<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 811-6067
--------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
Dimensional Investment Group Inc.,
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 310-395-8005
Date of fiscal year end: November 30
Date of reporting period: December 1, 2003 - May 31, 2004
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ITEM 1. REPORTS TO STOCKHOLDERS.
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DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL
INDEX PORTFOLIO
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2004
(UNAUDITED)
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DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
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DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities 1
Statement of Operations 2
Statements of Changes in Net Assets 3
Financial Highlights 4
Notes to Financial Statements 5
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE COMPANY SERIES
Schedule of Investments 8
Statement of Assets and Liabilities 13
Statement of Operations 14
Statements of Changes in Net Assets 15
Financial Highlights 16
Notes to Financial Statements 17
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 20
</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
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DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The U.S. Large Company Series of The DFA Investment Trust Company
(Cost $397,674)++ at Value+ $ 477,803
Receivables for Fund Shares Sold 277
Prepaid Expenses and Other Assets 17
--------------
Total Assets 478,097
--------------
LIABILITIES:
Payables:
Investment Securities Purchased 21
Fund Shares Redeemed 256
Accrued Expenses and Other Liabilities 42
--------------
Total Liabilities 319
--------------
NET ASSETS $ 477,778
==============
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000) 54,241,520
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 8.81
==============
NET ASSETS CONSIST OF:
Paid-in Capital $ 491,980
Accumulated Net Investment Income (Loss) 1,725
Accumulated Net Realized Gain (Loss) (97,083)
Unrealized Appreciation (Depreciation) of:
Investment Securities 80,129
Futures 1,027
--------------
Total Net Assets $ 477,778
==============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $412,294.
See accompanying Notes to Financial Statements.
1
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DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends $ 3,709
Interest 37
Income from Securities Lending 24
Expenses Allocated from Master Fund (121)
--------------
Total Investment Income 3,649
--------------
EXPENSES
Administrative Services 113
Accounting & Transfer Agent Fees 50
Legal Fees 7
Audit Fees 3
Filing Fees 28
Shareholders' Reports 17
Directors' Fees and Expenses 4
Other 2
--------------
Total Expenses 224
Fees Waived, Expenses Reimbursed and/or Previously Waived Fees
Recovered by Advisor (Note C) (113)
--------------
Net Expenses 111
--------------
NET INVESTMENT INCOME (LOSS) 3,538
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold (222)
Net Realized Gain (Loss) on Futures 1,094
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 23,120
Futures (244)
--------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 23,748
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 27,286
==============
</Table>
See accompanying Notes to Financial Statements.
2
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DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 3,538 $ 5,479
Net Realized Gain (Loss) on Investment Securities Sold (222) (15,063)
Net Realized Gain (Loss) on Futures 1,094 1,349
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 23,120 57,547
Futures (244) (362)
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 27,286 48,950
------------ ------------
Distributions From:
Net Investment Income (3,340) (5,127)
------------ ------------
Total Distributions (3,340) (5,127)
------------ ------------
Capital Share Transactions (1):
Shares Issued 70,398 140,590
Shares Issued in Lieu of Cash Distributions 3,319 5,022
Shares Redeemed (18,840) (95,888)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 54,877 49,724
------------ ------------
Total Increase (Decrease) 78,823 93,547
NET ASSETS
Beginning of Period 398,955 305,408
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End of Period $ 477,778 $ 398,955
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 8,029 18,814
Shares Issued in Lieu of Cash Distributions 383 686
Shares Redeemed (2,145) (13,045)
------------ ------------
6,267 6,455
============ ============
</Table>
See accompanying Notes to Financial Statements.
3
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DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR SEP. 23,
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 8.32 $ 7.36 $ 8.94 $ 10.31 $ 10.87 $ 10.00
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.07 0.13 0.11 0.11 0.11 0.02
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.49 0.95 (1.58) (1.37) (0.57) 0.85
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations 0.56 1.08 (1.47) (1.26) (0.46) 0.87
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.12) (0.11) (0.11) (0.10) --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.07) (0.12) (0.11) (0.11) (0.10) --
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 8.81 $ 8.32 $ 7.36 $ 8.94 $ 10.31 $ 10.87
=========== =========== =========== =========== =========== ===========
Total Return 6.71%# 14.94% (16.61)% (12.31)% (4.28)% 8.70%#
Net Assets, End of Period
(thousands) $ 447,778 $ 398,955 $ 305,408 $ 219,629 $ 174,078 $ 55,887
Ratio of Expenses to Average Net
Assets (1) 0.10%* 0.11% 0.10% 0.10% 0.10% 0.10%*
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived
fees) (1) 0.15%* 0.16% 0.17% 0.16% 0.17% 0.35%*
Ratio of Net Investment Income to
Average Net Assets 1.56%* 1.69% 1.49% 1.22% 1.07% 1.20%*
Ratio of Net Investment Income to
Average Net Assets (excluding
waivers and assumption of
expenses and/or recovery of
previously waived fees) 1.51%* 1.64% 1.42% 1.16% 1.00% 0.95%*
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series 1%# 8% 11% 8% 8% 4%(a)
</Table>
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* Annualized
# Non-annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of the Master Fund Series.
(a) For the year ended November 30, 1999.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
4
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DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twenty-five portfolios, of
which U.S. Large Company Institutional Index Portfolio (the "Portfolio") is
presented in this report.
The Portfolio invests all of its assets in The U.S. Large Company Series
(the "Series" or the "Master Fund"), a corresponding series of The DFA
Investment Trust Company. At May 31, 2004, the Portfolio owned 14% 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. 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 Portfolio's investment reflects its proportionate
interest in the net assets of the Series.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses. At May 31, 2004, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities in the amount of
$6,342.
3. OTHER: The Portfolio accrues its share of income and expenses daily on
its investment in the Series, which is treated as a partnership for federal
income tax purposes. All of the net investment income and realized and
unrealized gains or losses from the security transactions of the Series are
allocated pro rata among its investors at the time of such determination.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Expenses directly attributable to the Portfolio or to the
Series are directly charged. Common expenses of the Fund or Portfolios are
allocated using methods approved by the Board of Directors, generally based on
average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
5
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of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2004, the
Portfolio's Administrative Fees were accrued daily and paid monthly to the
Advisor at an effective annual rate of 0.05 of 1% of average daily net assets.
The Advisor has agreed to waive its administration fee to the extent
necessary to reduce the Portfolio's expenses to the extent that its total direct
and indirect expenses (including the expenses the Portfolio bears as a
shareholder of the Master Fund) exceed 0.10% of its average net assets on an
annualized basis. At any time that the total direct and indirect expenses of the
Portfolio are less than 0.10% of its average net assets on an annualized basis,
the Advisor retains the right to seek reimbursement for any fees previously
waived to the extent that such reimbursement will not cause the Portfolio's
total direct and indirect expenses to exceed 0.10% of its average net assets on
an annualized basis. The Portfolio is not obligated to reimburse the Advisor for
fees waived by the Advisor more than thirty-six months prior to the date of such
reimbursement. The expense waiver will remain in effect for a period of one year
from April 1, 2004 to April 1, 2005, and shall continue to remain in effect from
year to year thereafter unless terminated by the Fund or the Advisor. At May 31,
2004, approximately $533,000 of waived fees are subject to future reimbursement
to the Advisor over various periods not exceeding May 31, 2007.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
D. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Fund intends to
continue to qualify as a regulated investment company under Subchapter M of the
Internal Revenue Code and distribute substantially all of its taxable income and
capital gains to shareholders. Because income tax regulations differ from
accounting principles generally accepted in the United States of America, the
timing and character of income and capital gain distributions determined in
accordance with tax regulations can differ from income and capital gains
recognized for financial reporting purposes. Accordingly, the character of
distributions and the composition of net assets for tax purposes can differ from
those reflected in the financial statements. These book/tax differences may be
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid in capital, accumulated net realized gain
(loss) or undistributed net investment income as appropriate, in the period the
differences arise. These reclassifications have no effect on net assets or net
asset value per share.
