<Page>
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
<Page>
ITEM 1. REPORTS TO STOCKHOLDERS.
<Page>
================================================================================
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
================================================================================
<Page>
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
TABLE OF CONTENTS
<Table>
<Caption>
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
</Table>
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
<Page>
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
------------------------------------------------
<Table>
<Caption>
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%
</Table>
- ----------
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)
--------------------------------------------------------------
<Table>
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%
</Table>
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
<Page>
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
<Page>
THE DFA INVESTMENT TRUST COMPANY
SCHEDULES OF INVESTMENTS
NOVEMBER 30, 2003
THE GLOBAL VALUE SERIES
<Table>
<Caption>
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
=============
</Table>
- ----------
++ The cost for federal income tax purposes is $81,104,434
THE GLOBAL LARGE COMPANY SERIES
<Table>
<Caption>
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
=============
</Table>
- ----------
++ The cost for federal income tax purposes is $39,987,707
THE GLOBAL SMALL COMPANY SERIES
<Table>
<Caption>
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
=============
</Table>
- ----------
++ The cost for federal income tax purposes is $100,596,092
- ----------
+ See Note B to Financial Statements
See accompanying Notes to Financial Statements.
3
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
<Caption>
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
=========== =========== ============
</Table>
See accompanying Notes to Financial Statements.
4
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
========= ======== =========
</Table>
See accompanying Notes to Financial Statements.
5
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
======== ======== ======== ========
<Caption>
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
========== =========
</Table>
See accompanying Notes to Financial Statements.
6
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
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
- -------------------------------------------------------------------------------------------------
<Caption>
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
- --------------------------------------------------------------------------------------
<Caption>
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
- --------------------------------------------------------------------------------------
</Table>
* 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
<Page>
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").
<Table>
<Caption>
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)
</Table>
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
<Page>
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:
<Table>
The Global Large Company Series 0.25 of 1%
The Global Small Company Series 0.375 of 1%
</Table>
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:
<Table>
The Global Value Series $ 921
The Global Large Company Series 425
The Global Small Company Series 1,140
</Table>
9
<Page>
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):
<Table>
<Caption>
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
</Table>
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):
<Table>
<Caption>
EXPIRES ON NOVEMBER 30
-------------------------------
2008 2009 2010 2011 TOTAL
---- ------ ------ ------ -------
The Global Large Company Series $ 8 $ 556 $ 625 $ 484 $ 1,673
</Table>
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
<Page>
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
<Page>
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
<Page>
LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
13
<Page>
<Table>
<Caption>
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
</Table>
14
<Page>
<Table>
<Caption>
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
</Table>
15
<Page>
<Table>
<Caption>
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
</Table>
16
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<Table>
<Caption>
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
</Table>
17
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<Table>
<Caption>
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
</Table>
18
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<Table>
<Caption>
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
</Table>
19
<Page>
<Table>
<Caption>
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
-----------------
</Table>
20
<Page>
<Table>
<Caption>
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
</Table>
21
<Page>
<Table>
<Caption>
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
-----------------
</Table>
22
<Page>
<Table>
<Caption>
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
-----------------
<Caption>
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
=================
</Table>
- ------
+ 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
<Page>
THE DFA INVESTMENT TRUST COMPANY
LARGE CAP INTERNATIONAL PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
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
============
</Table>
See accompanying Notes to Financial Statements.
24
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS)
<Table>
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
============
</Table>
See accompanying Notes to Financial Statements.
25
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
========= =========
</Table>
See accompanying Notes to Financial Statements.
26
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
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%
</Table>
See accompanying Notes to Financial Statements.
27
<Page>
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
<Page>
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):
<Table>
Purchases $ 89,343
Sales 3,082
</Table>
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
<Page>
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):
<Table>
Gross Unrealized Appreciation $ 69,658
Gross Unrealized Depreciation (75,960)
---------
Net $ 6,302
=========
</Table>
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
<Page>
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
<Page>
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
<Page>
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
33
<Page>
<Table>
<Caption>
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
</Table>
34
<Page>
<Table>
<Caption>
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
</Table>
35
<Page>
<Table>
<Caption>
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
</Table>
36
<Page>
<Table>
<Caption>
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
-----------------
<Caption>
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
=================
</Table>
- ----------
+ 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
<Page>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
38
<Page>
<Table>
<Caption>
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
-----------------
<Caption>
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
</Table>
39
<Page>
<Table>
<Caption>
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
=================
</Table>
- ----------
+ 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
<Page>
THE U.S. SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
41
<Page>
<Table>
<Caption>
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
</Table>
42
<Page>
<Table>
<Caption>
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
</Table>
43
<Page>
<Table>
<Caption>
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
</Table>
44
<Page>
<Table>
<Caption>
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
</Table>
45
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<Table>
<Caption>
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
</Table>
46
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<Table>
<Caption>
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
</Table>
47
<Page>
<Table>
<Caption>
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
</Table>
48
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<Table>
<Caption>
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
</Table>
49
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<Table>
<Caption>
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
</Table>
50
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<Table>
<Caption>
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
</Table>
51
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<Table>
<Caption>
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
</Table>
52
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<Table>
<Caption>
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
</Table>
53
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<Table>
<Caption>
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
</Table>
54
<Page>
<Table>
<Caption>
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
</Table>
55
<Page>
<Table>
<Caption>
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
</Table>
56
<Page>
<Table>
<Caption>
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
</Table>
57
<Page>
<Table>
<Caption>
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
</Table>
58
<Page>
<Table>
<Caption>
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
</Table>
59
<Page>
<Table>
<Caption>
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
</Table>
60
<Page>
<Table>
<Caption>
