N-CSR 1 a2126365zn-csr.txt N-CSR UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-7436 ---------------------------------------------- THE DFA INVESTMENT TRUST COMPANY -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Catherine L. Newell, Esquire, Vice President and Secretary The DFA Investment Trust Company, 1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 310-395-8005 Date of fiscal year end: November 30 Date of reporting period: November 30, 2003 ITEM 1. REPORTS TO STOCKHOLDERS. ================================================================================ THE DFA INVESTMENT TRUST COMPANY THE GLOBAL VALUE SERIES THE GLOBAL LARGE COMPANY SERIES THE GLOBAL SMALL COMPANY SERIES ANNUAL REPORT YEAR ENDED NOVEMBER 30, 2003 ================================================================================ THE DFA INVESTMENT TRUST COMPANY ANNUAL REPORT TABLE OF CONTENTS
PAGE ------- THE DFA INVESTMENT TRUST COMPANY Management's Discussion and Analysis 1 Schedules of Investments 3 The Global Value Series 3 The Global Large Company Series 3 The Global Small Company Series 3 Statements of Assets and Liabilities 4 Statements of Operations 5 Statements of Changes in Net Assets 6 Financial Highlights 7 Notes to Financial Statements 8 Report of Independent Certified Public Accountants 12 DFA INVESTMENT DIMENSIONS GROUP INC. -- LARGE CAP INTERNATIONAL PORTFOLIO Schedule of Investments 13 Statement of Assets and Liabilities 24 Statement of Operations 25 Statements of Changes in Net Assets 26 Financial Highlights 27 Notes to Financial Statements 28 Report of Independent Certified Public Accountants 32 THE DFA INVESTMENT TRUST COMPANY Schedules of Investments 33 The U.S. Large Company Series 33 The U.S. Large Cap Value Series 38 The U.S. Small Cap Series 41 The DFA International Value Series 70 The Japanese Small Company Series 78 The Pacific Rim Small Company Series 88 The United Kingdom Small Company Series 96 The Continental Small Company Series 102 Statements of Assets and Liabilities 116 Statements of Operations 118 Statements of Changes in Net Assets 120 Financial Highlights 124 Notes to Financial Statements 128 Report of Independent Certified Public Accountants 134 FUND MANAGEMENT 135
This report is submitted for the information of the Funds' shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i MANAGEMENT'S DISCUSSION AND ANALYSIS GLOBAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2003 Global equity markets generally had positive returns for the year under review. For the year ended November 30, 2003, large cap U.S. stocks rose 15.09% as measured by the S&P 500(R) Index. When expressed in local currencies, prices rose in nine of the ten largest country constituents of the MSCI EAFE Index. Net returns were enhanced considerably by appreciation in the euro, Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona relative to the U.S. dollar. The overall effect of currency exchange rate changes was a material improvement in returns for U.S. dollar-based investors: total return for the MSCI EAFE Index (net dividends) was 7.64% in local currency and 24.23% in U.S. dollars. % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2003 ------------------------------------------------
LOCAL CURRENCY U.S. DOLLAR TEN LARGEST NON-U.S. DEVELOPED MARKETS RETURN RETURN ----------------------------------------- -------- ----------- United Kingdom 8.75% 20.20% Japan 10.89% 23.83% France 4.36% 25.05% Switzerland 6.19% 21.02% Germany 13.35% 35.77% Netherlands -7.05% 11.00% Australia 6.24% 35.23% Italy 8.50% 29.46% Spain 11.80% 34.09% Sweden 14.22% 35.75%
---------- Source: Morgan Stanley Capital International Mirroring the U.S. experience, large company growth stocks were the poorest-performing asset class in non-U.S. markets, while small company stocks had the best relative results. % TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2003 (U.S. DOLLARS) -------------------------------------------------------------- MSCI EAFE Small Cap Index 45.99% Citigroup EPAC Extended Market Index (int'l. small companies) 41.90% Russell 2000 Index 36.28% MSCI EAFE Value Index (net dividends) 27.79% MSCI EAFE Index (net dividends) 24.23% MSCI EAFE Growth Index (net dividends) 20.62% Russell 1000 Value Index 17.17% Russell 1000 Growth Index 16.75% S&P 500 Index 15.09%
GLOBAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW GLOBAL LARGE COMPANY SERIES The Global Large Company Series seeks to capture the returns of global large company stocks by purchasing shares of the U.S. Large Company Series and the Large Cap International Portfolio. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to global large company stocks, but does not attempt to track closely a specific equity index. The U.S. Large Company Series and the Large Cap International Portfolio held a total of 1,232 stocks in twenty-two developed country markets as of 1 November 30, 2003. The Series and the Portfolio were essentially fully invested in equities throughout the period: cash equivalents averaged less than 2.5% of their respective assets. As a result of the Global Large Company Series' diversified investment approach, performance was determined principally by broad structural trends in global equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, international stocks generally underperformed U.S. stocks; total returns were 24.23% for the MSCI EAFE Index (net dividends) and 15.09% for the S&P 500(R)Index of U.S. stocks. Total return for the Global Large Company Series over this period was 19.11%. GLOBAL VALUE SERIES The Global Value Series seeks to capture the returns of global large company value stocks by purchasing shares of two Master Funds that invest in such stocks: U.S. Large Cap Value Series and DFA International Value Series. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to global large company value stocks, but does not attempt to track closely a specific equity index. The Master Funds held a combined total of 811 stocks in twenty-two developed country markets, as of November 30, 2003, and were essentially fully invested in equities throughout the period: cash equivalents averaged less than 2.5% of Master Fund assets. As a result of the Global Value Series' diversified investment approach, performance was principally determined by broad structural trends in global equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, value stocks outperformed growth stocks in both the U.S. and international markets. Total returns were 17.17% for the Russell 1000 Value Index, 16.75% for the Russell 1000 Growth Index, 27.79% for the MSCI EAFE Value Index (net dividends), and 24.23% for the MSCI EAFE Growth Index (net dividends). Total return for the Global Value Series over this period was 27.99%. GLOBAL SMALL COMPANY SERIES The Global Small Company Series seeks to capture the returns of global small company stocks by purchasing shares of five Master Funds that individually invest in small company stocks in the United States, the United Kingdom, continental Europe, Japan and the Pacific Rim region, respectively. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Master Funds held a combined total of 7,153 stocks in twenty-one developed country markets, and were essentially fully invested in equities throughout the period: cash equivalents averaged less than 2.0% of each Master Fund's assets. As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in global equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, small company stocks outperformed large company stocks in both the U.S. and international markets. Total returns were 36.28% for the Russell 2000 Index, 15.09% for the S&P 500 Index, 41.90% for the Citigroup EPAC Extended Market Index, and 24.23% for the MSCI EAFE Index (net dividends). Total return for the Global Small Company Series over this period was 46.17%. 2 THE DFA INVESTMENT TRUST COMPANY SCHEDULES OF INVESTMENTS NOVEMBER 30, 2003 THE GLOBAL VALUE SERIES
VALUE+ ------------- Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company (50.0%) (3,032,037 Shares, Cost $38,798,104) $ 46,723,694 Investment in The DFA International Value Series of The DFA Investment Trust Company (50.0%) (3,771,056 Shares, Cost $42,198,913) 46,761,101 ------------- Total Investments(100%) (Cost $80,997,016)++ $ 93,484,795 =============
---------- ++ The cost for federal income tax purposes is $81,104,434 THE GLOBAL LARGE COMPANY SERIES
VALUE+ ------------- Investment in The U.S. Large Company Series of The DFA Investment Trust Company (49.4%) (Cost $19,481,231) $ 22,233,341 Investment in the Large Cap International Portfolio of the DFA Investment Dimensions Group Inc. (50.6%) (1,516,573 Shares, Cost $19,944,392) 22,217,794 ------------- Total Investments(100%) (Cost $39,425,623)++ $ 44,451,135 =============
---------- ++ The cost for federal income tax purposes is $39,987,707 THE GLOBAL SMALL COMPANY SERIES
VALUE+ ------------- Investment in The U.S. Small Cap Series of The DFA Investment Trust Company (50.1%) (4,630,997 Shares, Cost $48,239,483) $ 64,093,004 Investment in The Japanese Small Company Series of The DFA Investment Trust Company (13.3%) (Cost $16,591,671) 16,959,788 Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company (7.0%) (Cost $7,784,450) 8,951,115 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company (7.9%) (Cost $7,618,486) 10,097,855 Investment in The Continental Small Company Series of The DFA Investment Trust Company (21.7%) (Cost $20,219,982) 27,771,219 ------------- Total Investments (100%) (Cost $100,454,072)++ $ 127,872,981 =============
---------- ++ The cost for federal income tax purposes is $100,596,092 ---------- + See Note B to Financial Statements See accompanying Notes to Financial Statements. 3 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
THE THE THE GLOBAL GLOBAL GLOBAL LARGE SMALL VALUE COMPANY COMPANY SERIES SERIES SERIES ----------- ----------- ------------ ASSETS: Investments at Value $ 93,485 $ 44,451 $ 127,873 Cash 58 7 34 Receivables: From Advisor -- 6 -- Fund Shares Sold 839 289 130 ----------- ----------- ------------ Total Assets 94,382 44,753 128,037 ----------- ----------- ------------ LIABILITIES: Payables: Investment Securities Purchased 839 289 130 Due to Advisor 42 -- 25 Accrued Expenses and Other Liabilities 13 4 10 ----------- ----------- ------------ Total Liabilities 894 293 165 ----------- ----------- ------------ NET ASSETS $ 93,488 $ 44,460 $ 127,872 =========== =========== ============ SHARES OUTSTANDING $.01 PAR VALUE (Unlimited Number of Shares Authorized) 9,062,567 5,956,770 10,298,165 =========== =========== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.32 $ 7.46 $ 12.42 =========== =========== ============ Investments at Cost $ 80,997 $ 39,453 $ 100,454 =========== =========== ============ NET ASSETS CONSIST OF: Paid-in Capital 79,920 41,438 94,360 Accumulated Net Investment Income (Loss) 1,165 233 1,158 Accumulated Net Realized Gain (Loss) (85) (2,237) 4,906 Accumulated Net Realized Foreign Exchange Gain (Loss) -- -- 16 Unrealized Appreciation (Depreciation) from Investment Securities, Foreign Currency and Futures 12,488 5,026 27,422 Unrealized Net Foreign Exchange Gain (Loss) -- -- 10 ----------- ----------- ------------ Total Net Assets $ 93,488 $ 44,460 $ 127,872 =========== =========== ============
See accompanying Notes to Financial Statements. 4 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS)
THE THE THE GLOBAL GLOBAL GLOBAL LARGE SMALL VALUE COMPANY COMPANY SERIES SERIES SERIES --------- -------- --------- INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company $ 1,332 $ 196 $ 363 Dividends (Net of Foreign Taxes Withheld of $0, $0 and $104, respectively) -- 259 981 Interest -- 4 16 Income from Securities Lending -- 2 73 Expenses Allocated from Master Funds -- (8) (117) --------- -------- --------- Total Investment Income 1,332 453 1,316 --------- -------- --------- EXPENSES Accounting & Transfer Agent Fees 31 31 35 Legal Fees 2 1 5 Audit Fees 6 2 5 Shareholders' Reports 8 2 4 Trustee's Fees and Expenses -- 1 1 --------- -------- --------- Total Expenses 47 37 50 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor 42 (34) 36 --------- -------- --------- Net Expenses 89 3 86 --------- -------- --------- NET INVESTMENT INCOME (LOSS) 1,243 450 1,230 --------- -------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Capital Gain Distributions Received from The DFA Investment Trust Company 26 -- -- Net Realized Gain (Loss) on Investment Securities Sold (40) (597) 5,073 Net Realized Gain (Loss) on Futures -- 60 -- Net Realized Gain (Loss) on Foreign Currency Transactions -- 16 -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 16,930 6,294 30,137 Futures -- (8) -- Translation of Foreign Currency Denominated Amounts -- -- 10 --------- -------- --------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 16,916 5,749 35,236 --------- -------- --------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 18,159 $ 6,199 $ 36,466 ========= ======== =========
See accompanying Notes to Financial Statements. 5 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE THE GLOBAL GLOBAL LARGE VALUE SERIES COMPANY SERIES ------------------- ------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 -------- -------- -------- -------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 1,243 $ 553 $ 450 $ 179 Capital Gain Distributions Received from the DFA Investment Trust Company 26 12 -- -- Net Realized Gain (Loss) on Investment Securities Sold (40) (13) (597) (920) Net Realized Gain (Loss) on Futures -- -- 60 (170) Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 16,930 (3,671) 6,294 (1,166) Futures -- -- (8) 27 Translation of Foreign Currency Denominated Amounts -- -- -- -- -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations 18,159 (3,119) 6,199 (2,050) -------- -------- -------- -------- Distributions From: Net Investment Income (609) (141) (327) (97) Net Long-Term Gains (12) (172) -- -- -------- -------- -------- -------- Total Distributions (621) (313) (327) (97) -------- -------- -------- -------- Capital Share Transactions (1): Shares Issued 28,091 41,549 17,366 15,744 Shares Issued in Lieu of Cash Distributions 529 292 278 82 Shares Redeemed -- (17) (139) -- -------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions 28,620 41,824 17,505 15,826 -------- -------- -------- -------- Total Increase (Decrease) 46,158 38,392 23,377 13,679 NET ASSETS Beginning of Period 47,330 8,938 21,083 7,404 -------- -------- -------- -------- End of Period $ 93,488 $ 47,330 $ 44,460 $ 21,083 ======== ======== ======== ======== (1) SHARES ISSUED AND REDEEMED: Shares Issued 3,200 4,779 2,619 2,313 Shares Issued in Lieu of Cash Distributions 67 34 46 11 Shares Redeemed -- (2) (23) -- -------- -------- -------- -------- 3,267 4,811 2,642 2,324 ======== ======== ======== ======== THE GLOBAL SMALL COMPANY SERIES ---------------------- YEAR YEAR ENDED ENDED NOV. 30, NOV. 30, 2003 2002 ---------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 1,230 $ 397 Capital Gain Distributions Received from the DFA Investment Trust Company -- 35 Net Realized Gain (Loss) on Investment Securities Sold 5,073 (41) Net Realized Gain (Loss) on Futures -- -- Net Realized Gain (Loss) on Foreign Currency Transactions 16 5 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 30,137 (2,575) Futures -- -- Translation of Foreign Currency Denominated Amounts 10 3 ---------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations 36,466 (2,176) ---------- --------- Distributions From: Net Investment Income (465) (74) Net Long-Term Gains -- (14) ---------- --------- Total Distributions (465) (88) ---------- --------- Capital Share Transactions (1): Shares Issued 49,714 38,614 Shares Issued in Lieu of Cash Distributions 395 75 Shares Redeemed (1,458) -- ---------- --------- Net Increase (Decrease) from Capital Share Transactions 48,651 38,689 ---------- --------- Total Increase (Decrease) 84,652 36,425 NET ASSETS Beginning of Period 43,220 6,795 ---------- --------- End of Period $ 127,872 $ 43,220 ========== ========= (1) SHARES ISSUED AND REDEEMED: Shares Issued 5,345 4,276 Shares Issued in Lieu of Cash Distributions 48 9 Shares Redeemed (128) -- ---------- --------- 5,265 4,285 ========== =========
See accompanying Notes to Financial Statements. 6 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE GLOBAL VALUE SERIES ------------------------------------------------------ YEAR YEAR YEAR YEAR AUG. 27 ENDED ENDED ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 --------- --------- -------- -------- --------- Net Asset Value, Beginning of Period $ 8.17 $ 9.07 $ 9.52 $ 9.67 $ 10.00 --------- --------- -------- -------- --------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 2.11 0.11 0.15 0.14 0.06 Net Gain (Loss) on Securities (Realized and Unrealized) 0.14 (0.72) (0.18) (0.01) (0.39) --------- --------- -------- -------- --------- Total from Investrment Operations 2.25 (0.61) (0.03) 0.13 (0.33) ------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.10) (0.13) (0.04) (0.18) -- Net Realized Gains -- (0.16) (0.38) (0.10) -- --------- --------- -------- -------- --------- Total Distributions (0.10) (0.29) (0.42) (0.28) -- ------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.32 $ 8.17 $ 9.07 $ 9.52 $ 9.67 ================================================================================================= Total Return 28.01% (6.84)% (0.49)% 1.39% (3.30)%# ------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 93,488 $ 44,330 $ 8,938 $ 2,638 $ 917 Ratio of Expenses to Average Net Assets (1) 0.368% 0.375% 0.375% 0.47% 0.50%* Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses, and/or recovery of previously waived fees) (1) 0.298% 0.465% 0.805% 2.03% 5.22%* Ratio of Net Investment Income to Average Net Assets 1.96% 2.17% 2.21% 2.18% 2.62%* Ratio of Net Investment Income to Average Net Assets (excluding waivers and assumption of expenses) 2.03% 2.08% 1.78% 0.62% (2.32)% Portfolio Turnover Rate N/A N/A N/A N/A N/A ------------------------------------------------------------------------------------------------- THE GLOBAL LARGE COMPANY SERIES ------------------------------------------- YEAR YEAR YEAR AUG. 21 ENDED ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 --------- --------- -------- -------- Net Asset Value, Beginning of Period $ 6.36 $ 7.47 $ 8.91 $ 10.00 --------- --------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.10 0.10 0.10 0.02 Net Gain (Loss) on Securities (Realized and Unrealized) 1.09 (1.12) (1.46) (1.11) --------- --------- -------- -------- Total from Investrment Operations 1.19 (1.02) (1.36) (1.09) -------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.09) (0.09) (0.08) -- Net Realized Gains -- -- -- -- --------- --------- -------- -------- Total Distributions (0.09) (0.09) (0.08) -- -------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 7.46 $ 6.36 $ 7.47 $ 8.91 ====================================================================================== Total Return 19.07% (13.80)% (15.41)% (10.90)%# -------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 44,460 $ 21,083 $ 7,404 $ 190 Ratio of Expenses to Average Net Assets (1) 0.25% 0.25% 0.25% 0.25%* Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses, and/or recovery of previously waived fees) (1) 0.37% 0.57% 0.88% 3.37%* Ratio of Net Investment Income to Average Net Assets 1.29% 1.01% 0.44% 0.63%* Ratio of Net Investment Income to Average Net Assets (excluding waivers and assumption of expenses) 1.17% 0.69% (0.19)% (2.49)% Portfolio Turnover Rate N/A N/A N/A N/A -------------------------------------------------------------------------------------- THE GLOBAL SMALL COMPANY SERIES -------------------------------------------- YEAR YEAR YEAR AUG. 21 ENDED ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 ---------- --------- -------- -------- Net Asset Value, Beginning of Period $ 8.59 $ 9.08 $ 9.10 $ 10.00 ---------- --------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.13 0.10 0.10 0.04 Net Gain (Loss) on Securities (Realized and Unrealized) 3.79 (0.47) 0.07 (0.92) ---------- --------- -------- -------- Total from Investrment Operations 3.92 (0.37) 0.17 (0.88) -------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.09) (0.10) (0.05) (0.02) Net Realized Gains -- (0.02) (0.14) -- ---------- --------- -------- -------- Total Distributions (0.09) (0.12) (0.19) (0.02) -------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 12.42 $ 8.59 $ 9.08 $ 9.10 ====================================================================================== Total Return 46.17% 4.20% 1.87% (8.80)%# -------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 127,872 $ 43,220 $ 6,795 $ 759 Ratio of Expenses to Average Net Assets (1) 0.30% 0.375% 0.375% 0.375%* Ratio of Expenses to Average Net Assets (excluding waivers and assumption of expenses, and/or recovery of previously waived fees) (1) 0.26% 0.455% 1.065% 2.55%* Ratio of Net Investment Income to Average Net Assets 1.55% 1.81% 1.98% 2.62%* Ratio of Net Investment Income to Average Net Assets (excluding waivers and assumption of expenses) 1.59% 1.73% 1.29% 0.45% Portfolio Turnover Rate N/A N/A N/A N/A --------------------------------------------------------------------------------------
* Annualized # Non-annualized (1) Represents the combined ratio for the Series and its respective pro-rata share of its Master Fund Series'. N/A Refer to the respective Master Fund Series See accompanying Notes to Financial Statements. 7 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: The DFA Investment Trust Company (the "Trust" or "ITC") is an open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of twenty-five investment portfolios, of which three (the "Global Funds" or "Feeder Funds") are presented in this section of the report and eight (the "Master Funds") are presented elsewhere in this report. The Global Funds achieve their investment objectives by investing in other series within the Trust or a portfolio of DFA Investment Dimensions Group Inc. ("IDG") (collectively, the "Master Funds").
GLOBAL FUND (FEEDER FUND) MASTER FUNDS ------------------------------- ---------------------------------------------- The Global Value Series The U.S. Large Cap Value Series (ITC) The DFA International Value Series (ITC) The Global Large Company Series The U.S. Large Company Series (ITC) Large Cap International Portfolio (IDG) The Global Small Company Series The U.S. Small Cap Series (ITC) The Japanese Small Company Series (ITC) The United Kingdom Small Company Series (ITC) The Pacific Rim Small Company Series (ITC) The Continental Small Company Series (ITC)
At November 30, 2003, all of the Global Funds owned less than 7% of its Master Funds' net assets. The financial statements of the Master Funds are included in this report and should be read in conjunction with the financial statements of the Global Funds. In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America for investment companies. Such policies are consistently followed by the Trust in the preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The shares of the Master Funds held by the Global Funds are valued at their respective daily net asset values where the Master Funds are organized as regulated investment companies for federal income tax purposes. The U.S. Large Company Series, The Japanese Small Company Series, The United Kingdom Small Company Series, The Pacific Rim Small Company Series and The Continental Small Company Series are organized as partnerships (the "Partnerships"). The Global Funds reflect their proportionate interest in the net assets of those corresponding Master Funds. 8 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. 3. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Expenses directly attributable to a Global Fund are directly charged. Common expenses are allocated using methods approved by the Board of Trustees, generally based on average net assets. The Global Large Company Series and The Global Small Company Series each accrue their respective share of income and expenses daily on their investment in their corresponding Partnerships. All of the net investment income and realized and unrealized gains and losses from the security transactions and foreign currency of the Partnerships are allocated pro-rata among its investors at the time of such determination. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Master Funds. The Global Funds are not subject to a management fee. Effective August 21, 2000, the Advisor has agreed to reimburse the Global Funds to the extent necessary to keep the annual combined expenses of the Feeder Funds and their respective Master Funds to not more than the following percentages of average daily net assets: The Global Large Company Series 0.25 of 1% The Global Small Company Series 0.375 of 1%
Also, effective August 24, 2000, the Advisor has agreed to reimburse The Global Value Series to the extent necessary to keep the annual combined expenses of the Feeder Fund and its respective Master Funds to not more than 0.375 of 1% of average daily net assets. Until August 24, 2000, the Advisor had agreed to reimburse The Global Value Series to the extent necessary to keep the annual combined expenses of the Feeder Fund and its respective Master Funds to not more than 0.50 of 1% of average daily net assets. At any time that the direct and indirect expenses of the Global Funds are less than 0.25 of 1% for Global Large Company Series and 0.375 of 1% for Global Small Company Series and Global Value Series of its assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived during the prior thirty-six months. For the Global Large Company Series, at November 30, 2003, approximately $108,000 of previously waived fees were subject to future reimbursement to the Advisor over various periods not exceeding November 30, 2006 Certain officers of the Global Funds are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At November 30, 2003, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities as follows: The Global Value Series $ 921 The Global Large Company Series 425 The Global Small Company Series 1,140
9 E. FEDERAL INCOME TAXES: No provision for federal income taxes is required since it is the intention of the Global Funds to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute substantially all of its taxable income and capital gains to shareholders. Because income tax regulations differ from accounting principles generally accepted in the United States of America, the timing and character of income and capital gain distributions determined in accordance with tax regulations can differ from income and capital gains recognized for financial reporting purposes. Accordingly, the character of distributions and the composition of net assets for tax purposes can differ from those reflected in the financial statements. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid in capital, accumulated net realized gain (loss) or undistributed net investment income as appropriate, in the period the differences arise. These reclassifications have no effect on net assets or net asset value per share. Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. At November 30, 2003, gross unrealized appreciation and depreciation for federal income tax purposes of investment securities and foreign currencies was as follows (amounts in thousands):
GROSS UNREALIZED GROSS UNREALIZED APPRECIATION DEPRECIATION NET ---------------- ---------------- -------- The Global Value Series $ 12,380 -- $ 12,380 The Global Large Company Series 5,026 $ (563) 4,463 The Global Small Company Series 27,277 -- 27,277
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at November 30, its fiscal year end. As of November 30, 2003, the following Global Funds had capital loss carryforwards for federal income tax purposes (amounts in thousands):
EXPIRES ON NOVEMBER 30 ------------------------------- 2008 2009 2010 2011 TOTAL ---- ------ ------ ------ ------- The Global Large Company Series $ 8 $ 556 $ 625 $ 484 $ 1,673
Certain of the Master Fund's held by The Global Small Company Series investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. The Global Small Company Series received unrealized appreciation/(depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies of $131,789 and $29,084 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. F. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated at any time. There were no borrowings under the discretionary line of credit by the Global Funds during the year ended November 30, 2003. 10 The Global Funds, together with other Dimensional-advised portfolios, have also entered into an additional $150 million unsecured line of credit with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2004. There were no borrowings by the Global Funds under the line of credit with the international custodian bank during the year ended November 30, 2003. 11 REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS TO THE SHAREHOLDERS OF THE GLOBAL FUNDS, AS DEFINED, AND BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The Global Value Series, The Global Large Company Series and The Global Small Company Series (constituting portfolios within The DFA Investment Trust Company, hereafter referred to as the "Global Funds") at November 30, 2003, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Global Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2003 by correspondence with the transfer agent of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 15, 2004 12 LARGE CAP INTERNATIONAL PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ -------------- ----------------- UNITED KINGDOM -- (24.0%) COMMON STOCKS -- (24.0%) 3I Group P.L.C. 45,865 $ 480,390 * AWG P.L.C. 7,986 73,001 Aegis Group P.L.C. 66,140 113,752 Aggreko P.L.C. 11,000 26,391 * Alliance Unichem P.L.C. 24,000 207,416 Amec P.L.C. 20,143 94,836 Amvescap P.L.C. 54,800 388,305 * Arm Holdings P.L.C. 70,000 144,469 Associated British Ports Holdings P.L.C. 22,200 163,415 Aviva P.L.C. 167,475 1,333,602 BAA P.L.C. 75,662 614,858 BAE Systems P.L.C. 216,193 647,902 BBA Group P.L.C. 32,900 134,811 BG Group P.L.C. 256,980 1,209,897 BOC Group P.L.C. 34,279 477,833 BP Amoco P.L.C. 1,565,989 10,928,042 BPB P.L.C. 34,000 201,302 BT Group P.L.C. 632,919 1,891,333 * BTG P.L.C. 4,000 13,415 Balfour Beatty P.L.C. 24,382 90,996 Barclays P.L.C. 477,928 4,212,612 Barratt Developments P.L.C. 16,000 134,700 Berkeley Group P.L.C. 9,120 125,795 Boots Group P.L.C. 58,761 718,545 Brambles Industries P.L.C. 49,055 147,222 * British Airways P.L.C. 73,000 286,255 British American Tobacco P.L.C. 150,799 1,891,990 British Land Co. P.L.C. 35,452 337,942 * British Sky Broadcasting Group P.L.C. 141,100 1,635,619 Bunzl P.L.C. 32,078 244,817 Cable and Wireless P.L.C. 165,774 377,770 Cadbury Schweppes P.L.C. 147,035 936,923 * Canary Wharf Group P.L.C. 40,100 166,555 Capita Group P.L.C. 45,000 193,485 Carlton Communications P.L.C. 40,197 159,698 Carnival P.L.C. 14,729 516,771 Cattles P.L.C. 23,503 129,351 * Celltech P.L.C. 16,000 96,725 Centrica P.L.C. 304,552 991,271 Close Brothers Group P.L.C. 8,600 102,057 Cobham P.L.C. 7,650 148,806 Compass Group P.L.C. 158,612 953,407 * Corus Group P.L.C. 176,384 99,349 Davis Service Group P.L.C. 11,000 67,728 De la Rue P.L.C. 12,250 60,888 Diageo P.L.C. 223,519 2,787,068 Dixons Group P.L.C. 133,374 313,111 EMI Group P.L.C. 52,888 154,405 Electrocomponents P.L.C. 29,117 171,515 Emap P.L.C. 17,000 246,913 Enterprise Inns P.L.C. 12,000 193,072 FKI P.L.C. 39,662 75,035 Firstgroup P.L.C. 28,000 130,022 Friends Provident P.L.C. 118,000 262,306 GKN P.L.C. 51,160 235,589 Glaxosmithkline P.L.C. 429,162 $ 9,676,517 Granada Compass P.L.C. 195,974 414,571 Great Portland Estates P.L.C. 13,760 57,270 Great Universal Stores P.L.C. 71,695 933,734 HBOS P.L.C. 280,495 3,521,625 # HSBC Holdings P.L.C. 775,337 11,747,935 Hammerson P.L.C. 18,700 199,723 Hanson P.L.C. 50,000 348,703 Hays P.L.C. 120,259 262,674 Hilton Group P.L.C. 115,400 419,770 IMI P.L.C. 25,000 146,511 Imperial Chemical Industries P.L.C. 80,509 267,237 Imperial Tobacco Group P.L.C. 52,275 957,500 Intercontinental Hotels Group P.L.C. 52,091 481,320 * International Power P.L.C. 75,802 147,969 Invensys P.L.C. 250,836 86,281 Johnson Matthey P.L.C. 14,575 252,927 Kelda Group P.L.C. 26,600 206,211 Kesa Electricals P.L.C. 32,274 135,992 Kidde P.L.C. 59,000 105,785 Kingfisher P.L.C. 167,047 792,226 Land Securities Group P.L.C. 31,946 527,452 Legal and General Group P.L.C. 468,371 801,509 Liberty International P.L.C. 21,000 236,929 Lloyds TSB Group P.L.C. 411,242 2,906,929 Logicacmg P.L.C. 33,214 156,805 MFI Furniture Group P.L.C. 43,800 106,216 Man Group P.L.C. 21,694 532,425 Marks & Spencer Group P.L.C. 172,434 796,274 Misys P.L.C. 38,060 186,556 * Mitchells & Butlers P.L.C. 49,091 196,722 * My Travel Group P.L.C. 22,000 4,351 # National Grid Group P.L.C. 225,790 1,526,133 Next P.L.C. 20,660 396,187 Novar P.L.C. 21,464 47,252 Nycomed Amersham P.L.C. 47,379 613,587 Ocean Group P.L.C. 20,863 273,238 Pearson P.L.C. 55,818 622,077 Peninsular & Oriental Steam Navigation P.L.C. 48,886 205,990 Persimmon P.L.C. 19,000 152,277 Pilkington P.L.C. 91,182 140,355 Provident Financial P.L.C. 17,113 179,683 Prudential Corp. P.L.C. 145,039 1,113,161 RMC Group P.L.C. 18,000 189,615 Rank Group P.L.C. 40,651 202,752 Reckitt Benckiser P.L.C. 51,053 1,114,238 Reed International P.L.C. 89,700 738,964 Rentokill Initial P.L.C. 125,200 469,414 Reuters Holdings Group P.L.C. 101,040 426,619 Rexam P.L.C. 34,874 257,908 Rio Tinto P.L.C. 77,775 1,857,964 Rolls Royce Group P.L.C. 120,144 368,321 Royal & Sun Alliance Insurance Group P.L.C. 198,242 288,955 Royal Bank of Scotland Group P.L.C. 215,755 6,022,468 SSL International P.L.C. 12,000 65,785 Sabmiller P.L.C. 72,000 718,836
13
SHARES VALUE+ -------------- ----------------- Safeway P.L.C. 62,948 $ 303,676 Sage Group P.L.C. 86,600 269,955 Sainsbury (J.) P.L.C. 137,481 709,939 Schroders P.L.C. 15,000 167,687 Scottish & Newcastle P.L.C. 62,580 395,000 Scottish Hydro-Electric P.L.C. 61,800 693,528 Scottish Power P.L.C. 135,465 837,570 Securicor P.L.C. 35,700 54,031 Serco Group P.L.C. 24,933 75,579 Severn Trent P.L.C. 23,300 289,527 Shell Transport & Trading Co., P.L.C. 705,511 4,465,260 Signet Group P.L.C. 119,518 207,097 Slough Estates P.L.C. 28,200 204,186 Smith & Nephew P.L.C. 67,907 521,472 Smiths Industries P.L.C. 39,199 448,998 * Spirent P.L.C. 47,960 54,440 Stagecoach Holdings P.L.C. 93,831 130,715 * TI Automotive P.L.C. Series A 18,000 0 Tate & Lyle P.L.C. 32,700 179,967 Taylor Woodrow P.L.C. 38,814 159,544 Tesco P.L.C. 534,253 2,285,626 Tomkins P.L.C. 53,707 249,858 Unilever P.L.C. 212,459 1,845,277 United Business Media P.L.C. 22,000 189,658 United Utilities P.L.C. 53,900 458,406 Vodafone Group P.L.C. 4,196,424 9,635,089 WPP Group P.L.C. 84,000 804,692 Whitbread P.L.C. 19,911 247,073 William Hill P.L.C. 30,000 201,741 Wimpey (George) P.L.C. 26,386 154,747 Wolseley P.L.C. 39,909 511,012 Zeneca Group P.L.C. 124,200 5,637,105 ----------------- TOTAL -- COMMON STOCKS (Cost $119,647,689) 126,536,166 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling (Cost $26,644) 27,421 ----------------- TOTAL -- UNITED KINGDOM (Cost $119,674,333) 126,563,587 ----------------- JAPAN -- (20.4%) COMMON STOCKS -- (20.4%) AEON Co., Ltd. 18,000 581,812 Acom Co., Ltd. 7,500 302,684 Aderans Co., Ltd. 1,900 32,077 Advantest Corp. 5,570 398,220 Aeon Credit Service, Ltd. 2,700 115,130 Aiful Corp. 5,000 299,032 Ajinomoto Co., Inc. 35,000 375,183 *# All Nippon Airways Co., Ltd. 81,000 185,637 Alps Electric Co., Ltd. 9,000 127,374 Amada Co., Ltd. 22,000 108,072 Amano Corp. 3,000 20,544 *# Anritsu Corp. 6,000 40,979 Aoyama Trading Co., Ltd. 2,600 49,617 Ariake Japan Co., Ltd. 1,100 34,350 Asahi Breweries, Ltd. 27,000 223,850 Asahi Glass Co., Ltd. 62,000 456,282 Asahi Kasei Corp. 75,000 358,154 Asatsu-Dk, Inc. 2,600 $ 61,961 * Ashikaga Financial Group, Inc. 41,000 30,323 Autobacs Seven Co., Ltd. 1,800 38,870 Avex Inc. 1,000 17,348 Bandai Co., Ltd. 5,000 113,221 # Bank of Yokohama, Ltd. 60,000 254,200 Bellsystem24, Inc. 170 35,701 Benesse Corp. 5,000 109,569 Bridgestone Corp. 48,000 637,692 CSK Corp. 3,600 120,964 Canon, Inc. 49,000 2,263,879 Capcom Co., Ltd. 2,000 21,914 Casio Computer Co., Ltd. 14,000 137,162 Central Glass Co., Ltd. 10,000 60,080 Central Japan Railway Co. 125 998,676 Chiba Bank, Ltd. 44,000 178,780 Chubu Electric Power Co., Ltd. 41,200 825,731 Chugai Pharmaceutical Co., Ltd. 28,800 389,189 Citizen Watch Co., Ltd. 15,000 121,759 Coca-Cola West Japan Co., Ltd. 3,600 63,999 # Comsys Holdings Corp. 5,000 25,886 Credit Saison Co., Ltd. 8,900 186,907 Dai Nippon Ink & Chemicals, Inc. 37,000 68,581 Dai Nippon Printing Co., Ltd. 42,000 579,072 *# Dai Nippon Screen Mfg. Co., Ltd. 7,000 48,320 Daicel Chemical Industries, Ltd. 14,000 57,907 *# Daiei, Inc. 12,000 22,243 Daifuku Co., Ltd. 3,000 12,053 Dai-Ichi Pharmaceutical Co., Ltd. 14,400 242,323 Daikin Industries, Ltd. 13,000 268,262 Daimaru, Inc. 12,000 63,440 Daito Trust Construction Co., Ltd. 6,800 191,855 Daiwa House Industry Co., Ltd. 30,000 284,880 Daiwa Securities Co., Ltd. 74,000 476,351 Denki Kagaku Kogyo KK 22,000 64,682 Denso Corp. 49,500 924,283 Dentsu, Inc. 69 292,960 Dowa Mining Co., Ltd. 16,000 78,305 East Japan Railway Co. 224 1,022,644 Ebara Corp. 13,000 50,447 Elsai Co., Ltd. 16,600 420,608 Familymart Co., Ltd. 4,200 90,888 Fanuc, Ltd. 13,400 787,948 Fast Retailing Co., Ltd. 5,500 324,416 Fuji Electric Co., Ltd. 31,000 66,801 Fuji Photo Film Co., Ltd. 28,000 792,549 Fuji Soft ABC, Inc. 1,000 27,758 Fuji Television Network, Inc. 56 276,625 Fujikura, Ltd. 17,000 95,152 Fujisawa Pharmaceutical Co., Ltd. 17,000 317,431 Fujitsu Support & Service, Inc. 2,000 34,332 * Fujitsu, Ltd. 112,000 616,655 # Fukuoka Bank, Ltd. 30,000 123,265 Furukawa Electric Co., Ltd. 30,000 99,982 Gunma Bank, Ltd. 25,000 107,971 Gunze, Ltd. 8,000 33,674 Hankyu Department Stores, Inc. 7,000 46,147 Hino Motors, Ltd. 28,000 165,668 Hirose Electric Co., Ltd. 2,100 245,626 Hitachi Cable, Ltd. 18,000 63,440 Hitachi Chemical Co., Ltd. 10,500 159,149
14
SHARES VALUE+ -------------- ----------------- Hitachi Software Engineering Co., Ltd. 3,000 $ 80,807 * Hitachi Zosen Corp. 20,000 31,045 Hitachi, Ltd. 188,000 1,107,195 * Hokugin Financial Group, Inc. 51,000 77,767 Honda Motor Co., Ltd. 54,500 2,229,365 House Foods Corp. 4,000 42,695 Hoya Corp. 6,500 569,759 Isetan Co., Ltd. 10,000 103,908 * Ishihara Sangyo Kaisha, Ltd. 12,000 21,804 Ishikawajima-Harima Heavy Industries Co., Ltd. 58,000 69,905 Ito En, Ltd. 2,200 83,966 Itochu Corp. 82,000 246,329 Itochu Techno-Science Corp. 3,000 84,916 Ito-Yokado Co., Ltd. 23,000 764,427 JFE Holdings, Inc. 31,500 737,742 JGC Corp. 12,000 94,887 Japan Airlines System Corp. 104,000 266,837 Joyo Bank, Ltd. 48,000 148,137 Jsr Corp., Tokyo 13,000 281,912 Kajima Corp. 49,000 156,145 Kaken Pharmaceutical Co., Ltd. 3,000 14,901 Kamigumi Co., Ltd. 14,000 90,248 * Kanebo, Ltd. 19,000 19,083 Kaneka Corp. 17,000 118,125 Kansai Electric Power Co., Inc. 53,900 902,599 Kao Corp. 33,000 673,439 Katokichi Co., Ltd. 2,000 31,702 # Kawasaki Heavy Industries, Ltd. 67,000 72,800 Kawasaki Kisen Kaisha, Ltd. 30,000 116,417 # Keihin Electric Express Railway Co., Ltd. 24,000 138,714 Keio Electric Railway Co., Ltd. 34,000 174,160 Keyence Corp. 2,400 539,299 Kikkoman Corp. 9,000 59,578 Kinden Corp. 14,000 61,742 *# Kinki Nippon Railway Co., Ltd. 86,280 241,855 Kirin Brewery Co., Ltd. 52,000 415,449 Kokuyo Co., Ltd. 6,000 64,701 Komatsu, Ltd. 55,000 313,367 Komori Corp. 2,000 24,288 Konami Co., Ltd. 6,200 159,359 Konica Corp. 27,000 319,503 # Koyo Seiko Co. 9,000 83,409 Kubota Corp. 74,000 270,270 Kuraray Co., Ltd. 20,000 149,014 Kurita Water Industries, Ltd. 7,000 77,849 Kyocera Corp. 10,700 651,653 Kyowa Exeo Corp. 5,000 25,886 Kyowa Hakko Kogyo Co., Ltd. 23,000 130,205 Kyushu Electric Power Co., Inc. 26,500 436,021 Lawson Inc. 5,400 195,252 *# Lopro Corp. 2,100 9,165 Mabuchi Motor Co., Ltd. 2,600 187,546 Makita Corp. 7,000 64,171 Marubeni Corp. 72,000 118,335 Marui Co., Ltd. 19,000 233,336 Matsumotokiyoshi Co., Ltd. 1,200 52,045 Matsushita Electric Industrial Co., Ltd. 137,188 1,767,461 Matsushita Electric Works, Ltd. 41,000 295,371 Meiji Dairies Corp. 10,000 38,623 Meiji Seika Kaisha, Ltd. Tokyo 17,000 $ 63,486 Meitec Corp. 1,800 63,276 Millea Holdings, Inc. 65 700,329 Minebea Co., Ltd. 18,000 91,709 Mitsubishi Chemical Corp. 113,000 257,944 Mitsubishi Corp. 87,000 798,347 Mitsubishi Electric Corp. 120,000 473,338 Mitsubishi Estate Co., Ltd. 72,000 642,951 Mitsubishi Gas Chemical Co., Inc. 27,000 80,615 Mitsubishi Heavy Industries, Ltd. 178,000 474,580 Mitsubishi Logistics Corp. 7,000 54,903 * Mitsubishi Materials Corp. 50,000 72,133 *# Mitsubishi Paper Mills, Ltd. 13,000 17,568 Mitsubishi Rayon Co., Ltd. 30,000 106,282 Mitsubishi Tokyo Financial Group, Inc. 354 2,650,733 Mitsui & Co., Ltd. 88,000 592,184 Mitsui Chemicals, Inc. 44,000 234,624 Mitsui Engineering and Shipbuilding Co., Ltd. 36,000 45,690 Mitsui Fudosan Co., Ltd. 41,000 357,515 Mitsui Marine & Fire Insurance Co., Ltd. 82,790 617,599 Mitsui Mining and Smelting Co., Ltd. 26,000 96,147 Mitsui O.S.K. Lines, Ltd. 63,000 255,981 Mitsui Trust Holdings 42,000 204,401 # Mitsukoshi, Ltd. 23,000 84,633 Mitsumi Electric Co., Ltd. 3,700 35,608 * Mizuho Holdings, Inc. 446 1,164,682 Mori Seiki Co., Ltd. 4,000 24,763 Murata Manufacturing Co., Ltd. 12,700 724,754 NEC Corp. 92,000 666,983 NGK Insulators, Ltd. 16,000 102,557 NGK Spark Plug Co., Ltd. 11,000 90,696 NSK, Ltd. 28,000 97,663 NTN Corp. 22,000 100,237 NTT Data Corp. 157 576,278 NTT Docomo, Inc. 1,529 3,294,778 Namco, Ltd. 2,200 55,643 Net One Systems Co., Ltd. 13 91,518 * Nichii Gakkan Co. 1,760 90,796 Nichirei Corp. 13,000 39,290 Nidec Corp. 3,600 355,004 Nikko Cordial Corp. 103,000 520,079 * Nikon Corp. 18,000 224,671 Nintendo Co., Ltd., Kyoto 7,900 667,951 Nippon Express Co., Ltd. 56,000 242,878 Nippon Kayaku Co., Ltd. 9,000 43,225 Nippon Meat Packers, Inc., Osaka 10,000 96,603 Nippon Mining Holdings, Inc. 41,500 131,108 Nippon Mitsubishi Oil Corp. 81,000 400,119 Nippon Sanso Corp. 14,000 55,351 Nippon Sheet Glass Co., Ltd. 20,000 51,863 Nippon Shokubai Co., Ltd. 9,000 64,262 Nippon Steel Corp. 381,000 730,552 Nippon System Development Co., Ltd. 900 15,605 Nippon Telegraph & Telephone Corp. 892 4,275,932 Nippon Unipac Holding, Tokyo 57 274,279 Nippon Yusen KK 63,000 246,777 Nishimatsu Construction Co., Ltd. 10,000 33,053 Nissan Chemical Industries, Ltd. 7,000 60,016 Nissan Motor Co., Ltd. 253,100 2,893,364
15
SHARES VALUE+ -------------- ----------------- Nisshin Seifun Group, Inc. 12,000 $ 96,640 Nisshinbo Industries, Inc. 9,000 44,458 Nissin Food Products Co., Ltd. 6,000 142,714 Nitto Denko Corp. 9,200 464,536 * Nomura Research Institute, Ltd. 2,300 219,668 Nomura Securities Co., Ltd. 110,000 1,747,626 Noritake Co., Ltd. 4,000 12,966 Obayashi Corp. 38,000 145,380 Obic Co., Ltd. 500 103,178 Oji Paper Co., Ltd. 59,000 344,239 * Oki Electric Industry Co., Ltd. 30,000 113,404 Okumura Corp. 11,000 43,088 Olympus Optical Co., Ltd. 14,000 299,763 Omron Corp. 12,000 230,643 Onward Kashiyama Co., Ltd. 8,000 87,728 Oracle Corp. Japan 7,100 351,370 *# Orient Corp. 31,000 60,290 Oriental Land Co., Ltd. 5,200 282,980 Orix Corp. 4,260 312,343 Osaka Gas Co., Ltd. 132,000 345,909 Paris Miki, Inc. 1,900 30,464 Pioneer Electronic Corp. 9,000 230,095 Promise Co., Ltd. 6,500 276,571 Q.P. Corp. 6,000 47,608 * Resona Holdings, Inc. 635,000 794,330 Ricoh Co., Ltd., Tokyo 40,000 729,730 Rohm Co., Ltd. 6,600 767,750 SMC Corp. 3,800 453,141 Saizeriya Co., Ltd. 1,300 12,285 Sanden Corp. 7,000 36,432 Sankyo Co, Ltd. 4,900 155,698 Sankyo Co., Ltd. 25,000 450,146 *# Sanrio Co., Ltd. 3,000 21,941 Sanyo Electric Co., Ltd. 104,000 465,303 Sapporo Breweries, Ltd. 11,000 26,516 Secom Co., Ltd. 13,000 472,425 * Sega Enterprises, Ltd. 9,200 84,927 Seino Transportation Co., Ltd. 7,000 49,662 * Seiyu, Ltd. 28,000 89,481 Sekisui Chemical Co., Ltd. 27,000 120,060 Sekisui House, Ltd. 39,000 367,851 Seven-Eleven Japan Co., Ltd. 46,000 1,331,447 Seventy-seven (77) Bank, Ltd. 16,000 84,733 Sharp Corp. Osaka 62,000 927,849 Shimachu Co., Ltd. 2,200 41,481 Shimamura Co., Ltd. 1,700 105,707 Shimano, Inc. 6,600 129,264 Shimizu Corp. 38,000 130,807 Shin-Etsu Chemical Co., Ltd. 23,600 870,563 Shionogi & Co., Ltd. 19,000 314,180 Shiseido Co., Ltd. 21,000 235,656 Shizuoka Bank, Ltd. 42,000 293,755 * Showa Denko KK 59,000 123,366 Showa Shell Sekiyu KK 18,000 138,386 Skylark Co., Ltd. 5,000 74,416 * Snow Brand Milk Products Co., Ltd. 12,000 35,281 Softbank Corp. 18,800 712,381 Sony Corp. 51,800 1,797,298 Stanley Electric Co., Ltd. 9,000 170,928 Sumitomo Bakelite Co., Ltd. 9,000 56,784 Sumitomo Chemical Co., Ltd. 92,000 328,451 Sumitomo Corp. 59,000 $ 366,326 Sumitomo Electric Industries, Ltd. 38,000 310,884 Sumitomo Forestry Co., Ltd. 6,000 46,567 * Sumitomo Heavy Industries, Ltd. 31,000 60,290 Sumitomo Metal Industries, Ltd. Osaka 269,000 230,880 Sumitomo Metal Mining Co., Ltd. 29,000 183,236 # Sumitomo Mitsui Financial Group, Inc. 250 1,223,192 Sumitomo Osaka Cement Co., Ltd. 14,000 24,927 Sumitomo Realty & Development Co., Ltd. 20,000 155,953 Sumitomo Trust & Banking Co., Ltd. 76,000 407,341 Suruga Bank, Ltd. 12,000 68,700 Suzuken Co., Ltd. 3,400 91,737 TDK Corp. 7,400 481,081 THK Co., Ltd. 5,800 116,773 TIS, Inc. 2,000 63,002 Taiheiyo Cement Corp. 45,000 102,310 Taisei Corp. 46,000 149,105 Taisho Pharmaceutical Co., Ltd. 18,000 313,915 Taiyo Yuden Co., Ltd. 5,000 58,574 # Takara Shuzo Co., Ltd. 10,000 80,533 # Takashimaya Co., Ltd. 16,000 110,153 Takeda Chemical Industries, Ltd. 49,000 1,879,109 Takefuji Corp. 7,800 420,909 Takuma Co., Ltd. 2,000 10,464 Teijin, Ltd. 43,000 117,001 Teikoku Oil Co., Ltd. 12,000 53,251 Terumo Corp. 10,500 188,103 Tobu Railway Co., Ltd. 43,000 146,448 Toda Corp. 14,000 34,898 Toho Co., Ltd. 9,800 112,747 Tohuku Electric Power Co., Inc. 26,600 423,094 Tokyo Broadcasting System, Inc. 10,000 155,132 Tokyo Electric Power Co., Ltd. 75,700 1,569,020 Tokyo Electron, Ltd. 10,100 714,710 # Tokyo Gas Co., Ltd. 157,000 537,573 Tokyo Style Co., Ltd. 4,000 38,641 # Tokyu Corp. 59,000 274,206 TonenGeneral Sekiyu KK 24,000 195,471 Toppan Printing Co., Ltd. 37,000 339,189 Toray Industries, Inc. 72,000 280,058 Toshiba Corp. 180,000 663,988 Tosoh Corp. 30,000 79,985 Tostem Inax Holding Corp. 17,240 302,708 Toto, Ltd. 19,000 146,768 Toyo Seikan Kaisha, Ltd. 11,300 129,385 Toyo Suisan Kaisha, Ltd. 5,000 49,808 Toyobo Co., Ltd. 37,000 72,297 Toyoda Gosei Co., Ltd. 6,300 180,049 Toyota Industries Corp. 15,300 287,085 Toyota Motor Credit Corp. 202,100 6,071,121 * Trans Cosmos, Inc. 1,000 23,649 * Trend Micro Inc. 6,500 164,399 * UFJ Holdings, Inc. 282 1,205,040 UNY Co., Ltd. 9,000 87,683 USS Co., Ltd. 1,400 92,038 Ube Industries, Ltd. 37,000 70,946 Uni-Charm Corp. 3,500 167,138 Union Tool Co. 800 25,566 Ushio Inc. 7,000 110,318 Wacoal Corp. 7,000 55,478
16
SHARES VALUE+ -------------- ----------------- World Co., Ltd. 2,000 $ 58,802 Yakult Honsha Co., Ltd. 8,000 109,569 Yamada Denki Co., Ltd. 5,300 157,277 Yamaha Corp. 11,000 196,558 Yamaha Motor Co., Ltd. 15,000 152,301 Yamanouchi Pharmaceutical Co., Ltd. 20,200 580,990 Yamato Transport Co., Ltd. 24,000 282,688 Yamazaki Baking Co., Ltd. 9,000 69,029 Yasuda Fire & Marine Insurance Co., Ltd. 52,000 386,012 Yokogawa Electric Corp. 12,000 156,465 ----------------- TOTAL COMMON STOCKS (Cost $127,463,511) 107,464,611 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Japanese Yen (Cost $103,841) 105,137 ----------------- TOTAL -- JAPAN (Cost $127,567,352) 107,569,748 ----------------- FRANCE -- (9.5%) COMMON STOCKS -- (9.5%) AXA 93,464 1,795,963 Accor SA 10,940 458,992 # Air France 11,600 176,596 Air Liquide SA 5,250 843,303 Air Liquide SA 10,266 1,656,402 * Alcatel SA 68,050 888,332 * Alstom SA 21,944 45,244 Arcelor SA 27,100 439,528 * Atos Origin 2,500 164,825 Aventis 42,365 2,445,248 BNP Paribas SA 47,818 2,694,069 Bouygues 17,670 548,600 * Business Objects SA 5,500 186,516 * Cap Gemini SA 7,550 372,875 Carrefour 37,950 2,044,847 Casino Guichard Perrachon 5,000 465,704 Cie Generale D'Optique Essilor Intenational SA 5,570 277,692 Compagnie de Saint-Gobain 18,336 820,287 Compagnie Francaise d'Etudes et de Construction Technip SA 1,790 192,578 Dassault Systemes SA 6,900 307,937 * France Telecom SA 116,252 2,996,114 Gecina SA 1,400 192,995 Generale des Establissements Michelin SA Series B 7,309 290,005 Groupe Danone 7,242 1,128,551 * Hermes International SA 1,900 351,202 Imerys SA 1,000 197,790 * Klepierre SA 1,800 102,922 L'Oreal 35,800 2,656,398 LVMH (Louis Vuitton Moet Hennessy) 25,935 1,786,058 LaFarge SA 9,716 773,930 LaFarge SA Prime Fidelity 8,604 689,995 Lagardere S.C.A. SA 7,700 419,973 Pechiney SA Series A 4,755 273,369 Pernod-Ricard SA 3,950 419,754 Peugeot SA 13,200 620,901 Pinault Printemps Redoute SA 6,200 $ 607,945 # Publicis Groupe 10,300 325,340 Renault SA 15,100 1,003,686 SEB SA Prime Fidelity 900 110,474 SGE (Societe Generale d'Enterprise SA) 4,340 347,264 Sanofi Synthelabo 38,756 2,624,864 Schneider SA 12,199 751,635 Societe BIC SA 3,600 160,058 Societe Generale, Paris 23,128 1,851,970 Societe Television Francaise 1 11,500 371,515 Sodexho Alliance SA 8,766 248,830 Ste des Autoroutes du Sud de la France 12,000 388,387 Stmicroelectronics NV 47,700 1,319,695 Suez (ex Suez Lyonnaise des Eaux) 53,220 921,854 Thales SA 9,624 300,065 Thomson Multimedia 15,000 317,542 Total SA 35,006 5,656,552 Unibail SA 2,500 221,764 Valeo SA 5,000 194,493 * Veolia Environnement SA 20,600 484,738 * Vivendi Universal SA 56,736 1,302,407 * Wanadoo SA 75,800 582,434 Zodiac SA 4,360 129,041 ----------------- TOTAL COMMON STOCKS (Cost $47,754,672) 49,948,048 ----------------- RIGHTS/WARRANTS -- (0.0%) * Alstom SA Rights 12/10/03 21,944 11,837 * Alstom SA Warrants 01/09/04 21,944 7,891 ----------------- TOTAL RIGHTS/WARRANTS (Cost $68,940) 19,728 ----------------- TOTAL -- FRANCE (Cost $47,823,612) 49,967,776 ----------------- SWITZERLAND -- (7.1%) COMMON STOCKS -- (7.1%) *# ABB, Ltd. 76,410 374,744 Adecco SA 12,273 761,413 * Ciba Spezialitaetenchemie Holding AG 4,525 316,959 Cie Financiere Richemont AG Series A 46,023 1,139,254 * Clariant AG 10,381 146,554 Credit Swisse Group 78,497 2,604,989 * Fischer (Georg) AG, Schaffhausen 145 24,789 * Forbo Holding AG, Eglisau 102 28,405 Geberit AG 274 119,543 Givaudan SA 573 261,962 Holcim, Ltd. 13,278 578,791 * Kudelski SA 3,084 98,886 Kuoni Reisen Holding AG 180 58,481 * Logitech International SA 3,319 143,777 Lonza Group AG 2,970 142,444 Nestle SA, Cham und Vevey 25,180 5,853,232 Novartis AG 166,060 7,013,797 Phonak Holding AG 4,487 98,229 * Publicitas Holding SA, Lausanne 104 28,158 Roche Holding AG Bearer 10,560 1,402,995
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SHARES VALUE+ -------------- ----------------- Roche Holding AG Genusschein 45,153 $ 4,069,191 * Schindler Holding AG 210 47,922 * Schindler Holding AG 340 86,794 Serono SA 769 529,434 Societe Generale de Surveillance Holding SA 530 311,181 Sulzer AG, Winterthur 165 41,291 Swatch Group AG 2,692 308,720 Swiss Reinsurance Co., Zurich 21,255 1,320,299 Swisscom AG 4,369 1,313,012 Syngenta AG 6,949 425,470 Synthes-Stratec Inc. 723 657,161 Tecan Group AG 627 24,469 The Swatch Group AG 18,164 419,422 UBS AG 77,901 5,016,754 Unaxis Holding AG 912 125,577 Valora Holding AG 209 49,634 * Zimmer Holdings, Inc. 3,010 197,916 * Zurich Financial SVCS AG 9,504 1,224,098 ----------------- TOTAL COMMON STOCKS (Cost $31,469,590) 37,365,747 ----------------- RIGHTS/WARRANTS -- (0.0%) * ABB, Ltd. Rights (Cost $168,543) 76,410 95,164 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs (Cost $696) 704 ----------------- TOTAL -- SWITZERLAND (Cost $31,638,829) 37,461,615 ----------------- GERMANY -- (6.1%) COMMON STOCKS -- (6.1%) Adidas-Salomon AG 2,200 227,854 Aixtron AG 2,400 14,701 Allianz AG 19,808 2,218,908 Altana AG 7,400 448,407 BASF AG 30,200 1,495,121 Bayer AG 38,700 1,044,253 * Bayerische Vereinsbank AG 27,648 644,618 # Beiersdorf AG 4,000 449,761 Commerzbank AG 28,850 556,790 Continental AG 6,400 222,867 * D. Logistics AG 1,200 3,237 DaimlerChrysler AG 53,252 2,023,553 Deutsche Bank AG 30,788 2,142,413 Deutsche Boerse AG 5,900 297,398 Deutsche Lufthansa AG 20,200 309,458 Deutsche Post AG 58,900 1,117,675 * Deutsche Telekom AG 217,620 3,592,131 Douglas Holding AG 1,500 40,996 E.ON AG 35,798 2,023,298 * Epcos AG 2,800 63,940 Fresenius Medical Care AG 3,400 216,418 Gehe AG 4,100 185,287 * Heidelberger Zement AG 4,694 191,480 * Hypo Real Estate Holding AG 6,387 137,430 * Infineon Technologies AG 38,200 542,627 Karstadt Quelle AG 5,350 142,373 Linde AG 5,800 280,537 MAN AG 7,450 201,829 Merck KGAA 1,900 $ 74,522 Metro AG 16,040 690,269 Munchener Rueckversicherungs-Gesellschaft AG 11,957 1,355,199 Preussag AG 8,736 164,202 Puma AG 500 78,936 Rwe AG (Neu) 800 23,399 Rwe AG (NEU) Series A 27,650 891,593 SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung) 16,700 2,567,398 * SGL Carbon AG 700 10,363 Schering AG 10,400 522,481 Siemens AG 45,475 3,317,055 Suedzucker AG 8,100 147,587 ThyssenKrupp AG 27,200 504,078 Volkswagen AG 16,970 845,225 * WCM Beteiligungs AG 11,608 17,115 ----------------- TOTAL -- GERMANY (Cost $37,343,995) 32,044,782 ----------------- NETHERLANDS -- (4.6%) COMMON STOCKS -- (4.6%) ABN-AMRO Holding NV 106,058 2,334,186 AKZO Nobel NV 18,300 634,847 Aegon NV 98,407 1,312,927 Buhrmann NV 6,020 45,752 DSM NV 6,000 276,546 Elsevier NV 47,200 572,588 * Getronics NV 11,878 24,490 Hagemeyer NV 4,866 13,416 Heineken NV 25,462 949,232 IHC Caland NV 1,624 75,922 Ing Groep NV 133,923 2,868,792 KLM (Koninklijke Luchtvaart Mij) NV 2,377 37,583 * Koninklijke Ahold NV 59,558 429,790 * Koninklijke KPN NV 159,376 1,249,453 * Koninklijke Numico NV 9,912 251,893 Koninklijke Philips Electronics NV 85,512 2,429,376 Koninklijke Vendex KBB NV 5,978 77,536 * Norit NV 31,250 590,372 Oce NV 4,991 71,315 Royal Dutch Petroleum Co., Den Haag 135,400 6,083,278 TNT Post Groep NV 30,670 661,768 Unilever NV 37,142 2,228,378 VNU NV 16,240 505,955 Vedior NV 9,852 149,158 Wolters Kluwer NV 17,458 264,731 ----------------- TOTAL COMMON STOCKS (Cost $26,423,627) 24,139,284 ----------------- RIGHTS/WARRANTS -- (0.0%) * Koninklijke Ahold NV Rights (Cost $242,263) 59,558 55,687 ----------------- TOTAL -- NETHERLANDS (Cost $26,665,890) 24,194,971 ----------------- AUSTRALIA -- (4.5%) COMMON STOCKS -- (4.5%) AMP, Ltd. 91,391 393,476 Amcor, Ltd. 54,361 324,912
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SHARES VALUE+ -------------- ----------------- Ansell, Ltd. 12,403 $ 58,606 Aristocrat Leisure, Ltd. 25,692 35,880 Australia & New Zealand Banking Group, Ltd. 101,955 1,240,889 * Australia & New Zealand Banking Group, Ltd. New 17,703 214,694 Australian Gas Light Co. 28,700 222,626 Australian Stock Exchange, Ltd. 5,600 62,849 BHP Billiton, Ltd. 251,046 2,047,272 BHP Steel Ltd. 46,541 168,048 Boral, Ltd. 35,635 128,927 Brambles Industries, Ltd. 60,916 201,440 CSL, Ltd. 10,561 123,723 CSR, Ltd. 55,115 69,393 Coca-Cola Amatil, Ltd. 34,816 153,424 Cochlear, Ltd. 3,100 64,042 Coles Myer, Ltd. 80,217 431,855 Commonwealth Bank of Australia 84,793 1,693,430 Computershare, Ltd. 34,090 79,676 Deutsche Office Trust 44,700 36,226 Foster's Group, Ltd. 148,012 471,246 Futuris Corp., Ltd. 41,185 41,722 General Property Trust 75,385 158,736 Harvey Norman Holdings, Ltd. 61,980 128,267 Iluka Resources, Ltd. 15,365 45,028 Insurance Australiz Group, Ltd. 110,967 335,636 James Hardies Industries NL 30,184 156,601 John Fairfax Holdings, Ltd. 53,773 135,407 Leighton Holdings, Ltd. 15,898 133,674 Lend Lease Corp., Ltd. 27,586 209,593 Lion Nathan, Ltd. 33,100 138,917 Macquarie Bank, Ltd. 14,314 351,951 Macquarie Infrastructure Group 68,847 162,904 Mayne Group, Ltd. 48,877 125,554 Mirvac, Ltd. 45,206 142,947 National Australia Bank, Ltd. 100,764 2,108,638 Newcrest Mining, Ltd. 21,576 199,839 News Corp., Ltd. 87,233 744,205 News Corp., Ltd. Pref Ordinary 179,084 1,262,159 Onesteel, Ltd. 36,025 49,007 Orica, Ltd. 17,211 160,406 Origin Energy, Ltd. 39,246 132,620 Paperlinx, Ltd. 29,331 96,357 # Patrick Corp., Ltd. 11,186 117,285 Publishing and Broadcasting, Ltd. 44,156 372,871 QBE Insurance Group, Ltd. 42,480 313,225 Rinker Group, Ltd. 62,315 263,332 Rio Tinto, Ltd. 24,954 631,443 Santos, Ltd. 38,543 180,167 * Scigen 11,443 654 Sonic Healthcare, Ltd. 16,529 83,962 * Sons of Gwalia, Ltd. 7,201 17,612 Southcorp, Ltd. 49,137 98,133 Stockland Trust Group 30,030 110,821 * Stockland Trust Group Issue 03 1,030 3,727 Suncorp-Metway, Ltd. 35,901 323,425 Tab, Ltd. 27,500 82,183 # Tabcorp Holdings, Ltd. 23,050 186,471 Telstra Corp., Ltd. 430,100 1,534,315 Toll Holdings, Ltd. 19,382 119,491 Transurban Group 31,438 95,544 * WMC Resources, Ltd. 74,453 $ 263,445 WMC, Ltd. 75,646 322,951 Wesfarmers, Ltd. 24,851 507,097 Westfield Holdings, Ltd. 37,309 389,563 * Westfield Trust 2,312 5,655 Westpac Banking Corp. 119,761 1,325,883 Woodside Petroleum, Ltd. 43,999 437,449 Woolworths, Ltd. 68,685 563,603 ----------------- TOTAL COMMON STOCKS (Cost $18,155,683) 23,593,109 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Australian Dollar (Cost $3,404) 3,438 ----------------- RIGHTS/WARRANTS -- (0.0%) * AMP, Ltd. Rights 12/09/03 (Cost $0) 90,460 0 ----------------- TOTAL -- AUSTRALIA (Cost $18,159,087) 23,596,547 ----------------- ITALY -- (3.8%) COMMON STOCKS -- (3.8%) * Acea SpA 4,000 23,303 *# Alitalia Linee Aeree Italiane SpA Series A 50,000 16,063 Alleanza Assicurazioni SpA 37,112 386,148 Assicurazioni Generali SpA, Trieste 58,514 1,461,763 * Autogrill SpA, Novara 10,000 132,579 Banca Fideuram SpA 45,000 283,199 Banca Monte Dei Paschi di Siena SpA 112,000 367,865 * Banca Nazionale del Lavoro SpA 100,000 234,351 Banca Popolare di Milano 14,520 86,331 Banco Popolare di Verona e Novara SpA 16,000 263,911 Benetton Group SpA 6,950 89,476 * Bipop-Carire SpA 161,000 126,604 Bulgari SpA 13,000 120,148 * Capitalia SpA 100,360 317,603 Credito Italiano 288,000 1,446,525 * E.Biscom SpA 1,000 65,930 Eni SpA 184,000 3,136,439 Ente Nazionale per L'Energia Elettrica SpA 278,000 1,776,198 * Fiat SpA 34,866 272,920 Finmeccanica SpA 385,000 295,366 Gruppo Editoriale L'espresso SpA 16,000 95,898 Intesabci SpA 271,942 1,023,588 Italcementi SpA 6,680 82,397 Luxottica Group SpA 20,000 351,226 Mediaset SpA 54,000 612,356 Mediobanca SpA 34,000 357,028 Mediolanum SpA 33,000 247,237 Mondadori (Arnoldo) Editore SpA 10,500 87,099 Parmalat Finanziaria SpA 28,600 78,509 * Pirelli & Co. SpA 93,332 88,720 RAS SpA (Riunione Adriatica di Sicurta) 29,303 471,745 SAI SpA (Sta Assicuratrice Industriale), Torino 2,000 35,003
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SHARES VALUE+ -------------- ----------------- * SNAM Rete Gas SpA 86,000 $ 338,136 SNIA SpA 23,120 51,410 San Paolo-IMI SpA 66,607 856,720 * Seat Pagine Gialle SpA 8,018 7,766 * Seat Pagine Gialle SpA, Torino 3,041 1,444 Telecom Italia Mobile SpA 387,740 1,993,964 *# Telecom Italia SpA 701,433 2,030,592 * Tiscali SpA 13,000 105,500 ----------------- TOTAL COMMON STOCKS (Cost $19,376,525) 19,819,060 ----------------- PREFERRED STOCKS -- (0.0%) * Fiat SpA (Cost $43,046) 3,000 13,953 ----------------- RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 01/31/07 (Cost $0) 1,677 537 ----------------- TOTAL -- ITALY (Cost $19,419,571) 19,833,550 ----------------- SPAIN -- (3.2%) COMMON STOCKS -- (3.2%) Acciona SA 3,400 191,882 Acerinox SA 3,500 161,864 * Antena 3 Television 898 37,751 # Autopistas Concesionaria Espanola SA 25,253 354,175 Banco Bilbao Vizcaya SA 182,100 2,182,877 Banco Popular Espanol SA, Madrid 12,500 655,403 # Banco Santander Central Hispanoamerica SA 271,784 2,824,635 * Coporacion Financiera Reunida SA 6,070 69,270 Corporacion Mapfre Compania Internacional de Reaseguros SA 9,700 125,113 Endesa SA, Madrid 60,300 990,278 Fomento de Construcciones y Contratas SA 7,080 242,642 Gas Natural SA, Buenos Aires 25,500 525,455 Grupo Dragados SA, Madrid 8,700 181,150 Grupo Ferrovial SA 7,500 226,559 Iberdrola SA 51,300 884,907 Iberia Lineas Aereas de Espana SA 47,600 127,813 Indra Sistemas SA 7,600 91,559 Industria de Diseno Textil SA 35,500 788,539 Metrovacesa SA 3,442 104,842 OCP Construcciones SA, Madrid 3,400 146,765 Promotora de Informaciones SA 11,700 154,276 Repsol SA 69,500 1,213,846 Sociedad General de Aguas de Barcelona SA 6,192 87,957 * Sociedad General de Aguas de Barcelona SA Rights 61 866 Sol Melia SA 8,400 59,711 Tabacalera SA 15,900 424,460 * Tele Pizza SA 7,000 11,748 * Telefonica de Espana SA 282,457 3,656,752 Telefonica Publicidad e Informacion SA 19,300 102,490 Union Fenosa SA 16,300 $ 267,101 Vallehermoso SA 12,700 179,032 *# Zeltia SA 10,500 67,968 ----------------- TOTAL COMMON STOCKS (Cost $14,527,275) 17,139,686 ----------------- RIGHTS/WARRANTS -- (0.0%) * Sociedad General de Aguas de Barcelona SA Rights (Cost $0) 92 11 ----------------- TOTAL -- SPAIN (Cost $14,527,275) 17,139,697 ----------------- SWEDEN -- (2.1%) COMMON STOCKS -- (2.1%) * Alfa Laval AB 6,100 87,188 Assa Abloy AB Series B 17,200 195,763 Atlas Copco AB Series A 7,200 257,276 Atlas Copco AB Series B 3,600 119,109 Axfood AB 2,700 60,031 Billerud AB 3,200 47,432 Castellum AB 2,200 46,585 Drott Series AB 4,700 82,417 Electrolux AB Series B 18,500 389,289 Eniro AB 8,200 73,252 Gambro AB Series A 11,300 93,468 Gambro AB Series B 2,700 22,333 Getinge AB 9,600 90,205 Hennes & Mauritz AB Series B 40,800 953,033 Hoganas AB Series B 1,300 26,925 Holmen AB Series B 4,300 149,098 * Modern Times Group AB Series B 1,800 36,090 * Netcom AB Series B 6,700 341,824 Nordic Baltic Holdings AB 163,948 1,084,873 OMHEX AB 4,500 50,621 SSAB Swedish Steel Series A 3,500 57,669 SSAB Swedish Steel Series B 1,400 22,141 Sandvik AB 14,200 451,967 Securitas AB Series B 18,700 227,684 Skandia Insurance AB 55,200 186,287 Skandinaviska Enskilda Banken Series A 37,900 494,058 Skanska AB Series B 19,500 161,294 Svenska Cellulosa AB Series B 12,700 489,942 Svenska Handelsbanken Series A 38,400 708,938 Svenska Kullagerfabriken AB Series A 2,300 84,316 Svenska Kullagerfabriken AB Series B 4,600 168,328 Swedish Match AB (Frueher Svenska Taendsticks AB) 18,400 165,588 * Telefon AB L.M. Ericsson Series B 908,800 1,467,341 Telia AB 257,100 1,143,258 Trelleborg AB Series B 4,200 65,034 Volvo AB Series A 7,400 204,193 Volvo AB Series B 16,600 480,023 * WM-Data AB Series B 8,500 17,211 ----------------- TOTAL COMMON STOCKS (Cost $10,930,903) 10,802,084 -----------------
20
SHARES VALUE+ -------------- ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona (Cost $28,642) $ 32,007 ----------------- TOTAL -- SWEDEN (Cost $10,959,545) 10,834,091 ----------------- FINLAND -- (1.7%) COMMON STOCKS -- (1.7%) Amer-Yhtymae Oyj Series A 1,500 62,753 * Elisa Communications Corp. 8,363 114,785 Fortum Oyj 51,253 513,009 KCI Konecranes International Oyj 700 22,522 Kesko Oyj 6,400 111,242 Kone Corp. 3,800 204,845 Metso Oyj 7,044 82,412 Nokia Oyj 302,166 5,444,074 Nokian Renkaat Oyj 500 39,138 Orion-Yhtyma Oyj Series B 2,000 44,736 Outokumpu Oyj Series A 9,300 124,302 Pohjola Group P.L.C. Series D 2,200 54,168 * Rautaruukki Oyj Series K 8,700 64,138 Sampo Insurance Co., Ltd. 33,600 332,689 Stora Enso Oyj Series R 43,400 584,237 Tietoenator Corp. 2,800 77,869 Upm-Kymmene Oyj 45,800 847,131 Uponor Oyj Series A 2,300 66,859 Wartsila Corp. Oyj Series B 2,900 53,883 ----------------- TOTAL -- FINLAND (Cost $7,597,096) 8,844,792 ----------------- HONG KONG -- (1.6%) COMMON STOCKS -- (1.6%) ASM Pacific Technology, Ltd. 12,000 46,972 Bank of East Asia, Ltd. 63,198 198,554 CLP Holdings, Ltd. 110,400 535,915 Cathay Pacific Airways, Ltd. 146,000 281,987 Cheung Kong Holdings, Ltd. 105,600 832,828 Cheung Kong Infrastructure Holdings, Ltd. 99,000 223,716 Esprit Holdings, Ltd. 54,541 174,165 Giordano International, Ltd. 40,000 17,769 Hang Lung Properties, Ltd. 113,500 140,298 Hang Seng Bank, Ltd. 87,900 1,128,982 Henderson Land Development Co., Ltd. 83,000 332,372 Hong Kong Electric Holdings, Ltd. 93,707 375,247 Hong Kong Exchanges & Clearing, Ltd. 48,000 98,271 Hopewell Holdings, Ltd. 38,000 55,290 Hutchison Whampoa, Ltd. 195,500 1,428,558 Hysan Development Co., Ltd. 41,242 58,945 I-Cable Communications, Ltd. 9,854 2,347 Johnson Electric Holdings, Ltd. 168,000 224,972 Li & Fung, Ltd. 126,000 215,778 New World Development Co., Ltd. 92,043 57,480 * PCCW, Ltd. 235,265 157,524 Shangri-La Asia, Ltd. 99,872 89,375 Sino Land Co., Ltd. 178,200 92,928 Smartone Telecommunications Holdings, Ltd. 23,000 22,359 South China Morning Post (Holdings), Ltd. 39,198 $ 17,918 Sung Hungkai Properties, Ltd. 109,706 882,868 Swire Pacific, Ltd. Series A 42,500 251,728 Techtronic Industries Co., Ltd. 28,000 76,793 Television Broadcasts, Ltd. 20,000 100,434 Texwinca Holdings, Ltd. 60,000 44,036 Wharf Holdings, Ltd. 107,542 268,637 * Yue Yuen Industrial (Holdings), Ltd. 69,000 191,906 ----------------- TOTAL -- HONG KONG (Cost $9,292,530) 8,626,952 ----------------- BELGIUM -- (1.0%) COMMON STOCKS -- (1.0%) AGFA-Gevaert NV, Mortsel 7,300 181,139 Barco (New) NV 400 31,718 Bekaert SA 700 39,186 Cie Martime Belge SA 300 17,765 Cofinimmo SA 200 25,845 Colruyt SA Halle 1,700 159,664 D'Ieteren SA 290 61,739 Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 3,600 174,127 Dexia SA 31,800 506,607 Electrabel SA 2,800 822,325 * Exmar NV 300 12,047 Fortis AG 51,779 956,480 Groupe Bruxelles Lambert 2,500 124,637 Interbrew SA 17,200 424,732 KBC Bancassurance Holding SA 15,700 686,929 * Mobistar SA 2,500 130,661 Omega Pharma SA 500 14,079 Solvay SA 4,400 340,989 UCB SA 7,600 243,428 * Umicore-Strip VVPR 55 36 Union Miniere SA 1,155 77,118 ----------------- TOTAL -- BELGIUM (Cost $5,285,799) 5,031,251 ----------------- SINGAPORE -- (0.8%) COMMON STOCKS -- (0.8%) Allgreen Properties, Ltd. 41,000 24,734 Capitaland, Ltd. 115,500 104,518 *# Chartered Semiconductor Manufacturing, Ltd. 112,000 104,599 City Developments, Ltd. 32,000 111,374 Comfortdelgro Corp., Ltd. 81,000 36,179 Creative Technology Co., Ltd. 3,000 31,672 Cycle & Carriage, Ltd. 5,982 20,993 DBS Group Holdings, Ltd. 67,000 544,109 Fraser & Neave, Ltd. 11,100 74,046 Haw Par Brothers International, Ltd. 2,248 5,790 Keppel Corp., Ltd. 32,000 103,021 Keppel Land, Ltd. 22,000 20,419 * Neptune Orient Lines, Ltd. 47,000 57,798 Overseas Chinese Banking Corp., Ltd. 59,300 409,340 Overseas Union Enterprise, Ltd. 6,000 23,493 Parkway Holdings, Ltd. 20,000 10,847 Sembcorp Industries, Ltd. 78,000 57,915 Sembcorp Logistics, Ltd. 39,000 43,210
21
SHARES VALUE+ -------------- ----------------- Sembcorp Marine, Ltd. 55,000 $ 30,947 Singapore Airlines, Ltd. 56,000 393,058 Singapore Land, Ltd. 11,000 25,013 Singapore Press Holdings 16,000 180,983 Singapore Technologies Engineering, Ltd. 132,000 150,842 Singapore Telecommunications, Ltd. 802,000 832,742 Smrt Corporation, Ltd. 59,000 19,850 *# St Assembly test Services, Ltd. 38,000 46,510 United Overseas Bank, Ltd. 70,000 523,806 United Overseas Land, Ltd. 22,000 23,864 Venture Manufacturing (Singapore), Ltd. 10,000 109,634 Wing Tai Holdings, Ltd. 19,000 8,707 ----------------- TOTAL COMMON STOCKS (Cost $5,264,075) 4,130,013 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars (Cost $39,640) 40,252 ----------------- TOTAL -- SINGAPORE (Cost $5,303,715) 4,170,265 ----------------- DENMARK -- (0.7%) COMMON STOCKS -- (0.7%) Bang & Olufsen Holding A.S Series B 290 10,980 Carlsberg A.S. Series B 1,820 75,948 Coloplast A.S. Series B 970 82,206 DSV, De Sammensluttede Vognmaend A.S. 880 34,454 Dampskibsselskabet Svendborg A.S. 147 1,053,957 Danisco A.S. 2,450 100,659 Danske Bank A.S. 33,656 713,073 East Asiatic Co., Ltd. 900 34,367 * FLS Industries 890 9,536 * GN Great Nordic A.S. 9,620 61,068 Group 4 Falck A.S. 3,480 68,685 H. Lundbeck A.S. 11,002 172,831 ISS A.S. 1,763 81,807 Koebenhavns Lufthavne 280 30,902 NKT Holding A.S. 1,100 20,293 * Neg Micon A.S. 2,460 26,555 Novo-Nordisk A.S. Series B 14,150 542,599 Novozymes A.S. Series B 2,830 98,944 * TK Development 614 1,682 Tele Danmark A.S. 10,210 342,164 * Topdanmark A.S. 1,300 65,769 Vestas Wind Systems A.S. 4,400 66,284 * William Demant Holding 3,260 101,373 ----------------- TOTAL COMMON STOCKS (Cost $3,348,554) 3,796,136 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone (Cost $5,953) 6,312 ----------------- TOTAL -- DENMARK (Cost $3,354,507) 3,802,448 ----------------- IRELAND -- (0.7%) COMMON STOCKS -- (0.7%) Allied Irish Banks P.L.C. 62,710 $ 928,374 Bank of Ireland P.L.C. 68,607 847,081 CRH P.L.C. 35,877 667,463 DCC P.L.C. 4,814 63,189 * Elan Corp. P.L.C. 22,161 119,542 Fyffes P.L.C. 17,987 33,205 * Grafton Group P.L.C. 10,992 70,494 Greencore Group P.L.C. 13,193 48,235 Independent News & Media P.L.C. 40,374 97,763 Irish Permanent P.L.C. 18,325 258,108 Kerry Group P.L.C. 11,740 208,984 * Ryanair Holdings P.L.C. 32,702 250,884 Waterford Wedgwood P.L.C. 45,211 15,175 ----------------- TOTAL -- IRELAND (Cost $3,466,285) 3,608,497 ----------------- NORWAY -- (0.4%) COMMON STOCKS -- (0.4%) * Aker Kvaerner ASA 755 12,503 Den Norske Bank ASA Series A 36,500 220,387 * Merkantildata ASA 6,800 4,883 * Nera ASA 6,300 13,388 Norsk Hydro ASA 15,700 898,498 Norske Skogindustrier ASA Series A 5,000 95,993 * Opticom ASA 600 7,518 Orkla ASA Series A 11,471 254,689 Schibsted ASA 2,700 45,901 Smedvig ASA Series A 3,800 25,617 * Statoil Den Norske Stats Oljeselskap ASA 24,085 240,023 * Storebrand ASA 14,500 88,614 * Tandberg ASA Series A 5,600 40,625 Telenor ASA 42,921 258,528 Tomra Systems ASA 9,596 52,238 ----------------- TOTAL -- NORWAY (Cost $1,958,395) 2,259,405 ----------------- PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) BPI SGPS SA 44,098 139,554 Banco Comercial Portugues SA 162,985 334,090 Banco Espirito Santo e Comercial de Lisboa 16,320 241,605 Brisa Auto Estradas de Portugal SA 13,500 85,769 Cimpor Cimentos de Portugal SA 30,900 148,162 Electricidade de Portugal SA 117,800 293,716 * Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho Administracao e Participacoes Financeiros SA) 5,600 59,073 * PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA 4,000 72,931 Portugal Telecom SA 62,730 590,289 * Sonae SGPS SA 108,923 91,398 ----------------- TOTAL -- PORTUGAL (Cost $2,385,068) 2,056,587 -----------------
22
SHARES VALUE+ -------------- ----------------- GREECE -- (0.3%) COMMON STOCKS -- (0.3%) Alpha Credit Bank 7,170 $ 188,915 Athens Water Supply & Sewage Co.S.A. 4,100 31,160 Attica Enterprises S.A. Holdings 3,130 12,982 Bank of Piraeus S.A. 6,510 66,487 Commercial Bank of Greece 2,500 52,684 EFG Eurobank Ergasias S.A. 11,390 191,695 Hellenic Bottling Co. S.A. 9,200 201,376 Hellenic Duty Free Shops S.A. 2,000 35,338 Hellenic Petroleum S.A. 10,100 82,328 Hellenic Technodomiki S.A. 3,900 23,001 Hellenic Tellecommunication Organization Co. S.A. 20,900 250,533 Intracom S.A. 3,310 21,347 Mailis (M.J.) S.A. 2,800 10,271 National Bank of Greece 10,010 225,826 Panafon Hellenic Telecommunications Co. S.A. 15,380 113,568 Public Power Corp. of Greece 9,600 217,727 Titan Cement Co. 1,140 43,265 Viohalco 2,800 14,701 ----------------- TOTAL -- GREECE (Cost $1,631,190) 1,783,204 ----------------- NEW ZEALAND -- (0.2%) COMMON STOCKS -- (0.2%) Auckland International Airport, Ltd. 18,875 80,085 Carter Holt Harvey, Ltd. 91,400 103,375 Contact Energy, Ltd. 18,722 65,080 Fisher & Paykel Apppliances Holdings, Ltd. 14,080 34,009 Fisher & Paykel Healthcare Corp. 6,279 48,749 Fletcher Building, Ltd. 27,182 69,997 Independent Newspapers, Ltd. (Auckland) 25,700 82,603 Sky City Entertainment Group, Ltd. 19,414 56,569 * Sky Network Television, Ltd. 17,139 56,949 Telecom Corporation of New Zealand, Ltd. 118,062 392,293 * Tower, Ltd. 25,408 20,457 Warehouse Group, Ltd. 14,200 48,091 ----------------- TOTAL COMMON STOCKS (Cost $735,788) 1,058,257 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar (Cost $30,053) 38,790 ----------------- TOTAL -- NEW ZEALAND (Cost $765,841) 1,097,047 ----------------- AUSTRIA -- (0.2%) COMMON STOCKS -- (0.2%) BWT AG 880 13,914 Bohler Uddeholm AG 480 31,031 Erste Bank der Oesterreichischen Sparkassen AG 1,259 143,826 Flughafen Wien AG 579 $ 24,639 * Immofinanz Immobilien Anlagen AG 3,422 25,761 Mayr-Melnhof Karton AG 472 50,588 Oesterreichische Elektrizitaetswirtschafts AG 810 82,678 Omv AG 1,557 220,629 * RHI AG, Wien 778 12,282 * Telekom Austria AG 8,470 98,283 * VA Technologie AG 805 22,378 Voestalpine AG 825 32,586 Wienerberger AG 4,007 101,493 ----------------- TOTAL -- AUSTRIA (Cost $698,180) 860,088 ----------------- EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Euro Currency (Cost $177,078) 179,750 ----------------- CANADA -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Canadian Dollars (Cost $4,972) 5,825 ----------------- FACE AMOUNT -------------- (000) TEMPORARY CASH INVESTMENTS -- (6.7%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $11,326,000 FHLB Notes 1.875%, 02/15/05, valued at $11,410,945) to be repurchased at $11,242,768 (Cost $11,242,000) $ 11,242 11,242,000 Repurchase agreements in a Pooled Cash Account, Mizuho Securities USA, 1.05%, 12/01/03 (Collateralized by $36,304,000 U.S. Treasury Obligations, rates ranging from 2.625% to 8.875%, maturities ranging from 11/15/06 to 05/15/29, valued at $24,311,361) to be repurchased at $24,311,488 (Cost $24,311,361)^ 24,311 24,311,361 ----------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $35,553,361) 35,553,361 ----------------- TOTAL INVESTMENTS-- (100.0%) (Cost $531,253,506)++ $ 527,085,836 =================
------ + See Note B to Financial Statements. ^ Security purchased with cash proceeds from securities on loan * Non-Income Producing Securities # Total or Partial Securities on Loan ++ The cost for federal income tax purposes is $533,387,789. See accompanying Notes to Financial Statements. 23 THE DFA INVESTMENT TRUST COMPANY LARGE CAP INTERNATIONAL PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS) ASSETS: Investments at Value (including $22,960 of securities on loan) $ 527,086 Cash 16 Receivables: Dividends, Interest and Tax Reclaims 1,187 Fund Shares Sold 589 Securities Lending Income 8 Prepaid Expenses and Other Assets 11 ------------ Total Assets 528,897 ------------ LIABILITIES: Payables: Collateral on Securities Loaned 24,311 Investment Securities Purchased 140 Fund Shares Redeemed 132 Due to Advisor 102 Accrued Expenses and Other Liabilities 89 ------------ Total Liabilities 24,774 ------------ NET ASSETS $ 504,123 ============ SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 150,000,000) 34,404,746 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 14.65 ============ Investments at Cost $ 531,254 ============ NET ASSETS CONSIST OF: Paid-In Capital $ 522,361 Accumulated Net Investment Income (Loss) 7,754 Accumulated Net Realized Gain/(Loss) (21,958) Accumulated Net Realized Foreign Exchange Gain (Loss) 99 Unrealized Appreciation (Depreciation) of Investment Securities (4,168) Unrealized Net Foreign Exchange Gain (Loss) 35 ------------ Total Net Assets $ 504,123 ============
See accompanying Notes to Financial Statements. 24 DFA INVESTMENT DIMENSIONS GROUP INC. LARGE CAP INTERNATIONAL PORTFOLIO STATEMENT OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $754) $ 9,336 Interest 121 Income from Securities Lending 252 ------------ Total Investment Income 9,709 ------------ EXPENSES Investment Advisory Services 958 Accounting & Transfer Agent Fees 441 Custodian Fees 162 Legal Fees 5 Audit Fees 23 Filing Fees 32 Shareholders' Reports 20 Directors' Fees and Expenses 6 Other 4 ------------ Total Expenses 1,651 ------------ NET INVESTMENT INCOME (LOSS) 8,058 ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Foreign Currency Transactions 99 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 81,602 Translation of Foreign Currency Denominated Amounts 21 ------------ NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 81,722 ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 89,780 ============
See accompanying Notes to Financial Statements. 25 DFA INVESTMENT DIMENSIONS GROUP INC. LARGE CAP INTERNATIONAL PORTFOLIO STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
YEAR YEAR ENDED ENDED NOV. 30, NOV. 30, 2003 2002 --------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 8,058 $ 5,747 Net Realized Gain (Loss) on Investment Securities Sold -- (19,061) Net Realized Gain (Loss) on Foreign Currency Transactions 99 (2) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 81,602 (27,967) Translation of Foreign Currency Denominated Amounts 21 24 --------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations 89,780 (41,259) --------- --------- Distributions From: Net Investment Income (5,772) (5,281) --------- --------- Total Distributions (5,772) (5,281) --------- --------- Capital Share Transactions (1): Shares Issued 179,697 169,995 Shares Issued in Lieu of Cash Distributions 5,551 5,227 Shares Redeemed (102,500) (136,186) --------- --------- Net Increase (Decrease) from Capital Share Transactions 82,748 39,036 --------- --------- Total Increase (Decrease) 166,756 (7,504) NET ASSETS Beginning of Period 337,367 344,871 --------- --------- End of Period $ 504,123 $ 337,367 ========= ========= (1) SHARES ISSUED AND REDEEMED: Shares Issued 14,472 13,227 Shares Issued in Lieu of Cash Distributions 483 386 Shares Redeemed (8,433) (10,549) --------- --------- 6,522 3,064 ========= =========
See accompanying Notes to Financial Statements. 26 DFA INVESTMENT DIMENSIONS GROUP INC. LARGE CAP INTERNATIONAL PORTFOLIO FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------- ----------- ----------- ----------- ----------- Net Asset Value, Beginning of Period $ 12.10 $ 13.90 $ 17.30 $ 19.41 $ 16.28 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.25 0.22 0.25 0.23 0.20 Net Gains (Losses) on Securities (Realized and Unrealized) 2.51 (1.79) (3.38) (1.96) 3.19 ----------- ----------- ----------- ----------- ----------- Total from Investment Operations 2.76 (1.57) (3.13) (1.73) 3.39 ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Net Investment Income (0.21) (0.23) (0.22) (0.21) (0.26) Net Realized Gains -- -- (0.05) (0.17) -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.21) (0.23) (0.27) (0.38) (0.26) ----------- ----------- ----------- ----------- ----------- Net Asset Value, End of Period $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41 =========== =========== =========== =========== =========== Total Return 23.32% (11.50)% (18.42)% (9.19)% 21.12% Net Assets, End of Period (thousands) $ 504,123 $ 337,367 $ 344,871 $ 358,638 $ 268,340 Ratio of Expenses to Average Net Assets 0.43% 0.44% 0.45% 0.47% 0.53% Ratio of Net Investment Income to Average Net Assets 2.10% 1.74% 1.65% 1.21% 1.38% Portfolio Turnover Rate 1% 9% 4% 1% 2%
See accompanying Notes to Financial Statements. 27 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company whose shares are offered without a sales charge generally to institutional investors and clients of registered investment advisors. The Fund consists of forty portfolios, of which the Large Cap International Portfolio (the "Portfolio") is presented in this report. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America for investment companies. Such policies are consistently followed by the Fund in the preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: Securities held by the 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 are valued in good faith at fair value using methods approved by the Board of Directors. The Portfolio values its investment securities at fair value based upon procedures approved by the Board on days when significant events occur after the close of the principal exchange on which the securities are traded, and as a result, are expected to materially affect the value of the investments. 2. Foreign Currency: Securities and other assets and liabilities of the Portfolio whose values are initially expressed in foreign currencies are translated to U.S. dollars at the mean price of such currency against U.S. dollars last quoted by a major bank. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. 28 Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. At November 30, 2003, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $5,650. 4. Other: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Expenses directly attributable to the Portfolio are directly charged. Common expenses are allocated using methods approved by the Board of Directors, generally based on average net assets. The Portfolio may be subject to taxes imposed by countries in which it invests, with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Portfolio accrues such taxes when the related income or capital gains are known. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Portfolio. The Advisor provides administrative services including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. For the year ended November 30, 2003, the Portfolio's advisory fees were accrued daily and paid monthly to the Advisor at an effective annual rate of 0.25 of 1%. Certain officers of the Portfolio are also officers, directors and shareholders of the Advisor. D. PURCHASES AND SALES OF SECURITIES: For the year ended November 30, 2003, the Portfolio made the following purchases and sales of investment securities other than U.S. Government Securities and short-term securities (amounts in thousands): Purchases $ 89,343 Sales 3,082
E. FEDERAL INCOME TAXES: No provision for federal income taxes is required since the Portfolio intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute substantially all of its taxable income and capital gains to shareholders. Because income tax regulations differ from accounting principles generally accepted in the United States of America, the timing and character of income and capital gain distributions determined in accordance with tax regulations can differ from income and capital gains recognized for financial reporting purposes. Accordingly, the character of distributions and the composition of net assets for tax purposes can differ from those reflected in the financial statements. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid in capital, accumulated net realized gain (loss) or undistributed net investment income as appropriate, in the period the differences arise. These reclassifications have no effect on net assets or net asset value per share. Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. The components of distributable earnings on a tax basis do not differ materially from book basis distributable earnings, which are disclosed in the Statements of Assets and Liabilities. 29 At November 30, 2003, gross unrealized appreciation and depreciation for federal income tax purposes of investment securities and foreign currencies was as follows (amounts in thousands): Gross Unrealized Appreciation $ 69,658 Gross Unrealized Depreciation (75,960) --------- Net $ 6,302 =========
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at November 30, its fiscal year end. As of November 30, 2003, the Portfolio had a capital loss carryforward for federal income tax purposes in the amount of approximately $21,144,000, with $2,431,000, $18,180,000 and $533,000 expiring on November 30, 2009, 2010 and 2011, respectively. F. FINANCIAL INSTRUMENTS: In accordance with the Portfolio's Investment Objectives and Policies, the Portfolio may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Repurchase Agreements: The Portfolio may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Portfolio's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. The open repurchase agreement was entered into on November 28, 2003. 2. Foreign Markets Risks. Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Portfolio may be inhibited. G. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated at any time. There were no borrowings under the discretionary line of credit during the year ended November 30, 2003. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2004. There were no borrowings by the Portfolio during the year ended November 30, 2003. 30 H. SECURITIES LENDING: As of November 30, 2003, some of the Fund's portfolios had securities on loan to broker/dealers, for which each portfolio held cash collateral. Each portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, PNCBank, National Association, the lending agent, has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. Each portfolio, along with other portfolios of the Fund, invests the cash collateral received from securities on loan in a pooled cash account, which invests in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. 31 REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS TO THE SHAREHOLDERS OF LARGE CAP INTERNATIONAL PORTFOLIO AND BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC. In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Large Cap International Portfolio (one of the portfolios constituting DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolio") at November 30, 2003, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolio's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2003 by correspondence with the custodian, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 15, 2004 32 THE U.S. LARGE COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ -------------- ----------------- COMMON STOCKS -- (83.7%) 3M Co. 234,000 $ 18,495,360 Abbott Laboratories 467,100 20,645,820 Ace, Ltd. 83,200 3,032,640 *# ADC Telecommunications, Inc. 240,300 591,138 # Adobe Systems, Inc. 69,700 2,880,004 *# Advanced Micro Devices, Inc. 103,700 1,864,526 * AES Corp. 185,200 1,642,724 Aetna, Inc. 45,900 2,955,042 AFLAC, Inc. 153,700 5,528,589 * Agilent Technologies, Inc. 140,900 3,984,652 Air Products & Chemicals, Inc. 67,900 3,255,126 Alberto-Culver Co. Class B 17,600 1,074,832 # Albertson's, Inc. 109,700 2,334,416 Alcoa, Inc. 253,000 8,300,930 * Allegheny Energy, Inc. 37,600 404,200 Allegheny Technologies, Inc. 24,200 198,440 Allergan, Inc. 39,000 2,914,470 * Allied Waste Industries, Inc. 62,600 779,370 # Allstate Corp. 210,400 8,495,952 # Alltel Corp. 93,200 4,232,212 * Altera Corp. 114,300 2,895,219 # Altria Group, Inc. 606,700 31,548,400 Ambac Financial Group, Inc. 32,000 2,200,000 # Amerada Hess Corp. 27,000 1,278,990 # Ameren Corp. 48,400 2,135,892 # American Electric Power Co., Inc. 118,000 3,267,420 # American Express Co. 384,800 17,589,208 *# American Greetings Corp. Class A 19,800 418,176 American International Group, Inc. 780,000 45,201,000 American Power Conversion Corp. 59,000 1,289,740 * American Standard Companies, Inc. 21,600 2,153,520 # AmerisourceBergen Corp. 33,500 2,120,215 * Amgen, Inc. 385,900 22,193,109 AmSouth Bancorporation 104,800 2,514,152 Anadarko Petroleum Corp. 74,500 3,347,285 Analog Devices, Inc. 109,200 5,432,700 *# Andrew Corp. 45,800 539,066 Anheuser-Busch Companies, Inc. 247,200 12,809,904 * Anthem, Inc. 41,300 2,978,556 # AON Corp. 93,500 2,051,390 Apache Corp. 48,400 3,475,120 Apartment Investment & Management Co. Class A 28,100 956,805 * Apollo Group, Inc.(Class A) 52,500 3,624,075 * Apple Computer, Inc. 108,400 2,267,728 Applera Corporation - Applied Biosystems Group 62,500 1,341,875 * Applied Materials, Inc. 495,500 12,040,650 * Applied Micro Circuits Corp. 91,100 588,506 Archer-Daniels Midland Co. 192,800 2,755,112 Ashland, Inc. 20,400 810,696 # AT&T Corp. 235,500 4,669,965 * AT&T Wireless Services, Inc. 811,100 6,083,250 Autodesk, Inc. 33,400 775,548 Automatic Data Processing, Inc. 178,800 6,835,524 * AutoNation, Inc. 82,300 1,446,834 * Autozone, Inc. 26,700 2,554,122 * Avaya, Inc. 124,600 $ 1,694,560 # Avery Dennison Corp. 33,100 1,823,148 Avon Products, Inc. 70,600 4,836,100 B B & T Corp. 161,400 6,352,704 # Baker Hughes, Inc. 100,100 2,888,886 Ball Corp. 16,800 939,960 # Bank of America Corp. 446,900 33,709,667 Bank of New York Co., Inc. 230,300 7,065,604 Bank One Corp. 337,900 14,651,344 Bard (C.R.), Inc. 15,500 1,171,800 Bausch & Lomb, Inc. 15,900 798,657 Baxter International, Inc. 182,000 5,063,240 Bear Stearns Companies, Inc. 29,800 2,159,308 Becton Dickinson & Co. 76,000 3,042,280 * Bed, Bath and Beyond, Inc. 88,400 3,734,016 Bellsouth Corp. 552,300 14,376,369 Bemis Co., Inc. 15,900 723,450 Best Buy Co., Inc. 96,400 5,976,800 * Big Lots, Inc. 34,900 511,634 * Biogen Idec, Inc. 51,405 1,962,643 Biomet, Inc. 76,700 2,743,559 * BJ Services, Co. 47,400 1,511,586 # Black & Decker Corp. 23,200 1,076,248 # Block (H. & R.), Inc. 53,700 2,915,373 * BMC Software, Inc. 68,000 1,130,840 Boeing Co. 251,400 9,651,246 Boise Cascade Corp. 17,500 516,425 * Boston Scientific Corp. 246,000 8,828,940 # Bristol Myers Squibb Co. 579,500 15,269,825 * Broadcom Corp. 88,700 3,231,341 # Brown-Forman Corp. Class B 18,000 1,651,320 Brunswick Corp. 27,100 814,355 Burlington Northern Santa Fe Corp. 111,300 3,313,401 # Burlington Resources, Inc. 60,000 3,012,000 * Calpine Corp. 114,500 488,915 # Campbell Soup Co. 122,700 3,142,347 # Capital One Financial Corp. 67,900 4,054,988 # Cardinal Health, Inc. 133,400 8,156,076 # Carnival Corp. 188,300 6,626,277 # Caterpillar, Inc. 103,200 7,848,360 * Cendant Corp. 303,100 6,716,696 CenterPoint Energy, Inc. 91,400 886,580 # Centex Corp. 18,500 2,023,900 CenturyTel, Inc. 43,100 1,409,370 Charter One Financial, Inc. 67,500 2,242,350 ChevronTexaco Corp. 319,500 23,994,450 * Chiron Corp. 55,700 2,986,634 # Chubb Corp. 56,000 3,665,200 * CIENA Corp. 140,800 996,864 CIGNA Corp. 42,000 2,253,300 # Cincinnati Financial Corp. 48,000 1,945,440 # Cinergy Corp. 53,100 1,940,805 Cintas Corp. 50,900 2,379,066 Circuit City Stores, Inc. 62,400 812,448 *# Cisco Sytems, Inc. 2,098,300 47,547,478 Citigroup, Inc. 1,540,000 72,441,600 *# Citizens Communications Co. 84,900 922,014 *# Citrix Systems, Inc. 49,200 1,181,784
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SHARES VALUE+ -------------- ----------------- Clear Channel Communications, Inc. 183,900 $ 7,688,859 # Clorox Co. 64,800 3,040,416 *# CMS Energy Corp. 43,100 340,059 Coca-Cola Co. 734,800 34,168,200 # Coca-Cola Enterprises, Inc. 135,300 2,793,945 Colgate-Palmolive Co. 160,800 8,442,000 * Comcast Corp. Class A 672,800 21,112,464 Comerica, Inc. 52,400 2,732,660 # Computer Associates International, Inc. 173,000 4,030,900 * Computer Sciences Corp. 55,900 2,314,260 * Compuware Corp. 114,400 654,368 *# Comverse Technology, Inc. 56,300 1,082,649 Conagra, Inc. 160,500 3,932,250 * Concord EFS, Inc. 145,500 1,671,795 # ConocoPhilips 203,300 11,535,242 # Consolidated Edison, Inc. 67,300 2,712,190 Constellation Energy Group 49,900 1,878,236 * Convergys Corp. 42,700 655,018 Cooper Industries, Ltd. 27,600 1,480,740 Cooper Tire & Rubber Co. 22,100 442,221 Coors (Adolph) Co. Class B 10,900 600,699 *# Corning, Inc. 398,100 4,562,226 * Costco Wholesale Corp. 136,700 4,896,594 Countrywide Financial Corp. 40,600 4,287,360 Crane Co. 17,700 514,893 CSX Corp. 64,000 2,168,960 # Cummins, Inc. 12,400 575,980 CVS Corp. 118,000 4,420,280 # Dana Corp. 44,400 717,948 # Danaher Corp. 45,700 3,802,240 # Darden Restaurants, Inc. 49,100 1,016,861 # Deere & Co. 71,600 4,384,068 *# Dell, Inc. 767,800 26,489,100 Delphi Automotive Systems Corp. 167,500 1,470,650 # Delta Air Lines, Inc. 37,000 463,980 Deluxe Corp. 15,900 655,080 Devon Energy Corp. 69,400 3,425,584 # Dillards, Inc. Class A 25,000 421,250 Disney (Walt) Co. 611,100 14,110,299 Dollar General Corp. 99,700 2,105,664 # Dominion Resources, Inc. 96,600 5,822,082 # Donnelley (R.R.) & Sons Co. 33,900 951,234 Dover Corp. 60,500 2,322,595 # Dow Chemical Co. 274,600 10,311,230 # Dow Jones & Co., Inc. 24,300 1,205,280 # DTE Energy Co. 50,300 1,896,813 Duke Energy Corp. 270,400 4,878,016 DuPont (E.I.) de Nemours & Co., Inc. 297,900 12,350,934 *# Dynegy, Inc. 112,000 448,000 Eastman Chemical Co. 23,100 823,977 # Eastman Kodak Co. 85,700 2,087,652 # Eaton Corp. 22,500 2,317,275 * eBay, Inc. 192,000 10,723,200 Ecolab, Inc. 77,700 2,037,294 * Edison International 97,500 1,990,950 # El Paso Corp. 179,500 1,274,450 * Electronic Arts, Inc. 88,000 3,892,240 # Electronic Data Systems Corp. 143,400 3,100,308 *# EMC Corp. 655,800 9,010,692 Emerson Electric Co. 125,900 7,684,936 Engelhard Corp. 37,500 $ 1,118,250 Entergy Corp. 68,100 3,599,766 EOG Resources, Inc. 34,300 1,438,542 Equifax, Inc. 42,000 992,460 Equity Office Properties Trust 119,300 3,308,189 Equity Residential Corp. 81,900 2,404,584 Exelon Corp. 97,500 6,027,450 *# Express Scripts, Inc. Class A 23,500 1,521,155 Exxon Mobil Corp. 1,984,200 71,768,514 Family Dollar Stores, Inc. 51,400 1,983,012 Federal Home Loan Mortgage Corporation 208,100 11,324,802 Federal National Mortgage Association 291,100 20,377,000 Federated Department Stores, Inc. 55,400 2,719,586 Federated Investors, Inc. 32,500 934,375 FedEx Corp. 89,200 6,484,840 # Fifth Third Bancorp 170,400 9,905,352 First Data Corp. 221,300 8,376,205 # First Tennessee National Corp. 37,700 1,681,420 FirstEnergy Corp. 97,400 3,374,910 * Fiserv, Inc. 57,800 2,167,500 FleetBoston Financial Corp. 314,600 12,772,760 # Fluor Corp. 24,400 894,504 # Ford Motor Co. 547,700 7,229,640 *# Forest Laboratories, Inc. 109,100 5,961,224 Fortune Brands, Inc. 43,400 2,965,088 FPL Group, Inc. 54,900 3,488,895 Franklin Resources, Inc. 75,000 3,587,250 # Freeport McMoran Copper & Gold, Inc. Class B 50,300 2,189,559 Gannett Co., Inc. 80,700 6,988,620 # Gap, Inc. 267,100 5,742,650 * Gateway, Inc. 96,900 432,174 General Dynamics Corp. 59,000 4,771,330 General Electric Co. 2,995,200 85,872,384 # General Mills, Inc. 111,400 5,014,114 # General Motors Corp. 167,600 7,169,928 # Genuine Parts Co. 52,000 1,636,960 * Genzyme Corp. 66,400 3,103,536 # Georgia-Pacific Corp. 75,900 2,071,311 Gillette Co. 304,900 10,284,277 Golden West Financial Corp. 45,500 4,590,950 Goodrich (B.F.) Co. 35,100 965,601 *# Goodyear Tire & Rubber Co. 52,400 353,700 Grainger (W.W.), Inc. 27,300 1,262,898 # Great Lakes Chemical Corp. 15,100 342,921 Guidant Corp. 92,100 5,228,517 # Halliburton Co. 131,000 3,058,850 # Harley-Davidson, Inc. 90,500 4,268,885 # Harrahs Entertainment, Inc. 32,900 1,574,923 # Hartford Financial Services Group, Inc. 84,400 4,642,000 # Hasbro, Inc. 51,900 1,147,509 HCA, Inc. 149,400 6,261,354 # Health Management Associates, Inc. 71,700 1,842,690 # Heinz (H.J.) Co. 105,200 3,797,720 * Hercules, Inc. 33,200 333,328 Hershey Foods Corp. 39,000 3,030,300 Hewlett-Packard Co. 912,800 19,798,632 # Hilton Hotels Corp. 112,900 1,847,044
34
SHARES VALUE+ -------------- ----------------- # Home Depot, Inc. 687,100 $ 25,257,796 Honeywell International, Inc. 257,100 7,633,299 * Humana, Inc. 48,400 1,080,772 Huntington Bancshares, Inc. 68,300 1,501,917 Illinois Tool Works, Inc. 92,100 7,193,010 # IMS Health, Inc. 71,500 1,646,645 Ingersoll-Rand Co., Ltd. Class A 51,100 3,185,574 # Intel Corp. 1,946,300 65,064,809 # International Business Machines Corp. 517,200 46,827,288 # International Flavors & Fragrances, Inc. 28,200 915,654 International Game Technology 103,200 3,580,008 # International Paper Co. 143,300 5,332,193 * Interpublic Group of Companies, Inc. 117,000 1,667,250 * Intuit, Inc. 61,400 3,087,192 ITT Industries, Inc. 27,600 1,819,392 * Jabil Circuit, Inc. 59,500 1,636,845 Janus Capital Group, Inc. 71,600 995,956 *# JDS Uniphase Corp. 427,600 1,470,944 Jefferson-Pilot Corp. 42,500 2,062,525 John Hancock Financial Services, Inc. 86,500 3,178,875 # Johnson & Johnson 887,300 43,735,017 Johnson Controls, Inc. 26,700 2,922,048 Jones Apparel Group, Inc. 37,900 1,307,550 JP Morgan Chase & Co. 608,900 21,530,704 KB Home Corp. 14,100 971,208 Kellogg Co. 122,000 4,363,940 Kerr-McGee Corp. 30,100 1,263,899 KeyCorp 125,900 3,498,761 KeySpan Corp. 47,500 1,673,425 Kimberly Clark Corp. 151,400 8,208,908 Kinder Morgan, Inc. 36,900 2,011,050 * King Pharmaceuticals, Inc. 72,100 930,811 * KLA-Tencor Corp. 56,900 3,334,909 Knight Ridder, Inc. 24,000 1,785,120 * Kohls Corp. 101,500 4,904,480 * Kroger Co. 224,700 4,237,842 Leggett and Platt, Inc. 57,500 1,169,550 # Lehman Brothers Holdings, Inc. 82,200 5,935,662 * Lexmark International Group, Inc. 38,300 2,964,420 Lilly (Eli) & Co. 335,700 23,015,592 Limited Brands, Inc. 155,900 2,793,728 Lincoln National Corp. 53,200 2,085,972 Linear Technology Corp. 93,600 4,037,904 Liz Claiborne, Inc. 32,600 1,141,326 # Lockheed Martin Corp. 134,800 6,192,712 Loews Corp. 55,400 2,361,702 * Louisiana-Pacific Corp. 31,300 566,217 Lowe's Companies, Inc. 234,200 13,653,860 * LSI Logic Corp. 113,200 1,060,684 *# Lucent Technologies, Inc. 1,243,800 3,980,160 Manor Care, Inc. 26,600 939,512 Marathon Oil Corp. 92,700 2,744,847 Marriott International, Inc. Class A 69,700 3,194,351 Marsh & McLennan Co., Inc. 159,300 7,079,292 Marshall & Isley Corp. 67,900 2,519,090 Masco Corp. 140,500 3,821,600 *# Mattel, Inc. 131,300 2,657,512 Maxim Integrated Products, Inc. 97,100 5,056,968 # May Department Stores Co. 86,300 2,558,795 Maytag Corp. 23,500 $ 621,340 MBIA, Inc. 43,400 2,522,408 MBNA Corp. 382,000 9,366,640 McCormick & Co., Inc. 41,800 1,199,242 # McDonalds Corp. 380,400 9,749,652 McGraw-Hill Companies, Inc. 57,200 3,918,200 McKesson Corp. 86,900 2,537,480 MeadWestavco Corp. 59,900 1,528,648 * Medco Health Solutions, Inc. 80,900 2,947,187 * Medimmune, Inc. 74,600 1,775,480 Medtronic, Inc. 363,800 16,443,760 Mellon Financial Corp. 128,700 3,706,560 Merck & Co., Inc. 669,300 27,173,580 *# Mercury Interactive Corp. 25,800 1,207,440 Meredith Corp. 14,900 713,561 # Merrill Lynch & Co., Inc. 279,500 15,861,625 # MetLife, Inc. 227,300 7,430,437 # MGIC Investment Corp. 29,400 1,556,730 *# Micron Technology, Inc. 182,300 2,371,723 Microsoft Corp. 3,232,900 83,085,530 * Millipore Corp. 14,600 625,026 Molex, Inc. 57,100 1,836,336 Monsanto Co. 78,300 2,123,496 * Monster Worldwide, Inc. 33,600 808,416 Moody's Corp. 44,600 2,554,688 Morgan Stanley Dean Witter & Co. 325,200 17,977,056 Motorola, Inc. 695,700 9,767,628 * Nabors Industries, Ltd. 43,800 1,625,856 National City Corp. 183,600 6,159,780 * National Semiconductor Corp. 54,900 2,455,128 *# Navistar International Corp. 20,400 879,240 * NCR Corp. 28,300 987,670 * Network Appliance Corp. 102,200 2,361,842 New York Times Class A 44,700 2,051,730 # Newell Rubbermaid, Inc. 82,100 1,877,627 Newmont Mining Corp. 129,200 6,219,688 * Nextel Communications Corp. Class A 309,600 7,842,168 Nicor, Inc. 13,200 432,564 Nike, Inc. Class B 78,800 5,299,300 NiSource, Inc. 78,500 1,628,875 * Noble Corp. 39,900 1,379,742 Nordstrom, Inc. 40,500 1,397,250 Norfolk Southern Corp. 116,700 2,498,547 # North Fork Bancorporation, Inc. 45,400 1,812,822 Northern Trust Corp. 66,100 2,964,585 # Northrop Grumman Corp. 54,700 5,066,861 * Novell, Inc. 111,000 1,054,500 * Novellus Systems, Inc. 45,200 1,977,952 Nucor Corp. 23,400 1,312,974 * Nvidia Corp. 47,600 1,006,740 Occidental Petroleum Corp. 114,400 4,196,192 * Office Depot, Inc. 92,700 1,469,295 Omnicom Group, Inc. 56,800 4,524,688 *# Oracle Systems Corp. 1,564,700 18,792,047 Paccar, Inc. 34,800 2,791,308 * Pactiv Corp. 47,100 1,056,924 Pall Corp. 37,200 953,064 * Parametric Technology Corp. 79,500 271,890 # Parker-Hannifin Corp. 35,300 1,941,147 Paychex, Inc. 112,600 4,331,722 # Penney (J.C.) Co., Inc. 81,200 2,020,256
35
SHARES VALUE+ -------------- ----------------- Peoples Energy Corp. 10,900 $ 438,180 *# Peoplesoft, Inc. 108,800 2,301,120 # Pepsi Bottling Group, Inc. 80,000 1,846,400 Pepsico, Inc. 515,900 24,825,108 PerkinElmer, Inc. 37,900 640,889 Pfizer, Inc. 2,327,800 78,097,690 * PG&E Corp.(Holding Co.) 123,100 3,092,272 * Phelps Dodge Corp. 26,600 1,693,888 Pinnacle West Capital Corp. 27,300 1,074,801 Pitney Bowes, Inc. 70,000 2,782,500 # Plum Creek Timber Co., Inc. 54,700 1,456,661 * PMC Sierra, Inc. 50,900 1,036,833 * Power-One, Inc. 24,800 209,064 PPG Industries, Inc. 50,700 2,964,429 # PPL Corp. 52,900 2,162,552 Praxair, Inc. 48,700 3,495,686 Principal Financial Group, Inc. 96,700 3,201,737 # Procter & Gamble Co. 387,600 37,302,624 Progress Energy, Inc. 72,800 3,190,096 # Progressive Corp. 64,900 5,068,690 ProLogis 53,700 1,637,850 * Providian Financial Corp. 86,800 980,840 Prudential Financial, Inc. 163,100 6,378,841 Public Service Enterprise Group, Inc. 67,700 2,777,054 Pulte Homes Inc. 18,400 1,757,936 * Q Logic Corp. 28,200 1,602,606 # Qualcomm, Inc. 237,300 10,571,715 * Quest Diagnostics, Inc. 31,400 2,291,258 * Qwest Communications International, Inc. 506,800 1,854,888 *# Radioshack Corp. 49,500 1,541,925 Raytheon Co. 123,700 3,427,727 Reebok International, Ltd. 17,700 712,248 Regions Financial Corp. 66,600 2,471,526 # RJ Reynolds Tobacco Holdings, Inc. 25,200 1,391,040 *# Robert Half International, Inc. 50,900 1,133,034 # Rockwell Collins, Inc. 53,600 1,441,304 Rockwell International Corp. 55,200 1,835,400 Rohm & Haas Co. 66,500 2,669,975 * Rowan Companies, Inc. 28,100 594,877 Ryder System, Inc. 18,900 589,491 # Sabre Holdings Corp. 43,000 896,550 Safeco Corp. 41,300 1,545,859 * Safeway, Inc. 132,000 2,739,000 * Saint Jude Medical, Inc. 51,400 3,255,676 Saint Paul Companies, Inc. 68,100 2,526,510 * Sanmina Corp. 152,400 1,857,756 # Sara Lee Corp. 232,400 4,775,820 # SBC Communications, Inc. 993,600 23,131,008 Schering-Plough Corp. 439,200 7,049,160 Schlumberger, Ltd. 174,200 8,173,464 Schwab (Charles) Corp. 404,900 4,696,840 Scientific-Atlanta, Inc. 44,500 1,285,160 *# Sealed Air Corp. 25,400 1,340,358 # Sears, Roebuck & Co. 84,500 4,661,020 # Sempra Energy 66,900 1,894,608 # Sherwin-Williams Co. 43,700 1,417,191 * Siebel Systems, Inc. 147,700 1,946,686 # Sigma-Aldrich Corp. 21,100 1,130,327 # Simon Property Group, Inc. 57,500 2,728,375 SLM Corp. 134,800 $ 5,005,124 Snap-On, Inc. 17,500 525,350 * Solectron Corp. 248,100 1,451,385 Southern Co. 217,800 6,375,006 SouthTrust Corp. 100,900 3,243,935 # Southwest Airlines Co. 234,000 4,207,320 # Sprint Corp. 270,000 4,047,300 * Sprint Corp.(PCS Group) 309,200 1,419,228 Stanley Works 25,500 834,105 * Staples, Inc. 146,500 3,977,475 *# Starbucks Corp. 116,900 3,748,983 # Starwood Hotels and Resorts Worldwide, Inc. 60,100 2,071,647 State Street Corp. 99,500 5,070,520 Stryker Corp. 59,500 4,819,500 * Sun Microsystems, Inc. 965,500 4,122,685 * Sungard Data Systems, Inc. 85,200 2,302,104 # Sunoco, Inc. 23,000 1,104,230 Suntrust Banks, Inc. 84,100 5,975,305 # Supervalu, Inc. 40,000 1,032,800 *# Symantec Corp. 90,600 2,974,398 Symbol Technologies, Inc. 68,900 961,155 Synovus Financial Corp. 90,000 2,579,400 # Sysco Corp. 194,200 7,053,344 # T.Rowe Price Group, Inc. 37,000 1,555,480 Target Corp. 272,300 10,543,456 # Teco Energy, Inc. 56,100 728,178 Tektronix, Inc. 25,400 699,770 * Tellabs, Inc. 123,400 987,200 # Temple-Inland, Inc. 16,200 915,786 * Tenet Healthcare Corp. 138,600 2,024,946 * Teradyne, Inc. 56,400 1,419,588 # Texas Instruments, Inc. 517,500 15,400,800 # Textron, Inc. 40,500 2,018,520 # The Goldman Sachs Group, Inc. 141,800 13,624,144 * Thermo-Electron Corp. 48,500 1,159,150 # Thomas & Betts Corp. 17,500 364,000 # Tiffany & Co. 43,400 1,968,190 * Time Warner, Inc. 1,349,100 21,963,348 TJX Companies, Inc. 152,600 3,447,234 Torchmark Corp. 34,100 1,503,810 *# Toys R Us, Inc. 63,800 749,012 * Transocean, Inc. 95,600 1,852,728 Travelers Property Casualty Corp. Series B 300,900 4,694,040 Tribune Co. 93,800 4,582,130 Tupperware Corp. 17,500 269,675 # TXU Corp. 96,300 2,132,082 # Tyco International, Ltd. 597,100 13,703,445 U.S.Bancorp 575,900 15,958,189 # Union Pacific Corp. 76,200 4,852,416 Union Planters Corp. 58,600 2,022,286 *# Unisys Corp. 98,400 1,605,888 # United Parcel Service, Inc. 336,500 24,487,105 # United States Steel Corp. 30,900 767,865 United Technologies Corp. 140,200 12,015,140 Unitedhealth Group, Inc. 178,300 9,610,370 *# Univision Communications, Inc. Class A 96,300 3,474,504 # Unocal Corp. 77,300 2,456,594 UnumProvident Corp. 88,500 1,321,305
36
SHARES VALUE+ -------------- ----------------- UST, Inc. 49,800 $ 1,792,302 * Veritas Software Co. 127,300 4,840,073 Verizon Communications, Inc. 824,100 27,005,757 VF Corp. 32,200 1,328,894 # Viacom, Inc. Class B 525,000 20,643,000 # Visteon Corp. 39,100 306,935 Vulcan Materials Co. 30,300 1,347,441 Wachovia Corp. 398,300 18,222,225 # Walgreen Co. 306,400 11,278,584 Wal-Mart Stores, Inc. 1,306,200 72,676,968 # Washington Mutual, Inc. 276,100 12,648,141 # Waste Management, Inc. 177,000 5,205,570 * Waters Corp. 36,800 1,176,864 * Watson Pharmaceuticals, Inc. 32,300 1,522,622 * Wellpoint Health Networks, Inc. 43,900 4,104,211 Wells Fargo & Co. 502,200 28,791,126 Wendy's International, Inc. 33,900 1,316,337 Weyerhaeuser Co. 65,500 3,733,500 # Whirlpool Corp. 20,600 1,407,392 Williams Companies, Inc. 154,900 1,452,962 Winn-Dixie Stores, Inc. 42,200 381,066 Worthington Industries, Inc. 25,700 368,024 # Wrigley (Wm.) Jr. Co 67,300 3,709,576 Wyeth 398,100 15,685,140 XCEL Energy, Inc. 119,100 1,988,970 * Xerox Corp. 236,400 2,879,352 * Xilinx, Inc. 101,900 3,830,421 # XL Capital, Ltd. 40,800 3,068,160 *# Yahoo!, Inc. 194,200 $ 8,346,716 * Yum! Brands, Inc. 87,800 3,028,222 * Zimmer Holdings, Inc. 67,800 4,469,376 Zions Bancorp 26,900 1,658,923 ----------------- TOTAL COMMON STOCKS (Cost $2,433,299,579) 2,926,111,543 ----------------- FACE AMOUNT -------------- (000) TEMPORARY CASH INVESTMENTS -- (16.3%) Repurchase Agreement, PNC Capital Markets Inc. 0.82% 12/01/03 (collateralized by $65,802,000 FMC Discount Notes 1.11%, 03/25/04, valued at $65,555,243) to be repurchased at $64,590,413 (Cost $64,586,000) $ 64,586 64,586,000 Repurchase agreements in a Pooled Cash Account, UBS Warburg and Deutsche Bank Securities Inc., 1.01% and 1.02% respectively, 12/01/03 (Collateralized by $407,137,000 U.S. Treasury Obligations, rates ranging from 5.50% to 8.875%, maturities ranging from 08/15/04 to 05/15/30, valued at $503,698,795) to be repurchased at $490,835,464 (Cost $490,793,933)^ 490,794 490,793,933 ----------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $555,379,933) 555,379,933 ----------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,988,679,512)++ $ 3,481,491,476 =================
---------- + See Note B to Financial Statements. * Non-Income Producing Securities # Total or Partial Securities on Loan ^ Security purchased with cash proceeds from securities on loan ++ The cost for federal income tax purposes is $3,129,062,752. See accompanying Notes to Financial Statements. 37 THE U.S. LARGE CAP VALUE SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ -------------- ----------------- COMMON STOCKS (82.2%) * 3COM Corp. 606,100 $ 4,533,628 A. G. Edwards, Inc. 17,500 642,950 * Advanced Micro Devices, Inc. 504,800 9,076,304 Aetna, Inc. 539,626 34,741,122 *# Agere Systems, Inc. Class A 8,652 30,628 * Agere Systems, Inc. Class B 212,364 717,790 * Agilent Technologies, Inc. 50,600 1,430,968 Albertson's, Inc. 486,800 10,359,104 * Allegheny Corp. 17,583 3,622,098 Alliant Energy Corp. 212,900 5,205,405 * Allied Waste Industries, Inc. 205,800 2,562,210 Allstate Corp. 1,179,300 47,620,134 Ambac Financial Group, Inc. 23,200 1,595,000 # Amerada Hess Corp. 158,200 7,493,934 American Financial Group, Inc. 177,400 4,349,848 American National Insurance Co. 46,700 3,919,531 *# American Tower Corp. 119,400 1,358,772 *# Americredit Corp. 224,000 3,012,800 Anadarko Petroleum Corp. 441,600 19,841,088 Apache Corp. 64,995 4,666,641 * Apple Computer, Inc. 197,300 4,127,516 * Applied Micro Circuits Corp. 213,200 1,377,272 Archer-Daniels Midland Co. 2,375,260 33,942,465 *# Arrow Electronics, Inc. 308,200 7,205,716 Ashland, Inc. 297,600 11,826,624 # Astoria Financial Corp. 40,500 1,513,890 AT&T Corp. 1,246,380 24,715,715 * AT&T Wireless Services, Inc. 5,137,837 38,533,777 * AutoNation, Inc. 2,057,600 36,172,608 * Avnet, Inc. 187,800 4,005,774 AVX Corp. 125,400 1,893,540 Bank of Hawaii Corp. 337,800 13,968,030 *# Barnes & Noble, Inc. 13,000 431,340 Bausch & Lomb, Inc. 11,800 592,714 Bear Stearns Companies, Inc. 373,770 27,083,374 Belo Corp. Class A 324,200 9,210,522 * Big Lots, Inc. 253,500 3,716,310 # Blockbuster, Inc. Class A 23,300 397,964 Boise Cascade Corp. 213,400 6,297,434 * Borders Group, Inc. 34,000 764,320 Borg-Warner, Inc. 100,800 7,963,200 # Bowater, Inc. 168,400 6,887,560 Brunswick Corp. 297,600 8,942,880 Burlington Northern Santa Fe Corp. 1,283,000 38,194,910 * Cavco Industries, Inc. 11,450 269,075 * Cendant Corp. 311,800 6,909,488 * CheckFree Corp. 56,200 1,552,244 Chubb Corp. 108,900 7,127,505 * CIENA Corp. 164,600 1,165,368 # Cincinnati Financial Corp. 551,580 22,355,537 Circuit City Stores, Inc. 332,000 4,322,640 Clear Channel Communications, Inc. 710,900 29,722,729 * CNA Financial Corp. 635,600 14,866,684 # Coca-Cola Enterprises, Inc. 1,785,400 36,868,510 * Comcast Corp. Class A 1,585,448 49,751,358 *# Comcast Corp. Special Class A Non-Voting 927,100 27,952,065 Commerce Group, Inc. 93,100 $ 3,724,931 Commercial Federal Corp. 98,900 2,670,300 * Compuware Corp. 35,800 204,776 *# Comverse Technology, Inc. 111,500 2,144,145 ConocoPhilips 220,400 12,505,496 *# Corning, Inc. 998,300 11,440,518 Countrywide Financial Corp. 410,000 43,296,000 *# Cox Communications, Inc. 1,000,000 33,900,000 *# Crown Castle International Corp. 352,900 4,379,489 CSX Corp. 577,800 19,581,642 # Cummins, Inc. 143,100 6,646,995 Curtiss-Wright Corp-Cl B W/I 13,565 1,105,548 # Dana Corp. 510,700 8,258,019 # Delta Air Lines, Inc. 402,500 5,047,350 # Diamond Offshore Drilling, Inc. 237,900 4,175,145 # Dillards, Inc. Class A 48,900 823,965 Disney (Walt) Co. 906,600 20,933,394 Eastman Chemical Co. 108,200 3,859,494 # Electronic Data Systems Corp. 570,200 12,327,724 * Fairchild Semiconductor Corp. Class A 86,300 2,243,800 Federated Department Stores, Inc. 618,200 30,347,438 First American Financial Corp. 106,500 3,152,400 First Citizens Bancshares, Inc. 10,300 1,137,017 FleetBoston Financial Corp. 331,300 13,450,780 Florida East Coast Industries, Inc. 68,139 2,078,240 # Foot Locker, Inc. 175,000 3,867,500 # Ford Motor Co. 2,964,200 39,127,440 # General Motors Corp. 1,112,300 47,584,194 * General Motors Corp. Class H 826,438 13,718,871 # Georgia-Pacific Corp. 462,300 12,616,167 *# Goodyear Tire & Rubber Co. 203,900 1,376,325 Harris Corp. 151,400 5,869,778 Hartford Financial Services Group, Inc. 400,800 22,044,000 * Hearst-Argyle Television, Inc. 238,600 5,857,630 Helmerich & Payne, Inc. 146,800 3,537,880 Hibernia Corp. 274,500 6,272,325 # Hollinger International, Inc. Class A 268,700 4,275,017 # Horton (D.R.), Inc. 589,215 25,748,696 *# Human Genome Sciences, Inc. 23,900 305,920 * Humana, Inc. 618,900 13,820,037 Ikon Office Solutions, Inc. 7,300 61,831 Independence Community Bank Corp. 12,500 462,250 * Ingram Micro, Inc. 269,200 3,924,936 * Instinet Group, Inc. 15,200 81,472 * InterActiveCorp 394,400 12,956,040 # International Paper Co. 1,215,775 45,238,988 *# Invitrogen Corp. 50,100 3,415,317 *# JDS Uniphase Corp. 1,095,700 3,769,208 John Hancock Financial Services, Inc. 358,800 13,185,900 JP Morgan Chase & Co. 2,244,400 79,361,984 Kerr-McGee Corp. 138,200 5,803,018 KeyCorp 941,600 26,167,064 Labranche & Co., Inc. 19,700 162,919 LaFarge North America, Inc. 257,500 9,810,750
38
SHARES VALUE+ -------------- ----------------- * Lear Corp. 110,900 $ 6,558,626 * Level 3 Communications, Inc. 195,500 1,071,340 * Liberty Media Corp. 4,139,400 45,740,370 Lincoln National Corp. 334,400 13,111,824 Loews Corp. 636,800 27,146,784 * LSI Logic Corp. 425,400 3,985,998 Lubrizol Corp. 182,000 5,483,660 *# Lucent Technologies, Inc. 1,193,800 3,820,160 # Lyondell Chemical Co. 447,200 6,636,448 Mandalay Resort Group 234,400 10,067,480 Marathon Oil Corp. 911,450 26,988,035 # May Department Stores Co. 63,100 1,870,915 MBIA, Inc. 248,850 14,463,162 MeadWestavco Corp. 758,431 19,355,159 MetLife, Inc. 1,376,400 44,994,516 *# Metro-Goldwyn-Mayer, Inc. 261,100 4,308,150 # MGIC Investment Corp. 116,900 6,189,855 *# MGM Grand, Inc. 238,300 8,931,484 *# Micron Technology, Inc. 597,900 7,778,679 *# Mony Group, Inc. 51,200 1,613,824 Nationwide Financial Services, Inc. 81,500 2,660,160 * NCR Corp. 12,300 429,270 Norfolk Southern Corp. 1,537,600 32,920,016 # Northrop Grumman Corp. 320,271 29,666,703 * Novell, Inc. 74,600 708,700 Nucor Corp. 15,000 841,650 Occidental Petroleum Corp. 650,800 23,871,344 # Odyssey Re Holdings Corp. 22,300 510,447 Old Republic International Corp. 334,275 12,388,232 Omnicare, Inc. 30,900 1,233,528 * Owens-Illinois, Inc. 264,400 2,982,432 * Pacificare Health Systems, Inc. 25,000 1,627,750 * Pactiv Corp. 342,600 7,687,944 * PanAmSat Corp. 250,100 5,524,709 *# Park Place Entertainment Corp. 802,900 8,398,334 Peabody Energy Corp. 54,600 1,840,020 # Penney (J.C.) Co., Inc. 1,120,000 27,865,600 PepsiAmericas, Inc. 192,000 3,012,480 * Phelps Dodge Corp. 287,085 18,281,573 # PMI Group, Inc. 121,700 4,530,891 * Pride International, Inc. 253,400 4,041,730 Principal Financial Group, Inc. 424,200 14,045,262 Protective Life Corp. 91,500 3,005,775 * Providian Financial Corp. 368,300 4,161,790 Pulte Homes Inc. 124,200 11,866,068 Questar Corp. 251,000 8,564,120 * Qwest Communications International, Inc. 2,000,600 7,322,196 Radian Group, Inc. 155,200 7,659,120 * Radio One, Inc. 5,000 87,800 Rayonier, Inc. 147,781 5,479,738 Raytheon Co. 1,084,000 30,037,640 Reinsurance Group of America, Inc. 64,100 2,381,315 *# Rite Aid Corp. 969,800 5,964,270 # RJ Reynolds Tobacco Holdings, Inc. 251,326 13,873,195 Ryder System, Inc. 275,400 8,589,726 Safeco Corp. 486,400 18,205,952 Saint Paul Companies, Inc. 695,326 25,796,595 * Saks, Inc. 743,200 11,430,416 * Sanmina Corp. 639,900 7,800,381 # Sears, Roebuck & Co. 387,700 21,385,532 * Smithfield Foods, Inc. 68,400 $ 1,603,980 * Smurfit-Stone Container Corp. 469,026 7,673,265 * Solectron Corp. 1,155,300 6,758,505 Sovereign Bancorp, Inc. 781,020 17,697,913 # Sprint Corp. 1,610,400 24,139,896 StanCorp Financial Group, Inc. 20,000 1,251,200 # Starwood Hotels and Resorts Worldwide, Inc. 573,500 19,768,545 Steelcase, Inc. Class A 47,400 587,760 * Sun Microsystems, Inc. 2,143,700 9,153,599 # Sunoco, Inc. 298,800 14,345,388 # Supervalu, Inc. 565,200 14,593,464 * Tech Data Corp. 69,000 2,541,960 Telephone & Data Systems, Inc. 71,700 4,495,590 * Tellabs, Inc. 665,800 5,326,400 # Temple-Inland, Inc. 131,300 7,422,389 * Tenet Healthcare Corp. 466,400 6,814,104 # Textron, Inc. 123,000 6,130,320 # Thomas & Betts Corp. 46,900 975,520 Tidewater, Inc. 100,900 2,785,849 * Time Warner, Inc. 5,860,700 95,412,196 Torchmark Corp. 33,300 1,468,530 * Toys R Us, Inc. 819,300 9,618,582 * Triad Hospitals, Inc. 100,300 3,470,380 Tyson Foods, Inc. Class A 912,556 12,456,389 # Union Pacific Corp. 824,200 52,485,056 Unionbancal Corp. 86,600 4,932,736 * Unisys Corp. 124,900 2,038,368 * United States Cellular Corp. 72,800 2,518,880 # United States Steel Corp. 326,200 8,106,070 Unitrin, Inc. 223,800 8,466,354 UnumProvident Corp. 838,989 12,526,106 Valero Energy Corp. 158,000 6,809,800 Valhi, Inc. 158,500 2,190,470 * VeriSign, Inc. 166,300 2,695,723 Viacom, Inc. Class B 2,189,200 86,079,344 *# Vishay Intertechnology, Inc. 265,716 5,582,693 * Vitesse Semiconductor, Inc. 2,800 20,440 * WebMD Corp. 25,800 236,070 Weis Markets, Inc. 20,800 738,400 Wesco Financial Corp. 13,540 4,726,137 * Westport Resources Corp. 30,800 834,680 # Weyerhaeuser Co. 407,500 23,227,500 Worthington Industries, Inc. 133,200 1,907,424 * Xerox Corp. 75,000 913,500 ----------------- TOTAL COMMON STOCKS (Cost $2,138,684,770) 2,481,591,024 ----------------- FACE AMOUNT -------------- (000) TEMPORARY CASH INVESTMENTS -- (17.8%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $30,415,000 FMC Discount Notes 1.11%, 03/25/04, valued at $30,300,944) to be repurchased at $29,855,040 $ 29,853 29,853,000
39
FACE AMOUNT VALUE+ -------------- ----------------- (000) Repurchase agreements in a Pooled Cash Account, UBS Warburg and Deutsche Bank Securities Inc., 1.01% and 1.02% respectively, 12/01/03 (Collateralized by $407,522,000 U.S. Treasury Obligations, rates ranging from 5.50% to 8.875%, maturities ranging from 08/15/04 to 05/15/30, valued at $504,174,949) to be repurchased at $491,299,458 (Cost $491,257,888)^ $ 491,258 $ 491,257,888 ----------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $521,110,888) 521,110,888 ----------------- TOTAL INVESTMENTS-- (100.0%) (Cost $2,659,795,658) ++ $ 3,002,701,912 =================
---------- + See Note B to Financial Statements. * Non-Income Producing Securities # Total or Partial Securities on Loan ^ Security purchased with cash proceeds from securities on loan ++ The cost for federal income tax purposes is $2,659,939,034 See accompanying Notes to Financial Statements. 40 THE U.S. SMALL CAP SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ COMMON STOCKS -- (91.0%) * 1-800 CONTACTS, Inc. 19,654 $ 415,682 * 1-800-FLOWERS.COM, Inc. 41,597 487,101 1st Source Corp. 28,641 642,990 # 21st Century Holding Co. 1,100 16,929 * 24/7 Real Media, Inc. 15,900 24,009 * 3-D Systems Corp. 11,500 104,650 * 4Kids Entertainment, Inc. 19,800 531,630 * 7-Eleven, Inc. 134,600 2,207,440 *# 8X8, Inc. 19,200 144,192 * @Road, Inc. 79,200 997,128 * A. B. Watley Group, Inc. 9,400 2,162 * A.C. Moore Arts & Crafts, Inc. 28,900 634,933 * A.D.A.M., Inc. 700 1,512 *# aaiPharma, Inc. 47,250 859,005 * Aames Financial Corp. 240 761 * AAON, Inc. 13,100 246,804 * AAR Corp. 46,883 490,396 Aaron Rents, Inc. Class A 5,700 113,202 Aaron Rents, Inc. Class B 21,600 457,920 * Abaxis, Inc. 18,300 370,392 ABC Bancorp 8,310 139,774 * Abgenix, Inc. 131,934 1,486,896 Abington Bancorp, Inc. 3,200 122,112 *# Abiomed, Inc. 31,570 233,271 * Ablest, Inc. 2,100 11,445 ABM Industries, Inc. 74,100 1,174,485 Abrams Industries, Inc. 200 830 * ABX Air, Inc. 66,600 263,070 * Acacia Research-Acacia Technologies Common Stock 20,960 115,280 * Acacia Research-CombiMatrix Corp. 10,434 42,049 * Access Pharmaceuticals, Inc. 14,400 68,400 *# Acclaim Entertainment, Inc. 55,700 36,205 * Accredo Health, Inc. 49,137 1,443,589 * Ace Cash Express, Inc. 10,100 194,819 * Ace Comm Corp. 7,500 18,150 Aceto Corp. 15,500 299,134 * Aclara Biosciences, Inc. 49,571 158,627 * Acme Communications, Inc. 24,600 209,100 * Acme United Corp. 3,400 17,850 * ACT Manufacturing, Inc. 4,600 92 * ACT Teleconferencing, Inc. 14,400 23,760 * Actel Corp. 37,400 1,025,134 * Acterna Corp. 122,100 3,052 Action Performance Companies, Inc. 26,800 520,456 * ActivCard Corp. 59,991 521,322 * Active Power, Inc. 63,100 212,016 * Activision, Inc. 123,343 1,887,148 * Actuant Corp. 35,280 1,095,444 * Actuate Corp. 90,600 285,390 Acuity Brands, Inc. 27,700 660,645 * Acxiom Corp. 4,000 66,440 * Adams Resources & Energy, Inc. 4,200 48,804 * Adaptec, Inc. 162,200 1,428,982 * ADE Corp. 13,300 334,495 * Adept Technology, Inc. 7,100 12,780 * Administaff, Inc. 39,300 587,928 * Adolor Corp. 69,800 $ 1,377,154 * Advanced Digital Information Corp. 94,200 1,429,014 * Advanced Energy Industries, Inc. 48,400 1,277,760 *# Advanced Magnetics, Inc. 6,600 94,050 Advanced Marketing Services, Inc. 28,550 332,607 * Advanced Materials Group, Inc. 237 69 * Advanced Medical Optics, Inc. 43,600 859,356 * Advanced Neuromodulation Systems, Inc. 29,000 1,223,510 * Advanced Nutraceuticals, Inc. 700 343 * Advanced Photonix, Inc. Class A 9,000 22,590 * Advanced Power Technology, Inc. 15,600 128,076 Advanta Corp. Class A 14,717 184,698 Advanta Corp. Class B Non-Voting 24,994 320,923 * Advent Software, Inc. 48,700 852,737 Advo, Inc. 44,850 1,354,918 * Aehr Test Systems 7,100 27,470 * AEP Industries, Inc. 12,300 88,929 * AeroCentury Corp. 300 936 * Aeroflex, Inc. 98,950 1,255,675 * Aeropostale, Inc. 55,600 1,734,164 *# Aerosonic Corp. 3,900 44,265 * Aether Systems, Inc. 63,842 317,295 * Aetrium, Inc. 9,300 33,015 * AFC Enterprises, Inc. 39,800 686,550 * Affiliated Managers Group, Inc. 26,100 1,735,650 * Affinity Technology Group, Inc. 29,100 2,561 * Aftermarket Technology Corp. 36,300 483,153 * AG Services America, Inc. 5,400 45,630 * Agile Software Corp. 77,000 846,230 *# Agility Capital, Inc. 5,900 38 Agilysys, Inc. 47,488 534,715 * Air Methods Corp. 13,400 121,270 Airgas, Inc. 62,500 1,211,250 * Airnet Systems, Inc. 10,100 35,249 * Airspan Networks, Inc. 23,000 55,430 * Airtran Holdings, Inc. 124,100 1,831,716 * AK Steel Holding Corp. 162,400 487,200 *# Akamai Technologies, Inc. 179,200 2,404,864 * Akorn, Inc. 19,500 36,075 *# Aksys, Ltd. 44,600 322,904 Alabama National Bancorporation 17,900 966,600 Alamo Group, Inc. 12,500 184,125 * Alaris Medical, Inc. 107,200 1,705,552 * Alaska Air Group, Inc. 40,000 1,150,400 * Alaska Communications Systems Group, Inc. 22,200 110,756 Albany International Corp. Class A 41,872 1,298,451 * Albany Molecular Research, Inc. 47,678 672,260 Albemarle Corp. 61,900 1,751,770 * Alcide Corp. 2,300 35,558 * Alderwoods Group, Inc. 6,000 53,160 * Aldila, Inc. 4,633 16,447 Alexander & Baldwin, Inc. 53,800 1,692,548 * Alexion Pharmaceuticals, Inc. 32,700 613,125 Alfa Corp. 119,799 1,520,249 Alico, Inc. 7,000 244,300 *# Align Technology, Inc. 86,612 1,559,882
41
SHARES VALUE+ ------ ------ * Alkermes, Inc. 133,011 $ 1,739,784 * All American Semiconductor, Inc. 4,000 18,120 * Allegheny Energy, Inc. 168,700 1,813,525 Allegheny Technologies, Inc. 121,800 998,760 Allegiant Bancorp, Inc. 26,163 733,872 Allen Organ Co. Class B 800 38,200 * Alliance Gaming Corp. 69,060 1,809,372 * Alliance Imaging, Inc. 85,400 328,790 * Alliance Semiconductor Corp. 52,500 433,650 * Allied Defense Group, Inc. 6,200 130,386 * Allied Healthcare International, Inc. 19,300 107,308 * Allied Healthcare Products, Inc. 6,700 27,202 * Allied Holdings, Inc. 8,300 38,097 * Allied Motion Technologies, Inc. 2,900 12,847 * Allmerica Financial Corp. 64,500 1,764,075 *# Allos Therapeutics, Inc. 38,900 106,586 * Allou Health Care, Inc. Class A 7,100 362 * Alloy, Inc. 59,000 317,420 * Allscripts Healthcare Solutions, Inc. 57,900 314,397 * Almost Family, Inc. 1,600 13,520 * Alpha Technologies Group, Inc. 7,100 10,295 Alpharma, Inc. Class A 58,900 1,186,835 Alpine Group, Inc. 22,000 21,010 * Alteon, Inc. 61,700 104,273 *# Alterra Healthcare Corp. 23,700 3 * Altris Software, Inc. 1,202 673 Ambassadors Group, Inc. 9,800 209,524 Ambassadors, Inc. 9,800 128,184 * AMC Entertainment, Inc. 50,500 765,075 * Amcast Industrial Corp. 8,500 19,975 Amcol International Corp. 42,500 608,600 Amcore Financial, Inc. 37,460 1,020,785 * Amedisys, Inc. 1,400 19,404 * AMEN Properties, Inc. 1,975 3,713 *# Amerco, Inc. 13,900 379,192 * America Services Group, Inc. 9,400 311,140 * America West Holdings Corp. Class B 50,100 756,510 * American Banknote Corp. 88 58 American Biltrite, Inc. 3,400 22,882 * American Building Control, Inc. 14,000 23,800 # American Business Financial Services, Inc. 4,613 19,010 # American Capital Strategies, Ltd. 56,600 1,655,550 * American Claims Evaluation, Inc. 1,000 2,040 * American Dental Partners, Inc. 7,200 75,600 * American Eagle Outfitters, Inc. 39,800 734,310 * American Ecology Corp. 14,350 66,584 *# American Greetings Corp. Class A 78,700 1,662,144 *# American Healthways, Inc. 23,550 1,090,836 American Home Mortgage Holdings, Inc. 25,926 581,779 * American Indemnity Financial Escrow 800 800 * American Independence Corp. 8,400 91,056 * American Italian Pasta Co. 27,000 1,026,000 * American Locker Group, Inc. 300 3,645 * American Management Systems, Inc. 63,467 946,293 * American Medical Electronics, Inc. (Escrow-Bonus) 4,400 0 * American Medical Electronics, Inc. (Escrow-Earnings) 4,400 $ 0 * American Medical Security Group, Inc. 19,900 447,551 * American Medical Systems Holdings, Inc. 59,500 1,352,435 * American Pacific Corp. 7,100 67,095 * American Physicians Capital, Inc. 13,100 216,150 * American Physicians Services Group, Inc. 100 825 * American Retirement Corp. 25,000 77,500 * American Science & Engineering, Inc. 10,500 135,975 American Shared Hospital Services 3,700 22,940 American Software, Inc. Class A 26,700 164,205 American States Water Co. 22,950 556,996 * American Superconductor Corp. 39,500 417,120 * American Technical Ceramics Corp. 8,000 56,800 American Vanguard Corp. 414 13,248 * American West Bancorporation 3,229 72,330 American Woodmark Corp. 11,500 598,000 Americana Bancorp, Inc. 2,712 41,548 * America's Car-Mart, Inc. 11,200 328,832 *# Americredit Corp. 38,000 511,100 * AMERIGROUP Corp. 35,900 1,576,369 AmeriServe Financial, Inc. 20,100 100,500 * Ameristar Casinos, Inc. 39,700 923,422 Ameron International Corp. 7,800 257,400 # AmerUs Group Co. 46,844 1,684,042 *# Ames Department Stores, Inc. 12,800 19 Ametek, Inc. 36,300 1,716,990 * Amistar Corp. 1,600 3,296 * AML Communications, Inc. 7,800 9,438 * AMN Healthcare Services, Inc. 56,800 964,464 Ampco-Pittsburgh Corp. 9,600 102,912 * Ampex Corp. Class A 5,925 8,206 Amrep Corp. 6,500 100,750 * Amsurg Corp. 29,889 1,112,170 * Amtech Systems, Inc. 1,900 13,205 * Amwest Insurance Group, Inc. 1,394 11 * AMX Corp. 11,000 74,800 * Anacomp, Inc. 5 70 * Anadigics, Inc. 45,000 301,500 * Analex Corp. 21,800 73,902 Analogic Corp. 21,000 882,000 * Analysts International Corp. 35,500 110,050 *# Analytical Surveys, Inc. 730 2,059 * Anaren, Inc. 32,500 486,525 Anchor Bancorp Wisconsin, Inc. 35,140 881,663 Andersons, Inc. 8,200 137,678 *# Andrew Corp. 116,709 1,373,665 * Andrx Group 47,610 1,045,516 * Angeion Corp. 215 456 Angelica Corp. 12,400 256,060 * Angelo & Maxie's, Inc. 2,016 4,445 * Anika Therapeutics, Inc. 9,900 85,013 * Anixter International, Inc. 54,300 1,251,615 * Ann Taylor Stores Corp. 62,800 2,495,672 * Ansoft Corp. 18,400 229,448 * AnswerThink, Inc. 66,600 398,934 * Ansys, Inc. 22,600 872,134
42
SHARES VALUE+ ------ ------ * Anteon International Corp. 52,600 $ 2,007,216 * Anthony and Sylvan Pools Corp. 3,768 16,768 *# Antigenics, Inc. 59,213 730,688 * AP Pharma, Inc. 30,100 63,842 * APA Optics, Inc. 11,800 29,500 * APAC Teleservices, Inc. 106,450 299,124 *# Aphton Corp. 37,139 228,405 Apogee Enterprises, Inc. 41,200 487,396 Applica, Inc. 35,300 257,690 * Applied Extrusion Technologies, Inc. 18,300 45,567 * Applied Films Corp. 21,361 708,972 * Applied Imaging Corp. 15,800 22,120 Applied Industrial Technologies, Inc. 28,700 680,190 * Applied Innovation, Inc. 15,100 98,301 * Applied Molecular Evolution, Inc. 31,200 553,488 Applied Signal Technologies, Inc. 16,100 350,980 * Applix, Inc. 19,200 69,888 * Apria Healthcare Group, Inc. 54,100 1,466,651 * Apropos Technology, Inc. 26,900 107,600 Aptargroup, Inc. 38,500 1,344,035 * aQuantive, Inc. 89,425 925,549 * Aquila, Inc. 292,700 1,047,866 *# Aradigm Corp. 58,700 108,595 *# Arch Capital Group, Ltd. 18,400 680,064 Arch Chemicals, Inc. 33,022 755,874 # Arch Coal, Inc. 73,400 1,944,366 Arctic Cat, Inc. 22,430 533,161 *# Ardent Communications, Inc. 19,200 134 * Arena Pharmaceuticals, Inc. 42,378 291,984 * Argonaut Group, Inc. 32,101 513,616 * Argonaut Technologies, Inc. 12,000 15,120 * Argosy Gaming Corp. 43,800 1,109,892 * Ariad Pharmaceuticals, Inc. 68,200 562,650 * Ariba, Inc. 283,000 894,280 * Ark Restaurants Corp. 2,700 34,290 Arkansas Best Corp. 37,100 1,164,198 * Arlington Hospitality, Inc. 4,900 18,669 * Armor Holdings, Inc. 41,500 1,006,375 *# Armstrong Holdings, Inc. 4,400 3,828 *# Arotech Corp 1,600 4,112 * Arqule, Inc. 34,274 168,628 * Array BioPharma, Inc. 47,315 248,404 Arrhythmia Research Technology, Inc. 1,800 25,020 * Arris Group, Inc. 119,300 769,485 Arrow Financial Corp. 9,941 275,863 Arrow International, Inc. 64,900 1,745,810 * Art Technology Group, Inc. 100,500 170,850 * Artesyn Technologies, Inc. 69,300 546,777 * Arthrocare Corp. 30,210 743,166 * Artisan Components, Inc. 33,200 686,211 * Artisoft, Inc. 2,400 10,320 * Arts Way Manufacturing Co., Inc. 200 981 * ASA International. Ltd. 640 1,510 ASB Financial Corp. 1,000 23,500 * Asbury Automotive Group, Inc. 43,100 719,770 * Ascential Software Corp. 75,379 1,907,089 * Ashworth, Inc. 18,671 152,169 * Ask Jeeves, Inc. 66,600 1,286,712 * Aspect Communications Corp. 81,500 $ 1,199,680 * Aspect Medical Systems, Inc. 29,100 276,741 * Aspen Technology, Inc. 59,979 461,239 * Aspeon, Inc. 900 9 * Astea International, Inc. 2,900 7,395 * Astec Industries, Inc. 28,600 377,234 Astro-Med, Inc. 4,200 67,914 * Astronics Corp. 5,500 27,197 * Astronics Corp. Class B 2,225 11,681 *# AstroPower, Inc. 6,550 4,716 * ASV, Inc. 14,400 407,808 * Asyst Technologies, Inc. 58,900 1,074,925 * ATA Holdings Corp. 10,900 99,190 * Atari, Inc. 178,709 732,707 * AtheroGenics, Inc. 54,800 783,640 * Atlantic American Corp. 21,100 55,915 * Atlantic Coast Airlines, Inc. 68,000 743,240 * Atlantic Premium Brands, Ltd. 2,000 3,600 * Atlantis Plastics, Inc. 3,300 36,036 *# Atlas Air Worldwide Holdings, Inc. 41,400 27,324 * ATMI, Inc. 46,300 1,064,900 Atmos Energy Corp. 63,400 1,562,810 * ATP Oil & Gas Corp. 36,700 185,702 Atrion Corp. 1,700 81,600 * Atrix Labs, Inc. 31,400 636,164 * ATS Medical, Inc. 2,200 8,272 * Atwood Oceanics, Inc. 19,900 511,231 * Audiovox Corp. Class A 28,900 400,843 * August Technology Corp. 25,000 500,000 * Ault, Inc. 4,500 12,150 * Aura Systems, Inc. 5,295 371 * Aurora Foods, Inc. 42,644 682 *# Authentidate Holding Corp. 35,400 450,288 * autobytel.com, Inc. 56,300 543,858 * Avalon Holding Corp. Class A 1,550 4,038 * Avanex Corp. 104,200 493,908 *# Avanir Pharmaceuticals Class A 58,000 84,100 * Avant Immunotherapeutics, Inc. 97,034 255,199 * Avatar Holdings, Inc. 8,700 294,495 * Avatech Solutions, Inc. 1,851 463 * Avi Biopharma, Inc. 46,800 229,320 * Aviall, Inc. 47,100 753,600 * Avici Systems Inc. 17,743 152,590 *# Avid Technology, Inc. 37,100 1,961,848 * Avigen, Inc. 30,100 195,650 Avista Corp. 72,400 1,277,136 * Avocent Corp. 52,600 2,014,054 * Avteam, Inc. Class A 11,400 12 * Aware, Inc. 34,059 113,416 * Axcelis Technologies, Inc. 148,300 1,701,001 *# Axonyx, Inc. 1,300 4,966 * Axsys Technologies, Inc. 4,700 65,377 * AXT, Inc. 32,500 111,150 * Aztar Corp. 51,100 1,136,975 * AZZ, Inc. 8,200 99,876 Badger Meter, Inc. 3,200 120,320 * Badger Paper Mills, Inc. 1,000 4,610 Bairnco Corp. 7,300 48,691 * Baker (Michael) Corp. 7,600 80,560 Balchem Corp. 4,700 107,630 Baldor Electric Co. 49,133 1,066,186
43
SHARES VALUE+ ------ ------ Baldwin & Lyons, Inc. Class B 12,625 $ 315,372 * Baldwin Technology, Inc. Class A 13,300 39,900 * Ballantyne Omaha, Inc. 11,900 24,990 * Bally Total Fitness Holding Corp. 50,400 352,800 * Bancinsurance Corp. 5,700 37,449 Bandag, Inc. 12,700 517,525 Bandag, Inc. Class A 9,600 370,560 Bank of Granite Corp. 16,400 392,616 Bank of The Ozarks 7,600 322,240 BankAtlantic Bancorp, Inc. Class A 11,285 214,076 * Bankrate, Inc. 7,000 95,760 * BankUnited Financial Corp. Class A 42,100 1,071,445 Banner Corp. 16,160 406,424 Banta Corp. 38,200 1,520,360 Barnes Group, Inc. 33,800 1,011,634 * barnesandnoble.com, inc. 71,925 204,986 * Barnwell Industries, Inc. 400 10,160 * Barra, Inc. 28,900 1,062,942 * Barrett Business Services, Inc. 5,800 85,840 * Barry (R.G.) Corp. 9,500 56,525 Bassett Furniture Industries, Inc. 16,700 273,880 * Bay View Capital Corp. 92,550 561,778 * Baycorp Holdings, Ltd. 484 6,372 * Bayou Steel Corp. Class A 13,500 67 * BCT International, Inc. 2,700 5,359 * BE Aerospace, Inc. 53,900 309,925 * Beasley Broadcast Group, Inc. 10,900 161,560 * Beazer Homes USA, Inc. 12,553 1,339,531 *# Bebe Stores, Inc. 38,600 1,092,766 BEI Technologies, Inc. 21,800 385,206 Bel Fuse, Inc. Class A 2,600 68,315 Bel Fuse, Inc. Class B 5,250 152,302 Belden, Inc. 37,296 734,731 * Bell Industries, Inc. 8,900 24,030 * Bell Microproducts, Inc. 38,100 328,041 * Benchmark Electronics, Inc. 51,000 1,873,230 * Benihana, Inc. 1,000 13,900 * Benihana, Inc. Class A 150 1,987 * Bentley Pharmaceuticals, Inc. 28,160 344,960 Berry Petroleum Corp. Class A 44,700 854,664 * Bethlehem Steel Corp. 37,300 597 * Beverly Enterprises 160,700 1,258,281 * Beyond.com Corp. 3,140 39 BHA Group Holdings, Inc. Class A 6,100 153,110 * Big 4 Ranch, Inc. 3,200 0 * Big City Radio, Inc. 6,400 9,280 * Big Dog Holdings, Inc. 1,500 5,745 * BindView Development Corp. 70,300 207,385 * Bio Imaging Technologies, Inc. 13,300 95,095 * Bioanalytical Systems, Inc. 4,600 20,424 * Biocryst Pharmaceuticals, Inc. 26,500 217,035 *# BioLase Technology, Inc. 32,300 396,321 * Bio-Logic Systems Corp. 4,200 24,906 * BioMarin Pharmaceutical, Inc. 95,285 700,345 * Bionova Holdings Corp. 3,570 1,000 * Bio-Rad Laboratories, Inc. Class A 20,000 1,025,000 * Bio-Reference Laboratories, Inc. 17,112 302,369 * BioReliance Corp. 11,900 550,851 * Biosite, Inc. 23,200 622,920 * Biosource International, Inc. 9,600 70,080 * Biospecifics Technologies Corp. 4,500 7,114 * BioSphere Medical, Inc. 20,200 $ 60,802 * Bitstream, Inc. 8,400 35,532 BIW, Ltd. 800 14,312 Black Box Corp. 27,200 1,190,000 Black Hills Corp. 48,059 1,550,383 Blair Corp. 12,100 302,500 * Blonder Tongue Laboratories, Inc. 9,800 31,360 * Blount International, Inc. 33,300 200,133 * Blue Coat Systems, Inc. 12,586 264,180 * Blue Rhino Corp. 35,700 449,106 * Bluegreen Corp. 32,765 206,419 Blyth, Inc. 38,100 1,144,905 * BMC Industries, Inc. 14,000 700 * BNS Co. Class A 4,120 23,072 Bob Evans Farms, Inc. 52,000 1,604,720 * Boca Resorts, Inc. 56,045 800,323 * Bogen Communications International, Inc. 12,500 61,250 * Bolt Technology Corp. 5,400 20,790 * Bombay Co., Inc. 52,600 538,098 * Bone Care International, Inc. 21,421 289,183 * Bontex, Inc. 200 120 Bon-Ton Stores, Inc. 12,000 160,800 * Books-a-Million, Inc. 18,300 82,350 * Borland Software Corp. 121,500 1,059,480 Boston Acoustics, Inc. 4,600 46,966 * Boston Beer Company, Inc. Class A 16,400 301,760 * Boston Biomedical, Inc. 6,700 16,750 * Boston Communications Group, Inc. 27,300 245,700 Boston Private Financial Holdings, Inc. 33,200 860,876 Bostonfed Bancorp, Inc. 4,300 139,105 * Bottomline Technologies, Inc. 24,904 224,136 Bowne & Co., Inc. 50,700 747,318 Boyd Gaming Corp. 96,100 1,572,196 * Boyds Collection, Ltd. 117,317 504,463 *# Bradley Pharmaceuticals, Inc. Class A 15,251 358,704 Brady (W.H.) Co. Class A 31,200 1,196,520 * Brass Eagle, Inc. 8,300 76,692 * Braun Consulting, Inc. 22,300 55,750 *# Breed Technologies, Inc. 36,800 1,104 Bridgford Foods Corp. 10,400 87,370 Briggs & Stratton Corp. 27,300 1,842,750 * Brigham Exploration Co. 41,315 295,774 * Bright Horizons Family Solutions, Inc. 6,600 250,133 * Brightpoint, Inc. 27,100 608,937 * BrightStar Information Technology Group, Inc. 13,600 1,360 * Brillian Corp. 7,049 56,181 *# Brilliant Digital Entertainment, Inc. 18,000 7,740 *# BriteSmile, Inc. 314 9,498 * Broadview Media, Inc. 200 1,450 * BroadVision, Inc. 49,300 231,710 *# Brocade Communications Systems, Inc. 17,800 108,402 Brookline Bancorp, Inc. 86,491 1,299,095 * Brooks Automation, Inc. 55,639 1,352,028 * Brookstone, Inc. 19,550 464,117 * Brooktrout, Inc. 18,462 271,761
44
SHARES VALUE+ ------ ------ * Brown (Tom), Inc. 51,200 $ 1,431,552 Brown Shoe Company, Inc. 27,000 943,110 * Bruker BioSciences Corp. 102,500 510,450 * Brush Engineered Materials, Inc. 24,800 334,304 Bryn Mawr Bank Corp. 1,600 38,000 BSB Bancorp, Inc. 13,685 442,710 * BSQUARE Corp. 19,700 29,156 * BTU International, Inc. 6,800 28,628 * Buca, Inc. 25,171 142,216 * Buckeye Technology, Inc. 54,583 557,292 Buckle, Inc. 30,000 656,400 Building Materials Holding Corp. 19,200 290,880 * Bull Run Corp. 3,700 4,033 Burlington Coat Factory Warehouse Corp. 65,849 1,389,414 * Bush Industries, Inc. Class A 14,600 49,786 * Butler International, Inc. 8,400 13,188 Butler Manufacturing Co. 7,600 157,396 C & D Technologies, Inc. 38,000 760,760 C & F Financial Corp. 300 13,650 * C-COR.net Corp. 54,900 647,820 *# C-Phone Corp. 11,700 135 * Cable Design Techologies Corp. 62,187 631,820 * Cabot Microelectronics Corp. 26,800 1,422,812 Cabot Oil & Gas Corp. Class A 48,700 1,293,472 * Cache, Inc. 6,600 142,487 * Caci International, Inc. Class A 37,000 1,841,490 Cadmus Communications Corp. 8,900 108,135 * Cagle's, Inc. Class A 2,000 14,450 * Cal Dive International, Inc. 56,500 1,197,800 Calavo Growers 9,600 106,752 Calgon Carbon Corp. 57,600 354,240 * California Amplifier, Inc. 22,100 216,359 * California Coastal Communities, Inc. 10,000 110,500 California First National Bancorp 10,400 120,068 * California Micro Devices Corp. 34,800 298,584 * California Pizza Kitchen, Inc. 28,300 523,550 California Water Service Group 25,400 664,464 * Caliper Technologies Corp. 41,474 265,019 Callaway Golf Co. 113,300 1,861,519 * Callon Petroleum Corp. 20,362 187,330 * Calloways Nursery, Inc. 1,200 708 Cal-Maine Foods, Inc. 10,500 223,020 * Calton, Inc. 4,480 3,360 * CAM Commerce Solutions, Inc. 3,000 20,700 Cambrex Corp. 38,100 924,306 * Cambridge Heart, Inc. 7,800 8,970 Camco Financial Corp. 7,516 132,958 * Candela Corp. 14,555 298,814 *# Candies, Inc. 35,450 71,963 * Candlewood Hotel Co., Inc. 1,500 60 *# Cannon Express, Inc. Class A 200 245 * Cannondale Corp. 7,100 1,420 * Cantel Medical Corp. 13,240 208,133 * Canterbury Consulting Group, Inc. 1,571 1,485 * Canyon Resources Corp. 23,900 93,210 * Capital Corp. of the West 5,046 192,505 * Capital Crossing Bank 5,900 248,856 * Capital Pacific Holdings, Inc. 14,500 49,300 * Capital Senior Living Corp. 27,600 168,360 Capital Southwest Corp. 300 18,300 Capitol Bancorp, Ltd. 8,564 $ 246,643 * Caprius, Inc. 548 110 * Capstone Turbine Corp. 16,300 28,199 * Captaris, Inc. 45,800 271,594 * Captiva Software Corp. 4,400 57,732 * Caraustar Industries, Inc. 41,084 478,629 Carbo Ceramics, Inc. 22,900 1,000,501 * Cardiac Sciences, Inc. 104,800 374,136 * Cardima, Inc. 21,200 22,472 * CardioDynamics International Corp. 69,261 450,196 *# CardioGenesis Corp. 32,100 25,038 * Cardiotech International, Inc. 23,063 144,605 * Career Blazers, Inc. Trust Units 800 0 * Career Education Corp. 1 51 Carpenter Technology Corp. 33,600 900,480 * Carreker Corp. 21,871 327,190 * Carriage Services, Inc. Class A 25,400 83,566 * Carrier Access Corp. 35,789 533,256 * Carrington Laboratories, Inc. 9,800 41,748 *# Carrizo Oil & Gas, Inc. 14,100 105,750 Cascade Corp. 18,000 482,400 Cascade Natural Gas Corp. 16,100 322,000 * Casella Waste Systems, Inc. Class A 33,869 453,845 Casey's General Stores, Inc. 74,200 1,296,274 Cash America International, Inc. 41,400 802,332 * Castle (A.M.) & Co. 15,437 71,010 Castle Energy Corp. 6,600 37,620 * Casual Male Retail Group, Inc. 53,800 462,680 * Catalina Lighting, Inc. 1,760 21,544 * Catalina Marketing Corp. 80,100 1,484,253 * Catalyst International, Inc. 7,600 11,400 * Catalytica Energy Systems, Inc. 12,891 45,118 * Catapult Communications Corp. 19,300 291,816 # Cathay Bancorp, Inc. 38,961 2,025,972 Cato Corp. Class A 29,200 609,696 * Cavalier Homes, Inc. 18,060 51,471 Cavalry Bancorp, Inc. 500 9,715 * Cavco Industries, Inc. 3,852 90,522 CCA Industries, Inc. 9,600 71,760 CCBT Financial Companies, Inc. 8,600 227,814 * CCC Information Services Group, Inc. 25,700 433,302 *# CD Warehouse, Inc. 3,300 7 * CD&L, Inc. 2,600 2,132 CDI Corp. 29,200 989,880 * CEC Entertainment Inc. 38,500 1,935,780 * Celadon Group, Inc. 10,700 145,520 * Celebrity, Inc. Escrow Shares 1,300 0 * Celeritek, Inc. 17,700 142,485 * Cell Genesys, Inc. 58,852 767,430 *# Cell Therapeutics, Inc. 50,900 458,100 * Cellegy Pharmaceuticals, Inc. 46,100 131,385 * CellStar Corp. 29,948 411,785 * Centene Corp. 32,300 991,610 * Centennial Communications Corp. 49,800 245,016 Center Bancorp, Inc. 1,800 38,214 Center Finl CO 6,480 161,806 *# CenterSpan Communication Corp. 8,400 588 Centex Construction Products, Inc. 25,000 1,465,000 * Centillium Communications, Inc. 51,269 281,979 * Centra Software, Inc. 39,900 143,640
45
SHARES VALUE+ ------ ------ Central Bancorp, Inc. 1,600 $ 56,816 * Central European Distribution Corp. 15,918 500,144 * Central Garden & Pet Co. 25,200 668,052 Central Pacific Financial Corp. 24,000 662,400 Central Parking Corp. 52,137 727,311 Central Vermont Public Service Corp. 17,900 427,810 * Century Aluminum Co. 31,600 524,560 Century Bancorp Income Class A 1,000 37,210 * Century Business Services, Inc. 125,757 584,770 * Cepheid, Inc. 52,964 409,412 * Ceradyne, Inc. 15,100 644,921 Cerberonics, Inc. Class A 200 2,220 * Ceres Group, Inc. 30,495 159,184 *# Cerner Corp. 49,309 2,200,661 * Cerus Corp. 33,000 112,200 CFS Bancorp, Inc. 17,720 250,738 CH Energy Group, Inc. 23,600 1,036,040 * Chad Therapeutics 10,000 27,050 * Champion Enterprises, Inc. 88,200 636,804 Champion Industries, Inc. 9,674 41,975 * Championship Auto Racing Teams, Inc. 15,500 8,215 * Champps Entertainment, Inc. 18,340 126,913 * Channell Commercial Corp. 6,600 30,690 * Charles and Colvard, Ltd. 19,800 96,624 * Charles River Associates, Inc. 9,000 293,850 * Charlotte Russe Holding, Inc. 31,900 480,095 * Charming Shoppes, Inc. 169,633 1,056,814 * Chart Industries 23 690 *# Charter Communications, Inc. 35,900 144,318 Charter Financial Corp. 21,511 720,618 Chase Corp. 4,000 50,080 * Chattem, Inc. 28,700 459,774 * Chaus (Bernard), Inc. 11,100 11,322 * Checkers Drive-In Restaurant, Inc. 17,207 157,616 * Checkpoint Systems, Inc. 49,300 953,955 Chemical Financial Corp. 35,516 1,287,455 Cherokee, Inc. 8,100 181,845 Chesapeake Corp. 22,102 508,346 Chesapeake Utilities Corp. 7,600 190,836 Chester Valley Bancorp 575 12,920 * Chicago Pizza & Brewery, Inc. 28,622 407,291 Chicago Rivet & Machine Co. 200 5,325 * Children's Place Retail Stores, Inc. 39,900 1,143,933 * Childtime Learning Centers, Inc. 5,200 11,440 * ChipPAC, Inc. 142,900 1,110,333 * Chiquita Brands International, Inc. 59,896 1,269,196 Chittenden Corp. 54,783 1,870,292 * Choice Hotels International, Inc. 53,600 1,894,760 * Cholestech Corp. 20,800 153,920 * Chordiant Software, Inc. 95,100 417,489 Christopher & Banks Corp. 56,013 1,515,152 * ChromaVision Medical Systems, Inc. 20,200 22,018 * Chromcraft Revington, Inc. 6,000 69,900 * Chronimed, Inc. 18,101 162,547 Church & Dwight Co., Inc. 32,300 1,308,473 Churchill Downs, Inc. 14,400 528,754 *# Chyron Corp. 33,400 15,030 * Ciber, Inc. 95,012 865,559 * Cima Laboratories, Inc. 19,900 656,302 * Cimarex Energy Co. 14,004 $ 323,772 * Cincinnati Bell, Inc. 311,500 1,778,665 * Ciphergen Biosystems, Inc. 43,200 449,712 * Ciprico, Inc. 4,900 24,745 CIRCOR International, Inc. 20,690 455,180 * Cirrus Logic, Inc. 126,800 1,090,480 # Citizens Banking Corp. 60,533 1,908,000 * Citizens, Inc. Class A 50,526 500,212 City Holding Co. 24,986 889,502 * CKE Restaurants, Inc. 86,400 604,800 Clarcor, Inc. 37,700 1,650,883 * Clark, Inc. 26,924 441,823 * Clarus Corp. 24,700 172,653 * Clayton Williams Energy, Inc. 9,200 209,300 *# Clean Harbors, Inc. 20,200 186,446 *# Clearone Communications, Inc. 11,300 31,357 Cleco Corp. 70,900 1,260,602 * Cleveland Cliffs, Inc. 15,500 598,300 *# Click2learn, Inc. 9,700 20,661 *# ClickAction, Inc. Escrow 7,900 395 Clinical Data Inc. 1,787 15,359 * Closure Medical Corp. 20,700 734,850 *# CMS Energy Corp. 216,075 1,704,832 * CNA Surety Corp. 56,118 543,222 *# CNE Group, Inc. 2,000 1,120 *# CNET Networks, Inc. 211,700 1,581,399 CNS, Inc. 20,300 247,660 Coachmen Industries, Inc. 22,600 389,850 * Coast Dental Services, Inc. 2,066 13,212 Coast Distribution System 4,000 22,200 Coastal Bancorp, Inc. 5,800 203,000 * Coastcast Corp. 7,600 15,238 CoBiz, Inc. 8,550 154,242 * Cobra Electronics Corp. 6,100 43,371 Coca-Cola Bottling Co. Consolidated 6,000 322,260 * Coeur d'Alene Mines Corp. 239,000 1,238,020 * Cogent Communications Group, Inc. 1,013 1,236 Cognex Corp. 64,800 1,780,056 * Cognitronics Corp. 4,250 14,025 * Coherent, Inc. 44,002 1,053,408 Cohu, Inc. 31,900 670,538 * Coinstar, Inc. 32,200 541,926 * Coldwater Creek, Inc. 23,850 342,486 Cole (Kenneth) Productions, Inc. Class A 17,150 512,785 * Cole National Corp. Class A 14,800 310,504 * Collagenex Pharmaceuticals, Inc. 12,200 126,392 * Collins & Aikman Corp. 121,860 435,040 Collins Industries, Inc. 7,000 37,800 Columbia Banking System, Inc. 20,131 422,751 * Columbia Laboratories, Inc. 59,000 305,620 * Columbus McKinnon Corp. 22,300 137,814 * Comarco, Inc. 10,200 96,696 * Comdial Corp. 600 1,800 * Comforce Corp. 13,277 6,771 * Comfort Systems USA, Inc. 56,900 273,689 Commerce Group, Inc. 32,900 1,316,329 *# Commerce One, Inc. 44,400 51,504 Commercial Bancshares, Inc. 4,532 152,185
46
SHARES VALUE+ ------ ------ Commercial Federal Corp. 64,900 $ 1,752,300 Commercial Metals Co. 44,700 1,150,578 # Commercial National Financial Corp. 3,200 82,384 Commonwealth Industries, Inc. 23,515 172,365 * Commscope, Inc. 88,800 1,417,248 Communications Systems, Inc. 8,200 56,498 Community Bank System, Inc. 19,400 944,780 Community Bankshares, Inc. 210 3,970 Community First Bankshares, Inc. 56,900 1,622,788 Community Trust Bancorp, Inc. 13,730 450,076 * Community West Bancshares 5,500 45,980 * Competitive Technologies, Inc. 6,100 14,823 *# Compex Technologies, Inc. 16,654 150,719 * Compucom Systems, Inc. 74,464 338,811 * CompuCredit Corp. 70,231 1,663,070 * Compudyne Corp. 11,104 109,485 * Computer Access Technology Corp. 41,000 190,650 * Computer Horizons Corp. 37,400 139,128 * Computer Network Technology Corp. 40,700 404,965 Computer Programs & Systems, Inc. 15,700 293,511 * Computer Task Group, Inc. 31,300 130,834 CompX International, Inc. 5,100 32,181 * Comstock Resources, Inc. 48,000 782,400 * Comtech Telecommunications Corp. 11,100 370,052 * Concepts Direct, Inc. 700 269 * Conceptus, Inc. 32,400 421,200 * Concerto Software, Inc. 12,100 144,232 * Concord Camera Corp. 42,956 518,479 * Concord Communications, Inc. 26,700 591,138 * Concur Technologies, Inc. 48,031 477,908 * Concurrent Computer Corp. 93,600 377,208 * Cone Mills Corp. 24,800 1,426 * Congoleum Corp. Class A 3,600 2,340 * Conmed Corp. 43,065 915,562 Connecticut Bancshares, Inc. 13,356 689,570 Connecticut Water Services, Inc. 7,600 220,932 * Connetics Corp. 47,500 838,375 * Conrad Industries, Inc. 7,200 20,268 *# Consolidated Freightways Corp. 550 3 * Consolidated Graphics, Inc. 19,182 576,419 Consolidated Tokoma Land Co. 6,100 187,575 *# Continental Airlines, Inc. 98,700 1,840,755 * Continental Materials Corp. 200 5,458 *# Convera Corp. 50,644 198,018 * Convergence Systems, Inc. 1 45 *# Cooker Restaurant Corp. 6,500 39 Cooper Companies, Inc. 40,200 1,835,130 Cooper Tire & Rubber Co. 83,900 1,678,839 Cooperative Bankshares, Inc. 1,400 35,756 * Copart, Inc. 134,800 1,617,600 * Copper Mountain Networks, Inc. 8,810 82,911 * Corautus Genetics, Inc. 1,542 9,052 * Core Molding Technologies, Inc. 7,700 22,638 * Corillian Corp. 54,700 325,465 * Corio, Inc. 103,600 257,964 * Corixa Corp. 82,097 467,132 Corn Products International, Inc. 48,800 1,691,408 * Cornell Companies, Inc. 19,800 249,480 * Correctional Services Corp. 10,112 25,988 * Corrections Corporation of America 52,500 $ 1,470,000 * Corrpro Companies, Inc. 7,275 10,912 Corus Bankshares, Inc. 18,272 1,138,346 * Corvel Corp. 10,900 378,775 * Cosine Communications, Inc. 14,421 111,619 * Cost Plus, Inc. 32,575 1,523,533 * CoStar Group, Inc. 25,890 1,087,380 * Cost-U-Less, Inc. 3,000 9,900 Cotton States Life Insurance Co. 6,330 112,364 Courier Corp. 2,850 158,203 * Covance, Inc. 30,200 789,126 * Covansys Corp. 40,100 360,900 * Covenant Transport, Inc. Class A 18,830 354,757 Covest Bancshares, Inc. 2,425 66,396 * Covista Communications, Inc. 3,000 8,250 CPAC, Inc. 5,120 31,636 * CPI Aerostructures, Inc. 7,166 85,992 CPI Corp. 11,200 258,160 Craftmade International, Inc. 7,300 195,275 Crawford & Co. Class A 27,300 195,741 Crawford & Co. Class B 25,300 183,425 * Cray, Inc. 104,000 1,088,880 *# Credence Systems Corp. 95,247 1,234,401 * Credit Acceptance Corp. 63,469 952,035 *# Cree Research, Inc. 51,000 936,870 * Criticare Systems, Inc. 16,200 55,080 Crompton Corp. 166,800 1,009,140 * Cross (A.T.) Co. Class A 14,700 95,991 * Cross Country Healthcare, Inc. 47,657 710,089 * Crossroads Systems, Inc. 36,500 111,690 * Crown Andersen, Inc. 1,000 2,350 *# Crown Castle International Corp. 30,500 378,505 * Crown Financial Group, Inc. 6,600 16,698 * Crown Holdings, Inc. 247,400 1,855,500 * Crown Media Holdings, Inc. 110,542 973,875 *# Cryolife, Inc. 29,600 158,656 * CSG Systems International, Inc. 78,500 909,815 * CSK Auto Corp. 68,300 1,245,792 * CSP, Inc. 3,500 18,480 CSS Industries, Inc. 12,900 383,259 CT Communications, Inc. 27,860 398,398 CTS Corp. 53,759 659,085 Cubic Corp. 40,100 1,186,158 * Cubist Pharmaceuticals, Inc. 48,425 601,438 * Culp, Inc. 17,300 194,798 * Cumulus Media, Inc. Class A 74,993 1,432,366 * CUNO, Inc. 24,208 1,031,503 * CuraGen Corp. 72,960 459,648 * Curative Health Services Inc. 18,400 238,832 * Curis, Inc. 56,050 304,912 Curtiss-Wright Corp. 5,800 475,078 * Cutter & Buck, Inc. 15,124 117,211 * CV Therapeutics, Inc. 39,805 715,296 CVB Financial Corp. 65,615 1,343,139 * Cyberguard Corp. 32,045 275,235 * Cyberonics, Inc. 34,000 934,660 * Cyberoptics Corp. 8,100 80,676 * Cybersource Corp. 49,200 244,524 * Cybex International, Inc. 8,700 10,788 * Cycle Ctry Acc 5,000 22,950 *# CycleLogic, Inc. 29 3
47
SHARES VALUE+ ------ ------ * Cygnus, Inc. 3,500 $ 315 *# Cymer, Inc. 41,200 1,910,444 * Cysive, Inc. 32,600 104,972 * Cytec Industries, Inc. 51,000 1,848,750 * Cytogen Corp. 16,570 187,241 *# Cytrx Corp. 1,700 3,757 D & K Healthcare Resources, Inc. 20,530 277,566 * D A Consulting Group, Inc. 6,700 536 * Daily Journal Corp. 200 6,065 * Daisytek International Corp. 3,586 117 * Daktronics, Inc. 27,900 517,852 *# Dan River, Inc. Class A 28,900 22,253 * Danielson Holding Corp. 33,400 47,428 * Darling International, Inc. 94,200 261,876 * Data I/O Corp. 7,600 26,136 * Data Systems & Software, Inc. 7,300 20,367 * Datakey, Inc. 1,000 580 * Datalink Corp. 13,300 51,737 * Dataram Corp. 8,400 35,364 Datascope Corp. 21,634 752,431 * Datastream Systems, Inc. 20,100 149,745 * Datatec Systems, Inc. 7,000 8,120 * DataTRAK International, Inc. 5,200 32,760 * Datawatch Corp. 2,066 11,590 * Dave and Busters, Inc. 13,200 183,612 * Davel Communications, Inc. 94 3 * Daw Technologies, Inc. 3,575 0 * Dawson Geophysical Co. 5,400 43,956 * Daxor Corp. 4,600 69,920 Deb Shops, Inc. 19,299 382,506 * Deckers Outdoor Corp. 9,200 154,560 * Decora Industries, Inc. 5,500 82 Decorator Industries, Inc. 2,762 17,442 * Del Global Technologies Corp. 10,927 26,225 * Del Laboratories, Inc. 9,506 229,587 * Delphax Technologies, Inc. 6,100 19,337 Delphi Financial Group, Inc. Class A 25,500 1,354,050 Delta and Pine Land Co. 57,200 1,444,300 Delta Apparel, Inc. 5,240 86,198 * Delta Financial Corp. 23,500 168,260 Delta Natural Gas Co., Inc. 2,500 58,325 * Delta Woodside Industries, Inc. 5,850 10,179 Deltic Timber Corp. 17,500 495,600 * Denali, Inc. 4,300 0 * Denbury Resources, Inc. 81,000 1,023,840 * Dendreon Corp. 65,981 522,570 * Dendrite International, Inc. 60,774 1,039,235 * Department 56, Inc. 19,700 278,361 * DepoMed, Inc. 13,600 92,344 * Detrex Corp. 500 762 * Devcon International Corp. 3,600 25,740 * DHB Industries, Inc. 60,900 457,968 Diagnostic Products Corp. 40,200 1,818,246 * Diametrics Medical, Inc. 22,900 12,595 * DiamondCluster International, Inc. 41,300 390,698 * Diedrich Coffee, Inc. 4,025 16,301 * Digene Corp. 27,800 1,105,050 * Digi International, Inc. 30,333 259,954 * Digimarc Corp. 26,665 376,243 *# Digital Angel Corp. 11,000 24,750 * Digital Generation Systems, Inc. 99,500 186,065 * Digital Impact, Inc. 47,900 $ 135,078 * Digital Insight Corp. 49,000 1,164,730 * Digital Lightwave, Inc. 400 376 * Digital River, Inc. 45,800 1,053,858 * DigitalThink Inc. 75,457 224,862 * Digitas, Inc. 89,557 780,041 Dime Community Bancorp, Inc. 38,100 1,171,575 Dimon, Inc. 67,429 455,146 * Diodes, Inc. 12,150 247,252 * Dionex Corp. 31,810 1,494,434 * Directrix, Inc. 813 7 * Discovery Partners International 36,853 212,605 * Display Technologies, Inc. 11,330 28 * Ditech Communications Corp. 45,780 803,439 * Diversa Corp. 63,108 530,107 * Diversified Corporate Resources, Inc. 800 592 * Dixie Group, Inc. 15,000 121,500 * Dixon Ticonderoga Co. 1,900 7,030 * DJ Orthopedics, Inc. 26,900 698,055 * DLB Oil & Gas, Inc. 1,300 0 * Docent, Inc. 20,121 98,190 * DocuCorp International, Inc. 15,973 159,411 * Document Sciences Corp. 14,200 63,900 * Documentum, Inc. 69,800 2,094,000 * Dollar Thrifty Automotive Group, Inc. 37,100 936,775 * Dominion Homes, Inc. 5,800 176,378 Donegal Group, Inc. Class A 6,066 121,927 Donegal Group, Inc. Class B 2,933 55,404 * Dot Hill Systems Corp. 64,660 1,102,453 * DoubleClick, Inc. 85,582 817,308 *# DOV Pharmaceutical, Inc. 24,494 262,821 Dover Downs Gaming & Entertainment, Inc. 9,910 90,181 Dover Motorsports, Inc. 22,500 94,050 Downey Financial Corp. 36,476 1,761,791 * DPAC Technologies Corp. 20,900 39,292 * Drew Industries, Inc. 9,700 261,318 *# Drexler Technology Corp. 15,800 236,368 * Dril-Quip, Inc. 25,900 387,205 * DRS Technologies, Inc. 33,700 893,050 * Drugstore.com, Inc. 104,600 696,636 * DSP Group, Inc. 42,500 1,023,825 * DT Industries, Inc. 10,300 11,124 * DualStar Technologies Corp. 2,400 972 * Duane Reade, Inc. 36,021 499,971 * Duckwall-ALCO Stores, Inc. 4,100 61,377 * Ducommun, Inc. 14,200 316,234 * DuPont Photomasks, Inc. 26,555 616,607 # Duquesne Light Holdings, Inc. 104,700 1,808,169 * Dura Automotive Systems, Inc. 23,400 241,254 * DuraSwitch Industries, Inc. 10,500 21,682 * Duratek, Inc. 13,500 135,540 *# Durect Corp. 72,787 163,771 * DUSA Pharmaceuticals, Inc. 20,900 112,233 * DVI, Inc. 14,500 1,015 *# Dyax Corp. 36,800 222,272 * Dycom Industries, Inc. 72,066 1,826,873 *# Dynacq Healthcare, Inc. 22,200 409,790 * Dynamex, Inc. 16,600 170,980
48
SHARES VALUE+ ------ ------ * Dynamic Materials Corp. 2,000 $ 6,100 * Dynamics Research Corp. 12,500 201,862 *# Dynegy, Inc. 65,700 262,800 *# E Com Ventures, Inc. 2,175 25,578 * E-Loan, Inc. 91,300 284,856 E-Z-EM, Inc. 8,562 98,891 * E.piphany, Inc. 110,587 873,637 * Eagle Food Centers, Inc. 2,575 58 * EarthLink, Inc. 198,675 1,907,280 East West Bancorp, Inc. 33,700 1,765,206 Eastern Co. 4,950 70,983 * EasyLink Services Corp. 7,969 10,519 * Eateries, Inc. 3,000 9,750 * Echelon Corp. 60,271 726,266 * Eclipsys Corp. 17,600 179,168 * Ecogen, Inc. 1,364 205 * eCollege.com 25,100 557,220 Ecology & Environment, Inc. Class A 2,000 19,160 Edelbrock Corp. 5,470 65,038 * Eden Bioscience Corp. 12,800 19,840 * EDGAR Online, Inc. 16,400 32,800 * Edge Petroleum Corp. 9,300 73,842 * Edgewater Technology, Inc. 11,569 57,382 Edo Corp. 29,600 615,680 Educational Development Corp. 1,800 20,520 * Educational Insights, Inc. 2,400 1,356 EFC Bancorp, Inc. 4,600 103,776 *# EFJ, Inc. 7,800 37,050 * eFunds Corp. 70,206 1,218,074 * EGL, Inc. 70,800 1,300,596 * El Paso Electric Co. 108,600 1,379,220 * Elcom International, Inc. 21,800 4,796 * Electro Rent Corp. 29,166 405,407 * Electro Scientific Industries, Inc. 33,300 800,865 *# Electroglas, Inc. 31,200 123,240 * Electronics Boutique Holdings Corp. 37,130 903,744 *# Electronics for Imaging, Inc. 71,100 1,962,360 * Elizabeth Arden, Inc. 35,500 721,005 ElkCorp 28,600 727,012 * eLoyalty Corp. 6,700 24,120 * ELXSI Corp. 1,800 8,100 * Embarcadero Technologies, Inc. 39,100 564,213 * Embrex, Inc. 11,400 145,122 EMC Insurance Group, Inc. 11,300 231,085 * Emcor Group, Inc. 22,500 924,750 * EMCORE Corp. 55,311 280,980 * Emerging Vision, Inc. 25,700 3,855 * Emeritus Corp. 14,100 90,522 * Emerson Radio Corp. 41,322 145,040 * Emisphere Technologies, Inc. 27,100 162,600 *# Emmis Communications Corp. Class A 69,400 1,572,604 Empire District Electric Co. 34,200 723,672 * EMS Technologies, Inc. 16,032 340,680 *# En Pointe Technologies, Inc. 6,500 12,018 * Encore Acquisition Co. 44,600 961,576 * Encore Medical Corp. 14,400 97,632 * Encore Wire Corp. 20,300 343,882 * Encysive Pharmaceuticals, Inc. 66,600 498,834 * Endocardial Solutions, Inc. 29,600 $ 222,592 *# Endocare, Inc. 29,100 120,183 * Endologix, Inc. 41,900 159,220 Energen Corp. 41,300 1,608,222 * Energy Conversion Devices, Inc. 31,800 273,480 * Energy Partners, Ltd. 48,100 584,415 Energy West, Inc. 1,700 10,149 EnergySouth, Inc. 6,500 222,950 * Enesco Group, Inc. 20,300 219,849 Engineered Support Systems, Inc. 36,781 1,949,393 * ENGlobal Corp. 1,700 3,910 * Enherent Corp. 17,400 1,609 *# Enlighten Software Solutions, Inc. 1,600 2 Ennis Business Forms, Inc. 23,600 348,808 * EnPro Industries, Inc. 29,900 296,309 * Entegris, Inc. 108,064 1,387,542 * Enterrasys Networks, Inc. 307,100 1,317,459 * Entravision Communications Corp. 105,000 953,400 *# Entremed, Inc. 47,500 184,775 * Entrust, Inc. 95,000 405,650 * Environmental Elements Corp. 5,000 1,350 * Environmental Technologies Corp. 3,700 92 * Environmental Tectonics Corp. 7,100 55,451 * Enzo Biochem, Inc. 44,866 827,778 * Enzon Pharmaceuticals, Inc. 51,600 556,764 * EP Medsystems, Inc. 14,900 52,448 * EpicEdge, Inc. 21,900 985 * Epicor Software Corp. 65,842 815,782 *# Epimmune, Inc. 11,800 21,594 * EPIQ Systems, Inc. 26,250 458,062 * EPIX Medical, Inc. 33,028 595,495 * ePlus, Inc. 10,300 128,750 * ePresence, Inc. 25,100 91,866 *# Equimed Inc. Nevis 2,250 0 * Equity Marketing, Inc. 5,700 78,147 * Equity Oil Co. 12,600 43,835 *# eResearch Technology, Inc. 54,300 1,547,550 * Ergo Science Corp. 7,150 14,300 ESB Financial Corp. 11,762 191,132 * Escalon Medical Corp. 3,200 22,560 * Esco Technologies, Inc. 19,200 816,000 * eSpeed, Inc. 37,600 886,608 * Esperion Therapeutics, Inc. 50,324 1,156,949 Espey Manufacturing & Electronics Corp. 400 9,820 * ESS Technology, Inc. 57,600 960,768 * Esterline Technologies Corp. 31,600 732,488 Ethan Allen Interiors, Inc. 34,800 1,416,360 * Ethyl Corp. 24,700 503,880 * Euronet Worldwide, Inc. 38,652 650,513 * European Micro Holdings, Inc. 4,600 87 * Evans & Sutherland Computer Corp. 10,400 48,568 * Evans Systems, Inc. 4,000 320 * Evercel, Inc. 1,666 1,916 * Evergreen Resources, Inc. 58,700 1,645,361 *# Evergreen Solar, Inc. 13,500 27,000 * Everlast Worldwide, Inc. 1,500 4,095 EverTrust Financial Group, Inc. 1,900 57,570 * Evolving Systems, Inc. 12,600 215,460 *# Exabyte Corp. 3,500 2,485
49
SHARES VALUE+ ------ ------ * Exact Sciences Corp. 28,705 $ 298,532 * Exactech, Inc. 10,800 170,100 * Exar Corp. 60,708 1,177,128 * Excel Technology, Inc. 16,600 522,900 * EXE Technologies, Inc. 4,214 29,713 * Exelixis, Inc. 106,743 718,380 * Exponent, Inc. 6,700 152,224 Extended Stay America, Inc. 106,000 1,568,800 * Extended Systems, Inc. 11,100 50,505 *# Extreme Networks, Inc. 175,500 1,721,655 *# Exult, Inc. 161,081 1,158,172 * Ezcorp, Inc. Class A Non-Voting 10,800 79,812 * Ezenia! Inc. 13,600 4,760 F.N.B. Corp. 42,220 1,400,860 * F5 Networks, Inc. 40,400 1,043,128 * Fab Industries, Inc. 5,200 29,380 *# Factory 2-U Stores, Inc. 26,949 65,756 Factset Research Systems, Inc. 37,900 1,570,955 * Fairchild Corp. Class A 33,352 170,095 * Falcon Products, Inc. 11,800 55,932 *# FalconStor Software, Inc. 68,800 546,960 * Famous Dave's of America, Inc. 16,420 81,936 * Fargo Electronics 18,600 264,492 Farmer Brothers Co. 1,900 608,000 *# Faro Technologies, Inc. 11,800 306,340 FBL Financial Group, Inc. Class A 26,000 679,900 * Featherlite, Inc. 6,500 18,525 Fedders Corp. 44,810 281,855 Federal Screw Works 1,562 51,546 Federal Signal Corp. 72,000 1,090,800 *# Federal-Mogul Corp. 57,900 16,791 * FEI Co. 32,200 773,122 * Female Health Co. 9,300 25,575 Ferro Corp. 61,200 1,389,240 FFLC Bancorp 5,400 159,840 * Fibermark, Inc. 6,900 12,282 *# Fiberstars, Inc. 4,600 33,534 Fidelity Bankshares, Inc. 22,184 615,606 * Fidelity Federal Bancorp 2,500 3,875 Fidelity Southern Corp. 8,800 121,880 * Filenet Corp. 54,787 1,434,872 * Financial Federal Corp. 27,700 911,053 * Financial Industries Corp. 9,762 139,206 * Findwhat.Com 32,100 486,315 *# Finisar Corp. 125,496 501,984 * Finish Line, Inc. Class A 28,000 857,080 * Finishmaster, Inc. 800 7,568 * Finlay Enterprises, Inc. 9,400 152,750 * Firebrand Financial Group, Inc. 9,100 59 First Albany Companies, Inc. 9,098 126,016 First Aviation Services, Inc. 6,200 25,110 First Bancorp 6,210 192,510 * First Cash Financial Services, Inc. 14,400 382,464 First Charter Corp. 44,333 902,620 First Citizens Bancshares, Inc. 1,300 143,507 First Commonwealth Financial Corp. 88,908 1,293,611 First Community Bancorp 23,500 866,680 * First Consulting Group, Inc. 37,428 197,246 First Defiance Financial Corp. 6,859 191,572 First Essex Bancorp 9,300 530,286 First Federal Bancshares of Arkansas, Inc. 2,900 $ 112,375 First Federal Capital Corp. 29,731 696,597 First Financial Bancorp 66,225 1,059,600 First Financial Bankshares, Inc. 15,395 652,902 First Financial Corp. 2,550 75,939 First Financial Holdings, Inc. 18,900 595,350 First Franklin Corp. 300 5,379 * First Horizon Pharmaceutical Corp. 51,664 588,970 First Indiana Corp. 21,917 408,752 * First Investors Financial Services Group, Inc. 5,400 22,896 First Keystone Financial, Inc. 2,000 53,500 First M&F Corp. 2,100 76,314 * First Mariner Bank Corp. 4,900 83,202 First Merchants Corp. 27,708 702,398 First Midwest Bancorp, Inc. 7,375 237,622 First Midwest Financial, Inc. 2,400 53,760 First Mutual Bancshares, Inc. 4,558 113,449 First Niagara Financial Group, Inc. 106,185 1,612,950 First Oak Brook Bancshares, Inc. Class A 3,150 97,965 First Place Financial Corp. 19,051 352,062 First Republic Bank 19,950 743,137 First SecurityFed Financial, Inc. 4,400 135,472 First Sentinel Bancorp, Inc. 41,508 787,822 First State Bancorporation 10,576 364,766 First United Corp. 3,500 86,030 * First Virtual Communications, Inc. 4,150 9,379 First Years, Inc. 8,100 111,456 Firstbank Corp. 2,700 86,400 FirstBank NW Corp. 2,928 89,568 * FirstCity Financial Corp. 7,900 48,972 FirstFed America Bancorp, Inc. 12,352 321,893 * FirstFed Financial Corp. 25,500 1,198,500 * Firstwave Technologies, Inc. 2,600 13,026 * Fischer Imaging Corp. 9,100 41,405 Flag Financial Corp. 6,500 85,442 # Flagstar Bancorp, Inc. 70,500 1,560,165 Flamemaster Corp. 247 1,660 * Flanders Corp. 39,060 218,345 *# Fleetwood Enterprises, Inc. 57,900 588,843 # Fleming Companies, Inc. 18,882 214 Flexsteel Industries, Inc. 6,100 124,989 *# Flir Systems, Inc. 51,800 1,785,028 * Florida Banks, Inc. 5,700 90,630 Florida East Coast Industries, Inc. 21,900 667,950 Florida Public Utilities Co. 3,866 61,547 Florida Rock Industries, Inc. 34,300 1,972,250 FloridaFirst Bancorp 2,400 67,680 * Flow International Corp. 23,000 80,753 Flowers Foods, Inc. 67,725 1,767,622 * Flowserve Corp. 82,900 1,764,112 Flushing Financial Corp. 18,831 512,203 *# FMC Corp. 52,900 1,583,826 FMS Financial Corp. 3,300 64,482 FNB Corp. 2,700 61,884 FNB Financial Services Corp. 2,100 47,922 * Foamex International, Inc. 36,600 163,236 * FOCUS Enhancements, Inc. 3,132 6,702 * Foodarama Supermarkets, Inc. 1,100 28,325
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SHARES VALUE+ ------ ------ Foothill Independent Bancorp 6,014 $ 137,119 * Footstar, Inc. 28,200 141,846 Forest City Enterprises, Inc. Class B 4,500 212,625 * Forest Oil Corp. 67,470 1,690,123 * Forgent Networks, Inc. 36,900 124,353 * Forrester Research, Inc. 33,684 618,438 * Forward Air Corp., Inc. 31,950 908,658 * Fossil, Inc. 62,812 1,830,970 * Foster (L.B.) Co. Class A 10,000 60,000 *# Foster Wheeler, Ltd. 40,600 35,728 * Fotoball USA, Inc. 3,600 14,904 * Fountain Powerboat Industries, Inc. 4,700 14,805 *# FPIC Insurance Group, Inc. 13,946 291,471 Frankfort First Bancorp, Inc. 850 17,425 Franklin Bancorp, Inc. 3,489 71,891 * Franklin Covey Co. 19,300 29,529 Franklin Electric Co., Inc. 10,800 676,620 * Franklin Electronic Publishers, Inc. 7,900 23,700 # Fred's, Inc. 50,250 1,675,837 * FreeMarkets, Inc. 63,000 379,890 # Fremont General Corp. 106,100 1,854,628 Frequency Electronics, Inc. 8,300 86,735 Fresh Brands, Inc. 5,100 55,539 * Fresh Choice, Inc. 5,900 11,505 * Friede Goldman Halter, Inc. 1,083 1 Friedman Industries, Inc. 6,158 18,967 Friedmans, Inc. Class A 31,140 212,686 * Friendly Ice Cream Corp. 7,300 79,351 Frisch's Restaurants, Inc. 4,900 131,320 * Frontier Airlines, Inc. 52,161 843,965 Frontier Oil Corp. 38,400 664,320 * Frozen Food Express Industries, Inc. 16,607 110,270 FSF Financial Corp. 2,300 69,575 * FSI International, Inc. 44,500 292,810 * FTD, Inc. 2,000 49,240 *# FTI Consulting, Inc. 62,525 1,373,674 *# FuelCell Energy, Inc. 59,054 794,867 Fuller (H.B.) Co. 42,409 1,131,048 *# FX Energy, Inc. 19,400 97,000 G & K Services, Inc. Class A 28,500 1,032,270 * G-III Apparel Group, Ltd. 6,700 70,015 GA Financial, Inc. 5,300 152,322 Gabelli Asset Management, Inc. 9,800 367,500 * Gadzooks, Inc. 13,600 65,960 * Gaiam, Inc. 5,500 30,299 * Galaxy Nutritional Foods, Inc. 11,500 31,855 * Galey & Lord, Inc. 9,600 67 *# Galyan's Trading Co. 24,937 332,909 * GameStop Corp. 31,400 507,110 * GameTech International, Inc. 11,100 42,513 * Garden Fresh Restaurant Corp. 5,700 84,246 *# Gardenburger, Inc. 4,000 980 * Gardner Denver Machinery, Inc. 23,588 550,072 * Gartner Group, Inc. 80,500 1,040,060 * Gateway, Inc. 148,600 662,756 GATX Corp. 71,700 1,742,310 * Gaylord Entertainment Co. 55,963 1,683,927 GB & T Bancshares, Inc. 700 16,261 * GC Companies, Inc. 200 83 * Gehl Co. 5,400 83,165 * Genaera Corp. 23,000 $ 88,090 * Genaissance Pharmaceuticals, Inc. 34,000 99,246 Gencorp, Inc. 66,011 660,770 * Gene Logic, Inc. 66,682 324,741 * Genecor International, Inc. 88,308 1,397,033 * Genelabs Technologies, Inc. 49,600 94,240 * General Binding Corp. 13,300 247,513 * General Cable Corp. 49,700 418,971 * General Communications, Inc. Class A 77,200 675,500 * General DataComm Industries, Inc. 1,310 2,365 * General Employment Enterprises, Inc. 3,100 4,479 * Genesco, Inc. 32,600 528,120 * Genesee & Wyoming, Inc. 18,500 467,310 * Genesee Corp. Class B 200 738 * Genesis Health 51,500 1,617,615 * Genesis Microchip, Inc. 37,462 691,174 * Geneva Financial Corp. 2,600 2,340 * Genlyte Group, Inc. 18,900 999,054 *# Genome Therapeutics Corp. 39,000 118,131 *# Genta, Inc. 79,400 797,970 * Gentek, Inc. 10,900 44 * Gentiva Health Services, Inc. 13,950 182,326 *# Genus, Inc. 48,321 343,079 * GenVec, Inc. 75,219 268,532 Georgia Gulf Corp. 48,700 1,386,976 * Gerber Scientific, Inc. 33,000 274,230 * Geron Corp. 57,509 702,760 Getty Realty Corp. (Holding Co.) 3,900 97,617 Gevity HR, Inc. 27,400 616,500 * Giant Group, Ltd. 2,200 4,400 * Giant Industries, Inc. 12,300 150,060 Gibraltar Steel Corp. 18,600 453,468 * Giga-Tronics, Inc. 4,600 9,775 Glacier Bancorp, Inc. 29,048 919,950 * Glacier Water Services, Inc. 3,600 72,864 Glatfelter (P.H.) Co. 64,400 771,512 * Glenayre Technologies, Inc. 96,927 289,812 * Global e-Point, Inc. 3,008 15,160 * Global Imaging Systems, Inc. 32,200 943,782 * Global Payment Technologies, Inc. 5,500 18,562 * Global Power Equipment Group, Inc. 66,900 420,801 * Globecomm Systems, Inc. 16,500 115,500 * GlobespanVirata, Inc. 200,028 1,228,172 * Glowpoint, Inc. 40,750 75,795 *# GoAmerica, Inc. 43,600 23,108 Gold Banc Corp. 58,365 770,418 Golden Enterprises, Inc. 11,800 30,208 * Golden State Vintners, Inc. 5,100 15,963 * Good Guys, Inc. 31,100 63,444 * Goodrich Petroleum Corp. 9,000 46,350 *# Goodyear Tire & Rubber Co. 155,900 1,052,325 Goody's Family Clothing, Inc. 43,942 466,664 Gorman-Rupp Co. 7,975 190,602 * Gottschalks, Inc. 12,700 49,022 * GP Strategies Corp. 14,560 107,016 * Gradco Systems, Inc. 230 2,225 * Graftech International, Ltd. 134,300 1,590,112 Graham Corp. 1,000 9,030
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SHARES VALUE+ ------ ------ Granite Construction, Inc. 62,300 $ 1,373,715 * Graphic Packaging Corp. 37,700 133,458 Gray Television, Inc. 56,360 730,426 Gray Television, Inc. Class A 6,800 89,216 * Great American Financial Resources, Inc. 9,900 149,985 * Great Atlantic & Pacific Tea Co., Inc. 57,800 439,280 # Great Lakes Chemical Corp. 75,800 1,721,418 Great Southern Bancorp, Inc. 6,800 290,700 # Greater Bay Bancorp 72,446 1,883,596 Greater Communications Bancorp 3,600 64,872 * Green Mountain Coffee, Inc. 9,600 223,104 Green Mountain Power Corp. 6,800 154,632 *# Greenbriar Corp. 674 2,123 * Greenbrier Companies, Inc. 14,100 204,027 Greene County Bancshares, Inc. 1,900 45,600 * Greens Worldwide, Inc. 2,502 88 Grey Global Group, Inc. 200 136,433 * Grey Wolf, Inc. 296,200 1,004,118 * GRIC Communications, Inc. 40,100 249,021 * Griffin Land & Nurseries, Inc. Class A 2,200 31,834 * Griffon Corp. 44,380 866,298 * Gristede's Foods, Inc. 1,200 1,218 * Group 1 Automotive, Inc. 34,000 1,179,800 * Group 1 Software, Inc. 16,450 293,468 * Grubb & Ellis Co. 14,900 13,857 * GSI Commerce, Inc. 61,000 597,800 *# GSV, Inc. 1,800 220 * GTC Biotherapeutics, Inc. 39,598 109,290 * GTSI Corp. 11,500 138,575 Guaranty Bancshares, Inc. 3,000 61,950 Guaranty Federal Bancshares, Inc. 3,000 58,155 Guaranty Financial Corp. 1,000 20,005 * Guess, Inc. 64,800 920,160 * Guilford Mills, Inc. 533 6,396 *# Guilford Pharmaceuticals, Inc. 43,447 296,743 * Guitar Center, Inc. 34,800 1,011,636 * Gulf Island Fabrication, Inc. 17,137 305,039 * Gulfmark Offshore, Inc. 19,800 277,794 * Gundle/SLT Environmental, Inc. 11,000 212,850 * Gymboree Corp. 44,400 755,244 * Ha-Lo Industries, Inc. 64,900 71 * Haemonetics Corp. 36,100 824,524 Haggar Corp. 6,300 109,242 * Hain Celestial Group, Inc. 51,088 1,178,600 * Halifax Corp. 1,000 5,070 * Hall Kinion Associates, Inc. 18,000 73,782 * Hammons (John Q.) Hotels, Inc. Class A 5,200 35,594 * Hampshire Group, Ltd. 4,000 124,120 Hancock Fabrics, Inc. 28,000 397,600 Hancock Holding Co. 20,150 1,153,587 Handleman Co. 36,523 642,805 * Hanger Orthopedic Group, Inc. 31,100 525,590 Hanmi Financial Corp. 5,500 113,685 * Hanover Compressor Co. 121,600 1,157,632 Harbor Florida Bancshares, Inc. 35,698 1,083,434 Hardinge, Inc. 8,800 91,080 Harland (John H.) Co. 42,000 1,150,800 Harleysville Group, Inc. 43,667 855,873 Harleysville National Corp. 35,207 $ 1,083,671 * Harmonic, Inc. 101,660 883,425 * Harolds Stores, Inc. 2,308 8,540 * Harris Interactive, Inc. 83,200 574,080 Harrodsburg First Financial Bancorp, Inc. 1,100 24,387 * Hartmarx Corp. 33,600 144,480 * Harvard Bioscience, Inc. 44,300 318,960 * Harvest Natural Resources, Inc. 52,900 391,989 * Hastings Entertainment, Inc. 11,300 50,285 * Hastings Manufacturing Co. 700 3,017 * Hauppauge Digital, Inc. 8,800 23,496 * Hauser, Inc. 5,050 252 Haverty Furniture Co., Inc. 15,700 335,352 Haverty Furniture Co., Inc. Class A 400 8,780 * Hawaiian Holdings, Inc. 29,875 82,156 * Hawk Corp. 8,500 28,985 Hawkins, Inc. 10,200 134,742 * Hawthorne Financial Corp. 16,800 452,760 * Headwaters, Inc. 41,700 795,636 * Headway Corporate Resources, Inc. 12,000 90 * HealthAxis, Inc. 750 2,137 Healthcare Services Group, Inc. 11,100 219,669 * HealthExtras, Inc. 48,650 612,990 Heartland Express, Inc. 59,573 1,445,837 * Hecla Mining Co. 164,600 1,221,332 * Hector Communications Corp. 3,500 49,157 * HEI, Inc. 6,000 18,000 Heico Corp. 13,800 254,886 Heico Corp. Class A 5,532 81,874 * Heidrick & Struggles International, Inc. 27,400 658,970 Helix Technology Corp. 39,100 848,470 Helmerich & Payne, Inc. 18,600 448,260 *# Hemispherx Biopharma, Inc. 56,500 145,770 Henry Jack & Associates, Inc. 44,242 916,694 * Hercules, Inc. 166,300 1,669,652 * Heritage Commerce Corp. 2,800 35,000 Heritage Financial Corp. 7,500 165,075 * Herley Industries, Inc. 21,000 405,720 * Hexcel Corp. 58,000 402,520 HF Financial Corp. 3,300 59,400 *# Hi-Shear Technology Corp. 8,600 23,564 * Hi-Tech Pharmacal, Inc. 10,850 220,038 * HI/FN, Inc. 10,400 114,608 * Hibbett Sporting Goods, Inc. 23,100 716,562 Hickory Tech Corp. 13,900 168,190 # Hilb Rogal Hamilton Co. 53,600 1,559,760 * Hines Horticulture, Inc. 22,000 90,860 Hirsch International Corp. Class A 3,300 3,597 * HMI Industries, Inc. 2,200 1,815 HMN Financial, Inc. 4,400 108,416 * HMS Holdings Corp. 27,595 118,383 * Hoenig Group Escrow 7,900 1,817 * Holiday RV Superstores, Inc. 930 5 # Hollinger International, Inc. Class A 100,900 1,605,319 * Hollis-Eden Pharmaceuticals, Inc. 28,600 392,678 Holly Corp. 18,600 494,016 * Hollywood Entertainment Corp. 85,373 1,166,195 * Hollywood Media Corp. 28,500 63,840
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SHARES VALUE+ ------ ------ * Hologic, Inc. 29,700 $ 446,688 Home Federal Bancorp 4,300 123,001 Home Loan Financial Corp. 1,700 34,000 * Home Products International, Inc. 7,800 10,374 * Homegold Financial, Inc. 6,100 49 * HomeStore, Inc. 10,700 37,557 Hooper Holmes, Inc. 101,200 620,356 HopFed Bancorp, Inc. 2,100 37,086 Horace Mann Educators Corp. 59,038 797,603 Horizon Financial Corp. 15,465 273,576 * Horizon Health Corp. 9,900 226,116 * Horizon Offshore, Inc. 39,600 177,408 * Horizon Organic Holding Corp. 13,400 320,796 * Hot Topic, Inc. 66,200 1,972,760 * Houston Exploration Co. 45,297 1,545,081 * Hovnanian Enterprises, Inc. Class B 1,150 106,087 * HPSC, Inc. 2,100 29,988 * Hub Group, Inc. Class A 7,000 112,280 * Hudson Highland Group, Inc. 2,130 42,983 Hudson River Bancorp, Inc. 22,082 767,570 * Hudson Technologies, Inc. 5,100 4,335 * Huffy Corp. 22,505 153,709 Hughes Supply, Inc. 35,269 1,611,793 Humboldt Bancorp 18,165 317,343 * Hurco Companies, Inc. 5,600 16,240 * Hutchinson Technology, Inc. 38,800 1,263,716 * Huttig Building Products, Inc. 5,300 14,310 * Hycor Biomedical, Inc. 8,000 33,360 * Hydril Co. 23,200 553,784 * Hypercom Corp. 74,200 377,678 * HyperFeed Technologies, Inc. 1,450 8,555 * Hyperion Solutions Corp 56,024 1,858,876 * I-many, Inc. 47,900 45,505 * I-Stat Corp. 30,200 380,520 * I-Trax Inc. 9,200 27,140 * I.C. Isaacs & Co., Inc. 7,200 5,580 Iberiabank Corp. 8,000 463,840 * Ibis Technology Corp. 14,800 240,500 *# icad, Inc. 3,600 20,520 * Ico, Inc. 14,320 17,327 * ICT Group, Inc. 17,923 241,244 *# ICU Medical, Inc. 20,350 693,731 Idacorp, Inc. 57,300 1,684,620 * Identix, Inc. 128,612 666,210 Idex Corp. 42,200 1,666,056 *# IDEXX Laboratories, Inc. 26,400 1,250,040 * iDine Rewards Network, Inc. 34,100 371,690 * IDT Corp. 34,478 648,186 * IDT Corp. Class B 29,500 570,235 * IDX Systems Corp. 44,051 1,127,706 * iGate Capital Corp. 77,112 490,432 * IGEN, Inc. 30,900 1,825,881 * IGI, Inc. 2,100 3,549 * Igo Escrow Share 4,100 0 IHOP Corp. 32,200 1,255,800 * II-VI, Inc. 21,370 486,381 Ikon Office Solutions, Inc. 149,560 1,266,773 * ILEX Oncology, Inc. 58,300 1,216,721 * Illumina, Inc. 47,961 329,012 ILX Resorts, Inc. 2,900 20,010 * Image Entertainment, Inc. 27,400 $ 134,260 *# ImageWare Systems, Inc. 5,500 13,585 # Imation Corp. 9,900 336,105 # IMC Global, Inc. 172,658 1,255,224 * IMCO Recycling, Inc. 22,500 169,875 * Immersion Corp. 29,800 157,940 * Immucor, Inc. 36,875 851,812 * ImmunoGen, Inc. 60,853 287,835 * Immunomedics, Inc. 74,800 288,728 * IMPAC Medical Systems, Inc. 10,400 257,296 *# Impath, Inc. 21,600 65,880 * Impax Laboratoroes, Inc. 78,844 1,111,700 * Impco Technologies, Inc. 24,700 161,785 * Imperial Sugar Co. 4,420 49,018 *# Imperial Sugar Company 14,551 0 * Implant Sciences Corp. 8,700 65,598 * Impreso, Inc. 5,300 9,699 * Incyte Genomics, Inc. 107,930 652,976 Independence Holding Co. 2,750 63,126 Independent Bank Corp. MA 21,900 640,575 Independent Bank Corp. MI 28,786 839,112 * Indevus Pharmaceuticals, Inc. 70,594 400,974 * Index Development Partners, Inc. 9,800 392 * Indus International, Inc. 34,900 104,700 * Industrial Distribution Group, Inc. 8,700 41,325 * Inet Technologies, Inc. 58,057 745,452 * Infinity, Inc. 11,398 42,742 *# Infocrossing, Inc. 5,300 52,942 * InFocus Corp. 59,189 468,777 * Infonet Services Corp. 98,800 187,720 * Informatica Corp. 119,800 1,351,344 *# Information Architects Corp. 1,080 97 * Information Holdings, Inc. 30,900 687,525 * Information Resources, Inc. 3,600 17,640 * Inforte Corp. 16,400 141,040 * InfoSpace, Inc. 46,946 1,232,332 * infoUSA, Inc. 76,762 652,477 Ingles Market, Inc. Class A 14,800 149,480 * Inkine Pharmaceutical Co., Inc. 21,400 111,922 * Innodata Corp. 20,300 84,245 * Innotrac Corp. 11,600 105,444 * Innovative Clinical Solutions, Ltd. 968 8 * Innovative Gaming Corp. 830 12 * Innovative Solutions & Support, Inc. 12,700 190,246 * Innovex, Inc. 27,200 255,680 * Input/Output, Inc. 76,800 300,288 * Insight Communications Co., Inc. 73,575 716,620 * Insight Enterprises, Inc. 69,279 1,295,517 * Insightful Corp. 6,300 14,301 * Insignia Systems, Inc. 17,250 39,847 * Insilco Holding Co. 192 48 * Insite Vision, Inc. 18,000 7,200 * Insituform East, Inc. 1,700 2,584 * Insituform Technologies, Inc. Class A 39,719 597,771 * Insmed, Inc. 56,718 167,885 * Inspire Pharmaceuticals, Inc. 47,580 823,134 * Insteel Industries, Inc. 4,700 3,995 * Instinet Group, Inc. 38,600 206,896 * Insurance Auto Auctions, Inc. 17,279 219,443 * InsWeb Corp. 1,633 8,165
53
SHARES VALUE+ ------ ------ Integra Bank Corp. 25,183 $ 562,840 * Integra Lifesciences Corp. 40,100 1,258,739 * Integral Systems, Inc. 9,200 197,248 * Integral Vision, Inc. 3,300 577 * IntegraMed America, Inc. 3,100 19,778 * Integrated Bio 9,500 92,150 * Integrated Device Technology, Inc. 69,483 1,309,755 * Integrated Electrical Services, Inc. 54,300 425,712 * Integrated Information Systems, Inc. 820 287 * Integrated Silicon Solution, Inc. 41,800 781,660 * Integrated Telecom Express, Inc. 600 0 * Integrity Media, Inc. 1,900 11,400 *# Intelli-Check, Inc. 12,500 83,750 * Intellidata Technologies Corp. 69,500 114,675 * Intelligent Systems Corp. 4,500 8,190 * Intelligroup, Inc. 16,100 85,008 Inter Parfums, Inc. 18,550 377,307 * Interactive Data Corp. 58,013 977,519 * Interactive Intelligence, Inc. 15,300 86,292 * InterCept Group, Inc. 30,300 320,271 Interchange Financial Services Corp. 12,600 289,296 * Interdigital Communications Corp. 84,500 1,730,560 * Interep National Radio Sales, Inc. 4,600 9,798 * Interface, Inc. Class A 69,757 396,917 * Interferon Scientific, Inc. 2,435 89 *# Intergraph Corp. 67,600 1,717,040 * Interland, Inc. 18,610 127,478 * Interlink Electronics, Inc. 9,700 67,900 * Intermagnetics General Corp. 25,095 565,390 Intermet Corp. 38,400 187,008 *# InterMune, Inc. 47,700 1,006,947 International Aluminum Corp. 2,100 53,550 * International Microcomputer Software, Inc. 5,100 6,783 * International Multifoods Corp. 29,000 517,070 * International Remote Imaging Systems, Inc. 10,100 50,399 * International Shipholding Corp. 6,100 82,350 * Internet Commerce Corp. 4,000 3,840 * Internet Pictures Corp. 4,350 9,657 * Internet Security Systems, Inc. 74,700 1,267,659 * Interphase Corp. 5,400 92,340 Interpool, Inc. 38,000 577,600 * Interpore International, Inc. 26,700 325,206 Interstate Bakeries Corp. 65,700 1,034,775 * Interstate Hotels & Resorts, Inc. 23,840 128,259 Inter-Tel, Inc. 37,500 907,500 * Intervoice, Inc. 50,618 529,464 * Interwoven, Inc. 56,207 841,990 * Intest Corp. 8,600 48,504 * Intevac, Inc. 12,000 203,880 * Intrado, Inc. 23,600 470,820 * Intraware, Inc. 14,200 30,956 * Introgen Therapeutics, Inc. 34,975 245,524 * Intrusion, Inc. 16,200 12,150 * Intuitive Surgical, Inc. 3,908 59,675 Invacare Corp. 42,900 1,673,100 * Inveresk Resh 25,507 561,409 * Inverness Medical Innovations, Inc. 7,461 176,826 * Investment Technology Group, Inc. 70,700 1,251,390 * INVESTools, Inc. 4,283 $ 5,825 Investors Title Co. 1,400 42,840 * Invision Technologies, Inc. 25,400 757,428 * Invivo Corp. 6,600 139,663 * Iomed, Inc. 7,200 16,200 Iomega Corp. 76,295 418,860 * Ion Networks, Inc. 6,500 325 * Ionics, Inc. 26,300 845,545 * Iridex Corp. 6,800 37,298 Irwin Financial Corp. 41,200 1,246,712 Isco, Inc. 5,635 54,885 * Isis Pharmaceuticals, Inc. 83,300 498,967 *# Island Pacific, Inc. 55,300 122,766 * Isle of Capri Casinos, Inc. 53,200 1,072,033 *# Isolagen Inc. 14,800 98,124 * Iteris Holdings, Inc. 300 615 * ITLA Capital Corp. 5,800 291,276 * Itron, Inc. 30,700 589,133 * ITXC Corp. 45,200 178,540 * Ixia 93,400 1,189,916 * IXYS Corp. 49,124 412,642 * J & J Snack Foods Corp. 12,200 439,200 * J Net Enterprises, Inc. 8,400 9,660 * J. Alexander's Corp. 6,700 50,250 * J. Jill Group, Inc. 29,400 374,556 * j2 Global Communication, Inc. 34,332 975,715 * Jack in the Box, Inc. 54,000 1,125,900 # Jacksonville Bancorp, Inc. 1,600 59,768 * Jaclyn, Inc. 1,300 6,175 * Jaco Electronics, Inc. 5,659 39,899 * Jacuzzi Brands, Inc. 112,378 724,838 * Jakks Pacific, Inc. 36,923 501,784 * Jarden Corp. 39,150 1,059,007 * JDA Software Group, Inc. 42,812 780,035 Jefferies Group, Inc. 49,900 1,560,872 * Jennifer Convertibles, Inc. 1,300 4,355 JLG Industries, Inc. 65,100 979,104 * JLM Industries, Inc. 6,500 8,937 * JMAR Industries, Inc. 23,700 38,631 * Jo-Ann Stores, Inc. 8,575 171,929 * Johnson Outdoors, Inc. 6,700 96,815 * Jones Lang LaSalle, Inc. 46,800 980,460 * Jos. A. Bank Clothiers, Inc. 10,000 412,100 * Joule, Inc. 1,500 2,272 * Journal Register Co. 61,500 1,226,925 * Joy Global, Inc. 73,200 1,537,200 * JPS Industries, Inc. 9,200 20,056 * Juno Lighting, Inc. 980 21,442 * Jupitermedia Corp. 28,080 141,804 K Swiss, Inc. Class A 18,300 891,393 * K-Tel International, Inc. 3,800 237 * K-Tron International, Inc. 2,400 40,704 * K-V Pharmaceutical Co. Class A 46,050 1,201,905 * K-V Pharmaceutical Co. Class B 15,375 406,054 * K2, Inc. 42,462 649,669 * Kadant, Inc. 20,420 366,539 * Kaiser Aluminum Corp. 80,100 6,408 Kaman Corp. Class A 34,200 440,154 *# Kansas City Southern Industries, Inc. 92,600 1,231,580 * Katy Industries, Inc. 8,300 51,045
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SHARES VALUE+ ------ ------ Kaydon Corp. 42,100 $ 1,028,082 * KBK Capital Corp. 2,200 4,290 * KCS Energy, Inc. 57,400 520,044 * Keane, Inc. 98,164 1,384,112 * Keith Companies, Inc. 9,600 136,896 Keithley Instruments, Inc. 19,800 357,390 Kellwood Co. 39,776 1,521,034 Kelly Services, Inc. 49,905 1,421,294 * Kemet Corp. 134,823 1,779,664 * Kendle International, Inc. 18,903 129,486 Kennametal, Inc. 35,200 1,353,088 * Kennedy-Wilson, Inc. 8,800 53,152 * Kensey Nash Corp. 17,200 361,716 *# Keravision, Inc. 7,400 7 Kewaunee Scientific Corp. 2,000 22,600 * Key Energy Group, Inc. 183,400 1,670,774 * Key Technology, Inc. 4,700 65,424 * Key Tronic Corp. 8,600 18,395 * Keynote Systems, Inc. 18,600 229,524 * Keystone Automotive Industries, Inc. 22,240 541,989 * Keystone Consolidated Industries, Inc. 2,100 262 * Kforce, Inc. 46,100 389,545 * KFX, Inc. 70,100 419,899 Kimball International, Inc. Class B 35,200 521,664 * Kindred Healthcare, Inc. 26,500 1,367,135 * Kirby Corp. 36,200 1,086,000 * Kirklands, Inc. 17,200 359,480 * Kit Manufacturing Co. 300 0 Klamath First Bancorp, Inc. 6,800 174,420 Knape & Vogt Manufacturing Co. 2,290 25,785 * Knight Trading Group, Inc. 50,956 735,295 * Knight Transportation, Inc. 56,025 1,357,486 * Koala Corp. 6,500 747 * Komag Inc. 34,709 572,351 * Kontron Mobile Computing, Inc. 8,900 3,355 * Kopin Corp. 103,587 733,396 * Korn/Ferry International 56,400 565,692 *# Kos Pharmaceuticals, Inc. 32,100 1,428,450 * Kosan Biosciences, Inc. 37,224 354,000 Koss Corp. 3,600 65,880 * Kroll, Inc. 62,560 1,498,312 * Kronos, Inc. 38,900 1,523,713 * Kulicke & Soffa Industries, Inc. 75,034 1,236,560 * KVH Industries, Inc. 17,300 545,642 * Kyphon, Inc. 57,700 1,580,980 * La Jolla Pharmceutical Co. 76,200 220,980 La-Z-Boy, Inc. 82,000 1,656,400 * LaBarge, Inc. 15,700 98,125 * LabOne, Inc. 17,650 511,674 * Labor Ready, Inc. 60,800 693,120 Labranche & Co., Inc. 54,800 453,196 Laclede Group, Inc. 28,000 819,000 * LaCrosse Footwear, Inc. 5,800 31,900 Ladish Co., Inc. 19,500 160,095 Lakeland Bancorp, Inc. 13,119 209,904 * Lakeland Industries, Inc. 2,420 31,291 * Lakes Entertainment, Inc. 10,975 158,029 * Lamson & Sessions Co. 20,000 117,000 Lance, Inc. 62,400 874,224 * Lancer Corp. 9,325 $ 51,194 Landamerica Financial Group, Inc. 27,900 1,434,060 Landauer, Inc. 12,400 466,240 * Landec Corp. 31,790 206,635 Landry's Restaurants, Inc. 41,400 1,015,128 * Landstar Systems, Inc. 36,400 1,310,400 * Lannet Co., Inc. 30,030 538,138 * Lantronix, Inc. 15,000 16,800 * Larscom, Inc. 1,157 5,854 * Laserscope 25,950 415,200 * Latitude Communications, Inc. 28,400 110,760 * Lattice Semiconductor Corp. 165,266 1,565,069 Lawson Products, Inc. 9,600 325,728 * Lawson Software, Inc. 146,808 1,239,060 * Layne Christensen Co. 11,600 120,640 * Lazare Kaplan International, Inc. 8,700 58,725 * LCA-Vision, Inc. 16,150 270,997 * LCC International, Inc. Class A 21,900 107,529 * Learning Tree International, Inc. 25,600 444,672 * Lecroy Corp. 10,100 168,670 * Lectec Corp. 3,900 1,950 Leesport Financial Corp. 525 12,758 Lennox International, Inc. 87,905 1,494,385 * Lesco, Inc. 18,300 233,691 *# Level 8 Systems, Inc. 4,629 1,805 * Lexar Media, Inc. 87,097 1,860,392 * Lexent, Inc. 39,200 57,232 * Lexicon Genetics, Inc. 91,200 478,800 Libbey, Inc. 20,400 597,924 * Liberate Technologies, Inc. 106,300 390,653 Liberty Corp. 27,300 1,213,485 Liberty Homes, Inc. Class A 200 1,020 * Lifecell Corp. 37,700 211,120 * Lifecore Biomedical, Inc. 19,300 129,310 * Lifeline Systems, Inc. 4,100 143,500 # Lifetime Hoan Corp. 15,862 222,068 * Ligand Pharmaceuticals, Inc. Class B 103,477 1,384,522 * Lightbridge, Inc. 40,121 386,365 * Lightning Rod Software, Inc. 580 696 * LightPath Technologies, Inc. 1,850 5,421 * Lin TV Corp. 39,300 882,285 Lincoln Electric Holdings 62,062 1,571,410 Lindsay Manufacturer Co. 17,600 428,912 *# Linens 'n Things, Inc. 66,300 1,949,883 * Lionbridge Technologies, Inc. 31,197 336,928 * Lipid Sciences, Inc. 10,258 25,440 Liquid Audio, Inc. 19,100 5,253 *# Liquidmetal Technologies, Inc. 5,500 11,550 Lithia Motors, Inc. Class A 20,910 518,986 * Littlefuse, Inc. 32,500 968,175 * LMI Aerospace, Inc. 7,900 14,141 LNB Bancorp, Inc. 1,200 25,020 # LNR Property Corp. 29,900 1,323,075 * Local Financial Corp. 9,500 188,765 * Lodgenet Entertainment Corp. 18,900 341,145 * Lodgian, Inc. 155 967 *# Log On America, Inc. 600 2 * Logic Devices, Inc. 6,700 12,261 * LogicVision, Inc. 12,600 56,574 * Logility, Inc. 13,200 64,152
55
SHARES VALUE+ ------ ------ * Lojack Corp. 22,100 $ 195,806 Lone Star Steakhouse & Saloon, Inc. 31,300 722,091 * Lone Star Technologies, Inc. 42,200 584,470 Longs Drug Stores Corp. 56,200 1,376,900 Longview Fibre Co. 76,000 833,720 * LookSmart, Ltd. 142,767 212,723 * LOUD Technologies, Inc. 12,400 36,580 * Louisiana-Pacific Corp. 105,900 1,915,731 Lowrance Electronics, Inc. 2,200 44,990 LSB Bancshares, Inc. NC 5,156 97,294 LSB Corp. 4,300 74,609 LSI Industries, Inc. 29,327 365,121 * LTX Corp. 78,100 1,302,708 * Luby's, Inc. 39,700 149,272 Lufkin Industries, Inc. 6,400 166,336 * Luminex Corp. 44,555 470,055 * Lydall, Inc. 23,300 285,192 * Lynch Corp. 1,500 16,028 * Lynch Interactive Corp. 2,800 65,870 * M & F Worldwide Corp. 19,500 270,075 * M-Wave, Inc. 2,900 1,711 M/I Schottenstein Homes, Inc. 21,600 828,360 MacDermid, Inc. 46,500 1,525,200 * Mace Security International, Inc. 11,200 22,400 * Mac-Gray Corp. 12,600 63,000 * Macromedia, Inc. 74,488 1,527,749 * Macrovision Corp. 73,100 1,673,990 * Madden (Steven), Ltd. 19,600 419,048 MAF Bancorp, Inc. 37,659 1,653,607 * Magic Lantern Group, Inc. 1,700 2,363 *# Magma Design Automation, Inc. 48,283 1,136,099 * Magna Entertainment Corp. 22,300 104,810 * Magnetek, Inc. 36,400 234,780 * Magnum Hunter Resources, Inc. 98,302 883,735 * MAI Systems Corp. 3,400 459 * MAII Holdings, Inc. 3,400 0 * Mail-Well, Inc. 83,000 313,740 * Main Street & Main, Inc. 15,500 37,975 Main Street Banks, Inc. 28,000 741,440 Maine & Maritimes Corp. 1,600 55,200 * MAIR Holdings, Inc. 30,516 232,227 * Major Automotive Companies, Inc. 3,280 2,066 * Management Network Group, Inc. 34,000 109,752 * Manatron, Inc. 1,102 9,367 * Manchester Technologies, Inc. 8,000 26,400 *# Manhattan Associates, Inc. 43,400 1,320,662 Manitowoc Co., Inc. 39,650 1,070,550 * Mannatech, Inc. 13,500 164,700 * Manning (Greg) Auctions, Inc. 9,200 103,500 * Manufacturers' Services Ltd. 47,800 291,580 * Manugistic Group, Inc. 108,900 725,274 * Mapics, Inc. 34,056 411,056 * Mapinfo Corp. 23,100 204,435 * Marimba, Inc. 37,200 191,208 Marine Products Corp. 17,020 278,277 * MarineMax, Inc. 29,375 558,125 * Marisa Christina, Inc. 6,700 10,720 Maritrans, Inc. 7,800 129,558 *# MarketWatch.com, Inc. 26,041 230,723 * MarkWest Hydrocarbon, Inc. 9,350 107,525 * Marlton Technologies, Inc. 7,800 $ 4,251 Marsh Supermarkets, Inc. Class A 1,600 17,584 Marsh Supermarkets, Inc. Class B 4,500 49,500 * Martek Biosciences Corp. 31,500 1,913,310 * Marten Transport, Ltd. 6,300 151,956 * Martha Stewart Living Omnimedia, Ltd. 28,300 276,774 * Mascotech, Inc. 60,200 0 MASSBANK Corp. 4,700 189,692 Massey Energy Co. 110,600 1,537,340 * Mastec, Inc. 70,850 940,888 * Material Sciences Corp. 21,300 202,137 * Matria Healthcare, Inc. 15,269 311,946 *# Matritech, Inc. 30,500 62,525 * Matrix Bancorp, Inc. 6,500 59,410 * Matrix Service Co. 24,400 389,180 * MatrixOne, Inc. 83,200 495,040 * Matrixx Initiatives, Inc. 14,200 239,270 Matthews International Corp. Class A 48,400 1,377,948 * Mattson Technology, Inc. 67,445 1,035,281 * Maui Land & Pineapple Company, Inc. 10,200 319,260 * Maverick Tube Corp. 62,900 1,162,392 * Max & Ermas Restaurants, Inc. 2,300 42,838 * Maxco, Inc. 3,100 8,138 Maxcor Financial Group, Inc. 9,372 122,773 * Maxicare Health Plans, Inc. 3,580 895 *# Maxim Pharmaceuticals, Inc. 33,833 240,891 * Maximus, Inc. 31,300 1,186,270 * Maxwell Shoe Company, Inc. 21,600 379,944 * Maxwell Technologies, Inc. 20,760 167,118 * Maxxam, Inc. 8,900 142,400 * Maxygen, Inc. 52,137 565,686 * Mayor's Jewelers, Inc. 20,300 15,225 * Mays (J.W.), Inc. 200 2,724 MB Financial, Inc. 25,800 1,340,568 * McDATA Corp. 121,454 1,292,271 McGrath Rent Corp. 18,200 498,498 *# McMoran Exploration Co. 25,064 450,149 McRae Industries, Inc. Class A 2,600 23,790 * Meade Instruments Corp. 29,800 125,160 * Meadow Valley Corp. 2,400 3,958 * Meadowbrook Insurance Group, Inc. 13,900 55,600 *# Measurement Specialties, Inc. 12,900 176,601 * Mechanical Technology, Inc. 4,700 23,500 * Medarex, Inc. 117,170 796,756 * MedCath Corp. 17,249 163,676 *# Med-Design Corp. 24,500 90,895 * Media 100, Inc. 7,100 5,325 * Media Arts Group, Inc. 20,600 81,164 Media General, Inc. Class A 3,100 207,359 * MediaBay, Inc. 14,700 19,257 * Mediacom Communications Corp. 136,000 1,048,560 * Medialink Worldwide, Inc. 5,900 18,290 * Medical Action Industries, Inc. 14,900 247,340 * Medical Staffing Network Holdings, Inc. 44,300 431,925 * Medicore, Inc. 3,800 8,759 *# Medifast, Inc. 15,900 241,680
56
SHARES VALUE+ ------ ------ * Medquist, Inc. 64,700 $ 995,733 * MedSource Technologies, Inc. 40,500 187,110 * Medstone International, Inc. 3,900 18,412 * MEDTOX Scientific, Inc. 5,030 28,168 * Memberworks, Inc. 17,500 474,775 * Mens Warehouse, Inc. 59,100 1,816,143 Mentor Corp. 69,600 1,534,680 *# Mentor Graphics Corp. 102,400 1,500,160 Mercantile Bank Corp. 1,200 41,160 Merchants Bancshares, Inc. 6,150 181,425 Merchants Group, Inc. 1,300 31,636 * Mercury Air Group, Inc. 4,950 24,255 * Mercury Computer Systems, Inc. 31,500 754,425 * Merge Technologies, Inc. 17,094 299,145 Meridian Bioscience, Inc. 20,583 213,446 *# Meridian Resource Corp. 75,300 343,368 * Merit Medical Systems, Inc. 28,725 899,093 * Meritage Corp. 18,200 1,149,330 * Merix Corp. 21,619 451,405 * Merrimac Industries, Inc. 2,860 17,017 * Mesa Air Group, Inc. 47,200 568,760 Mesa Labs, Inc. 3,300 29,849 * Mestek, Inc. 5,400 101,520 * Meta Group, Inc. 12,700 71,374 * MetaSolv, Inc. 40,000 96,000 Methode Electronics, Inc. Class A 34,100 437,503 Met-Pro Corp. 8,100 122,310 # Metris Companies, Inc. 84,700 377,762 *# Metro One Telecommunications, Inc. 33,950 65,863 MetroCorp. Bancshares, Inc. 7,000 99,015 * Metrologic Instruments, Inc. 16,200 441,288 * Metromedia International Group, Inc. 44,700 6,817 MFB Corp. 1,300 40,983 * MFRI, Inc. 4,900 13,083 MGE Energy, Inc. 26,492 848,009 * MGI Pharma, Inc. 45,100 1,730,487 MGP Ingredients, Inc. 8,000 94,400 * Michael Anthony Jewelers, Inc. 7,400 15,059 * Micrel, Inc. 122,273 2,090,868 *# Micro Component Technology, Inc. 14,052 21,078 * Micro Linear Corp. 12,000 72,000 * MicroFinancial, Inc. 13,000 41,470 * Micromuse, Inc. 117,493 945,819 * Micros Systems, Inc. 27,100 1,172,346 * Micros to Mainframes, Inc. 4,900 6,664 * Microsemi Corp. 43,500 1,054,005 * MicroStrategy, Inc. 10,200 550,800 * Microtek Medical Holdings, Inc. 63,210 258,529 * Micro-Therapeutics, Inc. 21,500 79,980 * Microtune, Inc. 63,300 138,627 * Microvision, Inc. 26,746 207,282 * Midas, Inc. 22,600 342,390 Middleby Corp. 13,100 446,985 Middlesex Water Co. 8,400 168,000 Midland Co. 6,600 139,788 Mid-State Bancshares 34,896 902,062 *# Midway Games, Inc. 69,900 236,262 Midwest Banc Holdings, Inc. 26,050 570,495 * Midwest Express Holdings, Inc. 22,400 92,960 *# Mikohn Gaming Corp. 19,600 $ 85,456 Milacron, Inc. 58,600 135,952 *# Millennium Cell, Inc. 44,800 116,928 Millennium Chemicals, Inc. 94,900 1,026,818 * Miller Industries, Inc. 9,280 57,536 * Millerbuilding Systems Escrow Shares 3,200 960 * Millicom International Cellular S.A. 81 6,480 * Miltope Group, Inc. 5,800 34,916 * MIM Corp. 31,700 223,485 Mine Safety Appliances Co. 12,000 805,560 Minerals Technologies, Inc. 26,100 1,395,045 * Minorplanet Systems USA, Inc. 4,460 1,962 Minuteman International, Inc. 1,000 9,230 * MIPS Technologies, Inc. 22,200 120,990 *# Miravant Medical Technologies 1,800 1,854 * Misonix, Inc. 9,300 37,860 * Mission Resources Corp. 34,200 61,560 * Mississippi Chemical Corp. 4,742 379 * Mitcham Industries, Inc. 8,700 17,922 * Mitek Systems, Inc. 11,100 25,097 * Mity Enterprises, Inc. 5,000 92,100 * MKS Instruments, Inc. 72,242 2,001,826 *# MKTG Services, Inc. 471 2,859 * Mobile Mini, Inc. 21,547 425,122 * Mobility Electronics, Inc. 34,800 389,760 * Mobius Management Systems, Inc. 17,100 256,671 Mocon, Inc. 5,500 47,190 * Modem Media, Inc. 1,800 11,358 Modine Manufacturing Co. 50,295 1,283,025 * Mod-Pac Corp. 2,750 21,533 * Mod-Pac Corp. Class B 1,112 8,707 * Modtech Holdings, Inc. 18,852 156,283 * Moldflow Corp. 15,109 169,976 * Molecular Devices Corp. 34,540 684,928 * Monaco Coach Corp. 43,150 1,003,669 * Monarch Casino and Resort, Inc. 8,000 81,120 * Mondavi (Robert) Corp. Class A 14,400 504,000 * Monolithic System Technology, Inc. 45,933 342,660 * Monro Muffler Brake, Inc. 12,300 272,445 * Monterey Pasta Co. 21,300 81,579 *# Mony Group, Inc. 6,100 192,272 * Moog, Inc. Class A 12,800 556,800 * Moog, Inc. Class B 2,200 96,404 * Moore Medical Corp. 3,100 20,770 * Morgan Group Holding Co. 4,400 550 * Morgan's Foods, Inc. 900 1,350 * Morton Industrial Group, Inc. Class A 1,000 600 * Mossimo, Inc. 16,600 82,170 * Mother's Work, Inc. 7,654 193,340 * Motor Car Parts & Accessories, Inc. 2,500 14,075 Movado Group, Inc. 12,000 326,280 *# Movie Gallery, Inc. 48,800 863,272 * MPS Group, Inc. 154,000 1,416,800 * MPW Industrial Services Group 5,000 11,175 * MRO Software, Inc. 36,800 507,840 * MRV Communications, Inc. 153,500 615,535 MSC Industrial Direct Co., Inc. Class A 33,100 871,854
57
SHARES VALUE+ ------ ------ * MSC Software Corp. 45,300 $ 446,205 * MTC Technologies, Inc. 14,800 443,260 *# MTI Technology Corp. 1,300 3,185 * MTR Gaming Group, Inc. 40,714 451,925 MTS Systems Corp. 32,140 596,840 * Mueller Industries, Inc. 50,445 1,630,382 * Multi Color Corp. 1,500 43,125 * Multimedia Games, Inc. 19,700 806,321 MutualFirst Financial, Inc. 2,000 51,180 Myers Industries, Inc. 39,563 495,724 * Mykrolis Corp. 59,800 947,232 * Myriad Genetics, Inc. 40,600 479,892 Mystic Financial, Inc. 1,575 44,179 * Nabi Biopharmaceuticals 69,550 749,054 Nacco Industries, Inc. Class A 6,500 507,000 *# Nanogen, Inc. 36,600 120,780 * Nanometrics, Inc. 17,194 251,032 * Nanophase Technologies Corp. 23,598 126,485 * Napco Security Systems, Inc. 2,150 17,469 Nara Bancorp, Inc. 7,000 153,370 Nash-Finch Co. 17,900 359,969 * Nashua Corp. 5,800 50,924 * Nassda Corp. 38,875 274,069 *# Nastech Pharmaceutical Co., Inc. 14,500 145,725 * NATCO Group, Inc. Class A 16,800 100,800 * Nathans Famous, Inc. 7,000 36,260 * National Beverage Corp. 18,100 272,948 * National Dentex Corp. 3,500 73,850 * National Equipment Services, Inc. 7,600 532 * National Home Health Care Corp. 5,465 48,311 * National Medical Health Card Systems, Inc. 7,200 165,600 National Penn Bancshares, Inc. 36,284 1,215,514 National Presto Industries, Inc. 6,800 242,080 * National Processing, Inc. 116,000 2,813,000 * National Research Corp. 7,000 108,423 * National RV Holdings, Inc. 11,900 127,925 * National Steel Corp. Class B 2,000 8 * National Technical Systems, Inc. 8,600 49,364 * National Western Life Insurance Co. Class A 1,000 146,205 * Natrol, Inc. 10,000 29,000 * Natural Alternatives International, Inc. 5,400 32,022 Nature's Sunshine Products, Inc. 20,466 165,365 * Natus Medical, Inc. 14,600 54,896 # Nautilus Group, Inc. 48,900 695,847 *# Navarre Corp. 32,400 230,364 * Navidec, Inc. 644 692 * Navigant Consulting, Inc. 65,300 1,129,690 *# Navigant International, Inc. 23,200 322,480 * Navigators Group, Inc. 8,400 267,204 NBT Bancorp 48,956 1,071,157 * NCI Building Systems, Inc. 26,900 626,501 * NCO Group, Inc. 38,332 885,469 * NCO Portfolio Management, Inc. 1,945 14,588 # NDChealth Corp. 52,800 1,412,400 * Nektar Therapeutics 83,269 1,097,485 Nelson (Thomas), Inc. 13,100 230,560 *# Neoforma, Inc. 27,937 445,875 * Neogen Corp. 6,100 128,283 * NeoMagic Corp. 45,900 $ 148,716 * NEON Systems, Inc. 8,600 30,960 * Neopharm, Inc. 28,217 506,213 * Neose Technologies, Inc. 25,900 218,337 * Neoware Systems, Inc. 6,900 115,713 Net Perceptions, Inc. 22,600 7,684 * Net2Phone, Inc. 47,200 297,360 NetBank, Inc. 57,533 753,682 * Netegrity, Inc. 52,100 638,225 * Netflix, Inc. 37,200 1,822,800 * Netguru, Inc. 17,200 20,468 * NetIQ Corp. 85,487 1,024,989 * NetManage, Inc. 10,442 56,387 * Netopia, Inc. 32,100 491,130 * NetRatings, Inc. 47,563 481,338 * Netscout System, Inc. 43,000 374,960 * NetSolve, Inc. 12,100 99,704 * Network Engines, Inc. 50,700 529,308 * Network Equipment Technologies, Inc. 34,500 358,800 *# Network Plus Corp. 14,500 17 * Neurobiological Technologies, Inc. 2,700 12,015 * Neurogen Corp. 26,417 168,567 Nevada Chemicals, Inc. 2,500 12,723 * Nevada Gold & Casinos, Inc. 15,850 188,615 * New Brunswick Scientific Co., Inc. 7,660 46,718 * New Century Equity Holdings Corp. 33,400 10,688 # New Century Financial Corp. 51,150 1,946,258 New England Business Services, Inc. 19,800 594,000 * New Focus, Inc. 83,129 406,501 New Hampshire Thrift BancShares, Inc. 200 6,200 * New Horizons Worldwide, Inc. 10,200 62,730 New Jersey Resources Corp. 40,800 1,566,720 Newmil Bancorp, Inc. 4,400 117,876 * Newpark Resources, Inc. 121,300 487,626 * Newport Corp. 54,718 931,848 * Newtek Business Services, Inc. 2,600 15,444 * Niagara Corp. 8,200 23,124 * NIC, Inc. 87,400 615,296 Nitches, Inc. 864 4,018 NL Industries, Inc. 68,800 1,230,144 * NMS Communications Corp. 51,800 303,030 * NMT Medical, Inc. 11,500 40,250 NN, Inc. 15,250 177,205 * Nobel Learning Communities, Inc. 6,500 31,850 * Nobility Homes, Inc. 4,100 43,706 Noble International, Ltd. 11,660 196,005 * Noel Group, Inc. 8,000 24 # Noland Co. 200 7,413 Nordson Corp. 49,600 1,612,496 * Norstan, Inc. 19,500 60,450 * North America Galvanizing & Coatings, Inc. 6,700 9,179 * North American Scientific, Inc. 14,300 143,000 North Central Bancshares, Inc. 1,700 65,467 * North Coast En 9,200 98,440 North Pittsburgh Systems, Inc. 22,000 405,438 Northeast Bancorp 900 18,225 Northeast Pennsylvania Financial Corp. 4,400 85,800
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SHARES VALUE+ ------ ------ Northern Technologies International Corp. 3,000 $ 14,985 *# Northfield Laboratories, Inc. 21,700 125,860 * Northland Cranberries, Inc. 6,900 4,968 Northrim BanCorp, Inc. 6,068 138,542 *# Northwest Airlines Corp. 128,800 1,701,448 Northwest Bancorp, Inc. 71,404 1,565,890 Northwest Natural Gas Co. 38,600 1,177,300 * Northwest Pipe Co. 6,300 93,240 * Novadigm, Inc. 28,200 104,340 *# Novamed Eyecare, Inc. 19,300 46,320 * Novavax, Inc. 45,200 259,900 * Novell, Inc. 6,970 66,215 * Noven Pharmaceuticals, Inc. 33,308 457,319 * Novoste Corp. 23,100 115,731 *# NPS Pharmaceuticals, Inc. 55,200 1,665,936 * NS Group, Inc. 31,300 233,811 * NTN Communications, Inc. 63,793 248,793 * Nu Horizons Electronics Corp. 23,700 190,074 *# Nucentrix Broadband Networks, Inc. 10,400 16,120 * NuCo2, Inc. 16,000 201,280 * Nuevo Energy Co. 28,900 570,486 NUI Corp. 29,892 467,212 * Numerex Corp. Class A 10,800 42,120 NuSkin Enterprises, Inc. 46,400 805,968 * Nutraceutical International Corp. 15,776 204,299 * Nutramax Products, Inc. 3,300 3 * Nutrition 21, Inc. 11,400 10,830 * Nuvelo, Inc. 110,467 431,926 NWH, Inc. 4,200 81,606 * NYFIX, Inc. 46,481 387,187 Nymagic, Inc. 8,700 233,421 * O'Charleys, Inc. 31,250 532,813 * O.I. Corp. 2,700 19,265 Oak Hill Financial, Inc. 3,000 93,000 Oakley, Inc. 98,800 1,294,280 * OAO Technology Solutions, Inc. 17,700 55,224 * Obie Media Corp. 5,900 16,019 * Oceaneering International, Inc. 36,300 793,155 OceanFirst Financial Corp. 19,732 520,333 * Ocular Sciences, Inc. 35,700 1,022,091 * Ocwen Financial Corp. 94,934 659,791 * Odd Job Stores, Inc. 12,700 38,735 * Odetics, Inc. Series B 200 80 * Odyssey Healthcare, Inc. 53,800 1,915,818 * Officemax, Inc. 159,500 1,567,885 * Offshore Logistics, Inc. 33,800 853,450 *# Oglebay Norton Co. 5,300 9,858 *# Ohio Casualty Corp. 88,600 1,507,086 * Oil States International, Inc. 67,131 843,165 Oil-Dri Corp. of America 4,200 62,958 * Old Dominion Freight Lines, Inc. 24,000 764,880 Olin Corp. 87,552 1,594,322 * Olympic Steel, Inc. 9,600 54,192 * OM Group, Inc. 42,500 1,028,925 Omega Financial Corp. 8,200 311,600 * Omega Protein Corp. 35,700 223,125 * Omnicell, Inc. 33,600 442,176 *# OmniVision Technologies, Inc. 32,000 2,085,120 * Omnova Solutions, Inc. 13,900 50,735 * Omtool, Ltd. 1,785 $ 12,816 * On Assignment, Inc. 35,200 178,464 * On Command Corp. 23,100 42,851 * ON Semiconductor Corp. 385,900 2,539,222 * On Technology Corp. 44,000 173,096 * On2.cCom, Inc. 75,000 120,000 * One Price Clothing Stores, Inc. 2,957 1,656 # Oneida, Ltd. 24,900 118,275 * OneSource Information Services, Inc. 11,900 117,084 * Online Resources Corp. 22,300 143,612 * Onyx Acceptance Corp. 5,100 56,202 * Onyx Pharmacueticals, Inc. 43,700 1,257,686 * ONYX Software Corp. 20,800 83,845 * OPENT Technologies, Inc. 29,300 527,107 * OpenTV Corp. 40,846 141,736 * Openwave Systems Inc. 51,299 617,127 * Opinion Research Corp. 6,700 37,989 * Oplink Communications, Inc. 53,100 126,909 * Opti, Inc. 11,600 16,472 * Optical Communication Products, Inc. 44,350 176,070 * Optical Sensors, Inc. 1,633 6,695 * OpticNet, Inc. 5,600 6 * Optika, Inc. 8,200 35,670 * Option Care, Inc. 31,300 311,122 * OraSure Technologies, Inc. 65,900 549,606 * Orbit International Corp. 1,582 10,598 * Orbital Sciences Corp. 71,900 659,323 * Oregon Steel Mills, Inc. 38,800 115,236 *# Orleans Homebuilders, Inc. 11,300 320,242 * Orphan Medical, Inc. 10,300 96,820 *# Orthodontic Centers of America, Inc. 76,951 545,583 * Orthologic Corp. 49,126 354,690 Oshkosh B'Gosh, Inc. Class A 14,500 313,200 Oshkosh Truck Corp. Class B 32,200 1,510,180 * OSI Pharmaceutical, Inc. 58,773 1,747,321 *# OSI Systems, Inc. 21,800 405,044 * Osteotech, Inc. 25,600 195,840 Otter Tail Co. 38,600 1,051,078 Outlook Group Corp. 2,400 12,000 * Overland Storage, Inc. 19,475 382,879 Overseas Shipholding Group, Inc. 53,525 1,506,729 * Overstock Com 24,400 385,764 Owens & Minor, Inc. 50,600 1,073,226 * Owosso Corp. 4,700 376 Oxford Industries, Inc. 7,500 512,100 *# Oxigene, Inc. 12,600 123,606 * Oxis International, Inc. 7,900 4,582 * OYO Geospace Corp. 5,100 67,779 * P&F Industries, Inc. Class A 1,300 11,050 * P.F. Chang's China Bistro, Inc. 35,500 1,916,290 * Pacific Aerospace & Electronics, Inc. 128 14 Pacific Capital Bancorp 50,933 1,881,974 Pacific Crest Capital, Inc. 2,120 54,548 * Pacific Mercantile Bancorp 5,900 54,280 * Pacific Premier Bancorp, Inc. 2,400 23,160 * Packaging Dynamics Corp. 4,120 44,702 * Packeteer, Inc. 48,100 912,409
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SHARES VALUE+ ------ ------ * Pac-West Telecomm, Inc. 23,100 $ 51,282 * Pain Therapeutics, Inc. 53,027 323,465 * Palatin Technologies, Inc. 62 192 *# Paligent, Inc. 347 16 * Palm Harbor Homes, Inc. 33,011 627,209 * Palmone Inc. 46,984 703,350 * Palmsource Inc. 13,781 352,656 * PAM Transportation Services, Inc. 16,150 315,733 Pamrapo Bancorp, Inc. 5,100 126,327 * Panavision, Inc. 3,600 21,330 *# Panera Bread Co. 39,600 1,543,608 * Pantry, Inc. 9,900 228,007 *# Papa John's International, Inc. 26,900 709,891 * Par Technology Corp. 7,800 61,854 * Paradyne Networks Corp. 55,455 254,538 * Paragon Technologies, Inc. 4,200 40,278 * Parallel Petroleum Corp. 31,000 118,079 * Parametric Technology Corp. 388,388 1,328,287 * Parexel International Corp. 38,400 709,632 Park Bancorp, Inc. 1,200 34,188 Park Electrochemical Corp. 28,750 734,563 * Parker Drilling Co. 137,000 327,430 *# Parkervision, Inc. 19,300 193,000 * Park-Ohio Holdings Corp. 10,400 76,232 Parkvale Financial Corp. 5,700 152,019 * Parlex Corp. 6,300 51,345 * Parlux Fragrances, Inc. 9,900 32,165 * ParthusCeva, Inc. 10,833 94,789 * Party City Corp. 24,722 355,008 * Pathmark Stores, Inc. 42,179 306,220 * Patient Infosystems, Inc. 8,800 2,552 Patina Oil & Gas Corp. 44,465 1,995,589 Patrick Industries, Inc. 4,500 38,610 Patriot Bank Corp. 6,930 154,193 * Patriot Transportation Holding, Inc. 2,500 74,525 * Paula Financial, Inc. 6,100 9,455 * Paul-Son Gaming Corp. 4,100 24,518 * Paxar Corp. 58,600 770,590 * Paxson Communications Corp. 88,700 425,760 * Payless Cashways, Inc. 160 0 * Payless ShoeSource, Inc. 102,100 1,315,048 * PC Connection, Inc. 37,150 325,063 * PC Mall, Inc. 10,700 142,952 * PC-Tel, Inc. 37,700 337,415 * PDF Solutions, Inc. 33,959 375,926 * PDI, Inc. 21,500 621,350 * PDS Gaming Corp. 1,100 2,200 * PEC Solutions, Inc. 38,000 684,380 * Pediatric Services of America, Inc. 6,100 53,070 * Pediatrix Medical Group, Inc. 32,200 1,727,852 * Peerless Manufacturing Co. 3,000 35,565 * Peerless Systems Corp. 23,100 78,540 * Peet's Coffee & Tea, Inc. 19,150 322,103 *# Pegasus Communications Corp. 7,570 151,930 * Pegasus Solutions, Inc. 37,233 442,328 * Pegasystems, Inc. 51,900 415,200 * Pemco Aviation Group, Inc. 950 26,975 * Pemstar, Inc. 61,000 229,360 Penford Corp. 7,300 105,339 Penn Engineering & Manufacturing Corp. Class A 1,200 17,400 Penn Engineering & Manufacturing Corp. Non-Voting 15,000 $ 246,000 * Penn National Gaming, Inc. 59,300 1,400,666 * Penn Treaty American Corp. 24,800 39,928 Penn Virginia Corp. 12,600 591,066 Penn-America Group, Inc. 22,100 322,881 Pennfed Financial Services, Inc. 7,400 238,643 Penns Woods Bancorp, Inc. 770 34,565 * Penwest Pharmaceuticals Co. 27,400 421,960 Peoples Bancorp, Inc. 300 7,140 Pep Boys - Manny, Moe & Jack 78,600 1,611,300 * Perceptron, Inc. 12,850 95,090 * Performance Technologies, Inc. 19,100 257,659 * Pericom Semiconductor Corp. 38,800 454,736 * Perini Corp. 22,600 203,626 * Perot Systems Corp. 60,900 755,160 Perrigo Co. 104,800 1,581,432 * Perry Ellis International, Inc. 11,700 283,854 * Per-Se Technologies, Inc. 45,600 640,680 * Pervasive Software, Inc. 24,590 183,196 * Petrocorp, Inc. 6,900 93,426 * Petroleum Development Corp. 23,133 328,489 PFF Bancorp, Inc. 25,400 949,960 *# Pfsweb, Inc. 9 14 * Pharmacopeia, Inc. 52,900 661,250 * Pharmacyclics, Inc. 23,700 151,680 *# Pharmanetics, Inc. 9,500 20,235 * PharmChem, Inc. 5,100 1,428 *# Pharmos Corp. 6,200 22,816 * Philadelphia Consolidated Holding Corp. 31,400 1,589,782 Phillips-Van Heusen Corp. 45,500 800,800 * Phoenix Gold International, Inc. 1,000 1,350 * Phoenix Technologies, Ltd. 36,390 316,957 * Photo Control Corp. 1,000 2,290 * Photoelectron Corp. 9,900 99 * PhotoMedex, Inc. 14,000 26,180 * Photon Dynamics, Inc. 23,400 954,954 * Photronics, Inc. 45,800 845,926 *# Physiometrix, Inc. 7,400 13,690 * Piccadilly Cafeterias, Inc. 10,400 1,872 * Pico Holdings, Inc. 12,300 184,746 # Piedmont Natural Gas Co. 32,500 1,331,850 Pilgrims Pride Corp. Class B 54,300 811,785 * Pinnacle Entertainment, Inc. 38,900 355,157 * Pinnacle Systems, Inc. 98,500 821,490 * Pioneer Drilling Co. 1,500 5,580 * Pixelworks, Inc. 51,000 673,200 * Pizza Inn, Inc. 10,000 30,000 * Plains Exploration & Production Co. 40,325 564,953 * Plains Resources, Inc. 40,100 622,352 * Planar Systems, Inc. 21,400 509,320 * Plantronics, Inc. 58,800 1,801,632 * PlanVista Corp. 16,600 31,540 * Plato Learning, Inc. 24,566 243,940 * Play By Play Toys and Novelties, Inc. 3,300 8 * Playboy Enterprises, Inc. Class A 4,700 70,970 * Playboy Enterprises, Inc. Class B 31,800 515,478 * Playtex Products, Inc. 87,400 605,682 * Plexus Corp. 63,900 1,134,225
60
SHARES VALUE+ ------ ------ *# Plug Power, Inc. 91,544 $ 530,040 * PLX Technology, Inc. 35,700 335,580 * Plymouth Rubber, Inc. Class B 200 60 # PMA Capital Corp. Class A 43,700 173,489 PNM Resources, Inc. 57,400 1,607,774 Pocahontas Bancorp, Inc. 4,400 62,040 * Point Therapeutics, Inc. 660 2,756 * Point West Capital Corp. 3,400 0 * Point.360 9,000 44,910 PolyMedica Corp. 37,200 964,224 * Polyone Corp. 94,200 560,490 Pomeroy IT Solutions, Inc. 17,895 261,446 Pope & Talbot, Inc. 22,300 302,165 * Porta Systems Corp. 9,600 192 * Portal Software, Inc. 32,720 247,036 * Possis Medical, Inc. 26,600 453,264 Potlatch Corp. 43,000 1,386,750 * Powell Industries, Inc. 15,190 256,103 * Power Intergrations, Inc. 44,400 1,608,612 * PowerCerv Corp. 1,755 140 * Power-One, Inc. 124,600 1,050,378 * Powerwave Technologies, Inc. 92,900 692,105 * Pozen, Inc. 42,500 499,800 * PPT Vision, Inc. 6,800 7,344 * PRAECIS Pharmaceuticals, Inc. 75,606 574,606 * Premier Financial Bancorp 5,200 41,860 *# Premier Laser Systems, Inc. Class A 3,400 34 *# Pre-Paid Legal Services, Inc. 25,350 674,564 Presidential Life Corp. 40,500 587,250 * Presstek, Inc. 51,298 412,949 *# PRG-Schultz International, Inc. 82,000 405,900 * Price Communications Corp. 81,300 1,044,705 * Priceline.com, Inc. 45,116 859,911 * Pricesmart, Inc. 4,400 29,916 * Prima Energy Corp. 19,062 564,235 * Prime Hospitality Corp. 67,100 739,442 * Prime Medical Services, Inc. 34,900 176,943 * PRIMEDIA, Inc. 386,838 1,121,830 * Primus Knowledge Solutions, Inc. 16,500 73,425 * Princeton Review, Inc. 14,600 116,800 * Printronix, Inc. 5,800 95,642 *# Priority Healthcare Corp. 55,616 1,275,275 * Private Business, Inc. 945 1,342 *# Proassurance Corp. 43,450 1,342,605 * Procom Technology, Inc. 5,400 2,403 * Procurenet, Inc. 19,700 20 * Progenics Pharmaceuticals, Inc. 19,400 340,276 Programmers Paradise, Inc. 5,200 37,024 Progress Financial Corp. 7,098 215,992 * Progress Software Corp. 52,300 1,096,208 * ProQuest Co. 42,400 1,280,480 * ProsoftTraining.com 7,300 4,745 Prosperity Bancshares, Inc. 27,500 595,650 * Protection One, Inc. 95,000 42,750 *# Protein Design Labs, Inc. 140,500 1,947,330 Proton Energy Systems, Inc. 47,250 123,795 * Provant, Inc. 13,000 13 Providence & Worcester Railroad Co. 3,000 27,240 Provident Bancorp, Inc. 5,200 249,340 Provident Bankshares Corp. 36,677 $ 1,065,834 Provident Financial Group, Inc. 20,000 619,200 Provident Financial Holdings, Inc. 5,550 185,981 * Province Healthcare Co. 73,125 1,121,006 * Proxim Corp. 67,269 94,849 *# ProxyMed, Inc. 1,320 21,292 * PSS World Medical, Inc. 100,500 1,030,125 Psychemedics Corp. 5,225 42,061 * Psychiatric Solutions, Inc. 9,033 137,482 * PTEK Holdings, Inc. 80,328 700,460 Pulaski Financial Corp. 5,400 86,346 Pulitzer, Inc. 11,100 588,300 * Puma Technology, Inc. 71,685 433,694 * Pure World, Inc. 7,600 17,252 * PW Eagle, Inc. 7,000 27,993 Pyramid Breweries, Inc. 5,700 18,126 * Qad, Inc. 49,083 605,193 * QEP Co., Inc. 2,125 25,075 * QRS Corp. 23,000 234,370 * QuadraMed Corp. 27,006 67,110 Quaker Chemical Corp. 13,720 359,876 Quaker City Bancorp, Inc. 2,734 115,457 Quaker Fabric Corp. 23,350 203,846 * Quality Dining, Inc. 11,400 32,946 * Quality Systems, Inc. 9,100 389,480 * Qualstar Corp. 5,500 28,325 Quanex Corp. 23,200 917,096 * Quanta Services, Inc. 171,200 1,309,680 * Quantum Corp.- DLT 55,500 175,380 * Quantum Fuel Systems Technologies Worldwide, Inc. 14,100 98,559 * Quest Software, Inc. 120,400 1,787,940 *# Questcor Pharmaceuticals, Inc. 26,800 18,224 * Quicklogic Corp. 34,900 217,776 * Quidel Corp. 43,600 374,960 * Quigley Corp. 16,200 137,538 * Quiksilver, Inc. 77,500 1,393,450 * Quinton Cardiology Systems, Inc. 24,200 192,390 * Quipp, Inc. 1,400 17,150 Quixote Corp. 12,491 307,778 *# Quokka Sports, Inc. 1,128 15 * Quovadx, Inc. 46,726 227,556 * R & B, Inc. 8,400 117,600 * R H Donnelley Corp. 46,200 1,859,550 * Radiant Systems, Inc. 40,800 289,680 * Radiologix, Inc. 30,300 92,415 * RadiSys Corp. 26,762 492,421 * Radyne ComStream, Inc. 9,500 65,645 * Rag Shops, Inc. 2,415 8,187 * Railamerica, Inc. 45,700 518,695 * Rainbow Rentals, Inc. 5,900 43,666 * Rainbow Technologies, Inc. 38,900 482,360 * Ralcorp Holdings, Inc. 43,400 1,314,152 * Ramtron International Corp. 31,000 76,880 * Range Resources Corp. 84,000 663,600 * Rare Hospitality International, Inc. 49,282 1,232,050 Raven Industries, Inc. 11,800 326,742 * Rayovac Corp. 48,700 876,113 * Raytech Corp. 14,400 53,280 * RC2 Corp. 24,000 510,720 * RCM Technologies, Inc. 10,500 76,440
61
SHARES VALUE+ ------ ------ *# RCN Corp. 82,600 $ 84,252 * Reading International, Inc. Class A 18,149 113,250 * Reading International, Inc. Class B 1,060 6,254 * RealNetworks , Inc. 228,600 1,364,742 *# Redhook Ale Brewery, Inc. 9,300 27,705 Redwood Empire Bancorp 5,250 132,589 * Reeds Jewelers, Inc. 440 488 Regal-Beloit Corp. 34,004 702,183 * Regeneration Technologies, Inc. 38,552 400,941 * Regeneron Pharmaceuticals, Inc. 74,600 960,848 * Regent Communications, Inc. 64,413 419,329 Regis Corp. 43,100 1,764,945 * Register.Com, Inc. 44,100 213,885 * Rehabcare Group, Inc. 23,800 422,688 * Reliability, Inc. 6,300 6,867 Reliance Steel & Aluminum Co. 47,757 1,407,876 * Reliant Resources, Inc. 11,600 76,096 * Reliv International, Inc. 11,532 65,617 * Relm Wireless Corp. 7,600 11,476 * Remec, Inc. 88,350 991,287 * RemedyTemp, Inc. 6,600 72,402 * Remington Oil & Gas Corp. 40,200 717,570 *# Renaissance Learning, Inc. 46,200 1,071,840 * Rentrak Corp. 13,600 108,664 * Rent-Way, Inc. 46,300 343,083 * Repligen Corp. 44,800 216,384 * Reptron Electronics, Inc. 8,800 1,496 # Republic Bancorp, Inc. 94,783 1,303,270 Republic Bancorp, Inc. Class A 14,500 285,650 Republic Bankshares, Inc. 19,865 592,573 * Republic First Bancorp, Inc. 6,334 82,405 * Res-Care, Inc. 33,685 247,585 * ResMed, Inc. 41,300 1,610,700 Resource America, Inc. 25,351 330,324 * Resources Connection, Inc. 33,968 930,044 * Respironics, Inc. 39,400 1,792,700 * Restoration Hardware, Inc. 45,300 277,689 * Retail Ventures Inc. 48,200 260,280 * Retek, Inc. 77,900 808,602 *# Revlon, Inc. 55,200 132,480 * Rex Stores Corp. 16,100 253,253 * Rexhall Industries, Inc. 3,542 10,325 * RF Monolithics, Inc. 10,100 88,577 *# Rhythms NetConnections, Inc. 8,900 1 Richardson Electronics, Ltd. 15,627 159,395 * Rigel Pharmaceuticals, Inc. 2,222 36,019 Riggs National Corp. 40,602 696,730 * Right Management Consultants, Inc. 31,162 556,865 * Rimage Corp. 8,600 131,580 * Rita Medical Systems, Inc. 26,700 113,475 * Riverside Group, Inc. 1,000 19 Riverview Bancorp, Inc. 4,500 96,210 Rivianna Foods, Inc. 16,700 492,483 * Riviera Holdings Corp. 3,600 19,602 RLI Corp. 35,800 1,295,960 * RMH Teleservices, Inc. 19,300 99,588 * Roadhouse Grill, Inc. 13,340 3,335 # Roadway Corp. 23,200 1,183,200 Roanoke Electric Steel Corp. 9,900 95,535 Robbins & Myers, Inc. 19,400 427,964 * Robocom Systems, Inc. 800 $ 600 * Robotic Vision Systems, Inc. 17,400 11,571 * Rochester Medical Corp. 5,300 47,435 Rock of Ages Co. 4,400 25,476 Rock-Tenn Co. Class A 61,200 973,080 Rocky Mountain Chocolate Factory, Inc. 2,433 29,196 * Rocky Shoes & Boots, Inc. 4,500 77,850 * Rofin-Sinar Technologies, Inc. 13,000 418,210 * Rogers Corp. 24,200 1,062,380 * Rogue Wave Software, Inc. 11,000 72,270 * Rohn Industries, Inc. 34,500 690 Rollins, Inc. 67,700 1,508,356 Roper Industries, Inc. 38,500 1,930,390 * Ross Systems, Inc. 2,600 46,826 Roto-Rooter, Inc. 14,400 530,064 * Rouge Industries, Inc. Class A 15,000 1,200 * Roxio, Inc. 1,629 8,813 Royal Bancshares of Pennsylvania Class A 4,344 115,550 Royal Gold, Inc. 30,735 654,963 * Royale Energy, Inc. 3,273 29,457 RPC, Inc. 28,600 287,430 * RSA Security, Inc. 90,300 1,327,410 * RTI International Metals, Inc. 30,000 406,500 * RTW, Inc. 5,150 33,264 * Rubio's Restaurants, Inc. 12,795 77,410 Ruddick Corp. 65,900 1,113,710 * Rudolph Technologies, Inc. 23,900 553,285 * Rural Cellular Corp. Class A 2,800 26,460 * Rural/Metro Corp. 14,000 27,440 * Rush Enterprises, Inc. Class A 7,000 54,110 * Rush Enterprises, Inc. Class B 7,000 57,260 Russ Berrie & Co., Inc. 30,900 1,030,515 Russell Corp. 44,900 825,711 * Ryan's Family Steak Houses, Inc. 59,200 878,528 Ryerson Tull, Inc. 35,000 315,350 * S&K Famous Brands, Inc. 2,100 37,548 S&T Bancorp, Inc. 39,600 1,203,048 * S1 Corp. 101,898 899,759 * Saba Software, Inc. 18,800 71,478 * Safeguard Scientifics, Inc. 173,900 594,738 * SafeNet, Inc. 19,860 660,146 * Safety Components International, Inc. 118 1,392 * Saga Communications, Inc. Class A 27,325 477,368 * Salem Communications Corp. 25,640 635,103 *# Salton, Inc. 15,700 211,322 *# Samsonite Corp. 518 352 * San Filippo (John B.) & Son, Inc. 8,200 326,360 * Sanchez Computer Associates, Inc. 39,855 173,369 Sanders Morris Harris Group, Inc. 24,500 243,775 Sanderson Farms, Inc. 19,500 670,410 * Sands Regent Casino Hotel 2,000 8,280 Sandy Spring Bancorp, Inc. 20,800 829,920 * Sangamo BioSciences, Inc. 36,400 165,984 * Sapient Corp. 177,323 996,555 *# Satcon Technology Corp. 28,300 73,580 Saucony, Inc. Class A 2,700 45,846 Saucony, Inc. Class B 3,500 58,100
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SHARES VALUE+ ------ ------ Sauer-Danfoss, Inc. 49,600 $ 793,600 * Savient Pharmaceuticals, Inc. 76,600 378,404 * Saxon Capital, Inc. 17,400 328,338 * SBA Communications Corp. 64,000 221,440 * SBE, Inc. 3,500 28,840 * SBS Technologies, Inc. 22,530 330,065 * ScanSoft, Inc. 139,960 839,760 * ScanSource, Inc. 21,200 927,288 Schawk, Inc. Class A 22,200 301,920 * Scheid Vineyards, Inc. 2,200 9,251 *# Schick Technologies, Inc. 9,000 69,750 * Schieb (Earl), Inc. 2,200 5,819 * Schlotzskys, Inc. 7,200 18,144 * Schmitt Industries, Inc. 2,466 6,239 Schnitzer Steel Industries, Inc. Class A 16,001 865,814 * Scholastic Corp. 52,700 1,748,586 * Schuff International, Inc. 7,000 10,010 Schulman (A.), Inc. 41,487 811,071 Schweitzer-Maudoit International, Inc. 20,900 579,348 * Sciclone Pharmaceuticals, Inc. 62,000 455,700 * Scientific Games Corp. 90,158 1,465,969 * Scientific Learning Corp. 4,400 20,284 * Scientific Technologies, Inc. 6,700 31,088 * SCM Microsystems, Inc. 21,663 179,803 * SCP Pool Corp. 49,500 1,773,090 SCPIE Holdings, Inc. 9,300 92,535 * SCS Transportation, Inc. 14,450 240,304 Seaboard Corp. 1,400 322,700 * Seabulk International, Inc. 2,400 21,000 * Seachange International, Inc. 40,500 609,525 Seacoast Banking Corp. 4,950 87,665 Seacoast Financial Services Corp. 7,315 200,797 * Seacor Smit, Inc. 27,900 1,064,106 * Seattle Genetics, Inc. 43,595 271,161 * Secom General Corp. 140 181 Second Bancorp, Inc. 9,900 280,170 * Secure Computing Corp. 51,474 773,654 * Security Associates International, Inc. 3,500 0 * SED International Holdings, Inc. 825 2,186 * SeeBeyond Technology Corp. 122,600 475,688 * SEEC, Inc. 5,900 2,891 * Segue Software, Inc. 9,500 24,415 * Selas Corp. of America 4,750 13,110 * Select Comfort Corp. 50,500 1,358,955 * Select Medical Corp. 57,000 2,043,450 * Selectica, Inc. 55,800 258,912 Selective Insurance Group, Inc. 40,700 1,319,087 SEMCO Energy, Inc. 41,400 202,860 * Semitool, Inc. 40,400 459,752 * Semtech Corp. 77,136 1,874,405 * SEMX Corp. 6,300 630 * Seneca Foods Corp. Class A 200 4,000 * Seneca Foods Corp. Class B 1,300 26,111 # Sensient Technologies Corp. 70,400 1,327,040 * Sensytech, Inc. 9,014 131,154 * Sequa Corp. Class A 6,900 329,475 * Sequa Corp. Class B 2,600 127,270 * Sequenom, Inc. 56,400 203,096 * SeraCare Life Sciences, Inc. 4,080 44,880 *# Serena Software, Inc. 60,000 $ 1,153,200 * Serologicals Corp. 36,050 621,863 * Service Corp. International 279,800 1,385,010 * ServiceWare Technologies, Inc. 2,900 1,711 * Servotronics, Inc. 1,100 3,410 * SFBC International, Inc. 11,100 285,825 * Shared Technologies Cellular, Inc. 10,100 27 * Sharper Image Corp. 22,700 717,774 * Shaw Group, Inc. 86,687 1,128,665 * Sheffield Pharmceuticals, Inc. 13,250 1 * Shells Seafood Restaurants, Inc. 4,400 2,926 * Shiloh Industries, Inc. 13,500 60,953 * Shoe Carnival, Inc. 19,000 343,520 * Shoe Pavilion, Inc. 6,200 7,905 * Sholodge, Inc. 5,100 22,313 * Shopko Stores, Inc. 43,700 727,605 * Shuffle Master, Inc. 24,025 718,588 * Siebert Financial Corp. 22,300 73,144 Sierra Bancorp 1,700 28,883 * Sierra Health Services, Inc. 41,936 1,149,046 * Sierra Pacific Resources 175,800 1,218,294 * Sifco Industries, Inc. 5,400 18,900 * Sigma Designs, Inc. 30,500 180,865 * Sigmatron International, Inc. 2,200 55,682 * Silgan Holdings, Inc. 25,500 878,475 * Silicon Graphics, Inc. 193,900 219,107 * Silicon Image, Inc. 105,889 783,579 * Silicon Storage Technology, Inc. 142,400 1,932,368 *# Silicon Valley Bancshares 51,800 1,902,614 * Siliconix, Inc. 35,641 1,810,206 * Simclar, Inc. 6,500 14,755 Simmons First National Corp. Class A 20,200 535,906 * Simon Worldwide, Inc. 9,100 705 * SimpleTech, Inc. 69,357 466,010 * Simpson Manufacturing Co., Inc. 34,800 1,712,160 * Simula, Inc. 12,800 40,320 * Sinclair Broadcast Group, Inc. Class A 62,200 713,434 * Sipex Corp. 42,200 396,680 * Sirenza Microdevices, Inc. 47,362 276,120 * Sitel Corp. 74,000 173,900 * Six Flags, Inc. 138,905 937,609 SJW Corp. 3,000 266,220 * Skechers U.S.A., Inc. Class A 28,100 208,783 * SkillSoft P.L.C. 21,492 166,133 Skyline Corp. 8,300 266,430 Skywest, Inc. 63,200 1,090,200 * Skyworks Solutions, Inc. 180,417 1,585,865 * SL Industries, Inc. 5,900 47,495 * SM&A 17,700 208,683 * Smart & Final Food, Inc. 29,200 266,596 * SmartDisk Corp. 8,500 2,763 * Smith & Wollensky Restaurant Group, Inc. 13,400 78,256 Smith (A.O.) Corp. 29,100 1,022,574 Smith (A.O.) Corp. Convertible Class A 3,750 131,775 *# Smith Micro Software, Inc. 21,400 56,710 * Smithway Motor Xpress Corp. Class A 4,000 4,760
63
SHARES VALUE+ ------ ------ * Sola International, Inc. 37,400 $ 733,040 * Solutia, Inc. 156,800 431,200 * Somera Communications, Inc. 41,000 58,220 Sonic Automotive, Inc. 42,500 954,125 * Sonic Corp. 58,425 1,803,580 * Sonic Foundry, Inc. 36,700 80,740 * Sonic Innovations, Inc. 28,800 175,680 * Sonic Solutions 32,100 605,727 * SonicWALL, Inc. 98,400 786,216 * SonoSite, Inc. 21,533 454,777 *# Sonus Networks, Inc. 78,757 719,839 * Sonus Pharmaceuticals, Inc. 25,800 131,838 * Sorrento Networks Corp. 15,500 41,385 * Sotheby's Holdings, Inc. Class A 67,400 781,840 Sound Federal Bancorp, Inc. 17,908 301,750 * SoundView Technology Group, Inc. 29,301 452,407 * Source Information Management, Inc. 27,700 268,413 * Source Media, Inc. 27,400 219 * Sourcecorp, Inc. 24,202 591,981 South Financial Group, Inc. 60,927 1,736,420 South Jersey Industries, Inc. 17,064 672,322 Southern Banc Company, Inc. 200 3,302 * Southern Energy Homes, Inc. 13,825 36,636 * Southern Union Co. 88,194 1,612,186 Southside Banchares, Inc. 315 5,410 * Southwall Technologies, Inc. 14,200 12,354 Southwest Bancorp, Inc. 11,400 200,070 Southwest Bancorporation of Texas, Inc. 40,800 1,559,784 Southwest Gas Corp. 50,700 1,143,285 Southwest Water Co. 15,878 252,143 * Southwestern Energy Co. 30,900 630,669 * Spacehab, Inc. 11,500 11,730 Span-American Medical System, Inc. 2,400 29,040 * Spanish Broadcasting System, Inc. 52,900 531,645 * SPAR Group, Inc. 1,500 5,475 Spartan Motors, Inc. 17,645 167,628 * Spartan Stores, Inc. 27,375 134,138 Spartech Corp. 42,300 930,600 * Sparton Corp. 7,938 86,762 * Specialty Laboratories, Inc. 31,300 522,710 * SpectraLink Corp. 27,400 564,166 * Spectranetics Corp. 36,102 120,942 * Spectrum Control, Inc. 13,000 92,573 * SpectRx, Inc. 8,900 19,135 Speedway Motorsports, Inc. 59,800 1,752,140 * Speizman Industries, Inc. 2,900 1,102 * Spherion Corp. 82,420 736,835 * Spherix, Inc. 12,100 84,095 * Spiegel, Inc. Class A Non-Voting 13,700 1,199 * Spinnaker Exploration Co. 49,090 1,293,031 * Spire Corp. 6,700 28,676 * Sport Chalet, Inc. 2,700 25,218 * Sport Supply Group, Inc. 8,900 16,465 * Sport-Haley, Inc. 2,700 11,124 * Sports Club Co., Inc. 20,100 40,200 * SportsLine.Com, Inc. 33,400 36,406 * Sportsman's Guide, Inc. 6,800 121,713 *# SPS Technologies, Inc. 16,800 $ 822,528 * SPSS, Inc. 26,029 504,182 *# SR Telecom, Inc. 1,452 8,276 * SRA International, Inc. 23,600 1,040,996 * SRI/Surgical Express, Inc. 6,100 40,413 * SRS Labs, Inc. 19,500 201,825 SS&C Technologies, Inc. 18,500 545,750 St. Francis Capital Corp. 9,200 320,252 St. Mary Land & Exploration Co. 47,300 1,215,610 * Staar Surgical Co. 27,400 301,153 * Stamps.com, Inc. 62,851 392,819 *# Standard Automotive Corp. 4,400 0 Standard Commercial Corp. 18,229 380,075 * Standard Management Corp. 7,600 24,852 * Standard Microsystems Corp. 25,400 680,720 Standard Motor Products, Inc. Class A 12,400 124,620 Standard Pacific Corp. 35,300 1,762,529 Standard Register Co. 38,400 609,792 Standex International Corp. 17,500 477,225 Stanley Furniture, Inc. 6,700 213,797 * Star Buffet, Inc. 2,800 11,410 * Star Multi Care Service, Inc. 454 64 * Star Scientific, Inc. 27,100 55,013 * Starcraft Corp. 2,625 92,479 Starrett (L.S.) Co. Class A 4,800 68,496 StarTek, Inc. 20,600 796,602 State Auto Financial Corp. 57,400 1,491,826 State Financial Services Corp. Class A 7,800 207,090 # Staten Island Bancorp, Inc. 73,800 1,697,400 * Steak n Shake Co. 40,018 704,317 *# Steel Dynamics, Inc. 71,658 1,434,593 Steel Technologies, Inc. 13,700 210,980 *# SteelCloud Co. 12,100 61,831 * Stein Mart, Inc. 57,916 516,032 * Steinway Musical Instruments, Inc. 8,800 210,320 * Stellent, Inc. 30,800 303,996 *# Stemcells, Inc. 2,600 5,642 Stepan Co. 8,400 210,504 Stephan Co. 3,500 14,980 Sterling Bancorp 22,376 655,841 Sterling Bancshares 62,083 789,075 * Sterling Financial Corp. 21,471 721,640 Stewart & Stevenson Services, Inc. 42,102 591,112 * Stewart Enterprises, Inc. 150,433 702,522 * Stewart Information Services Corp. 25,100 969,613 * Stifel Financial Corp. 6,100 104,554 * Stillwater Mining Co. 52,400 441,208 * Stone Energy Corp. 39,563 1,478,074 *# Stonepath Group, Inc. 44,600 117,744 * Stoneridge, Inc. 31,500 420,525 * Storage Engine, Inc. 283 95 * StorageNetworks, Inc. 60,800 0 * StorageNetworks, Inc. Escrow Shares 60,800 1,648 * Stratasys, Inc. 10,200 459,000 * Strategic Diagnostics, Inc. 28,600 132,990 Strategic Distribution, Inc. 3,029 45,465 * Stratesec, Inc. 7,300 58 * Stratex Networks, Inc. 120,100 427,556
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SHARES VALUE+ ------ ------ * Stratos International, Inc. 10,136 $ 75,919 * Strattec Security Corp. 4,100 243,950 * Stratus Properties, Inc. 7,050 74,589 Strayer Ed, Inc. 8,300 927,359 Stride Rite Corp. 58,900 681,473 Sturm Ruger & Co., Inc. 40,400 465,812 *# Styleclick, Inc. Class A 12,700 254 * Suburban Lodges of America, Inc. Escrow Shares 18,500 0 Suffolk Bancorp 8,600 312,171 * Summa Industries, Inc. 5,200 45,760 * Summit America Television, Inc. 65,315 235,134 Summit Bancshares, Inc. 2,000 56,060 Summit Bank Corp. 1,680 27,073 * Sun Bancorp, Inc. 17,492 396,194 Sun Hydraulics, Inc. 4,900 39,298 * Sunair Electronics, Inc. 3,000 19,200 * Sundance Homes, Inc. 3,000 20 * SunLink Health Systems, Inc. 1,048 2,955 *# Sunrise Senior Living, Inc. 31,765 1,096,528 Sunrise Telecom, Inc. 3,700 14,430 * Suntron Corp. 5,265 21,692 *# Superconductor Technologies, Inc. 97,240 721,521 *# Supergen, Inc. 53,240 562,747 * Superior Consultant Holdings Corp. 10,700 50,932 * Superior Energy Services, Inc. 103,600 878,528 # Superior Industries International, Inc. 40,000 1,779,200 Superior Uniform Group, Inc. 7,000 114,380 * Supertex, Inc. 18,500 320,790 * SupportSoft, Inc. 53,300 781,378 Supreme Industries, Inc. 10,308 60,044 *# SureBeam Corp. 83,296 22,073 SureWest Communications 19,812 777,423 *# SurModics, Inc. 24,400 516,548 Susquehanna Bancshares, Inc. 59,600 1,586,552 * Swift Energy Corp. 41,100 583,209 * Swisher International, Inc. 700 525 *# Switchboard, Inc. 27,300 182,910 SWS Group, Inc. 23,918 449,898 * Sybase, Inc. 20,100 412,050 * Sybron Dental Specialties, Inc. 55,400 1,596,074 * Sycamore Networks, Inc. 182,652 971,709 * Sykes Enterprises, Inc. 57,428 524,892 * Sylvan Learning Systems, Inc. 53,100 1,718,847 * Sylvan, Inc. 5,400 65,259 * Symmetricom, Inc. 82,767 582,183 * Syms Corp. 28,200 195,708 * Symyx Technologies 45,700 911,715 * Synalloy Corp. 5,900 40,415 * Synaptics, Inc. 35,200 481,184 * Synovis Life Technologies, Inc. 17,100 439,641 * Synplicity, Inc. 2,600 18,954 Syntel, Inc. 59,200 1,506,048 * Synthetech, Inc. 14,200 22,862 * Syntroleum Corp. 48,993 191,563 Sypris Solutions, Inc. 14,363 196,055 * Systemax, Inc. 33,900 245,775 * Systems & Computer Technology Corp. 50,100 766,530 * T-3 Energy Services, Inc. 1,250 7,225 * T-Netix, Inc. 15,000 $ 57,735 *# Tag-It Pacific, Inc. 16,500 83,325 * Taitron Components, Inc. 5,000 11,750 *# Take Two Interactive Software 28,800 953,280 * TALK America Holdings, Inc. 39,609 445,601 TALX Corp. 13,838 362,556 Tandy Brand Accessories, Inc. 5,900 88,500 * Tanox, Inc. 66,600 1,001,664 * Tarantella, Inc. 3,300 3,185 * Tarrant Apparel Group 15,800 63,200 Tasty Baking Co. 10,900 92,105 TB Woods Corp. 7,600 60,040 * TBA Entertainment Corp. 7,300 4,636 * TBC Corp. 32,750 970,383 * TEAM America, Inc. 2,800 28 * Team, Inc. 7,600 76,000 * TeamStaff, Inc. 20,200 44,642 Tech/Ops Sevcon, Inc. 3,100 17,934 Teche Holding Co. 700 25,358 * Techne Corp. 45,700 1,648,856 * Technical Communications Corp. 400 1,800 * Technical Olympic USA, Inc. 8,500 229,160 * Technitrol, Inc. 59,900 1,425,021 Technology Research Corp. 5,400 83,268 * Technology Solutions Corp. 42,400 49,608 * TechTeam Global, Inc. 21,800 147,150 Tecumseh Products Co. Class A 20,900 860,244 *# Tegal Corp. 5,000 11,900 * Tejon Ranch Co. 13,900 549,050 * Tekelec 91,900 1,534,730 *# TeleCommunication Systems, Inc. 31,500 166,950 * Teledyne Technologies Inc. 48,300 829,794 * Teletech Holdings, Inc. 107,500 1,080,375 * Telik, Inc. 51,600 1,042,836 * Telular Corp. 18,100 132,854 * Temtex Industries, Inc. 2,000 16 * TenFold Corp. 4,500 9,585 Tennant Co. 12,100 521,752 * Tenneco Automotive, Inc. 61,000 338,550 * Terayon Communication Systems, Inc. 109,800 656,604 * Terex Corp. 67,121 1,731,051 * Terra Industries, Inc. 105,900 342,057 * Tesoro Petroleum Corp. 96,900 1,228,692 * Tessco Technologies, Inc. 4,500 68,895 *# Tetra Tech, Inc. 80,826 2,061,063 * Tetra Technologies, Inc. 32,500 728,000 Texas Industries, Inc. 30,700 896,747 Texas Regional Banchshares, Inc. Class A 44,124 1,641,413 TF Financial Corp. 2,600 89,362 * Thackeray Corp. 4,100 4,305 * The Banc Corp. 24,700 215,384 # The Brink's Co. 81,418 1,807,480 * The Dress Barn, Inc. 43,800 641,232 The Marcus Corp. 35,200 526,240 *# The Medicines Co. 70,691 1,934,813 # The Phoenix Companies, Inc. 141,300 1,589,625 * The Rowe Companies 13,100 38,711 * The Sports Authority, Inc. 36,506 1,588,011 * Theragenics Corp. 43,100 211,621
65
SHARES VALUE+ ------ ------ * Therasense, Inc. 61,950 $ 1,056,248 * Thermwood Corp. 200 113 * TheStreet.com, Inc. 33,500 153,095 * Third Wave Technologies 55,086 236,870 Thistle Group Holdings Co. 7,100 184,245 # Thomas & Betts Corp. 87,500 1,820,000 * Thomas Group, Inc. 4,000 4,400 Thomas Industries, Inc. 23,350 735,992 * Thoratec Corp. 83,443 1,175,712 *# THQ, Inc. 57,800 930,002 * Three-Five Systems, Inc. 31,499 167,890 * TIBCO Software, Inc. 181,530 1,061,951 * Tickets.com, Inc. 1,600 760 * Tidel Technologies, Inc. 10,500 8,138 * Tier Technologies, Inc. Class B 27,300 213,213 * TII Network Technologies, Inc. 11,260 28,713 Timberland Bancorp, Inc. 3,900 94,809 * Timco Aviation Services, Inc. 2,749 1,237 * Time Warner Telecom, Inc. 71,187 751,023 Timken Co. 43,200 740,016 * Tipperary Corp. 17,900 49,046 Titan International, Inc. 19,600 37,632 *# Titan Pharmaceuticals, Inc. 40,700 112,739 * Titanium Metals Corp. 3,170 150,575 * TiVo, Inc. 101,859 849,504 * TLC Vision Corp. 33,060 201,335 * TMBR/Sharp Drilling, Inc. 5,400 95,958 Todd Shipyards Corp. 6,300 113,715 * Todhunter International, Inc. 4,600 47,771 * Tofutti Brands, Inc. 6,900 20,700 * Tollgrade Communications, Inc. 20,391 352,968 Tompkins County Trustco, Inc. 363 17,515 * Too, Inc. 51,500 939,875 Topps, Inc. 60,300 635,562 * Torch Offshore, Inc. 23,300 121,626 * Toreador Resources Corp. 4,900 14,210 Toro Co. 36,300 1,798,302 * Total Entertainment Restaurant Corp. 8,800 106,568 * Tower Automotive, Inc. 84,500 384,475 Track Data Corp. 5,600 8,568 * Tractor Supply Co. 43,600 1,898,344 * Tradestation Group, Inc. 61,800 552,492 Traffix, Inc. 20,900 104,500 * Trailer Bridge, Inc. 9,800 58,898 * Trammell Crow Co. 54,000 726,300 * Trans World Entertainment Corp. 57,100 403,697 * Transact Technologies, Inc. 5,700 133,095 * Transaction Systems Architects, Inc. 51,000 1,003,680 * TransAxis, Inc. 72 13 * Transcat, Inc. 6,100 20,374 * Transgenomic, Inc. 11,300 20,679 * Transkaryotic Therapies, Inc. 52,700 684,573 * Transmeta Corp. 152,400 502,920 * Transmontaigne Oil Co. 47,500 285,475 * Transport Corp. of America 5,200 36,660 * Transport Industries, Inc. 1,400 3,934 * Transpro, Inc. 10,100 34,138 * Transtechnology Corp. 6,200 43,338 * TransTexas Gas Corp. Class A 236 5 * Travis Boats & Motors, Inc. 3,300 $ 4,158 *# TRC Companies, Inc. 20,300 410,263 Tredegar Industries, Inc. 51,691 796,041 *# Trenwick Group, Ltd. 11,975 299 * Trestle Holdings Inc. 450 2,475 * Trex Co., Inc. 20,900 772,255 * Triad Guaranty, Inc. 21,600 1,007,640 Triarc Companies, Inc. Class A 28,600 320,034 Triarc Companies, Inc. Class B 49,000 568,400 Trico Bancshares 4,950 164,093 * Trico Marine Services, Inc. 46,700 59,776 * Trident Microsystems, Inc. 21,400 563,248 * Trimble Navigation, Ltd. 48,100 1,458,873 * Trimedyne, Inc. 4,300 4,558 *# Trimeris, Inc. 30,100 687,183 # Trinity Industries, Inc. 65,800 1,707,510 * Trio-Tech International 400 1,520 * TriPath Imaging, Inc. 56,452 514,842 * Tripos, Inc. 10,620 73,384 * Triquint Semiconductor, Inc. 192,797 1,557,800 * Tristar Corp. 1,000 4 * Triton PCS Holdings, Inc. 86,500 484,400 * Triumph Group 22,502 733,340 * TriZetto Group, Inc. 69,800 450,210 * TRM Corp. 7,000 48,510 * Tropical Sportswear International Corp. 15,975 66,935 * Trover Solutions, Inc. 9,300 64,403 Troy Financial Corp. 315 11,104 * Troy Group, Inc. 10,900 32,918 * Trump Hotels & Casino Resorts, Inc. 21,000 33,180 Trust Co. of New Jersey 26,983 922,819 Trustco Bank Corp. 106,952 1,491,980 TSR, Inc. 4,400 29,964 * TTM Technologies, Inc. 60,100 1,015,690 * Tuesday Morning Corp. 53,800 1,719,448 * Tufco Technologies, Inc. 4,500 27,855 * Tularik, Inc. 83,100 1,244,838 * Tumbleweed Communications Corp. 60,395 501,882 Tupperware Corp. 87,700 1,351,457 *# TurboChef Technologies, Inc. 20,500 63,550 * Turnstone Systems, Inc. 86,565 250,173 * Tut Systems, Inc. 29,600 148,296 * Tweeter Home Entertainment Group, Inc. 34,900 291,764 Twin Disc, Inc. 2,800 50,274 * Twinlab Corp. 20,400 408 * Tyler Technologies, Inc. 60,300 506,520 *# U.S. Aggregates, Inc. 1,600 1 * U.S. Concrete, Inc. 37,500 221,213 * U.S. Home & Garden, Inc. 17,500 9,625 * U.S. Physical Therapy, Inc. 16,972 249,828 * U.S. Plastic Lumber Corp. 3,000 690 * U.S. Xpress Enterprises, Inc. Class A 10,823 144,487 * Ubics, Inc. 2,500 388 UCBH Holdings, Inc. 47,200 1,845,520 * UFP Technologies, Inc. 3,800 7,942 UGI Corp. 42,900 1,387,815
66
SHARES VALUE+ ------ ------ * UICI 65,600 $ 905,936 UIL Holdings Corp. 20,900 836,209 * Ulticom, Inc. 60,708 656,861 * Ultimate Electronics, Inc. 20,500 169,125 * Ultimate Software Group, Inc. 22,700 203,846 * Ultradata Systems, Inc. 2,000 340 * Ultralife Batteries, Inc. 13,100 183,138 * Ultratech Stepper, Inc. 34,800 1,054,440 UMB Financial Corp. 29,965 1,461,992 Umpqua Holdings Corp. 40,103 862,215 *# Unapix Entertainment, Inc. 6,100 25 * Unico American Corp. 5,500 29,068 * Unifi, Inc. 73,934 379,281 Unifirst Corp. 12,550 291,537 * Uni-Marts, Inc. 6,500 10,368 Union Community Bancorp 2,300 39,733 * Uniroyal Technology Corp. 13,300 1 Unisource Energy Corp. 67,080 1,645,472 * Unit Corp. 64,200 1,322,520 United Auto Group, Inc. 61,500 1,519,050 United Bankshares, Inc. WV 43,193 1,338,983 United Community Banks, Inc. 32,216 1,087,612 United Community Financial Corp. 47,972 538,246 United Financial Corp. 660 16,863 United Fire & Casualty Co. 6,200 248,000 United Guardian, Inc. 1,900 15,580 United Industrial Corp. 17,600 300,080 United National Bancorp 24,500 875,630 * United Natural Foods, Inc. 29,300 1,124,827 *# United Online, Inc. 94,203 1,715,437 * United PanAm Financial Corp. 600 10,920 * United Rentals, Inc. 100,300 1,857,556 * United Retail Group, Inc. 16,766 53,651 * United Road Services, Inc. 720 122 United Security Bancshares 2,000 53,000 * United Stationers, Inc. 39,600 1,597,860 * United Surgical Partners International, Inc. 40,900 1,308,800 * United Therapeutics Corp. 31,800 598,476 Unitil Corp. 4,700 117,265 Unity Bancorp, Inc. 5,460 64,756 * Universal Access Global Holdings, Inc. 2,235 8,940 * Universal American Financial Corp. 79,400 826,554 * Universal Compression Holdings, Inc. 46,449 1,089,229 Universal Corp. 35,500 1,516,560 * Universal Display Corp. 35,300 523,852 * Universal Electronics, Inc. 19,800 270,250 Universal Forest Products, Inc. 24,373 741,914 * Universal Stainless & Alloy Products, Inc. 6,000 50,580 Unizan Financial Corp. 30,197 649,236 * Unova, Inc. 83,100 1,987,752 * UQM Technologies, Inc. 28,600 102,960 * Urban Outfitters, Inc. 50,600 1,973,400 * Urologix, Inc. 19,742 111,740 * URS Corp. 47,613 1,085,576 * US Energy Corp. 11,500 31,395 * US LEC Corp. 30,536 176,803 * US Liquids, Inc. 6,200 1,488 * US Oncology, Inc. 129,082 $ 1,314,055 * USA Truck, Inc. 9,300 100,254 *# USAir Group, Inc. 84,700 6,903 *# USANA, Inc. 29,100 984,453 USB Holding Co., Inc. 17,099 331,721 *# USDATA Corp. 2,820 113 Usec, Inc. 113,331 853,382 USF Corp. 39,937 1,319,119 * Utah Medical, Inc. 5,000 113,425 *# V.I. Technologies, Inc. 57,100 38,828 * VA Software Corp. 85,600 359,520 Vail Banks Inc. 1,300 16,205 * Vail Resorts, Inc. 39,700 604,631 # Valeant Pharmaceuticals International 77,000 1,841,070 *# Valence Technology, Inc. 20,900 75,240 Valhi, Inc. 14,440 199,561 * Valley National Gases, Inc. 4,200 26,649 Valmont Industries, Inc. 33,300 755,910 * Valpey Fisher Corp. 1,650 5,214 Value Line, Inc. 9,900 489,555 * ValueClick, Inc. 105,800 883,430 * Valuevision Media, Inc. Class A 50,300 779,650 * Vans, Inc. 26,900 344,320 * Varian Semiconductor Equipment Associates, Inc. 44,500 2,071,920 * Varian, Inc. 44,000 1,784,640 * Variflex, Inc. 4,600 28,566 * Vascular Solutions, Inc. 1,800 11,268 * Vastera, Inc. 75,179 293,198 *# Vaxgen, Inc. 28,700 238,784 * VCA Antech, Inc. 56,900 1,778,125 # Vector Group, Ltd. 58,257 990,369 * Veeco Instruments, Inc. 41,000 1,209,500 * Ventana Medical Systems, Inc. 22,300 840,264 * Venture Catalyst, Inc. 7,200 2,880 * Verilink Corp. 15,400 121,044 * Veritas DGC, Inc. 46,900 422,569 * Verity, Inc. 52,300 751,028 * Vermont Pure Holdings, Ltd. 17,300 54,322 *# Versant Corp. 5,400 9,072 * Versar, Inc. 8,700 26,535 * Verso Technologies, Inc. 26,319 101,328 * Vertex Pharmaceuticals, Inc. 107,756 941,787 * Verticalbuyer Inc. 920 11 Vesta Insurance Group, Inc. 51,300 180,576 * Vestin Group, Inc. 400 800 * Vialta, Inc. 64,595 39,403 * Viasat, Inc. 36,700 780,609 * Vical, Inc. 26,855 134,812 * Vicon Industries, Inc. 4,600 19,044 * Vicor Corp. 46,100 530,150 * Vicuron Pharmaceuticals, Inc. 80,800 1,466,520 * Video Display Corp. 3,600 43,920 *# Viewpoint Corp. 2,700 2,133 * Vignette Corp. 295,100 681,681 * Viisage Technology, Inc. 30,600 117,810 Vintage Petroleum, Inc. 91,000 947,310 * Virage Logic Corp. 29,600 308,432 * Virbac Corp. 22,000 128,700 Virco Manufacturing Corp. 13,269 75,766
67
SHARES VALUE+ ------ ------ * Virginia Commerce Bancorp, Inc. 400 $ 12,800 * Virologic, Inc. 24,500 69,335 * ViroPharma, Inc. 36,400 101,192 * Virtualfund.Com, Inc. 22,400 246 * Vision Sciences, Inc. 5,100 9,027 * Vista Medical Technologies, Inc. 7,500 13,350 Visteon Corp. 183,400 1,439,690 * Visual Networks, Inc. 31,900 52,954 * Visx, Inc. DE 72,000 1,762,560 Vital Signs, Inc. 18,551 609,029 * VitalWorks, Inc. 60,500 301,895 *# Vitech America, Inc. 14,850 39 * Vitesse Semiconductor, Inc. 150,077 1,095,562 * Vitria Technology, Inc. 45,342 257,543 * Vivus, Inc. 52,160 188,819 * Vl Dissolution Corp 3,101 2,295 VLPS Lighting Services International, Inc. 4,800 18,000 * Vodavi Technology, Inc. 4,300 37,539 * Volt Information Sciences, Inc. 33,000 673,200 Vulcan International Corp. 700 29,015 * Vyyo, Inc. 17,800 124,956 * W-H Energy Services, Inc. 50,300 749,470 * Wabash National Corp. 35,800 996,314 Wabtec Corp. 60,800 951,520 * Wackenhut Corrections Corp. 25,000 541,250 Walter Industries, Inc. 59,000 722,160 *# Warnaco Group, Inc. 2,900 3 Warwick Community Bancorp, Inc. 5,000 151,000 Warwick Valley Telephone Co. 300 9,618 Washington Banking Co. 4,070 67,155 Washington Savings Bank FSB 2,400 23,160 Washington Trust Bancorp, Inc. 18,412 508,539 * Waste Connections, Inc. 39,800 1,472,600 Waste Industries USA, Inc. 19,300 176,499 * WatchGuard Technologoes, Inc. 45,480 282,431 * Water Pik Technologies, Inc. 5,800 73,660 * Waterlink, Inc. 19,200 1,056 Waters Instruments, Inc. 300 2,145 Watsco, Inc. Class A 32,300 750,652 Watsco, Inc. Class B 1,350 31,320 * Watson Wyatt & Co., Holdings 46,500 1,116,930 Watts Water Technologies, Inc. 25,600 524,800 Wausau-Mosinee Paper Corp. 72,136 887,273 Waypoint Financial Corp. 47,126 1,011,795 * WCI Communities, Inc. 60,600 1,222,908 WD-40 Co. 23,400 837,720 * Webb Interactive Services, Inc. 5,300 5,300 * Webco Industries, Inc. 6,000 20,400 * WebEx Communications, Inc. 58,500 1,155,960 * Webhire, Inc. 4,480 3,136 * webMethods, Inc. 72,802 709,820 * Websense, Inc. 30,800 834,372 * Weider Nutrition International, Inc. 10,500 49,980 Weis Markets, Inc. 15,707 557,599 Wellco Enterprises, Inc. 1,000 10,650 Wellman, Inc. 65,300 568,110 * Wells-Gardner Electronics Corp. 5,811 21,036 Wesbanco, Inc. 28,021 779,544 * WESCO International, Inc. 16,100 144,095 West Coast Bancorp 21,309 463,258 * West Marine, Inc. 27,800 $ 700,838 West Pharmaceutical Services, Inc. 19,800 673,200 * Westaff, Inc. 15,900 32,595 Westamerica Bancorporation 2,000 105,600 Westar Energy, Inc. 89,400 1,775,484 Westbank Corp. 4,515 83,076 * Westcoast Hospitality Corp. 12,900 63,210 * Westell Technologies, Inc. 64,280 475,672 Western Gas Resources, Inc. 32,800 1,453,040 Western Ohio Financial Corp. 900 28,953 * Western Power & Equipment Corp. 3,373 1,315 * Western Sierra Bancorp 1,050 45,833 *# Western Wireless Corp. 83,700 1,562,679 * Westmoreland Coal Co. 800 11,192 Westwood Holdings Group, Inc. 6,479 110,694 * Wet Seal, Inc. Class A 35,575 365,355 Weyco Group, Inc. 300 9,750 * WFS Financial, Inc. 25,000 1,042,500 WGL Holdings, Inc. 14,000 374,220 * White Electronics Designs Corp. 33,465 345,024 * Whitehall Jewelers, Inc. 21,250 225,463 Whitney Holdings Corp. 15,300 599,913 *# WHX Corp. 6,333 14,313 * Wickes, Inc. 4,400 2,332 * Wild Oats Markets, Inc. 44,850 508,599 *# William Lyon Homes, Inc. 12,600 817,740 * Williams Industries, Inc. 1,200 4,224 * Willis Lease Finance Corp. 9,500 64,125 Willow Grove Bancorp, Inc. 14,391 243,208 * Wilshire Financial Services Group, Inc. 137 759 * Wilshire Oil Co. of Texas 7,107 45,911 *# Wilson Greatbatch Technologies, Inc. 31,800 1,332,420 * Wilsons The Leather Experts, Inc. 28,945 179,748 * Wind River Systems, Inc. 117,796 766,852 * Winmark Corp. 3,800 69,806 Winn-Dixie Stores, Inc. 45,800 413,574 # Winnebago Industries, Inc. 23,600 1,304,372 Wintrust Financial Corp. 26,150 1,171,259 * Wireless Facilities, Inc. 74,800 1,086,844 Wireless Telecom Group, Inc. 24,100 70,854 * Wireless WebConnect!, Inc. 8,900 23 * Wiser Oil Co. 14,900 105,045 * Witness Systems, Inc. 44,500 400,055 * WJ Communications, Inc. 50,400 238,896 * WMS Industries, Inc. 41,100 1,097,370 * Wolverine Tube, Inc. 20,100 105,726 Wolverine World Wide, Inc. 61,200 1,272,348 *# Women First HealthCare, Inc. 1,500 2,355 Woodhead Industries, Inc. 16,726 284,007 Woodward Governor Co. 15,600 778,128 * Workflow Management, Inc. 18,721 92,856 * World Acceptance Corp. 25,400 490,728 *# World Access, Inc. 35,372 53 World Fuel Services Corp. 16,100 481,873 World Wrestling Federation Entertainment, Inc. 19,000 218,880 * WorldGate Communications, Inc. 6,500 6,630 * WorldQuest Networks, Inc. 1,500 4,800 * Worldwide Restaurant Concepts, Inc. 41,500 121,180
68
SHARES VALUE+ ------ ------ Worthington Industries, Inc. 65,400 $ 936,528 WPS Resources Corp. 31,200 1,382,160 * Wright Medical Group, Inc. 46,100 1,284,346 WSI Industries, Inc. 2,000 4,720 X-Rite, Inc. 28,700 328,615 * Xanser Corp. 42,800 100,152 * Xeta Corp. 9,200 56,120 * Xicor, Inc. 37,974 495,561 * Yankee Candle Co., Inc. 65,200 1,924,704 Yardville National Bancorp 8,000 183,200 *# Yellow Corp. 41,400 1,265,598 York International Corp. 41,200 1,645,940 * Young Broadcasting, Inc. Class A 24,307 482,494 * Zapata Corp. 2,340 123,435 Zenith National Insurance Corp. 18,600 607,290 * Zevex International, Inc. 3,400 13,600 * Zila, Inc. 63,607 253,156 *# Zix Corp. 39,126 342,744 * Zoll Medical Corp. 11,800 401,790 *# Zoltek Companies, Inc. 22,100 96,135 * Zomax, Inc. 45,600 245,328 * Zonagen, Inc. 11,400 21,546 * Zones, Inc. 13,500 16,875 * Zoran Corp. 56,835 1,043,491 * Zygo Corp. 24,800 403,248 * Zymetx, Inc. 8,600 839 * Zymogenetics, Inc. 72,866 969,846 ----------------- TOTAL COMMON STOCKS (Cost $1,268,834,188) 1,456,635,036 ----------------- RIGHTS/WARRANTS -- (0.0%) * American Banknote Corp. Warrants Series 1 10/01/07 30 0 * American Banknote Corp. Warrants Series 2 10/10/07 30 0 * Anacomp, Inc. Class B Warrants 12/10/06 1,139 148 *# Angeion Corp. Warrants 10/31/07 215 0 * Aura Systems Warrants 05/31/05 1,262 0 * Chart Industries, Inc. Warrants 09/15/10 24 100 * Chiquita Brands International, Inc. Warrants 03/19/09 9,947 62,666 * CSF Holding, Inc. Litigation Rights 3,250 0 * Del Global Technologies Corp. Warrants 03/28/08 971 437 * Imperial Credit Industries, Inc. Warrants 01/31/08 22 0 * Imperial Sugar Co. Warrants 08/29/08 498 657 * Lodgian, Inc. Class A Warrants 11/25/07 188 57 * Lodgian, Inc. Class B Warrants 11/25/09 582 183 * Magnum Hunter Resources Warrants 03/21/05 7,200 $ 2,808 * Orbital Science Corp. Warrants 08/31/04 152 715 *# OSI Pharmaceutical, Inc. Rights 4,829 0 * PMR Corp. Contingent Value Rights 08/05/04 7,300 7 * Timco Aviation Services Warrants 02/27/07 6,696 1 ----------------- TOTAL RIGHTS/WARRANTS (Cost $444,107) 67,779 ----------------- FACE AMOUNT ------ (000) BONDS -- (0.0%) * Del Global Technologies Corp. Subordinated Promissory Note * 6.000%, 03/28/07 $ 2 0 * Timco Aviation Services, Inc. Jr Subordinated Note * 8.000%, 01/02/07 3 0 ----------------- TOTAL BONDS (Cost $0) 0 ----------------- TEMPORARY CASH INVESTMENTS (9.0%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $18,732,000 FMC Discount Notes 1.11%, 03/25/04, valued at $18,661,755) to be repurchased at $18,386,256 (Cost $18,385,000) 18,385 18,385,000 Repurchase agreements in a Pooled Cash Account, UBS Warburg and Deutsche Bank Securities Inc. 1.01% and 1.02% respectively, 12/01/03 (Collateralized by $100,392,000 U.S. Treasury Obligations, rates ranging from 5.50% to 8.875%, maturities ranging from 08/15/04 to 05/15/30, valued at $124,202,195) to be repurchased at $121,030,351 (Cost $121,020,110)^ 121,020 121,020,110 ----------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $139,405,110) 139,405,110 ----------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,408,683,405)++ $ 1,596,107,925 =================