Short-term gain distributions to shareholders are treated as ordinary income
for tax purposes.
The components of distributable earnings on a tax basis differ from book
basis distributable earnings, which are disclosed in the Statement of Assets and
Liabilities mainly due to wash sales which have the effect of reducing tax basis
distributable earnings.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
Gross Unrealized Appreciation $ 80,129
Gross Unrealized Depreciation (14,620)
----------
Net $ 65,509
==========
</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 capital loss carryforwards for federal income tax
purposes of approximately $82,255,000 of which $61,000, $1,616,000, $51,761,000,
$14,821,000 and $13,996,000 will expire on November 30, 2007, November 30, 2008,
November 30, 2009, November 30, 2010 and November 30, 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 effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow,
6
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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. There were no borrowings by the Portfolio under the
discretionary line of credit during the six months ended May 31, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings by the Portfolio under the line of credit during
the six months ended May 31, 2004.
7
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THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (87.5%)
3M Co. 244,400 $ 20,666,464
Abbott Laboratories 487,700 20,098,117
Ace, Ltd. 87,100 3,586,778
* ADC Telecommunications, Inc. 251,500 638,810
# Adobe Systems, Inc. 74,400 3,320,472
*# Advanced Micro Devices, Inc. 108,700 1,690,285
* AES Corp. 194,200 1,813,828
Aetna, Inc. 47,800 3,881,360
* Affiliated Computer Services, Inc.
Class A 42,700 2,127,314
AFLAC, Inc. 159,900 6,491,940
* Agilent Technologies, Inc. 148,300 3,811,310
Air Products & Chemicals, Inc. 70,900 3,542,873
Alberto-Culver Co. Class B 28,300 1,330,666
# Albertson's, Inc. 114,400 2,680,392
Alcoa, Inc. 271,400 8,494,820
*# Allegheny Energy, Inc. 39,600 564,300
Allegheny Technologies, Inc. 25,200 302,652
Allergan, Inc. 40,900 3,636,010
* Allied Waste Industries, Inc. 99,900 1,324,674
# Allstate Corp. 219,400 9,649,212
Alltel Corp. 97,400 4,931,362
*# Altera Corp. 118,100 2,703,309
Altria Group, Inc. 638,400 30,624,048
Ambac Financial Group, Inc. 33,300 2,302,695
Amerada Hess Corp. 28,000 1,976,520
Ameren Corp. 56,700 2,506,140
# American Electric Power Co., Inc. 123,200 3,914,064
American Express Co. 401,200 20,340,840
American International Group, Inc. 813,800 59,651,540
American Power Conversion Corp. 61,900 1,120,390
* American Standard Companies, Inc. 67,500 2,532,600
AmerisourceBergen Corp. 35,000 2,099,300
*# Amgen, Inc. 402,400 22,011,280
AmSouth Bancorporation 109,500 2,790,060
Anadarko Petroleum Corp. 78,500 4,279,820
# Analog Devices, Inc. 116,600 5,730,890
*# Andrew Corp. 49,600 974,640
Anheuser-Busch Companies, Inc. 254,100 13,535,907
*# Anthem, Inc. 43,100 3,815,643
AON Corp. 97,900 2,704,977
Apache Corp. 101,100 4,080,396
Apartment Investment & Management
Co. Class A 29,200 843,296
* Apollo Group, Inc. (Class A) 54,900 5,149,620
*# Apple Computer, Inc. 115,300 3,235,318
# Applera Corporation - Applied
Biosystems Group 64,300 1,246,134
* Applied Materials, Inc. 524,500 10,469,020
* Applied Micro Circuits Corp. 96,900 522,291
Archer-Daniels Midland Co. 202,100 3,360,923
Ashland, Inc. 21,700 1,023,155
# AT&T Corp. 247,500 4,103,550
* AT&T Wireless Services, Inc. 849,800 12,033,168
# Autodesk, Inc. 35,200 1,262,272
Automatic Data Processing, Inc. 183,900 $ 8,170,677
*# AutoNation, Inc. 85,800 1,430,286
* Autozone, Inc. 27,200 2,359,600
*# Avaya, Inc. 132,500 2,097,475
Avery Dennison Corp. 34,500 2,036,880
Avon Products, Inc. 73,500 6,516,510
B B & T Corp. 170,500 6,424,440
Baker Hughes, Inc. 104,400 3,552,732
Ball Corp. 17,500 1,195,425
# Bank of America Corp. 640,659 53,257,983
Bank of New York Co., Inc. 241,300 7,255,891
Bank One Corp. 349,200 16,918,740
Bard (C.R.), Inc. 16,200 1,817,154
Bausch & Lomb, Inc. 16,400 1,000,728
# Baxter International, Inc. 190,300 5,983,032
Bear Stearns Companies, Inc. 32,400 2,626,344
Becton Dickinson & Co. 78,800 3,965,216
* Bed, Bath and Beyond, Inc. 93,100 3,467,975
Bellsouth Corp. 571,100 14,254,656
Bemis Co., Inc. 33,500 922,925
# Best Buy Co., Inc. 101,300 5,344,588
* Big Lots, Inc. 36,400 532,168
*# Biogen Idec, Inc. 102,200 6,351,730
# Biomet, Inc. 79,800 3,201,576
* BJ Services, Co. 49,700 2,081,933
Black & Decker Corp. 24,500 1,468,285
# Block (H.&R.), Inc. 55,600 2,716,060
*# BMC Software, Inc. 70,200 1,238,328
# Boeing Co. 262,800 12,036,240
Boise Cascade Corp. 27,200 956,080
* Boston Scientific Corp. 255,400 11,314,220
Bristol Myers Squibb Co. 605,400 15,298,458
*# Broadcom Corp. 94,400 3,984,624