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
</Table>
61
<Page>
<Table>
<Caption>
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
</Table>
62
<Page>
<Table>
<Caption>
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
</Table>
63
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<Table>
<Caption>
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
</Table>
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<Caption>
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
</Table>
65
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<Caption>
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
</Table>
66
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<Caption>
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
</Table>
67
<Page>
<Table>
<Caption>
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
</Table>
68
<Page>
<Table>
<Caption>
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
-----------------
<Caption>
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
=================
</Table>
- ----------
+ 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
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
-----------------
</Table>
70
<Page>
<Table>
<Caption>
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
</Table>
71
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
-----------------
</Table>
74
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<Caption>
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
</Table>
75
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<Caption>
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
-----------------
</Table>
76
<Page>
<Table>
<Caption>
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
=================
</Table>
- ----------
+ 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
<Page>
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
79
<Page>
<Table>
<Caption>
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
</Table>
79
<Page>
<Table>
<Caption>
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
</Table>
80
<Page>
<Table>
<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
85
<Page>
<Table>
<Caption>
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
</Table>
86
<Page>
<Table>
<Caption>
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
-----------------
<Caption>
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
=================
</Table>
- ----------
+ 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
<Page>
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003 SHARES VALUE+
<Table>
<Caption>
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
</Table>
88
<Page>
<Table>
<Caption>
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
</Table>
89
<Page>
<Table>
<Caption>
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
</Table>
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<Caption>
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
</Table>
91
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<Caption>
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
</Table>
92
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<Caption>
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
</Table>
93
<Page>
<Table>
<Caption>
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
-----------------
</Table>
94
<Page>
<Table>
<Caption>
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
-----------------
<Caption>
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
=================
</Table>
+ 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
<Page>
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
96
<Page>
<Table>
<Caption>
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
</Table>
97
<Page>
<Table>
<Caption>
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
</Table>
98
<Page>
<Table>
<Caption>
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
</Table>
99
<Page>
<Table>
<Caption>
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
</Table>
100
<Page>
<Table>
<Caption>
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
-----------------
<Caption>
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
=================
</Table>
- ----------
+ 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
<Page>
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
102
<Page>
<Table>
<Caption>
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
</Table>
103
<Page>
<Table>
<Caption>
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
</Table>
104
<Page>
<Table>
<Caption>
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
</Table>
105
<Page>
<Table>
<Caption>
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
-----------------
</Table>
106
<Page>
<Table>
<Caption>
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
</Table>
107
<Page>
<Table>
<Caption>
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
</Table>
108
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<Table>
<Caption>
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
</Table>
109
<Page>
<Table>
<Caption>
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
-----------------
</Table>
110
<Page>
<Table>
<Caption>
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
</Table>
111
<Page>
<Table>
<Caption>
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
</Table>
112
<Page>
<Table>
<Caption>
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
</Table>
113
<Page>
<Table>
<Caption>
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
-----------------
</Table>
114
<Page>
<Table>
<Caption>
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
-----------------
<Caption>
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
=================
</Table>
- ----------
+ 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
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
<Caption>
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
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
116
<Page>
<Table>
<Caption>
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
============ ============ ============= ===========
</Table>
See accompanying Notes to Financial Statements.
117
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
============ ============ ============= =============
</Table>
See accompanying Notes to Financial Statements.
118
<Page>
<Table>
<Caption>
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
============ ============ ============= ===========
</Table>
See accompanying Notes to Financial Statements.
119
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
============= =============
</Table>
See accompanying Notes to Financial Statements.
120
<Page>
<Table>
<Caption>
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
============ ============ ============= =============
</Table>
See accompanying Notes to Financial Statements.
121
<Page>
<Table>
<Caption>
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
============ ============ ============= =============
</Table>
See accompanying Notes to Financial Statements.
122
<Page>
<Table>
<Caption>
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
============ ============ ============= =============
</Table>
See accompanying Notes to Financial Statements.
123
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
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%
- ----------------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------------
</Table>
N/A+ Not applicable as The U.S. Large Company Series is organized as a
partnership.
See accompanying Notes to Financial Statements.
124
<Page>
<Table>
<Caption>
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%
- ----------------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
125
<Page>
<Table>
<Caption>
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%
- ----------------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
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
<Page>
<Table>
<Caption>
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%
- ----------------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
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
<Page>
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
<Page>
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:
<Table>
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%
</Table>
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
129
<Page>
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:
<Table>
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
</Table>
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):
<Table>
<Caption>
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
</Table>
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
<Page>
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):
<Table>
<Caption>
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
</Table>
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):
<Table>
<Caption>
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
</Table>
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):
<Table>
<Caption>
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
<Caption>
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
</Table>
131
<Page>
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:
<Table>
<Caption>
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
</Table>
There were no outstanding borrowings under the line of credit at November
30, 2003.
132
<Page>
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
<Page>
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
<Page>
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.
<Table>
<Caption>
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).
</Table>
135
<Page>
<Table>
<Caption>
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).
</Table>
136
<Page>
<Table>
<Caption>
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.
</Table>
(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
<Page>
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.