---------- + See Note B to Financial Statements. * Non-Income Producing Securities # Total or Partial Securities on Loan ^ Security purchased with cash proceeds from securities on loan ++ The cost for federal income tax purposes is $1,412,366,266. See accompanying Notes to Financial Statements. 69 THE DFA INTERNATIONAL VALUE SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ UNITED KINGDOM -- (23.5%) COMMON STOCKS -- (23.5%) * AWG P.L.C. 76,018 $ 694,888 Abbey National P.L.C. 638,077 5,857,416 Aggregate Industries P.L.C. 1,901,448 2,787,879 Alliance & Leicester P.L.C. 348,000 5,278,894 Allied Domecq P.L.C. 621,994 4,396,663 Amvescap P.L.C. 94,600 670,322 Antofagasta P.L.C. 256,000 4,204,733 Arriva P.L.C. 231,050 1,527,909 Associated British Foods P.L.C. 822,096 8,030,933 Associated British Ports Holdings P.L.C. 378,800 2,788,360 Aviva P.L.C. 2,507,905 19,970,419 BAA P.L.C. 1,531,868 12,448,536 BAE Systems P.L.C. 1,792,722 5,372,555 BBA Group P.L.C. 660,391 2,706,009 BG Group P.L.C. 1,408,548 6,631,639 BOC Group P.L.C. 80,757 1,125,715 BPB P.L.C. 458,500 2,714,616 Barratt Developments P.L.C. 253,000 2,129,945 Bellway P.L.C. 38,000 444,414 Berkeley Group P.L.C. 228,802 3,155,944 Bovis Homes Group P.L.C. 113,000 846,373 Brambles Industries P.L.C. 272,000 816,318 * Britannic P.L.C. 191,300 875,169 * British Airways P.L.C. 1,839,331 7,212,567 British Land Co. P.L.C. 851,943 8,121,034 British Vita P.L.C. 196,700 879,575 Brixton P.L.C. 346,685 1,496,594 Cable and Wireless P.L.C. 3,315,616 7,555,709 * Canary Wharf Group P.L.C. 847,200 3,518,829 Carnival P.L.C. 155,511 5,456,151 Chelsfield P.L.C. 484,167 2,631,343 * Colt Telecom Group P.L.C. 2,561,000 4,305,479 * Corus Group P.L.C. 4,456,227 2,510,000 Debenhams P.L.C. 359,044 2,896,114 * Dimension Data Holdings P.L.C. 1,006,000 640,169 Dixons Group P.L.C. 330,000 774,715 * Easyjet P.L.C. 294,025 1,410,859 FKI P.L.C. 558,000 1,055,655 Friends Provident P.L.C. 1,547,456 3,439,885 Galen Holdings P.L.C. 319,000 4,005,057 Granada Compass P.L.C. 1,541,178 3,260,266 Great Portland Estates P.L.C. 185,533 772,203 Great Universal Stores P.L.C. 258,182 3,362,485 Greene King P.L.C. 104,000 1,496,216 HBOS P.L.C. 14,137 177,491 Hammerson P.L.C. 468,800 5,006,962 Hanson P.L.C. 867,138 6,047,477 Hilton Group P.L.C. 2,579,517 9,383,047 IMI P.L.C. 24,000 140,651 Intercontinental Hotels Group P.L.C. 893,279 8,253,890 * International Power P.L.C. 1,898,700 3,706,358 Johnson Matthey P.L.C. 42,871 743,961 Kelda Group P.L.C. 161,510 1,252,075 Kesa Electricals P.L.C. 9,781 41,214 # Kingfisher P.L.C. 467,786 2,218,492 Land Securities Group P.L.C. 13,000 $ 214,639 Liberty International P.L.C. 444,297 5,012,707 Logicacmg P.L.C. 586,400 2,768,416 London Merchant Securities P.L.C. 114,409 320,732 MFI Furniture Group P.L.C. 66,600 161,506 * MM02 P.L.C. 7,543,300 9,762,544 Marks & Spencer Group P.L.C. 1,178,695 5,443,031 Mersey Docks & Harbour Co. P.L.C. 79,870 871,586 Millennium and Copthorne Hotels P.L.C. 486,549 2,566,884 *# Mitchells & Butlers P.L.C. 893,279 3,579,630 # National Grid Group P.L.C. 695,948 4,703,969 Novar P.L.C. 571,338 1,257,761 Pearson P.L.C. 231,855 2,583,965 Peninsular & Oriental Steam Navigation P.L.C. 1,057,274 4,455,011 Pennon Group P.L.C. 55,412 624,224 Persimmon P.L.C. 190,000 1,522,771 Pilkington P.L.C. 2,142,972 3,298,638 Pillar Property P.L.C. 106,000 929,761 RMC Group P.L.C. 401,000 4,224,211 Rexam P.L.C. 562,252 4,158,097 Rio Tinto P.L.C. 82,026 1,959,516 Rolls Royce Group P.L.C. 2,732,720 8,377,603 Royal & Sun Alliance Insurance Group P.L.C. 4,961,392 7,231,666 Royal Bank of Scotland Group P.L.C. 212,693 5,936,997 Safeway P.L.C. 1,565,599 7,552,809 Sainsbury (J.) P.L.C. 2,824,654 14,586,241 Scottish & Newcastle P.L.C. 828,188 5,227,453 Scottish Power P.L.C. 789,816 4,883,373 Severn Trent P.L.C. 210,597 2,616,888 * Shire Pharmaceuticals Group P.L.C. 453,000 3,739,681 Slough Estates P.L.C. 706,900 5,118,411 Smith (David S.) Holdings P.L.C. 328,000 889,894 Smith (W.H.) P.L.C. 299,537 1,682,011 Somerfield P.L.C. 475,911 1,021,084 Stagecoach Group P.L.C. 1,557,000 2,169,046 Tate & Lyle P.L.C. 520,200 2,862,961 Taylor Woodrow P.L.C. 973,675 4,002,276 Tesco P.L.C. 1,547,445 6,620,235 Trinity Mirror P.L.C. 495,640 4,560,529 United Business Media P.L.C. 237,262 2,045,397 United Utilities P.L.C. 265,595 2,258,818 Vodafone Group P.L.C. 13,775,846 31,629,670 Westbury P.L.C. 34,000 223,084 Whitbread P.L.C. 507,066 6,292,105 Wilson Bowden P.L.C. 96,900 1,624,888 Wimpey (George) P.L.C. 437,880 2,568,057 Wolseley P.L.C. 518,749 6,642,279 Wolverhampton & Dudley Breweries P.L.C. 70,000 905,940 Woolworths Group P.L.C. 1,040,174 773,726 ----------------- TOTAL COMMON STOCKS (Cost $343,702,143) 403,710,893 -----------------
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SHARES VALUE+ ------ ------ INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling (Cost $1) $ 1 ----------------- TOTAL -- UNITED KINGDOM (Cost $343,702,144) 403,710,894 ----------------- JAPAN -- (19.7%) COMMON STOCKS -- (19.7%) AIOI Insurance Co., Ltd. 928,735 3,146,099 Acom Co., Ltd. 14,600 589,226 # Aichi Steel Corp. 104,000 409,277 # Aisin Seiki Co., Ltd. 152,100 2,249,836 Akita Bank, Ltd. 53,000 205,670 Amada Co., Ltd. 376,000 1,847,042 *# Anritsu Corp. 67,000 457,597 Aoyama Trading Co., Ltd. 47,700 910,272 Asahi Breweries, Ltd. 173,000 1,434,295 Asahi Kasei Corp. 289,000 1,380,086 Asatsu-Dk, Inc. 24,800 591,015 Autobacs Seven Co., Ltd. 19,800 427,566 # Awa Bank, Ltd. 196,600 1,147,073 # Bank of Fukuoka, Ltd. 333,000 1,368,243 # Bank of Kyoto, Ltd. 347,400 1,868,322 Bank of Nagoya, Ltd. 185,000 886,824 Benesse Corp. 6,500 142,440 Canon Sales Co., Inc. 124,900 1,037,792 Chiba Bank, Ltd. 941,000 3,823,458 Chudenko Corp. 34,200 469,032 Chugoku Bank, Ltd. 238,800 2,112,831 Citizen Watch Co., Ltd. 318,000 2,581,282 Coca-Cola West Japan Co., Ltd. 43,600 775,102 Comsys Holdings Corp. 31,000 160,491 Cosmo Oil Co., Ltd. 764,000 1,430,059 Dai Nippon Ink & Chemicals, Inc. 417,000 772,927 Dai Nippon Pharmaceutical Co., Ltd. 88,000 570,490 Dai Nippon Printing Co., Ltd. 144,000 1,985,391 # Daicel Chemical Industries, Ltd. 485,000 2,006,072 Daido Steel Co., Ltd. 228,000 393,462 Daihatsu Motor Co., Ltd. 224,000 906,063 Daishi Bank, Ltd. 355,000 1,380,844 Daiwa House Industry Co., Ltd. 663,000 6,295,838 Denso Corp. 22,500 420,129 Ebara Corp. 157,000 609,250 # Ezaki Glico Co., Ltd. 174,600 1,111,178 Fuji Electric Co., Ltd. 391,780 844,230 Fuji Fire & Marine Insurance Co., Ltd. 236,000 586,121 Fuji Heavy Industries 393,000 1,862,372 Fuji Photo Film Co., Ltd. 355,000 10,048,395 Fujikura, Ltd. 241,000 1,348,914 * Fujitsu, Ltd. 286,000 1,574,672 Fukui Bank, Ltd. 343,000 1,475,101 # Fukuyama Transporting Co., Ltd. 266,000 905,935 # Furukawa Electric Co., Ltd. 344,000 1,146,457 Futaba Corp. 16,000 349,160 Futaba Industrial Co., Ltd. 36,000 443,097 Glory, Ltd. 17,000 524,653 Gunma Bank, Ltd. 270,000 1,166,089 Gunze, Ltd. 123,000 517,741 # Hachijuni Bank, Ltd. 287,000 1,373,156 *# Hankyu Corp. 174,000 487,747 # Hanshin Electric Railway Co., Ltd. 180,000 $ 494,704 Heiwa Corp 60,800 842,717 # Higo Bank, Ltd. 308,000 1,864,536 Hitachi Cable, Ltd. 196,000 690,796 Hitachi Maxell, Ltd. 96,000 1,248,211 # Hitachi Metals, Ltd. 360,000 1,097,882 Hitachi, Ltd. 3,734,000 21,990,782 # Hokkoku Bank, Ltd. 170,000 853,725 Hokuetsu Paper Mills, Ltd. 162,000 831,300 * Hokugin Financial Group, Inc. 414,000 631,282 House Foods Corp. 117,000 1,248,841 # Hyakugo Bank, Ltd. 258,000 1,192,002 # Hyakujishi Bank, Ltd. 314,000 2,310,848 Ishikawajima-Harima Heavy Industries Co., Ltd. 683,000 823,192 Itochu Corp. 120,000 360,482 Iyo Bank, Ltd. 170,000 1,154,858 JFE Holdings, Inc. 56,300 1,318,568 Japan Airport Terminal Co., Ltd. 33,000 241,052 Joyo Bank, Ltd. 455,000 1,404,219 # Juroku Bank, Ltd. 349,000 1,625,183 # Kagoshima Bank, Ltd. 110,000 587,564 Kamigumi Co., Ltd. 357,000 2,301,334 Kansai Paint Co., Ltd., Osaka 131,000 538,258 Katokichi Co., Ltd. 26,300 416,881 # Kawasaki Heavy Industries, Ltd. 694,000 754,072 Kikkoman Corp. 259,000 1,714,527 Kinden Corp. 139,000 613,011 Kirin Brewery Co., Ltd. 437,000 3,491,372 Kissei Pharmaceutical Co., Ltd. 41,000 750,594 * Kobe Steel, Ltd. 2,632,000 3,028,050 Koito Manufacturing Co., Ltd. 79,000 471,028 Kokuyo Co., Ltd. 67,700 730,038 Komatsu, Ltd. 1,279,000 7,287,218 Komori Corp. 39,000 473,612 # Koyo Seiko Co. 198,000 1,835,008 Kubota Corp. 140,000 511,322 Kuraray Co., Ltd. 184,000 1,370,928 # Kuraya Sanseido, Inc. 68,500 582,300 # Makita Corp. 209,000 1,915,961 # Marubeni Corp. 1,942,000 3,191,746 Marui Co., Ltd. 177,000 2,173,713 # Maruichi Steel Tube, Ltd. 117,000 1,348,192 Matsushita Electric Industrial Co., Ltd. 1,977,135 25,472,407 Matsushita Electric Works, Ltd. 385,000 2,773,603 Meiji Seika Kaisha, Ltd. Tokyo 202,000 754,365 # Michinoku Bank, Ltd. 187,000 1,084,231 Millea Holdings, Inc. 46 504,237 Mitsubishi Corp. 40,000 367,056 # Mitsubishi Gas Chemical Co., Inc. 239,000 713,596 Mitsubishi Heavy Industries, Ltd. 1,743,000 4,647,152 Mitsubishi Logistics Corp. 81,000 635,309 *# Mitsubishi Materials Corp. 975,000 1,406,593 Mitsui Chemicals, Inc. 116,800 622,820 Mitsui Engineering and Shipbuilding Co., Ltd. 399,000 506,401 Mitsui Trust Holdings 641,000 3,119,550 Mitsumi Electric Co., Ltd. 17,000 163,605 * Mizuho Holdings, Inc. 1,192 3,112,784 NGK Insulators, Ltd. 93,000 596,110
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SHARES VALUE+ ------ ------ NGK Spark Plug Co., Ltd. 120,000 $ 989,408 NSK, Ltd. 265,000 924,306 Nagase & Co., Ltd. 72,000 466,764 Namco, Ltd. 5,500 139,107 Nanto Bank, Ltd. 317,000 1,256,191 Nichicon Corp. 42,600 426,311 Nichirei Corp. 149,000 450,320 Nihon Unisys, Ltd. 52,700 371,960 Nippon Broadcasting System, Inc. 17,200 785,245 # Nippon Electric Glass Co., Ltd. 72,000 1,347,699 Nippon Kayaku Co., Ltd. 95,000 456,264 Nippon Meat Packers, Inc., Osaka 120,000 1,159,241 Nippon Mining Holdings, Inc. 370,000 1,168,919 Nippon Mitsubishi Oil Corp. 1,871,050 9,242,497 Nippon Paint Co., Ltd. 127,000 396,585 Nippon Sanso Corp. 30,000 118,608 Nippon Sheet Glass Co., Ltd. 233,000 604,200 Nippon Shokubai Co., Ltd. 163,000 1,163,861 * Nippon Television Network Corp. 4,190 622,838 Nipponkoa Insurance Co., Ltd. 45,000 213,660 # Nishimatsu Construction Co., Ltd. 364,000 1,203,141 Nishi-Nippon Bank, Ltd. 156,540 330,175 Nissay Dowa General Insurance Co., Ltd. 383,000 1,605,159 Nisshin Seifun Group, Inc. 123,000 990,559 # Nisshin Steel Co., Ltd. 523,000 859,569 Nisshinbo Industries, Inc. 305,000 1,506,620 Obayashi Corp. 520,000 1,989,409 Ogaki Kyoritsu Bank, Ltd. 50,000 306,793 Oji Paper Co., Ltd. 275,000 1,604,502 Okumura Corp. 120,000 470,051 Onward Kashiyama Co., Ltd. 83,000 910,181 PanaHome Corp. 88,000 402,557 Pioneer Electronic Corp. 60,000 1,533,967 Promise Co., Ltd. 60,500 2,574,233 * Resona Holdings, Inc. 1,873,000 2,342,961 SFCG Co., Ltd. 5,980 687,984 San In Godo Bank, Ltd. 92,000 681,264 Santen Pharmaceutical Co., Ltd. 44,000 517,056 Sanwa Shutter Corp. 101,000 514,591 Sanyo Shinpan Finance Co., Ltd. 19,800 578,525 Sapporo Hokuyo Holdings, Inc. 187 986,907 # Sapporo Holdings, Ltd. 187,000 450,767 Seino Transportation Co., Ltd. 193,000 1,369,257 Sekisui Chemical Co., Ltd. 557,000 2,476,799 Sekisui House, Ltd. 942,000 8,885,009 Seventy-seven (77) Bank, Ltd. 201,000 1,064,463 Shiga Bank, Ltd. 272,000 1,055,515 Shikoku Bank, Ltd. 72,000 470,709 Shimachu Co., Ltd. 27,000 509,085 # Shimadzu Corp. 181,000 689,162 Shimizu Corp. 997,000 3,431,967 *# Shinko Securities Co., Ltd. 390,000 1,107,469 Shizuoka Bank, Ltd. 394,000 2,755,698 Softbank Corp. 49,100 1,860,528 Sumitomo Bakelite Co., Ltd. 105,000 662,482 Sumitomo Corp. 471,000 2,924,398 Sumitomo Electric Industries, Ltd. 360,000 2,945,216 Sumitomo Forestry Co., Ltd. 139,000 1,078,799 Sumitomo Metal Industries, Ltd. Osaka 1,481,000 1,271,129 Sumitomo Metal Mining Co., Ltd. 313,000 $ 1,977,685 Sumitomo Osaka Cement Co., Ltd. 96,000 170,928 Sumitomo Realty & Development Co., Ltd. 150,000 1,169,650 Sumitomo Rubber 43,000 206,127 Sumitomo Trust & Banking Co., Ltd. 21,000 112,555 Suruga Bank, Ltd. 87,000 498,073 Suzuken Co., Ltd. 26,400 712,308 TDK Corp. 10,100 656,611 TV Asahi Corp. 202 298,795 # Taiheiyo Cement Corp. 1,209,800 2,750,550 Taisei Corp. 1,325,000 4,294,878 Taiyo Yuden Co., Ltd. 57,000 667,741 # Takashimaya Co., Ltd. 214,000 1,473,302 Takefuji Corp. 10,840 584,956 Teijin, Ltd. 893,000 2,429,821 Teikoku Oil Co., Ltd. 346,000 1,535,391 Toda Corp. 169,000 421,266 Toho Bank, Ltd. 254,000 1,018,134 * Tokai Tokyo Securities Co., Ltd. 155,000 335,418 Tokuyama Corp. 248,000 853,689 Tokyo Broadcasting System, Inc. 94,000 1,458,236 Tokyo Steel Manufacturing Co., Ltd. 74,100 583,220 Tokyo Style Co., Ltd. 133,000 1,284,825 Tokyo Tatemono Co., Ltd. 109,000 446,868 Toppan Printing Co., Ltd. 365,000 3,346,056 Toray Industries, Inc. 620,000 2,411,615 Toshiba TEC Corp. 138,000 506,538 Tostem Inax Holding Corp. 160,000 2,809,350 Toto, Ltd. 247,000 1,907,981 # Toyo Ink Manufacturing Co., Ltd. 145,000 496,485 Toyo Seikan Kaisha, Ltd. 287,600 3,293,010 Toyo Suisan Kaisha, Ltd. 53,000 527,968 Toyota Auto Body Co., Ltd. 86,000 1,134,679 Toyota Industries Corp. 76,500 1,435,423 # Toyota Tsusho Corp. 314,000 2,729,438 * UFJ Holdings, Inc. 1,130 4,828,708 # UNY Co., Ltd. 91,000 886,569 Wacoal Corp. 149,000 1,180,899 # Yamagata Bank, Ltd. 153,700 680,647 Yamaguchi Bank, Ltd. 133,000 1,165,815 Yamanashi Chuo Bank, Ltd. 57,000 244,613 Yamatake Corp. 20,000 156,501 # Yamazaki Baking Co., Ltd. 115,000 882,031 # Yokogawa Electric Corp. 337,000 4,394,048 Yokohama Rubber Co., Ltd. 410,000 1,066,929 ----------------- TOTAL COMMON STOCKS (Cost $386,238,511) 339,283,112 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Japanese Yen (Cost $64,561) 64,237 ----------------- TOTAL -- JAPAN (Cost $386,303,072) 339,347,349 ----------------- FRANCE -- (9.3%) COMMON STOCKS -- (9.3%) AGF (Assurances Generales de France SA) 122,514 6,241,573 ----------------- AXA 437,405 8,404,980
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SHARES VALUE+ ------ ------ # Air France 96,800 $ 1,473,664 Air Liquide SA 8,848 1,427,610 * Alcatel SA 195,750 2,555,342 *# Alstom SA 100,000 206,181 Arcelor SA 167,800 2,721,505 BNP Paribas SA 549,686 30,969,339 * Cap Gemini SA 38,600 1,906,356 Compagnie de Saint-Gobain 268,585 12,015,526 Compagnie Francaise d'Etudes et de Construction Technip SA 10,600 1,140,407 # Credit Agricole SA 27,710 604,543 Eiffage SA 3,477 375,950 Esso Ste. Anonyme Francaise SA 686 76,106 Euler-Hermes SA 9,975 453,181 # Faurecia SA 8,850 599,392 Fimalac SA 14,000 466,544 Fonciere Lyonnaise SA 10,950 433,159 * France Telecom SA 188,321 4,853,518 Generale des Establissements Michelin SA Series B 103,120 4,091,573 # Havas SA 115,600 612,491 # Imerys SA 11,000 2,175,685 LaFarge SA 49,347 3,930,747 LaFarge SA Prime Fidelity 82,581 6,622,556 Lagardere S.C.A. SA 10,900 594,507 # Pechiney SA Series A 55,475 3,189,304 Peugeot SA 224,200 10,545,909 Rallye SA 18,020 950,445 # Remy Cointreau SA 35,150 1,169,251 Renault SA 70,650 4,696,054 Rexel SA 10,713 437,910 Rue Imperiale 5,240 1,017,573 SEB SA Prime Fidelity 9,000 1,104,744 Schneider Electric SA 28,155 1,734,755 *# Scor SA 122,300 467,667 # Societe des Ciments de Francais 28,000 1,851,070 Societe Generale, Paris 293,528 23,504,196 Sophia SA 11,550 573,471 Suez (ex Suez Lyonnaise des Eaux) 206,550 3,577,770 Thomson SA 77,400 1,638,517 Valeo SA 59,000 2,295,018 * Veolia Environnement SA 25,700 604,746 * Vivendi Universal SA 265,727 6,099,916 ----------------- TOTAL COMMON STOCKS (Cost $102,187,650) 160,410,751 ----------------- RIGHTS/WARRANTS -- (0.0%) * Alstom SA Rights 12/10/03 100,000 53,943 * Alstom SA Warrants 01/09/04 100,000 35,962 * Rallye SA Series B Warrants 11/30/05 18,020 4,536 ----------------- TOTAL RIGHTS/WARRANTS (Cost $69,516) 94,441 ----------------- TOTAL -- FRANCE (Cost $102,257,166) 160,505,192 ----------------- SWITZERLAND -- (6.8%) COMMON STOCKS -- (6.8%) *# ABB, Ltd. 462,000 $ 2,265,827 Baloise-Holding 190,560 7,827,477 * Banque Cantonale Vaudoise 3,000 315,614 * Berner Kantonalbank 3,100 356,709 * Ciba Spezialitaetenchemie Holding AG 25,500 1,786,176 # Cie Financiere Richemont AG Series A 1,251,000 30,967,263 * Clariant AG 12,800 180,704 Credit Swisse Group 256,400 8,508,850 Givaudan SA 2,952 1,349,582 Helvetia Patria Holding 955 145,534 Holcim, Ltd. 168,600 7,349,318 Jelmoli Holding AG 500 468,005 Luzerner Kantonalbank AG 14,627 2,127,202 PSP Swiss Property AG 27,400 3,799,315 Pargesa Holding SA, Geneve 1,935 4,598,304 Rieters Holdings AG 7,860 1,681,176 Sig Holding AG 44,130 5,948,428 Sika Finanz AG, Baar 760 308,652 * St. Galler Kantonalbank 1,700 308,381 * Swiss Life AG 79,080 14,375,735 Syngenta AG 116,500 7,133,002 UBS AG 42,000 2,704,762 Unaxis Holding AG 45,400 6,251,315 Valiant Holding AG 12,100 835,390 Valora Holding AG 7,500 1,781,128 * Zurich Financial Services AG 30,006 3,864,719 ----------------- TOTAL COMMON STOCKS (Cost $78,322,394) 117,238,568 ----------------- RIGHTS/WARRANTS -- (0.0%) *ABB, Ltd. Rights (Cost $107,456) 462,000 575,391 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs (Cost $654) 674 ----------------- TOTAL -- SWITZERLAND (Cost $78,430,504) 117,814,633 ----------------- GERMANY -- (6.0%) COMMON STOCKS -- (6.0%) AMB Generali Holding AG 15,980 1,099,916 Aareal Bank AG 11,200 338,462 Allianz AG 5,000 560,104 BASF AG 386,050 19,112,302 # BHW Holding AG 34,600 518,448 * Bankgesellschaft Berlin AG 233,550 573,922 Bayer AG 179,900 4,854,294 * Bayerische Hypo-UND Vereinsbank AG 337,110 7,859,785 Bilfinger & Berger Bau AG 11,700 375,872 Celanese AG 17,400 604,876 Commerzbank AG 408,050 7,875,147 DaimlerChrysler AG 86,700 3,294,563 Deutsche Bank AG 359,305 25,002,584 Deutsche Lufthansa AG 305,250 4,676,338 E.ON AG 7,600 429,551
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SHARES VALUE+ ------ ------ * Fraport AG 5,100 $ 140,610 # Fresenius Medical Care AG 27,600 1,756,803 * Heidelberger Druckmaschinen AG 19,600 702,501 * Heidelberger Zement AG 52,777 2,152,911 Hochtief AG 56,150 1,521,169 * Hypo Real Estate Holding AG 84,277 1,813,408 Karstadt Quelle AG 20,000 532,234 Linde AG 76,000 3,676,009 MAN AG 88,000 2,384,023 MG Technologies AG 44,000 589,677 Merck KGAA 36,000 1,412,002 SCA Hygiene Products AG 3,550 1,148,977 ThyssenKrupp AG 120,850 2,239,626 Tui AG 52,650 989,609 * Vattenfall Europe AG 94,898 2,696,056 Volkswagen AG 51,950 2,587,474 ----------------- TOTAL -- GERMANY (Cost $99,221,168) 103,519,253 ----------------- NETHERLANDS -- (4.6%) COMMON STOCKS -- (4.6%) ABN-AMRO Holding NV 656,302 14,444,277 Aegon NV 380,745 5,079,825 Buhrmann NV 58,400 443,835 DSM NV 78,837 3,633,673 * Hunter Douglas NV 11,100 486,994 Ing Groep NV 1,552,333 33,252,848 *# Koninklijke Ahold NV 246,900 1,781,710 * Koninklijke KPN NV 278,922 2,186,653 * Koninklijke Numico NV 51,200 1,301,143 Koninklijke Philips Electronics NV 405,906 11,531,697 NV Holdingsmij de Telegraaf 6,800 145,257 Nutreco Holding NV 15,600 425,427 Oce NV 39,100 558,692 VNU NV 71,722 2,234,488 Vedior NV 46,388 702,309 ----------------- TOTAL COMMON STOCKS (Cost $44,778,113) 78,208,828 ----------------- RIGHTS/WARRANTS -- (0.0%) * Koninklijke Ahold NV Rights 12/10/03 (Cost $335,115) 246,900 230,853 ----------------- TOTAL -- NETHERLANDS (Cost $45,113,228) 78,439,681 ----------------- AUSTRALIA -- (4.4%) COMMON STOCKS -- (4.4%) AMP, Ltd. 842,619 3,627,826 APN News & Media, Ltd. 471,395 1,313,239 AWB, Ltd. 131,400 416,455 AXA Asia Pacific Holdings, Ltd. 2,747,250 5,168,562 Ansell, Ltd. 74,421 351,647 Bluescope Steel, Ltd. 1,252,100 4,521,034 Boral, Ltd. 848,085 3,068,369 CSR, Ltd. 1,491,630 1,878,056 Caltex Australia, Ltd. 108,540 338,505 Commonwealth Bank of Australia 48,446 967,532 Insurance Australia Group, Ltd. 1,404,567 4,248,318 # Lend Lease Corp., Ltd. 291,574 2,215,319 Lion Nathan, Ltd. 843,500 3,540,066 Mayne Group, Ltd. 1,263,622 3,245,965 Mirvac, Ltd. 947,363 $ 2,995,685 Orica, Ltd. 343,946 3,205,563 Origin Energy, Ltd. 678,541 2,292,932 Paperlinx, Ltd. 663,645 2,180,168 Publishing and Broadcasting, Ltd. 579,260 4,891,507 Quantas Airways, Ltd. 2,699,763 6,505,312 Rinker Group, Ltd. 1,155,484 4,882,868 Santos, Ltd. 867,907 4,056,990 # Seven Network, Ltd. 355,302 1,357,469 Southcorp, Ltd. 1,102,616 2,202,072 Stockland Trust Group 20,641 76,173 * Stockland Trust Group Issue 03 708 2,562 * WMC Resources, Ltd. 1,678,932 5,940,735 ----------------- TOTAL COMMON STOCKS (Cost $53,898,384) 75,490,929 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Australian Dollar (Cost $99,074) 100,242 ----------------- RIGHTS/WARRANTS -- (0.0%) * AMP, Ltd. Rights 12/09/03 (Cost $0) 834,033 0 ----------------- TOTAL -- AUSTRALIA (Cost $53,997,458) 75,591,171 ----------------- ITALY -- (3.7%) COMMON STOCKS -- (3.7%) *# Alitalia Linee Aeree Italiane SpA Series A 1,190,000 382,297 Banca Intesa SpA 6,301,917 23,720,385 Banca Monte Dei Paschi di Siena SpA7 39,000 2,427,250 * Banca Nazionale del Lavoro SpA 733,000 1,717,790 Banca Popolare di Lodi Scarl 117,933 1,381,177 Banca Popolare di Milano 325,400 1,934,722 * Banca Popolare Rights 57,990 679,152 Buzzi Unicem SpA 66,000 799,070 CIR SpA (Cie Industriale Riunite), Torino 500,000 897,245 Caltagirone Editore SpA 31,987 261,503 * Capitalia SpA 2,022,125 6,399,283 # Compagnia Assicuratrice Unipol SpA 452,120 1,821,010 *# E.Biscom SpA 16,000 1,054,878 *# Fiat SpA 771,970 6,042,728 * IFIL Finanziaria Partecipazioni SpA 557,594 1,787,974 # Italcementi SpA 357,560 4,410,458 Italmobiliare SpA, Milano 7,500 343,435 Milano Assicurazioni SpA 107,000 357,214 # Parmalat Finanziaria SpA 468,000 1,284,697 *# Pirelli & Co. SpA 1,486,658 1,413,200 # Societe Cattolica di Assicurazoni Scarl SpA 8,800 299,691 *# Telecom Italia SpA 1,209,533 3,501,501 ----------------- TOTAL COMMON STOCKS (Cost $50,508,616) 62,916,660 ----------------- RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 01/31/07 (Cost $0) 51,693 16,545 ----------------- TOTAL -- ITALY (Cost $50,508,616) 62,933,205 -----------------
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SHARES VALUE+ ------ ------ SPAIN -- (3.2%) COMMON STOCKS -- (3.2%) # Abertis Infrastructuras SA 905,074 $ 12,693,733 Acerinox SA 65,340 3,021,766 Arcelor SA 30,000 485,843 Banco de Andalucia 900 75,520 # Banco de Sabadell SA 110,700 2,327,537 Banco Pastor SA 59,400 1,745,928 Cementos Portland SA 15,076 813,239 # Corporacion Mapfre Compania Internacional de Reaseguros SA 108,900 1,404,622 Ebro Puleva SA 83,525 863,064 Endesa SA, Madrid 258,792 4,250,018 Gas Natural SA, Buenos Aires 21,400 440,970 Iberdrola SA 535,000 9,228,561 Iberia Lineas Aereas de Espana SA 495,700 1,331,025 Inmobiliaria Colonial SA ICSA 30,400 651,569 Inmobiliaria Urbis SA 69,212 630,543 # Metrovacesa SA 104,144 3,172,184 Repsol SA 300,600 5,250,104 Sacyr Vallehermoso SA 45,000 634,365 Sociedad General de Aguas de Barcelona SA 77,400 1,099,458 * Sociedad General de Aguas de Barcelona SA Rights 737 10,469 # Sol Melia SA 100,300 712,976 Union Fenosa SA 230,000 3,768,910 ----------------- TOTAL -- SPAIN (Cost $35,976,003) 54,612,404 ----------------- SWEDEN -- (2.1%) COMMON STOCKS -- (2.1%) Drott Series AB 102,200 1,792,131 Gambro AB Series A 289,900 2,397,900 Gambro AB Series B 108,800 899,936 Holmen AB Series A 6,300 211,776 Holmen AB Series B 63,100 2,187,931 Nordbanken Holdings AB 250,600 1,658,265 SSAB Swedish Steel Series A 86,200 1,420,298 SSAB Swedish Steel Series B 30,500 482,359 Skandinaviska Enskilda Banken Series A 196,000 2,555,025 Skandinaviska Enskilda Banken Series C 9,800 116,727 Svenska Cellulosa AB Series A 19,000 731,728 Svenska Cellulosa AB Series B 90,500 3,491,323 Svenska Kullagerfabriken AB Series A 22,650 830,330 Svenska Kullagerfabriken AB Series B 29,700 1,086,812 # Trelleborg AB Series B 93,800 1,452,418 Volvo AB Series A 160,300 4,423,260 Volvo AB Series B 350,400 10,132,542 ----------------- TOTAL COMMON STOCKS (Cost $26,240,631) 35,870,761 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona (Cost $27) 30 ----------------- TOTAL -- SWEDEN (Cost $26,240,658) 35,870,791 ----------------- FINLAND -- (1.8%) COMMON STOCKS -- (1.8%) Fortum Oyj 1,071,385 $ 10,723,868 Huhtamaki Van Leer Oyj 2,300 25,420 Kemira Oyj 101,377 1,111,936 Kesko Oyj 157,000 2,728,896 M-real Oyj Series B 253,400 2,296,401 Metso Oyj 193,066 2,258,786 Outokumpu Oyj Series A 351,300 4,695,398 Stora Enso Oyj Series R 547,800 7,374,307 Upm-Kymmene Oyj 30,800 569,687 ----------------- TOTAL -- FINLAND (Cost $21,140,778) 31,784,699 ----------------- HONG KONG -- (1.6%) COMMON STOCKS -- (1.6%) Hang Lung Development Co., Ltd. 1,765,000 2,136,278 Hang Lung Properties, Ltd. 3,124,500 3,862,220 Hysan Development Co., Ltd. 1,434,699 2,050,544 I-Cable Communications, Ltd. 325,121 77,446 Kerry Properties, Ltd. 1,326,884 1,708,513 New World Development Co., Ltd. 57,464 35,886 # Shangri-La Asia, Ltd. 3,055,482 2,734,323 # Sino Land Co., Ltd. 5,024,183 2,620,027 * Tsim Sha Tsui Properties, Ltd. 472,000 537,862 Wharf Holdings, Ltd. 3,251,214 8,121,431 Wheelock and Co., Ltd. 2,699,000 3,162,493 ----------------- TOTAL COMMON STOCKS (Cost $33,549,393) 27,047,023 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars (Cost $584,981) 585,070 ----------------- TOTAL -- HONG KONG (Cost $34,134,374) 27,632,093 ----------------- BELGIUM -- (0.9%) COMMON STOCKS -- (0.9%) Algemene Mij Voor Nijverheidskredit Almanij 23,700 1,095,765 Banque Nationale de Belgique 1,049 4,499,199 Bekaert SA 2,000 111,961 Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 40,400 1,954,089 Groupe Bruxelles Lambert 55,500 2,766,950 * ING Bank Belgium NV 128 4 Nationale a Portefeuille 4,029 483,932 Sofina SA 10,500 490,878 Suez (ex Suez Lyonnaise des Eaux) 95,400 1,582,719 Tessenderlo Chemie 14,400 453,290 * Umicore-Strip VVPR 2,010 1,301 # Union Miniere SA 42,210 2,818,318 ----------------- TOTAL -- BELGIUM (Cost $13,343,723) 16,258,406 ----------------- DENMARK -- (0.7%) COMMON STOCKS -- (0.7%) * Codan A.S. 1,440 45,242 Danisco A.S. 26,130 1,073,557 Danske Bank A.S. 329,253 6,975,913
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SHARES VALUE+ ------ ------ * Jyske Bank A.S. 16,350 $ 777,115 Nordea AB 475,918 3,143,848 Tele Danmark A.S. 11,250 377,017 ----------------- TOTAL COMMON STOCKS (Cost $6,944,416) 12,392,692 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone (Cost $20,258) 22,385 ----------------- TOTAL -- DENMARK (Cost $6,964,674) 12,415,077 ----------------- IRELAND -- (0.7%) COMMON STOCKS -- (0.7%) Allied Irish Banks P.L.C. 107,588 1,592,759 CRH P.L.C. 183,413 3,412,253 * Elan Corp. P.L.C. 690,634 3,725,460 Irish Permanent P.L.C. 186,115 2,621,432 ----------------- TOTAL -- IRELAND (Cost $9,049,567) 11,351,904 ----------------- SINGAPORE -- (0.6%) COMMON STOCKS -- (0.6%) DBS Group Holdings, Ltd. 277,000 2,249,524 Fraser & Neave, Ltd. 471,290 3,143,902 Haw Par Brothers International, Ltd. 2,698 6,949 Keppel Corp., Ltd. 855,000 2,752,593 * Neptune Orient Lines, Ltd. 264,000 324,656 Overseas Chinese Banking Corp., Ltd. 94,000 648,870 Singapore Airlines, Ltd. 124,000 870,342 United Overseas Bank, Ltd. 66,000 493,874 ----------------- TOTAL COMMON STOCKS (Cost $7,444,503) 10,490,710 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars (Cost $2) 2 ----------------- TOTAL -- SINGAPORE (Cost $7,444,505) 10,490,712 ----------------- NORWAY -- (0.4%) COMMON STOCKS -- (0.4%) # Den Norske Bank ASA Series A 589,194 3,557,559 Norsk Hydro ASA 16,700 955,727 Norske Skogindustrier ASA Series A 106,100 2,036,964 * Storebrand ASA 183,900 1,123,866 ----------------- TOTAL COMMON STOCKS (Cost $5,965,910) 7,674,116 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone (Cost $907) 1,019 ----------------- TOTAL -- NORWAY (Cost $5,966,817) 7,675,135 ----------------- PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) Banco Comercial Portugues SA 195,400 $ 400,535 Cimpor Cimentos de Portugal SA 503,265 2,413,104 Portugal Telecom SA 50,082 471,271 * Sonae SGPS SA 3,617,400 3,035,386 ----------------- TOTAL -- PORTUGAL (Cost $4,639,722) 6,320,296 ----------------- GREECE -- (0.4%) COMMON STOCKS -- (0.4%) * Agricultural Bank of Greece S.A. 121,100 1,056,805 Alpha Bank S.A. 29,200 769,361 * Bank of Greece 3,400 404,306 Bank of Piraeus S.A. 4,600 46,980 Commercial Bank of Greece 36,800 775,508 EFG Eurobank Ergasias S.A. 60,097 1,011,438 Hellenic Petroleum S.A. 135,530 1,104,749 Hellenic Tellecommunication Organization Co. S.A. 40,800 489,080 Intracom S.A. 37,200 239,908 National Bank of Greece 15,520 350,131 ----------------- TOTAL -- GREECE (Cost $4,950,471) 6,248,266 ----------------- NEW ZEALAND -- (0.2%) COMMON STOCKS -- (0.2%) Auckland International Airport, Ltd. 99,828 423,562 Carter Holt Harvey, Ltd. 2,340,800 2,647,490 Fletcher Building, Ltd. 117,643 302,948 ----------------- TOTAL COMMON STOCKS (Cost $3,436,653) 3,374,000 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar (Cost $7,670) 8,045 ----------------- TOTAL -- NEW ZEALAND (Cost $3,444,323) 3,382,045 ----------------- AUSTRIA -- (0.2%) COMMON STOCKS -- (0.2%) Omv AG 5,913 837,879 # Voestalpine AG 50,371 1,989,553 Wienerberger AG 16,123 408,380 ----------------- TOTAL -- AUSTRIA (Cost $2,469,231) 3,235,812 ----------------- MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Rekapacific Berhad 691,000 0 -----------------
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FACE AMOUNT VALUE+ ------ ------ (000) TEMPORARY CASH INVESTMENTS -- (8.8%) Repuchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $29,593,000 FNMA Discount Notes 1.10%, 01/09/04, valued at $29,556,009) to be repurchased at $29,120,990 (Cost $29,119,000) $ 29,119 $ 29,119,000 Repurchase agreements in a Pooled Cash Account, Mizuho Securities USA, 1.05%, 12/01/03 (Collateralized by $207,315,301 U.S. Treasury Obligations, rates ranging from 1.424% to 9.125%, maturities ranging from 08/15/04 to 11/15/29, valued at $122,980,964) to be repurchased at $122,991,725 (Cost $122,980,964)^ 122,981 122,980,964 ----------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $152,099,964) 152,099,964 ----------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,488,483,619)++ $ 1,721,238,982 =================
---------- + 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 ++ The cost for federal income tax purposes is $1,492,205,632. See accompanying Notes to Financial Statements. 77 THE JAPANESE SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ JAPAN -- (77.4%) COMMON STOCKS -- (77.1%) * A&A Material Corp. 64,000 $ 41,490 ABILIT Corp. 22,000 144,430 ADVANEX, Inc. 78,000 313,367 * AOC Holdings, Inc. 90,300 431,217 AOI Electronics Co., Ltd. 8,400 110,446 Achilles Corp. 549,000 671,713 Advan Co., Ltd. 36,000 308,985 Aichi Bank, Ltd. 11,500 579,620 *# Aichi Corp. 100,100 350,058 * Aichi Machine Industry Co., Ltd. 112,000 322,133 Aichi Tokei Denki Co., Ltd. 67,000 159,058 Aida Engineering, Ltd. 98,000 300,657 Aigan Co., Ltd. 15,000 82,451 Aiphone Co., Ltd. 27,400 421,558 Airport Facilities Co., Ltd. 79,970 287,693 * Airtech Japan, Ltd. 6,000 32,871 Aisan Industry Co., Ltd. 64,000 533,528 * Akai Electric Co., Ltd. 363,000 3,314 *# Akebono Brake Industry Co., Ltd. 141,000 536,861 Allied Material Corp. 32,200 396,914 # Allied Telesis KK 8,000 146,092 Aloka Co., Ltd. 43,000 329,803 Alpha Systems Inc. 16,300 342,312 Alps Logistics Co., Ltd. 21,000 335,555 Altech Co., Ltd. 14,000 56,118 Amano Corp. 22,000 150,657 Amatsuji Steel Ball Manufacturing Co., Ltd. 24,000 249,817 Ando Corp. 120,000 166,545 Anest Iwata Corp. 74,000 124,324 # Anrakutei Co., Ltd. 13,000 82,496 Aoi Advertising Promotion, Inc. 14,000 89,354 Aoki International Co., Ltd. 61,200 388,926 * Apic Yamada Corp. 7,000 22,051 * Arai-Gumi, Ltd. 34,450 42,150 Arakawa Chemical Industries, Ltd. 17,500 177,365 * Araya Industrial Co., Ltd. 84,000 87,436 Argo 21 Corp. 13,200 107,991 Aronkasei Co., Ltd. 53,000 153,406 As One Corp. 18,700 315,195 # Asahi Denka Kogyo KK 169,000 1,172,754 # Asahi Diamond Industrial Co., Ltd. 99,000 469,147 Asahi Kogyosha Co., Ltd. 48,000 131,921 Asahi Organic Chemicals Industry Co., Ltd. 123,000 285,263 Asahi Pretec Corp. 19,200 142,001 *# Asahi Soft Drinks Co., Ltd. 69,000 371,713 * Asahi Tec Corp. 86,000 138,988 * Asahi Techno Glass Corp. 79,000 244,531 Asanuma Corp. 96,000 135,866 # Ashimori Industry Co., Ltd. 84,000 147,261 Asia Air Survey Co., Ltd. 6,000 12,874 Asia Securities Printing Co., Ltd. 16,000 74,799 Asics Corp. 333,000 617,230 Asunaro Construction., Ltd. 29,000 90,294 Ataka Constuction & Engineering Co., Ltd. 18,000 $ 60,811 Atom Corp. 8,500 103,301 Atsugi Co., Ltd. 258,000 200,237 Aucnet, Inc. 15,000 180,652 * Azel Corp., Tokyo 89,000 84,514 *# BSL Corp. 118,000 74,343 Bando Chemical Industries, Ltd. 213,000 624,297 Bank of Okinawa, Ltd. 24,300 431,551 Bank of the Ryukyus, Ltd. 30,280 373,523 Best Denki Co., Ltd. 132,000 476,078 Bull Dog Sauce Co., Ltd. 15,000 104,912 Bunka Shutter Co., Ltd. 134,000 512,655 # CAC Corp. 31,100 216,098 # CFS Corp. 41,000 269,914 CKD Corp. 113,000 572,635 CMK Corp. 62,000 625,548 CTI Engineering Co., Ltd. 19,000 86,742 Cabin Co., Ltd. 67,000 86,870 # Calpis Co., Ltd. 115,000 547,069 Canon Electronics, Inc. 40,000 496,713 Canon Finetech, Inc. 45,070 530,865 * Catena Corp. 18,000 39,938 # Cats, Inc. 15,400 38,669 Cecile Co., Ltd. 35,900 373,357 Central Finance Co., Ltd. 180,000 599,891 # Central Security Patrols Co., Ltd. 12,000 76,041 Cesar Co. 79,000 721 * Chiba Kogyo Bank, Ltd. 53,200 288,053 # Chino Corp. 70,000 225,621 * Chinon Industries, Inc. 16,000 40,906 Chiyoda Co., Ltd. 58,000 627,027 Chofu Seisakusho Co., Ltd. 39,900 568,335 * Chori Co., Ltd. 175,000 185,354 Chuetsu Pulp and Paper Co., Ltd. 145,000 311,130 * Chugai Mining Co., Ltd. 117,000 72,644 # Chugai Ro Co., Ltd. 139,000 298,256 # Chugoku Marine Paints, Ltd. 111,000 502,703 # Chugokukogyo Co., Ltd. 45,000 57,524 Chuo Denki Kogyo co., Ltd. 19,000 29,319 Chuo Gyorui Co., Ltd. 35,000 52,091 Chuo Spring Co., Ltd., Nagoya 80,000 290,723 *# Clarion Co., Ltd. 313,000 500,137 Cleanup Corp. 71,000 875,183 * Co-Op Chemical Co., Ltd. 80,000 57,706 Coca Cola Central Japan Co., Ltd. 112 663,696 # Colowide Co., Ltd. 14,000 110,701 *# Columbia Music Entertainment, Inc. 134,000 138,258 Commuture Corp. 45,202 245,573 Computer Engineering & Consulting, Ltd. 25,000 239,911 Comsys Holdings Corp. 4,350 22,521 Corona Corp. 38,600 532,195 # Cosel Co., Ltd. 27,000 590,440 * Create Medic Co., Ltd. 7,000 41,545 Credia Co., Ltd. 14,000 153,524 Cresco, Ltd. 7,000 74,781 * D&M Holdings, Inc. 114,000 482,980
79
SHARES VALUE+ ------ ------ * D'urban, Inc. 114,000 $ 126,991 DC Co., Ltd. 33,000 70,809 DTS Corp. 15,800 295,024 # Dai Nippon Toryo, Ltd. 193,000 236,140 Dai-Dan Co., Ltd. 57,000 256,063 Daido Kogyo Co., Ltd. 60,000 98,064 Daidoh, Ltd. 54,000 335,774 Daifuku Co., Ltd. 141,000 566,472 Daihen Corp. 168,000 262,308 # Daiho Corp. 96,000 142,001 Dai-Ichi Jitsugyo Co., Ltd. 80,000 198,685 * Dai-Ichi Katei Denki Co., Ltd. 91,000 831 Dai-Ichi Kogyo Seiyaku Co., Ltd. 47,000 113,294 Daiken Corp. 195,000 548,393 # Daiki Co., Ltd. 31,000 341,645 Daiko Clearing Services Corp. 6,000 19,284 *# Daikyo, Inc. 444,000 782,433 Daimei Telecom Engineering Corp. 51,000 204,894 Dainichi Co., Ltd. 15,200 68,006 # Dainichiseika Colour & Chemicals Manufacturing Co., Ltd. 163,000 501,561 Dainippon Shigyo Co., Ltd. 16,000 74,507 # Daiseki Co., Ltd. 26,400 365,194 # Daiso Co., Ltd. 112,000 282,250 * Daisue Construction Co., Ltd. 92,500 76,014 Daisyo Corp. 24,000 210,153 * Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 42,000 28,378 Daiwa Industries, Ltd. 64,000 179,401 Daiwa Kosho Lease Co., Ltd. 157,000 507,469 *# Daiwa Seiko, Inc. 145,000 157,551 Daiwabo Co., Ltd. 162,000 165,668 Daiwabo Information System Co., Ltd. 22,000 178,178 Danto Corp. 42,000 144,576 Denki Kogyo Co., Ltd. 95,000 272,370 * Denny's Japan Co., Ltd. 38,000 621,421 Densei-Lambda KK 26,484 200,951 # Denyo Co., Ltd. 38,000 165,851 *# Descente, Ltd. 95,000 163,075 * Dia Kensetsu Co., Ltd. 31,000 27,456 Diamond Computer Service Co., Ltd. 18,000 99,434 * Dijet Industrial Co., Ltd. 34,000 42,221 Doshisha Co., Ltd. 15,000 335,555 *# Doutor Coffee Co., Ltd. 28,400 434,091 * Dynic Corp. 52,000 68,846 Eagle Industry Co., Ltd. 78,000 371,768 * Econach Co., Ltd. 26,000 10,920 * Eco-Tech Construction Co., Ltd. 138,000 40,321 # Edion Corp. 112,316 777,352 Ehime Bank, Ltd. 55,000 204,392 Eiken Chemical Co., Ltd. 24,000 300,438 Eikoh, Inc. 8,000 36,888 Elna Co., Ltd. 22,000 48,210 Enplas Corp. 18,000 544,010 *# Enshu, Ltd. 69,000 112,144 Ensuiko Sugar Refining Co., Ltd. 51,000 90,805 # Exedy Corp. 71,000 772,754 *# FDK Corp. 105,000 232,971 FP Corp. 26,800 400,825 * Fine Sinter Co., Ltd. 18,000 48,320 * First Baking Co., Ltd. 67,000 84,423 Fontaine Co., Ltd. 5,000 $ 46,978 Foster Electric Co., Ltd. 32,000 126,516 France Bed Co., Ltd. 193,000 463,468 *# Fudo Construction Co., Ltd. 201,000 154,164 Fuji Kiko Co., Ltd. 51,000 147,151 * Fuji Kosan Co., Ltd. 130,000 94,960 Fuji Kyuko Co., Ltd. 107,000 383,957 *# Fuji Spinning Co., Ltd., Tokyo 163,000 150,320 Fujicco Co., Ltd. 42,000 396,147 * Fujii & Co., Ltd. 44,000 402 * Fujiko Co., Ltd. 55,000 1,004 Fujikura Kasei Co., Ltd. 43,000 296,037 Fujikura Rubber, Ltd. 34,000 200,237 # Fujirebio, Inc. 75,000 732,058 # Fujita Kanko, Inc. 132,000 472,462 # Fujitec Co., Ltd. 126,000 536,121 Fujitsu Access, Ltd. 36,000 213,002 Fujitsu Business Systems, Ltd. 32,500 392,303 Fujitsu Devices, Inc. 32,000 262,966 Fujitsu Fronttec, Ltd. 21,000 205,168 * Fujitsu General, Ltd. 111,000 309,122 *# Fujiya Co., Ltd. 190,000 235,939 Fukuda Corp. 65,000 244,522 Fukushima Bank, Ltd. 213,000 287,838 * Fukusuke Corp. 95,000 867 * Fumakilla, Ltd. 24,000 27,392 * Furukawa Battery Co., Ltd. 45,000 84,642 * Furukawa Co., Ltd. 405,000 462,244 Fuso Lexel Inc. 8,000 59,898 # Fuso Pharmaceutical Industries, Ltd. 99,000 324,516 * GSI Creoss Corp. 90,000 153,671 * Ga-jo-en Kanko KK 37,000 0 * Gakken Co., Ltd. 126,000 153,013 * Generas Corp. 64,000 36,231 # Genki Sushi Co., Ltd. 7,500 104,844 Geostar Corp. 10,000 31,958 * Global-Dining, Inc. 6,200 35,382 *# Godo Steel, Ltd. 199,000 330,698 * Goldwin, Inc. 47,000 54,072 # Gourmet Kineya Co., Ltd. 31,000 232,953 * Graphtec Corp. 39,000 37,034 * Gro-BeLS Co., Ltd. 40,000 34,697 Gun-Ei Chemical Industry Co., Ltd. 127,000 255,113 Hagoromo Foods Corp. 18,000 161,067 Hakuto Co., Ltd. 25,000 305,652 Hakuyosha Co., Ltd. 57,000 163,943 Haltec Corp. 32,000 49,671 * Hamai Co., Ltd. 22,000 20,489 Hanwa Co., Ltd. 405,000 950,375 Happinet Corp. 15,000 120,663 Harashin Co., Ltd. 14,100 105,570 Harima Chemicals, Inc. 37,000 214,865 Haruyama Trading Co., Ltd. 16,800 151,249 * Hayashikane Sangyo Co., Ltd. 128,000 118,042 Hibiya Engineering, Ltd. 56,000 367,129 * Higashi-Nippon Bank, Ltd. 40,000 108,108 Hisaka Works, Ltd. 41,000 213,386 Hitachi Business Solution Co., Ltd. 10,000 73,046 Hitachi Kiden Kogyo, Ltd. 20,000 68,481 Hitachi Koki Co., Ltd. 153,000 655,196 # Hitachi Kokusai Electric, Inc. 76,000 498,941
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SHARES VALUE+ ------ ------ Hitachi Medical Corp. 53,000 $ 624,270 Hitachi Metals Techno, Ltd. 12,000 30,679 Hitachi Plant Engineering & Construction Co., Ltd. 146,000 435,920 Hitachi Powdered Metal Co., Ltd. 46,000 274,690 Hitachi Tool Engineering, Ltd. 30,000 130,113 Hochiki Corp. 42,000 163,751 *# Hodogaya Chemical Co., Ltd. 100,000 232,834 * Hohsui Corp. 56,000 44,996 Hokkai Can Co., Ltd., Tokyo 83,000 169,759 *# Hokkaido Bank, Ltd. 505,000 599,434 Hokkaido Coca Cola Bottling Co., Ltd. 33,000 181,392 Hokkaido Gas Co., Ltd. 87,000 206,538 Hokko Chemical Industry Co., Ltd. 41,000 134,770 Hokuetsu Bank 263,000 547,517 * Hokuriku Electric Industry Co., Ltd. 112,000 189,189 Hokuriku Electrical Construction Co., Ltd. 36,000 93,024 Hokuriku Gas Co., Ltd. 64,000 175,895 * Hokushin Co., Ltd. 39,900 45,904 # Hokuto Corp. 41,600 576,596 Homac Corp. 60,000 417,458 Honshu Chemical Industry Co., Ltd. 7,000 31,255 # Horiba, Ltd. 54,000 562,089 Horipro, Inc. 16,000 98,028 * Hosokawa Micron Corp. 40,000 176,041 *# Howa Machinery, Ltd. 181,000 176,835 I-Net Corp. 12,000 44,375 ISE Chemicals Corp. 17,000 52,931 * Ichida and Co., Ltd. 23,400 19,016 Ichikawa Co., Ltd. 49,000 121,247 * Ichiken Co., Ltd. 48,000 43,389 Ichikoh Industries, Ltd. 141,000 290,961 Ichiyoshi Securities Co., Ltd. 54,000 241,600 Icom, Inc. 19,500 356,099 Idec Izumi Corp. 47,000 276,799 Ihara Chemical Industry Co., Ltd. 80,000 134,405 Iino Kaiun Kaisha, Ltd. 161,000 421,905 *# Ikegami Tsushinki Co., Ltd. 102,000 182,542 Impact 21 Co., Ltd. 19,000 343,499 *# Impress Corp. 178 209,660 Inaba Denki Sangyo Co., Ltd. 38,000 539,536 # Inaba Seisa Kusho Co., Ltd. 18,700 259,533 Inabata and Co., Ltd., Osaka 70,000 367,513 Inageya Co., Ltd. 77,000 667,915 Ines Corp. 64,900 513,772 # Information Services International-Dentsu, Ltd. 42,900 557,011 Intec, Inc. 51,000 317,120 * Inui Steamship Co., Ltd. 31,000 44,439 *# Iseki & Co., Ltd. 279,000 647,060 Ishii Hyoki Co., Ltd. 3,600 29,584 *# Ishii Iron Works Co., Ltd. 52,000 62,673 *# Ishikawa Seisakusho, Ltd. 75,000 97,927 Ishikawajima Construction Materials Co., Ltd. 18,000 46,841 Ishikawajima Transport Machinery Co., Ltd. 16,000 33,601 * Ishizuka Glass Co., Ltd. 49,000 77,401 Itochu Enex Co., Ltd. 119,000 543,280 Itochu Shokuh Co., Ltd. 14,400 464,134 Itoki Crebio Corp. 56,000 $ 110,446 Iwaki & Co., Ltd. 19,000 39,034 # Iwasaki Electric Co., Ltd. 110,000 321,403 * Iwatani International Corp. 313,000 571,585 *# Iwatsu Electric Co., Ltd. 145,000 301,863 * Izuhakone Railway Co., Ltd. 300 35,610 * Izukyu Corp. 7,700 81,556 Izumiya Co., Ltd. 123,000 537,957 *# Izutsuya Co., Ltd. 123,000 229,109 J-Oil Mills, Inc. 173,000 289,071 JFE Koken Corp. 32,000 127,392 JMS Co., Ltd. 49,000 130,195 * Jac Holdings Co., Ltd. 11,000 26,616 Jaccs Co., Ltd. 175,000 591,216 Jamco Corp. 18,000 46,183 *# Janome Sewing Machine Co., Ltd. 224,000 210,665 # Japan Business Computer Co., Ltd. 34,000 221,969 # Japan Carlit Co., Ltd. 28,000 179,985 Japan Cash Machine Co., Ltd. 24,000 522,644 Japan Digital Laboratory Co., Ltd. 35,600 349,109 # Japan Foundation Engineering Co., Ltd. 49,200 107,816 Japan Information Processing Service Co., Ltd. 26,000 205,588 Japan Kenzai Co., Ltd. 17,500 100,826 Japan Maintenance Co., Ltd. 27,000 115,376 Japan Medical Dynamic Marketing Inc. 18,700 243,141 Japan Oil Transportation Co., Ltd. 45,000 85,875 # Japan Pulp and Paper Co., Ltd. 179,000 612,902 * Japan Servo Co., Ltd. 24,000 39,226 Japan Steel Tower Co., Ltd. 19,000 30,533 * Japan Steel Works, Ltd. 461,000 488,276 *# Japan Storage Battery Co., Ltd. 187,000 367,102 Japan Transcity Corp. 79,000 163,020 Japan Vilene Co., Ltd. 101,000 350,438 Japan Wool Textile Co., Ltd. 138,000 614,902 Jastec Co., Ltd. 8,000 124,105 Jeans Mate Corp. 12,740 100,273 *# Jeol, Ltd. 97,000 706,775 * Jidosha Denki Kogyo Co., Ltd. 34,000 58,364 Joban Kosan Co., Ltd. 101,000 128,187 Joint Corp. 24,900 297,836 *# Joshin Denki Co., Ltd. 98,000 231,757 # Jsp Corp. 29,000 240,961 *# Jujiya Co., Ltd. 202,000 119,887 *# Juki Corp. 153,000 502,922 * Jyomo Co., Ltd. 48,000 45,581 K.R.S. Corp. 10,600 109,175 Kabuki-Za Co., Ltd. 15,000 542,367 Kadokawa Holdings, Inc. 27,000 727,265 # Kaga Electronics Co., Ltd. 33,000 561,952 Kagawa Bank, Ltd. 83,350 418,577 Kahma Co., Ltd. 46,000 419,595 # Kaken Pharmaceutical Co., Ltd. 118,000 586,121 * Kakuei (L.) Corp. 100,000 913 * Kamagai Gumi Co., Ltd. 87,800 130,674 Kameda Seika Co., Ltd. 19,000 123,174 Kamei Corp. 47,000 235,601 Kanaden Corp. 43,000 184,533 Kanagawa Chuo Kotsu Co., Ltd. 90,000 549,763
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SHARES VALUE+ ------ ------ # Kanamoto Co., Ltd. 43,000 $ 194,741 * Kanebo, Ltd. 110,000 110,482 *# Kanematsu Corp. 402,500 602,721 Kanematsu Electronics, Ltd. 38,000 409,076 * Kanematsu-NNK Corp. 60,000 121,074 Kanto Auto Works, Ltd., Yokosuka 78,000 626,735 # Kanto Denka Kogyo Co., Ltd. 83,000 312,993 Kanto Natural Gas Development Co., Ltd. 104,000 471,001 *# Kanto Tsukuba Bank, Ltd. 19,100 118,590 Kasai Kogyo Co., Ltd. 28,000 67,239 Kasei (C.I.) Co., Ltd. 46,000 149,525 # Kasumi Co., Ltd. 132,000 614,682 Katakura Chikkarin Co., Ltd. 17,000 45,480 # Katakura Industries Co., Ltd. 49,000 325,712 Kato Sangyo Co., Ltd. 51,000 454,027 # Kato Works Co., Ltd. 82,000 163,221 * Katsumura Construction Co., Ltd. 48,600 44,375 Kawada Industries, Inc. 76,000 138,787 *# Kawai Musical Instruments Manufacturing Co., Ltd. 99,000 146,439 * Kawasaki Kasei Chemicals, Ltd. 36,000 23,996 Kawashima Textile Manufacturers, Ltd. 126,000 141,508 * Kawasho Corp. 549,000 977,493 Kawasho Gecoss Corp. 45,000 152,849 Kawasumi Laboratories, Inc. 26,000 159,295 * Kawatetsu Systems, Inc. 112 153,397 # Keihin Co., Ltd. 100,000 146,092 Keiiyu Co., Ltd. 7,300 49,791 Keiyo Co., Ltd. 139,900 504,570 * Kenwood Corp. 50,000 111,852 # Key Coffee, Inc. 33,000 445,946 Kibun Food Chemifa Co., Ltd. 35,000 374,224 * Kimmon Manufacturing Co., Ltd. 41,000 34,441 * Kimura Chemical Plants Co., Ltd. 27,000 33,775 Kinki Coca-Cola Bottling Co., Ltd. 86,000 568,517 * Kinki Nippon Tourist Co., Ltd. 133,000 307,241 Kinki Sharyo Co., Ltd., Nagaokakyo 101,000 267,440 *# Kinsho Corp. 21,000 39,308 *# Kinugawa Rubber Industrial Co., Ltd. 83,000 157,633 Kioritz Corp. 96,000 173,557 # Kishu Paper Co., Ltd. 125,000 197,453 Kisoji Co., Ltd. 22,000 271,987 *# Kitagawa Iron Works Co., Ltd. 124,000 183,419 Kita-Nippon Bank, Ltd. 8,506 358,041 Kitano Construction Corp. 97,000 150,566 Kitazawa Sangyo Co., Ltd. 17,500 28,123 Kitz Corp. 234,000 303,397 Koa Corp. 58,000 415,723 # Koatsu Gas Kogyo Co., Ltd. 78,000 240,011 Kobayashi Yoko Co., Ltd. 8,000 138,861 Kodensha Co., Ltd. 14,000 36,815 Koekisha Co., Ltd. 4,900 107,378 # Kohnan Shoji Co., Ltd. 20,590 303,248 Kohsoku Corp. 6,700 45,515 Koike Sanso Kogyo Co., Ltd. 30,000 36,980 Koito Industries, Ltd. 31,000 97,370 # Kojima Co., Ltd. 40,000 238,495 * Kokune Corp. 42,000 383 Kokusai Kogyo Co., Ltd. 47,000 144,622 Komai Tekko, Inc. 53,000 $ 106,465 * Komatsu Electronics Metals Co., Ltd. 39,600 350,731 Komatsu Seiren Co., Ltd. 53,000 136,468 Komatsu Wall Industry Co., Ltd. 14,000 180,625 Konaka Co., Ltd. 29,700 200,947 Konami Sports Corp. 35,300 551,482 Kondotec, Inc. 12,500 62,774 Konishi Co., Ltd. 28,000 220,124 Kosaido Co., Ltd. 34,000 305,789 * Kosei Securities Co., Ltd. 137,000 283,957 Kumiai Chemical Industry Co., Ltd., Tokyo 108,000 165,668 Kurabo Industries, Ltd. 306,000 455,424 # Kurimoto, Ltd. 166,000 307,688 Kuroda Electric Co., Ltd. 18,000 581,812 Kurosaki Harima Corp. 96,000 128,853 Kyoden Co., Ltd. 68,000 329,693 Kyodo Printing Co., Ltd. 112,000 329,292 # Kyodo Shiryo Co., Ltd. 145,000 148,283 Kyoei Sangyo Co., Ltd. 44,000 102,447 # Kyoei Tanker Co., Ltd. 53,000 81,300 Kyokuto Boeki Kaisha, Ltd. 36,000 82,177 Kyokuto Kaihatsu Kogyo Co., Ltd. 38,300 300,749 Kyokuyo Co., Ltd. 167,000 230,250 # Kyoritsu Maintenance Co., Ltd. 15,400 224,701 Kyosan Electric Manufacturing Co., Ltd. 78,000 240,723 Kyoto Kimono Yuzen Co., Ltd. 79 152,922 Kyowa Electronic Instruments Co., Ltd. 30,000 67,385 Kyowa Leather Cloth Co., Ltd. 32,000 146,092 Kyudenko Corp. 103,000 411,925 # Laox Co., Ltd. 21,000 40,650 * Lonseal Corp. 18,000 13,148 *# Look, Inc. 50,000 279,401 # MR Max Corp. 56,300 178,379 * Macnica, Inc. 25,700 667,609 Maeda Road Construction Co., Ltd. 105,000 525,384 Maezawa Industries, Inc. 27,700 123,679 Maezawa Kaisei Industries Co., Ltd. 20,600 239,443 Maezawa Kyuso Industries Co., Ltd. 10,000 71,950 * Magara Construction Co., Ltd. 61,000 52,356 Makino Milling Machine Co., Ltd. 114,000 538,148 * Mamiya-Op Co., Ltd. 58,000 88,970 Marche Corp. 6,100 52,968 Mars Engineering Corp. 13,000 613,678 Marubeni Construction Material Lease Co., Ltd. 28,000 37,071 Marubun Corp. 37,800 200,183 Marudai Food Co., Ltd. 164,000 268,042 * Maruei Department Store Co., Ltd. 72,000 95,982 Maruha Corp. 434,000 534,971 * Maruishi Cycle Industries, Ltd. 33,000 13,258 # Marusan Securities Co., Ltd. 106,000 544,905 Maruwa Co., Ltd. 13,000 141,728 Maruwn Corp. 44,000 108,072 Maruya Co., Ltd. 14,000 93,316 Maruyama Manufacturing Co., Inc. 73,000 89,317 *# Maruzen Co., Ltd. 179,000 258,236 Maruzen Co., Ltd. 13,000 53,771 Maruzen Showa Unyu Co., Ltd. 122,000 272,918
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SHARES VALUE+ ------ ------ Maspro Denkoh Corp. 27,000 $ 263,787 Matsuda Sangyo Co., Ltd. 27,000 185,637 Matsui Construction Co., Ltd. 40,000 111,030 Matsuo Bridge Co., Ltd. 37,000 102,027 # Matsuya Co., Ltd. 74,000 310,811 Matsuya Foods Co., Ltd. 20,000 422,754 Matsuzakaya Co., Ltd. 189,077 685,387 *# Max Co., Ltd. 69,000 590,961 *# Megachips Corp. 21,700 202,496 *# Meidensha Corp. 378,050 780,125 * Meiji Machine Co., Ltd. 55,000 32,140 Meiji Shipping Co., Ltd. 47,000 128,744 * Meisei Industrial Co., Ltd. 29,000 82,615 # Meito Sangyo Co., Ltd. 38,000 451,753 Meito Transportation Co., Ltd. 9,000 74,123 Meiwa Estate Co., Ltd. 34,000 273,192 Meiwa Industry Co., Ltd. 15,000 33,966 * Meiwa Trading Co., Ltd. 55,000 76,333 Melco Holdings, Inc. 9,000 244,065 Mercian Corp. 212,000 425,858 Mikuni Coca-Cola Bottling Co., Ltd. 60,000 444,302 # Milbon Co., Ltd. 13,200 338,075 # Mimasu Semiconductor Industry Co., Ltd. 30,000 369,248 Ministop Co., Ltd. 36,700 539,844 Mirai Group Co., Ltd. 49,000 91,718 Miroku Jyoho Service Co., Ltd. 12,000 79,985 * Misawa Homes Holdings, Inc. 262,900 355,270 # Misawa Resort Co., Ltd. 40,000 81,081 * Mito Securities Co., Ltd. 63,000 151,287 Mitsuba Corp. 47,000 191,399 * Mitsubishi Cable Industries, Ltd. 241,000 235,455 * Mitsubishi Kakoki Kaisha, Ltd. 117,000 152,767 *# Mitsubishi Paper Mills, Ltd. 406,000 548,649 Mitsubishi Pencil Co., Ltd. 61,000 388,212 # Mitsubishi Plastics, Inc. 310,000 761,414 Mitsubishi Shindoh Co., Ltd. 82,000 137,016 # Mitsubishi Steel Manufacturing Co., Ltd. 253,000 288,760 Mitsuboshi Belting, Ltd. 153,000 444,248 # Mitsui High-Tec, Inc. 58,000 690,048 Mitsui Home Co., Ltd. 97,000 365,787 * Mitsui Knowledge Industry Co., Ltd. 8,800 70,146 *# Mitsui Matsushima Co., Ltd. 90,000 107,652 * Mitsui Mining Co., Ltd. 225,000 149,973 # Mitsui Sugar Co., Ltd. 116,000 216,070 # Mitsui-Soko Co., Ltd. 204,000 454,492 Mitsumura Printing Co., Ltd. 49,000 236,678 Mitsuuroko Co., Ltd. 76,000 417,750 Miura Co., Ltd. 52,100 620,805 Miura Printing Corp. 16,000 49,671 Miyaji Engineering Group 90,000 138,879 Miyazaki Bank, Ltd. 83,000 300,110 # Miyoshi Oil & Fat Co., Ltd. 120,000 225,712 # Miyuki Keori Co., Ltd. 50,000 137,874 Mizuno Corp. 165,000 567,979 * Momiji Holdings, Inc. 190 400,749 Morinaga & Co., Ltd. 340,000 589,847 * Morishita Jinton Co., Ltd. 19,800 72,316 Morita Corp. 59,000 197,170 # Moritex Corp. 15,000 142,440 Morozoff, Ltd., Osaka 50,000 $ 89,938 Mory Industries, Inc. 66,000 131,373 Mos Food Services, Inc. 47,000 392,668 Moshi Moshi Hotline, Inc. 7,250 509,724 * Mutoh Industries, Ltd. 61,000 128,104 Mutow Co., Ltd. 38,000 126,991 Myojo Foods Co., Ltd. 25,000 63,002 # NAC Co., Ltd. 13,000 96,859 NEC Infrontia Corp. 167,000 419,330 # NEC System Integration & Construction, Ltd. 53,000 396,339 *# NEC Tokin Corp. 86,000 467,221 Nabtesco Corp. 210,000 1,106,373 # Nachi-Fujikoshi Corp. 433,000 933,053 # Nagano Bank, Ltd. 122,000 364,262 * Nagano Japan Radio Co., Ltd. 27,000 35,007 # Nagatanien Co., Ltd. 56,000 406,501 * Naigai Co., Ltd. 109,000 84,596 Nakabayashi Co., Ltd. 76,000 114,500 # Nakamuraya Co., Ltd. 85,000 211,103 *# Nakano Corp. 66,000 65,687 * Nakayama Steel Works, Ltd. 165,000 335,966 Nakayo Telecommunications, Inc. 16,000 59,021 Neturen Co., Ltd., Tokyo 52,000 206,063 New Japan Radio Co., Ltd. 48,000 538,203 Nichia Steel Works, Ltd. 52,900 138,143 Nichias Corp. 237,000 627,557 # Nichiban Co., Ltd. 58,000 156,227 * Nichiboshin, Ltd. 1,190 1,087 Nichiha Corp. 64,980 741,645 # Nichimo Co., Ltd. 54,000 90,230 *# Nichimo Corp. 85,000 48,119 # Nichireki Co., Ltd. 44,000 146,238 # Nichiro Corp. 289,000 337,765 Nidec Tosok Corp. 13,000 182,798 Nihon Dempa Kogyo Co., Ltd. 28,000 440,248 Nihon Eslead Corp. 9,500 166,545 Nihon Inter Electronics Corp. 27,000 165,175 Nihon Kagaku Sangyo Co., Ltd. 14,000 43,718 * Nihon Kentetsu Co., Ltd. 27,000 32,295 Nihon Kohden Corp. 85,000 558,026 Nihon Matai Co., Ltd. 50,000 90,394 Nihon Nohyaku Co., Ltd. 103,000 184,332 Nihon Parkerizing Co., Ltd. 92,000 400,694 * Nihon Seiko Co., Ltd. 11,000 27,721 Nihon Shokuh Kako Co., Ltd. 26,000 48,667 Nihon Spindle Manufacturing Co., Ltd. 56,000 72,096 Nihon Tokushu Toryo Co., Ltd. 35,000 127,831 # Nikken Chemicals Co., Ltd. 130,000 377,465 Nikkiso Co., Ltd. 107,000 385,911 Nikko Co., Ltd., Akashi 52,000 142,440 * Nippei Toyama Corp. 34,000 62,400 * Nippon Avionics Co., Ltd. 19,000 31,748 Nippon Beet Sugar Manufacturing Co., Ltd. 216,000 327,392 *# Nippon Carbide Industries Co., Inc., Tokyo 101,000 101,443 *# Nippon Carbon Co., Ltd. 177,000 226,260 # Nippon Ceramic Co., Ltd. 32,000 281,958 Nippon Chemical Industrial Co., Ltd. 131,000 424,626 Nippon Chemi-Con Corp. 159,000 598,137
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SHARES VALUE+ ------ ------ * Nippon Chemiphar Co., Ltd. 49,000 $ 137,801 Nippon Chutetsukan KK 44,000 74,726 * Nippon Concrete Industries Co., Ltd. 65,000 73,594 Nippon Conlux Co., Ltd. 30,000 190,376 * Nippon Conveyor Co., Ltd. 43,000 31,017 # Nippon Denko Co., Ltd. 159,000 251,160 # Nippon Densetsu Kogyo Co., Ltd. 81,000 303,232 Nippon Denwa Shisetu Co., Ltd. 90,000 262,966 Nippon Felt Co., Ltd. 28,000 84,368 # Nippon Fine Chemical Co., Ltd. 40,000 147,188 Nippon Flour Mills Co., Ltd. 186,000 660,647 * Nippon Foil Mfg., Co., Ltd. 21,000 26,844 * Nippon Formula Feed Manufacturing Co., Ltd. 100,000 133,309 Nippon Gas Co., Ltd. 62,000 524,781 Nippon Hume Corp. 43,000 82,843 # Nippon Kanzai Co., Ltd. 27,200 396,377 *# Nippon Kasei Chemical Co., Ltd. 154,000 179,985 * Nippon Kinzoku Co., Ltd. 93,000 106,145 Nippon Koei Co., Ltd., Tokyo 107,000 218,846 Nippon Konpo Unyu Soko Co., Ltd. 92,000 600,621 * Nippon Koshuha Steel Co., Ltd. 151,000 147,526 *# Nippon Metal Industry Co., Ltd. 230,000 201,607 * Nippon Pigment Co., Ltd. 11,000 25,612 Nippon Pillar Packing Co., Ltd. 15,000 79,711 * Nippon Piston Ring Co., Ltd. 104,000 149,087 Nippon Road Co., Ltd. 147,000 241,600 # Nippon Seiki Co., Ltd. 76,000 507,962 Nippon Seisen Co., Ltd. 39,000 85,464 # Nippon Sharyo, Ltd. 215,000 437,774 Nippon Shinpan Co., Ltd. 213,000 472,599 Nippon Shinyaku Co., Ltd. 73,000 407,259 Nippon Signal Co., Ltd. 109,000 501,607 Nippon Soda Co., Ltd. 177,000 399,187 # Nippon Synthetic Chemical Industry Co., Ltd. 152,000 312,272 Nippon System Development Co., Ltd. 32,100 556,592 Nippon Systemware Co., Ltd. 20,000 163,440 Nippon Thompson Co., Ltd. 77,000 510,427 Nippon Tungsten Co., Ltd. 24,000 41,636 Nippon Valqua Industries, Ltd. 119,000 235,783 * Nippon Yakin Kogyo Co., Ltd. 117,500 171,658 * Nippon Yusoki Co., Ltd. 49,000 103,798 Nishimatsuya Chain Co., Ltd. 30,600 849,379 * Nishishiba Electric Co., Ltd. 28,000 35,793 *# Nissan Diesel Motor Co., Ltd. 284,000 536,779 Nissei Plastic Industrial Co., Ltd. 14,000 70,307 * Nisseki House Industry Co., Ltd. 260,000 2,374 # Nissha Printing Co., Ltd. 81,000 959,989 # Nisshin Fire & Marine Insurance Co., Ltd. 201,000 477,173 # Nisshin Fudosan Co., Ltd. 11,700 96,574 Nissho Electronics Corp. 23,000 191,107 * Nissho Iwai-Nichmen Holdings Corp. 68,000 317,275 Nissin Co., Ltd. 149,800 600,458 Nissin Corp. 150,000 291,728 * Nissin Electric Co., Ltd. 134,000 349,927 Nissin Kogyo Co., Ltd. 22,500 498,197 Nissin Sugar Manufacturing Co., Ltd. 74,000 120,270 Nissui Pharmaceutical Co., Ltd. 20,000 105,004 * Nitchitsu Co., Ltd. 14,000 $ 17,513 Nitta Corp. 42,000 518,481 Nittan Valve Co., Ltd. 18,000 47,663 Nittetsu Mining Co., Ltd. 118,000 276,899 * Nittetsu Steel Sheet Corp. 84,000 152,630 Nitto Boseki Co., Ltd. 364,000 422,096 Nitto Electric Works, Ltd. 59,000 426,662 # Nitto Flour Milling Co., Ltd. 54,000 114,883 Nitto Kohki Co., Ltd. 25,000 380,752 Nitto Seiko Co., Ltd. 56,000 70,051 Nitto Seimo Co., Ltd. 32,000 94,668 *# Nittoc Construction Co., Ltd. 61,000 144,814 Noda Corp. 1,300 5,045 Nohmi Bosai, Ltd. 59,000 262,893 Nomura Co., Ltd. 26,000 99,945 Noritake Co., Ltd. 178,000 576,972 # Nosan Corp. 201,000 350,539 O-M, Ltd. 46,000 57,542 * OKK Corp. 101,000 94,065 OSG Corp. 86,000 627,411 * Obayashi Road Corp. 65,000 115,139 Odakyu Construction Co., Ltd. 29,000 68,846 Odakyu Real Estate Co., Ltd. 58,000 126,041 Oenon Holdings, Inc. 74,000 150,000 * Ohki Corp. 73,000 83,318 * Ohmori Co., Ltd. 184,000 16,801 * Oie Sangyo Co., Ltd. 400 2,736 Oiles Corp. 30,000 580,716 Okabe Co., Ltd. 29,000 80,762 Okamoto Industries, Inc. 212,000 480,059 * Okamoto Machine Tool Works, Ltd. 33,000 82,259 * Okaya Electric Industries Co., Ltd. 16,000 34,332 * Oki Electric Cable Co., Ltd. 56,000 95,617 Okinawa Electric Power Co., Ltd. 20,000 547,845 * Okuma and Howa Machinery, Ltd. 69,000 88,833 *# Okuma Corp. 163,000 363,148 # Okura Industrial Co., Ltd. 96,000 699,489 Okuwa Co., Ltd. 59,000 588,276 Olympic Corp. 31,000 389,198 * Omikenshi Co., Ltd. 53,000 26,132 * Ono Sokki Co., Ltd. 43,000 133,492 Organo Corp. 101,000 415,915 * Orient Watch Co., Ltd. 12,000 4,492 # Oriental Construction Co., Ltd. 39,000 159,533 Oriental Yeast Co., Ltd. 34,000 219,485 Origin Electric Co., Ltd. 54,000 239,628 Osaka Securities Finance Co., Ltd. 54,000 111,432 Osaka Steel Co., Ltd. 52,000 412,126 Osaki Electric Co., Ltd. 56,000 267,422 Oyo Corp. 40,000 260,409 # P.S. Mitsubishi Construction Co., Ltd. 35,000 143,809 PCA Corp. 6,500 57,569 Pacific Industrial Co., Ltd. 68,000 197,443 # Parco Co., Ltd. 82,000 414,792 * Pasco Corp. 111,500 335,966 * Patlite Corp. 5,000 87,655 * Penta-Ocean Construction Co., Ltd. 379,000 352,977 # Pentax Corp. 180,000 747,809 Petrolub International Co., Ltd. 12,900 53,004 Pigeon Corp. 37,000 422,297 Pilot Corp. 32 92,038
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SHARES VALUE+ ------ ------ Piolax, Inc. 8,800 $ 112,089 Pocket Card Co., Ltd. 41,000 378,853 # Pokka Corp. 48,000 135,866 Poplar Co., Ltd. 7,260 73,382 Posful Corp. 26,000 170,928 *# Press Kogyo Co., Ltd. 143,000 301,616 *# Prima Meat Packers, Ltd. 230,000 201,607 *# Privee Zurich Turnaround Group Co., Ltd. 21,000 348,786 Pulstec Industrial Co., Ltd. 21,200 136,468 Q'Sai Co., Ltd. 42,000 299,124 Raito Kogyo Co., Ltd. 84,900 281,398 # Rasa Industries, Ltd. 119,000 228,178 * Real Property 43,900 0 *# Renown, Inc. 402,000 381,739 # Resorttrust Inc. 28,600 620,206 Rheon Automatic Machinery Co., Ltd. 40,000 112,856 Rhythm Watch Co., Ltd. 344,000 502,557 * Ricoh Elemex Corp. 20,000 67,568 Ricoh Leasing Co., Ltd. 10,000 185,354 Right On Co., Ltd. 21,000 619,339 Riken Corp. 193,000 585,062 Riken Keiki Co., Ltd. 33,000 141,015 Riken Technos Corp. 93,000 264,938 Riken Vitamin Co., Ltd. 24,000 306,793 # Ringer Hut Co., Ltd. 26,000 250,219 # Rock Field Co., Ltd. 14,000 155,442 Rohto Pharmaceutical Co., Ltd. 56,000 453,031 Roland Corp. 26,400 320,599 * Round One Corp. 58 104,858 # Royal Co., Ltd. 52,000 465,303 * Ryobi, Ltd. 238,000 628,032 Ryoden Trading Co., Ltd. 57,000 244,613 Ryosan Co., Ltd. 1,700 26,093 # Ryoyo Electro Corp. 40,000 401,753 # S Foods, Inc. 28,000 191,746 * S Science Co., Ltd. 139,000 63,459 S.T. Chemical Co., Ltd. 48,000 361,578 SMK Corp. 127,000 424,416 SNT Corp. 15,000 49,306 * SPC Electronics Corp. 29,000 103,798 SPK Corp. 3,100 35,410 SRL, Inc. 42,000 321,750 * SXL Corp. 101,000 164,153 Saeki Kensetsu Kogyo Co., Ltd. 71,000 64,180 # Sagami Chain Co., Ltd. 37,000 305,743 Sagami Co., Ltd. 51,000 185,802 * Sailor Pen Co., Ltd. 44,000 161,505 # Saizeriya Co., Ltd. 78,100 738,071 Sakai Chemical Industry Co., Ltd. 141,000 503,388 Sakai Heavy Industries, Ltd. 60,000 104,638 *# Sakai Ovex Co., Ltd. 85,000 124,954 Sakata Inx Corp. 92,000 299,050 Sakata Seed 17,900 186,322 * Sakurada Co., Ltd. 38,000 29,839 Sala Corp. 41,000 163,970 San-Ai Oil Co., Ltd. 98,000 284,551 *# Sanix, Inc. 28,600 228,497 Sankei Building Co., Ltd. 69,000 207,277 Sanki Engineering Co., Ltd. 105,000 533,053 Sanko Co., Ltd. 2,000 10,409 Sanko Metal Industrial Co., Ltd., Tokyo 54,000 $ 84,806 *# Sankyo Seiki Manufacturing Co., Ltd. 76,000 482,286 Sankyo Seiko Co., Ltd. 86,000 261,487 # Sankyu, Inc., Tokyo 415,000 439,554 Sanoh Industrial Co., Ltd. 53,000 239,545 Sanshin Electronics Co., Ltd. 45,000 255,159 Sanyo Denki Co., Ltd. 65,000 148,968 # Sanyo Electric Credit Co., Ltd. 43,100 639,889 Sanyo Engineering & Construction, Inc. 21,000 57,524 Sanyo Industries, Ltd., Tokyo 48,000 115,705 # Sanyo Special Steel Co., Ltd. 207,000 291,070 * Sasebo Heavy Industries Co., Ltd., Tokyo 201,000 167,011 * Sata Construction Co., Ltd., Gumma 61,000 54,584 Sato Shoji Corp. 31,000 117,184 Satori Electric Co., Ltd. 10,400 125,347 * Sawafugji Electric Co., Ltd. 31,000 58,026 Secom Techno Service Co., Ltd. 10,500 278,031 # Seijo Corp. 8,000 89,116 Seika Corp. 145,000 197,270 * Seikitokyu Kogyo Co., Ltd. 86,000 83,236 * Seiko Corp. 102,407 532,980 Seiren Co., Ltd. 81,000 454,849 # Sekisui Jushi Co., Ltd. 59,000 251,580 Sekisui Plastics Co., Ltd. 126,000 281,866 Sekiwa Real Eastate, Ltd. 16,000 115,267 Sekiwa Real Estate Chubu, Ltd. 7,000 29,081 Senko Co., Ltd. 205,000 514,746 Senshukai Co., Ltd. 70,000 734,387 Shaddy Co., Ltd. 27,000 254,912 *# Shibaura Mechatronics Corp. 71,000 536,130 Shibusawa Warehouse Co., Ltd. 94,000 189,682 # Shibuya Kogyo Co., Ltd. 54,000 461,998 *# Shikibo, Ltd. 155,000 178,324 Shikoku Chemicals Corp. 89,000 316,116 Shikoku Coca-Cola Bottling Co., Ltd. 31,000 307,679 Shimizu Bank, Ltd. 12,600 587,893 Shin Nippon Air Technologies Co., Ltd. 31,180 119,573 Shinagawa Refractories Co., Ltd. 82,000 163,970 * Shindengen Electric Manufacturing Co., Ltd. 106,000 281,647 Shin-Etsu Polymer Co., Ltd. 111,000 687,162 Shinkawa, Ltd. 21,000 396,914 Shin-Keisei Electric Railway Co., Ltd. 45,000 145,864 Shinki Co., Ltd. 61,000 215,550 # Shinko Electric Co., Ltd. 257,000 650,009 Shinko Plantech Co., Ltd. 27,000 27,365 Shinko Shoji Co., Ltd. 29,000 155,962 Shin-Kobe Electric Machinery Co., Ltd. 71,000 223,658 Shinmaywa Industries, Ltd. 148,000 436,487 *# Shinsho Corp. 110,000 168,736 *# Shinwa Kaiun Kaisha, Ltd. 238,000 339,007 Shinyei Kaisha 54,000 78,890 Shiroki Co., Ltd. 132,000 272,389 Shizuki Electric Co., Inc. 23,000 48,512 # Sho-Bond Corp. 39,100 193,501
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SHARES VALUE+ ------ ------ Shobunsha Publications, Inc. 25,000 $ 315,011 *# Shochiku Co., Ltd. 99,000 629,145 # Shoei Co., Ltd. 14,900 166,795 Shoei Foods Corp. 14,000 55,606 Shoko Co., Ltd. 156,000 199,416 Shokusan Bank, Ltd. 52,000 175,676 Showa Aircraft Industry Co., Ltd. 22,000 72,745 *# Showa Electric Wire & Cable Co., Ltd., Kawasaki 270,000 318,024 # Showa Highpolymer Co., Ltd. 67,000 167,011 Showa Mining Co., Ltd. 36,000 43,718 # Showa Sangyo Co., Ltd. 282,000 584,496 Showa Tansan Co., Ltd. 21,000 58,099 # Siix Corp. 6,000 94,777 Silver Ox Inc. 30,000 66,289 *# Silver Seiko, Ltd. 87,000 36,541 Sinanen Co., Ltd. 160,000 672,023 Sintokogio, Ltd., Nagoya 70,000 194,942 Snow Brand Seed Co., Ltd. 16,000 48,941 Soda Nikka Co., Ltd. 35,000 59,441 *# Sodick Co., Ltd. 64,000 447,042 * Software Research Associates, Inc. 6,200 40,646 # Sogo Medical Co., Ltd. 8,800 239,847 * Sokkisha Co., Ltd. 40,000 54,054 Sonton Food Industry Co., Ltd. 15,000 114,637 # Sorun Corp. 41,000 223,868 Sotetsu Rosen Co., Ltd. 44,000 273,996 Sotoh Co., Ltd. 12,000 98,393 Space Co., Ltd. 9,400 60,681 Star Micronics Co., Ltd. 59,000 338,851 Starzen Corp. 126,000 195,581 Stella Chemifa Corp. 14,000 178,707 Subaru Enterprise Co., Ltd. 36,000 104,200 Sumida Corp. 17,600 509,423 * Suminoe Textile Co., Ltd. 95,000 142,257 * Sumitomo Coal Mining Co., Ltd. 90,500 49,580 Sumitomo Densetsu Co., Ltd. 50,700 134,712 *# Sumitomo Light Metal Industries, Ltd. 493,000 567,184 *# Sumitomo Mitsui Construction Co., Ltd. 413,600 302,118 Sumitomo Pipe & Tube Co., Ltd. 35,000 71,905 Sumitomo Precision Products Co., Ltd., Amagasaki City 66,000 177,776 # Sumitomo Seika Chemicals Co., Ltd. 102,000 239,354 # Sumitomo Special Metals Co., Ltd. 76,000 834,113 Sumitomo Warehouse Co., Ltd. 172,000 457,013 * Sun Wave Corp. 62,000 218,517 SunTelephone Co., Ltd. 44,000 167,933 # Suruga Corp. 11,000 130,570 * Suzutan Co., Ltd. 62,000 72,462 # Sysmex Corp. 23,700 516,111 # T.Hasegawa Co., Ltd. 35,900 409,743 *# TC Properties Co., Ltd. 144,650 843,968 *# TC Properties Co., Ltd. 579,000 0 * TCM Corp. 146,000 274,617 * TDF Corp. 11,000 39,271 TKC Corp. 39,500 517,554 TOC Co., Ltd. 80,000 431,702 TYK Corp. 67,000 122,964 Tabai Espec Corp. 34,000 355,460 Tachihi Enterprise Co., Ltd. 17,000 357,789 Tachikawa Corp. 14,000 69,029 Tachi-S Co., Ltd. 21,100 $ 146,421 Tadano, Ltd. 161,000 495,407 Taihei Dengyo Kaisha, Ltd. 55,000 151,662 *# Taihei Kogyo Co., Ltd. 114,000 118,663 * Taiheiyo Kouhatsu, Inc. 90,000 69,850 Taiho Kogyo Co., Ltd. 30,000 245,435 Taikisha, Ltd. 97,000 1,078,762 Taisei Rotec Corp. 110,000 163,714 * Taisei U-lec Co., Ltd. 134,000 196,987 # Taito Co., Ltd. 70,000 171,932 Taito Corp. 410 535,336 # Taiyo Toyo Sanso Co., Ltd. 232,000 648,210 Takada Kiko Co., Ltd. 31,000 125,393 * Takagi Securities Co., Ltd. 94,000 225,731 Takamatsu Corp. 19,500 338,294 Takano Co., Ltd. 15,000 186,267 * Takaoka Electric Manufacturing Co., Ltd., Tokyo 156,000 182,323 * Taka-Q Co., Ltd. 34,500 34,336 Takara Printing Co., Ltd. 6,000 44,047 * Takarabune Corp. 26,000 237 Takasago International Corp. 136,000 490,504 Takasago Thermal Engineering Co., Ltd. 106,000 582,652 * Takashima & Co., Ltd. 60,000 97,516 Takigami Steel Construction Co., Ltd. 18,000 72,316 Takiron Co., Ltd. 98,000 304,237 Takuma Co., Ltd. 108,000 565,048 Tamura Corp. 93,000 332,871 * Tamura Electric Works, Ltd. 74,000 233,784 Tanseisha Co., Ltd. 26,000 81,428 # Tasaki Shinju Co., Ltd. 53,000 157,761 Tateho Chemical Industries Co., Ltd. 26,500 69,928 Tatsuta Electric Wire & Cable Co., Ltd. 106,000 141,308 Taya Co., Ltd. 5,000 42,458 Tayca Corp. 74,000 191,216 * Teac Corp. 88,000 123,740 Techno Ryowa, Ltd. 16,400 66,636 Tecmo, Ltd. 22,000 226,187 Teikoku Hormone Manufacturing Co., Ltd. 33,000 237,135 # Teikoku Piston Ring Co., Ltd. 42,000 145,727 Teikoku Sen-I Co., Ltd. 39,000 123,567 Teikoku Tsushin Kogyo Co., Ltd. 73,000 249,954 Tekken Corp. 194,000 258,619 Ten Allied Co., Ltd. 37,000 131,757 Tenma Corp. 41,000 390,084 Teraoka Seisakusho Co., Ltd. 29,000 278,031 Tetra Co., Ltd., Tokyo 41,000 75,247 * The Daito Bank, Ltd. 114,000 236,286 # The Nisshin Oillio Group, Ltd. 196,000 486,779 Three F Co., Ltd. 5,300 30,004 Tigers Polymer Corp. 16,000 56,099 * Titan Kogyo KK 36,000 46,019 # Toa Corp. 247,000 279,657 # Toa Doro Kogyo Co., Ltd. 65,000 118,700 Toa Oil Co., Ltd. 145,000 206,538 * Toabo Corp. 73,000 34,660 Toagosei Co., Ltd. 292,719 553,258 * Tobu Store Co., Ltd. 71,000 116,043
85
SHARES VALUE+ ------ ------ Tochigi Fuji Industrial Co., Ltd. 51,000 $ 128,059 Toda Kogyo Corp. 68,000 283,747 # Todentu Corp. 57,000 107,734 Toei Co., Ltd. 185,000 554,054 Toenec Corp. 101,000 300,639 Tohcello Co., Ltd. 21,000 49,470 Toho Co., Ltd. 35,000 261,733 Toho Real Estate Co., Ltd. 98,000 365,979 # Toho Titanium Co., Ltd. 44,000 335,464 Toho Zinc Co., Ltd. 156,000 253,543 Tohoku Bank, Ltd. 63,000 120,225 Tohoku Misawa Homes Co., Ltd. 24,000 98,174 Tohoku Pioneer Corp. 24,800 396,501 Tohoku Telecommunications Construction Co., Ltd. 17,000 42,997 * Tohpe Corp. 36,000 31,227 Tohto Suisan Co., Ltd. 54,000 84,806 # Tokai Carbon Co., Ltd. 253,000 630,652 *# Tokai Corp. 108,000 437,838 *# Tokai Kanko Co., Ltd. 333,000 91,216 * Tokai Konetsu Kogyo Co., Ltd. 15,000 31,090 # Tokai Pulp & Paper Co., Ltd. 88,000 323,010 * Tokai Senko KK, Nagoya 47,000 42,485 * Tokai Tokyo Securities Co., Ltd. 366,250 792,561 # Tokico, Ltd. 189,000 471,120 * Tokimec, Inc. 119,000 208,619 Toko Electric Corp. 39,000 101,488 # Toko, Inc. 129,000 347,471 Tokushima Bank, Ltd. 61,200 390,603 Tokushu Paper Manufacturing Co., Ltd. 63,000 230,670 Tokyo Biso Kogyo Corp. 13,000 64,217 # Tokyo Denpa Co., Ltd. 11,000 195,855 Tokyo Dome Corp. 233,000 699,936 Tokyo Energy & Systems, Inc. 49,000 156,592 Tokyo Kikai Seisakusho, Ltd. 132,000 318,189 Tokyo Leasing Co., Ltd. 86,000 512,765 Tokyo Nissan Auto Sales Co., Ltd. 97,000 231,163 Tokyo Rakutenchi Co., Ltd. 92,000 331,812 * Tokyo Rope Manufacturing Co., Ltd. 202,000 191,819 Tokyo Sangyo Co., Ltd. 36,500 97,316 Tokyo Soir Co., Ltd. 17,000 42,997 * Tokyo Tekko Co., Ltd. 67,000 150,493 Tokyo Theatres Co., Inc., Tokyo 116,000 119,686 Tokyo Tomin Bank, Ltd. 45,200 739,989 Tokyotokeiba Co., Ltd. 422,000 489,354 # Tokyu Community Corp. 19,000 232,469 *# Tokyu Department Store Co., Ltd. 406,000 344,759 Tokyu Livable Inc. 22,200 231,689 Tokyu Recreation Corp. 32,000 164,792 Tokyu Store Chain Corp. 175,000 648,740 *# Tokyu Tourist Corp. 92,000 71,402 Toli Corp. 83,000 147,781 Tomato Bank, Ltd. 128,000 244,266 Tomen Electronics Corp. 10,000 407,232 Tomoe Corp. 56,000 76,698 *# Tomoegawa Paper Co., Ltd. 55,000 185,811 Tomoku Co., Ltd. 136,000 253,324 * Tomy Co., Ltd. 27,000 377,685 Tonami Transportation Co., Ltd. 121,000 329,237 Topcon Corp. 57,000 378,369 Topre Corp. 67,000 $ 416,609 Topy Industries, Ltd. 325,000 765,614 # Torigoe Co., Ltd. 35,000 119,522 Torii Pharmaceutical Co., Ltd. 36,000 540,066 Torishima Pump Manufacturing Co., Ltd., Osaka 37,000 173,649 Tose Co., Ltd. 6,100 55,698 *# Toshiba Ceramics Co., Ltd. 350,000 917,184 # Toshiba Machine Co., Ltd. 294,000 883,181 # Toshiba Plant Kensetsu Co., Ltd. 101,000 272,973 # Toshiba Tungaloy Co., Ltd. 124,000 545,727 Tosho Printing Co., Ltd. 81,000 227,054 Totenko Co., Ltd. 35,000 67,750 Totetsu Kogyo Co., Ltd. 53,000 147,599 * Totoku Electric Co., Ltd., Tokyo 62,000 75,292 Tottori Bank, Ltd. 127,000 463,842 Touei Housing Corp. 16,700 427,716 Towa Corp. 28,000 192,513 Towa Meccs Corp. 75,000 63,002 *# Towa Real Estate Development Co., Ltd. 80,000 130,752 Toyo Bussan Co., Ltd. 17,600 133,382 *# Toyo Communication Equipment Co., Ltd. 79,000 331,090 *# Toyo Construction Co., Ltd. 290,000 193,298 # Toyo Corp. 43,100 444,302 # Toyo Electric Co., Ltd. 67,000 210,446 # Toyo Engineering Corp. 473,000 859,450 * Toyo Kanetsu KK 172,000 202,593 Toyo Kohan Co., Ltd. 125,000 345,827 # Toyo Radiator Co., Ltd. 104,000 371,293 * Toyo Securities Co., Ltd. 113,000 300,247 * Toyo Shutter Co., Ltd. 77,000 70,307 * Toyo Sugar Refining Co., Ltd. 60,000 63,550 Toyo Tire & Rubber Co., Ltd. 307,000 616,691 Toyo Wharf & Warehouse Co., Ltd. 118,000 179,931 * Trans Cosmos, Inc. 5,000 118,243 # Trusco Nakayama Corp. 36,000 426,662 Tsubaki Nakashima Co., Ltd. 56,000 614,609 Tsubakimoto Kogyo Co., Ltd. 44,000 72,316 Tsudakoma Corp. 101,000 275,740 * Tsugami Corp. 124,000 211,724 * Tsukamoto Co., Ltd. 44,000 51,826 Tsukishima Kikai Co., Ltd. 60,000 340,760 Tsurumi Manufacturing Co., Ltd. 35,000 178,643 # Tsutsumi Jewelry Co., Ltd. 24,800 591,015 # Tsutsunaka Plastic Industry Co., Ltd. 58,000 186,413 * Tsuzuki Denki Co., Ltd. 22,000 61,468 U-Shin, Ltd. 32,000 131,191 U.Store Co., Ltd. 27,000 219,412 Ube Material Industries, Ltd. 116,000 195,946 Uchida Yoko Co., Ltd. 72,000 266,253 Ueki Corp. 47,000 79,821 Unicafe, Inc. 5,460 74,881 Unimat Offisco Corp. 27,700 308,059 *# Unitika, Ltd. 699,000 644,622 * Utoc Corp. 68,000 85,683 Vital-Net, Inc. 56,300 381,434 Wakachiku Construction Co., Ltd. 161,000 170,526 # Wakamoto Pharmaceutical Co., Ltd. 48,000 127,977 Wakodo Co., Ltd. 2,000 58,802
86
SHARES VALUE+ ------ ------ # Warabeya Nichiyo Co., Ltd. 8,500 $ 116,417 * Watabe Wedding Corp. 4,900 49,125 # Watami Food Service Co., Ltd. 54,700 341,126 * Wondertable, Ltd. 8,000 9,934 Wood One Co., Ltd. 86,000 628,981 Xebio Co., Ltd. 12,000 239,956 * Yachiyo Musen Denki Co., Ltd. 9,000 41,499 Yahagi Construction Co., Ltd. 59,000 206,328 # Yaizu Suisankagaku Industry Co., Ltd. 14,000 104,821 Yamaichi Electronics Co., Ltd. 21,000 222,425 Yamamura Glass Co., Ltd. 155,000 254,748 * Yamatane Corp. 131,000 156,693 Yamato Corp. 36,000 127,210 Yamato International, Inc. 43,000 164,116 Yamato Kogyo Co., Ltd. 96,000 679,328 Yamaura Corp. 19,000 57,597 Yamazen Co., Ltd. 140,000 250,548 Yaoko Co., Ltd. 29,000 410,957 Yasuda Warehouse Co., Ltd. 27,000 96,393 Yellow Hat, Ltd., Tokyo 32,000 267,641 Yokogawa Bridge Corp. 55,400 213,972 Yokohama Reito Co., Ltd. 55,000 274,197 Yokowo Co., Ltd. 28,000 351,534 # Yomeishu Seizo Co., Ltd. 46,000 335,592 Yomiuri Land Co., Ltd. 157,000 496,001 Yondenko Corp. 50,800 199,916 # Yonekyu Corp. 41,500 386,884 Yonex Co., Ltd. 19,000 93,682 Yorozu Corp. 26,800 182,305 Yoshimoto Kogyo Co., Ltd. 60,000 441,563 # Yuasa Corp. 260,000 496,165 Yuasa Funashoku Co., Ltd. 33,000 60,866 *# Yuasa Trading Co., Ltd. 174,000 182,706 *# Yuken Kogyo Co., Ltd. 60,000 95,325 Yuki Gosei Kogyo Co., Ltd. 14,000 34,003 Yukiguni Maitake Co., Ltd. 26,000 124,635 Yuraku Real Estate Co., Ltd. 39,000 87,244 Yurtec Corp. 101,000 364,271 # Yushin Precision Equipment Co., Ltd. 15,000 365,687 Yushiro Chemical Industry Co., Ltd. 10,000 77,611 * Z-Plus Co., Ltd. 13,000 16,381 Zenrin Co., Ltd. 49,600 389,481 Zensho Co., Ltd. 17,000 283,126 # Zeria Pharmacetical Co., Ltd. 60,000 580,716 i-LOGISTICS Corp. 35,000 54,328 ----------------- TOTAL COMMON STOCKS (Cost $408,723,841) 275,907,310 ----------------- INVESTMENT IN CURRENCY -- (0.3%) * Japanese Yen (Cost $1,045,277) 1,046,719 ----------------- FACE AMOUNT VALUE+ ------ ------ (000) RIGHTS/WARRANTS -- (0.0%) * BSL Corp. Rights 01/30/04 $ 3,950 $ 0 * Kanematsu Corp. Warrants 03/31/06 20,125 0 ----------------- TOTAL RIGHTS/WARRANTS (Cost $0) 0 ----------------- TOTAL -- JAPAN (Cost $409,769,118) 276,954,029 ----------------- TEMPORARY CASH INVESTMENTS -- (22.6%) Repuchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $7,330,000 FHLB Notes 1.875%, 02/15/05, valued at $7,384,975) to be repurchased at $7,275,497 (Cost $7,275,000) 7,275 7,275,000 Repurchase agreements in a Pooled Cash Account, Mizuho Securities USA, 1.05%, 12/01/03 (Collateralized by $123,762,000 U.S. Treasury Obligations, rates ranging from 2.711% to 10.375%, maturities ranging from 08/15/05 tp 02/15/29, valued at $73,726,806) to be repurchased at $73,733,257 (Cost $73,726,806)^ 73,727 73,726,806 ----------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $81,001,806) 81,001,806 ----------------- TOTAL INVESTMENTS -- (100.0%) (Cost $490,770,924)++ $ 357,955,835 =================
---------- + See Note B to Financial Statements. ^ Security purchased with cash proceeds from securities on loan * Non-Income Producing Securities # Total or Partial Securities on Loan ++ The cost for federal income tax purposes is $493,603,890 See accompanying Notes to Financial Statements. 87 THE PACIFIC RIM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003 SHARES VALUE+
SHARES VALUE+ ------ ------ AUSTRALIA -- (28.0%) COMMON STOCKS -- (28.0%) * A.I., Ltd. 129,195 $ 14,023 A.P. Eagers, Ltd. 25,283 118,916 * AAV, Ltd. 50,200 57,393 ABC Learning Centres, Ltd. 133,000 324,325 ADCorp Australia, Ltd. 116,497 85,140 AJ Lucas Group, Ltd. 35,900 57,150 APN News & Media, Ltd. 1 3 ARB Corporation, Ltd. 116,670 280,282 * AV Jennings Homes, Ltd. 170,028 227,610 Abigroup, Ltd. 73,710 211,746 * Adsteam Marine, Ltd. 342,628 414,035 Adtrans Group, Ltd. 29,000 77,642 * Agenix, Ltd. 149,379 76,744 Alesco Corp., Ltd. 86,411 368,909 Altium 162,100 63,340 Amalgamated Holdings, Ltd. 195,483 459,717 * Amity Oil NL 222,481 157,767 * Amrad Corp., Ltd. 135,523 64,722 * Anateus Energy, Ltd. 193,687 13,034 * Arc Energy NL 129,400 86,143 Ariadne Australia, Ltd. 270,353 73,360 Aspen Group, Ltd. 15,795 1,714 Atlas Pacific, Ltd. 82,585 13,147 * AuIron Energy, Ltd. 260,290 11,677 Ausdrill, Ltd. 115,992 62,109 Ausmelt, Ltd. 36,118 24,306 Auspine, Ltd. 42,618 95,599 * Austal, Ltd. 356,800 227,199 * Austar United Communications, Ltd. 730,792 200,944 * Austral Coal, Ltd. 285,300 146,574 Australian Agricultural Co., Ltd. 155,000 128,982 *# Australian Magnesium Corp., Ltd. 332,383 18,519 # Australian Pharmaceutical Industries, Ltd. 287,700 566,248 * Australian Worldwide Exploration, Ltd. 308,100 254,153 * Auto Group, Ltd. 41,309 18,533 *# Autron Corporation, Ltd. 989,247 218,325 Bank of Queensland, Ltd. 506 3,442 Beach Petroleum NL 1,814,501 446,410 * Beaconsfield Gold NL 89,078 13,214 * Bendigo Mining NL 1,712,123 253,973 * Beyond International, Ltd. 61,256 14,184 * Biota Holdings, Ltd. 97,808 35,387 Blackmores, Ltd. 27,894 160,060 Brazin, Ltd. 98,875 100,164 Bridgestone Australia, Ltd. 49,000 89,350 Burswood, Ltd. 784,148 658,195 CMI, Ltd. 32,784 47,919 * CPI Group, Ltd. 68,585 46,650 Cabcharge Austalia, Ltd. 196,800 441,454 Campbell Brothers, Ltd. 86,099 376,299 * Cape Range Wireless, Ltd. 619,912 18,391 Capral Aluminium, Ltd. 28,943 50,682 Casinos Austria International, Ltd. 258,299 130,834 Cedar Woods Properties, Ltd. 50,913 51,577 * Cellestis, Ltd. 37,209 $ 38,502 Cellnet Telecommunications Group, Ltd. 91,100 63,283 * Centamin Egypt, Ltd. 996,437 230,727 # Centennial Coal, Ltd. 447,647 800,075 Central Equity, Ltd. 129,405 180,720 * Charter Pacific Corp., Ltd. 72,823 24,240 * Charters Towers Gold Mines, Ltd. 258,700 42,119 *# Chemeq, Ltd. 120,000 465,419 * Chiquita Brands South Pacific, Ltd. 113,500 72,273 * Circadian Technologies, Ltd. 40,370 55,502 Citect Corp., Ltd. 109,822 103,307 Clough, Ltd. 817,737 420,117 # Coates Hire, Ltd. 472,004 976,810 # Collection House, Ltd. 176,200 214,197 Colorado Group, Ltd. 135,243 351,324 Commander Communications, Ltd. 106,600 84,849 Consolidated Minerals, Ltd. 251,658 172,995 * Coplex Resources NL 231,400 15,070 * Count Financial, Ltd. 171,200 91,671 Coventry Group, Ltd. 58,612 235,384 Crane Group, Ltd. 83,106 541,219 Croesus Mining NL 798,235 392,770 Danks Holdings, Ltd. 10,425 86,072 Devine, Ltd. 168,183 76,669 * Dominion Mining, Ltd. 168,015 80,240 * Emporer Mines, Ltd. 120,600 63,704 * Energy Developments, Ltd. 164,549 301,241 * Energy World Corp., Ltd. 325,630 6,598 * Environmental Solutions International, Ltd. 67,364 12,795 Equigold NL 225,700 251,507 Evans & Tate, Ltd. 62,500 54,270 FKP, Ltd. 142,602 242,489 Fantastic Holdings, Ltd. 133,100 359,240 Fleetwood Corp., Ltd. 47,464 191,645 * Forest Place Group, Ltd. 85,192 29,898 Freedom Group, Ltd. 201,879 306,767 * Funtastic, Ltd. 94,900 140,773 GRD NL 379,594 521,881 GUD Holdings, Ltd. 114,428 509,220 * Gale Pacific, Ltd. 34,400 61,483 Gazal Corp., Ltd. 71,177 133,909 * Geo2, Ltd. 2,526 356 * Globe International, Ltd. 327,400 111,346 * Gold Aura 2,635 343 * Golden West Refining Corp., Ltd. 17,330 4,514 * Goldstream Mining NL 90,901 35,519 Gowing Bros., Ltd. 58,624 104,354 * Gradipore, Ltd. 86,855 28,910 # Graincorp, Ltd. Series A 78,059 781,166 # Grand Hotel Group 383,087 182,953 # Great Southern Plantations, Ltd. 366,530 403,136 Green's Foods, Ltd. 66,082 45,426 * Gympie Gold, Ltd. 302,445 109,425 * HPAL, Ltd. 88,900 91,346 * Hamilton Island, Ltd. 52,600 126,364 Hancock and Gore, Ltd. 66,108 81,321
88
SHARES VALUE+ ------ ------ *# Hardman Resources NL 717,859 $ 363,610 * Health Communication Network, Ltd. 106,000 84,372 Healthscope, Ltd. 131,852 287,178 * Henry Walker Eltin Group, Ltd. 287,948 191,690 * Herald Resources, Ltd. 69,910 35,411 Hills Industries, Ltd. 263,845 714,034 * Horizon Oil NL 752,832 49,027 Housewares International, Ltd. 280,209 527,174 * Hutchison Telecommunications (Australia), Ltd. 1,065,400 215,858 IInet, Ltd. 65,200 155,690 ION, Ltd. 342,085 566,849 Infomedia, Ltd. 598,900 368,359 Institute of Drug Technology Australia, Ltd. 44,372 61,004 * Integrated Group, Ltd. 55,000 61,687 * Intellect Holdings, Ltd. 403,028 137,066 Investor Group, Ltd. 48,637 95,023 * Iress Market Technology, Ltd. 81,000 147,115 * Ixla, Ltd. 89,921 1,497 * JDV, Ltd. 84,981 33,821 # Jones (David), Ltd. 658,594 657,650 Jubilee Mines NL 224,549 653,184 K&S Corp., Ltd. 86,000 151,218 * Kagara Zinc, Ltd. 120,700 89,959 Kaz Group, Ltd. 1,315,977 233,299 * Keycorp, Ltd. 67,609 60,663 * Kimberley Diamond Co. NL 182,966 129,746 Kingsgate Consolidated NL 132,456 397,757 Kresta Holdings, Ltd. 56,700 24,617 Lemarne Corp., Ltd. 20,790 34,600 * LionOre Mining International, Ltd. 25,842 140,250 MYOB, Ltd. 470,141 340,194 MacArthur Coal, Ltd. 101,500 85,931 * MacMahon Holdings, Ltd. 192,179 42,413 Magellan Petroleum Australia, Ltd. 32,760 30,817 * Magnesium International, Ltd. 656,061 29,908 Maryborough Sugar Factory, Ltd. 600 2,605 * Matrix Oil NL 557,000 17,734 MaxiTRANS Industries, Ltd. 157,528 90,050 # McGuigan Simeon Wines, Ltd. 253,183 881,207 McPherson's, Ltd. 67,828 200,738 * Metabolic Pharmaceuticals, Ltd. 700,000 476,128 * Metal Storm, Ltd. 406,669 144,190 Mia Group, Ltd. 237,000 114,900 Miller's Retail, Ltd. 462,814 602,806 * Mincor Resources NL 73,400 39,834 Monadelphous Group, Ltd. 18,988 64,577 * Mosaic Oil NL 387,324 60,257 Namoi Cotton Cooperative, Ltd. 142,585 38,175 National Can Industries, Ltd. 97,017 98,984 * Norwood Abbey, Ltd. 99,000 95,993 * Novogen, Ltd. 176,419 920,405 * Novus Petroleum, Ltd. 288,634 261,069 * Oakton, Ltd. 62,800 54,530 # Oamps, Ltd. 173,075 403,263 *# Orbital Engine Corp., Ltd. 537,358 64,157 OrotonGroup, Ltd. 38,427 174,342 * PMP, Ltd. 455,871 395,842 Pacific Hydro, Ltd. 370,312 798,514 * Pan Pacific Petroleum NL 327,800 22,296 Pan Pharmaceuticals, Ltd. 322,766 $ 280,264 * Payce Consolidated, Ltd. 18,000 26,050 *# Peptech, Ltd. 281,015 325,348 * Perilya Mines NL 263,500 202,109 * Perseverance Corp., Ltd. 199,493 48,358 * Petsec Energy, Ltd. 97,992 61,689 * Plantcorp NL 4,329 0 Plaspak Group, Ltd. 97,158 64,679 *# Polartechnics, Ltd. 43,405 25,754 * Port Douglas Reef Resorts, Ltd. 251,655 19,120 Portman, Ltd. 343,890 373,258 * PowerTel, Ltd. Series B 4,416,871 118,254 * Precious Metals Australia, Ltd. 10,606 560 * Preston Resources NL 64,000 12,504 Primary Health Care, Ltd. 190,663 689,818 Prime Television, Ltd. 172,440 305,705 * Primelife Corp., Ltd. 85,867 170,245 * Progen Industries, Ltd. 24,788 27,622 Programmed Maintenance Service, Ltd. 119,230 224,314 Queensland Cotton Holdings, Ltd. 39,866 92,599 * Quiktrak Networks P.L.C. Entitlement Shares 23,875 0 * Quiktrak Networks, Ltd. 740,124 2,678 * RG Capital Radio, Ltd. 45,370 91,923 Ramsay Health Care, Ltd. 177,900 565,117 * Raptis Group, Ltd. 12,000 2,996 Rebel Sport, Ltd. 88,284 201,229 Reece Australia, Ltd. 159,501 865,611 * Reinsurance Australia Corp., Ltd. 399,993 118,668 *# Resolute Mining, Ltd. 287,264 286,852 Ridley Corp., Ltd. 582,631 493,262 * Roc Oil Co., Ltd. 170,700 176,631 Rock Building Society, Ltd. 11,373 27,322 * SDI, Ltd. 18,432 145,378 * SP Telecommunications, Ltd. 136,396 136,201 SPC Ardmona, Ltd. 337,984 349,728 STW Communications Group, Ltd. 231,843 536,837 Schaffer Corp., Ltd. 33,766 345,728 Select Harvests, Ltd. 44,886 180,261 * Senetas Corp., Ltd. 240,406 11,829 Servcorp, Ltd. 156,000 188,512 * Silex System, Ltd. 235,100 151,405 Skilled Engineering, Ltd. 144,962 251,747 * Solution 6 Holdings, Ltd. 402,138 186,232 Southern Cross Broadcasting (Australia), Ltd. 149,270 1,177,327 *# Southern Pacific Petroleum NL 698,740 118,818 Southern Star Group, Ltd. 187,907 99,258 * St. Barbara Mines, Ltd. 375,500 20,107 Star Games, Ltd. 132,410 129,346 * Straits Resources, Ltd. 56,534 40,499 * Strategic Minerals Corp. NL 358,100 85,510 * Striker Resources NL 435,484 17,646 Sunland Group, Ltd. 75,095 59,773 Sydney Aquarium, Ltd. 49,135 170,659 * Sydney Gas, Ltd. 153,800 91,257 Symex Holdings, Ltd. 163,000 141,536 Tandou, Ltd. 3,410 3,578 * Tap Oil, Ltd. 193,100 202,604 Technology One, Ltd. 587,800 208,413
89
SHARES VALUE+ ------ ------ # Tempo Service, Ltd. 184,359 $ 192,099 Thakral Holdings Group 948,383 432,337 The Gribbles Group, Ltd. 780,300 299,251 Ticor, Ltd. 455,148 461,083 # Timbercorp, Ltd. 250,258 201,006 * Titan Resources NL 50,000 15,196 * Tooth & Co., Ltd. 153,000 19,374 Transfield Services, Ltd. 238,000 766,364 Triako Resources, Ltd. 5,400 6,682 Troy Resources NL 72,048 93,841 Trust Company of Australia, Ltd. 23,774 129,021 UXC, Ltd. 181,293 102,323 United Group, Ltd. 138,399 395,575 * VeCommerce, Ltd. 13,680 9,404 * Ventracor, Ltd. 256,924 362,525 * Victoria Petroleum NL 463,964 5,036 Villa World, Ltd. 134,700 120,861 *# Village Roadshow, Ltd. 436,313 584,074 * Virotec International NL 142,891 51,698 Vision Systems, Ltd. 268,273 190,240 Volante Group, Ltd. 125,700 109,148 Waterco, Ltd. 22,304 38,250 Watpac, Ltd. 129,518 53,420 Wattyl, Ltd. 131,342 365,900 * Webster, Ltd. 33,551 16,023 * Western Metals, Ltd. 385,787 6,002 Wide Bay Capricorn Building Society, Ltd. 26,958 132,646 * Yates, Ltd. 60,281 2,574 ----------------- TOTAL COMMON STOCKS (Cost $41,066,672) 48,601,616 ----------------- PREFERRED STOCKS -- (0.0%) * Village Roadshow, Ltd. 2% Class A (Cost $59,969) 55,477 44,559 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Australian Dollar (Cost $30,010) 31,136 ----------------- RIGHTS/WARRANTS -- (0.0%) * Amity Oil, Ltd. Options 09/04/04 1 0 * Axon Instruments, Inc. Options Open Pay Date 16,148 0 * Geo2, Ltd. Rights 1,684 0 * Metal Storm, Ltd. Options 09/06/04 1 0 * Progen Industries, Ltd. Options 3,098 0 ----------------- TOTAL RIGHTS/WARRANTS (Cost $98) 0 ----------------- TOTAL -- AUSTRALIA (Cost $41,156,749) 48,677,311 ----------------- SINGAPORE -- (26.1%) COMMON STOCKS -- (26.0%) ASA Group Holdings, Ltd. 586,000 103,676 * Acma, Ltd. 3,040,700 167,564 * Airocean Group, Ltd. 1,017,000 162,232 * Alliance Technology & Development, Ltd. 156,000 9,502 # Amtek Engineering, Ltd. 597,625 537,333 Apollo Enterprises, Ltd. 193,000 59,056 Armstrong Industrial Corp. 1,460,000 $ 122,801 Ascott Group, Ltd. 1,807,250 440,302 * Aussino Group, Ltd. 38,000 12,124 Benjamin (F.J.) Holdings, Ltd. 1,095,000 161,971 # Beyonics Technology, Ltd. 3,272,600 541,029 Blu Inc. Group, Ltd. 729,000 109,947 Bonvests Holdings, Ltd. 825,000 220,138 Brilliant Manufacturing, Ltd. 829,000 319,786 Bukit Sembawang Estates, Ltd. 71,334 595,857 * CK Tang, Ltd. 614,000 140,685 # CSE Global, Ltd. 984,000 373,869 CWT Distribution, Ltd. 461,500 145,899 Central Properties, Ltd. 66,000 750,383 Ch Offshore, Ltd. 823,200 174,293 Chemical Industries (Far East), Ltd. 105,910 64,507 * China Merchants Holdings Pacific, Ltd. 479,000 144,485 Chip Eng Seng Corp., Ltd. 1,775,000 169,889 Chosen Holdings, Ltd. 829,000 137,051 Chuan Hup Holdings, Ltd. 4,116,000 1,134,101 Chuan Soon Huat Industrial Group, Ltd. 614,000 108,630 Clipsal Industries Holdings, Ltd. 351,542 458,820 * Compact Metal Industries, Ltd. 643,000 24,244 Cosco Corp. Singapore, Ltd. 2,783,000 960,535 Courts Singapore, Ltd. 495,000 157,925 # ECS Holdings, Ltd. 1,375,000 315,052 * Eagle Brand Holdings, Ltd. 3,390,000 226,142 # Eastern Asia Technology, Ltd. 1,368,600 389,005 * Eastgate Technology, Ltd. 870,000 105,979 * Econ International, Ltd. 2,267,000 59,176 Eng Wah Organisation, Ltd. 265,000 35,355 * Freight Links Express Holdings, Ltd. 1,648,000 95,596 Frontline Technologies Corp., Ltd. 1,974,000 188,936 # Fu Yu Manufacturing, Ltd. 1,291,000 531,701 Fuji Offset Plates Manufacturing, Ltd. 33,750 7,244 GB Holdings, Ltd. 200,000 75,990 GK Goh Holdings, Ltd. 1,120,000 581,465 GP Industries, Ltd. 1,132,000 584,412 # Ges International, Ltd. 2,077,000 765,056 * Goodpack, Ltd. 587,000 275,807 # Guocoland, Ltd. 1,215,000 789,364 HTL International Holdings, Ltd. 1,177,500 659,130 Ho Bee Investment, Ltd. 761,000 110,359 Hong Fok Corp., Ltd. 1,796,000 302,125 Hong Leong Asia, Ltd. 1,048,000 1,124,646 * Horizon Education & Technologies, Ltd. 988,000 134,681 Hotel Grand Central, Ltd. 875,280 192,936 Hotel Plaza, Ltd. 1,189,000 368,993 # Hotel Properties, Ltd. 1,393,000 832,283 Hour Glass, Ltd. 298,000 91,617 Huan Hsin Holdings, Ltd. 964,400 643,336 Hup Seng Huat, Ltd. 900,200 88,771 Hwa Hong Corp., Ltd. 2,488,000 837,069 # IDT Holdings, Ltd. 514,000 596,315 * Inno-Pacific Holdings, Ltd. 680,000 17,750 Innovalues Precision, LTd. 165,000 172,282 International Factors (Singapore), Ltd. 290,000 73,176 * Internet Technology Group, Ltd. 874,408 40,578 * Interra Resources, Ltd. 185,430 26,353
90
SHARES VALUE+ ------ ------ * Intraco, Ltd. 292,500 $ 87,381 Isetan (Singapore), Ltd. 122,500 225,257 JK Yaming International, Ltd. 509,000 103,340 # Jaya Holdings, Ltd. 2,733,000 1,284,126 Jurong Cement, Ltd. 132,500 60,335 Jurong Engineering, Ltd. 112,000 184,510 # Jurong Technologies Industrial Corp., Ltd. 1,133,000 736,090 * K1 Ventures, Ltd. 4,012,500 512,060 Keppel Telecommunications and Transportation, Ltd. 1,571,000 770,044 Khong Guan Flour Milling, Ltd. 19,000 18,736 Kian Ann Engineering, Ltd. 868,000 118,323 Kim Eng Holdings, Ltd. 2,281,200 1,376,194 Koh Brothers, Ltd. 1,494,000 112,662 * L & M Group Investments, Ltd. 7,107,100 61,840 Labroy Marine, Ltd. 2,943,000 904,793 * Lantrovision (S), Ltd. 745,000 159,897 Lee Kim Tah Holdings, Ltd. 1,265,000 172,441 * Leong Hin Holdings, Ltd. 526,000 36,614 * Liang Huat Aluminum, Ltd. 1,477,000 68,541 * Lion Asiapac, Ltd. 129,000 12,347 Low Keng Huat Singapore, Ltd. 372,000 85,236 * Lum Chang Holdings, Ltd. 1,134,030 197,346 * MCL Land, Ltd. 99,000 76,953 # MMI Holdings, Ltd. 1,453,000 324,496 * Magnecomp International, Ltd. 583,000 300,983 * Manufacturing Integration Technology, Ltd. 588,000 95,503 * Mediaring.Com, Ltd. 2,094,000 139,687 Metro Holdings, Ltd. 2,256,960 929,534 Multi-Chem, Ltd. 957,000 149,885 Nera Telecommunications, Ltd. 1,159,000 366,406 New Toyo Intenational Holdings, Ltd. 540,000 209,870 *# Norelco Centreline Holdings, Ltd. 586,000 424,904 * Orchard Parade Holdings, Ltd. 1,084,022 257,813 # Osim International, Ltd. 930,000 582,626 Ossia International, Ltd. 708,000 82,138 PCI, Ltd. 734,000 253,335 # PSC Corp., Ltd. 4,088,000 296,417 Pan-United Corp., Ltd. 1,624,000 579,354 * Pentex-Schweizer Circuits, Ltd. 916,000 140,807 Pertama Holdings, Ltd. 459,750 78,673 Popular Holdings, Ltd. 1,129,000 294,706 * Qian Hu Corp., Ltd. 266,000 115,725 Robinson & Co., Ltd. 284,832 1,239,176 Rotary Engineering, Ltd. 1,231,000 385,598 SBS Transit, Ltd. 857,000 621,404 SMB United, Ltd. 1,254,000 167,305 SNP Corp., Ltd. 288,995 219,606 * SP Corp., Ltd. 454,000 23,702 San Teh, Ltd. 838,406 221,283 Sea View Hotel, Ltd. 66,000 344,564 * Seatown Corp., Ltd. 101,000 1,758 * Sembawang Kimtrans, Ltd. 1,295,000 146,483 * Sin Soon Huat, Ltd. 1,307,000 68,234 Sing Investments & Finance, Ltd. 94,500 82,774 # Singapore Food Industries, Ltd. 1,446,000 620,702 Singapore Reinsurance Corp., Ltd. 1,540,935 223,464 Singapura Finance, Ltd. 139,250 107,431 * Singatronics, Ltd. 748,000 151,863 Ssangyong Cement (Singapore), Ltd. 236,000 161,539 Stamford Land Corp., Ltd. 3,229,000 $ 458,899 Straits Trading Co., Ltd. 1,117,200 1,172,985 * Sunright, Ltd. 378,000 130,464 Superbowl Holdings, Ltd. 490,000 57,558 Superior Metal Printing, Ltd. 490,500 73,977 * TSM Resources, Ltd. 688,000 153,650 *# TT International, Ltd. 1,094,000 218,937 * Tiong Woon Corp. Holding, Ltd. 652,000 198,559 * Transmarco, Ltd. 106,500 60,233 * Trek 2000 International, Ltd. 622,000 198,443 * Tuan Sing Holdings, Ltd. 3,362,000 214,523 UOB-Kay Hian Holdings, Ltd. 1,602,000 873,521 * Ultro Technologies, Ltd. 530,000 61,488 # Unisteel Technology, Ltd. 898,000 656,341 United Engineers, Ltd. 632,666 590,858 United Overseas Insurance, Ltd. 125,500 235,869 United Pulp & Paper Co., Ltd. 354,000 80,085 Vicom, Ltd. 120,000 60,212 WBL Corp., Ltd. 510,000 875,679 Wing Tai Holdings, Ltd. 2,332,000 1,068,657 * Xpress Holdings, Ltd. 1,392,000 64,597 * Yongnam Holdi 1,004,000 23,296 ----------------- TOTAL COMMON STOCKS (Cost $48,644,710) 45,150,959 ----------------- INVESTMENT IN CURRENCY -- (0.1%) * Singapore Dollars (Cost $248,027) 247,996 ----------------- RIGHTS/WARRANTS -- (0.0%) * Acma, Ltd. Warrants 11/16/04 (Cost $0) 236,300 1,371 ----------------- TOTAL -- SINGAPORE (Cost $48,892,737) 45,400,326 ----------------- HONG KONG -- (25.2%) COMMON STOCKS -- (25.2%) ABC Communications (Holdings), Ltd. 930,000 35,924 ALCO Holdings, Ltd. 602,000 220,916 * APT Satellite Holdings, Ltd. 354,000 107,116 Aeon Credit Service (Asia) Co., Ltd. 522,000 312,542 * Allied Group, Ltd. 5,592,000 381,618 * Allied Properties, Ltd. 802,600 284,195 * Anex International Holdings, Ltd. 152,000 2,114 * Applied China, Ltd. 1,036,250 18,547 * Applied International Holdings, Ltd. 1,243,000 19,526 Arts Optical International Holdings, Ltd. 468,000 146,131 Asia Aluminum Holdings, Ltd. 2,460,000 478,297 * Asia Commercial Holdings, Ltd. 72,800 1,781 Asia Financial Holdings, Ltd. 1,976,908 442,916 * Asia Logistics Technologies, Ltd. 2,214,000 12,828 * Asia Standard International Group, Ltd. 5,136,000 195,089 * Asia Tele-Net & Technology Corp., Ltd. 10,420,000 18,784 Associated International Hotels, Ltd. 898,000 757,361 * Automated Systems Holdings, Ltd. 234,000 49,112 * Baltrans Holdings, Ltd. 376,000 145,243 * Beijing Development (Hong Kong), Ltd. 166,000 24,367
91
SHARES VALUE+ ------ ------ * Bossini International Holdings, Ltd. 228,750 $ 9,720 Bright International Group, Ltd. 302,000 42,774 CCT Telecom Holdings, Ltd. 472,970 53,592 * CEC International Holdings, Ltd. 210,000 4,732 * CNT Group, Ltd. 3,078,000 72,528 * COSCO International Holdings, Ltd. 2,573,600 188,887 * Capital Prosper, Ltd. 480,000 4,635 * Capital Strategic Investment, Ltd. 122,000 2,136 * Cash Financial Services Group, Ltd. 13,509 774 * Casil Telecommunications Holdings, Ltd. 428,000 21,217 * Catic International Holdings, Ltd. 3,290,000 96,163 * Celestial Asia Securities Holdings, Ltd. 128,036 8,243 * Central China Enterprises, Ltd. 2,104,000 5,418 # Champion Technology Holdings, Ltd. 987,386 212,319 Chen Hsong Holdings, Ltd. 1,515,000 970,490 * Cheuk Nang (Holdings), Ltd. 112,501 19,266 * Cheung Tai Hong Holdings, Ltd. 100,920 3,249 * Chevalier Construction Holdings, Ltd. 131,203 4,055 Chevalier International Holdings, Ltd. 431,143 219,282 * Chevalier Itech Holdings, Ltd. 355,250 39,338 *# China Aerospace International Holdings, Ltd. 2,430,000 175,218 * China Bio-Medical Group Limited 415,000 4,970 * China City Natural Gas Holdings, Ltd. 5,800,000 31,366 * China Digicontent Co., Ltd. 2,710,000 3,489 * China Everbright International, Ltd. 3,185,000 127,132 * China Everbright Technology, Ltd. 3,244,000 131,576 * China Gas Holdings, Ltd. 1,514,000 157,905 China Hong-Kong Photo Products Holdings, Ltd. 1,909,000 125,361 * China Investments Holdings, Ltd. 210,000 4,543 * China Motion Telecom International, Ltd. 257,000 21,840 China Motor Bus Co., Ltd. 74,000 466,888 * China Nan Feng Group, Ltd. 96,000 136 China Online (Bermuda), Ltd. 423,200 55,037 China Rare Earth Holdings, Ltd. 700,000 101,850 # China Resources Land, Ltd. 1,878,000 261,159 China Resources Logic, Ltd. 3,272,000 341,259 * China Rich Holdings, Ltd. 3,380,000 31,335 * China Sci-Tech Holdings, Ltd. 2,786,000 5,740 * China Star Entertainment, Ltd. 50,292 7,317 * China Strategic Holdings, Ltd. 376,000 8,182 Chinney Investments, Ltd. 1,144,000 61,867 Chow Sang Sang Holdings International, Ltd. 721,400 218,288 Chuangs China Investments, Ltd. 1,347,000 57,236 * Chuang's Consortium International, Ltd. 1,858,884 76,593 Chun Wo Holdings, Ltd. 1,671,917 92,570 * Chung Tai Printing Holdings, Ltd. 268,000 48,656 City e Solutions, Ltd. 186,000 22,034 *# City Telecom (H.K.), Ltd. 754,000 308,248 * Climax International Co., Ltd. 296,000 991 * Coastal Greenland, Ltd. 300,000 6,335 * Compass Pacific Holdings, Ltd. 624,000 14,462 * Computer & Technologies Holdings, Ltd. 220,000 51,273 Continental Holdings, Ltd. 98,825 8,907 * Continental Mariner Investment Co., Ltd. 1,328,000 $ 196,644 # Coslight Technology International Group, Ltd. 466,000 217,510 * Cosmos Machinery Enterprises, Ltd. 1,024,000 48,785 * Crocodile Garments, Ltd. 1,539,000 59,449 Cross Harbour Tunnel Co., Ltd. 377,148 194,248 * Culturecom Holdings, Ltd. 3,767,000 133,387 * DVN Holdings, Ltd. 292,490 31,259 * Dan Form Holdings Co., Ltd. 2,386,600 61,460 Daqing Petroleum & Chemical Group, Ltd. 735,000 59,623 Dickson Concepts International, Ltd. 320,000 193,657 # Digital China Holdings, Ltd. 639,000 228,323 * Dynamic Global Holdings, Ltd. 1,446,000 17,129 Dynamic Holdings, Ltd. 244,000 38,330 * Easyknit International Holdings, Ltd. 282,860 3,861 * Eforce Holdings, Ltd. 2,620,000 126,508 Egana Jewelry and Pearls 331,789 102,532 # Eganagoldfeil Holdings Ltd. 2,017,235 410,392 Elec & Eltek International Holdings, Ltd. 3,078,790 606,536 * Emperor International Holdings, Ltd. 64,436 19,912 * Extrawell Pharmaceutical Holdings, Ltd. 3,220,000 102,409 * Ezcom Holdings, Ltd. 72,576 3,224 * Fairwood Holdings, Ltd. 42,600 6,802 Far East Consortium International, Ltd. 1,672,000 215,289 * Far East Hotels & Entertainment, Ltd. 1,853,000 81,122 Far East Pharmaceutical Technology Co., Ltd. 2,560,000 303,259 First Sign International Holdings, Ltd. 1,050,000 51,376 * Forefront International Holdings, Ltd. 658,000 201,222 * Foundation Group, Ltd. 83,800 2,913 * Founder Holdings, Ltd. 1,374,000 150,380 Four Seas Frozen Food Holdings, Ltd. 347,184 40,680 Four Seas Mercantile Holdings, Ltd. 592,000 207,718 * Fujian Group, Ltd. 2,378,000 25,108 * Fushan Holdings, Ltd. 2,566,000 89,208 GZI Transport, Ltd. 850,000 257,201 * GeoMaxima Energy Holdings, Ltd. 5,810,000 115,208 Global China Group Holdings, Ltd. 2,288,000 185,602 Global Green Tech Group, Ltd. 1,012,000 174,611 *# Global Tech (Holdings), Ltd. 5,612,000 67,925 Glorious Sun Enterprises, Ltd. 1,066,000 377,464 Gold Peak Industries (Holdings), Ltd. 1,059,250 330,747 * Goldbond Group Holdings, Ltd. New 99,900 2,573 Golden Resources Development International, Ltd. 1,456,500 65,639 * Gold-Face Holdings, Ltd. 2,003,600 139,312 Goldlion Holdings, Ltd. 1,438,000 120,353 Golik Holdings, Ltd. 930,500 73,086 Good Fellow Group, Ltd. 3,488,000 190,876 * Gorient Holdings, Ltd. 73,700 209 * Great Wall Cybertech, Ltd. 15,795,170 20,338 Group Sense (International), Ltd. 2,062,000 297,366 Guangdong Brewery Holdings, Ltd. 1,742,000 430,660 * Guangnan Holdings, Ltd. 11,246,000 241,824 * HKR International, Ltd. 1,884,860 600,675 * Hang Fung Gold Technology, Ltd. 458,000 80,203 Hang Ten Group Holdings, Ltd. 585,039 1,281
92
SHARES VALUE+ ------ ------ Hanny Holdings, Ltd. 136,658 $ 34,313 * Hansom Eastern Holdings, Ltd. 3,473,235 36,225 Harbour Centre Development, Ltd. 517,000 532,557 Henderson China Holdings, Ltd. 815,000 396,150 * Heng Fung Holdings, Ltd. 42,000 34,611 High Fashion International, Ltd. 268,000 39,684 * Hon Kwok Land Investment Co., Ltd. 572,535 94,362 Hong Kong Catering Management, Ltd. 512,000 48,785 * Hong Kong Construction Holdings, Ltd. 970,000 61,200 Hong Kong Ferry (Holdings) Co., Ltd. 671,300 674,212 * Hong Kong Parkview Group, Ltd. 1,130,000 72,750 * Hong Kong Pharmaceuticals Holdings, Ltd. 1,834,000 86,194 Hongkong Chinese, Ltd. 1,682,000 223,074 * Hop Hing Holdings, Ltd. 660,265 29,756 Hopson Development Holdings, Ltd. 936,000 154,266 * Hsin Chong Construction Group, Ltd. 1,569,658 66,697 * Hualing Holdings, Ltd. 1,344,000 59,704 * Hudson Holdings, Ltd. 256,000 4,615 * Hycomm Wireless, Ltd. 1,383,000 15,849 * I-China Holdings, Ltd. 854,000 3,409 IDT International, Ltd. 4,028,486 606,894 * IMI Global Holdings, Ltd. 91,600 20,758 * ITC Corp., Ltd. 466,157 23,409 * Innomaxx Biotechnology Group, Ltd. 1,794,000 102,794 * Interchina Holdings Co., Ltd. 2,640,000 186,961 * Inworld Group, Ltd. 2,036 12 K Wah International Holdings, Ltd. 3,009,831 430,180 K. Wah Construction Materials, Ltd. 2,404,949 185,799 * KPI Co., Ltd. 264,000 4,453 KTP Holdings, Ltd. 180,400 25,551 * Kader Holdings Co., Ltd. 545,600 11,662 Karrie International Holdings, Ltd. 488,000 152,376 Keck Seng Investments (Hong Kong), Ltd. 858,600 90,655 Kee-Shing Holdings Co., Ltd. 886,000 54,189 Kin Yat Hldgs 304,000 59,889 * King Fook Holdings, Ltd. 1,000,000 79,832 * King Pacific International Holdings, Ltd. 1,404,200 22,058 # Kingmaker Footwear Holdings, Ltd. 1,058,750 456,692 * Kong Sun Holdings, Ltd. 2,198,000 6,792 Kowloon Development Co., Ltd. 604,000 443,299 * Kwong Sang Hong International, Ltd. 1,434,000 77,550 Kwoon Chung Bus Holdings, Ltd. 556,000 84,478 * Lai Sun Development Co., Ltd. 2,970,000 42,449 * Lai Sun Garment (International), Ltd. 2,325,000 58,377 * Lam Soon (Hong Kong), Ltd. 302,310 104,127 * Le Saunda Holdings, Ltd. 236,000 7,020 * Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 2,974 * Leaptek, Ltd. 193,000 994 Lerado Group (Holding) Co., Ltd. 580,000 113,516 * LifeTec Group, Ltd. 1,383,000 16,561 * Lippo, Ltd. 1,074,760 164,681 Liu Chong Hing Investment, Ltd. 635,200 445,751 Luks Industrial Group, Ltd. 645,555 101,409 Lung Kee (Bermuda) Holdings, Ltd. 857,500 449,932 * Mae Holdings, Ltd. 2,220,000 5,431 * Magnificent Estates, Ltd. 2,368,000 13,721 * Magnum International Holdings, Ltd. 300,000 $ 3,283 Mainland Headwear Holdings, Ltd. 226,000 75,660 * Mansion House Group, Ltd. 600,000 23,177 * Matrix Holdings, Ltd. 402,000 96,277 * Mei Ah Entertainment Group, Ltd. 1,142,000 36,026 Melbourne Enterprises, Ltd. 45,500 176,931 Midland Realty (Holding), Ltd. 860,000 189,356 * Millennium Group, Ltd. 928,000 21,508 * Min Xin Holdings, Ltd. 753,200 116,380 * Morning Star Resources, Ltd. 1,845,000 15,917 Moulin International Holdings, Ltd. 699,274 549,240 Nanyang Holdings, Ltd. 137,500 123,933 * National Electronics Holdings, Ltd. 2,156,000 69,402 * New China Merchants Dichain 3,520,000 63,907 New Island Printing Holdings, Ltd. 176,000 14,957 * New World China Land, Ltd. 702,800 157,459 * New World Cyberbase, Ltd. 25,220 130 *# New World Infrastructure, Ltd. 1,065,400 181,081 * Newocean Green Energy Holdings, Ltd. 3,931,200 65,298 # Ngai Lik Industrial Holdings, Ltd. 1,556,000 651,146 * Onfem Holdings, Ltd. 1,266,000 81,506 Orient Power Holdings, Ltd. 360,000 50,989 * Oriental Metals Holdings Co., Ltd. 1,237,800 47,814 Oriental Watch Holdings, Ltd. 134,000 28,814 Pacific Andes International Holdings, Ltd. 888,000 160,076 Pacific Century Insurance Holdings, Ltd. 1,026,000 396,327 * Pacific Plywood Holdings, Ltd. 4,430,000 11,408 Paul Y. ITC Construction Holdings, Ltd. 520,000 48,208 Peace Mark Holdings, Ltd. 1,105,315 142,322 Pegasus International Holdings, Ltd. 226,000 31,719 Perfectech International Holdings, Ltd. 571,450 49,299 Pico Far East Holdings, Ltd. 1,190,000 62,056 Playmates Holdings, Ltd. 1,585,000 334,702 Pokfulam Development Co., Ltd. 234,000 61,767 * Poly Investments Holdings, Ltd. 2,670,000 56,726 Prime Success International Group, Ltd. 768,000 30,161 # Proview International Holdings, Ltd. 944,000 249,179 *# QPL International Holdings, Ltd. 1,191,000 467,732 Quality Healthcare Asia, Ltd. 1,338,000 38,591 * Rainbow International Holdings, Ltd. 2,036 20 Raymond Industrial, Ltd. 605,400 189,034 * Regal Hotels International Holdings, Ltd. 9,400,000 160,977 * Rexcapital International Holdings, Ltd. 1,272,905 27,863 * Riche Multi-Media Holdings, Ltd. 706,000 268,171 * Rivera Holdings, Ltd. 3,620,000 107,673 * Riverhill Holdings, Ltd. 2,036 28 Road King Infrastructure, Ltd. 449,000 323,757 Roadshow Holdings, Ltd. 1,456,000 194,975 S.A.S.Dragon Holdings, Ltd. 1,696,000 163,784 SA SA International Holdings, Ltd. 1,614,000 363,686 * SEEC Media Group, Ltd. 1,692,000 93,682 SNP Leefung Holdings, Ltd. 144,000 24,104 Safety Godown Co., Ltd. 408,000 147,097 Saint Honore Holdings, Ltd. 128,000 16,811 San Miguel Brewery Hong Kong, Ltd. 612,800 153,076 Sea Holdings, Ltd. 832,000 176,763
93
SHARES VALUE+ ------ ------ * Seapower Resources International, Ltd. 2,528,000 $ 8,789 Shanghai Allied Cement, Ltd. 356,080 25,217 * Shanghai Century Holdings, Ltd. 5,242,000 127,569 * Shanghai Land Holdings, Ltd. 1,464,000 65,035 Shanghai Real Estates, Ltd. 1,692,000 124,183 Shaw Brothers Hong Kong, Ltd. 237,000 262,441 Shell Electric Manufacturing (Holdings) Co., Ltd. 553,792 136,909 Shenyin Wanguo (Hong Kong), Ltd. 847,500 102,578 * Shenzhen International Holdings, Ltd. 6,187,500 258,931 Shougang Concord Century Holdings, Ltd. 1,292,000 187,986 * Shougang Concord Grand (Group), Ltd. 1,701,000 135,794 * Shougang Concord International Enterprises Co., Ltd. 4,166,000 219,932 * Shougang Concord Technology Holdings, Ltd. 1,647,914 227,041 * Shui On Construction & Materials, Ltd. 282,000 397,602 * Shun Ho Resources Holdings, Ltd. 483,000 14,864 * Shun Ho Technology Holdings, Ltd. 1,037,452 29,388 Silver Grant International Industries, Ltd. 2,087,000 228,416 * Sincere Co., Ltd. 505,500 18,550 Singamas Container Holdings, Ltd. 838,000 445,096 * Sinocan Holdings, Ltd. 350,000 1,758 * Sino-i Technology, Ltd. 19,383,158 509,143 Sinolink Worldwide Holdings, Ltd. 2,314,000 274,117 Sinopec Kantons Holdings, Ltd. 1,296,000 185,231 * Skynet (International Group) Holdings, Ltd. 244,240 314 * Softbank Investment International (Strategic), Ltd. 1,434,000 16,618 * Solartech New Shares 49,600 3,640 * South China Brokerage Co., Ltd. 4,872,000 28,230 * South China Industries, Ltd. 1,124,000 30,393 Southeast Asia Properties & Finance, Ltd. 263,538 39,363 Starlight International Holdings, Ltd. (New) 1,311,292 209,366 Starlite Holdings, Ltd. 336,000 35,909 * Stelux Holdings International, Ltd. 1,307,702 45,463 * Styland Holdings, Ltd. 101,808 328 Sun Hing Vision Group Holdings, Ltd. 206,000 78,911 Sun Hung Kai & Co., Ltd. 2,048,600 458,978 * Sun Innovation Holdings, Ltd. 1,420,360 2,926 * Sun Media Group Holdings, Ltd. 9,814,000 37,910 * Sunday Communications, Ltd. 4,441,000 174,408 # Sunway International Holdings, Ltd. 866,000 40,700 * Suwa International Holdings, Ltd. 1,062,000 42,391 * TCC International Holdings, Ltd. 678,000 104,760 * Tack Hsin Holdings, Ltd. 542,000 10,468 Tai Cheung Holdings, Ltd. 1,013,000 319,566 Tai Fook Securities Group, Ltd. 590,000 74,450 Tai Sang Land Development, Ltd. 471,984 120,331 Tak Sing Alliance Holdings, Ltd. 2,909,865 104,910 # Tan Chong International, Ltd. 666,000 124,345 * Termbray Industries International (Holdings), Ltd. 2,304,900 118,713 Tern Properties Co., Ltd. 61,200 12,214 * The Sun's Group, Ltd. 17,004,000 21,895 * Tian An China Investments Co., Ltd. 9,795,750 $ 237,127 Tian Teck Land, Ltd. 1,098,000 328,708 # Tianjin Development Holdings, Ltd. 846,000 400,325 * Titan (Holdings), Ltd. 4,900,000 201,898 * Tomorrow International Holdings, Ltd. New 165,000 20,821 # Top Form International, Ltd. 1,586,000 238,932 Tristate Holdings, Ltd. 138,000 32,873 Truly International Holdings, Ltd. 1,014,000 940,060 Tungtex (Holdings) Co., Ltd. 788,000 306,928 * Tysan Holdings, Ltd. 1,040,773 23,050 * U-Cyber Technology Holdings, Ltd. 432,800 10,644 U-Right International Holdings, Ltd. 896,000 48,455 USI Holdings, Ltd. 928,999 101,676 * United Power Investment, Ltd. 1,664,000 28,925 * Universal Holdings Ltd. 2,770,000 11,413 * Universe International Holdings, Ltd. 573,339 13,879 Van Shung Chong Holdings, Ltd. 359,335 84,209 * Vanda Systems & Communications Holdings, Ltd. 1,920,000 212,611 # Varitronix International, Ltd. 276,344 291,776 Veeko International Holdings, Ltd. 1,420,000 32,546 Victory City International Holdings, Ltd. 509,613 231,305 Vitasoy International Holdings, Ltd. 1,033,000 264,691 * Wah Ha Realty Co., Ltd. 278,600 47,352 * Wah Nam International 38,696 1,246 Wai Kee Holdings, Ltd. 1,265,738 161,348 * Wang ON Group Ltd New 46,440 5,083 Wellnet Holdings, Ltd. 2,059,200 159,087 * Winfoong International, Ltd. 1,210,000 26,019 Wing On Co. International, Ltd. 565,000 451,051 Wing Shan International, Ltd. 896,000 49,032 * Winsan China Investment Group, Ltd. 1,296,000 10,847 Wong's International (Holdings), Ltd. 400,641 60,357 * Wonson International Holdings, Ltd. 4,040,000 12,485 World Houseware (Holdings), Ltd. 605,700 25,737 * Xinao Gas Holdings, Ltd. 1,094,000 584,589 Y. T. Realty Group, Ltd. 965,000 55,915 YGM Trading, Ltd. 228,000 130,641 Yangtzekiang Garment Manufacturing Co., Ltd. 405,000 85,523 * Yanion International Holdings, Ltd. 118,000 6,229 * Yaohan International Holdings, Ltd. 974,000 0 * Yau Lee Holdings, Ltd. 534,000 18,565 * Yip's Chemical Holdings, Ltd. 372,000 87,177 * Yugang International, Ltd. 11,916,000 90,525 * Yunnan Enterprises Holdings, Ltd. 240,000 14,524 * Zhu Kuan Development Co., Ltd. 646,000 28,281 * e-New Media Co., Ltd. 320,000 10,054 * eSun Holdings, Ltd. 653,600 19,777 ----------------- TOTAL COMMON STOCKS (Cost $65,181,292) 43,828,366 ----------------- RIGHTS/WARRANTS -- (0.0%) * Allied Properties, Ltd. Warrants 12/06/04 80,260 0 * Applied China, Ltd. Warrants 04/30/04 207,250 267 * Climax International Co., Ltd. Warrants 02/08/04 11,200 14 * Goldbond Group Holdings, Ltd. Rights 12/15/03 399,600 5,145 -----------------
94
SHARES VALUE+ ------ ------ TOTAL RIGHTS/WARRANTS (Cost $100,548) $ 5,426 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars (Cost $2,086) 2,086 ----------------- TOTAL -- HONG KONG (Cost $65,283,926) 43,835,878 ----------------- NEW ZEALAND -- (9.3%) COMMON STOCKS -- (9.3%) * AFFCO Holdings, Ltd. 1,640,950 241,168 CDL Hotels NZ, Ltd. 1,243,344 317,796 CDL Investments NZ, Ltd. 286,445 53,081 Cavalier Corp., Ltd. 249,212 883,810 Colonial Motor Co., Ltd. 93,695 170,032 * Cue Energy Resources NL 452,354 16,476 DB Breweries, Ltd. 312,589 1,557,991 Ebos Group, Ltd. 82,808 169,324 * Evergreen Forests, Ltd. 323,301 92,964 * Fletcher Challenge Forests, Ltd. 475,200 397,781 Hallenstein Glassons Holdings, Ltd. 206,438 397,057 Hellaby Holdings, Ltd. 179,079 550,410 Horizon Energy Distribution, Ltd. 40,420 92,465 * Kingsgate International Corp., Ltd. 479,679 73,563 * Met Lifecare, Ltd. 234,168 329,190 # Michael Hill International, Ltd. 137,246 403,417 * New Zealand Oil & Gas, Ltd. 420,122 96,644 New Zealand Refining Co., Ltd. 72,719 760,200 Northland Port Corp. (New Zealand), Ltd. 219,997 411,890 Nuplex Industries, Ltd. 229,674 610,523 * Pacific Retail Group, Ltd. 194,156 303,958 Port of Tauranga, Ltd. 541,952 1,423,310 Powerco, Ltd. 728,453 837,859 * Provenco Group, Ltd. 281,600 79,174 Pyne Gould Guinness, Ltd. 146,734 117,203 Restaurant Brand New Zealand, Ltd. 369,175 261,850 * Richina Pacific, Ltd. 274,644 59,669 * Rubicon, Ltd. 395,021 194,360 * Ryman Healthcare Group, Ltd. 300,000 406,400 Sanford, Ltd. 340,412 1,161,563 Scott Technology, Ltd. 54,083 115,772 * Seafresh Fisheries 80,520 1,441 * Sky City Leisure, Ltd. 15,236 10,904 South Port New Zealand, Ltd. 30,744 28,486 Steel & Tube Holdings, Ltd. 303,825 722,210 * Tasman Farms 157,056 0 Taylors Group, Ltd. 29,646 42,244 Tourism Holdings, Ltd. 278,652 254,621 * Trans Tasman Properties, Ltd. 1,921,308 441,973 *# Tranz Rail Holdings, Ltd. 674,271 641,974 Waste Management NZ, Ltd. 349,572 862,225 Williams & Kettle, Ltd. 38,372 118,674 Wrightson, Ltd. 478,020 415,415 ----------------- TOTAL COMMON STOCKS (Cost $12,215,156) 16,127,067 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar (Cost $17,682) 17,615 ----------------- TOTAL -- NEW ZEALAND (Cost $12,232,838) $ 16,144,682 ----------------- UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * Exergy, Inc. (Cost $0) 7,260 0 ----------------- MALAYSIA -- (0.1%) COMMON STOCKS -- (0.1%) * Autoways Holdings Berhad 10,000 3,395 * Promet Berhad 1,143,000 87,229 * RNC Corp. Berhad 33,000 3,561 * Rekapacific Berhad 473,000 0 * Saship Holdings Berhad 223,520 52,351 * Versatile Creative Berhad 3,000 6,947 * Wing Tiek Holdings Berhad 95,800 22,437 ----------------- TOTAL COMMON STOCKS (Cost $1,278,766) 175,920 ----------------- RIGHTS/WARRANTS -- (0.0%) * Versatile Creative Rights Pay Date Open (Cost $0) 6,000 0 ----------------- TOTAL -- MALAYSIA (Cost $1,278,766) 175,920 ----------------- JAPAN -- (0.0%) COMMON STOCKS -- (0.0%) * Sansui Electric Co., Ltd. (Cost $25,906) 252,000 50,621 ----------------- FACE AMOUNT VALUE+ ------ ------ (000) TEMPORARY CASH INVESTMENTS -- (11.3%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $2,785,000 FHLB Notes 1.875%, 02/15/05, valued at $2,805,888) to be repurchased at $2,764,189 (Cost $2,764,000) $ 2,764 2,764,000 Repurchase agreements in a Pooled Cash Account, Mizuho Securities USA, 1.05%, 12/01/03 (Collateralized by $17,176,000 U.S. Treasury Obligations, rates ranging from 2.625% to 4.25%, maturities ranging from 11/15/06 to 11/15/13, valued at $16,983,984) to be repurchased at $16,985,470 (Cost $16,983,984)^ 16,984 16,983,984 ----------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $19,747,984) 19,747,984 ----------------- TOTAL INVESTMENTS -- (100.0%) (Cost $188,618,906)++ $ 174,032,722 =================
+ See Note B to Financial Statements. ^ Security purchased with cash proceeds from securities on loan * Non-Income Producing Securities # Total or Partial Securities on Loan ++ The cost for federal income tax purposes is $189,625,204. 95 THE UNITED KINGDOM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ UNITED KINGDOM -- (98.0%) COMMON STOCKS -- (96.7%) 4imprint P.L.C. 50,375 $ 72,776 600 Group P.L.C. 100,910 105,433 AEA Technology P.L.C. 31,245 137,567 AGA Food Service Group P.L.C. 76,000 306,515 AIM Group P.L.C. 32,063 51,008 * API Group P.L.C. 51,500 62,887 Abacus Group P.L.C. 75,000 303,127 Abbeycrest P.L.C. 42,590 49,443 Abbot Group P.L.C. 103,595 302,889 Aberdeen Asset Management P.L.C. 100,000 141,029 * Aberdeen Asset Management P.L.C. 125,050 161,302 Acal P.L.C. 13,671 112,271 * Acambis P.L.C. 61,000 323,653 * Adam & Harvey Group P.L.C. 10,500 361 * Advanced Medical Solutions P.L.C. 29,802 4,997 * Advanced Power Components, Ltd. 47,871 15,026 Aggreko P.L.C. 158,000 379,076 * Airflow Streamlines P.L.C. 20,500 20,097 Airsprung Furniture Group P.L.C. 58,000 69,827 Alba P.L.C. 105,025 1,106,353 Alexandra P.L.C. 86,243 128,303 Alexon Group P.L.C. 116,632 586,731 Alpha Airports Group P.L.C. 392,541 509,715 Alphameric P.L.C. 172,688 259,876 Alumasc Group P.L.C. 100,245 274,129 Alvis P.L.C. 191,010 584,751 Amberley Group P.L.C. 200,000 26,658 Amstrad P.L.C. 149,652 343,605 * Anglesey Mining P.L.C. 55,000 2,483 Anglo Eastern Plantations P.L.C. 57,166 145,019 * Anite Group P.L.C. 250,000 211,759 * Antisoma P.L.C. 163,333 110,258 * Applied Optical Technologies P.L.C. 75,383 34,681 * Arena Leisure P.L.C. 350,516 244,151 * Argonaut Games, Ltd. 100,000 12,039 Arla Foods UK P.L.C. 742,432 549,061 * Arm Holdings P.L.C. 127,000 262,108 Arriva P.L.C. 37,770 249,769 Ashtenne Holdings P.L.C. 50,000 261,850 Atkins Ws P.L.C. 63,000 475,664 Austin Reed Group P.L.C. 68,999 166,137 Autologic Holdings P.L.C. 17,489 96,252 Avesco P.L.C. 29,998 72,488 Aveva Group P.L.C. 10,000 81,436 Avis Europe P.L.C. 362,720 673,737 Avon Rubber P.L.C. 25,041 94,963 * Axis-Shield P.L.C. 58,284 164,395 Axon Group P.L.C. 19,756 45,870 * BNB Resources P.L.C. 49,000 19,172 BPP Holdings P.L.C. 106,500 523,855 BSS Group P.L.C. 47,905 463,445 * BTG P.L.C. 51,000 171,041 BWD Securities P.L.C. 10,951 91,346 Babcock International Group P.L.C. 310,464 688,805 Baggeridge Brick P.L.C. 98,000 225,853 * Bailey (C.H.) P.L.C. 109,500 $ 12,712 * Bailey (C.H.) P.L.C. Class B 10,000 4,902 Barr (A.G.) P.L.C. 43,000 441,877 Beattie (James) P.L.C. 132,247 295,682 Bellway P.L.C. 93,000 1,087,645 Ben Bailey P.L.C. 26,000 152,484 Benchmark Group P.L.C. 36,513 152,598 Bespak P.L.C. 55,918 420,751 * Biocompatibles International P.L.C. 12,430 35,915 Biotrace International P.L.C. 75,000 179,941 Birse Group P.L.C. 421,901 110,656 Black Arrow Group P.L.C. 56,500 60,247 Blacks Leisure Group P.L.C. 60,959 359,082 * Blagden Industries P.L.C. 131,092 0 Blick P.L.C. 68,555 275,899 Bloomsbury Publishing P.L.C. 62,525 281,203 Body Shop International P.L.C. 194,000 407,058 Bodycote International P.L.C. 159,058 456,843 * Boosey & Hawkes P.L.C. 35,500 131,269 Boot (Henry) P.L.C. 47,000 270,793 Bovis Homes Group P.L.C. 72,000 539,282 * Bradstock Group P.L.C. 5,200 3,935 Brammer (H.) P.L.C. 119,123 323,704 Brewin Dolphin Holdings P.L.C. 219,762 326,937 Bristol Water Holdings P.L.C. 60,000 300,805 * Britannic P.L.C. 121,800 557,217 British Polythene Industries P.L.C. 56,740 291,780 British Vita P.L.C. 125,600 561,640 Brixton P.L.C. 151,200 652,711 * Brown & Jackson P.L.C. 296,819 484,965 Brown (N) Group P.L.C. 173,480 325,215 Burndene Investments P.L.C. 175,001 230,249 Burtonwood Brewery P.L.C. 38,000 216,325 Business Post Group P.L.C. 56,000 482,526 CD Bramall P.L.C. 68,166 524,633 * CLS Holdings P.L.C. 122,907 573,907 CML Microsystems P.L.C. 28,361 129,991 Caffyns P.L.C. 6,000 60,883 * Cairn Energy P.L.C. 92,636 632,507 * Cammell Laird Holdings P.L.C. 256,158 26,434 Capital & Regional P.L.C. 26,432 176,383 Capital Radio P.L.C. 48,810 393,710 Carclo P.L.C. 100,463 67,385 Care UK P.L.C. 64,835 292,708 Carillion P.L.C. 125,317 302,818 * Carlisle Holdings, Ltd. 8,709 51,675 Carpetright P.L.C. 102,500 1,323,911 Carr's Milling Industries P.L.C. 19,000 100,973 Castings P.L.C. 79,000 244,565 * Cenes Pharmaceuticals P.L.C. 298,612 44,938 Chamberlin & Hill P.L.C. 18,000 53,402 Chapelthorpe P.L.C. 617,618 172,611 Charles Taylor Consulting P.L.C. 66,743 324,853 * Charter P.L.C. 88,743 158,731 * Che Group P.L.C. 51,533 34,566 Chelsfield P.L.C. 53,402 290,228 Chemring Group P.L.C. 49,000 322,346 * Chime Communications P.L.C. 71,838 40,154
96
SHARES VALUE+ ------ ------ Chloride Group P.L.C. 485,500 $ 413,323 Christie Group P.L.C. 53,263 61,834 Chrysalis Group P.L.C. 268,082 987,833 Churchill China P.L.C. 30,000 93,389 City Centre Restaurants P.L.C. 174,871 221,807 Clarkson (Horace) P.L.C. 44,733 326,204 * Clinical Computing P.L.C. 46,666 34,110 Clinton Cards P.L.C. 433,380 682,001 Colefax Group P.L.C. 60,000 87,713 Collins Stewart Tullett P.L.C. 31,538 244,085 * Colt Telecom Group P.L.C. 257,000 432,061 Communisis P.L.C. 237,134 373,173 Compel Group P.L.C. 5,000 6,321 Computacenter P.L.C. 51,000 413,568 * Cookson Group P.L.C. 1,172,068 735,768 Coral Products P.L.C. 50,000 47,726 * Corporate Services Group P.L.C. 246,600 45,063 Cosalt P.L.C. 30,700 193,512 Countryside Property P.L.C. 94,086 292,886 Countrywide Assured Group P.L.C. 202,374 491,630 Courts P.L.C. 110,722 521,771 * Cox Insurance Holdings P.L.C. 244,666 313,491 Cranswick P.L.C. 19,532 104,976 Crest Nicholson P.L.C. 267,250 1,374,308 Creston P.L.C. 6,250 12,308 Croda International P.L.C. 79,635 362,948 Cropper (James) P.L.C. 22,000 62,431 * Culver Holdings P.L.C. 338 90 * DCS Group P.L.C. 10,000 2,365 DFS Furniture Co. P.L.C. 66,300 431,023 DTZ Holdings P.L.C. 114,500 243,202 Daejan Holdings P.L.C. 25,000 809,413 Dairy Crest Group P.L.C. 76,000 612,376 * Dana Petroleum P.L.C. 33,333 128,702 * Danka Business Systems P.L.C. 15,000 11,609 Dart Group P.L.C. 74,000 164,179 Davis Service Group P.L.C. 80,878 497,976 * Dawson International P.L.C. 100,688 22,512 De la Rue P.L.C. 112,000 556,687 DeVere Group P.L.C. 69,600 466,841 Dechra Pharmaceiticals P.L.C. 50,000 107,062 Delta P.L.C. 200,000 283,778 Deltron Electronics P.L.C. 8,621 9,119 * Deltron Electronics P.L.C (Rfd Issue Line) 718 759 * Densitron International P.L.C. 74,175 23,282 Derwent Valley Holdings P.L.C. 90,000 1,157,815 Development Securities P.L.C. 50,000 306,137 Devro P.L.C. 180,143 281,938 Dewhurst P.L.C. 9,000 17,801 Dewhurst P.L.C. Class A Non-Voting 15,500 25,458 Diagonal P.L.C. 34,200 27,939 * Dickinson Legg Group P.L.C. 11,935 6,620 Dicom Group P.L.C. 30,000 372,781 * Dimension Data Holdings P.L.C. 832,000 529,444 Diploma P.L.C. 22,648 176,840 Domestic & General Group P.L.C. 17,223 159,214 Domino Printing Sciences P.L.C. 355,935 1,049,857 Domnick Hunter Group P.L.C. 30,000 210,254 * Dowding & Mills P.L.C. 336,440 56,417 Dyson Group P.L.C. 42,750 197,781 East Surrey Holdings P.L.C. 36,800 $ 192,405 * Easynet Group P.L.C. 75,000 154,788 * Ebookers P.L.C. 37,800 281,823 * Eidos P.L.C. 55,300 137,194 Eldridge Pope & Co. P.L.C. 25,000 72,449 Eleco P.L.C. 104,685 57,614 Electronic Data Processing P.L.C. 55,200 67,880 * Emess P.L.C. 288,250 50,195 Ennstone P.L.C. 295,323 198,087 * Enodis P.L.C. 275,329 404,868 Eurocopy P.L.C. 41,051 25,770 * Eurodis Electron P.L.C. 188,125 47,724 Euromoney Institutional Investors P.L.C. 65,000 428,161 European Colour P.L.C. 82,090 24,707 European Motor Holdings P.L.C. 118,325 349,008 * European Telecom P.L.C. 7,000 361 * Evans of Leeds Contingent Units P.L.C. 80,000 0 Expro International Group P.L.C. 54,966 224,519 * FII Group P.L.C. 41,166 4,779 FKI P.L.C. 360,000 681,068 Fenner P.L.C. 92,146 141,046 * Ferguson International Holdings P.L.C. 89,105 53,637 Ferraris Group P.L.C. 10,800 27,119 * Fibernet Group P.L.C. 45,339 79,147 Filtronic P.L.C. 4,138 31,385 Financial Objects P.L.C. 7,000 3,251 Findel P.L.C. 142,288 714,572 First Choice Holidays P.L.C. 325,535 750,236 First Technology P.L.C. 117,111 596,190 Fisher (James) & Sons P.L.C. 76,000 333,310 Forminster P.L.C. 43,333 21,613 Forth Ports P.L.C. 140,161 2,386,478 Fortress Holdings P.L.C. 120,728 54,505 Freeport Leisure P.L.C. 25,814 166,932 French Connection Group P.L.C. 25,000 723,634 Fuller, Smith & Turner P.L.C. Series A 20,000 203,804 Fulmar P.L.C. 107,500 146,984 * Future Network P.L.C. 315,000 342,662 GB Group P.L.C. 250,000 102,117 GWR Group P.L.C. 80,700 371,272 Galliford Try P.L.C. 517,870 380,761 Game Group P.L.C. 275,000 297,967 Games Workshop Group P.L.C. 13,519 167,406 Gaming International P.L.C. 14,000 8,789 * Garton Engineering P.L.C. 10,248 0 * Gaskell P.L.C. 36,000 13,931 Geest P.L.C. 75,278 647,341 Gibbs & Dandy P.L.C. 4,500 52,628 Gleeson (M.J.) Group P.L.C. 22,471 482,123 * Glotel P.L.C. 15,300 26,972 Go-Ahead Group P.L.C. 40,000 692,419 Goldshield Group P.L.C. 14,400 48,294 Gowrings P.L.C. 5,000 5,289 Grainger Trust, Ltd. 22,000 565,286 Great Portland Estates P.L.C. 125,900 524,006 Greene King P.L.C. 44,162 635,345 * Greenwich Resources P.L.C. 438,664 15,089 Greggs P.L.C. 26,000 1,436,743
97
SHARES VALUE+ ------ ------ Guiness Peat Group P.L.C. 176,171 $ 198,459 * Gyrus Group P.L.C. 55,072 156,756 Halma P.L.C. 227,000 530,958 Halstead (James) Group P.L.C. 52,208 305,289 * Hampson Industries P.L.C. 105,886 25,040 * Hampton Trust P.L.C. 232,050 14,966 Hardys & Hansons P.L.C. 48,000 355,806 * Hartstone Group P.L.C. 240,263 3,926 * Harvey Nash Group P.L.C. 183,750 252,821 Havelock Europa P.L.C. 27,660 38,295 * Hawtin P.L.C. 196,500 28,726 Haynes Publishing Group P.L.C. 14,703 82,183 Headlam Group P.L.C. 152,974 861,636 Heath (Samuel) & Sons P.L.C. 7,500 45,792 Helical Bar P.L.C. 35,000 452,970 Helphire Group P.L.C. 149,600 536,454 Henlys Group P.L.C. 133,303 206,337 Heywood Williams Group P.L.C. 140,400 201,627 Highbury House Communications P.L.C. 439,166 185,050 Highway Insurance Holdings P.L.C. 204,751 136,456 Hill & Smith Holdings P.L.C. 86,850 143,396 Hiscox P.L.C. 171,500 418,102 Hit Entertainment P.L.C. 119,691 551,171 Hitachi Capital (UK) P.L.C. 53,912 192,397 Holidaybreak P.L.C. 92,974 879,467 Homestyle Group P.L.C. 45,692 100,588 * Hornby P.L.C. 10,000 193,055 House of Fraser P.L.C. 371,650 624,807 Hunting P.L.C. 223,174 376,153 Huntleigh Technology P.L.C. 24,925 110,384 * Huntsworth P.L.C. 108,000 39,007 * Hyder Consulting P.L.C. 16,308 32,675 * IAF Group P.L.C. 30,000 3,741 IFX Group P.L.C. 34,486 71,767 * IMS Group P.L.C. 75,000 5,805 * IQE P.L.C. 132,400 40,988 ISIS Asset Management P.L.C. 88,039 355,826 * Imagination Technologies Group P.L.C. 189,698 215,329 Incepta Group P.L.C. 85,443 159,442 Inchcape P.L.C. 20,000 432,031 * Industrial & Commercial Holdings P.L.C. 5,000 129 Infast Group P.L.C. 301,224 129,516 Informa Group P.L.C. 81,229 394,661 * Intec Telecom Systems P.L.C. 100,000 118,671 Intelek P.L.C. 99,880 18,896 Intserve P.L.C. 144,534 626,420 Invensys P.L.C. 489,000 168,203 * Inveresk P.L.C. 150,000 47,081 Isoft Group P.L.C. 76,540 447,572 Isotron P.L.C. 50,325 380,830 Ite Group P.L.C. 247,186 201,935 Itnet P.L.C. 36,278 190,612 JJB Sports P.L.C. 145,000 666,470 JKX Oil and Gas P.L.C. 220,533 162,145 Jarvis Hotels P.L.C. 215,318 553,626 Jarvis P.L.C. 193,379 718,387 * Jarvis Porter Group P.L.C. 99,894 33,502 John David Group P.L.C. 114,500 324,926 Johnson Service Group P.L.C. 125,535 $ 747,027 Johnston Group P.L.C. 26,000 143,764 Joseph (Leopold) Holdings P.L.C. 14,000 207,072 KBC Advanced Technologies P.L.C. 25,000 15,909 * Kalamazoo Computer Group P.L.C. 56,120 2,654 Keller Group P.L.C. 123,128 489,175 Kensington Group P.L.C. 45,000 252,305 * Kewill Systems P.L.C. 10,000 9,803 Kidde P.L.C. 232,000 415,967 Kier Group P.L.C. 21,293 223,389 Kiln P.L.C. 200,000 316,456 * Kleeneze P.L.C. 84,300 213,128 * Knowledge Support Systems Group P.L.C. 25,000 344 Laing (John) P.L.C. 275,961 835,325 Laird Group P.L.C. 84,300 394,359 Lambert Howarth Group P.L.C. 25,200 113,119 * Laura Ashley Holdings P.L.C. 623,937 128,771 Lavendon Group P.L.C. 50,092 114,582 * Leeds United P.L.C. 66,000 2,696 Lincat Group P.L.C. 19,000 127,442 Linton Park P.L.C. 39,000 271,653 Linx Printing Technologies P.L.C. 27,000 173,440 Litho Supplies P.L.C. 20,000 15,995 London Bridge Software Holdings P.L.C. 157,269 131,184 * London Clubs International P.L.C. 144,646 187,823 London Merchant Securities P.L.C. 151,000 423,311 London Scottish Bank P.L.C. 263,000 554,098 Lookers P.L.C. 53,160 239,542 * Lorien P.L.C. 60,000 89,261 Low & Bonar P.L.C. 95,000 123,358 Luminar P.L.C. 43,000 294,708 * M.L. Laboratories P.L.C. 51,042 27,433 MFI Furniture Group P.L.C. 60,855 147,574 MS International P.L.C. 71,500 45,499 MSB International P.L.C. 16,000 22,427 Macfarlane Group P.L.C. 228,287 90,303 Macro 4 P.L.C. 42,500 89,175 Maiden Group P.L.C. 16,800 72,234 Mallett P.L.C. 24,837 115,121 Management Consulting Group P.L.C. 310,972 136,382 Manchester United P.L.C. 161,000 728,244 Manganese Bronze Holdings P.L.C. 32,184 100,464 * Marlborough Stirling P.L.C. 150,000 124,475 Marshalls P.L.C. 225,800 977,662 * Martin International Holdings P.L.C. 135,800 38,537 * Marylebone Warwick Balfour Group P.L.C. 73,345 68,433 Mayflower Corp. P.L.C. 550,636 298,312 McAlpine (Alfred) P.L.C. 196,111 951,987 McBride P.L.C. 40,000 89,777 McCarthy & Stone P.L.C. 194,968 1,679,949 McKay Securities P.L.C. 68,500 212,060 McLeod Russel Holdings P.L.C. 74,524 24,673 * Medical Solutions P.L.C. 126,658 106,195 * Medisys P.L.C. 150,134 32,276 Meggitt P.L.C. 160,633 646,466 Mentmore P.L.C. 236,561 362,100 Menzies (John) P.L.C. 57,314 315,432 * Merant P.L.C. 172,500 369,363
98
SHARES VALUE+ ------ ------ Merchant Retail Group P.L.C. 185,666 $ 542,846 Merrydown P.L.C. 59,927 83,999 Mersey Docks & Harbour Co. P.L.C. 50,170 547,483 Metal Bulletin P.L.C. 95,500 287,433 Metalrax Group P.L.C. 358,740 524,438 Mice Group P.L.C. 139,909 184,078 Michael Page International P.L.C. 225,000 726,537 * Microgen P.L.C. 52,770 38,572 Millennium and Copthorne Hotels P.L.C. 80,077 422,462 Minerva P.L.C. 94,000 342,735 Mitie Group P.L.C. 500,000 1,051,269 Molins P.L.C. 68,000 398,803 Monsoon P.L.C. 71,000 172,787 * Morgan Crucible Company P.L.C. 136,000 321,031 Morgan Sindall P.L.C. 66,000 407,506 Morse P.L.C. 36,866 85,279 Moss Brothers Group P.L.C. 163,400 158,077 Mowlem (John) & Co. P.L.C. 342,030 1,223,553 Mtl Instruments Group P.L.C. 4,348 12,339 Mucklow (A & J) Group P.L.C. 175,000 797,589 * My Travel Group P.L.C. 24,000 4,747 NHP P.L.C. 171,875 419,016 * NSB Retail P.L.C. 300,000 79,974 * NXT P.L.C. 26,935 45,861 National Express Group P.L.C. 25,000 262,602 Nestor Healthcare Group P.L.C. 180,200 976,249 New Look Group P.L.C. 107,041 573,000 Newcastle United P.L.C. 148,923 89,645 Nichols P.L.C. 66,550 156,234 Nord Anglia Education P.L.C. 5,000 18,704 * Nord Anglia Education RFD 454 1,659 Northamber P.L.C. 75,888 84,836 Northern Foods P.L.C. 41,000 97,310 * Northgate Information Solutions P.L.C. 342,029 301,475 Northgate P.L.C. 118,200 1,135,366 Novar P.L.C. 260,465 573,396 * OEM P.L.C. 12,000 8,771 * OM2000 P.L.C. 41,440 0 Ocean Wilsons Holdings, Ltd. 84,250 189,093 * Orbis P.L.C. 11,428 2,899 Ottakar's P.L.C. 30,000 183,424 Owen (H.R.) P.L.C. 34,000 102,332 * Oxford Biomedica, Ltd. 75,000 24,508 * Oxford Biomedica, Ltd. New Shares 40,500 13,234 Oxford Instruments P.L.C. 43,051 134,386 PHS Group P.L.C. 320,000 448,542 * PPL Therapeutics P.L.C. 43,529 3,369 PSD Group P.L.C. 43,500 211,350 PZ Cuzzons P.L.C. 22,000 411,668 * Pace Micro Technology P.L.C. 292,500 286,745 Paladin Resources P.L.C. 342,500 490,388 * Palmaris Capital P.L.C. 42,500 9,502 Paragon Group of Companies P.L.C. 70,000 382,542 Parity Group P.L.C. 241,406 50,860 Park Group P.L.C. 291,600 144,185 * Partridge Fine Arts P.L.C. 58,000 74,316 Pendragon P.L.C. 239,375 792,510 Penna Consulting P.L.C. 33,000 64,985 Peterhouse Group P.L.C. 85,427 192,469 * Pharmagene P.L.C. 160,000 $ 187,122 * Photo-Me International P.L.C. 235,620 417,392 * Phytopharm P.L.C. 32,600 126,152 Pillar Property P.L.C. 66,800 585,925 Pittards P.L.C. 60,985 63,456 Planit Holdings P.L.C. 235,000 97,001 * Plantation & General P.L.C. 70,623 20,041 * Plasmon P.L.C. 100,000 373,211 Portmeirion Group P.L.C. 22,856 70,757 Porvair P.L.C. 62,000 177,009 Premier Farnell P.L.C. 18,000 80,490 * Premier Oil P.L.C. 69,648 502,500 * Pressac P.L.C. 78,129 29,562 * Probus Estates P.L.C. 83,333 2,042 * Protherics P.L.C. 506,828 385,717 * Provalis P.L.C. 375,538 56,514 * Psion P.L.C. 257,200 343,927 * QA P.L.C. 79,475 7,176 * Queens Moat Houses P.L.C. 159,000 23,244 Quintain Estates & Development P.L.C. 108,350 633,582 * Qxl Ricardo P.L.C. 130 364 RAC P.L.C. 69,500 657,420 RM P.L.C. 45,490 113,835 * RMS Communications P.L.C. 15,000 0 ROK property solutions P.L.C. 57,501 234,874 RPC Group P.L.C. 43,400 139,581 RPS Group P.L.C. 192,594 524,181 Radamec Group P.L.C. 35,000 23,175 Radstone Technology P.L.C. 40,384 261,499 Ransom (William) & Son P.L.C. 30,000 19,349 * Redbus Imterhouse P.L.C. 137,500 18,032 Redrow P.L.C. 116,437 626,302 * Redstone P.L.C. 14,870 2,621 Reed Health Group P.L.C. 155,333 281,846 Reg Vardy P.L.C. 103,597 807,124 Regent Inns P.L.C. 158,468 220,761 Reliance Security Group P.L.C. 9,000 103,321 Renishaw P.L.C. 146,806 1,363,430 Renold P.L.C. 144,000 206,797 Ricardo P.L.C. 114,409 327,619 * Richmond Oil & Gas P.L.C. 220,000 0 * Robert Wiseman Dairies P.L.C. 40,000 176,458 Rotork P.L.C. 185,440 1,117,060 Roxboro Group P.L.C. 9,304 36,804 * Royal Doulton P.L.C. 240,000 19,607 Royalblue Group P.L.C. 47,200 385,594 Rutland Trust P.L.C. 174,255 104,144 S & U P.L.C. 21,140 176,336 SCS Upholstery P.L.C. 29,000 84,790 * SFI Group P.L.C. 26,713 14,242 SHL Group P.L.C. 41,650 64,111 SIG P.L.C. 103,200 532,471 SMG P.L.C. 185,295 345,771 SSL International P.L.C. 117,000 641,403 * Safeland P.L.C. 25,000 21,928 Salvesen (Christian) P.L.C. 183,157 192,154 Sanctuary Group P.L.C. 320,000 273,803 Savills P.L.C. 104,000 528,550 Scapa Group P.L.C. 44,337 21,351 * Scipher P.L.C. 34,563 5,350
99
SHARES VALUE+ ------ ------ Scottish & Newcastle P.L.C. 56,639 $ 357,501 Scottish Radio Holdings P.L.C. 19,200 268,299 Secure Trust Group P.L.C. 27,118 209,877 Securicor P.L.C. 328,750 497,558 Senior P.L.C. 122,900 72,395 Serco Group P.L.C. 77,859 236,011 * Servicepower Technologies P.L.C. 150,000 85,133 Severfield-Rowan P.L.C. 20,000 114,371 Shaftesbury P.L.C. 137,500 595,934 Shanks & McEwan Group P.L.C. 92,900 169,362 Shiloh P.L.C. 14,500 36,160 * ShopRite Group P.L.C. 204,780 47,546 Simon Group P.L.C. 348,089 257,427 Sinclair (William) Holdings P.L.C. 53,000 68,365 Singer & Friedlander Group P.L.C. 119,400 428,159 Sirdar P.L.C. 41,600 50,083 * Skyepharma P.L.C. 382,000 496,027 Smart (J.) & Co. (Contractors) P.L.C. 22,500 191,550 * Smart Approach Group P.L.C. 251,985 7,476 Smith (David S.) Holdings P.L.C. 200,000 542,618 * Soco International P.L.C. 59,000 270,423 Somerfield P.L.C. 307,000 658,679 South Staff Water Holdings P.L.C. 108,000 1,033,675 Southampton Leisure Holdings P.L.C. 19,615 12,313 Spectris P.L.C. 76,760 561,733 Speedy Hire P.L.C. 50,000 316,026 Spirax-Sarco Engineering P.L.C. 91,811 885,045 * Spirent P.L.C. 584,137 663,061 * Sportech P.L.C. 435,000 134,666 Spring Group P.L.C. 169,495 335,235 * Springwood P.L.C. 37,500 5,482 St. Ives P.L.C. 63,000 429,073 St. Modwen Properties P.L.C. 74,800 332,550 Staffware P.L.C. 12,000 127,958 Stanley (Charles) Group P.L.C. 76,800 307,100 Stanley Leisure Organisation P.L.C. 224,954 1,528,220 * Sterling Publishing Group P.L.C. 75,298 17,159 Stylo P.L.C. 64,096 40,236 * Superscape P.L.C. 15,745 8,395 * Surfcontrol P.L.C. 7,000 98,239 Swallowfield P.L.C. 15,000 20,509 Sygen International P.L.C. 492,975 415,447 Syltone P.L.C. 50,400 157,760 * Synstar P.L.C. 143,000 178,307 TT Electronics P.L.C. 28,080 55,779 * Tadpole Technology P.L.C. 109,090 22,280 * Tandem Group P.L.C. 327,365 0 Tarsus Group P.L.C. 34,855 35,368 Taylor & Francis Group P.L.C. 52,600 492,130 Taylor Nelson AGB P.L.C. 109,000 389,928 Ted Baker P.L.C. 38,800 223,548 * Telecommunications Group P.L.C. 45,958 5,632 Telemetrix P.L.C. 165,708 404,694 * Telspec P.L.C. 25,000 7,309 * Terence Chapman Group P.L.C. 62,500 2,687 Tex Holdings P.L.C. 14,000 39,849 The Big Food Group P.L.C. 212,000 492,226 * The Innovation Group P.L.C. 940,000 335,460 The Malcolm Group P.L.C. 109,377 149,551 The Television Corp. P.L.C. 66,330 68,447 Thorntons P.L.C. 158,000 417,120 Thorpe (F.W.) P.L.C. 24,000 $ 73,886 * Thus Group P.L.C. 836,000 463,694 Tibbett & Britten Group P.L.C. 86,123 615,439 Tinsley (Eliza) Group P.L.C. 19,844 12,628 Topps Tiles P.L.C. 69,690 632,249 Tops Estates P.L.C. 30,088 126,264 Torex P.L.C. 73,041 741,163 * Torotrak P.L.C. 99,193 111,742 * Tottenham Hotspur P.L.C. 150,000 61,915 Town Centre Securities (New) P.L.C. 142,137 495,025 Trace Computers P.L.C. 33,552 42,413 Transport Development Group P.L.C. 19,782 65,493 Trifast P.L.C. 135,388 142,038 Tullow Oil P.L.C. 222,863 314,302 U.K. Coal P.L.C. 16,000 33,021 Ulster Television, Ltd. 115,602 748,558 Ultra Electronics Holdings P.L.C. 49,745 442,746 Ultraframe P.L.C. 60,200 255,216 Umeco P.L.C. 18,250 107,816 Uniq P.L.C. 20,000 70,171 Unite Group P.L.C. 103,051 275,599 Universal Salvage P.L.C. 14,255 30,278 VP P.L.C. 83,100 190,800 VT Group P.L.C. 100,375 390,148 * Vega Group P.L.C. 32,300 72,495 * Vernalis P.L.C. 54,179 73,613 * Vert (Jacques) P.L.C. 45,000 14,511 Victoria P.L.C. 12,000 75,537 Victrex P.L.C. 116,254 705,294 Vitec Group P.L.C. 15,242 89,391 * Volex Group P.L.C. 58,801 138,042 WSP Group P.L.C. 90,000 274,749 Wagon P.L.C. 65,292 192,022 * Walker Greenbank P.L.C. 53,105 12,558 Warner Estate Holdings P.L.C. 70,000 532,729 * Waterdorm P.L.C. 105,000 0 Waterman P.L.C. 74,473 93,501 Watermark Group P.L.C. 50,000 129,850 Weir Group P.L.C. 126,236 589,452 Wellington Holdings P.L.C. 9,000 16,408 Wembley P.L.C. 6,053 58,402 Westbury P.L.C. 202,522 1,328,807 * Weston Medical Group P.L.C. 50,200 2,158 Wetherspoon (J.D.) P.L.C. 127,358 590,858 Whatman P.L.C. 241,935 638,708 White Young Green P.L.C. 64,000 197,578 Whitehead Mann Group P.L.C. 95,000 517,121 Whittard of Chelsea P.L.C. 30,000 78,168 * Wiggins Group P.L.C. 1,148,266 93,806 Wilmington Group P.L.C. 28,692 48,113 Wilshaw P.L.C. 198,409 46,067 Wilson Bowden P.L.C. 7,000 117,381 Wintrust P.L.C. 22,500 192,518 Wolverhampton & Dudley Breweries P.L.C. 78,873 1,020,775 Woolworths Group P.L.C. 872,421 648,944 * Worthington Group P.L.C. 102,653 7,283 Wyevale Garden Centres P.L.C. 48,578 277,796 Wyndeham Press Group P.L.C. 73,066 122,522 * XAAR P.L.C. 18,405 15,352 XANSA P.L.C. 199,718 313,433
100
SHARES VALUE+ ------ ------ * Xenova Group P.L.C. 246,961 $ 47,783 Yates Group P.L.C. 24,765 41,102 * Yorkshire Group P.L.C. 82,504 9,578 Young & Co's Brewery P.L.C. 10,000 130,280 Young & Co's Brewery P.L.C. Class A 5,234 83,267 Yule Catto & Co. P.L.C. 86,284 375,445 Zotefoams P.L.C. 62,000 82,640 ----------------- TOTAL COMMON STOCKS (Cost $118,745,192) 158,950,507 ----------------- INVESTMENT IN CURRENCY -- (1.3%) * British Pound Sterling (Cost $2,095,175) 2,079,361 ----------------- RIGHTS/WARRANTS -- (0.0%) * Creston P.L.C. Warrants 03/31/04 1,000 0 * Letter of Entitlements - Audemars Piguet 90,242 0 * Xenova Group P.L.C. Rights 94,500 0 ----------------- TOTAL RIGHTS/WARRANTS (Cost $0) 0 ----------------- TOTAL -- UNITED KINGDOM (Cost $120,840,367) 161,029,868 ----------------- FACE AMOUNT ------ (000) TEMPORARY CASH INVESTMENTS -- (2.0%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $3,360,000 FHLB Notes 1.875%, 02/15/05, valued at $3,385,200) to be repurchased at $3,336,228 (Cost $3,336,000) $ 3,336 3,336,000 ----------------- TOTAL INVESTMENTS -- (100.0%) (Cost $124,176,367)++ $ 164,365,868 =================
---------- + See Note B to Financial Statements. @ Denominated in local currency or the Euro * Non-Income Producing Securities ++ The cost for federal income tax purposes is $124,619,319 See accompanying Notes to Financial Statements. 101 THE CONTINENTAL SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ FRANCE -- (13.4%) COMMON STOCKS -- (13.4%) Affine 1,100 $ 67,380 * Ales Groupe SA 1,900 67,234 Algeco SA 2,300 195,614 *# Alstom SA 95,700 197,315 * Altedia SA 2,800 44,775 * Alten SA 14,900 212,010 *# Altran Technologies SA 49,600 612,404 Apem SA 1,000 55,141 April Group SA 19,600 316,243 Arkopharma 4,300 220,356 Assystem SA 2,657 141,733 Aubay SA 5,700 25,759 * Audika SA 1,500 70,845 * Baccarat SA 1,090 104,594 Bacou-Dalloz 3,685 307,002 Bains de Mer et du Cercle des Etrangers a Monaco 4,615 984,716 Beneteau SA 9,200 473,995 * Berger Levrault SA 476 109,554 Boiron SA 15,200 327,971 Bonduelle SA 4,200 356,956 Bongrain SA 7,500 392,432 * Bricorama SA 2,679 134,878 Buffalo Grill SA 1,028 13,863 *# Bull SA 68,000 52,168 Burelle SA 4,030 390,333 * Business Objects SA 16,500 559,547 CEGID SA 4,500 360,337 CFCAL-Banque 840 249,215 CFF Recycling 10,576 830,390 * CS Communication et Systemes 4,983 125,976 * Camaieu SA 3,200 253,938 Carbone Lorraine 33,245 1,354,954 Cegedim SA 6,400 344,235 Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux SA 6,400 279,178 # Clarins SA 7,339 420,430 *# Club Mediterranee SA 10,200 403,980 Consortium International de Diffusion et de Representation Sante 600 9,170 * DMC (Dollfus Mieg et Cie) 6,230 44,360 * Damartex SA 22,900 477,369 Delachaux SA 1,000 87,387 Deveaux SA 1,040 105,344 Didot-Bottin 1,620 163,122 Dynaction SA 10,660 231,289 Eiffage SA 3,825 413,578 Electricite de Strasbourg 23,784 2,836,791 Elior 70,128 575,839 Entenial SA 2,800 163,458 Esso SA 3,200 355,014 Etam Developpement SA 5,600 160,437 Euler-Hermes SA 12,291 558,401 * Euro Disney SCA 517,400 310,110 Evialis SA 1,200 43,787 Exel Industries SA 1,800 $ 86,308 Explosifs et de Produits Chimiques 524 143,842 * FPEE SA 1,100 63,029 Faurecia SA 6,500 440,232 Fimalac SA 111,143 3,703,790 Fininfo SA 9,760 213,517 Fleury Michon SA 2,500 104,739 Fonciere Lyonnaise SA 9,596 379,598 France-Africaine de Recherches Petrolieres (Francarep) 4,250 405,019 Francois Freres (Tonnellerie) SA 2,050 41,653 * GCI (Groupe Chatellier Industrie SA) 7,258 870 GFI Informatique SA 23,400 210,376 * Gantois Series A 647 38,003 Gascogne SA 6,472 574,103 *# Gaumont 14,607 719,652 *# Generale de Geophysique SA 20,770 771,823 Generale de Sante 19,100 242,007 Generale Location SA 9,000 182,002 * Geodis SA 3,010 162,367 Gespac System 1,100 21,757 Gevelot 3,584 171,849 Gifi 3,200 207,907 * Ginger (Groupe Ingenierie Europe) 1,400 27,875 Grands Moulins de Strasbourg 110 37,580 Grandvision SA 7,000 183,261 # Groupe Bourbon SA 3,700 337,525 Groupe Crit 5,500 108,389 Groupe Guillin SA 1,200 96,737 Groupe Open SA 1,000 31,347 Groupe Steria 8,600 306,178 * Guitel 116 1,111 Guyenne et Gascogne SA 26,000 2,882,933 Havas SA 62,300 330,088 Hoteliere Lutetia Concorde 2,505 420,693 Hotels et Casinos de Deauville 2,055 699,600 Hyparlo SA 3,836 160,941 IDSUD 614 17,267 IMS International Metal Service SA 12,630 96,895 Industrielle et Financiere d'Entreprise SA 300 32,006 *# Infogrames Entertainment SA 58,300 368,297 Ingenico SA 61,820 944,841 * Ioltech SA 500 41,296 Ipsos SA 3,700 334,864 Kaufman et Broad SA 5,300 148,348 * Lafuma SA 793 53,993 Laurent-Perrier 3,100 107,394 * Lectra Systemes SA 19,192 157,361 Legris Industries SA 9,350 279,081 Lisi SA 6,845 237,543 * MGI Coutier SA 1,400 33,900 * MRM 1,424 18,794 Manitou SA 11,092 997,219 Manutan International SA 1,300 54,994 Marionnaud Parfumeries Retails Perfumes 8,271 319,747 * Matussiere et Forest SA 13,600 68,960
102
SHARES VALUE+ ------ ------ * Metaleurop SA 35,449 $ 22,947 Montupet SA 32,450 564,030 * Mr. Bricolage SA 5,200 151,970 Neopost SA 7,200 362,494 * Nexans 12,200 377,311 Norbert Dentressangle 6,320 254,552 Nord Est SA 21,507 1,124,050 * Oberthur Card Systems SA 36,000 249,431 * Oeneo 31,265 83,201 PSB Industries SA 1,240 144,926 * Passat SA 1,300 26,616 * Penauille Polyservices SA 10,200 166,043 * Petit Forestier SA 2,243 83,351 Pierre & Vacances 4,500 372,743 Pinguely-Haulotte SA 25,000 139,352 Plastic Omnium SA 15,423 709,936 Plastivaloire SA 900 26,540 Prosodie SA 3,600 82,856 * Radiall SA 1,340 88,989 Robertet SA 1,076 125,049 Rodriguez Group SA 6,600 350,483 Rougier SA 2,040 140,977 Rue Imperiale 14,432 2,802,599 SDR de Bretagne SA 714 18,410 SEB SA Prime Fidelite 2002 3,000 366,090 SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 12,256 778,653 SR Teleperformance 90,928 1,925,988 Sabeton 13,500 169,110 Samse SA 4,400 490,518 * Sasa Industries SA 1,000 27,511 * Saveurs de France-Brossard 900 25,353 *# Scor SA 72,300 276,470 Sechilienne-Sidec 2,200 249,347 Securidev SA 1,500 15,643 Selectibail 25,421 704,835 Signaux Girod SA 600 25,173 Skis Rossignol SA 41,668 727,749 Smoby SA 500 38,209 Societe du Louvre SA 6,305 506,383 * Societe Francais des Papiers Peints 400 4,416 Societe Industrielle D'Aviations Latecoere SA 2,900 73,871 Societe Pour L'Informatique Industrielle SA 1,000 32,845 * Solving International SA 2,100 25,677 Somfy Interational SA 22,900 3,686,641 Sophia SA 17,550 871,378 Sopra SA 6,900 313,065 Stallergenes SA 1,249 58,391 Ste Virbac SA 6,852 215,034 Stef-Tfe SA 332 27,062 Sucriere de Pithiviers-le-Vieil 1,825 1,093,836 * Sylis SA 4,700 29,635 Synergie SA 8,000 146,724 Taittinger SA 12,700 2,041,512 * Tessi SA 900 33,865 Touax (Touage Investissement SA) 10,378 202,156 * Transiciel SA 9,200 150,536 Trigano SA 5,500 225,282 * Ubi Soft Entertainment SA 8,500 $ 263,390 Unilog SA 6,320 340,463 # Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 31,700 2,449,072 * Valtech, La Defense 20,000 23,016 Viel et Compagnie 44,339 208,349 Vilmorin et Cie SA 2,349 288,338 Vivarte SA 8,299 375,545 Vranken Monopole 2,200 87,687 Zodiac SA 14,627 432,908 ----------------- TOTAL COMMON STOCKS (Cost $40,538,164) 64,910,990 ----------------- RIGHTS/WARRANTS -- (0.0%) * Alstom SA Rights 12/10/03 95,700 51,623 * Alstom SA Warrants 01/09/04 95,700 34,415 * Altran Technologies SA Rights 12/10/03 49,600 39,241 * Group Open Warrants 10/21/06 1,000 851 * Oeneo Warrants 08/26/06 14,365 4,649 * Prosodie SA Warrants 10/28/06 900 669 * Ubi Soft Entertainment SA Warrants 05/14/06 4,100 2,654 * Valtech, La Defense Warrants 07/29/05 20,000 1,199 ----------------- TOTAL RIGHTS/WARRANTS (Cost $38,786) 135,301 ----------------- TOTAL -- FRANCE (Cost $40,576,950) 65,046,291 ----------------- GERMANY -- (11.8%) COMMON STOCKS -- (11.8%) * AC-Service AG 4,300 29,123 AWD Holding AG 35,600 1,078,814 Aareal Bank AG 33,200 1,003,299 *# Acg AG Fuer Chipkarten und Informationssysteme 15,400 63,688 Ackermann-Goeggingen AG 8,100 150,500 * Adva AG Optical Networking 32,400 174,774 * Agrob AG 5,800 59,792 * Aigner (Etienne) AG 600 93,500 # Aixtron AG 61,400 376,105 Amadeus Fire AG 4,900 34,714 Andreae-Noris Zahn AG, Anzag 27,200 922,078 * Articon Integralis AG 7,900 37,406 * Atoss Software AG 3,700 73,049 * Augusta Technologie AG 3,200 12,927 # Ava Allgemeine Handelsgesellschaft der Verbraucher AG 30,800 1,007,566 * Baader Wertpapier Handelsbank AG 7,900 61,744 # Balda AG 31,600 251,142 *# Basler AG 3,200 42,387 # Beate Uhse AG 44,400 707,871 Bechtle AG 17,100 197,603 * Berliner Elektro Holding AG 13,861 111,324 Bertrandt AG 7,650 135,720 # Beru AG 9,400 569,035 * Beta Systems Software AG 2,850 30,747 Bilfinger & Berger Bau AG 34,600 1,111,553 * Biolitec AG 8,000 38,359
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SHARES VALUE+ ------ ------ * Biotest AG 2,400 $ 19,995 Boewe Systec AG 5,700 252,811 * Borussia Dortmund GMBH & Co. KGAA 21,650 94,986 * Brau und Brunnen AG 4,995 481,405 Bremer Energiekonto AG 14,700 37,709 * Bremer Woll-Kaemmerei AG 17,128 22,996 * CBB Holding AG 102,602 13,037 * CTS Eventim AG 14,800 145,477 * Ce Consumer Electrnic AG 21,600 69,910 * Ceag AG 20,670 218,043 Celanese AG 20,650 717,856 * Cenit AG Systemhaus 3,500 29,369 * Centrotec Hochleistungskunststoffe AG 4,900 58,150 Cewe Color Holding AG 5,600 124,859 * Comdirect Bank AG 73,000 653,676 * Computerlinks AG 4,600 73,614 * Condomi AG 1,800 4,164 * Curanum AG 21,500 53,607 * D. Logistics AG 28,000 75,520 * DAB Bank AG 39,800 300,568 * DEAG Deutsche Entertainment AG 10,500 29,453 DVB Bank AG 7,124 742,101 * Data Modul AG 2,904 64,748 * Deutsche Euroshop AG 15,550 637,307 * Deutsche Steinzeug Cremer & Breuer AG 87,200 91,985 *# Deutz AG 60,400 241,826 * Deutz AG Issue 03 20,133 77,953 * Dierig Holding AG 10,500 163,500 Dis Deutscher Industrie Service AG 11,850 250,006 * Dom-Braugerei AG 1,100 47,865 Douglas Holding AG 36,650 1,001,678 * Dr. Scheller Cosmetics AG 4,000 21,817 * Drillisch AG 22,450 97,957 Duerr Beteiligungs AG 14,750 313,841 * Eckert and Ziegler Strahlen - und Medizintechnik AG 3,000 26,791 * Elexis AG 8,600 31,649 * Elmos Semiconductor AG 16,350 259,885 ElreingKlinger AG 1,500 128,563 *# Em TV & Merchandising AG 137,050 162,642 * Epcos AG 55,500 1,267,381 Erlus Baustoffwerke AG 297 118,555 Escada AG 20,520 270,576 * Eurobike AG 1,700 469 * Evotec Biosystems AG 30,100 212,160 # FJA AG 7,150 175,103 Feilmann AG 17,800 755,340 * Fortec Elektronik AG 1,400 45,647 *# Freenet.De AG 16,800 993,839 Fuchs Petrolub AG Oel & Chemie 6,693 415,194 GFK AG 25,600 721,153 * GPC Biotech AG 17,600 164,561 *# Gft Technologies AG 22,600 85,879 Grenkeleasing AG 12,650 286,597 Gwag Bayerische Wohnungs- Aktiengesellschaft AG 3,383 150,046 Hamborner AG 21,000 571,432 * Hawesko Holdings AG 3,300 79,116 * Herlitz AG 6,962 30,461 # Hochtief AG 34,000 $ 921,100 * Hoeft & Wessel AG 6,100 23,326 Holsten-Brauerei AG 38,462 1,567,582 Hucke AG 8,300 32,833 Hugo Boss AG 25,100 457,337 * IFA Hotel & Touristik AG 7,000 62,933 *# IM International Media AG 19,800 30,380 IVG Immobilien AG 98,550 1,106,918 * Innovation in Traffic Systems AG 12,300 76,965 Interseroh AG 9,650 122,618 *# Intershop Deutschland AG 7,320 23,604 * Intertainment AG 8,500 20,378 * Isra Vision Systems AG 2,100 29,578 Iwka AG 26,613 519,040 *# Ixos Software AG 18,600 206,463 # Jenoptik AG 40,800 440,661 K & S Aktiengesellschaft AG 129,500 3,027,079 KSB AG 2,387 371,976 KWS Kleinwanzlebener Saatzucht AG 1,650 991,027 * Kampa-Haus AG 10,375 78,352 Keramag Keramische Werke AG 13,000 654,504 Kloeckner-Werke AG 38,900 364,650 * Kontron AG 42,878 321,243 Krones AG 7,450 520,469 * LPKF Laser & Electronics AG 9,000 54,374 Leifheit AG 12,500 353,774 Leoni AG 25,000 1,287,130 Loewe AG 7,100 56,853 # MVV Energie AG 48,000 872,863 * MWG Biotech AG 19,400 23,720 * Maternus-Kliniken AG, Bad Oyenhausen 2,400 1,784 Maxdata AG 24,600 166,021 * Mediclin AG 22,050 51,542 * Medigene AG 8,600 65,772 * Mensch und Maschine Software AG 1,400 13,946 *# Morphosys AG 3,100 36,083 Muehlabauer Holdings AG & Co. KGAA 5,900 137,984 * Nemetschek AG 7,400 47,901 Norddeutsche Affinerie AG 30,700 328,632 Norddeutsche Steingutfabrik AG 5,960 32,150 Novasoft AG 11,800 44,274 * November AG 5,400 35,990 * Ohb Teledata 12,650 103,569 PC-Ware Information Technologies AG 5,100 55,266 * PVATepla AG 15,550 36,535 * Pandatel AG 5,700 40,996 *# Parsytec AG 11,900 68,186 * Personal & Informatik AG 5,900 32,887 Pfeiffer Vacuum Technology AG 8,250 273,048 * Pfleiderer AG 36,250 181,637 * Phoenix AG, Hamburg 37,500 409,065 * Plambeck Neue Energien AG 5,250 14,915 * Plenum AG 9,300 22,854 * Primacom AG 15,200 20,929 * Produkte und Syteme der Informationstechnologie AG 10,300 53,091 Progress-Werk Oberkirch AG 5,000 199,588 Puma AG 5,700 899,871
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SHARES VALUE+ ------ ------ *# Qs Communications AG 98,700 $ 333,646 Rational AG 10,612 582,616 * Realtech AG 3,650 38,722 Renk AG 19,400 616,264 * Repower Systems AG 5,000 103,390 Rheinmetall Berlin AG 45,000 1,478,027 Rhoen Klinikum AG 13,750 725,228 Rinol AG 5,900 21,925 * Rohwedder AG 610 6,435 * Ruecker AG 7,800 33,660 *# SAP Systems Integrations AG 33,650 653,461 * SGL Carbon AG 20,800 307,928 Salzgitter AG 58,650 593,376 Sartorius AG 6,550 69,801 Schlott Sebaldus AG 4,400 87,555 Schwarz Pharma AG 8,900 187,021 Sektkellerei Schloss Wachenheim AG 15,120 132,310 * Senator Entertainment AG 9,800 14,214 *# Singulus Technologies AG 34,600 736,197 Sinner AG, Karlsruhe 4,160 50,615 Sixt AG 15,400 212,294 *# Software AG 25,300 545,899 Stada Arzneimittel AG 20,000 1,174,750 * Stahl (R.) AG 2,000 16,782 * Steag Hamtech AG 28,200 157,189 * Stoehr & Co. AG 16,000 63,293 * Strabag AG 3,332 211,291 Stuttgarter Hofbraeu AG 18,000 604,157 Sued-Chemie AG 29,146 1,037,659 * Suess Microtec AG 14,000 177,891 * Syskoplan AG 3,300 26,702 * Syzygy AG 18,000 126,226 * TFG Venture Capital AG & Co. KGAA 8,800 21,098 Takkt AG 68,450 454,572 * Techem AG 23,150 442,620 Technotrans AG 5,000 74,321 * Telegate AG 10,800 117,552 * Teles AG Informationstechnologien 21,200 271,919 Textilgruppe Hof AG 12,170 93,366 *# Tomorrow Focus AG 42,650 117,589 * Umweltkontor Renewable Energy AG 14,100 21,297 United Internet AG 43,050 1,011,460 * VBH (Vereinigter Baubeschlag-Handel) AG 9,415 19,412 VK Muehlen AG 1,312 121,886 Vossloh AG 15,900 733,799 *# WCM Beteiligungs AG 245,466 361,923 * Walter Bau AG, Augsburg 33,905 67,061 Wanderer-Werke AG 7,903 202,733 * Wedeco AG Water Technology 10,550 224,603 * Westag and Getalit AG, Rheda-Wiedenbrueck 7,000 48,500 Wuerttembergische Lebensversicherung AG 11,330 177,918 Wuerttembergische Metallwarenfabrik AG 30,330 548,995 Wuerzburger Hofbraeu AG 134 61,381 Zapf Creation AG 7,500 173,066 ----------------- TOTAL COMMON STOCKS (Cost $47,674,467) 57,045,489 ----------------- RIGHTS/WARRANTS -- (0.0%) * DEAG Deutsche Entertainment AG Bond Rights 12/03/03 7,000 $ 0 * Fuchs Petrolub AG Oel & Chemie Rights 12/09/03 6,693 7,221 ----------------- TOTAL RIGHTS/WARRANTS (Cost $0) 7,221 ----------------- TOTAL -- GERMANY (Cost $47,674,467) 57,052,710 ----------------- ITALY -- (8.9%) COMMON STOCKS -- (8.9%) *# Acea SpA 163,000 949,606 * Acegas SpA 27,200 164,005 * Actelios SpA 25,801 213,405 Aem Torino SpA 355,000 548,956 * Aeroporto de Firenze SpA 6,000 84,510 *# Alitalia Linee Aeree Italiane SpA Series A 2,712,400 871,381 * Amplifon SpA 15,200 417,252 * Auschem SpA (In Liquidation) 82,000 0 Azienda Mediterranea Gas e Acqua SpA 267,000 327,421 * Banca Ifis SpA 16,600 210,928 Banca Intermobiliare di Investimenti e Gestoni SpA 81,000 565,103 Banca Monte Dei Paschi di Siena SpA 229,515 753,843 Banca Popolare Dell'etruria e Del Lazio Scrl 19,000 416,797 Banca Profilo SpA 88,500 231,800 Banco di Desio e della Brianza SpA 90,000 375,441 Banco Piccolo Valellinese Scarl SpA 41,600 460,272 * Bastogi SpA 1,183,000 241,785 * Beghelli SpA 142,000 109,791 Beni Stabili SpA, Roma 1,309,500 784,865 Biesse SpA 17,100 48,478 * Binda SpA 1,299,375 0 Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma 9,675 151,349 Bremba SpA 53,375 374,934 Brioschi Finanziaria SpA, Milano 373,400 116,825 Buzzi Unicem SpA 94,100 1,139,280 CAMFIN (Cam Finanziaria) 36,527 88,009 CIR SpA (Cie Industriale Riunite), Torino 591,100 1,060,723 *# CMI SpA 64,502 327,837 CSP International Industria Calze SpA 10,000 17,262 # Caltagirone Editore SpA 95,800 783,194 # Caltagirone SpA 178,399 1,109,888 * Carraro SpA 26,200 72,863 Cementir Cementerie del Tirreno SpA 249,704 752,806 * Cirio Finanziaria SpA 175,000 36,501 Class Editore SpA 70,600 205,228 * Coats Cucirini SpA 30,000 33,085 * Compagnia Immobiliare Azionaria 44,000 7,331 Credito Artigiano SpA 93,900 379,328 Cremonini SpA 102,400 214,811 Danieli & C.Officine Meccaniche SpA 66,500 275,017 * Dataconsyst C.G.S. SpA, Monza 220 0 * Davide Campari - Milano SpA 13,400 588,224
105
SHARES VALUE+ ------ ------ * De Longhi SpA 115,000 $ 512,814 * Del Favero SpA 86,000 0 * Ducati Motor Holding SpA 112,500 190,822 Emak 27,000 107,130 Erg SpA 124,000 643,619 Ergo Previdenza SpA 69,200 348,397 Ericsson SpA 19,800 481,341 Esprinet 3,700 94,693 * FMC (Fabbrica Milanese Condutorri SpA) 25,000 0 * Finarte Casa d'Aste SpA (Milano) 56,266 117,359 * Finarte Partecipazioni Pro Arte SpA 242,693 60,948 *# Finmatica SpA 35,900 419,153 * Fochi (Filippo) SpA 216,000 0 * Fornara Societa Finanziaria e di Partecipazioni SpA 310,000 0 Gabetti Holding SpA 55,000 126,915 Gefran 11,000 53,139 * Gemina SpA 282,400 280,971 * Gerolimich SpA (In Liquidation) 297,400 0 Gewiss SpA 221,700 980,644 Giovanni Crespi SpA 21,000 17,797 Grandi Navi Veloci SpA 38,000 77,438 *# Granitifiandre SpA 28,500 245,978 * Grassetto SpA 279,125 0 Gruppo Ceramiche Ricchetti SpA 164,000 70,380 * I Grandi Viaggi SpA 28,100 22,366 ITALJOLLY (Cia Italiana dei Jolly Hotels SpA) 34,500 200,990 *# Immobiliare Lombardia SpA 425,000 81,004 Immsi SpA 287,000 323,392 Impregilo SpA 532,000 357,124 Industria Macchine Automatique SpA 27,000 349,224 Industria Romagnola Conduttori Elettrici SpA 17,500 52,864 # Industrie Zignago S. Margherita SpA 52,000 771,691 Interpump Group SpA 64,700 271,451 Italmobiliare SpA, Milano 12,750 583,839 * Juventus Footbal Club SpA 98,000 223,790 * La Doria SpA 22,000 60,919 * Lavorwash SpA 10,000 23,495 Linificio and Canapificio Nazionale SpA 22,000 45,623 Maffei SpA 52,500 95,658 * Mandelli SpA 41,000 0 Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 1,511,975 * Marcolin SpA 35,100 50,995 * Mariella Burani Fashion Group SpA 20,400 188,540 * Meliorbanca SpA 62,500 319,910 Merloni Elettrodomestici SpA 155,000 2,887,368 # Milano Assicurazioni SpA 266,700 890,364 Mirato SpA 12,000 87,747 Monrif SpA 150,000 145,645 * Montefibre SpA 143,130 75,492 * NGP SpA 17,891 12,031 Navigazione Montanari SpA 95,200 176,884 * Necchi SpA 164,250 13,782 * Negri Bossi SpA 13,700 36,130 * Olidata SpA 20,000 32,174 * Opengate Group SpA 4,000 9,158 * Pagnossin SpA 9,000 19,959 * Perlier SpA 100,700 $ 25,820 Permasteelisa SpA 21,300 347,247 Pininfarina SpA 31,285 928,552 * Pirelli & C.Real Estate SpA 9,600 276,762 * Poligrafici Editoriale SpA 132,000 284,817 * Premafin Finanziaria SpA Holding di Partecipazioni, Roma 311,330 312,368 Premuda SpA 38,700 60,911 * Ratti SpA 31,768 25,629 # Recordati Industria Chimica e Farmaceutica SpA 48,000 922,922 * Reno de Medici SpA, Milano 332,210 297,477 * Richard-Ginori 1735 SpA 128,000 122,749 Risanamento Napoli SpA 212,600 365,708 * Rodriquez SpA 41,250 0 * Roncadin SpA 81,400 47,812 SAES Getters SpA 14,750 170,977 SAI SpA (Sta Assicuratrice Industriale), Torino 32,500 568,795 SISA (Societa Imballaggi Speciali Asti SpA) 65,000 155,834 SMI STA Metallurgica Italiana SpA 565,280 217,514 SNIA SpA 568,977 1,265,197 * SOPAF (Societa Partecipazioni Finanziarie SpA) 85,000 27,460 Sabaf SpA 8,000 133,586 Saeco International Group SpA 154,000 629,498 * Schiapparelli 1824 SpA, Milano 166,200 26,099 * Sirti SpA 29,967 54,602 # Societe Cattolica di Assicurazoni Scarl SpA 27,170 925,295 * Societe Sportiva Lazio SpA 1,815,000 98,994 Sogefi SpA 182,500 625,674 Sol SpA 70,200 302,100 Stefanel SpA 54,400 118,683 Targetti Sankey SpA 8,000 29,057 * Tecnodiffusione Italia SpA 3,332 15,737 Terme Demaniali di Acqui SpA 532,000 264,017 # Tod's Group SpA 23,400 971,657 * Trevi-Finanziaria Industriale SpA 30,000 41,140 * Tripcovich (D.) & Co. SpA Navigazione Rimorchi e Salvataggi Trieste 113,898 0 * Unione Manifatture SpA (In Liquidation) 156,000 0 * Unipar (Unione Nazionale di Participazione SpA) (In Liquidation) 539,000 0 * Vemer Siber Group SpA 46,000 50,785 * Viaggi del Ve 23,000 55,968 Vianini Industria SpA 52,520 154,245 Vianini Lavori SpA 180,752 1,115,860 Vittoria Assicurazioni SpA 51,500 305,585 Zucchi (Vincenzo) SpA 144,375 756,167 ----------------- TOTAL COMMON STOCKS (Cost $37,718,211) 43,360,556 ----------------- RIGHTS/WARRANTS -- (0.0%) * Tecnodiffusione Italia SpA Warrants 11/15/04 (Cost $0) 1,332 283 ----------------- TOTAL ITALY (Cost $37,718,211) 43,360,839 -----------------
106
SHARES VALUE+ ------ ------ SWITZERLAND -- (8.8%) COMMON STOCKS -- (8.8%) * A. Hiestad Holding AG 190 $ 66,874 * AFG Arbonia-Forster Holding AG 2,610 300,831 * Accumulatoren-Fabrik Oerlikon, Zuerich 30 13,344 * Actelion, Ltd. 4,400 421,205 * Agie Charmilles Holding AG 3,000 148,524 * Allreal Holding AG 3,657 254,320 Also Holding AG 268 63,024 * Amazys Holding AG 1,183 36,147 * Ascom Holding AG 7,700 72,073 BHB Beteiligungs und Finanzgesellschaft 150 5,095 BVZ (Brig Visp Zermatt) Holding AG 370 73,987 Bachem AG 3,059 143,163 Bank Coop AG 5,881 1,046,344 Bank Sarasin & Cie Series B, Basel 274 415,434 * Banque Cantonale de Geneve 1,344 165,827 Banque Cantonale du Jura 450 73,102 * Banque Cantonale Vaudoise 600 63,123 Banque Privee Edmond de Rothschild SA, Geneve 120 1,141,779 Barry Callebaut AG 2,326 420,588 Basellandschaftliche Kantonalbank 600 377,808 Basler Kantonalbank 5,250 332,613 * Batigroup Holding AG 2,902 25,704 Belimo Holdings 240 91,714 * Berna Biotech 13,727 138,043 * Berner Kantonalbank 2,315 266,381 Bobst Group SA 18,200 612,430 Bossard Holding AG 6,350 265,255 Bucher Industries AG, Niederweningen 3,355 456,773 Caisse d'Epargne Cantonale Vaudoise, Lausanne 427 278,122 * Calida Holding AG 396 67,699 * Carlo Gavazzi Holding AG 910 38,717 * Charles Voegele Holding AG 3,960 240,776 Cie Financiere Tradition 5,202 482,889 Conzzeta Holdings AG 1,415 1,061,753 * Crossair AG, Basel 13,517 106,654 Daetwyler Holding AG, Atldorf 348 531,400 EGL (Elektrizitaets-Gesellschaft Laufenberg) AG, Laufenberg 8,390 3,920,075 * ESEC Holding AG 921 138,572 Edipresse SA, Lausanne 694 319,427 * Eichhof Holding AG 188 111,835 Energie Electrique du Simplon SA 350 33,437 Energiedienst Holding AG 8,265 2,141,821 Escor Casino & Entertainment AG 744 16,978 Feintol International Holding AG 110 18,975 * Fischer (Georg) AG, Schaffhausen 1,552 265,326 * Flughafen Zuerich AG 1,842 93,972 * Forbo Holding AG, Eglisau 1,100 306,331 Fuchs Petrolub AG Oel & Chemie Non-Voting 6,003 377,300 Galenica Holding, Ltd. AG, Bern 4,290 580,752 Geberit AG 870 379,572 Generale d'Affichage, Geneve 290 135,722 * Generali (Switzerland) Holdings, Adliswil 1,670 $ 213,155 * Golay-Buchel Holding SA, Lausanne 40 32,490 Gornergrat Monte Rasa-Bahnen Zermatt 70 47,110 Gurit-Heberlein AG 1,125 730,147 * HPI Holding SA 6,000 10,722 Helvetia Patria Holding 2,831 431,421 * Industrieholding Cham AG, Cham 864 151,049 * Interroll-Holding SA 320 32,180 Jelmoli Holding AG 1,521 1,423,673 # Jelmoli Holding AG, Zuerich (Namen) 2,835 521,946 Kaba Holding AG 1,340 253,961 * Kardex AG, Zuerich 1,039 122,167 * Kardex AG, Zuerich (Participating) 610 72,668 * Komax Holding AG 1,100 75,094 * Kudelski SA 13,000 416,834 Kuoni Reisen Holding AG 1,350 438,610 * Leica Geosystems Holdings AG 1,057 165,575 * Lem Holdings AG, Lyss 270 49,918 Luzerner Kantonalbank AG 3,200 465,375 * Maag Holding AG, Zuerich 922 123,210 * Micronas Semi 12,202 556,902 * Mikron Holding AG, Biel 2,652 36,516 * Mobilezone Holding AG 13,349 25,403 * Moevenpick-Holding, Zuerich 1,320 714,772 Nobel Biocare Holding AG 45,460 4,263,897 Orell Fuessli Graphische Betriebe AG, Zuerich 240 258,803 Oz Holding AG 4,400 268,890 PSP Swiss Property AG 3,442 477,272 * Parco Industriale e Immobiliare SA 600 1,624 * Phoenix Mecano AG, Stein am Rhein 2,749 816,585 Phonak Holding AG 29,137 637,862 * Publicitas Holding SA, Lausanne 1,115 301,883 *# Reg Real Estate Group 8,010 481,448 Rieters Holdings AG 2,056 439,758 Roche Holding AG Genusschein 800 72,096 SAIA-Burgess Electronics AG 274 96,440 * SIA Abrasives Holding AG 337 59,698 Sarna Kunststoff Holding AG 1,760 159,292 * Saurer AG 6,943 308,824 * Schaffner Holding AG 300 44,789 * Schweiter Technology AG 500 67,687 Schweizerhall Holding AG, Basel 140 178,693 Schweizerische National Versicherungs Gesellschaft 472 197,166 Siegfried Holding AG 8,560 1,021,397 Sig Holding AG 3,000 404,380 * Sihl 150 451 Sika Finanz AG, Baar 925 375,661 Sopracenerina 2,409 316,797 * St. Galler Kantonalbank 1,596 289,515 Sulzer AG, Winterthur 1,637 409,655 * Swiss Prime Site AG 1,492 264,302 * Swisslog Holding AG 6,810 35,243 Tamedia AG 4,500 310,160 Tecan Group AG 5,859 228,655 * Temenos Group AG 24,359 169,400 * UMS Schweizerische Metallwerke Holding AG, Bern 2,560 71,093
107
SHARES VALUE+ ------ ------ Unaxis Holding AG 1,000 $ 137,694 Unilabs SA 2,700 55,348 Valiant Holding AG 6,278 433,436 Valora Holding AG 1,857 441,007 * Vaudoise Assurances Holding, Lausanne 45 56,741 Villars Holding SA, Fribourg 150 30,169 * Von Roll Holding AG 23,024 18,167 *# Von Roll Holding AG, Gerlafingen 23,024 20,482 Vontobel Holdings AG 29,250 643,730 * Walliser Kantonalbank 150 32,606 Wmh Walter Meier Holding Ag, Zuerich 1,000 51,829 Zehnder Holding AG 193 142,430 Zschokke Holding SA, Geneve 230 79,886 * Zueblin Holding AG 10,093 71,127 Zuger Kantonalbank 545 1,079,275 * Zuger Kantonalbank New Shares 45 87,374 ----------------- TOTAL COMMON STOCKS (Cost $26,142,712) 42,661,225 ----------------- PREFERRED STOCKS -- (0.0%) Fuchs Petrolub AG Oel & Chemie 7.29% Non-Voting (Cost $266,229) 6,003 292,553 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs (Cost $18,285) 18,554 ----------------- RIGHTS/WARRANTS -- (0.0%) * Fuchs Petrolub AG Oel & Chemie Preferred Rights 12/11/03 6,003 0 * Fuchs Petrolub AG Oel & Chemie Rights 12/15/03 6,003 0 ----------------- TOTAL RIGHTS/WARRANTS (Cost $0) 0 ----------------- TOTAL -- SWITZERLAND (Cost $26,427,226) 42,972,332 ----------------- GREECE -- (6.9%) COMMON STOCKS -- (6.9%) * A. Cambas Holding & Real Estate SA 36,750 103,084 * AS Co. S.A. 25,370 50,179 Aegek 99,835 238,153 * Agrotiki Insurance S.A. 34,455 235,422 Aktor Technical Co. S.A. 130,640 798,667 Alco Hellas ABEE S.A. 38,730 75,211 * Alfa Alfa Energy S.A. 3,810 33,431 Alfa-Beta Vassilopoulos S.A. 12,732 205,429 Alisida S.A. 2,160 8,286 * Allatini Industrial & Commercial Co. 15,370 35,006 Alpha Leasing 49,481 323,855 * Alte Technological Co. S.A. 85,048 114,183 * Altec Information & Communication Systems S.A. 80,278 77,947 Alumil Milonas S.A. 27,516 136,554 * Aluminum of Attica S.A. 104,982 128,361 * Anek Lines S.A. 60,821 96,967 Arcadia Metal Industry C. Rokas S.A. 22,389 132,044 * Aspis Bank 45,604 164,000 * Aspis Pronia General Insurance S.A. 48,640 $ 87,459 * Astir Palace Vouliagmenis S.A. 44,370 405,288 Athens Medical Center S.A. 104,974 212,661 Athens Water Supply & Sewage Co.S.A. 53,245 404,657 * Atlantic Super Market S.A. 13,640 22,237 Attica Enterprises S.A. Holdings 130,214 540,074 Attica Publications S.A. 16,674 87,945 Atti-Kat S.A. 88,984 123,734 Autohellas S.A. 22,490 194,107 Babis Vovos S.A. 42,412 859,201 * Balafas Construction Holdings S.A. 15,200 24,051 * Bank of Attica S.A. 105,221 456,594 * Bank of Greece 2,366 281,349 Bank of Piraeus S.A. 163,829 1,673,207 Benrubi S.A. 9,221 112,966 * Betanet S.A. 11,220 57,834 * Bitros Holdings S.A. 19,302 69,182 * Byte Computers S.A. 17,230 69,398 Chipita S.A. 46,325 207,686 Commercial Bank of Greece 1,960 41,304 * Compucon Computer Applications S.A. 11,260 22,001 * Computer Peripherals International S.A. 9,110 22,496 * Cyclon Hellas S.A. 18,131 25,212 * Daios Plastics S.A. 16,350 64,285 Delta Holdings S.A. 33,747 242,720 Dionic SA 12,948 15,987 * Domiki Krittis S.A. 11,820 63,193 Edrassi C. Psallidas S.A. 15,554 37,849 Egnatia Bank S.A. 106,477 351,001 El. D. Mouzakis S.A. 31,653 59,191 Elais Oleaginous Production S.A. 16,707 303,611 * Elbisco Holding S.A. 56,000 441,706 Elektrak SA. 14,040 35,680 * Elektroniki of Athens S.A. 21,560 82,702 * Elgeka S.A. 18,590 128,803 Elmec Sport S.A. 64,256 181,009 * Elton S.A. 9,320 94,963 * Etba Leasing S.A. 17,297 43,127 * Ethniki General Insurance Co. S.A. 71,719 476,281 * Etma Rayon S.A. 11,242 19,540 * Euro Reliance General Insurance 14,830 40,887 * Eurodrip S.A. 11,620 68,810 * Euromedica S.A. 33,300 83,028 * Europaiki Techniki 32,750 34,940 Everest S.A. 30,730 116,404 * Evrofarma S.A. 9,500 26,078 * F.G. Europe SA Common Registered Shares 4,536 20,118 * Fanco S.A. 10,110 31,025 * Forthnet S.A. 17,510 107,887 Fourlis S.A. 56,610 166,257 Frigoglass S.A. 49,990 212,132 * G.Polyhronos S.A. 10,580 22,321 * Galaxidi Fish S.A. 12,940 18,924 General Construction Co. S.A. 34,649 297,388 General Commercial and Industry 24,060 27,111 * General Hellenic Bank 31,139 217,990 Germanos S.A. 49,650 1,176,049 * Gianoussis S.A. 13,604 96,540 Gnomon Construction S.A. 23,297 21,504
108
SHARES VALUE+ ------ ------ Goody's S.A. 17,740 $ 266,668 Halkor S.A. 121,226 273,195 Hatziioannou S.A. 44,200 115,504 Hellas Can Packaging Manufacturers S.A. 27,902 189,309 Hellenic Cables S.A. 26,908 46,125 Hellenic Duty Free Shops S.A. 65,840 1,163,340 Hellenic Fabrics S.A. 17,110 58,659 Hellenic Sugar Industry S.A. 35,750 228,843 Hellenic Technodomiki S.A. 124,106 731,943 Heracles General Cement Co. 71,083 628,842 Hermes Real Estate S.A. 23,136 124,247 * Hippotour S.A. 12,155 25,936 Hyatt Regency S.A. 105,000 964,134 * Iaso S.A. 49,300 301,395 * Iktinos Hellas S.A. 6,500 23,375 Inform P. Lykos S.A. 20,610 110,188 * Informatics SA 18,890 43,023 * Intersat S.A. 19,392 7,206 Intertech S.A. 12,236 48,990 * Intracom Constructions S.A. 30,520 73,902 Intracom S.A. 161,516 1,041,639 * Ionian Hotel Enterprises 16,754 249,436 * J Boutaris & Son Holding S.A. 28,150 46,229 J&P-Avax S.A. 91,496 541,812 Kalpinis Simos Steel Service Center 12,432 45,602 Karelia Tobacco Co., Inc. S.A. 2,160 137,282 Kathimerini S.A. 21,240 188,411 Katselis Sons S.A. 9,000 80,051 * Kego S.A. 21,670 48,576 * Kekrops S.A. 2,244 69,347 * Keramia-Allatini S.A. Industrielle Commerciale & Technique 10,368 38,777 * Klonatex Group S.A. Bearer Shares 20,351 86,847 * Kordellou Brothers S.A. 12,300 24,770 * Kotsovolos SA. 2,872 12,256 * Lambrakis Press S.A. 94,120 595,710 * Lampsa Hotel Co. 19,051 157,575 Lavipharm S.A. 39,294 75,364 * Lazarides Vineyards S.A. 16,660 54,720 Light Metals Industry 37,502 111,937 * Logic Dis S.A. 77,230 78,691 Loulis Mills S.A. 15,382 58,267 * MLS Multimedia S.A. 8,300 37,410 Mailis (M.J.) S.A. 90,804 333,078 * Maritime Company of Lesvos S.A. 30,753 25,436 * Maxim Knitwear Factory C.M. 16,360 20,003 * Medicon Hellas S.A. 2,600 23,811 Mesochoritis Bros. Construction Co. 23,700 22,160 Metka S.A. 36,270 195,650 Michaniki S.A. 98,065 315,042 Minerva Knitwear 5,140 19,717 * Minoan Lines S.A. 77,309 164,957 Mochlos S.A. 46,265 44,368 * Motor Oil (Hellas) Corinth Refineries S.A. 138,470 1,161,912 Mytilineos Holdings S.A. 47,000 299,729 * N. Levederis S.A. 8,355 7,812 N.B.G. Real Estate Development Co. 122,710 770,780 * Naoussa Spinning Mills S.A. 21,832 91,074 * Naytemporiki S.A. 26,080 152,562 * Neorion-Syro's Shipyards S.A. 27,210 $ 116,770 * Nexans Hellas S.A. 3,003 10,475 Nikas S.A. 25,287 203,698 Notos Com.Holdings S.A. 85,974 358,646 * O. Daring Sain 7,760 4,093 Pantechniki S.A. 50,460 123,395 * Pegasus Publishing & Printing S.A. 58,590 176,988 * Persefs S.A. Health Care 19,660 102,280 * Persefs S.A. Health Care New Shares 3,932 20,456 Petros Petropoulos SA 7,360 52,936 * Petzetakis S.A. 22,560 67,879 * Pilias S.A. 103,584 52,151 * Pipeworks L. Girakian Profil S.A. 11,730 18,279 * Promota Hellas S.A. 26,580 53,528 * Proodeftiki Technical Co. 32,257 32,867 Rilken S.A. 1,982 18,627 * Sanyo Hellas S.A. 59,251 128,556 Sarantis S.A. 43,940 166,443 * Sato S.A. 28,850 35,275 Selected Textile Industry Assoc. S.A. 44,649 63,691 Sfakianakis S.A. 13,390 47,029 * Sheet Steel S.A. 25,850 19,832 * Shelman 38,042 68,403 Silver and Baryte Ores Mining Co. S.A. 34,961 260,672 Singular S.A. 54,600 149,881 Spyroy Agricultural House S.A. 22,258 33,352 * Stabilton S.A. 27,530 2,640 Strintzis Shipping Lines S.A. 131,240 209,236 Technical Olympic S.A. 165,620 829,867 * Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 13,910 10,505 Teletypos S.A. Mega Channel 36,227 226,685 Terna Tourist Technical & Maritime S.A. 57,450 512,368 * Themeliodomi 37,422 106,315 Thrace Plastics Co. S.A. 45,500 64,905 Uncle Stathis S.A. 10,999 81,482 Unisystems S.A. 41,820 97,755 * Vardas S.A. 13,780 54,511 * Varvaressos S.A. European Spinning Mills 7,200 15,535 Veterin 18,984 88,296 Viohalco 249,335 1,309,112 Vioter S.A. 61,470 103,160 * Vis Container Manufacturing Co. 4,259 16,235 Zampa S.A. 830 11,740 ----------------- TOTAL COMMON STOCKS (Cost $30,722,465) 33,364,636 ----------------- PREFERRED STOCKS -- (0.0%) Egnatia Bank S.A. (Cost $8,591) 3,196 9,961 ----------------- TOTAL GREECE (Cost $30,731,056) 33,374,597 ----------------- SWEDEN -- (6.3%) COMMON STOCKS -- (6.3%) * ADCore AB 50 107 * Active Biotech AB Series A 4,160 27,803 * Active Biotech AB Series B 20,080 150,146
109
SHARES VALUE+ ------ ------ Addtech AB Series B 12,800 $ 65,219 * Alfaskop AB 3,200 339 Angpannefoereningen AB Series B 10,800 165,800 *# Anoto Group AB 83,833 184,173 Axfood AB 49,500 1,100,569 *# Axis AB 42,700 88,722 * B & N Bylock & Nordsjoefrakt AB Series B 41,800 69,150 Beiger Electronics AB 11,700 109,938 Beijer AB Series B 11,700 120,003 Beijer Alma AB Series B 10,400 89,464 Bergman & Beving AB Series B 36,200 221,337 # Biacore International AB 7,850 180,249 Bilia AB Series A 116,725 1,421,198 Billerud AB 38,800 575,112 * Boliden AB 53,200 239,383 * Bong Ljungdahl AB 9,000 28,586 * Boras Waefveri AB Series B 8,600 40,860 * Boss Media AB 25,500 72,557 * Capio AB 48,100 350,115 Capona AB 19,000 143,328 Carbo AB 27,800 702,718 Castellum AB 39,900 844,881 Cloetta AB Series B 15,600 355,104 * Concordia Maritime AB Series B 37,300 72,072 * Connecta AB 250 208 D. Carnegie & Co. AB 62,000 562,063 * Digital Illusions AB Series A 5,000 30,638 * Doro Telefoni AB Series A 2,900 3,493 Drott Series AB 85,400 1,497,534 * Duroc AB Series B 2,700 4,645 * Elekta AB 24,800 466,061 * Enea Data AB Series B 440,000 142,666 Eniro AB 51,300 458,273 Fagerhult AB 2,900 37,612 * Fagerlid Industrier AB 8,600 0 *# Finnveden AB 57,000 338,707 * Frontec AB Series B 18,200 13,007 Getinge AB 176,604 1,659,441 Geveko AB Series B 8,300 157,079 * Glocalnet AB 129,100 80,131 Gorthon Lines AB Series B 41,800 106,767 Gunnebo AB 17,100 423,195 HL Display AB Series B 4,200 58,363 Haldex AB 39,000 505,817 Heba Fastighets AB Series B 4,300 51,217 Hexagon AB Series B 3,572 92,183 * Hiq International AB 21,500 36,990 Hoganas AB Series B 31,700 656,563 * IBS AB Series B 65,200 114,763 * Industrial & Financial Systems AB Series B 29,700 30,462 * Industrifoervaltnings AB Skandigen 21,400 55,227 * Intentia International AB Series B 75,420 69,370 * Intrum Justitia AB 52,600 263,136 Karlshamns AB 14,900 182,403 Kinnevik Industrifoervaltnings AB Series B 44,400 1,325,050 Klippans Finpappersbruk AB 5,800 13,279 * Klovern AB B Shares 23,226 50,410 Kungsleden AB 17,600 449,545 * LGP Allgon Holding AB 41,280 $ 244,749 Lagercrantz Group AB Series B 12,800 38,962 Lindex AB 16,100 485,807 Ljungberg Gruppen AB Series B 3,800 50,291 * Lundin Petroleum AB 154,000 468,761 * Mandator AB 6,840 1,530 * Meda AB Series A 6,625 114,858 *# Medivir Series B 4,900 68,739 *# Micronic Laser Systems AB 27,200 269,981 *# Modern Times Group AB Series B 41,100 824,057 NCC AB Series B 38,200 272,998 * Net Insight AB Series B 111,400 19,903 New Wave Group AB Series B 9,000 172,113 Nibe Industrier AB 12,200 196,980 Nolato AB Series B 42,840 273,842 OEM International AB Series B 7,100 87,386 # OMHEX AB 78,100 878,563 Observer AB 137,856 611,186 Orc Software AB 10,500 126,454 * Ortivus AB 5,900 24,596 PEAB AB Series B 62,600 339,673 Pandox Hotelfastigheter AB 20,100 289,952 * Partnertech AB 3,800 17,350 * Pergo AB 43,300 87,103 Poolia AB Series B 18,150 55,727 * Prevas AB Series B 16,000 19,693 * Pricer AB Series B 91,000 6,744 * Proact It Group AB 15,000 48,438 Proffice AB 72,800 202,327 * Protect Data AB 6,500 23,226 * PyroSequencing AB 21,500 33,860 *# Q-Med AB 20,000 423,499 * Readsoft AB Series B 17,800 27,797 Rottneros Bruk AB 366,600 409,970 SSAB Swedish Steel Series A 60,300 993,550 SSAB Swedish Steel Series B 17,100 270,437 Sardus AB 5,700 75,813 * Scribona AB Series A 40,100 71,113 * Scribona AB Series B 31,700 57,056 * Semcon AB 18,300 39,235 * Sigma AB Series B 25,800 13,214 * Skistar AB 5,600 138,590 * Song Network Holding 43,845 356,860 Sweco AB Series B 23,450 204,828 * Switchcore AB 72,020 37,363 TV 4 AB Series A 7,000 134,329 # Teleca AB Series B 41,200 212,104 * Telelogic AB 162,400 270,807 * Ticket Travel Group AB 4,500 5,777 Trelleborg AB Series B 75,400 1,167,509 * WM-Data AB Series B 275,800 558,455 Wallenstam Byggnads AB Series B 16,700 363,568 * Wedins Norden AB Series B 280,000 72,260 * Westergyllen AB Series B 4,300 29,877 Whilborg Fastigheter AB Class B 57,960 690,357 * Wilh. Sonesson AB Series A 4,160 8,809 * Wilh. Sonesson AB Series B 4,160 8,919 ----------------- TOTAL COMMON STOCKS (Cost $21,256,079) 30,353,176 -----------------
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SHARES VALUE+ ------ ------ RIGHTS/WARRANTS -- (0.0%) * Pricer AB Rights 12/09/03 (Cost $0) 91,000 $ 602 ----------------- TOTAL -- SWEDEN (Cost $21,256,079) 30,353,778 ----------------- NETHERLANDS -- (5.8%) COMMON STOCKS -- (5.8%) * AFC Ajax NV 10,787 65,300 AM NV 63,300 469,693 *# ASM International NV 35,850 678,994 Aalberts Industries NV 25,910 661,556 Accell Group NV 5,010 135,126 * Airspray NV 3,800 83,815 Arcadis NV 14,000 152,717 * Atag Group NV 4,630 1,609 Athlon Groep NV 34,250 574,788 Batenburg Beheer NV 3,000 100,333 * Begemann Groep NV 11,909 57,102 * Begemann Groep NV Series B 13,451 9,352 * Beter Bed Holding NV 4,900 48,165 Boskalis Westminster NV 51,300 1,271,708 * Brunel International NV 12,000 78,397 Buhrmann NV 99,080 752,999 * Copaco NV 7,000 26,432 * Crucell NV 26,050 129,279 Delft Instruments NV 13,336 229,402 *# Draka Holding NV 14,287 257,920 * Econosto NV 17,305 28,004 Eriks Group NV 9,032 303,044 * Exact Holding NV 16,800 427,945 Fornix Biosciences NV 2,531 40,534 * Fox Kids Europe NV 56,900 402,424 Gamma Holding NV 15,705 652,320 Gemeenschappeljk Bezit Crown van Gelder NV 12,000 194,193 *# Getronics NV 240,180 495,205 Grolsche NV 32,100 875,399 Grontmij NV 2,053 51,951 # Hagemeyer NV 75,500 208,158 Heijmans NV 15,477 320,033 ICT Automatisering NV 5,800 80,094 # Imtech NV 28,645 631,809 * Ispat International NV 65,245 453,622 KLM (Koninklijke Luchtvaart Mij) NV 24,800 392,117 Kas Bank NV 42,888 797,897 * Kendrion NV 21,454 106,213 Koninklijke Bam NV 25,037 655,472 Koninklijke Frans Maas Groep NV 12,349 373,777 Koninklijke Nedlloyd NV 23,472 777,973 # Koninklijke Ten Cate NV 11,088 470,119 Koninklijke Vendex KBB NV 68,200 884,568 # Koninklijke Vopak NV 43,400 780,370 *# Laurus NV 416,097 673,361 MacIntosh NV 15,590 271,912 * Maverix Capital NV 1,500 68,327 * NH Hoteles 21,703 254,956 # NV Holdingsmij de Telegraaf 38,050 812,796 Nederlandsche Apparatenfabriek 14,000 322,217 * New Skies Satellites NV 94,650 654,660 Nutreco Holding NV 24,583 670,403 Oce NV 60,200 $ 860,186 Opg Groep NV Series A 10,100 385,733 *# Petroplus International NV 22,363 173,442 * Pinkroccade NV 16,700 200,587 Randstad Holdings NV 42,700 852,239 Reesink NV 2,050 119,183 Roto Smeets de Boer NV 2,640 82,597 Rubber Cultuur Maatschappij Amsterdam NV 40,800 110,043 * SNT Groep NV 9,400 141,977 * Samas-Groep NV, Zaandam 24,184 127,846 * Scala Business Solutions NV 12,100 44,674 * Semiconductor Industries NV 21,900 161,188 Sligro Food Group Beheer 14,528 426,669 Smit Internationale NV 20,578 604,103 Stern Groep NV 1,236 43,560 Stork NV 22,700 440,003 * Textielgroep Twenthe NV 1,000 2,997 * Tulip Computers NV 53,860 17,432 Twentsche Kabel Holding NV 18,244 413,334 United Services Group NV 15,565 314,390 Univar NV 7,050 111,976 Van Der Mollen Holding NV 57,660 411,255 Vedior NV 74,880 1,133,675 * Versatel Telecom International NV 336,600 685,934 * Wegener Arcade NV 70,830 596,887 ----------------- TOTAL -- NETHERLANDS (Cost $19,502,763) 28,378,470 ----------------- SPAIN -- (5.4%) COMMON STOCKS -- (5.4%) # Abengoa SA 56,900 402,424 Adolfo Dominguez SA 3,700 64,400 Aldeasa SA 13,200 307,128 * Amper SA 56,800 260,775 * Avanzit SA 17,275 54,669 *# Azkoyen SA 52,500 257,396 Banco de Andalucia 9,800 822,325 Banco de Credito Balear SA 35,424 721,882 Banco de Valencia SA 188,053 3,345,288 Banco Guipuzcoano SA 21,194 495,412 Banco Pastor SA 34,300 1,008,170 * Baron de Ley SA 4,200 188,195 CAF (Construcciones y Auxiliar de Ferrocarriles SA) 7,500 543,921 Campofrio Alimentacion SA 92,800 1,007,849 Cementos Portland SA 16,881 910,605 Compania de Distribucion Integral Logista SA 29,600 830,285 Cortefiel SA 49,200 415,790 * Dogi International Fabrics SA 4,000 17,981 Elecnor SA 18,300 743,653 * Ercros SA 100,518 44,583 * Espanola del Zinc SA 29,250 52,945 * Estacionamientos Urbanos SA 4,200 0 # Europistas Concesionaria Espanola SA 174,940 1,042,233 Faes Farma SA 27,111 384,784 Funespana SA 4,500 27,511 Grupo Empresarial Ence SA 16,040 324,945 *# Grupo Picking Pack SA 145,775 83,877
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SHARES VALUE+ ------ ------ Hullas del Coto Cortes 8,666 $ 105,959 Iberpapel Gestion SA 6,700 122,881 Inbesos SA 8,050 31,941 * Indo Internacional SA 33,600 149,025 Indra Sistemas SA 75,200 905,948 Inmobiliaria Colonial SA ICSA 35,200 754,448 Inmobiliaria del Sur SA 331 54,755 * Inmobiliaria del Sur SA Issue 2003 47 7,775 Inmobiliaria Urbis SA 80,282 731,394 * LSB (La Seda de Barcelona SA) Series B 25,200 54,676 Lingotes Especiales SA 22,080 126,781 * Mecalux SA 9,500 39,288 Metrovacesa SA 14,187 432,144 * Nicolas Correa SA 15,750 53,808 Obrascon Huarte Lain SA 53,992 345,613 * Parques Reunidos SA 15,300 114,078 Pescanova SA 26,443 405,416 Prosegur Cia de Seguridad SA 38,800 637,194 Recoletos Grupo de Comunicacion SA 82,300 695,518 * SOS Cuetara SA 10,400 263,671 * Sogecable SA 34,600 1,032,749 # Sol Melia SA 112,700 801,121 Tavex Algodonera SA 31,944 125,215 * Tecnocom Telecomunicaciones y Energia SA 6,300 33,757 *# Tele Pizza SA 122,900 206,253 Transportes Azkar, SA 26,700 162,910 Tubacex SA 73,130 125,358 Unipapel SA 34,946 627,103 * Unipapel SA Shares Issue 6,989 125,417 # Uralita SA 112,831 988,702 Vidrala SA, Alava 47,040 670,453 Viscofan Industria Navarra de Envolturas Celulosicas SA 97,492 816,894 ----------------- TOTAL -- SPAIN (Cost $14,981,913) 26,107,271 ----------------- FINLAND -- (4.8%) COMMON STOCKS -- (4.8%) Alandsbanken AB Series B 1,700 39,534 * Aldata Solutions Oyj 56,965 132,474 Alma Media Oyj 7,797 261,233 * Amanda Capital Oyj 51,210 11,050 Amer-Yhtymae Oyj Series A 22,120 925,401 * Aspo P.L.C. 7,050 117,892 Aspocomp Group P.L.C. 12,738 157,274 * Basware Oyj 7,050 46,481 * Benefon Oy 1,900 934 * Biotie Therapies Oyj 39,754 38,600 Capman Oyj Series B 12,485 27,238 *# Comptel Oyj 92,066 257,143 Elcoteq Network Corp. 16,210 322,560 * Elektrobit Group Oyj 571,957 377,090 * Elisa Communications Corp. 74,525 1,022,885 * Eq Online Oyj 7,100 18,384 * Evox Rifa Group Oyj 51,210 8,594 *# F-Secure Oyj 124,968 212,719 Finnair Oyj 77,910 501,518 Finnlines Oyj 30,280 1,041,372 # Fiskars Oy AB Series A 32,370 $ 422,950 HK Ruokatalo Oy Series A 16,370 130,494 # Huhtamaki Van Leer Oyj 92,100 1,017,911 Ilkka-Yhtyma Oyj 1,890 67,968 # J.W. Suominen Yhtyma Oy 11,970 95,419 Jaakko Poyry Group Oyj 12,500 329,649 KCI Konecranes International Oyj 13,800 443,998 Kemira Oyj 118,400 1,298,650 Kesko Oyj 32,060 557,251 Laennen Tehtaat Oy 3,930 55,166 Lassila & Tikanoja Oyj 14,350 471,671 Lemminkainen Oy 14,600 358,778 Martela Oy 530 8,675 Metsaemarkka Oyj Series B 700 5,454 New Kyro Corp. Oyj 36,470 349,740 Nokian Renkaat Oyj 9,700 759,284 Nordic Aluminium Oy 1,900 18,335 * Okmetic Oyj 9,794 41,091 Okobank Class A 33,440 709,110 Olvi Oyj Series A 3,320 57,269 Orion-Yhtyma Oyj Series A 20,590 459,080 Orion-Yhtyma Oyj Series B 30,460 681,335 Outokumpu Oyj Series A 21,100 282,018 Oy Stockmann AB Series B 24,300 583,454 PK Cables Oyj 4,760 128,669 # Perlos P.L.C. Warrants 04/04/04 47,791 361,489 Pohjola Group P.L.C. Series D 46,185 1,137,158 * Polar Real Estate Corp. Series K 154,810 142,892 Ponsse Oyj 6,300 136,313 * Proha Oyj 30,082 27,406 Raisio Group P.L.C. Series V 118,423 191,641 Rakentajain Koneuvokrammo Oy 10,260 70,965 * Ramirent Oyj 5,420 93,883 Rapala VMC Oyj 30,970 197,502 * Rautaruukki Oyj Series K 126,380 931,693 Rocla Oy 1,300 10,753 * Saunalahti Group Oyj 92,364 117,362 * Scanfil Oyj 55,249 390,747 Sponda Oyj 71,121 549,891 Stockmann Oyj AB 20,480 491,489 * Stonesoft Corp. 49,279 40,169 * Suominen Corp. Issue 2003 Shares 5,985 42,687 * Sysopen P.L.C. 7,720 39,330 Talentum Oyj 18,300 103,541 * Tecnomen Holding Oyj 36,470 53,773 Teleste Corp. Oyi 11,499 81,326 Uponor Oyj Series A 34,000 988,348 * Vacon Oyj 12,497 145,310 Vaisala Oy Series A 12,650 356,351 Viking Line AB 3,240 89,756 # Wartsila Corp. Oyj Series B 40,160 746,182 Yit-Yhtymae Oyj 26,854 856,269 ----------------- TOTAL -- FINLAND (Cost $15,188,165) 23,248,021 ----------------- NORWAY -- (4.2%) COMMON STOCKS -- (4.2%) * Aker Kvaerner ASA 67,930 1,124,959 Aktiv Kapital ASA 48,017 436,298 Arendals Fosse Kompani ASA 100 8,354 * Avantor Financial Corp. 13,270 115,227
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SHARES VALUE+ ------ ------ * Blom ASA 18,367 $ 3,311 # Bonheur ASA 9,800 213,998 * C. Tybring-Gjedde ASA 1,451,452 53,179 * Choice Hotel Scandinavia ASA 27,740 74,803 * Corrocean ASA 19,321 8,070 * DOF ASA 97,006 181,972 Den Norske Oljeselkapet 85,320 325,103 *# EDB Elektronisk Data Behandling ASA 137,617 780,512 Ekornes ASA 52,390 905,998 *# Eltek ASA 40,842 298,080 * Expert ASA 48,758 242,953 Farstad Shipping ASA 60,790 512,267 * Fjord Seafood ASA 629,483 302,590 *# Fred Olsen Energy ASA 91,600 322,184 Ganger Rolf ASA 6,690 127,458 * Gresvig ASA 4,590 16,884 * Hafslund ASA 58,700 302,815 * Home Invest ASA 15,077 11,048 * Industrifinans Naeringseiendom ASA 7,582 11,112 * Kenor ASA 175,716 157,601 # Kongsberg Gruppen ASA 45,600 681,650 # Kverneland ASA 16,160 168,150 * Merkantildata ASA 320,521 230,170 * Natural ASA 10,143 63,622 *# Nera ASA 187,753 398,980 * Nordic VLSI ASA 5,000 52,759 *# Ocean Rig ASA 66,031 109,351 # Odfjell ASA Series A 24,910 489,187 Olav Thon Eiendomsselskap ASA 8,320 347,508 * P4 Radio Hele Norge ASA 32,200 17,932 *# Photocure ASA 26,690 176,018 Prosafe ASA 51,530 977,972 # Rieber and Son ASA Series A 63,654 471,101 Schibsted ASA 96,160 1,634,741 * Sinvest ASA 270,349 3,566 # Smedvig ASA Series A 83,580 563,452 * Software Innovation ASA 13,423 40,327 Solstad Offshore ASA 54,100 329,035 * Steen and Stroem ASA 19,512 353,155 * Storebrand ASA 183,330 1,120,382 * Tandberg ASA Series A 200,080 1,451,461 *# Tandberg Data ASA 58,950 161,556 * Tandberg Storage ASA 48,450 10,367 * Tandberg Television ASA 76,230 318,396 * Telecomputing ASA 44,963 74,461 *# Tgs-Nopec Geophysical Co. ASA 34,410 403,433 Tomra Systems ASA 271,280 1,538,599 * Unit 4 Agresso NV 4,620 46,718 Veidekke ASA 21,846 168,085 Visma ASA 47,393 475,775 Wilhelmshaven (Wilhelm), Ltd. ASA 28,000 718,113 ----------------- TOTAL COMMON STOCKS (Cost $17,368,700) 20,132,798 ----------------- BONDS -- (0.0%) Aker RGI Holding ASA ***4.660%, 12/05/03 (Cost $297,547) 2,010 176,761 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone (Cost $1,415) 1,423 ----------------- TOTAL -- NORWAY (Cost $17,667,662) $ 20,310,982 ----------------- DENMARK -- (4.1%) COMMON STOCKS -- (4.1%) # AS Dampskibsselsk Torm 19,830 466,467 Aarhus Oliefabrik A.S. Aeries A 4,350 220,072 * Alm. Brand A.S. 24,360 525,930 # Amagerbanken A.S. 2,394 235,288 Ambu International A.S. Series B 150 15,709 Amtssparekassen Fyn A.S. 1,968 221,640 Bang & Olufsen Holding A.S. Series B 13,387 506,870 Brodrene Hartmann A.S. Series B 5,865 123,790 Bryggerigruppen A.S. 6,015 334,349 Christian Hansen Holding A.S. Series B 10,030 555,911 *# Codan A.S. 43,400 1,363,546 DFDS A.S., Copenhagen 8,710 252,602 DSV, De Sammensluttede Vognmaend A.S. 22,630 886,005 Dalhoff, Larsen & Hornemann A.S. Series B 1,370 54,742 Danware 4,185 65,742 DiskontoBanken A.S. 535 94,387 # East Asiatic Co., Ltd. 22,723 867,680 Edb Gruppen A.S. 3,230 62,450 * FLS Industries 54,980 589,077 * Fimiston Resources & Technology Ltd. 400 3,512 Fluegger A.S. Series B 2,338 108,865 * Foras Holding A.S. Series A 7,082 65,610 Forstaedernes Bank 3,547 169,732 * GN Great Nordic A.S. 210,980 1,339,316 * Genmab A.S. 25,029 217,762 * Glunz & Jensen A.S. 1,470 11,369 H&H International A.S. Series B 1,000 191,731 * Harboes Bryggeri A.S. 260 51,107 Hojgaard Holding A.S. Series B 2,500 60,419 * IC Co. A.S. 3,510 24,318 * Incentive A.S. 3,575 10,656 * Junckers (F.) Industrier A.S. 860 8,175 * Jyske Bank A.S. 37,760 1,794,732 Kjobenhavns Sommer Tivoli A.S. 190 41,633 Koebenhavns Lufthavne 9,910 1,093,729 Kompan A.S. 230 25,384 NKT Holding A.S. 27,245 502,618 * NTR Holdings A.S. 1,130 6,918 *# Neg Micon A.S. 29,108 314,219 * Neurosearch A.S. 7,710 207,451 Per Aarsleff A.S. Series B 1,545 46,301 * Pharmexa A.S. 3,235 16,679 *# RTX Telecom A.S. 8,400 78,497 Radiometer A.S. Series B 9,188 618,789 Ringkjobing Bank 1,670 100,362 * Ringkjobing Landbobank 1,400 322,559 Rockwool, Ltd. 3,820 93,552 * SAS Danmark A.S. 34,300 339,872 Sanistal A.S. Series B 1,786 86,327 Satair A.S. 1,350 23,491 Schouw & Co. A.S. 13,585 227,635 Simcorp A.S. 5,240 195,869 Sjaelso Gruppen A.S. 2,388 159,672 * Sondagsavisen A.S. 21,165 85,252 Spar Nord Holding 4,973 394,211 Sydbank A.S. 8,172 979,596
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SHARES VALUE+ ------ ------ * TK Development 12,478 $ 34,177 Thrane & Thrane A.S. 4,208 113,902 * Topdanmark A.S. 28,300 1,431,732 Treka A.S. 8,498 134,180 VT Holdings Shares B 3,130 132,631 Vestas Wind Systems A.S. 27,377 412,423 Vestjysk Bank A.S. 1,080 288,157 * Wessel & Vett Magasin du Nord A.S Series C 2,102 46,398 ----------------- TOTAL -- DENMARK (Cost $14,772,800) 20,053,777 ----------------- BELGIUM -- (3.7%) COMMON STOCKS -- (3.7%) * Abfin SA 2,560 0 Ackermans & Van Haaren SA 24,280 520,980 * Arinso International NV 10,630 152,272 BMT NV 2,040 194,409 Banque Nationale de Belgique 710 3,045,216 Barco (New) NV 8,970 711,282 Bekaert SA 14,610 817,874 Brantano NV 2,060 66,920 * Brederode SA 12,180 228,643 CFE (Compagnie Francois d'Entreprises) 2,080 501,163 Carrieres Unies Porphyre 20 29,944 Cie Martime Belge SA 5,320 315,034 Cofinimmo SA 6,423 829,996 Commerciale de Brasserie SA COBRHA 115 96,497 # D'Ieteren SA 3,830 815,382 Deceuninck SA 63,700 1,947,148 * Docpharma SA NV 2,950 94,594 * Duvel Moorgat NV 3,870 101,178 * EVS Broadcast Equipment SA 1,100 44,832 * Exmar NV 3,080 123,684 Floridienne NV 2,033 118,195 Glaces de Moustier-sur-Sambre SA 13,370 405,642 Immobel (Cie Immobiliere de Belgique SA) 4,600 182,518 * Ion Beam Application SA 17,780 86,319 * Ipso-Ilg SA 5,990 43,082 * Kinepolis Group NV 5,020 90,264 Melexis NV 33,050 369,238 Metiers Automatiques Picanol 16,120 390,333 * Neuhaus NV 544 20,222 Nord-Sumatra Investissements SA 650 153,497 Omega Pharma SA 20,170 567,948 Papeteries de Catala SA 315 35,872 * Quick Restaurants SA 14,000 149,361 *# Real Software SA 10,280 8,996 Recticel SA 20,220 185,422 Resilux NV 1,350 102,518 Rosier SA 655 72,785 Roularta Media Groep 7,160 330,355 * SIPEF (Societe Internationale de Plantations & de Finance), Anvers 1,545 250,024 * Sait Radioholland 7,313 45,585 Sapec SA 3,635 196,299 * Sapec SA VVPR 75 70 Sioen Industries 15,500 138,423 Societe Belge Des Betons SA 8,500 $ 311,788 * Solvus SA 38,344 471,590 * Solvus SA Interim Strip VVPR 18,176 218 Spector Photo Group SA 3,688 52,830 * Systemat SA 2,450 11,131 *# Telindus Group SA 28,800 249,258 Ter Beke NV 2,281 139,449 Tessenderlo Chemie 19,550 615,405 UNIBRA 1,600 133,298 * Ubizen 14,300 15,256 * Umicore-Strip VVPR 456 295 # Union Miniere SA 9,586 640,047 VPK Packaging Group SA 6,345 197,373 Van de Velde NV 1,960 225,552 Warehouses de Pauw Sicafi 4,998 188,664 ----------------- TOTAL -- BELGIUM (Cost $12,202,800) 17,832,170 ----------------- AUSTRIA -- (2.7%) COMMON STOCKS -- (2.7%) * Austria Email AG 715 2,040 * Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 27,880 217,233 BBAG Oesterreichische Brau-Beteiligungs AG 7,984 1,181,876 BWT AG 13,530 213,925 Bank Fuer Kaernten und Steiermark AG 520 60,059 Bohler Uddeholm AG 9,020 583,118 Brau Union Goess-Reinighaus AG 10,720 1,627,879 * Ca Immobilien Invest AG 22,003 501,663 Constantia-Iso Holding AG 15,000 152,837 Constantia-Verpackungen AG 6,000 100,693 Flughafen Wien AG 14,792 629,469 * Immofinanz Immobilien Anlagen AG 165,130 1,243,097 # Lenzing AG 3,424 491,301 Manner (Josef) & Co. AG 870 34,415 Mayr-Melnhof Karton AG 9,840 1,054,631 Oberbank AG 3,555 303,416 Palfinger AG 7,610 199,869 * RHI AG, Wien 18,559 292,995 * Readymix Kies-Union AG 500 40,157 Rosenbauer International AG 850 43,773 * Sparkassen Immobilien 24,880 225,770 Ubm Realitaetenentwicklung AG 360 31,718 # Uniqa Versicherungen AG 79,223 749,286 * VA Technologie AG 11,400 316,902 Voestalpine AG 30,095 1,188,692 Wienerberger AG 63,642 1,611,991 * Wolford AG 4,100 88,466 ----------------- TOTAL COMMON STOCKS (Cost $8,758,421) 13,187,271 ----------------- RIGHTS/WARRANTS -- (0.0%) * Jenbacher AG Rights 03/31/08 (Cost $0) 7,860 0 ----------------- TOTAL -- AUSTRIA (Cost $8,758,421) 13,187,271 -----------------
114
SHARES VALUE+ ------ ------ IRELAND -- (2.7%) COMMON STOCKS -- (2.7%) Abbey P.L.C. 25,557 $ 196,069 * Arcon International Resources P.L.C. 143,750 7,237 * Ardagh P.L.C. 14,262 12,019 * Barlo Group P.L.C. 182,053 82,928 DCC P.L.C. 91,965 1,207,136 * Dragon Oil P.L.C. 104,167 57,439 * Elan Corp. P.L.C. 154,046 830,964 Fyffes P.L.C. 380,502 702,420 Glanbia P.L.C. 321,765 755,987 * Grafton Group P.L.C. 253,939 1,628,556 Greencore Group P.L.C. 213,126 779,212 Heiton Holdings P.L.C. 51,677 229,202 IAWS Group P.L.C. 105,879 1,186,700 IFG Group P.L.C. 37,599 43,268 IWP International P.L.C. 39,611 14,245 Independent News & Media P.L.C. 618,550 1,497,771 * Iona Technologies P.L.C. 21,281 98,214 Irish Intercontental Group P.L.C. 18,872 228,485 Jurys Hotel Group P.L.C. 69,061 836,130 Kingspan Group P.L.C. 183,188 878,368 McInerney Holdings P.L.C. 33,991 165,835 Paddy Power P.L.C. 49,663 415,535 Readymix P.L.C. 109,762 243,413 Ryan Hotels P.L.C. 68,061 85,666 United Drug P.L.C. 188,448 535,376 Waterford Wedgwood P.L.C. 806,657 270,749 ----------------- TOTAL -- IRELAND (Cost $9,498,217) 12,988,924 ----------------- PORTUGAL -- (1.6%) COMMON STOCKS -- (1.6%) * Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 194,100 211,732 * EFACEC (Empresa Fabril de Maquinas Electricas) 20,200 77,485 * Ibersol SGPS SA 14,462 67,263 * Impresa Sociedade Gestora de Participacoes Socias SA 163,000 679,964 * Impresa Sociedade Gestora de Participacoes Socias SA New Shares 27,166 113,325 * Investimentos Participacoes e Gestao SA Inapa 43,702 137,777 * Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho Administracao e Participacoes Financeiros SA) 130,000 1,371,341 * Mota-Engil SGPS SA 250,900 448,132 * Novabase SGPS 56,005 399,451 * Portucel-Empresa Produtora de Pasta de Papel SA 466,977 778,090 * Sag Gest - Solucoes Automovel Globais SGPS SA 235,500 409,334 * Salvador Caetano - Industrias Metalurgicas e Veiculos de Transporte SA 54,900 197,430 * Sociedad Construcoes Soares da Costa SA 19,200 $ 44,190 * Sociedade de Investimento e Gestao SGPS SA 160,396 721,015 * Sonae SGPS SA 1,079,900 906,152 * Sonaecom SGPS SA 321,175 885,501 * Teixeira Duarte Engenharia e Construcoes SA 609,000 562,118 ----------------- TOTAL -- PORTUGAL (Cost $6,340,397) 8,010,300 ----------------- EMU -- (0.1%) INVESTMENT IN CURRENCY -- (0.1%) * Euro Currency (Cost $463,597) 475,138 ----------------- UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * InFocus Corp. (Cost $190,357) 10,455 82,804 ----------------- UNITED KINGDOM -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling (Cost $7,627) 8,306 ----------------- FACE AMOUNT ------ (000) TEMPORARY CASH INVESTMENTS -- (8.8%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $4,625,000 FHLB Notes 1.875%, 02/15/05, valued at $4,659,688) to be repuchased at $4,590,314 (Cost $4,590,000) $ 4,590 4,590,000 Repurchase agreements in a Pooled Cash Account, Mizuho Securities USA, 1.05%, 12/01/03 (Collateralized by $54,183,000 U.S. Treasury Obligations, rates ranging from 2.976% to 5.625%, maturities ranging from 02/15/06 to 11/15/25, valued at $38,000,919) to be repurchased at $38,004,244 (Cost $38,000,919)^ 38,001 38,000,919 ----------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $42,590,919) 42,590,919 ----------------- TOTAL INVESTMENTS -- (100.0%) (Cost $366,549,627)++ $ 485,434,900 =================
---------- + 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 *** Rates shown are the rates as of November 30, 2003, and maturities shown are the next interest readjustment date. ++ The cost for federal income tax purposes is $363,107,669 See accompanying Notes to Financial Statements. 115 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
THE U.S. THE U.S. THE U.S. THE DFA LARGE LARGE SMALL INTERNATIONAL COMPANY CAP VALUE CAP VALUE SERIES SERIES SERIES SERIES -------------- -------------- -------------- -------------- ASSETS: Investments at Value (including $475,208, $471,415, $114,796 and $116,108 of securities on loan, respectively) $ 3,481,491 $ 3,002,702 $ 1,596,108 $ 1,721,239 Cash 4,161 1 -- 15 Receivables: Investment Securities Sold -- -- 1,437 360 Dividends, Interest, and Tax Reclaims 4,882 5,099 703 4,011 Securities Lending 34 30 51 59 Fund Shares Sold 1,784 2,721 1,339 2,680 Fund Margin Variation 72 -- -- -- Prepaid Expenses and Other Assets 3 1 6 4 -------------- -------------- -------------- -------------- Total Assets 3,492,427 3,010,554 1,599,644 1,728,368 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Collateral on Securities Loaned 490,794 491,258 121,020 122,981 Investment Securities Purchased -- 8,288 250 126 Fund Shares Redeemed 375 -- 9,756 10 Due to Advisor 62 203 36 262 Accrued Expenses and Other Liabilities 199 143 96 211 -------------- -------------- -------------- -------------- Total Liabilities 491,430 499,892 131,158 123,590 -------------- -------------- -------------- -------------- NET ASSETS $ 3,000,997 $ 2,510,662 $ 1,468,486 $ 1,604,778 ============== ============== ============== ============== SHARES OUTSTANDING $.01 PAR VALUE N/A 162,958,804 106,137,727 129,429,345 ============== ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE N/A $ 15.41 $ 13.84 $ 12.40 ============== ============== ============== ============== Investments at Cost $ 2,988,680 $ 2,659,796 $ 1,408,683 $ 1,488,484 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 116
THE THE JAPANESE THE PACIFIC THE UNITED CONTINENTAL SMALL RIM SMALL KINGDOM SMALL SMALL COMPANY COMPANY COMPANY COMPANY SERIES SERIES SERIES SERIES ------------ ------------ ------------- ----------- ASSETS: Investments at Value (including $70,102, $14,329, $0 and $35,965 of securities on loan, respectively) $ 357,956 $ 174,033 $ 164,366 $ 485,435 Cash 16 15 16 16 Receivables: Investment Securities Sold 225 2 -- 66 Dividends, Interest, and Tax Reclaims 1,019 233 338 1,153 Securities Lending -- 19 -- -- Fund Shares Sold -- -- 152 -- ------------ ------------ ------------- ----------- Total Assets 359,216 174,302 164,872 486,670 ------------ ------------ ------------- ----------- LIABILITIES: Payables: Collateral on Securities Loaned 73,727 16,984 -- 38,001 Investment Securities Purchased 1,714 490 3,908 153 Due to Advisor 24 13 13 36 Accrued Expenses and Other Liabilities 52 50 34 73 ------------ ------------ ------------- ----------- Total Liabilities 75,517 17,537 3,955 38,263 ------------ ------------ ------------- ----------- NET ASSETS $ 283,699 $ 156,765 $ 160,917 $ 448,407 ============ ============ ============= =========== Investments at Cost $ 490,771 $ 188,619 $ 124,176 $ 366,550 ============ ============ ============= ===========
See accompanying Notes to Financial Statements. 117 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS)
THE U.S. THE U.S. THE U.S. THE DFA LARGE LARGE SMALL INTERNATIONAL COMPANY CAP VALUE CAP VALUE SERIES SERIES SERIES SERIES ------------ ------------ ------------- ------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $0, $0 and $2,957, respectively) $ 46,239 $ 33,828 $ 8,704 $ 33,562 Interest 613 303 174 415 Income from Securities Lending 343 216 597 1,427 ------------ ------------ ------------- ------------- Total Investment Income 47,195 34,347 9,475 35,404 ------------ ------------ ------------- ------------- EXPENSES Investment Advisory Services 652 1,939 310 2,439 Accounting & Transfer Agent Fees 417 700 370 802 Custodian Fees 101 185 99 361 Legal Fees 26 20 10 13 Audit fees 40 26 16 17 S&P 500 Fees 75 -- -- -- Shareholders' Reports 60 37 27 27 Trustees' Fees and Expenses 41 27 13 8 Other 21 29 5 7 ------------ ------------ ------------- ------------- Total Expenses 1,433 2,963 850 3,674 ------------ ------------ ------------- ------------- NET INVESTMENT INCOME (LOSS) 45,762 31,384 8,625 31,730 ------------ ------------ ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold (137,474) (48,309) 11,512 (3,540) Net Realized Gain (Loss) on Futures 9,903 -- -- -- Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- 205 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 447,952 415,785 370,338 379,196 Futures (3,012) -- -- -- Translation of Foreign Currency Denominated Amounts -- -- -- 114 ------------ ------------ ------------- ------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 317,369 367,476 381,850 375,975 ------------ ------------ ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 363,131 $ 398,860 $ 390,475 $ 407,705 ============ ============ ============= =============
See accompanying Notes to Financial Statements. 118
THE THE THE THE JAPANESE PACIFIC UNITED CONTINENTAL SMALL RIM SMALL KINGDOM SMALL COMPANY COMPANY SMALL COMPANY COMPANY SERIES SERIES SERIES SERIES ------------ ------------ ------------- ----------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $354, $142, $408 and $1,105, respectively) $ 3,107 $ 4,363 $ 4,062 $ 7,905 Interest 54 34 28 240 Income from Securities Lending 717 133 -- 555 ------------ ------------ ------------- ----------- Total Investment Income 3,878 4,530 4,090 8,700 ------------ ------------ ------------- ----------- EXPENSES Investment Advisory Services 229 124 116 311 Accounting & Transfer Agent Fees 294 159 148 381 Custodian Fees 98 95 30 236 Legal Fees 2 -- 1 4 Audit Fees 2 1 2 5 Shareholders' Reports 2 1 2 2 Trustees' Fees and Expenses 3 1 1 4 Other 3 2 1 4 ------------ ------------ ------------- ----------- Total Expenses 633 383 301 947 ------------ ------------ ------------- ----------- NET INVESTMENT INCOME (LOSS) 3,245 4,147 3,789 7,753 ------------ ------------ ------------- ----------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold (18,120) (436) (1,016) 12,045 Net Realized Gain (Loss) on Foreign Currency Transactions 54 18 30 315 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 101,101 56,281 42,580 120,867 Translation of Foreign Currency Denominated Amounts 16 4 5 69 ------------ ------------ ------------- ----------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 83,051 55,867 41,599 133,296 ------------ ------------ ------------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 86,296 $ 60,014 $ 45,388 $ 141,049 ============ ============ ============= ===========
See accompanying Notes to Financial Statements. 119 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE U.S. LARGE THE U.S. LARGE COMPANY SERIES CAP VALUE SERIES ------------------------------ -------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------- ------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 45,762 $ 42,191 $ 31,384 $ 24,626 Net Realized Gain (Loss) on Investment Securities Sold (137,474) (211,200) (48,309) (21,142) Net Realized Gain (Loss) on Futures 9,903 (12,710) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 447,952 (356,042) 415,785 (154,346) Futures (3,012) 5,220 -- -- ------------ ------------ ------------- ------------- Net Increase (Decrease) in Net Assets Resulting from Operations 363,131 (532,541) 398,860 (150,862) ------------ ------------ ------------- ------------- Distributions From: Net Investment Income -- -- (31,464) (23,538) ------------ ------------ ------------- ------------- Total Distributions -- -- (31,464) (23,538) ------------ ------------ ------------- ------------- Capital Share Transactions (1): Shares Issued -- -- 495,839 472,038 Shares Issued in Lieu of Cash Distributions -- -- 31,027 22,203 Shares Redeemed -- -- (121,409) (219,115) ------------ ------------ ------------- ------------- Net Increase (Decrease) from Capital Share Transactions -- -- 405,457 275,126 ------------ ------------ ------------- ------------- Transactions in Interest: Contributions 547,508 962,613 -- -- Withdrawals (533,199) (638,165) -- -- ------------ ------------ ------------- ------------- Net Increase (Decrease) from Transactions in Interest 14,309 324,448 -- -- ------------ ------------ ------------- ------------- Total Increase (Decrease) 377,440 (208,093) 772,853 100,726 NET ASSETS Beginning of Period 2,623,557 2,831,650 1,737,809 1,637,083 ------------ ------------ ------------- ------------- End of Period $ 3,000,997 $ 2,623,557 $ 2,510,662 $ 1,737,809 ============ ============ ============= ============= (1) SHARES ISSUED AND REDEEMED: Shares Issued 36,572 34,223 Shares Issued in Lieu of Cash Distributions N/A N/A 2,270 1,587 Shares Redeemed (9,461) (15,622) ------------- ------------- 29,381 20,188 ============= =============
See accompanying Notes to Financial Statements. 120
THE DFA THE U.S. SMALL INTERNATIONAL CAP SERIES VALUE SERIES ------------------------------ -------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------- ------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 8,625 $ 7,934 $ 31,730 $ 27,614 Net Realized Gain (Loss) on Investment Securities Sold 11,512 59,084 (3,540) 2,766 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- 205 (42) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 370,338 (149,677) 379,196 (97,155) Translation of Foreign Currency Denominated Amounts -- -- 114 202 ------------ ------------ ------------- ------------- Net Increase (Decrease) in Net Assets Resulting from Operations 390,475 (82,659) 407,705 (66,615) ------------ ------------ ------------- ------------- Distributions From: Net Investment Income (8,820) (8,137) (30,082) (29,420) Net Short-Term Gains -- (4,872) -- (340) Net Long-Term Gains -- (7,758) (1,177) (2,606) ------------ ------------ ------------- ------------- Total Distributions (8,820) (20,767) (31,259) (32,366) ------------ ------------ ------------- ------------- Capital Share Transactions (1): Shares Issued 397,476 348,458 542,740 354,850 Shares Issued in Lieu of Cash Distributions 8,584 20,303 31,258 32,365 Shares Redeemed (171,130) (404,516) (471,133) (370,867) ------------ ------------ ------------- ------------- Net Increase (Decrease) from Capital Share Transactions 234,930 (35,755) 102,865 16,348 ------------ ------------ ------------- ------------- Total Increase (Decrease) 616,585 (139,181) 479,311 (82,633) NET ASSETS Beginning of Period 851,901 991,082 1,125,467 1,208,100 ------------ ------------ ------------- ------------- End of Period $ 1,468,486 $ 851,901 $ 1,604,778 $ 1,125,467 ============ ============ ============= ============= (1) SHARES ISSUED AND REDEEMED: Shares Issued 34,898 31,359 53,795 36,168 Shares Issued in Lieu of Cash Distributions 658 1,875 2,986 3,202 Shares Redeemed (15,197) (36,939) (47,941) (37,827) ------------ ------------ ------------- ------------- 20,359 (3,705) 8,840 1,543 ============ ============ ============= =============
See accompanying Notes to Financial Statements. 121
THE JAPANESE SMALL THE PACIFIC RIM COMPANY SERIES SMALL COMPANY SERIES ------------------------------ -------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------- ------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 3,245 $ 2,638 $ 4,147 $ 5,077 Net Realized Gain (Loss) on Investment Securities Sold (18,120) (5,702) (436) (624) Net Realized Gain (Loss) on Foreign Currency Transactions 54 140 18 (15) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 101,101 (14,390) 56,281 5,451 Translation of Foreign Currency Denominated Amounts 16 39 4 (3) ------------ ------------ ------------- ------------- Net Increase (Decrease) in Net Assets Resulting from Operations 86,296 (17,275) 60,014 9,886 ------------ ------------ ------------- ------------- Transactions in Interest: Contributions 53,153 46,066 25,155 12,243 Withdrawals (50,797) (29,931) (50,041) (31,046) ------------ ------------ ------------- ------------- Net Increase (Decrease) from Transactions in Interest 2,356 16,135 (24,886) (18,803) ------------ ------------ ------------- ------------- Total Increase (Decrease) 88,652 (1,140) 35,128 (8,917) NET ASSETS Beginning of Period 195,047 196,187 121,637 130,554 ------------ ------------ ------------- ------------- End of Period $ 283,699 $ 195,047 $ 156,765 $ 121,637 ============ ============ ============= =============
See accompanying Notes to Financial Statements. 122
THE UNITED KINGDOM THE CONTINENTAL SMALL COMPANY SERIES SMALL COMPANY SERIES ------------------------------ -------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------- ------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 3,789 $ 3,080 $ 7,753 $ 5,452 Net Realized Gain (Loss) on Investment Securities Sold (1,016) (74) 12,045 3,013 Net Realized Gain (Loss) on Foreign Currency Transactions 30 79 315 134 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 42,580 (7,990) 120,867 (4,955) Translation of Foreign Currency Denominated Amounts 5 4 69 147 ------------ ------------ ------------- ------------- Net Increase (Decrease) in Net Assets Resulting from Operations 45,388 (4,901) 141,049 3,791 ------------ ------------ ------------- ------------- Transactions in Interest: Contributions 41,630 19,447 97,585 79,614 Withdrawals (25,000) (12,388) (53,295) (30,674) ------------ ------------ ------------- ------------- Net Increase (Decrease) from Transactions in Interest 16,630 7,059 44,290 48,940 ------------ ------------ ------------- ------------- Total Increase (Decrease) 62,018 2,158 185,339 52,731 NET ASSETS Beginning of Period 98,899 96,741 263,068 210,337 ------------ ------------ ------------- ------------- End of Period $ 160,917 $ 98,899 $ 448,407 $ 263,068 ============ ============ ============= =============
See accompanying Notes to Financial Statements. 123 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE U.S. LARGE COMPANY SERIES ---------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ Total From Investment Operations -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- Net Realized Gains -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ Total Distributions -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ ================================================================================================================================== Total Return 15.05% (16.59)% (12.30)% (4.25)% 20.86% ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812 $ 2,775,062 Ratio of Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.06% 0.06% Ratio of Net Investment Income to Average Net Assets 1.75% 1.53% 1.26% 1.12% 1.27% Portfolio Turnover Rate 8% 11% 8% 8% 4% ---------------------------------------------------------------------------------------------------------------------------------- THE U.S. LARGE CAP VALUE SERIES ---------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 13.01 $ 14.44 $ 14.71 $ 17.79 $ 18.79 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.21 0.20 0.25 0.33 0.34 Net Gains (Losses) on Securities (Realized and Unrealized) 2.41 (1.43) 1.25 0.04 0.46 ------------ ------------ ------------ ------------ ------------ Total From Investment Operations 2.62 (1.23) 1.50 0.37 0.80 ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.22) (0.20) (0.27) (0.32) (0.34) Net Realized Gains -- -- (1.50) (3.13) (1.46) ------------ ------------ ------------ ------------ ------------ Total Distributions (0.22) (0.20) (1.77) (3.45) (1.80) ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 ================================================================================================================================== Total Return 20.34% (8.64)% 10.97% 3.06% 4.64% ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343 $ 1,788,082 Ratio of Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.16% 0.16% Ratio of Net Investment Income to Average Net Assets 1.62% 1.49% 1.66% 2.20% 1.80% Portfolio Turnover Rate 7% 9% 6% 26% 43% -----------------------------------------------------------------------------------------------------------------------------------
N/A+ Not applicable as The U.S. Large Company Series is organized as a partnership. See accompanying Notes to Financial Statements. 124
THE U.S. SMALL CAP SERIES ---------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 9.93 $ 11.08 $ 11.67 $ 12.24 $ 11.46 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.08 0.09 0.10 0.11 0.10 Net Gains (Losses) on Securities (Realized and Unrealized) 3.92 (1.00) 1.24 0.65 1.83 ------------ ------------ ------------ ------------ ------------ Total From Investment Operations 4.00 (0.91) 1.34 0.76 1.93 ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.09) (0.10) (0.10) (0.11) (0.11) Net Realized Gains -- (0.14) (1.83) (1.22) (1.04) ------------ ------------ ------------ ------------ ------------ Total Distributions (0.09) (0.24) (1.93) (1.33) (1.15) ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24 ================================================================================================================================== Total Return 40.32% (8.42)% 13.08 6.48% 18.62% ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,468,486 $ 851,901 $ 991,082 $ 768,151 $ 586,086 Ratio of Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.09% Ratio of Net Investment Income to Average Net Assets 0.84% 0.81% 0.94% 0.99% 0.89% Portfolio Turnover Rate 16% 34% 13% 38% 29% ---------------------------------------------------------------------------------------------------------------------------------- THE DFA INTERNATIONAL VALUE SERIES ---------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 9.33 $ 10.15 $ 12.07 $ 13.18 $ 11.95 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.27 0.24 0.27 0.27 0.28 Net Gains (Losses) on Securities (Realized and Unrealized) 3.06 (0.78) (1.49) (0.31) 1.29 ------------ ------------ ------------ ------------ ------------ Total From Investment Operations 3.33 (0.54) (1.22) (0.04) 1.57 ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.25) (0.25) (0.27) (0.26) (0.31) Net Realized Gains (0.01) (0.03) (0.43) (0.81) (0.03) ------------ ------------ ------------ ------------ ------------ Total Distributions (0.26) (0.28) (0.70) (1.07) (0.34) ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 ================================================================================================================================== Total Return 36.24% (5.53)% (10.75)% (0.51)% 13.27% ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481 $ 1,660,377 Ratio of Expenses to Average Net Assets 0.30% 0.30% 0.29% 0.29% 0.29% Ratio of Net Investment Income to Average Net Assets 2.61% 2.36% 2.32% 2.13% 2.17% Portfolio Turnover Rate 14% 18% 6% 9% 6% ----------------------------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements. 125
THE JAPANESE SMALL COMPANY SERIES ---------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ Total From Investment Operations -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- Net Realized Gains -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ Total Distributions -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ ================================================================================================================================== Total Return 47.87% (9.62)% (13.51)% (9.93)% 33.83% ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 283,699 $ 195,047 $ 196,187 $ 196,118 $ 202,676 Ratio of Expenses to Average Net Assets 0.28% 0.27% 0.28% 0.27% 0.28% Ratio of Net Investment Income to Average Net Assets 1.41% 1.26% 1.41% 1.38% 1.10% Portfolio Turnover Rate 16% 5% 9% 6% 6% ---------------------------------------------------------------------------------------------------------------------------------- THE PACIFIC RIM SMALL COMPANY SERIES ---------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ Total From Investment Operations -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- Net Realized Gains -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ Total Distributions -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ ================================================================================================================================== Total Return 61.47% 7.28% (10.99)% 54.81% (23.75)% ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 156,765 $ 121,637 $ 130,554 $ 131,888 $ 183,759 Ratio of Expenses to Average Net Assets 0.31% 0.32% 0.28% 0.29% 0.48% Ratio of Net Investment Income to Average Net Assets 3.35% 3.77% 3.69% 4.10% 2.95% Portfolio Turnover Rate 15% 26% 10% 7% 34% ----------------------------------------------------------------------------------------------------------------------------------
N/A+ Not applicable as The Japanese Small Company Series and The Pacific Rim Small Company Series are organized as partnerships. See accompanying Notes to Financial Statements. 126
THE UNITED KINGDOM SMALL COMPANY SERIES ---------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ Total From Investment Operations -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- Net Realized Gains ------------ ------------ ------------ ------------ ------------ Total Distributions -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ ================================================================================================================================== Total Return 44.65% (8.45)% (4.89)% (6.18)% 36.75% ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 160,917 $ 98,899 $ 96,741 $ 109,806 $ 132,127 Ratio of Expenses to Average Net Assets 0.26% 0.26% 0.27% 0.26% 0.26% Ratio of Net Investment Income to Average Net Assets 3.25% 3.03% 2.86% 3.06% 3.55% Portfolio Turnover Rate 7% 6% 14% 11% 5% ---------------------------------------------------------------------------------------------------------------------------------- THE CONTINENTAL SMALL COMPANY SERIES ---------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ Total From Investment Operations -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- Net Realized Gains ------------ ------------ ------------ ------------ ------------ Total Distributions -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ ================================================================================================================================== Total Return 52.86% 3.22% (5.43)% 2.67% (5.89)% ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 448,407 $ 263,068 $ 210,337 $ 226,724 $ 252,368 Ratio of Expenses to Average Net Assets 0.30% 0.31% 0.30% 0.28% 0.27% Ratio of Net Investment Income to Average Net Assets 2.49% 2.22% 2.73% 2.36% 1.92% Portfolio Turnover Rate 11% 12% 12% 9% 11% ----------------------------------------------------------------------------------------------------------------------------------
N/A+ Not applicable as The United Kingdom Small Company Series and The Continental Small Company Series are organized as partnerships. See accompanying Notes to Financial Statements. 127 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: The DFA Investment Trust Company (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940. At November 30, 2003, the Trust consisted of twenty-five investment portfolios, of which eight are included in this section of the report and three are presented elsewhere in this report (collectively, the "Series"): The U.S. Large Company Series The U.S. Large Cap Value Series The U.S. Small Cap Series (the "Domestic Equity Portfolios") The DFA International Value Series The Japanese Small Company Series The Pacific Rim Small Company Series The United Kingdom Small Company Series The Continental Small Company Series (the "International Equity Portfolios") In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America for investment companies. Such policies are consistently followed by the Trust in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day. Effective May 21, 2003, securities held by the Series that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Series values the securities at the mean between the most recent bid and asked prices. Securities held by the International Equity Portfolios that are listed on a securities exchange are valued at the last quoted sale price. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are available are valued at the mean between the most recent bid and asked prices. Securities for which quotations are not readily available are valued in good faith at fair value using methods approved by the Board of Trustees. The Series values its investment securities at fair value based upon procedures approved by the Board on days when significant events occur after the close of the principal exchange on which the securities are traded, and as a result, are expected to materially affect the value of the investments. 2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities of the International Equity Portfolios whose values are initially expressed in foreign currencies are translated to U.S. dollars at the mean price of such currency against U.S. dollars last quoted by a major bank. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. 128 The International Equity Portfolios do not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may defer payment of a percentage of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Trustees' Fees and Expenses. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Discount and premium on securities purchased are amortized over the lives of the respective securities. Expenses directly attributable to a Series are directly charged. Common expenses are allocated using methods approved by the Board of Trustees, generally based on average net assets. The International Equity Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The International Equity Portfolios accrue such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales of foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Trust. For the year ended November 30, 2003, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates: The U.S. Large Company Series 0.025 of 1% The U.S. Large Cap Value Series 0.10 of 1% The U.S. Small Cap Series 0.03 of 1% The DFA International Value Series 0.20 of 1% The Japanese Small Company Series 0.10 of 1% The Pacific Rim Small Company Series 0.10 of 1% The United Kingdom Small Company Series 0.10 of 1% The Continental Small Company Series 0.10 of 1%
Certain officers of the Series are also officers, directors and shareholders of the Advisor. 129 D. DEFERRED COMPENSATION: At November 30, 2003, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities as follows: The U.S. Large Company Series $ 38,976 The U.S. Large Cap Value Series 28,646 The U.S. Small Cap Series 15,082 The DFA International Value Series 17,973 The Japanese Small Company Series 3,387 The Pacific Rim Small Company Series 1,828 The United Kingdom Small Company Series 1,709 The Continental Small Company Series 4,540
E. PURCHASE AND SALES OF SECURITIES: For the year ended November 30, 2003, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands):
OTHER INVESTMENT SECURITIES ----------------------- PURCHASES SALES ---------- ---------- The U.S. Large Company Series $ 277,992 $ 209,469 The U.S. Large Cap Value Series 526,814 127,799 The U.S. Small Cap Series 389,381 160,076 The DFA International Value Series 275,257 170,331 The Japanese Small Company Series 38,938 35,111 The Pacific Rim Small Company Series 18,448 36,918 The United Kingdom Small Company Series 30,044 8,326 The Continental Small Company Series 90,324 33,179
There were no purchases or sales of U.S. Government Securities during the year ended November 30, 2003. F. FEDERAL INCOME TAXES: It is the intention of The U.S. Large Cap Value Series, The U.S. Small Cap Series and The DFA International Value Series to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and to distribute substantially all of their taxable income and capital gains to shareholders. Because income tax regulations differ from accounting principles generally accepted in the United States of America, the timing and character of income and capital gain distributions determined in accordance with tax regulations can differ from income and capital gains recognized for financial reporting purposes. Accordingly, the character of distributions and the composition of net assets for tax purposes can differ from those reflected in the financial statements. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid in capital, accumulated net realized gain (loss) or undistributed net investment income as appropriate, in the period the differences arise. These reclassifications have no effect on net assets or net asset value per share. The components of distributable earnings on a tax basis do not differ materially from book basis distributable earnings, which are disclosed in the Components of Net Assets. The U.S. Large Company Series, The Japanese Small Company Series, The Pacific Rim Small Company Series, The United Kingdom Small Company Series and The Continental Small Company Series are treated as partnerships for federal income tax purposes and therefore, no provision for federal income taxes is required. Any interest, dividends, and gains or losses have been deemed to have been "passed down" to their Feeder Funds. 130 During the year ended November 30, 2003, The DFA International Value Series realized net foreign currency gains/losses in the amount of $205,083 which increased/decreased distributable net income for tax purposes; accordingly such gains/losses have been reclassified from accumulated net realized gains/losses to accumulated net investment income (loss). At November 30, 2003, gross unrealized appreciation and depreciation for federal income tax purposes of investment securities and foreign currencies was as follows (amounts in thousands):
GROSS UNREALIZED GROSS UNREALIZED APPRECIATION DEPRECIATION NET ---------------- ---------------- ---------- The U.S. Large Company Series $ 692,670 $ (340,241) $ 352,429 The U.S. Large Cap Value Series 501,726 (158,963) 342,763 The U.S. Small Cap Series 367,666 (183,924) 183,742 The DFA International Value Series 377,031 (147,998) 229,033 The Japanese Small Company Series 27,406 (163,054) (135,648) The Pacific Rim Small Company Series 37,402 (52,994) (15,592) The United Kingdom Small Company Series 60,761 (21,014) 39,747 The Continental Small Company Series 152,374 (30,047) 122,327
For federal income tax purposes, the Series measures its capital loss carryforwards annually at November 30, its fiscal year end. As of November 30, 2002, the following Portfolios had capital loss carryforwards for federal income tax purposes (amounts in thousands):
EXPIRES ON NOVEMBER 30, --------------------------------- 2009 2010 2011 TOTAL --------- --------- --------- --------- The U.S. Large Cap Value Series $ 11,185 $ 21,142 $ 48,335 $ 80,662 The DFA International Value Series -- -- 3,507 3,507
Certain of the DFA International Value Series' investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation/(depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. The Series had unrealized appreciation/(depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies of $3,502,361 and $7,718,955 respectively, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income. G. COMPONENTS OF NET ASSETS: At November 30, 2003, 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) ------------ ----------- ------------ ------------ The U.S. Large Cap Value Series $ 2,246,856 $ 1,705 $ (80,806) -- The U.S. Small Cap Series 1,283,918 193 (3,050) -- The DFA International Value Series 1,374,522 771 (3,675) $ 205 UNREALIZED APPRECIATION UNREALIZED (DEPRECIATION) OF NET FOREIGN INVESTMENT EXCHANGE NUMBER OF SECURITIES AND GAIN TOTAL NET SHARES FOREIGN CURRENCY (LOSS) ASSETS AUTHORIZED ----------------- ----------- ----------- ---------- The U.S. Large Cap Value $ 342,907 -- $ 2,510,662 Unlimited Series 187,425 -- 1,468,486 Unlimited The U.S. Small Cap Series The DFA International 232,755 200 1,604,778 Unlimited Value Series
131 H. FINANCIAL INSTRUMENTS: In accordance with the Series' Investment Objectives and Policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Trust's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on November 28, 2003. 2. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain consideration and risks not typically associated with investments in the United States, including the possibility of future political and economic developments and the level of foreign government supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Series may be inhibited. 3. FUTURES CONTRACTS. During the year ended November 30, 2003, The U.S. Large Company Series ("Large Company") entered into futures contracts in accordance with its investment objectives. Upon entering into a futures contract, Large Company deposits cash or pledges U.S. Government securities to a broker, equal to the minimum "initial margin" requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by Large Company as unrealized gains or losses until the contracts are closed. When the contracts are closed, Large Company records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. At November 30, 2003, Large Company had outstanding 259 long futures contracts on the S&P 500 Index, all of which expire on December 19, 2003. The value of such contracts on November 30, 2003 was $68,492,550 which resulted in an unrealized gain of $2,241,326. 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. I. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated at any time. For the year ended November 30, 2003, borrowings under the line were as follows:
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD ------------- ------------ ----------- -------- --------------- The U.S. Large Cap Value Series 2.02% $ 5,536,333 6 $ 1,862 $ 13,752,000 The U.S. Small Cap Series 1.81% 217,000 1 11 217,000
There were no outstanding borrowings under the line of credit at November 30, 2003. 132 The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2004. There were no borrowings by the Series under the line of credit during the year ended November 30, 2003. J. SECURITIES LENDING: As of November 30, 2003, some of the Series' portfolios had securities on loan to brokers/dealers, for which each portfolio held cash collateral. Each portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% of the market value of the securities on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, PNCBank, National Association, the lending agent has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. Each portfolio, along with other portfolios of the Series, invests the cash collateral received from securities on loan in a pooled cash account, which invests in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. 133 REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS TO THE SHAREHOLDERS OF THE SERIES, AS DEFINED, AND BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights presents fairly, in all material respects, the financial position of The U.S. Large Company Series, The U.S. Large Cap Value Series, The U.S. Small Cap Series, The DFA International Value Series, The Japanese Small Company Series, The Pacific Rim Small Company Series, The United Kingdom Small Company Series and The Continental Small Company Series (constituting portfolios within The DFA Investment Trust Company, hereafter referred to as the "Series") at November 30, 2003, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Series' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2003 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 15, 2004 134 FUND MANAGEMENT TRUSTEES/DIRECTORS Each Board of Trustees/Directors of The DFA Investment Trust Company Inc. ("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund Inc. ("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for establishing the Fund's policies and for overseeing the management of the Fund. The Trustees/Directors of the Funds, including all of the disinterested Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the "Feeder Portfolios") that invest in certain series of DFAITC or DEM (the "Master Funds"). Each Board has two standing committees, an Audit Committee and a Portfolio Performance and Service Review Committee (the "Performance Committee"). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Director. The Audit Committee oversees the Fund's accounting and financial reporting policies and practices, the Fund's internal controls, the Fund's financial statements and the independent audits thereof and performs other oversight functions as requested by the Board of Trustee's/Directors. The Audit Committee recommends the appointment of each Fund's independent certified public accountants and also acts as a liaison between the Fund's independent certified public accountants and the full Board. There were four Audit Committee meetings held during the fiscal year ended November 30, 2003. The Performance Committee is comprised of Messrs. Constantinides and Ibbotson, Ms. Smith, John R. Gould, Myron S. Scholes and Robert C. Merton. Each member of the Fund's Performance Committee is a disinterested Director. The Performance Committee regularly reviews and monitors the investment performance of the Fund's series and reviews the performance of the Fund's service providers. There were two Performance Committee meetings held during the fiscal year ended November 30, 2003. Certain biographical information for each disinterested Trustee/Director and each interested Trustee/Director of the Funds is set forth in the tables below, including a description of each Trustee/Director's experience as a Trustee/Director of the Funds and as a director or trustee of other funds, as well as other recent professional experience. The statements of additional information (together, "SAI") of the Funds include additional information about each Trustee/Director. You may obtain copies of the SAI and prospectus of each Fund advised by Dimensional Fund Advisors Inc. by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica, California 90401. Prospectuses are also available at www.dfafunds.com.
NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(s) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD ----------------------------------------------------------------------------------------------------------------------------------- DISINTERESTED TRUSTEES/DIRECTORS George M. Constantinides DFAITC - since 1993 90 portfolios in 4 Leo Melamed Professor of Finance, Graduate School Director of DFAIDG, DIG DFAIDG - since 1983 investment companies of Business, University of Chicago. and DEM. DIG - since 1993 Trustee of DFAITC. DEM - since 1994 1101 E. 58th Street Chicago, IL 60637 Date of Birth: 9/22/47 John P. Gould DFAITC - since 1993 90 portfolios in 4 Steven G. Rothmeier Distinguished Service Director of DFAIDG, DIG DFAIDG - since 1986 investment companies Professor of Economics, Graduate School of and DEM. DIG - since 1993 Business, University of Chicago. Senior Trustee of DFAITC. DEM - since 1994 Vice-President, Lexecon Inc. (economics, law, 1101 E. 58th Street strategy and finance consulting). Formerly, Chicago, IL 60637 President, Cardean University (division of Date of Birth: 1/19/39 UNext.com). Member of the Boards of Milwaukee Mutual Insurance Company and UNext.com. Formerly, Trustee, First Prairie Funds (registered investment company). Trustee, Harbor Fund (registered investment company) (13 Portfolios).
135
NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(s) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD ----------------------------------------------------------------------------------------------------------------------------------- Roger G. Ibbotson DFAITC - since 1993 90 portfolios in 4 Professor in Practice of Finance, Yale School of Director of DFAIDG, DIG and DEM. DFAIDG - since 1981 investment companies Management. Director, BIRR Portfolio Analysis, Trustee of DFAITC. DIG - since 1993 Inc. (software products). Chairman, Ibbotson Yale School of Management DEM - since 1994 Associates, Inc., Chicago, IL (software, data, P.O. Box 208200 publishing and consulting). Partner, Zebra Capital New Haven, CT Management, LLC (hedge fund manager). Formerly, 06520-8200 Director, Hospital Fund, Inc. (investment Date of Birth: 5/27/43 management services). Robert C. Merton DFA ITC - since 2003 90 portfolios in 4 John and Natty McArthur University Professor, Harvard Business School DFA IDG - since 2003 investment companies Graduate School of Business Administration, 397 Morgan Hall DFA DIG - since 2003 Harvard University (since 1998). George Fisher Soldiers Field DEM - since 2003 Baker Professor of Business Administration, Boston, MA 02163 Graduate School of Business Administration, Date of Birth: 7/31/44 Harvard University (1988-1998), Co-founder, Chief Science Officer, Integrated Finance Limited (since 2002). Formerly, Partner, Long-Term Capital Management. Myron S. Scholes DFAITC - since 1993 90 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Stanford University. Partner, Oak Hill Capital and DEM. DIG - since 1993 Management. Chairman, Oak Hill Platinum Partners. Trustee of DFAITC. DEM - since 1994 Director, Chicago Mercantile Exchange. Consultant, Oak Hill Capital Arbor Investors. Formerly, Director, Smith Breeden Management, Inc. Family of Funds and Partner, Long-Term Capital 2775 Sand Hill Rd. Management. Director, American Century Fund Suite 220 Complex (registered investment companies) (35 Menlo Park, CA 94025 Portfolios). Date of Birth: 7/01/41 Abbie J. Smith DFAITC - since 2000 90 portfolios in 4 Boris and Irene Stern Professor of Accounting, Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Graduate School of Business, University of and DEM. DIG - since 2000 Chicago, Formerly, Marvin Bower Fellow, Harvard Trustee of DFAITC. DEM - since 2000 Business School (9/01 to 8/02). Director, HON Graduate School of Business Industries Inc. (office furniture) and Director, University of Chicago Ryder System Inc. (transportation). 1101 East 58th Street, Chicago, IL 60637 Date of Birth: 4/30/53 INTERESTED TRUSTEES/DIRECTORS** David G. Booth DFAITC - since 1993 90 portfolios in 4 Chairman, Director, Chief Executive Officer, Chief Chairman, Director, Chief DFAIDG - since 1981 investment companies Investment Officer and President of Dimensional Executive Officer, Chief DIG - since 1992 Fund Advisors Inc., DFA Securities Inc., DFAIDG, Investment Officer and DEM - since 1994 DIG and DEM. Chairman, Trustee, Chief Executive President of DFAIDG, DIG and Officer, Chief Investment Officer and President of DEM. Chairman, Trustee, Chief DFAITC. Director and Chief Investment Officer of Executive Officer, Chief Dimensional Fund Advisors Ltd. Director, Chief Investment Officer and Executive Officer, Chief Investment Officer and President of DFAITC. President of DFA Australia Ltd. Director of 1299 Ocean Avenue Dimensional Funds PLC. Chairman, Director, Chief Santa Monica, CA 90401 Executive Officer and Chief Investment Officer of Date of Birth: 12/02/46 Dimensional Fund Advisors Canada Inc. (All Chief Investment Officer positions held starting 1/1/2003 except for Dimensional Fund Advisors Canada Inc., which was from 6/17/2003.) Limited Partner, Oak Hill Partners. Director, University of Chicago Business School. Formerly, Director, SA Funds (registered investment company). Formerly Director, Assante Corporation (investment management) (until 2002).
136
NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(s) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD ---------------------------------------------------------------------------------------------------------------------------------- Rex A. Sinquefield* DFAITC - since 1993 90 portfolios in 4 Chairman, Director and Chief Investment Officer of Chairman and Director of DFAIDG - since 1981 investment companies Dimensional Fund Advisors Inc., DFA Securities DFAIDG, DIG and DEM. Trustee DIG - since 1992 Inc., DFAIDG, DIG and DEM. Chairman, Trustee and and Chairman of DFAITC. DEM - since 1994 Chief Investment Officer of DFAITC. Director and 1299 Ocean Avenue President of Dimensional Fund Advisors Ltd. Santa Monica, CA 90401 Director and Chief Investment Officer of DFA Date of Birth: 9/07/44 Australia Ltd. Director of Dimensional Funds PLC and Dimensional Fund Advisors Canada Inc. (Chief Investment Officer positions held through 1/1/2003) Trustee, St. Louis University. Life Trustee and Member of Investment Committee, DePaul University. Director, The German St. Vincent Orphan Home. Member of Investment Committee, Archdiocese of St. Louis.
(1) Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. (2) Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. * Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife. ** Interested Directors are described as such because they are deemed to be "interested persons," as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors Inc. 137 OFFICERS The name, age, information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA Securities Inc., DFA Australia Limited, Dimensional Fund Advisors Ltd., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica, California 90401, unless otherwise indicated.
TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(s) DURING PAST 5 YEARS ----------------------------------------------------------------------------------------------------------------------------------- OFFICERS Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Vice President Date of Birth: 11/07/55 Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities and Vice President and Assistant Dimensional Fund Advisors Canada Inc. Prior to April 2001, legal Secretary counsel for Dimensional (since March 2000). Associate, Jones, Day, Date of Birth: 1/24/67 Reavis & Pogue from October 1991 to February 2000. Truman A. Clark Since 1996 Vice President of all the DFA Entities, except Dimensional Fund Vice President Advisors Ltd. Date of Birth: 4/08/41 James L. Davis Since 1999 Vice President of all the DFA Entities, except Dimensional Fund Vice President Advisors Ltd. Formerly at Kansas State University, Arthur Andersen & Date of Birth: 11/29/56 Co., and Phillips Petroleum Co. Robert T. Deere Since 1994 Vice President of all the DFA Entities. Vice President Date of Birth: 10/08/57 Robert W. Dintzner Since 2001 Vice President of all the DFA Entities, except Dimensional Fund Vice President Advisors Ltd. Prior to April 2001, marketing supervisor and marketing Date of Birth: 3/18/70 coordinator for Dimensional. Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities, except Vice President and Assistant Dimensional Fund Advisors Ltd. Secretary Date of Birth: 8/05/65 Eugene F. Fama, Jr. Since 1993 Vice President of all the DFA Entities, except Dimensional Fund Vice President Advisors Ltd. Date of Birth: 1/21/61 Robert M. Fezekas Since 2001 Vice President of all the DFA Entities, except Dimensional Fund Vice President Advisors Ltd. and DFA Australia Limited. Prior to December 2001, Date of Birth: 10/28/70 Portfolio Manager. Glenn S. Freed Since 2001 Vice President of all the DFA Entities, except Dimensional Fund Vice President Advisors Ltd. and DFA Australia Limited. Formerly, Professor and Date of Birth: 11/24/61 Associate Dean of the Leventhal School of Accounting (September 1998 to August 2001) and Academic Director Master of Business Taxation Program (June 1996 to August 2001) at the University of Southern California Marshall School of Business. Henry F. Gray Since 2000 Vice President of all the DFA Entities, except Dimensional Fund Vice President Advisors Ltd. Prior to July 2000, Portfolio Manager. Date of Birth: 9/22/67 Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer of all the DFA Vice President, Controller and Entities. Assistant Treasurer Date of Birth: 1/22/61
138
TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(s) DURING PAST 5 YEARS ----------------------------------------------------------------------------------------------------------------------------------- Patrick Keating Since 2003 Vice President of all the DFA Entities and Dimensional Fund Advisors Vice President Canada Inc. Formerly, Director, President and Chief Executive Officer, Date of Birth: 12/21/54 Assante Asset Management, Inc. (October 2000 to December 2002); Director, Assante Capital Management (October 2000 to December 2002); President and Chief Executive Officer, Assante Capital Management (October 2000 to April 2001); Executive Vice President, Assante Corporation (May 2001 to December 2002); Director, Assante Asset Management Ltd. (September 1997 to December 2002); President and Chief Executive Officer, Assante Asset Management Ltd. (September 1998 to May 2001); Executive Vice President, Loring Ward (financial services company) (January 1996 to September 1998) Stephen P. Manus Since 1997 Vice President of all the DFA Entities, except Dimensional Fund Vice President Advisors Ltd. Date of Birth: 12/26/50 David M. New Since 2003 Vice President of all the DFA Entities and Client Service Manager Vice President prior to becoming a Vice President; Director of Research, Wurts and Date of Birth: 02/09/60 Associates (investment consulting firm) from December 2000 to June 2002; and President, Kobe Investment Research from August 1999 to November 2000. Catherine L. Newell Since 2000 Vice President and Secretary of all the DFA Entities and Dimensional Vice President and Secretary Fund Advisors Canada Inc., except DFA Australia Limited, for which she Date of Birth: 5/07/64 is Vice President and Assistant Secretary. Director, Dimensional Funds PLC. Vice President and Assistant Secretary of all DFA Entities (1997-2000). David A. Plecha Since 1993 Vice President of all the DFA Entities. Vice President Date of Birth: 10/26/61 Edwardo A. Repetto Since 2002 Vice President of all the DFA Entities, except Dimensional Fund Vice President Advisors Ltd. and DFA Australia Limited. Research Associate for Date of Birth: 1/28/67 Dimensional Fund Advisors Inc. (June 2000 to April 2002). Research scientist (August 1998 to June 2000) and Faculty-Postdoctural Fellow (August 1997 to August 1998), California Institute of Technology. Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Treasurer of all the DFA Vice President, Chief Financial Entities and Dimensional Fund Advisors Canada Inc. Director, Officer and Treasurer Dimensional Funds, PLC. Date of Birth: 10/12/55 David E. Schneider Since 2001 Vice President of all the DFA Entities, except Dimensional Fund Vice President Advisors Ltd. and DFA Australia Limited. Prior to 2001 and currently, Santa Monica, CA Regional Director of Dimensional Fund Advisors Inc. Date of Birth: 1/26/46 John C. Siciliano Since 2001 Vice President of all the DFA Entities. Director, Dimensional Funds Vice President PLC. Managing Principal, Payden & Rygel Investment Counsel from April Santa Monica, CA 1998 through December 2000. Date of Birth: 8/24/54 Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities. Vice President of Executive Vice President Dimensional Fund Advisor Canada Inc. Santa Monica, CA Date of Birth: 12/02/46 Carl G. Snyder Since 2000 Vice President of all the DFA Entities, except Dimensional Fund Vice President Advisors Ltd. Prior to July 2000, Portfolio Manager. Santa Monica, CA Date of Birth: 6/08/63
139
TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(s) DURING PAST 5 YEARS ----------------------------------------------------------------------------------------------------------------------------------- Karen E. Umland Since 1997 Vice President of all the DFA Entities and Dimensional Fund Advisors Vice President Canada Inc. Santa Monica, CA Date of Birth: 3/10/66 Weston J. Wellington Since 1997 Vice President of all the DFA Entities, except Dimensional Fund Vice President Advisors Ltd. Santa Monica, CA Date of Birth: 3/01/51 Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities, except Dimensional Fund Vice President Advisors Ltd. and DFA Australia Limited. President of Dimensional Fund Santa Monica, CA Advisors Canada Inc. Prior to 2001 and currently, Director of Date of Birth: 3/03/45 Financial Advisors Services of Dimensional Fund Advisors Inc.