Brown-Forman Corp. Class B 37,800 1,816,290
Brunswick Corp. 29,200 1,182,600
Burlington Northern Santa Fe Corp. 116,100 3,824,334
Burlington Resources, Inc. 61,700 4,130,198
*# Calpine Corp. 128,900 488,531
# Campbell Soup Co. 128,200 3,270,382
# Capital One Financial Corp. 72,000 5,044,320
Cardinal Health, Inc. 135,700 9,188,247
* Caremark Rx, Inc. 142,200 4,436,640
# Carnival Corp. 196,500 8,372,865
# Caterpillar, Inc. 108,300 8,160,405
# Cendant Corp. 314,300 7,210,042
CenterPoint Energy, Inc. 95,500 1,035,220
Centex Corp. 39,000 1,891,110
CenturyTel, Inc. 45,000 1,345,050
Charter One Financial, Inc. 69,400 3,050,824
# ChevronTexaco Corp. 333,600 30,157,440
*# Chiron Corp. 58,500 2,617,875
Chubb Corp. 58,600 3,947,882
*# CIENA Corp. 179,900 647,640
# CIGNA Corp. 44,000 2,983,200
Cincinnati Financial Corp. 52,605 2,248,864
Cinergy Corp. 55,500 2,081,805
</Table>
8
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<Table>
<Caption>
SHARES VALUE+
------ ------
Cintas Corp. 53,400 $ 2,423,292
Circuit City Stores, Inc. 65,600 785,232
* Cisco Sytems, Inc. 2,143,400 47,476,310
# Citigroup, Inc. 1,606,500 74,589,795
* Citizens Communications Co. 88,700 1,126,490
* Citrix Systems, Inc. 51,200 1,077,760
# Clear Channel Communications, Inc. 192,000 7,622,400
Clorox Co. 65,500 3,429,580
*# CMS Energy Corp. 50,200 432,724
Coca-Cola Co. 762,600 39,159,510
Coca-Cola Enterprises, Inc. 143,100 3,942,405
Colgate-Palmolive Co. 166,100 9,500,920
* Comcast Corp. Class A 702,100 20,325,795
Comerica, Inc. 54,700 3,096,567
Computer Associates International,
Inc. 181,500 4,911,390
* Computer Sciences Corp. 58,500 2,550,015
* Compuware Corp. 119,900 953,205
* Comverse Technology, Inc. 60,100 1,061,967
Conagra, Inc. 167,500 4,710,100
ConocoPhilips 213,500 15,655,955
Consolidated Edison, Inc. 75,000 2,944,500
Constellation Energy Group 52,200 1,996,128
* Convergys Corp. 44,700 656,196
Cooper Industries, Ltd. 28,700 1,633,030
Cooper Tire & Rubber Co. 23,000 485,070
# Coors (Adolph) Co. Class B 11,400 734,730
*# Corning, Inc. 420,500 5,209,995
# Costco Wholesale Corp. 142,900 5,398,762
Countrywide Financial Corp. 86,100 5,553,450
# Crane Co. 18,500 558,515
# CSX Corp. 66,700 2,107,720
# Cummins, Inc. 13,300 774,592
CVS Corp. 123,600 5,151,648
# Dana Corp. 46,400 865,360
# Danaher Corp. 96,000 4,514,880
Darden Restaurants, Inc. 51,400 1,156,500
Deere & Co. 75,900 4,986,630
* Dell, Inc. 798,600 28,094,748
Delphi Automotive Systems Corp. 174,700 1,780,193
*# Delta Air Lines, Inc. 38,500 234,850
Deluxe Corp. 15,800 676,556
Devon Energy Corp. 72,600 4,309,536
Dillards, Inc. Class A 26,000 520,260
Disney (Walt) Co. 638,600 14,987,942
# Dollar General Corp. 105,100 2,038,940
Dominion Resources, Inc. 101,200 6,372,564
Donnelley (R.R.) & Sons Co. 68,200 2,063,732
Dover Corp. 63,400 2,470,064
Dow Chemical Co. 290,700 11,598,930
# Dow Jones & Co., Inc. 25,500 1,222,215
DTE Energy Co. 52,700 2,119,067
Duke Energy Corp. 283,100 5,645,014
DuPont (E.I.) de Nemours & Co., Inc. 311,200 13,443,840
*# Dynegy, Inc. 117,500 515,825
* E Trade Group, Inc. 116,600 1,330,406
# Eastman Chemical Co. 24,100 1,116,794
Eastman Kodak Co. 89,400 2,340,492
Eaton Corp. 47,900 2,794,965
* eBay, Inc. 201,500 17,893,200
Ecolab, Inc. 80,200 2,446,902
Edison International 101,600 $ 2,452,624
El Paso Corp. 200,100 1,442,721
*# Electronic Arts, Inc. 93,300 4,742,439
# Electronic Data Systems Corp. 149,900 2,450,865
* EMC Corp. 754,400 8,479,456
# Emerson Electric Co. 131,500 7,850,550
Engelhard Corp. 39,100 1,183,557
Entergy Corp. 71,400 3,899,154
# EOG Resources, Inc. 35,800 1,912,794
# Equifax, Inc. 43,400 1,063,734
Equity Office Properties Trust 124,700 3,360,665
Equity Residential Corp. 86,900 2,558,336
Exelon Corp. 205,400 6,839,820
* Express Scripts, Inc. Class A 24,200 1,893,892
# Exxon Mobil Corp. 2,044,900 88,441,925
# Family Dollar Stores, Inc. 53,700 1,684,032
Federal Home Loan Mortgage
Corporation 214,700 12,536,333
Federal National Mortgage
Association 303,000 20,513,100
Federated Department Stores, Inc. 56,400 2,690,844
Federated Investors, Inc. 33,900 1,009,542
FedEx Corp. 93,100 6,850,298
Fifth Third Bancorp 176,200 9,565,898
# First Data Corp. 277,800 12,025,962
# First Horizon National Corp. 39,200 1,825,544
# FirstEnergy Corp. 102,800 4,009,200
* Fiserv, Inc. 60,700 2,295,674
# Fluor Corp. 25,600 1,034,752
# Ford Motor Co. 571,200 8,482,320
* Forest Laboratories, Inc. 114,700 7,270,833
Fortune Brands, Inc. 45,400 3,418,620
FPL Group, Inc. 57,500 3,665,625
Franklin Resources, Inc. 77,800 3,911,784
# Freeport McMoran Copper & Gold,
Inc. Class B 61,100 2,054,793
Gannett Co., Inc. 84,500 7,419,100
Gap, Inc. 279,400 6,747,510
* Gateway, Inc. 117,100 474,255
# General Dynamics Corp. 61,800 5,909,934
General Electric Co. 3,181,800 99,017,616
