C. 2,272,618 7,211,098 Great Portland Estates P.L.C. 239,324 1,566,808 Greene King P.L.C. 105,263 2,357,020 Hammerson P.L.C. 468,800 7,732,596 Hanson P.L.C. 963,671 8,887,742 HBOS P.L.C. 14,935 217,236 * Henderson Group P.L.C. 404,000 456,831 Hilton Group P.L.C. 2,710,354 13,989,594 InterContinental Hotels Group P.L.C. 864,975 10,045,164 International Power P.L.C. 2,525,271 8,885,196 ITV P.L.C. 1,567,741 3,259,794 Johnson Matthey P.L.C. 43,250 768,534 Kelda Group P.L.C. 161,510 1,889,016 Kingfisher P.L.C. 2,829,717 13,227,596 Land Securities Group P.L.C. 79,240 2,055,546
1 Liberty International P.L.C. 469,345 8,345,510 London Merchant Securities P.L.C. 358,862 1,495,001 Marks & Spencer Group P.L.C. 1,197,239 7,345,469 Mersey Docks & Harbour Co. P.L.C. 115,042 2,015,452 MFI Furniture Group P.L.C. 66,600 129,425 Millennium and Copthorne Hotels P.L.C. 493,245 3,190,438 Mitchells & Butlers P.L.C. 630,549 3,710,031 * O2 P.L.C. 8,760,348 20,295,896 Pearson P.L.C. 924,664 11,062,196 Peninsular & Oriental Steam Navigation P.L.C. 1,130,420 6,376,107 Pennon Group P.L.C. 58,615 1,074,131 Persimmon P.L.C. 278,509 3,780,846 Pillar Property P.L.C. 131,128 1,990,694 * Premier Oil P.L.C. 119,812 1,280,252 Rio Tinto P.L.C. 83,136 2,467,971 * Rolls Royce Group P.L.C. 2,749,448 13,556,759 * Rolls Royce Group P.L.C. Class B 137,472,400 249,800 Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,028,724 Royal Bank of Scotland Group P.L.C. 219,664 6,445,653 Sabmiller P.L.C. 192,609 2,957,793 Sainsbury (J.) P.L.C. 2,650,025 13,778,639 Scottish & Newcastle P.L.C. 1,005,702 8,689,619 Scottish Power P.L.C. 2,139,658 18,023,688 Severn Trent P.L.C. 210,597 3,875,426 Shire Pharmaceuticals Group P.L.C. 683,427 7,252,939 Singer & Friedlander Group P.L.C. 253,818 1,438,614 Slough Estates P.L.C. 706,900 6,604,174 Somerfield P.L.C. 741,014 2,656,721 Stanley Leisure P.L.C. 190,940 1,891,284 Tate & Lyle P.L.C. 660,070 5,679,426 Taylor Woodrow P.L.C. 998,309 5,746,854 * The Berkeley Group Holdings P.L.C. 228,802 3,438,341 Trinity Mirror P.L.C. 495,640 5,611,004 United Utilities P.L.C. 265,595 3,271,895 Vodafone Group P.L.C. 59,364,901 149,452,303 Whitbread P.L.C. 450,082 7,431,362 Wilson Bowden P.L.C. 105,900 2,193,495 Wimpey (George) P.L.C. 457,583 3,543,491 Wolverhampton & Dudley Breweries P.L.C. 107,366 2,162,199 Woolworths Group P.L.C. 2,125,199 1,351,588 WPP Group P.L.C. 394,800 4,207,903 Xstrata P.L.C. 496,100 8,892,658 ---------------- TOTAL COMMON STOCKS (Cost $542,532,199) 675,095,022 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling 14,769 ---------------- (Cost $14,769) TOTAL -- UNITED KINGDOM (Cost $542,546,968) 675,109,791 ----------------
2 JAPAN -- (13.9%) COMMON STOCKS -- (13.7%) Aichi Bank, Ltd. 8,100 763,449 # Aichi Steel Corp. 120,000 612,133 AIOI Insurance Co., Ltd. 928,735 4,601,504 Aisin Seiki Co., Ltd. 182,500 4,049,894 Akita Bank, Ltd. 115,000 520,024 Alpine Electronics, Inc. 36,800 523,837 Amada Co., Ltd. 376,000 2,553,049 # Anritsu Corp. 67,000 402,573 Aoyama Trading Co., Ltd. 50,400 1,221,105 Asahi Breweries, Ltd. 138,500 1,680,246 Asatsu-Dk, Inc. 32,500 933,957 # Autobacs Seven Co., Ltd. 23,700 740,320 Awa Bank, Ltd. 196,600 1,172,832 Bank of Iwate, Ltd. 15,300 871,226 # Bank of Kyoto, Ltd. 347,400 2,914,717 Bank of Nagoya, Ltd. 185,000 1,086,110 Canon Sales Co., Inc. 124,900 2,212,736 # Chiba Bank, Ltd. 941,000 6,385,328 Chudenko Corp. 41,100 644,314 Chugoku Bank, Ltd. 238,800 2,792,365 Citizen Watch Co., Ltd. 318,000 2,778,042 Coca-Cola West Japan Co., Ltd. 58,400 1,306,361 Comsys Holdings Corp. 105,000 885,061 Cosmo Oil Co., Ltd. 764,000 2,793,389 Dai Nippon Ink & Chemicals, Inc. 459,000 1,355,906 Dai Nippon Pharmaceutical Co., Ltd. 106,000 1,016,224 Dai Nippon Printing Co., Ltd. 937,000 14,782,487 Daibiru Corp. 9,000 66,251 Daicel Chemical Industries, Ltd. 485,000 2,517,757 Daido Steel Co., Ltd. 274,000 1,112,774 # Daio Paper Corp. 51,000 393,988 Daishi Bank, Ltd. 355,000 1,479,538 Daiwa House Industry Co., Ltd. 663,000 7,309,407 Denso Corp. 22,500 510,241 # Ebara Corp. 231,000 830,308 Ezaki Glico Co., Ltd. 174,600 1,393,597 Fuji Electric Co., Ltd. 525,780 1,594,855 Fuji Fire & Marine Insurance Co., Ltd. 297,000 881,192 Fuji Heavy Industries 752,000 3,139,462 Fuji Oil Co., Ltd. 55,200 574,115 Fuji Photo Film Co., Ltd. 770,000 23,978,455 Fujikura, Ltd. 355,000 1,799,156 Fukui Bank, Ltd. 343,000 1,300,575 # Fukuoka Bank, Ltd. 695,000 4,241,307 Fukuyama Transporting Co., Ltd. 266,000 1,045,649 Futaba Corp. 16,000 433,071 Futaba Industrial Co., Ltd. 44,100 837,845 Glory, Ltd. 54,600 922,653 Gunma Bank, Ltd. 444,000 2,640,827 Gunze, Ltd. 223,000 976,976 Hachijuni Bank, Ltd. 589,000 3,887,927 Hankyu Corp. 174,000 640,072
3 Hankyu Department Stores, Inc. 116,000 696,497 Hanshin Electric Railway Co., Ltd. 253,000 943,640 Heiwa Corp. 81,500 1,173,008 Heiwado Co., Ltd. 38,000 579,163 Higo Bank, Ltd. 308,000 2,198,248 Hitachi Cable, Ltd. 236,000 1,017,542 Hitachi Kokusai Electric, Inc. 87,000 760,908 Hitachi Maxell, Ltd. 96,000 1,166,763 Hitachi Metals, Ltd. 201,000 1,281,006 Hitachi Software Engineering Co., Ltd. 33,800 563,727 Hitachi Transport System, Ltd. 76,000 633,009 Hitachi, Ltd. 4,970,000 29,696,012 Hokkoku Bank, Ltd. 239,000 1,041,637 Hokuetsu Paper Mills, Ltd. 162,000 880,974 House Foods Corp. 117,000 1,648,185 Hyakugo Bank, Ltd. 258,000 1,582,335 Hyakujishi Bank, Ltd. 314,000 1,782,165 * Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,164,194 Itoham Foods, Inc. 132,000 601,220 Iyo Bank, Ltd. 237,000 1,889,496 Japan Airport Terminal Co., Ltd. 68,300 637,862 Joyo Bank, Ltd. 892,000 4,534,886 Juroku Bank, Ltd. 349,000 1,868,471 Kadokawa Holdings, Inc. 15,200 540,500 Kagoshima Bank, Ltd. 154,000 1,171,822 Kamigumi Co., Ltd. 357,000 2,660,128 Kandenko Co., Ltd. 129,000 758,687 Kanto Auto Works, Ltd., Yokosuka 12,600 147,981 Katokichi Co., Ltd. 103,500 723,388 Kawasaki Heavy Industries, Ltd. 910,000 1,628,496 Keiyo Bank, Ltd. 212,000 1,012,548 Kikkoman Corp. 259,000 2,345,042 Kinden Corp. 167,000 1,235,604 Kirin Brewery Co., Ltd. 1,152,000 11,268,141 # Kissei Pharmaceutical Co., Ltd. 41,000 782,210 Kobe Steel, Ltd. 2,041,000 3,549,885 Koito Manufacturing Co., Ltd. 101,000 1,085,932 Kokuyo Co., Ltd. 81,200 1,041,108 Komori Corp. 52,000 787,596 Kuraray Co., Ltd. 499,000 4,421,577 Kyocera Corp. 238,800 18,270,139 KYORIN Pharmaceutical Co., Ltd. 52,000 648,607 Maeda Corp. 129,000 711,651 Makita Corp. 209,000 4,069,632 Marubeni Corp. 1,942,000 6,128,947 Marui Co., Ltd. 408,600 5,669,748 Maruichi Steel Tube, Ltd. 117,000 2,495,996 Matsushita Electric Industrial Co., Ltd. 3,561,135 53,046,962 Matsushita Electric Works, Ltd. 403,000 3,331,039 Meiji Seika Kaisha, Ltd. Tokyo 292,000 1,421,273 Millea Holdings, Inc. 2,296 30,391,067 Mitsubishi Gas Chemical Co., Inc. 305,000 1,501,802 Mitsubishi Heavy Industries, Ltd. 4,791,000 12,331,213 Mitsubishi Logistics Corp. 106,000 1,010,933
4 Mitsubishi Materials Corp. 975,000 2,134,057 Mitsubishi Securities Co., Ltd. 226,000 1,883,182 Mitsui Chemicals, Inc. 807,800 4,580,860 Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 1,037,198 Mitsui Marine & Fire Insurance Co., Ltd. 2,138,000 19,431,714 Mitsumi Electric Co., Ltd. 45,800 484,763 # Mori Seiki Co., Ltd. 63,500 656,559 Morinaga Milk Industry Co., Ltd. 160,000 660,253 Musashino Bank, Ltd. 21,300 973,546 Nagase & Co., Ltd. 101,000 986,075 Namco, Ltd. 11,000 148,462 Nanto Bank, Ltd. 317,000 1,627,254 NGK Insulators, Ltd. 216,000 2,248,607 NGK Spark Plug Co., Ltd. 144,000 1,619,451 Nichicon Corp. 72,900 958,028 Nichirei Corp. 180,000 674,476 # Nifco, Inc. 37,000 579,950 Nihon Unisys, Ltd. 69,100 646,881 Nippon Express Co., Ltd. 211,000 959,175 # Nippon Kayaku Co., Ltd. 128,000 690,344 Nippon Meat Packers, Inc., Osaka 248,000 3,063,990 Nippon Mitsubishi Oil Corp. 1,871,050 12,203,013 Nippon Paint Co., Ltd. 184,000 643,029 Nippon Sheet Glass Co., Ltd. 358,000 1,398,783 Nippon Shinpan Co., Ltd. 191,000 930,169 Nippon Shokubai Co., Ltd. 163,000 1,306,161 Nippon Suisan Kaisha, Ltd. 143,000 542,657 Nippon Television Network Corp. 9,400 1,314,856 Nippon Unipac Holding, Tokyo 1,080 4,197,550 Nipponkoa Insurance Co., Ltd. 909,000 6,286,099 * Nipro Corp. 42,000 627,234 # Nishimatsu Construction Co., Ltd. 364,000 1,227,341 Nissay Dowa General Insurance Co., Ltd. 383,000 1,926,866 Nisshin Seifun Group, Inc. 165,000 1,622,652 Nisshin Steel Co., Ltd. 753,000 1,832,813 Nisshinbo Industries, Inc. 305,000 2,340,054 NSK, Ltd. 319,000 1,546,136 Obayashi Corp. 751,000 3,798,076 Ogaki Kyoritsu Bank, Ltd. 227,000 1,342,026 Oita Bank, Ltd. 81,000 524,068 Oji Paper Co., Ltd. 924,000 4,886,947 Okumura Corp. 175,000 942,537 Onward Kashiyama Co., Ltd. 125,000 1,519,788 PanaHome Corp. 106,000 553,566 Pioneer Electronic Corp. 196,200 3,232,942 Promise Co., Ltd. 60,500 3,757,748 Q.P. Corp. 109,600 953,070 Rengo Co., Ltd. 180,000 930,307 * Resona Holdings, Inc. 1,873,000 3,562,488 Rinnai Corp. 37,100 931,643 Ryosan Co., Ltd. 30,500 743,967 San In Godo Bank, Ltd. 144,000 1,374,980 Sanwa Shutter Corp. 101,000 564,277 Sanyo Chemical Industries, Ltd. 54,000 390,521
5 # Sanyo Electric Co., Ltd. 1,981,000 5,373,145 # Sapporo Breweries, Ltd. 251,000 1,251,396 Sapporo Hokuyo Holdings, Inc. 271 1,956,724 Seino Transportation Co., Ltd. 193,000 1,687,227 Sekisui Chemical Co., Ltd. 557,000 3,857,932 Sekisui House, Ltd. 942,000 9,223,018 Seventy-seven (77) Bank, Ltd. 334,000 2,100,276 SFCG Co., Ltd. 8,010 2,035,396 Shiga Bank, Ltd. 272,000 1,682,500 Shikoku Bank, Ltd. 153,000 819,740 Shimachu Co., Ltd. 49,900 1,240,974 Shinko Securities Co., Ltd. 540,000 1,631,886 Shizuoka Bank, Ltd. 744,000 6,412,659 Sohgo Security Services Co.,Ltd. 73,300 933,443 Sumitomo Bakelite Co., Ltd. 105,000 653,160 Sumitomo Corp. 471,000 3,761,719 Sumitomo Electric Industries, Ltd. 899,000 9,429,436 Sumitomo Forestry Co., Ltd. 139,000 1,208,517 Sumitomo Metal Mining Co., Ltd. 215,000 1,375,456 Sumitomo Osaka Cement Co., Ltd. 348,000 835,765 Sumitomo Trust & Banking Co., Ltd. 21,000 124,207 Sumitomo Warehouse Co., Ltd. 114,000 583,082 Suzuken Co., Ltd. 56,700 1,505,343 Taiheiyo Cement Corp. 1,209,800 3,133,016 Taiyo Yuden Co., Ltd. 126,000 1,399,978 Takara Standard Co., Ltd. 118,000 754,442 Takashimaya Co., Ltd. 124,000 1,038,260 Teijin, Ltd. 893,000 3,920,705 Teikoku Oil Co., Ltd. 346,000 2,336,074 The Nisshin Oillio Group, Ltd. 48,000 271,062 Toda Corp. 203,000 829,553 Toho Bank, Ltd. 87,000 356,324 Tokai Tokyo Securities Co., Ltd. 155,000 456,439 Tokuyama Corp. 248,000 1,829,540 Tokyo Broadcasting System, Inc. 117,500 1,975,348 Tokyo Dome Corp. 110,000 598,434 Tokyo Style Co., Ltd. 133,000 1,353,008 Tokyo Tatemono Co., Ltd. 143,000 987,906 Toppan Forms Co., Ltd. 33,200 364,492 Toppan Printing Co., Ltd. 720,000 7,318,236 Toshiba TEC Corp. 181,000 799,920 Tostem Inax Holding Corp. 324,500 5,520,102 Toyo Ink Manufacturing Co., Ltd. 174,000 676,293 Toyo Seikan Kaisha, Ltd. 287,600 4,985,498 Toyo Suisan Kaisha, Ltd. 64,000 1,003,435 Toyoda Machine Works, Ltd. 54,000 521,549 Toyota Auto Body Co., Ltd. 86,000 1,683,836 TV Asahi Corp. 565 1,157,225 UNY Co., Ltd. 158,000 1,713,715 # Wacoal Corp. 149,000 1,981,030 Yamaguchi Bank, Ltd. 151,000 1,708,035 Yamaha Corp. 250,100 3,652,658 Yamanashi Chuo Bank, Ltd. 140,000 840,378 Yamatake Corp. 47,700 787,021
6 Yamato Kogyo Co., Ltd. 32,000 366,676 Yamazaki Baking Co., Ltd. 155,000 1,331,732 Yasuda Fire & Marine Insurance Co., Ltd. 431,000 4,354,284 Yodogawa Steel Works, Ltd. 123,000 649,356 Yokohama Rubber Co., Ltd. 410,000 1,684,596 York-Benimaru Co., Ltd. 29,300 814,490 ---------------- TOTAL COMMON STOCKS (Cost $581,985,790) 601,474,625 ---------------- INVESTMENT IN CURRENCY -- (0.2%) * Japanese Yen 8,010,462 ---------------- (Cost $8,054,614) TOTAL -- JAPAN (Cost $590,040,404) 609,485,087 ---------------- FRANCE -- (10.2%) COMMON STOCKS -- (10.2%) Air France 192,225 3,059,396 Air Liquide SA 9,820 1,714,730 Arcelor SA 167,800 3,336,596 # Assurances Generales de France (AGF) 177,559 14,242,010 # AXA 2,459,139 60,024,211 # BNP Paribas SA 1,368,012 91,964,838 # Bongrain SA 7,145 440,239 # * Business Objects SA 94,856 2,723,788 * Cap Gemini SA 167,370 5,339,463 # * CNP Assurances 33,992 2,278,353 # Compagnie de Saint-Gobain 455,792 26,216,746 # Compagnie Francaise d'Etudes et de Construction Technip SA 105,512 4,660,453 # Credit Agricole SA 27,709 718,511 # Eiffage SA 10,431 832,447 Esso SA 686 115,573 # Euler-Hermes SA 10,710 809,734 Faurecia SA 30,445 2,283,397 # Fimalac SA 46,887 2,147,169 * Gecina SA 29,500 3,577,499 # Generale des Establissements Michelin SA Series B 212,585 13,428,150 Havas SA 300,744 1,777,230 # Imerys SA 44,000 3,170,823 # LaFarge SA 253,511 22,940,260 LaFarge SA Prime Fidelity 85,542 7,800,086 # Lagardere S.C.A. SA 10,900 776,091 # Peugeot SA 238,144 14,252,610 # Pinault Printemps Redoute SA 100,151 9,912,856 Remy Cointreau SA 56,022 2,364,088 # Renault SA 317,738 27,183,519 # Schneider SA 318,189 23,394,591 SEB SA Prime Fidelity 9,900 1,017,849 # Societe BIC SA 52,288 2,807,476 # Societe des Ciments de Francais 35,796 3,271,505 # Societe Generale Paris 293,528 28,842,183