<Table>
<Caption>
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
</Table>
138
<Page>
<Table>
<Caption>
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
</Table>
139
<Page>
<Table>
<Caption>
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.
</Table>
(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
<Page>
================================================================================
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
ANNUAL
REPORT
YEAR ENDED NOVEMBER 30, 2003
================================================================================
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
<Table>
<Caption>
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
</Table>
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
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
ANNUAL REPORT
TABLE OF CONTENTS
<Table>
<Caption>
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
</Table>
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
<Page>
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
TABLE OF CONTENTS
<Table>
<Caption>
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
</Table>
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
<Page>
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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- --------------------------------------------
14.90 -0.62 10.45
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS JULY 2, 1996
- ----------------------------------------------
15.36 -0.32 8.52
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- -----------------------------------------
20.11 5.48 11.61
</Table>
- - 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
<Page>
[CHART]
U.S. SMALL XM VALUE PORTFOLIO VS.
RUSSELL 2000 VALUE INDEX
FEBRUARY 23, 2000-NOVEMBER 30, 2003
GROWTH OF $10,000
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR FEBRUARY 23, 2000
- --------------------------------------------------
38.42 19.04
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- -----------------------------------------
45.92 16.25 15.17
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- ----------------------------------------
39.89 12.54 12.21
</Table>
- - 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
<Page>
[CHART]
U.S. MICRO CAP PORTFOLIO VS.
CRSP 9-10 INDEX
NOVEMBER 30, 1993-NOVEMBER 30, 2003
GROWTH OF $10,000
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- -------------------------------------
49.67 16.39 14.70
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- -----------------------------------------
33.47 13.96 10.92
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- --------------------------------------------
23.33 -0.42 4.78
</Table>
- - 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
<Page>
[CHART]
INTERNATIONAL SMALL COMPANY PORTFOLIO VS.
CITIGROUP EXTENDED MARKET INDEX-EPAC
SEPTEMBER 30, 1996-NOVEMBER 30, 2003
GROWTH OF $10,000
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS SEPTEMBER 30, 1996
- -----------------------------------------------------------
51.28 9.43 3.13
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- ----------------------------------------------
46.03 4.43 -4.09
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- -----------------------------------------
60.58 17.76 2.13
</Table>
- - 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
<Page>
[CHART]
UNITED KINGDOM SMALL COMPANY PORTFOLIO VS.
CITIGROUP EXTENDED MARKET INDEX-UNITED KINGDOM
NOVEMBER 30, 1993-NOVEMBER 30, 2003
GROWTH OF $10,000
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- ---------------------------------------------
44.03 10.46 8.84
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- ---------------------------------------------
52.08 6.89 9.55
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS DECEMBER 29, 1994
- --------------------------------------------------------
58.56 12.49 4.65
</Table>
- - 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
<Page>
[CHART]
EMERGING MARKETS PORTFOLIO VS.
MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY)
APRIL 25, 1994-NOVEMBER 30, 2003
GROWTH OF $10,000
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS APRIL 25, 1994
- ------------------------------------------------------
39.14 8.79 2.64
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS MARCH 5, 1998
- ----------------------------------------------------
51.86 14.59 10.75
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- --------------------------------------------
1.86 4.54 5.03
</Table>
- - 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
<Page>
[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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS FEBRUARY 9, 1996
- -------------------------------------------------------
2.28 4.87 5.44
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- ---------------------------------------------
4.02 6.29 5.57
</Table>
- - 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
<Page>
[CHART]
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
LEHMAN AGGREGATE INDEX
NOVEMBER 30, 1993-NOVEMBER 30, 2003
GROWTH OF $10,000
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- --------------------------------------------
4.44 5.78 6.81
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- ---------------------------------------------
4.85 6.81 6.89
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE
TOTAL RETURN (%) YEAR AUGUST 20, 2002
- -----------------------------------------------
3.18 2.45
</Table>
- - 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
<Page>
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
<Table>
CRSP 9-10 Index (micro cap companies) 61.06%
Russell 2000 Index (small companies) 36.28%
Russell 1000 Index (large companies) 16.95%
</Table>
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
<Table>
Russell 3000 Value Index 18.38%
Russell 3000 Growth Index 18.10%
</Table>
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
<Table>
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%
</Table>
- ----------
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
<Page>
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
<Page>
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
<Page>
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
<Table>
<Caption>
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%
</Table>
- ----------
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)
<Table>
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%
</Table>
12
<Page>
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
<Table>
<Caption>
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%
</Table>
- ----------
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
<Page>
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
<Page>
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
<Page>
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.
<Table>
<Caption>
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%
</Table>
- ----------
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
<Page>
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
<Page>
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
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
U.S. LARGE COMPANY PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
=================
</Table>
- ----------
++The cost for federal income tax purposes is $918,935,249
ENHANCED U.S. LARGE COMPANY PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
=================
</Table>
- ----------
++The cost for federal income tax purposes is $168,333,362
U.S. LARGE CAP VALUE PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
=================
</Table>
- ----------
++The cost for federal income tax purposes is $1,567,647,371
U.S. SMALL XM VALUE PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
=================
</Table>
- ----------
++The cost for federal income tax purposes is $78,870,352.
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
19
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
U.S. SMALL CAP VALUE PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
=================
</Table>
- ----------
++The cost for federal income tax purposes is $3,072,687,581.