# General Mills, Inc. 117,000 5,387,850
# General Motors Corp. 175,300 7,956,867
# Genuine Parts Co. 54,300 2,043,852
* Genzyme Corp. 69,900 3,046,242
Georgia-Pacific Corp. 79,100 2,833,362
Gillette Co. 314,100 13,534,569
Golden West Financial Corp. 47,400 5,155,698
Goodrich (B.F.) Co. 36,600 1,025,898
*# Goodyear Tire & Rubber Co. 54,700 475,890
Grainger (W.W.), Inc. 28,500 1,551,825
Great Lakes Chemical Corp. 15,800 391,524
Guidant Corp. 97,200 5,281,848
Halliburton Co. 136,600 3,966,864
Harley-Davidson, Inc. 94,500 5,432,805
Harrahs Entertainment, Inc. 34,700 1,783,580
Hartford Financial Services Group,
Inc. 91,000 6,016,920
Hasbro, Inc. 54,500 1,071,470
# HCA, Inc. 154,600 6,003,118
Health Management Associates, Inc. 75,800 1,666,842
</Table>
9
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Heinz (H.J.) Co. 109,800 $ 4,099,932
* Hercules, Inc. 34,600 366,068
Hershey Foods Corp. 40,500 3,593,565
# Hewlett-Packard Co. 951,500 20,209,860
Hilton Hotels Corp. 118,300 2,052,505
# Home Depot, Inc. 709,600 25,488,832
Honeywell International, Inc. 267,900 9,028,230
* Hospira, Inc. 48,770 1,250,463
* Humana, Inc. 50,500 862,035
# Huntington Bancshares, Inc. 71,500 1,620,905
# Illinois Tool Works, Inc. 96,100 8,637,468
IMS Health, Inc. 74,700 1,858,536
Ingersoll-Rand Co., Ltd. Class A 54,700 3,571,910
Intel Corp. 2,022,000 57,728,100
International Business Machines
Corp. 529,900 46,943,841
International Flavors & Fragrances,
Inc. 29,200 1,050,616
International Game Technology 108,100 4,248,330
International Paper Co. 149,900 6,285,307
*# Interpublic Group of Companies, Inc. 129,400 1,860,772
* Intuit, Inc. 61,900 2,425,242
ITT Industries, Inc. 28,800 2,319,840
* Jabil Circuit, Inc. 62,400 1,766,544
Janus Capital Group, Inc. 75,000 1,227,750
* JDS Uniphase Corp. 447,900 1,545,255
Jefferson-Pilot Corp. 44,000 2,258,520
# Johnson & Johnson 925,600 51,565,176
Johnson Controls, Inc. 58,800 3,170,496
Jones Apparel Group, Inc. 39,400 1,515,718
JP Morgan Chase & Co. 642,100 23,654,964
KB Home Corp. 14,600 961,848
# Kellogg Co. 128,600 5,452,640
# Kerr-McGee Corp. 31,400 1,546,450
KeyCorp 130,800 4,108,428
# KeySpan Corp. 49,600 1,755,840
Kimberly Clark Corp. 156,400 10,306,760
Kinder Morgan, Inc. 38,400 2,304,000
* King Pharmaceuticals, Inc. 75,200 1,004,672
* KLA-Tencor Corp. 61,200 2,948,616
Knight Ridder, Inc. 24,900 1,891,902
* Kohls Corp. 106,100 5,046,116
*# Kroger Co. 232,300 3,877,087
# Leggett and Platt, Inc. 59,800 1,511,744
# Lehman Brothers Holdings, Inc. 86,500 6,543,725
* Lexmark International Group, Inc. 40,100 3,782,232
Lilly (Eli) & Co. 350,500 25,821,335
# Limited Brands, Inc. 145,200 2,802,360
Lincoln National Corp. 55,500 2,635,695
Linear Technology Corp. 97,400 3,862,884
Liz Claiborne, Inc. 34,000 1,166,200
Lockheed Martin Corp. 140,700 6,970,278
Loews Corp. 57,900 3,336,777
# Louisiana-Pacific Corp. 33,000 762,300
# Lowe's Companies, Inc. 245,300 13,140,721
* LSI Logic Corp. 118,200 969,240
*# Lucent Technologies, Inc. 1,329,100 4,744,887
M & T Bank Corp. 38,000 3,441,660
Manor Care, Inc. 27,900 874,107
Marathon Oil Corp. 106,200 3,540,708
# Marriott International, Inc. Class A 71,800 3,541,894
Marsh & McLennan Co., Inc. 165,300 $ 7,293,036
Marshall & Isley Corp. 70,600 2,905,190
Masco Corp. 141,100 4,084,845
# Mattel, Inc. 134,100 2,344,068
# Maxim Integrated Products, Inc. 102,300 5,199,909
# May Department Stores Co. 90,000 2,579,400
Maytag Corp. 24,500 638,960
MBIA, Inc. 45,000 2,492,550
MBNA Corp. 398,500 10,121,900
# McCormick & Co., Inc. 42,800 1,517,260
McDonalds Corp. 393,500 10,388,400
# McGraw-Hill Companies, Inc. 59,600 4,644,032
McKesson Corp. 90,800 3,123,520
# MeadWestavco Corp. 62,700 1,731,774
* Medco Health Solutions, Inc. 84,300 2,953,029
* Medimmune, Inc. 77,200 1,858,204
# Medtronic, Inc. 378,100 18,110,990
Mellon Financial Corp. 134,200 3,950,848
Merck & Co., Inc. 693,800 32,816,740
* Mercury Interactive Corp. 28,100 1,347,114
Meredith Corp. 15,700 823,622
Merrill Lynch & Co., Inc. 302,800 17,199,040
MetLife, Inc. 237,100 8,428,905
MGIC Investment Corp. 30,700 2,241,100
* Micron Technology, Inc. 190,000 2,855,700
# Microsoft Corp. 3,366,600 88,709,910
* Millipore Corp. 15,200 835,848
Molex, Inc. 59,400 1,743,984
Monsanto Co. 82,900 2,860,050
* Monster Worldwide, Inc. 35,300 893,443
# Moody's Corp. 46,400 3,034,096
Morgan Stanley Dean Witter & Co. 342,200 18,311,122
# Motorola, Inc. 730,100 14,434,077
Mylan Laboratories, Inc. 85,400 1,905,274
* Nabors Industries, Ltd. 45,700 1,891,980
National City Corp. 189,000 6,707,610
* National Semiconductor Corp. 111,000 2,405,370
*# Navistar International Corp. 21,500 815,925
* NCR Corp. 29,500 1,423,080
*# Network Appliance Corp. 107,600 2,130,480
New York Times Class A 46,700 2,177,621
# Newell Rubbermaid, Inc. 85,600 2,017,592
Newmont Mining Corp. 134,800 5,352,908
* Nextel Communications Corp.