7 Sodexho Alliance SA 122,494 3,932,540 # Suez (ex Suez Lyonnaise des Eaux) 666,220 17,918,894 # Thomson Multimedia 345,508 8,772,529 # Unibail SA 58,749 7,466,708 # Valeo SA 103,212 4,319,434 Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 4,504 1,042,930 # Vivendi Universal SA 403,364 12,284,113 ---------------- TOTAL COMMON STOCKS (Cost $337,331,390) 445,161,618 ---------------- RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 16,500 7,513 * Rallye SA Series B Warrants 11/30/05 18,020 1,330 ---------------- TOTAL RIGHTS/WARRANTS (Cost $28,587) 8,843 ---------------- TOTAL -- FRANCE (Cost $337,359,977) 445,170,461 ---------------- GERMANY -- (6.1%) COMMON STOCKS -- (6.1%) * Aachener und Muenchener Beteiligungs AG 33,828 2,733,015 Allianz AG 11,053 1,301,390 BASF AG 154,032 10,222,522 # Bayer AG 498,853 16,751,199 # Bayerische Motorenwerke AG 519,011 22,440,762 * Bayerische Vereinsbank AG 845,488 20,776,122 BHW Holding AG 10,667 183,041 Bilfinger & Berger Bau AG 23,702 1,125,170 # Commerzbank AG 594,131 12,903,783 # DaimlerChrysler AG 1,368,494 55,172,318 # Deutsche Bank AG 770,191 59,920,101 E.ON AG 12,593 1,093,248 Fraport AG 68,708 2,836,900 Fresenius Medical Care AG 18,966 1,489,708 * Heidelberger Druckmaschinen AG 46,167 1,425,361 Heidelberger Zement AG 78,542 5,023,273 # Hochtief AG 71,840 2,441,166 Hypo Real Estate Holding AG 84,277 3,318,984 * IVG Immobilien AG 30,276 550,018 * Lanxess 49,885 1,058,301 # * Linde AG 77,043 5,228,378
8 Merck KGAA 67,288 5,255,818 * MG Technologies AG 150,773 1,709,520 # Preussag AG 181,223 4,492,857 Salzgitter AG 13,041 305,122 SCA Hygiene Products AG 3,550 1,266,675 Suedzucker AG 26,428 498,662 ThyssenKrupp AG 450,803 8,276,198 Vattenfall Europe AG 90,913 3,557,582 # Volkswagen AG 295,657 13,011,886 ---------------- TOTAL -- GERMANY (Cost $248,181,818) 266,369,080 ---------------- SWITZERLAND -- (5.9%) COMMON STOCKS -- (5.9%) Baloise-Holding 214,760 11,213,948 Bank Sarasin & Cie Series B, Basel 180 302,919 Banque Cantonale Vaudoise 12,608 2,784,576 Berner Kantonalbank 15,175 2,237,805 Ciba Spezialitaetenchemie Holding AG 81,000 4,815,990 Cie Financiere Richemont AG Series A 1,251,000 38,086,850 * Clariant AG 64,982 910,858 # Credit Swisse Group 1,452,179 58,093,081 * Fischer (Georg) AG, Schaffhausen 1,280 379,447 # Givaudan SA 5,792 3,447,490 Holcim, Ltd. 199,770 12,143,764 Jelmoli Holding AG 500 679,112 Luzerner Kantonalbank AG 12,294 2,362,894 Pargesa Holding SA, Geneve 1,935 6,973,437 * PSP Swiss Property AG 109,600 4,835,314 Rieters Holdings AG 7,860 2,130,195 Sig Holding AG 30,888 6,567,412 * Sika Finanz AG, Baar 3,828 2,404,569 St. Galler Kantonalbank 10,146 2,583,336 * Swiss Life AG 132,137 17,447,146 # Swiss Reinsurance Co., Zurich 330,715 20,472,030 * Syngenta AG 165,100 17,067,625 # Unaxis Holding AG 45,400 6,370,296 * Valiant Holding AG 39,295 3,461,651 * Valora Holding AG 12,170 2,670,439 * Zurich Financial SVCS AG 152,206 25,283,580 ---------------- TOTAL -- SWITZERLAND (Cost $188,429,435) 255,725,764 ---------------- AUSTRALIA -- (4.5%) COMMON STOCKS -- (4.4%) Amcor, Ltd. 881,869 4,510,853 AMP, Ltd. 1,026,864 5,103,408 Ansell, Ltd. 303,463 2,103,777
9 APN News & Media, Ltd. 509,371 1,958,875 # Australand Property Group 674,862 718,280 AWB, Ltd. 364,594 1,223,471 AXA Asia Pacific Holdings, Ltd. 2,837,724 9,943,499 Bluescope Steel, Ltd. 1,252,100 7,606,018 Boral, Ltd. 944,335 4,224,733 Brickworks, Ltd. 37,510 285,742 Caltex Australia, Ltd. 238,359 2,710,833 Commonwealth Bank of Australia 1,376,094 38,441,344 CSR, Ltd. 1,514,337 2,826,140 Downer Group, Ltd. 225,933 900,086 Futuris Corp., Ltd. 531,719 677,624 Insurance Australiz Group, Ltd. 763,270 3,361,898 Lend Lease Corp., Ltd. 568,460 5,236,997 Lion Nathan, Ltd. 871,345 4,827,362 Mayne Group, Ltd. 1,315,561 4,588,824 Mirvac, Ltd. 1,229,901 3,098,714 National Australia Bank, Ltd. 1,823,878 43,291,233 Onesteel, Ltd. 505,842 957,969 Orica, Ltd. 51,604 612,186 Origin Energy, Ltd. 817,347 4,402,584 Paperlinx, Ltd. 727,704 1,272,060 Publishing and Broadcasting, Ltd. 219,621 2,522,066 Quantas Airways, Ltd. 3,489,827 8,465,231 Rinker Group, Ltd. 982,162 9,119,299 Santos, Ltd. 972,348 7,385,686 Seven Network, Ltd. 211,508 1,137,210 Stockland Trust Group 22,867 95,265 * Stockland Trust Group Issue 05 772 3,184 WMC Resources, Ltd. 1,821,249 10,609,212 ---------------- TOTAL COMMON STOCKS (Cost $133,957,352) 194,221,663 ---------------- INVESTMENT IN CURRENCY -- (0.1%) * Australian Dollar 3,698,009 ---------------- (Cost $3,701,213) TOTAL -- AUSTRALIA (Cost $137,658,565) 197,919,672 ---------------- NETHERLANDS -- (4.4%) COMMON STOCKS -- (4.4%) ABN AMRO Holding NV 35,897 833,655 Aegon NV 2,897,384 37,096,508 DSM NV 134,117 8,977,717 # Hunter Douglas NV 94,242 4,873,152 IHC Caland NV 16,740 1,073,392 ING Groep NV 2,065,009 57,137,284 * Koninklijke Ahold NV 1,815,643 13,705,566 Koninklijke KPN NV 2,458,914 19,554,154 Koninklijke Nedlloyd NV 21,621 1,483,685 Koninklijke Philips Electronics NV 1,412,706 36,135,774
10 NV Holdingsmij de Telegraaf 6,800 146,078 VNU NV 387,846 10,550,466 ---------------- TOTAL COMMON STOCKS (Cost $157,028,179) 191,567,431 ---------------- RIGHTS/WARRANTS -- (0.0%) * SBM Offshore Coupons 16,740 0 ---------------- (Cost $0) TOTAL -- NETHERLANDS (Cost $157,028,179) 191,567,431 ---------------- HONG KONG -- (2.9%) COMMON STOCKS -- (2.9%) Cheung Kong Holdings, Ltd. 2,727,000 24,802,772 China Overseas Land & Investment, Ltd. 1,864,000 348,558 China Travel International Investment, Ltd. 680,000 187,219 China Unicom, Ltd. 5,118,000 4,103,851 # Citic Ka Wah Bank, Ltd. 1,272,000 468,472 Citic Pacific, Ltd. 934,000 2,598,145 Great Eagle Holdings, Ltd. 308,987 703,437 Hang Lung Development Co., Ltd. 2,518,000 4,294,704 Henderson Land Development Co., Ltd. 1,122,000 5,103,391 Hong Kong and Shanghai Hotels, Ltd. 892,417 932,191 Hopewell Holdings, Ltd. 1,455,000 3,593,405 Hutchison Whampoa, Ltd. 3,751,000 32,550,877 Hysan Development Co., Ltd. 2,157,039 4,339,438 # Kerry Properties, Ltd. 2,312,291 5,059,302 New World Development Co., Ltd. 3,131,239 3,266,789 Shanghai Industrial Holdings, Ltd. 1,094,000 2,120,039 # Shangri-La Asia, Ltd. 3,000,733 4,530,388 # Sino Land Co., Ltd. 8,212,433 8,409,841 Tsim Sha Tsui Properties, Ltd. 472,000 815,730 Union Bank of Hong Kong, Ltd. 364,000 450,473 Wharf Holdings, Ltd. 3,438,214 11,212,895 # Wheelock and Co., Ltd. 3,940,000 5,674,640 Wheelock Properties, Ltd. 1,485,000 761,763 ---------------- TOTAL -- HONG KONG (Cost $112,259,789) 126,328,320 ---------------- SWEDEN -- (2.7%) COMMON STOCKS -- (2.7%) Carbo AB 2,900 70,670 Castellum AB 4,100 158,082 Electrolux AB Series B 324,100 7,084,855 Gambro AB Series A 555,400 7,366,291 Gambro AB Series B 216,300 2,881,955 Holmen AB Series A 6,300 178,842 # Holmen AB Series B 155,700 4,187,532
11 # NCC AB Series B 59,700 875,994 Nordic Baltic Holdings AB 2,603,100 23,777,113 Skandinaviska Enskilda Banken Series A 368,800 6,344,263 Skandinaviska Enskilda Banken Series C 9,800 161,411 # * SKF AB Redeemable Shares Series A 22,650 75,795 * SKF AB Redeemable Shares Series B 29,700 99,387 SKF AB Series A 90,600 926,347 SKF AB Series B 118,800 1,213,623 SSAB Swedish Steel Series A 180,800 4,395,242 SSAB Swedish Steel Series B 60,500 1,420,951 # Svenska Cellulosa AB Series A 19,000 652,990 Svenska Cellulosa AB Series B 221,100 7,527,170 Telia AB 2,582,000 12,778,300 Trelleborg AB Series B 160,600 2,495,014 Volvo AB Series A 243,200 9,607,395 Volvo AB Series B 443,400 18,127,730 Whilborg Fastigheter AB Class B 173,980 3,510,524 # * Wihlborgs Fastigheter AB 34,796 818,350 ---------------- TOTAL COMMON STOCKS (Cost $88,187,543) 116,735,826 ---------------- RIGHTS/WARRANTS -- (0.0%) * SSAB Svenskt AB Redemption Rights 05/23/05 180,800 87,473 * SSAB Svenskt AB Series B Redemption Rights 05/23/05 60,500 34,962 * TeliaSonera AB Redeemable Rights 06/09/05 2,317,000 221,083 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 343,518 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona 14,372 ---------------- (Cost $14,635) TOTAL -- SWEDEN (Cost $88,202,178) 117,093,716 ---------------- SPAIN -- (2.6%) COMMON STOCKS -- (2.6%) Acerinox SA 261,360 3,771,894 Arcelor SA 30,000 594,540 Autopistas Concesionaria Espanola SA 310,251 6,919,589 Banco de Andalucia 900 79,322 Banco de Sabadell SA 154,021 4,039,655 # Banco Pastor SA 59,400 2,217,359 Banco Santander Central Hispanoamerica SA 84,304 963,043 # Cementos Portland SA 21,016 1,443,017 Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 2,135,749 # Ebro Puleva SA 120,322 2,164,453 # Endesa SA, Madrid 1,136,646 24,738,040 Gas Natural SA, Buenos Aires 121,385 3,402,534 # Iberdrola SA 535,000 13,646,506 # Iberia Lineas Aereas de Espana SA 617,500 1,951,947
12 # Inmobiliaria Urbis SA 96,328 1,634,652 Repsol SA 1,289,224 32,239,985 Sociedad General de Aguas de Barcelona SA 119,484 2,406,473 * Sociedad General de Aguas de Barcelona SA 1,194 23,994 # Sol Melia SA 157,217 1,650,123 Union Fenosa SA 230,000 6,921,699 Vallehermoso SA 46,125 929,543 ---------------- TOTAL -- SPAIN (Cost $70,367,226) 113,874,117 ---------------- ITALY -- (2.3%) COMMON STOCKS -- (2.3%) * Alitalia Linee Aeree Italiane SpA Series A 6,690,000 2,126,779 # Banca Antoniana Popolare Veneta SpA 83,000 2,649,800 # Banca Monte Dei Paschi di Siena SpA 2,279,872 8,187,429 # * Banca Nazionale del Lavoro SpA 2,230,687 7,519,362 # Banca Popolare di Lodi Scarl 437,995 4,271,876 Banca Popolare di Milano 730,208 7,398,062 # Benetton Group SpA 181,249 1,644,732 # Buzzi Unicem SpA 67,793 975,483 # Caltagirone Editore SpA 184,888 1,651,000 Capitalia SpA 2,992,113 15,632,746 # CIR SpA (Cie Industriale Riunite), Torino 500,000 1,381,906 # Compagnia Assicuratrice Unipol SpA 745,685 2,953,366 # * Edison SpA 1,734,262 3,929,021 Erg SpA 197,993 3,067,753 # * Fiat SpA 1,054,970 7,108,155 # Italcementi SpA 444,060 6,857,544 # Italmobiliare SpA, Milano 33,664 2,091,219 Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 122,539 Milano Assicurazioni SpA 182,000 1,034,660 # Pirelli & Co. SpA 1,486,658 1,640,719 # SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 4,368,323 # San Paolo-IMI SpA 833,105 11,571,110 Societe Cattolica di Assicurazoni Scarl SpA 8,800 384,956 ---------------- TOTAL COMMON STOCKS (Cost $85,190,508) 98,568,540 ---------------- RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 2007 51,693 12,086 ---------------- (Cost $0) TOTAL -- ITALY (Cost $85,190,508) 98,580,626 ---------------- IRELAND -- (1.8%) COMMON STOCKS -- (1.8%) Allied Irish Banks P.L.C. 688,656 14,288,890 Bank of Ireland P.L.C. 1,181,012 17,929,477
13 CRH P.L.C. 1,243,314 31,389,925 * Elan Corp. P.L.C. 587,038 4,481,845 Irish Permanent P.L.C. 650,175 10,813,430 ---------------- TOTAL -- IRELAND (Cost $73,640,064) 78,903,567 ---------------- FINLAND -- (1.2%) COMMON STOCKS -- (1.2%) Fortum Oyj 383,200 5,804,712 Huhtamaki Van Leer Oyj 2,300 34,923 Kemira GrowHow Oyj 21,542 166,892 Kemira Oyj 101,377 1,349,484 Kesko Oyj 157,000 3,763,045 Metso Oyj 219,166 4,387,953 M-Real Oyj Series B 253,400 1,367,837 Okobank Class A 65,000 1,036,945 Outokumpu Oyj Series A 351,300 4,845,269 Rautaruukki Oyj Series K 75,900 1,069,234 Stora Enso Oyj Series R 922,500 12,120,767 Upm-Kymmene Oyj 865,900 16,741,637 Wartsila Corp. Oyj Series B 59,400 1,787,015 ---------------- TOTAL -- FINLAND (Cost $47,739,726) 54,475,713 ---------------- BELGIUM -- (1.2%) COMMON STOCKS -- (1.2%) Ackermans & Van Haaren SA 4,187 166,139 Banque Nationale de Belgique 1,049 4,308,998 Bekaert SA 2,787 206,610 Cofinimmo SA 1,108 175,964 # * Cumerio 70,740 974,956 * Cumerio VVPR 2,009 74 # Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 231,485 13,660,326 # Dexia SA 191,251 4,149,578 D'Ieteren SA 431 85,582 # Groupe Bruxelles Lambert 55,500 4,720,650 * ING Bank Belgium NV 128 0 Interbrew SA 196,392 6,490,050 KBC Bancassurance Holding SA 127,286 10,318,758 # Nationale a Portefeuille 4,029 853,844 # Suez (ex Suez Lyonnaise des Eaux) 95,400 2,568,186 * Umicore-Strip VVPR 2,009 270 Union Miniere SA 70,740 5,556,572 ---------------- TOTAL -- BELGIUM (Cost $39,649,089) 54,236,557 ----------------
14 DENMARK -- (1.2%) COMMON STOCKS -- (1.2%) Carlsberg A.S. Series B 35,725 1,748,981 # Codan A.S. 57,000 2,788,695 Danisco A.S. 90,330 6,219,533 Danske Bank A.S. 481,453 13,815,709 * Jyske Bank A.S. 89,350 3,413,511 Nordea AB 475,918 4,348,109 Rockwool, Ltd. 16,200 1,124,376 Sydbank A.S. 71,200 1,477,059 Tele Danmark A.S. 380,150 16,760,739 ---------------- TOTAL -- DENMARK (Cost $36,729,428) 51,696,712 ---------------- NORWAY -- (1.0%) COMMON STOCKS -- (1.0%) Den Norske Bank ASA Series A 905,394 8,757,199 * Fred Olsen Energy ASA 34,000 682,271 # Norsk Hydro ASA 287,800 23,325,408 Norske Skogindustrier ASA Series A 247,500 3,801,116 Orkla ASA Series A 96,900 3,302,860 Prosafe ASA 7,300 219,358 Storebrand ASA 415,300 3,455,309 ---------------- TOTAL -- NORWAY (Cost $36,542,042) 43,543,521 ---------------- SINGAPORE -- (0.7%) COMMON STOCKS -- (0.7%) # Creative Technology Co., Ltd. 39,550 314,458 DBS Group Holdings, Ltd. 813,000 6,769,561 Fraser & Neave, Ltd. 756,290 7,112,115 Keppel Land, Ltd. 258,000 352,261 Neptune Orient Lines, Ltd. 189,000 378,024 Overseas Chinese Banking Corp., Ltd. 94,000 782,999 SembCorp Industries, Ltd. 690,900 938,841 Singapore Airlines, Ltd. 1,258,000 8,653,781 Singapore Land, Ltd. 813,000 2,529,545 United Overseas Bank, Ltd. 66,000 565,603 # United Overseas Land, Ltd. 1,734,000 2,282,735 ---------------- TOTAL -- SINGAPORE (Cost $26,577,243) 30,679,923 ----------------