U.S. SMALL CAP PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
=================
</Table>
- ----------
++The cost for federal income tax purposes is $973,048,782.
U.S. MICRO CAP PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
=================
</Table>
- ----------
++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
<Page>
DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
21
<Page>
<Table>
<Caption>
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
---------------
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
23
<Page>
<Table>
<Caption>
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
</Table>
24
<Page>
<Table>
<Caption>
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
</Table>
25
<Page>
<Table>
<Caption>
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
</Table>
26
<Page>
<Table>
<Caption>
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
</Table>
27
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<Table>
<Caption>
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
</Table>
28
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<Table>
<Caption>
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
</Table>
29
<Page>
<Table>
<Caption>
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
---------------
</Table>
30
<Page>
<Table>
<Caption>
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
</Table>
31
<Page>
<Table>
<Caption>
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
---------------
</Table>
32
<Page>
<Table>
<Caption>
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
---------------
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
INTERNATIONAL SMALL COMPANY PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
===============
</Table>
- ----------
++The cost for federal income tax purposes is $761,571,637
JAPANESE SMALL COMPANY PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
===============
</Table>
- ----------
++The cost for federal income tax purposes is $155,144,446
- ----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
34
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
PACIFIC RIM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
===============
</Table>
- ----------
++The cost for federal income tax purposes is $52,678,980.
UNITED KINGDOM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
===============
</Table>
- ----------
++The cost for federal income tax purposes is $8,045,916.
CONTINENTAL SMALL COMPANY PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
===============
</Table>
- ----------
++The cost for federal income tax purposes is $16,630,288
- ----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
35
<Page>
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
36
<Page>
<Table>
<Caption>
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
</Table>
37
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<Table>
<Caption>
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
</Table>
38
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<Table>
<Caption>
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
</Table>
39
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<Table>
<Caption>
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
</Table>
40
<Page>
<Table>
<Caption>
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
</Table>
41
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<Table>
<Caption>
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
</Table>
42
<Page>
<Table>
<Caption>
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
</Table>
43
<Page>
<Table>
<Caption>
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
</Table>
44
<Page>
<Table>
<Caption>
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
</Table>
45
<Page>
<Table>
<Caption>
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
</Table>
46
<Page>
<Table>
<Caption>
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
</Table>
47
<Page>
<Table>
<Caption>
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
---------------
</Table>
48
<Page>
<Table>
<Caption>
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
</Table>
49
<Page>
<Table>
<Caption>
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
</Table>
50
<Page>
<Table>
<Caption>
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
</Table>
51
<Page>
<Table>
<Caption>
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
</Table>
52
<Page>
<Table>
<Caption>
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
</Table>
53
<Page>
<Table>
<Caption>
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
</Table>
54
<Page>
<Table>
<Caption>
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
</Table>
55
<Page>
<Table>
<Caption>
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
---------------
</Table>
56
<Page>
<Table>
<Caption>
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
</Table>
57
<Page>
<Table>
<Caption>
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
---------------
</Table>
58
<Page>
<Table>
<Caption>
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
---------------
<Caption>
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
===============
</Table>
- ------
+ 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
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
EMERGING MARKETS PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
=================
</Table>
- ----------
++The cost for federal income tax purposes is $498,852,706.
EMERGING MARKETS SMALL CAP PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
=================
</Table>
- ----------
++The cost for federal income tax purposes is $68,689,030.
DFA ONE-YEAR FIXED INCOME PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
=================
</Table>
- ----------
++The cost for federal income tax purposes is $1,447,932,919.
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
=================
</Table>
- ----------
++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
<Page>
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
===============
</Table>
- -------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $403,001,170.
See accompanying Notes to Financial Statements.
61
<Page>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
---------------
</Table>
62
<Page>
<Table>
<Caption>
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
===============
</Table>
- -------
+ 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
<Page>
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
===============
</Table>
- -------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $291,647,602.
See accompanying Notes to Financial Statements.
64
<Page>
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
---------------
</Table>
65
<Page>
<Table>
<Caption>
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
---------------
</Table>
66
<Page>
<Table>
<Caption>
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
</Table>
67
<Page>
<Table>
<Caption>
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
---------------
</Table>
68
<Page>
<Table>
<Caption>
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
---------------
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
<Caption>
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
=============== =============== =============== ===============
<Caption>
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
=============== =============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
70
<Page>
<Table>
<Caption>
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
=============== =============== =============== ===============
<Caption>
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
=============== =============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
71
<Page>
<Table>
<Caption>
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
=============== =============== =============== ===============
<Caption>
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
=============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
72
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
=============== =============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
73
<Page>
<Table>
<Caption>
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
=============== =============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
74
<Page>
<Table>
<Caption>
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
=============== =============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
75
<Page>
<Table>
<Caption>
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
=============== =============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
76
<Page>
<Table>
<Caption>
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
=============== =============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
77
<Page>
<Table>
<Caption>
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
=============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
78
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
============ ============ ============ ============
<Caption>
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.
</Table>
79
<Page>
<Table>
<Caption>
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)
============ ============ ============ ============
<Caption>
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
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
80
<Page>
<Table>
<Caption>
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
============ ============ ============ ============
<Caption>
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)
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
81
<Page>
<Table>
<Caption>
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)
============ ============ ============ ============
<Caption>
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
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
82
<Page>
<Table>
<Caption>
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
============ ============ ============ ============
<Caption>
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
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
83
<Page>
<Table>
<Caption>
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)
============ ============ ============ ============
<Caption>
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
============ ============
</Table>
(2) Commencement of Operations.