Class A 342,900 7,931,277
# Nicor, Inc. 13,700 455,936
Nike, Inc. Class B 82,100 5,841,415
# NiSource, Inc. 81,900 1,659,294
* Noble Corp. 41,900 1,443,874
# Nordstrom, Inc. 42,900 1,739,595
Norfolk Southern Corp. 121,900 2,953,637
# North Fork Bancorporation, Inc. 53,200 2,048,200
Northern Trust Corp. 68,800 2,954,960
Northrop Grumman Corp. 58,200 6,002,166
* Novell, Inc. 117,500 1,070,425
* Novellus Systems, Inc. 47,800 1,591,262
Nucor Corp. 24,400 1,606,740
*# Nvidia Corp. 50,500 1,190,790
Occidental Petroleum Corp. 121,100 5,352,620
* Office Depot, Inc. 96,900 1,583,346
Omnicom Group, Inc. 59,300 4,736,291
</Table>
10
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Oracle Systems Corp. 1,630,400 $ 18,456,128
Paccar, Inc. 54,600 3,046,680
* Pactiv Corp. 49,100 1,157,778
Pall Corp. 39,200 947,856
* Parametric Technology Corp. 83,200 403,520
Parker-Hannifin Corp. 37,000 2,055,720
Paychex, Inc. 117,700 4,414,927
# Penney (J.C.) Co., Inc. 85,100 3,044,878
# Peoples Energy Corp. 11,700 484,614
* Peoplesoft, Inc. 113,400 2,027,592
# Pepsi Bottling Group, Inc. 81,000 2,349,000
Pepsico, Inc. 533,400 28,467,558
PerkinElmer, Inc. 39,600 772,596
Pfizer, Inc. 2,378,100 84,042,054
*# PG&E Corp. (Holding Co.) 130,700 3,724,950
* Phelps Dodge Corp. 28,900 1,962,310
Pinnacle West Capital Corp. 28,500 1,148,265
# Pitney Bowes, Inc. 72,900 3,231,657
# Plum Creek Timber Co., Inc. 57,100 1,788,372
* PMC Sierra, Inc. 53,900 759,990
PNC Financial Services Group 86,500 4,775,665
* Power-One, Inc. 26,000 262,080
PPG Industries, Inc. 53,400 3,193,320
PPL Corp. 55,300 2,386,195
Praxair, Inc. 101,400 3,750,786
Principal Financial Group, Inc. 100,000 3,495,000
Procter & Gamble Co. 403,000 43,451,460
# Progress Energy, Inc. 76,400 3,255,404
Progressive Corp. 67,700 5,806,629
ProLogis 56,500 1,811,390
* Providian Financial Corp. 90,500 1,230,800
# Prudential Financial, Inc. 168,600 7,468,980
Public Service Enterprise Group, Inc. 73,700 3,107,192
Pulte Homes Inc. 39,100 2,062,525
*# Q Logic Corp. 29,600 908,720
Qualcomm, Inc. 251,200 16,847,984
Quest Diagnostics, Inc. 32,300 2,782,645
*# Qwest Communications International,
Inc. 550,800 2,065,500
Radioshack Corp. 51,200 1,555,968
Raytheon Co. 138,400 4,601,800
Reebok International, Ltd. 18,400 667,000
Regions Financial Corp. 69,200 2,630,984
# RJ Reynolds Tobacco Holdings, Inc. 26,300 1,478,060
Robert Half International, Inc. 53,400 1,494,132
Rockwell Collins, Inc. 55,600 1,670,224
Rockwell International Corp. 58,400 1,977,424
Rohm & Haas Co. 69,400 2,674,676
*# Rowan Companies, Inc. 32,500 714,350
Ryder System, Inc. 20,300 754,145
Sabre Holdings Corp. 43,700 1,114,350
# Safeco Corp. 43,200 1,812,240
*# Safeway, Inc. 137,900 3,111,024
* Saint Jude Medical, Inc. 53,800 4,102,788
Saint Paul Companies, Inc. 211,227 8,381,487
* Sanmina Corp. 161,800 1,711,844
# Sara Lee Corp. 246,700 5,649,430
SBC Communications, Inc. 1,031,700 24,451,290
Schering-Plough Corp. 458,900 7,755,410
Schlumberger, Ltd. 183,600 10,496,412
# Schwab (Charles) Corp. 423,100 4,146,380
# Scientific-Atlanta, Inc. 47,600 $ 1,638,392
* Sealed Air Corp. 26,500 1,332,155
# Sears, Roebuck & Co. 69,300 2,633,400
Sempra Energy 70,900 2,365,933
# Sherwin-Williams Co. 45,400 1,784,220
* Siebel Systems, Inc. 154,700 1,670,760
Sigma-Aldrich Corp. 21,600 1,233,576
Simon Property Group, Inc. 63,600 3,279,852
SLM Corp. 140,700 5,393,031
Snap-On, Inc. 18,200 612,066
* Solectron Corp. 299,900 1,649,450
# Southern Co. 228,400 6,605,328
SouthTrust Corp. 103,000 3,488,610
Southwest Airlines Co. 246,300 3,820,113
# Sprint Corp. 443,300 7,873,008
# Stanley Works 25,300 1,101,815
Staples, Inc. 155,800 4,296,964
* Starbucks Corp. 123,500 5,019,040
Starwood Hotels and Resorts
Worldwide, Inc. 63,700 2,686,866
State Street Corp. 104,600 5,064,732
Stryker Corp. 124,400 6,325,740
* Sun Microsystems, Inc. 1,025,300 4,337,019
* Sungard Data Systems, Inc. 89,600 2,482,816
Sunoco, Inc. 24,100 1,482,873
# Suntrust Banks, Inc. 88,100 5,733,548
Supervalu, Inc. 41,900 1,299,738
* Symantec Corp. 97,100 4,447,180
Symbol Technologies, Inc. 72,100 1,062,033
Synovus Financial Corp. 94,100 2,423,075
Sysco Corp. 201,100 7,541,250
T. Rowe Price Group, Inc. 39,300 1,892,688
Target Corp. 284,200 12,703,740
# Teco Energy, Inc. 58,600 712,576
Tektronix, Inc. 26,400 833,184
* Tellabs, Inc. 129,600 1,029,024
Temple-Inland, Inc. 17,000 1,110,440
* Tenet Healthcare Corp. 145,000 1,728,400
* Teradyne, Inc. 59,600 1,328,484
Texas Instruments, Inc. 540,300 14,107,233
# Textron, Inc. 43,000 2,349,950
The Goldman Sachs Group, Inc. 150,800 14,161,628
* Thermo-Electron Corp. 51,600 1,588,248
# Thomas & Betts Corp. 18,200 445,172
Tiffany & Co. 45,700 1,616,409
* Time Warner, Inc. 1,420,300 24,201,912
TJX Companies, Inc. 157,000 3,910,870
Torchmark Corp. 35,300 1,912,907
* Toys R Us, Inc. 66,600 1,046,952
* Transocean, Inc. 99,800 2,667,654
Tribune Co. 103,100 4,978,699
TXU Corp. 101,000 3,774,370
# Tyco International, Ltd. 623,700 19,203,723
U.S. Bancorp 598,800 16,826,280
Union Pacific Corp. 80,700 4,706,424
Union Planters Corp. 58,800 1,770,468
* Unisys Corp. 103,400 1,402,104
United Parcel Service, Inc. 352,200 25,259,784
# United States Steel Corp. 35,300 1,071,708
United Technologies Corp. 161,100 13,630,671
# Unitedhealth Group, Inc. 195,200 12,736,800
</Table>
11
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Univision Communications, Inc.
Class A 100,600 $ 3,274,530
Unocal Corp. 80,800 2,878,904
# UnumProvident Corp. 92,400 1,345,344
# UST, Inc. 51,700 1,931,512
# Valero Energy Corp. 40,500 2,677,455
*# Veritas Software Co. 133,500 3,551,100
Verizon Communications, Inc. 861,400 29,787,212
# VF Corp. 33,700 1,583,226
Viacom, Inc. Class B 545,600 20,127,184
Visteon Corp. 40,700 446,072
# Vulcan Materials Co. 31,700 1,418,892
Wachovia Corp. 410,000 19,356,100
Walgreen Co. 319,700 11,192,697
Wal-Mart Stores, Inc. 1,349,800 75,224,354
Washington Mutual, Inc. 280,500 12,252,240
# Waste Management, Inc. 179,900 5,173,924
* Waters Corp. 37,900 1,746,432
* Watson Pharmaceuticals, Inc. 33,700 1,258,695
* Wellpoint Health Networks, Inc. 48,400 5,398,536
# Wells Fargo & Co. 527,700 31,028,760
Wendy's International, Inc. 35,600 1,345,324
Weyerhaeuser Co. 73,200 4,427,136
# Whirlpool Corp. 21,700 1,443,701
Williams Companies, Inc. 161,600 1,924,656
# Winn-Dixie Stores, Inc. 44,200 279,786
Worthington Industries, Inc. 26,900 514,866
# Wrigley (Wm.) Jr. Co. 70,100 4,402,280
Wyeth 415,400 14,954,400
XCEL Energy, Inc. 124,400 2,113,556
*# Xerox Corp. 248,800 3,368,752
# Xilinx, Inc. 107,600 3,925,248
# XL Capital, Ltd. 42,800 3,195,020
*# Yahoo!, Inc. 415,000 12,723,900
* Yum! Brands, Inc. 91,800 3,442,500
* Zimmer Holdings, Inc. 75,400 6,435,390
Zions Bancorp 28,000 1,716,400
---------------
TOTAL COMMON STOCKS
(Cost $2,587,575,053) 3,253,108,973
---------------
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
TEMPORARY CASH
INVESTMENTS -- (12.5%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $65,199,000
FHLB Floating Rate Notes,
10/03/05, valued at $65,117,501) to
be repurchased at $64,161,344
(Cost $64,155,000) $ 64,155 $ 64,155,000
Repurchase Agreement, Merrill Lynch
Triparty Repo 0.96%, 06/01/04
(Collateralized by $392,750,000
U.S. Treasury Obligations rates
ranging from 1.875% to 6.75%,
maturities ranging from 05/15/05 to
11/30/05, valued at $410,731,038)
to be repurchased at $402,719,403
(Cost $402,676,451)^ 402,676 402,676,451
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $466,831,451) 466,831,451
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,054,406,505)++ $ 3,719,940,424
===============
</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 $3,216,721,011.