15 PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) Banco Comercial Portugues SA 2,332,042 6,034,412 Banco Espirito Santo e Comercial de Lisboa 192,268 3,018,327 BPI SGPS SA 635,057 2,402,573 Cimpor Cimentos de Portugal SA 385,415 2,067,538 Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,487,422 ---------------- TOTAL -- PORTUGAL (Cost $14,634,454) 16,010,272 ---------------- GREECE -- (0.3%) COMMON STOCKS -- (0.3%) * Agricultural Bank of Greece S.A. 123,600 895,249 Alpha Credit Bank 42,048 1,155,740 Bank of Greece 8,520 1,075,583 Bank of Piraeus S.A. 4,600 82,240 * Commercial Bank of Greece 44,760 1,371,166 EFG Eurobank Ergasias S.A. 60,097 1,851,458 Hellenic Petroleum S.A. 159,140 1,530,147 Hellenic Telecommunication Organization Co. S.A. 276,079 4,918,577 National Bank of Greece 20,176 680,936 ---------------- TOTAL -- GREECE (Cost $9,708,569) 13,561,096 ---------------- AUSTRIA -- (0.3%) COMMON STOCKS -- (0.3%) Bank Austria Creditanstalt AG 70,493 6,932,327 Bohler Uddeholm AG 6,402 826,246 Voestalpine AG 62,211 4,194,277 Wienerberger AG 10,244 453,991 ---------------- TOTAL COMMON STOCKS (Cost $8,010,878) 12,406,841 ---------------- RIGHTS/WARRANTS -- (0.0%) * Boehler-Uddeholm AG Rights 06/02/05 6,402 0 ---------------- (Cost $0) TOTAL -- AUSTRIA (Cost $8,010,878) 12,406,841 ---------------- EMU -- (0.2%) INVESTMENT IN CURRENCY -- (0.2%) * Euro Currency 8,495,382 ---------------- (Cost $8,683,335)
16 NEW ZEALAND -- (0.1%) COMMON STOCKS -- (0.1%) Auckland International Airport, Ltd. 399,312 575,334 Carter Holt Harvey, Ltd. 1,955,577 2,456,271 Fletcher Building, Ltd. 693,880 3,045,029 ---------------- TOTAL -- NEW ZEALAND (Cost $5,397,217) 6,076,634 ---------------- MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Rekapacific Berhad 691,000 0 ---------------- (cost $1,085,853)
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (20.6%) ^ Repurchase Agreement, Deutsche Bank Securities, Merrill Lynch & Mizuho Securities USA 2.96%, 3.07%, and 2.98%, respectively, 06/01/05 (Collateralized by $1,247,813,560 U.S. TIPS 1.875%, 07/15/13 and 3.375%, 01/15/07; U.S. STRIPS, rates ranging from 0% to 10.75%, maturities ranging from 08/15/05 to 02/15/31; GNMA's, rates ranging from 3.75% to 5.75%, maturities ranging from 01/20/34 to 05/20/35; AID-Israel, rates ranging from 0% to 5.50%, maturities ranging from 11/01/13 to 09/18/23; & U.S. Treasury Notes, rates ranging from 1.125% to 4.75%, maturities ranging from 06/30/05 to 02/15/15, valued at $915,552,116) to be repurchased at $897,667,509 (Cost $897,592,866) $ 897,593 897,592,866 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $3,763,255,811) $ 4,364,903,149 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 17 THE DFA INVESTMENT TRUST COMPANY THE DFA INTERNATIONAL VALUE SERIES STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investments at Value (including $845,639 of securities on loan) $ 4,364,903 Receivables: Investment Securities Sold 122 Dividends, Interest, and Tax Reclaims 11,301 Fund Shares Sold 6,763 Securities Lending Income 1,018 Prepaid Expenses and Other Assets 17 -------------- Total Assets 4,384,124 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned 897,593 Investment Securities Purchased 9,084 Fund Shares Redeemed 323 Due to Advisor 575 Loan Payable 241 Accrued Expenses and Other Liabilities 247 -------------- Total Liabilities 908,063 -------------- NET ASSETS $ 3,476,061 ============== SHARES OUTSTANDING, $0.01 PAR VALUE (Unlimited Number of Shares Authorized) 221,948,580 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.66 ============== Investments at Cost $ 3,763,256 ==============
See accompanying Notes to Financial Statements. 17 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $6,624) $ 59,004 Interest 243 Income from Securities Lending 2,820 -------------- Total Investment Income 62,067 -------------- EXPENSES Investment Advisory Services 3,260 Accounting & Transfer Agent Fees 655 Custodian Fees 381 Legal Fees 8 Audit Fees 12 Shareholders' Reports 14 Trustees' Fees and Expenses 10 Other 42 -------------- Total Expenses 4,382 -------------- NET INVESTMENT INCOME (LOSS) 57,685 -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 62,333 Net Realized Gain (Loss) on Foreign Currency Transactions (82) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (67,392) Translation of Foreign Currency Denominated Amounts (654) -------------- NET GAIN (LOSS) (5,795) -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 51,890 ==============
See accompanying Notes to Financial Statements. 18 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------ ------------ (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 57,685 $ 49,525 Net Realized Gain (Loss) on Investment Securities Sold 62,333 115,062 Net Realized Gain (Loss) on Foreign Currency Transactions (82) (332) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (67,392) 436,284 Translation of Foreign Currency Denominated Amounts (654) 162 ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 51,890 600,701 ------------ ------------ Distributions From: Net Investment Income (26,491) (44,310) Net Short-Term Gains (2,493) -- Net Long-Term Gains (104,987) -- ------------ ------------ Total Distributions (133,971) (44,310) ------------ ------------ Capital Share Transactions (1): Shares Issued 664,859 728,312 Shares Issued in Lieu of Cash Distributions 131,569 42,852 Shares Redeemed (42,329) (128,290) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 754,099 642,874 ------------ ------------ Total Increase (Decrease) 672,018 1,199,265 NET ASSETS Beginning of Period 2,804,043 1,604,778 ------------ ------------ End of Period $ 3,476,061 $ 2,804,043 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 41,322 51,724 Shares Issued in Lieu of Cash Distributions 8,398 3,072 Shares Redeemed (2,638) (9,358) ------------ ------------ 47,082 45,438 ============ ============
See accompanying Notes to Financial Statements. 19 THE DFA INVESTMENT TRUST COMPANY THE DFA INTERNATIONAL VALUE SERIES 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, 2005 2004 2003 2002 2001 2000 - ----------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.27 0.33 0.27 0.24 0.27 0.27 Net Gains (Losses) on Securities (Realized and Unrealized) 0.10 3.61 3.06 (0.78) (1.49) (0.31) ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations 0.37 3.94 3.33 (0.54) (1.22) (0.04) - ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.15) (0.30) (0.25) (0.25) (0.27) (0.26) Net Realized Gains (0.60) -- (0.01) (0.03) (0.43) (0.81) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.75) (0.30) (0.26) (0.28) (0.70) (1.07) - ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.66 $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 ============================================================================================================================= Total Return 2.31%# 32.15% 36.24% (5.53)% (10.75)% (0.51)% - ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,476,061 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481 Ratio of Expenses to Average Net Assets 0.27%* 0.28% 0.30% 0.30% 0.29% 0.29% Ratio of Net Investment Income to Average Net Assets 3.55%* 2.35% 2.61% 2.36% 2.32% 2.13% Portfolio Turnover Rate 5%# 15% 14% 18% 6% 9%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 20 THE DFA INVESTMENT TRUST COMPANY THE DFA INTERNATIONAL VALUE SERIES 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. The Trust consists of twenty-one series, of which The DFA International Value Series (the "Series") is presented in this report. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the 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 requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Series which are listed on a securities exchange are valued at the last quoted sale price. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the mean between the quoted bid and asked prices. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Trustees. The Series 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 Series is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the Series prices its shares at the close of the NYSE, the Series 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 Series' 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 Trust 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 Trust utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of such prices will have a material impact on the net asset value of a Series. When a Series uses fair value pricing, the values assigned to the Series' 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 Series whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and 21 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. Exchange gains or losses are realized upon ultimate receipt or disbursement. The Series does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest dividends and foreign withholding taxes recorded on the books of the Series and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may defer payment of a percentage of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Trustees' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities in the amount of $50,660. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Discount and premium on securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust are allocated using methods approved by the Board of Trustees, generally based on average net assets. The Series may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers exiting 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 Series accrue such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Series. For the six months ended May 31, 2005, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.20 of 1% of average daily net assets. Certain officers of the Trust are also officers, directors and shareholders of the Advisor. D. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2005, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands): Purchases $ 843,507 Sales 165,589
There were no purchases or sales of U.S. Government Securities during the six months ended May 31, 2005. 22 E. FEDERAL INCOME TAXES: The Series has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL ------------- ------------- -------- 2004 $ 44,310 -- $ 44,310 2003 30,082 $ 1,177 31,259
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED EARNINGS NET INVESTMENT LONG-TERM (ACCUMULATED INCOME CAPITAL GAINS LOSSES) -------------- ------------- ------------- $ 22,727 $ 104,819 $ 127,546
Certain of the Series' investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. During the year ended November 30, 2004, the Series had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies of $10,083,171 and $12,003,955, respectively, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income. At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ----------- ------------ ------------ -------------- $ 3,763,356 $ 692,851 $ (91,304) $ 601,547
F. 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 31, 2005. 23 2. 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 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. G. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
UNREALIZED ACCUMULATED ACCUMULATED ACCUMULATED APPRECIATION UNREALIZED NET NET REALIZED NET REALIZED (DEPRECIATION) NET FOREIGN INVESTMENT GAIN (LOSS) FOREIGN OF INVESTMENT EXCHANGE PAID-IN INCOME OF INVESTMENT EXCHANGE SECURITIES AND GAIN TOTAL NET CAPITAL (LOSS) SECURITIES GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS ----------- ----------- ------------- ------------ ---------------- ----------- ----------- $ 2,771,495 $ 49,058 $ 54,235 $ (82) $ 601,647 $ (292) $ 3,476,061
H. LINE OF CREDIT: The Trust, together with other Dimensional-advised series, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each series is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each series is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. Borrowings by the Series under the line of credit for the six months ended May 31, 2005 were as follows:
MAXIMUM AMOUNT WEIGHTED WEIGHTED NUMBER OF INTEREST BORROWED AVERAGE AVERAGE DAYS EXPENSE DURING INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD ------------- ------------ ----------- -------- -------------- 3.76% $ 241,250 1 $ 25 $ 241,250