(1) Each officer holds office for an indefinite term at the pleasure of the Boards of Trustee/Directors and until his or her successor is elected and qualified. * Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife. 140 ================================================================================ DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY ANNUAL REPORT YEAR ENDED NOVEMBER 30, 2003 ================================================================================ DFA INVESTMENT DIMENSIONS GROUP INC. ANNUAL REPORT TABLE OF CONTENTS
PAGE ------ Performance Charts 1 Management's Discussion and Analysis 9 Schedules of Investments U.S. Large Company Portfolio 19 Enhanced U.S. Large Company Portfolio 19 U.S. Large Cap Value Portfolio 19 U.S. Small XM Value Portfolio 19 U.S. Small Cap Value Portfolio 20 U.S. Small Cap Portfolio 20 U.S. Micro Cap Portfolio 20 DFA Real Estate Securities Portfolio 21 Large Cap International Portfolio 23 International Small Company Portfolio 34 Japanese Small Company Portfolio 34 Pacific Rim Small Company Portfolio 35 United Kingdom Small Company Portfolio 35 Continental Small Company Portfolio 35 DFA International Small Cap Value Portfolio 36 Emerging Markets Portfolio 60 Emerging Markets Small Cap Portfolio 60 DFA One-Year Fixed Income Portfolio 60 DFA Two-Year Global Fixed Income Portfolio 60 DFA Five-Year Government Portfolio 61 DFA Five-Year Global Fixed Income Portfolio 62 DFA Intermediate Government Fixed Income Portfolio 64 DFA Short-Term Municipal Bond Portfolio 65 Statements of Assets and Liabilities 70 Statements of Operations 73 Statements of Changes in Net Assets 79 Financial Highlights 85 Notes to Financial Statements 97 Report of Independent Certified Public Accountants 107
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO ANNUAL REPORT TABLE OF CONTENTS
PAGE ------ Performance Chart 108 Management's Discussion and Analysis 109 Statement of Assets and Liabilities 111 Statement of Operations 112 Statements of Changes in Net Assets 113 Financial Highlights 114 Notes to Financial Statements 115 Report of Independent Certified Public Accountants 117
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. ii THE DFA INVESTMENT TRUST COMPANY ANNUAL REPORT TABLE OF CONTENTS
PAGE ------ Performance Charts 118 Schedules of Investments The U.S. Large Company Series 124 The Enhanced U.S. Large Company Series 129 The U.S. Large Cap Value Series 131 The U.S. Small XM Value Series 134 The U.S. Small Cap Value Series 140 The U.S. Small Cap Series 155 The U.S. Micro Cap Series 184 The DFA International Value Series 208 The Japanese Small Company Series 216 The Pacific Rim Small Company Series 226 The United Kingdom Small Company Series 234 The Continental Small Company Series 240 The Emerging Markets Series 254 The Emerging Markets Small Cap Series 260 The DFA One-Year Fixed Income Series 273 The DFA Two-Year Global Fixed Income Series 275 Statements of Assets and Liabilities 277 Statements of Operations 279 Statements of Changes in Net Assets 283 Financial Highlights 287 Notes to Financial Statements 295 Report of Independent Certified Public Accountants 303 Fund Management 304
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 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS [CHART] U.S. LARGE COMPANY PORTFOLIO VS. S&P 500 INDEX NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
U.S. LARGE COMPANY PORTFOLIO S&P 500 INDEX Nov-93 $ 10,000 $ 10,000 Dec-93 $ 10,125 $ 10,123 Jan-94 $ 10,452 $ 10,462 Feb-94 $ 10,169 $ 10,180 Mar-94 $ 9,732 $ 9,737 Apr-94 $ 9,863 $ 9,863 May-94 $ 10,016 $ 10,024 Jun-94 $ 9,773 $ 9,777 Jul-94 $ 10,089 $ 10,100 Aug-94 $ 10,500 $ 10,511 Sep-94 $ 10,256 $ 10,258 Oct-94 $ 10,478 $ 10,493 Nov-94 $ 10,105 $ 10,108 Dec-94 $ 10,255 $ 10,255 Jan-95 $ 10,517 $ 10,522 Feb-95 $ 10,927 $ 10,930 Mar-95 $ 11,243 $ 11,254 Apr-95 $ 11,564 $ 11,581 May-95 $ 12,029 $ 12,039 Jun-95 $ 12,308 $ 12,322 Jul-95 $ 12,714 $ 12,732 Aug-95 $ 12,737 $ 12,766 Sep-95 $ 13,281 $ 13,301 Oct-95 $ 13,228 $ 13,255 Nov-95 $ 13,797 $ 13,838 Dec-95 $ 14,058 $ 14,094 Jan-96 $ 14,540 $ 14,579 Feb-96 $ 14,662 $ 14,719 Mar-96 $ 14,806 $ 14,860 Apr-96 $ 15,020 $ 15,078 May-96 $ 15,396 $ 15,467 Jun-96 $ 15,457 $ 15,531 Jul-96 $ 14,769 $ 14,840 Aug-96 $ 15,085 $ 15,154 Sep-96 $ 15,924 $ 16,006 Oct-96 $ 16,357 $ 16,445 Nov-96 $ 17,587 $ 17,693 Dec-96 $ 17,237 $ 17,346 Jan-97 $ 18,311 $ 18,423 Feb-97 $ 18,452 $ 18,572 Mar-97 $ 17,690 $ 17,800 Apr-97 $ 18,745 $ 18,862 May-97 $ 19,877 $ 20,021 Jun-97 $ 20,763 $ 20,913 Jul-97 $ 22,414 $ 22,574 Aug-97 $ 21,166 $ 21,319 Sep-97 $ 22,319 $ 22,487 Oct-97 $ 21,574 $ 21,736 Nov-97 $ 22,555 $ 22,742 Dec-97 $ 22,939 $ 23,134 Jan-98 $ 23,202 $ 23,390 Feb-98 $ 24,871 $ 25,077 Mar-98 $ 26,132 $ 26,361 Apr-98 $ 26,396 $ 26,627 May-98 $ 25,939 $ 26,169 Jun-98 $ 26,989 $ 27,231 Jul-98 $ 26,701 $ 26,943 Aug-98 $ 22,856 $ 23,047 Sep-98 $ 24,309 $ 24,524 Oct-98 $ 26,266 $ 26,518 Nov-98 $ 27,869 $ 28,125 Dec-98 $ 29,516 $ 29,745 Jan-99 $ 30,717 $ 30,988 Feb-99 $ 29,759 $ 30,025 Mar-99 $ 30,946 $ 31,226 Apr-99 $ 32,125 $ 32,434 May-99 $ 31,367 $ 31,669 Jun-99 $ 33,098 $ 33,426 Jul-99 $ 32,059 $ 32,383 Aug-99 $ 31,895 $ 32,221 Sep-99 $ 31,018 $ 31,338 Oct-99 $ 32,985 $ 33,322 Nov-99 $ 33,648 $ 33,999 Dec-99 $ 35,650 $ 36,001 Jan-00 $ 33,857 $ 34,194 Feb-00 $ 33,213 $ 33,548 Mar-00 $ 36,445 $ 36,829 Apr-00 $ 35,326 $ 35,720 May-00 $ 34,599 $ 34,988 Jun-00 $ 35,391 $ 35,848 Jul-00 $ 34,885 $ 35,289 Aug-00 $ 37,051 $ 37,481 Sep-00 $ 35,095 $ 35,502 Oct-00 $ 34,937 $ 35,353 Nov-00 $ 32,191 $ 32,567 Dec-00 $ 32,352 $ 32,726 Jan-01 $ 33,497 $ 33,888 Feb-01 $ 30,442 $ 30,798 Mar-01 $ 28,509 $ 28,845 Apr-01 $ 30,716 $ 31,086 May-01 $ 30,900 $ 31,295 Jun-01 $ 30,146 $ 30,534 Jul-01 $ 29,854 $ 30,235 Aug-01 $ 27,976 $ 28,342 Sep-01 $ 25,710 $ 26,052 Oct-01 $ 26,198 $ 26,550 Nov-01 $ 28,202 $ 28,586 Dec-01 $ 28,448 $ 28,838 Jan-02 $ 28,024 $ 28,417 Feb-02 $ 27,483 $ 27,868 Mar-02 $ 28,503 $ 28,916 Apr-02 $ 26,775 $ 27,164 May-02 $ 26,580 $ 26,963 Jun-02 $ 24,677 $ 25,043 Jul-02 $ 22,757 $ 23,090 Aug-02 $ 22,900 $ 23,242 Sep-02 $ 20,411 $ 20,716 Oct-02 $ 22,203 $ 22,539 Nov-02 $ 23,509 $ 23,866 Dec-02 $ 22,124 $ 22,463 Jan-03 $ 21,540 $ 21,874 Feb-03 $ 21,215 $ 21,546 Mar-03 $ 21,420 $ 21,755 Apr-03 $ 23,185 $ 23,548 May-03 $ 24,407 $ 24,789 Jun-03 $ 24,708 $ 25,106 Jul-03 $ 25,140 $ 25,548 Aug-03 $ 25,633 $ 26,046 Sep-03 $ 25,356 $ 25,770 Oct-03 $ 26,786 $ 27,229 Nov-03 $ 27,012 $ 27,468
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS -------------------------------------------- 14.90 -0.62 10.45
- THE PORTFOLIO INVESTS IN THE U.S. LARGE COMPANY SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INTENDS TO INVEST IN ALL OF THE STOCKS THAT COMPRISE THE S&P 500 INDEX IN APPROXIMATELY THE SAME PROPORTIONS AS THEY ARE REPRESENTED IN THE INDEX. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P 500 Index is courtesy of (C) Stocks, Bonds, Bills and Inflation Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C. Ibbotson and Rex A. Sinquefield). [CHART] ENHANCED U.S. LARGE COMPANY PORTFOLIO VS. S&P 500 INDEX JULY 2, 1996-NOVEMBER 30, 2003 GROWTH OF $10,000
ENHANCED U.S. LARGE COMPANY PORTFOLIO S&P 500 INDEX Jul-96 $ 10,000 $ 10,000 Jul-96 $ 9,850 $ 9,500 Aug-96 $ 10,050 $ 9,702 Sep-96 $ 10,640 $ 10,247 Oct-96 $ 11,000 $ 10,528 Nov-96 $ 11,830 $ 11,327 Dec-96 $ 11,533 $ 11,105 Jan-97 $ 12,268 $ 11,794 Feb-97 $ 12,365 $ 11,890 Mar-97 $ 11,767 $ 11,395 Apr-97 $ 12,506 $ 12,076 May-97 $ 13,322 $ 12,817 Jun-97 $ 13,893 $ 13,389 Jul-97 $ 15,013 $ 14,452 Aug-97 $ 14,190 $ 13,648 Sep-97 $ 14,928 $ 14,396 Oct-97 $ 14,509 $ 13,915 Nov-97 $ 15,050 $ 14,560 Dec-97 $ 15,307 $ 14,810 Jan-98 $ 15,574 $ 14,974 Feb-98 $ 16,628 $ 16,054 Mar-98 $ 17,469 $ 16,876 Apr-98 $ 17,662 $ 17,046 May-98 $ 17,303 $ 16,753 Jun-98 $ 18,037 $ 17,433 Jul-98 $ 17,804 $ 17,249 Aug-98 $ 15,208 $ 14,754 Sep-98 $ 16,271 $ 15,700 Oct-98 $ 17,615 $ 16,977 Nov-98 $ 18,619 $ 18,005 Dec-98 $ 19,830 $ 19,043 Jan-99 $ 20,551 $ 19,839 Feb-99 $ 19,873 $ 19,222 Mar-99 $ 20,710 $ 19,990 Apr-99 $ 21,493 $ 20,764 May-99 $ 20,899 $ 20,274 Jun-99 $ 22,114 $ 21,399 Jul-99 $ 21,357 $ 20,732 Aug-99 $ 21,240 $ 20,628 Sep-99 $ 20,728 $ 20,063 Oct-99 $ 22,046 $ 21,333 Nov-99 $ 22,401 $ 21,766 Dec-99 $ 23,672 $ 23,048 Jan-00 $ 22,424 $ 21,891 Feb-00 $ 22,079 $ 21,477 Mar-00 $ 24,196 $ 23,577 Apr-00 $ 23,429 $ 22,868 May-00 $ 22,888 $ 22,399 Jun-00 $ 23,396 $ 22,950 Jul-00 $ 23,043 $ 22,592 Aug-00 $ 24,510 $ 23,995 Sep-00 $ 23,219 $ 22,728 Oct-00 $ 23,112 $ 22,633 Nov-00 $ 21,321 $ 20,849 Dec-00 $ 21,387 $ 20,951 Jan-01 $ 22,144 $ 21,695 Feb-01 $ 20,116 $ 19,716 Mar-01 $ 18,814 $ 18,466 Apr-01 $ 20,259 $ 19,901 May-01 $ 20,383 $ 20,035 Jun-01 $ 19,842 $ 19,548 Jul-01 $ 19,696 $ 19,356 Aug-01 $ 18,486 $ 18,145 Sep-01 $ 17,094 $ 16,678 Oct-01 $ 17,474 $ 16,997 Nov-01 $ 18,781 $ 18,301 Dec-01 $ 18,950 $ 18,462 Jan-02 $ 18,675 $ 18,192 Feb-02 $ 18,337 $ 17,841 Mar-02 $ 18,913 $ 18,512 Apr-02 $ 17,852 $ 17,390 May-02 $ 17,747 $ 17,261 Jun-02 $ 16,542 $ 16,032 Jul-02 $ 15,347 $ 14,782 Aug-02 $ 15,475 $ 14,879 Sep-02 $ 13,806 $ 13,262 Oct-02 $ 15,050 $ 14,429 Nov-02 $ 15,887 $ 15,279 Dec-02 $ 15,007 $ 14,381 Jan-03 $ 14,618 $ 14,004 Feb-03 $ 14,424 $ 13,794 Mar-03 $ 14,554 $ 13,928 Apr-03 $ 15,766 $ 15,075 May-03 $ 16,632 $ 15,870 Jun-03 $ 16,828 $ 16,073 Jul-03 $ 17,045 $ 16,356 Aug-03 $ 17,371 $ 16,675 Sep-03 $ 17,261 $ 16,498 Oct-03 $ 18,175 $ 17,432 Nov-03 $ 18,328 $ 17,585
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS JULY 2, 1996 ---------------------------------------------- 15.36 -0.32 8.52
- THE PORTFOLIO SEEKS TO CAPTURE RETURN PREMIUMS BY INVESTING IN THE ENHANCED U.S. LARGE COMPANY SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN AN ENHANCED CASH PORTFOLIO IN COMBINATION WITH THE S&P 500 INDEX FUTURES AND SWAPS. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a share-holder would pay on fund distributions or the redemption of fund shares. S&P 500 Index is courtesy of (C) Stocks, Bonds, Bills and Inflation Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C. Ibbotson and Rex A. Sinquefield). [CHART] U.S. LARGE CAP VALUE PORTFOLIO VS. RUSSELL 1000 VALUE INDEX NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
U.S. LARGE CAP VALUE PORTFOLIO RUSSELL 1000 VALUE INDEX Nov-93 $ 10,000 $ 10,000 Dec-93 $ 10,246 $ 10,190 Jan-94 $ 10,531 $ 10,575 Feb-94 $ 10,057 $ 10,214 Mar-94 $ 9,650 $ 9,834 Apr-94 $ 9,801 $ 10,022 May-94 $ 9,734 $ 10,138 Jun-94 $ 9,532 $ 9,895 Jul-94 $ 9,945 $ 10,203 Aug-94 $ 10,233 $ 10,496 Sep-94 $ 9,934 $ 10,147 Oct-94 $ 10,128 $ 10,289 Nov-94 $ 9,673 $ 9,873 Dec-94 $ 9,781 $ 9,986 Jan-95 $ 10,006 $ 10,294 Feb-95 $ 10,573 $ 10,701 Mar-95 $ 10,739 $ 10,935 Apr-95 $ 11,122 $ 11,280 May-95 $ 11,702 $ 11,755 Jun-95 $ 11,958 $ 11,915 Jul-95 $ 12,482 $ 12,330 Aug-95 $ 12,848 $ 12,504 Sep-95 $ 13,292 $ 12,956 Oct-95 $ 12,746 $ 12,828 Nov-95 $ 13,444 $ 13,478 Dec-95 $ 13,533 $ 13,817 Jan-96 $ 13,919 $ 14,248 Feb-96 $ 14,122 $ 14,356 Mar-96 $ 14,609 $ 14,600 Apr-96 $ 14,853 $ 14,656 May-96 $ 15,097 $ 14,839 Jun-96 $ 14,654 $ 14,851 Jul-96 $ 13,999 $ 14,289 Aug-96 $ 14,562 $ 14,698 Sep-96 $ 14,845 $ 15,283 Oct-96 $ 15,327 $ 15,875 Nov-96 $ 16,437 $ 17,025 Dec-96 $ 16,269 $ 16,807 Jan-97 $ 16,851 $ 17,623 Feb-97 $ 17,180 $ 17,882 Mar-97 $ 16,393 $ 17,238 Apr-97 $ 16,934 $ 17,962 May-97 $ 18,240 $ 18,966 Jun-97 $ 18,800 $ 19,780 Jul-97 $ 20,685 $ 21,267 Aug-97 $ 20,377 $ 20,510 Sep-97 $ 21,449 $ 21,749 Oct-97 $ 20,349 $ 21,142 Nov-97 $ 20,562 $ 22,076 Dec-97 $ 20,846 $ 22,721 Jan-98 $ 21,117 $ 22,401 Feb-98 $ 22,963 $ 23,908 Mar-98 $ 24,242 $ 25,371 Apr-98 $ 24,377 $ 25,541 May-98 $ 24,163 $ 25,163 Jun-98 $ 24,105 $ 25,486 Jul-98 $ 23,269 $ 25,037 Aug-98 $ 19,024 $ 21,311 Sep-98 $ 19,989 $ 22,535 Oct-98 $ 21,626 $ 24,281 Nov-98 $ 22,967 $ 25,413 Dec-98 $ 23,343 $ 26,277 Jan-99 $ 23,792 $ 26,487 Feb-99 $ 23,178 $ 26,114 Mar-99 $ 23,929 $ 26,654 Apr-99 $ 26,475 $ 29,144 May-99 $ 26,440 $ 28,823 Jun-99 $ 26,887 $ 29,659 Jul-99 $ 25,769 $ 28,790 Aug-99 $ 24,841 $ 27,722 Sep-99 $ 23,502 $ 26,754 Oct-99 $ 24,398 $ 28,295 Nov-99 $ 24,002 $ 28,075 Dec-99 $ 24,463 $ 28,209 Jan-00 $ 22,738 $ 27,290 Feb-00 $ 20,697 $ 25,262 Mar-00 $ 23,623 $ 28,344 Apr-00 $ 24,329 $ 28,015 May-00 $ 24,276 $ 28,309 Jun-00 $ 22,586 $ 27,016 Jul-00 $ 23,576 $ 27,353 Aug-00 $ 24,952 $ 28,874 Sep-00 $ 24,551 $ 29,140 Oct-00 $ 25,518 $ 29,857 Nov-00 $ 24,683 $ 28,749 Dec-00 $ 26,962 $ 30,189 Jan-01 $ 28,286 $ 30,304 Feb-01 $ 28,269 $ 29,462 Mar-01 $ 27,395 $ 28,422 Apr-01 $ 29,028 $ 29,814 May-01 $ 29,861 $ 30,485 Jun-01 $ 29,509 $ 29,808 Jul-01 $ 29,461 $ 29,746 Aug-01 $ 28,159 $ 28,553 Sep-01 $ 25,022 $ 26,543 Oct-01 $ 25,007 $ 26,315 Nov-01 $ 27,360 $ 27,843 Dec-01 $ 28,001 $ 28,500 Jan-02 $ 28,292 $ 28,281 Feb-02 $ 28,654 $ 28,326 Mar-02 $ 29,846 $ 29,666 Apr-02 $ 29,574 $ 28,649 May-02 $ 29,758 $ 28,792 Jun-02 $ 27,948 $ 27,139 Jul-02 $ 24,846 $ 24,615 Aug-02 $ 25,249 $ 24,800 Sep-02 $ 22,439 $ 22,042 Oct-02 $ 23,318 $ 23,675 Nov-02 $ 24,967 $ 25,167 Dec-02 $ 23,831 $ 24,075 Jan-03 $ 23,278 $ 23,492 Feb-03 $ 22,596 $ 22,865 Mar-03 $ 22,490 $ 22,904 Apr-03 $ 24,559 $ 24,919 May-03 $ 26,202 $ 26,529 Jun-03 $ 26,485 $ 26,861 Jul-03 $ 27,152 $ 27,261 Aug-03 $ 28,116 $ 27,686 Sep-03 $ 27,497 $ 27,415 Oct-03 $ 29,337 $ 29,093 Nov-03 $ 29,987 $ 29,488
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS ----------------------------------------- 20.11 5.48 11.61
- THE PORTFOLIO INVESTS IN THE U.S. LARGE CAP VALUE SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF U.S. LARGE CAP STOCKS THAT EXHIBIT "VALUE" CHARACTERISTICS (PRIMARILY LOW PRICE/BOOK). Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 1000 Value Index is courtesy of Russell Analytic Services. 1 [CHART] U.S. SMALL XM VALUE PORTFOLIO VS. RUSSELL 2000 VALUE INDEX FEBRUARY 23, 2000-NOVEMBER 30, 2003 GROWTH OF $10,000
U.S. SMALL XM VALUE PORTFOLIO RUSSELL 2000 VALUE INDEX Feb-00 $ 10,000 $ 10,000 Feb-00 $ 10,040 $ 10,376 Mar-00 $ 11,020 $ 10,424 Apr-00 $ 11,130 $ 10,486 May-00 $ 10,980 $ 10,325 Jun-00 $ 10,710 $ 10,627 Jul-00 $ 10,980 $ 10,981 Aug-00 $ 11,579 $ 11,472 Sep-00 $ 11,419 $ 11,406 Oct-00 $ 11,440 $ 11,365 Nov-00 $ 11,060 $ 11,133 Dec-00 $ 12,375 $ 12,329 Jan-01 $ 13,152 $ 12,669 Feb-01 $ 13,131 $ 12,652 Mar-01 $ 12,648 $ 12,449 Apr-01 $ 13,499 $ 13,026 May-01 $ 13,982 $ 13,360 Jun-01 $ 14,455 $ 13,897 Jul-01 $ 14,465 $ 13,586 Aug-01 $ 14,329 $ 13,539 Sep-01 $ 12,176 $ 12,044 Oct-01 $ 12,532 $ 12,358 Nov-01 $ 13,688 $ 13,247 Dec-01 $ 14,593 $ 14,057 Jan-02 $ 14,794 $ 14,244 Feb-02 $ 15,119 $ 14,331 Mar-02 $ 16,421 $ 15,405 Apr-02 $ 16,881 $ 15,947 May-02 $ 16,342 $ 15,419 Jun-02 $ 15,736 $ 15,078 Jul-02 $ 13,425 $ 12,838 Aug-02 $ 13,425 $ 12,781 Sep-02 $ 12,235 $ 11,869 Oct-02 $ 12,550 $ 12,047 Nov-02 $ 13,930 $ 13,008 Dec-02 $ 13,182 $ 12,453 Jan-03 $ 12,570 $ 12,101 Feb-03 $ 12,035 $ 11,695 Mar-03 $ 11,996 $ 11,820 Apr-03 $ 13,423 $ 12,943 May-03 $ 14,952 $ 14,264 Jun-03 $ 15,194 $ 14,505 Jul-03 $ 16,072 $ 15,229 Aug-03 $ 17,117 $ 15,808 Sep-03 $ 16,887 $ 15,626 Oct-03 $ 18,517 $ 16,900 Nov-03 $ 19,281 $ 17,549
ANNUALIZED ONE FROM TOTAL RETURN (%) YEAR FEBRUARY 23, 2000 -------------------------------------------------- 38.42 19.04
- THE PORTFOLIO INVESTS IN THE U.S. SMALL XM VALUE SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF U.S. SMALL CAP STOCKS THAT EXHIBIT "VALUE" CHARACTERISTICS (PRIMARILY LOW PRICE/BOOK). Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 2000 Value Index is courtesy of Russell Analytic Services. [CHART] U.S. SMALL CAP VALUE PORTFOLIO VS. RUSSELL 2000 VALUE INDEX NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
U.S. SMALL CAP VALUE PORTFOLIO RUSSELL 2000 VALUE INDEX Nov-93 $ 10,000 $ 10,000 Dec-93 $ 10,200 $ 10,294 Jan-94 $ 10,726 $ 10,660 Feb-94 $ 10,690 $ 10,630 Mar-94 $ 10,336 $ 10,154 Apr-94 $ 10,408 $ 10,254 May-94 $ 10,435 $ 10,240 Jun-94 $ 10,244 $ 9,974 Jul-94 $ 10,417 $ 10,159 Aug-94 $ 10,771 $ 10,558 Sep-94 $ 10,734 $ 10,446 Oct-94 $ 10,580 $ 10,255 Nov-94 $ 10,217 $ 9,841 Dec-94 $ 10,323 $ 10,136 Jan-95 $ 10,424 $ 10,087 Feb-95 $ 10,792 $ 10,461 Mar-95 $ 10,920 $ 10,512 Apr-95 $ 11,307 $ 10,824 May-95 $ 11,619 $ 11,056 Jun-95 $ 12,079 $ 11,434 Jul-95 $ 12,732 $ 11,851 Aug-95 $ 13,136 $ 12,203 Sep-95 $ 13,302 $ 12,385 Oct-95 $ 12,649 $ 11,891 Nov-95 $ 13,119 $ 12,363 Dec-95 $ 13,346 $ 12,746 Jan-96 $ 13,300 $ 12,830 Feb-96 $ 13,591 $ 13,032 Mar-96 $ 13,966 $ 13,305 Apr-96 $ 14,689 $ 13,668 May-96 $ 15,262 $ 14,014 Jun-96 $ 14,943 $ 13,849 Jul-96 $ 14,014 $ 13,112 Aug-96 $ 14,653 $ 13,681 Sep-96 $ 15,141 $ 14,055 Oct-96 $ 15,253 $ 14,218 Nov-96 $ 15,976 $ 14,983 Dec-96 $ 16,326 $ 15,470 Jan-97 $ 16,740 $ 15,708 Feb-97 $ 16,740 $ 15,857 Mar-97 $ 16,297 $ 15,432 Apr-97 $ 16,230 $ 15,659 May-97 $ 17,765 $ 16,905 Jun-97 $ 18,876 $ 17,761 Jul-97 $ 20,004 $ 18,507 Aug-97 $ 20,708 $ 18,801 Sep-97 $ 22,301 $ 20,051 Oct-97 $ 21,509 $ 19,506 Nov-97 $ 21,326 $ 19,720 Dec-97 $ 21,346 $ 20,389 Jan-98 $ 21,083 $ 20,020 Feb-98 $ 22,673 $ 21,231 Mar-98 $ 23,596 $ 22,093 Apr-98 $ 24,051 $ 22,201 May-98 $ 23,130 $ 21,415 Jun-98 $ 22,674 $ 21,293 Jul-98 $ 21,003 $ 19,626 Aug-98 $ 17,132 $ 16,553 Sep-98 $ 17,619 $ 17,488 Oct-98 $ 18,369 $ 18,007 Nov-98 $ 19,343 $ 18,495 Dec-98 $ 19,792 $ 19,076 Jan-99 $ 20,100 $ 18,643 Feb-99 $ 18,444 $ 17,370 Mar-99 $ 18,090 $ 17,227 Apr-99 $ 20,022 $ 18,800 May-99 $ 20,961 $ 19,377 Jun-99 $ 22,242 $ 20,079 Jul-99 $ 22,142 $ 19,603 Aug-99 $ 21,535 $ 18,885 Sep-99 $ 20,960 $ 18,508 Oct-99 $ 20,243 $ 18,137 Nov-99 $ 21,160 $ 18,232 Dec-99 $ 22,373 $ 18,792 Jan-00 $ 22,205 $ 18,301 Feb-00 $ 24,265 $ 19,419 Mar-00 $ 24,338 $ 19,511 Apr-00 $ 23,484 $ 19,626 May-00 $ 22,507 $ 19,325 Jun-00 $ 23,628 $ 19,890 Jul-00 $ 23,604 $ 20,552 Aug-00 $ 25,351 $ 21,471 Sep-00 $ 24,882 $ 21,348 Oct-00 $ 23,941 $ 21,271 Nov-00 $ 22,639 $ 20,837 Dec-00 $ 24,389 $ 23,075 Jan-01 $ 26,903 $ 23,712 Feb-01 $ 26,387 $ 23,679 Mar-01 $ 25,738 $ 23,300 Apr-01 $ 27,313 $ 24,379 May-01 $ 28,995 $ 25,006 Jun-01 $ 30,080 $ 26,011 Jul-01 $ 29,590 $ 25,428 Aug-01 $ 29,193 $ 25,339 Sep-01 $ 24,943 $ 22,542 Oct-01 $ 25,923 $ 23,130 Nov-01 $ 27,947 $ 24,793 Dec-01 $ 29,909 $ 26,310 Jan-02 $ 30,370 $ 26,660 Feb-02 $ 30,321 $ 26,823 Mar-02 $ 33,311 $ 28,832 Apr-02 $ 34,820 $ 29,847 May-02 $ 33,723 $ 28,859 Jun-02 $ 33,025 $ 28,221 Jul-02 $ 27,873 $ 24,028 Aug-02 $ 27,525 $ 23,922 Sep-02 $ 25,521 $ 22,214 Oct-02 $ 25,934 $ 22,547 Nov-02 $ 28,144 $ 24,346 Dec-02 $ 27,136 $ 23,307 Jan-03 $ 26,200 $ 22,649 Feb-03 $ 25,123 $ 21,888 Mar-03 $ 25,071 $ 22,123 Apr-03 $ 27,718 $ 24,224 May-03 $ 30,967 $ 26,698 Jun-03 $ 32,097 $ 27,149 Jul-03 $ 34,356 $ 28,503 Aug-03 $ 36,122 $ 29,587 Sep-03 $ 35,841 $ 29,246 Oct-03 $ 39,425 $ 31,630 Nov-03 $ 41,067 $ 32,845
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS ----------------------------------------- 45.92 16.25 15.17
- THE PORTFOLIO INVESTS IN THE U.S. SMALL CAP VALUE SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF U.S. SMALL AND MICRO CAP STOCKS THAT EXHIBIT "VALUE" CHARACTERISTICS (PRIMARILY LOW PRICE/BOOK). Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 2000 Value Index is courtesy of Russell Analytic Services. [CHART] U.S. SMALL CAP PORTFOLIO VS. RUSSELL 2000 INDEX NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
U.S. SMALL CAP PORTFOLIO RUSSELL 2000 INDEX Nov-93 $ 10,000 $ 10,000 Dec-93 $ 10,288 $ 10,342 Jan-94 $ 10,597 $ 10,666 Feb-94 $ 10,517 $ 10,627 Mar-94 $ 10,006 $ 10,067 Apr-94 $ 10,024 $ 10,127 May-94 $ 9,971 $ 10,013 Jun-94 $ 9,680 $ 9,676 Jul-94 $ 9,821 $ 9,834 Aug-94 $ 10,289 $ 10,382 Sep-94 $ 10,341 $ 10,347 Oct-94 $ 10,376 $ 10,306 Nov-94 $ 10,022 $ 9,889 Dec-94 $ 10,150 $ 10,154 Jan-95 $ 10,210 $ 10,026 Feb-95 $ 10,546 $ 10,443 Mar-95 $ 10,745 $ 10,622 Apr-95 $ 11,092 $ 10,858 May-95 $ 11,319 $ 11,045 Jun-95 $ 11,893 $ 11,618 Jul-95 $ 12,626 $ 12,287 Aug-95 $ 12,982 $ 12,541 Sep-95 $ 13,219 $ 12,766 Oct-95 $ 12,536 $ 12,195 Nov-95 $ 12,904 $ 12,707 Dec-95 $ 13,213 $ 13,043 Jan-96 $ 13,244 $ 13,028 Feb-96 $ 13,687 $ 13,435 Mar-96 $ 13,982 $ 13,713 Apr-96 $ 14,911 $ 14,447 May-96 $ 15,680 $ 15,016 Jun-96 $ 14,964 $ 14,399 Jul-96 $ 13,719 $ 13,142 Aug-96 $ 14,520 $ 13,905 Sep-96 $ 14,973 $ 14,449 Oct-96 $ 14,751 $ 14,226 Nov-96 $ 15,321 $ 14,813 Dec-96 $ 15,548 $ 15,201 Jan-97 $ 16,062 $ 15,505 Feb-97 $ 15,718 $ 15,129 Mar-97 $ 14,975 $ 14,415 Apr-97 $ 14,803 $ 14,456 May-97 $ 16,484 $ 16,065 Jun-97 $ 17,332 $ 16,754 Jul-97 $ 18,361 $ 17,533 Aug-97 $ 19,037 $ 17,934 Sep-97 $ 20,501 $ 19,247 Oct-97 $ 19,609 $ 18,402 Nov-97 $ 19,311 $ 18,283 Dec-97 $ 19,315 $ 18,603 Jan-98 $ 19,085 $ 18,309 Feb-98 $ 20,484 $ 19,662 Mar-98 $ 21,336 $ 20,472 Apr-98 $ 21,628 $ 20,584 May-98 $ 20,495 $ 19,475 Jun-98 $ 20,214 $ 19,516 Jul-98 $ 18,662 $ 17,935 Aug-98 $ 14,819 $ 14,452 Sep-98 $ 15,748 $ 15,584 Oct-98 $ 16,435 $ 16,219 Nov-98 $ 17,516 $ 17,069 Dec-98 $ 18,245 $ 18,126 Jan-99 $ 18,541 $ 18,367 Feb-99 $ 16,961 $ 16,879 Mar-99 $ 16,805 $ 17,142 Apr-99 $ 18,329 $ 18,678 May-99 $ 19,050 $ 18,951 Jun-99 $ 20,164 $ 19,808 Jul-99 $ 19,995 $ 19,265 Aug-99 $ 19,459 $ 18,552 Sep-99 $ 19,360 $ 18,556 Oct-99 $ 19,133 $ 18,632 Nov-99 $ 20,713 $ 19,744 Dec-99 $ 22,882 $ 21,979 Jan-00 $ 22,852 $ 21,626 Feb-00 $ 26,671 $ 25,196 Mar-00 $ 25,516 $ 23,535 Apr-00 $ 23,513 $ 22,119 May-00 $ 22,267 $ 20,829 Jun-00 $ 24,547 $ 22,645 Jul-00 $ 23,870 $ 21,916 Aug-00 $ 25,824 $ 23,588 Sep-00 $ 25,316 $ 22,895 Oct-00 $ 24,192 $ 21,874 Nov-00 $ 21,973 $ 19,627 Dec-00 $ 23,443 $ 21,313 Jan-01 $ 25,485 $ 22,424 Feb-01 $ 23,785 $ 20,953 Mar-01 $ 22,703 $ 19,928 Apr-01 $ 24,472 $ 21,487 May-01 $ 25,622 $ 22,015 Jun-01 $ 26,908 $ 22,775 Jul-01 $ 25,896 $ 21,543 Aug-01 $ 25,125 $ 20,847 Sep-01 $ 21,554 $ 18,041 Oct-01 $ 22,979 $ 19,096 Nov-01 $ 24,765 $ 20,574 Dec-01 $ 26,416 $ 21,844 Jan-02 $ 26,229 $ 21,616 Feb-02 $ 25,531 $ 21,024 Mar-02 $ 27,704 $ 22,715 Apr-02 $ 27,779 $ 22,921 May-02 $ 26,609 $ 21,904 Jun-02 $ 25,249 $ 20,817 Jul-02 $ 21,624 $ 17,674 Aug-02 $ 21,643 $ 17,628 Sep-02 $ 20,000 $ 16,362 Oct-02 $ 20,756 $ 16,887 Nov-02 $ 22,608 $ 18,394 Dec-02 $ 21,364 $ 17,369 Jan-03 $ 20,790 $ 16,888 Feb-03 $ 20,120 $ 16,378 Mar-03 $ 20,311 $ 16,589 Apr-03 $ 22,359 $ 18,162 May-03 $ 24,868 $ 20,111 Jun-03 $ 25,536 $ 20,475 Jul-03 $ 27,145 $ 21,756 Aug-03 $ 28,505 $ 22,753 Sep-03 $ 28,066 $ 22,332 Oct-03 $ 30,517 $ 24,208 Nov-03 $ 31,627 $ 25,067
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS ---------------------------------------- 39.89 12.54 12.21
- THE PORTFOLIO INVESTS IN THE U.S. SMALL CAP SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF U.S. SMALL AND MICRO CAP STOCKS. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 2000 Index is courtesy of Russell Analytic Services. 2 [CHART] U.S. MICRO CAP PORTFOLIO VS. CRSP 9-10 INDEX NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
U.S. MICRO CAP PORTFOLIO CRSP 9-10 INDEX Nov-93 $ 10,000 $ 10,000 Dec-93 $ 10,194 $ 10,129 Jan-94 $ 10,824 $ 10,626 Feb-94 $ 10,799 $ 10,589 Mar-94 $ 10,317 $ 10,061 Apr-94 $ 10,379 $ 9,924 May-94 $ 10,367 $ 9,911 Jun-94 $ 10,095 $ 9,639 Jul-94 $ 10,281 $ 9,690 Aug-94 $ 10,628 $ 10,104 Sep-94 $ 10,739 $ 10,254 Oct-94 $ 10,863 $ 10,313 Nov-94 $ 10,508 $ 9,916 Dec-94 $ 10,511 $ 9,806 Jan-95 $ 10,808 $ 10,085 Feb-95 $ 11,080 $ 10,415 Mar-95 $ 11,241 $ 10,606 Apr-95 $ 11,637 $ 10,898 May-95 $ 11,984 $ 11,136 Jun-95 $ 12,664 $ 11,819 Jul-95 $ 13,481 $ 12,564 Aug-95 $ 13,964 $ 13,083 Sep-95 $ 14,236 $ 13,396 Oct-95 $ 13,543 $ 12,700 Nov-95 $ 13,803 $ 12,906 Dec-95 $ 14,133 $ 13,072 Jan-96 $ 14,172 $ 13,271 Feb-96 $ 14,695 $ 13,680 Mar-96 $ 15,030 $ 14,067 Apr-96 $ 16,305 $ 15,267 May-96 $ 17,526 $ 16,357 Jun-96 $ 16,506 $ 15,385 Jul-96 $ 14,949 $ 14,047 Aug-96 $ 15,661 $ 14,742 Sep-96 $ 16,117 $ 15,243 Oct-96 $ 15,835 $ 14,912 Nov-96 $ 16,291 $ 15,261 Dec-96 $ 16,623 $ 15,563 Jan-97 $ 17,321 $ 16,402 Feb-97 $ 16,964 $ 16,127 Mar-97 $ 16,133 $ 15,214 Apr-97 $ 15,688 $ 14,589 May-97 $ 17,291 $ 16,196 Jun-97 $ 18,152 $ 17,027 Jul-97 $ 19,250 $ 17,994 Aug-97 $ 20,230 $ 18,808 Sep-97 $ 21,938 $ 20,592 Oct-97 $ 21,091 $ 20,001 Nov-97 $ 20,764 $ 19,605 Dec-97 $ 20,409 $ 19,311 Jan-98 $ 20,289 $ 19,271 Feb-98 $ 21,605 $ 20,504 Mar-98 $ 22,645 $ 21,546 Apr-98 $ 23,025 $ 22,136 May-98 $ 21,881 $ 20,956 Jun-98 $ 21,430 $ 20,269 Jul-98 $ 19,992 $ 19,020 Aug-98 $ 15,974 $ 14,906 Sep-98 $ 16,563 $ 15,437 Oct-98 $ 17,153 $ 16,031 Nov-98 $ 18,453 $ 17,386 Dec-98 $ 18,918 $ 17,779 Jan-99 $ 19,446 $ 18,782 Feb-99 $ 18,110 $ 17,566 Mar-99 $ 17,423 $ 17,085 Apr-99 $ 19,077 $ 18,641 May-99 $ 19,815 $ 19,253 Jun-99 $ 20,941 $ 19,981 Jul-99 $ 21,133 $ 20,328 Aug-99 $ 20,730 $ 19,808 Sep-99 $ 20,271 $ 19,509 Oct-99 $ 20,095 $ 19,107 Nov-99 $ 22,046 $ 21,117 Dec-99 $ 24,553 $ 23,501 Jan-00 $ 26,014 $ 25,052 Feb-00 $ 32,148 $ 28,825 Mar-00 $ 29,734 $ 27,392 Apr-00 $ 26,014 $ 24,872 May-00 $ 23,912 $ 23,340 Jun-00 $ 27,183 $ 24,834 Jul-00 $ 26,308 $ 24,504 Aug-00 $ 28,741 $ 26,092 Sep-00 $ 28,118 $ 25,296 Oct-00 $ 26,133 $ 23,325 Nov-00 $ 23,232 $ 20,666 Dec-00 $ 23,671 $ 20,360 Jan-01 $ 26,938 $ 25,593 Feb-01 $ 25,047 $ 22,921 Mar-01 $ 23,844 $ 21,511 Apr-01 $ 25,587 $ 22,841 May-01 $ 28,044 $ 25,132 Jun-01 $ 29,050 $ 25,747 Jul-01 $ 28,313 $ 25,055 Aug-01 $ 27,477 $ 24,291 Sep-01 $ 23,966 $ 21,220 Oct-01 $ 25,512 $ 23,128 Nov-01 $ 27,231 $ 25,258 Dec-01 $ 29,061 $ 27,327 Jan-02 $ 29,381 $ 27,567 Feb-02 $ 28,567 $ 26,230 Mar-02 $ 31,092 $ 28,630 Apr-02 $ 31,848 $ 28,733 May-02 $ 30,978 $ 27,917 Jun-02 $ 29,875 $ 26,921 Jul-02 $ 25,549 $ 23,068 Aug-02 $ 25,404 $ 22,791 Sep-02 $ 23,692 $ 20,975 Oct-02 $ 24,300 $ 21,871 Nov-02 $ 26,332 $ 25,158 Dec-02 $ 25,202 $ 23,472 Jan-03 $ 24,640 $ 23,331 Feb-03 $ 23,931 $ 22,685 Mar-03 $ 24,196 $ 23,059 Apr-03 $ 26,442 $ 25,559 May-03 $ 29,514 $ 29,334 Jun-03 $ 30,813 $ 30,909 Jul-03 $ 33,087 $ 33,447 Aug-03 $ 34,652 $ 35,112 Sep-03 $ 34,683 $ 35,803 Oct-03 $ 37,785 $ 38,850 Nov-03 $ 39,410 $ 40,515
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS ------------------------------------- 49.67 16.39 14.70
- THE PORTFOLIO INVESTS IN THE U.S. MICRO CAP SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF U.S. SMALL AND MICRO CAP STOCKS WITH AN EMPHASIS ON MICRO CAP STOCKS. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. CRSP 9-10 Index courtesy of the Center for Research in Security Prices, University of Chicago. [CHART] DFA REAL ESTATE SECURITIES PORTFOLIO VS. S&P 500 INDEX NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
DFA REAL ESTATE SECURITIES PORTFOLIO WILSHIRE REIT INDEX S&P 500 INDEX Nov-1993 $ 10,000 $ 10,000 $ 10,000 Dec-1993 $ 10,393 $ 10,006 $ 10,123 Jan-1994 $ 10,623 $ 10,248 $ 10,462 Feb-1994 $ 10,567 $ 10,703 $ 10,180 Mar-1994 $ 9,988 $ 10,269 $ 9,737 Apr-1994 $ 9,960 $ 10,409 $ 9,863 May-1994 $ 9,906 $ 10,625 $ 10,024 Jun-1994 $ 9,658 $ 10,412 $ 9,777 Jul-1994 $ 9,686 $ 10,355 $ 10,100 Aug-1994 $ 9,852 $ 10,357 $ 10,511 Sep-1994 $ 9,530 $ 10,210 $ 10,258 Oct-1994 $ 9,135 $ 9,792 $ 10,493 Nov-1994 $ 8,825 $ 9,457 $ 10,108 Dec-1994 $ 9,521 $ 10,272 $ 10,255 Jan-1995 $ 9,252 $ 9,919 $ 10,522 Feb-1995 $ 9,406 $ 10,081 $ 10,930 Mar-1995 $ 9,387 $ 10,067 $ 11,254 Apr-1995 $ 9,339 $ 9,998 $ 11,581 May-1995 $ 9,714 $ 10,412 $ 12,039 Jun-1995 $ 9,916 $ 10,622 $ 12,322 Jul-1995 $ 10,031 $ 10,768 $ 12,732 Aug-1995 $ 10,098 $ 10,867 $ 12,766 Sep-1995 $ 10,271 $ 11,080 $ 13,301 Oct-1995 $ 9,944 $ 10,740 $ 13,255 Nov-1995 $ 10,062 $ 10,867 $ 13,838 Dec-1995 $ 10,670 $ 11,529 $ 14,094 Jan-1996 $ 10,772 $ 11,671 $ 14,579 Feb-1996 $ 10,905 $ 11,835 $ 14,719 Mar-1996 $ 10,915 $ 11,840 $ 14,860 Apr-1996 $ 10,905 $ 11,813 $ 15,078 May-1996 $ 11,139 $ 12,095 $ 15,467 Jun-1996 $ 11,343 $ 12,325 $ 15,531 Jul-1996 $ 11,394 $ 12,342 $ 14,840 Aug-1996 $ 11,802 $ 12,839 $ 15,154 Sep-1996 $ 12,057 $ 13,155 $ 16,006 Oct-1996 $ 12,353 $ 13,504 $ 16,445 Nov-1996 $ 12,903 $ 14,149 $ 17,693 Dec-1996 $ 14,280 $ 15,799 $ 17,346 Jan-1997 $ 14,366 $ 15,894 $ 18,423 Feb-1997 $ 14,313 $ 15,838 $ 18,572 Mar-1997 $ 14,399 $ 15,959 $ 17,800 Apr-1997 $ 13,938 $ 15,374 $ 18,862 May-1997 $ 14,346 $ 15,834 $ 20,021 Jun-1997 $ 15,108 $ 16,705 $ 20,913 Jul-1997 $ 15,505 $ 17,158 $ 22,574 Aug-1997 $ 15,431 $ 17,060 $ 21,319 Sep-1997 $ 16,837 $ 18,706 $ 22,487 Oct-1997 $ 16,365 $ 18,110 $ 21,736 Nov-1997 $ 16,666 $ 18,483 $ 22,742 Dec-1997 $ 17,046 $ 18,906 $ 23,134 Jan-1998 $ 16,844 $ 18,681 $ 23,390 Feb-1998 $ 16,562 $ 18,300 $ 25,077 Mar-1998 $ 17,003 $ 18,717 $ 26,361 Apr-1998 $ 16,460 $ 18,075 $ 26,627 May-1998 $ 16,358 $ 17,941 $ 26,169 Jun-1998 $ 16,370 $ 17,938 $ 27,231 Jul-1998 $ 15,286 $ 16,671 $ 26,943 Aug-1998 $ 13,887 $ 15,106 $ 23,047 Sep-1998 $ 14,768 $ 16,029 $ 24,524 Oct-1998 $ 14,452 $ 15,719 $ 26,518 Nov-1998 $ 14,666 $ 15,977 $ 28,125 Dec-1998 $ 14,425 $ 15,699 $ 29,745 Jan-1999 $ 14,140 $ 15,285 $ 30,988 Feb-1999 $ 14,045 $ 15,059 $ 30,025 Mar-1999 $ 13,949 $ 15,056 $ 31,226 Apr-1999 $ 15,269 $ 16,507 $ 32,434 May-1999 $ 15,674 $ 16,946 $ 31,669 Jun-1999 $ 15,412 $ 16,646 $ 33,426 Jul-1999 $ 14,925 $ 16,080 $ 32,383 Aug-1999 $ 14,794 $ 15,964 $ 32,221 Sep-1999 $ 14,152 $ 15,270 $ 31,338 Oct-1999 $ 13,866 $ 14,949 $ 33,322 Nov-1999 $ 13,676 $ 14,738 $ 33,999 Dec-1999 $ 14,139 $ 15,296 $ 36,001 Jan-2000 $ 14,227 $ 15,392 $ 34,194 Feb-2000 $ 14,012 $ 15,153 $ 33,548 Mar-2000 $ 14,517 $ 15,753 $ 36,829 Apr-2000 $ 15,449 $ 16,870 $ 35,720 May-2000 $ 15,676 $ 17,086 $ 34,988 Jun-2000 $ 16,129 $ 17,519 $ 35,848 Jul-2000 $ 17,477 $ 19,167 $ 35,289 Aug-2000 $ 16,860 $ 18,448 $ 37,481 Sep-2000 $ 17,465 $ 19,157 $ 35,502 Oct-2000 $ 16,721 $ 18,337 $ 35,353 Nov-2000 $ 17,024 $ 18,718 $ 32,567 Dec-2000 $ 18,153 $ 20,043 $ 32,726 Jan-2001 $ 18,220 $ 20,039 $ 33,888 Feb-2001 $ 17,927 $ 19,709 $ 30,798 Mar-2001 $ 18,074 $ 19,839 $ 28,845 Apr-2001 $ 18,433 $ 20,275 $ 31,086 May-2001 $ 18,887 $ 20,770 $ 31,295 Jun-2001 $ 20,009 $ 22,010 $ 30,534 Jul-2001 $ 19,594 $ 21,568 $ 30,235 Aug-2001 $ 20,315 $ 22,426 $ 28,342 Sep-2001 $ 19,675 $ 21,482 $ 26,052 Oct-2001 $ 19,048 $ 20,717 $ 26,550 Nov-2001 $ 20,050 $ 21,968 $ 28,586 Dec-2001 $ 20,543 $ 22,531 $ 28,838 Jan-2002 $ 20,473 $ 22,443 $ 28,417 Feb-2002 $ 20,856 $ 22,934 $ 27,868 Mar-2002 $ 22,159 $ 24,416 $ 28,916 Apr-2002 $ 22,301 $ 24,553 $ 27,164 May-2002 $ 22,598 $ 24,882 $ 26,963 Jun-2002 $ 23,208 $ 25,544 $ 25,043 Jul-2002 $ 22,031 $ 24,162 $ 23,090 Aug-2002 $ 22,089 $ 24,183 $ 23,242 Sep-2002 $ 21,296 $ 23,223 $ 20,716 Oct-2002 $ 20,218 $ 21,979 $ 22,539 Nov-2002 $ 21,124 $ 23,029 $ 23,866 Dec-2002 $ 21,401 $ 23,342 $ 22,463 Jan-2003 $ 20,861 $ 22,663 $ 21,874 Feb-2003 $ 21,237 $ 23,076 $ 21,546 Mar-2003 $ 21,747 $ 23,636 $ 21,755 Apr-2003 $ 22,571 $ 24,546 $ 23,548 May-2003 $ 23,814 $ 25,936 $ 24,789 Jun-2003 $ 24,310 $ 26,496 $ 25,106 Jul-2003 $ 25,554 $ 27,905 $ 25,548 Aug-2003 $ 25,733 $ 28,137 $ 26,046 Sep-2003 $ 26,618 $ 29,127 $ 25,770 Oct-2003 $ 26,978 $ 29,558 $ 27,229 Nov-2003 $ 28,193 $ 30,862 $ 27,468
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS ----------------------------------------- 33.47 13.96 10.92
- THE PORTFOLIO INVESTS IN EQUITY REITS. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P 500 Index is courtesy of (C) STOCKS, BONDS, BILLS AND INFLATION YEARBOOK(TM), Ibbotson Associates, Chicago (annually updated worKs by Roger C. Ibbotson and Rex A. Sinquefield). Wilshire REIT Index courtesy of Wilshire Associates Incorporated. [CHART] LARGE CAP INTERNATIONAL PORTFOLIO VS. MSCI EAFE INDEX (NET DIVIDENDS) NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
LARGE CAP INTERNATIONAL PORTFOLIO MSCI EAFE INDEX (NET DIVIDENDS) Nov-1993 $ 10,000 $ 10,000 Dec-1993 $ 10,625 $ 10,722 Jan-1994 $ 11,372 $ 11,628 Feb-1994 $ 11,043 $ 11,595 Mar-1994 $ 10,723 $ 11,096 Apr-1994 $ 11,106 $ 11,566 May-1994 $ 10,999 $ 11,500 Jun-1994 $ 11,169 $ 11,662 Jul-1994 $ 11,310 $ 11,775 Aug-1994 $ 11,586 $ 12,055 Sep-1994 $ 11,168 $ 11,675 Oct-1994 $ 11,622 $ 12,064 Nov-1994 $ 11,075 $ 11,483 Dec-1994 $ 11,188 $ 11,556 Jan-1995 $ 10,866 $ 11,112 Feb-1995 $ 10,790 $ 11,081 Mar-1995 $ 11,511 $ 11,771 Apr-1995 $ 11,918 $ 12,214 May-1995 $ 11,777 $ 12,068 Jun-1995 $ 11,596 $ 11,856 Jul-1995 $ 12,252 $ 12,595 Aug-1995 $ 11,768 $ 12,115 Sep-1995 $ 11,966 $ 12,351 Oct-1995 $ 11,795 $ 12,019 Nov-1995 $ 12,113 $ 12,353 Dec-1995 $ 12,648 $ 12,851 Jan-1996 $ 12,619 $ 12,903 Feb-1996 $ 12,580 $ 12,947 Mar-1996 $ 12,840 $ 13,223 Apr-1996 $ 13,187 $ 13,608 May-1996 $ 13,023 $ 13,358 Jun-1996 $ 13,100 $ 13,432 Jul-1996 $ 12,724 $ 13,040 Aug-1996 $ 12,781 $ 13,069 Sep-1996 $ 13,157 $ 13,416 Oct-1996 $ 13,041 $ 13,280 Nov-1996 $ 13,648 $ 13,808 Dec-1996 $ 13,450 $ 13,630 Jan-1997 $ 12,850 $ 13,153 Feb-1997 $ 13,047 $ 13,369 Mar-1997 $ 13,224 $ 13,417 Apr-1997 $ 13,333 $ 13,488 May-1997 $ 14,178 $ 14,366 Jun-1997 $ 15,160 $ 15,157 Jul-1997 $ 15,426 $ 15,403 Aug-1997 $ 14,364 $ 14,252 Sep-1997 $ 15,298 $ 15,051 Oct-1997 $ 14,039 $ 13,895 Nov-1997 $ 14,029 $ 13,753 Dec-1997 $ 14,191 $ 13,873 Jan-1998 $ 14,711 $ 14,507 Feb-1998 $ 15,512 $ 15,438 Mar-1998 $ 16,031 $ 15,913 Apr-1998 $ 16,131 $ 16,039 May-1998 $ 16,140 $ 15,961 Jun-1998 $ 16,341 $ 16,082 Jul-1998 $ 16,450 $ 16,244 Aug-1998 $ 14,489 $ 14,232 Sep-1998 $ 14,028 $ 13,796 Oct-1998 $ 15,430 $ 15,234 Nov-1998 $ 16,291 $ 16,014 Dec-1998 $ 16,775 $ 16,646 Jan-1999 $ 16,672 $ 16,596 Feb-1999 $ 16,306 $ 16,201 Mar-1999 $ 17,048 $ 16,877 Apr-1999 $ 17,738 $ 17,560 May-1999 $ 16,823 $ 16,656 Jun-1999 $ 17,554 $ 17,306 Jul-1999 $ 18,053 $ 17,820 Aug-1999 $ 18,176 $ 17,885 Sep-1999 $ 18,308 $ 18,066 Oct-1999 $ 19,010 $ 18,735 Nov-1999 $ 19,732 $ 19,385 Dec-1999 $ 21,555 $ 21,125 Jan-2000 $ 20,094 $ 19,784 Feb-2000 $ 20,528 $ 20,316 Mar-2000 $ 21,357 $ 21,104 Apr-2000 $ 20,259 $ 19,994 May-2000 $ 19,834 $ 19,506 Jun-2000 $ 20,580 $ 20,269 Jul-2000 $ 19,750 $ 19,420 Aug-2000 $ 19,926 $ 19,589 Sep-2000 $ 18,974 $ 18,635 Oct-2000 $ 18,507 $ 18,195 Nov-2000 $ 17,917 $ 17,513 Dec-2000 $ 18,538 $ 18,134 Jan-2001 $ 18,455 $ 18,125 Feb-2001 $ 17,141 $ 16,766 Mar-2001 $ 16,047 $ 15,648 Apr-2001 $ 17,098 $ 16,735 May-2001 $ 16,551 $ 16,144 Jun-2001 $ 15,909 $ 15,484 Jul-2001 $ 15,604 $ 15,202 Aug-2001 $ 15,235 $ 14,818 Sep-2001 $ 13,774 $ 13,317 Oct-2001 $ 14,142 $ 13,658 Nov-2001 $ 14,616 $ 14,162 Dec-2001 $ 14,677 $ 14,245 Jan-2002 $ 13,908 $ 13,489 Feb-2002 $ 13,993 $ 13,583 Mar-2002 $ 14,784 $ 14,318 Apr-2002 $ 14,826 $ 14,412 May-2002 $ 15,050 $ 14,595 Jun-2002 $ 14,495 $ 14,015 Jul-2002 $ 13,170 $ 12,631 Aug-2002 $ 13,138 $ 12,602 Sep-2002 $ 11,771 $ 11,249 Oct-2002 $ 12,391 $ 11,853 Nov-2002 $ 12,936 $ 12,391 Dec-2002 $ 12,534 $ 11,975 Jan-2003 $ 12,033 $ 11,475 Feb-2003 $ 11,739 $ 11,213 Mar-2003 $ 11,510 $ 10,993 Apr-2003 $ 12,599 $ 12,070 May-2003 $ 13,350 $ 12,801 Jun-2003 $ 13,666 $ 13,111 Jul-2003 $ 13,982 $ 13,429 Aug-2003 $ 14,298 $ 13,752 Sep-2003 $ 14,734 $ 14,176 Oct-2003 $ 15,616 $ 15,059 Nov-2003 $ 15,954 $ 15,394
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS -------------------------------------------- 23.33 -0.42 4.78
- THE PORTFOLIO PROVIDES ACCESS TO NON-U.S. LARGE COMPANIES IN EUROPE, AUSTRALIA AND THE FAR EAST (CURRENTLY 21 COUNTRIES). INVESTMENT WILL BE APPROXIMATELY MARKET CAP WEIGHTED. COUNTRY WEIGHTING REFLECT THE MSCI EAFE INDEX MARKET CAPITALIZATION WEIGHT. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital International. 3 [CHART] INTERNATIONAL SMALL COMPANY PORTFOLIO VS. CITIGROUP EXTENDED MARKET INDEX-EPAC SEPTEMBER 30, 1996-NOVEMBER 30, 2003 GROWTH OF $10,000
INTERNATIONAL SMALL COMPANY PORTFOLIO CITIGROUP EXTENDED MARKET INDEX EPAC 9/30/96 $ 9,930 $ 10,000 10/31/96 $ 9,841 $ 9,924 11/30/96 $ 9,890 $ 10,070 12/31/96 $ 9,569 $ 9,887 1/31/97 $ 9,350 $ 9,623 2/28/97 $ 9,460 $ 9,799 3/31/97 $ 9,281 $ 9,690 4/30/97 $ 9,082 $ 9,546 5/31/97 $ 9,739 $ 10,148 6/30/97 $ 9,918 $ 10,388 7/31/97 $ 9,510 $ 10,186 8/31/97 $ 9,083 $ 9,729 9/30/97 $ 8,864 $ 9,856 10/31/97 $ 8,466 $ 9,470 11/30/97 $ 7,779 $ 9,092 12/31/97 $ 7,299 $ 8,870 1/31/98 $ 7,814 $ 9,285 2/28/98 $ 8,611 $ 9,973 3/31/98 $ 8,763 $ 10,442 4/30/98 $ 8,652 $ 10,525 5/31/98 $ 8,641 $ 10,768 6/30/98 $ 8,359 $ 10,465 7/31/98 $ 8,167 $ 10,440 8/31/98 $ 7,259 $ 9,216 9/30/98 $ 7,027 $ 8,938 10/31/98 $ 7,471 $ 9,576 11/30/98 $ 7,895 $ 9,891 12/31/98 $ 7,898 $ 10,123 1/31/99 $ 7,774 $ 10,084 2/28/99 $ 7,631 $ 9,897 3/31/99 $ 7,950 $ 10,252 4/30/99 $ 8,702 $ 10,778 5/31/99 $ 8,661 $ 10,490 6/30/99 $ 9,278 $ 10,844 7/31/99 $ 9,515 $ 11,262 8/31/99 $ 9,618 $ 11,434 9/30/99 $ 9,566 $ 11,398 10/31/99 $ 9,453 $ 11,303 11/30/99 $ 9,402 $ 11,700 12/31/99 $ 9,625 $ 12,449 1/31/2000 $ 9,603 $ 12,127 2/29/2000 $ 9,719 $ 12,560 3/31/2000 $ 10,002 $ 12,668 4/30/2000 $ 9,192 $ 11,872 5/31/2000 $ 9,223 $ 11,671 6/30/2000 $ 9,991 $ 12,426 7/31/2000 $ 9,570 $ 11,990 8/31/2000 $ 9,823 $ 12,308 9/30/2000 $ 9,497 $ 11,696 10/31/2000 $ 8,908 $ 11,062 11/30/2000 $ 8,929 $ 10,652 12/31/2000 $ 9,103 $ 11,069 1/31/2001 $ 9,256 $ 11,169 2/28/2001 $ 9,180 $ 10,750 3/31/2001 $ 8,634 $ 9,887 4/30/2001 $ 9,256 $ 10,572 5/31/2001 $ 9,322 $ 10,521 6/30/2001 $ 9,169 $ 10,130 7/31/2001 $ 8,875 $ 9,864 8/31/2001 $ 9,038 $ 9,857 9/30/2001 $ 7,980 $ 8,581 10/31/2001 $ 8,286 $ 8,942 11/30/2001 $ 8,362 $ 9,266 12/31/2001 $ 8,146 $ 9,254 1/31/2002 $ 8,046 $ 9,020 2/28/2002 $ 8,324 $ 9,196 3/31/2002 $ 8,736 $ 9,795 4/30/2002 $ 9,048 $ 10,001 5/31/2002 $ 9,571 $ 10,361 6/30/2002 $ 9,326 $ 10,000 7/31/2002 $ 8,836 $ 8,990 8/31/2002 $ 8,758 $ 8,980 9/30/2002 $ 8,135 $ 8,147 10/31/2002 $ 8,035 $ 8,297 11/30/2002 $ 8,246 $ 8,605 12/31/2002 $ 8,301 $ 8,464 1/31/2003 $ 8,279 $ 8,250 2/28/2003 $ 8,324 $ 8,108 3/31/2003 $ 8,290 $ 8,056 4/30/2003 $ 8,971 $ 8,859 5/31/2003 $ 9,799 $ 9,601 6/30/2003 $ 10,241 $ 9,927 7/31/2003 $ 10,592 $ 10,264 8/31/2003 $ 11,137 $ 10,728 9/30/2003 $ 11,771 $ 11,236 10/31/2003 $ 12,406 $ 12,033 11/30/2003 $ 12,474 $ 12,210
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS SEPTEMBER 30, 1996 ----------------------------------------------------------- 51.28 9.43 3.13
- THE PORTFOLIO INVESTS IN FOUR INTERNATIONAL SERIES OF THE DFA INVESTMENT TRUST COMPANY. THE PORTFOLIO INVESTS 20%-45% IN THE JAPANESE SMALL COMPANY SERIES, 0%-25% IN THE PACIFIC RIM SMALL COMPANY SERIES, 20%-45% IN THE CONTINENTAL SMALL COMPANY SERIES, AND 5%-25% IN THE UNITED KINGDOM SMALL COMPANY SERIES. Past performance is not predictive of future performance. Prior to April 2002, the returns shown since October 1996 reflect a reimbursement fee of 0.675% of the net asset value at the time of purchase. Prior to October 1996, the reimbursement fee was 0.7%. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Citigroup Extended Market Index-EPAC is courtesy of Citigroup Global Markets Inc. [CHART] JAPANESE SMALL COMPANY PORTFOLIO VS. CITIGROUP EXTENDED MARKET INDEX-JAPAN NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
JAPANESE SMALL COMPANY PORTFOLIO CITIGROUP EXTENDED MARKET INDEX-JAPAN 11/30/93 $ 9,900 $ 10,000 12/31/93 $ 10,215 $ 10,222 1/31/94 $ 12,253 $ 11,895 2/28/94 $ 12,867 $ 12,534 3/31/94 $ 13,120 $ 12,690 4/30/94 $ 13,637 $ 13,174 5/31/94 $ 13,773 $ 13,253 6/30/94 $ 14,940 $ 14,308 7/31/94 $ 14,402 $ 13,893 8/31/94 $ 14,229 $ 13,702 9/30/94 $ 13,586 $ 13,234 10/31/94 $ 13,946 $ 13,437 11/30/94 $ 12,829 $ 12,457 12/31/94 $ 13,227 $ 12,777 1/31/95 $ 12,776 $ 12,218 2/28/95 $ 11,927 $ 11,424 3/31/95 $ 12,613 $ 12,255 4/30/95 $ 13,064 $ 12,612 5/31/95 $ 11,708 $ 11,512 6/30/95 $ 11,085 $ 10,986 7/31/95 $ 11,991 $ 11,724 8/31/95 $ 12,002 $ 11,475 9/30/95 $ 11,588 $ 11,283 10/31/95 $ 11,179 $ 10,802 11/30/95 $ 11,990 $ 11,310 12/31/95 $ 12,754 $ 11,915 1/31/96 $ 13,027 $ 11,990 2/29/96 $ 12,786 $ 11,812 3/31/96 $ 13,235 $ 12,139 4/30/96 $ 14,620 $ 13,289 5/31/96 $ 14,022 $ 12,678 6/30/96 $ 13,866 $ 12,662 7/31/96 $ 12,782 $ 11,948 8/31/96 $ 12,424 $ 11,447 9/30/96 $ 12,472 $ 11,545 10/31/96 $ 11,595 $ 10,806 11/30/96 $ 11,237 $ 10,557 12/31/96 $ 9,848 $ 9,497 1/31/97 $ 8,893 $ 8,610 2/28/97 $ 8,818 $ 8,606 3/31/97 $ 8,178 $ 8,120 4/30/97 $ 8,041 $ 8,116 5/31/97 $ 9,373 $ 9,295 6/30/97 $ 9,522 $ 9,572 7/31/97 $ 8,436 $ 8,833 8/31/97 $ 7,526 $ 7,913 9/30/97 $ 6,388 $ 7,165 10/31/97 $ 6,554 $ 7,135 11/30/97 $ 5,405 $ 6,139 12/31/97 $ 4,453 $ 5,306 1/31/98 $ 5,683 $ 6,278 2/28/98 $ 6,135 $ 6,492 3/31/98 $ 5,584 $ 6,107 4/30/98 $ 5,294 $ 5,920 5/31/98 $ 5,068 $ 5,722 6/30/98 $ 5,184 $ 5,787 7/31/98 $ 5,132 $ 5,725 8/31/98 $ 4,581 $ 5,292 9/30/98 $ 4,332 $ 5,192 10/31/98 $ 4,871 $ 5,887 11/30/98 $ 5,277 $ 6,099 12/31/98 $ 5,169 $ 6,299 1/31/99 $ 5,291 $ 6,285 2/28/99 $ 5,087 $ 6,091 3/31/99 $ 5,677 $ 6,818 4/30/99 $ 6,262 $ 7,142 5/31/99 $ 5,981 $ 6,880 6/30/99 $ 6,547 $ 7,405 7/31/99 $ 6,857 $ 7,940 8/31/99 $ 6,985 $ 8,296 9/30/99 $ 6,997 $ 8,624 10/31/99 $ 6,880 $ 8,618 11/30/99 $ 6,489 $ 8,589 12/31/99 $ 5,931 $ 8,314 1/31/2000 $ 5,990 $ 8,250 2/29/2000 $ 5,683 $ 7,954 3/31/2000 $ 6,496 $ 8,585 4/30/2000 $ 5,807 $ 7,943 5/31/2000 $ 6,089 $ 8,031 6/30/2000 $ 6,972 $ 8,881 7/31/2000 $ 6,130 $ 7,754 8/31/2000 $ 6,577 $ 8,377 9/30/2000 $ 6,301 $ 8,041 10/31/2000 $ 5,654 $ 7,369 11/30/2000 $ 5,824 $ 7,349 12/31/2000 $ 5,352 $ 6,830 1/31/2001 $ 5,322 $ 6,749 2/28/2001 $ 5,429 $ 6,648 3/31/2001 $ 5,363 $ 6,467 4/30/2001 $ 6,024 $ 7,165 5/31/2001 $ 6,078 $ 7,212 6/30/2001 $ 6,036 $ 6,973 7/31/2001 $ 5,583 $ 6,537 8/31/2001 $ 5,720 $ 6,546 9/30/2001 $ 5,220 $ 6,083 10/31/2001 $ 5,369 $ 6,134 11/30/2001 $ 5,012 $ 5,858 12/31/2001 $ 4,446 $ 5,320 1/31/2002 $ 4,205 $ 4,960 2/28/2002 $ 4,542 $ 5,221 3/31/2002 $ 4,771 $ 5,478 4/30/2002 $ 4,970 $ 5,778 5/31/2002 $ 5,458 $ 6,354 6/30/2002 $ 5,211 $ 6,129 7/31/2002 $ 5,150 $ 5,919 8/31/2002 $ 5,078 $ 5,814 9/30/2002 $ 4,934 $ 5,634 10/31/2002 $ 4,542 $ 5,217 11/30/2002 $ 4,512 $ 5,247 12/31/2002 $ 4,477 $ 5,207 1/31/2003 $ 4,477 $ 5,102 2/28/2003 $ 4,807 $ 5,323 3/31/2003 $ 4,843 $ 5,301 4/30/2003 $ 5,057 $ 5,448 5/31/2003 $ 5,368 $ 5,670 6/30/2003 $ 5,783 $ 6,091 7/31/2003 $ 5,856 $ 6,181 8/31/2003 $ 6,363 $ 6,776 9/30/2003 $ 6,766 $ 7,336 10/31/2003 $ 7,028 $ 7,683 11/30/2003 $ 6,589 $ 7,286
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS ---------------------------------------------- 46.03 4.43 -4.09
- THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY INVESTING IN THE JAPANESE SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES LISTED ON THE FIRST AND SECOND SECTIONS OF THE TOKYO STOCK EXCHANGE. - PRIOR TO AUGUST 9, 1996, THE PORTFOLIO INVESTED DIRECTLY IN JAPANESE SMALL COMPANY STOCKS. Past performance is not predictive of future performance. Prior to April 2002, the returns shown since July 1995 reflect a reimbursement fee of 0.5% of the net asset value at the time of purchase. Prior to July 1995, the reimbursement fee was 1%. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Citigroup Extended Market Index-Japan is courtesy of Citigroup Global Markets Inc. [CHART] PACIFIC RIM SMALL COMPANY PORTFOLIO VS. CITIGROUP EXTENDED MARKET INDEX-PAC RIM EX JAPAN NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
PACIFIC RIM SMALL COMPANY PORTFOLIO CITIGROUP EXTENDED MARKET INDEX PAC RIM EX JAPAN 11/30/93 $ 9,850 $ 10,000 12/31/93 $ 11,451 $ 11,868 1/31/94 $ 10,820 $ 11,535 2/28/94 $ 10,934 $ 11,385 3/31/94 $ 9,780 $ 10,028 4/30/94 $ 10,032 $ 10,180 5/31/94 $ 10,038 $ 10,172 6/30/94 $ 9,761 $ 9,688 7/31/94 $ 10,037 $ 10,117 8/31/94 $ 10,620 $ 10,570 9/30/94 $ 10,981 $ 10,593 10/31/94 $ 11,078 $ 10,497 11/30/94 $ 10,271 $ 9,567 12/31/94 $ 10,069 $ 9,393 1/31/95 $ 8,995 $ 8,456 2/28/95 $ 9,320 $ 8,985 3/31/95 $ 9,353 $ 8,943 4/30/95 $ 9,203 $ 9,036 5/31/95 $ 9,523 $ 9,393 6/30/95 $ 9,562 $ 9,335 7/31/95 $ 10,180 $ 9,918 8/31/95 $ 9,992 $ 9,792 9/30/95 $ 10,077 $ 9,869 10/31/95 $ 9,771 $ 9,567 11/30/95 $ 9,628 $ 9,604 12/31/95 $ 9,781 $ 9,933 1/31/96 $ 10,457 $ 10,866 2/29/96 $ 10,519 $ 11,089 3/31/96 $ 10,684 $ 11,225 4/30/96 $ 11,539 $ 11,695 5/31/96 $ 11,207 $ 11,530 6/30/96 $ 10,897 $ 11,506 7/31/96 $ 10,532 $ 11,002 8/31/96 $ 10,835 $ 11,648 9/30/96 $ 11,001 $ 11,895 10/31/96 $ 11,119 $ 12,138 11/30/96 $ 11,463 $ 12,913 12/31/96 $ 11,186 $ 12,954 1/31/97 $ 11,424 $ 12,983 2/28/97 $ 12,058 $ 13,666 3/31/97 $ 11,522 $ 13,058 4/30/97 $ 11,246 $ 12,798 5/31/97 $ 11,664 $ 13,322 6/30/97 $ 11,760 $ 13,502 7/31/97 $ 11,709 $ 13,504 8/31/97 $ 11,052 $ 12,518 9/30/97 $ 10,560 $ 12,202 10/31/97 $ 7,988 $ 9,296 11/30/97 $ 7,100 $ 8,535 12/31/97 $ 6,477 $ 8,202 1/31/98 $ 5,793 $ 7,353 2/28/98 $ 7,375 $ 8,656 3/31/98 $ 7,120 $ 8,360 4/30/98 $ 6,469 $ 7,923 5/31/98 $ 5,629 $ 7,090 6/30/98 $ 4,821 $ 6,341 7/31/98 $ 4,499 $ 6,168 8/31/98 $ 3,799 $ 5,172 9/30/98 $ 4,054 $ 5,807 10/31/98 $ 4,755 $ 6,724 11/30/98 $ 5,397 $ 7,233 12/31/98 $ 5,241 $ 7,035 1/31/99 $ 5,233 $ 6,952 2/28/99 $ 5,011 $ 6,923 3/31/99 $ 5,199 $ 7,392 4/30/99 $ 6,548 $ 8,490 5/31/99 $ 6,966 $ 8,163 6/30/99 $ 8,358 $ 8,897 7/31/99 $ 8,127 $ 8,879 8/31/99 $ 8,033 $ 8,730 9/30/99 $ 7,896 $ 8,637 10/31/99 $ 7,905 $ 8,467 11/30/99 $ 8,332 $ 8,965 12/31/99 $ 8,925 $ 9,531 1/31/2000 $ 8,738 $ 8,938 2/29/2000 $ 8,872 $ 8,647 3/31/2000 $ 8,801 $ 8,827 4/30/2000 $ 7,874 $ 8,211 5/31/2000 $ 7,277 $ 7,719 6/30/2000 $ 7,909 $ 8,746 7/31/2000 $ 7,865 $ 8,723 8/31/2000 $ 7,981 $ 8,972 9/30/2000 $ 7,259 $ 8,183 10/31/2000 $ 6,930 $ 7,774 11/30/2000 $ 7,027 $ 7,824 12/31/2000 $ 7,274 $ 8,267 1/31/2001 $ 7,461 $ 8,474 2/28/2001 $ 7,405 $ 8,380 3/31/2001 $ 6,639 $ 7,470 4/30/2001 $ 7,004 $ 8,015 5/31/2001 $ 7,312 $ 8,255 6/30/2001 $ 7,461 $ 8,584 7/31/2001 $ 7,209 $ 8,140 8/31/2001 $ 7,265 $ 8,176 9/30/2001 $ 6,341 $ 7,272 10/31/2001 $ 6,817 $ 7,877 11/30/2001 $ 7,191 $ 8,563 12/31/2001 $ 7,300 $ 8,734 1/31/2002 $ 7,640 $ 9,175 2/28/2002 $ 7,718 $ 9,421 3/31/2002 $ 8,048 $ 10,010 4/30/2002 $ 8,096 $ 9,779 5/31/2002 $ 8,553 $ 10,161 6/30/2002 $ 8,281 $ 9,776 7/31/2002 $ 7,786 $ 9,249 8/31/2002 $ 7,922 $ 9,405 9/30/2002 $ 7,388 $ 8,563 10/31/2002 $ 7,611 $ 8,770 11/30/2002 $ 7,689 $ 9,134 12/31/2002 $ 7,785 $ 8,965 1/31/2003 $ 8,040 $ 9,267 2/28/2003 $ 8,081 $ 9,203 3/31/2003 $ 7,918 $ 9,003 4/30/2003 $ 8,143 $ 9,678 5/31/2003 $ 8,969 $ 10,595 6/30/2003 $ 9,387 $ 11,184 7/31/2003 $ 10,020 $ 11,590 8/31/2003 $ 10,724 $ 12,246 9/30/2003 $ 11,581 $ 12,812 10/31/2003 $ 12,255 $ 13,829 11/30/2003 $ 12,347 $ 13,996
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS ----------------------------------------- 60.58 17.76 2.13
- THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY INVESTING IN THE PACIFIC RIM SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES LISTED ON THE MAJOR EXCHANGES OF AUSTRALIA, HONG KONG, NEW ZEALAND, AND SINGAPORE. - PRIOR TO AUGUST 9, 1996, THE PORTFOLIO INVESTED DIRECTLY IN PACIFIC RIM SMALL COMPANY STOCKS. Past performance is not predictive of future performance. Prior to April 2002, the returns shown since July 1995 reflect a reimbursement fee of 1% of the net asset value at the time of purchase. Prior to July 1995, the reimbursement fee was 1.5%. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Citigroup Extended Market Index-Pacific Rim ex Japan is courtesy of Citigroup Global Markets Inc. 4 [CHART] UNITED KINGDOM SMALL COMPANY PORTFOLIO VS. CITIGROUP EXTENDED MARKET INDEX-UNITED KINGDOM NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
UNITED KINGDOM SMALL COMPANY PORTFOLIO CITIGROUP EXTENDED MARKET INDEX UNITED KINGDOM 11/30/93 $ 9,850 $ 10,000 12/31/93 $ 10,438 $ 10,793 1/31/94 $ 11,854 $ 11,880 2/28/94 $ 11,804 $ 11,474 3/31/94 $ 11,124 $ 10,878 4/30/94 $ 11,524 $ 11,144 5/31/94 $ 11,166 $ 10,525 6/30/94 $ 10,825 $ 10,366 7/31/94 $ 11,090 $ 10,952 8/31/94 $ 11,477 $ 11,526 9/30/94 $ 11,324 $ 10,922 10/31/94 $ 11,538 $ 11,389 11/30/94 $ 11,017 $ 10,902 12/31/94 $ 10,923 $ 10,979 1/31/95 $ 10,890 $ 10,854 2/28/95 $ 10,719 $ 10,798 3/31/95 $ 11,166 $ 11,301 4/30/95 $ 11,452 $ 11,570 5/31/95 $ 11,847 $ 11,934 6/30/95 $ 11,814 $ 11,833 7/31/95 $ 12,323 $ 12,740 8/31/95 $ 12,308 $ 12,691 9/30/95 $ 12,555 $ 13,135 10/31/95 $ 12,385 $ 12,968 11/30/95 $ 11,942 $ 12,764 12/31/95 $ 12,096 $ 13,133 1/31/96 $ 12,150 $ 13,173 2/29/96 $ 12,580 $ 13,718 3/31/96 $ 12,957 $ 14,187 4/30/96 $ 13,574 $ 14,841 5/31/96 $ 14,073 $ 15,160 6/30/96 $ 13,945 $ 14,865 7/31/96 $ 13,478 $ 14,456 8/31/96 $ 13,941 $ 15,151 9/30/96 $ 14,041 $ 15,177 10/31/96 $ 14,716 $ 15,948 11/30/96 $ 15,136 $ 16,458 12/31/96 $ 15,700 $ 17,023 1/31/97 $ 15,506 $ 16,614 2/28/97 $ 16,020 $ 17,202 3/31/97 $ 16,129 $ 17,090 4/30/97 $ 15,860 $ 16,766 5/31/97 $ 15,779 $ 16,819 6/30/97 $ 15,607 $ 16,898 7/31/97 $ 15,092 $ 16,775 8/31/97 $ 15,481 $ 17,203 9/30/97 $ 16,042 $ 18,041 10/31/97 $ 16,608 $ 18,241 11/30/97 $ 16,414 $ 18,345 12/31/97 $ 16,255 $ 18,393 1/31/98 $ 16,339 $ 18,656 2/28/98 $ 16,955 $ 19,853 3/31/98 $ 18,352 $ 21,670 4/30/98 $ 18,411 $ 22,060 5/31/98 $ 19,094 $ 22,693 6/30/98 $ 18,399 $ 21,747 7/31/98 $ 17,034 $ 21,042 8/31/98 $ 15,329 $ 18,887 9/30/98 $ 14,627 $ 18,287 10/31/98 $ 14,299 $ 18,823 11/30/98 $ 14,187 $ 19,095 12/31/98 $ 14,436 $ 19,204 1/31/99 $ 14,675 $ 19,769 2/28/99 $ 15,161 $ 20,188 3/31/99 $ 16,054 $ 21,018 4/30/99 $ 17,114 $ 22,323 5/31/99 $ 17,018 $ 21,680 6/30/99 $ 17,440 $ 22,005 7/31/99 $ 18,563 $ 23,088 8/31/99 $ 19,153 $ 23,093 9/30/99 $ 18,803 $ 22,425 10/31/99 $ 18,556 $ 22,026 11/30/99 $ 19,306 $ 23,872 12/31/99 $ 20,474 $ 25,583 1/31/2000 $ 21,072 $ 24,752 2/29/2000 $ 20,615 $ 25,430 3/31/2000 $ 20,305 $ 25,219 4/30/2000 $ 18,577 $ 23,928 5/31/2000 $ 17,794 $ 22,564 6/30/2000 $ 19,269 $ 24,130 7/31/2000 $ 19,400 $ 24,301 8/31/2000 $ 19,774 $ 24,729 9/30/2000 $ 19,802 $ 23,599 10/31/2000 $ 18,887 $ 22,848 11/30/2000 $ 18,037 $ 21,242 12/31/2000 $ 19,500 $ 23,118 1/31/2001 $ 19,878 $ 23,199 2/28/2001 $ 19,015 $ 22,405 3/31/2001 $ 17,532 $ 20,517 4/30/2001 $ 18,437 $ 21,711 5/31/2001 $ 18,700 $ 22,104 6/30/2001 $ 17,995 $ 21,255 7/31/2001 $ 17,481 $ 20,828 8/31/2001 $ 18,038 $ 21,205 9/30/2001 $ 15,325 $ 18,155 10/31/2001 $ 16,009 $ 18,843 11/30/2001 $ 17,072 $ 19,901 12/31/2001 $ 17,767 $ 20,804 1/31/2002 $ 17,278 $ 20,074 2/28/2002 $ 17,449 $ 20,252 3/31/2002 $ 18,325 $ 21,715 4/30/2002 $ 19,122 $ 22,158 5/31/2002 $ 19,327 $ 22,330 6/30/2002 $ 18,554 $ 21,301 7/31/2002 $ 17,212 $ 19,403 8/31/2002 $ 17,224 $ 19,401 9/30/2002 $ 15,757 $ 17,688 10/31/2002 $ 15,689 $ 18,176 11/30/2002 $ 16,201 $ 18,551 12/31/2002 $ 16,160 $ 18,211 1/31/2003 $ 15,761 $ 17,290 2/28/2003 $ 15,239 $ 16,707 3/31/2003 $ 15,095 $ 16,592 4/30/2003 $ 16,512 $ 18,611 5/31/2003 $ 18,487 $ 20,695 6/30/2003 $ 19,529 $ 21,178 7/31/2003 $ 20,316 $ 22,037 8/31/2003 $ 21,164 $ 22,615 9/30/2003 $ 21,976 $ 23,277 10/31/2003 $ 23,224 $ 25,317 11/30/2003 $ 23,333 $ 25,643
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS --------------------------------------------- 44.03 10.46 8.84
- THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY INVESTING IN THE U.K. SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES IN THE UNITED KINGDOM. - PRIOR TO AUGUST 9, 1996, THE PORTFOLIO INVESTED DIRECTLY IN UNITED KINGDOM SMALL COMPANY STOCKS. Past performance is not predictive of future performance. The returns shown prior to July 1995 reflect a reimbursement fee of 1.5% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Citigroup Extended Market Index-United Kingdom is courtesy of Citigroup Global Markets Inc. [CHART] CONTINENTAL SMALL COMPANY PORTFOLIO VS. CITIGROUP EXTENDED MARKET INDEX-EUROPE EX UNITED KINGDOM NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
CONTINENTAL SMALL COMPANY PORTFOLIO CITIGROUP EXTENDED MARKET INDEX EUROPE EX UNITED KINGDOM 11/30/93 $ 9,850 $ 10,000 12/31/93 $ 10,516 $ 10,735 1/31/94 $ 11,309 $ 11,509 2/28/94 $ 11,458 $ 11,378 3/31/94 $ 11,827 $ 11,453 4/30/94 $ 12,282 $ 11,825 5/31/94 $ 12,102 $ 11,573 6/30/94 $ 11,984 $ 11,401 7/31/94 $ 12,283 $ 11,860 8/31/94 $ 12,408 $ 11,968 9/30/94 $ 12,134 $ 11,741 10/31/94 $ 12,141 $ 11,964 11/30/94 $ 11,642 $ 11,404 12/31/94 $ 11,674 $ 11,503 1/31/95 $ 11,594 $ 11,425 2/28/95 $ 11,809 $ 11,759 3/31/95 $ 11,983 $ 11,874 4/30/95 $ 12,222 $ 12,372 5/31/95 $ 12,421 $ 12,729 6/30/95 $ 12,589 $ 13,042 7/31/95 $ 12,900 $ 13,500 8/31/95 $ 12,272 $ 12,780 9/30/95 $ 12,279 $ 13,038 10/31/95 $ 11,881 $ 12,763 11/30/95 $ 11,488 $ 12,518 12/31/95 $ 11,676 $ 12,856 1/31/96 $ 11,917 $ 13,097 2/29/96 $ 12,432 $ 13,573 3/31/96 $ 12,629 $ 13,746 4/30/96 $ 12,629 $ 13,797 5/31/96 $ 12,921 $ 14,172 6/30/96 $ 13,032 $ 14,518 7/31/96 $ 12,749 $ 14,226 8/31/96 $ 12,800 $ 14,535 9/30/96 $ 12,629 $ 14,501 10/31/96 $ 12,852 $ 14,581 11/30/96 $ 13,093 $ 14,940 12/31/96 $ 13,349 $ 15,204 1/31/97 $ 13,664 $ 15,490 2/28/97 $ 13,692 $ 15,643 3/31/97 $ 14,175 $ 16,137 4/30/97 $ 13,785 $ 15,803 5/31/97 $ 14,342 $ 16,598 6/30/97 $ 14,834 $ 17,161 7/31/97 $ 14,797 $ 17,376 8/31/97 $ 14,556 $ 16,696 9/30/97 $ 15,586 $ 17,915 10/31/97 $ 15,140 $ 17,211 11/30/97 $ 14,797 $ 17,128 12/31/97 $ 14,911 $ 17,411 1/31/98 $ 15,449 $ 18,078 2/28/98 $ 16,595 $ 19,604 3/31/98 $ 18,178 $ 21,215 4/30/98 $ 18,898 $ 21,781 5/31/98 $ 19,892 $ 23,086 6/30/98 $ 19,375 $ 22,525 7/31/98 $ 19,447 $ 23,000 8/31/98 $ 17,407 $ 19,877 9/30/98 $ 16,585 $ 18,883 10/31/98 $ 17,061 $ 19,995 11/30/98 $ 17,670 $ 20,709 12/31/98 $ 17,828 $ 21,450 1/31/99 $ 16,911 $ 21,015 2/28/99 $ 16,587 $ 20,263 3/31/99 $ 16,331 $ 20,092 4/30/99 $ 16,806 $ 20,752 5/31/99 $ 16,622 $ 20,368 6/30/99 $ 16,726 $ 20,669 7/31/99 $ 17,098 $ 21,095 8/31/99 $ 17,202 $ 21,420 9/30/99 $ 17,260 $ 21,263 10/31/99 $ 17,005 $ 21,161 11/30/99 $ 16,564 $ 21,629 12/31/99 $ 17,351 $ 24,043 1/31/2000 $ 17,035 $ 23,434 2/29/2000 $ 18,162 $ 25,422 3/31/2000 $ 18,189 $ 25,084 4/30/2000 $ 17,268 $ 23,493 5/31/2000 $ 17,776 $ 23,482 6/30/2000 $ 18,477 $ 24,303 7/31/2000 $ 18,077 $ 24,063 8/31/2000 $ 18,092 $ 24,154 9/30/2000 $ 17,721 $ 22,884 10/31/2000 $ 16,924 $ 21,707 11/30/2000 $ 16,937 $ 20,820 12/31/2000 $ 18,092 $ 22,292 1/31/2001 $ 18,572 $ 22,746 2/28/2001 $ 18,267 $ 21,541 3/31/2001 $ 16,826 $ 19,376 4/30/2001 $ 17,450 $ 20,444 5/31/2001 $ 17,227 $ 19,859 6/30/2001 $ 16,698 $ 18,886 7/31/2001 $ 16,922 $ 18,788 8/31/2001 $ 17,033 $ 18,532 9/30/2001 $ 14,856 $ 15,648 10/31/2001 $ 15,305 $ 16,537 11/30/2001 $ 15,945 $ 17,530 12/31/2001 $ 16,064 $ 17,742 1/31/2002 $ 16,082 $ 17,470 2/28/2002 $ 16,320 $ 17,650 3/31/2002 $ 17,146 $ 18,859 4/30/2002 $ 17,825 $ 19,159 5/31/2002 $ 18,540 $ 19,609 6/30/2002 $ 18,540 $ 19,084 7/31/2002 $ 17,073 $ 16,843 8/31/2002 $ 16,834 $ 16,609 9/30/2002 $ 15,073 $ 14,433 10/31/2002 $ 15,532 $ 15,416 11/30/2002 $ 16,375 $ 16,391 12/31/2002 $ 16,683 $ 16,076 1/31/2003 $ 16,544 $ 15,652 2/28/2003 $ 16,069 $ 14,988 3/31/2003 $ 15,951 $ 14,937 4/30/2003 $ 17,948 $ 16,949 5/31/2003 $ 19,746 $ 18,423 6/30/2003 $ 20,082 $ 18,685 7/31/2003 $ 20,772 $ 19,416 8/31/2003 $ 21,227 $ 19,981 9/30/2003 $ 22,314 $ 20,782 10/31/2003 $ 23,678 $ 22,272 11/30/2003 $ 24,903 $ 23,435
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS --------------------------------------------- 52.08 6.89 9.55
- THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY INVESTING IN THE CONTINENTAL SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES LISTED ON THE MAJOR EXCHANGES OF AUSTRIA, BELGIUM, DENMARK, FINLAND, FRANCE, GERMANY, GREECE, IRELAND, ITALY, THE NETHERLANDS, NORWAY, PORTUGAL, SPAIN, SWEDEN, AND SWITZERLAND. - PRIOR TO AUGUST 9, 1996, THE PORTFOLIO INVESTED DIRECTLY IN CONTINENTAL SMALL COMPANY STOCKS. Past performance is not predictive of future performance. Prior to April 2002, the returns shown since July 1995 reflect a reimbursement fee of 1% of the net asset value at the time of purchase. Prior to July 1995, the reimbursement fee was 1.5%. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Citigroup Extended Market Index-Europe ex United Kingdom is courtesy of Citigroup Global Markets Inc. [CHART] DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS. CITIGROUP EXTENDED MARKET INDEX-EPAC DECEMBER 29, 1994-NOVEMBER 30, 2003 GROWTH OF $10,000
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CITIGROUP EXTENDED MARKET INDEX EPAC Dec-1994 $ 10,000 Dec-1994 $ 9,900 $ 10,000 Jan-1995 $ 9,831 $ 9,680 Feb-1995 $ 9,682 $ 9,522 Mar-1995 $ 9,999 $ 9,925 Apr-1995 $ 10,256 $ 10,223 May-1995 $ 10,068 $ 10,028 Jun-1995 $ 9,880 $ 9,894 Jul-1995 $ 10,266 $ 10,481 Aug-1995 $ 10,009 $ 10,209 Sep-1995 $ 9,860 $ 10,288 Oct-1995 $ 9,544 $ 9,995 Nov-1995 $ 9,632 $ 10,088 Dec-1995 $ 10,015 $ 10,478 Jan-1996 $ 10,214 $ 10,663 Feb-1996 $ 10,324 $ 10,823 Mar-1996 $ 10,463 $ 11,074 Apr-1996 $ 11,010 $ 11,661 May-1996 $ 11,070 $ 11,559 Jun-1996 $ 10,920 $ 11,581 Jul-1996 $ 10,472 $ 11,146 Aug-1996 $ 10,422 $ 11,229 Sep-1996 $ 10,422 $ 11,285 Oct-1996 $ 10,293 $ 11,200 Nov-1996 $ 10,402 $ 11,364 Dec-1996 $ 10,109 $ 11,157 Jan-1997 $ 9,859 $ 10,859 Feb-1997 $ 9,942 $ 11,058 Mar-1997 $ 9,858 $ 10,935 Apr-1997 $ 9,630 $ 10,772 May-1997 $ 10,274 $ 11,452 Jun-1997 $ 10,430 $ 11,724 Jul-1997 $ 10,025 $ 11,495 Aug-1997 $ 9,568 $ 10,979 Sep-1997 $ 9,391 $ 11,123 Oct-1997 $ 9,017 $ 10,687 Nov-1997 $ 8,259 $ 10,260 Dec-1997 $ 7,812 $ 10,010 Jan-1998 $ 8,372 $ 10,478 Feb-1998 $ 9,205 $ 11,255 Mar-1998 $ 9,392 $ 11,784 Apr-1998 $ 9,228 $ 11,878 May-1998 $ 9,140 $ 12,153 Jun-1998 $ 8,877 $ 11,810 Jul-1998 $ 8,603 $ 11,781 Aug-1998 $ 7,659 $ 10,401 Sep-1998 $ 7,461 $ 10,087 Oct-1998 $ 7,923 $ 10,807 Nov-1998 $ 8,273 $ 11,162 Dec-1998 $ 8,225 $ 11,425 Jan-1999 $ 8,053 $ 11,380 Feb-1999 $ 7,950 $ 11,170 Mar-1999 $ 8,420 $ 11,569 Apr-1999 $ 9,290 $ 12,163 May-1999 $ 9,210 $ 11,838 Jun-1999 $ 9,817 $ 12,238 Jul-1999 $ 10,138 $ 12,709 Aug-1999 $ 10,184 $ 12,904 Sep-1999 $ 10,127 $ 12,863 Oct-1999 $ 9,943 $ 12,756 Nov-1999 $ 9,726 $ 13,204 Dec-1999 $ 9,791 $ 14,049 Jan-2000 $ 9,638 $ 13,686 Feb-2000 $ 9,403 $ 14,175 Mar-2000 $ 9,767 $ 14,297 Apr-2000 $ 9,156 $ 13,397 May-2000 $ 9,297 $ 13,171 Jun-2000 $ 10,107 $ 14,023 Jul-2000 $ 9,731 $ 13,531 Aug-2000 $ 9,907 $ 13,889 Sep-2000 $ 9,590 $ 13,199 Oct-2000 $ 9,086 $ 12,484 Nov-2000 $ 9,203 $ 12,021 Dec-2000 $ 9,487 $ 12,492 Jan-2001 $ 9,748 $ 12,604 Feb-2001 $ 9,848 $ 12,132 Mar-2001 $ 9,338 $ 11,157 Apr-2001 $ 10,034 $ 11,931 May-2001 $ 10,084 $ 11,873 Jun-2001 $ 9,998 $ 11,432 Jul-2001 $ 9,774 $ 11,132 Aug-2001 $ 9,985 $ 11,124 Sep-2001 $ 8,891 $ 9,684 Oct-2001 $ 9,139 $ 10,091 Nov-2001 $ 9,189 $ 10,457 Dec-2001 $ 9,051 $ 10,443 Jan-2002 $ 8,961 $ 10,179 Feb-2002 $ 9,318 $ 10,378 Mar-2002 $ 9,764 $ 11,054 Apr-2002 $ 10,147 $ 11,286 May-2002 $ 10,784 $ 11,693 Jun-2002 $ 10,594 $ 11,286 Jul-2002 $ 10,033 $ 10,146 Aug-2002 $ 10,008 $ 10,135 Sep-2002 $ 9,346 $ 9,194 Oct-2002 $ 9,257 $ 9,363 Nov-2002 $ 9,460 $ 9,711 Dec-2002 $ 9,577 $ 9,551 Jan-2003 $ 9,603 $ 9,311 Feb-2003 $ 9,654 $ 9,150 Mar-2003 $ 9,564 $ 9,091 Apr-2003 $ 10,474 $ 9,998 May-2003 $ 11,528 $ 10,835 Jun-2003 $ 12,178 $ 11,203 Jul-2003 $ 12,672 $ 11,584 Aug-2003 $ 13,375 $ 12,107 Sep-2003 $ 14,129 $ 12,680 Oct-2003 $ 14,935 $ 13,580 Nov-2003 $ 15,000 $ 13,780
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS DECEMBER 29, 1994 -------------------------------------------------------- 58.56 12.49 4.65
- THIS PORTFOLIO INVESTS IN THE STOCKS OF SMALL NON-US COMPANIES WHICH THE ADVISOR BELIEVES TO BE VALUE STOCKS AT THE TIME OF PURCHASE. THE PORTFOLIO PROVIDES ACCESS TO PUBLICLY TRADED COMPANIES LISTED ON THE MAJOR EXCHANGES OF COUNTRIES INCLUDED IN THE MSCI EAFE INDEX. Past performance is not predictive of future performance. Daily index data not available at the inception of the fund. Index return is from first full month of fund inception. Prior to April 2002, the returns shown since April 1998 reflect a reimbursement fee of 0.675% of the net asset value at the time of purchase. From July 1995 to March 1998, the reimbursement fee was 0.7%. Prior to July 1995, the reimbursement fee was 1%. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Citigroup Extended Market Index-EPAC is courtesy of Citigroup Global Markets Inc. 5 [CHART] EMERGING MARKETS PORTFOLIO VS. MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY) APRIL 25, 1994-NOVEMBER 30, 2003 GROWTH OF $10,000
EMERGING MARKETS PORTFOLIO MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY) 4/25/94 $ 10,000 $ 10,000 4/30/94 $ 9,850 $ 10,000 5/31/94 $ 9,998 $ 10,320 6/30/94 $ 10,047 $ 10,018 7/31/94 $ 10,775 $ 10,635 8/31/94 $ 11,741 $ 11,942 9/30/94 $ 11,859 $ 12,066 10/31/94 $ 11,505 $ 11,832 11/30/94 $ 11,131 $ 11,204 12/31/94 $ 10,323 $ 10,296 1/31/95 $ 9,367 $ 9,194 2/28/95 $ 9,308 $ 8,950 3/31/95 $ 9,712 $ 8,985 4/30/95 $ 10,185 $ 9,371 5/31/95 $ 10,904 $ 9,844 6/30/95 $ 10,963 $ 9,853 7/31/95 $ 11,396 $ 10,059 8/31/95 $ 10,963 $ 9,809 9/30/95 $ 10,755 $ 9,749 10/31/95 $ 10,381 $ 9,367 11/30/95 $ 10,243 $ 9,191 12/31/95 $ 10,544 $ 9,581 1/31/96 $ 11,672 $ 10,253 2/29/96 $ 11,425 $ 10,073 3/31/96 $ 11,514 $ 10,133 4/30/96 $ 11,841 $ 10,502 5/31/96 $ 11,841 $ 10,429 6/30/96 $ 11,930 $ 10,472 7/31/96 $ 10,910 $ 9,738 8/31/96 $ 11,216 $ 9,973 9/30/96 $ 11,454 $ 10,045 10/31/96 $ 11,196 $ 9,770 11/30/96 $ 11,593 $ 9,922 12/31/96 $ 11,746 $ 9,954 1/31/97 $ 12,933 $ 10,624 2/28/97 $ 13,092 $ 11,072 3/31/97 $ 12,723 $ 10,754 4/30/97 $ 12,235 $ 10,735 5/31/97 $ 12,833 $ 11,014 6/30/97 $ 13,362 $ 11,580 7/31/97 $ 13,371 $ 11,729 8/31/97 $ 11,425 $ 10,223 9/30/97 $ 11,894 $ 10,490 10/31/97 $ 10,128 $ 8,760 11/30/97 $ 9,589 $ 8,435 12/31/97 $ 9,524 $ 8,619 1/31/98 $ 9,339 $ 7,936 2/28/98 $ 10,253 $ 8,760 3/31/98 $ 10,613 $ 9,111 4/30/98 $ 10,438 $ 8,994 5/31/98 $ 9,236 $ 7,734 6/30/98 $ 8,403 $ 6,907 7/31/98 $ 8,753 $ 7,101 8/31/98 $ 6,534 $ 5,022 9/30/98 $ 6,554 $ 5,326 10/31/98 $ 7,612 $ 5,880 11/30/98 $ 8,383 $ 6,363 12/31/98 $ 8,625 $ 6,247 1/31/99 $ 8,417 $ 6,142 2/28/99 $ 8,500 $ 6,197 3/31/99 $ 9,270 $ 6,994 4/30/99 $ 10,922 $ 7,849 5/31/99 $ 10,902 $ 7,779 6/30/99 $ 11,972 $ 8,646 7/31/99 $ 11,785 $ 8,398 8/31/99 $ 11,734 $ 8,468 9/30/99 $ 11,349 $ 8,171 10/31/99 $ 11,786 $ 8,338 11/30/99 $ 12,856 $ 9,082 12/31/99 $ 14,810 $ 10,226 1/31/2000 $ 14,580 $ 10,267 2/29/2000 $ 14,192 $ 10,399 3/31/2000 $ 14,276 $ 10,433 4/30/2000 $ 13,355 $ 9,430 5/31/2000 $ 12,613 $ 9,020 6/30/2000 $ 12,864 $ 9,308 7/31/2000 $ 12,110 $ 8,819 8/31/2000 $ 12,236 $ 8,849 9/30/2000 $ 11,356 $ 8,065 10/31/2000 $ 10,634 $ 7,477 11/30/2000 $ 9,964 $ 6,819 12/31/2000 $ 10,493 $ 6,974 1/31/2001 $ 11,577 $ 7,919 2/28/2001 $ 10,525 $ 7,293 3/31/2001 $ 9,483 $ 6,543 4/30/2001 $ 9,893 $ 6,847 5/31/2001 $ 9,966 $ 6,907 6/30/2001 $ 9,756 $ 6,747 7/31/2001 $ 9,409 $ 6,303 8/31/2001 $ 9,493 $ 6,230 9/30/2001 $ 7,945 $ 5,253 10/31/2001 $ 8,177 $ 5,576 11/30/2001 $ 9,071 $ 6,152 12/31/2001 $ 9,780 $ 6,632 1/31/2002 $ 10,324 $ 6,848 2/28/2002 $ 10,186 $ 6,953 3/31/2002 $ 10,613 $ 7,343 4/30/2002 $ 10,720 $ 7,372 5/31/2002 $ 10,453 $ 7,235 6/30/2002 $ 9,653 $ 6,681 7/31/2002 $ 9,184 $ 6,156 8/31/2002 $ 9,216 $ 6,245 9/30/2002 $ 8,246 $ 5,560 10/31/2002 $ 8,587 $ 5,916 11/30/2002 $ 9,227 $ 6,317 12/31/2002 $ 8,858 $ 6,102 1/31/2003 $ 8,847 $ 6,068 2/28/2003 $ 8,707 $ 5,877 3/31/2003 $ 8,566 $ 5,688 4/30/2003 $ 9,713 $ 6,166 5/31/2003 $ 10,426 $ 6,590 6/30/2003 $ 10,827 $ 6,950 7/31/2003 $ 11,043 $ 7,367 8/31/2003 $ 11,541 $ 7,845 9/30/2003 $ 12,049 $ 7,889 10/31/2003 $ 12,969 $ 8,547 11/30/2003 $ 12,839 $ 8,635
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS APRIL 25, 1994 ------------------------------------------------------ 39.14 8.79 2.64
- THE PORTFOLIO INVESTS IN THE EMERGING MARKETS SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN PROVIDES ACCESS TO NON-U.S. LARGE COMPANIES IN "EMERGING MARKET" COUNTRIES INCLUDING ARGENTINA, BRAZIL, CHILE, HUNGARY, INDONESIA, ISRAEL, MALAYSIA, MEXICO, PHILIPPINES, POLAND, SOUTH KOREA, TAIWAN, THAILAND, AND TURKEY. Past performance is not predictive of future performance. Prior to April 2002, the returns shown since July 1995 reflect a reimbursement fee of 0.5% of the net asset value at the time of purchase. Prior to July 1995, the reimbursement fee was 1.5%. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI Emerging Markets Free Index (price-only) courtesy of Morgan Stanley Capital International. [CHART] EMERGING MARKETS SMALL CAP PORTFOLIO VS. MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY) MARCH 5, 1998-NOVEMBER 30, 2003 GROWTH OF $10,000
EMERGING MARKETS SMALL CAP PORTFOLIO MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY) 3/5/98 $ 10,000 $ 10,000 3/30/98 $ 10,385 $ 10,000 4/30/98 $ 10,643 $ 9,872 5/31/98 $ 9,959 $ 8,489 6/30/98 $ 9,326 $ 7,581 7/31/98 $ 9,554 $ 7,795 8/31/98 $ 7,366 $ 5,512 9/30/98 $ 7,079 $ 5,846 10/31/98 $ 7,970 $ 6,454 11/30/98 $ 8,999 $ 6,984 12/31/98 $ 9,301 $ 6,857 1/31/99 $ 8,899 $ 6,741 2/28/99 $ 8,888 $ 6,802 3/31/99 $ 9,743 $ 7,677 4/30/99 $ 11,824 $ 8,615 5/31/99 $ 12,235 $ 8,539 6/30/99 $ 13,749 $ 9,490 7/31/99 $ 13,666 $ 9,218 8/31/99 $ 13,923 $ 9,295 9/30/99 $ 13,748 $ 8,969 10/31/99 $ 14,201 $ 9,152 11/30/99 $ 15,323 $ 9,969 12/31/99 $ 17,239 $ 11,224 1/31/2000 $ 17,568 $ 11,269 2/29/2000 $ 17,343 $ 11,414 3/31/2000 $ 17,291 $ 11,452 4/30/2000 $ 16,029 $ 10,350 5/31/2000 $ 15,147 $ 9,900 6/30/2000 $ 15,112 $ 10,217 7/31/2000 $ 14,611 $ 9,680 8/31/2000 $ 14,558 $ 9,713 9/30/2000 $ 13,642 $ 8,853 10/31/2000 $ 12,554 $ 8,207 11/30/2000 $ 11,741 $ 7,484 12/31/2000 $ 11,751 $ 7,655 1/31/2001 $ 12,409 $ 8,692 2/28/2001 $ 11,631 $ 8,005 3/31/2001 $ 10,674 $ 7,182 4/30/2001 $ 10,953 $ 7,516 5/31/2001 $ 11,073 $ 7,581 6/30/2001 $ 11,093 $ 7,405 7/31/2001 $ 10,893 $ 6,919 8/31/2001 $ 10,813 $ 6,838 9/30/2001 $ 9,158 $ 5,766 10/31/2001 $ 9,617 $ 6,120 11/30/2001 $ 10,634 $ 6,752 12/31/2001 $ 11,447 $ 7,279 1/31/2002 $ 12,330 $ 7,516 2/28/2002 $ 12,209 $ 7,631 3/31/2002 $ 12,972 $ 8,059 4/30/2002 $ 13,334 $ 8,092 5/31/2002 $ 13,214 $ 7,941 6/30/2002 $ 12,351 $ 7,333 7/31/2002 $ 11,768 $ 6,756 8/31/2002 $ 11,908 $ 6,854 9/30/2002 $ 10,543 $ 6,103 10/31/2002 $ 10,984 $ 6,494 11/30/2002 $ 11,828 $ 6,934 12/31/2002 $ 11,426 $ 6,698 1/31/2003 $ 11,631 $ 6,660 2/28/2003 $ 11,508 $ 6,450 3/31/2003 $ 11,406 $ 6,243 4/30/2003 $ 12,885 $ 6,768 5/31/2003 $ 13,851 $ 7,233 6/30/2003 $ 14,447 $ 7,629 7/31/2003 $ 14,735 $ 8,086 8/31/2003 $ 15,619 $ 8,611 9/30/2003 $ 16,215 $ 8,659 10/31/2003 $ 17,613 $ 9,381 11/30/2003 $ 17,962 $ 9,478
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS MARCH 5, 1998 ---------------------------------------------------- 51.86 14.59 10.75
- THE PORTFOLIO INVESTS IN THE EMERGING MARKETS SMALL CAP SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN PROVIDES ACCESS TO NON-U.S. SMALL COMPANIES IN "EMERGING MARKET" COUNTRIES INCLUDING ARGENTINA, BRAZIL, HUNGARY, INDONESIA, ISRAEL, MALAYSIA, MEXICO, PHILIPPINES, POLAND, SOUTH KOREA, TAIWAN, THAILAND, AND TURKEY. Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 1% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI Emerging Markets Free Index (price-only) courtesy of Morgan Stanley Capital International. [CHART] DFA ONE-YEAR FIXED INCOME PORTFOLIO VS. THREE-MONTH U.S. TREASURY BILL INDEX NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
DFA ONE-YEAR FIXED INCOME PORTFOLIO THREE-MONTH U.S. TREASURY BILL INDEX Nov-1993 $ 10,000 $ 10,000 Dec-1993 $ 10,033 $ 10,030 Jan-1994 $ 10,083 $ 10,059 Feb-1994 $ 10,063 $ 10,078 Mar-1994 $ 10,059 $ 10,107 Apr-1994 $ 10,053 $ 10,133 May-1994 $ 10,074 $ 10,163 Jun-1994 $ 10,107 $ 10,205 Jul-1994 $ 10,167 $ 10,242 Aug-1994 $ 10,206 $ 10,277 Sep-1994 $ 10,223 $ 10,315 Oct-1994 $ 10,257 $ 10,360 Nov-1994 $ 10,249 $ 10,401 Dec-1994 $ 10,280 $ 10,453 Jan-1995 $ 10,377 $ 10,505 Feb-1995 $ 10,475 $ 10,556 Mar-1995 $ 10,539 $ 10,610 Apr-1995 $ 10,608 $ 10,660 May-1995 $ 10,720 $ 10,715 Jun-1995 $ 10,780 $ 10,770 Jul-1995 $ 10,836 $ 10,821 Aug-1995 $ 10,891 $ 10,875 Sep-1995 $ 10,938 $ 10,923 Oct-1995 $ 10,996 $ 10,975 Nov-1995 $ 11,048 $ 11,024 Dec-1995 $ 11,100 $ 11,085 Jan-1996 $ 11,148 $ 11,136 Feb-1996 $ 11,191 $ 11,180 Mar-1996 $ 11,240 $ 11,222 Apr-1996 $ 11,279 $ 11,270 May-1996 $ 11,316 $ 11,319 Jun-1996 $ 11,376 $ 11,366 Jul-1996 $ 11,428 $ 11,417 Aug-1996 $ 11,483 $ 11,468 Sep-1996 $ 11,551 $ 11,522 Oct-1996 $ 11,634 $ 11,572 Nov-1996 $ 11,701 $ 11,622 Dec-1996 $ 11,741 $ 11,673 Jan-1997 $ 11,799 $ 11,726 Feb-1997 $ 11,847 $ 11,772 Mar-1997 $ 11,867 $ 11,822 Apr-1997 $ 11,946 $ 11,878 May-1997 $ 12,003 $ 11,939 Jun-1997 $ 12,074 $ 11,983 Jul-1997 $ 12,156 $ 12,037 Aug-1997 $ 12,191 $ 12,089 Sep-1997 $ 12,263 $ 12,144 Oct-1997 $ 12,334 $ 12,197 Nov-1997 $ 12,371 $ 12,244 Dec-1997 $ 12,444 $ 12,297 Jan-1998 $ 12,518 $ 12,355 Feb-1998 $ 12,559 $ 12,399 Mar-1998 $ 12,622 $ 12,457 Apr-1998 $ 12,668 $ 12,513 May-1998 $ 12,738 $ 12,566 Jun-1998 $ 12,787 $ 12,619 Jul-1998 $ 12,859 $ 12,674 Aug-1998 $ 12,917 $ 12,733 Sep-1998 $ 12,977 $ 12,797 Oct-1998 $ 13,022 $ 12,847 Nov-1998 $ 13,079 $ 12,890 Dec-1998 $ 13,151 $ 12,941 Jan-1999 $ 13,203 $ 12,988 Feb-1999 $ 13,234 $ 13,026 Mar-1999 $ 13,300 $ 13,079 Apr-1999 $ 13,358 $ 13,126 May-1999 $ 13,386 $ 13,177 Jun-1999 $ 13,442 $ 13,233 Jul-1999 $ 13,485 $ 13,287 Aug-1999 $ 13,505 $ 13,340 Sep-1999 $ 13,578 $ 13,400 Oct-1999 $ 13,639 $ 13,452 Nov-1999 $ 13,705 $ 13,506 Dec-1999 $ 13,755 $ 13,567 Jan-2000 $ 13,783 $ 13,625 Feb-2000 $ 13,870 $ 13,685 Mar-2000 $ 13,939 $ 13,756 Apr-2000 $ 13,989 $ 13,821 May-2000 $ 14,045 $ 13,905 Jun-2000 $ 14,146 $ 13,965 Jul-2000 $ 14,240 $ 14,028 Aug-2000 $ 14,327 $ 14,101 Sep-2000 $ 14,434 $ 14,176 Oct-2000 $ 14,505 $ 14,249 Nov-2000 $ 14,593 $ 14,328 Dec-2000 $ 14,679 $ 14,407 Jan-2001 $ 14,781 $ 14,502 Feb-2001 $ 14,856 $ 14,557 Mar-2001 $ 14,912 $ 14,624 Apr-2001 $ 14,986 $ 14,688 May-2001 $ 15,036 $ 14,745 Jun-2001 $ 15,083 $ 14,788 Jul-2001 $ 15,169 $ 14,837 Aug-2001 $ 15,237 $ 14,886 Sep-2001 $ 15,393 $ 14,950 Oct-2001 $ 15,484 $ 14,989 Nov-2001 $ 15,498 $ 15,022 Dec-2001 $ 15,524 $ 15,046 Jan-2002 $ 15,553 $ 15,068 Feb-2002 $ 15,612 $ 15,088 Mar-2002 $ 15,558 $ 15,110 Apr-2002 $ 15,653 $ 15,135 May-2002 $ 15,717 $ 15,159 Jun-2002 $ 15,797 $ 15,182 Jul-2002 $ 15,906 $ 15,204 Aug-2002 $ 15,954 $ 15,226 Sep-2002 $ 16,002 $ 15,250 Oct-2002 $ 16,048 $ 15,273 Nov-2002 $ 16,030 $ 15,297 Dec-2002 $ 16,130 $ 15,316 Jan-2003 $ 16,146 $ 15,331 Feb-2003 $ 16,193 $ 15,345 Mar-2003 $ 16,217 $ 15,363 Apr-2003 $ 16,251 $ 15,377 May-2003 $ 16,287 $ 15,392 Jun-2003 $ 16,305 $ 15,414 Jul-2003 $ 16,261 $ 15,425 Aug-2003 $ 16,275 $ 15,437 Sep-2003 $ 16,355 $ 15,453 Oct-2003 $ 16,325 $ 15,465 Nov-2003 $ 16,328 $ 15,477
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS -------------------------------------------- 1.86 4.54 5.03
- THE PORTFOLIO MAXIMIZES EXPECTED RETURNS BY INVESTING IN THE DFA ONE-YEAR FIXED INCOME SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH USES A STRATEGY OF SHIFTING MATURITIES BASED ON CHANGES IN THE YIELD CURVE. USING CURRENT PRICES, THE STRATEGY CREATES A MATRIX OF EXPECTED RETURNS FROM DIFFERENT BUY AND SELL STRATEGIES AND IDENTIFIES THE OPTIMAL MATURITY RANGE FOR THE HIGHEST EXPECTED RETURNS. ISSUES WHICH MEET MATURITY AND QUALITY LEVEL ARE FURTHER EVALUATED FOR BUSINESS RISK. MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN BE FOUND. INVESTMENTS ARE MADE IN HIGH QUALITY OBLIGATIONS, INCLUDING BANKERS' ACCEPTANCES, CERTIFICATES OF DEPOSIT, CORPORATE DEBT OBLIGATIONS AND COMMERCIAL PAPER OF U.S. AS WELL AS NON-U.S. ISSUERS. AVERAGE MATURITY IS MAINTAINED UNDER ONE YEAR WITH NO INDIVIDUAL ISSUE LONGER THAN TWO YEARS. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a share-holder would pay on fund distributions or the redemption of fund shares. Three-Month U.S. Treasury Bill Index courtesy of Merrill Lynch. 6 [CHART] DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO VS. MERRILL LYNCH 1-3 YEAR GOVERNMENT/CORPORATE INDEX FEBRUARY 9, 1996-NOVEMBER 30, 2003 GROWTH OF $10,000
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO MERRILL LYNCH 1-3 YEAR GOVERNMENT/CORPORATE INDEX Feb-1996 $ 10,000 Feb-1996 $ 10,000 $ 10,000 Mar-1996 $ 10,046 $ 9,993 Apr-1996 $ 10,096 $ 10,002 May-1996 $ 10,147 $ 10,023 Jun-1996 $ 10,184 $ 10,096 Jul-1996 $ 10,256 $ 10,137 Aug-1996 $ 10,357 $ 10,172 Sep-1996 $ 10,429 $ 10,265 Oct-1996 $ 10,520 $ 10,381 Nov-1996 $ 10,592 $ 10,461 Dec-1996 $ 10,635 $ 10,462 Jan-1997 $ 10,709 $ 10,511 Feb-1997 $ 10,750 $ 10,536 Mar-1997 $ 10,747 $ 10,534 Apr-1997 $ 10,811 $ 10,620 May-1997 $ 10,884 $ 10,694 Jun-1997 $ 10,962 $ 10,767 Jul-1997 $ 11,016 $ 10,887 Aug-1997 $ 11,059 $ 10,898 Sep-1997 $ 11,128 $ 10,981 Oct-1997 $ 11,171 $ 11,061 Nov-1997 $ 11,204 $ 11,087 Dec-1997 $ 11,260 $ 11,163 Jan-1998 $ 11,351 $ 11,271 Feb-1998 $ 11,396 $ 11,282 Mar-1998 $ 11,458 $ 11,331 Apr-1998 $ 11,492 $ 11,385 May-1998 $ 11,561 $ 11,448 Jun-1998 $ 11,603 $ 11,507 Jul-1998 $ 11,661 $ 11,562 Aug-1998 $ 11,741 $ 11,698 Sep-1998 $ 11,814 $ 11,850 Oct-1998 $ 11,872 $ 11,902 Nov-1998 $ 11,918 $ 11,890 Dec-1998 $ 11,988 $ 11,936 Jan-1999 $ 12,047 $ 11,987 Feb-1999 $ 12,094 $ 11,935 Mar-1999 $ 12,149 $ 12,022 Apr-1999 $ 12,196 $ 12,064 May-1999 $ 12,219 $ 12,057 Jun-1999 $ 12,269 $ 12,094 Jul-1999 $ 12,294 $ 12,127 Aug-1999 $ 12,342 $ 12,159 Sep-1999 $ 12,405 $ 12,241 Oct-1999 $ 12,429 $ 12,277 Nov-1999 $ 12,478 $ 12,304 Dec-1999 $ 12,537 $ 12,326 Jan-2000 $ 12,562 $ 12,323 Feb-2000 $ 12,638 $ 12,406 Mar-2000 $ 12,693 $ 12,479 Apr-2000 $ 12,745 $ 12,508 May-2000 $ 12,783 $ 12,553 Jun-2000 $ 12,860 $ 12,690 Jul-2000 $ 12,925 $ 12,776 Aug-2000 $ 13,003 $ 12,874 Sep-2000 $ 13,091 $ 12,975 Oct-2000 $ 13,157 $ 13,036 Nov-2000 $ 13,249 $ 13,164 Dec-2000 $ 13,347 $ 13,322 Jan-2001 $ 13,444 $ 13,500 Feb-2001 $ 13,499 $ 13,589 Mar-2001 $ 13,560 $ 13,709 Apr-2001 $ 13,616 $ 13,747 May-2001 $ 13,658 $ 13,835 Jun-2001 $ 13,708 $ 13,888 Jul-2001 $ 13,793 $ 14,057 Aug-2001 $ 13,864 $ 14,146 Sep-2001 $ 14,043 $ 14,369 Oct-2001 $ 14,156 $ 14,511 Nov-2001 $ 14,142 $ 14,474 Dec-2001 $ 14,156 $ 14,482 Jan-2002 $ 14,199 $ 14,513 Feb-2002 $ 14,256 $ 14,577 Mar-2002 $ 14,173 $ 14,485 Apr-2002 $ 14,302 $ 14,644 May-2002 $ 14,373 $ 14,720 Jun-2002 $ 14,472 $ 14,834 Jul-2002 $ 14,630 $ 14,989 Aug-2002 $ 14,687 $ 15,061 Sep-2002 $ 14,753 $ 15,185 Oct-2002 $ 14,811 $ 15,214 Nov-2002 $ 14,781 $ 15,209 Dec-2002 $ 14,903 $ 15,364 Jan-2003 $ 14,917 $ 15,386 Feb-2003 $ 14,977 $ 15,464 Mar-2003 $ 15,003 $ 15,498 Apr-2003 $ 15,048 $ 15,552 May-2003 $ 15,108 $ 15,636 Jun-2003 $ 15,126 $ 15,669 Jul-2003 $ 15,037 $ 15,575 Aug-2003 $ 15,037 $ 15,589 Sep-2003 $ 15,178 $ 15,748 Oct-2003 $ 15,118 $ 15,690 Nov-2003 $ 15,118 $ 15,690
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS FEBRUARY 9, 1996 ------------------------------------------------------- 2.28 4.87 5.44
- THE PORTFOLIO INVESTS IN THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES OF THE DFA INVESTMENT TRUST COMPANY, WHICH IN TURN SEEKS TO MAXIMIZE EXPECTED RETURNS BY SHIFTING MATURITIES BASED ON CHANGES IN THE YIELD CURVE. USING CURRENT PRICES, THE STRATEGY CREATES A MATRIX OF EXPECTED RETURNS FROM DIFFERENT BUY AND SELL STRATEGIES AND IDENTIFIES THE OPTIMAL MATURITY RANGE FOR THE HIGHEST EXPECTED RETURNS. MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN BE FOUND. INVESTMENTS ARE MADE IN U.S. GOVERNMENT SECURITIES, HIGH-QUALITY CORPORATE SECURITIES AND CURRENCY HEDGED GLOBAL BONDS WITH A MAXIMUM MATURITY OF TWO YEARS. Past performance is not predictive of future performance. Daily index data not available at the inception of the fund. Index return is from first full month of fund inception. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Merrill Lynch 1-3 Year Government/Corporate Index courtesy of Merrill Lynch. [CHART] DFA FIVE-YEAR GOVERNMENT PORTFOLIO VS. LEHMAN INTERMEDIATE GOVERNMENT INDEX NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
DFA FIVE-YEAR GOVERNMENT PORTFOLIO LEHMAN INTERMEDIATE GOVERNMENT INDEX Nov-1993 $ 10,000 $ 10,000 Dec-1993 $ 10,032 $ 10,041 Jan-1994 $ 10,153 $ 10,140 Feb-1994 $ 9,971 $ 10,001 Mar-1994 $ 9,796 $ 9,855 Apr-1994 $ 9,697 $ 9,791 May-1994 $ 9,712 $ 9,798 Jun-1994 $ 9,706 $ 9,800 Jul-1994 $ 9,837 $ 9,929 Aug-1994 $ 9,865 $ 9,957 Sep-1994 $ 9,765 $ 9,875 Oct-1994 $ 9,763 $ 9,877 Nov-1994 $ 9,688 $ 9,833 Dec-1994 $ 9,716 $ 9,866 Jan-1995 $ 9,827 $ 10,027 Feb-1995 $ 9,931 $ 10,220 Mar-1995 $ 9,980 $ 10,276 Apr-1995 $ 10,053 $ 10,395 May-1995 $ 10,240 $ 10,689 Jun-1995 $ 10,299 $ 10,757 Jul-1995 $ 10,340 $ 10,762 Aug-1995 $ 10,416 $ 10,851 Sep-1995 $ 10,467 $ 10,923 Oct-1995 $ 10,541 $ 11,043 Nov-1995 $ 10,593 $ 11,178 Dec-1995 $ 10,644 $ 11,289 Jan-1996 $ 10,695 $ 11,384 Feb-1996 $ 10,738 $ 11,263 Mar-1996 $ 10,770 $ 11,211 Apr-1996 $ 10,792 $ 11,179 May-1996 $ 10,823 $ 11,173 Jun-1996 $ 10,920 $ 11,287 Jul-1996 $ 10,953 $ 11,322 Aug-1996 $ 10,975 $ 11,335 Sep-1996 $ 11,107 $ 11,481 Oct-1996 $ 11,271 $ 11,669 Nov-1996 $ 11,392 $ 11,810 Dec-1996 $ 11,347 $ 11,746 Jan-1997 $ 11,393 $ 11,791 Feb-1997 $ 11,404 $ 11,810 Mar-1997 $ 11,370 $ 11,743 Apr-1997 $ 11,472 $ 11,875 May-1997 $ 11,551 $ 11,968 Jun-1997 $ 11,636 $ 12,071 Jul-1997 $ 11,786 $ 12,293 Aug-1997 $ 11,786 $ 12,246 Sep-1997 $ 11,879 $ 12,380 Oct-1997 $ 11,972 $ 12,525 Nov-1997 $ 12,006 $ 12,552 Dec-1997 $ 12,072 $ 12,654 Jan-1998 $ 12,145 $ 12,818 Feb-1998 $ 12,192 $ 12,804 Mar-1998 $ 12,252 $ 12,844 Apr-1998 $ 12,300 $ 12,906 May-1998 $ 12,360 $ 12,995 Jun-1998 $ 12,405 $ 13,082 Jul-1998 $ 12,465 $ 13,131 Aug-1998 $ 12,514 $ 13,380 Sep-1998 $ 12,575 $ 13,691 Oct-1998 $ 12,624 $ 13,715 Nov-1998 $ 12,674 $ 13,672 Dec-1998 $ 12,728 $ 13,725 Jan-1999 $ 12,779 $ 13,787 Feb-1999 $ 12,817 $ 13,598 Mar-1999 $ 12,880 $ 13,688 Apr-1999 $ 12,930 $ 13,725 May-1999 $ 12,930 $ 13,641 Jun-1999 $ 12,976 $ 13,662 Jul-1999 $ 13,001 $ 13,663 Aug-1999 $ 13,027 $ 13,682 Sep-1999 $ 13,117 $ 13,800 Oct-1999 $ 13,155 $ 13,828 Nov-1999 $ 13,194 $ 13,837 Dec-1999 $ 13,209 $ 13,794 Jan-2000 $ 13,223 $ 13,747 Feb-2000 $ 13,315 $ 13,861 Mar-2000 $ 13,355 $ 14,020 Apr-2000 $ 13,409 $ 14,014 May-2000 $ 13,449 $ 14,052 Jun-2000 $ 13,586 $ 14,275 Jul-2000 $ 13,667 $ 14,369 Aug-2000 $ 13,763 $ 14,530 Sep-2000 $ 13,872 $ 14,657 Oct-2000 $ 13,926 $ 14,758 Nov-2000 $ 14,007 $ 14,975 Dec-2000 $ 14,103 $ 15,238 Jan-2001 $ 14,216 $ 15,441 Feb-2001 $ 14,273 $ 15,583 Mar-2001 $ 14,343 $ 15,695 Apr-2001 $ 14,385 $ 15,645 May-2001 $ 14,455 $ 15,709 Jun-2001 $ 14,436 $ 15,759 Jul-2001 $ 14,680 $ 16,054 Aug-2001 $ 14,824 $ 16,197 Sep-2001 $ 15,155 $ 16,544 Oct-2001 $ 15,385 $ 16,802 Nov-2001 $ 15,156 $ 16,602 Dec-2001 $ 15,098 $ 16,522 Jan-2002 $ 15,142 $ 16,593 Feb-2002 $ 15,304 $ 16,731 Mar-2002 $ 15,039 $ 16,478 Apr-2002 $ 15,378 $ 16,786 May-2002 $ 15,525 $ 16,904 Jun-2002 $ 15,780 $ 17,115 Jul-2002 $ 16,124 $ 17,437 Aug-2002 $ 16,363 $ 17,636 Sep-2002 $ 16,647 $ 17,939 Oct-2002 $ 16,677 $ 17,927 Nov-2002 $ 16,527 $ 17,785 Dec-2002 $ 16,877 $ 18,114 Jan-2003 $ 16,847 $ 18,074 Feb-2003 $ 17,137 $ 18,278 Mar-2003 $ 17,121 $ 18,282 Apr-2003 $ 17,229 $ 18,333 May-2003 $ 17,627 $ 18,621 Jun-2003 $ 17,594 $ 18,591 Jul-2003 $ 16,975 $ 18,139 Aug-2003 $ 16,929 $ 18,172 Sep-2003 $ 17,470 $ 18,566 Oct-2003 $ 17,207 $ 18,384 Nov-2003 $ 17,192 $ 18,386
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS --------------------------------------------- 4.02 6.29 5.57
- THE PORTFOLIO MAXIMIZES EXPECTED RETURNS BY SHIFTING MATURITIES BASED ON CHANGES IN THE YIELD CURVE. USING CURRENT PRICES, THE STRATEGY CREATES A MATRIX OF EXPECTED RETURNS FROM DIFFERENT BUY AND SELL STRATEGIES AND IDENTIFIES THE OPTIMAL MATURITY RANGE FOR THE HIGHEST EXPECTED RETURNS. MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN BE FOUND. INVESTMENTS ARE MADE IN U.S. GOVERNMENT SECURITIES WITH A MAXIMUM MATURITY OF FIVE YEARS. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Lehman Intermediate Government Index courtesy of Lehman Brothers, Inc. 7 [CHART] DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO VS. LEHMAN AGGREGATE INDEX NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO LEHMAN AGGREGATE INDEX Nov-1993 $ 10,000 $ 10,000 Dec-1993 $ 10,135 $ 10,054 Jan-1994 $ 10,202 $ 10,190 Feb-1994 $ 9,967 $ 10,012 Mar-1994 $ 9,718 $ 9,765 Apr-1994 $ 9,655 $ 9,687 May-1994 $ 9,580 $ 9,686 Jun-1994 $ 9,495 $ 9,666 Jul-1994 $ 9,566 $ 9,858 Aug-1994 $ 9,639 $ 9,870 Sep-1994 $ 9,592 $ 9,725 Oct-1994 $ 9,610 $ 9,716 Nov-1994 $ 9,709 $ 9,695 Dec-1994 $ 9,697 $ 9,762 Jan-1995 $ 9,775 $ 9,955 Feb-1995 $ 9,919 $ 10,192 Mar-1995 $ 10,116 $ 10,254 Apr-1995 $ 10,254 $ 10,397 May-1995 $ 10,505 $ 10,800 Jun-1995 $ 10,525 $ 10,879 Jul-1995 $ 10,617 $ 10,855 Aug-1995 $ 10,692 $ 10,986 Sep-1995 $ 10,843 $ 11,093 Oct-1995 $ 10,953 $ 11,237 Nov-1995 $ 11,190 $ 11,405 Dec-1995 $ 11,254 $ 11,565 Jan-1996 $ 11,347 $ 11,641 Feb-1996 $ 11,228 $ 11,439 Mar-1996 $ 11,311 $ 11,359 Apr-1996 $ 11,377 $ 11,295 May-1996 $ 11,487 $ 11,273 Jun-1996 $ 11,529 $ 11,424 Jul-1996 $ 11,630 $ 11,455 Aug-1996 $ 11,808 $ 11,435 Sep-1996 $ 12,019 $ 11,634 Oct-1996 $ 12,244 $ 11,892 Nov-1996 $ 12,435 $ 12,096 Dec-1996 $ 12,466 $ 11,983 Jan-1997 $ 12,573 $ 12,020 Feb-1997 $ 12,693 $ 12,050 Mar-1997 $ 12,606 $ 11,917 Apr-1997 $ 12,703 $ 12,095 May-1997 $ 12,800 $ 12,210 Jun-1997 $ 12,997 $ 12,356 Jul-1997 $ 13,156 $ 12,689 Aug-1997 $ 13,181 $ 12,581 Sep-1997 $ 13,303 $ 12,767 Oct-1997 $ 13,352 $ 12,953 Nov-1997 $ 13,414 $ 13,012 Dec-1997 $ 13,502 $ 13,144 Jan-1998 $ 13,636 $ 13,312 Feb-1998 $ 13,730 $ 13,301 Mar-1998 $ 13,817 $ 13,346 Apr-1998 $ 13,870 $ 13,416 May-1998 $ 13,979 $ 13,543 Jun-1998 $ 14,040 $ 13,658 Jul-1998 $ 14,136 $ 13,687 Aug-1998 $ 14,257 $ 13,910 Sep-1998 $ 14,430 $ 14,236 Oct-1998 $ 14,525 $ 14,160 Nov-1998 $ 14,593 $ 14,241 Dec-1998 $ 14,633 $ 14,284 Jan-1999 $ 14,758 $ 14,385 Feb-1999 $ 14,801 $ 14,133 Mar-1999 $ 14,911 $ 14,211 Apr-1999 $ 15,009 $ 14,257 May-1999 $ 15,009 $ 14,131 Jun-1999 $ 14,945 $ 14,086 Jul-1999 $ 14,960 $ 14,027 Aug-1999 $ 15,003 $ 14,020 Sep-1999 $ 15,066 $ 14,182 Oct-1999 $ 15,066 $ 14,235 Nov-1999 $ 15,123 $ 14,233 Dec-1999 $ 15,176 $ 14,165 Jan-2000 $ 15,206 $ 14,118 Feb-2000 $ 15,281 $ 14,289 Mar-2000 $ 15,376 $ 14,478 Apr-2000 $ 15,451 $ 14,436 May-2000 $ 15,480 $ 14,429 Jun-2000 $ 15,575 $ 14,729 Jul-2000 $ 15,665 $ 14,863 Aug-2000 $ 15,740 $ 15,078 Sep-2000 $ 15,846 $ 15,173 Oct-2000 $ 15,954 $ 15,273 Nov-2000 $ 16,045 $ 15,524 Dec-2000 $ 16,186 $ 15,813 Jan-2001 $ 16,314 $ 16,070 Feb-2001 $ 16,394 $ 16,210 Mar-2001 $ 16,480 $ 16,291 Apr-2001 $ 16,528 $ 16,223 May-2001 $ 16,593 $ 16,320 Jun-2001 $ 16,604 $ 16,382 Jul-2001 $ 16,734 $ 16,749 Aug-2001 $ 16,864 $ 16,942 Sep-2001 $ 17,122 $ 17,138 Oct-2001 $ 17,335 $ 17,496 Nov-2001 $ 17,203 $ 17,255 Dec-2001 $ 17,144 $ 17,144 Jan-2002 $ 17,194 $ 17,283 Feb-2002 $ 17,344 $ 17,451 Mar-2002 $ 17,068 $ 17,161 Apr-2002 $ 17,370 $ 17,494 May-2002 $ 17,521 $ 17,643 Jun-2002 $ 17,740 $ 17,796 Jul-2002 $ 18,093 $ 18,012 Aug-2002 $ 18,328 $ 18,316 Sep-2002 $ 18,688 $ 18,613 Oct-2002 $ 18,671 $ 18,527 Nov-2002 $ 18,501 $ 18,522 Dec-2002 $ 18,923 $ 18,905 Jan-2003 $ 18,853 $ 18,922 Feb-2003 $ 19,130 $ 19,183 Mar-2003 $ 19,141 $ 19,168 Apr-2003 $ 19,210 $ 19,327 May-2003 $ 19,644 $ 19,686 Jun-2003 $ 19,623 $ 19,647 Jul-2003 $ 19,081 $ 18,987 Aug-2003 $ 19,047 $ 19,112 Sep-2003 $ 19,571 $ 19,619 Oct-2003 $ 19,323 $ 19,436 Nov-2003 $ 19,323 $ 19,483
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS -------------------------------------------- 4.44 5.78 6.81
- THE PORTFOLIO INVESTS IN U.S. AND INTERNATIONAL GOVERNMENT BONDS, DEBT GUARANTEED BY FOREIGN GOVERNMENTS, HIGH QUALITY CORPORATE DEBT, BANK OBLIGATIONS, AND DEBT OF SUPRANATIONAL ISSUERS WITH MATURITIES OF 5 YEARS OR LESS. ELIGIBLE COUNTRIES INCLUDE THE UNITED STATES, CANADA, UNITED KINGDOM, GERMANY, JAPAN, FRANCE, AUSTRALIA, THE NETHERLANDS, SWEDEN AND DENMARK. USING CURRENT PRICES, THE STRATEGY CREATES A MATRIX OF EXPECTED HORIZON RETURNS FROM DIFFERENT BUY AND SELL STRATEGIES AND IDENTIFIES THE MATURITY RANGE WITH THE HIGHEST EXPECTED RETURNS. MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN BE FOUND. COUNTRY WEIGHTING IS INCREASED OR REDUCED BASED ON EXPECTED RETURNS. THE PORTFOLIO MAY BE CONCENTRATED IN THE U.S. IF WARRANTED BY THE SHAPE OF INTERNATIONAL CURVES. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Lehman Aggregate Index courtesy of Lehman Brothers, Inc. [CHART] DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO VS. LEHMAN GOVERNMENT INDEX NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO LEHMAN GOVERNMENT INDEX Nov-1993 $ 10,000 $ 10,000 Dec-1993 $ 10,047 $ 10,039 Jan-1994 $ 10,187 $ 10,177 Feb-1994 $ 9,954 $ 9,961 Mar-1994 $ 9,713 $ 9,737 Apr-1994 $ 9,591 $ 9,660 May-1994 $ 9,580 $ 9,647 Jun-1994 $ 9,549 $ 9,625 Jul-1994 $ 9,714 $ 9,802 Aug-1994 $ 9,746 $ 9,804 Sep-1994 $ 9,590 $ 9,666 Oct-1994 $ 9,578 $ 9,659 Nov-1994 $ 9,529 $ 9,642 Dec-1994 $ 9,571 $ 9,700 Jan-1995 $ 9,746 $ 9,881 Feb-1995 $ 10,003 $ 10,093 Mar-1995 $ 10,055 $ 10,157 Apr-1995 $ 10,212 $ 10,290 May-1995 $ 10,658 $ 10,705 Jun-1995 $ 10,746 $ 10,787 Jul-1995 $ 10,692 $ 10,747 Aug-1995 $ 10,816 $ 10,873 Sep-1995 $ 10,908 $ 10,977 Oct-1995 $ 11,061 $ 11,144 Nov-1995 $ 11,250 $ 11,318 Dec-1995 $ 11,397 $ 11,479 Jan-1996 $ 11,488 $ 11,549 Feb-1996 $ 11,276 $ 11,313 Mar-1996 $ 11,142 $ 11,219 Apr-1996 $ 11,039 $ 11,147 May-1996 $ 10,998 $ 11,129 Jun-1996 $ 11,147 $ 11,272 Jul-1996 $ 11,168 $ 11,300 Aug-1996 $ 11,137 $ 11,275 Sep-1996 $ 11,337 $ 11,463 Oct-1996 $ 11,600 $ 11,715 Nov-1996 $ 11,810 $ 11,919 Dec-1996 $ 11,667 $ 11,797 Jan-1997 $ 11,688 $ 11,810 Feb-1997 $ 11,699 $ 11,827 Mar-1997 $ 11,555 $ 11,701 Apr-1997 $ 11,718 $ 11,870 May-1997 $ 11,827 $ 11,972 Jun-1997 $ 11,955 $ 12,106 Jul-1997 $ 12,318 $ 12,450 Aug-1997 $ 12,164 $ 12,326 Sep-1997 $ 12,362 $ 12,511 Oct-1997 $ 12,586 $ 12,728 Nov-1997 $ 12,609 $ 12,793 Dec-1997 $ 12,736 $ 12,927 Jan-1998 $ 12,954 $ 13,121 Feb-1998 $ 12,931 $ 13,085 Mar-1998 $ 12,950 $ 13,122 Apr-1998 $ 13,008 $ 13,181 May-1998 $ 13,147 $ 13,317 Jun-1998 $ 13,259 $ 13,469 Jul-1998 $ 13,283 $ 13,489 Aug-1998 $ 13,623 $ 13,840 Sep-1998 $ 14,160 $ 14,213 Oct-1998 $ 14,041 $ 14,165 Nov-1998 $ 14,006 $ 14,169 Dec-1998 $ 14,077 $ 14,200 Jan-1999 $ 14,127 $ 14,283 Feb-1999 $ 13,713 $ 13,943 Mar-1999 $ 13,814 $ 13,997 Apr-1999 $ 13,827 $ 14,029 May-1999 $ 13,630 $ 13,906 Jun-1999 $ 13,576 $ 13,878 Jul-1999 $ 13,539 $ 13,857 Aug-1999 $ 13,515 $ 13,857 Sep-1999 $ 13,657 $ 13,970 Oct-1999 $ 13,669 $ 13,992 Nov-1999 $ 13,669 $ 13,972 Dec-1999 $ 13,575 $ 13,882 Jan-2000 $ 13,485 $ 13,901 Feb-2000 $ 13,614 $ 14,098 Mar-2000 $ 13,789 $ 14,346 Apr-2000 $ 13,710 $ 14,306 May-2000 $ 13,684 $ 14,315 Jun-2000 $ 14,038 $ 14,570 Jul-2000 $ 14,144 $ 14,711 Aug-2000 $ 14,395 $ 14,929 Sep-2000 $ 14,534 $ 14,971 Oct-2000 $ 14,682 $ 15,114 Nov-2000 $ 15,003 $ 15,412 Dec-2000 $ 15,413 $ 15,719 Jan-2001 $ 15,604 $ 15,877 Feb-2001 $ 15,837 $ 16,058 Mar-2001 $ 15,913 $ 16,115 Apr-2001 $ 15,706 $ 15,950 May-2001 $ 15,747 $ 16,003 Jun-2001 $ 15,806 $ 16,077 Jul-2001 $ 16,254 $ 16,462 Aug-2001 $ 16,478 $ 16,667 Sep-2001 $ 16,888 $ 16,956 Oct-2001 $ 17,343 $ 17,394 Nov-2001 $ 16,888 $ 17,004 Dec-2001 $ 16,679 $ 16,856 Jan-2002 $ 16,766 $ 16,966 Feb-2002 $ 16,982 $ 17,122 Mar-2002 $ 16,537 $ 16,751 Apr-2002 $ 16,975 $ 17,149 May-2002 $ 17,194 $ 17,252 Jun-2002 $ 17,531 $ 17,494 Jul-2002 $ 18,005 $ 17,878 Aug-2002 $ 18,433 $ 18,232 Sep-2002 $ 19,017 $ 18,659 Oct-2002 $ 18,808 $ 18,510 Nov-2002 $ 18,569 $ 18,351 Dec-2002 $ 19,184 $ 18,795 Jan-2003 $ 19,044 $ 18,748 Feb-2003 $ 19,509 $ 19,050 Mar-2003 $ 19,442 $ 18,994 Apr-2003 $ 19,582 $ 19,082 May-2003 $ 20,254 $ 19,578 Jun-2003 $ 20,118 $ 19,476 Jul-2003 $ 18,994 $ 18,672 Aug-2003 $ 19,041 $ 18,776 Sep-2003 $ 19,774 $ 19,323 Oct-2003 $ 19,437 $ 19,048 Nov-2003 $ 19,469 $ 19,071
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS --------------------------------------------- 4.85 6.81 6.89
- THE PORTFOLIO EMPLOYS A BUY AND HOLD STRATEGY INVESTING IN GOVERNMENT SECURITIES WITH A MATURITY GENERALLY BETWEEN FIVE AND FIFTEEN YEARS AND ORDINARILY MAINTAINING AN AVERAGE WEIGHTED MATURITY OF SEVEN TO TEN YEARS. THE INVESTMENT UNIVERSE INCLUDES OBLIGATIONS OF THE U.S. GOVERNMENT, U.S. GOVERNMENT AGENCIES AND AAA-RATED DOLLAR DENOMINATED OBLIGATIONS OF FOREIGN SECURITIES AND SUPRANATIONALS. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Lehman Government Index courtesy of Lehman Brothers, Inc. [CHART] DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO VS. LEHMAN MUNICIPAL THREE-YEAR BOND INDEX AUGUST 20, 2002-NOVEMBER 30, 2003 GROWTH OF $10,000
DFA SHORT-TERM LEHMAN MUNICIPAL THREE-YEAR MUNICIPAL BOND PORTFOLIO BOND INDEX Aug-2002 $ 10,000 $ 10,000 Aug-2002 $ 9,990 $ 10,017 Sep-2002 $ 10,063 $ 10,096 Oct-2002 $ 10,005 $ 10,041 Nov-2002 $ 9,997 $ 10,044 Dec-2002 $ 10,115 $ 10,188 Jan-2003 $ 10,135 $ 10,221 Feb-2003 $ 10,199 $ 10,286 Mar-2003 $ 10,182 $ 10,274 Apr-2003 $ 10,216 $ 10,302 May-2003 $ 10,300 $ 10,381 Jun-2003 $ 10,292 $ 10,364 Jul-2003 $ 10,164 $ 10,271 Aug-2003 $ 10,206 $ 10,323 Sep-2003 $ 10,351 $ 10,478 Oct-2003 $ 10,313 $ 10,429 Nov-2003 $ 10,315 $ 10,439
ANNUALIZED ONE FIVE TOTAL RETURN (%) YEAR AUGUST 20, 2002 ----------------------------------------------- 3.18 2.45
- THE INVESTMENT OBJECTIVE OF DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO IS TO PROVIDE CURRENT INCOME THAT IS EXEMPT FROM FEDERAL PERSONAL INCOME TAXES AND TO PRESERVE INVESTORS' PRINCIPAL. THE PORTFOLIO WILL INVEST PRIMARILY IN INVESTMENT GRADE MUNICIPAL SECURITIES. AS A FUNDAMENTAL INVESTMENT POLICY, UNDER NORMAL MARKET CONDITIONS, THE PORTFOLIO WILL INVEST AT LEAST 80% OF ITS NET ASSETS IN MUNICIPAL SECURITIES THAT PAY INTEREST EXEMPT FROM FEDERAL INCOME TAX. UNDER NORMAL CIRCUMSTANCES, THE PORTFOLIO WILL MAINTAIN A DOLLAR-WEIGHTED AVERAGE PORTFOLIO MATURITY OF THREE YEARS OR LESS. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Lehman Municipal Three-Year Bond Index courtesy of Lehman Brothers, Inc. 8 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2003 The performance for the U.S. equity market for the period under review was attributable primarily to two factors: the behavior of large company stocks relative to small company stocks and the behavior of growth stocks relative to value stocks. Company size is measured by market capitalization, and "value" classification is a function of stock price relative to one or more fundamental characteristics. Compared to other stocks, value stocks sell for low prices relative to their earnings, dividends, and book values. Of the two factors, the large/small distinction was the more significant during the year ended November 30, 2003. Small company stocks outperformed large company stocks, with the smallest "micro cap" company stocks achieving particularly strong relative performance. The CRSP 9-10 Index of micro cap companies delivered a higher return for this period ended November 30, 2003 than in any calendar year since 1975. % TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2003 CRSP 9-10 Index (micro cap companies) 61.06% Russell 2000 Index (small companies) 36.28% Russell 1000 Index (large companies) 16.95%
Results were also a function of value/growth exposure, but this effect was less pronounced. Using one widely used marketwide benchmark, the distinction between the performance of value and growth companies was the smallest for any calendar year since inception of the index in 1979: % TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2003 Russell 3000 Value Index 18.38% Russell 3000 Growth Index 18.10%
When the value and growth sectors are further segmented by size, the distinction in performance is more pronounced, although still less important than the size characteristics. A premium for value stocks is more evident among large company stocks. % TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2003 Russell 2000 Value Index (small value companies) 34.91% Russell 2000 Growth Index (small growth companies) 37.67% S&P SmallCap 600/Barra Value Index (small value companies) 32.63% S&P SmallCap 600/Barra Growth Index (small growth companies) 30.78% Russell 1000 Value Index (large value companies) 17.17% Russell 1000 Growth Index (large growth companies) 16.75% S&P 500/Barra Value Index (large value companies) 17.67% S&P 500/Barra Growth Index (large growth companies) 12.66%
---------- Source: Frank Russell Co.; Center for Research in Security Prices, University of Chicago; Standard & Poor's Differences in returns for the various Dimensional U.S. equity funds over the period ended November 30, 2003 were attributable primarily to differences in value/growth and size characteristics. Moreover, the portfolio construction approach used by Dimensional Fund Advisors Inc. (the "Advisor") generally results in portfolios with greater emphasis on value or small company characteristics relative to widely-used index benchmarks. As a result, in periods when value or small company index benchmarks have outperformed growth or large company index benchmarks, it should not be surprising to find investment strategies with a greater exposure to small company or value characteristics outperform growth and large company benchmarks. 9 MASTER-FEEDER STRUCTURE Certain portfolios described below, called "Feeder Funds," do not buy individual securities directly; instead, these portfolios invest in corresponding funds called "Master Funds." Master Funds, in turn, purchase stocks, bonds, and/or other securities. DOMESTIC EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW U.S. LARGE COMPANY PORTFOLIO The U.S. Large Company Portfolio seeks to produce returns similar to those of the S&P 500(R) Index by purchasing shares of a Master Fund that invests in S&P 500(R) Index stocks in approximately the same proportions as they are represented in the S&P 500(R) Index. The Master Fund essentially was fully invested in equities throughout the period: cash equivalents averaged less than 2.25% of Fund assets. For the year ended November 30, 2003, total returns were 14.90% for the U.S. Large Company Portfolio, and 15.09% forth S&P 500(R) Index. The growth company components of the S&P 500(R) Index modestly underperformed the value components. For the year ended November 30, 2003, total returns were 12.66% for the S&P/Barra 500 Growth Index, and 17.67% for the S&P/Barra 500 Value Index. ENHANCED U.S. LARGE COMPANY PORTFOLIO The Enhanced U.S. Large Company Portfolio seeks to achieve a total return that exceeds the total return performance of the S&P 500(R) Index by purchasing shares of a Master Fund that uses an "enhanced cash" strategy. This strategy combines investment in high grade, short-term fixed income instruments with an overlay of S&P 500(R) Index futures contracts or swaps. For the year ended November 30, 2003, approximately 81% of the overlay instruments consisted of S&P 500(R) Index futures contracts, and the remaining 19% were swap contracts. The behavior of S&P 500(R) Index futures contracts is determined principally by the performance of the S&P 500(R) Index. For the year ended November 30, 2003, total return was 15.36% for the Enhanced U.S. Large Company Portfolio, and 15.09% for the S&P 500(R) Index. The growth company components of the S&P 500(R) Index modestly underperformed the value components. For the year ended November 30, 2003, total returns were 12.66% for the S&P/Barra 500 Growth Index, and 17.67% for the S&P/Barra 500 Value Index. U.S. LARGE CAP VALUE PORTFOLIO The U.S. Large Cap Value Portfolio seeks to capture the returns of U.S. large company value stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to large cap value stocks, but does not attempt to track closely a specific equity index. The Master Fund held 214 stocks as of November 30, 2003, and essentially was fully invested in equities throughout the period: cash equivalents averaged less than 2.0% of Master Fund assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than by the behavior of a limited number of stocks. For the year ended November 30, 2003, small company stocks generally outperformed large company stocks, and value stocks generally outperformed growth stocks. Total returns were 15.09% for the S&P 500(R) Index, and 17.17% for the Russell 1000 Value Index. Total return for the U.S. Large Cap Value Portfolio over this period was 20.11%. U.S. SMALL XM VALUE PORTFOLIO The U.S. Small XM Value Portfolio seeks to capture the returns of U.S. small company value stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company value stocks, but does not attempt to track closely a specific equity index. The Master Fund refrains from purchasing the very smallest ("micro cap") stocks. As of November 30, 2003, the Master Fund held 561 stocks, and was essentially fully invested in equities throughout the period: cash equivalents averaged less than 2.0% of Master Fund assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the year ended 10 November 30, 2003, small company stocks generally outperformed large company stocks, and value stocks generally outperformed growth stocks. Total returns were 15.09% for the S&P 500(R) Index, 34.91% for the Russell 2000 Value Index, and 32.63% for the S&P SmallCap 600/Barra Value Index. Total return for the U.S. Small XM Value Portfolio over this period was 38.42%. U.S. SMALL CAP VALUE PORTFOLIO The U.S. Small Cap Value Portfolio seeks to capture the returns of U.S. small company value stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company value stocks, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Master Fund held 1,611 stocks and was essentially fully invested in equities throughout the period: cash equivalents averaged less than 2.0% of Master Fund assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, small company stocks generally outperformed large company stocks, and value stocks generally outperformed growth stocks. Total returns were 15.09% for the S&P 500(R) Index, 34.91% for the Russell 2000 Value Index, and 32.63% for the S&P SmallCap 600/Barra Value Index. Total return for the U.S. Small Cap Value Portfolio over this period was 45.92%. U.S. SMALL CAP PORTFOLIO The U.S. Small Cap Portfolio seeks to capture the returns of U.S. small company stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Master Fund held 3,279 stocks, and was essentially fully invested in equities throughout the period: cash equivalents averaged less than 2.0% of Master Fund assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, small company stocks generally outperformed large company stocks. Total returns were 15.09% for the S&P 500(R) Index, and 36.28% for the Russell 2000 Index. Total return for the U.S. Small Cap Portfolio over this period was 39.89%. U.S. MICRO CAP PORTFOLIO The U.S. Micro Cap Portfolio seeks to capture the returns of very small U.S. company stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to very small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Master Fund held 2,777 stocks, and was essentially fully invested in equities throughout the period: cash equivalents averaged less than 2.0% of Master Fund assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than by the behavior of a limited number of stocks. For the year ended November 30, 2003, small company stocks generally outperformed large company stocks. Total returns were 15.09% for the S&P 500(R) Index, 36.28% for the Russell 2000 Index, and 61.06% for the CRSP 9-10 Index. Total return for the U.S. Micro Cap Portfolio over this period was 49.67%. 11 DFA REAL ESTATE SECURITIES PORTFOLIO DFA Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified portfolio of real estate investment trust ("REIT") securities, but does not attempt to track closely a specific index. As of November 30, 2003, the Portfolio held 129 stocks, and essentially was fully invested in equities throughout the preceding twelve-month period: cash equivalents averaged less than 2.0% of Portfolio assets. As a result of the Portfolio's diversified approach, performance was determined principally by structural trends in the real estate securities market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, the REIT sector performed relatively well, outperforming broad U.S. equity market indices. Total returns were 34.01% for the Wilshire REIT Index, 15.09% for the S&P 500(R) Index, and 36.28% for the Russell 2000 Index. Total return for the DFA Real Estate Securities Portfolio over this period was 33.47%. INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2003 International equity markets had generally positive returns for the period under review. When expressed in local currencies, prices rose in nine of the ten largest country constituents of the MSCI EAFE Index. Net returns were enhanced considerably by appreciation in the euro, Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona relative to the U.S. dollar. The overall effect of currency exchange rate changes was a material improvement in returns for U.S. dollar-based investors: total return for the MSCI EAFE Index (net dividends) was 7.64% in local currency and 24.23% in U.S. dollars. % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2003
LOCAL CURRENCY U.S. DOLLAR TEN LARGEST DEVELOPED MARKETS RETURN RETURN ----------------------------- -------- ----------- United Kingdom 8.75% 20.20% Japan 10.89% 23.83% France 4.36% 25.05% Switzerland 6.19% 21.02% Germany 13.35% 35.77% Netherlands -7.05% 11.00% Australia 6.24% 35.23% Italy 8.50% 29.46% Spain 11.80% 34.09% Sweden 19.22% 35.75%
---------- Source: Morgan Stanley Capital International Mirroring the U.S. experience, large company growth stocks were the poorest-performing asset class in international markets, while small company stocks had the best relative results. % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2003 (U.S. DOLLARS) MSCI EAFE Small Cap Index 45.99% Citigroup EPAC Extended Market Index (small companies) 41.90% MSCI EAFE Value Index (net dividends) 27.79% MSCI EAFE Index (net dividends) 24.23% MSCI EAFE Growth Index (net dividends) 20.62%
12 Returns in emerging markets were higher, on average, than in developed country markets, although results varied widely among individual countries. For the period under review, total returns were 40.46% for the MSCI Emerging Markets Free Index (net dividends), and 24.23% for the MSCI EAFE Index (net dividends). % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2003
TOTAL RETURNS COUNTRY (U.S. $) ------- -------- Brazil 138.10% Argentina 124.57% Thailand 92.80% Chile 70.40% Indonesia 66.70% Hungary 25.10% Israel 47.80% Poland 34.80% Taiwan 26.23% Mexico 34.40% Malaysia 23.80% Philippines 20.40% Turkey 15.30% So. Korea 10.10%
---------- Source: DataStream International INTERNATIONAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW LARGE CAP INTERNATIONAL PORTFOLIO The Large Cap International Portfolio seeks to capture the returns of international large company stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to large cap stocks, but does not attempt to track closely a specific equity index. The Portfolio held 1018 stocks in twenty-one developed country markets as of November 30, 2003, and was essentially fully invested in equities throughout the period: cash equivalents averaged less than 3.0% of Portfolio assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, international stocks generally underperformed U.S. stocks, when expressed in local currencies, but outperformed in U.S. dollar terms; total returns were 24.23% for the MSCI EAFE Index (net dividends) and 15.09% for the S&P 500(R) Index of U.S. stocks. Total return for the Large Cap International Portfolio over this period was 23.33%. INTERNATIONAL SMALL COMPANY PORTFOLIO The International Small Company Portfolio seeks to capture the returns of international small company stocks by purchasing shares of four Master Funds that individually invest in United Kingdom, European, Japanese and Pacific Rim small company stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Master Funds held 3,874 stocks in 21 developed country markets, and essentially were fully invested in equities throughout the period: cash equivalents averaged less than 0.5% of the Master Funds' assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in international equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, international small company stocks outperformed large company stocks. Total returns 13 were 24.23% for the large company MSCI EAFE Index (net dividends), 41.90% for the Citigroup EPAC Extended Market Index -- EPAC, and 51.28% for the International Small Company Portfolio. JAPANESE SMALL COMPANY PORTFOLIO The Japanese Small Company Portfolio seeks to capture the returns of Japanese small company stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Master Fund held 1088 stocks, and essentially was fully invested in equities throughout the period: cash equivalents averaged less than 2.5% of Master Fund assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the Japanese equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, Japanese small company stocks outperformed Japanese large company stocks. Total returns were 24.08% for the large company MSCI Japan Index, and 38.84% for the small company Citigroup EPAC Extended Market Index-Japan. Total return for the Japanese Small Company Portfolio over this period was 46.03%. PACIFIC RIM SMALL COMPANY PORTFOLIO The Pacific Rim Small Company Portfolio seeks to capture the returns of small company stocks in developed Pacific Rim markets, excluding Japan, by purchasing shares of a Master Fund that invests in such stocks. The investments strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Master Fund held 789 stocks, and assets were allocated among four countries: Australia (31.7%), Hong Kong (28.41%), Singapore (29.56%) and New Zealand (10.29%). Country allocations are determined by utilizing the approximate weights of individual countries, subject to a weight cap for each country, within the universe of Pacific Rim small company stocks constructed by the Advisor, and do not represent a forecast of future performance. The Master Fund was essentially fully invested in equities for the year ended November 30, 2003: cash equivalents averaged less than 2.0% of Master Fund assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the Pacific Rim equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, Pacific Rim small company stocks outperformed Pacific Rim large company stocks. Total returns were 32.55% for the MSCI Pacific Rim ex-Japan Large Company Index, and 53.22% for the Citigroup EPAC Extended Market Index -- Pacific Rim ex-Japan. Total return for the Pacific Rim Small Company Portfolio over this period was 60.58%. UNITED KINGDOM SMALL COMPANY PORTFOLIO The United Kingdom Small Company Portfolio seeks to capture the returns of U.K. small company stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Master Fund held 600 stocks, and was essentially fully invested in equities throughout the period: cash equivalents averaged less than 2.0% of Master Fund assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.K. equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, U.K. small company stocks outperformed U.K. large company stocks. Total returns were 20.20% for the MSCI United Kingdom Large Company Index, and 38.23% for the Citigroup EPAC Extended Market Index -- United Kingdom. Total return for the United Kingdom Small Company Portfolio over this period was 44.03%. 14 CONTINENTAL SMALL COMPANY PORTFOLIO The Continental Small Company Portfolio seeks to capture the returns of small company stocks in developed markets of continental Europe by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Master Fund held 1396 stocks in 15 countries. Country allocations reflect the approximate weights of individual countries within the universe of continental European small company stocks constructed by the Advisor, and do not represent a forecast of future performance. Throughout the year ended November 30, 2003, the Master Fund was essentially fully invested in equities throughout the period: cash equivalents averaged less than 2.0% of Master Fund assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the continental European equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, European small company stocks outperformed large company stocks. Total returns were 25.35% for the MSCI Europe ex-United Kingdom Large Company Index, 47.54% for the MSCI Small Cap Index -- Europe ex-U.K, and 42.98% for the Citigroup EPAC Extended Market Index -- Europe ex-United Kingdom. Total return for the Continental Small Company Portfolio over this period was 52.08%. DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO The DFA International Small Cap Value Portfolio seeks to capture the returns of international small company value stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company value stocks, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Portfolio held 2,452 stocks in 21 developed country markets, and essentially was fully invested in equities throughout the period: cash equivalents averaged less than 3.5% of Portfolio assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in international equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, international small company stocks outperformed large company stocks. Total returns were 41.90% for the Citigroup EPAC Extended Market Index -- EPAC, 24.23% for the large company MSCI EAFE Index (net dividends); and 58.56% for the DFA International Small Cap Value Portfolio. EMERGING MARKETS PORTFOLIO The Emerging Markets Portfolio seeks to capture the returns of large company stocks in selected emerging markets by purchasing shares of a Master Fund investing in such firms. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to large company emerging markets stocks, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Master Fund held 475 stocks in 14 countries. Throughout the year ended November 30, 2003, the Master Fund essentially was fully invested in equities throughout the period: cash equivalents averaged less than 4.0% of Master Fund assets. Country allocations reflect a weighting scheme targeting fixed country weights. Argentina, Chile, Hungary, the Philippines, and Poland receive a half-weight due to their small size and low liquidity relative to other emerging markets. As a result of the Portfolio's diversified approach, performance was determined principally by broad structural trends in emerging country stock markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, emerging markets outperformed developed country stocks. Total returns were 24.23% for the MSCI EAFE Index (net dividends), 40.46% for the MSCI Emerging Markets Free Index (net dividends), and 39.14% for the Emerging Markets Portfolio. EMERGING MARKETS SMALL CAP PORTFOLIO The Emerging Markets Small Cap Portfolio seeks to capture the returns of small company stocks in selected emerging markets by purchasing shares of a Master Fund which invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to emerging 15 markets small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Master Fund held 1,103 stocks in 13 countries. Allocations reflect a weighting scheme targeting fixed country weights. Argentina, Hungary, the Philippines, and Poland receive a half-weight, due to their small size and low liquidity relative to other emerging markets. The Master Fund essentially was fully invested in equities throughout the period: cash equivalents averaged less than 4.00% of Master Fund assets. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in emerging country stock markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, emerging markets small company stocks outperformed developed country stocks, as well as core emerging markets strategies. Total returns were 24.23% for the MSCI EAFE Index (net dividends), 40.46% for the MSCI Emerging Markets Free Index (net dividends), and 51.86% for the Emerging Markets Small Cap Portfolio. FIXED INCOME MARKET REVIEW YEAR ENDED NOVEMBER 30, 2003 During the period under review, short-term interest rates remained at the low end of their range over the past forty years. The Federal Reserve reduced the target rate for federal funds from 1.25% to 1.00% on June 25, 2003, the lowest level since 1958. The target rate had been as high as 6.5% in 2001. The three-month London Interbank Offered Rate ("LIBOR"), a widely-used benchmark of short-term interest rates, fell 26 basis points during the year ended November 30, 2003, while the yield on 10-year U.S. Treasury notes rose 13 basis points to 4.34%. The shape of the yield curve changed little throughout the period under review: it remained upwardly-sloped, with yields on long term instruments exceeding yields on short-term instruments.
11/30/02 11/30/03 CHANGE -------- -------- ------ Three-month LIBOR 1.43% 1.17% -18.18% 10-Year U.S. Treasury note yield 4.21% 4.34% 3.09%
---------- Source: The Wall Street Journal There is generally an inverse relationship between interest rates and bond prices, such that bond prices rise when interest rates fall. For the period under review, changes in both interest rates and bond prices were slight. As a result, total return for fixed income strategies was primarily a function of maturity, with longer maturity instruments providing higher total returns due to higher coupon interest. Intermediate-term instruments outperformed short-term securities: for the year ended November 30, 2003, total returns were 1.18% for three-month U.S. Treasury bills, 3.16% for the Merrill Lynch 1-3 Year Government/Corporate Index, and 3.38% for the Lehman Intermediate Government Index. ---------- Source: SBBI, Ibbotson & Sinquefield The Advisor's fixed income approach is based on a shifting-maturity strategy that identifies the maturity range with the highest risk-adjusted expected return. When the yield curve is flat or inverted, short-term securities are believed to offer the most attractive opportunity on a risk adjusted basis. When the yield curve is upwardly sloped, maturities are lengthened to achieve higher yields associated with the longer maturities. As yield curves in both the United States and major international bond markets were generally upwardly-sloped during the period under review, the weighted average maturity of the Portfolios generally favored the longer end of their respective maturity ranges. FIXED INCOME PORTFOLIOS' PERFORMANCE OVERVIEW DFA ONE-YEAR FIXED INCOME PORTFOLIO The DFA One-Year Fixed Income Portfolio seeks to maximize risk-adjusted total returns from a universe of high quality fixed-income securities with an average maturity of one year or less by purchasing shares of a Master Fund that invests in these securities. The investment strategy shifts maturities based on changes in the yield curve. Using current prices, the strategy creates a matrix of expected returns from different buy and sell strategies, and identifies the maturity range for the highest risk-adjusted expected returns. Maturities are shifted if premiums can be documented. The average maturity of the Master Fund changed only slightly during the period under review, 16 increasing from 335 days on November 30, 2002, to 344 days, on November 30, 2003. For the year ended November 30, 2003, total returns were 1.86% for the DFA One-Year Fixed Income Portfolio and 1.18% for the Three-Month U.S. Treasury Bill Index. The Master Fund essentially was fully invested in fixed income securities throughout the period under review: cash equivalents averaged less than 1.0% of Master Fund assets. DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO The DFA Two-Year Global Fixed Income Portfolio seeks to maximize risk-adjusted total returns from a universe of U.S. government securities, high quality corporate securities, and currency-hedged global fixed income instruments, maturing by purchasing shares of a Master Fund that invests in these securities. Eligible countries include the United States, Canada, the United Kingdom, Germany, Japan, France, Australia, the Netherlands, Sweden and Denmark. The investment strategy shifts maturities based on changes in the yield curve. Using current prices, the strategy creates a matrix of expected returns from different buy and sell strategies, and identifies the maturity range for the highest risk adjusted expected returns. Maturities are shifted if premiums can be documented. The average maturity of the Master Fund changed only slightly from 1.53 years on November 30, 2002 to 1.62 years on November 30, 2003. For the year ended November 30, 2003, total returns were 2.28% for the DFA Two-Year Global Fixed Income Portfolio and 3.16% for the Merrill Lynch 1-3 Year Government/Corporate Index. The Master Fund essentially was fully invested in fixed income securities throughout the period under review: cash equivalents averaged less than 0.75% of Master Fund assets. DFA FIVE-YEAR GOVERNMENT PORTFOLIO The DFA Five-Year Government Portfolio seeks to maximize risk-adjusted total returns from a universe of U.S. government securities maturing in five years or less. The investment strategy shifts maturities based on changes in the yield curve. Using current prices, the strategy creates a matrix of expected returns from different buy and sell strategies, and identifies the maturity range for the highest risk-adjusted expected returns. Maturities are shifted if premiums can be documented. The average maturity of the Portfolio increased from 3.64 years on November 30, 2002 to 4.67 years on November 30, 2003. For the year ended November 30, 2003, total returns were 4.02% for the DFA Five-Year Government Portfolio, and 3.38% for the Lehman Intermediate Government Index. The Portfolio essentially was fully invested in fixed income securities throughout the period under review: cash equivalents averaged less than 0.75% of Portfolio assets. DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO The DFA Five-Year Global Fixed Income Portfolio seeks to maximize risk adjusted total returns from a universe of U.S. government securities, high quality corporate securities, and currency-hedged global fixed income instruments maturing in five years or less. Eligible countries include the United States, Canada, the United Kingdom, Germany, Japan, France, Australia, the Netherlands, Sweden and Denmark. The investment strategy shifts maturities based on changes in the yield curve. Using current prices, the strategy creates a matrix of expected returns from different buy and sell strategies, and identifies the maturity range for the highest risk-adjusted expected returns. Maturities are shifted if premiums can be documented. The average maturity of the Portfolio rose modestly, from 3.99 years on November 30, 2002 to 4.42 years on November 30, 2003. For the year ended November 30, 2003, total returns were 4.44% for the DFA Five-Year Global Fixed Income Portfolio, and 5.19% for the Lehman Aggregate Index. The Portfolio essentially was fully invested in fixed income securities throughout the period under review: cash equivalents averaged less than 0.75% of Portfolio assets. DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO DFA Intermediate Government Fixed Income Portfolio seeks to provide a market rate of return and current income from U.S. Treasury and government agency issues with maturities of between five and fifteen years. The investment strategy maintains a relatively constant average maturity. The average maturity of the Portfolio fell slightly, from 7.90 years on November 30, 2002 to 7.28 years on November 30, 2003. For the year ended November 30, 2003, total returns were 4.85% for the DFA Intermediate Government Fixed Income Portfolio and 3.93% for the Lehman Government Index. The Portfolio essentially was fully invested in fixed income securities throughout the period under review: cash equivalents averaged less than 1.0% of Portfolio assets. 17 DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO DFA Short-Term Municipal Bond Portfolio seeks to provide a market rate of return from a universe of high quality municipal securities providing current income exempt from federal personal income tax. The weighted average maturity of the Portfolio generally will not exceed three years. During the period, the average maturity of the Portfolio fell slightly, from 2.81 years on November 30, 2002 to 2.75 years on November 30, 2003. For the year ended November 30, 2003, total returns were 3.94% for the Lehman Municipal Three-Year Bond Index, and 3.18% for the Portfolio. The Portfolio essentially was fully invested in fixed income securities throughout the period under review: cash equivalents averaged less than 1.0% of Portfolio assets. 18 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULES OF INVESTMENTS U.S. LARGE COMPANY PORTFOLIO NOVEMBER 30, 2003
VALUE+ ------ Investment in The U.S. Large Company Series of The DFA Investment Trust Company $ 1,017,310,577 ----------------- Total Investments (100%) (Cost $869,336,748)++ $ 1,017,310,577 =================
---------- ++The cost for federal income tax purposes is $918,935,249 ENHANCED U.S. LARGE COMPANY PORTFOLIO NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ Investment in The Enhanced U.S. Large Company Series of The DFA Investment Trust Company $ 141,500,352 ----------------- Total Investments (100%) (Cost $135,595,654)++ 17,821,203 $ 141,500,352 =================
---------- ++The cost for federal income tax purposes is $168,333,362 U.S. LARGE CAP VALUE PORTFOLIO NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company $ 1,709,688,154 ----------------- Total Investments (100%) (Cost $1,458,440,771)++ 110,946,668 $ 1,709,688,154 =================
---------- ++The cost for federal income tax purposes is $1,567,647,371 U.S. SMALL XM VALUE PORTFOLIO NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ Investment in The U.S. Small XM Value Series of The DFA Investment Trust Company $ 96,923,997 ----------------- Total Investments (100%) (Cost $77,069,239)++ 8,607,815 $ 96,923,997 =================
---------- ++The cost for federal income tax purposes is $78,870,352. +See Note B to Financial Statements. See accompanying Notes to Financial Statements. 19 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULES OF INVESTMENTS U.S. SMALL CAP VALUE PORTFOLIO NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ Investment in The U.S. Small Cap Value Series of The DFA Investment Trust Company $ 4,210,828,330 ----------------- Total Investments (100%) (Cost $2,914,328,062)++ 208,456,848 $ 4,210,828,330 =================
---------- ++The cost for federal income tax purposes is $3,072,687,581. U.S. SMALL CAP PORTFOLIO NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ Investment in The U.S. Small Cap Series of The DFA Investment Trust Company $ 1,134,357,374 ----------------- Total Investments (100%) (Cost $906,933,055)++ 81,962,238 $ 1,134,357,374 =================
---------- ++The cost for federal income tax purposes is $973,048,782. U.S. MICRO CAP PORTFOLIO NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ Investment in The U.S. Micro Cap Series of The DFA Investment Trust Company $ 2,623,763,221 ----------------- Total Investments (100%) (Cost $1,719,471,434)++ 250,359,086 $ 2,623,763,221 =================
---------- ++The cost for federal income tax purposes is $1,818,291,088. +See Note B to Financial Statements. See accompanying Notes to Financial Statements. 20 DFA REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ COMMON STOCKS -- (98.0%) Acadia Realty Trust 118,800 $ 1,433,916 Agree Realty Corp. 27,200 719,440 * Alexander's, Inc. 10,800 1,287,900 Alexandria Real Estate Equities, Inc. 83,600 4,689,960 AMB Property Corp. 355,400 11,180,884 American Land Lease Inc. 29,900 594,113 * American Real Estate Partners, L.P. 13,600 210,800 * American Spectrum Realty, Inc. 1,400 4,760 AmeriVest Properties, Inc. 76,400 542,440 AMLI Residential Properties Trust 85,800 2,215,356 Apartment Investment & Management Co. Class A 214,000 7,286,700 Archstone-Smith Trust 820,655 22,551,599 Arden Realty Group, Inc. 286,500 8,371,530 Associated Estates Realty Corp. 85,700 628,181 AvalonBay Communities, Inc. 309,400 14,789,320 Bedford Property Investors, Inc. 71,200 1,997,160 BNP Residential Properties, Inc. 22,900 258,541 Boston Properties, Inc. 425,500 19,679,375 Boykin Lodging Trust, Inc. 75,800 688,264 Brandywine Realty Trust 164,400 4,447,020 # BRE Properties, Inc. Class A 217,100 7,337,980 * Burnham Pacific Properties, Inc. 82,100 26,682 Camden Property Trust 173,100 7,277,124 Capital Automotive 142,800 4,550,322 Carramerica Realty Corp. 229,600 6,676,768 # CBL & Associates Properties, Inc. 132,800 7,470,000 Centerpoint Properties Corp. 81,400 5,832,310 Chelsea Property Group Inc. 190,000 10,260,000 Colonial Properties Trust 114,200 4,396,700 Commercial Net Lease Realty, Inc. 198,675 3,556,283 Cornerstone Realty Income Trust, Inc. 238,100 2,185,758 Corporate Office Properties Trust 127,200 2,631,768 Cousins Properties, Inc. 213,400 6,423,340 Crescent Real Estate Equities, Inc. 435,300 6,899,505 Developers Diversified Realty Corp. 376,999 11,879,238 Duke Realty Investments, Inc. 585,500 18,033,400 Eastgroup Properties, Inc. 80,800 2,516,920 Entertainment Properties Trust 86,600 2,993,762 Equity Inns, Inc. 178,400 1,641,280 Equity Office Properties Trust 1,752,863 48,606,891 Equity One, Inc. 295,176 5,062,268 Equity Residential Corp. 1,185,400 34,803,344 Essex Property Trust 100,300 6,414,185 Federal Realty Investment Trust 212,300 8,345,513 Felcor Lodging Trust, Inc. 260,000 2,748,200 First Industrial Realty Trust, Inc. 173,400 5,743,008 * First Union Real Estate Equity & Mortgage Investments 77,400 179,568 * Five Star Quality Care, Inc. 19,830 59,490 Gables Residential Trust 121,300 3,917,990 General Growth Properties 312,500 25,187,500 Glenborough Realty Trust, Inc. 122,300 2,403,195 Glimcher Realty Trust 153,300 3,343,473 * Golf Trust America, Inc. 33,800 88,556 Great Lakes REIT, Inc. 70,100 1,104,776 Heritage Property Investment Trust 183,900 $ 5,176,785 Hersha Hospitality Trust 18,500 170,940 Highwood Properties, Inc. 233,500 5,730,090 * HMG Courtland Properties, Inc. 2,400 19,560 Home Properties of New York, Inc. 127,490 5,131,473 Hospitality Properties Trust 270,600 10,702,230 * Host Marriott Corp. 1,261,400 14,064,610 HRPT Properties Trust 625,600 6,068,320 Humphrey Hospitality Trust 36,900 142,065 Innkeepers USA Trust 163,900 1,389,872 Jameson Inns, Inc. 51,400 130,042 Keystone Property Trust 95,000 1,924,700 Kilroy Realty Corp. 126,100 3,917,927 Kimco Realty Corp. 475,250 20,911,000 Koger Equity, Inc. 93,800 1,893,822 Kramont Realty Trust 103,300 1,867,664 * La Quinta Corp. 656,400 4,095,936 Lasalle Hotel Properties Trust 92,400 1,679,832 Lexington Corporate Properties Trust 164,700 3,251,178 Liberty Property Trust 342,300 12,949,209 Macerich Co. 228,800 9,655,360 Mack-California Realty Corp. 255,200 10,182,480 Maguire Properties, inc. 89,600 2,051,840 Malan Realty Investors, Inc. 17,500 91,875 Manufactured Home Communities, Inc. 96,300 3,746,070 Maxus Realty Trust, Inc. 1,700 19,805 * Meristar Hospitality Corp. 63,700 394,940 Mid-America Apartment Communities, Inc. 80,800 2,655,088 Mills Corp. 190,600 8,262,510 Mission West Properties, Inc. 76,300 961,380 Monmouth Real Estate Investment Corp. Class A 62,568 544,967 New Plan Excel Realty Trust, Inc. 422,100 10,320,345 One Liberty Properties, Inc. 27,900 531,495 Pan Pacific Retail Properties, Inc. 172,631 8,018,710 * Paragon Real Estate & Investment Trust 10,700 2,140 Parkway Properties, Inc. 44,500 1,912,610 Pennsylvania Real Estate Investment Trust 138,181 4,767,245 * Philips International Realty Corp. 14,400 14,508 Post Properties, Inc. 162,500 4,663,750 Prentiss Properties Trust 179,600 5,702,300 Presidential Realty Corp. Class B 2,100 15,540 * Price Legacy Corp. 94,100 343,465 * Prime Group Realty Trust 94,900 584,584 ProLogis 770,700 23,506,350 PS Business Parks, Inc. 92,500 3,607,500 Public Storage, Inc. 541,700 24,051,480 Ramco-Gershenson Properties Trust 63,500 1,654,175 Realty Income Corp. 163,200 6,560,640 Reckson Associates Realty Corp. 248,801 5,971,224 Regency Centers Corp. 165,900 6,553,050
21
SHARES VALUE+ ------ ------ Roberts Realty Investment 11,400 $ 81,168 Rouse Co. 379,400 17,448,606 Saul Centers, Inc. 69,200 1,951,440 Senior Housing Properties Trust 254,200 4,115,498 Shurgard Storage Centers, Inc. Class A 196,700 7,336,910 # Simon Property Group, Inc. 813,500 38,600,575 Sizeler Property Investors, Inc. 57,600 609,984 SL Green Realty Corp. 145,600 5,439,616 Sovran Self Storage, Inc. 57,600 1,988,928 Summit Properties, Inc. 133,300 3,047,238 Sun Communities, Inc. 80,900 3,036,177 Tanger Factory Outlet Centers, Inc. 45,200 1,859,980 * Tarragon Realty Investors, Inc. 38,673 599,432 Taubman Centers, Inc. 212,200 4,350,100 Town & Country Trust 71,400 1,692,180 Trizec Properties, Inc. 632,400 8,809,332 U.S. Restaurant Properties, Inc. 96,700 1,597,484 United Dominion Realty Trust, Inc. 516,500 9,529,425 United Mobile Homes, Inc. 33,800 581,360 Urstadt Biddle Properties Class A 81,600 1,130,160 Urstadt Biddle Properties, Inc. 19,800 265,716 Vornado Realty Trust 485,300 26,550,763 Washington Real Estate Investment Trust 168,900 5,181,852 # Weingarten Realty Investors 229,200 10,330,044 Winston Hotels, Inc. 106,900 1,089,311 --------------- TOTAL COMMON STOCKS (Cost $603,800,715) 769,962,316 --------------- RIGHTS/WARRANTS -- (0.0%) * Pacific Gulf Properties, Inc. Litigation Rights (Cost $0) 55,600 1,384 --------------- FACE AMOUNT ------ (000) TEMPORARY CASH INVESTMENTS -- (2.0%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $13,815,000 FMC Discount Notes 1.11%, 03/25/04, valued at $13,763,194) to be repurchased at $13,559,927 (Cost $13,559,000) $ 13,559 13,559,000 Repurchase agreements in a Pooled Cash Account, UBS Warburg and Deutsche Bank Securities Inc., 1.01% and 1.02% respectively, 12/01/03 (Collateralized by $1,931,000 U.S. Treasury Obligations, rates ranging from 5.50% to 8.875%, maturities ranging from 08/15/04 to 05/15/30, valued at $2,389,516) to be repurchased at $2,328,493 (Cost $2,328,296)^ 2,328 2,328,296 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $15,887,296) 15,887,296 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $619,688,001)++ $ 785,850,996 ===============
---------- + See Note B to Financial Statements. * Non-Income Producing Securities # Total or Partial Securities on Loan ^ Security purchased with cash proceeds from securities on loan ++ The cost for federal income tax purposes is $618,550,735. See accompanying Notes to Financial Statements. 22 LARGE CAP INTERNATIONAL PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ UNITED KINGDOM -- (24.0%) COMMON STOCKS -- (24.0%) 3I Group P.L.C. 45,865 $ 480,390 * AWG P.L.C. 7,986 73,001 Aegis Group P.L.C. 66,140 113,752 Aggreko P.L.C. 11,000 26,391 * Alliance Unichem P.L.C. 24,000 207,416 Amec P.L.C. 20,143 94,836 Amvescap P.L.C. 54,800 388,305 * Arm Holdings P.L.C. 70,000 144,469 Associated British Ports Holdings P.L.C. 22,200 163,415 Aviva P.L.C. 167,475 1,333,602 BAA P.L.C. 75,662 614,858 BAE Systems P.L.C. 216,193 647,902 BBA Group P.L.C. 32,900 134,811 BG Group P.L.C. 256,980 1,209,897 BOC Group P.L.C. 34,279 477,833 BP Amoco P.L.C. 1,565,989 10,928,042 BPB P.L.C. 34,000 201,302 BT Group P.L.C. 632,919 1,891,333 * BTG P.L.C. 4,000 13,415 Balfour Beatty P.L.C. 24,382 90,996 Barclays P.L.C. 477,928 4,212,612 Barratt Developments P.L.C. 16,000 134,700 Berkeley Group P.L.C. 9,120 125,795 Boots Group P.L.C. 58,761 718,545 Brambles Industries P.L.C. 49,055 147,222 * British Airways P.L.C. 73,000 286,255 British American Tobacco P.L.C. 150,799 1,891,990 British Land Co. P.L.C. 35,452 337,942 * British Sky Broadcasting Group P.L.C. 141,100 1,635,619 Bunzl P.L.C. 32,078 244,817 Cable and Wireless P.L.C. 165,774 377,770 Cadbury Schweppes P.L.C. 147,035 936,923 * Canary Wharf Group P.L.C. 40,100 166,555 Capita Group P.L.C. 45,000 193,485 Carlton Communications P.L.C. 40,197 159,698 Carnival P.L.C. 14,729 516,771 Cattles P.L.C. 23,503 129,351 * Celltech P.L.C. 16,000 96,725 Centrica P.L.C. 304,552 991,271 Close Brothers Group P.L.C. 8,600 102,057 Cobham P.L.C. 7,650 148,806 Compass Group P.L.C. 158,612 953,407 * Corus Group P.L.C. 176,384 99,349 Davis Service Group P.L.C. 11,000 67,728 De la Rue P.L.C. 12,250 60,888 Diageo P.L.C. 223,519 2,787,068 Dixons Group P.L.C. 133,374 313,111 EMI Group P.L.C. 52,888 154,405 Electrocomponents P.L.C. 29,117 171,515 Emap P.L.C. 17,000 246,913 Enterprise Inns P.L.C. 12,000 193,072 FKI P.L.C. 39,662 75,035 Firstgroup P.L.C. 28,000 130,022 Friends Provident P.L.C. 118,000 262,306 GKN P.L.C. 51,160 235,589 Glaxosmithkline P.L.C. 429,162 $ 9,676,517 Granada Compass P.L.C. 195,974 414,571 Great Portland Estates P.L.C. 13,760 57,270 Great Universal Stores P.L.C. 71,695 933,734 HBOS P.L.C. 280,495 3,521,625 # HSBC Holdings P.L.C. 775,337 11,747,935 Hammerson P.L.C. 18,700 199,723 Hanson P.L.C. 50,000 348,703 Hays P.L.C. 120,259 262,674 Hilton Group P.L.C. 115,400 419,770 IMI P.L.C. 25,000 146,511 Imperial Chemical Industries P.L.C. 80,509 267,237 Imperial Tobacco Group P.L.C. 52,275 957,500 Intercontinental Hotels Group P.L.C. 52,091 481,320 * International Power P.L.C. 75,802 147,969 Invensys P.L.C. 250,836 86,281 Johnson Matthey P.L.C. 14,575 252,927 Kelda Group P.L.C. 26,600 206,211 Kesa Electricals P.L.C. 32,274 135,992 Kidde P.L.C. 59,000 105,785 Kingfisher P.L.C. 167,047 792,226 Land Securities Group P.L.C. 31,946 527,452 Legal and General Group P.L.C. 468,371 801,509 Liberty International P.L.C. 21,000 236,929 Lloyds TSB Group P.L.C. 411,242 2,906,929 Logicacmg P.L.C. 33,214 156,805 MFI Furniture Group P.L.C. 43,800 106,216 Man Group P.L.C. 21,694 532,425 Marks & Spencer Group P.L.C. 172,434 796,274 Misys P.L.C. 38,060 186,556 * Mitchells & Butlers P.L.C. 49,091 196,722 * My Travel Group P.L.C. 22,000 4,351 # National Grid Group P.L.C. 225,790 1,526,133 Next P.L.C. 20,660 396,187 Novar P.L.C. 21,464 47,252 Nycomed Amersham P.L.C. 47,379 613,587 Ocean Group P.L.C. 20,863 273,238 Pearson P.L.C. 55,818 622,077 Peninsular & Oriental Steam Navigation P.L.C. 48,886 205,990 Persimmon P.L.C. 19,000 152,277 Pilkington P.L.C. 91,182 140,355 Provident Financial P.L.C. 17,113 179,683 Prudential Corp. P.L.C. 145,039 1,113,161 RMC Group P.L.C. 18,000 189,615 Rank Group P.L.C. 40,651 202,752 Reckitt Benckiser P.L.C. 51,053 1,114,238 Reed International P.L.C. 89,700 738,964 Rentokill Initial P.L.C. 125,200 469,414 Reuters Holdings Group P.L.C. 101,040 426,619 Rexam P.L.C. 34,874 257,908 Rio Tinto P.L.C. 77,775 1,857,964 Rolls Royce Group P.L.C. 120,144 368,321 Royal & Sun Alliance Insurance Group P.L.C. 198,242 288,955 Royal Bank of Scotland Group P.L.C. 215,755 6,022,468 SSL International P.L.C. 12,000 65,785 Sabmiller P.L.C. 72,000 718,836
23
SHARES VALUE+ ------ ------ Safeway P.L.C. 62,948 $ 303,676 Sage Group P.L.C. 86,600 269,955 Sainsbury (J.) P.L.C. 137,481 709,939 Schroders P.L.C. 15,000 167,687 Scottish & Newcastle P.L.C. 62,580 395,000 Scottish Hydro-Electric P.L.C. 61,800 693,528 Scottish Power P.L.C. 135,465 837,570 Securicor P.L.C. 35,700 54,031 Serco Group P.L.C. 24,933 75,579 Severn Trent P.L.C. 23,300 289,527 Shell Transport & Trading Co., P.L.C. 705,511 4,465,260 Signet Group P.L.C. 119,518 207,097 Slough Estates P.L.C. 28,200 204,186 Smith & Nephew P.L.C. 67,907 521,472 Smiths Industries P.L.C. 39,199 448,998 * Spirent P.L.C. 47,960 54,440 Stagecoach Holdings P.L.C. 93,831 130,715 * TI Automotive P.L.C. Series A 18,000 0 Tate & Lyle P.L.C. 32,700 179,967 Taylor Woodrow P.L.C. 38,814 159,544 Tesco P.L.C. 534,253 2,285,626 Tomkins P.L.C. 53,707 249,858 Unilever P.L.C. 212,459 1,845,277 United Business Media P.L.C. 22,000 189,658 United Utilities P.L.C. 53,900 458,406 Vodafone Group P.L.C. 4,196,424 9,635,089 WPP Group P.L.C. 84,000 804,692 Whitbread P.L.C. 19,911 247,073 William Hill P.L.C. 30,000 201,741 Wimpey (George) P.L.C. 26,386 154,747 Wolseley P.L.C. 39,909 511,012 Zeneca Group P.L.C. 124,200 5,637,105 --------------- TOTAL COMMON STOCKS (Cost $119,647,689) 126,536,166 --------------- INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling (Cost $26,644) 27,421 --------------- TOTAL -- UNITED KINGDOM (Cost $119,674,333) 126,563,587 --------------- JAPAN -- (20.4%) COMMON STOCKS -- (20.4%) AEON Co., Ltd. 18,000 581,812 Acom Co., Ltd. 7,500 302,684 Aderans Co., Ltd. 1,900 32,077 Advantest Corp. 5,570 398,220 Aeon Credit Service, Ltd. 2,700 115,130 Aiful Corp. 5,000 299,032 Ajinomoto Co., Inc. 35,000 375,183 *# All Nippon Airways Co., Ltd. 81,000 185,637 Alps Electric Co., Ltd. 9,000 127,374 Amada Co., Ltd. 22,000 108,072 Amano Corp. 3,000 20,544 *# Anritsu Corp. 6,000 40,979 Aoyama Trading Co., Ltd. 2,600 49,617 Ariake Japan Co., Ltd. 1,100 34,350 Asahi Breweries, Ltd. 27,000 223,850 Asahi Glass Co., Ltd. 62,000 456,282 Asahi Kasei Corp. 75,000 358,154 Asatsu-Dk, Inc. 2,600 $ 61,961 * Ashikaga Financial Group, Inc. 41,000 30,323 Autobacs Seven Co., Ltd. 1,800 38,870 Avex Inc. 1,000 17,348 Bandai Co., Ltd. 5,000 113,221 # Bank of Yokohama, Ltd. 60,000 254,200 Bellsystem24, Inc. 170 35,701 Benesse Corp. 5,000 109,569 Bridgestone Corp. 48,000 637,692 CSK Corp. 3,600 120,964 Canon, Inc. 49,000 2,263,879 Capcom Co., Ltd. 2,000 21,914 Casio Computer Co., Ltd. 14,000 137,162 Central Glass Co., Ltd. 10,000 60,080 Central Japan Railway Co. 125 998,676 Chiba Bank, Ltd. 44,000 178,780 Chubu Electric Power Co., Ltd. 41,200 825,731 Chugai Pharmaceutical Co., Ltd. 28,800 389,189 Citizen Watch Co., Ltd. 15,000 121,759 Coca-Cola West Japan Co., Ltd. 3,600 63,999 # Comsys Holdings Corp. 5,000 25,886 Credit Saison Co., Ltd. 8,900 186,907 Dai Nippon Ink & Chemicals, Inc. 37,000 68,581 Dai Nippon Printing Co., Ltd. 42,000 579,072 *# Dai Nippon Screen Mfg. Co., Ltd. 7,000 48,320 Daicel Chemical Industries, Ltd. 14,000 57,907 *# Daiei, Inc. 12,000 22,243 Daifuku Co., Ltd. 3,000 12,053 Dai-Ichi Pharmaceutical Co., Ltd. 14,400 242,323 Daikin Industries, Ltd. 13,000 268,262 Daimaru, Inc. 12,000 63,440 Daito Trust Construction Co., Ltd. 6,800 191,855 Daiwa House Industry Co., Ltd. 30,000 284,880 Daiwa Securities Co., Ltd. 74,000 476,351 Denki Kagaku Kogyo KK 22,000 64,682 Denso Corp. 49,500 924,283 Dentsu, Inc. 69 292,960 Dowa Mining Co., Ltd. 16,000 78,305 East Japan Railway Co. 224 1,022,644 Ebara Corp. 13,000 50,447 Elsai Co., Ltd. 16,600 420,608 Familymart Co., Ltd. 4,200 90,888 Fanuc, Ltd. 13,400 787,948 Fast Retailing Co., Ltd. 5,500 324,416 Fuji Electric Co., Ltd. 31,000 66,801 Fuji Photo Film Co., Ltd. 28,000 792,549 Fuji Soft ABC, Inc. 1,000 27,758 Fuji Television Network, Inc. 56 276,625 Fujikura, Ltd. 17,000 95,152 Fujisawa Pharmaceutical Co., Ltd. 17,000 317,431 Fujitsu Support & Service, Inc. 2,000 34,332 * Fujitsu, Ltd. 112,000 616,655 # Fukuoka Bank, Ltd. 30,000 123,265 Furukawa Electric Co., Ltd. 30,000 99,982 Gunma Bank, Ltd. 25,000 107,971 Gunze, Ltd. 8,000 33,674 Hankyu Department Stores, Inc. 7,000 46,147 Hino Motors, Ltd. 28,000 165,668 Hirose Electric Co., Ltd. 2,100 245,626 Hitachi Cable, Ltd. 18,000 63,440 Hitachi Chemical Co., Ltd. 10,500 159,149
24
SHARES VALUE+ ------ ------ Hitachi Software Engineering Co., Ltd. 3,000 $ 80,807 * Hitachi Zosen Corp. 20,000 31,045 Hitachi, Ltd. 188,000 1,107,195 * Hokugin Financial Group, Inc. 51,000 77,767 Honda Motor Co., Ltd. 54,500 2,229,365 House Foods Corp. 4,000 42,695 Hoya Corp. 6,500 569,759 Isetan Co., Ltd. 10,000 103,908 * Ishihara Sangyo Kaisha, Ltd. 12,000 21,804 Ishikawajima-Harima Heavy Industries Co., Ltd. 58,000 69,905 Ito En, Ltd. 2,200 83,966 Itochu Corp. 82,000 246,329 Itochu Techno-Science Corp. 3,000 84,916 Ito-Yokado Co., Ltd. 23,000 764,427 JFE Holdings, Inc. 31,500 737,742 JGC Corp. 12,000 94,887 Japan Airlines System Corp. 104,000 266,837 Joyo Bank, Ltd. 48,000 148,137 Jsr Corp., Tokyo 13,000 281,912 Kajima Corp. 49,000 156,145 Kaken Pharmaceutical Co., Ltd. 3,000 14,901 Kamigumi Co., Ltd. 14,000 90,248 * Kanebo, Ltd. 19,000 19,083 Kaneka Corp. 17,000 118,125 Kansai Electric Power Co., Inc. 53,900 902,599 Kao Corp. 33,000 673,439 Katokichi Co., Ltd. 2,000 31,702 # Kawasaki Heavy Industries, Ltd. 67,000 72,800 Kawasaki Kisen Kaisha, Ltd. 30,000 116,417 # Keihin Electric Express Railway Co., Ltd. 24,000 138,714 Keio Electric Railway Co., Ltd. 34,000 174,160 Keyence Corp. 2,400 539,299 Kikkoman Corp. 9,000 59,578 Kinden Corp. 14,000 61,742 *# Kinki Nippon Railway Co., Ltd. 86,280 241,855 Kirin Brewery Co., Ltd. 52,000 415,449 Kokuyo Co., Ltd. 6,000 64,701 Komatsu, Ltd. 55,000 313,367 Komori Corp. 2,000 24,288 Konami Co., Ltd. 6,200 159,359 Konica Corp. 27,000 319,503 # Koyo Seiko Co. 9,000 83,409 Kubota Corp. 74,000 270,270 Kuraray Co., Ltd. 20,000 149,014 Kurita Water Industries, Ltd. 7,000 77,849 Kyocera Corp. 10,700 651,653 Kyowa Exeo Corp. 5,000 25,886 Kyowa Hakko Kogyo Co., Ltd. 23,000 130,205 Kyushu Electric Power Co., Inc. 26,500 436,021 Lawson Inc. 5,400 195,252 *# Lopro Corp. 2,100 9,165 Mabuchi Motor Co., Ltd. 2,600 187,546 Makita Corp. 7,000 64,171 Marubeni Corp. 72,000 118,335 Marui Co., Ltd. 19,000 233,336 Matsumotokiyoshi Co., Ltd. 1,200 52,045 Matsushita Electric Industrial Co., Ltd. 137,188 1,767,461 Matsushita Electric Works, Ltd. 41,000 295,371 Meiji Dairies Corp. 10,000 38,623 Meiji Seika Kaisha, Ltd. Tokyo 17,000 $ 63,486 Meitec Corp. 1,800 63,276 Millea Holdings, Inc. 65 700,329 Minebea Co., Ltd. 18,000 91,709 Mitsubishi Chemical Corp. 113,000 257,944 Mitsubishi Corp. 87,000 798,347 Mitsubishi Electric Corp. 120,000 473,338 Mitsubishi Estate Co., Ltd. 72,000 642,951 Mitsubishi Gas Chemical Co., Inc. 27,000 80,615 Mitsubishi Heavy Industries, Ltd. 178,000 474,580 Mitsubishi Logistics Corp. 7,000 54,903 * Mitsubishi Materials Corp. 50,000 72,133 *# Mitsubishi Paper Mills, Ltd. 13,000 17,568 Mitsubishi Rayon Co., Ltd. 30,000 106,282 Mitsubishi Tokyo Financial Group, Inc. 354 2,650,733 Mitsui & Co., Ltd. 88,000 592,184 Mitsui Chemicals, Inc. 44,000 234,624 Mitsui Engineering and Shipbuilding Co., Ltd. 36,000 45,690 Mitsui Fudosan Co., Ltd. 41,000 357,515 Mitsui Marine & Fire Insurance Co., Ltd. 82,790 617,599 Mitsui Mining and Smelting Co., Ltd. 26,000 96,147 Mitsui O.S.K. Lines, Ltd. 63,000 255,981 Mitsui Trust Holdings 42,000 204,401 # Mitsukoshi, Ltd. 23,000 84,633 Mitsumi Electric Co., Ltd. 3,700 35,608 * Mizuho Holdings, Inc. 446 1,164,682 Mori Seiki Co., Ltd. 4,000 24,763 Murata Manufacturing Co., Ltd. 12,700 724,754 NEC Corp. 92,000 666,983 NGK Insulators, Ltd. 16,000 102,557 NGK Spark Plug Co., Ltd. 11,000 90,696 NSK, Ltd. 28,000 97,663 NTN Corp. 22,000 100,237 NTT Data Corp. 157 576,278 NTT Docomo, Inc. 1,529 3,294,778 Namco, Ltd. 2,200 55,643 Net One Systems Co., Ltd. 13 91,518 * Nichii Gakkan Co. 1,760 90,796 Nichirei Corp. 13,000 39,290 Nidec Corp. 3,600 355,004 Nikko Cordial Corp. 103,000 520,079 * Nikon Corp. 18,000 224,671 Nintendo Co., Ltd., Kyoto 7,900 667,951 Nippon Express Co., Ltd. 56,000 242,878 Nippon Kayaku Co., Ltd. 9,000 43,225 Nippon Meat Packers, Inc., Osaka 10,000 96,603 Nippon Mining Holdings, Inc. 41,500 131,108 Nippon Mitsubishi Oil Corp. 81,000 400,119 Nippon Sanso Corp. 14,000 55,351 Nippon Sheet Glass Co., Ltd. 20,000 51,863 Nippon Shokubai Co., Ltd. 9,000 64,262 Nippon Steel Corp. 381,000 730,552 Nippon System Development Co., Ltd. 900 15,605 Nippon Telegraph & Telephone Corp. 892 4,275,932 Nippon Unipac Holding, Tokyo 57 274,279 Nippon Yusen KK 63,000 246,777 Nishimatsu Construction Co., Ltd. 10,000 33,053 Nissan Chemical Industries, Ltd. 7,000 60,016 Nissan Motor Co., Ltd. 253,100 2,893,364
25
SHARES VALUE+ ------ ------ Nisshin Seifun Group, Inc. 12,000 $ 96,640 Nisshinbo Industries, Inc. 9,000 44,458 Nissin Food Products Co., Ltd. 6,000 142,714 Nitto Denko Corp. 9,200 464,536 * Nomura Research Institute, Ltd. 2,300 219,668 Nomura Securities Co., Ltd. 110,000 1,747,626 Noritake Co., Ltd. 4,000 12,966 Obayashi Corp. 38,000 145,380 Obic Co., Ltd. 500 103,178 Oji Paper Co., Ltd. 59,000 344,239 * Oki Electric Industry Co., Ltd. 30,000 113,404 Okumura Corp. 11,000 43,088 Olympus Optical Co., Ltd. 14,000 299,763 Omron Corp. 12,000 230,643 Onward Kashiyama Co., Ltd. 8,000 87,728 Oracle Corp. Japan 7,100 351,370 *# Orient Corp. 31,000 60,290 Oriental Land Co., Ltd. 5,200 282,980 Orix Corp. 4,260 312,343 Osaka Gas Co., Ltd. 132,000 345,909 Paris Miki, Inc. 1,900 30,464 Pioneer Electronic Corp. 9,000 230,095 Promise Co., Ltd. 6,500 276,571 Q.P. Corp. 6,000 47,608 * Resona Holdings, Inc. 635,000 794,330 Ricoh Co., Ltd., Tokyo 40,000 729,730 Rohm Co., Ltd. 6,600 767,750 SMC Corp. 3,800 453,141 Saizeriya Co., Ltd. 1,300 12,285 Sanden Corp. 7,000 36,432 Sankyo Co, Ltd. 4,900 155,698 Sankyo Co., Ltd. 25,000 450,146 *# Sanrio Co., Ltd. 3,000 21,941 Sanyo Electric Co., Ltd. 104,000 465,303 Sapporo Breweries, Ltd. 11,000 26,516 Secom Co., Ltd. 13,000 472,425 * Sega Enterprises, Ltd. 9,200 84,927 Seino Transportation Co., Ltd. 7,000 49,662 * Seiyu, Ltd. 28,000 89,481 Sekisui Chemical Co., Ltd. 27,000 120,060 Sekisui House, Ltd. 39,000 367,851 Seven-Eleven Japan Co., Ltd. 46,000 1,331,447 Seventy-seven (77) Bank, Ltd. 16,000 84,733 Sharp Corp. Osaka 62,000 927,849 Shimachu Co., Ltd. 2,200 41,481 Shimamura Co., Ltd. 1,700 105,707 Shimano, Inc. 6,600 129,264 Shimizu Corp. 38,000 130,807 Shin-Etsu Chemical Co., Ltd. 23,600 870,563 Shionogi & Co., Ltd. 19,000 314,180 Shiseido Co., Ltd. 21,000 235,656 Shizuoka Bank, Ltd. 42,000 293,755 * Showa Denko KK 59,000 123,366 Showa Shell Sekiyu KK 18,000 138,386 Skylark Co., Ltd. 5,000 74,416 * Snow Brand Milk Products Co., Ltd. 12,000 35,281 Softbank Corp. 18,800 712,381 Sony Corp. 51,800 1,797,298 Stanley Electric Co., Ltd. 9,000 170,928 Sumitomo Bakelite Co., Ltd. 9,000 56,784 Sumitomo Chemical Co., Ltd. 92,000 328,451 Sumitomo Corp. 59,000 $ 366,326 Sumitomo Electric Industries, Ltd. 38,000 310,884 Sumitomo Forestry Co., Ltd. 6,000 46,567 * Sumitomo Heavy Industries, Ltd. 31,000 60,290 Sumitomo Metal Industries, Ltd. Osaka 269,000 230,880 Sumitomo Metal Mining Co., Ltd. 29,000 183,236 # Sumitomo Mitsui Financial Group, Inc. 250 1,223,192 Sumitomo Osaka Cement Co., Ltd. 14,000 24,927 Sumitomo Realty & Development Co., Ltd. 20,000 155,953 Sumitomo Trust & Banking Co., Ltd. 76,000 407,341 Suruga Bank, Ltd. 12,000 68,700 Suzuken Co., Ltd. 3,400 91,737 TDK Corp. 7,400 481,081 THK Co., Ltd. 5,800 116,773 TIS, Inc. 2,000 63,002 Taiheiyo Cement Corp. 45,000 102,310 Taisei Corp. 46,000 149,105 Taisho Pharmaceutical Co., Ltd. 18,000 313,915 Taiyo Yuden Co., Ltd. 5,000 58,574 # Takara Shuzo Co., Ltd. 10,000 80,533 # Takashimaya Co., Ltd. 16,000 110,153 Takeda Chemical Industries, Ltd. 49,000 1,879,109 Takefuji Corp. 7,800 420,909 Takuma Co., Ltd. 2,000 10,464 Teijin, Ltd. 43,000 117,001 Teikoku Oil Co., Ltd. 12,000 53,251 Terumo Corp. 10,500 188,103 Tobu Railway Co., Ltd. 43,000 146,448 Toda Corp. 14,000 34,898 Toho Co., Ltd. 9,800 112,747 Tohuku Electric Power Co., Inc. 26,600 423,094 Tokyo Broadcasting System, Inc. 10,000 155,132 Tokyo Electric Power Co., Ltd. 75,700 1,569,020 Tokyo Electron, Ltd. 10,100 714,710 # Tokyo Gas Co., Ltd. 157,000 537,573 Tokyo Style Co., Ltd. 4,000 38,641 # Tokyu Corp. 59,000 274,206 TonenGeneral Sekiyu KK 24,000 195,471 Toppan Printing Co., Ltd. 37,000 339,189 Toray Industries, Inc. 72,000 280,058 Toshiba Corp. 180,000 663,988 Tosoh Corp. 30,000 79,985 Tostem Inax Holding Corp. 17,240 302,708 Toto, Ltd. 19,000 146,768 Toyo Seikan Kaisha, Ltd. 11,300 129,385 Toyo Suisan Kaisha, Ltd. 5,000 49,808 Toyobo Co., Ltd. 37,000 72,297 Toyoda Gosei Co., Ltd. 6,300 180,049 Toyota Industries Corp. 15,300 287,085 Toyota Motor Credit Corp. 202,100 6,071,121 * Trans Cosmos, Inc. 1,000 23,649 * Trend Micro Inc. 6,500 164,399 * UFJ Holdings, Inc. 282 1,205,040 UNY Co., Ltd. 9,000 87,683 USS Co., Ltd. 1,400 92,038 Ube Industries, Ltd. 37,000 70,946 Uni-Charm Corp. 3,500 167,138 Union Tool Co. 800 25,566 Ushio Inc. 7,000 110,318 Wacoal Corp. 7,000 55,478
26
SHARES VALUE+ ------ ------ World Co., Ltd. 2,000 $ 58,802 Yakult Honsha Co., Ltd. 8,000 109,569 Yamada Denki Co., Ltd. 5,300 157,277 Yamaha Corp. 11,000 196,558 Yamaha Motor Co., Ltd. 15,000 152,301 Yamanouchi Pharmaceutical Co., Ltd. 20,200 580,990 Yamato Transport Co., Ltd. 24,000 282,688 Yamazaki Baking Co., Ltd. 9,000 69,029 Yasuda Fire & Marine Insurance Co., Ltd. 52,000 386,012 Yokogawa Electric Corp. 12,000 156,465 --------------- TOTAL COMMON STOCKS (Cost $127,463,511) 107,464,611 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Japanese Yen (Cost $103,841) 105,137 --------------- TOTAL -- JAPAN (Cost $127,567,352) 107,569,748 --------------- FRANCE -- (9.5%) COMMON STOCKS -- (9.5%) AXA 93,464 1,795,963 Accor SA 10,940 458,992 # Air France 11,600 176,596 Air Liquide SA 5,250 843,303 Air Liquide SA Primes De Fid02 10,266 1,656,402 * Alcatel SA 68,050 888,332 * Alstom SA 21,944 45,244 Arcelor SA 27,100 439,528 * Atos Origin 2,500 164,825 Aventis 42,365 2,445,248 BNP Paribas SA 47,818 2,694,069 Bouygues 17,670 548,600 * Business Objects SA 5,500 186,516 * Cap Gemini SA 7,550 372,875 Carrefour 37,950 2,044,847 Casino Guichard Perrachon 5,000 465,704 Cie Generale D'Optique Essilor Intenational SA 5,570 277,692 Compagnie de Saint-Gobain 18,336 820,287 Compagnie Francaise d'Etudes et de Construction Technip SA 1,790 192,578 Dassault Systemes SA 6,900 307,937 * France Telecom SA 116,252 2,996,114 Gecina SA 1,400 192,995 Generale des Establissements Michelin SA Series B 7,309 290,005 Groupe Danone 7,242 1,128,551 * Hermes International SA 1,900 351,202 Imerys SA 1,000 197,790 * Klepierre SA 1,800 102,922 L'Oreal 35,800 2,656,398 LVMH (Louis Vuitton Moet Hennessy) 25,935 1,786,058 LaFarge SA 9,716 773,930 LaFarge SA Prime Fidelity 8,604 689,995 Lagardere S.C.A. SA 7,700 419,973 Pechiney SA Series A 4,755 273,369 Pernod-Ricard SA 3,950 419,754 Peugeot SA 13,200 620,901 Pinault Printemps Redoute SA 6,200 $ 607,945 # Publicis Groupe 10,300 325,340 Renault SA 15,100 1,003,686 SEB SA Prime Fidelity 900 110,474 SGE (Societe Generale d'Enterprise SA) 4,340 347,264 Sanofi Synthelabo 38,756 2,624,864 Schneider SA 12,199 751,635 Societe BIC SA 3,600 160,058 Societe Generale, Paris 23,128 1,851,970 Societe Television Francaise 1 11,500 371,515 Sodexho Alliance SA 8,766 248,830 Ste des Autoroutes du Sud de la France 12,000 388,387 Stmicroelectronics NV 47,700 1,319,695 Suez (ex Suez Lyonnaise des Eaux) 53,220 921,854 Thales SA 9,624 300,065 Thomson Multimedia 15,000 317,542 Total SA 35,006 5,656,552 Unibail SA 2,500 221,764 Valeo SA 5,000 194,493 * Veolia Environnement SA 20,600 484,738 * Vivendi Universal SA 56,736 1,302,407 * Wanadoo SA 75,800 582,434 Zodiac SA 4,360 129,041 --------------- TOTAL COMMON STOCKS (Cost $47,754,672) 49,948,048 --------------- RIGHTS/WARRANTS -- (0.0%) * Alstom SA Rights 12/10/03 21,944 11,837 * Alstom SA Warrants 01/09/04 21,944 7,891 --------------- TOTAL RIGHTS/WARRANTS (Cost $68,940) 19,728 --------------- TOTAL -- FRANCE (Cost $47,823,612) 49,967,776 --------------- SWITZERLAND -- (7.1%) COMMON STOCKS -- (7.1%) *# ABB, Ltd. 76,410 374,744 Adecco SA 12,273 761,413 * Ciba Spezialitaetenchemie Holding AG 4,525 316,959 Cie Financiere Richemont AG Series A 46,023 1,139,254 * Clariant AG 10,381 146,554 Credit Swisse Group 78,497 2,604,989 * Fischer (Georg) AG, Schaffhausen 145 24,789 * Forbo Holding AG, Eglisau 102 28,405 Geberit AG 274 119,543 Givaudan SA 573 261,962 Holcim, Ltd. 13,278 578,791 * Kudelski SA 3,084 98,886 Kuoni Reisen Holding AG 180 58,481 * Logitech International SA 3,319 143,777 Lonza Group AG 2,970 142,444 Nestle SA, Cham und Vevey 25,180 5,853,232 Novartis AG 166,060 7,013,797 Phonak Holding AG 4,487 98,229 * Publicitas Holding SA, Lausanne 104 28,158 Roche Holding AG Bearer 10,560 1,402,995
27
SHARES VALUE+ ------ ------ Roche Holding AG Genusschein 45,153 $ 4,069,191 * Schindler Holding AG 210 47,922 * Schindler Holding AG 340 86,794 Serono SA 769 529,434 Societe Generale de Surveillance Holding SA 530 311,181 Sulzer AG, Winterthur 165 41,291 Swatch Group AG 2,692 308,720 Swiss Reinsurance Co., Zurich 21,255 1,320,299 Swisscom AG 4,369 1,313,012 Syngenta AG 6,949 425,470 Synthes-Stratec Inc. 723 657,161 Tecan Group AG 627 24,469 The Swatch Group AG 18,164 419,422 UBS AG 77,901 5,016,754 Unaxis Holding AG 912 125,577 Valora Holding AG 209 49,634 * Zimmer Holdings, Inc. 3,010 197,916 * Zurich Financial SVCS AG 9,504 1,224,098 --------------- TOTAL COMMON STOCKS (Cost $31,469,590) 37,365,747 --------------- RIGHTS/WARRANTS -- (0.0%) * ABB, Ltd. Rights (Cost $168,543) 76,410 95,164 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs (Cost $696) 704 --------------- TOTAL -- SWITZERLAND (Cost $31,638,829) 37,461,615 --------------- GERMANY -- (6.1%) COMMON STOCKS -- (6.1%) Adidas-Salomon AG 2,200 227,854 Aixtron AG 2,400 14,701 Allianz AG 19,808 2,218,908 Altana AG 7,400 448,407 BASF AG 30,200 1,495,121 Bayer AG 38,700 1,044,253 * Bayerische Vereinsbank AG 27,648 644,618 # Beiersdorf AG 4,000 449,761 Commerzbank AG 28,850 556,790 Continental AG 6,400 222,867 * D. Logistics AG 1,200 3,237 DaimlerChrysler AG 53,252 2,023,553 Deutsche Bank AG 30,788 2,142,413 Deutsche Boerse AG 5,900 297,398 Deutsche Lufthansa AG 20,200 309,458 Deutsche Post AG 58,900 1,117,675 * Deutsche Telekom AG 217,620 3,592,131 Douglas Holding AG 1,500 40,996 E.ON AG 35,798 2,023,298 * Epcos AG 2,800 63,940 Fresenius Medical Care AG 3,400 216,418 Gehe AG 4,100 185,287 * Heidelberger Zement AG 4,694 191,480 * Hypo Real Estate Holding AG 6,387 137,430 * Infineon Technologies AG 38,200 542,627 Karstadt Quelle AG 5,350 142,373 Linde AG 5,800 280,537 MAN AG 7,450 201,829 Merck KGAA 1,900 $ 74,522 Metro AG 16,040 690,269 Munchener Rueckversicherungs- Gesellschaft AG 11,957 1,355,199 Preussag AG 8,736 164,202 Puma AG 500 78,936 Rwe AG (Neu) 800 23,399 Rwe AG (NEU) Series A 27,650 891,593 SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung) 16,700 2,567,398 * SGL Carbon AG 700 10,363 Schering AG 10,400 522,481 Siemens AG 45,475 3,317,055 Suedzucker AG 8,100 147,587 ThyssenKrupp AG 27,200 504,078 Volkswagen AG 16,970 845,225 * WCM Beteiligungs AG 11,608 17,115 --------------- TOTAL -- GERMANY (Cost $37,343,995) 32,044,782 --------------- NETHERLANDS -- (4.6%) COMMON STOCKS -- (4.6%) ABN-AMRO Holding NV 106,058 2,334,186 AKZO Nobel NV 18,300 634,847 Aegon NV 98,407 1,312,927 Buhrmann NV 6,020 45,752 DSM NV 6,000 276,546 Elsevier NV 47,200 572,588 * Getronics NV 11,878 24,490 Hagemeyer NV 4,866 13,416 Heineken NV 25,462 949,232 IHC Caland NV 1,624 75,922 Ing Groep NV 133,923 2,868,792 KLM (Koninklijke Luchtvaart Mij) NV 2,377 37,583 * Koninklijke Ahold NV 59,558 429,790 * Koninklijke KPN NV 159,376 1,249,453 * Koninklijke Numico NV 9,912 251,893 Koninklijke Philips Electronics NV 85,512 2,429,376 Koninklijke Vendex KBB NV 5,978 77,536 * Norit NV 31,250 590,372 Oce NV 4,991 71,315 Royal Dutch Petroleum Co., Den Haag 135,400 6,083,278 TNT Post Groep NV 30,670 661,768 Unilever NV 37,142 2,228,378 VNU NV 16,240 505,955 Vedior NV 9,852 149,158 Wolters Kluwer NV 17,458 264,731 --------------- TOTAL COMMON STOCKS (Cost $26,423,627) 24,139,284 --------------- RIGHTS/WARRANTS -- (0.0%) * Koninklijke Ahold NV Rights (Cost $242,263) 59,558 55,687 --------------- TOTAL -- NETHERLANDS (Cost $26,665,890) 24,194,971 --------------- AUSTRALIA -- (4.5%) COMMON STOCKS -- (4.5%) AMP, Ltd. 91,391 393,476 Amcor, Ltd. 54,361 324,912
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SHARES VALUE+ ------ ------ Ansell, Ltd. 12,403 $ 58,606 Aristocrat Leisure, Ltd. 25,692 35,880 Australia & New Zealand Banking Group, Ltd. 101,955 1,240,889 * Australia & New Zealand Banking Group, Ltd. New 17,703 214,694 Australian Gas Light Co. 28,700 222,626 Australian Stock Exchange, Ltd. 5,600 62,849 BHP Billiton, Ltd. 251,046 2,047,272 BHP Steel Ltd. 46,541 168,048 Boral, Ltd. 35,635 128,927 Brambles Industries, Ltd. 60,916 201,440 CSL, Ltd. 10,561 123,723 CSR, Ltd. 55,115 69,393 Coca-Cola Amatil, Ltd. 34,816 153,424 Cochlear, Ltd. 3,100 64,042 Coles Myer, Ltd. 80,217 431,855 Commonwealth Bank of Australia 84,793 1,693,430 Computershare, Ltd. 34,090 79,676 Deutsche Office Trust 44,700 36,226 Foster's Group, Ltd. 148,012 471,246 Futuris Corp., Ltd. 41,185 41,722 General Property Trust 75,385 158,736 Harvey Norman Holdings, Ltd. 61,980 128,267 Iluka Resources, Ltd. 15,365 45,028 Insurance Australiz Group, Ltd. 110,967 335,636 James Hardies Industries NL 30,184 156,601 John Fairfax Holdings, Ltd. 53,773 135,407 Leighton Holdings, Ltd. 15,898 133,674 Lend Lease Corp., Ltd. 27,586 209,593 Lion Nathan, Ltd. 33,100 138,917 Macquarie Bank, Ltd. 14,314 351,951 Macquarie Infrastructure Group 68,847 162,904 Mayne Group, Ltd. 48,877 125,554 Mirvac, Ltd. 45,206 142,947 National Australia Bank, Ltd. 100,764 2,108,638 Newcrest Mining, Ltd. 21,576 199,839 News Corp., Ltd. 87,233 744,205 News Corp., Ltd. Pref Ordinary 179,084 1,262,159 Onesteel, Ltd. 36,025 49,007 Orica, Ltd. 17,211 160,406 Origin Energy, Ltd. 39,246 132,620 Paperlinx, Ltd. 29,331 96,357 # Patrick Corp., Ltd. 11,186 117,285 Publishing and Broadcasting, Ltd. 44,156 372,871 QBE Insurance Group, Ltd. 42,480 313,225 Rinker Group, Ltd. 62,315 263,332 Rio Tinto, Ltd. 24,954 631,443 Santos, Ltd. 38,543 180,167 * Scigen 11,443 654 Sonic Healthcare, Ltd. 16,529 83,962 * Sons of Gwalia, Ltd. 7,201 17,612 Southcorp, Ltd. 49,137 98,133 Stockland Trust Group 30,030 110,821 * Stockland Trust Group Issue 03 1,030 3,727 Suncorp-Metway, Ltd. 35,901 323,425 Tab, Ltd. 27,500 82,183 # Tabcorp Holdings, Ltd. 23,050 186,471 Telstra Corp., Ltd. 430,100 1,534,315 Toll Holdings, Ltd. 19,382 119,491 Transurban Group 31,438 95,544 * WMC Resources, Ltd. 74,453 $ 263,445 WMC, Ltd. 75,646 322,951 Wesfarmers, Ltd. 24,851 507,097 Westfield Holdings, Ltd. 37,309 389,563 * Westfield Trust 2,312 5,655 Westpac Banking Corp. 119,761 1,325,883 Woodside Petroleum, Ltd. 43,999 437,449 Woolworths, Ltd. 68,685 563,603 --------------- TOTAL COMMON STOCKS (Cost $18,155,683) 23,593,109 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Australian Dollar (Cost $3,404) 3,438 --------------- RIGHTS/WARRANTS -- (0.0%) * AMP, Ltd. Rights 12/09/03 (Cost $0) 90,460 0 --------------- TOTAL -- AUSTRALIA (Cost $18,159,087) 23,596,547 --------------- ITALY -- (3.8%) COMMON STOCKS -- (3.8%) * Acea SpA 4,000 23,303 *# Alitalia Linee Aeree Italiane SpA Series A 50,000 16,063 Alleanza Assicurazioni SpA 37,112 386,148 Assicurazioni Generali SpA, Trieste 58,514 1,461,763 * Autogrill SpA, Novara 10,000 132,579 Banca Fideuram SpA 45,000 283,199 Banca Monte Dei Paschi di Siena SpA 112,000 367,865 * Banca Nazionale del Lavoro SpA 100,000 234,351 Banca Popolare di Milano 14,520 86,331 Banco Popolare di Verona e Novara SpA 16,000 263,911 Benetton Group SpA 6,950 89,476 * Bipop-Carire SpA 161,000 126,604 Bulgari SpA 13,000 120,148 * Capitalia SpA 100,360 317,603 Credito Italiano 288,000 1,446,525 * E.Biscom SpA 1,000 65,930 Eni SpA 184,000 3,136,439 Ente Nazionale per L'Energia Elettrica SpA 278,000 1,776,198 * Fiat SpA 34,866 272,920 Finmeccanica SpA 385,000 295,366 Gruppo Editoriale L'espresso SpA 16,000 95,898 Intesabci SpA 271,942 1,023,588 Italcementi SpA 6,680 82,397 Luxottica Group SpA 20,000 351,226 Mediaset SpA 54,000 612,356 Mediobanca SpA 34,000 357,028 Mediolanum SpA 33,000 247,237 Mondadori (Arnoldo) Editore SpA 10,500 87,099 Parmalat Finanziaria SpA 28,600 78,509 * Pirelli & Co. SpA 93,332 88,720 RAS SpA (Riunione Adriatica di Sicurta) 29,303 471,745 SAI SpA (Sta Assicuratrice Industriale), Torino 2,000 35,003
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SHARES VALUE+ ------ ------ * SNAM Rete Gas SpA 86,000 $ 338,136 SNIA SpA 23,120 51,410 San Paolo-IMI SpA 66,607 856,720 * Seat Pagine Gialle SpA 8,018 7,766 * Seat Pagine Gialle SpA, Torino 3,041 1,444 Telecom Italia Mobile SpA 387,740 1,993,964 *# Telecom Italia SpA 701,433 2,030,592 * Tiscali SpA 13,000 105,500 --------------- TOTAL COMMON STOCKS (Cost $19,376,525) 19,819,060 --------------- PREFERRED STOCKS -- (0.0%) * Fiat SpA (Cost $43,046) 3,000 13,953 --------------- RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 01/31/07 (Cost $0) 1,677 537 --------------- TOTAL -- ITALY (Cost $19,419,571) 19,833,550 --------------- SPAIN -- (3.2%) COMMON STOCKS -- (3.2%) Acciona SA 3,400 191,882 Acerinox SA 3,500 161,864 * Antena 3 Television 898 37,751 # Autopistas Concesionaria Espanola SA 25,253 354,175 Banco Bilbao Vizcaya SA 182,100 2,182,877 Banco Popular Espanol SA, Madrid 12,500 655,403 # Banco Santander Central Hispanoamerica SA 271,784 2,824,635 * Coporacion Financiera Reunida SA 6,070 69,270 Corporacion Mapfre Compania Internacional de Reaseguros SA 9,700 125,113 Endesa SA, Madrid 60,300 990,278 Fomento de Construcciones y Contratas SA 7,080 242,642 Gas Natural SA, Buenos Aires 25,500 525,455 Grupo Dragados SA, Madrid 8,700 181,150 Grupo Ferrovial SA 7,500 226,559 Iberdrola SA 51,300 884,907 Iberia Lineas Aereas de Espana SA 47,600 127,813 Indra Sistemas SA 7,600 91,559 Industria de Diseno Textil SA 35,500 788,539 Metrovacesa SA 3,442 104,842 OCP Construcciones SA, Madrid 3,400 146,765 Promotora de Informaciones SA 11,700 154,276 Repsol SA 69,500 1,213,846 Sociedad General de Aguas de Barcelona SA 6,192 87,957 * Sociedad General de Aguas de Barcelona SA Rights 61 866 Sol Melia SA 8,400 59,711 Tabacalera SA 15,900 424,460 * Tele Pizza SA 7,000 11,748 * Telefonica de Espana SA 282,457 3,656,752 Telefonica Publicidad e Informacion SA 19,300 102,490 Union Fenosa SA 16,300 $ 267,101 Vallehermoso SA 12,700 179,032 *# Zeltia SA 10,500 67,968 --------------- TOTAL COMMON STOCKS (Cost $14,527,275) 17,139,686 --------------- RIGHTS/WARRANTS -- (0.0%) * Sociedad General de Aguas de Barcelona SA Rights (Cost $0) 92 11 --------------- TOTAL -- SPAIN (Cost $14,527,275) 17,139,697 --------------- SWEDEN -- (2.1%) COMMON STOCKS -- (2.1%) * Alfa Laval AB 6,100 87,188 Assa Abloy AB Series B 17,200 195,763 Atlas Copco AB Series A 7,200 257,276 Atlas Copco AB Series B 3,600 119,109 Axfood AB 2,700 60,031 Billerud AB 3,200 47,432 Castellum AB 2,200 46,585 Drott Series AB 4,700 82,417 Electrolux AB Series B 18,500 389,289 Eniro AB 8,200 73,252 Gambro AB Series A 11,300 93,468 Gambro AB Series B 2,700 22,333 Getinge AB 9,600 90,205 Hennes & Mauritz AB Series B 40,800 953,033 Hoganas AB Series B 1,300 26,925 Holmen AB Series B 4,300 149,098 * Modern Times Group AB Series B 1,800 36,090 * Netcom AB Series B 6,700 341,824 Nordic Baltic Holdings AB 163,948 1,084,873 OMHEX AB 4,500 50,621 SSAB Swedish Steel Series A 3,500 57,669 SSAB Swedish Steel Series B 1,400 22,141 Sandvik AB 14,200 451,967 Securitas AB Series B 18,700 227,684 Skandia Insurance AB 55,200 186,287 Skandinaviska Enskilda Banken Series A 37,900 494,058 Skanska AB Series B 19,500 161,294 Svenska Cellulosa AB Series B 12,700 489,942 Svenska Handelsbanken Series A 38,400 708,938 Svenska Kullagerfabriken AB Series A 2,300 84,316 Svenska Kullagerfabriken AB Series B 4,600 168,328 Swedish Match AB (Frueher Svenska Taendsticks AB) 18,400 165,588 * Telefon AB L.M. Ericsson Series B 908,800 1,467,341 Telia AB 257,100 1,143,258 Trelleborg AB Series B 4,200 65,034 Volvo AB Series A 7,400 204,193 Volvo AB Series B 16,600 480,023 * WM-Data AB Series B 8,500 17,211 --------------- TOTAL COMMON STOCKS (Cost $10,930,903) 10,802,084 ---------------
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SHARES VALUE+ ------ ------ INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona (Cost $28,642) $ 32,007 --------------- TOTAL -- SWEDEN (Cost $10,959,545) 10,834,091 --------------- FINLAND -- (1.7%) COMMON STOCKS -- (1.7%) Amer-Yhtymae Oyj Series A 1,500 62,753 * Elisa Communications Corp. 8,363 114,785 Fortum Oyj 51,253 513,009 KCI Konecranes International Oyj 700 22,522 Kesko Oyj 6,400 111,242 Kone Corp. 3,800 204,845 Metso Oyj 7,044 82,412 Nokia Oyj 302,166 5,444,074 Nokian Renkaat Oyj 500 39,138 Orion-Yhtyma Oyj Series B 2,000 44,736 Outokumpu Oyj Series A 9,300 124,302 Pohjola Group P.L.C. Series D 2,200 54,168 * Rautaruukki Oyj Series K 8,700 64,138 Sampo Insurance Co., Ltd. 33,600 332,689 Stora Enso Oyj Series R 43,400 584,237 Tietoenator Corp. 2,800 77,869 Upm-Kymmene Oyj 45,800 847,131 Uponor Oyj Series A 2,300 66,859 Wartsila Corp. Oyj Series B 2,900 53,883 --------------- TOTAL -- FINLAND (Cost $7,597,096) 8,844,792 --------------- HONG KONG -- (1.6%) COMMON STOCKS -- (1.6%) ASM Pacific Technology, Ltd. 12,000 46,972 Bank of East Asia, Ltd. 63,198 198,554 CLP Holdings, Ltd. 110,400 535,915 Cathay Pacific Airways, Ltd. 146,000 281,987 Cheung Kong Holdings, Ltd. 105,600 832,828 Cheung Kong Infrastructure Holdings, Ltd. 99,000 223,716 Esprit Holdings, Ltd. 54,541 174,165 Giordano International, Ltd. 40,000 17,769 Hang Lung Properties, Ltd. 113,500 140,298 Hang Seng Bank, Ltd. 87,900 1,128,982 Henderson Land Development Co., Ltd. 83,000 332,372 Hong Kong Electric Holdings, Ltd. 93,707 375,247 Hong Kong Exchanges & Clearing, Ltd. 48,000 98,271 Hopewell Holdings, Ltd. 38,000 55,290 Hutchison Whampoa, Ltd. 195,500 1,428,558 Hysan Development Co., Ltd. 41,242 58,945 I-Cable Communications, Ltd. 9,854 2,347 Johnson Electric Holdings, Ltd. 168,000 224,972 Li & Fung, Ltd. 126,000 215,778 New World Development Co., Ltd. 92,043 57,480 * PCCW, Ltd. 235,265 157,524 Shangri-La Asia, Ltd. 99,872 89,375 Sino Land Co., Ltd. 178,200 92,928 Smartone Telecommunications Holdings, Ltd. 23,000 22,359 South China Morning Post (Holdings), Ltd. 39,198 $ 17,918 Sung Hungkai Properties, Ltd. 109,706 882,868 Swire Pacific, Ltd. Series A 42,500 251,728 Techtronic Industries Co., Ltd. 28,000 76,793 Television Broadcasts, Ltd. 20,000 100,434 Texwinca Holdings, Ltd. 60,000 44,036 Wharf Holdings, Ltd. 107,542 268,637 * Yue Yuen Industrial (Holdings), Ltd. 69,000 191,906 --------------- TOTAL -- HONG KONG (Cost $9,292,530) 8,626,952 --------------- BELGIUM -- (1.0%) COMMON STOCKS -- (1.0%) AGFA-Gevaert NV, Mortsel 7,300 181,139 Barco (New) NV 400 31,718 Bekaert SA 700 39,186 Cie Martime Belge SA 300 17,765 Cofinimmo SA 200 25,845 Colruyt SA Halle 1,700 159,664 D'Ieteren SA 290 61,739 Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 3,600 174,127 Dexia SA 31,800 506,607 Electrabel SA 2,800 822,325 * Exmar NV 300 12,047 Fortis AG 51,779 956,480 Groupe Bruxelles Lambert 2,500 124,637 Interbrew SA 17,200 424,732 KBC Bancassurance Holding SA 15,700 686,929 * Mobistar SA 2,500 130,661 Omega Pharma SA 500 14,079 Solvay SA 4,400 340,989 UCB SA 7,600 243,428 * Umicore-Strip VVPR 55 36 Union Miniere SA 1,155 77,118 --------------- TOTAL -- BELGIUM (Cost $5,285,799) 5,031,251 --------------- SINGAPORE -- (0.8%) COMMON STOCKS -- (0.8%) Allgreen Properties, Ltd. 41,000 24,734 Capitaland, Ltd. 115,500 104,518 *# Chartered Semiconductor Manufacturing, Ltd. 112,000 104,599 City Developments, Ltd. 32,000 111,374 Comfortdelgro Corp., Ltd. 81,000 36,179 Creative Technology Co., Ltd. 3,000 31,672 Cycle & Carriage, Ltd. 5,982 20,993 DBS Group Holdings, Ltd. 67,000 544,109 Fraser & Neave, Ltd. 11,100 74,046 Haw Par Brothers International, Ltd. 2,248 5,790 Keppel Corp., Ltd. 32,000 103,021 Keppel Land, Ltd. 22,000 20,419 * Neptune Orient Lines, Ltd. 47,000 57,798 Overseas Chinese Banking Corp., Ltd. 59,300 409,340 Overseas Union Enterprise, Ltd. 6,000 23,493 Parkway Holdings, Ltd. 20,000 10,847 Sembcorp Industries, Ltd. 78,000 57,915 Sembcorp Logistics, Ltd. 39,000 43,210
31
SHARES VALUE+ ------ ------ Sembcorp Marine, Ltd. 55,000 $ 30,947 Singapore Airlines, Ltd. 56,000 393,058 Singapore Land, Ltd. 11,000 25,013 Singapore Press Holdings 16,000 180,983 Singapore Technologies Engineering, Ltd. 132,000 150,842 Singapore Telecommunications, Ltd. 802,000 832,742 Smrt Corporation, Ltd. 59,000 19,850 *# St Assembly test Services, Ltd. 38,000 46,510 United Overseas Bank, Ltd. 70,000 523,806 United Overseas Land, Ltd. 22,000 23,864 Venture Manufacturing (Singapore), Ltd. 10,000 109,634 Wing Tai Holdings, Ltd. 19,000 8,707 --------------- TOTAL COMMON STOCKS (Cost $5,264,075) 4,130,013 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars (Cost $39,640) 40,252 --------------- TOTAL -- SINGAPORE (Cost $5,303,715) 4,170,265 --------------- DENMARK -- (0.7%) COMMON STOCKS -- (0.7%) Bang & Olufsen Holding A.S Series B 290 10,980 Carlsberg A.S. Series B 1,820 75,948 Coloplast A.S. Series B 970 82,206 DSV, De Sammensluttede Vognmaend A.S. 880 34,454 Dampskibsselskabet Svendborg A.S. 147 1,053,957 Danisco A.S. 2,450 100,659 Danske Bank A.S. 33,656 713,073 East Asiatic Co., Ltd. 900 34,367 * FLS Industries 890 9,536 * GN Great Nordic A.S. 9,620 61,068 Group 4 Falck A.S. 3,480 68,685 H. Lundbeck A.S. 11,002 172,831 ISS A.S. 1,763 81,807 Koebenhavns Lufthavne 280 30,902 NKT Holding A.S. 1,100 20,293 * Neg Micon A.S. 2,460 26,555 Novo-Nordisk A.S. Series B 14,150 542,599 Novozymes A.S. Series B 2,830 98,944 * TK Development 614 1,682 Tele Danmark A.S. 10,210 342,164 * Topdanmark A.S. 1,300 65,769 Vestas Wind Systems A.S. 4,400 66,284 * William Demant Holding 3,260 101,373 --------------- TOTAL COMMON STOCKS (Cost $3,348,554) 3,796,136 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone (Cost $5,953) 6,312 --------------- TOTAL -- DENMARK (Cost $3,354,507) 3,802,448 --------------- IRELAND -- (0.7%) COMMON STOCKS -- (0.7%) Allied Irish Banks P.L.C. 62,710 $ 928,374 Bank of Ireland P.L.C. 68,607 847,081 CRH P.L.C. 35,877 667,463 DCC P.L.C. 4,814 63,189 * Elan Corp. P.L.C. 22,161 119,542 Fyffes P.L.C. 17,987 33,205 * Grafton Group P.L.C. 10,992 70,494 Greencore Group P.L.C. 13,193 48,235 Independent News & Media P.L.C. 40,374 97,763 Irish Permanent P.L.C. 18,325 258,108 Kerry Group P.L.C. 11,740 208,984 * Ryanair Holdings P.L.C. 32,702 250,884 Waterford Wedgwood P.L.C. 45,211 15,175 --------------- TOTAL -- IRELAND (Cost $3,466,285) 3,608,497 --------------- NORWAY -- (0.4%) COMMON STOCKS -- (0.4%) * Aker Kvaerner ASA 755 12,503 Den Norske Bank ASA Series A 36,500 220,387 * Merkantildata ASA 6,800 4,883 * Nera ASA 6,300 13,388 Norsk Hydro ASA 15,700 898,498 Norske Skogindustrier ASA Series A 5,000 95,993 * Opticom ASA 600 7,518 Orkla ASA Series A 11,471 254,689 Schibsted ASA 2,700 45,901 Smedvig ASA Series A 3,800 25,617 * Statoil Den Norske Stats Oljeselskap ASA 24,085 240,023 * Storebrand ASA 14,500 88,614 * Tandberg ASA Series A 5,600 40,625 Telenor ASA 42,921 258,528 Tomra Systems ASA 9,596 52,238 --------------- TOTAL -- NORWAY (Cost $1,958,395) 2,259,405 --------------- PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) BPI SGPS SA 44,098 139,554 Banco Comercial Portugues SA 162,985 334,090 Banco Espirito Santo e Comercial de Lisboa 16,320 241,605 Brisa Auto Estradas de Portugal SA 13,500 85,769 Cimpor Cimentos de Portugal SA 30,900 148,162 Electricidade de Portugal SA 117,800 293,716 * Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho Administracao e Participacoes Financeiros SA) 5,600 59,073 * PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA 4,000 72,931 Portugal Telecom SA 62,730 590,289 * Sonae SGPS SA 108,923 91,398 --------------- TOTAL -- PORTUGAL (Cost $2,385,068) 2,056,587 ---------------
32
SHARES VALUE+ ------ ------ GREECE -- (0.3%) COMMON STOCKS -- (0.3%) Alpha Credit Bank 7,170 $ 188,915 Athens Water Supply & Sewage Co.S.A. 4,100 31,160 Attica Enterprises S.A. Holdings 3,130 12,982 Bank of Piraeus S.A. 6,510 66,487 Commercial Bank of Greece 2,500 52,684 EFG Eurobank Ergasias S.A. 11,390 191,695 Hellenic Bottling Co. S.A. 9,200 201,376 Hellenic Duty Free Shops S.A. 2,000 35,338 Hellenic Petroleum S.A. 10,100 82,328 Hellenic Technodomiki S.A. 3,900 23,001 Hellenic Tellecommunication Organization Co. S.A. 20,900 250,533 Intracom S.A. 3,310 21,347 Mailis (M.J.) S.A. 2,800 10,271 National Bank of Greece 10,010 225,826 Panafon Hellenic Telecommunications Co. S.A. 15,380 113,568 Public Power Corp. of Greece 9,600 217,727 Titan Cement Co. 1,140 43,265 Viohalco 2,800 14,701 --------------- TOTAL -- GREECE (Cost $1,631,190) 1,783,204 --------------- NEW ZEALAND -- (0.2%) COMMON STOCKS -- (0.2%) Auckland International Airport, Ltd. 18,875 80,085 Carter Holt Harvey, Ltd. 91,400 103,375 Contact Energy, Ltd. 18,722 65,080 Fisher & Paykel Apppliances Holdings, Ltd. 14,080 34,009 Fisher & Paykel Healthcare Corp. 6,279 48,749 Fletcher Building, Ltd. 27,182 69,997 Independent Newspapers, Ltd. (Auckland) 25,700 82,603 Sky City Entertainment Group, Ltd. 19,414 56,569 * Sky Network Television, Ltd. 17,139 56,949 Telecom Corporation of New Zealand, Ltd. 118,062 392,293 * Tower, Ltd. 25,408 20,457 Warehouse Group, Ltd. 14,200 48,091 --------------- TOTAL COMMON STOCKS (Cost $735,788) 1,058,257 --------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar (Cost $30,053) 38,790 --------------- TOTAL -- NEW ZEALAND (Cost $765,841) 1,097,047 --------------- AUSTRIA -- (0.2%) COMMON STOCKS -- (0.2%) BWT AG 880 13,914 Bohler Uddeholm AG 480 31,031 Erste Bank der Oesterreichischen Sparkassen AG 1,259 143,826 Flughafen Wien AG 579 $ 24,639 * Immofinanz Immobilien Anlagen AG 3,422 25,761 Mayr-Melnhof Karton AG 472 50,588 Oesterreichische Elektrizitaetswirtschafts AG 810 82,678 Omv AG 1,557 220,629 * RHI AG, Wien 778 12,282 * Telekom Austria AG 8,470 98,283 * VA Technologie AG 805 22,378 Voestalpine AG 825 32,586 Wienerberger AG 4,007 101,493 --------------- TOTAL -- AUSTRIA (Cost $698,180) 860,088 --------------- EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Euro Currency (Cost $177,078) 179,750 --------------- CANADA -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Canadian Dollars (Cost $4,972) 5,825 --------------- FACE AMOUNT ------ (000) TEMPORARY CASH INVESTMENTS -- (6.7%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $11,326,000 FHLB Notes 1.875%, 02/15/05, valued at $11,410,945) to be repurchased at $11,242,768 (Cost $11,242,000) $ 11,242 11,242,000 Repurchase agreements in a Pooled Cash Account, Mizuho Securities USA, 1.05%, 12/01/03 (Collateralized by $36,304,000 U.S. Treasury Obligations, rates ranging from 2.625% to 8.875%, maturities ranging from 11/15/06 to 05/15/29, valued at $24,311,361) to be repurchased at $24,311,488 (Cost $24,311,361)^ 24,311 24,311,361 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $35,553,361) 35,553,361 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $531,253,506)++ $ 527,085,836 ===============
---------- + See Note B to Financial Statements. ^ Security purchased with cash proceeds from securities on loan * Non-Income Producing Securities # Total or Partial Securities on Loan ++ The cost for federal income tax purposes is $533,387,789. See accompanying Notes to Financial Statements. 33 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULES OF INVESTMENTS INTERNATIONAL SMALL COMPANY PORTFOLIO NOVEMBER 30, 2003
VALUE+ ------ Investment in The Japanese Small Company Series of The DFA Investment Trust Company (26.8%) (Cost $247,518,637) $ 244,017,796 Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company (14.0%) (Cost $111,457,252) 127,432,216 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company (15.3%) (Cost $105,088,482) 138,605,642 Investment in The Continental Small Company Series of The DFA Investment Trust Company (43.6%) (Cost $292,806,851) 396,264,638 Temporary Cash Investments (0.3%) Repurchase Agreement, PNC Capital Markets Inc. 0.82%, 12/01/03 (Collateralized by $2,898,000 FHLB Notes 1.875%, 02/15/05, valued at $2,919,735) to be repurchased at $2,876,197 (Cost $2,876,000) 2,876,000 --------------- Total Investments (100%) (Cost $759,747,222)++ $ 909,196,292 ===============
---------- ++The cost for federal income tax purposes is $761,571,637 JAPANESE SMALL COMPANY PORTFOLIO NOVEMBER 30, 2003
VALUE+ ------ Investment in The Japanese Small Company Series of The DFA Investment Trust Company $ 22,719,677 --------------- Total Investments (100%) (Cost $152,403,017)++ $ 22,719,677 ===============
---------- ++The cost for federal income tax purposes is $155,144,446 ---------- +See Note B to Financial Statements. See accompanying Notes to Financial Statements. 34 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULES OF INVESTMENTS PACIFIC RIM SMALL COMPANY PORTFOLIO NOVEMBER 30, 2003
VALUE+ ------ Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company $ 20,379,824 --------------- Total Investments (100%) (Cost $52,109,745)++ $ 20,379,824 ===============
---------- ++The cost for federal income tax purposes is $52,678,980. UNITED KINGDOM SMALL COMPANY PORTFOLIO NOVEMBER 30, 2003
VALUE+ ------ Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company $ 12,211,520 --------------- Total Investments (100%) (Cost $8,000,250)++ $ 12,211,520 ===============
---------- ++The cost for federal income tax purposes is $8,045,916. CONTINENTAL SMALL COMPANY PORTFOLIO NOVEMBER 30, 2003
VALUE+ ------ Investment in The Continental Small Company Series of The DFA Investment Trust Company $ 24,375,013 --------------- Total Investments (100%) (Cost $16,535,386)++ $ 24,375,013 ===============
---------- ++The cost for federal income tax purposes is $16,630,288 ---------- +See Note B to Financial Statements. See accompanying Notes to Financial Statements. 35 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ JAPAN -- (23.3%) COMMON STOCKS -- (23.0%) * A&A Material Corp. 103,000 $ 66,773 # ABILIT Corp. 34,200 224,523 ADVANEX, Inc. 38,000 152,666 AOI Electronics Co., Ltd. 10,600 139,372 # Achilles Corp. 239,000 292,422 Agro-Kanesho Co., Ltd. 7,000 32,597 Ahresty Corp. 17,000 96,083 # Aichi Bank, Ltd. 23,400 1,179,401 * Aichi Corp. 63,200 221,015 *# Aichi Machine Industry Co., Ltd. 188,000 540,723 # Aida Engineering, Ltd. 191,000 585,975 Aigan Co., Ltd. 41,000 225,365 Airport Facilities Co., Ltd. 105,000 377,739 * Akai Electric Co., Ltd. 490,000 4,474 Akita Bank, Ltd. 379,000 1,470,736 *# Alfresa Holdings Corp. 17,000 588,294 Allied Material Corp. 52,100 642,212 # Aloka Co., Ltd. 42,000 322,133 Alpha Systems Inc. 16,000 336,012 Altech Co., Ltd. 15,100 60,527 Amada Co., Ltd. 178,079 874,786 # Ando Corp. 177,000 245,654 Anest Iwata Corp. 63,000 105,844 * Anritsu Corp. 113,000 771,768 Aoi Advertising Promotion, Inc. 11,500 73,398 # Aoki International Co., Ltd. 97,000 616,435 * Apic Yamada Corp. 20,000 63,002 Arakawa Chemical Industries, Ltd. 32,400 328,378 *# Araya Industrial Co., Ltd. 156,000 162,381 Argo 21 Corp. 12,000 98,174 # Aronkasei Co., Ltd. 77,000 222,873 # Asahi Kogyosha Co., Ltd. 92,000 252,849 Asahi Organic Chemicals Industry Co., Ltd. 274,000 635,464 *# Asahi Tec Corp. 118,000 190,705 * Asahi Techno Glass Corp. 57,000 176,434 # Asanuma Corp. 254,000 359,478 # Ashimori Industry Co., Ltd. 116,000 203,360 Asia Air Survey Co., Ltd. 26,000 55,789 Asia Securities Printing Co., Ltd. 37,000 172,973 Asics Corp. 384,000 711,761 * Atol Co., Ltd. 12,000 60,373 # Atsugi Co., Ltd. 393,000 305,013 Aucnet, Inc. 12,500 150,543 Autobacs Seven Co., Ltd. 50,200 1,084,031 *# Azel Corp., Tokyo 152,000 144,339 Bank of Iwate, Ltd. 39,900 1,551,991 Bank of Okinawa, Ltd. 39,700 705,045 Bank of Saga, Ltd. 215,000 802,913 # Best Denki Co., Ltd. 258,000 930,515 Bull Dog Sauce Co., Ltd. 12,000 83,930 Bunka Shutter Co., Ltd. 129,000 493,526 # CMK Corp. 109,000 1,099,754 CTI Engineering Co., Ltd. 24,900 113,678 Cabin Co., Ltd. 119,000 154,291 Calsonic Corp. 175,000 1,214,390 Canon Finetech, Inc. 15,280 $ 179,978 Central Finance Co., Ltd. 267,000 889,838 Cesar Co. 98,000 895 # Chiyoda Co., Ltd. 83,000 897,297 Chodai Co. Ltd. 12,000 31,118 Chofu Seisakusho Co., Ltd. 71,100 1,012,747 # Chudenko Corp. 179,460 2,461,185 Chuetsu Pulp and Paper Co., Ltd. 242,000 519,266 * Chugai Mining Co., Ltd. 229,500 142,495 Chugokukogyo Co., Ltd. 22,000 28,123 Chuo Denki Kogyo co., Ltd. 53,000 81,784 Chuo Gyorui Co., Ltd. 85,000 126,507 # Chuo Spring Co., Ltd., Nagoya 181,000 657,761 Chuo Woollen Mills, Ltd. 30,000 31,501 Cleanup Corp. 74,000 912,162 # Coca Cola Central Japan Co., Ltd. 177 1,048,877 Comsys Holdings Corp. 187,000 968,125 Corona Corp. 45,100 621,813 # Credia Co., Ltd. 22,100 242,349 *# D'urban, Inc. 163,000 181,574 DC Co., Ltd. 59,000 126,598 DMW Corp. 1,600 34,916 Daibiru Corp. 55,000 243,563 Dai-Dan Co., Ltd. 95,000 426,771 Daido Kogyo Co., Ltd. 42,000 68,645 Daido Steel Co., Ltd. 858,000 1,480,661 # Daidoh, Ltd. 91,000 565,842 # Daihen Corp. 264,000 412,199 # Daiho Corp. 137,000 202,648 Dai-Ichi Jitsugyo Co., Ltd. 70,000 173,850 * Dai-Ichi Katei Denki Co., Ltd. 225,000 2,054 Dai-Ichi Kogyo Seiyaku Co., Ltd. 65,000 156,684 Daiko Clearing Services Corp. 21,000 67,495 * Daiko Denshi Tsushin, Ltd. 14,000 29,401 *# Daikyo, Inc. 366,000 644,978 # Daimei Telecom Engineering Corp. 84,000 337,473 Dainichi Co., Ltd. 32,700 146,302 * Daisue Construction Co., Ltd. 12,500 10,272 Daito Seiki Co., Ltd. 8,000 14,098 * Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 31,000 20,946 # Daiwa Industries, Ltd. 106,000 297,133 # Daiwa Kosho Lease Co., Ltd. 307,000 992,312 # Daiwabo Co., Ltd. 315,000 322,133 # Daiwabo Information System Co., Ltd. 31,500 255,118 # Danto Corp. 61,000 209,980 Denki Kogyo Co., Ltd. 135,000 387,053 # Denyo Co., Ltd. 57,000 248,777 *# Descente, Ltd. 240,000 411,980 * Dia Kensetsu Co., Ltd. 117,000 103,625 # Diamond Computer Service Co., Ltd. 37,800 208,811 * Dijet Industrial Co., Ltd. 10,000 12,418 * Dynic Corp. 62,000 82,085 * Eco-Tech Construction Co., Ltd. 231,000 67,495 # Edion Corp. 160,675 1,112,050 Edosawa Co., Ltd. 6,000 33,692 # Eighteenth Bank, Ltd. 344,000 1,485,683
36
SHARES VALUE+ ------ ------ Eikoh, Inc. 13,000 $ 59,943 Exedy Corp. 63,000 685,683 * First Baking Co., Ltd. 93,000 117,184 # Foster Electric Co., Ltd. 47,000 185,820 France Bed Co., Ltd. 159,000 381,821 #* Fudo Construction Co., Ltd. 191,000 146,494 * Fuji Electric Construction Co., Ltd. 24,000 29,584 Fuji Kiko Co., Ltd. 57,000 164,463 # Fujicco Co., Ltd. 50,000 471,603 Fujikura Rubber, Ltd. 30,000 176,680 # Fujitsu Access, Ltd. 54,900 324,828 # Fujitsu Business Systems, Ltd. 54,300 655,448 Fujitsu Fronttec, Ltd. 37,000 361,487 # Fukuda Corp. 92,000 346,092 *# Furukawa Co., Ltd. 627,000 715,623 Fuso Dentsu Co., Ltd. 8,000 27,757 Fuso Lexel Inc. 22,000 164,719 Futaba Industrial Co., Ltd. 101,000 1,243,134 * GSI Creoss Corp. 32,000 54,638 *# Gakken Co., Ltd. 208,000 252,593 * Generas Corp. 121,000 68,499 * Global-Dining, Inc. 14,100 80,465 *# Godo Steel, Ltd. 317,000 526,790 * Goldwin, Inc. 94,000 108,145 *# Graphtec Corp. 72,000 68,371 * Gro-BeLS Co., Ltd. 121,000 104,958 # Gun-Ei Chemical Industry Co., Ltd. 285,000 572,498 Gunze, Ltd. 80,000 336,742 Haltec Corp. 37,000 57,432 Happinet Corp. 23,400 188,234 # Harima Chemicals, Inc. 65,000 377,465 Haruyama Trading Co., Ltd. 28,400 255,683 Heiwado Co., Ltd. 92,000 984,514 Hibiya Engineering, Ltd. 82,000 537,582 Himaraya Co., Ltd. 15,000 43,554 # Hisaka Works, Ltd. 88,000 457,999 Hitachi Cable, Ltd. 275,000 969,230 Hitachi Kiden Kogyo, Ltd. 39,000 133,537 # Hitachi Koki Co., Ltd. 252,000 1,079,146 # Hitachi Kokusai Electric, Inc. 216,000 1,418,043 Hitachi Medical Corp. 78,000 918,736 Hitachi Metals Techno, Ltd. 15,000 38,349 # Hitachi Plant Engineering & Construction Co., Ltd. 244,000 728,525 # Hitachi Transport System, Ltd. 220,000 1,217,312 * Hitachi Zosen Corp. 441,000 684,533 # Hochiki Corp. 38,000 148,156 * Hodogaya Chemical Co., Ltd. 93,000 216,536 # Hokkai Can Co., Ltd., Tokyo 158,000 323,156 * Hokkaido Bank, Ltd. 510,000 605,369 Hokkaido Coca Cola Bottling Co., Ltd. 24,000 131,921 Hokko Chemical Industry Co., Ltd. 28,000 92,038 # Hokuriku Electrical Construction Co., Ltd. 64,000 165,376 * Hokushin Co., Ltd. 42,300 48,665 Horiba, Ltd. 8,000 83,272 Horipro, Inc. 28,900 177,063 * Howa Machinery, Ltd. 139,000 135,802 I-Net Corp. 29,500 109,090 ISE Chemicals Corp. 32,000 99,635 # Ichikawa Co., Ltd. 81,000 200,429 * Ichiken Co., Ltd. 69,000 $ 62,372 # Ichikoh Industries, Ltd. 133,000 274,452 Ichiyoshi Securities Co., Ltd. 100,000 447,407 Idec Izumi Corp. 108,000 636,048 # Ihara Chemical Industry Co., Ltd. 106,000 178,086 * Ikegami Tsushinki Co., Ltd. 129,000 230,862 *# Impress Corp. 211 248,530 # Inaba Denki Sangyo Co., Ltd. 49,600 704,237 Inabata and Co., Ltd., Osaka 155,000 813,778 Ines Corp. 50,700 401,360 * Inui Steamship Co., Ltd. 32,000 45,873 * Iseki & Co., Ltd. 405,000 939,281 Ishikawajima Construction Materials Co., Ltd. 36,000 93,682 Ishikawajima Transport Machinery Co., Ltd. 45,000 94,503 *# Ishizuka Glass Co., Ltd. 90,000 142,166 # Itochu Enex Co., Ltd. 230,000 1,050,037 Itoham Foods, Inc. 418,000 1,469,412 # Itoki Crebio Corp. 70,000 138,057 Iwaki & Co., Ltd. 31,000 63,687 Iwasaki Electric Co., Ltd. 88,000 257,122 * Iwatsu Electric Co., Ltd. 50,000 104,091 # Izumiya Co., Ltd. 179,000 782,880 # J-Oil Mills, Inc. 326,000 544,723 JFE Koken Corp. 57,000 226,917 # JMS Co., Ltd. 108,000 286,961 * Jac Holdings Co., Ltd. 21,000 50,813 # Jaccs Co., Ltd. 256,000 864,865 Jamco Corp. 8,000 20,526 * Janome Sewing Machine Co., Ltd. 209,000 196,558 Japan Airport Terminal Co., Ltd. 174,000 1,271,001 * Japan Bridge Corp. 31,000 20,380 # Japan Digital Laboratory Co., Ltd. 69,700 683,508 # Japan Foundation Engineering Co., Ltd. 52,000 113,952 Japan Maintenance Co., Ltd. 40,300 172,210 Japan Oil Transportation Co., Ltd. 68,000 129,766 * Japan Radio Co., Ltd. 200,000 854,639 Japan Steel Tower Co., Ltd. 29,000 46,603 * Japan Steel Works, Ltd. 594,000 629,145 # Japan Transcity Corp. 124,000 255,880 # Japan Vilene Co., Ltd. 162,000 562,089 # Japan Wool Textile Co., Ltd. 142,000 632,725 Jeans Mate Corp. 5,590 43,997 * Jidosha Denki Kogyo Co., Ltd. 81,000 139,043 Joban Kosan Co., Ltd. 105,000 133,263 Joint Corp. 18,500 221,284 *# Joshin Denki Co., Ltd. 108,000 255,405 # Jsp Corp. 37,000 307,432 Juel Verite Ohkubo Co., Ltd. 24,000 42,075 *# Jujiya Co., Ltd. 265,000 157,277 Juntendo Co., Ltd. 27,000 40,924 Kadokawa Holdings, Inc. 24,000 646,457 # Kagawa Bank, Ltd. 163,000 818,572 Kagoshima Bank, Ltd. 559,000 2,985,894 # Kahma Co., Ltd. 68,100 621,183 Kameda Seika Co., Ltd. 38,000 246,348 Kamei Corp. 77,000 385,984 Kanaden Corp. 71,000 304,693 # Kanamoto Co., Ltd. 62,000 280,789
37
SHARES VALUE+ ------ ------ # Kandenko Co., Ltd. 477,000 $ 1,607,131 # Kanto Natural Gas Development Co., Ltd. 152,000 688,386 * Kanto Tsukuba Bank, Ltd. 41,200 255,807 Kasai Kogyo Co., Ltd. 77,000 184,907 # Kasei (C.I.) Co., Ltd. 71,000 230,789 Katakura Chikkarin Co., Ltd. 44,000 117,714 Kato Sangyo Co., Ltd. 66,000 587,564 # Kato Works Co., Ltd. 114,000 226,917 * Katsumura Construction Co., Ltd. 63,000 57,524 # Kawada Industries, Inc. 95,000 173,484 * Kawai Musical Instruments Manufacturing Co., Ltd. 104,000 153,835 Kawasaki Heavy Industries, Ltd. 78,000 84,752 * Kawasaki Kasei Chemicals, Ltd. 58,000 38,660 # Kawashima Textile Manufacturers, Ltd. 215,000 241,463 # Kawasho Gecoss Corp. 64,300 218,404 # Kawasumi Laboratories, Inc. 39,000 238,943 # Keihin Co., Ltd. 101,000 147,553 Keiiyu Co., Ltd. 20,500 139,824 # Keiyo Co., Ltd. 114,700 413,682 Kinki Coca-Cola Bottling Co., Ltd. 128,000 846,165 * Kinugawa Rubber Industrial Co., Ltd. 59,000 112,053 # Kioritz Corp. 172,000 310,957 # Kishu Paper Co., Ltd. 167,000 263,797 * Kitagawa Iron Works Co., Ltd. 123,000 181,939 # Kita-Nippon Bank, Ltd. 9,900 416,718 # Kitano Construction Corp. 152,000 235,939 Kitazawa Sangyo Co., Ltd. 31,500 50,621 # Kitz Corp. 238,000 308,583 Koa Corp. 38,100 273,087 Kodensha Co., Ltd. 25,000 65,741 Koekisha Co., Ltd. 1,200 26,297 Koike Sanso Kogyo Co., Ltd. 72,000 88,751 Koito Industries, Ltd. 81,000 254,419 Koito Manufacturing Co., Ltd. 102,000 608,163 # Kojima Co., Ltd. 79,800 475,798 * Kokune Corp. 99,000 904 # Kokusai Kogyo Co., Ltd. 84,000 258,473 # Komai Tekko, Inc. 75,000 150,657 * Komatsu Electronics Metals Co., Ltd. 42,000 371,987 # Komatsu Seiren Co., Ltd. 90,000 231,739 Komatsu Wall Industry Co., Ltd. 19,500 251,584 # Komori Corp. 153,000 1,858,017 # Konaka Co., Ltd. 46,090 311,840 Konishi Co., Ltd. 35,800 281,445 Kosaido Co., Ltd. 28,200 253,625 * Kosei Securities Co., Ltd. 138,000 286,030 # Kumiai Chemical Industry Co., Ltd., Tokyo 171,000 262,308 # Kurabo Industries, Ltd. 506,000 753,086 # Kurimoto, Ltd. 257,000 476,361 Kuroganeya Co., Ltd. 15,000 49,032 Kurosaki Harima Corp. 122,000 163,751 Kyocera Corp. 7,900 481,127 # Kyodo Printing Co., Ltd. 175,000 514,518 Kyoei Sangyo Co., Ltd. 52,000 121,074 Kyokuto Boeki Kaisha, Ltd. 51,000 116,417 Kyokuto Kaihatsu Kogyo Co., Ltd. 57,800 453,872 # Kyosan Electric Manufacturing Co., Ltd. 107,000 $ 330,223 Kyowa Exeo Corp. 139,000 719,622 # Kyowa Leather Cloth Co., Ltd. 61,000 278,488 Kyudenko Corp. 167,000 667,878 # Laox Co., Ltd. 73,000 141,308 * Lonseal Corp. 94,000 68,663 * Look, Inc. 87,000 486,158 # MR Max Corp. 79,800 252,836 Maeda Corp. 380,000 1,235,208 Maeda Road Construction Co., Ltd. 205,000 1,025,749 # Maezawa Industries, Inc. 43,900 196,011 # Maezawa Kaisei Industries Co., Ltd. 30,600 355,678 Maezawa Kyuso Industries Co., Ltd. 31,000 223,046 *# Magara Construction Co., Ltd. 76,000 65,230 Makino Milling Machine Co., Ltd. 136,000 642,002 Marubeni Construction Material Lease Co., Ltd. 30,000 39,719 Marubun Corp. 54,600 289,153 # Marudai Food Co., Ltd. 276,000 451,096 * Maruei Department Store Co., Ltd. 78,000 103,981 # Marusan Securities Co., Ltd. 146,000 750,530 Maruwa Co., Ltd. 22,600 246,388 Maruwn Corp. 50,000 122,809 Maruyama Manufacturing Co., Inc. 98,000 119,905 Maruzen Co., Ltd. 20,000 82,725 Maruzen Showa Unyu Co., Ltd. 213,000 476,488 # Maspro Denkoh Corp. 40,200 392,750 # Matsui Construction Co., Ltd. 69,000 191,527 # Matsuo Bridge Co., Ltd. 72,000 198,539 Matsuzakaya Co., Ltd. 268,000 971,476 * Meidensha Corp. 182,795 377,207 * Meiji Machine Co., Ltd. 126,000 73,630 Meiwa Estate Co., Ltd. 53,300 428,269 Meiwa Industry Co., Ltd. 26,000 58,875 # Mercian Corp. 280,000 562,454 Mikuni Coca-Cola Bottling Co., Ltd. 99,000 733,099 *# Misawa Homes Holdings, Inc. 120,000 162,162 *# Mito Securities Co., Ltd. 141,000 338,596 Mitsuba Corp. 92,000 374,653 *# Mitsubishi Cable Industries, Ltd. 374,000 365,395 Mitsubishi Gas Chemical Co., Inc. 1,080,000 3,224,617 *# Mitsubishi Paper Mills, Ltd. 669,000 904,054 Mitsubishi Pencil Co., Ltd. 16,000 101,826 Mitsubishi Shindoh Co., Ltd. 53,000 88,559 Mitsubishi Steel Manufacturing Co., Ltd. 209,000 238,541 # Mitsuboshi Belting, Ltd. 100,000 290,358 # Mitsui Home Co., Ltd. 104,000 392,184 *# Mitsui Mining Co., Ltd. 312,000 207,962 Mitsui Sugar Co., Ltd. 172,000 320,380 Mitsui-Soko Co., Ltd. 94,000 209,423 # Mitsumura Printing Co., Ltd. 29,000 140,075 Miyaji Engineering Group 81,175 125,261 # Miyazaki Bank, Ltd. 295,260 1,067,595 Miyuki Keori Co., Ltd. 90,000 248,174 # Mizuno Corp. 272,000 936,304 * Momiji Holdings, Inc. 156 329,036 Mori Seiki Co., Ltd. 210,000 1,300,037 # Morita Corp. 130,000 434,441 # Morozoff, Ltd., Osaka 91,000 163,687
38
SHARES VALUE+ ------ ------ Mory Industries, Inc. 89,000 $ 177,155 Mos Food Services, Inc. 62,000 517,988 Mutow Co., Ltd. 68,000 227,246 Myojo Foods Co., Ltd. 75,000 189,007 # NEC System Integration & Construction, Ltd. 85,100 636,385 # Nabtesco Corp. 98,400 518,415 * Nagano Japan Radio Co., Ltd. 20,000 25,931 Nagase & Co., Ltd. 284,000 1,841,125 *# Naigai Co., Ltd. 140,000 108,656 # Nakabayashi Co., Ltd. 107,000 161,203 * Nakamichi Corp. 96,000 877 Nakamuraya Co., Ltd. 4,000 9,934 * Nakano Corp. 157,000 156,255 *# Nakayama Steel Works, Ltd. 228,000 464,244 Nakayo Telecommunications, Inc. 46,000 169,686 Nanto Bank, Ltd. 225,000 891,618 Neturen Co., Ltd., Tokyo 88,000 348,722 # Nichia Steel Works, Ltd. 120,200 313,890 Nichiban Co., Ltd. 81,000 218,179 # Nichimo Co., Ltd. 94,000 157,067 *# Nichimo Corp. 104,000 58,875 # Nichireki Co., Ltd. 61,000 202,739 Nihon Dempa Kogyo Co., Ltd. 42,600 669,807 Nihon Kagaku Sangyo Co., Ltd. 42,000 131,154 Nihon Kohden Corp. 82,000 538,331 # Nihon Matai Co., Ltd. 92,000 166,326 # Nihon Nohyaku Co., Ltd. 143,000 255,917 # Nihon Parkerizing Co., Ltd. 165,000 718,636 Nihon Shokuh Kako Co., Ltd. 61,000 114,180 Nihon Tokushu Toryo Co., Ltd. 60,000 219,138 # Nikko Co., Ltd., Akashi 118,000 323,229 * Nikko Travel Co., Ltd. 6,300 29,912 * Nippei Toyama Corp. 67,000 122,964 Nippo Corp. 240,000 1,281,958 # Nippon Beet Sugar Manufacturing Co., Ltd. 314,000 475,931 Nippon Broadcasting System, Inc. 59,600 2,720,965 * Nippon Carbon Co., Ltd. 172,000 219,869 # Nippon Chemical Industrial Co., Ltd. 104,000 337,107 Nippon Chemi-Con Corp. 131,000 492,805 Nippon Chutetsukan KK 67,000 113,787 * Nippon Concrete Industries Co., Ltd. 88,000 99,635 Nippon Conlux Co., Ltd. 15,000 95,188 * Nippon Conveyor Co., Ltd. 95,000 68,526 # Nippon Densetsu Kogyo Co., Ltd. 143,000 535,336 # Nippon Denwa Shisetu Co., Ltd. 128,000 373,996 Nippon Felt Co., Ltd. 38,000 114,500 # Nippon Fine Chemical Co., Ltd. 53,000 195,024 * Nippon Formula Feed Manufacturing Co., Ltd. 35,000 46,658 Nippon Hume Corp. 73,000 140,641 *# Nippon Kinzoku Co., Ltd. 50,000 57,067 # Nippon Koei Co., Ltd., Tokyo 182,000 372,243 Nippon Konpo Unyu Soko Co., Ltd. 51,000 332,953 *# Nippon Koshuha Steel Co., Ltd. 204,000 199,306 Nippon Light Metal Co., Ltd. 1,031,000 2,042,796 *# Nippon Metal Industry Co., Ltd. 290,000 254,200 * Nippon Pigment Co., Ltd. 8,000 18,627 * Nippon Piston Ring Co., Ltd. 151,000 216,463 # Nippon Road Co., Ltd. 200,000 328,707 Nippon Seiki Co., Ltd. 63,000 $ 421,074 Nippon Seisen Co., Ltd. 45,000 98,612 # Nippon Sharyo, Ltd. 290,000 590,486 # Nippon Shinpan Co., Ltd. 591,000 1,311,295 Nippon Shinyaku Co., Ltd. 138,000 769,887 Nippon Signal Co., Ltd. 69,000 317,531 # Nippon Soda Co., Ltd. 292,000 658,546 # Nippon Synthetic Chemical Industry Co., Ltd. 201,000 412,938 Nippon Tungsten Co., Ltd. 53,000 91,947 Nippon Valqua Industries, Ltd. 153,000 303,150 *# Nippon Yakin Kogyo Co., Ltd. 180,500 263,696 Nishimatsu Construction Co., Ltd. 387,000 1,279,164 * Nishishiba Electric Co., Ltd. 38,000 48,576 Nissei Plastic Industrial Co., Ltd. 43,000 215,942 * Nisseki House Industry Co., Ltd. 180,000 1,644 Nisshin Fire & Marine Insurance Co., Ltd. 168,000 398,831 Nisshin Steel Co., Ltd. 2,041,000 3,354,456 Nisshinbo Industries, Inc. 227,000 1,121,321 Nissho Electronics Corp. 26,000 216,034 *# Nissho Iwai-Nichmen Holdings Corp. 247,200 1,153,390 # Nissin Corp. 159,000 309,231 *# Nissin Electric Co., Ltd. 223,000 582,341 Nissin Sugar Manufacturing Co., Ltd. 146,000 237,290 Nissui Pharmaceutical Co., Ltd. 25,000 131,255 Nittan Co., Ltd. 18,000 42,732 Nittan Valve Co., Ltd. 54,000 142,988 # Nittetsu Mining Co., Ltd. 161,000 377,803 *# Nittetsu Steel Sheet Corp. 135,000 245,298 # Nitto Boseki Co., Ltd. 482,000 558,930 Nitto Electric Works, Ltd. 8,000 57,852 Nitto Flour Milling Co., Ltd. 69,000 146,795 Noda Corp. 24,000 93,134 # Nohmi Bosai, Ltd. 86,000 383,199 Nomura Co., Ltd. 59,000 226,799 Noritz Corp. 73,000 937,162 O-M, Ltd. 36,000 45,033 *# OKK Corp. 76,000 70,782 *# Obayashi Road Corp. 117,000 207,250 *# Ohki Corp. 128,000 146,092 # Oita Bank, Ltd. 281,000 1,303,397 Okabe Co., Ltd. 68,000 189,372 * Oki Electric Cable Co., Ltd. 67,000 114,399 * Okuma and Howa Machinery, Ltd. 91,000 117,157 * Okuma Corp. 176,000 392,111 # Okumura Corp. 479,000 1,876,288 Okura Industrial Co., Ltd. 164,000 1,194,960 * Omikenshi Co., Ltd. 84,000 41,417 * Ono Sokki Co., Ltd. 37,000 114,865 Onward Kashiyama Co., Ltd. 1,100 12,063 # Oriental Construction Co., Ltd. 57,300 234,390 # Origin Electric Co., Ltd. 32,000 142,001 * Original Engineering Consultants Co., Ltd. 8,500 38,495 Osaka Securities Finance Co., Ltd. 63,000 130,004 # Osaka Steel Co., Ltd. 82,400 653,061 Oyo Corp. 65,800 428,373 # P.S. Mitsubishi Construction Co., Ltd. 66,700 274,060 # Pacific Industrial Co., Ltd. 146,000 423,923 PanaHome Corp. 346,000 1,582,780
39
SHARES VALUE+ ------ ------ # Parco Co., Ltd. 121,000 $ 612,071 * Penta-Ocean Construction Co., Ltd. 741,000 690,121 Pentax Corp. 58,000 240,961 Piolax, Inc. 25,300 322,256 # Pokka Corp. 83,000 234,934 * Press Kogyo Co., Ltd. 113,000 238,340 # Raito Kogyo Co., Ltd. 112,700 373,540 # Rengo Co., Ltd. 495,000 1,613,541 * Renown, Inc. 541,000 513,733 Rheon Automatic Machinery Co., Ltd. 70,000 197,498 # Rhythm Watch Co., Ltd. 208,000 303,871 * Ricoh Elemex Corp. 50,000 168,919 Right On Co., Ltd. 19,500 575,101 Rikei Corp. 22,000 54,237 * Riken Electric Wire Co., Ltd. 25,000 25,110 # Riken Technos Corp. 134,000 381,739 Riken Vitamin Co., Ltd. 41,000 524,105 Roland Corp. 42,400 514,901 # Royal Co., Ltd. 81,000 724,799 # Ryoden Trading Co., Ltd. 108,000 463,477 Ryosan Co., Ltd. 98,000 1,504,182 # Ryoyo Electro Corp. 65,800 660,884 # S Foods, Inc. 29,000 198,594 SFCG Co., Ltd. 17,020 1,958,108 SMBC Friend Securities Co., Ltd. 127,000 541,536 SNT Corp. 43,000 141,344 SRL, Inc. 80,000 612,856 *# SXL Corp. 179,000 290,924 # Sagami Co., Ltd. 111,000 404,392 Sakai Heavy Industries, Ltd. 83,000 144,750 * Sakai Ovex Co., Ltd. 88,000 129,365 # Sakata Seed 43,500 452,794 * Sakurada Co., Ltd. 36,000 28,269 Sala Corp. 76,000 303,945 San In Godo Bank, Ltd. 347,000 2,569,549 # San-Ai Oil Co., Ltd. 152,000 441,344 *# Sanix, Inc. 79,700 636,756 # Sankei Building Co., Ltd. 113,000 339,454 Sanki Engineering Co., Ltd. 159,000 807,195 Sanko Co., Ltd. 19,000 98,886 Sanko Metal Industrial Co., Ltd., Tokyo 49,000 76,954 Sankyo Aluminum Industry Co., Ltd. 130,000 456,994 * Sankyo Seiki Manufacturing Co., Ltd. 179,000 1,135,911 Sankyo Seiko Co., Ltd. 104,000 316,216 # Sanoh Industrial Co., Ltd. 48,000 216,947 Sanritsu Corp. 6,000 38,294 # Sanshin Electronics Co., Ltd. 73,000 413,924 * Sansui Electric Co., Ltd. 297,000 59,660 Sanwa Shutter Corp. 359,000 1,829,091 Sanyo Denki Co., Ltd. 123,000 281,894 Sanyo Engineering & Construction, Inc. 31,000 84,916 Sanyo Shinpan Finance Co., Ltd. 19,500 569,759 # Sanyo Special Steel Co., Ltd. 436,000 613,075 *# Sasebo Heavy Industries Co., Ltd., Tokyo 301,000 250,100 *# Sata Construction Co., Ltd., Gumma 106,000 94,850 # Sato Shoji Corp. 49,000 185,226 Satori Electric Co., Ltd. 26,300 316,983 Seika Corp. 75,000 $ 102,036 *# Seikitokyu Kogyo Co., Ltd. 153,000 148,083 # Seiren Co., Ltd. 85,000 477,310 # Sekisui Jushi Co., Ltd. 101,000 430,670 # Sekisui Plastics Co., Ltd. 209,000 467,540 * Sekonic Corp. 30,000 41,910 # Senko Co., Ltd. 180,000 451,972 Senshukai Co., Ltd. 88,000 923,229 Shaddy Co., Ltd. 9,100 85,915 # Shibusawa Warehouse Co., Ltd. 148,000 298,649 Shibuya Kogyo Co., Ltd. 41,000 350,776 Shiga Bank, Ltd. 246,000 954,620 *# Shikibo, Ltd. 206,000 236,998 # Shikoku Coca-Cola Bottling Co., Ltd. 46,600 462,511 Shimizu Bank, Ltd. 10,300 480,579 Shin Nippon Air Technologies Co., Ltd. 50,620 194,123 Shinagawa Refractories Co., Ltd. 126,000 251,954 *# Shindengen Electric Manufacturing Co., Ltd. 158,000 419,814 # Shinki Co., Ltd. 92,400 326,505 # Shinko Shoji Co., Ltd. 52,000 279,657 # Shinmaywa Industries, Ltd. 245,000 722,562 * Shiraishi Corp. 5,000 8,446 Shizuki Electric Co., Inc. 62,000 130,771 # Sho-Bond Corp. 59,700 295,447 Shobunsha Publications, Inc. 23,100 291,070 Shoei Foods Corp. 29,000 115,184 Showa Aircraft Industry Co., Ltd. 57,000 188,474 *# Showa Electric Wire & Cable Co., Ltd., Kawasaki 425,000 500,594 # Showa Highpolymer Co., Ltd. 106,000 264,226 Showa Sangyo Co., Ltd. 146,000 302,611 Sinanen Co., Ltd. 90,000 378,013 # Sintokogio, Ltd., Nagoya 151,000 420,517 * Snow Brand Milk Products Co., Ltd. 353,500 1,039,326 Snow Brand Seed Co., Ltd. 48,000 146,823 Soda Nikka Co., Ltd. 62,000 105,296 * Software Research Associates, Inc. 12,400 81,293 * Sokkisha Co., Ltd. 54,000 72,973 Somar Corpor 25,000 40,175 Sonton Food Industry Co., Ltd. 36,000 275,128 Sotoh Co., Ltd. 26,000 213,185 # Space Co., Ltd. 26,200 169,133 # Subaru Enterprise Co., Ltd. 51,000 147,617 *# Suminoe Textile Co., Ltd. 163,000 244,083 # Sumitomo Densetsu Co., Ltd. 70,400 187,056 Sumitomo Metal Industries, Ltd. Osaka 20,000 17,166 Sumitomo Osaka Cement Co., Ltd. 845,000 1,504,520 # Sumitomo Pipe & Tube Co., Ltd. 68,000 139,701 Sumitomo Precision Products Co., Ltd., Amagasaki City 109,000 293,599 Sumitomo Seika Chemicals Co., Ltd. 10,000 23,466 Sumitomo Special Metals Co., Ltd. 53,000 581,684 # Sumitomo Warehouse Co., Ltd. 284,000 754,602 *# Sun Wave Corp. 96,000 338,349 # SunTelephone Co., Ltd. 99,000 377,849 * Suzutan Co., Ltd. 112,000 130,898 TOC Co., Ltd. 39,000 210,455 # TYK Corp. 93,000 170,681
40
SHARES VALUE+ ------ ------ Tabai Espec Corp. 32,000 $ 334,551 Tachikawa Corp. 32,000 157,779 Tachi-S Co., Ltd. 49,400 342,805 # Tadano, Ltd. 267,000 821,576 Taihei Dengyo Kaisha, Ltd. 85,000 234,386 *# Taihei Kogyo Co., Ltd. 151,000 157,177 *# Taiheiyo Kouhatsu, Inc. 128,000 99,343 Taiho Kogyo Co., Ltd. 49,200 402,513 Taikisha, Ltd. 60,000 667,275 # Taisei Rotec Corp. 237,000 352,730 *# Taisei U-lec Co., Ltd. 175,000 257,259 Taiyo Toyo Sanso Co., Ltd. 164,000 458,218 Takada Kiko Co., Ltd. 56,000 226,516 * Takagi Securities Co., Ltd. 116,000 278,561 Takano Co., Ltd. 13,900 172,608 * Takaoka Electric Manufacturing Co., Ltd., Tokyo 117,000 136,742 *# Taka-Q Co., Ltd. 96,000 95,544 Takara Standard Co., Ltd. 288,000 1,330,607 Takasago Thermal Engineering Co., Ltd. 176,000 967,422 * Takashima & Co., Ltd. 43,000 69,887 Takigami Steel Construction Co., Ltd. 53,000 212,929 # Takiron Co., Ltd. 199,000 617,787 Takuma Co., Ltd. 173,000 905,123 # Tamura Corp. 123,000 440,248 * Tamura Electric Works, Ltd. 70,000 221,147 Tasaki Shinju Co., Ltd. 77,000 229,200 Tatsuta Electric Wire & Cable Co., Ltd. 150,000 199,964 # Tayca Corp. 128,000 330,752 *# Teac Corp. 137,000 192,641 Techno Ryowa, Ltd. 36,200 147,087 # Teikoku Hormone Manufacturing Co., Ltd. 59,000 423,968 # Teikoku Tsushin Kogyo Co., Ltd. 63,000 215,714 # Tekken Corp. 310,000 413,258 # Ten Allied Co., Ltd. 47,200 168,079 Tenma Corp. 68,000 646,969 Teraoka Seisakusho Co., Ltd. 26,000 249,270 Tetra Co., Ltd., Tokyo 56,000 102,776 # The Nisshin Oillio Group, Ltd. 338,000 839,445 Tigers Polymer Corp. 39,000 136,742 * Titan Kogyo KK 65,000 83,090 # Toa Corp. 409,000 463,075 # Toa Doro Kogyo Co., Ltd. 96,000 175,310 * Toabo Corp. 134,000 63,623 # Toagosei Co., Ltd. 419,693 793,247 *# Tobu Store Co., Ltd. 131,000 214,107 Tochigi Bank, Ltd. 74,000 389,865 # Tochigi Fuji Industrial Co., Ltd. 91,000 228,497 Toda Corp. 976,000 2,432,871 # Toda Kogyo Corp. 142,000 592,531 # Todentu Corp. 77,000 145,535 # Toenec Corp. 198,000 589,372 Tohcello Co., Ltd. 59,000 138,988 Toho Real Estate Co., Ltd. 76,000 283,820 Toho Zinc Co., Ltd. 186,000 302,301 Tohoku Bank, Ltd. 9,000 17,175 Tohoku Misawa Homes Co., Ltd. 16,500 67,495 Tohoku Pioneer Corp. 39,000 623,530 Tohoku Telecommunications Construction Co., Ltd. 34,000 $ 85,993 # Tohto Suisan Co., Ltd. 100,000 157,049 Tokai Carbon Co., Ltd. 301,000 750,301 * Tokai Kanko Co., Ltd. 141,000 38,623 * Tokai Konetsu Kogyo Co., Ltd. 29,000 60,108 * Tokai Lease Co., Ltd. 32,000 27,757 *# Tokai Senko KK, Nagoya 118,000 106,665 * Tokai Tokyo Securities Co., Ltd. 436,000 943,499 # Tokico, Ltd. 195,000 486,076 Toko Electric Corp. 45,000 117,102 # Toko, Inc. 192,000 517,166 # Tokushu Paper Manufacturing Co., Ltd. 136,000 497,955 Tokyo Biso Kogyo Corp. 19,000 93,855 Tokyo Denpa Co., Ltd. 3,500 62,317 Tokyo Dome Corp. 333,000 1,000,338 # Tokyo Energy & Systems, Inc. 90,000 287,619 *# Tokyo Rope Manufacturing Co., Ltd. 333,000 316,216 Tokyo Sangyo Co., Ltd. 55,500 147,973 Tokyo Soir Co., Ltd. 44,000 111,286 Tokyo Steel Manufacturing Co., Ltd. 281,000 2,211,669 Tokyo Style Co., Ltd. 30,000 289,810 Tokyo Tatemono Co., Ltd. 468,000 1,918,664 # Tokyotokeiba Co., Ltd. 319,000 369,914 # Tokyu Store Chain Corp. 110,000 407,779 Toli Corp. 118,000 210,099 # Tomoe Corp. 83,000 113,678 # Tomoku Co., Ltd. 213,000 396,750 # Tonami Transportation Co., Ltd. 206,000 560,519 # Topcon Corp. 126,000 836,395 Topre Corp. 110,000 683,985 Torigoe Co., Ltd. 50,000 170,745 # Torishima Pump Manufacturing Co., Ltd., Osaka 82,000 384,843 # Toshiba Plant Kensetsu Co., Ltd. 139,000 375,676 Toshiba TEC Corp. 434,000 1,593,024 Toshiba Tungaloy Co., Ltd. 100,000 440,102 # Tosho Printing Co., Ltd. 115,000 322,361 Totenko Co., Ltd. 50,000 96,786 # Totetsu Kogyo Co., Ltd. 95,000 264,564 * Totoku Electric Co., Ltd., Tokyo 86,000 104,438 *# Towa Real Estate Development Co., Ltd. 90,500 147,914 Toyo Bussan Co., Ltd. 34,800 263,733 * Toyo Communication Equipment Co., Ltd. 77,000 322,708 *# Toyo Construction Co., Ltd. 423,000 281,949 Toyo Electric Co., Ltd. 41,000 128,780 # Toyo Ink Manufacturing Co., Ltd. 221,000 756,711 * Toyo Kanetsu KK 240,000 282,688 # Toyo Kohan Co., Ltd. 206,000 569,923 *# Toyo Securities Co., Ltd. 197,000 523,439 # Toyo Wharf & Warehouse Co., Ltd. 159,000 242,449 # Toyoda Machine Works, Ltd. 262,000 1,322,918 * Trans Cosmos, Inc. 50,000 1,182,433 Tsubakimoto Kogyo Co., Ltd. 15,000 24,653 Tsudakoma Corp. 118,000 322,151 * Tsugami Corp. 222,000 379,054 * Tsukamoto Co., Ltd. 49,000 57,715
41
SHARES VALUE+ ------ ------ Tsukishima Kikai Co., Ltd. 51,000 $ 289,646 # Tsurumi Manufacturing Co., Ltd. 54,000 275,621 # Tsutsunaka Plastic Industry Co., Ltd. 95,000 305,332 * Tsuzuki Denki Co., Ltd. 50,000 139,701 Tsuzuki Densan Co., Ltd. 17,300 60,657 # U-Shin, Ltd. 50,000 204,985 U.Store Co., Ltd. 7,000 56,885 Ube Material Industries, Ltd. 166,000 280,405 Uchida Yoko Co., Ltd. 101,000 373,493 # Ueki Corp. 85,000 144,357 # Wakachiku Construction Co., Ltd. 237,000 251,023 Wakodo Co., Ltd. 200 5,880 # Warabeya Nichiyo Co., Ltd. 9,300 127,374 * Yachiyo Musen Denki Co., Ltd. 9,000 41,499 Yahagi Construction Co., Ltd. 41,000 143,380 Yamaichi Electronics Co., Ltd. 14,500 153,579 # Yamamura Glass Co., Ltd. 285,000 468,408 Yamanashi Chuo Bank, Ltd. 361,000 1,549,215 Yamatake-Honeywell Co., Ltd. 107,000 837,281 * Yamatane Corp. 132,000 157,889 Yamato Corp. 42,000 148,411 Yamato International, Inc. 72,000 274,799 Yamato Kogyo Co., Ltd. 174,000 1,231,282 Yamaura Corp. 12,000 36,377 Yasuda Warehouse Co., Ltd. 60,000 214,207 * Ye Data, Inc. 34,000 73,265 # Yellow Hat, Ltd., Tokyo 63,000 526,918 # Yodogawa Steel Works, Ltd. 519,000 1,615,952 # Yokogawa Bridge Corp. 90,000 347,608 # Yokohama Reito Co., Ltd. 117,000 583,291 # Yondenko Corp. 108,650 427,576 Yonex Co., Ltd. 45,000 221,877 Yorozu Corp. 41,800 284,341 Yuasa Corp. 181,000 345,407 Yuasa Funashoku Co., Ltd. 100,000 184,441 * Yuken Kogyo Co., Ltd. 55,000 87,381 Yuki Gosei Kogyo Co., Ltd. 45,000 109,295 Yuraku Real Estate Co., Ltd. 90,000 201,333 # Yurtec Corp. 166,000 598,704 Yushiro Chemical Industry Co., Ltd. 31,000 240,595 # Zenchiku Co., Ltd. 122,000 189,372 i-LOGISTICS Corp. 69,000 107,104 --------------- TOTAL COMMON STOCKS (Cost $295,435,143) 289,378,291 --------------- INVESTMENT IN CURRENCY -- (0.3%) * Japanese Yen (Cost $3,644,662) 3,636,440 --------------- TOTAL -- JAPAN (Cost $299,079,805) 293,014,731 --------------- UNITED KINGDOM -- (14.1%) COMMON STOCKS -- (13.4%) 4imprint P.L.C. 61,730 89,181 600 Group P.L.C. 155,890 162,877 AGA Food Service Group P.L.C. 366,000 1,476,111 AIM Group P.L.C. 32,556 51,793 * API Group P.L.C. 129,000 157,523 Abbeycrest P.L.C. 70,000 81,264 Aberdeen Asset Management P.L.C. 417,000 588,092 * Adam & Harvey Group P.L.C. 8,000 $ 275 * Advanced Medical Solutions P.L.C. 254,000 42,593 * Airflow Streamlines P.L.C. 19,305 18,925 Airsprung Furniture Group P.L.C. 80,900 97,396 *# Airtours P.L.C. 1,168,000 231,013 Alexandra P.L.C. 71,553 106,448 Allen P.L.C. 15,000 94,808 Alphameric P.L.C. 375,000 564,332 Alumasc Group P.L.C. 150,000 410,188 Amberley Group P.L.C. 71,000 9,464 Amstrad P.L.C. 74,125 170,193 Anglo Eastern Plantations P.L.C. 93,195 236,418 Anglo Pacific Group P.L.C. 253,000 204,509 * Anite Group P.L.C. 656,160 555,790 * Applied Optical Technologies P.L.C. 100,000 46,006 * Arc International PLC 500,000 152,638 * Arena Leisure P.L.C. 645,000 449,272 * Argonaut Games, Ltd. 159,000 19,142 Armour Group P.L.C. 225,000 211,866 Arriva P.L.C. 112,920 746,728 * Ashtead Group P.L.C. 773,902 216,289 Ashtenne Holdings P.L.C. 256,500 1,343,290 * Aston Villa P.L.C. 10,000 28,034 Atkins Ws P.L.C. 25,000 188,755 Austin Reed Group P.L.C. 138,001 332,281 Autologic Holdings P.L.C. 173,000 952,119 Avesco P.L.C. 49,671 120,026 Avon Rubber P.L.C. 59,810 226,818 BSS Group P.L.C. 83,203 804,927 * BTG P.L.C. 171,000 573,490 Babcock International Group P.L.C. 458,333 1,016,871 Baggeridge Brick P.L.C. 96,100 221,474 * Baltimore Technologies P.L.C. 119,000 73,679 Beale P.L.C. 29,000 44,889 Beattie (James) P.L.C. 205,000 458,345 * Bede P.L.C. 120,000 58,304 Bellway P.L.C. 150,000 1,754,265 Benchmark Group P.L.C. 383,600 1,603,171 * Bizspace P.L.C. 34,782 19,741 Black Arrow Group P.L.C. 35,000 37,321 Blacks Leisure Group P.L.C. 5,018 29,559 * Blagden Industries P.L.C. 181,983 0 Body Shop International P.L.C. 180,000 377,683 Bodycote International P.L.C. 612,040 1,757,889 * Boosey & Hawkes P.L.C. 29,000 107,234 Boot (Henry) P.L.C. 61,000 351,455 Brammer (H.) P.L.C. 123,082 334,462 Brewin Dolphin Holdings P.L.C. 272,000 404,651 Bristol Water Holdings P.L.C. 20,000 100,268 * Britannic P.L.C. 377,700 1,727,920 * British Biotech P.L.C. 132,072 179,446 British Polythene Industries P.L.C. 33,960 174,636 British Vita P.L.C. 216,100 966,325 Burndene Investments P.L.C. 229,402 301,824 Burtonwood Brewery P.L.C. 50,750 288,908 CD Bramall P.L.C. 170,720 1,313,931 * CLS Holdings P.L.C. 379,181 1,770,564 Caffyns P.L.C. 4,800 48,707 * Cairn Energy P.L.C. 125,290 855,465 * Cape P.L.C. 237,482 261,400 Capital & Regional P.L.C. 194,084 1,295,140
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SHARES VALUE+ ------ ------ * Carbo PLC 34,200 $ 9,999 Carclo P.L.C. 198,599 133,210 Carr's Milling Industries P.L.C. 17,313 92,008 Castings P.L.C. 40,000 123,830 * Cenes Pharmaceuticals P.L.C. 250,000 37,622 Chapelthorpe P.L.C. 506,068 141,435 * Che Group P.L.C. 37,061 24,859 * Chorion P.L.C. 2,920 9,743 Churchill China P.L.C. 30,000 93,389 Clarkson (Horace) P.L.C. 75,061 547,363 Clinton Cards P.L.C. 292,245 459,900 Colefax Group P.L.C. 96,000 140,341 Communisis P.L.C. 569,000 895,423 Compel Group P.L.C. 73,000 92,279 * Cookson Group P.L.C. 4,545,789 2,853,627 Coral Products P.L.C. 50,000 47,726 * Corporate Services Group P.L.C. 1,192,000 217,821 Cosalt P.L.C. 20,000 126,066 Countryside Property P.L.C. 310,975 968,053 Courts P.L.C. 141,633 667,437 * Cox Insurance Holdings P.L.C. 381,500 488,817 * Cradley Group Holdings P.L.C. 38,466 4,879 * Creightons P.L.C. 250,000 11,824 Crest Nicholson P.L.C. 545,000 2,802,611 Cropper (James) P.L.C. 14,000 39,729 DRS Data Research Services P.L.C. 51,000 61,399 DTZ Holdings P.L.C. 113,023 240,065 Daejan Holdings P.L.C. 52,500 1,699,767 * Dana Petroleum P.L.C. 174,050 672,025 * Dawson International P.L.C. 303,194 67,789 DeVere Group P.L.C. 276,542 1,854,901 Delta P.L.C. 437,005 620,062 Derwent Valley Holdings P.L.C. 168,000 2,161,255 Development Securities P.L.C. 70,000 428,591 Diagonal P.L.C. 342,000 279,393 * Dickinson Legg Group P.L.C. 8,648 4,797 * Dimension Data Holdings P.L.C. 2,992,147 1,904,056 Diploma P.L.C. 143,039 1,116,877 * Dowding & Mills P.L.C. 331,300 55,555 Dyson Group P.L.C. 150,000 693,967 East Surrey Holdings P.L.C. 45,000 235,278 * Easynet Group P.L.C. 71,000 146,533 Eldridge Pope & Co. P.L.C. 53,000 153,593 Eleco P.L.C. 68,900 37,920 Electronic Data Processing P.L.C. 55,900 68,741 * Elementis P.L.C. 1,018,892 560,755 * Emerald Energy P.L.C. 2,700,000 24,611 * Emess P.L.C. 384,910 67,027 Ennstone P.L.C. 433,843 291,000 * Enodis P.L.C. 718,000 1,055,810 * Entertainment Rights P.L.C. 585,000 137,084 Estates & General P.L.C. 115,000 325,356 Eurocopy P.L.C. 156,700 98,369 * Eurodis Electron P.L.C. 637,850 161,810 European Colour P.L.C. 100,000 30,098 European Motor Holdings P.L.C. 271,675 801,325 * Evans of Leeds Contingent Units P.L.C. 238,000 0 * FII Group P.L.C. 104,900 12,178 FKI P.L.C. 667,689 1,263,171 Fenner P.L.C. 222,000 339,811 * Ferguson International Holdings P.L.C. 88,836 $ 53,475 Ferraris Group P.L.C. 48,375 121,470 * Fibernet Group P.L.C. 221,000 385,792 Filtronic P.L.C. 148,618 1,127,211 Financial Objects P.L.C. 46,000 21,361 First Technology P.L.C. 150,000 763,621 Fisher (James) & Sons P.L.C. 255,000 1,118,344 Fortress Holdings P.L.C. 200,000 90,293 Freeport Leisure P.L.C. 193,680 1,252,471 Fuller, Smith & Turner P.L.C. Series A 87,000 886,549 Fulmar P.L.C. 107,500 146,984 * Future Network P.L.C. 669,770 728,587 GB Group P.L.C. 171,000 69,848 Galliford Try P.L.C. 646,740 475,511 Game Group P.L.C. 347,000 375,980 Gaming International P.L.C. 10,000 6,277 * Garton Engineering P.L.C. 6,000 0 * Gaskell P.L.C. 40,000 15,479 * Georgica P.L.C. 124,719 167,310 Gleeson (M.J.) Group P.L.C. 46,829 1,004,733 Goodwin P.L.C. 5,000 19,477 Gowrings P.L.C. 15,000 15,866 Great Portland Estates P.L.C. 436,565 1,817,019 Greene King P.L.C. 135,026 1,942,578 * Greenwich Resources P.L.C. 312,000 10,732 Guiness Peat Group P.L.C. 1,431 1,612 * Gyrus Group P.L.C. 222,151 632,327 Halstead (James) Group P.L.C. 79,267 463,518 * Hampson Industries P.L.C. 350,000 82,769 * Hampton Trust P.L.C. 200,491 12,931 Hardys & Hansons P.L.C. 96,200 713,095 * Hartstone Group P.L.C. 1,022,431 16,705 * Harvey Nash Group P.L.C. 100,000 137,589 * Hawtin P.L.C. 150,000 21,928 Haynes Publishing Group P.L.C. 23,932 133,770 Headway P.L.C. 25,000 39,557 Helical Bar P.L.C. 67,500 873,585 Henlys Group P.L.C. 190,155 294,337 Hercules Property Services P.L.C. 38,000 146,395 Heywood Williams Group P.L.C. 190,000 272,857 Highbury House Communications P.L.C. 705,009 297,068 Highway Insurance Holdings P.L.C. 449,305 299,439 Hill & Smith Holdings P.L.C. 74,890 123,649 Hitachi Capital (UK) P.L.C. 86,500 308,695 Homestyle Group P.L.C. 158,000 347,826 House of Fraser P.L.C. 544,650 915,650 Hunting P.L.C. 238,211 401,498 * IAF Group P.L.C. 66,500 8,292 * IQE P.L.C. 200,500 62,070 Incepta Group P.L.C. 277,349 517,549 Infast Group P.L.C. 437,000 187,896 * Intec Telecom Systems P.L.C. 409,000 485,364 Intelek P.L.C. 109,250 20,668 * Inveresk P.L.C. 186,750 58,616 JKX Oil and Gas P.L.C. 757,000 556,579 Jarvis Hotels P.L.C. 400,000 1,028,481 * Jarvis Porter Group P.L.C. 51,000 17,104 Johnson Service Group P.L.C. 37,000 220,177
43
SHARES VALUE+ ------ ------ Johnston Group P.L.C. 21,000 $ 116,117 Joseph (Leopold) Holdings P.L.C. 9,000 133,118 KBC Advanced Technologies P.L.C. 183,000 116,452 * Kalamazoo Computer Group P.L.C. 12,200 577 * Kewill Systems P.L.C. 60,000 58,819 * Kingston Communications P.L.C. 897,362 1,018,607 * Knowledge Support Systems Group P.L.C. 136,000 1,871 Laing (John) P.L.C. 226,209 684,727 Laird Group P.L.C. 216,800 1,014,199 Lambert Howarth Group P.L.C. 46,073 206,815 * Lamont Holdings P.L.C. 100,000 1,075 * Laura Ashley Holdings P.L.C. 375,000 77,394 Lavendon Group P.L.C. 107,892 246,795 * Leeds Group P.L.C. 241,639 74,806 Linton Park P.L.C. 30,500 212,447 Litho Supplies P.L.C. 70,000 55,982 London Bridge Software Holdings P.L.C. 654,000 545,525 London Industrial P.L.C. 38,822 926,416 London Merchant Securities P.L.C. 536,222 1,503,237 Lookers P.L.C. 168,983 761,447 Low & Bonar P.L.C. 401,000 520,699 Luminar P.L.C. 172,000 1,178,832 Lupus Capital P.L.C. 192,000 26,417 MS International P.L.C. 49,000 31,181 MSB International P.L.C. 36,000 50,461 Macfarlane Group P.L.C. 397,151 157,101 Macro 4 P.L.C. 44,820 94,043 Mallett P.L.C. 25,000 115,876 Management Consulting Group P.L.C. 405,000 177,619 Manganese Bronze Holdings P.L.C. 38,000 118,619 * Marlborough Stirling P.L.C. 404,000 335,254 * Martin International Holdings P.L.C. 226,800 64,361 * Marylebone Warwick Balfour Group P.L.C. 235,176 219,426 Mayborn Group P.L.C. 50,000 170,697 Mayflower Corp. P.L.C. 1,443,000 781,757 McAlpine (Alfred) P.L.C. 239,680 1,163,485 McKay Securities P.L.C. 105,000 325,055 McLeod Russell Holdings P.L.C. 88,790 29,396 * Medical Solutions P.L.C. 61,000 51,145 * Medisys P.L.C. 700,000 150,488 Mentmore P.L.C. 429,380 657,244 Merrydown P.L.C. 94,172 132,000 Mersey Docks & Harbour Co. P.L.C. 139,650 1,523,939 Metalrax Group P.L.C. 200,000 292,378 Mice Group P.L.C. 245,000 322,346 * Microgen P.L.C. 237,728 173,766 * Mid-States P.L.C. 50,000 10,964 Minerva P.L.C. 364,466 1,328,887 Molins P.L.C. 76,600 449,240 Montpellier Group P.L.C. 14,000 9,451 * Morgan Crucible Company P.L.C. 547,729 1,292,925 Moss Brothers Group P.L.C. 258,000 249,596 * Mothercare P.L.C. 118,326 644,094 Mowlem (John) & Co. P.L.C. 311,187 1,113,217 Mucklow (A & J) Group P.L.C. 190,000 865,954 NHP P.L.C. 192,665 469,700 * NSB Retail P.L.C. 724,000 193,004 * NXT P.L.C. 48,000 $ 81,728 * Nettec P.L.C. 220,000 26,013 Nichols P.L.C. 48,000 112,686 * Noble Investments (UK) P.L.C. 300 163 Northamber P.L.C. 23,000 25,712 * OM2000 P.L.C. 48,000 0 Owen (H.R.) P.L.C. 79,333 238,775 Oxford Instruments P.L.C. 157,438 491,452 * PPL Therapeutics P.L.C. 58,764 4,548 PZ Cuzzons P.L.C. 40,000 748,487 * Pace Micro Technology P.L.C. 616,176 604,053 Panther Securities P.L.C. 40,000 124,862 Parity Group P.L.C. 420,000 88,487 * Partridge Fine Arts P.L.C. 33,000 42,283 Pendragon P.L.C. 237,500 786,302 Penna Consulting P.L.C. 25,000 49,231 Peterhouse Group P.L.C. 65,000 146,447 * Pharmagene P.L.C. 136,000 159,053 * Photo-Me International P.L.C. 414,000 733,386 * Pilkingtons Tiles Group P.L.C. 170,000 10,233 Pillar Property P.L.C. 310,545 2,723,892 Pittards P.L.C. 39,000 40,580 * Plantation & General P.L.C. 64,601 18,332 * Plasmon P.L.C. 59,000 220,195 Portmeirion Group P.L.C. 16,044 49,668 Porvair P.L.C. 98,000 279,788 * Premier Oil P.L.C. 262,833 1,896,300 * Pressac P.L.C. 250,000 94,593 Primary Health Properties P.L.C. 35,918 133,741 * Probus Estates P.L.C. 416,666 10,212 * Psion P.L.C. 199,785 267,152 * QA P.L.C. 40,000 3,612 * Quays Group P.L.C. 71,000 7,327 * Queens Moat Houses P.L.C. 559,000 81,720 Quintain Estates & Development P.L.C. 281,696 1,647,232 RAC P.L.C. 215,033 2,034,056 RJB Mining P.L.C. 500,000 1,031,921 Radamec Group P.L.C. 20,000 13,243 Ransom (William) & Son P.L.C. 115,000 74,169 * Redbus Imterhouse P.L.C. 329,000 43,145 * Redstone P.L.C. 621,000 109,474 Reg Vardy P.L.C. 101,000 786,891 Renold P.L.C. 338,000 485,398 Rowe Evans Investments P.L.C. 95,900 249,877 * Royal Doulton P.L.C. 588,000 48,036 Rugby Estates P.L.C. 43,000 190,802 Rutland Trust P.L.C. 182,210 108,899 S & U P.L.C. 7,000 58,389 * SDL P.L.C. 117,000 147,900 * SFI Group P.L.C. 79,000 42,120 * Safeland P.L.C. 100,000 87,713 Sanctuary Group P.L.C. 529,000 452,631 Savills P.L.C. 90,000 457,399 Scapa Group P.L.C. 502,600 242,034 Senior P.L.C. 726,000 427,654 Shaftesbury P.L.C. 315,954 1,369,366 Sherwood Group P.L.C. 135,000 22,057 Shiloh P.L.C. 11,000 27,432 * ShopRite Group P.L.C. 146,000 33,899 Simon Engineering P.L.C. 353,847 261,685
44
SHARES VALUE+ ------ ------ Sinclair (William) Holdings P.L.C. 40,000 $ 51,596 Singer & Friedlander Group P.L.C. 599,630 2,150,228 Sirdar P.L.C. 219,721 264,524 Smart (J.) & Co. (Contractors) P.L.C. 8,000 68,107 Smith (David S.) Holdings P.L.C. 415,000 1,125,933 Smith (James) Estates P.L.C. 95,000 472,190 * Soco International P.L.C. 5,000 22,917 Somerfield P.L.C. 1,553,301 3,332,662 * Spirent P.L.C. 2,120,832 2,407,384 Spring Group P.L.C. 200,000 395,570 St. Ives P.L.C. 4,688 31,928 St. Modwen Properties P.L.C. 214,000 951,414 Staffware P.L.C. 10,000 106,632 Stagecoach Holdings P.L.C. 2,695,087 3,754,507 Stanley (Charles) Group P.L.C. 150,000 599,804 Stanley Leisure Organisation P.L.C. 299,277 2,033,132 Stylo P.L.C. 5,293 3,323 Swallowfield P.L.C. 25,000 34,182 Swan Hill Group P.L.C. 125,337 173,528 Syltone P.L.C. 29,000 90,775 TT Group P.L.C. 365,623 726,291 * Tadpole Technology P.L.C. 296,000 60,453 * Tandem Group P.L.C. 472,000 0 Taylor Woodrow P.L.C. 74,632 306,774 Tbi P.L.C. 221,000 225,204 Telemetrix P.L.C. 143,000 349,236 * Telspec P.L.C. 47,000 13,742 * Terence Chapman Group P.L.C. 62,500 2,687 Tex Holdings P.L.C. 11,000 31,310 The Big Food Group P.L.C. 835,321 1,939,466 The Cardiff Property P.L.C. 4,000 38,009 * The Innovation Group P.L.C. 889,000 317,260 The Malcolm Group P.L.C. 128,096 175,145 Thorpe (F.W.) P.L.C. 15,000 46,178 * Thus Group P.L.C. 3,796,407 2,105,705 Tinsley (Eliza) Group P.L.C. 27,781 17,678 Tops Estates P.L.C. 106,557 447,164 * Torotrak P.L.C. 167,000 188,128 * Tottenham Hotspur P.L.C. 146,000 60,264 Town Centre Securities (New) P.L.C. 227,419 792,040 * Trafficmaster P.L.C. 300,000 233,472 Transport Development Group P.L.C. 305,256 1,010,625 Treatt P.L.C. 15,000 50,951 UCM Group P.L.C. 46,000 65,269 Umeco P.L.C. 59,000 348,557 Uniq P.L.C. 416,200 1,460,250 Unite Group P.L.C. 255,540 683,415 * Urbium P.L.C. 1,752 11,932 * Vega Group P.L.C. 14,000 31,422 Vibroplant P.L.C. 185,000 424,764 Victoria Carpet Holdings P.L.C. 12,000 75,537 Vislink P.L.C. 195,374 72,244 * Volex Group P.L.C. 130,000 305,191 Vtr P.L.C. 13,000 18,669 WPP Group P.L.C. 3,014 28,873 WSP Group P.L.C. 141,000 430,440 Wagon Industrial Holdings P.L.C. 218,000 641,132 * Walker Greenbank P.L.C. 144,910 34,269 Warner Estate Holdings P.L.C. 119,891 912,420 * Waterdorm P.L.C. 70,000 0 Waterman Partnership Holdings P.L.C. 50,263 $ 63,105 Wembley P.L.C. 136,000 1,312,190 Westbury P.L.C. 269,622 1,769,070 Whatman P.L.C. 250,000 659,999 Whitehead Mann Group P.L.C. 22,000 119,754 Wilmington Group P.L.C. 37,000 62,044 Wilshaw P.L.C. 28,000 6,501 Wintrust P.L.C. 24,000 205,352 Wolverhampton & Dudley Breweries P.L.C. 162,659 2,105,134 Woolworths Group P.L.C. 882,522 656,458 Wyevale Garden Centres P.L.C. 213,344 1,220,021 Wyndeham Press Group P.L.C. 97,000 162,657 * XAAR P.L.C. 150,000 125,120 XANSA P.L.C. 750,193 1,177,338 * Xenova Group P.L.C. 544,782 105,407 Yates Brothers Wine Lodges P.L.C. 147,458 244,732 * Yorkshire Group P.L.C. 117,096 13,594 Young & Co's Brewery P.L.C Class A 5,000 79,544 Zetters Group P.L.C. 50,500 105,093 Zotefoams P.L.C. 139,800 186,339 --------------- TOTAL COMMON STOCKS (Cost $120,450,307) 167,847,357 --------------- INVESTMENT IN CURRENCY -- (0.7%) * British Pound Sterling (Cost $8,874,941) 8,869,565 --------------- RIGHTS/WARRANTS -- (0.0%) * Letter of Entitlements -- Audemars Piguet 81,758 0 * Xenova Group P.L.C. Rights 123,000 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 0 --------------- TOTAL -- UNITED KINGDOM (Cost $129,325,248) 176,716,922 --------------- FRANCE -- (5.3%) COMMON STOCKS -- (5.2%) * Actielec Technologies 3,713 14,243 Affine 9,997 612,364 Alain Manoukian SA 9,565 344,089 *# Alstom SA 208,004 428,864 * Altran Technologies SA 71,800 886,505 Ares (Groupe) SA 29,000 139,747 Aubay SA 30,246 136,687 Bacou-Dalloz 23,557 1,962,566 Bains de Mer et du Cercle des Etrangers a Monaco 6,329 1,350,438 * Bigben Interactive 8,800 168,780 Bongrain SA 44,683 2,338,008 *# Bull SA 369,100 283,168 Burelle SA 10,986 1,064,070 CEGID SA 1,027 82,237 CFF Recycling 9,710 762,395 * CGBI 7,000 5,202 * CS Communication et Systemes 13,500 341,295 Carbone Lorraine 37,158 1,514,435
45
SHARES VALUE+ ------ ------ Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux Sa 48,652 $ 2,122,277 *# Club Mediterranee SA 74,800 2,962,518 * Compagnie Internationale Andre Trigano Ciat SA 2,100 49,088 * Conflandey SA 1,939 46,161 Consortium International de Diffusion et de Representation Sante 1,300 19,869 Crometal SA 5,120 172,156 Delachaux SA 7,300 637,925 * Desquenne et Giral SA 4,761 61,180 Deveaux SA 3,313 335,581 Didot-Bottin 1,204 121,234 Elior 58,756 482,461 Entenial SA 27,373 1,597,978 Etam Developpement SA 34,200 979,813 * Euraltech SA 12,569 26,216 *# Euro Disney SCA 4,022,037 2,410,657 Evialis SA 4,500 164,201 Explosifs et de Produits Chimiques 312 85,646 Faurecia SA 14,175 960,044 Fimalac SA 108,252 3,607,448 France-Africaine de Recherches Petrolieres (Francarep) 2,004 190,978 # GFI Informatique SA 163,600 1,470,835 * Gantois Series A 465 27,313 Gascogne SA 10,334 916,684 *# Generale de Geophysique SA 44,459 1,652,117 * Geodis SA 4,900 264,319 Gespac System 6,736 133,231 Gevelot 2,400 115,078 # Groupe Bourbon SA 1,636 149,241 * Groupe Flo SA 52,020 217,005 Groupe Guillin SA 480 38,695 Hbs Technologie SA 405 8,972 IDSUD 2,000 56,244 IMS International Metal Service SA 53,200 408,142 * Immobiliere et Hoteliere SA 27,700 101,274 # Ingenico SA 20,000 305,675 *# LVL Medical Groupe SA 27,900 129,764 Legris Industries SA 27,858 831,512 # Lisi SA 30,100 1,044,563 * MGI Coutier SA 6,500 157,393 * Maire (Henri) 1,252 10,881 # Marionnaud Parfumeries Retails Perfumes 48,200 1,863,357 * Matussiere et Forest SA 7,020 35,596 * Metaleurop SA 62,320 40,340 Montupet SA 31,173 541,834 * Nexans 70,700 2,186,546 Nord Est SA 31,078 1,624,273 * Oeneo 61,605 163,941 PSB Industries SA 1,838 214,817 * Penauille Polyservices SA 60,500 984,860 # Pinguely-Haulotte SA 123,300 687,283 Plastic Omnium SA 29,385 1,352,622 Plastivaloire SA 8,400 247,704 Prosodie SA 22,600 520,151 * Radiall SA 5,850 388,495 Robertet SA 1,300 151,081 Rougier SA 2,715 $ 187,624 * S.T. Dupont SA 15,300 90,785 SA Fromageries Bel la Vache Qui Rit 3,875 516,530 SDR de Bretagne SA 5,664 146,044 SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 13,932 885,133 Sabeton 18,460 231,242 Samf 600 14,744 * Saveurs de France-Brossard 5,500 154,935 *# Scor SA 104,600 399,983 Sechilienne-Sidec 1,000 113,339 Securidev SA 16,908 176,332 Selectibail 118,890 3,296,403 Setforge 600 19,347 Signaux Girod SA 5,407 226,853 Skis Rossignol SA 7,216 126,030 Smoby SA 2,754 210,457 * Societe Francais des Papiers Peints 140 1,546 Societe Industrielle D'Aviations Latecoere SA 20,648 525,964 Sucriere de Pithiviers-le-Vieil 1,305 782,168 * Sylis SA 23,406 147,582 * Teamlog SA 17,900 63,299 Tivoly SA 1,904 34,213 * Transiciel SA 68,300 1,117,565 *# Ubi Soft Entertainment SA 66,800 2,069,934 VM Materiaux SA 1,636 114,039 # Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 43,572 3,366,277 * Valtech, La Defense 251,100 288,960 Vilmorin et Cie SA 10,803 1,326,062 Vranken Monopole 11,963 476,816 * Xilam Animation 5,311 20,182 --------------- TOTAL COMMON STOCKS (Cost $46,727,448) 65,640,750 --------------- RIGHTS/WARRANTS -- (0.1%) * Alstom SA Rights 12/10/03 208,004 112,203 * Alstom SA Warrants 01/09/04 208,004 74,802 * Altran Technologies SA Rights 12/10/03 71,800 56,805 * Groupe Ares SA Warrants 10/03/05 29,000 6,953 * Oeneo Warrants 08/26/06 28,305 9,161 * Prosodie SA Warrants 10/28/06 19,600 14,567 * Ubi Soft Entertainment SA Warrants 05/14/06 66,800 43,240 * Valtech, La Defense Warrants 07/29/05 251,100 15,050 --------------- TOTAL RIGHTS/WARRANTS (Cost $93,156) 332,781 --------------- TOTAL -- FRANCE (Cost $46,820,604) 65,973,531 --------------- GERMANY -- (4.8%) COMMON STOCKS -- (4.8%) * AAP Implantate AG 18,600 55,964 * AC-Service AG 6,400 43,346
46
SHARES VALUE+ ------ ------ AWD Holding AG 43,500 $ 1,318,213 Aareal Bank AG 41,100 1,242,036 * Acg AG Fuer Chipkarten und Informationssysteme 78,300 323,817 Ackermann-Goeggingen AG 23,520 437,007 * Adva AG Optical Networking 50,600 272,950 * Aigner (Etienne) AG 454 70,749 * Allbecon AG 6,700 9,236 Andreae-Noris Zahn AG, Anzag 31,491 1,067,543 * Articon Integralis AG 32,400 153,413 * Augusta Technologie AG 56,100 226,627 * BMP AG 12,980 24,273 * Baader Wertpapier Handelsbank AG 42,049 328,642 Bechtle AG 73,700 851,655 * Berliner Elektro Holding AG 56,000 449,761 * Beta Systems Software AG 20,850 224,941 Bien-Haus AG 16,900 180,300 Bilfinger & Berger Bau AG 125,019 4,016,338 * Biolitec AG 36,500 175,014 * Biotest AG 14,270 118,885 * Borussia Dortmund GMBH & Co. KGAA 30,000 131,620 * Brau und Brunnen AG 2,800 269,857 # Bremer Energiekonto AG 54,600 140,064 * Bremer Woll-Kaemmerei AG 50,582 67,910 * Brueder Mannesmann AG 20,600 20,990 * COR AG Insurance Technologies 12,700 22,836 * Caatoosee AG 69,600 52,562 * Ce Consumer Electrnic AG 46,800 151,471 Cewe Color Holding AG 11,000 245,259 * Cinemaxx AG 3,100 4,348 * Comdirect Bank AG 173,200 1,550,915 * Computerlinks AG 10,900 174,432 * Concord Effekten AG 4,400 11,762 * Condomi AG 19,900 46,039 * Cybio AG 11,100 38,587 * D. Logistics AG 142,200 383,532 * DAS Werk AG 10,600 1,525 * DEAG Deutsche Entertainment AG 59,850 167,880 DVB Bank AG 10,353 1,078,463 * Dab Bank AG 200,400 1,513,414 * Deutsche Euroshop AG 37,500 1,536,915 * Deutz AG 97,700 391,165 * Deutz AG Issue 03 32,566 126,094 * Dierig Holding AG 8,750 136,250 * Drillisch AG 36,400 158,826 Duerr Beteiligungs AG 47,100 1,002,164 *# Dyckerhoff AG DM50 29,750 713,241 * Eckert and Ziegler Strahlen -- und Medizintechnik AG 12,700 113,417 ElreingKlinger AG 1,300 111,421 *# Em TV & Merchandising AG 268,000 318,046 Escada AG 64,090 845,089 * Eurobike AG 18,900 5,211 * Evotec Biosystems AG 160,100 1,128,465 * Freenet.De AG 32,900 1,946,267 Fuchs Petrolub AG Oel & Chemie 19,440 1,205,941 * GPC Biotech AG 72,300 676,009 *# Gft Technologies AG 36,200 137,558 * Gontard & Metallbank AG 46,008 3,585 * Herlitz AG 11,643 50,942 * Hoeft & Wessel AG 30,200 $ 115,483 Hucke AG 33,100 130,937 * Hutschenreuther AG 8,591 61,892 * IM International Media AG 149,500 229,388 * IPC Archtec AG 15,800 35,228 Interseroh AG 3,600 45,743 *# Intershop Deutschland AG 6,620 21,347 * Intertainment AG 14,082 33,761 Iwka AG 104,866 2,045,228 Jenoptik AG 98,800 1,067,090 KSB AG 4,650 724,629 * Kampa-Haus AG 31,500 237,887 * Kaufring AG 5,600 1,611 Kloeckner-Werke AG 146,850 1,376,576 * Kontron AG 171,520 1,285,033 Krones AG 4,700 328,350 * Leica Camera AG 4,000 25,892 Leifheit AG 9,400 266,038 Leoni AG 16,300 839,209 * Loesch Umweltschutz AG 16,000 3,452 # Loewe AG 36,000 288,269 * M & S Elektronik AG 19,600 1,692 * MVS Miete Vertrieb Service AG 45,052 75,607 * MWG Biotech AG 127,600 156,016 * Mania Technologie AG 12,100 21,757 * Mannheimer Aktiengesellschaft Holding AG 27,000 132,699 * Marbert AG 6,800 24,617 * Maternus-Kliniken AG, Bad Oyenhausen 16,800 12,486 Maxdata AG 113,700 767,341 * Medigene AG 43,900 335,741 * Mosaic Software AG 21,800 91,463 Muehlabauer Holdings AG & Co. KGAA 10,800 252,581 * Mwb Wertpapierhandelshaus AG 15,700 47,991 * Nemetschek AG 2,600 16,830 Norddeutsche Affinerie AG 46,700 499,905 Norddeutsche Steingutfabrik AG 9,215 49,708 * November AG 24,500 163,290 PC-Ware Information Technologies AG 8,000 86,692 * Pandatel AG 28,300 203,543 * Parsytec AG 19,200 110,014 * Personal & Informatik AG 2,150 11,984 * Pfleiderer AG 185,313 928,542 * Phoenix AG, Hamburg 103,686 1,131,048 * Pixelpark AG 15,050 15,695 *# Plambeck Neue Energien AG 63,465 180,303 * Primacom AG 62,300 85,780 * Produkte und Syteme der Informationstechnologie AG 45,211 233,041 *# Qs Communications AG 260,800 881,609 * RTV Family Entertainment AG 2,480 3,627 * Ravensberg Bau-Beteiligungen AG 29,500 6,365 * Realtech AG 20,200 214,296 Rheinmetall Berlin AG 85,490 2,807,923 Rinol AG 6,900 25,641 * Roesch Medizintechnik AG 7,300 3,675 * Ruecker AG 25,400 109,611 * SZ Testsysteme AG 7,000 763
47
SHARES VALUE+ ------ ------ * Saltus Technology AG 5,900 $ 17,681 # Salzgitter AG 329,609 3,334,732 Sartorius AG 17,200 183,294 Schlott Sebaldus AG 12,258 243,920 Sektkellerei Schloss Wachenheim AG 2,900 25,377 * Senator Entertainment AG 107,300 155,634 * Ser Systeme AG 9,400 1,690 # Sixt AG 65,300 900,182 * Stahl (R.) AG 15,700 131,740 * Steag Hamtech AG 45,600 254,177 * Stoehr & Co. AG 44,310 175,281 * Strabag AG 15,750 998,747 * Suess Microtec AG 58,600 744,600 * Syskoplan AG 16,400 132,699 * Syzygy AG 30,000 210,376 * TFG Venture Capital AG & Co. KGAA 43,100 103,330 * TTL Information Technology AG 22,800 65,594 * TV Loonland AG 22,500 61,225 Technotrans AG 25,800 383,496 * Telegate AG 19,300 210,069 Textilgruppe Hof AG 22,530 172,846 * Tiptel AG 13,600 28,530 * Umweltkontor Renewable Energy AG 110,781 167,323 United Internet AG 18,700 439,356 * VBH (Vereinigter Baubeschlag- Handel) AG 6,000 12,371 * VCL Film & Medien AG 10,700 5,002 VK Muehlen AG 4,632 430,318 * Value Management & Research AG 19,800 48,419 * Vereinigte Deutsche Nickel-Werke AG 2,316 18,046 Vossloh AG 39,200 1,809,115 * WCM Beteiligungs AG 500,000 737,216 * Walter Bau AG, Augsburg 89,862 177,738 * Westag and Getalit AG, Rheda-Wiedenbrueck 10,653 73,811 * Windhoff AG 11,400 1,366 Wuerttembergische Lebensversicherung AG 5,000 78,516 Wuerttembergische Metallwarenfabrik AG 64,620 1,169,670 --------------- TOTAL COMMON STOCKS (Cost $50,615,707) 60,827,188 --------------- RIGHTS/WARRANTS -- (0.0%) * DEAG Deutsche Entertainment AG Bond Rights 12/03/03 39,900 0 * Fuchs Petrolub AG Oel & Chemie Rights 12/09/03 19,440 20,973 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 20,973 --------------- TOTAL -- GERMANY (Cost $50,615,707) 60,848,161 --------------- SWITZERLAND -- (3.7%) COMMON STOCKS -- (3.6%) * AFG Arbonia-Forster Holding AG 5,950 685,802 * Ascom Holding AG 100,500 940,691 Bank Coop AG 2,312 411,350 * Banque Cantonale de Geneve 3,120 384,956 Banque Cantonale du Jura 100 $ 16,245 * Banque Cantonale Vaudoise 6,695 704,344 * Batigroup Holding AG 16,900 149,688 Bobst Group SA 85,200 2,866,978 Bossard Holding AG 5,450 227,659 Bucher Industries AG, Niederweningen 11,225 1,528,250 * COS Computer Systems AG 8,900 171,429 Caisse d'Epargne Cantonale Vaudoise, Lausanne 1,900 1,237,546 * Calida Holding AG 400 68,383 * Card Guard AG 51,000 168,064 * Carlo Gavazzi Holding AG 2,530 107,641 * Charles Voegele Holding AG 37,400 2,273,996 Cie Financiere Tradition 3,121 289,715 Conzzeta Holdings AG 2,000 1,500,712 * Crossair AG, Basel 71,730 565,974 Daetwyler Holding AG, Atldorf 940 1,435,392 Feintol International Holding AG 1,720 296,708 * Fischer (Georg) AG, Schaffhausen 19,567 3,345,123 * Flughafen Zuerich AG 18,100 923,398 * Forbo Holding AG, Eglisau 7,331 2,041,556 Galenica Holding, Ltd. AG, Bern 20,000 2,707,469 * Golay-Buchel Holding SA, Lausanne 125 101,530 Gurit-Heberlein AG 1,660 1,077,372 Helvetia Patria Holding 31,871 4,856,881 * Industrieholding Cham AG, Cham 3,700 646,853 * Kardex AG, Zuerich 1,200 141,098 * Leica Geosystems Holdings AG 3,500 548,263 * Lem Holdings AG, Lyss 180 33,279 * Maag Holding AG, Zuerich 2,637 352,390 * Mikron Holding AG, Biel 9,400 129,432 * Moevenpick-Holding, Zuerich 470 254,502 * Nextrom Holding SA 250 2,736 Psp Swiss Property AG 7,500 1,039,958 Schweizerhall Holding AG, Basel 470 599,898 Schweizerische National Versicherungs Gesellschaft 4,998 2,087,784 * Sihl 750 2,257 Sika Finanz AG, Baar 870 353,325 Sulzer AG, Winterthur 16,040 4,013,971 * Swiss Prime Site AG 5,800 1,027,446 *# Swisslog Holding AG 56,000 289,808 * UMS Schweizerische Metallwerke Holding AG, Bern 3,200 88,867 Valiant Holding AG 6,655 459,464 * Vaudoise Assurances Holding, Lausanne 499 629,193 * Von Roll Holding AG 15,045 11,871 * Von Roll Holding AG, Gerlafingen 15,045 13,384 Wmh Walter Meier Holding Ag, Zuerich 5,200 269,509 Zehnder Holding AG 50 36,899 Zschokke Holding SA, Geneve 1,950 677,293 * Zueblin Holding AG 117,740 829,732 --------------- TOTAL COMMON STOCKS (Cost $36,867,696) 45,624,064 ---------------
48
SHARES VALUE+ ------ ------ INVESTMENT IN CURRENCY -- (0.1%) * Swiss Francs (Cost $1,259,348) $ 1,259,799 TOTAL -- SWITZERLAND (Cost $38,127,044) 46,883,863 HONG KONG -- (3.7%) COMMON STOCKS -- (3.7%) ALCO Holdings, Ltd. 710,000 260,548 * APT Satellite Holdings, Ltd. 562,000 170,055 Aeon Credit Service (Asia) Co., Ltd. 416,000 249,076 * Allied Group, Ltd. 7,070,000 482,481 * Allied Properties, Ltd. 1,185,500 419,778 * Alpha General (Holdings), Ltd. 266,800 9,963 * Ananda Wing on Travel (Holdings), Ltd. 24,120,000 62,114 * Applied China, Ltd. 843,750 15,101 * Applied International Holdings, Ltd. 1,150,000 18,065 * Asia Commercial Holdings, Ltd. 35,960 880 Asia Financial Holdings, Ltd. 1,494,106 334,746 * Asia Standard International Group, Ltd. 6,096,666 231,579 * Asia Tele-Net & Technology Corp., Ltd. 4,000,000 7,211 Associated International Hotels, Ltd. 758,000 639,287 * Beauforte Investors Corp., Ltd. 44,000 17,563 * CCT Technology Holdings, Ltd. 209,880 351 CCT Telecom Holdings, Ltd. 600,800 68,077 * CNT Group, Ltd. 1,428,000 33,648 COFCO International, Ltd. 1,032,000 697,629 * COSCO International Holdings, Ltd. 2,236,000 164,109 * Capital Estate, Ltd. 720,000 1,669 * Capital Publications 1,015,200 78 * Celestial Asia Securities Holdings, Ltd. 251,900 16,218 * Century City International Holdings, Ltd. 2,863,067 18,433 # Champion Technology Holdings, Ltd. 1,072,404 230,600 * Chaoda Modern Agriculture (Holdings), Ltd. 900,000 298,404 Chen Hsong Holdings, Ltd. 322,000 206,269 * Cheuk Nang (Holdings), Ltd. 47,700 8,169 Chevalier International Holdings, Ltd. 648,930 330,050 * Chi Cheung Investment Co., Ltd. 431,085 42,740 * China Aerospace International Holdings, Ltd. 1,683,000 121,355 * China Bio-Medical Group Limited 258,750 3,098 * China City Natural Gas Holdings, Ltd. 4,994,000 27,007 * China Everbright International, Ltd. 3,610,000 144,097 China Everbright, Ltd. 2,508,000 1,340,173 China Hong-Kong Photo Products Holdings, Ltd. 1,843,000 121,027 * China Investments Holdings, Ltd. 1,186,800 25,673 *# China Motion Telecom International, Ltd. 522,000 44,361 China Motor Bus Co., Ltd. 24,000 151,423 China Online (Bermuda), Ltd. 506,000 65,805 China Overseas Land & Investment, Ltd. 8,660,000 1,360,389 China Rare Earth Holdings, Ltd. 1,210,000 176,055 # China Resources Land, Ltd. 2,562,000 356,277 * China Rich Holdings, Ltd. 2,554,000 $ 23,678 * China Sci-Tech Holdings, Ltd. 5,416,000 11,158 * China Star Entertainment, Ltd. 37,380 5,439 * China Strategic Holdings, Ltd. 340,250 7,404 # China Travel International Investment, Ltd. 6,776,000 1,291,280 Chinese Estates Holdings, Ltd. 3,772,000 1,384,209 Chinney Investments, Ltd. 752,000 40,668 Chow Sang Sang Holdings International, Ltd. 1,115,000 337,387 Chuangs China Investments, Ltd. 884,000 37,562 * Chuang's Consortium International, Ltd. 3,051,760 125,744 Chun Wo Holdings, Ltd. 636,000 35,214 City e Solutions, Ltd. 472,964 56,028 Continental Holdings, Ltd. 382,000 34,431 * Continental Mariner Investment Co., Ltd. 1,290,000 191,017 * Cosmos Machinery Enterprises, Ltd. 414,000 19,724 * Crocodile Garments, Ltd. 986,000 38,088 * Dan Form Holdings Co., Ltd. 2,326,000 59,900 Dickson Concepts International, Ltd. 362,000 219,074 * DigitalHongKong.com 12 0 * Dynamic Global Holdings, Ltd. 990,000 11,728 Dynamic Holdings, Ltd. 482,000 75,717 * E-Kong Group, Ltd. 250,200 6,121 * Easyknit International Holdings, Ltd. 982,400 13,408 * Emperor (China Concept) Investments, Ltd. 11,160 3,808 * Emperor International Holdings, Ltd. 81,200 25,093 * Ezcom Holdings, Ltd. 67,280 2,989 * Fairwood Holdings, Ltd. 67,500 10,777 Far East Consortium International, Ltd. 1,846,112 237,708 * Far East Hotels & Entertainment, Ltd. 464,000 20,313 * Far East Technology International, Ltd. 408,000 11,242 First Sign International Holdings, Ltd. 740,000 36,208 Fountain Set Holdings, Ltd. 1,350,000 990,818 * G-Vision International (Holdings), Ltd. 298,000 2,302 Global China Group Holdings, Ltd. 1,462,000 118,597 Golden Resources Development International, Ltd. 1,587,000 71,520 * Gold-Face Holdings, Ltd. 1,158,000 80,517 Goldlion Holdings, Ltd. 1,706,000 142,783 Golik Holdings, Ltd. 1,216,000 95,510 * Gorient Holdings, Ltd. 26,971 76 Grande Holdings, Ltd. 450,000 506,998 # Great Eagle Holdings, Ltd. 1,468,118 1,682,427 * Great Wall Cybertech, Ltd. 11,392,830 14,670 Group Sense (International), Ltd. 1,462,000 210,839 Guangdong Brewery Holdings, Ltd. 1,602,000 396,049 # Guangzhou Investment Co., Ltd. 8,136,000 890,462 *# HKR International, Ltd. 1,906,400 607,539 Hang Ten Group Holdings, Ltd. 267,010 584 Hanny Holdings, Ltd. 218,450 54,849 * Hansom Eastern Holdings, Ltd. 2,082,600 21,721 Harbour Centre Development, Ltd. 857,000 882,787 Henderson China Holdings, Ltd. 798,000 387,887
49
SHARES VALUE+ ------ ------ * Heng Fung Holdings, Ltd. 15,680 $ 12,921 High Fashion International, Ltd. 800,000 118,460 * Hon Kwok Land Investment Co., Ltd. 274,000 45,159 # Hong Kong and Shanghai Hotels, Ltd. 1,968,624 1,115,323 Hong Kong Catering Management, Ltd. 384,000 36,589 * Hong Kong Construction Holdings, Ltd. 692,000 43,660 Hong Kong Ferry (Holdings) Co., Ltd. 349,000 350,514 * Hong Kong Parkview Group, Ltd. 646,000 41,590 Hongkong Chinese, Ltd. 2,164,000 286,999 * Hop Hing Holdings, Ltd. 604,000 27,220 Hopewell Holdings, Ltd. 1,493,800 2,173,483 * Hsin Chong Construction Group, Ltd. 336,000 14,277 * Hualing Holdings, Ltd. 784,000 34,827 Hysan Development Co., Ltd. 316,159 451,870 * ITC Corp., Ltd. 456,000 22,899 * Inworld Group, Ltd. 27,200 161 * Jessica Publications, Ltd. 1,015,200 52,287 * Jinchang Pharmaceutical 507,600 0 * Jinhui Holdings Co., Ltd. 97,800 41,871 K Wah International Holdings, Ltd. 4,633,043 662,178 K. Wah Construction Materials, Ltd. 2,167,773 167,475 KTP Holdings, Ltd. 758,000 107,361 * Kader Holdings Co., Ltd. 857,000 18,318 Karce International Holdings Co., Ltd. 532,000 13,015 Keck Seng Investments (Hong Kong), Ltd. 570,000 60,183 Kee-Shing Holdings Co., Ltd. 256,000 15,657 * King Fook Holdings, Ltd. 338,000 26,983 Kowloon Development Co., Ltd. 619,000 454,308 * Kwong Sang Hong International, Ltd. 1,060,000 57,325 Kwoon Chung Bus Holdings, Ltd. 296,000 44,974 * Lai Fung Holdings, Ltd. 3,818,750 95,391 * Lai Sun Development Co., Ltd. 3,358,800 48,006 * Lai Sun Garment (International), Ltd. 2,700,000 67,793 * Lam Soon (Hong Kong), Ltd. 203,250 70,007 Leefung-Asco Printers Holdings, Ltd. 128,000 21,426 * Lippo, Ltd. 751,000 115,073 Liu Chong Hing Bank, Ltd. 668,000 1,032,150 Liu Chong Hing Investment, Ltd. 626,000 439,295 Luks Industrial Group, Ltd. 736,560 115,705 * Magnificent Estates, Ltd. 5,014,600 29,056 Melbourne Enterprises, Ltd. 41,000 159,432 Midland Realty (Holding), Ltd. 552,000 121,540 * Min Xin Holdings, Ltd. 882,000 136,281 Miramar Hotel & Investment Co., Ltd. 816,000 772,259 * Morning Star Resources, Ltd. 3,075,000 26,528 NWS Holdings Ltd. 1,413,477 1,383,208 * Nam Fong International Holdings, Ltd. 1,740,000 10,754 Nam Hing Holdings, Ltd. 538,000 19,050 Nanyang Holdings, Ltd. 80,850 72,872 * National Electronics Holdings, Ltd. 1,106,000 35,603 * New City (Beijing) Development, Ltd. 6,760 213 New Hanison Construction Hldg 185,099 10,487 * New World China Land, Ltd. 2,342,000 524,713 * New World Cyberbase, Ltd. 56,540 291 New World Development Co., Ltd. 4,828,540 3,015,386 * New World Infrastructure, Ltd. 1,975,600 335,783 *# Onfem Holdings, Ltd. 1,426,000 91,807 Orient Power Holdings, Ltd. 570,573 $ 80,814 Oriental Watch Holdings, Ltd. 462,000 99,344 Pacific Andes International Holdings, Ltd. 624,000 112,486 Pacific Century Insurance Holdings, Ltd. 150,000 57,943 * Pacific Plywood Holdings, Ltd. 4,844,000 12,474 Paul Y. ITC Construction Holdings, Ltd. 450,000 41,719 Peace Mark Holdings, Ltd. 522,063 67,222 Pico Far East Holdings, Ltd. 392,000 20,442 Playmates Holdings, Ltd. 1,492,000 315,063 Pokfulam Development Co., Ltd. 244,000 64,406 * Poly Investments Holdings, Ltd. 1,428,000 30,339 Prime Success International Group, Ltd. 800,000 31,418 Proview International Holdings, Ltd. 936,000 247,067 * QPL International Holdings, Ltd. 651,000 255,662 * RNA Holdings, Ltd. 580,200 2,017 * Rainbow International Holdings, Ltd. 27,200 263 *# Regal Hotels International Holdings, Ltd. 9,608,179 164,542 * Rexcapital International Holdings, Ltd. 1,270,090 27,802 * Riverhill Holdings, Ltd. 27,200 378 S.A.S.Dragon Holdings, Ltd. 94,400 9,116 SIS International Holdings, Ltd. 326,000 20,988 San Miguel Brewery Hong Kong, Ltd. 1,130,400 282,370 Sea Holdings, Ltd. 1,444,000 306,787 * Seapower Resources International, Ltd. 2,785,000 9,682 * Shanghai Land Holdings, Ltd. 352,000 15,637 Shanghai Real Estates, Ltd. 810,000 59,449 Shell Electric Manufacturing (Holdings) Co., Ltd. 89,838 22,210 Shenyin Wanguo (Hong Kong), Ltd. 850,000 102,880 Shougang Concord Century Holdings, Ltd. 1,000,000 145,500 * Shougang Concord Grand (Group), Ltd. 833,000 66,500 * Shougang Concord International Enterprises Co., Ltd. 2,196,000 115,932 * Shougang Concord Technology Holdings, Ltd. 414,000 57,039 * Shun Ho Resources Holdings, Ltd. 510,000 15,695 * Shun Ho Technology Holdings, Ltd. 814,380 23,069 # Shun Tak Holdings, Ltd. 3,313,000 1,130,453 Silver Grant International Industries, Ltd. 2,190,000 239,689 * Sincere Co., Ltd. 872,000 32,000 Sino Hotels (Holdings), Ltd. 278,757 66,761 * Sino-I.com, Ltd. 17,167,000 450,931 Sinolink Worldwide Holdings, Ltd. 1,202,000 142,389 * Softbank Investment International (Strategic), Ltd. 4,112,000 47,652 * South China Holdings, Ltd. 4,060,800 135,947 * South China Industries, Ltd. 1,182,000 31,961 Starlight International Holdings, Ltd. (New) 885,000 141,303 * Stelux Holdings International, Ltd. 1,862,552 64,753 * Styland Holdings, Ltd. 1,359,999 4,378 Sun Hung Kai & Co., Ltd. 3,340,000 748,309
50
SHARES VALUE+ ------ ------ * Sunday Communications, Ltd. 4,227,000 $ 166,004 # Sunway International Holdings, Ltd. 1,002,000 47,092 Tai Cheung Holdings, Ltd. 1,809,000 570,676 Tai Fook Securities Group, Ltd. 534,000 67,383 Tai Sang Land Development, Ltd. 796,900 203,168 Tak Sing Alliance Holdings, Ltd. 1,299,335 46,845 Tan Chong International, Ltd. 2,943,000 549,469 Tern Properties Co., Ltd. 168,000 33,529 * Tian An China Investments Co., Ltd. 13,627,000 329,870 Tian Teck Land, Ltd. 800,000 239,496 # Tianjin Development Holdings, Ltd. 1,144,000 541,338 * Tomorrow International Holdings, Ltd. New 330,600 41,717 Tungtex (Holdings) Co., Ltd. 558,000 217,343 * Tysan Holdings, Ltd. 614,000 13,598 * U-Cyber Technology Holdings, Ltd. 370,000 9,100 USI Holdings, Ltd. 671,999 73,548 * Universe International Holdings, Ltd. 301,756 7,305 Van Shung Chong Holdings, Ltd. 482,000 112,955 * Wah Nam International 12,600 406 Wai Kee Holdings, Ltd. 1,387,000 176,806 Wellnet Holdings, Ltd. 385,000 29,744 * Winfoong International, Ltd. 1,525,000 32,792 Wing On Co. International, Ltd. 588,000 469,412 Wing Shan International, Ltd. 1,130,000 61,838 Winsor Properties Holdings, Ltd. 110,000 39,304 * Wo Kee Hong Holdings 4,282,332 23,159 Wong's International (Holdings), Ltd. 196,000 29,528 World Houseware (Holdings), Ltd. 672,342 28,569 Y. T. Realty Group, Ltd. 1,166,000 67,561 * Yaohan International Holdings, Ltd. 1,660,000 0 * Yau Lee Holdings, Ltd. 657,750 22,867 * Yue Fung International Group Holding, Ltd. 31,490 4,257 * Yugang International, Ltd. 10,520,000 79,920 * Zhu Kuan Development Co., Ltd. 1,362,000 59,627 * eSun Holdings, Ltd. 722,400 21,859 --------------- TOTAL COMMON STOCKS (Cost $45,160,281) 46,290,545 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars (Cost $44,914) 44,923 --------------- RIGHTS/WARRANTS -- (0.0%) * Allied Properties, Ltd. Warrants 12/06/03 118,550 0 * Applied China, Ltd. Warrants 04/30/04 168,750 217 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 217 --------------- TOTAL -- HONG KONG (Cost $45,205,195) 46,335,685 --------------- AUSTRALIA -- (3.7%) COMMON STOCKS -- (3.5%) A.P. Eagers, Ltd. 27,417 128,953 APN News & Media, Ltd. 219,579 611,716 AWB, Ltd. 310,000 982,503 Abigroup, Ltd. 67,000 $ 192,470 * Adacel Technologies, Ltd. 40,300 20,996 Adelaide Brighton, Ltd. 914,119 806,976 * Adsteam Marine, Ltd. 443,900 536,414 Alesco Corp., Ltd. 65,712 280,540 Altium 92,500 36,144 Amalgamated Holdings, Ltd. 282,458 664,256 * Amcom Telecommunications, Ltd. 279,500 32,359 * Amrad Corp., Ltd. 194,600 92,936 * Anaconda Nickel NL 460,025 858,815 Ansell, Ltd. 318,229 1,503,665 Ariadne Australia, Ltd. 360,000 97,686 Atlas Pacific, Ltd. 113,450 18,060 * AuIron Energy, Ltd. 276,693 12,413 Ausdrill, Ltd. 86,682 46,415 Auspine, Ltd. 91,008 204,145 * Austal, Ltd. 328,100 208,923 * Austar United Communications, Ltd. 1,264,310 347,645 # Austereo Group, Ltd. 710,600 694,156 * Austral Coal, Ltd. 200,700 103,111 # Australand Property Group 884,084 1,049,145 # Australian Agricultural Co., Ltd. 330,439 274,971 *# Australian Magnesium Corp., Ltd. 97,349 5,424 * Australian Worldwide Exploration, Ltd. 116,990 96,505 * Auto Group, Ltd. 64,351 28,870 * Avatar Industries, Ltd. 50,740 12,850 *# Bay Corp Advantage, Ltd. 384,800 715,594 Beach Petroleum NL 179,538 44,171 * Biota Holdings, Ltd. 136,051 49,223 Boral, Ltd. 22,789 82,451 Brickworks, Ltd. 139,350 811,710 Bridgestone Australia, Ltd. 51,126 93,227 * Burns, Philp & Co., Ltd. 748,991 336,021 Burswood, Ltd. 836,130 701,827 Caltex Australia, Ltd. 402,300 1,254,659 Candle Australia, Ltd. 40,920 37,604 Capral Aluminium, Ltd. 110,000 192,622 Cellnet Telecommunications Group, Ltd. 63,900 44,389 Central Equity, Ltd. 163,151 227,848 * Circadian Technologies, Ltd. 38,781 53,318 # Clough, Ltd. 989,479 508,350 Coates Hire, Ltd. 265,505 549,461 Commander Communications, Ltd. 204,700 162,933 * Consolidated Paper Industries, Ltd. 64,577 43,924 * Coplex Resources NL 351,512 22,892 Coventry Group, Ltd. 86,281 346,503 Crane Group, Ltd. 120,604 785,421 * Cumnock Coal, Ltd. 40,710 6,628 Devine, Ltd. 133,731 60,964 * Dominion Mining, Ltd. 116,119 55,456 Downer Edi, Ltd. 426,048 1,149,915 * Emporer Mines, Ltd. 135,024 71,323 * Energy Developments, Ltd. 158,000 289,252 Energy Resources of Australia, Ltd. Series A 200,366 463,951 * Energy World Corp., Ltd. 393,461 7,972 Evans & Tate, Ltd. 15,891 13,799 FKP, Ltd. 169,862 288,843 Fleetwood Corp., Ltd. 36,626 147,884 * Forest Place Group, Ltd. 78,244 27,459
51
SHARES VALUE+ ------ ------ Futuris Corp., Ltd. 1,100,165 $ 1,114,510 GRD NL 130,884 179,944 GUD Holdings, Ltd. 96,340 428,726 Gazal Corp., Ltd. 89,069 167,571 * Globe International, Ltd. 505,400 171,882 Gowing Bros., Ltd. 82,201 146,322 * Gowing Retail, Ltd. 5,323 1,772 * Gradipore, Ltd. 36,474 12,141 # Grand Hotel Group 364,395 174,026 # Great Southern Plantations, Ltd. 360,831 396,868 Green's Foods, Ltd. 101,626 69,860 * Gympie Gold, Ltd. 266,614 96,461 * Hamilton Island, Ltd. 52,566 126,282 Hancock and Gore, Ltd. 83,901 103,208 * Haoma Mining NL 193,606 16,811 Healthscope, Ltd. 139,211 303,206 * Henry Walker Group, Ltd. 279,109 185,806 Housewares International, Ltd. 956 1,799 * Hudson Investment Group, Ltd. 297,500 18,836 * Hutchison Telecommunications (Australia), Ltd. 1,140,000 230,973 * IWL, Ltd. 265,000 56,567 Iluka Resources, Ltd. 389,396 1,141,155 * Imdex, Ltd. 202,532 26,379 * Intercard Wireless, Ltd. 62,379 2,031 * Intermoco, Ltd. 558,800 19,813 Investor Group, Ltd. 40,987 80,077 * JDV, Ltd. 40,681 16,190 # Jones (David), Ltd. 805,650 804,496 KTS Corp., Ltd. 85,482 150,307 Kaz Group, Ltd. 1,401,106 248,391 * Keycorp, Ltd. 124,013 111,272 * Leyshon Resources, Ltd. 123,978 17,942 MacArthur Coal, Ltd. 216,900 183,630 * MacMahon Holdings, Ltd. 305,720 67,472 * Macquarie Corporate Telecommunications, Ltd. 303,300 54,867 Magellan Petroleum Australia, Ltd. 29,537 27,785 MaxiTRANS Industries, Ltd. 168,888 96,544 McPherson's, Ltd. 36,601 108,322 Mia Group, Ltd. 1,160,700 562,721 * Mineral Deposits, Ltd. 40,472 8,786 Namoi Cotton Cooperative, Ltd. 142,585 38,175 National Can Industries, Ltd. 18,850 19,232 *# Novus Petroleum, Ltd. 338,207 305,908 Nufarm, Ltd. 220,300 798,639 Onesteel, Ltd. 835,199 1,136,177 * Orbital Engine Corp., Ltd. 165,000 19,700 * PMP, Ltd. 666,000 578,301 Pacific Group, Ltd. 61,800 212,413 * Payce Consolidated, Ltd. 74,466 107,767 * Perilya Mines NL 219,076 168,035 * Petsec Energy, Ltd. 153,726 96,775 * Plantcorp NL 14,403 0 Portman, Ltd. 319,770 347,078 * PowerTel, Ltd. Series B 1,895,787 50,756 * Pracom, Ltd. 122,300 3,451 Prime Television, Ltd. 161,244 285,856 * Primelife Corp., Ltd. 142,200 281,935 Queensland Cotton Holdings, Ltd. 41,451 96,281 * RG Capital Radio, Ltd. 10,546 21,367 * Reinsurance Australia Corp., Ltd. 259,694 77,045 * Resolute Mining, Ltd. 89,083 $ 88,955 Ridley Corp., Ltd. 450,025 380,996 * Roc Oil Co., Ltd. 200,000 206,949 * SMS Management & Technology, Ltd. 405,600 70,438 SPC Ardmona, Ltd. 341,582 353,451 * Senetas Corp., Ltd. 206,798 10,175 Servcorp, Ltd. 28,622 34,587 # Seven Network, Ltd. 390,809 1,493,127 Sigma Co., Ltd. 152,700 719,314 * Silex System, Ltd. 197,100 126,933 Smorgon Steel Group, Ltd. 1,469,100 1,105,562 * Solution 6 Holdings, Ltd. 424,301 196,495 * Sons of Gwalia, Ltd. 314,864 770,084 # Southern Cross Broadcasting (Australia), Ltd. 99,204 782,445 * Southern Pacific Petroleum NL 424,400 72,168 Southern Star Group, Ltd. 113,900 60,165 * St. Barbara Mines, Ltd. 329,338 17,635 * Straits Resources, Ltd. 89,994 64,468 * Strathfield Group, Ltd. 165,666 13,786 * Television & Media Services, Ltd. 240,000 8,162 # Ten Network Holdings, Ltd. 656,900 1,283,398 Thakral Holdings Group 1,507,986 687,442 The Gribbles Group, Ltd. 711,600 272,904 Ticor, Ltd. 482,210 488,498 # Timbercorp, Ltd. 170,537 136,975 * Titan Resources NL 125,121 38,026 Trust Company of Australia, Ltd. 22,214 120,555 United Construction Group, Ltd. 91,667 262,004 Villa World, Ltd. 114,717 102,931 *# Village Roadshow, Ltd. 396,281 530,485 Vision Systems, Ltd. 290,747 206,177 Wattyl, Ltd. 174,567 486,319 * Western Metals, Ltd. 491,208 7,642 Wide Bay Capricorn Building Society, Ltd. 29,461 144,962 * Xanadu Wines, Ltd. 100,350 11,618 * Yates, Ltd. 144,138 6,154 --------------- TOTAL COMMON STOCKS (Cost $32,631,801) 43,335,283 --------------- INVESTMENT IN CURRENCY -- (0.2%) * Australian Dollar (Cost $2,423,684) 2,426,583 --------------- PREFERRED STOCKS -- (0.0%) * Village Roadshow, Ltd. 2% Class A (Cost $289,439) 398,305 319,917 --------------- RIGHTS/WARRANTS -- (0.0%) * Australand Property Group Rights 12/09/03 (Cost $0) 221,021 0 --------------- TOTAL -- AUSTRALIA (Cost $35,344,924) 46,081,783 --------------- ITALY -- (3.5%) COMMON STOCKS -- (3.5%) * A.S. Roma SpA 181,000 331,963 *# Acegas SpA 150,000 904,438 * Alitalia Linee Aeree Italiane SpA Series A 900,000 289,132
52
SHARES VALUE+ ------ ------ Banca Popolare Dell'etruria e Del Lazio Scrl 43,573 $ 955,846 Banca Popolare di Spoleto SpA 500 4,214 Banco Piccolo Valellinese Scarl SpA 93,022 1,029,217 * Bastogi SpA 2,770,000 566,140 Biesse SpA 120,000 340,198 Brioschi Finanziaria SpA, Milano 1,705,000 533,438 Buzzi Unicem SpA 28,500 345,053 CIR SpA (Cie Industriale Riunite), Torino 1,315,000 2,359,755 CSP International Industria Calze SpA 72,000 124,284 Caltagirone Editore SpA 154,000 1,258,996 Caltagirone SpA 595,400 3,704,210 * Carraro SpA 108,000 300,352 Cementir Cementerie del Tirreno SpA 873,600 2,633,722 * Cirio Finanziaria SpA 960,000 200,235 Cremonini SpA 87,000 182,506 Danieli & C.Officine Meccaniche SpA 170,000 703,052 * De Longhi SpA 270,600 1,206,881 Ericsson SpA 99,491 2,418,640 * Finarte Casa d'Aste SpA (Milano) 5,000 10,429 *# Finarte Partecipazioni Pro Arte SpA 1,472,050 369,680 Gefran 54,000 260,866 * Gemina SpA 1,348,000 1,341,181 * Giacomelli SpA 168,000 36,249 Giovanni Crespi SpA 237,000 200,857 Grandi Navi Veloci SpA 186,000 379,037 * Grassetto SpA 110,000 0 Gruppo Ceramiche Ricchetti SpA 906,000 388,804 * I Grandi Viaggi SpA 190,100 151,311 *# Immobiliare Lombardia SpA 1,499,000 285,924 Immsi SpA 211,292 238,084 Impregilo SpA 2,570,000 1,725,204 Industria Romagnola Conduttori Elettrici SpA 119,000 359,474 Italmobiliare SpA, Milano 29,780 1,363,664 * La Doria SpA 101,000 279,674 * Lavorwash SpA 43,000 101,028 Linificio and Canapificio Nazionale SpA 46,250 95,913 Maffei SpA 100,500 183,117 # Manifattura Lane Gaetano Marzotto & Figli SpA 212,000 2,322,745 * Marcolin SpA 110,000 159,856 Milano Assicurazioni SpA 732,200 2,444,412 Monrif SpA 183,000 177,687 * Montefibre SpA 496,474 261,860 * NGP SpA 42,059 28,284 * Necchi SpA 792,500 66,499 * Olidata SpA 26,000 41,952 * Opengate Group SpA 22,800 52,202 * Pagnossin SpA 79,000 175,194 * Premafin Finanziaria SpA Holding di Partecipazioni, Roma 1,316,584 1,320,971 Premuda SpA 255,250 401,744 * Ratti SpA 130,000 104,876 * Reno de Medici SpA, Milano 938,522 840,397 Risanamento Napoli SpA 156,000 269,151 * Roncadin SpA 238,950 $ 140,353 SAES Getters SpA 31,000 359,342 SISA (Societa Imballaggi Speciali Asti SpA) 175,000 419,554 SMI STA Metallurgica Italiana SpA 2,729,000 1,050,093 SNIA SpA 59,054 131,314 * SOPAF (Societa Partecipazioni Finanziarie SpA) 493,500 159,428 * Sirti SpA 139,803 254,730 * Societe Sportiva Lazio SpA 4,020,000 219,259 Sogefi SpA 101,876 349,267 Sol SpA 102,000 438,949 Stefanel SpA 228,500 498,514 Targetti Sankey SpA 3,300 12,021 Terme Demaniali di Acqui SpA 553,330 274,602 * Trevi-Finanziaria Industriale SpA 271,050 371,702 * Vemer Siber Group SpA 13,800 15,236 Vianini Industria SpA 163,800 481,060 Vianini Lavori SpA 233,090 1,438,965 Zucchi (Vincenzo) SpA 90,500 474,078 --------------- TOTAL COMMON STOCKS (Cost $32,319,856) 43,919,065 --------------- RIGHTS/WARRANTS -- (0.0%) * Roncadin SpA Warrants 10/15/07 (Cost $0) 63,180 20,146 --------------- TOTAL -- ITALY (Cost $32,319,856) 43,939,211 --------------- SINGAPORE -- (3.4%) COMMON STOCKS -- (3.4%) A.V. Jennings Homes, Ltd. 265,600 351,736 ASA Group Holdings, Ltd. 857,000 151,622 * Acma, Ltd. 2,880,500 158,736 Allgreen Properties, Ltd. 3,712,000 2,239,361 Amtek Engineering, Ltd. 113,000 101,600 Apollo Enterprises, Ltd. 240,000 73,437 Ascott Group, Ltd. 5,718,038 1,393,090 * Asia Food and Properties, Ltd. 1,820,000 248,097 Auric Pacific Group, Ltd. 57,000 37,363 Blu Inc. Group, Ltd. 1,085,000 163,639 Bonvests Holdings, Ltd. 675,400 180,219 * CK Tang, Ltd. 612,000 140,227 Chemical Industries (Far East), Ltd. 40,000 24,363 * China Merchants Holdings Pacific, Ltd. 469,000 141,468 Cosco Investment, Ltd. 1,560,000 538,424 Courts Singapore, Ltd. 563,000 179,620 Cycle & Carriage, Ltd. 45,348 159,146 * Eagle Brand Holdings, Ltd. 4,274,000 285,112 * Econ International, Ltd. 1,412,000 36,858 Eng Wah Organisation, Ltd. 481,000 64,173 * Excel Machine Tools, Ltd. 473,000 4,116 * Freight Links Express Holdings, Ltd. 394,000 22,855 GB Holdings, Ltd. 231,000 87,768 # Guocoland, Ltd. 1,906,000 1,238,294 Ho Bee Investment, Ltd. 1,277,000 185,188 Hong Fok Corp., Ltd. 1,924,000 323,658 Hong Leong Finance, Ltd. 457,000 702,498
53
SHARES VALUE+ ------ ------ Hotel Grand Central, Ltd. 655,400 $ 144,468 Hotel Plaza, Ltd. 942,000 292,340 # Hotel Properties, Ltd. 1,671,000 998,382 Hour Glass, Ltd. 349,000 107,296 Hwa Hong Corp., Ltd. 2,250,000 756,996 * IPC Corp., Ltd. 3,248,000 122,465 International Factors (Singapore), Ltd. 22,000 5,551 * Interra Resources, Ltd. 139,180 19,780 * Intraco, Ltd. 316,000 94,401 Isetan (Singapore), Ltd. 152,000 279,503 Jurong Engineering, Ltd. 155,000 255,348 * K1 Ventures, Ltd. 4,432,000 565,595 Keppel Land, Ltd. 3,108,000 2,884,589 Kian Ann Engineering, Ltd. 861,000 117,369 Koh Brothers, Ltd. 1,445,000 108,967 Lee Kim Tah Holdings, Ltd. 1,865,000 254,232 * Leong Hin Holdings, Ltd. 516,000 35,918 * Liang Huat Aluminum, Ltd. 939,000 43,575 Low Keng Huat Singapore, Ltd. 368,000 84,319 * Lum Chang Holdings, Ltd. 1,211,000 210,741 * MCL Land, Ltd. 1,273,000 989,501 * Magnecomp International, Ltd. 526,000 271,556 Marco Polo Developments, Ltd. 1,380,000 1,496,937 Metro Holdings, Ltd. 2,333,800 961,180 * Neptune Orient Lines, Ltd. 3,529,000 4,339,807 * Orchard Parade Holdings, Ltd. 1,293,625 307,663 Overseas Union Enterprise, Ltd. 168,000 657,803 Pan-United Corp., Ltd. 1,101,000 392,776 Penguin Boat International, Ltd. 642,000 67,033 Pertama Holdings, Ltd. 105,000 17,968 Raffles Holdings, Ltd. 7,169,000 2,245,615 SNP Corp., Ltd. 112,500 85,488 * SP Corp., Ltd. 55,000 2,871 San Teh, Ltd. 579,000 152,817 # Singapore Land, Ltd. 1,507,000 3,426,748 * Singapore Shipping Corp., Ltd. 1,502,000 239,599 Singapura Finance, Ltd. 84,000 64,806 * Singatronics, Ltd. 923,000 187,393 Ssangyong Cement (Singapore), Ltd. 77,000 52,705 Stamford Land Corp., Ltd. 3,218,000 457,336 Straits Trading Co., Ltd. 1,314,200 1,379,822 * Sunright, Ltd. 196,000 67,648 Superior Metal Printing, Ltd. 552,000 83,252 * Tuan Sing Holdings, Ltd. 4,197,000 267,802 * Ultro Technologies, Ltd. 693,000 80,398 United Engineers, Ltd. 766,666 716,003 # United Industrial Corp., Ltd. 5,096,000 2,468,305 United Overseas Land, Ltd. 2,284,000 2,477,540 United Pulp & Paper Co., Ltd. 391,000 88,455 WBL Corp., Ltd. 445,500 764,931 Wing Tai Holdings, Ltd. 2,846,000 1,304,202 * Xpress Holdings, Ltd. 370,000 17,170 --------------- TOTAL COMMON STOCKS (Cost $40,218,756) 42,747,633 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars (Cost $129,896) 130,315 --------------- PREFERRED STOCKS -- (0.0%) Guocoland, Ltd. 7% (Non-Redeemable Convertible) (Cost $103,603) 174,000 $ 116,073 --------------- RIGHTS/WARRANTS -- (0.0%) * Acma, Ltd. Warrants 11/16/04 (Cost $0) 147,500 856 --------------- TOTAL -- SINGAPORE (Cost $40,452,255) 42,994,877 --------------- SWEDEN -- (2.6%) COMMON STOCKS -- (2.6%) * Active Biotech AB Series B 15,100 112,909 Angpannefoereningen AB Series B 9,850 151,216 * Anoto Group AB 50,533 111,016 * Arkivator AB 73,900 438,153 * B & N Bylock & Nordsjoefrakt AB Series B 99,200 164,106 Beijer AB Series B 12,300 126,156 Beijer Alma AB Series B 16,000 137,637 Bergman & Beving AB Series B 36,600 223,782 Bilia AB Series A 68,950 839,508 * Boliden AB 218,800 984,530 * Bong Ljungdahl AB 19,700 62,572 * Boras Waefveri AB Series B 15,900 75,543 Capona AB 74,742 563,823 Carbo AB 68,400 1,728,989 Castellum AB 101,800 2,155,612 Cloetta AB Series B 6,300 143,407 * Concordia Maritime AB Series B 136,100 262,975 * Doro Telefoni AB Series A 6,400 7,708 * Duroc AB Series B 1,400 2,409 * Elekta AB 37,700 708,488 * Enea Data AB Series B 339,400 110,048 * Expanda AB 14,600 60,865 * Fagerlid Industrier AB 51,750 0 * Finnveden AB 67,600 401,695 * Framtidsfabriken AB 631,800 40,135 * Frontec AB Series B 31,900 22,797 Geveko AB Series B 19,900 376,610 Gorthon Lines AB Series B 69,300 177,008 Gunnebo AB 12,100 299,454 Haldex AB 44,200 573,259 * Hiq International AB 45,000 77,421 * IBS AB Series B 173,950 306,181 * Industrial & Financial Systems AB Series B 146,500 150,260 * Industrifoervaltnings AB Skandigen 46,200 119,228 *# Intentia International AB Series B 185,300 170,437 Kinnevik Industrifoervaltnings AB Series B 123,600 3,688,654 Klippans Finpappersbruk AB 30,800 70,518 * Klovern AB B Shares 94,078 204,190 Kungsleden AB 46,600 1,190,272 Ljungberg Gruppen AB Series B 4,200 55,584 * Mandator AB 52,500 11,742 * Medivir Series B 12,100 169,744 * Micronic Laser Systems AB 26,000 258,070 NCC AB Series A 45,400 324,454 NCC AB Series B 230,400 1,646,566
54
SHARES VALUE+ ------ ------ Naerkes Elektriska AB Series B 26,100 $ 324,692 Nolato AB Series B 15,900 101,636 OEM International AB Series B 5,000 61,540 Observer AB 173,200 767,884 * Ortivus AB 12,300 51,276 PEAB AB Series B 135,400 734,692 # Pandox Hotelfastigheter AB 63,400 914,574 * Partnertech AB 25,482 116,347 * Pergo AB 117,916 237,202 Poolia AB Series B 43,200 132,640 * Pricer AB Series B 441,000 32,684 * Proact It Group AB 15,000 48,438 *# Protect Data AB 15,600 55,743 * PyroSequencing AB 78,382 123,443 * Rorvik Timber AB 30,600 45,357 Rottneros Bruk AB 1,191,000 1,331,899 * Salus Ansvar AB Series B 36,600 64,907 * Scribona AB Series A 15,700 27,842 *# Scribona AB Series B 118,100 212,565 * Semcon AB 30,500 65,391 * Song Network Holding 81,507 663,396 Sweco AB Series B 47,050 410,967 Teleca AB Series B 4,200 21,622 Trelleborg AB Series B 160,900 2,491,408 * Turnit AB 125,300 28,854 * Viking Telecom AB 29,100 8,665 * WM-Data AB Series B 166,500 337,139 Wallenstam Byggnads AB Series B 79,600 1,732,933 * Wedins Norden AB Series B 404,852 104,480 * Westergyllen AB Series B 6,800 47,247 Whilborg Fastigheter AB Class B 159,170 1,895,861 --------------- TOTAL COMMON STOCKS (Cost $20,375,144) 32,699,055 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona (Cost $11,466) 11,466 --------------- RIGHTS/WARRANTS -- (0.0%) * Pricer AB Rights 12/09/03 (Cost $0) 441,000 1,166 --------------- TOTAL -- SWEDEN (Cost $20,386,610) 32,711,687 --------------- GREECE -- (2.5%) COMMON STOCKS -- (2.5%) Aegek 326,634 779,173 * Agrotiki Insurance S.A. 6,880 47,009 Alco Hellas ABEE S.A. 145,300 282,163 * Allatini Industrial & Commercial Co. 58,400 133,010 Alpha Leasing 117,115 766,522 * Alte Technological Co. S.A. 299,816 402,524 * Altec Information & Communication Systems S.A. 348,200 338,091 Alumil Milonas S.A. 64,120 318,210 * Aluminum of Attica S.A. 337,348 412,475 * Anek Lines S.A. 217,649 346,999 Arcadia Metal Industry C. Rokas S.A. 84,011 495,474 * Aspis Pronia General Insurance S.A. 162,500 292,189 Athens Medical Center S.A. 343,400 695,675 Athens Water Supply & Sewage Co. S.A. 58,200 $ 442,315 * Atlantic Super Market S.A. 80,190 130,731 Attica Enterprises S.A. Holdings 425,974 1,766,764 Atti-Kat S.A. 324,218 450,832 * Bitros Holdings S.A. 47,100 168,815 Delta Holdings S.A. 64,300 462,468 Edrassi C. Psallidas S.A. 58,506 142,369 Egnatia Bank S.A. 317,810 1,047,658 El. D. Mouzakis S.A. 123,900 231,694 * Ergas S.A. 95,407 58,327 * Etba Leasing S.A. 70,654 176,165 * Etma Rayon S.A. 39,176 68,094 * Euro Reliance General Insurance 4,200 11,580 * Euromedica S.A. 89,200 222,407 * Europaiki Techniki 98,150 104,713 * Fanco S.A. 44,900 137,786 * Forthnet S.A. 61,700 380,161 Fourlis S.A. 155,000 455,216 Frigoglass S.A. 163,600 694,234 * G.Polyhronos S.A. 27,800 58,651 General Construction Co. S.A. 11,000 94,411 * General Hellenic Bank 109,759 768,373 Gnomon Construction S.A. 82,688 76,322 Hatziioannou S.A. 97,400 254,528 Hellas Can Packaging Manufacturers S.A. 64,287 436,173 Hellenic Cables S.A. 89,428 153,295 Hellenic Fabrics S.A. 55,000 188,559 Hermes Real Estate S.A. 86,814 466,216 * Intracom Constructions S.A. 80,000 193,714 Intracom S.A. 339,326 2,188,360 * J Boutaris & Son Holding S.A. 105,600 173,422 Kalpinis Simos Steel Service Center 49,238 180,610 * Keranis Holdings S.A. 53,625 73,281 * Kordellou Brothers S.A. 17,200 34,638 * Lambrakis Press S.A. 228,200 1,444,338 Lavipharm S.A. 160,616 308,055 Light Metals Industry 87,548 261,315 Loulis Mills S.A. 64,408 243,976 * Maritime Company of Lesvos S.A. 164,000 135,648 * Maxim Knitwear Factory C.M. 61,360 75,025 Mesochoritis Bros. Construction Co. 89,900 84,057 Michaniki S.A. 273,758 879,470 * Minoan Lines S.A. 290,027 618,839 Mochlos S.A. 163,064 156,376 Mytilineos Holdings S.A. 128,870 821,832 * N. Levederis S.A. 24,700 23,095 * Naoussa Spinning Mills S.A. 81,900 341,651 * Nexans Hellas S.A. 25,070 87,451 Nikas S.A. 35,183 283,414 Notos Com.Holdings S.A. 11,808 49,258 * O. Daring Sain 42,800 22,574 Pantechniki S.A. 139,965 342,270 * Pegasus Publishing & Printing S.A. 164,020 495,469 * Petzetakis S.A. 88,200 265,376 * Pilias S.A. 85,279 42,935 * Proodeftiki Technical Co. 164,900 168,019 * Sanyo Hellas S.A. 208,918 453,288 Sarantis S.A. 154,900 586,756 * Sato S.A. 93,160 113,907
55
SHARES VALUE+ ------ ------ Selected Textile Industry Assoc. S.A. 161,500 $ 230,377 Sfakianakis S.A. 38,370 134,765 * Sheet Steel S.A. 77,100 59,150 * Shelman 155,548 279,689 Spyroy Agricultural House S.A. 103,200 154,635 * Stabilton S.A. 221,900 21,280 Strintzis Shipping Lines S.A. 414,176 660,322 Technical Olympic S.A. 541,880 2,715,181 * Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 23,730 17,921 Terna Tourist Technical & Maritime S.A. 33,100 295,203 * Themeliodomi 140,360 398,760 Thrace Plastics Co. S.A. 174,600 249,064 * Varvaressos S.A. European Spinning Mills 36,350 78,433 Veterin 62,096 288,812 Vioter S.A. 150,645 252,815 * Vis Container Manufacturing Co. 12,511 47,691 Zampa S.A. 1,750 24,754 --------------- TOTAL -- GREECE (Cost $28,051,970) 32,015,642 --------------- NETHERLANDS -- (2.4%) COMMON STOCKS -- (2.4%) * Begemann Groep NV 24,247 116,262 * Begemann Groep NV Series B 44,600 31,009 * Brunel International NV 22,100 144,380 Buhrmann NV 260,044 1,976,312 Delft Instruments NV 2,680 46,101 Docdata NV 7,400 31,845 *# Draka Holding NV 67,000 1,209,537 * Econosto NV 23,804 38,522 Gamma Holding NV 58,811 2,442,762 Gemeenschappeljk Bezit Crown van Gelder NV 14,320 231,737 Grontmij NV 6,100 154,361 # Hagemeyer NV 210,449 580,222 Heijmans NV 34,300 709,255 * Ispat International NV 163,245 1,134,978 # KLM (Koninklijke Luchtvaart Mij) NV 133,819 2,115,836 Kas Bank NV 90,720 1,687,774 * Kendrion NV 13,922 68,924 # Koninklijke Bam NV 81,843 2,142,662 Koninklijke Nedlloyd NV 63,175 2,093,919 # Koninklijke Ten Cate NV 44,707 1,895,527 Koninklijke Vopak NV 96,886 1,742,094 MacIntosh NV 23,191 404,485 * Maverix Capital NV 900 40,996 * New Skies Satellites NV 243,120 1,681,574 Nutreco Holding NV 19,168 522,730 Roto Smeets de Boer NV 20,904 654,017 * SNT Groep NV 18,100 273,381 * Samas-Groep NV, Zaandam 24,730 130,732 * Seagull Holding NV 2,000 4,267 * Semiconductor Industries NV 108,700 800,050 Smit Internationale NV 10,692 313,883 Stork NV 92,187 1,786,895 * Textielgroep Twenthe NV 1,200 3,596 * Tulip Computers NV 38,643 $ 12,507 Twentsche Kabel Holding NV 22,000 498,430 Univar NV 19,493 309,609 Van Der Mollen Holding NV 55,600 396,562 Vedior NV 47,622 720,992 * Versatel Telecom International NV 31,200 63,580 * Wegener Arcade NV 108,300 912,648 --------------- TOTAL COMMON STOCKS (Cost $22,228,904) 30,124,953 --------------- RIGHTS/WARRANTS -- (0.0%) * Versatel Telecom International Warrants 10/08/04 (Cost $308) 31,200 5,984 --------------- TOTAL -- NETHERLANDS (Cost $22,229,212) 30,130,937 --------------- SPAIN -- (2.0%) COMMON STOCKS -- (2.0%) * Amper SA 101,200 464,621 *# Avanzit SA 76,700 242,727 CAF (Construcciones y Auxiliar de Ferrocarriles SA) 11,875 861,209 * Cie Automotive SA 17,839 188,821 Cortefiel SA 383,700 3,242,652 * Dogi International Fabrics SA 21,900 98,445 * Ercros SA 630,100 279,467 * Espanola del Zinc SA 28,400 51,406 Europistas Concesionaria Espanola SA 232,238 1,383,595 Funespana SA 25,500 155,894 Global Steel Wire SA 73,031 126,939 Grupo Empresarial Ence SA 82,280 1,666,865 *# Grupo Picking Pack SA 1,079,666 621,227 Iberpapel Gestion SA 35,573 652,426 Inbesos SA 16,000 63,484 Inmobiliaria Colonial SA ICSA 79,400 1,701,796 Inmobiliaria Urbis SA 288,600 2,629,235 * LSB (La Seda de Barcelona SA) Series B 101,500 220,224 * Mecalux SA 62,500 258,475 Metrovacesa SA 27,947 851,254 * Nicolas Correa SA 8,000 27,331 # Obrascon Huarte Lain SA 365,700 2,340,915 * Parques Reunidos SA 74,900 558,459 Pescanova SA 40,556 621,792 Sol Melia SA 111,200 790,458 Tavex Algodonera SA 85,184 333,907 * Tecnocom Telecomunicaciones y Energia SA 35,910 192,417 Tubacex SA 482,310 826,764 Unipapel SA 58,862 1,056,273 * Unipapel SA Shares Issue 11,772 211,247 # Uralita SA 224,280 1,965,293 Vidrala SA, Alava 10,880 155,071 Viscofan Industria Navarra de Envolturas Celulosicas SA 24,102 201,943 --------------- TOTAL -- SPAIN (Cost $14,033,978) 25,042,632 ---------------
56
SHARES VALUE+ ------ ------ FINLAND -- (2.0%) COMMON STOCKS -- (2.0%) * Amanda Capital Oyj 120,395 $ 25,978 Amer-Yhtymae Oyj Series A 80,600 3,371,940 Aspocomp Group P.L.C. 38,850 479,676 Bank of Aland, Ltd. 5,700 133,922 * Benefon Oy 19,000 9,338 * Efore Oy 9,400 94,877 Elcoteq Network Corp. 23,700 471,602 * Eq Online Oyj 23,440 60,692 * Evox Rifa Group Oyj 120,395 20,205 Finnair Oyj 288,900 1,859,693 # Fiskars Oy AB Series A 40,000 522,644 HK Ruokatalo Oy Series A 72,800 580,327 * Honkarakenne Oy Series B 15,900 114,358 Huhtamaki Van Leer Oyj 178,400 1,971,720 Ilkka-Yhtyma Oyj 2,400 86,308 Julius Tallberg-Kiinteistoet Oy, Helsinki Series B 11,601 101,656 Kemira Oyj 123,100 1,350,201 Laennen Tehtaat Oy 12,500 175,463 Lemminkainen Oy 23,600 579,943 Leo Longlife Oy 15,600 175,781 Metsaemarkka Oyj Series B 1,300 10,129 * Okmetic Oyj 61,975 260,018 Okobank Class A 77,340 1,640,029 Olvi Oyj Series A 15,000 258,745 * Polar Real Estate Corp. Series K 660,800 609,930 # Raisio Group P.L.C. Series V 476,248 770,702 * Rautaruukki Oyj Series K 402,710 2,968,841 Raute Oy Series A 11,200 107,674 Sponda Oyj 197,028 1,523,376 * Stonesoft Corp. 210,298 171,421 Tamfelt Oyj 1,400 24,586 * Tecnomen Holding Oyj 213,197 314,344 Tulikivi Oy 5,900 197,605 Turkistuottajat Oy 500 4,495 # Wartsila Corp. Oyj Series B 101,600 1,887,751 Yit-Yhtymae Oyj 53,100 1,693,150 * Yomi Oyj 9,200 39,591 --------------- TOTAL -- FINLAND (Cost $15,106,408) 24,668,711 --------------- NORWAY -- (1.6%) COMMON STOCKS -- (1.6%) ABG Sundal Collier ASA 93,000 63,377 *# Aker Kvaerner ASA 126,503 2,094,961 Bonheur ASA 37,055 809,151 * C. Tybring-Gjedde ASA 1,630,200 59,728 * Choice Hotel Scandinavia ASA 13,000 35,056 * Crystal Production 31 1 * DOF ASA 30,000 56,277 * Dale of Norway Holding ASA 18,200 8,535 Den Norske Oljeselkapet 154,800 589,849 * EDB Elektronisk Data Behandling ASA 75,000 425,372 Farstad Shipping ASA 65,000 547,744 *# Fjord Seafood ASA 1,241,246 596,662 *# Fred Olsen Energy ASA 294,000 1,034,082 Ganger Rolf ASA 29,450 561,081 * Gresvig ASA 13,300 $ 48,924 * Hafslund ASA 45,500 234,720 * Home Invest ASA 7,066 5,178 * Kenor ASA 146,433 131,337 Kverneland ASA 39,457 410,562 * Merkantildata ASA 1,286,200 923,637 * Nera ASA 660,611 1,403,817 *# Ocean Rig ASA 168,549 279,127 Odfjell ASA Series A 88,474 1,737,469 *# Petroleum Geo-Services ASA (New) 30,590 1,131,977 * Petrolia Drilling ASA 73,000 428 * Raufoss Ammunisjonfabrikker ASA 3,100 1,045 * SAS AB 38,000 377,302 * Scana Industrier ASA 33,500 2,946 * Sinvest ASA 260,954 3,442 # Smedvig ASA Series A 281,900 1,900,420 * Software Innovation ASA 47,062 141,391 Solstad Offshore ASA 60,600 368,568 * Tandberg Data ASA 107,700 295,157 *# Tandberg Storage ASA 107,700 23,044 * Tandberg Television ASA 209,900 876,706 Veidekke ASA 7,000 53,858 Wilhelmshaven (Wilhelm), Ltd. ASA 120,700 3,095,579 --------------- TOTAL COMMON STOCKS (Cost $16,696,594) 20,328,510 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone (Cost $21,955) 22,965 --------------- TOTAL -- NORWAY (Cost $16,718,549) 20,351,475 --------------- DENMARK -- (1.6%) COMMON STOCKS -- (1.6%) AS Dampskibsselsk Torm 36,570 860,247 Aarhus Oliefabrik A.S. Aeries A 6,770 342,503 * Alm. Brand A.S. 35,055 756,833 Amagerbanken A.S. 4,226 415,341 Ambu International A.S. Series B 608 63,674 Amtssparekassen Fyn A.S. 4,181 470,872 * Andersen & Martini Series B 3,500 12,124 * Bording (F.E.) A.S. Series B 475 17,220 Brodrene Hartmann A.S. Series B 13,560 286,205 * Codan A.S. 52,875 1,661,233 DFDS A.S., Copenhagen 10,520 305,094 Dalhoff, Larsen & Hornemann A.S. Series B 1,813 72,443 * Danionics A.S. Series A 12,586 23,117 * Denka Holding A.S. 400 25,457 DiskontoBanken A.S. 976 172,191 Djursland Bank 473 116,981 East Asiatic Co., Ltd. 46,252 1,766,137 Egnsbank Han Herred 3,181 187,069 *# FLS Industries 72,186 773,428 * Foras Holding A.S. Series A 19,779 183,239 Forstaedernes Bank 6,931 331,664 * Genmab A.S. 25,392 220,921 * Gn Great Nordic A.S. 48,710 309,214 H&H International A.S. Series B 500 95,865
57
SHARES VALUE+ ------ ------ Haandvaerkerbanken I Naestved 622 $ 105,226 * Harboes Bryggeri A.S. 460 90,420 Hedegaard (Peder P.) A.S. 1,406 95,483 Hojgaard Holding A.S. Series B 7,075 170,987 * Junckers (F.) Industrier A.S. 3,475 33,033 Kompan A.S. 310 34,213 Lan & Spar Bank A.S. 5,706 209,610 Lokalbanken I Nordsjaelland A.S. 690 125,068 * Migatronic Series B 1,294 22,934 Mons Bank A.S. 424 43,380 * Morso Bank 240 28,035 * NTR Holdings A.S. 1,650 10,102 *# Neg Micon A.S. 29,510 318,559 Nordiske Kabel-Og Traadfabrikker Holding A.S. 26,325 485,646 Nordjyske Bank A.S. 1,203 197,702 Norresundby Bank 439 135,096 Ove Arkil Series B 680 65,736 Per Aarsleff A.S. Series B 2,240 67,128 Ringkjobing Bank 3,440 206,734 * Ringkjobing Landbobank 2,565 590,975 Rockwool, Ltd. 12,760 312,493 Salling Bank 500 40,280 Sanistal A.S. Series B 1,370 66,220 * Scanbox Danmark A.S. Series B 3,400 1,057 Scandinavian Brake Systems A.S. 510 20,953 Schouw & Co. A.S. 12,485 209,203 Skaelskor Bank 720 73,663 * Skjern Bank A.S. 1,530 103,535 * Spaencom A.S. 300 14,501 Spar Nord Holding 11,919 944,823 Sparbank Vest A.S. 2,374 416,920 Sparekassen Faaborg A.S. 1,634 329,085 Sydbank A.S. 17,570 2,106,155 * TK Development 12,240 33,526 * Topdanmark A.S. 24,600 1,244,544 * Torsana A.S. Series B 200 2,256 Totalbanken A.S. 600 65,253 Treka A.S. 26,230 414,162 VT Holdings Shares B 4,200 177,972 Vestfyns Bank 500 44,710 Vestjysk Bank A.S. 1,942 518,149 * Wessel & Vett Magasin du Nord A.S. Series C 6,498 143,432 --------------- TOTAL COMMON STOCKS (Cost $13,112,928) 19,788,031 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone (Cost $152,135) 152,036 --------------- TOTAL -- DENMARK (Cost $13,265,063) 19,940,067 --------------- BELGIUM -- (1.3%) COMMON STOCKS -- (1.3%) Ackermans & Van Haaren SA 3,300 70,809 Bekaert SA 39,600 2,216,825 CFE (Compagnie Francois d'Entreprises) 2,996 721,867 Cie Martime Belge SA 43,100 2,552,252 Cofinimmo SA 15,405 $ 1,990,673 * Exmar NV 29,600 1,188,655 Floridienne NV 1,900 110,463 Immobel (Cie Immobiliere de Belgique SA) 24,150 958,218 * Integrated Production & Test Engineering NV 28,600 116,564 *# Ion Beam Application SA 144,000 699,096 * Ipso-Ilg SA 27,200 195,632 Nord-Sumatra Investissements SA 421 99,419 Papeteries de Catala SA 450 51,246 * Quick Restaurants SA 38,332 408,951 * Quick Restaurants VVPR 27,380 328 Recticel SA 58,686 538,165 Rosier SA 200 22,224 * Sait Radioholland 11,000 68,567 Sapec SA 6,401 345,670 Societe Belge Des Betons SA 12,520 459,246 * Solvus SA 146,000 1,795,641 Spector Photo Group SA 11,701 167,614 * Systemat SA 36,500 165,826 * Telindus Group SA 177,900 1,539,687 * Ubizen 202,600 216,147 --------------- TOTAL -- BELGIUM (Cost $13,560,408) 16,699,785 --------------- NEW ZEALAND -- (1.2%) COMMON STOCKS -- (1.2%) * AFFCO Holdings, Ltd. 2,642,860 388,418 CDL Hotels NZ, Ltd. 1,706,000 436,050 CDL Investments NZ, Ltd. 656,470 121,649 Colonial Motor Co., Ltd. 77,580 140,788 * Evergreen Forests, Ltd. 648,900 186,589 Fisher & Paykel Apppliances Holdings, Ltd. 131,412 317,412 Fletcher Building, Ltd. 264,045 679,954 *# Fletcher Challenge Forests, Ltd. 907,160 759,367 Hellaby Holdings, Ltd. 149,400 459,190 Independent Newspapers, Ltd. (Auckland) 1,456,541 4,681,526 * Kingsgate International Corp., Ltd. 1,021,800 156,702 * Met Lifecare, Ltd. 161,905 227,604 * New Zealand Oil & Gas, Ltd. 308,137 70,883 New Zealand Refining Co., Ltd. 12,100 126,493 * Pan Pacific Petroleum NL 374,079 23,903 Pyne Gould Guinness, Ltd. 246,048 196,529 * Richina Pacific, Ltd. 704,552 153,070 * Rubicon, Ltd. 1,112,622 547,438 Sanford, Ltd. 323,500 1,103,856 South Port New Zealand, Ltd. 71,088 65,866 Steel & Tube Holdings, Ltd. 250,000 594,264 * Tasman Farms 228,576 0 Taylors Group, Ltd. 42,000 59,848 Tourism Holdings, Ltd. 478,921 437,620 *# Tower, Ltd. 1,999,916 1,610,197 * Trans Tasman Properties, Ltd. 2,902,740 667,740 Williams & Kettle, Ltd. 45,022 139,241 Wrightson, Ltd. 480,700 417,744 --------------- TOTAL -- NEW ZEALAND (Cost $9,156,975) 14,769,941 ---------------
58
SHARES VALUE+ ------ ------ AUSTRIA -- (1.1%) COMMON STOCKS -- (1.1%) Allgemeine Sparkasse Baugesellschaft 120 $ 13,002 * Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 106,666 831,110 BBAG Oesterreichische Brau- Beteiligungs AG 20,882 3,091,173 Bohler Uddeholm AG 34,980 2,261,360 Brau Union Goess-Reinighaus AG 23,900 3,629,321 Constantia-Iso Holding AG 17,000 173,216 Flughafen Wien AG 37,104 1,578,950 Frauenthal Holding AG 1,308 26,655 * General Partners Inmobilienbesitz AG 5,900 10,892 Linz Textil Holding AG 200 33,564 * Rhi AG, Wien 31,752 501,275 Rosenbauer International AG 1,462 75,289 * Va Technologie AG 48,360 1,344,332 --------------- TOTAL -- AUSTRIA (Cost $7,915,319) 13,570,139 --------------- IRELAND -- (0.9%) COMMON STOCKS -- (0.9%) Abbey P.L.C. 82,403 632,182 * Arcon International Resources P.L.C. 441,600 22,233 * Ardagh P.L.C. 77,019 64,904 * Barlo Group P.L.C. 920,768 419,424 * Dragon Oil P.L.C. 555,000 306,034 Greencore Group P.L.C. 167,534 612,523 Heiton Holdings P.L.C. 211,378 937,521 IFG Group P.L.C. 307,277 353,607 * Iona Technologies P.L.C. 146,143 674,463 Irish Intercontental Group P.L.C. 100,000 1,210,712 Jurys Hotel Group P.L.C. 335,613 4,063,306 * Oakhill Group P.L.C. 69,119 11,600 Readymix P.L.C. 80,250 177,966 Ryan Hotels P.L.C. 418,106 526,254 Waterford Wedgwood P.L.C. 4,141,874 1,390,190 --------------- TOTAL -- IRELAND (Cost $8,212,821) 11,402,919 --------------- PORTUGAL -- (0.1%) COMMON STOCKS -- (0.1%) * Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 482,400 526,221 * EFACEC (Empresa Fabril de Maquinas Electricas) 59,400 227,853 * Investimentos Participacoes e Gestao SA Inapa 86,636 273,132 * Papelaria Fernandes-Industria e Comercia SA 2,000 9,662 * Sociedad Construcoes Soares da Costa SA 3,000 6,905 * Sonae Industria-Sociedade Gestora de Participacoes Sociais SA 18,110 $ 50,365 --------------- TOTAL -- PORTUGAL (Cost $970,187) 1,094,138 --------------- EMU -- (0.1%) INVESTMENT IN CURRENCY -- (0.1%) * Euro Currency (Cost $1,061,121) 1,081,770 --------------- CANADA -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Canadian Dollars (Cost $335,686) 410,614 --------------- MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Promet Berhad 201,000 15,339 * Rekapacific Berhad 130,000 0 * Saship Holdings Berhad 361,000 84,550 * Wing Tiek Holdings Berhad 86,000 20,142 --------------- TOTAL -- MALAYSIA (Cost $663,374) 120,031 --------------- FACE AMOUNT ------ (000) TEMPORARY CASH INVESTMENTS -- (15.1%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $50,239,000 FNMA Discount Notes 1.10%, 01/09/04, valued at $50,176,201) to be repurchased at $49,437,378 (Cost $49,434,000) $ 49,434 49,434,000 Repurchase agreements in a Pooled Cash Account, Mizuho Securities USA, 1.05%, 12/01/03 (Collateralized by $246,152,000 U.S. Treasury Obligations, rates ranging from 1.857% to 11.625%, maturities ranging from 02/15/04 to 05/15/30, valued at $140,811,416) to be repurchased at $140,823,737 (Cost $140,811,416)^ 140,811 140,811,416 TOTAL TEMPORARY CASH INVESTMENTS (Cost $190,245,416) 190,245,416 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,079,203,735)++ $ 1,257,044,668 ===============
------ + See Note B to Financial Statements. ^ Security purchased with cash proceeds from securities on loan * Non-Income Producing Securities # Total or Partial Securities on Loan ++ The cost for federal income tax purposes is $1,084,341,947. See accompanying Notes to Financial Statements. 59 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULES OF INVESTMENTS EMERGING MARKETS PORTFOLIO NOVEMBER 30, 2003
VALUE+ ------ Investment in The Emerging Markets Series of The DFA Investment Trust Company $ 594,287,832 ----------------- Total Investments (100%) (Cost $498,055,432)++ $ 594,287,832 =================
---------- ++The cost for federal income tax purposes is $498,852,706. EMERGING MARKETS SMALL CAP PORTFOLIO NOVEMBER 30, 2003
VALUE+ ------ Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company $ 84,380,319 ----------------- Total Investments (100%) (Cost $68,473,410)++ $ 84,380,319 =================
---------- ++The cost for federal income tax purposes is $68,689,030. DFA ONE-YEAR FIXED INCOME PORTFOLIO NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ Investment in The DFA One-Year Fixed Income Series of The DFA Investment Trust Company $ 1,454,912,878 ----------------- Total Investments (100%) (Cost $1,441,362,410)++ 144,050,780 $ 1,454,912,878 =================
---------- ++The cost for federal income tax purposes is $1,447,932,919. DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ Investment in The DFA Two-Year Global Fixed Income Series of The DFA Investment Trust Company $ 1,195,198,109 ----------------- Total Investments (100%) (Cost $1,182,924,901)++ 117,985,993 $ 1,195,198,109 =================
---------- ++The cost for federal income tax purposes is $1,191,361,800 ---------- +See Note B to Financial Statements. See accompanying Notes to Financial Statements. 60 DFA FIVE-YEAR GOVERNMENT PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
FACE AMOUNT VALUE+ ----- ------ (000) AGENCY OBLIGATIONS -- (99.3%) Federal Farm Credit Bank 3.650%, 12/03/07 $ 7,760 $ 7,845,065 3.000%, 04/15/08 67,550 66,150,769 3.625%, 10/24/08 83,000 82,741,953 Federal Home Loan Bank 5.925%, 04/09/08 15,000 16,496,115 2.625%, 07/15/08 46,500 44,681,385 3.000%, 07/28/08 1,000 974,331 5.945%, 07/28/08 3,000 3,304,098 3.750%, 08/15/08 49,400 49,585,003 5.500%, 08/15/08 10,000 10,796,450 5.800%, 09/02/08 53,300 58,376,452 5.865%, 09/02/08 2,670 2,933,043 3.625%, 11/14/08 2,000 1,994,420 Tennessee Valley Authority 5.375%, 11/13/08 47,360 50,975,510 --------------- TOTAL AGENCY OBLIGATIONS (Cost $400,056,170) 396,854,594 --------------- TEMPORARY CASH INVESTMENTS -- (0.7%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $3,001,000 FMC Discount Notes 1.11%, 03/25/04, valued at $2,989,746) to be repurchased at $2,945,201 (Cost $2,945,000) 2,945 2,945,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $403,001,170)++ $ 399,799,594 ===============
------- + See Note B to Financial Statements. ++ The cost for federal income tax purposes is $403,001,170. See accompanying Notes to Financial Statements. 61 DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
FACE AMOUNT VALUE+ ------ ------ (000) UNITED STATES -- (99.3%) BONDS -- (70.1%) African Development Bank 3.250%, 08/01/08 $ 23,000 $ 22,654,724 Bank Austria Creditanstalt AG 5.375%, 12/28/07 22,800 24,382,320 Bayerische Landesbank 2.875%, 10/15/08 7,600 7,274,044 Canadian Government 5.250%, 11/05/08 26,300 28,460,019 Chevron Texaco Capital Corp. 3.375%, 02/15/08 20,620 20,593,441 Citigroup, Inc. 3.500%, 02/01/08 26,050 25,978,258 Deutsche Bahn Finance NV 4.500%, 07/25/07 2,000 2,076,800 Eksportfinans ASA 3.875%, 11/05/07 21,000 21,411,600 European Investment Bank 5.375%, 09/16/08 24,200 26,149,552 Fifth Third Bank 3.375%, 08/15/08 21,035 20,791,541 General Electric Capital Corp. 4.250%, 01/15/08 22,050 22,662,307 Gillette Co. 2.875%, 03/15/08 21,300 20,857,109 Inter-American Development Bank Corporate Bonds 3.375%, 03/17/08 23,050 23,123,022 International Finance Corp. 3.000%, 04/15/08 23,500 23,025,559 KFW International Finance, Inc. Corporate Bonds 3.375%, 01/23/08 22,050 22,082,259 Landesbank Baden-Wuerttemberg 5.750%, 02/25/08 20,000 21,664,000 3.000%, 09/30/08 24,200 23,532,080 Landwirtschaft Rentenbank 3.250%, 06/16/08 17,500 17,172,295 3.875%, 09/04/08 6,300 6,333,163 Nippon Telegraph & Telephone Corp. 6.000%, 03/25/08 15,110 16,550,300 Ontario Hydro 6.100%, 01/30/08 14,600 16,078,922 Ontario Province Bond Corp. 5.500%, 10/01/08 26,520 28,633,246 Osterreich Postsparkas 6.000%, 04/16/08 17,150 18,852,995 Pfizer, Inc. 6.000%, 01/15/08 4,500 4,943,921 Proctor & Gamble Co. 6.125%, 05/08/08 24,400 26,822,920 Province of British Columbia 5.375%, 10/29/08 $ 7,670 $ 8,251,194 Rabobank 5.500%, 09/17/08 25,000 26,952,700 Republic of Austria 6.250%, 05/19/08 17,657 19,802,326 Siemens Capital Co., Ltd. 6.000%, 02/11/08 24,200 26,355,421 Total Fina ELF Capital SA 4.750%, 06/27/07 18,300 19,227,810 Toyota Motor Credit Corp. 2.875%, 08/01/08 23,500 22,857,839 Wal-Mart Stores, Inc. 3.375%, 10/01/08 25,000 24,632,300 Wells Fargo & Co. Corporate Bonds 3.500%, 04/04/08 26,550 26,463,314 World Bank (International Bank for Reconstruction & Development) Corporate Bonds 5.000%, 10/29/08 4,260 4,530,382 --------------- TOTAL BONDS (Cost $676,735,154) 671,179,683 --------------- AGENCY OBLIGATIONS -- (29.2%) Federal Farm Credit Bank 3.000%, 04/15/08 12,000 11,751,432 3.625%, 10/24/08 72,000 71,776,152 Federal Home Loan Bank 2.750%, 03/14/08 8,000 7,799,824 2.625%, 07/15/08 25,000 24,022,250 5.800%, 09/02/08 15,500 16,976,267 3.625%, 11/14/08 15,000 14,958,150 Federal Home Loan Mortgage Corporation 2.750%, 03/15/08 20,000 19,490,640 5.750%, 04/15/08 13,500 14,764,113 3.625%, 09/15/08 35,000 35,046,165 Federal National Mortgage Association 6.000%, 05/15/08 46,500 51,300,846 3.250%, 08/15/08 12,000 11,825,052 --------------- TOTAL AGENCY OBLIGATIONS (Cost $281,897,999) 279,710,891 --------------- TOTAL -- UNITED STATES (Cost $958,633,153) 950,890,574 --------------- UNITED KINGDOM -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling (Cost $5,364) 5,931 ---------------
62
FACE AMOUNT VALUE+ ------ ------ (000) TEMPORARY CASH INVESTMENTS -- (0.7%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $6,744,000 U.S. Treasury Notes 3.00%, 02/29/04, valued at $6,828,300) to be repurchased at $6,728,460 (Cost $6,728,000) $ 6,728 $ 6,728,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $965,366,517)++ $ 957,624,505 ===============
------- + See Note B to Financial Statements. * Non-Income Producing Securities ++ The cost for federal income tax purposes is $965,366,517. See accompanying Notes to Financial Statements. 63 DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
FACE AMOUNT VALUE+ ------ ------ (000) U.S. TREASURY OBLIGATIONS -- (34.6%) U.S. Treasury Bonds 11.250%, 02/15/15 $ 5,000 $ 7,974,025 10.625%, 08/15/15 6,000 9,301,638 9.875%, 11/15/15 6,000 8,906,016 9.250%, 02/15/16 9,000 12,847,850 7.250%, 05/15/16 6,000 7,439,532 9.000%, 11/15/18 2,200 3,151,671 U.S. Treasury Notes 5.625%, 05/15/08 11,000 12,115,466 5.500%, 05/15/09 5,000 5,525,390 6.000%, 08/15/09 10,000 11,260,550 6.500%, 02/15/10 4,000 4,620,468 5.750%, 08/15/10 3,600 4,011,610 5.000%, 08/15/11 5,500 5,852,561 3.875%, 02/15/13 10,300 10,014,340 7.500%, 11/15/16 4,000 5,059,532 --------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $102,678,971) 108,080,649 --------------- AGENCY OBLIGATIONS -- (64.5%) Federal Farm Credit Bank 6.400%, 10/09/07 2,500 2,779,537 6.000%, 01/07/08 5,000 5,495,100 6.450%, 10/07/09 2,000 2,248,854 7.160%, 05/19/10 3,000 3,496,767 6.700%, 11/22/10 2,000 2,287,100 6.135%, 12/13/10 4,000 4,428,572 5.750%, 01/18/11 9,000 9,768,483 6.000%, 03/07/11 9,000 9,912,942 6.740%, 04/11/11 1,000 1,143,805 6.260%, 12/02/11 2,000 2,222,888 6.280%, 11/26/12 3,000 3,353,547 8.160%, 09/30/14 3,615 4,614,103 Federal Home Loan Bank 6.370%, 09/26/07 7,425 8,244,549 6.200%, 10/10/07 2,000 2,209,306 5.895%, 01/14/08 2,100 2,299,825 6.030%, 01/30/08 2,000 2,201,244 7.000%, 02/15/08 2,000 2,281,296 5.905%, 03/27/08 $ 4,000 $ 4,386,776 6.185%, 05/06/08 1,000 1,110,302 6.045%, 05/22/08 1,000 1,104,863 5.945%, 07/28/08 6,000 6,608,196 5.915%, 08/25/08 3,000 3,300,687 5.800%, 09/02/08 3,000 3,285,729 5.550%, 11/17/08 5,000 5,420,530 5.315%, 12/23/08 10,000 10,731,600 5.545%, 02/17/09 3,000 3,251,010 5.950%, 03/16/09 5,550 6,123,149 5.863%, 04/22/09 9,000 9,890,820 6.730%, 06/22/09 2,500 2,857,958 6.500%, 11/13/09 9,000 10,172,745 3.875%, 02/12/10 3,000 2,956,410 7.375%, 02/12/10 2,080 2,451,494 4.125%, 08/13/10 9,000 8,925,597 6.625%, 11/15/10 1,000 1,139,035 7.200%, 06/14/11 3,000 3,540,033 5.750%, 05/15/12 6,500 7,038,941 4.500%, 11/15/12 8,000 7,937,416 Tennessee Valley Authority 5.375%, 11/13/08 8,000 8,610,728 5.625%, 01/18/11 11,000 11,849,365 6.000%, 03/15/13 9,000 9,876,978 --------------- TOTAL AGENCY OBLIGATIONS (Cost $186,220,631) 201,558,280 --------------- TEMPORARY CASH INVESTMENTS -- (0.9%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by FMC Discount Notes 1.11%, 03/25/04, valued at $2,789,500) to be repurchased at $2,748,188 (Cost $2,748,000) 2,748 2,748,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $291,647,602)++ $ 312,386,929 ===============
------- + See Note B to Financial Statements. ++ The cost for federal income tax purposes is $291,647,602. See accompanying Notes to Financial Statements. 64 DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
FACE AMOUNT VALUE+ ------ ------ (000) MUNICIPAL BONDS -- (65.8%) Alabama -- (2.9%) Alabama State Department of Dock Facilities Revenue Bonds 6.000%, 10/01/08 $ 1,000 $ 1,154,490 Alabama Water Pollution Control Authority Revenue Bonds 5.000%, 08/15/08 2,160 2,390,213 Huntsville, Alabama General Obligations 4.500%, 08/01/07 1,000 1,080,090 Jefferson County, Alabama Series A General Obligations 5.000%, 04/01/08 1,300 1,430,858 --------------- 6,055,651 --------------- Arizona -- (3.3%) Arizona State Transportation Board Revenue Bonds 5.250%, 07/01/08 3,000 3,373,080 City of Scottsdale, Arizona General Obligations 5.000%, 07/01/08 2,250 2,500,357 Pima County, Arizona General Obligations 5.100%, 07/01/07 1,000 1,101,770 --------------- 6,975,207 --------------- Colorado -- (1.0%) Denver, Colorado City & County Special Facilities Airport Redevelopment Series A Revenue Bonds 5.500%, 01/01/08 1,000 1,100,470 Jefferson County, Colorado School District General Obligations 5.500%, 12/15/06 1,000 1,108,430 --------------- 2,208,900 --------------- Delaware -- (1.0%) Delaware Transportation Authority Series B Revenue Bonds 5.250%, 07/01/07 1,000 1,111,290 State of Delaware Series B General Obligations 5.000%, 05/01/07 1,000 1,098,430 --------------- 2,209,720 --------------- Florida -- (2.1%) Florida State Board of Education Series H General Obligations 5.000%, 06/01/08 2,000 2,221,400 Jacksonville, Florida Excise Taxes Revenue Bonds 5.250%, 10/01/07 1,000 1,116,030 Tallahassee, Florida Energy Systems 2.750%, 10/01/05 $ 1,000 $ 1,023,720 --------------- 4,361,150 --------------- Georgia -- (2.2%) State of Georgia General Obligations 5.250%, 08/01/07 1,000 1,111,910 State of Georgia General Obligations 5.750%, 09/01/07 1,000 1,131,900 State of Georgia General Obligations 6.700%, 08/01/08 2,000 2,375,500 --------------- 4,619,310 --------------- Hawaii -- (1.0%) State of Hawaii General Obligations 5.000%, 04/01/08 2,000 2,204,780 --------------- Illinois -- (4.6%) Central Lake County, Illinois General Obligations 6.000%, 02/01/08 1,000 1,140,470 Chicago Metropolitan Water Reclamation District General Obligations 5.500%, 12/01/08 2,000 2,273,540 Chicago, Illinois Public Building Commission Revenue Bonds 5.000%, 03/01/08 1,000 1,103,040 Chicago, Illinois Tax Increment 5.500%, 01/01/07 970 1,069,309 Du Page, Cook & Will Counties Community College District General Obligations 5.000%, 06/01/08 2,175 2,403,049 Du Page, Illinois Water Commission General Obligations 5.000%, 03/01/07 1,000 1,089,810 State of Illinios First Series General Obligations 5.250%, 04/01/07 600 660,624 --------------- 9,739,842 --------------- Indiana -- (2.1%) Indianapolis, Indiana Local Improvement Revenue Bonds 6.500%, 01/01/08 1,000 1,156,250 Ivy Technical State College Revenue Bonds 5.000%, 07/01/08 1,000 1,103,040 Logansport Multi-Purpose School Building Corp. Revenue Bonds 4.250%, 07/05/08 1,000 1,071,010 Valparaiso, Indiana School Building Corp. 4.500%, 01/05/07 1,000 1,073,260 --------------- 4,403,560 ---------------
65
FACE AMOUNT VALUE+ ------ ------ (000) Kansas -- (1.6%) Johnson County, Kansas General Obligations 5.250%, 09/01/07 $ 1,000 $ 1,109,780 Kansas State Development Finance Authority Revenue Bonds 5.000%, 10/01/07 1,000 1,103,380 Wyandotte County, Kansas City, Kansas 5.000%, 09/01/07 1,000 1,101,220 --------------- 3,314,380 --------------- Kentucky -- (1.6%) Kentucky State Turnpike Authority Revenue Bonds 5.500%, 07/01/08 3,000 3,385,980 --------------- Louisiana -- (1.9%) Calcasieu Parish, Louisiana General Obligations 4.600%, 08/15/06 700 750,645 New Orleans, Louisana Certificates of Indebtedness General Obligations 5.000%, 03/01/08 1,000 1,103,040 Shreveport, Lousianna Series A Certificates of Indebtedness 5.000%, 10/01/07 1,000 1,102,220 St. Tammany Parish, Louisiana 6.000%, 04/01/07 1,000 1,122,970 --------------- 4,078,875 --------------- Maryland -- (1.6%) State of Maryland General Obligations 5.000%, 07/15/08 2,000 2,228,040 Washington Suburban Sanitation District General Obligations 5.250%, 06/01/08 1,000 1,122,210 --------------- 3,350,250 --------------- Massachusetts -- (1.6%) Boston, Massachusetts Series A General Obligations 5.000%, 02/01/08 1,000 1,103,180 State of Massachusetts Series C General Obligations 5.250%, 12/01/07 2,000 2,229,600 --------------- 3,332,780 --------------- Michigan -- (4.2%) Detroit, Michigan City School District Series B General Obligations 4.500%, 05/01/08 1,000 1,088,760 Fraser Public School District General Obligations 5.150%, 05/01/08 1,000 1,115,850 Michigan Municipal Bond Authority Revenue Bonds 5.250%, 10/01/07 1,000 1,117,200 Michigan Municipal Bond Authority Revenue Bonds 5.250%, 10/01/08 $ 3,000 $ 3,386,640 Michigan State Comprehensive Transportation Series A Revenue Bonds 5.750%, 05/15/07 1,000 1,122,270 Wayne County, Michigan Community College General Obligations 5.000%, 07/01/07 1,000 1,099,070 --------------- 8,929,790 --------------- Minnesota -- (1.6%) Metropolitan Council of Minneapolis and St. Paul General Obligations 4.000%, 02/01/08 1,200 1,278,492 State of Minnesota General Obligations 6.000%, 08/01/05 1,000 1,076,110 State of Minnesota General Obligations 5.000%, 11/01/07 1,000 1,109,520 --------------- 3,464,122 --------------- Mississippi -- (0.5%) Rankin County, Mississippi School District 4.500%, 02/01/07 1,000 1,074,280 --------------- Missouri -- (1.6%) State of Missouri General Obligations 5.000%, 08/01/08 3,000 3,342,390 --------------- Nevada -- (1.1%) Clark County, Nevada School District General Obligations 5.500%, 06/15/07 2,000 2,233,280 --------------- New Hampshire -- (0.5%) New Hampshire State Turnpike Systems Revenue Bonds 5.000%, 10/01/06 1,000 1,088,100 --------------- New Jersey -- (0.5%) New Jersey State Transportation Trust Fund Authority 5.375%, 12/15/07 1,000 1,121,460 --------------- New Mexico -- (0.8%) New Mexico State Severance Tax Series 5.000%, 07/01/07 550 603,691 New Mexico State Severance Tax Series 5.000%, 07/01/07 1,000 1,097,260 --------------- 1,700,951 --------------- New York -- (1.1%) Long Island Power Authority Series A Revenue Bonds 5.250%, 12/01/05 1,000 1,074,850 Municipal Assistance Corp. for the City of New York 6.000%, 07/01/07 1,000 1,135,580 --------------- 2,210,430 ---------------
66
FACE AMOUNT VALUE+ ------ ------ (000) North Carolina -- (1.1%) North Carolina State Public Improvements General Obligations 5.500%, 03/01/08 $ 1,000 $ 1,127,840 University of North Carolina Revenue Bonds 5.000%, 04/01/08 1,000 1,111,960 --------------- 2,239,800 --------------- Ohio -- (3.7%) Franklin County, Ohio General Obligations 5.500%, 12/01/07 1,000 1,130,440 Ohio State Building Authority Revenue Bonds 5.500%, 10/01/08 1,500 1,709,595 Ohio State Higher Education Capital Facilities Series II Revenue Bonds 5.250%, 12/01/06 1,000 1,100,750 Ohio State Water Development Authority Revenue Bonds 5.000%, 06/01/08 2,500 2,780,150 State of Ohio Highway Improvement General Obligations 5.500%, 05/01/07 1,000 1,111,690 --------------- 7,832,625 --------------- Oklahoma -- (2.2%) Grand River Dam Authority of Oklahoma Revenue Bonds 5.750%, 06/01/08 4,000 4,538,920 --------------- Oregon -- (1.5%) Oregon State Department of Administrative Services Revenue Bonds 5.250%, 04/01/08 2,000 2,235,660 Oregon State Department of Transportation Revenue Bonds 5.000%, 11/15/06 900 983,457 --------------- 3,219,117 --------------- Pennsylvania -- (2.7%) Allegheny County, Pennsylvania Sanitation Authority 5.000%, 12/01/07 1,000 1,110,150 Berks County, Pennsylvania General Obligations 6.350%, 11/15/07 1,500 1,739,805 Pennsylvania Intergovernmental Cooperative Authority Special Tax 5.000%, 06/15/08 1,000 1,110,250 Pittsburgh, Pennsylvania School District General Obligations 5.000%, 09/01/07 1,000 1,103,490 State of Pennsylvania General Obligations 5.000%, 01/15/07 650 708,149 --------------- 5,771,844 --------------- South Carolina -- (0.5%) Piedmont Municipal Power Agency Electric Revenue Bonds Series 1985B 6.125%, 01/01/07 $ 1,000 $ 1,119,020 --------------- Tennessee -- (2.6%) Knox County, Tennessee General Obligations 4.500%, 04/01/08 2,000 2,167,400 Metro Government Nashville & Davidson Counties General Obligations 5.250%, 10/15/07 1,000 1,112,830 Metro Government Nashville & Davidson Counties General Obligations 5.000%, 11/15/08 2,000 2,232,860 --------------- 5,513,090 --------------- Texas -- (4.9%) Austin, Texas Electric Utility Systems Revenue Bonds 5.000%, 11/15/05 1,000 1,067,210 Dallas Fort Worth, Texas International Airport Revenue Bonds 5.500%, 11/01/07 1,000 1,110,310 Dallas, Texas Waterworks & Sewer System Revenue Bonds 5.250%, 10/01/08 3,000 3,369,150 Lower Colorado River Authority Revenue Bonds 5.250%, 05/15/08 1,000 1,116,550 San Antonio, Texas General Improvement General Obligations 5.000%, 08/01/07 1,000 1,100,910 Trinity River Authority Texas Regional Wastewater System Revenue Bond 5.500%, 08/01/08 2,200 2,486,902 --------------- 10,251,032 --------------- Utah -- (2.6%) Salt Lake City, Utah General Obligations 5.250%, 06/15/07 1,000 1,106,360 State of Utah General Obligations 4.000%, 07/01/08 3,000 3,205,800 Utah State Board of Regents Revenue Bonds 5.250%, 04/01/08 1,000 1,113,460 --------------- 5,425,620 --------------- Vermont -- (0.5%) Vermont Public Power Supply Authority 4.000%, 07/01/07 1,000 1,063,010 --------------- Virginia -- (0.5%) Richmond, Virginia General Obligations 5.000%, 07/15/07 1,000 1,101,940 --------------- Washington -- (2.1%) King County, Washington Sewer Revenue Bonds 5.250%, 01/01/08 2,000 2,218,440
67
FACE AMOUNT VALUE+ ------ ------ (000) Seattle, Washington Drain & Wastewater Revenue Bonds 4.000%, 07/01/08 $ 1,000 $ 1,063,680 State of Washington General Obligations 5.500%, 09/01/07 1,000 1,118,220 --------------- 4,400,340 --------------- Wisconsin -- (0.5%) Muskego Norway, Wisconsin School General Obligations 5.000%, 04/01/07 1,000 1,092,370 --------------- TOTAL MUNICIPAL BONDS (Cost $137,923,078) 138,973,916 --------------- TAX EXEMPT COMMERCIAL PAPER -- (33.4%) Arizona -- (0.5%) City of Mesa, Arizona Municipal Development 1.000%, 12/02/03 1,000 1,000,000 --------------- Connecticut -- (0.5%) State of Connecticut Health Education 1.000%, 12/12/03 1,000 1,000,000 --------------- Florida -- (2.8%) City of Gainesville, Florida 0.970%, 12/22/03 3,000 3,000,000 Miami-Dade County, Florida Airport 1.020%, 12/03/03 2,005 2,005,000 Sunshine State Government Finance 1.120%, 12/19/03 1,000 1,000,000 --------------- 6,005,000 --------------- Georgia -- (2.1%) Burke County, Georgia Development Authority 1.120%, 12/11/03 3,000 3,000 Burke County, Georgia Development Authority 1.120%, 12/29/03 1,500 1,500,000 --------------- Louisiana -- (1.7%) Louisiana Public Facility Authority 0.980%, 12/03/03 3,600 3,600,000 --------------- Maryland -- (2.6%) Maryland Health & Higher Education 0.970%, 12/03/03 1,000 1,000,000 Maryland Health & Higher Education 1.100%, 12/09/03 1,000 1,000,000 Montgomery, Maryland General Obligations 1.000%, 12/05/03 1,500 1,500,000 Montgomery, Maryland General Obligations 1.050%, 12/05/03 2,000 2,000,000 --------------- 5,500,000 --------------- Massachusetts -- (1.9%) Harvard University 1.100%, 12/04/03 2,100 2,100,000 Massachusetts Water Resource Authority 1.000%, 12/17/03 $ 2,000 $ 2,000,000 --------------- 4,100,000 --------------- Nebraska -- (1.4%) Omaha Public Power District 1.000%, 12/15/03 2,000 2,000,000 Omaha Public Power District 1.080%, 12/23/03 1,000 1,000,000 --------------- 3,000,000 --------------- New Jersey -- (1.2%) Princeton University 1.000%, 12/08/03 1,000 1,000,000 Princeton University 1.030%, 01/05/04 1,500 1,500,000 --------------- 2,500,000 --------------- New York -- (1.4%) Dormitory Authority of New York 1.120%, 12/15/03 3,000 3,000,000 --------------- South Carolina -- (1.7%) South Carolina Public Services Authority 1.000%, 12/01/03 1,500 1,500,000 South Carolina Public Services Authority 1.120%, 12/15/03 2,000 2,000,000 --------------- 3,500,000 --------------- Tennessee -- (2.1%) Tennessee State School Board Authority 1.100%, 12/01/03 3,000 3,000,000 Tennessee State School Board Authority 1.120%, 12/04/03 1,500 1,500,000 --------------- 4,500,000 --------------- Texas -- (8.9%) City of San Antonio, Texas 1.100%, 12/08/03 2,000 2,000,000 Dallas Area Rapid Transit 1.120%, 12/16/03 1,000 1,000,000 Harris County, Texas General Obligations 1.000%, 12/05/03 3,000 3,000,000 Houston, Texas General Obligations 1.080%, 12/10/03 2,000 2,000,000 Houston, Texas Public Improvement General Obligations 5.500%, 03/01/06 500 541,305 Plano, Texas Health Facility 1.050%, 12/09/03 2,000 2,000,000 Texas Municipal Power Agency 1.030%, 12/03/03 2,800 2,800,000 Texas Municipal Power Agency 1.050%, 12/09/03 2,000 2,000,000 University of Texas Board of Regents 1.000%, 12/02/03 3,465 3,465,000 --------------- 18,806,305 ---------------
68
FACE AMOUNT VALUE+ ------ ------ (000) Utah -- (1.9%) Intermountain Power Agency 1.000%, 12/04/03 $ 2,000 $ 2,000,000 Intermountain Power Agency 1.060%, 12/09/03 2,000 2,000,000 --------------- 4,000,000 --------------- Virginia -- (0.5%) Ida of The City of Norfolk, Virginia 0.900%, 12/02/03 1,000 1,000,000 --------------- Washington -- (1.0%) City of Tacoma, Washington BANS 1.050%, 01/15/04 2,000 2,000,000 --------------- Wisconsin -- (1.2%) State of Wisconsin General Obligations 1.100%, 12/01/03 1,000 1,000,000 State of Wisconsin General Obligations 1.100%, 12/01/03 500 500,000 State of Wisconsin General Obligations 5.000%, 05/01/07 1,000 1,093,130 --------------- 2,593,130 --------------- TOTAL TAX EXEMPT COMMERCIAL PAPER (Cost $70,576,359) 70,604,435 --------------- SHARES ------ TEMPORARY CASH INVESTMENTS -- (0.8%) * Wilmington Tax Exempt Portfolio -- Investor Shares (Cost $1,621,980) 1,622 1,621,980 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $210,121,417)++ $ 211,200,331 ===============
---------- + See Note B to Financial Statements. * Non-Income Producing Securities ++ The cost for federal income tax purposes is $210,121,417. See accompanying Notes to Financial Statements. 69 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
U.S. ENHANCED U.S. U.S. LARGE U.S. LARGE LARGE CAP SMALL XM COMPANY COMPANY VALUE VALUE PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- --------------- ASSETS: Investments at Value $ 1,017,311 $ 141,500 $ 1,709,688 $ 96,924 Receivables: Fund Shares Sold 1,518 175 1,508 5 Prepaid Expenses and Other Assets 25 13 13 20 --------------- --------------- --------------- --------------- Total Assets 1,018,854 141,688 1,711,209 96,949 --------------- --------------- --------------- --------------- LIABILITIES: Payables: Investment Securities Purchased 973 2 835 5 Fund Shares Redeemed 545 173 673 -- Due to Advisor 19 17 208 16 Accrued Expenses and Other Liabilities 52 7 65 4 --------------- --------------- --------------- --------------- Total Liabilities 1,589 199 1,781 25 --------------- --------------- --------------- --------------- NET ASSETS $ 1,017,265 $ 141,489 $ 1,709,428 $ 96,924 =============== =============== =============== =============== SHARES OUTSTANDING $.01 PAR VALUE 32,642,489 16,799,425 105,912,176 6,403,462 =============== =============== =============== =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 31.16 $ 8.42 $ 16.14 $ 15.14 =============== =============== =============== =============== Investments at Cost $ 869,337 $ 135,596 $ 1,458,441 $ 77,069 =============== =============== =============== =============== 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 $2,269 of securities on loan, respectively) $ 4,210,828 $ 1,134,357 $ 2,623,763 $ 785,851 Receivables: Investment Securities Sold 7,951 -- -- -- Dividends, Interest, and Tax Reclaims -- -- -- 874 Fund Shares Sold 6,042 1,614 3,062 984 Prepaid Expenses and Other Assets 44 -- 7 24 --------------- --------------- --------------- --------------- Total Assets 4,224,865 1,135,971 2,626,832 787,733 --------------- --------------- --------------- --------------- LIABILITIES: Payables: Collateral on Securities Loaned -- -- -- 2,328 Investment Securities Purchased 2,725 1,339 2,389 1,611 Fund Shares Redeemed 11,268 275 673 108 Due to Advisor 1,028 291 847 189 Accrued Expenses and Other Liabilities 97 39 76 92 --------------- --------------- --------------- --------------- Total Liabilities 15,118 1,944 3,985 4,328 --------------- --------------- --------------- --------------- NET ASSETS $ 4,209,747 $ 1,134,027 $ 2,622,847 $ 783,405 =============== =============== =============== =============== SHARES OUTSTANDING $.01 PAR VALUE 181,011,556 68,656,171 196,635,727 41,675,922 =============== =============== =============== =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 23.26 $ 16.52 $ 13.34 $ 18.80 =============== =============== =============== =============== Investments at Cost $ 2,914,328 $ 906,933 $ 1,719,471 $ 619,688 =============== =============== =============== ===============
See accompanying Notes to Financial Statements. 70
INTERNATIONAL JAPANESE PACIFIC RIM LARGE CAP SMALL SMALL SMALL INTERNATIONAL COMPANY COMPANY COMPANY PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- --------------- ASSETS: Investments at Value (including $22,960, $0, $0, and $0 of securities on loan, respectively) $ 527,086 $ 909,196 $ 22,720 $ 20,380 Cash 16 16 -- -- Receivables: Dividends, Interest, and Tax Reclaims 1,187 -- -- -- Securities Lending 8 -- -- -- Fund Shares Sold 589 1,156 -- -- Prepaid Expenses and Other Assets 11 20 2 5 --------------- --------------- --------------- --------------- Total Assets 528,897 910,388 22,722 20,385 --------------- --------------- --------------- --------------- LIABILITIES: Payables: Collateral on Securities Loaned 24,311 -- -- -- Investment Securities Purchased 140 -- -- -- Fund Shares Redeemed 132 171 -- -- Due to Advisor 102 298 2 4 Accrued Expenses and Other Liabilities 89 32 7 3 --------------- --------------- --------------- --------------- Total Liabilities 24,774 501 9 7 --------------- --------------- --------------- --------------- NET ASSETS $ 504,123 $ 909,887 $ 22,713 $ 20,378 =============== =============== =============== =============== SHARES OUTSTANDING $.01 PAR VALUE 34,404,746 82,731,629 2,102,538 1,684,064 =============== =============== =============== =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 14.65 $ 11.00 $ 10.80 $ 12.10 =============== =============== =============== =============== Investments at Cost $ 531,254 $ 759,747 $ 152,403 $ 52,110 =============== =============== =============== =============== 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, $131,027, and $0 of securities on loan, respectively) $ 12,212 $ 24,375 $ 1,257,045 $ 594,288 Cash -- -- 15 -- Receivables: Investment Securities Sold -- -- 139 -- Dividends, Interest, and Tax Reclaims -- -- 2,416 -- Securities Lending -- -- 101 -- Fund Shares Sold 22 -- 2,310 744 Prepaid Expenses and Other Assets 1 7 9 11 --------------- --------------- --------------- --------------- Total Assets 12,235 24,382 1,262,035 595,043 --------------- --------------- --------------- --------------- LIABILITIES: Payables: Collateral on Securities Loaned -- -- 140,811 -- Investment Securities Purchased 22 -- 24,518 610 Fund Shares Redeemed -- -- 277 134 Due to Advisor 1 -- 525 197 Accrued Expenses and Other Liabilities 3 6 207 26 --------------- --------------- --------------- --------------- Total Liabilities 26 6 166,338 967 --------------- --------------- --------------- --------------- NET ASSETS $ 12,209 $ 24,376 $ 1,095,697 $ 594,076 =============== =============== =============== =============== SHARES OUTSTANDING $.01 PAR VALUE 633,981 1,934,129 95,075,452 50,046,569 =============== =============== =============== =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 19.26 $ 12.60 $ 11.52 $ 11.87 =============== =============== =============== =============== Investments at Cost $ 8,000 $ 16,535 $ 1,079,204 $ 498,055 =============== =============== =============== ===============
See accompanying Notes to Financial Statements. 71
DFA EMERGING DFA TWO-YEAR DFA MARKETS ONE-YEAR GLOBAL FIVE-YEAR SMALL CAP FIXED INCOME FIXED INCOME GOVERNMENT PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- --------------- ASSETS: Investments at Value $ 84,380 $ 1,454,913 $ 1,195,198 $ 399,800 Cash -- -- -- 1 Receivables: Interest -- -- -- 3,096 Fund Shares Sold 196 1,785 1,861 488 Prepaid Expenses and Other Assets 11 12 22 15 --------------- --------------- --------------- --------------- Total Assets 84,587 1,456,710 1,197,081 403,400 --------------- --------------- --------------- --------------- LIABILITIES: Payables: Investment Securities Purchased 182 43 1,364 -- Fund Shares Redeemed 14 1,742 496 305 Due to Advisor 31 120 98 67 Accrued Expenses and Other Liabilities 7 69 51 36 --------------- --------------- --------------- --------------- Total Liabilities 234 1,974 2,009 408 --------------- --------------- --------------- --------------- NET ASSETS $ 84,353 $ 1,454,736 $ 1,195,072 $ 402,992 =============== =============== =============== =============== SHARES OUTSTANDING $.01 PAR VALUE 9,655,414 141,240,041 118,597,696 36,269,134 =============== =============== =============== =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 8.74 $ 10.30 $ 10.08 $ 11.11 =============== =============== =============== =============== Investments at Cost $ 68,473 $ 1,441,362 $ 1,182,925 $ 403,001 =============== =============== =============== =============== DFA DFA FIVE-YEAR INTERMEDIATE DFA GLOBAL GOVERNMENT SHORT-TERM FIXED INCOME FIXED INCOME MUNICIPAL BOND PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- ASSETS: Investments at Value $ 957,625 $ 312,387 $ 211,200 Cash 15 1 -- Receivables: Dividends, Interest, and Tax Reclaims 11,322 3,663 2,122 Fund Shares Sold 1,182 211 85 Prepaid Expenses and Other Assets 26 25 34 --------------- --------------- --------------- Total Assets 970,170 316,287 213,441 --------------- --------------- --------------- LIABILITIES: Payables: Fund Shares Redeemed 434 2 -- Due to Advisor 199 26 21 Accrued Expenses and Other Liabilities 98 25 31 --------------- --------------- --------------- Total Liabilities 731 53 52 --------------- --------------- --------------- NET ASSETS $ 969,439 $ 316,234 $ 213,389 =============== =============== =============== SHARES OUTSTANDING $.01 PAR VALUE 88,743,289 26,049,842 21,056,919 =============== =============== =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.92 $ 12.14 $ 10.13 =============== =============== =============== Investments at Cost $ 965,367 $ 291,648 $ 210,121 =============== =============== ===============
See accompanying Notes to Financial Statements. 72 STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS)
U.S. ENHANCED U.S. U.S. LARGE U.S. LARGE LARGE CAP SMALL XM COMPANY COMPANY VALUE VALUE PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- --------------- INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company -- $ 1,810 $ 21,376 $ 517 Dividends $ 14,366 -- -- -- Interest 191 -- -- -- Income from Securities Lending 107 -- -- -- Expenses Allocated from Master Fund (445) -- -- -- --------------- --------------- --------------- --------------- Total Investment Income 14,219 1,810 21,376 517 --------------- --------------- --------------- --------------- EXPENSES Administrative Services 1,744 181 1,974 207 Accounting & Transfer Agent Fees 197 13 52 13 Legal Fees 16 1 20 2 Audit Fees 4 1 4 1 Filing Fees 37 17 45 18 Shareholders' Reports 41 3 53 1 Directors' Fees and Expenses 13 2 19 -- Other 4 -- 2 1 --------------- --------------- --------------- --------------- Total Expenses 2,056 218 2,169 243 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (1,283) -- -- (5) --------------- --------------- --------------- --------------- Net Expenses 773 218 2,169 238 --------------- --------------- --------------- --------------- NET INVESTMENT INCOME (LOSS) 13,446 1,592 19,207 279 --------------- --------------- --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES Capital Gain Distributions Received from The DFA Investment Trust Company -- -- -- 6,234 Net Realized Gain (Loss) on Investment Securities Sold (31,857) (14,118) (11,022) (571) Net Realized Gain (Loss) on Futures 3,693 -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities 133,557 31,567 260,888 19,021 Futures (840) -- -- -- --------------- --------------- --------------- --------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES 104,553 17,449 249,866 24,684 --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 117,999 $ 19,041 $ 269,073 $ 24,963 =============== =============== =============== ===============
See accompanying Notes to Financial Statements. 73
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 $ 24,422 $ 6,747 $ 12,774 -- Dividends -- -- -- $ 25,052 Interest -- -- -- 106 Income from Securities Lending -- -- -- 21 --------------- --------------- --------------- --------------- Total Investment Income 24,422 6,747 12,774 25,179 --------------- --------------- --------------- --------------- EXPENSES Investment Advisory Services -- -- -- 1,640 Administrative Services 9,508 2,533 7,739 -- Accounting & Transfer Agent Fees 66 31 38 429 Custodian Fees -- -- -- 52 Legal Fees 67 15 2 11 Audit Fees 9 4 3 42 Filing Fees 47 53 35 49 Shareholders' Reports 117 21 42 24 Directors' Fees and Expenses 46 10 4 9 Other 2 2 1 6 --------------- --------------- --------------- --------------- Total Expenses 9,862 2,669 7,864 2,262 --------------- --------------- --------------- --------------- NET INVESTMENT INCOME (LOSS) 14,560 4,078 4,910 22,917 --------------- --------------- --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES Capital Gain Distributions Received from The DFA Investment Trust Company 217,230 -- 22,183 -- Net Realized Gain (Loss) on Investment Securities Sold (35,531) (9,794) 2,669 6,763 Change in Unrealized Appreciation (Depreciation) of Investment Securities 1,099,617 303,474 843,705 136,132 --------------- --------------- --------------- --------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES 1,281,316 293,680 868,557 142,895 --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 1,295,876 $ 297,758 $ 873,467 $ 165,812 =============== =============== =============== ===============
See accompanying Notes to Financial Statements. 74
LARGE INTERNATIONAL JAPANESE PACIFIC RIM CAP SMALL SMALL SMALL INTERNATIONAL COMPANY COMPANY COMPANY PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- --------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $754, $1,642, $59, and $32, respectively) $ 9,336 $ 15,561 $ 513 $ 995 Interest 121 299 8 8 Income from Securities Lending 252 1,152 98 27 Expenses Allocated from Master Funds -- (1,841) (86) (88) --------------- --------------- --------------- --------------- Total Investment Income 9,709 15,171 533 942 --------------- --------------- --------------- --------------- EXPENSES Investment Advisory Services 958 -- -- -- Administrative Services -- 2,535 129 113 Accounting & Transfer Agent Fees 441 35 32 32 Custodian Fees 162 -- -- -- Legal Fees 5 15 1 1 Audit Fees 23 3 1 1 Filing Fees 32 34 17 13 Shareholders' Reports 20 32 1 1 Directors' Fees and Expenses 6 11 1 1 Other 4 -- 1 -- --------------- --------------- --------------- --------------- Total Expenses 1,651 2,665 183 162 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor -- -- (31) (29) --------------- --------------- --------------- --------------- Net Expenses 1,651 2,665 152 133 --------------- --------------- --------------- --------------- NET INVESTMENT INCOME (LOSS) 8,058 12,506 381 809 --------------- --------------- --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold -- 10,185 (19,891) (6,175) Net Realized Gain (Loss) on Foreign Currency Transactions 99 309 7 6 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 81,602 249,662 30,910 15,862 Translation of Foreign Currency Denominated Amounts 21 102 -- 1 --------------- --------------- --------------- --------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 81,722 260,258 11,026 9,694 --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 89,780 $ 272,764 $ 11,407 $ 10,503 =============== =============== =============== ===============
See accompanying Notes to Financial Statements. 75
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 $60, $113, $1,921 and $1,687, respectively) $ 594 $ 792 $ 17,789 $ 10,470 Interest 5 32 342 156 Income from Securities Lending -- 56 1,213 -- Expenses Allocated from Master Fund (44) (91) -- (1,402) --------------- --------------- --------------- --------------- Total Investment Income 555 789 19,344 9,224 --------------- --------------- --------------- --------------- EXPENSES Investment Advisory Services -- -- 4,913 -- Administrative Services 67 124 -- 1,656 Accounting & Transfer Agent Fees 32 32 655 67 Custodian Fees -- -- 399 -- Legal Fees 1 2 20 10 Audit Fees 1 1 53 2 Filing Fees 15 19 38 31 Shareholders' Reports 1 1 30 29 Directors' Fees and Expenses -- 1 11 7 Other 1 1 4 1 --------------- --------------- --------------- --------------- Total Expenses 118 181 6,123 1,803 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (39) (35) -- -- --------------- --------------- --------------- --------------- Net Expenses 79 146 6,123 1,803 --------------- --------------- --------------- --------------- NET INVESTMENT INCOME (LOSS) 476 643 13,221 7,421 --------------- --------------- --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold (102) 3,377 10,593 (5,984) Net Realized Gain (Loss) on Foreign Currency Transactions 3 76 438 (276) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 4,688 6,875 333,818 144,491 Translation of Foreign Currency Denominated Amounts 1 (17) 39 9 Deferred Thailand Capital Gains Tax -- -- -- (1,778) --------------- --------------- --------------- --------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 4,590 10,311 344,888 136,462 --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 5,066 $ 10,954 $ 358,109 $ 143,883 =============== =============== =============== ===============
See accompanying Notes to Financial Statements. 76
DFA EMERGING DFA TWO-YEAR DFA MARKETS ONE-YEAR GLOBAL FIVE-YEAR SMALL CAP FIXED INCOME FIXED INCOME GOVERNMENT PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- --------------- INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company -- $ 19,710 $ 17,698 -- Dividends (Net of Foreign Taxes Withheld of $151, $0, $0 and $0, respectively) $ 1,352 -- -- -- Interest 20 -- -- $ 12,553 Expenses Allocated from Master Fund (254) -- -- -- --------------- --------------- --------------- --------------- Total Investment Income 1,118 19,710 17,698 12,553 --------------- --------------- --------------- --------------- EXPENSES Investment Advisory Services -- -- -- 723 Administrative Services 210 1,258 984 -- Accounting & Transfer Agent Fees 32 29 25 122 Custodian Fees -- -- -- 31 Legal Fees 1 21 15 9 Audit Fees 1 4 2 28 Filing Fees 20 62 58 29 Shareholders' Reports 2 46 40 17 Directors' Fees and Expenses -- 18 14 6 Organizational Costs 21 -- -- -- Other -- 1 3 5 --------------- --------------- --------------- --------------- Total Expenses 287 1,439 1,141 970 --------------- --------------- --------------- --------------- NET INVESTMENT INCOME (LOSS) 831 18,271 16,557 11,583 --------------- --------------- --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Capital Gain Distributions Received from The DFA Investment Trust Company -- 12,033 10,965 -- Net Realized Gain (Loss) on Investment Securities Sold 637 (1,382) (338) 15,782 Net Realized Gain (Loss) on Foreign Currency Transactions (90) -- -- -- Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 20,926 (8,369) (7,700) (14,993) Translation of Foreign Currency Denominated Amounts (1) -- -- -- Deferred Thailand Capital Gains Tax (486) -- -- -- --------------- --------------- --------------- --------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 20,986 2,282 2,927 789 --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 21,817 $ 20,553 $ 19,484 $ 12,372 =============== =============== =============== ===============
See accompanying Notes to Financial Statements. 77
DFA DFA FIVE-YEAR INTERMEDIATE DFA GLOBAL GOVERNMENT SHORT-TERM FIXED INCOME FIXED INCOME MUNICIPAL BOND PORTFOLIO PORTFOLIO PORTFOLIO --------------- --------------- --------------- INVESTMENT INCOME Interest $ 29,785 $ 15,124 $ 2,716 --------------- --------------- --------------- Total Investment Income 29,785 15,124 2,716 --------------- --------------- --------------- EXPENSES Investment Advisory Services 2,081 299 285 Accounting & Transfer Agent Fees 598 109 127 Custodian Fees 70 26 12 Legal Fees 12 6 4 Audit Fees 46 20 8 Filing Fees 37 20 38 Shareholders' Reports 19 8 5 Directors' Fees and Expenses 4 2 1 Other 4 12 1 --------------- --------------- --------------- Total Expenses 2,871 502 481 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor -- -- (53) --------------- --------------- --------------- Net Expenses 2,871 502 428 --------------- --------------- --------------- NET INVESTMENT INCOME (LOSS) 26,914 14,622 2,288 --------------- --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold 37,435 7,497 -- Net Realized Gain (Loss) on Foreign Currency Transactions (826) -- -- Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency (30,554) (6,149) 1,434 Translation of Foreign Currency Denominated Amounts 708 -- -- --------------- --------------- --------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 6,763 1,348 1,434 --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 33,677 $ 15,970 $ 3,722 =============== =============== ===============
See accompanying Notes to Financial Statements. 78 STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
U.S. ENHANCED LARGE U.S. LARGE COMPANY COMPANY PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 13,446 $ 10,895 $ 1,592 $ 1,861 Capital Gain Distributions Received from The DFA Investment Trust Company -- -- -- -- Net Realized Gain (Loss) on Investment Securities Sold (31,857) (25,252) (14,118) (13,396) Net Realized Gain (Loss) on Futures 3,693 (1,711) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities 133,557 (121,447) 31,567 (4,130) Futures (840) 1,297 -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 117,999 (136,218) 19,041 (15,665) ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (12,490) (10,481) (1,697) (1,629) Net Short-Term Gains -- -- -- -- Net Long-Term Gains -- -- -- -- ------------ ------------ ------------ ------------ Total Distributions (12,490) (10,481) (1,697) (1,629) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 318,836 322,656 67,037 61,641 Shares Issued in Lieu of Cash Distributions 11,941 10,245 1,634 1,599 Shares Redeemed (194,790) (262,354) (45,855) (35,397) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 135,987 70,547 22,816 27,843 ------------ ------------ ------------ ------------ Total Increase (Decrease) 241,496 (76,152) 40,160 10,549 NET ASSETS Beginning of Period 775,769 851,921 101,329 90,780 ------------ ------------ ------------ ------------ End of Period $ 1,017,265 $ 775,769 $ 141,489 $ 101,329 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 11,359 11,228 8,890 7,542 Shares Issued in Lieu of Cash Distributions 435 333 225 199 Shares Redeemed (7,302) (8,831) (6,000) (4,240) ------------ ------------ ------------ ------------ 4,492 2,730 3,115 3,501 ============ ============ ============ ============ U.S. U.S. LARGE SMALL XM CAP VALUE VALUE PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 19,207 $ 14,155 $ 279 $ 518 Capital Gain Distributions Received from The DFA Investment Trust Company -- -- 6,234 10,174 Net Realized Gain (Loss) on Investment Securities Sold (11,022) (7,084) (571) (2,119) Net Realized Gain (Loss) on Futures -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities 260,888 (110,769) 19,021 (6,902) Futures -- -- -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 269,073 (103,698) 24,963 1,671 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (17,524) (14,742) (444) (764) Net Short-Term Gains -- -- -- (2,274) Net Long-Term Gains -- (116,431) (6,874) (2,427) ------------ ------------ ------------ ------------ Total Distributions (17,524) (131,173) (7,318) (5,465) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 508,735 414,593 17,864 32,281 Shares Issued in Lieu of Cash Distributions 17,143 130,082 7,311 5,407 Shares Redeemed (244,710) (299,704) (12,850) (36,070) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 281,168 244,971 12,325 1,618 ------------ ------------ ------------ ------------ Total Increase (Decrease) 532,717 10,100 29,970 (2,176) NET ASSETS Beginning of Period 1,176,711 1,166,611 66,954 69,130 ------------ ------------ ------------ ------------ End of Period $ 1,709,428 $ 1,176,711 $ 96,924 $ 66,954 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 36,285 28,906 1,391 2,486 Shares Issued in Lieu of Cash Distributions 1,253 8,719 687 427 Shares Redeemed (17,987) (20,017) (1,070) (2,825) ------------ ------------ ------------ ------------ 19,551 17,608 1,008 88 ============ ============ ============ ============ See accompanying Notes to the Financial Statements.