See accompanying Notes to Financial Statements.
12
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $390,011 of securities on loan) $ 3,719,940
Cash 3,729
Receivables:
Dividends and Interest 5,142
Fund Shares Sold 1,653
Securities Lending Income 17
Prepaid Expenses and Other Assets 24
--------------
Total Assets 3,730,505
--------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 402,677
Fund Shares Redeemed 2,119
Futures Margin Variation 139
Due to Advisor 68
Accrued Expenses and Other Liabilities 270
--------------
Total Liabilities 405,273
--------------
NET ASSETS $ 3,325,232
==============
Investments at Cost $ 3,054,407
==============
</Table>
See accompanying Notes to Financial Statements.
13
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends $ 26,657
Interest 266
Income from Securities Lending 171
--------------
Total Investment Income 27,094
--------------
EXPENSES
Investment Advisory Services 408
Accounting & Transfer Agent Fees 244
Custodian Fees 56
Legal Fees 13
Audit Fees 21
S&P 500 Fees 38
Shareholders' Reports 28
Trustees' Fees and Expenses 29
Other 30
--------------
Total Expenses 867
--------------
NET INVESTMENT INCOME (LOSS) 26,227
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold (2,018)
Net Realized Gain (Loss) on Futures 8,199
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 172,722
Futures (1,635)
--------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 177,268
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 203,495
==============
</Table>
See accompanying Notes to Financial Statements.
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
-------------- --------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 26,227 $ 45,762
Net Realized Gain (Loss) on Investment Securities Sold (2,018) (137,474)
Net Realized Gain (Loss) on Futures 8,199 9,903
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 172,722 447,952
Futures (1,635) (3,012)
-------------- --------------
Net Increase (Decrease) in Net Assets Resulting from Operations 203,495 363,131
-------------- --------------
Transactions in Interest:
Contributions 309,693 547,508
Withdrawals (188,953) (533,199)
-------------- --------------
Net Increase (Decrease) from Transactions in Interest 120,740 14,309
-------------- --------------
Total Increase (Decrease) 324,235 377,440
NET ASSETS
Beginning of Period 3,000,997 2,623,557
-------------- --------------
End of Period $ 3,325,232 $ 3,000,997
============== ==============
</Table>
See accompanying Notes to Financial Statements.
15
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning
of Period N/A N/A N/A N/A N/A N/A
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) -- -- -- -- -- --
Net Gains (Losses) on
Securities (Realized and
Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of
Period N/A N/A N/A N/A N/A N/A
=========== =========== =========== =========== =========== ===========
Total Return 6.77%# 15.05% (16.59)% (12.30)% (4.25)% 20.86%
Net Assets, End of Period
(thousands) $ 3,325,232 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812 $ 2,775,062
Ratio of Expenses to Average
Net Assets 0.05%* 0.05% 0.05% 0.05% 0.06% 0.06%
Ratio of Net Investment
Income to Average Net
Assets 1.61%* 1.75% 1.53% 1.26% 1.12% 1.27%
Portfolio Turnover Rate 1%# 8% 11% 8% 8% 4%
</Table>
- ----------
* Annualized
# Non-annualized
N/A Not applicable as The U.S. Large Company Series is organized as a
partnership.
See accompanying Notes to Financial Statements.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The U.S. Large Company Series (the
"Series" or "Portfolio") is 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. 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. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no such reported sale price or NOCP for the day, the
Series values securities at the mean between the quoted bid and asked prices.
Price information on listed securities is taken from the exchange where the
security is primarily traded. Unlisted securities for which market quotations
are readily available are valued at the mean between the most recent bid and
asked prices. Securities for which quotations are not readily available, or for
which market quotations have become unreliable, are valued in good faith at fair
value using methods determined by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) are included in Trustees' Fees and Expenses. At May
31, 2004, the total liability for deferred compensation to Trustees is included
in Accrued Expenses and Other Liabilities in the amount of $45,850.
3. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
or with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 28, 2004.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the
17
<Page>
effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Trustees, generally based on average net
assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2004, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.025 of 1% of average daily net
assets.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 180,353
Sales 23,851
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2004.
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any interest,
dividends and gains or losses have been deemed to have been "passed through" to
its Feeder Fund.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities and foreign currencies was as
follows (amounts in thousands):
<Table>
Gross Unrealized Appreciation $ 840,597
Gross Unrealized Depreciation (337,378)
-----------
Net $ 503,219
===========
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Series' Investment Objectives and Policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
FUTURES CONTRACTS: During the six months ended May 31, 2004, the Series
entered into futures contracts in accordance with its investment objectives.
Upon entering into a futures contract, the Series deposits cash with a broker,
equal to the minimum "initial margin" requirements of the exchange on which the
contract is traded. Subsequent payments are received from or paid to the broker
each day, based on the fluctuation in the market value of the contract. These
receipts or payments are known as "variation margin" and are recorded daily by
the Series as unrealized gains or losses until the contracts are closed. When
the contracts are closed, the Series records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed.
At May 31, 2004, the Series had outstanding 240 long futures contracts on
the S&P 500 Index, all of which expire on June 18, 2004. The value of such
contracts on May 31, 2004 was $67,218,000, which resulted in an unrealized gain
of $606,188.
18
<Page>
Risks arise upon entering into futures contracts from potential imperfect
price correlations between the futures contracts and the underlying securities,
from the possibility of an illiquid secondary market for these instruments and
from the possibility that the Series could lose more than the initial margin
requirements.
G. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly,
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated at any time. There were no borrowings under the discretionary line of
credit by the Series during the six months ended May 31, 2004.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings by the Series under the line of credit during the
six months ended May 31, 2004.
H. SECURITIES LENDING:
As of May 31, 2004, the Series had securities on loan to broker/dealers, for
which the 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 portfolio or, at the option of the lending agent, to replace
the securities.