At May 31, 2005, The DFA International Value Series had an outstanding borrowing under the line of credit of $241,250 plus accrued interest. The Trust, together with other Dimensional-advised series, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each series is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each series is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings by the Series under the line of credit during the six months ended May 31, 2005. I. SECURITIES LENDING: As of May 31, 2005, the Series had securities on loan to broker/dealers, for which the Series held cash collateral. The Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% of the market value of the securities on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower 24 is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. The cash collateral received by the Series from securities on loan is invested in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. The Series paid fees for securities lending for the period ended May 31, 2005, which have been netted against the Income from Securities Lending on the Statements of Operations. For the six months ended May 31, 2005 the fees were approximately $1,219,000. J. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 25 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Trust uses in voting proxies relating to securities held in the portfolio is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dfaus.com and reflects the twelve-month period beginning July 1 and ending June 30. 26 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT At the Board meeting held on December 15, 2004 (the "Meeting"), the Board of Trustees of The DFA Investment Trust Company (the "Board") considered the continuation of the investment management agreement ("Advisory Agreement") for the series (the "Fund"). Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Advisory Agreement. The Independent Board Members, met with their independent counsel in advance of the Meeting to discuss the materials provided by the Advisor, the independent reports prepared by Lipper Analytical Services, Inc., and issues related to the continuation of the Advisory Agreement. At the Meeting, the Board considered a number of factors when considering the continuation of the Advisory Agreement for the Fund, including: (i) the nature, extent and quality of services provided by the Advisor to the Fund; (ii) the performance of the Fund and the Advisor; (iii) the fees and expenses borne by the Fund; (iv) the profitability realized by the Advisor from the relationship with the Fund; (v) whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of the advisory fee charged; (vi) comparisons of the services to be rendered and the amounts to be paid under other advisory contracts; and (vii) any benefits to be derived by the Advisor from its relationship with the Fund. When considering the nature and quality of the services provided by the Advisor to the Fund, the Board reviewed: (a) the scope and depth of the Advisor's organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor's investment advisory capabilities. The Board evaluated the Advisor's portfolio management process. The Board also considered the nature and character of non-investment management services provided by the Advisor. After analyzing the caliber of services provided by the Advisor to the Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to the Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund. In considering the performance of the Fund, the Board analyzed the Lipper reports, which compared the performance of the Fund with other funds in its respective peer group and peer universe, and noted that the performance of the Fund compared favorably with its peer group. The Board determined, among other things, that the performance of the Fund was acceptable as compared with relevant performance standards. When considering the fees and expenses borne by the Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Lipper reports. The Board concluded that the advisory fees and total expenses of the Fund over various periods were favorable in relation to its peer funds, and that the advisory fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large. The Board considered the profitability of the Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to the Fund, including administrative fees paid by the feeder portfolios. The Board considered the profitability to the Advisor of managing the Fund and other "non-1940 Act registered" investment vehicles. Upon closely examining the Advisor's profitability, the Board concluded, among other things, that it was reasonable. The Board also discussed whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of advisory fee charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory fee charged were inapplicable to the Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund. After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Advisory Agreement for the Fund was in the best interests of the Fund and its shareholders. 27 [THIS PAGE INTENTIONALLY LEFT BLANK] [THIS PAGE INTENTIONALLY LEFT BLANK] ================================================================================ Dimensional Investment Group Inc. DFA International Value Portfolio IV SEMI-ANNUAL REPORT Six Months Ended May 31, 2005 (Unaudited) ================================================================================ DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO IV SEMI-ANNUAL REPORT (UNAUDITED) TABLE OF CONTENTS
PAGE ------ DIMENSIONAL INVESTMENT GROUP INC. Disclosure of Fund Expenses 1 Disclosure of Portfolio Holdings 2 Statement of Assets and Liabilities 3 Statement of Operations 4 Statements of Changes in Net Assets 5 Financial Highlights 6 Notes to Financial Statements 7 THE DFA INVESTMENT TRUST COMPANY -- THE DFA INTERNATIONAL VALUE SERIES Disclosure of Fund Expenses 10 Disclosure of Portfolio Holdings 11 Schedule of Investments 12 Statement of Assets and Liabilities 17 Statement of Operations 18 Statements of Changes in Net Assets 19 Financial Highlights 20 Notes to Financial Statements 21 VOTING PROXIES ON FUND PORTFOLIO SECURITIES 26 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 27
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO IV DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ------------ ------------ ------------ ------------ Actual Fund Return $ 1,000.00 $ 1,023.10 0.33% $ 1.66 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.35 0.33% $ 1.66
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 1 DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The Dimensional Investment Group Inc., this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Investment Companies 100.0% ----- 100.0% =====
2 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO IV STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investment in The DFA International Value Series of The DFA Investment Trust Company (16,100,760 Shares, Cost $183,863) at Value+ $ 252,138 Receivable for Fund Shares Sold 896 Prepaid Expenses and Other Assets 13 ------------- Total Assets 253,047 ------------- LIABILITIES: Payables: Investment Securities Purchased 896 Due to Advisor 7 Accrued Expenses and Other Liabilities 27 ------------- Total Liabilities 930 ------------- NET ASSETS $ 252,117 ============= SHARES OUTSTANDING, $0.01 PAR VALUE (Authorized 200,000,000 Shares) 19,471,837 ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 12.95 =============
- ---------- +See Note B to Financial Statements. See accompanying Notes to Financial Statements. 3 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company $ 1,936 ------------- EXPENSES Administrative Services 40 Accounting & Transfer Agent Fees 3 Legal Fees 3 Audit Fees 1 Filing Fees 12 Shareholders' Reports 14 Directors' Fees and Expenses 1 Other 1 ------------- Total Expenses 75 ------------- NET INVESTMENT INCOME (LOSS) 1,861 ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from The DFA Investment Trust Company 7,831 Net Realized Gain (Loss) on Investment Securities Sold (307) Change in Unrealized Appreciation (Depreciation) of Investment Securities (6,074) ------------- NET GAIN (LOSS) 1,450 ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 3,311 =============
See accompanying Notes to Financial Statements. 4 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------ ------------ (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 1,861 $ 3,070 Capital Gain Distributions Received from The DFA Investment Trust Company 7,831 -- Net Realized Gain (Loss) on Investment Securities Sold (307) (584) Change in Unrealized Appreciation (Depreciation) of Investment Securities (6,074) 40,652 ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 3,311 43,138 ------------ ------------ Distributions From: Net Investment Income (4,338) (2,598) Net Short-Term Gains (294) (2,109) Net Long-Term Gains -- (88) ------------ ------------ Total Distributions (4,632) (4,795) ------------ ------------ Capital Share Transactions (1): Shares Issued 52,379 98,677 Shares Issued in Lieu of Cash Distributions 4,632 4,795 Shares Redeemed (7,142) (58,338) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 49,869 45,134 ------------ ------------ Total Increase (Decrease) 48,548 83,477 NET ASSETS Beginning of Period 203,569 120,092 ------------ ------------ End of Period $ 252,117 $ 203,569 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 3,925 8,792 Shares Issued in Lieu of Cash Distributions 359 469 Shares Redeemed (542) (5,320) ------------ ------------ 3,742 3,941 ============ ============
See accompanying Notes to Financial Statements. 5 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, 2005 2004 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 12.94 $ 10.19 $ 7.49 $ 8.45 $ 10.90 $ 11.19 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.12 0.20 0.18 0.19 0.21 0.20 Net Gains (Losses) on Securities (Realized and Unrealized) 0.18 2.95 2.52 (0.65) (1.20) (0.22) ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations 0.30 3.15 2.70 (0.46) (0.99) (0.02) - ------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.28) (0.22) -- (0.20) (0.27) (0.22) Net Realized Gains (0.01) (0.18) -- (0.30) (1.19) (0.05) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.29) (0.40) -- (0.50) (1.46) (0.27) - ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 12.95 $ 12.94 $ 10.19 $ 7.49 $ 8.45 $ 10.90 =============================================================================================================================== Total Return 2.31%# 31.99% 36.05% (5.66)% (10.80)% (0.24)% - ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 252,117 $ 203,569 $ 120,092 $ 84,403 $ 86,341 $ 96,607 Ratio of Expenses to Average Net Assets (1) 0.33%* 0.37% 0.43% 0.45% 0.44% 0.41%(a) Ratio of Net Investment Income to Average Net Assets 1.56%* 2.00% 2.28% 2.38% 2.22% 1.97%(a) Portfolio Turnover Rate of Master Fund Series 5%# 15% 14% 18% 6% 9%
* Annualized # Non-annualized (1) Represents the combined ratio for the Portfolio and its respective pro-rata share of its Master Fund Series. (a) The plan's sponsor has voluntarily contributed to the portfolio an amount equal to that portion of the aggregate fees and expenses incurred by the Portfolio relating to the plan's investment. See accompanying Notes to Financial Statements. 6 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO IV 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 consists of sixteen portfolios, of which the DFA International Value Portfolio IV (the "Portfolio") is presented in this report. The Portfolio invests all of its assets in The DFA International Value Series (the "Series"), a corresponding series of The DFA Investment Trust Company. At May 31, 2005, the Portfolio owned 7% of the outstanding shares of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The shares of the Series held by the Portfolio are valued at its respective daily net asset value. 2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $3,721. 3. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Expenses directly attributable to the Portfolio are directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides administrative services to the Portfolio, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. The Advisor provides investment advisory services to the Series. For the six months ended May 31, 2005, the Portfolio's administrative fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.20 of 1% of the first $40 million of average net assets. 7 Certain officers of the Fund are also officers, directors and shareholders of the Advisor. In addition, each sponsor of a benefit plan which invested in the Portfolio had agreed to make a voluntary monthly contribution prior to January 1, 2001 to the Portfolio in an amount equal to that portion of the aggregate fees and expenses incurred by the Portfolio related to the benefit plan's investment. Such contributions were made in accordance with the sponsor's practice of bearing the expenses of administering the benefit plan's investments and were recorded as an addition to paid-in capital. Effective January 1, 2001, the sponsors of the benefit plans which invest in the Portfolio ceased making voluntary monthly contributions to the Portfolio for the portion of the fees and expenses incurred by the Portfolio relating to the benefit plan's investment. D. FEDERAL INCOME TAXES: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL ------------- ------------- ---------- 2004 $ 4,707 $ 88 $ 4,795 2003 -- -- --
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED EARNINGS NET INVESTMENT (ACCUMULATED INCOME LOSSES) -------------- ------------- $ 2,730 $ 2,730
At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) --------- ------------ ------------ -------------- $ 214,448 $ 68,274 $ (30,584) $ 37,690
E. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