79
U.S. U.S. SMALL CAP SMALL VALUE CAP PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 14,560 $ 12,600 $ 4,078 $ 3,666 Capital Gain Distributions Received from The DFA Investment Trust Company 217,230 275,408 -- 9,984 Net Realized Gain (Loss) on Investment Securities Sold (35,531) 13,811 (9,794) 29,280 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 1,099,617 (230,254) 303,474 (111,204) ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 1,295,876 71,565 297,758 (68,274) ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (12,117) (15,985) (3,458) (4,198) Net Short-Term Gains -- (26,769) -- (3,851) Net Long-Term Gains (271,483) (451,468) (4,842) (66,802) ------------ ------------ ------------ ------------ Total Distributions (283,600) (494,222) (8,300) (74,851) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 859,057 947,350 339,446 354,336 Shares Issued in Lieu of Cash Distributions 279,462 490,066 8,065 74,388 Shares Redeemed (913,699) (956,769) (149,814) (423,005) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 224,820 480,647 197,697 5,719 ------------ ------------ ------------ ------------ Total Increase (Decrease) 1,237,096 57,990 487,155 (137,406) NET ASSETS Beginning of Period 2,972,651 2,914,661 646,872 784,278 ------------ ------------ ------------ ------------ End of Period $ 4,209,747 $ 2,972,651 $ 1,134,027 $ 646,872 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 47,932 52,306 25,828 26,762 Shares Issued in Lieu of Cash Distributions 17,812 26,809 704 5,458 Shares Redeemed (52,635) (49,283) (11,911) (32,535) ------------ ------------ ------------ ------------ 13,109 29,832 14,621 (315) ============ ============ ============ ============ U.S. DFA MICRO REAL ESTATE CAP SECURITIES PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 4,910 $ 4,034 $ 22,917 $ 17,027 Capital Gain Distributions Received from The DFA Investment Trust Company 22,183 26,752 -- -- Net Realized Gain (Loss) on Investment Securities Sold 2,669 (18,257) 6,763 2,351 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 843,705 (72,817) 136,132 (5,735) ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 873,467 (60,288) 165,812 13,643 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (2,812) (6,979) (20,722) (16,524) Net Short-Term Gains -- -- -- -- Net Long-Term Gains (24,249) (244,135) (2,261) (583) ------------ ------------ ------------ ------------ Total Distributions (27,061) (251,114) (22,983) (17,107) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 566,975 429,609 289,454 181,373 Shares Issued in Lieu of Cash Distributions 26,396 248,250 22,586 16,982 Shares Redeemed (426,402) (363,352) (84,728) (65,359) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 166,969 314,507 227,312 132,996 ------------ ------------ ------------ ------------ Total Increase (Decrease) 1,013,375 3,105 370,141 129,532 NET ASSETS Beginning of Period 1,609,472 1,606,367 413,264 283,732 ------------ ------------ ------------ ------------ End of Period $ 2,622,847 $ 1,609,472 $ 783,405 $ 413,264 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 56,707 44,863 17,797 12,006 Shares Issued in Lieu of Cash Distributions 3,041 25,672 1,588 1,183 Shares Redeemed (40,652) (37,839) (5,421) (4,368) ------------ ------------ ------------ ------------ 19,096 32,696 13,964 8,821 ============ ============ ============ ============
See accompanying Notes to the Financial Statements. 80
LARGE INTERNATIONAL CAP SMALL INTERNATIONAL COMPANY PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 8,058 $ 5,747 $ 12,506 $ 7,813 Net Realized Gain (Loss) on Investment Securities Sold -- (19,061) 10,185 305 Net Realized Gain (Loss) on Foreign Currency Transactions 99 (2) 309 222 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 81,602 (27,967) 249,662 (19,049) Translation of Foreign Currency Denominated Amounts 21 24 102 123 ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 89,780 (41,259) 272,764 (10,586) ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (5,772) (5,281) (8,564) (6,930) ------------ ------------ ------------ ------------ Total Distributions (5,772) (5,281) (8,564) (6,930) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 179,697 169,995 281,724 218,575 Shares Issued in Lieu of Cash Distributions 5,551 5,227 8,551 6,917 Shares Redeemed (102,500) (136,186) (109,166) (99,598) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 82,748 39,036 181,109 125,894 ------------ ------------ ------------ ------------ Total Increase (Decrease) 166,756 (7,504) 445,309 108,378 NET ASSETS Beginning of Period 337,367 344,871 464,578 356,200 ------------ ------------ ------------ ------------ End of Period $ 504,123 $ 337,367 $ 909,887 $ 464,578 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 14,472 13,227 31,592 28,394 Shares Issued in Lieu of Cash Distributions 483 386 1,199 948 Shares Redeemed (8,433) (10,549) (12,776) (13,054) ------------ ------------ ------------ ------------ 6,522 3,064 20,015 16,288 ============ ============ ============ ============ JAPANESE PACIFIC RIM SMALL SMALL COMPANY COMPANY PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 381 $ 502 $ 809 $ 2,278 Net Realized Gain (Loss) on Investment Securities Sold (19,891) (4,453) (6,175) (2,698) Net Realized Gain (Loss) on Foreign Currency Transactions 7 41 6 (7) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 30,910 (2,713) 15,862 5,952 Translation of Foreign Currency Denominated Amounts -- 15 1 (2) ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 11,407 (6,608) 10,503 5,523 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (575) (779) (2,468) (2,812) ------------ ------------ ------------ ------------ Total Distributions (575) (779) (2,468) (2,812) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 8,796 5,626 5,381 5,187 Shares Issued in Lieu of Cash Distributions 575 779 2,468 2,812 Shares Redeemed (49,309) (23,769) (49,691) (30,710) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions (39,938) (17,364) (41,842) (22,711) ------------ ------------ ------------ ------------ Total Increase (Decrease) (29,106) (24,751) (33,807) (20,000) NET ASSETS Beginning of Period 51,819 76,570 54,185 74,185 ------------ ------------ ------------ ------------ End of Period $ 22,713 $ 51,819 $ 20,378 $ 54,185 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 906 725 530 656 Shares Issued in Lieu of Cash Distributions 82 106 328 378 Shares Redeemed (5,808) (3,003) (6,018) (3,819) ------------ ------------ ------------ ------------ (4,820) (2,172) (5,160) (2,785) ============ ============ ============ ============
See accompanying Notes to the Financial Statements. 81
UNITED CONTINENTAL KINGDOM SMALL SMALL COMPANY COMPANY PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 476 $ 985 $ 643 $ 1,438 Net Realized Gain (Loss) on Investment Securities Sold (102) 599 3,377 2,896 Net Realized Gain (Loss) on Foreign Currency Transactions 3 30 76 47 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 4,688 (3,114) 6,875 (1,848) Translation of Foreign Currency Denominated Amounts 1 2 (17) 46 Deferred Thailand Capital Gains Tax -- -- -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 5,066 (1,498) 10,954 2,579 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (1,017) (1,185) (1,497) (2,189) Net Short-Term Gains -- (200) (305) (172) Net Long-Term Gains (599) (1,735) (2,582) (8,067) ------------ ------------ ------------ ------------ Total Distributions (1,616) (3,120) (4,384) (10,428) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 1,791 1,766 4,919 4,339 Shares Issued in Lieu of Cash Distributions 1,616 3,120 4,384 10,428 Shares Redeemed (23,633) (12,426) (52,240) (29,058) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions (20,226) (7,540) (42,937) (14,291) ------------ ------------ ------------ ------------ Total Increase (Decrease) (16,776) (12,158) (36,367) (22,140) NET ASSETS Beginning of Period 28,985 41,143 60,743 82,883 ------------ ------------ ------------ ------------ End of Period $ 12,209 $ 28,985 $ 24,376 $ 60,743 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 118 114 510 476 Shares Issued in Lieu of Cash Distributions 122 200 528 1,193 Shares Redeemed (1,641) (814) (5,903) (3,195) ------------ ------------ ------------ ------------ (1,401) (500) (4,865) (1,526) ============ ============ ============ ============ DFA INTERNATIONAL SMALL CAP EMERGING VALUE MARKETS PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 13,221 $ 10,429 $ 7,421 $ 3,942 Net Realized Gain (Loss) on Investment Securities Sold 10,593 13,366 (5,984) (19,012) Net Realized Gain (Loss) on Foreign Currency Transactions 438 342 (276) (299) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 333,818 (12,253) 144,491 18,345 Translation of Foreign Currency Denominated Amounts 39 126 9 4 Deferred Thailand Capital Gains Tax -- -- (1,778) (840) ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 358,109 12,010 143,883 2,140 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (11,202) (11,719) (4,473) (3,976) Net Short-Term Gains -- -- -- -- Net Long-Term Gains -- -- -- -- ------------ ------------ ------------ ------------ Total Distributions (11,202) (11,719) (4,473) (3,976) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 332,252 213,816 178,201 117,622 Shares Issued in Lieu of Cash Distributions 11,202 11,719 4,452 3,972 Shares Redeemed (171,201) (142,200) (61,853) (83,928) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 172,253 83,335 120,800 37,666 ------------ ------------ ------------ ------------ Total Increase (Decrease) 519,160 83,626 260,210 35,830 NET ASSETS Beginning of Period 576,537 492,911 333,866 298,036 ------------ ------------ ------------ ------------ End of Period $ 1,095,697 $ 576,537 $ 594,076 $ 333,866 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 35,708 28,399 17,445 13,123 Shares Issued in Lieu of Cash Distributions 1,564 1,665 528 451 Shares Redeemed (19,920) (19,055) (6,524) (9,533) ------------ ------------ ------------ ------------ 17,352 11,009 11,449 4,041 ============ ============ ============ ============
See accompanying Notes to the Financial Statements. 82
EMERGING DFA MARKETS ONE-YEAR SMALL CAP FIXED INCOME PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 831 $ 294 $ 18,271 $ 22,304 Capital Gain Distributions Received from The DFA Investment Trust Company -- -- 12,033 -- Net Realized Gain (Loss) on Investment Securities Sold 637 797 (1,382) (146) Net Realized Gain (Loss) on Foreign Currency Transactions (90) (34) -- -- Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 20,926 672 (8,369) 7,581 Translation of Foreign Currency Denominated Amounts (1) -- -- -- Deferred Thailand Capital Gains Tax (486) (112) -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 21,817 1,617 20,553 29,739 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (338) (107) (18,230) (22,237) Net Short-Term Gains -- -- (12,023) -- Net Long-Term Gains (273) -- -- -- ------------ ------------ ------------ ------------ Total Distributions (611) (107) (30,253) (22,237) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 41,560 13,778 1,051,658 513,460 Shares Issued in Lieu of Cash Distributions 609 107 28,015 20,495 Shares Redeemed (5,538) (4,051) (607,544) (288,997) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 36,631 9,834 472,129 244,958 ------------ ------------ ------------ ------------ Total Increase (Decrease) 57,837 11,344 462,429 252,460 NET ASSETS Beginning of Period 26,516 15,172 992,307 739,847 ------------ ------------ ------------ ------------ End of Period $ 84,353 $ 26,516 $ 1,454,736 $ 992,307 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 5,844 2,334 101,940 49,705 Shares Issued in Lieu of Cash Distributions 106 19 2,725 1,988 Shares Redeemed (799) (698) (58,921) (27,969) ------------ ------------ ------------ ------------ 5,151 1,655 45,744 23,724 ============ ============ ============ ============ DFA TWO-YEAR DFA GLOBAL FIVE-YEAR FIXED INCOME GOVERNMENT PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 16,557 $ 17,828 $ 11,583 $ 11,137 Capital Gain Distributions Received from The DFA Investment Trust Company 10,965 -- -- -- Net Realized Gain (Loss) on Investment Securities Sold (338) (207) 15,782 686 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency (7,700) 12,911 (14,993) 12,129 Translation of Foreign Currency Denominated Amounts -- -- -- -- Deferred Thailand Capital Gains Tax -- -- -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 19,484 30,532 12,372 23,952 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (28,481) (14,242) (11,597) (10,483) Net Short-Term Gains -- -- -- -- Net Long-Term Gains -- -- -- -- ------------ ------------ ------------ ------------ Total Distributions (28,481) (14,242) (11,597) (10,483) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 571,993 346,830 186,798 119,892 Shares Issued in Lieu of Cash Distributions 28,145 14,110 11,482 10,447 Shares Redeemed (195,283) (174,135) (111,353) (72,398) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 404,855 186,805 86,927 57,941 ------------ ------------ ------------ ------------ Total Increase (Decrease) 395,858 203,095 87,702 71,410 NET ASSETS Beginning of Period 799,214 596,119 315,290 243,880 ------------ ------------ ------------ ------------ End of Period $ 1,195,072 $ 799,214 $ 402,992 $ 315,290 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 56,679 34,467 16,715 11,246 Shares Issued in Lieu of Cash Distributions 2,800 1,409 1,032 1,019 Shares Redeemed (19,330) (17,316) (10,015) (6,817) ------------ ------------ ------------ ------------ 40,149 18,560 7,732 5,448 ============ ============ ============ ============
See accompanying Notes to the Financial Statements. 83
DFA DFA INTERMEDIATE FIVE-YEAR GOVERNMENT GLOBAL FIXED INCOME FIXED INCOME PORTFOLIO PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 26,914 $ 28,285 $ 14,622 $ 17,081 Net Realized Gain (Loss) on Investment Securities Sold 37,435 7,173 7,497 4,849 Net Realized Gain (Loss) on Foreign Currency Transactions (826) (6,504) -- -- Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency (30,554) 24,248 (6,149) 9,707 Translation of Foreign Currency Denominated Amounts 708 (1,717) -- -- ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 33,677 51,485 15,970 31,637 ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (28,456) (20,480) (15,142) (17,172) Net Short-Term Gains (4,472) (656) -- -- Net Long-Term Gains (2,655) (47) (4,808) -- ------------ ------------ ------------ ------------ Total Distributions (35,583) (21,183) (19,950) (17,172) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 390,384 236,412 110,106 51,141 Shares Issued in Lieu of Cash Distributions 35,163 21,039 19,335 17,170 Shares Redeemed (215,919) (154,972) (109,286) (93,378) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 209,628 102,479 20,155 (25,067) ------------ ------------ ------------ ------------ Total Increase (Decrease) 207,722 132,781 16,175 (10,602) ------------ ------------ ------------ ------------ NET ASSETS Beginning of Period 761,717 628,936 300,059 310,661 ------------ ------------ ------------ ------------ End of Period $ 969,439 $ 761,717 $ 316,234 $ 300,059 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 35,473 22,347 8,969 4,302 Shares Issued in Lieu of Cash Distributions 3,238 2,030 1,573 1,470 Shares Redeemed (19,651) (14,571) (8,700) (7,670) ------------ ------------ ------------ ------------ 19,060 9,806 1,842 (1,898) ============ ============ ============ ============ DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO ---------------------------- YEAR AUG. 21 (2) ENDED TO NOV. 30, NOV. 30, 2003 2002 ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 2,288 $ 274 Net Realized Gain (Loss) on Investment Securities Sold -- -- Net Realized Gain (Loss) on Foreign Currency Transactions -- -- Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 1,434 (355) Translation of Foreign Currency Denominated Amounts -- -- ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 3,722 (81) ------------ ------------ Distributions From: Net Investment Income (2,097) (162) Net Short-Term Gains -- -- Net Long-Term Gains -- -- ------------ ------------ Total Distributions (2,097) (162) ------------ ------------ Capital Share Transactions (1): Shares Issued 159,528 83,819 Shares Issued in Lieu of Cash Distributions 2,083 162 Shares Redeemed (28,666) (4,919) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 132,945 79,062 ------------ ------------ Total Increase (Decrease) 134,570 78,819 ------------ ------------ NET ASSETS Beginning of Period 78,819 -- ------------ ------------ End of Period $ 213,389 $ 78,819 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 15,782 8,382 Shares Issued in Lieu of Cash Distributions 206 16 Shares Redeemed (2,837) (492) ------------ ------------ 13,151 7,906 ============ ============
(2) Commencement of Operations. See accompanying Notes to the Financial Statements. 84 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 27.56 $ 33.51 $ 38.70 $ 41.08 $ 34.61 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.47 0.42 0.42 0.43 0.45 Net Gains (Losses) on Securities (Realized and Unrealized) 3.57 (5.95) (5.19) (2.16) 6.67 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 4.04 (5.53) (4.77) (1.73) 7.12 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.44) (0.42) (0.42) (0.40) (0.48) Net Realized Gains -- -- -- (0.25) (0.17) Tax Return of Capital -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.44) (0.42) (0.42) (0.65) (0.65) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 31.16 $ 27.56 $ 33.51 $ 38.70 $ 41.08 ============================================================================================================================= Total Return 14.90% (16.64)% (12.41)% (4.33)% 20.76% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,017,265 $ 775,769 $ 851,921 $ 1,037,593 $ 896,404 Ratio of Expenses to Average Net Assets** 0.15% 0.15% 0.15% 0.15% 0.15% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses)** 0.30% 0.30% 0.30% 0.32% 0.31% Ratio of Net Investment Income to Average Net Assets 1.66% 1.43% 1.16% 1.02% 1.18% Ratio of Net Investment Income to Average Net Assets (Excluding Waivers and Assumption of Expenses) 1.51% 1.28% 1.01% 0.85% 1.02% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 8% 11% 8% 8% 4% ----------------------------------------------------------------------------------------------------------------------------- ENHANCED U.S. LARGE COMPANY PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 7.41 $ 8.91 $ 11.91 $ 15.12 $ 14.27 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.10 0.16 0.06 1.46 1.54 Net Gains (Losses) on Securities (Realized and Unrealized) 1.02 (1.52) (1.27) (2.00) 1.12 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 1.12 (1.36) (1.21) (0.54) 2.66 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.11) (0.14) (0.68) (1.26) (1.14) Net Realized Gains -- -- (0.75) (1.41) (0.67) Tax Return of Capital -- -- (0.36) -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.11) (0.14) (1.79) (2.67) (1.81) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 8.42 $ 7.41 $ 8.91 $ 11.91 $ 15.12 ============================================================================================================================= Total Return 15.39% (15.40)% (11.90)% (4.84)% 20.31% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 141,489 $ 101,329 $ 90,780 $ 89,878 $ 102,200 Ratio of Expenses to Average Net Assets** 0.36% 0.37% 0.39% 0.40% 0.40% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses)** 0.36% 0.37% 0.39% 0.40% 0.40% Ratio of Net Investment Income to Average Net Assets 1.32% 2.00% 0.36% 10.58% 6.27% Ratio of Net Investment Income to Average Net Assets (Excluding Waivers and Assumption of Expenses) 1.32% 2.00% 0.36% 10.58% 6.27% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 138% 183% 122% 71% 82% -----------------------------------------------------------------------------------------------------------------------------
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of the Master Fund Series. N/A Refer to the Master Fund Series See accompanying Notes to Financial Statements. 85
U.S. LARGE CAP VALUE PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 13.63 $ 16.97 $ 18.36 $ 20.09 $ 20.21 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.20 0.19 0.29 0.36 0.34 Net Gains (Losses) on Securities (Realized and Unrealized) 2.50 (1.51) 1.46 0.10 0.54 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 2.70 (1.32) 1.75 0.46 0.88 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.19) (0.21) (0.30) (0.36) (0.35) Net Realized Gains -- (1.81) (2.84) (1.83) (0.65) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.19) (2.02) (3.14) (2.19) (1.00) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 16.14 $ 13.63 $ 16.97 $ 18.36 $ 20.09 ============================================================================================================================= Total Return 20.10% (8.77)% 10.83% 2.85% 4.51% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,709,428 $ 1,176,711 $ 1,166,611 $ 1,245,177 $ 1,177,762 Ratio of Expenses to Average Net Assets** 0.30% 0.32% 0.31% 0.33% 0.33% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses)** 0.30% 0.32% 0.31% 0.33% 0.33% Ratio of Net Investment Income to Average Net Assets 1.34% 1.25% 1.59% 1.97% 1.63% Ratio of Net Investment Income to Average Net Assets (Excluding Waivers and Assumption of Expenses) 1.34% 1.25% 1.59% 1.97% 1.63% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 7% 9% 6% 26% 43% ----------------------------------------------------------------------------------------------------------------------------- U.S. SMALL XM VALUE PORTFOLIO ----------------------------------------------------------- YEAR YEAR YEAR FEB. 23, ENDED ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 ------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 12.41 $ 13.03 $ 11.06 $ 10.00 ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.05 0.07 0.14 0.15 Net Gains (Losses) on Securities (Realized and Unrealized) 4.12 0.18 2.38 0.91 ----------- ----------- ----------- ----------- Total From Investment Operations 4.17 0.25 2.52 1.06 ------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.09) (0.12) (0.18) -- Net Realized Gains (1.35) (0.75) (0.37) -- ----------- ----------- ----------- ----------- Total Distributions (1.44) (0.87) (0.55) -- ------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.14 $ 12.41 $ 13.03 $ 11.06 ============================================================================================================= Total Return 38.43% 1.77% 23.77% 10.60%# ------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 96,924 $ 66,954 $ 69,130 $ 67,638 Ratio of Expenses to Average Net Assets** 0.47% 0.50% 0.47% 0.50%* Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses)** 0.48% 0.52% 0.47% 0.85%* Ratio of Net Investment Income to Average Net Assets 0.41% 0.73% 1.03% 8.77%* Ratio of Net Investment Income to Average Net Assets (Excluding Waivers and Assumption of Expenses) 0.40% 0.71% 1.03% 8.42%* Portfolio Turnover Rate N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 43% 34% 8% 26%*(a) -------------------------------------------------------------------------------------------------------------
* Annualized # Non-annualized ** Represents the combined ratios for the respective portfolio and its respective pro-rata share of the Master Fund Series. N/A Refer to the Master Fund Series (a) For the year ended November 30, 2000 See accompanying Notes to Financial Statements. 86
U.S. SMALL CAP VALUE PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 17.70 $ 21.11 $ 18.79 $ 19.17 $ 19.09 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.08 0.08 0.12 0.12 0.09 Net Gains (Losses) on Securities (Realized and Unrealized) 7.21 0.19 3.95 1.11 1.52 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 7.29 0.27 4.07 1.23 1.61 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.07) (0.12) (0.13) (0.10) (0.08) Net Realized Gains (1.66) (3.56) (1.62) (1.51) (1.45) ----------- ----------- ----------- ----------- ----------- Total Distributions (1.73) (3.68) (1.75) (1.61) (1.53) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 23.26 $ 17.70 $ 21.11 $ 18.79 $ 19.17 ============================================================================================================================= Total Return 45.92% 0.71% 23.47% 6.99% 9.39% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 4,209,747 $ 2,972,651 $ 2,914,661 $ 2,633,943 $ 2,621,646 Ratio of Expenses to Average Net Assets** 0.56% 0.56% 0.56% 0.56% 0.58% Ratio of Net Investment Income to Average Net Assets 0.46% 0.42% 0.54% 0.60% 0.49% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 35% 30% 13% 32% 29% ----------------------------------------------------------------------------------------------------------------------------- U.S. SMALL CAP PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 11.97 $ 14.43 $ 14.27 $ 14.68 $ 13.77 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.06 0.07 0.09 0.08 0.08 Net Gains (Losses) on Securities (Realized and Unrealized) 4.65 (1.16) 1.57 0.78 2.18 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 4.71 (1.09) 1.66 0.86 2.26 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.07) (0.08) (0.09) (0.08) (0.07) Net Realized Gains (0.09) (1.29) (1.41) (1.19) (1.28) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.16) (1.37) (1.50) (1.27) (1.35) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 16.52 $ 11.97 $ 14.43 $ 14.27 $ 14.68 ============================================================================================================================= Total Return 39.89% (8.73)% 12.70% 6.09% 18.26% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,134,027 $ 646,872 $ 784,278 $ 585,873 $ 398,665 Ratio of Expenses to Average Net Assets** 0.42% 0.41% 0.42% 0.43% 0.43% Ratio of Net Investment Income to Average Net Assets 0.52% 0.47% 0.62% 0.63% 0.62% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 16% 34% 13% 38% 29% -----------------------------------------------------------------------------------------------------------------------------
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of the Master Fund Series. N/A Refer to Master Fund Series See accompanying Notes to Financial Statements. 87
U.S. MICRO CAP PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 9.07 $ 11.09 $ 11.93 $ 12.54 $ 10.65 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.03 0.03 0.05 0.04 0.04 Net Gains (Losses) on Securities (Realized and Unrealized) 4.40 (0.29) 1.59 0.61 2.00 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 4.43 (0.26) 1.64 0.65 2.04 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.02) (0.05) (0.05) (0.04) (0.02) Net Realized Gains (0.14) (1.71) (2.43) (1.22) (0.13) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.16) (1.76) (2.48) (1.26) (0.15) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 13.34 $ 9.07 $ 11.09 $ 11.93 $ 12.54 ============================================================================================================================= Total Return 49.69% (3.31)% 17.22% 5.36% 19.47% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 2,622,847 $ 1,609,472 $ 1,606,367 $ 1,443,412 $ 1,322,590 Ratio of Expenses to Average Net Assets 0.56%(a) 0.56%(a) 0.56%(a) 0.56%(a) 0.61%(a) Ratio of Net Investment Income to Average Net Assets 0.25% 0.24% 0.41% 0.34% 0.30% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 19% 19% 14% 37% 23% ----------------------------------------------------------------------------------------------------------------------------- DFA REAL ESTATE SECURITIES PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 14.91 $ 15.02 $ 13.51 $ 11.50 $ 13.00 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.64 0.54 0.82 0.76 0.77 Net Gains (Losses) on Securities (Realized and Unrealized) 4.08 0.18 1.49 1.90 (1.62) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 4.72 0.72 2.31 2.66 (0.85) ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.75) (0.75) (0.80) (0.65) (0.65) Net Realized Gains (0.08) (0.08) -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.83) (0.83) (0.80) (0.65) (0.65) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 18.80 $ 14.91 $ 15.02 $ 13.51 $ 11.50 ============================================================================================================================= Total Return 33.48% 5.36% 17.76% 24.49% (6.75)% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 783,405 $ 413,264 $ 283,732 $ 210,231 $ 130,039 Ratio of Expenses to Average Net Assets 0.41% 0.42% 0.43% 0.45% 0.47% Ratio of Net Investment Income to Average Net Assets 4.19% 4.71% 5.55% 6.06% 6.82% Portfolio Turnover Rate 2% 2% 6% 7% 8% Portfolio Turnover Rate of Master Fund Series N/A@ N/A@ N/A@ N/A@ N/A@ ------------------------------------------------------------------------------------------------------------------------------
(a) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series. N/A Refer to the Master Fund Series N/A@ Not applicable, as the DFA Real Estate Securities Portfolios is a stand-alone registered investment company. See accompanying Notes to Financial Statements. 88
LARGE CAP INTERNATIONAL PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 12.10 $ 13.90 $ 17.30 $ 19.41 $ 16.28 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.25 0.22 0.25 0.23 0.20 Net Gains (Losses) on Securities (Realized and Unrealized) 2.51 (1.79) (3.38) (1.96) 3.19 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 2.76 (1.57) (3.13) (1.73) 3.39 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.21) (0.23) (0.22) (0.21) (0.26) Net Realized Gains -- -- (0.05) (0.17) -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.21) (0.23) (0.27) (0.38) (0.26) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41 ============================================================================================================================= Total Return 23.32% (11.50)% (18.42)% (9.19)% 21.12% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 504,123 $ 337,367 $ 344,871 $ 358,638 $ 268,340 Ratio of Expenses to Average Net Assets 0.43% 0.44% 0.45% 0.47% 0.53% Ratio of Net Investment Income to Average Net Assets 2.10% 1.74% 1.65% 1.21% 1.38% Portfolio Turnover Rate 1% 9% 4% 1% 2% ----------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL SMALL COMPANY PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 7.41 $ 7.67 $ 8.49 $ 9.13 $ 7.82 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.16 0.14 0.15 0.17 0.15 Net Gains (Losses) on Securities (Realized and Unrealized) 3.57 (0.25) (0.67) (0.62) 1.31 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.73 (0.11) (0.52) (0.45) 1.46 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.14) (0.15) (0.17) (0.19) (0.15) Net Realized Gains -- -- (0.13) -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.14) (0.15) (0.30) (0.19) (0.15) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 11.00 $ 7.41 $ 7.67 $ 8.49 $ 9.13 ============================================================================================================================= Total Return 51.28% (1.39)% (6.36)% (5.01)% 19.07% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 909,887 $ 464,578 $ 356,200 $ 309,060 $ 250,442 Ratio of Expenses to Average Net Assets 0.71%(a) 0.71%(a) 0.72%(a) 0.71%(a) 0.75%(a) Ratio of Net Investment Income to Average Net Assets 1.97% 1.83% 2.02% 2.10% 1.76% Portfolio Turnover Rate N/A N/A N/A N/A N/A -----------------------------------------------------------------------------------------------------------------------------
(a) For the International Small Company Portfolio, the expense ratios represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series. N/A Refer to the respective Master Fund Series See accompanying Notes to Financial Statements. 89
JAPANESE SMALL COMPANY PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 7.49 $ 8.42 $ 9.90 $ 11.11 $ 9.10 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.05 0.06 0.09 0.10 0.05 Net Gains (Losses) on Securities (Realized and Unrealized) 3.35 (0.90) (1.46) (1.24) 2.02 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.40 (0.84) (1.37) (1.14) 2.07 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.09) (0.09) (0.11) (0.07) (0.06) Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.09) (0.09) (0.11) (0.07) (0.06) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.80 $ 7.49 $ 8.42 $ 9.90 $ 11.11 ============================================================================================================================= Total Return 46.01% (9.96)% (13.94)% (10.23)% 22.96% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 22,713 $ 51,819 $ 76,570 $ 101,115 $ 144,533 Ratio of Expenses to Average Net Assets** 0.75% 0.74% 0.74% 0.72% 0.73% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses)** 0.85% 0.75% 0.74% 0.72% 0.73% Ratio of Net Investment Income to Average Net Assets 1.18% 0.76% 0.93% 0.93% 0.61% Ratio of Net Investment Income to Average Net Assets (Excluding Waivers and Assumption of Expenses) 1.08% 0.75% 0.93% 0.93% 0.61% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 16% 5% 9% 5% 6% ----------------------------------------------------------------------------------------------------------------------------- PACIFIC RIM SMALL COMPANY PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 7.92 $ 7.70 $ 7.89 $ 9.76 $ 6.55 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) (0.13) 0.24 0.25 0.34 0.20 Net Gains (Losses) on Securities (Realized and Unrealized) 4.69 0.27 (0.06) (1.80) 3.23 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 4.56 0.51 0.19 (1.46) 3.43 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.38) (0.29) (0.38) (0.41) (0.22) Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.38) (0.29) (0.38) (0.41) (0.22) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 12.10 $ 7.92 $ 7.70 $ 7.89 $ 9.76 ============================================================================================================================= Total Return 60.57% 6.92% 2.32% (15.65)% 54.36% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 20,378 $ 54,185 $ 74,185 $ 88,307 $ 131,782 Ratio of Expenses to Average Net Assets** 0.78% 0.79% 0.75% 0.74% 0.94% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses)** 0.88% 0.80% 0.75% 0.74% 0.94% Ratio of Net Investment Income to Average Net Assets 2.87% 3.23% 3.18% 3.64% 2.50% Ratio of Net Investment Income to Average Net Assets (Excluding Waivers and Assumption of Expenses) 2.77% 3.22% 3.18% 3.64% 2.50% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 15% 26% 10% 7% 34% -----------------------------------------------------------------------------------------------------------------------------
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series. N/A Refer to the respective Master Fund Series. See accompanying Notes to Financial Statements. 90
UNITED KINGDOM SMALL COMPANY PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 14.24 $ 16.23 $ 19.31 $ 24.22 $ 21.63 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.62 0.50 0.47 0.65 0.77 Net Gains (Losses) on Securities (Realized and Unrealized) 5.26 (1.23) (1.26) (1.89) 5.67 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 5.88 (0.73) (0.79) (1.24) 6.44 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.54) (0.48) (0.63) (0.82) (0.81) Net Realized Gains (0.32) (0.78) (1.66) (2.85) (3.04) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.86) (1.26) (2.29) (3.67) (3.85) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 19.26 $ 14.24 $ 16.23 $ 19.31 $ 24.22 ============================================================================================================================= Total Return 44.01% (5.13)% (5.36)% (6.57)% 36.08% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 12,209 $ 28,985 $ 41,143 $ 56,400 $ 83,826 Ratio of Expenses to Average Net Assets** 0.73% 0.73% 0.74% 0.73% 0.72% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses)** 0.96% 0.80% 0.79% 0.74% 0.72% Ratio of Net Investment Income to Average Net Assets 2.83% 2.55% 2.38% 2.59% 3.11% Ratio of Net Investment Income to Average Net Assets (Excluding Waivers and Assumption of Expenses) 2.60% 2.48% 2.33% 2.58% 3.11% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 7% 6% 14% 11% 5% ----------------------------------------------------------------------------------------------------------------------------- CONTINENTAL SMALL COMPANY PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 8.93 $ 9.96 $ 12.33 $ 14.29 $ 17.42 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.49 0.23 0.27 0.33 0.24 Net Gains (Losses) on Securities (Realized and Unrealized) 3.83 0.02 (0.85) (0.01) (1.26) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 4.32 0.25 (0.58) 0.32 (1.02) ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.22) (0.27) (0.32) (0.25) (0.29) Net Realized Gains (0.43) (1.01) (1.47) (2.03) (1.82) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.65) (1.28) (1.79) (2.28) (2.11) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 12.60 $ 8.93 $ 9.96 $ 12.33 $ 14.29 ============================================================================================================================= Total Return 52.10% 2.71% (5.85)% 2.26% (6.26)% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 24,376 $ 60,743 $ 82,883 $ 110,220 $ 160,743 Ratio of Expenses to Average Net Assets** 0.77% 0.78% 0.76% 0.72% 0.70% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses)** 0.88% 0.78% 0.76% 0.72% 0.70% Ratio of Net Investment Income to Average Net Assets 2.07% 1.84% 2.28% 1.92% 1.56% Ratio of Net Investment Income to Average Net Assets (Excluding Waivers and Assumption of Expenses) 1.96% 1.84% 2.28% 1.92% 1.56% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 11% 12% 12% 9% 11% -----------------------------------------------------------------------------------------------------------------------------
** Represents the combined ratios for the portfolio and its pro-rata share of its Master Fund Series. N/A Refer to the Master Fund Series See accompanying Notes to Financial Statements. 91
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 7.42 $ 7.39 $ 7.84 $ 8.49 $ 7.54 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.16 0.15 0.19 0.18 0.14 Net Gains (Losses) on Securities (Realized and Unrealized) 4.09 0.06 (0.20) (0.63) 1.12 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 4.25 0.21 (0.01) (0.45) 1.26 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.15) (0.18) (0.18) (0.20) (0.15) Net Realized Gains -- -- (0.26) -- (0.16) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.15) (0.18) (0.44) (0.20) (0.31) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 11.52 $ 7.42 $ 7.39 $ 7.84 $ 8.49 ============================================================================================================================= Total Return 58.44% 2.95% (0.15)% (5.36)% 17.54% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,095,697 $ 576,537 $ 492,911 $ 472,235 $ 525,133 Ratio of Expenses to Average Net Assets 0.81% 0.83% 0.83% 0.82% 0.83% Ratio of Net Investment Income to Average Net Assets 1.75% 1.87% 2.36% 2.28% 1.81% Portfolio Turnover Rate 10% 21% 13% 16% 16% Portfolio Turnover Rate of Master Fund Series N/A@ N/A@ N/A@ N/A@ N/A@ ----------------------------------------------------------------------------------------------------------------------------- EMERGING MARKETS PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 8.65 $ 8.62 $ 9.52 $ 12.37 $ 8.16 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.16 0.10 0.12 0.11 0.08 Net Gains (Losses) on Securities (Realized and Unrealized) 3.18 0.05 (0.96) (2.86) 4.22 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.34 0.15 (0.84) (2.75) 4.30 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.12) (0.12) (0.06) (0.10) (0.09) Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.12) (0.12) (0.06) (0.10) (0.09) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 11.87 $ 8.65 $ 8.62 $ 9.52 $ 12.37 ============================================================================================================================= Total Return 39.13% 1.71% (8.95)% (22.49)% 53.34% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 594,076 $ 333,866 $ 298,036 $ 286,152 $ 330,604 Ratio of Expenses to Average Net Assets 0.78%(a) 0.78%(a) 0.90%(a) 0.90%(a) 0.91%(a) Ratio of Net Investment Income to Average Net Assets 1.79% 1.20% 1.50% 0.90% 0.90% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 1% 8% 6% 12% 16% -----------------------------------------------------------------------------------------------------------------------------
(a) Represents the combined ratios for the portfolio and its pro-rata share of its Master Fund Series. N/A Refer to the Master Fund Series N/A@ Not applicable, as the Portfolio is a stand-alone registered investment company. See accompanying Notes to Financial Statements. 92
EMERGING MARKETS SMALL CAP PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 5.89 $ 5.33 $ 6.79 $ 14.88 $ 9.09 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.10 0.06 0.10 0.12 0.04 Net Gains (Losses) on Securities (Realized and Unrealized) 2.88 0.54 (0.65) (1.68) 6.11 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 2.98 0.60 (0.55) (1.56) 6.15 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.07) (0.04) (0.06) (0.15) (0.06) Net Realized Gains (0.06) -- (0.85) (6.38) (0.30) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.13) (0.04) (0.91) (6.53) (0.36) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 8.74 $ 5.89 $ 5.33 $ 6.79 $ 14.88 ============================================================================================================================= Total Return 51.84% 11.23% (9.44)% (23.38)% 70.30% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 84,353 $ 26,516 $ 15,172 $ 10,992 $ 11,734 Ratio of Expenses to Average Net Assets** 1.12% 1.20% 1.56% 1.56% 1.77% Ratio of Net Investment Income to Average Net Assets 1.81% 1.31% 1.18% 0.77% 0.73% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 6% 16% 14% 20% 24% ----------------------------------------------------------------------------------------------------------------------------- DFA ONE-YEAR FIXED INCOME PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 10.39 $ 10.31 $ 10.21 $ 10.17 $ 10.22 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.16 0.27 0.51 0.60 0.52 Net Gains (Losses) on Securities (Realized and Unrealized) 0.03 0.08 0.11 0.04 (0.04) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.19 0.35 0.62 0.64 0.48 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.16) (0.27) (0.52) (0.60) (0.52) Net Realized Gains (0.12) -- -- -- (0.01) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.28) (0.27) (0.52) (0.60) (0.53) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.30 $ 10.39 $ 10.31 $ 10.21 $ 10.17 ============================================================================================================================= Total Return 1.85% 3.43% 6.21% 6.49% 4.80% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,454,736 $ 992,307 $ 739,847 $ 725,284 $ 712,520 Ratio of Expenses to Average Net Assets** 0.20% 0.20% 0.20% 0.20% 0.21% Ratio of Net Investment Income to Average Net Assets 1.45% 2.56% 5.04% 5.90% 5.07% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 143% 154% 55% 35% 58% -----------------------------------------------------------------------------------------------------------------------------
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series. N/A Refer to the Master Fund Series See accompanying Notes to Financial Statements. 93
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 10.19 $ 9.95 $ 10.05 $ 10.31 $ 10.21 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.22 0.25 0.19 1.01 0.56 Net Gains (Losses) on Securities (Realized and Unrealized) 0.01 0.20 0.45 (0.41) (0.09) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.23 0.45 0.64 0.60 0.47 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.34) (0.21) (0.56) (0.86) (0.36) Net Realized Gains -- -- -- -- (0.01) Return of Capital -- -- (0.18) -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.34) (0.21) (0.74) (0.86) (0.37) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.08 $ 10.19 $ 9.95 $ 10.05 $ 10.31 ============================================================================================================================= Total Return 2.26% 4.54% 6.75% 6.18% 4.69% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,195,072 $ 799,214 $ 596,119 $ 518,491 $ 531,488 Ratio of Expenses to Average Net Assets 0.25%(a) 0.25%(a) 0.27%(a) 0.27%(a) 0.27%(a) Ratio of Net Investment Income to Average Net Assets 1.68% 2.58% 1.34% 9.97% 5.59% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 144% 138% 113% 73% 78% ----------------------------------------------------------------------------------------------------------------------------- DFA FIVE-YEAR GOVERNMENT PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 11.05 $ 10.56 $ 10.32 $ 10.26 $ 10.35 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.34 0.41 0.49 0.59 0.49 Net Gains (Losses) on Securities (Realized and Unrealized) 0.10 0.51 0.32 0.01 (0.08) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.44 0.92 0.81 0.60 0.41 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.38) (0.43) (0.57) (0.54) (0.50) Net Realized Gains -- -- -- -- -- Return of Capital -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.38) (0.43) (0.57) (0.54) (0.50) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 11.11 $ 11.05 $ 10.56 $ 10.32 $ 10.26 ============================================================================================================================= Total Return 4.02% 9.06% 8.18% 6.16% 4.11% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 402,992 $ 315,290 $ 243,880 $ 218,557 $ 219,022 Ratio of Expenses to Average Net Assets 0.27% 0.26% 0.27% 0.28% 0.28% Ratio of Net Investment Income to Average Net Assets 3.20% 4.09% 4.79% 5.75% 4.95% Portfolio Turnover Rate 149% 19% 189% 60% 57% Portfolio Turnover Rate of Master Fund Series N/A@ N/A@ N/A@ N/A@ N/A@ -----------------------------------------------------------------------------------------------------------------------------
(a) Represents the combined ratio for the portfolio and its pro-rata share of its Master Fund Series. N/A Refer to Master Fund Series N/A@ Not applicable, as the DFA Five-Year Government Portfolio is a stand-alone registered investment company. See accompanying Notes to Financial Statements. 94
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 10.93 $ 10.50 $ 10.50 $ 10.53 $ 10.65 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.33 0.33 0.50 0.61 0.37 Net Gains (Losses) on Securities (Realized and Unrealized) 0.15 0.44 0.22 -- 0.01 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.48 0.77 0.72 0.61 0.38 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.39) (0.33) (0.72) (0.64) (0.22) Net Realized Gains (0.10) (0.01) -- -- (0.28) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.49) (0.34) (0.72) (0.64) (0.50) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.92 $ 10.93 $ 10.50 $ 10.50 $ 10.53 ----------------------------------------------------------------------------------------------------------------------------- Total Return 4.45% 7.55% 7.23% 6.09% 3.63% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 969,439 $ 761,717 $ 628,936 $ 517,325 $ 472,334 Ratio of Expenses to Average Net Assets 0.34% 0.35% 0.37% 0.38% 0.39% Ratio of Net Investment Income to Average Net Assets 3.23% 4.09% 4.04% 4.15% 3.62% Portfolio Turnover Rate 103% 79% 113% 80% 59% ----------------------------------------------------------------------------------------------------------------------------- DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 12.39 $ 11.90 $ 11.18 $ 10.84 $ 11.78 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.62 0.65 0.65 0.63 0.61 Net Gains (Losses) on Securities (Realized and Unrealized) (0.02) 0.48 0.71 0.38 (0.89) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.60 1.13 1.36 1.01 (0.28) ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.65) (0.64) (0.64) (0.63) (0.58) Net Realized Gains (0.20) -- -- (0.04) (0.08) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.85) (0.64) (0.64) (0.67) (0.66) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 12.14 $ 12.39 $ 11.90 $ 11.18 $ 10.84 ============================================================================================================================= Total Return 4.86% 9.95% 12.57% 9.75% (2.41)% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 316,234 $ 300,059 $ 310,661 $ 286,444 $ 256,376 Ratio of Expenses to Average Net Assets 0.17% 0.16% 0.16% 0.18% 0.21% Ratio of Net Investment Income to Average Net Assets 4.91% 5.37% 5.60% 6.00% 5.58% Portfolio Turnover Rate 23% 14% 17% 8% 13% -----------------------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements. 95
DFA SHORT TERM MUNICIAPAL BOND PORTFOLIO --------------------------- YEAR AUG. 20 (1) ENDED TO NOV. 30, NOV. 30, 2003 2002 ----------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 9.97 $ 10.00 ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.16 0.04 Net Gains (Losses) on Securities (Realized and Unrealized) 0.15 (0.04) ----------- ----------- Total From Investment Operations 0.31 -- ----------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.15) (0.03) Net Realized Gains -- -- ----------- ----------- Total Distributions (0.15) (0.03) ----------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.13 $ 9.97 ============================================================================= Total Return 3.17% (0.03)%# ----------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 213,389 $ 78,819 Ratio of Expenses to Average Net Assets 0.30% 0.30%* Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses) 0.34% 0.75%* Ratio of Net Investment Income to Average Net Assets 1.60% 1.71%* Ratio of Net Investment Income to Average Net Assets (Excluding Waivers and Assumption of Expenses) 1.56% 1.26%* Portfolio Turnover Rate 0% 0% -----------------------------------------------------------------------------
(1) Commencement of operations * Annualized # Non-annualized See accompanying Notes to Financial Statements. 96 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company whose shares are offered, without a sales charge, generally to institutional investors and clients of registered investment advisors. Twenty-three of the Fund's forty portfolios (the "Portfolios") are included in this report. Of the remaining seventeen portfolios, six portfolios are only available through a select group of insurance products and are presented in a separate report, seven are presented in separate reports, and four have not commenced operations. The following Portfolios (the "Feeder Funds") invest in a series of The DFA Investment Trust Company (the "Master Funds"):
PERCENTAGE OWNERSHIP PORTFOLIOS (FEEDER FUNDS) SERIES (MASTER FUNDS) AT 11/30/03 ------------------------- --------------------- ----------- U.S. Large Company Portfolio The U.S. Large Company Series 34% 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 82% U.S. Small XM Value Portfolio The U.S. Small XM Value Series 54% U.S. Small Cap Value Portfolio The U.S. Small Cap Value Series 93% U.S. Small Cap Portfolio The U.S. Small Cap Series 77% U.S. Micro Cap Portfolio The U.S. Micro Cap Series 100% International Small Company Portfolio The Japanese Small Company Series 86% The Pacific Rim Small Company Series 81% The United Kingdom Small Company Series 86% The Continental Small Company Series 88% Japanese Small Company Portfolio The Japanese Small Company Series 8% Pacific Rim Small Company Portfolio The Pacific Rim Small Company Series 13% United Kingdom Small Company Portfolio The United Kingdom Small Company Series 8% Continental Small Company Portfolio The Continental Small Company Series 5% Emerging Markets Portfolio The Emerging Markets Series 98% Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 72% 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 100%
Each Feeder Fund, with the exception of the International Small Company Portfolio (which invests in the four funds indicated), invests solely in a corresponding Master Fund. The International Small Company Portfolio also invests in short term temporary cash investments from time to time. The financial statements of the Master Funds are included elsewhere in this report and should be read in conjunction with the financial statements. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America for investment companies. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting 97 principles generally accepted in the United States of America may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the DFA Real Estate Securities Portfolio which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day. Effective May 21, 2003, 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 most recent bid and asked prices. Securities held by the Large Cap International Portfolio and the DFA International Small Cap Value Portfolio (the "International Equity Portfolios") which are listed on a securities exchange are valued at the last quoted sale price. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the mean between the most recent bid and asked prices. Securities for which quotations are not readily available are valued in good faith at fair value using methods approved by the Board of Directors. The International Equity Portfolios value their investment securities at fair value based upon procedures approved by the Board on days when significant events occur after the close of the principal exchange on which the securities are traded, and as a result, are expected to materially affect the value of the investments. 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 investment reflects their proportionate interest in the net assets of the corresponding Master Fund. 2. FOREIGN CURRENCY: Securities and other assets and liabilities of the International Equity Portfolios and the DFA Five-Year Global Fixed Income Portfolio whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. Dollar. 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 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. 98 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. Expenses directly attributable to a Portfolio are directly charged. Common expenses are allocated using methods approved by the Board of Directors, generally based on average net assets. The U.S. Large Company Portfolio, the International Small Company Portfolio, the Japanese Small Company Portfolio, the Pacific Rim Small Company Portfolio, the United Kingdom Small Company Portfolio, the Continental Small Company Portfolio, the Emerging Markets Portfolio and the Emerging Markets Small Cap Portfolio each accrue their respective share of income and expenses daily on their investment in their corresponding Master Fund, which are treated as partnerships for federal income tax purposes. All of the net investment income and realized and unrealized gains and losses from the security transactions and foreign currency of the Master Funds are allocated pro rata among its investors at the time of such determination. The Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Portfolios accrue such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. C. INVESTMENT ADVISOR AND ADMINISTRATOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to all Portfolios except the Feeder Funds. The Advisor provides administrative services to the Feeder Funds, including supervision of services provided by others, providing information to shareholders and the Board of Directors, and other administrative services. For the year ended November 30, 2003, the Portfolios' advisory fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: DFA Real Estate Securities Portfolio 0.30 of 1% Large Cap International Portfolio 0.25 of 1% DFA International Small Cap Value Portfolio 0.65 of 1% DFA Five-Year Government Portfolio 0.20 of 1% DFA Five-Year Global Fixed Income Portfolio 0.25 of 1% DFA Intermediate Government Fixed Income Portfolio 0.10 of 1%(a) DFA Short-Term Municipal Bond Portfolio 0.20 of 1%
(a) Effective June 1, 1999, the DFA Intermediate Government Fixed Income Portfolio changed its advisory fee from 0.15 of 1% of average daily net assets to 0.10 of 1% of average daily net assets. 99 For the year ended November 30, 2003, the Feeder Funds accrued daily and paid monthly to the Advisor an administrative fee based on the following effective annual rates of average daily net assets: U.S. Large Company Portfolio 0.215 of 1% Enhanced U.S. Large Company Portfolio 0.15 of 1% U.S. Large Cap Value Portfolio 0.15 of 1% U.S. Small XM Value Portfolio 0.30 of 1% U.S. Small Cap Value Portfolio 0.30 of 1% U.S. Small Cap Portfolio 0.32 of 1% U.S. Micro Cap Portfolio 0.40 of 1% International Small Company Portfolio 0.40 of 1% Japanese Small Company Portfolio 0.40 of 1% Pacific Rim Small Company Portfolio 0.40 of 1% United Kingdom Small Company Portfolio 0.40 of 1% Continental Small Company Portfolio 0.40 of 1% Emerging Markets Portfolio 0.40 of 1% Emerging Markets Small Cap Portfolio 0.45 of 1% DFA One-Year Fixed Income Portfolio 0.10 of 1% DFA Two-Year Global Fixed Income Portfolio 0.10 of 1%
For the U.S. Large Company Portfolio, 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 U.S. Large Company Series) to the extent necessary to limit the expenses to 0.15% of average net assets on an annualized basis. At any time that the annualized expenses of the U.S. Large Company Portfolio are less than 0.15% of 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 0.15% of average net assets on an annualized basis. At November 30, 2003, approximately $3,887,000 of previously waived fees were subject to future reimbursement to the Advisor over various periods not exceeding November 30, 2006. The Advisor agreed to waive its administrative service fee and/or assume the direct expenses of Enhanced U.S. Large Company Portfolio to the extent necessary to keep the annual combined expenses of the portfolio and its respective Master Fund to not more than 0.45% of the average daily net assets of the portfolio. At any time that the 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 during the prior thirty-six months. At November 30, 2003, there were no waived fees subject to future reimbursement. The Advisor agreed to waive its administrative service fee and/or assume the direct expenses of U.S. Small XM Value Portfolio to the extent necessary to keep the direct annual expenses of the Portfolio to not more than 0.50% of the average daily net assets of the Portfolio. At any time that the direct and indirect expenses of the Portfolio are less than 0.50% of its assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived during the prior thirty-six months. At November 30, 2003, approximately $23,000 of previously waived fees of U.S. Small XM Value Portfolio were subject to future reimbursement to the Advisor over various periods not exceeding November 30, 2006. 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 International Small Company Portfolio to 0.45% of its average net assets on an annualized basis. At any time that the direct and indirect expenses of the Portfolio are less than 0.45% of its assets on an annualized basis, exclusive of the indirect expenses of the Master Fund, the Advisor retains the right to seek reimbursement for any fees previously waived during the prior thirty-six months. At November 30, 2003, there were no waived fees subject to future reimbursement. For the Pacific Rim Small Company Portfolio, the United Kingdom Small Company Portfolio, the Continental Small Company Portfolio, and the Japanese Small Company Portfolio, the Advisor has agreed to waive its administration fees 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 100 not include the indirect expenses each Portfolio bears as a shareholder of their master funds. 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 their average net assets on an annualized basis. At November 30, 2003 approximately $36,700, $86,000, $35,000, and $35,600 respectively, of waived fees of the Pacific Rim Small Company Portfolio, the United Kingdom Small Company Portfolio, the Continental Small Company Portfolio, and the Japanese Small Company Portfolio were subject to future reimbursement to the Advisor over various periods not exceeding November 30, 2006. The Advisor agreed to waive its administrative service fee and/or assume the direct and indirect expenses of Emerging Markets Portfolio to the extent necessary to keep the annual combined expenses of the portfolio and its respective Master Fund to not more than 1.00% of the average daily net assets of the portfolio. At any time that the total direct and indirect 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 for any fees previously waived during the prior thirty-six months. At November 30, 2003, there were no waivers or fees subject to future reimbursement by the Advisor. For the DFA Short-Term Municipal Bond Portfolio, the Advisor has contractually agreed to waive its management fee to the extent necessary to reduce the Portfolio's expenses when its total operating expenses exceed 0.30% of its average net assets on an annualized basis. At any time that the annualized expenses of the Portfolio are less than 0.30% of its average net assets on an annualized basis, the Advisor retains the right to seek reimbursement for any fees previously waived to the extent that such reimbursement will not cause the Portfolio's annualized expenses to exceed 0.30% of its average net assets. The Portfolio is not obligated to reimburse the Advisor for fees previously waived by the Advisor more than thirty-six months prior to the date of such reimbursement. At November 30, 2003, approximately $125,000 of waived fees of DFA Short-Term Municipal Bond Portfolio were subject to future reimbursement over various periods not exceeding November 30, 2006. Certain officers of the Portfolios are also officers, and shareholders of the Advisor. D. DEFERRED COMPENSATION: At November 30, 2003, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities as follows: U.S. Large Company Portfolio $ 12,014 Enhanced U.S. Large Company Portfolio 1,798 U.S. Large Cap Value Portfolio 19,435 U.S. Small XM Value Portfolio 1,012 U.S. Small Cap Value Portfolio 46,655 U.S. Small Cap Portfolio 11,563 U.S. Micro Cap Portfolio 28,439 DFA Real Estate Securities Portfolio 7,987 Large Cap International Portfolio 5,650 International Small Company Portfolio 9,228 Japanese Small Company Portfolio 500 Pacific Rim Small Company Portfolio 437 United Kingdom Small Company Portfolio 261 Continental Small Company Portfolio 480 DFA International Small Cap Value Portfolio 11,009 Emerging Markets Portfolio 6,019 Emerging Markets Small Cap Portfolio 656 DFA One-Year Fixed Income Portfolio 18,786 DFA Two-Year Global Fixed Income Portfolio 14,625 DFA Five-Year Government Portfolio 5,418 DFA Five-Year Global Fixed Income Portfolio 12,423 DFA Intermediate Government Fixed Income Portfolio 4,499 DFA Short-Term Municipal Bond Portfolio 2,068
101 E. PURCHASES AND SALES OF SECURITIES: For the year ended November 30, 2003, 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 -- -- $ 238,877 $ 8,192 Large Cap International Portfolio -- -- 89,343 3,082 DFA International Small Cap Value Portfolio -- -- 109,679 61,879 DFA Five-Year Government Portfolio $ 613,898 $ 531,343 -- -- DFA Five-Year Global Fixed Income Portfolio -- -- 1,055,793 842,705 DFA Intermediate Government Fixed Income Portfolio 36,335 32,211 46,275 36,176 DFA Short-Term Municipal Bond Portfolio -- -- 92,336 --
F. FEDERAL INCOME TAXES: No provision for federal income taxes is required since it is each Portfolio's intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute substantially all of its taxable income and capital gains to shareholders. Because income tax regulations differ from accounting principles generally accepted in the United States of America, the timing and character of income and capital gain distributions determined in accordance with tax regulations can differ from income and capital gains recognized for financial reporting purposes. Accordingly, the character of distributions and the composition of net assets for tax purposes can differ from those reflected in the financial statements. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid in capital, accumulated net realized gain (loss) or undistributed net investment income as appropriate, in the period the differences arise. These reclassifications have no effect on net assets or net asset value per share. Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. During the year ended November 30, 2003, the following Portfolios' realized net foreign currency gains/losses, which increased/decreased distributable net income for tax purposes; accordingly such gains/losses have been reclassified from accumulated net realized gains/losses to accumulated net investment income (loss). Large Cap International Portfolio $ 96,932 International Small Company Portfolio 309,404 Japanese Small Company Portfolio 7,073 Pacific Rim Small Company Portfolio 5,517 United Kingdom Small Company Portfolio 2,762 Continental Small Company Portfolio 76,400 DFA International Small Cap Value Portfolio 438,280 Emerging Markets Portfolio (276,110) Emerging Markets Small Cap Portfolio (90,264) DFA Five-Year Global Fixed Income Portfolio (826,222)
102 At November 30, 2003, gross unrealized appreciation and depreciation for federal income tax purposes of investment securities and foreign currencies was as follows (amounts in thousands):
GROSS UNREALIZED GROSS UNREALIZED APPRECIATION DEPRECIATION NET ---------------- ---------------- ------------ U.S. Large Company Portfolio $ 246,121 $ (147,746) $ 98,375 Enhanced U.S. Large Company Portfolio -- (26,833) (26,833) U.S. Large Cap Value Portfolio 240,218 (98,177) 142,041 U.S. Small XM Value Portfolio 18,054 -- 18,054 U.S. Small Cap Value Portfolio 1,296,500 (158,359) 1,138,141 U.S. Small Cap Portfolio 161,309 -- 161,309 U.S. Micro Cap Portfolio 805,472 -- 805,472 DFA Real Estate Securities Portfolio 175,277 (7,977) 167,300 Large Cap International Portfolio 69,658 (75,960) (6,302) International Small Company Portfolio 151,739 (4,114) 147,625 Japanese Small Company Portfolio 24,237 (156,662) (132,425) Pacific Rim Small Company Portfolio 48,962 (81,261) (32,299) United Kingdom Small Company Portfolio 70,365 (66,199) 4,166 Continental Small Company Portfolio 62,763 (55,018) 7,745 DFA International Small Cap Value Portfolio 297,390 (124,687) 172,703 Emerging Markets Portfolio 170,948 (75,513) 95,435 Emerging Markets Small Cap Portfolio 15,691 -- 15,691 DFA One-Year Fixed Income Portfolio 13,550 (6,570) 6,980 DFA Two-Year Global Fixed Income Portfolio 11,934 (8,098) 3,836 DFA Five-Year Government Portfolio 287 (3,489) (3,202) DFA Five-Year Global Fixed Income Portfolio 2,752 (10,494) (7,742) DFA Intermediate Government Fixed Income Portfolio 21,940 (1,201) 20,739 DFA Short-Term Municipal Bond Portfolio 1,307 (228) 1,079
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at November 30, its fiscal year end. As of November 30, 2003, the following Portfolios had capital loss carryforwards for federal income tax purposes (amounts in thousands):
EXPIRES ON NOVEMBER 30, ----------------------- 2005 2006 2007 2008 2009 2010 2011 TOTAL -------- -------- -------- -------- -------- -------- -------- -------- U.S. Large Company Portfolio -- -- -- -- $ 2,253 -- $ 28,799 $ 31,052 Enhanced U.S. Large Company Portfolio -- -- -- -- 9 -- 2,572 2,581 U.S. Large Cap Value Portfolio -- -- -- -- -- $ 1,412 -- 1,412 Large Cap International Portfolio -- -- -- -- 2,431 18,180 533 21,144 International Small Company Portfolio -- -- -- -- 1,816 272 -- 2,088 Japanese Small Company Portfolio $ 1,532 $ 7,918 $ 2,826 $ 632 3,508 4,453 19,912 40,781 Pacific Rim Small Company Portfolio -- -- 566 -- 906 3,164 6,171 10,807 United Kingdom Small Co. Portfolio -- -- -- -- -- 102 -- 102 Emerging Markets Portfolio -- 962 1,831 -- 18,234 19,225 7,371 47,623 DFA One-Year Fixed Income Portfolio -- -- -- 45 -- -- -- 45 DFA Two-Year Global Fixed Income Portfolio -- -- -- -- 550 -- -- 550
103 During the year ended November 30, 2003, the following Portfolios utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes in the following approximate amounts: International Small Company Portfolio $ 10,052,000 DFA International Small Cap Value Portfolio 2,094,000 DFA One-Year Fixed Income Portfolio 42,000 DFA Two-Year Global Fixed Income Portfolio 617,000 DFA Five-Year Government Portfolio 2,289,000
Certain of the Portfolio's investments are in securities considered to be "passive foreign investment companies", for which any unrealized appreciation (depreciation) (mark to market) and/or realized gains are required to be included in distributable net investment income for tax purposes. The following Portfolio's had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income.
MARK TO MARKET REALIZED GAINS -------------- -------------- Large Cap International Portfolio $ 1,280,889 $ 37,739 International Small Company Portfolio 1,824,415 1,016,120 Japanese Small Company Portfolio 42,726 7,294 Pacific Rim Small Company Portfolio 521,735 739,744 United Kingdom Small Company Portfolio 38,842 16,885 Continental Small Company Portfolio 94,741 436,445 DFA International Small Cap Value Portfolio 5,100,660 977,325 Emerging Markets Portfolio 1,702,489 309,704 Emerging Markets Small Cap Portfolio 215,229 112,990
The Emerging Markets Portfolio's investment in the Emerging Markets Series reflects a spinoff of Telebras Common Shares and Preferred Shares from 1998. This was treated as a spin-off of twelve other companies. It was determined to be a taxable event for federal income tax purposes. As a result, the entire amount of the mark to market of the security was distributed as realized gains in 1998 (and the proportionate amount was passed down to the Emerging Markets Portfolio). Subsequently, as the spun off companies are sold from The Emerging Markets Series, the Emerging Markets Portfolio will reverse it's proportionate amount of the realized $1,346,024 from distributable realized gains in the year ended November 30, 2003. G. COMPONENTS OF NET ASSETS: At November 30, 2003, net assets consist of (amounts in thousands):
ACCUMULATED ACCUMULATED DEFERRED NET NET REALIZED THAILAND INVESTMENT ACCUMULATED FOREIGN CAPITAL PAID-IN INCOME NET REALIZED EXCHANGE GAINS CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) TAX ---------- ----------- ------------ ------------ -------- U.S. Large Company Portfolio $ 946,018 $ 3,955 $ (80,766) -- -- Enhanced U.S. Large Company Portfolio 170,776 127 (35,318) -- -- U.S. Large Cap Value Portfolio 1,564,157 4,674 (110,651) -- -- U.S. Small XM Value Portfolio 72,443 172 4,454 -- -- U.S. Small Cap Value Portfolio 2,843,668 11,789 57,789 -- -- U.S. Small Cap Portfolio 969,446 3,318 (66,161) -- -- U.S. Micro Cap Portfolio 1,778,734 4,090 (64,269) -- -- UNREALIZED APPRECIATION (DEPRECIATION) OF INVESTMENT UNREALIZED SECURITIES, NET FOREIGN FUTURES AND EXCHANGE NUMBER OF FOREIGN GAIN TOTAL NET SHARES CURRENCY (LOSS) ASSETS AUTHORIZED -------------- ----------- ----------- ----------- U.S. Large Company Portfolio $ 148,058 -- $ 1,017,265 200,000,000 Enhanced U.S. Large Company Portfolio 5,904 -- 141,489 100,000,000 U.S. Large Cap Value Portfolio 251,248 -- 1,709,428 100,000,000 U.S. Small XM Value Portfolio 19,855 -- 96,924 100,000,000 U.S. Small Cap Value Portfolio 1,296,501 -- 4,209,747 300,000,000 U.S. Small Cap Portfolio 227,424 -- 1,134,027 100,000,000 U.S. Micro Cap Portfolio 904,292 -- 2,622,847 300,000,000
104
ACCUMULATED ACCUMULATED DEFERRED NET NET REALIZED THAILAND INVESTMENT ACCUMULATED FOREIGN CAPITAL PAID-IN INCOME NET REALIZED EXCHANGE GAINS CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) TAX ---------- ----------- ------------ ------------ -------- DFA Real Estate Securities Portfolio $ 600,168 $ 7,729 $ 9,346 -- -- Large Cap International Portfolio 522,361 7,754 (21,958) $ 99 -- International Small Company Portfolio 749,865 11,283 (1,208) 309 -- Japanese Small Company Portfolio 195,881 (15) (43,472) 7 -- Pacific Rim Small Company Portfolio 62,901 (682) (10,115) 6 -- United Kingdom Small Company Portfolio 7,645 443 (97) 3 -- Continental Small Company Portfolio 12,673 677 3,060 76 -- DFA International Small Cap Value Portfolio 896,838 11,022 9,441 439 -- Emerging Markets Portfolio 544,836 5,437 (49,535) (276) $ (2,618) Emerging Markets Small Cap Portfolio 67,759 740 636 (90) (598) DFA One-Year Fixed Income Portfolio 1,447,693 108 (6,615) -- -- DFA Two-Year Global Fixed Income Portfolio 1,189,776 (8,338) 1,361 -- -- DFA Five-Year Government Portfolio 386,786 5,809 13,598 -- -- DFA Five-Year Global Fixed Income Portfolio 932,398 8,128 37,464 (826) -- DFA Intermediate Government Fixed Income Portfolio $ 284,366 $ 3,642 $ 7,487 -- -- DFA Short-Term Municipal Bond Portfolio 212,007 303 -- -- -- UNREALIZED APPRECIATION (DEPRECIATION) OF INVESTMENT UNREALIZED SECURITIES, NET FOREIGN FUTURES AND EXCHANGE NUMBER OF FOREIGN GAIN TOTAL NET SHARES CURRENCY (LOSS) ASSETS AUTHORIZED -------------- ----------- ----------- ----------- DFA Real Estate Securities Portfolio $ 166,162 -- $ 783,405 100,000,000 Large Cap International Portfolio (4,168) $ 35 504,123 150,000,000 International Small Company Portfolio 149,449 189 909,887 100,000,000 Japanese Small Company Portfolio (129,684) (4) 22,713 50,000,000 Pacific Rim Small Company Portfolio (31,729) (3) 20,378 50,000,000 United Kingdom Small Company Portfolio 4,212 3 12,209 20,000,000 Continental Small Company Portfolio 7,840 50 24,376 200,000,000 DFA International Small Cap Value Portfolio 177,842 115 1,095,697 200,000,000 Emerging Markets Portfolio 96,232 -- 594,076 100,000,000 Emerging Markets Small Cap Portfolio 15,907 (1) 84,353 100,000,000 DFA One-Year Fixed Income Portfolio 13,550 -- 1,454,736 300,000,000 DFA Two-Year Global Fixed Income Portfolio 12,273 -- 1,195,072 200,000,000 DFA Five-Year Government Portfolio (3,201) -- 402,992 100,000,000 DFA Five-Year Global Fixed Income Portfolio (7,742) 17 969,439 100,000,000 DFA Intermediate Government Fixed Income Portfolio $ 20,739 -- $ 316,234 100,000,000 DFA Short-Term Municipal Bond Portfolio 1,079 -- 213,389 100,000,000
H. FINANCIAL INSTRUMENTS: In accordance with the Portfolios' Investment Objectives and Policies, the Portfolios may invest, either directly or through their investment in a corresponding Master Fund, in certain financial instruments that have off-balance sheet risk and concentrations of credit risk. These instruments and their significant corresponding risks are described below: 1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Fund's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on November 28, 2003. 2. FORWARD CURRENCY CONTRACTS: The DFA Five-Year Global Fixed Income Portfolio may enter into forward foreign currency contracts only to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies. At November 30, 2003, the DFA Five-Year Global Fixed Income Portfolio had no outstanding Forward 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. 105 3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Fund may be inhibited. I. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, as long as total borrowings under the line of credit do not exceed $50 million in the aggregate. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this is not a committed facility. The agreement for the discretionary line of credit may be terminated at any time. There were no borrowings under the discretionary line of credit during the year ended November 30, 2003. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2004. There were no borrowings under the line of credit during the year ended November 30, 2003. J. REIMBURSEMENT FEES: Until March 30, 2002, shares of the Japanese Small Company Portfolio, the Pacific Rim Small Company Portfolio, the Continental Small Company Portfolio, the International Small Company Portfolio, the Emerging Markets Portfolio, the Emerging Markets Small Cap Portfolio and the DFA International Small Cap Value Portfolio were sold at a public offering price equal to the current net asset value of such shares plus a reimbursement fee. Reimbursement fees were recorded as an addition to paid-in capital. The reimbursement fees for the Japanese Small Company Portfolio and the Emerging Markets Portfolio were .50% of the net asset value of their shares. The reimbursement fees for the Pacific Rim Small Company Portfolio, the Continental Small Company Portfolio and the Emerging Markets Small Cap Portfolio were 1.00% of the net asset value of their shares. The reimbursement fee for the DFA International Small Cap Value Portfolio and the International Small Company Portfolio were 0.675% of the net asset value of its shares. Effective March 30, 2002, the Portfolios no longer charge reimbursement fees. K. SECURITIES LENDING: As of November 30, 2003, some of the Fund's portfolios had securities on loan to broker/dealers, for which each portfolio held cash collateral. Each portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% of the market value of the securities on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, PNC Bank, National Association, the lending agent, has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. Each portfolio, along with other portfolios of the Fund, invests the cash collateral received from securities on loan in a pooled cash account, which invests in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. 106 REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC. In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of U.S. Large Company Portfolio, Enhanced U.S. Large Company Portfolio, U.S. Large Cap Value Portfolio, U.S. Small XM Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real Estate Securities Portfolio, Large Cap International Portfolio, International Small Company Portfolio, Japanese Small Company Portfolio, Pacific Rim Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, DFA International Small Cap Value Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, DFA One-Year Fixed Income Portfolio, DFA Two-Year Global Fixed Income Portfolio, DFA Five-Year Government Portfolio, DFA Five-Year Global Fixed Income Portfolio, DFA Intermediate Government Fixed Income Portfolio and DFA Short-Term Municipal Bond Portfolio (constituting portfolios within DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolios") at November 30, 2003, and the results of each of their operations, for the year then ended, and the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2003 by correspondence with the custodians, transfer agent of the investee funds and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 15, 2004 107 DIMENSIONAL INVESTMENT GROUP INC. PERFORMANCE CHART [CHART] DFA INTERNATIONAL VALUE PORTFOLIO VS. MSCI EAFE INDEX (NET DIVIDENDS) FEBRUARY 15, 1994-NOVEMBER 30, 2003 GROWTH OF $10,000
DFA INTERNATIONAL VALUE PORTFOLIO MSCI EAFE INDEX (NET DIVIDENDS) Feb-1994 $ 10,000 Feb-1994 $ 10,100 $ 10,000 Mar-1994 $ 9,830 $ 9,569 Apr-1994 $ 10,161 $ 9,975 May-1994 $ 10,221 $ 9,918 Jun-1994 $ 10,336 $ 10,058 Jul-1994 $ 10,538 $ 10,155 Aug-1994 $ 10,699 $ 10,396 Sep-1994 $ 10,322 $ 10,068 Oct-1994 $ 10,756 $ 10,404 Nov-1994 $ 10,187 $ 9,903 Dec-1994 $ 10,246 $ 9,966 Jan-1995 $ 9,840 $ 9,583 Feb-1995 $ 9,819 $ 9,556 Mar-1995 $ 10,395 $ 10,152 Apr-1995 $ 10,719 $ 10,533 May-1995 $ 10,648 $ 10,408 Jun-1995 $ 10,543 $ 10,225 Jul-1995 $ 11,137 $ 10,862 Aug-1995 $ 10,748 $ 10,448 Sep-1995 $ 10,815 $ 10,652 Oct-1995 $ 10,609 $ 10,365 Nov-1995 $ 10,894 $ 10,653 Dec-1995 $ 11,423 $ 11,083 Jan-1996 $ 11,537 $ 11,128 Feb-1996 $ 11,599 $ 11,166 Mar-1996 $ 11,768 $ 11,404 Apr-1996 $ 12,223 $ 11,736 May-1996 $ 12,109 $ 11,520 Jun-1996 $ 12,147 $ 11,584 Jul-1996 $ 11,824 $ 11,246 Aug-1996 $ 11,865 $ 11,271 Sep-1996 $ 12,070 $ 11,570 Oct-1996 $ 11,955 $ 11,452 Nov-1996 $ 12,489 $ 11,908 Dec-1996 $ 12,315 $ 11,755 Jan-1997 $ 11,905 $ 11,343 Feb-1997 $ 12,014 $ 11,529 Mar-1997 $ 12,053 $ 11,571 Apr-1997 $ 11,988 $ 11,632 May-1997 $ 12,896 $ 12,389 Jun-1997 $ 13,446 $ 13,072 Jul-1997 $ 13,632 $ 13,284 Aug-1997 $ 12,739 $ 12,291 Sep-1997 $ 13,200 $ 12,980 Oct-1997 $ 12,511 $ 11,983 Nov-1997 $ 11,974 $ 11,861 Dec-1997 $ 11,929 $ 11,964 Jan-1998 $ 12,643 $ 12,511 Feb-1998 $ 13,470 $ 13,314 Mar-1998 $ 14,066 $ 13,724 Apr-1998 $ 14,111 $ 13,832 May-1998 $ 14,233 $ 13,764 Jun-1998 $ 14,097 $ 13,869 Jul-1998 $ 14,255 $ 14,009 Aug-1998 $ 12,386 $ 12,273 Sep-1998 $ 11,716 $ 11,898 Oct-1998 $ 12,882 $ 13,138 Nov-1998 $ 13,447 $ 13,810 Dec-1998 $ 13,702 $ 14,356 Jan-1999 $ 13,428 $ 14,313 Feb-1999 $ 13,086 $ 13,972 Mar-1999 $ 13,886 $ 14,555 Apr-1999 $ 14,709 $ 15,144 May-1999 $ 13,966 $ 14,364 Jun-1999 $ 14,589 $ 14,924 Jul-1999 $ 15,110 $ 15,368 Aug-1999 $ 15,259 $ 15,425 Sep-1999 $ 15,317 $ 15,580 Oct-1999 $ 15,236 $ 16,157 Nov-1999 $ 15,189 $ 16,717 Dec-1999 $ 15,935 $ 18,219 Jan-2000 $ 14,705 $ 17,062 Feb-2000 $ 14,339 $ 17,521 Mar-2000 $ 15,124 $ 18,201 Apr-2000 $ 14,734 $ 17,243 May-2000 $ 15,007 $ 16,822 Jun-2000 $ 16,056 $ 17,480 Jul-2000 $ 15,531 $ 16,748 Aug-2000 $ 15,661 $ 16,894 Sep-2000 $ 15,208 $ 16,071 Oct-2000 $ 15,088 $ 15,692 Nov-2000 $ 15,076 $ 15,103 Dec-2000 $ 15,907 $ 15,639 Jan-2001 $ 15,932 $ 15,631 Feb-2001 $ 15,446 $ 14,459 Mar-2001 $ 14,512 $ 13,495 Apr-2001 $ 15,268 $ 14,433 May-2001 $ 15,152 $ 13,923 Jun-2001 $ 14,860 $ 13,354 Jul-2001 $ 14,549 $ 13,111 Aug-2001 $ 14,757 $ 12,779 Sep-2001 $ 12,877 $ 11,484 Oct-2001 $ 12,956 $ 11,778 Nov-2001 $ 13,425 $ 12,213 Dec-2001 $ 13,481 $ 12,285 Jan-2002 $ 13,183 $ 11,633 Feb-2002 $ 13,332 $ 11,714 Mar-2002 $ 14,160 $ 12,348 Apr-2002 $ 14,634 $ 12,429 May-2002 $ 15,123 $ 12,587 Jun-2002 $ 14,698 $ 12,086 Jul-2002 $ 13,191 $ 10,893 Aug-2002 $ 13,178 $ 10,868 Sep-2002 $ 11,611 $ 9,701 Oct-2002 $ 11,942 $ 10,222 Nov-2002 $ 12,659 $ 10,686 Dec-2002 $ 12,333 $ 10,327 Jan-2003 $ 11,918 $ 9,896 Feb-2003 $ 11,683 $ 9,670 Mar-2003 $ 11,396 $ 9,480 Apr-2003 $ 12,644 $ 10,409 May-2003 $ 13,601 $ 11,040 Jun-2003 $ 14,039 $ 11,307 Jul-2003 $ 14,670 $ 11,581 Aug-2003 $ 15,050 $ 11,860 Sep-2003 $ 15,628 $ 12,225 Oct-2003 $ 16,855 $ 12,987 Nov-2003 $ 17,208 $ 13,276
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS FEBRUARY 15, 1994 ---------------------------------------------------------- 35.94 5.06 5.70
- OTHE PORTFOLIO INVESTS IN THE DFA INTERNATIONAL VALUE SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN THE STOCKS OF LARGE NON-US COMPANIES WHICH THE ADVISOR BELIEVES TO BE VALUE STOCKS AT THE TIME OF PURCHASE. THE PORTFOLIO PROVIDES ACCESS TO PUBLICLY TRADED COMPANIES LISTED ON THE MAJOR EXCHANGES OF COUNTRIES INCLUDED IN THE MSCI EAFE INDEX. Past performance is not predictive of future performance. Daily index data not available at the inception of the fund. Index return is from first full month of fund inception. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital International. 108 DFA INTERNATIONAL VALUE PORTFOLIO MANAGEMENT'S DISCUSSION AND ANALYSIS INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2003 International equity markets had generally positive returns for the period under review. When expressed in local currencies, prices rose in nine of the ten largest country constituents of the MSCI EAFE Index. Net returns were enhanced considerably by appreciation in the euro, Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona relative to the U.S. dollar. The overall effect of currency exchange rate changes was a material improvement in returns for U.S. dollar-based investors: total return for the MSCI EAFE Index (net dividends) was 7.64% in local currency and 24.23% in U.S. dollars. % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2003
LOCAL CURRENCY U.S. DOLLAR TEN LARGEST DEVELOPED MARKETS RETURN RETURN ----------------------------- -------- ----------- United Kingdom 8.75% 20.20% Japan 10.89% 23.83% France 4.36% 25.05% Switzerland 6.19% 21.02% Germany 13.35% 35.77% Netherlands -7.05% 11.00% Australia 6.24% 35.23% Italy 8.50% 29.46% Spain 11.80% 34.09% Sweden 14.22% 35.75%
---------- Source: Morgan Stanley Capital International Mirroring the U.S. experience, large company growth stocks were the poorest-performing asset class in international markets, while small company stocks had the best relative results. % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2003 (U.S. DOLLARS) MSCI EAFE Small Cap Index 45.99% Citigroup EPAC Extended Market Index -- EPAC (small companies) 41.90% MSCI EAFE Value Index (net dividends) 27.79% MSCI EAFE Index (net dividends) 24.23% MSCI EAFE Growth Index (net dividends) 20.62%
MASTER-FEEDER STRUCTURE The portfolio described below, called a "Feeder Fund", does not buy individual securities directly; instead, the portfolio invests in a corresponding fund called a "Master Fund". The Master Fund, in turn, purchases stocks, bonds, and/or other securities. DFA INTERNATIONAL VALUE PORTFOLIO The DFA International Value Portfolio seeks to capture the returns of international large company value stocks by purchasing shares of a Master Fund that invests in such stocks. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to large cap value stocks, but does not attempt to closely track a specific equity index. The Master Fund held 597 stocks in 21 developed country markets, as of November 30, 2003, and was essentially fully invested in equities throughout the period: cash equivalents averaged less than 2.5% of the Master Fund's assets. 109 As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in international equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, value stocks outperformed growth stocks in international markets, mirroring a trend observed in the United States. Total returns were 24.23% for the MSCI EAFE Index (net dividends), 20.62% for the MSCI EAFE Growth Index (net dividends), and 27.79% for the MSCI EAFE Value Index (net dividends). Total return for the DFA International Value Portfolio over this period was 35.94%. 110 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS) ASSETS: Investment in The DFA International Value Series of The DFA Investment Trust Company (60,359,929 Shares, Cost $620,344) ++ at Value + $ 748,463 Receivable for Fund Shares Sold 1,183 Prepaid Expenses and Other Assets 6 -------------- Total Assets 749,652 -------------- LIABILITIES: Payables: Investment Securities Purchased 839 Fund Shares Redeemed 344 Due to Advisor 122 Accrued Expenses and Other Liabilities 28 -------------- Total Liabilities 1,333 -------------- NET ASSETS $ 748,319 ============== SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 200,000,000) 61,334,744 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 12.20 ============== NET ASSETS CONSIST OF: Paid-in Capital $ 657,770 Accumulated Net Investment Income (Loss) 2,029 Accumulated Net Realized Gain (Loss) (39,599) Unrealized Appreciation (Depreciation) from Investment Securities 128,119 -------------- Total Net Assets $ 748,319 ==============
---------- + See Note B to Financial Statements. ++ The cost for federal income tax purposes is $650,332. See accompanying Notes to Financial Statements. 111 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO STATEMENT OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Income Distributions Received from The DFA Investment Trust Company $ 13,672 -------------- EXPENSES Administrative Services 1,101 Accounting & Transfer Agent Fees 39 Legal Fees 27 Audit Fees 9 Filing Fees 34 Shareholders' Reports 17 Directors' Fees and Expenses 3 Total Expenses 1,230 -------------- NET INVESTMENT INCOME (LOSS) 12,442 -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES Capital Gain Distributions Received from The DFA Investment Trust Company 507 Net Realized Gain (Loss) on Investment Securities Sold (8,106) Change in Unrealized Appreciation (Depreciation) of Investment Securities 180,511 -------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES 172,912 -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 185,354 ==============
See accompanying Notes to Financial Statements. 112 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
YEAR YEAR ENDED ENDED NOV. 30, NOV. 30, 2003 2002 ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 12,442 $ 10,097 Capital Gain Distributions Received from The DFA Investment Trust Company 507 1,058 Net Realized Gain (Loss) on Investment Securities Sold (8,106) (17,004) Change in Unrealized Appreciation (Depreciation) of Investment Securities 180,511 (21,903) ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 185,354 (27,752) ------------ ------------ Distributions From: Net Investment Income (12,609) (9,024) Net Short-Term Gains -- (122) Net Long-Term Gains -- (13,714) ------------ ------------ Total Distributions (12,609) (22,860) ------------ ------------ Capital Share Transactions (1): Shares Issued 217,849 192,491 Shares Issued in Lieu of Cash Distributions 12,606 22,856 Shares Redeemed (119,194) (149,918) ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 111,261 65,429 ------------ ------------ Total Increase (Decrease) 284,006 14,817 NET ASSETS Beginning of Period 464,313 449,496 ------------ ------------ End of Period $ 748,319 $ 464,313 ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 22,165 19,880 Shares Issued in Lieu of Cash Distributions 1,279 2,305 Shares Redeemed (12,639) (15,291) ------------ ------------ 10,805 6,894 ============ ============
See accompanying Notes to Financial Statements. 113 DIMENSIONAL INVESTMENT GROUP INC. DFA INTERNATIONAL VALUE PORTFOLIO FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ------------ ------------ ------------ ------------ ------------ Net Asset Value, Beginning of Period $ 9.19 $ 10.30 $ 12.58 $ 13.07 $ 11.88 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.22 0.23 0.25 0.24 0.28 Net Gains (Losses) on Securities (Realized and Unrealized) 3.02 (0.78) (1.50) (0.32) 1.24 ------------ ------------ ------------ ------------ ------------ Total from Investment Operations 3.24 (0.55) (1.25) (0.08) 1.52 ------------ ------------ ------------ ------------ ------------ LESS DISTRIBUTIONS Net Investment Income (0.23) (0.21) (0.27) (0.22) (0.29) Net Realized Gains -- (0.35) (0.76) (0.19) (0.04) ------------ ------------ ------------ ------------ ------------ Total Distributions (0.23) (0.56) (1.03) (0.41) (0.33) ------------ ------------ ------------ ------------ ------------ Net Asset Value, End of Period $ 12.20 $ 9.19 $ 10.30 $ 12.58 $ 13.07 ============ ============ ============ ============ ============ Total Return 35.92% (5.72)% (10.96)% (0.72)% 12.96% Net Assets, End of Period (thousands) $ 748,319 $ 464,313 $ 449,496 $ 569,234 $ 453,713 Ratio of Expenses to Average Net Assets ** 0.52% 0.53% 0.51% 0.52% 0.52% Ratio of Net Investment Income to Average Net Assets 2.26% 2.35% 2.12% 1.76% 2.21% Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 14% 18% 6% 9% 6%
---------- ** Represents the combined ratio for the Portfolio and its respective pro-rata share of its Master Fund Series. N/A Refer to the respective Master Fund Series. See accompanying Notes to Financial Statements. 114 DIMENSIONAL INVESTMENT GROUP INC. NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: Dimensional Investment Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund currently offers twenty-two portfolios, of which DFA International Value Portfolio (the "Portfolio") is presented in this report. The Portfolio invests all of its assets in The DFA International Value Series (the "Series"), a corresponding series of The DFA Investment Trust Company. At November 30, 2003, the Portfolio owned 47% 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. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America for investment companies. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The shares of the Series held by the Portfolio are valued at its respective daily net asset value. 2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. At November 30, 2003 the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities in the amount of $8,078. 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 are allocated using methods approved by the Board of Directors, generally based on average net assets. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides administrative services to the Portfolio, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors, and other administrative services. The Advisor provides investment advisory services to the Series. For the year ended November 30, 2003, 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 Portfolio are also officers, directors and shareholders of the Advisor. 115 D. FEDERAL INCOME TAXES: No provision for federal income taxes is required since it is the Portfolio's intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute substantially all of its taxable income and capital gains to shareholders. Because income tax regulations differ from generally accepted accounting principles, the timing and character of income and capital gain distributions determined in accordance with tax regulations can differ from income and capital gains recognized for financial reporting purposes. Accordingly, the character of distributions and the composition of net assets for tax purposes can differ from those reflected in the financial statements. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid in capital, accumulated net realized gain (loss) or undistributed net investment income as appropriate, in the period the differences arise. These reclassifications have no effect on net assets or net asset value per share. Short-term gain distributions to shareholders are treated as ordinary income for tax purposes. The components of distributable earnings on a tax basis do not differ materially from book basis distributable earnings, which are disclosed in the Statement of Assets and Liabilities. At November 30, 2003, gross unrealized appreciation and depreciation for federal income tax purposes of investment securities was as follows (amounts in thousands): Gross Unrealized Appreciation $ 98,131 Gross Unrealized Depreciation -- -------- Net $ 98,131 ========
At November 30, 2003, the Portfolio had a capital loss carryforward for federal income tax purposes in the amount of approximately $9,600,000, with $8,719,000 and $881,000 expiring on November 30, 2010 and 2011, respectively. E. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, 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 at any time. There were no borrowings by the Portfolio under the line of credit during the year ended November 30, 2003. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement of the line of credit expires in April 2004. There were no borrowings under the line of credit during the year ended November 30, 2003. 116 REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS TO THE SHAREHOLDERS OF DFA INTERNATIONAL VALUE PORTFOLIO AND BOARD OF DIRECTORS OF DIMENSIONAL INVESTMENT GROUP INC. In our opinion, the accompanying statement of assets and liabilities, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DFA International Value Portfolio (one of the portfolios constituting Dimensional Investment Group Inc., hereafter referred to as the "Portfolio") at November 30, 2003, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolio's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2003 by correspondence with the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 15, 2004 117 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS [CHART] THE U.S. LARGE COMPANY SERIES VS. S&P 500 INDEX NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
THE U.S. LARGE COMPANY SERIES S&P 500 INDEX Nov-1993 $ 10,000 $ 10,000 Dec-1993 $ 10,127 $ 10,123 Jan-1994 $ 10,459 $ 10,462 Feb-1994 $ 10,176 $ 10,180 Mar-1994 $ 9,744 $ 9,737 Apr-1994 $ 9,872 $ 9,863 May-1994 $ 10,029 $ 10,024 Jun-1994 $ 9,792 $ 9,777 Jul-1994 $ 10,108 $ 10,100 Aug-1994 $ 10,523 $ 10,511 Sep-1994 $ 10,275 $ 10,258 Oct-1994 $ 10,503 $ 10,493 Nov-1994 $ 10,130 $ 10,108 Dec-1994 $ 10,280 $ 10,255 Jan-1995 $ 10,542 $ 10,522 Feb-1995 $ 10,955 $ 10,930 Mar-1995 $ 11,277 $ 11,254 Apr-1995 $ 11,601 $ 11,581 May-1995 $ 12,066 $ 12,039 Jun-1995 $ 12,351 $ 12,322 Jul-1995 $ 12,758 $ 12,732 Aug-1995 $ 12,789 $ 12,766 Sep-1995 $ 13,330 $ 13,301 Oct-1995 $ 13,279 $ 13,255 Nov-1995 $ 13,853 $ 13,838 Dec-1995 $ 14,119 $ 14,094 Jan-1996 $ 14,605 $ 14,579 Feb-1996 $ 14,729 $ 14,719 Mar-1996 $ 14,873 $ 14,860 Apr-1996 $ 15,090 $ 15,078 May-1996 $ 15,460 $ 15,467 Jun-1996 $ 15,523 $ 15,531 Jul-1996 $ 14,845 $ 14,840 Aug-1996 $ 15,148 $ 15,154 Sep-1996 $ 15,995 $ 16,006 Oct-1996 $ 16,433 $ 16,445 Nov-1996 $ 17,677 $ 17,693 Dec-1996 $ 17,322 $ 17,346 Jan-1997 $ 18,408 $ 18,423 Feb-1997 $ 18,544 $ 18,572 Mar-1997 $ 17,782 $ 17,800 Apr-1997 $ 18,836 $ 18,862 May-1997 $ 19,985 $ 20,021 Jun-1997 $ 20,873 $ 20,913 Jul-1997 $ 22,534 $ 22,574 Aug-1997 $ 21,281 $ 21,319 Sep-1997 $ 22,441 $ 22,487 Oct-1997 $ 21,698 $ 21,736 Nov-1997 $ 22,690 $ 22,742 Dec-1997 $ 23,075 $ 23,134 Jan-1998 $ 23,336 $ 23,390 Feb-1998 $ 25,019 $ 25,077 Mar-1998 $ 26,292 $ 26,361 Apr-1998 $ 26,552 $ 26,627 May-1998 $ 26,093 $ 26,169 Jun-1998 $ 27,158 $ 27,231 Jul-1998 $ 26,864 $ 26,943 Aug-1998 $ 22,999 $ 23,047 Sep-1998 $ 24,461 $ 24,524 Oct-1998 $ 26,426 $ 26,518 Nov-1998 $ 28,045 $ 28,125 Dec-1998 $ 29,706 $ 29,745 Jan-1999 $ 30,918 $ 30,988 Feb-1999 $ 29,947 $ 30,025 Mar-1999 $ 31,148 $ 31,226 Apr-1999 $ 32,338 $ 32,434 May-1999 $ 31,574 $ 31,669 Jun-1999 $ 33,317 $ 33,426 Jul-1999 $ 32,285 $ 32,383 Aug-1999 $ 32,117 $ 32,221 Sep-1999 $ 31,240 $ 31,338 Oct-1999 $ 33,224 $ 33,322 Nov-1999 $ 33,891 $ 33,999 Dec-1999 $ 35,908 $ 36,001 Jan-2000 $ 34,102 $ 34,194 Feb-2000 $ 33,464 $ 33,548 Mar-2000 $ 36,723 $ 36,829 Apr-2000 $ 35,596 $ 35,720 May-2000 $ 34,866 $ 34,988 Jun-2000 $ 35,672 $ 35,848 Jul-2000 $ 35,169 $ 35,289 Aug-2000 $ 37,353 $ 37,481 Sep-2000 $ 35,377 $ 35,502 Oct-2000 $ 35,221 $ 35,353 Nov-2000 $ 32,453 $ 32,567 Dec-2000 $ 32,618 $ 32,726 Jan-2001 $ 33,776 $ 33,888 Feb-2001 $ 30,696 $ 30,798 Mar-2001 $ 28,753 $ 28,845 Apr-2001 $ 30,978 $ 31,086 May-2001 $ 31,167 $ 31,295 Jun-2001 $ 30,404 $ 30,534 Jul-2001 $ 30,112 $ 30,235 Aug-2001 $ 28,221 $ 28,342 Sep-2001 $ 25,943 $ 26,052 Oct-2001 $ 26,434 $ 26,550 Nov-2001 $ 28,458 $ 28,586 Dec-2001 $ 28,698 $ 28,838 Jan-2002 $ 28,279 $ 28,417 Feb-2002 $ 27,736 $ 27,868 Mar-2002 $ 28,759 $ 28,916 Apr-2002 $ 27,016 $ 27,164 May-2002 $ 26,827 $ 26,963 Jun-2002 $ 24,906 $ 25,043 Jul-2002 $ 22,974 $ 23,090 Aug-2002 $ 23,121 $ 23,242 Sep-2002 $ 20,603 $ 20,716 Oct-2002 $ 22,420 $ 22,539 Nov-2002 $ 23,736 $ 23,866 Dec-2002 $ 22,347 $ 22,463 Jan-2003 $ 21,762 $ 21,874 Feb-2003 $ 21,427 $ 21,546 Mar-2003 $ 21,635 $ 21,755 Apr-2003 $ 23,419 $ 23,548 May-2003 $ 24,651 $ 24,789 Jun-2003 $ 24,964 $ 25,106 Jul-2003 $ 25,404 $ 25,548 Aug-2003 $ 25,894 $ 26,046 Sep-2003 $ 25,622 $ 25,770 Oct-2003 $ 27,063 $ 27,229 Nov-2003 $ 27,303 $ 27,468
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS ------------------------------------------- 15.03 -0.53 10.57
- THE SERIES INTENDS TO INVEST IN ALL OF THE STOCKS THAT COMPRISE THE S&P 500 INDEX IN APPROXIMATELY THE SAME PROPORTIONS AS THEY ARE REPRESENTED IN THE INDEX. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P 500 Index is courtesy of(C)Stocks, Bonds, Bills and Inflation Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C. Ibbotson and Rex A. Sinquefield). [CHART] THE ENHANCED U.S. LARGE COMPANY SERIES VS. S&P 500 INDEX JULY 2, 1996-NOVEMBER 30, 2003 GROWTH OF $10,000
THE ENHANCED U.S. LARGE S&P 500 INDEX COMPANY SERIES Jul-1996 $ 10,000 $ 10,000 Jul-1996 $ 9,890 $ 9,500 Aug-1996 $ 10,090 $ 9,702 Sep-1996 $ 10,690 $ 10,247 Oct-1996 $ 11,060 $ 10,528 Nov-1996 $ 11,895 $ 11,327 Dec-1996 $ 11,601 $ 11,105 Jan-1997 $ 12,337 $ 11,794 Feb-1997 $ 12,442 $ 11,890 Mar-1997 $ 11,841 $ 11,395 Apr-1997 $ 12,594 $ 12,076 May-1997 $ 13,417 $ 12,817 Jun-1997 $ 13,993 $ 13,389 Jul-1997 $ 15,135 $ 14,452 Aug-1997 $ 14,302 $ 13,648 Sep-1997 $ 15,048 $ 14,396 Oct-1997 $ 14,628 $ 13,915 Nov-1997 $ 15,181 $ 14,560 Dec-1997 $ 15,445 $ 14,810 Jan-1998 $ 15,714 $ 14,974 Feb-1998 $ 16,785 $ 16,054 Mar-1998 $ 17,629 $ 16,876 Apr-1998 $ 17,829 $ 17,046 May-1998 $ 17,474 $ 16,753 Jun-1998 $ 18,211 $ 17,433 Jul-1998 $ 17,982 $ 17,249 Aug-1998 $ 15,369 $ 14,754 Sep-1998 $ 16,443 $ 15,700 Oct-1998 $ 17,808 $ 16,977 Nov-1998 $ 18,823 $ 18,005 Dec-1998 $ 20,052 $ 19,043 Jan-1999 $ 20,776 $ 19,839 Feb-1999 $ 20,101 $ 19,222 Mar-1999 $ 20,945 $ 19,990 Apr-1999 $ 21,741 $ 20,764 May-1999 $ 21,146 $ 20,274 Jun-1999 $ 22,383 $ 21,399 Jul-1999 $ 21,628 $ 20,732 Aug-1999 $ 21,511 $ 20,628 Sep-1999 $ 20,989 $ 20,063 Oct-1999 $ 22,328 $ 21,333 Nov-1999 $ 22,694 $ 21,766 Dec-1999 $ 23,992 $ 23,048 Jan-2000 $ 22,732 $ 21,891 Feb-2000 $ 22,373 $ 21,477 Mar-2000 $ 24,537 $ 23,577 Apr-2000 $ 23,752 $ 22,868 May-2000 $ 23,208 $ 22,399 Jun-2000 $ 23,730 $ 22,950 Jul-2000 $ 23,383 $ 22,592 Aug-2000 $ 24,875 $ 23,995 Sep-2000 $ 23,557 $ 22,728 Oct-2000 $ 23,453 $ 22,633 Nov-2000 $ 21,643 $ 20,849 Dec-2000 $ 21,710 $ 20,951 Jan-2001 $ 22,483 $ 21,695 Feb-2001 $ 20,430 $ 19,716 Mar-2001 $ 19,114 $ 18,466 Apr-2001 $ 20,582 $ 19,901 May-2001 $ 20,716 $ 20,035 Jun-2001 $ 20,177 $ 19,548 Jul-2001 $ 20,020 $ 19,356 Aug-2001 $ 18,805 $ 18,145 Sep-2001 $ 17,393 $ 16,678 Oct-2001 $ 17,779 $ 16,997 Nov-2001 $ 19,119 $ 18,301 Dec-2001 $ 19,278 $ 18,462 Jan-2002 $ 19,004 $ 18,192 Feb-2002 $ 18,664 $ 17,841 Mar-2002 $ 19,265 $ 18,512 Apr-2002 $ 18,190 $ 17,390 May-2002 $ 18,075 $ 17,261 Jun-2002 $ 16,844 $ 16,032 Jul-2002 $ 15,625 $ 14,782 Aug-2002 $ 15,762 $ 14,879 Sep-2002 $ 14,079 $ 13,262 Oct-2002 $ 15,329 $ 14,429 Nov-2002 $ 16,185 $ 15,279 Dec-2002 $ 15,307 $ 14,381 Jan-2003 $ 14,911 $ 14,004 Feb-2003 $ 14,701 $ 13,794 Mar-2003 $ 14,843 $ 13,928 Apr-2003 $ 16,084 $ 15,075 May-2003 $ 16,974 $ 15,870 Jun-2003 $ 17,167 $ 16,073 Jul-2003 $ 17,402 $ 16,356 Aug-2003 $ 17,731 $ 16,675 Sep-2003 $ 17,618 $ 16,498 Oct-2003 $ 18,560 $ 17,432 Nov-2003 $ 18,726 $ 17,585
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS JULY 2, 1996 -------------------------------------------------- 15.70 -0.10 8.83
- THE SERIES SEEKS TO CAPTURE RETURN PREMIUMS BY INVESTING IN AN ENHANCED CASH PORTFOLIO IN COMBINATION WITH THE S&P 500 INDEX FUTURES AND SWAPS. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. S&P 500 Index is courtesy of(C)Stocks, Bonds, Bills and Inflation Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C. Ibbotson and Rex A. Sinquefield). [CHART] THE U.S. LARGE CAP VALUE SERIES VS. RUSSELL 1000 VALUE INDEX NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
THE U.S. LARGE CAP VALUE SERIES RUSSELL 1000 VALUE INDEX Nov-1993 $ 10,000 $ 10,000 Dec-1993 $ 10,240 $ 10,190 Jan-1994 $ 10,534 $ 10,575 Feb-1994 $ 10,060 $ 10,214 Mar-1994 $ 9,652 $ 9,834 Apr-1994 $ 9,804 $ 10,022 May-1994 $ 9,737 $ 10,138 Jun-1994 $ 9,535 $ 9,895 Jul-1994 $ 9,957 $ 10,203 Aug-1994 $ 10,245 $ 10,496 Sep-1994 $ 9,946 $ 10,147 Oct-1994 $ 10,140 $ 10,289 Nov-1994 $ 9,685 $ 9,873 Dec-1994 $ 9,803 $ 9,986 Jan-1995 $ 10,028 $ 10,294 Feb-1995 $ 10,596 $ 10,701 Mar-1995 $ 10,758 $ 10,935 Apr-1995 $ 11,152 $ 11,280 May-1995 $ 11,733 $ 11,755 Jun-1995 $ 11,990 $ 11,915 Jul-1995 $ 12,515 $ 12,330 Aug-1995 $ 12,891 $ 12,504 Sep-1995 $ 13,337 $ 12,956 Oct-1995 $ 12,789 $ 12,828 Nov-1995 $ 13,489 $ 13,478 Dec-1995 $ 13,586 $ 13,817 Jan-1996 $ 13,972 $ 14,248 Feb-1996 $ 14,180 $ 14,356 Mar-1996 $ 14,673 $ 14,600 Apr-1996 $ 14,914 $ 14,656 May-1996 $ 15,166 $ 14,839 Jun-1996 $ 14,725 $ 14,851 Jul-1996 $ 14,071 $ 14,289 Aug-1996 $ 14,630 $ 14,698 Sep-1996 $ 14,922 $ 15,283 Oct-1996 $ 15,410 $ 15,875 Nov-1996 $ 16,521 $ 17,025 Dec-1996 $ 16,359 $ 16,807 Jan-1997 $ 16,945 $ 17,623 Feb-1997 $ 17,282 $ 17,882 Mar-1997 $ 16,491 $ 17,238 Apr-1997 $ 17,033 $ 17,962 May-1997 $ 18,355 $ 18,966 Jun-1997 $ 18,920 $ 19,780 Jul-1997 $ 20,816 $ 21,267 Aug-1997 $ 20,510 $ 20,510 Sep-1997 $ 21,591 $ 21,749 Oct-1997 $ 20,485 $ 21,142 Nov-1997 $ 20,703 $ 22,076 Dec-1997 $ 20,992 $ 22,721 Jan-1998 $ 21,272 $ 22,401 Feb-1998 $ 23,131 $ 23,908 Mar-1998 $ 24,428 $ 25,371 Apr-1998 $ 24,563 $ 25,541 May-1998 $ 24,356 $ 25,163 Jun-1998 $ 24,298 $ 25,486 Jul-1998 $ 23,455 $ 25,037 Aug-1998 $ 19,186 $ 21,311 Sep-1998 $ 20,159 $ 22,535 Oct-1998 $ 21,806 $ 24,281 Nov-1998 $ 23,171 $ 25,413 Dec-1998 $ 23,555 $ 26,277 Jan-1999 $ 24,012 $ 26,487 Feb-1999 $ 23,395 $ 26,114 Mar-1999 $ 24,151 $ 26,654 Apr-1999 $ 26,721 $ 29,144 May-1999 $ 26,694 $ 28,823 Jun-1999 $ 27,140 $ 29,659 Jul-1999 $ 26,016 $ 28,790 Aug-1999 $ 25,082 $ 27,722 Sep-1999 $ 23,735 $ 26,754 Oct-1999 $ 24,644 $ 28,295 Nov-1999 $ 24,243 $ 28,075 Dec-1999 $ 24,713 $ 28,209 Jan-2000 $ 22,981 $ 27,290 Feb-2000 $ 20,915 $ 25,262 Mar-2000 $ 23,878 $ 28,344 Apr-2000 $ 24,597 $ 28,015 May-2000 $ 24,548 $ 28,309 Jun-2000 $ 22,842 $ 27,016 Jul-2000 $ 23,851 $ 27,353 Aug-2000 $ 25,247 $ 28,874 Sep-2000 $ 24,835 $ 29,140 Oct-2000 $ 25,816 $ 29,857 Nov-2000 $ 24,987 $ 28,749 Dec-2000 $ 27,294 $ 30,189 Jan-2001 $ 28,637 $ 30,304 Feb-2001 $ 28,616 $ 29,462 Mar-2001 $ 27,744 $ 28,422 Apr-2001 $ 29,394 $ 29,814 May-2001 $ 30,250 $ 30,485 Jun-2001 $ 29,881 $ 29,808 Jul-2001 $ 29,842 $ 29,746 Aug-2001 $ 28,526 $ 28,553 Sep-2001 $ 25,354 $ 26,543 Oct-2001 $ 25,334 $ 26,315 Nov-2001 $ 27,725 $ 27,843 Dec-2001 $ 28,377 $ 28,500 Jan-2002 $ 28,683 $ 28,281 Feb-2002 $ 29,047 $ 28,326 Mar-2002 $ 30,256 $ 29,666 Apr-2002 $ 29,986 $ 28,649 May-2002 $ 30,178 $ 28,792 Jun-2002 $ 28,346 $ 27,139 Jul-2002 $ 25,194 $ 24,615 Aug-2002 $ 25,600 $ 24,800 Sep-2002 $ 22,764 $ 22,042 Oct-2002 $ 23,656 $ 23,675 Nov-2002 $ 25,324 $ 25,167 Dec-2002 $ 24,187 $ 24,075 Jan-2003 $ 23,621 $ 23,492 Feb-2003 $ 22,938 $ 22,865 Mar-2003 $ 22,830 $ 22,904 Apr-2003 $ 24,944 $ 24,919 May-2003 $ 26,608 $ 26,529 Jun-2003 $ 26,893 $ 26,861 Jul-2003 $ 27,581 $ 27,261 Aug-2003 $ 28,563 $ 27,686 Sep-2003 $ 27,935 $ 27,415 Oct-2003 $ 29,807 $ 29,093 Nov-2003 $ 30,475 $ 29,488
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS ------------------------------------------- 20.34 5.63 11.79
- THE SERIES INVESTS IN A BROAD CROSS-SECTION OF U.S. LARGE CAP STOCKS THAT EXHIBIT "VALUE" CHARACTERISTICS (PRIMARILY LOW PRICE/BOOK). Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 1000 Value Index is courtesy of Russell Analytic Services. 118 [CHART] THE U.S. SMALL XM VALUE SERIES VS. RUSSELL 2000 VALUE INDEX FEBRUARY 6, 1998-NOVEMBER 30, 2003 GROWTH OF $10,000
THE U.S. SMALL XM VALUE SERIES RUSSELL 2000 VALUE INDEX Feb-1998 $ 10,000 $ 10,000 Feb-1998 $ 10,270 $ 10,331 Mar-1998 $ 10,710 $ 10,750 Apr-1998 $ 10,830 $ 10,803 May-1998 $ 10,329 $ 10,421 Jun-1998 $ 10,069 $ 10,361 Jul-1998 $ 9,219 $ 9,550 Aug-1998 $ 7,620 $ 8,054 Sep-1998 $ 7,840 $ 8,509 Oct-1998 $ 8,470 $ 8,762 Nov-1998 $ 8,674 $ 9,000 Dec-1998 $ 8,907 $ 9,282 Jan-1999 $ 8,866 $ 9,072 Feb-1999 $ 8,207 $ 8,452 Mar-1999 $ 8,319 $ 8,383 Apr-1999 $ 9,403 $ 9,148 May-1999 $ 9,767 $ 9,429 Jun-1999 $ 10,335 $ 9,770 Jul-1999 $ 10,112 $ 9,539 Aug-1999 $ 9,716 $ 9,189 Sep-1999 $ 9,433 $ 9,006 Oct-1999 $ 9,129 $ 8,826 Nov-1999 $ 9,228 $ 8,871 Dec-1999 $ 9,516 $ 9,144 Jan-2000 $ 8,896 $ 8,905 Feb-2000 $ 8,632 $ 9,449 Mar-2000 $ 9,484 $ 9,494 Apr-2000 $ 9,579 $ 9,550 May-2000 $ 9,453 $ 9,404 Jun-2000 $ 9,221 $ 9,678 Jul-2000 $ 9,453 $ 10,000 Aug-2000 $ 9,978 $ 10,447 Sep-2000 $ 9,842 $ 10,388 Oct-2000 $ 9,862 $ 10,351 Nov-2000 $ 9,544 $ 10,139 Dec-2000 $ 10,675 $ 11,228 Jan-2001 $ 11,351 $ 11,538 Feb-2001 $ 11,340 $ 11,522 Mar-2001 $ 10,927 $ 11,338 Apr-2001 $ 11,662 $ 11,863 May-2001 $ 12,086 $ 12,168 Jun-2001 $ 12,499 $ 12,657 Jul-2001 $ 12,511 $ 12,373 Aug-2001 $ 12,396 $ 12,330 Sep-2001 $ 10,537 $ 10,969 Oct-2001 $ 10,847 $ 11,255 Nov-2001 $ 11,845 $ 12,064 Dec-2001 $ 12,631 $ 12,802 Jan-2002 $ 12,815 $ 12,973 Feb-2002 $ 13,106 $ 13,052 Mar-2002 $ 14,229 $ 14,029 Apr-2002 $ 14,639 $ 14,523 May-2002 $ 14,176 $ 14,043 Jun-2002 $ 13,647 $ 13,732 Jul-2002 $ 11,652 $ 11,692 Aug-2002 $ 11,652 $ 11,640 Sep-2002 $ 10,622 $ 10,809 Oct-2002 $ 10,899 $ 10,971 Nov-2002 $ 12,102 $ 11,847 Dec-2002 $ 11,458 $ 11,341 Jan-2003 $ 10,923 $ 11,021 Feb-2003 $ 10,462 $ 10,651 Mar-2003 $ 10,432 $ 10,765 Apr-2003 $ 11,681 $ 11,787 May-2003 $ 13,019 $ 12,991 Jun-2003 $ 13,227 $ 13,210 Jul-2003 $ 14,000 $ 13,870 Aug-2003 $ 14,907 $ 14,397 Sep-2003 $ 14,713 $ 14,231 Oct-2003 $ 16,140 $ 15,391 Nov-2003 $ 16,807 $ 15,982
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS FEBRUARY 6, 1998 ------------------------------------------------------ 38.88 14.14 9.34
- THE SERIES INVESTS IN A BROAD CROSS-SECTION OF U.S. SMALL CAP STOCKS THAT EXHIBIT "VALUE" CHARACTERISTICS (PRIMARILY LOW PRICE/BOOK). Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 2000 Value Index is courtesy of Russell Analytic Services. [CHART] THE U.S. SMALL CAP VALUE SERIES VS. RUSSELL 2000 VALUE INDEX NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
THE U.S. SMALL CAP VALUE SERIES RUSSELL 2000 VALUE INDEX Nov-1993 $ 10,000 $ 10,000 Dec-1993 $ 10,201 $ 10,294 Jan-1994 $ 10,727 $ 10,660 Feb-1994 $ 10,701 $ 10,630 Mar-1994 $ 10,346 $ 10,154 Apr-1994 $ 10,419 $ 10,254 May-1994 $ 10,455 $ 10,240 Jun-1994 $ 10,265 $ 9,974 Jul-1994 $ 10,437 $ 10,159 Aug-1994 $ 10,801 $ 10,558 Sep-1994 $ 10,764 $ 10,446 Oct-1994 $ 10,610 $ 10,255 Nov-1994 $ 10,253 $ 9,841 Dec-1994 $ 10,359 $ 10,136 Jan-1995 $ 10,470 $ 10,087 Feb-1995 $ 10,840 $ 10,461 Mar-1995 $ 10,969 $ 10,512 Apr-1995 $ 11,357 $ 10,824 May-1995 $ 11,680 $ 11,056 Jun-1995 $ 12,143 $ 11,434 Jul-1995 $ 12,808 $ 11,851 Aug-1995 $ 13,214 $ 12,203 Sep-1995 $ 13,381 $ 12,385 Oct-1995 $ 12,735 $ 11,891 Nov-1995 $ 13,208 $ 12,363 Dec-1995 $ 13,440 $ 12,746 Jan-1996 $ 13,401 $ 12,830 Feb-1996 $ 13,690 $ 13,032 Mar-1996 $ 14,076 $ 13,305 Apr-1996 $ 14,809 $ 13,668 May-1996 $ 15,389 $ 14,014 Jun-1996 $ 15,070 $ 13,849 Jul-1996 $ 14,134 $ 13,112 Aug-1996 $ 14,781 $ 13,681 Sep-1996 $ 15,284 $ 14,055 Oct-1996 $ 15,400 $ 14,218 Nov-1996 $ 16,133 $ 14,983 Dec-1996 $ 16,491 $ 15,470 Jan-1997 $ 16,920 $ 15,708 Feb-1997 $ 16,920 $ 15,857 Mar-1997 $ 16,482 $ 15,432 Apr-1997 $ 16,411 $ 15,659 May-1997 $ 17,970 $ 16,905 Jun-1997 $ 19,102 $ 17,761 Jul-1997 $ 20,245 $ 18,507 Aug-1997 $ 20,969 $ 18,801 Sep-1997 $ 22,590 $ 20,051 Oct-1997 $ 21,795 $ 19,506 Nov-1997 $ 21,612 $ 19,720 Dec-1997 $ 21,634 $ 20,389 Jan-1998 $ 21,374 $ 20,020 Feb-1998 $ 22,992 $ 21,231 Mar-1998 $ 23,930 $ 22,093 Apr-1998 $ 24,406 $ 22,201 May-1998 $ 23,479 $ 21,415 Jun-1998 $ 23,014 $ 21,293 Jul-1998 $ 21,327 $ 19,626 Aug-1998 $ 17,401 $ 16,553 Sep-1998 $ 17,898 $ 17,488 Oct-1998 $ 18,668 $ 18,007 Nov-1998 $ 19,656 $ 18,495 Dec-1998 $ 20,117 $ 19,076 Jan-1999 $ 20,441 $ 18,643 Feb-1999 $ 18,755 $ 17,370 Mar-1999 $ 18,406 $ 17,227 Apr-1999 $ 20,379 $ 18,800 May-1999 $ 21,341 $ 19,377 Jun-1999 $ 22,652 $ 20,079 Jul-1999 $ 22,552 $ 19,603 Aug-1999 $ 21,941 $ 18,885 Sep-1999 $ 21,366 $ 18,508 Oct-1999 $ 20,629 $ 18,137 Nov-1999 $ 21,576 $ 18,232 Dec-1999 $ 22,823 $ 18,792 Jan-2000 $ 22,656 $ 18,301 Feb-2000 $ 24,761 $ 19,419 Mar-2000 $ 24,845 $ 19,511 Apr-2000 $ 23,965 $ 19,626 May-2000 $ 22,976 $ 19,325 Jun-2000 $ 24,134 $ 19,890 Jul-2000 $ 24,119 $ 20,552 Aug-2000 $ 25,904 $ 21,471 Sep-2000 $ 25,430 $ 21,348 Oct-2000 $ 24,481 $ 21,271 Nov-2000 $ 23,150 $ 20,837 Dec-2000 $ 24,955 $ 23,075 Jan-2001 $ 27,536 $ 23,712 Feb-2001 $ 27,002 $ 23,679 Mar-2001 $ 26,348 $ 23,300 Apr-2001 $ 27,966 $ 24,379 May-2001 $ 29,705 $ 25,006 Jun-2001 $ 30,825 $ 26,011 Jul-2001 $ 30,326 $ 25,428 Aug-2001 $ 29,929 $ 25,339 Sep-2001 $ 25,574 $ 22,542 Oct-2001 $ 26,589 $ 23,130 Nov-2001 $ 28,674 $ 24,793 Dec-2001 $ 30,695 $ 26,310 Jan-2002 $ 31,174 $ 26,660 Feb-2002 $ 31,137 $ 26,823 Mar-2002 $ 34,219 $ 28,832 Apr-2002 $ 35,769 $ 29,847 May-2002 $ 34,661 $ 28,859 Jun-2002 $ 33,954 $ 28,221 Jul-2002 $ 28,667 $ 24,028 Aug-2002 $ 28,303 $ 23,922 Sep-2002 $ 26,254 $ 22,214 Oct-2002 $ 26,695 $ 22,547 Nov-2002 $ 28,975 $ 24,346 Dec-2002 $ 27,940 $ 23,307 Jan-2003 $ 26,979 $ 22,649 Feb-2003 $ 25,873 $ 21,888 Mar-2003 $ 25,832 $ 22,123 Apr-2003 $ 28,567 $ 24,224 May-2003 $ 31,929 $ 26,698 Jun-2003 $ 33,098 $ 27,149 Jul-2003 $ 35,438 $ 28,503 Aug-2003 $ 37,277 $ 29,587 Sep-2003 $ 36,987 $ 29,246 Oct-2003 $ 40,704 $ 31,630 Nov-2003 $ 42,399 $ 32,845
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS ------------------------------------------- 46.33 16.62 15.54
- THE SERIES INVESTS IN A BROAD CROSS-SECTION OF U.S. SMALL AND MICRO CAP STOCKS THAT EXHIBIT "VALUE" CHARACTERISTICS (PRIMARILY LOW PRICE/BOOK). Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of a fund shares. Russell 2000 Value Index is courtesy of Russell Analytic Services. [CHART] THE U.S. SMALL CAP SERIES VS. RUSSELL 2000 INDEX NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
THE U.S. SMALL CAP SERIES RUSSELL 2000 INDEX Nov-1993 $ 10,000 $ 10,000 Dec-1993 $ 10,287 $ 10,342 Jan-1994 $ 10,606 $ 10,666 Feb-1994 $ 10,523 $ 10,627 Mar-1994 $ 10,019 $ 10,067 Apr-1994 $ 10,040 $ 10,127 May-1994 $ 9,989 $ 10,013 Jun-1994 $ 9,701 $ 9,676 Jul-1994 $ 9,845 $ 9,834 Aug-1994 $ 10,317 $ 10,382 Sep-1994 $ 10,369 $ 10,347 Oct-1994 $ 10,410 $ 10,306 Nov-1994 $ 10,059 $ 9,889 Dec-1994 $ 10,185 $ 10,154 Jan-1995 $ 10,253 $ 10,026 Feb-1995 $ 10,589 $ 10,443 Mar-1995 $ 10,790 $ 10,622 Apr-1995 $ 11,148 $ 10,858 May-1995 $ 11,372 $ 11,045 Jun-1995 $ 11,955 $ 11,618 Jul-1995 $ 12,695 $ 12,287 Aug-1995 $ 13,064 $ 12,541 Sep-1995 $ 13,299 $ 12,766 Oct-1995 $ 12,616 $ 12,195 Nov-1995 $ 12,993 $ 12,707 Dec-1995 $ 13,302 $ 13,043 Jan-1996 $ 13,339 $ 13,028 Feb-1996 $ 13,791 $ 13,435 Mar-1996 $ 14,096 $ 13,713 Apr-1996 $ 15,036 $ 14,447 May-1996 $ 15,818 $ 15,016 Jun-1996 $ 15,097 $ 14,399 Jul-1996 $ 13,839 $ 13,142 Aug-1996 $ 14,657 $ 13,905 Sep-1996 $ 15,122 $ 14,449 Oct-1996 $ 14,903 $ 14,226 Nov-1996 $ 15,484 $ 14,813 Dec-1996 $ 15,716 $ 15,201 Jan-1997 $ 16,238 $ 15,505 Feb-1997 $ 15,900 $ 15,129 Mar-1997 $ 15,155 $ 14,415 Apr-1997 $ 14,985 $ 14,456 May-1997 $ 16,689 $ 16,065 Jun-1997 $ 17,548 $ 16,754 Jul-1997 $ 18,590 $ 17,533 Aug-1997 $ 19,280 $ 17,934 Sep-1997 $ 20,772 $ 19,247 Oct-1997 $ 19,871 $ 18,402 Nov-1997 $ 19,583 $ 18,283 Dec-1997 $ 19,583 $ 18,603 Jan-1998 $ 19,367 $ 18,309 Feb-1998 $ 20,789 $ 19,662 Mar-1998 $ 21,654 $ 20,472 Apr-1998 $ 21,963 $ 20,584 May-1998 $ 20,821 $ 19,475 Jun-1998 $ 20,542 $ 19,516 Jul-1998 $ 18,967 $ 17,935 Aug-1998 $ 15,075 $ 14,452 Sep-1998 $ 16,017 $ 15,584 Oct-1998 $ 16,728 $ 16,219 Nov-1998 $ 17,827 $ 17,069 Dec-1998 $ 18,574 $ 18,126 Jan-1999 $ 18,882 $ 18,367 Feb-1999 $ 17,270 $ 16,879 Mar-1999 $ 17,116 $ 17,142 Apr-1999 $ 18,677 $ 18,678 May-1999 $ 19,415 $ 18,951 Jun-1999 $ 20,564 $ 19,808 Jul-1999 $ 20,393 $ 19,265 Aug-1999 $ 19,861 $ 18,552 Sep-1999 $ 19,758 $ 18,556 Oct-1999 $ 19,535 $ 18,632 Nov-1999 $ 21,146 $ 19,744 Dec-1999 $ 23,371 $ 21,979 Jan-2000 $ 23,352 $ 21,626 Feb-2000 $ 27,261 $ 25,196 Mar-2000 $ 26,092 $ 23,535 Apr-2000 $ 24,041 $ 22,119 May-2000 $ 22,776 $ 20,829 Jun-2000 $ 25,113 $ 22,645 Jul-2000 $ 24,423 $ 21,916 Aug-2000 $ 26,435 $ 23,588 Sep-2000 $ 25,917 $ 22,895 Oct-2000 $ 24,787 $ 21,874 Nov-2000 $ 22,516 $ 19,627 Dec-2000 $ 24,025 $ 21,313 Jan-2001 $ 26,125 $ 22,424 Feb-2001 $ 24,390 $ 20,953 Mar-2001 $ 23,295 $ 19,928 Apr-2001 $ 25,121 $ 21,487 May-2001 $ 26,307 $ 22,015 Jun-2001 $ 27,630 $ 22,775 Jul-2001 $ 26,603 $ 21,543 Aug-2001 $ 25,804 $ 20,847 Sep-2001 $ 22,153 $ 18,041 Oct-2001 $ 23,613 $ 19,096 Nov-2001 $ 25,462 $ 20,574 Dec-2001 $ 27,163 $ 21,844 Jan-2002 $ 26,975 $ 21,616 Feb-2002 $ 26,277 $ 21,024 Mar-2002 $ 28,513 $ 22,715 Apr-2002 $ 28,607 $ 22,921 May-2002 $ 27,397 $ 21,904 Jun-2002 $ 26,000 $ 20,817 Jul-2002 $ 22,271 $ 17,674 Aug-2002 $ 22,294 $ 17,628 Sep-2002 $ 20,617 $ 16,362 Oct-2002 $ 21,409 $ 16,887 Nov-2002 $ 23,318 $ 18,394 Dec-2002 $ 22,036 $ 17,369 Jan-2003 $ 21,448 $ 16,888 Feb-2003 $ 20,765 $ 16,378 Mar-2003 $ 20,977 $ 16,589 Apr-2003 $ 23,094 $ 18,162 May-2003 $ 25,680 $ 20,111 Jun-2003 $ 26,387 $ 20,475 Jul-2003 $ 28,057 $ 21,756 Aug-2003 $ 29,468 $ 22,753 Sep-2003 $ 29,020 $ 22,332 Oct-2003 $ 31,560 $ 24,208 Nov-2003 $ 32,720 $ 25,067
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS ------------------------------------------- 40.32 12.91 12.59
- THE SERIES INVESTS IN A BROAD CROSS-SECTION OF U.S. SMALL AND MICRO CAP STOCKS. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 2000 Index is courtesy of Russell Analytic Services. 119 [CHART] THE U.S. MICRO CAP SERIES VS. CRSP 9-10 INDEX NOVEMBER 28, 1997-NOVEMBER 30, 2003 GROWTH OF $10,000
THE U.S. MICRO CAP SERIES CRSP 9-10 INDEX Nov-1997 $ 10,000 $ 10,000 Nov-1997 $ 10,000 $ 10,000 Dec-1997 $ 9,826 $ 9,850 Jan-1998 $ 9,776 $ 9,829 Feb-1998 $ 10,416 $ 10,458 Mar-1998 $ 10,916 $ 10,990 Apr-1998 $ 11,106 $ 11,291 May-1998 $ 10,556 $ 10,689 Jun-1998 $ 10,346 $ 10,338 Jul-1998 $ 9,656 $ 9,702 Aug-1998 $ 7,715 $ 7,603 Sep-1998 $ 8,005 $ 7,874 Oct-1998 $ 8,295 $ 8,177 Nov-1998 $ 8,919 $ 8,868 Dec-1998 $ 9,156 $ 9,068 Jan-1999 $ 9,413 $ 9,580 Feb-1999 $ 8,767 $ 8,960 Mar-1999 $ 8,444 $ 8,714 Apr-1999 $ 9,247 $ 9,508 May-1999 $ 9,603 $ 9,820 Jun-1999 $ 10,149 $ 10,191 Jul-1999 $ 10,249 $ 10,369 Aug-1999 $ 10,060 $ 10,103 Sep-1999 $ 9,837 $ 9,951 Oct-1999 $ 9,760 $ 9,746 Nov-1999 $ 10,710 $ 10,771 Dec-1999 $ 11,929 $ 11,987 Jan-2000 $ 12,644 $ 12,778 Feb-2000 $ 15,626 $ 14,703 Mar-2000 $ 14,457 $ 13,972 Apr-2000 $ 12,658 $ 12,686 May-2000 $ 11,641 $ 11,905 Jun-2000 $ 13,236 $ 12,667 Jul-2000 $ 12,810 $ 12,498 Aug-2000 $ 14,005 $ 13,308 Sep-2000 $ 13,702 $ 12,902 Oct-2000 $ 12,741 $ 11,897 Nov-2000 $ 11,334 $ 10,541 Dec-2000 $ 11,552 $ 10,385 Jan-2001 $ 13,141 $ 13,054 Feb-2001 $ 12,223 $ 11,691 Mar-2001 $ 11,639 $ 10,972 Apr-2001 $ 12,505 $ 11,650 May-2001 $ 13,706 $ 12,819 Jun-2001 $ 14,201 $ 13,133 Jul-2001 $ 13,847 $ 12,779 Aug-2001 $ 13,441 $ 12,390 Sep-2001 $ 11,728 $ 10,824 Oct-2001 $ 12,488 $ 11,797 Nov-2001 $ 13,337 $ 12,883 Dec-2001 $ 14,234 $ 13,938 Jan-2002 $ 14,398 $ 14,061 Feb-2002 $ 13,999 $ 13,379 Mar-2002 $ 15,249 $ 14,603 Apr-2002 $ 15,629 $ 14,656 May-2002 $ 15,195 $ 14,240 Jun-2002 $ 14,669 $ 13,731 Jul-2002 $ 12,551 $ 11,766 Aug-2002 $ 12,478 $ 11,625 Sep-2002 $ 11,644 $ 10,699 Oct-2002 $ 11,952 $ 11,155 Nov-2002 $ 12,941 $ 12,832 Dec-2002 $ 12,403 $ 11,972 Jan-2003 $ 12,125 $ 11,900 Feb-2003 $ 11,774 $ 11,571 Mar-2003 $ 11,922 $ 11,762 Apr-2003 $ 13,031 $ 13,037 May-2003 $ 14,546 $ 14,962 Jun-2003 $ 15,193 $ 15,766 Jul-2003 $ 16,321 $ 17,060 Aug-2003 $ 17,098 $ 17,909 Sep-2003 $ 17,116 $ 18,262 Oct-2003 $ 18,651 $ 19,816 Nov-2003 $ 19,456 $ 20,665
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS NOVEMBER 28, 1997 ------------------------------------------------------- 50.34 16.88 11.72
- THE SERIES INVESTS IN A BROAD CROSS-SECTION OF U.S. SMALL AND MICRO CAP STOCKS WITH AN EMPHASIS ON MICRO CAP STOCKS. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. CRSP 9-10 Index courtesy of the Center for Research in Security Prices, University of Chicago. [CHART] THE DFA INTERNATIONAL VALUE SERIES VS. MSCI EAFE INDEX (NET DIVIDENDS) FEBRUARY 15, 1994-NOVEMBER 30, 2003 GROWTH OF $10,000
THE DFA INTERNATIONAL VALUE SERIES MSCI EAFE INDEX (NET DIVIDENDS) Feb-1994 $ 10,000 $ 10,000 Feb-1994 $ 10,100 $ 10,000 Mar-1994 $ 9,830 $ 9,569 Apr-1994 $ 10,161 $ 9,975 May-1994 $ 10,221 $ 9,918 Jun-1994 $ 10,341 $ 10,058 Jul-1994 $ 10,543 $ 10,155 Aug-1994 $ 10,704 $ 10,396 Sep-1994 $ 10,331 $ 10,068 Oct-1994 $ 10,764 $ 10,404 Nov-1994 $ 10,200 $ 9,903 Dec-1994 $ 10,261 $ 9,966 Jan-1995 $ 9,854 $ 9,583 Feb-1995 $ 9,834 $ 9,556 Mar-1995 $ 10,415 $ 10,152 Apr-1995 $ 10,740 $ 10,533 May-1995 $ 10,678 $ 10,408 Jun-1995 $ 10,567 $ 10,225 Jul-1995 $ 11,162 $ 10,862 Aug-1995 $ 10,783 $ 10,448 Sep-1995 $ 10,847 $ 10,652 Oct-1995 $ 10,641 $ 10,365 Nov-1995 $ 10,934 $ 10,653 Dec-1995 $ 11,464 $ 11,083 Jan-1996 $ 11,579 $ 11,128 Feb-1996 $ 11,652 $ 11,166 Mar-1996 $ 11,815 $ 11,404 Apr-1996 $ 12,276 $ 11,736 May-1996 $ 12,160 $ 11,520 Jun-1996 $ 12,204 $ 11,584 Jul-1996 $ 11,877 $ 11,246 Aug-1996 $ 11,929 $ 11,271 Sep-1996 $ 12,139 $ 11,570 Oct-1996 $ 12,023 $ 11,452 Nov-1996 $ 12,558 $ 11,908 Dec-1996 $ 12,393 $ 11,755 Jan-1997 $ 11,979 $ 11,343 Feb-1997 $ 12,088 $ 11,529 Mar-1997 $ 12,133 $ 11,571 Apr-1997 $ 12,068 $ 11,632 May-1997 $ 12,984 $ 12,389 Jun-1997 $ 13,547 $ 13,072 Jul-1997 $ 13,734 $ 13,284 Aug-1997 $ 12,833 $ 12,291 Sep-1997 $ 13,305 $ 12,980 Oct-1997 $ 12,608 $ 11,983 Nov-1997 $ 12,075 $ 11,861 Dec-1997 $ 12,026 $ 11,964 Jan-1998 $ 12,753 $ 12,511 Feb-1998 $ 13,591 $ 13,314 Mar-1998 $ 14,191 $ 13,724 Apr-1998 $ 14,235 $ 13,832 May-1998 $ 14,369 $ 13,764 Jun-1998 $ 14,230 $ 13,869 Jul-1998 $ 14,388 $ 14,009 Aug-1998 $ 12,506 $ 12,273 Sep-1998 $ 11,833 $ 11,898 Oct-1998 $ 13,012 $ 13,138 Nov-1998 $ 13,583 $ 13,810 Dec-1998 $ 13,848 $ 14,356 Jan-1999 $ 13,574 $ 14,313 Feb-1999 $ 13,230 $ 13,972 Mar-1999 $ 14,045 $ 14,555 Apr-1999 $ 14,879 $ 15,144 May-1999 $ 14,125 $ 14,364 Jun-1999 $ 14,762 $ 14,924 Jul-1999 $ 15,295 $ 15,368 Aug-1999 $ 15,445 $ 15,425 Sep-1999 $ 15,500 $ 15,580 Oct-1999 $ 15,431 $ 16,157 Nov-1999 $ 15,383 $ 16,717 Dec-1999 $ 16,143 $ 18,219 Jan-2000 $ 14,900 $ 17,062 Feb-2000 $ 14,527 $ 17,521 Mar-2000 $ 15,334 $ 18,201 Apr-2000 $ 14,935 $ 17,243 May-2000 $ 15,222 $ 16,822 Jun-2000 $ 16,283 $ 17,480 Jul-2000 $ 15,753 $ 16,748 Aug-2000 $ 15,892 $ 16,894 Sep-2000 $ 15,433 $ 16,071 Oct-2000 $ 15,319 $ 15,692 Nov-2000 $ 15,306 $ 15,103 Dec-2000 $ 16,156 $ 15,639 Jan-2001 $ 16,182 $ 15,631 Feb-2001 $ 15,695 $ 14,459 Mar-2001 $ 14,737 $ 13,495 Apr-2001 $ 15,514 $ 14,433 May-2001 $ 15,396 $ 13,923 Jun-2001 $ 15,103 $ 13,354 Jul-2001 $ 14,797 $ 13,111 Aug-2001 $ 15,010 $ 12,779 Sep-2001 $ 13,096 $ 11,484 Oct-2001 $ 13,176 $ 11,778 Nov-2001 $ 13,658 $ 12,213 Dec-2001 $ 13,714 $ 12,285 Jan-2002 $ 13,417 $ 11,633 Feb-2002 $ 13,566 $ 11,714 Mar-2002 $ 14,418 $ 12,348 Apr-2002 $ 14,905 $ 12,429 May-2002 $ 15,406 $ 12,587 Jun-2002 $ 14,973 $ 12,086 Jul-2002 $ 13,441 $ 10,893 Aug-2002 $ 13,428 $ 10,868 Sep-2002 $ 11,831 $ 9,701 Oct-2002 $ 12,175 $ 10,222 Nov-2002 $ 12,903 $ 10,686 Dec-2002 $ 12,576 $ 10,327 Jan-2003 $ 12,161 $ 9,896 Feb-2003 $ 11,911 $ 9,670 Mar-2003 $ 11,629 $ 9,480 Apr-2003 $ 12,906 $ 10,409 May-2003 $ 13,878 $ 11,040 Jun-2003 $ 14,326 $ 11,307 Jul-2003 $ 14,974 $ 11,581 Aug-2003 $ 15,367 $ 11,860 Sep-2003 $ 15,956 $ 12,225 Oct-2003 $ 17,214 $ 12,987 Nov-2003 $ 17,582 $ 13,276
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS FEBRUARY 15, 1994 ------------------------------------------------------- 36.26 5.30 5.93
- THE SERIES INVESTS IN THE STOCKS OF LARGE NON-US COMPANIES WHICH THE ADVISOR BELIEVES BE VALUE STOCKS AT THE TIME OF PURCHASE. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED COMPANIES LISTED ON THE MAJOR EXCHANGES OF COUNTRIES INCLUDED IN THE MSCI EAFE INDEX. Past performance is not predictive of future performance. Daily index data not available at the inception of the fund. Index return is from first full month of fund inception. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital International. [CHART] THE JAPANESE SMALL COMPANY SERIES VS. CITIGROUP EXTENDED MARKET INDEX-JAPAN AUGUST 9, 1996-NOVEMBER 30, 2003 GROWTH OF $10,000
THE JAPANESE SMALL CITIGROUP EXTENDED COMPANY SERIES MARKET INDEX-JAPAN 8/9/96 $ 10,000 $ 10,000 8/30/96 $ 10,020 $ 10,000 9/30/96 $ 10,070 $ 10,086 10/31/96 $ 9,363 $ 9,440 11/30/96 $ 9,074 $ 9,222 12/31/96 $ 7,960 $ 8,296 1/31/97 $ 7,184 $ 7,522 2/28/97 $ 7,134 $ 7,518 3/31/97 $ 6,617 $ 7,094 4/30/97 $ 6,508 $ 7,090 5/31/97 $ 7,593 $ 8,121 6/30/97 $ 7,712 $ 8,362 7/31/97 $ 6,837 $ 7,716 8/31/97 $ 6,100 $ 6,913 9/30/97 $ 5,175 $ 6,260 10/31/97 $ 5,314 $ 6,233 11/30/97 $ 4,388 $ 5,363 12/31/97 $ 3,612 $ 4,635 1/31/98 $ 4,617 $ 5,484 2/28/98 $ 4,985 $ 5,672 3/31/98 $ 4,537 $ 5,335 4/30/98 $ 4,309 $ 5,172 5/31/98 $ 4,120 $ 4,999 6/30/98 $ 4,219 $ 5,055 7/31/98 $ 4,180 $ 5,001 8/31/98 $ 3,732 $ 4,623 9/30/98 $ 3,523 $ 4,536 10/31/98 $ 3,971 $ 5,143 11/30/98 $ 4,299 $ 5,328 12/31/98 $ 4,220 $ 5,503 1/31/99 $ 4,319 $ 5,491 2/28/99 $ 4,150 $ 5,321 3/31/99 $ 4,637 $ 5,956 4/30/99 $ 5,115 $ 6,239 5/31/99 $ 4,886 $ 6,010 6/30/99 $ 5,354 $ 6,469 7/31/99 $ 5,613 $ 6,936 8/31/99 $ 5,722 $ 7,248 9/30/99 $ 5,732 $ 7,534 10/31/99 $ 5,632 $ 7,529 11/30/99 $ 5,314 $ 7,503 12/31/99 $ 4,856 $ 7,263 1/31/2000 $ 4,906 $ 7,207 2/29/2000 $ 4,657 $ 6,948 3/31/2000 $ 5,334 $ 7,500 4/30/2000 $ 4,767 $ 6,939 5/31/2000 $ 4,996 $ 7,016 6/30/2000 $ 5,732 $ 7,758 7/31/2000 $ 5,036 $ 6,774 8/31/2000 $ 5,414 $ 7,318 9/30/2000 $ 5,175 $ 7,025 10/31/2000 $ 4,648 $ 6,438 11/30/2000 $ 4,787 $ 6,420 12/31/2000 $ 4,409 $ 5,966 1/31/2001 $ 4,379 $ 5,896 2/28/2001 $ 4,469 $ 5,807 3/31/2001 $ 4,419 $ 5,649 4/30/2001 $ 4,967 $ 6,259 5/31/2001 $ 5,016 $ 6,300 6/30/2001 $ 4,977 $ 6,092 7/31/2001 $ 4,608 $ 5,711 8/31/2001 $ 4,728 $ 5,719 9/30/2001 $ 4,310 $ 5,314 10/31/2001 $ 4,439 $ 5,359 11/30/2001 $ 4,140 $ 5,118 12/31/2001 $ 3,673 $ 4,648 1/31/2002 $ 3,473 $ 4,333 2/28/2002 $ 3,752 $ 4,561 3/31/2002 $ 3,951 $ 4,786 4/30/2002 $ 4,111 $ 5,047 5/31/2002 $ 4,519 $ 5,551 6/30/2002 $ 4,319 $ 5,355 7/31/2002 $ 4,270 $ 5,170 8/31/2002 $ 4,210 $ 5,079 9/30/2002 $ 4,090 $ 4,921 10/31/2002 $ 3,772 $ 4,557 11/30/2002 $ 3,742 $ 4,584 12/31/2002 $ 3,712 $ 4,549 1/31/2003 $ 3,722 $ 4,457 2/28/2003 $ 3,991 $ 4,650 3/31/2003 $ 4,031 $ 4,631 4/30/2003 $ 4,210 $ 4,759 5/31/2003 $ 4,478 $ 4,953 6/30/2003 $ 4,837 $ 5,321 7/31/2003 $ 4,896 $ 5,400 8/31/2003 $ 5,324 $ 5,920 9/30/2003 $ 5,672 $ 6,409 10/31/2003 $ 5,901 $ 6,712 11/30/2003 $ 5,533 $ 6,365
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS AUGUST 9, 1996 ---------------------------------------------------- 47.86 5.07 -7.78
- THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES LISTED ON THE FIRST AND SECOND SECTIONS OF THE TOKYO STOCK EXCHANGE. Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Citigroup Extended Market Index-Japan is courtesy of Citigroup Global Markets Inc. 120 [CHART] THE PACIFIC RIM SMALL COMPANY SERIES VS. CITIGROUP EXTENDED MARKET INDEX-PAC RIM EX JAPAN AUGUST 9, 1996-NOVEMBER 30, 2003 GROWTH OF $10,000
THE PACIFIC RIM CITIGROUP EXTENDED MARKET SMALL COMPANY SERIES INDEX-PAC RIM EX JAPAN 8/9/96 $ 10,000 $ 10,000 8/30/96 $ 10,009 $ 10,000 9/30/96 $ 10,167 $ 10,212 10/31/96 $ 10,276 $ 10,421 11/30/96 $ 10,592 $ 11,086 12/31/96 $ 10,344 $ 11,122 1/31/97 $ 10,563 $ 11,146 2/28/97 $ 11,156 $ 11,732 3/31/97 $ 10,661 $ 11,210 4/30/97 $ 10,414 $ 10,987 5/31/97 $ 10,800 $ 11,438 6/30/97 $ 10,899 $ 11,592 7/31/97 $ 10,850 $ 11,593 8/31/97 $ 10,246 $ 10,747 9/30/97 $ 9,791 $ 10,476 10/31/97 $ 7,415 $ 7,981 11/30/97 $ 6,593 $ 7,328 12/31/97 $ 6,009 $ 7,042 1/31/98 $ 5,385 $ 6,313 2/28/98 $ 6,851 $ 7,431 3/31/98 $ 6,623 $ 7,177 4/30/98 $ 6,009 $ 6,802 5/31/98 $ 5,237 $ 6,087 6/30/98 $ 4,484 $ 5,444 7/31/98 $ 4,188 $ 5,295 8/31/98 $ 3,534 $ 4,440 9/30/98 $ 3,772 $ 4,986 10/31/98 $ 4,435 $ 5,773 11/30/98 $ 5,039 $ 6,210 12/31/98 $ 4,891 $ 6,039 1/31/99 $ 4,881 $ 5,968 2/28/99 $ 4,673 $ 5,944 3/31/99 $ 4,851 $ 6,347 4/30/99 $ 6,118 $ 7,289 5/31/99 $ 6,504 $ 7,009 6/30/99 $ 7,811 $ 7,639 7/31/99 $ 7,603 $ 7,623 8/31/99 $ 7,514 $ 7,495 9/30/99 $ 7,396 $ 7,415 10/31/99 $ 7,396 $ 7,269 11/30/99 $ 7,802 $ 7,696 12/31/99 $ 8,366 $ 8,183 1/31/2000 $ 8,187 $ 7,674 2/29/2000 $ 8,316 $ 7,424 3/31/2000 $ 8,247 $ 7,578 4/30/2000 $ 7,386 $ 7,049 5/31/2000 $ 6,822 $ 6,627 6/30/2000 $ 7,425 $ 7,509 7/31/2000 $ 7,386 $ 7,489 8/31/2000 $ 7,495 $ 7,703 9/30/2000 $ 6,822 $ 7,025 10/31/2000 $ 6,515 $ 6,674 11/30/2000 $ 6,614 $ 6,717 12/31/2000 $ 6,841 $ 7,097 1/31/2001 $ 7,019 $ 7,275 2/28/2001 $ 6,969 $ 7,195 3/31/2001 $ 6,256 $ 6,413 4/30/2001 $ 6,603 $ 6,881 5/31/2001 $ 6,890 $ 7,087 6/30/2001 $ 7,039 $ 7,369 7/31/2001 $ 6,801 $ 6,988 8/31/2001 $ 6,860 $ 7,019 9/30/2001 $ 5,979 $ 6,243 10/31/2001 $ 6,435 $ 6,763 11/30/2001 $ 6,801 $ 7,352 12/31/2001 $ 6,890 $ 7,498 1/31/2002 $ 7,227 $ 7,877 2/28/2002 $ 7,296 $ 8,088 3/31/2002 $ 7,613 $ 8,594 4/30/2002 $ 7,663 $ 8,396 5/31/2002 $ 8,098 $ 8,723 6/30/2002 $ 7,840 $ 8,393 7/31/2002 $ 7,375 $ 7,940 8/31/2002 $ 7,514 $ 8,075 9/30/2002 $ 7,009 $ 7,352 10/31/2002 $ 7,227 $ 7,530 11/30/2002 $ 7,296 $ 7,842 12/31/2002 $ 7,396 $ 7,697 1/31/2003 $ 7,633 $ 7,956 2/28/2003 $ 7,683 $ 7,901 3/31/2003 $ 7,524 $ 7,729 4/30/2003 $ 7,742 $ 8,309 5/31/2003 $ 8,534 $ 9,096 6/30/2003 $ 8,930 $ 9,602 7/31/2003 $ 9,543 $ 9,950 8/31/2003 $ 10,227 $ 10,513 9/30/2003 $ 11,048 $ 10,999 10/31/2003 $ 11,691 $ 11,873 11/30/2003 $ 11,780 $ 12,016
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS AUGUST 9, 1996 ---------------------------------------------------- 61.45 18.27 2.27
- THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES LISTED ON THE MAJOR EXCHANGES OF AUSTRALIA, HONG KONG, NEW ZEALAND, AND SINGAPORE. Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 1% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Citigroup Extended Market Index-Pacific Rim ex Japan is courtesy of Citigroup Global Markets Inc. [CHART] THE UNITED KINGDOM SMALL COMPANY SERIES VS. CITIGROUP EXTENDED MARKET INDEX-UNITED KINGDOM AUGUST 9, 1996-NOVEMBER 30, 2003 GROWTH OF $10,000
THE UNITED KINGDOM CITIGROUP EXTENDED MARKET SMALL COMPANY SERIES INDEX-UNITED KINGDOM Aug-1996 $ 10,000 $ 10,000 Aug-1996 $ 10,240 $ 10,000 Sep-1996 $ 10,320 $ 10,017 Oct-1996 $ 10,819 $ 10,526 Nov-1996 $ 11,130 $ 10,863 Dec-1996 $ 11,549 $ 11,235 Jan-1997 $ 11,410 $ 10,966 Feb-1997 $ 11,800 $ 11,354 Mar-1997 $ 11,880 $ 11,280 Apr-1997 $ 11,690 $ 11,066 May-1997 $ 11,630 $ 11,101 Jun-1997 $ 11,511 $ 11,153 Jul-1997 $ 11,141 $ 11,072 Aug-1997 $ 11,431 $ 11,354 Sep-1997 $ 11,841 $ 11,907 Oct-1997 $ 12,262 $ 12,039 Nov-1997 $ 12,132 $ 12,108 Dec-1997 $ 12,012 $ 12,139 Jan-1998 $ 12,081 $ 12,313 Feb-1998 $ 12,541 $ 13,103 Mar-1998 $ 13,581 $ 14,302 Apr-1998 $ 13,631 $ 14,560 May-1998 $ 14,141 $ 14,978 Jun-1998 $ 13,631 $ 14,353 Jul-1998 $ 12,630 $ 13,888 Aug-1998 $ 11,370 $ 12,466 Sep-1998 $ 10,850 $ 12,070 Oct-1998 $ 10,610 $ 12,423 Nov-1998 $ 10,531 $ 12,603 Dec-1998 $ 10,720 $ 12,675 Jan-1999 $ 10,900 $ 13,048 Feb-1999 $ 11,260 $ 13,324 Mar-1999 $ 11,930 $ 13,872 Apr-1999 $ 12,731 $ 14,734 May-1999 $ 12,661 $ 14,309 Jun-1999 $ 12,981 $ 14,524 Jul-1999 $ 13,821 $ 15,238 Aug-1999 $ 14,271 $ 15,241 Sep-1999 $ 14,012 $ 14,801 Oct-1999 $ 13,832 $ 14,538 Nov-1999 $ 14,402 $ 15,756 Dec-1999 $ 15,272 $ 16,885 Jan-2000 $ 15,723 $ 16,337 Feb-2000 $ 15,392 $ 16,784 Mar-2000 $ 15,172 $ 16,645 Apr-2000 $ 13,883 $ 15,793 May-2000 $ 13,302 $ 14,893 Jun-2000 $ 14,413 $ 15,926 Jul-2000 $ 14,513 $ 16,039 Aug-2000 $ 14,793 $ 16,322 Sep-2000 $ 14,822 $ 15,576 Oct-2000 $ 14,142 $ 15,080 Nov-2000 $ 13,511 $ 14,020 Dec-2000 $ 14,611 $ 15,258 Jan-2001 $ 14,910 $ 15,312 Feb-2001 $ 14,271 $ 14,788 Mar-2001 $ 13,161 $ 13,541 Apr-2001 $ 13,841 $ 14,329 May-2001 $ 14,042 $ 14,589 Jun-2001 $ 13,522 $ 14,029 Jul-2001 $ 13,142 $ 13,747 Aug-2001 $ 13,563 $ 13,995 Sep-2001 $ 11,523 $ 11,983 Oct-2001 $ 12,043 $ 12,437 Nov-2001 $ 12,853 $ 13,135 Dec-2001 $ 13,383 $ 13,731 Jan-2002 $ 13,023 $ 13,249 Feb-2002 $ 13,153 $ 13,367 Mar-2002 $ 13,813 $ 14,332 Apr-2002 $ 14,424 $ 14,624 May-2002 $ 14,584 $ 14,739 Jun-2002 $ 14,003 $ 14,059 Jul-2002 $ 12,994 $ 12,806 Aug-2002 $ 13,013 $ 12,805 Sep-2002 $ 11,912 $ 11,674 Oct-2002 $ 11,853 $ 11,997 Nov-2002 $ 12,253 $ 12,244 Dec-2002 $ 12,224 $ 12,020 Jan-2003 $ 11,934 $ 11,412 Feb-2003 $ 11,534 $ 11,027 Mar-2003 $ 11,434 $ 10,951 Apr-2003 $ 12,515 $ 12,284 May-2003 $ 14,015 $ 13,659 Jun-2003 $ 14,815 $ 13,978 Jul-2003 $ 15,405 $ 14,545 Aug-2003 $ 16,055 $ 14,926 Sep-2003 $ 16,686 $ 15,364 Oct-2003 $ 17,636 $ 16,709 Nov-2003 $ 17,726 $ 16,925
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS AUGUST 9, 1996 ---------------------------------------------------- 44.67 10.98 8.15
- THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES IN THE UNITED KINGDOM. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Citigroup Extended Market Index-United Kingdom is courtesy of Citigroup Global Markets Inc. [CHART] THE CONTINENTAL SMALL COMPANY SERIES VS. CITIGROUP EXTENDED MARKET INDEX-EUROPE EX UNITED KINGDOM AUGUST 9, 1996-NOVEMBER 30, 2003 GROWTH OF $10,000
THE CONTINENTAL SMALL CITIGROUP EXTENDED MARKET COMPANY SERIES INDEX-EUROPE EX UNITED KINGDOM 8/9/96 $ 10,000 $ 10,000 8/30/96 $ 9,900 $ 10,000 9/30/96 $ 9,761 $ 9,977 10/31/96 $ 9,940 $ 10,032 11/30/96 $ 10,128 $ 10,279 12/31/96 $ 10,326 $ 10,461 1/31/97 $ 10,584 $ 10,657 2/28/97 $ 10,604 $ 10,763 3/31/97 $ 10,980 $ 11,103 4/30/97 $ 10,683 $ 10,873 5/31/97 $ 11,118 $ 11,420 6/30/97 $ 811,504 $ 11,807 7/31/97 $ 11,474 $ 11,955 8/31/97 $ 11,296 $ 11,487 9/30/97 $ 12,098 $ 12,326 10/31/97 $ 11,752 $ 11,841 11/30/97 $ 11,495 $ 11,785 12/31/97 $ 11,585 $ 11,979 1/31/98 $ 12,011 $ 12,438 2/28/98 $ 12,912 $ 13,488 3/31/98 $ 14,140 $ 14,596 4/30/98 $ 14,704 $ 14,986 5/31/98 $ 15,486 $ 15,884 6/30/98 $ 15,080 $ 15,498 7/31/98 $ 15,139 $ 15,825 8/31/98 $ 13,565 $ 13,676 9/30/98 $ 12,922 $ 12,992 10/31/98 $ 13,298 $ 13,757 11/30/98 $ 13,783 $ 14,248 12/31/98 $ 13,911 $ 14,758 1/31/99 $ 13,199 $ 14,459 2/28/99 $ 12,951 $ 13,941 3/31/99 $ 12,753 $ 13,824 4/30/99 $ 13,129 $ 14,277 5/31/99 $ 12,990 $ 14,013 6/30/99 $ 13,080 $ 14,221 7/31/99 $ 13,367 $ 14,514 8/31/99 $ 13,457 $ 14,737 9/30/99 $ 13,516 $ 14,630 10/31/99 $ 13,317 $ 14,559 11/30/99 $ 12,971 $ 14,881 12/31/99 $ 13,585 $ 16,542 1/31/2000 $ 13,356 $ 16,123 2/29/2000 $ 14,227 $ 17,491 3/31/2000 $ 14,267 $ 17,258 4/30/2000 $ 13,544 $ 16,164 5/31/2000 $ 13,950 $ 16,156 6/30/2000 $ 14,494 $ 16,721 7/31/2000 $ 14,187 $ 16,556 8/31/2000 $ 14,207 $ 16,619 9/30/2000 $ 13,930 $ 15,744 10/31/2000 $ 13,306 $ 14,935 11/30/2000 $ 13,315 $ 14,324 12/31/2000 $ 14,226 $ 15,337 1/31/2001 $ 14,621 $ 15,650 2/28/2001 $ 14,384 $ 14,820 3/31/2001 $ 13,255 $ 13,331 4/30/2001 $ 13,740 $ 14,066 5/31/2001 $ 13,573 $ 13,663 6/30/2001 $ 13,167 $ 12,994 7/31/2001 $ 13,345 $ 12,926 8/31/2001 $ 13,443 $ 12,750 9/30/2001 $ 11,731 $ 10,766 10/31/2001 $ 12,077 $ 11,378 11/30/2001 $ 12,591 $ 12,061 12/31/2001 $ 12,699 $ 12,207 1/31/2002 $ 12,710 $ 12,020 2/28/2002 $ 12,898 $ 12,144 3/31/2002 $ 13,561 $ 12,975 4/30/2002 $ 14,104 $ 13,182 5/31/2002 $ 14,669 $ 13,492 6/30/2002 $ 14,669 $ 13,130 7/31/2002 $ 13,520 $ 11,589 8/31/2002 $ 13,342 $ 11,427 9/30/2002 $ 11,946 $ 9,930 10/31/2002 $ 12,313 $ 10,607 11/30/2002 $ 12,996 $ 11,277 12/31/2002 $ 13,234 $ 11,061 1/31/2003 $ 13,145 $ 10,769 2/28/2003 $ 12,759 $ 10,312 3/31/2003 $ 12,680 $ 10,277 4/30/2003 $ 14,263 $ 11,661 5/31/2003 $ 15,718 $ 12,676 6/30/2003 $ 15,976 $ 12,856 7/31/2003 $ 16,540 $ 13,358 8/31/2003 $ 16,906 $ 13,747 9/30/2003 $ 17,776 $ 14,298 10/31/2003 $ 18,875 $ 15,324 11/30/2003 $ 19,865 $ 16,123
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS AUGUST 9, 1996 ---------------------------------------------------- 52.85 7.37 9.85
- THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES LISTED ON THE MAJOR EXCHANGES OF AUSTRIA, BELGIUM, DENMARK, FINLAND, FRANCE, GERMANY, GREECE, IRELAND, ITALY, THE NETHERLANDS, NORWAY, PORTUGAL, SPAIN, SWEDEN, AND SWITZERLAND. Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 1% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Citigroup Extended Market Index-Europe ex United Kingdom is courtesy of Citigroup Global Markets Inc. 121 [CHART] THE EMERGING MARKETS SERIES VS. MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY) APRIL 25, 1994-NOVEMBER 30, 2003 GROWTH OF $10,000
MSCI EMERGING MARKETS THE EMERGING MARKETS SERIES FREE INDEX (PRICE-ONLY) 4/25/94 $ 10,000 $ 10,000 4/30/94 $ 9,850 $ 10,000 5/31/94 $ 10,175 $ 10,320 6/30/94 $ 10,057 $ 10,018 7/31/94 $ 10,805 $ 10,635 8/31/94 $ 11,780 $ 11,942 9/30/94 $ 11,908 $ 12,066 10/31/94 $ 11,564 $ 11,832 11/30/94 $ 11,200 $ 11,204 12/31/94 $ 10,392 $ 10,296 1/31/95 $ 9,427 $ 9,194 2/28/95 $ 9,378 $ 8,950 3/31/95 $ 9,791 $ 8,985 4/30/95 $ 10,274 $ 9,371 5/31/95 $ 11,003 $ 9,844 6/30/95 $ 11,072 $ 9,853 7/31/95 $ 11,515 $ 10,059 8/31/95 $ 11,082 $ 9,809 9/30/95 $ 10,875 $ 9,749 10/31/95 $ 10,510 $ 9,367 11/30/95 $ 10,466 $ 9,191 12/31/95 $ 10,783 $ 9,581 1/31/96 $ 11,947 $ 10,253 2/29/96 $ 11,698 $ 10,073 3/31/96 $ 11,798 $ 10,133 4/30/96 $ 12,136 $ 10,502 5/31/96 $ 12,136 $ 10,429 6/30/96 $ 12,236 $ 10,472 7/31/96 $ 11,191 $ 9,738 8/31/96 $ 11,509 $ 9,973 9/30/96 $ 11,757 $ 10,045 10/31/96 $ 11,499 $ 9,770 11/30/96 $ 11,907 $ 9,922 12/31/96 $ 12,066 $ 9,954 1/31/97 $ 13,300 $ 10,624 2/28/97 $ 13,469 $ 11,072 3/31/97 $ 13,090 $ 10,754 4/30/97 $ 12,582 $ 10,735 5/31/97 $ 13,209 $ 11,014 6/30/97 $ 13,756 $ 11,580 7/31/97 $ 13,775 $ 11,729 8/31/97 $ 11,767 $ 10,223 9/30/97 $ 12,254 $ 10,490 10/31/97 $ 10,444 $ 8,760 11/30/97 $ 9,897 $ 8,435 12/31/97 $ 9,817 $ 8,619 1/31/98 $ 9,639 $ 7,936 2/28/98 $ 10,583 $ 8,760 3/31/98 $ 10,952 $ 9,111 4/30/98 $ 10,783 $ 8,994 5/31/98 $ 9,540 $ 7,734 6/30/98 $ 8,694 $ 6,907 7/31/98 $ 9,053 $ 7,101 8/31/98 $ 6,765 $ 5,022 9/30/98 $ 6,775 $ 5,326 10/31/98 $ 7,880 $ 5,880 11/30/98 $ 8,675 $ 6,363 12/31/98 $ 8,924 $ 6,247 1/31/99 $ 8,706 $ 6,142 2/28/99 $ 8,795 $ 6,197 3/31/99 $ 9,591 $ 6,994 4/30/99 $ 11,302 $ 7,849 5/31/99 $ 11,292 $ 7,779 6/30/99 $ 12,397 $ 8,646 7/31/99 $ 12,208 $ 8,398 8/31/99 $ 12,158 $ 8,468 9/30/99 $ 11,761 $ 8,171 10/31/99 $ 12,218 $ 8,338 11/30/99 $ 13,342 $ 9,082 12/31/99 $ 15,372 $ 10,226 1/31/2000 $ 15,133 $ 10,267 2/29/2000 $ 14,735 $ 10,399 3/31/2000 $ 14,825 $ 10,433 4/30/2000 $ 13,870 $ 9,430 5/31/2000 $ 13,105 $ 9,020 6/30/2000 $ 13,373 $ 9,308 7/31/2000 $ 12,587 $ 8,819 8/31/2000 $ 12,727 $ 8,849 9/30/2000 $ 11,812 $ 8,065 10/31/2000 $ 11,065 $ 7,477 11/30/2000 $ 10,369 $ 6,819 12/31/2000 $ 10,926 $ 6,974 1/31/2001 $ 12,050 $ 7,919 2/28/2001 $ 10,966 $ 7,293 3/31/2001 $ 9,881 $ 6,543 4/30/2001 $ 10,319 $ 6,847 5/31/2001 $ 10,389 $ 6,907 6/30/2001 $ 10,170 $ 6,747 7/31/2001 $ 9,822 $ 6,303 8/31/2001 $ 9,912 $ 6,230 9/30/2001 $ 8,289 $ 5,253 10/31/2001 $ 8,538 $ 5,576 11/30/2001 $ 9,483 $ 6,152 12/31/2001 $ 10,219 $ 6,632 1/31/2002 $ 10,786 $ 6,848 2/28/2002 $ 10,647 $ 6,953 3/31/2002 $ 11,105 $ 7,343 4/30/2002 $ 11,224 $ 7,372 5/31/2002 $ 10,936 $ 7,235 6/30/2002 $ 10,110 $ 6,681 7/31/2002 $ 9,623 $ 6,156 8/31/2002 $ 9,653 $ 6,245 9/30/2002 $ 8,637 $ 5,560 10/31/2002 $ 8,996 $ 5,916 11/30/2002 $ 9,682 $ 6,317 12/31/2002 $ 9,294 $ 6,102 1/31/2003 $ 9,284 $ 6,068 2/28/2003 $ 9,144 $ 5,877 3/31/2003 $ 8,995 $ 5,688 4/30/2003 $ 10,210 $ 6,166 5/31/2003 $ 10,956 $ 6,590 6/30/2003 $ 11,384 $ 6,950 7/31/2003 $ 11,613 $ 7,367 8/31/2003 $ 12,141 $ 7,845 9/30/2003 $ 12,688 $ 7,889 10/31/2003 $ 13,653 $ 8,547 11/30/2003 $ 13,524 $ 8,635
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS APRIL 25, 1994 ---------------------------------------------------- 39.68 9.18 3.19
- THE SERIES PROVIDES ACCESS TO NON-U.S. LARGE COMPANIES IN "EMERGING MARKET" COUNTRIES INCLUDING ARGENTINA, BRAZIL, CHILE, HUNGARY, INDONESIA, ISRAEL, MALAYSIA, MEXICO, PHILIPPINES, POLAND, SOUTH KOREA, TAIWAN, THAILAND, AND TURKEY. Past performance is not predictive of future performance. Prior to April 2002, the returns shown since July 1995 reflect a reimbursement fee of 0.5% of the net asset value at the time of purchase. Prior to July 1995, the reimbursement fee was 1.5%. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI Emerging Markets Free Index (price-only) courtesy of Morgan Stanley Capital International. [CHART] THE EMERGING MARKETS SMALL CAP SERIES VS. MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY) DECEMBER 2, 1996-NOVEMBER 30, 2003 GROWTH OF $10,000
THE EMERGING MARKETS MSCI EMERGING MARKETS SMALL CAP SERIES FREE INDEX (PRICE-ONLY) 12/2/96 $ 10,000 $ 10,000 12/31/96 $ 9,880 $ 10,000 1/31/97 $ 10,880 $ 10,673 2/28/97 $ 11,138 $ 11,122 3/31/97 $ 10,692 $ 10,803 4/30/97 $ 10,088 $ 10,785 5/31/97 $ 10,247 $ 11,064 6/30/97 $ 10,652 $ 11,633 7/31/97 $ 10,692 $ 11,783 8/31/97 $ 9,296 $ 10,270 9/30/97 $ 9,483 $ 10,538 10/31/97 $ 8,424 $ 8,800 11/30/97 $ 7,849 $ 8,474 12/31/97 $ 7,612 $ 8,658 1/31/98 $ 6,909 $ 7,973 2/28/98 $ 7,216 $ 8,800 3/31/98 $ 7,562 $ 9,152 4/30/98 $ 7,790 $ 9,035 5/31/98 $ 7,344 $ 7,769 6/30/98 $ 6,869 $ 6,939 7/31/98 $ 7,057 $ 7,134 8/31/98 $ 5,404 $ 5,045 9/30/98 $ 5,187 $ 5,350 10/31/98 $ 5,850 $ 5,907 11/30/98 $ 6,622 $ 6,392 12/31/98 $ 6,840 $ 6,276 1/31/99 $ 6,543 $ 6,170 2/28/99 $ 6,543 $ 6,225 3/31/99 $ 7,177 $ 7,026 4/30/99 $ 8,721 $ 7,885 5/31/99 $ 9,028 $ 7,815 6/30/99 $ 10,157 $ 8,686 7/31/99 $ 10,098 $ 8,436 8/31/99 $ 10,296 $ 8,507 9/30/99 $ 10,167 $ 8,209 10/31/99 $ 10,514 $ 8,376 11/30/99 $ 11,355 $ 9,124 12/31/99 $ 12,780 $ 10,273 1/31/2000 $ 13,037 $ 10,314 2/29/2000 $ 12,858 $ 10,447 3/31/2000 $ 12,818 $ 10,481 4/30/2000 $ 11,887 $ 9,473 5/31/2000 $ 11,224 $ 9,061 6/30/2000 $ 11,204 $ 9,351 7/31/2000 $ 10,838 $ 8,859 8/31/2000 $ 10,797 $ 8,890 9/30/2000 $ 10,115 $ 8,102 10/31/2000 $ 9,313 $ 7,511 11/30/2000 $ 8,709 $ 6,850 12/31/2000 $ 8,719 $ 7,006 1/31/2001 $ 9,204 $ 7,955 2/28/2001 $ 8,640 $ 7,326 3/31/2001 $ 7,917 $ 6,573 4/30/2001 $ 8,126 $ 6,879 5/31/2001 $ 8,215 $ 6,939 6/30/2001 $ 8,225 $ 6,778 7/31/2001 $ 8,076 $ 6,332 8/31/2001 $ 8,027 $ 6,259 9/30/2001 $ 6,790 $ 5,277 10/31/2001 $ 7,136 $ 5,601 11/30/2001 $ 7,878 $ 6,180 12/31/2001 $ 8,492 $ 6,662 1/31/2002 $ 9,145 $ 6,879 2/28/2002 $ 9,046 $ 6,984 3/31/2002 $ 9,621 $ 7,376 4/30/2002 $ 9,888 $ 7,406 5/31/2002 $ 9,819 $ 7,268 6/30/2002 $ 9,176 $ 6,711 7/31/2002 $ 8,750 $ 6,184 8/31/2002 $ 8,858 $ 6,273 9/30/2002 $ 7,849 $ 5,585 10/31/2002 $ 8,175 $ 5,943 11/30/2002 $ 8,809 $ 6,346 12/31/2002 $ 8,522 $ 6,130 1/31/2003 $ 8,680 $ 6,095 2/28/2003 $ 8,581 $ 5,903 3/31/2003 $ 8,522 $ 5,714 4/30/2003 $ 9,620 $ 6,195 5/31/2003 $ 10,352 $ 6,620 6/30/2003 $ 10,798 $ 6,982 7/31/2003 $ 11,025 $ 7,400 8/31/2003 $ 11,688 $ 7,881 9/30/2003 $ 12,133 $ 7,925 10/31/2003 $ 13,192 $ 8,586 11/30/2003 $ 13,460 $ 8,674
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS DECEMBER 2, 1996 ------------------------------------------------------- 52.80 15.01 4.34
- THE SERIES PROVIDES ACCESS TO NON-U.S. SMALL COMPANIES IN "EMERGING MARKET" COUNTRIES INCLUDING ARGENTINA, BRAZIL, HUNGARY, INDONESIA, ISRAEL, MALAYSIA, MEXICO, PHILIPPINES, POLAND, SOUTH KOREA, TAIWAN, THAILAND, AND TURKEY. Past performance is not predictive of future performance. Prior to April 2002, the returns shown reflect a reimbursement fee of 1% of the net asset value at the time of purchase. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI Emerging Markets Free Index (price-only) courtesy of Morgan Stanley Capital International. 122 [CHART] THE DFA ONE-YEAR FIXED INCOME SERIES VS. THREE-MONTH U.S. TREASURY BILL INDEX NOVEMBER 30, 1993-NOVEMBER 30, 2003 GROWTH OF $10,000
THE DFA ONE-YEAR THREE-MONTH FIXED INCOME SERIES U.S. TREASURY BILL INDEX Nov-1993 $ 10,000 $ 10,000 Dec-1993 $ 10,034 $ 10,030 Jan-1994 $ 10,084 $ 10,059 Feb-1994 $ 10,066 $ 10,078 Mar-1994 $ 10,063 $ 10,107 Apr-1994 $ 10,058 $ 10,133 May-1994 $ 10,079 $ 10,163 Jun-1994 $ 10,113 $ 10,205 Jul-1994 $ 10,173 $ 10,242 Aug-1994 $ 10,213 $ 10,277 Sep-1994 $ 10,230 $ 10,315 Oct-1994 $ 10,264 $ 10,360 Nov-1994 $ 10,259 $ 10,401 Dec-1994 $ 10,291 $ 10,453 Jan-1995 $ 10,388 $ 10,505 Feb-1995 $ 10,487 $ 10,556 Mar-1995 $ 10,552 $ 10,610 Apr-1995 $ 10,622 $ 10,660 May-1995 $ 10,735 $ 10,715 Jun-1995 $ 10,796 $ 10,770 Jul-1995 $ 10,854 $ 10,821 Aug-1995 $ 10,909 $ 10,875 Sep-1995 $ 10,958 $ 10,923 Oct-1995 $ 11,016 $ 10,975 Nov-1995 $ 11,069 $ 11,024 Dec-1995 $ 11,122 $ 11,085 Jan-1996 $ 11,173 $ 11,136 Feb-1996 $ 11,218 $ 11,180 Mar-1996 $ 11,269 $ 11,222 Apr-1996 $ 11,308 $ 11,270 May-1996 $ 11,346 $ 11,319 Jun-1996 $ 11,408 $ 11,366 Jul-1996 $ 11,461 $ 11,417 Aug-1996 $ 11,517 $ 11,468 Sep-1996 $ 11,587 $ 11,522 Oct-1996 $ 11,671 $ 11,572 Nov-1996 $ 11,741 $ 11,622 Dec-1996 $ 11,779 $ 11,673 Jan-1997 $ 11,838 $ 11,726 Feb-1997 $ 11,887 $ 11,772 Mar-1997 $ 11,908 $ 11,822 Apr-1997 $ 11,987 $ 11,878 May-1997 $ 12,046 $ 11,939 Jun-1997 $ 12,118 $ 11,983 Jul-1997 $ 12,202 $ 12,037 Aug-1997 $ 12,239 $ 12,089 Sep-1997 $ 12,312 $ 12,144 Oct-1997 $ 12,385 $ 12,197 Nov-1997 $ 12,423 $ 12,244 Dec-1997 $ 12,491 $ 12,297 Jan-1998 $ 12,566 $ 12,355 Feb-1998 $ 12,618 $ 12,399 Mar-1998 $ 12,685 $ 12,457 Apr-1998 $ 12,733 $ 12,513 May-1998 $ 12,804 $ 12,566 Jun-1998 $ 12,854 $ 12,619 Jul-1998 $ 12,929 $ 12,674 Aug-1998 $ 12,988 $ 12,733 Sep-1998 $ 13,049 $ 12,797 Oct-1998 $ 13,098 $ 12,847 Nov-1998 $ 13,156 $ 12,890 Dec-1998 $ 13,222 $ 12,941 Jan-1999 $ 13,275 $ 12,988 Feb-1999 $ 13,315 $ 13,026 Mar-1999 $ 13,374 $ 13,079 Apr-1999 $ 13,432 $ 13,126 May-1999 $ 13,461 $ 13,177 Jun-1999 $ 13,518 $ 13,233 Jul-1999 $ 13,563 $ 13,287 Aug-1999 $ 13,597 $ 13,340 Sep-1999 $ 13,672 $ 13,400 Oct-1999 $ 13,722 $ 13,452 Nov-1999 $ 13,790 $ 13,506 Dec-1999 $ 13,843 $ 13,567 Jan-2000 $ 13,871 $ 13,625 Feb-2000 $ 13,961 $ 13,685 Mar-2000 $ 14,032 $ 13,756 Apr-2000 $ 14,083 $ 13,821 May-2000 $ 14,139 $ 13,905 Jun-2000 $ 14,254 $ 13,965 Jul-2000 $ 14,339 $ 14,028 Aug-2000 $ 14,428 $ 14,101 Sep-2000 $ 14,534 $ 14,176 Oct-2000 $ 14,609 $ 14,249 Nov-2000 $ 14,700 $ 14,328 Dec-2000 $ 14,788 $ 14,407 Jan-2001 $ 14,891 $ 14,502 Feb-2001 $ 14,964 $ 14,557 Mar-2001 $ 15,023 $ 14,624 Apr-2001 $ 15,098 $ 14,688 May-2001 $ 15,152 $ 14,745 Jun-2001 $ 15,201 $ 14,788 Jul-2001 $ 15,289 $ 14,837 Aug-2001 $ 15,359 $ 14,886 Sep-2001 $ 15,519 $ 14,950 Oct-2001 $ 15,615 $ 14,989 Nov-2001 $ 15,629 $ 15,022 Dec-2001 $ 15,660 $ 15,046 Jan-2002 $ 15,692 $ 15,068 Feb-2002 $ 15,750 $ 15,088 Mar-2002 $ 15,693 $ 15,110 Apr-2002 $ 15,792 $ 15,135 May-2002 $ 15,858 $ 15,159 Jun-2002 $ 15,941 $ 15,182 Jul-2002 $ 16,054 $ 15,204 Aug-2002 $ 16,104 $ 15,226 Sep-2002 $ 16,152 $ 15,250 Oct-2002 $ 16,201 $ 15,273 Nov-2002 $ 16,186 $ 15,297 Dec-2002 $ 16,288 $ 15,316 Jan-2003 $ 16,304 $ 15,331 Feb-2003 $ 16,351 $ 15,345 Mar-2003 $ 16,378 $ 15,363 Apr-2003 $ 16,414 $ 15,377 May-2003 $ 16,453 $ 15,392 Jun-2003 $ 16,473 $ 15,414 Jul-2003 $ 16,427 $ 15,425 Aug-2003 $ 16,443 $ 15,437 Sep-2003 $ 16,527 $ 15,453 Oct-2003 $ 16,498 $ 15,465 Nov-2003 $ 16,504 $ 15,477
ANNUALIZED ONE FIVE TEN TOTAL RETURN (%) YEAR YEARS YEARS ------------------------------------------ 1.97 4.64 5.14
- THE SERIES MAXIMIZES EXPECTED RETURNS BY SHIFTING MATURITIES BASED ON CHANGES IN THE YIELD CURVE. USING CURRENT PRICES, THE STRATEGY CREATES A MATRIX OF EXPECTED RETURNS FROM DIFFERENT BUY AND SELL STRATEGIES AND IDENTIFIES THE OPTIMAL MATURITY RANGE FOR THE HIGHEST EXPECTED RETURNS. ISSUES WHICH MEET MATURITY AND QUALITY LEVELS ARE FURTHER EVALUATED FOR BUSINESS RISK. MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN BE FOUND. INVESTMENTS ARE MADE IN HIGH QUALITY OBLIGATIONS, INCLUDING BANKERS' ACCEPTANCES, CERTIFICATES OF DEPOSIT, CORPORATE DEBT OBLIGATIONS AND COMMERCIAL PAPER OF U.S. AS WELL AS NON-U.S. ISSUERS. AVERAGE MATURITY IS MAINTAINED UNDER ONE YEAR WITH NO INDIVIDUAL ISSUE LONGER THAN TWO YEARS. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Three-Month U.S. Treasury Bill Index courtesy of Merrill Lynch. [CHART] THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES VS. MERRILL LYNCH 1-3 YEAR GOVERNMENT/CORPORATE INDEX FEBRUARY 9, 1996-NOVEMBER 30, 2003 GROWTH OF $10,000
THE DFA TWO-YEAR MERRILL LYNCH 1-3 YEAR GLOBAL FIXED INCOME SERIES GOVERNMENT/CORPORATE INDEX Feb-1996 $ 10,000 $ 10,000 Feb-1996 $ 10,000 $ 10,000 Mar-1996 $ 10,047 $ 9,993 Apr-1996 $ 10,097 $ 10,002 May-1996 $ 10,148 $ 10,023 Jun-1996 $ 10,188 $ 10,096 Jul-1996 $ 10,260 $ 10,137 Aug-1996 $ 10,361 $ 10,172 Sep-1996 $ 10,439 $ 10,265 Oct-1996 $ 10,531 $ 10,381 Nov-1996 $ 10,602 $ 10,461 Dec-1996 $ 10,647 $ 10,462 Jan-1997 $ 10,720 $ 10,511 Feb-1997 $ 10,762 $ 10,536 Mar-1997 $ 10,766 $ 10,534 Apr-1997 $ 10,830 $ 10,620 May-1997 $ 10,904 $ 10,694 Jun-1997 $ 10,982 $ 10,767 Jul-1997 $ 11,036 $ 10,887 Aug-1997 $ 11,079 $ 10,898 Sep-1997 $ 11,149 $ 10,981 Oct-1997 $ 11,192 $ 11,061 Nov-1997 $ 11,236 $ 11,087 Dec-1997 $ 11,287 $ 11,163 Jan-1998 $ 11,378 $ 11,271 Feb-1998 $ 11,423 $ 11,282 Mar-1998 $ 11,490 $ 11,331 Apr-1998 $ 11,524 $ 11,385 May-1998 $ 11,593 $ 11,448 Jun-1998 $ 11,645 $ 11,507 Jul-1998 $ 11,704 $ 11,562 Aug-1998 $ 11,784 $ 11,698 Sep-1998 $ 11,854 $ 11,850 Oct-1998 $ 11,912 $ 11,902 Nov-1998 $ 11,965 $ 11,890 Dec-1998 $ 12,034 $ 11,936 Jan-1999 $ 12,093 $ 11,987 Feb-1999 $ 12,140 $ 11,935 Mar-1999 $ 12,207 $ 12,022 Apr-1999 $ 12,254 $ 12,064 May-1999 $ 12,278 $ 12,057 Jun-1999 $ 12,327 $ 12,094 Jul-1999 $ 12,351 $ 12,127 Aug-1999 $ 12,400 $ 12,159 Sep-1999 $ 12,467 $ 12,241 Oct-1999 $ 12,492 $ 12,277 Nov-1999 $ 12,544 $ 12,304 Dec-1999 $ 12,608 $ 12,326 Jan-2000 $ 12,633 $ 12,323 Feb-2000 $ 12,710 $ 12,406 Mar-2000 $ 12,767 $ 12,479 Apr-2000 $ 12,818 $ 12,508 May-2000 $ 12,857 $ 12,553 Jun-2000 $ 12,939 $ 12,690 Jul-2000 $ 13,005 $ 12,776 Aug-2000 $ 13,083 $ 12,874 Sep-2000 $ 13,176 $ 12,975 Oct-2000 $ 13,242 $ 13,036 Nov-2000 $ 13,333 $ 13,164 Dec-2000 $ 13,431 $ 13,322 Jan-2001 $ 13,527 $ 13,500 Feb-2001 $ 13,583 $ 13,589 Mar-2001 $ 13,647 $ 13,709 Apr-2001 $ 13,703 $ 13,747 May-2001 $ 13,759 $ 13,835 Jun-2001 $ 13,801 $ 13,888 Jul-2001 $ 13,886 $ 14,057 Aug-2001 $ 13,970 $ 14,146 Sep-2001 $ 14,139 $ 14,369 Oct-2001 $ 14,267 $ 14,511 Nov-2001 $ 14,252 $ 14,474 Dec-2001 $ 14,267 $ 14,482 Jan-2002 $ 14,309 $ 14,513 Feb-2002 $ 14,367 $ 14,577 Mar-2002 $ 14,289 $ 14,485 Apr-2002 $ 14,418 $ 14,644 May-2002 $ 14,490 $ 14,720 Jun-2002 $ 14,593 $ 14,834 Jul-2002 $ 14,750 $ 14,989 Aug-2002 $ 14,808 $ 15,061 Sep-2002 $ 14,880 $ 15,185 Oct-2002 $ 14,938 $ 15,214 Nov-2002 $ 14,909 $ 15,209 Dec-2002 $ 15,035 $ 15,364 Jan-2003 $ 15,050 $ 15,386 Feb-2003 $ 15,109 $ 15,464 Mar-2003 $ 15,139 $ 15,498 Apr-2003 $ 15,185 $ 15,552 May-2003 $ 15,244 $ 15,636 Jun-2003 $ 15,267 $ 15,669 Jul-2003 $ 15,177 $ 15,575 Aug-2003 $ 15,177 $ 15,589 Sep-2003 $ 15,322 $ 15,748 Oct-2003 $ 15,262 $ 15,690 Nov-2003 $ 15,262 $ 15,690
ANNUALIZED ONE FIVE FROM TOTAL RETURN (%) YEAR YEARS FEBRUARY 9, 1996 ----------------------------------------------------- 2.37 4.99 5.57
- THE SERIES SEEKS TO MAXIMIZE EXPECTED RETURNS BY SHIFTING MATURITIES BASED ON CHANGES IN THE YIELD CURVE. USING CURRENT PRICES, THE STRATEGY CREATES A MATRIX OF EXPECTED RETURNS FROM DIFFERENT BUY AND SELL STRATEGIES AND IDENTIFIES THE OPTIMAL MATURITY RANGE FOR THE HIGHEST EXPECTED RETURNS. MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN BE FOUND. INVESTMENTS ARE MADE IN U.S. GOVERNMENT SECURITIES, HIGH-QUALITY CORPORATE SECURITIES AND CURRENCY HEDGED GLOBAL BONDS WITH A MAXIMUM MATURITY OF TWO YEARS. Past performance is not predictive of future performance. Daily index data not available at the inception of the fund. Index return is from first full month of fund inception. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Merrill Lynch 1-3 Year Government/Corporate Index courtesy of a Merrill Lynch. 123 THE U.S. LARGE COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ COMMON STOCKS -- (83.7%) 3M Co. 234,000 $ 18,495,360 Abbott Laboratories 467,100 20,645,820 Ace, Ltd. 83,200 3,032,640 *# ADC Telecommunications, Inc. 240,300 591,138 # Adobe Systems, Inc. 69,700 2,880,004 *# Advanced Micro Devices, Inc. 103,700 1,864,526 * AES Corp. 185,200 1,642,724 Aetna, Inc. 45,900 2,955,042 AFLAC, Inc. 153,700 5,528,589 * Agilent Technologies, Inc. 140,900 3,984,652 Air Products & Chemicals, Inc. 67,900 3,255,126 Alberto-Culver Co. Class B 17,600 1,074,832 # Albertson's, Inc. 109,700 2,334,416 Alcoa, Inc. 253,000 8,300,930 * Allegheny Energy, Inc. 37,600 404,200 Allegheny Technologies, Inc. 24,200 198,440 Allergan, Inc. 39,000 2,914,470 * Allied Waste Industries, Inc. 62,600 779,370 # Allstate Corp. 210,400 8,495,952 # Alltel Corp. 93,200 4,232,212 * Altera Corp. 114,300 2,895,219 # Altria Group, Inc. 606,700 31,548,400 Ambac Financial Group, Inc. 32,000 2,200,000 # Amerada Hess Corp. 27,000 1,278,990 # Ameren Corp. 48,400 2,135,892 # American Electric Power Co., Inc. 118,000 3,267,420 # American Express Co. 384,800 17,589,208 *# American Greetings Corp. Class A 19,800 418,176 American International Group, Inc. 780,000 45,201,000 American Power Conversion Corp. 59,000 1,289,740 * American Standard Companies, Inc. 21,600 2,153,520 # AmerisourceBergen Corp. 33,500 2,120,215 * Amgen, Inc. 385,900 22,193,109 AmSouth Bancorporation 104,800 2,514,152 Anadarko Petroleum Corp. 74,500 3,347,285 Analog Devices, Inc. 109,200 5,432,700 *# Andrew Corp. 45,800 539,066 Anheuser-Busch Companies, Inc. 247,200 12,809,904 * Anthem, Inc. 41,300 2,978,556 # AON Corp. 93,500 2,051,390 Apache Corp. 48,400 3,475,120 Apartment Investment & Management Co. Class A 28,100 956,805 * Apollo Group, Inc. (Class A) 52,500 3,624,075 * Apple Computer, Inc. 108,400 2,267,728 Applera Corporation - Applied Biosystems Group 62,500 1,341,875 * Applied Materials, Inc. 495,500 12,040,650 * Applied Micro Circuits Corp. 91,100 588,506 Archer-Daniels Midland Co. 192,800 2,755,112 Ashland, Inc. 20,400 810,696 # AT&T Corp. 235,500 4,669,965 * AT&T Wireless Services, Inc. 811,100 6,083,250 Autodesk, Inc. 33,400 775,548 Automatic Data Processing, Inc. 178,800 6,835,524 * AutoNation, Inc. 82,300 1,446,834 * Autozone, Inc. 26,700 2,554,122 * Avaya, Inc. 124,600 $ 1,694,560 # Avery Dennison Corp. 33,100 1,823,148 Avon Products, Inc. 70,600 4,836,100 B B & T Corp. 161,400 6,352,704 # Baker Hughes, Inc. 100,100 2,888,886 Ball Corp. 16,800 939,960 # Bank of America Corp. 446,900 33,709,667 Bank of New York Co., Inc. 230,300 7,065,604 Bank One Corp. 337,900 14,651,344 Bard (C.R.), Inc. 15,500 1,171,800 Bausch & Lomb, Inc. 15,900 798,657 Baxter International, Inc. 182,000 5,063,240 Bear Stearns Companies, Inc. 29,800 2,159,308 Becton Dickinson & Co. 76,000 3,042,280 * Bed, Bath and Beyond, Inc. 88,400 3,734,016 Bellsouth Corp. 552,300 14,376,369 Bemis Co., Inc. 15,900 723,450 Best Buy Co., Inc. 96,400 5,976,800 * Big Lots, Inc. 34,900 511,634 * Biogen Idec, Inc. 51,405 1,962,643 Biomet, Inc. 76,700 2,743,559 * BJ Services, Co. 47,400 1,511,586 # Black & Decker Corp. 23,200 1,076,248 # Block (H.&R.), Inc. 53,700 2,915,373 * BMC Software, Inc. 68,000 1,130,840 Boeing Co. 251,400 9,651,246 Boise Cascade Corp. 17,500 516,425 * Boston Scientific Corp. 246,000 8,828,940 # Bristol Myers Squibb Co. 579,500 15,269,825 * Broadcom Corp. 88,700 3,231,341 # Brown-Forman Corp. Class B 18,000 1,651,320 Brunswick Corp. 27,100 814,355 Burlington Northern Santa Fe Corp. 111,300 3,313,401 # Burlington Resources, Inc. 60,000 3,012,000 * Calpine Corp. 114,500 488,915 # Campbell Soup Co. 122,700 3,142,347 # Capital One Financial Corp. 67,900 4,054,988 # Cardinal Health, Inc. 133,400 8,156,076 # Carnival Corp. 188,300 6,626,277 # Caterpillar, Inc. 103,200 7,848,360 * Cendant Corp. 303,100 6,716,696 CenterPoint Energy, Inc. 91,400 886,580 # Centex Corp. 18,500 2,023,900 CenturyTel, Inc. 43,100 1,409,370 Charter One Financial, Inc. 67,500 2,242,350 ChevronTexaco Corp. 319,500 23,994,450 * Chiron Corp. 55,700 2,986,634 # Chubb Corp. 56,000 3,665,200 * CIENA Corp. 140,800 996,864 CIGNA Corp. 42,000 2,253,300 # Cincinnati Financial Corp. 48,000 1,945,440 # Cinergy Corp. 53,100 1,940,805 Cintas Corp. 50,900 2,379,066 Circuit City Stores, Inc. 62,400 812,448 *# Cisco Sytems, Inc. 2,098,300 47,547,478 Citigroup, Inc. 1,540,000 72,441,600 *# Citizens Communications Co. 84,900 922,014 *# Citrix Systems, Inc. 49,200 1,181,784
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SHARES VALUE+ ------ ------ Clear Channel Communications, Inc. 183,900 $ 7,688,859 # Clorox Co. 64,800 3,040,416 *# CMS Energy Corp. 43,100 340,059 Coca-Cola Co. 734,800 34,168,200 # Coca-Cola Enterprises, Inc. 135,300 2,793,945 Colgate-Palmolive Co. 160,800 8,442,000 * Comcast Corp. Class A 672,800 21,112,464 Comerica, Inc. 52,400 2,732,660 # Computer Associates International, Inc. 173,000 4,030,900 * Computer Sciences Corp. 55,900 2,314,260 * Compuware Corp. 114,400 654,368 *# Comverse Technology, Inc. 56,300 1,082,649 Conagra, Inc. 160,500 3,932,250 * Concord EFS, Inc. 145,500 1,671,795 # ConocoPhilips 203,300 11,535,242 # Consolidated Edison, Inc. 67,300 2,712,190 Constellation Energy Group 49,900 1,878,236 * Convergys Corp. 42,700 655,018 Cooper Industries, Ltd. 27,600 1,480,740 Cooper Tire & Rubber Co. 22,100 442,221 Coors (Adolph) Co. Class B 10,900 600,699 *# Corning, Inc. 398,100 4,562,226 * Costco Wholesale Corp. 136,700 4,896,594 Countrywide Financial Corp. 40,600 4,287,360 Crane Co. 17,700 514,893 CSX Corp. 64,000 2,168,960 # Cummins, Inc. 12,400 575,980 CVS Corp. 118,000 4,420,280 # Dana Corp. 44,400 717,948 # Danaher Corp. 45,700 3,802,240 # Darden Restaurants, Inc. 49,100 1,016,861 # Deere & Co. 71,600 4,384,068 *# Dell, Inc. 767,800 26,489,100 Delphi Automotive Systems Corp. 167,500 1,470,650 # Delta Air Lines, Inc. 37,000 463,980 Deluxe Corp. 15,900 655,080 Devon Energy Corp. 69,400 3,425,584 # Dillards, Inc. Class A 25,000 421,250 Disney (Walt) Co. 611,100 14,110,299 Dollar General Corp. 99,700 2,105,664 # Dominion Resources, Inc. 96,600 5,822,082 # Donnelley (R.R.) & Sons Co. 33,900 951,234 Dover Corp. 60,500 2,322,595 # Dow Chemical Co. 274,600 10,311,230 # Dow Jones & Co., Inc. 24,300 1,205,280 # DTE Energy Co. 50,300 1,896,813 Duke Energy Corp. 270,400 4,878,016 DuPont (E.I.) de Nemours & Co., Inc. 297,900 12,350,934 *# Dynegy, Inc. 112,000 448,000 Eastman Chemical Co. 23,100 823,977 # Eastman Kodak Co. 85,700 2,087,652 # Eaton Corp. 22,500 2,317,275 * eBay, Inc. 192,000 10,723,200 Ecolab, Inc. 77,700 2,037,294 * Edison International 97,500 1,990,950 # El Paso Corp. 179,500 1,274,450 * Electronic Arts, Inc. 88,000 3,892,240 # Electronic Data Systems Corp. 143,400 3,100,308 *# EMC Corp. 655,800 9,010,692 Emerson Electric Co. 125,900 7,684,936 Engelhard Corp. 37,500 $ 1,118,250 Entergy Corp. 68,100 3,599,766 EOG Resources, Inc. 34,300 1,438,542 Equifax, Inc. 42,000 992,460 Equity Office Properties Trust 119,300 3,308,189 Equity Residential Corp. 81,900 2,404,584 Exelon Corp. 97,500 6,027,450 *# Express Scripts, Inc. Class A 23,500 1,521,155 Exxon Mobil Corp. 1,984,200 71,768,514 Family Dollar Stores, Inc. 51,400 1,983,012 Federal Home Loan Mortgage Corporation 208,100 11,324,802 Federal National Mortgage Association 291,100 20,377,000 Federated Department Stores, Inc. 55,400 2,719,586 Federated Investors, Inc. 32,500 934,375 FedEx Corp. 89,200 6,484,840 # Fifth Third Bancorp 170,400 9,905,352 First Data Corp. 221,300 8,376,205 # First Tennessee National Corp. 37,700 1,681,420 FirstEnergy Corp. 97,400 3,374,910 * Fiserv, Inc. 57,800 2,167,500 FleetBoston Financial Corp. 314,600 12,772,760 # Fluor Corp. 24,400 894,504 # Ford Motor Co. 547,700 7,229,640 *# Forest Laboratories, Inc. 109,100 5,961,224 Fortune Brands, Inc. 43,400 2,965,088 FPL Group, Inc. 54,900 3,488,895 Franklin Resources, Inc. 75,000 3,587,250 # Freeport McMoran Copper & Gold, Inc. Class B 50,300 2,189,559 Gannett Co., Inc. 80,700 6,988,620 # Gap, Inc. 267,100 5,742,650 * Gateway, Inc. 96,900 432,174 General Dynamics Corp. 59,000 4,771,330 General Electric Co. 2,995,200 85,872,384 # General Mills, Inc. 111,400 5,014,114 # General Motors Corp. 167,600 7,169,928 # Genuine Parts Co. 52,000 1,636,960 * Genzyme Corp. 66,400 3,103,536 # Georgia-Pacific Corp. 75,900 2,071,311 Gillette Co. 304,900 10,284,277 Golden West Financial Corp. 45,500 4,590,950 Goodrich (B.F.) Co. 35,100 965,601 *# Goodyear Tire & Rubber Co. 52,400 353,700 Grainger (W.W.), Inc. 27,300 1,262,898 # Great Lakes Chemical Corp. 15,100 342,921 Guidant Corp. 92,100 5,228,517 # Halliburton Co. 131,000 3,058,850 # Harley-Davidson, Inc. 90,500 4,268,885 # Harrahs Entertainment, Inc. 32,900 1,574,923 # Hartford Financial Services Group, Inc. 84,400 4,642,000 # Hasbro, Inc. 51,900 1,147,509 HCA, Inc. 149,400 6,261,354 # Health Management Associates, Inc. 71,700 1,842,690 # Heinz (H.J.) Co. 105,200 3,797,720 * Hercules, Inc. 33,200 333,328 Hershey Foods Corp. 39,000 3,030,300 Hewlett-Packard Co. 912,800 19,798,632 # Hilton Hotels Corp. 112,900 1,847,044
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SHARES VALUE+ ------ ------ # Home Depot, Inc. 687,100 $ 25,257,796 Honeywell International, Inc. 257,100 7,633,299 * Humana, Inc. 48,400 1,080,772 Huntington Bancshares, Inc. 68,300 1,501,917 Illinois Tool Works, Inc. 92,100 7,193,010 # IMS Health, Inc. 71,500 1,646,645 Ingersoll-Rand Co., Ltd. Class A 51,100 3,185,574 # Intel Corp. 1,946,300 65,064,809 # International Business Machines Corp. 517,200 46,827,288 # International Flavors & Fragrances, Inc. 28,200 915,654 International Game Technology 103,200 3,580,008 # International Paper Co. 143,300 5,332,193 * Interpublic Group of Companies, Inc. 117,000 1,667,250 * Intuit, Inc. 61,400 3,087,192 ITT Industries, Inc. 27,600 1,819,392 * Jabil Circuit, Inc. 59,500 1,636,845 Janus Capital Group, Inc. 71,600 995,956 *# JDS Uniphase Corp. 427,600 1,470,944 Jefferson-Pilot Corp. 42,500 2,062,525 John Hancock Financial Services, Inc. 86,500 3,178,875 # Johnson & Johnson 887,300 43,735,017 Johnson Controls, Inc. 26,700 2,922,048 Jones Apparel Group, Inc. 37,900 1,307,550 JP Morgan Chase & Co. 608,900 21,530,704 KB Home Corp. 14,100 971,208 Kellogg Co. 122,000 4,363,940 Kerr-McGee Corp. 30,100 1,263,899 KeyCorp 125,900 3,498,761 KeySpan Corp. 47,500 1,673,425 Kimberly Clark Corp. 151,400 8,208,908 Kinder Morgan, Inc. 36,900 2,011,050 * King Pharmaceuticals, Inc. 72,100 930,811 * KLA-Tencor Corp. 56,900 3,334,909 Knight Ridder, Inc. 24,000 1,785,120 * Kohls Corp. 101,500 4,904,480 * Kroger Co. 224,700 4,237,842 Leggett and Platt, Inc. 57,500 1,169,550 # Lehman Brothers Holdings, Inc. 82,200 5,935,662 * Lexmark International Group, Inc. 38,300 2,964,420 Lilly (Eli) & Co. 335,700 23,015,592 Limited Brands, Inc. 155,900 2,793,728 Lincoln National Corp. 53,200 2,085,972 Linear Technology Corp. 93,600 4,037,904 Liz Claiborne, Inc. 32,600 1,141,326 # Lockheed Martin Corp. 134,800 6,192,712 Loews Corp. 55,400 2,361,702 * Louisiana-Pacific Corp. 31,300 566,217 Lowe's Companies, Inc. 234,200 13,653,860 * LSI Logic Corp. 113,200 1,060,684 *# Lucent Technologies, Inc. 1,243,800 3,980,160 Manor Care, Inc. 26,600 939,512 Marathon Oil Corp. 92,700 2,744,847 Marriott International, Inc. Class A 69,700 3,194,351 Marsh & McLennan Co., Inc. 159,300 7,079,292 Marshall & Isley Corp. 67,900 2,519,090 Masco Corp. 140,500 3,821,600 *# Mattel, Inc. 131,300 2,657,512 Maxim Integrated Products, Inc. 97,100 5,056,968 # May Department Stores Co. 86,300 2,558,795 Maytag Corp. 23,500 $ 621,340 MBIA, Inc. 43,400 2,522,408 MBNA Corp. 382,000 9,366,640 McCormick & Co., Inc. 41,800 1,199,242 # McDonalds Corp. 380,400 9,749,652 McGraw-Hill Companies, Inc. 57,200 3,918,200 McKesson Corp. 86,900 2,537,480 MeadWestavco Corp. 59,900 1,528,648 * Medco Health Solutions, Inc. 80,900 2,947,187 * Medimmune, Inc. 74,600 1,775,480 Medtronic, Inc. 363,800 16,443,760 Mellon Financial Corp. 128,700 3,706,560 Merck & Co., Inc. 669,300 27,173,580 *# Mercury Interactive Corp. 25,800 1,207,440 Meredith Corp. 14,900 713,561 # Merrill Lynch & Co., Inc. 279,500 15,861,625 # MetLife, Inc. 227,300 7,430,437 # MGIC Investment Corp. 29,400 1,556,730 *# Micron Technology, Inc. 182,300 2,371,723 Microsoft Corp. 3,232,900 83,085,530 * Millipore Corp. 14,600 625,026 Molex, Inc. 57,100 1,836,336 Monsanto Co. 78,300 2,123,496 * Monster Worldwide, Inc. 33,600 808,416 Moody's Corp. 44,600 2,554,688 Morgan Stanley Dean Witter & Co. 325,200 17,977,056 Motorola, Inc. 695,700 9,767,628 * Nabors Industries, Ltd. 43,800 1,625,856 National City Corp. 183,600 6,159,780 * National Semiconductor Corp. 54,900 2,455,128 *# Navistar International Corp. 20,400 879,240 * NCR Corp. 28,300 987,670 * Network Appliance Corp. 102,200 2,361,842 New York Times Class A 44,700 2,051,730 # Newell Rubbermaid, Inc. 82,100 1,877,627 Newmont Mining Corp. 129,200 6,219,688 * Nextel Communications Corp. Class A 309,600 7,842,168 Nicor, Inc. 13,200 432,564 Nike, Inc. Class B 78,800 5,299,300 NiSource, Inc. 78,500 1,628,875 * Noble Corp. 39,900 1,379,742 Nordstrom, Inc. 40,500 1,397,250 Norfolk Southern Corp. 116,700 2,498,547 # North Fork Bancorporation, Inc. 45,400 1,812,822 Northern Trust Corp. 66,100 2,964,585 # Northrop Grumman Corp. 54,700 5,066,861 * Novell, Inc. 111,000 1,054,500 * Novellus Systems, Inc. 45,200 1,977,952 Nucor Corp. 23,400 1,312,974 * Nvidia Corp. 47,600 1,006,740 Occidental Petroleum Corp. 114,400 4,196,192 * Office Depot, Inc. 92,700 1,469,295 Omnicom Group, Inc. 56,800 4,524,688 *# Oracle Systems Corp. 1,564,700 18,792,047 Paccar, Inc. 34,800 2,791,308 * Pactiv Corp. 47,100 1,056,924 Pall Corp. 37,200 953,064 * Parametric Technology Corp. 79,500 271,890 # Parker-Hannifin Corp. 35,300 1,941,147 Paychex, Inc. 112,600 4,331,722 # Penney (J.C.) Co., Inc. 81,200 2,020,256
126
SHARES VALUE+ ------ ------ Peoples Energy Corp. 10,900 $ 438,180 *# Peoplesoft, Inc. 108,800 2,301,120 # Pepsi Bottling Group, Inc. 80,000 1,846,400 Pepsico, Inc. 515,900 24,825,108 PerkinElmer, Inc. 37,900 640,889 Pfizer, Inc. 2,327,800 78,097,690 * PG&E Corp. (Holding Co.) 123,100 3,092,272 * Phelps Dodge Corp. 26,600 1,693,888 Pinnacle West Capital Corp. 27,300 1,074,801 Pitney Bowes, Inc. 70,000 2,782,500 # Plum Creek Timber Co., Inc. 54,700 1,456,661 * PMC Sierra, Inc. 50,900 1,036,833 * Power-One, Inc. 24,800 209,064 PPG Industries, Inc. 50,700 2,964,429 # PPL Corp. 52,900 2,162,552 Praxair, Inc. 48,700 3,495,686 Principal Financial Group, Inc. 96,700 3,201,737 # Procter & Gamble Co. 387,600 37,302,624 Progress Energy, Inc. 72,800 3,190,096 # Progressive Corp. 64,900 5,068,690 ProLogis 53,700 1,637,850 * Providian Financial Corp. 86,800 980,840 Prudential Financial, Inc. 163,100 6,378,841 Public Service Enterprise Group, Inc. 67,700 2,777,054 Pulte Homes Inc. 18,400 1,757,936 * Q Logic Corp. 28,200 1,602,606 # Qualcomm, Inc. 237,300 10,571,715 * Quest Diagnostics, Inc. 31,400 2,291,258 * Qwest Communications International, Inc. 506,800 1,854,888 *# Radioshack Corp. 49,500 1,541,925 Raytheon Co. 123,700 3,427,727 Reebok International, Ltd. 17,700 712,248 Regions Financial Corp. 66,600 2,471,526 # RJ Reynolds Tobacco Holdings, Inc. 25,200 1,391,040 *# Robert Half International, Inc. 50,900 1,133,034 # Rockwell Collins, Inc. 53,600 1,441,304 Rockwell International Corp. 55,200 1,835,400 Rohm & Haas Co. 66,500 2,669,975 * Rowan Companies, Inc. 28,100 594,877 Ryder System, Inc. 18,900 589,491 # Sabre Holdings Corp. 43,000 896,550 Safeco Corp. 41,300 1,545,859 * Safeway, Inc. 132,000 2,739,000 * Saint Jude Medical, Inc. 51,400 3,255,676 Saint Paul Companies, Inc. 68,100 2,526,510 * Sanmina Corp. 152,400 1,857,756 # Sara Lee Corp. 232,400 4,775,820 # SBC Communications, Inc. 993,600 23,131,008 Schering-Plough Corp. 439,200 7,049,160 Schlumberger, Ltd. 174,200 8,173,464 Schwab (Charles) Corp. 404,900 4,696,840 Scientific-Atlanta, Inc. 44,500 1,285,160 *# Sealed Air Corp. 25,400 1,340,358 # Sears, Roebuck & Co. 84,500 4,661,020 # Sempra Energy 66,900 1,894,608 # Sherwin-Williams Co. 43,700 1,417,191 * Siebel Systems, Inc. 147,700 1,946,686 # Sigma-Aldrich Corp. 21,100 1,130,327 # Simon Property Group, Inc. 57,500 2,728,375 SLM Corp. 134,800 $ 5,005,124 Snap-On, Inc. 17,500 525,350 * Solectron Corp. 248,100 1,451,385 Southern Co. 217,800 6,375,006 SouthTrust Corp. 100,900 3,243,935 # Southwest Airlines Co. 234,000 4,207,320 # Sprint Corp. 270,000 4,047,300 * Sprint Corp. (PCS Group) 309,200 1,419,228 Stanley Works 25,500 834,105 * Staples, Inc. 146,500 3,977,475 *# Starbucks Corp. 116,900 3,748,983 # Starwood Hotels and Resorts Worldwide, Inc. 60,100 2,071,647 State Street Corp. 99,500 5,070,520 Stryker Corp. 59,500 4,819,500 * Sun Microsystems, Inc. 965,500 4,122,685 * Sungard Data Systems, Inc. 85,200 2,302,104 # Sunoco, Inc. 23,000 1,104,230 Suntrust Banks, Inc. 84,100 5,975,305 # Supervalu, Inc. 40,000 1,032,800 *# Symantec Corp. 90,600 2,974,398 Symbol Technologies, Inc. 68,900 961,155 Synovus Financial Corp. 90,000 2,579,400 # Sysco Corp. 194,200 7,053,344 # T. Rowe Price Group, Inc. 37,000 1,555,480 Target Corp. 272,300 10,543,456 # Teco Energy, Inc. 56,100 728,178 Tektronix, Inc. 25,400 699,770 * Tellabs, Inc. 123,400 987,200 # Temple-Inland, Inc. 16,200 915,786 * Tenet Healthcare Corp. 138,600 2,024,946 * Teradyne, Inc. 56,400 1,419,588 # Texas Instruments, Inc. 517,500 15,400,800 # Textron, Inc. 40,500 2,018,520 # The Goldman Sachs Group, Inc. 141,800 13,624,144 * Thermo-Electron Corp. 48,500 1,159,150 # Thomas & Betts Corp. 17,500 364,000 # Tiffany & Co. 43,400 1,968,190 * Time Warner, Inc. 1,349,100 21,963,348 TJX Companies, Inc. 152,600 3,447,234 Torchmark Corp. 34,100 1,503,810 *# Toys R Us, Inc. 63,800 749,012 * Transocean, Inc. 95,600 1,852,728 Travelers Property Casualty Corp. Series B 300,900 4,694,040 Tribune Co. 93,800 4,582,130 Tupperware Corp. 17,500 269,675 # TXU Corp. 96,300 2,132,082 # Tyco International, Ltd. 597,100 13,703,445 U.S. Bancorp 575,900 15,958,189 # Union Pacific Corp. 76,200 4,852,416 Union Planters Corp. 58,600 2,022,286 *# Unisys Corp. 98,400 1,605,888 # United Parcel Service, Inc. 336,500 24,487,105 # United States Steel Corp. 30,900 767,865 United Technologies Corp. 140,200 12,015,140 Unitedhealth Group, Inc. 178,300 9,610,370 *# Univision Communications, Inc. Class A 96,300 3,474,504 # Unocal Corp. 77,300 2,456,594 UnumProvident Corp. 88,500 1,321,305
127
SHARES VALUE+ ------ ------ UST, Inc. 49,800 $ 1,792,302 * Veritas Software Co. 127,300 4,840,073 Verizon Communications, Inc. 824,100 27,005,757 VF Corp. 32,200 1,328,894 # Viacom, Inc. Class B 525,000 20,643,000 # Visteon Corp. 39,100 306,935 Vulcan Materials Co. 30,300 1,347,441 Wachovia Corp. 398,300 18,222,225 # Walgreen Co. 306,400 11,278,584 Wal-Mart Stores, Inc. 1,306,200 72,676,968 # Washington Mutual, Inc. 276,100 12,648,141 # Waste Management, Inc. 177,000 5,205,570 * Waters Corp. 36,800 1,176,864 * Watson Pharmaceuticals, Inc. 32,300 1,522,622 * Wellpoint Health Networks, Inc. 43,900 4,104,211 Wells Fargo & Co. 502,200 28,791,126 Wendy's International, Inc. 33,900 1,316,337 Weyerhaeuser Co. 65,500 3,733,500 # Whirlpool Corp. 20,600 1,407,392 Williams Companies, Inc. 154,900 1,452,962 Winn-Dixie Stores, Inc. 42,200 381,066 Worthington Industries, Inc. 25,700 368,024 # Wrigley (Wm.) Jr. Co. 67,300 3,709,576 Wyeth 398,100 15,685,140 XCEL Energy, Inc. 119,100 1,988,970 * Xerox Corp. 236,400 2,879,352 * Xilinx, Inc. 101,900 3,830,421 # XL Capital, Ltd. 40,800 3,068,160 *# Yahoo!, Inc. 194,200 $ 8,346,716 * Yum! Brands, Inc. 87,800 3,028,222 * Zimmer Holdings, Inc. 67,800 4,469,376 Zions Bancorp 26,900 1,658,923 --------------- TOTAL COMMON STOCKS (Cost $2,433,299,579) 2,926,111,543 ---------------
FACE AMOUNT --------- (000) TEMPORARY CASH INVESTMENTS -- (16.3%) Repurchase Agreement, PNC Capital Markets Inc. 0.82% 12/01/03 (collateralized by $65,802,000 FMC Discount Notes 1.11%, 03/25/04, valued at $65,555,243) to be repurchased at $64,590,413 (Cost $64,586,000) $ 64,586 64,586,000 Repurchase agreements in a Pooled Cash Account, UBS Warburg and Deutsche Bank Securities Inc., 1.01% and 1.02% respectively, 12/01/03 (Collateralized by $407,137,000 U.S. Treasury Obligations, rates ranging from 5.50% to 8.875%, maturities ranging from 08/15/04 to 05/15/30, valued at $503,698,795) to be repurchased at $490,835,464 (Cost $490,793,933)^ 490,794 490,793,933 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $555,379,933) 555,379,933 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,988,679,512)++ $ 3,481,491,476 ===============
---------- + See Note B to Financial Statements. * Non-Income Producing Securities # Total or Partial Securities on Loan ^ Security purchased with cash proceeds from securities on loan ++ The cost for federal income tax purposes is $3,129,062,752. See accompanying Notes to Financial Statements. 128 THE ENHANCED U.S. LARGE COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
FACE AMOUNT@ VALUE+ --------- ------ (000) UNITED STATES -- (99.8%) BONDS -- (49.4%) African Development Bank 3.250%, 07/29/05 $ 3,800 $ 3,878,557 Asian Development Bank 7.500%, 05/31/05 2,600 2,801,599 BP Capital Markets P.L.C. 4.000%, 04/29/05 1,000 1,031,207 Bank Austria Creditanstalt AG 7.375%, 02/11/05 2,700 2,875,500 Bank Nederlandse Gemeenten Medium Term Notes 7.875%, 03/07/05 2,000 2,150,000 7.000%, 06/08/05 1,000 1,073,500 British Columbia (Province of) 7.250%, 02/08/05 2,800 2,979,200 CDC IXIS 4.000%, 03/07/05 2,500 2,566,500 Caisse Francaise de Developpement 5.875%, 05/06/05 2,000 2,109,600 Citigroup, Inc. 4.125%, 06/30/05 3,600 3,714,858 Council of Europe Social Development Fund 4.875%, 10/27/05 3,500 3,690,750 Deutsche Postbank 5.750%, 02/04/05 2,000 2,092,200 European Investment Bank 7.250%, 06/15/05 3,528 3,809,182 General Electric Capital Corp. 2.240%, 08/19/05 3,500 3,502,205 Gillette Co. 4.000%, 06/30/05 1,000 1,032,480 International Finance Corp. 7.125%, 04/06/05 2,800 2,994,474 KFW International Finance, Inc. 2.500%, 10/17/05 3,000 3,023,934 Province of Ontario 7.000%, 08/04/05 3,700 3,993,332 Rabobank 7.375%, 03/23/05 3,000 3,213,000 Swiss Bank Corp. New York 6.750%, 07/15/05 3,700 3,978,862 Toyota Motor Credit Corp. 2.070%, 10/31/05 3,500 3,499,727 Wells Fargo & Co. Corporate Bonds 7.250%, 08/24/05 3,800 4,126,530 Westdeutsche Landesbank 6.750%, 06/15/05 1,000 1,068,615 World Bank (International Bank for Reconstruction & Development) Corporate Bonds 5.000%, 11/04/05 3,500 3,683,750 --------------- TOTAL BONDS (Cost $69,088,276) 68,889,562 --------------- COMMERCIAL PAPER -- (36.7%) Barton Capital Corp. 1.030%, 12/01/03 1,500 1,500,000 1.040%, 12/02/03 2,000 1,999,942 1.050%, 12/11/03 500 499,851 CC (USA), Inc. 1.080%, 01/22/04 $ 4,000 $ 3,993,558 Canadian Wheat Board 0.990%, 12/03/03 3,900 3,899,775 Compass Securitization LLC 1.040%, 12/05/03 3,900 3,899,536 DuPont (E.I.) de Nemours & Co., Inc. 1.020%, 12/17/03 1,700 1,699,213 1.060%, 01/16/04 2,000 1,997,217 Eksportfinans ASA 1.020%, 12/01/03 500 500,000 0.990%, 12/05/03 1,300 1,299,850 Govco, Inc. 1.040%, 12/12/03 3,900 3,898,725 KFW International Finance, Inc. 1.030%, 12/01/03 600 600,000 Kittyhawk Funding Corp. 1.030%, 12/05/03 3,500 3,499,580 Koch Industries, Inc. 1.020%, 12/01/03 1,500 1,500,000 Nestle Capital Corp. 0.970%, 12/09/03 2,300 2,299,468 Paccar Financial Corp. 1.020%, 12/01/03 3,800 3,800,000 Sheffield Receivables Corp. 1.050%, 12/03/03 1,200 1,199,928 1.050%, 12/05/03 1,000 999,880 1.050%, 12/12/03 1,500 1,499,505 Shell Finance UK 1.000%, 12/12/03 3,400 3,398,919 1.050%, 01/16/04 500 499,304 USAA Capital Corp. 1.000%, 12/01/03 1,700 1,700,000 Wal-Mart Stores, Inc. 1.000%, 12/08/03 3,300 3,299,332 Windmill Funding Corp. 1.040%, 12/22/03 1,600 1,598,990 --------------- TOTAL COMMERCIAL PAPER (Cost $51,083,132) 51,082,573 --------------- AGENCY OBLIGATIONS -- (13.7%) Federal Farm Credit Bank 2.125%, 08/15/05 3,000 3,002,655 Federal Home Loan Bank 4.125%, 05/13/05 3,000 3,096,519 2.500%, 11/15/05 1,200 1,205,183 Federal National Mortgage Association **1.040%, 01/06/04 7,500 7,492,200 Tennessee Valley Authority 6.375%, 06/15/05 4,000 4,264,308 --------------- TOTAL AGENCY OBLIGATIONS (Cost $19,111,454) 19,060,865 --------------- TOTAL -- UNITED STATES (Cost $139,282,862) 139,033,000 ---------------
129
FACE AMOUNT@ VALUE+ --------- ------ (000) EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Euro Currency (Cost $444) $ 574 --------------- TEMPORARY CASH INVESTMENTS -- (0.2%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $323,000 FMC Discount Notes 1.11%, 03/25/04, valued at $321,789) to be repurchased at $317,022 (Cost $317,000) 317 317,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $139,600,306)++ $ 139,350,574 ===============
---------- + See Note B to Financial Statements. @ Denominated in local currency or the Euro * Non-Income Producing Securities ** Face amount of securities pledged as margin requirement for open futures contracts ++ The cost for federal income tax purposes is $139,600,306. See accompanying Notes to Financial Statements. 130 THE U.S. LARGE CAP VALUE SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ COMMON STOCKS -- (82.2%) * 3COM Corp. 606,100 $ 4,533,628 A. G. Edwards, Inc. 17,500 642,950 * Advanced Micro Devices, Inc. 504,800 9,076,304 Aetna, Inc. 539,626 34,741,122 *# Agere Systems, Inc. Class A 8,652 30,628 * Agere Systems, Inc. Class B 212,364 717,790 * Agilent Technologies, Inc. 50,600 1,430,968 Albertson's, Inc. 486,800 10,359,104 * Allegheny Corp. 17,583 3,622,098 Alliant Energy Corp. 212,900 5,205,405 * Allied Waste Industries, Inc. 205,800 2,562,210 Allstate Corp. 1,179,300 47,620,134 Ambac Financial Group, Inc. 23,200 1,595,000 # Amerada Hess Corp. 158,200 7,493,934 American Financial Group, Inc. 177,400 4,349,848 American National Insurance Co. 46,700 3,919,531 *# American Tower Corp. 119,400 1,358,772 *# Americredit Corp. 224,000 3,012,800 Anadarko Petroleum Corp. 441,600 19,841,088 Apache Corp. 64,995 4,666,641 * Apple Computer, Inc. 197,300 4,127,516 * Applied Micro Circuits Corp. 213,200 1,377,272 Archer-Daniels Midland Co. 2,375,260 33,942,465 *# Arrow Electronics, Inc. 308,200 7,205,716 Ashland, Inc. 297,600 11,826,624 # Astoria Financial Corp. 40,500 1,513,890 AT&T Corp. 1,246,380 24,715,715 * AT&T Wireless Services, Inc. 5,137,837 38,533,777 * AutoNation, Inc. 2,057,600 36,172,608 * Avnet, Inc. 187,800 4,005,774 AVX Corp. 125,400 1,893,540 Bank of Hawaii Corp. 337,800 13,968,030 *# Barnes & Noble, Inc. 13,000 431,340 Bausch & Lomb, Inc. 11,800 592,714 Bear Stearns Companies, Inc. 373,770 27,083,374 Belo Corp. Class A 324,200 9,210,522 * Big Lots, Inc. 253,500 3,716,310 # Blockbuster, Inc. Class A 23,300 397,964 Boise Cascade Corp. 213,400 6,297,434 * Borders Group, Inc. 34,000 764,320 Borg-Warner, Inc. 100,800 7,963,200 # Bowater, Inc. 168,400 6,887,560 Brunswick Corp. 297,600 8,942,880 Burlington Northern Santa Fe Corp. 1,283,000 38,194,910 * Cavco Industries, Inc. 11,450 269,075 * Cendant Corp. 311,800 6,909,488 * CheckFree Corp. 56,200 1,552,244 Chubb Corp. 108,900 7,127,505 * CIENA Corp. 164,600 1,165,368 # Cincinnati Financial Corp. 551,580 22,355,537 Circuit City Stores, Inc. 332,000 4,322,640 Clear Channel Communications, Inc. 710,900 29,722,729 * CNA Financial Corp. 635,600 14,866,684 # Coca-Cola Enterprises, Inc. 1,785,400 36,868,510 * Comcast Corp. Class A 1,585,448 49,751,358 *# Comcast Corp. Special Class A Non-Voting 927,100 27,952,065 Commerce Group, Inc. 93,100 $ 3,724,931 Commercial Federal Corp. 98,900 2,670,300 * Compuware Corp. 35,800 204,776 *# Comverse Technology, Inc. 111,500 2,144,145 ConocoPhilips 220,400 12,505,496 *# Corning, Inc. 998,300 11,440,518 Countrywide Financial Corp. 410,000 43,296,000 *# Cox Communications, Inc. 1,000,000 33,900,000 *# Crown Castle International Corp. 352,900 4,379,489 CSX Corp. 577,800 19,581,642 # Cummins, Inc. 143,100 6,646,995 Curtiss-Wright Corp-Cl B W/I 13,565 1,105,548 # Dana Corp. 510,700 8,258,019 # Delta Air Lines, Inc. 402,500 5,047,350 # Diamond Offshore Drilling, Inc. 237,900 4,175,145 # Dillards, Inc. Class A 48,900 823,965 Disney (Walt) Co. 906,600 20,933,394 Eastman Chemical Co. 108,200 3,859,494 # Electronic Data Systems Corp. 570,200 12,327,724 * Fairchild Semiconductor Corp. Class A 86,300 2,243,800 Federated Department Stores, Inc. 618,200 30,347,438 First American Financial Corp. 106,500 3,152,400 First Citizens Bancshares, Inc. 10,300 1,137,017 FleetBoston Financial Corp. 331,300 13,450,780 Florida East Coast Industries, Inc. 68,139 2,078,240 # Foot Locker, Inc. 175,000 3,867,500 # Ford Motor Co. 2,964,200 39,127,440 # General Motors Corp. 1,112,300 47,584,194 * General Motors Corp. Class H 826,438 13,718,871 # Georgia-Pacific Corp. 462,300 12,616,167 *# Goodyear Tire & Rubber Co. 203,900 1,376,325 Harris Corp. 151,400 5,869,778 Hartford Financial Services Group, Inc. 400,800 22,044,000 * Hearst-Argyle Television, Inc. 238,600 5,857,630 Helmerich & Payne, Inc. 146,800 3,537,880 Hibernia Corp. 274,500 6,272,325 # Hollinger International, Inc. Class A 268,700 4,275,017 # Horton (D.R.), Inc. 589,215 25,748,696 *# Human Genome Sciences, Inc. 23,900 305,920 * Humana, Inc. 618,900 13,820,037 Ikon Office Solutions, Inc. 7,300 61,831 Independence Community Bank Corp. 12,500 462,250 * Ingram Micro, Inc. 269,200 3,924,936 * Instinet Group, Inc. 15,200 81,472 * InterActiveCorp 394,400 12,956,040 # International Paper Co. 1,215,775 45,238,988 *# Invitrogen Corp. 50,100 3,415,317 *# JDS Uniphase Corp. 1,095,700 3,769,208 John Hancock Financial Services, Inc. 358,800 13,185,900 JP Morgan Chase & Co. 2,244,400 79,361,984 Kerr-McGee Corp. 138,200 5,803,018 KeyCorp 941,600 26,167,064 Labranche & Co., Inc. 19,700 162,919 LaFarge North America, Inc. 257,500 9,810,750
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SHARES VALUE+ ------ ------ * Lear Corp. 110,900 $ 6,558,626 * Level 3 Communications, Inc. 195,500 1,071,340 * Liberty Media Corp. 4,139,400 45,740,370 Lincoln National Corp. 334,400 13,111,824 Loews Corp. 636,800 27,146,784 * LSI Logic Corp. 425,400 3,985,998 Lubrizol Corp. 182,000 5,483,660 *# Lucent Technologies, Inc. 1,193,800 3,820,160 # Lyondell Chemical Co. 447,200 6,636,448 Mandalay Resort Group 234,400 10,067,480 Marathon Oil Corp. 911,450 26,988,035 # May Department Stores Co. 63,100 1,870,915 MBIA, Inc. 248,850 14,463,162 MeadWestavco Corp. 758,431 19,355,159 MetLife, Inc. 1,376,400 44,994,516 *# Metro-Goldwyn-Mayer, Inc. 261,100 4,308,150 # MGIC Investment Corp. 116,900 6,189,855 *# MGM Grand, Inc. 238,300 8,931,484 *# Micron Technology, Inc. 597,900 7,778,679 *# Mony Group, Inc. 51,200 1,613,824 Nationwide Financial Services, Inc. 81,500 2,660,160 * NCR Corp. 12,300 429,270 Norfolk Southern Corp. 1,537,600 32,920,016 # Northrop Grumman Corp. 320,271 29,666,703 * Novell, Inc. 74,600 708,700 Nucor Corp. 15,000 841,650 Occidental Petroleum Corp. 650,800 23,871,344 # Odyssey Re Holdings Corp. 22,300 510,447 Old Republic International Corp. 334,275 12,388,232 Omnicare, Inc. 30,900 1,233,528 * Owens-Illinois, Inc. 264,400 2,982,432 * Pacificare Health Systems, Inc. 25,000 1,627,750 * Pactiv Corp. 342,600 7,687,944 * PanAmSat Corp. 250,100 5,524,709 *# Park Place Entertainment Corp. 802,900 8,398,334 Peabody Energy Corp. 54,600 1,840,020 # Penney (J.C.) Co., Inc. 1,120,000 27,865,600 PepsiAmericas, Inc. 192,000 3,012,480 * Phelps Dodge Corp. 287,085 18,281,573 # PMI Group, Inc. 121,700 4,530,891 * Pride International, Inc. 253,400 4,041,730 Principal Financial Group, Inc. 424,200 14,045,262 Protective Life Corp. 91,500 3,005,775 * Providian Financial Corp. 368,300 4,161,790 Pulte Homes Inc. 124,200 11,866,068 Questar Corp. 251,000 8,564,120 * Qwest Communications International, Inc. 2,000,600 7,322,196 Radian Group, Inc. 155,200 7,659,120 * Radio One, Inc. 5,000 87,800 Rayonier, Inc. 147,781 5,479,738 Raytheon Co. 1,084,000 30,037,640 Reinsurance Group of America, Inc. 64,100 2,381,315 *# Rite Aid Corp. 969,800 5,964,270 # RJ Reynolds Tobacco Holdings, Inc. 251,326 13,873,195 Ryder System, Inc. 275,400 8,589,726 Safeco Corp. 486,400 18,205,952 Saint Paul Companies, Inc. 695,326 25,796,595 * Saks, Inc. 743,200 11,430,416 * Sanmina Corp. 639,900 7,800,381 # Sears, Roebuck & Co. 387,700 21,385,532 * Smithfield Foods, Inc. 68,400 $ 1,603,980 * Smurfit-Stone Container Corp. 469,026 7,673,265 * Solectron Corp. 1,155,300 6,758,505 Sovereign Bancorp, Inc. 781,020 17,697,913 # Sprint Corp. 1,610,400 24,139,896 StanCorp Financial Group, Inc. 20,000 1,251,200 # Starwood Hotels and Resorts Worldwide, Inc. 573,500 19,768,545 Steelcase, Inc. Class A 47,400 587,760 * Sun Microsystems, Inc. 2,143,700 9,153,599 # Sunoco, Inc. 298,800 14,345,388 # Supervalu, Inc. 565,200 14,593,464 * Tech Data Corp. 69,000 2,541,960 Telephone & Data Systems, Inc. 71,700 4,495,590 * Tellabs, Inc. 665,800 5,326,400 # Temple-Inland, Inc. 131,300 7,422,389 * Tenet Healthcare Corp. 466,400 6,814,104 # Textron, Inc. 123,000 6,130,320 # Thomas & Betts Corp. 46,900 975,520 Tidewater, Inc. 100,900 2,785,849 * Time Warner, Inc. 5,860,700 95,412,196 Torchmark Corp. 33,300 1,468,530 * Toys R Us, Inc. 819,300 9,618,582 * Triad Hospitals, Inc. 100,300 3,470,380 Tyson Foods, Inc. Class A 912,556 12,456,389 # Union Pacific Corp. 824,200 52,485,056 Unionbancal Corp. 86,600 4,932,736 * Unisys Corp. 124,900 2,038,368 * United States Cellular Corp. 72,800 2,518,880 # United States Steel Corp. 326,200 8,106,070 Unitrin, Inc. 223,800 8,466,354 UnumProvident Corp. 838,989 12,526,106 Valero Energy Corp. 158,000 6,809,800 Valhi, Inc. 158,500 2,190,470 * VeriSign, Inc. 166,300 2,695,723 Viacom, Inc. Class B 2,189,200 86,079,344 *# Vishay Intertechnology, Inc. 265,716 5,582,693 * Vitesse Semiconductor, Inc. 2,800 20,440 * WebMD Corp. 25,800 236,070 Weis Markets, Inc. 20,800 738,400 Wesco Financial Corp. 13,540 4,726,137 * Westport Resources Corp. 30,800 834,680 # Weyerhaeuser Co. 407,500 23,227,500 Worthington Industries, Inc. 133,200 1,907,424 * Xerox Corp. 75,000 913,500 --------------- TOTAL COMMON STOCKS (Cost $2,138,684,770) 2,481,591,024 ---------------
FACE AMOUNT --------- (000) TEMPORARY CASH INVESTMENTS -- (17.8%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $30,415,000 FMC Discount Notes 1.11%, 03/25/04, valued at $30,300,944) to be repurchased at $29,855,040 $ 29,853 29,853,000
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FACE AMOUNT VALUE+ --------- ------ (000) Repurchase agreements in a Pooled Cash Account, UBS Warburg and Deutsche Bank Securities Inc., 1.01% and 1.02% respectively, 12/01/03 (Collateralized by $407,522,000 U.S. Treasury Obligations, rates ranging from 5.50% to 8.875%, maturities ranging from 08/15/04 to 05/15/30, valued at $504,174,949) to be repurchased at $491,299,458 (Cost $491,257,888)^ $ 491,258 $ 491,257,888 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $521,110,888) 521,110,888 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,659,795,658) ++ $ 3,002,701,912 ===============
---------- + See Note B to Financial Statements. * Non-Income Producing Securities # Total or Partial Securities on Loan ^ Security purchased with cash proceeds from securities on loan ++ The cost for federal income tax purposes is $2,659,939,034 See accompanying Notes to Financial Statements. 133 THE U.S. SMALL XM VALUE SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ COMMON STOCKS -- (84.0%) 1st Source Corp. 11,100 $ 249,195 * 24/7 Real Media, Inc. 1,900 2,869 * 3COM Corp. 141,400 1,057,672 * AAR Corp. 12,500 130,750 * Abgenix, Inc. 17,521 197,462 *# ABX Air, Inc. 52,900 208,955 Acuity Brands, Inc. 7,000 166,950 * Adaptec, Inc. 64,899 571,760 * Advanced Digital Information Corp. 3,300 50,061 Advanta Corp. Class A 4,087 51,292 Advanta Corp. Class B Non-Voting 6,727 86,375 * Advent Software, Inc. 16,272 284,923 * Agile Software Corp. 13,400 147,266 Agilysys, Inc. 12,600 141,876 * AK Steel Holding Corp. 42,338 127,014 *# Alaska Air Group, Inc. 17,000 488,920 Alexander & Baldwin, Inc. 24,900 783,354 * Alexion Pharmaceuticals, Inc. 4,800 90,000 * Allegheny Corp. 2,993 616,558 Allegheny Technologies, Inc. 47,700 391,140 * Alliance Semiconductor Corp. 13,700 113,162 Alliant Energy Corp. 42,200 1,031,790 * Allied Waste Industries, Inc. 56,120 698,694 * Allmerica Financial Corp. 31,800 869,730 * Alloy, Inc. 16,100 86,618 Alpharma, Inc. Class A 24,000 483,600 * AMC Entertainment, Inc. 15,300 231,795 *# Amerco, Inc. 18,100 493,768 *# America West Holdings Corp. Class B 7,400 111,740 American Financial Group, Inc. 41,800 1,024,936 *# American Greetings Corp. Class A 38,500 813,120 * American Management Systems, Inc. 25,395 378,639 American National Insurance Co. 10,400 872,872 *# American Tower Corp. 65,300 743,114 * Americredit Corp. 99,500 1,338,275 # AmerUs Group Co. 24,900 895,155 *# Ames Department Stores, Inc. 20,200 30 * Anadigics, Inc. 6,800 45,560 Analogic Corp. 1,100 46,200 *# Andrew Corp. 29,807 350,828 Applica, Inc. 9,200 67,160 Applied Industrial Technologies, Inc. 12,300 291,510 * Applied Micro Circuits Corp. 167,053 1,079,162 Arch Chemicals, Inc. 14,450 330,760 * Arena Pharmaceuticals, Inc. 4,800 33,072 * Argonaut Group, Inc. 8,500 136,000 * Ariba, Inc. 72,700 229,732 * Armor Holdings, Inc. 13,000 315,250 *# Armstrong Holdings, Inc. 26,300 22,881 * Arris Group, Inc. 36,821 237,495 * Arrow Electronics, Inc. 60,454 1,413,415 * Ascential Software Corp. 22,559 570,743 Ashland, Inc. 26,700 1,061,058 *# ATA Holdings Corp. 4,600 41,860 *# Atlas Air Worldwide Holdings, Inc. 41,800 27,588 * Atmel Corp. 57,400 386,302 * Atwood Oceanics, Inc. 5,500 $ 141,295 * Audiovox Corp. Class A 8,100 112,347 * Avnet, Inc. 59,800 1,275,534 AVX Corp. 67,800 1,023,780 * Axcelis Technologies, Inc. 29,364 336,805 * Aztar Corp. 19,100 424,975 Baldwin & Lyons, Inc. Class B 4,725 118,030 * Bally Total Fitness Holding Corp. 13,300 93,100 Bandag, Inc. Class A 3,800 146,680 * BankUnited Financial Corp. Class A 13,700 348,665 Banner Corp. 4,497 113,100 *# Barnes & Noble, Inc. 33,300 1,104,894 Bassett Furniture Industries, Inc. 4,600 75,440 Bausch & Lomb, Inc. 7,300 366,679 * Bay View Capital Corp. 34,600 210,022 * Beazer Homes USA, Inc. 5,200 554,892 Belden, Inc. 14,300 281,710 * Beverly Enterprises 31,500 246,645 Bob Evans Farms, Inc. 13,800 425,868 * Boca Resorts, Inc. 20,500 292,740 Boise Cascade Corp. 37,900 1,118,429 *# Bombay Co., Inc. 5,100 52,173 * Borders Group, Inc. 38,700 869,976 # Bowater, Inc. 21,600 883,440 Bowne & Co., Inc. 21,530 317,352 * Brush Engineered Materials, Inc. 6,500 87,620 * Buckeye Technology, Inc. 14,500 148,045 Burlington Coat Factory Warehouse Corp. 23,600 497,960 Butler Manufacturing Co. 1,600 33,136 * Cable Design Techologies Corp. 26,700 271,272 Calgon Carbon Corp. 15,300 94,095 * Caraustar Industries, Inc. 10,900 126,985 Carpenter Technology Corp. 14,400 385,920 * Casella Waste Systems, Inc. Class A 1,100 14,740 Casey's General Stores, Inc. 27,835 486,277 * Castle (A.M.) & Co. 6,200 28,520 CDI Corp. 900 30,510 Centex Construction Products, Inc. 9,193 538,710 * Central Garden & Pet Co. 11,090 293,996 Central Parking Corp. 22,900 319,455 * Century Aluminum Co. 8,300 137,780 * Century Business Services, Inc. 54,600 253,890 * Champion Enterprises, Inc. 12,800 92,416 * Charming Shoppes, Inc. 71,814 447,401 *# Charter Communications, Inc. 50,200 201,804 Chesapeake Corp. 8,100 186,300 # Chesapeake Energy Corp. 10,700 130,540 * Ciber, Inc. 32,600 296,986 * CIENA Corp. 33,300 235,764 * Cincinnati Bell, Inc. 85,400 487,634 CIRCOR International, Inc. 5,950 130,900 Circuit City Stores, Inc. 125,300 1,631,406 * Cirrus Logic, Inc. 23,700 203,820 * CKE Restaurants, Inc. 13,200 92,400 *# CMS Energy Corp. 72,075 568,672 * CNA Surety Corp. 19,800 191,664 *# CNET Networks, Inc. 28,272 211,192
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SHARES VALUE+ ------ ------ Coachmen Industries, Inc. 6,100 $ 105,225 * Coherent, Inc. 18,636 446,146 * Collins & Aikman Corp. 32,700 116,739 * Columbus McKinnon Corp. 5,900 36,462 * Comfort Systems USA, Inc. 14,800 71,188 Commerce Group, Inc. 18,600 744,186 Commercial Federal Corp. 27,000 729,000 Commercial Metals Co. 17,800 458,172 Commonwealth Industries, Inc. 6,300 46,179 * Commscope, Inc. 25,800 411,768 Community Trust Bancorp, Inc. 5,340 175,062 * Compucom Systems, Inc. 19,300 87,815 * CompuCredit Corp. 15,100 357,568 * Compuware Corp. 153,190 876,247 * Conmed Corp. 16,200 344,412 *# Consolidated Freightways Corp. 400 2 * Consolidated Graphics, Inc. 5,800 174,290 * Continental Airlines, Inc. 39,400 734,810 Cooper Tire & Rubber Co. 46,900 938,469 *# Corixa Corp. 6,100 34,709 Corn Products International, Inc. 21,240 736,178 * Corrections Corporation of America 1,800 50,400 Corus Bankshares, Inc. 5,500 342,650 *# Covanta Energy Corp. 47,114 330 * Covenant Transport, Inc. Class A 4,900 92,316 *# Credence Systems Corp. 26,685 345,838 * Credit Acceptance Corp. 25,400 381,000 Crompton Corp. 22,300 134,915 * Cross Country Healthcare, Inc. 20,561 306,359 *# Crown Castle International Corp. 79,700 989,077 * Crown Holdings, Inc. 29,500 221,250 * Crown Media Holdings, Inc. 25,417 223,924 CSS Industries, Inc. 4,600 136,666 CTS Corp. 15,000 183,900 * Cumulus Media, Inc. Class A 23,000 439,300 * CuraGen Corp. 3,266 20,576 Curtiss-Wright Corp. 2,400 196,584 Curtiss-Wright Corp-Cl B W/I 1,584 129,096 Dana Corp. 58,050 938,668 Delphi Financial Group, Inc. Class A 8,145 432,499 * Denbury Resources, Inc. 28,700 362,768 # Dillards, Inc. Class A 48,214 812,406 Dimon, Inc. 17,500 118,125 * Dollar Thrifty Automotive Group, Inc. 15,800 398,950 * DoubleClick, Inc. 10,400 99,320 Downey Financial Corp. 16,200 782,460 * Duane Reade, Inc. 11,600 161,008 * DuPont Photomasks, Inc. 11,479 266,542 * Dura Automotive Systems, Inc. 6,150 63,406 * DVI, Inc. 16,600 1,162 *# Dynegy, Inc. 129,400 517,600 * E.piphany, Inc. 42,632 336,793 *# EarthLink, Inc. 41,000 393,600 * Edgewater Technology, Inc. 4,472 22,181 * eFunds Corp. 23,393 405,869 * Electro Rent Corp. 9,700 134,830 * Electroglas, Inc. 7,500 29,625 *# Emmis Communications Corp. Class A 17,900 405,614 * Entravision Communications Corp. 47,300 429,484 * Esterline Technologies Corp. 13,400 $ 310,612 * Ethyl Corp. 6,560 133,824 * Exar Corp. 23,502 455,704 Extended Stay America, Inc. 60,400 893,920 * Extreme Networks, Inc. 12,800 125,568 * Fairchild Corp. Class A 8,736 44,554 FBL Financial Group, Inc. Class A 10,200 266,730 *# Federal-Mogul Corp. 98,700 28,623 First American Financial Corp. 38,800 1,148,480 First Citizens Bancshares, Inc. 3,500 386,365 * First Horizon Pharmaceutical Corp. 21,900 249,660 First Republic Bank 8,050 299,862 * Fleetwood Enterprises, Inc. 9,000 91,530 Flowers Foods, Inc. 13,925 363,442 * Flowserve Corp. 33,100 704,368 * Forest Oil Corp. 33,900 849,195 * Franklin Covey Co. 6,500 9,945 Fremont General Corp. 2,400 41,952 * Friede Goldman Halter, Inc. 1,000 1 * FSI International, Inc. 2,100 13,818 * FuelCell Energy, Inc. 7,700 103,642 * Gateway, Inc. 85,700 382,222 GATX Corp. 31,200 758,160 * Gaylord Entertainment Co. 18,550 558,169 Gencorp, Inc. 28,000 280,280 * General Cable Corp. 1,900 16,017 * General Communications, Inc. Class A 9,300 81,375 * Genesee & Wyoming, Inc. 3,300 83,358 * Genesis Microchip, Inc. 12,200 225,090 * Genlyte Group, Inc. 5,257 277,885 * Gerber Scientific, Inc. 8,700 72,297 Gibraltar Steel Corp. 6,300 153,594 Glatfelter (P.H.) Co. 27,800 333,044 * Glenayre Technologies, Inc. 25,600 76,544 * GlobespanVirata, Inc. 27,455 168,574 *# Goodyear Tire & Rubber Co. 105,200 710,100 Goody's Family Clothing, Inc. 12,700 134,874 * Graphic Packaging Corp. 13,200 46,728 Gray Television, Inc. 27,600 357,696 * Great American Financial Resources, Inc. 16,600 251,490 * Great Atlantic & Pacific Tea Co., Inc. 19,250 146,300 * Group 1 Automotive, Inc. 4,500 156,150 * Guilford Mills, Inc. 1,111 13,332 * Ha-Lo Industries, Inc. 27,300 30 * Hain Celestial Group, Inc. 20,600 475,242 Handleman Co. 15,900 279,840 * Hanger Orthopedic Group, Inc. 6,900 116,610 * Hanover Compressor Co. 51,800 493,136 Harleysville Group, Inc. 19,100 374,360 * Hearst-Argyle Television, Inc. 20,000 491,000 Helmerich & Payne, Inc. 30,100 725,410 * Hexcel Corp. 15,100 104,794 # Hollinger International, Inc. Class A 4,200 66,822 Holly Corp. 1,100 29,216 * HomeStore, Inc. 6,300 22,113 Horace Mann Educators Corp. 27,000 364,770 * Houston Exploration Co. 14,100 480,951 * Hudson Highland Group, Inc. 3,352 67,643
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SHARES VALUE+ ------ ------ Hudson River Bancorp, Inc. 100 $ 3,476 # Hughes Supply, Inc. 14,100 644,370 * Human Genome Sciences, Inc. 30,761 393,741 * Hypercom Corp. 18,900 96,201 * Identix, Inc. 41,088 212,836 * IDT Corp. 13,600 255,680 Ikon Office Solutions, Inc. 87,800 743,666 # IMC Global, Inc. 72,900 529,983 * IMCO Recycling, Inc. 6,000 45,300 * Incyte Genomics, Inc. 28,000 169,400 # IndyMac Bancorp, Inc. 27,800 822,880 * InFocus Corp. 15,400 121,968 * Infonet Services Corp. 123,900 235,410 * Information Holdings, Inc. 10,000 222,500 * Information Resources, Inc. 3,300 16,170 * InfoSpace, Inc. 15,076 395,745 Ingles Market, Inc. Class A 4,000 40,400 * Ingram Micro, Inc. 78,600 1,145,988 * Input/Output, Inc. 20,000 78,200 * Insight Communications Co., Inc. 31,800 309,732 * Insight Enterprises, Inc. 13,373 250,075 * Instinet Group, Inc. 129,161 692,303 * Integrated Device Technology, Inc. 30,398 573,002 * Integrated Electrical Services, Inc. 15,200 119,168 * InterCept Group, Inc. 7,900 83,503 * Interface, Inc. Class A 18,200 103,558 * Interland, Inc. 180 1,233 Intermet Corp. 10,000 48,700 Interpool, Inc. 10,750 163,400 * Interwoven, Inc. 7,250 108,605 Iomega Corp. 25,700 141,093 * Ionics, Inc. 11,500 369,725 * ITXC Corp. 16,800 66,360 * Jacuzzi Brands, Inc. 18,700 120,615 * Jakks Pacific, Inc. 9,599 130,450 * JDA Software Group, Inc. 8,652 157,639 JLG Industries, Inc. 11,700 175,968 * Jones Lang LaSalle, Inc. 11,000 230,450 * K2, Inc. 18,000 275,400 Kaman Corp. Class A 9,000 115,830 *# Kansas City Southern Industries, Inc. 39,200 521,360 *# Keane, Inc. 13,800 194,580 Kellwood Co. 13,100 500,944 Kelly Services, Inc. 14,100 401,568 * Kemet Corp. 55,000 726,000 * Kforce, Inc. 7,839 66,240 Kimball International, Inc. Class B 15,339 227,324 * Kindred Healthcare, Inc. 10,700 552,013 * Kirby Corp. 12,100 363,000 * Knight Trading Group, Inc. 7,531 108,672 * Kulicke & Soffa Industries, Inc. 300 4,944 Labranche & Co., Inc. 27,400 226,598 LaFarge North America, Inc. 26,900 1,024,890 * Lakes Entertainment, Inc. 4,150 59,756 Landamerica Financial Group, Inc. 11,200 575,680 Landry's Restaurants, Inc. 17,500 429,100 *# Lattice Semiconductor Corp. 60,900 576,723 Lawson Products, Inc. 3,800 128,934 * Lawson Software, Inc. 19,700 166,268 Liberty Corp. 9,600 426,720 Lithia Motors, Inc. Class A 9,200 $ 228,344 # LNR Property Corp. 12,900 570,825 Lone Star Steakhouse & Saloon, Inc. 13,172 303,878 # Longs Drug Stores Corp. 22,500 551,250 Longview Fibre Co. 29,300 321,421 * Louisiana-Pacific Corp. 60,300 1,090,827 * LTX Corp. 7,000 116,760 * Luby's, Inc. 10,400 39,104 Lyondell Chemical Co. 64,420 955,993 * M & F Worldwide Corp. 7,100 98,335 * Magnetek, Inc. 9,200 59,340 * Magnum Hunter Resources, Inc. 34,900 313,751 * Mail-Well, Inc. 13,200 49,896 * Manugistic Group, Inc. 14,700 97,902 Massey Energy Co. 45,200 628,280 * Mastec, Inc. 12,500 166,000 * Maxxam, Inc. 2,600 41,600 * Maxygen, Inc. 3,900 42,315 * Medarex, Inc. 38,700 263,160 Media General, Inc. Class A 14,100 943,149 * Medquist, Inc. 12,000 184,680 * MEMC Electronic Materials, Inc. 35,300 383,358 *# Mens Warehouse, Inc. 10,900 334,957 # Metris Companies, Inc. 22,600 100,796 * Metromedia International Group, Inc. 44,700 6,817 Midland Co. 6,900 146,142 Milacron, Inc. 13,200 30,624 Millennium Chemicals, Inc. 16,600 179,612 * MIPS Technologies, Inc. 1,959 10,677 * MKS Instruments, Inc. 4,246 117,657 Modine Manufacturing Co. 21,724 554,179 * Mondavi (Robert) Corp. Class A 5,700 199,500 *# Mony Group, Inc. 23,500 740,720 * Moog, Inc. Class A 1,500 65,250 Movado Group, Inc. 3,400 92,446 * MPS Group, Inc. 65,300 600,760 * MRV Communications, Inc. 40,700 163,207 * MSC Software Corp. 5,000 49,250 MTS Systems Corp. 3,500 64,995 * Mueller Industries, Inc. 18,500 597,920 Myers Industries, Inc. 5,100 63,903 Nacco Industries, Inc. Class A 4,100 319,800 National Presto Industries, Inc. 2,700 96,120 * NCI Building Systems, Inc. 12,000 279,480 * NCO Group, Inc. 15,495 357,934 *# Neoforma, Inc. 5,400 86,184 NetBank, Inc. 18,773 245,926 * NetIQ Corp. 36,258 434,733 * NetRatings, Inc. 13,190 133,483 * Network Equipment Technologies, Inc. 6,100 63,440 * Newport Corp. 24,688 420,437 *# Northwest Airlines Corp. 33,500 442,535 * Novell, Inc. 17,671 167,875 * NS Group, Inc. 8,100 60,507 * Nuevo Energy Co. 200 3,948 * Ocular Sciences, Inc. 3,000 85,890 * Ocwen Financial Corp. 26,300 182,785 # Odyssey Re Holdings Corp. 47,000 1,075,830 *# Officemax, Inc. 48,600 477,738
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SHARES VALUE+ ------ ------ * Offshore Logistics, Inc. 14,300 $ 361,075 *# Ohio Casualty Corp. 35,700 607,257 * Oil States International, Inc. 24,800 311,488 * On Command Corp. 6,100 11,316 * Oplink Communications, Inc. 62,000 148,180 * Orbital Sciences Corp. 7,800 71,526 * Oregon Steel Mills, Inc. 10,300 30,591 Overseas Shipholding Group, Inc. 22,700 639,005 * Owens-Illinois, Inc. 91,800 1,035,504 * Pacificare Health Systems, Inc. 18,800 1,224,068 * Palmone Inc. 2,800 41,916 * Palmsource Inc. 867 22,187 Park Electrochemical Corp. 5,850 149,468 * Parker Drilling Co. 36,300 86,757 * Pathmark Stores, Inc. 11,800 85,668 * Paxson Communications Corp. 18,600 89,280 Peabody Energy Corp. 34,500 1,162,650 * Pegasus Solutions, Inc. 200 2,376 Penn Virginia Corp. 5,400 253,314 # Pep Boys - Manny, Moe & Jack 31,500 645,750 PepsiAmericas, Inc. 65,300 1,024,557 * Per-Se Technologies, Inc. 11,800 165,790 Phillips-Van Heusen Corp. 15,200 267,520 * Photronics, Inc. 3,874 71,553 * Pico Holdings, Inc. 4,200 63,084 Pilgrims Pride Corp. Class B 16,600 248,170 * Pinnacle Entertainment, Inc. 10,200 93,126 * Plexus Corp. 12,712 225,638 # PMA Capital Corp. Class A 16,434 65,243 * Polyone Corp. 36,900 219,555 Pope & Talbot, Inc. 2,400 32,520 Potlatch Corp. 11,200 361,200 * Power-One, Inc. 15,929 134,281 * Powerwave Technologies, Inc. 34,100 254,045 Presidential Life Corp. 18,600 269,700 * PRG-Schultz International, Inc. 27,514 136,194 * Pride International, Inc. 60,300 961,785 * Prime Hospitality Corp. 28,400 312,968 * Procurenet, Inc. 13,000 13 * Protection One, Inc. 38,300 17,235 Protective Life Corp. 34,500 1,133,325 *# Protein Design Labs, Inc. 35,600 493,416 Provident Financial Group, Inc. 24,357 754,093 * Province Healthcare Co. 29,200 447,636 * PSS World Medical, Inc. 20,400 209,100 * PTEK Holdings, Inc. 11,700 102,024 Pulitzer, Inc. 5,900 312,700 Quanex Corp. 8,700 343,911 * Quanta Services, Inc. 73,500 562,275 * Quantum Corp.- DLT 3,600 11,376 * Radio One, Inc. 11,100 194,916 * Range Resources Corp. 9,600 75,840 * RealNetworks , Inc. 41,800 249,546 Regal-Beloit Corp. 12,500 258,125 Reinsurance Group of America, Inc. 24,900 925,035 Reliance Steel & Aluminum Co. 20,200 595,496 *# Reliant Resources, Inc. 176,600 1,158,496 * Remec, Inc. 7,900 88,638 * Rent-Way, Inc. 10,100 74,841 Resource America, Inc. 6,700 87,301 * Retail Ventures Inc. 13,300 $ 71,820 Riggs National Corp. 18,100 310,596 * Riverstone Networks, Inc. 13,200 14,520 RLI Corp. 4,600 166,520 Rock-Tenn Co. Class A 19,700 313,230 Roto-Rooter, Inc. 2,500 92,025 * Rowan Companies, Inc. 7,900 167,243 * RTI International Metals, Inc. 8,200 111,110 Ruddick Corp. 27,700 468,130 Russell Corp. 20,600 378,834 * Ryan's Family Steak Houses, Inc. 25,300 375,452 Ryder System, Inc. 33,500 1,044,865 Ryerson Tull, Inc. 9,718 87,559 * Safeguard Scientifics, Inc. 47,100 161,082 * Saks, Inc. 87,200 1,341,136 * Sapient Corp. 24,500 137,690 Sauer-Danfoss, Inc. 18,500 296,000 Schulman (A.), Inc. 15,455 302,145 Schweitzer-Maudoit International, Inc. 4,600 127,512 SCPIE Holdings, Inc. 3,900 38,805 * SCS Transportation, Inc. 5,750 95,623 Seaboard Corp. 540 124,470 * Seacor Smit, Inc. 12,250 467,215 Selective Insurance Group, Inc. 17,300 560,693 * Sequa Corp. Class A 2,800 133,700 * Sequa Corp. Class B 1,300 63,635 * Sequenom, Inc. 14,900 53,655 * Service Corp. International 154,500 764,775 * Shaw Group, Inc. 30,800 401,016 * Shiloh Industries, Inc. 6,000 27,090 * Shopko Stores, Inc. 18,500 308,025 * Silicon Graphics, Inc. 79,700 90,061 * Silicon Storage Technology, Inc. 26,000 352,820 * Sinclair Broadcast Group, Inc. Class A 1,000 11,470 * Six Flags, Inc. 49,500 334,125 Skyline Corp. 3,300 105,930 * Skyworks Solutions, Inc. 69,986 615,177 * Smart & Final Food, Inc. 11,700 106,821 Smith (A.O.) Corp. 10,750 377,755 * Smithfield Foods, Inc. 42,600 998,970 * Sola International, Inc. 12,400 243,040 Sonic Automotive, Inc. 13,800 309,810 * SonicWALL, Inc. 33,300 266,067 * Sourcecorp, Inc. 10,200 249,492 South Jersey Industries, Inc. 6,800 267,920 * Southwestern Energy Co. 13,900 283,699 * Spanish Broadcasting System, Inc. 10,200 102,510 * Spherion Corp. 37,700 337,038 * Spinnaker Exploration Co. 17,200 453,048 * SPS Technologies, Inc. 5,100 249,696 *# SR Telecom, Inc. 521 2,970 StanCorp Financial Group, Inc. 11,400 713,184 Standard Motor Products, Inc. Class A 7,700 77,385 Standard Pacific Corp. 11,500 574,195 Standard Register Co. 10,500 166,740 Starrett (L.S.) Co. Class A 2,000 28,540 *# Steel Dynamics, Inc. 23,858 477,637 Steelcase, Inc. Class A 26,700 331,080
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SHARES VALUE+ ------ ------ Stepan Co. 3,500 $ 87,710 Stewart & Stevenson Services, Inc. 15,900 223,236 * Stewart Enterprises, Inc. 59,900 279,733 * Stewart Information Services Corp. 8,400 324,492 * Stillwater Mining Co. 47,800 402,476 * Stoneridge, Inc. 8,800 117,480 Stride Rite Corp. 16,200 187,434 *# Sunrise Senior Living, Inc. 17,800 614,456 * Swift Energy Corp. 17,400 246,906 SWS Group, Inc. 1,100 20,691 * Sycamore Networks, Inc. 173,082 920,796 * Systemax, Inc. 13,350 96,788 * Tech Data Corp. 28,400 1,046,256 Tecumseh Products Co. Class A 8,800 362,208 Tecumseh Products Co. Class B 2,200 88,000 * Teletech Holdings, Inc. 33,472 336,394 # Temple-Inland, Inc. 12,100 684,013 * Tenneco Automotive, Inc. 11,000 61,050 * Terex Corp. 23,500 606,065 * Terra Industries, Inc. 30,000 96,900 * Tesoro Petroleum Corp. 35,400 448,872 Texas Industries, Inc. 10,500 306,705 * The Dress Barn, Inc. 11,400 166,896 The Marcus Corp. 12,600 188,370 # Thomas & Betts Corp. 29,200 607,360 * THQ, Inc. 15,037 241,945 * TIBCO Software, Inc. 110,000 643,500 Tidewater, Inc. 28,300 781,363 * Timco Aviation Services, Inc. 910 410 * Time Warner Telecom, Inc. 10,380 109,509 Timken Co. 56,400 966,132 Titan International, Inc. 8,100 15,552 * Titanium Metals Corp. 1,320 62,700 * Tower Automotive, Inc. 22,000 100,100 * Trammell Crow Co. 16,800 225,960 * Trans World Entertainment Corp. 15,200 107,464 * Transkaryotic Therapies, Inc. 14,010 181,990 * Transmeta Corp. 15,600 51,480 * Transmontaigne Oil Co. 6,500 39,065 Tredegar Industries, Inc. 18,800 289,520 * Trenwick Group, Ltd. 38,857 971 * Triad Guaranty, Inc. 7,300 340,545 * Triad Hospitals, Inc. 29,300 1,013,780 * Trico Marine Services, Inc. 14,200 18,176 # Trinity Industries, Inc. 23,100 599,445 * Triquint Semiconductor, Inc. 53,230 430,098 * Triumph Group 10,000 325,900 * TriZetto Group, Inc. 12,500 80,625 * Tweeter Home Entertainment Group, Inc. 9,400 78,584 * UICI 24,500 338,345 UMB Financial Corp. 13,753 671,009 * Unifi, Inc. 21,100 108,243 Unifirst Corp. 3,600 83,628 United Auto Group, Inc. 26,000 642,200 United Community Financial Corp. 14,300 160,446 *# United Rentals, Inc. 41,500 768,580 # United States Steel Corp. 51,600 $ 1,282,260 Unitrin, Inc. 26,400 998,712 * Universal American Financial Corp. 20,840 216,944 * Universal Compression Holdings, Inc. 13,560 317,982 Universal Forest Products, Inc. 7,300 222,212 * Universal Stainless & Alloy Products, Inc. 2,500 21,075 Unizan Financial Corp. 10,702 230,093 * Unova, Inc. 3,700 88,504 * URS Corp. 20,900 476,520 * US Oncology, Inc. 43,006 437,801 Usec, Inc. 40,300 303,459 USF Corp. 17,220 568,777 * Vail Resorts, Inc. 14,160 215,657 # Valeant Pharmaceuticals International 12,100 289,311 Valhi, Inc. 47,300 653,686 * ValueClick, Inc. 14,500 121,075 * Valuevision Media, Inc. Class A 900 13,950 * Veeco Instruments, Inc. 6,300 185,850 *# Venturi Partners, Inc. 44 528 * Veritas DGC, Inc. 13,100 118,031 * Vicor Corp. 5,900 67,850 * Vignette Corp. 63,300 146,223 Vintage Petroleum, Inc. 40,700 423,687 # Visteon Corp. 65,200 511,820 * Vitesse Semiconductor, Inc. 82,700 603,710 * Volt Information Sciences, Inc. 6,000 122,400 Walter Industries, Inc. 20,960 256,550 *# Warnaco Group, Inc. 22,600 23 Watsco, Inc. Class A 11,150 259,126 Watts Water Technologies, Inc. 8,800 180,400 Wausau-Mosinee Paper Corp. 32,700 402,210 Waypoint Financial Corp. 13,160 282,545 Weis Markets, Inc. 3,200 113,600 Wellman, Inc. 12,500 108,750 Wesco Financial Corp. 2,775 968,614 West Pharmaceutical Services, Inc. 5,200 176,800 * Westport Resources Corp. 33,600 910,560 * Wind River Systems, Inc. 19,500 126,945 * Wolverine Tube, Inc. 4,800 25,248 Woodward Governor Co. 4,641 231,493 --------------- TOTAL COMMON STOCKS (Cost $187,109,335) 179,329,905 --------------- RIGHTS/WARRANTS -- (0.1%) * Chiquita Brands International, Inc. Warrants 03/19/09 24,308 153,141 * Imperial Credit Industries, Inc. Warrants 01/31/08 511 0 * Orbital Science Corp. Warrants 08/31/04 203 954 * Timco Aviation Services Warrants 02/27/07 2,178 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $1,119,289) 154,095 ---------------
138
FACE AMOUNT VALUE+ ------ ------ (000) BONDS -- (0.0%) * Timco Aviation Services, Inc. Jr Subordinated Note 8.000%, 01/02/07 (Cost $0) $ 1 $ 0 -------------- TEMPORARY CASH INVESTMENTS -- (16.0%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $7,783,000 FMC Discount Notes 1.11%, 03/25/04, valued at $7,753,814) to be repurchased at $7,639,522 7,639 7,639,000 Repurchase agreements in a Pooled Cash Account, UBS Warburg and Deutsche Bank Securities Inc., 1.01% and 1.02% respectively, 12/01/03 (Collateralized by $21,225,000 U.S. Treasury Obligations, rates ranging from 5.50% to 8.875%, maturities ranging from 08/15/04 to 05/15/30, valued at $26,259,179) to be repurchased at $25,588,579 (Cost $25,586,413)^ 25,586 25,586,413 -------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $33,225,413) 33,225,413 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $221,454,037)++ $ 212,709,413 ==============
---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. ++ The cost for federal income tax purposes is $221,597,111. See accompanying Notes to Financial Statements. 139 THE U.S. SMALL CAP VALUE SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ COMMON STOCKS -- (92.7%) 1st Source Corp. 224,624 $ 5,042,809 * 24/7 Real Media, Inc. 139,700 210,947 * 3-D Systems Corp. 85,700 779,870 * AAR Corp. 799,130 8,358,900 ABC Bancorp 18,280 307,470 * Abgenix, Inc. 386,730 4,358,447 *# Abiomed, Inc. 27,109 200,308 * Ablest, Inc. 16,800 91,560 Abrams Industries, Inc. 10,000 41,500 * ABX Air, Inc. 871,600 3,442,820 * Aclara Biosciences, Inc. 234,742 751,174 * Acme Communications, Inc. 281,009 2,388,576 * Acme United Corp. 8,700 45,675 * ACT Teleconferencing, Inc. 131,022 216,186 * Active Power, Inc. 739,200 2,483,712 Acuity Brands, Inc. 69,000 1,645,650 * Adams Resources & Energy, Inc. 6,700 77,854 * Adaptec, Inc. 465,590 4,101,848 * Adept Technology, Inc. 96,800 174,240 * Administaff, Inc. 234,800 3,512,608 * Advanced Digital Information Corp. 53,100 805,527 *# Advanced Magnetics, Inc. 82,700 1,178,475 * Advanced Power Technology, Inc. 168,726 1,385,240 Advanta Corp. Class A 269,589 3,383,342 Advanta Corp. Class B Non-Voting 447,674 5,748,134 * Advent Software, Inc. 24,300 425,493 * Aehr Test Systems 89,200 345,115 * AEP Industries, Inc. 175,150 1,266,334 * Aether Systems, Inc. 1,111,975 5,526,516 * Aetrium, Inc. 139,100 493,805 * AG Services America, Inc. 9,600 81,120 * Agile Software Corp. 133,300 1,464,967 Agilysys, Inc. 795,446 8,956,722 * Air Methods Corp. 100,900 913,145 * Airnet Systems, Inc. 200,900 701,141 * Airspan Networks, Inc. 96,100 231,601 * AK Steel Holding Corp. 2,059,316 6,177,948 *# Akamai Technologies, Inc. 823,500 11,051,370 Alamo Group, Inc. 158,700 2,337,651 * Alaska Air Group, Inc. 693,900 19,956,564 * Alaska Communications Systems Group, Inc. 259,300 1,293,648 * Alderwoods Group, Inc. 75,400 668,044 * Aldila, Inc. 78,966 280,329 Alexander & Baldwin, Inc. 802,063 25,232,902 * Alexion Pharmaceuticals, Inc. 264,300 4,955,625 Alico, Inc. 46,500 1,622,850 * All American Semiconductor, Inc. 29,260 132,548 Allegheny Technologies, Inc. 406,700 3,334,940 Allen Organ Co. Class B 5,000 238,750 * Alliance Semiconductor Corp. 870,446 7,189,884 * Allied Defense Group, Inc. 75,700 1,591,971 * Allied Healthcare International, Inc. 228,600 1,271,016 * Allied Healthcare Products, Inc. 124,200 504,252 * Allied Holdings, Inc. 111,535 511,946 * Allied Motion Technologies, Inc. 45,300 200,679 * Allmerica Financial Corp. 588,500 16,095,475 * Allou Health Care, Inc. Class A 97,500 $ 4,972 * Alloy, Inc. 588,175 3,164,381 * Allscripts Healthcare Solutions, Inc. 510,600 2,772,558 * Almost Family, Inc. 13,700 115,765 * Alpha Technologies Group, Inc. 82,112 119,062 Alpharma, Inc. Class A 1,021,600 20,585,240 *# Alterra Healthcare Corp. 372,400 48 Ambassadors, Inc. 159,300 2,083,644 * AMC Entertainment, Inc. 463,900 7,028,085 * Amcast Industrial Corp. 149,800 352,030 *# Amerco, Inc. 242,700 6,620,856 *# America West Holdings Corp. Class B 664,200 10,029,420 * American Banknote Corp. 745 488 American Biltrite, Inc. 45,600 306,888 * American Building Control, Inc. 187,600 318,920 # American Business Financial Services, Inc. 39,259 161,786 * American Ecology Corp. 48,100 223,184 *# American Greetings Corp. Class A 1,278,100 26,993,472 American Home Mortgage Holdings, Inc. 4,100 92,004 * American Indemnity Financial Escrow 14,200 14,200 * American Independence Corp. 14,600 158,264 * American Management Systems, Inc. 45,900 684,369 * American Medical Electronics, Inc. (Escrow-Bonus) 20,800 0 * American Medical Electronics, Inc. (Escrow-Earnings) 20,800 0 * American Medical Security Group, Inc. 336,800 7,574,632 * American Pacific Corp. 104,300 985,635 * American Physicians Capital, Inc. 225,784 3,725,436 * American Physicians Services Group, Inc. 36,300 299,475 * American Retirement Corp. 279,800 867,380 American Shared Hospital Services 2,100 13,020 American Software, Inc. Class A 280,250 1,723,537 * American Superconductor Corp. 349,800 3,693,888 * American Technical Ceramics Corp. 83,100 590,010 Americana Bancorp, Inc. 26,030 398,780 *# Americredit Corp. 268,300 3,608,635 AmeriServe Financial, Inc. 304,288 1,521,440 Ameron International Corp. 117,400 3,874,200 # AmerUs Group Co. 486,485 17,489,136 *# Ames Department Stores, Inc. 9,919 15 * Amistar Corp. 42,300 87,138 Ampco-Pittsburgh Corp. 200,000 2,144,000 Amrep Corp. 96,692 1,498,726 * Amtech Systems, Inc. 6,000 41,700 * Amwest Insurance Group, Inc. 23,990 192 * Anadigics, Inc. 486,577 3,260,066 * Analysts International Corp. 245,810 762,011 *# Analytical Surveys, Inc. 830 2,341 * Anaren, Inc. 363,340 5,439,200 Andersons, Inc. 96,700 1,623,593 *# Andrew Corp. 1,086,522 12,788,364 * Angeion Corp. 315 668 Angelica Corp. 146,000 3,014,900
140
SHARES VALUE+ ------ ------ * Angelo & Maxie's, Inc. 25,350 $ 55,897 * AnswerThink, Inc. 141,500 847,585 *# Antigenics, Inc. 1,900 23,446 * APA Optics, Inc. 157,400 393,500 Apogee Enterprises, Inc. 175,400 2,074,982 Applica, Inc. 615,100 4,490,230 * Applied Extrusion Technologies, Inc. 247,300 615,777 Applied Industrial Technologies, Inc. 497,600 11,793,120 * Applied Innovation, Inc. 51,000 332,010 * Applied Micro Circuits Corp. 46,600 301,036 * Applied Molecular Evolution, Inc. 107,339 1,904,194 * Apropos Technology, Inc. 263,400 1,053,600 *# Aradigm Corp. 4,100 7,585 *# Arch Capital Group, Ltd. 67,300 2,487,408 Arch Chemicals, Inc. 481,387 11,018,948 * Arena Pharmaceuticals, Inc. 742,844 5,118,195 * Argonaut Group, Inc. 519,791 8,316,656 * Argonaut Technologies, Inc. 8,200 10,332 * Ariba, Inc. 865,100 2,733,716 * Ark Restaurants Corp. 21,300 270,510 * Arlington Hospitality, Inc. 70,000 266,700 * Armor Holdings, Inc. 12,400 300,700 *# Armstrong Holdings, Inc. 389,200 338,604 * Arqule, Inc. 568,649 2,797,753 * Array BioPharma, Inc. 23,000 120,750 * Arris Group, Inc. 1,684,241 10,863,354 * Art Technology Group, Inc. 52,300 88,910 * Artesyn Technologies, Inc. 433,000 3,416,370 ASB Financial Corp. 14,600 343,100 * Ascential Software Corp. 417,288 10,557,386 * Ashworth, Inc. 338,703 2,760,429 * Aspect Communications Corp. 300,414 4,422,094 * Aspen Technology, Inc. 353,800 2,720,722 * Astea International, Inc. 13,200 33,660 * Astec Industries, Inc. 325,364 4,291,551 Astro-Med, Inc. 56,575 914,818 * Astronics Corp. 19,687 97,352 * Astronics Corp. Class B 7,756 40,719 *# AstroPower, Inc. 28,600 20,592 * ATA Holdings Corp. 184,300 1,677,130 * Atari, Inc. 11,280 46,248 * Atlantic American Corp. 42,900 113,685 * Atlantis Plastics, Inc. 60,800 663,936 *# Atlas Air Worldwide Holdings, Inc. 527,800 348,348 * ATP Oil & Gas Corp. 102,300 517,638 Atrion Corp. 36,150 1,735,200 * ATS Medical, Inc. 13,800 51,888 * Atwood Oceanics, Inc. 168,011 4,316,203 * Audiovox Corp. Class A 536,949 7,447,483 * Ault, Inc. 93,300 251,910 * Aurora Foods, Inc. 534,673 8,555 * Avalon Holding Corp. Class A 25,112 65,417 * Avanex Corp. 405,100 1,920,174 * Avatar Holdings, Inc. 75,500 2,555,675 * Aviall, Inc. 364,200 5,827,200 * Avici Systems Inc. 142,038 1,221,527 * Avigen, Inc. 523,218 3,400,917 * Avteam, Inc. Class A 80,300 84 * Aware, Inc. 447,799 1,491,171 * Axcelis Technologies, Inc. 87,120 999,266 * Axsys Technologies, Inc. 62,200 865,202 * AXT, Inc. 321,728 $ 1,100,310 * Aztar Corp. 693,000 15,419,250 * AZZ, Inc. 80,900 985,362 * Badger Paper Mills, Inc. 10,400 47,944 Bairnco Corp. 114,700 765,049 * Baker (Michael) Corp. 79,400 841,640 Baldwin & Lyons, Inc. Class B 82,425 2,058,976 * Baldwin Technology, Inc. Class A 219,700 659,100 * Ballantyne Omaha, Inc. 32,200 67,620 * Bally Total Fitness Holding Corp. 883,500 6,184,500 * Bancinsurance Corp. 76,470 502,408 Bandag, Inc. Class A 112,600 4,346,360 * BankUnited Financial Corp. Class A 121,400 3,089,630 Banner Corp. 295,893 7,441,709 * Barrett Business Services, Inc. 84,800 1,255,040 * Barry (R.G.) Corp. 154,464 919,061 Bassett Furniture Industries, Inc. 301,305 4,941,402 * Bay View Capital Corp. 1,515,142 9,196,912 * Bayou Steel Corp. Class A 169,900 849 * BCT International, Inc. 11,100 22,033 * BE Aerospace, Inc. 10,325 59,369 * Beazer Homes USA, Inc. 66,700 7,117,557 Bel Fuse, Inc. Class A 13,000 341,575 Belden, Inc. 660,255 13,007,023 * Bell Industries, Inc. 161,863 437,030 * Bell Microproducts, Inc. 475,483 4,093,909 * Bethlehem Steel Corp. 1,057,000 16,912 * Beverly Enterprises 2,136,700 16,730,361 * BF Enterprises, Inc. 2,300 19,492 * Big 4 Ranch, Inc. 73,300 0 * Bioanalytical Systems, Inc. 17,100 75,924 * Biocryst Pharmaceuticals, Inc. 36,000 294,840 * Biosource International, Inc. 128,400 937,320 Black Hills Corp. 3 97 Blair Corp. 173,390 4,334,750 * Blonder Tongue Laboratories, Inc. 22,600 72,320 * Bluegreen Corp. 379,098 2,388,317 * BMC Industries, Inc. 241,800 12,090 * BNS Co. Class A 46,855 262,388 * Boca Resorts, Inc. 813,664 11,619,122 * Bogen Communications International, Inc. 44,700 219,030 * Bolt Technology Corp. 13,700 52,745 * Bombay Co., Inc. 293,340 3,000,868 Bon-Ton Stores, Inc. 211,300 2,831,420 * Books-a-Million, Inc. 313,700 1,411,650 * Boston Biomedical, Inc. 56,300 140,750 Bostonfed Bancorp, Inc. 51,260 1,658,261 * Bottomline Technologies, Inc. 83,000 747,000 Bowl America, Inc. Class A 54,022 742,802 Bowne & Co., Inc. 712,832 10,507,144 * Brass Eagle, Inc. 131,400 1,214,136 * Braun Consulting, Inc. 198,200 495,500 * Brigham Exploration Co. 45,700 327,166 * BrightStar Information Technology Group, Inc. 106,200 10,620 * Brillian Corp. 122,950 979,911 * Brooktrout, Inc. 254,727 3,749,581 * Bruker BioSciences Corp. 700 3,486 * Brush Engineered Materials, Inc. 430,609 5,804,609 * BSQUARE Corp. 144,300 213,564
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SHARES VALUE+ ------ ------ * BTU International, Inc. 91,000 $ 383,110 * Buca, Inc. 435,757 2,462,027 * Buckeye Technology, Inc. 684,898 6,992,809 Building Materials Holding Corp. 346,076 5,243,051 * Bull Run Corp. 8,560 9,330 Burlington Coat Factory Warehouse Corp. 847,001 17,871,721 * Bush Industries, Inc. Class A 215,400 734,514 * Butler International, Inc. 81,200 127,484 Butler Manufacturing Co. 95,600 1,979,876 * C-COR.net Corp. 302,726 3,572,167 * Cable Design Techologies Corp. 830,787 8,440,796 Cadmus Communications Corp. 117,400 1,426,410 Calgon Carbon Corp. 732,800 4,506,720 * California Coastal Communities, Inc. 71,400 788,970 California First National Bancorp 77,600 895,892 * Caliper Technologies Corp. 659,579 4,214,710 * Callon Petroleum Corp. 334,100 3,073,720 Cal-Maine Foods, Inc. 134,400 2,854,656 Camco Financial Corp. 19,083 337,578 * Cannon Express, Inc. Class A 900 1,102 * Cannondale Corp. 128,800 25,760 * Canterbury Consulting Group, Inc. 842 796 * Capital Pacific Holdings, Inc. 201,300 684,420 * Capital Senior Living Corp. 357,200 2,178,920 * Caprius, Inc. 1,439 288 * Capstone Turbine Corp. 2,200 3,806 * Captaris, Inc. 446,165 2,645,758 * Captiva Software Corp. 72,800 955,209 * Caraustar Industries, Inc. 683,465 7,962,367 * Cardiotech International, Inc. 64,291 403,105 * CareCentric, Inc. 29,400 22,050 * Career Blazers, Inc. Trust Units 9,540 0 Carpenter Technology Corp. 581,965 15,596,662 * Carreker Corp. 30,700 459,272 * Carriage Services, Inc. Class A 375,100 1,234,079 * Carrier Access Corp. 39,600 590,040 * Carrington Laboratories, Inc. 121,900 519,294 *# Carrizo Oil & Gas, Inc. 25,600 192,000 Cascade Corp. 68,550 1,837,140 * Casella Waste Systems, Inc. Class A 154,000 2,063,600 Casey's General Stores, Inc. 96,600 1,687,602 * Castle (A.M.) & Co. 217,730 1,001,558 Castle Energy Corp. 142,700 813,390 * Casual Male Retail Group, Inc. 385,365 3,314,139 * Catalina Lighting, Inc. 22,040 269,792 * Catalytica Energy Systems, Inc. 145,300 508,550 * Cavalier Homes, Inc. 352,281 1,004,001 CCA Industries, Inc. 40,800 304,980 CDI Corp. 27,900 945,810 * Celadon Group, Inc. 182,840 2,486,624 * Celebrity, Inc. Escrow Shares 26,325 0 * Celeritek, Inc. 320,999 2,584,042 * CellStar Corp. 272,679 3,749,336 Centex Construction Products, Inc. 14,600 855,560 * Central Garden & Pet Co. 436,812 11,579,886 Central Parking Corp. 490,311 6,839,838 * Century Aluminum Co. 547,853 9,094,360 * Century Business Services, Inc. 1,155,039 5,370,931 * Ceres Group, Inc. 135,809 708,923 CFS Bancorp, Inc. 250,690 3,547,263 * Champion Enterprises, Inc. 772,800 $ 5,579,616 Champion Industries, Inc. 104,200 452,124 * Championship Auto Racing Teams, Inc. 120,900 64,077 * Champps Entertainment, Inc. 108,400 750,128 * Channell Commercial Corp. 17,600 81,840 * Charming Shoppes, Inc. 2,741,841 17,081,669 * Chart Industries 3 90 *# Charter Communications, Inc. 116,600 468,732 Chesapeake Corp. 389,906 8,967,838 Chicago Rivet & Machine Co. 10,800 287,550 * Childtime Learning Centers, Inc. 43,500 95,700 * Chromcraft Revington, Inc. 5,900 68,735 * Chronimed, Inc. 251,911 2,262,161 *# Chyron Corp. 10,800 4,860 * Ciber, Inc. 382,300 3,482,753 * Cincinnati Bell, Inc. 123,800 706,898 * Ciprico, Inc. 70,900 358,045 CIRCOR International, Inc. 233,800 5,143,600 * Cirrus Logic, Inc. 447,600 3,849,360 * Citizens, Inc. Class A 101,010 1,000,000 * CKE Restaurants, Inc. 858,600 6,010,200 * Clark, Inc. 221,130 3,628,743 * Clarus Corp. 440,800 3,081,192 *# CMS Energy Corp. 743,769 5,868,337 * CNA Surety Corp. 237,595 2,299,920 *# CNET Networks, Inc. 261,543 1,953,726 Coachmen Industries, Inc. 399,700 6,894,825 * Coast Dental Services, Inc. 48,533 310,369 Coast Distribution System 90,200 500,610 Coastal Bancorp, Inc. 116,800 4,088,000 * Coastcast Corp. 101,900 204,309 * Cobra Electronics Corp. 84,100 597,951 * Coeur d'Alene Mines Corp. 384,800 1,993,264 *# Cogent Communications Group, Inc. 11,754 14,340 * Cognitronics Corp. 7,700 25,410 * Coherent, Inc. 651,695 15,601,578 * Cole National Corp. Class A 57,300 1,202,154 * Collins & Aikman Corp. 547,694 1,955,268 Collins Industries, Inc. 30,500 164,700 * Columbus McKinnon Corp. 234,878 1,451,546 * Comarco, Inc. 120,700 1,144,236 * Comdial Corp. 10,007 30,021 * Comforce Corp. 58,000 29,580 * Comfort Systems USA, Inc. 741,000 3,564,210 *# Commerce One, Inc. 96,400 111,824 Commercial Federal Corp. 71,500 1,930,500 Commercial Metals Co. 726,666 18,704,383 Commonwealth Industries, Inc. 407,264 2,985,245 * Commscope, Inc. 874,900 13,963,404 Communications Systems, Inc. 16,800 115,752 Community Trust Bancorp, Inc. 72,321 2,370,705 * Community West Bancshares 11,000 91,960 *# Compex Technologies, Inc. 39,226 354,995 * Compucom Systems, Inc. 1,248,285 5,679,697 * CompuCredit Corp. 745,863 17,662,036 * Computer Access Technology Corp. 289,800 1,347,570 * Computer Horizons Corp. 545,091 2,027,739 * Computer Network Technology Corp. 491,551 4,890,932 * Computer Task Group, Inc. 128,300 536,294 CompX International, Inc. 37,300 235,363 * Concerto Software, Inc. 12,800 152,576
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SHARES VALUE+ ------ ------ * Concord Camera Corp. 508,036 $ 6,131,995 *# Cone Mills Corp. 504,100 28,986 * Congoleum Corp. Class A 97,400 63,310 * Conmed Corp. 260,069 5,529,067 *# Consolidated Freightways Corp. 24,700 151 * Consolidated Graphics, Inc. 339,794 10,210,810 *# Continental Airlines, Inc. 1,607,800 29,985,470 * Continental Materials Corp. 4,600 125,534 *# Convera Corp. 37,600 147,016 *# Cooker Restaurant Corp. 109,768 659 Cooper Tire & Rubber Co. 840,900 16,826,409 # Cooperative Bankshares, Inc. 19,000 485,260 * Copper Mountain Networks, Inc. 15,791 148,609 * Corautus Genetics, Inc. 642 3,769 * Core Molding Technologies, Inc. 500 1,470 * Corixa Corp. 126,900 722,061 Corn Products International, Inc. 561,000 19,444,260 * Cornell Companies, Inc. 345,948 4,358,945 * Correctional Services Corp. 135,800 349,006 * Corrections Corporation of America 63,800 1,786,400 * Corrpro Companies, Inc. 88,475 132,712 * Cosine Communications, Inc. 147,970 1,145,288 * Cost-U-Less, Inc. 35,000 115,500 Cotton States Life Insurance Co. 8,300 147,333 * Covansys Corp. 327,200 2,944,800 *# Covanta Energy Corp. 413,696 2,896 * Covenant Transport, Inc. Class A 326,388 6,149,150 Covest Bancshares, Inc. 6,125 167,702 CPAC, Inc. 81,600 504,206 *# Credence Systems Corp. 963,780 12,490,589 * Credit Acceptance Corp. 760,499 11,407,485 * Criticare Systems, Inc. 91,000 309,400 Crompton Corp. 117,900 713,295 * Cross (A.T.) Co. Class A 234,300 1,529,979 * Cross Country Healthcare, Inc. 71,529 1,065,782 * Crossroads Systems, Inc. 22,000 67,320 * Crown Andersen, Inc. 22,900 53,815 *# Crown Castle International Corp. 540,600 6,708,846 * Crown Financial Group, Inc. 59,900 151,547 * Crown Holdings, Inc. 857,300 6,429,750 * Crown Media Holdings, Inc. 240,254 2,116,638 *# Cryolife, Inc. 93,500 501,160 * CSP, Inc. 40,800 215,424 CSS Industries, Inc. 252,150 7,491,376 CT Communications, Inc. 72,597 1,038,137 CTS Corp. 442,300 5,422,598 * Culp, Inc. 299,118 3,368,069 * Cumulus Media, Inc. Class A 322,500 6,159,750 * CuraGen Corp. 922,725 5,813,167 * Curis, Inc. 20 109 Curtiss-Wright Corp. 86,300 7,068,833 * Cutter & Buck, Inc. 233,894 1,812,678 * Cyberoptics Corp. 33,300 331,668 * Cybersource Corp. 158,500 787,745 * Cybex International, Inc. 114,200 141,608 *# CycleLogic, Inc. 6 1 * Cysive, Inc. 502,497 1,618,040 *# Cytrx Corp. 2,800 6,188 D & K Healthcare Resources, Inc. 294,161 3,977,057 * D A Consulting Group, Inc. 118,400 9,472 *# Daisytek International Corp. 44,337 1,441 *# Dan River, Inc. Class A 452,200 $ 348,194 * Danielson Holding Corp. 73,400 104,228 * Data I/O Corp. 86,400 297,130 * Data Systems & Software, Inc. 91,400 255,006 * Datakey, Inc. 6,700 3,886 * Datalink Corp. 184,900 719,261 * Dataram Corp. 37,210 156,654 * DataTRAK International, Inc. 59,200 372,960 * Dave and Busters, Inc. 182,140 2,533,567 * Dawson Geophysical Co. 72,400 589,336 * Daxor Corp. 50,200 763,040 Deb Shops, Inc. 62,900 1,246,678 * Deckers Outdoor Corp. 120,100 2,017,680 * Decora Industries, Inc. 4,200 63 Decorator Industries, Inc. 22,132 139,764 * Del Global Technologies Corp. 70,017 168,041 * Delphax Technologies, Inc. 70,700 224,119 Delphi Financial Group, Inc. Class A 195,509 10,381,528 Delta Apparel, Inc. 104,000 1,710,800 *# Delta Financial Corp. 144,900 1,037,484 Delta Natural Gas Co., Inc. 27,300 636,909 * Delta Woodside Industries, Inc. 130,000 226,200 Deltic Timber Corp. 4,300 121,776 * Denali, Inc. 69,500 0 * Denbury Resources, Inc. 47,000 594,080 * Dendreon Corp. 31,725 251,262 * Detrex Corp. 12,800 19,520 * Devcon International Corp. 52,400 374,660 * DiamondCluster International, Inc. 323,000 3,055,580 * Diedrich Coffee, Inc. 13 53 * Digi International, Inc. 470,882 4,035,459 *# Digital Angel Corp. 26,400 59,400 * DigitalThink Inc. 51,900 154,662 * Digitas, Inc. 48,766 424,752 Dimon, Inc. 1,089,071 7,351,229 * Discovery Partners International 271,485 1,566,197 * Ditech Communications Corp. 513,949 9,019,805 * Diversified Corporate Resources, Inc. 1,600 1,184 * Dixie Group, Inc. 197,119 1,596,664 * Dixon Ticonderoga Co. 30,150 111,555 * Docent, Inc. 15,829 77,246 * Dollar Thrifty Automotive Group, Inc. 643,200 16,240,800 * Dominion Homes, Inc. 76,200 2,317,242 Donegal Group, Inc. Class A 62,496 1,256,170 Donegal Group, Inc. Class B 35,448 669,613 * DoubleClick, Inc. 40,100 382,955 Dover Motorsports, Inc. 220,500 921,690 Downey Financial Corp. 100 4,830 * Drugstore.com, Inc. 211,400 1,407,924 * DT Industries, Inc. 214,200 231,336 * Duane Reade, Inc. 615,876 8,548,359 * Duckwall-ALCO Stores, Inc. 103,200 1,544,904 * Ducommun, Inc. 60,979 1,358,002 * DuPont Photomasks, Inc. 470,708 10,929,840 * Dura Automotive Systems, Inc. 405,602 4,181,757 * DUSA Pharmaceuticals, Inc. 282,965 1,519,522 * DVI, Inc. 247,900 17,353 * Dyax Corp. 318,600 1,924,344 * Dynegy, Inc. 154,500 618,000 * E Com Ventures, Inc. 6,750 79,380 E-Z-EM, Inc. 45,943 530,642
143
SHARES VALUE+ ------ ------ * E.piphany, Inc. 890,351 $ 7,033,773 * Eagle Food Centers, Inc. 31,075 699 * EarthLink, Inc. 503,650 4,835,040 Eastern Co. 29,400 421,596 * EasyLink Services Corp. 640 845 Ecology & Environment, Inc. Class A 28,100 269,198 Edelbrock Corp. 93,940 1,116,947 * Eden Bioscience Corp. 83,100 128,805 * Edge Petroleum Corp. 134,300 1,066,342 * Edgewater Technology, Inc. 248,188 1,231,012 * Educational Insights, Inc. 44,600 25,199 EFC Bancorp, Inc. 5,300 119,568 * eFunds Corp. 62,319 1,081,235 * Elcom International, Inc. 3,500 770 * Electro Rent Corp. 271,118 3,768,540 *# Electroglas, Inc. 339,288 1,340,188 * eLoyalty Corp. 51,900 186,840 * ELXSI Corp. 27,900 125,550 EMC Insurance Group, Inc. 150,700 3,081,815 * EMCORE Corp. 30,700 155,956 *# Emisphere Technologies, Inc. 181,627 1,089,762 *# Emmis Communications Corp. Class A 103,400 2,343,044 Empire District Electric Co. 12,400 262,384 * EMS Technologies, Inc. 265,870 5,649,737 * En Pointe Technologies, Inc. 39,500 73,035 * Encore Medical Corp. 97,400 660,372 * Encore Wire Corp. 92,000 1,558,480 * Endologix, Inc. 110,800 421,040 * Enesco Group, Inc. 345,500 3,741,765 * Entravision Communications Corp. 1,438,100 13,057,948 * Entrust, Inc. 122,000 520,940 * Environmental Elements Corp. 10,300 2,781 * Environmental Technologies Corp. 35,800 895 * ePlus, Inc. 75,300 941,250 * ePresence, Inc. 311,900 1,141,554 * Equity Marketing, Inc. 2,100 28,791 * Equity Oil Co. 180,300 627,264 Espey Manufacturing & Electronics Corp. 3,800 93,290 * Esterline Technologies Corp. 537,793 12,466,042 * Ethyl Corp. 276,320 5,636,928 * Evans & Sutherland Computer Corp. 184,000 859,280 *# Evergreen Solar, Inc. 98,900 197,800 *# Exabyte Corp. 28,600 20,306 * Exar Corp. 607,657 11,782,469 * Exelixis, Inc. 128,283 863,345 * Exponent, Inc. 88,600 2,012,992 Extended Stay America, Inc. 748,400 11,076,320 * Extended Systems, Inc. 20,900 95,095 * Ezcorp, Inc. Class A Non-Voting 237,900 1,758,081 * Fab Industries, Inc. 82,381 465,453 *# Factory 2-U Stores, Inc. 142,779 348,381 * Fairchild Corp. Class A 574,729 2,931,118 * Falcon Products, Inc. 162,900 772,146 *# FalconStor Software, Inc. 47,700 379,215 * Famous Dave's of America, Inc. 106,780 532,832 FBL Financial Group, Inc. Class A 496,700 12,988,705 * Featherlite, Inc. 27,900 79,515 Fedders Corp. 89,400 562,326 Federal Screw Works 3,125 103,125 *# Federal-Mogul Corp. 823,500 238,815 FFLC Bancorp 39,049 $ 1,155,850 * Fibermark, Inc. 105,150 187,167 *# Fiberstars, Inc. 17,100 124,659 * Fidelity Federal Bancorp 20,000 31,000 Fidelity Southern Corp. 91,000 1,260,350 * Finishmaster, Inc. 120,000 1,135,200 * Finlay Enterprises, Inc. 64,100 1,041,625 * Firebrand Financial Group, Inc. 86,400 562 First Aviation Services, Inc. 9,000 36,450 * First Cash Financial Services, Inc. 115,900 3,078,304 First Citizens Bancshares, Inc. 10,300 1,137,017 First Defiance Financial Corp. 128,500 3,589,005 First Federal Bancshares of Arkansas, Inc. 56,900 2,204,875 * First Horizon Pharmaceutical Corp. 531,669 6,061,027 First Indiana Corp. 156,464 2,918,054 * First Investors Financial Services Group, Inc. 120,900 512,616 First Keystone Financial, Inc. 37,300 997,775 * First Mariner Bank Corp. 7,000 118,860 First Midwest Financial, Inc. 32,400 725,760 First Place Financial Corp. 221,950 4,101,636 First Republic Bank 231,978 8,641,180 FirstBank NW Corp. 14,100 431,319 * Fischer Imaging Corp. 39,500 179,725 * Flanders Corp. 584,100 3,265,119 *# Fleetwood Enterprises, Inc. 661,500 6,727,455 # Fleming Companies, Inc. 228,152 2,590 Flexsteel Industries, Inc. 90,400 1,852,296 Florida Public Utilities Co. 1,800 28,656 * Flow International Corp. 34,100 119,725 Flowers Foods, Inc. 181,350 4,733,235 * Flowserve Corp. 812,040 17,280,211 FNB Financial Services Corp. 13,900 317,198 * Foodarama Supermarkets, Inc. 12,900 332,175 * Footstar, Inc. 504,000 2,535,120 * Forest Oil Corp. 413,325 10,353,791 * Forgent Networks, Inc. 369,300 1,244,541 * Foster (L.B.) Co. Class A 162,400 974,400 *# Foster Wheeler, Ltd. 927,100 815,848 *# FPIC Insurance Group, Inc. 221,762 4,634,826 Frankfort First Bancorp, Inc. 24,650 505,325 Franklin Bancorp, Inc. 49,283 1,015,476 * Franklin Covey Co. 341,800 522,954 * Franklin Electronic Publishers, Inc. 112,300 336,900 # Fremont General Corp. 362,300 6,333,004 Frequency Electronics, Inc. 97,600 1,019,920 Fresh Brands, Inc. 2,900 31,581 * Fresh Choice, Inc. 65,100 126,945 * Friede Goldman Halter, Inc. 8,516 8 Friedman Industries, Inc. 108,195 333,241 Friedmans, Inc. Class A 496,500 3,391,095 * Frontier Airlines, Inc. 81,112 1,312,392 * Frozen Food Express Industries, Inc. 328,600 2,181,904 FSF Financial Corp. 16,100 487,025 * FSI International, Inc. 514,718 3,386,844 *# FuelCell Energy, Inc. 279,371 3,760,334 * G-III Apparel Group, Ltd. 98,600 1,030,370 GA Financial, Inc. 50,500 1,451,370 * Gadzooks, Inc. 238,170 1,155,124 * Gaiam, Inc. 19,084 105,134
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SHARES VALUE+ ------ ------ * Galey & Lord, Inc. 184,800 $ 1,294 *# Galyan's Trading Co. 322,377 4,303,733 * GameTech International, Inc. 79,900 306,017 * Garden Fresh Restaurant Corp. 78,000 1,152,840 * Gateway, Inc. 1,222,800 5,453,688 # GATX Corp. 1,062,800 25,826,040 * Gaylord Entertainment Co. 761,485 22,913,084 *# GC Companies, Inc. 4,300 1,784 * Gehl Co. 109,800 1,691,030 * Genaissance Pharmaceuticals, Inc. 109,600 319,922 Gencorp, Inc. 1,143,751 11,448,948 * Gene Logic, Inc. 809,237 3,940,984 * General Cable Corp. 135,500 1,142,265 * General Communications, Inc. Class A 552,600 4,835,250 * General DataComm Industries, Inc. 690 1,245 * Genesee & Wyoming, Inc. 156,787 3,960,440 * Genesis Microchip, Inc. 228,756 4,220,548 * Genlyte Group, Inc. 63,500 3,356,610 *# Genome Therapeutics Corp. 13,100 39,680 * Gerber Scientific, Inc. 397,500 3,303,225 * Giant Group, Ltd. 50,600 101,200 * Giant Industries, Inc. 228,400 2,786,480 Gibraltar Steel Corp. 198,300 4,834,554 * Giga-Tronics, Inc. 28,800 61,200 Glatfelter (P.H.) Co. 1,122,000 13,441,560 * Glenayre Technologies, Inc. 996,900 2,980,731 * Globecomm Systems, Inc. 162,700 1,138,900 * GlobespanVirata, Inc. 339,500 2,084,530 * Glowpoint, Inc. 160,300 298,158 *# GoAmerica, Inc. 642,300 340,419 Golden Enterprises, Inc. 17,200 44,032 * Golden State Vintners, Inc. 82,600 258,538 * Good Guys, Inc. 373,600 762,144 *# Goodyear Tire & Rubber Co. 729,800 4,926,150 Goody's Family Clothing, Inc. 567,900 6,031,098 Gorman-Rupp Co. 40,500 967,950 * Gottschalks, Inc. 223,800 863,868 * GP Strategies Corp. 235,265 1,729,198 * Gradco Systems, Inc. 2,201 21,295 Graham Corp. 25,950 234,328 * Graphic Packaging Corp. 620,900 2,197,986 Gray Television, Inc. 388,050 5,029,128 Gray Television, Inc. Class A 40,650 533,328 * Great American Financial Resources, Inc. 122,100 1,849,815 * Great Atlantic & Pacific Tea Co., Inc. 1,001,400 7,610,640 * Greenbriar Corp. 1,070 3,370 * Greenbrier Companies, Inc. 235,300 3,404,791 * Griffin Land & Nurseries, Inc. Class A 25,000 361,750 * Group 1 Automotive, Inc. 6,400 222,080 *# GTC Biotherapeutics, Inc. 329,971 910,720 * GTSI Corp. 167,700 2,020,785 Guaranty Federal Bancshares, Inc. 15,300 296,590 Guaranty Financial Corp. 20,300 406,101 * Guilford Mills, Inc. 10,087 121,044 *# Guilford Pharmaceuticals, Inc. 357,613 2,442,497 * Gulfmark Offshore, Inc. 202,700 2,843,881 * Gundle/SLT Environmental, Inc. 242,500 4,692,375 * Ha-Lo Industries, Inc. 223,600 246 Haggar Corp. 102,625 1,779,517 * Hain Celestial Group, Inc. 32,343 746,153 * Halifax Corp. 24,000 $ 121,680 * Hall Kinion Associates, Inc. 208,832 856,002 * Hampshire Group, Ltd. 19,100 592,673 Handleman Co. 339,275 5,971,240 * Hanger Orthopedic Group, Inc. 242,500 4,098,250 * Hanover Compressor Co. 1,737,215 16,538,287 Hardinge, Inc. 148,600 1,538,010 Harleysville Group, Inc. 612,440 12,003,824 * Harmonic, Inc. 4,100 35,629 * Harolds Stores, Inc. 2,000 7,400 * Harris Interactive, Inc. 24,800 171,120 * Hartmarx Corp. 696,000 2,992,800 * Harvest Natural Resources, Inc. 403,406 2,989,238 * Hastings Entertainment, Inc. 174,000 774,300 * Hastings Manufacturing Co. 1,700 7,327 * Hauser, Inc. 42,275 2,114 Haverty Furniture Co., Inc. 203,700 4,351,032 * Hawaiian Holdings, Inc. 498,455 1,370,751 * Hawk Corp. 184,600 629,486 * Headway Corporate Resources, Inc. 72,800 546 Healthcare Services Group, Inc. 23,760 470,210 * Hector Communications Corp. 10,600 148,877 * HEI, Inc. 1,300 3,900 Heico Corp. 183,800 3,394,786 Heico Corp. Class A 3,129 46,309 * Heidrick & Struggles International, Inc. 249,700 6,005,285 * Herley Industries, Inc. 0 10 * Hexcel Corp. 599,250 4,158,795 HF Financial Corp. 49,650 893,700 * HMI Industries, Inc. 11,800 9,735 HMN Financial, Inc. 74,100 1,825,824 * HMS Holdings Corp. 345,607 1,482,654 * Hoenig Group Escrow 104,700 24,081 * Holiday RV Superstores, Inc. 6,880 34 # Hollinger International, Inc. Class A 2,800 44,548 Holly Corp. 215,100 5,713,056 * Hollywood Media Corp. 283,400 634,816 * Home Products International, Inc. 125,550 166,981 * Homegold Financial, Inc. 35,600 285 * HomeStore, Inc. 51,200 179,712 Horace Mann Educators Corp. 99,045 1,338,098 Horizon Financial Corp. 102,067 1,805,565 * Horizon Health Corp. 112,700 2,574,068 * Horizon Offshore, Inc. 687,512 3,080,054 * Houston Exploration Co. 487,342 16,623,236 * HPSC, Inc. 44,100 629,748 * Hub Group, Inc. Class A 109,500 1,756,380 Hudson River Bancorp, Inc. 41,477 1,441,741 * Hudson Technologies, Inc. 54,900 46,665 * Huffy Corp. 269,495 1,840,651 Hughes Supply, Inc. 611,560 27,948,292 * Human Genome Sciences, Inc. 7,083 90,662 * Hurco Companies, Inc. 92,800 269,120 * Huttig Building Products, Inc. 65,600 177,120 * Hycor Biomedical, Inc. 61,600 256,872 * Hypercom Corp. 1,207,900 6,148,211 * I-many, Inc. 399,600 379,620 *# I-Sector Corporation 68,500 677,465 * Ico, Inc. 264,300 319,803 * Identix, Inc. 162,454 841,512 * IDT Corp. 607,422 11,419,534
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SHARES VALUE+ ------ ------ *# IDT Corp. Class B 118,400 $ 2,288,672 * iGate Capital Corp. 555,429 3,532,528 Ikon Office Solutions, Inc. 1,708,800 14,473,536 * Illumina, Inc. 329,800 2,262,428 * Image Entertainment, Inc. 29,400 144,060 # IMC Global, Inc. 587,325 4,269,853 * IMCO Recycling, Inc. 381,900 2,883,345 * ImmunoGen, Inc. 312,746 1,479,289 * Impco Technologies, Inc. 227,000 1,486,850 * Imperial Sugar Co. 16,356 181,388 *# Imperial Sugar Company 282,800 0 * Impreso, Inc. 6,500 11,895 * Incyte Genomics, Inc. 843,721 5,104,512 Independence Holding Co. 57,860 1,328,176 * Industrial Distribution Group, Inc. 172,400 818,900 # IndyMac Bancorp, Inc. 20,400 603,840 *# Infocrossing, Inc. 23,000 229,747 * InFocus Corp. 1,025,257 8,120,035 * Infonet Services Corp. 72,800 138,320 * Informatica Corp. 13,400 151,152 * Information Holdings, Inc. 37,574 836,021 * Information Resources, Inc. 96,000 470,400 * Inforte Corp. 138,500 1,191,100 * InfoSpace, Inc. 226,256 5,939,220 Ingles Market, Inc. Class A 265,159 2,678,106 * Innotrac Corp. 165,800 1,507,122 * Innovative Clinical Solutions, Ltd. 8,426 72 * Innovex, Inc. 52,100 489,740 * Input/Output, Inc. 692,700 2,708,457 * Insight Communications Co., Inc. 640,489 6,238,363 * Insight Enterprises, Inc. 436,446 8,161,540 * Insilco Holding Co. 432 108 * Insituform East, Inc. 31,200 47,424 * Insmed, Inc. 38,125 112,850 * Insteel Industries, Inc. 74,100 62,985 * Instinet Group, Inc. 484,500 2,596,920 * Insurance Auto Auctions, Inc. 299,351 3,801,758 * InsWeb Corp. 23,166 115,830 * IntegraMed America, Inc. 56,200 358,556 * Integrated Device Technology, Inc. 252,794 4,765,167 * Integrated Electrical Services, Inc. 941,100 7,378,224 * Integrated Information Systems, Inc. 7,220 2,527 * Integrated Silicon Solution, Inc. 240,722 4,501,501 * Integrated Telecom Express, Inc. 3,300 0 * Integrity Media, Inc. 23,100 138,600 * Intelligent Systems Corp. 52,375 95,322 * Intelligroup, Inc. 78,300 413,424 * InterCept Group, Inc. 520,151 5,497,996 * Interface, Inc. Class A 1,063,204 6,049,631 * Interland, Inc. 59,119 404,965 Intermet Corp. 642,488 3,128,917 International Aluminum Corp. 55,800 1,422,900 * International Remote Imaging Systems, Inc. 6,200 30,938 * International Shipholding Corp. 80,650 1,088,775 *# Internet Commerce Corp. 50,000 48,000 * Internet Pictures Corp. 7,500 16,650 Interpool, Inc. 591,600 8,992,320 * Interstate Hotels & Resorts, Inc. 18,140 97,593 * Interwoven, Inc. 115,875 1,735,807 * Intest Corp. 8,500 47,940 * Intrusion, Inc. 94,400 $ 70,800 * Intuitive Surgical, Inc. 7,148 109,150 Investors Title Co. 18,200 556,920 * Invivo Corp. 50,950 1,078,153 Iomega Corp. 951,500 5,223,735 *# Ionics, Inc. 456,400 14,673,260 * Iridex Corp. 89,000 488,165 Isco, Inc. 86,900 846,406 * ITLA Capital Corp. 147,000 7,382,340 * ITXC Corp. 524,620 2,072,249 * iVillage, Inc. 100 250 * IXYS Corp. 118,419 994,720 * J Net Enterprises, Inc. 108,700 125,005 * J. Alexander's Corp. 89,800 673,500 Jacksonville Bancorp, Inc. 16,300 608,886 * Jaclyn, Inc. 26,900 127,775 * Jaco Electronics, Inc. 105,669 744,966 * Jacuzzi Brands, Inc. 1,157,300 7,464,585 * Jakks Pacific, Inc. 639,348 8,688,739 * JDA Software Group, Inc. 231,345 4,215,106 JLG Industries, Inc. 224,300 3,373,472 * JLM Industries, Inc. 128,200 176,275 * Jo-Ann Stores, Inc. 19,500 390,975 * Johnson Outdoors, Inc. 121,800 1,760,010 * JPS Industries, Inc. 43,200 94,176 * Jupitermedia Corp. 73,900 373,195 * K-Tron International, Inc. 6,300 106,848 * K2, Inc. 541,497 8,284,904 * Kadant, Inc. 301,560 5,413,002 * Kaiser Aluminum Corp. 1,269,865 101,589 Kaman Corp. Class A 591,312 7,610,185 *# Kansas City Southern Industries, Inc. 1,604,200 21,335,860 * Katy Industries, Inc. 133,000 817,950 * KBK Capital Corp. 12,075 23,546 * KCS Energy, Inc. 177,100 1,604,526 *# Keane, Inc. 209,200 2,949,720 * Keith Companies, Inc. 17,890 255,111 Kellwood Co. 268,017 10,248,970 Kelly Services, Inc. 13,100 373,088 *# Kemet Corp. 1,408,184 18,588,029 * Kendle International, Inc. 273,519 1,873,605 * Kennedy-Wilson, Inc. 43,900 265,156 Kewaunee Scientific Corp. 31,100 351,430 * Key Technology, Inc. 32,400 451,008 * Key Tronic Corp. 151,900 324,914 * Keynote Systems, Inc. 288,000 3,553,920 * Keystone Consolidated Industries, Inc. 18,342 2,293 * Kforce, Inc. 576,378 4,870,394 Kimball International, Inc. Class B 459,234 6,805,848 * Kindred Healthcare, Inc. 464,407 23,958,757 * Kit Manufacturing Co. 11,100 1 Klamath First Bancorp, Inc. 135,000 3,462,750 Knape & Vogt Manufacturing Co. 37,434 421,507 * Knight Trading Group, Inc. 462,429 6,672,850 * Koala Corp. 44,700 5,140 * Korn/Ferry International 64,600 647,938 * Kulicke & Soffa Industries, Inc. 32,000 527,360 Labranche & Co., Inc. 216,840 1,793,267 * LaCrosse Footwear, Inc. 29,400 161,700 Ladish Co., Inc. 298,310 2,449,125 * Lakes Entertainment, Inc. 116,425 1,676,404
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SHARES VALUE+ ------ ------ * Lamson & Sessions Co. 213,900 $ 1,251,315 * Lancer Corp. 108,400 595,116 Landamerica Financial Group, Inc. 484,012 24,878,217 Landry's Restaurants, Inc. 716,935 17,579,246 * Lantronix, Inc. 139,900 156,688 * Larscom, Inc. 8,457 42,792 * Latitude Communications, Inc. 33,000 128,700 * Lattice Semiconductor Corp. 465,780 4,410,937 Lawson Products, Inc. 196,500 6,667,245 * Layne Christensen Co. 185,700 1,931,280 * Lazare Kaplan International, Inc. 126,800 855,900 * LCC International, Inc. Class A 111,900 549,429 * Lesco, Inc. 217,900 2,782,583 *# Level 8 Systems, Inc. 5,966 2,327 * Lexent, Inc. 39,400 57,524 * Lexicon Genetics, Inc. 3,300 17,325 * Liberate Technologies, Inc. 662,100 2,433,217 Liberty Corp. 161,450 7,176,452 # Lifetime Hoan Corp. 145,000 2,030,000 * Lightbridge, Inc. 73,500 707,805 *# LightPath Technologies, Inc. 31,300 91,709 * Lipid Sciences, Inc. 87,400 216,752 Liquid Audio, Inc. 186,000 51,150 Lithia Motors, Inc. Class A 148,975 3,697,559 * LMI Aerospace, Inc. 29,100 52,089 # LNR Property Corp. 517,800 22,912,650 * Lodgenet Entertainment Corp. 26,000 469,300 * Lodgian, Inc. 2,834 17,684 * Logic Devices, Inc. 92,700 169,641 * LogicVision, Inc. 157,400 706,726 Lone Star Steakhouse & Saloon, Inc. 541,641 12,495,658 Longs Drug Stores Corp. 973,000 23,838,500 Longview Fibre Co. 1,285,440 14,101,277 * LOUD Technologies, Inc. 1,000 2,950 *# Louisiana-Pacific Corp. 1,981,800 35,850,762 LSB Corp. 3,500 60,728 LSI Industries, Inc. 48,368 602,182 * LTX Corp. 144,400 2,408,592 * Luby's, Inc. 526,900 1,981,144 Lufkin Industries, Inc. 104,500 2,715,955 * Lydall, Inc. 335,900 4,111,416 * Lynch Corp. 6,200 66,247 * M & F Worldwide Corp. 269,400 3,731,190 * Mac-Gray Corp. 287,700 1,438,500 *# Magic Lantern Group, Inc. 28,600 39,754 *# Magna Entertainment Corp. 164,800 774,560 * Magnetek, Inc. 585,500 3,776,475 * Magnum Hunter Resources, Inc. 1,268,928 11,407,663 * MAII Holdings, Inc. 62,700 8 * Mail-Well, Inc. 599,100 2,264,598 * Main Street & Main, Inc. 145,430 356,303 Maine & Maritimes Corp. 400 13,800 * MAIR Holdings, Inc. 355,072 2,702,098 * Management Network Group, Inc. 75,250 242,907 * Manchester Technologies, Inc. 178,200 588,060 * Manning (Greg) Auctions, Inc. 500 5,625 * Manufacturers' Services Ltd. 17,300 105,530 * Manugistic Group, Inc. 469,261 3,125,278 * Mapinfo Corp. 134,335 1,188,865 * Marimba, Inc. 60,600 311,484 * MarineMax, Inc. 31,201 592,819 * Marisa Christina, Inc. 94,000 $ 150,400 Maritrans, Inc. 108,400 1,800,524 *# MarketWatch.com, Inc. 218,100 1,932,366 * MarkWest Hydrocarbon, Inc. 171,050 1,967,075 * Marlton Technologies, Inc. 96,500 52,592 Marsh Supermarkets, Inc. Class A 36,900 405,531 Marsh Supermarkets, Inc. Class B 59,400 653,400 MASSBANK Corp. 63,149 2,548,694 Massey Energy Co. 1,766,200 24,550,180 * Mastec, Inc. 600,900 7,979,952 * Material Sciences Corp. 369,667 3,508,140 * Matria Healthcare, Inc. 214,294 4,378,026 * Matrix Bancorp, Inc. 5,000 45,700 * Mattson Technology, Inc. 495,587 7,607,260 * Maxco, Inc. 38,500 101,062 Maxcor Financial Group, Inc. 34,700 454,570 * Maxicare Health Plans, Inc. 44,800 11,200 *# Maxim Pharmaceuticals, Inc. 342,410 2,437,959 * Maxwell Shoe Company, Inc. 113,850 2,002,621 * Maxwell Technologies, Inc. 73,500 591,675 * Maxxam, Inc. 105,500 1,688,000 * Maxygen, Inc. 104,066 1,129,116 * Mayor's Jewelers, Inc. 293,900 220,425 McRae Industries, Inc. Class A 32,700 299,205 *# MCSI, Inc. 27,200 258 * Meade Instruments Corp. 372,585 1,564,857 * Meadow Valley Corp. 44,064 72,662 * Meadowbrook Insurance Group, Inc. 269,200 1,076,800 * Medarex, Inc. 505,842 3,439,726 * MedCath Corp. 85,136 807,855 * Media 100, Inc. 7,800 5,850 * Media Arts Group, Inc. 139,800 550,812 Media General, Inc. Class A 45,600 3,050,184 * Medialink Worldwide, Inc. 63,000 195,300 * Medical Resources, Inc. 1,619 0 * Medicore, Inc. 58,600 135,073 * Medquist, Inc. 403,000 6,202,170 * Medstone International, Inc. 72,600 342,745 *# Mens Warehouse, Inc. 10,800 331,884 Merchants Group, Inc. 23,900 581,606 * Mercury Air Group, Inc. 39,650 194,285 *# Meridian Resource Corp. 82,600 376,656 * Merisel, Inc. 3,600 21,240 * Merix Corp. 4,000 83,520 * Merrimac Industries, Inc. 35,170 209,261 Mesa Labs, Inc. 18,500 167,332 * Mestek, Inc. 13,500 253,800 * Meta Group, Inc. 10,600 59,572 * MetaSolv, Inc. 502,937 1,207,049 # Metris Companies, Inc. 1,474,200 6,574,932 *# Metro One Telecommunications, Inc. 272,704 529,046 * Metromedia International Group, Inc. 361,100 55,068 MFB Corp. 17,700 557,992 * MFRI, Inc. 59,900 159,933 MGP Ingredients, Inc. 112,300 1,325,140 * Michael Anthony Jewelers, Inc. 93,900 191,086 *# Micro Component Technology, Inc. 20,800 31,200 * Micro Linear Corp. 189,700 1,138,200 * MicroFinancial, Inc. 105,900 337,821 * Micros to Mainframes, Inc. 6,200 8,432 * Microtek Medical Holdings, Inc. 597,600 2,444,184
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SHARES VALUE+ ------ ------ * Microtune, Inc. 164,400 $ 360,036 Midland Co. 49,800 1,054,764 *# Midway Games, Inc. 493,600 1,668,368 * Midwest Express Holdings, Inc. 288,902 1,198,943 *# Mikohn Gaming Corp. 167,400 729,864 Milacron, Inc. 791,300 1,835,816 Millennium Chemicals, Inc. 528,950 5,723,239 * Miller Industries, Inc. 159,210 987,102 * Millerbuilding Systems Escrow Shares 46,200 13,860 * Miltope Group, Inc. 53,600 322,672 Minuteman International, Inc. 9,000 83,070 * MIPS Technologies, Inc. 317,800 1,732,010 * Misonix, Inc. 84,300 343,185 * Mission Resources Corp. 344,250 619,650 * Mississippi Chemical Corp. 94,000 7,520 * Mitcham Industries, Inc. 143,100 294,786 * MKS Instruments, Inc. 64,120 1,776,765 * Mobile Mini, Inc. 371,864 7,336,877 * Modem Media, Inc. 1,500 9,465 Modine Manufacturing Co. 140,762 3,590,839 * Mod-Pac Corp. 9,843 77,071 * Mod-Pac Corp. Class B 3,878 30,365 * Modtech Holdings, Inc. 282,414 2,341,212 * Moldflow Corp. 51,400 578,250 * Mondavi (Robert) Corp. Class A 248,803 8,708,105 *# Mony Group, Inc. 34,200 1,077,984 * Moog, Inc. Class A 19,200 835,200 * Moore Handley, Inc. 2,000 3,600 * Moore Medical Corp. 43,300 290,110 * Motor Car Parts & Accessories, Inc. 71,200 400,856 Movado Group, Inc. 211,250 5,743,887 * MPS Group, Inc. 2,664,200 24,510,640 * MRV Communications, Inc. 713,600 2,861,536 * MSC Software Corp. 786,039 7,742,484 *# MTI Technology Corp. 300 735 MTS Systems Corp. 160,910 2,988,099 Mueller (Paul) Co. 2,300 91,678 * Mueller Industries, Inc. 437,388 14,136,380 Myers Industries, Inc. 87,394 1,095,047 * Nabi Biopharmaceuticals 517,952 5,578,343 Nacco Industries, Inc. Class A 116,800 9,110,400 *# Nanogen, Inc. 190,300 627,990 * Nanometrics, Inc. 236,130 3,447,498 *# Napco Security Systems, Inc. 49,800 404,625 Nash-Finch Co. 271,607 5,462,017 * Nashua Corp. 116,000 1,018,480 * NATCO Group, Inc. Class A 30,800 184,800 * Nathans Famous, Inc. 107,000 554,260 * National Equipment Services, Inc. 94,800 6,636 * National Home Health Care Corp. 53,533 473,232 National Presto Industries, Inc. 135,950 4,839,820 * National Research Corp. 75,900 1,175,615 * National RV Holdings, Inc. 157,150 1,689,362 * National Steel Corp. Class B 45,415 182 * National Technical Systems, Inc. 128,684 738,646 * National Western Life Insurance Co. Class A 24,300 3,552,781 * Natrol, Inc. 122,500 355,250 * Natural Alternatives International, Inc. 82,100 486,853 * Natus Medical, Inc. 159,600 600,096 * Navidec, Inc. 5,188 5,577 *# Navigant International, Inc. 402,698 $ 5,597,502 * Navigators Group, Inc. 8,200 260,842 * NCI Building Systems, Inc. 451,400 10,513,106 * NCO Group, Inc. 590,226 13,634,221 * NCO Portfolio Management, Inc. 2,613 19,597 Nelson (Thomas), Inc. 19,900 350,240 *# Neoforma, Inc. 200,063 3,193,005 * NeoMagic Corp. 364,300 1,180,332 * Net2Phone, Inc. 485,033 3,055,708 NetBank, Inc. 302,082 3,957,274 * Netegrity, Inc. 85,850 1,051,662 * NetIQ Corp. 1,482,470 17,774,815 * NetManage, Inc. 84,416 455,846 * NetRatings, Inc. 665,106 6,730,873 * Netscout System, Inc. 40,717 355,052 * Network Equipment Technologies, Inc. 401,300 4,173,520 * Neurogen Corp. 58,690 374,501 * New Brunswick Scientific Co., Inc. 103,193 629,374 * New Focus, Inc. 1,288,009 6,298,364 * New Horizons Worldwide, Inc. 63,775 392,216 * Newport Corp. 503,509 8,574,758 * Niagara Corp. 132,200 372,804 Nitches, Inc. 4,047 18,819 * NMS Communications Corp. 466,800 2,730,780 * NMT Medical, Inc. 123,800 433,300 * Nobel Learning Communities, Inc. 83,500 409,150 * Noel Group, Inc. 95,400 286 # Noland Co. 3,000 111,195 * Norstan, Inc. 247,100 766,010 * North America Galvanizing & Coatings, Inc. 73,400 100,558 * North American Scientific, Inc. 88,435 884,350 North Central Bancshares, Inc. 39,900 1,536,549 Northeast Bancorp 21,200 429,300 Northeast Pennsylvania Financial Corp. 3,200 62,400 * Northland Cranberries, Inc. 50,400 36,288 Northrim BanCorp, Inc. 0 14 * Northwest Pipe Co. 91,500 1,354,200 *# Novamed Eyecare, Inc. 43,750 105,000 * Novell, Inc. 109,789 1,042,995 * NS Group, Inc. 300,200 2,242,494 * Nu Horizons Electronics Corp. 422,829 3,391,089 * Numerex Corp. Class A 77,800 303,420 * Nuvelo, Inc. 168,029 656,993 NWH, Inc. 52,900 1,027,847 * NYFIX, Inc. 307,596 2,562,275 Nymagic, Inc. 125,800 3,375,214 * O.I. Corp. 51,800 369,593 * OAO Technology Solutions, Inc. 32,600 101,712 * Obie Media Corp. 70,500 191,408 * Ocwen Financial Corp. 1,189,730 8,268,624 *# Odd Job Stores, Inc. 175,300 534,665 *# Officemax, Inc. 2,613,000 25,685,790 * Offshore Logistics, Inc. 582,600 14,710,650 *# Oglebay Norton Co. 65,800 122,388 Ohio Art Co. 3,500 47,390 * Ohio Casualty Corp. 1,557,604 26,494,844 * Oil States International, Inc. 94,781 1,190,449 Oil-Dri Corp. of America 47,700 715,023 * Olympic Steel, Inc. 210,600 1,188,837
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SHARES VALUE+ ------ ------ * Omega Protein Corp. 536,900 $ 3,355,625 * Omnova Solutions, Inc. 171,900 627,435 * Omtool, Ltd. 38,557 276,839 * On Assignment, Inc. 235,043 1,191,668 * On Command Corp. 37,500 69,563 * One Price Clothing Stores, Inc. 42,786 23,960 * Onyx Acceptance Corp. 107,900 1,189,058 * Opinion Research Corp. 89,900 509,733 * Oplink Communications, Inc. 158,500 378,815 * Opti, Inc. 168,800 239,696 * OpticNet, Inc. 28,750 29 * Optika, Inc. 72,100 313,635 * Orbital Sciences Corp. 75,700 694,169 * Oregon Steel Mills, Inc. 586,061 1,740,601 * Orthologic Corp. 376,600 2,719,052 *# OSI Systems, Inc. 60,164 1,117,847 Outlook Group Corp. 59,300 296,500 Overseas Shipholding Group, Inc. 926,975 26,094,346 * Owosso Corp. 89,000 7,120 * OYO Geospace Corp. 19,000 252,510 * Pacific Mercantile Bancorp 200 1,840 * Pacific Premier Bancorp, Inc. 26,840 259,006 * Pain Therapeutics, Inc. 141,500 863,150 * Palmone Inc. 72,510 1,085,475 * Palmsource Inc. 22,463 574,828 * Par Technology Corp. 158,900 1,260,077 * Paradyne Networks Corp. 11,500 52,785 Park Electrochemical Corp. 224,350 5,732,143 * Parker Drilling Co. 2,042,600 4,881,814 * Park-Ohio Holdings Corp. 187,935 1,377,564 Parkvale Financial Corp. 40,725 1,086,136 * Parlex Corp. 86,500 704,975 * Parlux Fragrances, Inc. 230,900 750,194 * Pathmark Stores, Inc. 667,738 4,847,778 Patrick Industries, Inc. 96,250 825,825 * Paula Financial, Inc. 90,600 140,430 * Paul-Son Gaming Corp. 35,400 211,692 * Paxson Communications Corp. 462,700 2,220,960 * Payless Cashways, Inc. 4,184 6 * PC Connection, Inc. 373,051 3,264,196 * PC Mall, Inc. 136,500 1,823,640 * PC-Tel, Inc. 278,000 2,488,100 * Pediatric Services of America, Inc. 88,400 769,080 * Peerless Manufacturing Co. 20,100 238,286 * Peerless Systems Corp. 120,900 411,060 * Pegasus Solutions, Inc. 113,541 1,348,867 * Pemstar, Inc. 394,690 1,484,034 Penford Corp. 79,800 1,151,514 *# Penn Treaty American Corp. 235,200 378,672 Penn Virginia Corp. 85,800 4,024,878 Penn-America Group, Inc. 210,975 3,082,345 Pep Boys - Manny, Moe & Jack 1,365,600 27,994,800 * Perceptron, Inc. 222,100 1,643,540 * Pericom Semiconductor Corp. 75,217 881,543 * Perini Corp. 71,100 640,611 * Per-Se Technologies, Inc. 364,566 5,122,152 * Petrocorp, Inc. 102,600 1,389,204 * Petroleum Development Corp. 275,464 3,911,589 * Pharmacopeia, Inc. 382,790 4,784,875 * Pharmacyclics, Inc. 408,753 2,616,019 * PharmChem, Inc. 54,000 15,120 Phillips-Van Heusen Corp. 537,900 $ 9,467,040 * Phoenix Technologies, Ltd. 72,798 634,071 * Photo Control Corp. 4,200 9,618 * Photronics, Inc. 140,754 2,599,726 * Piccadilly Cafeterias, Inc. 184,200 33,156 * Pico Holdings, Inc. 184,820 2,775,996 Pilgrims Pride Corp. Class B 882,900 13,199,355 Pinnacle Bancshares, Inc. 10,400 169,000 * Pinnacle Entertainment, Inc. 401,400 3,664,782 * Pixelworks, Inc. 3,100 40,920 * Plains Exploration & Production Co. 115,835 1,622,848 * PlanVista Corp. 302,298 574,366 * Plato Learning, Inc. 368,983 3,664,001 * Play By Play Toys and Novelties, Inc. 52,900 135 * Plexus Corp. 189,512 3,363,838 * PLX Technology, Inc. 81,828 769,183 # PMA Capital Corp. Class A 186,164 739,071 Pocahontas Bancorp, Inc. 69,800 984,180 * Point West Capital Corp. 14,300 1 * Polyone Corp. 473,800 2,819,110 Pomeroy IT Solutions, Inc. 321,022 4,690,131 Pope & Talbot, Inc. 373,300 5,058,215 Potlatch Corp. 402,300 12,974,175 * PowerCerv Corp. 20,666 1,653 * Power-One, Inc. 508,800 4,289,184 * Powerwave Technologies, Inc. 489,690 3,648,191 * PPT Vision, Inc. 89,000 96,120 * PRAECIS Pharmaceuticals, Inc. 784,501 5,962,208 * Premier Financial Bancorp 1,100 8,855 Presidential Life Corp. 762,667 11,058,672 *# PRG-Schultz International, Inc. 304,349 1,506,528 * Pricesmart, Inc. 33,250 226,067 * Prime Hospitality Corp. 1,163,052 12,816,833 * Prime Medical Services, Inc. 412,886 2,093,332 * Primus Knowledge Solutions, Inc. 117,500 522,875 * Printronix, Inc. 89,800 1,480,802 * Procom Technology, Inc. 5,400 2,403 * Procurenet, Inc. 22,400 22 Programmers Paradise, Inc. 86,900 618,728 * Progressive Software Holding, Inc. 5,680 6 * Protection One, Inc. 1,316,200 592,290 Proton Energy Systems, Inc. 581,195 1,522,731 * Provant, Inc. 121,400 121 Providence & Worcester Railroad Co. 47,100 427,668 Provident Financial Holdings, Inc. 36,800 1,233,168 * Province Healthcare Co. 534,813 8,198,683 * PSS World Medical, Inc. 847,300 8,684,825 * Psychiatric Solutions, Inc. 35,000 532,700 * PTEK Holdings, Inc. 584,400 5,095,968 Pulitzer, Inc. 37,100 1,966,300 * Pure World, Inc. 100,500 228,135 Pyramid Breweries, Inc. 110,100 350,118 * QEP Co., Inc. 29,000 342,200 Quaker Fabric Corp. 398,983 3,483,122 * Quality Dining, Inc. 217,600 628,864 Quanex Corp. 337,002 13,321,689 * Quanta Services, Inc. 998,550 7,638,908 * Quicklogic Corp. 109,100 680,784 * Quigley Corp. 22,100 187,629 * Quovadx, Inc. 405,100 1,972,837 * R & B, Inc. 122,500 1,715,000
149
SHARES VALUE+ ------ ------ * Radiologix, Inc. 115,100 $ 351,055 * Rag Shops, Inc. 55,755 189,009 * Railamerica, Inc. 789,865 8,964,968 * Range Resources Corp. 731,991 5,782,729 * RCM Technologies, Inc. 234,100 1,704,248 * Reading International, Inc. Class A 213,799 1,334,106 * Reading International, Inc. Class B 14,660 86,494 * RealNetworks , Inc. 300 1,791 *# Redhook Ale Brewery, Inc. 126,500 376,844 * Refac 11,357 56,842 Regal-Beloit Corp. 345,283 7,130,094 * Regent Communications, Inc. 670,797 4,366,888 * Register.Com, Inc. 78,955 382,932 * Reliability, Inc. 100,400 109,436 Reliance Steel & Aluminum Co. 332,283 9,795,703 *# Reliant Resources, Inc. 52,300 343,088 * Relm Wireless Corp. 59,254 89,474 * Remec, Inc. 602,650 6,761,733 * RemedyTemp, Inc. 7,500 82,275 * Rentrak Corp. 63,000 503,370 * Rent-Way, Inc. 676,600 5,013,606 *# Reptron Electronics, Inc. 73,300 12,461 * Republic First Bancorp, Inc. 66,730 868,157 * Res-Care, Inc. 480,798 3,533,865 Resource America, Inc. 444,343 5,789,789 * Restoration Hardware, Inc. 48,080 294,730 * Retail Ventures Inc. 648,323 3,500,944 * Rex Stores Corp. 274,050 4,310,807 * Rexhall Industries, Inc. 38,798 113,096 * RF Monolithics, Inc. 121,000 1,061,170 Richardson Electronics, Ltd. 177,200 1,807,440 Riggs National Corp. 722,119 12,391,562 * Riverside Group, Inc. 3,200 59 * Riverstone Networks, Inc. 9,900 10,890 Riverview Bancorp, Inc. 58,300 1,246,454 * Riviera Holdings Corp. 5,500 29,948 * Riviera Tool Co. 16,500 74,415 * RMH Teleservices, Inc. 79,400 409,704 * Roadhouse Grill, Inc. 174,800 43,700 Roanoke Electric Steel Corp. 140,900 1,359,685 Robbins & Myers, Inc. 242,300 5,345,138 * Robotic Vision Systems, Inc. 70,000 46,550 * Rochester Medical Corp. 27,100 242,545 Rock of Ages Co. 87,600 507,204 Rock-Tenn Co. Class A 835,550 13,285,245 * Rocky Shoes & Boots, Inc. 72,000 1,245,600 * Rogue Wave Software, Inc. 147,100 966,447 Roto-Rooter, Inc. 43,600 1,604,916 * Rouge Industries, Inc. Class A 271,100 21,688 * RTI International Metals, Inc. 528,750 7,164,563 * RTW, Inc. 93,850 606,177 * Rubio's Restaurants, Inc. 74,243 449,170 Ruddick Corp. 30,891 522,058 * Rural/Metro Corp. 134,500 263,620 * Rush Enterprises, Inc. Class A 105,400 814,742 * Rush Enterprises, Inc. Class B 105,400 862,172 Russell Corp. 630,600 11,596,734 * Ryan's Family Steak Houses, Inc. 351,500 5,216,260 Ryerson Tull, Inc. 584,739 5,268,498 * S&K Famous Brands, Inc. 78,600 1,405,368 * Safeguard Scientifics, Inc. 762,500 2,607,750 * SafeNet, Inc. 735 $ 24,431 * Safety Components International, Inc. 1,155 13,629 *# Salton, Inc. 287,400 3,868,404 Sanders Morris Harris Group, Inc. 26,700 265,665 * Sands Regent Casino Hotel 15,492 64,137 * Sangamo BioSciences, Inc. 19,700 89,832 * Sapient Corp. 600 3,372 *# Satcon Technology Corp. 101,000 262,600 Saucony, Inc. Class A 35,800 607,884 Saucony, Inc. Class B 48,400 803,440 Sauer-Danfoss, Inc. 92,400 1,478,400 * SBS Technologies, Inc. 219,074 3,209,434 * ScanSoft, Inc. 73,525 441,150 * Scheid Vineyards, Inc. 34,100 143,391 * Schieb (Earl), Inc. 75,600 199,962 * Schlotzskys, Inc. 164,000 413,280 Schnitzer Steel Industries, Inc. Class A 156,900 8,489,859 * Schuff International, Inc. 106,600 152,438 # Schulman (A.), Inc. 252,583 4,937,998 Schweitzer-Maudoit International, Inc. 30,500 845,460 * SCM Microsystems, Inc. 300,372 2,493,088 Scope Industries, Inc. 8,100 614,790 SCPIE Holdings, Inc. 150,700 1,499,465 * SCS Transportation, Inc. 230,050 3,825,732 Seaboard Corp. 26,240 6,048,320 * Seabulk International, Inc. 30,300 265,125 * Seachange International, Inc. 4,200 63,210 Seacoast Financial Services Corp. 91,846 2,521,173 *# Seacor Smit, Inc. 487,966 18,611,023 * Secom General Corp. 11,500 14,835 * SED International Holdings, Inc. 11,350 30,078 * SEEC, Inc. 87,900 43,071 * Segue Software, Inc. 68,200 175,274 * Selas Corp. of America 76,500 211,140 * Selectica, Inc. 810,111 3,758,915 Selective Insurance Group, Inc. 705,932 22,879,256 * Semitool, Inc. 421,900 4,801,222 *# SEMX Corp. 89,400 8,940 * Seneca Foods Corp. Class B 10,500 210,893 * Sequa Corp. Class A 94,900 4,531,475 * Sequa Corp. Class B 28,900 1,414,655 * Sequenom, Inc. 540,150 1,945,080 * SeraCare Life Sciences, Inc. 2,680 29,480 * Service Corp. International 4,638,700 22,961,565 * Servotronics, Inc. 400 1,240 * Shaw Group, Inc. 1,116,500 14,536,830 * Shells Seafood Restaurants, Inc. 42,100 27,997 * Shiloh Industries, Inc. 164,700 743,621 * Shoe Carnival, Inc. 241,800 4,371,744 * Shoe Pavilion, Inc. 9,500 12,113 * Sholodge, Inc. 71,600 313,250 * Shopko Stores, Inc. 757,800 12,617,370 * Sifco Industries, Inc. 74,715 261,503 * Sight Resource Corp. 75,200 4,700 * Sigmatron International, Inc. 16,800 425,208 * Silicon Graphics, Inc. 1,681,500 1,900,095 * Silicon Storage Technology, Inc. 311,664 4,229,280 Simmons First National Corp. Class A 68,600 1,819,958 * Simon Worldwide, Inc. 181,600 14,074 * Simula, Inc. 78,650 247,748 * Sinclair Broadcast Group, Inc. Class A 162,600 1,865,022
150
SHARES VALUE+ ------ ------ * Sipex Corp. 490,900 $ 4,614,460 * Sitel Corp. 469,800 1,104,030 * Six Flags, Inc. 1,879,700 12,687,975 * Skechers U.S.A., Inc. Class A 379,732 2,821,409 Skyline Corp. 118,700 3,810,270 *# Skyworks Solutions, Inc. 739,833 6,503,132 * Smart & Final Food, Inc. 307,100 2,803,823 * SmartDisk Corp. 73,400 23,855 * Smith & Wollensky Restaurant Group, Inc. 160,400 936,736 Smith (A.O.) Corp. 62,400 2,192,736 Smith (A.O.) Corp. Convertible Class A 70,050 2,461,557 * Smithway Motor Xpress Corp. Class A 73,800 87,822 * Sola International, Inc. 468,800 9,188,480 * Somera Communications, Inc. 17,400 24,708 Sonic Automotive, Inc. 337,493 7,576,718 * Sonic Foundry, Inc. 22,800 50,160 * Sonic Innovations, Inc. 1,600 9,760 * SonicWALL, Inc. 930,469 7,434,447 * Source Information Management, Inc. 175,700 1,702,533 * Sourcecorp, Inc. 309,030 7,558,874 South Jersey Industries, Inc. 221,591 8,730,685 * Southern Energy Homes, Inc. 180,800 479,120 * Southwall Technologies, Inc. 131,500 114,405 Southwest Gas Corp. 1,700 38,335 * Southwestern Energy Co. 469,900 9,590,659 * Spacehab, Inc. 122,200 124,644 Span-American Medical System, Inc. 24,000 290,400 * Spanish Broadcasting System, Inc. 473,000 4,753,650 * SPAR Group, Inc. 6,000 21,900 Spartan Motors, Inc. 25,395 241,253 * Spartan Stores, Inc. 183,196 897,660 * Sparton Corp. 120,503 1,317,101 * Spectrum Control, Inc. 173,800 1,237,630 * Speizman Industries, Inc. 40,400 15,352 * Spherion Corp. 1,263,789 11,298,274 * Spiegel, Inc. Class A Non-Voting 44,900 3,929 * Spinnaker Exploration Co. 812,166 21,392,452 * Sport Chalet, Inc. 45,900 428,706 * Sport Supply Group, Inc. 105,400 194,990 * Sport-Haley, Inc. 60,800 250,496 * Sports Club Co., Inc. 116,000 232,000 * SportsLine.Com, Inc. 227,300 247,757 *# SPS Technologies, Inc. 161,550 7,909,488 *# SR Telecom, Inc. 49,144 280,121 * SRI/Surgical Express, Inc. 52,500 347,813 St. Francis Capital Corp. 122,000 4,246,820 * Stamps.com, Inc. 573,853 3,586,581 Standard Commercial Corp. 296,980 6,192,033 * Standard Management Corp. 134,600 440,142 * Standard Microsystems Corp. 184,942 4,956,446 Standard Motor Products, Inc. Class A 193,350 1,943,168 Standard Pacific Corp. 401,800 20,061,874 Standard Register Co. 271,400 4,309,832 * Star Buffet, Inc. 7,200 29,340 * Star Multi Care Service, Inc. 6,344 888 Starrett (L.S.) Co. Class A 64,600 921,842 State Financial Services Corp. Class A 67,000 1,778,850 * Steel Dynamics, Inc. 926,786 18,554,256 Steel Technologies, Inc. 253,485 3,903,669 *# SteelCloud Co. 5,900 30,149 * Stein Mart, Inc. 140,010 $ 1,247,489 * Steinway Musical Instruments, Inc. 83,300 1,990,870 * Stellent, Inc. 437,500 4,318,125 Stepan Co. 128,900 3,230,234 Stephan Co. 51,500 220,420 Stewart & Stevenson Services, Inc. 699,500 9,820,980 * Stewart Enterprises, Inc. 2,694,197 12,581,900 * Stewart Information Services Corp. 434,400 16,780,872 * Stifel Financial Corp. 92,072 1,578,114 * Stillwater Mining Co. 583,800 4,915,596 * Stoneridge, Inc. 434,300 5,797,905 * StorageNetworks, Inc. 362,800 0 * StorageNetworks, Inc. Escrow Shares 362,800 9,832 Strategic Distribution, Inc. 65,178 978,322 * Stratos International, Inc. 101,733 761,980 * Stratus Properties, Inc. 94,450 999,281 Stride Rite Corp. 596,400 6,900,348 * Suburban Lodges of America, Inc. Escrow Shares 241,100 0 * Summa Industries, Inc. 41,700 366,960 * Sundance Homes, Inc. 40,500 263 * SunLink Health Systems, Inc. 65,400 184,428 *# Sunrise Senior Living, Inc. 551,200 19,027,424 Sunrise Telecom, Inc. 3,100 12,090 * Suntron Corp. 92,475 380,997 * Superior Consultant Holdings Corp. 3,900 18,564 *# Superior Telecom, Inc. 126,600 1,266 Superior Uniform Group, Inc. 136,400 2,228,776 Supreme Industries, Inc. 35,310 205,681 * Swift Energy Corp. 712,908 10,116,165 *# Switchboard, Inc. 12,300 82,410 SWS Group, Inc. 267,400 5,029,794 * Sycamore Networks, Inc. 1,027,312 5,465,300 * Sykes Enterprises, Inc. 279,242 2,552,272 * Sylvan, Inc. 99,900 1,207,292 * Symmetricom, Inc. 651,019 4,579,268 * Syms Corp. 343,900 2,386,666 * Synalloy Corp. 88,350 605,198 Sypris Solutions, Inc. 47,108 643,024 * Systemax, Inc. 408,500 2,961,625 * T-3 Energy Services, Inc. 880 5,086 * Taitron Components, Inc. 6,500 15,275 Tandy Brand Accessories, Inc. 63,700 955,500 *# Tarrant Apparel Group 29,800 119,200 Tasty Baking Co. 26,500 223,925 TB Woods Corp. 92,900 733,910 * TBA Entertainment Corp. 132,500 84,138 * TEAM America, Inc. 2,500 25 * TeamStaff, Inc. 86,000 190,060 * Technical Communications Corp. 6,300 28,350 Technology Research Corp. 65,400 1,008,468 * Technology Solutions Corp. 64,000 74,880 * TechTeam Global, Inc. 253,200 1,709,100 Tecumseh Products Co. Class A 361,572 14,882,304 Tecumseh Products Co. Class B 15,600 624,000 *# Tegal Corp. 66,300 157,794 * Teletech Holdings, Inc. 91,306 917,625 * Telular Corp. 43,662 320,479 * Temtex Industries, Inc. 35,700 286 * Tenneco Automotive, Inc. 854,920 4,744,806 * Terayon Communication Systems, Inc. 121,300 725,374
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SHARES VALUE+ ------ ------ * Terex Corp. 1,124,413 $ 28,998,611 * Terra Industries, Inc. 1,617,500 5,224,525 * Tesoro Petroleum Corp. 1,680,000 21,302,400 Texas Industries, Inc. 548,162 16,011,812 TF Financial Corp. 36,000 1,237,320 * The Banc Corp. 45,900 400,248 * The Beard Co. 22,500 10,688 * The Dress Barn, Inc. 349,785 5,120,852 * The Hallwood Group, Inc. 100 2,072 The Marcus Corp. 493,800 7,382,310 * The Rowe Companies 9,400 27,777 * Theragenics Corp. 506,500 2,486,915 * TheStreet.com, Inc. 264,000 1,206,480 * Third Wave Technologies 166,200 714,660 # Thomas & Betts Corp. 81,500 1,695,200 * Three-Five Systems, Inc. 553,500 2,950,155 * TIBCO Software, Inc. 3,900 22,815 * Tickets.com, Inc. 14,500 6,888 * TII Network Technologies, Inc. 98,200 250,410 Timberland Bancorp, Inc. 56,400 1,371,084 * Timco Aviation Services, Inc. 11,922 5,365 * Time Warner Telecom, Inc. 151,575 1,599,116 Timken Co. 268,300 4,595,979 * Tipperary Corp. 126,900 347,706 Titan International, Inc. 260,900 500,928 *# Titan Pharmaceuticals, Inc. 188,798 522,970 * Titanium Metals Corp. 57,930 2,751,675 * TLC Vision Corp. 88,670 540,000 Todd Shipyards Corp. 81,450 1,470,173 * Todhunter International, Inc. 73,100 759,144 * Torch Offshore, Inc. 276,800 1,444,896 * Tower Automotive, Inc. 1,463,950 6,660,973 Traffix, Inc. 266,400 1,332,000 * Trailer Bridge, Inc. 111,200 668,312 * Trammell Crow Co. 116,400 1,565,580 * Trans World Entertainment Corp. 930,286 6,577,122 * Transcat, Inc. 60,000 200,400 * Transgenomic, Inc. 10,100 18,483 * Transkaryotic Therapies, Inc. 241,906 3,142,359 Trans-Lux Corp. 2,746 17,163 * Transmeta Corp. 59,900 197,670 * Transmontaigne Oil Co. 457,324 2,748,517 * Transport Corp. of America 20,000 141,000 * Transpro, Inc. 126,400 427,232 * Transtechnology Corp. 97,300 680,127 Tredegar Industries, Inc. 488,700 7,525,980 *# Trenwick Group, Ltd. 199,776 4,994 * Trestle Holdings Inc. 5,240 28,820 * Trico Marine Services, Inc. 618,200 791,296 # Trinity Industries, Inc. 1,046,100 27,146,295 * TriPath Imaging, Inc. 76,587 698,473 * Tripos, Inc. 7,200 49,752 * Triquint Semiconductor, Inc. 633,070 5,115,206 * Triumph Group 319,117 10,400,023 * TriZetto Group, Inc. 825,529 5,324,662 * TRM Corp. 98,200 680,526 * Trover Solutions, Inc. 123,200 853,160 * Trump Hotels & Casino Resorts, Inc. 358,700 566,746 * Tumbleweed Communications Corp. 37,100 308,301 * Turnstone Systems, Inc. 871,543 2,518,759 * Tut Systems, Inc. 13,500 67,635 * Tweeter Home Entertainment Group, Inc. 621,789 $ 5,198,156 Twin Disc, Inc. 37,200 667,926 * Twinlab Corp. 244,900 4,898 * Tyler Technologies, Inc. 131,300 1,102,920 * U.S. Concrete, Inc. 332,523 1,961,553 *# U.S. Diagnostic, Inc. 20,800 2 * U.S. Xpress Enterprises, Inc. Class A 163,490 2,182,592 * Ubics, Inc. 18,600 2,883 * UICI 1,206,600 16,663,146 * Ulticom, Inc. 210,100 2,273,282 UMB Financial Corp. 327,304 15,969,162 *# Unapix Entertainment, Inc. 9,300 38 * Unico American Corp. 72,700 384,220 * Unifi, Inc. 1,365,866 7,006,893 Unifirst Corp. 173,600 4,032,728 * Uni-Marts, Inc. 103,200 164,604 * Uniroyal Technology Corp. 3,700 0 * United American Healthcare Corp., 17,950 52,773 United Auto Group, Inc. 771,600 19,058,520 United Community Financial Corp. 593,021 6,653,696 United Fire & Casualty Co. 44,450 1,778,000 * United Rentals, Inc. 1,083,100 20,059,012 * United Retail Group, Inc. 248,417 794,934 * United Road Services, Inc. 5,380 915 * Universal Access Global Holdings, Inc. 250 1,000 * Universal American Financial Corp. 122,111 1,271,176 * Universal Compression Holdings, Inc. 451,284 10,582,610 Universal Forest Products, Inc. 79,857 2,430,847 * Universal Stainless & Alloy Products, Inc. 118,900 1,002,327 Unizan Financial Corp. 17,031 366,167 * Unova, Inc. 603,100 14,426,152 * Urologix, Inc. 108,400 613,544 * URS Corp. 589,199 13,433,737 * US Energy Corp. 25,700 70,161 * US Liquids, Inc. 68,850 16,524 * US Oncology, Inc. 2,165,250 22,042,245 * USA Truck, Inc. 71,600 771,848 Usec, Inc. 1,911,302 14,392,104 USF Corp. 619,332 20,456,536 * V.I. Technologies, Inc. 100 68 * Vail Resorts, Inc. 540,973 8,239,019 # Valeant Pharmaceuticals International 497,500 11,895,225 *# Valence Technology, Inc. 4,800 17,280 Valhi, Inc. 221,452 3,060,467 * Valley National Gases, Inc. 13,800 87,561 * Valpey Fisher Corp. 10,350 32,706 * ValueClick, Inc. 230,500 1,924,675 * Valuevision Media, Inc. Class A 20,600 319,300 * Vans, Inc. 465,470 5,958,016 * Variflex, Inc. 68,100 422,901 *# Vascular Solutions, Inc. 21,400 133,964 * Vastera, Inc. 616,518 2,404,420 * Veeco Instruments, Inc. 377,439 11,134,451 * Verilink Corp. 110,800 870,888 * Veritas DGC, Inc. 871,100 7,848,611 * Verso Technologies, Inc. 322,228 1,240,578 * Verticalbuyer Inc. 7,773 89 Vesta Insurance Group, Inc. 674,700 2,374,944 * Vical, Inc. 317,533 1,594,016
152
SHARES VALUE+ ------ ------ * Vicon Industries, Inc. 71,500 $ 296,010 * Vicor Corp. 173,711 1,997,677 *# Video Display Corp. 60,140 733,708 *# Viewpoint Corp. 1,400 1,106 * Vignette Corp. 927,600 2,142,756 * Viisage Technology, Inc. 14,600 56,210 Vintage Petroleum, Inc. 1,670,735 17,392,351 Virco Manufacturing Corp. 60,786 347,088 Visteon Corp. 1,908,165 14,979,095 * Visual Networks, Inc. 26,900 44,654 *# Vitech America, Inc. 700 2 * Vitesse Semiconductor, Inc. 132,600 967,980 * Volt Information Sciences, Inc. 406,700 8,296,680 Vulcan International Corp. 11,200 464,240 * Vyyo, Inc. 92,721 650,901 Walter Industries, Inc. 66,577 814,902 *# Warnaco Group, Inc. 119,700 120 Washington Savings Bank FSB 37,650 363,323 Waste Industries USA, Inc. 238,100 2,177,425 * WatchGuard Technologoes, Inc. 802,220 4,981,786 * Water Pik Technologies, Inc. 76,400 970,280 * Waterlink, Inc. 248,300 13,657 Watsco, Inc. Class A 367,500 8,540,700 Watts Water Technologies, Inc. 233,800 4,792,900 Wausau-Mosinee Paper Corp. 883,800 10,870,740 Waypoint Financial Corp. 25,994 558,091 * Webb Interactive Services, Inc. 4,200 4,200 * Webco Industries, Inc. 93,900 319,260 * Weider Nutrition International, Inc. 166,500 792,540 # Wellco Enterprises, Inc. 4,600 48,990 Wellman, Inc. 833,400 7,250,580 * Wells-Gardner Electronics Corp. 58,325 211,137 * WESCO International, Inc. 12,726 113,898 West Pharmaceutical Services, Inc. 151,700 5,157,800 * Westaff, Inc. 23,700 48,585 Westbank Corp. 1,470 27,048 * Westcoast Hospitality Corp. 290,000 1,421,000 Western Ohio Financial Corp. 23,400 752,778 * Western Power & Equipment Corp. 4,091 1,595 * Whitehall Jewelers, Inc. 95,600 1,014,316 *# WHX Corp. 114,633 259,071 * Wickes, Inc. 49,400 26,182 * Williams Industries, Inc. 3,400 11,968 * Willis Lease Finance Corp. 132,900 897,075 * Wilshire Financial Services Group, Inc. 2,092 11,590 * Wilshire Oil Co. of Texas 113,590 733,791 * Wilsons The Leather Experts, Inc. 377,175 2,342,257 * Wind River Systems, Inc. 240,920 1,568,389 * Wireless WebConnect!, Inc. 4,500 12 * Wiser Oil Co. 193,275 1,362,589 * Wolverine Tube, Inc. 302,100 1,589,046 Woodhead Industries, Inc. 15,900 269,982 Woodward Governor Co. 32,066 1,599,452 * Workflow Management, Inc. 278,523 1,381,474 * Worldwide Restaurant Concepts, Inc. 291,500 851,180 * Xanser Corp. 259,400 606,996 * Xeta Corp. 8,500 51,850 * Zapata Corp. 31,610 1,667,428 Ziegler Co., Inc. 8,200 113,980 *# Zoltek Companies, Inc. 281,032 1,222,489 * Zomax, Inc. 252,509 1,358,498 * Zonagen, Inc. 5,900 $ 11,151 * Zones, Inc. 173,400 216,750 * Zoran Corp. 53,196 976,679 * Zygo Corp. 344,986 5,609,472 * Zymetx, Inc. 16,400 1,599 --------------- TOTAL COMMON STOCKS (Cost $3,629,226,237) 4,456,124,265 --------------- RIGHTS/WARRANTS -- (0.0%) * American Banknote Corp. Warrants Series 1 10/01/07 257 0 * American Banknote Corp. Warrants Series 2 10/10/07 257 0 *# Angeion Corp. Warrants 10/31/07 315 0 * Chart Industries, Inc. Warrants 09/15/10 3 12 * Chiquita Brands International, Inc. Warrants 03/19/09 142,110 895,293 * CSF Holding, Inc. Litigation Rights 40,500 0 * Del Global Technologies Corp. Warrants 03/28/08 19,927 8,967 * Imperial Credit Industries, Inc. Warrants 01/31/08 4,082 0 * Imperial Sugar Co. Warrants 08/29/08 9,694 12,796 * Lodgian, Inc. Class A Warrants 11/25/07 3,433 1,047 * Lodgian, Inc. Class B Warrants 11/25/09 10,609 3,342 * Magnum Hunter Resources Warrants 03/21/05 9,740 3,799 * PMR Corp. Contingent Value Rights 08/05/04 105,000 105 * Timco Aviation Services Warrants 02/27/07 25,879 3 --------------- TOTAL RIGHTS/WARRANTS (Cost $6,107,175) 925,364 --------------- FACE AMOUNT ------ (000) BONDS -- (0.0%) Del Global Technologies Corp. Subordinated Promissory Note * 6.000%, 03/28/07 $ 40 0 Timco Aviation Services, Inc. Jr Subordinated Note * 8.000%, 01/02/07 5 0 --------------- TOTAL BONDS (Cost $0) 0 --------------- TEMPORARY CASH INVESTMENTS -- (7.3%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $63,771,000 FMC Discount Notes 1.11%, 03/25/04, valued at $65,531,859) to be repurchased at $62,596,277 (Cost $62,592,000) 62,592 62,592,000
153
FACE AMOUNT VALUE+ ------ ------ (000) Repurchase agreements in a Pooled Cash Account, UBS Warburg and Deutsche Bank Securities Inc., 1.01% and 1.02% respectively, 12/01/03 (Collateralized by $232,907,000 U.S. Treasury Obligations, rates ranging from 5.50% to 8.875%, maturities ranging from 08/15/04 to 05/15/30, valued at $288,146,571) to be repurchased at $280,787,958 (Cost $280,764,200)^ $ 280,764 $ 280,764,200 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $343,356,200) 343,356,200 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,978,689,612)++ $ 4,800,405,829 ===============
---------- + See Note B to Financial Statements. * Non-Income Producing Securities # Total or Partial Securities on Loan ^ Security purchased with cash proceeds from securities on loan ++ The cost for federal income tax purposes is $3,981,240,475. See accompanying Notes to Financial Statements. 154 THE U.S. SMALL CAP SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ COMMON STOCKS -- (91.0%) * 1-800 CONTACTS, Inc. 19,654 $ 415,682 * 1-800-FLOWERS.COM, Inc. 41,597 487,101 1st Source Corp. 28,641 642,990 # 21st Century Holding Co. 1,100 16,929 * 24/7 Real Media, Inc. 15,900 24,009 * 3-D Systems Corp. 11,500 104,650 * 4Kids Entertainment, Inc. 19,800 531,630 * 7-Eleven, Inc. 134,600 2,207,440 *# 8X8, Inc. 19,200 144,192 * @Road, Inc. 79,200 997,128 * A. B. Watley Group, Inc. 9,400 2,162 * A.C. Moore Arts & Crafts, Inc. 28,900 634,933 * A.D.A.M., Inc. 700 1,512 *# aaiPharma, Inc. 47,250 859,005 * Aames Financial Corp. 240 761 * AAON, Inc. 13,100 246,804 * AAR Corp. 46,883 490,396 Aaron Rents, Inc. Class A 5,700 113,202 Aaron Rents, Inc. Class B 21,600 457,920 * Abaxis, Inc. 18,300 370,392 ABC Bancorp 8,310 139,774 * Abgenix, Inc. 131,934 1,486,896 Abington Bancorp, Inc. 3,200 122,112 *# Abiomed, Inc. 31,570 233,271 * Ablest, Inc. 2,100 11,445 ABM Industries, Inc. 74,100 1,174,485 Abrams Industries, Inc. 200 830 * ABX Air, Inc. 66,600 263,070 * Acacia Research-Acacia Technologies Common Stock 20,960 115,280 * Acacia Research-CombiMatrix Corp. 10,434 42,049 * Access Pharmaceuticals, Inc. 14,400 68,400 *# Acclaim Entertainment, Inc. 55,700 36,205 * Accredo Health, Inc. 49,137 1,443,589 * Ace Cash Express, Inc. 10,100 194,819 * Ace Comm Corp. 7,500 18,150 Aceto Corp. 15,500 299,134 * Aclara Biosciences, Inc. 49,571 158,627 * Acme Communications, Inc. 24,600 209,100 * Acme United Corp. 3,400 17,850 * ACT Manufacturing, Inc. 4,600 92 * ACT Teleconferencing, Inc. 14,400 23,760 * Actel Corp. 37,400 1,025,134 * Acterna Corp. 122,100 3,052 Action Performance Companies, Inc. 26,800 520,456 * ActivCard Corp. 59,991 521,322 * Active Power, Inc. 63,100 212,016 * Activision, Inc. 123,343 1,887,148 * Actuant Corp. 35,280 1,095,444 * Actuate Corp. 90,600 285,390 Acuity Brands, Inc. 27,700 660,645 * Acxiom Corp. 4,000 66,440 * Adams Resources & Energy, Inc. 4,200 48,804 * Adaptec, Inc. 162,200 1,428,982 * ADE Corp. 13,300 334,495 * Adept Technology, Inc. 7,100 12,780 * Administaff, Inc. 39,300 587,928 * Adolor Corp. 69,800 $ 1,377,154 * Advanced Digital Information Corp. 94,200 1,429,014 * Advanced Energy Industries, Inc. 48,400 1,277,760 *# Advanced Magnetics, Inc. 6,600 94,050 Advanced Marketing Services, Inc. 28,550 332,607 * Advanced Materials Group, Inc. 237 69 * Advanced Medical Optics, Inc. 43,600 859,356 * Advanced Neuromodulation Systems, Inc. 29,000 1,223,510 * Advanced Nutraceuticals, Inc. 700 343 * Advanced Photonix, Inc. Class A 9,000 22,590 * Advanced Power Technology, Inc. 15,600 128,076 Advanta Corp. Class A 14,717 184,698 Advanta Corp. Class B Non-Voting 24,994 320,923 * Advent Software, Inc. 48,700 852,737 Advo, Inc. 44,850 1,354,918 * Aehr Test Systems 7,100 27,470 * AEP Industries, Inc. 12,300 88,929 * AeroCentury Corp. 300 936 * Aeroflex, Inc. 98,950 1,255,675 * Aeropostale, Inc. 55,600 1,734,164 *# Aerosonic Corp. 3,900 44,265 * Aether Systems, Inc. 63,842 317,295 * Aetrium, Inc. 9,300 33,015 * AFC Enterprises, Inc. 39,800 686,550 * Affiliated Managers Group, Inc. 26,100 1,735,650 * Affinity Technology Group, Inc. 29,100 2,561 * Aftermarket Technology Corp. 36,300 483,153 * AG Services America, Inc. 5,400 45,630 * Agile Software Corp. 77,000 846,230 *# Agility Capital, Inc. 5,900 38 Agilysys, Inc. 47,488 534,715 * Air Methods Corp. 13,400 121,270 Airgas, Inc. 62,500 1,211,250 * Airnet Systems, Inc. 10,100 35,249 * Airspan Networks, Inc. 23,000 55,430 * Airtran Holdings, Inc. 124,100 1,831,716 * AK Steel Holding Corp. 162,400 487,200 *# Akamai Technologies, Inc. 179,200 2,404,864 * Akorn, Inc. 19,500 36,075 *# Aksys, Ltd. 44,600 322,904 Alabama National Bancorporation 17,900 966,600 Alamo Group, Inc. 12,500 184,125 * Alaris Medical, Inc. 107,200 1,705,552 * Alaska Air Group, Inc. 40,000 1,150,400 * Alaska Communications Systems Group, Inc. 22,200 110,756 Albany International Corp. Class A 41,872 1,298,451 * Albany Molecular Research, Inc. 47,678 672,260 Albemarle Corp. 61,900 1,751,770 * Alcide Corp. 2,300 35,558 * Alderwoods Group, Inc. 6,000 53,160 * Aldila, Inc. 4,633 16,447 Alexander & Baldwin, Inc. 53,800 1,692,548 * Alexion Pharmaceuticals, Inc. 32,700 613,125 Alfa Corp. 119,799 1,520,249 Alico, Inc. 7,000 244,300 *# Align Technology, Inc. 86,612 1,559,882
155
SHARES VALUE+ ------ ------ * Alkermes, Inc. 133,011 $ 1,739,784 * All American Semiconductor, Inc. 4,000 18,120 * Allegheny Energy, Inc. 168,700 1,813,525 Allegheny Technologies, Inc. 121,800 998,760 Allegiant Bancorp, Inc. 26,163 733,872 Allen Organ Co. Class B 800 38,200 * Alliance Gaming Corp. 69,060 1,809,372 * Alliance Imaging, Inc. 85,400 328,790 * Alliance Semiconductor Corp. 52,500 433,650 * Allied Defense Group, Inc. 6,200 130,386 * Allied Healthcare International, Inc. 19,300 107,308 * Allied Healthcare Products, Inc. 6,700 27,202 * Allied Holdings, Inc. 8,300 38,097 * Allied Motion Technologies, Inc. 2,900 12,847 * Allmerica Financial Corp. 64,500 1,764,075 *# Allos Therapeutics, Inc. 38,900 106,586 * Allou Health Care, Inc. Class A 7,100 362 * Alloy, Inc. 59,000 317,420 * Allscripts Healthcare Solutions, Inc. 57,900 314,397 * Almost Family, Inc. 1,600 13,520 * Alpha Technologies Group, Inc. 7,100 10,295 Alpharma, Inc. Class A 58,900 1,186,835 Alpine Group, Inc. 22,000 21,010 * Alteon, Inc. 61,700 104,273 *# Alterra Healthcare Corp. 23,700 3 * Altris Software, Inc. 1,202 673 Ambassadors Group, Inc. 9,800 209,524 Ambassadors, Inc. 9,800 128,184 * AMC Entertainment, Inc. 50,500 765,075 * Amcast Industrial Corp. 8,500 19,975 Amcol International Corp. 42,500 608,600 Amcore Financial, Inc. 37,460 1,020,785 * Amedisys, Inc. 1,400 19,404 * AMEN Properties, Inc. 1,975 3,713 *# Amerco, Inc. 13,900 379,192 * America Services Group, Inc. 9,400 311,140 * America West Holdings Corp. Class B 50,100 756,510 * American Banknote Corp. 88 58 American Biltrite, Inc. 3,400 22,882 * American Building Control, Inc. 14,000 23,800 # American Business Financial Services, Inc. 4,613 19,010 # American Capital Strategies, Ltd. 56,600 1,655,550 * American Claims Evaluation, Inc. 1,000 2,040 * American Dental Partners, Inc. 7,200 75,600 * American Eagle Outfitters, Inc. 39,800 734,310 * American Ecology Corp. 14,350 66,584 *# American Greetings Corp. Class A 78,700 1,662,144 *# American Healthways, Inc. 23,550 1,090,836 American Home Mortgage Holdings, Inc. 25,926 581,779 * American Indemnity Financial Escrow 800 800 * American Independence Corp. 8,400 91,056 * American Italian Pasta Co. 27,000 1,026,000 * American Locker Group, Inc. 300 3,645 * American Management Systems, Inc. 63,467 946,293 * American Medical Electronics, Inc. (Escrow-Bonus) 4,400 0 * American Medical Electronics, Inc. (Escrow-Earnings) 4,400 $ 0 * American Medical Security Group, Inc. 19,900 447,551 * American Medical Systems Holdings, Inc. 59,500 1,352,435 * American Pacific Corp. 7,100 67,095 * American Physicians Capital, Inc. 13,100 216,150 * American Physicians Services Group, Inc. 100 825 * American Retirement Corp. 25,000 77,500 * American Science & Engineering, Inc. 10,500 135,975 American Shared Hospital Services 3,700 22,940 American Software, Inc. Class A 26,700 164,205 American States Water Co. 22,950 556,996 * American Superconductor Corp. 39,500 417,120 * American Technical Ceramics Corp. 8,000 56,800 American Vanguard Corp. 414 13,248 * American West Bancorporation 3,229 72,330 American Woodmark Corp. 11,500 598,000 Americana Bancorp, Inc. 2,712 41,548 * America's Car-Mart, Inc. 11,200 328,832 *# Americredit Corp. 38,000 511,100 * AMERIGROUP Corp. 35,900 1,576,369 AmeriServe Financial, Inc. 20,100 100,500 * Ameristar Casinos, Inc. 39,700 923,422 Ameron International Corp. 7,800 257,400 # AmerUs Group Co. 46,844 1,684,042 *# Ames Department Stores, Inc. 12,800 19 Ametek, Inc. 36,300 1,716,990 * Amistar Corp. 1,600 3,296 * AML Communications, Inc. 7,800 9,438 * AMN Healthcare Services, Inc. 56,800 964,464 Ampco-Pittsburgh Corp. 9,600 102,912 * Ampex Corp. Class A 5,925 8,206 Amrep Corp. 6,500 100,750 * Amsurg Corp. 29,889 1,112,170 * Amtech Systems, Inc. 1,900 13,205 * Amwest Insurance Group, Inc. 1,394 11 * AMX Corp. 11,000 74,800 * Anacomp, Inc. 5 70 * Anadigics, Inc. 45,000 301,500 * Analex Corp. 21,800 73,902 Analogic Corp. 21,000 882,000 * Analysts International Corp. 35,500 110,050 *# Analytical Surveys, Inc. 730 2,059 * Anaren, Inc. 32,500 486,525 Anchor Bancorp Wisconsin, Inc. 35,140 881,663 Andersons, Inc. 8,200 137,678 *# Andrew Corp. 116,709 1,373,665 * Andrx Group 47,610 1,045,516 * Angeion Corp. 215 456 Angelica Corp. 12,400 256,060 * Angelo & Maxie's, Inc. 2,016 4,445 * Anika Therapeutics, Inc. 9,900 85,013 * Anixter International, Inc. 54,300 1,251,615 * Ann Taylor Stores Corp. 62,800 2,495,672 * Ansoft Corp. 18,400 229,448 * AnswerThink, Inc. 66,600 398,934 * Ansys, Inc. 22,600 872,134
156