Cash collateral of each Portfolio received from securities on loan is
invested along with cash collateral from the other Portfolios of the Series in
repurchase agreements collateralized by U.S. government securities. These
investments are accounted for separately for each Portfolio. Securities pledged
as collateral for the repurchase agreements are held by a custodian bank until
the agreements mature.
19
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the non-Feeder Portfolios
and Master Funds use in voting proxies relating to securities held in their
portfolio's is available without charge, upon request, by calling collect: (310)
395-8005. Information regarding how the Advisor votes these proxies will become
available from the EDGAR database on the SEC's website at http://www.sec.gov no
later than August 31, 2004 when the Funds file their first report on Form N-PX
and will reflect the twelve-month period beginning July 1, 2003 and ending June
30, 2004.
20
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
================================================================================
DFA Investment Dimensions Group Inc.
Dimensional Investment Group Inc.
The DFA Investment Trust Company
SEMI-ANNUAL REPORT
Six Months Ended May 31, 2004
(Unaudited)
================================================================================
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
Schedules of Investments
U.S. Large Company Portfolio 1
Enhanced U.S. Large Company Portfolio 1
U.S. Large Cap Value Portfolio 1
U.S. Small XM Value Portfolio 1
U.S. Small Cap Value Portfolio 2
U.S. Small Cap Portfolio 2
U.S. Micro Cap Portfolio 2
DFA Real Estate Securities Portfolio 3
Large Cap International Portfolio 5
International Small Company Portfolio 19
Japanese Small Company Portfolio 19
Pacific Rim Small Company Portfolio 20
United Kingdom Small Company Portfolio 20
Continental Small Company Portfolio 20
DFA International Small Cap Value Portfolio 21
Emerging Markets Portfolio 46
Emerging Markets Small Cap Portfolio 46
DFA One-Year Fixed Income Portfolio 46
DFA Two-Year Global Fixed Income Portfolio 46
DFA Five-Year Government Portfolio 47
DFA Five-Year Global Fixed Income Portfolio 48
DFA Intermediate Government Fixed Income Portfolio 50
DFA Short-Term Municipal Bond Portfolio 51
Statements of Assets and Liabilities 56
Statements of Operations 59
Statements of Changes in Net Assets 65
Financial Highlights 71
Notes to Financial Statements 83
Voting Proxies on Fund Portfolio Securities 282
</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
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
Statement of Assets and Liabilities 94
Statement of Operations 95
Statements of Changes in Net Assets 96
Financial Highlights 97
Notes to Financial Statements 98
Voting Proxies on Fund Portfolio Securities 282
</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
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
Schedules of Investments
The U.S. Large Company Series 100
The Enhanced U.S. Large Company Series 105
The U.S. Large Cap Value Series 107
The U.S. Small XM Value Series 110
The U.S. Small Cap Value Series 115
The U.S. Small Cap Series 129
The U.S. Micro Cap Series 157
The DFA International Value Series 180
The Japanese Small Company Series 188
The Pacific Rim Small Company Series 199
The United Kingdom Small Company Series 209
The Continental Small Company Series 215
The Emerging Markets Series 230
The Emerging Markets Small Cap Series 237
The DFA One-Year Fixed Income Series 252
The DFA Two-Year Global Fixed Income Series 254
Statements of Assets and Liabilities 256
Statements of Operations 258
Statements of Changes in Net Assets 262
Financial Highlights 266
Notes to Financial Statements 274
Voting Proxies on Fund Portfolio Securities 282
</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>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
U.S. LARGE COMPANY PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment in The U.S. Large Company Series of The DFA
Investment Trust Company $ 1,232,707,564
---------------
Total Investments (100%) (Cost $1,025,889,393)++ $ 1,232,707,564
===============
</Table>
- ----------
++The cost for federal income tax purposes is $1,075,973,554.
ENHANCED U.S. LARGE COMPANY PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The Enhanced U.S. Large Company Series of The DFA
Investment Trust Company 20,467,890 $ 172,544,313
---------------
Total Investments (100%) (Cost $157,037,954)++ $ 172,544,313
===============
</Table>
- ----------
++The cost for federal income tax purposes is $190,773,152.
U.S. LARGE CAP VALUE PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company 126,917,987 $ 2,138,568,081
---------------
Total Investments (100%) (Cost $1,725,779,400)++ $ 2,138,568,081
===============
</Table>
- ----------
++The cost for federal income tax purposes is $1,835,185,574.
U.S. SMALL XM VALUE PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The U.S. Small XM Value Series of The DFA
Investment Trust Company 11,783,393 $ 131,502,666
---------------
Total Investments (100%) (Cost $111,003,088)++ $ 131,502,666
===============
</Table>
- ----------
++The cost for federal income tax purposes is $113,269,308.
- ----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
1
<Page>
U.S. SMALL CAP VALUE PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The U.S. Small Cap Value Series of The DFA
Investment Trust Company 232,310,192 $ 4,769,328,242
---------------
Total Investments (100%) (Cost $3,389,867,400)++ $ 4,769,328,242
===============
</Table>
- ----------
++The cost for federal income tax purposes is $3,555,737,377.
U.S. SMALL CAP PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The U.S. Small Cap Series of The DFA
Investment Trust Company 104,889,996 $ 1,524,051,642
---------------
Total Investments (100%) (Cost $1,238,856,568)++ $ 1,524,051,642
===============
</Table>
- ----------
++The cost for federal income tax purposes is $1,307,733,543.
U.S. MICRO CAP PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The U.S. Micro Cap Series of The DFA
Investment Trust Company 254,180,878 $ 2,737,528,056
---------------
Total Investments (100%) (Cost $1,815,025,357)++ $ 2,737,528,056
===============
</Table>
- ----------
++The cost for federal income tax purposes is $1,912,334,161.