ACCUMULATED ACCUMULATED UNREALIZED NET NET REALIZED APPRECIATION INVESTMENT GAIN (LOSS) (DEPRECIATION) PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET CAPITAL (LOSS) SECURITIES SECURITIES ASSETS --------- ----------- ------------- -------------- --------- $ 206,638 $ 138 $ (22,934) $ 68,275 $ 252,117
8 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 2004 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. There were no borrowings under the discretionary line of credit by the Portfolio during the six months ended May 31, 2005. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused line of credit. The agreement of the line of credit expires on April 2, 2006. There were no borrowings by the Portfolio under the line of credit with the international custodian bank during the six months ended May 31, 2005. G. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 9 THE DFA INVESTMENT TRUST COMPANY THE DFA INTERNATIONAL VALUE SERIES DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund's costs in two ways. - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and "Expenses Paid During Period" shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000=7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." - HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case -- because the return used is not the fund's actual return -- the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission ("SEC") requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's cost by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs (if any). The "Annualized Expense Ratio" represents the actual expenses for the six month period indicated. FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/01/04 05/31/05 RATIO PERIOD* ---------- ---------- ---------- --------- Actual Fund Return $ 1,000.00 $ 1,023.10 0.27% $ 1.36 Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
- ---------- * Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. 10 DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC has adopted the requirement that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment Trust Company, this would be for the fiscal quarters ending August 31 and February 28 (February 29 during leap year). The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on April 29, 2005. It is available upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). The SEC has also amended certain regulations to permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual report to shareholders. It will be available, upon request, without charge, by calling collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC adopted a requirement that all Funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Financials 36.4% Consumer Discretionary 17.8 Materials 12.6 Industrials 11.4 Telecommunication Services 6.9 Consumer Staples 4.4 Utilities 3.5 Energy 2.9 Information Technology 2.2 Health Care 1.2 Other 0.4 REITS 0.3 ----- 100.0% =====
11 THE DFA INTERNATIONAL VALUE SERIES SCHEDULE OF INVESTMENTS MAY 31, 2005 (UNAUDITED)
SHARES VALUE+ ---------------- ---------------- UNITED KINGDOM -- (15.5%) COMMON STOCKS -- (15.5%) Amvescap P.L.C. 314,493 $ 1,844,950 Anglo America P.L.C. 2,159,787 51,459,160 Arriva P.L.C. 231,050 2,234,545 Associated British Foods P.L.C. 1,004,913 14,609,875 Associated British Ports Holdings P.L.C. 378,800 3,358,760 Aviva P.L.C. 2,630,567 29,431,339 AWG P.L.C. 76,018 1,236,854 BAA P.L.C. 1,632,557 18,467,632 BAE Systems P.L.C. 4,006,840 19,626,679 Barratt Developments P.L.C. 338,959 4,070,681 BBA Group P.L.C. 680,050 3,715,025 Bellway P.L.C. 38,000 588,284 Bovis Homes Group P.L.C. 132,000 1,640,865 BPB P.L.C. 458,500 4,271,338 Bradford & Bingley P.L.C. 273,288 1,531,177 Britannic P.L.C. 278,864 2,588,193 * British Airways P.L.C. 1,839,331 9,162,247 British Land Co. P.L.C. 874,751 13,839,395 British Vita P.L.C. 286,388 1,859,262 Brixton P.L.C. 359,333 2,403,207 Cable and Wireless P.L.C. 3,547,491 8,639,378 Carnival P.L.C. 157,273 8,610,132 * Colt Telecom Group P.L.C. 698,726 659,832 * Corus Group P.L.C. 6,312,988 5,208,408 Derwent Valley Holdings P.L.C. 49,351 1,029,762 Dixons Group P.L.C. 2,098,938 5,758,646 * Easyjet P.L.C. 294,025 1,204,320 FKI P.L.C. 856,795 1,503,534 Friends Provident P.L.C. 2,272,618 7,211,098 Great Portland Estates P.L.C. 239,324 1,566,808 Greene King P.L.C. 105,263 2,357,020 Hammerson P.L.C. 468,800 7,732,596 Hanson P.L.C. 963,671 8,887,742 HBOS P.L.C. 14,935 217,236 * Henderson Group P.L.C. 404,000 456,831 Hilton Group P.L.C. 2,710,354 13,989,594 InterContinental Hotels Group P.L.C. 864,975 10,045,164 International Power P.L.C. 2,525,271 8,885,196 ITV P.L.C. 1,567,741 3,259,794 Johnson Matthey P.L.C. 43,250 768,534 Kelda Group P.L.C. 161,510 1,889,016 Kingfisher P.L.C. 2,829,717 13,227,596 Land Securities Group P.L.C. 79,240 2,055,546
1 Liberty International P.L.C. 469,345 8,345,510 London Merchant Securities P.L.C. 358,862 1,495,001 Marks & Spencer Group P.L.C. 1,197,239 7,345,469 Mersey Docks & Harbour Co. P.L.C. 115,042 2,015,452 MFI Furniture Group P.L.C. 66,600 129,425 Millennium and Copthorne Hotels P.L.C. 493,245 3,190,438 Mitchells & Butlers P.L.C. 630,549 3,710,031 * O2 P.L.C. 8,760,348 20,295,896 Pearson P.L.C. 924,664 11,062,196 Peninsular & Oriental Steam Navigation P.L.C. 1,130,420 6,376,107 Pennon Group P.L.C. 58,615 1,074,131 Persimmon P.L.C. 278,509 3,780,846 Pillar Property P.L.C. 131,128 1,990,694 * Premier Oil P.L.C. 119,812 1,280,252 Rio Tinto P.L.C. 83,136 2,467,971 * Rolls Royce Group P.L.C. 2,749,448 13,556,759 * Rolls Royce Group P.L.C. Class B 137,472,400 249,800 Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,028,724 Royal Bank of Scotland Group P.L.C. 219,664 6,445,653 Sabmiller P.L.C. 192,609 2,957,793 Sainsbury (J.) P.L.C. 2,650,025 13,778,639 Scottish & Newcastle P.L.C. 1,005,702 8,689,619 Scottish Power P.L.C. 2,139,658 18,023,688 Severn Trent P.L.C. 210,597 3,875,426 Shire Pharmaceuticals Group P.L.C. 683,427 7,252,939 Singer & Friedlander Group P.L.C. 253,818 1,438,614 Slough Estates P.L.C. 706,900 6,604,174 Somerfield P.L.C. 741,014 2,656,721 Stanley Leisure P.L.C. 190,940 1,891,284 Tate & Lyle P.L.C. 660,070 5,679,426 Taylor Woodrow P.L.C. 998,309 5,746,854 * The Berkeley Group Holdings P.L.C. 228,802 3,438,341 Trinity Mirror P.L.C. 495,640 5,611,004 United Utilities P.L.C. 265,595 3,271,895 Vodafone Group P.L.C. 59,364,901 149,452,303 Whitbread P.L.C. 450,082 7,431,362 Wilson Bowden P.L.C. 105,900 2,193,495 Wimpey (George) P.L.C. 457,583 3,543,491 Wolverhampton & Dudley Breweries P.L.C. 107,366 2,162,199 Woolworths Group P.L.C. 2,125,199 1,351,588 WPP Group P.L.C. 394,800 4,207,903 Xstrata P.L.C. 496,100 8,892,658 ---------------- TOTAL COMMON STOCKS (Cost $542,532,199) 675,095,022 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling 14,769 ---------------- (Cost $14,769) TOTAL -- UNITED KINGDOM (Cost $542,546,968) 675,109,791 ----------------
2 JAPAN -- (13.9%) COMMON STOCKS -- (13.7%) Aichi Bank, Ltd. 8,100 763,449 # Aichi Steel Corp. 120,000 612,133 AIOI Insurance Co., Ltd. 928,735 4,601,504 Aisin Seiki Co., Ltd. 182,500 4,049,894 Akita Bank, Ltd. 115,000 520,024 Alpine Electronics, Inc. 36,800 523,837 Amada Co., Ltd. 376,000 2,553,049 # Anritsu Corp. 67,000 402,573 Aoyama Trading Co., Ltd. 50,400 1,221,105 Asahi Breweries, Ltd. 138,500 1,680,246 Asatsu-Dk, Inc. 32,500 933,957 # Autobacs Seven Co., Ltd. 23,700 740,320 Awa Bank, Ltd. 196,600 1,172,832 Bank of Iwate, Ltd. 15,300 871,226 # Bank of Kyoto, Ltd. 347,400 2,914,717 Bank of Nagoya, Ltd. 185,000 1,086,110 Canon Sales Co., Inc. 124,900 2,212,736 # Chiba Bank, Ltd. 941,000 6,385,328 Chudenko Corp. 41,100 644,314 Chugoku Bank, Ltd. 238,800 2,792,365 Citizen Watch Co., Ltd. 318,000 2,778,042 Coca-Cola West Japan Co., Ltd. 58,400 1,306,361 Comsys Holdings Corp. 105,000 885,061 Cosmo Oil Co., Ltd. 764,000 2,793,389 Dai Nippon Ink & Chemicals, Inc. 459,000 1,355,906 Dai Nippon Pharmaceutical Co., Ltd. 106,000 1,016,224 Dai Nippon Printing Co., Ltd. 937,000 14,782,487 Daibiru Corp. 9,000 66,251 Daicel Chemical Industries, Ltd. 485,000 2,517,757 Daido Steel Co., Ltd. 274,000 1,112,774 # Daio Paper Corp. 51,000 393,988 Daishi Bank, Ltd. 355,000 1,479,538 Daiwa House Industry Co., Ltd. 663,000 7,309,407 Denso Corp. 22,500 510,241 # Ebara Corp. 231,000 830,308 Ezaki Glico Co., Ltd. 174,600 1,393,597 Fuji Electric Co., Ltd. 525,780 1,594,855 Fuji Fire & Marine Insurance Co., Ltd. 297,000 881,192 Fuji Heavy Industries 752,000 3,139,462 Fuji Oil Co., Ltd. 55,200 574,115 Fuji Photo Film Co., Ltd. 770,000 23,978,455 Fujikura, Ltd. 355,000 1,799,156 Fukui Bank, Ltd. 343,000 1,300,575 # Fukuoka Bank, Ltd. 695,000 4,241,307 Fukuyama Transporting Co., Ltd. 266,000 1,045,649 Futaba Corp. 16,000 433,071 Futaba Industrial Co., Ltd. 44,100 837,845 Glory, Ltd. 54,600 922,653 Gunma Bank, Ltd. 444,000 2,640,827 Gunze, Ltd. 223,000 976,976 Hachijuni Bank, Ltd. 589,000 3,887,927 Hankyu Corp. 174,000 640,072
3 Hankyu Department Stores, Inc. 116,000 696,497 Hanshin Electric Railway Co., Ltd. 253,000 943,640 Heiwa Corp. 81,500 1,173,008 Heiwado Co., Ltd. 38,000 579,163 Higo Bank, Ltd. 308,000 2,198,248 Hitachi Cable, Ltd. 236,000 1,017,542 Hitachi Kokusai Electric, Inc. 87,000 760,908 Hitachi Maxell, Ltd. 96,000 1,166,763 Hitachi Metals, Ltd. 201,000 1,281,006 Hitachi Software Engineering Co., Ltd. 33,800 563,727 Hitachi Transport System, Ltd. 76,000 633,009 Hitachi, Ltd. 4,970,000 29,696,012 Hokkoku Bank, Ltd. 239,000 1,041,637 Hokuetsu Paper Mills, Ltd. 162,000 880,974 House Foods Corp. 117,000 1,648,185 Hyakugo Bank, Ltd. 258,000 1,582,335 Hyakujishi Bank, Ltd. 314,000 1,782,165 * Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,164,194 Itoham Foods, Inc. 132,000 601,220 Iyo Bank, Ltd. 237,000 1,889,496 Japan Airport Terminal Co., Ltd. 68,300 637,862 Joyo Bank, Ltd. 892,000 4,534,886 Juroku Bank, Ltd. 349,000 1,868,471 Kadokawa Holdings, Inc. 15,200 540,500 Kagoshima Bank, Ltd. 154,000 1,171,822 Kamigumi Co., Ltd. 357,000 2,660,128 Kandenko Co., Ltd. 129,000 758,687 Kanto Auto Works, Ltd., Yokosuka 12,600 147,981 Katokichi Co., Ltd. 103,500 723,388 Kawasaki Heavy Industries, Ltd. 910,000 1,628,496 Keiyo Bank, Ltd. 212,000 1,012,548 Kikkoman Corp. 259,000 2,345,042 Kinden Corp. 167,000 1,235,604 Kirin Brewery Co., Ltd. 1,152,000 11,268,141 # Kissei Pharmaceutical Co., Ltd. 41,000 782,210 Kobe Steel, Ltd. 2,041,000 3,549,885 Koito Manufacturing Co., Ltd. 101,000 1,085,932 Kokuyo Co., Ltd. 81,200 1,041,108 Komori Corp. 52,000 787,596 Kuraray Co., Ltd. 499,000 4,421,577 Kyocera Corp. 238,800 18,270,139 KYORIN Pharmaceutical Co., Ltd. 52,000 648,607 Maeda Corp. 129,000 711,651 Makita Corp. 209,000 4,069,632 Marubeni Corp. 1,942,000 6,128,947 Marui Co., Ltd. 408,600 5,669,748 Maruichi Steel Tube, Ltd. 117,000 2,495,996 Matsushita Electric Industrial Co., Ltd. 3,561,135 53,046,962 Matsushita Electric Works, Ltd. 403,000 3,331,039 Meiji Seika Kaisha, Ltd. Tokyo 292,000 1,421,273 Millea Holdings, Inc. 2,296 30,391,067 Mitsubishi Gas Chemical Co., Inc. 305,000 1,501,802 Mitsubishi Heavy Industries, Ltd. 4,791,000 12,331,213 Mitsubishi Logistics Corp. 106,000 1,010,933
4 Mitsubishi Materials Corp. 975,000 2,134,057 Mitsubishi Securities Co., Ltd. 226,000 1,883,182 Mitsui Chemicals, Inc. 807,800 4,580,860 Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 1,037,198 Mitsui Marine & Fire Insurance Co., Ltd. 2,138,000 19,431,714 Mitsumi Electric Co., Ltd. 45,800 484,763 # Mori Seiki Co., Ltd. 63,500 656,559 Morinaga Milk Industry Co., Ltd. 160,000 660,253 Musashino Bank, Ltd. 21,300 973,546 Nagase & Co., Ltd. 101,000 986,075 Namco, Ltd. 11,000 148,462 Nanto Bank, Ltd. 317,000 1,627,254 NGK Insulators, Ltd. 216,000 2,248,607 NGK Spark Plug Co., Ltd. 144,000 1,619,451 Nichicon Corp. 72,900 958,028 Nichirei Corp. 180,000 674,476 # Nifco, Inc. 37,000 579,950 Nihon Unisys, Ltd. 69,100 646,881 Nippon Express Co., Ltd. 211,000 959,175 # Nippon Kayaku Co., Ltd. 128,000 690,344 Nippon Meat Packers, Inc., Osaka 248,000 3,063,990 Nippon Mitsubishi Oil Corp. 1,871,050 12,203,013 Nippon Paint Co., Ltd. 184,000 643,029 Nippon Sheet Glass Co., Ltd. 358,000 1,398,783 Nippon Shinpan Co., Ltd. 191,000 930,169 Nippon Shokubai Co., Ltd. 163,000 1,306,161 Nippon Suisan Kaisha, Ltd. 143,000 542,657 Nippon Television Network Corp. 9,400 1,314,856 Nippon Unipac Holding, Tokyo 1,080 4,197,550 Nipponkoa Insurance Co., Ltd. 909,000 6,286,099 * Nipro Corp. 42,000 627,234 # Nishimatsu Construction Co., Ltd. 364,000 1,227,341 Nissay Dowa General Insurance Co., Ltd. 383,000 1,926,866 Nisshin Seifun Group, Inc. 165,000 1,622,652 Nisshin Steel Co., Ltd. 753,000 1,832,813 Nisshinbo Industries, Inc. 305,000 2,340,054 NSK, Ltd. 319,000 1,546,136 Obayashi Corp. 751,000 3,798,076 Ogaki Kyoritsu Bank, Ltd. 227,000 1,342,026 Oita Bank, Ltd. 81,000 524,068 Oji Paper Co., Ltd. 924,000 4,886,947 Okumura Corp. 175,000 942,537 Onward Kashiyama Co., Ltd. 125,000 1,519,788 PanaHome Corp. 106,000 553,566 Pioneer Electronic Corp. 196,200 3,232,942 Promise Co., Ltd. 60,500 3,757,748 Q.P. Corp. 109,600 953,070 Rengo Co., Ltd. 180,000 930,307 * Resona Holdings, Inc. 1,873,000 3,562,488 Rinnai Corp. 37,100 931,643 Ryosan Co., Ltd. 30,500 743,967 San In Godo Bank, Ltd. 144,000 1,374,980 Sanwa Shutter Corp. 101,000 564,277 Sanyo Chemical Industries, Ltd. 54,000 390,521