SHARES VALUE+ ------ ------ * Anteon International Corp. 52,600 $ 2,007,216 * Anthony and Sylvan Pools Corp. 3,768 16,768 *# Antigenics, Inc. 59,213 730,688 * AP Pharma, Inc. 30,100 63,842 * APA Optics, Inc. 11,800 29,500 * APAC Teleservices, Inc. 106,450 299,124 *# Aphton Corp. 37,139 228,405 Apogee Enterprises, Inc. 41,200 487,396 Applica, Inc. 35,300 257,690 * Applied Extrusion Technologies, Inc. 18,300 45,567 * Applied Films Corp. 21,361 708,972 * Applied Imaging Corp. 15,800 22,120 Applied Industrial Technologies, Inc. 28,700 680,190 * Applied Innovation, Inc. 15,100 98,301 * Applied Molecular Evolution, Inc. 31,200 553,488 Applied Signal Technologies, Inc. 16,100 350,980 * Applix, Inc. 19,200 69,888 * Apria Healthcare Group, Inc. 54,100 1,466,651 * Apropos Technology, Inc. 26,900 107,600 Aptargroup, Inc. 38,500 1,344,035 * aQuantive, Inc. 89,425 925,549 * Aquila, Inc. 292,700 1,047,866 *# Aradigm Corp. 58,700 108,595 *# Arch Capital Group, Ltd. 18,400 680,064 Arch Chemicals, Inc. 33,022 755,874 # Arch Coal, Inc. 73,400 1,944,366 Arctic Cat, Inc. 22,430 533,161 *# Ardent Communications, Inc. 19,200 134 * Arena Pharmaceuticals, Inc. 42,378 291,984 * Argonaut Group, Inc. 32,101 513,616 * Argonaut Technologies, Inc. 12,000 15,120 * Argosy Gaming Corp. 43,800 1,109,892 * Ariad Pharmaceuticals, Inc. 68,200 562,650 * Ariba, Inc. 283,000 894,280 * Ark Restaurants Corp. 2,700 34,290 Arkansas Best Corp. 37,100 1,164,198 * Arlington Hospitality, Inc. 4,900 18,669 * Armor Holdings, Inc. 41,500 1,006,375 *# Armstrong Holdings, Inc. 4,400 3,828 *# Arotech Corp. 1,600 4,112 * Arqule, Inc. 34,274 168,628 * Array BioPharma, Inc. 47,315 248,404 Arrhythmia Research Technology, Inc. 1,800 25,020 * Arris Group, Inc. 119,300 769,485 Arrow Financial Corp. 9,941 275,863 Arrow International, Inc. 64,900 1,745,810 * Art Technology Group, Inc. 100,500 170,850 * Artesyn Technologies, Inc. 69,300 546,777 * Arthrocare Corp. 30,210 743,166 * Artisan Components, Inc. 33,200 686,211 * Artisoft, Inc. 2,400 10,320 * Arts Way Manufacturing Co., Inc. 200 981 * ASA International. Ltd. 640 1,510 ASB Financial Corp. 1,000 23,500 * Asbury Automotive Group, Inc. 43,100 719,770 * Ascential Software Corp. 75,379 1,907,089 * Ashworth, Inc. 18,671 152,169 * Ask Jeeves, Inc. 66,600 1,286,712 * Aspect Communications Corp. 81,500 $ 1,199,680 * Aspect Medical Systems, Inc. 29,100 276,741 * Aspen Technology, Inc. 59,979 461,239 * Aspeon, Inc. 900 9 * Astea International, Inc. 2,900 7,395 * Astec Industries, Inc. 28,600 377,234 Astro-Med, Inc. 4,200 67,914 * Astronics Corp. 5,500 27,197 * Astronics Corp. Class B 2,225 11,681 *# AstroPower, Inc. 6,550 4,716 * ASV, Inc. 14,400 407,808 * Asyst Technologies, Inc. 58,900 1,074,925 * ATA Holdings Corp. 10,900 99,190 * Atari, Inc. 178,709 732,707 * AtheroGenics, Inc. 54,800 783,640 * Atlantic American Corp. 21,100 55,915 * Atlantic Coast Airlines, Inc. 68,000 743,240 * Atlantic Premium Brands, Ltd. 2,000 3,600 * Atlantis Plastics, Inc. 3,300 36,036 *# Atlas Air Worldwide Holdings, Inc. 41,400 27,324 * ATMI, Inc. 46,300 1,064,900 Atmos Energy Corp. 63,400 1,562,810 * ATP Oil & Gas Corp. 36,700 185,702 Atrion Corp. 1,700 81,600 * Atrix Labs, Inc. 31,400 636,164 * ATS Medical, Inc. 2,200 8,272 * Atwood Oceanics, Inc. 19,900 511,231 * Audiovox Corp. Class A 28,900 400,843 * August Technology Corp. 25,000 500,000 * Ault, Inc. 4,500 12,150 * Aura Systems, Inc. 5,295 371 * Aurora Foods, Inc. 42,644 682 *# Authentidate Holding Corp. 35,400 450,288 * autobytel.com, Inc. 56,300 543,858 * Avalon Holding Corp. Class A 1,550 4,038 * Avanex Corp. 104,200 493,908 *# Avanir Pharmaceuticals Class A 58,000 84,100 * Avant Immunotherapeutics, Inc. 97,034 255,199 * Avatar Holdings, Inc. 8,700 294,495 * Avatech Solutions, Inc. 1,851 463 * Avi Biopharma, Inc. 46,800 229,320 * Aviall, Inc. 47,100 753,600 * Avici Systems Inc. 17,743 152,590 *# Avid Technology, Inc. 37,100 1,961,848 * Avigen, Inc. 30,100 195,650 Avista Corp. 72,400 1,277,136 * Avocent Corp. 52,600 2,014,054 * Avteam, Inc. Class A 11,400 12 * Aware, Inc. 34,059 113,416 * Axcelis Technologies, Inc. 148,300 1,701,001 *# Axonyx, Inc. 1,300 4,966 * Axsys Technologies, Inc. 4,700 65,377 * AXT, Inc. 32,500 111,150 * Aztar Corp. 51,100 1,136,975 * AZZ, Inc. 8,200 99,876 Badger Meter, Inc. 3,200 120,320 * Badger Paper Mills, Inc. 1,000 4,610 Bairnco Corp. 7,300 48,691 * Baker (Michael) Corp. 7,600 80,560 Balchem Corp. 4,700 107,630 Baldor Electric Co. 49,133 1,066,186
157
SHARES VALUE+ ------ ------ Baldwin & Lyons, Inc. Class B 12,625 $ 315,372 * Baldwin Technology, Inc. Class A 13,300 39,900 * Ballantyne Omaha, Inc. 11,900 24,990 * Bally Total Fitness Holding Corp. 50,400 352,800 * Bancinsurance Corp. 5,700 37,449 Bandag, Inc. 12,700 517,525 Bandag, Inc. Class A 9,600 370,560 Bank of Granite Corp. 16,400 392,616 Bank of The Ozarks 7,600 322,240 BankAtlantic Bancorp, Inc. Class A 11,285 214,076 * Bankrate, Inc. 7,000 95,760 * BankUnited Financial Corp. Class A 42,100 1,071,445 Banner Corp. 16,160 406,424 Banta Corp. 38,200 1,520,360 Barnes Group, Inc. 33,800 1,011,634 * barnesandnoble.com, inc. 71,925 204,986 * Barnwell Industries, Inc. 400 10,160 * Barra, Inc. 28,900 1,062,942 * Barrett Business Services, Inc. 5,800 85,840 * Barry (R.G.) Corp. 9,500 56,525 Bassett Furniture Industries, Inc. 16,700 273,880 * Bay View Capital Corp. 92,550 561,778 * Baycorp Holdings, Ltd. 484 6,372 * Bayou Steel Corp. Class A 13,500 67 * BCT International, Inc. 2,700 5,359 * BE Aerospace, Inc. 53,900 309,925 * Beasley Broadcast Group, Inc. 10,900 161,560 * Beazer Homes USA, Inc. 12,553 1,339,531 *# Bebe Stores, Inc. 38,600 1,092,766 BEI Technologies, Inc. 21,800 385,206 Bel Fuse, Inc. Class A 2,600 68,315 Bel Fuse, Inc. Class B 5,250 152,302 Belden, Inc. 37,296 734,731 * Bell Industries, Inc. 8,900 24,030 * Bell Microproducts, Inc. 38,100 328,041 * Benchmark Electronics, Inc. 51,000 1,873,230 * Benihana, Inc. 1,000 13,900 * Benihana, Inc. Class A 150 1,987 * Bentley Pharmaceuticals, Inc. 28,160 344,960 Berry Petroleum Corp. Class A 44,700 854,664 * Bethlehem Steel Corp. 37,300 597 * Beverly Enterprises 160,700 1,258,281 * Beyond.com Corp. 3,140 39 BHA Group Holdings, Inc. Class A 6,100 153,110 * Big 4 Ranch, Inc. 3,200 0 * Big City Radio, Inc. 6,400 9,280 * Big Dog Holdings, Inc. 1,500 5,745 * BindView Development Corp. 70,300 207,385 * Bio Imaging Technologies, Inc. 13,300 95,095 * Bioanalytical Systems, Inc. 4,600 20,424 * Biocryst Pharmaceuticals, Inc. 26,500 217,035 *# BioLase Technology, Inc. 32,300 396,321 * Bio-Logic Systems Corp. 4,200 24,906 * BioMarin Pharmaceutical, Inc. 95,285 700,345 * Bionova Holdings Corp. 3,570 1,000 * Bio-Rad Laboratories, Inc. Class A 20,000 1,025,000 * Bio-Reference Laboratories, Inc. 17,112 302,369 * BioReliance Corp. 11,900 550,851 * Biosite, Inc. 23,200 622,920 * Biosource International, Inc. 9,600 70,080 * Biospecifics Technologies Corp. 4,500 7,114 * BioSphere Medical, Inc. 20,200 $ 60,802 * Bitstream, Inc. 8,400 35,532 BIW, Ltd. 800 14,312 Black Box Corp. 27,200 1,190,000 Black Hills Corp. 48,059 1,550,383 Blair Corp. 12,100 302,500 * Blonder Tongue Laboratories, Inc. 9,800 31,360 * Blount International, Inc. 33,300 200,133 * Blue Coat Systems, Inc. 12,586 264,180 * Blue Rhino Corp. 35,700 449,106 * Bluegreen Corp. 32,765 206,419 Blyth, Inc. 38,100 1,144,905 * BMC Industries, Inc. 14,000 700 * BNS Co. Class A 4,120 23,072 Bob Evans Farms, Inc. 52,000 1,604,720 * Boca Resorts, Inc. 56,045 800,323 * Bogen Communications International, Inc. 12,500 61,250 * Bolt Technology Corp. 5,400 20,790 * Bombay Co., Inc. 52,600 538,098 * Bone Care International, Inc. 21,421 289,183 * Bontex, Inc. 200 120 Bon-Ton Stores, Inc. 12,000 160,800 * Books-a-Million, Inc. 18,300 82,350 * Borland Software Corp. 121,500 1,059,480 Boston Acoustics, Inc. 4,600 46,966 * Boston Beer Company, Inc. Class A 16,400 301,760 * Boston Biomedical, Inc. 6,700 16,750 * Boston Communications Group, Inc. 27,300 245,700 Boston Private Financial Holdings, Inc. 33,200 860,876 Bostonfed Bancorp, Inc. 4,300 139,105 * Bottomline Technologies, Inc. 24,904 224,136 Bowne & Co., Inc. 50,700 747,318 Boyd Gaming Corp. 96,100 1,572,196 * Boyds Collection, Ltd. 117,317 504,463 *# Bradley Pharmaceuticals, Inc. Class A 15,251 358,704 Brady (W.H.) Co. Class A 31,200 1,196,520 * Brass Eagle, Inc. 8,300 76,692 * Braun Consulting, Inc. 22,300 55,750 *# Breed Technologies, Inc. 36,800 1,104 Bridgford Foods Corp. 10,400 87,370 Briggs & Stratton Corp. 27,300 1,842,750 * Brigham Exploration Co. 41,315 295,774 * Bright Horizons Family Solutions, Inc. 6,600 250,133 * Brightpoint, Inc. 27,100 608,937 * BrightStar Information Technology Group, Inc. 13,600 1,360 * Brillian Corp. 7,049 56,181 *# Brilliant Digital Entertainment, Inc. 18,000 7,740 *# BriteSmile, Inc. 314 9,498 * Broadview Media, Inc. 200 1,450 * BroadVision, Inc. 49,300 231,710 *# Brocade Communications Systems, Inc. 17,800 108,402 Brookline Bancorp, Inc. 86,491 1,299,095 * Brooks Automation, Inc. 55,639 1,352,028 * Brookstone, Inc. 19,550 464,117 * Brooktrout, Inc. 18,462 271,761
158
SHARES VALUE+ ------ ------ * Brown (Tom), Inc. 51,200 $ 1,431,552 Brown Shoe Company, Inc. 27,000 943,110 * Bruker BioSciences Corp. 102,500 510,450 * Brush Engineered Materials, Inc. 24,800 334,304 Bryn Mawr Bank Corp. 1,600 38,000 BSB Bancorp, Inc. 13,685 442,710 * BSQUARE Corp. 19,700 29,156 * BTU International, Inc. 6,800 28,628 * Buca, Inc. 25,171 142,216 * Buckeye Technology, Inc. 54,583 557,292 Buckle, Inc. 30,000 656,400 Building Materials Holding Corp. 19,200 290,880 * Bull Run Corp. 3,700 4,033 Burlington Coat Factory Warehouse Corp. 65,849 1,389,414 * Bush Industries, Inc. Class A 14,600 49,786 * Butler International, Inc. 8,400 13,188 Butler Manufacturing Co. 7,600 157,396 C & D Technologies, Inc. 38,000 760,760 C & F Financial Corp. 300 13,650 * C-COR.net Corp. 54,900 647,820 *# C-Phone Corp. 11,700 135 * Cable Design Techologies Corp. 62,187 631,820 * Cabot Microelectronics Corp. 26,800 1,422,812 Cabot Oil & Gas Corp. Class A 48,700 1,293,472 * Cache, Inc. 6,600 142,487 * Caci International, Inc. Class A 37,000 1,841,490 Cadmus Communications Corp. 8,900 108,135 * Cagle's, Inc. Class A 2,000 14,450 * Cal Dive International, Inc. 56,500 1,197,800 Calavo Growers 9,600 106,752 Calgon Carbon Corp. 57,600 354,240 * California Amplifier, Inc. 22,100 216,359 * California Coastal Communities, Inc. 10,000 110,500 California First National Bancorp 10,400 120,068 * California Micro Devices Corp. 34,800 298,584 * California Pizza Kitchen, Inc. 28,300 523,550 California Water Service Group 25,400 664,464 * Caliper Technologies Corp. 41,474 265,019 Callaway Golf Co. 113,300 1,861,519 * Callon Petroleum Corp. 20,362 187,330 * Calloways Nursery, Inc. 1,200 708 Cal-Maine Foods, Inc. 10,500 223,020 * Calton, Inc. 4,480 3,360 * CAM Commerce Solutions, Inc. 3,000 20,700 Cambrex Corp. 38,100 924,306 * Cambridge Heart, Inc. 7,800 8,970 Camco Financial Corp. 7,516 132,958 * Candela Corp. 14,555 298,814 *# Candies, Inc. 35,450 71,963 * Candlewood Hotel Co., Inc. 1,500 60 *# Cannon Express, Inc. Class A 200 245 * Cannondale Corp. 7,100 1,420 * Cantel Medical Corp. 13,240 208,133 * Canterbury Consulting Group, Inc. 1,571 1,485 * Canyon Resources Corp. 23,900 93,210 * Capital Corp. of the West 5,046 192,505 * Capital Crossing Bank 5,900 248,856 * Capital Pacific Holdings, Inc. 14,500 49,300 * Capital Senior Living Corp. 27,600 168,360 Capital Southwest Corp. 300 18,300 Capitol Bancorp, Ltd. 8,564 $ 246,643 * Caprius, Inc. 548 110 * Capstone Turbine Corp. 16,300 28,199 * Captaris, Inc. 45,800 271,594 * Captiva Software Corp. 4,400 57,732 * Caraustar Industries, Inc. 41,084 478,629 Carbo Ceramics, Inc. 22,900 1,000,501 * Cardiac Sciences, Inc. 104,800 374,136 * Cardima, Inc. 21,200 22,472 * CardioDynamics International Corp. 69,261 450,196 *# CardioGenesis Corp. 32,100 25,038 * Cardiotech International, Inc. 23,063 144,605 * Career Blazers, Inc. Trust Units 800 0 * Career Education Corp. 1 51 Carpenter Technology Corp. 33,600 900,480 * Carreker Corp. 21,871 327,190 * Carriage Services, Inc. Class A 25,400 83,566 * Carrier Access Corp. 35,789 533,256 * Carrington Laboratories, Inc. 9,800 41,748 *# Carrizo Oil & Gas, Inc. 14,100 105,750 Cascade Corp. 18,000 482,400 Cascade Natural Gas Corp. 16,100 322,000 * Casella Waste Systems, Inc. Class A 33,869 453,845 Casey's General Stores, Inc. 74,200 1,296,274 Cash America International, Inc. 41,400 802,332 * Castle (A.M.) & Co. 15,437 71,010 Castle Energy Corp. 6,600 37,620 * Casual Male Retail Group, Inc. 53,800 462,680 * Catalina Lighting, Inc. 1,760 21,544 * Catalina Marketing Corp. 80,100 1,484,253 * Catalyst International, Inc. 7,600 11,400 * Catalytica Energy Systems, Inc. 12,891 45,118 * Catapult Communications Corp. 19,300 291,816 # Cathay Bancorp, Inc. 38,961 2,025,972 Cato Corp. Class A 29,200 609,696 * Cavalier Homes, Inc. 18,060 51,471 Cavalry Bancorp, Inc. 500 9,715 * Cavco Industries, Inc. 3,852 90,522 CCA Industries, Inc. 9,600 71,760 CCBT Financial Companies, Inc. 8,600 227,814 * CCC Information Services Group, Inc. 25,700 433,302 *# CD Warehouse, Inc. 3,300 7 * CD&L, Inc. 2,600 2,132 CDI Corp. 29,200 989,880 * CEC Entertainment Inc. 38,500 1,935,780 * Celadon Group, Inc. 10,700 145,520 * Celebrity, Inc. Escrow Shares 1,300 0 * Celeritek, Inc. 17,700 142,485 * Cell Genesys, Inc. 58,852 767,430 *# Cell Therapeutics, Inc. 50,900 458,100 * Cellegy Pharmaceuticals, Inc. 46,100 131,385 * CellStar Corp. 29,948 411,785 * Centene Corp. 32,300 991,610 * Centennial Communications Corp. 49,800 245,016 Center Bancorp, Inc. 1,800 38,214 Center Finl CO 6,480 161,806 *# CenterSpan Communication Corp. 8,400 588 Centex Construction Products, Inc. 25,000 1,465,000 * Centillium Communications, Inc. 51,269 281,979 * Centra Software, Inc. 39,900 143,640
159
SHARES VALUE+ ------ ------ Central Bancorp, Inc. 1,600 $ 56,816 * Central European Distribution Corp. 15,918 500,144 * Central Garden & Pet Co. 25,200 668,052 Central Pacific Financial Corp. 24,000 662,400 Central Parking Corp. 52,137 727,311 Central Vermont Public Service Corp. 17,900 427,810 * Century Aluminum Co. 31,600 524,560 Century Bancorp Income Class A 1,000 37,210 * Century Business Services, Inc. 125,757 584,770 * Cepheid, Inc. 52,964 409,412 * Ceradyne, Inc. 15,100 644,921 Cerberonics, Inc. Class A 200 2,220 * Ceres Group, Inc. 30,495 159,184 *# Cerner Corp. 49,309 2,200,661 * Cerus Corp. 33,000 112,200 CFS Bancorp, Inc. 17,720 250,738 CH Energy Group, Inc. 23,600 1,036,040 * Chad Therapeutics 10,000 27,050 * Champion Enterprises, Inc. 88,200 636,804 Champion Industries, Inc. 9,674 41,975 * Championship Auto Racing Teams, Inc. 15,500 8,215 * Champps Entertainment, Inc. 18,340 126,913 * Channell Commercial Corp. 6,600 30,690 * Charles and Colvard, Ltd. 19,800 96,624 * Charles River Associates, Inc. 9,000 293,850 * Charlotte Russe Holding, Inc. 31,900 480,095 * Charming Shoppes, Inc. 169,633 1,056,814 * Chart Industries 23 690 *# Charter Communications, Inc. 35,900 144,318 Charter Financial Corp. 21,511 720,618 Chase Corp. 4,000 50,080 * Chattem, Inc. 28,700 459,774 * Chaus (Bernard), Inc. 11,100 11,322 * Checkers Drive-In Restaurant, Inc. 17,207 157,616 * Checkpoint Systems, Inc. 49,300 953,955 Chemical Financial Corp. 35,516 1,287,455 Cherokee, Inc. 8,100 181,845 Chesapeake Corp. 22,102 508,346 Chesapeake Utilities Corp. 7,600 190,836 Chester Valley Bancorp 575 12,920 * Chicago Pizza & Brewery, Inc. 28,622 407,291 Chicago Rivet & Machine Co. 200 5,325 * Children's Place Retail Stores, Inc. 39,900 1,143,933 * Childtime Learning Centers, Inc. 5,200 11,440 * ChipPAC, Inc. 142,900 1,110,333 * Chiquita Brands International, Inc. 59,896 1,269,196 Chittenden Corp. 54,783 1,870,292 * Choice Hotels International, Inc. 53,600 1,894,760 * Cholestech Corp. 20,800 153,920 * Chordiant Software, Inc. 95,100 417,489 Christopher & Banks Corp. 56,013 1,515,152 * ChromaVision Medical Systems, Inc. 20,200 22,018 * Chromcraft Revington, Inc. 6,000 69,900 * Chronimed, Inc. 18,101 162,547 Church & Dwight Co., Inc. 32,300 1,308,473 Churchill Downs, Inc. 14,400 528,754 *# Chyron Corp. 33,400 15,030 * Ciber, Inc. 95,012 865,559 * Cima Laboratories, Inc. 19,900 656,302 * Cimarex Energy Co. 14,004 $ 323,772 * Cincinnati Bell, Inc. 311,500 1,778,665 * Ciphergen Biosystems, Inc. 43,200 449,712 * Ciprico, Inc. 4,900 24,745 CIRCOR International, Inc. 20,690 455,180 * Cirrus Logic, Inc. 126,800 1,090,480 # Citizens Banking Corp. 60,533 1,908,000 * Citizens, Inc. Class A 50,526 500,212 City Holding Co. 24,986 889,502 * CKE Restaurants, Inc. 86,400 604,800 Clarcor, Inc. 37,700 1,650,883 * Clark, Inc. 26,924 441,823 * Clarus Corp. 24,700 172,653 * Clayton Williams Energy, Inc. 9,200 209,300 *# Clean Harbors, Inc. 20,200 186,446 *# Clearone Communications, Inc. 11,300 31,357 Cleco Corp. 70,900 1,260,602 * Cleveland Cliffs, Inc. 15,500 598,300 *# Click2learn, Inc. 9,700 20,661 *# ClickAction, Inc. Escrow 7,900 395 Clinical Data Inc. 1,787 15,359 * Closure Medical Corp. 20,700 734,850 *# CMS Energy Corp. 216,075 1,704,832 * CNA Surety Corp. 56,118 543,222 *# CNE Group, Inc. 2,000 1,120 *# CNET Networks, Inc. 211,700 1,581,399 CNS, Inc. 20,300 247,660 Coachmen Industries, Inc. 22,600 389,850 * Coast Dental Services, Inc. 2,066 13,212 Coast Distribution System 4,000 22,200 Coastal Bancorp, Inc. 5,800 203,000 * Coastcast Corp. 7,600 15,238 CoBiz, Inc. 8,550 154,242 * Cobra Electronics Corp. 6,100 43,371 Coca-Cola Bottling Co. Consolidated 6,000 322,260 * Coeur d'Alene Mines Corp. 239,000 1,238,020 * Cogent Communications Group, Inc. 1,013 1,236 Cognex Corp. 64,800 1,780,056 * Cognitronics Corp. 4,250 14,025 * Coherent, Inc. 44,002 1,053,408 Cohu, Inc. 31,900 670,538 * Coinstar, Inc. 32,200 541,926 * Coldwater Creek, Inc. 23,850 342,486 Cole (Kenneth) Productions, Inc. Class A 17,150 512,785 * Cole National Corp. Class A 14,800 310,504 * Collagenex Pharmaceuticals, Inc. 12,200 126,392 * Collins & Aikman Corp. 121,860 435,040 Collins Industries, Inc. 7,000 37,800 Columbia Banking System, Inc. 20,131 422,751 * Columbia Laboratories, Inc. 59,000 305,620 * Columbus McKinnon Corp. 22,300 137,814 * Comarco, Inc. 10,200 96,696 * Comdial Corp. 600 1,800 * Comforce Corp. 13,277 6,771 * Comfort Systems USA, Inc. 56,900 273,689 Commerce Group, Inc. 32,900 1,316,329 *# Commerce One, Inc. 44,400 51,504 Commercial Bancshares, Inc. 4,532 152,185
160
SHARES VALUE+ ------ ------ Commercial Federal Corp. 64,900 $ 1,752,300 Commercial Metals Co. 44,700 1,150,578 # Commercial National Financial Corp. 3,200 82,384 Commonwealth Industries, Inc. 23,515 172,365 * Commscope, Inc. 88,800 1,417,248 Communications Systems, Inc. 8,200 56,498 Community Bank System, Inc. 19,400 944,780 Community Bankshares, Inc. 210 3,970 Community First Bankshares, Inc. 56,900 1,622,788 Community Trust Bancorp, Inc. 13,730 450,076 * Community West Bancshares 5,500 45,980 * Competitive Technologies, Inc. 6,100 14,823 *# Compex Technologies, Inc. 16,654 150,719 * Compucom Systems, Inc. 74,464 338,811 * CompuCredit Corp. 70,231 1,663,070 * Compudyne Corp. 11,104 109,485 * Computer Access Technology Corp. 41,000 190,650 * Computer Horizons Corp. 37,400 139,128 * Computer Network Technology Corp. 40,700 404,965 Computer Programs & Systems, Inc. 15,700 293,511 * Computer Task Group, Inc. 31,300 130,834 CompX International, Inc. 5,100 32,181 * Comstock Resources, Inc. 48,000 782,400 * Comtech Telecommunications Corp. 11,100 370,052 * Concepts Direct, Inc. 700 269 * Conceptus, Inc. 32,400 421,200 * Concerto Software, Inc. 12,100 144,232 * Concord Camera Corp. 42,956 518,479 * Concord Communications, Inc. 26,700 591,138 * Concur Technologies, Inc. 48,031 477,908 * Concurrent Computer Corp. 93,600 377,208 * Cone Mills Corp. 24,800 1,426 * Congoleum Corp. Class A 3,600 2,340 * Conmed Corp. 43,065 915,562 Connecticut Bancshares, Inc. 13,356 689,570 Connecticut Water Services, Inc. 7,600 220,932 * Connetics Corp. 47,500 838,375 * Conrad Industries, Inc. 7,200 20,268 *# Consolidated Freightways Corp. 550 3 * Consolidated Graphics, Inc. 19,182 576,419 Consolidated Tokoma Land Co. 6,100 187,575 *# Continental Airlines, Inc. 98,700 1,840,755 * Continental Materials Corp. 200 5,458 *# Convera Corp. 50,644 198,018 * Convergence Systems, Inc. 1 45 *# Cooker Restaurant Corp. 6,500 39 Cooper Companies, Inc. 40,200 1,835,130 Cooper Tire & Rubber Co. 83,900 1,678,839 Cooperative Bankshares, Inc. 1,400 35,756 * Copart, Inc. 134,800 1,617,600 * Copper Mountain Networks, Inc. 8,810 82,911 * Corautus Genetics, Inc. 1,542 9,052 * Core Molding Technologies, Inc. 7,700 22,638 * Corillian Corp. 54,700 325,465 * Corio, Inc. 103,600 257,964 * Corixa Corp. 82,097 467,132 Corn Products International, Inc. 48,800 1,691,408 * Cornell Companies, Inc. 19,800 249,480 * Correctional Services Corp. 10,112 25,988 * Corrections Corporation of America 52,500 $ 1,470,000 * Corrpro Companies, Inc. 7,275 10,912 Corus Bankshares, Inc. 18,272 1,138,346 * Corvel Corp. 10,900 378,775 * Cosine Communications, Inc. 14,421 111,619 * Cost Plus, Inc. 32,575 1,523,533 * CoStar Group, Inc. 25,890 1,087,380 * Cost-U-Less, Inc. 3,000 9,900 Cotton States Life Insurance Co. 6,330 112,364 Courier Corp. 2,850 158,203 * Covance, Inc. 30,200 789,126 * Covansys Corp. 40,100 360,900 * Covenant Transport, Inc. Class A 18,830 354,757 Covest Bancshares, Inc. 2,425 66,396 * Covista Communications, Inc. 3,000 8,250 CPAC, Inc. 5,120 31,636 * CPI Aerostructures, Inc. 7,166 85,992 CPI Corp. 11,200 258,160 Craftmade International, Inc. 7,300 195,275 Crawford & Co. Class A 27,300 195,741 Crawford & Co. Class B 25,300 183,425 * Cray, Inc. 104,000 1,088,880 *# Credence Systems Corp. 95,247 1,234,401 * Credit Acceptance Corp. 63,469 952,035 *# Cree Research, Inc. 51,000 936,870 * Criticare Systems, Inc. 16,200 55,080 Crompton Corp. 166,800 1,009,140 * Cross (A.T.) Co. Class A 14,700 95,991 * Cross Country Healthcare, Inc. 47,657 710,089 * Crossroads Systems, Inc. 36,500 111,690 * Crown Andersen, Inc. 1,000 2,350 *# Crown Castle International Corp. 30,500 378,505 * Crown Financial Group, Inc. 6,600 16,698 * Crown Holdings, Inc. 247,400 1,855,500 * Crown Media Holdings, Inc. 110,542 973,875 *# Cryolife, Inc. 29,600 158,656 * CSG Systems International, Inc. 78,500 909,815 * CSK Auto Corp. 68,300 1,245,792 * CSP, Inc. 3,500 18,480 CSS Industries, Inc. 12,900 383,259 CT Communications, Inc. 27,860 398,398 CTS Corp. 53,759 659,085 Cubic Corp. 40,100 1,186,158 * Cubist Pharmaceuticals, Inc. 48,425 601,438 * Culp, Inc. 17,300 194,798 * Cumulus Media, Inc. Class A 74,993 1,432,366 * CUNO, Inc. 24,208 1,031,503 * CuraGen Corp. 72,960 459,648 * Curative Health Services Inc. 18,400 238,832 * Curis, Inc. 56,050 304,912 Curtiss-Wright Corp. 5,800 475,078 * Cutter & Buck, Inc. 15,124 117,211 * CV Therapeutics, Inc. 39,805 715,296 CVB Financial Corp. 65,615 1,343,139 * Cyberguard Corp. 32,045 275,235 * Cyberonics, Inc. 34,000 934,660 * Cyberoptics Corp. 8,100 80,676 * Cybersource Corp. 49,200 244,524 * Cybex International, Inc. 8,700 10,788 * Cycle Ctry Acc 5,000 22,950 *# CycleLogic, Inc. 29 3
161
SHARES VALUE+ ------ ------ * Cygnus, Inc. 3,500 $ 315 *# Cymer, Inc. 41,200 1,910,444 * Cysive, Inc. 32,600 104,972 * Cytec Industries, Inc. 51,000 1,848,750 * Cytogen Corp. 16,570 187,241 *# Cytrx Corp. 1,700 3,757 D & K Healthcare Resources, Inc. 20,530 277,566 * D A Consulting Group, Inc. 6,700 536 * Daily Journal Corp. 200 6,065 * Daisytek International Corp. 3,586 117 * Daktronics, Inc. 27,900 517,852 *# Dan River, Inc. Class A 28,900 22,253 * Danielson Holding Corp. 33,400 47,428 * Darling International, Inc. 94,200 261,876 * Data I/O Corp. 7,600 26,136 * Data Systems & Software, Inc. 7,300 20,367 * Datakey, Inc. 1,000 580 * Datalink Corp. 13,300 51,737 * Dataram Corp. 8,400 35,364 Datascope Corp. 21,634 752,431 * Datastream Systems, Inc. 20,100 149,745 * Datatec Systems, Inc. 7,000 8,120 * DataTRAK International, Inc. 5,200 32,760 * Datawatch Corp. 2,066 11,590 * Dave and Busters, Inc. 13,200 183,612 * Davel Communications, Inc. 94 3 * Daw Technologies, Inc. 3,575 0 * Dawson Geophysical Co. 5,400 43,956 * Daxor Corp. 4,600 69,920 Deb Shops, Inc. 19,299 382,506 * Deckers Outdoor Corp. 9,200 154,560 * Decora Industries, Inc. 5,500 82 Decorator Industries, Inc. 2,762 17,442 * Del Global Technologies Corp. 10,927 26,225 * Del Laboratories, Inc. 9,506 229,587 * Delphax Technologies, Inc. 6,100 19,337 Delphi Financial Group, Inc. Class A 25,500 1,354,050 Delta and Pine Land Co. 57,200 1,444,300 Delta Apparel, Inc. 5,240 86,198 * Delta Financial Corp. 23,500 168,260 Delta Natural Gas Co., Inc. 2,500 58,325 * Delta Woodside Industries, Inc. 5,850 10,179 Deltic Timber Corp. 17,500 495,600 * Denali, Inc. 4,300 0 * Denbury Resources, Inc. 81,000 1,023,840 * Dendreon Corp. 65,981 522,570 * Dendrite International, Inc. 60,774 1,039,235 * Department 56, Inc. 19,700 278,361 * DepoMed, Inc. 13,600 92,344 * Detrex Corp. 500 762 * Devcon International Corp. 3,600 25,740 * DHB Industries, Inc. 60,900 457,968 Diagnostic Products Corp. 40,200 1,818,246 * Diametrics Medical, Inc. 22,900 12,595 * DiamondCluster International, Inc. 41,300 390,698 * Diedrich Coffee, Inc. 4,025 16,301 * Digene Corp. 27,800 1,105,050 * Digi International, Inc. 30,333 259,954 * Digimarc Corp. 26,665 376,243 *# Digital Angel Corp. 11,000 24,750 * Digital Generation Systems, Inc. 99,500 186,065 * Digital Impact, Inc. 47,900 $ 135,078 * Digital Insight Corp. 49,000 1,164,730 * Digital Lightwave, Inc. 400 376 * Digital River, Inc. 45,800 1,053,858 * DigitalThink Inc. 75,457 224,862 * Digitas, Inc. 89,557 780,041 Dime Community Bancorp, Inc. 38,100 1,171,575 Dimon, Inc. 67,429 455,146 * Diodes, Inc. 12,150 247,252 * Dionex Corp. 31,810 1,494,434 * Directrix, Inc. 813 7 * Discovery Partners International 36,853 212,605 * Display Technologies, Inc. 11,330 28 * Ditech Communications Corp. 45,780 803,439 * Diversa Corp. 63,108 530,107 * Diversified Corporate Resources, Inc. 800 592 * Dixie Group, Inc. 15,000 121,500 * Dixon Ticonderoga Co. 1,900 7,030 * DJ Orthopedics, Inc. 26,900 698,055 * DLB Oil & Gas, Inc. 1,300 0 * Docent, Inc. 20,121 98,190 * DocuCorp International, Inc. 15,973 159,411 * Document Sciences Corp. 14,200 63,900 * Documentum, Inc. 69,800 2,094,000 * Dollar Thrifty Automotive Group, Inc. 37,100 936,775 * Dominion Homes, Inc. 5,800 176,378 Donegal Group, Inc. Class A 6,066 121,927 Donegal Group, Inc. Class B 2,933 55,404 * Dot Hill Systems Corp. 64,660 1,102,453 * DoubleClick, Inc. 85,582 817,308 *# DOV Pharmaceutical, Inc. 24,494 262,821 Dover Downs Gaming & Entertainment, Inc. 9,910 90,181 Dover Motorsports, Inc. 22,500 94,050 Downey Financial Corp. 36,476 1,761,791 * DPAC Technologies Corp. 20,900 39,292 * Drew Industries, Inc. 9,700 261,318 *# Drexler Technology Corp. 15,800 236,368 * Dril-Quip, Inc. 25,900 387,205 * DRS Technologies, Inc. 33,700 893,050 * Drugstore.com, Inc. 104,600 696,636 * DSP Group, Inc. 42,500 1,023,825 * DT Industries, Inc. 10,300 11,124 * DualStar Technologies Corp. 2,400 972 * Duane Reade, Inc. 36,021 499,971 * Duckwall-ALCO Stores, Inc. 4,100 61,377 * Ducommun, Inc. 14,200 316,234 * DuPont Photomasks, Inc. 26,555 616,607 # Duquesne Light Holdings, Inc. 104,700 1,808,169 * Dura Automotive Systems, Inc. 23,400 241,254 * DuraSwitch Industries, Inc. 10,500 21,682 * Duratek, Inc. 13,500 135,540 *# Durect Corp. 72,787 163,771 * DUSA Pharmaceuticals, Inc. 20,900 112,233 * DVI, Inc. 14,500 1,015 *# Dyax Corp. 36,800 222,272 * Dycom Industries, Inc. 72,066 1,826,873 *# Dynacq Healthcare, Inc. 22,200 409,790 * Dynamex, Inc. 16,600 170,980
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SHARES VALUE+ ------ ------ * Dynamic Materials Corp. 2,000 $ 6,100 * Dynamics Research Corp. 12,500 201,862 *# Dynegy, Inc. 65,700 262,800 *# E Com Ventures, Inc. 2,175 25,578 * E-Loan, Inc. 91,300 284,856 E-Z-EM, Inc. 8,562 98,891 * E.piphany, Inc. 110,587 873,637 * Eagle Food Centers, Inc. 2,575 58 * EarthLink, Inc. 198,675 1,907,280 East West Bancorp, Inc. 33,700 1,765,206 Eastern Co. 4,950 70,983 * EasyLink Services Corp. 7,969 10,519 * Eateries, Inc. 3,000 9,750 * Echelon Corp. 60,271 726,266 * Eclipsys Corp. 17,600 179,168 * Ecogen, Inc. 1,364 205 * eCollege.com 25,100 557,220 Ecology & Environment, Inc. Class A 2,000 19,160 Edelbrock Corp. 5,470 65,038 * Eden Bioscience Corp. 12,800 19,840 * EDGAR Online, Inc. 16,400 32,800 * Edge Petroleum Corp. 9,300 73,842 * Edgewater Technology, Inc. 11,569 57,382 Edo Corp. 29,600 615,680 Educational Development Corp. 1,800 20,520 * Educational Insights, Inc. 2,400 1,356 EFC Bancorp, Inc. 4,600 103,776 *# EFJ, Inc. 7,800 37,050 * eFunds Corp. 70,206 1,218,074 * EGL, Inc. 70,800 1,300,596 * El Paso Electric Co. 108,600 1,379,220 * Elcom International, Inc. 21,800 4,796 * Electro Rent Corp. 29,166 405,407 * Electro Scientific Industries, Inc. 33,300 800,865 *# Electroglas, Inc. 31,200 123,240 * Electronics Boutique Holdings Corp. 37,130 903,744 *# Electronics for Imaging, Inc. 71,100 1,962,360 * Elizabeth Arden, Inc. 35,500 721,005 ElkCorp 28,600 727,012 * eLoyalty Corp. 6,700 24,120 * ELXSI Corp. 1,800 8,100 * Embarcadero Technologies, Inc. 39,100 564,213 * Embrex, Inc. 11,400 145,122 EMC Insurance Group, Inc. 11,300 231,085 * Emcor Group, Inc. 22,500 924,750 * EMCORE Corp. 55,311 280,980 * Emerging Vision, Inc. 25,700 3,855 * Emeritus Corp. 14,100 90,522 * Emerson Radio Corp. 41,322 145,040 * Emisphere Technologies, Inc. 27,100 162,600 *# Emmis Communications Corp. Class A 69,400 1,572,604 Empire District Electric Co. 34,200 723,672 * EMS Technologies, Inc. 16,032 340,680 *# En Pointe Technologies, Inc. 6,500 12,018 * Encore Acquisition Co. 44,600 961,576 * Encore Medical Corp. 14,400 97,632 * Encore Wire Corp. 20,300 343,882 * Encysive Pharmaceuticals, Inc. 66,600 498,834 * Endocardial Solutions, Inc. 29,600 $ 222,592 *# Endocare, Inc. 29,100 120,183 * Endologix, Inc. 41,900 159,220 Energen Corp. 41,300 1,608,222 * Energy Conversion Devices, Inc. 31,800 273,480 * Energy Partners, Ltd. 48,100 584,415 Energy West, Inc. 1,700 10,149 EnergySouth, Inc. 6,500 222,950 * Enesco Group, Inc. 20,300 219,849 Engineered Support Systems, Inc. 36,781 1,949,393 * ENGlobal Corp. 1,700 3,910 * Enherent Corp. 17,400 1,609 *# Enlighten Software Solutions, Inc. 1,600 2 Ennis Business Forms, Inc. 23,600 348,808 * EnPro Industries, Inc. 29,900 296,309 * Entegris, Inc. 108,064 1,387,542 * Enterrasys Networks, Inc. 307,100 1,317,459 * Entravision Communications Corp. 105,000 953,400 *# Entremed, Inc. 47,500 184,775 * Entrust, Inc. 95,000 405,650 * Environmental Elements Corp. 5,000 1,350 * Environmental Technologies Corp. 3,700 92 * Environmental Tectonics Corp. 7,100 55,451 * Enzo Biochem, Inc. 44,866 827,778 * Enzon Pharmaceuticals, Inc. 51,600 556,764 * EP Medsystems, Inc. 14,900 52,448 * EpicEdge, Inc. 21,900 985 * Epicor Software Corp. 65,842 815,782 *# Epimmune, Inc. 11,800 21,594 * EPIQ Systems, Inc. 26,250 458,062 * EPIX Medical, Inc. 33,028 595,495 * ePlus, Inc. 10,300 128,750 * ePresence, Inc. 25,100 91,866 *# Equimed Inc. Nevis 2,250 0 * Equity Marketing, Inc. 5,700 78,147 * Equity Oil Co. 12,600 43,835 *# eResearch Technology, Inc. 54,300 1,547,550 * Ergo Science Corp. 7,150 14,300 ESB Financial Corp. 11,762 191,132 * Escalon Medical Corp. 3,200 22,560 * Esco Technologies, Inc. 19,200 816,000 * eSpeed, Inc. 37,600 886,608 * Esperion Therapeutics, Inc. 50,324 1,156,949 Espey Manufacturing & Electronics Corp. 400 9,820 * ESS Technology, Inc. 57,600 960,768 * Esterline Technologies Corp. 31,600 732,488 Ethan Allen Interiors, Inc. 34,800 1,416,360 * Ethyl Corp. 24,700 503,880 * Euronet Worldwide, Inc. 38,652 650,513 * European Micro Holdings, Inc. 4,600 87 * Evans & Sutherland Computer Corp. 10,400 48,568 * Evans Systems, Inc. 4,000 320 * Evercel, Inc. 1,666 1,916 * Evergreen Resources, Inc. 58,700 1,645,361 *# Evergreen Solar, Inc. 13,500 27,000 * Everlast Worldwide, Inc. 1,500 4,095 EverTrust Financial Group, Inc. 1,900 57,570 * Evolving Systems, Inc. 12,600 215,460 *# Exabyte Corp. 3,500 2,485
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SHARES VALUE+ ------ ------ * Exact Sciences Corp. 28,705 $ 298,532 * Exactech, Inc. 10,800 170,100 * Exar Corp. 60,708 1,177,128 * Excel Technology, Inc. 16,600 522,900 * EXE Technologies, Inc. 4,214 29,713 * Exelixis, Inc. 106,743 718,380 * Exponent, Inc. 6,700 152,224 Extended Stay America, Inc. 106,000 1,568,800 * Extended Systems, Inc. 11,100 50,505 *# Extreme Networks, Inc. 175,500 1,721,655 *# Exult, Inc. 161,081 1,158,172 * Ezcorp, Inc. Class A Non-Voting 10,800 79,812 * Ezenia! Inc. 13,600 4,760 F.N.B. Corp. 42,220 1,400,860 * F5 Networks, Inc. 40,400 1,043,128 * Fab Industries, Inc. 5,200 29,380 *# Factory 2-U Stores, Inc. 26,949 65,756 Factset Research Systems, Inc. 37,900 1,570,955 * Fairchild Corp. Class A 33,352 170,095 * Falcon Products, Inc. 11,800 55,932 *# FalconStor Software, Inc. 68,800 546,960 * Famous Dave's of America, Inc. 16,420 81,936 * Fargo Electronics 18,600 264,492 Farmer Brothers Co. 1,900 608,000 *# Faro Technologies, Inc. 11,800 306,340 FBL Financial Group, Inc. Class A 26,000 679,900 * Featherlite, Inc. 6,500 18,525 Fedders Corp. 44,810 281,855 Federal Screw Works 1,562 51,546 Federal Signal Corp. 72,000 1,090,800 *# Federal-Mogul Corp. 57,900 16,791 * FEI Co. 32,200 773,122 * Female Health Co. 9,300 25,575 Ferro Corp. 61,200 1,389,240 FFLC Bancorp 5,400 159,840 * Fibermark, Inc. 6,900 12,282 *# Fiberstars, Inc. 4,600 33,534 Fidelity Bankshares, Inc. 22,184 615,606 * Fidelity Federal Bancorp 2,500 3,875 Fidelity Southern Corp. 8,800 121,880 * Filenet Corp. 54,787 1,434,872 * Financial Federal Corp. 27,700 911,053 * Financial Industries Corp. 9,762 139,206 * Findwhat.Com 32,100 486,315 *# Finisar Corp. 125,496 501,984 * Finish Line, Inc. Class A 28,000 857,080 * Finishmaster, Inc. 800 7,568 * Finlay Enterprises, Inc. 9,400 152,750 * Firebrand Financial Group, Inc. 9,100 59 First Albany Companies, Inc. 9,098 126,016 First Aviation Services, Inc. 6,200 25,110 First Bancorp 6,210 192,510 * First Cash Financial Services, Inc. 14,400 382,464 First Charter Corp. 44,333 902,620 First Citizens Bancshares, Inc. 1,300 143,507 First Commonwealth Financial Corp. 88,908 1,293,611 First Community Bancorp 23,500 866,680 * First Consulting Group, Inc. 37,428 197,246 First Defiance Financial Corp. 6,859 191,572 First Essex Bancorp 9,300 530,286 First Federal Bancshares of Arkansas, Inc. 2,900 $ 112,375 First Federal Capital Corp. 29,731 696,597 First Financial Bancorp 66,225 1,059,600 First Financial Bankshares, Inc. 15,395 652,902 First Financial Corp. 2,550 75,939 First Financial Holdings, Inc. 18,900 595,350 First Franklin Corp. 300 5,379 * First Horizon Pharmaceutical Corp. 51,664 588,970 First Indiana Corp. 21,917 408,752 * First Investors Financial Services Group, Inc. 5,400 22,896 First Keystone Financial, Inc. 2,000 53,500 First M&F Corp. 2,100 76,314 * First Mariner Bank Corp. 4,900 83,202 First Merchants Corp. 27,708 702,398 First Midwest Bancorp, Inc. 7,375 237,622 First Midwest Financial, Inc. 2,400 53,760 First Mutual Bancshares, Inc. 4,558 113,449 First Niagara Financial Group, Inc. 106,185 1,612,950 First Oak Brook Bancshares, Inc. Class A 3,150 97,965 First Place Financial Corp. 19,051 352,062 First Republic Bank 19,950 743,137 First SecurityFed Financial, Inc. 4,400 135,472 First Sentinel Bancorp, Inc. 41,508 787,822 First State Bancorporation 10,576 364,766 First United Corp. 3,500 86,030 * First Virtual Communications, Inc. 4,150 9,379 First Years, Inc. 8,100 111,456 Firstbank Corp. 2,700 86,400 FirstBank NW Corp. 2,928 89,568 * FirstCity Financial Corp. 7,900 48,972 FirstFed America Bancorp, Inc. 12,352 321,893 * FirstFed Financial Corp. 25,500 1,198,500 * Firstwave Technologies, Inc. 2,600 13,026 * Fischer Imaging Corp. 9,100 41,405 Flag Financial Corp. 6,500 85,442 # Flagstar Bancorp, Inc. 70,500 1,560,165 Flamemaster Corp. 247 1,660 * Flanders Corp. 39,060 218,345 *# Fleetwood Enterprises, Inc. 57,900 588,843 # Fleming Companies, Inc. 18,882 214 Flexsteel Industries, Inc. 6,100 124,989 *# Flir Systems, Inc. 51,800 1,785,028 * Florida Banks, Inc. 5,700 90,630 Florida East Coast Industries, Inc. 21,900 667,950 Florida Public Utilities Co. 3,866 61,547 Florida Rock Industries, Inc. 34,300 1,972,250 FloridaFirst Bancorp 2,400 67,680 * Flow International Corp. 23,000 80,753 Flowers Foods, Inc. 67,725 1,767,622 * Flowserve Corp. 82,900 1,764,112 Flushing Financial Corp. 18,831 512,203 *# FMC Corp. 52,900 1,583,826 FMS Financial Corp. 3,300 64,482 FNB Corp. 2,700 61,884 FNB Financial Services Corp. 2,100 47,922 * Foamex International, Inc. 36,600 163,236 * FOCUS Enhancements, Inc. 3,132 6,702 * Foodarama Supermarkets, Inc. 1,100 28,325
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SHARES VALUE+ ------ ------ Foothill Independent Bancorp 6,014 $ 137,119 * Footstar, Inc. 28,200 141,846 Forest City Enterprises, Inc. Class B 4,500 212,625 * Forest Oil Corp. 67,470 1,690,123 * Forgent Networks, Inc. 36,900 124,353 * Forrester Research, Inc. 33,684 618,438 * Forward Air Corp., Inc. 31,950 908,658 * Fossil, Inc. 62,812 1,830,970 * Foster (L.B.) Co. Class A 10,000 60,000 *# Foster Wheeler, Ltd. 40,600 35,728 * Fotoball USA, Inc. 3,600 14,904 * Fountain Powerboat Industries, Inc. 4,700 14,805 *# FPIC Insurance Group, Inc. 13,946 291,471 Frankfort First Bancorp, Inc. 850 17,425 Franklin Bancorp, Inc. 3,489 71,891 * Franklin Covey Co. 19,300 29,529 Franklin Electric Co., Inc. 10,800 676,620 * Franklin Electronic Publishers, Inc. 7,900 23,700 # Fred's, Inc. 50,250 1,675,837 * FreeMarkets, Inc. 63,000 379,890 # Fremont General Corp. 106,100 1,854,628 Frequency Electronics, Inc. 8,300 86,735 Fresh Brands, Inc. 5,100 55,539 * Fresh Choice, Inc. 5,900 11,505 * Friede Goldman Halter, Inc. 1,083 1 Friedman Industries, Inc. 6,158 18,967 Friedmans, Inc. Class A 31,140 212,686 * Friendly Ice Cream Corp. 7,300 79,351 Frisch's Restaurants, Inc. 4,900 131,320 * Frontier Airlines, Inc. 52,161 843,965 Frontier Oil Corp. 38,400 664,320 * Frozen Food Express Industries, Inc. 16,607 110,270 FSF Financial Corp. 2,300 69,575 * FSI International, Inc. 44,500 292,810 * FTD, Inc. 2,000 49,240 *# FTI Consulting, Inc. 62,525 1,373,674 *# FuelCell Energy, Inc. 59,054 794,867 Fuller (H.B.) Co. 42,409 1,131,048 *# FX Energy, Inc. 19,400 97,000 G & K Services, Inc. Class A 28,500 1,032,270 * G-III Apparel Group, Ltd. 6,700 70,015 GA Financial, Inc. 5,300 152,322 Gabelli Asset Management, Inc. 9,800 367,500 * Gadzooks, Inc. 13,600 65,960 * Gaiam, Inc. 5,500 30,299 * Galaxy Nutritional Foods, Inc. 11,500 31,855 * Galey & Lord, Inc. 9,600 67 *# Galyan's Trading Co. 24,937 332,909 * GameStop Corp. 31,400 507,110 * GameTech International, Inc. 11,100 42,513 * Garden Fresh Restaurant Corp. 5,700 84,246 *# Gardenburger, Inc. 4,000 980 * Gardner Denver Machinery, Inc. 23,588 550,072 * Gartner Group, Inc. 80,500 1,040,060 * Gateway, Inc. 148,600 662,756 GATX Corp. 71,700 1,742,310 * Gaylord Entertainment Co. 55,963 1,683,927 GB & T Bancshares, Inc. 700 16,261 * GC Companies, Inc. 200 83 * Gehl Co. 5,400 83,165 * Genaera Corp. 23,000 $ 88,090 * Genaissance Pharmaceuticals, Inc. 34,000 99,246 Gencorp, Inc. 66,011 660,770 * Gene Logic, Inc. 66,682 324,741 * Genecor International, Inc. 88,308 1,397,033 * Genelabs Technologies, Inc. 49,600 94,240 * General Binding Corp. 13,300 247,513 * General Cable Corp. 49,700 418,971 * General Communications, Inc. Class A 77,200 675,500 * General DataComm Industries, Inc. 1,310 2,365 * General Employment Enterprises, Inc. 3,100 4,479 * Genesco, Inc. 32,600 528,120 * Genesee & Wyoming, Inc. 18,500 467,310 * Genesee Corp. Class B 200 738 * Genesis Health 51,500 1,617,615 * Genesis Microchip, Inc. 37,462 691,174 * Geneva Financial Corp. 2,600 2,340 * Genlyte Group, Inc. 18,900 999,054 *# Genome Therapeutics Corp. 39,000 118,131 *# Genta, Inc. 79,400 797,970 * Gentek, Inc. 10,900 44 * Gentiva Health Services, Inc. 13,950 182,326 *# Genus, Inc. 48,321 343,079 * GenVec, Inc. 75,219 268,532 Georgia Gulf Corp. 48,700 1,386,976 * Gerber Scientific, Inc. 33,000 274,230 * Geron Corp. 57,509 702,760 Getty Realty Corp. (Holding Co.) 3,900 97,617 Gevity HR, Inc. 27,400 616,500 * Giant Group, Ltd. 2,200 4,400 * Giant Industries, Inc. 12,300 150,060 Gibraltar Steel Corp. 18,600 453,468 * Giga-Tronics, Inc. 4,600 9,775 Glacier Bancorp, Inc. 29,048 919,950 * Glacier Water Services, Inc. 3,600 72,864 Glatfelter (P.H.) Co. 64,400 771,512 * Glenayre Technologies, Inc. 96,927 289,812 * Global e-Point, Inc. 3,008 15,160 * Global Imaging Systems, Inc. 32,200 943,782 * Global Payment Technologies, Inc. 5,500 18,562 * Global Power Equipment Group, Inc. 66,900 420,801 * Globecomm Systems, Inc. 16,500 115,500 * GlobespanVirata, Inc. 200,028 1,228,172 * Glowpoint, Inc. 40,750 75,795 *# GoAmerica, Inc. 43,600 23,108 Gold Banc Corp. 58,365 770,418 Golden Enterprises, Inc. 11,800 30,208 * Golden State Vintners, Inc. 5,100 15,963 * Good Guys, Inc. 31,100 63,444 * Goodrich Petroleum Corp. 9,000 46,350 *# Goodyear Tire & Rubber Co. 155,900 1,052,325 Goody's Family Clothing, Inc. 43,942 466,664 Gorman-Rupp Co. 7,975 190,602 * Gottschalks, Inc. 12,700 49,022 * GP Strategies Corp. 14,560 107,016 * Gradco Systems, Inc. 230 2,225 * Graftech International, Ltd. 134,300 1,590,112 Graham Corp. 1,000 9,030
165
SHARES VALUE+ ------ ------ Granite Construction, Inc. 62,300 $ 1,373,715 * Graphic Packaging Corp. 37,700 133,458 Gray Television, Inc. 56,360 730,426 Gray Television, Inc. Class A 6,800 89,216 * Great American Financial Resources, Inc. 9,900 149,985 * Great Atlantic & Pacific Tea Co., Inc. 57,800 439,280 # Great Lakes Chemical Corp. 75,800 1,721,418 Great Southern Bancorp, Inc. 6,800 290,700 # Greater Bay Bancorp 72,446 1,883,596 Greater Communications Bancorp 3,600 64,872 * Green Mountain Coffee, Inc. 9,600 223,104 Green Mountain Power Corp. 6,800 154,632 *# Greenbriar Corp. 674 2,123 * Greenbrier Companies, Inc. 14,100 204,027 Greene County Bancshares, Inc. 1,900 45,600 * Greens Worldwide, Inc. 2,502 88 Grey Global Group, Inc. 200 136,433 * Grey Wolf, Inc. 296,200 1,004,118 * GRIC Communications, Inc. 40,100 249,021 * Griffin Land & Nurseries, Inc. Class A 2,200 31,834 * Griffon Corp. 44,380 866,298 * Gristede's Foods, Inc. 1,200 1,218 * Group 1 Automotive, Inc. 34,000 1,179,800 * Group 1 Software, Inc. 16,450 293,468 * Grubb & Ellis Co. 14,900 13,857 * GSI Commerce, Inc. 61,000 597,800 *# GSV, Inc. 1,800 220 * GTC Biotherapeutics, Inc. 39,598 109,290 * GTSI Corp. 11,500 138,575 Guaranty Bancshares, Inc. 3,000 61,950 Guaranty Federal Bancshares, Inc. 3,000 58,155 Guaranty Financial Corp. 1,000 20,005 * Guess, Inc. 64,800 920,160 * Guilford Mills, Inc. 533 6,396 *# Guilford Pharmaceuticals, Inc. 43,447 296,743 * Guitar Center, Inc. 34,800 1,011,636 * Gulf Island Fabrication, Inc. 17,137 305,039 * Gulfmark Offshore, Inc. 19,800 277,794 * Gundle/SLT Environmental, Inc. 11,000 212,850 * Gymboree Corp. 44,400 755,244 * Ha-Lo Industries, Inc. 64,900 71 * Haemonetics Corp. 36,100 824,524 Haggar Corp. 6,300 109,242 * Hain Celestial Group, Inc. 51,088 1,178,600 * Halifax Corp. 1,000 5,070 * Hall Kinion Associates, Inc. 18,000 73,782 * Hammons (John Q.) Hotels, Inc. Class A 5,200 35,594 * Hampshire Group, Ltd. 4,000 124,120 Hancock Fabrics, Inc. 28,000 397,600 Hancock Holding Co. 20,150 1,153,587 Handleman Co. 36,523 642,805 * Hanger Orthopedic Group, Inc. 31,100 525,590 Hanmi Financial Corp. 5,500 113,685 * Hanover Compressor Co. 121,600 1,157,632 Harbor Florida Bancshares, Inc. 35,698 1,083,434 Hardinge, Inc. 8,800 91,080 Harland (John H.) Co. 42,000 1,150,800 Harleysville Group, Inc. 43,667 855,873 Harleysville National Corp. 35,207 $ 1,083,671 * Harmonic, Inc. 101,660 883,425 * Harolds Stores, Inc. 2,308 8,540 * Harris Interactive, Inc. 83,200 574,080 Harrodsburg First Financial Bancorp, Inc. 1,100 24,387 * Hartmarx Corp. 33,600 144,480 * Harvard Bioscience, Inc. 44,300 318,960 * Harvest Natural Resources, Inc. 52,900 391,989 * Hastings Entertainment, Inc. 11,300 50,285 * Hastings Manufacturing Co. 700 3,017 * Hauppauge Digital, Inc. 8,800 23,496 * Hauser, Inc. 5,050 252 Haverty Furniture Co., Inc. 15,700 335,352 Haverty Furniture Co., Inc. Class A 400 8,780 * Hawaiian Holdings, Inc. 29,875 82,156 * Hawk Corp. 8,500 28,985 Hawkins, Inc. 10,200 134,742 * Hawthorne Financial Corp. 16,800 452,760 * Headwaters, Inc. 41,700 795,636 * Headway Corporate Resources, Inc. 12,000 90 * HealthAxis, Inc. 750 2,137 Healthcare Services Group, Inc. 11,100 219,669 * HealthExtras, Inc. 48,650 612,990 Heartland Express, Inc. 59,573 1,445,837 * Hecla Mining Co. 164,600 1,221,332 * Hector Communications Corp. 3,500 49,157 * HEI, Inc. 6,000 18,000 Heico Corp. 13,800 254,886 Heico Corp. Class A 5,532 81,874 * Heidrick & Struggles International, Inc. 27,400 658,970 Helix Technology Corp. 39,100 848,470 Helmerich & Payne, Inc. 18,600 448,260 *# Hemispherx Biopharma, Inc. 56,500 145,770 Henry Jack & Associates, Inc. 44,242 916,694 * Hercules, Inc. 166,300 1,669,652 * Heritage Commerce Corp. 2,800 35,000 Heritage Financial Corp. 7,500 165,075 * Herley Industries, Inc. 21,000 405,720 * Hexcel Corp. 58,000 402,520 HF Financial Corp. 3,300 59,400 *# Hi-Shear Technology Corp. 8,600 23,564 * Hi-Tech Pharmacal, Inc. 10,850 220,038 * HI/FN, Inc. 10,400 114,608 * Hibbett Sporting Goods, Inc. 23,100 716,562 Hickory Tech Corp. 13,900 168,190 # Hilb Rogal Hamilton Co. 53,600 1,559,760 * Hines Horticulture, Inc. 22,000 90,860 Hirsch International Corp. Class A 3,300 3,597 * HMI Industries, Inc. 2,200 1,815 HMN Financial, Inc. 4,400 108,416 * HMS Holdings Corp. 27,595 118,383 * Hoenig Group Escrow 7,900 1,817 * Holiday RV Superstores, Inc. 930 5 # Hollinger International, Inc. Class A 100,900 1,605,319 * Hollis-Eden Pharmaceuticals, Inc. 28,600 392,678 Holly Corp. 18,600 494,016 * Hollywood Entertainment Corp. 85,373 1,166,195 * Hollywood Media Corp. 28,500 63,840
166
SHARES VALUE+ ------ ------ * Hologic, Inc. 29,700 $ 446,688 Home Federal Bancorp 4,300 123,001 Home Loan Financial Corp. 1,700 34,000 * Home Products International, Inc. 7,800 10,374 * Homegold Financial, Inc. 6,100 49 * HomeStore, Inc. 10,700 37,557 Hooper Holmes, Inc. 101,200 620,356 HopFed Bancorp, Inc. 2,100 37,086 Horace Mann Educators Corp. 59,038 797,603 Horizon Financial Corp. 15,465 273,576 * Horizon Health Corp. 9,900 226,116 * Horizon Offshore, Inc. 39,600 177,408 * Horizon Organic Holding Corp. 13,400 320,796 * Hot Topic, Inc. 66,200 1,972,760 * Houston Exploration Co. 45,297 1,545,081 * Hovnanian Enterprises, Inc. Class B 1,150 106,087 * HPSC, Inc. 2,100 29,988 * Hub Group, Inc. Class A 7,000 112,280 * Hudson Highland Group, Inc. 2,130 42,983 Hudson River Bancorp, Inc. 22,082 767,570 * Hudson Technologies, Inc. 5,100 4,335 * Huffy Corp. 22,505 153,709 Hughes Supply, Inc. 35,269 1,611,793 Humboldt Bancorp 18,165 317,343 * Hurco Companies, Inc. 5,600 16,240 * Hutchinson Technology, Inc. 38,800 1,263,716 * Huttig Building Products, Inc. 5,300 14,310 * Hycor Biomedical, Inc. 8,000 33,360 * Hydril Co. 23,200 553,784 * Hypercom Corp. 74,200 377,678 * HyperFeed Technologies, Inc. 1,450 8,555 * Hyperion Solutions Corp 56,024 1,858,876 * I-many, Inc. 47,900 45,505 * I-Stat Corp. 30,200 380,520 * I-Trax Inc. 9,200 27,140 * I.C. Isaacs & Co., Inc. 7,200 5,580 Iberiabank Corp. 8,000 463,840 * Ibis Technology Corp. 14,800 240,500 *# icad, Inc. 3,600 20,520 * Ico, Inc. 14,320 17,327 * ICT Group, Inc. 17,923 241,244 *# ICU Medical, Inc. 20,350 693,731 Idacorp, Inc. 57,300 1,684,620 * Identix, Inc. 128,612 666,210 Idex Corp. 42,200 1,666,056 *# IDEXX Laboratories, Inc. 26,400 1,250,040 * iDine Rewards Network, Inc. 34,100 371,690 * IDT Corp. 34,478 648,186 * IDT Corp. Class B 29,500 570,235 * IDX Systems Corp. 44,051 1,127,706 * iGate Capital Corp. 77,112 490,432 * IGEN, Inc. 30,900 1,825,881 * IGI, Inc. 2,100 3,549 * Igo Escrow Share 4,100 0 IHOP Corp. 32,200 1,255,800 * II-VI, Inc. 21,370 486,381 Ikon Office Solutions, Inc. 149,560 1,266,773 * ILEX Oncology, Inc. 58,300 1,216,721 * Illumina, Inc. 47,961 329,012 ILX Resorts, Inc. 2,900 20,010 * Image Entertainment, Inc. 27,400 $ 134,260 *# ImageWare Systems, Inc. 5,500 13,585 # Imation Corp. 9,900 336,105 # IMC Global, Inc. 172,658 1,255,224 * IMCO Recycling, Inc. 22,500 169,875 * Immersion Corp. 29,800 157,940 * Immucor, Inc. 36,875 851,812 * ImmunoGen, Inc. 60,853 287,835 * Immunomedics, Inc. 74,800 288,728 * IMPAC Medical Systems, Inc. 10,400 257,296 *# Impath, Inc. 21,600 65,880 * Impax Laboratoroes, Inc. 78,844 1,111,700 * Impco Technologies, Inc. 24,700 161,785 * Imperial Sugar Co. 4,420 49,018 *# Imperial Sugar Company 14,551 0 * Implant Sciences Corp. 8,700 65,598 * Impreso, Inc. 5,300 9,699 * Incyte Genomics, Inc. 107,930 652,976 Independence Holding Co. 2,750 63,126 Independent Bank Corp. MA 21,900 640,575 Independent Bank Corp. MI 28,786 839,112 * Indevus Pharmaceuticals, Inc. 70,594 400,974 * Index Development Partners, Inc. 9,800 392 * Indus International, Inc. 34,900 104,700 * Industrial Distribution Group, Inc. 8,700 41,325 * Inet Technologies, Inc. 58,057 745,452 * Infinity, Inc. 11,398 42,742 *# Infocrossing, Inc. 5,300 52,942 * InFocus Corp. 59,189 468,777 * Infonet Services Corp. 98,800 187,720 * Informatica Corp. 119,800 1,351,344 *# Information Architects Corp. 1,080 97 * Information Holdings, Inc. 30,900 687,525 * Information Resources, Inc. 3,600 17,640 * Inforte Corp. 16,400 141,040 * InfoSpace, Inc. 46,946 1,232,332 * infoUSA, Inc. 76,762 652,477 Ingles Market, Inc. Class A 14,800 149,480 * Inkine Pharmaceutical Co., Inc. 21,400 111,922 * Innodata Corp. 20,300 84,245 * Innotrac Corp. 11,600 105,444 * Innovative Clinical Solutions, Ltd. 968 8 * Innovative Gaming Corp. 830 12 * Innovative Solutions & Support, Inc. 12,700 190,246 * Innovex, Inc. 27,200 255,680 * Input/Output, Inc. 76,800 300,288 * Insight Communications Co., Inc. 73,575 716,620 * Insight Enterprises, Inc. 69,279 1,295,517 * Insightful Corp. 6,300 14,301 * Insignia Systems, Inc. 17,250 39,847 * Insilco Holding Co. 192 48 * Insite Vision, Inc. 18,000 7,200 * Insituform East, Inc. 1,700 2,584 * Insituform Technologies, Inc. Class A 39,719 597,771 * Insmed, Inc. 56,718 167,885 * Inspire Pharmaceuticals, Inc. 47,580 823,134 * Insteel Industries, Inc. 4,700 3,995 * Instinet Group, Inc. 38,600 206,896 * Insurance Auto Auctions, Inc. 17,279 219,443 * InsWeb Corp. 1,633 8,165
167
SHARES VALUE+ ------ ------ Integra Bank Corp. 25,183 $ 562,840 * Integra Lifesciences Corp. 40,100 1,258,739 * Integral Systems, Inc. 9,200 197,248 * Integral Vision, Inc. 3,300 577 * IntegraMed America, Inc. 3,100 19,778 * Integrated Bio 9,500 92,150 * Integrated Device Technology, Inc. 69,483 1,309,755 * Integrated Electrical Services, Inc. 54,300 425,712 * Integrated Information Systems, Inc. 820 287 * Integrated Silicon Solution, Inc. 41,800 781,660 * Integrated Telecom Express, Inc. 600 0 * Integrity Media, Inc. 1,900 11,400 *# Intelli-Check, Inc. 12,500 83,750 * Intellidata Technologies Corp. 69,500 114,675 * Intelligent Systems Corp. 4,500 8,190 * Intelligroup, Inc. 16,100 85,008 Inter Parfums, Inc. 18,550 377,307 * Interactive Data Corp. 58,013 977,519 * Interactive Intelligence, Inc. 15,300 86,292 * InterCept Group, Inc. 30,300 320,271 Interchange Financial Services Corp. 12,600 289,296 * Interdigital Communications Corp. 84,500 1,730,560 * Interep National Radio Sales, Inc. 4,600 9,798 * Interface, Inc. Class A 69,757 396,917 * Interferon Scientific, Inc. 2,435 89 *# Intergraph Corp. 67,600 1,717,040 * Interland, Inc. 18,610 127,478 * Interlink Electronics, Inc. 9,700 67,900 * Intermagnetics General Corp. 25,095 565,390 Intermet Corp. 38,400 187,008 *# InterMune, Inc. 47,700 1,006,947 International Aluminum Corp. 2,100 53,550 * International Microcomputer Software, Inc. 5,100 6,783 * International Multifoods Corp. 29,000 517,070 * International Remote Imaging Systems, Inc. 10,100 50,399 * International Shipholding Corp. 6,100 82,350 * Internet Commerce Corp. 4,000 3,840 * Internet Pictures Corp. 4,350 9,657 * Internet Security Systems, Inc. 74,700 1,267,659 * Interphase Corp. 5,400 92,340 Interpool, Inc. 38,000 577,600 * Interpore International, Inc. 26,700 325,206 Interstate Bakeries Corp. 65,700 1,034,775 * Interstate Hotels & Resorts, Inc. 23,840 128,259 Inter-Tel, Inc. 37,500 907,500 * Intervoice, Inc. 50,618 529,464 * Interwoven, Inc. 56,207 841,990 * Intest Corp. 8,600 48,504 * Intevac, Inc. 12,000 203,880 * Intrado, Inc. 23,600 470,820 * Intraware, Inc. 14,200 30,956 * Introgen Therapeutics, Inc. 34,975 245,524 * Intrusion, Inc. 16,200 12,150 * Intuitive Surgical, Inc. 3,908 59,675 Invacare Corp. 42,900 1,673,100 * Inveresk Resh 25,507 561,409 * Inverness Medical Innovations, Inc. 7,461 176,826 * Investment Technology Group, Inc. 70,700 1,251,390 * INVESTools, Inc. 4,283 $ 5,825 Investors Title Co. 1,400 42,840 * Invision Technologies, Inc. 25,400 757,428 * Invivo Corp. 6,600 139,663 * Iomed, Inc. 7,200 16,200 Iomega Corp. 76,295 418,860 * Ion Networks, Inc. 6,500 325 * Ionics, Inc. 26,300 845,545 * Iridex Corp. 6,800 37,298 Irwin Financial Corp. 41,200 1,246,712 Isco, Inc. 5,635 54,885 * Isis Pharmaceuticals, Inc. 83,300 498,967 *# Island Pacific, Inc. 55,300 122,766 * Isle of Capri Casinos, Inc. 53,200 1,072,033 *# Isolagen Inc. 14,800 98,124 * Iteris Holdings, Inc. 300 615 * ITLA Capital Corp. 5,800 291,276 * Itron, Inc. 30,700 589,133 * ITXC Corp. 45,200 178,540 * Ixia 93,400 1,189,916 * IXYS Corp. 49,124 412,642 * J & J Snack Foods Corp. 12,200 439,200 * J Net Enterprises, Inc. 8,400 9,660 * J. Alexander's Corp. 6,700 50,250 * J. Jill Group, Inc. 29,400 374,556 * j2 Global Communication, Inc. 34,332 975,715 * Jack in the Box, Inc. 54,000 1,125,900 # Jacksonville Bancorp, Inc. 1,600 59,768 * Jaclyn, Inc. 1,300 6,175 * Jaco Electronics, Inc. 5,659 39,899 * Jacuzzi Brands, Inc. 112,378 724,838 * Jakks Pacific, Inc. 36,923 501,784 * Jarden Corp. 39,150 1,059,007 * JDA Software Group, Inc. 42,812 780,035 Jefferies Group, Inc. 49,900 1,560,872 * Jennifer Convertibles, Inc. 1,300 4,355 JLG Industries, Inc. 65,100 979,104 * JLM Industries, Inc. 6,500 8,937 * JMAR Industries, Inc. 23,700 38,631 * Jo-Ann Stores, Inc. 8,575 171,929 * Johnson Outdoors, Inc. 6,700 96,815 * Jones Lang LaSalle, Inc. 46,800 980,460 * Jos. A. Bank Clothiers, Inc. 10,000 412,100 * Joule, Inc. 1,500 2,272 * Journal Register Co. 61,500 1,226,925 * Joy Global, Inc. 73,200 1,537,200 * JPS Industries, Inc. 9,200 20,056 * Juno Lighting, Inc. 980 21,442 * Jupitermedia Corp. 28,080 141,804 K Swiss, Inc. Class A 18,300 891,393 * K-Tel International, Inc. 3,800 237 * K-Tron International, Inc. 2,400 40,704 * K-V Pharmaceutical Co. Class A 46,050 1,201,905 * K-V Pharmaceutical Co. Class B 15,375 406,054 * K2, Inc. 42,462 649,669 * Kadant, Inc. 20,420 366,539 * Kaiser Aluminum Corp. 80,100 6,408 Kaman Corp. Class A 34,200 440,154 *# Kansas City Southern Industries, Inc. 92,600 1,231,580 * Katy Industries, Inc. 8,300 51,045
168
SHARES VALUE+ ------ ------ Kaydon Corp. 42,100 $ 1,028,082 * KBK Capital Corp. 2,200 4,290 * KCS Energy, Inc. 57,400 520,044 * Keane, Inc. 98,164 1,384,112 * Keith Companies, Inc. 9,600 136,896 Keithley Instruments, Inc. 19,800 357,390 Kellwood Co. 39,776 1,521,034 Kelly Services, Inc. 49,905 1,421,294 * Kemet Corp. 134,823 1,779,664 * Kendle International, Inc. 18,903 129,486 Kennametal, Inc. 35,200 1,353,088 * Kennedy-Wilson, Inc. 8,800 53,152 * Kensey Nash Corp. 17,200 361,716 *# Keravision, Inc. 7,400 7 Kewaunee Scientific Corp. 2,000 22,600 * Key Energy Group, Inc. 183,400 1,670,774 * Key Technology, Inc. 4,700 65,424 * Key Tronic Corp. 8,600 18,395 * Keynote Systems, Inc. 18,600 229,524 * Keystone Automotive Industries, Inc. 22,240 541,989 * Keystone Consolidated Industries, Inc. 2,100 262 * Kforce, Inc. 46,100 389,545 * KFX, Inc. 70,100 419,899 Kimball International, Inc. Class B 35,200 521,664 * Kindred Healthcare, Inc. 26,500 1,367,135 * Kirby Corp. 36,200 1,086,000 * Kirklands, Inc. 17,200 359,480 * Kit Manufacturing Co. 300 0 Klamath First Bancorp, Inc. 6,800 174,420 Knape & Vogt Manufacturing Co. 2,290 25,785 * Knight Trading Group, Inc. 50,956 735,295 * Knight Transportation, Inc. 56,025 1,357,486 * Koala Corp. 6,500 747 * Komag Inc. 34,709 572,351 * Kontron Mobile Computing, Inc. 8,900 3,355 * Kopin Corp. 103,587 733,396 * Korn/Ferry International 56,400 565,692 *# Kos Pharmaceuticals, Inc. 32,100 1,428,450 * Kosan Biosciences, Inc. 37,224 354,000 Koss Corp. 3,600 65,880 * Kroll, Inc. 62,560 1,498,312 * Kronos, Inc. 38,900 1,523,713 * Kulicke & Soffa Industries, Inc. 75,034 1,236,560 * KVH Industries, Inc. 17,300 545,642 * Kyphon, Inc. 57,700 1,580,980 * La Jolla Pharmceutical Co. 76,200 220,980 La-Z-Boy, Inc. 82,000 1,656,400 * LaBarge, Inc. 15,700 98,125 * LabOne, Inc. 17,650 511,674 * Labor Ready, Inc. 60,800 693,120 Labranche & Co., Inc. 54,800 453,196 Laclede Group, Inc. 28,000 819,000 * LaCrosse Footwear, Inc. 5,800 31,900 Ladish Co., Inc. 19,500 160,095 Lakeland Bancorp, Inc. 13,119 209,904 * Lakeland Industries, Inc. 2,420 31,291 * Lakes Entertainment, Inc. 10,975 158,029 * Lamson & Sessions Co. 20,000 117,000 Lance, Inc. 62,400 874,224 * Lancer Corp. 9,325 $ 51,194 Landamerica Financial Group, Inc. 27,900 1,434,060 Landauer, Inc. 12,400 466,240 * Landec Corp. 31,790 206,635 Landry's Restaurants, Inc. 41,400 1,015,128 * Landstar Systems, Inc. 36,400 1,310,400 * Lannet Co., Inc. 30,030 538,138 * Lantronix, Inc. 15,000 16,800 * Larscom, Inc. 1,157 5,854 * Laserscope 25,950 415,200 * Latitude Communications, Inc. 28,400 110,760 * Lattice Semiconductor Corp. 165,266 1,565,069 Lawson Products, Inc. 9,600 325,728 * Lawson Software, Inc. 146,808 1,239,060 * Layne Christensen Co. 11,600 120,640 * Lazare Kaplan International, Inc. 8,700 58,725 * LCA-Vision, Inc. 16,150 270,997 * LCC International, Inc. Class A 21,900 107,529 * Learning Tree International, Inc. 25,600 444,672 * Lecroy Corp. 10,100 168,670 * Lectec Corp. 3,900 1,950 Leesport Financial Corp. 525 12,758 Lennox International, Inc. 87,905 1,494,385 * Lesco, Inc. 18,300 233,691 *# Level 8 Systems, Inc. 4,629 1,805 * Lexar Media, Inc. 87,097 1,860,392 * Lexent, Inc. 39,200 57,232 * Lexicon Genetics, Inc. 91,200 478,800 Libbey, Inc. 20,400 597,924 * Liberate Technologies, Inc. 106,300 390,653 Liberty Corp. 27,300 1,213,485 Liberty Homes, Inc. Class A 200 1,020 * Lifecell Corp. 37,700 211,120 * Lifecore Biomedical, Inc. 19,300 129,310 * Lifeline Systems, Inc. 4,100 143,500 # Lifetime Hoan Corp. 15,862 222,068 * Ligand Pharmaceuticals, Inc. Class B 103,477 1,384,522 * Lightbridge, Inc. 40,121 386,365 * Lightning Rod Software, Inc. 580 696 * LightPath Technologies, Inc. 1,850 5,421 * Lin TV Corp. 39,300 882,285 Lincoln Electric Holdings 62,062 1,571,410 Lindsay Manufacturer Co. 17,600 428,912 *# Linens 'n Things, Inc. 66,300 1,949,883 * Lionbridge Technologies, Inc. 31,197 336,928 * Lipid Sciences, Inc. 10,258 25,440 Liquid Audio, Inc. 19,100 5,253 *# Liquidmetal Technologies, Inc. 5,500 11,550 Lithia Motors, Inc. Class A 20,910 518,986 * Littlefuse, Inc. 32,500 968,175 * LMI Aerospace, Inc. 7,900 14,141 LNB Bancorp, Inc. 1,200 25,020 # LNR Property Corp. 29,900 1,323,075 * Local Financial Corp. 9,500 188,765 * Lodgenet Entertainment Corp. 18,900 341,145 * Lodgian, Inc. 155 967 *# Log On America, Inc. 600 2 * Logic Devices, Inc. 6,700 12,261 * LogicVision, Inc. 12,600 56,574 * Logility, Inc. 13,200 64,152
169
SHARES VALUE+ ------ ------ * Lojack Corp. 22,100 $ 195,806 Lone Star Steakhouse & Saloon, Inc. 31,300 722,091 * Lone Star Technologies, Inc. 42,200 584,470 Longs Drug Stores Corp. 56,200 1,376,900 Longview Fibre Co. 76,000 833,720 * LookSmart, Ltd. 142,767 212,723 * LOUD Technologies, Inc. 12,400 36,580 * Louisiana-Pacific Corp. 105,900 1,915,731 Lowrance Electronics, Inc. 2,200 44,990 LSB Bancshares, Inc. NC 5,156 97,294 LSB Corp. 4,300 74,609 LSI Industries, Inc. 29,327 365,121 * LTX Corp. 78,100 1,302,708 * Luby's, Inc. 39,700 149,272 Lufkin Industries, Inc. 6,400 166,336 * Luminex Corp. 44,555 470,055 * Lydall, Inc. 23,300 285,192 * Lynch Corp. 1,500 16,028 * Lynch Interactive Corp. 2,800 65,870 * M & F Worldwide Corp. 19,500 270,075 * M-Wave, Inc. 2,900 1,711 M/I Schottenstein Homes, Inc. 21,600 828,360 MacDermid, Inc. 46,500 1,525,200 * Mace Security International, Inc. 11,200 22,400 * Mac-Gray Corp. 12,600 63,000 * Macromedia, Inc. 74,488 1,527,749 * Macrovision Corp. 73,100 1,673,990 * Madden (Steven), Ltd. 19,600 419,048 MAF Bancorp, Inc. 37,659 1,653,607 * Magic Lantern Group, Inc. 1,700 2,363 *# Magma Design Automation, Inc. 48,283 1,136,099 * Magna Entertainment Corp. 22,300 104,810 * Magnetek, Inc. 36,400 234,780 * Magnum Hunter Resources, Inc. 98,302 883,735 * MAI Systems Corp. 3,400 459 * MAII Holdings, Inc. 3,400 0 * Mail-Well, Inc. 83,000 313,740 * Main Street & Main, Inc. 15,500 37,975 Main Street Banks, Inc. 28,000 741,440 Maine & Maritimes Corp. 1,600 55,200 * MAIR Holdings, Inc. 30,516 232,227 * Major Automotive Companies, Inc. 3,280 2,066 * Management Network Group, Inc. 34,000 109,752 * Manatron, Inc. 1,102 9,367 * Manchester Technologies, Inc. 8,000 26,400 *# Manhattan Associates, Inc. 43,400 1,320,662 Manitowoc Co., Inc. 39,650 1,070,550 * Mannatech, Inc. 13,500 164,700 * Manning (Greg) Auctions, Inc. 9,200 103,500 * Manufacturers' Services Ltd. 47,800 291,580 * Manugistic Group, Inc. 108,900 725,274 * Mapics, Inc. 34,056 411,056 * Mapinfo Corp. 23,100 204,435 * Marimba, Inc. 37,200 191,208 Marine Products Corp. 17,020 278,277 * MarineMax, Inc. 29,375 558,125 * Marisa Christina, Inc. 6,700 10,720 Maritrans, Inc. 7,800 129,558 *# MarketWatch.com, Inc. 26,041 230,723 * MarkWest Hydrocarbon, Inc. 9,350 107,525 * Marlton Technologies, Inc. 7,800 $ 4,251 Marsh Supermarkets, Inc. Class A 1,600 17,584 Marsh Supermarkets, Inc. Class B 4,500 49,500 * Martek Biosciences Corp. 31,500 1,913,310 * Marten Transport, Ltd. 6,300 151,956 * Martha Stewart Living Omnimedia, Ltd. 28,300 276,774 * Mascotech, Inc. 60,200 0 MASSBANK Corp. 4,700 189,692 Massey Energy Co. 110,600 1,537,340 * Mastec, Inc. 70,850 940,888 * Material Sciences Corp. 21,300 202,137 * Matria Healthcare, Inc. 15,269 311,946 *# Matritech, Inc. 30,500 62,525 * Matrix Bancorp, Inc. 6,500 59,410 * Matrix Service Co. 24,400 389,180 * MatrixOne, Inc. 83,200 495,040 * Matrixx Initiatives, Inc. 14,200 239,270 Matthews International Corp. Class A 48,400 1,377,948 * Mattson Technology, Inc. 67,445 1,035,281 * Maui Land & Pineapple Company, Inc. 10,200 319,260 * Maverick Tube Corp. 62,900 1,162,392 * Max & Ermas Restaurants, Inc. 2,300 42,838 * Maxco, Inc. 3,100 8,138 Maxcor Financial Group, Inc. 9,372 122,773 * Maxicare Health Plans, Inc. 3,580 895 *# Maxim Pharmaceuticals, Inc. 33,833 240,891 * Maximus, Inc. 31,300 1,186,270 * Maxwell Shoe Company, Inc. 21,600 379,944 * Maxwell Technologies, Inc. 20,760 167,118 * Maxxam, Inc. 8,900 142,400 * Maxygen, Inc. 52,137 565,686 * Mayor's Jewelers, Inc. 20,300 15,225 * Mays (J.W.), Inc. 200 2,724 MB Financial, Inc. 25,800 1,340,568 * McDATA Corp. 121,454 1,292,271 McGrath Rent Corp. 18,200 498,498 *# McMoran Exploration Co. 25,064 450,149 McRae Industries, Inc. Class A 2,600 23,790 * Meade Instruments Corp. 29,800 125,160 * Meadow Valley Corp. 2,400 3,958 * Meadowbrook Insurance Group, Inc. 13,900 55,600 *# Measurement Specialties, Inc. 12,900 176,601 * Mechanical Technology, Inc. 4,700 23,500 * Medarex, Inc. 117,170 796,756 * MedCath Corp. 17,249 163,676 *# Med-Design Corp. 24,500 90,895 * Media 100, Inc. 7,100 5,325 * Media Arts Group, Inc. 20,600 81,164 Media General, Inc. Class A 3,100 207,359 * MediaBay, Inc. 14,700 19,257 * Mediacom Communications Corp. 136,000 1,048,560 * Medialink Worldwide, Inc. 5,900 18,290 * Medical Action Industries, Inc. 14,900 247,340 * Medical Staffing Network Holdings, Inc. 44,300 431,925 * Medicore, Inc. 3,800 8,759 *# Medifast, Inc. 15,900 241,680
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SHARES VALUE+ ------ ------ * Medquist, Inc. 64,700 $ 995,733 * MedSource Technologies, Inc. 40,500 187,110 * Medstone International, Inc. 3,900 18,412 * MEDTOX Scientific, Inc. 5,030 28,168 * Memberworks, Inc. 17,500 474,775 * Mens Warehouse, Inc. 59,100 1,816,143 Mentor Corp. 69,600 1,534,680 *# Mentor Graphics Corp. 102,400 1,500,160 Mercantile Bank Corp. 1,200 41,160 Merchants Bancshares, Inc. 6,150 181,425 Merchants Group, Inc. 1,300 31,636 * Mercury Air Group, Inc. 4,950 24,255 * Mercury Computer Systems, Inc. 31,500 754,425 * Merge Technologies, Inc. 17,094 299,145 Meridian Bioscience, Inc. 20,583 213,446 *# Meridian Resource Corp. 75,300 343,368 * Merit Medical Systems, Inc. 28,725 899,093 * Meritage Corp. 18,200 1,149,330 * Merix Corp. 21,619 451,405 * Merrimac Industries, Inc. 2,860 17,017 * Mesa Air Group, Inc. 47,200 568,760 Mesa Labs, Inc. 3,300 29,849 * Mestek, Inc. 5,400 101,520 * Meta Group, Inc. 12,700 71,374 * MetaSolv, Inc. 40,000 96,000 Methode Electronics, Inc. Class A 34,100 437,503 Met-Pro Corp. 8,100 122,310 # Metris Companies, Inc. 84,700 377,762 *# Metro One Telecommunications, Inc. 33,950 65,863 MetroCorp. Bancshares, Inc. 7,000 99,015 * Metrologic Instruments, Inc. 16,200 441,288 * Metromedia International Group, Inc. 44,700 6,817 MFB Corp. 1,300 40,983 * MFRI, Inc. 4,900 13,083 MGE Energy, Inc. 26,492 848,009 * MGI Pharma, Inc. 45,100 1,730,487 MGP Ingredients, Inc. 8,000 94,400 * Michael Anthony Jewelers, Inc. 7,400 15,059 * Micrel, Inc. 122,273 2,090,868 *# Micro Component Technology, Inc. 14,052 21,078 * Micro Linear Corp. 12,000 72,000 * MicroFinancial, Inc. 13,000 41,470 * Micromuse, Inc. 117,493 945,819 * Micros Systems, Inc. 27,100 1,172,346 * Micros to Mainframes, Inc. 4,900 6,664 * Microsemi Corp. 43,500 1,054,005 * MicroStrategy, Inc. 10,200 550,800 * Microtek Medical Holdings, Inc. 63,210 258,529 * Micro-Therapeutics, Inc. 21,500 79,980 * Microtune, Inc. 63,300 138,627 * Microvision, Inc. 26,746 207,282 * Midas, Inc. 22,600 342,390 Middleby Corp. 13,100 446,985 Middlesex Water Co. 8,400 168,000 Midland Co. 6,600 139,788 Mid-State Bancshares 34,896 902,062 *# Midway Games, Inc. 69,900 236,262 Midwest Banc Holdings, Inc. 26,050 570,495 * Midwest Express Holdings, Inc. 22,400 92,960 *# Mikohn Gaming Corp. 19,600 $ 85,456 Milacron, Inc. 58,600 135,952 *# Millennium Cell, Inc. 44,800 116,928 Millennium Chemicals, Inc. 94,900 1,026,818 * Miller Industries, Inc. 9,280 57,536 * Millerbuilding Systems Escrow Shares 3,200 960 * Millicom International Cellular S.A. 81 6,480 * Miltope Group, Inc. 5,800 34,916 * MIM Corp. 31,700 223,485 Mine Safety Appliances Co. 12,000 805,560 Minerals Technologies, Inc. 26,100 1,395,045 * Minorplanet Systems USA, Inc. 4,460 1,962 Minuteman International, Inc. 1,000 9,230 * MIPS Technologies, Inc. 22,200 120,990 *# Miravant Medical Technologies 1,800 1,854 * Misonix, Inc. 9,300 37,860 * Mission Resources Corp. 34,200 61,560 * Mississippi Chemical Corp. 4,742 379 * Mitcham Industries, Inc. 8,700 17,922 * Mitek Systems, Inc. 11,100 25,097 * Mity Enterprises, Inc. 5,000 92,100 * MKS Instruments, Inc. 72,242 2,001,826 *# MKTG Services, Inc. 471 2,859 * Mobile Mini, Inc. 21,547 425,122 * Mobility Electronics, Inc. 34,800 389,760 * Mobius Management Systems, Inc. 17,100 256,671 Mocon, Inc. 5,500 47,190 * Modem Media, Inc. 1,800 11,358 Modine Manufacturing Co. 50,295 1,283,025 * Mod-Pac Corp. 2,750 21,533 * Mod-Pac Corp. Class B 1,112 8,707 * Modtech Holdings, Inc. 18,852 156,283 * Moldflow Corp. 15,109 169,976 * Molecular Devices Corp. 34,540 684,928 * Monaco Coach Corp. 43,150 1,003,669 * Monarch Casino and Resort, Inc. 8,000 81,120 * Mondavi (Robert) Corp. Class A 14,400 504,000 * Monolithic System Technology, Inc. 45,933 342,660 * Monro Muffler Brake, Inc. 12,300 272,445 * Monterey Pasta Co. 21,300 81,579 *# Mony Group, Inc. 6,100 192,272 * Moog, Inc. Class A 12,800 556,800 * Moog, Inc. Class B 2,200 96,404 * Moore Medical Corp. 3,100 20,770 * Morgan Group Holding Co. 4,400 550 * Morgan's Foods, Inc. 900 1,350 * Morton Industrial Group, Inc. Class A 1,000 600 * Mossimo, Inc. 16,600 82,170 * Mother's Work, Inc. 7,654 193,340 * Motor Car Parts & Accessories, Inc. 2,500 14,075 Movado Group, Inc. 12,000 326,280 *# Movie Gallery, Inc. 48,800 863,272 * MPS Group, Inc. 154,000 1,416,800 * MPW Industrial Services Group 5,000 11,175 * MRO Software, Inc. 36,800 507,840 * MRV Communications, Inc. 153,500 615,535 MSC Industrial Direct Co., Inc. Class A 33,100 871,854
171
SHARES VALUE+ ------ ------ * MSC Software Corp. 45,300 $ 446,205 * MTC Technologies, Inc. 14,800 443,260 *# MTI Technology Corp. 1,300 3,185 * MTR Gaming Group, Inc. 40,714 451,925 MTS Systems Corp. 32,140 596,840 * Mueller Industries, Inc. 50,445 1,630,382 * Multi Color Corp. 1,500 43,125 * Multimedia Games, Inc. 19,700 806,321 MutualFirst Financial, Inc. 2,000 51,180 Myers Industries, Inc. 39,563 495,724 * Mykrolis Corp. 59,800 947,232 * Myriad Genetics, Inc. 40,600 479,892 Mystic Financial, Inc. 1,575 44,179 * Nabi Biopharmaceuticals 69,550 749,054 Nacco Industries, Inc. Class A 6,500 507,000 *# Nanogen, Inc. 36,600 120,780 * Nanometrics, Inc. 17,194 251,032 * Nanophase Technologies Corp. 23,598 126,485 * Napco Security Systems, Inc. 2,150 17,469 Nara Bancorp, Inc. 7,000 153,370 Nash-Finch Co. 17,900 359,969 * Nashua Corp. 5,800 50,924 * Nassda Corp. 38,875 274,069 *# Nastech Pharmaceutical Co., Inc. 14,500 145,725 * NATCO Group, Inc. Class A 16,800 100,800 * Nathans Famous, Inc. 7,000 36,260 * National Beverage Corp. 18,100 272,948 * National Dentex Corp. 3,500 73,850 * National Equipment Services, Inc. 7,600 532 * National Home Health Care Corp. 5,465 48,311 * National Medical Health Card Systems, Inc. 7,200 165,600 National Penn Bancshares, Inc. 36,284 1,215,514 National Presto Industries, Inc. 6,800 242,080 * National Processing, Inc. 116,000 2,813,000 * National Research Corp. 7,000 108,423 * National RV Holdings, Inc. 11,900 127,925 * National Steel Corp. Class B 2,000 8 * National Technical Systems, Inc. 8,600 49,364 * National Western Life Insurance Co. Class A 1,000 146,205 * Natrol, Inc. 10,000 29,000 * Natural Alternatives International, Inc. 5,400 32,022 Nature's Sunshine Products, Inc. 20,466 165,365 * Natus Medical, Inc. 14,600 54,896 # Nautilus Group, Inc. 48,900 695,847 *# Navarre Corp. 32,400 230,364 * Navidec, Inc. 644 692 * Navigant Consulting, Inc. 65,300 1,129,690 *# Navigant International, Inc. 23,200 322,480 * Navigators Group, Inc. 8,400 267,204 NBT Bancorp 48,956 1,071,157 * NCI Building Systems, Inc. 26,900 626,501 * NCO Group, Inc. 38,332 885,469 * NCO Portfolio Management, Inc. 1,945 14,588 # NDChealth Corp. 52,800 1,412,400 * Nektar Therapeutics 83,269 1,097,485 Nelson (Thomas), Inc. 13,100 230,560 *# Neoforma, Inc. 27,937 445,875 * Neogen Corp. 6,100 128,283 * NeoMagic Corp. 45,900 $ 148,716 * NEON Systems, Inc. 8,600 30,960 * Neopharm, Inc. 28,217 506,213 * Neose Technologies, Inc. 25,900 218,337 * Neoware Systems, Inc. 6,900 115,713 Net Perceptions, Inc. 22,600 7,684 * Net2Phone, Inc. 47,200 297,360 NetBank, Inc. 57,533 753,682 * Netegrity, Inc. 52,100 638,225 * Netflix, Inc. 37,200 1,822,800 * Netguru, Inc. 17,200 20,468 * NetIQ Corp. 85,487 1,024,989 * NetManage, Inc. 10,442 56,387 * Netopia, Inc. 32,100 491,130 * NetRatings, Inc. 47,563 481,338 * Netscout System, Inc. 43,000 374,960 * NetSolve, Inc. 12,100 99,704 * Network Engines, Inc. 50,700 529,308 * Network Equipment Technologies, Inc. 34,500 358,800 *# Network Plus Corp. 14,500 17 * Neurobiological Technologies, Inc. 2,700 12,015 * Neurogen Corp. 26,417 168,567 Nevada Chemicals, Inc. 2,500 12,723 * Nevada Gold & Casinos, Inc. 15,850 188,615 * New Brunswick Scientific Co., Inc. 7,660 46,718 * New Century Equity Holdings Corp. 33,400 10,688 # New Century Financial Corp. 51,150 1,946,258 New England Business Services, Inc. 19,800 594,000 * New Focus, Inc. 83,129 406,501 New Hampshire Thrift BancShares, Inc. 200 6,200 * New Horizons Worldwide, Inc. 10,200 62,730 New Jersey Resources Corp. 40,800 1,566,720 Newmil Bancorp, Inc. 4,400 117,876 * Newpark Resources, Inc. 121,300 487,626 * Newport Corp. 54,718 931,848 * Newtek Business Services, Inc. 2,600 15,444 * Niagara Corp. 8,200 23,124 * NIC, Inc. 87,400 615,296 Nitches, Inc. 864 4,018 NL Industries, Inc. 68,800 1,230,144 * NMS Communications Corp. 51,800 303,030 * NMT Medical, Inc. 11,500 40,250 NN, Inc. 15,250 177,205 * Nobel Learning Communities, Inc. 6,500 31,850 * Nobility Homes, Inc. 4,100 43,706 Noble International, Ltd. 11,660 196,005 * Noel Group, Inc. 8,000 24 # Noland Co. 200 7,413 Nordson Corp. 49,600 1,612,496 * Norstan, Inc. 19,500 60,450 * North America Galvanizing & Coatings, Inc. 6,700 9,179 * North American Scientific, Inc. 14,300 143,000 North Central Bancshares, Inc. 1,700 65,467 * North Coast En 9,200 98,440 North Pittsburgh Systems, Inc. 22,000 405,438 Northeast Bancorp 900 18,225 Northeast Pennsylvania Financial Corp. 4,400 85,800
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SHARES VALUE+ ------ ------ Northern Technologies International Corp. 3,000 $ 14,985 *# Northfield Laboratories, Inc. 21,700 125,860 * Northland Cranberries, Inc. 6,900 4,968 Northrim BanCorp, Inc. 6,068 138,542 *# Northwest Airlines Corp. 128,800 1,701,448 Northwest Bancorp, Inc. 71,404 1,565,890 Northwest Natural Gas Co. 38,600 1,177,300 * Northwest Pipe Co. 6,300 93,240 * Novadigm, Inc. 28,200 104,340 *# Novamed Eyecare, Inc. 19,300 46,320 * Novavax, Inc. 45,200 259,900 * Novell, Inc. 6,970 66,215 * Noven Pharmaceuticals, Inc. 33,308 457,319 * Novoste Corp. 23,100 115,731 *# NPS Pharmaceuticals, Inc. 55,200 1,665,936 * NS Group, Inc. 31,300 233,811 * NTN Communications, Inc. 63,793 248,793 * Nu Horizons Electronics Corp. 23,700 190,074 *# Nucentrix Broadband Networks, Inc. 10,400 16,120 * NuCo2, Inc. 16,000 201,280 * Nuevo Energy Co. 28,900 570,486 NUI Corp. 29,892 467,212 * Numerex Corp. Class A 10,800 42,120 NuSkin Enterprises, Inc. 46,400 805,968 * Nutraceutical International Corp. 15,776 204,299 * Nutramax Products, Inc. 3,300 3 * Nutrition 21, Inc. 11,400 10,830 * Nuvelo, Inc. 110,467 431,926 NWH, Inc. 4,200 81,606 * NYFIX, Inc. 46,481 387,187 Nymagic, Inc. 8,700 233,421 * O'Charleys, Inc. 31,250 532,813 * O.I. Corp. 2,700 19,265 Oak Hill Financial, Inc. 3,000 93,000 Oakley, Inc. 98,800 1,294,280 * OAO Technology Solutions, Inc. 17,700 55,224 * Obie Media Corp. 5,900 16,019 * Oceaneering International, Inc. 36,300 793,155 OceanFirst Financial Corp. 19,732 520,333 * Ocular Sciences, Inc. 35,700 1,022,091 * Ocwen Financial Corp. 94,934 659,791 * Odd Job Stores, Inc. 12,700 38,735 * Odetics, Inc. Series B 200 80 * Odyssey Healthcare, Inc. 53,800 1,915,818 * Officemax, Inc. 159,500 1,567,885 * Offshore Logistics, Inc. 33,800 853,450 *# Oglebay Norton Co. 5,300 9,858 *# Ohio Casualty Corp. 88,600 1,507,086 * Oil States International, Inc. 67,131 843,165 Oil-Dri Corp. of America 4,200 62,958 * Old Dominion Freight Lines, Inc. 24,000 764,880 Olin Corp. 87,552 1,594,322 * Olympic Steel, Inc. 9,600 54,192 * OM Group, Inc. 42,500 1,028,925 Omega Financial Corp. 8,200 311,600 * Omega Protein Corp. 35,700 223,125 * Omnicell, Inc. 33,600 442,176 *# OmniVision Technologies, Inc. 32,000 2,085,120 * Omnova Solutions, Inc. 13,900 50,735 * Omtool, Ltd. 1,785 $ 12,816 * On Assignment, Inc. 35,200 178,464 * On Command Corp. 23,100 42,851 * ON Semiconductor Corp. 385,900 2,539,222 * On Technology Corp. 44,000 173,096 * On2.cCom, Inc. 75,000 120,000 * One Price Clothing Stores, Inc. 2,957 1,656 # Oneida, Ltd. 24,900 118,275 * OneSource Information Services, Inc. 11,900 117,084 * Online Resources Corp. 22,300 143,612 * Onyx Acceptance Corp. 5,100 56,202 * Onyx Pharmacueticals, Inc. 43,700 1,257,686 * ONYX Software Corp. 20,800 83,845 * OPENT Technologies, Inc. 29,300 527,107 * OpenTV Corp. 40,846 141,736 * Openwave Systems Inc. 51,299 617,127 * Opinion Research Corp. 6,700 37,989 * Oplink Communications, Inc. 53,100 126,909 * Opti, Inc. 11,600 16,472 * Optical Communication Products, Inc. 44,350 176,070 * Optical Sensors, Inc. 1,633 6,695 * OpticNet, Inc. 5,600 6 * Optika, Inc. 8,200 35,670 * Option Care, Inc. 31,300 311,122 * OraSure Technologies, Inc. 65,900 549,606 * Orbit International Corp. 1,582 10,598 * Orbital Sciences Corp. 71,900 659,323 * Oregon Steel Mills, Inc. 38,800 115,236 *# Orleans Homebuilders, Inc. 11,300 320,242 * Orphan Medical, Inc. 10,300 96,820 *# Orthodontic Centers of America, Inc. 76,951 545,583 * Orthologic Corp. 49,126 354,690 Oshkosh B'Gosh, Inc. Class A 14,500 313,200 Oshkosh Truck Corp. Class B 32,200 1,510,180 * OSI Pharmaceutical, Inc. 58,773 1,747,321 *# OSI Systems, Inc. 21,800 405,044 * Osteotech, Inc. 25,600 195,840 Otter Tail Co. 38,600 1,051,078 Outlook Group Corp. 2,400 12,000 * Overland Storage, Inc. 19,475 382,879 Overseas Shipholding Group, Inc. 53,525 1,506,729 * Overstock Com 24,400 385,764 Owens & Minor, Inc. 50,600 1,073,226 * Owosso Corp. 4,700 376 Oxford Industries, Inc. 7,500 512,100 *# Oxigene, Inc. 12,600 123,606 * Oxis International, Inc. 7,900 4,582 * OYO Geospace Corp. 5,100 67,779 * P&F Industries, Inc. Class A 1,300 11,050 * P.F. Chang's China Bistro, Inc. 35,500 1,916,290 * Pacific Aerospace & Electronics, Inc. 128 14 Pacific Capital Bancorp 50,933 1,881,974 Pacific Crest Capital, Inc. 2,120 54,548 * Pacific Mercantile Bancorp 5,900 54,280 * Pacific Premier Bancorp, Inc. 2,400 23,160 * Packaging Dynamics Corp. 4,120 44,702 * Packeteer, Inc. 48,100 912,409
173
SHARES VALUE+ ------ ------ * Pac-West Telecomm, Inc. 23,100 $ 51,282 * Pain Therapeutics, Inc. 53,027 323,465 * Palatin Technologies, Inc. 62 192 *# Paligent, Inc. 347 16 * Palm Harbor Homes, Inc. 33,011 627,209 * Palmone Inc. 46,984 703,350 * Palmsource Inc. 13,781 352,656 * PAM Transportation Services, Inc. 16,150 315,733 Pamrapo Bancorp, Inc. 5,100 126,327 * Panavision, Inc. 3,600 21,330 *# Panera Bread Co. 39,600 1,543,608 * Pantry, Inc. 9,900 228,007 *# Papa John's International, Inc. 26,900 709,891 * Par Technology Corp. 7,800 61,854 * Paradyne Networks Corp. 55,455 254,538 * Paragon Technologies, Inc. 4,200 40,278 * Parallel Petroleum Corp. 31,000 118,079 * Parametric Technology Corp. 388,388 1,328,287 * Parexel International Corp. 38,400 709,632 Park Bancorp, Inc. 1,200 34,188 Park Electrochemical Corp. 28,750 734,563 * Parker Drilling Co. 137,000 327,430 *# Parkervision, Inc. 19,300 193,000 * Park-Ohio Holdings Corp. 10,400 76,232 Parkvale Financial Corp. 5,700 152,019 * Parlex Corp. 6,300 51,345 * Parlux Fragrances, Inc. 9,900 32,165 * ParthusCeva, Inc. 10,833 94,789 * Party City Corp. 24,722 355,008 * Pathmark Stores, Inc. 42,179 306,220 * Patient Infosystems, Inc. 8,800 2,552 Patina Oil & Gas Corp. 44,465 1,995,589 Patrick Industries, Inc. 4,500 38,610 Patriot Bank Corp. 6,930 154,193 * Patriot Transportation Holding, Inc. 2,500 74,525 * Paula Financial, Inc. 6,100 9,455 * Paul-Son Gaming Corp. 4,100 24,518 * Paxar Corp. 58,600 770,590 * Paxson Communications Corp. 88,700 425,760 * Payless Cashways, Inc. 160 0 * Payless ShoeSource, Inc. 102,100 1,315,048 * PC Connection, Inc. 37,150 325,063 * PC Mall, Inc. 10,700 142,952 * PC-Tel, Inc. 37,700 337,415 * PDF Solutions, Inc. 33,959 375,926 * PDI, Inc. 21,500 621,350 * PDS Gaming Corp. 1,100 2,200 * PEC Solutions, Inc. 38,000 684,380 * Pediatric Services of America, Inc. 6,100 53,070 * Pediatrix Medical Group, Inc. 32,200 1,727,852 * Peerless Manufacturing Co. 3,000 35,565 * Peerless Systems Corp. 23,100 78,540 * Peet's Coffee & Tea, Inc. 19,150 322,103 *# Pegasus Communications Corp. 7,570 151,930 * Pegasus Solutions, Inc. 37,233 442,328 * Pegasystems, Inc. 51,900 415,200 * Pemco Aviation Group, Inc. 950 26,975 * Pemstar, Inc. 61,000 229,360 Penford Corp. 7,300 105,339 Penn Engineering & Manufacturing Corp. Class A 1,200 17,400 Penn Engineering & Manufacturing Corp. Non-Voting 15,000 $ 246,000 * Penn National Gaming, Inc. 59,300 1,400,666 * Penn Treaty American Corp. 24,800 39,928 Penn Virginia Corp. 12,600 591,066 Penn-America Group, Inc. 22,100 322,881 Pennfed Financial Services, Inc. 7,400 238,643 Penns Woods Bancorp, Inc. 770 34,565 * Penwest Pharmaceuticals Co. 27,400 421,960 Peoples Bancorp, Inc. 300 7,140 Pep Boys - Manny, Moe & Jack 78,600 1,611,300 * Perceptron, Inc. 12,850 95,090 * Performance Technologies, Inc. 19,100 257,659 * Pericom Semiconductor Corp. 38,800 454,736 * Perini Corp. 22,600 203,626 * Perot Systems Corp. 60,900 755,160 Perrigo Co. 104,800 1,581,432 * Perry Ellis International, Inc. 11,700 283,854 * Per-Se Technologies, Inc. 45,600 640,680 * Pervasive Software, Inc. 24,590 183,196 * Petrocorp, Inc. 6,900 93,426 * Petroleum Development Corp. 23,133 328,489 PFF Bancorp, Inc. 25,400 949,960 *# Pfsweb, Inc. 9 14 * Pharmacopeia, Inc. 52,900 661,250 * Pharmacyclics, Inc. 23,700 151,680 *# Pharmanetics, Inc. 9,500 20,235 * PharmChem, Inc. 5,100 1,428 *# Pharmos Corp. 6,200 22,816 * Philadelphia Consolidated Holding Corp. 31,400 1,589,782 Phillips-Van Heusen Corp. 45,500 800,800 * Phoenix Gold International, Inc. 1,000 1,350 * Phoenix Technologies, Ltd. 36,390 316,957 * Photo Control Corp. 1,000 2,290 * Photoelectron Corp. 9,900 99 * PhotoMedex, Inc. 14,000 26,180 * Photon Dynamics, Inc. 23,400 954,954 * Photronics, Inc. 45,800 845,926 *# Physiometrix, Inc. 7,400 13,690 * Piccadilly Cafeterias, Inc. 10,400 1,872 * Pico Holdings, Inc. 12,300 184,746 # Piedmont Natural Gas Co. 32,500 1,331,850 Pilgrims Pride Corp. Class B 54,300 811,785 * Pinnacle Entertainment, Inc. 38,900 355,157 * Pinnacle Systems, Inc. 98,500 821,490 * Pioneer Drilling Co. 1,500 5,580 * Pixelworks, Inc. 51,000 673,200 * Pizza Inn, Inc. 10,000 30,000 * Plains Exploration & Production Co. 40,325 564,953 * Plains Resources, Inc. 40,100 622,352 * Planar Systems, Inc. 21,400 509,320 * Plantronics, Inc. 58,800 1,801,632 * PlanVista Corp. 16,600 31,540 * Plato Learning, Inc. 24,566 243,940 * Play By Play Toys and Novelties, Inc. 3,300 8 * Playboy Enterprises, Inc. Class A 4,700 70,970 * Playboy Enterprises, Inc. Class B 31,800 515,478 * Playtex Products, Inc. 87,400 605,682 * Plexus Corp. 63,900 1,134,225
174
SHARES VALUE+ ------ ------ *# Plug Power, Inc. 91,544 $ 530,040 * PLX Technology, Inc. 35,700 335,580 * Plymouth Rubber, Inc. Class B 200 60 # PMA Capital Corp. Class A 43,700 173,489 PNM Resources, Inc. 57,400 1,607,774 Pocahontas Bancorp, Inc. 4,400 62,040 * Point Therapeutics, Inc. 660 2,756 * Point West Capital Corp. 3,400 0 * Point.360 9,000 44,910 PolyMedica Corp. 37,200 964,224 * Polyone Corp. 94,200 560,490 Pomeroy IT Solutions, Inc. 17,895 261,446 Pope & Talbot, Inc. 22,300 302,165 * Porta Systems Corp. 9,600 192 * Portal Software, Inc. 32,720 247,036 * Possis Medical, Inc. 26,600 453,264 Potlatch Corp. 43,000 1,386,750 * Powell Industries, Inc. 15,190 256,103 * Power Intergrations, Inc. 44,400 1,608,612 * PowerCerv Corp. 1,755 140 * Power-One, Inc. 124,600 1,050,378 * Powerwave Technologies, Inc. 92,900 692,105 * Pozen, Inc. 42,500 499,800 * PPT Vision, Inc. 6,800 7,344 * PRAECIS Pharmaceuticals, Inc. 75,606 574,606 * Premier Financial Bancorp 5,200 41,860 *# Premier Laser Systems, Inc. Class A 3,400 34 *# Pre-Paid Legal Services, Inc. 25,350 674,564 Presidential Life Corp. 40,500 587,250 * Presstek, Inc. 51,298 412,949 *# PRG-Schultz International, Inc. 82,000 405,900 * Price Communications Corp. 81,300 1,044,705 * Priceline.com, Inc. 45,116 859,911 * Pricesmart, Inc. 4,400 29,916 * Prima Energy Corp. 19,062 564,235 * Prime Hospitality Corp. 67,100 739,442 * Prime Medical Services, Inc. 34,900 176,943 * PRIMEDIA, Inc. 386,838 1,121,830 * Primus Knowledge Solutions, Inc. 16,500 73,425 * Princeton Review, Inc. 14,600 116,800 * Printronix, Inc. 5,800 95,642 *# Priority Healthcare Corp. 55,616 1,275,275 * Private Business, Inc. 945 1,342 *# Proassurance Corp. 43,450 1,342,605 * Procom Technology, Inc. 5,400 2,403 * Procurenet, Inc. 19,700 20 * Progenics Pharmaceuticals, Inc. 19,400 340,276 Programmers Paradise, Inc. 5,200 37,024 Progress Financial Corp. 7,098 215,992 * Progress Software Corp. 52,300 1,096,208 * ProQuest Co. 42,400 1,280,480 * ProsoftTraining.com 7,300 4,745 Prosperity Bancshares, Inc. 27,500 595,650 * Protection One, Inc. 95,000 42,750 *# Protein Design Labs, Inc. 140,500 1,947,330 Proton Energy Systems, Inc. 47,250 123,795 * Provant, Inc. 13,000 13 Providence & Worcester Railroad Co. 3,000 27,240 Provident Bancorp, Inc. 5,200 249,340 Provident Bankshares Corp. 36,677 $ 1,065,834 Provident Financial Group, Inc. 20,000 619,200 Provident Financial Holdings, Inc. 5,550 185,981 * Province Healthcare Co. 73,125 1,121,006 * Proxim Corp. 67,269 94,849 *# ProxyMed, Inc. 1,320 21,292 * PSS World Medical, Inc. 100,500 1,030,125 Psychemedics Corp. 5,225 42,061 * Psychiatric Solutions, Inc. 9,033 137,482 * PTEK Holdings, Inc. 80,328 700,460 Pulaski Financial Corp. 5,400 86,346 Pulitzer, Inc. 11,100 588,300 * Puma Technology, Inc. 71,685 433,694 * Pure World, Inc. 7,600 17,252 * PW Eagle, Inc. 7,000 27,993 Pyramid Breweries, Inc. 5,700 18,126 * Qad, Inc. 49,083 605,193 * QEP Co., Inc. 2,125 25,075 * QRS Corp. 23,000 234,370 * QuadraMed Corp. 27,006 67,110 Quaker Chemical Corp. 13,720 359,876 Quaker City Bancorp, Inc. 2,734 115,457 Quaker Fabric Corp. 23,350 203,846 * Quality Dining, Inc. 11,400 32,946 * Quality Systems, Inc. 9,100 389,480 * Qualstar Corp. 5,500 28,325 Quanex Corp. 23,200 917,096 * Quanta Services, Inc. 171,200 1,309,680 * Quantum Corp.- DLT 55,500 175,380 * Quantum Fuel Systems Technologies Worldwide, Inc. 14,100 98,559 * Quest Software, Inc. 120,400 1,787,940 *# Questcor Pharmaceuticals, Inc. 26,800 18,224 * Quicklogic Corp. 34,900 217,776 * Quidel Corp. 43,600 374,960 * Quigley Corp. 16,200 137,538 * Quiksilver, Inc. 77,500 1,393,450 * Quinton Cardiology Systems, Inc. 24,200 192,390 * Quipp, Inc. 1,400 17,150 Quixote Corp. 12,491 307,778 *# Quokka Sports, Inc. 1,128 15 * Quovadx, Inc. 46,726 227,556 * R & B, Inc. 8,400 117,600 * R H Donnelley Corp. 46,200 1,859,550 * Radiant Systems, Inc. 40,800 289,680 * Radiologix, Inc. 30,300 92,415 * RadiSys Corp. 26,762 492,421 * Radyne ComStream, Inc. 9,500 65,645 * Rag Shops, Inc. 2,415 8,187 * Railamerica, Inc. 45,700 518,695 * Rainbow Rentals, Inc. 5,900 43,666 * Rainbow Technologies, Inc. 38,900 482,360 * Ralcorp Holdings, Inc. 43,400 1,314,152 * Ramtron International Corp. 31,000 76,880 * Range Resources Corp. 84,000 663,600 * Rare Hospitality International, Inc. 49,282 1,232,050 Raven Industries, Inc. 11,800 326,742 * Rayovac Corp. 48,700 876,113 * Raytech Corp. 14,400 53,280 * RC2 Corp. 24,000 510,720 * RCM Technologies, Inc. 10,500 76,440
175
SHARES VALUE+ ------ ------ *# RCN Corp. 82,600 $ 84,252 * Reading International, Inc. Class A 18,149 113,250 * Reading International, Inc. Class B 1,060 6,254 * RealNetworks , Inc. 228,600 1,364,742 *# Redhook Ale Brewery, Inc. 9,300 27,705 Redwood Empire Bancorp 5,250 132,589 * Reeds Jewelers, Inc. 440 488 Regal-Beloit Corp. 34,004 702,183 * Regeneration Technologies, Inc. 38,552 400,941 * Regeneron Pharmaceuticals, Inc. 74,600 960,848 * Regent Communications, Inc. 64,413 419,329 Regis Corp. 43,100 1,764,945 * Register.Com, Inc. 44,100 213,885 * Rehabcare Group, Inc. 23,800 422,688 * Reliability, Inc. 6,300 6,867 Reliance Steel & Aluminum Co. 47,757 1,407,876 * Reliant Resources, Inc. 11,600 76,096 * Reliv International, Inc. 11,532 65,617 * Relm Wireless Corp. 7,600 11,476 * Remec, Inc. 88,350 991,287 * RemedyTemp, Inc. 6,600 72,402 * Remington Oil & Gas Corp. 40,200 717,570 *# Renaissance Learning, Inc. 46,200 1,071,840 * Rentrak Corp. 13,600 108,664 * Rent-Way, Inc. 46,300 343,083 * Repligen Corp. 44,800 216,384 * Reptron Electronics, Inc. 8,800 1,496 # Republic Bancorp, Inc. 94,783 1,303,270 Republic Bancorp, Inc. Class A 14,500 285,650 Republic Bankshares, Inc. 19,865 592,573 * Republic First Bancorp, Inc. 6,334 82,405 * Res-Care, Inc. 33,685 247,585 * ResMed, Inc. 41,300 1,610,700 Resource America, Inc. 25,351 330,324 * Resources Connection, Inc. 33,968 930,044 * Respironics, Inc. 39,400 1,792,700 * Restoration Hardware, Inc. 45,300 277,689 * Retail Ventures Inc. 48,200 260,280 * Retek, Inc. 77,900 808,602 *# Revlon, Inc. 55,200 132,480 * Rex Stores Corp. 16,100 253,253 * Rexhall Industries, Inc. 3,542 10,325 * RF Monolithics, Inc. 10,100 88,577 *# Rhythms NetConnections, Inc. 8,900 1 Richardson Electronics, Ltd. 15,627 159,395 * Rigel Pharmaceuticals, Inc. 2,222 36,019 Riggs National Corp. 40,602 696,730 * Right Management Consultants, Inc. 31,162 556,865 * Rimage Corp. 8,600 131,580 * Rita Medical Systems, Inc. 26,700 113,475 * Riverside Group, Inc. 1,000 19 Riverview Bancorp, Inc. 4,500 96,210 Rivianna Foods, Inc. 16,700 492,483 * Riviera Holdings Corp. 3,600 19,602 RLI Corp. 35,800 1,295,960 * RMH Teleservices, Inc. 19,300 99,588 * Roadhouse Grill, Inc. 13,340 3,335 # Roadway Corp. 23,200 1,183,200 Roanoke Electric Steel Corp. 9,900 95,535 Robbins & Myers, Inc. 19,400 427,964 * Robocom Systems, Inc. 800 $ 600 * Robotic Vision Systems, Inc. 17,400 11,571 * Rochester Medical Corp. 5,300 47,435 Rock of Ages Co. 4,400 25,476 Rock-Tenn Co. Class A 61,200 973,080 Rocky Mountain Chocolate Factory, Inc. 2,433 29,196 * Rocky Shoes & Boots, Inc. 4,500 77,850 * Rofin-Sinar Technologies, Inc. 13,000 418,210 * Rogers Corp. 24,200 1,062,380 * Rogue Wave Software, Inc. 11,000 72,270 * Rohn Industries, Inc. 34,500 690 Rollins, Inc. 67,700 1,508,356 Roper Industries, Inc. 38,500 1,930,390 * Ross Systems, Inc. 2,600 46,826 Roto-Rooter, Inc. 14,400 530,064 * Rouge Industries, Inc. Class A 15,000 1,200 * Roxio, Inc. 1,629 8,813 Royal Bancshares of Pennsylvania Class A 4,344 115,550 Royal Gold, Inc. 30,735 654,963 * Royale Energy, Inc. 3,273 29,457 RPC, Inc. 28,600 287,430 * RSA Security, Inc. 90,300 1,327,410 * RTI International Metals, Inc. 30,000 406,500 * RTW, Inc. 5,150 33,264 * Rubio's Restaurants, Inc. 12,795 77,410 Ruddick Corp. 65,900 1,113,710 * Rudolph Technologies, Inc. 23,900 553,285 * Rural Cellular Corp. Class A 2,800 26,460 * Rural/Metro Corp. 14,000 27,440 * Rush Enterprises, Inc. Class A 7,000 54,110 * Rush Enterprises, Inc. Class B 7,000 57,260 Russ Berrie & Co., Inc. 30,900 1,030,515 Russell Corp. 44,900 825,711 * Ryan's Family Steak Houses, Inc. 59,200 878,528 Ryerson Tull, Inc. 35,000 315,350 * S&K Famous Brands, Inc. 2,100 37,548 S&T Bancorp, Inc. 39,600 1,203,048 * S1 Corp. 101,898 899,759 * Saba Software, Inc. 18,800 71,478 * Safeguard Scientifics, Inc. 173,900 594,738 * SafeNet, Inc. 19,860 660,146 * Safety Components International, Inc. 118 1,392 * Saga Communications, Inc. Class A 27,325 477,368 * Salem Communications Corp. 25,640 635,103 *# Salton, Inc. 15,700 211,322 *# Samsonite Corp. 518 352 * San Filippo (John B.) & Son, Inc. 8,200 326,360 * Sanchez Computer Associates, Inc. 39,855 173,369 Sanders Morris Harris Group, Inc. 24,500 243,775 Sanderson Farms, Inc. 19,500 670,410 * Sands Regent Casino Hotel 2,000 8,280 Sandy Spring Bancorp, Inc. 20,800 829,920 * Sangamo BioSciences, Inc. 36,400 165,984 * Sapient Corp. 177,323 996,555 *# Satcon Technology Corp. 28,300 73,580 Saucony, Inc. Class A 2,700 45,846 Saucony, Inc. Class B 3,500 58,100
176
SHARES VALUE+ ------ ------ Sauer-Danfoss, Inc. 49,600 $ 793,600 * Savient Pharmaceuticals, Inc. 76,600 378,404 * Saxon Capital, Inc. 17,400 328,338 * SBA Communications Corp. 64,000 221,440 * SBE, Inc. 3,500 28,840 * SBS Technologies, Inc. 22,530 330,065 * ScanSoft, Inc. 139,960 839,760 * ScanSource, Inc. 21,200 927,288 Schawk, Inc. Class A 22,200 301,920 * Scheid Vineyards, Inc. 2,200 9,251 *# Schick Technologies, Inc. 9,000 69,750 * Schieb (Earl), Inc. 2,200 5,819 * Schlotzskys, Inc. 7,200 18,144 * Schmitt Industries, Inc. 2,466 6,239 Schnitzer Steel Industries, Inc. Class A 16,001 865,814 * Scholastic Corp. 52,700 1,748,586 * Schuff International, Inc. 7,000 10,010 Schulman (A.), Inc. 41,487 811,071 Schweitzer-Maudoit International, Inc. 20,900 579,348 * Sciclone Pharmaceuticals, Inc. 62,000 455,700 * Scientific Games Corp. 90,158 1,465,969 * Scientific Learning Corp. 4,400 20,284 * Scientific Technologies, Inc. 6,700 31,088 * SCM Microsystems, Inc. 21,663 179,803 * SCP Pool Corp. 49,500 1,773,090 SCPIE Holdings, Inc. 9,300 92,535 * SCS Transportation, Inc. 14,450 240,304 Seaboard Corp. 1,400 322,700 * Seabulk International, Inc. 2,400 21,000 * Seachange International, Inc. 40,500 609,525 Seacoast Banking Corp. 4,950 87,665 Seacoast Financial Services Corp. 7,315 200,797 * Seacor Smit, Inc. 27,900 1,064,106 * Seattle Genetics, Inc. 43,595 271,161 * Secom General Corp. 140 181 Second Bancorp, Inc. 9,900 280,170 * Secure Computing Corp. 51,474 773,654 * Security Associates International, Inc. 3,500 0 * SED International Holdings, Inc. 825 2,186 * SeeBeyond Technology Corp. 122,600 475,688 * SEEC, Inc. 5,900 2,891 * Segue Software, Inc. 9,500 24,415 * Selas Corp. of America 4,750 13,110 * Select Comfort Corp. 50,500 1,358,955 * Select Medical Corp. 57,000 2,043,450 * Selectica, Inc. 55,800 258,912 Selective Insurance Group, Inc. 40,700 1,319,087 SEMCO Energy, Inc. 41,400 202,860 * Semitool, Inc. 40,400 459,752 * Semtech Corp. 77,136 1,874,405 * SEMX Corp. 6,300 630 * Seneca Foods Corp. Class A 200 4,000 * Seneca Foods Corp. Class B 1,300 26,111 # Sensient Technologies Corp. 70,400 1,327,040 * Sensytech, Inc. 9,014 131,154 * Sequa Corp. Class A 6,900 329,475 * Sequa Corp. Class B 2,600 127,270 * Sequenom, Inc. 56,400 203,096 * SeraCare Life Sciences, Inc. 4,080 44,880 *# Serena Software, Inc. 60,000 $ 1,153,200 * Serologicals Corp. 36,050 621,863 * Service Corp. International 279,800 1,385,010 * ServiceWare Technologies, Inc. 2,900 1,711 * Servotronics, Inc. 1,100 3,410 * SFBC International, Inc. 11,100 285,825 * Shared Technologies Cellular, Inc. 10,100 27 * Sharper Image Corp. 22,700 717,774 * Shaw Group, Inc. 86,687 1,128,665 * Sheffield Pharmceuticals, Inc. 13,250 1 * Shells Seafood Restaurants, Inc. 4,400 2,926 * Shiloh Industries, Inc. 13,500 60,953 * Shoe Carnival, Inc. 19,000 343,520 * Shoe Pavilion, Inc. 6,200 7,905 * Sholodge, Inc. 5,100 22,313 * Shopko Stores, Inc. 43,700 727,605 * Shuffle Master, Inc. 24,025 718,588 * Siebert Financial Corp. 22,300 73,144 Sierra Bancorp 1,700 28,883 * Sierra Health Services, Inc. 41,936 1,149,046 * Sierra Pacific Resources 175,800 1,218,294 * Sifco Industries, Inc. 5,400 18,900 * Sigma Designs, Inc. 30,500 180,865 * Sigmatron International, Inc. 2,200 55,682 * Silgan Holdings, Inc. 25,500 878,475 * Silicon Graphics, Inc. 193,900 219,107 * Silicon Image, Inc. 105,889 783,579 * Silicon Storage Technology, Inc. 142,400 1,932,368 *# Silicon Valley Bancshares 51,800 1,902,614 * Siliconix, Inc. 35,641 1,810,206 * Simclar, Inc. 6,500 14,755 Simmons First National Corp. Class A 20,200 535,906 * Simon Worldwide, Inc. 9,100 705 * SimpleTech, Inc. 69,357 466,010 * Simpson Manufacturing Co., Inc. 34,800 1,712,160 * Simula, Inc. 12,800 40,320 * Sinclair Broadcast Group, Inc. Class A 62,200 713,434 * Sipex Corp. 42,200 396,680 * Sirenza Microdevices, Inc. 47,362 276,120 * Sitel Corp. 74,000 173,900 * Six Flags, Inc. 138,905 937,609 SJW Corp. 3,000 266,220 * Skechers U.S.A., Inc. Class A 28,100 208,783 * SkillSoft P.L.C. 21,492 166,133 Skyline Corp. 8,300 266,430 Skywest, Inc. 63,200 1,090,200 * Skyworks Solutions, Inc. 180,417 1,585,865 * SL Industries, Inc. 5,900 47,495 * SM&A 17,700 208,683 * Smart & Final Food, Inc. 29,200 266,596 * SmartDisk Corp. 8,500 2,763 * Smith & Wollensky Restaurant Group, Inc. 13,400 78,256 Smith (A.O.) Corp. 29,100 1,022,574 Smith (A.O.) Corp. Convertible Class A 3,750 131,775 *# Smith Micro Software, Inc. 21,400 56,710 * Smithway Motor Xpress Corp. Class A 4,000 4,760
177
SHARES VALUE+ ------ ------ * Sola International, Inc. 37,400 $ 733,040 * Solutia, Inc. 156,800 431,200 * Somera Communications, Inc. 41,000 58,220 Sonic Automotive, Inc. 42,500 954,125 * Sonic Corp. 58,425 1,803,580 * Sonic Foundry, Inc. 36,700 80,740 * Sonic Innovations, Inc. 28,800 175,680 * Sonic Solutions 32,100 605,727 * SonicWALL, Inc. 98,400 786,216 * SonoSite, Inc. 21,533 454,777 *# Sonus Networks, Inc. 78,757 719,839 * Sonus Pharmaceuticals, Inc. 25,800 131,838 * Sorrento Networks Corp. 15,500 41,385 * Sotheby's Holdings, Inc. Class A 67,400 781,840 Sound Federal Bancorp, Inc. 17,908 301,750 * SoundView Technology Group, Inc. 29,301 452,407 * Source Information Management, Inc. 27,700 268,413 * Source Media, Inc. 27,400 219 * Sourcecorp, Inc. 24,202 591,981 South Financial Group, Inc. 60,927 1,736,420 South Jersey Industries, Inc. 17,064 672,322 Southern Banc Company, Inc. 200 3,302 * Southern Energy Homes, Inc. 13,825 36,636 * Southern Union Co. 88,194 1,612,186 Southside Banchares, Inc. 315 5,410 * Southwall Technologies, Inc. 14,200 12,354 Southwest Bancorp, Inc. 11,400 200,070 Southwest Bancorporation of Texas, Inc. 40,800 1,559,784 Southwest Gas Corp. 50,700 1,143,285 Southwest Water Co. 15,878 252,143 * Southwestern Energy Co. 30,900 630,669 * Spacehab, Inc. 11,500 11,730 Span-American Medical System, Inc. 2,400 29,040 * Spanish Broadcasting System, Inc. 52,900 531,645 * SPAR Group, Inc. 1,500 5,475 Spartan Motors, Inc. 17,645 167,628 * Spartan Stores, Inc. 27,375 134,138 Spartech Corp. 42,300 930,600 * Sparton Corp. 7,938 86,762 * Specialty Laboratories, Inc. 31,300 522,710 * SpectraLink Corp. 27,400 564,166 * Spectranetics Corp. 36,102 120,942 * Spectrum Control, Inc. 13,000 92,573 * SpectRx, Inc. 8,900 19,135 Speedway Motorsports, Inc. 59,800 1,752,140 * Speizman Industries, Inc. 2,900 1,102 * Spherion Corp. 82,420 736,835 * Spherix, Inc. 12,100 84,095 * Spiegel, Inc. Class A Non-Voting 13,700 1,199 * Spinnaker Exploration Co. 49,090 1,293,031 * Spire Corp. 6,700 28,676 * Sport Chalet, Inc. 2,700 25,218 * Sport Supply Group, Inc. 8,900 16,465 * Sport-Haley, Inc. 2,700 11,124 * Sports Club Co., Inc. 20,100 40,200 * SportsLine.Com, Inc. 33,400 36,406 * Sportsman's Guide, Inc. 6,800 121,713 *# SPS Technologies, Inc. 16,800 $ 822,528 * SPSS, Inc. 26,029 504,182 *# SR Telecom, Inc. 1,452 8,276 * SRA International, Inc. 23,600 1,040,996 * SRI/Surgical Express, Inc. 6,100 40,413 * SRS Labs, Inc. 19,500 201,825 SS&C Technologies, Inc. 18,500 545,750 St. Francis Capital Corp. 9,200 320,252 St. Mary Land & Exploration Co. 47,300 1,215,610 * Staar Surgical Co. 27,400 301,153 * Stamps.com, Inc. 62,851 392,819 *# Standard Automotive Corp. 4,400 0 Standard Commercial Corp. 18,229 380,075 * Standard Management Corp. 7,600 24,852 * Standard Microsystems Corp. 25,400 680,720 Standard Motor Products, Inc. Class A 12,400 124,620 Standard Pacific Corp. 35,300 1,762,529 Standard Register Co. 38,400 609,792 Standex International Corp. 17,500 477,225 Stanley Furniture, Inc. 6,700 213,797 * Star Buffet, Inc. 2,800 11,410 * Star Multi Care Service, Inc. 454 64 * Star Scientific, Inc. 27,100 55,013 * Starcraft Corp. 2,625 92,479 Starrett (L.S.) Co. Class A 4,800 68,496 StarTek, Inc. 20,600 796,602 State Auto Financial Corp. 57,400 1,491,826 State Financial Services Corp. Class A 7,800 207,090 # Staten Island Bancorp, Inc. 73,800 1,697,400 * Steak n Shake Co. 40,018 704,317 *# Steel Dynamics, Inc. 71,658 1,434,593 Steel Technologies, Inc. 13,700 210,980 *# SteelCloud Co. 12,100 61,831 * Stein Mart, Inc. 57,916 516,032 * Steinway Musical Instruments, Inc. 8,800 210,320 * Stellent, Inc. 30,800 303,996 *# Stemcells, Inc. 2,600 5,642 Stepan Co. 8,400 210,504 Stephan Co. 3,500 14,980 Sterling Bancorp 22,376 655,841 Sterling Bancshares 62,083 789,075 * Sterling Financial Corp. 21,471 721,640 Stewart & Stevenson Services, Inc. 42,102 591,112 * Stewart Enterprises, Inc. 150,433 702,522 * Stewart Information Services Corp. 25,100 969,613 * Stifel Financial Corp. 6,100 104,554 * Stillwater Mining Co. 52,400 441,208 * Stone Energy Corp. 39,563 1,478,074 *# Stonepath Group, Inc. 44,600 117,744 * Stoneridge, Inc. 31,500 420,525 * Storage Engine, Inc. 283 95 * StorageNetworks, Inc. 60,800 0 * StorageNetworks, Inc. Escrow Shares 60,800 1,648 * Stratasys, Inc. 10,200 459,000 * Strategic Diagnostics, Inc. 28,600 132,990 Strategic Distribution, Inc. 3,029 45,465 * Stratesec, Inc. 7,300 58 * Stratex Networks, Inc. 120,100 427,556
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SHARES VALUE+ ------ ------ * Stratos International, Inc. 10,136 $ 75,919 * Strattec Security Corp. 4,100 243,950 * Stratus Properties, Inc. 7,050 74,589 Strayer Ed, Inc. 8,300 927,359 Stride Rite Corp. 58,900 681,473 Sturm Ruger & Co., Inc. 40,400 465,812 *# Styleclick, Inc. Class A 12,700 254 * Suburban Lodges of America, Inc. Escrow Shares 18,500 0 Suffolk Bancorp 8,600 312,171 * Summa Industries, Inc. 5,200 45,760 * Summit America Television, Inc. 65,315 235,134 Summit Bancshares, Inc. 2,000 56,060 Summit Bank Corp. 1,680 27,073 * Sun Bancorp, Inc. 17,492 396,194 Sun Hydraulics, Inc. 4,900 39,298 * Sunair Electronics, Inc. 3,000 19,200 * Sundance Homes, Inc. 3,000 20 * SunLink Health Systems, Inc. 1,048 2,955 *# Sunrise Senior Living, Inc. 31,765 1,096,528 Sunrise Telecom, Inc. 3,700 14,430 * Suntron Corp. 5,265 21,692 *# Superconductor Technologies, Inc. 97,240 721,521 *# Supergen, Inc. 53,240 562,747 * Superior Consultant Holdings Corp. 10,700 50,932 * Superior Energy Services, Inc. 103,600 878,528 # Superior Industries International, Inc. 40,000 1,779,200 Superior Uniform Group, Inc. 7,000 114,380 * Supertex, Inc. 18,500 320,790 * SupportSoft, Inc. 53,300 781,378 Supreme Industries, Inc. 10,308 60,044 *# SureBeam Corp. 83,296 22,073 SureWest Communications 19,812 777,423 *# SurModics, Inc. 24,400 516,548 Susquehanna Bancshares, Inc. 59,600 1,586,552 * Swift Energy Corp. 41,100 583,209 * Swisher International, Inc. 700 525 *# Switchboard, Inc. 27,300 182,910 SWS Group, Inc. 23,918 449,898 * Sybase, Inc. 20,100 412,050 * Sybron Dental Specialties, Inc. 55,400 1,596,074 * Sycamore Networks, Inc. 182,652 971,709 * Sykes Enterprises, Inc. 57,428 524,892 * Sylvan Learning Systems, Inc. 53,100 1,718,847 * Sylvan, Inc. 5,400 65,259 * Symmetricom, Inc. 82,767 582,183 * Syms Corp. 28,200 195,708 * Symyx Technologies 45,700 911,715 * Synalloy Corp. 5,900 40,415 * Synaptics, Inc. 35,200 481,184 * Synovis Life Technologies, Inc. 17,100 439,641 * Synplicity, Inc. 2,600 18,954 Syntel, Inc. 59,200 1,506,048 * Synthetech, Inc. 14,200 22,862 * Syntroleum Corp. 48,993 191,563 Sypris Solutions, Inc. 14,363 196,055 * Systemax, Inc. 33,900 245,775 * Systems & Computer Technology Corp. 50,100 766,530 * T-3 Energy Services, Inc. 1,250 7,225 * T-Netix, Inc. 15,000 $ 57,735 *# Tag-It Pacific, Inc. 16,500 83,325 * Taitron Components, Inc. 5,000 11,750 *# Take Two Interactive Software 28,800 953,280 * TALK America Holdings, Inc. 39,609 445,601 TALX Corp. 13,838 362,556 Tandy Brand Accessories, Inc. 5,900 88,500 * Tanox, Inc. 66,600 1,001,664 * Tarantella, Inc. 3,300 3,185 * Tarrant Apparel Group 15,800 63,200 Tasty Baking Co. 10,900 92,105 TB Woods Corp. 7,600 60,040 * TBA Entertainment Corp. 7,300 4,636 * TBC Corp. 32,750 970,383 * TEAM America, Inc. 2,800 28 * Team, Inc. 7,600 76,000 * TeamStaff, Inc. 20,200 44,642 Tech/Ops Sevcon, Inc. 3,100 17,934 Teche Holding Co. 700 25,358 * Techne Corp. 45,700 1,648,856 * Technical Communications Corp. 400 1,800 * Technical Olympic USA, Inc. 8,500 229,160 * Technitrol, Inc. 59,900 1,425,021 Technology Research Corp. 5,400 83,268 * Technology Solutions Corp. 42,400 49,608 * TechTeam Global, Inc. 21,800 147,150 Tecumseh Products Co. Class A 20,900 860,244 *# Tegal Corp. 5,000 11,900 * Tejon Ranch Co. 13,900 549,050 * Tekelec 91,900 1,534,730 *# TeleCommunication Systems, Inc. 31,500 166,950 * Teledyne Technologies Inc. 48,300 829,794 * Teletech Holdings, Inc. 107,500 1,080,375 * Telik, Inc. 51,600 1,042,836 * Telular Corp. 18,100 132,854 * Temtex Industries, Inc. 2,000 16 * TenFold Corp. 4,500 9,585 Tennant Co. 12,100 521,752 * Tenneco Automotive, Inc. 61,000 338,550 * Terayon Communication Systems, Inc. 109,800 656,604 * Terex Corp. 67,121 1,731,051 * Terra Industries, Inc. 105,900 342,057 * Tesoro Petroleum Corp. 96,900 1,228,692 * Tessco Technologies, Inc. 4,500 68,895 *# Tetra Tech, Inc. 80,826 2,061,063 * Tetra Technologies, Inc. 32,500 728,000 Texas Industries, Inc. 30,700 896,747 Texas Regional Banchshares, Inc. Class A 44,124 1,641,413 TF Financial Corp. 2,600 89,362 * Thackeray Corp. 4,100 4,305 * The Banc Corp. 24,700 215,384 # The Brink's Co. 81,418 1,807,480 * The Dress Barn, Inc. 43,800 641,232 The Marcus Corp. 35,200 526,240 *# The Medicines Co. 70,691 1,934,813 # The Phoenix Companies, Inc. 141,300 1,589,625 * The Rowe Companies 13,100 38,711 * The Sports Authority, Inc. 36,506 1,588,011 * Theragenics Corp. 43,100 211,621
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SHARES VALUE+ ------ ------ * Therasense, Inc. 61,950 $ 1,056,248 * Thermwood Corp. 200 113 * TheStreet.com, Inc. 33,500 153,095 * Third Wave Technologies 55,086 236,870 Thistle Group Holdings Co. 7,100 184,245 # Thomas & Betts Corp. 87,500 1,820,000 * Thomas Group, Inc. 4,000 4,400 Thomas Industries, Inc. 23,350 735,992 * Thoratec Corp. 83,443 1,175,712 *# THQ, Inc. 57,800 930,002 * Three-Five Systems, Inc. 31,499 167,890 * TIBCO Software, Inc. 181,530 1,061,951 * Tickets.com, Inc. 1,600 760 * Tidel Technologies, Inc. 10,500 8,138 * Tier Technologies, Inc. Class B 27,300 213,213 * TII Network Technologies, Inc. 11,260 28,713 Timberland Bancorp, Inc. 3,900 94,809 * Timco Aviation Services, Inc. 2,749 1,237 * Time Warner Telecom, Inc. 71,187 751,023 Timken Co. 43,200 740,016 * Tipperary Corp. 17,900 49,046 Titan International, Inc. 19,600 37,632 *# Titan Pharmaceuticals, Inc. 40,700 112,739 * Titanium Metals Corp. 3,170 150,575 * TiVo, Inc. 101,859 849,504 * TLC Vision Corp. 33,060 201,335 * TMBR/Sharp Drilling, Inc. 5,400 95,958 Todd Shipyards Corp. 6,300 113,715 * Todhunter International, Inc. 4,600 47,771 * Tofutti Brands, Inc. 6,900 20,700 * Tollgrade Communications, Inc. 20,391 352,968 Tompkins County Trustco, Inc. 363 17,515 * Too, Inc. 51,500 939,875 Topps, Inc. 60,300 635,562 * Torch Offshore, Inc. 23,300 121,626 * Toreador Resources Corp. 4,900 14,210 Toro Co. 36,300 1,798,302 * Total Entertainment Restaurant Corp. 8,800 106,568 * Tower Automotive, Inc. 84,500 384,475 Track Data Corp. 5,600 8,568 * Tractor Supply Co. 43,600 1,898,344 * Tradestation Group, Inc. 61,800 552,492 Traffix, Inc. 20,900 104,500 * Trailer Bridge, Inc. 9,800 58,898 * Trammell Crow Co. 54,000 726,300 * Trans World Entertainment Corp. 57,100 403,697 * Transact Technologies, Inc. 5,700 133,095 * Transaction Systems Architects, Inc. 51,000 1,003,680 * TransAxis, Inc. 72 13 * Transcat, Inc. 6,100 20,374 * Transgenomic, Inc. 11,300 20,679 * Transkaryotic Therapies, Inc. 52,700 684,573 * Transmeta Corp. 152,400 502,920 * Transmontaigne Oil Co. 47,500 285,475 * Transport Corp. of America 5,200 36,660 * Transport Industries, Inc. 1,400 3,934 * Transpro, Inc. 10,100 34,138 * Transtechnology Corp. 6,200 43,338 * TransTexas Gas Corp. Class A 236 5 * Travis Boats & Motors, Inc. 3,300 $ 4,158 *# TRC Companies, Inc. 20,300 410,263 Tredegar Industries, Inc. 51,691 796,041 *# Trenwick Group, Ltd. 11,975 299 * Trestle Holdings Inc. 450 2,475 * Trex Co., Inc. 20,900 772,255 * Triad Guaranty, Inc. 21,600 1,007,640 Triarc Companies, Inc. Class A 28,600 320,034 Triarc Companies, Inc. Class B 49,000 568,400 Trico Bancshares 4,950 164,093 * Trico Marine Services, Inc. 46,700 59,776 * Trident Microsystems, Inc. 21,400 563,248 * Trimble Navigation, Ltd. 48,100 1,458,873 * Trimedyne, Inc. 4,300 4,558 *# Trimeris, Inc. 30,100 687,183 # Trinity Industries, Inc. 65,800 1,707,510 * Trio-Tech International 400 1,520 * TriPath Imaging, Inc. 56,452 514,842 * Tripos, Inc. 10,620 73,384 * Triquint Semiconductor, Inc. 192,797 1,557,800 * Tristar Corp. 1,000 4 * Triton PCS Holdings, Inc. 86,500 484,400 * Triumph Group 22,502 733,340 * TriZetto Group, Inc. 69,800 450,210 * TRM Corp. 7,000 48,510 * Tropical Sportswear International Corp. 15,975 66,935 * Trover Solutions, Inc. 9,300 64,403 Troy Financial Corp. 315 11,104 * Troy Group, Inc. 10,900 32,918 * Trump Hotels & Casino Resorts, Inc. 21,000 33,180 Trust Co. of New Jersey 26,983 922,819 Trustco Bank Corp. 106,952 1,491,980 TSR, Inc. 4,400 29,964 * TTM Technologies, Inc. 60,100 1,015,690 * Tuesday Morning Corp. 53,800 1,719,448 * Tufco Technologies, Inc. 4,500 27,855 * Tularik, Inc. 83,100 1,244,838 * Tumbleweed Communications Corp. 60,395 501,882 Tupperware Corp. 87,700 1,351,457 *# TurboChef Technologies, Inc. 20,500 63,550 * Turnstone Systems, Inc. 86,565 250,173 * Tut Systems, Inc. 29,600 148,296 * Tweeter Home Entertainment Group, Inc. 34,900 291,764 Twin Disc, Inc. 2,800 50,274 * Twinlab Corp. 20,400 408 * Tyler Technologies, Inc. 60,300 506,520 *# U.S. Aggregates, Inc. 1,600 1 * U.S. Concrete, Inc. 37,500 221,213 * U.S. Home & Garden, Inc. 17,500 9,625 * U.S. Physical Therapy, Inc. 16,972 249,828 * U.S. Plastic Lumber Corp. 3,000 690 * U.S. Xpress Enterprises, Inc. Class A 10,823 144,487 * Ubics, Inc. 2,500 388 UCBH Holdings, Inc. 47,200 1,845,520 * UFP Technologies, Inc. 3,800 7,942 UGI Corp. 42,900 1,387,815
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SHARES VALUE+ ------ ------ * UICI 65,600 $ 905,936 UIL Holdings Corp. 20,900 836,209 * Ulticom, Inc. 60,708 656,861 * Ultimate Electronics, Inc. 20,500 169,125 * Ultimate Software Group, Inc. 22,700 203,846 * Ultradata Systems, Inc. 2,000 340 * Ultralife Batteries, Inc. 13,100 183,138 * Ultratech Stepper, Inc. 34,800 1,054,440 UMB Financial Corp. 29,965 1,461,992 Umpqua Holdings Corp. 40,103 862,215 *# Unapix Entertainment, Inc. 6,100 25 * Unico American Corp. 5,500 29,068 * Unifi, Inc. 73,934 379,281 Unifirst Corp. 12,550 291,537 * Uni-Marts, Inc. 6,500 10,368 Union Community Bancorp 2,300 39,733 * Uniroyal Technology Corp. 13,300 1 Unisource Energy Corp. 67,080 1,645,472 * Unit Corp. 64,200 1,322,520 United Auto Group, Inc. 61,500 1,519,050 United Bankshares, Inc. WV 43,193 1,338,983 United Community Banks, Inc. 32,216 1,087,612 United Community Financial Corp. 47,972 538,246 United Financial Corp. 660 16,863 United Fire & Casualty Co. 6,200 248,000 United Guardian, Inc. 1,900 15,580 United Industrial Corp. 17,600 300,080 United National Bancorp 24,500 875,630 * United Natural Foods, Inc. 29,300 1,124,827 *# United Online, Inc. 94,203 1,715,437 * United PanAm Financial Corp. 600 10,920 * United Rentals, Inc. 100,300 1,857,556 * United Retail Group, Inc. 16,766 53,651 * United Road Services, Inc. 720 122 United Security Bancshares 2,000 53,000 * United Stationers, Inc. 39,600 1,597,860 * United Surgical Partners International, Inc. 40,900 1,308,800 * United Therapeutics Corp. 31,800 598,476 Unitil Corp. 4,700 117,265 Unity Bancorp, Inc. 5,460 64,756 * Universal Access Global Holdings, Inc. 2,235 8,940 * Universal American Financial Corp. 79,400 826,554 * Universal Compression Holdings, Inc. 46,449 1,089,229 Universal Corp. 35,500 1,516,560 * Universal Display Corp. 35,300 523,852 * Universal Electronics, Inc. 19,800 270,250 Universal Forest Products, Inc. 24,373 741,914 * Universal Stainless & Alloy Products, Inc. 6,000 50,580 Unizan Financial Corp. 30,197 649,236 * Unova, Inc. 83,100 1,987,752 * UQM Technologies, Inc. 28,600 102,960 * Urban Outfitters, Inc. 50,600 1,973,400 * Urologix, Inc. 19,742 111,740 * URS Corp. 47,613 1,085,576 * US Energy Corp. 11,500 31,395 * US LEC Corp. 30,536 176,803 * US Liquids, Inc. 6,200 1,488 * US Oncology, Inc. 129,082 $ 1,314,055 * USA Truck, Inc. 9,300 100,254 *# USAir Group, Inc. 84,700 6,903 *# USANA, Inc. 29,100 984,453 USB Holding Co., Inc. 17,099 331,721 *# USDATA Corp. 2,820 113 Usec, Inc. 113,331 853,382 USF Corp. 39,937 1,319,119 * Utah Medical, Inc. 5,000 113,425 *# V.I. Technologies, Inc. 57,100 38,828 * VA Software Corp. 85,600 359,520 Vail Banks Inc. 1,300 16,205 * Vail Resorts, Inc. 39,700 604,631 # Valeant Pharmaceuticals International 77,000 1,841,070 *# Valence Technology, Inc. 20,900 75,240 Valhi, Inc. 14,440 199,561 * Valley National Gases, Inc. 4,200 26,649 Valmont Industries, Inc. 33,300 755,910 * Valpey Fisher Corp. 1,650 5,214 Value Line, Inc. 9,900 489,555 * ValueClick, Inc. 105,800 883,430 * Valuevision Media, Inc. Class A 50,300 779,650 * Vans, Inc. 26,900 344,320 * Varian Semiconductor Equipment Associates, Inc. 44,500 2,071,920 * Varian, Inc. 44,000 1,784,640 * Variflex, Inc. 4,600 28,566 * Vascular Solutions, Inc. 1,800 11,268 * Vastera, Inc. 75,179 293,198 *# Vaxgen, Inc. 28,700 238,784 * VCA Antech, Inc. 56,900 1,778,125 # Vector Group, Ltd. 58,257 990,369 * Veeco Instruments, Inc. 41,000 1,209,500 * Ventana Medical Systems, Inc. 22,300 840,264 * Venture Catalyst, Inc. 7,200 2,880 * Verilink Corp. 15,400 121,044 * Veritas DGC, Inc. 46,900 422,569 * Verity, Inc. 52,300 751,028 * Vermont Pure Holdings, Ltd. 17,300 54,322 *# Versant Corp. 5,400 9,072 * Versar, Inc. 8,700 26,535 * Verso Technologies, Inc. 26,319 101,328 * Vertex Pharmaceuticals, Inc. 107,756 941,787 * Verticalbuyer Inc. 920 11 Vesta Insurance Group, Inc. 51,300 180,576 * Vestin Group, Inc. 400 800 * Vialta, Inc. 64,595 39,403 * Viasat, Inc. 36,700 780,609 * Vical, Inc. 26,855 134,812 * Vicon Industries, Inc. 4,600 19,044 * Vicor Corp. 46,100 530,150 * Vicuron Pharmaceuticals, Inc. 80,800 1,466,520 * Video Display Corp. 3,600 43,920 *# Viewpoint Corp. 2,700 2,133 * Vignette Corp. 295,100 681,681 * Viisage Technology, Inc. 30,600 117,810 Vintage Petroleum, Inc. 91,000 947,310 * Virage Logic Corp. 29,600 308,432 * Virbac Corp. 22,000 128,700 Virco Manufacturing Corp. 13,269 75,766
181
SHARES VALUE+ ------ ------ * Virginia Commerce Bancorp, Inc. 400 $ 12,800 * Virologic, Inc. 24,500 69,335 * ViroPharma, Inc. 36,400 101,192 * Virtualfund.Com, Inc. 22,400 246 * Vision Sciences, Inc. 5,100 9,027 * Vista Medical Technologies, Inc. 7,500 13,350 Visteon Corp. 183,400 1,439,690 * Visual Networks, Inc. 31,900 52,954 * Visx, Inc. DE 72,000 1,762,560 Vital Signs, Inc. 18,551 609,029 * VitalWorks, Inc. 60,500 301,895 *# Vitech America, Inc. 14,850 39 * Vitesse Semiconductor, Inc. 150,077 1,095,562 * Vitria Technology, Inc. 45,342 257,543 * Vivus, Inc. 52,160 188,819 * Vl Dissolution Corp. 3,101 2,295 VLPS Lighting Services International, Inc. 4,800 18,000 * Vodavi Technology, Inc. 4,300 37,539 * Volt Information Sciences, Inc. 33,000 673,200 Vulcan International Corp. 700 29,015 * Vyyo, Inc. 17,800 124,956 * W-H Energy Services, Inc. 50,300 749,470 * Wabash National Corp. 35,800 996,314 Wabtec Corp. 60,800 951,520 * Wackenhut Corrections Corp. 25,000 541,250 Walter Industries, Inc. 59,000 722,160 *# Warnaco Group, Inc. 2,900 3 Warwick Community Bancorp, Inc. 5,000 151,000 Warwick Valley Telephone Co. 300 9,618 Washington Banking Co. 4,070 67,155 Washington Savings Bank FSB 2,400 23,160 Washington Trust Bancorp, Inc. 18,412 508,539 * Waste Connections, Inc. 39,800 1,472,600 Waste Industries USA, Inc. 19,300 176,499 * WatchGuard Technologoes, Inc. 45,480 282,431 * Water Pik Technologies, Inc. 5,800 73,660 * Waterlink, Inc. 19,200 1,056 Waters Instruments, Inc. 300 2,145 Watsco, Inc. Class A 32,300 750,652 Watsco, Inc. Class B 1,350 31,320 * Watson Wyatt & Co., Holdings 46,500 1,116,930 Watts Water Technologies, Inc. 25,600 524,800 Wausau-Mosinee Paper Corp. 72,136 887,273 Waypoint Financial Corp. 47,126 1,011,795 * WCI Communities, Inc. 60,600 1,222,908 WD-40 Co. 23,400 837,720 * Webb Interactive Services, Inc. 5,300 5,300 * Webco Industries, Inc. 6,000 20,400 * WebEx Communications, Inc. 58,500 1,155,960 * Webhire, Inc. 4,480 3,136 * webMethods, Inc. 72,802 709,820 * Websense, Inc. 30,800 834,372 * Weider Nutrition International, Inc. 10,500 49,980 Weis Markets, Inc. 15,707 557,599 Wellco Enterprises, Inc. 1,000 10,650 Wellman, Inc. 65,300 568,110 * Wells-Gardner Electronics Corp. 5,811 21,036 Wesbanco, Inc. 28,021 779,544 * WESCO International, Inc. 16,100 144,095 West Coast Bancorp 21,309 463,258 * West Marine, Inc. 27,800 $ 700,838 West Pharmaceutical Services, Inc. 19,800 673,200 * Westaff, Inc. 15,900 32,595 Westamerica Bancorporation 2,000 105,600 Westar Energy, Inc. 89,400 1,775,484 Westbank Corp. 4,515 83,076 * Westcoast Hospitality Corp. 12,900 63,210 * Westell Technologies, Inc. 64,280 475,672 Western Gas Resources, Inc. 32,800 1,453,040 Western Ohio Financial Corp. 900 28,953 * Western Power & Equipment Corp. 3,373 1,315 * Western Sierra Bancorp 1,050 45,833 *# Western Wireless Corp. 83,700 1,562,679 * Westmoreland Coal Co. 800 11,192 Westwood Holdings Group, Inc. 6,479 110,694 * Wet Seal, Inc. Class A 35,575 365,355 Weyco Group, Inc. 300 9,750 * WFS Financial, Inc. 25,000 1,042,500 WGL Holdings, Inc. 14,000 374,220 * White Electronics Designs Corp. 33,465 345,024 * Whitehall Jewelers, Inc. 21,250 225,463 Whitney Holdings Corp. 15,300 599,913 *# WHX Corp. 6,333 14,313 * Wickes, Inc. 4,400 2,332 * Wild Oats Markets, Inc. 44,850 508,599 *# William Lyon Homes, Inc. 12,600 817,740 * Williams Industries, Inc. 1,200 4,224 * Willis Lease Finance Corp. 9,500 64,125 Willow Grove Bancorp, Inc. 14,391 243,208 * Wilshire Financial Services Group, Inc. 137 759 * Wilshire Oil Co. of Texas 7,107 45,911 *# Wilson Greatbatch Technologies, Inc. 31,800 1,332,420 * Wilsons The Leather Experts, Inc. 28,945 179,748 * Wind River Systems, Inc. 117,796 766,852 * Winmark Corp. 3,800 69,806 Winn-Dixie Stores, Inc. 45,800 413,574 # Winnebago Industries, Inc. 23,600 1,304,372 Wintrust Financial Corp. 26,150 1,171,259 * Wireless Facilities, Inc. 74,800 1,086,844 Wireless Telecom Group, Inc. 24,100 70,854 * Wireless WebConnect!, Inc. 8,900 23 * Wiser Oil Co. 14,900 105,045 * Witness Systems, Inc. 44,500 400,055 * WJ Communications, Inc. 50,400 238,896 * WMS Industries, Inc. 41,100 1,097,370 * Wolverine Tube, Inc. 20,100 105,726 Wolverine World Wide, Inc. 61,200 1,272,348 *# Women First HealthCare, Inc. 1,500 2,355 Woodhead Industries, Inc. 16,726 284,007 Woodward Governor Co. 15,600 778,128 * Workflow Management, Inc. 18,721 92,856 * World Acceptance Corp. 25,400 490,728 *# World Access, Inc. 35,372 53 World Fuel Services Corp. 16,100 481,873 World Wrestling Federation Entertainment, Inc. 19,000 218,880 * WorldGate Communications, Inc. 6,500 6,630 * WorldQuest Networks, Inc. 1,500 4,800 * Worldwide Restaurant Concepts, Inc. 41,500 121,180
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SHARES VALUE+ ------ ------ Worthington Industries, Inc. 65,400 $ 936,528 WPS Resources Corp. 31,200 1,382,160 * Wright Medical Group, Inc. 46,100 1,284,346 WSI Industries, Inc. 2,000 4,720 X-Rite, Inc. 28,700 328,615 * Xanser Corp. 42,800 100,152 * Xeta Corp. 9,200 56,120 * Xicor, Inc. 37,974 495,561 * Yankee Candle Co., Inc. 65,200 1,924,704 Yardville National Bancorp 8,000 183,200 *# Yellow Corp. 41,400 1,265,598 York International Corp. 41,200 1,645,940 * Young Broadcasting, Inc. Class A 24,307 482,494 * Zapata Corp. 2,340 123,435 Zenith National Insurance Corp. 18,600 607,290 * Zevex International, Inc. 3,400 13,600 * Zila, Inc. 63,607 253,156 *# Zix Corp. 39,126 342,744 * Zoll Medical Corp. 11,800 401,790 *# Zoltek Companies, Inc. 22,100 96,135 * Zomax, Inc. 45,600 245,328 * Zonagen, Inc. 11,400 21,546 * Zones, Inc. 13,500 16,875 * Zoran Corp. 56,835 1,043,491 * Zygo Corp. 24,800 403,248 * Zymetx, Inc. 8,600 839 * Zymogenetics, Inc. 72,866 969,846 --------------- TOTAL COMMON STOCKS (Cost $1,268,834,188) 1,456,635,036 --------------- RIGHTS/WARRANTS -- (0.0%) * American Banknote Corp. Warrants Series 1 10/01/07 30 0 * American Banknote Corp. Warrants Series 2 10/10/07 30 0 * Anacomp, Inc. Class B Warrants 12/10/06 1,139 148 *# Angeion Corp. Warrants 10/31/07 215 0 * Aura Systems Warrants 05/31/05 1,262 0 * Chart Industries, Inc. Warrants 09/15/10 24 100 * Chiquita Brands International, Inc. Warrants 03/19/09 9,947 62,666 * CSF Holding, Inc. Litigation Rights 3,250 0 * Del Global Technologies Corp. Warrants 03/28/08 971 437 * Imperial Credit Industries, Inc. Warrants 01/31/08 22 0 * Imperial Sugar Co. Warrants 08/29/08 498 657 * Lodgian, Inc. Class A Warrants 11/25/07 188 57 * Lodgian, Inc. Class B Warrants 11/25/09 582 183 * Magnum Hunter Resources Warrants 03/21/05 7,200 $ 2,808 * Orbital Science Corp. Warrants 08/31/04 152 715 *# OSI Pharmaceutical, Inc. Rights 4,829 0 * PMR Corp. Contingent Value Rights 08/05/04 7,300 7 * Timco Aviation Services Warrants 02/27/07 6,696 1 --------------- TOTAL RIGHTS/WARRANTS (Cost $444,107) 67,779 --------------- FACE AMOUNT ------ (000) BONDS -- (0.0%) * Del Global Technologies Corp. Subordinated Promissory Note * 6.000%, 03/28/07 $ 2 0 * Timco Aviation Services, Inc. Jr Subordinated Note * 8.000%, 01/02/07 3 0 --------------- TOTAL BONDS (Cost $0) 0 --------------- TEMPORARY CASH INVESTMENTS -- (9.0%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $18,732,000 FMC Discount Notes 1.11%, 03/25/04, valued at $18,661,755) to be repurchased at $18,386,256 (Cost $18,385,000) 18,385 18,385,000 ^Repurchase agreements in a Pooled Cash Account, UBS Warburg and Deutsche Bank Securities Inc. 1.01% and 1.02% respectively, 12/01/03 (Collateralized by $100,392,000 U.S. Treasury Obligations, rates ranging from 5.50% to 8.875%, maturities ranging from 08/15/04 to 05/15/30, valued at $124,202,195) to be repurchased at $121,030,351 (Cost $121,020,110) 121,020 121,020,110 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $139,405,110) 139,405,110 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,408,683,405)++ $ 1,596,107,925 ===============
---------- + See Note B to Financial Statements. * Non-Income Producing Securities # Total or Partial Securities on Loan ^ Security purchased with cash proceeds from securities on loan ++ The cost for federal income tax purposes is $1,412,366,266. See accompanying Notes to Financial Statements. 183 THE U.S. MICRO CAP SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ COMMON STOCKS -- (94.7%) * 1-800 CONTACTS, Inc. 57,802 $ 1,222,512 * 1-800-FLOWERS.COM, Inc. 83,186 974,108 1st Source Corp. 75,908 1,704,135 # 21st Century Holding Co. 700 10,773 * 24/7 Real Media, Inc. 20,200 30,502 * 3-D Systems Corp. 110,010 1,001,091 * 4Kids Entertainment, Inc. 59,400 1,594,890 *# 8X8, Inc. 84,000 630,840 * @Road, Inc. 209,100 2,632,569 * A. B. Watley Group, Inc. 9,900 2,277 * A.C. Moore Arts & Crafts, Inc. 99,400 2,183,818 * A.D.A.M., Inc. 5,100 11,016 *# aaiPharma, Inc. 154,500 2,808,810 * Aames Financial Corp. 480 1,522 * AAON, Inc. 142,625 2,687,055 * AAR Corp. 118,837 1,243,035 * Abaxis, Inc. 146,800 2,971,232 ABC Bancorp 62,670 1,054,109 * Abgenix, Inc. 2,000 22,540 Abigail Adams National Bancorp, Inc. 1,375 24,750 Abington Bancorp, Inc. 25,700 980,712 *# Abiomed, Inc. 90,891 671,594 * Ablest, Inc. 13,500 73,575 Abrams Industries, Inc. 17,100 70,965 * Acacia Research-Acacia Technologies Common Stock 68,050 374,275 * Acacia Research-CombiMatrix Corp. 34,190 137,786 * Access Pharmaceuticals, Inc. 1,900 9,025 *# Acclaim Entertainment, Inc. 117,200 76,180 * Ace Cash Express, Inc. 108,875 2,100,090 * Ace Comm Corp. 78,700 190,454 Aceto Corp. 86,250 1,664,539 * Aclara Biosciences, Inc. 57,200 183,040 * Acme Communications, Inc. 120,000 1,020,000 * Acme United Corp. 30,407 159,637 * ACT Manufacturing, Inc. 1,000 20 * ACT Teleconferencing, Inc. 36,200 59,730 * Actel Corp. 98,200 2,691,662 Action Performance Companies, Inc. 80,500 1,563,310 * ActivCard Corp. 39,241 341,004 * Active Power, Inc. 195,500 656,880 * Actuant Corp. 90,880 2,821,824 * Actuate Corp. 150,600 474,390 * Adams Resources & Energy, Inc. 68,450 795,389 * ADE Corp. 81,400 2,047,210 * Adept Technology, Inc. 30,600 55,080 * Administaff, Inc. 131,600 1,968,736 * Adolor Corp. 271,636 5,359,378 * Advanced Digital Information Corp. 22,600 342,842 *# Advanced Energy Industries, Inc. 131,440 3,470,016 *# Advanced Magnetics, Inc. 64,200 914,850 Advanced Marketing Services, Inc. 132,075 1,538,674 * Advanced Medical Optics, Inc. 57,500 1,133,325 * Advanced Neuromodulation Systems, Inc. 32,192 1,358,180 * Advanced Nutraceuticals, Inc. 475 233 * Advanced Photonix, Inc. Class A 68,300 171,433 * Advanced Power Technology, Inc. 73,800 $ 605,898 Advanta Corp. Class A 58,683 736,472 Advanta Corp. Class B Non-Voting 89,046 1,143,351 *# Advantage Marketing Systems, Inc. 1,400 7,672 * Advent Software, Inc. 135,161 2,366,669 * Aehr Test Systems 57,400 222,081 * AEP Industries, Inc. 60,750 439,222 * Aeroflex, Inc. 277,600 3,522,744 *# Aerosonic Corp. 33,100 375,685 * Aether Systems, Inc. 192,447 956,462 * Aetrium, Inc. 88,200 313,110 * AFC Enterprises, Inc. 9,700 167,325 * Affinity Technology Group, Inc. 1,700 150 * Aftermarket Technology Corp. 151,100 2,011,141 * AG Services America, Inc. 45,000 380,250 * Agile Software Corp. 223,658 2,458,001 * Agility Capital, Inc. 13,400 87 Agilysys, Inc. 144,379 1,625,708 * Air Methods Corp. 70,800 640,740 * Airnet Systems, Inc. 97,000 338,530 * Airspan Networks, Inc. 15,500 37,355 * AK Steel Holding Corp. 170,000 510,000 *# Akamai Technologies, Inc. 4,087 54,848 * Akorn, Inc. 202,000 373,700 *# Aksys, Ltd. 133,600 967,264 Alabama National Bancorporation 32,300 1,744,200 Alamo Group, Inc. 70,700 1,041,411 * Alaska Air Group, Inc. 95,200 2,737,952 * Alaska Communications Systems Group, Inc. 198,600 990,815 * Albany Molecular Research, Inc. 143,146 2,018,359 * Alcide Corp. 18,000 278,280 * Alderwoods Group, Inc. 21,000 186,060 * Aldila, Inc. 33,233 117,977 * Alexion Pharmaceuticals, Inc. 98,400 1,845,000 Alico, Inc. 53,400 1,863,660 * Align Technology, Inc. 131,889 2,375,321 * All American Semiconductor, Inc. 45,940 208,108 Allegheny Technologies, Inc. 74,300 609,260 Allegiant Bancorp, Inc. 74,988 2,103,413 Allen Organ Co. Class B 4,700 224,425 Alliance Bancorp of New England, Inc. 438 17,389 * Alliance Imaging, Inc. 317,000 1,220,450 * Alliance Semiconductor Corp. 157,518 1,301,099 * Allied Defense Group, Inc. 42,040 884,101 * Allied Healthcare International, Inc. 146,800 816,208 * Allied Healthcare Products, Inc. 65,800 267,148 * Allied Holdings, Inc. 73,100 335,529 * Allied Motion Technologies, Inc. 34,580 153,189 *# Allos Therapeutics, Inc. 116,600 319,484 * Allou Health Care, Inc. Class A 56,700 2,892 * Alloy, Inc. 158,880 854,774 * Allscripts Healthcare Solutions, Inc. 190,500 1,034,415 * Almost Family, Inc. 11,500 97,175 * Alpha Technologies Group, Inc. 87,500 126,875 Alpine Group, Inc. 142,900 136,469 * Alteon, Inc. 231,200 390,728 *# Alterra Healthcare Corp. 139,000 18
184
SHARES VALUE+ ------ ------ * Altris Software, Inc. 10,973 $ 6,145 Ambassadors Group, Inc. 70,300 1,503,014 Ambassadors, Inc. 70,300 919,524 * AMC Entertainment, Inc. 165,500 2,507,325 * Amcast Industrial Corp. 86,800 203,980 Amcol International Corp. 128,700 1,842,984 Amcore Financial, Inc. 7,200 196,200 *# Amedisys, Inc. 13,700 189,882 * AMEN Properties, Inc. 12,375 23,265 *# Amerco, Inc. 13,605 371,144 * America Services Group, Inc. 29,000 959,900 *# America West Holdings Corp. Class B 150,300 2,269,530 * American Banknote Corp. 595 390 American Biltrite, Inc. 57,850 389,330 * American Building Control, Inc. 108,300 184,110 # American Business Financial Services, Inc. 32,428 133,636 * American Claims Evaluation, Inc. 3,100 6,324 * American Dental Partners, Inc. 53,300 559,650 * American Ecology Corp. 106,400 493,696 * American Healthways, Inc. 115,050 5,329,116 American Home Mortgage Holdings, Inc. 78,300 1,757,052 * American Indemnity Financial Escrow 16,700 16,700 * American Independence Corp. 14,733 159,706 * American Locker Group, Inc. 32,200 391,230 * American Management Systems, Inc. 11,600 172,956 * American Medical Electronics, Inc. (Escrow-Bonus) 102,100 0 * American Medical Electronics, Inc. (Escrow-Earnings) 102,100 0 * American Medical Security Group, Inc. 101,000 2,271,490 * American Medical Systems Holdings, Inc. 176,200 4,005,026 * American Pacific Corp. 66,600 629,370 * American Physicians Capital, Inc. 38,300 631,950 * American Physicians Services Group, Inc. 36,700 302,775 *# American Retirement Corp. 138,600 429,660 * American Science & Engineering, Inc. 61,500 796,425 American Shared Hospital Services 23,800 147,560 American Software, Inc. Class A 294,600 1,811,790 American States Water Co. 73,100 1,774,137 * American Superconductor Corp. 118,000 1,246,080 * American Technical Ceramics Corp. 68,100 483,510 American Vanguard Corp. 3,999 127,968 * American West Bancorporation 13,394 300,026 American Woodmark Corp. 64,660 3,362,320 Americana Bancorp, Inc. 20,350 311,762 * America's Car-Mart, Inc. 33,100 971,816 AmeriServe Financial, Inc. 177,975 889,875 * Ameristar Casinos, Inc. 121,450 2,824,927 Ameron International Corp. 56,800 1,874,400 * Amistar Corp. 27,800 57,268 * AML Communications, Inc. 61,500 74,415 * AMN Healthcare Services, Inc. 41,200 699,576 Ampco-Pittsburgh Corp. 81,300 871,536 * Ampex Corp. Class A 7,565 10,478 Amrep Corp. 63,710 987,505 * Amsurg Corp. 61,631 2,293,290 * Amtech Systems, Inc. 2,400 16,680 * Amwest Insurance Group, Inc. 18,388 $ 147 * AMX Corp. 98,000 666,400 * Anacomp, Inc. 4 51 * Anadigics, Inc. 100,500 673,350 * Analex Corp. 11,600 39,324 Analogic Corp. 12,500 525,000 * Analysts International Corp. 190,092 589,285 *# Analytical Surveys, Inc. 5,670 15,989 * Anaren, Inc. 97,500 1,459,575 Anchor Bancorp Wisconsin, Inc. 41,490 1,040,984 * Andersen Group, Inc. 15,000 79,500 Andersons, Inc. 51,500 864,685 *# Andrew Corp. 103,190 1,214,546 * Angeion Corp. 1,294 2,743 Angelica Corp. 38,800 801,220 * Angelo & Maxie's, Inc. 15,333 33,809 * Anika Therapeutics, Inc. 64,600 554,733 * Ansoft Corp. 115,000 1,434,050 * AnswerThink, Inc. 139,400 835,006 * Ansys, Inc. 141,000 5,441,190 * Anthony and Sylvan Pools Corp. 57,410 255,474 *# Antigenics, Inc. 177,659 2,192,312 * AP Pharma, Inc. 197,000 417,837 * APA Optics, Inc. 41,400 103,500 * APAC Teleservices, Inc. 389,119 1,093,424 *# Aphton Corp. 111,261 684,255 Apogee Enterprises, Inc. 241,900 2,861,677 Applica, Inc. 105,700 771,610 * Applied Extrusion Technologies, Inc. 114,200 284,358 * Applied Films Corp. 65,401 2,170,659 * Applied Imaging Corp. 48,000 67,200 Applied Industrial Technologies, Inc. 86,100 2,040,570 * Applied Innovation, Inc. 143,500 934,185 * Applied Molecular Evolution, Inc. 94,600 1,678,204 Applied Signal Technologies, Inc. 94,700 2,064,460 * Applix, Inc. 123,000 447,720 * Apropos Technology, Inc. 86,300 345,200 * aQuantive, Inc. 81,507 843,597 * Aquila, Inc. 20,000 71,600 *# Aradigm Corp. 145,300 268,805 Arch Chemicals, Inc. 96,749 2,214,585 Arctic Cat, Inc. 67,200 1,597,344 *# Ardent Communications, Inc. 175,300 1,227 * Arena Pharmaceuticals, Inc. 124,603 858,515 * Argonaut Group, Inc. 94,200 1,507,200 * Argonaut Technologies, Inc. 97,100 122,346 * Ariad Pharmaceuticals, Inc. 204,700 1,688,775 * Ark Restaurants Corp. 21,400 271,780 * Arlington Hospitality, Inc. 60,600 230,886 * Armor Holdings, Inc. 121,800 2,953,650 *# Armstrong Holdings, Inc. 66,000 57,420 *# Arotech Corp. 1,400 3,598 * Arqule, Inc. 122,700 603,684 * Array BioPharma, Inc. 111,520 585,480 Arrhythmia Research Technology, Inc. 16,475 229,002 * Arris Group, Inc. 429,300 2,768,985 Arrow Financial Corp. 84,512 2,345,208 * Art Technology Group, Inc. 69,900 118,830 * Artesyn Technologies, Inc. 208,200 1,642,698 * Arthrocare Corp. 92,861 2,284,381 *# Artificial Life, Inc. 100 14
185
SHARES VALUE+ ------ ------ * Artisan Components, Inc. 208,356 $ 4,306,510 * Artisoft, Inc. 23,716 101,979 * Arts Way Manufacturing Co., Inc. 100 490 * ASA International. Ltd. 196 463 ASB Financial Corp. 4,500 105,750 * Ashworth, Inc. 134,100 1,092,915 * Aspect Communications Corp. 100,696 1,482,245 * Aspect Medical Systems, Inc. 96,310 915,908 * Aspen Technology, Inc. 180,187 1,385,638 * Aspeon, Inc. 5,600 59 * Astea International, Inc. 21,160 53,958 * Astec Industries, Inc. 78,059 1,029,598 Astro-Med, Inc. 50,575 817,798 * Astronics Corp. 36,681 181,388 * Astronics Corp. Class B 13,755 72,214 *# AstroPower, Inc. 18,050 12,996 * ASV, Inc. 76,750 2,173,560 * Asyst Technologies, Inc. 164,100 2,994,825 * ATA Holdings Corp. 157,000 1,428,700 * Atari, Inc. 142,156 582,840 * AtheroGenics, Inc. 164,400 2,350,920 * Atlantic American Corp. 157,725 417,971 * Atlantic Coast Airlines, Inc. 158,993 1,737,793 * Atlantic Premium Brands, Ltd. 27,000 48,600 * Atlantis Plastics, Inc. 34,800 380,016 *# Atlas Air Worldwide Holdings, Inc. 125,000 82,500 * ATP Oil & Gas Corp. 110,205 557,637 Atrion Corp. 15,400 739,200 * Atrix Labs, Inc. 108,406 2,196,306 * ATS Medical, Inc. 14,200 53,392 * Atwood Oceanics, Inc. 63,400 1,628,746 * Audiovox Corp. Class A 90,890 1,260,644 * August Technology Corp. 80,900 1,618,000 * Ault, Inc. 40,100 108,270 * Aurora Foods, Inc. 53,246 852 *# Authentidate Holding Corp. 105,900 1,347,048 * autobytel.com, Inc. 168,914 1,631,709 * Avalon Holding Corp. Class A 15,475 40,312 *# Avanex Corp. 231,900 1,099,206 *# Avanir Pharmaceuticals Class A 69,500 100,775 * Avant Immunotherapeutics, Inc. 146,030 384,059 * Avatar Holdings, Inc. 47,000 1,590,950 * Avatech Solutions, Inc. 12,186 3,046 *# Avi Biopharma, Inc. 140,300 687,470 * Aviall, Inc. 171,950 2,751,200 * Avici Systems Inc. 30,131 259,127 * Avigen, Inc. 94,600 614,900 * Avteam, Inc. Class A 82,500 87 * Aware, Inc. 110,400 367,632 * Axcelis Technologies, Inc. 55,842 640,508 *# Axonyx, Inc. 1,200 4,584 * Axsys Technologies, Inc. 49,800 692,718 * AXT, Inc. 59,200 202,464 * AZZ, Inc. 59,726 727,463 Badger Meter, Inc. 64,600 2,428,960 * Badger Paper Mills, Inc. 200 922 Bairnco Corp. 105,400 703,018 * Baker (Michael) Corp. 61,614 653,108 * Baker (Michael) Corp. Class B 15,400 163,240 Balchem Corp. 24,100 551,890 * Baldwin Technology, Inc. Class A 131,900 395,700 * Ballantyne Omaha, Inc. 126,135 $ 264,883 * Bally Total Fitness Holding Corp. 152,900 1,070,300 * Bancinsurance Corp. 39,480 259,384 Bank of Granite Corp. 31,200 746,928 Bank of The Ozarks 10,400 440,960 * Bankrate, Inc. 50,700 693,576 * BankUnited Financial Corp. Class A 157,600 4,010,920 Banner Corp. 116,790 2,937,268 Barnes Group, Inc. 71,800 2,148,974 * barnesandnoble.com, inc. 97,792 278,707 * Barnwell Industries, Inc. 10,100 256,540 * Barrett Business Services, Inc. 61,800 914,640 * Barry (R.G.) Corp. 171,335 1,019,443 Bassett Furniture Industries, Inc. 106,200 1,741,680 * Bay View Capital Corp. 260,100 1,578,807 * Baycorp Holdings, Ltd. 4,189 55,148 * Bayou Steel Corp. Class A 99,000 495 * BCT International, Inc. 23,700 47,044 * BE Aerospace, Inc. 104,134 598,770 * Beasley Broadcast Group, Inc. 32,136 476,320 * Bebe Stores, Inc. 104,100 2,947,071 BEI Technologies, Inc. 132,200 2,335,974 Bel Fuse, Inc. Class A 42,650 1,120,629 Bel Fuse, Inc. Class B 93,250 2,705,182 Belden, Inc. 114,300 2,251,710 * Bell Industries, Inc. 89,000 240,300 * Bell Microproducts, Inc. 121,050 1,042,240 * Benihana, Inc. 11,500 159,850 * Benihana, Inc. Class A 3,335 44,189 * Bentley Pharmaceuticals, Inc. 128,550 1,574,737 Berry Petroleum Corp. Class A 171,900 3,286,728 * Bethlehem Corp. 200 9 * Bethlehem Steel Corp. 5,700 91 * Beverly Enterprises 401,600 3,144,528 * Beyond.com Corp. 5,160 64 BHA Group Holdings, Inc. Class A 84,954 2,132,345 * Big 4 Ranch, Inc. 35,000 0 * Big City Radio, Inc. 34,250 49,662 * Big Dog Holdings, Inc. 2,100 8,043 * BindView Development Corp. 202,300 596,785 * Bio Imaging Technologies, Inc. 13,300 95,095 * Bioanalytical Systems, Inc. 8,700 38,628 * Biocryst Pharmaceuticals, Inc. 179,700 1,471,743 *# BioLase Technology, Inc. 96,950 1,189,576 * Bio-Logic Systems Corp. 43,200 256,176 * BioMarin Pharmaceutical, Inc. 43,300 318,255 * Biomerica, Inc. 23,400 10,296 * Bionova Holdings Corp. 2,900 812 * Bio-Reference Laboratories, Inc. 51,300 906,471 * BioReliance Corp. 36,700 1,698,843 * Biosite, Inc. 68,100 1,828,485 * Biosource International, Inc. 98,400 718,320 * Biospecifics Technologies Corp. 39,000 61,659 * BioSphere Medical, Inc. 60,700 182,707 * Bitstream, Inc. 81,600 345,168 Blair Corp. 68,800 1,720,000 * Blonder Tongue Laboratories, Inc. 76,500 244,800 * Blount International, Inc. 35,400 212,754 * Blue Coat Systems, Inc. 39,472 828,517 * Blue Rhino Corp. 138,300 1,739,814 * Bluegreen Corp. 226,829 1,429,023
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SHARES VALUE+ ------ ------ * BMC Industries, Inc. 142,200 $ 7,110 * BNS Co. Class A 26,480 148,288 * Boca Resorts, Inc. 133,206 1,902,182 * Bogen Communications International, Inc. 64,200 314,580 *# Bolder Technologies Corp. 40,300 103 * Bolt Technology Corp. 44,700 172,095 * Bombay Co., Inc. 299,600 3,064,908 * Bone Care International, Inc. 63,601 858,613 * Bontex, Inc. 2,200 1,320 Bon-Ton Stores, Inc. 111,900 1,499,460 * Books-a-Million, Inc. 174,200 783,900 Boston Acoustics, Inc. 52,950 540,619 * Boston Beer Company, Inc. Class A 132,900 2,445,360 * Boston Biomedical, Inc. 39,300 98,250 * Boston Communications Group, Inc. 131,800 1,186,200 Boston Private Financial Holdings, Inc. 101,000 2,618,930 Bostonfed Bancorp, Inc. 36,100 1,167,835 * Bottomline Technologies, Inc. 72,996 656,964 Bowl America, Inc. Class A 55,406 761,832 Bowne & Co., Inc. 150,868 2,223,794 * Boyd Brothers Transportation, Inc. 13,000 69,355 * Boyds Collection, Ltd. 438,500 1,885,550 *# Bradley Pharmaceuticals, Inc. Class A 45,649 1,073,664 * Brass Eagle, Inc. 55,500 512,820 * Braun Consulting, Inc. 52,500 131,250 *# Breed Technologies, Inc. 5,600 168 Bridgford Foods Corp. 91,467 768,414 * Brigham Exploration Co. 109,900 786,774 * Brightpoint, Inc. 81,877 1,839,776 * BrightStar Information Technology Group, Inc. 67,900 6,790 * Brillian Corp. 23,600 188,092 *# Brilliant Digital Entertainment, Inc. 141,500 60,845 *# BriteSmile, Inc. 1,880 56,870 * Broadview Media, Inc. 15,800 114,550 * BroadVision, Inc. 96,560 453,832 * Brookstone, Inc. 113,850 2,702,799 * Brooktrout, Inc. 109,050 1,605,216 Brown Shoe Company, Inc. 134,400 4,694,592 * Bruker BioSciences Corp. 244,900 1,219,602 * Brush Engineered Materials, Inc. 73,800 994,824 Bryn Mawr Bank Corp. 5,600 133,000 BSB Bancorp, Inc. 123,106 3,982,479 * BSQUARE Corp. 23,700 35,076 * BTU International, Inc. 79,100 333,011 * Buca, Inc. 75,400 426,010 * Buckeye Technology, Inc. 138,890 1,418,067 Buckle, Inc. 101,800 2,227,384 Building Materials Holding Corp. 121,300 1,837,695 * Bull Run Corp. 23,390 25,495 * Bush Industries, Inc. Class A 94,700 322,927 * Butler International, Inc. 69,690 109,414 Butler Manufacturing Co. 50,000 1,035,500 C & D Technologies, Inc. 114,700 2,296,294 C & F Financial Corp. 100 4,550 * C-COR.net Corp. 164,560 1,941,808 *# C-Phone Corp. 60,300 693 * Cable Design Techologies Corp. 219,200 2,227,072 * Cache, Inc. 56,300 $ 1,215,461 Cadmus Communications Corp. 67,100 815,265 * Cagle's, Inc. Class A 94,800 684,930 Calavo Growers 5,230 58,158 Calgon Carbon Corp. 175,500 1,079,325 * California Amplifier, Inc. 65,500 641,245 * California Coastal Communities, Inc. 63,600 702,780 California First National Bancorp 79,100 913,209 * California Micro Devices Corp. 137,200 1,177,176 * California Pizza Kitchen, Inc. 85,000 1,572,500 California Water Service Group 67,347 1,761,798 * Caliper Technologies Corp. 120,350 769,036 * Callon Petroleum Corp. 121,600 1,118,720 * Calloways Nursery, Inc. 1,700 1,003 # Cal-Maine Foods, Inc. 82,000 1,741,680 * Calton, Inc. 29,050 21,787 * CAM Commerce Solutions, Inc. 11,300 77,970 * Cambridge Heart, Inc. 70,100 80,615 Camco Financial Corp. 17,471 309,062 * Candela Corp. 90,351 1,854,906 *# Candies, Inc. 111,021 225,373 * Candlewood Hotel Co., Inc. 3,100 124 *# Cannon Express, Inc. Class A 50 61 * Cannondale Corp. 75,600 15,120 * Cantel Medical Corp. 69,756 1,096,564 * Canterbury Consulting Group, Inc. 8,928 8,437 * Canyon Resources Corp. 28,100 109,590 * Capital Corp. of the West 12,533 478,134 * Capital Crossing Bank 44,300 1,868,530 * Capital Pacific Holdings, Inc. 87,000 295,800 * Capital Senior Living Corp. 177,900 1,085,190 Capitol Bancorp, Ltd. 40,500 1,166,400 * Caprius, Inc. 2,010 402 * Captaris, Inc. 158,600 940,498 * Captiva Software Corp. 44,400 582,572 * Caraustar Industries, Inc. 119,059 1,387,037 Carbo Ceramics, Inc. 31,400 1,371,866 * Cardiac Sciences, Inc. 275,340 982,964 * Cardima, Inc. 19,500 20,670 * CardioDynamics International Corp. 208,949 1,358,168 *# CardioGenesis Corp. 276,400 215,592 * Cardiotech International, Inc. 117,160 734,593 * CareCentric, Inc. 33,815 25,361 * Career Blazers, Inc. Trust Units 4,360 0 * Career Education Corp. 1 51 Carpenter Technology Corp. 100,200 2,685,360 * Carreker Corp. 131,700 1,970,232 * Carriage Services, Inc. Class A 110,700 364,203 * Carrier Access Corp. 64,625 962,912 * Carrington Laboratories, Inc. 73,900 314,814 *# Carrizo Oil & Gas, Inc. 83,000 622,500 Cascade Corp. 117,750 3,155,700 Cascade Natural Gas Corp. 98,400 1,968,000 * Casella Waste Systems, Inc. Class A 101,544 1,360,690 Cash America International, Inc. 121,740 2,359,321 * Castle (A.M.) & Co. 74,225 341,435 Castle Energy Corp. 50,800 289,560 *# Casual Male Retail Group, Inc. 189,800 1,632,280 * Catalina Lighting, Inc. 11,080 135,630 * Catalyst International, Inc. 74,700 112,050 * Catalytica Energy Systems, Inc. 24,200 84,700
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SHARES VALUE+ ------ ------ * Catapult Communications Corp. 57,818 $ 874,208 Cato Corp. Class A 86,800 1,812,384 * Cavalier Homes, Inc. 148,500 423,225 Cavalry Bancorp, Inc. 300 5,829 * Cavco Industries, Inc. 11,506 270,391 CB Bancshares, Inc. HI 3,748 237,173 CCA Industries, Inc. 34,700 259,382 CCBT Financial Companies, Inc. 79,900 2,116,551 * CCC Information Services Group, Inc. 13,100 220,866 * CD Warehouse, Inc. 5,600 11 * CD&L, Inc. 13,100 10,742 CDI Corp. 53,370 1,809,243 * Celadon Group, Inc. 76,100 1,034,960 * Celebrity, Inc. Escrow Shares 13,500 0 * Celeritek, Inc. 55,400 445,970 * Cell Genesys, Inc. 176,505 2,301,625 *# Cell Therapeutics, Inc. 178,700 1,608,300 * Cellegy Pharmaceuticals, Inc. 179,200 510,720 * CellStar Corp. 91,584 1,259,280 * Centene Corp. 68,950 2,116,765 * Centennial Communications Corp. 35,800 176,136 Center Bancorp, Inc. 5,000 106,150 Center Finl CO 6,328 158,010 *# CenterSpan Communication Corp. 38,300 2,681 * Centillium Communications, Inc. 161,029 885,659 * Centra Software, Inc. 94,582 340,495 Central Bancorp, Inc. 10,000 355,100 * Central European Distribution Corp. 47,881 1,504,421 * Central Garden & Pet Co. 75,724 2,007,443 Central Pacific Financial Corp. 71,300 1,967,880 Central Parking Corp. 80,432 1,122,026 Central Vermont Public Service Corp. 141,200 3,374,680 Centrue Financial Corp. 3,000 88,350 * Century Aluminum Co. 113,400 1,882,440 Century Bancorp Income Class A 7,600 282,796 * Century Business Services, Inc. 136,115 632,935 * Cepheid, Inc. 156,748 1,211,662 * Ceradyne, Inc. 79,904 3,412,700 Cerberonics, Inc. Class A 3,500 38,850 * Ceres Group, Inc. 42,800 223,416 * Cerus Corp. 96,800 329,120 CFS Bancorp, Inc. 54,278 768,034 * Chad Therapeutics 9,300 25,156 * Champion Enterprises, Inc. 331,000 2,389,820 Champion Industries, Inc. 93,200 404,395 * Championship Auto Racing Teams, Inc. 48,000 25,440 * Champps Entertainment, Inc. 109,710 759,193 * Channell Commercial Corp. 21,100 98,115 * Charles and Colvard, Ltd. 70,900 345,992 * Charles River Associates, Inc. 48,100 1,570,465 * Charlotte Russe Holding, Inc. 95,600 1,438,780 * Charming Shoppes, Inc. 21,695 135,160 * Chart Industries 151 4,530 Chase Corp. 24,200 302,984 * Chattem, Inc. 177,800 2,848,356 * Chaus (Bernard), Inc. 15,260 15,565 * Checkers Drive-In Restaurant, Inc. 54,300 497,388 * Checkpoint Systems, Inc. 144,300 2,792,205 Cherokee, Inc. 20,200 453,490 Chesapeake Corp. 67,522 1,553,006 Chesapeake Utilities Corp. 53,675 $ 1,347,779 Chester Valley Bancorp 7,535 169,311 * Chicago Pizza & Brewery, Inc. 87,278 1,241,966 Chicago Rivet & Machine Co. 20,000 532,500 * Children's Place Retail Stores, Inc. 111,862 3,207,084 * Childtime Learning Centers, Inc. 31,700 69,740 * ChipPAC, Inc. 291,700 2,266,509 * Cholestech Corp. 114,500 847,300 * Chordiant Software, Inc. 85,955 377,342 * ChromaVision Medical Systems, Inc. 44,200 48,178 * Chromcraft Revington, Inc. 100,900 1,175,485 * Chronimed, Inc. 119,700 1,074,906 Churchill Downs, Inc. 17,700 649,926 * Ciber, Inc. 195,364 1,779,766 * Cima Laboratories, Inc. 63,000 2,077,740 * Ciphergen Biosystems, Inc. 129,533 1,348,439 * Ciprico, Inc. 49,800 251,490 CIRCOR International, Inc. 40,911 900,042 * Cirrus Logic, Inc. 141,824 1,219,686 * Citizens, Inc. Class A 202,959 2,009,301 City Holding Co. 71,714 2,553,018 * CKE Restaurants, Inc. 440,500 3,083,500 * Clark, Inc. 77,900 1,278,339 * Clarus Corp. 142,550 996,424 * Clayton Williams Energy, Inc. 67,800 1,542,450 *# Clean Harbors, Inc. 97,800 902,694 *# Clearone Communications, Inc. 33,600 93,240 * Cleveland Cliffs, Inc. 46,460 1,793,356 *# Click2learn, Inc. 27,900 59,427 * ClickAction, Inc. Escrow 45,200 2,260 Clinical Data Inc. 5,890 50,625 * Closure Medical Corp. 61,802 2,193,971 * CNA Surety Corp. 44,880 434,438 *# CNE Group, Inc. 2,900 1,624 *# CNET Networks, Inc. 29,654 221,515 CNS, Inc. 145,700 1,777,540 Coachmen Industries, Inc. 95,600 1,649,100 * Coast Dental Services, Inc. 19,133 122,356 Coast Distribution System 40,800 226,440 Coastal Bancorp, Inc. 41,100 1,438,500 * Coastcast Corp. 75,000 150,375 CoBiz, Inc. 19,650 354,486 * Cobra Electronics Corp. 118,100 839,691 * Coeur d'Alene Mines Corp. 258,400 1,338,512 * Cogent Communications Group, Inc. 9,029 11,015 * Cognitronics Corp. 83,175 274,477 Cohu, Inc. 95,179 2,000,663 * Coinstar, Inc. 96,700 1,627,461 * Coldwater Creek, Inc. 132,525 1,903,059 Cole (Kenneth) Productions, Inc. Class A 50,400 1,506,960 * Cole National Corp. Class A 104,300 2,188,214 * Collagenex Pharmaceuticals, Inc. 90,500 937,580 * Collins & Aikman Corp. 128,220 457,745 Collins Industries, Inc. 65,825 355,455 Columbia Bancorp 1,700 49,895 Columbia Banking System, Inc. 132,175 2,775,675 * Columbia Laboratories, Inc. 239,850 1,242,423 * Columbus McKinnon Corp. 116,300 718,734 * Comarco, Inc. 67,800 642,744 * Comdial Corp. 7,312 21,936
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SHARES VALUE+ ------ ------ * Comforce Corp. 108,466 $ 55,318 * Comfort Systems USA, Inc. 336,100 1,616,641 *# Commerce One, Inc. 34,300 39,788 Commercial Bancshares, Inc. 27,043 908,104 Commercial Metals Co. 149,700 3,853,278 Commercial National Financial Corp. 1,600 41,192 Commonwealth Industries, Inc. 144,600 1,059,918 * Commscope, Inc. 62,800 1,002,288 Communications Systems, Inc. 118,600 817,154 Community Bank System, Inc. 53,500 2,605,450 Community Banks, Inc. 567 21,971 Community Bankshares, Inc. 2,730 51,611 Community Trust Bancorp, Inc. 53,670 1,759,306 * Community West Bancshares 23,200 193,952 * Competitive Technologies, Inc. 102,600 249,318 *# Compex Technologies, Inc. 100,400 908,620 * Compucom Systems, Inc. 214,361 975,343 * CompuCredit Corp. 120,200 2,846,336 * Compudyne Corp. 34,821 343,335 * Computer Access Technology Corp. 160,200 744,930 * Computer Horizons Corp. 298,100 1,108,932 * Computer Network Technology Corp. 122,200 1,215,890 Computer Programs & Systems, Inc. 13,268 248,045 * Computer Task Group, Inc. 174,600 729,828 CompX International, Inc. 9,500 59,945 * Comstock Resources, Inc. 211,700 3,450,710 * Comtech Telecommunications Corp. 101,225 3,374,639 *# Concepts Direct, Inc. 3,400 1,309 *# Conceptus, Inc. 97,200 1,263,600 * Concerto Software, Inc. 106,100 1,264,712 * Concord Camera Corp. 128,700 1,553,409 * Concord Communications, Inc. 80,100 1,773,414 * Concur Technologies, Inc. 141,747 1,410,383 * Concurrent Computer Corp. 280,600 1,130,818 * Cone Mills Corp. 215,600 12,397 * Congoleum Corp. Class A 35,500 23,075 * Conmed Corp. 54,400 1,156,544 Connecticut Bancshares, Inc. 44,587 2,302,027 Connecticut Water Services, Inc. 93,787 2,726,388 * Connetics Corp. 138,900 2,451,585 * Conrad Industries, Inc. 18,700 52,640 * Consolidated Graphics, Inc. 84,100 2,527,205 Consolidated Tokoma Land Co. 28,400 873,300 * Consumer Portfolio Services, Inc. 2,000 7,520 * Continental Materials Corp. 14,900 406,621 *# Convera Corp. 147,452 576,537 * Convergence Systems, Inc. 13 585 Cooperative Bankshares, Inc. 5,500 140,470 * Copper Mountain Networks, Inc. 21,902 206,120 * Corautus Genetics, Inc. 3,614 21,214 * Core Molding Technologies, Inc. 39,597 116,415 * Corillian Corp. 145,213 864,017 * Corio, Inc. 247,714 616,808 *# Corixa Corp. 241,459 1,373,902 * Cornell Companies, Inc. 91,400 1,151,640 * Correctional Services Corp. 115,041 295,655 * Corrpro Companies, Inc. 42,775 64,162 * Corvel Corp. 18,600 646,350 * Cosine Communications, Inc. 44,379 343,493 * CoStar Group, Inc. 70,300 2,952,600 * Cost-U-Less, Inc. 13,600 44,880 Cotton States Life Insurance Co. 22,500 $ 399,397 Courier Corp. 63,075 3,501,293 * Covansys Corp. 132,400 1,191,600 * Covenant Transport, Inc. Class A 91,000 1,714,440 * Cover-All Technologies, Inc. 9,432 5,282 Covest Bancshares, Inc. 42,600 1,166,388 * Covista Communications, Inc. 21,500 59,125 CPAC, Inc. 52,178 322,408 * CPI Aerostructures, Inc. 22,533 270,396 CPI Corp. 39,200 903,560 Craftmade International, Inc. 62,550 1,673,212 Crawford & Co. Class A 94,400 676,848 Crawford & Co. Class B 132,500 960,625 * Cray, Inc. 44,300 463,821 *# Credence Systems Corp. 41,767 541,300 * Credit Acceptance Corp. 85,102 1,276,530 * Criticare Systems, Inc. 49,100 166,940 * Cross (A.T.) Co. Class A 130,600 852,818 * Cross Country Healthcare, Inc. 134,952 2,010,785 * Crossroads Systems, Inc. 62,704 191,874 * Crown Andersen, Inc. 11,600 27,260 * Crown Financial Group, Inc. 72,600 183,678 * Crown Media Holdings, Inc. 23,718 208,956 * Crown Resources Corp. 13,540 35,746 *# Cryolife, Inc. 148,450 795,692 * CSG Systems International, Inc. 85,400 989,786 *# CSK Auto Corp. 270,400 4,932,096 * CSP, Inc. 78,328 413,572 CSS Industries, Inc. 32,250 958,147 CT Communications, Inc. 82,474 1,179,378 CTS Corp. 159,219 1,952,025 Cubic Corp. 162,150 4,796,397 * Cubist Pharmaceuticals, Inc. 146,600 1,820,772 * Culp, Inc. 153,380 1,727,059 * CUNO, Inc. 10,750 458,057 * CuraGen Corp. 174,434 1,098,934 * Curative Health Services Inc. 76,900 998,162 * Curis, Inc. 148,400 807,296 * Cutter & Buck, Inc. 112,600 872,650 *# CV Therapeutics, Inc. 16,400 294,708 * Cyberguard Corp. 45,806 393,428 * Cyberonics, Inc. 90,900 2,498,841 * Cyberoptics Corp. 58,800 585,648 * Cybersource Corp. 521,100 2,589,867 * Cybex International, Inc. 75,950 94,178 * Cycle Ctry Acc 5,300 24,327 * Cygnus, Inc. 15,800 1,422 * Cysive, Inc. 237,500 764,750 *# Cytogen Corp. 47,290 534,377 *# Cytrx Corp. 6,400 14,144 D & K Healthcare Resources, Inc. 65,400 884,208 * D A Consulting Group, Inc. 55,900 4,472 * Daily Journal Corp. 200 6,065 * Daisytek International Corp. 14,800 481 * Daktronics, Inc. 167,400 3,107,111 *# Dan River, Inc. Class A 214,700 165,319 * Danielson Holding Corp. 102,553 145,625 * Darling International, Inc. 368,800 1,025,264 * Data I/O Corp. 77,000 264,803 * Data Systems & Software, Inc. 86,500 241,335 * Datakey, Inc. 11,700 6,786
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SHARES VALUE+ ------ ------ * Datalink Corp. 51,500 $ 200,335 * Dataram Corp. 84,150 354,271 Datascope Corp. 66,466 2,311,687 * Datastream Systems, Inc. 126,600 943,170 * Datatec Systems, Inc. 6,100 7,076 * DataTRAK International, Inc. 28,900 182,070 * Datawatch Corp. 9,244 51,859 * Dave and Busters, Inc. 121,200 1,685,892 * Daw Technologies, Inc. 6,300 1 * Dawson Geophysical Co. 41,200 335,368 * Daxor Corp. 46,400 705,280 Deb Shops, Inc. 100,300 1,987,946 * Deckers Outdoor Corp. 64,900 1,090,320 * Decora Industries, Inc. 9,400 141 Decorator Industries, Inc. 20,587 130,007 * Del Global Technologies Corp. 79,121 189,890 * Del Laboratories, Inc. 168,557 4,070,665 * Delphax Technologies, Inc. 52,900 167,693 Delta Apparel, Inc. 38,640 635,628 * Delta Financial Corp. 25,500 182,580 Delta Natural Gas Co., Inc. 18,800 438,604 * Delta Woodside Industries, Inc. 51,000 88,740 Deltic Timber Corp. 46,700 1,322,544 * Denali, Inc. 33,100 0 * Dendreon Corp. 198,010 1,568,239 * Dendrite International, Inc. 165,500 2,830,050 * Department 56, Inc. 115,950 1,638,373 * DepoMed, Inc. 112,000 760,480 * Detrex Corp. 10,200 15,555 * Devcon International Corp. 29,000 207,350 * DHB Industries, Inc. 174,700 1,313,744 *# Diametrics Medical, Inc. 197,500 108,625 * DiamondCluster International, Inc. 69,400 656,524 * Diedrich Coffee, Inc. 28,025 113,501 * Digene Corp. 63,500 2,524,125 * Digi International, Inc. 149,333 1,279,784 * Digimarc Corp. 81,094 1,144,236 *# Digital Angel Corp. 18,900 42,525 * Digital Generation Systems, Inc. 307,900 575,773 * Digital Impact, Inc. 52,700 148,614 * Digital Insight Corp. 139,100 3,306,407 * Digital Lightwave, Inc. 600 564 * Digital River, Inc. 41,200 948,012 *# DigitalThink Inc. 241,043 718,308 * Digitas, Inc. 184,623 1,608,066 Dime Community Bancorp, Inc. 34,025 1,046,269 Dimon, Inc. 215,200 1,452,600 * Diodes, Inc. 136,350 2,774,722 * Directrix, Inc. 8,950 76 * Discovery Partners International 98,992 571,085 * Display Technologies, Inc. 44,255 108 * Ditech Communications Corp. 134,671 2,363,476 * Diversa Corp. 186,444 1,566,130 * Diversified Corporate Resources, Inc. 1,200 888 * Dixie Group, Inc. 98,900 801,090 * Dixon Ticonderoga Co. 26,750 98,975 * DJ Orthopedics, Inc. 35,200 913,440 * DLB Oil & Gas, Inc. 7,600 0 * Docent, Inc. 23,400 114,192 * DocuCorp International, Inc. 105,300 1,050,894 * Document Sciences Corp. 15,400 69,300 * Dollar Thrifty Automotive Group, Inc. 100,600 $ 2,540,150 * Dominion Homes, Inc. 44,100 1,341,081 Donegal Group, Inc. Class A 38,280 769,428 Donegal Group, Inc. Class B 19,140 361,555 * Dot Hill Systems Corp. 90,680 1,546,094 *# DOV Pharmaceutical, Inc. 50,406 540,856 Dover Downs Gaming & Entertainment, Inc. 3,570 32,487 Dover Motorsports, Inc. 59,600 249,128 * DPAC Technologies Corp. 209,000 392,920 * Drew Industries, Inc. 95,100 2,561,994 *# Drexler Technology Corp. 105,650 1,580,524 * Dril-Quip, Inc. 77,000 1,151,150 * Driver-Harris Co. 9,898 495 * DRS Technologies, Inc. 88,174 2,336,611 * Drugstore.com, Inc. 240,500 1,601,730 * DSP Group, Inc. 92,000 2,216,280 * DT Industries, Inc. 101,500 109,620 * DualStar Technologies Corp. 21,500 8,707 * Duane Reade, Inc. 108,200 1,501,816 * Duckwall-ALCO Stores, Inc. 41,200 616,764 * Ducommun, Inc. 95,100 2,117,877 * DuPont Photomasks, Inc. 81,590 1,894,520 * Dura Automotive Systems, Inc. 70,200 723,762 * DuraSwitch Industries, Inc. 8,800 18,172 * Duratek, Inc. 124,000 1,244,960 *# Durect Corp. 56,085 126,191 * DUSA Pharmaceuticals, Inc. 62,808 337,279 * DVI, Inc. 103,300 7,231 * Dyax Corp. 109,800 663,192 *# Dynacq Healthcare, Inc. 67,234 1,241,072 * Dynamex, Inc. 13,300 136,990 * Dynamic Materials Corp. 14,700 44,835 * Dynamics Research Corp. 66,100 1,067,449 *# E Com Ventures, Inc. 10,825 127,302 * E-Loan, Inc. 267,700 835,224 E-Z-EM, Inc. 86,424 998,197 * E.piphany, Inc. 185,536 1,465,734 * Eagle Food Centers, Inc. 22,550 507 Eastern Co. 34,000 487,560 * EasyLink Services Corp. 27,519 36,325 * Eateries, Inc. 23,200 75,400 * Echelon Corp. 162,971 1,963,801 * Ecogen, Inc. 5,690 853 * eCollege.com 134,700 2,990,340 Ecology & Environment, Inc. Class A 13,900 133,162 Edelbrock Corp. 49,170 584,631 * EDGAR Online, Inc. 14,400 28,800 * Edge Petroleum Corp. 52,400 416,056 * Edgewater Technology, Inc. 70,674 350,543 Edo Corp. 88,700 1,844,960 Educational Development Corp. 15,400 175,560 * Educational Insights, Inc. 47,300 26,724 EFC Bancorp, Inc. 15,800 356,448 *# EFJ, Inc. 9,000 42,750 * eFunds Corp. 102,188 1,772,962 * El Paso Electric Co. 20,000 254,000 * Elcom International, Inc. 128,400 28,248 * Electro Rent Corp. 53,617 745,276 * Electro Scientific Industries, Inc. 74,818 1,799,373 Electro Sensors, Inc. 3,450 14,662
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SHARES VALUE+ ------ ------ *# Electroglas, Inc. 91,800 $ 362,610 * Electronics Boutique Holdings Corp. 56,400 1,372,776 * Elizabeth Arden, Inc. 122,400 2,485,944 ElkCorp 88,100 2,239,502 * eLoyalty Corp. 10,200 36,720 * ELXSI Corp. 7,100 31,950 * Embarcadero Technologies, Inc. 119,343 1,722,119 * Embrex, Inc. 121,700 1,549,241 EMC Insurance Group, Inc. 85,100 1,740,295 * Emcor Group, Inc. 6,200 254,820 * EMCORE Corp. 76,441 388,320 * Emerging Vision, Inc. 145,200 21,780 * Emeritus Corp. 146,300 939,246 * Emerson Radio Corp. 121,278 425,686 * Emisphere Technologies, Inc. 80,300 481,800 # Empire District Electric Co. 101,000 2,137,160 * EMS Technologies, Inc. 118,499 2,518,104 * En Pointe Technologies, Inc. 57,200 105,763 * Encore Acquisition Co. 8,900 191,884 * Encore Medical Corp. 35,300 239,334 * Encore Wire Corp. 149,650 2,535,071 * Encysive Pharmaceuticals, Inc. 221,200 1,656,788 *# Endocardial Solutions, Inc. 104,100 782,832 *# Endocare, Inc. 76,200 314,706 * Endologix, Inc. 125,888 478,374 * Energy Conversion Devices, Inc. 95,000 817,000 * Energy Partners, Ltd. 144,300 1,753,245 Energy West, Inc. 2,250 13,432 EnergySouth, Inc. 51,150 1,754,445 * Enesco Group, Inc. 122,400 1,325,592 * ENGlobal Corp. 3,900 8,970 * Enherent Corp. 19,400 1,794 *# Enlighten Software Solutions, Inc. 12,300 18 Ennis Business Forms, Inc. 223,900 3,309,242 * EnPro Industries, Inc. 64,700 641,177 *# Entremed, Inc. 141,690 551,174 * Entrust, Inc. 322,220 1,375,879 * Environmental Elements Corp. 43,600 11,772 * Environmental Technologies Corp. 39,700 992 * Environmental Tectonics Corp. 59,500 464,695 * Enzo Biochem, Inc. 132,065 2,436,599 * EP Medsystems, Inc. 193,300 680,416 * Epicor Software Corp. 399,728 4,952,630 *# Epimmune, Inc. 63,070 115,418 * EPIQ Systems, Inc. 78,875 1,376,369 * EPIX Medical, Inc. 94,746 1,708,270 * ePlus, Inc. 33,400 417,500 * ePresence, Inc. 191,500 700,890 *# Equimed Inc. Nevis 6,533 1 * Equity Marketing, Inc. 58,200 797,922 * Equity Oil Co. 131,100 456,097 * Ergo Science Corp. 36,350 72,700 ESB Financial Corp. 94,531 1,536,129 * Esco Technologies, Inc. 89,476 3,802,730 * Esperion Therapeutics, Inc. 119,612 2,749,880 Espey Manufacturing & Electronics Corp. 20,500 503,275 * ESS Technology, Inc. 170,100 2,837,268 * Esterline Technologies Corp. 89,700 2,079,246 * Ethyl Corp. 28,500 581,400 * Euronet Worldwide, Inc. 91,401 1,538,279 * European Micro Holdings, Inc. 5,900 $ 112 * Evans & Sutherland Computer Corp. 100,100 467,467 * Evans Systems, Inc. 6,000 480 * Evercel, Inc. 12,466 14,336 *# Evergreen Solar, Inc. 24,600 49,200 * Everlast Worldwide, Inc. 5,600 15,288 EverTrust Financial Group, Inc. 4,100 124,230 * Evolving Systems, Inc. 71,600 1,224,360 *# Exabyte Corp. 23,300 16,543 * Exact Sciences Corp. 86,120 895,648 * Exactech, Inc. 76,400 1,203,300 * Exar Corp. 8,100 157,059 * Excel Technology, Inc. 81,922 2,580,543 * EXE Technologies, Inc. 19,128 134,872 * Exelixis, Inc. 272,342 1,832,862 * Exponent, Inc. 70,000 1,590,400 * Extended Systems, Inc. 11,600 52,780 *# Extreme Networks, Inc. 12,600 123,606 * EXX, Inc. Class A 1,900 5,890 * EXX, Inc. Class B 100 295 * Ezcorp, Inc. Class A Non-Voting 91,900 679,141 * Ezenia! Inc. 156,500 54,775 * F5 Networks, Inc. 108,900 2,811,798 * Fab Industries, Inc. 40,200 227,130 *# Factory 2-U Stores, Inc. 79,293 193,475 * Fairchild Corp. Class A 148,529 757,498 * Falcon Products, Inc. 78,825 373,630 *# FalconStor Software, Inc. 203,011 1,613,937 * Famous Dave's of America, Inc. 53,100 264,969 * Fargo Electronics 99,400 1,413,468 *# Faro Technologies, Inc. 53,900 1,399,298 * Featherlite, Inc. 52,400 149,340 Fedders Corp. 150,282 945,274 Federal Screw Works 33,750 1,113,750 * Female Health Co. 44,000 121,000 FFLC Bancorp 32,700 967,920 * Fibermark, Inc. 85,725 152,590 *# Fiberstars, Inc. 37,200 271,188 Fidelity Bancorp, Inc. PA 534 13,056 Fidelity Bankshares, Inc. 67,505 1,873,264 * Fidelity Federal Bancorp 21,340 33,077 Fidelity Southern Corp. 82,700 1,145,395 * Filenet Corp. 9,100 238,329 * Financial Federal Corp. 79,100 2,601,599 * Financial Industries Corp. 7,500 106,950 * Findwhat.Com 94,100 1,425,615 * Finishmaster, Inc. 64,800 613,008 * Finlay Enterprises, Inc. 76,800 1,248,000 * Firebrand Financial Group, Inc. 75,400 490 First Albany Companies, Inc. 35,519 491,974 First Aviation Services, Inc. 1,700 6,885 First Bancorp 34,014 1,054,434 * First Cash Financial Services, Inc. 80,600 2,140,736 First Charter Corp. 44,183 899,566 First Community Bancorp 38,078 1,404,317 * First Consulting Group, Inc. 112,331 591,984 First Defiance Financial Corp. 68,492 1,912,982 First Essex Bancorp 68,400 3,900,168 First Federal Bancshares of Arkansas, Inc. 23,400 906,750 First Federal Capital Corp. 89,080 2,087,144
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SHARES VALUE+ ------ ------ First Financial Holdings, Inc. 123,500 $ 3,890,250 First Franklin Corp. 600 10,758 * First Horizon Pharmaceutical Corp. 126,546 1,442,624 First Indiana Corp. 123,300 2,299,545 * First Investors Financial Services Group, Inc. 43,200 183,168 First Keystone Financial, Inc. 16,500 441,375 First M&F Corp. 3,000 109,020 * First Mariner Bank Corp. 16,400 278,472 First Merchants Corp. 81,297 2,060,879 First Midwest Financial, Inc. 16,500 369,600 First Mutual Bancshares, Inc. 26,792 666,853 First Oak Brook Bancshares, Inc. Class A 30,000 933,000 First Place Financial Corp. 59,343 1,096,659 First Republic Bank 106,500 3,967,125 First SecurityFed Financial, Inc. 28,500 877,486 First Sentinel Bancorp, Inc. 121,983 2,315,237 First State Bancorporation 15,386 530,663 First United Corp. 17,500 430,150 * First Virtual Communications, Inc. 28,021 63,327 First Years, Inc. 94,700 1,303,072 Firstbank Corp. 6,300 201,600 FirstBank NW Corp. 16,097 492,407 * FirstCity Financial Corp. 4,700 29,135 FirstFed America Bancorp, Inc. 79,452 2,070,519 * Firstwave Technologies, Inc. 19,200 96,192 * Fischer Imaging Corp. 60,600 275,730 Flag Financial Corp. 35,200 462,704 Flamemaster Corp. 247 1,660 * Flanders Corp. 255,500 1,428,245 Flanigan's Enterprises, Inc. 20,600 136,990 * Fleetwood Enterprises, Inc. 177,800 1,808,226 # Fleming Companies, Inc. 47,515 539 Flexsteel Industries, Inc. 61,000 1,249,890 * Florida Banks, Inc. 25,400 403,860 Florida Public Utilities Co. 22,800 362,976 FloridaFirst Bancorp 2,400 67,680 * Flow International Corp. 153,600 539,290 Flushing Financial Corp. 117,675 3,200,760 FMS Financial Corp. 8,400 164,136 FNB Corp. 10,700 245,244 FNB Financial Services Corp. 6,800 155,176 * Foamex International, Inc. 63,429 282,893 * FOCUS Enhancements, Inc. 28,188 60,322 * Foodarama Supermarkets, Inc. 20,700 533,025 Foothill Independent Bancorp 39,463 899,756 * Footstar, Inc. 84,700 426,041 * Forgent Networks, Inc. 266,700 898,779 * Forrester Research, Inc. 100,198 1,839,635 * Forward Air Corp., Inc. 85,497 2,431,535 * Foster (L.B.) Co. Class A 121,100 726,600 * Fotoball USA, Inc. 17,400 72,036 * Fountain Powerboat Industries, Inc. 35,700 112,455 *# FPIC Insurance Group, Inc. 55,200 1,153,680 Frankfort First Bancorp, Inc. 5,750 117,875 Franklin Bancorp, Inc. 26,469 545,394 * Franklin Covey Co. 182,100 278,613 * Franklin Electronic Publishers, Inc. 81,500 244,500 * FreeMarkets, Inc. 190,950 1,151,428 # Fremont General Corp. 16,700 291,916 Frequency Electronics, Inc. 91,100 $ 951,995 Fresh Brands, Inc. 59,700 650,133 * Fresh Choice, Inc. 50,000 97,500 * Friede Goldman Halter, Inc. 1,122 1 Friedman Industries, Inc. 153,103 471,557 Friedmans, Inc. Class A 131,900 900,877 * Friendly Ice Cream Corp. 24,500 266,315 Frisch's Restaurants, Inc. 63,968 1,714,342 * Frontier Airlines, Inc. 137,366 2,222,582 Frontier Oil Corp. 233,300 4,036,090 * Frozen Food Express Industries, Inc. 162,975 1,082,154 FSF Financial Corp. 17,800 538,450 * FSI International, Inc. 133,400 877,772 * FTD, Inc. 300 7,386 *# FuelCell Energy, Inc. 169,299 2,278,765 *# FX Energy, Inc. 120,900 604,500 * G-III Apparel Group, Ltd. 61,470 642,361 GA Financial, Inc. 37,000 1,063,380 * Gadzooks, Inc. 81,000 392,850 * Gaiam, Inc. 3,551 19,562 * Galaxy Nutritional Foods, Inc. 37,700 104,429 * Galey & Lord, Inc. 67,000 469 *# Galyan's Trading Co. 76,497 1,021,235 * GameTech International, Inc. 70,200 268,866 * Garden Fresh Restaurant Corp. 49,500 731,610 *# Gardenburger, Inc. 33,700 8,256 * Gardner Denver Machinery, Inc. 72,412 1,688,648 * Gateway Industries, Inc. 11,120 12,955 * Gaylord Entertainment Co. 46,117 1,387,661 GB & T Bancshares, Inc. 1,400 32,522 * GC Companies, Inc. 400 166 * Gehl Co. 50,300 774,670 * Genaera Corp. 178,100 682,123 * Genaissance Pharmaceuticals, Inc. 59,300 173,097 Gencorp, Inc. 215,900 2,161,159 * Gene Logic, Inc. 254,260 1,238,246 * Genelabs Technologies, Inc. 366,800 696,920 * General Binding Corp. 40,700 757,427 * General Cable Corp. 148,900 1,255,227 * General Communications, Inc. Class A 297,000 2,598,750 * General DataComm Industries, Inc. 8,000 14,440 * General Employment Enterprises, Inc. 17,700 25,576 * Genesco, Inc. 96,100 1,556,820 * Genesee & Wyoming, Inc. 54,700 1,381,722 * Genesee Corp. Class B 800 2,952 * Genesis Microchip, Inc. 84,281 1,554,984 * Genlyte Group, Inc. 55,700 2,944,302 *# Genome Therapeutics Corp. 128,000 387,712 * Gentek, Inc. 70,400 282 *# Genus, Inc. 153,900 1,092,690 * GenVec, Inc. 227,794 813,225 * Gerber Scientific, Inc. 114,000 947,340 * Geron Corp. 172,591 2,109,062 Getty Realty Corp. (Holding Co.) 13,803 345,489 Gevity HR, Inc. 184,500 4,151,250 *# Giant Group, Ltd. 28,300 56,600 * Giant Industries, Inc. 78,200 954,040 Gibraltar Steel Corp. 22,600 550,988 * Giga-Tronics, Inc. 49,600 105,400 Glacier Bancorp, Inc. 80,748 2,557,289 * Glacier Water Services, Inc. 24,500 495,880
192
SHARES VALUE+ ------ ------ Glatfelter (P.H.) Co. 59,200 $ 709,216 * Glenayre Technologies, Inc. 239,506 716,123 * Global e-Point, Inc. 18,731 94,404 * Global Imaging Systems, Inc. 123,000 3,605,130 * Global Payment Technologies, Inc. 53,200 179,550 * Global Power Equipment Group, Inc. 229,500 1,443,555 * Globecomm Systems, Inc. 96,000 672,000 * GlobespanVirata, Inc. 4,600 28,244 * Glowpoint, Inc. 86,489 160,870 *# GoAmerica, Inc. 170,500 90,365 Gold Banc Corp. 196,334 2,591,609 Golden Enterprises, Inc. 61,900 158,464 * Golden State Vintners, Inc. 47,200 147,736 * Good Guys, Inc. 220,800 450,432 * Goodrich Petroleum Corp. 17,600 90,640 Goody's Family Clothing, Inc. 164,500 1,746,990 Gorman-Rupp Co. 54,600 1,304,940 * Gottschalks, Inc. 130,700 504,502 * GP Strategies Corp. 109,400 804,090 * Gradco Systems, Inc. 2,556 24,729 * Graftech International, Ltd. 127,100 1,504,864 Graham Corp. 12,350 111,520 * Graphic Packaging Corp. 193,600 685,344 Gray Television, Inc. Class A 41,300 541,856 * Great Atlantic & Pacific Tea Co., Inc. 173,300 1,317,080 Great Southern Bancorp, Inc. 39,700 1,697,175 Greater Communications Bancorp 2,891 52,096 * Green Mountain Coffee, Inc. 59,700 1,387,428 Green Mountain Power Corp. 59,300 1,348,482 * Greenbriar Corp. 3,430 10,804 * Greenbrier Companies, Inc. 126,600 1,831,902 Greene County Bancshares, Inc. 3,900 93,600 * Greens Worldwide, Inc. 11,563 405 * Grey Wolf, Inc. 20,000 67,800 * GRIC Communications, Inc. 113,000 701,730 * Griffin Land & Nurseries, Inc. Class A 23,400 338,598 * Griffon Corp. 220,050 4,295,376 * Gristede's Foods, Inc. 30,639 31,099 * Group 1 Software, Inc. 171,730 3,063,663 * Grubb & Ellis Co. 177,552 165,123 GS Financial Corp. 6,400 122,816 * GSI Commerce, Inc. 179,800 1,762,040 *# GSV, Inc. 9,540 1,169 * GTC Biotherapeutics, Inc. 75,294 207,811 * GTSI Corp. 85,100 1,025,455 Guaranty Bancshares, Inc. 1,600 33,040 Guaranty Federal Bancshares, Inc. 17,100 331,483 Guaranty Financial Corp. 15,000 300,075 * Guess, Inc. 152,000 2,158,400 * Guilford Mills, Inc. 4,290 51,480 *# Guilford Pharmaceuticals, Inc. 127,453 870,504 * Guitar Center, Inc. 55,600 1,616,292 * Gulf Island Fabrication, Inc. 88,600 1,577,080 * Gulfmark Offshore, Inc. 128,600 1,804,258 * Gundle/SLT Environmental, Inc. 127,200 2,461,320 * Gymboree Corp. 225,300 3,832,353 * Ha-Lo Industries, Inc. 8,600 9 * Haemonetics Corp. 106,000 2,421,040 Haggar Corp. 58,500 1,014,390 * Hain Celestial Group, Inc. 42,700 985,089 * Halifax Corp. 8,650 43,855 * Hall Kinion Associates, Inc. 69,800 $ 286,110 * Hammons (John Q.) Hotels, Inc. Class A 49,800 340,881 * Hampshire Group, Ltd. 12,700 394,081 Hancock Fabrics, Inc. 184,500 2,619,900 Handleman Co. 108,905 1,916,728 * Hanger Orthopedic Group, Inc. 174,800 2,954,120 Hanmi Financial Corp. 19,000 392,730 Hardinge, Inc. 83,800 867,330 Harleysville National Corp. 22,220 683,932 * Harmonic, Inc. 279,140 2,425,727 * Harolds Stores, Inc. 41,537 153,687 * Harris Interactive, Inc. 256,500 1,769,850 Harrodsburg First Financial Bancorp, Inc. 3,700 82,029 * Hartmarx Corp. 295,600 1,271,080 * Harvard Bioscience, Inc. 129,338 931,234 * Harvest Natural Resources, Inc. 502,500 3,723,525 * Hastings Entertainment, Inc. 77,600 345,320 * Hastings Manufacturing Co. 13,700 59,047 * Hauppauge Digital, Inc. 94,000 250,980 * Hauser, Inc. 20,275 1,014 Haverty Furniture Co., Inc. 40,000 854,400 Haverty Furniture Co., Inc. Class A 12,000 263,400 * Hawaiian Holdings, Inc. 598,781 1,646,648 * Hawk Corp. 64,400 219,604 Hawkins, Inc. 92,785 1,225,690 * Hawthorne Financial Corp. 66,300 1,786,785 * Headwaters, Inc. 125,100 2,386,908 * Headway Corporate Resources, Inc. 62,100 466 * HealthAxis, Inc. 5,710 16,273 Healthcare Services Group, Inc. 105,600 2,089,824 * HealthExtras, Inc. 144,371 1,819,075 * HealthStream, Inc. 14,400 37,728 * Hecla Mining Co. 77,500 575,050 * Hector Communications Corp. 24,700 346,911 * HEI, Inc. 24,700 74,100 Heico Corp. 69,600 1,285,512 Heico Corp. Class A 40,205 595,034 * Heidrick & Struggles International, Inc. 81,135 1,951,297 Helix Technology Corp. 127,300 2,762,410 *# Hemispherx Biopharma, Inc. 216,400 558,312 * Heritage Commerce Corp. 8,600 107,500 Heritage Financial Corp. 83,900 1,846,639 * Herley Industries, Inc. 101,850 1,967,742 * Hexcel Corp. 170,100 1,180,494 HF Financial Corp. 27,200 489,600 * Hi-Shear Technology Corp. 45,350 124,259 * Hi-Tech Pharmacal, Inc. 57,150 1,159,002 * Hibbett Sporting Goods, Inc. 105,075 3,259,426 Hickory Tech Corp. 12,800 154,880 * Hines Horticulture, Inc. 195,800 808,654 Hingham Institution for Savings 5,350 220,019 Hirsch International Corp. Class A 4,550 4,959 * HMI Industries, Inc. 35,900 29,617 HMN Financial, Inc. 33,000 813,120 * HMS Holdings Corp. 167,500 718,575 * Hoenig Group Escrow 61,000 14,030 * Holiday RV Superstores, Inc. 5,910 30 * Hollis-Eden Pharmaceuticals, Inc. 115,892 1,591,197
193
SHARES VALUE+ ------ ------ Holly Corp. 123,600 $ 3,282,816 * Hollywood Media Corp. 81,700 183,008 * Hologic, Inc. 196,000 2,947,840 Home Federal Bancorp 37,400 1,069,827 * Home Products International, Inc. 64,400 85,652 * Homegold Financial, Inc. 13,800 110 Hooper Holmes, Inc. 328,300 2,012,479 HopFed Bancorp, Inc. 4,500 79,470 Horizon Financial Corp. 84,960 1,502,942 * Horizon Health Corp. 47,775 1,091,181 * Horizon Offshore, Inc. 144,600 647,808 * Horizon Organic Holding Corp. 91,900 2,200,086 * HPSC, Inc. 68,800 982,464 * Hub Group, Inc. Class A 52,900 848,516 Hudson River Bancorp, Inc. 67,652 2,351,584 * Hudson Technologies, Inc. 32,100 27,285 * Huffy Corp. 96,300 657,729 Humboldt Bancorp 53,540 935,344 * Hurco Companies, Inc. 48,800 141,520 * Huttig Building Products, Inc. 18,200 49,140 * Hycor Biomedical, Inc. 83,216 347,011 * Hydril Co. 57,429 1,370,830 * Hypercom Corp. 249,600 1,270,464 * HyperFeed Technologies, Inc. 10,730 63,307 * I-many, Inc. 176,900 168,055 *# I-Sector Corporation 32,000 316,480 * I-Stat Corp. 104,300 1,314,180 * I-Trax Inc. 8,200 24,190 Iberiabank Corp. 55,800 3,235,284 * Ibis Technology Corp. 45,113 733,086 *# icad, Inc. 37,500 213,750 * Ico, Inc. 165,818 200,640 * ICT Group, Inc. 91,700 1,234,282 *# ICU Medical, Inc. 102,525 3,495,077 * Identix, Inc. 382,867 1,983,251 * iDine Rewards Network, Inc. 130,650 1,424,085 * IDT Corp. 105,200 1,977,760 * IDX Systems Corp. 120,647 3,088,563 * iGate Capital Corp. 346,700 2,205,012 * IGI, Inc. 16,400 27,716 * Igo Escrow Share 11,200 0 * II-VI, Inc. 114,052 2,595,824 * ILEX Oncology, Inc. 12,200 254,614 * Illumina, Inc. 139,900 959,714 ILX Resorts, Inc. 15,900 109,710 * Image Entertainment, Inc. 174,300 854,070 *# ImageWare Systems, Inc. 7,700 19,019 * IMCO Recycling, Inc. 133,800 1,010,190 * Immersion Corp. 69,800 369,940 * Immucor, Inc. 168,750 3,898,125 * ImmunoGen, Inc. 177,522 839,679 * Immunomedics, Inc. 224,479 866,489 * IMPAC Medical Systems, Inc. 40,800 1,009,392 *# Impath, Inc. 70,200 214,110 *# Impax Laboratoroes, Inc. 193,957 2,734,794 * Impco Technologies, Inc. 74,000 484,700 * Imperial Sugar Co. 7,417 82,255 *# Imperial Sugar Company 74,200 0 * Implant Sciences Corp. 30,100 226,954 * Impreso, Inc. 31,500 57,645 * Incyte Genomics, Inc. 302,755 1,831,668 Independence Holding Co. 17,180 $ 394,367 Independent Bank Corp. MA 130,000 3,802,500 Independent Bank Corp. MI 198,731 5,793,009 * Indevus Pharmaceuticals, Inc. 210,044 1,193,050 * Index Development Partners, Inc. 41,800 1,672 * Indus International, Inc. 159,700 479,100 * Industrial Distribution Group, Inc. 81,400 386,650 * Inet Technologies, Inc. 173,531 2,228,138 * Infinity, Inc. 35,252 132,195 *# Infocrossing, Inc. 53,200 531,415 * InFocus Corp. 173,546 1,374,484 * Informatica Corp. 20,663 233,079 *# Information Architects Corp. 13,040 1,174 * Information Holdings, Inc. 91,220 2,029,645 * Information Resources, Inc. 17,373 85,128 * Inforte Corp. 49,300 423,980 * InfoSpace, Inc. 61,454 1,613,167 * infoUSA, Inc. 214,544 1,823,624 Ingles Market, Inc. Class A 45,500 459,550 * Inkine Pharmaceutical Co., Inc. 9,500 49,685 * Innodata Corp. 39,296 163,078 * Innotrac Corp. 157,200 1,428,948 * Innovative Clinical Solutions, Ltd. 1,310 11 *# Innovative Gaming Corp. 4,105 62 * Innovative Solutions & Support, Inc. 23,900 358,022 * Innovex, Inc. 130,800 1,229,520 * Input/Output, Inc. 230,500 901,255 * Insight Communications Co., Inc. 7,800 75,972 * Insight Enterprises, Inc. 95,622 1,788,131 * Insightful Corp. 40,100 91,027 * Insignia Systems, Inc. 39,750 91,822 * Insite Vision, Inc. 186,200 74,480 * Insituform East, Inc. 20,200 30,704 * Insituform Technologies, Inc. Class A 116,820 1,758,141 * Insmed, Inc. 102,482 303,347 * Inspire Pharmaceuticals, Inc. 126,100 2,181,530 * Insteel Industries, Inc. 39,644 33,697 * Insurance Auto Auctions, Inc. 105,700 1,342,390 * InsWeb Corp. 12,966 64,830 Integra Bank Corp. 75,970 1,697,929 * Integral Systems, Inc. 119,500 2,562,080 * Integral Vision, Inc. 32,000 5,600 * IntegraMed America, Inc. 19,600 125,048 * Integrated Bio 7,000 67,900 * Integrated Electrical Services, Inc. 165,400 1,296,736 * Integrated Information Systems, Inc. 5,020 1,757 * Integrated Silicon Solution, Inc. 126,300 2,361,810 * Integrity Media, Inc. 6,400 38,400 *# Intelli-Check, Inc. 39,100 261,970 * Intellidata Technologies Corp. 212,700 350,955 * Intelligent Systems Corp. 38,100 69,342 * Intelligroup, Inc. 116,800 616,704 Inter Parfums, Inc. 168,600 3,429,324 * Interactive Intelligence, Inc. 33,900 191,196 * InterCept Group, Inc. 90,738 959,101 Interchange Financial Services Corp. 74,265 1,705,124 * Interep National Radio Sales, Inc. 18,000 38,340 * Interface, Inc. Class A 200,006 1,138,034 * Interferon Scientific, Inc. 13,480 492 * Interland, Inc. 19,900 136,315 * Interlink Electronics, Inc. 82,000 574,000
194 SHARES VALUE+ ------ ------ * Intermagnetics General Corp. 154,515 $ 3,481,223 Intermet Corp. 241,700 1,177,079 * InterMune, Inc. 27,200 574,192 International Aluminum Corp. 18,500 471,750 * International Microcomputer Software, Inc. 4,200 5,586 * International Multifoods Corp. 86,000 1,533,380 * International Remote Imaging Systems, Inc. 35,350 176,396 * International Shipholding Corp. 51,200 691,200 * Internet America, Inc. 1,400 1,470 *# Internet Commerce Corp. 13,900 13,344 * Internet Pictures Corp. 2,000 4,440 * Interphase Corp. 63,400 1,084,140 Interpool, Inc. 112,600 1,711,520 * Interpore International, Inc. 230,700 2,809,926 *# Interspeed, Inc. 1,600 8 Interstate Bakeries Corp. 119,700 1,885,275 * Interstate Hotels & Resorts, Inc. 75,950 408,611 Inter-Tel, Inc. 107,500 2,601,500 * Intervoice, Inc. 126,558 1,323,797 * Interwoven, Inc. 102,529 1,535,892 * Intest Corp. 29,200 164,688 * Intevac, Inc. 108,100 1,836,619 * Intrado, Inc. 109,900 2,192,505 * Intraware, Inc. 4,500 9,810 * Introgen Therapeutics, Inc. 101,636 713,485 * Intrusion, Inc. 83,300 62,475 * Intuitive Surgical, Inc. 23,193 354,157 * Inverness Medical Innovations, inc. 2,955 70,033 * INVESTools, Inc. 21,050 28,628 Investors Title Co. 19,800 605,880 * Invision Technologies, Inc. 109,000 3,250,380 * Invivo Corp. 77,250 1,634,687 * Iomed, Inc. 24,400 54,900 Iomega Corp. 164,891 905,252 * Ion Networks, Inc. 36,500 1,825 * Ionics, Inc. 79,000 2,539,850 * Iridex Corp. 56,300 308,805 Irwin Financial Corp. 20,300 614,278 Isco, Inc. 98,241 956,867 * Isis Pharmaceuticals, Inc. 221,582 1,327,276 * Island Pacific, Inc. 14,800 32,856 * Isle of Capri Casinos, Inc. 211,400 4,259,921 *# Isolagen Inc. 12,100 80,223 * ITLA Capital Corp. 51,800 2,601,396 * Itron, Inc. 154,100 2,957,179 * ITXC Corp. 58,600 231,470 * Ixia 337,166 4,295,495 * IXYS Corp. 144,056 1,210,070 * J & J Snack Foods Corp. 84,500 3,042,000 * J Net Enterprises, Inc. 75,975 87,371 * J. Alexander's Corp. 104,900 786,750 * J. Jill Group, Inc. 168,450 2,146,053 # Jacksonville Bancorp, Inc. 14,500 541,647 * Jaclyn, Inc. 20,027 95,128 * Jaco Electronics, Inc. 63,409 447,037 * Jacuzzi Brands, Inc. 332,222 2,142,832 * Jakks Pacific, Inc. 110,675 1,504,073 * Jarden Corp. 161,100 4,357,755 * JDA Software Group, Inc. 127,111 2,315,962 * Jennifer Convertibles, Inc. 41,000 $ 137,350 JLG Industries, Inc. 190,800 2,869,632 * JLM Industries, Inc. 58,400 80,300 * JMAR Industries, Inc. 189,000 308,070 * Johnson Outdoors, Inc. 52,800 762,960 * Jones Lang LaSalle, Inc. 43,950 920,752 * Jos. A. Bank Clothiers, Inc. 54,900 2,262,429 * Joule, Inc. 41,500 62,872 * JPS Industries, Inc. 24,500 53,410 * Jupitermedia Corp. 35,500 179,275 K Swiss, Inc. Class A 27,158 1,322,866 * K-Tel International, Inc. 26,000 1,625 * K-Tron International, Inc. 61,300 1,039,648 * K2, Inc. 265,967 4,069,295 * Kadant, Inc. 59,900 1,075,205 Kaman Corp. Class A 100,495 1,293,371 * Katy Industries, Inc. 76,100 468,015 * KBK Capital Corp. 18,200 35,490 * KCS Energy, Inc. 169,300 1,533,858 * Keith Companies, Inc. 12,900 183,954 Keithley Instruments, Inc. 60,000 1,083,000 * Kendle International, Inc. 98,600 675,410 * Kennedy-Wilson, Inc. 76,700 463,268 * Kensey Nash Corp. 126,000 2,649,780 * Kent Financial Services, Inc. 25,356 98,635 *# Keravision, Inc. 59,100 53 Kewaunee Scientific Corp. 19,400 219,220 * Key Technology, Inc. 36,000 501,120 * Key Tronic Corp. 96,600 206,627 * Keynote Systems, Inc. 64,500 795,930 * Keystone Automotive Industries, Inc. 144,100 3,511,717 * Keystone Consolidated Industries, Inc. 11,000 1,375 * Kforce, Inc. 136,898 1,156,788 * KFX, Inc. 206,200 1,235,138 Kimball International, Inc. Class B 2,600 38,532 * Kindred Healthcare, Inc. 67,500 3,482,325 * Kirby Corp. 3,200 96,000 * Kirklands, Inc. 59,700 1,247,730 * Kit Manufacturing Co. 7,800 1 Klamath First Bancorp, Inc. 64,500 1,654,425 Knape & Vogt Manufacturing Co. 27,688 311,767 * Koala Corp. 90,800 10,442 * Komag Inc. 91,200 1,503,888 * Kontron Mobile Computing, Inc. 4,000 1,508 * Kopin Corp. 307,613 2,177,900 * Korn/Ferry International 176,100 1,766,283 * Kosan Biosciences, Inc. 89,141 847,731 Koss Corp. 84,000 1,537,200 *# Krause's Furniture, Inc. 23,000 21 * Kulicke & Soffa Industries, Inc. 76,366 1,258,512 * KVH Industries, Inc. 74,000 2,333,960 * La Jolla Pharmceutical Co. 223,600 648,440 * LaBarge, Inc. 215,150 1,344,687 * LabOne, Inc. 86,550 2,509,084 * Labor Ready, Inc. 185,800 2,118,120 Laclede Group, Inc. 71,800 2,100,150 * LaCrosse Footwear, Inc. 20,400 112,200 Ladish Co., Inc. 115,500 948,255 Lakeland Bancorp, Inc. 11,250 180,000 * Lakeland Industries, Inc. 24,079 311,341 * Lakes Entertainment, Inc. 74,400 1,071,286
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SHARES VALUE+ ------ ------ * Lamson & Sessions Co. 144,800 $ 847,080 Lance, Inc. 240,521 3,369,699 * Lancer Corp. 94,525 518,942 Landauer, Inc. 83,000 3,120,800 * Landec Corp. 141,000 916,500 Landry's Restaurants, Inc. 183,500 4,499,420 * Lannet Co., Inc. 88,970 1,594,342 * Lantronix, Inc. 15,000 16,800 * Larscom, Inc. 11,100 56,166 * Laserscope 79,350 1,269,600 * Latitude Communications, Inc. 84,600 329,940 Lawson Products, Inc. 4,900 166,257 * Lawson Software, Inc. 40,500 341,820 * Layne Christensen Co. 160,100 1,665,040 * Lazare Kaplan International, Inc. 67,400 454,950 * LCA-Vision, Inc. 47,258 792,989 * LCC International, Inc. Class A 64,200 315,222 * Learning Tree International, Inc. 75,783 1,316,351 * Lecroy Corp. 85,200 1,422,840 * Lectec Corp. 25,637 12,818 Leesport Financial Corp. 525 12,757 * Lesco, Inc. 88,700 1,132,699 *# Level 8 Systems, Inc. 33,700 13,143 * Lexent, Inc. 36,900 53,874 * Lexicon Genetics, Inc. 252,930 1,327,883 Libbey, Inc. 60,400 1,770,324 * Liberate Technologies, Inc. 47,200 173,460 Liberty Homes, Inc. Class A 200 1,020 * Lifecell Corp. 112,100 627,760 * Lifecore Biomedical, Inc. 117,700 788,590 * Lifeline Systems, Inc. 37,000 1,295,000 Lifetime Hoan Corp. 89,052 1,246,728 * Lightbridge, Inc. 120,480 1,160,222 * Lightning Rod Software, Inc. 2,180 2,616 * LightPath Technologies, Inc. 8,650 25,345 Lindsay Manufacturer Co. 51,600 1,257,492 * Lionbridge Technologies, Inc. 31,886 344,369 * Lipid Sciences, Inc. 62,600 155,248 Liquid Audio, Inc. 54,400 14,960 *# Liquidmetal Technologies, Inc. 7,800 16,380 Lithia Motors, Inc. Class A 71,600 1,777,112 * Littlefuse, Inc. 91,600 2,728,764 * LMI Aerospace, Inc. 3,700 6,623 LNB Bancorp, Inc. 1,000 20,850 * Local Financial Corp. 39,200 778,904 * Lodgenet Entertainment Corp. 92,900 1,676,845 * Lodgian, Inc. 1,496 9,335 * Logic Devices, Inc. 45,800 83,814 * LogicVision, Inc. 43,800 196,662 * Logility, Inc. 135,600 659,016 * Lojack Corp. 154,700 1,370,642 Lone Star Steakhouse & Saloon, Inc. 93,366 2,153,954 * Lone Star Technologies, Inc. 107,700 1,491,645 Longview Fibre Co. 215,600 2,365,132 * LookSmart, Ltd. 128,133 190,918 * LOUD Technologies, Inc. 112,900 333,055 Lowrance Electronics, Inc. 2,800 57,260 LSB Bancshares, Inc. NC 35,571 671,225 LSB Corp. 16,200 281,086 LSI Industries, Inc. 261,630 3,257,294 * LTX Corp. 203,150 3,388,542 * Luby's, Inc. 151,550 $ 569,828 Lufkin Industries, Inc. 46,100 1,198,139 * Luminex Corp. 133,545 1,408,900 * Lydall, Inc. 141,300 1,729,512 * Lynch Corp. 29,600 316,276 * Lynch Interactive Corp. 59,200 1,392,680 * M & F Worldwide Corp. 169,200 2,343,420 * M-Wave, Inc. 3,000 1,770 M/I Schottenstein Homes, Inc. 127,200 4,878,120 * Mace Security International, Inc. 26,700 53,400 * Mac-Gray Corp. 116,500 582,500 * Madden (Steven), Ltd. 125,400 2,681,052 * Magic Lantern Group, Inc. 11,700 16,263 *# Magma Design Automation, Inc. 91,517 2,153,395 * Magna Entertainment Corp. 16,500 77,550 * Magnetek, Inc. 109,100 703,695 * Magnum Hunter Resources, Inc. 286,200 2,572,938 * MAI Systems Corp. 19,807 2,674 * MAII Holdings, Inc. 36,200 5 * Mail-Well, Inc. 239,000 903,420 * Main Street & Main, Inc. 90,625 222,031 Main Street Banks, Inc. 24,148 639,439 Maine & Maritimes Corp. 29,300 1,010,850 * MAIR Holdings, Inc. 86,892 661,248 * Major Automotive Companies, Inc. 3,350 2,111 * Management Network Group, Inc. 29,500 95,226 * Manatron, Inc. 115 978 * Manchester Technologies, Inc. 84,000 277,200 Manitowoc Co., Inc. 64,600 1,744,200 * Mannatech, Inc. 5,200 63,440 * Manning (Greg) Auctions, Inc. 50,600 569,250 * Manufacturers' Services Ltd. 141,800 864,980 * Manugistic Group, Inc. 220,900 1,471,194 * Mapics, Inc. 220,279 2,658,768 * Mapinfo Corp. 70,550 624,368 * Marimba, Inc. 70,267 361,172 Marine Products Corp. 45,780 748,503 * MarineMax, Inc. 97,876 1,859,644 * Marisa Christina, Inc. 69,200 110,720 Maritrans, Inc. 47,700 792,297 *# MarketWatch.com, Inc. 77,100 683,106 * MarkWest Hydrocarbon, Inc. 67,210 772,915 * Marlton Technologies, Inc. 52,900 28,831 Marsh Supermarkets, Inc. Class A 17,700 194,523 Marsh Supermarkets, Inc. Class B 29,800 327,800 * Marten Transport, Ltd. 79,200 1,910,304 *# Martha Stewart Living Omnimedia, Ltd. 84,900 830,322 MASSBANK Corp. 31,399 1,267,264 * Mastec, Inc. 112,200 1,490,016 * Material Sciences Corp. 133,100 1,263,119 * Matria Healthcare, Inc. 89,875 1,836,146 *# Matritech, Inc. 257,800 528,490 * Matrix Bancorp, Inc. 29,500 269,630 * Matrix Service Co. 150,600 2,402,070 * MatrixOne, Inc. 317,600 1,889,720 * Matrixx Initiatives, Inc. 91,900 1,548,515 * Mattson Technology, Inc. 164,560 2,525,996 * Maui Land & Pineapple Company, Inc. 35,500 1,111,150 * Max & Ermas Restaurants, Inc. 20,844 388,220 * Maxco, Inc. 18,800 49,350 Maxcor Financial Group, Inc. 29,528 386,817
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SHARES VALUE+ ------ ------ * Maxicare Health Plans, Inc. 25,160 $ 6,290 *# Maxim Pharmaceuticals, Inc. 93,584 666,318 * Maximus, Inc. 72,600 2,751,540 * Maxwell Shoe Company, Inc. 123,750 2,176,763 * Maxwell Technologies, Inc. 100,192 806,546 * Maxxam, Inc. 20,500 328,000 * Maxygen, Inc. 156,576 1,698,850 Mayflower Co-Operative Bank Middleboro 300 6,729 * Mayor's Jewelers, Inc. 161,900 121,425 * Mays (J.W.), Inc. 2,700 36,774 McGrath Rent Corp. 76,200 2,087,118 *# McMoran Exploration Co. 75,200 1,350,592 McRae Industries, Inc. Class A 9,100 83,265 *# MCSI, Inc. 2,000 19 * Meade Instruments Corp. 87,960 369,432 * Meadow Valley Corp. 22,900 37,762 * Meadowbrook Insurance Group, Inc. 85,600 342,400 *# Measurement Specialties, Inc. 78,500 1,074,665 * Medarex, Inc. 210,093 1,428,632 * MedCath Corp. 8,738 82,915 *# Med-Design Corp. 63,700 236,327 * Media 100, Inc. 59,500 44,625 * Media Arts Group, Inc. 135,100 532,294 * MediaBay, Inc. 53,600 70,216 * Medialink Worldwide, Inc. 49,800 154,380 * Medical Action Industries, Inc. 89,500 1,485,700 * Medical Staffing Network Holdings, Inc. 65,300 636,675 * Medicore, Inc. 45,000 103,725 *# Medifast, Inc. 44,200 671,840 * Medquist, Inc. 132,400 2,037,636 * MedSource Technologies, Inc. 49,900 230,538 * Medstone International, Inc. 40,700 192,145 * MEDTOX Scientific, Inc. 21,581 120,854 * Memberworks, Inc. 52,400 1,421,612 Mercantile Bank Corp. 2,500 85,750 Merchants Bancshares, Inc. 47,100 1,389,450 Merchants Group, Inc. 15,700 382,060 * Mercury Air Group, Inc. 33,508 164,189 * Mercury Computer Systems, Inc. 92,500 2,215,375 * Merge Technologies, Inc. 28,612 500,710 Meridian Bioscience, Inc. 140,900 1,461,133 * Meridian Resource Corp. 220,872 1,007,176 * Merisel, Inc. 5 30 * Merit Medical Systems, Inc. 153,229 4,796,068 * Meritage Corp. 5,700 359,955 * Merix Corp. 66,700 1,392,696 * Merrimac Industries, Inc. 14,265 84,877 * Mesa Air Group, Inc. 348,800 4,203,040 Mesa Labs, Inc. 27,900 252,356 * Mestek, Inc. 115,750 2,176,100 * Meta Group, Inc. 104,600 587,852 * MetaSolv, Inc. 160,900 386,160 Methode Electronics, Inc. Class A 73,100 937,873 Met-Pro Corp. 195,686 2,954,859 # Metris Companies, Inc. 228,594 1,019,529 * Metro One Telecommunications, Inc. 99,900 193,806 MetroCorp. Bancshares, Inc. 23,000 325,335 * Metrologic Instruments, Inc. 157,300 4,284,852 MFB Corp. 8,500 267,963 * MFRI, Inc. 31,800 84,906 MGE Energy, Inc. 30,340 $ 971,183 MGP Ingredients, Inc. 76,800 906,240 * Michael Anthony Jewelers, Inc. 64,100 130,444 * Micro Component Technology, Inc. 118,032 177,048 * Micro Linear Corp. 109,300 655,800 * MicroFinancial, Inc. 28,300 90,277 * Micromuse, Inc. 178,837 1,439,638 * Micros Systems, Inc. 67,745 2,930,649 * Micros to Mainframes, Inc. 44,200 60,112 * Microsemi Corp. 124,616 3,019,446 * MicroStrategy, Inc. 31,100 1,679,400 * Microtek Medical Holdings, Inc. 375,445 1,535,570 * Micro-Therapeutics, Inc. 101,900 379,068 * Microtune, Inc. 45,600 99,864 * Microvision, Inc. 80,054 620,419 * Midas, Inc. 99,400 1,505,910 Middleby Corp. 100,000 3,412,100 Middlesex Water Co. 56,000 1,120,000 Midland Co. 88,200 1,868,076 Mid-State Bancshares 96,112 2,484,495 *# Midway Games, Inc. 208,100 703,378 Midwest Banc Holdings, Inc. 39,199 858,458 * Midwest Express Holdings, Inc. 68,800 285,520 *# Mikohn Gaming Corp. 58,950 257,022 Milacron, Inc. 209,500 486,040 *# Millennium Cell, Inc. 129,700 338,517 * Miller Industries, Inc. 32,700 202,740 * Millerbuilding Systems Escrow Shares 72,800 21,840 * Miltope Group, Inc. 44,000 264,880 * MIM Corp. 118,800 837,540 * Minorplanet Systems USA, Inc. 43,580 19,175 Minuteman International, Inc. 15,400 142,142 * MIPS Technologies, Inc. 56,600 308,470 * Misonix, Inc. 36,400 148,184 * Mission Resources Corp. 109,700 197,460 * Mississippi Chemical Corp. 42,629 3,410 * Mitcham Industries, Inc. 94,300 194,258 * Mitek Systems, Inc. 22,300 50,420 * Mity Enterprises, Inc. 40,750 750,615 *# MKTG Services, Inc. 452 2,744 * Mobile Mini, Inc. 64,500 1,272,585 * Mobility Electronics, Inc. 86,400 967,680 * Mobius Management Systems, Inc. 178,000 2,671,780 Mocon, Inc. 73,475 630,416 * Modem Media, Inc. 3,800 23,978 * Mod-Pac Corp. 18,340 143,602 * Mod-Pac Corp. Class B 6,877 53,847 * Modtech Holdings, Inc. 106,312 881,326 * Moldflow Corp. 45,294 509,558 * Molecular Devices Corp. 133,266 2,642,665 * Monaco Coach Corp. 122,000 2,837,720 * Monarch Casino and Resort, Inc. 72,500 735,150 * Mondavi (Robert) Corp. Class A 42,491 1,487,185 * Monolithic System Technology, Inc. 137,067 1,022,520 * Monro Muffler Brake, Inc. 83,397 1,847,244 * Monterey Pasta Co. 136,200 521,646 * Moore Handley, Inc. 1,500 2,700 * Moore Medical Corp. 26,600 178,220 * Morgan Group Holding Co. 59,200 7,400 * Morgan's Foods, Inc. 600 900
197
SHARES VALUE+ ------ ------ * Morton Industrial Group, Inc. Class A 22,645 $ 13,587 * Mossimo, Inc. 149,150 738,293 * Mother's Work, Inc. 31,000 783,060 * Motor Car Parts & Accessories, Inc. 24,500 137,935 Movado Group, Inc. 95,500 2,596,645 *# Movie Gallery, Inc. 255,175 4,514,046 * MRO Software, Inc. 132,300 1,825,740 * MRV Communications, Inc. 152,300 610,723 * MSC Software Corp. 150,300 1,480,455 * MTC Technologies, Inc. 58,200 1,743,090 *# MTI Technology Corp. 3,300 8,085 * MTR Gaming Group, Inc. 106,529 1,182,472 MTS Systems Corp. 189,148 3,512,478 Mueller (Paul) Co. 26,300 1,048,318 * Multi Color Corp. 20,400 586,500 * Multimedia Games, Inc. 57,700 2,361,661 MutualFirst Financial, Inc. 2,900 74,211 Myers Industries, Inc. 102,152 1,279,965 * Mykrolis Corp. 138,500 2,193,840 * Myriad Genetics, Inc. 121,900 1,440,858 * Nabi Biopharmaceuticals 322,686 3,475,328 Nacco Industries, Inc. Class A 20,600 1,606,800 *# Nanogen, Inc. 109,660 361,878 * Nanometrics, Inc. 60,300 880,380 * Nanophase Technologies Corp. 119,400 639,984 * Napco Security Systems, Inc. 64,000 520,000 Nara Bancorp, Inc. 1,600 35,056 Nash-Finch Co. 91,400 1,838,054 * Nashua Corp. 54,600 479,388 * Nassda Corp. 52,311 368,793 *# Nastech Pharmaceutical Co., Inc. 49,400 496,470 * NATCO Group, Inc. Class A 163,700 982,200 * Nathans Famous, Inc. 52,700 272,986 * National Beverage Corp. 106,900 1,612,052 * National Dentex Corp. 27,400 578,140 * National Equipment Services, Inc. 51,800 3,626 * National Home Health Care Corp. 24,566 217,163 * National Medical Health Card Systems, Inc. 8,600 197,800 * National Research Corp. 52,200 808,526 * National RV Holdings, Inc. 105,450 1,133,588 National Security Group, Inc. 12,600 237,825 * National Steel Corp. Class B 5,350 21 * National Technical Systems, Inc. 84,100 482,734 * National Western Life Insurance Co. Class A 2,600 380,133 * Natrol, Inc. 99,700 289,130 * Natural Alternatives International, Inc. 48,800 289,384 Nature's Sunshine Products, Inc. 155,400 1,255,632 * Natus Medical, Inc. 54,000 203,040 Nautilus Group, Inc. 144,550 2,056,947 *# Navarre Corp. 159,700 1,135,467 * Navidec, Inc. 3,516 3,780 * Navigant Consulting, Inc. 243,400 4,210,820 *# Navigant International, Inc. 96,400 1,339,960 * Navigators Group, Inc. 28,720 913,583 NBT Bancorp 119,341 2,611,181 * NCI Building Systems, Inc. 82,300 1,916,767 * NCO Group, Inc. 109,318 2,525,246 * NCO Portfolio Management, Inc. 6,941 52,058 * Nektar Therapeutics 226,720 2,988,170 Nelson (Thomas), Inc. 129,700 $ 2,282,720 *# Neoforma, Inc. 83,751 1,336,666 * Neogen Corp. 42,900 902,187 * NeoMagic Corp. 168,900 547,236 * NEON Systems, Inc. 14,800 53,280 * Neopharm, Inc. 113,413 2,034,629 *# Neorx Corp. 200 864 * Neose Technologies, Inc. 75,900 639,837 * Neoware Systems, Inc. 10,000 167,700 Net Perceptions, Inc. 13,400 4,556 * Net2Phone, Inc. 140,621 885,912 NetBank, Inc. 112,237 1,470,305 * Netegrity, Inc. 155,600 1,906,100 * Netguru, Inc. 46,900 55,811 * NetManage, Inc. 49,128 265,291 * NetObjects, Inc. 2,000 22 * Netopia, Inc. 95,056 1,454,357 * NetRatings, Inc. 142,916 1,446,310 * Netscout System, Inc. 131,400 1,145,808 * NetSolve, Inc. 232,300 1,914,152 * Network Engines, Inc. 118,912 1,241,441 * Network Equipment Technologies, Inc. 167,500 1,742,000 *# Network Plus Corp. 10,000 12 * Neurobiological Technologies, Inc. 14,600 64,970 * Neurogen Corp. 87,400 557,699 Nevada Chemicals, Inc. 400 2,036 * Nevada Gold & Casinos, Inc. 49,250 586,075 * New Brunswick Scientific Co., Inc. 75,600 461,084 * New Century Equity Holdings Corp. 608,600 194,752 New England Business Services, Inc. 87,500 2,625,000 * New Focus, Inc. 197,057 963,609 New Hampshire Thrift BancShares, Inc. 1,600 49,600 * New Horizons Worldwide, Inc. 77,475 476,471 Newmil Bancorp, Inc. 44,200 1,184,118 * Newpark Resources, Inc. 355,900 1,430,718 * Newport Corp. 84,885 1,445,592 * Newtek Business Services, Inc. 3,400 20,196 * Niagara Corp. 76,300 215,166 * NIC, Inc. 261,800 1,843,072 Nitches, Inc. 11,213 52,140 * NMS Communications Corp. 79,985 467,912 * NMT Medical, Inc. 90,000 315,000 NN, Inc. 132,600 1,540,812 * Nobel Learning Communities, Inc. 49,600 243,040 * Nobility Homes, Inc. 44,000 469,040 Noble International, Ltd. 35,000 588,350 * Noel Group, Inc. 43,600 131 Noland Co. 700 25,946 * Norstan, Inc. 94,700 293,570 * North America Galvanizing & Coatings, Inc. 56,500 77,405 * North American Scientific, Inc. 74,300 743,000 North Central Bancshares, Inc. 17,500 673,925 * North Coast En 11,800 126,260 North Pittsburgh Systems, Inc. 65,325 1,203,874 Northeast Bancorp 12,600 255,150 Northeast Pennsylvania Financial Corp. 3,250 63,375 Northern Technologies International Corp. 26,400 131,868 *# Northfield Laboratories, Inc. 129,200 749,360
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SHARES VALUE+ ------ ------ * Northland Cranberries, Inc. 43,700 $ 31,464 Northrim BanCorp, Inc. 34,939 797,664 * Northwest Pipe Co. 47,500 703,000 * Novadigm, Inc. 134,700 498,390 *# Novamed Eyecare, Inc. 94,500 226,800 * Novavax, Inc. 203,150 1,168,113 * Noven Pharmaceuticals, Inc. 99,300 1,363,389 * Novoste Corp. 72,900 365,229 * NS Group, Inc. 170,000 1,269,900 * NTN Communications, Inc. 154,891 604,075 * Nu Horizons Electronics Corp. 110,650 887,413 *# Nucentrix Broadband Networks, Inc. 114,500 177,475 * NuCo2, Inc. 71,300 896,954 * Nuevo Energy Co. 87,100 1,719,354 NUI Corp. 111,493 1,742,636 * Numerex Corp. Class A 103,000 401,700 * Nutraceutical International Corp. 52,800 683,760 * Nutramax Products, Inc. 44,000 44 * Nutrition 21, Inc. 20,200 19,190 * Nuvelo, Inc. 190,967 746,681 NWH, Inc. 14,700 285,621 * NYFIX, Inc. 138,998 1,157,853 Nymagic, Inc. 71,100 1,907,613 * O'Charleys, Inc. 116,775 1,991,014 * O.I. Corp. 25,900 184,797 Oak Hill Financial, Inc. 12,200 378,200 * OAO Technology Solutions, Inc. 175,400 547,248 * Obie Media Corp. 35,000 95,025 * Oceaneering International, Inc. 30,200 659,870 OceanFirst Financial Corp. 60,400 1,592,748 * Ocular Sciences, Inc. 102,476 2,933,888 * Ocwen Financial Corp. 182,503 1,268,396 * Odd Job Stores, Inc. 86,200 262,910 * Offshore Logistics, Inc. 101,341 2,558,860 *# Oglebay Norton Co. 44,900 83,514 Ohio Art Co. 3,600 48,744 * Oil States International, Inc. 3,300 41,448 Oil-Dri Corp. of America 56,500 846,935 * Old Dominion Freight Lines, Inc. 108,600 3,461,082 * Olympic Steel, Inc. 73,100 412,650 * OM Group, Inc. 123,800 2,997,198 * Omega Protein Corp. 175,600 1,097,500 * Omnicell, Inc. 102,500 1,348,900 * Omnova Solutions, Inc. 55,700 203,305 * Omtool, Ltd. 15,385 110,464 * On Assignment, Inc. 56,075 284,300 * ON Semiconductor Corp. 244,700 1,610,126 * On Technology Corp. 178,700 703,006 * On2.cCom, Inc. 40,000 64,000 * One Price Clothing Stores, Inc. 22,414 12,552 # Oneida, Ltd. 73,200 347,700 * OneSource Information Services, Inc. 11,800 116,100 * Online Resources Corp. 67,900 437,276 * Onyx Acceptance Corp. 62,600 689,852 * Onyx Pharmacueticals, Inc. 51,800 1,490,804 * ONYX Software Corp. 61,129 246,411 * OPENT Technologies, Inc. 97,503 1,754,079 * OpenTV Corp. 162,725 564,656 * Openwave Systems Inc. 6,033 72,577 * Opinion Research Corp. 27,500 155,925 * Oplink Communications, Inc. 183,800 439,282 * Opti, Inc. 119,400 $ 169,548 * Optical Communication Products, Inc. 26,551 105,407 * Optical Sensors, Inc. 1,133 4,645 * OptiCare Health Systems, Inc. 1,800 1,242 * OpticNet, Inc. 35,550 36 * Optika, Inc. 87,500 380,625 * Option Care, Inc. 93,900 933,366 * OraSure Technologies, Inc. 188,781 1,574,434 * Orbit International Corp. 11,666 78,151 * Orbital Sciences Corp. 211,800 1,942,206 * Oregon Steel Mills, Inc. 176,300 523,611 *# Orleans Homebuilders, Inc. 93,800 2,658,292 * Orphan Medical, Inc. 84,635 795,569 *# Orthodontic Centers of America, Inc. 221,800 1,572,562 * Orthologic Corp. 304,100 2,195,602 *# Osage Systems Group, Inc. 800 4 Oshkosh B'Gosh, Inc. Class A 43,368 936,749 *# OSI Systems, Inc. 104,100 1,934,178 * Osteotech, Inc. 151,125 1,156,106 Outlook Group Corp. 36,800 184,000 * Overland Storage, Inc. 107,900 2,121,314 * Overstock Com 73,900 1,168,359 * Owosso Corp. 45,200 3,616 Oxford Industries, Inc. 64,200 4,383,576 *# Oxigene, Inc. 123,700 1,213,497 * Oxis International, Inc. 8,600 4,988 * OYO Geospace Corp. 19,000 252,510 * P&F Industries, Inc. Class A 600 5,100 * Pacific Aerospace & Electronics, Inc. 285 31 Pacific Crest Capital, Inc. 6,600 169,818 *# Pacific Mercantile Bancorp 7,700 70,840 * Pacific Premier Bancorp, Inc. 19,920 192,228 * Packaging Dynamics Corp. 32,980 357,833 * Packeteer, Inc. 140,600 2,667,041 * Pac-West Telecomm, Inc. 198,100 439,782 * Pain Therapeutics, Inc. 156,215 952,912 * Palatin Technologies, Inc. 1,937 6,005 *# Paligent, Inc. 3,063 144 * Palm Harbor Homes, Inc. 96,277 1,829,263 * Palmone Inc. 118,149 1,768,691 * Palmsource Inc. 16,032 410,259 * PAM Transportation Services, Inc. 50,850 994,118 Pamrapo Bancorp, Inc. 36,400 901,628 * Panavision, Inc. 13,000 77,025 * Pantry, Inc. 9,400 216,491 *# Papa John's International, Inc. 80,700 2,129,673 * Par Technology Corp. 79,500 630,435 * Paradyne Networks Corp. 98,450 451,886 * Paragon Technologies, Inc. 39,625 380,004 * Parallel Petroleum Corp. 156,300 595,347 * Parexel International Corp. 114,884 2,123,056 Park Bancorp, Inc. 800 22,792 Park Electrochemical Corp. 88,000 2,248,400 * Parker Drilling Co. 270,400 646,256 *# Parkervision, Inc. 54,993 549,930 * Park-Ohio Holdings Corp. 126,325 925,962 Parkvale Financial Corp. 50,495 1,346,702 * Parlex Corp. 58,200 474,330 * Parlux Fragrances, Inc. 107,400 348,943 * ParthusCeva, Inc. 24,400 213,500 * Party City Corp. 38,687 555,545
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SHARES VALUE+ ------ ------ * Pathmark Stores, Inc. 113,093 $ 821,055 * Patient Infosystems, Inc. 4,900 1,421 Patrick Industries, Inc. 44,200 379,236 Patriot Bank Corp. 63,180 1,405,755 * Patriot Transportation Holding, Inc. 31,700 944,977 * Paula Financial, Inc. 49,300 76,415 * Paul-Son Gaming Corp. 31,800 190,164 * Paxar Corp. 169,669 2,231,147 * Paxson Communications Corp. 259,500 1,245,600 * Payless Cashways, Inc. 2,136 3 * PC Connection, Inc. 122,600 1,072,750 * PC Mall, Inc. 94,300 1,259,848 * PC-Tel, Inc. 141,500 1,266,425 * PDF Solutions, Inc. 102,023 1,129,395 * PDI, Inc. 64,584 1,866,478 * PEC Solutions, Inc. 119,518 2,152,519 * Pediatric Services of America, Inc. 51,200 445,440 * Peerless Manufacturing Co. 18,500 219,318 * Peerless Systems Corp. 101,700 345,780 * Peet's Coffee & Tea, Inc. 57,564 968,226 *# Pegasus Communications Corp. 22,720 455,990 * Pegasus Solutions, Inc. 108,575 1,289,871 * Pegasystems, Inc. 172,400 1,379,200 * Pemco Aviation Group, Inc. 250 7,099 * Pemstar, Inc. 97,400 366,224 Penford Corp. 54,800 790,764 Penn Engineering & Manufacturing Corp. Class A 67,200 974,400 Penn Engineering & Manufacturing Corp. Non-Voting 165,400 2,712,560 *# Penn Treaty American Corp. 68,200 109,802 Penn Virginia Corp. 58,400 2,739,544 Penn-America Group, Inc. 102,900 1,503,369 Pennfed Financial Services, Inc. 60,100 1,938,165 Penns Woods Bancorp, Inc. 110 4,938 * Penwest Pharmaceuticals Co. 128,900 1,985,060 Peoples Bancorp, Inc. 400 9,520 Peoples Bancorp, Inc. 2,310 65,743 * Perceptron, Inc. 76,750 567,950 * Performance Technologies, Inc. 135,675 1,830,256 * Pericom Semiconductor Corp. 116,441 1,364,689 * Perini Corp. 55,200 497,352 * Perry Ellis International, Inc. 64,100 1,555,130 * Per-Se Technologies, Inc. 134,372 1,887,927 * Pervasive Software, Inc. 117,200 873,140 * Petrocorp, Inc. 37,100 502,334 * Petroleum Development Corp. 139,678 1,983,428 PFF Bancorp, Inc. 68,600 2,565,640 *# Pfsweb, Inc. 1 2 * Pharmacopeia, Inc. 206,100 2,576,250 * Pharmacyclics, Inc. 70,000 448,000 *# Pharmanetics, Inc. 84,400 179,772 * PharmChem, Inc. 41,600 11,648 *# Pharmos Corp. 88,000 323,840 Phillips-Van Heusen Corp. 136,600 2,404,160 * Phoenix Gold International, Inc. 13,500 18,225 * Phoenix Technologies, Ltd. 106,804 930,263 * Photo Control Corp. 1,000 2,290 * Photoelectron Corp. 49,200 492 * PhotoMedex, Inc. 59,808 111,841 * Photon Dynamics, Inc. 69,500 2,836,295 * Photronics, Inc. 59,258 $ 1,094,495 *# Physiometrix, Inc. 31,500 58,275 * Piccadilly Cafeterias, Inc. 91,000 16,380 * Pico Holdings, Inc. 83,771 1,258,240 Pilgrims Pride Corp. Class B 118,600 1,773,070 Pinnacle Bancshares, Inc. 700 11,375 * Pinnacle Entertainment, Inc. 21,200 193,556 * Pinnacle Systems, Inc. 68,400 570,456 * Pioneer Drilling Co. 3,700 13,764 * Pixelworks, Inc. 113,400 1,496,880 * Pizza Inn, Inc. 39,700 119,100 * Plains Exploration & Production Co. 30,345 425,133 * Plains Resources, Inc. 149,100 2,314,032 * Planar Systems, Inc. 93,400 2,222,920 * PlanVista Corp. 123,000 233,700 * Plato Learning, Inc. 97,533 968,503 * Play By Play Toys and Novelties, Inc. 32,100 82 * Playboy Enterprises, Inc. Class B 95,280 1,544,489 * Playtex Products, Inc. 134,500 932,085 * Plexus Corp. 109,719 1,947,512 *# Plug Power, Inc. 268,815 1,556,439 * PLX Technology, Inc. 104,700 984,180 * Plymouth Rubber, Inc. Class A 900 1,328 * Plymouth Rubber, Inc. Class B 5 2 # PMA Capital Corp. Class A 31,243 124,035 Pocahontas Bancorp, Inc. 52,000 733,200 * Point Therapeutics, Inc. 5,640 23,547 * Point West Capital Corp. 25,400 3 * Point.360 85,300 425,647 PolyMedica Corp. 101,640 2,634,509 * Polyone Corp. 24,200 143,990 Pomeroy IT Solutions, Inc. 105,149 1,536,227 Pope & Talbot, Inc. 95,200 1,289,960 * Porta Systems Corp. 48,090 962 * Portal Software, Inc. 7,140 53,907 * Possis Medical, Inc. 160,300 2,731,512 * Powell Industries, Inc. 53,300 898,638 * PowerCerv Corp. 12,633 1,011 * Power-One, Inc. 116,700 983,781 * Powerwave Technologies, Inc. 254,461 1,895,734 * Pozen, Inc. 125,500 1,475,880 * PPT Vision, Inc. 47,000 50,760 * PRAECIS Pharmaceuticals, Inc. 199,247 1,514,277 * Premier Financial Bancorp 6,600 53,130 *# Premier Laser Systems, Inc. Class A 16,400 165 *# Pre-Paid Legal Services, Inc. 77,500 2,062,275 Presidential Life Corp. 128,840 1,868,180 * Presstek, Inc. 152,500 1,227,625 *# PRG-Schultz International, Inc. 68,776 340,441 * Pricesmart, Inc. 5,400 36,715 * Prima Energy Corp. 75,350 2,230,360 * Prime Hospitality Corp. 201,300 2,218,326 * Prime Medical Services, Inc. 148,800 754,416 * Primus Knowledge Solutions, Inc. 39,000 173,550 * Princeton Review, Inc. 50,400 403,200 * Printronix, Inc. 67,250 1,108,953 * Private Business, Inc. 8,305 11,793 * Procom Technology, Inc. 19,200 8,544 * Progenics Pharmaceuticals, Inc. 68,600 1,203,244 Programmers Paradise, Inc. 48,200 343,184 Progress Financial Corp. 58,113 1,768,379
200
SHARES VALUE+ ------ ------ * Progress Software Corp. 45,000 $ 943,200 * ProsoftTraining.com 25,200 16,380 Prosperity Bancshares, Inc. 32,555 705,141 * Protection One, Inc. 121,900 54,855 Proton Energy Systems, Inc. 127,511 334,079 * Provant, Inc. 31,500 32 * Provena Foods, Inc. 200 273 Providence & Worcester Railroad Co. 11,000 99,880 Provident Bancorp, Inc. 12,800 613,760 Provident Bankshares Corp. 2,644 76,835 Provident Financial Holdings, Inc. 48,600 1,628,586 * Province Healthcare Co. 191,100 2,929,563 * Proxim Corp. 208,611 294,142 *# ProxyMed, Inc. 8,766 141,396 * PSS World Medical, Inc. 277,800 2,847,450 Psychemedics Corp. 49,039 394,764 * Psychiatric Solutions, Inc. 27,500 418,550 * PTEK Holdings, Inc. 264,746 2,308,585 Pulaski Financial Corp. 30,400 486,096 * Puma Technology, Inc. 148,814 900,325 * Pure World, Inc. 66,630 151,250 * PW Eagle, Inc. 21,900 87,578 Pyramid Breweries, Inc. 36,800 117,024 * Qad, Inc. 173,100 2,134,323 * QEP Co., Inc. 15,000 177,000 * QRS Corp. 71,422 727,790 * QuadraMed Corp. 185,337 460,562 Quaker Chemical Corp. 71,700 1,880,691 Quaker City Bancorp, Inc. 34,945 1,475,727 Quaker Fabric Corp. 147,950 1,291,604 * Quality Dining, Inc. 98,900 285,821 * Quality Systems, Inc. 49,600 2,122,880 Quanex Corp. 35,800 1,415,174 * Quantum Corp.- DLT 40,100 126,716 * Quantum Fuel Systems Technologies Worldwide, Inc. 45,200 315,948 *# Questcor Pharmaceuticals, Inc. 129,800 88,264 * Quicklogic Corp. 159,400 994,656 * Quicksilver Resources, Inc. 2,500 75,275 * Quidel Corp. 256,200 2,203,320 * Quigley Corp. 55,500 471,195 * Quinton Cardiology Systems, Inc. 83,960 667,482 * Quipp, Inc. 14,300 175,175 Quixote Corp. 68,200 1,680,448 *# Quokka Sports, Inc. 480 6 *# Quovadx, Inc. 148,400 722,708 * R & B, Inc. 69,300 970,200 * Radiant Systems, Inc. 123,454 876,523 * Radiologix, Inc. 176,100 537,105 * RadiSys Corp. 81,413 1,497,999 * Radyne ComStream, Inc. 71,000 490,610 * Rag Shops, Inc. 34,650 117,464 * Railamerica, Inc. 184,866 2,098,229 * Rainbow Rentals, Inc. 48,300 357,468 * Rainbow Technologies, Inc. 145,400 1,802,960 * Ramtron International Corp. 185,100 459,048 * Range Resources Corp. 377,500 2,982,250 Raven Industries, Inc. 192,920 5,341,955 * Rayovac Corp. 142,800 2,568,972 * Raytech Corp. 45,995 170,182 * RC2 Corp. 91,100 1,938,608 * RCM Technologies, Inc. 91,800 $ 668,304 *# RCN Corp. 4,300 4,386 * Reading International, Inc. Class A 142,163 887,097 * Reading International, Inc. Class B 10,140 59,826 *# Redhook Ale Brewery, Inc. 63,100 187,975 Redwood Empire Bancorp 60,750 1,534,241 * Reeds Jewelers, Inc. 23,990 26,629 * Refac 8,519 42,638 Regal-Beloit Corp. 67,330 1,390,365 * Regeneration Technologies, Inc. 117,530 1,222,312 * Regent Communications, Inc. 553,900 3,605,889 * Register.Com, Inc. 99,500 482,575 * Rehabcare Group, Inc. 78,700 1,397,712 * Reliability, Inc. 113,800 124,042 * Reliv International, Inc. 101,576 577,967 * Relm Wireless Corp. 47,941 72,391 * Remec, Inc. 165,200 1,853,544 * RemedyTemp, Inc. 64,200 704,274 * Remington Oil & Gas Corp. 198,160 3,537,156 * Rentrak Corp. 107,200 856,528 * Rent-Way, Inc. 168,400 1,247,844 * Repligen Corp. 250,400 1,209,432 *# Reptron Electronics, Inc. 55,900 9,503 Republic Bancorp, Inc. Class A 35,600 701,320 Republic Bankshares, Inc. 110,540 3,297,408 * Republic First Bancorp, Inc. 45,468 591,539 * Res-Care, Inc. 91,498 672,510 Resource America, Inc. 170,680 2,223,960 * Resources Connection, Inc. 96,786 2,650,001 * Restoration Hardware, Inc. 135,900 833,067 * Retail Ventures Inc. 79,156 427,442 * Retek, Inc. 241,200 2,503,656 *# Revlon, Inc. 104,700 251,280 * Rex Stores Corp. 142,875 2,247,424 * Rexhall Industries, Inc. 36,400 106,106 * RF Monolithics, Inc. 86,600 759,482 Richardson Electronics, Ltd. 100,100 1,021,020 * Rigel Pharmaceuticals, Inc. 8,711 141,205 Riggs National Corp. 123,264 2,115,210 * Right Management Consultants, Inc. 158,793 2,837,631 * Rimage Corp. 93,825 1,435,523 * Rita Medical Systems, Inc. 78,000 331,500 * Riverside Group, Inc. 1,300 24 * Riverstone Networks, Inc. 1,900 2,090 Riverview Bancorp, Inc. 34,400 735,472 Rivianna Foods, Inc. 17,600 519,024 * Riviera Holdings Corp. 22,100 120,335 * Riviera Tool Co. 7,000 31,570 * RMH Teleservices, Inc. 81,500 420,540 * Roadhouse Grill, Inc. 75,670 18,918 Roanoke Electric Steel Corp. 87,400 843,410 Robbins & Myers, Inc. 62,500 1,378,750 * Robocom Systems, Inc. 1,100 825 * Robotic Vision Systems, Inc. 31,005 20,618 * Rochester Medical Corp. 48,500 434,075 Rock of Ages Co. 32,900 190,491 * Rockford Corp. 1,100 6,402 Rock-Tenn Co. Class A 172,700 2,745,930 Rocky Mountain Chocolate Factory, Inc. 33,333 399,996 * Rocky Shoes & Boots, Inc. 34,200 591,660
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SHARES VALUE+ ------ ------ * Rofin-Sinar Technologies, Inc. 104,400 $ 3,358,548 * Rogers Corp. 66,900 2,936,910 * Rogue Wave Software, Inc. 103,000 676,710 * Rohn Industries, Inc. 353,700 7,074 * Ross Systems, Inc. 3,700 66,637 Roto-Rooter, Inc. 44,100 1,623,321 * Rouge Industries, Inc. Class A 131,300 10,504 Royal Bancshares of Pennsylvania Class A 15,455 411,103 Royal Gold, Inc. 163,200 3,477,792 * Royale Energy, Inc. 29,324 263,916 RPC, Inc. 76,300 766,815 * RTI International Metals, Inc. 95,300 1,291,315 * RTW, Inc. 43,450 280,644 * Rubio's Restaurants, Inc. 44,300 268,015 * Rudolph Technologies, Inc. 72,600 1,680,690 * Rural Cellular Corp. Class A 4,100 38,745 * Rural/Metro Corp. 110,300 216,188 * Rush Enterprises, Inc. Class A 54,500 421,285 * Rush Enterprises, Inc. Class B 54,500 445,810 Russell Corp. 66,200 1,217,418 * Ryan's Family Steak Houses, Inc. 163,600 2,427,824 Ryerson Tull, Inc. 90,400 814,504 * S&K Famous Brands, Inc. 24,600 439,848 * S1 Corp. 304,000 2,684,320 * Saba Software, Inc. 33,715 128,184 * Safeguard Scientifics, Inc. 275,000 940,500 * SafeNet, Inc. 59,445 1,975,952 * Safety Components International, Inc. 1,180 13,924 * Saga Communications, Inc. Class A 80,941 1,414,039 * Salem Communications Corp. 74,568 1,847,049 *# Salton, Inc. 50,300 677,038 *# Samsonite Corp. 1,479 1,006 * San Filippo (John B.) & Son, Inc. 57,900 2,304,420 * Sanchez Computer Associates, Inc. 98,724 429,449 Sanders Morris Harris Group, Inc. 90,950 904,953 Sanderson Farms, Inc. 118,600 4,077,468 Sandy Spring Bancorp, Inc. 42,143 1,681,506 * Sangamo BioSciences, Inc. 124,000 565,440 * Sapient Corp. 86,900 488,378 *# Satcon Technology Corp. 86,200 224,120 Saucony, Inc. Class A 55,400 940,692 Saucony, Inc. Class B 58,200 966,120 Sauer-Danfoss, Inc. 26,800 428,800 * Savient Pharmaceuticals, Inc. 254,600 1,257,724 * Saxon Capital, Inc. 60,400 1,139,748 * SBA Communications Corp. 100,800 348,768 * SBE, Inc. 34,600 285,104 * SBS Technologies, Inc. 83,600 1,224,740 * ScanSoft, Inc. 424,175 2,545,050 * ScanSource, Inc. 70,600 3,088,044 Schawk, Inc. Class A 168,300 2,288,880 * Scheid Vineyards, Inc. 14,500 60,973 *# Schick Technologies, Inc. 47,200 365,800 * Schieb (Earl), Inc. 71,600 189,382 * Schlotzskys, Inc. 65,100 164,052 * Schmitt Industries, Inc. 17,800 45,034 Schnitzer Steel Industries, Inc. Class A 92,200 4,988,942 * Schuff International, Inc. 53,200 76,076 Schulman (A.), Inc. 122,790 2,400,545 Schweitzer-Maudoit International, Inc. 68,000 $ 1,884,960 * Sciclone Pharmaceuticals, Inc. 196,600 1,445,010 * Scientific Games Corp. 165,800 2,695,908 * Scientific Learning Corp. 1,900 8,759 * Scientific Technologies, Inc. 38,400 178,176 * SCM Microsystems, Inc. 64,159 532,520 Scope Industries, Inc. 16,650 1,263,735 SCPIE Holdings, Inc. 19,000 189,050 * Seabulk International, Inc. 8,400 73,500 * Seachange International, Inc. 121,403 1,827,115 Seacoast Banking Corp. 72,930 1,291,590 Seacoast Financial Services Corp. 78,552 2,156,252 * Seattle Genetics, Inc. 93,425 581,104 * Secom General Corp. 1,000 1,290 Second Bancorp, Inc. 23,200 656,560 * Secure Computing Corp. 154,267 2,318,633 * Security Associates International, Inc. 4,900 0 * SED International Holdings, Inc. 6,350 16,828 * SeeBeyond Technology Corp. 187,424 727,205 * SEEC, Inc. 55,300 27,097 * Segue Software, Inc. 102,900 264,453 * Selas Corp. of America 46,800 129,168 * Selectica, Inc. 222,400 1,031,936 SEMCO Energy, Inc. 118,420 580,258 * Semitool, Inc. 168,100 1,912,978 * SEMX Corp. 45,500 4,550 * Seneca Foods Corp. Class A 200 4,000 * Seneca Foods Corp. Class B 6,800 136,578 * Sensytech, Inc. 28,050 408,128 * Sequenom, Inc. 98,730 355,527 * SeraCare Life Sciences, Inc. 21,120 232,320 * Serologicals Corp. 118,925 2,051,456 * ServiceWare Technologies, Inc. 25,300 14,927 * Servotronics, Inc. 24,804 76,892 * SFBC International, Inc. 34,200 880,650 * Shared Technologies Cellular, Inc. 24,600 66 * Sharper Image Corp. 93,000 2,940,660 * Shaw Group, Inc. 78,600 1,023,372 * Sheffield Pharmceuticals, Inc. 114,400 11 * Shells Seafood Restaurants, Inc. 25,500 16,958 * Shiloh Industries, Inc. 121,400 548,121 * Shoe Carnival, Inc. 126,100 2,279,888 * Shoe Pavilion, Inc. 5,700 7,268 * Sholodge, Inc. 52,300 228,813 * Shopko Stores, Inc. 131,200 2,184,480 * Shuffle Master, Inc. 148,350 4,437,149 * Siebert Financial Corp. 42,300 138,744 Sierra Bancorp 3,900 66,261 * Sierra Health Services, Inc. 253,800 6,954,120 * Sifco Industries, Inc. 45,775 160,213 * Sight Resource Corp. 7,100 444 *# Sigma Designs, Inc. 173,500 1,028,855 * Sigmatron International, Inc. 18,200 460,642 * Silgan Holdings, Inc. 69,300 2,387,385 * Silicon Graphics, Inc. 58,100 65,653 * Silicon Image, Inc. 310,600 2,298,440 * Silicon Storage Technology, Inc. 51,900 704,283 * Simclar, Inc. 23,400 53,118 Simmons First National Corp. Class A 65,300 1,732,409 * Simon Worldwide, Inc. 88,300 6,843
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SHARES VALUE+ ------ ------ * SimpleTech, Inc. 199,666 $ 1,341,556 * Simula, Inc. 117,500 370,125 * Sipex Corp. 134,400 1,263,360 * Sirenza Microdevices, Inc. 68,661 400,294 * Sitel Corp. 165,600 389,160 * Six Flags, Inc. 113,100 763,425 * Skechers U.S.A., Inc. Class A 81,800 607,774 Skyline Corp. 34,800 1,117,080 * SL Industries, Inc. 91,985 740,479 * SM&A 47,100 555,309 * Smart & Final Food, Inc. 10,800 98,604 * SmartDisk Corp. 51,300 16,673 * Smith & Wollensky Restaurant Group, Inc. 52,300 305,432 *# Smith Micro Software, Inc. 121,400 321,710 * Smithway Motor Xpress Corp. Class A 35,000 41,650 * Sola International, Inc. 193,200 3,786,720 * Solutia, Inc. 203,000 558,250 * Somera Communications, Inc. 59,300 84,206 Sonesta International Hotels Corp. Class A 400 1,832 *# Sonic Foundry, Inc. 73,700 162,140 * Sonic Innovations, Inc. 38,420 234,362 * Sonic Solutions 108,950 2,055,887 * SonicWALL, Inc. 255,676 2,042,851 * SonoSite, Inc. 63,978 1,351,215 * Sonus Pharmaceuticals, Inc. 101,800 520,198 * Sorrento Networks Corp. 44,900 119,883 * Sotheby's Holdings, Inc. Class A 58,700 680,920 Sound Federal Bancorp, Inc. 13,341 224,796 * SoundView Technology Group, Inc. 45,361 700,374 * Source Information Management, Inc. 92,000 891,480 *# Source Media, Inc. 154,600 1,237 * Sourcecorp, Inc. 70,200 1,717,092 South Jersey Industries, Inc. 51,782 2,040,211 * Southern Energy Homes, Inc. 124,125 328,931 Southside Banchares, Inc. 105 1,803 * Southwall Technologies, Inc. 79,100 68,817 Southwest Bancorp, Inc. 70,200 1,232,010 Southwest Water Co. 82,003 1,302,208 * Southwestern Energy Co. 115,700 2,361,437 * Spacehab, Inc. 94,200 96,084 Span-American Medical System, Inc. 37,500 453,750 * Spanish Broadcasting System, Inc. 152,493 1,532,555 Spartan Motors, Inc. 92,900 882,550 * Spartan Stores, Inc. 70,059 343,289 Spartech Corp. 5,500 121,000 * Sparton Corp. 80,813 883,289 * Specialty Laboratories, Inc. 105,900 1,768,530 * SpectraLink Corp. 163,500 3,366,465 * Spectranetics Corp. 228,002 763,807 * Spectrum Control, Inc. 120,100 855,232 * SpectRx, Inc. 58,600 125,990 * Speizman Industries, Inc. 26,400 10,032 * Spherion Corp. 189,393 1,693,173 *# Spherix, Inc. 103,300 717,935 * Spiegel, Inc. Class A Non-Voting 9,100 796 * Spire Corp. 104,942 449,152 * Sport Chalet, Inc. 56,500 527,710 * Sport Supply Group, Inc. 63,100 116,735 * Sport-Haley, Inc. 32,100 132,252 * Sports Club Co., Inc. 142,200 $ 284,400 * SportsLine.Com, Inc. 43,500 47,415 * Sportsman's Guide, Inc. 43,300 775,027 * SPS Technologies, Inc. 38,800 1,899,648 * SPSS, Inc. 76,789 1,487,403 *# SR Telecom, Inc. 262 1,493 * SRI/Surgical Express, Inc. 34,000 225,250 * SRS Labs, Inc. 121,100 1,253,385 SS&C Technologies, Inc. 57,500 1,696,250 *# SSE Telecom, Inc. 5,600 14 St. Francis Capital Corp. 85,100 2,962,331 * Staar Surgical Co. 134,775 1,481,312 * Stamps.com, Inc. 143,069 894,181 *# Standard Automotive Corp. 22,100 2 Standard Commercial Corp. 104,808 2,185,247 * Standard Management Corp. 69,015 225,679 * Standard Microsystems Corp. 118,800 3,183,840 Standard Motor Products, Inc. Class A 62,700 630,135 Standard Register Co. 105,700 1,678,516 Standex International Corp. 41,100 1,120,797 Stanley Furniture, Inc. 71,700 2,287,947 * Star Buffet, Inc. 16,400 66,830 * Star Multi Care Service, Inc. 4,136 579 * Star Struck, Ltd. 500 400 * Starcraft Corp. 17,325 610,360 Starrett (L.S.) Co. Class A 35,900 512,293 StarTek, Inc. 58,900 2,277,663 State Financial Services Corp. Class A 78,032 2,071,750 * Steak n Shake Co. 121,600 2,140,160 Steel Technologies, Inc. 86,700 1,335,180 *# SteelCloud Co. 75,500 385,805 * Stein Mart, Inc. 111,088 989,794 * Steinway Musical Instruments, Inc. 80,700 1,928,730 * Stellent, Inc. 98,507 972,264 *# Stemcells, Inc. 17,500 37,975 Stepan Co. 35,200 882,112 Stephan Co. 33,500 143,380 Sterling Bancorp 250,409 7,339,488 Sterling Bancshares 113,130 1,437,882 Sterling Financial Corp. 1,625 45,711 * Sterling Financial Corp. 119,973 4,032,293 Stewart & Stevenson Services, Inc. 122,111 1,714,438 * Stewart Enterprises, Inc. 176,463 824,082 * Stewart Information Services Corp. 71,800 2,773,634 * Stifel Financial Corp. 35,971 616,543 * Stillwater Mining Co. 107,200 902,624 *# Stonepath Group, Inc. 102,700 271,128 * Stoneridge, Inc. 139,000 1,855,650 * Storage Engine, Inc. 1,150 385 * StorageNetworks, Inc. 56,400 0 * StorageNetworks, Inc. Escrow Shares 56,400 1,528 * Stratasys, Inc. 37,900 1,705,500 * Strategic Diagnostics, Inc. 161,000 748,650 Strategic Distribution, Inc. 27,770 416,828 * Stratesec, Inc. 6,400 51 * Stratex Networks, Inc. 358,200 1,275,192 * Stratos International, Inc. 21,777 163,110 * Strattec Security Corp. 40,900 2,433,550 * Stratus Properties, Inc. 53,750 568,675 Stride Rite Corp. 176,800 2,045,576
203
SHARES VALUE+ ------ ------ Sturm Ruger & Co., Inc. 119,400 $ 1,376,682 *# Styleclick, Inc. Class A 66,500 1,330 * Suburban Lodges of America, Inc. Escrow Shares 127,500 0 Suffolk Bancorp 68,400 2,482,852 * Summa Industries, Inc. 31,800 279,840 * Summit America Television, Inc. 196,784 708,422 Summit Bancshares, Inc. 32,900 922,187 Summit Bank Corp. 5,600 90,244 * Sun Bancorp, Inc. 151,766 3,437,500 Sun Hydraulics, Inc. 12,600 101,052 * Sunair Electronics, Inc. 33,700 215,680 * Sundance Homes, Inc. 50,000 325 * SunLink Health Systems, Inc. 33,465 94,371 *# Sunrise Senior Living, Inc. 68,900 2,378,428 Sunrise Telecom, Inc. 255,000 994,500 * Suntron Corp. 36,507 150,409 *# Superconductor Technologies, Inc. 252,670 1,874,811 *# Supergen, Inc. 156,078 1,649,744 * Superior Consultant Holdings Corp. 92,000 437,920 Superior Uniform Group, Inc. 86,800 1,418,312 * Supertex, Inc. 94,300 1,635,162 * SupportSoft, Inc. 155,900 2,285,494 Supreme Industries, Inc. 92,383 538,131 *# SureBeam Corp. 159,606 42,296 SureWest Communications 8,050 315,882 *# SurModics, Inc. 50,900 1,077,553 * Swift Energy Corp. 120,600 1,711,314 * Swisher International, Inc. 8,500 6,375 *# Switchboard, Inc. 62,206 416,780 SWS Group, Inc. 62,149 1,169,023 * Sykes Enterprises, Inc. 154,249 1,409,836 * Sylvan, Inc. 63,500 767,398 * Symmetricom, Inc. 378,352 2,661,328 * Syms Corp. 143,500 995,890 * Symyx Technologies 115,468 2,303,587 * Synalloy Corp. 87,258 597,717 * Synaptics, Inc. 77,533 1,059,876 * Synovis Life Technologies, Inc. 88,200 2,267,622 * Synplicity, Inc. 9,100 66,339 * Synthetech, Inc. 132,000 212,520 * Syntroleum Corp. 124,107 485,258 Sypris Solutions, Inc. 46,175 630,289 * Systemax, Inc. 119,600 867,100 * Systems & Computer Technology Corp. 148,600 2,273,580 * T-3 Energy Services, Inc. 9,270 53,581 * T-Netix, Inc. 105,800 407,224 *# Tag-It Pacific, Inc. 68,300 344,915 * Taitron Components, Inc. 15,500 36,425 * TALK America Holdings, Inc. 116,157 1,306,766 TALX Corp. 65,412 1,713,794 Tandy Brand Accessories, Inc. 56,877 853,155 * Tarantella, Inc. 18,840 18,181 *# Tarrant Apparel Group 49,100 196,400 Tasty Baking Co. 81,000 684,450 TB Woods Corp. 26,200 206,980 * TBA Entertainment Corp. 80,300 50,991 * TBC Corp. 183,900 5,448,957 * TEAM America, Inc. 10,400 104 * Team, Inc. 55,200 552,000 * TeamStaff, Inc. 16,600 $ 36,686 Tech/Ops Sevcon, Inc. 60,800 351,728 Teche Holding Co. 2,700 97,808 * Technical Communications Corp. 7,300 32,850 Technology Research Corp. 44,600 687,732 * Technology Solutions Corp. 76,500 89,505 * TechTeam Global, Inc. 99,500 671,625 *# Tegal Corp. 41,000 97,580 *# TeleCommunication Systems, Inc. 92,500 490,250 * Teledyne Technologies Inc. 141,100 2,424,098 * Teletech Holdings, Inc. 138,702 1,393,955 * Telik, Inc. 32,106 648,862 * Telular Corp. 106,075 778,591 * Temtex Industries, Inc. 34,100 273 * TenFold Corp. 1,700 3,621 Tennant Co. 36,000 1,552,320 * Tenneco Automotive, Inc. 192,500 1,068,375 * Terayon Communication Systems, Inc. 207,200 1,239,056 * Terra Industries, Inc. 322,600 1,041,998 * Tesoro Petroleum Corp. 264,900 3,358,932 * Tessco Technologies, Inc. 56,000 857,360 * Tetra Technologies, Inc. 193,200 4,327,680 Texas Industries, Inc. 88,700 2,590,927 TF Financial Corp. 13,900 477,743 * Thackeray Corp. 69,700 73,185 * The Banc Corp. 42,908 374,158 * The Beard Co. 19,899 9,452 * The Dress Barn, Inc. 130,100 1,904,664 * The Hallwood Group, Inc. 2,653 54,970 The Marcus Corp. 94,200 1,408,290 * The Rowe Companies 121,468 358,938 * Theragenics Corp. 150,200 737,482 * Therasense, Inc. 87,100 1,485,055 * Thermwood Corp. 920 520 * TheStreet.com, Inc. 231,400 1,057,498 * Third Wave Technologies 164,656 708,021 Thistle Group Holdings Co. 31,000 804,450 * Thomas Group, Inc. 35,100 38,610 Thomas Industries, Inc. 19,000 598,880 * THQ, Inc. 21,500 345,935 * Three-Five Systems, Inc. 94,400 503,152 * Tickets.com, Inc. 700 333 * Tidel Technologies, Inc. 50,200 38,905 * Tier Technologies, Inc. Class B 100,000 781,000 * TII Network Technologies, Inc. 57,160 145,758 Timberland Bancorp, Inc. 36,500 887,315 * Timco Aviation Services, Inc. 8,568 3,856 * Time Warner Telecom, Inc. 18,893 199,321 * Tipperary Corp. 76,000 208,240 Titan International, Inc. 53,350 102,432 *# Titan Pharmaceuticals, Inc. 119,700 331,569 * Titanium Metals Corp. 16,190 769,025 * TiVo, Inc. 228,141 1,902,696 * TLC Vision Corp. 139,365 848,733 * TMBR/Sharp Drilling, Inc. 38,200 678,814 Todd Shipyards Corp. 44,600 805,030 * Todhunter International, Inc. 48,800 506,788 * Tofutti Brands, Inc. 4,000 12,000 * Tollgrade Communications, Inc. 59,700 1,033,407 Tompkins County Trustco, Inc. 473 22,822 * Too, Inc. 13,000 237,250
204
SHARES VALUE+ ------ ------ Topps, Inc. 178,355 $ 1,879,862 * Torch Offshore, Inc. 90,900 474,498 * Toreador Resources Corp. 41,700 120,930 * Total Entertainment Restaurant Corp. 19,300 233,723 * Tower Automotive, Inc. 247,700 1,127,035 Track Data Corp. 5,600 8,568 * Tradestation Group, Inc. 211,400 1,889,916 Traffix, Inc. 155,500 777,500 * Trailer Bridge, Inc. 42,500 255,425 * Trammell Crow Co. 161,500 2,172,175 * Trans World Entertainment Corp. 189,800 1,341,886 * Transact Technologies, Inc. 54,800 1,279,580 * Transaction Systems Architects, Inc. 99,400 1,956,192 * TransAxis, Inc. 440 77 * Transcat, Inc. 42,500 141,950 * Transgenomic, Inc. 14,600 26,718 * Transkaryotic Therapies, Inc. 154,437 2,006,137 Trans-Lux Corp. 7,545 47,156 * Transmeta Corp. 55,700 183,810 * Transmontaigne Oil Co. 136,760 821,928 * Transport Corp. of America 15,900 112,095 * Transport Industries, Inc. 9,700 27,257 * Transpro, Inc. 38,900 131,482 * Transtechnology Corp. 94,400 659,856 * TransTexas Gas Corp. Class A 395 8 * Travis Boats & Motors, Inc. 18,900 23,814 *# TRC Companies, Inc. 80,250 1,621,853 Tredegar Industries, Inc. 14,450 222,530 *# Trenwick Group, Ltd. 12,662 317 * Trestle Holdings Inc. 3,440 18,920 * Trex Co., Inc. 64,600 2,386,970 * Triad Guaranty, Inc. 31,950 1,490,468 Triarc Companies, Inc. Class A 52,800 590,832 Trico Bancshares 39,550 1,311,083 * Trico Marine Services, Inc. 146,500 187,520 * Trident Microsystems, Inc. 142,400 3,747,968 * Trimedyne, Inc. 31,500 33,390 *# Trimeris, Inc. 23,308 532,122 * TriPath Imaging, Inc. 254,653 2,322,435 * Tripos, Inc. 47,600 328,916 * Triquint Semiconductor, Inc. 53,666 433,621 * Tristar Corp. 3,300 13 * Triton PCS Holdings, Inc. 217,300 1,216,880 * Triumph Group 65,400 2,131,386 * TriZetto Group, Inc. 218,700 1,410,615 * TRM Corp. 59,300 410,949 * Tropical Sportswear International Corp. 19,060 79,861 * Trover Solutions, Inc. 105,300 729,203 Troy Financial Corp. 315 11,104 * Troy Group, Inc. 13,600 41,072 * Trump Hotels & Casino Resorts, Inc. 80,000 126,400 Trust Co. of New Jersey 20,200 690,840 TSR, Inc. 100,900 687,129 * TTM Technologies, Inc. 188,141 3,179,583 * Tufco Technologies, Inc. 1,300 8,047 * Tularik, Inc. 192,843 2,888,788 * Tumbleweed Communications Corp. 177,387 1,474,086 *# TurboChef Technologies, Inc. 143,900 446,090 * Turnstone Systems, Inc. 134,441 388,534 * Tut Systems, Inc. 75,950 380,510 * Tweeter Home Entertainment Group, Inc. 104,625 $ 874,665 Twin Disc, Inc. 41,200 739,746 * Twinlab Corp. 83,400 1,668 * Tyler Technologies, Inc. 395,450 3,321,780 * U.S. Concrete, Inc. 71,300 420,599 *# U.S. Diagnostic, Inc. 26,100 3 * U.S. Home & Garden, Inc. 133,700 73,535 * U.S. Physical Therapy, Inc. 53,500 787,520 * U.S. Plastic Lumber Corp. 13,900 3,197 * U.S. Xpress Enterprises, Inc. Class A 101,600 1,356,360 * Ubics, Inc. 20,100 3,116 * UFP Technologies, Inc. 11,800 24,662 * UICI 4,000 55,240 UIL Holdings Corp. 49,611 1,984,936 * Ulticom, Inc. 184,900 2,000,618 * Ultimate Electronics, Inc. 75,200 620,400 * Ultimate Software Group, Inc. 102,300 918,654 * Ultradata Systems, Inc. 13,600 2,312 * Ultralife Batteries, Inc. 101,400 1,417,572 * Ultratech Stepper, Inc. 98,800 2,993,640 Umpqua Holdings Corp. 84,497 1,816,686 * Unico American Corp. 114,600 605,661 * Unifi, Inc. 247,500 1,269,675 Unifirst Corp. 88,400 2,053,532 * Uni-Marts, Inc. 64,600 103,037 Union Community Bancorp 3,000 51,825 * Uniroyal Technology Corp. 60,000 6 Unisource Energy Corp. 24,800 608,344 United Capital Corp. 90,108 1,801,259 United Community Financial Corp. 74,035 830,673 United Financial Corp. 2,640 67,452 United Fire & Casualty Co. 11,300 452,000 United Guardian, Inc. 36,820 301,924 United Industrial Corp. 127,700 2,177,285 United National Bancorp 71,294 2,548,048 * United Natural Foods, Inc. 77,000 2,956,030 * United PanAm Financial Corp. 600 10,920 * United Retail Group, Inc. 118,600 379,520 * United Road Services, Inc. 710 121 United Security Bancshares 6,500 172,250 * United Therapeutics Corp. 93,382 1,757,449 Unitil Corp. 39,500 985,525 Unity Bancorp, Inc. 15,225 180,569 * Universal Access Global Holdings, Inc. 7,055 28,220 * Universal American Financial Corp. 235,000 2,446,350 * Universal Compression Holdings, Inc. 2,500 58,625 * Universal Display Corp. 105,408 1,564,255 * Universal Electronics, Inc. 97,200 1,326,683 Universal Forest Products, Inc. 78,300 2,383,452 * Universal Stainless & Alloy Products, Inc. 55,300 466,179 Unizan Financial Corp. 97,355 2,093,133 * Unova, Inc. 31,300 748,696 * UQM Technologies, Inc. 172,400 620,640 * Urologix, Inc. 97,600 552,416 * URS Corp. 80,800 1,842,240 * US Energy Corp. 71,870 196,205 * US LEC Corp. 32,600 188,754 * US Liquids, Inc. 46,900 11,256 * USA Truck, Inc. 53,200 573,496
205
SHARES VALUE+ ------ ------ *# USAir Group, Inc. 143,600 $ 11,703 *# USANA, Inc. 88,200 2,983,806 USB Holding Co., Inc. 1,617 31,370 *# USDATA Corp. 24,040 962 Usec, Inc. 139,700 1,051,941 * Utah Medical, Inc. 56,800 1,288,508 *# V.I. Technologies, Inc. 30,400 20,672 * VA Software Corp. 150,900 633,780 * Vail Resorts, Inc. 72,915 1,110,495 *# Valence Technology, Inc. 67,400 242,640 * Valley National Gases, Inc. 10,200 64,719 Valmont Industries, Inc. 56,620 1,285,274 * Valpey Fisher Corp. 35,700 112,812 * ValueClick, Inc. 140,700 1,174,845 * Valuevision Media, Inc. Class A 154,440 2,393,820 * Vans, Inc. 92,300 1,181,440 * Variflex, Inc. 48,100 298,701 * Vascular Solutions, Inc. 6,000 37,560 * Vastera, Inc. 264,472 1,031,441 *# Vaxgen, Inc. 90,100 749,632 # Vector Group, Ltd. 144,270 2,452,590 * Veeco Instruments, Inc. 97,300 2,870,350 * Ventana Medical Systems, Inc. 67,400 2,539,632 * Venture Catalyst, Inc. 31,700 12,680 * Verilink Corp. 125,900 989,574 * Veritas DGC, Inc. 141,700 1,276,717 * Verity, Inc. 157,500 2,261,700 * Vermont Pure Holdings, Ltd. 20,600 64,684 *# Versant Corp. 20,900 35,112 * Versar, Inc. 54,200 165,310 * Verso Technologies, Inc. 141,566 545,029 * Verticalbuyer Inc. 15,785 182 Vesta Insurance Group, Inc. 164,200 577,984 * Vestin Group, Inc. 300 600 * Vialta, Inc. 5,121 3,124 * Viasat, Inc. 115,100 2,448,177 * Vical, Inc. 78,067 391,896 * Vicon Industries, Inc. 44,450 184,023 * Vicor Corp. 135,300 1,555,950 * Video Display Corp. 49,740 606,828 *# Viewpoint Corp. 9,600 7,584 * Vignette Corp. 5,100 11,781 *# Viisage Technology, Inc. 90,400 348,040 * Virage Logic Corp. 92,600 964,892 * Virbac Corp. 29,500 172,575 Virco Manufacturing Corp. 155,131 885,798 * Virginia Commerce Bancorp, Inc. 200 6,400 * Virologic, Inc. 102,900 291,207 *# ViroPharma, Inc. 114,250 317,615 * Virtualfund.Com, Inc. 149,420 1,644 * Vision Sciences, Inc. 23,250 41,153 * Vista Medical Technologies, Inc. 23,750 42,275 * Visual Networks, Inc. 64,100 106,406 Vital Signs, Inc. 91,700 3,010,511 * VitalWorks, Inc. 315,800 1,575,842 *# Vitech America, Inc. 99,280 258 * Vitesse Semiconductor, Inc. 7,970 58,181 * Vitria Technology, Inc. 46,915 266,477 * Vivus, Inc. 267,900 969,798 * Vl Dissolution Corp. 12,426 9,195 * Vodavi Technology, Inc. 26,400 230,472 * Volt Information Sciences, Inc. 127,204 $ 2,594,962 Vulcan International Corp. 8,251 342,004 * Vyyo, Inc. 50,100 351,702 * W-H Energy Services, Inc. 185,300 2,760,970 * Wabash National Corp. 110,940 3,087,460 Wabtec Corp. 21,000 328,650 * Wackenhut Corrections Corp. 93,500 2,024,275 Wainwright Bank & Trust Co. 266 3,337 Walter Industries, Inc. 184,000 2,252,160 Warwick Community Bancorp, Inc. 20,600 622,120 Washington Banking Co. 12,210 201,465 Washington Savings Bank FSB 43,368 418,501 Washington Trust Bancorp, Inc. 40,003 1,104,883 Waste Industries USA, Inc. 67,900 620,946 * WatchGuard Technologoes, Inc. 144,600 897,966 * Water Pik Technologies, Inc. 20,200 256,540 * Waterlink, Inc. 164,700 9,059 Waters Instruments, Inc. 750 5,363 Watsco, Inc. Class A 105,300 2,447,172 Watts Water Technologies, Inc. 82,200 1,685,100 Wausau-Mosinee Paper Corp. 20,400 250,920 * Waxman Industries, Inc. Class B 975 6,143 Waypoint Financial Corp. 1,736 37,272 WD-40 Co. 72,900 2,609,820 * Webco Industries, Inc. 37,500 127,500 * WebEx Communications, Inc. 10,225 202,046 * Webhire, Inc. 44,160 30,912 * webMethods, Inc. 228,900 2,231,775 * Websense, Inc. 96,700 2,619,603 * Weider Nutrition International, Inc. 70,700 336,532 Wellco Enterprises, Inc. 10,600 112,890 Wellman, Inc. 250,200 2,176,740 * Wells-Gardner Electronics Corp. 48,070 174,013 Wesbanco, Inc. 86,516 2,406,875 * WESCO International, Inc. 13,850 123,958 West Coast Bancorp 104,787 2,278,069 * West Marine, Inc. 145,400 3,665,534 West Pharmaceutical Services, Inc. 63,600 2,162,400 * Westaff, Inc. 142,750 292,638 Westbank Corp. 9,870 181,608 * Westcoast Hospitality Corp. 118,900 582,610 * Westell Technologies, Inc. 201,980 1,494,652 * Westerbeke Corp. 20,000 58,800 Western Ohio Financial Corp. 9,300 299,181 * Western Power & Equipment Corp. 18,448 7,195 * Western Sierra Bancorp 1,155 50,416 * Western Water Co. 2,300 322 * Westmoreland Coal Co. 2,400 33,576 Westwood Holdings Group, Inc. 6,037 103,142 * Wet Seal, Inc. Class A 111,330 1,143,359 Weyco Group, Inc. 3,300 107,250 * White Electronics Designs Corp. 154,256 1,590,379 * Whitehall Jewelers, Inc. 155,400 1,648,794 *# WHX Corp. 34,433 77,819 * Wickes, Inc. 37,100 19,663 * Wild Oats Markets, Inc. 132,200 1,499,148 *# William Lyon Homes, Inc. 75,800 4,919,420 * Williams Industries, Inc. 5,800 20,416 * Willis Lease Finance Corp. 67,300 454,275 Willow Grove Bancorp, Inc. 31,084 525,320 * Wilshire Financial Services Group, Inc. 1,002 5,551
206
SHARES VALUE+ ------ ------ * Wilshire Oil Co. of Texas 130,575 $ 843,515 * Wilsons The Leather Experts, Inc. 90,260 560,515 * Wind River Systems, Inc. 198,442 1,291,857 * Winmark Corp. 51,900 953,403 Wintrust Financial Corp. 44,050 1,973,000 * Wireless Facilities, Inc. 188,500 2,738,905 Wireless Telecom Group, Inc. 194,700 572,418 * Wireless WebConnect!, Inc. 80,807 210 * Wiser Oil Co. 84,000 592,200 * Witness Systems, Inc. 171,300 1,539,987 * WJ Communications, Inc. 175,900 833,766 * WMS Industries, Inc. 123,000 3,284,100 * Wolverine Tube, Inc. 97,900 514,954 *# Women First HealthCare, Inc. 4,500 7,065 Woodhead Industries, Inc. 174,650 2,965,557 Woodward Governor Co. 48,159 2,402,171 * Workflow Management, Inc. 131,600 652,736 * World Acceptance Corp. 180,400 3,485,328 World Fuel Services Corp. 92,300 2,762,539 * WorldGate Communications, Inc. 24,000 24,480 * Worldwide Restaurant Concepts, Inc. 246,324 719,266 WSFS Financial Corp. 12,200 526,064 X-Rite, Inc. 173,100 1,981,995 * Xanser Corp. 303,900 711,126 * Xeta Corp. 85,400 520,940 * Xicor, Inc. 209,650 2,735,933 Yardville National Bancorp 56,267 1,288,514 * Young Broadcasting, Inc. Class A 76,300 1,514,555 * Zapata Corp. 13,360 704,740 * Zevex International, Inc. 26,500 106,000 Ziegler Co., Inc. 4,200 58,380 * Zila, Inc. 145,202 577,904 *# Zix Corp. 122,975 1,077,261 * Zoll Medical Corp. 39,000 1,327,950 * Zoltek Companies, Inc. 130,900 569,415 * Zomax, Inc. 127,292 684,831 *# Zonagen, Inc. 73,500 138,915 * Zones, Inc. 147,800 184,750 * Zoran Corp. 67,019 1,230,469 * Zygo Corp. 78,100 1,269,906 * Zymetx, Inc. 35,300 3,442 --------------- TOTAL COMMON STOCKS (Cost $1,833,979,680) 2,590,806,107 --------------- RIGHTS/WARRANTS -- (0.0%) * American Banknote Corp. Warrants Series 1 10/01/07 205 0 * American Banknote Corp. Warrants Series 2 10/10/07 205 0 * Anacomp, Inc. Class B Warrants 12/10/06 817 106 *# Angeion Corp. Warrants 10/31/07 1,294 0 * Chart Industries, Inc. Warrants 09/15/10 159 660 * Chiquita Brands International, Inc. Warrants 03/19/09 546 3,440 * Del Global Technologies Corp. Warrants 03/28/08 4,265 1,919 * Imperial Credit Industries, Inc. Warrants 01/31/08 1,010 0 * Imperial Sugar Co. Warrants 08/29/08 2,543 $ 3,357 * Lodgian, Inc. Class A Warrants 11/25/07 1,813 553 * Lodgian, Inc. Class B Warrants 11/25/09 5,601 1,764 * Magnum Hunter Resources Warrants 03/21/05 42,340 16,513 *# OSI Pharmaceutical, Inc. Rights 4,500 0 * PMR Corp. Contingent Value Rights 08/05/04 61,200 61 *# Timco Aviation Services Warrants 02/27/07 17,520 2 --------------- TOTAL RIGHTS/WARRANTS (Cost $10,197) 28,375 --------------- FACE AMOUNT --------------- (000) BONDS-- (0.0%) Del Global Technologies Corp. Subordinated Promissory Note *6.000%, 03/28/07 $ 9 0 Timco Aviation Services, Inc. Jr Subordinated Note *8.000%, 01/02/07 1 0 --------------- TOTAL BONDS (Cost $0) 0 --------------- TEMPORARY CASH INVESTMENTS -- (5.3%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $29,149,000 FMC Discount Notes 1.11%, 03/25/04, valued at $29,039,691) to be repurchased at $28,611,955 (Cost $28,610,000) 28,610 28,610,000 Repurchase agreements in a Pooled Cash Account, UBS Warburg and Deutsche Bank Securities Inc., 1.01% and 1.02% respectively, 12/01/03 (Collateralized by $94,423,000 U.S. Treasury Obligations, rates ranging from 5.50% to 8.875%, maturities ranging from 08/15/04 to 05/15/30, valued at $116,817,879) to be repurchased at $113,834,614 (Cost $113,824,982)^ 113,825 113,824,982 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $142,434,982) 142,434,982 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,976,424,859)++ $ 2,733,269,464 ===============
---------- + See Note B to Financial Statements. * Non-Income Producing Securities # Total or Partial Securities on Loan ^ Security purchased with cash proceeds from securities on loan ++ The cost for federal income tax purposes is $1,977,670,612 See accompanying Notes to Financial Statements. 207 THE DFA INTERNATIONAL VALUE SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ UNITED KINGDOM -- (23.5%) COMMON STOCKS -- (23.5%) * AWG P.L.C. 76,018 $ 694,888 Abbey National P.L.C. 638,077 5,857,416 Aggregate Industries P.L.C. 1,901,448 2,787,879 Alliance & Leicester P.L.C. 348,000 5,278,894 Allied Domecq P.L.C. 621,994 4,396,663 Amvescap P.L.C. 94,600 670,322 Antofagasta P.L.C. 256,000 4,204,733 Arriva P.L.C. 231,050 1,527,909 Associated British Foods P.L.C. 822,096 8,030,933 Associated British Ports Holdings P.L.C. 378,800 2,788,360 Aviva P.L.C. 2,507,905 19,970,419 BAA P.L.C. 1,531,868 12,448,536 BAE Systems P.L.C. 1,792,722 5,372,555 BBA Group P.L.C. 660,391 2,706,009 BG Group P.L.C. 1,408,548 6,631,639 BOC Group P.L.C. 80,757 1,125,715 BPB P.L.C. 458,500 2,714,616 Barratt Developments P.L.C. 253,000 2,129,945 Bellway P.L.C. 38,000 444,414 Berkeley Group P.L.C. 228,802 3,155,944 Bovis Homes Group P.L.C. 113,000 846,373 Brambles Industries P.L.C. 272,000 816,318 * Britannic P.L.C. 191,300 875,169 * British Airways P.L.C. 1,839,331 7,212,567 British Land Co. P.L.C. 851,943 8,121,034 British Vita P.L.C. 196,700 879,575 Brixton P.L.C. 346,685 1,496,594 Cable and Wireless P.L.C. 3,315,616 7,555,709 * Canary Wharf Group P.L.C. 847,200 3,518,829 Carnival P.L.C. 155,511 5,456,151 Chelsfield P.L.C. 484,167 2,631,343 * Colt Telecom Group P.L.C. 2,561,000 4,305,479 * Corus Group P.L.C. 4,456,227 2,510,000 Debenhams P.L.C. 359,044 2,896,114 * Dimension Data Holdings P.L.C. 1,006,000 640,169 Dixons Group P.L.C. 330,000 774,715 * Easyjet P.L.C. 294,025 1,410,859 FKI P.L.C. 558,000 1,055,655 Friends Provident P.L.C. 1,547,456 3,439,885 Galen Holdings P.L.C. 319,000 4,005,057 Granada Compass P.L.C. 1,541,178 3,260,266 Great Portland Estates P.L.C. 185,533 772,203 Great Universal Stores P.L.C. 258,182 3,362,485 Greene King P.L.C. 104,000 1,496,216 HBOS P.L.C. 14,137 177,491 Hammerson P.L.C. 468,800 5,006,962 Hanson P.L.C. 867,138 6,047,477 Hilton Group P.L.C. 2,579,517 9,383,047 IMI P.L.C. 24,000 140,651 Intercontinental Hotels Group P.L.C. 893,279 8,253,890 * International Power P.L.C. 1,898,700 3,706,358 Johnson Matthey P.L.C. 42,871 743,961 Kelda Group P.L.C. 161,510 1,252,075 Kesa Electricals P.L.C. 9,781 41,214 # Kingfisher P.L.C. 467,786 2,218,492 Land Securities Group P.L.C. 13,000 $ 214,639 Liberty International P.L.C. 444,297 5,012,707 Logicacmg P.L.C. 586,400 2,768,416 London Merchant Securities P.L.C. 114,409 320,732 MFI Furniture Group P.L.C. 66,600 161,506 * MM02 P.L.C. 7,543,300 9,762,544 Marks & Spencer Group P.L.C. 1,178,695 5,443,031 Mersey Docks & Harbour Co. P.L.C. 79,870 871,586 Millennium and Copthorne Hotels P.L.C. 486,549 2,566,884 *# Mitchells & Butlers P.L.C. 893,279 3,579,630 # National Grid Group P.L.C. 695,948 4,703,969 Novar P.L.C. 571,338 1,257,761 Pearson P.L.C. 231,855 2,583,965 Peninsular & Oriental Steam Navigation P.L.C. 1,057,274 4,455,011 Pennon Group P.L.C. 55,412 624,224 Persimmon P.L.C. 190,000 1,522,771 Pilkington P.L.C. 2,142,972 3,298,638 Pillar Property P.L.C. 106,000 929,761 RMC Group P.L.C. 401,000 4,224,211 Rexam P.L.C. 562,252 4,158,097 Rio Tinto P.L.C. 82,026 1,959,516 Rolls Royce Group P.L.C. 2,732,720 8,377,603 Royal & Sun Alliance Insurance Group P.L.C. 4,961,392 7,231,666 Royal Bank of Scotland Group P.L.C. 212,693 5,936,997 Safeway P.L.C. 1,565,599 7,552,809 Sainsbury (J.) P.L.C. 2,824,654 14,586,241 Scottish & Newcastle P.L.C. 828,188 5,227,453 Scottish Power P.L.C. 789,816 4,883,373 Severn Trent P.L.C. 210,597 2,616,888 * Shire Pharmaceuticals Group P.L.C. 453,000 3,739,681 Slough Estates P.L.C. 706,900 5,118,411 Smith (David S.) Holdings P.L.C. 328,000 889,894 Smith (W.H.) P.L.C. 299,537 1,682,011 Somerfield P.L.C. 475,911 1,021,084 Stagecoach Group P.L.C. 1,557,000 2,169,046 Tate & Lyle P.L.C. 520,200 2,862,961 Taylor Woodrow P.L.C. 973,675 4,002,276 Tesco P.L.C. 1,547,445 6,620,235 Trinity Mirror P.L.C. 495,640 4,560,529 United Business Media P.L.C. 237,262 2,045,397 United Utilities P.L.C. 265,595 2,258,818 Vodafone Group P.L.C. 13,775,846 31,629,670 Westbury P.L.C. 34,000 223,084 Whitbread P.L.C. 507,066 6,292,105 Wilson Bowden P.L.C. 96,900 1,624,888 Wimpey (George) P.L.C. 437,880 2,568,057 Wolseley P.L.C. 518,749 6,642,279 Wolverhampton & Dudley Breweries P.L.C. 70,000 905,940 Woolworths Group P.L.C. 1,040,174 773,726 --------------- TOTAL COMMON STOCKS (Cost $343,702,143) 403,710,893 ---------------
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SHARES VALUE+ ------ ------ INVESTMENT IN CURRENCY -- (0.0%) *British Pound Sterling (Cost $1) $ 1 --------------- TOTAL -- UNITED KINGDOM (Cost $343,702,144) 403,710,894 --------------- JAPAN -- (19.7%) COMMON STOCKS -- (19.7%) AIOI Insurance Co., Ltd. 928,735 3,146,099 Acom Co., Ltd. 14,600 589,226 # Aichi Steel Corp. 104,000 409,277 # Aisin Seiki Co., Ltd. 152,100 2,249,836 Akita Bank, Ltd. 53,000 205,670 Amada Co., Ltd. 376,000 1,847,042 *# Anritsu Corp. 67,000 457,597 Aoyama Trading Co., Ltd. 47,700 910,272 Asahi Breweries, Ltd. 173,000 1,434,295 Asahi Kasei Corp. 289,000 1,380,086 Asatsu-Dk, Inc. 24,800 591,015 Autobacs Seven Co., Ltd. 19,800 427,566 # Awa Bank, Ltd. 196,600 1,147,073 # Bank of Fukuoka, Ltd. 333,000 1,368,243 # Bank of Kyoto, Ltd. 347,400 1,868,322 Bank of Nagoya, Ltd. 185,000 886,824 Benesse Corp. 6,500 142,440 Canon Sales Co., Inc. 124,900 1,037,792 Chiba Bank, Ltd. 941,000 3,823,458 Chudenko Corp. 34,200 469,032 Chugoku Bank, Ltd. 238,800 2,112,831 Citizen Watch Co., Ltd. 318,000 2,581,282 Coca-Cola West Japan Co., Ltd. 43,600 775,102 Comsys Holdings Corp. 31,000 160,491 Cosmo Oil Co., Ltd. 764,000 1,430,059 Dai Nippon Ink & Chemicals, Inc. 417,000 772,927 Dai Nippon Pharmaceutical Co., Ltd. 88,000 570,490 Dai Nippon Printing Co., Ltd. 144,000 1,985,391 # Daicel Chemical Industries, Ltd. 485,000 2,006,072 Daido Steel Co., Ltd. 228,000 393,462 Daihatsu Motor Co., Ltd. 224,000 906,063 Daishi Bank, Ltd. 355,000 1,380,844 Daiwa House Industry Co., Ltd. 663,000 6,295,838 Denso Corp. 22,500 420,129 Ebara Corp. 157,000 609,250 # Ezaki Glico Co., Ltd. 174,600 1,111,178 Fuji Electric Co., Ltd. 391,780 844,230 Fuji Fire & Marine Insurance Co., Ltd. 236,000 586,121 Fuji Heavy Industries 393,000 1,862,372 Fuji Photo Film Co., Ltd. 355,000 10,048,395 Fujikura, Ltd. 241,000 1,348,914 * Fujitsu, Ltd. 286,000 1,574,672 Fukui Bank, Ltd. 343,000 1,475,101 # Fukuyama Transporting Co., Ltd. 266,000 905,935 # Furukawa Electric Co., Ltd. 344,000 1,146,457 Futaba Corp. 16,000 349,160 Futaba Industrial Co., Ltd. 36,000 443,097 Glory, Ltd. 17,000 524,653 Gunma Bank, Ltd. 270,000 1,166,089 Gunze, Ltd. 123,000 517,741 # Hachijuni Bank, Ltd. 287,000 1,373,156 *# Hankyu Corp. 174,000 487,747 # Hanshin Electric Railway Co., Ltd. 180,000 $ 494,704 Heiwa Corp. 60,800 842,717 # Higo Bank, Ltd. 308,000 1,864,536 Hitachi Cable, Ltd. 196,000 690,796 Hitachi Maxell, Ltd. 96,000 1,248,211 # Hitachi Metals, Ltd. 360,000 1,097,882 Hitachi, Ltd. 3,734,000 21,990,782 # Hokkoku Bank, Ltd. 170,000 853,725 Hokuetsu Paper Mills, Ltd. 162,000 831,300 * Hokugin Financial Group, Inc. 414,000 631,282 House Foods Corp. 117,000 1,248,841 # Hyakugo Bank, Ltd. 258,000 1,192,002 # Hyakujishi Bank, Ltd. 314,000 2,310,848 Ishikawajima-Harima Heavy Industries Co., Ltd. 683,000 823,192 Itochu Corp. 120,000 360,482 Iyo Bank, Ltd. 170,000 1,154,858 JFE Holdings, Inc. 56,300 1,318,568 Japan Airport Terminal Co., Ltd. 33,000 241,052 Joyo Bank, Ltd. 455,000 1,404,219 # Juroku Bank, Ltd. 349,000 1,625,183 # Kagoshima Bank, Ltd. 110,000 587,564 Kamigumi Co., Ltd. 357,000 2,301,334 Kansai Paint Co., Ltd., Osaka 131,000 538,258 Katokichi Co., Ltd. 26,300 416,881 # Kawasaki Heavy Industries, Ltd. 694,000 754,072 Kikkoman Corp. 259,000 1,714,527 Kinden Corp. 139,000 613,011 Kirin Brewery Co., Ltd. 437,000 3,491,372 Kissei Pharmaceutical Co., Ltd. 41,000 750,594 * Kobe Steel, Ltd. 2,632,000 3,028,050 Koito Manufacturing Co., Ltd. 79,000 471,028 Kokuyo Co., Ltd. 67,700 730,038 Komatsu, Ltd. 1,279,000 7,287,218 Komori Corp. 39,000 473,612 # Koyo Seiko Co. 198,000 1,835,008 Kubota Corp. 140,000 511,322 Kuraray Co., Ltd. 184,000 1,370,928 # Kuraya Sanseido, Inc. 68,500 582,300 # Makita Corp. 209,000 1,915,961 # Marubeni Corp. 1,942,000 3,191,746 Marui Co., Ltd. 177,000 2,173,713 # Maruichi Steel Tube, Ltd. 117,000 1,348,192 Matsushita Electric Industrial Co., Ltd. 1,977,135 25,472,407 Matsushita Electric Works, Ltd. 385,000 2,773,603 Meiji Seika Kaisha, Ltd. Tokyo 202,000 754,365 # Michinoku Bank, Ltd. 187,000 1,084,231 Millea Holdings, Inc. 46 504,237 Mitsubishi Corp. 40,000 367,056 # Mitsubishi Gas Chemical Co., Inc. 239,000 713,596 Mitsubishi Heavy Industries, Ltd. 1,743,000 4,647,152 Mitsubishi Logistics Corp. 81,000 635,309 *# Mitsubishi Materials Corp. 975,000 1,406,593 Mitsui Chemicals, Inc. 116,800 622,820 Mitsui Engineering and Shipbuilding Co., Ltd. 399,000 506,401 Mitsui Trust Holdings 641,000 3,119,550 Mitsumi Electric Co., Ltd. 17,000 163,605 * Mizuho Holdings, Inc. 1,192 3,112,784 NGK Insulators, Ltd. 93,000 596,110
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SHARES VALUE+ ------ ------ NGK Spark Plug Co., Ltd. 120,000 $ 989,408 NSK, Ltd. 265,000 924,306 Nagase & Co., Ltd. 72,000 466,764 Namco, Ltd. 5,500 139,107 Nanto Bank, Ltd. 317,000 1,256,191 Nichicon Corp. 42,600 426,311 Nichirei Corp. 149,000 450,320 Nihon Unisys, Ltd. 52,700 371,960 Nippon Broadcasting System, Inc. 17,200 785,245 # Nippon Electric Glass Co., Ltd. 72,000 1,347,699 Nippon Kayaku Co., Ltd. 95,000 456,264 Nippon Meat Packers, Inc., Osaka 120,000 1,159,241 Nippon Mining Holdings, Inc. 370,000 1,168,919 Nippon Mitsubishi Oil Corp. 1,871,050 9,242,497 Nippon Paint Co., Ltd. 127,000 396,585 Nippon Sanso Corp. 30,000 118,608 Nippon Sheet Glass Co., Ltd. 233,000 604,200 Nippon Shokubai Co., Ltd. 163,000 1,163,861 * Nippon Television Network Corp. 4,190 622,838 Nipponkoa Insurance Co., Ltd. 45,000 213,660 # Nishimatsu Construction Co., Ltd. 364,000 1,203,141 Nishi-Nippon Bank, Ltd. 156,540 330,175 Nissay Dowa General Insurance Co., Ltd. 383,000 1,605,159 Nisshin Seifun Group, Inc. 123,000 990,559 # Nisshin Steel Co., Ltd. 523,000 859,569 Nisshinbo Industries, Inc. 305,000 1,506,620 Obayashi Corp. 520,000 1,989,409 Ogaki Kyoritsu Bank, Ltd. 50,000 306,793 Oji Paper Co., Ltd. 275,000 1,604,502 Okumura Corp. 120,000 470,051 Onward Kashiyama Co., Ltd. 83,000 910,181 PanaHome Corp. 88,000 402,557 Pioneer Electronic Corp. 60,000 1,533,967 Promise Co., Ltd. 60,500 2,574,233 * Resona Holdings, Inc. 1,873,000 2,342,961 SFCG Co., Ltd. 5,980 687,984 San In Godo Bank, Ltd. 92,000 681,264 Santen Pharmaceutical Co., Ltd. 44,000 517,056 Sanwa Shutter Corp. 101,000 514,591 Sanyo Shinpan Finance Co., Ltd. 19,800 578,525 Sapporo Hokuyo Holdings, Inc. 187 986,907 # Sapporo Holdings, Ltd. 187,000 450,767 Seino Transportation Co., Ltd. 193,000 1,369,257 Sekisui Chemical Co., Ltd. 557,000 2,476,799 Sekisui House, Ltd. 942,000 8,885,009 Seventy-seven (77) Bank, Ltd. 201,000 1,064,463 Shiga Bank, Ltd. 272,000 1,055,515 Shikoku Bank, Ltd. 72,000 470,709 Shimachu Co., Ltd. 27,000 509,085 # Shimadzu Corp. 181,000 689,162 Shimizu Corp. 997,000 3,431,967 *# Shinko Securities Co., Ltd. 390,000 1,107,469 Shizuoka Bank, Ltd. 394,000 2,755,698 Softbank Corp. 49,100 1,860,528 Sumitomo Bakelite Co., Ltd. 105,000 662,482 Sumitomo Corp. 471,000 2,924,398 Sumitomo Electric Industries, Ltd. 360,000 2,945,216 Sumitomo Forestry Co., Ltd. 139,000 1,078,799 Sumitomo Metal Industries, Ltd. Osaka 1,481,000 1,271,129 Sumitomo Metal Mining Co., Ltd. 313,000 $ 1,977,685 Sumitomo Osaka Cement Co., Ltd. 96,000 170,928 Sumitomo Realty & Development Co., Ltd. 150,000 1,169,650 Sumitomo Rubber 43,000 206,127 Sumitomo Trust & Banking Co., Ltd. 21,000 112,555 Suruga Bank, Ltd. 87,000 498,073 Suzuken Co., Ltd. 26,400 712,308 TDK Corp. 10,100 656,611 TV Asahi Corp. 202 298,795 # Taiheiyo Cement Corp. 1,209,800 2,750,550 Taisei Corp. 1,325,000 4,294,878 Taiyo Yuden Co., Ltd. 57,000 667,741 # Takashimaya Co., Ltd. 214,000 1,473,302 Takefuji Corp. 10,840 584,956 Teijin, Ltd. 893,000 2,429,821 Teikoku Oil Co., Ltd. 346,000 1,535,391 Toda Corp. 169,000 421,266 Toho Bank, Ltd. 254,000 1,018,134 * Tokai Tokyo Securities Co., Ltd. 155,000 335,418 Tokuyama Corp. 248,000 853,689 Tokyo Broadcasting System, Inc. 94,000 1,458,236 Tokyo Steel Manufacturing Co., Ltd. 74,100 583,220 Tokyo Style Co., Ltd. 133,000 1,284,825 Tokyo Tatemono Co., Ltd. 109,000 446,868 Toppan Printing Co., Ltd. 365,000 3,346,056 Toray Industries, Inc. 620,000 2,411,615 Toshiba TEC Corp. 138,000 506,538 Tostem Inax Holding Corp. 160,000 2,809,350 Toto, Ltd. 247,000 1,907,981 # Toyo Ink Manufacturing Co., Ltd. 145,000 496,485 Toyo Seikan Kaisha, Ltd. 287,600 3,293,010 Toyo Suisan Kaisha, Ltd. 53,000 527,968 Toyota Auto Body Co., Ltd. 86,000 1,134,679 Toyota Industries Corp. 76,500 1,435,423 # Toyota Tsusho Corp. 314,000 2,729,438 * UFJ Holdings, Inc. 1,130 4,828,708 # UNY Co., Ltd. 91,000 886,569 Wacoal Corp. 149,000 1,180,899 # Yamagata Bank, Ltd. 153,700 680,647 Yamaguchi Bank, Ltd. 133,000 1,165,815 Yamanashi Chuo Bank, Ltd. 57,000 244,613 Yamatake Corp. 20,000 156,501 # Yamazaki Baking Co., Ltd. 115,000 882,031 # Yokogawa Electric Corp. 337,000 4,394,048 Yokohama Rubber Co., Ltd. 410,000 1,066,929 --------------- TOTAL COMMON STOCKS (Cost $386,238,511) 339,283,112 --------------- INVESTMENT IN CURRENCY -- (0.0%) *Japanese Yen (Cost $64,561) 64,237 --------------- TOTAL -- JAPAN (Cost $386,303,072) 339,347,349 --------------- FRANCE -- (9.3%) COMMON STOCKS -- (9.3%) AGF (Assurances Generales de France SA) 122,514 6,241,573 AXA 437,405 8,404,980
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SHARES VALUE+ ------ ------ # Air France 96,800 $ 1,473,664 Air Liquide SA 8,848 1,427,610 * Alcatel SA 195,750 2,555,342 *# Alstom SA 100,000 206,181 Arcelor SA 167,800 2,721,505 BNP Paribas SA 549,686 30,969,339 * Cap Gemini SA 38,600 1,906,356 Compagnie de Saint-Gobain 268,585 12,015,526 Compagnie Francaise d'Etudes et de Construction Technip SA 10,600 1,140,407 # Credit Agricole SA 27,710 604,543 Eiffage SA 3,477 375,950 Esso Ste. Anonyme Francaise SA 686 76,106 Euler-Hermes SA 9,975 453,181 # Faurecia SA 8,850 599,392 Fimalac SA 14,000 466,544 Fonciere Lyonnaise SA 10,950 433,159 * France Telecom SA 188,321 4,853,518 Generale des Establissements Michelin SA Series B 103,120 4,091,573 # Havas SA 115,600 612,491 # Imerys SA 11,000 2,175,685 LaFarge SA 49,347 3,930,747 LaFarge SA Prime Fidelity 82,581 6,622,556 Lagardere S.C.A. SA 10,900 594,507 # Pechiney SA Series A 55,475 3,189,304 Peugeot SA 224,200 10,545,909 Rallye SA 18,020 950,445 # Remy Cointreau SA 35,150 1,169,251 Renault SA 70,650 4,696,054 Rexel SA 10,713 437,910 Rue Imperiale 5,240 1,017,573 SEB SA Prime Fidelity 9,000 1,104,744 Schneider Electric SA 28,155 1,734,755 *# Scor SA 122,300 467,667 # Societe des Ciments de Francais 28,000 1,851,070 Societe Generale, Paris 293,528 23,504,196 Sophia SA 11,550 573,471 Suez (ex Suez Lyonnaise des Eaux) 206,550 3,577,770 Thomson SA 77,400 1,638,517 Valeo SA 59,000 2,295,018 * Veolia Environnement SA 25,700 604,746 * Vivendi Universal SA 265,727 6,099,916 --------------- TOTAL COMMON STOCKS (Cost $102,187,650) 160,410,751 --------------- RIGHTS/WARRANTS -- (0.0%) * Alstom SA Rights 12/10/03 100,000 53,943 * Alstom SA Warrants 01/09/04 100,000 35,962 * Rallye SA Series B Warrants 11/30/05 18,020 4,536 --------------- TOTAL RIGHTS/WARRANTS (Cost $69,516) 94,441 --------------- TOTAL -- FRANCE (Cost $102,257,166) 160,505,192 --------------- SWITZERLAND -- (6.8%) COMMON STOCKS -- (6.8%) *# ABB, Ltd. 462,000 $ 2,265,827 Baloise-Holding 190,560 7,827,477 * Banque Cantonale Vaudoise 3,000 315,614 * Berner Kantonalbank 3,100 356,709 * Ciba Spezialitaetenchemie Holding AG 25,500 1,786,176 # Cie Financiere Richemont AG Series A 1,251,000 30,967,263 * Clariant AG 12,800 180,704 Credit Swisse Group 256,400 8,508,850 Givaudan SA 2,952 1,349,582 Helvetia Patria Holding 955 145,534 Holcim, Ltd. 168,600 7,349,318 Jelmoli Holding AG 500 468,005 Luzerner Kantonalbank AG 14,627 2,127,202 PSP Swiss Property AG 27,400 3,799,315 Pargesa Holding SA, Geneve 1,935 4,598,304 Rieters Holdings AG 7,860 1,681,176 Sig Holding AG 44,130 5,948,428 Sika Finanz AG, Baar 760 308,652 * St. Galler Kantonalbank 1,700 308,381 * Swiss Life AG 79,080 14,375,735 Syngenta AG 116,500 7,133,002 UBS AG 42,000 2,704,762 Unaxis Holding AG 45,400 6,251,315 Valiant Holding AG 12,100 835,390 Valora Holding AG 7,500 1,781,128 * Zurich Financial Services AG 30,006 3,864,719 --------------- TOTAL COMMON STOCKS (Cost $78,322,394) 117,238,568 --------------- RIGHTS/WARRANTS -- (0.0%) * ABB, Ltd. Rights (Cost $107,456) 462,000 575,391 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs (Cost $654) 674 --------------- TOTAL -- SWITZERLAND (Cost $78,430,504) 117,814,633 --------------- GERMANY -- (6.0%) COMMON STOCKS -- (6.0%) AMB Generali Holding AG 15,980 1,099,916 Aareal Bank AG 11,200 338,462 Allianz AG 5,000 560,104 BASF AG 386,050 19,112,302 # BHW Holding AG 34,600 518,448 * Bankgesellschaft Berlin AG 233,550 573,922 Bayer AG 179,900 4,854,294 * Bayerische Hypo-UND Vereinsbank AG 337,110 7,859,785 Bilfinger & Berger Bau AG 11,700 375,872 Celanese AG 17,400 604,876 Commerzbank AG 408,050 7,875,147 DaimlerChrysler AG 86,700 3,294,563 Deutsche Bank AG 359,305 25,002,584 Deutsche Lufthansa AG 305,250 4,676,338 E.ON AG 7,600 429,551
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SHARES VALUE+ ------ ------ * Fraport AG 5,100 $ 140,610 # Fresenius Medical Care AG 27,600 1,756,803 * Heidelberger Druckmaschinen AG 19,600 702,501 * Heidelberger Zement AG 52,777 2,152,911 Hochtief AG 56,150 1,521,169 * Hypo Real Estate Holding AG 84,277 1,813,408 Karstadt Quelle AG 20,000 532,234 Linde AG 76,000 3,676,009 MAN AG 88,000 2,384,023 MG Technologies AG 44,000 589,677 Merck KGAA 36,000 1,412,002 SCA Hygiene Products AG 3,550 1,148,977 ThyssenKrupp AG 120,850 2,239,626 Tui AG 52,650 989,609 * Vattenfall Europe AG 94,898 2,696,056 Volkswagen AG 51,950 2,587,474 --------------- TOTAL -- GERMANY (Cost $99,221,168) 103,519,253 --------------- NETHERLANDS -- (4.6%) COMMON STOCKS -- (4.6%) ABN-AMRO Holding NV 656,302 14,444,277 Aegon NV 380,745 5,079,825 Buhrmann NV 58,400 443,835 DSM NV 78,837 3,633,673 * Hunter Douglas NV 11,100 486,994 Ing Groep NV 1,552,333 33,252,848 *# Koninklijke Ahold NV 246,900 1,781,710 * Koninklijke KPN NV 278,922 2,186,653 * Koninklijke Numico NV 51,200 1,301,143 Koninklijke Philips Electronics NV 405,906 11,531,697 NV Holdingsmij de Telegraaf 6,800 145,257 Nutreco Holding NV 15,600 425,427 Oce NV 39,100 558,692 VNU NV 71,722 2,234,488 Vedior NV 46,388 702,309 --------------- TOTAL COMMON STOCKS (Cost $44,778,113) 78,208,828 --------------- RIGHTS/WARRANTS -- (0.0%) * Koninklijke Ahold NV Rights 12/10/03 (Cost $335,115) 246,900 230,853 --------------- TOTAL -- NETHERLANDS (Cost $45,113,228) 78,439,681 --------------- AUSTRALIA -- (4.4%) COMMON STOCKS -- (4.4%) AMP, Ltd. 842,619 3,627,826 APN News & Media, Ltd. 471,395 1,313,239 AWB, Ltd. 131,400 416,455 AXA Asia Pacific Holdings, Ltd. 2,747,250 5,168,562 Ansell, Ltd. 74,421 351,647 Bluescope Steel, Ltd. 1,252,100 4,521,034 Boral, Ltd. 848,085 3,068,369 CSR, Ltd. 1,491,630 1,878,056 Caltex Australia, Ltd. 108,540 338,505 Commonwealth Bank of Australia 48,446 967,532 Insurance Australia Group, Ltd. 1,404,567 4,248,318 # Lend Lease Corp., Ltd. 291,574 2,215,319 Lion Nathan, Ltd. 843,500 3,540,066 Mayne Group, Ltd. 1,263,622 3,245,965 Mirvac, Ltd. 947,363 $ 2,995,685 Orica, Ltd. 343,946 3,205,563 Origin Energy, Ltd. 678,541 2,292,932 Paperlinx, Ltd. 663,645 2,180,168 Publishing and Broadcasting, Ltd. 579,260 4,891,507 Quantas Airways, Ltd. 2,699,763 6,505,312 Rinker Group, Ltd. 1,155,484 4,882,868 Santos, Ltd. 867,907 4,056,990 # Seven Network, Ltd. 355,302 1,357,469 Southcorp, Ltd. 1,102,616 2,202,072 Stockland Trust Group 20,641 76,173 * Stockland Trust Group Issue 03 708 2,562 * WMC Resources, Ltd. 1,678,932 5,940,735 --------------- TOTAL COMMON STOCKS (Cost $53,898,384) 75,490,929 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Australian Dollar (Cost $99,074) 100,242 --------------- RIGHTS/WARRANTS -- (0.0%) * AMP, Ltd. Rights 12/09/03 (Cost $0) 834,033 0 --------------- TOTAL -- AUSTRALIA (Cost $53,997,458) 75,591,171 --------------- ITALY -- (3.7%) COMMON STOCKS -- (3.7%) *# Alitalia Linee Aeree Italiane SpA Series A 1,190,000 382,297 Banca Intesa SpA 6,301,917 23,720,385 Banca Monte Dei Paschi di Siena SpA 739,000 2,427,250 * Banca Nazionale del Lavoro SpA 733,000 1,717,790 Banca Popolare di Lodi Scarl 117,933 1,381,177 Banca Popolare di Milano 325,400 1,934,722 * Banca Popolare Rights 57,990 679,152 Buzzi Unicem SpA 66,000 799,070 CIR SpA (Cie Industriale Riunite), Torino 500,000 897,245 Caltagirone Editore SpA 31,987 261,503 * Capitalia SpA 2,022,125 6,399,283 # Compagnia Assicuratrice Unipol SpA 452,120 1,821,010 *# E.Biscom SpA 16,000 1,054,878 *# Fiat SpA 771,970 6,042,728 * IFIL Finanziaria Partecipazioni SpA 557,594 1,787,974 # Italcementi SpA 357,560 4,410,458 Italmobiliare SpA, Milano 7,500 343,435 Milano Assicurazioni SpA 107,000 357,214 # Parmalat Finanziaria SpA 468,000 1,284,697 *# Pirelli & Co. SpA 1,486,658 1,413,200 # Societe Cattolica di Assicurazoni Scarl SpA 8,800 299,691 *# Telecom Italia SpA 1,209,533 3,501,501 --------------- TOTAL COMMON STOCKS (Cost $50,508,616) 62,916,660 --------------- RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 01/31/07 (Cost $0) 51,693 16,545 --------------- TOTAL -- ITALY (Cost $50,508,616) 62,933,205 ---------------
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SHARES VALUE+ ------ ------ SPAIN -- (3.2%) COMMON STOCKS -- (3.2%) # Abertis Infrastructuras SA 905,074 $ 12,693,733 Acerinox SA 65,340 3,021,766 Arcelor SA 30,000 485,843 Banco de Andalucia 900 75,520 # Banco de Sabadell SA 110,700 2,327,537 Banco Pastor SA 59,400 1,745,928 Cementos Portland SA 15,076 813,239 # Corporacion Mapfre Compania Internacional de Reaseguros SA 108,900 1,404,622 Ebro Puleva SA 83,525 863,064 Endesa SA, Madrid 258,792 4,250,018 Gas Natural SA, Buenos Aires 21,400 440,970 Iberdrola SA 535,000 9,228,561 Iberia Lineas Aereas de Espana SA 495,700 1,331,025 Inmobiliaria Colonial SA ICSA 30,400 651,569 Inmobiliaria Urbis SA 69,212 630,543 # Metrovacesa SA 104,144 3,172,184 Repsol SA 300,600 5,250,104 Sacyr Vallehermoso SA 45,000 634,365 Sociedad General de Aguas de Barcelona SA 77,400 1,099,458 * Sociedad General de Aguas de Barcelona SA Rights 737 10,469 # Sol Melia SA 100,300 712,976 Union Fenosa SA 230,000 3,768,910 --------------- TOTAL -- SPAIN (Cost $35,976,003) 54,612,404 --------------- SWEDEN -- (2.1%) COMMON STOCKS -- (2.1%) Drott Series AB 102,200 1,792,131 Gambro AB Series A 289,900 2,397,900 Gambro AB Series B 108,800 899,936 Holmen AB Series A 6,300 211,776 Holmen AB Series B 63,100 2,187,931 Nordbanken Holdings AB 250,600 1,658,265 SSAB Swedish Steel Series A 86,200 1,420,298 SSAB Swedish Steel Series B 30,500 482,359 Skandinaviska Enskilda Banken Series A 196,000 2,555,025 Skandinaviska Enskilda Banken Series C 9,800 116,727 Svenska Cellulosa AB Series A 19,000 731,728 Svenska Cellulosa AB Series B 90,500 3,491,323 Svenska Kullagerfabriken AB Series A 22,650 830,330 Svenska Kullagerfabriken AB Series B 29,700 1,086,812 # Trelleborg AB Series B 93,800 1,452,418 Volvo AB Series A 160,300 4,423,260 Volvo AB Series B 350,400 10,132,542 --------------- TOTAL COMMON STOCKS (Cost $26,240,631) 35,870,761 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona (Cost $27) 30 --------------- TOTAL -- SWEDEN (Cost $26,240,658) 35,870,791 --------------- FINLAND -- (1.8%) COMMON STOCKS -- (1.8%) Fortum Oyj 1,071,385 $ 10,723,868 Huhtamaki Van Leer Oyj 2,300 25,420 Kemira Oyj 101,377 1,111,936 Kesko Oyj 157,000 2,728,896 M-real Oyj Series B 253,400 2,296,401 Metso Oyj 193,066 2,258,786 Outokumpu Oyj Series A 351,300 4,695,398 Stora Enso Oyj Series R 547,800 7,374,307 Upm-Kymmene Oyj 30,800 569,687 --------------- TOTAL -- FINLAND (Cost $21,140,778) 31,784,699 --------------- HONG KONG -- (1.6%) COMMON STOCKS -- (1.6%) Hang Lung Development Co., Ltd. 1,765,000 2,136,278 Hang Lung Properties, Ltd. 3,124,500 3,862,220 Hysan Development Co., Ltd. 1,434,699 2,050,544 I-Cable Communications, Ltd. 325,121 77,446 Kerry Properties, Ltd. 1,326,884 1,708,513 New World Development Co., Ltd. 57,464 35,886 # Shangri-La Asia, Ltd. 3,055,482 2,734,323 # Sino Land Co., Ltd. 5,024,183 2,620,027 * Tsim Sha Tsui Properties, Ltd. 472,000 537,862 Wharf Holdings, Ltd. 3,251,214 8,121,431 Wheelock and Co., Ltd. 2,699,000 3,162,493 --------------- TOTAL COMMON STOCKS (Cost $33,549,393) 27,047,023 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars (Cost $584,981) 585,070 --------------- TOTAL -- HONG KONG (Cost $34,134,374) 27,632,093 --------------- BELGIUM -- (0.9%) COMMON STOCKS -- (0.9%) Algemene Mij Voor Nijverheidskredit Almanij 23,700 1,095,765 Banque Nationale de Belgique 1,049 4,499,199 Bekaert SA 2,000 111,961 Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 40,400 1,954,089 Groupe Bruxelles Lambert 55,500 2,766,950 * ING Bank Belgium NV 128 4 Nationale a Portefeuille 4,029 483,932 Sofina SA 10,500 490,878 Suez (ex Suez Lyonnaise des Eaux) 95,400 1,582,719 Tessenderlo Chemie 14,400 453,290 * Umicore-Strip VVPR 2,010 1,301 # Union Miniere SA 42,210 2,818,318 --------------- TOTAL -- BELGIUM (Cost $13,343,723) 16,258,406 --------------- DENMARK -- (0.7%) COMMON STOCKS -- (0.7%) * Codan A.S. 1,440 45,242 Danisco A.S. 26,130 1,073,557 Danske Bank A.S. 329,253 6,975,913
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SHARES VALUE+ ------ ------ * Jyske Bank A.S. 16,350 $ 777,115 Nordea AB 475,918 3,143,848 Tele Danmark A.S. 11,250 377,017 --------------- TOTAL COMMON STOCKS (Cost $6,944,416) 12,392,692 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone (Cost $20,258) 22,385 --------------- TOTAL -- DENMARK (Cost $6,964,674) 12,415,077 --------------- IRELAND -- (0.7%) COMMON STOCKS -- (0.7%) Allied Irish Banks P.L.C 107,588 1,592,759 CRH P.L.C 183,413 3,412,253 * Elan Corp. P.L.C 690,634 3,725,460 Irish Permanent P.L.C 186,115 2,621,432 --------------- TOTAL -- IRELAND (Cost $9,049,567) 11,351,904 --------------- SINGAPORE -- (0.6%) COMMON STOCKS -- (0.6%) DBS Group Holdings, Ltd. 277,000 2,249,524 Fraser & Neave, Ltd. 471,290 3,143,902 Haw Par Brothers International, Ltd. 2,698 6,949 Keppel Corp., Ltd. 855,000 2,752,593 * Neptune Orient Lines, Ltd. 264,000 324,656 Overseas Chinese Banking Corp., Ltd. 94,000 648,870 Singapore Airlines, Ltd. 124,000 870,342 United Overseas Bank, Ltd. 66,000 493,874 --------------- TOTAL COMMON STOCKS (Cost $7,444,503) 10,490,710 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars (Cost $2) 2 --------------- TOTAL -- SINGAPORE (Cost $7,444,505) 10,490,712 --------------- NORWAY -- (0.4%) COMMON STOCKS -- (0.4%) # Den Norske Bank ASA Series A 589,194 3,557,559 Norsk Hydro ASA 16,700 955,727 Norske Skogindustrier ASA Series A 106,100 2,036,964 * Storebrand ASA 183,900 1,123,866 --------------- TOTAL COMMON STOCKS (Cost $5,965,910) 7,674,116 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone (Cost $907) 1,019 --------------- TOTAL -- NORWAY (Cost $5,966,817) 7,675,135 --------------- PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) Banco Comercial Portugues SA 195,400$ 400,535 Cimpor Cimentos de Portugal SA 503,265 2,413,104 Portugal Telecom SA 50,082 471,271 * Sonae SGPS SA 3,617,400 3,035,386 --------------- TOTAL -- PORTUGAL (Cost $4,639,722) 6,320,296 --------------- GREECE -- (0.4%) COMMON STOCKS -- (0.4%) * Agricultural Bank of Greece S.A. 121,100 1,056,805 Alpha Bank S.A. 29,200 769,361 * Bank of Greece 3,400 404,306 Bank of Piraeus S.A. 4,600 46,980 Commercial Bank of Greece 36,800 775,508 EFG Eurobank Ergasias S.A. 60,097 1,011,438 Hellenic Petroleum S.A. 135,530 1,104,749 Hellenic Tellecommunication Organization Co. S.A. 40,800 489,080 Intracom S.A. 37,200 239,908 National Bank of Greece 15,520 350,131 --------------- TOTAL -- GREECE (Cost $4,950,471) 6,248,266 --------------- NEW ZEALAND -- (0.2%) COMMON STOCKS -- (0.2%) Auckland International Airport, Ltd. 99,828 423,562 Carter Holt Harvey, Ltd. 2,340,800 2,647,490 Fletcher Building, Ltd. 117,643 302,948 --------------- TOTAL COMMON STOCKS (Cost $3,436,653) 3,374,000 --------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar (Cost $7,670) 8,045 --------------- TOTAL -- NEW ZEALAND (Cost $3,444,323) 3,382,045 --------------- AUSTRIA -- (0.2%) COMMON STOCKS -- (0.2%) Omv AG 5,913 837,879 # Voestalpine AG 50,371 1,989,553 Wienerberger AG 16,123 408,380 --------------- TOTAL -- AUSTRIA (Cost $2,469,231) 3,235,812 --------------- MALAYSIA -- (0.0%) COMMON STOCKS -- (0.0%) * Rekapacific Berhad 691,000 0 ---------------
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FACE AMOUNT VALUE+ ---------- --------------- (000) TEMPORARY CASH INVESTMENTS -- (8.8%) Repuchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $29,593,000 FNMA Discount Notes 1.10%, 01/09/04, valued at $29,556,009) to be repurchased at $29,120,990 (Cost $29,119,000) $ 29,119 $ 29,119,000 Repurchase agreements in a Pooled Cash Account, Mizuho Securities USA, 1.05%, 12/01/03 (Collateralized by $207,315,301 U.S. Treasury Obligations, rates ranging from 1.424% to 9.125%, maturities ranging from 08/15/04 to 11/15/29, valued at $122,980,964) to be repurchased at $122,991,725 (Cost $122,980,964)^ 122,981 122,980,964 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $152,099,964) 152,099,964 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,488,483,619)++ $ 1,721,238,982 ===============
---------- + 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 ++ The cost for federal income tax purposes is $1,492,205,632. See accompanying Notes to Financial Statements. 215 THE JAPANESE SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ JAPAN -- (77.4%) COMMON STOCKS -- (77.1%) * A&A Material Corp. 64,000 $ 41,490 ABILIT Corp. 22,000 144,430 ADVANEX, Inc. 78,000 313,367 * AOC Holdings, Inc. 90,300 431,217 AOI Electronics Co., Ltd. 8,400 110,446 Achilles Corp. 549,000 671,713 Advan Co., Ltd. 36,000 308,985 Aichi Bank, Ltd. 11,500 579,620 *# Aichi Corp. 100,100 350,058 * Aichi Machine Industry Co., Ltd. 112,000 322,133 Aichi Tokei Denki Co., Ltd. 67,000 159,058 Aida Engineering, Ltd. 98,000 300,657 Aigan Co., Ltd. 15,000 82,451 Aiphone Co., Ltd. 27,400 421,558 Airport Facilities Co., Ltd. 79,970 287,693 * Airtech Japan, Ltd. 6,000 32,871 Aisan Industry Co., Ltd. 64,000 533,528 * Akai Electric Co., Ltd. 363,000 3,314 *# Akebono Brake Industry Co., Ltd. 141,000 536,861 Allied Material Corp. 32,200 396,914 # Allied Telesis KK 8,000 146,092 Aloka Co., Ltd. 43,000 329,803 Alpha Systems Inc. 16,300 342,312 Alps Logistics Co., Ltd. 21,000 335,555 Altech Co., Ltd. 14,000 56,118 Amano Corp. 22,000 150,657 Amatsuji Steel Ball Manufacturing Co., Ltd. 24,000 249,817 Ando Corp. 120,000 166,545 Anest Iwata Corp. 74,000 124,324 # Anrakutei Co., Ltd. 13,000 82,496 Aoi Advertising Promotion, Inc. 14,000 89,354 Aoki International Co., Ltd. 61,200 388,926 * Apic Yamada Corp. 7,000 22,051 * Arai-Gumi, Ltd. 34,450 42,150 Arakawa Chemical Industries, Ltd. 17,500 177,365 * Araya Industrial Co., Ltd. 84,000 87,436 Argo 21 Corp. 13,200 107,991 Aronkasei Co., Ltd. 53,000 153,406 As One Corp. 18,700 315,195 # Asahi Denka Kogyo KK 169,000 1,172,754 # Asahi Diamond Industrial Co., Ltd. 99,000 469,147 Asahi Kogyosha Co., Ltd. 48,000 131,921 Asahi Organic Chemicals Industry Co., Ltd. 123,000 285,263 Asahi Pretec Corp. 19,200 142,001 *# Asahi Soft Drinks Co., Ltd. 69,000 371,713 * Asahi Tec Corp. 86,000 138,988 * Asahi Techno Glass Corp. 79,000 244,531 Asanuma Corp. 96,000 135,866 # Ashimori Industry Co., Ltd. 84,000 147,261 Asia Air Survey Co., Ltd. 6,000 12,874 Asia Securities Printing Co., Ltd. 16,000 74,799 Asics Corp. 333,000 617,230 Asunaro Construction., Ltd. 29,000 90,294 Ataka Constuction & Engineering Co., Ltd. 18,000 $ 60,811 Atom Corp. 8,500 103,301 Atsugi Co., Ltd. 258,000 200,237 Aucnet, Inc. 15,000 180,652 * Azel Corp., Tokyo 89,000 84,514 *# BSL Corp. 118,000 74,343 Bando Chemical Industries, Ltd. 213,000 624,297 Bank of Okinawa, Ltd. 24,300 431,551 Bank of the Ryukyus, Ltd. 30,280 373,523 Best Denki Co., Ltd. 132,000 476,078 Bull Dog Sauce Co., Ltd. 15,000 104,912 Bunka Shutter Co., Ltd. 134,000 512,655 # CAC Corp. 31,100 216,098 # CFS Corp. 41,000 269,914 CKD Corp. 113,000 572,635 CMK Corp. 62,000 625,548 CTI Engineering Co., Ltd. 19,000 86,742 Cabin Co., Ltd. 67,000 86,870 # Calpis Co., Ltd. 115,000 547,069 Canon Electronics, Inc. 40,000 496,713 Canon Finetech, Inc. 45,070 530,865 * Catena Corp. 18,000 39,938 # Cats, Inc. 15,400 38,669 Cecile Co., Ltd. 35,900 373,357 Central Finance Co., Ltd. 180,000 599,891 # Central Security Patrols Co., Ltd. 12,000 76,041 Cesar Co. 79,000 721 * Chiba Kogyo Bank, Ltd. 53,200 288,053 # Chino Corp. 70,000 225,621 * Chinon Industries, Inc. 16,000 40,906 Chiyoda Co., Ltd. 58,000 627,027 Chofu Seisakusho Co., Ltd. 39,900 568,335 * Chori Co., Ltd. 175,000 185,354 Chuetsu Pulp and Paper Co., Ltd. 145,000 311,130 * Chugai Mining Co., Ltd. 117,000 72,644 # Chugai Ro Co., Ltd. 139,000 298,256 # Chugoku Marine Paints, Ltd. 111,000 502,703 # Chugokukogyo Co., Ltd. 45,000 57,524 Chuo Denki Kogyo co., Ltd. 19,000 29,319 Chuo Gyorui Co., Ltd. 35,000 52,091 Chuo Spring Co., Ltd., Nagoya 80,000 290,723 *# Clarion Co., Ltd. 313,000 500,137 Cleanup Corp. 71,000 875,183 * Co-Op Chemical Co., Ltd. 80,000 57,706 Coca Cola Central Japan Co., Ltd. 112 663,696 # Colowide Co., Ltd. 14,000 110,701 *# Columbia Music Entertainment, Inc. 134,000 138,258 Commuture Corp. 45,202 245,573 Computer Engineering & Consulting, Ltd. 25,000 239,911 Comsys Holdings Corp. 4,350 22,521 Corona Corp. 38,600 532,195 # Cosel Co., Ltd. 27,000 590,440 * Create Medic Co., Ltd. 7,000 41,545 Credia Co., Ltd. 14,000 153,524 Cresco, Ltd. 7,000 74,781 * D&M Holdings, Inc. 114,000 482,980
216
SHARES VALUE+ ------ ------ * D'urban, Inc. 114,000 $ 126,991 DC Co., Ltd. 33,000 70,809 DTS Corp. 15,800 295,024 # Dai Nippon Toryo, Ltd. 193,000 236,140 Dai-Dan Co., Ltd. 57,000 256,063 Daido Kogyo Co., Ltd. 60,000 98,064 Daidoh, Ltd. 54,000 335,774 Daifuku Co., Ltd. 141,000 566,472 Daihen Corp. 168,000 262,308 # Daiho Corp. 96,000 142,001 Dai-Ichi Jitsugyo Co., Ltd. 80,000 198,685 * Dai-Ichi Katei Denki Co., Ltd. 91,000 831 Dai-Ichi Kogyo Seiyaku Co., Ltd. 47,000 113,294 Daiken Corp. 195,000 548,393 # Daiki Co., Ltd. 31,000 341,645 Daiko Clearing Services Corp. 6,000 19,284 *# Daikyo, Inc. 444,000 782,433 Daimei Telecom Engineering Corp. 51,000 204,894 Dainichi Co., Ltd. 15,200 68,006 # Dainichiseika Colour & Chemicals Manufacturing Co., Ltd. 163,000 501,561 Dainippon Shigyo Co., Ltd. 16,000 74,507 # Daiseki Co., Ltd. 26,400 365,194 # Daiso Co., Ltd. 112,000 282,250 * Daisue Construction Co., Ltd. 92,500 76,014 Daisyo Corp. 24,000 210,153 * Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 42,000 28,378 Daiwa Industries, Ltd. 64,000 179,401 Daiwa Kosho Lease Co., Ltd. 157,000 507,469 *# Daiwa Seiko, Inc. 145,000 157,551 Daiwabo Co., Ltd. 162,000 165,668 Daiwabo Information System Co., Ltd. 22,000 178,178 Danto Corp. 42,000 144,576 Denki Kogyo Co., Ltd. 95,000 272,370 * Denny's Japan Co., Ltd. 38,000 621,421 Densei-Lambda KK 26,484 200,951 # Denyo Co., Ltd. 38,000 165,851 *# Descente, Ltd. 95,000 163,075 * Dia Kensetsu Co., Ltd. 31,000 27,456 Diamond Computer Service Co., Ltd. 18,000 99,434 * Dijet Industrial Co., Ltd. 34,000 42,221 Doshisha Co., Ltd. 15,000 335,555 *# Doutor Coffee Co., Ltd. 28,400 434,091 * Dynic Corp. 52,000 68,846 Eagle Industry Co., Ltd. 78,000 371,768 * Econach Co., Ltd. 26,000 10,920 * Eco-Tech Construction Co., Ltd. 138,000 40,321 # Edion Corp. 112,316 777,352 Ehime Bank, Ltd. 55,000 204,392 Eiken Chemical Co., Ltd. 24,000 300,438 Eikoh, Inc. 8,000 36,888 Elna Co., Ltd. 22,000 48,210 Enplas Corp. 18,000 544,010 *# Enshu, Ltd. 69,000 112,144 Ensuiko Sugar Refining Co., Ltd. 51,000 90,805 # Exedy Corp. 71,000 772,754 *# FDK Corp. 105,000 232,971 FP Corp. 26,800 400,825 * Fine Sinter Co., Ltd. 18,000 48,320 * First Baking Co., Ltd. 67,000 84,423 Fontaine Co., Ltd. 5,000 $ 46,978 Foster Electric Co., Ltd. 32,000 126,516 France Bed Co., Ltd. 193,000 463,468 *# Fudo Construction Co., Ltd. 201,000 154,164 Fuji Kiko Co., Ltd. 51,000 147,151 * Fuji Kosan Co., Ltd. 130,000 94,960 Fuji Kyuko Co., Ltd. 107,000 383,957 *# Fuji Spinning Co., Ltd., Tokyo 163,000 150,320 Fujicco Co., Ltd. 42,000 396,147 * Fujii & Co., Ltd. 44,000 402 * Fujiko Co., Ltd. 55,000 1,004 Fujikura Kasei Co., Ltd. 43,000 296,037 Fujikura Rubber, Ltd. 34,000 200,237 # Fujirebio, Inc. 75,000 732,058 # Fujita Kanko, Inc. 132,000 472,462 # Fujitec Co., Ltd. 126,000 536,121 Fujitsu Access, Ltd. 36,000 213,002 Fujitsu Business Systems, Ltd. 32,500 392,303 Fujitsu Devices, Inc. 32,000 262,966 Fujitsu Fronttec, Ltd. 21,000 205,168 * Fujitsu General, Ltd. 111,000 309,122 *# Fujiya Co., Ltd. 190,000 235,939 Fukuda Corp. 65,000 244,522 Fukushima Bank, Ltd. 213,000 287,838 * Fukusuke Corp. 95,000 867 * Fumakilla, Ltd. 24,000 27,392 * Furukawa Battery Co., Ltd. 45,000 84,642 * Furukawa Co., Ltd. 405,000 462,244 Fuso Lexel Inc. 8,000 59,898 # Fuso Pharmaceutical Industries, Ltd. 99,000 324,516 * GSI Creoss Corp. 90,000 153,671 * Ga-jo-en Kanko KK 37,000 0 * Gakken Co., Ltd. 126,000 153,013 * Generas Corp. 64,000 36,231 # Genki Sushi Co., Ltd. 7,500 104,844 Geostar Corp. 10,000 31,958 * Global-Dining, Inc. 6,200 35,382 *# Godo Steel, Ltd. 199,000 330,698 * Goldwin, Inc. 47,000 54,072 # Gourmet Kineya Co., Ltd. 31,000 232,953 * Graphtec Corp. 39,000 37,034 * Gro-BeLS Co., Ltd. 40,000 34,697 Gun-Ei Chemical Industry Co., Ltd. 127,000 255,113 Hagoromo Foods Corp. 18,000 161,067 Hakuto Co., Ltd. 25,000 305,652 Hakuyosha Co., Ltd. 57,000 163,943 Haltec Corp. 32,000 49,671 * Hamai Co., Ltd. 22,000 20,489 Hanwa Co., Ltd. 405,000 950,375 Happinet Corp. 15,000 120,663 Harashin Co., Ltd. 14,100 105,570 Harima Chemicals, Inc. 37,000 214,865 Haruyama Trading Co., Ltd. 16,800 151,249 * Hayashikane Sangyo Co., Ltd. 128,000 118,042 Hibiya Engineering, Ltd. 56,000 367,129 * Higashi-Nippon Bank, Ltd. 40,000 108,108 Hisaka Works, Ltd. 41,000 213,386 Hitachi Business Solution Co., Ltd. 10,000 73,046 Hitachi Kiden Kogyo, Ltd. 20,000 68,481 Hitachi Koki Co., Ltd. 153,000 655,196 # Hitachi Kokusai Electric, Inc. 76,000 498,941
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SHARES VALUE+ ------ ------ Hitachi Medical Corp. 53,000 $ 624,270 Hitachi Metals Techno, Ltd. 12,000 30,679 Hitachi Plant Engineering & Construction Co., Ltd. 146,000 435,920 Hitachi Powdered Metal Co., Ltd. 46,000 274,690 Hitachi Tool Engineering, Ltd. 30,000 130,113 Hochiki Corp. 42,000 163,751 *# Hodogaya Chemical Co., Ltd. 100,000 232,834 * Hohsui Corp. 56,000 44,996 Hokkai Can Co., Ltd., Tokyo 83,000 169,759 *# Hokkaido Bank, Ltd. 505,000 599,434 Hokkaido Coca Cola Bottling Co., Ltd. 33,000 181,392 Hokkaido Gas Co., Ltd. 87,000 206,538 Hokko Chemical Industry Co., Ltd. 41,000 134,770 Hokuetsu Bank 263,000 547,517 * Hokuriku Electric Industry Co., Ltd. 112,000 189,189 Hokuriku Electrical Construction Co., Ltd. 36,000 93,024 Hokuriku Gas Co., Ltd. 64,000 175,895 * Hokushin Co., Ltd. 39,900 45,904 # Hokuto Corp. 41,600 576,596 Homac Corp. 60,000 417,458 Honshu Chemical Industry Co., Ltd. 7,000 31,255 # Horiba, Ltd. 54,000 562,089 Horipro, Inc. 16,000 98,028 * Hosokawa Micron Corp. 40,000 176,041 *# Howa Machinery, Ltd. 181,000 176,835 I-Net Corp. 12,000 44,375 ISE Chemicals Corp. 17,000 52,931 * Ichida and Co., Ltd. 23,400 19,016 Ichikawa Co., Ltd. 49,000 121,247 * Ichiken Co., Ltd. 48,000 43,389 Ichikoh Industries, Ltd. 141,000 290,961 Ichiyoshi Securities Co., Ltd. 54,000 241,600 Icom, Inc. 19,500 356,099 Idec Izumi Corp. 47,000 276,799 Ihara Chemical Industry Co., Ltd. 80,000 134,405 Iino Kaiun Kaisha, Ltd. 161,000 421,905 *# Ikegami Tsushinki Co., Ltd. 102,000 182,542 Impact 21 Co., Ltd. 19,000 343,499 *# Impress Corp. 178 209,660 Inaba Denki Sangyo Co., Ltd. 38,000 539,536 # Inaba Seisa Kusho Co., Ltd. 18,700 259,533 Inabata and Co., Ltd., Osaka 70,000 367,513 Inageya Co., Ltd. 77,000 667,915 Ines Corp. 64,900 513,772 # Information Services International-Dentsu, Ltd. 42,900 557,011 Intec, Inc. 51,000 317,120 * Inui Steamship Co., Ltd. 31,000 44,439 *# Iseki & Co., Ltd. 279,000 647,060 Ishii Hyoki Co., Ltd. 3,600 29,584 *# Ishii Iron Works Co., Ltd. 52,000 62,673 *# Ishikawa Seisakusho, Ltd. 75,000 97,927 Ishikawajima Construction Materials Co., Ltd. 18,000 46,841 Ishikawajima Transport Machinery Co., Ltd. 16,000 33,601 * Ishizuka Glass Co., Ltd. 49,000 77,401 Itochu Enex Co., Ltd. 119,000 543,280 Itochu Shokuh Co., Ltd. 14,400 464,134 Itoki Crebio Corp. 56,000 $ 110,446 Iwaki & Co., Ltd. 19,000 39,034 # Iwasaki Electric Co., Ltd. 110,000 321,403 * Iwatani International Corp. 313,000 571,585 *# Iwatsu Electric Co., Ltd. 145,000 301,863 * Izuhakone Railway Co., Ltd. 300 35,610 * Izukyu Corp. 7,700 81,556 Izumiya Co., Ltd. 123,000 537,957 *# Izutsuya Co., Ltd. 123,000 229,109 J-Oil Mills, Inc. 173,000 289,071 JFE Koken Corp. 32,000 127,392 JMS Co., Ltd. 49,000 130,195 * Jac Holdings Co., Ltd. 11,000 26,616 Jaccs Co., Ltd. 175,000 591,216 Jamco Corp. 18,000 46,183 *# Janome Sewing Machine Co., Ltd. 224,000 210,665 # Japan Business Computer Co., Ltd. 34,000 221,969 # Japan Carlit Co., Ltd. 28,000 179,985 Japan Cash Machine Co., Ltd. 24,000 522,644 Japan Digital Laboratory Co., Ltd. 35,600 349,109 # Japan Foundation Engineering Co., Ltd. 49,200 107,816 Japan Information Processing Service Co., Ltd. 26,000 205,588 Japan Kenzai Co., Ltd. 17,500 100,826 Japan Maintenance Co., Ltd. 27,000 115,376 Japan Medical Dynamic Marketing Inc. 18,700 243,141 Japan Oil Transportation Co., Ltd. 45,000 85,875 # Japan Pulp and Paper Co., Ltd. 179,000 612,902 * Japan Servo Co., Ltd. 24,000 39,226 Japan Steel Tower Co., Ltd. 19,000 30,533 * Japan Steel Works, Ltd. 461,000 488,276 *# Japan Storage Battery Co., Ltd. 187,000 367,102 Japan Transcity Corp. 79,000 163,020 Japan Vilene Co., Ltd. 101,000 350,438 Japan Wool Textile Co., Ltd. 138,000 614,902 Jastec Co., Ltd. 8,000 124,105 Jeans Mate Corp. 12,740 100,273 *# Jeol, Ltd. 97,000 706,775 * Jidosha Denki Kogyo Co., Ltd. 34,000 58,364 Joban Kosan Co., Ltd. 101,000 128,187 Joint Corp. 24,900 297,836 *# Joshin Denki Co., Ltd. 98,000 231,757 # Jsp Corp. 29,000 240,961 *# Jujiya Co., Ltd. 202,000 119,887 *# Juki Corp. 153,000 502,922 * Jyomo Co., Ltd. 48,000 45,581 K.R.S. Corp. 10,600 109,175 Kabuki-Za Co., Ltd. 15,000 542,367 Kadokawa Holdings, Inc. 27,000 727,265 # Kaga Electronics Co., Ltd. 33,000 561,952 Kagawa Bank, Ltd. 83,350 418,577 Kahma Co., Ltd. 46,000 419,595 # Kaken Pharmaceutical Co., Ltd. 118,000 586,121 * Kakuei (L.) Corp. 100,000 913 * Kamagai Gumi Co., Ltd. 87,800 130,674 Kameda Seika Co., Ltd. 19,000 123,174 Kamei Corp. 47,000 235,601 Kanaden Corp. 43,000 184,533 Kanagawa Chuo Kotsu Co., Ltd. 90,000 549,763
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SHARES VALUE+ ------ ------ # Kanamoto Co., Ltd. 43,000 $ 194,741 * Kanebo, Ltd. 110,000 110,482 *# Kanematsu Corp. 402,500 602,721 Kanematsu Electronics, Ltd. 38,000 409,076 * Kanematsu-NNK Corp. 60,000 121,074 Kanto Auto Works, Ltd., Yokosuka 78,000 626,735 # Kanto Denka Kogyo Co., Ltd. 83,000 312,993 Kanto Natural Gas Development Co., Ltd. 104,000 471,001 *# Kanto Tsukuba Bank, Ltd. 19,100 118,590 Kasai Kogyo Co., Ltd. 28,000 67,239 Kasei (C.I.) Co., Ltd. 46,000 149,525 # Kasumi Co., Ltd. 132,000 614,682 Katakura Chikkarin Co., Ltd. 17,000 45,480 # Katakura Industries Co., Ltd. 49,000 325,712 Kato Sangyo Co., Ltd. 51,000 454,027 # Kato Works Co., Ltd. 82,000 163,221 * Katsumura Construction Co., Ltd. 48,600 44,375 Kawada Industries, Inc. 76,000 138,787 *# Kawai Musical Instruments Manufacturing Co., Ltd. 99,000 146,439 * Kawasaki Kasei Chemicals, Ltd. 36,000 23,996 Kawashima Textile Manufacturers, Ltd. 126,000 141,508 * Kawasho Corp. 549,000 977,493 Kawasho Gecoss Corp. 45,000 152,849 Kawasumi Laboratories, Inc. 26,000 159,295 * Kawatetsu Systems, Inc. 112 153,397 # Keihin Co., Ltd. 100,000 146,092 Keiiyu Co., Ltd. 7,300 49,791 Keiyo Co., Ltd. 139,900 504,570 * Kenwood Corp. 50,000 111,852 # Key Coffee, Inc. 33,000 445,946 Kibun Food Chemifa Co., Ltd. 35,000 374,224 * Kimmon Manufacturing Co., Ltd. 41,000 34,441 * Kimura Chemical Plants Co., Ltd. 27,000 33,775 Kinki Coca-Cola Bottling Co., Ltd. 86,000 568,517 * Kinki Nippon Tourist Co., Ltd. 133,000 307,241 Kinki Sharyo Co., Ltd., Nagaokakyo 101,000 267,440 *# Kinsho Corp. 21,000 39,308 *# Kinugawa Rubber Industrial Co., Ltd. 83,000 157,633 Kioritz Corp. 96,000 173,557 # Kishu Paper Co., Ltd. 125,000 197,453 Kisoji Co., Ltd. 22,000 271,987 *# Kitagawa Iron Works Co., Ltd. 124,000 183,419 Kita-Nippon Bank, Ltd. 8,506 358,041 Kitano Construction Corp. 97,000 150,566 Kitazawa Sangyo Co., Ltd. 17,500 28,123 Kitz Corp. 234,000 303,397 Koa Corp. 58,000 415,723 # Koatsu Gas Kogyo Co., Ltd. 78,000 240,011 Kobayashi Yoko Co., Ltd. 8,000 138,861 Kodensha Co., Ltd. 14,000 36,815 Koekisha Co., Ltd. 4,900 107,378 # Kohnan Shoji Co., Ltd. 20,590 303,248 Kohsoku Corp. 6,700 45,515 Koike Sanso Kogyo Co., Ltd. 30,000 36,980 Koito Industries, Ltd. 31,000 97,370 # Kojima Co., Ltd. 40,000 238,495 * Kokune Corp. 42,000 383 Kokusai Kogyo Co., Ltd. 47,000 144,622 Komai Tekko, Inc. 53,000 $ 106,465 * Komatsu Electronics Metals Co., Ltd. 39,600 350,731 Komatsu Seiren Co., Ltd. 53,000 136,468 Komatsu Wall Industry Co., Ltd. 14,000 180,625 Konaka Co., Ltd. 29,700 200,947 Konami Sports Corp. 35,300 551,482 Kondotec, Inc. 12,500 62,774 Konishi Co., Ltd. 28,000 220,124 Kosaido Co., Ltd. 34,000 305,789 * Kosei Securities Co., Ltd. 137,000 283,957 Kumiai Chemical Industry Co., Ltd., Tokyo 108,000 165,668 Kurabo Industries, Ltd. 306,000 455,424 # Kurimoto, Ltd. 166,000 307,688 Kuroda Electric Co., Ltd. 18,000 581,812 Kurosaki Harima Corp. 96,000 128,853 Kyoden Co., Ltd. 68,000 329,693 Kyodo Printing Co., Ltd. 112,000 329,292 # Kyodo Shiryo Co., Ltd. 145,000 148,283 Kyoei Sangyo Co., Ltd. 44,000 102,447 # Kyoei Tanker Co., Ltd. 53,000 81,300 Kyokuto Boeki Kaisha, Ltd. 36,000 82,177 Kyokuto Kaihatsu Kogyo Co., Ltd. 38,300 300,749 Kyokuyo Co., Ltd. 167,000 230,250 # Kyoritsu Maintenance Co., Ltd. 15,400 224,701 Kyosan Electric Manufacturing Co., Ltd. 78,000 240,723 Kyoto Kimono Yuzen Co., Ltd. 79 152,922 Kyowa Electronic Instruments Co., Ltd. 30,000 67,385 Kyowa Leather Cloth Co., Ltd. 32,000 146,092 Kyudenko Corp. 103,000 411,925 # Laox Co., Ltd. 21,000 40,650 * Lonseal Corp. 18,000 13,148 *# Look, Inc. 50,000 279,401 # MR Max Corp. 56,300 178,379 * Macnica, Inc. 25,700 667,609 Maeda Road Construction Co., Ltd. 105,000 525,384 Maezawa Industries, Inc. 27,700 123,679 Maezawa Kaisei Industries Co., Ltd. 20,600 239,443 Maezawa Kyuso Industries Co., Ltd. 10,000 71,950 * Magara Construction Co., Ltd. 61,000 52,356 Makino Milling Machine Co., Ltd. 114,000 538,148 * Mamiya-Op Co., Ltd. 58,000 88,970 Marche Corp. 6,100 52,968 Mars Engineering Corp. 13,000 613,678 Marubeni Construction Material Lease Co., Ltd. 28,000 37,071 Marubun Corp. 37,800 200,183 Marudai Food Co., Ltd. 164,000 268,042 * Maruei Department Store Co., Ltd. 72,000 95,982 Maruha Corp. 434,000 534,971 * Maruishi Cycle Industries, Ltd. 33,000 13,258 # Marusan Securities Co., Ltd. 106,000 544,905 Maruwa Co., Ltd. 13,000 141,728 Maruwn Corp. 44,000 108,072 Maruya Co., Ltd. 14,000 93,316 Maruyama Manufacturing Co., Inc. 73,000 89,317 *# Maruzen Co., Ltd. 179,000 258,236 Maruzen Co., Ltd. 13,000 53,771 Maruzen Showa Unyu Co., Ltd. 122,000 272,918
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SHARES VALUE+ ------ ------ Maspro Denkoh Corp. 27,000 $ 263,787 Matsuda Sangyo Co., Ltd. 27,000 185,637 Matsui Construction Co., Ltd. 40,000 111,030 Matsuo Bridge Co., Ltd. 37,000 102,027 # Matsuya Co., Ltd. 74,000 310,811 Matsuya Foods Co., Ltd. 20,000 422,754 Matsuzakaya Co., Ltd. 189,077 685,387 *# Max Co., Ltd. 69,000 590,961 *# Megachips Corp. 21,700 202,496 *# Meidensha Corp. 378,050 780,125 * Meiji Machine Co., Ltd. 55,000 32,140 Meiji Shipping Co., Ltd. 47,000 128,744 * Meisei Industrial Co., Ltd. 29,000 82,615 # Meito Sangyo Co., Ltd. 38,000 451,753 Meito Transportation Co., Ltd. 9,000 74,123 Meiwa Estate Co., Ltd. 34,000 273,192 Meiwa Industry Co., Ltd. 15,000 33,966 * Meiwa Trading Co., Ltd. 55,000 76,333 Melco Holdings, Inc. 9,000 244,065 Mercian Corp. 212,000 425,858 Mikuni Coca-Cola Bottling Co., Ltd. 60,000 444,302 # Milbon Co., Ltd. 13,200 338,075 # Mimasu Semiconductor Industry Co., Ltd. 30,000 369,248 Ministop Co., Ltd. 36,700 539,844 Mirai Group Co., Ltd. 49,000 91,718 Miroku Jyoho Service Co., Ltd. 12,000 79,985 * Misawa Homes Holdings, Inc. 262,900 355,270 # Misawa Resort Co., Ltd. 40,000 81,081 * Mito Securities Co., Ltd. 63,000 151,287 Mitsuba Corp. 47,000 191,399 * Mitsubishi Cable Industries, Ltd. 241,000 235,455 * Mitsubishi Kakoki Kaisha, Ltd. 117,000 152,767 *# Mitsubishi Paper Mills, Ltd. 406,000 548,649 Mitsubishi Pencil Co., Ltd. 61,000 388,212 # Mitsubishi Plastics, Inc. 310,000 761,414 Mitsubishi Shindoh Co., Ltd. 82,000 137,016 # Mitsubishi Steel Manufacturing Co., Ltd. 253,000 288,760 Mitsuboshi Belting, Ltd. 153,000 444,248 # Mitsui High-Tec, Inc. 58,000 690,048 Mitsui Home Co., Ltd. 97,000 365,787 * Mitsui Knowledge Industry Co., Ltd. 8,800 70,146 *# Mitsui Matsushima Co., Ltd. 90,000 107,652 * Mitsui Mining Co., Ltd. 225,000 149,973 # Mitsui Sugar Co., Ltd. 116,000 216,070 # Mitsui-Soko Co., Ltd. 204,000 454,492 Mitsumura Printing Co., Ltd. 49,000 236,678 Mitsuuroko Co., Ltd. 76,000 417,750 Miura Co., Ltd. 52,100 620,805 Miura Printing Corp. 16,000 49,671 Miyaji Engineering Group 90,000 138,879 Miyazaki Bank, Ltd. 83,000 300,110 # Miyoshi Oil & Fat Co., Ltd. 120,000 225,712 # Miyuki Keori Co., Ltd. 50,000 137,874 Mizuno Corp. 165,000 567,979 * Momiji Holdings, Inc. 190 400,749 Morinaga & Co., Ltd. 340,000 589,847 * Morishita Jinton Co., Ltd. 19,800 72,316 Morita Corp. 59,000 197,170 # Moritex Corp. 15,000 142,440 Morozoff, Ltd., Osaka 50,000 $ 89,938 Mory Industries, Inc. 66,000 131,373 Mos Food Services, Inc. 47,000 392,668 Moshi Moshi Hotline, Inc. 7,250 509,724 * Mutoh Industries, Ltd. 61,000 128,104 Mutow Co., Ltd. 38,000 126,991 Myojo Foods Co., Ltd. 25,000 63,002 # NAC Co., Ltd. 13,000 96,859 NEC Infrontia Corp. 167,000 419,330 # NEC System Integration & Construction, Ltd. 53,000 396,339 *# NEC Tokin Corp. 86,000 467,221 Nabtesco Corp. 210,000 1,106,373 # Nachi-Fujikoshi Corp. 433,000 933,053 # Nagano Bank, Ltd. 122,000 364,262 * Nagano Japan Radio Co., Ltd. 27,000 35,007 # Nagatanien Co., Ltd. 56,000 406,501 * Naigai Co., Ltd. 109,000 84,596 Nakabayashi Co., Ltd. 76,000 114,500 # Nakamuraya Co., Ltd. 85,000 211,103 *# Nakano Corp. 66,000 65,687 * Nakayama Steel Works, Ltd. 165,000 335,966 Nakayo Telecommunications, Inc. 16,000 59,021 Neturen Co., Ltd., Tokyo 52,000 206,063 New Japan Radio Co., Ltd. 48,000 538,203 Nichia Steel Works, Ltd. 52,900 138,143 Nichias Corp. 237,000 627,557 # Nichiban Co., Ltd. 58,000 156,227 * Nichiboshin, Ltd. 1,190 1,087 Nichiha Corp. 64,980 741,645 # Nichimo Co., Ltd. 54,000 90,230 *# Nichimo Corp. 85,000 48,119 # Nichireki Co., Ltd. 44,000 146,238 # Nichiro Corp. 289,000 337,765 Nidec Tosok Corp. 13,000 182,798 Nihon Dempa Kogyo Co., Ltd. 28,000 440,248 Nihon Eslead Corp. 9,500 166,545 Nihon Inter Electronics Corp. 27,000 165,175 Nihon Kagaku Sangyo Co., Ltd. 14,000 43,718 * Nihon Kentetsu Co., Ltd. 27,000 32,295 Nihon Kohden Corp. 85,000 558,026 Nihon Matai Co., Ltd. 50,000 90,394 Nihon Nohyaku Co., Ltd. 103,000 184,332 Nihon Parkerizing Co., Ltd. 92,000 400,694 * Nihon Seiko Co., Ltd. 11,000 27,721 Nihon Shokuh Kako Co., Ltd. 26,000 48,667 Nihon Spindle Manufacturing Co., Ltd. 56,000 72,096 Nihon Tokushu Toryo Co., Ltd. 35,000 127,831 # Nikken Chemicals Co., Ltd. 130,000 377,465 Nikkiso Co., Ltd. 107,000 385,911 Nikko Co., Ltd., Akashi 52,000 142,440 * Nippei Toyama Corp. 34,000 62,400 * Nippon Avionics Co., Ltd. 19,000 31,748 Nippon Beet Sugar Manufacturing Co., Ltd. 216,000 327,392 *# Nippon Carbide Industries Co., Inc., Tokyo 101,000 101,443 *# Nippon Carbon Co., Ltd. 177,000 226,260 # Nippon Ceramic Co., Ltd. 32,000 281,958 Nippon Chemical Industrial Co., Ltd. 131,000 424,626 Nippon Chemi-Con Corp. 159,000 598,137
220
SHARES VALUE+ ------ ------ * Nippon Chemiphar Co., Ltd. 49,000 $ 137,801 Nippon Chutetsukan KK 44,000 74,726 * Nippon Concrete Industries Co., Ltd. 65,000 73,594 Nippon Conlux Co., Ltd. 30,000 190,376 * Nippon Conveyor Co., Ltd. 43,000 31,017 # Nippon Denko Co., Ltd. 159,000 251,160 # Nippon Densetsu Kogyo Co., Ltd. 81,000 303,232 Nippon Denwa Shisetu Co., Ltd. 90,000 262,966 Nippon Felt Co., Ltd. 28,000 84,368 # Nippon Fine Chemical Co., Ltd. 40,000 147,188 Nippon Flour Mills Co., Ltd. 186,000 660,647 * Nippon Foil Mfg., Co., Ltd. 21,000 26,844 * Nippon Formula Feed Manufacturing Co., Ltd. 100,000 133,309 Nippon Gas Co., Ltd. 62,000 524,781 Nippon Hume Corp. 43,000 82,843 # Nippon Kanzai Co., Ltd. 27,200 396,377 *# Nippon Kasei Chemical Co., Ltd. 154,000 179,985 * Nippon Kinzoku Co., Ltd. 93,000 106,145 Nippon Koei Co., Ltd., Tokyo 107,000 218,846 Nippon Konpo Unyu Soko Co., Ltd. 92,000 600,621 * Nippon Koshuha Steel Co., Ltd. 151,000 147,526 *# Nippon Metal Industry Co., Ltd. 230,000 201,607 * Nippon Pigment Co., Ltd. 11,000 25,612 Nippon Pillar Packing Co., Ltd. 15,000 79,711 * Nippon Piston Ring Co., Ltd. 104,000 149,087 Nippon Road Co., Ltd. 147,000 241,600 # Nippon Seiki Co., Ltd. 76,000 507,962 Nippon Seisen Co., Ltd. 39,000 85,464 # Nippon Sharyo, Ltd. 215,000 437,774 Nippon Shinpan Co., Ltd. 213,000 472,599 Nippon Shinyaku Co., Ltd. 73,000 407,259 Nippon Signal Co., Ltd. 109,000 501,607 Nippon Soda Co., Ltd. 177,000 399,187 # Nippon Synthetic Chemical Industry Co., Ltd. 152,000 312,272 Nippon System Development Co., Ltd. 32,100 556,592 Nippon Systemware Co., Ltd. 20,000 163,440 Nippon Thompson Co., Ltd. 77,000 510,427 Nippon Tungsten Co., Ltd. 24,000 41,636 Nippon Valqua Industries, Ltd. 119,000 235,783 * Nippon Yakin Kogyo Co., Ltd. 117,500 171,658 * Nippon Yusoki Co., Ltd. 49,000 103,798 Nishimatsuya Chain Co., Ltd. 30,600 849,379 * Nishishiba Electric Co., Ltd. 28,000 35,793 *# Nissan Diesel Motor Co., Ltd. 284,000 536,779 Nissei Plastic Industrial Co., Ltd. 14,000 70,307 * Nisseki House Industry Co., Ltd. 260,000 2,374 # Nissha Printing Co., Ltd. 81,000 959,989 # Nisshin Fire & Marine Insurance Co., Ltd. 201,000 477,173 # Nisshin Fudosan Co., Ltd. 11,700 96,574 Nissho Electronics Corp. 23,000 191,107 * Nissho Iwai-Nichmen Holdings Corp. 68,000 317,275 Nissin Co., Ltd. 149,800 600,458 Nissin Corp. 150,000 291,728 * Nissin Electric Co., Ltd. 134,000 349,927 Nissin Kogyo Co., Ltd. 22,500 498,197 Nissin Sugar Manufacturing Co., Ltd. 74,000 120,270 Nissui Pharmaceutical Co., Ltd. 20,000 105,004 * Nitchitsu Co., Ltd. 14,000 $ 17,513 Nitta Corp. 42,000 518,481 Nittan Valve Co., Ltd. 18,000 47,663 Nittetsu Mining Co., Ltd. 118,000 276,899 * Nittetsu Steel Sheet Corp. 84,000 152,630 Nitto Boseki Co., Ltd. 364,000 422,096 Nitto Electric Works, Ltd. 59,000 426,662 # Nitto Flour Milling Co., Ltd. 54,000 114,883 Nitto Kohki Co., Ltd. 25,000 380,752 Nitto Seiko Co., Ltd. 56,000 70,051 Nitto Seimo Co., Ltd. 32,000 94,668 *# Nittoc Construction Co., Ltd. 61,000 144,814 Noda Corp. 1,300 5,045 Nohmi Bosai, Ltd. 59,000 262,893 Nomura Co., Ltd. 26,000 99,945 Noritake Co., Ltd. 178,000 576,972 # Nosan Corp. 201,000 350,539 O-M, Ltd. 46,000 57,542 * OKK Corp. 101,000 94,065 OSG Corp. 86,000 627,411 * Obayashi Road Corp. 65,000 115,139 Odakyu Construction Co., Ltd. 29,000 68,846 Odakyu Real Estate Co., Ltd. 58,000 126,041 Oenon Holdings, Inc. 74,000 150,000 * Ohki Corp. 73,000 83,318 * Ohmori Co., Ltd. 184,000 16,801 * Oie Sangyo Co., Ltd. 400 2,736 Oiles Corp. 30,000 580,716 Okabe Co., Ltd. 29,000 80,762 Okamoto Industries, Inc. 212,000 480,059 * Okamoto Machine Tool Works, Ltd. 33,000 82,259 * Okaya Electric Industries Co., Ltd. 16,000 34,332 * Oki Electric Cable Co., Ltd. 56,000 95,617 Okinawa Electric Power Co., Ltd. 20,000 547,845 * Okuma and Howa Machinery, Ltd. 69,000 88,833 *# Okuma Corp. 163,000 363,148 # Okura Industrial Co., Ltd. 96,000 699,489 Okuwa Co., Ltd. 59,000 588,276 Olympic Corp. 31,000 389,198 * Omikenshi Co., Ltd. 53,000 26,132 * Ono Sokki Co., Ltd. 43,000 133,492 Organo Corp. 101,000 415,915 * Orient Watch Co., Ltd. 12,000 4,492 # Oriental Construction Co., Ltd. 39,000 159,533 Oriental Yeast Co., Ltd. 34,000 219,485 Origin Electric Co., Ltd. 54,000 239,628 Osaka Securities Finance Co., Ltd. 54,000 111,432 Osaka Steel Co., Ltd. 52,000 412,126 Osaki Electric Co., Ltd. 56,000 267,422 Oyo Corp. 40,000 260,409 # P.S. Mitsubishi Construction Co., Ltd. 35,000 143,809 PCA Corp. 6,500 57,569 Pacific Industrial Co., Ltd. 68,000 197,443 # Parco Co., Ltd. 82,000 414,792 * Pasco Corp. 111,500 335,966 * Patlite Corp. 5,000 87,655 * Penta-Ocean Construction Co., Ltd. 379,000 352,977 # Pentax Corp. 180,000 747,809 Petrolub International Co., Ltd. 12,900 53,004 Pigeon Corp. 37,000 422,297 Pilot Corp. 32 92,038