See accompanying Notes to the Financial Statements.
84
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
** 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
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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)
- -------------------------------------------------------------------------------------------------------------
</Table>
* 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
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
** 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
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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@
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
(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
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
(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
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
** 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
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
** 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
<Page>
<Table>
<Caption>
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@
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
(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
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
** 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
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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@
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
(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
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
95
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------
</Table>
(1) Commencement of operations
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
96
<Page>
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"):
<Table>
<Caption>
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%
</Table>
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
<Page>
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
<Page>
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:
<Table>
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%
</Table>
(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
<Page>
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:
<Table>
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%
</Table>
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
<Page>
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:
<Table>
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
</Table>
101
<Page>
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):
<Table>
<Caption>
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 --
</Table>
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).
<Table>
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)
</Table>
102
<Page>
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):
<Table>
<Caption>
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
</Table>
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):
<Table>
<Caption>
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
</Table>
103
<Page>
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:
<Table>
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
</Table>
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.
<Table>
<Caption>
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
</Table>
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):
<Table>
<Caption>
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) -- --
<Caption>
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
</Table>
104
<Page>
<Table>
<Caption>
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 -- -- --
<Caption>
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
</Table>
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
<Page>
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
<Page>
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
<Page>
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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS FEBRUARY 15, 1994
- ----------------------------------------------------------
35.94 5.06 5.70
</Table>
- - 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
<Page>
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
<Table>
<Caption>
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%
</Table>
- ----------
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)
<Table>
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%
</Table>
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
<Page>
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
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
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
==============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $650,332.
See accompanying Notes to Financial Statements.
111
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS)
<Table>
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
==============
</Table>
See accompanying Notes to Financial Statements.
112
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
============ ============
</Table>
See accompanying Notes to Financial Statements.
113
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
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%
</Table>
- ----------
** 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
<Page>
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
<Page>
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):
<Table>
Gross Unrealized Appreciation $ 98,131
Gross Unrealized Depreciation --
--------
Net $ 98,131
========
</Table>
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
<Page>
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
<Page>
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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- -------------------------------------------
15.03 -0.53 10.57
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS JULY 2, 1996
- --------------------------------------------------
15.70 -0.10 8.83
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- -------------------------------------------
20.34 5.63 11.79
</Table>
- - 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
<Page>
[CHART]
THE U.S. SMALL XM VALUE SERIES VS.
RUSSELL 2000 VALUE INDEX
FEBRUARY 6, 1998-NOVEMBER 30, 2003
GROWTH OF $10,000
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS FEBRUARY 6, 1998
- ------------------------------------------------------
38.88 14.14 9.34
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- -------------------------------------------
46.33 16.62 15.54
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- -------------------------------------------
40.32 12.91 12.59
</Table>
- - 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
<Page>
[CHART]
THE U.S. MICRO CAP SERIES VS.
CRSP 9-10 INDEX
NOVEMBER 28, 1997-NOVEMBER 30, 2003
GROWTH OF $10,000
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS NOVEMBER 28, 1997
- -------------------------------------------------------
50.34 16.88 11.72
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS FEBRUARY 15, 1994
- -------------------------------------------------------
36.26 5.30 5.93
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS AUGUST 9, 1996
- ----------------------------------------------------
47.86 5.07 -7.78
</Table>
- - 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
<Page>
[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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS AUGUST 9, 1996
- ----------------------------------------------------
61.45 18.27 2.27
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS AUGUST 9, 1996
- ----------------------------------------------------
44.67 10.98 8.15
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS AUGUST 9, 1996
- ----------------------------------------------------
52.85 7.37 9.85
</Table>
- - 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
<Page>
[CHART]
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY)
APRIL 25, 1994-NOVEMBER 30, 2003
GROWTH OF $10,000
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS APRIL 25, 1994
- ----------------------------------------------------
39.68 9.18 3.19
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS DECEMBER 2, 1996
- -------------------------------------------------------
52.80 15.01 4.34
</Table>
- - 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
<Page>
[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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- ------------------------------------------
1.97 4.64 5.14
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS FEBRUARY 9, 1996
- -----------------------------------------------------
2.37 4.99 5.57
</Table>
- - 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
<Page>
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
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<Caption>
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
</Table>
125
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<Table>
<Caption>
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
</Table>
126
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<Table>
<Caption>
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
</Table>
127
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<Table>
<Caption>
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
---------------
</Table>
<Table>
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
THE ENHANCED U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
---------------
</Table>
129
<Page>
<Table>
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
131
<Page>
<Table>
<Caption>
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
---------------
</Table>
<Table>
<Caption>
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
</Table>
132
<Page>
<Table>
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
THE U.S. SMALL XM VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
134
<Page>
<Table>
<Caption>
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
</Table>
135
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<Table>
<Caption>
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
</Table>
136
<Page>
<Table>
<Caption>
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
</Table>
137
<Page>
<Table>
<Caption>
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
---------------
</Table>
138
<Page>
<Table>
<Caption>
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
==============
</Table>
- ----------
+ 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
<Page>
THE U.S. SMALL CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
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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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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+
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* 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
</Table>
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SHARES VALUE+
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*# 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+
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* 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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* 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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
152
<Page>
<Table>
<Caption>
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
---------------
<Caption>
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
</Table>
153
<Page>
<Table>
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
THE U.S. SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
155
<Page>
<Table>
<Caption>
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
</Table>
156
<Page>
<Table>
<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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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
</Table>
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<Caption>
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