5 # Sanyo Electric Co., Ltd. 1,981,000 5,373,145 # Sapporo Breweries, Ltd. 251,000 1,251,396 Sapporo Hokuyo Holdings, Inc. 271 1,956,724 Seino Transportation Co., Ltd. 193,000 1,687,227 Sekisui Chemical Co., Ltd. 557,000 3,857,932 Sekisui House, Ltd. 942,000 9,223,018 Seventy-seven (77) Bank, Ltd. 334,000 2,100,276 SFCG Co., Ltd. 8,010 2,035,396 Shiga Bank, Ltd. 272,000 1,682,500 Shikoku Bank, Ltd. 153,000 819,740 Shimachu Co., Ltd. 49,900 1,240,974 Shinko Securities Co., Ltd. 540,000 1,631,886 Shizuoka Bank, Ltd. 744,000 6,412,659 Sohgo Security Services Co.,Ltd. 73,300 933,443 Sumitomo Bakelite Co., Ltd. 105,000 653,160 Sumitomo Corp. 471,000 3,761,719 Sumitomo Electric Industries, Ltd. 899,000 9,429,436 Sumitomo Forestry Co., Ltd. 139,000 1,208,517 Sumitomo Metal Mining Co., Ltd. 215,000 1,375,456 Sumitomo Osaka Cement Co., Ltd. 348,000 835,765 Sumitomo Trust & Banking Co., Ltd. 21,000 124,207 Sumitomo Warehouse Co., Ltd. 114,000 583,082 Suzuken Co., Ltd. 56,700 1,505,343 Taiheiyo Cement Corp. 1,209,800 3,133,016 Taiyo Yuden Co., Ltd. 126,000 1,399,978 Takara Standard Co., Ltd. 118,000 754,442 Takashimaya Co., Ltd. 124,000 1,038,260 Teijin, Ltd. 893,000 3,920,705 Teikoku Oil Co., Ltd. 346,000 2,336,074 The Nisshin Oillio Group, Ltd. 48,000 271,062 Toda Corp. 203,000 829,553 Toho Bank, Ltd. 87,000 356,324 Tokai Tokyo Securities Co., Ltd. 155,000 456,439 Tokuyama Corp. 248,000 1,829,540 Tokyo Broadcasting System, Inc. 117,500 1,975,348 Tokyo Dome Corp. 110,000 598,434 Tokyo Style Co., Ltd. 133,000 1,353,008 Tokyo Tatemono Co., Ltd. 143,000 987,906 Toppan Forms Co., Ltd. 33,200 364,492 Toppan Printing Co., Ltd. 720,000 7,318,236 Toshiba TEC Corp. 181,000 799,920 Tostem Inax Holding Corp. 324,500 5,520,102 Toyo Ink Manufacturing Co., Ltd. 174,000 676,293 Toyo Seikan Kaisha, Ltd. 287,600 4,985,498 Toyo Suisan Kaisha, Ltd. 64,000 1,003,435 Toyoda Machine Works, Ltd. 54,000 521,549 Toyota Auto Body Co., Ltd. 86,000 1,683,836 TV Asahi Corp. 565 1,157,225 UNY Co., Ltd. 158,000 1,713,715 # Wacoal Corp. 149,000 1,981,030 Yamaguchi Bank, Ltd. 151,000 1,708,035 Yamaha Corp. 250,100 3,652,658 Yamanashi Chuo Bank, Ltd. 140,000 840,378 Yamatake Corp. 47,700 787,021
6 Yamato Kogyo Co., Ltd. 32,000 366,676 Yamazaki Baking Co., Ltd. 155,000 1,331,732 Yasuda Fire & Marine Insurance Co., Ltd. 431,000 4,354,284 Yodogawa Steel Works, Ltd. 123,000 649,356 Yokohama Rubber Co., Ltd. 410,000 1,684,596 York-Benimaru Co., Ltd. 29,300 814,490 ---------------- TOTAL COMMON STOCKS (Cost $581,985,790) 601,474,625 ---------------- INVESTMENT IN CURRENCY -- (0.2%) * Japanese Yen 8,010,462 ---------------- (Cost $8,054,614) TOTAL -- JAPAN (Cost $590,040,404) 609,485,087 ---------------- FRANCE -- (10.2%) COMMON STOCKS -- (10.2%) Air France 192,225 3,059,396 Air Liquide SA 9,820 1,714,730 Arcelor SA 167,800 3,336,596 # Assurances Generales de France (AGF) 177,559 14,242,010 # AXA 2,459,139 60,024,211 # BNP Paribas SA 1,368,012 91,964,838 # Bongrain SA 7,145 440,239 # * Business Objects SA 94,856 2,723,788 * Cap Gemini SA 167,370 5,339,463 # * CNP Assurances 33,992 2,278,353 # Compagnie de Saint-Gobain 455,792 26,216,746 # Compagnie Francaise d'Etudes et de Construction Technip SA 105,512 4,660,453 # Credit Agricole SA 27,709 718,511 # Eiffage SA 10,431 832,447 Esso SA 686 115,573 # Euler-Hermes SA 10,710 809,734 Faurecia SA 30,445 2,283,397 # Fimalac SA 46,887 2,147,169 * Gecina SA 29,500 3,577,499 # Generale des Establissements Michelin SA Series B 212,585 13,428,150 Havas SA 300,744 1,777,230 # Imerys SA 44,000 3,170,823 # LaFarge SA 253,511 22,940,260 LaFarge SA Prime Fidelity 85,542 7,800,086 # Lagardere S.C.A. SA 10,900 776,091 # Peugeot SA 238,144 14,252,610 # Pinault Printemps Redoute SA 100,151 9,912,856 Remy Cointreau SA 56,022 2,364,088 # Renault SA 317,738 27,183,519 # Schneider SA 318,189 23,394,591 SEB SA Prime Fidelity 9,900 1,017,849 # Societe BIC SA 52,288 2,807,476 # Societe des Ciments de Francais 35,796 3,271,505 # Societe Generale Paris 293,528 28,842,183
7 Sodexho Alliance SA 122,494 3,932,540 # Suez (ex Suez Lyonnaise des Eaux) 666,220 17,918,894 # Thomson Multimedia 345,508 8,772,529 # Unibail SA 58,749 7,466,708 # Valeo SA 103,212 4,319,434 Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 4,504 1,042,930 # Vivendi Universal SA 403,364 12,284,113 ---------------- TOTAL COMMON STOCKS (Cost $337,331,390) 445,161,618 ---------------- RIGHTS/WARRANTS -- (0.0%) * Air France Warrants 11/06/07 16,500 7,513 * Rallye SA Series B Warrants 11/30/05 18,020 1,330 ---------------- TOTAL RIGHTS/WARRANTS (Cost $28,587) 8,843 ---------------- TOTAL -- FRANCE (Cost $337,359,977) 445,170,461 ---------------- GERMANY -- (6.1%) COMMON STOCKS -- (6.1%) * Aachener und Muenchener Beteiligungs AG 33,828 2,733,015 Allianz AG 11,053 1,301,390 BASF AG 154,032 10,222,522 # Bayer AG 498,853 16,751,199 # Bayerische Motorenwerke AG 519,011 22,440,762 * Bayerische Vereinsbank AG 845,488 20,776,122 BHW Holding AG 10,667 183,041 Bilfinger & Berger Bau AG 23,702 1,125,170 # Commerzbank AG 594,131 12,903,783 # DaimlerChrysler AG 1,368,494 55,172,318 # Deutsche Bank AG 770,191 59,920,101 E.ON AG 12,593 1,093,248 Fraport AG 68,708 2,836,900 Fresenius Medical Care AG 18,966 1,489,708 * Heidelberger Druckmaschinen AG 46,167 1,425,361 Heidelberger Zement AG 78,542 5,023,273 # Hochtief AG 71,840 2,441,166 Hypo Real Estate Holding AG 84,277 3,318,984 * IVG Immobilien AG 30,276 550,018 * Lanxess 49,885 1,058,301 # * Linde AG 77,043 5,228,378
8 Merck KGAA 67,288 5,255,818 * MG Technologies AG 150,773 1,709,520 # Preussag AG 181,223 4,492,857 Salzgitter AG 13,041 305,122 SCA Hygiene Products AG 3,550 1,266,675 Suedzucker AG 26,428 498,662 ThyssenKrupp AG 450,803 8,276,198 Vattenfall Europe AG 90,913 3,557,582 # Volkswagen AG 295,657 13,011,886 ---------------- TOTAL -- GERMANY (Cost $248,181,818) 266,369,080 ---------------- SWITZERLAND -- (5.9%) COMMON STOCKS -- (5.9%) Baloise-Holding 214,760 11,213,948 Bank Sarasin & Cie Series B, Basel 180 302,919 Banque Cantonale Vaudoise 12,608 2,784,576 Berner Kantonalbank 15,175 2,237,805 Ciba Spezialitaetenchemie Holding AG 81,000 4,815,990 Cie Financiere Richemont AG Series A 1,251,000 38,086,850 * Clariant AG 64,982 910,858 # Credit Swisse Group 1,452,179 58,093,081 * Fischer (Georg) AG, Schaffhausen 1,280 379,447 # Givaudan SA 5,792 3,447,490 Holcim, Ltd. 199,770 12,143,764 Jelmoli Holding AG 500 679,112 Luzerner Kantonalbank AG 12,294 2,362,894 Pargesa Holding SA, Geneve 1,935 6,973,437 * PSP Swiss Property AG 109,600 4,835,314 Rieters Holdings AG 7,860 2,130,195 Sig Holding AG 30,888 6,567,412 * Sika Finanz AG, Baar 3,828 2,404,569 St. Galler Kantonalbank 10,146 2,583,336 * Swiss Life AG 132,137 17,447,146 # Swiss Reinsurance Co., Zurich 330,715 20,472,030 * Syngenta AG 165,100 17,067,625 # Unaxis Holding AG 45,400 6,370,296 * Valiant Holding AG 39,295 3,461,651 * Valora Holding AG 12,170 2,670,439 * Zurich Financial SVCS AG 152,206 25,283,580 ---------------- TOTAL -- SWITZERLAND (Cost $188,429,435) 255,725,764 ---------------- AUSTRALIA -- (4.5%) COMMON STOCKS -- (4.4%) Amcor, Ltd. 881,869 4,510,853 AMP, Ltd. 1,026,864 5,103,408 Ansell, Ltd. 303,463 2,103,777
9 APN News & Media, Ltd. 509,371 1,958,875 # Australand Property Group 674,862 718,280 AWB, Ltd. 364,594 1,223,471 AXA Asia Pacific Holdings, Ltd. 2,837,724 9,943,499 Bluescope Steel, Ltd. 1,252,100 7,606,018 Boral, Ltd. 944,335 4,224,733 Brickworks, Ltd. 37,510 285,742 Caltex Australia, Ltd. 238,359 2,710,833 Commonwealth Bank of Australia 1,376,094 38,441,344 CSR, Ltd. 1,514,337 2,826,140 Downer Group, Ltd. 225,933 900,086 Futuris Corp., Ltd. 531,719 677,624 Insurance Australiz Group, Ltd. 763,270 3,361,898 Lend Lease Corp., Ltd. 568,460 5,236,997 Lion Nathan, Ltd. 871,345 4,827,362 Mayne Group, Ltd. 1,315,561 4,588,824 Mirvac, Ltd. 1,229,901 3,098,714 National Australia Bank, Ltd. 1,823,878 43,291,233 Onesteel, Ltd. 505,842 957,969 Orica, Ltd. 51,604 612,186 Origin Energy, Ltd. 817,347 4,402,584 Paperlinx, Ltd. 727,704 1,272,060 Publishing and Broadcasting, Ltd. 219,621 2,522,066 Quantas Airways, Ltd. 3,489,827 8,465,231 Rinker Group, Ltd. 982,162 9,119,299 Santos, Ltd. 972,348 7,385,686 Seven Network, Ltd. 211,508 1,137,210 Stockland Trust Group 22,867 95,265 * Stockland Trust Group Issue 05 772 3,184 WMC Resources, Ltd. 1,821,249 10,609,212 ---------------- TOTAL COMMON STOCKS (Cost $133,957,352) 194,221,663 ---------------- INVESTMENT IN CURRENCY -- (0.1%) * Australian Dollar 3,698,009 ---------------- (Cost $3,701,213) TOTAL -- AUSTRALIA (Cost $137,658,565) 197,919,672 ---------------- NETHERLANDS -- (4.4%) COMMON STOCKS -- (4.4%) ABN AMRO Holding NV 35,897 833,655 Aegon NV 2,897,384 37,096,508 DSM NV 134,117 8,977,717 # Hunter Douglas NV 94,242 4,873,152 IHC Caland NV 16,740 1,073,392 ING Groep NV 2,065,009 57,137,284 * Koninklijke Ahold NV 1,815,643 13,705,566 Koninklijke KPN NV 2,458,914 19,554,154 Koninklijke Nedlloyd NV 21,621 1,483,685 Koninklijke Philips Electronics NV 1,412,706 36,135,774
10 NV Holdingsmij de Telegraaf 6,800 146,078 VNU NV 387,846 10,550,466 ---------------- TOTAL COMMON STOCKS (Cost $157,028,179) 191,567,431 ---------------- RIGHTS/WARRANTS -- (0.0%) * SBM Offshore Coupons 16,740 0 ---------------- (Cost $0) TOTAL -- NETHERLANDS (Cost $157,028,179) 191,567,431 ---------------- HONG KONG -- (2.9%) COMMON STOCKS -- (2.9%) Cheung Kong Holdings, Ltd. 2,727,000 24,802,772 China Overseas Land & Investment, Ltd. 1,864,000 348,558 China Travel International Investment, Ltd. 680,000 187,219 China Unicom, Ltd. 5,118,000 4,103,851 # Citic Ka Wah Bank, Ltd. 1,272,000 468,472 Citic Pacific, Ltd. 934,000 2,598,145 Great Eagle Holdings, Ltd. 308,987 703,437 Hang Lung Development Co., Ltd. 2,518,000 4,294,704 Henderson Land Development Co., Ltd. 1,122,000 5,103,391 Hong Kong and Shanghai Hotels, Ltd. 892,417 932,191 Hopewell Holdings, Ltd. 1,455,000 3,593,405 Hutchison Whampoa, Ltd. 3,751,000 32,550,877 Hysan Development Co., Ltd. 2,157,039 4,339,438 # Kerry Properties, Ltd. 2,312,291 5,059,302 New World Development Co., Ltd. 3,131,239 3,266,789 Shanghai Industrial Holdings, Ltd. 1,094,000 2,120,039 # Shangri-La Asia, Ltd. 3,000,733 4,530,388 # Sino Land Co., Ltd. 8,212,433 8,409,841 Tsim Sha Tsui Properties, Ltd. 472,000 815,730 Union Bank of Hong Kong, Ltd. 364,000 450,473 Wharf Holdings, Ltd. 3,438,214 11,212,895 # Wheelock and Co., Ltd. 3,940,000 5,674,640 Wheelock Properties, Ltd. 1,485,000 761,763 ---------------- TOTAL -- HONG KONG (Cost $112,259,789) 126,328,320 ---------------- SWEDEN -- (2.7%) COMMON STOCKS -- (2.7%) Carbo AB 2,900 70,670 Castellum AB 4,100 158,082 Electrolux AB Series B 324,100 7,084,855 Gambro AB Series A 555,400 7,366,291 Gambro AB Series B 216,300 2,881,955 Holmen AB Series A 6,300 178,842 # Holmen AB Series B 155,700 4,187,532
11 # NCC AB Series B 59,700 875,994 Nordic Baltic Holdings AB 2,603,100 23,777,113 Skandinaviska Enskilda Banken Series A 368,800 6,344,263 Skandinaviska Enskilda Banken Series C 9,800 161,411 # * SKF AB Redeemable Shares Series A 22,650 75,795 * SKF AB Redeemable Shares Series B 29,700 99,387 SKF AB Series A 90,600 926,347 SKF AB Series B 118,800 1,213,623 SSAB Swedish Steel Series A 180,800 4,395,242 SSAB Swedish Steel Series B 60,500 1,420,951 # Svenska Cellulosa AB Series A 19,000 652,990 Svenska Cellulosa AB Series B 221,100 7,527,170 Telia AB 2,582,000 12,778,300 Trelleborg AB Series B 160,600 2,495,014 Volvo AB Series A 243,200 9,607,395 Volvo AB Series B 443,400 18,127,730 Whilborg Fastigheter AB Class B 173,980 3,510,524 # * Wihlborgs Fastigheter AB 34,796 818,350 ---------------- TOTAL COMMON STOCKS (Cost $88,187,543) 116,735,826 ---------------- RIGHTS/WARRANTS -- (0.0%) * SSAB Svenskt AB Redemption Rights 05/23/05 180,800 87,473 * SSAB Svenskt AB Series B Redemption Rights 05/23/05 60,500 34,962 * TeliaSonera AB Redeemable Rights 06/09/05 2,317,000 221,083 ---------------- TOTAL RIGHTS/WARRANTS (Cost $0) 343,518 ---------------- INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona 14,372 ---------------- (Cost $14,635) TOTAL -- SWEDEN (Cost $88,202,178) 117,093,716 ---------------- SPAIN -- (2.6%) COMMON STOCKS -- (2.6%) Acerinox SA 261,360 3,771,894 Arcelor SA 30,000 594,540 Autopistas Concesionaria Espanola SA 310,251 6,919,589 Banco de Andalucia 900 79,322 Banco de Sabadell SA 154,021 4,039,655 # Banco Pastor SA 59,400 2,217,359 Banco Santander Central Hispanoamerica SA 84,304 963,043 # Cementos Portland SA 21,016 1,443,017 Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 2,135,749 # Ebro Puleva SA 120,322 2,164,453 # Endesa SA, Madrid 1,136,646 24,738,040 Gas Natural SA, Buenos Aires 121,385 3,402,534 # Iberdrola SA 535,000 13,646,506 # Iberia Lineas Aereas de Espana SA 617,500 1,951,947