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SHARES VALUE+ ------ ------ Piolax, Inc. 8,800 $ 112,089 Pocket Card Co., Ltd. 41,000 378,853 # Pokka Corp. 48,000 135,866 Poplar Co., Ltd. 7,260 73,382 Posful Corp. 26,000 170,928 *# Press Kogyo Co., Ltd. 143,000 301,616 *# Prima Meat Packers, Ltd. 230,000 201,607 *# Privee Zurich Turnaround Group Co., Ltd. 21,000 348,786 Pulstec Industrial Co., Ltd. 21,200 136,468 Q'Sai Co., Ltd. 42,000 299,124 Raito Kogyo Co., Ltd. 84,900 281,398 # Rasa Industries, Ltd. 119,000 228,178 * Real Property 43,900 0 *# Renown, Inc. 402,000 381,739 # Resorttrust Inc. 28,600 620,206 Rheon Automatic Machinery Co., Ltd. 40,000 112,856 Rhythm Watch Co., Ltd. 344,000 502,557 * Ricoh Elemex Corp. 20,000 67,568 Ricoh Leasing Co., Ltd. 10,000 185,354 Right On Co., Ltd. 21,000 619,339 Riken Corp. 193,000 585,062 Riken Keiki Co., Ltd. 33,000 141,015 Riken Technos Corp. 93,000 264,938 Riken Vitamin Co., Ltd. 24,000 306,793 # Ringer Hut Co., Ltd. 26,000 250,219 # Rock Field Co., Ltd. 14,000 155,442 Rohto Pharmaceutical Co., Ltd. 56,000 453,031 Roland Corp. 26,400 320,599 * Round One Corp. 58 104,858 # Royal Co., Ltd. 52,000 465,303 * Ryobi, Ltd. 238,000 628,032 Ryoden Trading Co., Ltd. 57,000 244,613 Ryosan Co., Ltd. 1,700 26,093 # Ryoyo Electro Corp. 40,000 401,753 # S Foods, Inc. 28,000 191,746 * S Science Co., Ltd. 139,000 63,459 S.T. Chemical Co., Ltd. 48,000 361,578 SMK Corp. 127,000 424,416 SNT Corp. 15,000 49,306 * SPC Electronics Corp. 29,000 103,798 SPK Corp. 3,100 35,410 SRL, Inc. 42,000 321,750 * SXL Corp. 101,000 164,153 Saeki Kensetsu Kogyo Co., Ltd. 71,000 64,180 # Sagami Chain Co., Ltd. 37,000 305,743 Sagami Co., Ltd. 51,000 185,802 * Sailor Pen Co., Ltd. 44,000 161,505 # Saizeriya Co., Ltd. 78,100 738,071 Sakai Chemical Industry Co., Ltd. 141,000 503,388 Sakai Heavy Industries, Ltd. 60,000 104,638 *# Sakai Ovex Co., Ltd. 85,000 124,954 Sakata Inx Corp. 92,000 299,050 Sakata Seed 17,900 186,322 * Sakurada Co., Ltd. 38,000 29,839 Sala Corp. 41,000 163,970 San-Ai Oil Co., Ltd. 98,000 284,551 *# Sanix, Inc. 28,600 228,497 Sankei Building Co., Ltd. 69,000 207,277 Sanki Engineering Co., Ltd. 105,000 533,053 Sanko Co., Ltd. 2,000 10,409 Sanko Metal Industrial Co., Ltd., Tokyo 54,000 $ 84,806 *# Sankyo Seiki Manufacturing Co., Ltd. 76,000 482,286 Sankyo Seiko Co., Ltd. 86,000 261,487 # Sankyu, Inc., Tokyo 415,000 439,554 Sanoh Industrial Co., Ltd. 53,000 239,545 Sanshin Electronics Co., Ltd. 45,000 255,159 Sanyo Denki Co., Ltd. 65,000 148,968 # Sanyo Electric Credit Co., Ltd. 43,100 639,889 Sanyo Engineering & Construction, Inc. 21,000 57,524 Sanyo Industries, Ltd., Tokyo 48,000 115,705 # Sanyo Special Steel Co., Ltd. 207,000 291,070 * Sasebo Heavy Industries Co., Ltd., Tokyo 201,000 167,011 * Sata Construction Co., Ltd., Gumma 61,000 54,584 Sato Shoji Corp. 31,000 117,184 Satori Electric Co., Ltd. 10,400 125,347 * Sawafugji Electric Co., Ltd. 31,000 58,026 Secom Techno Service Co., Ltd. 10,500 278,031 # Seijo Corp. 8,000 89,116 Seika Corp. 145,000 197,270 * Seikitokyu Kogyo Co., Ltd. 86,000 83,236 * Seiko Corp. 102,407 532,980 Seiren Co., Ltd. 81,000 454,849 # Sekisui Jushi Co., Ltd. 59,000 251,580 Sekisui Plastics Co., Ltd. 126,000 281,866 Sekiwa Real Eastate, Ltd. 16,000 115,267 Sekiwa Real Estate Chubu, Ltd. 7,000 29,081 Senko Co., Ltd. 205,000 514,746 Senshukai Co., Ltd. 70,000 734,387 Shaddy Co., Ltd. 27,000 254,912 *# Shibaura Mechatronics Corp. 71,000 536,130 Shibusawa Warehouse Co., Ltd. 94,000 189,682 # Shibuya Kogyo Co., Ltd. 54,000 461,998 *# Shikibo, Ltd. 155,000 178,324 Shikoku Chemicals Corp. 89,000 316,116 Shikoku Coca-Cola Bottling Co., Ltd. 31,000 307,679 Shimizu Bank, Ltd. 12,600 587,893 Shin Nippon Air Technologies Co., Ltd. 31,180 119,573 Shinagawa Refractories Co., Ltd. 82,000 163,970 * Shindengen Electric Manufacturing Co., Ltd. 106,000 281,647 Shin-Etsu Polymer Co., Ltd. 111,000 687,162 Shinkawa, Ltd. 21,000 396,914 Shin-Keisei Electric Railway Co., Ltd. 45,000 145,864 Shinki Co., Ltd. 61,000 215,550 # Shinko Electric Co., Ltd. 257,000 650,009 Shinko Plantech Co., Ltd. 27,000 27,365 Shinko Shoji Co., Ltd. 29,000 155,962 Shin-Kobe Electric Machinery Co., Ltd. 71,000 223,658 Shinmaywa Industries, Ltd. 148,000 436,487 *# Shinsho Corp. 110,000 168,736 *# Shinwa Kaiun Kaisha, Ltd. 238,000 339,007 Shinyei Kaisha 54,000 78,890 Shiroki Co., Ltd. 132,000 272,389 Shizuki Electric Co., Inc. 23,000 48,512 # Sho-Bond Corp. 39,100 193,501
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SHARES VALUE+ ------ ------ Shobunsha Publications, Inc. 25,000 $ 315,011 *# Shochiku Co., Ltd. 99,000 629,145 # Shoei Co., Ltd. 14,900 166,795 Shoei Foods Corp. 14,000 55,606 Shoko Co., Ltd. 156,000 199,416 Shokusan Bank, Ltd. 52,000 175,676 Showa Aircraft Industry Co., Ltd. 22,000 72,745 *# Showa Electric Wire & Cable Co., Ltd., Kawasaki 270,000 318,024 # Showa Highpolymer Co., Ltd. 67,000 167,011 Showa Mining Co., Ltd. 36,000 43,718 # Showa Sangyo Co., Ltd. 282,000 584,496 Showa Tansan Co., Ltd. 21,000 58,099 # Siix Corp. 6,000 94,777 Silver Ox Inc. 30,000 66,289 *# Silver Seiko, Ltd. 87,000 36,541 Sinanen Co., Ltd. 160,000 672,023 Sintokogio, Ltd., Nagoya 70,000 194,942 Snow Brand Seed Co., Ltd. 16,000 48,941 Soda Nikka Co., Ltd. 35,000 59,441 *# Sodick Co., Ltd. 64,000 447,042 * Software Research Associates, Inc. 6,200 40,646 # Sogo Medical Co., Ltd. 8,800 239,847 * Sokkisha Co., Ltd. 40,000 54,054 Sonton Food Industry Co., Ltd. 15,000 114,637 # Sorun Corp. 41,000 223,868 Sotetsu Rosen Co., Ltd. 44,000 273,996 Sotoh Co., Ltd. 12,000 98,393 Space Co., Ltd. 9,400 60,681 Star Micronics Co., Ltd. 59,000 338,851 Starzen Corp. 126,000 195,581 Stella Chemifa Corp. 14,000 178,707 Subaru Enterprise Co., Ltd. 36,000 104,200 Sumida Corp. 17,600 509,423 * Suminoe Textile Co., Ltd. 95,000 142,257 * Sumitomo Coal Mining Co., Ltd. 90,500 49,580 Sumitomo Densetsu Co., Ltd. 50,700 134,712 *# Sumitomo Light Metal Industries, Ltd. 493,000 567,184 *# Sumitomo Mitsui Construction Co., Ltd. 413,600 302,118 Sumitomo Pipe & Tube Co., Ltd. 35,000 71,905 Sumitomo Precision Products Co., Ltd., Amagasaki City 66,000 177,776 # Sumitomo Seika Chemicals Co., Ltd. 102,000 239,354 # Sumitomo Special Metals Co., Ltd. 76,000 834,113 Sumitomo Warehouse Co., Ltd. 172,000 457,013 * Sun Wave Corp. 62,000 218,517 SunTelephone Co., Ltd. 44,000 167,933 # Suruga Corp. 11,000 130,570 * Suzutan Co., Ltd. 62,000 72,462 # Sysmex Corp. 23,700 516,111 # T.Hasegawa Co., Ltd. 35,900 409,743 *# TC Properties Co., Ltd. 144,650 843,968 *# TC Properties Co., Ltd. 579,000 0 * TCM Corp. 146,000 274,617 * TDF Corp. 11,000 39,271 TKC Corp. 39,500 517,554 TOC Co., Ltd. 80,000 431,702 TYK Corp. 67,000 122,964 Tabai Espec Corp. 34,000 355,460 Tachihi Enterprise Co., Ltd. 17,000 357,789 Tachikawa Corp. 14,000 69,029 Tachi-S Co., Ltd. 21,100 $ 146,421 Tadano, Ltd. 161,000 495,407 Taihei Dengyo Kaisha, Ltd. 55,000 151,662 *# Taihei Kogyo Co., Ltd. 114,000 118,663 * Taiheiyo Kouhatsu, Inc. 90,000 69,850 Taiho Kogyo Co., Ltd. 30,000 245,435 Taikisha, Ltd. 97,000 1,078,762 Taisei Rotec Corp. 110,000 163,714 * Taisei U-lec Co., Ltd. 134,000 196,987 # Taito Co., Ltd. 70,000 171,932 Taito Corp. 410 535,336 # Taiyo Toyo Sanso Co., Ltd. 232,000 648,210 Takada Kiko Co., Ltd. 31,000 125,393 * Takagi Securities Co., Ltd. 94,000 225,731 Takamatsu Corp. 19,500 338,294 Takano Co., Ltd. 15,000 186,267 * Takaoka Electric Manufacturing Co., Ltd., Tokyo 156,000 182,323 * Taka-Q Co., Ltd. 34,500 34,336 Takara Printing Co., Ltd. 6,000 44,047 * Takarabune Corp. 26,000 237 Takasago International Corp. 136,000 490,504 Takasago Thermal Engineering Co., Ltd. 106,000 582,652 * Takashima & Co., Ltd. 60,000 97,516 Takigami Steel Construction Co., Ltd. 18,000 72,316 Takiron Co., Ltd. 98,000 304,237 Takuma Co., Ltd. 108,000 565,048 Tamura Corp. 93,000 332,871 * Tamura Electric Works, Ltd. 74,000 233,784 Tanseisha Co., Ltd. 26,000 81,428 # Tasaki Shinju Co., Ltd. 53,000 157,761 Tateho Chemical Industries Co., Ltd. 26,500 69,928 Tatsuta Electric Wire & Cable Co., Ltd. 106,000 141,308 Taya Co., Ltd. 5,000 42,458 Tayca Corp. 74,000 191,216 * Teac Corp. 88,000 123,740 Techno Ryowa, Ltd. 16,400 66,636 Tecmo, Ltd. 22,000 226,187 Teikoku Hormone Manufacturing Co., Ltd. 33,000 237,135 # Teikoku Piston Ring Co., Ltd. 42,000 145,727 Teikoku Sen-I Co., Ltd. 39,000 123,567 Teikoku Tsushin Kogyo Co., Ltd. 73,000 249,954 Tekken Corp. 194,000 258,619 Ten Allied Co., Ltd. 37,000 131,757 Tenma Corp. 41,000 390,084 Teraoka Seisakusho Co., Ltd. 29,000 278,031 Tetra Co., Ltd., Tokyo 41,000 75,247 * The Daito Bank, Ltd. 114,000 236,286 # The Nisshin Oillio Group, Ltd. 196,000 486,779 Three F Co., Ltd. 5,300 30,004 Tigers Polymer Corp. 16,000 56,099 * Titan Kogyo KK 36,000 46,019 # Toa Corp. 247,000 279,657 # Toa Doro Kogyo Co., Ltd. 65,000 118,700 Toa Oil Co., Ltd. 145,000 206,538 * Toabo Corp. 73,000 34,660 Toagosei Co., Ltd. 292,719 553,258 * Tobu Store Co., Ltd. 71,000 116,043
223
SHARES VALUE+ ------ ------ Tochigi Fuji Industrial Co., Ltd. 51,000 $ 128,059 Toda Kogyo Corp. 68,000 283,747 # Todentu Corp. 57,000 107,734 Toei Co., Ltd. 185,000 554,054 Toenec Corp. 101,000 300,639 Tohcello Co., Ltd. 21,000 49,470 Toho Co., Ltd. 35,000 261,733 Toho Real Estate Co., Ltd. 98,000 365,979 # Toho Titanium Co., Ltd. 44,000 335,464 Toho Zinc Co., Ltd. 156,000 253,543 Tohoku Bank, Ltd. 63,000 120,225 Tohoku Misawa Homes Co., Ltd. 24,000 98,174 Tohoku Pioneer Corp. 24,800 396,501 Tohoku Telecommunications Construction Co., Ltd. 17,000 42,997 * Tohpe Corp. 36,000 31,227 Tohto Suisan Co., Ltd. 54,000 84,806 # Tokai Carbon Co., Ltd. 253,000 630,652 *# Tokai Corp. 108,000 437,838 *# Tokai Kanko Co., Ltd. 333,000 91,216 * Tokai Konetsu Kogyo Co., Ltd. 15,000 31,090 # Tokai Pulp & Paper Co., Ltd. 88,000 323,010 * Tokai Senko KK, Nagoya 47,000 42,485 * Tokai Tokyo Securities Co., Ltd. 366,250 792,561 # Tokico, Ltd. 189,000 471,120 * Tokimec, Inc. 119,000 208,619 Toko Electric Corp. 39,000 101,488 # Toko, Inc. 129,000 347,471 Tokushima Bank, Ltd. 61,200 390,603 Tokushu Paper Manufacturing Co., Ltd. 63,000 230,670 Tokyo Biso Kogyo Corp. 13,000 64,217 # Tokyo Denpa Co., Ltd. 11,000 195,855 Tokyo Dome Corp. 233,000 699,936 Tokyo Energy & Systems, Inc. 49,000 156,592 Tokyo Kikai Seisakusho, Ltd. 132,000 318,189 Tokyo Leasing Co., Ltd. 86,000 512,765 Tokyo Nissan Auto Sales Co., Ltd. 97,000 231,163 Tokyo Rakutenchi Co., Ltd. 92,000 331,812 * Tokyo Rope Manufacturing Co., Ltd. 202,000 191,819 Tokyo Sangyo Co., Ltd. 36,500 97,316 Tokyo Soir Co., Ltd. 17,000 42,997 * Tokyo Tekko Co., Ltd. 67,000 150,493 Tokyo Theatres Co., Inc., Tokyo 116,000 119,686 Tokyo Tomin Bank, Ltd. 45,200 739,989 Tokyotokeiba Co., Ltd. 422,000 489,354 # Tokyu Community Corp. 19,000 232,469 *# Tokyu Department Store Co., Ltd. 406,000 344,759 Tokyu Livable Inc. 22,200 231,689 Tokyu Recreation Corp. 32,000 164,792 Tokyu Store Chain Corp. 175,000 648,740 *# Tokyu Tourist Corp. 92,000 71,402 Toli Corp. 83,000 147,781 Tomato Bank, Ltd. 128,000 244,266 Tomen Electronics Corp. 10,000 407,232 Tomoe Corp. 56,000 76,698 *# Tomoegawa Paper Co., Ltd. 55,000 185,811 Tomoku Co., Ltd. 136,000 253,324 * Tomy Co., Ltd. 27,000 377,685 Tonami Transportation Co., Ltd. 121,000 329,237 Topcon Corp. 57,000 378,369 Topre Corp. 67,000 $ 416,609 Topy Industries, Ltd. 325,000 765,614 # Torigoe Co., Ltd. 35,000 119,522 Torii Pharmaceutical Co., Ltd. 36,000 540,066 Torishima Pump Manufacturing Co., Ltd., Osaka 37,000 173,649 Tose Co., Ltd. 6,100 55,698 *# Toshiba Ceramics Co., Ltd. 350,000 917,184 # Toshiba Machine Co., Ltd. 294,000 883,181 # Toshiba Plant Kensetsu Co., Ltd. 101,000 272,973 # Toshiba Tungaloy Co., Ltd. 124,000 545,727 Tosho Printing Co., Ltd. 81,000 227,054 Totenko Co., Ltd. 35,000 67,750 Totetsu Kogyo Co., Ltd. 53,000 147,599 * Totoku Electric Co., Ltd., Tokyo 62,000 75,292 Tottori Bank, Ltd. 127,000 463,842 Touei Housing Corp. 16,700 427,716 Towa Corp. 28,000 192,513 Towa Meccs Corp. 75,000 63,002 *# Towa Real Estate Development Co., Ltd. 80,000 130,752 Toyo Bussan Co., Ltd. 17,600 133,382 *# Toyo Communication Equipment Co., Ltd. 79,000 331,090 *# Toyo Construction Co., Ltd. 290,000 193,298 # Toyo Corp. 43,100 444,302 # Toyo Electric Co., Ltd. 67,000 210,446 # Toyo Engineering Corp. 473,000 859,450 * Toyo Kanetsu KK 172,000 202,593 Toyo Kohan Co., Ltd. 125,000 345,827 # Toyo Radiator Co., Ltd. 104,000 371,293 * Toyo Securities Co., Ltd. 113,000 300,247 * Toyo Shutter Co., Ltd. 77,000 70,307 * Toyo Sugar Refining Co., Ltd. 60,000 63,550 Toyo Tire & Rubber Co., Ltd. 307,000 616,691 Toyo Wharf & Warehouse Co., Ltd. 118,000 179,931 * Trans Cosmos, Inc. 5,000 118,243 # Trusco Nakayama Corp. 36,000 426,662 Tsubaki Nakashima Co., Ltd. 56,000 614,609 Tsubakimoto Kogyo Co., Ltd. 44,000 72,316 Tsudakoma Corp. 101,000 275,740 * Tsugami Corp. 124,000 211,724 * Tsukamoto Co., Ltd. 44,000 51,826 Tsukishima Kikai Co., Ltd. 60,000 340,760 Tsurumi Manufacturing Co., Ltd. 35,000 178,643 # Tsutsumi Jewelry Co., Ltd. 24,800 591,015 # Tsutsunaka Plastic Industry Co., Ltd. 58,000 186,413 * Tsuzuki Denki Co., Ltd. 22,000 61,468 U-Shin, Ltd. 32,000 131,191 U.Store Co., Ltd. 27,000 219,412 Ube Material Industries, Ltd. 116,000 195,946 Uchida Yoko Co., Ltd. 72,000 266,253 Ueki Corp. 47,000 79,821 Unicafe, Inc. 5,460 74,881 Unimat Offisco Corp. 27,700 308,059 *# Unitika, Ltd. 699,000 644,622 * Utoc Corp. 68,000 85,683 Vital-Net, Inc. 56,300 381,434 Wakachiku Construction Co., Ltd. 161,000 170,526 # Wakamoto Pharmaceutical Co., Ltd. 48,000 127,977 Wakodo Co., Ltd. 2,000 58,802
224
SHARES VALUE+ ------ ------ # Warabeya Nichiyo Co., Ltd. 8,500 $ 116,417 * Watabe Wedding Corp. 4,900 49,125 # Watami Food Service Co., Ltd. 54,700 341,126 * Wondertable, Ltd. 8,000 9,934 Wood One Co., Ltd. 86,000 628,981 Xebio Co., Ltd. 12,000 239,956 * Yachiyo Musen Denki Co., Ltd. 9,000 41,499 Yahagi Construction Co., Ltd. 59,000 206,328 # Yaizu Suisankagaku Industry Co., Ltd. 14,000 104,821 Yamaichi Electronics Co., Ltd. 21,000 222,425 Yamamura Glass Co., Ltd. 155,000 254,748 * Yamatane Corp. 131,000 156,693 Yamato Corp. 36,000 127,210 Yamato International, Inc. 43,000 164,116 Yamato Kogyo Co., Ltd. 96,000 679,328 Yamaura Corp. 19,000 57,597 Yamazen Co., Ltd. 140,000 250,548 Yaoko Co., Ltd. 29,000 410,957 Yasuda Warehouse Co., Ltd. 27,000 96,393 Yellow Hat, Ltd., Tokyo 32,000 267,641 Yokogawa Bridge Corp. 55,400 213,972 Yokohama Reito Co., Ltd. 55,000 274,197 Yokowo Co., Ltd. 28,000 351,534 # Yomeishu Seizo Co., Ltd. 46,000 335,592 Yomiuri Land Co., Ltd. 157,000 496,001 Yondenko Corp. 50,800 199,916 # Yonekyu Corp. 41,500 386,884 Yonex Co., Ltd. 19,000 93,682 Yorozu Corp. 26,800 182,305 Yoshimoto Kogyo Co., Ltd. 60,000 441,563 # Yuasa Corp. 260,000 496,165 Yuasa Funashoku Co., Ltd. 33,000 60,866 *# Yuasa Trading Co., Ltd. 174,000 182,706 *# Yuken Kogyo Co., Ltd. 60,000 95,325 Yuki Gosei Kogyo Co., Ltd. 14,000 34,003 Yukiguni Maitake Co., Ltd. 26,000 124,635 Yuraku Real Estate Co., Ltd. 39,000 87,244 Yurtec Corp. 101,000 364,271 # Yushin Precision Equipment Co., Ltd. 15,000 365,687 Yushiro Chemical Industry Co., Ltd. 10,000 77,611 * Z-Plus Co., Ltd. 13,000 16,381 Zenrin Co., Ltd. 49,600 389,481 Zensho Co., Ltd. 17,000 283,126 # Zeria Pharmacetical Co., Ltd. 60,000 580,716 i-LOGISTICS Corp. 35,000 54,328 --------------- TOTAL COMMON STOCKS (Cost $408,723,841) 275,907,310 --------------- INVESTMENT IN CURRENCY -- (0.3%) * Japanese Yen (Cost $1,045,277) 1,046,719 --------------- FACE AMOUNT VALUE+ ------ ------ (000) RIGHTS/WARRANTS -- (0.0%) * BSL Corp. Rights 01/30/04 $ 3,950 $ 0 * Kanematsu Corp. Warrants 03/31/06 20,125 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 0 --------------- TOTAL -- JAPAN (Cost $409,769,118) 276,954,029 --------------- TEMPORARY CASH INVESTMENTS -- (22.6%) Repuchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $7,330,000 FHLB Notes 1.875%, 02/15/05, valued at $7,384,975) to be repurchased at $7,275,497 (Cost $7,275,000) 7,275 7,275,000 Repurchase agreements in a Pooled Cash Account, Mizuho Securities USA, 1.05%, 12/01/03 (Collateralized by $123,762,000 U.S. Treasury Obligations, rates ranging from 2.711% to 10.375%, maturities ranging from 08/15/05 tp 02/15/29, valued at $73,726,806) to be repurchased at $73,733,257 (Cost $73,726,806)@ 73,727 73,726,806 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $81,001,806) 81,001,806 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $490,770,924)++ $ 357,955,835 ===============
---------- + See Note B to Financial Statements. @ Security purchased with cash proceeds from securities on loan * Non-Income Producing Securities # Total or Partial Securities on Loan ++ The cost for federal income tax purposes is $493,603,890 See accompanying Notes to Financial Statements. 225 THE PACIFIC RIM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ AUSTRALIA -- (28.0%) COMMON STOCKS -- (28.0%) * A.I., Ltd. 129,195 $ 14,023 A.P. Eagers, Ltd. 25,283 118,916 * AAV, Ltd. 50,200 57,393 ABC Learning Centres, Ltd. 133,000 324,325 ADCorp Australia, Ltd. 116,497 85,140 AJ Lucas Group, Ltd. 35,900 57,150 APN News & Media, Ltd. 1 3 ARB Corporation, Ltd. 116,670 280,282 * AV Jennings Homes, Ltd. 170,028 227,610 Abigroup, Ltd. 73,710 211,746 * Adsteam Marine, Ltd. 342,628 414,035 Adtrans Group, Ltd. 29,000 77,642 * Agenix, Ltd. 149,379 76,744 Alesco Corp., Ltd. 86,411 368,909 Altium 162,100 63,340 Amalgamated Holdings, Ltd. 195,483 459,717 * Amity Oil NL 222,481 157,767 * Amrad Corp., Ltd. 135,523 64,722 * Anateus Energy, Ltd. 193,687 13,034 * Arc Energy NL 129,400 86,143 Ariadne Australia, Ltd. 270,353 73,360 Aspen Group, Ltd. 15,795 1,714 Atlas Pacific, Ltd. 82,585 13,147 * AuIron Energy, Ltd. 260,290 11,677 Ausdrill, Ltd. 115,992 62,109 Ausmelt, Ltd. 36,118 24,306 Auspine, Ltd. 42,618 95,599 * Austal, Ltd. 356,800 227,199 * Austar United Communications, Ltd. 730,792 200,944 * Austral Coal, Ltd. 285,300 146,574 Australian Agricultural Co., Ltd. 155,000 128,982 *# Australian Magnesium Corp., Ltd. 332,383 18,519 # Australian Pharmaceutical Industries, Ltd. 287,700 566,248 * Australian Worldwide Exploration, Ltd. 308,100 254,153 * Auto Group, Ltd. 41,309 18,533 *# Autron Corporation, Ltd. 989,247 218,325 Bank of Queensland, Ltd. 506 3,442 Beach Petroleum NL 1,814,501 446,410 * Beaconsfield Gold NL 89,078 13,214 * Bendigo Mining NL 1,712,123 253,973 * Beyond International, Ltd. 61,256 14,184 * Biota Holdings, Ltd. 97,808 35,387 Blackmores, Ltd. 27,894 160,060 Brazin, Ltd. 98,875 100,164 Bridgestone Australia, Ltd. 49,000 89,350 Burswood, Ltd. 784,148 658,195 CMI, Ltd. 32,784 47,919 * CPI Group, Ltd. 68,585 46,650 Cabcharge Austalia, Ltd. 196,800 441,454 Campbell Brothers, Ltd. 86,099 376,299 * Cape Range Wireless, Ltd. 619,912 18,391 Capral Aluminium, Ltd. 28,943 50,682 Casinos Austria International, Ltd. 258,299 130,834 Cedar Woods Properties, Ltd. 50,913 51,577 * Cellestis, Ltd. 37,209 $ 38,502 Cellnet Telecommunications Group, Ltd. 91,100 63,283 * Centamin Egypt, Ltd. 996,437 230,727 # Centennial Coal, Ltd. 447,647 800,075 Central Equity, Ltd. 129,405 180,720 * Charter Pacific Corp., Ltd. 72,823 24,240 * Charters Towers Gold Mines, Ltd. 258,700 42,119 *# Chemeq, Ltd. 120,000 465,419 * Chiquita Brands South Pacific, Ltd. 113,500 72,273 * Circadian Technologies, Ltd. 40,370 55,502 Citect Corp., Ltd. 109,822 103,307 Clough, Ltd. 817,737 420,117 # Coates Hire, Ltd. 472,004 976,810 # Collection House, Ltd. 176,200 214,197 Colorado Group, Ltd. 135,243 351,324 Commander Communications, Ltd. 106,600 84,849 Consolidated Minerals, Ltd. 251,658 172,995 * Coplex Resources NL 231,400 15,070 * Count Financial, Ltd. 171,200 91,671 Coventry Group, Ltd. 58,612 235,384 Crane Group, Ltd. 83,106 541,219 Croesus Mining NL 798,235 392,770 Danks Holdings, Ltd. 10,425 86,072 Devine, Ltd. 168,183 76,669 * Dominion Mining, Ltd. 168,015 80,240 * Emporer Mines, Ltd. 120,600 63,704 * Energy Developments, Ltd. 164,549 301,241 * Energy World Corp., Ltd. 325,630 6,598 * Environmental Solutions International, Ltd. 67,364 12,795 Equigold NL 225,700 251,507 Evans & Tate, Ltd. 62,500 54,270 FKP, Ltd. 142,602 242,489 Fantastic Holdings, Ltd. 133,100 359,240 Fleetwood Corp., Ltd. 47,464 191,645 * Forest Place Group, Ltd. 85,192 29,898 Freedom Group, Ltd. 201,879 306,767 * Funtastic, Ltd. 94,900 140,773 GRD NL 379,594 521,881 GUD Holdings, Ltd. 114,428 509,220 * Gale Pacific, Ltd. 34,400 61,483 Gazal Corp., Ltd. 71,177 133,909 * Geo2, Ltd. 2,526 356 * Globe International, Ltd. 327,400 111,346 * Gold Aura 2,635 343 * Golden West Refining Corp., Ltd. 17,330 4,514 * Goldstream Mining NL 90,901 35,519 Gowing Bros., Ltd. 58,624 104,354 * Gradipore, Ltd. 86,855 28,910 # Graincorp, Ltd. Series A 78,059 781,166 # Grand Hotel Group 383,087 182,953 # Great Southern Plantations, Ltd. 366,530 403,136 Green's Foods, Ltd. 66,082 45,426 * Gympie Gold, Ltd. 302,445 109,425 * HPAL, Ltd. 88,900 91,346 * Hamilton Island, Ltd. 52,600 126,364 Hancock and Gore, Ltd. 66,108 81,321
226
SHARES VALUE+ ------ ------ *# Hardman Resources NL 717,859 $ 363,610 * Health Communication Network, Ltd. 106,000 84,372 Healthscope, Ltd. 131,852 287,178 * Henry Walker Eltin Group, Ltd. 287,948 191,690 * Herald Resources, Ltd. 69,910 35,411 Hills Industries, Ltd. 263,845 714,034 * Horizon Oil NL 752,832 49,027 Housewares International, Ltd. 280,209 527,174 * Hutchison Telecommunications (Australia), Ltd. 1,065,400 215,858 IInet, Ltd. 65,200 155,690 ION, Ltd. 342,085 566,849 Infomedia, Ltd. 598,900 368,359 Institute of Drug Technology Australia, Ltd. 44,372 61,004 * Integrated Group, Ltd. 55,000 61,687 * Intellect Holdings, Ltd. 403,028 137,066 Investor Group, Ltd. 48,637 95,023 * Iress Market Technology, Ltd. 81,000 147,115 * Ixla, Ltd. 89,921 1,497 * JDV, Ltd. 84,981 33,821 # Jones (David), Ltd. 658,594 657,650 Jubilee Mines NL 224,549 653,184 K&S Corp., Ltd. 86,000 151,218 * Kagara Zinc, Ltd. 120,700 89,959 Kaz Group, Ltd. 1,315,977 233,299 * Keycorp, Ltd. 67,609 60,663 * Kimberley Diamond Co. NL 182,966 129,746 Kingsgate Consolidated NL 132,456 397,757 Kresta Holdings, Ltd. 56,700 24,617 Lemarne Corp., Ltd. 20,790 34,600 * LionOre Mining International, Ltd. 25,842 140,250 MYOB, Ltd. 470,141 340,194 MacArthur Coal, Ltd. 101,500 85,931 * MacMahon Holdings, Ltd. 192,179 42,413 Magellan Petroleum Australia, Ltd. 32,760 30,817 * Magnesium International, Ltd. 656,061 29,908 Maryborough Sugar Factory, Ltd. 600 2,605 * Matrix Oil NL 557,000 17,734 MaxiTRANS Industries, Ltd. 157,528 90,050 # McGuigan Simeon Wines, Ltd. 253,183 881,207 McPherson's, Ltd. 67,828 200,738 * Metabolic Pharmaceuticals, Ltd. 700,000 476,128 * Metal Storm, Ltd. 406,669 144,190 Mia Group, Ltd. 237,000 114,900 Miller's Retail, Ltd. 462,814 602,806 * Mincor Resources NL 73,400 39,834 Monadelphous Group, Ltd. 18,988 64,577 * Mosaic Oil NL 387,324 60,257 Namoi Cotton Cooperative, Ltd. 142,585 38,175 National Can Industries, Ltd. 97,017 98,984 * Norwood Abbey, Ltd. 99,000 95,993 * Novogen, Ltd. 176,419 920,405 * Novus Petroleum, Ltd. 288,634 261,069 * Oakton, Ltd. 62,800 54,530 # Oamps, Ltd. 173,075 403,263 *# Orbital Engine Corp., Ltd. 537,358 64,157 OrotonGroup, Ltd. 38,427 174,342 * PMP, Ltd. 455,871 395,842 Pacific Hydro, Ltd. 370,312 798,514 * Pan Pacific Petroleum NL 327,800 22,296 Pan Pharmaceuticals, Ltd. 322,766 $ 280,264 * Payce Consolidated, Ltd. 18,000 26,050 *# Peptech, Ltd. 281,015 325,348 * Perilya Mines NL 263,500 202,109 * Perseverance Corp., Ltd. 199,493 48,358 * Petsec Energy, Ltd. 97,992 61,689 * Plantcorp NL 4,329 0 Plaspak Group, Ltd. 97,158 64,679 *# Polartechnics, Ltd. 43,405 25,754 * Port Douglas Reef Resorts, Ltd. 251,655 19,120 Portman, Ltd. 343,890 373,258 * PowerTel, Ltd. Series B 4,416,871 118,254 * Precious Metals Australia, Ltd. 10,606 560 * Preston Resources NL 64,000 12,504 Primary Health Care, Ltd. 190,663 689,818 Prime Television, Ltd. 172,440 305,705 * Primelife Corp., Ltd. 85,867 170,245 * Progen Industries, Ltd. 24,788 27,622 Programmed Maintenance Service, Ltd. 119,230 224,314 Queensland Cotton Holdings, Ltd. 39,866 92,599 * Quiktrak Networks P.L.C Entitlement Shares 23,875 0 * Quiktrak Networks, Ltd. 740,124 2,678 * RG Capital Radio, Ltd. 45,370 91,923 Ramsay Health Care, Ltd. 177,900 565,117 * Raptis Group, Ltd. 12,000 2,996 Rebel Sport, Ltd. 88,284 201,229 Reece Australia, Ltd. 159,501 865,611 * Reinsurance Australia Corp., Ltd. 399,993 118,668 *# Resolute Mining, Ltd. 287,264 286,852 Ridley Corp., Ltd. 582,631 493,262 * Roc Oil Co., Ltd. 170,700 176,631 Rock Building Society, Ltd. 11,373 27,322 * SDI, Ltd. 18,432 145,378 * SP Telecommunications, Ltd. 136,396 136,201 SPC Ardmona, Ltd. 337,984 349,728 STW Communications Group, Ltd. 231,843 536,837 Schaffer Corp., Ltd. 33,766 345,728 Select Harvests, Ltd. 44,886 180,261 * Senetas Corp., Ltd. 240,406 11,829 Servcorp, Ltd. 156,000 188,512 * Silex System, Ltd. 235,100 151,405 Skilled Engineering, Ltd. 144,962 251,747 * Solution 6 Holdings, Ltd. 402,138 186,232 Southern Cross Broadcasting (Australia), Ltd. 149,270 1,177,327 *# Southern Pacific Petroleum NL 698,740 118,818 Southern Star Group, Ltd. 187,907 99,258 * St. Barbara Mines, Ltd. 375,500 20,107 Star Games, Ltd. 132,410 129,346 * Straits Resources, Ltd. 56,534 40,499 * Strategic Minerals Corp. NL 358,100 85,510 * Striker Resources NL 435,484 17,646 Sunland Group, Ltd. 75,095 59,773 Sydney Aquarium, Ltd. 49,135 170,659 * Sydney Gas, Ltd. 153,800 91,257 Symex Holdings, Ltd. 163,000 141,536 Tandou, Ltd. 3,410 3,578 * Tap Oil, Ltd. 193,100 202,604 Technology One, Ltd. 587,800 208,413
227
SHARES VALUE+ ------ ------ # Tempo Service, Ltd. 184,359 $ 192,099 Thakral Holdings Group 948,383 432,337 The Gribbles Group, Ltd. 780,300 299,251 Ticor, Ltd. 455,148 461,083 # Timbercorp, Ltd. 250,258 201,006 * Titan Resources NL 50,000 15,196 * Tooth & Co., Ltd. 153,000 19,374 Transfield Services, Ltd. 238,000 766,364 Triako Resources, Ltd. 5,400 6,682 Troy Resources NL 72,048 93,841 Trust Company of Australia, Ltd. 23,774 129,021 UXC, Ltd. 181,293 102,323 United Group, Ltd. 138,399 395,575 * VeCommerce, Ltd. 13,680 9,404 * Ventracor, Ltd. 256,924 362,525 * Victoria Petroleum NL 463,964 5,036 Villa World, Ltd. 134,700 120,861 *# Village Roadshow, Ltd. 436,313 584,074 * Virotec International NL 142,891 51,698 Vision Systems, Ltd. 268,273 190,240 Volante Group, Ltd. 125,700 109,148 Waterco, Ltd. 22,304 38,250 Watpac, Ltd. 129,518 53,420 Wattyl, Ltd. 131,342 365,900 * Webster, Ltd. 33,551 16,023 * Western Metals, Ltd. 385,787 6,002 Wide Bay Capricorn Building Society, Ltd. 26,958 132,646 * Yates, Ltd. 60,281 2,574 --------------- TOTAL COMMON STOCKS (Cost $41,066,672) 48,601,616 --------------- PREFERRED STOCKS -- (0.0%) * Village Roadshow, Ltd. 2% Class A (Cost $59,969) 55,477 44,559 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Australian Dollar (Cost $30,010) 31,136 --------------- RIGHTS/WARRANTS -- (0.0%) * Amity Oil, Ltd. Options 09/04/04 1 0 * Axon Instruments, Inc. Options Open Pay Date 16,148 0 * Geo2, Ltd. Rights 1,684 0 * Metal Storm, Ltd. Options 09/06/04 1 0 * Progen Industries, Ltd. Options 3,098 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $98) 0 --------------- TOTAL -- AUSTRALIA (Cost $41,156,749) 48,677,311 --------------- SINGAPORE -- (26.1%) COMMON STOCKS -- (26.0%) ASA Group Holdings, Ltd. 586,000 103,676 * Acma, Ltd. 3,040,700 167,564 * Airocean Group, Ltd. 1,017,000 162,232 * Alliance Technology & Development, Ltd. 156,000 9,502 # Amtek Engineering, Ltd. 597,625 537,333 Apollo Enterprises, Ltd. 193,000 59,056 Armstrong Industrial Corp. 1,460,000 $ 122,801 Ascott Group, Ltd. 1,807,250 440,302 * Aussino Group, Ltd. 38,000 12,124 Benjamin (F.J.) Holdings, Ltd. 1,095,000 161,971 # Beyonics Technology, Ltd. 3,272,600 541,029 Blu Inc. Group, Ltd. 729,000 109,947 Bonvests Holdings, Ltd. 825,000 220,138 Brilliant Manufacturing, Ltd. 829,000 319,786 Bukit Sembawang Estates, Ltd. 71,334 595,857 * CK Tang, Ltd. 614,000 140,685 # CSE Global, Ltd. 984,000 373,869 CWT Distribution, Ltd. 461,500 145,899 Central Properties, Ltd. 66,000 750,383 Ch Offshore, Ltd. 823,200 174,293 Chemical Industries (Far East), Ltd. 105,910 64,507 * China Merchants Holdings Pacific, Ltd. 479,000 144,485 Chip Eng Seng Corp., Ltd. 1,775,000 169,889 Chosen Holdings, Ltd. 829,000 137,051 Chuan Hup Holdings, Ltd. 4,116,000 1,134,101 Chuan Soon Huat Industrial Group, Ltd. 614,000 108,630 Clipsal Industries Holdings, Ltd. 351,542 458,820 * Compact Metal Industries, Ltd. 643,000 24,244 Cosco Corp. Singapore, Ltd. 2,783,000 960,535 Courts Singapore, Ltd. 495,000 157,925 # ECS Holdings, Ltd. 1,375,000 315,052 * Eagle Brand Holdings, Ltd. 3,390,000 226,142 # Eastern Asia Technology, Ltd. 1,368,600 389,005 * Eastgate Technology, Ltd. 870,000 105,979 * Econ International, Ltd. 2,267,000 59,176 Eng Wah Organisation, Ltd. 265,000 35,355 * Freight Links Express Holdings, Ltd. 1,648,000 95,596 Frontline Technologies Corp., Ltd. 1,974,000 188,936 # Fu Yu Manufacturing, Ltd. 1,291,000 531,701 Fuji Offset Plates Manufacturing, Ltd. 33,750 7,244 GB Holdings, Ltd. 200,000 75,990 GK Goh Holdings, Ltd. 1,120,000 581,465 GP Industries, Ltd. 1,132,000 584,412 # Ges International, Ltd. 2,077,000 765,056 * Goodpack, Ltd. 587,000 275,807 # Guocoland, Ltd. 1,215,000 789,364 HTL International Holdings, Ltd. 1,177,500 659,130 Ho Bee Investment, Ltd. 761,000 110,359 Hong Fok Corp., Ltd. 1,796,000 302,125 Hong Leong Asia, Ltd. 1,048,000 1,124,646 * Horizon Education & Technologies, Ltd. 988,000 134,681 Hotel Grand Central, Ltd. 875,280 192,936 Hotel Plaza, Ltd. 1,189,000 368,993 # Hotel Properties, Ltd. 1,393,000 832,283 Hour Glass, Ltd. 298,000 91,617 Huan Hsin Holdings, Ltd. 964,400 643,336 Hup Seng Huat, Ltd. 900,200 88,771 Hwa Hong Corp., Ltd. 2,488,000 837,069 # IDT Holdings, Ltd. 514,000 596,315 * Inno-Pacific Holdings, Ltd. 680,000 17,750 Innovalues Precision, LTd. 165,000 172,282 International Factors (Singapore), Ltd. 290,000 73,176 * Internet Technology Group, Ltd. 874,408 40,578 * Interra Resources, Ltd. 185,430 26,353
228
SHARES VALUE+ ------ ------ * Intraco, Ltd. 292,500 $ 87,381 Isetan (Singapore), Ltd. 122,500 225,257 JK Yaming International, Ltd. 509,000 103,340 # Jaya Holdings, Ltd. 2,733,000 1,284,126 Jurong Cement, Ltd. 132,500 60,335 Jurong Engineering, Ltd. 112,000 184,510 # Jurong Technologies Industrial Corp., Ltd. 1,133,000 736,090 * K1 Ventures, Ltd. 4,012,500 512,060 Keppel Telecommunications and Transportation, Ltd. 1,571,000 770,044 Khong Guan Flour Milling, Ltd. 19,000 18,736 Kian Ann Engineering, Ltd. 868,000 118,323 Kim Eng Holdings, Ltd. 2,281,200 1,376,194 Koh Brothers, Ltd. 1,494,000 112,662 * L & M Group Investments, Ltd. 7,107,100 61,840 Labroy Marine, Ltd. 2,943,000 904,793 * Lantrovision (S), Ltd. 745,000 159,897 Lee Kim Tah Holdings, Ltd. 1,265,000 172,441 * Leong Hin Holdings, Ltd. 526,000 36,614 * Liang Huat Aluminum, Ltd. 1,477,000 68,541 * Lion Asiapac, Ltd. 129,000 12,347 Low Keng Huat Singapore, Ltd. 372,000 85,236 * Lum Chang Holdings, Ltd. 1,134,030 197,346 * MCL Land, Ltd. 99,000 76,953 # MMI Holdings, Ltd. 1,453,000 324,496 * Magnecomp International, Ltd. 583,000 300,983 * Manufacturing Integration Technology, Ltd. 588,000 95,503 * Mediaring.Com, Ltd. 2,094,000 139,687 Metro Holdings, Ltd. 2,256,960 929,534 Multi-Chem, Ltd. 957,000 149,885 Nera Telecommunications, Ltd. 1,159,000 366,406 New Toyo Intenational Holdings, Ltd. 540,000 209,870 *# Norelco Centreline Holdings, Ltd. 586,000 424,904 * Orchard Parade Holdings, Ltd. 1,084,022 257,813 # Osim International, Ltd. 930,000 582,626 Ossia International, Ltd. 708,000 82,138 PCI, Ltd. 734,000 253,335 # PSC Corp., Ltd. 4,088,000 296,417 Pan-United Corp., Ltd. 1,624,000 579,354 * Pentex-Schweizer Circuits, Ltd. 916,000 140,807 Pertama Holdings, Ltd. 459,750 78,673 Popular Holdings, Ltd. 1,129,000 294,706 * Qian Hu Corp., Ltd. 266,000 115,725 Robinson & Co., Ltd. 284,832 1,239,176 Rotary Engineering, Ltd. 1,231,000 385,598 SBS Transit, Ltd. 857,000 621,404 SMB United, Ltd. 1,254,000 167,305 SNP Corp., Ltd. 288,995 219,606 * SP Corp., Ltd. 454,000 23,702 San Teh, Ltd. 838,406 221,283 Sea View Hotel, Ltd. 66,000 344,564 * Seatown Corp., Ltd. 101,000 1,758 * Sembawang Kimtrans, Ltd. 1,295,000 146,483 * Sin Soon Huat, Ltd. 1,307,000 68,234 Sing Investments & Finance, Ltd. 94,500 82,774 # Singapore Food Industries, Ltd. 1,446,000 620,702 Singapore Reinsurance Corp., Ltd. 1,540,935 223,464 Singapura Finance, Ltd. 139,250 107,431 * Singatronics, Ltd. 748,000 151,863 Ssangyong Cement (Singapore), Ltd. 236,000 161,539 Stamford Land Corp., Ltd. 3,229,000 $ 458,899 Straits Trading Co., Ltd. 1,117,200 1,172,985 * Sunright, Ltd. 378,000 130,464 Superbowl Holdings, Ltd. 490,000 57,558 Superior Metal Printing, Ltd. 490,500 73,977 * TSM Resources, Ltd. 688,000 153,650 *# TT International, Ltd. 1,094,000 218,937 * Tiong Woon Corp. Holding, Ltd. 652,000 198,559 * Transmarco, Ltd. 106,500 60,233 * Trek 2000 International, Ltd. 622,000 198,443 * Tuan Sing Holdings, Ltd. 3,362,000 214,523 UOB-Kay Hian Holdings, Ltd. 1,602,000 873,521 * Ultro Technologies, Ltd. 530,000 61,488 # Unisteel Technology, Ltd. 898,000 656,341 United Engineers, Ltd. 632,666 590,858 United Overseas Insurance, Ltd. 125,500 235,869 United Pulp & Paper Co., Ltd. 354,000 80,085 Vicom, Ltd. 120,000 60,212 WBL Corp., Ltd. 510,000 875,679 Wing Tai Holdings, Ltd. 2,332,000 1,068,657 * Xpress Holdings, Ltd. 1,392,000 64,597 * Yongnam Holdi 1,004,000 23,296 --------------- TOTAL COMMON STOCKS (Cost $48,644,710) 45,150,959 --------------- INVESTMENT IN CURRENCY -- (0.1%) * Singapore Dollars (Cost $248,027) 247,996 --------------- RIGHTS/WARRANTS -- (0.0%) * Acma, Ltd. Warrants 11/16/04 (Cost $0) 236,300 1,371 --------------- TOTAL -- SINGAPORE (Cost $48,892,737) 45,400,326 --------------- HONG KONG -- (25.2%) COMMON STOCKS -- (25.2%) ABC Communications (Holdings), Ltd. 930,000 35,924 ALCO Holdings, Ltd. 602,000 220,916 * APT Satellite Holdings, Ltd. 354,000 107,116 Aeon Credit Service (Asia) Co., Ltd. 522,000 312,542 * Allied Group, Ltd. 5,592,000 381,618 * Allied Properties, Ltd. 802,600 284,195 * Anex International Holdings, Ltd. 152,000 2,114 * Applied China, Ltd. 1,036,250 18,547 * Applied International Holdings, Ltd. 1,243,000 19,526 Arts Optical International Holdings, Ltd. 468,000 146,131 Asia Aluminum Holdings, Ltd. 2,460,000 478,297 * Asia Commercial Holdings, Ltd. 72,800 1,781 Asia Financial Holdings, Ltd. 1,976,908 442,916 * Asia Logistics Technologies, Ltd. 2,214,000 12,828 * Asia Standard International Group, Ltd. 5,136,000 195,089 * Asia Tele-Net & Technology Corp., Ltd. 10,420,000 18,784 Associated International Hotels, Ltd. 898,000 757,361 * Automated Systems Holdings, Ltd. 234,000 49,112 * Baltrans Holdings, Ltd. 376,000 145,243 * Beijing Development (Hong Kong), Ltd. 166,000 24,367
229
SHARES VALUE+ ------ ------ * Bossini International Holdings, Ltd. 228,750 $ 9,720 Bright International Group, Ltd. 302,000 42,774 CCT Telecom Holdings, Ltd. 472,970 53,592 * CEC International Holdings, Ltd. 210,000 4,732 * CNT Group, Ltd. 3,078,000 72,528 * COSCO International Holdings, Ltd. 2,573,600 188,887 * Capital Prosper, Ltd. 480,000 4,635 * Capital Strategic Investment, Ltd. 122,000 2,136 * Cash Financial Services Group, Ltd. 13,509 774 * Casil Telecommunications Holdings, Ltd. 428,000 21,217 * Catic International Holdings, Ltd. 3,290,000 96,163 * Celestial Asia Securities Holdings, Ltd. 128,036 8,243 * Central China Enterprises, Ltd. 2,104,000 5,418 # Champion Technology Holdings, Ltd. 987,386 212,319 Chen Hsong Holdings, Ltd. 1,515,000 970,490 * Cheuk Nang (Holdings), Ltd. 112,501 19,266 * Cheung Tai Hong Holdings, Ltd. 100,920 3,249 * Chevalier Construction Holdings, Ltd. 131,203 4,055 Chevalier International Holdings, Ltd. 431,143 219,282 * Chevalier Itech Holdings, Ltd. 355,250 39,338 *# China Aerospace International Holdings, Ltd. 2,430,000 175,218 * China Bio-Medical Group Limited 415,000 4,970 * China City Natural Gas Holdings, Ltd. 5,800,000 31,366 * China Digicontent Co., Ltd. 2,710,000 3,489 * China Everbright International, Ltd. 3,185,000 127,132 * China Everbright Technology, Ltd. 3,244,000 131,576 * China Gas Holdings, Ltd. 1,514,000 157,905 China Hong-Kong Photo Products Holdings, Ltd. 1,909,000 125,361 * China Investments Holdings, Ltd. 210,000 4,543 * China Motion Telecom International, Ltd. 257,000 21,840 China Motor Bus Co., Ltd. 74,000 466,888 * China Nan Feng Group, Ltd. 96,000 136 China Online (Bermuda), Ltd. 423,200 55,037 China Rare Earth Holdings, Ltd. 700,000 101,850 # China Resources Land, Ltd. 1,878,000 261,159 China Resources Logic, Ltd. 3,272,000 341,259 * China Rich Holdings, Ltd. 3,380,000 31,335 * China Sci-Tech Holdings, Ltd. 2,786,000 5,740 * China Star Entertainment, Ltd. 50,292 7,317 * China Strategic Holdings, Ltd. 376,000 8,182 Chinney Investments, Ltd. 1,144,000 61,867 Chow Sang Sang Holdings International, Ltd. 721,400 218,288 Chuangs China Investments, Ltd. 1,347,000 57,236 * Chuang's Consortium International, Ltd. 1,858,884 76,593 Chun Wo Holdings, Ltd. 1,671,917 92,570 * Chung Tai Printing Holdings, Ltd. 268,000 48,656 City e Solutions, Ltd. 186,000 22,034 *# City Telecom (H.K.), Ltd. 754,000 308,248 * Climax International Co., Ltd. 296,000 991 * Coastal Greenland, Ltd. 300,000 6,335 * Compass Pacific Holdings, Ltd. 624,000 14,462 * Computer & Technologies Holdings, Ltd. 220,000 51,273 Continental Holdings, Ltd. 98,825 8,907 * Continental Mariner Investment Co., Ltd. 1,328,000 $ 196,644 # Coslight Technology International Group, Ltd. 466,000 217,510 * Cosmos Machinery Enterprises, Ltd. 1,024,000 48,785 * Crocodile Garments, Ltd. 1,539,000 59,449 Cross Harbour Tunnel Co., Ltd. 377,148 194,248 * Culturecom Holdings, Ltd. 3,767,000 133,387 * DVN Holdings, Ltd. 292,490 31,259 * Dan Form Holdings Co., Ltd. 2,386,600 61,460 Daqing Petroleum & Chemical Group, Ltd. 735,000 59,623 Dickson Concepts International, Ltd. 320,000 193,657 # Digital China Holdings, Ltd. 639,000 228,323 * Dynamic Global Holdings, Ltd. 1,446,000 17,129 Dynamic Holdings, Ltd. 244,000 38,330 * Easyknit International Holdings, Ltd. 282,860 3,861 * Eforce Holdings, Ltd. 2,620,000 126,508 Egana Jewelry and Pearls 331,789 102,532 # Eganagoldfeil Holdings Ltd. 2,017,235 410,392 Elec & Eltek International Holdings, Ltd. 3,078,790 606,536 * Emperor International Holdings, Ltd. 64,436 19,912 * Extrawell Pharmaceutical Holdings, Ltd. 3,220,000 102,409 * Ezcom Holdings, Ltd. 72,576 3,224 * Fairwood Holdings, Ltd. 42,600 6,802 Far East Consortium International, Ltd. 1,672,000 215,289 * Far East Hotels & Entertainment, Ltd. 1,853,000 81,122 Far East Pharmaceutical Technology Co., Ltd. 2,560,000 303,259 First Sign International Holdings, Ltd. 1,050,000 51,376 * Forefront International Holdings, Ltd. 658,000 201,222 * Foundation Group, Ltd. 83,800 2,913 * Founder Holdings, Ltd. 1,374,000 150,380 Four Seas Frozen Food Holdings, Ltd. 347,184 40,680 Four Seas Mercantile Holdings, Ltd. 592,000 207,718 * Fujian Group, Ltd. 2,378,000 25,108 * Fushan Holdings, Ltd. 2,566,000 89,208 GZI Transport, Ltd. 850,000 257,201 * GeoMaxima Energy Holdings, Ltd. 5,810,000 115,208 Global China Group Holdings, Ltd. 2,288,000 185,602 Global Green Tech Group, Ltd. 1,012,000 174,611 *# Global Tech (Holdings), Ltd. 5,612,000 67,925 Glorious Sun Enterprises, Ltd. 1,066,000 377,464 Gold Peak Industries (Holdings), Ltd. 1,059,250 330,747 * Goldbond Group Holdings, Ltd. New 99,900 2,573 Golden Resources Development International, Ltd. 1,456,500 65,639 * Gold-Face Holdings, Ltd. 2,003,600 139,312 Goldlion Holdings, Ltd. 1,438,000 120,353 Golik Holdings, Ltd. 930,500 73,086 Good Fellow Group, Ltd. 3,488,000 190,876 * Gorient Holdings, Ltd. 73,700 209 * Great Wall Cybertech, Ltd. 15,795,170 20,338 Group Sense (International), Ltd. 2,062,000 297,366 Guangdong Brewery Holdings, Ltd. 1,742,000 430,660 * Guangnan Holdings, Ltd. 11,246,000 241,824 * HKR International, Ltd. 1,884,860 600,675 * Hang Fung Gold Technology, Ltd. 458,000 80,203 Hang Ten Group Holdings, Ltd. 585,039 1,281
230
SHARES VALUE+ ------ ------ Hanny Holdings, Ltd. 136,658 $ 34,313 * Hansom Eastern Holdings, Ltd. 3,473,235 36,225 Harbour Centre Development, Ltd. 517,000 532,557 Henderson China Holdings, Ltd. 815,000 396,150 * Heng Fung Holdings, Ltd. 42,000 34,611 High Fashion International, Ltd. 268,000 39,684 * Hon Kwok Land Investment Co., Ltd. 572,535 94,362 Hong Kong Catering Management, Ltd. 512,000 48,785 * Hong Kong Construction Holdings, Ltd. 970,000 61,200 Hong Kong Ferry (Holdings) Co., Ltd. 671,300 674,212 * Hong Kong Parkview Group, Ltd. 1,130,000 72,750 * Hong Kong Pharmaceuticals Holdings, Ltd. 1,834,000 86,194 Hongkong Chinese, Ltd. 1,682,000 223,074 * Hop Hing Holdings, Ltd. 660,265 29,756 Hopson Development Holdings, Ltd. 936,000 154,266 * Hsin Chong Construction Group, Ltd. 1,569,658 66,697 * Hualing Holdings, Ltd. 1,344,000 59,704 * Hudson Holdings, Ltd. 256,000 4,615 * Hycomm Wireless, Ltd. 1,383,000 15,849 * I-China Holdings, Ltd. 854,000 3,409 IDT International, Ltd. 4,028,486 606,894 * IMI Global Holdings, Ltd. 91,600 20,758 * ITC Corp., Ltd. 466,157 23,409 * Innomaxx Biotechnology Group, Ltd. 1,794,000 102,794 * Interchina Holdings Co., Ltd. 2,640,000 186,961 * Inworld Group, Ltd. 2,036 12 K Wah International Holdings, Ltd. 3,009,831 430,180 K. Wah Construction Materials, Ltd. 2,404,949 185,799 * KPI Co., Ltd. 264,000 4,453 KTP Holdings, Ltd. 180,400 25,551 * Kader Holdings Co., Ltd. 545,600 11,662 Karrie International Holdings, Ltd. 488,000 152,376 Keck Seng Investments (Hong Kong), Ltd. 858,600 90,655 Kee-Shing Holdings Co., Ltd. 886,000 54,189 Kin Yat Hldgs 304,000 59,889 * King Fook Holdings, Ltd. 1,000,000 79,832 * King Pacific International Holdings, Ltd. 1,404,200 22,058 # Kingmaker Footwear Holdings, Ltd. 1,058,750 456,692 * Kong Sun Holdings, Ltd. 2,198,000 6,792 Kowloon Development Co., Ltd. 604,000 443,299 * Kwong Sang Hong International, Ltd. 1,434,000 77,550 Kwoon Chung Bus Holdings, Ltd. 556,000 84,478 * Lai Sun Development Co., Ltd. 2,970,000 42,449 * Lai Sun Garment (International), Ltd. 2,325,000 58,377 * Lam Soon (Hong Kong), Ltd. 302,310 104,127 * Le Saunda Holdings, Ltd. 236,000 7,020 * Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 2,974 * Leaptek, Ltd. 193,000 994 Lerado Group (Holding) Co., Ltd. 580,000 113,516 * LifeTec Group, Ltd. 1,383,000 16,561 * Lippo, Ltd. 1,074,760 164,681 Liu Chong Hing Investment, Ltd. 635,200 445,751 Luks Industrial Group, Ltd. 645,555 101,409 Lung Kee (Bermuda) Holdings, Ltd. 857,500 449,932 * Mae Holdings, Ltd. 2,220,000 5,431 * Magnificent Estates, Ltd. 2,368,000 13,721 * Magnum International Holdings, Ltd. 300,000 $ 3,283 Mainland Headwear Holdings, Ltd. 226,000 75,660 * Mansion House Group, Ltd. 600,000 23,177 * Matrix Holdings, Ltd. 402,000 96,277 * Mei Ah Entertainment Group, Ltd. 1,142,000 36,026 Melbourne Enterprises, Ltd. 45,500 176,931 Midland Realty (Holding), Ltd. 860,000 189,356 * Millennium Group, Ltd. 928,000 21,508 * Min Xin Holdings, Ltd. 753,200 116,380 * Morning Star Resources, Ltd. 1,845,000 15,917 Moulin International Holdings, Ltd. 699,274 549,240 Nanyang Holdings, Ltd. 137,500 123,933 * National Electronics Holdings, Ltd. 2,156,000 69,402 * New China Merchants Dichain 3,520,000 63,907 New Island Printing Holdings, Ltd. 176,000 14,957 * New World China Land, Ltd. 702,800 157,459 * New World Cyberbase, Ltd. 25,220 130 *# New World Infrastructure, Ltd. 1,065,400 181,081 * Newocean Green Energy Holdings, Ltd. 3,931,200 65,298 # Ngai Lik Industrial Holdings, Ltd. 1,556,000 651,146 * Onfem Holdings, Ltd. 1,266,000 81,506 Orient Power Holdings, Ltd. 360,000 50,989 * Oriental Metals Holdings Co., Ltd. 1,237,800 47,814 Oriental Watch Holdings, Ltd. 134,000 28,814 Pacific Andes International Holdings, Ltd. 888,000 160,076 Pacific Century Insurance Holdings, Ltd. 1,026,000 396,327 * Pacific Plywood Holdings, Ltd. 4,430,000 11,408 Paul Y. ITC Construction Holdings, Ltd. 520,000 48,208 Peace Mark Holdings, Ltd. 1,105,315 142,322 Pegasus International Holdings, Ltd. 226,000 31,719 Perfectech International Holdings, Ltd. 571,450 49,299 Pico Far East Holdings, Ltd. 1,190,000 62,056 Playmates Holdings, Ltd. 1,585,000 334,702 Pokfulam Development Co., Ltd. 234,000 61,767 * Poly Investments Holdings, Ltd. 2,670,000 56,726 Prime Success International Group, Ltd. 768,000 30,161 # Proview International Holdings, Ltd. 944,000 249,179 *# QPL International Holdings, Ltd. 1,191,000 467,732 Quality Healthcare Asia, Ltd. 1,338,000 38,591 * Rainbow International Holdings, Ltd. 2,036 20 Raymond Industrial, Ltd. 605,400 189,034 * Regal Hotels International Holdings, Ltd. 9,400,000 160,977 * Rexcapital International Holdings, Ltd. 1,272,905 27,863 * Riche Multi-Media Holdings, Ltd. 706,000 268,171 * Rivera Holdings, Ltd. 3,620,000 107,673 * Riverhill Holdings, Ltd. 2,036 28 Road King Infrastructure, Ltd. 449,000 323,757 Roadshow Holdings, Ltd. 1,456,000 194,975 S.A.S.Dragon Holdings, Ltd. 1,696,000 163,784 SA SA International Holdings, Ltd. 1,614,000 363,686 * SEEC Media Group, Ltd. 1,692,000 93,682 SNP Leefung Holdings, Ltd. 144,000 24,104 Safety Godown Co., Ltd. 408,000 147,097 Saint Honore Holdings, Ltd. 128,000 16,811 San Miguel Brewery Hong Kong, Ltd. 612,800 153,076 Sea Holdings, Ltd. 832,000 176,763
231
SHARES VALUE+ ------ ------ * Seapower Resources International, Ltd. 2,528,000 $ 8,789 Shanghai Allied Cement, Ltd. 356,080 25,217 * Shanghai Century Holdings, Ltd. 5,242,000 127,569 * Shanghai Land Holdings, Ltd. 1,464,000 65,035 Shanghai Real Estates, Ltd. 1,692,000 124,183 Shaw Brothers Hong Kong, Ltd. 237,000 262,441 Shell Electric Manufacturing (Holdings) Co., Ltd. 553,792 136,909 Shenyin Wanguo (Hong Kong), Ltd. 847,500 102,578 * Shenzhen International Holdings, Ltd. 6,187,500 258,931 Shougang Concord Century Holdings, Ltd. 1,292,000 187,986 * Shougang Concord Grand (Group), Ltd. 1,701,000 135,794 * Shougang Concord International Enterprises Co., Ltd. 4,166,000 219,932 * Shougang Concord Technology Holdings, Ltd. 1,647,914 227,041 * Shui On Construction & Materials, Ltd. 282,000 397,602 * Shun Ho Resources Holdings, Ltd. 483,000 14,864 * Shun Ho Technology Holdings, Ltd. 1,037,452 29,388 Silver Grant International Industries, Ltd. 2,087,000 228,416 * Sincere Co., Ltd. 505,500 18,550 Singamas Container Holdings, Ltd. 838,000 445,096 * Sinocan Holdings, Ltd. 350,000 1,758 * Sino-i Technology, Ltd. 19,383,158 509,143 Sinolink Worldwide Holdings, Ltd. 2,314,000 274,117 Sinopec Kantons Holdings, Ltd. 1,296,000 185,231 * Skynet (International Group) Holdings, Ltd. 244,240 314 * Softbank Investment International (Strategic), Ltd. 1,434,000 16,618 * Solartech New Shares 49,600 3,640 * South China Brokerage Co., Ltd. 4,872,000 28,230 * South China Industries, Ltd. 1,124,000 30,393 Southeast Asia Properties & Finance, Ltd. 263,538 39,363 Starlight International Holdings, Ltd. (New) 1,311,292 209,366 Starlite Holdings, Ltd. 336,000 35,909 * Stelux Holdings International, Ltd. 1,307,702 45,463 * Styland Holdings, Ltd. 101,808 328 Sun Hing Vision Group Holdings, Ltd. 206,000 78,911 Sun Hung Kai & Co., Ltd. 2,048,600 458,978 * Sun Innovation Holdings, Ltd. 1,420,360 2,926 * Sun Media Group Holdings, Ltd. 9,814,000 37,910 * Sunday Communications, Ltd. 4,441,000 174,408 # Sunway International Holdings, Ltd. 866,000 40,700 * Suwa International Holdings, Ltd. 1,062,000 42,391 * TCC International Holdings, Ltd. 678,000 104,760 * Tack Hsin Holdings, Ltd. 542,000 10,468 Tai Cheung Holdings, Ltd. 1,013,000 319,566 Tai Fook Securities Group, Ltd. 590,000 74,450 Tai Sang Land Development, Ltd. 471,984 120,331 Tak Sing Alliance Holdings, Ltd. 2,909,865 104,910 # Tan Chong International, Ltd. 666,000 124,345 * Termbray Industries International (Holdings), Ltd. 2,304,900 118,713 Tern Properties Co., Ltd. 61,200 12,214 * The Sun's Group, Ltd. 17,004,000 21,895 * Tian An China Investments Co., Ltd. 9,795,750 $ 237,127 Tian Teck Land, Ltd. 1,098,000 328,708 # Tianjin Development Holdings, Ltd. 846,000 400,325 * Titan (Holdings), Ltd. 4,900,000 201,898 * Tomorrow International Holdings, Ltd. New 165,000 20,821 # Top Form International, Ltd. 1,586,000 238,932 Tristate Holdings, Ltd. 138,000 32,873 Truly International Holdings, Ltd. 1,014,000 940,060 Tungtex (Holdings) Co., Ltd. 788,000 306,928 * Tysan Holdings, Ltd. 1,040,773 23,050 * U-Cyber Technology Holdings, Ltd. 432,800 10,644 U-Right International Holdings, Ltd. 896,000 48,455 USI Holdings, Ltd. 928,999 101,676 * United Power Investment, Ltd. 1,664,000 28,925 * Universal Holdings Ltd. 2,770,000 11,413 * Universe International Holdings, Ltd. 573,339 13,879 Van Shung Chong Holdings, Ltd. 359,335 84,209 * Vanda Systems & Communications Holdings, Ltd. 1,920,000 212,611 # Varitronix International, Ltd. 276,344 291,776 Veeko International Holdings, Ltd. 1,420,000 32,546 Victory City International Holdings, Ltd. 509,613 231,305 Vitasoy International Holdings, Ltd. 1,033,000 264,691 * Wah Ha Realty Co., Ltd. 278,600 47,352 * Wah Nam International 38,696 1,246 Wai Kee Holdings, Ltd. 1,265,738 161,348 * Wang ON Group Ltd New 46,440 5,083 Wellnet Holdings, Ltd. 2,059,200 159,087 * Winfoong International, Ltd. 1,210,000 26,019 Wing On Co. International, Ltd. 565,000 451,051 Wing Shan International, Ltd. 896,000 49,032 * Winsan China Investment Group, Ltd. 1,296,000 10,847 Wong's International (Holdings), Ltd. 400,641 60,357 * Wonson International Holdings, Ltd. 4,040,000 12,485 World Houseware (Holdings), Ltd. 605,700 25,737 * Xinao Gas Holdings, Ltd. 1,094,000 584,589 Y. T. Realty Group, Ltd. 965,000 55,915 YGM Trading, Ltd. 228,000 130,641 Yangtzekiang Garment Manufacturing Co., Ltd. 405,000 85,523 * Yanion International Holdings, Ltd. 118,000 6,229 * Yaohan International Holdings, Ltd. 974,000 0 * Yau Lee Holdings, Ltd. 534,000 18,565 * Yip's Chemical Holdings, Ltd. 372,000 87,177 * Yugang International, Ltd. 11,916,000 90,525 * Yunnan Enterprises Holdings, Ltd. 240,000 14,524 * Zhu Kuan Development Co., Ltd. 646,000 28,281 * e-New Media Co., Ltd. 320,000 10,054 * eSun Holdings, Ltd. 653,600 19,777 --------------- TOTAL COMMON STOCKS (Cost $65,181,292) 43,828,366 --------------- RIGHTS/WARRANTS -- (0.0%) * Allied Properties, Ltd. Warrants 12/06/04 80,260 0 * Applied China, Ltd. Warrants 04/30/04 207,250 267 * Climax International Co., Ltd. Warrants 02/08/04 11,200 14 * Goldbond Group Holdings, Ltd. Rights 12/15/03 399,600 5,145 ---------------
232
SHARES VALUE+ ------ ------ TOTAL RIGHTS/WARRANTS (Cost $100,548) $ 5,426 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars (Cost $2,086) 2,086 --------------- TOTAL -- HONG KONG (Cost $65,283,926) 43,835,878 --------------- NEW ZEALAND -- (9.3%) COMMON STOCKS -- (9.3%) * AFFCO Holdings, Ltd. 1,640,950 241,168 CDL Hotels NZ, Ltd. 1,243,344 317,796 CDL Investments NZ, Ltd. 286,445 53,081 Cavalier Corp., Ltd. 249,212 883,810 Colonial Motor Co., Ltd. 93,695 170,032 * Cue Energy Resources NL 452,354 16,476 DB Breweries, Ltd. 312,589 1,557,991 Ebos Group, Ltd. 82,808 169,324 * Evergreen Forests, Ltd. 323,301 92,964 * Fletcher Challenge Forests, Ltd. 475,200 397,781 Hallenstein Glassons Holdings, Ltd. 206,438 397,057 Hellaby Holdings, Ltd. 179,079 550,410 Horizon Energy Distribution, Ltd. 40,420 92,465 * Kingsgate International Corp., Ltd. 479,679 73,563 * Met Lifecare, Ltd. 234,168 329,190 # Michael Hill International, Ltd. 137,246 403,417 * New Zealand Oil & Gas, Ltd. 420,122 96,644 New Zealand Refining Co., Ltd. 72,719 760,200 Northland Port Corp. (New Zealand), Ltd. 219,997 411,890 Nuplex Industries, Ltd. 229,674 610,523 * Pacific Retail Group, Ltd. 194,156 303,958 Port of Tauranga, Ltd. 541,952 1,423,310 Powerco, Ltd. 728,453 837,859 * Provenco Group, Ltd. 281,600 79,174 Pyne Gould Guinness, Ltd. 146,734 117,203 Restaurant Brand New Zealand, Ltd. 369,175 261,850 * Richina Pacific, Ltd. 274,644 59,669 * Rubicon, Ltd. 395,021 194,360 * Ryman Healthcare Group, Ltd. 300,000 406,400 Sanford, Ltd. 340,412 1,161,563 Scott Technology, Ltd. 54,083 115,772 * Seafresh Fisheries 80,520 1,441 * Sky City Leisure, Ltd. 15,236 10,904 South Port New Zealand, Ltd. 30,744 28,486 Steel & Tube Holdings, Ltd. 303,825 722,210 * Tasman Farms 157,056 0 Taylors Group, Ltd. 29,646 42,244 Tourism Holdings, Ltd. 278,652 254,621 * Trans Tasman Properties, Ltd. 1,921,308 441,973 *# Tranz Rail Holdings, Ltd. 674,271 641,974 Waste Management NZ, Ltd. 349,572 862,225 Williams & Kettle, Ltd. 38,372 118,674 Wrightson, Ltd. 478,020 415,415 --------------- TOTAL COMMON STOCKS (Cost $12,215,156) 16,127,067 --------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar (Cost $17,682) 17,615 --------------- TOTAL -- NEW ZEALAND (Cost $12,232,838) $ 16,144,682 --------------- UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * Exergy, Inc. (Cost $0) 7,260 0 --------------- MALAYSIA -- (0.1%) COMMON STOCKS -- (0.1%) * Autoways Holdings Berhad 10,000 3,395 * Promet Berhad 1,143,000 87,229 * RNC Corp. Berhad 33,000 3,561 * Rekapacific Berhad 473,000 0 * Saship Holdings Berhad 223,520 52,351 * Versatile Creative Berhad 3,000 6,947 * Wing Tiek Holdings Berhad 95,800 22,437 --------------- TOTAL COMMON STOCKS (Cost $1,278,766) 175,920 --------------- RIGHTS/WARRANTS -- (0.0%) * Versatile Creative Rights Pay Date Open (Cost $0) 6,000 0 --------------- TOTAL -- MALAYSIA (Cost $1,278,766) 175,920 --------------- JAPAN -- (0.0%) COMMON STOCKS -- (0.0%) * Sansui Electric Co., Ltd. (Cost $25,906) 252,000 50,621 --------------- FACE AMOUNT VALUE+ ------ ------ (000) TEMPORARY CASH INVESTMENTS -- (11.3%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $2,785,000 FHLB Notes 1.875%, 02/15/05, valued at $2,805,888) to be repurchased at $2,764,189 (Cost $2,764,000) $ 2,764 2,764,000 Repurchase agreements in a Pooled Cash Account, Mizuho Securities USA, 1.05%, 12/01/03 (Collateralized by $17,176,000 U.S. Treasury Obligations, rates ranging from 2.625% to 4.25%, maturities ranging from 11/15/06 to 11/15/13, valued at $16,983,984) to be repurchased at $16,985,470 (Cost $16,983,984)@ 16,984 16,983,984 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $19,747,984) 19,747,984 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $188,618,906)++ $ 174,032,722 ===============
+ See Note B to Financial Statements. @ Security purchased with cash proceeds from securities on loan * Non-Income Producing Securities # Total or Partial Securities on Loan ++ The cost for federal income tax purposes is $189,625,204. 233 THE UNITED KINGDOM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ UNITED KINGDOM -- (98.0%) COMMON STOCKS -- (96.7%) 4imprint P.L.C. 50,375 $ 72,776 600 Group P.L.C. 100,910 105,433 AEA Technology P.L.C. 31,245 137,567 AGA Food Service Group P.L.C. 76,000 306,515 AIM Group P.L.C. 32,063 51,008 * API Group P.L.C. 51,500 62,887 Abacus Group P.L.C. 75,000 303,127 Abbeycrest P.L.C. 42,590 49,443 Abbot Group P.L.C. 103,595 302,889 Aberdeen Asset Management P.L.C. 100,000 141,029 * Aberdeen Asset Management P.L.C. 125,050 161,302 Acal P.L.C. 13,671 112,271 * Acambis P.L.C. 61,000 323,653 * Adam & Harvey Group P.L.C. 10,500 361 * Advanced Medical Solutions P.L.C. 29,802 4,997 * Advanced Power Components, Ltd. 47,871 15,026 Aggreko P.L.C. 158,000 379,076 * Airflow Streamlines P.L.C. 20,500 20,097 Airsprung Furniture Group P.L.C. 58,000 69,827 Alba P.L.C. 105,025 1,106,353 Alexandra P.L.C. 86,243 128,303 Alexon Group P.L.C. 116,632 586,731 Alpha Airports Group P.L.C. 392,541 509,715 Alphameric P.L.C. 172,688 259,876 Alumasc Group P.L.C. 100,245 274,129 Alvis P.L.C. 191,010 584,751 Amberley Group P.L.C. 200,000 26,658 Amstrad P.L.C. 149,652 343,605 * Anglesey Mining P.L.C. 55,000 2,483 Anglo Eastern Plantations P.L.C. 57,166 145,019 * Anite Group P.L.C. 250,000 211,759 * Antisoma P.L.C. 163,333 110,258 * Applied Optical Technologies P.L.C. 75,383 34,681 * Arena Leisure P.L.C. 350,516 244,151 * Argonaut Games, Ltd. 100,000 12,039 Arla Foods UK P.L.C. 742,432 549,061 * Arm Holdings P.L.C. 127,000 262,108 Arriva P.L.C. 37,770 249,769 Ashtenne Holdings P.L.C. 50,000 261,850 Atkins Ws P.L.C. 63,000 475,664 Austin Reed Group P.L.C. 68,999 166,137 Autologic Holdings P.L.C. 17,489 96,252 Avesco P.L.C. 29,998 72,488 Aveva Group P.L.C. 10,000 81,436 Avis Europe P.L.C. 362,720 673,737 Avon Rubber P.L.C. 25,041 94,963 * Axis-Shield P.L.C. 58,284 164,395 Axon Group P.L.C. 19,756 45,870 * BNB Resources P.L.C. 49,000 19,172 BPP Holdings P.L.C. 106,500 523,855 BSS Group P.L.C. 47,905 463,445 * BTG P.L.C. 51,000 171,041 BWD Securities P.L.C. 10,951 91,346 Babcock International Group P.L.C. 310,464 688,805 Baggeridge Brick P.L.C. 98,000 225,853 * Bailey (C.H.) P.L.C. 109,500 $ 12,712 * Bailey (C.H.) P.L.C. Class B 10,000 4,902 Barr (A.G.) P.L.C. 43,000 441,877 Beattie (James) P.L.C. 132,247 295,682 Bellway P.L.C. 93,000 1,087,645 Ben Bailey P.L.C. 26,000 152,484 Benchmark Group P.L.C. 36,513 152,598 Bespak P.L.C. 55,918 420,751 * Biocompatibles International P.L.C. 12,430 35,915 Biotrace International P.L.C. 75,000 179,941 Birse Group P.L.C. 421,901 110,656 Black Arrow Group P.L.C. 56,500 60,247 Blacks Leisure Group P.L.C. 60,959 359,082 * Blagden Industries P.L.C. 131,092 0 Blick P.L.C. 68,555 275,899 Bloomsbury Publishing P.L.C. 62,525 281,203 Body Shop International P.L.C. 194,000 407,058 Bodycote International P.L.C. 159,058 456,843 * Boosey & Hawkes P.L.C. 35,500 131,269 Boot (Henry) P.L.C. 47,000 270,793 Bovis Homes Group P.L.C. 72,000 539,282 * Bradstock Group P.L.C. 5,200 3,935 Brammer (H.) P.L.C. 119,123 323,704 Brewin Dolphin Holdings P.L.C. 219,762 326,937 Bristol Water Holdings P.L.C. 60,000 300,805 * Britannic P.L.C. 121,800 557,217 British Polythene Industries P.L.C. 56,740 291,780 British Vita P.L.C. 125,600 561,640 Brixton P.L.C. 151,200 652,711 * Brown & Jackson P.L.C. 296,819 484,965 Brown (N) Group P.L.C. 173,480 325,215 Burndene Investments P.L.C. 175,001 230,249 Burtonwood Brewery P.L.C. 38,000 216,325 Business Post Group P.L.C. 56,000 482,526 CD Bramall P.L.C. 68,166 524,633 * CLS Holdings P.L.C. 122,907 573,907 CML Microsystems P.L.C. 28,361 129,991 Caffyns P.L.C. 6,000 60,883 * Cairn Energy P.L.C. 92,636 632,507 * Cammell Laird Holdings P.L.C. 256,158 26,434 Capital & Regional P.L.C. 26,432 176,383 Capital Radio P.L.C. 48,810 393,710 Carclo P.L.C. 100,463 67,385 Care UK P.L.C. 64,835 292,708 Carillion P.L.C. 125,317 302,818 * Carlisle Holdings, Ltd. 8,709 51,675 Carpetright P.L.C. 102,500 1,323,911 Carr's Milling Industries P.L.C. 19,000 100,973 Castings P.L.C. 79,000 244,565 * Cenes Pharmaceuticals P.L.C. 298,612 44,938 Chamberlin & Hill P.L.C. 18,000 53,402 Chapelthorpe P.L.C. 617,618 172,611 Charles Taylor Consulting P.L.C. 66,743 324,853 * Charter P.L.C. 88,743 158,731 * Che Group P.L.C. 51,533 34,566 Chelsfield P.L.C. 53,402 290,228 Chemring Group P.L.C. 49,000 322,346 * Chime Communications P.L.C. 71,838 40,154
234
SHARES VALUE+ ------ ------ Chloride Group P.L.C. 485,500 $ 413,323 Christie Group P.L.C. 53,263 61,834 Chrysalis Group P.L.C. 268,082 987,833 Churchill China P.L.C. 30,000 93,389 City Centre Restaurants P.L.C. 174,871 221,807 Clarkson (Horace) P.L.C. 44,733 326,204 * Clinical Computing P.L.C. 46,666 34,110 Clinton Cards P.L.C. 433,380 682,001 Colefax Group P.L.C. 60,000 87,713 Collins Stewart Tullett P.L.C. 31,538 244,085 * Colt Telecom Group P.L.C. 257,000 432,061 Communisis P.L.C. 237,134 373,173 Compel Group P.L.C. 5,000 6,321 Computacenter P.L.C. 51,000 413,568 * Cookson Group P.L.C. 1,172,068 735,768 Coral Products P.L.C. 50,000 47,726 * Corporate Services Group P.L.C. 246,600 45,063 Cosalt P.L.C. 30,700 193,512 Countryside Property P.L.C. 94,086 292,886 Countrywide Assured Group P.L.C. 202,374 491,630 Courts P.L.C. 110,722 521,771 * Cox Insurance Holdings P.L.C. 244,666 313,491 Cranswick P.L.C. 19,532 104,976 Crest Nicholson P.L.C. 267,250 1,374,308 Creston P.L.C. 6,250 12,308 Croda International P.L.C. 79,635 362,948 Cropper (James) P.L.C. 22,000 62,431 * Culver Holdings P.L.C. 338 90 * DCS Group P.L.C. 10,000 2,365 DFS Furniture Co. P.L.C. 66,300 431,023 DTZ Holdings P.L.C. 114,500 243,202 Daejan Holdings P.L.C. 25,000 809,413 Dairy Crest Group P.L.C. 76,000 612,376 * Dana Petroleum P.L.C. 33,333 128,702 * Danka Business Systems P.L.C. 15,000 11,609 Dart Group P.L.C. 74,000 164,179 Davis Service Group P.L.C. 80,878 497,976 * Dawson International P.L.C. 100,688 22,512 De la Rue P.L.C. 112,000 556,687 DeVere Group P.L.C. 69,600 466,841 Dechra Pharmaceiticals P.L.C. 50,000 107,062 Delta P.L.C. 200,000 283,778 Deltron Electronics P.L.C. 8,621 9,119 * Deltron Electronics P.L.C (Rfd Issue Line) 718 759 * Densitron International P.L.C. 74,175 23,282 Derwent Valley Holdings P.L.C. 90,000 1,157,815 Development Securities P.L.C. 50,000 306,137 Devro P.L.C. 180,143 281,938 Dewhurst P.L.C. 9,000 17,801 Dewhurst P.L.C. Class A Non-Voting 15,500 25,458 Diagonal P.L.C. 34,200 27,939 * Dickinson Legg Group P.L.C. 11,935 6,620 Dicom Group P.L.C. 30,000 372,781 * Dimension Data Holdings P.L.C. 832,000 529,444 Diploma P.L.C. 22,648 176,840 Domestic & General Group P.L.C. 17,223 159,214 Domino Printing Sciences P.L.C. 355,935 1,049,857 Domnick Hunter Group P.L.C. 30,000 210,254 * Dowding & Mills P.L.C. 336,440 56,417 Dyson Group P.L.C. 42,750 197,781 East Surrey Holdings P.L.C. 36,800 $ 192,405 * Easynet Group P.L.C. 75,000 154,788 * Ebookers P.L.C. 37,800 281,823 * Eidos P.L.C. 55,300 137,194 Eldridge Pope & Co. P.L.C. 25,000 72,449 Eleco P.L.C. 104,685 57,614 Electronic Data Processing P.L.C. 55,200 67,880 * Emess P.L.C. 288,250 50,195 Ennstone P.L.C. 295,323 198,087 * Enodis P.L.C. 275,329 404,868 Eurocopy P.L.C. 41,051 25,770 * Eurodis Electron P.L.C. 188,125 47,724 Euromoney Institutional Investors P.L.C. 65,000 428,161 European Colour P.L.C. 82,090 24,707 European Motor Holdings P.L.C. 118,325 349,008 * European Telecom P.L.C. 7,000 361 * Evans of Leeds Contingent Units P.L.C. 80,000 0 Expro International Group P.L.C. 54,966 224,519 * FII Group P.L.C. 41,166 4,779 FKI P.L.C. 360,000 681,068 Fenner P.L.C. 92,146 141,046 * Ferguson International Holdings P.L.C. 89,105 53,637 Ferraris Group P.L.C. 10,800 27,119 * Fibernet Group P.L.C. 45,339 79,147 Filtronic P.L.C. 4,138 31,385 Financial Objects P.L.C. 7,000 3,251 Findel P.L.C. 142,288 714,572 First Choice Holidays P.L.C. 325,535 750,236 First Technology P.L.C. 117,111 596,190 Fisher (James) & Sons P.L.C. 76,000 333,310 Forminster P.L.C. 43,333 21,613 Forth Ports P.L.C. 140,161 2,386,478 Fortress Holdings P.L.C. 120,728 54,505 Freeport Leisure P.L.C. 25,814 166,932 French Connection Group P.L.C. 25,000 723,634 Fuller, Smith & Turner P.L.C. Series A 20,000 203,804 Fulmar P.L.C. 107,500 146,984 * Future Network P.L.C. 315,000 342,662 GB Group P.L.C. 250,000 102,117 GWR Group P.L.C. 80,700 371,272 Galliford Try P.L.C. 517,870 380,761 Game Group P.L.C. 275,000 297,967 Games Workshop Group P.L.C. 13,519 167,406 Gaming International P.L.C. 14,000 8,789 * Garton Engineering P.L.C. 10,248 0 * Gaskell P.L.C. 36,000 13,931 Geest P.L.C. 75,278 647,341 Gibbs & Dandy P.L.C. 4,500 52,628 Gleeson (M.J.) Group P.L.C. 22,471 482,123 * Glotel P.L.C. 15,300 26,972 Go-Ahead Group P.L.C. 40,000 692,419 Goldshield Group P.L.C. 14,400 48,294 Gowrings P.L.C. 5,000 5,289 Grainger Trust, Ltd. 22,000 565,286 Great Portland Estates P.L.C. 125,900 524,006 Greene King P.L.C. 44,162 635,345 * Greenwich Resources P.L.C. 438,664 15,089 Greggs P.L.C. 26,000 1,436,743
235
SHARES VALUE+ ------ ------ Guiness Peat Group P.L.C. 176,171 $ 198,459 * Gyrus Group P.L.C. 55,072 156,756 Halma P.L.C. 227,000 530,958 Halstead (James) Group P.L.C. 52,208 305,289 * Hampson Industries P.L.C. 105,886 25,040 * Hampton Trust P.L.C. 232,050 14,966 Hardys & Hansons P.L.C. 48,000 355,806 * Hartstone Group P.L.C. 240,263 3,926 * Harvey Nash Group P.L.C. 183,750 252,821 Havelock Europa P.L.C. 27,660 38,295 * Hawtin P.L.C. 196,500 28,726 Haynes Publishing Group P.L.C. 14,703 82,183 Headlam Group P.L.C. 152,974 861,636 Heath (Samuel) & Sons P.L.C. 7,500 45,792 Helical Bar P.L.C. 35,000 452,970 Helphire Group P.L.C. 149,600 536,454 Henlys Group P.L.C. 133,303 206,337 Heywood Williams Group P.L.C. 140,400 201,627 Highbury House Communications P.L.C. 439,166 185,050 Highway Insurance Holdings P.L.C. 204,751 136,456 Hill & Smith Holdings P.L.C. 86,850 143,396 Hiscox P.L.C. 171,500 418,102 Hit Entertainment P.L.C. 119,691 551,171 Hitachi Capital (UK) P.L.C. 53,912 192,397 Holidaybreak P.L.C. 92,974 879,467 Homestyle Group P.L.C. 45,692 100,588 * Hornby P.L.C. 10,000 193,055 House of Fraser P.L.C. 371,650 624,807 Hunting P.L.C. 223,174 376,153 Huntleigh Technology P.L.C. 24,925 110,384 * Huntsworth P.L.C. 108,000 39,007 * Hyder Consulting P.L.C. 16,308 32,675 * IAF Group P.L.C. 30,000 3,741 IFX Group P.L.C. 34,486 71,767 * IMS Group P.L.C. 75,000 5,805 * IQE P.L.C. 132,400 40,988 ISIS Asset Management P.L.C. 88,039 355,826 * Imagination Technologies Group P.L.C. 189,698 215,329 Incepta Group P.L.C. 85,443 159,442 Inchcape P.L.C. 20,000 432,031 * Industrial & Commercial Holdings P.L.C. 5,000 129 Infast Group P.L.C. 301,224 129,516 Informa Group P.L.C. 81,229 394,661 * Intec Telecom Systems P.L.C. 100,000 118,671 Intelek P.L.C. 99,880 18,896 Intserve P.L.C. 144,534 626,420 Invensys P.L.C. 489,000 168,203 * Inveresk P.L.C. 150,000 47,081 Isoft Group P.L.C. 76,540 447,572 Isotron P.L.C. 50,325 380,830 Ite Group P.L.C. 247,186 201,935 Itnet P.L.C. 36,278 190,612 JJB Sports P.L.C. 145,000 666,470 JKX Oil and Gas P.L.C. 220,533 162,145 Jarvis Hotels P.L.C. 215,318 553,626 Jarvis P.L.C. 193,379 718,387 * Jarvis Porter Group P.L.C. 99,894 33,502 John David Group P.L.C. 114,500 324,926 Johnson Service Group P.L.C. 125,535 $ 747,027 Johnston Group P.L.C. 26,000 143,764 Joseph (Leopold) Holdings P.L.C. 14,000 207,072 KBC Advanced Technologies P.L.C. 25,000 15,909 * Kalamazoo Computer Group P.L.C. 56,120 2,654 Keller Group P.L.C. 123,128 489,175 Kensington Group P.L.C. 45,000 252,305 * Kewill Systems P.L.C. 10,000 9,803 Kidde P.L.C. 232,000 415,967 Kier Group P.L.C. 21,293 223,389 Kiln P.L.C. 200,000 316,456 * Kleeneze P.L.C. 84,300 213,128 * Knowledge Support Systems Group P.L.C. 25,000 344 Laing (John) P.L.C. 275,961 835,325 Laird Group P.L.C. 84,300 394,359 Lambert Howarth Group P.L.C. 25,200 113,119 * Laura Ashley Holdings P.L.C. 623,937 128,771 Lavendon Group P.L.C. 50,092 114,582 * Leeds United P.L.C. 66,000 2,696 Lincat Group P.L.C. 19,000 127,442 Linton Park P.L.C. 39,000 271,653 Linx Printing Technologies P.L.C. 27,000 173,440 Litho Supplies P.L.C. 20,000 15,995 London Bridge Software Holdings P.L.C. 157,269 131,184 * London Clubs International P.L.C. 144,646 187,823 London Merchant Securities P.L.C. 151,000 423,311 London Scottish Bank P.L.C. 263,000 554,098 Lookers P.L.C. 53,160 239,542 * Lorien P.L.C. 60,000 89,261 Low & Bonar P.L.C. 95,000 123,358 Luminar P.L.C. 43,000 294,708 * M.L. Laboratories P.L.C. 51,042 27,433 MFI Furniture Group P.L.C. 60,855 147,574 MS International P.L.C. 71,500 45,499 MSB International P.L.C. 16,000 22,427 Macfarlane Group P.L.C. 228,287 90,303 Macro 4 P.L.C. 42,500 89,175 Maiden Group P.L.C. 16,800 72,234 Mallett P.L.C. 24,837 115,121 Management Consulting Group P.L.C. 310,972 136,382 Manchester United P.L.C. 161,000 728,244 Manganese Bronze Holdings P.L.C. 32,184 100,464 * Marlborough Stirling P.L.C. 150,000 124,475 Marshalls P.L.C. 225,800 977,662 * Martin International Holdings P.L.C. 135,800 38,537 * Marylebone Warwick Balfour Group P.L.C. 73,345 68,433 Mayflower Corp. P.L.C. 550,636 298,312 McAlpine (Alfred) P.L.C. 196,111 951,987 McBride P.L.C. 40,000 89,777 McCarthy & Stone P.L.C. 194,968 1,679,949 McKay Securities P.L.C. 68,500 212,060 McLeod Russel Holdings P.L.C. 74,524 24,673 * Medical Solutions P.L.C. 126,658 106,195 * Medisys P.L.C. 150,134 32,276 Meggitt P.L.C. 160,633 646,466 Mentmore P.L.C. 236,561 362,100 Menzies (John) P.L.C. 57,314 315,432 * Merant P.L.C. 172,500 369,363
236
SHARES VALUE+ ------ ------ Merchant Retail Group P.L.C. 185,666 $ 542,846 Merrydown P.L.C. 59,927 83,999 Mersey Docks & Harbour Co. P.L.C. 50,170 547,483 Metal Bulletin P.L.C. 95,500 287,433 Metalrax Group P.L.C. 358,740 524,438 Mice Group P.L.C. 139,909 184,078 Michael Page International P.L.C. 225,000 726,537 * Microgen P.L.C. 52,770 38,572 Millennium and Copthorne Hotels P.L.C. 80,077 422,462 Minerva P.L.C. 94,000 342,735 Mitie Group P.L.C. 500,000 1,051,269 Molins P.L.C. 68,000 398,803 Monsoon P.L.C. 71,000 172,787 * Morgan Crucible Company P.L.C. 136,000 321,031 Morgan Sindall P.L.C. 66,000 407,506 Morse P.L.C. 36,866 85,279 Moss Brothers Group P.L.C. 163,400 158,077 Mowlem (John) & Co. P.L.C. 342,030 1,223,553 Mtl Instruments Group P.L.C. 4,348 12,339 Mucklow (A & J) Group P.L.C. 175,000 797,589 * My Travel Group P.L.C. 24,000 4,747 NHP P.L.C. 171,875 419,016 * NSB Retail P.L.C. 300,000 79,974 * NXT P.L.C. 26,935 45,861 National Express Group P.L.C. 25,000 262,602 Nestor Healthcare Group P.L.C. 180,200 976,249 New Look Group P.L.C. 107,041 573,000 Newcastle United P.L.C. 148,923 89,645 Nichols P.L.C. 66,550 156,234 Nord Anglia Education P.L.C. 5,000 18,704 * Nord Anglia Education RFD 454 1,659 Northamber P.L.C. 75,888 84,836 Northern Foods P.L.C. 41,000 97,310 * Northgate Information Solutions P.L.C. 342,029 301,475 Northgate P.L.C. 118,200 1,135,366 Novar P.L.C. 260,465 573,396 * OEM P.L.C. 12,000 8,771 * OM2000 P.L.C. 41,440 0 Ocean Wilsons Holdings, Ltd. 84,250 189,093 * Orbis P.L.C. 11,428 2,899 Ottakar's P.L.C. 30,000 183,424 Owen (H.R.) P.L.C. 34,000 102,332 * Oxford Biomedica, Ltd. 75,000 24,508 * Oxford Biomedica, Ltd. New Shares 40,500 13,234 Oxford Instruments P.L.C. 43,051 134,386 PHS Group P.L.C. 320,000 448,542 * PPL Therapeutics P.L.C. 43,529 3,369 PSD Group P.L.C. 43,500 211,350 PZ Cuzzons P.L.C. 22,000 411,668 * Pace Micro Technology P.L.C. 292,500 286,745 Paladin Resources P.L.C. 342,500 490,388 * Palmaris Capital P.L.C. 42,500 9,502 Paragon Group of Companies P.L.C. 70,000 382,542 Parity Group P.L.C. 241,406 50,860 Park Group P.L.C. 291,600 144,185 * Partridge Fine Arts P.L.C. 58,000 74,316 Pendragon P.L.C. 239,375 792,510 Penna Consulting P.L.C. 33,000 64,985 Peterhouse Group P.L.C. 85,427 192,469 * Pharmagene P.L.C. 160,000 $ 187,122 * Photo-Me International P.L.C. 235,620 417,392 * Phytopharm P.L.C. 32,600 126,152 Pillar Property P.L.C. 66,800 585,925 Pittards P.L.C. 60,985 63,456 Planit Holdings P.L.C. 235,000 97,001 * Plantation & General P.L.C. 70,623 20,041 * Plasmon P.L.C. 100,000 373,211 Portmeirion Group P.L.C. 22,856 70,757 Porvair P.L.C. 62,000 177,009 Premier Farnell P.L.C. 18,000 80,490 * Premier Oil P.L.C. 69,648 502,500 * Pressac P.L.C. 78,129 29,562 * Probus Estates P.L.C. 83,333 2,042 * Protherics P.L.C. 506,828 385,717 * Provalis P.L.C. 375,538 56,514 * Psion P.L.C. 257,200 343,927 * QA P.L.C. 79,475 7,176 * Queens Moat Houses P.L.C. 159,000 23,244 Quintain Estates & Development P.L.C. 108,350 633,582 * Qxl Ricardo P.L.C. 130 364 RAC P.L.C. 69,500 657,420 RM P.L.C. 45,490 113,835 * RMS Communications P.L.C. 15,000 0 ROK property solutions P.L.C. 57,501 234,874 RPC Group P.L.C. 43,400 139,581 RPS Group P.L.C. 192,594 524,181 Radamec Group P.L.C. 35,000 23,175 Radstone Technology P.L.C. 40,384 261,499 Ransom (William) & Son P.L.C. 30,000 19,349 * Redbus Imterhouse P.L.C. 137,500 18,032 Redrow P.L.C. 116,437 626,302 * Redstone P.L.C. 14,870 2,621 Reed Health Group P.L.C. 155,333 281,846 Reg Vardy P.L.C. 103,597 807,124 Regent Inns P.L.C. 158,468 220,761 Reliance Security Group P.L.C. 9,000 103,321 Renishaw P.L.C. 146,806 1,363,430 Renold P.L.C. 144,000 206,797 Ricardo P.L.C. 114,409 327,619 * Richmond Oil & Gas P.L.C. 220,000 0 * Robert Wiseman Dairies P.L.C. 40,000 176,458 Rotork P.L.C. 185,440 1,117,060 Roxboro Group P.L.C. 9,304 36,804 * Royal Doulton P.L.C. 240,000 19,607 Royalblue Group P.L.C. 47,200 385,594 Rutland Trust P.L.C. 174,255 104,144 S & U P.L.C. 21,140 176,336 SCS Upholstery P.L.C. 29,000 84,790 * SFI Group P.L.C. 26,713 14,242 SHL Group P.L.C. 41,650 64,111 SIG P.L.C. 103,200 532,471 SMG P.L.C. 185,295 345,771 SSL International P.L.C. 117,000 641,403 * Safeland P.L.C. 25,000 21,928 Salvesen (Christian) P.L.C. 183,157 192,154 Sanctuary Group P.L.C. 320,000 273,803 Savills P.L.C. 104,000 528,550 Scapa Group P.L.C. 44,337 21,351 * Scipher P.L.C. 34,563 5,350
237
SHARES VALUE+ ------ ------ Scottish & Newcastle P.L.C. 56,639 $ 357,501 Scottish Radio Holdings P.L.C. 19,200 268,299 Secure Trust Group P.L.C. 27,118 209,877 Securicor P.L.C. 328,750 497,558 Senior P.L.C. 122,900 72,395 Serco Group P.L.C. 77,859 236,011 * Servicepower Technologies P.L.C. 150,000 85,133 Severfield-Rowan P.L.C. 20,000 114,371 Shaftesbury P.L.C. 137,500 595,934 Shanks & McEwan Group P.L.C. 92,900 169,362 Shiloh P.L.C. 14,500 36,160 * ShopRite Group P.L.C. 204,780 47,546 Simon Group P.L.C. 348,089 257,427 Sinclair (William) Holdings P.L.C. 53,000 68,365 Singer & Friedlander Group P.L.C. 119,400 428,159 Sirdar P.L.C. 41,600 50,083 * Skyepharma P.L.C. 382,000 496,027 Smart (J.) & Co. (Contractors) P.L.C. 22,500 191,550 * Smart Approach Group P.L.C. 251,985 7,476 Smith (David S.) Holdings P.L.C. 200,000 542,618 * Soco International P.L.C. 59,000 270,423 Somerfield P.L.C. 307,000 658,679 South Staff Water Holdings P.L.C. 108,000 1,033,675 Southampton Leisure Holdings P.L.C. 19,615 12,313 Spectris P.L.C. 76,760 561,733 Speedy Hire P.L.C. 50,000 316,026 Spirax-Sarco Engineering P.L.C. 91,811 885,045 * Spirent P.L.C. 584,137 663,061 * Sportech P.L.C. 435,000 134,666 Spring Group P.L.C. 169,495 335,235 * Springwood P.L.C. 37,500 5,482 St. Ives P.L.C. 63,000 429,073 St. Modwen Properties P.L.C. 74,800 332,550 Staffware P.L.C. 12,000 127,958 Stanley (Charles) Group P.L.C. 76,800 307,100 Stanley Leisure Organisation P.L.C. 224,954 1,528,220 * Sterling Publishing Group P.L.C. 75,298 17,159 Stylo P.L.C. 64,096 40,236 * Superscape P.L.C. 15,745 8,395 * Surfcontrol P.L.C. 7,000 98,239 Swallowfield P.L.C. 15,000 20,509 Sygen International P.L.C. 492,975 415,447 Syltone P.L.C. 50,400 157,760 * Synstar P.L.C. 143,000 178,307 TT Electronics P.L.C. 28,080 55,779 * Tadpole Technology P.L.C. 109,090 22,280 * Tandem Group P.L.C. 327,365 0 Tarsus Group P.L.C. 34,855 35,368 Taylor & Francis Group P.L.C. 52,600 492,130 Taylor Nelson AGB P.L.C. 109,000 389,928 Ted Baker P.L.C. 38,800 223,548 * Telecommunications Group P.L.C. 45,958 5,632 Telemetrix P.L.C. 165,708 404,694 * Telspec P.L.C. 25,000 7,309 * Terence Chapman Group P.L.C. 62,500 2,687 Tex Holdings P.L.C. 14,000 39,849 The Big Food Group P.L.C. 212,000 492,226 * The Innovation Group P.L.C. 940,000 335,460 The Malcolm Group P.L.C. 109,377 149,551 The Television Corp. P.L.C. 66,330 68,447 Thorntons P.L.C. 158,000 417,120 Thorpe (F.W.) P.L.C. 24,000 $ 73,886 * Thus Group P.L.C. 836,000 463,694 Tibbett & Britten Group P.L.C. 86,123 615,439 Tinsley (Eliza) Group P.L.C. 19,844 12,628 Topps Tiles P.L.C. 69,690 632,249 Tops Estates P.L.C. 30,088 126,264 Torex P.L.C. 73,041 741,163 * Torotrak P.L.C. 99,193 111,742 * Tottenham Hotspur P.L.C. 150,000 61,915 Town Centre Securities (New) P.L.C. 142,137 495,025 Trace Computers P.L.C. 33,552 42,413 Transport Development Group P.L.C. 19,782 65,493 Trifast P.L.C. 135,388 142,038 Tullow Oil P.L.C. 222,863 314,302 U.K. Coal P.L.C. 16,000 33,021 Ulster Television, Ltd. 115,602 748,558 Ultra Electronics Holdings P.L.C. 49,745 442,746 Ultraframe P.L.C. 60,200 255,216 Umeco P.L.C. 18,250 107,816 Uniq P.L.C. 20,000 70,171 Unite Group P.L.C. 103,051 275,599 Universal Salvage P.L.C. 14,255 30,278 VP P.L.C. 83,100 190,800 VT Group P.L.C. 100,375 390,148 * Vega Group P.L.C. 32,300 72,495 * Vernalis P.L.C. 54,179 73,613 * Vert (Jacques) P.L.C. 45,000 14,511 Victoria P.L.C. 12,000 75,537 Victrex P.L.C. 116,254 705,294 Vitec Group P.L.C. 15,242 89,391 * Volex Group P.L.C. 58,801 138,042 WSP Group P.L.C. 90,000 274,749 Wagon P.L.C. 65,292 192,022 * Walker Greenbank P.L.C. 53,105 12,558 Warner Estate Holdings P.L.C. 70,000 532,729 * Waterdorm P.L.C. 105,000 0 Waterman P.L.C. 74,473 93,501 Watermark Group P.L.C. 50,000 129,850 Weir Group P.L.C. 126,236 589,452 Wellington Holdings P.L.C. 9,000 16,408 Wembley P.L.C. 6,053 58,402 Westbury P.L.C. 202,522 1,328,807 * Weston Medical Group P.L.C. 50,200 2,158 Wetherspoon (J.D.) P.L.C. 127,358 590,858 Whatman P.L.C. 241,935 638,708 White Young Green P.L.C. 64,000 197,578 Whitehead Mann Group P.L.C. 95,000 517,121 Whittard of Chelsea P.L.C. 30,000 78,168 * Wiggins Group P.L.C. 1,148,266 93,806 Wilmington Group P.L.C. 28,692 48,113 Wilshaw P.L.C. 198,409 46,067 Wilson Bowden P.L.C. 7,000 117,381 Wintrust P.L.C. 22,500 192,518 Wolverhampton & Dudley Breweries P.L.C. 78,873 1,020,775 Woolworths Group P.L.C. 872,421 648,944 * Worthington Group P.L.C. 102,653 7,283 Wyevale Garden Centres P.L.C. 48,578 277,796 Wyndeham Press Group P.L.C. 73,066 122,522 * XAAR P.L.C. 18,405 15,352 XANSA P.L.C. 199,718 313,433
238
SHARES VALUE+ ------ ------ * Xenova Group P.L.C. 246,961 $ 47,783 Yates Group P.L.C. 24,765 41,102 * Yorkshire Group P.L.C. 82,504 9,578 Young & Co's Brewery P.L.C. 10,000 130,280 Young & Co's Brewery P.L.C. Class A 5,234 83,267 Yule Catto & Co. P.L.C. 86,284 375,445 Zotefoams P.L.C. 62,000 82,640 --------------- TOTAL COMMON STOCKS (Cost $118,745,192) 158,950,507 --------------- INVESTMENT IN CURRENCY -- (1.3%) * British Pound Sterling (Cost $2,095,175) 2,079,361 --------------- RIGHTS/WARRANTS -- (0.0%) * Creston P.L.C. Warrants 03/31/04 1,000 0 * Letter of Entitlements - Audemars Piguet 90,242 0 * Xenova Group P.L.C. Rights 94,500 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 0 --------------- TOTAL -- UNITED KINGDOM (Cost $120,840,367) 161,029,868 --------------- FACE AMOUNT ------ (000) TEMPORARY CASH INVESTMENTS -- (2.0%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $3,360,000 FHLB Notes 1.875%, 02/15/05, valued at $3,385,200) to be repurchased at $3,336,228 (Cost $3,336,000) $ 3,336 3,336,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $124,176,367)++ $ 164,365,868 ===============
---------- + See Note B to Financial Statements. @ Denominated in local currency or the Euro * Non-Income Producing Securities ++ The cost for federal income tax purposes is $124,619,319 See accompanying Notes to Financial Statements. 239 THE CONTINENTAL SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ FRANCE -- (13.4%) COMMON STOCKS -- (13.4%) Affine 1,100 $ 67,380 * Ales Groupe SA 1,900 67,234 Algeco SA 2,300 195,614 *# Alstom SA 95,700 197,315 * Altedia SA 2,800 44,775 * Alten SA 14,900 212,010 *# Altran Technologies SA 49,600 612,404 Apem SA 1,000 55,141 April Group SA 19,600 316,243 Arkopharma 4,300 220,356 Assystem SA 2,657 141,733 Aubay SA 5,700 25,759 * Audika SA 1,500 70,845 * Baccarat SA 1,090 104,594 Bacou-Dalloz 3,685 307,002 Bains de Mer et du Cercle des Etrangers a Monaco 4,615 984,716 Beneteau SA 9,200 473,995 * Berger Levrault SA 476 109,554 Boiron SA 15,200 327,971 Bonduelle SA 4,200 356,956 Bongrain SA 7,500 392,432 * Bricorama SA 2,679 134,878 Buffalo Grill SA 1,028 13,863 *# Bull SA 68,000 52,168 Burelle SA 4,030 390,333 * Business Objects SA 16,500 559,547 CEGID SA 4,500 360,337 CFCAL-Banque 840 249,215 CFF Recycling 10,576 830,390 * CS Communication et Systemes 4,983 125,976 * Camaieu SA 3,200 253,938 Carbone Lorraine 33,245 1,354,954 Cegedim SA 6,400 344,235 Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux SA 6,400 279,178 # Clarins SA 7,339 420,430 *# Club Mediterranee SA 10,200 403,980 Consortium International de Diffusion et de Representation Sante 600 9,170 * DMC (Dollfus Mieg et Cie) 6,230 44,360 * Damartex SA 22,900 477,369 Delachaux SA 1,000 87,387 Deveaux SA 1,040 105,344 Didot-Bottin 1,620 163,122 Dynaction SA 10,660 231,289 Eiffage SA 3,825 413,578 Electricite de Strasbourg 23,784 2,836,791 Elior 70,128 575,839 Entenial SA 2,800 163,458 Esso SA 3,200 355,014 Etam Developpement SA 5,600 160,437 Euler-Hermes SA 12,291 558,401 * Euro Disney SCA 517,400 310,110 Evialis SA 1,200 43,787 Exel Industries SA 1,800 $ 86,308 Explosifs et de Produits Chimiques 524 143,842 * FPEE SA 1,100 63,029 Faurecia SA 6,500 440,232 Fimalac SA 111,143 3,703,790 Fininfo SA 9,760 213,517 Fleury Michon SA 2,500 104,739 Fonciere Lyonnaise SA 9,596 379,598 France-Africaine de Recherches Petrolieres (Francarep) 4,250 405,019 Francois Freres (Tonnellerie) SA 2,050 41,653 * GCI (Groupe Chatellier Industrie SA) 7,258 870 GFI Informatique SA 23,400 210,376 * Gantois Series A 647 38,003 Gascogne SA 6,472 574,103 *# Gaumont 14,607 719,652 *# Generale de Geophysique SA 20,770 771,823 Generale de Sante 19,100 242,007 Generale Location SA 9,000 182,002 * Geodis SA 3,010 162,367 Gespac System 1,100 21,757 Gevelot 3,584 171,849 Gifi 3,200 207,907 * Ginger (Groupe Ingenierie Europe) 1,400 27,875 Grands Moulins de Strasbourg 110 37,580 Grandvision SA 7,000 183,261 # Groupe Bourbon SA 3,700 337,525 Groupe Crit 5,500 108,389 Groupe Guillin SA 1,200 96,737 Groupe Open SA 1,000 31,347 Groupe Steria 8,600 306,178 * Guitel 116 1,111 Guyenne et Gascogne SA 26,000 2,882,933 Havas SA 62,300 330,088 Hoteliere Lutetia Concorde 2,505 420,693 Hotels et Casinos de Deauville 2,055 699,600 Hyparlo SA 3,836 160,941 IDSUD 614 17,267 IMS International Metal Service SA 12,630 96,895 Industrielle et Financiere d'Entreprise SA 300 32,006 *# Infogrames Entertainment SA 58,300 368,297 Ingenico SA 61,820 944,841 * Ioltech SA 500 41,296 Ipsos SA 3,700 334,864 Kaufman et Broad SA 5,300 148,348 * Lafuma SA 793 53,993 Laurent-Perrier 3,100 107,394 * Lectra Systemes SA 19,192 157,361 Legris Industries SA 9,350 279,081 Lisi SA 6,845 237,543 * MGI Coutier SA 1,400 33,900 * MRM 1,424 18,794 Manitou SA 11,092 997,219 Manutan International SA 1,300 54,994 Marionnaud Parfumeries Retails Perfumes 8,271 319,747 * Matussiere et Forest SA 13,600 68,960
240
SHARES VALUE+ ------ ------ * Metaleurop SA 35,449 $ 22,947 Montupet SA 32,450 564,030 * Mr. Bricolage SA 5,200 151,970 Neopost SA 7,200 362,494 * Nexans 12,200 377,311 Norbert Dentressangle 6,320 254,552 Nord Est SA 21,507 1,124,050 * Oberthur Card Systems SA 36,000 249,431 * Oeneo 31,265 83,201 PSB Industries SA 1,240 144,926 * Passat SA 1,300 26,616 * Penauille Polyservices SA 10,200 166,043 * Petit Forestier SA 2,243 83,351 Pierre & Vacances 4,500 372,743 Pinguely-Haulotte SA 25,000 139,352 Plastic Omnium SA 15,423 709,936 Plastivaloire SA 900 26,540 Prosodie SA 3,600 82,856 * Radiall SA 1,340 88,989 Robertet SA 1,076 125,049 Rodriguez Group SA 6,600 350,483 Rougier SA 2,040 140,977 Rue Imperiale 14,432 2,802,599 SDR de Bretagne SA 714 18,410 SEB SA Prime Fidelite 2002 3,000 366,090 SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 12,256 778,653 SR Teleperformance 90,928 1,925,988 Sabeton 13,500 169,110 Samse SA 4,400 490,518 * Sasa Industries SA 1,000 27,511 * Saveurs de France-Brossard 900 25,353 *# Scor SA 72,300 276,470 Sechilienne-Sidec 2,200 249,347 Securidev SA 1,500 15,643 Selectibail 25,421 704,835 Signaux Girod SA 600 25,173 Skis Rossignol SA 41,668 727,749 Smoby SA 500 38,209 Societe du Louvre SA 6,305 506,383 * Societe Francais des Papiers Peints 400 4,416 Societe Industrielle D'Aviations Latecoere SA 2,900 73,871 Societe Pour L'Informatique Industrielle SA 1,000 32,845 * Solving International SA 2,100 25,677 Somfy Interational SA 22,900 3,686,641 Sophia SA 17,550 871,378 Sopra SA 6,900 313,065 Stallergenes SA 1,249 58,391 Ste Virbac SA 6,852 215,034 Stef-Tfe SA 332 27,062 Sucriere de Pithiviers-le-Vieil 1,825 1,093,836 * Sylis SA 4,700 29,635 Synergie SA 8,000 146,724 Taittinger SA 12,700 2,041,512 * Tessi SA 900 33,865 Touax (Touage Investissement SA) 10,378 202,156 * Transiciel SA 9,200 150,536 Trigano SA 5,500 225,282 * Ubi Soft Entertainment SA 8,500 $ 263,390 Unilog SA 6,320 340,463 # Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 31,700 2,449,072 * Valtech, La Defense 20,000 23,016 Viel et Compagnie 44,339 208,349 Vilmorin et Cie SA 2,349 288,338 Vivarte SA 8,299 375,545 Vranken Monopole 2,200 87,687 Zodiac SA 14,627 432,908 --------------- TOTAL COMMON STOCKS (Cost $40,538,164) 64,910,990 --------------- RIGHTS/WARRANTS -- (0.0%) * Alstom SA Rights 12/10/03 95,700 51,623 * Alstom SA Warrants 01/09/04 95,700 34,415 * Altran Technologies SA Rights 12/10/03 49,600 39,241 * Group Open Warrants 10/21/06 1,000 851 * Oeneo Warrants 08/26/06 14,365 4,649 * Prosodie SA Warrants 10/28/06 900 669 * Ubi Soft Entertainment SA Warrants 05/14/06 4,100 2,654 * Valtech, La Defense Warrants 07/29/05 20,000 1,199 --------------- TOTAL RIGHTS/WARRANTS (Cost $38,786) 135,301 --------------- TOTAL -- FRANCE (Cost $40,576,950) 65,046,291 --------------- GERMANY -- (11.8%) COMMON STOCKS -- (11.8%) * AC-Service AG 4,300 29,123 AWD Holding AG 35,600 1,078,814 Aareal Bank AG 33,200 1,003,299 *# Acg AG Fuer Chipkarten und Informationssysteme 15,400 63,688 Ackermann-Goeggingen AG 8,100 150,500 * Adva AG Optical Networking 32,400 174,774 * Agrob AG 5,800 59,792 * Aigner (Etienne) AG 600 93,500 # Aixtron AG 61,400 376,105 Amadeus Fire AG 4,900 34,714 Andreae-Noris Zahn AG, Anzag 27,200 922,078 * Articon Integralis AG 7,900 37,406 * Atoss Software AG 3,700 73,049 * Augusta Technologie AG 3,200 12,927 # Ava Allgemeine Handelsgesellschaft der Verbraucher AG 30,800 1,007,566 * Baader Wertpapier Handelsbank AG 7,900 61,744 # Balda AG 31,600 251,142 *# Basler AG 3,200 42,387 # Beate Uhse AG 44,400 707,871 Bechtle AG 17,100 197,603 * Berliner Elektro Holding AG 13,861 111,324 Bertrandt AG 7,650 135,720 # Beru AG 9,400 569,035 * Beta Systems Software AG 2,850 30,747 Bilfinger & Berger Bau AG 34,600 1,111,553 * Biolitec AG 8,000 38,359
241
SHARES VALUE+ ------ ------ * Biotest AG 2,400 $ 19,995 Boewe Systec AG 5,700 252,811 * Borussia Dortmund GMBH & Co. KGAA 21,650 94,986 * Brau und Brunnen AG 4,995 481,405 Bremer Energiekonto AG 14,700 37,709 * Bremer Woll-Kaemmerei AG 17,128 22,996 * CBB Holding AG 102,602 13,037 * CTS Eventim AG 14,800 145,477 * Ce Consumer Electrnic AG 21,600 69,910 * Ceag AG 20,670 218,043 Celanese AG 20,650 717,856 * Cenit AG Systemhaus 3,500 29,369 * Centrotec Hochleistungskunststoffe AG 4,900 58,150 Cewe Color Holding AG 5,600 124,859 * Comdirect Bank AG 73,000 653,676 * Computerlinks AG 4,600 73,614 * Condomi AG 1,800 4,164 * Curanum AG 21,500 53,607 * D. Logistics AG 28,000 75,520 * DAB Bank AG 39,800 300,568 * DEAG Deutsche Entertainment AG 10,500 29,453 DVB Bank AG 7,124 742,101 * Data Modul AG 2,904 64,748 * Deutsche Euroshop AG 15,550 637,307 * Deutsche Steinzeug Cremer & Breuer AG 87,200 91,985 *# Deutz AG 60,400 241,826 * Deutz AG Issue 03 20,133 77,953 * Dierig Holding AG 10,500 163,500 Dis Deutscher Industrie Service AG 11,850 250,006 * Dom-Braugerei AG 1,100 47,865 Douglas Holding AG 36,650 1,001,678 * Dr. Scheller Cosmetics AG 4,000 21,817 * Drillisch AG 22,450 97,957 Duerr Beteiligungs AG 14,750 313,841 * Eckert and Ziegler Strahlen - und Medizintechnik AG 3,000 26,791 * Elexis AG 8,600 31,649 * Elmos Semiconductor AG 16,350 259,885 ElreingKlinger AG 1,500 128,563 *# Em TV & Merchandising AG 137,050 162,642 * Epcos AG 55,500 1,267,381 Erlus Baustoffwerke AG 297 118,555 Escada AG 20,520 270,576 * Eurobike AG 1,700 469 * Evotec Biosystems AG 30,100 212,160 # FJA AG 7,150 175,103 Feilmann AG 17,800 755,340 * Fortec Elektronik AG 1,400 45,647 *# Freenet.De AG 16,800 993,839 Fuchs Petrolub AG Oel & Chemie 6,693 415,194 GFK AG 25,600 721,153 * GPC Biotech AG 17,600 164,561 *# Gft Technologies AG 22,600 85,879 Grenkeleasing AG 12,650 286,597 Gwag Bayerische Wohnungs- Aktiengesellschaft AG 3,383 150,046 Hamborner AG 21,000 571,432 * Hawesko Holdings AG 3,300 79,116 * Herlitz AG 6,962 30,461 # Hochtief AG 34,000 $ 921,100 * Hoeft & Wessel AG 6,100 23,326 Holsten-Brauerei AG 38,462 1,567,582 Hucke AG 8,300 32,833 Hugo Boss AG 25,100 457,337 * IFA Hotel & Touristik AG 7,000 62,933 *# IM International Media AG 19,800 30,380 IVG Immobilien AG 98,550 1,106,918 * Innovation in Traffic Systems AG 12,300 76,965 Interseroh AG 9,650 122,618 *# Intershop Deutschland AG 7,320 23,604 * Intertainment AG 8,500 20,378 * Isra Vision Systems AG 2,100 29,578 Iwka AG 26,613 519,040 *# Ixos Software AG 18,600 206,463 # Jenoptik AG 40,800 440,661 K & S Aktiengesellschaft AG 129,500 3,027,079 KSB AG 2,387 371,976 KWS Kleinwanzlebener Saatzucht AG 1,650 991,027 * Kampa-Haus AG 10,375 78,352 Keramag Keramische Werke AG 13,000 654,504 Kloeckner-Werke AG 38,900 364,650 * Kontron AG 42,878 321,243 Krones AG 7,450 520,469 * LPKF Laser & Electronics AG 9,000 54,374 Leifheit AG 12,500 353,774 Leoni AG 25,000 1,287,130 Loewe AG 7,100 56,853 # MVV Energie AG 48,000 872,863 * MWG Biotech AG 19,400 23,720 * Maternus-Kliniken AG, Bad Oyenhausen 2,400 1,784 Maxdata AG 24,600 166,021 * Mediclin AG 22,050 51,542 * Medigene AG 8,600 65,772 * Mensch und Maschine Software AG 1,400 13,946 *# Morphosys AG 3,100 36,083 Muehlabauer Holdings AG & Co. KGAA 5,900 137,984 * Nemetschek AG 7,400 47,901 Norddeutsche Affinerie AG 30,700 328,632 Norddeutsche Steingutfabrik AG 5,960 32,150 Novasoft AG 11,800 44,274 * November AG 5,400 35,990 * Ohb Teledata 12,650 103,569 PC-Ware Information Technologies AG 5,100 55,266 * PVATepla AG 15,550 36,535 * Pandatel AG 5,700 40,996 *# Parsytec AG 11,900 68,186 * Personal & Informatik AG 5,900 32,887 Pfeiffer Vacuum Technology AG 8,250 273,048 * Pfleiderer AG 36,250 181,637 * Phoenix AG, Hamburg 37,500 409,065 * Plambeck Neue Energien AG 5,250 14,915 * Plenum AG 9,300 22,854 * Primacom AG 15,200 20,929 * Produkte und Syteme der Informationstechnologie AG 10,300 53,091 Progress-Werk Oberkirch AG 5,000 199,588 Puma AG 5,700 899,871
242
SHARES VALUE+ ------ ------ *# Qs Communications AG 98,700 $ 333,646 Rational AG 10,612 582,616 * Realtech AG 3,650 38,722 Renk AG 19,400 616,264 * Repower Systems AG 5,000 103,390 Rheinmetall Berlin AG 45,000 1,478,027 Rhoen Klinikum AG 13,750 725,228 Rinol AG 5,900 21,925 * Rohwedder AG 610 6,435 * Ruecker AG 7,800 33,660 *# SAP Systems Integrations AG 33,650 653,461 * SGL Carbon AG 20,800 307,928 Salzgitter AG 58,650 593,376 Sartorius AG 6,550 69,801 Schlott Sebaldus AG 4,400 87,555 Schwarz Pharma AG 8,900 187,021 Sektkellerei Schloss Wachenheim AG 15,120 132,310 * Senator Entertainment AG 9,800 14,214 *# Singulus Technologies AG 34,600 736,197 Sinner AG, Karlsruhe 4,160 50,615 Sixt AG 15,400 212,294 *# Software AG 25,300 545,899 Stada Arzneimittel AG 20,000 1,174,750 * Stahl (R.) AG 2,000 16,782 * Steag Hamtech AG 28,200 157,189 * Stoehr & Co. AG 16,000 63,293 * Strabag AG 3,332 211,291 Stuttgarter Hofbraeu AG 18,000 604,157 Sued-Chemie AG 29,146 1,037,659 * Suess Microtec AG 14,000 177,891 * Syskoplan AG 3,300 26,702 * Syzygy AG 18,000 126,226 * TFG Venture Capital AG & Co. KGAA 8,800 21,098 Takkt AG 68,450 454,572 * Techem AG 23,150 442,620 Technotrans AG 5,000 74,321 * Telegate AG 10,800 117,552 * Teles AG Informationstechnologien 21,200 271,919 Textilgruppe Hof AG 12,170 93,366 *# Tomorrow Focus AG 42,650 117,589 * Umweltkontor Renewable Energy AG 14,100 21,297 United Internet AG 43,050 1,011,460 * VBH (Vereinigter Baubeschlag-Handel) AG 9,415 19,412 VK Muehlen AG 1,312 121,886 Vossloh AG 15,900 733,799 *# WCM Beteiligungs AG 245,466 361,923 * Walter Bau AG, Augsburg 33,905 67,061 Wanderer-Werke AG 7,903 202,733 * Wedeco AG Water Technology 10,550 224,603 * Westag and Getalit AG, Rheda-Wiedenbrueck 7,000 48,500 Wuerttembergische Lebensversicherung AG 11,330 177,918 Wuerttembergische Metallwarenfabrik AG 30,330 548,995 Wuerzburger Hofbraeu AG 134 61,381 Zapf Creation AG 7,500 173,066 --------------- TOTAL COMMON STOCKS (Cost $47,674,467) 57,045,489 --------------- RIGHTS/WARRANTS -- (0.0%) * DEAG Deutsche Entertainment AG Bond Rights 12/03/03 7,000 $ 0 * Fuchs Petrolub AG Oel & Chemie Rights 12/09/03 6,693 7,221 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 7,221 --------------- TOTAL -- GERMANY (Cost $47,674,467) 57,052,710 --------------- ITALY -- (8.9%) COMMON STOCKS -- (8.9%) *# Acea SpA 163,000 949,606 * Acegas SpA 27,200 164,005 * Actelios SpA 25,801 213,405 Aem Torino SpA 355,000 548,956 * Aeroporto de Firenze SpA 6,000 84,510 *# Alitalia Linee Aeree Italiane SpA Series A 2,712,400 871,381 * Amplifon SpA 15,200 417,252 * Auschem SpA (In Liquidation) 82,000 0 Azienda Mediterranea Gas e Acqua SpA 267,000 327,421 * Banca Ifis SpA 16,600 210,928 Banca Intermobiliare di Investimenti e Gestoni SpA 81,000 565,103 Banca Monte Dei Paschi di Siena SpA 229,515 753,843 Banca Popolare Dell'etruria e Del Lazio Scrl 19,000 416,797 Banca Profilo SpA 88,500 231,800 Banco di Desio e della Brianza SpA 90,000 375,441 Banco Piccolo Valellinese Scarl SpA 41,600 460,272 * Bastogi SpA 1,183,000 241,785 * Beghelli SpA 142,000 109,791 Beni Stabili SpA, Roma 1,309,500 784,865 Biesse SpA 17,100 48,478 * Binda SpA 1,299,375 0 Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma 9,675 151,349 Bremba SpA 53,375 374,934 Brioschi Finanziaria SpA, Milano 373,400 116,825 Buzzi Unicem SpA 94,100 1,139,280 CAMFIN (Cam Finanziaria) 36,527 88,009 CIR SpA (Cie Industriale Riunite), Torino 591,100 1,060,723 *# CMI SpA 64,502 327,837 CSP International Industria Calze SpA 10,000 17,262 # Caltagirone Editore SpA 95,800 783,194 # Caltagirone SpA 178,399 1,109,888 * Carraro SpA 26,200 72,863 Cementir Cementerie del Tirreno SpA 249,704 752,806 * Cirio Finanziaria SpA 175,000 36,501 Class Editore SpA 70,600 205,228 * Coats Cucirini SpA 30,000 33,085 * Compagnia Immobiliare Azionaria 44,000 7,331 Credito Artigiano SpA 93,900 379,328 Cremonini SpA 102,400 214,811 Danieli & C.Officine Meccaniche SpA 66,500 275,017 * Dataconsyst C.G.S. SpA, Monza 220 0 * Davide Campari - Milano SpA 13,400 588,224
243
SHARES VALUE+ ------ ------ * De Longhi SpA 115,000 $ 512,814 * Del Favero SpA 86,000 0 * Ducati Motor Holding SpA 112,500 190,822 Emak 27,000 107,130 Erg SpA 124,000 643,619 Ergo Previdenza SpA 69,200 348,397 Ericsson SpA 19,800 481,341 Esprinet 3,700 94,693 * FMC (Fabbrica Milanese Condutorri SpA) 25,000 0 * Finarte Casa d'Aste SpA (Milano) 56,266 117,359 * Finarte Partecipazioni Pro Arte SpA 242,693 60,948 *# Finmatica SpA 35,900 419,153 * Fochi (Filippo) SpA 216,000 0 * Fornara Societa Finanziaria e di Partecipazioni SpA 310,000 0 Gabetti Holding SpA 55,000 126,915 Gefran 11,000 53,139 * Gemina SpA 282,400 280,971 * Gerolimich SpA (In Liquidation) 297,400 0 Gewiss SpA 221,700 980,644 Giovanni Crespi SpA 21,000 17,797 Grandi Navi Veloci SpA 38,000 77,438 *# Granitifiandre SpA 28,500 245,978 * Grassetto SpA 279,125 0 Gruppo Ceramiche Ricchetti SpA 164,000 70,380 * I Grandi Viaggi SpA 28,100 22,366 ITALJOLLY (Cia Italiana dei Jolly Hotels SpA) 34,500 200,990 *# Immobiliare Lombardia SpA 425,000 81,004 Immsi SpA 287,000 323,392 Impregilo SpA 532,000 357,124 Industria Macchine Automatique SpA 27,000 349,224 Industria Romagnola Conduttori Elettrici SpA 17,500 52,864 # Industrie Zignago S. Margherita SpA 52,000 771,691 Interpump Group SpA 64,700 271,451 Italmobiliare SpA, Milano 12,750 583,839 * Juventus Footbal Club SpA 98,000 223,790 * La Doria SpA 22,000 60,919 * Lavorwash SpA 10,000 23,495 Linificio and Canapificio Nazionale SpA 22,000 45,623 Maffei SpA 52,500 95,658 * Mandelli SpA 41,000 0 Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 1,511,975 * Marcolin SpA 35,100 50,995 * Mariella Burani Fashion Group SpA 20,400 188,540 * Meliorbanca SpA 62,500 319,910 Merloni Elettrodomestici SpA 155,000 2,887,368 # Milano Assicurazioni SpA 266,700 890,364 Mirato SpA 12,000 87,747 Monrif SpA 150,000 145,645 * Montefibre SpA 143,130 75,492 * NGP SpA 17,891 12,031 Navigazione Montanari SpA 95,200 176,884 * Necchi SpA 164,250 13,782 * Negri Bossi SpA 13,700 36,130 * Olidata SpA 20,000 32,174 * Opengate Group SpA 4,000 9,158 * Pagnossin SpA 9,000 19,959 * Perlier SpA 100,700 $ 25,820 Permasteelisa SpA 21,300 347,247 Pininfarina SpA 31,285 928,552 * Pirelli & C.Real Estate SpA 9,600 276,762 * Poligrafici Editoriale SpA 132,000 284,817 * Premafin Finanziaria SpA Holding di Partecipazioni, Roma 311,330 312,368 Premuda SpA 38,700 60,911 * Ratti SpA 31,768 25,629 # Recordati Industria Chimica e Farmaceutica SpA 48,000 922,922 * Reno de Medici SpA, Milano 332,210 297,477 * Richard-Ginori 1735 SpA 128,000 122,749 Risanamento Napoli SpA 212,600 365,708 * Rodriquez SpA 41,250 0 * Roncadin SpA 81,400 47,812 SAES Getters SpA 14,750 170,977 SAI SpA (Sta Assicuratrice Industriale), Torino 32,500 568,795 SISA (Societa Imballaggi Speciali Asti SpA) 65,000 155,834 SMI STA Metallurgica Italiana SpA 565,280 217,514 SNIA SpA 568,977 1,265,197 * SOPAF (Societa Partecipazioni Finanziarie SpA) 85,000 27,460 Sabaf SpA 8,000 133,586 Saeco International Group SpA 154,000 629,498 * Schiapparelli 1824 SpA, Milano 166,200 26,099 * Sirti SpA 29,967 54,602 # Societe Cattolica di Assicurazoni Scarl SpA 27,170 925,295 * Societe Sportiva Lazio SpA 1,815,000 98,994 Sogefi SpA 182,500 625,674 Sol SpA 70,200 302,100 Stefanel SpA 54,400 118,683 Targetti Sankey SpA 8,000 29,057 * Tecnodiffusione Italia SpA 3,332 15,737 Terme Demaniali di Acqui SpA 532,000 264,017 # Tod's Group SpA 23,400 971,657 * Trevi-Finanziaria Industriale SpA 30,000 41,140 * Tripcovich (D.) & Co. SpA Navigazione Rimorchi e Salvataggi Trieste 113,898 0 * Unione Manifatture SpA (In Liquidation) 156,000 0 * Unipar (Unione Nazionale di Participazione SpA) (In Liquidation) 539,000 0 * Vemer Siber Group SpA 46,000 50,785 * Viaggi del Ve 23,000 55,968 Vianini Industria SpA 52,520 154,245 Vianini Lavori SpA 180,752 1,115,860 Vittoria Assicurazioni SpA 51,500 305,585 Zucchi (Vincenzo) SpA 144,375 756,167 --------------- TOTAL COMMON STOCKS (Cost $37,718,211) 43,360,556 --------------- RIGHTS/WARRANTS -- (0.0%) * Tecnodiffusione Italia SpA Warrants 11/15/04 (Cost $0) 1,332 283 --------------- TOTAL -- ITALY (Cost $37,718,211) 43,360,839 ---------------
244
SHARES VALUE+ ------ ------ SWITZERLAND -- (8.8%) COMMON STOCKS -- (8.8%) * A. Hiestad Holding AG 190 $ 66,874 * AFG Arbonia-Forster Holding AG 2,610 300,831 * Accumulatoren-Fabrik Oerlikon, Zuerich 30 13,344 * Actelion, Ltd. 4,400 421,205 * Agie Charmilles Holding AG 3,000 148,524 * Allreal Holding AG 3,657 254,320 Also Holding AG 268 63,024 * Amazys Holding AG 1,183 36,147 * Ascom Holding AG 7,700 72,073 BHB Beteiligungs und Finanzgesellschaft 150 5,095 BVZ (Brig Visp Zermatt) Holding AG 370 73,987 Bachem AG 3,059 143,163 Bank Coop AG 5,881 1,046,344 Bank Sarasin & Cie Series B, Basel 274 415,434 * Banque Cantonale de Geneve 1,344 165,827 Banque Cantonale du Jura 450 73,102 * Banque Cantonale Vaudoise 600 63,123 Banque Privee Edmond de Rothschild SA, Geneve 120 1,141,779 Barry Callebaut AG 2,326 420,588 Basellandschaftliche Kantonalbank 600 377,808 Basler Kantonalbank 5,250 332,613 * Batigroup Holding AG 2,902 25,704 Belimo Holdings 240 91,714 * Berna Biotech 13,727 138,043 * Berner Kantonalbank 2,315 266,381 Bobst Group SA 18,200 612,430 Bossard Holding AG 6,350 265,255 Bucher Industries AG, Niederweningen 3,355 456,773 Caisse d'Epargne Cantonale Vaudoise, Lausanne 427 278,122 * Calida Holding AG 396 67,699 * Carlo Gavazzi Holding AG 910 38,717 * Charles Voegele Holding AG 3,960 240,776 Cie Financiere Tradition 5,202 482,889 Conzzeta Holdings AG 1,415 1,061,753 * Crossair AG, Basel 13,517 106,654 Daetwyler Holding AG, Atldorf 348 531,400 EGL (Elektrizitaets-Gesellschaft Laufenberg) AG, Laufenberg 8,390 3,920,075 * ESEC Holding AG 921 138,572 Edipresse SA, Lausanne 694 319,427 * Eichhof Holding AG 188 111,835 Energie Electrique du Simplon SA 350 33,437 Energiedienst Holding AG 8,265 2,141,821 Escor Casino & Entertainment AG 744 16,978 Feintol International Holding AG 110 18,975 * Fischer (Georg) AG, Schaffhausen 1,552 265,326 * Flughafen Zuerich AG 1,842 93,972 * Forbo Holding AG, Eglisau 1,100 306,331 Fuchs Petrolub AG Oel & Chemie Non-Voting 6,003 377,300 Galenica Holding, Ltd. AG, Bern 4,290 580,752 Geberit AG 870 379,572 Generale d'Affichage, Geneve 290 135,722 * Generali (Switzerland) Holdings, Adliswil 1,670 $ 213,155 * Golay-Buchel Holding SA, Lausanne 40 32,490 Gornergrat Monte Rasa-Bahnen Zermatt 70 47,110 Gurit-Heberlein AG 1,125 730,147 * HPI Holding SA 6,000 10,722 Helvetia Patria Holding 2,831 431,421 * Industrieholding Cham AG, Cham 864 151,049 * Interroll-Holding SA 320 32,180 Jelmoli Holding AG 1,521 1,423,673 # Jelmoli Holding AG, Zuerich (Namen) 2,835 521,946 Kaba Holding AG 1,340 253,961 * Kardex AG, Zuerich 1,039 122,167 * Kardex AG, Zuerich (Participating) 610 72,668 * Komax Holding AG 1,100 75,094 * Kudelski SA 13,000 416,834 Kuoni Reisen Holding AG 1,350 438,610 * Leica Geosystems Holdings AG 1,057 165,575 * Lem Holdings AG, Lyss 270 49,918 Luzerner Kantonalbank AG 3,200 465,375 * Maag Holding AG, Zuerich 922 123,210 * Micronas Semi 12,202 556,902 * Mikron Holding AG, Biel 2,652 36,516 * Mobilezone Holding AG 13,349 25,403 * Moevenpick-Holding, Zuerich 1,320 714,772 Nobel Biocare Holding AG 45,460 4,263,897 Orell Fuessli Graphische Betriebe AG, Zuerich 240 258,803 Oz Holding AG 4,400 268,890 PSP Swiss Property AG 3,442 477,272 * Parco Industriale e Immobiliare SA 600 1,624 * Phoenix Mecano AG, Stein am Rhein 2,749 816,585 Phonak Holding AG 29,137 637,862 * Publicitas Holding SA, Lausanne 1,115 301,883 *# Reg Real Estate Group 8,010 481,448 Rieters Holdings AG 2,056 439,758 Roche Holding AG Genusschein 800 72,096 SAIA-Burgess Electronics AG 274 96,440 * SIA Abrasives Holding AG 337 59,698 Sarna Kunststoff Holding AG 1,760 159,292 * Saurer AG 6,943 308,824 * Schaffner Holding AG 300 44,789 * Schweiter Technology AG 500 67,687 Schweizerhall Holding AG, Basel 140 178,693 Schweizerische National Versicherungs Gesellschaft 472 197,166 Siegfried Holding AG 8,560 1,021,397 Sig Holding AG 3,000 404,380 * Sihl 150 451 Sika Finanz AG, Baar 925 375,661 Sopracenerina 2,409 316,797 * St. Galler Kantonalbank 1,596 289,515 Sulzer AG, Winterthur 1,637 409,655 * Swiss Prime Site AG 1,492 264,302 * Swisslog Holding AG 6,810 35,243 Tamedia AG 4,500 310,160 Tecan Group AG 5,859 228,655 * Temenos Group AG 24,359 169,400 * UMS Schweizerische Metallwerke Holding AG, Bern 2,560 71,093
245
SHARES VALUE+ ------ ------ Unaxis Holding AG 1,000 $ 137,694 Unilabs SA 2,700 55,348 Valiant Holding AG 6,278 433,436 Valora Holding AG 1,857 441,007 * Vaudoise Assurances Holding, Lausanne 45 56,741 Villars Holding SA, Fribourg 150 30,169 * Von Roll Holding AG 23,024 18,167 *# Von Roll Holding AG, Gerlafingen 23,024 20,482 Vontobel Holdings AG 29,250 643,730 * Walliser Kantonalbank 150 32,606 Wmh Walter Meier Holding Ag, Zuerich 1,000 51,829 Zehnder Holding AG 193 142,430 Zschokke Holding SA, Geneve 230 79,886 * Zueblin Holding AG 10,093 71,127 Zuger Kantonalbank 545 1,079,275 * Zuger Kantonalbank New Shares 45 87,374 --------------- TOTAL COMMON STOCKS (Cost $26,142,712) 42,661,225 --------------- PREFERRED STOCKS -- (0.0%) Fuchs Petrolub AG Oel & Chemie 7.29% Non-Voting (Cost $266,229) 6,003 292,553 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs (Cost $18,285) 18,554 --------------- RIGHTS/WARRANTS -- (0.0%) * Fuchs Petrolub AG Oel & Chemie Preferred Rights 12/11/03 6,003 0 * Fuchs Petrolub AG Oel & Chemie Rights 12/15/03 6,003 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 0 --------------- TOTAL -- SWITZERLAND (Cost $26,427,226) 42,972,332 --------------- GREECE -- (6.9%) COMMON STOCKS -- (6.9%) * A. Cambas Holding & Real Estate SA 36,750 103,084 * AS Co. S.A. 25,370 50,179 Aegek 99,835 238,153 * Agrotiki Insurance S.A. 34,455 235,422 Aktor Technical Co. S.A. 130,640 798,667 Alco Hellas ABEE S.A. 38,730 75,211 * Alfa Alfa Energy S.A. 3,810 33,431 Alfa-Beta Vassilopoulos S.A. 12,732 205,429 Alisida S.A. 2,160 8,286 * Allatini Industrial & Commercial Co. 15,370 35,006 Alpha Leasing 49,481 323,855 * Alte Technological Co. S.A. 85,048 114,183 * Altec Information & Communication Systems S.A. 80,278 77,947 Alumil Milonas S.A. 27,516 136,554 * Aluminum of Attica S.A. 104,982 128,361 * Anek Lines S.A. 60,821 96,967 Arcadia Metal Industry C. Rokas S.A. 22,389 132,044 * Aspis Bank 45,604 164,000 * Aspis Pronia General Insurance S.A. 48,640 $ 87,459 * Astir Palace Vouliagmenis S.A. 44,370 405,288 Athens Medical Center S.A. 104,974 212,661 Athens Water Supply & Sewage Co.S.A. 53,245 404,657 * Atlantic Super Market S.A. 13,640 22,237 Attica Enterprises S.A. Holdings 130,214 540,074 Attica Publications S.A. 16,674 87,945 Atti-Kat S.A. 88,984 123,734 Autohellas S.A. 22,490 194,107 Babis Vovos S.A. 42,412 859,201 * Balafas Construction Holdings S.A. 15,200 24,051 * Bank of Attica S.A. 105,221 456,594 * Bank of Greece 2,366 281,349 Bank of Piraeus S.A. 163,829 1,673,207 Benrubi S.A. 9,221 112,966 * Betanet S.A. 11,220 57,834 * Bitros Holdings S.A. 19,302 69,182 * Byte Computers S.A. 17,230 69,398 Chipita S.A. 46,325 207,686 Commercial Bank of Greece 1,960 41,304 * Compucon Computer Applications S.A. 11,260 22,001 * Computer Peripherals International S.A. 9,110 22,496 * Cyclon Hellas S.A. 18,131 25,212 * Daios Plastics S.A. 16,350 64,285 Delta Holdings S.A. 33,747 242,720 Dionic SA 12,948 15,987 * Domiki Krittis S.A. 11,820 63,193 Edrassi C. Psallidas S.A. 15,554 37,849 Egnatia Bank S.A. 106,477 351,001 El. D. Mouzakis S.A. 31,653 59,191 Elais Oleaginous Production S.A. 16,707 303,611 * Elbisco Holding S.A. 56,000 441,706 Elektrak SA 14,040 35,680 * Elektroniki of Athens S.A. 21,560 82,702 * Elgeka S.A. 18,590 128,803 Elmec Sport S.A. 64,256 181,009 * Elton S.A. 9,320 94,963 * Etba Leasing S.A. 17,297 43,127 * Ethniki General Insurance Co. S.A. 71,719 476,281 * Etma Rayon S.A. 11,242 19,540 * Euro Reliance General Insurance 14,830 40,887 * Eurodrip S.A. 11,620 68,810 * Euromedica S.A. 33,300 83,028 * Europaiki Techniki 32,750 34,940 Everest S.A. 30,730 116,404 * Evrofarma S.A. 9,500 26,078 * F.G. Europe SA Common Registered Shares 4,536 20,118 * Fanco S.A. 10,110 31,025 * Forthnet S.A. 17,510 107,887 Fourlis S.A. 56,610 166,257 Frigoglass S.A. 49,990 212,132 * G.Polyhronos S.A. 10,580 22,321 * Galaxidi Fish S.A. 12,940 18,924 General Construction Co. S.A. 34,649 297,388 General Commercial and Industry 24,060 27,111 * General Hellenic Bank 31,139 217,990 Germanos S.A. 49,650 1,176,049 * Gianoussis S.A. 13,604 96,540 Gnomon Construction S.A. 23,297 21,504
246
SHARES VALUE+ ------ ------ Goody's S.A. 17,740 $ 266,668 Halkor S.A. 121,226 273,195 Hatziioannou S.A. 44,200 115,504 Hellas Can Packaging Manufacturers S.A. 27,902 189,309 Hellenic Cables S.A. 26,908 46,125 Hellenic Duty Free Shops S.A. 65,840 1,163,340 Hellenic Fabrics S.A. 17,110 58,659 Hellenic Sugar Industry S.A. 35,750 228,843 Hellenic Technodomiki S.A. 124,106 731,943 Heracles General Cement Co. 71,083 628,842 Hermes Real Estate S.A. 23,136 124,247 * Hippotour S.A. 12,155 25,936 Hyatt Regency S.A. 105,000 964,134 * Iaso S.A. 49,300 301,395 * Iktinos Hellas S.A. 6,500 23,375 Inform P. Lykos S.A. 20,610 110,188 * Informatics SA 18,890 43,023 * Intersat S.A. 19,392 7,206 Intertech S.A. 12,236 48,990 * Intracom Constructions S.A. 30,520 73,902 Intracom S.A. 161,516 1,041,639 * Ionian Hotel Enterprises 16,754 249,436 * J Boutaris & Son Holding S.A. 28,150 46,229 J&P-Avax S.A. 91,496 541,812 Kalpinis Simos Steel Service Center 12,432 45,602 Karelia Tobacco Co., Inc. S.A. 2,160 137,282 Kathimerini S.A. 21,240 188,411 Katselis Sons S.A. 9,000 80,051 * Kego S.A. 21,670 48,576 * Kekrops S.A. 2,244 69,347 * Keramia-Allatini S.A. Industrielle Commerciale & Technique 10,368 38,777 * Klonatex Group S.A. Bearer Shares 20,351 86,847 * Kordellou Brothers S.A. 12,300 24,770 * Kotsovolos SA 2,872 12,256 * Lambrakis Press S.A. 94,120 595,710 * Lampsa Hotel Co. 19,051 157,575 Lavipharm S.A. 39,294 75,364 * Lazarides Vineyards S.A. 16,660 54,720 Light Metals Industry 37,502 111,937 * Logic Dis S.A. 77,230 78,691 Loulis Mills S.A. 15,382 58,267 * MLS Multimedia S.A. 8,300 37,410 Mailis (M.J.) S.A. 90,804 333,078 * Maritime Company of Lesvos S.A. 30,753 25,436 * Maxim Knitwear Factory C.M. 16,360 20,003 * Medicon Hellas S.A. 2,600 23,811 Mesochoritis Bros. Construction Co. 23,700 22,160 Metka S.A. 36,270 195,650 Michaniki S.A. 98,065 315,042 Minerva Knitwear 5,140 19,717 * Minoan Lines S.A. 77,309 164,957 Mochlos S.A. 46,265 44,368 * Motor Oil (Hellas) Corinth Refineries S.A. 138,470 1,161,912 Mytilineos Holdings S.A. 47,000 299,729 * N. Levederis S.A. 8,355 7,812 N.B.G. Real Estate Development Co. 122,710 770,780 * Naoussa Spinning Mills S.A. 21,832 91,074 * Naytemporiki S.A. 26,080 152,562 * Neorion-Syro's Shipyards S.A. 27,210 $ 116,770 * Nexans Hellas S.A. 3,003 10,475 Nikas S.A. 25,287 203,698 Notos Com.Holdings S.A. 85,974 358,646 * O. Daring Sain 7,760 4,093 Pantechniki S.A. 50,460 123,395 * Pegasus Publishing & Printing S.A. 58,590 176,988 * Persefs S.A. Health Care 19,660 102,280 * Persefs S.A. Health Care New Shares 3,932 20,456 Petros Petropoulos SA 7,360 52,936 * Petzetakis S.A. 22,560 67,879 * Pilias S.A. 103,584 52,151 * Pipeworks L. Girakian Profil S.A. 11,730 18,279 * Promota Hellas S.A. 26,580 53,528 * Proodeftiki Technical Co. 32,257 32,867 Rilken S.A. 1,982 18,627 * Sanyo Hellas S.A. 59,251 128,556 Sarantis S.A. 43,940 166,443 * Sato S.A. 28,850 35,275 Selected Textile Industry Assoc. S.A. 44,649 63,691 Sfakianakis S.A. 13,390 47,029 * Sheet Steel S.A. 25,850 19,832 * Shelman 38,042 68,403 Silver and Baryte Ores Mining Co. S.A. 34,961 260,672 Singular S.A. 54,600 149,881 Spyroy Agricultural House S.A. 22,258 33,352 * Stabilton S.A. 27,530 2,640 Strintzis Shipping Lines S.A. 131,240 209,236 Technical Olympic S.A. 165,620 829,867 * Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 13,910 10,505 Teletypos S.A. Mega Channel 36,227 226,685 Terna Tourist Technical & Maritime S.A. 57,450 512,368 * Themeliodomi 37,422 106,315 Thrace Plastics Co. S.A. 45,500 64,905 Uncle Stathis S.A. 10,999 81,482 Unisystems S.A. 41,820 97,755 * Vardas S.A. 13,780 54,511 * Varvaressos S.A. European Spinning Mills 7,200 15,535 Veterin 18,984 88,296 Viohalco 249,335 1,309,112 Vioter S.A. 61,470 103,160 * Vis Container Manufacturing Co. 4,259 16,235 Zampa S.A. 830 11,740 --------------- TOTAL COMMON STOCKS (Cost $30,722,465) 33,364,636 --------------- PREFERRED STOCKS -- (0.0%) Egnatia Bank S.A. (Cost $8,591) 3,196 9,961 --------------- TOTAL -- GREECE (Cost $30,731,056) 33,374,597 --------------- SWEDEN -- (6.3%) COMMON STOCKS -- (6.3%) * ADCore AB 50 107 * Active Biotech AB Series A 4,160 27,803 * Active Biotech AB Series B 20,080 150,146
247
SHARES VALUE+ ------ ------ Addtech AB Series B 12,800 $ 65,219 * Alfaskop AB 3,200 339 Angpannefoereningen AB Series B 10,800 165,800 *# Anoto Group AB 83,833 184,173 Axfood AB 49,500 1,100,569 *# Axis AB 42,700 88,722 * B & N Bylock & Nordsjoefrakt AB Series B 41,800 69,150 Beiger Electronics AB 11,700 109,938 Beijer AB Series B 11,700 120,003 Beijer Alma AB Series B 10,400 89,464 Bergman & Beving AB Series B 36,200 221,337 # Biacore International AB 7,850 180,249 Bilia AB Series A 116,725 1,421,198 Billerud AB 38,800 575,112 * Boliden AB 53,200 239,383 * Bong Ljungdahl AB 9,000 28,586 * Boras Waefveri AB Series B 8,600 40,860 * Boss Media AB 25,500 72,557 * Capio AB 48,100 350,115 Capona AB 19,000 143,328 Carbo AB 27,800 702,718 Castellum AB 39,900 844,881 Cloetta AB Series B 15,600 355,104 * Concordia Maritime AB Series B 37,300 72,072 * Connecta AB 250 208 D. Carnegie & Co. AB 62,000 562,063 * Digital Illusions AB Series A 5,000 30,638 * Doro Telefoni AB Series A 2,900 3,493 Drott Series AB 85,400 1,497,534 * Duroc AB Series B 2,700 4,645 * Elekta AB 24,800 466,061 * Enea Data AB Series B 440,000 142,666 Eniro AB 51,300 458,273 Fagerhult AB 2,900 37,612 * Fagerlid Industrier AB 8,600 0 *# Finnveden AB 57,000 338,707 * Frontec AB Series B 18,200 13,007 Getinge AB 176,604 1,659,441 Geveko AB Series B 8,300 157,079 * Glocalnet AB 129,100 80,131 Gorthon Lines AB Series B 41,800 106,767 Gunnebo AB 17,100 423,195 HL Display AB Series B 4,200 58,363 Haldex AB 39,000 505,817 Heba Fastighets AB Series B 4,300 51,217 Hexagon AB Series B 3,572 92,183 * Hiq International AB 21,500 36,990 Hoganas AB Series B 31,700 656,563 * IBS AB Series B 65,200 114,763 * Industrial & Financial Systems AB Series B 29,700 30,462 * Industrifoervaltnings AB Skandigen 21,400 55,227 * Intentia International AB Series B 75,420 69,370 * Intrum Justitia AB 52,600 263,136 Karlshamns AB 14,900 182,403 Kinnevik Industrifoervaltnings AB Series B 44,400 1,325,050 Klippans Finpappersbruk AB 5,800 13,279 * Klovern AB B Shares 23,226 50,410 Kungsleden AB 17,600 449,545 * LGP Allgon Holding AB 41,280 $ 244,749 Lagercrantz Group AB Series B 12,800 38,962 Lindex AB 16,100 485,807 Ljungberg Gruppen AB Series B 3,800 50,291 * Lundin Petroleum AB 154,000 468,761 * Mandator AB 6,840 1,530 * Meda AB Series A 6,625 114,858 *# Medivir Series B 4,900 68,739 *# Micronic Laser Systems AB 27,200 269,981 *# Modern Times Group AB Series B 41,100 824,057 NCC AB Series B 38,200 272,998 * Net Insight AB Series B 111,400 19,903 New Wave Group AB Series B 9,000 172,113 Nibe Industrier AB 12,200 196,980 Nolato AB Series B 42,840 273,842 OEM International AB Series B 7,100 87,386 # OMHEX AB 78,100 878,563 Observer AB 137,856 611,186 Orc Software AB 10,500 126,454 * Ortivus AB 5,900 24,596 PEAB AB Series B 62,600 339,673 Pandox Hotelfastigheter AB 20,100 289,952 * Partnertech AB 3,800 17,350 * Pergo AB 43,300 87,103 Poolia AB Series B 18,150 55,727 * Prevas AB Series B 16,000 19,693 * Pricer AB Series B 91,000 6,744 * Proact It Group AB 15,000 48,438 Proffice AB 72,800 202,327 * Protect Data AB 6,500 23,226 * PyroSequencing AB 21,500 33,860 *# Q-Med AB 20,000 423,499 * Readsoft AB Series B 17,800 27,797 Rottneros Bruk AB 366,600 409,970 SSAB Swedish Steel Series A 60,300 993,550 SSAB Swedish Steel Series B 17,100 270,437 Sardus AB 5,700 75,813 * Scribona AB Series A 40,100 71,113 * Scribona AB Series B 31,700 57,056 * Semcon AB 18,300 39,235 * Sigma AB Series B 25,800 13,214 * Skistar AB 5,600 138,590 * Song Network Holding 43,845 356,860 Sweco AB Series B 23,450 204,828 * Switchcore AB 72,020 37,363 TV 4 AB Series A 7,000 134,329 # Teleca AB Series B 41,200 212,104 * Telelogic AB 162,400 270,807 * Ticket Travel Group AB 4,500 5,777 Trelleborg AB Series B 75,400 1,167,509 * WM-Data AB Series B 275,800 558,455 Wallenstam Byggnads AB Series B 16,700 363,568 * Wedins Norden AB Series B 280,000 72,260 * Westergyllen AB Series B 4,300 29,877 Whilborg Fastigheter AB Class B 57,960 690,357 * Wilh. Sonesson AB Series A 4,160 8,809 * Wilh. Sonesson AB Series B 4,160 8,919 --------------- TOTAL COMMON STOCKS (Cost $21,256,079) 30,353,176 ---------------
248
SHARES VALUE+ ------ ------ RIGHTS/WARRANTS -- (0.0%) * Pricer AB Rights 12/09/03 (Cost $0) 91,000 $ 602 --------------- TOTAL -- SWEDEN (Cost $21,256,079) 30,353,778 --------------- NETHERLANDS -- (5.8%) COMMON STOCKS -- (5.8%) * AFC Ajax NV 10,787 65,300 AM NV 63,300 469,693 *# ASM International NV 35,850 678,994 Aalberts Industries NV 25,910 661,556 Accell Group NV 5,010 135,126 * Airspray NV 3,800 83,815 Arcadis NV 14,000 152,717 * Atag Group NV 4,630 1,609 Athlon Groep NV 34,250 574,788 Batenburg Beheer NV 3,000 100,333 * Begemann Groep NV 11,909 57,102 * Begemann Groep NV Series B 13,451 9,352 * Beter Bed Holding NV 4,900 48,165 Boskalis Westminster NV 51,300 1,271,708 * Brunel International NV 12,000 78,397 Buhrmann NV 99,080 752,999 * Copaco NV 7,000 26,432 * Crucell NV 26,050 129,279 Delft Instruments NV 13,336 229,402 *# Draka Holding NV 14,287 257,920 * Econosto NV 17,305 28,004 Eriks Group NV 9,032 303,044 * Exact Holding NV 16,800 427,945 Fornix Biosciences NV 2,531 40,534 * Fox Kids Europe NV 56,900 402,424 Gamma Holding NV 15,705 652,320 Gemeenschappeljk Bezit Crown van Gelder NV 12,000 194,193 *# Getronics NV 240,180 495,205 Grolsche NV 32,100 875,399 Grontmij NV 2,053 51,951 # Hagemeyer NV 75,500 208,158 Heijmans NV 15,477 320,033 ICT Automatisering NV 5,800 80,094 # Imtech NV 28,645 631,809 * Ispat International NV 65,245 453,622 KLM (Koninklijke Luchtvaart Mij) NV 24,800 392,117 Kas Bank NV 42,888 797,897 * Kendrion NV 21,454 106,213 Koninklijke Bam NV 25,037 655,472 Koninklijke Frans Maas Groep NV 12,349 373,777 Koninklijke Nedlloyd NV 23,472 777,973 # Koninklijke Ten Cate NV 11,088 470,119 Koninklijke Vendex KBB NV 68,200 884,568 # Koninklijke Vopak NV 43,400 780,370 *# Laurus NV 416,097 673,361 MacIntosh NV 15,590 271,912 * Maverix Capital NV 1,500 68,327 * NH Hoteles 21,703 254,956 # NV Holdingsmij de Telegraaf 38,050 812,796 Nederlandsche Apparatenfabriek 14,000 322,217 * New Skies Satellites NV 94,650 654,660 Nutreco Holding NV 24,583 670,403 Oce NV 60,200 $ 860,186 Opg Groep NV Series A 10,100 385,733 *# Petroplus International NV 22,363 173,442 * Pinkroccade NV 16,700 200,587 Randstad Holdings NV 42,700 852,239 Reesink NV 2,050 119,183 Roto Smeets de Boer NV 2,640 82,597 Rubber Cultuur Maatschappij Amsterdam NV 40,800 110,043 * SNT Groep NV 9,400 141,977 * Samas-Groep NV, Zaandam 24,184 127,846 * Scala Business Solutions NV 12,100 44,674 * Semiconductor Industries NV 21,900 161,188 Sligro Food Group Beheer 14,528 426,669 Smit Internationale NV 20,578 604,103 Stern Groep NV 1,236 43,560 Stork NV 22,700 440,003 * Textielgroep Twenthe NV 1,000 2,997 * Tulip Computers NV 53,860 17,432 Twentsche Kabel Holding NV 18,244 413,334 United Services Group NV 15,565 314,390 Univar NV 7,050 111,976 Van Der Mollen Holding NV 57,660 411,255 Vedior NV 74,880 1,133,675 * Versatel Telecom International NV 336,600 685,934 * Wegener Arcade NV 70,830 596,887 --------------- TOTAL -- NETHERLANDS (Cost $19,502,763) 28,378,470 --------------- SPAIN -- (5.4%) COMMON STOCKS -- (5.4%) # Abengoa SA 56,900 402,424 Adolfo Dominguez SA 3,700 64,400 Aldeasa SA 13,200 307,128 * Amper SA 56,800 260,775 * Avanzit SA 17,275 54,669 *# Azkoyen SA 52,500 257,396 Banco de Andalucia 9,800 822,325 Banco de Credito Balear SA 35,424 721,882 Banco de Valencia SA 188,053 3,345,288 Banco Guipuzcoano SA 21,194 495,412 Banco Pastor SA 34,300 1,008,170 * Baron de Ley SA 4,200 188,195 CAF (Construcciones y Auxiliar de Ferrocarriles SA) 7,500 543,921 Campofrio Alimentacion SA 92,800 1,007,849 Cementos Portland SA 16,881 910,605 Compania de Distribucion Integral Logista SA 29,600 830,285 Cortefiel SA 49,200 415,790 * Dogi International Fabrics SA 4,000 17,981 Elecnor SA 18,300 743,653 * Ercros SA 100,518 44,583 * Espanola del Zinc SA 29,250 52,945 * Estacionamientos Urbanos SA 4,200 0 # Europistas Concesionaria Espanola SA 174,940 1,042,233 Faes Farma SA 27,111 384,784 Funespana SA 4,500 27,511 Grupo Empresarial Ence SA 16,040 324,945 *# Grupo Picking Pack SA 145,775 83,877
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SHARES VALUE+ ------ ------ Hullas del Coto Cortes 8,666 $ 105,959 Iberpapel Gestion SA 6,700 122,881 Inbesos SA 8,050 31,941 * Indo Internacional SA 33,600 149,025 Indra Sistemas SA 75,200 905,948 Inmobiliaria Colonial SA ICSA 35,200 754,448 Inmobiliaria del Sur SA 331 54,755 * Inmobiliaria del Sur SA Issue 2003 47 7,775 Inmobiliaria Urbis SA 80,282 731,394 * LSB (La Seda de Barcelona SA) Series B 25,200 54,676 Lingotes Especiales SA 22,080 126,781 * Mecalux SA 9,500 39,288 Metrovacesa SA 14,187 432,144 * Nicolas Correa SA 15,750 53,808 Obrascon Huarte Lain SA 53,992 345,613 * Parques Reunidos SA 15,300 114,078 Pescanova SA 26,443 405,416 Prosegur Cia de Seguridad SA 38,800 637,194 Recoletos Grupo de Comunicacion SA 82,300 695,518 * SOS Cuetara SA 10,400 263,671 * Sogecable SA 34,600 1,032,749 # Sol Melia SA 112,700 801,121 Tavex Algodonera SA 31,944 125,215 * Tecnocom Telecomunicaciones y Energia SA 6,300 33,757 *# Tele Pizza SA 122,900 206,253 Transportes Azkar, SA 26,700 162,910 Tubacex SA 73,130 125,358 Unipapel SA 34,946 627,103 * Unipapel SA Shares Issue 6,989 125,417 # Uralita SA 112,831 988,702 Vidrala SA, Alava 47,040 670,453 Viscofan Industria Navarra de Envolturas Celulosicas SA 97,492 816,894 --------------- TOTAL -- SPAIN (Cost $14,981,913) 26,107,271 --------------- FINLAND -- (4.8%) COMMON STOCKS -- (4.8%) Alandsbanken AB Series B 1,700 39,534 * Aldata Solutions Oyj 56,965 132,474 Alma Media Oyj 7,797 261,233 * Amanda Capital Oyj 51,210 11,050 Amer-Yhtymae Oyj Series A 22,120 925,401 * Aspo P.L.C. 7,050 117,892 Aspocomp Group P.L.C. 12,738 157,274 * Basware Oyj 7,050 46,481 * Benefon Oy 1,900 934 * Biotie Therapies Oyj 39,754 38,600 Capman Oyj Series B 12,485 27,238 *# Comptel Oyj 92,066 257,143 Elcoteq Network Corp. 16,210 322,560 * Elektrobit Group Oyj 571,957 377,090 * Elisa Communications Corp. 74,525 1,022,885 * Eq Online Oyj 7,100 18,384 * Evox Rifa Group Oyj 51,210 8,594 *# F-Secure Oyj 124,968 212,719 Finnair Oyj 77,910 501,518 Finnlines Oyj 30,280 1,041,372 # Fiskars Oy AB Series A 32,370 $ 422,950 HK Ruokatalo Oy Series A 16,370 130,494 # Huhtamaki Van Leer Oyj 92,100 1,017,911 Ilkka-Yhtyma Oyj 1,890 67,968 # J.W. Suominen Yhtyma Oy 11,970 95,419 Jaakko Poyry Group Oyj 12,500 329,649 KCI Konecranes International Oyj 13,800 443,998 Kemira Oyj 118,400 1,298,650 Kesko Oyj 32,060 557,251 Laennen Tehtaat Oy 3,930 55,166 Lassila & Tikanoja Oyj 14,350 471,671 Lemminkainen Oy 14,600 358,778 Martela Oy 530 8,675 Metsaemarkka Oyj Series B 700 5,454 New Kyro Corp. Oyj 36,470 349,740 Nokian Renkaat Oyj 9,700 759,284 Nordic Aluminium Oy 1,900 18,335 * Okmetic Oyj 9,794 41,091 Okobank Class A 33,440 709,110 Olvi Oyj Series A 3,320 57,269 Orion-Yhtyma Oyj Series A 20,590 459,080 Orion-Yhtyma Oyj Series B 30,460 681,335 Outokumpu Oyj Series A 21,100 282,018 Oy Stockmann AB Series B 24,300 583,454 PK Cables Oyj 4,760 128,669 # Perlos P.L.C. Warrants 04/04/04 47,791 361,489 Pohjola Group P.L.C. Series D 46,185 1,137,158 * Polar Real Estate Corp. Series K 154,810 142,892 Ponsse Oyj 6,300 136,313 * Proha Oyj 30,082 27,406 Raisio Group P.L.C. Series V 118,423 191,641 Rakentajain Koneuvokrammo Oy 10,260 70,965 * Ramirent Oyj 5,420 93,883 Rapala VMC Oyj 30,970 197,502 * Rautaruukki Oyj Series K 126,380 931,693 Rocla Oy 1,300 10,753 * Saunalahti Group Oyj 92,364 117,362 * Scanfil Oyj 55,249 390,747 Sponda Oyj 71,121 549,891 Stockmann Oyj AB 20,480 491,489 * Stonesoft Corp. 49,279 40,169 * Suominen Corp. Issue 2003 Shares 5,985 42,687 * Sysopen P.L.C. 7,720 39,330 Talentum Oyj 18,300 103,541 * Tecnomen Holding Oyj 36,470 53,773 Teleste Corp. Oyi 11,499 81,326 Uponor Oyj Series A 34,000 988,348 * Vacon Oyj 12,497 145,310 Vaisala Oy Series A 12,650 356,351 Viking Line AB 3,240 89,756 # Wartsila Corp. Oyj Series B 40,160 746,182 Yit-Yhtymae Oyj 26,854 856,269 --------------- TOTAL -- FINLAND (Cost $15,188,165) 23,248,021 --------------- NORWAY -- (4.2%) COMMON STOCKS -- (4.2%) * Aker Kvaerner ASA 67,930 1,124,959 Aktiv Kapital ASA 48,017 436,298 Arendals Fosse Kompani ASA 100 8,354 * Avantor Financial Corp. 13,270 115,227
250
SHARES VALUE+ ------ ------ * Blom ASA 18,367 $ 3,311 # Bonheur ASA 9,800 213,998 * C. Tybring-Gjedde ASA 1,451,452 53,179 * Choice Hotel Scandinavia ASA 27,740 74,803 * Corrocean ASA 19,321 8,070 * DOF ASA 97,006 181,972 Den Norske Oljeselkapet 85,320 325,103 *# EDB Elektronisk Data Behandling ASA 137,617 780,512 Ekornes ASA 52,390 905,998 *# Eltek ASA 40,842 298,080 * Expert ASA 48,758 242,953 Farstad Shipping ASA 60,790 512,267 * Fjord Seafood ASA 629,483 302,590 *# Fred Olsen Energy ASA 91,600 322,184 Ganger Rolf ASA 6,690 127,458 * Gresvig ASA 4,590 16,884 * Hafslund ASA 58,700 302,815 * Home Invest ASA 15,077 11,048 * Industrifinans Naeringseiendom ASA 7,582 11,112 * Kenor ASA 175,716 157,601 # Kongsberg Gruppen ASA 45,600 681,650 # Kverneland ASA 16,160 168,150 * Merkantildata ASA 320,521 230,170 * Natural ASA 10,143 63,622 *# Nera ASA 187,753 398,980 * Nordic VLSI ASA 5,000 52,759 *# Ocean Rig ASA 66,031 109,351 # Odfjell ASA Series A 24,910 489,187 Olav Thon Eiendomsselskap ASA 8,320 347,508 * P4 Radio Hele Norge ASA 32,200 17,932 *# Photocure ASA 26,690 176,018 Prosafe ASA 51,530 977,972 # Rieber and Son ASA Series A 63,654 471,101 Schibsted ASA 96,160 1,634,741 * Sinvest ASA 270,349 3,566 # Smedvig ASA Series A 83,580 563,452 * Software Innovation ASA 13,423 40,327 Solstad Offshore ASA 54,100 329,035 * Steen and Stroem ASA 19,512 353,155 * Storebrand ASA 183,330 1,120,382 * Tandberg ASA Series A 200,080 1,451,461 *# Tandberg Data ASA 58,950 161,556 * Tandberg Storage ASA 48,450 10,367 * Tandberg Television ASA 76,230 318,396 * Telecomputing ASA 44,963 74,461 *# Tgs-Nopec Geophysical Co. ASA 34,410 403,433 Tomra Systems ASA 271,280 1,538,599 * Unit 4 Agresso NV 4,620 46,718 Veidekke ASA 21,846 168,085 Visma ASA 47,393 475,775 Wilhelmshaven (Wilhelm), Ltd. ASA 28,000 718,113 --------------- TOTAL COMMON STOCKS (Cost $17,368,700) 20,132,798 --------------- BONDS -- (0.0%) Aker RGI Holding ASA ***4.660%, 12/05/03 (Cost $297,547) 2,010 176,761 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone (Cost $1,415) 1,423 --------------- TOTAL -- NORWAY (Cost $17,667,662) $ 20,310,982 --------------- DENMARK -- (4.1%) COMMON STOCKS -- (4.1%) # AS Dampskibsselsk Torm 19,830 466,467 Aarhus Oliefabrik A.S. Aeries A 4,350 220,072 * Alm. Brand A.S. 24,360 525,930 # Amagerbanken A.S. 2,394 235,288 Ambu International A.S. Series B 150 15,709 Amtssparekassen Fyn A.S. 1,968 221,640 Bang & Olufsen Holding A.S. Series B 13,387 506,870 Brodrene Hartmann A.S. Series B 5,865 123,790 Bryggerigruppen A.S. 6,015 334,349 Christian Hansen Holding A.S. Series B 10,030 555,911 *# Codan A.S. 43,400 1,363,546 DFDS A.S., Copenhagen 8,710 252,602 DSV, De Sammensluttede Vognmaend A.S. 22,630 886,005 Dalhoff, Larsen & Hornemann A.S Series B 1,370 54,742 Danware 4,185 65,742 DiskontoBanken A.S. 535 94,387 # East Asiatic Co., Ltd. 22,723 867,680 Edb Gruppen A.S. 3,230 62,450 * FLS Industries 54,980 589,077 * Fimiston Resources & Technology Ltd. 400 3,512 Fluegger A.S. Series B 2,338 108,865 * Foras Holding A.S. Series A 7,082 65,610 Forstaedernes Bank 3,547 169,732 * GN Great Nordic A.S. 210,980 1,339,316 * Genmab A.S. 25,029 217,762 * Glunz & Jensen A.S. 1,470 11,369 H&H International A.S. Series B 1,000 191,731 * Harboes Bryggeri A.S. 260 51,107 Hojgaard Holding A.S. Series B 2,500 60,419 * IC Co. A.S. 3,510 24,318 * Incentive A.S. 3,575 10,656 * Junckers (F.) Industrier A.S. 860 8,175 * Jyske Bank A.S. 37,760 1,794,732 Kjobenhavns Sommer Tivoli A.S. 190 41,633 Koebenhavns Lufthavne 9,910 1,093,729 Kompan A.S. 230 25,384 NKT Holding A.S. 27,245 502,618 * NTR Holdings A.S. 1,130 6,918 *# Neg Micon A.S. 29,108 314,219 * Neurosearch A.S. 7,710 207,451 Per Aarsleff A.S. Series B 1,545 46,301 * Pharmexa A.S. 3,235 16,679 *# RTX Telecom A.S. 8,400 78,497 Radiometer A.S. Series B 9,188 618,789 Ringkjobing Bank 1,670 100,362 * Ringkjobing Landbobank 1,400 322,559 Rockwool, Ltd. 3,820 93,552 * SAS Danmark A.S. 34,300 339,872 Sanistal A.S. Series B 1,786 86,327 Satair A.S. 1,350 23,491 Schouw & Co. A.S. 13,585 227,635 Simcorp A.S. 5,240 195,869 Sjaelso Gruppen A.S. 2,388 159,672 * Sondagsavisen A.S. 21,165 85,252 Spar Nord Holding 4,973 394,211 Sydbank A.S. 8,172 979,596
251
SHARES VALUE+ ------ ------ * TK Development 12,478 $ 34,177 Thrane & Thrane A.S. 4,208 113,902 * Topdanmark A.S. 28,300 1,431,732 Treka A.S. 8,498 134,180 VT Holdings Shares B 3,130 132,631 Vestas Wind Systems A.S. 27,377 412,423 Vestjysk Bank A.S. 1,080 288,157 * Wessel & Vett Magasin du Nord A.S Series C 2,102 46,398 --------------- TOTAL -- DENMARK (Cost $14,772,800) 20,053,777 --------------- BELGIUM -- (3.7%) COMMON STOCKS -- (3.7%) * Abfin SA 2,560 0 Ackermans & Van Haaren SA 24,280 520,980 * Arinso International NV 10,630 152,272 BMT NV 2,040 194,409 Banque Nationale de Belgique 710 3,045,216 Barco (New) NV 8,970 711,282 Bekaert SA 14,610 817,874 Brantano NV 2,060 66,920 * Brederode SA 12,180 228,643 CFE (Compagnie Francois d'Entreprises) 2,080 501,163 Carrieres Unies Porphyre 20 29,944 Cie Martime Belge SA 5,320 315,034 Cofinimmo SA 6,423 829,996 Commerciale de Brasserie SA COBRHA 115 96,497 # D'Ieteren SA 3,830 815,382 Deceuninck SA 63,700 1,947,148 * Docpharma SA NV 2,950 94,594 * Duvel Moorgat NV 3,870 101,178 * EVS Broadcast Equipment SA 1,100 44,832 * Exmar NV 3,080 123,684 Floridienne NV 2,033 118,195 Glaces de Moustier-sur-Sambre SA 13,370 405,642 Immobel (Cie Immobiliere de Belgique SA) 4,600 182,518 * Ion Beam Application SA 17,780 86,319 * Ipso-Ilg SA 5,990 43,082 * Kinepolis Group NV 5,020 90,264 Melexis NV 33,050 369,238 Metiers Automatiques Picanol 16,120 390,333 * Neuhaus NV 544 20,222 Nord-Sumatra Investissements SA 650 153,497 Omega Pharma SA 20,170 567,948 Papeteries de Catala SA 315 35,872 * Quick Restaurants SA 14,000 149,361 *# Real Software SA 10,280 8,996 Recticel SA 20,220 185,422 Resilux NV 1,350 102,518 Rosier SA 655 72,785 Roularta Media Groep 7,160 330,355 * SIPEF (Societe Internationale de Plantations & de Finance), Anvers 1,545 250,024 * Sait Radioholland 7,313 45,585 Sapec SA 3,635 196,299 * Sapec SA VVPR 75 70 Sioen Industries 15,500 138,423 Societe Belge Des Betons SA 8,500 $ 311,788 * Solvus SA 38,344 471,590 * Solvus SA Interim Strip VVPR 18,176 218 Spector Photo Group SA 3,688 52,830 * Systemat SA 2,450 11,131 *# Telindus Group SA 28,800 249,258 Ter Beke NV 2,281 139,449 Tessenderlo Chemie 19,550 615,405 UNIBRA 1,600 133,298 * Ubizen 14,300 15,256 * Umicore-Strip VVPR 456 295 # Union Miniere SA 9,586 640,047 VPK Packaging Group SA 6,345 197,373 Van de Velde NV 1,960 225,552 Warehouses de Pauw Sicafi 4,998 188,664 --------------- TOTAL -- BELGIUM (Cost $12,202,800) 17,832,170 --------------- AUSTRIA -- (2.7%) COMMON STOCKS -- (2.7%) * Austria Email AG 715 2,040 * Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 27,880 217,233 BBAG Oesterreichische Brau-Beteiligungs AG 7,984 1,181,876 BWT AG 13,530 213,925 Bank Fuer Kaernten und Steiermark AG 520 60,059 Bohler Uddeholm AG 9,020 583,118 Brau Union Goess-Reinighaus AG 10,720 1,627,879 * Ca Immobilien Invest AG 22,003 501,663 Constantia-Iso Holding AG 15,000 152,837 Constantia-Verpackungen AG 6,000 100,693 Flughafen Wien AG 14,792 629,469 * Immofinanz Immobilien Anlagen AG 165,130 1,243,097 # Lenzing AG 3,424 491,301 Manner (Josef) & Co. AG 870 34,415 Mayr-Melnhof Karton AG 9,840 1,054,631 Oberbank AG 3,555 303,416 Palfinger AG 7,610 199,869 * RHI AG, Wien 18,559 292,995 * Readymix Kies-Union AG 500 40,157 Rosenbauer International AG 850 43,773 * Sparkassen Immobilien 24,880 225,770 Ubm Realitaetenentwicklung AG 360 31,718 # Uniqa Versicherungen AG 79,223 749,286 * VA Technologie AG 11,400 316,902 Voestalpine AG 30,095 1,188,692 Wienerberger AG 63,642 1,611,991 * Wolford AG 4,100 88,466 --------------- TOTAL COMMON STOCKS (Cost $8,758,421) 13,187,271 --------------- RIGHTS/WARRANTS -- (0.0%) * Jenbacher AG Rights 03/31/08 (Cost $0) 7,860 0 --------------- TOTAL -- AUSTRIA (Cost $8,758,421) 13,187,271 ---------------
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SHARES VALUE+ ------ ------ IRELAND -- (2.7%) COMMON STOCKS -- (2.7%) Abbey P.L.C. 25,557 $ 196,069 * Arcon International Resources P.L.C. 143,750 7,237 * Ardagh P.L.C. 14,262 12,019 * Barlo Group P.L.C. 182,053 82,928 DCC P.L.C. 91,965 1,207,136 * Dragon Oil P.L.C. 104,167 57,439 * Elan Corp. P.L.C. 154,046 830,964 Fyffes P.L.C. 380,502 702,420 Glanbia P.L.C. 321,765 755,987 * Grafton Group P.L.C. 253,939 1,628,556 Greencore Group P.L.C. 213,126 779,212 Heiton Holdings P.L.C. 51,677 229,202 IAWS Group P.L.C. 105,879 1,186,700 IFG Group P.L.C. 37,599 43,268 IWP International P.L.C. 39,611 14,245 Independent News & Media P.L.C. 618,550 1,497,771 * Iona Technologies P.L.C. 21,281 98,214 Irish Intercontental Group P.L.C. 18,872 228,485 Jurys Hotel Group P.L.C. 69,061 836,130 Kingspan Group P.L.C. 183,188 878,368 McInerney Holdings P.L.C. 33,991 165,835 Paddy Power P.L.C. 49,663 415,535 Readymix P.L.C. 109,762 243,413 Ryan Hotels P.L.C. 68,061 85,666 United Drug P.L.C. 188,448 535,376 Waterford Wedgwood P.L.C. 806,657 270,749 --------------- TOTAL -- IRELAND (Cost $9,498,217) 12,988,924 --------------- PORTUGAL -- (1.6%) COMMON STOCKS -- (1.6%) * Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 194,100 211,732 * EFACEC (Empresa Fabril de Maquinas Electricas) 20,200 77,485 * Ibersol SGPS SA 14,462 67,263 * Impresa Sociedade Gestora de Participacoes Socias SA 163,000 679,964 * Impresa Sociedade Gestora de Participacoes Socias SA New Shares 27,166 113,325 * Investimentos Participacoes e Gestao SA Inapa 43,702 137,777 * Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho Administracao e Participacoes Financeiros SA) 130,000 1,371,341 * Mota-Engil SGPS SA 250,900 448,132 * Novabase SGPS 56,005 399,451 * Portucel-Empresa Produtora de Pasta de Papel SA 466,977 778,090 * Sag Gest - Solucoes Automovel Globais SGPS SA 235,500 409,334 * Salvador Caetano - Industrias Metalurgicas e Veiculos de Transporte SA 54,900 197,430 * Sociedad Construcoes Soares da Costa SA 19,200 $ 44,190 * Sociedade de Investimento e Gestao SGPS SA 160,396 721,015 * Sonae SGPS SA 1,079,900 906,152 * Sonaecom SGPS SA 321,175 885,501 * Teixeira Duarte Engenharia e Construcoes SA 609,000 562,118 --------------- TOTAL -- PORTUGAL (Cost $6,340,397) 8,010,300 --------------- EMU -- (0.1%) INVESTMENT IN CURRENCY -- (0.1%) * Euro Currency (Cost $463,597) 475,138 --------------- UNITED STATES -- (0.0%) COMMON STOCKS -- (0.0%) * InFocus Corp. (Cost $190,357) 10,455 82,804 --------------- UNITED KINGDOM -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * British Pound Sterling (Cost $7,627) 8,306 --------------- FACE AMOUNT ------ (000) TEMPORARY CASH INVESTMENTS -- (8.8%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $4,625,000 FHLB Notes 1.875%, 02/15/05, valued at $4,659,688) to be repuchased at $4,590,314 (Cost $4,590,000) $ 4,590 4,590,000 Repurchase agreements in a Pooled Cash Account, Mizuho Securities USA, 1.05%, 12/01/03 (Collateralized by $54,183,000 U.S. Treasury Obligations, rates ranging from 2.976% to 5.625%, maturities ranging from 02/15/06 to 11/15/25, valued at $38,000,919) to be repurchased at $38,004,244 (Cost $38,000,919)^ 38,001 38,000,919 --------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $42,590,919) 42,590,919 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $366,549,627)++ $ 485,434,900 ===============
---------- + 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 *** Rates shown are the rates as of November 30, 2003, and maturities shown are the next interest readjustment date. ++ The cost for federal income tax purposes is $363,107,669 See accompanying Notes to Financial Statements. 253 THE EMERGING MARKETS SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ ISRAEL -- (9.6%) COMMON STOCKS -- (9.6%) Africa-Israel Investments, Ltd. 10,870 $ 1,622,091 * Agis Industries (1983), Ltd. 71,436 1,950,957 American Israeli Paper Mills, Ltd. 3,291 172,545 * Bank Hapoalim, Ltd. 2,309,640 5,362,682 * Bank Leumi Le-Israel 2,802,069 4,865,594 Bezeq Israeli Telecommunication Corp., Ltd. 4,049,014 4,412,938 * Blue Square Chain Stores Properties Investment 46,103 515,152 Blue Square Israel, Ltd. 16,186 165,341 * CLAL Industries, Ltd. 289,038 1,362,756 CLAL Insurance, Ltd. 114,684 1,964,810 Delek Group, Ltd. 4,584 374,735 Discount Investment Corp 66,100 1,707,375 * Elbit Medical Imaging 17,319 112,415 Elbit Systems, Ltd. 98,319 1,594,961 Elite Industries, Ltd. 6,650 248,378 * Elron Electronic Industries, Ltd. 27,495 291,240 * First International Bank of Israel 48,660 272,719 * First International Bank of Israel, Ltd. 347,200 388,523 IDB Development Corp., Ltd. Series A 101,015 2,255,362 IDB Holding Corp., Ltd. 36,578 712,292 Industrial Building Corp., Ltd. 300,675 278,520 Israel Chemicals, Ltd. 2,410,526 3,164,612 Israel Corp. Series A 5,500 605,795 * Koor Industries, Ltd. 25,971 803,892 M.A.Industries, Ltd. 843,283 2,788,948 * Matav Cable Israel 19,027 156,133 Migdal Insurance Holdings 2,079,107 2,854,048 Osem Investment, Ltd. 210,522 2,144,173 Property and Building Corp., Ltd. 3,973 304,850 Super-Sol, Ltd. Series B 372,926 861,085 * Tefahot Israel Mortgage Bank, Ltd. 56,600 479,037 Teva Pharmaceutical Industries, Ltd. 209,140 12,456,904 * United Mizrahi Bank, Ltd. 384,693 1,205,653 --------------- TOTAL -- ISRAEL (Cost $39,413,217) 58,456,516 --------------- BRAZIL -- (9.1%) PREFERRED STOCKS -- (7.1%) Ambev Cia de Bebidas das Americas 12,453,835 2,934,913 Aracruz Celulose SA Series B 711,999 1,918,314 Banci Itau Holding Financeira 56,500,000 4,660,723 Banco Bradesco SA 746,183,093 3,582,793 Brasil Telecom Participacoes SA 164,643,872 1,251,450 * Braskem SA 30,000,000 481,507 Cimento Portland Itau 860,000 160,502 Companhia Brasileira de Distribuicao Pao de Acucar 28,730,000 635,628 * Companhia Siderurgica Paulista 65,000 16,322 * Compania Paranaense de Energia Series B 100,000,000 431,286 * Embratel Participacoes SA 143,582,922 510,604 Gerdau SA 81,852 1,344,295 Investimentos Itau SA 3,237,934 3,318,141 Klabin SA 542,875 $ 657,639 * Lojas Renner SA 800,000 5,429 Siderurgica Belgo-Mineira 4,010,000 857,245 Siderurgica de Tubarao Sid Tubarao 27,620,000 744,531 Siderurgica Paulista Casipa Series B 325 2,978 Suzano de Papel e Celulose 143,544 491,957 Tele Centro Oeste Celular Participacoes SA 230,437,922 713,130 Tele Norte Leste Participacoes SA 180,034,131 2,532,818 Telemar Norte Leste SA Series A 112,000,000 2,194,774 * Telesp Celular Participacoes 679,941,089 1,672,743 Telesp Participacoes SA 188,000,000 2,621,921 Telesudeste Celular Participacoes SA 81,000,000 159,416 Unibanco Unias de Bancos Brasileiros SA 3,500,000 66,508 Unibanco-Uniao de Bancos Brasileiros SA 12,963,000 596,025 Usinas Siderurgicas de Minas Gerais SA 52,039 490,018 Vale do Rio Doce Series A 188,160 7,291,439 * Vale do Rio Doce Series B 81,160 0 Votorantim Celulose e Papel SA 12,467,325 632,462 Weg SA 185,000 293,162 --------------- TOTAL PREFERRED STOCKS (Cost $28,912,571) 43,270,673 --------------- COMMON STOCKS -- (2.0%) Ambev Cia de Bebidas das Americas 3,320,000 704,106 Brasil Telecom Participacoes SA 59,520,574 371,625 Brasil Telecom SA 4,230,875 20,530 Brasil Telecom SA 310,600,000 1,575,660 Cemig Cia Ene 77,000,000 1,225,416 * Cpfl Geracao Energia SA 3,140,000 3,995 Embraer Empresa Brasileira de Aeronautica 413,521 3,029,494 * Embratel Participacoes 57,550,000 253,868 * Empresa Nasional de Comercio Redito e Participacoes SAncorpar 480,000 611 Petroquimica do Sul Copesul 2,276,000 94,994 Siderurgica Nacional Sid Nacional 41,651,000 1,871,256 Souza Cruz Industria e Comercio 221,000 2,131,259 Tele Centro Oeste Celular Participacoes 57,876,799 204,248 * Tele Norte Celular Participacoes 57,624,254 13,296 Tele Norte Leste Participacoes 58,595,122 613,390 Tractebel Energia SA 29,600,000 12,153 --------------- TOTAL COMMON STOCKS (Cost $7,495,878) 12,125,901 --------------- TOTAL -- BRAZIL (Cost $36,408,449) 55,396,574 --------------- SOUTH KOREA -- (9.0%) COMMON STOCKS -- (9.0%) * Amorepacific Corp. 2,100 295,246 * CJ Corp. 5,550 265,484 * Cho Hung Bank Co., Ltd. 135,810 377,360 Daelim Industrial Co., Ltd. 9,670 277,538
254
SHARES VALUE+ ------ ------ * Daewoo Heavy Industries & Machinery, Ltd. 41,150 $ 330,692 * Daewoo Securities Co., Ltd. 56,445 211,308 * Daewoo Shipbuilding & Marine Engineering Co., Ltd. 51,940 738,883 Daishin Securities Co., Ltd. 5,340 81,074 Hankook Tire Manufacturing Co., Ltd. 40,550 311,365 * Hite Brewery Co., Ltd. 4,750 333,909 * Hyundai Heavy Industries Co., Ltd. 20,520 646,985 * Hyundai Merchant Marine Co., Ltd. 27,000 196,988 * Hyundai Mobis 22,900 1,009,692 Hyundai Motor Co., Ltd. 95,919 3,638,706 * Hyundai Securities Co., Ltd. 49,011 266,247 * KT Corp. 32,200 1,242,943 * KT&G Corp. 48,980 902,547 * Kia Motors Corp. 97,120 848,351 Kookmin Bank 139,085 4,917,526 Koram Bank, Ltd. 54,820 638,476 Korea Electric Power Corp. 170,620 3,598,200 * Korea Exchange Bank 64,600 314,388 Korea Gas 20,860 466,814 Korean Air Co., Ltd. 17,670 261,658 Kumgang Korea Chemical Co., Ltd. 2,600 191,423 LG Chemical Investment, Ltd. 65,230 483,507 LG Chemical, Ltd. 28,206 1,102,851 * LG Electronics, Inc. 23,720 1,174,111 LG Engineering & Construction Corp. 12,480 188,438 LG Investment & Securities Co., Ltd. 29,880 208,803 LG Petrochemical Co., Ltd. 11,070 237,599 Nong Shim Co., Ltd. 1,550 288,840 POSCO 19,580 2,329,304 S-Oil Corp. 49,290 1,125,586 S1 Corp. 16,638 325,964 SK Corp., Ltd. 55,584 1,280,876 SK Telecom Co., Ltd. 9,090 1,467,044 Samsung Corp. 41,960 352,561 Samsung Electro-Mechanics Co., Ltd. 32,707 994,502 Samsung Electronics Co., Ltd. 36,128 13,975,725 Samsung Fire and Marine Insurance, Ltd. 21,719 1,199,735 * Samsung Heavy Industries Co., Ltd. 57,240 328,569 Samsung SDI Co., Ltd. 20,352 2,065,591 * Samsung Securities Co., Ltd. 18,040 388,699 Shinhan Financial Group Co., Ltd. 151,242 2,201,851 Shinsegae Co., Ltd. 4,010 800,632 --------------- TOTAL -- SOUTH KOREA (Cost $26,470,350) 54,884,591 --------------- THAILAND -- (8.7%) COMMON STOCKS (8.7%) * Advance Agro Public Co., Ltd. (Foreign) 334,100 303,347 Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 9,739,013 * Aromatics (Thailand) Public Co., Ltd. (Foreign) 1,387,500 1,650,752 BEC World Public Co., Ltd. (Foreign) 391,500 2,137,684 Bangkok Expressway Public Co., Ltd. (Foreign) 1,794,100 1,015,571 * Bank of Asia Public Co., Ltd. (Foreign) 9,363,000 1,242,928 * Bank of Ayudhya Public Co., Ltd. (Foreign) 5,174,500 $ 1,529,345 Banpu Public Co., Ltd. (Foreign) 132,000 304,170 * Capetronic International (Thailand) Public Co., Ltd. (Foreign) 4,490,000 195,682 * Central Pattana Public Co., Ltd. 835,500 1,025,410 Charoen Pokphand Foods Public Co., Ltd. (Foreign) 14,442,000 1,656,716 * DBS Thai Danu Bank Public Co., Ltd. (Foreign) 842,200 106,528 Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 4,100,710 2,721,824 Hana Microelectronics Public Co., Ltd. (Foreign) 238,300 620,744 * International Broadcasting Corp. Public Co., Ltd. (Foreign) 612,000 347,963 Krung Thai Bank Public Co., Ltd. (Foreign) 17,302,970 3,748,797 Land & Houses Public Co., Ltd. (Foreign) 2,130,310 688,316 National Finance and Securities Public Co., Ltd. (Foreign) 630,150 260,425 National Petrochemical Public Co., Ltd. (Foreign) 441,500 956,537 Ratchaburi Electricity Generating Holding Public Co., Ltd. (Foreign) 2,200,000 2,052,599 Shin Corporation Public Co., Ltd. (Foreign) 6,122,000 4,446,789 * Shinawatra Satellite Public Co., Ltd. (Foreign) 1,381,225 819,913 Siam Cement Public Co., Ltd. (Foreign) 270,000 1,528,366 Siam City Cement Public Co., Ltd. (Foreign) 633,413 3,268,206 * Siam Commercial Bank Public Co., Ltd. (Foreign) 2,549,166 2,585,880 Siam Makro Public Co., Ltd. (Foreign) 727,100 801,313 * TISCO Finance Public Co., Ltd. (Foreign) 1,231,100 963,604 * Telecomasia Corp. Public Co., Ltd. (Foreign) 6,977,800 952,511 * Thai Military Bank Public Co., Ltd. (Foreign) 11,657,100 1,532,869 Thai Stanley Electric (Thailand) Public Co., Ltd. (Foreign) 89,000 909,506 Thai Union Frozen Products Public Co., Ltd. (Foreign) 3,178,520 2,467,981 Vanachai Group Co-Foreign 950,200 302,255 --------------- TOTAL COMMON STOCKS (Cost $48,710,016) 52,883,544 --------------- RIGHTS/WARRANTS -- (0.0%) * Bank of Ayudhya Public Co., Ltd. Warrants 08/25/08 1,650,200 198,396 * Telecomasia Corp. Public Co., Ltd. (Foreign) Warrants 03/31/08 1,444,563 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 198,396 --------------- TOTAL -- THAILAND (Cost $48,710,016) 53,081,940 ---------------
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SHARES VALUE+ ------ ------ MEXICO --- (8.6%) COMMON STOCKS -- (8.6%) America Movil S.A. de C.V. Series L 5,862,000 $ 7,511,018 * America Telecom S.A. de C.V. Series A 1,749,071 2,061,747 Apasco S.A. de C.V. 112,200 848,120 * Carso Global Telecom S.A. de C.V. Telecom Series A1 1,748,071 2,466,554 Cementos de Mexico S.A. de C.V Series B 805,582 4,077,250 * Coca Cola Femsa S.A. de C.V Series L 318,100 641,205 * Consorcio Ara S.A. 100,000 241,275 Controladora Comercial Mexicana S.A. de C.V. Series B 365,700 336,847 * Corporacion Interamericana de Entramiento S.A. de C.V. Series B 75,000 131,461 Desc S.A. de C.V. Series B 365,000 114,040 Desc S.A. de C.V. Series C 6,905 1,936 El Puerto de Liverpool S.A. Series C1 339,500 362,999 Embotelladora Arca SA de CV , Mexico 318,500 642,012 * Empresas ICA Sociedad Controladora S.A. de C.V 207,900 47,738 Empresas la Moderna S.A. de C.V Series A 120,000 16,827 Fomento Economico Mexicano Series B & D 508,000 1,745,686 Gruma S.A. de C.V. Series B 90,406 112,510 Grupo Carso S.A. de C.V. Series A-1 409,000 1,362,111 Grupo Continental S.A. 346,600 492,095 Grupo Elektra S.A. de C.V 110,000 561,075 * Grupo Financiero BBva Bancomer 'B' Shares 2,198,672 1,913,442 Grupo Financiero del Norte S.A Series C 238,000 782,193 Grupo Financiero GBM Atlantico S.A. de C.V. Series L 22,745 4,585 Grupo Financiero Inbursa S.A. de C.V Series O 1,424,097 1,528,908 * Grupo Gigante S.A. de C.V. Series B 115,778 60,374 Grupo Industrial Alfa S.A. Series A 276,290 832,970 Grupo Industrial Bimbo S.A. de C.V Series A 550,000 927,413 Grupo Industrial Maseca S.A. de C.V Series B 229,000 92,722 Grupo Modelo S.A. de C.V. Series C 1,562,300 3,758,481 Grupo Televisa S.A. (Certificate Representing Series A, Series D & Series L) 1,375,000 2,807,787 * Hylsamex S.A. de C.V. Series B 60,000 37,545 Industrias Penoles S.A. de C.V 165,000 462,670 Kimberly Clark de Mexico S.A. de C.V Series A 578,000 1,433,573 * Nueva Grupo Mexico S.A. de C.V Series B 419,858 754,332 * Organizacion Soriana S.A. de C.V Series B 285,000 619,444 TV Azteca S.A. de C.V. Series A 1,055,000 567,710 Telefonos de Mexico S.A. Series A 100,000 166,079 Telefonos de Mexico S.A. Series L 4,532,000 7,502,871 * US Commercial Corp. S.A. de C.V 223,000 $ 85,993 Vitro S.A. 121,600 115,630 Walmart de Mexico S.A. de C.V Series C 1,556,955 4,148,158 Walmart de Mexico S.A. de C.V Series V 137,180 396,263 --------------- TOTAL COMMON STOCKS (Cost $40,119,156) 52,773,649 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Mexican Peso (Cost $26,135) 23,875 --------------- RIGHTS/WARRANTS -- (0.0%) * Empresas ICA Sociedad Controladora S.A. de C.V. Rights 12/09/03 (Cost $114,709) 207,900 22,593 --------------- TOTAL -- MEXICO (Cost $40,260,000) 52,820,117 --------------- TURKEY -- (8.6%) COMMON STOCKS -- (8.6%) Akbank T.A.S. 1,811,999,062 8,056,083 Anadolu Efes Biracilik ve Malt Sanayi A.S. 182,246,814 2,144,080 Arcelik A.S. 1,549,702,646 6,730,924 * Aygaz A.S. 593,998,416 1,320,448 * BSH Profilo Elektrikli Gerecler Sanayii A.S. 4,725,086 56,559 * Dogan Sirketler Grubu Holdings A.S. 577,649,971 675,637 * Dogan Yayin Holding A.S. 282,794,524 778,555 Enka Insaat Ve Sanayi A.S. 83,056,850 3,039,358 * Eregli Demir ve Celik Fabrikalari Turk A.S. 145,031,000 2,752,811 * Ford Otomotiv Sanayi A.S. 722,990,000 3,758,361 * Hurriyet Gazetecilik ve Matbaacilik A.S. 370,163,648 968,451 * Koc Holding A.S. 368,118,168 4,557,413 Migros Turk A.S. 180,108,150 2,168,197 Tat Konserve Sanayii A.S. 7 0 * Tofas Turk Otomobil Fabrikasi A.S. 1,489,092,271 2,240,768 Trakya Cam Sanayii A.S. 115,327,000 309,616 Tupras-Turkiye Petrol Rafineleri A.S. 289,886,950 2,022,467 * Turk Sise ve Cam Fabrikalari A.S. 430,349,924 594,601 * Turkiye Garanti Bankasi A.S. 1,549,482,967 3,311,993 * Turkiye Is Bankasi A.S. Series C 989,612,850 4,873,606 * Vestel Elektronik Sanayi Ticaret A.S. 240,241,000 706,591 * Yapi ve Kredi Bankasi A.S. 1,232,184,338 1,500,197 --------------- TOTAL -- TURKEY (Cost $30,184,710) 52,566,716 --------------- INDONESIA -- (8.4%) COMMON STOCKS -- (8.4%) PT Astra Agro Lestari Tbk 1,150,000 212,608 * PT Astra International Tbk 8,470,461 4,476,045 * PT Bank Central Asia Tbk 490,000 190,979 * PT Bank Danamon Indonesia Tbk 890,000 185,982 PT Bimantara Citra Tbk 943,500 360,099 PT Gudang Garam Tbk 4,695,500 7,009,846 PT Hanjaya Mandala Sampoerna Tbk 13,377,500 6,705,073
256
SHARES VALUE+ ------ ------ * PT Indocement Tunggal Prakarsa Tbk 7,362,000 $ 1,586,763 PT Indofood Sukses Makmur Tbk 18,886,400 1,497,910 PT Indonesian Satellite Corp.Tbk 2,993,500 4,024,671 PT International Nickel Indonesia Tbk 73,000 195,605 PT Kalbe Farma Tbk 1,050,000 98,818 * PT Lippo Bank Tbk Series A 3,281,200 192,365 * PT Lippo Land Development Tbk 166,500 10,767 * PT Makindo Tbk 2,236,500 226,806 PT Medco Energi International Tbk 9,754,000 1,518,626 * PT Panasia Indosyntec Tbk 75,100 2,428 PT Ramayana Lestari Sentosa Tbk 4,004,000 1,844,726 PT Sari Husada Tbk 13,793 23,191 PT Semen Gresik Tbk 1,739,502 1,676,501 PT Telekomunikasi Indonesia (Persero) Tbk Series B 18,576,820 13,342,795 PT Tempo Scan Pacific 277,000 170,941 PT Unilever Tbk 15,765,000 5,914,223 --------------- TOTAL -- INDONESIA (Cost $46,236,443) 51,467,768 --------------- MALAYSIA -- (8.0%) COMMON STOCKS -- (8.0%) AMFB Holdings Berhad 317,000 442,131 AMMB Holdings Berhad 951,443 713,582 * Aokam Perdana Berhad 333 5 Berjaya Sports Toto Berhad 518,000 545,263 British American Tobacco Berhad 167,000 1,889,737 Commerce Asset Holding Berhad 1,673,000 1,769,858 * Digi.Com Berhad 449,862 414,346 Diversified Resources Berhad 581,000 322,608 Gamuda Berhad 447,000 823,421 Genting Berhad 457,000 2,056,500 Golden Hope Plantations Berhad 632,000 565,474 Hong Leong Bank Berhad 874,250 1,207,845 Hong Leong Credit Berhad 727,429 966,715 Hong Leong Properties Berhad 175,328 26,761 IOI Corp. Berhad 615,000 1,181,447 IOI Oleochemical Industries Berhad 22,041 45,822 IOI Properties Berhad 103,000 216,842 Kuala Lumpur Kepong Berhad 462,500 803,289 * MBF Holdings Berhad 7,050 584 Magnum Corp. Berhad 1,007,500 726,460 Malakoff Berhad 566,000 811,763 Malayan Banking Berhad 1,988,500 5,232,895 Malayan Cement Berhad 1,739,000 414,157 Malaysia Mining Corp. Berhad 675,000 431,645 * Malaysian Airlines System Berhad 814,000 951,095 Malaysian International Shipping Corp. (Foreign) 635,666 1,990,638 Malaysian Pacific Industries 136,000 608,421 * Maxis Communications Berhad 100,000 188,158 Nestle (Malaysia) Berhad 146,000 810,684 O.Y.L. Industries Berhad 89,000 884,145 Oriental Holdings Berhad 168,000 190,105 PPB Group Berhad 294,000 468,079 Perusahaan Otomobil Nasional Berhad 338,000 760,500 Petronas Dagangan Berhad 322,000 588,921 Petronas Gas Berhad 1,283,000 2,414,066 * Plus Expressways Berhad 295,000 194,079 Public Bank Berhad (Foreign) 2,970,402 $ 2,212,168 RHB Capital Berhad 1,185,000 598,737 Resorts World Berhad 709,000 1,940,421 * Silverstone Corp. Berhad 11,587 1,098 Sime Darby Berhad (Malaysia) 1,394,800 1,945,379 Southern Bank Berhad 48,440 31,996 Southern Bank Berhad (Foreign) 734,437 479,317 Telekom Malaysia Berhad 1,829,000 4,139,316 Tenaga Nasional Berhad 1,718,000 4,091,553 * Time Dotcom Berhad 1,518,000 385,492 UMW Holdings Berhad 268,333 423,684 YTL Corp. Berhad 931,362 1,039,204 --------------- TOTAL COMMON STOCKS (Cost $46,883,068) 48,946,406 --------------- RIGHTS/WARRANTS -- (0.0%) * AMMB Holdings Berhad Rights 11/27/03 (Cost $0) 180,288 77,809 --------------- TOTAL -- MALAYSIA (Cost $46,883,068) 49,024,215 --------------- TAIWAN -- (7.7%) COMMON STOCKS -- (7.7%) Accton Technology Corp. 99,296 70,656 Acer, Inc. 456,767 652,715 * Advanced Semiconductor Engineering, Inc. 643,500 593,565 Advantech Co., Ltd. 58,706 91,970 Ambit Microsystems Corp. 60,852 156,807 Amtran Technology Co., Ltd. 66,080 56,889 * Arima Computer Corp. 178,800 64,399 Asia Cement Corp. 428,000 208,047 Askey Computer Co., Ltd. 60,200 33,141 Asustek Computer, Inc. 478,875 1,065,724 Au Optronics Corp. 896,750 1,073,999 Benq Corp. 433,600 511,686 * CMC Magnetics Corp. 547,400 411,952 CTB Financial Holding Co., Ltd. 2,086,535 1,221,982 Cathay Financial Holdings Co., Ltd. 767,529 1,110,276 * Cathay Real Estate Development Co., Ltd. 347,213 122,516 * Chang Hwa Commercial Bank 807,796 371,374 Cheng Shin Rubber Industry Co., Ltd. 171,698 230,271 Cheng Uei Precision Industry Co., Ltd. 39,215 82,105 * Chi Mei Optoelectronic Corp. 301,000 341,104 Chicony Electronics Co., Ltd. 45,240 86,771 * China Airlines 502,579 223,695 * China Development Financial Holdong Co., Inc. 932,000 412,099 China Motor Co., Ltd. 266,628 468,453 China Steel Corp. 1,984,916 1,586,770 * Chinatrust Financial Holdings Co., Ltd. 65,024 63,596 * Chinatrust Financial Holdings Co., Ltd. Preferred 162,048 47,452 * Chungwa Picture Tubes Co., Ltd. 1,008,000 441,277 Compal Electronics 621,810 844,860 * Compeq Manufacturing Co., Ltd. 131,300 71,129
257
SHARES VALUE+ ------ ------ * Cosmos Bank Taiwan 252,000 $ 130,612 D-Link Corp. 82,100 96,885 Delta Electronics Industrial Co., Ltd. 310,027 407,620 * E.Sun Financial Holding Co., Ltd. 444,000 256,129 Elitegroup Computer Systems Co., Ltd. 100,750 101,488 Eternal Chemical Co., Ltd. 93,000 56,644 Eva Airways Corp. 431,758 183,956 Evergreen Marine Corp., Ltd. 450,682 364,241 Far East Textile, Ltd. 753,980 366,503 * Far Eastern International Bank 303,000 143,736 * First Financial Holding Co., Ltd. 1,165,000 750,512 Formosa Chemicals & Fiber Co., Ltd. 902,491 1,374,217 Formosa Plastics Corp. 1,009,123 1,492,261 Formosa Taffeta Co., Ltd. 243,203 101,127 Fu Sheng Industria 84,863 145,373 Fubon Financi 1,733,052 1,573,195 Fuh-Hwa Financial Holding Co., Ltd. 485,797 150,789 Giga-Byte Technology Co., Ltd. 124,200 221,851 Hon Hai Precision Industry Co., Ltd. 528,940 2,044,511 Hotai Motor Co., Ltd. 87,000 96,553 * Hsinchu International Bank 258,000 110,302 International Bank of Taipei 444,122 226,288 Inventec Corp. 362,560 216,580 Kinpo Electronics, Inc. 189,200 106,373 Lite-On Technology Corp. 674,646 723,046 * Macronix International Co., Ltd. 663,500 159,318 Media Tek, Inc. 134,390 1,188,456 Micro-Star International 114,700 179,691 Mitac International Corp. 166,000 72,184 * Mosel Vitelic Inc. Co., Ltd. 518,000 29,123 Nan Ya Plastic Corp. 1,317,156 1,735,637 * Nanya Technology Co., Ltd. 738,989 432,790 Nien Hsing Textile Co., Ltd. 95,000 95,139 Nien Made Enterprise Co., Ltd. 45,216 79,442 Oriental Union Chemical Corp. 106,920 122,731 * Pacific Electric Wire & Cable Corp. 233,200 3,551 Pihsiang Machinery Mfg. Co., Ltd. 32,760 108,401 Pou Chen Corp. 395,415 413,362 Premier Image Technology Corp. 85,800 131,903 President Chain Store Corp. 153,927 245,653 Quanta Computer, Inc. 576,255 1,358,375 Realtek Semiconductor Corp. 112,920 203,355 * Ritek Corp. 376,750 246,018 * Shin Kong Fin 436,000 259,174 * Silicon Integrated Systems Corp. 267,000 186,861 * Siliconware Precision Industries Co., Ltd. 339,000 351,408 Sunplus Technology Co., Ltd. 136,950 238,610 Synnex Tech International Corp. 129,800 178,261 Systex Corp., Ltd. 159,500 83,136 Taishin Financial Holdings Co., Ltd. 713,000 517,786 * Taiwan Business Bank 508,000 127,186 Taiwan Cement Corp. 534,697 236,425 Taiwan Glass Ind. Corp. 204,370 149,612 * Taiwan Semiconductor Manufacturing Co., Ltd. 3,975,480 7,392,179 Taiwan Styrene Monomer Corp. 84,700 71,183 * Tatung Co., Ltd. 884,000 220,029 Teco Electric & Machinery Co., Ltd. 309,000 104,960 Tong Yang Industry Co., Ltd. 76,220 120,524 Transcend Information, Inc. 29,344 $ 61,867 Uni-President Enterprises Corp. 619,020 246,520 * United Microelectronics Corp. 3,389,381 2,977,493 Via Technologies, Inc. 266,246 326,668 * Walsin Lihwa Corp. 578,000 171,792 Wan Hai Lines Co., Ltd. 241,080 218,843 * Winbond Electronics Corp. 929,000 418,934 Ya Hsin Industrial Co., Ltd. 130,212 163,956 * Yageo Corp. 405,440 170,961 Yang Ming Marine Transport Corp. 385,000 356,252 Yieh Phui Enterprise Co., Ltd. 165,300 105,037 Yuen Foong Yu Paper Manufacturing Co., Ltd. 262,650 108,444 Yulon Motor Co., Ltd. 329,200 400,053 Zyxel Communication Corp. 55,200 116,381 --------------- TOTAL COMMON STOCKS (Cost $38,863,438) 47,043,736 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Taiwan Dollar (Cost $304,473) 303,330 --------------- TOTAL -- TAIWAN (Cost $39,167,911) 47,347,066 --------------- UNITED STATES -- (6.5%) COMMON STOCKS -- (6.5%) BBV Banco BHIF ADR 64,200 1,589,592 Banco de Chile Series F ADR 47,643 1,305,895 Banco Santander Chile Sponsored ADR 295,998 7,021,073 * Chilesat Corp. S.A. ADR 788 1,694 Cia Telecom de Chile ADR 421,400 5,836,390 Compania Cervecerias Uni ADR 115,400 2,413,014 Cristalerias de Chile SA ADR 35,600 1,076,900 Distribucion y Servicio D&S SA ADR 176,800 3,323,840 Embotelladora Andina SA Andina ADR 109,600 1,036,816 Embotelladora Andina SA Andina Series B ADR 89,100 864,270 * Empresa Nacional de Elec ADR 514,018 5,854,665 Enersis SA ADR 285,903 1,841,215 * Grupo Financiero Galicia S.A. ADR 211,011 1,306,158 Lan Chile SA ADR 125,900 1,932,565 * Madeco SA 4,450 35,066 Masisa SA ADR 25,100 265,809 Sociedad Quimica y Minera de Chile SA ADR 61,300 2,540,885 Sociedad Quimica y Minera de Chile SA ADR Class A 902 37,478 Vina Concha y Toro SA Conchatoro ADR 27,100 1,207,576 --------------- TOTAL -- UNITED STATES (Cost $39,950,627) 39,490,901 --------------- POLAND -- (3.9%) COMMON STOCKS -- (3.9%) * Agora SA 98,779 1,107,371 Bank Polska Kasa Opieki -- Grupa Pekao SA 156,792 4,173,607 Bank Przemyslowo Handlowy Pbk 31,526 2,582,101 Bank Zackodni Wbk SA 93,312 1,719,588 * Big Bank Gdanski SA 2,029,541 1,277,872
258
SHARES VALUE+ ------ ------ * Bre Bank SA 35,201 $ 797,357 Browary Zywiec SA 15,860 1,743,495 * Budimex SA 36,763 319,922 * Cersanit-Krasnystaw SA 19,143 357,674 Debica SA 19,800 595,467 Frantschach Swiecie SA 91,061 1,794,641 * Kredyt Bank SA 418,563 803,484 * Netia Holdings SA 495,665 478,282 * Optimus Technologie 6,873 13,193 Orbis SA 77,409 485,413 Polski Koncern Naftowy Orlen S.A. 267,237 1,593,701 * Prokom Software SA 21,336 873,750 Telekomunikacja Polska SA 712,274 2,552,287 Zaklady Metali Lekkich Kety SA 15,120 441,175 --------------- TOTAL -- POLAND (Cost $21,204,440) 23,710,380 --------------- PHILIPPINES -- (3.7%) COMMON STOCKS -- (3.7%) Aboitiz Equity Ventures, Inc. 7,803,400 427,104 Ayala Corp. 35,419,600 3,019,167 Ayala Land, Inc. 27,511,576 2,665,994 Bank of the Philippine Island 3,867,811 2,984,583 * Equitable PCI Bank, Inc. 2,217,300 1,313,071 * Filipina Water Bottling Corp. 2,006,957 0 * Metro Bank and Trust Co. 4,584,435 2,138,992 Petron Corp. 28,593,000 1,077,529 * Philippine Long Distance Telephone Co. 347,030 4,701,797 SM Prime Holdings, Inc. 29,223,000 3,408,695 Union Bank of the Philippines 1,572,300 719,491 --------------- TOTAL -- PHILIPPINES (Cost $42,708,447) 22,456,423 --------------- HUNGARY -- (3.5%) COMMON STOCKS -- (3.5%) Budapesti Elektromos Muvek RT 185 12,224 Delmagyarorszagi Aramszolgaltato Demasz RT 2,275 118,229 Egis RT 37,757 1,411,395 Gedeon Richter, Ltd. 46,937 5,005,825 Magyar Olay-Es Gazipari RT 168,429 4,741,231 Matav RT 1,050,555 3,539,162 * Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 4,734,377 * Tiszai Vegyi Kombinat RT 117,534 2,116,401 --------------- TOTAL -- HUNGARY (Cost $15,788,433) 21,678,844 --------------- ARGENTINA -- (2.3%) COMMON STOCKS -- (2.3%) * Acindar Industria Argentina de Aceros SA Series B 899,000 1,032,010 * Alpargatas SA Industrial y Comercial 1,078 1,001 Alto Palermo SA Series A 5,000 5,692 * Banco del Sud Sociedad Anonima Series B 29,000 25,821 * Banco Frances del Rio de la Plata SA 467,809 $ 966,939 * Capex SA Series A 52,893 71,483 * Celulosa Argentina SA Series B 18,750 17,589 * Central Costanera SA Series B 114,100 126,990 * Central Puerto SA Series B 16,000 9,464 * Garovaglio y Zorraquin SA 28,000 6,856 * Gas Natural SA, Buenos Aires 345,000 181,017 * IRSA Inversiones y Representaciones SA 657,649 627,383 * Juan Minetti SA 353,151 313,316 * Ledesma S.A.A.I. 242,632 148,138 * Metrogas SA Series B 543,115 253,879 * Molinos Rio de la Plata SA Series B 694,833 1,100,340 * Perez Companc SA 2,274,901 2,054,462 * Renault Argentina SA 176,559 95,446 Siderar SAIC Series A 721,484 2,695,763 Solvay Indupa S.A.I.C. 555,366 432,676 * Telecom Argentina Stet-France SA Series B 977,000 1,450,871 Tenaris SA 653,898 1,705,065 * Transportadora de Gas del Sur SA Series B 1,028,000 719,172 --------------- TOTAL COMMON STOCKS (Cost $24,517,763) 14,041,373 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Argentine Peso (Cost $20,541) 21,510 --------------- TOTAL -- ARGENTINA (Cost $24,538,304) 14,063,096 --------------- EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Euro Currency (Cost $1,024) 1,354 --------------- FACE AMOUNT --------------- (000) TEMPORARY CASH INVESTMENTS -- (2.4%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $15,054,000 FHLB Notes 1.875%, 02/15/05, valued at $15,166,905) to be repurchased at $14,943,021 (Cost $14,942,000) $ 14,942 14,942,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $512,867,652)++ $ 611,388,501 ===============
---------- + See Note B to Financial Statements. * Non-Income Producing Securities ++ The cost for federal income tax purposes is $513,698,194. See accompanying Notes to Financial Statements. 259 THE EMERGING MARKETS SMALL CAP SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ ------ ------ ISRAEL -- (10.2%) COMMON STOCKS -- (10.2%) * Afcon Industries 159 $ 2,897 * Agis Industries (1983), Ltd. 27,000 737,385 * Albad Massuot Yitzhak, Ltd. 7,600 98,337 Alony Hetz Properties & Investments, Ltd. 46,080 88,034 American Israeli Paper Mills, Ltd. 4,542 238,134 * Azorim Investment Development & Construction Co., Ltd. 40,322 289,427 * Baran 9,500 65,630 * Beit Shemesh Engines Holdings (1997), Ltd. 3,351 8,783 Blue Square Israel, Ltd. 45,312 462,866 * C Mer Industries, Ltd. 7,900 55,041 * Danya Cebus, Ltd. 19,413 84,893 Delek Automotive Systems, Ltd. 96,288 584,930 * Delek Drilling 599,731 279,098 Delta Galil Industries, Ltd. 27,362 474,938 * Direct Insurance - I.D.I Insurance Co., Ltd. 59,860 111,826 * Discount Mortgage Bank, Ltd. 1,320 106,916 * Elbit Medical Imaging 27,990 181,679 Elco Industries (1975) 5,581 29,940 Electra Consumer 22,800 245,671 Electra Israel, Ltd. 3,700 236,091 * Electronics Line, Ltd. 3,169 17,180 Elite Industries, Ltd. 8,800 328,680 * Elron Electronic Industries, Ltd. 34,325 363,582 FMS Enterprises Migun, Ltd. 7,300 139,045 * Feuchtwanger Investments 1984, Ltd. 4,200 2,368 * Formula Systems (1985), Ltd. 12,170 209,187 * Formula Vision Technologies, Ltd. 1,604 1,433 Frutarom Industries (1995), Ltd. 48,400 183,116 * Gachelet Invetment Co., Ltd. 653 28,180 Granite Hacarmel Investments, Ltd. 19,200 26,706 Housing & Construction Holding Co., Ltd. 473,282 338,612 Industrial Building Corp., Ltd. 284,973 263,975 * Investec Bank, Ltd. 3,222 95,565 * Israel Land Development Co., Ltd. 26,000 80,715 * Israel Petrochemical Enterprises, Ltd. 32,500 103,254 * Israel Salt Industries 38,139 108,240 * Ituran 7,011 111,056 * J.O.E.L. Jerusalem Oil Exploration, Ltd. 6,178 29,770 * Knafaim-Arkia Holdings, Ltd. 14,161 131,055 * Koor Industries, Ltd. 19,500 603,588 * Leader Holding & Investments, Ltd. 11,500 12,340 Lipman Electronic Engineering, Ltd. 12,968 468,585 Magic Software Enterprises, Ltd. 24,908 102,159 Maman Cargo Terminals & Handling, Ltd. 33,600 45,192 * Matav Cable Israel 35,613 292,235 Medtechnica, Ltd. 14,470 63,471 Mehadrin, Ltd. 3,887 $ 56,284 * Metalink, Ltd. 22,247 183,511 Middle East Tube Co. 19,000 26,176 * Miloumor, Ltd. 12,658 51,291 Mivtach Shamir Holdings, Ltd. 12,000 144,481 * Naphtha Israel Petroleum Corp. 105,630 10,694 * Nice Systems, Ltd. 15,600 375,077 * OCIF Investments and Development, Ltd. 1,100 12,431 * Ormat Industries, Ltd. 75,100 285,181 Property and Building Corp., Ltd. 4,894 375,519 * Rapac Electronics, Ltd. 6,000 12,798 * Rapac Technologies (2000), Ltd. 6,000 10,061 * Retalix, Ltd. 13,300 291,062 * Scitex Corp., Ltd. 46,509 242,353 * Shrem Fudim Kelner & Co., Ltd. 6,600 14,704 * Suny Electronic Inc., Ltd. 37,700 223,563 Tadiran Communications, Ltd. 12,806 355,491 * Team Computer & Systems, Ltd. 1,400 24,968 * Tefahot Israel Mortgage Bank, Ltd. 33,330 282,090 * Telsys, Ltd. Electronic Engineering 5,300 27,319 * Tower Semiconductor, Ltd. 59,093 419,278 * Union Bank of Israel, Ltd. 52,591 174,754 * Ytong Industries, Ltd. 52,500 61,636 --------------- TOTAL COMMON STOCKS (Cost $8,632,736) 12,192,527 --------------- RIGHTS/WARRANTS -- (0.0%) * Delek Drilling Warrants 2003 (Cost $0) 27,376 6,719 --------------- TOTAL -- ISRAEL (Cost $8,632,736) 12,199,246 --------------- BRAZIL -- (10.0%) PREFERRED STOCKS -- (9.0%) * Acesita SA 442,265,315 214,604 Alpargatas-Santista Textil SA 500,000 56,837 Bahia Sul Celulose SA 260,593 47,750 Banco Mercantil do Brasil SA 130,000 16,322 Brasileira de Petroleo Ipiranga 35,800,000 154,400 * Caemi Mineracao e Metalurgia SA 1,270,000 424,483 Cimento Portland Itau 1,670,000 311,673 * Compania Paranaense de Energia Series B 145,000,000 625,365 Confab Industrial SA 85,000 121,140 Coteminas Cia Tecidos Norte de Minas 3,487,102 232,525 Distribuidora de Produtos Petreleo Ipirangi SA 3,900,000 30,967 Duratex SA 7,600,000 208,890 * ENERSUL Empresa Energetjica de Mato Grosso do Sul SA Series B 13,156,000 33,482 * Electropaulo Electrecidade Metropolitana 17,300,000 352,810 Embraco SA 262,000 132,911 * Embratel Participacoes SA 223,800,000 795,868 Energetica do Ceara Coelce 72,000,000 105,056
260
SHARES VALUE+ ------ ------ * Forca Luz Cataguazes Leopoldina Series A 23,400,000 $ 12,069 Forjas Taurus SA 43,000,000 18,385 Francisco Stedile SA Series A 20,200,000 17,547 Globex Utilidades SA 18,000 58,025 * Gradiente Eletronica SA 2,600 5,227 * Industria de Bebidas Antarctica Polar SA 23,000 20,487 * Industrias Villares SA 58,000 12 * Inepar SA Industria e Construcoes 9,900,001 1,612 Klabin SA 422,000 511,211 Lojas Americanas SA 36,890,369 310,820 Magnesita SA Series A 20,500,000 67,545 * Magnesita SA Series C 202,338 598 Marcopolo SA 64,000 94,903 Metal Leve SA 3,400,000 107,872 Metalurgica Gerdau SA 27,451 475,060 * Net Servicos de Communication SA 809,500 304,902 * Paranapanema SA 58,200,000 94,795 * Perdigao SA NPV 36,000 237,720 Randon Participacoes SA 51,000,000 42,918 * Rasip Agro Pastoril SA 51,000,000 4,153 * Refinaria de Petroleo Ipiranga SA 3,600,000 18,446 Ripasa SA Papel e Celulose 245,000 219,477 Sadia SA 445,000 536,054 Serrana SA 16,388 26,915 * Sharp SA Equipamentos Eletronicos 30,200,000 205 Siderurgica de Tubarao Sid Tubarao 19,700,000 531,038 Suzano de Papel e Celulose 130,383 446,850 Suzano Petroquimica SA 30,000 25,450 Tele Celular Sul Participacoes SA 155,908,039 217,964 Tele Centro Oeste Celular Participacoes SA 180,900,000 559,826 * Tele Leste Celular Participacoes SA 369,666,572 81,535 * Tele Norte Celular Participacoes SA 256,505,027 47,872 Telemig Celular Participacoes SA 268,290,371 467,027 Telenordeste Celular Participacoes SA 238,041,513 320,674 * Trikem S.A 19,000,000 88,327 Ultrapar Participants 33,239,437 363,186 Uniao des Industrias Petroquimicas SA Series B 304,600 203,618 * Varig Participacoes Em Transportes 122,026 730 * Varig Particpacoes Em Servicos 116,823 159 * Varig SA Viacao Aerea Riograndense 16,000 6,515 Weg SA 165,000 261,469 --------------- TOTAL PREFERRED STOCKS (Cost $6,389,395) 10,674,281 --------------- COMMON STOCKS -- (1.0%) * Acos Especiais Itabira-Acesita Aces 42,900,000 20,817 * Acos Villares SA Avil 120,000 4,479 * Avipal SA Avicultura e Agropecua 15,900,000 18,614 * Braskem SA 44,800,000 719,050 * Empressa Metropolitanade Aguas e Energia SA 5,000,000 10,180 Eternit SA 120,000 9,162 Globex Utilidades SA 7,268 17,264 Metalurgica Gerdau SA 646 9,207 Petroquimica do Sul Copesul 7,000,000 292,162 * Rhodia Ster SA 640,780 $ 50,010 Sao Paulo Alpargatas SA 510,000 30,977 Saraiva Livreiros Editores 4,000 11,537 * Solae do Brasil Holdings SA 16,388 5,450 --------------- TOTAL COMMON STOCKS (Cost $879,603) 1,198,909 --------------- TOTAL -- BRAZIL (Cost $7,268,998) 11,873,190 --------------- THAILAND -- (9.7%) COMMON STOCKS -- (9.7%) * A.J. Plast Public Co., Ltd. (Foreign) 166,500 31,486 * Adkinson Securities Public Co., Ltd. (Foreign) 138,150 53,634 * Advance Agro Public Co., Ltd. (Foreign) 809,000 734,534 Aeon Thana Sinsap (Thailand) Public Co., Ltd. 17,000 78,773 * Amarin Plaza Public Co., Ltd. (Foreign) 8,880 4,003 Amata Corp. Public Co., Ltd. 362,700 113,557 * Aromatics (Thailand) Public Co., Ltd. (Foreign) 284,000 337,884 * Asian Property Development Public Co., Ltd. (Foreign) 735,000 110,457 * Bangkok Dusit Medical Services Public Co., Ltd. 25,000 57,921 Bangkok Expressway Public Co., Ltd. (Foreign) 1,170,400 662,518 * Bangkok Land Co., Ltd. (Foreign) 652,000 29,395 * Bangkok Rubber Public Co., Ltd. (Foreign) 14,600 3,218 Banpu Public Co., Ltd. (Foreign) 133,600 307,857 Big C Supercenter Public Co., Ltd. (Foreign) 87,000 39,877 * Book Club Finance Public Co., Ltd. 157,200 43,705 Cal-Comp Electronics (Thailand) Public Co., Ltd. 102,600 84,162 * Capetronic International (Thailand) Public Co., Ltd. (Foreign) 1,020,399 44,471 Capital Nomura Securities Public Co., Ltd. (Foreign) 46,000 65,097 * Central Paper Industry Public Co., Ltd. (Foreign) 19,800 1,041 Central Plaza Hotel Public Co., Ltd. (Foreign) 39,500 29,433 * Ch Karnchang Public Co., Ltd. (Foreign) 628,000 257,964 * Charoong Thai Wire & Cable Public Co., Ltd. 130,000 39,073 * Compass East Ind-Foreign 122,000 58,059 * DBS Thai Danu Bank Public Co., Ltd. (Foreign) 1,306,000 165,192 Dynasty Ceramic Public Co., Ltd. 138,700 81,292 * Eastern Star Real Estate Public Co., Ltd. 384,400 44,674 Eastern Water Resources Development & Management Public Co., Ltd. (Foreign) 90,100 117,350
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SHARES VALUE+ ------ ------ * Fancy Wood Industries Public Co., Ltd. 260,800 $ 60,097 * GFPT Public Co., Ltd. 40,000 27,301 GMM Grammy Public Co., Ltd. (Foreign) 460,000 216,606 * Golden Land Property Development Public Co., Ltd. (Foreign) 149,416 51,645 Hana Microelectronics Public Co., Ltd. (Foreign) 61,900 161,242 Hemaraj Land and Development Public Co., Ltd. (Foreign) 2,325,000 87,351 * Home Product Center Public Co., Ltd. 417,900 45,637 ICC International Public Co., Ltd. 155,000 128,115 * International Broadcasting Corp. Public Co., Ltd. (Foreign) 408,170 232,072 * International Engineering Public Co., Ltd. (Foreign) 2,000 596 * Jasmine International Public Co., Ltd. (Foreign) 350,000 111,334 * K.R. Precision Public Co., Ltd. (Foreign) 320,598 53,801 KCE Electronics Public Co., Ltd. (Foreign) 204,000 66,425 * KGI Securities One Public Co., Ltd. (Foreign) 770,146 105,130 Kang Yong Electric Public Co., Ltd. (Foreign) 7,200 11,451 * Keppel Thai Properties Public Co., Ltd. 8,360 2,576 LPN Development Public Co., Ltd. (Foreign) 33,220 36,611 Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 32,200 37,906 * Loxley Public Co., Ltd. (Foreign) 95,812 148,788 MBK Development Public Co., Ltd. 68,000 84,308 MFC Asset Management Public Co., Ltd. 500 1,866 * MK Real Estate Development Public Co., Ltd. (Foreign) 29,250 3,736 * Media of Medias Public Co., Ltd. (Foreign) 9,100 934 Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 9,900 59,512 Nation Multimedia Group Public Co., Ltd. (Foreign) 146,259 64,109 National Petrochemical Public Co., Ltd. (Foreign) 447,300 969,104 * Noble Development Public Co., Ltd. 155,200 60,642 * Pacific Assets Public Co., Ltd. (Foreign) 141,000 33,550 * Padaeng Industry Public Co., Ltd. (Foreign) 73,800 30,315 Patum Rice Mill & Granary Public Co., Ltd. (Foreign) 5,500 4,133 * Phatra Insurance Public Co., Ltd. 10,000 42,580 Phoenix Pulp and Paper Public Co., Ltd. (Foreign) 37,400 103,043 * Prasit Development Public Co., Ltd. (Foreign) 29,700 1,116 Quality Houses Public Co., Ltd. (Foreign) 377,000 $ 67,043 Regional Container Lines Public Co., Ltd. 374,000 130,209 * Robinson Department Store Public Co., Ltd. (Foreign) 18,525 2,190 * STP & I Public Co., Ltd. 138,700 16,258 * SVI Public Co., Ltd. 122,266 42,567 Saha Pathana Inter-Holding Public Co., Ltd. 350,000 113,964 Saha-Union Public Co., Ltd. (Foreign) 279,500 182,016 * Sahaviriya Steel Industries Public Co., Ltd. (Foreign) 772,100 754,212 * Samart Corp. Public Co., Ltd. (Foreign) 32,600 68,180 Sammakorn Public Co., Ltd. (Foreign) 7,500 7,514 * Sansiri Public Co., Ltd. 294,700 103,339 * Seamico Securities Public Co., Ltd. (Foreign) 39,400 78,948 Serm Suk Public Co., Ltd. (Foreign) 10,000 7,952 * Shinawatra Satellite Public Co., Ltd. (Foreign) 153,700 91,238 Siam Food Products Public Co., Ltd. (Foreign) 9,000 20,063 Siam Industrial Credit Public Co., Ltd. 352,862 82,195 Siam Makro Public Co., Ltd. (Foreign) 111,600 122,991 * Sino-Thai Engineering & Construction Public Co., Ltd. (Foreign) 288,000 129,843 Sri Trang Agro Industry Public Co., Ltd. (Foreign) 30,496 15,964 * Srithai Superware Public Co., Ltd. (Foreign) 16,400 4,395 * Standard Chartered Nakornthon Bank Public Co., Ltd. (Foreign) 54 4,463 * Sun Tech Group Public Co., Ltd. (Foreign) 27,200 1,908 * Supalai (Forign) 346,000 48,098 * TCJ Motor Public Co., Ltd. (Foreign) 7,300 841 * TISCO Finance Public Co., Ltd. (Foreign) 745,900 583,829 * TPI Polene Public Co., Ltd. (Foreign) 458,476 485,175 * TT&T Public Co., Ltd. (Foreign) 1,020,000 115,987 * Tanayong Public Co., Ltd. (Foreign) 261,000 6,537 Thai German Ceramic Industry Public Co., Ltd. (Foreign) 36,100 84,994 * Thai Gypsum Public Co., Ltd. 650,000 108,266 Thai Pineapple Public Co., Ltd. (Foreign) 14,762 25,512 Thai Plastic and Chemicals Public Co., Ltd. (Foreign) 40,500 160,276 Thai Reinsurance Public Co., Ltd. (Foreign) 347,400 39,852 Thai Rung Union Car Public Co., Ltd. (Foreign) 165,000 64,884 Thai Stanley Electric (Thailand) Public Co., Ltd. (Foreign) 16,000 163,507
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SHARES VALUE+ ------ ------ Thai Vegetable Oil-Foreign 482,600 $ 200,655 Thai Wacoal Public Co., Ltd. 78,000 66,425 * Tipco Asphalt Public Co., Ltd. (Foreign) 95,200 141,876 * Tuntex (Thailand) Public Co., Ltd. (Foreign) 126,728 19,838 * United Communication Industry Public Co., Ltd. (Foreign) 139,000 90,520 United Palm Oil Industry Public Co., Ltd. 21,000 24,590 Vanachai Group Co-Foreign 294,666 93,732 * Vinythai Public Co., Ltd. (Foreign) 820,604 302,139 --------------- TOTAL COMMON STOCKS (Cost $6,274,574) 11,515,244 --------------- RIGHTS/WARRANTS -- (0.0%) * Bangkok Land (Foreign) Warrants 2006 21,733 0 * Jasmine International Public Co., Ltd. (Foreign) Rights 2003 350,000 0 * Quality Houses Public Co., Ltd. (Foreign) Warrants 2008 46,800 4,525 * Seamico Securities Public Co., Ltd. (Foreign) Warrants 2008 9,850 0 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 4,525 --------------- TOTAL -- THAILAND (Cost $6,274,574) 11,519,769 --------------- MEXICO -- (9.4%) COMMON STOCKS -- (9.2%) * Cintra S.A. de C.V. 137,000 20,892 * Consorcio Ara S.A. 599,000 1,445,236 * Consorcio Hogar S.A. de C.V. Series B 325,000 108,236 Controladora Comercial Mexicana S.A de C.V. Series B 1,326,100 1,221,475 * Corporacion Geo S.A. de C.V. Series B 266,000 1,360,279 * Corporacion Interamericana de Entramiento S.A. de C.V. Series B 703,769 1,233,576 Desc S.A. de C.V. Series B 589,100 184,058 * Empaques Ponderosa S.A. de C.V. Series B 206,000 9,930 * Empresas ICA Sociedad Controladora S.A. de C.V. 2,085,450 478,858 Empresas la Moderna S.A. de C.V. Series A 610,700 85,635 Gruma S.A. de C.V. Series B 138,000 171,741 Grupo Casa Saba S.A. de C.V. 39,700 42,970 Grupo Cementos de Chihuahua, S.A. de C.V. 398,000 435,663 Grupo Corvi S.A. de C.V. Series L 100,000 17,090 Grupo Elektra S.A. de C.V. 386,800 1,972,945 Grupo Financiero GBM Atlantico S.A. de C.V. Series L 9,441 1,820 Grupo Financiero GBM Atlantico S.A. de C.V. Series L 23,928 4,823 Grupo Industrial Maseca S.A. de C.V. Series B 446,000 $ 180,585 Grupo Industrial Saltillo Unique Series 90,600 144,909 * Grupo Iusacell S.A. de C.V. Series V 1,028,100 98,213 Grupo Posadas S.A. de C.V. Series L 199,000 86,766 * Grupo Qumma S.A. de C.V. Series B 103,000 1,625 * Grupo Tribasa S.A. de C.V. 64,000 0 Herdez Common Series 107,000 32,821 * Hylsamex S.A. de C.V. Series B 82,000 51,312 Industrias Bachoco S.A. de C.V. (Certificate Representing Series B and Series L) 66,000 109,323 Industrias Penoles S.A. de C.V. 118,000 330,879 * Industrias S.A. de C.V. Series B 33,000 75,196 * Jugos del Valle S.A. de C.V. Series B 37,900 47,167 * Movilaccess S.A. de C.V. Series B 13,489 38,303 Nadro S.A. de C.V. Series B 242,967 102,636 * Nueva Grupo Mexico S.A. de C.V. Series B 79,644 143,091 * Sanluis Corporacion S.A. de C.V. (Certificates representing 1 share Series B, 1 share Series C & 1 share Series D) 3,300 852 Vitro S.A. 811,000 771,181 --------------- TOTAL COMMON STOCKS (Cost $9,159,744) 11,010,086 --------------- RIGHTS/WARRANTS -- (0.2%) * Empresas ICA Sociedad Controladora S.A. de C.V. Rights 12/09/03 (Cost $157,679) 2,085,450 226,635 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Mexican Peso (Cost $8,636) 6,894 --------------- TOTAL -- MEXICO (Cost $9,326,059) 11,243,615 --------------- SOUTH KOREA -- (9.3%) COMMON STOCKS -- (9.3%) * Anam Semiconductor, Inc. 32,203 96,712 Asia Cement Manufacturing Co., Ltd. 1,130 31,774 Bank of Pusan 42,780 234,889 * Bing Grae Co., Ltd. 1,210 16,106 Bu Kwang Pharmaceutical Co., Ltd. 6,237 27,552 Cheil Communications, Inc. 1,097 150,124 Cheil Industrial, Inc. 12,000 149,744 Choong Wae Pharmaceutical 1,877 12,508 Chungho Comnet Co., Ltd. 720 3,498 * Comtec Systems Co., Ltd. 2,000 1,472 DC Chemical Co., Ltd. 5,376 69,545 * Dae Ho Corp. 543 115 * Dae Sang Corp. 8,020 23,352 Daeduck Electronics Co., Ltd. 22,437 228,654 Daeduck Industries Co., Ltd. 7,526 69,497 Daegu Bank Co., Ltd. 38,310 187,718 Daehan City Gas Co., Ltd. 2,621 32,271
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SHARES VALUE+ ------ ------ Daehan Flour Mills Co., Ltd. 470 $ 14,995 Daelim Industrial Co., Ltd. 9,480 272,085 Daesung Industrial Co., Ltd. 1,690 24,955 Daewoo Engineering & Construction Co., Ltd. 43,170 187,828 * Daewoo Heavy Industries & Machinery, Ltd. 40,300 323,862 * Daewoo International Corp. 8,980 49,754 Daewoo Motor Sales Corp. 5,560 34,136 * Daewoo Securities Co., Ltd. 53,920 201,855 Daewoong Co., Ltd. 379 2,210 Daewoong Pharmaceutical Co., Ltd. 1,519 23,125 Daishin Securities Co., Ltd. 14,080 213,768 * Daou Technology, Inc. 7,000 10,511 Dong Ah Tire Industrial Co., Ltd. 7,300 22,470 Dong Bu Insurance Co., Ltd. 19,230 60,071 Dong-A Pharmaceutical Co., Ltd. 1,666 24,739 Dongkuk Steel Mill Co., Ltd. 19,267 117,489 * Dongwon Financial Holding Co., Ltd. 9,638 43,137 * Doosan Construction & Engineering Co., Ltd. 8,410 10,599 * Doosan Corp. 5,060 42,726 Doosan Heavy Industries & Construction Co., Ltd. 25,000 136,434 * Eastel Systems Corp. 4,307 6,324 Global Enterprise Co., Ltd. 5,900 13,670 * Good Morning Securities Co., Ltd. 45,110 203,775 Green Cross Corp. 1,825 38,943 Hae In Co., Ltd. 5,964 7,889 Halla Climate Control Corp. 2,000 159,062 * Han Kuk Carbon Co., Ltd. 7,903 9,632 * Han Wha Corp. 21,710 121,549 * Handsome Corp. 6,050 55,364 Hanil Cement Manufacturing Co., Ltd. 1,780 91,810 * Hanjin Heavy Industry Co., Ltd. 19,240 87,393 Hanjin Shipping Co., Ltd. 17,204 290,538 Hanjin Transportation Co., Ltd. 1,041 10,262 * Hankook Synthetics, Inc. 1,000 1,597 Hankook Tire Manufacturing Co., Ltd. 26,040 199,949 Hankuk Electric Glass Co., Ltd. 2,000 110,644 Hankuk Glass Industries, Inc. 5,120 118,411 Hanmi Pharmaceutical Industrial Co, Ltd. 2,496 62,709 * Hansol Electronics Inc. 797 7,028 Hansol Paper Co., Ltd. 7,730 54,596 * Hansung Enterprise Co., Ltd. 620 882 * Hanwha Chemical Corp. 25,910 226,326 * Hanwha Securities Co., Ltd. 2,260 6,421 Hotel Shilla, Ltd. 11,548 52,838 Huchems Fine Chemical Corp. 5,616 13,829 * Hung Chang Co., Ltd. 27 73 * Hyosung T & C Co., Ltd. 8,220 83,086 Hyundai Cement Co., Ltd. 1,220 27,606 * Hyundai Corp. 1,505 3,806 Hyundai Development Co. 19,000 177,031 Hyundai Fire & Marine Insurance Co., Ltd. 2,320 69,095 * Hyundai Hysco 23,250 $ 113,924 * Hyundai Merchant Marine Co., Ltd. 26,000 189,693 * Hyundai Mipo Dockyard Co., Ltd. 3,572 43,831 * Hyundai Securities Co., Ltd. 25,720 139,721 INI Steel Co., Ltd. 33,750 265,328 ISU Chemical Co., Ltd. 1,530 10,437 IlShin Spinning Co., Ltd. 380 11,191 * Inchon Oil Refinery Co., Ltd. 373 17 Jahwa Electronics Co., Ltd. 3,020 22,611 * Jeonbuk Bank, Ltd. 8,590 25,833 * K.C. Tech Co., Ltd. 6,000 22,711 KEC Corp. 2,085 64,004 * KP Chemical Corp. 821 1,072 * KTB Network, Ltd. 17,000 50,913 Kolon Industries, Inc. 2,260 12,935 * Kolon International 321 1,276 Kolon International Corp. 2,157 16,096 Korea Circuit Co. 7,800 22,517 * Korea Data Systems Co., Ltd. 35,000 20,673 * Korea Electric Terminal Co., Ltd. 2,000 39,599 * Korea Exchange Bank Credit Service Co., Ltd. 18,528 50,403 Korea Fine Chemical Co., Ltd. 1,388 16,050 Korea Iron & Steel Co., Ltd. 3,120 41,529 Korea Iron & Steel Works Co., Ltd. 2,496 30,420 * Korea Line Corp. 2,900 36,188 Korea Polyol Co., Ltd. 1,450 36,852 Korea Zinc Co., Ltd. 5,470 118,315 Korean Reinsurance Co., Ltd. 3,580 112,875 Kumho Electronics Co., Ltd. 1,360 42,993 LG Ad Inc., Ltd. 2,000 37,769 LG Cable, Ltd. 8,370 104,098 * LG Caltex Gas Co., Ltd. 1,980 35,085 LG Household & Healthcare Co., Ltd. 3,740 96,452 * LG Industrial Systems, Ltd. 6,300 67,085 LG Insurance Co., Ltd. 17,400 78,166 LG International Corp. 18,358 119,429 * LG Life Sciences, Ltd. 3,630 101,165 LG Petrochemical Co., Ltd. 6,320 135,648 Lotte Chilsung Beverage Co., Ltd. 320 154,403 Lotte Confectionary Co., Ltd. 680 280,587 Lotte Sam Kang Co., Ltd. 230 17,029 Meritz Securities Co., Ltd. 2,940 6,799 * Midopa Co., Ltd. 16,930 119,153 Namhae Chemical Corp. 13,104 14,390 Namyang Dairy Products Co., Ltd. 340 74,107 Nong Shim Co., Ltd. 2,463 458,976 * Nong Shim Holdings Co., Ltd. 780 24,009 ORION Corp. 1,300 91,926 Oriental Fire & Marine Insurance Co., Ltd. 1,370 16,526 Pantech Co., Ltd. 4,000 28,618 Poong San Corp. 9,330 87,320 * Pulmuone Co., Ltd. 1,000 49,249 * Pusan City Gas Co., Ltd. 3,000 30,448 S1 Corp. 7,950 155,753 SKC Co., Ltd. 8,250 111,185 STX Corp. 5,100 41,452 * Saehan Industries, Inc. 22,320 16,711 * Samchully Co., Ltd. 770 32,029
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SHARES VALUE+ ----------- --------------- * Samsung Engineering Co., Ltd. 7,000 $ 19,101 Samsung Fine Chemicals 6,700 94,197 * Samsung Techwin Co., Ltd. 22,230 229,318 Samyang Corp. 1,870 30,336 Samyang Genex Co., Ltd. 220 5,655 Samyoung Electronics Co., Ltd. 3,060 22,733 Sejong Securities Co., Ltd. 4,840 10,348 Seondo Electric Co., Ltd. 4,400 5,527 Seoul City Gas Co., Ltd. 2,750 37,634 Seoul Securities Co., Ltd. 7,840 21,817 Shin Young Securities Co., Ltd. 2,620 27,027 Shinmoorim Paper Manufacturing Co., Ltd. 2,858 14,622 * Shinsung Engineering Co., Ltd. 7,000 36,687 Sindo Ricoh 2,000 106,818 * Ssangyong Cement Industry Co., Ltd. 42,510 52,693 * Ssangyong Motor Co. 28,990 207,890 Suheung Capsule Co., Ltd. 1,900 9,326 Sung Shin Cement Co., Ltd. 3,760 77,887 * Sunkyong Securities Co., Ltd. 83,230 40,852 Tae Kwang Industrial Co., Ltd. 200 23,294 Tae Young Corp. 1,604 56,578 Tai Han Electric Wire Co., Ltd. 6,181 30,544 * Tong Yang Investment Bank 16,130 19,927 * Trigem Computer, Inc. 12,289 54,899 * Union Steel Manufacturing Co., Ltd. 550 64,744 Woongjin Coway Co., Ltd. 3,310 16,329 * Woongjin.Com Co., Ltd. 6,810 17,902 Woori Securities Co., Ltd. 4,290 14,632 * Youlchon Chemical Co., Ltd. 5,610 40,463 Young Poong Mining & Construction Corp. 1,580 5,087 Youngone Corp. 11,400 20,817 Yuhan Corp. 2,021 104,240 --------------- TOTAL -- SOUTH KOREA (Cost $8,913,250) 11,129,916 --------------- TURKEY -- (9.1%) COMMON STOCKS -- (9.1%) Adana Cimento Sanayi Ticaret A.S. 244,184,376 145,308 * Ak Enerji A.S. 72,903,000 296,698 * Akal Tekstil A.S. 2,779,875 8,366 Akcansa Cimento Sanayi ve Ticaret A.S. 274,876,875 625,147 Aksa 38,821,296 329,264 Aksigorta A.S. 167,735,663 659,699 * Aksu Iplik Dokuma ve Boya Apre Fab A.S. 4,477,695 6,279 * Aktas Elektrik Ticaret A.S. 370,000 37,962 Alarko Holding 21,706,400 386,023 Alarko Sanayii ve Ticaret A.S. 1,822,499 89,754 Alkim Alkali Kimya A.S. 23,650,000 53,382 * Alternatifbank A.S. 97,063,680 36,515 * Altinyildiz Mensucat ve Konfeksiyan Fabrikalari A.S. 21,960,000 16,222 Anadolu Anonim Turk Sigorta Sirketi 98,399,376 91,534 Anadolu Cam Sanayii A.S. 250,675,663 336,063 Anadolu Gida Sanayi A.S. 34,600,000 134,897 * Anadolu Isuzu Otomotiv Sanayi ve Ticaret A.S. Series C 7,793,000 $ 79,423 * Ayen Enerji A.S. 17,941,000 73,629 Bagfas Bandirma Gubre Fabrik 2,300,000 42,476 * Bandirma Vitaminli Yem Sanayii Ticaret A.S. 36,924,546 146,486 Bati Cimento A.S. 96,109,301 141,995 * Bekoteknik Sanayi A.S. 80,999,725 299,178 Bolu Cimento Sanayi A.S. 111,833,881 126,980 Borusan 36,993,000 106,273 Bossa Ticaret ve Sanayi Isletmeleri A.S. 85,478,000 116,933 Brisa Bridgestone Sanbanci Lastik San & Tic A.S. 5,857,000 174,268 Bursa Cimento Fabrikasi A.S. 28,840,000 197,264 CIMSA A.S. (Cimento Sanayi ve Ticaret) 127,033,000 447,483 * Carsi Buyuk Magazacilik 81,391,000 98,538 Celebi Hava Servisi A.S. 18,903,000 111,194 * Deva Holding A.S. 21,599,332 31,764 * Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,993,600 86,667 * Eczacibasi Ilac 49,338,000 182,233 * Eczacibasi Yapi Gere 51,561,000 111,092 * Ege Seramik Co., Inc. 44,835,048 33,427 * Egeplast Plastik Ticaret ve Sanayi A.S. 7,720,000 7,921 * Finansbank 436,544,786 391,158 * GSD Holdings A.S. 33,540,000 19,041 * Global Menkul Degerler A.S. 31,200,000 21,341 * Goldas Kuyumculuk Sanayi A.S. 88,799,600 43,124 Goltas Cimento 7,128,000 32,666 * Good Year Lastikleri A.S. 14,659,125 113,302 Gubre Fabrikalari Ticaret A.S. 937,440 10,323 Gunes Sigorta A.S. 39,743,600 44,854 * Hektas Ticaret A.S. 18,198,025 15,186 * Ihlas Holding 285,533,822 212,881 * Is Gayrimenk 289,898,200 202,255 * Isiklar Ambalaj Sansuii ve Ticaret A.S. 895,000 2,938 * Istanbul Motor Piston ve Pim Sanayi A.S. 229,000 29,604 * Izmir Demir Celik 57,269,250 43,089 Karsu Tekstil Sanayii ve Ticaret A.S. 5,680,000 8,353 Kartonsan 1,698,750 94,117 * Kav Orman Sanayii A.S. 3,003,000 5,392 * Kerevitas Gida Sanayi ve Ticaret A.S. 2,532,000 3,048 Konya Cimento 4,921,000 45,440 Kordsa Sabanci Dupont Endustriye Iplik ve Kord Bezi Sanayi ve Ticaret A.S. 146,305,500 215,155 * Kutahya Porslen Sanayii A.S. 2,617,000 27,029 Mardin Cimento 38,235,750 146,457 Marshall Boya ve Vernik Sanayii A.S. 2,186,000 45,604 * Medya Holdings A.S. Series C 15,849,000 74,800 * Menderes Tekstil Sanayi ve Ticaret A.S. 104,549,000 53,633 * Merko Gida Sanayi ve Ticaret A.S. Series A 10,580,000 5,717
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SHARES VALUE+ ----------- --------------- * Milliyet Gazetecilik A.S. 28,557,680 $ 79,110 * Milpa Ticari ve Sinai Urunler Pazarlama 12,117,600 9,946 * Mudurnu Tavukculuk A.S. 1,740,000 536 * Mutlu Aku 1,527,000 7,155 * Nergis Holding A.S. 1,784,000 4,515 * Net Holding A.S. 15,942,722 7,088 * Net Turizm Ticaret ve Sanayi 16,830,000 9,094 Netas Northern Electric Telekomunikasyon A.S. 8,756,500 185,671 Olmuksa Mukavva Sanayi ve Ticaret A.S. 6,992,000 30,608 Otobus Karoseri Sanayi A.S. 44,321,167 97,767 * Pinar Sut Mamulleri Sanayii A.S. 12,143,250 16,113 * Raks Elektroniks A.S. 2,730,000 2,465 * Sanko Pazarlama Ithalat Ihracat A.S. 48,903,000 158,885 Sarkuysan Elektrolitik Bakir Sanayi A.S. 10,999,662 42,885 * Sasa Suni ve Sentetik Elyat Sanayi A.S. 124,394,000 259,509 * Sonmez Filament Sentetik Iplik ve Elyaf Sanayi A.S. 900,000 4,309 * T. Tuborg Bira ve Malt Sanayi A.S. 10,974,754 41,662 * Tansas Izmir Buyuksehir Belediyesi Ic ve dis Ticaret A.S. 365,309,000 364,809 Tat Konserve Sanayii A.S. 14,174,999 77,565 * Tekstil Bankasi A.S. 121,274,079 31,521 * Teletas Telekomunikasyon Endustri Ticaret A.S. 8,799,000 60,787 Tire Kutsan Oluklu Mukavvakutu ve Kagit Sanayi A.S. 39,939,000 37,699 Trakya Cam Sanayii A.S. 95,293,276 255,832 Turk Demir Dokum Fabrikalari 60,749,982 99,726 * Turk Dis Ticaret Bankasi A.S. 334,067,850 294,766 * Turk Siemens Kablo ve Elektrik Sanayi A.S. 9,925,500 47,183 * Turk Sise ve Cam Fabrikalari A.S. 179,550,063 248,079 USAS (Ucak Servisi A.S.) 11,938,000 124,116 * Uzel Makina Sanayi A.S. 41,851,000 97,328 * Vakif Finansal Kiralama A.S. 5,450,302 7,270 Yunsa Yunlu Sanayi ve Ticaret A.S. 10,027,800 11,043 * Zorlu Enerji Elektrik Uretimi Otoproduktor Gruba A.S. 98,400,000 297,825 --------------- TOTAL -- TURKEY (Cost $10,638,372) 10,787,711 --------------- INDONESIA -- (9.0%) COMMON STOCKS -- (9.0%) * PT Apac Centretex Corporation Tbk 122,000 2,630 * PT Argha Karya Prima Industry Tbk 90,666 7,729 * PT Artha Graya Investama Sentral Tbk 4,773,000 45,058 PT Asahimas Flat Glass Co., Ltd. 1,271,000 313,900 PT Astra Agro Lestari Tbk 6,656,000 1,230,537 PT Astra Graphia Tbk 4,549,000 173,473 PT Bank NISP Tbk 13,832,920 553,139 * PT Batu Buana 77,715 586 PT Berlian Laju Tanker Tbk 7,383,600 652,109 * PT Bhakti Investama Tbk 9,031,500 362,355 PT Branta Mulia Tbk 66,000 $ 6,305 * PT Budi Acid Jaya Tbk 1,449,000 16,906 PT Charoen Pokphand Indonesia Tbk 3,406,500 136,342 * PT Ciputra Development Tbk 161,250 7,493 PT Citra Marga Nusaphala Persada 6,649,500 293,218 * PT Clipan Finance Indonesia Tbk 3,133,000 84,968 PT Dankos Laboratories 3,011,400 355,240 * PT Davomas Adabi Tbk 3,298,000 147,886 * PT Dharmala Intiland 277,400 2,432 PT Dynaplast Tbk 1,038,000 161,492 PT Enseval Putera Megatrading Tbk 1,276,000 202,050 * PT Eterindo Wahanatama Tbk 397,000 6,043 * PT Ever Shine Textile Tbk 4,029,640 45,011 * PT Gajah Tunggal Tbk 236,000 13,633 * PT GT Petrochem Industries Tbk 918,000 35,372 * PT Hero Supermarket Tbk 33,000 3,308 * PT Indal Aluminium Industry 47,000 812 PT Indorama Synthetics Tbk 1,453,000 82,615 PT International Nickel Indonesia Tbk 488,000 1,307,607 * PT Jakarta International Hotel and Development Tbk 395,000 29,894 * PT Jaya Real Property 157,500 37,665 PT Kalbe Farma Tbk 12,953,800 1,219,115 * PT Karwell Indonesia 138,000 6,490 * PT Kawasan Industry Jababeka Tbk 35,953,000 221,396 * PT Keramika Indonesia Assosiasi Tbk 100,000 2,058 PT Komatsu Indonesia Tbk 860,000 131,066 PT Lautan Luas Tbk 1,887,500 63,072 PT Matahari Putra Prima Tbk Foreign 2,609,000 155,076 PT Mayorah Indah 2,473,500 261,581 * PT Metrodata Electronics Tbk 3,981,000 44,395 * PT Modern Photo Tbk 40,000 2,810 * PT Mulia Industrindo 542,000 14,655 PT Mustika Ratu Tbk 723,000 34,803 * PT Pakuwon Jati Tbk 63,000 2,518 * PT Panasia Indosyntec Tbk 79,000 2,554 PT Panin Insurance Tbk 7,979,000 309,554 * PT Prasidha Aneka Niaga Tbk 84,000 1,210 PT Pudjiadi Prestige, Ltd. Tbk 45,500 1,071 * PT Putra Sejahtera Pioneerindo 29,000 1,620 * PT Rig Tenders Indonesia Tbk 178,000 126,146 PT Selamat Semp Tbk 1,920,000 59,852 * PT Semen Cibinong Tbk 702,000 28,209 * PT Sinar Mas Agro Resources and Technology Tbk 87,792 29,999 PT Summarecon Agung Tbk 6,332,000 389,548 * PT Sunson Textile Manufacturer Tbk 343,000 5,071 * PT Suparma Tbk 2,400,000 55,338 * PT Surabaya Agung Industri Pulp & Paper 64,500 493 * PT Surya Dumai Industri Tbk 3,298,500 149,315 * PT Suryamas Dutamakmur 125,000 625 PT Tempo Scan Pacific 471,500 290,971 * PT Texmaco Jaya Tbk 93,000 32,257 PT Timah Tbk 1,701,000 300,490
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SHARES VALUE+ ----------- --------------- * PT Trias Sentosa Tbk 6,328,000 $ 171,359 PT Trimegah Sec Tbk 9,961,000 93,334 PT Tunas Ridean Tbk 1,987,000 71,194 PT Ultrajaya Milk Industry & Trading Co. 260,000 13,800 PT Unggul Indah Corp. Tbk 48,239 14,723 * PT United Tractors 627,200 66,233 * PT Wicaksana Overseas International 28,560 436 --------------- TOTAL COMMON STOCKS (Cost $8,385,005) 10,692,245 --------------- RIGHTS/WARRANTS -- (0.0%) * PT Trias Sentosa Tbk Rights 12/10/03 (Cost $0) 1,898,400 10,114 --------------- TOTAL -- INDONESIA (Cost $8,385,005) 10,702,359 --------------- TAIWAN --(8.9%) COMMON STOCKS -- (8.8%) Ability Enterprise Co., Ltd. 64,192 55,827 * Abit Computer Co., Ltd. 118,300 50,230 Accton Technology Corp. 131,000 93,215 Advantech Co., Ltd. 81,000 126,896 * Ambassador Hotel 60,000 20,469 Amtran Technology Co., Ltd. 83,802 72,146 * Arima Computer Corp. 258,000 92,925 Asia Polymer Corp. 41,000 25,092 Askey Computer Co., Ltd. 79,550 43,793 Audix Co., Ltd. 17,513 26,154 Aurora Corp. 52,250 33,048 Avision, Inc. 25,030 20,009 Bank of Kaohsiung Co., Ltd. 54,060 29,444 Basso Industry Corp., Ltd. 15,000 30,088 * Behavior Tech Computer 39,000 16,217 * Bes Engineering Corp. 198,640 29,665 CTCI Corp. 98,000 72,316 * Carnival Industrial Corp. 95,000 16,135 Catcher Co., Ltd. 26,910 92,589 * Cathay Real Estate Development Co., Ltd. 347,753 122,706 * Central Insurance Co., Ltd. 60,000 21,171 Central Reinsurance Co., Ltd. 61,000 21,971 Cheng Loong Corp. 237,000 76,687 Cheng Uei Precision Industry Co., Ltd. 68,200 142,791 * Chia Hsin Cement Corp. 146,000 85,933 * Chia Hsin Food & Synthetic Fiber Co., Ltd. 269,000 23,001 Chicony Electronics Co., Ltd. 70,866 135,922 * China General Plastics Corp. 76,000 25,927 * China Life Insurance Co., Ltd. 92,400 36,527 * China Man-Made Fiber Co., Ltd. 191,000 90,047 China Metal Products Co., Ltd. 22,000 20,357 * China Petrochemical Development Corp. 177,000 25,811 * China Rebar Co., Ltd. 200,000 18,155 China Steel Chemical Corp. 31,620 39,444 * China Synthetic Rubber Corp. 59,987 19,322 * China United Trust & Investment Corp. 220,000 29,183 * Chinatrust Financial Holdings Co., Ltd. 12,700 $ 12,421 * Chinatrust Financial Holdings Co., Ltd. Preferred 31,650 9,268 Chin-Poon Industrial Co., Ltd. 34,244 22,361 * Chou Chin Industrial Co., Ltd. 42,180 0 Chroma Ate, Inc. 34,252 22,467 Chun Yuan Steel Industrial Co., Ltd. 66,000 34,208 Chung Hsin Electric & Machinery Co., Ltd. 120,000 45,857 Chung Hwa Pulp Corp. 135,804 65,615 * Clevo Co. 80,340 32,348 * Compeq Manufacturing Co., Ltd. 156,000 84,510 Continental Engineering Corp. 192,098 72,283 D-Link Corp. 109,000 128,630 Der Pao Construction Co., Ltd. 78,000 24,097 * ET Internet Technology Corp. 78,302 31,413 Elan Microelectronincs Corp. 45,210 40,643 Elitegroup Computer Systems Co., Ltd. 126,000 126,922 * Enlight Corp. 53,000 20,796 * Entie Commercial Bank 436,000 111,075 Epistar Corp. 25,619 60,015 Eternal Chemical Co., Ltd. 121,700 74,125 Evergreen International Storage & Transport Corp. 330,000 118,375 Everlight Chemical Industrial Corp. 65,000 21,127 Everlight Electronics Co., Ltd. 35,640 65,749 Everspring Industry Co., Ltd. 51,000 17,025 * Far East Department Stores, Ltd. 120,000 48,316 * Far Eastern International Bank 176,000 83,490 * Federal Corp. 48,552 41,372 Feng Hsin Iron & Steel Co., Ltd. 162,180 108,278 Feng Tay Enterprise Co., Ltd. 62,100 56,372 * First International Computer, Inc. 264,000 53,341 Formosa International Hotels Corp. 49,500 52,616 Formosa Taffeta Co., Ltd. 269,000 111,854 Giant Manufacture Co., Ltd. 59,170 73,638 * Giga Storage Corp. 42,000 23,122 Globe Union Industrial Corp. 32,634 33,446 * Gold Circuit Electronics, Ltd. 73,000 29,606 * Goldsun Development & Construction Co., Ltd. 193,000 30,236 * Grand Pacific Petrochemical Corp. 115,000 43,777 Great China Metal Industry Co., Ltd. 63,000 32,284 Great Taipei Gas Co., Ltd. 97,000 28,404 Great Wall Enterprise Co., Ltd. 63,000 16,234 Greatek Co., Ltd. 64,030 62,624 Hey Song Corp. 96,000 29,236 Ho Tung Chamical Corp. 73,901 29,323 * Hocheng Corp. 71,000 19,647 Hotai Motor Co., Ltd. 120,000 133,177 * Hsin Kuang Steel Co., Ltd. 23,000 21,148 * Hsinchu International Bank 291,000 124,410 Hua Eng Wire & Cable Co., Ltd. 113,565 23,777 * Hung Poo Construction Corp. 76,000 41,839 * Hung Sheng Construction Co., Ltd. 122,000 46,442 * Ichia Technologies, Inc. 25,200 49,441 * Infodissc Technology Co., Ltd. 58,000 20,720 K Laser Technology, Inc. 20,343 12,450
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SHARES VALUE+ ----------- --------------- Kaulin Manufacturing Co., Ltd. 16,000 $ 23,895 Kendra Rubber Industrial Co., Ltd. 74,793 65,266 * King Yuan Electronics Co., Ltd. 61,000 60,911 * Kingdom Construction Co., Ltd. 107,000 28,669 * King's Town Construction Co., Ltd. 25,000 22,694 Kinpo Electronics, Inc. 202,000 113,570 Knowledge-Yield-Excellence Systems Corp. 23,995 24,100 * Lead Data Co., Ltd. 82,000 37,458 * Lealea Enterprise Co., Ltd. 110,000 24,158 Lee Chang Yung Chemical Industry Corp. 70,019 25,937 * Lelon Co., Ltd. 27,378 15,232 Li Shin International Enterprise Corp. 25,280 15,472 Lien Hwa Industrial Corp. 119,000 32,233 * Ling Sheng PrecisionIndustrial Corp. 45,000 20,029 * Long Bon Development Co., Ltd. 98,000 27,980 Meiloon Co., Ltd. 21,060 27,134 Mercuries & Associates, Ltd. 63,250 20,559 Merry Electronics Co., Ltd. 24,480 40,143 * Microelectronics Technology, Inc. 45,000 16,999 Mitac International Corp. 322,000 140,020 * Mustek Systems, Inc. 36,000 21,400 * Nankang Rubber Tire Co., Ltd. 57,000 44,231 National Petroleum Co., Ltd. 33,325 24,884 Nien Hsing Textile Co., Ltd. 101,000 101,148 Nien Made Enterprise Co., Ltd. 52,752 92,683 * Opto Tech Corp. 51,000 14,859 * Orient Semiconductor Electronics, Ltd. 213,917 38,837 Oriental Union Chemical Corp. 90,720 104,135 * Pacific Electric Wire & Cable Corp. 726,000 11,055 * Pan Jit International, Inc. 33,000 34,594 * Pan-International Industrial 41,000 25,813 Phihong Technology Co., Ltd. 39,472 22,770 * Phoenix Precision Technology Corp. 54,000 40,480 Phoenixtec Power Co., Ltd. 145,725 160,020 * Picvue Electronics, Ltd. 123,900 38,458 Primax Electronics, Ltd. 59,987 28,632 * Prince Housing & Development Corp. 153,000 27,329 * Procomp Informatics, Ltd. 21,675 10,409 * Prodisc Technology Inc. 129,560 136,579 * Q-Run Technology Co., Ltd. 44,000 66,354 * Ruentex Development Co., Ltd. 140,000 22,958 * Ruentex Industries, Ltd. 141,000 65,649 * Sampo Corp. 236,000 103,660 * San Fang Chemical Industry Co., Ltd. 40,700 32,179 * Sanyang Industrial Co., Ltd. 144,000 28,463 Sanyo Electric Co., Ltd. 56,000 27,385 Senao International Co., Ltd. 31,900 19,710 Sheng Yu Steel Co., Ltd. 98,980 107,530 Shihlin Electric & Engineering Corp. 125,000 69,912 * Shihlin Paper Corp. 31,000 22,876 * Shinkong Synthetic Fibers Co., Ltd. 159,000 33,290 * Shuttle, Inc. 28,200 32,205 Sincere Navigation Corp. 64,015 49,675 * Sinkong Spinning Co., Ltd. 60,000 24,597 Sinyi Realty, Inc. 20,000 44,510 * Solomon Technology Corp. 90,000 $ 30,307 Southeast Cement Co., Ltd. 94,000 20,369 Springsoft, Inc. 27,466 58,310 Stark Technology, Inc. 45,100 39,223 Sunonwealth Electric Machine Industry Co., Ltd. 44,719 21,083 Sunrex Technology Corp. 37,260 36,333 Systex Corp., Ltd. 197,000 102,682 * TSRC Corp. 127,000 47,974 TYC Brother Industrial Co., Ltd. 43,680 63,953 * Ta Chong Bank 217,000 63,225 Ta Ya Elec Wire & Cable Co., Ltd. 87,000 24,712 * Taichung Commercial Bank 369,000 68,613 * Tainan Business Bank 123,000 25,212 Tainan Enterprises Co., Ltd. 28,000 37,060 Tainan Spinning Co., Ltd. 315,000 88,550 Taiwan Acceptance Corp. 37,000 31,637 Taiwan Fu Hsing Industrial Co., Ltd. 30,000 26,266 Taiwan Hon Chuan Enterprise Co., Ltd. 17,569 21,402 Taiwan Kai Yih Industrial Co., Ltd. 27,270 26,911 Taiwan Life Insurance Co., Ltd. 119,350 170,550 Taiwan Mask Corp. 49,720 25,624 Taiwan Navigation Co., Ltd. 57,240 34,528 Taiwan Polypropylene Co., Ltd. 29,416 28,339 Taiwan Secom 132,912 116,760 Taiwan Sogo Shinkong Security Co., Ltd. 45,150 20,360 Taiwan Styrene Monomer Corp. 103,000 86,562 * Taiwan Tea Corp. 125,917 18,805 Tecom, Ltd. 41,114 15,771 Test-Rite International Co., Ltd. 82,541 46,648 * The Chinese Bank 273,000 61,955 * The Farmers Bank of China 224,000 74,448 * Ton Yi Industrial Corp.+ 284,280 77,417 Tong Yang Industry Co., Ltd. 91,824 145,197 Transcend Information, Inc. 69,440 146,403 Tsann Kuen Enterprise Co., Ltd. 47,000 66,337 * Tung Ho Steel Enterprise Corp. 82,687 28,450 * Twinhead International Corp. 121,000 23,208 * Tycoons Group Enterprise Co., Ltd. 72,000 21,189 U-Ming Marine Transport Corp. 136,000 146,553 UPC Technology Corp. 171,680 74,906 * Union Bank of Taiwan 312,000 88,621 * Union Insurance Co., Ltd. 90,185 29,313 * United Epitaxy Co., Ltd. 50,000 28,697 United Integration Service Co., Ltd. 30,450 36,736 * Universal Cement Corp. 63,000 24,259 * Universal Scientific Industrial Co., Ltd. 96,000 38,934 * Usi Corp. 185,000 69,341 * WUS Printed Circuit Co., Ltd. 51,000 31,063 Walsin Technology Corp., Ltd. 73,793 54,237 * Wei Chuan Food Corp. 70,000 19,165 Weltrend Semiconductor, Inc. 32,480 23,873 Wintek Corp. 100,800 89,436 World Peace Industrial Co., Ltd. 67,425 60,613 Yieh Phui Enterprise Co., Ltd. 156,580 99,496 Yosun Industrial Corp. 19,257 20,864 Yuen Foong Yu Paper Manufacturing Co., Ltd. 288,863 119,267
268
SHARES VALUE+ ----------- --------------- Yung Chi Paint & Varnish Manufacturing Co., Ltd. 28,672 $ 33,164 Yung Shin Pharmaceutical Industrial Co., Ltd. 33,000 25,124 Yung Tay Engineering Co., Ltd. 127,000 76,981 Zig Sheng Industrial Co., Ltd. 71,000 22,142 Zinwell Corp. 23,320 29,363 Zyxel Communication Corp. 18,515 39,036 --------------- TOTAL COMMON STOCKS (Cost $8,936,328) 10,438,448 --------------- INVESTMENT IN CURRENCY -- (0.1%) * Taiwan Dollar (Cost $171,780) 171,324 --------------- TOTAL -- TAIWAN (Cost $9,108,108) 10,609,772 --------------- MALAYSIA -- (8.9%) COMMON STOCKS -- (8.9%) * A&M Realty Berhad 65,000 29,079 ACP Industries Berhad 34,000 28,632 * AMBD Berhad 58,000 3,816 APM Automotive Holdings Berhad 42,000 29,400 Affin Holdings Berhad 356,500 98,507 Amalgamated Industrial Steel Berhad 11,250 2,753 Amway (Malaysia) Holdings Berhad 54,000 90,947 Ann Joo Resources Berhad 83,000 31,671 * Anson Perdana Berhad 10,000 211 Antah Holding Berhad 23,000 1,816 * Aokam Perdana Berhad 733 12 * Arab Malaysia Corp. Berhad 558,000 170,337 * Asas Dunia Berhad 16,000 4,211 * Asia Pacific Land Berhad 70,000 5,434 Asiatic Development Berhad 266,000 117,600 * Avenue Assets Berhad 254,000 50,466 Ayer Hitam Planting Syndicate Berhad 6,000 3,789 Bandar Raya Developments Berhad 252,000 132,632 Batu Kawan Berhad 104,000 160,105 * Berjaya Capital Berhad 391,000 87,975 * Berjaya Land Berhad 465,000 103,401 * Bernas Padiberas Nasional Berhad 78,000 21,758 Bimb Holdings Berhad 134,600 59,862 Bintai Kinden Corp. Berhad 16,000 10,021 Bolton Properties Berhad 18,000 4,642 Boustead Holdings Berhad 95,999 36,884 Cahya Mata Sarawak Berhad 153,000 80,526 * Camerlin Group Berhad 58,000 18,774 Carlsberg Brewery Malaysia Berhad 55,000 156,316 Cement Industries of Malaysia Berhad 13,000 7,971 Chemical Co. of Malaysia Berhad 102,000 60,663 Chin Teck Plantations Berhad 15,000 20,329 * Cosway Corp. Berhad 113,000 34,495 Courts Mammoth Berhad 149,000 114,103 Cycle & Carriage Bintang Berhad 15,000 28,816 DNP Holdings Berhad 34,000 $ 6,084 * Damansara Realty Berhad 65,000 2,395 Datuk Keramik Holdings Berhad 24,000 2,621 * Digi.Com Berhad 135,000 124,342 Diperdana Corp. Berhad 3,000 1,050 * E&O Property Development Berhad 259,000 48,051 Edaran Otomobil Nasional Berhad 76,000 157,000 Esso Malaysia Berhad 97,000 58,455 Europlus Berhad 25,700 7,507 * FCW Holdings Berhad 24,000 2,053 FFM Berhad 70,000 144,605 * Faber Group Berhad 16,000 947 Fraser & Neave Holdings Berhad 117,500 118,737 Globetronics Technology Berhad 72,400 121,937 Glomac Berhad 54,000 36,521 * Gold IS Berhad 77,000 20,263 * Golden Plus Holdings Berhad 16,000 2,463 * Gopeng Berhad 17,000 3,042 Guiness Anchor Berhad 138,000 148,895 Guthrie Ropel Berhad 35,900 35,333 * HLG Capital Berhad 12,000 3,537 Hap Seng Consolidated Berhad 205,000 144,579 Heitech Padu Berhad 26,000 24,632 Highlands and Lowlands Berhad 188,000 162,274 Hong Leong Industries Berhad 108,000 169,105 Hong Leong Properties Berhad 112,000 17,095 Hume Industries (Malaysia) Berhad 59,667 80,079 * Hwang-DBS (Malaysia) Berhad 49,000 25,918 IGB Corp. Berhad 411,250 143,938 IJM Corp. Berhad 133,000 170,800 * IJM Plantations Berhad 37,600 10,983 IOI Properties Berhad 76,000 160,000 * Insas Berhad 56,000 6,632 Island & Peninsular Berhad 103,500 117,118 JT International Berhad 94,000 101,421 Jaya Jusco Stores Berhad 31,000 72,197 Jaya Tiasa Holdings Berhad 101,000 91,963 * Johan Holdings Berhad 30,000 3,750 John Hancock Life Insurance (M) Berhad 46,000 23,363 Johor Port Berhad 69,000 35,953 K & N Kenanga Holdings Berhad 219,000 62,242 KFC Holdings (Malaysia) Berhad 64,000 72,421 Keck Seng (Malaysia) Berhad 23,000 8,776 Kian Joo Can Factory Berhad 43,500 32,625 Kim Hin Industry Berhad 52,000 33,937 * Kretam Holdings Berhad 15,000 3,197 * Kub Malaysia Berhad 181,000 30,008 Kulim Malaysia Berhad 53,000 43,795 * Kwantas Corp. Berhad 36,000 31,074 Ladang Perbadanan-Fima Berhad 11,000 7,961 Landmarks Berhad 78,000 12,829 * Leader Universal Holdings Berhad 69,000 11,167 Lingkaran Trans Kota Holdings Berhad 173,500 126,472 * Lingui Development Berhad 219,000 56,191 * Lion Diversified Holdings Berhad 114,000 35,700 Lion Industries Corp. Berhad 176,000 27,558 * Liqua Health Corp. Berhad 173 30 MAA Holdings Berhad 54,733 76,338 MBM Resources Berhad 75,666 61,728
269
SHARES VALUE+ ----------- --------------- MUI Properties Berhad 75,200 $ 7,322 Magnum 4D Berhad 43,000 44,358 Malayan Cement Berhad 752,750 179,273 Malayawata Steel Berhad 72,000 47,368 * Malaysia Building Society Berhad 35,000 7,368 Malaysia Industrial Development Finance Berhad 243,000 73,539 Malaysian Mosaics Berhad 120,500 51,688 Malaysian National Reinsurance Berhad 57,000 52,800 Malaysian Oxygen Berhad 45,000 136,184 Malaysian Plantations Berhad 448,000 172,126 * Malaysian Resources Corp. Berhad 94,666 23,667 * Mancon Berhad 12,000 2,747 Maruichi Malaysia Steel Tube Berhad 16,000 10,947 Matsushita Electric Co. (Malaysia) Berhad 15,784 43,614 * Media Prima Berhad 61,533 23,804 * Merces Holdings Berhad 1,250 146 * Mieco Chipboard Berhad 69,000 36,679 * Mulpha International Berhad 359,750 44,495 * Multi-Purpose Holdings Berhad 457,000 149,126 NCB Holdings Berhad 122,000 67,421 * NWP Holdings Berhad 28,000 30,063 * Naluri Berhad 365,000 132,553 * Nam Fatt Berhad 9,000 1,918 * Narra Industries Berhad 16,000 26,737 Negara Properties (Malaysia) Berhad 6,000 6,253 New Straits Times Press (Malaysia) Berhad 114,000 117,600 Nylex (Malaysia) Berhad 12,000 3,695 OSK Holdings Berhad 178,333 77,434 Oriental Holdings Berhad 134,000 151,632 Osk Property Holdings Berhad 3,393 884 PK Resources Berhad 14,000 3,500 PPB Group Berhad 145,333 231,385 * Pan Malaysia Cement Works Berhad 192,000 29,053 * Pan Malaysian Industries Berhad 818,000 31,213 * Pan Pacific Asia Berhad 12,000 284 * Panglobal Berhad 14,000 6,963 Pelangi Berhad 106,000 18,968 * Pernas International Holdings Berhad 224,000 40,674 Petaling Garden Berhad 94,000 25,479 Phileo Allied Berhad 241,000 93,863 * Pilecon Engineering Berhad 42,000 1,547 * Prime Utilities Berhad 3,000 1,618 * Promet Berhad 52,000 3,968 * Puncak Niaga Holdings Berhad 146,000 133,705 Ramatex Berhad 225,000 194,211 Ranhill Berhad 42,000 84,553 * Rashid Hussain Berhad 182,000 41,189 * Rekapacific Berhad 55,000 0 Road Builders (Malaysia) Holdings Berhad 159,000 154,816 SCB Developments Berhad 45,000 54,947 SP Setia Berhad 171,100 153,089 * SRI Hartemas Berhad 65,000 7,099 Sapura Telecommunications Berhad 32,000 32,505 Sarawak Enterprise Corp. Berhad 421,000 $ 110,236 * Saship Holdings Berhad 23,000 5,387 Selangor Properties Berhad 89,000 50,589 Shangri-La Hotels (Malaysia) Berhad 114,000 31,200 Shell Refining Co. Federation of Malaysia Berhad 108,000 117,663 Sime Engineering Services Berhad 176,000 127,368 Sime UEP Properties Berhad 133,000 160,300 Southern Bank Berhad (Foreign) 188,750 123,184 Southern Steel Berhad 45,000 20,368 Star Publications (Malaysia) Berhad 113,000 184,368 * Subur Tiasa Holdings Berhad 65,000 31,816 Sunway City Berhad 139,000 39,871 * Sunway Construction Berhad 59,000 38,195 * Sunway Holdings, Inc. Berhad 145,000 58,763 * Suria Capital Holdings Berhad 186,000 31,082 Ta Ann Holdings Berhad 55,000 63,105 Ta Enterprise Berhad 673,000 156,738 Talam Corp. Berhad 12,850 4,836 Tan Chong Motor Holdings Berhad 174,000 54,489 Tasek Corp. Berhad 37,000 25,608 * Techno Asia Holdings Berhad 20,000 1,632 * Top Glove Corp. Berhad 30,000 35,684 Tractors Malaysia Holdings Berhad 115,000 78,987 Tradewinds (Malaysia) Berhad 97,000 61,774 * UAC Berhad 25,000 31,316 UDA Holdings Berhad 81,000 28,563 * UEM World Berhad 359,000 157,771 Uchi Technologies Berhad 14,300 38,008 Unico-Desa Plantations Berhad 79,000 41,371 Union Paper Holdings Berhad 70,000 19,895 Unisem (M) Berhad 51,000 140,921 United Malacca Rubber Estates Berhad 47,500 45,500 United Malayan Land Berhad 13,000 5,132 United Plantations Berhad 51,000 62,274 * Utama Banking Group Berhad 122,000 34,353 WTK Holdings Berhad 34,500 39,584 Wah Seong Corp. 82,000 46,826 * Wing Tiek Holdings Berhad 8,000 1,874 Worldwide Holdings Berhad 16,000 10,021 --------------- TOTAL COMMON STOCKS (Cost $11,207,236) 10,534,363 --------------- RIGHTS/WARRANTS -- (0.0%) * FCW Holdings Berhad Warrants 11/11/13 8,000 305 * Kumpulan Europlus Berhad Rights 12/02/03 32,125 233 * Liqua Health Marketing Berhad Warrants 09/19/08 34 3 * Pelangi Berhad Rights 12/16/03 53,000 2,511 --------------- TOTAL RIGHTS/WARRANTS (Cost $0) 3,052 --------------- TOTAL -- MALAYSIA (Cost $11,207,236) 10,537,415 ---------------
270
SHARES VALUE+ --------------- --------------- POLAND -- (3.7%) COMMON STOCKS -- (3.7%) * Amica Wronki SA 18,410 $ 117,330 * Budimex SA 28,076 244,325 * Cersanit-Krasnystaw SA 22,217 415,109 * Computerland SA 14,630 307,052 Debica SA 19,184 576,941 * Echo Investment SA 5,985 90,686 * Farmacol SA 12,510 211,968 * Huta Ferrum SA 3,168 2,279 * Impexmetal SA 23,067 203,688 * Kutnowskie Zaklady Farmaceutyczne Polfa SA 3,498 209,951 Lentex SA 13,464 71,679 * Mostostal Export SA 42,087 11,203 * Mostostal Warszawa SA 18,600 58,556 * Mostostal Zabrze Holding SA 18,293 3,043 * Netia Holdings SA 43,672 42,140 * Ocean Company SA 8,530 262 * Optimus Technologie 7,500 14,397 Orbis SA 25,000 156,769 Polifarb Cieszyn Wroclaw SA 98,435 186,439 Polska Grupa Farmaceutyczna SA 13,463 144,036 * Prosper SA 6,580 24,336 Przedsiebiorstwo Farmaceutyczne JELFA SA 14,330 161,015 * Przedsiebiorstwo Telekomunikacyjne Szeptel A.S. 16,774 11,077 Raciborska Fabryka Kotlow SA 37,758 52,670 * Softbank SA 44,730 287,360 * Sokolowskie Zaklady Miesne SA 217,420 190,318 * Stalexport SA 11,514 4,479 Zaklady Metali Lekkich Kety SA 19,615 572,331 --------------- TOTAL -- POLAND (Cost $3,390,223) 4,371,439 --------------- HUNGARY -- (3.5%) COMMON STOCKS -- (3.5%) * Danubius Hotel & Spa RT 58,038 873,099 Delmagyarorszagi Aramszolgaltato Demasz RT 15,581 809,725 * Fotex First Hungarian-American Photo Service Co. 749,391 406,530 Globus Konzervipari RT 92,126 440,970 * Mezogazdasagi Gepgyarto Reszvenytarsasag (Mezogep) 67,414 400,128 * North American Business Industries RT 51,024 334,946 * Pannonplast P.L.C. 39,441 258,010 * Raba Hungarian Railway Carriage & Machine Works 143,528 510,350 * Synergon Information Systems Ltd., Budapest 30,190 62,069 Tiszantuli Aramszolgaltato RT Titasz, Debrecen 1,801 61,166 Zwack Unicum Liqueur Industry & Trading Co., Ltd. 1,100 37,609 --------------- TOTAL -- HUNGARY (Cost $4,893,648) 4,194,602 --------------- PHILIPPINES -- (3.5%) COMMON STOCKS -- (3.5%) Alaska Milk Corp. 1,404,000 $ 80,624 * Bacnotan Consolidated Industries, Inc. 122,234 20,180 * Bankard, Inc. 412,000 8,946 * Belle Corp. 20,937,000 217,918 * C & P Homes, Inc. 6,477,000 19,178 * Digital Telecommunications (Philippines), Inc. 20,973,000 252,165 EDSA Properties Holdings, Inc. 1,759,970 16,265 * EEI Corp. 1,108,000 6,263 * Fil-Estate Land, Inc. 3,170,700 10,526 * Filinvest Development Corp. 4,664,500 81,195 * Filinvest Land, Inc. 25,798,050 490,730 * First E-Bank Corp. 77,000 691 Ginebra San Miguel, Inc. 1,065,200 583,017 * Global Equities, Inc. 886,462 1,114 * House of Investments, Inc. 732,000 6,896 International Container Terminal Services, Inc. 4,593,837 263,800 * Ionics, Inc. 769,825 20,722 Keppel Philippines Marine, Inc. 610,000 3,229 * Lepanto Consolidated Mining Co. Series B 1,925,000 10,709 * Mabuhay Holdings Corp. 516,000 1,389 * Macroasia Corp. 2,237,500 24,895 * Manila Jockey Club, Inc. 54,426 11,232 * Megaworld Properties & Holdings, Inc. 21,843,500 399,827 * Metro Pacific Corp. 45,763,860 213,524 * Negros Navigation Co., Inc. 31,100 246 * Philex Mining Corp. Series B 150,000 1,050 * Philippine Bank of Communications 14,726 19,423 * Philippine National Bank 929,975 400,528 * Philippine National Construction Corp. 173,000 8,072 Philippine Savings Bank 317,212 149,427 * Picop Resources, Inc. 1,125,000 1,161 * Pilipino Telephone Corp. 1,692,000 24,594 * Prime Orion Philippines, Inc. 2,920,000 6,812 * RFM Corp. 2,378,934 29,243 Republic Glass Holding Corp. 507,500 14,025 Robinson's Land Corp. Series B 3,402,000 118,437 SM Development Corp. 4,971,000 96,342 Security Bank Corp. 320,842 97,159 Soriano (A.) Corp. 3,430,211 46,783 Union Bank of the Philippines 47,500 21,736 * United Paragon Mining Corp. 322,500 376 * Universal Rightfield Property Holdings, Inc. 1,062,000 534 Universal Robina Corp. 3,158,100 328,703 * Urban Bank, Inc. 5,658 59 * Victorias Milling Co., Inc. 139,680 2,181 * Vitarich Corp. 176,000 821 * iVantage Corp. 593,400 4,153 --------------- TOTAL -- PHILIPPINES (Cost $6,291,017) 4,116,900 ---------------
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SHARES VALUE+ ----------- --------------- ARGENTINA -- (2.0%) COMMON STOCKS -- (2.0%) * Acindar Industria Argentina de Aceros SA Series B 459,031 $ 526,946 * Alpargatas SA Industrial y Comercial 1,007 935 Atanor Cia Nacional para la Industria Quimica SA Series D 58,050 126,817 * Banco del Sud Sociedad Anonima Series B 89,000 79,244 * Banco Suquia SA 76,789 12,087 * CINBA SA (Cia de Bebidao y Alimentos) 15,000 8,443 * Capex SA Series A 26,370 35,638 * Celulosa Argentina SA Series B 6,375 5,980 * Central Costanera SA Series B 50,000 55,649 * Central Puerto SA Series B 61,000 36,079 Cresud SA Comercial Industrial Financiera y Agropecuaria 155,401 217,432 * DYCASA SA (Dragados y Construcciones Argentina) Series B 23,052 24,337 * Ferrum SA de Ceramica y Metalurgica Series B 25,200 19,833 * Fiplasto SA Comercial y Industrial Series B 6,000 4,770 * Garovaglio y Zorraquin SA 14,160 3,467 * IRSA Inversiones y Representaciones SA 306,635 292,523 * Importadora y Exportadora de la Patagonia Series B 11,500 42,055 * Introductora de Buenos Aires SA Series A 9,832 5,784 * Juan Minetti SA 131,531 116,694 * Ledesma S.A.A.I. 387,128 236,360 * Polledo SA Industrial y Constructora y Financiera 88,891 24,027 * Quimica Estrella SA Series B 27,200 $ 9,341 * Renault Argentina SA 276,000 149,202 * Sol Petroleo SA 50,662 10,955 Solvay Indupa S.A.I.C. 370,500 288,650 --------------- TOTAL COMMON STOCKS (Cost $2,670,822) 2,333,248 --------------- INVESTMENT IN CURRENCY -- (0.0%) * Argentine Peso (Cost $11,950) 13,061 --------------- PREFERRED STOCKS -- (0.0%) * Quimica Estrella New Preferred Shares (Cost $3,163) 3,260 964 --------------- TOTAL -- ARGENTINA (Cost $2,685,935) 2,347,273 --------------- FACE AMOUNT --------------- (000) TEMPORARY CASH INVESTMENTS -- (2.8%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $3,349,000 FMC Discount Notes 1.10%, 03/05/04, valued at $3,340,628) to be repurchased at $3,291,225 (Cost $3,291,000) $ 3,291 3,291,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $100,306,161)++ $ 118,924,207 ===============
---------- + See Note B to Financial Statements. * Non-Income Producing Securities. ++ The cost for federal income tax purposes is $100,658,861. See accompanying Notes to Financial Statements. 272 THE DFA ONE-YEAR FIXED INCOME SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
FACE AMOUNT VALUE+ --------------- --------------- (000) BONDS -- (35.0%) African Development Bank 3.250%, 07/29/05 $ 38,500 $ 39,295,911 Asian Development Bank 7.500%, 05/31/05 11,000 11,852,918 Bank of America Corp. 7.125%, 05/12/05 4,500 4,822,929 7.875%, 05/16/05 10,000 10,834,740 BP Capital Markets P.L.C 4.000%, 04/29/05 12,450 12,838,527 Canada (Government of) 6.375%, 07/21/05 20,000 21,442,800 Citigroup, Inc. 4.125%, 06/30/05 39,500 40,760,248 European Investment Bank 4.000%, 08/30/05 37,000 38,382,912 Export Development Corp. 4.550%, 06/30/05 8,200 8,517,561 General Electric Capital Corp. 4.250%, 01/28/05 12,700 13,056,768 7.500%, 05/15/05 10,000 10,782,770 6.800%, 11/01/05 15,583 16,883,043 Gillette Co. 4.000%, 06/30/05 9,400 9,705,312 International Finance Corp. 7.125%, 04/06/05 38,400 41,067,072 KFW International Finance, Inc. 2.500%, 10/17/05 37,000 37,295,186 Norwest Financial, Inc. 7.600%, 05/03/05 5,000 5,389,775 Province of Ontario 7.000%, 08/04/05 39,800 42,955,304 Swiss Bank Corp. New York 6.750%, 07/15/05 3,400 3,656,251 Toyota Motor Credit Corp. 2.070%, 10/31/05 40,500 40,496,841 Wal-Mart Stores, Inc. 4.150%, 06/15/05 4,600 4,745,562 Wells Fargo & Co. Corporate Bonds 7.250%, 08/24/05 36,000 39,093,444 Westdeutsche Landesbank 6.750%, 06/15/05 9,380 10,023,609 World Bank (International Bank for Reconstruction & Development) Corporate Bonds 6.375%, 07/21/05 38,800 41,563,802 --------------- TOTAL BONDS (Cost $506,847,345) 505,463,285 --------------- AGENCY OBLIGATIONS -- (21.2%) Federal Farm Credit Bank 4.375%, 04/15/05 25,200 26,105,184 2.125%, 08/15/05 8,000 8,007,080 2.500%, 11/15/05 8,800 8,838,007 Federal Home Loan Bank 1.500%, 05/13/05 31,000 30,838,707 4.125%, 05/13/05 $ 17,000 $ 17,546,941 1.750%, 08/15/05 35,000 34,812,120 2.500%, 11/15/05 41,500 41,679,239 Federal Home Loan Mortgage Corporation 1.750%, 05/15/05 33,000 32,960,895 7.000%, 07/15/05 30,000 32,411,580 Federal National Mortgage Association 5.750%, 06/15/05 39,000 41,340,273 1.875%, 09/15/05 17,000 16,963,943 Tennessee Valley Authority 6.375%, 06/15/05 14,000 14,925,078 --------------- TOTAL AGENCY OBLIGATIONS (Cost $307,848,302) 306,429,047 --------------- VARIABLE RATE OBLIGATIONS -- (1.1%) Bayerische Landesbank ***1.15875%, 12/26/03 (Cost $16,007,877) 16,000 16,005,296 --------------- COMMERCIAL PAPER -- (42.5%) Barton Capital Corp. 1.030%, 12/03/03 6,000 5,999,643 1.050%, 12/11/03 11,436 11,432,600 1.050%, 12/16/03 5,500 5,497,548 1.050%, 12/23/03 19,007 18,994,442 Canadian Wheat Board 0.990%, 12/03/03 14,000 13,999,191 CBA (DE) Finance, Inc. 1.040%, 12/03/03 41,000 40,997,630 CC (USA), Inc. 1.080%, 01/07/04 4,000 3,995,457 1.080%, 01/13/04 33,000 32,955,932 1.080%, 01/15/04 5,000 4,992,987 Ciesco L.P. 1.040%, 12/12/03 10,000 9,996,730 Compass Securitization LLC 1.050%, 12/09/03 4,000 3,999,049 1.050%, 12/22/03 38,000 37,976,014 DuPont (E.I.) de Nemours & Co., Inc. 1.050%, 01/05/04 11,000 10,988,546 1.060%, 01/16/04 23,000 22,967,995 Eksportfinans ASA 1.020%, 12/01/03 31,000 31,000,000 0.990%, 12/05/03 10,800 10,798,752 Govco, Inc. 1.040%, 12/12/03 37,300 37,287,803 1.030%, 12/15/03 1,800 1,799,251 1.090%, 01/06/04 3,000 2,996,691 KFW International Finance, Inc. 1.030%, 12/01/03 3,000 3,000,000 Kittyhawk Funding Corp. 1.030%, 12/23/03 31,000 30,979,329 Koch Industries, Inc. 1.020%, 12/01/03 42,000 42,000,000
273
FACE AMOUNT VALUE+ --------------- --------------- (000) Nestle Capital Corp. 1.030%, 01/13/04 $ 19,000 $ 18,975,308 Novartis Finance Corp. 1.010%, 12/01/03 9,500 9,500,000 Paccar Financial Corp. 1.020%, 12/01/03 6,000 6,000,000 1.000%, 12/15/03 4,050 4,048,362 Rabobank 1.020%, 12/04/03 41,000 40,996,445 Sheffield Receivables Corp. 1.050%, 12/03/03 23,000 22,998,620 Shell Finance UK 1.000%, 12/12/03 13,927 13,922,574 1.050%, 01/16/04 5,500 5,492,347 USAA Capital Corp. 1.000%, 12/01/03 29,000 29,000,000 Wal-Mart Stores, Inc. 1.000%, 12/08/03 23,000 22,995,347 1.010%, 12/10/03 14,500 14,496,230 Windmill Funding Corp. 1.040%, 12/16/03 7,735 7,731,551 1.050%, 12/19/03 3,750 3,747,982 1.040%, 12/22/03 30,600 30,580,685 --------------- TOTAL COMMERCIAL PAPER (Cost $615,150,078) 615,141,041 --------------- TEMPORARY CASH INVESTMENTS -- (0.2%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $2,952,000 FMC Discount Notes 1.11%, 03/25/04, valued at $2,940,930) to be repurchased at $2,897,198 (Cost $2,897,000) 2,897 2,897,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,448,750,602)++ $ 1,445,935,669 ===============
---------- + See Note B to Financial Statements. *** Rates shown are the rates as of November 30, 2003, and maturities shown are the next interest readjustment date. ++ The cost for federal income tax purposes is $1,448,750,602. See accompanying Notes to Financial Statements. 274 THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
FACE AMOUNT VALUE+ --------------- --------------- (000) UNITED STATES -- (99.5%) BONDS -- (59.4%) African Development Bank 3.250%, 07/29/05 $ 29,000 $ 29,599,517 Asian Development Bank 7.500%, 05/31/05 15,725 16,944,285 BP Capital Markets P.L.C 4.000%, 04/29/05 15,000 15,468,105 Bank Austria Creditanstalt AG 7.375%, 02/11/05 26,800 28,542,000 Bank Nederlandse Gemeenten Medium Term Notes 7.875%, 03/07/05 11,000 11,825,000 7.000%, 06/08/05 7,916 8,497,826 Bank of America Corp. 7.875%, 05/16/05 8,967 9,715,511 CDC IXIS 4.000%, 03/07/05 25,000 25,665,000 Caisse Francaise de Developpement 5.875%, 05/06/05 16,500 17,404,200 Canada (Government of) 6.375%, 07/21/05 16,000 17,154,240 Citigroup, Inc. 4.125%, 06/30/05 29,200 30,131,626 Council of Europe Social Development Fund 4.875%, 10/27/05 31,500 33,216,750 Deutsche Postbank 5.750%, 02/04/05 18,000 18,829,800 ELF Aquitaine SA Medium Term Notes 7.000%, 10/05/05 16,000 17,400,000 European Investment Bank 7.250%, 06/15/05 27,000 29,151,900 Export Development Corp. 4.550%, 06/30/05 13,000 13,503,451 General Electric Capital Corp. 7.500%, 05/15/05 8,000 8,626,216 2.240%, 08/19/05 21,500 21,513,545 Inter-American Development Bank Corporate Bonds 7.500%, 04/05/05 7,851 8,439,825 International Finance Corp. 7.875%, 02/28/05 7,500 8,055,000 7.125%, 04/06/05 19,800 21,175,209 KFW International Finance, Inc. 2.500%, 10/17/05 31,000 31,247,318 Kingdom of Denmark 5.750%, 04/08/05 28,000 29,531,880 Landesbank Baden-Wuerttemberg 7.000%, 10/05/05 10,000 10,843,000 Landwirtschaftliche Rentenbank 5.000%, 09/19/05 15,000 15,729,000 Nederlandse Waterschapsbank NV 5.000%, 09/19/05 21,819 22,879,403 Nordic Investment Bank 7.500%, 04/11/05 5,000 5,386,050 Province of Ontario 7.000%, 08/04/05 $ 29,000 $ 31,299,091 Rabobank 7.375%, 03/23/05 19,100 20,456,100 Swedish Export Credit Corp. 3.000%, 09/30/05 30,000 30,461,400 Toyota Motor Credit Corp. 2.070%, 10/31/05 32,000 31,997,504 Wells Fargo & Co. Corporate Bonds 7.250%, 08/24/05 32,380 35,162,381 Westdeutsche Landesbank 6.750%, 06/15/05 8,000 8,548,920 World Bank (International Bank for Reconstruction & Development) Corporate Bonds 5.000%, 11/04/05 32,500 34,206,250 --------------- TOTAL BONDS (Cost $700,763,503) 698,607,303 --------------- AGENCY OBLIGATIONS -- (40.1%) Federal Farm Credit Bank 1.800%, 08/05/05 40,000 39,836,000 2.125%, 08/15/05 11,665 11,675,324 1.760%, 09/22/05 21,600 21,449,491 Federal Home Loan Bank 4.125%, 05/13/05 51,200 52,847,258 7.250%, 05/13/05 34,365 37,051,278 1.750%, 08/15/05 7,000 6,962,424 2.500%, 11/15/05 15,500 15,566,945 Federal Home Loan Mortgage Corporation 1.750%, 05/15/05 29,000 28,965,635 2.875%, 09/15/05 33,000 33,464,079 2.125%, 11/15/05 8,000 7,990,536 Federal National Mortgage Association 5.750%, 06/15/05 18,000 19,080,126 7.000%, 07/15/05 49,000 52,980,270 1.500%, 08/15/05 30,000 29,744,460 1.875%, 09/15/05 15,000 14,968,185 2.875%, 10/15/05 25,000 25,369,125 Tennessee Valley Authority 6.375%, 06/15/05 68,238 72,746,962 --------------- TOTAL AGENCY OBLIGATIONS (Cost $472,260,249) 470,698,098 --------------- TOTAL -- UNITED STATES (Cost $1,173,023,752) 1,169,305,401 --------------- EMU -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Euro Currency (Cost $1,427) 1,863 --------------- CANADA -- (0.0%) INVESTMENT IN CURRENCY -- (0.0%) * Canadian Dollars (Cost $367) 400 ---------------
275
FACE AMOUNT VALUE+ --------------- --------------- (000) TEMPORARY CASH INVESTMENTS (0.5%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $6,186,000 U.S. Treasury Notes 3.00%, 02/29/04, valued at $6,263,325) to be repurchased at $6,170,422 (Cost $6,170,000) $ 6,170 $ 6,170,000 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,179,195,546)++ $ 1,175,477,664 ===============
---------- + See Note B to Financial Statements. * Non-Income Producing Securities. ++ The cost for federal income tax purposes is $1,179,195,546 See accompanying Notes to Financial Statements. 276 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
THE U.S. THE ENHANCED THE U.S. THE U.S. LARGE U.S. LARGE LARGE CAP SMALL XM COMPANY COMPANY VALUE VALUE SERIES SERIES SERIES SERIES ------------- ------------- ------------- ------------- ASSETS: Investments at Value (including $475,028, $0, $471,415 and $24,111 of securities on loan, respectively) $ 3,481,491 $ 139,351 $ 3,002,702 $ 212,709 Cash 4,161 1 1 1 Receivables: Investment Securities Sold -- -- -- 6 Dividends, Interest, and Tax Reclaims 4,882 1,727 5,099 175 Securities Lending Income 34 -- 30 4 Fund Shares Sold 1,784 3 2,721 5 Fund Margin Variation 72 119 -- -- Unrealized Gain on Swap Contracts -- 309 -- -- Prepaid Expenses and Other Assets 3 1 1 3 ------------- ------------- ------------- ------------- Total Assets 3,492,427 141,511 3,010,554 212,903 ------------- ------------- ------------- ------------- LIABILITIES: Payables: Collateral on Securities Loaned 490,794 -- 491,258 25,586 Investment Securities Purchased -- -- 8,288 5,470 Fund Shares Redeemed 375 -- -- 2,400 Due to Advisor 62 6 203 14 Accrued Expenses and Other Liabilities 199 27 143 26 ------------- ------------- ------------- ------------- Total Liabilities 491,430 33 499,892 33,496 ------------- ------------- ------------- ------------- NET ASSETS $ 3,000,997 $ 141,478 $ 2,510,662 179,407 ============= ============= ============= ============= SHARES OUTSTANDING $.01 PAR VALUE N/A 17,821,203 162,958,804 15,934,043 ============= ============= ============= ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE N/A $ 7.94 $ 15.41 $ 11.26 ============= ============= ============= ============= Investments at Cost $ 2,988,680 $ 139,600 $ 2,659,796 $ 221,454 ============= ============= ============= =============
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 $263,320, $114,796, $104,806 and $116,108 of securities on loan, respectively) $ 4,800,406 $ 1,596,108 $ 2,733,269 $ 1,721,239 Cash 1 -- -- 15 Receivables: Investment Securities Sold 6,511 1,437 3,467 360 Dividends, Interest, and Tax Reclaims 2,717 703 1,125 4,011 Securities Lending Income 122 51 142 59 Fund Shares Sold 1,531 1,339 2,389 2,680 Prepaid Expenses and Other Assets 2 6 26 4 ------------- ------------- ------------- ------------- Total Assets 4,811,290 1,599,644 2,740,418 1,728,368 ------------- ------------- ------------- ------------- LIABILITIES: Payables: Collateral on Securities Loaned 280,764 121,020 113,825 122,981 Investment Securities Purchased 6,259 250 2,168 126 Fund Shares Redeemed 5,227 9,756 -- 10 Due to Advisor 734 36 212 262 Accrued Expenses and Other Liabilities 252 96 170 211 ------------- ------------- ------------- ------------- Total Liabilities 293,236 131,158 116,375 123,590 ------------- ------------- ------------- ------------- NET ASSETS $ 4,518,054 $ 1,468,486 $ 2,624,043 $ 1,604,778 ============= ============= ============= ============= SHARES OUTSTANDING $.01 PAR VALUE 223,626,262 106,137,727 250,359,086 129,429,345 ============= ============= ============= ============= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 20.20 $ 13.84 $ 10.48 $ 12.40 ============= ============= ============= ============= Investments at Cost $ 3,978,690 $ 1,408,683 $ 1,976,425 $ 1,488,484 ============= ============= ============= =============
See accompanying Notes to Financial Statements. 277
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 $70,102, $14,329, $0 and $35,965 of securities on loan, respectively) $ 357,956 $ 174,033 $ 164,366 $ 485,435 Cash 16 15 16 16 Receivables: Investment Securities Sold 225 2 -- 66 Dividends, Interest, and Tax Reclaims 1,019 233 338 1,153 Securities Lending Income -- 19 -- -- Fund Shares Sold -- -- 152 -- ------------- ------------- ------------- ------------- Total Assets 359,216 174,302 164,872 486,670 ------------- ------------- ------------- ------------- LIABILITIES: Payables: Collateral on Securities Loaned 73,727 16,984 -- 38,001 Investment Securities Purchased 1,714 490 3,908 153 Due to Advisor 24 13 13 36 Accrued Expenses and Other Liabilities 52 50 34 73 ------------- ------------- ------------- ------------- Total Liabilities 75,517 17,537 3,955 38,263 ------------- ------------- ------------- ------------- NET ASSETS $ 283,699 $ 156,765 $ 160,917 $ 448,407 ============= ============= ============= ============= Investments at Cost $ 490,771 $ 188,619 $ 124,17 366,550 ============= ============= ============= =============
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 $ 611,389 $ 118,924 $ 1,445,936 $ 1,175,478 Cash 115 14 -- 16 Receivables: Investment Securities Sold -- 2 -- -- Dividends, Interest, and Tax Reclaims 713 106 9,535 18,880 Fund Shares Sold 633 182 43 1,364 Prepaid Expenses and Other Assets -- 1 1 1 ------------- ------------- ------------- --------------- Total Assets 612,850 119,229 1,455,515 1,195,739 ------------- ------------- ------------- --------------- LIABILITIES: Payables: Investment Securities Purchased 2,387 486 -- -- Due to Advisor 50 -- 60 49 Deferred Chilean Repatriation Tax 34 -- -- -- Thailand Capital Gains Tax 2,691 939 -- -- Accrued Expenses and Other Liabilities 127 60 81 80 ------------- ------------- ------------- --------------- Total Liabilities 5,289 1,485 141 129 ------------- ------------- ------------- --------------- NET ASSETS $ 607,561 $ 117,744 $ 1,455,374 $ 1,195,610 ============= ============= ============= =============== SHARES OUTSTANDING $.01 PAR VALUE N/A N/A 144,050,780 117,985,993 ============= ============= ============= =============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE N/A N/A $ 10.10 $ 10.13 ============= ============= ============= =============== Investments at Cost $ 512,868 $ 100,306 $ 1,448,751 $ 1,179,196 ============= ============= ============= ===============
See accompanying Notes to Financial Statements. 278 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS)
THE U.S. THE ENHANCED THE U.S. THE U.S. LARGE U.S. LARGE LARGE CAP SMALL XM COMPANY COMPANY VALUE VALUE SERIES SERIES SERIES SERIES ------------- ------------- ------------- ------------- INVESTMENT INCOME Dividends $ 46,239 -- $ 33,828 $ 4,487 Interest 613 $ 1,950 303 102 Income from Securities Lending 343 -- 216 127 ------------- ------------- ------------- ------------- Total Investment Income 47,195 1,950 34,347 4,716 ------------- ------------- ------------- ------------- EXPENSES Investment Advisory Services 652 60 1,939 502 Accounting & Transfer Agent Fees 417 127 700 87 Custodian Fees 101 24 185 49 Legal Fees 26 1 20 3 Audit Fees 40 1 26 13 S&P 500 Fees 75 6 -- -- Shareholders' Reports 60 1 37 12 Trustees' Fees and Expenses 41 1 27 -- Other 21 -- 29 6 ------------- ------------- ------------- ------------- Total Expenses 1,433 221 2,963 672 ------------- ------------- ------------- ------------- NET INVESTMENT INCOME (LOSS) 45,762 1,729 31,384 4,044 ------------- ------------- ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES Net Realized Gain (Loss) on Investment Securities Sold (137,474) 983 (48,309) 64,047 Net Realized Gain (Loss) on Futures 9,903 12,294 -- -- Net Realized Gain (Loss) on Swap Contracts -- 5,138 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities 447,952 (661) 415,785 41,676 Futures (3,012) 1,356 -- -- Swap Contracts -- (1,671) -- -- ------------- ------------- ------------- ------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES 317,369 17,439 367,476 105,723 ------------- ------------- ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 363,131 $ 19,168 $ 398,860 $ 109,767 ============= ============= ============= =============
See accompanying Notes to Financial Statements. 279
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 $2,937 respectively) $ 31,729 $ 8,704 $ 14,267 $ 33,562 Interest 622 174 312 415 Income from Securities Lending 1,357 597 1,412 1,427 ------------- ------------- ------------- ------------- Total Investment Income 33,708 9,475 15,991 35,404 ------------- ------------- ------------- ------------- EXPENSES Investment Advisory Services 6,735 310 1,935 2,439 Accounting & Transfer Agent Fees 1,212 370 694 802 Custodian Fees 321 99 184 361 Legal Fees 24 10 6 13 Audit Fees 45 16 12 17 Shareholders' Reports 57 27 39 27 Trustees' Fees and Expenses 35 13 6 8 Other 29 5 12 7 ------------- ------------- ------------- ------------- Total Expenses 8,458 850 2,888 3,674 ------------- ------------- ------------- ------------- NET INVESTMENT INCOME (LOSS) 25,250 8,625 13,103 31,730 ------------- ------------- ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold 354,502 11,512 57,916 (3,540) Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- 205 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 1,007,496 370,338 809,548 379,196 Translation of Foreign Currency Denominated Amounts -- -- -- 114 ------------- ------------- ------------- ------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 1,361,998 381,850 867,464 375,975 ------------- ------------- ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 1,387,248 $ 390,475 $ 880,567 $ 407,705 ============= ============= ============= =============
See accompanying Notes to Financial Statements. 280
THE THE THE UNITED 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 $354, $142, $408 and $1,105 respectively) $ 3,107 $ 4,363 $ 4,062 $ 7,905 Interest 54 34 28 240 Income from Securities Lending 717 133 -- 555 ------------- ------------- ------------- ------------- Total Investment Income 3,878 4,530 4,090 8,700 ------------- ------------- ------------- ------------- EXPENSES Investment Advisory Services 229 124 116 311 Accounting & Transfer Agent Fees 294 159 148 381 Custodian Fees 98 95 30 236 Legal Fees 2 -- 1 4 Audit Fees 2 1 2 5 Shareholders' Reports 2 1 2 2 Trustees' Fees and Expenses 3 1 1 4 Other 3 2 1 4 ------------- ------------- ------------- ------------- Total Expenses 633 383 301 947 ------------- ------------- ------------- ------------- NET INVESTMENT INCOME (LOSS) 3,245 4,147 3,789 7,753 ------------- ------------- ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold (18,120) (436) (1,016) 12,045 Net Realized Gain (Loss) on Foreign Currency Transactions 54 18 30 315 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 101,101 56,281 42,580 120,867 Translation of Foreign Currency Denominated Amounts 16 4 5 69 ------------- ------------- ------------- ------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 83,051 55,867 41,599 133,296 ------------- ------------- ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 86,296 $ 60,014 $ 45,388 $ 141,049 ============= ============= ============= =============
See accompanying Notes to Financial Statements. 281
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 $1,731, $141,049, $0 and $0, respectively) $ 10,745 $ 2,124 -- -- Interest 159 34 $ 20,085 $ 18,748 ------------- ------------- ------------- --------------- Total Investment Income 10,904 2,158 20,085 18,748 ------------- ------------- ------------- --------------- EXPENSES Investment Advisory Services 425 145 629 492 Accounting & Transfer Agent Fees 469 91 308 625 Custodian Fees 524 154 109 82 Legal Fees 2 1 8 5 Audit Fees 3 1 7 15 Shareholders' Reports 6 1 21 8 Trustees' Fees and Expenses 6 -- 17 13 Other 3 1 10 11 ------------- ------------- ------------- --------------- Total Expenses 1,438 394 1,109 1,251 ------------- ------------- ------------- --------------- NET INVESTMENT INCOME (LOSS) 9,466 1,764 18,976 17,497 ------------- ------------- ------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold (6,216) 332 9,741 13,434 Net Realized Gain (Loss) on Foreign Currency Transactions (283) (143) -- (298) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 148,355 32,404 (6,678) (9,932) Translation of Foreign Currency Denominated Amounts 10 -- -- 306 Deferred Thailand Capital Gains Tax (1,826) (720) -- -- ------------- ------------- ------------- --------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 140,040 31,873 3,063 3,510 ------------- ------------- ------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 149,506 $ 33,637 $ 22,039 $ 21,007 ============= ============= ============= ===============
See accompanying Notes to Financial Statements. 282 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE U.S. THE ENHANCED THE U.S. LARGE COMPANY U.S. LARGE COMPANY LARGE CAP VALUE SERIES SERIES SERIES ------------------------- ------------------------- ------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 2003 2002 ----------- ----------- ----------- ----------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 45,762 $ 42,191 $ 1,729 $ 2,427 $ 31,384 $ 24,626 Net Realized Gain (Loss) on Investment Securities Sold (137,474) (211,200) 983 1,163 (48,309) (21,142) Net Realized Gain (Loss) on Futures 9,903 (12,710) 12,294 (14,358) -- -- Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- (124) -- -- Net Realized Gain (Loss) on Swap Contracts -- -- 5,138 (4,827) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency 447,952 (356,042) (661) (267) 415,785 (154,346) Futures (3,012) 5,220 1,356 (506) -- -- Swap Contracts -- -- (1,671) 1,015 -- -- Translation of Foreign Currency Denominated Amounts -- -- -- 54 -- -- ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 363,131 (532,541) 19,168 (15,423) 398,860 (150,862) ----------- ----------- ----------- ----------- ----------- ----------- Distributions From: Net Investment Income -- -- (1,810) (2,038) (31,464) (23,538) Net Short-Term Gains -- -- -- -- -- -- Net Long-Term Gains -- -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions -- -- (1,810) (2,038) (31,464) (23,538) ----------- ----------- ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued -- -- 54,067 53,415 495,839 472,038 Shares Issued in Lieu of Cash Distributions -- -- 1,747 2,008 31,027 22,203 Shares Redeemed -- -- (33,101) (27,356) (121,409) (219,115) ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions -- -- 22,713 28,067 405,457 275,126 ----------- ----------- ----------- ----------- ----------- ----------- Transactions in Interest: Contributions 547,508 962,613 -- -- -- -- Withdrawals (533,199) (638,165) -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Transactions in Interest 14,309 324,448 -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Total Increase (Decrease) 377,440 (208,093) 40,071 10,606 772,853 100,726 NET ASSETS Beginning of Period 2,623,557 2,831,650 101,407 90,801 1,737,809 1,637,083 ----------- ----------- ----------- ----------- ----------- ----------- End of Period $ 3,000,997 $ 2,623,557 $ 141,478 $ 101,407 $ 2,510,662 $ 1,737,809 =========== =========== =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued N/A N/A 7,604 6,922 36,572 34,223 Shares Issued in Lieu of Cash Distributions 250 268 2,270 1,587 Shares Redeemed (4,572) (3,447) (9,461) (15,622) ----------- ----------- ----------- ----------- 3,282 3,743 29,381 20,188 =========== =========== =========== =========== THE U.S. SMALL XM VALUE SERIES ------------------------- YEAR YEAR ENDED ENDED NOV. 30, NOV. 30, 2003 2002 ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 4,044 $ 8,461 Net Realized Gain (Loss) on Investment Securities Sold 64,047 78,733 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 41,676 (52,746) Futures -- -- Swap Contracts -- -- Translation of Foreign Currency Denominated Amounts -- -- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 109,767 34,448 ----------- ----------- Distributions From: Net Investment Income (2,339) (8,942) Net Short-Term Gains -- (22,145) Net Long-Term Gains (78,781) (77,223) ----------- ----------- Total Distributions (81,120) (108,310) ----------- ----------- Capital Share Transactions (1): Shares Issued 58,299 95,791 Shares Issued in Lieu of Cash Distributions 81,120 108,310 Shares Redeemed (793,214) (118,874) ----------- ----------- Net Increase (Decrease) from Capital Share Transactions (653,795) 85,227 ----------- ----------- Transactions in Interest: Contributions -- -- Withdrawals -- -- ----------- ----------- Net Increase (Decrease) from Transactions in Interest -- -- ----------- ----------- Total Increase (Decrease) (625,148) 11,365 NET ASSETS Beginning of Period 804,555 793,190 ----------- ----------- End of Period $ 179,407 $ 804,555 =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 7,476 11,045 Shares Issued in Lieu of Cash Distributions 10,215 11,675 Shares Redeemed (90,343) (11,806) ----------- ----------- (72,652) 10,914 =========== ===========
See accompanying Notes to Financial Statements. 283
THE U.S. THE U.S. THE U.S. SMALL CAP VALUE SMALL CAP MICRO CAP SERIES SERIES SERIES ------------------------- ------------------------- ------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 2003 2002 ----------- ----------- ----------- ----------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 25,250 $ 22,276 $ 8,625 $ 7,934 $ 13,103 $ 9,644 Net Realized Gain (Loss) on Investment Securities Sold 354,502 229,965 11,512 59,084 57,916 22,950 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- -- -- Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 1,007,496 (183,665) 370,338 (149,677) 809,548 (84,089) Translation of Foreign Currency Denominated Amounts -- -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 1,387,248 68,576 390,475 (82,659) 880,567 (51,495) ----------- ----------- ----------- ----------- ----------- ----------- Distributions From: Net Investment Income (26,137) (23,105) (8,820) (8,137) (12,775) (10,835) Net Short-Term Gains -- (27,939) -- (4,872) -- -- Net Long-Term Gains (230,313) (259,512) -- (7,758) (22,183) (26,752) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions (256,450) (310,556) (8,820) (20,767) (34,958) (37,587) ----------- ----------- ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued 469,039 623,660 397,476 348,458 339,392 240,196 Shares Issued in Lieu of Cash Distributions 252,312 306,400 8,584 20,303 34,293 34,724 Shares Redeemed (482,875) (579,144) (171,130) (404,516) (206,440) (180,763) ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transac 238,476 350,916 234,930 (35,755) 167,245 94,157 ----------- ----------- ----------- ----------- ----------- ----------- Total Increase (Decrease) 1,369,274 108,936 616,585 (139,181) 1,012,854 5,075 NET ASSETS Beginning of Period 3,148,780 3,039,844 851,901 991,082 1,611,189 1,606,114 ----------- ----------- ----------- ----------- ----------- ----------- End of Period $ 4,518,054 $ 3,148,780 $ 1,468,486 $ 851,901 $ 2,624,043 $ 1,611,189 =========== =========== =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 29,244 40,382 34,898 31,359 43,658 31,917 Shares Issued in Lieu of Cash Distributions 17,959 19,724 658 1,875 4,472 4,658 Shares Redeemed (32,884) (34,554) (15,197) (36,939) (24,233) (24,388) ----------- ----------- ----------- ----------- ----------- ----------- 14,319 25,552 20,359 (3,705) 23,897 12,187 =========== =========== =========== =========== =========== =========== THE DFA INTERNATIONAL VALUE SERIES ------------------------- YEAR YEAR ENDED ENDED NOV. 30, NOV. 30, 2003 2002 ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 31,730 $ 27,614 Net Realized Gain (Loss) on Investment Securities Sold (3,540) 2,766 Net Realized Gain (Loss) on Foreign Currency Transactions 205 (42) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 379,196 (97,155) Translation of Foreign Currency Denominated Amounts 114 202 ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations 407,705 (66,615) ----------- ----------- Distributions From: Net Investment Income (30,082) (29,420) Net Short-Term Gains -- (340) Net Long-Term Gains (1,177) (2,606) ----------- ----------- Total Distributions (31,259) (32,366) ----------- ----------- Capital Share Transactions (1): Shares Issued 542,740 354,850 Shares Issued in Lieu of Cash Distributions 31,258 32,365 Shares Redeemed (471,133) (370,867) ----------- ----------- Net Increase (Decrease) from Capital Share Transac 102,865 16,348 ----------- ----------- Total Increase (Decrease) 479,311 (82,633) NET ASSETS Beginning of Period 1,125,467 1,208,100 ----------- ----------- End of Period $ 1,604,778 $ 1,125,467 =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued 53,795 36,168 Shares Issued in Lieu of Cash Distributions 2,986 3,202 Shares Redeemed (47,941) (37,827) ----------- ----------- 8,840 1,543 =========== ===========
See accompanying Notes to Financial Statements. 284
THE JAPANESE THE PACIFIC RIM THE UNITED KINGDOM SMALL COMPANY SMALL COMPANY SMALL COMPANY SERIES SERIES SERIES ---------------------- ---------------------- ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 2003 2002 --------- --------- --------- --------- --------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 3,245 $ 2,638 $ 4,147 $ 5,077 $ 3,789 $ 3,080 Net Realized Gain (Loss) on Investment Securities Sold (18,120) (5,702) (436) (624) (1,016) (74) Net Realized Gain (Loss) on Foreign Currency Transactions 54 140 18 (15) 30 79 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 101,101 (14,390) 56,281 5,451 42,580 (7,990) Translation of Foreign Currency Denominated Amounts 16 39 4 (3) 5 4 --------- --------- --------- --------- --------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations 86,296 (17,275) 60,014 9,886 45,388 (4,901) --------- --------- --------- --------- --------- --------- Transactions in Interest: Contributions 53,153 46,066 25,155 12,243 41,630 19,447 Withdrawals (50,797) (29,931) (50,041) (31,046) (25,000) (12,388) --------- --------- --------- --------- --------- --------- Net Increase (Decrease) from Transactions in Interest 2,356 16,135 (24,886) (18,803) 16,630 7,059 --------- --------- --------- --------- --------- --------- Total Increase (Decrease) 88,652 (1,140) 35,128 (8,917) 62,018 2,158 NET ASSETS Beginning of Period 195,047 196,187 121,637 130,554 98,899 96,741 --------- --------- --------- --------- --------- --------- End of Period $ 283,699 $ 195,047 $ 156,765 $ 121,637 $ 160,917 $ 98,899 ========= ========= ========= ========= ========= ========= THE CONTINENTAL SMALL COMPANY SERIES ---------------------- YEAR YEAR ENDED ENDED NOV. 30, NOV. 30, 2003 2002 --------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 7,753 $ 5,452 Net Realized Gain (Loss) on Investment Securities Sold 12,045 3,013 Net Realized Gain (Loss) on Foreign Currency Transactions 315 134 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 120,867 (4,955) Translation of Foreign Currency Denominated Amounts 69 147 --------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations 141,049 3,791 --------- --------- Transactions in Interest: Contributions 97,585 79,614 Withdrawals (53,295) (30,674) --------- --------- Net Increase (Decrease) from Transactions in Interest 44,290 48,940 --------- --------- Total Increase (Decrease) 185,339 52,731 NET ASSETS Beginning of Period 263,068 210,337 --------- --------- End of Period $ 448,407 $ 263,068 ========= =========
See accompanying Notes to Financial Statements. 285
THE THE EMERGING THE DFA EMERGING MARKETS MARKETS SMALL CAP ONE-YEAR FIXED SERIES SERIES INCOME SERIES ---------------------- ---------------------- ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 2003 2002 --------- --------- --------- --------- --------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 9,466 $ 5,533 $ 1,764 $ 907 $ 18,976 $ 23,078 Net Realized Gain (Loss) on Investment Securities Sold (6,216) (19,675) 332 936 9,741 12,636 Net Realized Gain (Loss) on Foreign Currency Transactions (283) (308) (143) (69) -- -- Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 148,355 18,972 32,404 2,507 (6,678) (4,316) Translation of Foreign Currency Denominated Amounts 10 4 -- -- -- -- Deferred Thailand Capital Gains Tax (1,826) (865) (720) (219) -- -- --------- --------- --------- --------- --------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations 149,506 3,661 33,637 4,062 22,039 31,398 --------- --------- --------- --------- --------- --------- Distributions From: Net Investment Income -- -- -- -- (19,710) (23,290) Net Short-Term Gains -- -- -- -- (12,023) -- Net Long-Term Gains -- -- -- -- (10) -- --------- --------- --------- --------- --------- --------- Total Distributions -- -- -- -- (31,743) (23,290) --------- --------- --------- --------- --------- --------- Capital Share Transactions (1): Shares Issued -- -- -- -- 715,785 323,647 Shares Issued in Lieu of Cash Distributions -- -- -- -- 29,506 21,688 Shares Redeemed -- -- (273,042) (100,271) --------- --------- --------- --------- --------- --------- Net Increase (Decrease) from Capital Share Transactions -- -- -- -- 472,249 245,064 --------- --------- --------- --------- --------- --------- Transactions in Interest: Contributions 156,160 74,308 36,904 11,664 -- -- Withdrawals (41,298) (42,496) (1,126) (2,084) -- -- --------- --------- --------- --------- --------- --------- Net Increase (Decrease) from Transactions in Interest 114,862 31,812 35,778 9,580 -- -- --------- --------- --------- --------- --------- --------- Total Increase (Decrease) 264,368 35,473 69,415 13,642 462,545 253,172 NET ASSETS Beginning of Period 343,193 307,720 48,329 34,687 992,829 739,657 --------- --------- --------- --------- --------- --------- End of Period $ 607,561 $ 343,193 $ 117,744 $ 48,329 $1,455,374 $ 992,829 ========= ========= ========= ========= ========== ========= (1) SHARES ISSUED AND REDEEMED: Shares Issued N/A N/A N/A N/A 70,748 31,959 Shares Issued in Lieu of Cash Distributions 2,926 2,145 Shares Redeemed (27,014) (9,900) --------- --------- 46,660 24,204 ========= ========= THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES ---------------------- YEAR YEAR ENDED ENDED NOV. 30, NOV. 30, 2003 2002 --------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 17,497 $ 22,114 Net Realized Gain (Loss) on Investment Securities Sold 13,434 11,140 Net Realized Gain (Loss) on Foreign Currency Transactions (298) (992) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency (9,932) (975) Translation of Foreign Currency Denominated Amounts 306 26 Deferred Thailand Capital Gains Tax -- -- ---------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations 21,007 31,313 ---------- --------- Distributions From: Net Investment Income (17,698) (18,607) Net Short-Term Gains -- -- Net Long-Term Gains (10,965) -- ---------- --------- Total Distributions (28,663) (18,607) ---------- --------- Capital Share Transactions (1): Shares Issued 411,930 221,930 Shares Issued in Lieu of Cash Distributions 28,394 18,589 Shares Redeemed (36,366) (50,126) ---------- --------- Net Increase (Decrease) from Capital Share Transactions 403,958 190,393 ---------- --------- Transactions in Interest: Contributions -- -- Withdrawals -- -- ---------- --------- Net Increase (Decrease) from Transactions in Interest -- -- ---------- --------- Total Increase (Decrease) 396,302 203,099 NET ASSETS Beginning of Period 799,308 596,209 ---------- --------- End of Period $1,195,610 $ 799,308 ========== ========= (1) SHARES ISSUED AND REDEEMED: Shares Issued 40,550 21,879 Shares Issued in Lieu of Cash Distributions 2,803 1,837 Shares Redeemed (3,574) (4,949) ---------- --------- 39,779 18,767 ========== =========
See accompanying Notes to Financial Statements. 286 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE U.S. LARGE COMPANY SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- Net Realized Gains -- -- -- -- -- Return of Capital -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ ============================================================================================================================= Total Return 15.05% (16.59)% (12.30)% (4.25)% 20.86% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812 $ 2,775,062 Ratio of Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.06% 0.06% Ratio of Net Investment Income to Average Net Assets 1.75% 1.53% 1.26% 1.12% 1.27% Portfolio Turnover Rate 8% 11% 8% 8% 4% ----------------------------------------------------------------------------------------------------------------------------- THE ENHANCED U.S. LARGE COMPANY SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 6.97 $ 8.41 $ 9.92 $ 13.03 $ 12.95 INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.15 0.18 0.44 1.18 1.06 Net Gains (Losses) on Securities (Realized and Unrealized) 0.93 (1.46) (1.57) (1.62) 1.34 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 1.08 (1.28) (1.13) (0.44) 2.40 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.11) (0.16) (0.06) (1.30) (1.02) Net Realized Gains -- -- -- (1.37) (1.30) Return of Capital -- -- (0.32) -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.11) (0.16) (0.38) (2.67) (2.32) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 7.94 $ 6.97 $ 8.41 $ 9.92 $ 13.03 ============================================================================================================================= Total Return 15.71% (15.34)% (11.66)% (4.64)% 20.55% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 141,478 $ 101,407 $ 90,801 $ 89,927 $ 102,171 Ratio of Expenses to Average Net Assets 0.18% 0.18% 0.19% 0.19% 0.19% Ratio of Net Investment Income to Average Net Assets 1.44% 2.61% 4.37% 5.26% 4.55% Portfolio Turnover Rate 138% 183% 122% 71% 82% -----------------------------------------------------------------------------------------------------------------------------
N/A+ Not applicable as The U.S. Large Company Series is organized as a partnership. See accompanying Notes to Financial Statements. 287
THE U.S. LARGE CAP VALUE SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 13.01 $ 14.44 $ 14.71 $ 17.79 $ 18.79 INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.21 0.20 0.25 0.33 0.34 Net Gains (Losses) on Securities (Realized and Unrealized) 2.41 (1.43) 1.25 0.04 0.46 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 2.62 (1.23) 1.50 0.37 0.80 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.22) (0.20) (0.27) (0.32) (0.34) Net Realized Gains -- -- (1.50) (3.13) (1.46) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.22) (0.20) (1.77) (3.45) (1.80) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 ============================================================================================================================= Total Return 20.34% (8.64)% 10.97% 3.06% 4.64% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343 $ 1,788,082 Ratio of Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.16% 0.16% Ratio of Net Investment Income to Average Net Assets 1.62% 1.49% 1.66% 2.20% 1.80% Portfolio Turnover Rate 7% 9% 6% 26% 43% ----------------------------------------------------------------------------------------------------------------------------- THE U.S. SMALL XM VALUE SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 9.08 $ 10.21 $ 8.95 $ 9.03 $ 8.62 INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.21 0.10 0.15 0.15 0.10 Net Gains (Losses) on Securities (Realized and Unrealized) 2.93 0.14 1.88 0.15 0.45 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.14 0.24 2.03 0.30 0.55 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.07) (0.10) (0.14) (0.15) (0.10) Net Realized Gains (0.89) (1.27) (0.63) (0.23) (0.04) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.96) (1.37) (0.77) (0.38) (0.14) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 11.26 $ 9.08 $ 10.21 $ 8.95 $ 9.03 ============================================================================================================================= Total Return 38.88% 2.17% 24.10% 3.42% 6.39% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 179,407 $ 804,555 $ 793,190 $ 801,368 $ 360,336 Ratio of Expenses to Average Net Assets 0.13% 0.13% 0.13% 0.13% 0.14% Ratio of Net Investment Income to Average Net Assets 0.89% 1.04% 1.32% 2.03% 1.33% Portfolio Turnover Rate 43% 34% 8% 26% 35% -----------------------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements. 288
THE U.S. SMALL CAP VALUE SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 15.04 $ 16.54 $ 16.47 $ 17.16 $ 17.26 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.12 0.11 0.15 0.16 0.14 Net Gains (Losses) on Securities (Realized and Unrealized) 6.29 0.11 3.15 0.97 1.38 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 6.41 0.22 3.30 1.13 1.52 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.12) (0.11) (0.15) (0.16) (0.14) Net Realized Gains (1.13) (1.61) (3.08) (1.66) (1.48) ----------- ----------- ----------- ----------- ----------- Total Distributions (1.25) (1.72) (3.23) (1.82) (1.62) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 20.20 $ 15.04 $ 16.54 $ 16.47 $ 17.16 ----------------------------------------------------------------------------------------------------------------------------- Total Return 46.31% 1.05% 23.86% 7.29% 9.78% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 4,518,054 $ 3,148,780 $ 3,039,844 $ 2,711,041 $ 2,692,473 Ratio of Expenses to Average Net Assets 0.25% 0.25% 0.25% 0.25% 0.26% Ratio of Net Investment Income to Average Net Assets 0.75% 0.70% 0.86% 0.92% 0.83% Portfolio Turnover Rate 35% 30% 13% 32% 29% ----------------------------------------------------------------------------------------------------------------------------- THE U.S. SMALL CAP SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 9.93 $ 11.08 $ 11.67 $ 12.24 $ 11.46 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.08 0.09 0.10 0.11 0.10 Net Gains (Losses) on Securities (Realized and Unrealized) 3.92 (1.00) 1.24 0.65 1.83 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 4.00 (0.91) 1.34 0.76 1.93 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.09) (0.10) (0.10) (0.11) (0.11) Net Realized Gains -- (0.14) (1.83) (1.22) (1.04) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.09) (0.24) (1.93) (1.33) (1.15) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24 ----------------------------------------------------------------------------------------------------------------------------- Total Return 40.32% (8.42)% 13.08% 6.48% 18.62% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,468,486 $ 851,901 $ 991,082 $ 768,151 $ 586,086 Ratio of Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.09% Ratio of Net Investment Income to Average Net Assets 0.84% 0.81% 0.94% 0.99% 0.89% Portfolio Turnover Rate 16% 34% 13% 38% 29% -----------------------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements. 289
THE U.S. MICRO CAP SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 7.11 $ 7.50 $ 8.19 $ 9.55 $ 8.86 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.05 0.04 0.07 0.07 0.07 Net Gains (Losses) on Securities (Realized and Unrealized) 3.47 (0.25) 1.07 0.46 1.52 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.52 (0.21) 1.14 0.53 1.59 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.05) (0.05) (0.06) (0.07) (0.07) Net Realized Gains (0.10) (0.13) (1.77) (1.82) (0.83) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.15) (0.18) (1.83) (1.89) (0.90) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.48 $ 7.11 $ 7.50 $ 8.19 $ 9.55 ============================================================================================================================= Total Return 50.34% (2.96)% 17.66% 5.82% 20.06% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 2,624,043 $ 1,611,189 $ 1,616,114 $ 1,443,726 $ 1,323,023 Ratio of Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.16% Ratio of Net Investment Income to Average Net Assets 0.68% 0.58% 0.88% 0.76% 0.76% Portfolio Turnover Rate 19% 19% 14% 37% 23% ----------------------------------------------------------------------------------------------------------------------------- THE DFA INTERNATIONAL VALUE SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 9.33 $ 10.15 $ 12.07 $ 13.18 $ 11.95 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.27 0.24 0.27 0.27 0.28 Net Gains (Losses) on Securities (Realized and Unrealized) 3.06 (0.78) (1.49) (0.31) 1.29 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 3.33 (0.54) (1.22) (0.04) 1.57 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.25) (0.25) (0.27) (0.26) (0.31) Net Realized Gains (0.01) (0.03) (0.43) (0.81) (0.03) ----------- ----------- ----------- ----------- ----------- Total Distributions (0.26) (0.28) (0.70) (1.07) (0.34) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 ============================================================================================================================= Total Return 36.24% (5.53)% (10.75)% (0.51)% 13.27% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481 $ 1,660,377 Ratio of Expenses to Average Net Assets 0.30% 0.30% 0.29% 0.29% 0.29% Ratio of Net Investment Income to Average Net Assets 2.61% 2.36% 2.32% 2.13% 2.17% Portfolio Turnover Rate 14% 18% 6% 9% 6% -----------------------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements. 290
THE JAPANESE SMALL COMPANY SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ ============================================================================================================================= Total Return 47.87% (9.62)% (13.51)% (9.93)% 33.83% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 283,699 $ 195,047 $ 196,187 $ 196,118 $ 202,676 Ratio of Expenses to Average Net Assets 0.28% 0.27% 0.28% 0.27% 0.28% Ratio of Net Investment Income to Average Net Assets 1.41% 1.26% 1.41% 1.38% 1.10% Portfolio Turnover Rate 16% 5% 9% 6% 6% ----------------------------------------------------------------------------------------------------------------------------- THE PACIFIC RIM SMALL COMPANY SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ ============================================================================================================================= Total Return 61.47% 7.28% 2.84% (10.99)% 54.81% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 156,765 $ 121,637 $ 130,554 $ 131,888 $ 183,759 Ratio of Expenses to Average Net Assets 0.31% 0.32% 0.28% 0.29% 0.48% Ratio of Net Investment Income to Average Net Assets 3.35% 3.77% 3.69% 4.10% 2.95% Portfolio Turnover Rate 15% 26% 10% 7% 34% -----------------------------------------------------------------------------------------------------------------------------
N/A+ Not applicable as The Japanese Small Company Series and The Pacific Rim Small Company Series are organized as Partnerships. See accompanying Notes to Financial Statements. 291
THE UNITED KINGDOM SMALL COMPANY SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ ============================================================================================================================= Total Return 44.65% (4.67)% (4.89)% (6.18)% 36.75% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 160,917 $ 98,899 $ 96,741 $ 109,806 $ 132,127 Ratio of Expenses to Average Net Assets 0.26% 0.26% 0.27% 0.26% 0.26% Ratio of Net Investment Income to Average Net Assets 3.25% 3.03% 2.86% 3.06% 3.55% Portfolio Turnover Rate 7% 6% 14% 11% 5% ----------------------------------------------------------------------------------------------------------------------------- THE CONTINENTAL SMALL COMPANY SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ ============================================================================================================================= Total Return 52.86% 3.22% (5.43)% 2.67% (5.89)% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 448,407 $ 263,068 $ 210,337 $ 226,724 $ 252,368 Ratio of Expenses to Average Net Assets 0.30% 0.31% 0.30% 0.28% 0.27% Ratio of Net Investment Income to Average Net Assets 2.49% 2.22% 2.73% 2.36% 1.92% Portfolio Turnover Rate 11% 12% 12% 9% 11% -----------------------------------------------------------------------------------------------------------------------------
N/A+ Not applicable as The United Kingdom Small Company Series and The Continental Small Company Series are organized as Partnerships. See accompanying Notes to Financial Statements. 292
THE EMERGING MARKETS SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ ============================================================================================================================= Total Return 39.67% 2.10% (8.54)% (22.30)% 53.78% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 607,561 $ 343,193 $ 307,720 $ 296,726 $ 344,175 Ratio of Expenses to Average Net Assets 0.34% 0.34% 0.46% 0.46% 0.46% Ratio of Net Investment Income to Average Net Assets 2.23% 1.64% 1.94% 1.33% 1.34% Portfolio Turnover Rate 1% 8% 6% 12% 16% ----------------------------------------------------------------------------------------------------------------------------- THE EMERGING MARKETS SMALL CAP SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ ============================================================================================================================= Total Return 52.80% 13.07% (9.55)% (23.28)% 71.45% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 117,744 $ 48,379 $ 34,687 $ 32,572 $ 39,848 Ratio of Expenses to Average Net Assets 0.54% 0.51% 0.63% 0.66% 0.68% Ratio of Net Investment Income to Average Net Assets 2.44% 2.03% 2.17% 1.69% 1.82% Portfolio Turnover Rate 6% 16% 14% 20% 24% -----------------------------------------------------------------------------------------------------------------------------
N/A+ Not applicable as The Emerging Markets Series and The Emerging Markets Small Cap Series are organized as a partnerships. See accompanying Notes to Financial Statements. 293
THE DFA ONE-YEAR FIXED INCOME SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 10.19 $ 10.11 $ 10.01 $ 9.97 $ 10.02 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.15 0.27 0.49 0.60 0.52 Net Gains (Losses) on Securities (Realized and Unrealized) 0.04 0.09 0.13 0.04 (0.05) ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.19 0.36 0.62 0.64 0.47 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.16) (0.28) (0.52) (0.60) (0.52) Net Realized Gains (0.12) -- -- -- -- Return of Capital -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.28) (0.28) (0.52) (0.60) (0.52) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.10 $ 10.19 $ 10.11 $ 10.01 $ 9.97 ============================================================================================================================= Total Return 1.95% 3.57% 6.33% 6.63% 4.83% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,455,374 $ 992,829 $ 739,657 $ 841,506 $ 821,548 Ratio of Expenses to Average Net Assets 0.09% 0.09% 0.09% 0.09% 0.09% Ratio of Net Investment Income to Average Net Assets 1.51% 2.65% 4.89% 6.07% 5.19% Portfolio Turnover Rate 143% 154% 55% 35% 58% ----------------------------------------------------------------------------------------------------------------------------- THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES --------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 10.22 $ 10.03 $ 9.70 $ 10.11 $ 10.21 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.25 0.30 0.44 0.84 0.45 Net Gains (Losses) on Securities (Realized and Unrealized) (0.01) 0.16 0.22 (0.23) 0.03 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 0.24 0.46 0.66 0.61 0.48 ----------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.19) (0.27) (0.14) (1.02) (0.57) Net Realized Gains (0.14) -- -- -- (0.01) Return of Capital -- -- (0.19) -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.33) (0.27) (0.33) (1.02) (0.58) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.13 $ 10.22 $ 10.03 $ 9.70 $ 10.11 ============================================================================================================================= Total Return 2.36% 4.60% 6.91% 6.30% 4.84% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,195,610 $ 799,308 $ 596,209 $ 518,518 $ 531,514 Ratio of Expenses to Average Net Assets 0.13% 0.14% 0.15% 0.15% 0.15% Ratio of Net Investment Income to Average Net Assets 1.78% 3.20% 4.54% 5.03% 4.45% Portfolio Turnover Rate 144% 138% 113% 73% 78% -----------------------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements. 294 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: The DFA Investment Trust Company (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940. At November 30, 2003, the Trust consisted of twenty-five investment portfolios, of which sixteen are included in this report, (collectively, the "Series") (five are presented in separate reports, and four have not yet commenced operations): 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") In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America for investment companies. Such policies are consistently followed by the Trust in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day. Effective May 21, 2003, 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 most recent bid and asked prices. Securities held by the International Equity Portfolios that are listed on a securities exchange are valued at the last quoted sale price. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are available are valued at the mean between the 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 are valued in good faith at fair value using methods approved by the Board of Trustees. The International Equity Portfolios value their investment securities at fair value based upon procedures approved by the Board on days when significant events occur after the close of the principal exchange on which the securities are traded, and as a result, are expected to materially affect the value of the investments. 295 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. 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 Seriesalso 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. Expenses directly attributable to a Series are directly charged. Common expenses are allocated using methods approved by the Board of Trustees, generally based on average net assets. The International Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Funds accrue such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation 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. 296 C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides investment advisory services to the Trust. For the year ended November 30, 2003, 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 Series are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At November 30, 2003, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities as follows: The U.S. Large Company Series $ 38,976 The Enhanced U.S. Large Company Series 1,798 The U.S. Large Cap Value Series 28,646 The U.S. Small XM Value Series 8,044 The U.S. Small Cap Value Series 49,524 The U.S. Small Cap Series 15,082 The U.S. Micro Cap Series 28,448 The DFA International Value Series 17,973 The Japanese Small Company Series 3,387 The Pacific Rim Small Company Series 1,828 The United Kingdom Small Company Series 1,709 The Continental Small Company Series 4,540 The Emerging Markets Series 6,174 The Emerging Markets Small Cap Series 1,036 The DFA One-Year Fixed Income Series 18,789 The DFA Two-Year Global Fixed Income Series 14,626
297 E. PURCHASE AND SALES OF SECURITIES: For the year ended November 30, 2003, 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 -- -- $ 277,992 $ 209,469 The Enhanced U.S. Large Company Series $ 29,813 $ 35,212 88,962 59,545 The U.S. Large Cap Value Series -- -- 526,814 127,799 The U.S. Small XM Value Series -- -- 205,530 920,945 The U.S. Small Cap Value Series -- -- 1,169,617 1,164,067 The U.S. Small Cap Series -- -- 389,381 160,076 The U.S. Micro Cap Series -- -- 491,496 360,705 The DFA International Value Series -- -- 275,257 170,331 The Japanese Small Company Series -- -- 38,938 35,111 The Pacific Rim Small Company Series -- -- 18,448 36,918 The United Kingdom Small Company Series -- -- 30,044 8,326 The Continental Small Company Series -- -- 90,324 33,179 The Emerging Markets Series -- -- 127,960 3,994 The Emerging Markets Small Cap Series -- -- 36,141 4,260 The DFA One-Year Fixed Income Series 594,089 563,081 702,873 438,106 The DFA Two-Year Global Fixed Income Series 871,085 814,297 899,031 531,162
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. Because income tax regulations differ from accounting principles generally accepted in the United States of America, the timing and character of income and capital gain distributions determined in accordance with tax regulations can differ from income and capital gains recognized for financial reporting purposes. Accordingly, the character of distributions and the composition of net assets for tax purposes can differ from those reflected in the financial statements. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid in capital, accumulated net realized gain (loss) or undistributed net investment income as appropriate, in the period the differences arise. These reclassifications have no effect on net assets or net asset value per share. For each of the Series except The Enhanced U.S. Large Company Series, the components of distributable earnings on a tax basis do not differ materially from book basis distributable earnings, which are disclosed in the Components of Net Assets. The Enhanced U.S. Large Company Series had unrealized gains on open futures contracts of $6,878,338 which is required to be treated as a realized gain for tax purposes. The U.S. Large Company Series, The Japanese Small Company Series, The Pacific Rim Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series, The Emerging Markets Series and The Emerging Markets Small Cap Series are treated as partnerships for federal income tax purposes and therefore, no provision for federal income taxes is required. Any interest, dividends, and gains or losses have been deemed to have been "passed down" to their Feeder Funds. The U.S. Small XM Value Series used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year ended November 30, 2003 as distributions of net investment income and realized capital 298 gains. Accordingly, the Series has reclassified the following amounts from undistributed net investment income and accumulated net realized gains to paid in capital: Accumulated Net Investment Income $ 2,404,298 Accumulated Net Realized Gain/Loss 29,842,733
During the year ended November 30, 2003, the following Series' realized net foreign currency gains (losses), which increased (decreased) distributable net income for tax purposes; accordingly such gains (losses) have been reclassified from accumulated net realized gains (losses) to accumulated net investment income (loss). The DFA International Value Series $ 205,083 The DFA Two-Year Global Fixed Income Series (297,926)
At November 30, 2003, gross unrealized appreciation and depreciation for federal income tax purposes of investment securities and foreign currencies was as follows (amounts in thousands):
GROSS UNREALIZED GROSS UNREALIZED APPRECIATION DEPRECIATION NET ---------------- ---------------- ---------- The U.S. Large Company Series $ 692,670 $ (340,241) $ 352,429 The Enhanced U.S. Large Company Series 94 (344) (250) The U.S. Large Cap Value Series 501,726 (158,963) 342,763 The U.S. Small XM Value Series 23,314 (32,202) (8,888) The U.S. Small Cap Value Series 1,253,982 (434,817) 819,165 The U.S. Small Cap Series 367,666 (183,924) 183,742 The U.S. Micro Cap Series 1,032,902 (277,303) 755,599 The DFA International Value Series 377,031 (147,998) 229,033 The Japanese Small Company Series 27,406 (163,054) (135,648) The Pacific Rim Small Company Series 37,402 (52,994) (15,592) The United Kingdom Small Company Series 60,761 (21,014) 39,747 The Continental Small Company Series 152,374 (30,047) 122,327 The Emerging Markets Series 170,978 (73,288) 97,690 The Emerging Markets Small Cap Series 32,941 (14,676) 18,265 The DFA One-Year Fixed Income Series 332 (3,147) (2,815) The DFA Two-Year Global Fixed Income Series 997 (4,715) (3,718)
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at November 30, its fiscal year end. As of November 30, 2003, the following Portfolios had capital loss carryforwards for federal income tax purposes (amounts in thousands):
EXPIRES ON NOVEMBER 30, ----------------------- 2009 2010 2011 TOTAL -------- ---------- ---------- --------- The Enhanced U.S. Large Company Series $ 8,223 $ 18,527 -- $ 26,750 The U.S. Large Cap Value Series 11,185 21,142 $ 48,335 80,662 The DFA International Value Series -- -- 3,507 3,507
During the year ended November 30, 2003, The Enhanced U.S. Large Company Series and The U.S. Small Cap Series each utilized prior year capital loss carryforwards to offset realized capital gains for federal income tax purposes in the amounts of $19,769,000 and $12,545,000, respectively. 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. The Series had unrealized appreciation (depreciation) (mark to market) and realized gains on the sale of passive foreign investment companies of $3,502,361 and $7,718,955 respectively, which are included in distributable net investment income for tax purposes, accordingly, such gains have been reclassified from accumulated net realized gains to accumulated net investment income. 299 During the year ended November 30, 2003, the U.S. Small XM Value Series realized approximately $13,789,000 of net capital gains resulting from in-kind redemption in which shareholders of the Series elected to exchange shares of the Series for securities, rather than cash. Because such gains are not taxable to the Series, and are not distributed to shareholders, they have been properly reclassed from accumulated net realized gains to paid-in-capital. G. COMPONENTS OF NET ASSETS: At November 30, 2003, 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) ---------- ----------- ------------ ------------ The Enhanced U.S. Large Company Series $ 167,927 $ 240 $ (33,627) -- The U.S. Large Cap Value Series 2,246,856 1,705 (80,806) -- The U.S. Small XM Value Series 167,938 54 20,159 -- The U.S. Small Cap Value Series 3,341,610 832 353,895 -- The U.S. Small Cap Series 1,283,918 193 (3,050) -- The U.S. Micro Cap Series 1,810,664 587 55,948 -- The DFA International Value Series 1,374,522 771 (3,675) $ 205 The DFA One-Year Fixed Income Series 1,447,432 1,024 9,733 -- The DFA Two-Year Global Fixed Income Series 1,183,529 2,694 13,403 (298) UNREALIZED APPRECIATION (DEPRECIATION) OF FUTURES, SWAP UNREALIZED CONTRACTS, NET FOREIGN INVESTMENT EXCHANGE NUMBER OF SECURITIES AND GAIN TOTAL NET SHARES FOREIGN CURRENCY (LOSS) ASSETS AUTHORIZED ----------------- ----------- ---------- ---------- The Enhanced U.S. Large Company Series $ 6,938 -- $ 141,478 Unlimited The U.S. Large Cap Value Series 342,907 -- 2,510,662 Unlimited The U.S. Small XM Value Series (8,744) -- 179,407 Unlimited The U.S. Small Cap Value Series 821,717 -- 4,518,054 Unlimited The U.S. Small Cap Series 187,425 -- 1,468,486 Unlimited The U.S. Micro Cap Series 756,844 -- 2,624,043 Unlimited The DFA International Value Series 232,755 $ 200 1,604,778 Unlimited The DFA One-Year Fixed Income Series (2,815) -- 1,455,374 Unlimited The DFA Two-Year Global Fixed Income Series (3,718) -- 1,195,610 Unlimited
H. FINANCIAL INSTRUMENTS: In accordance with the Series' Investment Objectives and Policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Trust's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on November 28, 2003. 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 November 30, 2003, 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. 300 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 Fund may be inhibited. 4. FUTURES CONTRACTS: During the year ended November 30, 2003, The U.S. Large Company Series ("Large Company") and The Enhanced U.S. Large Company Series ("Enhanced") entered into futures contracts in accordance with their investment objectives. Upon entering into a futures contract, Large Company and Enhanced deposit cash or pledge U.S. Government securities to a broker, equal to the minimum "initial margin" requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by Large Company and Enhanced as unrealized gains or losses until the contracts are closed. When the contracts are closed, Large Company and Enhanced record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. At November 30, 2003, "Large Company" had outstanding 259 long futures contracts on the S&P 500 Index, all of which expire on December 19, 2003. The value of such contracts on November 30, 2003 was $68,492,550, which resulted in an unrealized gain of $2,241,326. At November 30, 2003, "Enhanced" had outstanding 434 long futures contracts on the S&P 500 Index which expire on December 19, 2003. The value of the December contracts on November 30, 2003 was $114,771,300, which resulted in an unrealized gain of $6,878,338. Risks arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities and from the possibility of an illiquid secondary market for these instruments and from the possibility that the Series could lose more than the initial margin requirements. 5. EQUITY INDEX SWAPS: Enhanced may enter into equity index swaps in accordance with its investment objectives. A swap agreement obligates two parties to exchange returns realized on a notional amount agreed upon by both parties. The obligations of the parties are calculated on a net basis based on the daily fluctuations in the indices on which the agreement is based. The daily net fluctuation is recorded as unrealized gains or losses by Enhanced. At the termination of the agreement, Enhanced will receive from or pay to the counterparty, the accumulated net unrealized gain or loss, which will then be recorded as realized. At November 30, 2003, Enhanced had an outstanding equity index swap with Morgan Stanley dated October 20, 2003 (which represents approximately 18.5% of the net assets of Enhanced), terminating on April 15, 2004. The notional value of the swap was $26,169,000 and Enhanced had recorded net unrealized appreciation of $309,427, owed to Enhanced as of November 30, 2003. Payments made by Enhanced are based on the London Interbank Offered Rate (LIBOR) plus 0.08% per annum calculated on the original notional amount plus accumulated interest added on the monthly LIBOR reset date. Payments received by Enhanced are based on the daily value of the S&P 500 Index plus accumulated dividends as expressed in Index points calculated on the original notional amount. Risks arise upon entering into equity index swap agreements in the event of the default or bankruptcy of a swap agreement counterparty where the swap agreement counterparty would not be able to pay any unrealized appreciation upon termination of the agreement, and in the event of unfavorable market and interest changes resulting in a liability of the Series. I. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million. Borrowings under the line of credit are charged interest at the then current federal funds rate plus 1%. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit, since this 301 is not a committed facility. The agreement for the discretionary line of credit may be terminated at any time. For the year ended November 30, 2003, borrowings under the line were as follows:
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD ------------- ------------ ----------- -------- --------------- The U.S. Large Cap Value Series 2.02% $ 5,536,333 6 $ 1,862 $ 13,752,000 The U.S. Small Cap Series 1.81% 217,000 1 11 217,000 The U.S. Small XM Value Series 1.75% 1,157,500 2 113 1,333,000
There were no outstanding borrowings under the line of credit at November 30, 2003. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2004. There were no borrowings by the Trust under the line of credit during the year ended November 30, 2003. J. SECURITIES LENDING: As of November 30, 2003, 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, PNC Bank, National Association, the lending agent, has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. Each portfolio, along with other portfolios of the Series, invests the cash collateral received from securities on loan in a pooled cash account, which invests in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. 302 REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS TO THE SHAREHOLDERS OF THE SERIES, AS DEFINED, AND BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights presents fairly, in all material respects, the financial position of The U.S. Large Company Series, The Enhanced U.S. Large Company Series, The U.S. Large Cap Value Series, The U.S. Small XM Value Series, The U.S. Small Cap Value Series, The U.S. Small Cap Series, The U.S. Micro Cap Series, The DFA International Value Series, The Japanese Small Company Series, The Pacific Rim Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series, The Emerging Markets Series, The Emerging Markets Small Cap Series, The DFA One-Year Fixed Income Series and The DFA Two-Year Global Fixed Income Series (constituting portfolios within The DFA Investment Trust Company, hereafter referred to as the "Series") at November 30, 2003, the results of each of their operations, for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Series' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2003 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 15, 2004 303 FUND MANAGEMENT TRUSTEES/DIRECTORS Each Board of Trustees/Directors of The DFA Investment Trust Company Inc. ("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund Inc. ("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for establishing the Fund's policies and for overseeing the management of the Fund. The Trustees/Directors of the Funds, including all of the disinterested Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the "Feeder Portfolios") that invest in certain series of DFAITC or DEM (the "Master Funds"). Each Board has two standing committees, an Audit Committee and a Portfolio Performance and Service Review Committee (the "Performance Committee"). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Director. The Audit Committee oversees the Fund's accounting and financial reporting policies and practices, the Fund's internal controls, the Fund's financial statements and the independent audits thereof and performs other oversight functions as requested by the Board of Trustee's/Directors. The Audit Committee recommends the appointment of each Fund's independent certified public accountants and also acts as a liaison between the Fund's independent certified public accountants and the full Board. There were four Audit Committee meetings held during the fiscal year ended November 30, 2003. The Performance Committee is comprised of Messrs. Constantinides and Ibbotson, Ms. Smith, John R. Gould, Myron S. Scholes and Robert C. Merton. Each member of the Fund's Performance Committee is a disinterested Director. The Performance Committee regularly reviews and monitors the investment performance of the Fund's series and reviews the performance of the Fund's service providers. There were two Performance Committee meetings held during the fiscal year ended November 30, 2003. Certain biographical information for each disinterested Trustee/Director and each interested Trustee/Director of the Funds is set forth in the tables below, including a description of each Trustee/Director's experience as a Trustee/Director of the Funds and as a director or trustee of other funds, as well as other recent professional experience. The statements of additional information (together, "SAI") of the Funds include additional information about each Trustee/Director. You may obtain copies of the SAI and prospectus of each Fund advised by Dimensional Fund Advisors Inc. by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica, California 90401. Prospectuses are also available at www.dfafunds.com.
NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD ------------------------------------------------------------------------------------------------------------------------------------ DISINTERESTED TRUSTEES/DIRECTORS ------------------------------------------------------------------------------------------------------------------------------------ George M. Constantinides DFAITC - since 1993 90 portfolios in 4 Leo Melamed Professor of Finance, Graduate School of Director of DFAIDG, DIG DFAIDG - since 1983 investment companies Business, University of Chicago. and DEM. DIG - since 1993 Trustee of DFAITC. DEM - since 1994 1101 E. 58th Street Chicago, IL 60637 Date of Birth: 9/22/47 John P. Gould DFAITC - since 1993 90 portfolios in 4 Steven G. Rothmeier Distinguished Service Professor of Director of DFAIDG, DIG DFAIDG - since 1986 investment companies Economics, Graduate School of Business, University of and DEM. DIG - since 1993 Chicago. Senior Vice-President, Lexecon Inc. Trustee of DFAITC. DEM - since 1994 (economics, law, strategy and finance consulting). 1101 E. 58th Street Formerly, President, Cardean University (division of Chicago, IL 60637 UNext.com). Member of the Boards of Milwaukee Date of Birth: 1/19/39 Mutual Insurance Company and UNext.com. Formerly, Trustee, First Prairie Funds (registered investment company). Trustee, Harbor Fund (registered investment company) (13 Portfolios).
304
NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD ------------------------------------------------------------------------------------------------------------------------------------ Roger G. Ibbotson DFAITC - since 1993 90 portfolios in 4 Professor in Practice of Finance, Yale School of Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Management. Director, BIRR Portfolio Analysis, Inc. and DEM. DIG - since 1993 (software products). Chairman, Ibbotson Associates, Trustee of DFAITC. DEM - since 1994 Inc., Chicago, IL (software, data, publishing and Yale School of Management consulting). Partner, Zebra Capital Management, LLC P.O. Box 208200 (hedge fund manager). Formerly, Director, Hospital New Haven, CT Fund, Inc. (investment management services). 06520-8200 Date of Birth: 5/27/43 Robert C. Merton DFA ITC - since 2003 90 portfolios in 4 John and Natty McArthur University Professor, Graduate Harvard Business School DFA IDG - since 2003 investment companies School of Business Administration, Harvard University 397 Morgan Hall DFA DIG - since 2003 (since 1998). George Fisher Baker Professor of Soldiers Field DEM - since 2003 Business Administration, Graduate School of Business Boston, MA 02163 Administration, Harvard University (1988-1998), Date of Birth: 7/31/44 Co-founder, Chief Science Officer, Integrated Finance Limited (since 2002). Formerly, Partner, Long-Term Capital Management. Myron S. Scholes DFAITC - since 1993 90 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Stanford Director of DFAIDG, DIG DFAIDG - since 1981 investment companies University. Partner, Oak Hill Capital Management. and DEM. DIG - since 1993 Chairman, Oak Hill Platinum Partners. Director, Trustee of DFAITC. DEM - since 1994 Chicago Mercantile Exchange. Consultant, Arbor Oak Hill Capital Investors. Formerly, Director, Smith Breeden Family Management, Inc. of Funds and Partner, Long-Term Capital Management. 2775 Sand Hill Rd. Director, American Century Fund Complex (registered Suite 220 investment companies) (35 Portfolios). Menlo Park, CA 94025 Date of Birth: 7/01/41 Abbie J. Smith DFAITC - since 2000 90 portfolios in 4 Boris and Irene Stern Professor of Accounting, Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Graduate School of Business, University of Chicago, and DEM. DIG - since 2000 Formerly, Marvin Bower Fellow, Harvard Business Trustee of DFAITC. DEM - since 2000 School (9/01 to 8/02). Director, HON Industries Inc. Graduate School of (office furniture) and Director, Ryder System Inc. Business (transportation). University of Chicago 1101 East 58th Street, Chicago, IL 60637 Date of Birth: 4/30/53 INTERESTED TRUSTEES/DIRECTORS** David G. Booth DFAITC - since 1993 90 portfolios in 4 Chairman, Director, Chief Executive Officer, Chief Chairman, Director, Chief DFAIDG - since 1981 investment companies Investment Officer and President of Dimensional Fund Executive Officer, Chief DIG - since 1992 Advisors Inc., DFA Securities Inc., DFAIDG, DIG and Investment Officer and DEM - since 1994 DEM. Chairman, Trustee, Chief Executive Officer, Chief President of DFAIDG, DIG Investment Officer and President of DFAITC. Director and DEM. Chairman, and Chief Investment Officer of Dimensional Fund Trustee, Chief Executive Advisors Ltd. Director, Chief Executive Officer, Chief Officer, Chief Investment Investment Officer and President of DFA Australia Ltd. Officer and President of Director of Dimensional Funds PLC. Chairman, Director, DFAITC. Chief Executive Officer and Chief Investment Officer of 1299 Ocean Avenue Dimensional Fund Advisors Canada Inc. (All Chief Santa Monica, CA 90401 Investment Officer positions held starting 1/1/2003 Date of Birth: 12/02/46 except for Dimensional Fund Advisors Canada Inc., which was from 6/17/2003.) Limited Partner, Oak Hill Partners. Director, University of Chicago Business School. Formerly, Director, SA Funds (registered investment company). Formerly Director, Assante Corporation (investment management) (until 2002).
305
NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD ------------------------------------------------------------------------------------------------------------------------------------ Rex A. Sinquefield* DFAITC - since 1993 90 portfolios in 4 Chairman, Director and Chief Investment Officer of Chairman and Director of DFAIDG - since 1981 investment companies Dimensional Fund Advisors Inc., DFA Securities Inc., DFAIDG, DIG and DEM. DIG - since 1992 DFAIDG, DIG and DEM. Chairman, Trustee and Chief Trustee and Chairman of DEM - since 1994 Investment Officer of DFAITC. Director and President of DFAITC. Dimensional Fund Advisors Ltd. Director and Chief 1299 Ocean Avenue Investment Officer of DFA Australia Ltd. Director of Santa Monica, CA 90401 Dimensional Funds PLC and Dimensional Fund Date of Birth: 9/07/44 Advisors Canada Inc. (Chief Investment Officer positions held through 1/1/2003) Trustee, St. Louis University. Life Trustee and Member of Investment Committee, DePaul University. Director, The German St. Vincent Orphan Home. Member of Investment Committee, Archdiocese of St. Louis.
(1) Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. (2) Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. * Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife. ** Interested Directors are described as such because they are deemed to be "interested persons, "as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors Inc. 306 OFFICERS The name, age, information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA Securities Inc., DFA Australia Limited, Dimensional Fund Advisors Ltd., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica, California 90401, unless otherwise indicated.
TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS ------------------------------------------------------------------------------------------------------------------------------------ Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Vice President Date of Birth: 11/07/55 Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities and Vice President and Assistant Dimensional Fund Advisors Canada Inc. Prior to April 2001, legal counsel Secretary for Dimensional (since March 2000). Associate, Jones, Day, Reavis & Pogue Date of Birth: 1/24/67 from October 1991 to February 2000. Truman A. Clark Since 1996 Vice President of all the DFA Entities, except Dimensional Fund Advisors Vice President Ltd. Date of Birth: 4/08/41 James L. Davis Since 1999 Vice President of all the DFA Entities, except Dimensional Fund Advisors Vice President Ltd. Formerly at Kansas State University, Arthur Andersen & Co., and Date of Birth: 11/29/56 Phillips Petroleum Co. Robert T. Deere Since 1994 Vice President of all the DFA Entities. Vice President Date of Birth: 10/08/57 Robert W. Dintzner Since 2001 Vice President of all the DFA Entities, except Dimensional Fund Advisors Vice President Ltd. Prior to April 2001, marketing supervisor and marketing coordinator for Date of Birth: 3/18/70 Dimensional. Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities, except Vice President and Assistant Dimensional Fund Advisors Ltd. Secretary Date of Birth: 8/05/65 Eugene F. Fama, Jr. Since 1993 Vice President of all the DFA Entities, except Dimensional Fund Advisors Vice President Ltd. Date of Birth: 1/21/61 Robert M. Fezekas Since 2001 Vice President of all the DFA Entities, except Dimensional Fund Advisors Vice President Ltd. and DFA Australia Limited. Prior to December 2001, Portfolio Date of Birth: 10/28/70 Manager. Glenn S. Freed Since 2001 Vice President of all the DFA Entities, except Dimensional Fund Advisors Vice President Ltd. and DFA Australia Limited. Formerly, Professor and Associate Dean of Date of Birth: 11/24/61 the Leventhal School of Accounting (September 1998 to August 2001) and Academic Director Master of Business Taxation Program (June 1996 to August 2001) at the University of Southern California Marshall School of Business. Henry F. Gray Since 2000 Vice President of all the DFA Entities, except Dimensional Fund Advisors Vice President Ltd. Prior to July 2000, Portfolio Manager. Date of Birth: 9/22/67 Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer of all the DFA Entities. Vice President, Controller and Assistant Treasurer Date of Birth: 1/22/61
307
TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ Patrick Keating Since 2003 Vice President of all the DFA Entities and Dimensional Fund Advisors Canada Vice President Inc. Formerly, Director, President and Chief Executive Officer, Assante Date of Birth: 12/21/54 Asset Management, Inc. (October 2000 to December 2002); Director, Assante Capital Management (October 2000 to December 2002); President and Chief Executive Officer, Assante Capital Management (October 2000 to April 2001); Executive Vice President, Assante Corporation (May 2001 to December 2002); Director, Assante Asset Management Ltd. (September 1997 to December 2002); President and Chief Executive Officer, Assante Asset Management Ltd. (September 1998 to May 2001); Executive Vice President, Loring Ward (financial services company) (January 1996 to September 1998) Stephen P. Manus Since 1997 Vice President of all the DFA Entities, except Dimensional Fund Advisors Vice President Ltd. Date of Birth: 12/26/50 David M. New Since 2003 Vice President of all the DFA Entities and Client Service Manager prior to Vice President becoming a Vice President; Director of Research, Wurts and Associates Date of Birth: 02/09/60 (investment consulting firm) from December 2000 to June 2002; and President, Kobe Investment Research from August 1999 to November 2000. Catherine L. Newell Since 2000 Vice President and Secretary of all the DFA Entities and Dimensional Fund Vice President and Secretary Advisors Canada Inc., except DFA Australia Limited, for which she is Vice Date of Birth: 5/07/64 President and Assistant Secretary. Director, Dimensional Funds PLC. Vice President and Assistant Secretary of all DFA Entities (1997-2000). David A. Plecha Since 1993 Vice President of all the DFA Entities. Vice President Date of Birth: 10/26/61 Edwardo A. Repetto Since 2002 Vice President of all the DFA Entities, except Dimensional Fund Advisors Vice President Ltd. and DFA Australia Limited. Research Associate for Dimensional Fund Date of Birth: 1/28/67 Advisors Inc. (June 2000 to April 2002). Research scientist (August 1998 to June 2000) and Faculty-Postdoctural Fellow (August 1997 to August 1998), California Institute of Technology. Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Treasurer of all the DFA Vice President, Chief Financial Entities and Dimensional Fund Advisors Canada Inc. Director, Dimensional Officer and Treasurer Funds, PLC. Date of Birth: 10/12/55 David E. Schneider Since 2001 Vice President of all the DFA Entities, except Dimensional Fund Advisors Vice President Ltd. and DFA Australia Limited. Prior to 2001 and currently, Regional Santa Monica, CA Director of Dimensional Fund Advisors Inc. Date of Birth: 1/26/46 John C. Siciliano Since 2001 Vice President of all the DFA Entities. Director, Dimensional Funds PLC. Vice President Managing Principal, Payden & Rygel Investment Counsel from April 1998 Santa Monica, CA through December 2000. Date of Birth: 8/24/54 Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities. Vice President of Executive Vice President Dimensional Fund Advisor Canada Inc. Santa Monica, CA Date of Birth: 12/02/46 Carl G. Snyder Since 2000 Vice President of all the DFA Entities, except Dimensional Fund Advisors Vice President Ltd. Prior to July 2000, Portfolio Manager. Santa Monica, CA Date of Birth: 6/08/63
308
TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ Karen E. Umland Since 1997 Vice President of all the DFA Entities and Dimensional Fund Advisors Canada Vice President Inc. Santa Monica, CA Date of Birth: 3/10/66 Weston J. Wellington Since 1997 Vice President of all the DFA Entities, except Dimensional Fund Advisors Vice President Ltd. Santa Monica, CA Date of Birth: 3/01/51 Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities, except Dimensional Fund Advisors Vice President Ltd. and DFA Australia Limited. President of Dimensional Fund Advisors Santa Monica, CA Canada Inc. Prior to 2001 and currently, Director of Financial Advisors Date of Birth: 3/03/45 Services of Dimensional Fund Advisors Inc.
(1) Each officer holds office for an indefinite term at the pleasure of the Boards of Trustee/Directors and until his or her successor is elected and qualified. * Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife. 309 ================================================================================ DFA Investment Dimensions Group Inc. Tax-Managed U.S. Marketwide Value Portfolio Tax-Managed U.S. Equity Portfolio Tax-Managed U.S. Small Cap Value Portfolio Tax-Managed U.S. Small Cap Portfolio Tax-Managed DFA International Value Portfolio Annual Report Year Ended November 30, 2003 ================================================================================ DFA INVESTMENT DIMENSIONS GROUP INC. ANNUAL REPORT TABLE OF CONTENTS
PAGE ------ DFA INVESTMENT DIMENSIONS GROUP INC. Performance Charts 1 Management's Discussion and Analysis 3 Schedules of Investments 7 Tax-Managed U.S. Marketwide Value Portfolio 7 Tax-Managed U.S. Equity Portfolio 7 Tax-Managed U.S. Small Cap Value Portfolio 8 Tax-Managed U.S. Small Cap Portfolio 24 Tax-Managed DFA International Value Portfolio 50 Statements of Assets and Liabilities 59 Statements of Operations 60 Statements of Changes in Net Assets 62 Financial Highlights 64 Notes to Financial Statements 67 Report of Independent Certified Public Accountants 73 THE DFA INVESTMENT TRUST COMPANY Performance Charts 74 Schedules of Investments The Tax-Managed U.S. Marketwide Value Series 75 The Tax-Managed U.S. Equity Series 89 Statements of Assets and Liabilities 110 Statements of Operations 111 Statements of Changes in Net Assets 112 Financial Highlights 113 Notes to Financial Statements 114 Report of Independent Certified Public Accountants 117 FUND MANAGEMENT 118
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 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS [CHART] TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO VS. RUSSELL 3000 VALUE INDEX DECEMBER 14, 1998-NOVEMBER 30, 2003 GROWTH OF $10,000
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO RUSSELL 3000 VALUE INDEX Dec-1998 $ 10,000 $ 10,000 Dec-1998 $ 10,310 $ 10,636 Jan-1999 $ 10,370 $ 10,695 Feb-1999 $ 9,990 $ 10,500 Mar-1999 $ 10,347 $ 10,695 Apr-1999 $ 11,588 $ 11,693 May-1999 $ 11,758 $ 11,598 Jun-1999 $ 12,049 $ 11,941 Jul-1999 $ 11,588 $ 11,596 Aug-1999 $ 11,177 $ 11,167 Sep-1999 $ 10,601 $ 10,789 Oct-1999 $ 10,762 $ 11,349 Nov-1999 $ 10,702 $ 11,269 Dec-1999 $ 10,871 $ 11,342 Jan-2000 $ 10,245 $ 10,977 Feb-2000 $ 9,528 $ 10,261 Mar-2000 $ 10,649 $ 11,422 Apr-2000 $ 10,923 $ 11,302 May-2000 $ 10,801 $ 11,402 Jun-2000 $ 10,131 $ 10,937 Jul-2000 $ 10,639 $ 11,090 Aug-2000 $ 11,280 $ 11,698 Sep-2000 $ 11,155 $ 11,794 Oct-2000 $ 11,481 $ 12,062 Nov-2000 $ 11,001 $ 11,627 Dec-2000 $ 12,057 $ 12,251 Jan-2001 $ 12,928 $ 12,317 Feb-2001 $ 12,764 $ 11,997 Mar-2001 $ 12,384 $ 11,589 Apr-2001 $ 13,128 $ 12,154 May-2001 $ 13,8 $ 12,430 Jun-2001 $ 13,285 $ 12,209 Jul-2001 $ 13,099 $ 12,166 Aug-2001 $ 12,322 $ 11,709 Sep-2001 $ 10,809 $ 10,852 Oct-2001 $ 10,871 $ 10,783 Nov-2001 $ 11,900 $ 11,421 Dec-2001 $ 12,263 $ 11,720 Jan-2002 $ 11,837 $ 11,647 Feb-2002 $ 11,661 $ 11,669 Mar-2002 $ 12,161 $ 12,246 Apr-2002 $ 11,693 $ 11,891 May-2002 $ 11,537 $ 11,913 Jun-2002 $ 10,415 $ 11,263 Jul-2002 $ 9,124 $ 10,169 Aug-2002 $ 9,259 $ 10,237 Sep-2002 $ 8,417 $ 9,127 Oct-2002 $ 8,855 $ 9,764 Nov-2002 $ 9,469 $ 10,390 Dec-2002 $ 8,924 $ 9,939 Jan-2003 $ 8,735 $ 9,695 Feb-2003 $ 8,495 $ 9,432 Mar-2003 $ 8,498 $ 9,454 Apr-2003 $ 9,292 $ 10,291 May-2003 $ 10,076 $ 10,982 Jun-2003 $ 10,155 $ 11,123 Jul-2003 $ 10,479 $ 11,316 Aug-2003 $ 10,908 $ 11,511 Sep-2003 $ 10,561 $ 11,397 Oct-2003 $ 11,314 $ 12,112 Nov-2003 $ 11,627 $ 12,299
ANNUALIZED ONE FROM TOTAL RETURN (%) YEAR DECEMBER 14, 1998 ------------------------------------------------- 22.79 3.09
- THE PORTFOLIO INVESTS IN THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF U.S. LARGE, SMALL, AND MICRO CAP STOCKS THAT EXHIBIT "VALUE" CHARACTERISTICS (PRIMARILY LOW PRICE/BOOK). THE SERIES ALSO SEEKS TO MINIMIZE THE IMPACT OF TAXES ON RETURNS BY DEFERING NET CAPITAL GAINS AND REDUCING DIVIDEND INCOME. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 3000 Value Index is courtesy of Russell Analytic Services. [CHART] TAX-MANAGED U.S. EQUITY PORTFOLIO VS. WILSHIRE 5000 INDEX SEPTEMBER 25, 2001-NOVEMBER 30, 2003 GROWTH OF $10,000
TAX-MANAGED U.S. EQUITY PORTFOLIO WILSHIRE 5000 INDEX Sep-2001 $ 10,000 $ 10,000 Sep-2001 $ 10,240 $ 10,000 Oct-2001 $ 10,780 $ 10,254 Nov-2001 $ 11,780 $ 11,038 Dec-2001 $ 11,967 $ 11,237 Jan-2002 $ 11,708 $ 11,098 Feb-2002 $ 11,298 $ 10,869 Mar-2002 $ 11,879 $ 11,345 Apr-2002 $ 11,209 $ 10,792 May-2002 $ 10,959 $ 10,664 Jun-2002 $ 10,028 $ 9,915 Jul-2002 $ 9,088 $ 9,114 Aug-2002 $ 9,188 $ 9,168 Sep-2002 $ 8,306 $ 8,249 Oct-2002 $ 8,947 $ 8,880 Nov-2002 $ 9,408 $ 9,415 Dec-2002 $ 8,856 $ 8,894 Jan-2003 $ 8,635 $ 8,669 Feb-2003 $ 8,484 $ 8,523 Mar-2003 $ 8,574 $ 8,619 Apr-2003 $ 9,258 $ 9,326 May-2003 $ 9,812 $ 9,896 Jun-2003 $ 9,922 $ 10,042 Jul-2003 $ 10,234 $ 10,284 Aug-2003 $ 10,526 $ 10,531 Sep-2003 $ 10,305 $ 10,414 Oct-2003 $ 10,979 $ 11,050 Nov-2003 $ 11,120 $ 11,205
ANNUALIZED ONE FROM TOTAL RETURN (%) YEAR SEPTEMBER 25, 2001 ------------------------------------------------- 18.20 4.99
- THE PORTFOLIO INVESTS IN THE TAX-MANAGED U.S. EQUITY SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF U.S. LARGE, SMALL, AND MICRO CAP STOCKS. THE SERIES ALSO SEEKS TO MINIMIZE THE IMPACT OF TAXES ON RETURNS BY DEFERING NET CAPITAL GAINS AND REDUCING DIVIDEND INCOME. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Wilshire 5000 Index courtesy of Wilshire Associates Incorporated. [CHART] TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO VS. RUSSELL 2000 VALUE INDEX DECEMBER 11, 1998-NOVEMBER 30, 2003 GROWTH OF $10,000
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO RUSSELL 2000 VALUE INDEX Dec-1998 $ 10,000 $ 10,000 Dec-1998 $ 10,430 $ 10,434 Jan-1999 $ 10,570 $ 10,197 Feb-1999 $ 9,760 $ 9,500 Mar-1999 $ 9,770 $ 9,423 Apr-1999 $ 10,900 $ 10,283 May-1999 $ 11,391 $ 10,599 Jun-1999 $ 12,021 $ 10,982 Jul-1999 $ 11,851 $ 10,722 Aug-1999 $ 11,522 $ 10,330 Sep-1999 $ 11,201 $ 10,123 Oct-1999 $ 10,781 $ 9,920 Nov-1999 $ 11,191 $ 9,972 Dec-1999 $ 11,761 $ 10,278 Jan-2000 $ 11,509 $ 10,010 Feb-2000 $ 12,172 $ 10,622 Mar-2000 $ 12,675 $ 10,671 Apr-2000 $ 12,424 $ 10,734 May-2000 $ 12,052 $ 10,570 Jun-2000 $ 12,354 $ 10,879 Jul-2000 $ 12,414 $ 11,241 Aug-2000 $ 13,258 $ 11,744 Sep-2000 $ 13,067 $ 11,677 Oct-2000 $ 12,756 $ 11,635 Nov-2000 $ 12,143 $ 11,397 Dec-2000 $ 13,256 $ 12,621 Jan-2001 $ 14,481 $ 12,970 Feb-2001 $ 14,299 $ 12,952 Mar-2001 $ 13,812 $ 12,744 Apr-2001 $ 14,754 $ 13,334 May-2001 $ 15,423 $ 13,677 Jun-2001 $ 15,939 $ 14,227 Jul-2001 $ 15,676 $ 13,908 Aug-2001 $ 15,363 $ 13,859 Sep-2001 $ 12,862 $ 12,329 Oct-2001 $ 13,550 $ 12,651 Nov-2001 $ 14,816 $ 13,561 Dec-2001 $ 15,949 $ 14,391 Jan-2002 $ 16,000 $ 14,582 Feb-2002 $ 15,806 $ 14,671 Mar-2002 $ 17,311 $ 15,770 Apr-2002 $ 17,595 $ 16,325 May-2002 $ 16,914 $ 15,785 Jun-2002 $ 16,101 $ 15,436 Jul-2002 $ 13,508 $ 13,142 Aug-2002 $ 13,387 $ 13,084 Sep-2002 $ 12,249 $ 12,150 Oct-2002 $ 12,452 $ 12,332 Nov-2002 $ 13,560 $ 13,316 Dec-2002 $ 12,969 $ 12,748 Jan-2003 $ 12,602 $ 12,388 Feb-2003 $ 12,093 $ 11,972 Mar-2003 $ 12,093 $ 12,100 Apr-2003 $ 13,376 $ 13,250 May-2003 $ 14,913 $ 14,602 Jun-2003 $ 15,442 $ 14,849 Jul-2003 $ 16,400 $ 15,590 Aug-2003 $ 17,235 $ 16,183 Sep-2003 $ 17,062 $ 15,997 Oct-2003 $ 18,752 $ 17,300 Nov-2003 $ 19,567 $ 17,965
ANNUALIZED ONE FROM TOTAL RETURN (%) YEAR 12/11/98 ------------------------------------------ 44.29 14.46
- THE PORTFOLIO INVESTS IN A BROAD CROSS-SECTION OF U.S. SMALL AND MICRO CAP STOCKS THAT EXHIBIT "VALUE" CHARACTERISTICS (PRIMARILY LOW PRICE/BOOK). THE PORTFOLIO ALSO SEEKS TO MINIMIZE THE IMPACT OF TAXES ON RETURNS BY DEFERING NET CAPITAL GAINS AND REDUCING DIVIDEND INCOME. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 2000 Value Index is courtesy of Russell Analytic Services. 1 [CHART] TAX-MANAGED U.S. SMALL CAP PORTFOLIO VS. RUSSELL 2000 INDEX DECEMBER 15, 1998-NOVEMBER 30, 2003 GROWTH OF $10,000
TAX-MANAGED U.S. SMALL CAP PORTFOLIO RUSSELL 2000 INDEX Dec-1998 $ 10,000 $ 10,000 Dec-1998 $ 10,480 $ 10,837 Jan-1999 $ 10,710 $ 10,981 Feb-1999 $ 9,850 $ 10,091 Mar-1999 $ 9,770 $ 10,249 Apr-1999 $ 10,770 $ 11,167 May-1999 $ 11,230 $ 11,330 Jun-1999 $ 11,890 $ 11,842 Jul-1999 $ 11,780 $ 11,518 Aug-1999 $ 11,399 $ 11,092 Sep-1999 $ 11,349 $ 11,094 Oct-1999 $ 11,239 $ 11,139 Nov-1999 $ 12,189 $ 11,804 Dec-1999 $ 13,632 $ 13,141 Jan-2000 $ 13,641 $ 12,929 Feb-2000 $ 16,288 $ 15,064 Mar-2000 $ 15,325 $ 14,071 Apr-2000 $ 14,003 $ 13,224 May-2000 $ 13,101 $ 12,453 Jun-2000 $ 14,605 $ 13,539 Jul-2000 $ 14,084 $ 13,103 Aug-2000 $ 15,367 $ 14,103 Sep-2000 $ 15,076 $ 13,688 Oct-2000 $ 14,444 $ 13,078 Nov-2000 $ 12,981 $ 11,734 Dec-2000 $ 13,834 $ 12,742 Jan-2001 $ 15,242 $ 13,406 Feb-2001 $ 14,066 $ 12,527 Mar-2001 $ 13,392 $ 11,914 Apr-2001 $ 14,600 $ 12,846 May-2001 $ 15,223 $ 13,162 Jun-2001 $ 15,928 $ 13,616 Jul-2001 $ 15,264 $ 12,879 Aug-2001 $ 14,710 $ 12,463 Sep-2001 $ 12,496 $ 10,786 Oct-2001 $ 13,482 $ 11,417 Nov-2001 $ 14,629 $ 12,301 Dec-2001 $ 15,617 $ 13,059 Jan-2002 $ 15,415 $ 12,924 Feb-2002 $ 14,860 $ 12,570 Mar-2002 $ 16,131 $ 13,580 Apr-2002 $ 16,029 $ 13,704 May-2002 $ 15,252 $ 13,095 Jun-2002 $ 14,294 $ 12,446 Jul-2002 $ 12,196 $ 10,566 Aug-2002 $ 12,196 $ 10,539 Sep-2002 $ 11,277 $ 9,782 Oct-2002 $ 11,691 $ 10,096 Nov-2002 $ 12,659 $ 10,997 Dec-2002 $ 11,993 $ 10,384 Jan-2003 $ 11,650 $ 10,097 Feb-2003 $ 11,267 $ 9,792 Mar-2003 $ 11,358 $ 9,918 Apr-2003 $ 12,499 $ 10,858 May-2003 $ 13,902 $ 12,023 Jun-2003 $ 14,317 $ 12,241 Jul-2003 $ 15,206 $ 13,007 Aug-2003 $ 16,054 $ 13,603 Sep-2003 $ 15,863 $ 13,351 Oct-2003 $ 17,358 $ 14,473 Nov-2003 $ 18,014 $ 14,987
ANNUALIZED ONE FROM TOTAL RETURN (%) YEAR DECEMBER 15, 1998 ------------------------------------------------- 42.30 12.60
- THE PORTFOLIO INVESTS IN A BROAD CROSS-SECTION OF U.S. SMALL AND MICRO CAP STOCKS. THE PORTFOLIO ALSO SEEKS TO MINIMIZE THE IMPACT OF TAXES ON RETURNS BY DEFERING NET CAPITAL GAINS AND REDUCING DIVIDEND INCOME. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 2000 Index is courtesy of Russell Analytic Services. [CHART] TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO VS. MSCI EAFE INDEX (NET DIVIDENDS) APRIL 16, 1999-NOVEMBER 30, 2003 GROWTH OF $10,000
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO MSCI EAFE INDEX (NET DIVIDENDS) Apr-1999 $ 10,000 $ 10,000 Apr-1999 $ 9,980 $ 10,096 May-1999 $ 9,510 $ 9,576 Jun-1999 $ 9,910 $ 9,950 Jul-1999 $ 10,301 $ 10,245 Aug-1999 $ 10,451 $ 10,283 Sep-1999 $ 10,491 $ 10,387 Oct-1999 $ 10,441 $ 10,771 Nov-1999 $ 10,240 $ 11,145 Dec-1999 $ 10,756 $ 12,146 Jan-2000 $ 9,962 $ 11,374 Feb-2000 $ 9,591 $ 11,680 Mar-2000 $ 10,193 $ 12,134 Apr-2000 $ 9,882 $ 11,495 May-2000 $ 10,164 $ 11,215 Jun-2000 $ 10,746 $ 11,653 Jul-2000 $ 10,425 $ 11,165 Aug-2000 $ 10,505 $ 11,262 Sep-2000 $ 10,204 $ 10,714 Oct-2000 $ 10,143 $ 10,461 Nov-2000 $ 10,244 $ 10,069 Dec-2000 $ 10,760 $ 10,426 Jan-2001 $ 10,861 $ 10,421 Feb-2001 $ 10,607 $ 9,639 Mar-2001 $ 9,927 $ 8,996 Apr-2001 $ 10,576 $ 9,622 May-2001 $ 10,424 $ 9,282 Jun-2001 $ 10,191 $ 8,902 Jul-2001 $ 9,968 $ 8,740 Aug-2001 $ 9,998 $ 8,519 Sep-2001 $ 8,669 $ 7,656 Oct-2001 $ 8,943 $ 7,852 Nov-2001 $ 9,339 $ 8,142 Dec-2001 $ 9,345 $ 8,190 Jan-2002 $ 9,027 $ 7,755 Feb-2002 $ 9,057 $ 7,809 Mar-2002 $ 9,612 $ 8,232 Apr-2002 $ 9,777 $ 8,286 May-2002 $ 10,127 $ 8,391 Jun-2002 $ 9,695 $ 8,057 Jul-2002 $ 8,811 $ 7,262 Aug-2002 $ 8,801 $ 7,246 Sep-2002 $ 7,782 $ 6,467 Oct-2002 $ 8,060 $ 6,815 Nov-2002 $ 8,471 $ 7,124 Dec-2002 $ 8,211 $ 6,885 Jan-2003 $ 8,022 $ 6,598 Feb-2003 $ 7,844 $ 6,446 Mar-2003 $ 7,708 $ 6,320 Apr-2003 $ 8,484 $ 6,939 May-2003 $ 9,071 $ 7,360 Jun-2003 $ 9,365 $ 7,538 Jul-2003 $ 9,742 $ 7,721 Aug-2003 $ 10,088 $ 7,907 Sep-2003 $ 10,424 $ 8,150 Oct-2003 $ 11,169 $ 8,658 Nov-2003 $ 11,368 $ 8,851
ANNUALIZED ONE FROM TOTAL RETURN (%) YEAR 4/16/99 ----------------------------------------- 34.19 2.81
- THE PORTFOLIO INVESTS IN THE STOCKS OF LARGE NON-US COMPANIES WHICH THE ADVISOR BELIEVES TO BE VALUE STOCKS AT THE TIME OF PURCHASE. THE PORTFOLIO PROVIDES ACCESS TO PUBLICLY TRADED COMPANIES LISTED ON THE MAJOR EXCHANGES OF COUNTRIES INCLUDED IN THE MSCI EAFE INDEX. THE PORTFOLIO ALSO SEEKS TO MINIMIZE THE IMPACT OF FEDERAL TAXES ON RETURNS BY DEFERING NET CAPITAL GAINS AND MINIMIZING DIVIDEND INCOME. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital International. 2 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2003 The performance for the U.S. equity market for the period under review was attributable primarily to two factors: the behavior of large company stocks relative to small company stocks and the behavior of growth stocks relative to value stocks. Company size is measured by market capitalization, and "value" classification is a function of stock price relative to one or more fundamental characteristics. Compared to other stocks, value stocks sell for low prices relative to their earnings, dividends, and book values. Of the two factors, the large/small distinction was the more significant during the year ended November 30, 2003. Small company stocks outperformed large company stocks, with the smallest "micro cap" company stocks achieving particularly strong relative performance. The CRSP 9-10 Index of micro cap companies delivered a higher return for year ended November 30, 2003 than in any calendar year since 1975. % TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2003 CRSP 9-10 Index (micro cap companies) 61.06% Russell 2000 Index (small companies) 36.28% Russell 1000 Index (large companies) 16.95%
Results were also a function of value/growth exposure, but this effect was less pronounced. Using one widely-used marketwide benchmark, the distinction between the performance of value and growth companies was the smallest for any calendar year since inception of the index in 1979: % TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2003 Russell 3000 Value Index 18.38% Russell 3000 Growth Index 18.10%
When the value and growth sectors are further segmented by size, the distinction in performance is more pronounced, although still less important than the size characteristics. A premium for value stocks is more evident among large company stocks. % TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2003 Russell 2000 Value Index (small value companies) 34.91% Russell 2000 Growth Index (small growth companies) 37.67% S&P SmallCap 600/Barra Value Index (small value companies) 32.63% S&P SmallCap 600/Barra Growth Index (small growth companies) 30.78% Russell 1000 Value Index (large value companies) 17.17% Russell 1000 Growth Index (large growth companies) 16.75% S&P 500/Barra Value Index (large value companies) 17.67% S&P 500/Barra Growth Index (large growth companies) 12.66%
---------- Source: Frank Russell Co.; Center for Research in Security Prices, University of Chicago; Standard & Poor's Differences in returns for the various Dimensional U.S. equity funds over the period ended November 30, 2003 were attributable primarily to differences in value/growth and size characteristics. Moreover, the portfolio construction approach used by Dimensional Fund Advisors Inc. (the "Advisor") generally results in portfolios with greater emphasis on value or small company characteristics relative to widely-used index benchmarks. As a result, in periods when value or small company index benchmarks have outperformed growth or large company index benchmarks, it should not be surprising to find investment strategies with a greater exposure to small company or value characteristics outperform growth and large company benchmarks. 3 MASTER-FEEDER STRUCTURE Certain portfolios described below, called "Feeder Funds," do not buy individual securities directly; instead, these portfolios invest in corresponding funds called "Master Funds." Master Funds, in turn, purchase stocks, bonds, and/or other securities. DOMESTIC EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW TAX-MANAGED U.S. EQUITY PORTFOLIO The Tax-Managed U.S. Equity Portfolio seeks to capture the returns associated with the broad universe of U.S. stocks by purchasing shares of a Master Fund that invests in such stocks. The Master Fund also seeks to maximize the after-tax value of a shareholder's investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to the U.S. equity universe, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Master Fund held 2,448 stocks, and essentially was fully invested in equities throughout the period: cash equivalents averaged less than 1.50% of Fund assets during this period. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, total returns were 15.09% for the S&P 500(R) Index, 18.24% for the Russell 3000 Index, and 18.20% for the Tax-Managed U.S. Equity Portfolio. TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO The Tax-Managed U.S. Marketwide Value Portfolio seeks to capture the returns of U.S. value stocks by purchasing shares of a Master Fund that invests in such stocks. The Master Fund also seeks to maximize the after-tax value of a shareholder's investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to U.S. value stocks, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Master Fund held 1,546 stocks and essentially was fully invested in equities throughout the period: cash equivalents averaged less than 1.75% of Master Fund assets. As a result of the Portfolio's diversified investment approach, performance principally was determined by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, value stocks generally outperformed growth issues. Total returns were 15.09% for the S&P 500(R) Index, 18.38% for the Russell 3000 Value Index, and 18.10% for the Russell 3000 Growth Index. Total return for the Tax-Managed U.S. Marketwide Value Portfolio over this period was 22.79%. TAX-MANAGED U.S. SMALL CAP PORTFOLIO The Tax-Managed U.S. Small Cap Portfolio seeks to capture the returns of U.S. small company stocks by purchasing shares of a Master Fund that invests in such stocks. The Master Fund also intends to maximize the after tax value of a shareholder's investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company stocks, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Master Fund held 2,938 stocks, and essentially was fully invested in equities throughout the period: cash equivalents averaged less than 1.67% of Fund assets. As a result of the Portfolio's diversified investment approach, performance principally was determined by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, small company stocks generally outperformed large company stocks. Total returns during this period were 15.09% for the S&P 500(R) Index, 36.28% for the Russell 2000 Index, and 42.30% for the Tax-Managed U.S. Small Cap Portfolio. 4 TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO The Tax-Managed U.S. Small Cap Value Portfolio seeks to capture the returns of U.S. small company value stocks by purchasing shares of a Master Fund that invests in such stocks. The Master Fund also seeks to maximize the after-tax value of a shareholder's investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to small company value stocks, but does not attempt to track closely a specific equity index. As of November 30, 2003, the Master Fund held 1,785 stocks and essentially was fully invested in equities throughout the period: cash equivalents averaged less than 1.50% of Master Fund assets. As a result of the Portfolio's diversified investment approach, performance principally was determined by broad structural trends in the securities markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, small company stocks generally outperformed large company stocks, and value stocks generally outperformed growth stocks. Total returns during this period were 15.09% for the S&P 500(R) Index, 34.91% for the Russell 2000 Value Index, and 44.29% for the Tax-Managed U.S. Small Cap Value Portfolio. INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2003 International equity markets had generally positive returns for the period under review. When expressed in local currencies, prices rose in nine of the ten largest country constituents of the MSCI EAFE Index. Net returns were enhanced considerably by appreciation in the euro, Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona relative to the U.S. dollar. The overall effect of currency exchange rate changes was a material improvement in returns for U.S. dollar-based investors: total return for the MSCI EAFE Index (net dividends) was 7.64% in local currency and 24.23% in U.S. dollars. % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2003
LOCAL CURRENCY U.S. DOLLAR TEN LARGEST DEVELOPED MARKETS RETURN RETURN ----------------------------- -------- ----------- United Kingdom 8.75% 20.20% Japan 10.89% 23.83% France 4.36% 25.05% Switzerland 6.19% 21.02% Germany 13.35% 35.77% Netherlands -7.05% 11.00% Australia 6.24% 35.23% Italy 8.50% 29.46% Spain 11.80% 34.09% Sweden 14.22% 35.75%
---------- Source: Morgan Stanley Capital International Mirroring the U.S. experience, large company growth stocks were the poorest-performing asset class in international markets, while small company stocks had the best relative results. % TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2003 (U.S. DOLLARS) MSCI EAFE Small Cap Index 45.99% Citigroup EPAC Extended Market Index -- (small companies) 41.90% MSCI EAFE Value Index (net dividends) 27.79% MSCI EAFE Index (net dividends) 24.23% MSCI EAFE Growth Index (net dividends) 20.62%
5 INTERNATIONAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO The Tax-Managed DFA International Value Portfolio seeks to capture the returns of international large company value stocks in a manner that maximizes the after- tax value of a shareholder's investment. The investment strategy employs a disciplined, quantitative approach, emphasizing broad diversification and consistent exposure to large cap value stocks, but does not attempt to track closely a specific equity index. The Portfolio held 723 stocks in 21 developed country markets, as of November 30, 2003, and essentially was fully invested in equities throughout the period: cash equivalents averaged less than 2.75% of Portfolio assets. As a result of the Portfolio's diversified investment approach, performance principally was determined by broad structural trends in global equity markets, rather than the behavior of a limited number of stocks. For the year ended November 30, 2003, value stocks outperformed growth stocks in international markets, mirroring a trend observed in the United States. Total returns were 24.23% for the MSCI EAFE Index (net dividends), 20.62% for the MSCI EAFE Growth Index (net dividends) and 27.79% for the MSCI EAFE Value Index (net dividends). Total return for the Tax-Managed DFA International Value Portfolio over this period was 34.19%. 6 DFA INVESTMENT DIMENSIONS GROUP INC. SCHEDULES OF INVESTMENTS TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO NOVEMBER 30, 2003
VALUE+ -------------- Investment in The Tax-Managed U.S. Marketwide Value Series of The DFA Investment Trust Company $ 756,949,865 -------------- Total Investments (100%) (Cost $590,451,210)++ $ 756,949,865 ==============
---------- ++The cost for federal income tax purposes is $591,030,879. TAX-MANAGED U.S. EQUITY PORTFOLIO NOVEMBER 30, 2003
VALUE+ -------------- Investment in The Tax-Managed U.S. Equity Series of The DFA Investment Trust Company $ 348,756,943 -------------- Total Investments (100%) (Cost $301,316,637)++ $ 348,756,943 ==============
---------- ++The cost for federal income tax purposes is $301,337,860. +See Note B to Financial Statements. See accompanying Notes to Financial Statements. 7 TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ -------------- ----------------- COMMON STOCKS -- (91.4%) 1st Source Corp. 50,700 $ 1,138,215 * 3-D Systems Corp. 10,600 96,460 * A.C. Moore Arts & Crafts, Inc. 29,000 637,130 * AAR Corp. 99,400 1,039,724 ABC Bancorp 6,360 106,975 * Abgenix, Inc. 35,700 402,339 Abington Bancorp, Inc. 7,000 267,120 *# Abiomed, Inc. 97,400 719,689 * ABX Air, Inc. 152,700 603,165 Aceto Corp. 15,450 298,170 * Aclara Biosciences, Inc. 162,800 520,960 * Acme Communications, Inc. 85,300 725,050 * ACT Teleconferencing, Inc. 46,500 76,725 * Actel Corp. 12,700 348,107 Action Performance Companies, Inc. 72,400 1,406,008 * ActivCard Corp. 87,900 763,851 * Active Power, Inc. 212,799 715,005 * Activision, Inc. 47,550 727,515 * Adams Resources & Energy, Inc. 2,200 25,564 * Adaptec, Inc. 92,900 818,449 * ADE Corp. 2,900 72,935 * Adept Technology, Inc. 37,150 66,870 * Administaff, Inc. 181,300 2,712,248 * Advanced Digital Information Corp. 61,100 926,887 * Advanced Energy Industries, Inc. 67,500 1,782,000 Advanced Marketing Services, Inc. 64,495 751,367 * Advanced Power Technology, Inc. 44,500 365,345 Advanta Corp. Class A 57,000 715,350 Advanta Corp. Class B Non-Voting 79,100 1,015,644 * Advent Software, Inc. 20,600 360,706 * Aehr Test Systems 4,700 18,184 * AEP Industries, Inc. 48,500 350,655 * Aeroflex, Inc. 94,112 1,194,281 * Aether Systems, Inc. 192,900 958,713 * Aftermarket Technology Corp. 73,056 972,375 * AG Services America, Inc. 1,300 10,985 *# Agco Corp. 96,200 1,654,640 * Agile Software Corp. 140,700 1,546,293 Agilysys, Inc. 147,500 1,660,850 * Air Methods Corp. 48,271 436,853 Airgas, Inc. 122,100 2,366,298 * Airnet Systems, Inc. 27,600 96,324 * Airspan Networks, Inc. 48,600 117,126 * AK Steel Holding Corp. 424,619 1,273,857 Alamo Group, Inc. 47,400 698,202 * Alaska Air Group, Inc. 132,400 3,807,824 * Alaska Communications Systems Group, Inc. 29,800 148,672 Albany International Corp. Class A 81,020 2,512,430 * Albany Molecular Research, Inc. 26,200 369,420 Albemarle Corp. 40,400 1,143,320 * Alderwoods Group, Inc. 25,200 223,272 Alexander & Baldwin, Inc. 101,200 3,183,752 * Alexion Pharmaceuticals, Inc. 86,300 1,618,125 Alfa Corp. 15,524 197,000 Alico, Inc. 8,900 310,610 * All American Semiconductor, Inc. 9,600 43,488 Allegheny Technologies, Inc. 60,200 $ 493,640 Allegiant Bancorp, Inc. 2,200 61,710 Allen Organ Co. Class B 400 19,100 * Alliance Semiconductor Corp. 139,017 1,148,280 * Allied Defense Group, Inc. 23,100 485,793 * Allied Healthcare Products, Inc. 17,500 71,050 * Allied Holdings, Inc. 13,900 63,801 * Allmerica Financial Corp. 63,700 1,742,195 *# Allos Therapeutics, Inc. 5,100 13,974 * Allou Health Care, Inc. Class A 25,300 1,290 * Alloy, Inc. 100,599 541,223 * Allscripts Healthcare Solutions, Inc. 203,300 1,103,919 * Alpha Technologies Group, Inc. 11,600 16,820 Alpharma, Inc. Class A 153,600 3,095,040 *# Alterra Healthcare Corp. 16,000 2 Ambassadors Group, Inc. 13,200 282,216 Ambassadors, Inc. 41,300 540,204 * AMC Entertainment, Inc. 88,800 1,345,320 * Amcast Industrial Corp. 18,500 43,475 Amcol International Corp. 41,300 591,416 *# Amerco, Inc. 44,100 1,203,048 *# America West Holdings Corp. Class B 107,200 1,618,720 American Biltrite, Inc. 900 6,057 # American Business Financial Services, Inc. 1,375 5,666 American Financial Group, Inc. 28,500 698,820 *# American Greetings Corp. Class A 64,000 1,351,680 American Home Mortgage Holdings, Inc. 32,900 738,276 * American Indemnity Financial Escrow 1,500 1,500 * American Independence Corp. 20,666 224,019 * American Management Systems, Inc. 32,100 478,611 * American Medical Security Group, Inc. 86,600 1,947,634 * American Pacific Corp. 4,200 39,690 * American Physicians Capital, Inc. 42,500 701,250 * American Physicians Services Group, Inc. 1,900 15,675 *# American Retirement Corp. 66,300 205,530 * American Science & Engineering, Inc. 4,700 60,865 American Software, Inc. Class A 86,100 529,515 * American Superconductor Corp. 101,834 1,075,367 * American Technical Ceramics Corp. 17,900 127,090 *# American Tower Corp. 157,700 1,794,626 * America's Car-Mart, Inc. 22,200 651,792 *# Americredit Corp. 76,900 1,034,305 AmeriServe Financial, Inc. 50,200 251,000 * Ameristar Casinos, Inc. 14,100 327,966 Ameron International Corp. 16,400 541,200 # AmerUs Group Co. 46,200 1,660,890 * AMN Healthcare Services, Inc. 23,400 397,332 Ampco-Pittsburgh Corp. 19,600 210,112 Amrep Corp. 11,100 172,050 * Amtech Systems, Inc. 7,100 49,345 * Anadigics, Inc. 108,200 724,940 Analogic Corp. 18,200 764,400 * Analysts International Corp. 67,600 209,560 * Anaren, Inc. 77,000 1,152,690
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SHARES VALUE+ -------------- ----------------- Andersons, Inc. 9,600 $ 161,184 *# Andrew Corp. 264,442 3,112,482 * Angeion Corp. 6 13 * Angelo & Maxie's, Inc. 1,400 3,087 * Anixter International, Inc. 30,000 691,500 * Ann Taylor Stores Corp. 221,250 8,792,475 * AnswerThink, Inc. 154,600 926,054 * APA Optics, Inc. 53,400 133,500 Apogee Enterprises, Inc. 61,300 725,179 Applica, Inc. 108,800 794,240 * Applied Extrusion Technologies, Inc. 46,400 115,536 * Applied Films Corp. 29,800 989,062 Applied Industrial Technologies, Inc. 54,800 1,298,760 * Applied Innovation, Inc. 69,500 452,445 * Applied Molecular Evolution, Inc. 83,300 1,477,742 Applied Signal Technologies, Inc. 38,700 843,660 * Apropos Technology, Inc. 97,300 389,200 * aQuantive, Inc. 105,400 1,090,890 *# Arch Capital Group, Ltd. 23,600 872,256 Arch Chemicals, Inc. 111,800 2,559,102 # Arch Coal, Inc. 51,800 1,372,182 Arctic Cat, Inc. 20,600 489,662 * Arena Pharmaceuticals, Inc. 96,000 661,440 * Argonaut Group, Inc. 72,600 1,161,600 * Ariba, Inc. 287,800 909,448 Arkansas Best Corp. 23,500 737,430 * Arlington Hospitality, Inc. 8,400 32,004 * Armor Holdings, Inc. 55,400 1,343,450 * Arqule, Inc. 98,777 485,983 * Array BioPharma, Inc. 30,632 160,818 * Arris Group, Inc. 525,500 3,389,475 * Artesyn Technologies, Inc. 219,400 1,731,066 Arvinmeritor, Inc. 25,100 498,737 ASB Financial Corp. 2,500 58,750 * Ascential Software Corp. 258,950 6,551,435 * Ashworth, Inc. 61,500 501,225 * Aspect Medical Systems, Inc. 4,100 38,991 * Aspen Technology, Inc. 145,310 1,117,434 * Astea International, Inc. 560 1,428 * Astec Industries, Inc. 77,900 1,027,501 Astro-Med, Inc. 5,400 87,318 *# AstroPower, Inc. 61,100 43,992 * Atlantic American Corp. 29,400 77,910 * Atlantic Coast Airlines, Inc. 102,400 1,119,232 * ATP Oil & Gas Corp. 40,300 203,918 Atrion Corp. 4,200 201,600 * Atwood Oceanics, Inc. 43,200 1,109,808 * Audiovox Corp. Class A 92,000 1,276,040 * August Technology Corp. 16,200 324,000 * Ault, Inc. 13,600 36,720 * Aurora Foods, Inc. 14,526 232 * autobytel.com, Inc. 67,578 652,803 * Avatar Holdings, Inc. 16,400 555,140 * Aviall, Inc. 74,500 1,192,000 * Avici Systems Inc. 48,300 415,380 * Avigen, Inc. 122,200 794,300 * Avnet, Inc. 11,136 237,531 * Avocent Corp. 108,700 4,162,123 *# Avteam, Inc. Class A 15,400 16 * Aware, Inc. 153,700 511,821 * Axcelis Technologies, Inc. 299,000 3,429,530 * Axsys Technologies, Inc. 9,000 $ 125,190 * AXT, Inc. 31,618 108,134 * Aztar Corp. 92,800 2,064,800 * AZZ, Inc. 30,400 370,272 * Badger Paper Mills, Inc. 400 1,844 Bairnco Corp. 10,900 72,703 * Baker (Michael) Corp. 16,600 175,960 Baldwin & Lyons, Inc. Class B 15,250 380,945 * Ballantyne Omaha, Inc. 22,700 47,670 * Bally Total Fitness Holding Corp. 100,200 701,400 * Bancinsurance Corp. 11,695 76,836 Bandag, Inc. 14,750 601,062 Bandag, Inc. Class A 18,200 702,520 Bank of Hawaii Corp. 164,700 6,810,345 BankAtlantic Bancorp, Inc. Class A 1,545 29,309 * BankUnited Financial Corp. Class A 114,500 2,914,025 Banner Corp. 32,570 819,135 Banta Corp. 15,700 624,860 * Barry (R.G.) Corp. 42,700 254,065 Bassett Furniture Industries, Inc. 37,600 616,640 * Bay View Capital Corp. 272,507 1,654,117 * Baycorp Holdings, Ltd. 182 2,396 * BE Aerospace, Inc. 99,200 570,400 * Beasley Broadcast Group, Inc. 85 1,260 *# Beazer Homes USA, Inc. 28,159 3,004,847 Bel Fuse, Inc. Class A 3,500 91,962 Belden, Inc. 109,800 2,163,060 * Bell Industries, Inc. 31,600 85,320 * Bell Microproducts, Inc. 102,200 879,942 * Benchmark Electronics, Inc. 140,250 5,151,382 Berkley (W.R.) Corp. 123,075 4,203,011 * Bethlehem Steel Corp. 28,300 453 * Beverly Enterprises 479,200 3,752,136 BHA Group Holdings, Inc. Class A 7,185 180,343 * Big Lots, Inc. 385,700 5,654,362 * Bio-Rad Laboratories, Inc. Class A 18,400 943,000 * BioReliance Corp. 14,000 648,060 * Biosource International, Inc. 33,000 240,900 Black Box Corp. 99,332 4,345,775 Blair Corp. 19,600 490,000 *# Blue Rhino Corp. 41,100 517,038 * Bluegreen Corp. 107,400 676,620 * BNS Co. Class A 8,500 47,600 Bob Evans Farms, Inc. 74,300 2,292,898 * Boca Resorts, Inc. 224,100 3,200,148 * Bogen Communications International, Inc. 34,900 171,010 * Bolt Technology Corp. 5,600 21,560 * Bombay Co., Inc. 126,900 1,298,187 Bon-Ton Stores, Inc. 28,600 383,240 * Books-a-Million, Inc. 83,100 373,950 * Borders Group, Inc. 3,600 80,928 Borg-Warner, Inc. 110,000 8,690,000 * Borland Software Corp. 21,200 184,864 Boston Acoustics, Inc. 9,500 96,995 * Boston Communications Group, Inc. 144,100 1,296,900 Bostonfed Bancorp, Inc. 2,900 93,815 * Bottomline Technologies, Inc. 70,200 631,800 Bowl America, Inc. Class A 3,528 48,510 Bowne & Co., Inc. 138,700 2,044,438 # Boyd Gaming Corp. 157,100 2,570,156
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SHARES VALUE+ -------------- ----------------- * Brass Eagle, Inc. 24,100 $ 222,684 * Brigham Exploration Co. 8,200 58,704 * Brightpoint, Inc. 91,800 2,062,746 * Brillian Corp. 31,200 248,664 Brookline Bancorp, Inc. 110,441 1,658,824 * Brooks Automation, Inc. 85,200 2,070,360 * Brookstone, Inc. 58,350 1,385,229 * Brooktrout, Inc. 58,800 865,536 * Brown (Tom), Inc. 131,800 3,685,128 Brown Shoe Company, Inc. 33,400 1,166,662 * Bruker BioSciences Corp. 2,000 9,960 * Brush Engineered Materials, Inc. 80,900 1,090,532 BSB Bancorp, Inc. 32,300 1,044,905 * BSQUARE Corp. 58,200 86,136 * BTU International, Inc. 15,100 63,571 * Buca, Inc. 89,200 503,980 * Buckeye Technology, Inc. 137,200 1,400,812 Building Materials Holding Corp. 52,900 801,435 Burlington Coat Factory Warehouse Corp. 198,055 4,178,960 * Bush Industries, Inc. Class A 44,211 150,760 * Butler International, Inc. 18,400 28,888 Butler Manufacturing Co. 13,400 277,514 C & D Technologies, Inc. 95,600 1,913,912 * C-COR.net Corp. 139,600 1,647,280 * Cable Design Techologies Corp. 125,700 1,277,112 Cabot Oil & Gas Corp. Class A 34,400 913,664 Cadmus Communications Corp. 16,100 195,615 Calgon Carbon Corp. 150,300 924,345 * California Amplifier, Inc. 61,973 606,716 California First National Bancorp 12,200 140,849 * Caliper Technologies Corp. 120,900 772,551 * Callon Petroleum Corp. 80,700 742,440 Cal-Maine Foods, Inc. 16,100 341,964 Cambrex Corp. 159,700 3,874,322 Camco Financial Corp. 9,500 168,055 * Candela Corp. 30,100 617,953 * Cantel Medical Corp. 5,517 86,727 * Capital Corp. of the West 6,482 247,288 * Capital Crossing Bank 14,200 598,942 * Capital Pacific Holdings, Inc. 40,800 138,720 * Capital Senior Living Corp. 62,300 380,030 * Capstone Turbine Corp. 51,900 89,787 * Captaris, Inc. 146,200 866,966 * Caraustar Industries, Inc. 91,800 1,069,470 Carpenter Technology Corp. 86,400 2,315,520 * Carreker Corp. 29,100 435,336 * Carriage Services, Inc. Class A 75,700 249,053 * Carrier Access Corp. 1,600 23,840 * Carrington Laboratories, Inc. 1,400 5,964 *# Carrizo Oil & Gas, Inc. 4,300 32,250 Cascade Corp. 30,500 817,400 * Casella Waste Systems, Inc. Class A 105,100 1,408,340 Casey's General Stores, Inc. 81,900 1,430,793 Cash America International, Inc. 100,000 1,938,000 * Castle (A.M.) & Co. 71,850 330,510 Castle Energy Corp. 17,000 96,900 * Casual Male Retail Group, Inc. 142,900 1,228,940 * Catalina Lighting, Inc. 1,720 21,055 * Catalytica Energy Systems, Inc. 34,200 119,700 * Catapult Communications Corp. 19,640 296,957 Cathay Bancorp, Inc. 32,427 $ 1,686,204 Cato Corp. Class A 26,700 557,496 * Cavalier Homes, Inc. 71,500 203,775 * Cavco Industries, Inc. 7,479 175,756 # CBRL Group, Inc. 183,800 7,581,750 CDI Corp. 18,400 623,760 * Celadon Group, Inc. 36,800 500,480 * Celeritek, Inc. 70,200 565,110 * Cell Genesys, Inc. 86,000 1,121,440 *# Cell Therapeutics, Inc. 7,000 63,000 * CellStar Corp. 85,600 1,177,000 Centex Construction Products, Inc. 65,000 3,809,000 * Centillium Communications, Inc. 127,900 703,450 Central Bancorp, Inc. 3,500 124,285 * Central Garden & Pet Co. 40,500 1,073,655 Central Parking Corp. 185,438 2,586,860 * Century Aluminum Co. 127,800 2,121,480 * Century Business Services, Inc. 342,500 1,592,625 * Ceradyne, Inc. 8,400 358,764 * Ceres Group, Inc. 160,200 836,244 CFS Bancorp, Inc. 28,500 403,275 * CGI Group, Inc. 16,314 94,132 Champion Industries, Inc. 3,900 16,922 * Championship Auto Racing Teams, Inc. 48,800 25,864 * Champps Entertainment, Inc. 14,224 98,430 * Channell Commercial Corp. 3,600 16,740 * Charles and Colvard, Ltd. 22,067 107,687 * Charlotte Russe Holding, Inc. 31,800 478,590 * Charming Shoppes, Inc. 350,000 2,180,500 * Chart Industries 24 720 * Checkers Drive-In Restaurant, Inc. 63,737 583,831 * CheckFree Corp. 49,900 1,378,238 * Checkpoint Systems, Inc. 93,500 1,809,225 Chesapeake Corp. 43,921 1,010,183 # Chesapeake Energy Corp. 77,000 939,400 Chesapeake Utilities Corp. 2,400 60,264 Chicago Rivet & Machine Co. 200 5,325 * Children's Place Retail Stores, Inc. 19,200 550,464 * Childtime Learning Centers, Inc. 13,500 29,700 * Chiquita Brands International, Inc. 25,300 536,107 * Chromcraft Revington, Inc. 17,300 201,545 * Chronimed, Inc. 58,000 520,840 * Ciber, Inc. 160,300 1,460,333 * Cima Laboratories, Inc. 21,100 695,878 * Cimarex Energy Co. 50,400 1,165,248 * Ciphergen Biosystems, Inc. 25,000 260,250 * Ciprico, Inc. 12,500 63,125 CIRCOR International, Inc. 81,505 1,793,110 * Cirrus Logic, Inc. 163,300 1,404,380 City Holding Co. 46,700 1,662,520 * CKE Restaurants, Inc. 138,400 968,800 * Clark, Inc. 50,400 827,064 * Clarus Corp. 151,400 1,058,286 * Clayton Williams Energy, Inc. 42,000 955,500 *# Clearone Communications, Inc. 36,700 101,842 * Cleveland Cliffs, Inc. 40,400 1,559,440 * CNA Surety Corp. 71,100 688,248 *# CNET Networks, Inc. 56,900 425,043 CNS, Inc. 35,400 431,880 Coachmen Industries, Inc. 57,200 986,700
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SHARES VALUE+ -------------- ----------------- * Coast Dental Services, Inc. 1,766 $ 11,294 Coastal Bancorp, Inc. 15,050 526,750 * Coastcast Corp. 10,800 21,654 * Cobra Electronics Corp. 28,700 204,057 * Coherent, Inc. 88,800 2,125,872 * Cole National Corp. Class A 25,200 528,696 * Collins & Aikman Corp. 176,000 628,320 Columbia Banking System, Inc. 62,972 1,322,412 * Columbus McKinnon Corp. 38,400 237,312 * Comarco, Inc. 43,100 408,588 * Comfort Systems USA, Inc. 172,100 827,801 Commerce Group, Inc. 38,000 1,520,380 *# Commerce One, Inc. 90,824 105,356 Commercial Federal Corp. 157,800 4,260,600 Commercial Metals Co. 119,400 3,073,356 Commonwealth Industries, Inc. 87,800 643,574 * Commscope, Inc. 44,900 716,604 Communications Systems, Inc. 26,500 182,585 Community Bank System, Inc. 30,200 1,470,740 Community Trust Bancorp, Inc. 25,373 831,750 * Community West Bancshares 14,800 123,728 *# Compex Technologies, Inc. 46,100 417,205 * Compucom Systems, Inc. 233,550 1,062,652 * CompuCredit Corp. 227,400 5,384,832 * Compudyne Corp. 32,100 316,506 * Computer Access Technology Corp. 98,600 458,490 * Computer Horizons Corp. 152,300 566,556 * Computer Network Technology Corp. 86,950 865,152 * Computer Task Group, Inc. 82,100 343,178 CompX International, Inc. 5,200 32,812 * Comstock Resources, Inc. 136,300 2,221,690 * Comtech Telecommunications Corp. 10,200 340,048 * Concerto Software, Inc. 44,600 531,632 * Concord Camera Corp. 125,500 1,514,785 *# Cone Mills Corp. 80,100 4,606 * Congoleum Corp. Class A 1,500 975 * Conmed Corp. 53,450 1,136,347 Connecticut Bancshares, Inc. 3,300 170,379 * Consolidated Graphics, Inc. 41,300 1,241,065 * Continental Airlines, Inc. 33,600 626,640 *# Convera Corp. 82,700 323,357 Cooper Tire & Rubber Co. 202,600 4,054,026 * Copper Mountain Networks, Inc. 35,600 335,032 * Core Molding Technologies, Inc. 700 2,058 * Corixa Corp. 108,200 615,658 Corn Products International, Inc. 140,900 4,883,594 * Cornell Companies, Inc. 58,900 742,140 * Correctional Services Corp. 37,500 96,375 * Corrections Corporation of America 96,100 2,690,800 Corus Bankshares, Inc. 21,300 1,326,990 * Cosine Communications, Inc. 45,200 349,848 * Cost-U-Less, Inc. 2,500 8,250 * Covansys Corp. 134,300 1,208,700 * Covenant Transport, Inc. Class A 43,700 823,308 *# Coventry Health Care, Inc. 78,300 4,690,170 Covest Bancshares, Inc. 3,500 95,830 CPAC, Inc. 12,500 77,237 *# Credence Systems Corp. 184,270 2,388,139 * Credit Acceptance Corp. 106,200 1,593,000 Crompton Corp. 175,100 1,059,355 * Cross (A.T.) Co. Class A 31,700 207,001 * Cross Country Healthcare, Inc. 45,900 $ 683,910 * Crossroads Systems, Inc. 8,882 27,179 *# Crown Castle International Corp. 125,500 1,557,455 * Crown Financial Group, Inc. 20,000 50,600 * Crown Holdings, Inc. 344,800 2,586,000 * Crown Media Holdings, Inc. 5,800 51,098 *# Cryolife, Inc. 45,900 246,024 * CSK Auto Corp. 57,400 1,046,976 * CSP, Inc. 1,026 5,417 CSS Industries, Inc. 24,000 713,040 CT Communications, Inc. 1,300 18,590 CTS Corp. 121,238 1,486,378 Cubic Corp. 54,300 1,606,194 * Culp, Inc. 58,000 653,080 * Cumulus Media, Inc. Class A 96,700 1,846,970 * CuraGen Corp. 147,200 927,360 * Curative Health Services Inc. 41,000 532,180 * Cutter & Buck, Inc. 49,300 382,075 * CV Therapeutics, Inc. 28,500 512,145 * Cyberoptics Corp. 7,800 77,688 * Cybersource Corp. 150,400 747,488 *# CycleLogic, Inc. 3 0 * Cypress Semiconductor Corp. 47,700 1,067,526 * Cysive, Inc. 130,000 418,600 * Cytec Industries, Inc. 5,700 206,625 D & K Healthcare Resources, Inc. 99,479 1,344,956 * D A Consulting Group, Inc. 7,300 584 *# Dan River, Inc. Class A 47,500 36,575 * Danielson Holding Corp. 29,600 42,032 * Data Systems & Software, Inc. 5,800 16,182 * Datalink Corp. 72,800 283,192 * Dataram Corp. 21,600 90,936 Datascope Corp. 4,700 163,466 * Datastream Systems, Inc. 15,000 111,750 * DataTRAK International, Inc. 100 630 * Dave and Busters, Inc. 44,900 624,559 * Dawson Geophysical Co. 9,400 76,516 Deb Shops, Inc. 14,537 288,123 * Deckers Outdoor Corp. 40,000 672,000 * Del Global Technologies Corp. 8,827 21,185 * Delphax Technologies, Inc. 6,100 19,337 Delphi Financial Group, Inc. Class A 90,310 4,795,461 Delta Apparel, Inc. 1,640 26,978 Delta Natural Gas Co., Inc. 1,700 39,661 * Delta Woodside Industries, Inc. 2,425 4,219 * Denbury Resources, Inc. 177,600 2,244,864 * Department 56, Inc. 64,700 914,211 * DiamondCluster International, Inc. 81,887 774,651 * Digi International, Inc. 106,700 914,419 * Digimarc Corp. 17,200 242,692 *# Digital Angel Corp. 24,200 54,450 * Digital Insight Corp. 85,800 2,039,466 * DigitalThink Inc. 25,100 74,798 * Digitas, Inc. 65,600 571,376 Dillards, Inc. Class A 251,900 4,244,515 Dime Community Bancorp, Inc. 60,525 1,861,144 Dimon, Inc. 125,800 849,150 * Diodes, Inc. 37,200 757,020 * Discovery Partners International 113,600 655,358 * Ditech Communications Corp. 131,600 2,309,580 * Dixie Group, Inc. 70,400 570,240
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SHARES VALUE+ -------------- ----------------- * DJ Orthopedics, Inc. 19,200 $ 498,240 * Docent, Inc. 34,400 167,872 * Dollar Thrifty Automotive Group, Inc. 109,200 2,757,300 * Dominion Homes, Inc. 3,600 109,476 Donegal Group, Inc. Class A 5,900 118,590 Donegal Group, Inc. Class B 3,000 56,670 * DoubleClick, Inc. 66,500 635,075 Dover Motorsports, Inc. 49,400 206,492 Downey Financial Corp. 41,500 2,004,450 * Dril-Quip, Inc. 3,600 53,820 * DRS Technologies, Inc. 17,200 455,800 * DT Industries, Inc. 7,100 7,668 * Duane Reade, Inc. 68,300 948,004 * Duckwall-ALCO Stores, Inc. 5,600 83,832 * Ducommun, Inc. 26,700 594,609 * DuPont Photomasks, Inc. 54,100 1,256,202 * Dura Automotive Systems, Inc. 56,800 585,608 * DUSA Pharmaceuticals, Inc. 86,200 462,894 * Dyax Corp. 144,500 872,780 * Dycom Industries, Inc. 161,498 4,093,974 * Dynamics Research Corp. 8,800 142,111 * Dynegy, Inc. 132,200 528,800 *# E Com Ventures, Inc. 850 9,996 E-Z-EM, Inc. 3,700 42,735 * E.piphany, Inc. 276,700 2,185,930 * EarthLink, Inc. 69,600 668,160 Edelbrock Corp. 110 1,308 * Eden Bioscience Corp. 78,200 121,210 * Edge Petroleum Corp. 42,400 336,656 * Edgewater Technology, Inc. 53,038 263,068 Edo Corp. 300 6,240 * Educational Insights, Inc. 2,500 1,412 * eFunds Corp. 67,800 1,176,330 * EGL, Inc. 75,100 1,379,587 * Electro Rent Corp. 71,100 988,290 * Electro Scientific Industries, Inc. 9,700 233,285 *# Electroglas, Inc. 38,240 151,048 *# Electronics for Imaging, Inc. 6,600 182,160 * Elizabeth Arden, Inc. 14,500 294,495 * eLoyalty Corp. 31,000 111,600 *# EMC Corp. 58,860 808,736 EMC Insurance Group, Inc. 1,000 20,450 * Emcor Group, Inc. 6,600 271,260 * EMCORE Corp. 86,600 439,928 * Emisphere Technologies, Inc. 85,800 514,800 *# Emmis Communications Corp. Class A 99,700 2,259,202 Empire District Electric Co. 1,400 29,624 * EMS Technologies, Inc. 59,500 1,264,375 * Encore Medical Corp. 36,100 244,758 * Encore Wire Corp. 70,333 1,191,441 Energen Corp. 20,600 802,164 * Energy Partners, Ltd. 45,600 554,040 * Enesco Group, Inc. 65,500 709,365 Engineered Support Systems, Inc. 18,280 968,840 Ennis Business Forms, Inc. 500 7,390 * EnPro Industries, Inc. 26,700 264,597 * Entravision Communications Corp. 259,500 2,356,260 * Entrust, Inc. 204,400 872,788 * ePlus, Inc. 58,800 735,000 * ePresence, Inc. 49,500 181,170 * Equity Marketing, Inc. 4,400 $ 60,324 * Equity Oil Co. 41,200 143,335 * Esco Technologies, Inc. 44,000 1,870,000 Espey Manufacturing & Electronics Corp. 400 9,820 * ESS Technology, Inc. 128,500 2,143,380 * Esterline Technologies Corp. 62,100 1,439,478 * Ethyl Corp. 41,500 846,600 * Evans & Sutherland Computer Corp. 22,900 106,943 *# Evergreen Solar, Inc. 8,300 16,600 * Exar Corp. 112,900 2,189,131 * Exelixis, Inc. 186,143 1,252,742 * Exponent, Inc. 14,000 318,080 Extended Stay America, Inc. 269,400 3,987,120 * Extended Systems, Inc. 37,500 170,625 * Extreme Networks, Inc. 54,600 535,626 *# Factory 2-U Stores, Inc. 60,618 147,908 Fair, Isaac & Co., Inc. 56,778 3,131,874 * Fairchild Corp. Class A 113,400 578,340 * Falcon Products, Inc. 65,800 311,892 * Famous Dave's of America, Inc. 47,750 238,272 *# Faro Technologies, Inc. 8,300 215,476 FBL Financial Group, Inc. Class A 25,600 669,440 Fedders Corp. 15,500 97,495 Federal Signal Corp. 81,000 1,227,150 * FEI Co. 30,500 732,305 FFLC Bancorp 2,550 75,480 * Fibermark, Inc. 24,700 43,966 Fidelity National Financial, Inc. 35,845 1,266,404 Fidelity Southern Corp. 2,000 27,700 * Financial Federal Corp. 3,200 105,248 * Financial Industries Corp. 41,366 589,879 * Finish Line, Inc. Class A 44,500 1,362,145 * Finishmaster, Inc. 9,000 85,140 * Finlay Enterprises, Inc. 23,600 383,500 * Firebrand Financial Group, Inc. 1,000 6 First American Financial Corp. 86,600 2,563,360 First Bancorp 6,484 201,004 * First Cash Financial Services, Inc. 46,000 1,221,760 First Charter Corp. 27,900 568,044 First Citizens Bancshares, Inc. 10,400 1,148,056 * First Consulting Group, Inc. 78,001 411,065 First Defiance Financial Corp. 12,700 354,711 First Essex Bancorp 8,800 501,776 First Federal Bancshares of Arkansas, Inc. 6,500 251,875 * First Horizon Pharmaceutical Corp. 142,500 1,624,500 First Indiana Corp. 28,575 532,924 * First Investors Financial Services Group, Inc. 6,900 29,256 * First Mariner Bank Corp. 5,300 89,994 First Merchants Corp. 8,532 216,286 First Midwest Financial, Inc. 3,700 82,880 First Mutual Bancshares, Inc. 6,534 162,631 First Niagara Financial Group, Inc. 232,034 3,524,596 First Place Financial Corp. 43,000 794,640 First Republic Bank 54,800 2,041,300 First Sentinel Bancorp, Inc. 46,900 890,162 FirstBank NW Corp. 1,700 52,003 FirstFed America Bancorp, Inc. 26,800 698,408 * FirstFed Financial Corp. 76,900 3,614,300
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SHARES VALUE+ -------------- ----------------- * Fischer Imaging Corp. 3,200 $ 14,560 Flagstar Bancorp, Inc. 106,200 2,350,206 * Flanders Corp. 50,300 281,177 *# Fleetwood Enterprises, Inc. 237,000 2,410,290 Flexsteel Industries, Inc. 6,000 122,940 Florida East Coast Industries, Inc. 29,500 899,750 * Flow International Corp. 29,700 104,277 Flowers Foods, Inc. 128,925 3,364,942 * Flowserve Corp. 155,700 3,313,296 Flushing Financial Corp. 27,300 742,560 * FMC Corp. 14,400 431,136 FNB Corp. 11,300 258,996 FNB Financial Services Corp. 2,000 45,640 # Foot Locker, Inc. 177,700 3,927,170 * Footstar, Inc. 68,500 344,555 * Forest Oil Corp. 157,600 3,947,880 * Forgent Networks, Inc. 6,000 20,220 * Forrester Research, Inc. 6,797 124,793 * Foster (L.B.) Co. Class A 12,800 76,800 *# Foster Wheeler, Ltd. 3,100 2,728 *# FPIC Insurance Group, Inc. 43,800 915,420 Frankfort First Bancorp, Inc. 100 2,050 Franklin Bancorp, Inc. 9,300 191,626 * Franklin Covey Co. 19,100 29,223 * Franklin Electronic Publishers, Inc. 900 2,700 Fred's, Inc. 33,000 1,100,550 # Fremont General Corp. 188,500 3,294,980 Frequency Electronics, Inc. 9,200 96,140 * Fresh Choice, Inc. 4,000 7,800 * Friede Goldman Halter, Inc. 800 1 Friedman Industries, Inc. 6,840 21,067 Friedmans, Inc. Class A 142,100 970,543 Frisch's Restaurants, Inc. 8,500 227,800 * Frontier Airlines, Inc. 83,400 1,349,412 * Frozen Food Express Industries, Inc. 40,900 271,576 FSF Financial Corp. 2,900 87,725 * FSI International, Inc. 148,600 977,788 *# FuelCell Energy, Inc. 114,500 1,541,170 Fuller (H.B.) Co. 30,891 823,863 * G-III Apparel Group, Ltd. 12,700 132,715 GA Financial, Inc. 3,500 100,590 * Gadzooks, Inc. 43,500 210,975 * Gaiam, Inc. 18,824 103,701 *# Galyan's Trading Co. 53,300 711,555 * GameStop Corp. 1,700 27,455 * GameTech International, Inc. 19,800 75,834 * Garden Fresh Restaurant Corp. 22,200 328,116 * Gardner Denver Machinery, Inc. 48,000 1,119,360 * Gateway, Inc. 127,400 568,204 GATX Corp. 53,000 1,287,900 * Gaylord Entertainment Co. 146,415 4,405,627 * Gehl Co. 13,600 209,454 Gencorp, Inc. 219,500 2,197,195 * Gene Logic, Inc. 269,200 1,311,004 * General Binding Corp. 7,800 145,158 * General Cable Corp. 115,000 969,450 * General Communications, Inc. Class A 93,395 817,206 * Genesee & Wyoming, Inc. 21,750 549,405 * Genesis Health 25,100 788,391 * Genesis Microchip, Inc. 19,701 363,483 * Genlyte Group, Inc. 46,500 $ 2,457,990 *# Genome Therapeutics Corp. 85,700 259,585 * Gentiva Health Services, Inc. 17,300 121,230 * Gerber Scientific, Inc. 151,100 1,255,641 * Getty Images, Inc. 6,300 273,420 Gevity HR, Inc. 34,300 771,750 * Giant Industries, Inc. 27,600 336,720 Gibraltar Steel Corp. 42,900 1,045,902 * Giga-Tronics, Inc. 2,400 5,100 Glatfelter (P.H.) Co. 159,900 1,915,602 * Glenayre Technologies, Inc. 169,300 506,207 * Global Imaging Systems, Inc. 17,800 521,718 * Globecomm Systems, Inc. 71,500 500,500 * GlobespanVirata, Inc. 30,700 188,498 * Glowpoint, Inc. 133,200 247,752 Golden Enterprises, Inc. 300 768 * Golden State Vintners, Inc. 11,985 37,513 * Good Guys, Inc. 119,400 243,576 * Goodyear Tire & Rubber Co. 111,300 751,275 Goody's Family Clothing, Inc. 172,500 1,831,950 Gorman-Rupp Co. 7,700 184,030 * Gottschalks, Inc. 21,400 82,604 * GP Strategies Corp. 56,200 413,070 Granite Construction, Inc. 24,000 529,200 * Graphic Packaging Corp. 84,900 300,546 Gray Television, Inc. 201,028 2,605,323 Gray Television, Inc. Class A 3,400 44,608 * Great American Financial Resources, Inc. 22,800 345,420 * Great Atlantic & Pacific Tea Co., Inc. 111,300 845,880 # Great Lakes Chemical Corp. 106,700 2,423,157 * Greenbrier Companies, Inc. 4,700 68,009 * Grey Wolf, Inc. 16,500 55,935 * Griffin Land & Nurseries, Inc. Class A 1,900 27,493 * Griffon Corp. 130,640 2,550,093 * Group 1 Automotive, Inc. 53,000 1,839,100 * GSI Commerce, Inc. 47,700 467,460 * GTC Biotherapeutics, Inc. 27,574 76,104 * GTSI Corp. 36,700 442,235 Guaranty Federal Bancshares, Inc. 8,000 155,080 Guaranty Financial Corp. 2,000 40,010 * Guess, Inc. 95,400 1,354,680 *# Guilford Pharmaceuticals, Inc. 136,100 929,563 * Gulf Island Fabrication, Inc. 24,200 430,760 * Gulfmark Offshore, Inc. 25,200 353,556 * Gundle/SLT Environmental, Inc. 4,600 89,010 * Gymboree Corp. 84,300 1,433,943 * Ha-Lo Industries, Inc. 21,800 24 Haggar Corp. 15,100 261,834 * Hain Celestial Group, Inc. 29,900 689,793 * Halifax Corp. 100 507 * Hall Kinion Associates, Inc. 29,500 120,921 Hancock Fabrics, Inc. 54,700 776,740 Hancock Holding Co. 150 8,588 Handleman Co. 83,302 1,466,115 * Hanger Orthopedic Group, Inc. 89,000 1,504,100 * Hanover Compressor Co. 46,200 439,824 Harbor Florida Bancshares, Inc. 18,100 549,335 Hardinge, Inc. 17,300 179,055 Harleysville Group, Inc. 58,900 1,154,440 # Harman International Industries, Inc. 2,500 340,675
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SHARES VALUE+ -------------- ----------------- * Harris Interactive, Inc. 22,700 $ 156,630 Harsco Corp. 3,000 118,980 * Hartmarx Corp. 27,500 118,250 * Harvard Bioscience, Inc. 105,400 758,880 * Harvest Natural Resources, Inc. 75,000 555,750 * Hastings Entertainment, Inc. 47,500 211,375 * Hauser, Inc. 1,900 95 * Hawaiian Holdings, Inc. 44,863 123,373 * Hawk Corp. 18,500 63,085 * Hawthorne Financial Corp. 37,050 998,498 HCC Insurance Holdings, Inc. 27,700 861,747 * Hector Communications Corp. 4,600 64,607 Heico Corp. 62,503 1,154,430 Heico Corp. Class A 4,200 62,160 * Heidrick & Struggles International, Inc. 66,500 1,599,325 Helmerich & Payne, Inc. 51,700 1,245,970 * Hercules, Inc. 30,400 305,216 * Herley Industries, Inc. 42,700 824,964 * Hexcel Corp. 96,500 669,710 * Hi-Tech Pharmacal, Inc. 11,700 237,276 HMN Financial, Inc. 19,700 485,408 * HMS Holdings Corp. 87,900 377,091 # Hollinger International, Inc. Class A 152,800 2,431,048 Holly Corp. 33,000 876,480 * Hollywood Media Corp. 4,300 9,632 * Hologic, Inc. 55,500 834,720 * Home Products International, Inc. 18,300 24,339 Horace Mann Educators Corp. 35,300 476,903 Horizon Financial Corp. 9,487 167,825 * Horizon Health Corp. 34,900 797,116 * Horizon Offshore, Inc. 147,600 661,248 * Horizon Organic Holding Corp. 32,200 770,868 # Horton (D.R.), Inc. 133,129 5,817,737 * Houston Exploration Co. 94,700 3,230,217 *# Hovnanian Enterprises, Inc. Class A 54,198 4,999,766 Hudson River Bancorp, Inc. 29,100 1,011,516 * Huffy Corp. 58,100 396,823 Hughes Supply, Inc. 87,900 4,017,030 * Humana, Inc. 358,500 8,005,305 *# Hunt (J.B.) Transport Services, Inc. 232,200 6,074,352 * Hurco Companies, Inc. 6,100 17,690 *# Hutchinson Technology, Inc. 105,800 3,445,906 * Huttig Building Products, Inc. 25,800 69,660 * Hypercom Corp. 274,600 1,397,714 Iberiabank Corp. 7,800 452,244 * Ibis Technology Corp. 46,177 750,376 * Ico, Inc. 24,700 29,887 * ICT Group, Inc. 10,400 139,984 * Identix, Inc. 42,000 217,560 * iDine Rewards Network, Inc. 1,800 19,620 * IDT Corp. 100,000 1,880,000 *# IDT Corp. Class B 57,600 1,113,408 * iGate Capital Corp. 181,900 1,156,884 IHOP Corp. 16,100 627,900 * II-VI, Inc. 16,400 373,264 Ikon Office Solutions, Inc. 261,500 2,214,905 * ILEX Oncology, Inc. 17,700 369,399 * Illumina, Inc. 157,200 1,078,392 * Image Entertainment, Inc. 55,000 269,500 # Imation Corp. 129,200 4,386,340 # IMC Global, Inc. 281,600 $ 2,047,232 * IMCO Recycling, Inc. 71,900 542,845 * Immersion Corp. 7,800 41,340 * Immucor, Inc. 45,450 1,049,895 * ImmunoGen, Inc. 150,900 713,757 *# Impath, Inc. 49,705 151,600 * Impco Technologies, Inc. 68,800 450,640 * Imperial Sugar Co. 10,300 114,227 * Incyte Genomics, Inc. 144,028 871,369 Independence Community Bank Corp. 114,500 4,234,210 Independent Bank Corp. MI 19,757 575,917 * Industrial Distribution Group, Inc. 2,600 12,350 * Inet Technologies, Inc. 57,900 743,436 * Infinity, Inc. 9,550 35,813 * InFocus Corp. 123,342 976,869 * Infonet Services Corp. 14,700 27,930 * Informatica Corp. 8,100 91,368 * Information Holdings, Inc. 34,600 769,850 * Information Resources, Inc. 1,519 7,443 * Inforte Corp. 38,000 326,800 * InfoSpace, Inc. 78,700 2,065,875 Ingles Market, Inc. Class A 29,400 296,940 * Ingram Micro, Inc. 98,100 1,430,298 * Innotrac Corp. 53,300 484,497 * Innovative Clinical Solutions, Ltd. 519 4 * Innovative Solutions & Support, Inc. 6,100 91,378 * Innovex, Inc. 58,300 548,020 * Input/Output, Inc. 133,000 520,030 * Insight Communications Co., Inc. 65,500 637,970 * Insight Enterprises, Inc. 45,600 852,720 * Insituform Technologies, Inc. Class A 46,434 698,832 * Insurance Auto Auctions, Inc. 48,700 618,490 * InsWeb Corp. 12,450 62,250 Integra Bank Corp. 46,411 1,037,286 * IntegraMed America, Inc. 2,300 14,674 * Integrated Device Technology, Inc. 52,900 997,165 * Integrated Electrical Services, Inc. 278,900 2,186,576 * Integrated Information Systems, Inc. 200 70 * Integrated Silicon Solution, Inc. 89,009 1,664,468 * Integrated Telecom Express, Inc. 900 0 * Integrity Media, Inc. 9,100 54,600 Inter Parfums, Inc. 17,550 356,967 * Interactive Data Corp. 18,500 311,725 * InterCept Group, Inc. 75,200 794,864 * Interface, Inc. Class A 151,500 862,035 *# Intergraph Corp. 97,200 2,468,880 * Interland, Inc. 30,532 209,144 * Interlink Electronics, Inc. 16,200 113,400 * Intermagnetics General Corp. 17,297 389,701 Intermet Corp. 52,200 254,214 * International Multifoods Corp. 71,300 1,271,279 * Internet Commerce Corp. 23,500 22,560 * Internet Pictures Corp. 4,000 8,880 * Internet Security Systems, Inc. 31,600 536,252 * Interphase Corp. 500 8,550 Interpool, Inc. 39,000 592,800 Interstate Bakeries Corp. 53,200 837,900 * Interstate Hotels & Resorts, Inc. 30,000 161,400 * Interwoven, Inc. 72,675 1,088,672 * Intrusion, Inc. 57,300 42,975 Investors Title Co. 1,100 33,660
14
SHARES VALUE+ -------------- ----------------- * Invision Technologies, Inc. 33,800 $ 1,007,916 * Invivo Corp. 45,750 968,116 Iomega Corp. 213,500 1,172,115 *# Ionics, Inc. 66,400 2,134,760 * Iridex Corp. 6,200 34,007 Irwin Financial Corp. 17,900 541,654 * Isle of Capri Casinos, Inc. 98,400 1,982,858 * ITLA Capital Corp. 18,200 914,004 * ITXC Corp. 166,000 655,700 * IXYS Corp. 134,597 1,130,615 * J & J Snack Foods Corp. 16,300 586,800 * J Net Enterprises, Inc. 19,000 21,850 * J. Alexander's Corp. 11,800 88,500 * J. Jill Group, Inc. 36,000 458,640 * Jack in the Box, Inc. 22,900 477,465 Jacksonville Bancorp, Inc. 2,200 82,181 * Jaco Electronics, Inc. 21,850 154,043 * Jacuzzi Brands, Inc. 451,400 2,911,530 * Jakks Pacific, Inc. 77,950 1,059,341 * JDA Software Group, Inc. 84,900 1,546,878 Jefferies Group, Inc. 41,000 1,282,480 JLG Industries, Inc. 242,700 3,650,208 * Johnson Outdoors, Inc. 11,000 158,950 * Jones Lang LaSalle, Inc. 10,600 222,070 * Jos. A. Bank Clothiers, Inc. 14,000 576,940 * Joy Global, Inc. 55,400 1,163,400 * JPS Industries, Inc. 18,000 39,240 * Jupitermedia Corp. 34,800 175,740 K Swiss, Inc. Class A 38,200 1,860,722 * K2, Inc. 147,868 2,262,380 * Kadant, Inc. 39,528 709,528 * Kaiser Aluminum Corp. 65,100 5,208 Kaman Corp. Class A 66,000 849,420 *# Kansas City Southern Industries, Inc. 209,500 2,786,350 * Katy Industries, Inc. 2,000 12,300 KB Home Corp. 14,900 1,026,312 *# Keane, Inc. 38,500 542,850 * Keith Companies, Inc. 22,500 320,850 Kellwood Co. 73,791 2,821,768 Kelly Services, Inc. 62,400 1,777,152 * Kemet Corp. 114,900 1,516,680 * Kendle International, Inc. 52,900 362,365 Kennametal, Inc. 98,800 3,797,872 * Kennedy-Wilson, Inc. 13,500 81,540 Kewaunee Scientific Corp. 5,000 56,500 * Key Energy Group, Inc. 396,400 3,611,204 * Key Technology, Inc. 7,100 98,832 * Key Tronic Corp. 5,400 11,551 * Keynote Systems, Inc. 86,900 1,072,346 * Keystone Automotive Industries, Inc. 64,500 1,571,865 * Kforce, Inc. 142,667 1,205,536 Kimball International, Inc. Class B 37,463 555,202 * Kindred Healthcare, Inc. 52,800 2,723,952 * Kirby Corp. 3,000 90,000 Klamath First Bancorp, Inc. 12,300 315,495 * Knight Trading Group, Inc. 406,400 5,864,352 * Koala Corp. 15,200 1,748 * Korn/Ferry International 88,500 887,655 * Kroll, Inc. 78,762 1,886,350 * Kulicke & Soffa Industries, Inc. 96,300 1,587,024 * KVH Industries, Inc. 2,900 91,466 La-Z-Boy, Inc. 9,344 $ 188,749 * LaBarge, Inc. 5,000 31,250 * LabOne, Inc. 23,300 675,467 Labranche & Co., Inc. 6,000 49,620 Ladish Co., Inc. 59,900 491,779 LaFarge North America, Inc. 35,400 1,348,740 * Lakeland Industries, Inc. 2,783 35,984 * Lakes Entertainment, Inc. 22,900 329,737 * Lamson & Sessions Co. 84,000 491,400 Lance, Inc. 239,300 3,352,593 * Lancer Corp. 4,200 23,058 Landamerica Financial Group, Inc. 72,800 3,741,920 * Landec Corp. 1,300 8,450 Landry's Restaurants, Inc. 160,250 3,929,330 * Larscom, Inc. 928 4,696 * Latitude Communications, Inc. 4,300 16,770 * Lattice Semiconductor Corp. 83,700 792,639 * Lawson Software, Inc. 33,900 286,116 * Layne Christensen Co. 16,300 169,520 * Lazare Kaplan International, Inc. 16,500 111,375 * LCA-Vision, Inc. 37,200 624,216 * LCC International, Inc. Class A 75,600 371,196 * Lecroy Corp. 17,900 298,930 # Lennar Corp. A Shares 63,500 6,216,650 Lennar Corp. B Shares 6,350 592,074 Lennox International, Inc. 118,400 2,012,800 * Lesco, Inc. 74,800 955,196 *# Level 8 Systems, Inc. 1,000 390 * Lexent, Inc. 142,200 207,612 * Lexicon Genetics, Inc. 109,400 574,350 Liberty Corp. 28,900 1,284,605 * Lifecore Biomedical, Inc. 65,100 436,170 # Lifetime Hoan Corp. 22,600 316,400 * Lightbridge, Inc. 84,600 814,698 * Lin TV Corp. 16,600 372,670 * Linens 'n Things, Inc. 28,100 826,421 * Lipid Sciences, Inc. 3,600 8,928 Liquid Audio, Inc. 2,200 605 Lithia Motors, Inc. Class A 66,145 1,641,719 # LNR Property Corp. 144,600 6,398,550 * LogicVision, Inc. 61,900 277,931 Lone Star Steakhouse & Saloon, Inc. 70,100 1,617,207 * Lone Star Technologies, Inc. 65,000 900,250 Longs Drug Stores Corp. 153,400 3,758,300 Longview Fibre Co. 187,700 2,059,069 * Louisiana-Pacific Corp. 371,700 6,724,053 LSI Industries, Inc. 55,056 685,447 * LTX Corp. 98,700 1,646,316 * Luby's, Inc. 84,100 316,216 Lufkin Industries, Inc. 22,400 582,176 * Lydall, Inc. 51,000 624,240 M/I Schottenstein Homes, Inc. 79,700 3,056,495 * Mac-Gray Corp. 31,200 156,000 * Macromedia, Inc. 22,400 459,424 *# Magna Entertainment Corp. 60,500 284,350 * Magnetek, Inc. 61,700 397,965 * Magnum Hunter Resources, Inc. 40,500 364,095 * Mail-Well, Inc. 125,200 473,256 * Main Street & Main, Inc. 12,100 29,645 * MAIR Holdings, Inc. 100,100 761,761 * Management Network Group, Inc. 46,300 149,456
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SHARES VALUE+ -------------- ----------------- * Manchester Technologies, Inc. 16,900 $ 55,770 * Manning (Greg) Auctions, Inc. 300 3,375 Manor Care, Inc. 70,100 2,475,932 * Manufacturers' Services Ltd. 148,500 905,850 * Manugistic Group, Inc. 194,600 1,296,036 * Mapinfo Corp. 60,100 531,885 * Marimba, Inc. 70,600 362,884 Marine Products Corp. 12,420 203,067 * MarineMax, Inc. 41,900 796,100 Maritrans, Inc. 10,600 176,066 *# MarketWatch.com, Inc. 93,700 830,182 * MarkWest Hydrocarbon, Inc. 21,340 245,410 Marsh Supermarkets, Inc. Class A 3,100 34,069 * Martha Stewart Living Omnimedia, Ltd. 24,600 240,588 Massey Energy Co. 310,370 4,314,143 * Mastec, Inc. 69,600 924,288 * Material Sciences Corp. 71,700 680,433 * Matria Healthcare, Inc. 45,400 927,522 * Matrix Service Co. 63,400 1,011,230 * MatrixOne, Inc. 96,800 575,960 * Mattson Technology, Inc. 130,806 2,007,872 * Max & Ermas Restaurants, Inc. 1,400 26,075 * Maxco, Inc. 2,700 7,088 Maxcor Financial Group, Inc. 33,200 434,920 * Maxicare Health Plans, Inc. 1,060 265 *# Maxim Pharmaceuticals, Inc. 106,900 761,128 * Maxtor Corp. 2,790 31,136 * Maxwell Shoe Company, Inc. 45,400 798,586 * Maxwell Technologies, Inc. 31,100 250,355 * Maxygen, Inc. 86,003 933,133 MB Financial, Inc. 13,100 680,676 McGrath Rent Corp. 8,400 230,076 McRae Industries, Inc. Class A 12,800 117,120 # MDC Holdings, Inc. 55,849 3,873,687 * Meade Instruments Corp. 97,800 410,760 * Meadow Valley Corp. 1,000 1,649 * Meadowbrook Insurance Group, Inc. 33,200 132,800 * Medarex, Inc. 195,900 1,332,120 * MedCath Corp. 38,100 361,531 * Media Arts Group, Inc. 62,000 244,280 Media General, Inc. Class A 23,000 1,538,470 * Mediacom Communications Corp. 11,000 84,810 * Medical Action Industries, Inc. 1,200 19,920 * Medical Staffing Network Holdings, Inc. 19,000 185,250 * Medquist, Inc. 140,400 2,160,756 * MedSource Technologies, Inc. 59,667 275,662 * Medstone International, Inc. 9,400 44,377 * MEDTOX Scientific, Inc. 14,600 81,760 * MEMC Electronic Materials, Inc. 133,600 1,450,896 *# Mens Warehouse, Inc. 7,300 224,329 * Mentor Graphics Corp. 8,000 117,200 * Mercury Air Group, Inc. 14,000 68,600 * Meridian Resource Corp. 74,100 337,896 * Merix Corp. 65,250 1,362,420 * Merrimac Industries, Inc. 12,700 75,565 * Mesa Air Group, Inc. 107,500 1,295,375 Mesa Labs, Inc. 1,000 9,045 * Meta Group, Inc. 19,400 109,028 * MetaSolv, Inc. 135,060 324,144 Methode Electronics, Inc. Class A 21,800 $ 279,694 # Metris Companies, Inc. 171,100 763,106 * Metro One Telecommunications, Inc. 104,299 202,340 * Metrologic Instruments, Inc. 52,200 1,421,928 * Metromedia International Group, Inc. 4,900 747 MGP Ingredients, Inc. 7,300 86,140 * Michael Anthony Jewelers, Inc. 9,600 19,536 * Micro Component Technology, Inc. 34,400 51,600 * Micro Linear Corp. 54,300 325,800 * MicroFinancial, Inc. 12,500 39,875 * Micromuse, Inc. 55,700 448,385 * Micros to Mainframes, Inc. 4,000 5,440 * Microsemi Corp. 72,500 1,756,675 * Microtek Medical Holdings, Inc. 103,520 423,397 * Microtune, Inc. 178,210 390,280 * Midas, Inc. 109,300 1,655,895 Middleby Corp. 12,500 426,513 Midland Co. 12,200 258,396 *# Midway Games, Inc. 196,500 664,170 * Midwest Express Holdings, Inc. 48,400 200,860 Milacron, Inc. 151,787 352,146 Millennium Chemicals, Inc. 320,950 3,472,679 * Miller Industries, Inc. 49,800 308,760 * Millerbuilding Systems Escrow Shares 5,400 1,620 * MIM Corp. 34,700 244,635 Minerals Technologies, Inc. 128,700 6,879,015 * MIPS Technologies, Inc. 73,870 402,592 * Misonix, Inc. 26,100 106,253 * Mission Resources Corp. 74,600 134,280 * Mississippi Chemical Corp. 7,700 616 * Mitcham Industries, Inc. 30,600 63,036 * MKS Instruments, Inc. 26,186 725,614 * Mobile Mini, Inc. 41,402 816,861 * Modem Media, Inc. 1,200 7,572 Modine Manufacturing Co. 32,095 818,743 * Modtech Holdings, Inc. 63,529 526,655 * Moldflow Corp. 43,300 487,125 * Monaco Coach Corp. 36,900 858,294 * Mondavi (Robert) Corp. Class A 28,500 997,500 * Monro Muffler Brake, Inc. 17,850 395,378 * Monterey Pasta Co. 19,596 75,053 *# Mony Group, Inc. 2,262 71,298 * Moog, Inc. Class A 21,450 933,075 * Motor Car Parts & Accessories, Inc. 7,500 42,225 Movado Group, Inc. 42,600 1,158,294 * Movie Gallery, Inc. 54,675 967,201 * MPS Group, Inc. 544,200 5,006,640 * MRO Software, Inc. 194,000 2,677,200 * MRV Communications, Inc. 81,606 327,240 * MSC Software Corp. 83,600 823,460 MTS Systems Corp. 67,660 1,256,446 * Mueller Industries, Inc. 98,700 3,189,984 Myers Industries, Inc. 58,025 727,053 * Nabi Biopharmaceuticals 142,100 1,530,417 Nacco Industries, Inc. Class A 17,900 1,396,200 *# Nanogen, Inc. 63,720 210,276 * Nanometrics, Inc. 53,300 778,180 *# Napco Security Systems, Inc. 3,700 30,063 Nash-Finch Co. 33,400 671,674 * Nashua Corp. 10,700 93,946
16
SHARES VALUE+ -------------- ----------------- *# Nastech Pharmaceutical Co., Inc. 3,000 $ 30,150 * NATCO Group, Inc. Class A 45,400 272,400 * Nathans Famous, Inc. 15,400 79,772 * National Equipment Services, Inc. 5,900 413 * National Home Health Care Corp. 9,481 83,812 National Presto Industries, Inc. 10,900 388,040 * National Processing, Inc. 1,300 31,525 * National RV Holdings, Inc. 50,900 547,175 * National Technical Systems, Inc. 17,200 98,728 * National Western Life Insurance Co. Class A 500 73,103 * Natrol, Inc. 11,900 34,510 Nature's Sunshine Products, Inc. 21,458 173,381 * Natus Medical, Inc. 55,800 209,808 * Navidec, Inc. 105 113 * Navigant Consulting, Inc. 14,000 242,200 * Navigant International, Inc. 52,700 732,530 * Navigators Group, Inc. 8,400 267,204 * NCI Building Systems, Inc. 77,300 1,800,317 * NCO Group, Inc. 88,300 2,039,730 * NCO Portfolio Management, Inc. 14,700 110,250 * Nektar Therapeutics 1,200 15,816 Nelson (Thomas), Inc. 31,200 549,120 *# Neoforma, Inc. 52,800 842,688 * NeoMagic Corp. 61,167 198,181 * Neopharm, Inc. 920 16,505 * Neose Technologies, Inc. 17,900 150,897 * Net2Phone, Inc. 156,829 988,023 NetBank, Inc. 40,362 528,742 * Netegrity, Inc. 130,600 1,599,850 * NetIQ Corp. 60,800 728,992 * Netopia, Inc. 69,500 1,063,350 * NetRatings, Inc. 204,400 2,068,528 * Netscout System, Inc. 143,700 1,253,064 * NetSolve, Inc. 29,200 240,608 * Network Equipment Technologies, Inc. 162,000 1,684,800 * Neurogen Corp. 63,100 402,641 * New Brunswick Scientific Co., Inc. 8,738 53,293 # New Century Financial Corp. 108,300 4,120,815 * New Focus, Inc. 192,400 940,836 * Newfield Exploration Co. 3,327 136,074 Newmil Bancorp, Inc. 4,000 107,160 * Newpark Resources, Inc. 184,900 743,298 * Newport Corp. 182,200 3,102,866 * Niagara Corp. 14,900 42,018 NL Industries, Inc. 107,400 1,920,312 * NMS Communications Corp. 44,000 257,400 * NMT Medical, Inc. 8,200 28,700 NN, Inc. 2,300 26,726 * Nobel Learning Communities, Inc. 4,900 24,010 Noble International, Ltd. 8,400 141,204 * Norstan, Inc. 18,800 58,280 * North America Galvanizing & Coatings, Inc. 1,100 1,507 * North American Scientific, Inc. 50,500 505,000 North Central Bancshares, Inc. 3,500 134,785 Northeast Pennsylvania Financial Corp. 4,100 79,950 * Northland Cranberries, Inc. 9,125 6,570 Northrim BanCorp, Inc. 12,210 278,754 * Northwest Pipe Co. 30,100 445,480 * Novadigm, Inc. 2,000 $ 7,400 * Novamed Eyecare, Inc. 5,400 12,960 * Novell, Inc. 21,280 202,160 * Novellus Systems, Inc. 30,633 1,340,500 * Novoste Corp. 53,308 267,073 * NS Group, Inc. 91,400 682,758 * Nu Horizons Electronics Corp. 94,917 761,238 * NuCo2, Inc. 17,000 213,860 * Nuevo Energy Co. 118,300 2,335,242 NUI Corp. 1,195 18,678 * Numerex Corp. Class A 11,700 45,630 * Nutraceutical International Corp. 24,400 315,980 NWH, Inc. 20,800 404,144 * NYFIX, Inc. 93,720 780,688 Nymagic, Inc. 8,000 214,640 * O'Charleys, Inc. 47,591 811,427 * OAO Technology Solutions, Inc. 54,200 169,104 * Obie Media Corp. 35,100 95,297 * Oceaneering International, Inc. 8,800 192,280 OceanFirst Financial Corp. 28,050 739,679 * Ocular Sciences, Inc. 2,100 60,123 * Ocwen Financial Corp. 270,900 1,882,755 * Odd Job Stores, Inc. 9,000 27,450 *# Officemax, Inc. 348,400 3,424,772 * Offshore Logistics, Inc. 97,700 2,466,925 * Ohio Casualty Corp. 194,800 3,313,548 * Oil States International, Inc. 9,700 121,832 Oil-Dri Corp. of America 27,600 413,724 * Old Dominion Freight Lines, Inc. 12,750 406,343 Olin Corp. 25,540 465,083 * Olympic Steel, Inc. 41,600 234,832 * OM Group, Inc. 74,800 1,810,908 * Omega Protein Corp. 32,229 201,431 Omnicare, Inc. 171,200 6,834,304 * Omnova Solutions, Inc. 54,000 197,100 * Omtool, Ltd. 514 3,691 * On Assignment, Inc. 110,300 559,221 * One Price Clothing Stores, Inc. 486 272 # Oneida, Ltd. 66,900 317,775 *# Onvia.com, Inc. 600 2,700 * Onyx Acceptance Corp. 8,400 92,568 * OPENT Technologies, Inc. 137,800 2,479,022 * Opinion Research Corp. 30,600 173,502 * Oplink Communications, Inc. 74,400 177,816 * Opti, Inc. 43,753 62,129 * Optical Communication Products, Inc. 32,318 128,302 * Option Care, Inc. 52,038 517,258 * Orbital Sciences Corp. 93,500 857,395 * Oregon Steel Mills, Inc. 133,500 396,495 * Orleans Homebuilders, Inc. 3,900 110,526 *# Orthodontic Centers of America, Inc. 151,900 1,076,971 * Orthologic Corp. 113,800 821,636 * OSI Pharmaceutical, Inc. 11,200 332,976 *# OSI Systems, Inc. 57,200 1,062,776 * Osteotech, Inc. 64,000 489,600 Outlook Group Corp. 9,200 46,000 * Overland Storage, Inc. 35,600 699,896 Overseas Shipholding Group, Inc. 99,500 2,800,925 * Owens-Illinois, Inc. 214,700 2,421,816 Oxford Industries, Inc. 12,000 819,360 * OYO Geospace Corp. 5,500 73,095
17
SHARES VALUE+ -------------- ----------------- *# Pacific Mercantile Bancorp 29,100 $ 267,720 * Pacific Premier Bancorp, Inc. 720 6,948 * Pacificare Health Systems, Inc. 136,300 8,874,493 * Pain Therapeutics, Inc. 70,900 432,490 * Palm Harbor Homes, Inc. 44,666 848,654 * Palmone Inc 72,413 1,084,023 * Palmsource Inc 22,433 574,060 * PAM Transportation Services, Inc. 20,272 396,318 * Paradyne Networks Corp. 108,600 498,474 * Parallel Petroleum Corp. 47,510 180,966 * Parexel International Corp. 12,100 223,608 Park Electrochemical Corp. 49,650 1,268,558 * Parker Drilling Co. 385,300 920,867 * Park-Ohio Holdings Corp. 44,600 326,918 Parkvale Financial Corp. 2,400 64,008 * Parlex Corp. 36,000 293,400 * Parlux Fragrances, Inc. 13,400 43,537 * Pathmark Stores, Inc. 87,938 638,430 Patina Oil & Gas Corp. 23,281 1,044,851 Patriot Bank Corp. 3,740 83,215 *# Patterson-UTI Energy, Inc. 6,400 183,872 * Paxar Corp. 29,900 393,185 *# Payless ShoeSource, Inc. 46,300 596,344 * PC Connection, Inc. 128,000 1,120,000 * PC Mall, Inc. 37,600 502,336 * PC-Tel, Inc. 143,204 1,281,676 * PDI, Inc. 57,000 1,647,300 Peabody Energy Corp. 19,300 650,410 * Pediatrix Medical Group, Inc. 45,000 2,414,700 * Peerless Manufacturing Co. 2,400 28,452 * Peerless Systems Corp. 14,200 48,280 *# Pegasus Communications Corp. 14,700 295,029 * Pegasus Solutions, Inc. 81,900 972,972 * Pegasystems, Inc. 125,340 1,002,720 * Pemstar, Inc. 152,800 574,528 Penford Corp. 7,800 112,554 *# Penn Treaty American Corp. 69,300 111,573 Penn Virginia Corp. 21,090 989,332 Penn-America Group, Inc. 23,922 349,500 Pennfed Financial Services, Inc. 15,300 493,410 # Pep Boys - Manny, Moe & Jack 205,300 4,208,650 * Perceptron, Inc. 21,250 157,250 * Performance Technologies, Inc. 43,000 580,070 * Pericom Semiconductor Corp. 77,700 910,644 * Perini Corp. 5,800 52,258 Perrigo Co. 25,600 386,304 * Perry Ellis International, Inc. 9,200 223,201 * Per-Se Technologies, Inc. 1,200 16,860 * Petrocorp, Inc. 4,900 66,346 * Petroleum Development Corp. 78,450 1,113,990 # PetSmart, Inc. 39,750 960,360 PFF Bancorp, Inc. 41,440 1,549,856 * Pharmacopeia, Inc. 132,600 1,657,500 * Pharmacyclics, Inc. 74,100 474,240 * PharmChem, Inc. 700 196 * Philadelphia Consolidated Holding Corp. 17,800 901,214 Phillips-Van Heusen Corp. 103,400 1,819,840 * Phoenix Technologies, Ltd. 89,600 780,416 * Photon Dynamics, Inc. 43,000 1,754,830 * Photronics, Inc. 15,800 291,826 * Piccadilly Cafeterias, Inc. 27,500 $ 4,950 * Pico Holdings, Inc. 62,960 945,659 Pier 1 Imports, Inc. 42,400 1,081,200 Pilgrims Pride Corp. Class B 166,000 2,481,700 * Pinnacle Entertainment, Inc. 96,100 877,393 * Pinnacle Systems, Inc. 187,400 1,562,916 * Pinnacor, Inc. 25,000 56,750 * Pioneer Natural Resources Co. 78,500 2,226,260 * Pixelworks, Inc. 56,700 748,440 * Plains Exploration & Production Co. 46,580 652,586 * Plains Resources, Inc. 66,900 1,038,288 * Planar Systems, Inc. 25,000 595,000 * PlanVista Corp. 1,000 1,900 * Plato Learning, Inc. 111,873 1,110,899 * Plexus Corp. 34,600 614,150 * PLX Technology, Inc. 94,430 887,642 # PMA Capital Corp. Class A 9,000 35,730 Pocahontas Bancorp, Inc. 9,400 132,540 * Polycom, Inc. 11,800 233,876 PolyMedica Corp. 100,600 2,607,552 * Polyone Corp. 34,600 205,870 Pomeroy IT Solutions, Inc. 74,700 1,091,367 Pope & Talbot, Inc. 55,700 754,735 Potlatch Corp. 105,200 3,392,700 * Powell Industries, Inc. 44,635 752,546 * Power-One, Inc. 212,500 1,791,375 * Powerwave Technologies, Inc. 121,200 902,940 * PRAECIS Pharmaceuticals, Inc. 262,000 1,991,200 Precision Castparts Corp. 71,900 2,913,388 Presidential Life Corp. 180,300 2,614,350 * Presstek, Inc. 129,800 1,044,890 *# PRG-Schultz International, Inc. 157,600 780,120 * Price Communications Corp. 47,791 614,114 * Pride International, Inc. 255,200 4,070,440 * Prime Hospitality Corp. 175,200 1,930,704 * Prime Medical Services, Inc. 140,200 710,814 * Primus Knowledge Solutions, Inc. 7,600 33,820 * Printronix, Inc. 14,100 232,509 *# Proassurance Corp. 92,380 2,854,542 * Procom Technology, Inc. 3,500 1,558 * Progenics Pharmaceuticals, Inc. 6,600 115,764 Programmers Paradise, Inc. 100 712 * Progressive Software Holding, Inc. 850 1 * Protection One, Inc. 48,700 21,915 *# Protein Design Labs, Inc. 23,900 331,254 Proton Energy Systems, Inc. 163,800 429,156 * Provant, Inc. 2,400 2 Providence & Worcester Railroad Co. 10,700 97,156 Provident Financial Group, Inc. 5,100 157,896 * Providian Financial Corp. 5,900 66,670 * Province Healthcare Co. 32,400 496,692 * PSS World Medical, Inc. 290,300 2,975,575 * PTEK Holdings, Inc. 164,900 1,437,928 Pulaski Financial Corp. 10,200 163,098 Pulitzer, Inc. 30,100 1,595,300 * Pure World, Inc. 5,600 12,712 Pyramid Breweries, Inc. 14,200 45,156 * QRS Corp. 24,500 249,655 Quaker Fabric Corp. 64,400 562,212 * Quality Dining, Inc. 13,800 39,882 * Quality Systems, Inc. 5,800 248,240
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SHARES VALUE+ -------------- ----------------- Quanex Corp. 42,200 $ 1,668,166 * Quanta Services, Inc. 203,400 1,556,010 * Quantum Corp.- DLT 42,600 134,616 * Quantum Fuel Systems Technologies Worldwide, Inc. 9,900 69,201 * Quicklogic Corp. 53,500 333,840 * Quidel Corp. 8,500 73,100 * Quipp, Inc. 900 11,025 * Quovadx, Inc. 110,527 538,266 * R & B, Inc. 9,400 131,600 * Radiant Systems, Inc. 2,600 18,460 * Radio One, Inc. 16,100 282,716 * Radiologix, Inc. 93,700 285,785 * RadiSys Corp. 61,900 1,138,960 * Railamerica, Inc. 153,200 1,738,820 * Rainbow Technologies, Inc. 72,100 894,040 * Ralcorp Holdings, Inc. 10,000 302,800 * Range Resources Corp. 215,000 1,698,500 Raven Industries, Inc. 24,000 664,560 * Raytech Corp. 33,940 125,578 * RC2 Corp. 38,900 827,792 * RCM Technologies, Inc. 84,800 617,344 *# RCN Corp. 19,900 20,298 * Reading International, Inc. Class A 4,720 29,453 * Reading International, Inc. Class B 1,180 6,962 *# Redhook Ale Brewery, Inc. 35,500 105,755 Regal-Beloit Corp. 32,032 661,461 * Regent Communications, Inc. 198,550 1,292,561 * Register.Com, Inc. 117,700 570,845 * Rehabcare Group, Inc. 49,000 870,240 * Reliability, Inc. 8,300 9,047 Reliance Steel & Aluminum Co. 116,426 3,432,238 * Reliant Resources, Inc. 15,900 104,304 * Remec, Inc. 161,800 1,815,396 * Remington Oil & Gas Corp. 4,500 80,325 * Rent-Way, Inc. 211,400 1,566,474 *# Reptron Electronics, Inc. 7,538 1,281 Republic Bankshares, Inc. 34,700 1,035,101 * Republic First Bancorp, Inc. 1,200 15,612 * Res-Care, Inc. 99,700 732,795 Resource America, Inc. 78,139 1,018,151 * Respironics, Inc. 6,200 282,100 * Restoration Hardware, Inc. 89,700 549,861 * Retail Ventures Inc. 115,400 623,160 * Retek, Inc. 88,800 921,744 * Rex Stores Corp. 55,175 867,903 * RF Monolithics, Inc. 47,200 413,944 Richardson Electronics, Ltd. 79,900 814,980 Riggs National Corp. 97,451 1,672,259 * Right Management Consultants, Inc. 24,975 446,303 * Rita Medical Systems, Inc. 17,700 75,225 * Riverstone Networks, Inc. 247,600 272,360 * Riviera Tool Co. 2,000 9,020 RLI Corp. 82,300 2,979,260 * RMH Teleservices, Inc. 39,900 205,884 * Roadhouse Grill, Inc. 21,850 5,463 # Roadway Corp. 6,400 326,400 Roanoke Electric Steel Corp. 14,100 136,065 Robbins & Myers, Inc. 69,100 1,524,346 * Robotic Vision Systems, Inc. 100 67 * Rochester Medical Corp. 4,400 39,380 Rock-Tenn Co. Class A 193,800 $ 3,081,420 * Rocky Shoes & Boots, Inc. 5,300 91,690 * Rofin-Sinar Technologies, Inc. 14,600 469,682 * Rogue Wave Software, Inc. 49,100 322,587 * Ross Systems, Inc. 11,500 207,115 Roto-Rooter, Inc. 6,900 253,989 * Rouge Industries, Inc. Class A 10,200 816 RPC, Inc. 20,700 208,035 RPM, Inc. 283,500 4,289,355 *# RSA Security, Inc. 225,800 3,319,260 * RTI International Metals, Inc. 107,300 1,453,915 * RTW, Inc. 43,900 283,550 * Rubio's Restaurants, Inc. 28,800 174,240 Ruddick Corp. 45,000 760,500 * Rush Enterprises, Inc. Class A 8,600 66,478 * Rush Enterprises, Inc. Class B 7,300 59,714 Russ Berrie & Co., Inc. 4,000 133,400 Russell Corp. 120,300 2,212,317 * Ryan's Family Steak Houses, Inc. 180,450 2,677,878 Ryder System, Inc. 196,500 6,128,835 Ryerson Tull, Inc. 90,000 810,900 Ryland Group, Inc. 52,600 4,847,090 * S&K Famous Brands, Inc. 3,700 66,156 * S1 Corp. 85,300 753,199 * Safeguard Scientifics, Inc. 343,100 1,173,402 * Safety Components International, Inc. 129 1,522 * Saks, Inc. 235,700 3,625,066 *# Salton, Inc. 49,700 668,962 * San Filippo (John B.) & Son, Inc. 11,200 445,760 * Sanchez Computer Associates, Inc. 28,174 122,557 Sanderson Farms, Inc. 6,100 209,718 * Sangamo BioSciences, Inc. 178,500 813,960 Saucony, Inc. Class A 4,600 78,108 Saucony, Inc. Class B 25,000 415,000 Sauer-Danfoss, Inc. 36,100 577,600 * Savient Pharmaceuticals, Inc. 79,700 393,718 * SBA Communications Corp. 76,097 263,296 * SBS Technologies, Inc. 67,700 991,805 * ScanSoft, Inc. 130,118 780,708 * Scheid Vineyards, Inc. 13,600 57,188 * Schein (Henry), Inc. 52,700 3,546,183 * Schlotzskys, Inc. 4,000 10,080 Schnitzer Steel Industries, Inc. Class A 18,800 1,017,268 * Scholastic Corp. 23,861 791,708 * Schuff International, Inc. 100 143 Schulman (A.), Inc. 92,600 1,810,330 Schweitzer-Maudoit International, Inc. 8,400 232,848 * SCM Microsystems, Inc. 24,742 205,359 SCPIE Holdings, Inc. 5,000 49,750 * SCS Transportation, Inc. 52,900 879,727 Seaboard Corp. 2,800 645,400 * Seabulk International, Inc. 9,600 84,000 * Seachange International, Inc. 36,000 541,800 * Seacor Smit, Inc. 65,250 2,488,635 * Segue Software, Inc. 6,600 16,962 * Selectica, Inc. 242,100 1,123,344 Selective Insurance Group, Inc. 67,700 2,194,157 * Semitool, Inc. 155,300 1,767,314 *# SEMX Corp. 20,400 2,040 * Sequa Corp. Class A 5,900 281,725 * Sequenom, Inc. 125,900 453,366
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SHARES VALUE+ -------------- ----------------- * SeraCare Life Sciences, Inc. 6,680 $ 73,480 * Serologicals Corp. 158,600 2,735,850 * Service Corp. International 483,100 2,391,345 * SFBC International, Inc. 3,000 77,250 * Sharper Image Corp. 57,600 1,821,312 * Shaw Group, Inc. 101,500 1,321,530 * Shiloh Industries, Inc. 65,600 296,184 * Shoe Carnival, Inc. 39,400 712,352 * Shoe Pavilion, Inc. 6,600 8,415 * Shopko Stores, Inc. 107,900 1,796,535 * Sierra Health Services, Inc. 22,100 605,540 * Sifco Industries, Inc. 600 2,100 * Silicon Storage Technology, Inc. 9,700 131,629 *# Silicon Valley Bancshares 12,100 444,433 * Simon Worldwide, Inc. 9,800 760 * SimpleTech, Inc. 700 4,703 * Sinclair Broadcast Group, Inc. Class A 239,700 2,749,359 * Sipex Corp. 142,400 1,338,560 * Sirenza Microdevices, Inc. 725 4,227 * Sitel Corp. 155,800 366,130 * Six Flags, Inc. 49,700 335,475 * Skechers U.S.A., Inc. Class A 55,100 409,393 Sky Financial Group, Inc. 7,365 184,641 Skyline Corp. 18,000 577,800 * Skyworks Solutions, Inc. 26,200 230,298 * Smart & Final Food, Inc. 10,800 98,604 * SmartDisk Corp. 12,600 4,095 * Smith & Wollensky Restaurant Group, Inc. 56,900 332,296 Smith (A.O.) Corp. 39,500 1,388,030 * Sola International, Inc. 94,800 1,858,080 Sonic Automotive, Inc. 100,700 2,260,715 * Sonic Foundry, Inc. 1,900 4,180 * Sonic Innovations, Inc. 31,494 192,113 * SonicWALL, Inc. 191,100 1,526,889 * SonoSite, Inc. 1,100 23,232 Sound Federal Bancorp, Inc. 45,306 763,406 * SoundView Technology Group, Inc. 50,560 780,646 * Source Information Management, Inc. 82,600 800,394 * Sourcecorp, Inc. 47,600 1,164,296 South Jersey Industries, Inc. 22,200 874,680 * Southern Energy Homes, Inc. 15,300 40,545 * Southern Union Co. 79,049 1,445,016 * Southwall Technologies, Inc. 20,400 17,748 * Southwestern Energy Co. 105,000 2,143,050 * Spanish Broadcasting System, Inc. 246,700 2,479,335 Spartan Motors, Inc. 18,900 179,550 * Spartan Stores, Inc. 70,800 346,920 * Specialty Laboratories, Inc. 77,600 1,295,920 * Spectrum Control, Inc. 65,400 465,713 * Spherion Corp. 207,600 1,855,944 * Spiegel, Inc. Class A Non-Voting 38,100 3,334 * Spinnaker Exploration Co. 21,100 555,774 * Sport-Haley, Inc. 7,000 28,840 * Sports Club Co., Inc. 2,000 4,000 * SportsLine.Com, Inc. 44,480 48,483 * SPS Technologies, Inc. 42,000 2,056,320 *# SR Telecom, Inc. 4,635 26,420 * SRI/Surgical Express, Inc. 8,900 58,963 SS&C Technologies, Inc. 49,400 1,457,300 *# SSE Telecom, Inc. 1,500 $ 4 St. Francis Capital Corp. 7,500 261,075 St. Mary Land & Exploration Co. 12,800 328,960 * Staar Surgical Co. 53,857 591,942 * Stamps.com, Inc. 136,849 855,306 Standard Commercial Corp. 26,400 550,440 * Standard Management Corp. 19,400 63,438 * Standard Microsystems Corp. 53,400 1,431,120 Standard Motor Products, Inc. Class A 32,800 329,640 Standard Pacific Corp. 116,700 5,826,831 Standard Register Co. 67,900 1,078,252 Standex International Corp. 2,800 76,356 Stanley Furniture, Inc. 3,000 95,730 State Auto Financial Corp. 56,700 1,473,633 State Financial Services Corp. Class A 14,100 374,355 Staten Island Bancorp, Inc. 153,000 3,519,000 *# Steel Dynamics, Inc. 187,100 3,745,742 Steel Technologies, Inc. 36,200 557,480 * Stein Mart, Inc. 107,751 960,061 * Steinway Musical Instruments, Inc. 25,000 597,500 * Stellent, Inc. 219,200 2,163,504 Stepan Co. 10,600 265,636 Sterling Bancorp 5,081 148,924 * Sterling Financial Corp. 57,084 1,918,593 Stewart & Stevenson Services, Inc. 79,500 1,116,180 * Stewart Enterprises, Inc. 370,840 1,731,823 * Stewart Information Services Corp. 47,700 1,842,651 * Stifel Financial Corp. 5,410 92,727 * Stillwater Mining Co. 39,900 335,958 * Stone Energy Corp. 21,552 805,183 * Stonepath Group, Inc. 8,500 22,440 * Stoneridge, Inc. 162,300 2,166,705 * Stratasys, Inc. 3,800 171,000 Strategic Distribution, Inc. 3,490 52,385 * Stratex Networks, Inc. 3,000 10,680 * Stratos International, Inc. 31,689 237,351 * Stratus Properties, Inc. 13,650 144,417 Stride Rite Corp. 148,711 1,720,586 * Suburban Lodges of America, Inc. Escrow Shares 29,300 0 * Summa Industries, Inc. 15,600 137,280 * Summit America Television, Inc. 30,600 110,160 *# Sunrise Senior Living, Inc. 74,500 2,571,740 Sunrise Telecom, Inc. 17,600 68,640 * Suntron Corp. 3,925 16,171 *# Supergen, Inc. 22,200 234,654 * Superior Consultant Holdings Corp. 50,200 238,952 Superior Uniform Group, Inc. 2,800 45,752 Supreme Industries, Inc. 7,920 46,134 Susquehanna Bancshares, Inc. 4,600 122,452 * Swift Energy Corp. 138,500 1,965,315 * Swift Transportation, Inc. 41,140 819,509 *# Switchboard, Inc. 76,400 511,880 SWS Group, Inc. 75,300 1,416,393 * Sycamore Networks, Inc. 351,300 1,868,916 * Sykes Enterprises, Inc. 126,100 1,152,554 * Sylvan Learning Systems, Inc. 137,200 4,441,164 * Sylvan, Inc. 6,200 74,927 * Symmetricom, Inc. 315,926 2,222,223 * Syms Corp. 120,700 837,658
20
SHARES VALUE+ -------------- ----------------- * Synalloy Corp. 7,400 $ 50,690 * Synovis Life Technologies, Inc. 9,500 244,245 Sypris Solutions, Inc. 29,923 408,449 * Systemax, Inc. 10,600 76,850 * Systems & Computer Technology Corp. 101,436 1,551,971 * T-3 Energy Services, Inc. 620 3,584 TALX Corp. 10,000 262,000 Tandy Brand Accessories, Inc. 1,000 15,000 Tasty Baking Co. 10,200 86,190 TB Woods Corp. 36,700 289,930 * TBC Corp. 72,700 2,154,101 * TEAM America, Inc. 500 5 * Team, Inc. 4,300 43,000 * TeamStaff, Inc. 73,900 163,319 * Technical Olympic USA, Inc. 17,900 482,584 * Technitrol, Inc. 13,100 311,649 * TechTeam Global, Inc. 87,500 590,625 Tecumseh Products Co. Class A 33,500 1,378,860 Tecumseh Products Co. Class B 6,900 276,000 * Teletech Holdings, Inc. 125,200 1,258,260 * Telular Corp. 45,500 333,970 * Tenneco Automotive, Inc. 73,600 408,480 * Terayon Communication Systems, Inc. 144,132 861,909 * Terex Corp. 251,800 6,493,922 * Terra Industries, Inc. 442,500 1,429,275 * Tesoro Petroleum Corp. 128,000 1,623,040 * Tessco Technologies, Inc. 4,200 64,302 *# Tetra Tech, Inc. 4,000 102,000 * Tetra Technologies, Inc. 69,300 1,552,320 Texas Industries, Inc. 79,500 2,322,195 TF Financial Corp. 1,100 37,807 * The Banc Corp. 74,400 648,768 The Brink's Co. 48,852 1,084,514 * The Dress Barn, Inc. 85,400 1,250,256 The Marcus Corp. 112,700 1,684,865 # The Phoenix Companies, Inc. 313,300 3,524,625 * The Rowe Companies 13,000 38,415 * The Sports Authority, Inc. 53,593 2,331,296 * Theragenics Corp. 123,200 604,912 * TheStreet.com, Inc. 87,200 398,504 * Third Wave Technologies 139,700 600,710 # Thomas & Betts Corp. 215,300 4,478,240 Thomas Industries, Inc. 28,400 895,168 * Thoratec Corp. 181,200 2,553,108 * THQ, Inc. 19,400 312,146 * Three-Five Systems, Inc. 124,800 665,184 * TIBCO Software, Inc. 234,520 1,371,942 * Tier Technologies, Inc. Class B 58,700 458,447 * TII Network Technologies, Inc. 5,200 13,260 Timberland Bancorp, Inc. 8,400 204,204 * Timco Aviation Services, Inc. 2,358 1,061 * Time Warner Telecom, Inc. 110,500 1,165,775 Timken Co. 198,100 3,393,453 *# Titan Pharmaceuticals, Inc. 97,100 268,967 * Titanium Metals Corp. 10,510 499,225 Todd Shipyards Corp. 25,250 455,763 *# Toll Brothers, Inc. 85,100 3,523,991 * Tollgrade Communications, Inc. 31,700 548,727 * Torch Offshore, Inc. 96,400 503,208 Toro Co. 4,400 $ 217,976 * Total Entertainment Restaurant Corp. 4,700 56,917 * Tower Automotive, Inc. 226,800 1,031,940 Traffix, Inc. 105,000 525,000 * Trailer Bridge, Inc. 12,300 73,923 * Trammell Crow Co. 187,900 2,527,255 * Trans World Entertainment Corp. 274,400 1,940,008 * Transact Technologies, Inc. 5,500 128,425 * Transcat, Inc. 7,000 23,380 * Transgenomic, Inc. 78,200 143,106 * Transkaryotic Therapies, Inc. 89,240 1,159,228 * Transmontaigne Oil Co. 115,200 692,352 * Transport Corp. of America 2,000 14,100 * Transpro, Inc. 47,200 159,536 * Transtechnology Corp. 700 4,893 *# TRC Companies, Inc. 41,300 834,673 Tredegar Industries, Inc. 191,600 2,950,640 * Triad Guaranty, Inc. 9,100 424,515 * Triad Hospitals, Inc. 18,000 622,800 Triarc Companies, Inc. Class A 53,400 597,546 * Trico Marine Services, Inc. 80,400 102,912 * Trident Microsystems, Inc. 54,100 1,423,912 Trinity Industries, Inc. 174,600 4,530,870 * TriPath Imaging, Inc. 82,100 748,752 * Tripos, Inc. 10,300 71,173 * Triquint Semiconductor, Inc. 90,500 731,240 * Triumph Group 39,900 1,300,341 * TriZetto Group, Inc. 132,900 857,205 * Tropical Sportswear International Corp. 21,900 91,761 * Trover Solutions, Inc. 29,200 202,210 * Trump Hotels & Casino Resorts, Inc. 28,100 44,398 * TTM Technologies, Inc. 152,000 2,568,800 * Turnstone Systems, Inc. 230,900 667,301 * Tweeter Home Entertainment Group, Inc. 77,217 645,534 Twin Disc, Inc. 3,500 62,843 * Tyler Technologies, Inc. 86,000 722,400 * U.S. Concrete, Inc. 129,800 765,690 * U.S. Home & Garden, Inc. 3,000 1,650 * U.S. Xpress Enterprises, Inc. Class A 17,100 228,285 * Ubics, Inc. 2,400 372 * UICI 193,600 2,673,616 * Ulticom, Inc. 132,600 1,434,732 * Ultimate Electronics, Inc. 73,600 607,200 * Ultratech Stepper, Inc. 63,600 1,927,080 UMB Financial Corp. 61,953 3,022,687 * Unico American Corp. 9,400 49,679 * Unifi, Inc. 284,300 1,458,459 Unifirst Corp. 43,000 998,890 * Uniroyal Technology Corp. 9,900 1 * Unit Corp. 123,000 2,533,800 United Auto Group, Inc. 101,200 2,499,640 United Community Financial Corp. 90,700 1,017,654 United Fire & Casualty Co. 4,600 184,000 United Industrial Corp. 98,700 1,682,835 * United Natural Foods, Inc. 12,600 483,714 * United Rentals, Inc. 265,600 4,918,912 * United Retail Group, Inc. 11,842 37,894 * United Road Services, Inc. 600 102 # United States Steel Corp. 176,600 4,388,510
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SHARES VALUE+ -------------- ----------------- * United Stationers, Inc. 16,900 $ 681,915 * United Therapeutics Corp. 67,200 1,264,704 Unity Bancorp, Inc. 11,130 132,002 * Universal Access Global Holdings, Inc. 35 140 * Universal American Financial Corp. 264,200 2,750,322 * Universal Compression Holdings, Inc. 19,700 461,965 Universal Forest Products, Inc. 107,628 3,276,196 * Universal Stainless & Alloy Products, Inc. 28,700 241,941 Unizan Financial Corp. 5,300 113,950 * Unova, Inc. 277,800 6,644,976 * Urologix, Inc. 92,600 524,116 * URS Corp. 67,300 1,534,440 * US Energy Corp. 4,600 12,558 * US Oncology, Inc. 393,651 4,007,367 * USA Truck, Inc. 14,500 156,310 Usec, Inc. 242,800 1,828,284 USF Corp. 97,900 3,233,637 * Vail Resorts, Inc. 114,500 1,743,835 # Valeant Pharmaceuticals International 46,300 1,107,033 * ValueClick, Inc. 203,400 1,698,390 * Valuevision Media, Inc. Class A 11,200 173,600 * Vans, Inc. 83,170 1,064,576 * Varco International, Inc. 4,500 83,205 * Variflex, Inc. 4,800 29,808 * Vastera, Inc. 212,300 827,970 * Veeco Instruments, Inc. 71,400 2,106,300 *# Venturi Partners, Inc. 316 3,796 * Veritas DGC, Inc. 95,300 858,653 * Verity, Inc. 21,800 313,048 * Verso Technologies, Inc. 13,886 53,461 * Verticalbuyer Inc. 1,212 14 Vesta Insurance Group, Inc. 72,800 256,256 * Vestin Group, Inc. 4,400 8,800 * Viasat, Inc. 70,000 1,488,900 * Vical, Inc. 85,700 430,214 * Vicon Industries, Inc. 11,200 46,368 * Vicor Corp. 105,300 1,210,950 * Viisage Technology, Inc. 7,600 29,260 Vintage Petroleum, Inc. 412,100 4,289,961 Visteon Corp. 47,500 372,875 * Visual Networks, Inc. 3,400 5,644 * Vitesse Semiconductor, Inc. 56,900 415,370 * Vitria Technology, Inc. 29,940 170,059 * Vl Dissolution Corp 4,834 3,577 * Volt Information Sciences, Inc. 137,600 2,807,040 Vulcan International Corp. 400 16,580 * Vyyo, Inc. 49,500 347,490 * W-H Energy Services, Inc. 400 5,960 * Wackenhut Corrections Corp. 20,200 437,330 Walter Industries, Inc. 188,760 2,310,422 Washington Savings Bank FSB 2,400 23,160 * Waste Connections, Inc. 32,400 1,198,800 Waste Industries USA, Inc. 91,000 832,195 * WatchGuard Technologoes, Inc. 159,100 988,011 * Water Pik Technologies, Inc. 34,900 443,230 Watsco, Inc. Class A 122,600 2,849,224 Watts Water Technologies, Inc. 75,100 1,539,550 Wausau-Mosinee Paper Corp. 116,200 1,429,260 Waypoint Financial Corp. 45,497 976,821 * WCI Communities, Inc. 22,300 450,014 * Weider Nutrition International, Inc. 13,800 $ 65,688 Weis Markets, Inc. 4,100 145,550 Wellman, Inc. 280,300 2,438,610 * Wellpoint Health Networks, Inc. 7,743 723,893 Werner Enterprises, Inc. 168,707 3,062,032 Wesbanco, Inc. 5,400 150,228 * WESCO International, Inc. 33,900 303,405 * West Marine, Inc. 74,500 1,878,145 West Pharmaceutical Services, Inc. 4,400 149,600 * Westaff, Inc. 11,100 22,755 Westbank Corp. 2,940 54,096 * Westcoast Hospitality Corp. 23,500 115,150 Westcorp, Inc. 52,040 1,948,898 Western Ohio Financial Corp. 600 19,302 * Western Water Co. 1,100 154 * Westport Resources Corp. 7,132 193,277 Westwood Holdings Group, Inc. 9,775 167,006 * Wet Seal, Inc. Class A 76,025 780,777 * WFS Financial, Inc. 25,500 1,063,350 * Whitehall Jewelers, Inc. 59,800 634,478 *# WHX Corp. 1,700 3,842 * Wild Oats Markets, Inc. 95,100 1,078,434 * William Lyon Homes, Inc. 82,800 5,373,720 * Willis Lease Finance Corp. 24,800 167,400 Willow Grove Bancorp, Inc. 13,663 230,905 * Wilshire Oil Co. of Texas 11,000 71,060 * Wilsons The Leather Experts, Inc. 94,600 587,466 * Wind River Systems, Inc. 203,154 1,322,533 Winn-Dixie Stores, Inc. 43,000 388,290 Wintrust Financial Corp. 9,100 407,589 * Wireless Facilities, Inc. 116,200 1,688,386 Wireless Telecom Group, Inc. 400 1,176 * Wiser Oil Co. 43,300 305,265 * Witness Systems, Inc. 77,389 695,727 * WMS Industries, Inc. 28,200 752,940 * Wolverine Tube, Inc. 88,300 464,458 Wolverine World Wide, Inc. 8,500 176,715 Woodward Governor Co. 17,089 852,399 * Workflow Management, Inc. 60,800 301,568 * World Acceptance Corp. 50,700 979,524 World Fuel Services Corp. 28,400 850,012 * WorldQuest Networks, Inc. 4,800 15,360 * Worldwide Restaurant Concepts, Inc. 117,200 342,224 Worthington Industries, Inc. 281,700 4,033,944 * Xanser Corp. 154,700 361,998 * Xeta Corp. 38,100 232,410 * XM Satellite Radio Holdings, Inc. 125,400 3,128,730 Yardville National Bancorp 8,600 196,940 *# Yellow Corp. 105,800 3,234,306 York International Corp. 57,000 2,277,150 * Zapata Corp. 1,170 61,718 Zenith National Insurance Corp. 14,400 470,160 *# Zoltek Companies, Inc. 115,200 501,120 * Zomax, Inc. 149,900 806,462 * Zonagen, Inc. 12,800 24,192 * Zones, Inc. 5,350 6,688 * Zoran Corp. 60,933 1,118,730 * Zygo Corp. 80,100 1,302,426 ----------------- TOTAL COMMON STOCKS (Cost $1,000,004,875) 1,561,628,670 -----------------
22
SHARES VALUE+ -------------- ----------------- RIGHTS/WARRANTS -- (0.0%) *# Angeion Corp. Warrants 10/31/07 6 $ 0 * Chart Industries, Inc. Warrants 09/15/10 25 104 * Chiquita Brands International, Inc. Warrants 03/19/09 11,137 70,163 * Del Global Technologies Corp. Warrants 03/28/08 131 59 * Forcenergy, Inc. Warrants 02/15/04 191 759 * Forcenergy, Inc. Warrants 02/15/05 191 387 * Lodgian, Inc. Class A Warrants 11/25/07 118 36 * Lodgian, Inc. Class B Warrants 11/25/09 363 114 * Magnum Hunter Resources Warrants 03/21/05 4,020 1,568 * Orbital Science Corp. Warrants 08/31/04 1,006 4,728 * Timco Aviation Services Warrants 02/27/07 5,332 1 ----------------- TOTAL RIGHTS/WARRANTS (Cost $303,793) 77,919 ----------------- FACE AMOUNT -------------- (000) BONDS -- (0.0%) * Del Global Technologies Corp. Subordinated Promissory Note 6.000%, 03/28/07 $ 1 0 * Timco Aviation Services, Inc. Jr Subordinated Note 8.000%, 01/02/07 2 0 ----------------- TOTAL BONDS (Cost $0) 0 ----------------- TEMPORARY CASH INVESTMENTS -- (8.6%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $23,401,000 FMC Discount Notes 1.11%, 03/25/04, valued at $23,313,246) to be repurchased at $22,969,569 (Cost $22,968,000) 22,968 22,968,000 Repurchase agreements in a Pooled Cash Account, UBS Warburg and Deutsche Bank Securities Inc., 1.01% and 1.02% respectively, 12/01/03 (Collateralized by $99,103,000 U.S. Treasury Obligations, rates ranging from 5.50% to 8.875%, maturities ranging from 08/15/04 to 05/15/30, valued at $122,607,767) to be repurchased at $119,476,642 (Cost $119,466,532)^ 119,467 119,466,532 ----------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $142,434,532) 142,434,532 ----------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,142,743,200)++ $ 1,704,141,121 =================
---------- + See Note B to Financial Statements. ++ The cost for federal income tax purposes is $1,144,163,557. * 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. 23 TAX-MANAGED U.S. SMALL CAP PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ -------------- ----------------- COMMON STOCKS -- (89.5%) * 1-800 CONTACTS, Inc. 4,500 $ 95,175 * 1-800-FLOWERS.COM, Inc. 2,600 30,446 1st Source Corp. 15,779 354,239 1st State Bancorp, Inc. 1,400 39,235 * 3-D Systems Corp. 6,800 61,880 * 4Kids Entertainment, Inc. 12,300 330,255 * 7-Eleven, Inc. 73,300 1,202,120 * 99 Cents Only Stores 2,666 73,875 * @Road, Inc. 48,000 604,320 * A. B. Watley Group, Inc. 200 46 * A.C. Moore Arts & Crafts, Inc. 15,200 333,944 *# aaiPharma, Inc. 11,800 214,524 * AAON, Inc. 6,600 124,344 * AAR Corp. 36,100 377,606 Aaron Rents, Inc. Class A 2,850 56,601 * Abaxis, Inc. 10,600 214,544 ABC Bancorp 840 14,129 * Abgenix, Inc. 56,200 633,374 Abington Bancorp, Inc. 100 3,816 *# Abiomed, Inc. 26,200 193,592 ABM Industries, Inc. 11,900 188,615 * ABX Air, Inc. 24,000 94,800 * Acacia Research-Acacia Technologies Common Stock 16,590 91,245 * Acacia Research-CombiMatrix Corp. 9,260 37,318 * Access Pharmaceuticals, Inc. 5,500 26,125 *# Acclaim Entertainment, Inc. 5,700 3,705 * Accredo Health, Inc. 18,844 586,048 * Ace Cash Express, Inc. 5,000 96,445 Aceto Corp. 4,101 79,145 * Aclara Biosciences, Inc. 40,728 130,330 * Acme Communications, Inc. 21,500 182,750 * Acme United Corp. 1,100 5,775 * ACT Manufacturing, Inc. 1,950 39 * ACT Teleconferencing, Inc. 12,478 20,589 * Actel Corp. 11,500 315,215 * Acterna Corp. 1,400 35 Action Performance Companies, Inc. 9,800 190,316 * ActivCard Corp. 43,889 381,395 * Active Power, Inc. 37,330 125,429 * Activision, Inc. 62,000 948,600 * Actuant Corp. 9,520 295,596 * Actuate Corp. 30,200 95,130 * Acxiom Corp. 49,900 828,839 * Adaptec, Inc. 86,286 760,180 * ADE Corp. 1,000 25,150 * Adept Technology, Inc. 3,400 6,120 * Administaff, Inc. 24,900 372,504 * Adolor Corp. 28,500 562,305 Adtran, Inc. 16,400 1,079,448 * Advance Auto Parts Inc. 77 6,285 * Advance PCS 12,400 690,184 * Advanced Digital Information Corp. 38,500 584,045 *# Advanced Energy Industries, Inc. 29,600 781,440 * Advanced Fibre Communications, Inc. 4,600 102,810 *# Advanced Magnetics, Inc. 3,000 $ 42,750 Advanced Marketing Services, Inc. 15,080 175,682 * Advanced Neuromodulation Systems, Inc. 7,350 310,096 * Advanced Power Technology, Inc. 13,400 110,014 Advanta Corp. Class A 4,500 56,475 Advanta Corp. Class B Non-Voting 11,500 147,660 * Advent Software, Inc. 23,200 406,232 Advo, Inc. 9,750 294,547 * Aehr Test Systems 2,900 11,220 * AEP Industries, Inc. 10,400 75,192 * Aeroflex, Inc. 54,903 696,719 *# Aerosonic Corp. 900 10,215 * Aether Systems, Inc. 51,900 257,943 * AFC Enterprises, Inc. 8,000 138,000 * Affiliated Managers Group, Inc. 11,000 731,500 * Affinity Technology Group, Inc. 2,400 211 * Aftermarket Technology Corp. 26,192 348,616 * AG Services America, Inc. 1,600 13,520 * Agco Corp. 41,169 708,107 * Agile Software Corp. 40,600 446,194 Agilysys, Inc. 20,800 234,208 * Air Methods Corp. 12,600 114,030 Airgas, Inc. 64,000 1,240,320 * Airnet Systems, Inc. 1,800 6,282 * Airspan Networks, Inc. 18,300 44,103 * Airtran Holdings, Inc. 48,300 712,908 * AK Steel Holding Corp. 121,600 364,800 * Akorn, Inc. 10,700 19,795 *# Aksys, Ltd. 8,900 64,436 Alabama National Bancorporation 3,400 183,600 Alamo Group, Inc. 6,000 88,380 * Alaris Medical, Inc. 22,200 353,202 * Alaska Air Group, Inc. 21,300 612,588 * Alaska Communications Systems Group, Inc. 4,450 22,201 Albany International Corp. Class A 23,464 727,619 * Albany Molecular Research, Inc. 29,100 410,310 Albemarle Corp. 13,200 373,560 * Alcide Corp. 1,600 24,736 * Alderwoods Group, Inc. 4,600 40,756 Alexander & Baldwin, Inc. 7,700 242,242 * Alexion Pharmaceuticals, Inc. 16,700 313,125 Alfa Corp. 50,748 643,992 Alico, Inc. 700 24,430 * Align Technology, Inc. 43,400 781,634 * Alkermes, Inc. 4,900 64,092 * Allegheny Energy, Inc. 91,300 981,475 Allegheny Technologies, Inc. 14,879 122,008 Allegiant Bancorp, Inc. 10,700 300,135 Allen Organ Co. Class B 700 33,425 * Alliance Gaming Corp. 21,900 573,780 * Alliance Imaging, Inc. 53,000 204,050 * Alliance Semiconductor Corp. 39,300 324,618 * Alliant Techsystems, Inc. 8,100 413,343 * Allied Defense Group, Inc. 6,400 134,592 * Allied Healthcare International, Inc. 2,800 15,568 * Allied Healthcare Products, Inc. 1,000 4,060
24
SHARES VALUE+ -------------- ----------------- * Allied Holdings, Inc. 300 $ 1,377 * Allmerica Financial Corp. 13,800 377,430 *# Allos Therapeutics, Inc. 30,800 84,392 * Allou Health Care, Inc. Class A 2,800 143 * Alloy, Inc. 32,313 173,844 * Allscripts Healthcare Solutions, Inc. 49,388 268,177 Alpharma, Inc. Class A 13,000 261,950 Alpine Group, Inc. 1,580 1,509 * Alteon, Inc. 13,800 23,322 *# Alterra Healthcare Corp. 1,500 0 Ambassadors Group, Inc. 4,500 96,210 Ambassadors, Inc. 11,000 143,880 * AMC Entertainment, Inc. 33,000 499,950 * Amcast Industrial Corp. 500 1,175 Amcol International Corp. 14,000 200,480 Amcore Financial, Inc. 15,900 433,275 *# Amerco, Inc. 24,978 681,400 * America Services Group, Inc. 2,600 86,060 *# America West Holdings Corp. Class B 38,600 582,860 * American Axle & Manufacturing Holdings, Inc. 9,500 376,485 * American Dental Partners, Inc. 2,900 30,450 *# American Eagle Outfitters, Inc. 47,100 868,995 * American Ecology Corp. 2,700 12,528 *# American Greetings Corp. Class A 39,500 834,240 * American Healthways, Inc. 7,350 340,452 American Home Mortgage Holdings, Inc. 10,400 233,376 * American Independence Corp. 5,333 57,810 * American Italian Pasta Co. 12,700 482,600 * American Locker Group, Inc. 1,000 12,150 * American Management Systems, Inc. 33,800 503,958 * American Medical Security Group, Inc. 14,800 332,852 * American Medical Systems Holdings, Inc. 28,300 643,259 * American Pacific Corp. 2,900 27,405 * American Physicians Capital, Inc. 9,800 161,700 * American Physicians Services Group, Inc. 500 4,125 * American Retirement Corp. 1,200 3,720 * American Science & Engineering, Inc. 7,500 97,125 American Software, Inc. Class A 17,693 108,812 American States Water Co. 5,800 140,766 * American Superconductor Corp. 20,759 219,215 * American Technical Ceramics Corp. 4,600 32,660 *# American Tower Corp. 64,900 738,562 American Vanguard Corp. 879 28,128 * American West Bancorporation 3,569 79,946 American Woodmark Corp. 6,500 338,000 Americana Bancorp, Inc. 400 6,128 * America's Car-Mart, Inc. 7,000 205,520 *# Americredit Corp. 110,300 1,483,535 * AMERIGROUP Corp. 11,600 509,356 AmeriServe Financial, Inc. 15,600 78,000 * Ameristar Casinos, Inc. 3,000 69,780 * Ameritrade Holding Corp. 4,000 50,280 Ameron International Corp. 2,000 66,000 # AmerUs Group Co. 5,800 208,510 Ametek, Inc. 12,600 $ 595,980 * Amkor Technology, Inc. 82,200 1,604,544 * AMN Healthcare Services, Inc. 26,600 451,668 Ampco-Pittsburgh Corp. 900 9,648 Amrep Corp. 1,900 29,450 * Amsurg Corp. 9,300 346,053 * Amtech Systems, Inc. 1,200 8,340 * AMX Corp. 4,800 32,640 *# Amylin Pharmaceuticals, Inc. 22,700 594,059 * Anacomp, Inc. 0 12 * Anadigics, Inc. 33,500 224,450 * Analex Corp. 13,100 44,409 Analogic Corp. 8,800 369,600 * Analysts International Corp. 25,700 79,670 * Anaren, Inc. 25,000 374,250 Anchor Bancorp Wisconsin, Inc. 8,750 219,537 * Andersen Group, Inc. 1,000 5,300 Andersons, Inc. 900 15,111 *# Andrew Corp. 105,817 1,245,466 * Angeion Corp. 25 53 * Angelo & Maxie's, Inc. 316 697 * Angiotech Pharmaceuticals, Inc. 2,314 114,011 * Anixter International, Inc. 28,900 666,145 * Ann Taylor Stores Corp. 27,450 1,090,863 * Ansoft Corp. 11,400 142,158 * AnswerThink, Inc. 50,000 299,500 * Ansys, Inc. 9,000 347,310 * Anthony and Sylvan Pools Corp. 573 2,550 *# Antigenics, Inc. 16,835 207,744 * AP Pharma, Inc. 12,350 26,194 * APAC Teleservices, Inc. 58,600 164,666 *# Aphton Corp. 15,300 94,095 Apogee Enterprises, Inc. 15,900 188,097 Applebees International, Inc. 28,450 1,101,299 * Applera Corp. - Celera Genomics Group 502 6,812 Applica, Inc. 29,500 215,350 * Applied Extrusion Technologies, Inc. 9,501 23,657 * Applied Films Corp. 11,205 371,894 * Applied Imaging Corp. 1,200 1,680 Applied Industrial Technologies, Inc. 11,900 282,030 * Applied Innovation, Inc. 8,500 55,335 * Applied Molecular Evolution, Inc. 23,178 411,178 Applied Signal Technologies, Inc. 9,500 207,100 * Applix, Inc. 3,800 13,832 * Apria Healthcare Group, Inc. 14,300 387,673 * Apropos Technology, Inc. 13,100 52,400 Aptargroup, Inc. 13,200 460,812 * aQuantive, Inc. 47,600 492,660 * Aquila, Inc. 164,200 587,836 *# Arch Capital Group, Ltd. 5,000 184,800 Arch Chemicals, Inc. 4,740 108,499 # Arch Coal, Inc. 22,800 603,972 Arctic Cat, Inc. 8,600 204,422 * Arena Pharmaceuticals, Inc. 31,700 218,413 * Argonaut Group, Inc. 21,483 343,728 * Argosy Gaming Corp. 20,600 522,004 * Ariad Pharmaceuticals, Inc. 25,500 210,375 * Ariba, Inc. 39,700 125,452
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SHARES VALUE+ -------------- ----------------- * Ark Restaurants Corp. 700 $ 8,890 Arkansas Best Corp. 14,800 464,424 * Arlington Hospitality, Inc. 1,000 3,810 * Armor Holdings, Inc. 28,100 681,425 *# Arotech Corp 3,700 9,509 * Arqule, Inc. 29,800 146,616 * Array BioPharma, Inc. 28,500 149,625 Arrhythmia Research Technology, Inc. 500 6,950 * Arris Group, Inc. 76,700 494,715 Arrow Financial Corp. 2,067 57,359 Arrow International, Inc. 18,400 494,960 * Art Technology Group, Inc. 2,300 3,910 Artesian Resources Corp. Class A 600 15,750 * Artesyn Technologies, Inc. 53,000 418,170 * Arthrocare Corp. 14,200 349,320 * Artisan Components, Inc. 17,300 357,574 * ARTISTdirect, Inc. 400 112 Arvinmeritor, Inc. 11,500 228,505 ASB Financial Corp. 200 4,700 * Asbury Automotive Group, Inc. 17,500 292,250 * Ascential Software Corp. 37,575 950,647 * Ashworth, Inc. 16,600 135,290 * Ask Jeeves, Inc. 10,600 204,792 * Aspect Communications Corp. 31,200 459,264 * Aspect Medical Systems, Inc. 21,200 201,612 * Aspen Technology, Inc. 49,400 379,886 ASTA Funding, Inc. 2,400 75,840 * Astea International, Inc. 100 255 * Astec Industries, Inc. 21,400 282,266 Astro-Med, Inc. 800 12,936 * Astronics Corp. 2,700 13,351 * Astronics Corp. Class B 337 1,769 *# AstroPower, Inc. 7,600 5,472 * ASV, Inc. 5,300 150,096 * Asyst Technologies, Inc. 22,600 412,450 * Atari, Inc. 32,375 132,737 * AtheroGenics, Inc. 19,600 280,280 * Atlantic American Corp. 5,300 14,045 * Atlantic Coast Airlines, Inc. 50,300 549,779 * Atlantic Premium Brands, Ltd. 2,500 4,500 * Atlantis Plastics, Inc. 1,600 17,472 * ATMI, Inc. 16,400 377,200 Atmos Energy Corp. 9,500 234,175 * ATP Oil & Gas Corp. 26,100 132,066 Atrion Corp. 600 28,800 * Atrix Labs, Inc. 7,600 153,976 * Atwood Oceanics, Inc. 15,289 392,774 * Audiovox Corp. Class A 23,166 321,312 * August Technology Corp. 10,900 218,000 * Ault, Inc. 100 270 * Aurora Foods, Inc. 4,054 65 *# Authentidate Holding Corp. 16,900 214,968 * autobytel.com, Inc. 30,200 291,732 * Avalon Holding Corp. Class A 500 1,302 * Avanex Corp. 40,500 191,970 * Avant Immunotherapeutics, Inc. 22,500 59,175 * Avatar Holdings, Inc. 2,300 77,855 * Avatech Solutions, Inc 135 34 * Avi Biopharma, Inc. 20,000 98,000 * Aviall, Inc. 32,100 513,600 * Avici Systems Inc. 14,630 $ 125,818 *# Avid Technology, Inc. 17,800 941,264 * Avigen, Inc. 22,900 148,850 Avista Corp. 8,900 156,996 * Avnet, Inc. 766 16,339 * Avocent Corp. 25,790 987,499 *# Avteam, Inc. Class A 2,400 3 * Aware, Inc. 28,900 96,237 * Axcelis Technologies, Inc. 65,700 753,579 * Axsys Technologies, Inc. 800 11,128 * AXT, Inc. 23,348 79,850 * Aztar Corp. 17,500 389,375 * AZZ, Inc. 3,600 43,848 * Badger Paper Mills, Inc. 300 1,383 Bairnco Corp. 2,000 13,340 * Baker (Michael) Corp. 3,900 41,340 Balchem Corp. 1,800 41,220 Baldor Electric Co. 6,800 147,560 Baldwin & Lyons, Inc. Class A 250 5,842 Baldwin & Lyons, Inc. Class B 1,375 34,347 * Ballantyne Omaha, Inc. 2,800 5,880 * Bally Total Fitness Holding Corp. 38,200 267,400 * Bancinsurance Corp. 2,600 17,082 BancorpSouth, Inc. 22,250 542,900 Bandag, Inc. 1,700 69,275 Bank of Granite Corp. 8,525 204,088 BankAtlantic Bancorp, Inc. Class A 150 2,845 Banknorth Group, Inc. 3,632 119,021 * Bankrate, Inc. 1,300 17,784 * BankUnited Financial Corp. Class A 20,100 511,545 Banner Corp. 7,410 186,361 Banta Corp. 13,500 537,300 Barnes Group, Inc. 5,600 167,608 * Barnwell Industries, Inc. 200 5,080 * Barr Laboratories, Inc. 5,034 415,506 * Barra, Inc. 5,750 211,485 * Barry (R.G.) Corp. 11,900 70,805 Bassett Furniture Industries, Inc. 2,100 34,440 * Bay View Capital Corp. 65,775 399,254 * Baycorp Holdings, Ltd. 239 3,146 * BE Aerospace, Inc. 28,800 165,600 * Beasley Broadcast Group, Inc. 5,200 77,074 * Beazer Homes USA, Inc. 10,455 1,115,653 * Bebe Stores, Inc. 22,900 648,299 BEI Technologies, Inc. 7,500 132,525 Bel Fuse, Inc. Class A 700 18,392 Belden, Inc. 13,200 260,040 * Bell Industries, Inc. 4,400 11,880 * Bell Microproducts, Inc. 29,434 253,427 * Benchmark Electronics, Inc. 24,600 903,558 * Benihana, Inc. 1,500 20,850 * Benihana, Inc. Class A 225 2,981 * Bentley Pharmaceuticals, Inc. 10,900 133,525 Berkley (W.R.) Corp. 15,075 514,811 Berry Petroleum Corp. Class A 22,400 428,288 * Bethlehem Steel Corp. 5,700 91 * Beverly Enterprises 103,900 813,537 BHA Group Holdings, Inc. Class A 1,300 32,630 * Big Dog Holdings, Inc. 2,600 9,958 * Big Lots, Inc. 61,800 905,988 * BindView Development Corp. 30,160 88,972
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SHARES VALUE+ -------------- ----------------- * Bio Imaging Technologies, Inc. 1,900 $ 13,585 * Bioanalytical Systems, Inc. 2,100 9,324 * Biocryst Pharmaceuticals, Inc. 13,600 111,384 *# BioLase Technology, Inc. 7,600 93,252 * Bio-Logic Systems Corp. 2,000 11,860 * BioMarin Pharmaceutical, Inc. 39,400 289,590 * Bio-Rad Laboratories, Inc. Class A 11,400 584,250 * Bio-Rad Laboratories, Inc. Class B 400 20,850 * Bio-Reference Laboratories, Inc. 12,400 219,108 * BioReliance Corp. 6,200 286,998 * Biosite, Inc. 8,800 236,280 * Biosource International, Inc. 6,300 45,990 * Biospecifics Technologies Corp. 700 1,107 * BioSphere Medical, Inc. 11,280 33,953 * Bitstream, Inc. 3,900 16,497 BIW, Ltd. 400 7,156 Black Box Corp. 11,600 507,500 Black Hills Corp. 5,900 190,334 Blair Corp. 2,800 70,000 * Blonder Tongue Laboratories, Inc. 1,300 4,160 * Blount International, Inc. 7,100 42,671 * Blue Coat Systems, Inc. 9,100 191,009 * Blue Rhino Corp. 18,300 230,214 * Bluegreen Corp. 25,200 158,760 Blyth, Inc. 13,800 414,690 * BNCCORP, Inc. 1,000 18,975 * BNS Co. Class A 1,280 7,168 Bob Evans Farms, Inc. 21,200 654,232 * Boca Resorts, Inc. 29,400 419,832 * Bogen Communications International, Inc. 5,100 24,990 * BOK Financial Corp. 1,574 61,370 * Bolt Technology Corp. 2,300 8,855 * Bombay Co., Inc. 39,500 404,085 * Bone Care International, Inc. 3,300 44,550 Bon-Ton Stores, Inc. 10,200 136,680 * Books-a-Million, Inc. 19,000 85,500 Borg-Warner, Inc. 6,300 497,700 * Borland Software Corp. 57,000 497,040 Boston Acoustics, Inc. 600 6,126 * Boston Beer Company, Inc. Class A 9,300 171,120 * Boston Biomedical, Inc. 2,900 7,250 * Boston Communications Group, Inc. 18,400 165,600 Boston Private Financial Holdings, Inc. 12,600 326,718 Bostonfed Bancorp, Inc. 700 22,645 * Bottomline Technologies, Inc. 18,300 164,700 Bowne & Co., Inc. 19,900 293,326 # Boyd Gaming Corp. 31,100 508,796 * Boyds Collection, Ltd. 40,883 175,797 *# Bradley Pharmaceuticals, Inc. Class A 6,000 141,120 Brady (W.H.) Co. Class A 6,200 237,770 * Brass Eagle, Inc. 4,700 43,428 Bridgford Foods Corp. 1,000 8,401 Briggs & Stratton Corp. 6,700 452,250 * Brigham Exploration Co. 17,440 124,853 * Bright Horizons Family Solutions, Inc. 2,000 75,798 * Brightpoint, Inc. 22,725 510,631 * Brillian Corp. 6,200 $ 49,414 * BroadVision, Inc. 17,200 80,840 Brookline Bancorp, Inc. 29,961 450,014 *# Brooks Automation, Inc. 21,000 510,300 * Brookstone, Inc. 15,000 356,100 * Brooktrout, Inc. 15,900 234,048 * Brown (Tom), Inc. 32,100 897,516 Brown and Brown, Inc. 18,600 584,970 Brown Shoe Company, Inc. 11,300 394,709 * Bruker BioSciences Corp. 24,807 123,539 * Brush Engineered Materials, Inc. 21,400 288,472 BSB Bancorp, Inc. 5,500 177,925 * BTU International, Inc. 1,000 4,210 * Buca, Inc. 17,900 101,135 * Buckeye Technology, Inc. 40,700 415,547 Buckle, Inc. 22,200 485,736 Building Materials Holding Corp. 11,200 169,680 Burlington Coat Factory Warehouse Corp. 26,825 566,007 * Bush Industries, Inc. Class A 10,900 37,169 * Butler International, Inc. 3,500 5,495 C & D Technologies, Inc. 23,700 474,474 * C-COR.net Corp. 37,292 440,046 *# C-Phone Corp. 2,200 25 * C2, Inc. 2,100 25,924 * Cable Design Techologies Corp. 45,700 464,312 Cabot Oil & Gas Corp. Class A 19,100 507,296 * Cache, Inc. 3,500 75,561 * Caci International, Inc. Class A 14,400 716,688 Cadmus Communications Corp. 2,700 32,805 * Cal Dive International, Inc. 26,500 561,800 Calavo Growers 2,100 23,352 Calgon Carbon Corp. 28,800 177,120 * California Amplifier, Inc. 18,700 183,073 * California Coastal Communities, Inc. 4,200 46,410 California First National Bancorp 3,400 39,253 * California Micro Devices Corp. 5,585 47,919 * California Pizza Kitchen, Inc. 13,600 251,600 California Water Service Group 8,453 221,130 * Caliper Technologies Corp. 35,201 224,934 Callaway Golf Co. 21,600 354,888 * Callon Petroleum Corp. 17,700 162,840 Cal-Maine Foods, Inc. 3,300 70,092 * Calton, Inc. 2,100 1,575 * CAM Commerce Solutions, Inc. 1,400 9,660 Cambrex Corp. 14,100 342,066 Camco Financial Corp. 1,400 24,766 * Candela Corp. 10,200 209,406 *# Candies, Inc. 15,891 32,259 * Candlewood Hotel Co., Inc. 2,300 92 * Cantel Medical Corp. 10,998 172,889 * Canyon Resources Corp. 13,400 52,260 * Capital Corp. of the West 1,703 64,969 * Capital Crossing Bank 2,900 122,319 * Capital Pacific Holdings, Inc. 6,700 22,780 Capital Properties, Inc. 500 6,550 Capital Properties, Inc. Class B 50 0 * Capital Senior Living Corp. 8,400 51,240 Capitol Bancorp, Ltd. 1,700 48,960 * Capstone Turbine Corp. 51,700 89,441 * Captaris, Inc. 40,900 242,537
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SHARES VALUE+ -------------- ----------------- * Caraustar Industries, Inc. 29,500 $ 343,675 Carbo Ceramics, Inc. 7,600 332,044 * Cardiac Sciences, Inc. 61,900 220,983 * CardioDynamics International Corp. 9,569 62,198 * Cardiotech International, Inc. 5,300 33,231 * Career Education Corp. 30,670 1,568,157 Carlisle Companies, Inc. 8,700 511,995 *# CarMax, Inc. 12,800 421,504 Carpenter Technology Corp. 9,700 259,960 * Carreker Corp. 7,100 106,216 * Carriage Services, Inc. Class A 22,200 73,038 * Carrier Access Corp. 8,800 131,120 * Carrington Laboratories, Inc. 200 852 *# Carrizo Oil & Gas, Inc. 8,500 63,750 Cascade Corp. 9,900 265,320 Cascade Natural Gas Corp. 5,300 106,000 * Casella Waste Systems, Inc. Class A 20,500 274,700 Casey's General Stores, Inc. 26,700 466,449 Cash America International, Inc. 21,200 410,856 * Castle (A.M.) & Co. 9,500 43,700 * Casual Male Retail Group, Inc. 42,500 365,500 * Catalina Marketing Corp. 7,800 144,534 * Catalytica Energy Systems, Inc. 4,700 16,450 * Catapult Communications Corp. 16,500 249,480 Cathay Bancorp, Inc. 7,902 410,904 Cato Corp. Class A 9,800 204,624 * Cavalier Homes, Inc. 11,700 33,345 * Cavco Industries, Inc. 3,700 86,950 CBRL Group, Inc. 22,100 911,625 CCA Industries, Inc. 2,400 17,940 CCBT Financial Companies, Inc. 7,900 209,271 * CCC Information Services Group, Inc. 11,100 187,146 CDI Corp. 7,100 240,690 * CEC Entertainment Inc. 15,800 794,424 * Celadon Group, Inc. 9,700 131,920 * Celeritek, Inc. 16,700 134,435 * Cell Genesys, Inc. 21,800 284,272 *# Cell Therapeutics, Inc. 8,300 74,700 * Cellegy Pharmaceuticals, Inc. 10,600 30,210 * CellStar Corp. 23,513 323,304 * Cellular Technical Services 300 225 * Centene Corp. 10,350 317,745 * Centennial Communications Corp. 4,726 23,252 Center Finl CO 1,700 42,449 Centex Construction Products, Inc. 10,200 597,720 * Centillium Communications, Inc. 38,400 211,200 * Centra Software, Inc. 19,500 70,200 Central Bancorp, Inc. 300 10,653 * Central Coast Bancorp 550 10,175 * Central European Distribution Corp. 8,100 254,502 * Central Garden & Pet Co. 13,500 357,885 Central Pacific Financial Corp. 7,000 193,200 Central Parking Corp. 19,326 269,598 Central Vermont Public Service Corp. 6,500 155,350 * Century Aluminum Co. 23,800 395,080 * Century Business Services, Inc. 93,240 433,566 * Cepheid, Inc. 20,900 161,557 * Ceradyne, Inc. 9,500 405,745 * Ceres Group, Inc. 40,216 $ 209,928 *# Cerner Corp. 14,300 638,209 * Cerus Corp. 19,300 65,620 CFS Bancorp, Inc. 8,800 124,520 * CGI Group, Inc. 815 4,703 CH Energy Group, Inc. 2,900 127,310 * Chad Therapeutics 200 541 * Champion Enterprises, Inc. 34,600 249,812 * Championship Auto Racing Teams, Inc. 6,200 3,286 * Champps Entertainment, Inc. 14,107 97,620 * Channell Commercial Corp. 200 930 * Charles and Colvard, Ltd. 17,100 83,448 * Charles River Associates, Inc. 4,400 143,660 * Charlotte Russe Holding, Inc. 21,000 316,050 * Charming Shoppes, Inc. 87,600 545,748 * Chart Industries 5 152 Charter Financial Corp. 600 20,100 Chase Corp. 600 7,512 * Chattem, Inc. 23,000 368,460 * Chaus (Bernard), Inc. 2,400 2,448 * Checkers Drive-In Restaurant, Inc. 16,600 152,056 * CheckFree Corp. 24,000 662,880 * Checkpoint Systems, Inc. 29,800 576,630 * Cheesecake Factory, Inc. 11,250 487,800 Chemical Financial Corp. 6,446 233,667 Cherokee, Inc. 3,100 69,595 Chesapeake Corp. 6,325 145,475 # Chesapeake Energy Corp. 150,300 1,833,660 Chesapeake Utilities Corp. 1,000 25,110 * Chicago Pizza & Brewery, Inc. 17,700 251,871 *# Chicos Fas, Inc. 47,250 1,813,455 * Children's Place Retail Stores, Inc. 17,100 490,257 * Childtime Learning Centers, Inc. 1,500 3,300 * ChipPAC, Inc. 3,800 29,526 * Chiquita Brands International, Inc. 32,100 680,199 Chittenden Corp. 13,456 459,388 * Choice Hotels International, Inc. 26,000 919,100 * Cholestech Corp. 13,900 102,860 * Chordiant Software, Inc. 19,350 84,946 Christopher & Banks Corp. 17,634 477,000 * Chromcraft Revington, Inc. 4,000 46,600 * Chronimed, Inc. 16,900 151,762 Church & Dwight Co., Inc. 12,200 494,222 Churchill Downs, Inc. 6,500 238,673 * Ciber, Inc. 63,351 577,128 * Cima Laboratories, Inc. 12,700 418,846 * Cimarex Energy Co. 8,406 194,347 * Cincinnati Bell, Inc. 56,000 319,760 * Ciphergen Biosystems, Inc. 31,600 328,956 * Ciprico, Inc. 2,600 13,130 CIRCOR International, Inc. 7,345 161,590 * Cirrus Logic, Inc. 58,793 505,620 Citizens Banking Corp. 11,325 356,964 * Citizens, Inc. Class A 24,492 242,474 *# Citrix Systems, Inc. 3,000 72,060 City Holding Co. 4,100 145,960 City National Corp. 153 9,679 * CKE Restaurants, Inc. 55,100 385,700 Claire's Stores, Inc. 17,800 825,920 Clarcor, Inc. 14,500 634,955
28
SHARES VALUE+ -------------- ----------------- * Clark, Inc. 19,948 $ 327,347 * Clarus Corp. 20,900 146,091 * Clayton Williams Energy, Inc. 6,700 152,425 *# Clean Harbors, Inc. 9,900 91,377 *# Clearone Communications, Inc. 900 2,497 Cleco Corp. 6,900 122,682 * Cleveland Cliffs, Inc. 9,900 382,140 * Click2learn, Inc. 2,100 4,473 * Closure Medical Corp. 5,100 181,050 *# CMS Energy Corp. 114,906 906,608 * CNA Surety Corp. 40,569 392,708 # CNB Financial Corp. 1,000 44,950 *# CNET Networks, Inc. 65,500 489,285 CNS, Inc. 15,100 184,220 Coachmen Industries, Inc. 10,300 177,675 * Coast Dental Services, Inc. 233 1,490 Coastal Bancorp, Inc. 1,600 56,000 * Coastcast Corp. 2,000 4,010 CoBiz, Inc. 1,650 29,766 * Cobra Electronics Corp. 3,100 22,041 Cognex Corp. 15,100 414,797 * Cognitronics Corp. 2,300 7,590 * Cognizant Technology Solutions Corp. 12,900 591,723 * Coherent, Inc. 22,900 548,226 Cohu, Inc. 12,100 254,342 * Coinstar, Inc. 18,500 311,355 * Coldwater Creek, Inc. 13,725 197,091 Cole (Kenneth) Productions, Inc. Class A 8,350 249,665 * Cole National Corp. Class A 4,400 92,312 * Collagenex Pharmaceuticals, Inc. 5,100 52,836 Collegiate Pacific, Inc. 1,500 12,300 * Collins & Aikman Corp. 93,406 333,459 Columbia Banking System, Inc. 11,914 250,194 * Columbia Laboratories, Inc. 20,400 105,672 * Columbia Sportswear Co. 11,350 672,714 * Columbus McKinnon Corp. 16,419 101,469 * Comarco, Inc. 5,800 54,984 * Comfort Systems USA, Inc. 49,700 239,057 Commerce Group, Inc. 1,700 68,017 *# Commerce One, Inc. 35,400 41,064 Commercial Bancshares, Inc. 625 20,987 Commercial Federal Corp. 13,200 356,400 Commercial Metals Co. 20,300 522,522 # Commercial National Financial Corp. 600 15,447 Commonwealth Industries, Inc. 2,900 21,257 * Commscope, Inc. 43,200 689,472 Communications Systems, Inc. 3,700 25,493 Community Bancorp, Inc. 1,000 37,500 * Community Bancorp, Inc. 210 4,158 Community Bank System, Inc. 5,700 277,590 Community First Bankshares, Inc. 7,600 216,752 Community Trust Bancorp, Inc. 3,279 107,489 * Community West Bancshares 2,300 19,228 *# Compex Technologies, Inc. 12,600 114,030 * Compucom Systems, Inc. 55,300 251,615 * CompuCredit Corp. 44,000 1,041,920 * Compudyne Corp. 10,000 98,600 * Computer Access Technology Corp. 21,500 99,975 * Computer Horizons Corp. 38,900 $ 144,708 * Computer Network Technology Corp. 26,800 266,660 Computer Programs & Systems, Inc. 1,300 24,303 * Computer Task Group, Inc. 24,500 102,410 * Comstock Resources, Inc. 31,500 513,450 * Comtech Telecommunications Corp. 6,600 220,031 * Conceptus, Inc. 15,300 198,900 * Concerto Software, Inc. 14,800 176,416 * Concord Camera Corp. 30,500 368,135 * Concord Communications, Inc. 12,500 276,750 * Concur Technologies, Inc. 11,200 111,440 * Concurrent Computer Corp. 50,300 202,709 * Cone Mills Corp. 13,200 759 * Congoleum Corp. Class A 100 65 * Conmed Corp. 22,850 485,791 Connecticut Bancshares, Inc. 3,400 175,542 Connecticut Water Services, Inc. 1,800 52,326 * Connetics Corp. 18,000 317,700 * Conrad Industries, Inc. 3,000 8,445 * Consolidated Graphics, Inc. 15,000 450,750 Consolidated Tokoma Land Co. 1,600 49,200 * Continental Airlines, Inc. 50,250 937,162 * Continental Materials Corp. 1,000 27,290 * Convera Corp. 29,700 116,127 *# Cooker Restaurant Corp. 500 3 Cooper Companies, Inc. 17,400 794,310 Cooper Tire & Rubber Co. 27,100 542,271 * Copart, Inc. 63,300 759,600 * Copper Mountain Networks, Inc. 8,000 75,288 * Core Molding Technologies, Inc. 1,800 5,292 * Corillian Corp. 7,700 45,815 * Corio, Inc. 46,800 116,532 * Corixa Corp. 25,800 146,802 Corn Products International, Inc. 12,400 429,784 * Cornell Companies, Inc. 16,500 207,900 * Correctional Services Corp. 5,700 14,649 * Corrections Corporation of America 26,400 739,200 * Cortech, Inc. 1,100 3,135 Corus Bankshares, Inc. 3,400 211,820 * Corvel Corp. 6,900 239,775 * Cosine Communications, Inc. 12,500 96,750 * Cost Plus, Inc. 12,850 600,994 * CoStar Group, Inc. 7,100 298,200 Cotton States Life Insurance Co. 1,300 23,076 Courier Corp. 7,200 399,672 * Covance, Inc. 31,200 815,256 * Covansys Corp. 31,600 284,400 * Covenant Transport, Inc. Class A 13,900 261,876 *# Coventry Health Care, Inc. 12,300 736,770 Covest Bancshares, Inc. 400 10,952 * CPI Aerostructures, Inc. 4,500 54,000 Craftmade International, Inc. 3,600 96,300 * Cray, Inc. 32,500 340,275 *# Credence Systems Corp. 44,364 574,957 * Credit Acceptance Corp. 40,300 604,500 *# Cree Research, Inc. 44,900 824,813 * Criticare Systems, Inc. 12,500 42,500 Crompton Corp. 22,772 137,771
29
SHARES VALUE+ -------------- ----------------- * Cross (A.T.) Co. Class A 6,200 $ 40,486 * Cross Country Healthcare, Inc. 25,452 379,235 * Crossroads Systems, Inc. 28,900 88,434 * Crown Andersen, Inc. 300 705 *# Crown Castle International Corp. 100,200 1,243,482 * Crown Financial Group, Inc. 2,600 6,578 * Crown Holdings, Inc. 79,600 597,000 * Crown Media Holdings, Inc. 43,300 381,473 *# Cryolife, Inc. 22,800 122,208 * CSG Systems International, Inc. 42,100 487,939 *# CSK Auto Corp. 23,200 423,168 * CSP, Inc. 1,400 7,392 CSS Industries, Inc. 6,900 204,999 CT Communications, Inc. 9,600 137,280 CTS Corp. 22,800 279,528 Cubic Corp. 15,900 470,322 * Cubist Pharmaceuticals, Inc. 10,400 129,168 * Culp, Inc. 17,800 200,428 * Cumulus Media, Inc. Class A 33,500 639,850 * CUNO, Inc. 9,800 417,578 * CuraGen Corp. 55,300 348,390 * Curative Health Services Inc 16,200 210,276 * Curis, Inc. 20,500 111,520 Curtiss-Wright Corp. 2,000 163,820 * Cutter & Buck, Inc. 13,100 101,525 * CV Therapeutics, Inc. 4,100 73,677 CVB Financial Corp. 8,921 182,613 * Cyberguard Corp. 7,000 60,123 * Cyberonics, Inc. 8,600 236,414 * Cyberoptics Corp. 350 3,486 * Cybersource Corp. 34,700 172,459 * Cycle Ctry Acc 2,200 10,098 *# CycleLogic, Inc. 12 1 *# Cymer, Inc. 16,400 760,468 * Cypress Semiconductor Corp. 58,200 1,302,516 * Cysive, Inc. 33,900 109,158 * Cytec Industries, Inc. 21,300 772,125 * Cytogen Corp. 3,800 42,940 D & K Healthcare Resources, Inc. 13,200 178,464 * D A Consulting Group, Inc. 1,200 96 * Daktronics, Inc. 8,800 163,337 *# Dan River, Inc. Class A 11,300 8,701 * Darling International, Inc. 47,100 130,938 * Data Systems & Software, Inc. 400 1,116 * Datalink Corp. 1,000 3,890 * Dataram Corp. 2,150 9,051 Datascope Corp. 11,000 382,580 * Datastream Systems, Inc. 9,200 68,540 * Datawatch Corp. 266 1,492 * Dave and Busters, Inc. 7,700 107,107 * DaVita, Inc. 21,100 805,598 * Daw Technologies, Inc. 625 0 * Dawson Geophysical Co. 1,900 15,466 * Daxor Corp. 2,600 39,520 * Dearborn Bancorp, Inc. 1,157 23,834 Deb Shops, Inc. 6,300 124,866 * Deckers Outdoor Corp. 4,300 72,240 * Del Global Technologies Corp. 3,105 7,452 * Del Laboratories, Inc. 4,410 106,501 * Delphax Technologies, Inc. 6,100 19,337 Delphi Financial Group, Inc. Class A 9,300 493,830 Delta and Pine Land Co. 2,900 $ 73,225 Delta Apparel, Inc. 940 15,463 * Delta Financial Corp. 10,500 75,180 Delta Natural Gas Co., Inc. 600 13,998 * Delta Woodside Industries, Inc. 475 826 Deltic Timber Corp. 8,500 240,720 * Denali, Inc. 1,100 0 * Denbury Resources, Inc. 42,130 532,523 * Dendreon Corp. 24,515 194,159 * Dendrite International, Inc. 20,600 352,260 * Department 56, Inc. 16,700 235,971 * DepoMed, Inc. 2,500 16,975 * Devcon International Corp. 600 4,290 * DHB Industries, Inc. 20,200 151,904 Diagnostic Products Corp. 9,800 443,254 Dial Corp. 1,000 25,880 * DiamondCluster International, Inc. 30,000 283,800 * Diedrich Coffee, Inc. 1,500 6,075 * Digene Corp. 2,200 87,450 * Digi International, Inc. 28,700 245,959 * Digimarc Corp. 17,200 242,692 *# Digital Angel Corp. 10,700 24,075 * Digital Generation Systems, Inc. 45,000 84,150 * Digital Impact, Inc. 28,900 81,498 * Digital Insight Corp. 19,200 456,384 * Digital River, Inc. 15,100 347,451 * DigitalThink Inc. 52,800 157,344 * Digitas, Inc. 54,515 474,826 Dillards, Inc. Class A 22,500 379,125 Dime Community Bancorp, Inc. 13,050 401,287 Dimon, Inc. 27,500 185,625 * Diodes, Inc. 6,900 140,415 * Dionex Corp. 7,600 357,048 * Discovery Partners International 31,200 179,993 * Ditech Communications Corp. 39,100 686,205 * Diversa Corp. 42,100 353,640 * Dixie Group, Inc. 10,600 85,860 * Dixon Ticonderoga Co. 600 2,220 * DJ Orthopedics, Inc. 16,300 422,985 * Docent, Inc. 17,100 83,448 * DocuCorp International, Inc. 17,200 171,656 * Documentum, Inc. 17,000 510,000 * Dollar Thrifty Automotive Group, Inc. 19,800 499,950 * Dominion Homes, Inc 2,800 85,148 Donaldson Co., Inc. 4,400 257,532 Donegal Group, Inc. Class A 666 13,387 Donegal Group, Inc. Class B 333 6,290 * Dot Hill Systems Corp. 12,100 206,305 * DoubleClick, Inc. 76,400 729,620 *# DOV Pharmaceutical, Inc. 9,800 105,154 Dover Downs Gaming & Entertainment, Inc. 4,900 44,590 Dover Motorsports, Inc. 7,100 29,678 Downey Financial Corp. 22,000 1,062,600 * DPAC Technologies Corp. 2,500 4,700 * Drew Industries, Inc. 3,500 94,290 *# Drexler Technology Corp. 6,800 101,728 # Dreyer's Grand Ice Cream Holdings, Inc. Class A 10,000 774,500 * Dril-Quip, Inc. 19,400 290,030 * DRS Technologies, Inc. 17,600 466,400
30
SHARES VALUE+ -------------- ----------------- * Drugstore.com, Inc. 52,900 $ 352,314 * DSP Group, Inc. 15,500 373,395 * Duane Reade, Inc. 18,200 252,616 * Duckwall-ALCO Stores, Inc. 1,500 22,455 * Ducommun, Inc. 8,784 195,620 * DuPont Photomasks, Inc. 16,700 387,774 Duquesne Light Holdings, Inc. 13,800 238,326 * Dura Automotive Systems, Inc. 19,879 204,952 * Duratek, Inc. 8,700 87,348 *# Durect Corp. 42,598 95,845 * DUSA Pharmaceuticals, Inc. 17,800 95,586 * Dyax Corp. 20,300 122,612 * Dycom Industries, Inc. 30,634 776,572 *# Dynacq Healthcare, Inc. 9,400 173,515 * Dynamex, Inc. 13,300 136,990 * Dynamics Research Corp. 8,800 142,111 *# Dynegy, Inc. 189,700 758,800 *# E Com Ventures, Inc. 125 1,470 * E-Loan, Inc. 42,200 131,664 E-Z-EM, Inc. 1,700 19,635 * E.piphany, Inc. 80,746 637,893 * EarthLink, Inc. 109,200 1,048,320 East West Bancorp, Inc. 11,400 597,132 Eastern Co. 550 7,887 * Eateries, Inc. 200 650 * Echelon Corp. 18,700 225,335 * Eclipsys Corp. 2,000 20,360 * Ecogen, Inc. 210 31 * eCollege.com 7,700 170,940 Ecology & Environment, Inc. Class A 400 3,832 Edelbrock Corp. 880 10,463 * Eden Bioscience Corp. 10,800 16,740 * Edge Petroleum Corp. 11,700 92,898 * Edgewater Technology, Inc. 8,267 41,004 Edo Corp. 13,100 272,480 *# Education Management Corp. 11,700 790,920 EFC Bancorp, Inc. 900 20,304 * eFunds Corp. 36,100 626,335 * EGL, Inc. 38,200 701,734 * El Paso Electric Co. 55,900 709,930 * Electro Rent Corp. 24,500 340,550 * Electro Scientific Industries, Inc. 17,000 408,850 *# Electroglas, Inc. 22,560 89,112 * Electronics Boutique Holdings Corp. 11,100 270,174 *# Electronics for Imaging, Inc. 35,200 971,520 * Elizabeth Arden, Inc. 15,000 304,650 ElkCorp 12,500 317,750 * eLoyalty Corp. 2,400 8,640 * ELXSI Corp. 1,000 4,500 * Embarcadero Technologies, Inc 11,778 169,957 * Embrex, Inc. 9,700 123,481 *# EMC Corp. 21,191 291,164 EMC Insurance Group, Inc. 1,100 22,495 * Emcor Group, Inc. 11,300 464,430 * EMCORE Corp. 43,365 220,294 * Emeritus Corp. 3,200 20,544 * Emerson Radio Corp. 22,200 77,922 * Emisphere Technologies, Inc. 25,900 155,400 *# Emmis Communications Corp. Class A 32,600 738,716 Empire District Electric Co. 4,900 $ 103,684 * EMS Technologies, Inc. 13,500 286,875 * Emulex Corp. 13,600 401,200 * Encore Acquisition Co. 21,700 467,852 * Encore Medical Corp. 9,200 62,376 * Encore Wire Corp. 19,700 333,718 * Encysive Pharmaceuticals, Inc. 29,500 220,955 * Endo Pharmaceuticals Holdings, Inc. 20,100 378,684 * Endocardial Solutions, Inc. 12,700 95,504 *# Endocare, Inc. 8,200 33,866 * Endologix, Inc. 17,900 68,020 Energen Corp. 12,600 490,644 * Energy Conversion Devices, Inc. 21,700 186,620 * Energy Partners, Ltd. 31,300 380,295 Energy West, Inc. 1,400 8,358 EnergySouth, Inc. 2,000 68,600 * Enesco Group, Inc. 17,900 193,857 Engineered Support Systems, Inc. 17,943 950,979 Ennis Business Forms, Inc. 8,400 124,152 * EnPro Industries, Inc. 17,800 176,398 ENSCO International, Inc. 6,049 153,040 * Entegris, Inc. 33,400 428,856 * Enterrasys Networks, Inc. 118,000 506,220 * Entravision Communications Corp. 59,300 538,444 *# Entremed, Inc. 16,800 65,352 * Entrust, Inc. 52,900 225,883 * Environmental Elements Corp. 200 54 * Environmental Tectonics Corp. 2,800 21,868 * Enzo Biochem, Inc. 4,400 81,180 * EP Medsystems, Inc. 1,200 4,224 * EpicEdge, Inc. 4,500 202 * Epicor Software Corp. 12,900 159,831 * EPIQ Systems, Inc. 13,925 242,991 * EPIX Medical, Inc. 6,400 115,392 * ePlus, Inc. 4,800 60,000 * ePresence, Inc. 8,100 29,646 * Equity Marketing, Inc. 2,800 38,388 * Equity Oil Co. 6,300 21,918 *# eResearch Technology, Inc. 13,500 384,750 ESB Financial Corp. 2,937 47,726 * Escalade, Inc. 1,200 32,400 * Esco Technologies, Inc. 9,700 412,250 * eSpeed, Inc. 9,000 212,220 * Esperion Therapeutics, Inc. 5,500 126,445 Espey Manufacturing & Electronics Corp. 200 4,910 * ESS Technology, Inc. 43,500 725,580 * Esterline Technologies Corp. 23,200 537,776 Ethan Allen Interiors, Inc. 9,900 402,930 * Ethyl Corp. 17,400 354,960 * Euronet Worldwide, Inc. 2,600 43,758 * European Micro Holdings, Inc. 1,200 23 * Evans & Sutherland Computer Corp. 4,900 22,883 * Evans Systems, Inc. 800 64 * Evergreen Resources, Inc. 21,600 605,448 *# Evergreen Solar, Inc. 4,000 8,000 * Exact Sciences Corp. 7,800 81,120 * Exactech, Inc. 3,000 47,250 * Exar Corp. 32,093 622,283 * Excel Technology, Inc. 9,400 296,100
31
SHARES VALUE+ -------------- ----------------- * EXE Technologies, Inc. 6,500 $ 45,831 * Exelixis, Inc. 32,142 216,316 * Exponent, Inc. 2,700 61,344 Extended Stay America, Inc. 13,400 198,320 * Extended Systems, Inc. 200 910 *# Extreme Networks, Inc. 71,600 702,396 *# Exult, Inc. 34,700 249,493 * Ezcorp, Inc. Class A Non-Voting 1,000 7,390 * Ezenia! Inc. 400 140 F.N.B. Corp. 49 1,626 * F5 Networks, Inc. 8,900 229,798 * Fab Industries, Inc. 1,000 5,650 *# Factory 2-U Stores, Inc. 18,100 44,164 Factset Research Systems, Inc. 5,900 244,555 Fair, Isaac & Co., Inc. 18,514 1,021,232 * Fairchild Corp. Class A 28,000 142,800 * Falcon Products, Inc. 4,900 23,226 * FalconStor Software, Inc. 9,700 77,115 * Famous Dave's of America, Inc. 14,400 71,856 * Fargo Electronics 9,500 135,090 Farmer Brothers Co. 300 96,000 *# Faro Technologies, Inc. 5,800 150,574 FBL Financial Group, Inc. Class A 11,000 287,650 Fedders Corp. 5,310 33,400 Federal Signal Corp. 8,900 134,835 * FEI Co. 13,400 321,734 Ferro Corp. 12,100 274,670 FFLC Bancorp 1,048 31,021 * FFP Marketing Co., Inc. 600 216 * Fibermark, Inc. 700 1,246 Fidelity Bancorp, Inc. PA 242 5,917 Fidelity Bankshares, Inc. 10,683 296,453 Fidelity Southern Corp. 1,600 22,160 * Filenet Corp. 18,800 492,372 * Financial Federal Corp. 13,000 427,570 * Financial Industries Corp. 4,141 59,051 * Findwhat.Com 4,500 68,175 *# Finisar Corp. 133,600 534,400 * Finish Line, Inc. Class A 16,700 511,187 * Finlay Enterprises, Inc. 4,200 68,250 * Firebrand Financial Group, Inc. 1,700 11 First Albany Companies, Inc. 4,983 69,020 First American Financial Corp. 7,600 224,960 First Aviation Services, Inc. 1,600 6,480 First Bancorp 872 27,032 * First Cash Financial Services, Inc. 11,200 297,472 First Charter Corp. 8,100 164,916 First Commonwealth Financial Corp. 11,452 166,627 First Community Bancorp 4,300 158,584 * First Consulting Group, Inc. 30,600 161,262 First Defiance Financial Corp. 700 19,551 First Essex Bancorp 4,200 239,484 First Federal Bancshares of Arkansas, Inc. 1,200 46,500 First Federal Bankshares, Inc. 200 4,960 First Federal Capital Corp. 10,598 248,311 First Federal Financial Corp. of Kentucky 220 6,490 First Financial Bancorp 12,000 192,000 First Financial Bankshares, Inc. 2,500 106,025 First Financial Corp. 1,800 $ 53,604 First Financial Holdings, Inc. 7,500 236,250 * First Horizon Pharmaceutical Corp. 33,400 380,760 First Indiana Corp. 7,000 130,550 * First Investors Financial Services Group, Inc. 400 1,696 First Keystone Financial, Inc. 200 5,350 * First Mariner Bank Corp. 2,200 37,356 First Merchants Corp. 2,162 54,807 First Midwest Financial, Inc. 600 13,440 First Mutual Bancshares, Inc. 266 6,621 First Niagara Financial Group, Inc. 33,111 502,956 First Oak Brook Bancshares, Inc. Class A 6,450 200,595 First Place Financial Corp. 6,945 128,344 First Republic Bank 13,650 508,462 First SecurityFed Financial, Inc. 1,000 30,789 First Sentinel Bancorp, Inc. 17,300 328,354 First State Bancorporation 2,103 72,532 First United Corp. 800 19,664 First West Virginia Bancorp, Inc. 400 8,720 First Years, Inc. 12,900 177,504 FirstBank NW Corp. 544 16,670 FirstFed America Bancorp, Inc. 4,286 111,693 * FirstFed Financial Corp. 12,000 564,000 * Fischer Imaging Corp. 900 4,095 Flag Financial Corp. 1,600 21,032 Flagstar Bancorp, Inc. 27,450 607,468 * Flanders Corp. 30,900 172,731 * Fleetwood Enterprises, Inc. 33,800 343,746 Flexsteel Industries, Inc. 1,200 24,588 *# Flir Systems, Inc. 13,000 447,980 * Florida Banks, Inc. 200 3,180 Florida East Coast Industries, Inc. 9,500 289,750 Florida Public Utilities Co. 666 10,603 Florida Rock Industries, Inc. 13,950 802,125 * Flow International Corp. 6,200 21,768 Flowers Foods, Inc. 24,150 630,315 * Flowserve Corp. 44,100 938,448 Flushing Financial Corp. 8,900 242,080 *# FMC Corp. 24,800 742,512 FNB Corp. 1,400 32,088 FNB Corp. 439 12,994 FNB Financial Services Corp. 1,100 25,102 * Foamex International, Inc. 9,568 42,673 * Foodarama Supermarkets, Inc. 100 2,575 Foothill Independent Bancorp 1,602 36,526 * Footstar, Inc. 22,700 114,181 * Forest Oil Corp. 33,430 837,421 * Forgent Networks, Inc. 29,200 98,404 * Forrester Research, Inc. 22,203 407,647 * Forward Air Corp., Inc. 5,250 149,310 * Fossil, Inc. 24,150 703,972 * Foster (L.B.) Co. Class A 200 1,200 *# Foster Wheeler, Ltd. 1,200 1,056 *# Foundry Networks, Inc. 98,200 2,588,552 *# FPIC Insurance Group, Inc. 12,074 252,347 Franklin Bancorp, Inc. 300 6,181 * Franklin Covey Co. 2,700 4,131 Franklin Electric Co., Inc. 2,000 125,300 * Franklin Electronic Publishers, Inc. 1,300 3,900
32
SHARES VALUE+ -------------- ----------------- # Fred's, Inc. 18,787 $ 626,546 * FreeMarkets, Inc. 37,800 227,934 # Fremont General Corp. 38,600 674,728 Frequency Electronics, Inc. 1,500 15,675 Fresh Brands, Inc. 1,200 13,068 * Fresh Choice, Inc. 2,500 4,875 * Friede Goldman Halter, Inc. 17 0 Friedmans, Inc. Class A 17,900 122,257 * Friendly Ice Cream Corp. 2,000 21,740 Frisch's Restaurants, Inc. 1,100 29,480 * Frontier Airlines, Inc. 28,100 454,658 Frontier Oil Corp. 13,700 237,010 * Frozen Food Express Industries, Inc. 9,900 65,736 FSF Financial Corp. 500 15,125 * FSI International, Inc. 36,700 241,486 * FTD, Inc. 1,730 42,593 *# FTI Consulting, Inc. 27,350 600,879 *# FuelCell Energy, Inc. 41,000 551,860 Fuller (H.B.) Co. 14,000 373,380 Fulton Financial Corp. 1,688 36,613 # Furniture Brands International, Inc. 13,400 352,420 G & K Services, Inc. Class A 14,048 508,819 * G-III Apparel Group, Ltd. 1,800 18,810 GA Financial, Inc. 1,100 31,614 Gabelli Asset Management, Inc. 2,200 82,500 * Gadzooks, Inc. 11,800 57,230 * Gaiam, Inc. 6,400 35,258 * Galaxy Nutritional Foods, Inc. 1,800 4,986 *# Galyan's Trading Co. 19,790 264,196 * GameStop Corp. 14,800 239,020 * GameTech International, Inc. 5,100 19,533 * Garden Fresh Restaurant Corp. 6,100 90,158 * Gardner Denver Machinery, Inc. 18,000 419,760 * Gartner Group, Inc. 56,200 726,104 * Gateway, Inc. 198,600 885,756 GATX Corp. 6,000 145,800 * Gaylord Entertainment Co. 33,150 997,483 * Gehl Co. 1,700 26,182 * Genaissance Pharmaceuticals, Inc. 11,400 33,277 Gencorp, Inc. 38,400 384,384 * Gene Logic, Inc. 38,400 187,008 * Genecor International, Inc. 23,200 367,024 * General Binding Corp. 5,500 102,355 * General Cable Corp. 14,700 123,921 * General Communications, Inc. Class A 44,000 385,000 * General DataComm Industries, Inc. 180 325 * Genesco, Inc. 21,900 354,780 * Genesee & Wyoming, Inc. 12,132 306,454 * Genesee Corp. Class B 100 369 * Genesis Health 19,100 599,931 * Genesis Microchip, Inc. 14,189 261,787 * Genlyte Group, Inc. 9,200 486,312 *# Genome Therapeutics Corp. 26,800 81,177 *# Genta, Inc. 17,800 178,890 * Gentiva Health Services, Inc. 850 11,109 *# Genus, Inc. 21,300 151,230 * GenVec, Inc. 19,300 68,901 Georgia Gulf Corp. 34,100 971,168 * Gerber Scientific, Inc. 25,800 214,398 * Geron Corp. 22,400 $ 273,728 * Getty Images, Inc. 25,800 1,119,720 Gevity HR, Inc. 9,800 220,500 * Giant Industries, Inc. 10,900 132,980 Gibraltar Steel Corp. 5,500 134,090 * Giga-Tronics, Inc. 200 425 * GK Intelligent Systems, Inc. 140 11 Glacier Bancorp, Inc. 3,920 124,146 Glatfelter (P.H.) Co. 6,600 79,068 * Glenayre Technologies, Inc. 32,382 96,822 * Global e-Point, Inc. 18 91 * Global Imaging Systems, Inc. 13,800 404,478 * Global Payment Technologies, Inc. 2,400 8,100 * Global Power Equipment Group, Inc. 44,100 277,389 * Globecomm Systems, Inc. 8,300 58,100 * GlobespanVirata, Inc. 83,400 512,076 * Glowpoint, Inc. 32,000 59,520 Gold Banc Corp. 24,900 328,680 * Golden State Vintners, Inc. 1,000 3,130 * Good Guys, Inc. 19,900 40,596 * Goodrich Petroleum Corp. 2,700 13,905 *# Goodyear Tire & Rubber Co. 140,900 951,075 Goody's Family Clothing, Inc. 34,000 361,080 Gorman-Rupp Co. 2,100 50,190 * GP Strategies Corp. 10,800 79,380 Graco, Inc. 20,475 789,311 * Graftech International, Ltd. 5,700 67,488 Graham Corp. 300 2,709 Granite Construction, Inc. 13,050 287,752 * Graphic Packaging Corp. 25,200 89,208 Gray Television, Inc. 18,280 236,909 Gray Television, Inc. Class A 200 2,624 * Great American Financial Resources, Inc. 3,800 57,570 * Great Atlantic & Pacific Tea Co., Inc. 43,300 329,080 # Great Lakes Chemical Corp. 9,300 211,203 Great Southern Bancorp, Inc. 1,000 42,750 * Greater Atlantic Financial Corp. 1,300 10,270 # Greater Bay Bancorp 3,974 103,324 Greater Communications Bancorp 700 12,614 * Green Mountain Coffee, Inc. 6,100 141,764 Green Mountain Power Corp. 2,100 47,754 * Greenbrier Companies, Inc. 3,100 44,857 Grey Global Group, Inc. 300 204,649 * Grey Wolf, Inc. 145,300 492,567 * GRIC Communications, Inc. 17,000 105,570 * Griffin Land & Nurseries, Inc. Class A 1,200 17,364 * Griffon Corp. 20,880 407,578 * Group 1 Automotive, Inc. 15,900 551,730 * Group 1 Software, Inc. 3,200 57,088 * Grubb & Ellis Co. 5,100 4,743 GS Financial Corp. 400 7,676 * GSE Systems, Inc. 1,000 2,005 * GSI Commerce, Inc. 26,990 264,502 *# GSV, Inc. 380 47 * GTC Biotherapeutics, Inc. 33,538 92,565 Gtech Holdings, Inc. 34,600 1,721,696 * GTSI Corp. 9,887 119,138 Guaranty Bancshares, Inc. 400 8,260
33
SHARES VALUE+ -------------- ----------------- Guaranty Federal Bancshares, Inc. 900 $ 17,446 * Guess, Inc. 36,800 522,560 *# Guilford Pharmaceuticals, Inc. 32,300 220,609 * Guitar Center, Inc. 13,900 404,073 * Gulf Island Fabrication, Inc. 13,941 248,150 * Gulfmark Offshore, Inc. 9,200 129,076 * Gundle/SLT Environmental, Inc. 2,400 46,440 * Gymboree Corp. 20,500 348,705 * Ha-Lo Industries, Inc. 16,600 18 * Haemonetics Corp. 21,900 500,196 Haggar Corp. 2,000 34,680 * Hain Celestial Group, Inc. 27,296 629,719 * Hall Kinion Associates, Inc. 11,100 45,499 * Hammons (John Q.) Hotels, Inc. Class A 1,600 10,952 * Hampshire Group, Ltd. 1,000 31,030 Hancock Fabrics, Inc. 8,600 122,120 Hancock Holding Co. 3,150 180,337 Handleman Co. 27,170 478,192 * Hanger Orthopedic Group, Inc. 21,300 359,970 Hanmi Financial Corp. 4,100 84,747 * Hanover Compressor Co. 64,300 612,136 Harbor Florida Bancshares, Inc. 22,100 670,735 Hardinge, Inc. 1,400 14,490 Harland (John H.) Co. 30,800 843,920 Harleysville Group, Inc. 8,600 168,560 Harleysville National Corp. 5,411 166,551 # Harman International Industries, Inc. 14,400 1,962,288 * Harmonic, Inc. 37,700 327,613 * Harris Interactive, Inc. 42,900 296,010 Harsco Corp. 13,100 519,546 * Hartmarx Corp. 5,800 24,940 * Harvard Bioscience, Inc. 38,600 277,920 * Harvest Natural Resources, Inc. 36,684 271,828 * Hastings Entertainment, Inc. 6,300 28,035 * Hauppauge Digital, Inc. 2,700 7,209 * Hauser, Inc. 500 25 * Hawaiian Holdings, Inc. 1,000 2,750 * Hawk Corp. 3,500 11,935 Hawkins, Inc. 3,200 42,272 * Hawthorne Financial Corp. 11,100 299,145 HCC Insurance Holdings, Inc. 12,300 382,653 * Headwaters, Inc. 25,500 486,540 Healthcare Services Group, Inc. 4,600 91,034 * HealthExtras, Inc. 21,600 272,160 Heartland Express, Inc. 25,033 607,551 * Hecla Mining Co. 18,000 133,560 * Hector Communications Corp. 1,700 23,876 Heico Corp. 7,197 132,929 Heico Corp. Class A 681 10,079 * Heidrick & Struggles International, Inc. 18,000 432,900 Helix Technology Corp. 6,500 141,050 Helmerich & Payne, Inc. 14,000 337,400 *# Hemispherx Biopharma, Inc. 19,200 49,536 * Hercules, Inc. 17,300 173,692 * Heritage Commerce Corp. 4,700 58,750 Heritage Financial Corp. 1,100 24,211 * Herley Industries, Inc. 15,500 299,460 * Hexcel Corp. 8,000 55,520 HF Financial Corp. 700 $ 12,600 * Hi-Shear Technology Corp. 2,200 6,028 * Hi-Tech Pharmacal, Inc. 3,450 69,966 * Hibbett Sporting Goods, Inc. 10,275 318,730 # Hilb Rogal Hamilton Co. 13,200 384,120 * Hines Horticulture, Inc. 7,200 29,736 HMN Financial, Inc. 3,600 88,704 * HMS Holdings Corp. 24,300 104,247 * Hoenig Group Escrow 3,200 736 * Holiday RV Superstores, Inc. 10 0 # Hollinger International, Inc. Class A 6,900 109,779 * Hollis-Eden Pharmaceuticals, Inc. 8,500 116,705 Holly Corp. 10,000 265,600 * Hollywood Entertainment Corp. 17,300 236,318 * Hollywood Media Corp. 7,300 16,352 * Hologic, Inc. 19,800 297,792 Home Federal Bancorp 900 25,744 * Home Products International, Inc. 600 798 * Hometown Auto Retailers, Inc. Class A 300 426 Hooper Holmes, Inc. 51,600 316,308 HopFed Bancorp, Inc. 500 8,830 Horace Mann Educators Corp. 4,500 60,795 Horizon Financial Corp. 4,137 73,184 * Horizon Health Corp. 4,800 109,632 * Horizon Offshore, Inc. 31,100 139,328 * Horizon Organic Holding Corp. 8,400 201,096 Horton (D.R.), Inc. 924 40,379 * Hot Topic, Inc. 22,725 677,205 * Houston Exploration Co. 23,347 796,366 * Hovnanian Enterprises, Inc. Class A 13,045 1,203,401 * HPSC, Inc. 1,500 21,420 * Hub Group, Inc. Class A 3,000 48,120 * Hudson Highland Group, Inc. 2,205 44,497 Hudson River Bancorp, Inc. 8,600 298,936 * Hudson Technologies, Inc. 1,300 1,105 * Huffy Corp. 18,700 127,721 # Hughes Supply, Inc. 11,800 539,260 * Human Genome Sciences, Inc. 20,400 261,120 Humboldt Bancorp 6,700 117,049 *# Hunt (J.B.) Transport Services, Inc. 41,400 1,083,024 * Hurco Companies, Inc. 1,200 3,480 * Hutchinson Technology, Inc. 17,500 569,975 * Huttig Building Products, Inc. 4,000 10,800 * Hycor Biomedical, Inc. 3,400 14,178 * Hydril Co. 10,900 260,183 * Hypercom Corp. 55,800 284,022 * HyperFeed Technologies, Inc. 220 1,298 * Hyperion Solutions Corp 22,570 748,873 * I-Stat Corp. 14,300 180,180 * I-Trax Inc. 4,100 12,095 Iberiabank Corp. 3,400 197,132 * Ibis Technology Corp. 12,300 199,875 *# ICOS Corp. 1,000 45,200 * ICT Group, Inc. 11,500 154,790 * ICU Medical, Inc. 10,250 349,422 Idacorp, Inc. 7,100 208,740 * Identix, Inc. 56,121 290,707 Idex Corp. 8,000 315,840 *# IDEXX Laboratories, Inc. 19,800 937,530
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SHARES VALUE+ -------------- ----------------- * iDine Rewards Network, Inc. 9,700 $ 105,730 * IDT Corp. 25,500 479,400 * IDT Corp. Class B 13,100 253,223 * IDX Systems Corp. 14,200 363,520 * iGate Capital Corp. 49,900 317,364 * IGEN, Inc. 8,700 514,083 IHOP Corp. 11,500 448,500 * II-VI, Inc. 11,300 257,188 Ikon Office Solutions, Inc. 35,300 298,991 * ILEX Oncology, Inc. 4,275 89,219 * Illumina, Inc. 37,200 255,192 ILX Resorts, Inc. 400 2,760 * Image Entertainment, Inc. 21,500 105,350 *# ImageWare Systems, Inc. 2,100 5,187 # Imation Corp. 18,800 638,260 IMC Global, Inc. 32,268 234,588 * IMCO Recycling, Inc. 20,800 157,040 * Immersion Corp. 5,200 27,560 * Immucor, Inc. 12,075 278,932 * ImmunoGen, Inc. 47,935 226,733 * Immunomedics, Inc. 19,300 74,498 * IMPAC Medical Systems, Inc. 5,300 131,122 * Impath, Inc. 14,800 45,140 * Impax Laboratoroes, Inc. 5,800 81,780 * Impco Technologies, Inc. 19,400 127,070 * Imperial Sugar Co. 4,100 45,469 * Implant Sciences Corp. 1,500 11,310 * Incyte Genomics, Inc. 71,100 430,155 Independence Community Bank Corp. 17,259 638,238 Independence Holding Co. 880 20,200 Independent Bank Corp. MA 6,700 195,975 Independent Bank Corp. MI 7,705 224,601 * Indevus Pharmaceuticals, Inc. 17,600 99,968 * Indus International, Inc. 11,800 35,400 * Inet Technologies, Inc. 42,200 541,848 * Infinity, Inc. 9,700 36,375 *# Infocrossing, Inc. 2,300 22,975 * InFocus Corp. 44,153 349,692 * Infonet Services Corp. 57,700 109,630 * Informatica Corp. 35,200 397,056 * Information Holdings, Inc. 20,570 457,682 * Inforte Corp. 13,300 114,380 * InfoSpace, Inc. 27,400 719,250 * infoUSA, Inc. 41,700 354,450 Ingles Market, Inc. Class A 3,934 39,733 * Inkine Pharmaceutical Co., Inc. 16,800 87,864 * Innotrac Corp. 5,600 50,904 * Innovative Gaming Corp. 80 1 * Innovative Solutions & Support, Inc. 13,200 197,736 * Innovex, Inc. 14,000 131,600 * Input/Output, Inc. 57,600 225,216 * Insight Communications Co., Inc. 38,021 370,325 * Insight Enterprises, Inc. 32,500 607,750 * Insignia Systems, Inc. 1,600 3,696 * Insituform Technologies, Inc. Class A 23,800 358,190 * Insmed, Inc. 15,500 45,880 * Inspire Pharmaceuticals, Inc. 14,300 247,390 * Insurance Auto Auctions, Inc. 14,771 187,592 * InsWeb Corp. 666 3,330 Integra Bank Corp. 3,900 87,165 * Integra Lifesciences Corp. 10,700 $ 335,873 * Integral Systems, Inc. 4,700 100,768 * IntegraMed America, Inc. 1,300 8,294 * Integrated Bio 1,700 16,490 *# Integrated Circuit Systems, Inc. 4,600 136,850 * Integrated Device Technology, Inc. 66,128 1,246,513 * Integrated Electrical Services, Inc. 40,500 317,520 * Integrated Information Systems, Inc. 120 42 * Integrated Silicon Solution, Inc. 26,193 489,809 * Integrated Telecom Express, Inc. 100 0 * Integrity Media, Inc. 1,400 8,400 *# Intelli-Check, Inc. 4,100 27,470 * Intellidata Technologies Corp. 45,100 74,415 * Intelligent Systems Corp. 700 1,274 Inter Parfums, Inc. 6,650 135,261 * Interactive Data Corp. 45,600 768,360 * Interactive Intelligence, Inc. 4,000 22,560 * InterCept Group, Inc. 22,600 238,882 Interchange Financial Services Corp. 2,658 61,028 * Interdigital Communications Corp. 29,700 608,256 * Interep National Radio Sales, Inc. 1,400 2,982 * Interface, Inc. Class A 45,665 259,834 *# Intergraph Corp. 32,700 830,580 * Interland, Inc. 14,825 101,551 * Interlink Electronics, Inc. 5,850 40,950 * Intermagnetics General Corp. 15,452 348,134 Intermet Corp. 4,700 22,889 *# InterMune, Inc. 3,500 73,885 * International Microcomputer Software, Inc. 300 399 * International Multifoods Corp. 19,700 351,251 * International Remote Imaging Systems, Inc. 4,500 22,455 * International Shipholding Corp. 1,200 16,200 * Internet Commerce Corp. 1,100 1,056 * Internet Pictures Corp. 4,300 9,546 * Internet Security Systems, Inc. 39,700 673,709 * Interphase Corp. 3,200 54,720 Interpool, Inc. 6,900 104,880 * Interpore International, Inc. 19,300 235,074 Intersil Corp. 8,024 211,914 Interstate Bakeries Corp. 8,200 129,150 * Interstate Hotels & Resorts, Inc. 25,600 137,728 Inter-Tel, Inc. 12,400 300,080 * Intervoice, Inc. 30,500 319,030 * Interwoven, Inc. 40,776 610,827 * Intest Corp. 4,400 24,816 * Intevac, Inc. 4,400 74,756 * Intrado, Inc. 15,000 299,250 * Intraware, Inc. 5,400 11,772 * Introgen Therapeutics, Inc. 23,200 162,864 * Intrusion, Inc. 6,400 4,800 Invacare Corp. 21,200 826,800 * Inveresk Resh 5,500 121,055 * Inverness Medical Innovations, inc. 3,318 78,637 * Investment Technology Group, Inc. 500 8,850 * INVESTools, Inc. 599 815 * Invision Technologies, Inc. 17,000 506,940 * Invivo Corp. 2,250 47,612
35
SHARES VALUE+ -------------- ----------------- Iomega Corp. 56,600 $ 310,734 * Ionics, Inc. 19,700 633,355 * Iridex Corp. 2,700 14,809 Irwin Financial Corp. 12,700 384,302 Isco, Inc. 1,100 10,714 * Isis Pharmaceuticals, Inc. 34,300 205,457 *# Island Pacific, Inc. 13,000 28,860 * Isle of Capri Casinos, Inc. 26,900 542,062 *# Isolagen Inc 5,500 36,465 * ITLA Capital Corp. 2,300 115,506 * Itron, Inc. 15,300 293,607 * ITT Educational Services, Inc. 21,600 1,210,248 * ITXC Corp. 21,400 84,530 * Ixia 52,100 663,754 * IXYS Corp. 29,112 244,541 * J & J Snack Foods Corp. 8,700 313,200 * J Net Enterprises, Inc. 2,900 3,335 * J. Alexander's Corp. 200 1,500 * J. Jill Group, Inc. 19,050 242,697 J. M. Smucker Co. 7,182 329,869 * j2 Global Communication, Inc. 1,500 42,630 * Jack in the Box, Inc. 29,000 604,650 # Jacksonville Bancorp, Inc. 100 3,735 * Jaco Electronics, Inc. 550 3,877 * Jacuzzi Brands, Inc. 74,200 478,590 * Jakks Pacific, Inc. 27,600 375,084 * Jarden Corp. 6,000 162,300 * JDA Software Group, Inc. 28,600 521,092 Jefferies Group, Inc. 24,600 769,488 JLG Industries, Inc. 38,400 577,536 * Johnson Outdoors, Inc. 2,900 41,905 * Jones Lang LaSalle, Inc. 22,500 471,375 * Jos. A. Bank Clothiers, Inc. 5,100 210,171 * Journal Register Co. 11,300 225,435 * Joy Global, Inc. 31,700 665,700 * JPS Industries, Inc. 1,800 3,924 * Jupitermedia Corp. 16,500 83,325 K Swiss, Inc. Class A 9,000 438,390 * K-Tron International, Inc. 600 10,176 * K-V Pharmaceutical Co. Class A 11,100 289,710 * K-V Pharmaceutical Co. Class B 3,825 101,018 * K2, Inc. 26,511 405,618 * Kadant, Inc. 15,092 270,901 * Kaiser Aluminum Corp. 8,100 648 Kaman Corp. Class A 8,800 113,256 *# Kansas City Southern Industries, Inc. 49,200 654,360 * Katy Industries, Inc. 400 2,460 Kaydon Corp. 10,800 263,736 KB Home Corp. 10,600 730,128 * KCS Energy, Inc. 27,800 251,868 * Keane, Inc. 48,124 678,548 * Keith Companies, Inc. 8,500 121,210 Keithley Instruments, Inc. 6,400 115,520 Kellwood Co. 11,713 447,905 Kelly Services, Inc. 14,300 407,264 Kelly Services, Inc. 200 5,400 * Kemet Corp. 71,416 942,691 * Kendle International, Inc. 16,000 109,600 Kennametal, Inc. 8,700 334,428 * Kennedy-Wilson, Inc. 2,800 16,912 * Kensey Nash Corp. 7,100 149,313 * Keravision, Inc. 1,100 $ 1 Kewaunee Scientific Corp. 300 3,390 * Key Energy Group, Inc. 93,200 849,052 * Key Technology, Inc. 900 12,528 * Key Tronic Corp. 800 1,711 * Keynote Systems, Inc. 11,900 146,846 * Keystone Automotive Industries, Inc. 13,600 331,432 * Kforce, Inc. 41,703 352,390 * KFX, Inc. 16,400 98,236 Kimball International, Inc. Class B 2,600 38,532 * Kindred Healthcare, Inc. 15,800 815,122 * Kirby Corp. 17,000 510,000 * Kirklands, Inc. 13,000 271,700 Klamath First Bancorp, Inc. 2,300 58,995 * Knight Trading Group, Inc. 72,200 1,041,846 * Knight Transportation, Inc. 18,425 446,438 * Koala Corp. 1,800 207 * Komag Inc 14,300 235,807 * Kontron Mobile Computing, Inc. 1,800 679 * Kopin Corp. 24,100 170,628 * Korn/Ferry International 38,400 385,152 *# Kos Pharmaceuticals, Inc. 10,000 445,000 * Kosan Biosciences, Inc. 26,800 254,868 Koss Corp. 1,000 18,300 * Kroll, Inc. 29,413 704,441 * Kronos, Inc. 13,837 541,995 * Kulicke & Soffa Industries, Inc. 50,300 828,944 * KVH Industries, Inc. 5,000 157,700 * La Jolla Pharmceutical Co. 38,000 110,200 La-Z-Boy, Inc. 20,116 406,343 * LaBarge, Inc. 16,300 101,875 * LabOne, Inc. 8,200 237,718 * Labor Ready, Inc. 37,800 430,920 Laclede Group, Inc. 3,500 102,375 * LaCrosse Footwear, Inc. 2,500 13,750 Ladish Co., Inc. 17,600 144,496 Lakeland Bancorp, Inc. 89 1,424 * Lakeland Industries, Inc. 726 9,387 * Lakes Entertainment, Inc. 4,200 60,476 * Lamson & Sessions Co. 18,600 108,810 Lancaster Colony Corp. 3,800 158,650 Lance, Inc. 29,600 414,696 * Lancer Corp. 2,700 14,823 Landamerica Financial Group, Inc. 8,900 457,460 Landauer, Inc. 2,300 86,480 * Landec Corp. 20,384 132,496 Landmark Bancorp, Inc. 110 3,107 Landry's Restaurants, Inc. 15,050 369,026 * Landstar Systems, Inc. 29,852 1,074,672 * Lannet Co., Inc. 7,900 141,568 * Laserscope 11,000 176,000 * Latitude Communications, Inc. 18,721 73,012 * Lattice Semiconductor Corp. 86,200 816,314 Lawson Products, Inc. 2,500 84,825 * Lawson Software, Inc. 45,500 384,020 * Layne Christensen Co. 4,700 48,880 * Lazare Kaplan International, Inc. 200 1,350 * LCA-Vision, Inc. 11,600 194,648 * LCC International, Inc. Class A 17,300 84,943 * Learning Tree International, Inc. 10,847 188,412
36
SHARES VALUE+ -------------- ----------------- * Leather Factory, Inc. 4,500 $ 18,135 * Lecroy Corp. 11,700 195,390 * Leisure Time Casinos & Resorts, Inc. 900 7 Lennox International, Inc. 60,200 1,023,400 * Lesco, Inc. 9,100 116,207 *# Level 8 Systems, Inc. 700 273 * Lexar Media, Inc. 25,200 538,272 * Lexent, Inc. 15,600 22,776 * Lexicon Genetics, Inc. 36,200 190,050 Libbey, Inc. 5,900 172,929 Liberty Corp. 6,600 293,370 Liberty Homes, Inc. Class B 100 556 * Lifecell Corp. 13,800 77,280 * Lifecore Biomedical, Inc. 16,600 111,220 * Lifeline Systems, Inc. 900 31,500 Lifetime Hoan Corp. 3,300 46,200 * Lifeway Foods, Inc. 200 2,960 * Ligand Pharmaceuticals, Inc. Class B 11,500 153,870 * Lightbridge, Inc. 25,217 242,840 * Lin TV Corp. 20,500 460,225 Lincoln Electric Holdings 13,600 344,352 Lindsay Manufacturer Co. 5,600 136,472 * Linens 'n Things, Inc. 31,100 914,651 * Lionbridge Technologies, Inc. 9,600 103,680 * Lipid Sciences, Inc. 6,100 15,128 Liquid Audio, Inc. 200 55 *# Liquidmetal Technologies, Inc. 6,900 14,490 Lithia Motors, Inc. Class A 9,300 230,826 * Littlefuse, Inc. 10,100 300,879 * LMI Aerospace, Inc. 2,100 3,759 # LNR Property Corp. 14,000 619,500 * Local Financial Corp. 4,900 97,363 * Lodgenet Entertainment Corp. 8,100 146,205 * LogicVision, Inc. 9,500 42,655 * Logility, Inc. 1,700 8,262 * Lojack Corp. 13,200 116,952 Lone Star Steakhouse & Saloon, Inc. 11,200 258,384 * Lone Star Technologies, Inc. 31,900 441,815 Longs Drug Stores Corp. 17,700 433,650 Longview Fibre Co. 40,000 438,800 * LookSmart, Ltd. 63,500 94,615 * Louisiana-Pacific Corp. 61,400 1,110,726 Lowrance Electronics, Inc. 600 12,270 LSB Corp. 1,100 19,086 LSI Industries, Inc. 11,750 146,287 * LTX Corp. 44,049 734,737 * Luby's, Inc. 27,700 104,152 Lufkin Industries, Inc. 4,300 111,757 * Luminex Corp. 18,500 195,175 * Lydall, Inc. 17,300 211,752 * M & F Worldwide Corp. 8,200 113,570 M/I Schottenstein Homes, Inc. 10,000 383,500 MacDermid, Inc. 19,000 623,200 * Mac-Gray Corp. 5,200 26,000 * Macromedia, Inc. 31,440 644,834 * Macrovision Corp. 19,600 448,840 * Madden (Steven), Ltd. 13,200 282,216 MAF Bancorp, Inc. 25,950 1,139,464 * Magna Entertainment Corp. 9,600 $ 45,120 * Magnetek, Inc. 28,100 181,245 * Magnum Hunter Resources, Inc. 52,300 470,177 * Mail-Well, Inc. 49,500 187,110 * Main Street & Main, Inc. 3,000 7,350 Main Street Banks, Inc. 3,925 103,934 * MAIR Holdings, Inc. 26,200 199,382 * Management Network Group, Inc. 7,400 23,887 * Manchester Technologies, Inc. 900 2,970 Mandalay Resort Group 3,700 158,915 *# Manhattan Associates, Inc. 9,100 276,913 Manitowoc Co., Inc. 11,500 310,500 * Mannatech, Inc. 10,200 124,440 * Manning (Greg) Auctions, Inc. 4,900 55,125 * Manufacturers' Services Ltd. 35,600 217,160 * Manugistic Group, Inc. 70,600 470,196 * Mapics, Inc. 14,700 177,429 * Mapinfo Corp. 18,275 161,734 * Marimba, Inc. 29,100 149,574 Marine Products Corp. 4,460 72,921 * MarineMax, Inc. 17,600 334,400 Maritrans, Inc. 1,700 28,237 * MarketWatch.com, Inc. 19,000 168,340 * MarkWest Hydrocarbon, Inc. 2,640 30,360 Marsh Supermarkets, Inc. Class B 200 2,200 * Martek Biosciences Corp. 17,600 1,069,024 * Martha Stewart Living Omnimedia, Ltd. 17,400 170,172 *# Marvel Enterprises, Inc. 10,400 299,104 * Mascotech, Inc. 14,300 0 MASSBANK Corp. 900 36,324 Massey Energy Co. 24,830 345,137 * Mastec, Inc. 44,408 589,738 * Material Sciences Corp. 18,000 170,820 * Matria Healthcare, Inc. 12,866 262,852 *# Matritech, Inc. 18,900 38,745 * Matrix Bancorp, Inc. 2,700 24,678 * Matrix Service Co. 19,600 312,620 * MatrixOne, Inc. 50,000 297,500 * Matrixx Initiatives, Inc. 8,800 148,280 Matthews International Corp. Class A 13,400 381,498 * Mattson Technology, Inc. 32,078 492,397 * Maui Land & Pineapple Company, Inc. 7,700 241,010 * Maverick Tube Corp. 29,500 545,160 * Max & Ermas Restaurants, Inc. 500 9,312 * Maxco, Inc. 300 787 Maxcor Financial Group, Inc. 9,200 120,520 * Maxicare Health Plans, Inc. 240 60 *# Maxim Pharmaceuticals, Inc. 28,100 200,072 * Maximus, Inc. 13,600 515,440 * Maxwell Shoe Company, Inc. 16,550 291,114 * Maxwell Technologies, Inc. 13,300 107,065 * Maxxam, Inc. 3,900 62,400 * Maxygen, Inc. 34,280 371,938 MB Financial, Inc. 6,800 353,328 * McDATA Corp. 30,700 326,648 McGrath Rent Corp. 5,900 161,601 *# McMoran Exploration Co. 7,600 136,496 McRae Industries, Inc. Class A 1,300 11,895
37
SHARES VALUE+ -------------- ----------------- MDC Holdings, Inc. 14,471 $ 1,003,709 * Meade Instruments Corp. 23,600 99,120 * Meadowbrook Insurance Group, Inc. 5,000 20,000 * Medarex, Inc. 62,700 426,360 * MedCath Corp. 20,146 191,165 *# Med-Design Corp. 10,500 38,955 * Media Arts Group, Inc. 8,600 33,884 Media General, Inc. Class A 10,100 675,589 * Mediacom Communications Corp. 42,000 323,820 * Medical Action Industries, Inc. 12,500 207,500 * Medical Staffing Network Holdings, Inc. 30,400 296,400 Medicis Pharmaceutical Corp. Class A 1,500 98,820 * Medifast, Inc. 1,900 28,880 * Medquist, Inc. 32,995 507,793 * MedSource Technologies, Inc. 31,306 144,634 * Medstone International, Inc. 1,900 8,970 * MEDTOX Scientific, Inc. 3,456 19,354 * Memberworks, Inc. 7,600 206,188 * MEMC Electronic Materials, Inc. 19,500 211,770 * Mens Warehouse, Inc. 27,801 854,325 Mentor Corp. 23,400 515,970 *# Mentor Graphics Corp. 29,000 424,850 Mercantile Bank Corp. 2,205 75,631 Merchants Bancshares, Inc. 3,250 95,875 Merchants Group, Inc. 1,400 34,069 * Mercury Air Group, Inc. 2,500 12,250 * Mercury Computer Systems, Inc. 13,010 311,589 * Merge Technologies, Inc. 4,300 75,250 Meridian Bioscience, Inc. 1,800 18,666 * Meridian Resource Corp. 50,000 228,000 * Merit Medical Systems, Inc. 11,858 371,155 * Meritage Corp. 9,200 580,980 * Meritage Hospitality Group, Inc. 1,000 4,620 * Merix Corp. 16,950 353,916 * Merrimac Industries, Inc. 1,300 7,735 * Mesa Air Group, Inc. 32,400 390,420 Mesa Labs, Inc. 5,300 47,938 * Mestek, Inc. 3,700 69,560 * Meta Group, Inc. 5,500 30,910 * MetaSolv, Inc. 22,356 53,654 Methode Electronics, Inc. Class A 23,300 298,939 Met-Pro Corp. 2,133 32,208 # Metris Companies, Inc. 64,700 288,562 * Metro One Telecommunications, Inc. 28,166 54,642 MetroCorp. Bancshares, Inc. 1,400 19,803 * Metrologic Instruments, Inc. 11,700 318,708 * Metromedia International Group, Inc. 2,300 351 * Mexican Restaurants, Inc. 500 1,800 MFB Corp. 200 6,305 * MFRI, Inc. 300 801 MGE Energy, Inc. 4,600 147,246 * MGI Pharma, Inc. 11,200 429,744 * Michael Anthony Jewelers, Inc. 2,700 5,495 # Michaels Stores, Inc. 20,600 973,350 * Micrel, Inc. 10,600 181,260 * Micro Component Technology, Inc. 5,400 8,100 * Micro Linear Corp. 12,900 $ 77,400 * MicroFinancial, Inc. 11,500 36,685 * Micromuse, Inc. 38,000 305,900 * Micros Systems, Inc. 10,800 467,208 * Micros to Mainframes, Inc. 1,200 1,632 * Microsemi Corp. 23,100 559,713 * MicroStrategy, Inc. 1,600 86,400 * Microtek Medical Holdings, Inc. 50,000 204,500 * Micro-Therapeutics, Inc. 22,100 82,212 * Microtune, Inc. 46,900 102,711 * Microvision, Inc. 15,900 123,225 * Mid Atlantic Medical Services, Inc. 14,800 908,720 Mid Penn Bancorp, Inc. 210 5,040 * Midas, Inc. 19,400 293,910 Middleby Corp. 9,900 337,798 Middlesex Water Co. 665 13,320 Midland Co. 4,000 84,720 Mid-State Bancshares 13,000 336,050 *# Midway Games, Inc. 52,500 177,450 Midwest Banc Holdings, Inc. 7,950 174,105 * Midwest Express Holdings, Inc. 19,318 80,170 *# Mikohn Gaming Corp. 3,700 16,132 Milacron, Inc. 9,100 21,112 * Millennium Cell, Inc. 6,800 17,748 Millennium Chemicals, Inc. 44,800 484,736 * Miller Industries, Inc. 8,500 52,700 * Millerbuilding Systems Escrow Shares 500 150 * MIM Corp. 27,000 190,350 Minerals Technologies, Inc. 14,200 758,990 Minuteman International, Inc. 200 1,846 * MIPS Technologies, Inc. 20,291 110,586 * Misonix, Inc. 8,400 34,196 * Mission Resources Corp. 27,100 48,780 * Mississippi Chemical Corp. 2,100 168 Missouri Bancorp, Inc. 400 5,730 * Mitcham Industries, Inc. 1,200 2,472 * Mity Enterprises, Inc. 2,400 44,208 * MKS Instruments, Inc. 36,322 1,006,483 *# MKTG Services, Inc. 77 467 * Mobile Mini, Inc. 16,100 317,653 * Mobility Electronics, Inc. 11,300 126,560 * Mobius Management Systems, Inc. 9,100 136,591 Mocon, Inc. 1,600 13,728 * Modem Media, Inc. 7,300 46,063 Modine Manufacturing Co. 12,400 316,324 * Mod-Pac Corp. 1,350 10,571 * Mod-Pac Corp. Class B 168 1,315 * Modtech Holdings, Inc. 17,400 144,246 * Moldflow Corp. 12,400 139,500 * Molecular Devices Corp. 17,700 350,991 * Monaco Coach Corp. 29,350 682,681 * Monarch Casino and Resort, Inc. 2,500 25,350 * Mondavi (Robert) Corp. Class A 9,200 322,000 * Monolithic System Technology, Inc. 24,700 184,262 * Monro Muffler Brake, Inc. 5,250 116,288 * Monster Worldwide, Inc. 29,400 707,364 * Monterey Pasta Co. 18,200 69,706 * Moog, Inc. Class A 7,500 326,250 * Moog, Inc. Class B 200 8,764 * Moore Medical Corp. 500 3,350
38
SHARES VALUE+ -------------- ----------------- * Morgan Group Holding Co. 1,200 $ 150 * Mossimo, Inc. 2,300 11,385 * Mother's Work, Inc. 5,700 143,982 * Motor Car Parts & Accessories, Inc. 200 1,126 Movado Group, Inc. 6,400 174,016 *# Movie Gallery, Inc. 21,500 380,335 * MPS Group, Inc. 83,500 768,200 * MRO Software, Inc. 28,100 387,780 * MRV Communications, Inc. 72,500 290,725 MSC Industrial Direct Co., Inc. Class A 11,000 289,740 * MSC Software Corp. 35,900 353,615 * MTC Technologies, Inc. 7,600 227,620 * MTR Gaming Group, Inc. 22,500 249,750 MTS Systems Corp. 12,800 237,696 * Mueller Industries, Inc. 26,055 842,098 * Multi Color Corp. 2,050 58,938 * Multimedia Games, Inc. 5,700 233,301 Myers Industries, Inc. 16,155 202,422 * Mykrolis Corp. 36,900 584,496 * Myriad Genetics, Inc. 27,300 322,686 Mystic Financial, Inc. 210 5,891 * Nabi Biopharmaceuticals 46,038 495,829 Nacco Industries, Inc. Class A 3,800 296,400 *# Nanogen, Inc. 23,900 78,870 * Nanometrics, Inc. 15,400 224,840 * Nanophase Technologies Corp. 13,400 71,824 * Napco Security Systems, Inc. 1,400 11,375 Nara Bancorp, Inc. 5,000 109,550 Nash-Finch Co. 4,600 92,506 * Nashua Corp. 1,400 12,292 * Nassda Corp. 22,500 158,625 *# Nastech Pharmaceutical Co., Inc. 6,600 66,330 * NATCO Group, Inc. Class A 19,200 115,200 * Nathans Famous, Inc. 3,100 16,058 * National Beverage Corp. 3,900 58,812 * National Dentex Corp. 2,600 54,860 * National Equipment Services, Inc. 1,200 84 * National Healthcare Corp. 300 6,075 * National Home Health Care Corp. 3,097 27,377 * National Medical Health Card Systems, Inc. 4,400 101,200 * National Oilwell, Inc. 6,569 126,388 National Penn Bancshares, Inc. 6,317 211,620 National Presto Industries, Inc. 2,200 78,320 * National Processing, Inc. 10,500 254,625 * National Research Corp. 2,900 44,918 * National RV Holdings, Inc. 10,500 112,875 National Security Group, Inc. 1,000 18,875 * National Steel Corp. Class B 100 0 * National Technical Systems, Inc. 900 5,166 * National Western Life Insurance Co. Class A 1,700 248,549 * Natrol, Inc. 5,100 14,790 Nature's Sunshine Products, Inc. 8,300 67,064 * Natus Medical, Inc. 12,300 46,248 Nautilus Group, Inc. 16,350 232,661 *# Navarre Corp. 24,600 174,906 * Navigant Consulting, Inc. 39,300 679,890 *# Navigant International, Inc. 17,300 240,470 * Navigators Group, Inc. 4,000 $ 127,240 NBT Bancorp 6,700 146,596 * NBTY, Inc. 40,000 1,016,000 * NCI Building Systems, Inc. 20,800 484,432 * NCO Group, Inc. 19,700 455,070 * NCO Portfolio Management, Inc. 60 450 # NDChealth Corp. 9,900 264,825 * Neiman Marcus Group, Inc. 6,400 344,960 * Nektar Therapeutics 9,600 126,528 Nelson (Thomas), Inc. 5,000 88,000 *# Neoforma, Inc. 18,600 296,856 * Neogen Corp. 2,800 58,884 * NeoMagic Corp. 35,500 115,020 * NEON Systems, Inc. 4,800 17,280 * Neopharm, Inc. 12,263 219,998 * Neose Technologies, Inc. 19,600 165,228 * Net2Phone, Inc. 41,600 262,080 NetBank, Inc. 28,156 368,844 * Netegrity, Inc. 40,400 494,900 * NetIQ Corp. 22,900 274,571 * NetManage, Inc. 9,157 49,448 * Netopia, Inc. 22,300 341,190 * NetRatings, Inc. 37,600 380,512 * Netscout System, Inc. 37,100 323,512 * NetSolve, Inc. 9,800 80,752 * Network Associates, Inc. 45 603 * Network Engines, Inc. 26,500 276,660 * Network Equipment Technologies, Inc. 27,700 288,080 *# Network Plus Corp. 7,400 9 * Neurocrine Biosciences, Inc. 8,100 427,923 * Neurogen Corp. 21,293 135,871 * Nevada Gold & Casinos, Inc. 7,200 85,680 * New Brunswick Scientific Co., Inc. 3,751 22,877 * New Century Equity Holdings Corp. 11,400 3,648 # New Century Financial Corp. 14,700 559,335 New England Business Services, Inc. 6,900 207,000 * New Focus, Inc. 76,900 376,041 New Hampshire Thrift BancShares, Inc. 100 3,100 * New Horizons Worldwide, Inc. 75 461 New Jersey Resources Corp. 8,900 341,760 * Newfield Exploration Co. 371 15,174 Newmil Bancorp, Inc. 1,600 42,864 * Newpark Resources, Inc. 78,600 315,972 * Newport Corp. 30,000 510,900 * Newtek Business Services, Inc. 7,200 42,768 * Nextel Partners, Inc. 21,500 253,485 * Niagara Corp. 900 2,538 * NIC, Inc. 53,400 375,936 NL Industries, Inc. 3,100 55,428 * NMS Communications Corp. 8,800 51,480 * NMT Medical, Inc. 8,300 29,050 NN, Inc. 3,000 34,860 * Nobel Learning Communities, Inc. 3,200 15,680 * Nobility Homes, Inc. 1,900 20,254 Noble International, Ltd. 2,300 38,663 Nordson Corp. 500 16,255 * Norstan, Inc. 15,500 48,050 * North American Scientific, Inc. 13,900 139,000
39
SHARES VALUE+ -------------- ----------------- North Central Bancshares, Inc. 400 $ 15,404 * North Coast En 6,298 67,389 North Pittsburgh Systems, Inc. 3,900 71,873 Northeast Bancorp 200 4,050 Northeast Pennsylvania Financial Corp. 1,400 27,300 Northern Technologies International Corp. 5,100 25,475 *# Northfield Laboratories, Inc. 8,300 48,140 * Northland Cranberries, Inc. 1,375 990 Northrim BanCorp, Inc. 2,630 60,043 Northway Financial, Inc. 200 7,020 *# Northwest Airlines Corp. 18,100 239,101 Northwest Bancorp, Inc. 10,200 223,686 Northwest Natural Gas Co. 4,800 146,400 * Northwest Pipe Co. 3,900 57,720 Norwood Financial Corp. 300 7,703 * Novadigm, Inc. 20,100 74,370 * Novavax, Inc. 10,065 57,874 * Novell, Inc. 117,900 1,120,050 * Novellus Systems, Inc. 2,437 106,643 * Noven Pharmaceuticals, Inc. 18,000 247,140 * Novoste Corp. 22,500 112,725 *# NPS Pharmaceuticals, Inc. 7,900 238,422 * NS Group, Inc. 25,700 191,979 # NSD Bancorp, Inc. 1,653 40,912 * NTN Communications, Inc. 15,500 60,450 * Nu Horizons Electronics Corp. 22,495 180,410 * NuCo2, Inc. 12,600 158,508 * Nuevo Energy Co. 20,400 402,696 NUI Corp. 8,000 125,040 * Numerex Corp. Class A 1,100 4,290 NuSkin Enterprises, Inc. 14,900 258,813 * Nutraceutical International Corp. 12,600 163,170 * Nuvelo, Inc. 15,500 60,605 NWH, Inc. 3,200 62,176 * NYFIX, Inc. 37,025 308,418 Nymagic, Inc. 5,500 147,565 * O'Charleys, Inc. 23,300 397,265 * O'Reilly Automotive, Inc. 9,200 400,384 * O.I. Corp. 1,000 7,135 Oak Hill Financial, Inc. 1,200 37,200 Oakley, Inc. 17,900 234,490 * OAO Technology Solutions, Inc. 8,100 25,272 * Obie Media Corp. 1,100 2,987 * Oceaneering International, Inc. 17,000 371,450 OceanFirst Financial Corp. 7,800 205,686 * Ocular Sciences, Inc. 23,300 667,079 * Ocwen Financial Corp. 71,300 495,535 *# Officemax, Inc. 82,301 809,019 * Offshore Logistics, Inc. 20,900 527,725 *# Ohio Casualty Corp. 48,600 826,686 * Oil States International, Inc. 43,300 543,848 Oil-Dri Corp. of America 800 11,992 * Old Dominion Freight Lines, Inc. 12,050 384,034 Olin Corp. 900 16,389 * Olympic Steel, Inc. 4,000 22,580 * OM Group, Inc. 31,900 772,299 * Omega Protein Corp. 21,371 133,569 * Omnicell, Inc. 8,900 117,124 * OmniVision Technologies, Inc. 15,600 1,016,496 * Omnova Solutions, Inc. 10,300 $ 37,595 * On Assignment, Inc. 29,130 147,689 * ON Semiconductor Corp. 197,800 1,301,524 * On Technology Corp. 20,400 80,254 * On2.cCom, Inc. 4,000 6,400 * One Price Clothing Stores, Inc. 143 80 # Oneida, Ltd. 19,300 91,675 * OneSource Information Services, Inc. 5,700 56,082 * Online Resources Corp. 13,100 84,364 *# Onvia.com, Inc. 100 450 * Onyx Acceptance Corp. 500 5,510 * Onyx Pharmacueticals, Inc. 15,100 434,578 * ONYX Software Corp. 7,200 29,023 * OPENT Technologies, Inc. 24,200 435,358 * Openwave Systems Inc 34,900 419,847 * Opinion Research Corp. 5,400 30,618 * Opti, Inc. 2,700 3,834 * Optical Communication Products, Inc. 30,777 122,185 * Optical Sensors, Inc. 300 1,230 * OpticNet, Inc. 950 1 * Option Care, Inc. 22,875 227,378 * OraSure Technologies, Inc. 9,200 76,728 * Orbital Sciences Corp. 36,400 333,788 * Oregon Steel Mills, Inc. 34,100 101,277 * Orleans Homebuilders, Inc. 12,400 351,416 * Orphan Medical, Inc. 2,600 24,440 *# Orthodontic Centers of America, Inc. 57,700 409,093 * Orthologic Corp. 34,800 251,256 Oshkosh B'Gosh, Inc. Class A 5,000 108,000 Oshkosh Truck Corp. Class B 16,200 759,780 * OSI Pharmaceutical, Inc. 11,700 347,841 *# OSI Systems, Inc. 16,200 300,996 * Osteotech, Inc. 20,300 155,295 Otter Tail Co. 4,700 127,981 Outlook Group Corp. 400 2,000 * Overland Storage, Inc. 11,100 218,226 Overseas Shipholding Group, Inc. 12,000 337,800 * Overstock Com 7,300 115,413 Owens & Minor, Inc. 16,400 347,844 * Owens-Illinois, Inc. 73,200 825,696 * Owosso Corp. 700 56 Oxford Industries, Inc. 2,300 157,044 *# Oxigene, Inc. 3,300 32,373 * OYO Geospace Corp. 2,300 30,567 * P&F Industries, Inc. Class A 1,300 11,050 *# P.F. Chang's China Bistro, Inc. 10,400 561,392 Pacific Capital Bancorp 27,733 1,024,734 *# Pacific Mercantile Bancorp 4,200 38,640 * Pacific Premier Bancorp, Inc. 420 4,053 * Pacific Sunwear of California, Inc. 40,725 926,901 * Pacificare Health Systems, Inc. 23,900 1,556,129 * Packaging Dynamics Corp. 3,440 37,324 * Packeteer, Inc. 3,000 56,907 * Pac-West Telecomm, Inc. 1,900 4,218 * Pain Therapeutics, Inc. 19,200 117,120 * Palm Harbor Homes, Inc. 22,931 435,689 * Palmone Inc 22,400 335,328 * Palmsource Inc 6,946 177,766
40
SHARES VALUE+ -------------- ----------------- * PAM Transportation Services, Inc. 12,461 $ 243,613 * Panavision, Inc. 700 4,148 * Panera Bread Co. 10,600 413,188 * Pantry, Inc. 4,400 101,336 *# Papa John's International, Inc. 21,500 567,385 * Par Technology Corp. 900 7,137 * Paradyne Networks Corp. 49,690 228,077 * Paragon Technologies, Inc. 1,900 18,221 * Parallel Petroleum Corp. 25,290 96,330 * Parametric Technology Corp. 22,400 76,608 * Parexel International Corp. 25,900 478,632 Park Electrochemical Corp. 12,650 323,208 * Parker Drilling Co. 94,800 226,572 *# Parkervision, Inc. 7,113 71,130 * Park-Ohio Holdings Corp. 6,400 46,912 Parkvale Financial Corp. 1,200 32,004 * Parlex Corp. 6,400 52,160 * ParthusCeva, Inc. 366 3,203 * Party City Corp. 13,100 188,116 * Pathmark Stores, Inc. 33,800 245,388 * Patient Infosystems, Inc. 1,600 464 Patina Oil & Gas Corp. 15,781 708,251 Patriot Bank Corp. 3,355 74,649 * Patriot Transportation Holding, Inc. 1,500 44,715 *# Patterson-UTI Energy, Inc. 15,500 445,315 * Paxar Corp. 34,831 458,028 * Paxson Communications Corp. 19,100 91,680 * Payless ShoeSource, Inc. 54,300 699,384 * PC Connection, Inc. 27,000 236,250 * PC Mall, Inc. 6,300 84,168 * PC-Tel, Inc. 22,600 202,270 * PDF Solutions, Inc. 18,800 208,116 * PDI, Inc. 17,966 519,217 Peabody Energy Corp. 14,500 488,650 * PEC Solutions, Inc. 18,900 340,389 * Pediatrix Medical Group, Inc. 15,600 837,096 * Peerless Manufacturing Co. 900 10,670 * Peerless Systems Corp. 15,100 51,340 * Peet's Coffee & Tea, Inc. 9,000 151,380 *# Pegasus Communications Corp. 6,000 120,420 * Pegasus Solutions, Inc. 26,300 312,444 * Pegasystems, Inc. 37,500 300,000 * Pemstar, Inc. 50,655 190,463 Penford Corp. 500 7,215 * Penn National Gaming, Inc. 19,800 467,676 * Penn Treaty American Corp. 19,900 32,039 Penn Virginia Corp. 4,010 188,109 Penn-America Group, Inc. 8,828 128,977 Pennfed Financial Services, Inc. 800 25,799 * Penwest Pharmaceuticals Co. 6,400 98,560 * Peoples Community Bancorp 1,100 24,475 Peoples Holding Co. 900 44,784 # Pep Boys - Manny, Moe & Jack 55,600 1,139,800 * Perceptron, Inc. 10,135 74,999 * Performance Food Group Co. 14,600 573,926 * Performance Technologies, Inc. 13,050 176,045 * Pericom Semiconductor Corp. 28,900 338,708 * Perini Corp. 10,400 93,704 * Perot Systems Corp. 72,200 895,280 Perrigo Co. 44,800 676,032 * Perry Ellis International, Inc. 10,700 259,593 * Per-Se Technologies, Inc. 14,333 $ 201,379 * Pervasive Software, Inc. 16,700 124,415 * Petrocorp, Inc. 5,200 70,408 * Petroleum Development Corp. 20,400 289,680 # PetSmart, Inc. 34,200 826,272 PFF Bancorp, Inc. 9,380 350,812 * Pharmaceutical Products Development Service Co. 15,000 445,200 * Pharmaceutical Resources, Inc. 15,100 1,095,958 * Pharmacopeia, Inc. 27,500 343,750 * Pharmacyclics, Inc. 20,300 129,920 *# Pharmanetics, Inc. 400 852 * PharmChem, Inc. 700 196 * Philadelphia Consolidated Holding Corp. 15,400 779,702 Phillips-Van Heusen Corp. 14,800 260,480 * Phoenix Technologies, Ltd. 28,500 248,235 * Photoelectron Corp. 10,600 106 * Photon Dynamics, Inc. 16,000 652,960 * Photronics, Inc. 20,495 378,543 * Piccadilly Cafeterias, Inc. 6,200 1,116 * Pico Holdings, Inc. 10,600 159,212 Pier 1 Imports, Inc. 23,600 601,800 Pilgrims Pride Corp. Class B 25,400 379,730 Pinnacle Bancshares, Inc. 100 1,625 * Pinnacle Entertainment, Inc. 30,900 282,117 * Pinnacle Systems, Inc. 31,100 259,374 * Pinnacor, Inc. 13,000 29,510 * Pioneer Drilling Co. 1,600 5,952 * Pioneer Natural Resources Co. 400 11,344 * Pixelworks, Inc. 36,300 479,160 * Plains Exploration & Production Co. 27,965 391,790 * Plains Resources, Inc. 19,500 302,640 * Planar Systems, Inc. 13,200 314,160 * Plantronics, Inc. 7,700 235,928 * PlanVista Corp. 4,929 9,365 * Plato Learning, Inc. 26,192 260,087 * Playboy Enterprises, Inc. Class A 2,400 36,240 * Playboy Enterprises, Inc. Class B 17,400 282,054 * Playtex Products, Inc. 26,100 180,873 * Plexus Corp. 29,500 523,625 * Plug Power, Inc. 37,700 218,283 * PLX Technology, Inc. 28,300 266,020 # PMA Capital Corp. Class A 5,500 21,835 * PMC Sierra, Inc. 1,300 26,481 PNM Resources, Inc. 13,700 383,737 Pocahontas Bancorp, Inc. 1,600 22,560 Pogo Producing Co. 6,800 296,140 * Point.360 3,700 18,463 # Polaris Industries, Inc. 5,300 456,701 * Polycom, Inc. 32,800 650,096 PolyMedica Corp. 20,800 539,136 * Polyone Corp. 3,200 19,040 Pomeroy IT Solutions, Inc. 17,400 254,214 Pope & Talbot, Inc. 8,200 111,110 * Possis Medical, Inc. 8,300 141,432 Potlatch Corp. 7,800 251,550 * Powell Industries, Inc. 13,468 227,070 * Power Intergrations, Inc. 10,900 394,907 * PowerCerv Corp. 288 23 * Power-One, Inc. 30,000 252,900
41
SHARES VALUE+ -------------- ----------------- * Powerwave Technologies, Inc. 63,700 $ 474,565 * Pozen, Inc. 28,600 336,336 * PRAECIS Pharmaceuticals, Inc. 53,100 403,560 Precision Castparts Corp. 3,400 137,768 * Premier Financial Bancorp 100 805 *# Pre-Paid Legal Services, Inc. 8,300 220,863 Presidential Life Corp. 26,700 387,150 * Presstek, Inc. 36,200 291,410 *# PRG-Schultz International, Inc. 59,580 294,921 * Price Communications Corp. 43,243 555,673 * Priceline.com, Inc. 4,183 79,728 * Pride International, Inc. 37,000 590,150 * Prima Energy Corp. 10,225 302,660 * Prime Hospitality Corp. 50,100 552,102 * Prime Medical Services, Inc. 16,344 82,864 * PRIMEDIA, Inc. 86,874 251,935 * Primus Knowledge Solutions, Inc. 1,400 6,230 Princeton National Bancorp, Inc. 1,400 39,200 * Princeton Review, Inc. 11,000 88,000 * Printronix, Inc. 1,200 19,788 *# Priority Healthcare Corp. 9,300 213,249 * Private Business, Inc. 454 645 PrivateBancorp, Inc. 1,800 76,284 *# Proassurance Corp. 22,600 698,340 * Procom Technology, Inc. 1,200 534 * Progenics Pharmaceuticals, Inc. 10,000 175,400 Progress Financial Corp. 1,211 36,851 * Progress Software Corp. 35,400 741,984 * Progressive Software Holding, Inc. 60 0 * ProQuest Co. 8,800 265,760 Prosperity Bancshares, Inc. 9,100 197,106 * Protection One, Inc. 47,900 21,555 *# Protein Design Labs, Inc. 59,700 827,442 Proton Energy Systems, Inc. 30,800 80,696 * Provant, Inc. 1,700 2 Providence & Worcester Railroad Co. 1,900 17,252 Provident Bancorp, Inc. 1,000 47,950 Provident Bankshares Corp. 9,462 274,966 Provident Financial Holdings, Inc. 900 30,159 * Province Healthcare Co. 38,850 595,571 *# ProxyMed, Inc. 800 12,904 * PSB Bancorp, Inc. 500 5,125 * PSS World Medical, Inc. 66,300 679,575 * Psychiatric Solutions, Inc. 4,100 62,402 * PTEK Holdings, Inc. 38,000 331,360 Pulaski Financial Corp. 1,400 22,386 Pulitzer, Inc. 2,700 143,100 * Puma Technology, Inc. 10,000 60,500 * PW Eagle, Inc. 4,700 18,795 Pyramid Breweries, Inc. 8,400 26,712 * Qad, Inc. 21,700 267,561 * QEP Co., Inc. 200 2,360 * QRS Corp. 18,630 189,840 Quaker Chemical Corp. 4,080 107,018 Quaker City Bancorp, Inc. 3,984 168,244 Quaker Fabric Corp. 18,500 161,505 * Quality Dining, Inc. 2,300 6,647 * Quality Systems, Inc. 2,900 124,120 Quanex Corp. 6,700 264,851 * Quanta Services, Inc. 92,900 710,685 * Quantum Corp.- DLT 28,400 $ 89,744 * Quantum Fuel Systems Technologies Worldwide, Inc. 600 4,194 * Quest Software, Inc. 61,400 911,790 * Quicklogic Corp. 17,400 108,576 * Quidel Corp. 28,700 246,820 * Quigley Corp. 10,200 86,598 * Quiksilver, Inc. 26,800 481,864 * Quinton Cardiology Systems, Inc. 14,491 115,203 * Quipp, Inc. 2,507 30,711 Quixote Corp. 2,600 64,064 * Quovadx, Inc. 39,100 190,417 * R & B, Inc. 3,700 51,800 * R H Donnelley Corp. 11,200 450,800 * Radiant Systems, Inc. 26,950 191,345 * Radio One, Inc. 11,100 194,916 * Radiologix, Inc. 25,700 78,385 * RadiSys Corp. 18,011 331,402 * Railamerica, Inc. 34,600 392,710 * Rainbow Rentals, Inc. 2,400 17,762 * Rainbow Technologies, Inc. 24,200 300,080 * Ralcorp Holdings, Inc. 20,400 617,712 *# Rambus, Inc. 20,200 606,000 * Ramtron International Corp. 14,000 34,720 * Range Resources Corp. 52,600 415,540 * Rare Hospitality International, Inc. 19,950 498,750 Raven Industries, Inc. 3,000 83,070 Rayonier, Inc. 5,697 211,267 * Rayovac Corp. 19,500 350,805 * Raytech Corp. 19,460 72,002 * RC2 Corp. 17,700 376,656 * RCM Technologies, Inc. 5,300 38,584 *# RCN Corp. 51,700 52,734 * Reading International, Inc. Class A 560 3,494 * Reading International, Inc. Class B 140 826 * RealNetworks, Inc. 149,600 893,112 * Red Hat, Inc. 80,100 1,063,728 *# Redhook Ale Brewery, Inc. 5,500 16,385 Redwood Empire Bancorp 1,575 39,777 Reebok International, Ltd. 25,000 1,006,000 * Refac 40 200 Regal-Beloit Corp. 10,500 216,825 * Regeneration Technologies, Inc. 20,400 212,160 * Regeneron Pharmaceuticals, Inc. 7,300 94,024 * Regent Communications, Inc. 49,325 321,106 Regis Corp. 20,400 835,380 * Register.Com, Inc. 33,200 161,020 * Rehabcare Group, Inc. 16,700 296,592 * Reliability, Inc. 1,900 2,071 Reliance Steel & Aluminum Co. 13,900 409,772 * Reliant Resources, Inc. 62,500 410,000 * Remec, Inc. 55,362 621,162 * RemedyTemp, Inc. 2,900 31,813 * Remington Oil & Gas Corp. 18,900 337,365 *# Renaissance Learning, Inc. 9,800 227,360 * Renal Care Group, Inc. 4,700 189,692 * Rent-A-Center, Inc. 20,250 657,923 * Rentrak Corp. 8,500 67,915 * Rent-Way, Inc. 32,000 237,120 * Repligen Corp. 16,600 80,178 * Reptron Electronics, Inc. 1,500 255
42
SHARES VALUE+ -------------- ----------------- Republic Bancorp, Inc. 30,972 $ 425,875 Republic Bancorp, Inc. Class A 1,000 19,700 Republic Bankshares, Inc. 12,930 385,702 * Republic First Bancorp, Inc. 2,500 32,525 * Res-Care, Inc. 31,149 228,945 * ResMed, Inc. 2,600 101,400 Resource America, Inc. 10,900 142,027 * Resources Connection, Inc. 5,400 147,852 * Respironics, Inc. 11,917 542,224 * Restoration Hardware, Inc. 33,800 207,194 * Retail Ventures Inc. 39,800 214,920 * Retek, Inc. 45,500 472,290 *# Revlon, Inc. 572 1,373 * Rex Stores Corp. 14,725 231,624 * Rexhall Industries, Inc. 2,600 7,579 Reynolds & Reynolds Co. 1,000 27,740 * RF Micro Devices, Inc. 4,000 46,600 * RF Monolithics, Inc. 7,500 65,775 *# Rhythms NetConnections, Inc. 1,700 0 Richardson Electronics, Ltd. 12,300 125,460 Riggs National Corp. 14,114 242,196 * Right Management Consultants, Inc. 22,750 406,543 * Rimage Corp. 4,200 64,260 * Rita Medical Systems, Inc. 13,900 59,075 * Riverstone Networks, Inc. 90,600 99,660 Riverview Bancorp, Inc. 900 19,242 Rivianna Foods, Inc. 3,800 112,062 * Riviera Holdings Corp. 1,100 5,990 * Riviera Tool Co. 300 1,353 RLI Corp. 9,500 343,900 * RMH Teleservices, Inc. 19,200 99,072 # Roadway Corp. 8,700 443,700 Roanoke Electric Steel Corp. 800 7,720 Robbins & Myers, Inc. 8,900 196,334 * Rochester Medical Corp. 2,400 21,480 Rock of Ages Co. 1,800 10,422 Rock-Tenn Co. Class A 26,600 422,940 * Rocky Shoes & Boots, Inc. 1,500 25,950 * Rofin-Sinar Technologies, Inc. 5,500 176,935 * Rogers Corp. 7,900 346,810 * Rogue Wave Software, Inc. 6,300 41,391 * Rohn Industries, Inc. 8,100 162 Rollins, Inc. 27,300 608,244 Roper Industries, Inc. 1,200 60,168 * Ross Systems, Inc. 1,100 19,811 Roto-Rooter, Inc. 6,600 242,946 * Rouge Industries, Inc. Class A 1,800 144 * Rowan Companies, Inc. 6,500 137,605 Royal Bancshares of Pennsylvania Class A 114 3,032 Royal Gold, Inc. 8,600 183,266 * Royale Energy, Inc. 2,159 19,431 RPC, Inc. 9,200 92,460 * RSA Security, Inc. 43,400 637,980 * RTI International Metals, Inc. 22,800 308,940 * RTW, Inc. 2,000 12,918 * Rubio's Restaurants, Inc. 10,048 60,790 Ruby Tuesday, Inc. 16,600 483,392 Ruddick Corp. 28,900 488,410 * Rudolph Technologies, Inc. 15,100 349,565 * Rush Enterprises, Inc. Class A 2,900 $ 22,417 * Rush Enterprises, Inc. Class B 2,900 23,722 Russ Berrie & Co., Inc. 9,900 330,165 Russell Corp. 15,900 292,401 * Ryan's Family Steak Houses, Inc. 33,650 499,366 Ryder System, Inc. 18,100 564,539 Ryerson Tull, Inc. 13,100 118,031 Ryland Group, Inc. 16,328 1,504,625 * S&K Famous Brands, Inc. 900 16,092 S&T Bancorp, Inc. 5,400 164,052 * S1 Corp. 70,000 618,100 * Saba Software, Inc. 12,800 48,666 * Safeguard Scientifics, Inc. 126,200 431,604 * SafeNet, Inc. 3,100 103,044 * Safety Components International, Inc. 14 165 * Saga Communications, Inc. Class A 18,275 319,264 * Saks, Inc. 36,600 562,908 * Salem Communications Corp. 8,300 205,591 Salisbury Bancorp, Inc. 200 7,300 *# Salton, Inc. 13,800 185,748 *# Samsonite Corp. 100 68 * San Filippo (John B.) & Son, Inc. 5,900 234,820 * Sanchez Computer Associates, Inc. 29,442 128,073 Sanders Morris Harris Group, Inc. 14,000 139,300 Sanderson Farms, Inc. 7,600 261,288 * Sandisk Corp. 41,600 3,363,776 Sandy Spring Bancorp, Inc. 3,050 121,695 * Sangamo BioSciences, Inc. 32,200 146,832 * Sapient Corp. 75,600 424,872 *# Satcon Technology Corp. 12,300 31,980 Saucony, Inc. Class A 300 5,094 Saucony, Inc. Class B 1,500 24,900 Sauer-Danfoss, Inc. 16,100 257,600 * Savient Pharmaceuticals, Inc. 57,932 286,184 * Saxon Capital, Inc. 13,100 247,197 * SBA Communications Corp. 45,700 158,122 * SBE, Inc. 100 824 * SBS Technologies, Inc. 19,700 288,605 * ScanSoft, Inc. 42,874 257,244 * ScanSource, Inc. 9,200 402,408 Schawk, Inc. Class A 4,600 62,560 * Scheid Vineyards, Inc. 2,700 11,354 * Schein (Henry), Inc. 8,400 565,236 *# Schick Technologies, Inc. 500 3,875 * Schieb (Earl), Inc. 400 1,058 * Schlotzskys, Inc. 3,000 7,560 Schnitzer Steel Industries, Inc. Class A 2,200 119,042 * Scholastic Corp. 29,979 994,703 * School Specialty, Inc. 900 26,064 * Schuff International, Inc. 300 429 Schulman (A.), Inc. 14,600 285,430 Schweitzer-Maudoit International, Inc. 8,800 243,936 * Sciclone Pharmaceuticals, Inc. 16,700 122,745 * Scientific Games Corp. 41,800 679,668 * Scientific Learning Corp. 4,300 19,823 * SCM Microsystems, Inc. 17,928 148,802 Scope Industries, Inc. 400 30,360
43
SHARES VALUE+ -------------- ----------------- * Scotts Co. Class A 13,000 $ 773,370 * SCP Pool Corp. 20,625 738,788 SCPIE Holdings, Inc. 900 8,955 * SCS Transportation, Inc. 7,750 128,883 Seaboard Corp. 270 62,235 * Seabulk International, Inc. 1,800 15,750 * Seachange International, Inc. 24,650 370,983 Seacoast Financial Services Corp. 560 15,372 * Seacor Smit, Inc. 14,700 560,658 * Seattle Genetics, Inc. 39,500 245,690 Second Bancorp, Inc. 1,300 36,790 * Secure Computing Corp. 19,356 290,921 * Security National Financial Corp. Class A 1,680 11,777 * SeeBeyond Technology Corp. 65,800 255,304 * Segue Software, Inc. 4,000 10,280 * Select Comfort Corp. 9,200 247,572 * Select Medical Corp. 11,900 426,615 * Selectica, Inc. 42,600 197,664 Selective Insurance Group, Inc. 11,100 359,751 SEMCO Energy, Inc. 5,000 24,500 * Semitool, Inc. 34,000 386,920 * Semtech Corp. 9,200 223,560 * SEMX Corp. 2,200 220 * Seneca Foods Corp. Class B 400 8,034 # Sensient Technologies Corp. 11,300 213,005 * Sensytech, Inc. 5,700 82,935 * Sepracor, Inc. 19,700 488,166 * Sequa Corp. Class A 3,400 162,350 * Sequa Corp. Class B 1,600 78,320 * Sequenom, Inc. 46,700 168,167 * SeraCare Life Sciences, Inc. 880 9,680 * Serena Software, Inc. 13,500 259,470 * Serologicals Corp. 26,100 450,225 * Service Corp. International 205,700 1,018,215 * SFBC International, Inc. 9,300 239,475 * Shared Technologies Cellular, Inc. 1,800 5 * Sharper Image Corp. 9,300 294,066 * Shaw Group, Inc. 34,700 451,794 * Sheffield Pharmceuticals, Inc. 3,800 0 * Shiloh Industries, Inc. 6,700 30,251 * Shoe Carnival, Inc. 13,993 252,993 * Shoe Pavilion, Inc. 600 765 * Sholodge, Inc. 2,100 9,188 * Shopko Stores, Inc. 32,600 542,790 * Shuffle Master, Inc. 8,700 260,217 * SICOR, Inc. 8,000 221,120 * Siebert Financial Corp. 10,800 35,424 * Sierra Health Services, Inc. 19,600 537,040 *# Sierra Pacific Resources 93,400 647,262 * Sifco Industries, Inc. 400 1,400 *# Sigma Designs, Inc. 8,200 48,626 * Silgan Holdings, Inc. 6,700 230,815 * Silicon Image, Inc. 19,500 144,300 * Silicon Laboratories, Inc. 2,100 103,047 * Silicon Storage Technology, Inc. 60,400 819,628 *# Silicon Valley Bancshares 26,200 962,326 * Siliconix, Inc. 12,700 645,033 Simmons First National Corp. Class A 6,102 161,886 * Simon Worldwide, Inc. 3,500 271 * SimpleTech, Inc. 47,900 $ 321,840 * Simpson Manufacturing Co., Inc. 14,400 708,480 * Simula, Inc. 3,900 12,285 * Sinclair Broadcast Group, Inc. Class A 22,100 253,487 * Sipex Corp. 36,000 338,400 * Sirenza Microdevices, Inc. 21,603 125,945 * Sitel Corp. 39,500 92,825 * Six Flags, Inc. 56,500 381,375 * Skechers U.S.A., Inc. Class A 20,968 155,792 * SkillSoft P.L.C. 4,127 31,902 Skyline Corp. 3,800 121,980 Skywest, Inc. 15,520 267,720 *# Skyworks Solutions, Inc. 81,000 711,990 * SL Industries, Inc. 2,400 19,320 * Smart & Final Food, Inc. 3,800 34,694 * SmartDisk Corp. 2,600 845 * Smith & Wollensky Restaurant Group, Inc. 7,100 41,464 Smith (A.O.) Corp. 7,400 260,036 Smith (A.O.) Corp. Convertible Class A 200 7,028 * Smithfield Foods, Inc. 3,700 86,765 * Smithway Motor Xpress Corp. Class A 700 833 * Sola International, Inc. 27,800 544,880 * Solutia, Inc. 48,200 132,550 Sonesta International Hotels Corp. Class A 1,400 6,412 Sonic Automotive, Inc. 18,100 406,345 * Sonic Corp. 19,850 612,770 * Sonic Foundry, Inc. 600 1,320 * Sonic Innovations, Inc. 23,595 143,930 * Sonic Solutions 7,200 135,864 * SonicWALL, Inc. 71,855 574,121 * SonoSite, Inc. 14,700 310,464 * Sonus Pharmaceuticals, Inc. 16,200 82,782 * Sorrento Networks Corp. 6,700 17,889 * Sotheby's Holdings, Inc. Class A 200 2,320 Sound Federal Bancorp, Inc. 5,958 100,392 * SoundView Technology Group, Inc. 10,660 164,590 * Source Information Management, Inc. 19,300 187,017 * Sourcecorp, Inc. 18,200 445,172 South Financial Group, Inc. 17,280 492,480 South Jersey Industries, Inc. 1,458 57,445 * Southern Energy Homes, Inc. 5,200 13,780 * Southern Union Co. 50,232 918,241 * Southwall Technologies, Inc. 4,400 3,828 Southwest Bancorporation of Texas, Inc. 20,400 779,892 Southwest Gas Corp. 6,300 142,065 Southwest Georgia Financial Corp. 1,100 24,860 Southwest Water Co. 4,740 75,271 * Southwestern Energy Co. 25,400 518,414 Span-American Medical System, Inc. 200 2,420 * Spanish Broadcasting System, Inc. 26,100 262,305 * SPAR Group, Inc. 700 2,555 Spartan Motors, Inc. 11,000 104,500 * Spartan Stores, Inc. 24,320 119,168 Spartech Corp. 15,500 341,000
44
SHARES VALUE+ -------------- ----------------- * Sparton Corp. 3,528 $ 38,561 * Specialty Laboratories, Inc. 20,500 342,350 * SpectraLink Corp. 13,000 267,670 * Spectranetics Corp. 15,600 52,260 * Spectrum Control, Inc. 5,800 41,302 * SpectRx, Inc. 1,400 3,010 Speedway Motorsports, Inc. 24,500 717,850 * Spherion Corp. 55,200 493,488 *# Spherix, Inc. 5,300 36,835 * Spiegel, Inc. Class A Non-Voting 6,000 525 * Spinnaker Exploration Co. 26,000 684,840 * Spire Corp. 3,100 13,268 * Sport Chalet, Inc. 2,300 21,482 * Sport-Haley, Inc. 600 2,472 * Sports Club Co., Inc. 200 400 * SportsLine.Com, Inc. 2,600 2,834 * Sportsman's Guide, Inc. 4,500 80,546 * SPS Technologies, Inc. 11,600 567,936 * SPSS, Inc. 15,931 308,583 *# SR Telecom, Inc. 613 3,494 * SRA International, Inc. 6,200 273,482 * SRI/Surgical Express, Inc. 2,100 13,913 * SRS Labs, Inc. 12,500 129,375 SS&C Technologies, Inc. 10,800 318,600 *# SSE Telecom, Inc. 1,200 3 St. Francis Capital Corp. 3,000 104,430 St. Mary Land & Exploration Co. 18,700 480,590 * Staar Surgical Co. 17,879 196,508 * Stamps.com, Inc. 50,251 314,069 Standard Commercial Corp. 8,600 179,310 * Standard Management Corp. 3,100 10,137 * Standard Microsystems Corp. 16,100 431,480 Standard Motor Products, Inc. Class A 5,000 50,250 Standard Pacific Corp. 15,000 748,950 Standard Register Co. 9,700 154,036 Standex International Corp. 6,200 169,074 Stanley Furniture, Inc. 4,000 127,640 * Star Scientific, Inc. 12,517 25,410 StarTek, Inc. 1,600 61,872 State Auto Financial Corp. 23,300 605,567 State Financial Services Corp. Class A 4,000 106,200 # Staten Island Bancorp, Inc. 29,400 676,200 Station Casinos, Inc. 26,450 824,711 * Steak n Shake Co. 24,082 423,843 *# Steel Dynamics, Inc. 36,800 736,736 Steel Technologies, Inc. 4,800 73,920 *# SteelCloud Co. 2,200 11,242 * Stein Mart, Inc. 39,918 355,669 * Steinway Musical Instruments, Inc. 2,300 54,970 * Stellent, Inc. 29,700 293,139 Stepan Co. 200 5,012 Stephan Co. 900 3,852 * Stericycle, Inc. 14,800 731,120 * Steris Corp. 31,900 737,847 Sterling Bancorp 4,103 120,259 Sterling Bancshares 19,650 249,752 * Sterling Financial Corp. 14,948 502,402 Stewart & Stevenson Services, Inc. 11,400 160,056 * Stewart Enterprises, Inc. 112,400 524,908 * Stewart Information Services Corp. 13,400 $ 517,642 * Stifel Financial Corp. 3,500 59,990 * Stillwater Mining Co. 11,300 95,146 * Stone Energy Corp. 27,684 1,034,274 *# Stonepath Group, Inc. 35,200 92,928 * Stoneridge, Inc. 24,800 331,080 * Storage Technology Corp. 2,500 63,000 * Stratasys, Inc. 2,400 108,000 * Strategic Diagnostics, Inc. 19,300 89,745 Strategic Distribution, Inc. 800 12,008 * Stratesec, Inc. 200 2 * Stratex Networks, Inc. 70,200 249,912 * Stratos International, Inc. 9,067 67,912 * Strattec Security Corp. 3,400 202,300 * Stratus Properties, Inc. 2,150 22,747 Strayer Ed, Inc. 7,700 860,321 Stride Rite Corp. 25,100 290,407 Sturm Ruger & Co., Inc. 6,200 71,486 * Styleclick, Inc. Class A 3,600 72 * Suburban Lodges of America, Inc. Escrow Shares 4,100 0 * Summa Industries, Inc. 3,300 29,040 * Summit America Television, Inc. 51,300 184,680 Summit Bancshares, Inc. 200 5,606 * Sun Bancorp, Inc. 11,709 265,209 * Sunair Electronics, Inc. 300 1,920 *# Sunrise Senior Living, Inc. 16,900 583,388 Sunrise Telecom, Inc. 11,300 44,070 *# Superconductor Technologies, Inc. 8,300 61,586 *# Supergen, Inc. 28,300 299,131 * Superior Consultant Holdings Corp. 5,000 23,800 * Superior Energy Services, Inc. 52,100 441,808 # Superior Industries International, Inc. 7,500 333,600 Superior Uniform Group, Inc. 700 11,438 * Supertex, Inc. 9,900 171,666 * SupportSoft, Inc. 21,700 318,122 Supreme Industries, Inc. 3,410 19,863 *# SureBeam Corp. 40,672 10,778 SureWest Communications 800 31,392 *# SurModics, Inc. 4,600 97,382 Susquehanna Bancshares, Inc. 15,700 417,934 * SVB Financial Services, Inc. 220 3,699 * Swift Energy Corp. 30,800 437,052 * Swift Transportation, Inc. 13,750 273,900 *# Switchboard, Inc. 23,700 158,790 SWS Group, Inc. 12,698 238,849 * Sybase, Inc. 28,600 586,300 * Sybron Dental Specialties, Inc. 10,200 293,862 * Sycamore Networks, Inc. 187,400 996,968 * Sykes Enterprises, Inc. 41,285 377,345 * Sylvan Learning Systems, Inc. 24,400 789,828 * Sylvan, Inc. 1,100 13,294 * Symmetricom, Inc. 48,932 344,188 * Syms Corp. 16,800 116,592 * Symyx Technologies 2,200 43,890 * Synalloy Corp. 200 1,370 * Synaptics, Inc. 14,300 195,481 * Synovis Life Technologies, Inc. 7,600 195,396 * Synplicity, Inc. 5,300 38,637 Syntel, Inc. 22,000 559,680
45
SHARES VALUE+ -------------- ----------------- * Syntroleum Corp. 13,200 $ 51,612 Sypris Solutions, Inc. 9,168 125,143 * Systemax, Inc. 9,200 66,700 * Systems & Computer Technology Corp. 33,800 517,140 * T-Netix, Inc. 7,000 26,943 * Tag-It Pacific, Inc. 8,200 41,410 *# Take Two Interactive Software 18,700 618,970 * TALK America Holdings, Inc. 12,700 142,875 TALX Corp. 9,376 245,651 Tandy Brand Accessories, Inc. 2,500 37,500 * Tanox, Inc. 33,400 502,336 * Tarrant Apparel Group 5,600 22,400 Tasty Baking Co. 2,600 21,970 TB Woods Corp. 4,700 37,130 * TBC Corp. 19,800 586,674 * Team, Inc. 3,000 30,000 * TeamStaff, Inc. 17,000 37,570 Teche Holding Co. 400 14,490 * Technitrol, Inc. 28,300 673,257 * TechTeam Global, Inc. 11,600 78,300 Tecumseh Products Co. Class A 2,529 104,094 * Tejon Ranch Co. 7,100 280,450 * Tekelec 24,200 404,140 *# TeleCommunication Systems, Inc. 20,100 106,530 * Teledyne Technologies Inc 22,700 389,986 * Teletech Holdings, Inc. 69,585 699,329 * Telik, Inc. 12,500 252,625 * Telular Corp. 16,338 119,921 * TenFold Corp. 8,300 17,679 Tennant Co. 4,800 206,976 * Tenneco Automotive, Inc. 48,700 270,285 * Terayon Communication Systems, Inc. 61,800 369,564 * Terex Corp. 40,708 1,049,859 * Terra Industries, Inc. 63,000 203,490 * Tesoro Petroleum Corp. 51,700 655,556 * Tessco Technologies, Inc. 1,200 18,372 *# Tetra Tech, Inc. 32,912 839,256 * Tetra Technologies, Inc. 19,850 444,640 Texas Industries, Inc. 8,500 248,285 Texas Regional Banchshares, Inc. Class A 10,378 386,062 TF Financial Corp. 400 13,748 * The Banc Corp. 16,000 139,520 The Brink's Co. 23,718 526,540 * The Dress Barn, Inc. 29,200 427,488 The Marcus Corp. 14,300 213,785 *# The Medicines Co. 23,500 643,195 The Phoenix Companies, Inc. 17,400 195,750 * The Sports Authority, Inc. 21,701 943,994 * Theragenics Corp. 37,800 185,598 * Therasense, Inc. 9,900 168,795 * Thermo-Electron Corp. 3,150 75,285 * TheStreet.com, Inc. 23,200 106,024 * Third Wave Technologies 36,562 157,217 Thistle Group Holdings Co. 1,600 41,520 Thomas & Betts Corp. 46,600 969,280 Thomas Industries, Inc. 5,300 167,056 Thor Industries, Inc. 16,900 1,030,562 * Thoratec Corp. 34,095 480,399 * THQ, Inc. 30,150 $ 485,114 * Three-Five Systems, Inc. 25,401 135,387 * TIBCO Software, Inc. 152,200 890,370 * Tidel Technologies, Inc. 4,800 3,720 * Tier Technologies, Inc. Class B 22,400 174,944 * TII Network Technologies, Inc. 1,800 4,590 Timberland Bancorp, Inc. 1,500 36,465 * Timberland Co. Class A 2,100 113,442 * Timco Aviation Services, Inc. 630 284 * Time Warner Telecom, Inc. 43,200 455,760 * Tipperary Corp. 4,600 12,604 * TippingPoint Technologies, Inc. 1,800 27,756 * Titan Corp. 22,810 486,994 *# Titan Pharmaceuticals, Inc. 32,778 90,795 * Titanium Metals Corp. 1,520 72,200 * TiVo, Inc. 21,500 179,310 * TMBR/Sharp Drilling, Inc. 1,200 21,324 Todd Shipyards Corp. 2,050 37,003 * Todhunter International, Inc. 200 2,077 * Tofutti Brands, Inc. 800 2,400 *# Toll Brothers, Inc. 27,800 1,151,198 * Tollgrade Communications, Inc. 15,200 263,112 * Too, Inc. 22,800 416,100 Topps, Inc. 38,400 404,736 * Torch Offshore, Inc. 11,900 62,118 * Toreador Resources Corp. 3,200 9,280 Toro Co. 28,200 1,397,028 * Total Entertainment Restaurant Corp. 5,800 70,238 * Tower Automotive, Inc. 63,000 286,650 * Tractor Supply Co. 23,600 1,027,544 * Tradestation Group, Inc. 11,600 103,704 Traffix, Inc. 8,500 42,500 * Trammell Crow Co. 38,800 521,860 * Trans World Entertainment Corp. 38,200 270,074 * Transact Technologies, Inc. 1,700 39,695 * Transaction Systems Architects, Inc. 13,200 259,776 * Transcat, Inc. 300 1,002 * Transgenomic, Inc. 18,300 33,489 * Transkaryotic Therapies, Inc. 34,657 450,194 * Transmeta Corp. 8,500 28,050 * Transmontaigne Oil Co. 41,176 247,468 * Transport Corp. of America 3,000 21,150 * Transpro, Inc. 7,400 25,012 * Transtechnology Corp. 2,700 18,873 * TransTexas Gas Corp. Class A 1 0 *# TRC Companies, Inc. 13,200 266,772 Tredegar Industries, Inc. 34,100 525,140 * Trestle Holdings Inc. 80 440 * Trex Co., Inc. 7,700 284,515 * Triad Guaranty, Inc. 10,800 503,820 * Triad Hospitals, Inc. 3,596 124,422 Triarc Companies, Inc. Class A 12,500 139,875 Triarc Companies, Inc. Class B 25,000 290,000 Trico Bancshares 1,200 39,780 * Trico Marine Services, Inc. 33,970 43,482 * Trident Microsystems, Inc. 18,500 486,920 * Trimble Navigation, Ltd. 15,200 461,016 *# Trimeris, Inc. 1,400 31,962 Trinity Industries, Inc. 15,000 389,250
46
SHARES VALUE+ -------------- ----------------- * TriPath Imaging, Inc. 34,602 $ 315,570 * Tripos, Inc. 9,664 66,778 * Triquint Semiconductor, Inc. 94,807 766,041 * Triton PCS Holdings, Inc. 18,100 101,360 * Triumph Group 12,400 404,116 * TriZetto Group, Inc. 35,100 226,395 * Tropical Sportswear International Corp. 9,900 41,481 * Trover Solutions, Inc. 5,000 34,625 * Troy Group, Inc. 3,500 10,570 * Trump Hotels & Casino Resorts, Inc. 1,000 1,580 Trust Co. of New Jersey 8,800 300,960 Trustco Bank Corp. 1,100 15,345 TSR, Inc. 1,300 8,853 * TTM Technologies, Inc. 40,100 677,690 * Tuesday Morning Corp. 12,500 399,500 * Tufco Technologies, Inc. 2,000 12,380 * Tularik, Inc. 37,900 567,742 * Tumbleweed Communications Corp. 16,700 138,777 Tupperware Corp. 900 13,869 *# TurboChef Technologies, Inc. 3,200 9,920 * Turnstone Systems, Inc. 68,163 196,991 * Tut Systems, Inc. 18,900 94,689 * Tutogen Medical, Inc. 1,000 5,500 * Tweeter Home Entertainment Group, Inc. 29,500 246,620 * Tyler Technologies, Inc. 41,200 346,080 * U.S. Concrete, Inc. 35,515 209,503 * U.S. Physical Therapy, Inc. 9,000 132,480 * U.S. Xpress Enterprises, Inc. Class A 3,300 44,055 * Ubics, Inc. 100 16 UCBH Holdings, Inc. 15,800 617,780 * UICI 37,000 510,970 UIL Holdings Corp. 2,689 107,587 * Ulticom, Inc. 42,956 464,784 * Ultimate Electronics, Inc. 16,700 137,775 * Ultimate Software Group, Inc. 9,500 85,310 * Ultralife Batteries, Inc. 4,000 55,920 * Ultratech Stepper, Inc. 23,800 721,140 UMB Financial Corp. 7,405 361,290 Umpqua Holdings Corp. 11,865 255,098 * Unico American Corp. 1,200 6,342 * Unifi, Inc. 58,800 301,644 Unifirst Corp. 5,400 125,442 * Uni-Marts, Inc. 200 319 Union Community Bancorp 400 6,910 * Uniroyal Technology Corp. 1,900 0 Unisource Energy Corp. 13,000 318,890 * Unit Corp. 30,600 630,360 United Auto Group, Inc. 32,710 807,937 United Bankshares, Inc. WV 9,107 282,317 United Community Banks, Inc. 5,400 182,304 United Community Financial Corp. 19,900 223,278 United Financial Corp. 165 4,216 United Fire & Casualty Co. 300 12,000 United Guardian, Inc. 900 7,380 United Industrial Corp. 6,600 112,530 United National Bancorp 8,800 314,512 * United Natural Foods, Inc. 11,000 $ 422,290 *# United Online, Inc. 35,941 654,486 * United PanAm Financial Corp. 6,500 118,300 *# United Rentals, Inc. 52,600 974,152 * United Retail Group, Inc. 8,513 27,242 * United Stationers, Inc. 36,700 1,480,845 * United Surgical Partners International, Inc. 19,200 614,400 * United Therapeutics Corp. 16,900 318,058 Unity Bancorp, Inc. 2,415 28,642 * Universal Access Global Holdings, Inc. 20 80 * Universal American Financial Corp. 59,200 616,272 * Universal Compression Holdings, Inc. 24,000 562,800 Universal Corp. 6,400 273,408 * Universal Display Corp. 5,000 74,200 * Universal Electronics, Inc. 16,300 222,479 Universal Forest Products, Inc. 13,700 417,028 * Universal Stainless & Alloy Products, Inc. 5,100 42,993 Unizan Financial Corp. 10,573 227,320 * Unova, Inc. 56,100 1,341,912 * UQM Technologies, Inc. 6,800 24,480 * Urban Outfitters, Inc. 18,200 709,800 * Urologix, Inc. 22,712 128,550 * URS Corp. 25,800 588,240 * US Energy Corp. 5,600 15,288 * US LEC Corp. 10,400 60,216 * US Oncology, Inc. 68,653 698,888 * USA Truck, Inc. 1,300 14,014 USB Holding Co., Inc. 3,880 75,272 *# USDATA Corp. 360 14 Usec, Inc. 3,463 26,076 USF Corp. 12,800 422,784 * Utah Medical, Inc. 2,000 45,370 *# V.I. Technologies, Inc. 4,100 2,788 * VA Software Corp. 11,900 49,980 * Vail Resorts, Inc. 30,650 466,800 Valeant Pharmaceuticals International 13,700 327,567 * Valley National Gases, Inc. 1,100 6,980 Valmont Industries, Inc. 12,300 279,210 * Valpey Fisher Corp. 1,500 4,740 * ValueClick, Inc. 77,658 648,444 * Valuevision Media, Inc. Class A 23,700 367,350 * Vans, Inc. 22,700 290,560 * Varco International, Inc. 8,331 154,040 * Varian Semiconductor Equipment Associates, Inc. 17,600 819,456 * Varian, Inc. 15,800 640,848 * Variflex, Inc. 1,000 6,210 * Vastera, Inc. 44,900 175,110 * Vaxgen, Inc. 10,300 85,696 # Vector Group, Ltd. 57 969 * Veeco Instruments, Inc. 19,400 572,300 * Ventana Medical Systems, Inc. 7,300 275,064 *# Venturi Partners, Inc. 48 577 * Veritas DGC, Inc. 36,400 327,964 * Verity, Inc. 26,300 377,668 * Vermont Pure Holdings, Ltd. 10,100 31,714
47
SHARES VALUE+ -------------- ----------------- * Versar, Inc. 5,600 $ 17,080 * Verso Technologies, Inc. 1,048 4,035 * Vertex Pharmaceuticals, Inc. 25,500 222,870 Vesta Insurance Group, Inc. 6,700 23,584 * Vestin Group, Inc. 3,100 6,200 * Vialta, Inc. 16,203 9,884 * Viasat, Inc. 24,300 516,861 * Viasys Healthcare, Inc. 460 9,416 * Vical, Inc. 24,600 123,492 * Vicon Industries, Inc. 2,000 8,280 * Vicor Corp. 31,500 362,250 * Vicuron Pharmaceuticals, Inc. 4,900 88,935 * Video Display Corp. 1,340 16,348 * Vignette Corp. 117,600 271,656 * Viisage Technology, Inc. 19,700 75,845 Village Super Market, Inc. 700 19,600 Vintage Petroleum, Inc. 55,600 578,796 * Virage Logic Corp. 21,900 228,198 * Virbac Corp. 9,500 55,575 * ViroPharma, Inc. 23,200 64,496 * Virtualfund.Com, Inc. 1,600 18 Visteon Corp. 11,300 88,705 * Visual Networks, Inc. 17,700 29,382 * Visx, Inc. DE 52,700 1,290,096 Vital Signs, Inc. 10,200 334,866 * VitalWorks, Inc. 40,100 200,099 * Vitesse Semiconductor, Inc. 120,000 876,000 * Vitria Technology, Inc. 31,460 178,693 * Vivus, Inc. 30,400 110,048 * Vl Dissolution Corp 1,011 748 * Volt Information Sciences, Inc. 17,500 357,000 Vulcan International Corp. 200 8,290 * Vyyo, Inc. 13,741 96,462 * W-H Energy Services, Inc. 24,900 371,010 * Wabash National Corp. 23,200 645,656 Wabtec Corp. 22,794 356,726 * Wackenhut Corrections Corp. 19,600 424,340 Walter Industries, Inc. 35,000 428,400 Warwick Community Bancorp, Inc. 1,100 33,220 Washington Banking Co. 880 14,520 Washington Savings Bank FSB 600 5,790 Washington Trust Bancorp, Inc. 4,600 127,052 * Waste Connections, Inc. 20,000 740,000 Waste Industries USA, Inc. 14,400 131,688 * WatchGuard Technologoes, Inc. 35,965 223,343 * Water Pik Technologies, Inc. 5,400 68,580 Watsco, Inc. Class A 19,400 450,856 * Watson Wyatt & Co., Holdings 4,200 100,884 Watts Water Technologies, Inc. 8,400 172,200 Wausau-Mosinee Paper Corp. 25,600 314,880 Waypoint Financial Corp. 13,917 298,798 * WCI Communities, Inc. 34,700 700,246 * Webco Industries, Inc. 200 680 * Webhire, Inc. 380 266 * WebMD Corp. 6,500 59,475 * webMethods, Inc. 43,500 424,125 * Websense, Inc. 13,600 368,424 Webster Financial Corp. 1,368 62,723 * Weider Nutrition International, Inc. 3,900 18,564 Weis Markets, Inc. 1,893 67,202 Wellco Enterprises, Inc. 200 2,130 Wellman, Inc. 14,600 $ 127,020 Wells Fargo & Co. 5,223 299,435 * Wells-Gardner Electronics Corp. 2,756 9,977 Werner Enterprises, Inc. 32,832 595,901 Wesbanco, Inc. 5,400 150,228 * WESCO International, Inc. 21,914 196,130 West Coast Bancorp 8,660 188,268 * West Corp. 1,900 45,030 * West Marine, Inc. 19,600 494,116 West Pharmaceutical Services, Inc. 8,400 285,600 * Westaff, Inc. 5,200 10,660 Westar Energy, Inc. 11,900 236,334 Westbank Corp. 630 11,592 * Westcoast Hospitality Corp. 2,200 10,780 Westcorp, Inc. 14,560 545,272 * Westell Technologies, Inc. 10,400 76,960 * Western Digital Corp. 55,100 685,444 Western Gas Resources, Inc. 8,000 354,400 Western Ohio Financial Corp. 200 6,434 *# Western Wireless Corp. 21,500 401,405 * Westport Resources Corp. 11,523 312,273 Westwood Holdings Group, Inc. 1,703 29,096 * Wet Seal, Inc. Class A 28,550 293,209 * WFS Financial, Inc. 23,600 984,120 WGL Holdings, Inc. 9,000 240,570 * White Electronics Designs Corp. 18,400 189,704 * Whitehall Jewelers, Inc. 18,200 193,102 *# WHX Corp. 2,500 5,650 * Wickes, Inc. 1,800 954 * Wild Oats Markets, Inc. 30,100 341,334 Wiley (John) & Sons, Inc. Class A 900 23,400 * William Lyon Homes, Inc. 10,900 707,410 * Williams Industries, Inc. 1,500 5,280 * Willis Lease Finance Corp. 4,900 33,075 Willow Grove Bancorp, Inc. 1,300 21,970 * Wilshire Oil Co. of Texas 800 5,168 *# Wilson Greatbatch Technologies, Inc. 11,300 473,470 * Wilsons The Leather Experts, Inc. 24,500 152,145 * Wind River Systems, Inc. 72,218 470,139 Winn-Dixie Stores, Inc. 22,600 204,078 # Winnebago Industries, Inc. 10,300 569,281 Wintrust Financial Corp. 8,750 391,913 * Wireless Facilities, Inc. 43,000 624,790 Wireless Telecom Group, Inc. 5,300 15,582 * Wiser Oil Co. 12,900 90,945 * Witness Systems, Inc. 28,400 255,316 * WMS Industries, Inc. 24,900 664,830 * Wolverine Tube, Inc. 11,200 58,912 Wolverine World Wide, Inc. 20,800 432,432 Woodhead Industries, Inc. 5,000 84,900 Woodward Governor Co. 4,500 224,460 * Workflow Management, Inc. 16,700 82,832 * World Acceptance Corp. 17,900 345,828 World Fuel Services Corp. 7,000 209,510 World Wrestling Federation Entertainment, Inc. 4,300 49,536 * WorldQuest Networks, Inc. 2,300 7,360 * Worldwide Restaurant Concepts, Inc. 34,800 101,616 Worthington Industries, Inc. 12,500 179,000
48
SHARES VALUE+ -------------- ----------------- * Wright Medical Group, Inc. 8,000 $ 222,880 WSI Industries, Inc. 100 236 WVS Financial Corp. 500 8,700 X-Rite, Inc. 8,500 97,325 * Xanser Corp. 12,100 28,314 * Xeta Corp. 1,000 6,100 * Xicor, Inc. 15,600 203,580 * XM Satellite Radio Holdings, Inc. 57,100 1,424,645 * Yahoo!, Inc. 344 14,785 * Yankee Candle Co., Inc. 17,700 522,504 Yardville National Bancorp 1,300 29,770 *# Yellow Corp. 18,500 565,545 York International Corp. 12,900 515,355 * Young Broadcasting, Inc. Class A 8,400 166,740 Young Innovations, Inc. 4,500 164,025 * Zapata Corp. 600 31,650 Zenith National Insurance Corp. 2,500 81,625 * Zevex International, Inc. 600 2,400 * Zila, Inc. 29,100 115,818 *# Zix Corp. 5,500 48,180 * Zoll Medical Corp. 8,900 303,045 *# Zoltek Companies, Inc. 20,000 87,000 * Zomax, Inc. 41,900 225,422 * Zonagen, Inc. 2,700 5,103 * Zoran Corp. 29,015 532,715 * Zygo Corp. 21,680 352,517 * Zymogenetics, Inc. 16,700 222,277 ----------------- TOTAL COMMON STOCKS (Cost $427,349,000) 694,297,244 ----------------- RIGHTS/WARRANTS -- (0.0%) * A Intell Check Rights 10/04/02 60 0 * Anacomp, Inc. Class B Warrants 12/10/06 188 25 *# Angeion Corp. Warrants 10/31/07 25 0 * Chart Industries, Inc. Warrants 09/15/10 5 22 * Chiquita Brands International, Inc. Warrants 03/19/09 463 2,917 * Del Global Technologies Corp. Warrants 03/28/08 442 199 * Lodgian, Inc. Class A Warrants 11/25/07 96 29 * Lodgian, Inc. Class B Warrants 11/25/09 295 93 * Magnum Hunter Resources Warrants 03/21/05 4,000 1,560 * Orbital Science Corp. Warrants 08/31/04 183 860 * Timco Aviation Services Warrants 02/27/07 1,484 $ 0 ----------------- TOTAL RIGHTS/WARRANTS (Cost $12,367) 5,705 ----------------- FACE AMOUNT -------------- (000) BONDS -- (0.0%) Del Global Technologies Corp. Subordinated Promissory Note * 6.000%, 03/28/07 $ 1 0 Timco Aviation Services, Inc. Jr Subordinated Note * 8.000%, 01/02/07 1 0 ----------------- TOTAL BONDS (Cost $0) 0 ----------------- TEMPORARY CASH INVESTMENTS -- (10.5%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $8,762,000 FMC Discount Notes 1.11%, 03/25/04, valued at $8,729,143) to be repurchased at $8,600,588 (Cost $8,600,000) 8,600 8,600,000 Repurchase agreements in a Pooled Cash Account, UBS Warburg and Deutsche Bank Securities Inc., 1.01% and 1.02% respectively, 12/01/03 (Collateralized by $58,764,000 U.S. Treasury Obligations, rates ranging from 5.50% to 8.875%, maturities ranging from 08/15/04 to 05/15/30, valued at $72,701,516) to be repurchased at $70,844,883 (Cost $70,838,889)^ 70,839 70,838,889 ----------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $79,438,889) 79,438,889 ----------------- TOTAL INVESTMENTS -- (100.0%) (Cost $506,800,256)++ $ 773,741,838 =================
---------- + See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Security purchased with cash proceeds from securities on loan. ++ The cost for federal income tax purposes is $507,387,259. See accompanying Notes to Financial Statements. 49 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ -------------- ----------------- UNITED KINGDOM -- (24.9%) COMMON STOCKS -- (24.5%) Abbey National P.L.C. 602,300 $ 5,528,991 Aggregate Industries P.L.C. 727,463 1,066,597 Alliance & Leicester P.L.C. 79,000 1,198,370 Allied Domecq P.L.C. 80,900 571,854 Amvescap P.L.C. 85,100 603,006 Antofagasta P.L.C. 106,150 1,743,486 Arriva P.L.C. 107,620 711,680 Associated British Foods P.L.C. 392,920 3,838,377 Associated British Ports Holdings P.L.C. 187,900 1,383,138 Aviva P.L.C. 1,012,694 8,064,071 BAA P.L.C. 610,182 4,958,569 BAE Systems P.L.C. 1,443,739 4,326,698 BBA Group P.L.C. 252,858 1,036,107 BG Group P.L.C. 558,000 2,627,141 BPB P.L.C. 88,200 522,201 BT Group P.L.C. 579,455 1,731,568 Barratt Developments P.L.C. 122,817 1,033,966 Bellway P.L.C. 57,000 666,621 Berkeley Group P.L.C. 69,621 960,306 Bovis Homes Group P.L.C. 66,000 494,342 Brambles Industries P.L.C. 394,000 1,182,461 * Britannic P.L.C. 86,000 393,437 * British Airways P.L.C. 486,000 1,905,751 British Land Co. P.L.C. 278,326 2,653,106 British Vita P.L.C. 115,600 516,924 Brixton P.L.C. 139,200 600,908 Cable and Wireless P.L.C. 1,071,350 2,441,419 * Canary Wharf Group P.L.C. 319,000 1,324,961 Carillion P.L.C. 3,282 7,931 Carnival P.L.C. 13,153 461,477 Carphone Warehouse Group P.L.C. 100,000 230,462 Chelsfield P.L.C. 160,449 872,005 * Chorion P.L.C. 38 127 * Colt Telecom Group P.L.C. 856,000 1,439,082 * Corus Group P.L.C. 1,787,400 1,006,765 Debenhams P.L.C. 59,911 483,253 * Dimension Data Holdings P.L.C. 587,000 373,538 Dixons Group P.L.C. 660,000 1,549,429 * Easyjet P.L.C. 184,000 882,911 Emap P.L.C. 51,000 740,739 FKI P.L.C. 332,000 628,096 Friends Provident P.L.C. 828,000 1,840,586 GKN P.L.C. 338,245 1,557,600 Galen Holdings P.L.C. 95,000 1,192,728 Great Portland Estates P.L.C. 88,059 366,509 Great Universal Stores P.L.C. 107,650 1,402,001 Greene King P.L.C. 41,000 589,855 HBOS P.L.C. 179,751 2,256,780 Hammerson P.L.C. 157,600 1,683,228 Hanson P.L.C. 381,879 2,663,249 Hilton Group P.L.C. 902,600 3,283,226 IMI P.L.C. 57,000 334,046 Intercontinental Hotels Group P.L.C. 402,508 3,719,170 * International Power P.L.C. 609,500 1,189,775 Invensys P.L.C. 309,460 106,446 Johnson Matthey P.L.C. 5,275 $ 91,540 Kesa Electricals P.L.C. 85,791 361,496 Kingfisher P.L.C. 826,666 3,920,493 Land Securities Group P.L.C. 12,000 198,129 Liberty International P.L.C. 177,700 2,004,871 Logicacmg P.L.C. 303,122 1,431,050 London Merchant Securities P.L.C. 108,911 305,319 Lonmin P.L.C. 4,276 77,403 MFI Furniture Group P.L.C. 94,200 228,436 * MM02 P.L.C. 4,256,000 5,508,118 Marks & Spencer Group P.L.C. 504,809 2,331,130 Mersey Docks & Harbour Co. P.L.C. 34,760 379,321 Millennium and Copthorne Hotels P.L.C. 129,036 680,755 * Mitchells & Butlers P.L.C. 419,508 1,681,091 Morrison (Wm.) Supermarkets P.L.C. 10,330 39,175 National Grid Group P.L.C. 99,685 673,779 Northern Foods P.L.C. 27,000 64,082 Northern Rock P.L.C. 25,000 294,957 Novar P.L.C. 212,807 468,480 Pearson P.L.C. 388,893 4,334,113 Peninsular & Oriental Steam Navigation P.L.C. 378,794 1,596,115 Persimmon P.L.C. 126,460 1,013,524 Pilkington P.L.C. 731,948 1,126,674 Pillar Property P.L.C. 58,972 517,263 RAC P.L.C. 50,498 477,674 RMC Group P.L.C. 151,000 1,590,663 Rank Group P.L.C. 122,343 610,200 Rexam P.L.C. 81,701 604,214 Rio Tinto P.L.C. 18,415 439,915 Rolls Royce Group P.L.C. 844,778 2,589,806 Royal & Sun Alliance Insurance Group P.L.C. 1,526,136 2,224,478 Safeway P.L.C. 553,432 2,669,883 Sainsbury (J.) P.L.C. 960,723 4,961,081 Schroders P.L.C. 117,000 1,307,960 Scottish & Newcastle P.L.C. 383,228 2,418,903 Scottish Power P.L.C. 1,008,772 6,237,162 * Shire Pharmaceuticals Group P.L.C. 249,000 2,055,586 Signet Group P.L.C. 46,693 80,908 Slough Estates P.L.C. 238,000 1,723,273 Smith (David S.) Holdings P.L.C. 184,000 499,209 Smith (W.H.) P.L.C. 143,000 802,998 Somerfield P.L.C. 283,000 607,187 Stagecoach Holdings P.L.C. 709,956 989,035 Tate & Lyle P.L.C. 208,700 1,148,597 Taylor Woodrow P.L.C. 321,396 1,321,093 Trinity Mirror P.L.C. 166,578 1,532,733 United Business Media P.L.C. 145,000 1,250,022 * Urbium P.L.C. 23 157 Vodafone Group P.L.C. 4,569,309 10,491,242 Weir Group P.L.C. 3,000 14,008 Westbury P.L.C. 53,480 350,898 Whitbread P.L.C. 169,153 2,098,994 Wilson Bowden P.L.C. 46,000 771,361 Wimpey (George) P.L.C. 217,423 1,275,132 Wincanton P.L.C. 15,900 57,700
50
SHARES VALUE+ -------------- ----------------- Wolseley P.L.C. 96,739 $ 1,238,687 Wolverhampton & Dudley Breweries P.L.C. 34,100 441,322 Woolworths Group P.L.C. 633,181 470,987 XANSA P.L.C. 2,904 4,557 ----------------- TOTAL COMMON STOCKS (Cost $152,322,166) 169,632,009 ----------------- INVESTMENT IN CURRENCY -- (0.4%) * British Pound Sterling (Cost $2,437,533) 2,460,372 ----------------- TOTAL -- UNITED KINGDOM (Cost $154,759,699) 172,092,381 ----------------- JAPAN -- (20.3%) COMMON STOCKS -- (20.2%) AIOI Insurance Co., Ltd. 164,700 557,923 Acom Co., Ltd. 13,300 536,761 Aichi Steel Corp. 74,000 291,216 Aisin Seiki Co., Ltd. 79,800 1,180,387 Akita Bank, Ltd. 24,000 93,134 Alps Electric Co., Ltd. 31,000 438,733 Amada Co., Ltd. 126,000 618,956 Amano Corp. 8,000 54,785 * Anritsu Corp. 47,000 321,001 Aoyama Trading Co., Ltd. 18,600 354,949 Asahi Breweries, Ltd. 105,000 870,526 Asahi Kasei Corp. 187,000 892,997 Asatsu-Dk, Inc. 11,000 262,144 * Ashikaga Financial Group, Inc. 90,000 66,563 Autobacs Seven Co., Ltd. 11,000 237,537 Awa Bank, Ltd. 64,000 373,411 # Bank of Kyoto, Ltd. 88,000 473,265 Bank of Nagoya, Ltd. 59,000 282,825 * Bosch Automotive Systems Corp. 19,000 67,659 Canon Sales Co., Inc. 22,000 182,798 Casio Computer Co., Ltd. 72,000 705,406 Chiba Bank, Ltd. 225,000 914,217 Chudenko Corp. 19,200 263,316 Chugoku Bank, Ltd. 67,400 596,335 Citizen Watch Co., Ltd. 82,000 665,614 Coca-Cola West Japan Co., Ltd. 22,800 405,329 Comsys Holdings Corp. 38,000 196,731 Cosmo Oil Co., Ltd. 235,000 439,874 Dai Nippon Ink & Chemicals, Inc. 218,000 404,072 Dai Nippon Pharmaceutical Co., Ltd. 46,000 298,210 Dai Nippon Printing Co., Ltd. 160,000 2,205,990 Daicel Chemical Industries, Ltd. 136,000 562,528 Daido Steel Co., Ltd. 162,000 279,565 *# Daiei, Inc. 48,500 89,897 Daihatsu Motor Co., Ltd. 166,000 671,457 Dai-Ichi Pharmaceutical Co., Ltd. 36,900 620,952 Daimaru, Inc. 27,000 142,741 Daio Paper Corp. 10,000 84,094 Daishi Bank, Ltd. 112,000 435,647 Daito Trust Construction Co., Ltd. 8,100 228,534 Daiwa House Industry Co., Ltd. 202,200 1,920,088 Daiwa Securities Co., Ltd. 17,000 109,432 Denki Kagaku Kogyo KK 4,000 11,760 Ebara Corp. 111,000 430,743 Eighteenth Bank, Ltd. 2,000 $ 8,638 Ezaki Glico Co., Ltd. 41,000 260,930 Fuji Electric Co., Ltd. 206,000 443,901 Fuji Fire & Marine Insurance Co., Ltd. 105,000 260,774 Fuji Heavy Industries 206,000 976,205 Fuji Photo Film Co., Ltd. 63,000 1,783,236 Fujikura, Ltd. 103,000 576,507 * Fujitsu, Ltd. 127,000 699,242 Fukui Bank, Ltd. 12,000 51,607 Fukuoka Bank, Ltd. 175,000 719,047 Fukuoka City Bank, Ltd. 32,000 41,198 Fukuyama Transporting Co., Ltd. 104,000 354,200 Furukawa Electric Co., Ltd. 180,000 599,891 Futaba Corp. 10,000 218,225 Futaba Industrial Co., Ltd. 24,000 295,398 Glory, Ltd. 10,000 308,619 Gunma Bank, Ltd. 141,000 608,957 Gunze, Ltd. 87,000 366,207 Hachijuni Bank, Ltd. 150,000 717,677 * Hankyu Corp. 218,000 611,085 Hankyu Department Stores, Inc. 25,000 164,810 Hanshin Electric Railway Co., Ltd. 94,000 258,346 Heiwa Corp. 31,900 442,149 Higo Bank, Ltd. 91,000 550,886 Hino Motors, Ltd. 22,000 130,168 Hiroshima Bank, Ltd. 132,000 485,720 Hitachi Cable, Ltd. 139,000 489,901 Hitachi Construction Machinery Co., Ltd. 3,000 38,212 Hitachi High-Technologies Corp. 9,000 133,866 Hitachi Maxell, Ltd. 37,100 482,381 Hitachi Metals, Ltd. 95,000 289,719 Hitachi, Ltd. 860,000 5,064,829 Hokkoku Bank, Ltd. 94,000 472,060 Hokuetsu Paper Mills, Ltd. 61,000 313,021 * Hokugin Financial Group, Inc. 394,000 600,785 House Foods Corp. 41,000 437,628 Hyakugo Bank, Ltd. 80,000 369,613 Hyakujishi Bank, Ltd. 85,000 625,548 Ishikawajima-Harima Heavy Industries Co., Ltd. 277,000 333,857 * Isuzu Motors, Ltd. 88,000 160,701 Itochu Corp. 147,000 441,591 Itoham Foods, Inc. 78,000 274,197 Iyo Bank, Ltd. 89,000 604,602 JGC Corp. 10,000 79,072 Japan Airport Terminal Co., Ltd. 24,000 175,310 Joyo Bank, Ltd. 238,000 734,514 Juroku Bank, Ltd. 127,000 591,399 Kagoshima Bank, Ltd. 58,000 309,806 Kajima Corp. 21,000 66,919 Kamigumi Co., Ltd. 102,000 657,524 Kandenko Co., Ltd. 39,000 131,401 Kansai Paint Co., Ltd., Osaka 57,000 234,204 Katokichi Co., Ltd. 11,500 182,286 Kawasaki Heavy Industries, Ltd. 681,000 739,947 Kikkoman Corp. 73,000 483,245 Kinden Corp. 56,000 246,969 Kirin Brewery Co., Ltd. 220,000 1,757,670 Kissei Pharmaceutical Co., Ltd. 21,000 384,450 Kiyo Bank, Ltd. 16,000 30,533
51
SHARES VALUE+ -------------- ----------------- * Kobe Steel, Ltd. 1,389,000 $ 1,598,010 Koito Manufacturing Co., Ltd. 44,000 262,345 Kokuyo Co., Ltd. 48,000 517,604 Komatsu, Ltd. 256,000 1,458,583 Komori Corp. 27,000 327,885 Konica Corp. 18,000 213,002 Kubota Corp. 232,000 847,334 Kuraray Co., Ltd. 92,000 685,464 Kuraya Sanseido, Inc. 30,000 255,022 Lintec Corp. 2,000 28,853 Lion Corp. 66,000 356,154 Makita Corp. 55,000 504,200 Marubeni Corp. 340,000 558,802 Marui Co., Ltd. 78,000 957,907 Maruichi Steel Tube, Ltd. 36,000 414,828 Matsushita Electric Industrial Co., Ltd. 591,998 7,627,003 Matsushita Electric Works, Ltd. 202,000 1,455,241 Mazda Motor Corp. 78,000 190,869 Meiji Seika Kaisha, Ltd. Tokyo 106,000 395,855 Michinoku Bank, Ltd. 45,000 260,911 Millea Holdings, Inc. 410 4,422,630 Mitsubishi Gas Chemical Co., Inc. 129,000 385,163 Mitsubishi Heavy Industries, Ltd. 931,000 2,482,214 Mitsubishi Logistics Corp. 40,000 313,733 * Mitsubishi Materials Corp. 312,000 450,110 *# Mitsubishi Motors Corp. 137,000 281,456 Mitsubishi Rayon Co., Ltd. 20,000 70,855 Mitsubishi Securities Co., Ltd. 59,000 627,602 Mitsui Chemicals, Inc. 163,000 869,175 Mitsui Engineering and Shipbuilding Co., Ltd. 407,000 516,554 Mitsui Trust Holdings 226,000 1,099,872 Mitsumi Electric Co., Ltd. 15,500 149,169 * Mizuho Holdings, Inc. 238 621,512 Mori Seiki Co., Ltd. 22,700 140,528 Musashino Bank, Ltd. 4,100 148,247 NGK Insulators, Ltd. 75,000 480,734 NGK Spark Plug Co., Ltd. 48,000 395,763 NHK Spring Co., Ltd. 16,000 73,777 NOK Corp. 2,000 73,411 NSK, Ltd. 117,000 408,090 NTN Corp. 123,000 560,418 Nagase & Co., Ltd. 41,000 265,796 Namco, Ltd. 3,800 96,110 Nanto Bank, Ltd. 59,000 233,802 Nichicon Corp. 30,200 302,221 Nichirei Corp. 65,000 196,448 Nihon Unisys, Ltd. 30,200 213,154 Nippon Broadcasting System, Inc. 9,000 410,884 Nippon Electric Glass Co., Ltd. 38,000 711,286 Nippon Kayaku Co., Ltd. 68,000 326,589 Nippon Meat Packers, Inc., Osaka 70,000 676,224 Nippon Mining Holdings, Inc. 181,500 573,402 Nippon Mitsubishi Oil Corp. 417,800 2,063,823 Nippon Paint Co., Ltd. 55,000 171,750 Nippon Sanso Corp. 18,000 71,165 Nippon Sheet Glass Co., Ltd. 165,000 427,867 Nippon Shokubai Co., Ltd. 46,000 328,451 Nippon Steel Corp. 353,000 676,863 * Nippon Television Network Corp. 3,840 570,811 Nipponkoa Insurance Co., Ltd. 33,000 156,684 Nishimatsu Construction Co., Ltd. 103,000 $ 340,449 Nishi-Nippon Bank, Ltd. 123,000 259,432 Nissay Dowa General Insurance Co., Ltd. 109,000 456,821 Nisshin Seifun Group, Inc. 63,000 507,359 Nisshin Steel Co., Ltd. 209,000 343,499 Nisshinbo Industries, Inc. 80,000 395,179 *# Nissho Iwai-Nichmen Holdings Corp. 8,800 41,059 Noritsu Koki Co., Ltd. 3,000 91,764 Noritz Corp. 1,000 12,838 Obayashi Corp. 192,000 734,551 Oji Paper Co., Ltd. 120,000 700,146 Okumura Corp. 85,000 332,953 Omron Corp. 17,000 326,744 Onward Kashiyama Co., Ltd. 84,000 921,147 PanaHome Corp. 46,000 210,427 Q.P. Corp. 14,400 114,259 * Resona Holdings, Inc. 267,250 334,307 Rinnai Corp. 16,100 365,308 SFCG Co., Ltd. 4,240 487,801 Sakata Seed 5,000 52,045 San In Godo Bank, Ltd. 47,000 348,037 Sankyo Co., Ltd. 40,000 720,234 Santen Pharmaceutical Co., Ltd. 18,500 217,399 Sanwa Shutter Corp. 48,000 244,558 Sanyo Electric Co., Ltd. 112,000 501,096 Sanyo Shinpan Finance Co., Ltd. 14,000 409,058 Sapporo Breweries, Ltd. 166,000 400,146 Sapporo Hokuyo Holdings, Inc. 100 527,758 Seino Transportation Co., Ltd. 65,000 461,149 Sekisui Chemical Co., Ltd. 144,000 640,322 Sekisui House, Ltd. 214,000 2,018,463 Seventy-seven (77) Bank, Ltd. 102,000 540,175 Shiga Bank, Ltd. 93,000 360,893 Shikoku Bank, Ltd. 52,000 339,956 Shima Seiki Manufacturing Co., Ltd. 2,000 79,803 Shimachu Co., Ltd. 19,100 360,131 Shimadzu Corp. 39,000 148,493 Shimizu Corp. 90,000 309,806 * Shinko Securities Co., Ltd. 397,000 1,127,347 Shizuoka Bank, Ltd. 207,000 1,447,791 * Showa Denko KK 78,000 163,094 Showa Shell Sekiyu KK 55,000 422,845 * Snow Brand Milk Products Co., Ltd. 14,500 42,632 Stanley Electric Co., Ltd. 7,000 132,944 Sumitomo Bakelite Co., Ltd. 23,000 145,115 Sumitomo Corp. 205,000 1,272,827 Sumitomo Electric Industries, Ltd. 206,000 1,685,318 Sumitomo Forestry Co., Ltd. 47,000 364,774 Sumitomo Metal Industries, Ltd. Osaka 441,000 378,506 Sumitomo Metal Mining Co., Ltd. 119,000 751,899 Sumitomo Mitsui Financial Group, Inc 43 213,961 Sumitomo Osaka Cement Co., Ltd. 51,000 90,805 Sumitomo Rubber 118,000 565,650 Suzuki Motor Corp. 27,000 382,369 Taiheiyo Cement Corp. 253,000 575,210 Taisei Corp. 205,000 664,491 Taiyo Yuden Co., Ltd. 25,000 292,869 Takashimaya Co., Ltd. 149,000 1,025,804