</Table>
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<Caption>
SHARES VALUE+
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* 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
</Table>
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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
</Table>
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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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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SHARES VALUE+
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* 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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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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<Caption>
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
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
180
<Page>
<Table>
<Caption>
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
</Table>
181
<Page>
<Table>
<Caption>
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
</Table>
182
<Page>
<Table>
<Caption>
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
---------------
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
THE U.S. MICRO CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
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* 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
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* 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+
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* 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+
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* 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
</Table>
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SHARES VALUE+
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* 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
</Table>
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SHARES VALUE+
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* 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+
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*# 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+
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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
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SHARES VALUE+
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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
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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
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* 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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* 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+
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* 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
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* 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+
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* 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
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SHARES VALUE+
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* 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+
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* 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+
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* 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
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SHARES VALUE+
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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
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SHARES VALUE+
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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
</Table>
205
<Page>
<Table>
<Caption>
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
</Table>
206
<Page>
<Table>
<Caption>
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
---------------
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
---------------
</Table>
208
<Page>
<Table>
<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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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<Caption>
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
</Table>
213
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<Caption>
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
---------------
</Table>
214
<Page>
<Table>
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
216
<Page>
<Table>
<Caption>
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
</Table>
217
<Page>
<Table>
<Caption>
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
</Table>
218
<Page>
<Table>
<Caption>
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
</Table>
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<Caption>
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
</Table>
220
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
223
<Page>
<Table>
<Caption>
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
</Table>
224
<Page>
<Table>
<Caption>
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
---------------
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
226
<Page>
<Table>
<Caption>
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
</Table>
227
<Page>
<Table>
<Caption>
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
</Table>
228
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<Caption>
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
</Table>
229
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<Caption>
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
</Table>
230
<Page>
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<Caption>
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
</Table>
231
<Page>
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<Caption>
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
---------------
</Table>
232
<Page>
<Table>
<Caption>
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
---------------
<Caption>
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
===============
</Table>
+ 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
<Page>
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
234
<Page>
<Table>
<Caption>
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
</Table>
235
<Page>
<Table>
<Caption>
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
</Table>
236
<Page>
<Table>
<Caption>
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
</Table>
237
<Page>
<Table>
<Caption>
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
</Table>
238
<Page>
<Table>
<Caption>
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
---------------
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
240
<Page>
<Table>
<Caption>
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
</Table>
241
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<Table>
<Caption>
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
</Table>
242
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<Table>
<Caption>
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
</Table>
243
<Page>
<Table>
<Caption>
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
---------------
</Table>
244
<Page>
<Table>
<Caption>
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
</Table>
245
<Page>
<Table>
<Caption>
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
</Table>
246
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<Table>
<Caption>
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
</Table>
247
<Page>
<Table>
<Caption>
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
---------------
</Table>
248
<Page>
<Table>
<Caption>
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
</Table>
249
<Page>
<Table>
<Caption>
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
</Table>
250
<Page>
<Table>
<Caption>
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
</Table>
251
<Page>
<Table>
<Caption>
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
---------------
</Table>
252
<Page>
<Table>
<Caption>
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
---------------
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
254
<Page>
<Table>
<Caption>
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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<Caption>
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
</Table>
256
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<Caption>
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
</Table>
257
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<Table>
<Caption>
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
</Table>
258
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<Table>
<Caption>
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
---------------
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
260
<Page>
<Table>
<Caption>
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
</Table>
261
<Page>
<Table>
<Caption>
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
</Table>
262
<Page>
<Table>
<Caption>
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
</Table>
263
<Page>
<Table>
<Caption>
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
</Table>
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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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<Caption>
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
</Table>
268
<Page>
<Table>
<Caption>
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
</Table>
269
<Page>
<Table>
<Caption>
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
---------------
</Table>
270
<Page>
<Table>
<Caption>
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
---------------
</Table>
271
<Page>
<Table>
<Caption>
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
---------------
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
THE DFA ONE-YEAR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
273
<Page>
<Table>
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
---------------
</Table>
275
<Page>
<Table>
<Caption>
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
===============
</Table>
- ----------
+ 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
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
<Caption>
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
============= ============= ============= =============
</Table>
<Table>
<Caption>
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
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
277
<Page>
<Table>
<Caption>
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
============= ============= ============= =============
</Table>
<Table>
<Caption>
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
============= ============= ============= ===============
</Table>
See accompanying Notes to Financial Statements.
278
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
279
<Page>
<Table>
<Caption>
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
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
280
<Page>
<Table>
<Caption>
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
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
281
<Page>
<Table>
<Caption>
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
============= ============= ============= ===============
</Table>
See accompanying Notes to Financial Statements.
282
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
=========== =========== =========== ===========
<Caption>
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
=========== ===========
</Table>
See accompanying Notes to Financial Statements.
283
<Page>
<Table>
<Caption>
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
=========== =========== =========== =========== =========== ===========
<Caption>
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
=========== ===========
</Table>
See accompanying Notes to Financial Statements.