12 # Inmobiliaria Urbis SA 96,328 1,634,652 Repsol SA 1,289,224 32,239,985 Sociedad General de Aguas de Barcelona SA 119,484 2,406,473 * Sociedad General de Aguas de Barcelona SA 1,194 23,994 # Sol Melia SA 157,217 1,650,123 Union Fenosa SA 230,000 6,921,699 Vallehermoso SA 46,125 929,543 ---------------- TOTAL -- SPAIN (Cost $70,367,226) 113,874,117 ---------------- ITALY -- (2.3%) COMMON STOCKS -- (2.3%) * Alitalia Linee Aeree Italiane SpA Series A 6,690,000 2,126,779 # Banca Antoniana Popolare Veneta SpA 83,000 2,649,800 # Banca Monte Dei Paschi di Siena SpA 2,279,872 8,187,429 # * Banca Nazionale del Lavoro SpA 2,230,687 7,519,362 # Banca Popolare di Lodi Scarl 437,995 4,271,876 Banca Popolare di Milano 730,208 7,398,062 # Benetton Group SpA 181,249 1,644,732 # Buzzi Unicem SpA 67,793 975,483 # Caltagirone Editore SpA 184,888 1,651,000 Capitalia SpA 2,992,113 15,632,746 # CIR SpA (Cie Industriale Riunite), Torino 500,000 1,381,906 # Compagnia Assicuratrice Unipol SpA 745,685 2,953,366 # * Edison SpA 1,734,262 3,929,021 Erg SpA 197,993 3,067,753 # * Fiat SpA 1,054,970 7,108,155 # Italcementi SpA 444,060 6,857,544 # Italmobiliare SpA, Milano 33,664 2,091,219 Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 122,539 Milano Assicurazioni SpA 182,000 1,034,660 # Pirelli & Co. SpA 1,486,658 1,640,719 # SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 4,368,323 # San Paolo-IMI SpA 833,105 11,571,110 Societe Cattolica di Assicurazoni Scarl SpA 8,800 384,956 ---------------- TOTAL COMMON STOCKS (Cost $85,190,508) 98,568,540 ---------------- RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 2007 51,693 12,086 ---------------- (Cost $0) TOTAL -- ITALY (Cost $85,190,508) 98,580,626 ---------------- IRELAND -- (1.8%) COMMON STOCKS -- (1.8%) Allied Irish Banks P.L.C. 688,656 14,288,890 Bank of Ireland P.L.C. 1,181,012 17,929,477
13 CRH P.L.C. 1,243,314 31,389,925 * Elan Corp. P.L.C. 587,038 4,481,845 Irish Permanent P.L.C. 650,175 10,813,430 ---------------- TOTAL -- IRELAND (Cost $73,640,064) 78,903,567 ---------------- FINLAND -- (1.2%) COMMON STOCKS -- (1.2%) Fortum Oyj 383,200 5,804,712 Huhtamaki Van Leer Oyj 2,300 34,923 Kemira GrowHow Oyj 21,542 166,892 Kemira Oyj 101,377 1,349,484 Kesko Oyj 157,000 3,763,045 Metso Oyj 219,166 4,387,953 M-Real Oyj Series B 253,400 1,367,837 Okobank Class A 65,000 1,036,945 Outokumpu Oyj Series A 351,300 4,845,269 Rautaruukki Oyj Series K 75,900 1,069,234 Stora Enso Oyj Series R 922,500 12,120,767 Upm-Kymmene Oyj 865,900 16,741,637 Wartsila Corp. Oyj Series B 59,400 1,787,015 ---------------- TOTAL -- FINLAND (Cost $47,739,726) 54,475,713 ---------------- BELGIUM -- (1.2%) COMMON STOCKS -- (1.2%) Ackermans & Van Haaren SA 4,187 166,139 Banque Nationale de Belgique 1,049 4,308,998 Bekaert SA 2,787 206,610 Cofinimmo SA 1,108 175,964 # * Cumerio 70,740 974,956 * Cumerio VVPR 2,009 74 # Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 231,485 13,660,326 # Dexia SA 191,251 4,149,578 D'Ieteren SA 431 85,582 # Groupe Bruxelles Lambert 55,500 4,720,650 * ING Bank Belgium NV 128 0 Interbrew SA 196,392 6,490,050 KBC Bancassurance Holding SA 127,286 10,318,758 # Nationale a Portefeuille 4,029 853,844 # Suez (ex Suez Lyonnaise des Eaux) 95,400 2,568,186 * Umicore-Strip VVPR 2,009 270 Union Miniere SA 70,740 5,556,572 ---------------- TOTAL -- BELGIUM (Cost $39,649,089) 54,236,557 ----------------
14 DENMARK -- (1.2%) COMMON STOCKS -- (1.2%) Carlsberg A.S. Series B 35,725 1,748,981 # Codan A.S. 57,000 2,788,695 Danisco A.S. 90,330 6,219,533 Danske Bank A.S. 481,453 13,815,709 * Jyske Bank A.S. 89,350 3,413,511 Nordea AB 475,918 4,348,109 Rockwool, Ltd. 16,200 1,124,376 Sydbank A.S. 71,200 1,477,059 Tele Danmark A.S. 380,150 16,760,739 ---------------- TOTAL -- DENMARK (Cost $36,729,428) 51,696,712 ---------------- NORWAY -- (1.0%) COMMON STOCKS -- (1.0%) Den Norske Bank ASA Series A 905,394 8,757,199 * Fred Olsen Energy ASA 34,000 682,271 # Norsk Hydro ASA 287,800 23,325,408 Norske Skogindustrier ASA Series A 247,500 3,801,116 Orkla ASA Series A 96,900 3,302,860 Prosafe ASA 7,300 219,358 Storebrand ASA 415,300 3,455,309 ---------------- TOTAL -- NORWAY (Cost $36,542,042) 43,543,521 ---------------- SINGAPORE -- (0.7%) COMMON STOCKS -- (0.7%) # Creative Technology Co., Ltd. 39,550 314,458 DBS Group Holdings, Ltd. 813,000 6,769,561 Fraser & Neave, Ltd. 756,290 7,112,115 Keppel Land, Ltd. 258,000 352,261 Neptune Orient Lines, Ltd. 189,000 378,024 Overseas Chinese Banking Corp., Ltd. 94,000 782,999 SembCorp Industries, Ltd. 690,900 938,841 Singapore Airlines, Ltd. 1,258,000 8,653,781 Singapore Land, Ltd. 813,000 2,529,545 United Overseas Bank, Ltd. 66,000 565,603 # United Overseas Land, Ltd. 1,734,000 2,282,735 ---------------- TOTAL -- SINGAPORE (Cost $26,577,243) 30,679,923 ----------------
15 PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) Banco Comercial Portugues SA 2,332,042 6,034,412 Banco Espirito Santo e Comercial de Lisboa 192,268 3,018,327 BPI SGPS SA 635,057 2,402,573 Cimpor Cimentos de Portugal SA 385,415 2,067,538 Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,487,422 ---------------- TOTAL -- PORTUGAL (Cost $14,634,454) 16,010,272 ---------------- GREECE -- (0.3%) COMMON STOCKS -- (0.3%) * Agricultural Bank of Greece S.A. 123,600 895,249 Alpha Credit Bank 42,048 1,155,740 Bank of Greece 8,520 1,075,583 Bank of Piraeus S.A. 4,600 82,240 * Commercial Bank of Greece 44,760 1,371,166 EFG Eurobank Ergasias S.A. 60,097 1,851,458 Hellenic Petroleum S.A. 159,140 1,530,147 Hellenic Telecommunication Organization Co. S.A. 276,079 4,918,577 National Bank of Greece 20,176 680,936 ---------------- TOTAL -- GREECE (Cost $9,708,569) 13,561,096 ---------------- AUSTRIA -- (0.3%) COMMON STOCKS -- (0.3%) Bank Austria Creditanstalt AG 70,493 6,932,327 Bohler Uddeholm AG 6,402 826,246 Voestalpine AG 62,211 4,194,277 Wienerberger AG 10,244 453,991 ---------------- TOTAL COMMON STOCKS (Cost $8,010,878) 12,406,841 ---------------- RIGHTS/WARRANTS -- (0.0%) * Boehler-Uddeholm AG Rights 06/02/05 6,402 0 ---------------- (Cost $0) TOTAL -- AUSTRIA (Cost $8,010,878) 12,406,841 ---------------- EMU -- (0.2%) INVESTMENT IN CURRENCY -- (0.2%) * Euro Currency 8,495,382 ---------------- (Cost $8,683,335)
16 NEW ZEALAND -- (0.1%) COMMON STOCKS -- (0.1%) Auckland International Airport, Ltd. 399,312 575,334 Carter Holt Harvey, Ltd. 1,955,577 2,456,271 Fletcher Building, Ltd. 693,880 3,045,029 ---------------- TOTAL -- NEW ZEALAND (Cost $5,397,217) 6,076,634 ---------------- MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Rekapacific Berhad 691,000 0 ---------------- (cost $1,085,853)
FACE AMOUNT VALUE+ ---------------- ---------------- (000) TEMPORARY CASH INVESTMENTS -- (20.6%) ^ Repurchase Agreement, Deutsche Bank Securities, Merrill Lynch & Mizuho Securities USA 2.96%, 3.07%, and 2.98%, respectively, 06/01/05 (Collateralized by $1,247,813,560 U.S. TIPS 1.875%, 07/15/13 and 3.375%, 01/15/07; U.S. STRIPS, rates ranging from 0% to 10.75%, maturities ranging from 08/15/05 to 02/15/31; GNMA's, rates ranging from 3.75% to 5.75%, maturities ranging from 01/20/34 to 05/20/35; AID-Israel, rates ranging from 0% to 5.50%, maturities ranging from 11/01/13 to 09/18/23; & U.S. Treasury Notes, rates ranging from 1.125% to 4.75%, maturities ranging from 06/30/05 to 02/15/15, valued at $915,552,116) to be repurchased at $897,667,509 (Cost $897,592,866) $ 897,593 897,592,866 ---------------- TOTAL INVESTMENTS - (100.0%) (Cost $3,763,255,811) $ 4,364,903,149 ----------------
- ---------- + Securities have been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. See accompanying Notes to Financial Statements. 17 THE DFA INVESTMENT TRUST COMPANY THE DFA INTERNATIONAL VALUE SERIES STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2005 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) (UNAUDITED) ASSETS: Investments at Value (including $845,639 of securities on loan) $ 4,364,903 Receivables: Investment Securities Sold 122 Dividends, Interest, and Tax Reclaims 11,301 Fund Shares Sold 6,763 Securities Lending Income 1,018 Prepaid Expenses and Other Assets 17 ------------- Total Assets 4,384,124 ------------- LIABILITIES: Payables: Upon Return of Securities Loaned 897,593 Investment Securities Purchased 9,084 Fund Shares Redeemed 323 Due to Advisor 575 Loan Payable 241 Accrued Expenses and Other Liabilities 247 ------------- Total Liabilities 908,063 ------------- NET ASSETS $ 3,476,061 ============= SHARES OUTSTANDING, $0.01 PAR VALUE (Unlimited Number of Shares Authorized) 221,948,580 ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.66 ============= Investments at Cost $ 3,763,256 =============
See accompanying Notes to Financial Statements. 17 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MAY 31, 2005 (AMOUNTS IN THOUSANDS) (UNAUDITED) INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $6,624) $ 59,004 Interest 243 Income from Securities Lending 2,820 ------------- Total Investment Income 62,067 ------------- EXPENSES Investment Advisory Services 3,260 Accounting & Transfer Agent Fees 655 Custodian Fees 381 Legal Fees 8 Audit Fees 12 Shareholders' Reports 14 Trustees' Fees and Expenses 10 Other 42 ------------- Total Expenses 4,382 ------------- NET INVESTMENT INCOME (LOSS) 57,685 ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on Investment Securities Sold 62,333 Net Realized Gain (Loss) on Foreign Currency Transactions (82) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (67,392) Translation of Foreign Currency Denominated Amounts (654) ------------- NET GAIN (LOSS) (5,795) ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 51,890 =============
See accompanying Notes to Financial Statements. 18 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
SIX MONTHS YEAR ENDED ENDED MAY 31, NOV. 30, 2005 2004 ------------ ------------ (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 57,685 $ 49,525 Net Realized Gain (Loss) on Investment Securities Sold 62,333 115,062 Net Realized Gain (Loss) on Foreign Currency Transactions (82) (332) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency (67,392) 436,284 Translation of Foreign Currency Denominated Amounts (654) 162 ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 51,890 600,701 ------------ ------------ Distributions From: Net Investment Income (26,491) (44,310) Net Short-Term Gains (2,493) -- Net Long-Term Gains (104,987) -- ------------ ------------ Total Distributions (133,971) (44,310) ------------ ------------ Capital Share Transactions (1): Shares Issued 664,859 728,312 Shares Issued in Lieu of Cash Distributions 131,569 42,852 Shares Redeemed (42,329) (128,290) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 754,099 642,874 ------------ ------------ Total Increase (Decrease) 672,018 1,199,265 NET ASSETS Beginning of Period 2,804,043 1,604,778 ------------ ------------ End of Period $ 3,476,061 $ 2,804,043 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 41,322 51,724 Shares Issued in Lieu of Cash Distributions 8,398 3,072 Shares Redeemed (2,638) (9,358) ------------ ------------ 47,082 45,438 ============ ============
See accompanying Notes to Financial Statements. 19 THE DFA INVESTMENT TRUST COMPANY THE DFA INTERNATIONAL VALUE SERIES 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, 2005 2004 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 ------------ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.27 0.33 0.27 0.24 0.27 0.27 Net Gains (Losses) on Securities (Realized and Unrealized) 0.10 3.61 3.06 (0.78) (1.49) (0.31) ------------ ------------ ------------ ------------ ------------ ------------ Total from Investment Operations 0.37 3.94 3.33 (0.54) (1.22) (0.04) - --------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.15) (0.30) (0.25) (0.25) (0.27) (0.26) Net Realized Gains (0.60) -- (0.01) (0.03) (0.43) (0.81) ------------ ------------ ------------ ------------ ------------ ------------ Total Distributions (0.75) (0.30) (0.26) (0.28) (0.70) (1.07) - --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.66 $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 ================================================================================================================================= Total Return 2.31%# 32.15% 36.24% (5.53)% (10.75)% (0.51)% - --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,476,061 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481 Ratio of Expenses to Average Net Assets 0.27%* 0.28% 0.30% 0.30% 0.29% 0.29% Ratio of Net Investment Income to Average Net Assets 3.55%* 2.35% 2.61% 2.36% 2.32% 2.13% Portfolio Turnover Rate 5%# 15% 14% 18% 6% 9%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 20 THE DFA INVESTMENT TRUST COMPANY THE DFA INTERNATIONAL VALUE SERIES 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. The Trust consists of twenty-one series, of which The DFA International Value Series (the "Series") is presented in this report. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the 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 requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Series which are listed on a securities exchange are valued at the last quoted sale price. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the mean between the quoted bid and asked prices. Securities for which quotations are not readily available, or for which market quotations have become unreliable, are valued in good faith at fair value using methods approved by the Board of Trustees. The Series 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 Series is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the Series prices its shares at the close of the NYSE, the Series 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 Series' 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 Trust 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 Trust utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of such prices will have a material impact on the net asset value of a Series. When a Series uses fair value pricing, the values assigned to the Series' 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 Series whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective 21 accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates. Exchange gains or losses are realized upon ultimate receipt or disbursement. The Series does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest dividends and foreign withholding taxes recorded on the books of the Series and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may defer payment of a percentage of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Trustees' Fees and Expenses. At May 31, 2005, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities in the amount of $50,660. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Discount and premium on securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust are allocated using methods approved by the Board of Trustees, generally based on average net assets. The Series may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers exiting 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 Series accrue such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Series. For the six months ended May 31, 2005, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.20 of 1% of average daily net assets. Certain officers of the Trust are also officers, directors and shareholders of the Advisor. D. PURCHASES AND SALES OF SECURITIES: For the six months ended May 31, 2005, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands): Purchases $ 843,507 Sales 165,589