52
SHARES VALUE+ -------------- ----------------- Takefuji Corp. 13,690 $ 738,750 Tanabe Seiyaku Co., Ltd. 13,000 106,830 Teijin, Ltd. 256,000 696,567 Teikoku Oil Co., Ltd. 65,000 288,441 Toda Corp. 120,000 299,124 Toho Bank, Ltd. 57,000 228,479 * Tokai Tokyo Securities Co., Ltd. 81,000 175,283 Tokuyama Corp. 95,000 327,018 Tokyo Broadcasting System, Inc. 49,000 760,144 Tokyo Steel Manufacturing Co., Ltd. 32,700 257,372 Tokyo Style Co., Ltd. 50,000 483,017 Tokyo Tatemono Co., Ltd. 48,000 196,786 Toppan Printing Co., Ltd. 193,000 1,769,284 Toray Industries, Inc. 291,000 1,131,903 Toshiba TEC Corp. 60,000 220,234 Tostem Inax Holding Corp. 70,840 1,243,840 Toto, Ltd. 99,000 764,737 Toyo Ink Manufacturing Co., Ltd. 76,000 260,227 Toyo Seikan Kaisha, Ltd. 73,000 835,847 Toyo Suisan Kaisha, Ltd. 23,000 229,118 Toyobo Co., Ltd. 46,000 89,883 Toyota Auto Body Co., Ltd. 32,000 422,206 Toyota Industries Corp. 83,600 1,568,645 UFJ Tsubasa Securities Co. Ltd. 40,000 178,598 UNY Co., Ltd. 91,000 886,569 * Victor Co. of Japan, Ltd. 37,000 307,770 Wacoal Corp. 54,000 427,977 Yamagata Bank, Ltd. 32,000 141,709 Yamaguchi Bank, Ltd. 74,000 648,649 Yamanashi Chuo Bank, Ltd. 20,000 85,829 Yamazaki Baking Co., Ltd. 107,000 820,672 Yasuda Fire & Marine Insurance Co., Ltd. 243,840 1,810,098 * Yasuda Trust & Banking Co., Ltd. 780,000 1,246,348 Yokohama Rubber Co., Ltd. 127,000 330,488 ----------------- TOTAL COMMON STOCKS (Cost $126,854,143) 140,051,958 ----------------- INVESTMENT IN CURRENCY -- (0.1%) * Japanese Yen (Cost $509,231) 509,231 ----------------- TOTAL -- JAPAN (Cost $127,363,374) 140,561,189 ----------------- FRANCE -- (9.5%) COMMON STOCKS -- (9.5%) AGF (Assurances Generales de France SA) 28,600 1,457,050 AXA 269,800 5,184,357 Accor SA 7,550 316,763 Air France 33,900 516,087 Air Liquide SA 2,300 371,101 *# Alstom SA 71,660 147,749 Arcelor SA 30,300 491,428 BNP Paribas SA 111,800 6,298,818 Bouygues 1,600 49,675 * Cap Gemini SA 19,400 958,117 Compagnie de Saint-Gobain 88,000 3,936,803 Compagnie Francaise d'Etudes et de Construction Technip SA 3,600 387,308 Credit Agricole SA 45,600 $ 994,845 Credit Industriel et Commercial 3,760 590,444 Dior (Christian) SA 17,000 949,222 Eiffage SA 4,233 457,693 Esso SA 3,000 332,826 Euler-Hermes SA 3,710 168,551 Faurecia SA 6,500 440,232 Fimalac SA 5,694 189,750 * France Telecom SA 276,260 7,119,932 Gecina SA 4,900 675,481 Generale des Establissements Michelin SA Series B 34,950 1,386,739 Groupe Danone 5,300 825,921 Havas SA 47,200 250,083 Imerys SA 4,500 890,053 L'Oreal 10,550 782,821 LaFarge SA 22,699 1,808,094 LaFarge SA Prime Fidelity 11,870 951,911 Lagardere S.C.A. SA 14,400 785,404 Pechiney SA Series A 22,300 1,282,045 Pernod-Ricard SA 7,875 836,852 Peugeot SA 66,000 3,104,505 Rallye SA 5,000 263,719 Remy Cointreau SA 13,256 440,956 Renault SA 43,500 2,891,414 Rexel SA 4,000 163,506 Rue Imperiale 1,220 236,916 SA Fromageries Bel la Vache Qui Rit 500 66,649 SEB SA Prime Fidelite 2002 800 97,624 SEB SA Prime Fidelity 1,300 159,574 SGE (Societe Generale d' Enterprise SA) 2,640 211,239 Sagem SA 3,896 434,331 Schneider SA 15,990 985,215 * Scor SA 16,100 61,565 Societe BIC SA 8,900 395,700 Societe des Ciments de Francais 9,600 634,653 Societe du Louvre SA 400 32,126 Societe Generale, Paris 39,300 3,146,940 Sophia SA 10,000 496,512 Suez (ex Suez Lyonnaise des Eaux) 153,650 2,661,459 Thales SA 1,800 56,122 Thomson Multimedia 42,900 908,170 Unibail SA 7,500 665,292 Valeo SA 21,100 820,761 * Veolia Environnement SA 40,500 953,004 * Vivendi Universal SA 163,900 3,762,419 ----------------- TOTAL COMMON STOCKS (Cost $53,255,550) 65,484,526 ----------------- RIGHTS/WARRANTS -- (0.0%) * Alstom SA Rights 12/10/03 71,660 38,655 * Alstom SA Warrants 01/09/04 71,660 25,770 * Rallye SA Series B Warrants 11/30/05 5,000 1,259 ----------------- TOTAL RIGHTS/WARRANTS (Cost $158,993) 65,684 ----------------- TOTAL -- FRANCE (Cost $53,414,543) 65,550,210 -----------------
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SHARES VALUE+ -------------- ----------------- SWITZERLAND -- (7.3%) COMMON STOCKS -- (7.3%) * ABB, Ltd. 64,000 $ 313,881 Baloise-Holding 48,800 2,004,518 * Banque Cantonale Vaudoise 900 94,684 * Berner Kantonalbank 1,000 115,067 * Ciba Spezialitaetenchemie Holding AG 27,700 1,940,277 Cie Financiere Richemont AG Series A 393,600 9,743,177 * Clariant AG 110,600 1,561,398 * Converium Holding AG 4,200 204,685 Credit Swisse Group 107,820 3,578,097 * Crossair AG, Basel 17,777 140,267 Ems-Chemie Holding AG 10,050 777,430 Givaudan SA 7,680 3,511,108 Helvetia Patria Holding 900 137,153 Holcim, Ltd. 88,880 3,874,302 Jelmoli Holding AG 40 37,440 Kuoni Reisen Holding AG 490 159,199 Lonza Group AG 9,000 431,648 Luzerner Kantonalbank AG 4,000 581,719 PSP Swiss Property AG 6,700 929,029 Rieters Holdings AG 5,340 1,142,173 * Saurer AG 1,500 66,720 * Schindler Holding AG 750 191,457 Sig Holding AG 3,475 468,407 Sika Finanz AG, Baar 1,810 735,078 Societe Generale de Surveillance Holding SA 2,300 1,350,408 * St. Galler Kantonalbank 500 90,700 Swatch Group AG 11,500 1,318,828 * Swiss Life AG 19,100 3,472,136 Swiss Reinsurance Co., Zurich 3,000 186,351 Swisscom AG 3,490 1,048,847 Syngenta AG 60,700 3,716,509 UBS AG 21,880 1,409,052 Unaxis Holding AG 15,800 2,175,568 Valiant Holding AG 8,000 552,324 Valora Holding AG 3,350 795,571 * Zimmer Holdings, Inc. 8,088 531,809 * Zurich Financial SVCS AG 6,300 811,429 ----------------- TOTAL COMMON STOCKS (Cost $44,018,064) 50,198,446 ----------------- RIGHTS/WARRANTS -- (0.0%) * ABB, Ltd. Rights (Cost $91,930) 64,000 79,708 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Swiss Francs (Cost $7,267) 7,698 ----------------- TOTAL -- SWITZERLAND (Cost $44,117,261) 50,285,852 ----------------- GERMANY -- (6.3%) COMMON STOCKS -- (6.3%) Aachener und Muenchener Beteiligungs AG 7,520 517,607 Aareal Bank AG 9,500 287,089 Allianz AG 3,590 402,155 Altana AG 1,800 $ 109,072 Audi AG 1,000 294,886 Axel Springer Verlag AG 1,100 87,687 BASF AG 50,700 2,510,021 # BHW Holding AG 7,300 109,384 Bayer AG 84,500 2,280,088 Bayerische Motorenwerke AG 2,600 114,538 * Bayerische Vereinsbank AG 69,100 1,611,080 Bilfinger & Berger Bau AG 9,900 318,046 Celanese AG 17,200 597,924 Commerzbank AG 69,300 1,337,453 Continental AG 25,400 884,503 DaimlerChrysler AG 154,900 5,886,133 Deutsche Bank AG 75,000 5,218,947 Deutsche Lufthansa AG 71,750 1,099,188 * Dyckerhoff AG DM50 1,000 23,974 E.ON AG 78,600 4,442,461 * Fraport AG 12,500 344,633 Gehe AG 2,100 94,903 Hannover Rueckversicherungs AG 12,636 405,942 * Heidelberger Druckmaschinen AG 19,994 716,622 * Heidelberger Zement AG 28,612 1,167,158 Hochtief AG 9,000 243,821 Hoechst AG 9,600 440,747 * Hypo Real Estate Holding AG 12,025 258,743 IVG Immobilien AG 2,300 25,834 * Infineon Technologies AG 64,600 917,636 Karstadt Quelle AG 9,850 262,125 * Koelnische Rueckversicherungs 80 7,096 Linde AG 17,033 823,861 MAN AG 21,800 590,588 MG Technologies AG 52,300 700,911 Merck KGAA 13,300 521,656 Munchener Rueckversicherungs- Gesellschaft AG 6,657 754,500 Preussag AG 52,750 991,489 Rwe AG (NEU) Series A 1,750 56,430 Suedzucker AG 10,816 197,074 ThyssenKrupp AG 149,700 2,774,283 Vereins & Westbank AG 700 19,308 Volkswagen AG 66,950 3,334,579 * WCM Beteiligungs AG 18,943 27,930 * Wuestenrot & Wuerttemberg AG 2,500 43,304 ----------------- TOTAL -- GERMANY (Cost $40,614,614) 43,853,409 ----------------- AUSTRALIA -- (4.9%) COMMON STOCKS -- (4.7%) AMP, Ltd. 459,831 1,979,764 APN News & Media, Ltd. 165,038 459,772 AWB, Ltd. 142,800 452,585 AXA Asia Pacific Holdings, Ltd. 760,300 1,430,397 Amcor, Ltd. 258,353 1,544,158 Ansell, Ltd. 80,901 382,266 BHP Steel Ltd. 327,200 1,181,441 Boral, Ltd. 249,386 902,278 Brambles Industries, Ltd. 173,370 573,309 CSR, Ltd. 415,659 523,341 Caltex Australia, Ltd. 88,830 277,035 Commonwealth Bank of Australia 119,196 2,380,504 Insurance Australiz Group, Ltd. 482,383 1,459,038
54
SHARES VALUE+ -------------- ----------------- Lend Lease Corp., Ltd. 166,052 $ 1,261,629 Lion Nathan, Ltd. 233,400 979,551 Mayne Group, Ltd. 329,263 845,804 Mirvac, Ltd. 284,243 898,813 National Australia Bank, Ltd. 25,696 537,727 Onesteel, Ltd. 62,800 85,431 Orica, Ltd. 130,858 1,219,591 Origin Energy, Ltd. 298,181 1,007,616 Paperlinx, Ltd. 216,947 712,702 Publishing and Broadcasting, Ltd. 176,876 1,493,613 QBE Insurance Group, Ltd. 44,966 331,556 Quantas Airways, Ltd. 818,164 1,971,437 Rinker Group, Ltd. 415,659 1,756,500 Rio Tinto, Ltd. 41,826 1,058,377 Santos, Ltd. 255,223 1,193,028 Seven Network, Ltd. 104,024 397,435 Southcorp, Ltd. 325,349 649,766 St. George Bank, Ltd. 74,210 1,076,651 Suncorp-Metway, Ltd. 5,243 47,233 * WMC Resources, Ltd. 493,463 1,746,070 ----------------- TOTAL COMMON STOCKS (Cost $23,680,186) 32,816,418 ----------------- INVESTMENT IN CURRENCY -- (0.2%) * Australian Dollar (Cost $1,115,192) 1,118,187 ----------------- RIGHTS/WARRANTS -- (0.0%) * AMP, Ltd. Rights (Cost $0) 455,146 0 ----------------- TOTAL -- AUSTRALIA (Cost $24,795,378) 33,934,605 ----------------- NETHERLANDS -- (4.9%) COMMON STOCKS -- (4.9%) ABN-AMRO Holding NV 105,446 2,320,717 Aegon NV 304,296 4,059,858 Buhrmann NV 27,400 208,238 DSM NV 51,732 2,384,377 * Hunter Douglas NV 8,500 372,923 Ing Groep NV 279,185 5,980,480 * Koninklijke Ahold NV 187,126 1,350,361 * Koninklijke KPN NV 599,000 4,695,956 Koninklijke Philips Electronics NV 236,867 6,729,337 Koninklijke Vendex KBB NV 6,341 82,244 Koninklijke Vopak NV 41,200 740,812 NV Holdingsmij de Telegraaf 21,800 465,676 * New Skies Satellites NV 20,306 140,449 Nutreco Holding NV 6,750 184,079 * Nutreco Holding NV Coupons 65 0 Oce NV 68,471 978,368 Univar NV 15,400 244,600 VNU NV 50,279 1,566,435 * VNU NV Coupons 62 0 Vedior NV 50,525 764,943 * Versatel Telecom International NV 93,300 190,130 ----------------- TOTAL COMMON STOCKS (Cost $31,419,586) 33,459,983 ----------------- RIGHTS/WARRANTS -- (0.0%) * Koninklijke Ahold NV Rights 187,126 $ 174,964 ----------------- TOTAL RIGHTS/WARRANTS (Cost $181,414) 174,964 ----------------- TOTAL -- NETHERLANDS (Cost $31,601,000) 33,634,947 ----------------- ITALY -- (4.0%) COMMON STOCKS -- (4.0%) * Alitalia Linee Aeree Italiane SpA Series A 130,000 41,763 Banca Monte Dei Paschi di Siena SpA 707,125 2,322,556 * Banca Nazionale del Lavoro SpA 300,000 703,052 Banca Popolare di Lodi Scarl 70,150 821,564 Banca Popolare di Milano 326,940 1,943,879 * Banca Popolare Rights 34,500 404,048 Buzzi Unicem SpA 106,000 1,283,354 CIR SpA (Cie Industriale Riunite), Torino 625,000 1,121,557 Caltagirone Editore SpA 102,320 836,497 * Capitalia SpA 42,500 134,497 Compagnia Assicuratrice Unipol SpA 300,630 1,210,852 * E.Biscom SpA 12,000 791,158 * Fiat SpA 179,208 1,402,781 * IFIL Finanziaria Partecipazioni SpA 164,850 528,606 Intesabci SpA 500,200 1,882,750 Italcementi SpA 100,540 1,240,148 Italmobiliare SpA, Milano 11,500 526,600 Milano Assicurazioni SpA 316,000 1,054,949 Parmalat Finanziaria SpA 196,600 539,683 * Pirelli & Co. SpA 1,013,332 963,262 SAI SpA (Sta Assicuratrice Industriale), Torino 25,683 449,488 SNIA SpA 211,706 470,757 Societe Cattolica di Assicurazoni Scarl SpA 4,400 149,845 * Telecom Italia SpA 2,060,686 5,965,521 * Tiscali SpA 73,000 592,422 ----------------- TOTAL COMMON STOCKS (Cost $23,181,718) 27,381,589 ----------------- PREFERRED STOCKS -- (0.0%) * Fiat SpA (Cost $47,699) 3,000 13,953 ----------------- RIGHTS/WARRANTS -- (0.0%) * Fiat SpA Warrants 01/31/07 (Cost $0) 17,880 5,723 ----------------- TOTAL -- ITALY (Cost $23,229,417) 27,401,265 ----------------- SPAIN -- (3.3%) COMMON STOCKS -- (3.3%) Acerinox SA 22,400 1,035,928 Arcelor SA 25,464 412,384 Autopistas Concesionaria Espanola SA 114,287 1,602,884 Banco de Andalucia 1,769 148,438 Banco de Sabadell SA 78,900 1,658,922 Banco Pastor SA 1,500 44,089
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SHARES VALUE+ -------------- ----------------- Cementos Portland SA 10,700 $ 577,186 Corporacion Mapfre Compania Internacional de Reaseguros SA 70,200 905,459 Ebro Puleva SA 59,455 614,349 Endesa SA, Madrid 79,100 1,299,022 Fomento de Construcciones y Contratas SA 20,600 705,994 Gas Natural SA, Buenos Aires 19,200 395,637 Grupo Dragados SA, Madrid 18,800 391,451 Grupo Ferrovial SA 2,300 69,478 Iberia Lineas Aereas de Espana SA 353,300 948,661 Inmobiliaria Colonial SA ICSA 21,600 462,957 Inmobiliaria Urbis SA 49,340 449,503 Metrovacesa SA 22,779 693,839 Red Electrica de Espana S.A. 24,600 349,735 Repsol SA 433,700 7,574,751 Sociedad General de Aguas de Barcelona SA 55,145 783,328 * Sociedad General de Aguas de Barcelona SA Rights 551 7,833 Sol Melia SA 75,400 535,976 Vallehermoso SA 56,600 797,890 ----------------- TOTAL -- SPAIN (Cost $16,962,701) 22,465,694 ----------------- SWEDEN -- (2.2%) COMMON STOCKS -- (2.2%) * ASEA AB 29,000 141,621 Atlas Copco AB Series A 13,200 471,673 Atlas Copco AB Series B 6,600 218,367 Billerud AB 12,948 191,921 Drott Series AB 37,500 657,582 Gambro AB Series A 76,900 636,076 Gambro AB Series B 28,900 239,046 Holmen AB Series B 28,100 974,340 Kinnevik Industrifoervaltnings AB Series B 21,700 647,603 * Netcom AB Series B 12,500 637,731 Nordic Baltic Holdings AB 225,400 1,491,512 SSAB Swedish Steel Series A 31,600 520,666 SSAB Swedish Steel Series B 11,200 177,129 Skandinaviska Enskilda Banken Series A 71,800 935,973 Svenska Cellulosa AB Series B 36,300 1,400,387 Svenska Kullagerfabriken AB Series A 7,700 282,276 Svenska Kullagerfabriken AB Series B 9,900 362,271 * Transcom Worldwide SA Series A 385 1,325 * Transcom Worldwide SA Series B 715 2,583 Trelleborg AB Series B 34,400 532,656 Volvo AB Series A 56,400 1,556,281 Volvo AB Series B 113,700 3,287,871 ----------------- TOTAL COMMON STOCKS (Cost $10,345,700) 15,366,890 ----------------- RIGHTS/WARRANTS -- (0.0%) * ABB, Ltd. Rights (Cost $61,757) 29,000 35,885 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Swedish Krona (Cost $19,970) $ 22,409 ----------------- TOTAL -- SWEDEN (Cost $10,427,427) 15,425,184 ----------------- FINLAND -- (1.8%) COMMON STOCKS -- (1.8%) Fortum Oyj 538,483 5,389,865 Huhtamaki Van Leer Oyj 64,400 711,764 Kemira Oyj 70,823 776,810 Kesko Oyj 71,100 1,235,825 M-real Oyj Series B 114,400 1,036,734 Metso Oyj 86,927 1,017,007 Outokumpu Oyj Series A 110,100 1,471,572 Upm-Kymmene Oyj 47,000 869,327 Wartsila Corp. Oyj Series B 3,700 68,747 ----------------- TOTAL -- FINLAND (Cost $7,542,072) 12,577,651 ----------------- HONG KONG -- (1.3%) COMMON STOCKS -- (1.3%) Cheung Kong Holdings, Ltd. 165,000 1,301,294 China Overseas Land & Investment, Ltd. 484,000 76,031 China Travel International Investment, Ltd. 180,000 34,302 Chinese Estates Holdings, Ltd. 140,000 51,376 Citic Pacific, Ltd. 109,000 252,629 Hang Lung Development Co., Ltd. 407,000 492,615 Hang Lung Properties, Ltd. 314,500 388,756 Henderson Land Development Co., Ltd. 157,000 628,703 Hopewell Holdings, Ltd. 78,000 113,490 Hysan Development Co., Ltd. 334,828 478,553 I-Cable Communications, Ltd. 77,060 18,356 Kerry Properties, Ltd. 382,802 492,901 * New Asia Realty & Trust Co., Ltd. 185,000 75,036 New World Development Co., Ltd. 253,030 158,015 Shanghai Industrial Holdings Ltd. 102,000 233,122 Shangri-La Asia, Ltd. 700,854 627,188 Sino Land Co., Ltd. 1,249,067 651,367 Sung Hungkai Properties, Ltd. 5,000 40,238 * Tsim Sha Tsui Properties, Ltd. 255,000 290,582 Wharf Holdings, Ltd. 770,600 1,924,935 Wheelock and Co., Ltd. 640,000 749,906 ----------------- TOTAL COMMON STOCKS (Cost $7,954,905) 9,079,395 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Hong Kong Dollars (Cost $199,084) 199,130 ----------------- TOTAL -- HONG KONG (Cost $8,153,989) 9,278,525 ----------------- BELGIUM -- (1.0%) COMMON STOCKS -- (1.0%) AGFA-Gevaert NV, Mortsel 31,600 784,110 Algemene Mij Voor Nijverheidskredit Almanij 51,700 2,390,339
56
SHARES VALUE+ -------------- ----------------- Banque Nationale de Belgique 110 $ 471,794 Bekaert SA 8,500 475,834 Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 14,500 701,344 Solvay SA 10,900 844,723 Tessenderlo Chemie 8,300 261,271 * Umicore-Strip VVPR 720 466 Union Miniere SA 15,120 1,009,547 ----------------- TOTAL -- BELGIUM (Cost $5,171,836) 6,939,428 ----------------- DENMARK -- (0.8%) COMMON STOCKS -- (0.8%) Carlsberg A.S. Series B 11,350 473,632 * Codan A.S. 8,540 268,311 Danisco A.S. 9,880 405,922 Danske Bank A.S. 94,426 2,000,612 * Jyske Bank A.S. 3,400 161,602 Koebenhavns Lufthavne 620 68,427 Nordea AB 21,596 142,660 Novozymes A.S. Series B 5,867 205,126 Tele Danmark A.S. 40,630 1,361,619 * Topdanmark A.S. 3,830 193,765 ----------------- TOTAL COMMON STOCKS (Cost $4,185,944) 5,281,676 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Danish Krone (Cost $7,659) 8,463 ----------------- TOTAL -- DENMARK (Cost $4,193,603) 5,290,139 ----------------- EMU -- (0.7%) INVESTMENT IN CURRENCY -- (0.7%) * Euro Currency (Cost $5,099,797) 5,124,406 ----------------- IRELAND -- (0.7%) COMMON STOCKS -- (0.7%) Allied Irish Banks P.L.C. 50,629 749,524 Bank of Ireland P.L.C. 4,078 50,351 CRH P.L.C. 86,901 1,616,724 DCC P.L.C. 7,379 96,857 * Elan Corp. P.L.C. 168,361 908,183 Independent News & Media P.L.C. 33,820 81,893 Irish Permanent P.L.C. 86,649 1,220,452 ----------------- TOTAL -- IRELAND (Cost $3,673,382) 4,723,984 ----------------- SINGAPORE -- (0.6%) COMMON STOCKS -- (0.6%) DBS Group Holdings, Ltd. 55,000 446,657 Fraser & Neave, Ltd. 154,710 1,032,046 Haw Par Brothers International, Ltd. 1,594 4,105 Keppel Corp., Ltd. 471,000 1,516,341 * Neptune Orient Lines, Ltd. 122,000 150,030 Overseas Chinese Banking Corp., Ltd. 53,000 365,852 Sembcorp Industries, Ltd. 69,000 $ 51,232 Singapore Airlines, Ltd. 60,800 426,748 United Overseas Bank, Ltd. 46,000 344,216 ----------------- TOTAL COMMON STOCKS (Cost $3,069,887) 4,337,227 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Singapore Dollars (Cost $1) 1 ----------------- TOTAL -- SINGAPORE (Cost $3,069,888) 4,337,228 ----------------- GREECE -- (0.4%) COMMON STOCKS -- (0.4%) * Agricultural Bank of Greece S.A. 8,700 75,922 Alpha Credit Bank 19,500 513,785 * Bank of Greece 2,500 297,284 Bank of Piraeus S.A. 5,000 51,066 Commercial Bank of Greece 14,800 311,889 EFG Eurobank Ergasias S.A. 59,500 1,001,390 Hellenic Petroleum S.A. 57,690 470,250 Hellenic Tellecommunication Organization Co. S.A. 9,500 113,879 Intracom S.A. 35,000 225,720 ----------------- TOTAL -- GREECE (Cost $2,389,252) 3,061,185 ----------------- NORWAY -- (0.4%) COMMON STOCKS -- (0.4%) Den Norske Bank ASA Series A 78,600 474,588 Norsk Hydro ASA 3,400 194,579 Norske Skogindustrier ASA Series A 65,500 1,257,503 * Storebrand ASA 173,400 1,059,697 ----------------- TOTAL COMMON STOCKS (Cost $2,441,584) 2,986,367 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * Norwegian Krone (Cost $269) 286 ----------------- TOTAL -- NORWAY (Cost $2,441,853) 2,986,653 ----------------- PORTUGAL -- (0.4%) COMMON STOCKS -- (0.4%) BPI SGPS SA 60,800 192,410 Banco Comercial Portugues SA 125,599 257,455 Cimpor Cimentos de Portugal SA 55,300 265,158 * Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho Administracao e Participacoes Financeiros SA) 12,000 126,585 Portugal Telecom SA 13,260 124,776 * Sonae SGPS SA 1,941,600 1,629,211 ----------------- TOTAL -- PORTUGAL (Cost $1,811,546) 2,595,595 -----------------
57
SHARES VALUE+ -------------- ----------------- NEW ZEALAND -- (0.2%) COMMON STOCKS -- (0.2%) Auckland International Airport, Ltd. 93,436 $ 396,441 Carter Holt Harvey, Ltd. 807,000 912,733 Fletcher Building, Ltd. 40,076 103,201 ----------------- TOTAL COMMON STOCKS (Cost $1,059,198) 1,412,375 ----------------- INVESTMENT IN CURRENCY -- (0.0%) * New Zealand Dollar (Cost $34,626) 38,340 ----------------- TOTAL -- NEW ZEALAND (Cost $1,093,824) 1,450,715 ----------------- AUSTRIA -- (0.2%) COMMON STOCKS -- (0.2%) Omv AG 1,431 202,775 * Telekom Austria AG 44,047 511,106 Voestalpine AG 14,770 583,385 ----------------- TOTAL -- AUSTRIA (Cost $962,707) 1,297,266 ----------------- FACE AMOUNT -------------- (000) TEMPORARY CASH INVESTMENTS -- (3.9%) Repurchase Agreement, PNC Capital Markets, Inc.0.82%, 12/01/03 (Collateralized by $24,805,000 FHLB Notes 1.875%, 02/15/05, valued at $24,991,038) to be repurchased at $24,622,682 (Cost $24,621,000) $ 24,621 24,621,000 Repurchase agreements in a Pooled Cash Account, Mizuho Securities USA, 1.05%, 12/01/03 (Collateralized by $2,628,000 U.S. Treasury Obligations, at a rate of 3.25%, maturing 08/15/08, valued at $2,606,906) to be repurchased at $2,607,134 (Cost $2,606,906)^ 2,607 2,606,906 ----------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $27,227,906) 27,227,906 ----------------- TOTAL INVESTMENTS -- (100.0%) (Cost $600,117,069)++ $ 692,095,417 =================
---------- + See Note B to Financial Statements. ++ The cost for federal income tax purposes is $601,736,022. ^ 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. 58 DFA INVESTMENT DIMENSIONS GROUP STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
TAX-MANAGED TAX-MANAGED U.S. MARKETWIDE TAX-MANAGED U.S. SMALL CAP VALUE U.S. EQUITY VALUE PORTFOLIO PORTFOLIO PORTFOLIO ---------------- ---------------- ---------------- ASSETS: Investments at Value (including $0, $0, and $114,085 of securities on loan, respectively) $ 756,950 $ 348,757 $ 1,704,141 Receivables: Investment Securities Sold -- -- 1 Dividends, Interest, and Tax Reclaims -- -- 673 Securities Lending -- -- 28 Fund Shares Sold 1,272 1,017 865 Prepaid Expenses and Other Assets 19 42 16 ---------------- ---------------- ---------------- Total Assets 758,241 349,816 1,705,724 ---------------- ---------------- ---------------- LIABILITIES: Payables: Collateral on Securities Loaned -- -- 119,467 Investment Securities Purchased 1,253 1,017 4,130 Fund Shares Redeemed 19 -- 25 Due to Advisor -- 25 639 Accrued Expenses and Other Liabilities 130 22 114 ---------------- ---------------- ---------------- Total Liabilities 1,402 1,064 124,375 ---------------- ---------------- ---------------- NET ASSETS $ 756,839 $ 348,752 $ 1,581,349 ================ ================ ================ SHARES OUTSTANDING $.01 PAR VALUE 68,081,091 31,557,846 82,288,335 ================ ================ ================ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 11.12 $ 11.05 $ 19.22 ================ ================ ================ Investments at Cost $ 590,451 $ 301,317 $ 1,142,743 ================ ================ ================ TAX-MANAGED TAX-MANAGED DFA INTERNATIONAL U.S. SMALL CAP VALUE PORTFOLIO PORTFOLIO ---------------- ----------------- ASSETS: Investments at Value (including $67,864 and $2,472 of securities on loan, respectively) $ 773,742 $ 692,095 Cash 1 16 Receivables: Investment Securities Sold -- 528 Dividends, Interest, and Tax Reclaims 163 1,517 Securities Lending 21 3 Fund Shares Sold 726 441 Prepaid Expenses and Other Assets 16 77 ---------------- ---------------- Total Assets 774,669 694,677 ---------------- ---------------- LIABILITIES: Payables: Collateral on Securities Loaned 70,839 2,607 Investment Securities Purchased 130 16,531 Fund Shares Redeemed 10 19 Due to Advisor 284 -- Accrued Expenses and Other Liabilities 44 378 ---------------- ---------------- Total Liabilities 71,307 19,535 ---------------- ---------------- NET ASSETS $ 703,362 $ 675,142 ================ ================ SHARES OUTSTANDING $.01 PAR VALUE 39,424,442 62,280,356 ================ ================ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 17.84 $ 10.84 ================ ================ Investments at Cost $ 506,800 $ 600,117 ================ ================
See accompanying Notes to Financial Statements. 59 DFA INVESTMENT DIMENSIONS GROUP STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS)
TAX-MANAGED TAX-MANAGED U.S. MARKETWIDE TAX-MANAGED U.S. SMALL CAP VALUE U.S. EQUITY VALUE PORTFOLIO PORTFOLIO PORTFOLIO ---------------- ---------------- ---------------- INVESTMENT INCOME Dividends $ 4,664 $ 2,731 $ 9,056 Interest 96 42 188 Income from Securities Lending 49 18 346 Expenses Allocated from Master Fund (1,407) (256) -- ---------------- ---------------- ---------------- Total Investment Income 3,402 2,535 9,590 ---------------- ---------------- ---------------- EXPENSES Investment Advisory Services -- -- 5,722 Administrative Service Fees 835 372 -- Accounting & Transfer Agent Fees 65 34 425 Custodian Fees -- -- 109 Legal Fees 11 5 20 Audit Fees 3 1 68 Filing Fees 43 42 41 Shareholders' Reports 19 7 36 Directors' Fees and Expenses 7 4 18 Other 2 1 9 ---------------- ---------------- ---------------- Total Expenses 985 466 6,448 Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor -- (101) -- ---------------- ---------------- ---------------- Net Expenses 985 365 6,448 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS) 2,417 2,170 3,142 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES Net Realized Gain (Loss) on Investment Securities Sold (15,486) (12,492) 22,129 Change in Unrealized Appreciation (Depreciation) of Investment Securities 140,524 58,133 442,005 ---------------- ---------------- ---------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES 125,038 45,641 464,134 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 127,455 $ 47,811 $ 467,276 ================ ================ ================
See accompanying Notes to Financial Statements. 60
TAX-MANAGED TAX-MANAGED U.S. SMALL CAP DFA INTERNATIONAL PORTFOLIO VALUE PORTFOLIO ---------------- ----------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0 and $1,121 respectively) $ 3,105 $ 12,590 Interest 85 158 Income from Securities Lending 211 498 ---------------- ---------------- Total Investment Income 3,401 13,246 ---------------- ---------------- EXPENSES Investment Advisory Services 2,538 2,415 Accounting & Transfer Agent Fees 188 508 Custodian Fees 48 158 Legal Fees 8 9 Audit Fees 29 30 Filing Fees 33 39 Shareholders' Reports 17 15 Directors' Fees and Expenses 4 3 Other 8 7 ---------------- ---------------- Total Expenses 2,873 3,184 ---------------- ---------------- NET INVESTMENT INCOME (LOSS) 528 10,062 ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY Net Realized Gain (Loss) on Investment Securities Sold (35,339) 764 Net Realized Gain (Loss) on Foreign Currency Transactions -- 321 Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 236,677 145,760 Translation of Foreign Currency Denominated Amounts -- (40) ---------------- ---------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 201,338 146,805 ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 201,866 $ 156,867 ================ ================
See accompanying Notes to Financial Statements. 61 DFA INVESTMENT DIMENSIONS GROUP STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
TAX-MANAGED TAX-MANAGED TAX-MANAGED U.S. MARKETWIDE U.S. EQUITY U.S. SMALL CAP VALUE PORTFOLIO PORTFOLIO VALUE PORTFOLIO ------------------------ ------------------------ ------------------------ YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 2003 2002 --------- --------- --------- --------- --------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 2,417 $ 2,560 $ 2,170 $ 831 $ 3,142 $ 1,332 Net Realized Gain (Loss) on Investment Securities Sold (15,486) (133,445) (12,492) (23,342) 22,129 (107,425) Change in Unrealized Appreciation (Depreciation) of Investment Securities 140,524 (16,287) 58,133 (16,417) 442,005 (7,559) --------- --------- --------- --------- ----------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations 127,455 (147,172) 47,811 (38,928) 467,276 (113,652) --------- --------- --------- --------- ----------- --------- Distributions From: Net Investment Income (1,935) (1,920) (1,091) (69) (1,454) (3,513) --------- --------- --------- --------- ----------- --------- Total Distributions (1,935) (1,920) (1,091) (69) (1,454) (3,513) --------- --------- --------- --------- ----------- --------- Capital Share Transactions (1): Shares Issued 301,893 352,721 171,830 231,747 413,799 562,490 Shares Issued in Lieu of Cash Distributions 1,868 1,828 1,086 69 1,244 3,303 Shares Redeemed (151,388) (300,797) (69,135) (76,118) (286,987) (295,930) --------- --------- --------- --------- ----------- --------- Net Increase (Decrease) from Capital Share Transactions 152,373 53,752 103,781 155,698 128,056 269,863 --------- --------- --------- --------- ----------- --------- Total Increase (Decrease) 277,893 (95,340) 150,501 116,701 593,878 152,698 NET ASSETS Beginning of Period 478,946 574,286 198,251 81,550 987,471 834,773 --------- --------- --------- --------- ----------- --------- End of Period $ 756,839 $ 478,946 $ 348,752 $ 198,251 $ 1,581,349 $ 987,471 ========= ========= ========= ========= =========== ========= (1) SHARES ISSUED AND REDEEMED: Shares Issued 32,302 34,612 17,947 22,254 28,806 38,101 Shares Issued in Lieu of Cash Distributions 201 176 119 6 95 217 Shares Redeemed (17,112) (32,228) (7,609) (8,083) (20,644) (21,350) --------- --------- --------- --------- ----------- --------- 15,391 2,560 10,457 14,177 8,257 16,968 ========= ========= ========= ========= =========== =========
See accompanying Notes to the Financial Statements. 62 DFA INVESTMENT DIMENSIONS GROUP STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
TAX-MANAGED U.S. SMALL CAP TAX-MANAGED DFA INTERNATIONAL PORTFOLIO VALUE PORTFOLIO ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 528 $ 329 $ 10,062 $ 7,423 Net Realized Gain (Loss) on Investment Securities Sold (35,339) (57,854) 764 (20,187) Net Realized Gain (Loss) on Foreign Currency Transactions -- -- 321 (88) Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 236,677 (13,244) 145,760 (30,667) Translation of Foreign Currency Denominated Amounts -- -- (40) 58 ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 201,866 (70,769) 156,867 (43,461) ------------ ------------ ------------ ------------ Distributions From: Net Investment Income (344) (1,133) (7,505) (3,866) ------------ ------------ ------------ ------------ Total Distributions (344) (1,133) (7,505) (3,866) ------------ ------------ ------------ ------------ Capital Share Transactions (1): Shares Issued 197,395 244,302 251,371 318,714 Shares Issued in Lieu of Cash Distributions 338 1,129 7,378 3,866 Shares Redeemed (132,155) (119,648) (138,886) (157,776) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions 65,578 125,783 119,863 164,804 ------------ ------------ ------------ ------------ Total Increase (Decrease) 267,100 53,881 269,225 117,477 NET ASSETS Beginning of Period 436,262 382,381 405,917 288,440 ------------ ------------ ------------ ------------ End of Period $ 703,362 $ 436,262 $ 675,142 $ 405,917 ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued 15,041 17,827 29,187 36,194 Shares Issued in Lieu of Cash Distributions 28 75 945 430 Shares Redeemed (10,416) (9,424) (17,110) (18,729) ------------ ------------ ------------ ------------ 4,653 8,478 13,022 17,895 ============ ============ ============ ============
See accompanying Notes to the Financial Statements. 63 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO ------------------------------------------------------------- YEAR YEAR YEAR YEAR DEC. 14, ENDED ENDED ENDED ENDED 1998 TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 --------- --------- --------- --------- --------- Net Asset Value, Beginning of Period $ 9.09 $ 11.46 $ 10.77 $ 10.64 $ 10.00 --------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.04 0.05 0.12 0.17 0.10 Net Gains (Losses) on Securities (Realized and Unrealized) 2.02 (2.39) 0.77 0.12 0.61 --------- --------- --------- --------- --------- Total From Investment Operations 2.06 (2.34) 0.89 0.29 0.71 LESS DISTRIBUTIONS Net Investment Income (0.03) (0.03) (0.16) (0.16) (0.07) Net Realized Gains -- -- -- -- -- Return of Capital -- -- (0.04) -- -- --------- --------- --------- --------- --------- Total Distributions (0.03) (0.03) (0.20) (0.16) (0.07) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 11.12 $ 9.09 $ 11.46 $ 10.77 $ 10.64 ========================================================================================================================== Total Return 22.79% (20.43)% 8.17% 2.80% 7.02%# -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 756,839 $ 478,946 $ 574,286 $ 259,457 $ 99,579 Ratio of Expenses to Average Net Assets** 0.43% 0.42% 0.44% 0.50% 0.69%* Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses)** 0.43% 0.42% 0.44% 0.50% 0.69%* Ratio of Net Investment Income to Average Net Assets 0.43% 0.44% 0.97% 1.75% 1.27%* Ratio of Net Investment Income to Average Net Assets (Exluding Waivers and Assumption of Expenses) 0.43% 0.44% 0.97% 1.75% 1.27%* Portfolio Turnover Rate N/A N/A N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 6% 15% 11% 39% 10% TAX-MANAGED U.S. EQUITY PORTFOLIO ----------------------------------- YEAR YEAR SEPT. 25, ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 --------- --------- --------- Net Asset Value, Beginning of Period $ 9.40 $ 11.78 $ 10.00 --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.07 0.04 0.01 Net Gains (Losses) on Securities (Realized and Unrealized) 1.63 (2.41) 1.77 --------- --------- --------- Total From Investment Operations 1.70 (2.37) 1.78 ------------------------------------------------------------------------------------------------ LESS DISTRIBUTIONS Net Investment Income (0.05) (0.01) -- Net Realized Gains -- -- -- Return of Capital -- -- -- --------- --------- --------- Total Distributions (0.05) (0.01) -- ------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $ 11.05 $ 9.40 $ 11.78 ================================================================================================ Total Return 18.21% (20.16)% 17.80%# ------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands) $ 348,752 $ 198,251 $ 81,550 Ratio of Expenses to Average Net Assets** 0.25% 0.25% 0.25% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses)** 0.29% 0.34% 0.71%* Ratio of Net Investment Income to Average Net Assets 0.87% 0.50% 0.57%* Ratio of Net Investment Income to Average Net Assets (Exluding Waivers and Assumption of Expenses) 0.83% 0.41% 0.11%* Portfolio Turnover Rate N/A N/A N/A Portfolio Turnover Rate of Master Fund Series 13% 11% 4%
* Annualized # Non-annualized ** Represents the combined ratios for the portfolio and its pro-rata share of the Master Fund Series. N/A Refer to the Master Fund Series See accompanying Notes to Financial Statements. 64
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO ------------------------------------------------------------------- YEAR YEAR YEAR YEAR DEC. 11, ENDED ENDED ENDED ENDED 1998 TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 13.34 $ 14.63 $ 12.08 $ 11.19 $ 10.00 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.04 0.02 0.06 0.09 0.05 Net Gains (Losses) on Securities (Realized and Unrealized) 5.86 (1.25) 2.58 0.86 1.14 ----------- ----------- ----------- ----------- ----------- Total From Investment Operations 5.90 (1.23) 2.64 0.95 1.19 -------------------------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.02) (0.06) (0.09) (0.06) -- Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions (0.02) (0.06) (0.09) (0.06) -- -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 19.22 $ 13.34 $ 14.63 $ 12.08 $ 11.19 ================================================================================================================================ Total Return 44.29% (8.47)% 22.01% 8.50% 11.90%# -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 1,581,349 $ 987,471 $ 834,773 $ 435,729 $ 266,735 Ratio of Expenses to Average Net Assets 0.56% 0.56% 0.57% 0.60% 0.64%* Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses) 0.56% 0.56% 0.57% 0.60% 0.64%* Ratio of Net Investment Income to Average Net Assets 0.27% 0.13% 0.53% 0.88% 0.66%* Ratio of Net Investment Income to Average Net Assets (Exluding Waivers and Assumption of Expenses) 0.27% 0.13% 0.53% 0.88% 0.66%* Portfolio Turnover Rate 13% 11% 12% 50% 15%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 65 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. SMALL CAP PORTFOLIO --------------------------------------------------------- YEAR YEAR YEAR YEAR DEC. 15, ENDED ENDED ENDED ENDED 1998 TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 12.55 $ 14.54 $ 12.95 $ 12.19 $ 10.00 --------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.01 0.01 0.05 0.05 0.02 Net Gains (Losses) on Securities (Realized and Unrealized) 5.29 (1.96) 1.59 0.74 2.17 --------- --------- --------- --------- --------- Total From Investment Operations 5.30 (1.95) 1.64 0.79 2.19 ------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.01) (0.04) (0.05) (0.03) -- Net Realized Gains -- -- -- -- -- --------- --------- --------- --------- --------- Total Distributions (0.01) (0.04) (0.05) (0.03) -- ------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 17.84 $ 12.55 $ 14.54 $ 12.95 $ 12.19 ============================================================================================================= Total Return 42.27% (13.45)% 12.69% 6.50% 21.90%# ------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 703,362 $ 436,262 $ 382,381 $ 163,739 $ 67,274 Ratio of Expenses to Average Net Assets 0.57% 0.57% 0.58% 0.61% 0.78%* Ratio of Net Investment Income to Average Net Assets 0.10% 0.07% 0.40% 0.45% 0.37%* Portfolio Turnover Rate 19% 10% 12% 54% 9% TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO --------------------------------------------------------- YEAR YEAR YEAR YEAR APR. 16, ENDED ENDED ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $ 8.24 $ 9.20 $ 10.20 $ 10.24 $ 10.00 --------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) 0.17 0.14 0.11 0.13 0.03 Net Gains (Losses) on Securities (Realized and Unrealized) 2.59 (0.98) (1.00) (0.12) 0.21 --------- --------- --------- --------- --------- Total From Investment Operations 2.76 (0.84) (0.89) 0.01 0.24 ------------------------------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Net Investment Income (0.16) (0.12) (0.11) (0.05) -- Net Realized Gains -- -- -- -- -- --------- --------- --------- --------- --------- Total Distributions (0.16) (0.12) (0.11) (0.05) -- ------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $ 10.84 $ 8.24 $ 9.20 $ 10.20 $ 10.24 ============================================================================================================= Total Return 34.20% (9.29)% (8.83)% 0.04% 2.40%# ------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands) $ 675,142 $ 405,917 $ 288,440 $ 111,350 $ 39,242 Ratio of Expenses to Average Net Assets 0.66% 0.68% 0.76% 0.81% 1.56%* Ratio of Net Investment Income to Average Net Assets 2.08% 1.84% 1.91% 1.86% 0.83%* Portfolio Turnover Rate 25% 8% 4% 6% 0%
* Annualized # Non-annualized See accompanying Notes to Financial Statements. 66 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company. The Fund offers forty portfolios, five of which (the "Portfolios") are included in this report. Of the remaining portfolios, thirty-one are presented in separate reports and four have not commenced operations. The Tax-Managed U.S. Marketwide Value Portfolio and Tax-Managed U.S. Equity Portfolio (the "Feeder Funds") invest all of their assets in The Tax-Managed U.S. Marketwide Value Series and The Tax-Managed U.S. Equity Series (the "Series"), respectively, each a corresponding Series of the DFA Investment Trust Company. At November 30, 2003, the Feeder Funds owned 70% and 100%, respectively, of the outstanding shares of their respective Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Funds. Tax-Managed U.S. Small Cap Value Portfolio, Tax-Managed U.S. Small Cap Portfolio and Tax-Managed DFA International Value Portfolio are organized as stand-alone registered investment companies. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America for investment companies. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by Tax-Managed U.S. Small Cap Value Portfolio and Tax-Managed U.S. Small Cap Portfolio which are listed on a securities exchange and for which market quotations are readily available are valued at the last quoted sale price of the day. Effective May 21, 2003, securities held by these portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, these Portfolios value the securities at the mean between the most recent bid and asked prices. Securities held by Tax-Managed DFA International Value Portfolio which are listed on a securities exchange are valued at the last quoted sale price. Price information on listed securities is taken from the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the mean between the most recent bid and asked prices. Securities for which quotations are not readily available are valued in good faith at fair value using methods approved by the Board of Directors. The Tax-Managed DFA International Value Portfolio values its investment securities at fair value based upon procedures approved by the Board on days when significant events occur after the close of the principal exchange on which the securities are traded, and as a result, are expected to materially affect the value of the investments. For the Tax-Managed U.S. Marketwide Value Portfolio and Tax-Managed U.S. Equity Portfolio, the investment reflects their proportionate interest in the net assets of their respective Series. 2. FOREIGN CURRENCY: Securities and other assets and liabilities of the Tax-Managed DFA International Value Portfolio whose values are initially expressed in foreign currencies, are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar. 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 67 payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The Tax-Managed DFA International Value Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of interest, dividends and foreign withholding taxes recorded on the books of the Tax-Managed DFA International Value Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of a percentage of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Directors' Fees and Expenses. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Expenses directly attributable to a Portfolio are directly charged. Common expenses are allocated using methods approved by the Board of Directors, generally based on average net assets. The Feeder Funds accrue, on a daily basis, their respective share of income, net of expenses on their investment in their respective Series, which are treated as partnerships for federal income tax purposes. All of the net investment income and realized and unrealized gains and losses from the security transactions are allocated pro-rata among their investors at the time of such determination. The Tax-Managed DFA International Value Portfolio may be subject to taxes imposed by countries in which it invests, with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The portfolio accrues such taxes when the related income or capital gains are earned. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital abroad. C. INVESTMENT ADVISOR: Dimensional Fund Advisors Inc. ("Dimensional" or "the Advisor") provides investment advisory services to all Portfolios except the Feeder Funds. The Advisor provides administrative services to the Feeder Funds, including supervision of services provided by others, providing information to shareholders and the Board of Directors, and other administrative services. For the year ended November 30, 2003, the Portfolios' advisory fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: Tax-Managed U.S. Small Cap Value Portfolio 0.50 of 1% Tax Managed U.S. Small Cap Portfolio 0.50 of 1% Tax Managed DFA International Value Portfolio 0.50 of 1%
For the year ended November 30, 2003, the Feeder Funds accrued and paid monthly to the Advisor an administration fee based on an effective annual rate of 0.15 of 1% of average daily net assets. For the Tax Managed U.S. Equity Portfolio, the Advisor has contractually agreed to waive its administration fee and assume the expenses of the Portfolio (up to the amount of fees paid to the Advisor based on the Portfolio's assets invested in its master fund) to the extent necessary to reduce the Portfolio's expenses when its total operating expenses exceed 0.25% of the average net assets of the Portfolio on an annualized basis. The Advisor retains the right to seek reimbursement for any fees previously waived and/or any expenses assumed to the extent that such 68 reimbursement will not cause the Portfolio's annualized expenses to exceed 0.25% of its average net assets on an annualized basis. At November 30, 2003, approximately $289,000 of previously waived fees were subject to future reimbursement to the Advisor over various periods not exceeding November 30, 2006. Certain officers of the Portfolios are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At November 30, 2003, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities as follows: Tax-Managed U.S. Marketwide Value Portfolio $ 8,180 Tax-Managed U.S. Equity Portfolio 3,628 Tax-Managed U.S. Small Cap Value Portfolio 16,778 Tax-Managed U.S. Small Cap Portfolio 7,437 Tax-Managed DFA International Value Portfolio 7,069
E. PURCHASES AND SALES OF SECURITIES: For the year ended November 30, 2003, the Portfolios made the following purchases and sales of investment securities other than short-term securities (amounts in thousands):
OTHER INVESTMENT SECURITIES ---------------------- PURCHASES SALES ---------- ---------- Tax-Managed U.S. Small Cap Value Portfolio $ 275,500 $ 149,070 Tax-Managed U.S. Small Cap Portfolio 157,530 94,710 Tax-Managed DFA International Value Portfolio 154,611 117,644
There were no purchases or sales of U.S. Government Securities during the year ended November 30, 2003. F. FEDERAL INCOME TAXES: No provision for federal income taxes is required since it is each Portfolio's intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute substantially all of its taxable income and capital gains to shareholders. Because income tax regulations differ from accounting principles generally accepted in the United States of America, the timing and character of income and capital gain distributions determined in accordance with tax regulations can differ from income and capital gains recognized for financial reporting purposes. Accordingly, the character of distributions and the composition of net assets for tax purposes can differ from those reflected in the financial statements. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid in capital, accumulated net realized gain (loss) or undistributed net investment income as appropriate, in the period the differences arise. These reclassifications have no effect on net assets or net asset value per share. The components of distributable earnings on a tax basis do not differ materially from book basis distributable earnings, which are disclosed in the Components of Net Assets. During the year ended November 30, 2003, the Tax-Managed DFA International Value Portfolio realized net foreign currency gains of $320,700, which increased distributable net income for tax purposes; accordingly such gains have been reclassified from accumulated net realized gains/losses to accumulated net investment income. 69 At November 30, 2003, gross unrealized appreciation and depreciation for federal income tax purposes of investment securities and foreign currencies was as follows (amounts in thousands):
GROSS UNREALIZED GROSS UNREALIZED APPRECIATION DEPRECIATION NET ---------------- ---------------- ---------- Tax-Managed U.S. Marketwide Value Portfolio $ 212,949 $ (47,030) $ 165,919 Tax-Managed U.S. Equity Portfolio 54,386 (6,967) 47,419 Tax-Managed U.S. Small Cap Value Portfolio 607,029 (47,051) 559,978 Tax-Managed U.S. Small Cap Portfolio 276,204 (9,849) 266,355 Tax-Managed DFA International Value Portfolio 122,264 (31,905) 90,359
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at November 30, its fiscal year end. As of November 30, 2003, the Portfolios had capital loss carryforwards for federal income tax purposes (amounts in thousands):
EXPIRES ON NOVEMBER 30, ------------------------------------------------------------------- 2007 2008 2009 2010 2011 TOTAL ------- -------- -------- --------- -------- --------- Tax-Managed U.S. Marketwide Value Portfolio $ 703 $ 12,271 $ 19,886 $ 133,556 $ 15,472 $ 181,888 Tax-Managed U.S. Equity Portfolio -- -- 146 23,366 12,492 36,003 Tax-Managed U.S. Small Cap Value Portfolio -- 967 -- 117,467 118,434 Tax-Managed U.S. Small Cap Portfolio 500 5,106 8,279 57,929 35,206 107,020 Tax-Managed DFA International Value Portfolio -- 65 5,202 19,272 -- 24,539
During the year ended November 30, 2003, the Tax-Managed U.S. Small Cap Value Portfolio and the Tax-Managed DFA International Portfolio utilized capital loss carryforwards in the approximate amounts of $352,000 and $779,000, respectively, to offset realized capital gains for federal income tax purposes. During the year ended November 30, 2003, Tax-Managed U.S. Small Cap Value Portfolio realized approximately $21,745,000 of net capital gains resulting from in-kind redemptions in which shareholders of the Portfolio elected to exchange shares of the Portfolio for securities, rather than cash. Because such gains are not taxable to the Portfolio, and are not distributed to shareholders, they have been properly reclassified from accumulated net realized gains to paid-in capital. Certain of the investments held by the Tax-Managed DFA International Value Portfolio are securities considered to be "passive foreign investment companies", for which any unrealized appreciation (depreciation) (mark to market) are required to be included in distributable net investment income for tax purposes. The Tax-Managed DFA International Value Portfolio had unrealized appreciation (depreciation) (mark to market) of $498,790, which is included in distributable net investment income for tax purposes. G. FINANCIAL INSTRUMENTS: In accordance with the Portfolios' Investment Objectives and Policies, the Portfolios may invest in certain financial instruments which have off-balance sheet risk and concentrations of credit risk. These instruments and their significant corresponding risks are described below: 1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Fund's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on November 28, 2003. 2. FOREIGN MARKETS RISKS: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Portfolios may be inhibited. 70 H. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured line of credit with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $50 million, 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 at any time. For the year ended November 30, 2003, borrowings under the line of credit were as follows:
MAXIMUM WEIGHTED WEIGHTED AMOUNT AVERAGE AVERAGE NUMBER OF INTEREST BORROWED INTEREST LOAN DAYS EXPENSE DURING RATE BALANCE OUTSTANDING INCURRED THE PERIOD -------- ----------- ----------- -------- ------------ Tax-Managed U.S. Small Cap Portfolio 2.02% $ 4,635,471 17 $ 4,425 $ 10,002,000
There were no outstanding borrowings under the line of credit at November 30, 2003. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit with its international custodian bank. Each portfolio is permitted to borrow, subject to investment limitations, up to a maximum of $150 million, as long as total borrowings under the line of credit do not exceed $150 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused line of credit. The agreement for the line of credit expires in April 2004. There were no borrowings under the line of credit during the year ended November 30, 2003. I. COMPONENTS OF NET ASSETS: At November 30, 2003, net assets consisted of (amounts in thousands):
TAX-MANAGED TAX-MANAGED TAX-MANAGED U.S. MARKETWIDE U.S. EQUITY U.S. SMALL CAP VALUE PORTFOLIO PORTFOLIO VALUE PORTFOLIO ---------------- ----------- --------------- Paid-In Capital $ 771,687 $ 335,452 $ 1,137,135 Accumulated Net Investment Income (Loss) 1,122 1,884 2,670 Accumulated Net Realized Gain (Loss) (182,467) (36,025) (119,854) Unrealized Appreciation (Depreciation) of Investment Securities 166,499 47,441 561,398 ------------ ---------- ------------ Total Net Assets $ 756,839 $ 348,752 $ 1,581,349 ============ ========== ============ TAX-MANAGED TAX-MANAGED DFA VALUE U.S. SMALL CAP INTERNATIONAL PORTFOLIO PORTFOLIO -------------- ------------- Paid-In Capital $ 543,639 $ 598,826 Accumulated Net Investment Income (Loss) 390 9,694 Accumulated Net Realized Gain (Loss) (107,608) (25,658) Accumulated Net Realized Foreign Exchange Gain (Loss) -- 321 Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 266,941 91,979 Unrealized Net Foreign Exchange Gain (Loss) -- (20) ------------ ----------- Total Net Assets $ 703,362 $ 675,142 ============ ===========
71 J. SECURITIES LENDING: As of November 30, 2003, some of the Fund's portfolios had securities on loan to broker/dealers, for which each portfolio held cash collateral. Each portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% of the market value of the securities on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses PNCBank, National Association, the lending agent, has agreed to pay the amount of the shortfall to the portfolio or, at the option of the lending agent, to replace the securities. Each portfolio, along with other portfolios of the Fund, invests the cash collateral received from securities on loan in a pooled cash account, which invests in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. 72 REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC. In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Tax-Managed U.S. Marketwide Value Portfolio, Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Small Cap Value Portfolio, Tax-Managed U.S. Small Cap Portfolio and Tax-Managed DFA International Value Portfolio (constituting portfolios within DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolios") at November 30, 2003, the results of each of their operations for the year then ended and the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2003 by correspondence with the custodians and transfer agent of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 15, 2004 73 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS [CHART] THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS. RUSSELL 3000 VALUE INDEX DECEMBER 14, 1998-NOVEMBER 30, 2003
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES RUSSELL 3000 VALUE INDEX Dec-1998 $ 10,000 $ 10,000 Dec-1998 $ 10,310 $ 10,636 Jan-1999 $ 10,380 $ 10,695 Feb-1999 $ 10,011 $ 10,500 Mar-1999 $ 10,371 $ 10,695 Apr-1999 $ 11,611 $ 11,693 May-1999 $ 11,791 $ 11,598 Jun-1999 $ 12,081 $ 11,941 Jul-1999 $ 11,621 $ 11,596 Aug-1999 $ 11,221 $ 11,167 Sep-1999 $ 10,641 $ 10,789 Oct-1999 $ 10,811 $ 11,349 Nov-1999 $ 10,751 $ 11,269 Dec-1999 $ 10,921 $ 11,342 Jan-2000 $ 10,291 $ 10,977 Feb-2000 $ 9,570 $ 10,261 Mar-2000 $ 10,701 $ 11,422 Apr-2000 $ 10,981 $ 11,302 May-2000 $ 10,861 $ 11,402 Jun-2000 $ 10,191 $ 10,937 Jul-2000 $ 10,701 $ 11,090 Aug-2000 $ 11,350 $ 11,698 Sep-2000 $ 11,230 $ 11,794 Oct-2000 $ 11,560 $ 12,062 Nov-2000 $ 11,080 $ 11,627 Dec-2000 $ 12,141 $ 12,251 Jan-2001 $ 13,021 $ 12,317 Feb-2001 $ 12,861 $ 11,997 Mar-2001 $ 12,471 $ 11,589 Apr-2001 $ 13,230 $ 12,154 May-2001 $ 13,540 $ 12,430 Jun-2001 $ 13,390 $ 12,209 Jul-2001 $ 13,210 $ 12,166 Aug-2001 $ 12,431 $ 11,709 Sep-2001 $ 10,901 $ 10,852 Oct-2001 $ 10,961 $ 10,783 Nov-2001 $ 12,001 $ 11,421 Dec-2001 $ 12,370 $ 11,720 Jan-2002 $ 11,940 $ 11,647 Feb-2002 $ 11,770 $ 11,669 Mar-2002 $ 12,271 $ 12,246 Apr-2002 $ 11,801 $ 11,891 May-2002 $ 11,651 $ 11,913 Jun-2002 $ 10,510 $ 11,263 Jul-2002 $ 9,210 $ 10,169 Aug-2002 $ 9,360 $ 10,237 Sep-2002 $ 8,500 $ 9,127 Oct-2002 $ 8,950 $ 9,764 Nov-2002 $ 9,570 $ 10,390 Dec-2002 $ 9,020 $ 9,939 Jan-2003 $ 8,829 $ 9,695 Feb-2003 $ 8,589 $ 9,432 Mar-2003 $ 8,589 $ 9,454 Apr-2003 $ 9,399 $ 10,291 May-2003 $ 10,189 $ 10,982 Jun-2003 $ 10,278 $ 11,123 Jul-2003 $ 10,608 $ 11,316 Aug-2003 $ 11,028 $ 11,511 Sep-2003 $ 10,689 $ 11,397 Oct-2003 $ 11,448 $ 12,112 Nov-2003 $ 11,758 $ 12,299
ANNUALIZED ONE FROM TOTAL RETURN (%) YEAR DECEMBER 14, 1998 ---------------------------------------------- 22.87 3.32
- THE SERIES INVESTS IN A BROAD CROSS-SECTION OF U.S. LARGE, SMALL, AND MICRO CAP STOCKS THAT EXHIBIT "VALUE" CHARACTERISTICS (PRIMARILY LOW PRICE/BOOK). THE SERIES ALSO SEEKS TO MINIMIZE THE IMPACT OF TAXES ON RETURNS BY DEFERING NET CAPITAL GAINS AND REDUCING DIVIDEND INCOME. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell 3000 Value Index is courtesy of Russell Analytic Services. [CHART] THE TAX-MANAGED U.S. EQUITY SERIES VS. WILSHIRE 5000 INDEX SEPTEMBER 25, 2001-NOVEMBER 30, 2003
THE TAX-MANAGED U.S. EQUITY SERIES WILSHIRE 5000 INDEX Sep-2001 $ 10,000 $ 10,000 Sep-2001 $ 10,240 $ 10,000 Oct-2001 $ 10,780 $ 10,254 Nov-2001 $ 11,780 $ 11,038 Dec-2001 $ 11,970 $ 11,237 Jan-2002 $ 11,710 $ 11,098 Feb-2002 $ 11,300 $ 10,869 Mar-2002 $ 11,880 $ 11,345 Apr-2002 $ 11,210 $ 10,792 May-2002 $ 10,970 $ 10,664 Jun-2002 $ 10,030 $ 9,915 Jul-2002 $ 9,100 $ 9,114 Aug-2002 $ 9,190 $ 9,168 Sep-2002 $ 8,320 $ 8,249 Oct-2002 $ 8,960 $ 8,880 Nov-2002 $ 9,409 $ 9,415 Dec-2002 $ 8,869 $ 8,894 Jan-2003 $ 8,640 $ 8,669 Feb-2003 $ 8,500 $ 8,523 Mar-2003 $ 8,590 $ 8,619 Apr-2003 $ 9,279 $ 9,326 May-2003 $ 9,830 $ 9,896 Jun-2003 $ 9,950 $ 10,042 Jul-2003 $ 10,260 $ 10,284 Aug-2003 $ 10,550 $ 10,531 Sep-2003 $ 10,330 $ 10,414 Oct-2003 $ 11,010 $ 11,050 Nov-2003 $ 11,150 $ 11,205
ANNUALIZED ONE FROM TOTAL RETURN (%) YEAR SEPTEMBER 25, 2001 ----------------------------------------------- 18.50 5.12
- THE SERIES INVESTS IN A BROAD CROSS-SECTION OF U.S. LARGE, SMALL, AND MICRO CAP STOCKS. THE SERIES ALSO SEEKS TO MINIMIZE THE IMPACT OF TAXES ON RETURNS BY DEFERING NET CAPITAL GAINS AND REDUCING DIVIDEND INCOME. Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Wilshire 5000 Index courtesy of Wilshire Associates Incorporated. 74 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ -------------- ----------------- COMMON STOCKS -- (98.2%) 1st Source Corp. 7,700 $ 172,865 * 3COM Corp. 193,900 1,450,372 * AAR Corp. 9,900 103,554 * Abgenix, Inc. 30,700 345,989 * ABX Air, Inc. 19,300 76,235 * Ace Cash Express, Inc. 400 7,716 * Aclara Biosciences, Inc. 9,400 30,080 * ACT Manufacturing, Inc. 300 6 * ACT Teleconferencing, Inc. 1,500 2,475 * Actel Corp. 7,300 200,093 Action Performance Companies, Inc. 5,800 112,636 * Active Power, Inc. 1,100 3,696 * Activision, Inc. 32,100 491,130 * Adaptec, Inc. 36,500 321,565 * ADC Telecommunications, Inc. 173,900 427,794 * ADE Corp. 2,600 65,390 * Adept Technology, Inc. 700 1,260 * Administaff, Inc. 30,800 460,768 * Advanced Digital Information Corp. 20,700 314,019 * Advanced Energy Industries, Inc. 1,600 42,240 Advanced Marketing Services, Inc. 3,500 40,775 * Advanced Micro Devices, Inc. 103,800 1,866,324 * Advanced Power Technology, Inc. 1,200 9,852 Advanta Corp. Class A 14,400 180,720 Advanta Corp. Class B Non-Voting 15,000 192,600 * Advent Software, Inc. 10,500 183,855 * Aehr Test Systems 500 1,934 * AEP Industries, Inc. 8,300 60,009 * Aeroflex, Inc. 9,100 115,479 * Aether Systems, Inc. 13,900 69,083 Aetna, Inc. 91,900 5,916,522 * Aetrium, Inc. 100 355 * Aftermarket Technology Corp. 300 3,993 * AG Services America, Inc. 400 3,380 * Agco Corp. 47,700 820,440 * Agile Software Corp. 17,600 193,424 Agilysys, Inc. 22,600 254,476 * Air Methods Corp. 1,900 17,195 Airgas, Inc. 78,300 1,517,454 * Airnet Systems, Inc. 700 2,443 Alamo Group, Inc. 3,800 55,974 * Alaska Air Group, Inc. 25,800 742,008 Albany International Corp. Class A 17,000 527,170 Albemarle Corp. 3,900 110,370 Albertson's, Inc. 38,500 819,280 Alcoa, Inc. 2,552 83,731 * Alderwoods Group, Inc. 5,100 45,186 Alexander & Baldwin, Inc. 19,000 597,740 * Alexion Pharmaceuticals, Inc. 6,600 123,750 Alfa Corp. 3,600 45,684 * Align Technology, Inc. 1,000 18,010 * All American Semiconductor, Inc. 1,300 5,889 * Allegheny Corp. 2,221 457,526 Allegheny Technologies, Inc. 4,200 34,440 * Alliance Semiconductor Corp. 3,900 32,214 * Allied Healthcare International, Inc. 1,200 6,672 * Allied Healthcare Products, Inc. 400 1,624 * Allied Holdings, Inc. 1,100 $ 5,049 * Allied Waste Industries, Inc. 84,000 1,045,800 * Allou Health Care, Inc. Class A 1,000 51 * Alloy, Inc. 1,200 6,456 * Allscripts Healthcare Solutions, Inc. 22,400 121,632 Allstate Corp. 298,300 12,045,354 Alpharma, Inc. Class A 25,200 507,780 Ambac Financial Group, Inc. 49,200 3,382,500 Ambassadors Group, Inc. 700 14,966 Ambassadors, Inc. 4,000 52,320 * AMC Entertainment, Inc. 9,700 146,955 Amerada Hess Corp. 25,900 1,226,883 * America Services Group, Inc. 400 13,240 * America West Holdings Corp. Class B 200 3,020 * American Dental Partners, Inc. 500 5,250 American Financial Group, Inc. 35,700 875,364 * American Greetings Corp. Class A 32,500 686,400 * American Independence Corp. 1,266 13,723 * American Management Systems, Inc. 12,900 192,339 * American Medical Security Group, Inc. 7,200 161,928 American National Insurance Co. 23,800 1,997,534 * American Pacific Corp. 500 4,725 * American Physicians Capital, Inc. 4,000 66,000 American Power Conversion Corp. 3,000 65,580 * American Retirement Corp. 10,200 31,620 American Software, Inc. Class A 4,500 27,675 * American Superconductor Corp. 3,800 40,128 * American Technical Ceramics Corp. 500 3,550 * American Tower Corp. 78,900 897,882 * American West Bancorporation 605 13,552 * Americredit Corp. 16,500 221,925 AmerisourceBergen Corp. 83,872 5,308,259 AmerUs Group Co. 24,000 862,800 * AMN Healthcare Services, Inc. 4,000 67,920 * AMR Corp. 7,500 96,225 Amrep Corp. 500 7,750 AmSouth Bancorporation 2,500 59,975 Anadarko Petroleum Corp. 223,734 10,052,369 * Anadigics, Inc. 1,800 12,060 Analogic Corp. 800 33,600 * Analysts International Corp. 9,700 30,070 * Anaren, Inc. 8,200 122,754 * Andrew Corp. 65,130 766,580 * Angiotech Pharmaceuticals, Inc. 1,706 84,055 * Anixter International, Inc. 400 9,220 * Ann Taylor Stores Corp. 26,250 1,043,175 * AnswerThink, Inc. 15,200 91,048 * Anthem, Inc. 51,839 3,738,629 AON Corp. 9,100 199,654 * APA Optics, Inc. 5,200 13,000 Apache Corp. 113,773 8,168,901 * Apple Computer, Inc. 155,000 3,242,600 Applica, Inc. 1,300 9,490 * Applied Films Corp. 5,400 179,226 Applied Industrial Technologies, Inc. 4,900 116,130 * Applied Innovation, Inc. 1,300 8,463 * Applied Micro Circuits Corp. 122,600 791,996
75
SHARES VALUE+ -------------- ----------------- * Applied Molecular Evolution, Inc. 7,100 $ 125,954 Applied Signal Technologies, Inc. 2,400 52,320 * Apropos Technology, Inc. 7,000 28,000 * aQuantive, Inc. 13,000 134,550 * Arch Capital Group, Ltd. 9,000 332,640 Arch Chemicals, Inc. 7,500 171,675 Arch Coal, Inc. 18,995 503,178 Archer-Daniels Midland Co. 425,565 6,081,324 * Arena Pharmaceuticals, Inc. 11,400 78,546 * Argonaut Group, Inc. 50 800 Arkansas Best Corp. 11,000 345,180 * Armor Holdings, Inc. 10,700 259,475 * Arqule, Inc. 3,100 15,252 * Arris Group, Inc. 59,400 383,130 * Arrow Electronics, Inc. 33,100 773,878 * Artesyn Technologies, Inc. 30,500 240,645 Arvinmeritor, Inc. 200 3,974 * Ascential Software Corp. 40,525 1,025,282 Ashland, Inc. 7,200 286,128 * Ashworth, Inc. 4,000 32,600 * Aspect Communications Corp. 8,400 123,648 * Aspect Medical Systems, Inc. 1,600 15,216 * Aspen Technology, Inc. 5,900 45,371 * Astec Industries, Inc. 10,800 142,452 Astoria Financial Corp. 5,400 201,852 * AstroPower, Inc. 5,400 3,888 * Asyst Technologies, Inc. 7,500 136,875 AT&T Corp. 161,400 3,200,562 * AT&T Wireless Services, Inc. 2,242,266 16,816,995 * Atlantic Coast Airlines, Inc. 4,999 54,639 * Atmel Corp. 14,700 98,931 * ATP Oil & Gas Corp. 6,900 34,914 Atrion Corp. 200 9,600 * Atwood Oceanics, Inc. 1,600 41,104 * Audiovox Corp. Class A 23,400 324,558 * August Technology Corp. 8,600 172,000 * Aurora Foods, Inc. 6,692 107 * autobytel.com, Inc. 7,300 70,518 * AutoNation, Inc. 324,600 5,706,468 * Avatar Holdings, Inc. 1,700 57,545 * Aviall, Inc. 5,600 89,600 * Avid Technology, Inc. 4,700 248,536 * Avigen, Inc. 1,500 9,750 * Avnet, Inc. 33,700 718,821 * Avocent Corp. 20,400 781,116 AVX Corp. 97,200 1,467,720 * Aware, Inc. 21,800 72,594 * Axcelis Technologies, Inc. 51,400 589,558 * Axsys Technologies, Inc. 300 4,173 * Aztar Corp. 30,900 687,525 * AZZ, Inc. 3,600 43,848 B B & T Corp. 189 7,439 Baldwin & Lyons, Inc. Class B 1,500 37,470 * Bally Total Fitness Holding Corp. 10,900 76,300 * Bancinsurance Corp. 1,800 11,826 Bandag, Inc. 4,500 183,375 Bandag, Inc. Class A 2,600 100,360 Bank of America Corp. 14,000 1,056,020 Bank of Hawaii Corp. 64,600 2,671,210 Bank One Corp. 11,400 494,304 Banknorth Group, Inc. 3,000 98,310 * BankUnited Financial Corp. Class A 16,500 $ 419,925 Banner Corp. 1,000 25,150 Banta Corp. 13,000 517,400 * Barnes & Noble, Inc. 26,200 869,316 * Barry (R.G.) Corp. 1,100 6,545 * Bay View Capital Corp. 37,000 224,590 * Baycorp Holdings, Ltd. 34 448 Bear Stearns Companies, Inc. 49,622 3,595,610 * Beazer Homes USA, Inc. 4,501 480,302 Belden, Inc. 11,100 218,670 * Bell Industries, Inc. 2,700 7,290 * Bell Microproducts, Inc. 5,900 50,799 Belo Corp. Class A 69,100 1,963,131 * Benchmark Electronics, Inc. 12,600 462,798 Berkley (W.R.) Corp. 23,625 806,794 * Bethlehem Steel Corp. 5,900 94 * Beverly Enterprises 26,800 209,844 * Big Lots, Inc. 84,200 1,234,372 * Bio-Logic Systems Corp. 300 1,779 * BioMarin Pharmaceutical, Inc. 15,200 111,720 * Bio-Rad Laboratories, Inc. Class A 4,000 205,000 * Biosource International, Inc. 2,600 18,980 Black Box Corp. 16,800 735,000 Blockbuster, Inc. Class A 47,000 802,760 * Blonder Tongue Laboratories, Inc. 500 1,600 * Blue Rhino Corp. 1,900 23,902 * Bluegreen Corp. 7,800 49,140 Bob Evans Farms, Inc. 19,600 604,856 * Boca Resorts, Inc. 35,200 502,656 * Bogen Communications International, Inc. 700 3,430 Boise Cascade Corp. 15,800 466,258 * Bombay Co., Inc. 9,900 101,277 Bon-Ton Stores, Inc. 900 12,060 * Books-a-Million, Inc. 5,000 22,500 * Borders Group, Inc. 32,100 721,608 Borg-Warner, Inc. 23,100 1,824,900 * Borland Software Corp. 9,700 84,584 * Boston Biomedical, Inc. 100 250 * Boston Communications Group, Inc. 5,300 47,700 * Bottomline Technologies, Inc. 1,000 9,000 Bowater, Inc. 15,000 613,500 Bowne & Co., Inc. 29,300 431,882 Boyd Gaming Corp. 42,300 692,028 * Brass Eagle, Inc. 3,600 33,264 * Brigham Exploration Co. 1,100 7,875 * Brightpoint, Inc. 2,250 50,557 * Brillian Corp. 1,525 12,154 * Broadcom Corp. 42,400 1,544,632 Brookline Bancorp, Inc. 25,150 377,753 * Brookstone, Inc. 2,250 53,415 * Brooktrout, Inc. 3,300 48,576 * Brown (Tom), Inc. 17,900 500,484 Brown Shoe Company, Inc. 8,900 310,877 * Bruker BioSciences Corp. 4,000 19,920 Brunswick Corp. 51,400 1,544,570 * Brush Engineered Materials, Inc. 3,000 40,440 * BTU International, Inc. 500 2,105 * Buca, Inc. 4,200 23,730 * Buckeye Technology, Inc. 18,700 190,927 Building Materials Holding Corp. 7,000 106,050
76 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SHARES VALUE+ -------------- ----------------- Burlington Coat Factory Warehouse Corp. 51,900 $ 1,095,090 Burlington Northern Santa Fe Corp. 311,900 9,285,263 Burlington Resources, Inc. 160,700 8,067,140 C & D Technologies, Inc. 7,100 142,142 Cabot Corp. 16,700 485,970 Cabot Oil & Gas Corp. Class A 17,100 454,176 * Cache, Inc. 700 15,112 Calgon Carbon Corp. 32,900 202,335 * California Amplifier, Inc. 1,600 15,664 * California Coastal Communities, Inc. 700 7,735 * Caliper Technologies Corp. 13,956 89,179 * Callon Petroleum Corp. 11,000 101,200 Cambrex Corp. 16,400 397,864 * Candela Corp. 2,700 55,431 * Capital Pacific Holdings, Inc. 5,700 19,380 * Capital Senior Living Corp. 3,900 23,790 * Captaris, Inc. 9,600 56,928 * Caraustar Industries, Inc. 23,600 274,940 * CarMax, Inc. 21,729 715,536 Carpenter Technology Corp. 4,800 128,640 * Carreker Corp. 2,200 32,912 * Carriage Services, Inc. Class A 4,100 13,489 * Carrizo Oil & Gas, Inc. 1,700 12,750 Cascade Corp. 3,000 80,400 * Casella Waste Systems, Inc. Class A 6,400 85,760 Casey's General Stores, Inc. 23,600 412,292 Cash America International, Inc. 19,100 370,158 * Castle (A.M.) & Co. 4,600 21,160 * Casual Male Retail Group, Inc. 20,000 172,000 * Catalytica Energy Systems, Inc. 5,900 20,650 Cato Corp. Class A 400 8,352 * Cavalier Homes, Inc. 5,800 16,530 * Cavco Industries, Inc. 3,025 71,087 CBRL Group, Inc. 60,100 2,479,125 CDI Corp. 8,600 291,540 * Celadon Group, Inc. 2,000 27,200 * Celeritek, Inc. 9,600 77,280 * CellStar Corp. 5,000 68,750 * Cendant Corp. 548,579 12,156,511 Centex Construction Products, Inc. 17,000 996,200 Centex Corp. 60,500 6,618,700 * Centillium Communications, Inc. 6,300 34,650 * Central Garden & Pet Co. 7,100 188,221 Central Parking Corp. 30,900 431,055 * Century Aluminum Co. 24,600 408,360 * Century Business Services, Inc. 42,800 199,020 CenturyTel, Inc. 3,100 101,370 * Ceradyne, Inc. 1,000 42,710 * Ceres Group, Inc. 1,100 5,742 * CGI Group, Inc. 3,032 17,495 * Chalone Wine Group, Ltd. 700 6,265 * Champion Enterprises, Inc. 8,800 63,536 * Channell Commercial Corp. 700 3,255 * Charles and Colvard, Ltd. 1,000 4,880 * Charlotte Russe Holding, Inc. 200 3,010 * Charming Shoppes, Inc. 50,800 316,484 * Chart Industries 3 90 * Checkers Drive-In Restaurant, Inc. 3,100 28,396 * CheckFree Corp. 21,400 591,068 * Checkpoint Systems, Inc. 24,200 468,270 Chesapeake Energy Corp. 33,700 $ 411,140 * Children's Place Retail Stores, Inc. 8,300 237,961 * Chromcraft Revington, Inc. 700 8,155 * Chronimed, Inc. 3,100 27,838 Chubb Corp. 81,500 5,334,175 * Ciber, Inc. 29,400 267,834 * CIENA Corp. 100,000 708,000 CIGNA Corp. 14,200 761,830 * Cima Laboratories, Inc. 1,800 59,364 * Cimarex Energy Co. 6,111 141,286 Cincinnati Financial Corp. 136,900 5,548,557 * Ciphergen Biosystems, Inc. 6,900 71,829 * Ciprico, Inc. 400 2,020 CIRCOR International, Inc. 3,550 78,100 Circuit City Stores, Inc. 171,800 2,236,836 Citigroup, Inc. 45,069 2,120,046 * Citizens Communications Co. 133,500 1,449,810 City Holding Co. 6,500 231,400 * Clark, Inc. 9,200 150,972 * Clarus Corp. 9,000 62,910 * Clayton Williams Energy, Inc. 6,100 138,775 * Clean Harbors, Inc. 3,200 29,536 Clear Channel Communications, Inc. 576,100 24,086,741 * Cleveland Cliffs, Inc. 4,300 165,980 * CMS Energy Corp. 25,775 203,365 * CNA Financial Corp. 158,700 3,711,993 * CNA Surety Corp. 14,100 136,488 * CNET Networks, Inc. 40,100 299,547 Coachmen Industries, Inc. 6,400 110,400 * Cobra Electronics Corp. 1,200 8,532 Coca-Cola Enterprises, Inc. 453,000 9,354,450 * Coherent, Inc. 13,100 313,614 * Coldwater Creek, Inc. 900 12,924 * Collins & Aikman Corp. 16,000 57,120 Columbia Banking System, Inc. 7,260 152,460 * Comarco, Inc. 8,700 82,476 * Comcast Corp. Class A 461,469 14,480,897 * Comcast Corp. Special Class A Non-Voting 322,500 9,723,375 * Comfort Systems USA, Inc. 12,700 61,087 Commerce Bancshares, Inc. 1,620 77,314 Commerce Group, Inc. 8,000 320,080 * Commerce One, Inc. 200 232 Commercial Federal Corp. 33,800 912,600 Commercial Metals Co. 18,600 478,764 * Commscope, Inc. 21,500 343,140 * Community West Bancshares 400 3,344 Compass Bancshares, Inc. 2,700 105,597 * Compex Technologies, Inc. 2,000 18,100 * Compucom Systems, Inc. 15,100 68,705 * CompuCredit Corp. 36,500 864,320 * Compudyne Corp. 1,000 9,860 * Computer Access Technology Corp. 14,600 67,890 Computer Associates International, Inc. 176,400 4,110,120 * Computer Horizons Corp. 9,600 35,712 * Computer Network Technology Corp. 15,800 157,210 * Computer Sciences Corp. 13,800 571,320 * Computer Task Group, Inc. 5,600 23,408 * Compuware Corp. 151,500 866,580 * Comstock Resources, Inc. 13,700 223,310
77
SHARES VALUE+ -------------- ----------------- * Comtech Telecommunications Corp. 2,700 $ 90,013 * Comverse Technology, Inc. 237,100 4,559,433 * Concerto Software, Inc. 2,700 32,184 * Concord Camera Corp. 11,500 138,805 * Cone Mills Corp. 3,400 195 * Conmed Corp. 14,250 302,955 ConocoPhilips 196,094 11,126,374 * Consolidated Graphics, Inc. 5,700 171,285 * Continental Airlines, Inc. 21,100 393,515 * Continental Materials Corp. 100 2,729 * Convera Corp. 8,800 34,408 Cooper Tire & Rubber Co. 31,600 632,316 Coors (Adolph) Co. Class B 7,300 402,303 * Copper Mountain Networks, Inc. 700 6,588 Corn Products International, Inc. 31,700 1,098,722 * Cornell Companies, Inc. 2,400 30,240 * Corning, Inc. 470,500 5,391,930 * Correctional Services Corp. 700 1,799 * Corrections Corporation of America 11,900 333,200 Corus Bankshares, Inc. 6,700 417,410 * Cosine Communications, Inc. 800 6,192 Countrywide Financial Corp. 98,300 10,380,480 * Covansys Corp. 21,000 189,000 * Covenant Transport, Inc. Class A 15,100 284,484 * Coventry Health Care, Inc. 22,200 1,329,780 * Cox Communications, Inc. 356,500 12,085,350 * Cox Radio, Inc. 15,000 332,250 * Credit Acceptance Corp. 35,400 531,000 * Cree Research, Inc. 29,900 549,263 * Cross (A.T.) Co. Class A 1,100 7,183 * Cross Country Healthcare, Inc. 3,700 55,130 * Crown Castle International Corp. 68,300 847,603 * Crown Holdings, Inc. 67,300 504,750 * Crown Media Holdings, Inc. 13,500 118,935 * Cryolife, Inc. 1,100 5,896 CSS Industries, Inc. 2,550 75,760 CSX Corp. 191,300 6,483,157 CT Communications, Inc. 300 4,290 CTS Corp. 11,000 134,860 Cubic Corp. 31,500 931,770 * Culp, Inc. 2,500 28,150 * Cumulus Media, Inc. Class A 15,600 297,960 * CuraGen Corp. 7,900 49,770 * Curative Health Services Inc 2,500 32,450 Curtiss-Wright Corp-Cl B W/I 636 51,834 * Cutter & Buck, Inc. 2,500 19,375 * Cyberoptics Corp. 700 6,972 * Cybersource Corp. 6,500 32,305 * Cypress Semiconductor Corp. 46,900 1,049,622 * Cysive, Inc. 7,900 25,438 * Cytec Industries, Inc. 12,500 453,125 D & K Healthcare Resources, Inc. 13,600 183,872 Dana Corp. 173,300 2,802,261 * Datalink Corp. 12,500 48,625 * Datastream Systems, Inc. 3,900 29,055 * Dave and Busters, Inc. 3,900 54,249 * DaVita, Inc. 50,000 1,909,000 * Dawson Geophysical Co. 400 3,256 * Deckers Outdoor Corp. 1,900 31,920 Deere & Co. 2,500 153,075 * Delphax Technologies, Inc. 400 1,268 Delphi Financial Group, Inc. Class A 9,400 $ 499,140 Delta Air Lines, Inc. 25,300 317,262 * Denbury Resources, Inc. 24,100 304,624 * Dendreon Corp. 6,400 50,688 * Department 56, Inc. 3,900 55,107 * Devcon International Corp. 300 2,145 Devon Energy Corp. 81,900 4,042,584 Diamond Offshore Drilling, Inc. 37,400 656,370 * DiamondCluster International, Inc. 5,000 47,300 Diebold, Inc. 200 10,610 * Diedrich Coffee, Inc. 400 1,620 * Digi International, Inc. 4,300 36,851 * Digimarc Corp. 1,500 21,165 * Digital Insight Corp. 7,900 187,783 * Digitas, Inc. 15,500 135,005 Dillards, Inc. Class A 73,900 1,245,215 Dime Community Bancorp, Inc. 13,275 408,206 Dimon, Inc. 55,600 375,300 * Diodes, Inc. 3,000 61,050 * Discovery Partners International 7,800 44,998 Disney (Walt) Co. 269,200 6,215,828 * Ditech Communications Corp. 13,600 238,680 * Dixie Group, Inc. 11,100 89,910 * Dollar Thrifty Automotive Group, Inc. 22,900 578,225 * Dominion Homes, Inc 700 21,287 Dominion Resources, Inc. 1,194 71,962 * DoubleClick, Inc. 49,200 469,860 Dover Motorsports, Inc. 4,400 18,392 Downey Financial Corp. 20,800 1,004,640 * Drew Industries, Inc. 700 18,858 * Drugstore.com, Inc. 26,300 175,158 * Duane Reade, Inc. 8,400 116,592 * Ducommun, Inc. 700 15,589 * Dura Automotive Systems, Inc. 5,500 56,705 * DUSA Pharmaceuticals, Inc. 10,100 54,237 * Dyax Corp. 15,200 91,808 * Dycom Industries, Inc. 21,399 542,465 * Dynamex, Inc. 700 7,210 * Dynegy, Inc. 69,100 276,400 * E Trade Group, Inc. 212,600 2,302,458 * E.piphany, Inc. 31,700 250,430 Eastman Chemical Co. 400 14,268 Eaton Corp. 1,600 164,784 * Eden Bioscience Corp. 4,200 6,510 * Edge Petroleum Corp. 2,800 22,232 * Edgewater Technology, Inc. 7,700 38,192 * eFunds Corp. 16,300 282,805 * EGL, Inc. 12,800 235,136 * Electro Rent Corp. 11,400 158,460 * Electro Scientific Industries, Inc. 7,500 180,375 Electronic Data Systems Corp. 106,400 2,300,368 * Electronics for Imaging, Inc. 24,000 662,400 * eLoyalty Corp. 900 3,240 * EMC Corp. 26,550 364,797 * EMCORE Corp. 2,400 12,192 * Emisphere Technologies, Inc. 6,000 36,000 * Emmis Communications Corp. Class A 18,800 426,008 * EMS Technologies, Inc. 9,700 206,125 * Emulex Corp. 5,000 147,500 * Encore Medical Corp. 7,100 48,138
78
SHARES VALUE+ -------------- ----------------- * Encore Wire Corp. 4,700 $ 79,618 Energen Corp. 11,300 440,022 * Energy Partners, Ltd. 11,500 139,725 * Enesco Group, Inc. 3,600 38,988 ENSCO International, Inc. 24,446 618,484 * Entravision Communications Corp. 65,000 590,200 * Entrust, Inc. 66,800 285,236 EOG Resources, Inc. 16,800 704,592 * ePlus, Inc. 2,400 30,000 * ePresence, Inc. 6,400 23,424 * Equity Oil Co. 900 3,131 * Esco Technologies, Inc. 5,700 242,250 * ESS Technology, Inc. 10,100 168,468 * Esterline Technologies Corp. 8,200 190,076 * Ethyl Corp. 2,100 42,840 * Exar Corp. 15,400 298,606 * Exelixis, Inc. 32,600 219,398 * Exponent, Inc. 500 11,360 Extended Stay America, Inc. 52,900 782,920 * Extreme Networks, Inc. 33,232 326,006 * Exult, Inc. 15,000 107,850 Fair, Isaac & Co., Inc. 8,615 475,203 * Fairchild Corp. Class A 8,100 41,310 * Fairchild Semiconductor Corp. Class A 47,466 1,234,116 * Falcon Products, Inc. 1,300 6,162 * Famous Dave's of America, Inc. 2,100 10,479 Farmer Brothers Co. 500 160,000 * Faro Technologies, Inc. 1,400 36,345 FBL Financial Group, Inc. Class A 18,200 475,930 Federated Department Stores, Inc. 171,600 8,423,844 FedEx Corp. 4,782 347,651 Fidelity National Financial, Inc. 35,578 1,256,971 * Financial Federal Corp. 2,100 69,069 * Financial Industries Corp. 2,444 34,851 * Finish Line, Inc. Class A 11,700 358,137 First American Financial Corp. 34,300 1,015,280 * First Cash Financial Services, Inc. 1,800 47,808 First Charter Corp. 7,900 160,844 First Citizens Bancshares, Inc. 3,900 430,521 * First Horizon Pharmaceutical Corp. 5,665 64,581 First Indiana Corp. 7,775 145,004 * First Mariner Bank Corp. 300 5,094 First Niagara Financial Group, Inc. 28,454 432,216 First Republic Bank 6,800 253,300 First Sentinel Bancorp, Inc. 9,600 182,208 * FirstFed Financial Corp. 7,800 366,600 * Flanders Corp. 1,900 10,621 * Fleetwood Enterprises, Inc. 39,700 403,749 * Florida Banks, Inc. 400 6,360 Florida East Coast Industries, Inc. 9,600 292,800 Flowers Foods, Inc. 39,150 1,021,815 * Flowserve Corp. 35,000 744,800 * FMC Corp. 10,300 308,382 * FMC Technologies, Inc. 1,719 36,580 FNB Corp. 700 16,044 * Foodarama Supermarkets, Inc. 100 2,575 Foot Locker, Inc. 32,000 707,200 Ford Motor Co. 238,540 3,148,728 * Forest Oil Corp. 49,750 1,246,237 Fortune Brands, Inc. 2,000 136,640 * Foster (L.B.) Co. Class A 700 $ 4,200 * Foster Wheeler, Ltd. 3,500 3,080 * Fotoball USA, Inc. 300 1,242 * Fox Entertainment Group, Inc. Class A 115,800 3,306,090 * FPIC Insurance Group, Inc. 1,800 37,620 * FreeMarkets, Inc. 13,200 79,596 Fremont General Corp. 32,300 564,604 * Fresh Choice, Inc. 400 780 * Friede Goldman Halter, Inc. 100 0 Friedman, Billings, Ramsey Group, Inc. 5,500 117,425 Friedmans, Inc. Class A 19,700 134,551 * Frontier Airlines, Inc. 9,200 148,856 * Frozen Food Express Industries, Inc. 4,300 28,552 * FuelCell Energy, Inc. 12,200 164,212 Fuller (H.B.) Co. 2,600 69,342 Furniture Brands International, Inc. 24,200 636,460 * G-III Apparel Group, Ltd. 500 5,225 * Gadzooks, Inc. 6,200 30,070 * Galyan's Trading Co. 10,500 140,175 * GameTech International, Inc. 800 3,064 * Garden Fresh Restaurant Corp. 1,400 20,692 * Gardner Denver Machinery, Inc. 5,500 128,260 * Gateway, Inc. 68,900 307,294 GATX Corp. 600 14,580 * Gaylord Entertainment Co. 34,760 1,045,928 * Gehl Co. 400 6,160 Gencorp, Inc. 27,600 276,276 * Gene Logic, Inc. 5,500 26,785 * General Binding Corp. 2,600 48,386 * General Communications, Inc. Class A 16,200 141,750 General Motors Corp. 60,600 2,592,468 * General Motors Corp. Class H 135,200 2,244,320 * Genesee Corp. Class B 100 369 * Genesis Microchip, Inc. 9,200 169,740 * Genlyte Group, Inc. 6,100 322,446 * Gentiva Health Services, Inc. 2,800 19,621 Genuine Parts Co. 3,800 119,624 Georgia-Pacific Corp. 66,900 1,825,701 * Getty Images, Inc. 17,800 772,520 Gibraltar Steel Corp. 7,600 185,288 Glatfelter (P.H.) Co. 7,100 85,058 * Global Payment Technologies, Inc. 400 1,350 * Globecomm Systems, Inc. 11,000 77,000 * GlobespanVirata, Inc. 34,900 214,286 * Glowpoint, Inc. 700 1,302 Gold Banc Corp. 4,700 62,040 * Good Guys, Inc. 10,700 21,828 * Goodyear Tire & Rubber Co. 52,300 353,025 Goody's Family Clothing, Inc. 35,300 374,886 * Gottschalks, Inc. 2,400 9,264 * GP Strategies Corp. 7,600 55,860 Granite Construction, Inc. 3,000 66,150 * Graphic Packaging Corp. 8,600 30,444 Gray Television, Inc. 12,140 157,334 * Great Atlantic & Pacific Tea Co., Inc. 14,000 106,400 Great Lakes Chemical Corp. 16,000 363,360 Greenpoint Financial Corp. 58,950 2,003,121 * Grey Wolf, Inc. 15,200 51,528
79
SHARES VALUE+ -------------- ----------------- * Griffin Land & Nurseries, Inc. Class A 400 $ 5,788 * Griffon Corp. 27,170 530,358 * Group 1 Automotive, Inc. 18,700 648,890 * Group 1 Software, Inc. 800 14,272 * GSI Commerce, Inc. 9,700 95,060 * GTSI Corp. 1,600 19,280 * Guess, Inc. 12,900 183,180 * Gulf Island Fabrication, Inc. 2,900 51,620 * Ha-Lo Industries, Inc. 19,500 21 * Hain Celestial Group, Inc. 15,100 348,357 * Hall Kinion Associates, Inc. 4,500 18,445 Hancock Holding Co. 2,250 128,812 Handleman Co. 25,400 447,040 * Hanger Orthopedic Group, Inc. 7,900 133,510 * Hanover Compressor Co. 33,900 322,728 Harbor Florida Bancshares, Inc. 5,200 157,820 Harleysville Group, Inc. 11,800 231,280 * Harmonic, Inc. 2,400 20,856 Harrahs Entertainment, Inc. 2,600 124,462 Harris Corp. 17,800 690,106 * Harris Interactive, Inc. 5,600 38,640 Hartford Financial Services Group, Inc. 145,500 8,002,500 * Harvard Bioscience, Inc. 14,700 105,840 * Harvest Natural Resources, Inc. 3,800 28,158 Hasbro, Inc. 229,000 5,063,190 * Hauppauge Digital, Inc. 1,200 3,204 * Hawk Corp. 600 2,046 * Hawthorne Financial Corp. 3,450 92,977 HCC Insurance Holdings, Inc. 11,800 367,098 * Health Net Inc 18,000 588,600 Healthcare Services Group, Inc. 800 15,832 * Hearst-Argyle Television, Inc. 43,100 1,058,105 * Hector Communications Corp. 200 2,809 Heico Corp. 8,700 160,689 * Heidrick & Struggles International, Inc. 7,400 177,970 Helmerich & Payne, Inc. 30,700 739,870 * Hercules, Inc. 100 1,004 * Heritage Commerce Corp. 800 10,000 * Herley Industries, Inc. 2,200 42,504 Hewlett-Packard Co. 52,000 1,127,880 * Hexcel Corp. 5,000 34,700 Hibernia Corp. 1,900 43,415 Hilton Hotels Corp. 42,400 693,664 * Hines Horticulture, Inc. 1,600 6,608 HMN Financial, Inc. 3,600 88,704 * HMS Holdings Corp. 4,500 19,305 * Hollywood Entertainment Corp. 15,400 210,364 * Hologic, Inc. 6,500 97,760 Horace Mann Educators Corp. 1,800 24,318 * Horizon Health Corp. 2,000 45,680 * Horizon Offshore, Inc. 3,400 15,232 Horton (D.R.), Inc. 55,170 2,410,929 * Houston Exploration Co. 13,400 457,074 * Hovnanian Enterprises, Inc. Class A 15,700 1,448,325 * HPSC, Inc. 300 4,284 * Hub Group, Inc. Class A 500 8,020 * Hudson Highland Group, Inc. 3,390 68,410 * Huffy Corp. 2,500 17,075 Hughes Supply, Inc. 21,200 968,840 * Human Genome Sciences, Inc. 17,500 $ 224,000 * Humana, Inc. 94,100 2,101,253 * Hunt (J.B.) Transport Services, Inc. 50,000 1,308,000 Huntington Bancshares, Inc. 2,500 54,975 * Hutchinson Technology, Inc. 22,300 726,311 * Huttig Building Products, Inc. 4,400 11,880 * Hypercom Corp. 24,700 125,723 * Ibis Technology Corp. 1,600 26,000 * Identix, Inc. 27,179 140,787 Idex Corp. 8,500 335,580 * IDT Corp. 10,500 197,400 * IDT Corp. Class B 1,100 21,263 * iGate Capital Corp. 20,600 131,016 IHOP Corp. 7,300 284,700 Ikon Office Solutions, Inc. 100,500 851,235 * ILEX Oncology, Inc. 10,099 210,766 * Illumina, Inc. 24,400 167,384 ILX Resorts, Inc. 200 1,380 * Image Entertainment, Inc. 4,800 23,520 Imation Corp. 31,300 1,062,635 IMC Global, Inc. 20,756 150,896 * IMCO Recycling, Inc. 3,900 29,445 * ImmunoGen, Inc. 4,400 20,812 * Impath, Inc. 600 1,830 * Impco Technologies, Inc. 6,300 41,265 Independence Community Bank Corp. 30,300 1,120,494 IndyMac Bancorp, Inc. 22,400 663,040 * Inet Technologies, Inc. 9,200 118,128 * InFocus Corp. 300 2,376 * Infonet Services Corp. 87,700 166,630 * Information Holdings, Inc. 6,800 151,300 * Inforte Corp. 6,700 57,620 * InfoSpace, Inc. 8,500 223,125 Ingersoll-Rand Co., Ltd. Class A 1,800 112,212 * Ingram Micro, Inc. 71,200 1,038,096 * Innotrac Corp. 200 1,818 * Innovative Solutions & Support, Inc. 1,100 16,478 * Innovex, Inc. 4,500 42,300 * Input/Output, Inc. 8,200 32,062 * Insight Communications Co., Inc. 26,700 260,058 * Insight Enterprises, Inc. 16,100 301,070 * Insituform Technologies, Inc. Class A 4,500 67,725 * Inspire Pharmaceuticals, Inc. 5,100 88,230 * Instinet Group, Inc. 37,500 201,000 * Insurance Auto Auctions, Inc. 6,900 87,630 * IntegraMed America, Inc. 200 1,276 * Integrated Device Technology, Inc. 49,000 923,650 * Integrated Electrical Services, Inc. 35,100 275,184 * Intelligent Systems Corp. 300 546 * Interactive Data Corp. 2,200 37,070 * InterActiveCorp 211,303 6,941,304 * Interface, Inc. Class A 21,700 123,473 * Intergraph Corp. 40,200 1,021,080 * Interlink Electronics, Inc. 1,800 12,600 * International Multifoods Corp. 8,000 142,640 International Paper Co. 206,912 7,699,196 * International Rectifier Corp. 25,900 1,414,658 International Speedway Corp. Class A 1,000 42,980 * Internet Pictures Corp. 1,700 3,774 * Internet Security Systems, Inc. 16,600 281,702
80
SHARES VALUE+ -------------- ----------------- * Interphase Corp. 1,100 $ 18,810 Interpool, Inc. 4,500 68,400 Intersil Corp. 63,600 1,679,676 Interstate Bakeries Corp. 4,000 63,000 * Interstate Hotels & Resorts, Inc. 1,100 5,918 * Intest Corp. 600 3,384 * Invitrogen Corp. 30,600 2,086,002 * Invivo Corp. 450 9,522 Iomega Corp. 22,600 124,074 * Ionics, Inc. 11,900 382,585 * Iron Mountain, Inc. 300 11,040 Irwin Financial Corp. 2,100 63,546 Isco, Inc. 200 1,948 * ITLA Capital Corp. 400 20,088 * ITXC Corp. 14,500 57,275 * IXYS Corp. 21,704 182,314 * J & J Snack Foods Corp. 1,700 61,200 * J Net Enterprises, Inc. 600 690 * Jack in the Box, Inc. 12,000 250,200 * Jaco Electronics, Inc. 1,400 9,870 * Jacuzzi Brands, Inc. 19,300 124,485 * Jakks Pacific, Inc. 3,800 51,642 Janus Capital Group, Inc. 244,500 3,400,995 * Jarden Corp. 1,500 40,575 * JDA Software Group, Inc. 8,900 162,158 Jefferies Group, Inc. 22,800 713,184 Jefferson-Pilot Corp. 27,800 1,349,134 JLG Industries, Inc. 39,300 591,072 John Hancock Financial Services, Inc. 239,900 8,816,325 * Johnson Outdoors, Inc. 500 7,225 Jones Apparel Group, Inc. 81,400 2,808,300 * Jones Lang LaSalle, Inc. 700 14,665 * Jos. A. Bank Clothiers, Inc. 1,100 45,331 * Joy Global, Inc. 5,000 105,000 * K-Tron International, Inc. 200 3,392 * K2, Inc. 7,670 117,351 * Kadant, Inc. 5,657 101,543 * Kaiser Aluminum Corp. 15,400 1,232 * Kansas City Southern Industries, Inc. 29,300 389,690 KB Home Corp. 1,000 68,880 * Keane, Inc. 26,300 370,830 * Keith Companies, Inc. 2,400 34,224 Kellwood Co. 94,700 3,621,328 Kelly Services, Inc. 3,800 108,224 * Kemet Corp. 41,500 547,800 Kennametal, Inc. 27,400 1,053,256 * Kennedy-Wilson, Inc. 900 5,436 Kerr-McGee Corp. 546 22,927 * Key Energy Group, Inc. 51,500 469,165 KeyCorp 100,000 2,779,000 * Keynote Systems, Inc. 12,100 149,314 * Keystone Automotive Industries, Inc. 4,700 114,539 * Kforce, Inc. 1,676 14,162 Kimball International, Inc. Class B 2,900 42,978 * Kindred Healthcare, Inc. 4,300 221,837 * Kirby Corp. 8,300 249,000 Knight Ridder, Inc. 1,700 126,446 * Knight Trading Group, Inc. 77,000 1,111,110 * Korn/Ferry International 17,000 170,510 Kraft Foods, Inc. 194,200 6,150,314 * Kroll, Inc. 451 10,801 * Kulicke & Soffa Industries, Inc. 8,500 $ 140,080 La-Z-Boy, Inc. 600 12,120 * LaBarge, Inc. 1,900 11,875 * Labor Ready, Inc. 6,700 76,380 * LaCrosse Footwear, Inc. 400 2,200 Ladish Co., Inc. 3,000 24,630 LaFarge North America, Inc. 54,900 2,091,690 * Lakes Entertainment, Inc. 800 11,519 * Lamson & Sessions Co. 12,800 74,880 Lance, Inc. 14,100 197,541 * Lancer Corp. 700 3,843 Landamerica Financial Group, Inc. 17,100 878,940 * Landec Corp. 3,300 21,450 Landry's Restaurants, Inc. 25,200 617,904 * Lattice Semiconductor Corp. 57,500 544,525 * Lawson Software, Inc. 5,800 48,952 * Layne Christensen Co. 800 8,320 * Lazare Kaplan International, Inc. 500 3,375 * LCC International, Inc. Class A 2,700 13,257 * Lear Corp. 56,700 3,353,238 * Lecroy Corp. 1,100 18,370 Leggett and Platt, Inc. 1,800 36,612 Lehman Brothers Holdings, Inc. 3,000 216,630 Lennar Corp. A Shares 17,200 1,683,880 Lennar Corp. B Shares 1,720 160,373 Lennox International, Inc. 45,700 776,900 * Lesco, Inc. 4,200 53,634 * Level 3 Communications, Inc. 103,700 568,276 * Lexent, Inc. 6,400 9,344 * Lexicon Genetics, Inc. 15,000 78,750 Liberty Corp. 800 35,560 * Liberty Media Corp. 1,593,300 17,605,965 * Lightbridge, Inc. 9,500 91,485 Limited Brands, Inc. 16,400 293,888 Lincoln National Corp. 72,300 2,834,883 Lithia Motors, Inc. Class A 5,200 129,064 LNR Property Corp. 27,200 1,203,600 Lockheed Martin Corp. 133,500 6,132,990 Loews Corp. 175,000 7,460,250 * LogicVision, Inc. 10,600 47,594 * Logility, Inc. 1,000 4,860 Lone Star Steakhouse & Saloon, Inc. 40,900 943,563 * Lone Star Technologies, Inc. 11,300 156,505 Longs Drug Stores Corp. 29,800 730,100 Longview Fibre Co. 30,800 337,876 * Louisiana-Pacific Corp. 130,100 2,353,509 LSI Industries, Inc. 1,250 15,562 * LSI Logic Corp. 158,100 1,481,397 * LTX Corp. 15,451 257,723 Lubrizol Corp. 1,800 54,234 * Luby's, Inc. 1,500 5,640 * Lydall, Inc. 4,800 58,752 Lyondell Chemical Co. 6,100 90,524 * M & F Worldwide Corp. 1,500 20,775 M/I Schottenstein Homes, Inc. 8,100 310,635 * Mac-Gray Corp. 500 2,500 * Macromedia, Inc. 20,900 428,659 * Madden (Steven), Ltd. 800 17,104 * Magna Entertainment Corp. 7,300 34,310 * Magnum Hunter Resources, Inc. 22,200 199,578 * Mail-Well, Inc. 12,000 45,360
81
SHARES VALUE+ -------------- ----------------- * Main Street & Main, Inc. 400 $ 980 * MAIR Holdings, Inc. 6,100 46,421 Mandalay Resort Group 39,500 1,696,525 Manor Care, Inc. 29,800 1,052,536 * Manufacturers' Services Ltd. 3,100 18,910 * Manugistic Group, Inc. 12,600 83,916 * Mapinfo Corp. 6,700 59,295 Marathon Oil Corp. 81,600 2,416,176 * Marimba, Inc. 7,200 37,008 * MarineMax, Inc. 7,200 136,800 * MarketWatch.com, Inc. 16,700 147,962 * MarkWest Hydrocarbon, Inc. 660 7,590 Martin Marietta Materials, Inc. 5,100 217,107 Massey Energy Co. 29,800 414,220 * Mastec, Inc. 21,500 285,520 * Material Sciences Corp. 3,900 37,011 * Matria Healthcare, Inc. 2,000 40,860 * Matrix Bancorp, Inc. 500 4,570 * Matrix Service Co. 4,000 63,800 * Maverick Tube Corp. 14,300 264,264 Maxcor Financial Group, Inc. 3,700 48,470 * Maxim Pharmaceuticals, Inc. 6,300 44,856 * Maxtor Corp. 139,600 1,557,936 * Maxwell Shoe Company, Inc. 900 15,831 * Maxwell Technologies, Inc. 700 5,635 * Maxygen, Inc. 6,900 74,865 MBIA, Inc. 111,050 6,454,226 * McDATA Corp. 15,900 169,176 McGrath Rent Corp. 500 13,695 McRae Industries, Inc. Class A 2,200 20,130 MDC Holdings, Inc. 14,241 987,756 * Meade Instruments Corp. 16,000 67,200 * Meadowbrook Insurance Group, Inc. 2,200 8,800 MeadWestavco Corp. 25,700 655,864 * Medarex, Inc. 18,200 123,760 * Media Arts Group, Inc. 3,100 12,214 Media General, Inc. Class A 13,800 923,082 * Medquist, Inc. 8,300 127,737 * MEDTOX Scientific, Inc. 2,500 14,000 * Mens Warehouse, Inc. 12,700 390,271 * Mercury Air Group, Inc. 600 2,940 * Merix Corp. 9,400 196,272 * Merrimac Industries, Inc. 1,100 6,545 * Mesa Air Group, Inc. 12,000 144,600 * Meta Group, Inc. 2,900 16,298 * MetaSolv, Inc. 1,200 2,880 MetLife, Inc. 758,500 24,795,365 Metris Companies, Inc. 5,600 24,976 * Metro-Goldwyn-Mayer, Inc. 186,200 3,072,300 * Metrologic Instruments, Inc. 7,200 196,128 MGIC Investment Corp. 110,600 5,856,270 * MGM Grand, Inc. 91,900 3,444,412 * Michael Anthony Jewelers, Inc. 400 814 Michaels Stores, Inc. 30,800 1,455,300 * Micro Linear Corp. 4,200 25,200 * Micromuse, Inc. 22,000 177,100 * Micron Technology, Inc. 228,000 2,966,280 * Microsemi Corp. 9,200 222,916 * Microtune, Inc. 5,600 12,264 Middleby Corp. 600 20,473 Midland Co. 2,000 42,360 * Midway Games, Inc. 3,200 $ 10,816 Milacron, Inc. 5,100 11,832 Millennium Chemicals, Inc. 900 9,738 * Millennium Pharmaceuticals, Inc. 131,300 2,070,601 * Miller Industries, Inc. 8,700 53,940 Mine Safety Appliances Co. 1,300 87,269 Minerals Technologies, Inc. 18,600 994,170 * MIPS Technologies, Inc. 2,700 14,715 * Misonix, Inc. 4,500 18,319 * Mission Resources Corp. 5,400 9,720 * MKS Instruments, Inc. 16,200 448,902 * Mobile Mini, Inc. 5,900 116,407 * Mobius Management Systems, Inc. 1,300 19,513 Modine Manufacturing Co. 2,300 58,673 * Modtech Holdings, Inc. 1,900 15,751 * Moldflow Corp. 2,000 22,500 * Molecular Devices Corp. 4,600 91,218 * Monaco Coach Corp. 3,200 74,432 * Mondavi (Robert) Corp. Class A 4,800 168,000 * Monro Muffler Brake, Inc. 900 19,935 Monsanto Co. 69,000 1,871,280 * Monster Worldwide, Inc. 45,200 1,087,512 * Mony Group, Inc. 41,500 1,308,080 * Moog, Inc. Class A 3,450 150,075 Movado Group, Inc. 6,600 179,454 * MPS Group, Inc. 86,100 792,120 * MRO Software, Inc. 33,300 459,540 * MSC Software Corp. 9,300 91,605 * Mueller Industries, Inc. 15,700 507,424 Myers Industries, Inc. 500 6,265 * Nabi Biopharmaceuticals 16,200 174,474 Nacco Industries, Inc. Class A 7,300 569,400 * Nanometrics, Inc. 2,200 32,120 * Napco Security Systems, Inc. 200 1,625 * Nashua Corp. 400 3,512 * NATCO Group, Inc. Class A 1,500 9,000 * National Equipment Services, Inc. 1,000 70 * National RV Holdings, Inc. 5,300 56,975 * National Semiconductor Corp. 5,000 223,600 * National Western Life Insurance Co. Class A 900 131,585 Nationwide Financial Services, Inc. 30,200 985,728 * Natrol, Inc. 900 2,610 Nature's Sunshine Products, Inc. 100 808 * Natus Medical, Inc. 3,300 12,408 * Navigant International, Inc. 6,200 86,180 * Navigators Group, Inc. 600 19,086 * NCI Building Systems, Inc. 14,800 344,692 * NCO Group, Inc. 11,800 272,580 * NCR Corp. 6,300 219,870 * Neiman Marcus Group, Inc. 13,700 738,430 * Nektar Therapeutics 21,400 282,052 * Neoforma, Inc. 200 3,192 * NeoMagic Corp. 1,900 6,156 * NEON Systems, Inc. 700 2,520 * Neopharm, Inc. 1,610 28,883 * Netegrity, Inc. 8,300 101,675 * Netopia, Inc. 300 4,590 * NetRatings, Inc. 33,900 343,068 * Netscout System, Inc. 22,100 192,712 * NetSolve, Inc. 3,200 26,368
82
SHARES VALUE+ -------------- ----------------- * Network Associates, Inc. 12,000 $ 160,680 * Network Equipment Technologies, Inc. 26,700 277,680 New Century Financial Corp. 11,400 433,770 * New Focus, Inc. 47,300 231,297 * New Horizons Worldwide, Inc. 200 1,230 * Newfield Exploration Co. 23,890 977,101 Newmont Mining Corp. 2,294 110,433 * Newpark Resources, Inc. 21,500 86,430 * Newport Corp. 24,400 415,532 * NIC, Inc. 8,000 56,320 * NMT Medical, Inc. 1,500 5,250 * Nobel Learning Communities, Inc. 400 1,960 Noble Energy, Inc. 18,700 741,455 Nordstrom, Inc. 1,900 65,550 Norfolk Southern Corp. 339,800 7,275,118 * North American Scientific, Inc. 5,800 58,000 Northrop Grumman Corp. 116,062 10,750,823 Northwest Bancorp, Inc. 2,300 50,439 * Northwest Pipe Co. 500 7,400 * Novell, Inc. 205,000 1,947,500 * Novoste Corp. 4,200 21,042 * NS Group, Inc. 42,200 315,234 * Nu Horizons Electronics Corp. 12,600 101,052 Nucor Corp. 35,800 2,008,738 * Nuevo Energy Co. 7,700 151,998 * Nutraceutical International Corp. 2,200 28,490 * Nuvelo, Inc. 64 250 NWH, Inc. 3,600 69,948 * NYFIX, Inc. 9,700 80,801 * O.I. Corp. 200 1,427 * OAO Technology Solutions, Inc. 7,000 21,840 * Obie Media Corp. 400 1,086 Occidental Petroleum Corp. 15,100 553,868 OceanFirst Financial Corp. 2,400 63,288 * Ocular Sciences, Inc. 1,900 54,397 * Ocwen Financial Corp. 39,300 273,135 Odyssey Re Holdings Corp. 52,000 1,190,280 * Office Depot, Inc. 215,300 3,412,505 * Officemax, Inc. 53,900 529,837 * Offshore Logistics, Inc. 16,400 414,100 * Ohio Casualty Corp. 48,700 828,387 * Oil States International, Inc. 16,900 212,264 * Old Dominion Freight Lines, Inc. 300 9,561 Old Republic International Corp. 45,100 1,671,406 Olin Corp. 448 8,158 * Olympic Steel, Inc. 2,500 14,113 * OM Group, Inc. 8,800 213,048 * Omega Protein Corp. 2,500 15,625 Omnicare, Inc. 64,800 2,586,816 * Omnova Solutions, Inc. 10,500 38,325 * Onvia.com, Inc. 200 900 * Onyx Acceptance Corp. 400 4,408 * Onyx Pharmacueticals, Inc. 5,600 161,168 * OPENT Technologies, Inc. 23,600 424,564 * Openwave Systems Inc 10,900 131,127 * Opinion Research Corp. 5,300 30,051 * Opti, Inc. 800 1,136 * Option Care, Inc. 5,000 49,700 * Orbital Sciences Corp. 37,100 340,207 * Oregon Steel Mills, Inc. 6,100 18,117 * Orleans Homebuilders, Inc. 600 17,004 * Orthodontic Centers of America, Inc. 4,800 $ 34,032 * Osteotech, Inc. 4,100 31,365 * Overland Storage, Inc. 2,800 55,048 Overseas Shipholding Group, Inc. 8,300 233,645 * Owens-Illinois, Inc. 81,700 921,576 * OYO Geospace Corp. 900 11,961 Paccar, Inc. 2,550 204,536 * Pacific Mercantile Bancorp 1,000 9,200 * Pacificare Health Systems, Inc. 15,800 1,028,738 * Packeteer, Inc. 7,100 134,680 * Pactiv Corp. 1,800 40,392 * Pain Therapeutics, Inc. 10,700 65,270 * Palm Harbor Homes, Inc. 6,800 129,200 * Palmone Inc 4,015 60,105 * Palmsource Inc 1,243 31,808 * PAM Transportation Services, Inc. 400 7,820 * PanAmSat Corp. 38,661 854,021 * Panavision, Inc. 600 3,555 * Par Technology Corp. 600 4,758 * Paradyne Networks Corp. 10,200 46,818 * Parallel Petroleum Corp. 4,500 17,141 * Parexel International Corp. 7,400 136,752 Park Electrochemical Corp. 3,000 76,650 * Park Place Entertainment Corp. 247,700 2,590,942 * Parker Drilling Co. 13,700 32,743 Parker-Hannifin Corp. 2,600 142,974 * Park-Ohio Holdings Corp. 2,800 20,524 * Parlex Corp. 3,500 28,525 * Pathmark Stores, Inc. 4,400 31,944 * Patriot Transportation Holding, Inc. 200 5,962 * Paxar Corp. 11,000 144,650 * PC Connection, Inc. 24,400 213,500 * PC Mall, Inc. 2,300 30,728 * PC-Tel, Inc. 7,700 68,915 * PDI, Inc. 3,300 95,370 Peabody Energy Corp. 34,900 1,176,130 * Pediatrix Medical Group, Inc. 5,100 273,666 * Pegasus Communications Corp. 1,600 32,112 * Pegasus Solutions, Inc. 9,200 109,296 * Pegasystems, Inc. 23,000 184,000 Pelican Financial, Inc. 300 3,834 * Pemstar, Inc. 6,700 25,192 Penn Virginia Corp. 1,000 46,910 Penn-America Group, Inc. 500 7,305 Penney (J.C.) Co., Inc. 235,400 5,856,752 Pep Boys - Manny, Moe & Jack 62,500 1,281,250 PepsiAmericas, Inc. 169,900 2,665,731 * Performance Technologies, Inc. 1,400 18,886 * Pericom Semiconductor Corp. 8,200 96,104 PerkinElmer, Inc. 49,900 843,809 Perrigo Co. 2,700 40,743 * Perry Ellis International, Inc. 500 12,131 * Petrocorp, Inc. 900 12,186 * Petroleum Development Corp. 4,900 69,580 PetSmart, Inc. 78,300 1,891,728 PFF Bancorp, Inc. 21,000 785,400 * Pharmacopeia, Inc. 15,800 197,500 * Pharmacyclics, Inc. 2,900 18,560 * Phelps Dodge Corp. 70,800 4,508,544 Phillips-Van Heusen Corp. 12,000 211,200 * Phoenix Technologies, Ltd. 7,400 64,454
83
SHARES VALUE+ -------------- ----------------- * Photon Dynamics, Inc. 3,800 $ 155,078 * Photronics, Inc. 11,200 206,864 * Piccadilly Cafeterias, Inc. 1,800 324 * Pico Holdings, Inc. 9,700 145,694 Pier 1 Imports, Inc. 18,600 474,300 Pilgrims Pride Corp. Class B 30,700 458,965 * Pinnacle Entertainment, Inc. 5,400 49,302 * Pinnacle Systems, Inc. 21,300 177,642 * Pinnacor, Inc. 7,100 16,117 * Pioneer Natural Resources Co. 50,700 1,437,852 * Pixelworks, Inc. 10,700 141,240 * Plains Exploration & Production Co. 6,120 85,741 * Plains Resources, Inc. 7,900 122,608 * Planar Systems, Inc. 800 19,040 * Plato Learning, Inc. 14,800 146,964 * Plexus Corp. 13,500 239,625 * PLX Technology, Inc. 3,800 35,720 PMI Group, Inc. 117,100 4,359,633 Pogo Producing Co. 39,900 1,737,645 * Polycom, Inc. 40,400 800,728 PolyMedica Corp. 10,600 274,752 * Polyone Corp. 1,500 8,925 Pomeroy IT Solutions, Inc. 10,400 151,944 Potlatch Corp. 11,800 380,550 * Powell Industries, Inc. 1,400 23,604 * Power-One, Inc. 22,100 186,303 * Powerwave Technologies, Inc. 20,400 151,980 * PRAECIS Pharmaceuticals, Inc. 18,600 141,360 Precision Castparts Corp. 47,700 1,932,804 * Premier Financial Bancorp 400 3,220 Presidential Life Corp. 448 6,496 * Presstek, Inc. 16,700 134,435 * PRG-Schultz International, Inc. 35,800 177,210 * Price Communications Corp. 11,465 147,325 * Pride International, Inc. 78,700 1,255,265 * Prime Hospitality Corp. 40,600 447,412 * Prime Medical Services, Inc. 7,900 40,053 Principal Financial Group, Inc. 306,300 10,141,593 * Proassurance Corp. 15,200 469,680 * Procom Technology, Inc. 900 401 * Progenics Pharmaceuticals, Inc. 1,400 24,556 * Protection One, Inc. 27,400 12,330 Protective Life Corp. 18,700 614,295 * Protein Design Labs, Inc. 30,500 422,730 Proton Energy Systems, Inc. 2,000 5,240 Providence & Worcester Railroad Co. 1,500 13,620 Provident Financial Group, Inc. 5,100 157,896 Provident Financial Holdings, Inc. 450 15,080 * Providian Financial Corp. 117,300 1,325,490 * Province Healthcare Co. 14,300 219,219 Prudential Financial, Inc. 503,600 19,695,796 * PSS World Medical, Inc. 64,000 656,000 * PTEK Holdings, Inc. 8,400 73,248 Pulitzer, Inc. 1,600 84,800 Pulte Homes Inc. 70,511 6,736,621 * PW Eagle, Inc. 500 2,000 Quaker Fabric Corp. 5,800 50,634 Quanex Corp. 12,100 478,313 * Quanta Services, Inc. 18,400 140,760 * Quantum Corp.- DLT 2,500 7,900 Questar Corp. 37,800 1,289,736 * Quicklogic Corp. 2,100 $ 13,104 * Quidel Corp. 1,600 13,760 * Quovadx, Inc. 5,400 26,298 * Qwest Communications International, Inc. 565,100 2,068,266 Radian Group, Inc. 123,304 6,085,052 * Radio One, Inc. 12,500 219,500 * RadiSys Corp. 7,200 132,480 * Railamerica, Inc. 23,700 268,995 * Rainbow Technologies, Inc. 6,200 76,880 * Ralcorp Holdings, Inc. 5,100 154,428 * Range Resources Corp. 20,600 162,740 * Raytech Corp. 4,000 14,800 Raytheon Co. 276,200 7,653,502 * RC2 Corp. 3,900 82,992 * RCM Technologies, Inc. 800 5,824 * RCN Corp. 18,600 18,972 * RealNetworks , Inc. 43,700 260,889 * Redhook Ale Brewery, Inc. 5,900 17,576 Reebok International, Ltd. 27,200 1,094,528 Regal-Beloit Corp. 6,800 140,420 * Regent Communications, Inc. 33,700 219,387 Regions Financial Corp. 3,000 111,330 * Register.Com, Inc. 9,900 48,015 Reinsurance Group of America, Inc. 39,400 1,463,710 Reliance Steel & Aluminum Co. 10,600 312,488 * Reliant Resources, Inc. 124,900 819,344 * Remec, Inc. 19,200 215,424 * RemedyTemp, Inc. 400 4,388 * Rent-Way, Inc. 9,500 70,395 Republic Bankshares, Inc. 800 23,864 * Republic First Bancorp, Inc. 500 6,505 * Res-Care, Inc. 1,610 11,834 Resource America, Inc. 16,600 216,298 * Respironics, Inc. 6,200 282,100 * Restoration Hardware, Inc. 4,500 27,585 * Retek, Inc. 16,500 171,270 * Rex Stores Corp. 4,250 66,853 * RF Monolithics, Inc. 8,100 71,037 Richardson Electronics, Ltd. 13,800 140,760 Riggs National Corp. 20,200 346,632 * Riviera Holdings Corp. 300 1,634 RJ Reynolds Tobacco Holdings, Inc. 13,900 767,280 RLI Corp. 8,600 311,320 * RMH Teleservices, Inc. 6,500 33,540 Roadway Corp. 3,500 178,500 Robbins & Myers, Inc. 4,700 103,682 Rock of Ages Co. 300 1,737 Rock-Tenn Co. Class A 16,700 265,530 * Rocky Shoes & Boots, Inc. 300 5,190 * Rofin-Sinar Technologies, Inc. 800 25,736 * Rogue Wave Software, Inc. 2,200 14,454 Rohm & Haas Co. 1,000 40,150 Roto-Rooter, Inc. 1,200 44,172 * Rowan Companies, Inc. 123,400 2,612,378 RPM, Inc. 92,000 1,391,960 * RSA Security, Inc. 24,400 358,680 * RTI International Metals, Inc. 20,900 283,195 * Rubio's Restaurants, Inc. 600 3,630 Ruddick Corp. 4,100 69,290 * Rush Enterprises, Inc. Class A 500 3,865
84
SHARES VALUE+ -------------- ----------------- * Rush Enterprises, Inc. Class B 500 $ 4,090 Russ Berrie & Co., Inc. 10,100 336,835 Russell Corp. 25,800 474,462 * Ryan's Family Steak Houses, Inc. 43,050 638,862 Ryder System, Inc. 83,000 2,588,770 Ryerson Tull, Inc. 500 4,505 Ryland Group, Inc. 11,000 1,013,650 Safeco Corp. 107,900 4,038,697 * Safeguard Scientifics, Inc. 22,700 77,634 Saint Paul Companies, Inc. 73,100 2,712,010 * Saks, Inc. 129,550 1,992,479 * Salton, Inc. 4,200 56,532 * San Filippo (John B.) & Son, Inc. 400 15,920 Sanders Morris Harris Group, Inc. 1,100 10,945 * Sandisk Corp. 23,500 1,900,210 * Sangamo BioSciences, Inc. 28,600 130,416 * Sanmina Corp. 169,700 2,068,643 Saucony, Inc. Class B 300 4,980 Sauer-Danfoss, Inc. 6,000 96,000 * Savient Pharmaceuticals, Inc. 12,200 60,268 SBC Communications, Inc. 205,000 4,772,400 * Schein (Henry), Inc. 16,900 1,137,201 Schulman (A.), Inc. 26,300 514,165 Schweitzer-Maudoit International, Inc. 8,100 224,532 Scientific-Atlanta, Inc. 46,700 1,348,696 * SCM Microsystems, Inc. 7,900 65,570 * SCS Transportation, Inc. 11,200 186,256 Seaboard Corp. 1,100 253,550 * Seabulk International, Inc. 2,100 18,375 * Seachange International, Inc. 7,500 112,875 Seacoast Financial Services Corp. 7,600 208,620 * Seacor Smit, Inc. 12,550 478,657 * Seagate Tax Refund Escrow Shares 2,700 0 * Sealed Air Corp. 39,700 2,094,969 Sears, Roebuck & Co. 96,900 5,345,004 * Selectica, Inc. 31,400 145,696 Selective Insurance Group, Inc. 22,600 732,466 * Semitool, Inc. 26,400 300,432 * SEMX Corp. 100 10 * Sequa Corp. Class A 3,300 157,575 * Sequa Corp. Class B 900 44,055 * Serologicals Corp. 27,200 469,200 * Service Corp. International 178,300 882,585 * SFBC International, Inc. 1,000 25,750 * Sharper Image Corp. 2,300 72,726 * Shaw Group, Inc. 3,600 46,872 Sherwin-Williams Co. 3,500 113,505 * Shiloh Industries, Inc. 4,000 18,060 * Shoe Carnival, Inc. 3,000 54,240 * Shopko Stores, Inc. 11,900 198,135 * Silicon Storage Technology, Inc. 32,300 438,311 * Silicon Valley Bancshares 13,700 503,201 * SimpleTech, Inc. 2,700 18,141 * Sinclair Broadcast Group, Inc. Class A 29,200 334,924 * Sipex Corp. 30,000 282,000 * Sitel Corp. 2,000 4,700 * Six Flags, Inc. 29,600 199,800 * Skechers U.S.A., Inc. Class A 5,300 39,379 Skyline Corp. 1,000 32,100 Skywest, Inc. 9,500 163,875 * Skyworks Solutions, Inc. 55,980 $ 492,064 * SL Industries, Inc. 400 3,220 * Smart & Final Food, Inc. 7,800 71,214 * Smith & Wollensky Restaurant Group, Inc. 3,700 21,608 Smith (A.O.) Corp. 13,400 470,876 Smith (A.O.) Corp. Convertible Class A 2,200 77,308 * Smithfield Foods, Inc. 60,100 1,409,345 * Smurfit-Stone Container Corp. 219,100 3,584,476 * Sola International, Inc. 10,100 197,960 * Solectron Corp. 370,900 2,169,765 Sonic Automotive, Inc. 23,300 523,085 * SonicWALL, Inc. 41,100 328,389 Sound Federal Bancorp, Inc. 2,900 48,865 * SoundView Technology Group, Inc. 8,080 124,755 * Source Information Management, Inc. 11,400 110,466 * Sourcecorp, Inc. 6,000 146,760 South Financial Group, Inc. 26,300 749,550 South Jersey Industries, Inc. 3,300 130,020 * Southern Energy Homes, Inc. 3,200 8,480 * Southern Union Co. 23,483 429,269 * Southwestern Energy Co. 11,300 230,633 Sovereign Bancorp, Inc. 203,300 4,606,778 * Spartan Stores, Inc. 6,700 32,830 * Specialty Laboratories, Inc. 6,900 115,230 * Spectrum Control, Inc. 3,500 24,924 * Spherion Corp. 23,500 210,090 * Spiegel, Inc. Class A Non-Voting 24,200 2,118 * Spinnaker Exploration Co. 10,600 279,204 * Sport Chalet, Inc. 500 4,670 * Sports Club Co., Inc. 500 1,000 Sprint Corp. 214,800 3,219,852 * SPS Technologies, Inc. 6,000 293,760 * SPX Corp. 34,800 1,889,640 * SR Telecom, Inc. 73 416 SS&C Technologies, Inc. 1,100 32,450 St. Joe Corp. 1,900 66,120 * Staar Surgical Co. 8,200 90,126 * Stamps.com, Inc. 21,300 133,125 StanCorp Financial Group, Inc. 23,600 1,476,416 Standard Commercial Corp. 2,000 41,700 * Standard Management Corp. 700 2,289 * Standard Microsystems Corp. 7,300 195,640 Standard Pacific Corp. 19,700 983,621 Standard Register Co. 15,000 238,200 Starwood Hotels and Resorts Worldwide, Inc. 53,200 1,833,804 State Auto Financial Corp. 15,100 392,449 Staten Island Bancorp, Inc. 32,000 736,000 * Steel Dynamics, Inc. 31,400 628,628 Steel Technologies, Inc. 1,000 15,400 Steelcase, Inc. Class A 42,100 522,040 * Stein Mart, Inc. 10,400 92,664 * Steinway Musical Instruments, Inc. 600 14,340 * Stellent, Inc. 8,200 80,934 Stepan Co. 1,100 27,566 * Sterling Financial Corp. 10,236 344,032 Stewart & Stevenson Services, Inc. 2,200 30,888 * Stewart Enterprises, Inc. 36,500 170,455 * Stewart Information Services Corp. 12,000 463,560
85
SHARES VALUE+ -------------- ----------------- * Stillwater Mining Co. 10,200 $ 85,884 * Stone Energy Corp. 12,300 459,528 * Stoneridge, Inc. 15,800 210,930 * Storage Technology Corp. 50,100 1,262,520 * Stratasys, Inc. 400 18,000 Strategic Distribution, Inc. 200 3,002 * Stratus Properties, Inc. 500 5,290 Stride Rite Corp. 29,589 342,345 * Suburban Lodges of America, Inc. Escrow Shares 900 0 * Summa Industries, Inc. 2,200 19,360 * Summit America Television, Inc. 8,000 28,800 * Sun Microsystems, Inc. 932,000 3,979,640 Sunoco, Inc. 29,300 1,406,693 * Sunrise Senior Living, Inc. 10,100 348,652 Sunrise Telecom, Inc. 13,300 51,870 Supervalu, Inc. 58,500 1,510,470 Supreme Industries, Inc. 110 641 Susquehanna Bancshares, Inc. 10,400 276,848 * Swift Energy Corp. 25,900 367,521 * Swift Transportation, Inc. 6,120 121,910 * Switchboard, Inc. 4,800 32,160 SWS Group, Inc. 10,800 203,148 * Sycamore Networks, Inc. 119,400 635,208 * Sykes Enterprises, Inc. 12,700 116,078 * Sylvan Learning Systems, Inc. 33,800 1,094,106 Symbol Technologies, Inc. 1,550 21,623 * Symmetricom, Inc. 17,642 124,094 * Syms Corp. 17,000 117,980 Sypris Solutions, Inc. 800 10,920 * Systems & Computer Technology Corp 13,900 212,670 * Tarrant Apparel Group 1,100 4,400 TB Woods Corp. 5,400 42,660 * TBC Corp. 9,400 278,522 * TeamStaff, Inc. 300 663 * Tech Data Corp. 25,700 946,788 * TechTeam Global, Inc. 5,200 35,100 Tecumseh Products Co. Class A 2,600 107,016 Telephone & Data Systems, Inc. 40,300 2,526,810 * Teletech Holdings, Inc. 25,200 253,260 * Tellabs, Inc. 197,000 1,576,000 * Telular Corp. 3,400 24,956 Temple-Inland, Inc. 15,500 876,215 * Tenet Healthcare Corp. 285,150 4,166,042 * Tenneco Automotive, Inc. 2,380 13,209 * Teradyne, Inc. 74,300 1,870,131 * Terayon Communication Systems, Inc. 27,300 163,254 * Terex Corp. 42,500 1,096,075 * Terra Industries, Inc. 34,300 110,789 * Tesoro Petroleum Corp. 16,700 211,756 * Tetra Tech, Inc. 18,600 474,300 * Tetra Technologies, Inc. 8,400 188,160 Texas Industries, Inc. 23,200 677,672 Textron, Inc. 35,700 1,779,288 * The Banc Corp. 4,200 36,624 The Brink's Co. 20,300 450,660 * The Dress Barn, Inc. 14,800 216,672 The Marcus Corp. 8,000 119,600 The Phoenix Companies, Inc. 33,800 380,250 * The Sports Authority, Inc. 8,103 352,481 * Theragenics Corp. 4,100 $ 20,131 * Thermo-Electron Corp. 48,545 1,160,226 * TheStreet.com, Inc. 6,700 30,619 * Third Wave Technologies 16,800 72,240 Thomas & Betts Corp. 73,600 1,530,880 Thomas Industries, Inc. 5,100 160,752 * Thoratec Corp. 49,800 701,682 * THQ, Inc. 12,838 206,563 * Three-Five Systems, Inc. 6,500 34,645 * TIBCO Software, Inc. 72,900 426,465 Tidewater, Inc. 15,300 422,433 * Tier Technologies, Inc. Class B 300 2,343 * Time Warner Telecom, Inc. 11,400 120,270 * Time Warner, Inc 1,050,500 17,102,140 Timken Co. 35,900 614,967 * Titan Corp. 12,100 258,335 Todd Shipyards Corp. 1,100 19,855 * Toll Brothers, Inc. 34,400 1,424,504 * Tollgrade Communications, Inc. 4,400 76,164 * Torch Offshore, Inc. 5,700 29,754 Torchmark Corp. 79,000 3,483,900 * Toreador Resources Corp. 500 1,450 * Tower Automotive, Inc. 4,800 21,840 * Toys R Us, Inc. 147,400 1,730,476 Traffix, Inc. 18,100 90,500 * Trammell Crow Co. 32,400 435,780 * Trans World Entertainment Corp. 46,600 329,462 * Transkaryotic Therapies, Inc. 9,400 122,106 * Transmontaigne Oil Co. 11,700 70,317 * Transport Corp. of America 500 3,525 * Transpro, Inc. 8,100 27,378 * TRC Companies, Inc. 2,000 40,420 Tredegar Industries, Inc. 16,400 252,560 * Triad Guaranty, Inc. 5,600 261,240 * Triad Hospitals, Inc. 30,562 1,057,445 Tribune Co. 43,200 2,110,320 * Trident Microsystems, Inc. 3,200 84,224 Trinity Industries, Inc. 25,800 669,510 * TriPath Imaging, Inc. 19,800 180,576 * Triquint Semiconductor, Inc. 31,700 256,136 * Triumph Group 5,600 182,504 * TriZetto Group, Inc. 29,900 192,855 * Trover Solutions, Inc. 2,800 19,390 * TTM Technologies, Inc. 12,400 209,560 * Tufco Technologies, Inc. 300 1,857 * Turnstone Systems, Inc. 24,700 71,383 Tyco International, Ltd. 9,732 223,349 * Tyler Technologies, Inc. 25,700 215,880 Tyson Foods, Inc. Class A 188,330 2,570,705 * U.S. Concrete, Inc. 11,700 69,018 * U.S. Xpress Enterprises, Inc. Class A 800 10,680 * UICI 45,600 629,736 * Ulticom, Inc. 21,900 236,958 * Ultimate Electronics, Inc. 3,600 29,700 * Ultratech Stepper, Inc. 5,500 166,650 UMB Financial Corp. 9,870 481,557 * Unifi, Inc. 8,900 45,657 Unifirst Corp. 4,600 106,858 * Uni-Marts, Inc. 500 798 Union Pacific Corp. 211,600 13,474,688 Union Planters Corp. 3,000 103,530
86
SHARES VALUE+ -------------- ----------------- Unionbancal Corp. 1,000 $ 56,960 * Uniroyal Technology Corp. 1,600 0 * Unisys Corp. 68,700 1,121,184 * Unit Corp. 15,400 317,240 United Auto Group, Inc. 14,900 368,030 United Community Financial Corp. 34,000 381,480 * United Online, Inc. 23,700 431,577 * United Rentals, Inc. 60,100 1,113,052 * United States Cellular Corp. 32,800 1,134,880 United States Steel Corp. 63,300 1,573,005 * United Stationers, Inc. 10,400 419,640 * United Therapeutics Corp. 7,700 144,914 Unitrin, Inc. 2,300 87,009 Unity Bancorp, Inc. 1,470 17,434 * Universal American Financial Corp. 52,300 544,443 * Universal Compression Holdings, Inc. 10,800 253,260 Universal Corp. 8,000 341,760 Universal Forest Products, Inc. 16,700 508,348 * Universal Stainless & Alloy Products, Inc. 2,500 21,075 * Univision Communications, Inc. Class A 1,530 55,202 * Unova, Inc. 29,400 703,248 UnumProvident Corp. 82,600 1,233,218 * Urologix, Inc. 12,600 71,316 * URS Corp. 12,100 275,880 * US Oncology, Inc. 82,300 837,814 * USA Truck, Inc. 2,100 22,638 Usec, Inc. 56,800 427,704 USF Corp. 8,500 280,755 * Vail Resorts, Inc. 14,600 222,358 Valero Energy Corp. 85,400 3,680,740 Valhi, Inc. 18,700 258,434 * Valpey Fisher Corp. 300 948 * ValueClick, Inc. 26,600 222,110 * Valuevision Media, Inc. Class A 9,800 151,900 * Vans, Inc. 5,200 66,560 * Varco International, Inc. 4,500 83,205 * Variflex, Inc. 300 1,863 * Vastera, Inc. 12,164 47,440 * Veeco Instruments, Inc. 16,900 498,550 * VeriSign, Inc. 96,300 1,561,023 * Veritas Software Co. 1 38 * Verity, Inc. 7,000 100,520 Verizon Communications, Inc. 125,000 4,096,250 Viacom, Inc. Class A 85,800 3,377,946 Viacom, Inc. Class B 818,500 32,183,420 * Viasat, Inc. 11,300 240,351 * Viasys Healthcare, Inc. 3,717 76,087 * Vical, Inc. 500 2,510 * Vicon Industries, Inc. 300 1,242 * Vicor Corp. 16,500 189,750 * Video Display Corp. 300 3,660 Vintage Petroleum, Inc. 70,000 728,700 * Vishay Intertechnology, Inc. 78,711 1,653,718 Visteon Corp. 1,000 7,850 * Vitesse Semiconductor, Inc. 49,700 362,810 * Volt Information Sciences, Inc. 15,600 318,240 * Vyyo, Inc. 1,400 9,828 Wachovia Corp. 6,232 285,114 * Wackenhut Corrections Corp. 2,000 $ 43,300 Walter Industries, Inc. 29,640 362,794 * Waste Connections, Inc. 9,700 358,900 Waste Industries USA, Inc. 16,100 147,235 * WatchGuard Technologoes, Inc. 15,700 97,497 * Water Pik Technologies, Inc. 6,000 76,200 Watsco, Inc. Class A 23,900 555,436 * Watson Pharmaceuticals, Inc. 58,200 2,743,548 Watts Water Technologies, Inc. 8,800 180,400 Wausau-Mosinee Paper Corp. 29,200 359,160 Waypoint Financial Corp. 3,045 65,376 * WebMD Corp. 169,600 1,551,840 Wellman, Inc. 2,700 23,490 Werner Enterprises, Inc. 43,332 786,476 Wesco Financial Corp. 1,110 387,446 * WESCO International, Inc. 900 8,055 * West Marine, Inc. 8,100 204,201 * Westcoast Hospitality Corp. 900 4,410 Westcorp, Inc. 13,320 498,834 * Westport Resources Corp. 18,231 494,060 * Wet Seal, Inc. Class A 7,900 81,133 Weyerhaeuser Co. 78,800 4,491,600 * WFS Financial, Inc. 9,100 379,470 * Whitehall Jewelers, Inc. 5,142 54,557 Whitney Holdings Corp. 5,850 229,379 * Wickes, Inc. 400 212 * William Lyon Homes, Inc. 11,500 746,350 * Williams Industries, Inc. 300 1,056 * Willis Lease Finance Corp. 1,200 8,100 * Wilshire Oil Co. of Texas 600 3,876 * Wind River Systems, Inc. 16,600 108,066 Winn-Dixie Stores, Inc. 12,400 111,972 Wintrust Financial Corp. 800 35,832 * Wireless Facilities, Inc. 17,600 255,728 * Wiser Oil Co. 2,700 19,035 * Witness Systems, Inc. 4,100 36,859 * WMS Industries, Inc. 9,100 242,970 * Wolverine Tube, Inc. 1,200 6,312 Woodward Governor Co. 4,800 239,424 * Workflow Management, Inc. 3,500 17,360 * World Acceptance Corp. 3,200 61,824 * WorldQuest Networks, Inc. 1,700 5,440 * Worldwide Restaurant Concepts, Inc. 10,500 30,660 Worthington Industries, Inc. 69,000 988,080 * Xanser Corp. 10,600 24,804 * Xerox Corp. 158,800 1,934,184 * Xeta Corp. 1,200 7,320 * XM Satellite Radio Holdings, Inc. 32,200 803,390 * Yahoo!, Inc. 2,076 89,226 * Yellow Corp. 22,400 684,768 York International Corp. 3,600 143,820 * Zapata Corp. 200 10,550 * Zoltek Companies, Inc. 16,800 73,080 * Zomax, Inc. 8,600 46,268 * Zoran Corp. 12,542 230,271 * Zygo Corp. 15,000 243,900 ----------------- TOTAL COMMON STOCKS (Cost $825,899,025) 1,066,674,321 -----------------
87
SHARES VALUE+ -------------- ----------------- RIGHTS/WARRANTS -- (0.0%) * Chart Industries, Inc. Warrants 09/15/10 3 $ 13 * Chiquita Brands International, Inc. Warrants 03/19/09 1,687 10,628 * Orbital Science Corp. Warrants 08/31/04 213 1,001 * Timco Aviation Services Warrants 02/27/07 229 0 ----------------- TOTAL RIGHTS/WARRANTS (Cost $43,938) 11,642 ----------------- FACE AMOUNT -------------- (000) BONDS -- (0.0%) * Timco Aviation Services, Inc. Jr Subordinated Note 8.000%, 01/02/07 (Cost $0) $ 0 0 ----------------- TEMPORARY CASH INVESTMENTS -- (1.8%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $19,661,000 FMC Discount Notes 1.11%, 03/25/04, valued at $19,587,271) to be repurchased at $19,284,318 (Cost $19,283,000) 19,283 19,283,000 ----------------- TOTAL INVESTMENTS -- (100.0%) (Cost $845,225,963)++ $ 1,085,968,963 =================
---------- + See Note B to Financial Statements. ++ The cost for federal income tax is $845,835,148. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 88 THE TAX-MANAGED U.S. EQUITY SERIES SCHEDULE OF INVESTMENTS NOVEMBER 30, 2003
SHARES VALUE+ -------------- ----------------- COMMON STOCKS -- (98.4%) 21st Century Insurance Group 600 $ 8,400 * 3-D Systems Corp. 300 2,730 * 3COM Corp. 17,500 130,900 3M Co. 13,900 1,098,656 * 4Kids Entertainment, Inc. 700 18,795 * 7-Eleven, Inc. 2,800 45,920 * 99 Cents Only Stores 1,800 49,878 * @Road, Inc. 500 6,295 A. G. Edwards, Inc. 1,000 36,740 * A.C. Moore Arts & Crafts, Inc. 500 10,985 * aaiPharma, Inc. 150 2,727 * AAR Corp. 1,000 10,460 Abbott Laboratories 24,400 1,078,480 * Abercrombie & Fitch Co. 3,100 90,985 * Abgenix, Inc. 4,300 48,461 * Abiomed, Inc. 500 3,694 ABM Industries, Inc. 500 7,925 * ABX Air, Inc. 600 2,370 * Acacia Research-Acacia Technologies Common Stock 110 605 * Acacia Research-CombiMatrix Corp. 61 246 * Accredo Health, Inc. 2,350 73,085 * Ace Cash Express, Inc. 100 1,929 * Aclara Biosciences, Inc. 200 640 * Acme Communications, Inc. 500 4,250 * Actel Corp. 700 19,187 Action Performance Companies, Inc. 500 9,710 * ActivCard Corp. 1,300 11,297 * Active Power, Inc. 600 2,016 * Activision, Inc. 3,200 48,960 * Actuant Corp. 1,200 37,260 * Actuate Corp. 800 2,520 * Acxiom Corp. 3,700 61,457 * Adaptec, Inc. 3,900 34,359 * ADC Telecommunications, Inc. 25,100 61,746 * Administaff, Inc. 1,100 16,456 Adobe Systems, Inc. 7,800 322,296 * Adolor Corp. 1,100 21,703 Adtran, Inc. 1,100 72,402 * Advance Auto Parts Inc. 1,500 122,430 * Advance PCS 3,100 172,546 * Advanced Digital Information Corp. 1,800 27,306 * Advanced Energy Industries, Inc. 600 15,840 * Advanced Fibre Communications, Inc. 3,800 84,930 Advanced Marketing Services, Inc. 800 9,320 * Advanced Medical Optics, Inc. 1,022 20,144 * Advanced Micro Devices, Inc. 15,800 284,084 * Advanced Neuromodulation Systems, Inc. 750 31,642 * Advent Software, Inc. 1,000 17,510 Advo, Inc. 750 22,657 * AEP Industries, Inc. 300 2,169 * Aeroflex, Inc. 1,700 21,573 * AES Corp. 27,800 246,586 * Aether Systems, Inc. 1,200 5,964 * AFC Enterprises, Inc. 500 $ 8,625 * Affiliated Computer Services, Inc. Class A 4,700 235,658 * Affiliated Managers Group, Inc. 1,300 86,450 * Affymetrix, Inc. 1,100 27,137 AFLAC, Inc. 30,700 1,104,279 * Aftermarket Technology Corp. 1,200 15,972 * Agco Corp. 4,800 82,560 * Agere Systems, Inc. Class A 511 1,809 * Agile Software Corp. 1,800 19,782 * Agilent Technologies, Inc. 23,000 650,440 Agilysys, Inc. 1,100 12,386 AGL Resources, Inc. 1,000 28,400 * Air Methods Corp. 500 4,525 Air Products & Chemicals, Inc. 5,300 254,082 Airgas, Inc. 2,400 46,512 * Airspan Networks, Inc. 200 482 * Airtran Holdings, Inc. 1,200 17,712 * AK Steel Holding Corp. 5,800 17,400 * Akorn, Inc. 100 185 Alabama National Bancorporation 500 27,000 * Alaris Medical, Inc. 3,500 55,685 * Alaska Air Group, Inc. 1,200 34,512 Albany International Corp. Class A 1,200 37,212 * Albany Molecular Research, Inc. 800 11,280 Albemarle Corp. 500 14,150 Alberto-Culver Co. Class B 2,900 177,103 Alcoa, Inc. 18,800 616,828 Alexander & Baldwin, Inc. 1,000 31,460 * Alexion Pharmaceuticals, Inc. 600 11,250 Alfa Corp. 900 11,421 * Align Technology, Inc. 800 14,408 * Alkermes, Inc. 1,500 19,620 * Allegheny Corp. 104 21,424 * Allegheny Energy, Inc. 8,400 90,300 Allegheny Technologies, Inc. 21 172 Allegiant Bancorp, Inc. 500 14,025 Allergan, Inc. 7,800 582,894 ALLETE, Inc. 1,500 44,655 * Alliance Data Systems Corp. 1,700 50,966 * Alliance Gaming Corp. 500 13,100 * Alliance Semiconductor Corp. 1,200 9,912 Alliant Energy Corp. 500 12,225 * Alliant Techsystems, Inc. 1,550 79,096 * Allied Defense Group, Inc. 300 6,309 * Allied Healthcare International, Inc. 100 556 * Allied Waste Industries, Inc. 10,000 124,500 * Allmerica Financial Corp. 3,000 82,050 * Allos Therapeutics, Inc. 400 1,096 * Alloy, Inc. 1,100 5,918 * Allscripts Healthcare Solutions, Inc. 800 4,344 Allstate Corp. 15,600 629,928 Alltel Corp. 4,300 195,263 Alpharma, Inc. Class A 1,400 28,210 * Altera Corp. 8,300 210,239 Altria Group, Inc. 18,400 956,800 * Amazon.com, Inc. 13,800 746,028
89
SHARES VALUE+ -------------- ----------------- Ambac Financial Group, Inc. 6,600 $ 453,750 Ambassadors Group, Inc. 100 2,138 Ambassadors, Inc. 100 1,308 * AMC Entertainment, Inc. 1,400 21,210 Amcol International Corp. 500 7,160 Amcore Financial, Inc. 500 13,625 Amerada Hess Corp. 1,500 71,055 * Amerco, Inc. 100 2,728 Ameren Corp. 500 22,065 * America West Holdings Corp. Class B 200 3,020 * American Axle & Manufacturing Holdings, Inc. 3,400 134,742 American Capital Strategies, Ltd. 500 14,625 * American Eagle Outfitters, Inc. 3,000 55,350 American Electric Power Co., Inc. 6,000 166,140 American Express Co. 59,100 2,701,461 American Financial Group, Inc. 1,000 24,520 * American Greetings Corp. Class A 3,800 80,256 * American Healthways, Inc. 200 9,264 American International Group, Inc. 180,000 10,431,000 * American Italian Pasta Co. 1,200 45,600 * American Management Systems, Inc. 1,300 19,383 * American Medical Security Group, Inc. 600 13,494 * American Medical Systems Holdings, Inc. 1,100 25,003 American National Insurance Co. 500 41,965 * American Pacific Corp. 100 945 * American Pharmaceutical Partners, Inc. 2,100 75,810 * American Physicians Capital, Inc. 500 8,250 American Power Conversion Corp. 6,500 142,090 * American Retirement Corp. 100 310 * American Science & Engineering, Inc. 500 6,475 * American Standard Companies, Inc. 2,400 239,280 American States Water Co. 500 12,135 * American Superconductor Corp. 800 8,448 * American Tower Corp. 11,300 128,594 * American West Bancorporation 121 2,710 * America's Car-Mart, Inc. 200 5,872 * Americredit Corp. 10,100 135,845 * AMERIGROUP Corp. 1,100 48,301 AmeriServe Financial, Inc. 700 3,500 AmerisourceBergen Corp. 7,100 449,359 * Ameritrade Holding Corp. 11,000 138,270 AmerUs Group Co. 1,400 50,330 Ametek, Inc. 2,100 99,330 * Amgen, Inc. 62,876 3,615,999 * Amkor Technology, Inc. 4,000 78,080 * AMN Healthcare Services, Inc. 1,700 28,866 * Amphenol Corp. 1,000 60,520 * AMR Corp. 7,600 97,508 AmSouth Bancorporation 2,400 57,576 * Amsurg Corp. 1,100 40,931 * Amylin Pharmaceuticals, Inc. 2,600 68,042 Anadarko Petroleum Corp. 12,300 552,639 * Anadigics, Inc. 100 670 Analog Devices, Inc. 12,500 621,875 Analogic Corp. 500 $ 21,000 * Anaren, Inc. 700 10,479 Anchor Bancorp Wisconsin, Inc. 500 12,545 * Andrew Corp. 9,232 108,661 * Andrx Group 4,100 90,036 Anheuser-Busch Companies, Inc. 18,100 937,942 * Anixter International, Inc. 1,700 39,185 * Ann Taylor Stores Corp. 2,050 81,467 * AnswerThink, Inc. 2,000 11,980 * Ansys, Inc. 500 19,295 * Anthem, Inc. 10,899 786,036 * Antigenics, Inc. 300 3,702 AON Corp. 4,400 96,536 * APAC Teleservices, Inc. 1,000 2,810 Apache Corp. 9,899 710,748 * Aphton Corp. 500 3,075 Apogee Enterprises, Inc. 500 5,915 * Apogent Technologies, Inc. 5,800 134,154 * Apollo Group, Inc. (Class A) 4,850 334,795 * Apple Computer, Inc. 19,900 416,308 Applebees International, Inc. 2,800 108,388 Applera Corporation - Applied Biosystems Group 200 4,294 Applica, Inc. 1,100 8,030 * Applied Extrusion Technologies, Inc. 100 249 * Applied Films Corp. 500 16,595 * Applied Materials, Inc. 86,300 2,097,090 * Applied Micro Circuits Corp. 14,700 94,962 Applied Signal Technologies, Inc. 500 10,900 * Apria Healthcare Group, Inc. 2,100 56,931 Aptargroup, Inc. 2,200 76,802 * aQuantive, Inc. 1,300 13,455 * Aquila, Inc. 10,800 38,664 ARAMARK Corp. 2,800 76,020 * Arch Capital Group, Ltd. 100 3,696 Arch Coal, Inc. 3,100 82,119 Archer-Daniels Midland Co. 14,900 212,921 Arctic Cat, Inc. 600 14,262 * Arena Pharmaceuticals, Inc. 1,000 6,890 * Argonaut Group, Inc. 1,400 22,400 * Argosy Gaming Corp. 1,500 38,010 * Ariba, Inc. 2,900 9,164 Arkansas Best Corp. 1,000 31,380 * Armor Holdings, Inc. 1,200 29,100 * Arqule, Inc. 800 3,936 * Array BioPharma, Inc. 1,000 5,250 * Arris Group, Inc. 2,200 14,190 * Arrow Electronics, Inc. 5,100 119,238 Arrow International, Inc. 1,600 43,040 * Artesyn Technologies, Inc. 1,000 7,890 * Arthrocare Corp. 1,000 24,600 * Artisan Components, Inc. 500 10,334 * Asbury Automotive Group, Inc. 1,900 31,730 * Ascential Software Corp. 1,225 30,992 Ashland, Inc. 500 19,870 * Ashworth, Inc. 600 4,890 * Ask Jeeves, Inc. 500 9,660 * Aspect Communications Corp. 900 13,248 * Aspect Medical Systems, Inc. 500 4,755 * Aspen Technology, Inc. 1,000 7,690 Associated Banc-Corp. 1,000 42,100
90
SHARES VALUE+ -------------- ----------------- * Astec Industries, Inc. 960 $ 12,662 Astoria Financial Corp. 1,200 44,856 * ASV, Inc. 100 2,832 * Asyst Technologies, Inc. 1,300 23,725 AT&T Corp. 4,300 85,269 * AT&T Wireless Services, Inc. 185,200 1,389,000 * Atari, Inc. 600 2,460 * AtheroGenics, Inc. 500 7,150 * Atlantic Coast Airlines, Inc. 2,600 28,418 * Atmel Corp. 20,100 135,273 * ATMI, Inc. 700 16,100 Atmos Energy Corp. 500 12,325 * ATP Oil & Gas Corp. 500 2,530 * Atrix Labs, Inc. 500 10,130 * Atwood Oceanics, Inc. 500 12,845 * Audiovox Corp. Class A 800 11,096 Autodesk, Inc. 2,800 65,016 Automatic Data Processing, Inc. 10,500 401,415 * AutoNation, Inc. 14,600 256,668 * Autozone, Inc. 2,400 229,584 * Avanex Corp. 1,300 6,162 * Avatar Holdings, Inc. 100 3,385 * Aviall, Inc. 1,200 19,200 * Avid Technology, Inc. 900 47,592 * Avigen, Inc. 300 1,950 Avista Corp. 500 8,820 * Avnet, Inc. 5,900 125,847 * Avocent Corp. 1,800 68,922 Avon Products, Inc. 11,300 774,050 AVX Corp. 4,500 67,950 * Axcelis Technologies, Inc. 4,900 56,203 * Aztar Corp. 400 8,900 B B & T Corp. 8,230 323,933 Baker Hughes, Inc. 6,300 181,818 Baldor Electric Co. 500 10,850 Ball Corp. 1,800 100,710 * Bally Total Fitness Holding Corp. 1,700 11,900 BancorpSouth, Inc. 1,400 34,160 Bank of America Corp. 23,500 1,772,605 Bank of Hawaii Corp. 2,100 86,835 Bank of New York Co., Inc. 11,600 355,888 Bank One Corp. 23,400 1,014,624 Banknorth Group, Inc. 2,800 91,756 * BankUnited Financial Corp. Class A 1,300 33,085 Banta Corp. 500 19,900 Bard (C.R.), Inc. 1,400 105,840 * Barnes & Noble, Inc. 3,600 119,448 Barnes Group, Inc. 500 14,965 * barnesandnoble.com, inc. 300 855 * Barr Laboratories, Inc. 3,950 326,033 * Barry (R.G.) Corp. 100 595 Bausch & Lomb, Inc. 2,000 100,460 Baxter International, Inc. 10,100 280,982 * Bay View Capital Corp. 3,200 19,424 * Baycorp Holdings, Ltd. 6 79 * BE Aerospace, Inc. 700 4,025 * Bea Systems, Inc. 7,500 95,250 Bear Stearns Companies, Inc. 2,600 188,396 * BearingPoint, Inc. 10,200 94,554 * Beazer Homes USA, Inc. 600 64,026 * Bebe Stores, Inc. 1,000 28,310 Beckman Coulter, Inc. 1,300 $ 66,495 Becton Dickinson & Co. 8,900 356,267 * Bed, Bath and Beyond, Inc. 7,400 312,576 BEI Technologies, Inc. 700 12,369 Belden, Inc. 600 11,820 * Bell Microproducts, Inc. 1,100 9,471 Bellsouth Corp. 17,000 442,510 Belo Corp. Class A 2,700 76,707 Bemis Co., Inc. 800 36,400 * Benchmark Electronics, Inc. 1,500 55,095 * Bentley Pharmaceuticals, Inc. 500 6,125 Berkley (W.R.) Corp. 3,825 130,624 Berry Petroleum Corp. Class A 500 9,560 Best Buy Co., Inc. 8,200 508,400 * Beverly Enterprises 3,700 28,971 * Big Lots, Inc. 5,200 76,232 * Biocryst Pharmaceuticals, Inc. 100 819 * Biogen Idec, Inc. 10,755 410,626 * BioLase Technology, Inc. 500 6,135 * BioMarin Pharmaceutical, Inc. 1,100 8,085 Biomet, Inc. 14,600 522,242 * Bio-Rad Laboratories, Inc. Class A 200 10,250 * BioReliance Corp. 500 23,145 * Biosite, Inc. 600 16,110 * Biosource International, Inc. 100 730 * BISYS Group, Inc. 2,800 41,776 * BJ Services, Co. 6,700 213,663 * BJ's Wholesale Club, Inc. 3,300 83,985 Black & Decker Corp. 2,000 92,780 Black Box Corp. 600 26,250 Blackrock, Inc. 500 25,475 Block (H.&R.), Inc. 3,200 173,728 Blockbuster, Inc. Class A 2,400 40,992 * Blount International, Inc. 100 601 * Bluegreen Corp. 1,000 6,300 Blyth, Inc. 2,200 66,110 * BMC Software, Inc. 8,300 138,029 Bob Evans Farms, Inc. 500 15,430 * Boca Resorts, Inc. 1,900 27,132 Boeing Co. 12,500 479,875 Boise Cascade Corp. 600 17,706 * BOK Financial Corp. 3,621 141,183 * Bombay Co., Inc. 1,200 12,276 * Bone Care International, Inc. 500 6,750 * Borders Group, Inc. 4,000 89,920 Borg-Warner, Inc. 1,900 150,100 * Borland Software Corp. 3,500 30,520 * Boston Beer Company, Inc. Class A 400 7,360 * Boston Communications Group, Inc. 600 5,400 Boston Private Financial Holdings, Inc. 600 15,558 * Boston Scientific Corp. 30,000 1,076,700 * Bottomline Technologies, Inc. 100 900 Bowater, Inc. 900 36,810 Bowne & Co., Inc. 500 7,370 Boyd Gaming Corp. 400 6,544 * Boyds Collection, Ltd. 1,900 8,170 * Bradley Pharmaceuticals, Inc. Class A 500 11,760 Brady (W.H.) Co. Class A 1,000 38,350 * Brass Eagle, Inc. 100 924
91
SHARES VALUE+ -------------- ----------------- Briggs & Stratton Corp. 500 $ 33,750 * Brigham Exploration Co. 400 2,864 * Brightpoint, Inc. 1,350 30,334 * Brillian Corp. 125 996 * Brinker International, Inc. 4,000 130,240 Bristol Myers Squibb Co. 19,400 511,190 * Broadcom Corp. 5,200 189,436 * Brocade Communications Systems, Inc. 11,000 66,990 * Brooks Automation, Inc. 1,624 39,463 * Brookstone, Inc. 750 17,805 * Brown (Tom), Inc. 2,600 72,696 Brown and Brown, Inc. 3,500 110,075 Brown Shoe Company, Inc. 500 17,465 Brown-Forman Corp. Class B 1,000 91,740 * Bruker BioSciences Corp. 1,300 6,474 Brunswick Corp. 7,800 234,390 * Brush Engineered Materials, Inc. 600 8,088 * Buckeye Technology, Inc. 2,000 20,420 Buckle, Inc. 300 6,564 Building Materials Holding Corp. 100 1,515 Burlington Coat Factory Warehouse Corp. 1,700 35,870 Burlington Northern Santa Fe Corp. 4,800 142,896 Burlington Resources, Inc. 10,900 547,180 * Bush Industries, Inc. Class A 200 682 C & D Technologies, Inc. 1,300 26,026 * C-COR.net Corp. 600 7,080 C. H. Robinson Worldwide, Inc. 2,400 94,392 * Cable Design Techologies Corp. 2,000 20,320 * Cablevision Systems Corp. Class A 6,100 126,392 Cabot Corp. 800 23,280 * Cabot Microelectronics Corp. 600 31,854 Cabot Oil & Gas Corp. Class A 1,800 47,808 * Caci International, Inc. Class A 1,000 49,770 * Cadence Design Systems, Inc 12,000 200,760 * Cal Dive International, Inc. 1,700 36,040 Calgon Carbon Corp. 500 3,075 * California Coastal Communities, Inc. 100 1,105 California Water Service Group 500 13,080 * Caliper Technologies Corp. 500 3,195 Callaway Golf Co. 1,300 21,359 * Callon Petroleum Corp. 300 2,760 * Calpine Corp. 24,900 106,323 Cambrex Corp. 700 16,982 Campbell Soup Co. 6,600 169,026 * Candela Corp. 100 2,053 * Candies, Inc. 200 406 * Cantel Medical Corp. 500 7,860 Capital One Financial Corp. 14,900 889,828 * Capital Pacific Holdings, Inc. 100 340 * Capital Senior Living Corp. 500 3,050 Capitol Federal Financial 500 17,365 * Capstone Turbine Corp. 1,400 2,422 * Captaris, Inc. 500 2,965 * Caraustar Industries, Inc. 1,300 15,145 Carbo Ceramics, Inc. 1,100 48,059 * Cardiac Sciences, Inc. 1,800 6,426 Cardinal Health, Inc. 19,882 1,215,585 * CardioDynamics International Corp. 200 1,300 * Career Education Corp. 2,400 122,712 * Caremark Rx, Inc. 7,500 $ 200,250 Carlisle Companies, Inc. 600 35,310 * CarMax, Inc. 3,499 115,222 Carpenter Technology Corp. 500 13,400 * Carrier Access Corp. 100 1,490 * Carrizo Oil & Gas, Inc. 100 750 Cascade Corp. 500 13,400 * Casella Waste Systems, Inc. Class A 1,100 14,740 Casey's General Stores, Inc. 1,400 24,458 Cash America International, Inc. 1,100 21,318 * Casual Male Retail Group, Inc. 1,000 8,600 * Catalina Marketing Corp. 800 14,824 * Catapult Communications Corp. 500 7,560 Catellus Development Corp. 4,900 115,150 Caterpillar, Inc. 5,700 433,485 Cathay Bancorp, Inc. 926 48,152 Cato Corp. Class A 600 12,528 * Cavalier Homes, Inc. 100 285 * Cavco Industries, Inc. 150 3,525 CBRL Group, Inc. 2,800 115,500 CDI Corp. 100 3,390 CDW Corp. 2,900 173,275 * CEC Entertainment Inc. 1,000 50,280 * Celadon Group, Inc. 500 6,800 * Celeritek, Inc. 700 5,635 * Celgene Corp. 1,300 59,449 * Cell Genesys, Inc. 1,600 20,864 * Cell Therapeutics, Inc. 500 4,500 * CellStar Corp. 1,200 16,500 * Cendant Corp. 59,176 1,311,340 * Centene Corp. 600 18,420 Center Finl CO 500 12,485 CenterPoint Energy, Inc. 500 4,850 Centex Construction Products, Inc. 1,100 64,460 Centex Corp. 4,000 437,600 * Centillium Communications, Inc. 1,300 7,150 * Central Garden & Pet Co. 600 15,906 Central Parking Corp. 1,000 13,950 Central Vermont Public Service Corp. 400 9,560 * Century Aluminum Co. 1,100 18,260 * Century Business Services, Inc. 3,100 14,415 * Cephalon, Inc. 1,600 75,184 * Cepheid, Inc. 500 3,865 * Ceres Group, Inc. 1,000 5,220 * Ceridian Corp. 6,300 133,749 * Cerner Corp. 1,200 53,556 * Cerus Corp. 400 1,360 * Chalone Wine Group, Ltd. 100 895 * Champion Enterprises, Inc. 500 3,610 * Champps Entertainment, Inc. 500 3,460 * Charles and Colvard, Ltd. 300 1,464 * Charles River Laboratories International, Inc. 1,600 51,920 * Charlotte Russe Holding, Inc. 1,000 15,050 * Charming Shoppes, Inc. 4,400 27,412 * Chart Industries 2 60 * Charter Communications, Inc. 4,100 16,482 Charter One Financial, Inc. 2,800 93,016 * Chattem, Inc. 1,000 16,020 * Checkers Drive-In Restaurant, Inc. 200 1,832 * CheckFree Corp. 4,900 135,338
92
SHARES VALUE+ -------------- ----------------- * Checkpoint Systems, Inc. 1,200 $ 23,220 * Cheesecake Factory, Inc. 1,600 69,376 Chemical Financial Corp. 525 19,031 Chesapeake Corp. 500 11,500 Chesapeake Energy Corp. 7,100 86,620 ChevronTexaco Corp. 16,700 1,254,170 * Chicago Pizza & Brewery, Inc. 500 7,115 * Chicos Fas, Inc. 1,300 49,894 * Children's Place Retail Stores, Inc. 1,000 28,670 * ChipPAC, Inc. 1,600 12,432 * Chiquita Brands International, Inc. 1,600 33,904 * Chiron Corp. 9,400 504,028 Chittenden Corp. 500 17,070 * Choice Hotels International, Inc. 600 21,210 * Choicepoint, Inc. 2,900 110,925 * Cholestech Corp. 700 5,180 Christopher & Banks Corp. 1,450 39,222 * Chromcraft Revington, Inc. 100 1,165 * Chronimed, Inc. 500 4,490 Chubb Corp. 4,300 281,435 Church & Dwight Co., Inc. 1,400 56,714 * Ciber, Inc. 2,000 18,220 * CIENA Corp. 21,100 149,388 CIGNA Corp. 1,400 75,110 * Cima Laboratories, Inc. 800 26,384 * Cimarex Energy Co. 1,456 33,663 * Cincinnati Bell, Inc. 4,400 25,124 Cincinnati Financial Corp. 2,300 93,219 Cinergy Corp. 1,500 54,825 Cintas Corp. 5,200 243,048 * Ciphergen Biosystems, Inc. 500 5,205 CIRCOR International, Inc. 100 2,200 Circuit City Stores, Inc. 8,000 104,160 * Cirrus Logic, Inc. 1,700 14,620 * Cisco Sytems, Inc. 238,100 5,395,346 Citigroup, Inc. 35,816 1,684,785 Citizens Banking Corp. 500 15,760 * Citizens Communications Co. 15,700 170,502 * Citizens, Inc. Class A 1,455 14,406 * Citrix Systems, Inc. 3,700 88,874 City Holding Co. 500 17,800 City National Corp. 1,000 63,260 * CKE Restaurants, Inc. 2,300 16,100 Claire's Stores, Inc. 2,100 97,440 Clarcor, Inc. 500 21,895 * Clark, Inc. 900 14,769 * Clarus Corp. 100 699 * Clayton Williams Energy, Inc. 100 2,275 Clear Channel Communications, Inc. 34,535 1,443,908 * Cleveland Cliffs, Inc. 500 19,300 Clorox Co. 4,100 192,372 * Closure Medical Corp. 500 17,750 * CMS Energy Corp. 7,000 55,230 * CNA Financial Corp. 15,600 364,884 * CNA Surety Corp. 1,900 18,392 * CNET Networks, Inc. 1,500 11,205 CNF Transportation, Inc. 900 30,078 CNS, Inc. 600 7,320 * Coach, Inc. 5,800 231,072 Coachmen Industries, Inc. 500 8,625 Coca-Cola Co. 41,400 1,925,100 Coca-Cola Enterprises, Inc. 26,800 $ 553,420 * Coeur d'Alene Mines Corp. 1,200 6,216 Cognex Corp. 1,200 32,964 * Cognizant Technology Solutions Corp. 1,500 68,805 * Coherent, Inc. 1,000 23,940 Cohu, Inc. 500 10,510 * Coinstar, Inc. 300 5,049 * Coldwater Creek, Inc. 1,125 16,155 Cole (Kenneth) Productions, Inc. Class A 300 8,970 * Cole National Corp. Class A 100 2,098 Colgate-Palmolive Co. 10,200 535,500 * Collins & Aikman Corp. 3,800 13,566 Colonial Bancgroup, Inc. 1,500 25,065 Columbia Banking System, Inc. 815 17,115 * Columbia Sportswear Co. 1,200 71,124 * Columbus McKinnon Corp. 300 1,854 * Comcast Corp. Class A 94,524 2,966,163 * Comcast Corp. Special Class A Non-Voting 33,900 1,022,085 Comerica, Inc. 2,700 140,805 * Comfort Systems USA, Inc. 500 2,405 Commerce Bancorp, Inc. 1,600 82,688 Commerce Bancshares, Inc. 1,191 56,870 Commerce Group, Inc. 500 20,005 * Commerce One, Inc. 500 580 Commercial Federal Corp. 1,000 27,000 * Commscope, Inc. 2,000 31,920 Community First Bankshares, Inc. 500 14,260 * Community Health Care 5,800 157,064 Compass Bancshares, Inc. 1,600 62,576 * Compex Technologies, Inc. 600 5,430 * Compucom Systems, Inc. 1,400 6,370 * CompuCredit Corp. 2,000 47,360 Computer Associates International, Inc. 31,000 722,300 * Computer Horizons Corp. 100 372 * Computer Network Technology Corp. 1,000 9,950 * Computer Sciences Corp. 9,600 397,440 * Compuware Corp. 17,600 100,672 * Comstock Resources, Inc. 1,700 27,710 * Comverse Technology, Inc. 8,900 171,147 Conagra, Inc. 4,900 120,050 * Conceptus, Inc. 500 6,500 * Concord Camera Corp. 1,600 19,312 * Concord Communications, Inc. 300 6,642 * Concord EFS, Inc. 12,600 144,774 * Concurrent Computer Corp. 1,100 4,433 * Cone Mills Corp. 300 17 * Conmed Corp. 1,400 29,764 * Connetics Corp. 800 14,120 ConocoPhilips 9,306 528,022 CONSOL Energy, Inc. 900 19,125 Consolidated Edison, Inc. 2,200 88,660 * Consolidated Graphics, Inc. 700 21,035 * Constellation Brands, Inc. 6,000 207,060 Constellation Energy Group 2,600 97,864 * Continental Airlines, Inc. 3,400 63,410 * Convera Corp. 100 391 * Convergys Corp. 5,200 79,768
93
SHARES VALUE+ -------------- ----------------- * Cooper Cameron Corp. 3,700 $ 160,617 Cooper Companies, Inc. 1,900 86,735 Cooper Industries, Ltd. 1,100 59,015 Cooper Tire & Rubber Co. 800 16,008 Coors (Adolph) Co. Class B 1,300 71,643 * Copart, Inc. 4,224 50,688 * Corinthian Colleges, Inc. 1,200 76,716 * Corixa Corp. 1,000 5,690 Corn Products International, Inc. 800 27,728 * Cornell Companies, Inc. 500 6,300 * Corning, Inc. 64,400 738,024 * Corporate Executive Board Co. 700 34,020 * Corrections Corporation of America 1,700 47,600 Corus Bankshares, Inc. 500 31,150 * Cost Plus, Inc. 600 28,062 * CoStar Group, Inc. 800 33,600 * Costco Wholesale Corp. 22,700 813,114 Countrywide Financial Corp. 9,700 1,024,320 * Covance, Inc. 3,000 78,390 * Covansys Corp. 500 4,500 * Covenant Transport, Inc. Class A 600 11,304 * Coventry Health Care, Inc. 2,800 167,720 * Cox Communications, Inc. 42,200 1,430,580 * Cox Radio, Inc. 2,200 48,730 Crane Co. 1,200 34,908 * Cray, Inc. 500 5,235 * Credence Systems Corp. 2,100 27,216 * Credit Acceptance Corp. 1,991 29,865 * Cree Research, Inc. 2,200 40,414 Crompton Corp. 628 3,799 * Cross (A.T.) Co. Class A 100 653 * Cross Country Healthcare, Inc. 1,200 17,880 Cross Timbers Royalty Trust 75 2,014 * Crown Castle International Corp. 11,300 140,233 * Crown Holdings, Inc. 5,700 42,750 * Crown Media Holdings, Inc. 3,200 28,192 * Cryolife, Inc. 500 2,680 * CSG Systems International, Inc. 2,500 28,975 * CSK Auto Corp. 1,700 31,008 CSS Industries, Inc. 150 4,456 CSX Corp. 6,000 203,340 CTS Corp. 500 6,130 Cubic Corp. 700 20,706 * Cubist Pharmaceuticals, Inc. 500 6,210 Cullen Frost Bankers, Inc. 800 32,144 * Culp, Inc. 400 4,504 Cummins, Inc. 1,000 46,450 * Cumulus Media, Inc. Class A 2,600 49,660 * CUNO, Inc. 900 38,349 * CuraGen Corp. 1,300 8,190 * Curative Health Services Inc 800 10,384 Curtiss-Wright Corp. 100 8,191 * CV Therapeutics, Inc. 1,000 17,970 CVB Financial Corp. 625 12,794 CVS Corp. 17,100 640,566 * Cyberonics, Inc. 100 2,749 * Cybersource Corp. 500 2,485 * Cymer, Inc. 1,400 64,918 * Cypress Semiconductor Corp. 4,600 102,948 * Cytec Industries, Inc. 2,400 87,000 * Cytyc Corp. 2,400 30,936 D & K Healthcare Resources, Inc. 500 $ 6,760 * Daktronics, Inc. 700 12,993 Dana Corp. 7,000 113,190 Danaher Corp. 11,300 940,160 Darden Restaurants, Inc. 7,800 161,538 Datascope Corp. 1,300 45,214 * DaVita, Inc. 2,200 83,996 * Dean Foods Co. 9,750 319,897 Deb Shops, Inc. 500 9,910 * Deckers Outdoor Corp. 100 1,680 Deere & Co. 4,600 281,658 * Del Laboratories, Inc. 115 2,789 * Del Monte Foods Co. 5,600 53,592 * Dell, Inc. 53,800 1,856,100 Delphi Automotive Systems Corp. 5,800 50,924 Delphi Financial Group, Inc. Class A 1,200 63,720 Delta Air Lines, Inc. 4,500 56,430 Delta and Pine Land Co. 800 20,200 * Delta Financial Corp. 600 4,296 Deltic Timber Corp. 500 14,160 Deluxe Corp. 500 20,600 * Denbury Resources, Inc. 2,900 36,656 * Dendreon Corp. 600 4,752 * Dendrite International, Inc. 700 11,970 Dentsply International, Inc. 4,050 182,371 * Department 56, Inc. 500 7,065 Devon Energy Corp. 2,898 143,045 * DeVry, Inc. 2,000 54,780 * DHB Industries, Inc. 800 6,016 Diagnostic Products Corp. 1,400 63,322 Dial Corp. 2,600 67,288 Diamond Offshore Drilling, Inc. 1,700 29,835 * DiamondCluster International, Inc. 1,000 9,460 Diebold, Inc. 1,700 90,185 * Digi International, Inc. 100 857 * Digimarc Corp. 500 7,055 * Digital Angel Corp. 300 675 * Digital Generation Systems, Inc. 1,400 2,618 * Digital Impact, Inc. 300 846 * Digital Insight Corp. 700 16,639 * Digital River, Inc. 500 11,505 * Digitas, Inc. 1,400 12,194 Dillards, Inc. Class A 3,000 50,550 Dime Community Bancorp, Inc. 500 15,375 * Dionex Corp. 500 23,490 * Discovery Partners International 100 577 Disney (Walt) Co. 84,700 1,955,723 * Ditech Communications Corp. 1,000 17,550 * Diversa Corp. 1,400 11,760 * Dixie Group, Inc. 100 810 * DJ Orthopedics, Inc. 900 23,355 * Documentum, Inc. 1,600 48,000 Dollar General Corp. 11,100 234,432 * Dollar Thrifty Automotive Group, Inc. 1,100 27,775 * Dollar Tree Stores, Inc. 3,700 117,475 Dominion Resources, Inc. 4,900 295,323 Donaldson Co., Inc. 2,000 117,060 Donnelley (R.R.) & Sons Co. 1,500 42,090 * DoubleClick, Inc. 5,000 47,750 Dover Corp. 5,600 214,984 Dover Motorsports, Inc. 200 836
94
SHARES VALUE+ -------------- ----------------- Dow Chemical Co. 10,800 $ 405,540 Dow Jones & Co., Inc. 1,100 54,560 Downey Financial Corp. 1,700 82,110 DPL, Inc. 500 9,670 * Drew Industries, Inc. 100 2,694 Dreyer's Grand Ice Cream Holdings, Inc. Class A 1,800 139,410 * Dril-Quip, Inc. 800 11,960 * DRS Technologies, Inc. 1,000 26,500 * Drugstore.com, Inc. 1,400 9,324 * DSP Group, Inc. 1,100 26,499 * DST Systems, Inc. 4,300 160,476 * Duane Reade, Inc. 1,000 13,880 * Ducommun, Inc. 300 6,681 Duke Energy Corp. 8,900 160,556 DuPont (E.I.) de Nemours & Co., Inc. 13,900 576,294 * DuPont Photomasks, Inc. 800 18,576 Duquesne Light Holdings, Inc. 3,900 67,353 * Dura Automotive Systems, Inc. 800 8,248 * Duratek, Inc. 100 1,004 * Durect Corp. 1,200 2,700 * DUSA Pharmaceuticals, Inc. 600 3,222 * Dycom Industries, Inc. 2,033 51,537 * Dynacq Healthcare, Inc. 500 9,229 * Dynamex, Inc. 500 5,150 * Dynamics Research Corp. 500 8,074 * Dynegy, Inc. 16,800 67,200 * E Trade Group, Inc. 9,500 102,885 * E-Loan, Inc. 2,600 8,112 * E.piphany, Inc. 1,900 15,010 E.W. Scripps Co. 2,900 266,974 * EarthLink, Inc. 6,900 66,240 East West Bancorp, Inc. 800 41,904 Eastman Chemical Co. 500 17,835 Eastman Kodak Co. 6,100 148,596 Eaton Corp. 1,200 123,588 Eaton Vance Corp. 1,800 65,430 * eBay, Inc. 16,400 915,940 * Echelon Corp. 1,000 12,050 * Echostar Communications Corp. Class A 8,800 303,424 Ecolab, Inc. 14,600 382,812 * Eden Bioscience Corp. 100 155 * Edge Petroleum Corp. 100 794 * Edison International 22,500 459,450 Edo Corp. 1,000 20,800 * Education Management Corp. 1,100 74,360 * eFunds Corp. 1,900 32,965 * EGL, Inc. 1,900 34,903 El Paso Corp. 8,000 56,800 * El Paso Electric Co. 2,600 33,020 * Electro Rent Corp. 800 11,120 * Electro Scientific Industries, Inc. 700 16,835 * Electronic Arts, Inc. 6,000 265,380 Electronic Data Systems Corp. 10,400 224,848 * Electronics Boutique Holdings Corp. 1,100 26,774 * Electronics for Imaging, Inc. 2,100 57,960 * Elizabeth Arden, Inc. 700 14,217 ElkCorp 1,300 33,046 * Embarcadero Technologies, Inc 500 7,215 * Embrex, Inc. 500 6,365 * EMC Corp. 77,332 $ 1,062,542 * Emcor Group, Inc. 600 24,660 * EMCORE Corp. 250 1,270 Emerson Electric Co. 7,000 427,280 * Emisphere Technologies, Inc. 700 4,200 * Emmis Communications Corp. Class A 2,300 52,118 * EMS Technologies, Inc. 200 4,250 * Emulex Corp. 3,100 91,450 * Encore Acquisition Co. 1,400 30,184 * Encore Wire Corp. 1,000 16,940 * Encysive Pharmaceuticals, Inc. 600 4,494 * Endologix, Inc. 500 1,900 Energen Corp. 500 19,470 * Energy Conversion Devices, Inc. 500 4,300 Energy East Corp. 1,000 23,010 * Energy Partners, Ltd. 1,800 21,870 * Enesco Group, Inc. 500 5,415 Engelhard Corp. 1,500 44,730 Engineered Support Systems, Inc. 1,350 71,550 * EnPro Industries, Inc. 1,000 9,910 ENSCO International, Inc. 10,291 260,362 * Entegris, Inc. 2,100 26,964 * Entercom Communications Corp. 2,000 92,400 Entergy Corp. 3,900 206,154 * Enterrasys Networks, Inc. 7,900 33,891 * Entravision Communications Corp. 2,600 23,608 * Entrust, Inc. 1,800 7,686 * Enzo Biochem, Inc. 530 9,778 EOG Resources, Inc. 7,900 331,326 * Eon Labs, Inc. 1,400 74,242 * EPIQ Systems, Inc. 500 8,725 Equifax, Inc. 6,700 158,321 Equitable Resources, Inc. 1,200 49,440 * Equity Marketing, Inc. 100 1,371 * Equity Oil Co. 100 348 * eResearch Technology, Inc. 1,500 42,750 Erie Indemnity Co. 800 32,120 * Esco Technologies, Inc. 600 25,500 * eSpeed, Inc. 500 11,790 * Esperion Therapeutics, Inc. 500 11,495 * ESS Technology, Inc. 1,500 25,020 Estee Lauder Companies, Inc. 7,400 281,200 * Esterline Technologies Corp. 1,000 23,180 Ethan Allen Interiors, Inc. 1,700 69,190 * Ethyl Corp. 800 16,320 * Euronet Worldwide, Inc. 500 8,415 * Evergreen Resources, Inc. 1,800 50,454 * Exact Sciences Corp. 500 5,200 * Exar Corp. 1,700 32,963 * Excel Technology, Inc. 600 18,900 * Exelixis, Inc. 2,100 14,133 Exelon Corp. 5,900 364,738 Expeditors International of Washington 4,500 175,680 * Express Scripts, Inc. Class A 2,300 148,879 Extended Stay America, Inc. 5,000 74,000 * Extreme Networks, Inc. 3,400 33,354 * Exult, Inc. 1,700 12,223 Exxon Mobil Corp. 110,800 4,007,636 F.N.B. Corp. 525 17,419
95
SHARES VALUE+ -------------- ----------------- * F5 Networks, Inc. 500 $ 12,910 Factset Research Systems, Inc. 1,200 49,740 Fair, Isaac & Co., Inc. 2,757 152,076 * Fairchild Corp. Class A 100 510 * Fairchild Semiconductor Corp. Class A 5,134 133,484 * FalconStor Software, Inc. 500 3,975 Family Dollar Stores, Inc. 6,200 239,196 * Fargo Electronics 500 7,110 Fastenal Co. 2,800 139,104 Federated Department Stores, Inc. 8,600 422,174 FedEx Corp. 16,900 1,228,630 * FEI Co. 100 2,401 Fidelity Bankshares, Inc. 500 13,875 Fidelity National Financial, Inc. 3,680 130,014 Fifth Third Bancorp 8,100 470,853 * Filenet Corp. 1,300 34,047 * Financial Federal Corp. 1,000 32,890 * Finisar Corp. 7,400 29,600 * Finish Line, Inc. Class A 600 18,366 First American Financial Corp. 2,500 74,000 * First Cash Financial Services, Inc. 500 13,280 First Charter Corp. 500 10,180 First Citizens Bancshares, Inc. 100 11,039 First Commonwealth Financial Corp. 600 8,730 * First Consulting Group, Inc. 700 3,689 First Data Corp. 26,400 999,240 First Financial Holdings, Inc. 500 15,750 * First Health Group Corp. 100 2,050 * First Horizon Pharmaceutical Corp. 1,500 17,100 First Midwest Bancorp, Inc. 800 25,776 First Niagara Financial Group, Inc. 1,258 19,109 First Republic Bank 700 26,075 First State Bancorporation 100 3,449 First Tennessee National Corp. 1,600 71,360 First Years, Inc. 100 1,376 FirstEnergy Corp. 5,000 173,250 * FirstFed Financial Corp. 1,200 56,400 * Fiserv, Inc. 6,000 225,000 * Fisher Scientific International, Inc. 700 28,189 Flagstar Bancorp, Inc. 1,800 39,834 * Flanders Corp. 700 3,913 FleetBoston Financial Corp. 6,800 276,080 * Fleetwood Enterprises, Inc. 1,600 16,272 * Flir Systems, Inc. 1,000 34,460 Florida East Coast Industries, Inc. 600 18,300 Florida Rock Industries, Inc. 800 46,000 Flowers Foods, Inc. 1,575 41,108 * Flowserve Corp. 3,300 70,224 * FMC Corp. 2,400 71,856 * FMC Technologies, Inc. 2,591 55,136 Foot Locker, Inc. 6,400 141,440 Ford Motor Co. 17,360 229,152 Forest City Enterprises, Inc. Class A 300 14,076 Forest City Enterprises, Inc. Class B 150 7,088 * Forest Laboratories, Inc. 12,700 693,928 * Forest Oil Corp. 3,300 82,665 * Forrester Research, Inc. 700 12,852 Fortune Brands, Inc. 2,400 163,968 * Forward Air Corp., Inc. 600 17,064 * Fossil, Inc. 2,300 67,045 * Foster (L.B.) Co. Class A 100 $ 600 * Foundry Networks, Inc. 2,500 65,900 * Fox Entertainment Group, Inc. Class A 20,900 596,695 * FPIC Insurance Group, Inc. 300 6,270 FPL Group, Inc. 3,200 203,360 Franklin Resources, Inc. 17,400 832,242 Fred's, Inc. 1,575 52,526 * FreeMarkets, Inc. 600 3,618 Freeport McMoran Copper & Gold, Inc. Class B 4,700 204,591 Fremont General Corp. 2,100 36,708 Friedman, Billings, Ramsey Group, Inc. 2,300 49,105 Friedmans, Inc. Class A 550 3,757 * Frontier Airlines, Inc. 1,300 21,034 Frontier Oil Corp. 800 13,840 * FSI International, Inc. 1,600 10,528 * FTD, Inc. 296 7,288 * FTI Consulting, Inc. 725 15,928 * FuelCell Energy, Inc. 1,100 14,806 Fuller (H.B.) Co. 1,000 26,670 Fulton Financial Corp. 1,155 25,052 Furniture Brands International, Inc. 3,200 84,160 G & K Services, Inc. Class A 1,200 43,464 Gallagher (Arthur J.) & Co. 400 12,520 * Galyan's Trading Co. 500 6,675 * GameStop Corp. 1,200 19,380 Gannett Co., Inc. 10,900 943,940 Gap, Inc. 40,700 875,050 * Gardner Denver Machinery, Inc. 1,100 25,652 * Gartner Group, Inc. 1,100 14,212 * Gateway, Inc. 12,600 56,196 * Gaylord Entertainment Co. 1,437 43,239 Gencorp, Inc. 600 6,006 * Gene Logic, Inc. 500 2,435 * Genecor International, Inc. 1,400 22,148 * Genentech, Inc. 17,700 1,492,110 * General Cable Corp. 1,300 10,959 * General Communications, Inc. Class A 2,400 21,000 General Dynamics Corp. 4,300 347,741 General Electric Co. 131,300 3,764,371 General Mills, Inc. 7,200 324,072 General Motors Corp. 10,700 457,746 * Genesco, Inc. 1,000 16,200 * Genesee & Wyoming, Inc. 500 12,630 * Genesis Health 1,900 59,679 * Genesis Microchip, Inc. 1,000 18,450 * Genlyte Group, Inc. 800 42,288 * Genta, Inc. 100 1,005 Gentex Corp. 3,100 130,634 Genuine Parts Co. 2,300 72,404 * Genus, Inc. 100 710 * Genzyme Corp. 10,600 495,444 Georgia Gulf Corp. 1,000 28,480 Georgia-Pacific Corp. 2,500 68,225 * Gerber Scientific, Inc. 300 2,493 * Getty Images, Inc. 1,900 82,460 Getty Realty Corp. (Holding Co.) 100 2,503 * Giant Industries, Inc. 500 6,100
96
SHARES VALUE+ -------------- ----------------- Gibraltar Steel Corp. 100 $ 2,438 * Gilead Sciences, Inc. 5,500 322,740 Gillette Co. 17,700 597,021 * Glenayre Technologies, Inc. 500 1,495 * Global Imaging Systems, Inc. 1,100 32,241 * Global Power Equipment Group, Inc. 2,200 13,838 GlobalSantaFe Corp. 1,995 42,893 * GlobespanVirata, Inc. 4,600 28,244 * Glowpoint, Inc. 400 744 Gold Banc Corp. 1,200 15,840 Golden West Financial Corp. 10,700 1,079,630 * Good Guys, Inc. 100 204 Goodrich (B.F.) Co. 1,500 41,265 * Goodyear Tire & Rubber Co. 12,700 85,725 Goody's Family Clothing, Inc. 100 1,062 * GP Strategies Corp. 100 735 Graco, Inc. 1,550 59,753 * Graftech International, Ltd. 1,900 22,496 Grainger (W.W.), Inc. 1,600 74,016 Granite Construction, Inc. 500 11,025 * Graphic Packaging Corp. 1,300 4,602 Gray Television, Inc. 1,000 12,960 * Great American Financial Resources, Inc. 500 7,575 * Great Atlantic & Pacific Tea Co., Inc. 1,300 9,880 Great Lakes Chemical Corp. 1,500 34,065 Great Plains Energy, Inc. 1,100 34,903 Greater Bay Bancorp 500 13,000 Greenpoint Financial Corp. 750 25,485 * Grey Wolf, Inc. 9,500 32,205 * Griffon Corp. 1,600 31,232 * Group 1 Automotive, Inc. 1,100 38,170 * Grubb & Ellis Co. 100 93 * GSI Commerce, Inc. 800 7,840 * GTC Biotherapeutics, Inc. 700 1,932 Gtech Holdings, Inc. 1,300 64,688 * GTSI Corp. 300 3,615 * Guess, Inc. 2,000 28,400 Guidant Corp. 16,400 931,028 * Guilford Pharmaceuticals, Inc. 1,000 6,830 * Guitar Center, Inc. 300 8,721 * Gulf Island Fabrication, Inc. 700 12,460 * Gundle/SLT Environmental, Inc. 100 1,935 * Gymboree Corp. 700 11,907 * Haemonetics Corp. 1,100 25,124 * Hain Celestial Group, Inc. 1,200 27,684 Halliburton Co. 8,400 196,140 Hancock Fabrics, Inc. 500 7,100 Handleman Co. 800 14,080 * Hanger Orthopedic Group, Inc. 1,200 20,280 * Hanover Compressor Co. 3,100 29,512 Harbor Florida Bancshares, Inc. 500 15,175 Harland (John H.) Co. 500 13,700 Harley-Davidson, Inc. 19,200 905,664 Harleysville Group, Inc. 100 1,960 Harleysville National Corp. 625 19,238 Harman International Industries, Inc. 2,300 313,421 * Harmonic, Inc. 1,100 9,559 Harrahs Entertainment, Inc. 4,200 201,054 Harris Corp. 1,800 69,786 * Harris Interactive, Inc. 900 6,210 Harsco Corp. 1,000 $ 39,660 Harte-Hanks, Inc. 4,100 88,273 Hartford Financial Services Group, Inc. 6,300 346,500 * Harvard Bioscience, Inc. 600 4,320 * Harvest Natural Resources, Inc. 1,500 11,115 Hasbro, Inc. 9,900 218,889 Hawaiian Electric Industries, Inc. 500 23,045 * Hawk Corp. 100 341 * Hawthorne Financial Corp. 750 20,213 HCA, Inc. 34,100 1,429,131 HCC Insurance Holdings, Inc. 2,900 90,219 * Headwaters, Inc. 1,200 22,896 Health Management Associates, Inc. 13,300 341,810 * Health Net Inc 6,400 209,280 * HealthExtras, Inc. 500 6,300 * Hearst-Argyle Television, Inc. 2,700 66,285 Heartland Express, Inc. 2,046 49,656 * Hecla Mining Co. 1,500 11,130 Heico Corp. 400 7,388 * Heidrick & Struggles International, Inc. 800 19,240 Heinz (H.J.) Co. 1,500 54,150 Helix Technology Corp. 500 10,850 Helmerich & Payne, Inc. 1,800 43,380 Henry Jack & Associates, Inc. 2,400 49,728 * Hercules, Inc. 4,300 43,172 * Herley Industries, Inc. 600 11,592 Herman Miller, Inc. 3,200 83,360 Hershey Foods Corp. 1,900 147,630 Hewlett-Packard Co. 66,200 1,435,878 * Hexcel Corp. 500 3,470 * Hibbett Sporting Goods, Inc. 750 23,265 Hibernia Corp. 2,100 47,985 Hilb Rogal Hamilton Co. 700 20,370 Hillenbrand Indutries, Inc. 1,300 74,620 Hilton Hotels Corp. 19,700 322,292 * Hines Horticulture, Inc. 100 413 Hollinger International, Inc. Class A 1,200 19,092 Holly Corp. 500 13,280 * Hollywood Entertainment Corp. 1,200 16,392 * Hologic, Inc. 1,100 16,544 Home Depot, Inc. 76,000 2,793,760 Honeywell International, Inc. 18,700 555,203 Hooper Holmes, Inc. 2,600 15,938 Horace Mann Educators Corp. 500 6,755 * Horizon Offshore, Inc. 300 1,344 * Horizon Organic Holding Corp. 600 14,364 Hormel Foods Corp. 2,000 53,620 Horton (D.R.), Inc. 6,945 303,497 * Hot Topic, Inc. 1,125 33,525 * Houston Exploration Co. 1,500 51,165 * Hovnanian Enterprises, Inc. Class A 1,300 119,925 Hubbell, Inc. 1,000 44,000 Hudson City Bancorp, Inc. 2,300 83,099 * Hudson Highland Group, Inc. 210 4,238 Hudson River Bancorp, Inc. 500 17,380 Hudson United Bancorp 500 18,420 * Huffy Corp. 600 4,098 Hughes Supply, Inc. 100 4,570 * Human Genome Sciences, Inc. 7,500 96,000
97
SHARES VALUE+ -------------- ----------------- * Humana, Inc. 10,800 $ 241,164 Humboldt Bancorp 500 8,735 * Hunt (J.B.) Transport Services, Inc. 3,300 86,328 Huntington Bancshares, Inc. 2,700 59,373 * Hutchinson Technology, Inc. 1,200 39,084 * Hydril Co. 800 19,096 * Hypercom Corp. 1,200 6,108 * Hyperion Solutions Corp 1,300 43,134 * I-Stat Corp. 500 6,300 * ICOS Corp. 1,000 45,200 * ICT Group, Inc. 500 6,730 * ICU Medical, Inc. 550 18,750 * Identix, Inc. 2,700 13,986 Idex Corp. 1,000 39,480 * IDEXX Laboratories, Inc. 1,200 56,820 * iDine Rewards Network, Inc. 600 6,540 * IDT Corp. 900 16,920 * IDX Systems Corp. 700 17,920 * iGate Capital Corp. 1,400 8,904 * IGEN, Inc. 600 35,454 IHOP Corp. 600 23,400 * II-VI, Inc. 700 15,932 Ikon Office Solutions, Inc. 1,000 8,470 * ILEX Oncology, Inc. 500 10,435 Illinois Tool Works, Inc. 7,600 593,560 * Illumina, Inc. 200 1,372 * Image Entertainment, Inc. 100 490 Imation Corp. 1,200 40,740 IMC Global, Inc. 1,800 13,086 * Imclone Systems, Inc. 1,200 47,160 * IMCO Recycling, Inc. 500 3,775 * Immucor, Inc. 750 17,325 * ImmunoGen, Inc. 1,000 4,730 * Immunomedics, Inc. 700 2,702 * Impath, Inc. 1,000 3,050 * Impax Laboratoroes, Inc. 600 8,460 * Impco Technologies, Inc. 500 3,275 * Imperial Sugar Co. 100 1,109 IMS Health, Inc. 10,100 232,603 * Incyte Genomics, Inc. 2,888 17,472 Independence Community Bank Corp. 600 22,188 Independent Bank Corp. MA 500 14,625 * Indevus Pharmaceuticals, Inc. 700 3,976 IndyMac Bancorp, Inc. 2,700 79,920 * Inet Technologies, Inc. 1,300 16,692 * Infinity, Inc. 200 750 * InFocus Corp. 1,800 14,256 * Infonet Services Corp. 8,500 16,150 * Informatica Corp. 2,300 25,944 * Information Holdings, Inc. 1,400 31,150 * Inforte Corp. 300 2,580 * InfoSpace, Inc. 1,000 26,250 * infoUSA, Inc. 1,300 11,050 Ingersoll-Rand Co., Ltd. Class A 2,300 143,382 * Ingram Micro, Inc. 7,700 112,266 * Input/Output, Inc. 1,900 7,429 * Insight Communications Co., Inc. 2,100 20,454 * Insight Enterprises, Inc. 1,900 35,530 * Insituform Technologies, Inc. Class A 1,400 21,070 * Insmed, Inc. 500 1,480 * Inspire Pharmaceuticals, Inc. 600 10,380 * Insurance Auto Auctions, Inc. 500 $ 6,350 * Integra Lifesciences Corp. 1,200 37,668 * Integrated Circuit Systems, Inc. 1,300 38,675 * Integrated Device Technology, Inc. 4,100 77,285 * Integrated Electrical Services, Inc. 1,200 9,408 * Integrated Silicon Solution, Inc. 700 13,090 Intel Corp. 295,600 9,881,908 * Intellidata Technologies Corp. 500 825 Inter Parfums, Inc. 100 2,034 * Interactive Data Corp. 5,400 90,990 * InterActiveCorp 43,635 1,433,410 * InterCept Group, Inc. 900 9,513 * Interdigital Communications Corp. 900 18,432 * Interface, Inc. Class A 2,400 13,656 * Intergraph Corp. 1,900 48,260 * Interland, Inc. 1,200 8,220 * Intermagnetics General Corp. 800 18,024 * InterMune, Inc. 500 10,555 International Business Machines Corp. 61,600 5,577,264 International Flavors & Fragrances, Inc. 1,600 51,952 International Game Technology 16,800 582,792 * International Multifoods Corp. 1,200 21,396 International Paper Co. 11,200 416,752 * International Rectifier Corp. 2,200 120,164 International Speedway Corp. Class A 1,700 73,066 * Internet Security Systems, Inc. 1,300 22,061 * Interpore International, Inc. 600 7,308 * Interpublic Group of Companies, Inc. 17,500 249,375 Intersil Corp. 7,000 184,870 Inter-Tel, Inc. 700 16,940 * Interwoven, Inc. 775 11,610 * Intevac, Inc. 100 1,699 * Intrado, Inc. 500 9,975 * Introgen Therapeutics, Inc. 500 3,510 * Intuit, Inc. 7,000 351,960 Invacare Corp. 2,100 81,900 * Investment Technology Group, Inc. 50 885 Investors Financial Services Corp. 4,500 165,960 * Invision Technologies, Inc. 1,100 32,802 * Invitrogen Corp. 3,100 211,327 Iomega Corp. 1,300 7,137 * Ionics, Inc. 1,200 38,580 * Iron Mountain, Inc. 4,350 160,080 Irwin Financial Corp. 700 21,182 * Isis Pharmaceuticals, Inc. 500 2,995 * Isle of Capri Casinos, Inc. 1,200 24,181 * Itron, Inc. 500 9,595 * ITT Educational Services, Inc. 700 39,221 ITT Industries, Inc. 3,600 237,312 * ITXC Corp. 200 790 * IVAX Corp. 7,700 165,165 * Ixia 1,400 17,836 * IXYS Corp. 1,100 9,240 * J & J Snack Foods Corp. 600 21,600 * J. Jill Group, Inc. 650 8,281 J. M. Smucker Co. 1,084 49,788 * j2 Global Communication, Inc. 1,000 28,420 * Jabil Circuit, Inc. 7,400 203,574
98
SHARES VALUE+ -------------- ----------------- * Jack in the Box, Inc. 1,300 $ 27,105 * Jacobs Engineering Group, Inc. 1,800 82,692 * Jacuzzi Brands, Inc. 3,500 22,575 * Jakks Pacific, Inc. 800 10,872 Janus Capital Group, Inc. 17,000 236,470 * Jarden Corp. 1,050 28,403 * JDA Software Group, Inc. 1,100 20,042 * JDS Uniphase Corp. 50,700 174,408 Jefferies Group, Inc. 3,000 93,840 Jefferson-Pilot Corp. 1,800 87,354 JLG Industries, Inc. 2,700 40,608 John Hancock Financial Services, Inc. 15,400 565,950 Johnson & Johnson 65,800 3,243,282 Johnson Controls, Inc. 3,300 361,152 * Johnson Outdoors, Inc. 100 1,445 Jones Apparel Group, Inc. 7,200 248,400 * Jones Lang LaSalle, Inc. 1,600 33,520 * Journal Register Co. 1,300 25,935 * Joy Global, Inc. 2,600 54,600 JP Morgan Chase & Co. 19,000 671,840 * Juniper Networks, Inc. 10,400 196,248 K Swiss, Inc. Class A 900 43,839 * K-V Pharmaceutical Co. Class A 750 19,575 * K2, Inc. 1,300 19,890 * Kadant, Inc. 600 10,770 Kaman Corp. Class A 500 6,435 * Kansas City Southern Industries, Inc. 3,100 41,230 Kaydon Corp. 500 12,210 KB Home Corp. 2,400 165,312 * KCS Energy, Inc. 500 4,530 * Keane, Inc. 2,500 35,250 * Keith Companies, Inc. 300 4,278 Keithley Instruments, Inc. 500 9,025 Kellogg Co. 4,800 171,696 Kellwood Co. 500 19,120 Kelly Services, Inc. 500 14,240 * Kemet Corp. 2,700 35,640 Kennametal, Inc. 500 19,220 * Kennedy-Wilson, Inc. 100 604 * Kensey Nash Corp. 600 12,618 Kerr-McGee Corp. 800 33,592 * Key Energy Group, Inc. 8,400 76,524 KeyCorp 6,400 177,856 KeySpan Corp. 2,400 84,552 * Keystone Automotive Industries, Inc. 700 17,059 * Kforce, Inc. 1,100 9,295 Kimball International, Inc. Class B 500 7,410 Kimberly Clark Corp. 2,200 119,284 Kinder Morgan, Inc. 5,700 310,650 * Kindred Healthcare, Inc. 1,000 51,590 * King Pharmaceuticals, Inc. 15,200 196,232 * Kirby Corp. 1,200 36,000 * KLA-Tencor Corp. 6,700 392,687 * Kmart Holding Corp. 4,500 137,025 Knight Ridder, Inc. 1,800 133,884 * Knight Trading Group, Inc. 1,800 25,974 * Knight Transportation, Inc. 1,150 27,865 * Kohls Corp. 9,700 468,704 * Komag Inc 500 8,245 * Kopin Corp. 2,000 14,160 * Korn/Ferry International 1,500 $ 15,045 * Kos Pharmaceuticals, Inc. 600 26,700 * Kosan Biosciences, Inc. 500 4,755 Kraft Foods, Inc. 11,200 354,704 * Krispy Kreme Doughnuts, Inc. 1,100 45,507 * Kroger Co. 36,900 695,934 * Kroll, Inc. 2,100 50,295 * Kronos, Inc. 750 29,378 * Kulicke & Soffa Industries, Inc. 1,300 21,424 * L-3 Communications Holdings, Inc. 4,400 207,020 * La Jolla Pharmceutical Co. 128 371 La-Z-Boy, Inc. 600 12,120 * LabOne, Inc. 700 20,293 * Labor Ready, Inc. 1,200 13,680 * Laboratory Corp. of America Holdings, Inc. 8,600 310,632 Laclede Group, Inc. 300 8,775 Ladish Co., Inc. 700 5,747 LaFarge North America, Inc. 1,100 41,910 * Lam Research Corp. 5,900 188,800 * Lamar Advertising Co. 4,500 158,400 * Lamson & Sessions Co. 1,500 8,775 Lancaster Colony Corp. 500 20,875 * Lancer Corp. 100 549 Landamerica Financial Group, Inc. 1,100 56,540 * Landec Corp. 900 5,850 Landry's Restaurants, Inc. 1,100 26,972 * Landstar Systems, Inc. 400 14,400 * Lannet Co., Inc. 750 13,440 * Lattice Semiconductor Corp. 3,400 32,198 * Lawson Software, Inc. 2,802 23,649 * LCA-Vision, Inc. 500 8,390 * LCC International, Inc. Class A 500 2,455 * Lear Corp. 4,500 266,130 * Learning Tree International, Inc. 600 10,422 * Leather Factory, Inc. 100 403 * Lecroy Corp. 500 8,350 Lee Enterprises, Inc. 500 21,510 Legg Mason, Inc. 1,500 119,565 Leggett and Platt, Inc. 3,000 61,020 Lehman Brothers Holdings, Inc. 12,195 880,601 Lennar Corp. A Shares 3,800 372,020 Lennar Corp. B Shares 280 26,107 Lennox International, Inc. 500 8,500 * Level 3 Communications, Inc. 13,400 73,432 * Lexar Media, Inc. 2,000 42,720 * Lexicon Genetics, Inc. 1,900 9,975 * Lexmark International Group, Inc. 2,500 193,500 Libbey, Inc. 600 17,586 * Liberty Media Corp. 168,825 1,865,516 * Liberty Media Corp. 1,900 21,337 * Lifecore Biomedical, Inc. 500 3,350 * Ligand Pharmaceuticals, Inc. Class B 700 9,366 * Lightbridge, Inc. 1,000 9,630 Lilly (Eli) & Co. 17,900 1,227,224 Limited Brands, Inc. 7,160 128,307 * Lin TV Corp. 1,400 31,430 * Lincare Holdings, Inc. 4,200 125,286 Lincoln Electric Holdings 500 12,660 Lincoln National Corp. 1,100 43,131
99
SHARES VALUE+ -------------- ----------------- Lindsay Manufacturer Co. 1,000 $ 24,370 Linear Technology Corp. 10,400 448,656 * Linens 'n Things, Inc. 1,800 52,938 * Lipid Sciences, Inc. 100 248 Lithia Motors, Inc. Class A 500 12,410 * Littlefuse, Inc. 1,300 38,727 Liz Claiborne, Inc. 5,900 206,559 LNR Property Corp. 900 39,825 Lockheed Martin Corp. 16,100 739,634 Loews Corp. 6,800 289,884 * Lone Star Technologies, Inc. 1,200 16,620 Longview Fibre Co. 2,700 29,619 * LookSmart, Ltd. 500 745 * Louisiana-Pacific Corp. 5,800 104,922 Lowe's Companies, Inc. 39,000 2,273,700 LSI Industries, Inc. 625 7,781 * LSI Logic Corp. 17,000 159,290 * LTX Corp. 1,100 18,348 Lubrizol Corp. 1,500 45,195 * Lucent Technologies, Inc. 155,700 498,240 * Luminex Corp. 500 5,275 * Lydall, Inc. 500 6,120 * M & F Worldwide Corp. 200 2,770 M & T Bank Corp. 5,700 535,059 M/I Schottenstein Homes, Inc. 1,300 49,855 MacDermid, Inc. 1,600 52,480 * Macromedia, Inc. 1,600 32,816 * Macrovision Corp. 1,600 36,640 * Madden (Steven), Ltd. 600 12,828 MAF Bancorp, Inc. 500 21,955 * Magna Entertainment Corp. 300 1,410 * Magnetek, Inc. 700 4,515 * Magnum Hunter Resources, Inc. 3,100 27,869 * Mail-Well, Inc. 1,300 4,914 * MAIR Holdings, Inc. 300 2,283 * Management Network Group, Inc. 100 323 Mandalay Resort Group 2,500 107,375 * Manhattan Associates, Inc. 600 18,258 Manitowoc Co., Inc. 700 18,900 Manor Care, Inc. 4,000 141,280 Manpower, Inc. 3,700 173,678 * Manufacturers' Services Ltd. 1,000 6,100 * Manugistic Group, Inc. 1,800 11,988 * Mapinfo Corp. 200 1,770 Marathon Oil Corp. 5,300 156,933 Marcantile Bankshares Corp. 1,100 48,895 * MarineMax, Inc. 500 9,500 * Markel Corp. 400 102,900 * MarketWatch.com, Inc. 500 4,430 * MarkWest Hydrocarbon, Inc. 110 1,265 Marriott International, Inc. Class A 13,900 637,037 Marsh & McLennan Co., Inc. 7,900 351,076 Marshall & Isley Corp. 3,500 129,850 * Martek Biosciences Corp. 600 36,444 * Martha Stewart Living Omnimedia, Ltd. 800 7,824 Martin Marietta Materials, Inc. 500 21,285 * Marvel Enterprises, Inc. 2,100 60,396 Masco Corp. 10,200 277,440 Massey Energy Co. 900 12,510 * Mastec, Inc. 2,100 27,888 * Material Sciences Corp. 800 $ 7,592 * Matria Healthcare, Inc. 300 6,129 * Matrix Service Co. 1,000 15,950 * MatrixOne, Inc. 1,600 9,520 * Matrixx Initiatives, Inc. 500 8,425 * Mattel, Inc. 28,600 578,864 Matthews International Corp. Class A 1,600 45,552 * Mattson Technology, Inc. 1,400 21,490 * Maui Land & Pineapple Company, Inc. 100 3,130 * Maverick Tube Corp. 2,100 38,808 Maxim Integrated Products, Inc. 10,800 562,464 * Maxim Pharmaceuticals, Inc. 900 6,408 * Maximus, Inc. 1,000 37,900 * Maxtor Corp. 8,300 92,628 * Maxwell Shoe Company, Inc. 600 10,554 * Maxwell Technologies, Inc. 500 4,025 * Maxygen, Inc. 1,300 14,105 May Department Stores Co. 2,200 65,230 Maytag Corp. 700 18,508 MB Financial, Inc. 700 36,372 MBIA, Inc. 7,100 412,652 MBNA Corp. 25,950 636,294 McClatchey Newspapers, Inc. Class A 1,100 73,040 McCormick & Co., Inc. 2,000 57,380 * McDATA Corp. 2,500 26,600 McDonalds Corp. 39,700 1,017,511 McGraw-Hill Companies, Inc. 3,300 226,050 McKesson Corp. 14,800 432,160 * McMoran Exploration Co. 100 1,796 MDC Holdings, Inc. 1,380 95,717 MDU Resources Group, Inc. 1,800 42,624 MeadWestavco Corp. 2,600 66,352 * Medarex, Inc. 2,900 19,720 * MedCath Corp. 500 4,745 * Medco Health Solutions, Inc. 4,631 168,707 * Media Arts Group, Inc. 100 394 Media General, Inc. Class A 900 60,201 * Mediacom Communications Corp. 2,000 15,420 * Medical Action Industries, Inc. 500 8,300 * Medical Staffing Network Holdings, Inc. 1,400 13,650 Medicis Pharmaceutical Corp. Class A 1,300 85,644 * Medimmune, Inc. 3,773 89,797 * Medquist, Inc. 1,600 24,624 * MedSource Technologies, Inc. 200 924 Medtronic, Inc. 65,400 2,956,080 Mellon Financial Corp. 2,600 74,880 * MEMC Electronic Materials, Inc. 3,500 38,010 * Mens Warehouse, Inc. 1,800 55,314 Mentor Corp. 1,400 30,870 * Mentor Graphics Corp. 1,300 19,045 Merck & Co., Inc. 26,700 1,084,020 * Mercury Computer Systems, Inc. 500 11,975 Mercury General Corp. 1,000 47,580 * Mercury Interactive Corp. 1,700 79,560 Meredith Corp. 2,200 105,358 * Meridian Resource Corp. 2,100 9,576
100
SHARES VALUE+ -------------- ----------------- * Merit Medical Systems, Inc. 833 $ 26,073 * Meritage Corp. 500 31,575 * Merix Corp. 500 10,440 Merrill Lynch & Co., Inc. 23,800 1,350,650 * Mesa Air Group, Inc. 800 9,640 * Mestek, Inc. 100 1,880 MetLife, Inc. 48,200 1,575,658 Metris Companies, Inc. 2,700 12,042 * Metro One Telecommunications, Inc. 500 970 * Metro-Goldwyn-Mayer, Inc. 13,000 214,500 MGE Energy, Inc. 500 16,005 * MGI Pharma, Inc. 600 23,022 MGIC Investment Corp. 7,000 370,650 * MGM Grand, Inc. 9,200 344,816 Michaels Stores, Inc. 2,100 99,225 * Micrel, Inc. 2,000 34,200 * Micro Linear Corp. 100 600 Microchip Technology, Inc. 7,550 259,720 * MicroFinancial, Inc. 400 1,276 * Micromuse, Inc. 1,300 10,465 * Micron Technology, Inc. 34,300 446,243 * Micros Systems, Inc. 600 25,956 * Microsemi Corp. 1,000 24,230 Microsoft Corp. 420,800 10,814,560 * Microtek Medical Holdings, Inc. 1,300 5,317 * Mid Atlantic Medical Services, Inc. 1,500 92,100 * Midas, Inc. 500 7,575 Middleby Corp. 600 20,473 Midland Co. 200 4,236 Mid-State Bancshares 500 12,925 * Midway Games, Inc. 1,300 4,394 * Midwest Express Holdings, Inc. 500 2,075 * Mikohn Gaming Corp. 100 436 Millennium Chemicals, Inc. 3,600 38,952 * Millennium Pharmaceuticals, Inc. 13,800 217,626 * Miller Industries, Inc. 100 620 * Millipore Corp. 1,000 42,810 * MIM Corp. 500 3,525 Minerals Technologies, Inc. 1,300 69,485 * MKS Instruments, Inc. 2,100 58,191 * Mobile Mini, Inc. 700 13,811 Modine Manufacturing Co. 500 12,755 * Modtech Holdings, Inc. 300 2,487 * Mohawk Industries, Inc. 4,154 299,420 * Moldflow Corp. 500 5,625 * Molecular Devices Corp. 700 13,881 Molex, Inc. 5,000 160,800 * Monaco Coach Corp. 1,400 32,564 * Mondavi (Robert) Corp. Class A 400 14,000 * Monolithic System Technology, Inc. 700 5,222 Monsanto Co. 4,535 122,989 * Monster Worldwide, Inc. 3,400 81,804 * Monterey Pasta Co. 500 1,915 * Mony Group, Inc. 800 25,216 * Moog, Inc. Class A 100 4,350 Morgan Stanley Dean Witter & Co. 15,500 856,840 Motorola, Inc. 20,700 290,628 Movado Group, Inc. 1,100 29,909 * Movie Gallery, Inc. 1,350 23,882 * MPS Group, Inc. 4,100 37,720 * MRO Software, Inc. 600 8,280 * MRV Communications, Inc. 3,500 $ 14,035 MSC Industrial Direct Co., Inc. Class A 1,000 26,340 * MSC Software Corp. 900 8,865 * MTR Gaming Group, Inc. 600 6,660 MTS Systems Corp. 500 9,285 * Mueller Industries, Inc. 1,600 51,712 * Multimedia Games, Inc. 500 20,465 Murphy Oil Corp. 3,200 191,776 Myers Industries, Inc. 625 7,831 * Mykrolis Corp. 1,306 20,687 Mylan Laboratories, Inc. 13,125 332,325 * Myriad Genetics, Inc. 1,200 14,184 * Nabi Biopharmaceuticals 2,300 24,771 * Nabors Industries, Ltd. 6,500 241,280 Nacco Industries, Inc. Class A 300 23,400 * Nanometrics, Inc. 500 7,300 * Nanophase Technologies Corp. 100 536 * Nassda Corp. 500 3,525 * NATCO Group, Inc. Class A 200 1,200 * National Beverage Corp. 200 3,016 National City Corp. 9,600 322,080 National Commerce Financial Corp. 3,500 97,930 National Fuel Gas Co. 1,000 23,100 * National Healthcare Corp. 100 2,025 National Instruments Corp. 1,900 86,013 * National Oilwell, Inc. 5,600 107,744 * National Processing, Inc. 1,700 41,225 * National RV Holdings, Inc. 300 3,225 * National Semiconductor Corp. 6,400 286,208 * National Western Life Insurance Co. Class A 100 14,621 Nationwide Financial Services, Inc. 800 26,112 Nature's Sunshine Products, Inc. 100 808 * Navarre Corp. 500 3,555 * Navigant Consulting, Inc. 700 12,110 * Navigant International, Inc. 500 6,950 * Navistar International Corp. 2,600 112,060 * NBTY, Inc. 3,200 81,280 * NCI Building Systems, Inc. 800 18,632 * NCO Group, Inc. 1,200 27,720 * NCR Corp. 4,100 143,090 NDChealth Corp. 1,000 26,750 * Neiman Marcus Group, Inc. 1,300 70,070 * Nektar Therapeutics 1,700 22,406 * Neoforma, Inc. 700 11,172 * Neopharm, Inc. 701 12,576 * Neose Technologies, Inc. 500 4,215 * Net2Phone, Inc. 1,300 8,190 * Netegrity, Inc. 600 7,350 * Netflix, Inc. 500 24,500 * NetIQ Corp. 1,200 14,388 * NetRatings, Inc. 1,000 10,120 * Netscout System, Inc. 200 1,744 * NetScreen Technologies, Inc. 1,800 45,360 * Network Appliance Corp. 7,300 168,703 * Network Associates, Inc. 5,600 74,984 * Network Engines, Inc. 500 5,220 * Network Equipment Technologies, Inc. 1,000 10,400 * Neurocrine Biosciences, Inc. 500 26,415 * Neurogen Corp. 300 1,914
101
SHARES VALUE+ -------------- ----------------- New Century Financial Corp. 1,200 $ 45,660 New England Business Services, Inc. 500 15,000 * New Focus, Inc. 1,500 7,335 New Jersey Resources Corp. 500 19,200 New York Community Bancorp Inc. 3,258 126,573 New York Times Class A 3,800 174,420 Newell Rubbermaid, Inc. 3,500 80,045 * Newfield Exploration Co. 3,600 147,240 Newmont Mining Corp. 23,000 1,107,220 * Newpark Resources, Inc. 3,600 14,472 * Newport Corp. 1,400 23,842 * Nextel Communications Corp. Class A 38,100 965,073 * Nextel Partners, Inc. 4,200 49,518 * NIC, Inc. 200 1,408 * Nii Holdings, Inc. 500 37,930 Nike, Inc. Class B 6,500 437,125 NiSource, Inc. 2,300 47,725 NL Industries, Inc. 500 8,940 * NMS Communications Corp. 100 585 * Noble Corp. 6,200 214,396 Noble Energy, Inc. 3,600 142,740 Nordson Corp. 500 16,255 Nordstrom, Inc. 2,300 79,350 Norfolk Southern Corp. 10,600 226,946 * Norstan, Inc. 300 930 * North American Scientific, Inc. 600 6,000 * North Coast En 500 5,350 North Fork Bancorporation, Inc. 100 3,993 Northeast Utilities, Inc. 1,600 31,920 Northern Trust Corp. 4,300 192,855 Northrop Grumman Corp. 5,264 487,604 * Northwest Airlines Corp. 300 3,963 Northwest Bancorp, Inc. 500 10,965 * Novell, Inc. 16,000 152,000 * Novellus Systems, Inc. 8,463 370,341 * Noven Pharmaceuticals, Inc. 1,000 13,730 * Novoste Corp. 600 3,006 * NPS Pharmaceuticals, Inc. 1,200 36,216 * NS Group, Inc. 1,200 8,964 * Nu Horizons Electronics Corp. 100 802 Nucor Corp. 2,100 117,831 * Nuevo Energy Co. 1,300 25,662 NuSkin Enterprises, Inc. 500 8,685 * Nutraceutical International Corp. 500 6,475 Nuveen Investments 1,000 26,250 * Nvidia Corp. 5,800 122,670 * NVR, Inc. 300 147,300 * NYFIX, Inc. 1,000 8,330 * O'Charleys, Inc. 700 11,935 * O'Reilly Automotive, Inc. 1,900 82,688 Oakley, Inc. 2,600 34,060 Occidental Petroleum Corp. 7,600 278,768 * Oceaneering International, Inc. 1,300 28,405 OceanFirst Financial Corp. 500 13,185 * Ocular Sciences, Inc. 1,200 34,356 * Ocwen Financial Corp. 3,155 21,927 * Odyssey Healthcare, Inc. 750 26,708 Odyssey Re Holdings Corp. 4,000 91,560 * Office Depot, Inc. 15,600 247,260 * Officemax, Inc. 3,800 37,354 * Offshore Logistics, Inc. 1,400 $ 35,350 OGE Energy Corp. (Holding Co.) 200 4,764 * Ohio Casualty Corp. 3,000 51,030 * Oil States International, Inc. 2,600 32,656 * Old Dominion Freight Lines, Inc. 1,000 31,870 Old National Bancorp 630 13,671 Old Republic International Corp. 2,300 85,238 * Olympic Steel, Inc. 100 565 * OM Group, Inc. 1,500 36,315 * Omega Protein Corp. 700 4,375 Omnicare, Inc. 6,500 259,480 Omnicom Group, Inc. 4,900 390,334 * OmniVision Technologies, Inc. 500 32,580 * On Assignment, Inc. 200 1,014 * ON Semiconductor Corp. 600 3,948 Oneok, Inc. 1,000 19,810 * Onyx Pharmacueticals, Inc. 600 17,268 * OPENT Technologies, Inc. 500 8,995 * Openwave Systems Inc 1,733 20,848 * Optical Communication Products, Inc. 1,400 5,558 * Option Care, Inc. 1,000 9,940 * Oracle Systems Corp. 104,400 1,253,844 * OraSure Technologies, Inc. 100 834 * Orbital Sciences Corp. 1,800 16,506 * Oregon Steel Mills, Inc. 600 1,782 * Orleans Homebuilders, Inc. 500 14,170 * Orthodontic Centers of America, Inc. 2,400 17,016 * Orthologic Corp. 1,100 7,942 Oshkosh Truck Corp. Class B 2,200 103,180 * OSI Pharmaceutical, Inc. 1,200 35,676 * OSI Systems, Inc. 500 9,290 * Osteotech, Inc. 600 4,590 Otter Tail Co. 100 2,723 Outback Steakhouse, Inc. 2,300 102,925 Overseas Shipholding Group, Inc. 500 14,075 Owens & Minor, Inc. 1,000 21,210 * Owens-Illinois, Inc. 9,500 107,160 * Oxford Health Plans, Inc. 3,200 140,224 * P.F. Chang's China Bistro, Inc. 500 26,990 Paccar, Inc. 4,400 352,924 Pacific Capital Bancorp 500 18,475 * Pacific Sunwear of California, Inc. 2,300 52,348 * Pacificare Health Systems, Inc. 2,700 175,797 * Packaging Corp. of America 6,300 124,173 * Packaging Dynamics Corp. 140 1,519 * Packeteer, Inc. 600 11,381 * Pain Therapeutics, Inc. 300 1,830 Pall Corp. 1,600 40,992 * Palm Harbor Homes, Inc. 1,000 19,000 * Palmone Inc 1,000 14,970 * Palmsource Inc 309 7,907 * PAM Transportation Services, Inc. 600 11,730 * PanAmSat Corp. 8,100 178,929 * Panera Bread Co. 500 19,490 * Papa John's International, Inc. 600 15,834 * Parallel Petroleum Corp. 1,200 4,571 * Parametric Technology Corp. 500 1,710 * Parexel International Corp. 1,100 20,328 Park Electrochemical Corp. 500 12,775 * Park Place Entertainment Corp. 17,200 179,912 * Parker Drilling Co. 3,900 9,321
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SHARES VALUE+ -------------- ----------------- Parker-Hannifin Corp. 2,900 $ 159,471 * Parkervision, Inc. 500 5,000 * Park-Ohio Holdings Corp. 100 733 * Parlux Fragrances, Inc. 100 325 * ParthusCeva, Inc. 200 1,750 * Party City Corp. 400 5,744 * Pathmark Stores, Inc. 800 5,808 Patina Oil & Gas Corp. 1,750 78,540 * Patterson Dental Co. 1,200 81,720 * Patterson-UTI Energy, Inc. 4,100 117,793 * Paxar Corp. 1,400 18,410 * Paxson Communications Corp. 500 2,400 Paychex, Inc. 9,400 361,618 * Payless ShoeSource, Inc. 1,400 18,032 * PC Connection, Inc. 1,200 10,500 * PC-Tel, Inc. 500 4,475 * PDF Solutions, Inc. 300 3,321 * PDI, Inc. 500 14,450 Peabody Energy Corp. 1,700 57,290 * PEC Solutions, Inc. 600 10,806 * Pediatrix Medical Group, Inc. 1,300 69,758 * Peet's Coffee & Tea, Inc. 500 8,410 * Pegasus Solutions, Inc. 1,200 14,256 * Pegasystems, Inc. 1,100 8,800 * Pemstar, Inc. 300 1,128 * Penn National Gaming, Inc. 1,300 30,706 * Penn Treaty American Corp. 500 805 Penn-America Group, Inc. 500 7,305 Penney (J.C.) Co., Inc. 3,600 89,568 Pentair, Inc. 800 34,880 * Penwest Pharmaceuticals Co. 500 7,700 Peoples Bank CT 500 16,275 Peoples Energy Corp. 500 20,100 * Peoplesoft, Inc. 7,864 166,324 Pep Boys - Manny, Moe & Jack 600 12,300 Pepco Holdings, Inc. 1,100 20,196 PepsiAmericas, Inc. 10,100 158,469 Pepsico, Inc. 44,300 2,131,716 * Performance Food Group Co. 2,400 94,344 * Pericom Semiconductor Corp. 900 10,548 PerkinElmer, Inc. 1,900 32,129 * Perot Systems Corp. 4,000 49,600 Perrigo Co. 2,200 33,198 * Perry Ellis International, Inc. 600 14,557 * Per-Se Technologies, Inc. 1,000 14,050 * Petco Animal Supplies, Inc. 1,100 36,806 * Petrocorp, Inc. 100 1,354 * Petroleum Development Corp. 1,100 15,620 PetSmart, Inc. 5,300 128,048 PFF Bancorp, Inc. 840 31,416 Pfizer, Inc. 113,280 3,800,544 * PG&E Corp. (Holding Co.) 29,900 751,088 * Pharmaceutical Products Development Service Co. 1,700 50,456 * Pharmaceutical Resources, Inc. 1,200 87,096 * Pharmacopeia, Inc. 800 10,000 * Pharmacyclics, Inc. 500 3,200 * Phelps Dodge Corp. 6,100 388,448 * Philadelphia Consolidated Holding Corp. 1,400 70,882 Philadelphia Suburban Corp. 1,300 35,204 Phillips-Van Heusen Corp. 1,100 $ 19,360 * Phoenix Technologies, Ltd. 500 4,355 * Photon Dynamics, Inc. 600 24,486 * Photronics, Inc. 1,400 25,858 * Pico Holdings, Inc. 100 1,502 Piedmont Natural Gas Co. 1,000 40,980 Pier 1 Imports, Inc. 1,600 40,800 Pilgrims Pride Corp. Class B 1,100 16,445 * Pinnacle Systems, Inc. 1,500 12,510 Pinnacle West Capital Corp. 500 19,685 * Pioneer Natural Resources Co. 7,500 212,700 Pitney Bowes, Inc. 5,100 202,725 * Pixar, Inc. 1,482 103,903 * Pixelworks, Inc. 1,000 13,200 * Plains Exploration & Production Co. 980 13,730 * Plains Resources, Inc. 600 9,312 * Planar Systems, Inc. 700 16,660 * Plantronics, Inc. 600 18,384 * Plato Learning, Inc. 100 993 * Playboy Enterprises, Inc. Class B 800 12,968 * Plexus Corp. 1,700 30,175 * Plug Power, Inc. 2,700 15,633 * PLX Technology, Inc. 100 940 * PMC Sierra, Inc. 3,100 63,147 PMI Group, Inc. 6,300 234,549 PNC Financial Services Group, Inc. 4,400 239,184 PNM Resources, Inc. 500 14,005 Pogo Producing Co. 4,200 182,910 Polaris Industries, Inc. 500 43,085 Polo Ralph Lauren Corp. 2,700 80,136 * Polycom, Inc. 4,000 79,280 PolyMedica Corp. 1,400 36,288 Pomeroy IT Solutions, Inc. 100 1,461 * Possis Medical, Inc. 100 1,704 Potlatch Corp. 500 16,125 * Powell Industries, Inc. 600 10,116 * Power Intergrations, Inc. 500 18,115 * Power-One, Inc. 1,800 15,174 * Powerwave Technologies, Inc. 2,100 15,645 * Pozen, Inc. 500 5,880 PPG Industries, Inc. 2,000 116,940 PPL Corp. 2,600 106,288 * PRAECIS Pharmaceuticals, Inc. 2,300 17,480 Praxair, Inc. 6,000 430,680 Precision Castparts Corp. 3,600 145,872 * Premcor, Inc. 4,600 106,950 * Pre-Paid Legal Services, Inc. 700 18,627 * Presstek, Inc. 1,300 10,465 * PRG-Schultz International, Inc. 800 3,960 * Price Communications Corp. 2,100 26,985 * Pride International, Inc. 8,400 133,980 * Prima Energy Corp. 700 20,720 * Prime Hospitality Corp. 1,900 20,938 * Prime Medical Services, Inc. 100 507 * PRIMEDIA, Inc. 5,700 16,530 Principal Financial Group, Inc. 17,000 562,870 * Priority Healthcare Corp. 1,100 25,223 * Proassurance Corp. 1,900 58,710 Procter & Gamble Co. 25,100 2,415,624 * Progenics Pharmaceuticals, Inc. 500 8,770 Progress Energy, Inc. 3,700 162,134
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SHARES VALUE+ -------------- ----------------- * Progress Software Corp. 600 $ 12,576 Progressive Corp. 14,700 1,148,070 Prosperity Bancshares, Inc. 300 6,498 * Protection One, Inc. 2,300 1,035 Protective Life Corp. 1,100 36,135 * Protein Design Labs, Inc. 5,000 69,300 Proton Energy Systems, Inc. 700 1,834 Provident Financial Group, Inc. 500 15,480 * Providian Financial Corp. 19,600 221,480 * Province Healthcare Co. 2,100 32,193 Prudential Financial, Inc. 29,600 1,157,656 * PSS World Medical, Inc. 2,300 23,575 * Psychiatric Solutions, Inc. 500 7,610 * PTEK Holdings, Inc. 1,400 12,208 Public Service Enterprise Group, Inc. 4,000 164,080 Puget Energy, Inc. 1,000 23,250 Pulitzer, Inc. 300 15,900 Pulte Homes Inc. 3,900 372,606 * PW Eagle, Inc. 100 400 * Q Logic Corp. 1,800 102,294 * Qad, Inc. 500 6,165 Quaker Fabric Corp. 400 3,492 Qualcomm, Inc. 28,800 1,283,040 Quanex Corp. 500 19,765 * Quanta Services, Inc. 4,765 36,452 * Quest Diagnostics, Inc. 5,500 401,335 * Quest Software, Inc. 2,900 43,065 Questar Corp. 1,400 47,768 * Quidel Corp. 1,100 9,460 * Quigley Corp. 500 4,245 * Quiksilver, Inc. 2,400 43,152 * Quovadx, Inc. 500 2,435 * Qwest Communications International, Inc. 57,500 210,450 * R H Donnelley Corp. 600 24,150 Radian Group, Inc. 6,700 330,645 * Radiant Systems, Inc. 500 3,550 * Radio One, Inc. 1,200 21,072 * Radiologix, Inc. 400 1,220 * Radioshack Corp. 5,200 161,980 * RadiSys Corp. 760 13,984 * Railamerica, Inc. 1,100 12,485 * Rainbow Technologies, Inc. 500 6,200 * Ralcorp Holdings, Inc. 1,500 45,420 * Rambus, Inc. 1,200 36,000 * Range Resources Corp. 3,400 26,860 * Rare Hospitality International, Inc. 2,100 52,500 Raymond James Financial, Inc. 1,900 70,224 Rayonier, Inc. 890 33,010 * Rayovac Corp. 1,100 19,789 * Raytech Corp. 1,000 3,700 Raytheon Co. 7,300 202,283 * RC2 Corp. 1,200 25,536 * RCN Corp. 300 306 Readers Digest's Association, Inc. 722 10,325 * RealNetworks , Inc. 4,600 27,462 Rebublic Services, Inc. 5,100 129,795 * Red Hat, Inc. 4,000 53,120 Reebok International, Ltd. 2,800 112,672 * Regeneration Technologies, Inc. 500 5,200 * Regeneron Pharmaceuticals, Inc. 1,100 14,168 * Regent Communications, Inc. 1,600 $ 10,416 Regions Financial Corp. 3,300 122,463 Regis Corp. 2,200 90,090 * Rehabcare Group, Inc. 1,000 17,760 Reinsurance Group of America, Inc. 2,800 104,020 Reliance Steel & Aluminum Co. 600 17,688 * Reliant Resources, Inc. 18,899 123,977 * Remec, Inc. 1,600 17,952 * Remington Oil & Gas Corp. 1,400 24,990 * Renaissance Learning, Inc. 500 11,600 * Renal Care Group, Inc. 2,500 100,900 * Rent-A-Center, Inc. 3,750 121,838 * Rent-Way, Inc. 300 2,223 * Repligen Corp. 2,600 12,558 Republic Bancorp, Inc. 1,936 26,620 Republic Bankshares, Inc. 800 23,864 * Res-Care, Inc. 500 3,675 * ResMed, Inc. 1,000 39,000 Resource America, Inc. 500 6,515 * Resources Connection, Inc. 500 13,690 * Respironics, Inc. 1,525 69,388 * Restoration Hardware, Inc. 1,100 6,743 * Retail Ventures Inc. 100 540 * Retek, Inc. 500 5,190 * Rex Stores Corp. 500 7,865 Reynolds & Reynolds Co. 1,500 41,610 * RF Micro Devices, Inc. 5,900 68,735 Richardson Electronics, Ltd. 400 4,080 Riggs National Corp. 800 13,728 * Right Management Consultants, Inc. 1,000 17,870 * Rite Aid Corp. 12,000 73,800 * Riverstone Networks, Inc. 1,800 1,980 RLI Corp. 1,000 36,200 Roadway Corp. 600 30,600 Robbins & Myers, Inc. 700 15,442 * Robert Half International, Inc. 6,000 133,560 Rock-Tenn Co. Class A 100 1,590 Rockwell Collins, Inc. 3,900 104,871 Rockwell International Corp. 3,900 129,675 * Rogers Corp. 900 39,510 Rohm & Haas Co. 5,200 208,780 * Rohn Industries, Inc. 200 4 Rollins, Inc. 900 20,052 Roper Industries, Inc. 1,500 75,210 Ross Stores, Inc. 2,900 158,862 Roto-Rooter, Inc. 500 18,405 * Rowan Companies, Inc. 5,500 116,435 Royal Gold, Inc. 300 6,393 RPC, Inc. 200 2,010 RPM, Inc. 800 12,104 * RSA Security, Inc. 1,800 26,460 * RTI International Metals, Inc. 1,300 17,615 Ruby Tuesday, Inc. 2,700 78,624 Ruddick Corp. 1,000 16,900 * Rudolph Technologies, Inc. 1,000 23,150 Russ Berrie & Co., Inc. 500 16,675 Russell Corp. 700 12,873 * Ryan's Family Steak Houses, Inc. 1,550 23,002 Ryder System, Inc. 500 15,595 Ryland Group, Inc. 1,700 156,655 S&T Bancorp, Inc. 500 15,190
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SHARES VALUE+ -------------- ----------------- * S1 Corp. 2,100 $ 18,543 Sabre Holdings Corp. 3,200 66,720 Safeco Corp. 1,800 67,374 * Safeguard Scientifics, Inc. 4,000 13,680 * SafeNet, Inc. 500 16,620 * Safeway, Inc. 21,400 444,050 * Saga Communications, Inc. Class A 325 5,678 * Saint Jude Medical, Inc. 8,800 557,392 Saint Paul Companies, Inc. 4,600 170,660 * Saks, Inc. 7,300 112,274 * Salem Communications Corp. 1,400 34,678 * Salton, Inc. 700 9,422 * Sanchez Computer Associates, Inc. 500 2,175 Sanderson Farms, Inc. 500 17,190 * Sandisk Corp. 1,600 129,376 * Sangamo BioSciences, Inc. 500 2,280 * Sanmina Corp. 24,300 296,217 * Sapient Corp. 3,100 17,422 Sara Lee Corp. 8,200 168,510 * Savient Pharmaceuticals, Inc. 2,700 13,338 * SBA Communications Corp. 1,900 6,574 SBC Communications, Inc. 8,900 207,192 * SBS Technologies, Inc. 500 7,325 SCANA Corp. 1,600 53,728 * ScanSoft, Inc. 1,530 9,180 * ScanSource, Inc. 500 21,870 Schawk, Inc. Class A 100 1,360 * Schein (Henry), Inc. 1,800 121,122 Schering-Plough Corp. 34,000 545,700 * Scholastic Corp. 2,600 86,268 Schulman (A.), Inc. 500 9,775 Schwab (Charles) Corp. 46,600 540,560 Schweitzer-Maudoit International, Inc. 500 13,860 * Sciclone Pharmaceuticals, Inc. 1,100 8,085 * Scientific Games Corp. 1,500 24,390 Scientific-Atlanta, Inc. 7,700 222,376 * SCM Microsystems, Inc. 500 4,150 * Scotts Co. Class A 2,000 118,980 * SCP Pool Corp. 900 32,238 * SCS Transportation, Inc. 350 5,821 Seaboard Corp. 100 23,050 * Seachange International, Inc. 600 9,030 * Seacor Smit, Inc. 700 26,698 * Sealed Air Corp. 4,100 216,357 Sears, Roebuck & Co. 3,100 170,996 * Seattle Genetics, Inc. 500 3,110 * Secure Computing Corp. 500 7,515 * SeeBeyond Technology Corp. 1,500 5,820 SEI Investments Co. 5,800 162,690 * Select Comfort Corp. 1,000 26,910 * Select Medical Corp. 1,800 64,530 * Selectica, Inc. 700 3,248 * Semitool, Inc. 1,200 13,656 Sempra Energy 3,300 93,456 * Semtech Corp. 1,900 46,170 * SEMX Corp. 100 10 Sensient Technologies Corp. 500 9,425 * Sepracor, Inc. 2,200 54,516 * Sequa Corp. Class A 100 4,775 * Sequa Corp. Class B 100 4,895 * Sequenom, Inc. 100 360 * Serena Software, Inc. 600 $ 11,532 * Serologicals Corp. 1,100 18,975 * Service Corp. International 15,100 74,745 * SFBC International, Inc. 500 12,875 * Sharper Image Corp. 500 15,810 * Shaw Group, Inc. 600 7,812 * Sheffield Pharmceuticals, Inc. 400 0 Sherwin-Williams Co. 2,400 77,832 * Shoe Carnival, Inc. 500 9,040 * Shopko Stores, Inc. 1,200 19,980 * Shuffle Master, Inc. 700 20,937 * SICOR, Inc. 5,300 146,492 * Siebel Systems, Inc. 18,000 237,240 * Siebert Financial Corp. 100 328 * Sierra Health Services, Inc. 1,300 35,620 * Sierra Pacific Resources 5,400 37,422 Sigma-Aldrich Corp. 3,100 166,067 * Silgan Holdings, Inc. 100 3,445 * Silicon Image, Inc. 1,000 7,400 * Silicon Laboratories, Inc. 900 44,163 * Silicon Storage Technology, Inc. 3,100 42,067 * Silicon Valley Bancshares 2,000 73,460 * Siliconix, Inc. 900 45,711 Simmons First National Corp. Class A 189 5,014 * SimpleTech, Inc. 500 3,360 * Simpson Manufacturing Co., Inc. 1,600 78,720 * Sinclair Broadcast Group, Inc. Class A 1,500 17,205 * Sipex Corp. 400 3,760 * Sirenza Microdevices, Inc. 500 2,915 * Sitel Corp. 500 1,175 * Six Flags, Inc. 3,600 24,300 * Skechers U.S.A., Inc. Class A 500 3,715 Sky Financial Group, Inc. 1,200 30,084 Skywest, Inc. 600 10,350 * Skyworks Solutions, Inc. 6,900 60,651 * SL Industries, Inc. 100 805 SLM Corp. 15,600 579,228 * Smith International, Inc. 5,800 217,732 * Smithfield Foods, Inc. 6,600 154,770 * Smurfit-Stone Container Corp. 18,000 294,480 Snap-On, Inc. 1,200 36,024 * Sola International, Inc. 1,400 27,440 * Solectron Corp. 37,000 216,450 * Solutia, Inc. 1,900 5,225 Sonic Automotive, Inc. 1,200 26,940 * Sonic Corp. 650 20,066 * Sonic Innovations, Inc. 500 3,050 * Sonic Solutions 500 9,435 * SonicWALL, Inc. 2,300 18,377 Sonoco Products Co. 500 10,700 * SonoSite, Inc. 1,500 31,680 * Sonus Networks, Inc. 500 4,570 * Sotheby's Holdings, Inc. Class A 800 9,280 Sound Federal Bancorp, Inc. 100 1,685 * Source Information Management, Inc. 200 1,938 * Sourcecorp, Inc. 500 12,230 South Financial Group, Inc. 1,000 28,500 Southern Co. 10,700 313,189
105
SHARES VALUE+ -------------- ----------------- * Southern Union Co. 4,615 $ 84,362 SouthTrust Corp. 5,500 176,825 Southwest Airlines Co. 51,700 929,566 Southwest Bancorporation of Texas, Inc. 2,200 84,106 Southwest Water Co. 525 8,337 * Southwestern Energy Co. 900 18,369 Sovereign Bancorp, Inc. 18,000 407,880 * Spanish Broadcasting System, Inc. 1,500 15,075 Spartan Motors, Inc. 100 950 Spartech Corp. 500 11,000 * Specialty Laboratories, Inc. 1,000 16,700 * SpectraLink Corp. 500 10,295 * Spectranetics Corp. 100 335 Speedway Motorsports, Inc. 1,300 38,090 * Spherion Corp. 2,200 19,668 * Spherix, Inc. 400 2,780 * Spiegel, Inc. Class A Non-Voting 100 9 * Spinnaker Exploration Co. 1,900 50,046 Sprint Corp. 11,300 169,387 * Sprint Corp. (PCS Group) 10,100 46,359 * SPS Technologies, Inc. 500 24,480 * SPSS, Inc. 600 11,622 * SPX Corp. 4,800 260,640 * SR Telecom, Inc. 10 57 * SRA International, Inc. 300 13,233 * SRS Labs, Inc. 600 6,210 SS&C Technologies, Inc. 600 17,700 St. Joe Corp. 3,600 125,280 St. Mary Land & Exploration Co. 3,200 82,240 * Staar Surgical Co. 100 1,099 * Stamps.com, Inc. 1,700 10,625 StanCorp Financial Group, Inc. 2,200 137,632 * Standard Management Corp. 100 327 * Standard Microsystems Corp. 600 16,080 Standard Pacific Corp. 1,800 89,874 Stanley Furniture, Inc. 100 3,191 Stanley Works 1,000 32,710 * Staples, Inc. 18,700 507,705 * Starbucks Corp. 10,000 320,700 StarTek, Inc. 600 23,202 Starwood Hotels and Resorts Worldwide, Inc. 1,800 62,046 State Auto Financial Corp. 2,100 54,579 State Street Corp. 9,500 484,120 Staten Island Bancorp, Inc. 500 11,500 Station Casinos, Inc. 2,100 65,478 * Steak n Shake Co. 1,300 22,880 * Steel Dynamics, Inc. 2,100 42,042 Steelcase, Inc. Class A 800 9,920 * Stein Mart, Inc. 1,300 11,583 * Steinway Musical Instruments, Inc. 100 2,390 * Stellent, Inc. 600 5,922 * Stericycle, Inc. 1,500 74,100 * Steris Corp. 3,800 87,894 Sterling Bancshares 1,500 19,065 * Sterling Financial Corp. 980 32,938 * Stewart Enterprises, Inc. 3,600 16,812 * Stewart Information Services Corp. 900 34,767 * Stone Energy Corp. 1,600 59,776 * Stoneridge, Inc. 1,300 17,355 * Storage Technology Corp. 4,900 $ 123,480 * Stratex Networks, Inc. 1,600 5,696 Strayer Ed, Inc. 600 67,038 Stride Rite Corp. 500 5,785 Stryker Corp. 10,200 826,200 Student Loan Corp. 500 71,005 Sturm Ruger & Co., Inc. 500 5,765 * Summit America Television, Inc. 500 1,800 * Sun Bancorp, Inc. 500 11,325 * Sun Microsystems, Inc. 187,800 801,906 * Sungard Data Systems, Inc. 10,600 286,412 Sunoco, Inc. 1,000 48,010 * Sunrise Senior Living, Inc. 1,000 34,520 Suntrust Banks, Inc. 5,900 419,195 * Supergen, Inc. 500 5,285 * Superior Energy Services, Inc. 3,300 27,984 Superior Industries International, Inc. 1,300 57,824 * Supertex, Inc. 600 10,404 Supervalu, Inc. 1,800 46,476 * SupportSoft, Inc. 500 7,330 Supreme Industries, Inc. 110 641 * SureBeam Corp. 1,100 292 * SurModics, Inc. 200 4,234 Susquehanna Bancshares, Inc. 500 13,310 * Swift Energy Corp. 1,400 19,866 * Swift Transportation, Inc. 4,000 79,680 * Switchboard, Inc. 100 670 SWS Group, Inc. 200 3,762 * Sybase, Inc. 2,700 55,350 * Sybron Dental Specialties, Inc. 1,100 31,691 * Sycamore Networks, Inc. 12,500 66,500 * Sykes Enterprises, Inc. 1,400 12,796 * Sylvan Learning Systems, Inc. 1,900 61,503 * Symantec Corp. 10,400 341,432 Symbol Technologies, Inc. 13,900 193,905 * Symmetricom, Inc. 1,500 10,551 * Symyx Technologies 1,100 21,945 * Synaptics, Inc. 500 6,835 * Synopsys, Inc. 4,396 131,704 * Synovis Life Technologies, Inc. 500 12,855 Synovus Financial Corp. 3,800 108,908 Syntel, Inc. 600 15,264 * Syntroleum Corp. 100 391 Sypris Solutions, Inc. 300 4,095 Sysco Corp. 11,500 417,680 * Systems & Computer Technology Corp. 1,500 22,950 T. Rowe Price Group, Inc. 1,500 63,060 * Tag-It Pacific, Inc. 100 505 * Take Two Interactive Software 1,200 39,720 Talbots, Inc. 1,100 36,047 * TALK America Holdings, Inc. 500 5,625 * Tanox, Inc. 1,200 18,048 Target Corp. 29,300 1,134,496 * Tarrant Apparel Group 100 400 * TBC Corp. 800 23,704 TCF Financial Corp. 1,000 52,740 * Tech Data Corp. 2,900 106,836 * Techne Corp. 1,300 46,904 * Technitrol, Inc. 1,700 40,443 Teco Energy, Inc. 500 6,490
106
SHARES VALUE+ -------------- ----------------- * Tejon Ranch Co. 100 $ 3,950 * Tekelec 1,800 30,060 Tektronix, Inc. 3,500 96,425 * TeleCommunication Systems, Inc. 500 2,650 * Teledyne Technologies Inc 1,300 22,334 Teleflex, Inc. 1,000 45,760 Telephone & Data Systems, Inc. 2,000 125,400 * Teletech Holdings, Inc. 2,700 27,135 * Telik, Inc. 500 10,105 * Tellabs, Inc. 22,200 177,600 Temple-Inland, Inc. 500 28,265 * Tenet Healthcare Corp. 30,900 451,449 Tennant Co. 500 21,560 * Tenneco Automotive, Inc. 1,600 8,880 * Teradyne, Inc. 6,100 153,537 * Terayon Communication Systems, Inc. 1,700 10,166 * Terex Corp. 2,500 64,475 * Terra Industries, Inc. 1,400 4,522 * Tesoro Petroleum Corp. 2,900 36,772 * Tetra Tech, Inc. 2,000 51,000 * Tetra Technologies, Inc. 1,050 23,520 Texas Genco Holdings, Inc. 60 1,797 Texas Industries, Inc. 700 20,447 Texas Instruments, Inc. 71,800 2,136,768 Texas Regional Banchshares, Inc. Class A 1,050 39,060 Textron, Inc. 2,200 109,648 * The Banc Corp. 500 4,360 The Brink's Co. 2,500 55,500 * The Dress Barn, Inc. 1,200 17,568 The Goldman Sachs Group, Inc. 25,500 2,450,040 * The Medicines Co. 1,100 30,107 * The New Dun & Bradstreet Corp. 1,400 67,550 The Phoenix Companies, Inc. 1,400 15,750 * The Sports Authority, Inc. 796 34,626 * Theragenics Corp. 700 3,437 * Therasense, Inc. 1,000 17,050 * Thermo-Electron Corp. 7,800 186,420 * Third Wave Technologies 800 3,440 Thomas & Betts Corp. 2,000 41,600 Thomas Industries, Inc. 300 9,456 Thor Industries, Inc. 1,700 103,666 * Thoratec Corp. 2,400 33,816 * THQ, Inc. 1,500 24,135 * Three-Five Systems, Inc. 500 2,665 * TIBCO Software, Inc. 8,700 50,895 Tidewater, Inc. 500 13,805 * Tier Technologies, Inc. Class B 500 3,905 Tiffany & Co. 5,500 249,425 * Timberland Co. Class A 1,300 70,226 * Time Warner Telecom, Inc. 2,100 22,155 * Time Warner, Inc 252,400 4,109,072 Timken Co. 100 1,713 * Titan Corp. 1,800 38,430 * Titan Pharmaceuticals, Inc. 400 1,108 * TiVo, Inc. 1,800 15,012 TJX Companies, Inc. 25,000 564,750 Todd Shipyards Corp. 100 1,805 * Toll Brothers, Inc. 3,600 149,076 * Tollgrade Communications, Inc. 800 13,848 * Too, Inc. 900 $ 16,425 Tootsie Roll Industries, Inc. 936 32,900 Topps, Inc. 1,800 18,972 Torchmark Corp. 4,900 216,090 Toro Co. 1,300 64,402 Total System Services, Inc. 8,600 250,862 * Tower Automotive, Inc. 2,400 10,920 * Toys R Us, Inc. 11,400 133,836 * Tractor Supply Co. 2,000 87,080 Traffix, Inc. 100 500 * Trammell Crow Co. 1,700 22,865 * Trans World Entertainment Corp. 1,130 7,989 * Transaction Systems Architects, Inc. 200 3,936 Transatlantic Holdings, Inc. 3,400 263,704 * Transkaryotic Therapies, Inc. 1,500 19,485 * Transmontaigne Oil Co. 1,500 9,015 * Transocean, Inc. 2,300 44,574 Travelers Property Casualty Corp. 1,554 24,242 Travelers Property Casualty Corp. Series B 4,285 66,846 * TRC Companies, Inc. 800 16,168 Tredegar Industries, Inc. 800 12,320 * Trex Co., Inc. 600 22,170 * Triad Guaranty, Inc. 700 32,655 * Triad Hospitals, Inc. 5,300 183,380 Triarc Companies, Inc. Class A 1,000 11,190 Triarc Companies, Inc. Class B 2,000 23,200 Tribune Co. 18,400 898,840 * Trico Marine Services, Inc. 300 384 * Trimble Navigation, Ltd. 1,100 33,363 Trinity Industries, Inc. 1,900 49,305 * TriPath Imaging, Inc. 500 4,560 * Triquint Semiconductor, Inc. 4,400 35,552 * Triton PCS Holdings, Inc. 500 2,800 * Triumph Group 800 26,072 * TriZetto Group, Inc. 1,000 6,450 * Tropical Sportswear International Corp. 200 838 * Trover Solutions, Inc. 100 693 Trustmark Corp. 500 14,745 * TTM Technologies, Inc. 1,000 16,900 * Tuesday Morning Corp. 1,100 35,156 * Tularik, Inc. 1,800 26,964 * Turnstone Systems, Inc. 1,600 4,624 * Tweeter Home Entertainment Group, Inc. 700 5,852 TXU Corp. 5,100 112,914 * Tyler Technologies, Inc. 1,800 15,120 Tyson Foods, Inc. Class A 10,800 147,420 U.S. Bancorp 31,300 867,323 * U.S. Concrete, Inc. 1,000 5,899 * U.S. Physical Therapy, Inc. 100 1,472 UCBH Holdings, Inc. 2,400 93,840 UGI Corp. 750 24,263 * UICI 2,400 33,144 * Ulticom, Inc. 1,200 12,984 * Ultimate Electronics, Inc. 600 4,950 * Ultratech Stepper, Inc. 900 27,270 UMB Financial Corp. 500 24,395 Umpqua Holdings Corp. 1,145 24,618 * Unifi, Inc. 1,300 6,669
107
SHARES VALUE+ -------------- ----------------- Unifirst Corp. 300 $ 6,969 Union Pacific Corp. 6,600 420,288 Union Planters Corp. 3,000 103,530 Unionbancal Corp. 2,500 142,400 * Uniroyal Technology Corp. 1,100 0 Unisource Energy Corp. 500 12,265 * Unisys Corp. 10,600 172,992 * Unit Corp. 2,100 43,260 United Auto Group, Inc. 2,300 56,810 United Bankshares, Inc. WV 400 12,400 United Community Banks, Inc. 400 13,504 * United Defense Industries, Inc. 1,500 49,890 * United Natural Foods, Inc. 600 23,034 * United Online, Inc. 1,050 19,121 United Parcel Service, Inc. 10,100 734,977 * United Rentals, Inc. 4,700 87,044 * United States Cellular Corp. 3,000 103,800 United States Steel Corp. 4,600 114,310 * United Stationers, Inc. 1,800 72,630 * United Surgical Partners International, Inc. 1,700 54,400 United Technologies Corp. 10,200 874,140 * United Therapeutics Corp. 900 16,938 * UnitedGlobalCom, Inc. 3,000 21,660 Unitedhealth Group, Inc. 43,200 2,328,480 Unitrin, Inc. 400 15,132 * Universal Access Global Holdings, Inc. 10 40 * Universal American Financial Corp. 2,700 28,107 * Universal Compression Holdings, Inc. 1,200 28,140 Universal Corp. 500 21,360 * Universal Display Corp. 500 7,420 * Universal Electronics, Inc. 600 8,189 Universal Forest Products, Inc. 1,100 33,484 Universal Health Services, Inc. 3,800 204,326 * Univision Communications, Inc. Class A 7,105 256,348 Unocal Corp. 4,900 155,722 * Unova, Inc. 3,200 76,544 UnumProvident Corp. 4,100 61,213 * Urban Outfitters, Inc. 1,200 46,800 * Urologix, Inc. 100 566 * URS Corp. 1,600 36,480 * US Oncology, Inc. 3,600 36,648 USF Corp. 1,100 36,333 UST, Inc. 1,800 64,782 * UTStarcom, Inc. 2,800 106,064 * Vail Resorts, Inc. 1,000 15,230 * Valassis Communications, Inc. 600 16,320 Valeant Pharmaceuticals International 1,000 23,910 Valero Energy Corp. 4,900 211,190 Valhi, Inc. 600 8,292 Valley National Bancorp 1,470 43,659 Valmont Industries, Inc. 500 11,350 Valspar Corp. 1,700 82,025 * ValueClick, Inc. 2,600 21,710 * Valuevision Media, Inc. Class A 1,500 23,250 * Vans, Inc. 933 11,942 * Varco International, Inc. 5,900 109,091 * Varian Medical Systems, Inc. 2,300 158,723 * Varian Semiconductor Equipment Associates, Inc. 2,000 $ 93,120 * Varian, Inc. 1,000 40,560 * Vastera, Inc. 1,200 4,680 Vectren Corp. 1,000 24,020 * Veeco Instruments, Inc. 1,000 29,500 * Ventana Medical Systems, Inc. 700 26,376 * VeriSign, Inc. 9,800 158,858 * Veritas DGC, Inc. 1,800 16,218 * Veritas Software Co. 14,700 558,909 * Verity, Inc. 1,300 18,668 Verizon Communications, Inc. 19,700 645,569 * Vermont Pure Holdings, Ltd. 100 314 * Vertex Pharmaceuticals, Inc. 1,000 8,740 VF Corp. 1,800 74,286 Viacom, Inc. Class A 7,300 287,401 Viacom, Inc. Class B 94,900 3,731,468 Viad Corp. 1,500 36,885 * Viasat, Inc. 1,100 23,397 * Viasys Healthcare, Inc. 262 5,363 * Vical, Inc. 400 2,008 * Vicor Corp. 1,000 11,500 * Vicuron Pharmaceuticals, Inc. 1,300 23,595 * Vignette Corp. 7,200 16,632 Vintage Petroleum, Inc. 1,100 11,451 * Virage Logic Corp. 500 5,210 * Virbac Corp. 100 585 * ViroPharma, Inc. 500 1,390 * Vishay Intertechnology, Inc. 6,900 144,969 * Visx, Inc. DE 2,000 48,960 Vital Signs, Inc. 600 19,698 * VitalWorks, Inc. 500 2,495 * Vitesse Semiconductor, Inc. 6,300 45,990 * Vitria Technology, Inc. 100 568 * Vivus, Inc. 800 2,896 * Volt Information Sciences, Inc. 500 10,200 Vulcan Materials Co. 1,400 62,258 * W-H Energy Services, Inc. 900 13,410 * Wabash National Corp. 800 22,264 Wabtec Corp. 2,900 45,385 Wachovia Corp. 20,900 956,175 * Wackenhut Corrections Corp. 700 15,155 Walgreen Co. 46,700 1,719,027 Wal-Mart Stores, Inc. 170,400 9,481,056 Walter Industries, Inc. 1,200 14,688 Washington Federal, Inc. 550 15,686 Washington Mutual, Inc. 14,400 659,664 Washington Post Co. 100 80,345 * Waste Connections, Inc. 1,400 51,800 Waste Management, Inc. 45,400 1,335,214 * WatchGuard Technologoes, Inc. 700 4,347 * Waters Corp. 2,500 79,950 Watsco, Inc. Class A 700 16,268 * Watson Pharmaceuticals, Inc. 6,700 315,838 * Watson Wyatt & Co., Holdings 1,000 24,020 Watts Water Technologies, Inc. 200 4,100 Waypoint Financial Corp. 525 11,272 * WCI Communities, Inc. 2,500 50,450 WD-40 Co. 200 7,160 * Weatherford International, Ltd. 2,200 72,116 * Webco Industries, Inc. 100 340
108
SHARES VALUE+ -------------- ----------------- * WebMD Corp. 11,100 $ 101,565 * webMethods, Inc. 1,500 14,625 * Websense, Inc. 500 13,545 Webster Financial Corp. 1,000 45,850 * Weight Watchers International, Inc. 1,400 51,716 * Wellpoint Health Networks, Inc. 9,746 911,154 Wells Fargo & Co. 25,300 1,450,449 Wendy's International, Inc. 4,400 170,852 Werner Enterprises, Inc. 3,541 64,269 Wesco Financial Corp. 100 34,905 * WESCO International, Inc. 1,300 11,635 West Coast Bancorp 500 10,870 * West Corp. 2,700 63,990 * West Marine, Inc. 700 17,647 West Pharmaceutical Services, Inc. 500 17,000 * Westaff, Inc. 100 205 Westamerica Bancorporation 500 26,400 Westcorp, Inc. 1,000 37,450 * Westell Technologies, Inc. 100 740 * Western Digital Corp. 3,600 44,784 Western Gas Resources, Inc. 1,800 79,740 * Western Wireless Corp. 1,500 28,005 * Westport Resources Corp. 4,500 121,950 Westwood Holdings Group, Inc. 125 2,136 * Westwood One, Inc. 3,400 103,224 * Wet Seal, Inc. Class A 1,250 12,838 Weyerhaeuser Co. 4,300 245,100 * WFS Financial, Inc. 2,700 112,590 WGL Holdings, Inc. 500 13,365 Whirlpool Corp. 500 34,160 * White Electronics Designs Corp. 500 5,155 * Whitehall Jewelers, Inc. 458 4,859 * Whole Foods Market, Inc. 1,700 111,673 * Wild Oats Markets, Inc. 1,000 11,340 Wiley (John) & Sons, Inc. Class A 1,300 33,800 * William Lyon Homes, Inc. 500 32,450 Williams Companies, Inc. 32,800 307,664 * Williams-Sonoma, Inc. 3,500 126,140 Wilmington Trust Corp. 1,200 42,240 * Wilshire Oil Co. of Texas 100 646 * Wilson Greatbatch Technologies, Inc. 500 20,950 * Wilsons The Leather Experts, Inc. 200 1,242 * Wind River Systems, Inc. 2,600 16,926 Winn-Dixie Stores, Inc. 100 903 Winnebago Industries, Inc. 1,100 60,797 Wintrust Financial Corp. 1,150 51,509 * Wireless Facilities, Inc. 1,900 27,607 Wireless Telecom Group, Inc. 500 1,470 Wisconsin Energy Corp. 1,700 55,590 * Wiser Oil Co. 200 1,410 * Witness Systems, Inc. 500 4,495 * WMS Industries, Inc. 1,500 40,050 * Wolverine Tube, Inc. 500 2,630 Wolverine World Wide, Inc. 1,500 31,185 Woodhead Industries, Inc. 100 1,698 * Workflow Management, Inc. 500 2,480 * World Acceptance Corp. 1,100 21,252 World Fuel Services Corp. 500 14,965 World Wrestling Federation Entertainment, Inc. 200 $ 2,304 * Worldwide Restaurant Concepts, Inc. 500 1,460 WPS Resources Corp. 500 22,150 * Wright Medical Group, Inc. 1,200 33,432 Wrigley (Wm.) Jr. Co. 4,200 231,504 Wyeth 6,600 260,040 X-Rite, Inc. 500 5,725 XCEL Energy, Inc. 4,700 78,490 * Xerox Corp. 35,600 433,608 * Xilinx, Inc. 11,300 424,767 * XM Satellite Radio Holdings, Inc. 5,100 127,245 XTO Energy, Inc. 12,800 323,584 * Yahoo!, Inc. 14,900 640,402 * Yankee Candle Co., Inc. 1,600 47,232 * Yellow Corp. 1,200 36,684 York International Corp. 600 23,970 * Young Broadcasting, Inc. Class A 200 3,970 * Yum! Brands, Inc. 7,200 248,328 * Zebra Technologies Corp. Class A 1,400 88,998 * Zila, Inc. 200 796 * Zimmer Holdings, Inc. 6,800 448,256 Zions Bancorp. 1,600 98,672 * Zoll Medical Corp. 700 23,835 * Zoltek Companies, Inc. 700 3,045 * Zomax, Inc. 700 3,766 * Zoran Corp. 1,405 25,796 * Zygo Corp. 500 8,130 * Zymogenetics, Inc. 1,800 23,958 ----------------- TOTAL COMMON STOCKS (Cost $295,505,754) 342,946,145 ----------------- RIGHTS/WARRANTS -- (0.0%) * Chart Industries, Inc. Warrants 09/15/10 2 8 * Magnum Hunter Resources Warrants 03/21/05 200 78 ----------------- TOTAL RIGHTS/WARRANTS (Cost $0) 86 ----------------- FACE AMOUNT -------------- (000) TEMPORARY CASH INVESTMENTS -- (1.6%) Repurchase Agreement, PNC Capital Markets, Inc. 0.82%, 12/01/03 (Collateralized by $5,663,000 FMC Discount Notes 1.11%, 03/25/04, valued at $5,641,764) to be repurchased at $5,558,380 (Cost $5,558,000) $ 5,558 5,558,000 ----------------- TOTAL INVESTMENTS -- (100.0%) (Cost $301,063,754)++ $ 348,504,231 =================
---------- + See Note B to Financial Statements. ++ The cost for federal income tax purposes is $301,084,976. * Non-Income Producing Securities. See accompanying Notes to Financial Statements. 109 DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS)
THE TAX-MANAGED THE TAX-MANAGED U.S. MARKETWIDE U.S EQUITY VALUE SERIES SERIES --------------- --------------- ASSETS: Investments at Value $ 1,085,969 $ 348,504 Cash -- 1 Receivables: Dividends and Interest 1,549 335 Securities Lending Income 5 -- Fund Shares Sold 1,496 1,017 Prepaid Expenses and Other Assets 6 -- --------------- --------------- Total Assets 1,089,025 349,857 --------------- --------------- LIABILITIES: Payables: Investment Securities Purchased 3,550 1,065 Due to Advisor -- 14 Accrued Expenses and Other Liabilities 242 20 --------------- --------------- Total Liabilities 3,792 1,099 --------------- --------------- NET ASSETS $ 1,085,233 $ 348,758 =============== =============== Investments at Cost $ 845,226 $ 301,064 =============== ===============
See accompanying Notes to Financial Statements. 110 DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED NOVEMBER 30, 2003 (AMOUNTS IN THOUSANDS)
THE TAX-MANAGED THE TAX-MANAGED U.S. MARKETWIDE U.S EQUITY VALUE SERIES SERIES --------------- --------------- INVESTMENT INCOME Dividends $ 6,713 $ 2,731 Interest 139 42 Income from Securities Lending 70 18 --------------- --------------- Total Investment Income 6,922 2,791 --------------- --------------- EXPENSES Investment Advisory Services 1,602 124 Accounting & Transfer Agent Fees 288 89 Custodian Fees 76 24 Legal Fees 8 2 Audit Fees 13 5 Shareholders' Reports 24 7 Trustees' Fees and Expenses 12 4 Other 2 2 --------------- --------------- Total Expenses 2,025 257 --------------- --------------- NET INVESTMENT INCOME (LOSS) 4,897 2,534 --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES Net Realized Gain (Loss) on Investment Securities Sold (22,174) (12,492) Change in Unrealized Appreciation (Depreciation) of Investment Securities 204,201 58,134 --------------- --------------- NET GAIN (LOSS) ON INVESTMENT SECURITIES 182,027 45,642 --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 186,924 $ 48,176 =============== ===============
See accompanying Notes to Financial Statements. 111 DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE TAX-MANAGED THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES U.S EQUITY SERIES ---------------------------- ---------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2003 2002 ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) $ 4,897 $ 4,538 $ 2,534 $ 1,049 Net Realized Gain (Loss) on Investment Securities Sold (22,174) (170,174) (12,492) (23,342) Change in Unrealized Appreciation (Depreciation) of Investment Securities 204,201 (13,746) 58,134 (16,417) ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 186,924 (179,382) 48,176 (38,710) ------------ ------------ ------------ ------------ Transactions in Interest: Contributions 290,723 328,346 122,466 174,890 Withdrawals (66,772) (165,401) (20,131) (19,481) ------------ ------------ ------------ ------------ Net Increase (Decrease) from Transactions in Interest 223,951 162,945 102,335 155,409 ------------ ------------ ------------ ------------ Total Increase (Decrease) 410,875 (16,437) 150,511 116,699 NET ASSETS Beginning of Period 674,358 690,795 198,247 81,548 ------------ ------------ ------------ ------------ End of Period $ 1,085,233 $ 674,358 $ 348,758 $ 198,247 ============ ============ ============ ============
See accompanying Notes to Financial Statements. 112 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES ------------------------------------------------------------------- YEAR YEAR YEAR YEAR DEC. 14, ENDED ENDED ENDED ENDED 1998 TO NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 2000 1999 ----------- ----------- ----------- ----------- ----------- Net Asset Value, Beginning of Period N/A N/A N/A N/A N/A ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (Loss) -- -- -- -- -- Net Gains (Losses) on Securities (Realized and Unrealized) -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total From Investment Operations -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Net Investment Income -- -- -- -- -- Net Realized Gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Distributions N/A N/A N/A N/A N/A ----------- ----------- ----------- ----------- ----------- Net Asset Value, End of Period N/A N/A N/A N/A N/A =========== =========== =========== =========== =========== Total Return 22.88% (20.25)% 8.30% 3.07% 4.27%# ----------- ----------- ----------- ----------- ----------- Net Assets, End of Period (thousands) $ 1,085,233 $ 674,358 $ 690,795 $ 314,021 $ 126,004 Ratio of Expenses to Average Net Assets 0.25% 0.25% 0.25% 0.26% 0.29%* Ratio of Net Investment Income to Average Net Assets 0.61% 0.61% 1.17% 1.98% 1.66%* Portfolio Turnover Rate 6% 15% 11% 39% 10% THE TAX-MANAGED U.S. EQUITY SERIES --------------------------------------- YEAR YEAR SEPT. 25, ENDED ENDED TO NOV. 30, NOV. 30, NOV. 30, 2003 2002 2001 ----------- ----------- ----------- Net Asset Value, Beginning of Period 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 ----------- ----------- ----------- Net Asset Value, End of Period N/A N/A N/A =========== =========== =========== Total Return 18.49% (20.12)% 15.72%# ----------- ----------- ----------- Net Assets, End of Period (thousands) $ 348,758 $ 198,247 $ 81,548 Ratio of Expenses to Average Net Assets 0.10% 0.12% 0.20%* Ratio of Net Investment Income to Average Net Assets 1.02% 0.63% 0.62%* Portfolio Turnover Rate 13% 11% 4%
* Annualized # Non-annualized N/A Not applicable as The Tax-Managed U.S. Marketwide Value Series and the Tax-Managed U.S. Equity Series are organized as partnerships. See accompanying Notes to Financial Statements. 113 DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: The DFA Investment Trust Company (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940. The Trust currently consists of twenty-five series, of which The Tax-Managed U.S. Marketwide Value Series and The Tax-Managed U.S. Equity Series (the "Series") are presented in this report. In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America for investment companies. Such policies are consistently followed by the Trust in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: Securities held by the 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. Effective May 21, 2003, 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 value the securities 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 most recent bid and asked prices. Securities for which quotations are not readily available are valued in good faith at fair value using methods approved by the Board of Trustees. 2. REPURCHASE AGREEMENTS: The Series may purchase money market instruments subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system or with the Trust's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements were entered into on November 28, 2003. 3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect participation in the Deferred Compensation Plan (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may defer payment of a percentage of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Trustees' Fees and Expenses. 4. OTHER: Security transactions are accounted for on the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities. Expenses directly 114 attributable to a Series are directly charged. Common expenses 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 year ended November 30, 2003, the Series' advisory fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: The Tax-Managed U.S. Marketwide Value Series 0.20 of 1% The Tax-Managed U.S. Equity Series 0.05 of 1%
Certain officers of the Series are also officers, directors and shareholders of the Advisor. D. DEFERRED COMPENSATION: At November 30, 2003, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities as follows: The Tax-Managed U.S. Marketwide Value Series $ 11,776 The Tax-Managed U.S. Equity Series 3,628
E. PURCHASES AND SALES OF SECURITIES: For the year ended November 30, 2003, the Series made the following purchases and sales of investment securities other than short-term securities (amounts in thousands):
OTHER INVESTMENT SECURITIES --------------------- PURCHASES SALES ---------- -------- The Tax-Managed U.S. Marketwide Value Series $ 266,731 $ 45,772 The Tax-Managed U.S. Equity Series 134,340 32,063
There were no purchases or sales of U.S. Government securities during the year ended November 30, 2003. F. FEDERAL INCOME TAXES: No provision for federal income taxes is required since the Series' are treated as partnerships for federal income tax purposes. Any interest, dividends and gains or loses have been deemed to have been "passed through" to their Feeder Funds. At November 30, 2003, gross unrealized appreciation and depreciation for federal income tax purposes of investment securities and foreign currencies was as follows (amounts in thousands):
GROSS UNREALIZED GROSS UNREALIZED APPRECIATION DEPRECIATION NET ---------------- ---------------- ----------- The Tax-Managed U.S. Marketwide Value Series $ 285,472 $ (45,338) $ 240,134 The Tax-Managed U.S. Equity Series 54,386 (6,967) 47,419
G. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, has entered into a $50 million unsecured discretionary line of credit 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. 115 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. Borrowings by the Series under the line of credit for the year ended November 30, 2003 were as follows:
MAXIMUM WEIGHTED WEIGHTED AMOUNT AVERAGE AVERAGE NUMBER OF INTEREST BORROWED INTEREST LOAN DAYS EXPENSE DURING RATE BALANCE OUTSTANDING INCURRED THE PERIOD --------- ------------ ----------- -------- ------------- The Tax-Managed U.S. Marketwide Value Series 2.00% $ 4,451,000 2 $ 495 $ 4,451,000 The Tax-Managed U.S. Equity Series 2.05% 874,667 9 681 2,780,000
There were no outstanding borrowings under the line of credit at November 30, 2003. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $150 million unsecured line of credit 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. There is no commitment fee on unused line of credit. The agreement for the line of credit expires in April 2004. There were no borrowings by the Series under the line of credit during the year ended November 30, 2003. H. SECURITIES LENDING: As of November 30, 2003, some of the Series had securities on loan to brokers/dealers, for which each Series held cash collateral. Each Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral at least equal to 100% of the market value of the securities on loan. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses PNCBank, National Association, the lending agent, has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. Each Series, along with other portfolios of the Trust, invests the cash collateral received from securities on loan in a pooled cash account, which invests in repurchase agreements collateralized by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. 116 REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS TO THE SHAREHOLDERS OF THE SERIES, AS DEFINED, AND BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The Tax-Managed U.S. Marketwide Value Series and The Tax-Managed U.S. Equity Series (constituting portfolios within The DFA Investment Trust Company, hereafter referred to as the "Series") at November 30, 2003, the results of each of their operations, for the year then ended and the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Series' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2003 by correspondence with the custodian, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Fort Lauderdale, Florida January 15, 2004 117 FUND MANAGEMENT TRUSTEES/DIRECTORS Each Board of Trustees/Directors of The DFA Investment Trust Company Inc. ("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund Inc. ("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for establishing the Fund's policies and for overseeing the management of the Fund. The Trustees/Directors of the Funds, including all of the disinterested Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the "Feeder Portfolios") that invest in certain series of DFAITC or DEM (the "Master Funds"). Each Board has two standing committees, an Audit Committee and a Portfolio Performance and Service Review Committee (the "Performance Committee"). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Director. The Audit Committee oversees the Fund's accounting and financial reporting policies and practices, the Fund's internal controls, the Fund's financial statements and the independent audits thereof and performs other oversight functions as requested by the Board of Trustee's/Directors. The Audit Committee recommends the appointment of each Fund's independent certified public accountants and also acts as a liaison between the Fund's independent certified public accountants and the full Board. There were four Audit Committee meetings held during the fiscal year ended November 30, 2003. The Performance Committee is comprised of Messrs. Constantinides and Ibbotson, Ms. Smith, John R. Gould, Myron S. Scholes and Robert C. Merton. Each member of the Fund's Performance Committee is a disinterested Director. The Performance Committee regularly reviews and monitors the investment performance of the Fund's series and reviews the performance of the Fund's service providers. There were two Performance Committee meetings held during the fiscal year ended November 30, 2003. Certain biographical information for each disinterested Trustee/Director and each interested Trustee/Director of the Funds is set forth in the tables below, including a description of each Trustee/Director's experience as a Trustee/Director of the Funds and as a director or trustee of other funds, as well as other recent professional experience. The statements of additional information (together, "SAI") of the Funds include additional information about each Trustee/Director. You may obtain copies of the SAI and prospectus of each Fund advised by Dimensional Fund Advisors Inc. by calling collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors, Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica, California 90401. Prospectuses are also available at www.dfafunds.com.
NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD ---------------------------------------------------------------------------------------------------------------------------------- DISINTERESTED TRUSTEES/DIRECTORS George M. Constantinides DFAITC - since 1993 90 portfolios in 4 Leo Melamed Professor of Finance, Graduate School Director of DFAIDG, DIG DFAIDG - since 1983 investment companies of Business, University of Chicago. and DEM. DIG - since 1993 Trustee of DFAITC. DEM - since 1994 1101 E. 58th Street Chicago, IL 60637 Date of Birth: 9/22/47 John P. Gould DFAITC - since 1993 90 portfolios in 4 Steven G. Rothmeier Distinguished Service Director of DFAIDG, DIG DFAIDG - since 1986 investment companies Professor of Economics, Graduate School of and DEM. DIG - since 1993 Business, University of Chicago. Senior Trustee of DFAITC. DEM - since 1994 Vice-President, Lexecon Inc. (economics, law, 1101 E. 58th Street strategy and finance consulting). Formerly, Chicago, IL 60637 President, Cardean University (division of Date of Birth: 1/19/39 UNext.com). Member of the Boards of Milwaukee Mutual Insurance Company and UNext.com. Formerly, Trustee, First Prairie Funds (registered investment company). Trustee, Harbor Fund (registered investment company) (13 Portfolios).
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NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD ---------------------------------------------------------------------------------------------------------------------------------- Roger G. Ibbotson DFAITC - since 1993 90 portfolios in 4 Professor in Practice of Finance, Yale School of Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Management. Director, BIRR Portfolio Analysis, and DEM. DIG - since 1993 Inc. (software products). Chairman, Ibbotson Trustee of DFAITC. DEM - since 1994 Associates, Inc., Chicago, IL (software, data, Yale School of Management publishing and consulting). Partner, Zebra Capital P.O. Box 208200 Management, LLC (hedge fund manager). Formerly, New Haven, CT Director, Hospital Fund, Inc. (investment 06520-8200 management services). Date of Birth: 5/27/43 Robert C. Merton DFA ITC - since 2003 90 portfolios in 4 John and Natty McArthur University Professor, Harvard Business School DFA IDG - since 2003 investment companies Graduate School of Business Administration, 397 Morgan Hall DFA DIG - since 2003 Harvard University (since 1998). George Fisher Soldiers Field DEM - since 2003 Baker Professor of Business Administration, Boston, MA 02163 Graduate School of Business Administration, Date of Birth: 7/31/44 Harvard University (1988-1998), Co-founder, Chief Science Officer, Integrated Finance Limited (since 2002). Formerly, Partner, Long-Term Capital Management. Myron S. Scholes DFAITC - since 1993 90 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Stanford University. Partner, Oak Hill Capital and DEM. DIG - since 1993 Management. Chairman, Oak Hill Platinum Partners. Trustee of DFAITC. DEM - since 1994 Director, Chicago Mercantile Exchange. Consultant, Oak Hill Capital Arbor Investors. Formerly, Director, Smith Breeden Management, Inc. Family of Funds and Partner, Long-Term Capital 2775 Sand Hill Rd. Management. Director, American Century Fund Suite 220 Complex (registered investment companies) (35 Menlo Park, CA 94025 Portfolios). Date of Birth: 7/01/41 Abbie J. Smith DFAITC - since 2000 90 portfolios in 4 Boris and Irene Stern Professor of Accounting, Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Graduate School of Business, University of and DEM. DIG - since 2000 Chicago, Formerly, Marvin Bower Fellow, Harvard Trustee of DFAITC. DEM - since 2000 Business School (9/01 to 8/02). Director, HON Graduate School of Industries Inc. (office furniture) and Director, Business Ryder System Inc. (transportation). University of Chicago 1101 East 58th Street, Chicago, IL 60637 Date of Birth: 4/30/53 INTERESTED TRUSTEES/DIRECTORS** David G. Booth DFAITC - since 1993 90 portfolios in 4 Chairman, Director, Chief Executive Officer, Chief Chairman, Director, Chief DFAIDG - since 1981 investment companies Investment Officer and President of Dimensional Executive Officer, Chief DIG - since 1992 Fund Advisors Inc., DFA Securities Inc., DFAIDG, Investment Officer and DEM - since 1994 DIG and DEM. Chairman, Trustee, Chief Executive President of DFAIDG, DIG Officer, Chief Investment Officer and President of and DEM. Chairman, DFAITC. Director and Chief Investment Officer of Trustee, Chief Executive Dimensional Fund Advisors Ltd. Director, Chief Officer, Chief Investment Executive Officer, Chief Investment Officer and Officer and President of President of DFA Australia Ltd. Director of DFAITC. Dimensional Funds PLC. Chairman, Director, Chief 1299 Ocean Avenue Executive Officer and Chief Investment Officer of Santa Monica, CA 90401 Dimensional Fund Advisors Canada Inc. (All Chief Date of Birth: 12/02/46 Investment Officer positions held starting 1/1/2003 except for Dimensional Fund Advisors Canada Inc., which was from 6/17/2003.) Limited Partner, Oak Hill Partners. Director, University of Chicago Business School. Formerly, Director, SA Funds (registered investment company). Formerly Director, Assante Corporation (investment management) (until 2002).
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NAME, AGE, POSITION PORTFOLIOS WITHIN THE WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD ---------------------------------------------------------------------------------------------------------------------------------- Rex A. Sinquefield* DFAITC - since 1993 90 portfolios in 4 Chairman, Director and Chief Investment Officer of Chairman and Director of DFAIDG - since 1981 investment companies Dimensional Fund Advisors Inc., DFA Securities DFAIDG, DIG and DEM. DIG - since 1992 Inc., DFAIDG, DIG and DEM. Chairman, Trustee and Trustee and Chairman of DEM - since 1994 Chief Investment Officer of DFAITC. Director and DFAITC. President of Dimensional Fund Advisors Ltd. 1299 Ocean Avenue Director and Chief Investment Officer of DFA Santa Monica, CA 90401 Australia Ltd. Director of Dimensional Funds PLC Date of Birth: 9/07/44 and Dimensional Fund Advisors Canada Inc. (Chief Investment Officer positions held through 1/1/2003) Trustee, St. Louis University. Life Trustee and Member of Investment Committee, DePaul University. Director, The German St. Vincent Orphan Home. Member of Investment Committee, Archdiocese of St. Louis.
(1) Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. (2) Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. * Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife. ** Interested Directors are described as such because they are deemed to be "interested persons," as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors Inc. 120 OFFICERS The name, age, information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA Securities Inc., DFA Australia Limited, Dimensional Fund Advisors Ltd., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica, California 90401, unless otherwise indicated.
TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS --------------------------------------------------------------------------------------------------------------------------- OFFICERS Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Vice President Date of Birth: 11/07/55 Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Vice President and Assistant Entities and Dimensional Fund Advisors Canada Inc. Prior Secretary to April 2001, legal counsel for Dimensional (since March Date of Birth: 1/24/67 2000). Associate, Jones, Day, Reavis & Pogue from October 1991 to February 2000. Truman A. Clark Since 1996 Vice President of all the DFA Entities, except Vice President Dimensional Fund Advisors Ltd. Date of Birth: 4/08/41 James L. Davis Since 1999 Vice President of all the DFA Entities, except Vice President Dimensional Fund Advisors Ltd. Formerly at Kansas State Date of Birth: 11/29/56 University, Arthur Andersen & Co., and Phillips Petroleum Co. Robert T. Deere Since 1994 Vice President of all the DFA Entities. Vice President Date of Birth: 10/08/57 Robert W. Dintzner Since 2001 Vice President of all the DFA Entities, except Vice President Dimensional Fund Advisors Ltd. Prior to April 2001, Date of Birth: 3/18/70 marketing supervisor and marketing coordinator for Dimensional. Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Vice President and Assistant Entities, except Dimensional Fund Advisors Ltd. Secretary Date of Birth: 8/05/65 Eugene F. Fama, Jr. Since 1993 Vice President of all the DFA Entities, except Vice President Dimensional Fund Advisors Ltd. Date of Birth: 1/21/61 Robert M. Fezekas Since 2001 Vice President of all the DFA Entities, except Vice President Dimensional Fund Advisors Ltd. and DFA Australia Limited. Date of Birth: 10/28/70 Prior to December 2001, Portfolio Manager. Glenn S. Freed Vice President Since 2001 Vice President of all the DFA Entities, except Date of Birth: 11/24/61 Dimensional Fund Advisors Ltd. and DFA Australia Limited. Formerly, Professor and Associate Dean of the Leventhal School of Accounting (September 1998 to August 2001) and Academic Director Master of Business Taxation Program (June 1996 to August 2001) at the University of Southern California Marshall School of Business. Henry F. Gray Since 2000 Vice President of all the DFA Entities, except Vice President Dimensional Fund Advisors Ltd. Prior to July 2000, Date of Birth: 9/22/67 Portfolio Manager. Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer of all Vice President, Controller and the DFA Entities. Assistant Treasurer Date of Birth: 1/22/61
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TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS --------------------------------------------------------------------------------------------------------------------------- Patrick Keating Since 2003 Vice President of all the DFA Entities and Dimensional Vice President Fund Advisors Canada Inc. Formerly, Director, President Date of Birth: 12/21/54 and Chief Executive Officer, Assante Asset Management, Inc. (October 2000 to December 2002); Director, Assante Capital Management (October 2000 to December 2002); President and Chief Executive Officer, Assante Capital Management (October 2000 to April 2001); Executive Vice President, Assante Corporation (May 2001 to December 2002); Director, Assante Asset Management Ltd. (September 1997 to December 2002); President and Chief Executive Officer, Assante Asset Management Ltd. (September 1998 to May 2001); Executive Vice President, Loring Ward (financial services company) (January 1996 to September 1998) Stephen P. Manus Since 1997 Vice President of all the DFA Entities, except Vice President Dimensional Fund Advisors Ltd. Date of Birth: 12/26/50 David M. New Since 2003 Vice President of all the DFA Entities and Client Service Vice President Manager prior to becoming a Vice President; Director of Date of Birth: 02/09/60 Research, Wurts and Associates (investment consulting firm) from December 2000 to June 2002; and President, Kobe Investment Research from August 1999 to November 2000. Catherine L. Newell Since 2000 Vice President and Secretary of all the DFA Entities and Vice President and Secretary Dimensional Fund Advisors Canada Inc., except DFA Date of Birth: 5/07/64 Australia Limited, for which she is Vice President and Assistant Secretary. Director, Dimensional Funds PLC. Vice President and Assistant Secretary of all DFA Entities (1997-2000). David A. Plecha Since 1993 Vice President of all the DFA Entities. Vice President Date of Birth: 10/26/61 Edwardo A. Repetto Since 2002 Vice President of all the DFA Entities, except Vice President Dimensional Fund Advisors Ltd. and DFA Australia Limited. Date of Birth: 1/28/67 Research Associate for Dimensional Fund Advisors Inc. (June 2000 to April 2002). Research scientist (August 1998 to June 2000) and Faculty-Postdoctural Fellow (August 1997 to August 1998), California Institute of Technology. Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Treasurer of Vice President, Chief Financial all the DFA Entities and Dimensional Fund Advisors Canada Officer and Treasurer Inc. Director, Dimensional Funds, PLC. Date of Birth: 10/12/55 David E. Schneider Since 2001 Vice President of all the DFA Entities, except Vice President Dimensional Fund Advisors Ltd. and DFA Australia Limited. Santa Monica, CA Prior to 2001 and currently, Regional Director of Date of Birth: 1/26/46 Dimensional Fund Advisors Inc. John C. Siciliano Since 2001 Vice President of all the DFA Entities. Director, Vice President Dimensional Funds PLC. Managing Principal, Payden & Rygel Santa Monica, CA Investment Counsel from April 1998 through December 2000. Date of Birth: 8/24/54 Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities. Vice Executive Vice President President of Dimensional Fund Advisor Canada Inc. Santa Monica, CA Date of Birth: 12/02/46 Carl G. Snyder Since 2000 Vice President of all the DFA Entities, except Vice President Dimensional Fund Advisors Ltd. Prior to July 2000, Santa Monica, CA Portfolio Manager. Date of Birth: 6/08/63
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TERM OF OFFICE(1) NAME, AGE, POSITION WITH THE FUND AND LENGTH OF AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS --------------------------------------------------------------------------------------------------------------------------- Karen E. Umland Since 1997 Vice President of all the DFA Entities and Dimensional Vice President Fund Advisors Canada Inc. Santa Monica, CA Date of Birth: 3/10/66 Weston J. Wellington Since 1997 Vice President of all the DFA Entities, except Vice President Dimensional Fund Advisors Ltd. Santa Monica, CA Date of Birth: 3/01/51 Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities, except Vice President Dimensional Fund Advisors Ltd. and DFA Australia Limited. Santa Monica, CA President of Dimensional Fund Advisors Canada Inc. Prior Date of Birth: 3/03/45 to 2001 and currently, Director of Financial Advisors Services of Dimensional Fund Advisors Inc.
(1) Each officer holds office for an indefinite term at the pleasure of the Boards of Trustee/Directors and until his or her successor is elected and qualified. * Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife. 123 ITEM 2. CODE OF ETHICS. The Registrant has adopted a code of ethics that applies to the Registrant's Principal Executive Officer and Principal Financial Officer. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Registrant's board of trustees has determined that Abbie J. Smith possesses the technical attributes to qualify as an "audit committee financial expert" serving on the Registrant's Audit Committee and has designated Ms. Smith as the "audit committee financial expert." Ms. Smith earned a Ph.D. in Accounting, and has taught Accounting at the graduate level since 1980. Ms. Smith's education and career have provided her with an understanding of generally accepted accounting principles and financial statements; the ability to assess the general application of such principles in connection with the accounting for estimates, accruals and reserves; and experience preparing, analyzing and evaluating financial statements that present a breadth and level of complexity of issues that can reasonably be expected to be raised by the Registrant's financial statements. In addition, Ms. Smith has served on the boards of directors and audit committees of entities other than the Registrant. Ms. Smith is independent under the standards set forth in Item 3 of Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. This disclosure is not applicable. This disclosure is effective only for annual reports with periods ending on or after December 15, 2003. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. This disclosure is not applicable to the Registrant. ITEM 6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This disclosure is not applicable to the Registrant, which is an open-end management investment company. ITEM 8. [RESERVED] ITEM 9. 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 (the "1940 Act")) 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 who are making certifications in the Report, as appropriate, to allow timely decisions regarding required disclosure. The Registrant's management, including the Principal Executive Officer and the Principal Financial Officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. (b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Registrant's second fiscal half-year that have materially affected or are reasonably likely to materially affect the Registrant's internal control over financial reporting. ITEM 10. EXHIBITS. (a) Any code of ethics or amendments thereto. [Filed herewith.] (b) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith. (c) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. 2 SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized. The DFA Investment Trust Company By: /s/David G. Booth ---------------------- David G. Booth Co-Chairman, President, Chief Executive Officer and Chief Investment Officer Date: 2/3/04 ________________________ Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By: /s/ David G. Booth ------------------ David G. Booth Principal Executive Officer The DFA Investment Trust Company Date: 2/3/04 ________________________ By: /s/Michael T. Scardina ---------------------- Michael T. Scardina Principal Financial Officer The DFA Investment Trust Company Date: 2/3/04 ________________________ 3