284
<Page>
<Table>
<Caption>
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
========= ========= ========= ========= ========= =========
<Caption>
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
========= =========
</Table>
See accompanying Notes to Financial Statements.
285
<Page>
<Table>
<Caption>
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
========= =========
<Caption>
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
========== =========
</Table>
See accompanying Notes to Financial Statements.
286
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
N/A+ Not applicable as The U.S. Large Company Series is organized as a
partnership.
See accompanying Notes to Financial Statements.
287
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
288
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
289
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
290
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
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
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
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
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
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
<Page>
<Table>
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
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%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
294
<Page>
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
<Page>
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
<Page>
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:
<Table>
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%
</Table>
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:
<Table>
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
</Table>
297
<Page>
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):
<Table>
<Caption>
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
</Table>
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
<Page>
gains. Accordingly, the Series has reclassified the following amounts from
undistributed net investment income and accumulated net realized gains to paid
in capital:
<Table>
Accumulated Net Investment Income $ 2,404,298
Accumulated Net Realized Gain/Loss 29,842,733
</Table>
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).
<Table>
The DFA International Value Series $ 205,083
The DFA Two-Year Global Fixed Income Series (297,926)
</Table>
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):
<Table>
<Caption>
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)
</Table>
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):
<Table>
<Caption>
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
</Table>
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
<Page>
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):
<Table>
<Caption>
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)
<Caption>
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
</Table>
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
<Page>
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
<Page>
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:
<Table>
<Caption>
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
</Table>
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
<Page>
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
<Page>
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.
<Table>
<Caption>
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).
</Table>
304
<Page>
<Table>
<Caption>
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).
</Table>
305
<Page>
<Table>
<Caption>
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.
</Table>
(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
<Page>
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.
<Table>
<Caption>
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
</Table>
307
<Page>
<Table>
<Caption>
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
</Table>
308
<Page>
<Table>
<Caption>
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.
</Table>
(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
<Page>
================================================================================
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
================================================================================
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
<Table>
<Caption>
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
</Table>
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
<Page>
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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR DECEMBER 14, 1998
- -------------------------------------------------
22.79 3.09
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR SEPTEMBER 25, 2001
- -------------------------------------------------
18.20 4.99
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR 12/11/98
- ------------------------------------------
44.29 14.46
</Table>
- - 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
<Page>
[CHART]
TAX-MANAGED U.S. SMALL CAP PORTFOLIO VS.
RUSSELL 2000 INDEX
DECEMBER 15, 1998-NOVEMBER 30, 2003
GROWTH OF $10,000
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR DECEMBER 15, 1998
- -------------------------------------------------
42.30 12.60
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR 4/16/99
- -----------------------------------------
34.19 2.81
</Table>
- - 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
<Page>
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
<Table>
CRSP 9-10 Index (micro cap companies) 61.06%
Russell 2000 Index (small companies) 36.28%
Russell 1000 Index (large companies) 16.95%
</Table>
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
<Table>
Russell 3000 Value Index 18.38%
Russell 3000 Growth Index 18.10%
</Table>
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
<Table>
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%
</Table>
- ----------
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
<Page>
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
<Page>
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
<Table>
<Caption>
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%
</Table>
- ----------
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)
<Table>
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%
</Table>
5
<Page>
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
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
==============
</Table>
- ----------
++The cost for federal income tax purposes is $591,030,879.
TAX-MANAGED U.S. EQUITY PORTFOLIO
NOVEMBER 30, 2003
<Table>
<Caption>
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
==============
</Table>
- ----------
++The cost for federal income tax purposes is $301,337,860.
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
7
<Page>
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
8
<Page>
<Table>
<Caption>
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
</Table>
9
<Page>
<Table>
<Caption>
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
</Table>
10
<Page>
<Table>
<Caption>
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
</Table>
11
<Page>
<Table>
<Caption>
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
</Table>
12
<Page>
<Table>
<Caption>
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
</Table>
13
<Page>
<Table>
<Caption>
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
</Table>
14
<Page>
<Table>
<Caption>
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
</Table>
15
<Page>
<Table>
<Caption>
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
</Table>
16
<Page>
<Table>
<Caption>
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
</Table>
17
<Page>
<Table>
<Caption>
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
</Table>
18
<Page>
<Table>
<Caption>
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
</Table>
19
<Page>
<Table>
<Caption>
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
</Table>
20
<Page>
<Table>
<Caption>
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
</Table>
21
<Page>
<Table>
<Caption>
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
-----------------
</Table>
22
<Page>
<Table>
<Caption>
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
-----------------
<Caption>
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
=================
</Table>
- ----------
+ 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
<Page>
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
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<Caption>
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
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SHARES VALUE+
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* 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+
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* 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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* 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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* 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
</Table>
28
<Page>
<Table>
<Caption>
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
</Table>
29
<Page>
<Table>
<Caption>
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
</Table>
30
<Page>
<Table>
<Caption>
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
</Table>
31
<Page>
<Table>
<Caption>
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
</Table>
32
<Page>
<Table>
<Caption>
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
</Table>
33
<Page>
<Table>
<Caption>
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
</Table>
34
<Page>
<Table>
<Caption>
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
</Table>
35
<Page>
<Table>
<Caption>
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
</Table>
36
<Page>
<Table>
<Caption>
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
</Table>
37
<Page>
<Table>
<Caption>
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
</Table>
38
<Page>
<Table>
<Caption>
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
</Table>
39
<Page>
<Table>
<Caption>
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
</Table>
40
<Page>
<Table>
<Caption>
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
</Table>
41
<Page>
<Table>
<Caption>
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
</Table>
42
<Page>
<Table>
<Caption>
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
</Table>
43
<Page>
<Table>
<Caption>
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
</Table>
44
<Page>
<Table>
<Caption>
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
</Table>
45
<Page>
<Table>
<Caption>
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
</Table>
46
<Page>
<Table>
<Caption>
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
</Table>
47
<Page>
<Table>
<Caption>
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
</Table>
48
<Page>
<Table>
<Caption>
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
-----------------
<Caption>
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
=================
</Table>
- ----------
+ 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
<Page>
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
50
<Page>
<Table>
<Caption>
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
</Table>
51
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<Table>
<Caption>
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
</Table>
52
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<Caption>
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
-----------------
</Table>
53
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<Caption>
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
</Table>
54
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<Caption>
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
</Table>
55
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<Table>
<Caption>
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
</Table>
56
<Page>
<Table>
<Caption>
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
-----------------
</Table>
57
<Page>
<Table>
<Caption>
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
-----------------
<Caption>
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
=================
</Table>
- ----------
+ 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
<Page>
DFA INVESTMENT DIMENSIONS GROUP
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
<Caption>
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
================ ================ ================
<Caption>
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
================ ================
</Table>
See accompanying Notes to Financial Statements.