There were no purchases or sales of U.S. Government Securities during the six months ended May 31, 2005. 22 E. FEDERAL INCOME TAXES: The Series has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. The tax character of dividends and distributions declared and paid during the years ended November 30, 2004 and November 30, 2003 were as follows (amounts in thousands):
ORDINARY INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL ------------- ------------- -------- 2004 $ 44,310 -- $ 44,310 2003 30,082 $ 1,177 31,259
Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2004, the components of distributable earnings/(accumulated losses) were as follows (amounts in thousands):
TOTAL NET DISTRIBUTABLE UNDISTRIBUTED UNDISTRIBUTED EARNINGS NET INVESTMENT LONG-TERM (ACCUMULATED INCOME CAPITAL GAINS LOSSES) -------------- ------------- ------------- $ 22,727 $ 104,819 $ 127,546
Certain of the Series' investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. During the year ended November 30, 2004, the Series had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies of $10,083,171 and $12,003,955, respectively, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income. At May 31, 2005, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION/ TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ------------ ------------ ------------ -------------- $ 3,763,356 $ 692,851 $ (91,304) $ 601,547
F. 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 31, 2005. 23 2. 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 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. G. COMPONENTS OF NET ASSETS: At May 31, 2005, net assets consisted of (amounts in thousands):
UNREALIZED ACCUMULATED ACCUMULATED ACCUMULATED APPRECIATION NET NET REALIZED NET REALIZED (DEPRECIATION) UNREALIZED INVESTMENT GAIN (LOSS) FOREIGN OF INVESTMENT NET FOREIGN PAID-IN INCOME OF INVESTMENT EXCHANGE SECURITIES AND EXCHANGE TOTAL NET CAPITAL (LOSS) SECURITIES GAIN (LOSS) FOREIGN CURRENCY GAIN (LOSS) ASSETS ----------- ----------- ------------- ------------ ---------------- ----------- ----------- $ 2,771,495 $ 49,058 $ 54,235 $ (82) $ 601,647 $ (292) $ 3,476,061
H. LINE OF CREDIT: The Trust, together with other Dimensional-advised series, has entered into a $50 million unsecured discretionary line of credit effective June 2004 with its domestic custodian bank. Each series is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each series is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on June 27, 2006. Borrowings by the Series under the line of credit for the six months ended May 31, 2005 were as follows:
MAXIMUM AMOUNT WEIGHTED WEIGHTED NUMBER OF INTEREST BORROWED AVERAGE AVERAGE DAYS EXPENSE DURING INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD ------------- ------------ ----------- -------- -------------- 3.76% $ 241,250 1 $ 25 $ 241,250
At May 31, 2005, The DFA International Value Series had an outstanding borrowing under the line of credit of $241,250 plus accrued interest. The Trust, together with other Dimensional-advised series, has also entered into an additional $150 million unsecured line of credit effective April 3, 2005 with its international custodian bank. Each series is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. Each series is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires on April 2, 2006. There were no borrowings by the Series under the line of credit during the six months ended May 31, 2005. I. SECURITIES LENDING: As of May 31, 2005, the Series had securities on loan to broker/dealers, for which the Series held cash collateral. The Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% of the market value of the securities on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not 24 the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. The cash collateral received by the Series from securities on loan is invested in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for the repurchase agreements are held by a custodian bank until the agreements are repurchased. The Series paid fees for securities lending for the period ended May 31, 2005, which have been netted against the Income from Securities Lending on the Statements of Operations. For the six months ended May 31, 2005 the fees were approximately $1,219,000. J. CONTRACTUAL OBLIGATIONS: In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. 25 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Trust uses in voting proxies relating to securities held in the portfolio is available without charge, upon request, by calling collect: (310) 395-8005. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC's website at http://www.sec.gov and from the Advisor's website at http://www.dfaus.com and reflects the twelve-month period beginning July 1 and ending June 30. 26 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT At the Board meeting held on December 15, 2004 (the "Meeting"), the Board of Trustees of The DFA Investment Trust Company (the "Board") considered the continuation of the investment management agreement ("Advisory Agreement") for the series (the "Fund"). Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Advisory Agreement. The Independent Board Members, met with their independent counsel in advance of the Meeting to discuss the materials provided by the Advisor, the independent reports prepared by Lipper Analytical Services, Inc., and issues related to the continuation of the Advisory Agreement. At the Meeting, the Board considered a number of factors when considering the continuation of the Advisory Agreement for the Fund, including: (i) the nature, extent and quality of services provided by the Advisor to the Fund; (ii) the performance of the Fund and the Advisor; (iii) the fees and expenses borne by the Fund; (iv) the profitability realized by the Advisor from the relationship with the Fund; (v) whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of the advisory fee charged; (vi) comparisons of the services to be rendered and the amounts to be paid under other advisory contracts; and (vii) any benefits to be derived by the Advisor from its relationship with the Fund. When considering the nature and quality of the services provided by the Advisor to the Fund, the Board reviewed: (a) the scope and depth of the Advisor's organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor's investment advisory capabilities. The Board evaluated the Advisor's portfolio management process. The Board also considered the nature and character of non-investment management services provided by the Advisor. After analyzing the caliber of services provided by the Advisor to the Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to the Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund. In considering the performance of the Fund, the Board analyzed the Lipper reports, which compared the performance of the Fund with other funds in its respective peer group and peer universe, and noted that the performance of the Fund compared favorably with its peer group. The Board determined, among other things, that the performance of the Fund was acceptable as compared with relevant performance standards. When considering the fees and expenses borne by the Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Lipper reports. The Board concluded that the advisory fees and total expenses of the Fund over various periods were favorable in relation to its peer funds, and that the advisory fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large. The Board considered the profitability of the Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to the Fund, including administrative fees paid by the feeder portfolios. The Board considered the profitability to the Advisor of managing the Fund and other "non-1940 Act registered" investment vehicles. Upon closely examining the Advisor's profitability, the Board concluded, among other things, that it was reasonable. The Board also discussed whether economies of scale are realized by the Advisor with respect to the Fund as it grows larger, and the extent to which this is reflected in the level of advisory fee charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory fee charged were inapplicable to the Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund. After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Advisory Agreement for the Fund was in the best interests of the Fund and its shareholders. 27 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. Please see schedule of investments contained in the reports to stockholders included under Item 1 of this Report. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 9. 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 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. None. ITEM 11. 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 (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 second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) This item is not applicable. (a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. (a)(3) This item is not applicable. (b) 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: August 4, 2005 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By: /s/ David G. Booth ---------------------------------- David G. Booth Principal Executive Officer Dimensional Investment Group Inc. Date: August 4, 2005 By: /s/ Michael T. Scardina ---------------------------------- Michael T. Scardina Principal Financial Officer Dimensional Investment Group Inc. Date: August 4, 2005 EX-99.CERT 2 a2159865zex-99_cert.txt EX-99.CERT Exhibit 99.Cert CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, David G. Booth, certify that: 1. I have reviewed this report on Form N-CSR of Dimensional Investment Group Inc. (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) for the Registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principals; c) evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officers and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control 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: August 4, 2005 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 of Dimensional Investment Group Inc.; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) for the Registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principals; c) evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officers and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control 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: August 4, 2005 By: /s/ Michael T. Scardina ----------------------------------- Michael T. Scardina Principal Financial Officer Dimensional Investment Group Inc. EX-99.906CERT 3 a2159865zex-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 for the period ended May 31, 2005 (the "Report") fully complies with the requirements of Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934, as amended, as applicable; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. By: /s/ David G. Booth ---------------------------------- David G. Booth Principal Executive Officer Dimensional Investment Group Inc. Date: August 4, 2005 By: /s/ Michael T. Scardina ---------------------------------- Michael T. Scardina Principal Accounting Officer Dimensional Investment Group Inc. Date: August 4, 2005 -----END PRIVACY-ENHANCED MESSAGE-----