59
<Page>
DFA INVESTMENT DIMENSIONS GROUP
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
================ ================ ================
</Table>
See accompanying Notes to Financial Statements.
60
<Page>
<Table>
<Caption>
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
================ ================
</Table>
See accompanying Notes to Financial Statements.
61
<Page>
DFA INVESTMENT DIMENSIONS GROUP
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
========= ========= ========= ========= =========== =========
</Table>
See accompanying Notes to the Financial Statements.
62
<Page>
DFA INVESTMENT DIMENSIONS GROUP
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
63
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
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%
<Caption>
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%
</Table>
* 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
<Page>
<Table>
<Caption>
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%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
65
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
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%
<Caption>
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%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
66
<Page>
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
<Page>
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:
<Table>
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%
</Table>
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
<Page>
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:
<Table>
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
</Table>
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):
<Table>
<Caption>
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
</Table>
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
<Page>
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):
<Table>
<Caption>
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
</Table>
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):
<Table>
<Caption>
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
</Table>
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.
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<Page>
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:
<Table>
<Caption>
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
</Table>
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):
<Table>
<Caption>
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
============ ========== ============
<Caption>
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
============ ===========
</Table>
71
<Page>
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
<Page>
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
<Page>
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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR DECEMBER 14, 1998
- ----------------------------------------------
22.87 3.32
</Table>
- - 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
<Table>
<Caption>
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
</Table>
<Table>
<Caption>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR SEPTEMBER 25, 2001
- -----------------------------------------------
18.50 5.12
</Table>
- - 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
<Page>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
75
<Page>
<Table>
<Caption>
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
</Table>
76
<Page>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
<Table>
<Caption>
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
</Table>
77
<Page>
<Table>
<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Table>
<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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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
</Table>
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<Caption>
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
-----------------
</Table>
87
<Page>
<Table>
<Caption>
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
-----------------
<Caption>
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
=================
</Table>
- ----------
+ 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
<Page>
THE TAX-MANAGED U.S. EQUITY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2003
<Table>
<Caption>
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
</Table>
89
<Page>
<Table>
<Caption>
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
</Table>
90
<Page>
<Table>
<Caption>
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
</Table>
91
<Page>
<Table>
<Caption>
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
</Table>
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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
</Table>
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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
</Table>
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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
</Table>
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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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Table>
<Caption>
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
</Table>
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<Table>
<Caption>
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
</Table>
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<Table>
<Caption>
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
</Table>
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<Table>
<Caption>
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
</Table>
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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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
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<Caption>
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
</Table>
107
<Page>
<Table>
<Caption>
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
</Table>
108
<Page>
<Table>
<Caption>
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
-----------------
<Caption>
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
=================
</Table>
- ----------
+ 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
<Page>
DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
110
<Page>
DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2003
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
111
<Page>
DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
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
============ ============ ============ ============
</Table>
See accompanying Notes to Financial Statements.
112
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
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%
<Caption>
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%
</Table>
* 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
<Page>
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
<Page>
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:
<Table>
The Tax-Managed U.S. Marketwide Value Series 0.20 of 1%
The Tax-Managed U.S. Equity Series 0.05 of 1%
</Table>
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:
<Table>
The Tax-Managed U.S. Marketwide Value Series $ 11,776
The Tax-Managed U.S. Equity Series 3,628
</Table>
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):
<Table>
<Caption>
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
</Table>
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):
<Table>
<Caption>
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
</Table>
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
<Page>
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:
<Table>
<Caption>
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
</Table>
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
<Page>
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
<Page>
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.
<Table>
<Caption>
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).
</Table>
118
<Page>
<Table>
<Caption>
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).
</Table>
119
<Page>
<Table>
<Caption>
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.
</Table>
(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
<Page>
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.
<Table>
<Caption>
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
</Table>
121
<Page>
<Table>
<Caption>
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
</Table>
122
<Page>
<Table>
<Caption>
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.
</Table>
(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
<Page>
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
<Page>
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