- ----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
2
<Page>
DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (95.4%)
Acadia Realty Trust 138,000 $ 1,766,400
Agree Realty Corp. 32,200 782,460
* Alexander's, Inc. 11,900 1,917,090
# Alexandria Real Estate Equities, Inc. 96,900 5,324,655
AMB Property Corp. 412,500 13,633,125
American Land Lease Inc. 34,800 636,840
* American Real Estate Partners, L.P. 19,400 354,050
* American Spectrum Realty, Inc. 1,200 10,500
AmeriVest Properties, Inc. 91,500 553,575
AMLI Residential Properties Trust 107,300 2,976,502
Apartment Investment &
Management Co. Class A 214,000 6,180,320
# Archstone-Smith Trust 956,755 27,793,733
Arden Realty Group, Inc. 321,000 9,517,650
Associated Estates Realty Corp. 95,400 763,200
AvalonBay Communities, Inc. 350,700 19,095,615
Bedford Property Investors, Inc. 80,900 2,380,887
BNP Residential Properties, Inc. 24,600 314,880
Boston Properties, Inc. 521,600 25,746,176
* Boykin Lodging Trust, Inc. 87,100 638,443
# Brandywine Realty Trust 225,300 6,060,570
BRE Properties, Inc. Class A 245,600 8,497,760
* Burnham Pacific Properties, Inc. 82,100 10,139
Camden Property Trust 194,100 9,066,411
Capital Automotive 177,286 4,875,365
Carramerica Realty Corp. 259,500 7,608,540
CBL & Associates Properties, Inc. 150,200 8,008,664
# Centerpoint Properties Corp. 115,000 8,469,750
# Chelsea Property Group Inc. 216,200 11,886,676
Colonial Properties Trust 131,000 5,034,330
# Commercial Net Lease Realty, Inc. 249,775 4,263,659
Cornerstone Realty Income Trust, Inc. 276,100 2,266,781
Corporate Office Properties Trust 151,600 3,517,120
Cousins Properties, Inc. 237,700 7,437,633
Crescent Real Estate Equities, Inc. 486,300 8,169,840
Developers Diversified Realty Corp. 425,099 14,619,155
Duke Realty Investments, Inc. 677,000 21,907,720
Eastgroup Properties, Inc. 102,100 3,241,675
Entertainment Properties Trust 101,300 3,646,800
Equity Inns, Inc. 222,700 1,964,214
Equity Office Properties Trust 1,975,163 53,230,643
Equity One, Inc. 340,976 6,069,373
Equity Residential Corp. 1,372,900 40,418,176
# Essex Property Trust 112,000 7,341,600
Federal Realty Investment Trust 241,700 9,643,830
* Felcor Lodging Trust, Inc. 289,800 3,083,472
# First Industrial Realty Trust, Inc. 201,300 7,214,592
* First Union Real Estate Equity &
Mortgage Investments 106,100 319,361
* Five Star Quality Care, Inc. 40,830 159,237
Gables Residential Trust 143,200 4,833,000
General Growth Properties 1,067,000 31,348,460
Glenborough Realty Trust, Inc. 153,200 2,912,332
Glimcher Realty Trust 171,500 3,829,595
* Golf Trust America, Inc. 37,800 83,916
Heritage Property Investment Trust 227,900 $ 6,139,626
Hersha Hospitality Trust 53,500 532,860
Highwood Properties, Inc. 262,400 5,964,352
* HMG Courtland Properties, Inc. 2,400 21,840
Home Properties of New York, Inc. 160,090 6,336,362
Hospitality Properties Trust 329,200 13,474,156
* Host Marriott Corp. 1,570,800 19,258,008
HRPT Properties Trust 857,100 8,442,435
Humphrey Hospitality Trust 48,600 203,974
Innkeepers USA Trust 183,100 1,642,407
Jameson Inns, Inc. 61,042 159,930
Keystone Property Trust 129,900 3,107,208
# Kilroy Realty Corp. 137,800 4,701,736
# Kimco Realty Corp. 542,650 24,934,767
Koger Equity, Inc. 121,500 2,697,300
Kramont Realty Trust 116,700 1,881,204
* La Quinta Corp. 859,100 6,434,659
Lasalle Hotel Properties Trust 122,600 2,960,790
Lexington Corporate Properties Trust 214,400 4,105,760
# Liberty Property Trust 412,700 16,462,603
Macerich Co. 288,700 13,063,675
Mack-California Realty Corp. 296,600 11,852,136
Maguire Properties, inc. 198,900 4,892,940
Malan Realty Investors, Inc. 19,100 91,298
Manufactured Home Communities, Inc. 110,300 3,424,815
Maxus Realty Trust, Inc. 1,700 19,831
* Meristar Hospitality Corp. 63,700 404,495
Mid-America Apartment
Communities, Inc. 97,100 3,425,688
Mills Corp. 260,600 11,453,370
Mission West Properties, Inc. 85,700 1,039,541
Monmouth Real Estate Investment
Corp. Class A 77,525 573,685
# New Plan Excel Realty Trust, Inc. 487,600 11,609,756
One Liberty Properties, Inc. 46,000 825,700
Pan Pacific Retail Properties, Inc. 197,731 9,095,626
* Paragon Real Estate &
Investment Trust 10,700 2,033
Parkway Properties, Inc. 53,600 2,146,680
Pennsylvania Real Estate
Investment Trust 175,481 5,843,517
* Philips International Realty
Corp. 14,400 6,336
# Post Properties, Inc. 200,500 5,834,550
Prentiss Properties Trust 217,100 7,164,300
Presidential Realty Corp. Class B 2,100 15,299
Price Legacy Corp. 32,217 591,504
* Prime Group Realty Trust 116,000 610,160
ProLogis 884,600 28,360,276
PS Business Parks, Inc. 105,500 4,082,850
Public Storage, Inc. 628,800 28,918,512
Ramco-Gershenson Properties Trust 81,900 1,981,980
# Realty Income Corp. 191,200 7,638,440
Reckson Associates Realty Corp. 322,301 8,386,272
Regency Centers Corp. 165,900 6,685,770
Roberts Realty Investment 13,100 122,878
</Table>
3
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Rouse Co. 492,700 $ 22,491,755
Saul Centers, Inc. 77,700 2,296,035
Senior Housing Properties Trust 310,900 5,061,452
Shurgard Storage Centers, Inc. Class A 223,600 8,385,000
Simon Property Group, Inc. 989,800 51,043,986
Sizeler Property Investors, Inc. 64,300 589,631
SL Green Realty Corp. 188,900 8,594,950
Sovran Self Storage, Inc. 71,000 2,670,310
Summit Properties, Inc. 166,600 3,860,122
Sun Communities, Inc. 93,300 3,450,234
Tanger Factory Outlet Centers, Inc. 64,600 2,507,772
* Tarragon Realty Investors, Inc. 54,338 760,732
Taubman Centers, Inc. 243,700 5,434,510
Town & Country Trust 84,600 2,058,318
Trizec Properties, Inc. 732,700 12,096,877
U.S. Restaurant Properties, Inc. 108,500 1,722,980
United Dominion Realty Trust, Inc. 624,900 12,460,506
United Mobile Homes, Inc. 40,500 536,625
Urstadt Biddle Properties Class A 89,700 1,237,860
Urstadt Biddle Properties, Inc. 19,800 267,696
Vornado Realty Trust 615,600 33,642,540
Washington Real Estate Investment Trust 203,900 5,764,253
Weingarten Realty Investors 419,300 12,985,721
Winston Hotels, Inc. 127,300 1,187,709
---------------
TOTAL COMMON STOCKS
(Cost $766,131,846) 942,159,954
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (4.6%)
Repurchase Agreement, PNC Capital Markets, Inc.
0.89%, 06/01/04 (Collateralized by $10,168,000 FHLB
Discount Notes 1.625%, 06/15/05, valued at $10,206,638)
to be repurchased at $10,001,989
(Cost $10,001,000) $ 10,001 10,001,000
Repurchase Agreement, Merrill Lynch Triparty
Repo 0.96%, 06/01/04 (Collateralized by
$35,445,000 U.S. Treasury Obligations 2.125%, 08/31/04,
valued at $35,726,762) to be repurchased at $35,026,686
(Cost $35,022,950)^ 35,023 35,022,950
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $45,023,950) 45,023,950
---------------
TOTAL INVESTMENTS (100.0%)
(Cost $811,155,796)++ $ 987,183,904
===============
</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 $812,245,002.
See accompanying Notes to Financial Statements.
4
<Page>
LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
UNITED KINGDOM -- (22.4%)
COMMON STOCKS -- (21.8%)
3I Group P.L.C. 46,244 $ 519,059
Abbey National P.L.C. 113,033 930,477
Aegis Group P.L.C. 83,410 134,961
Aggregate Industries P.L.C. 102,663 158,646
Aggreko P.L.C. 20,000 54,875
Alliance & Leicester P.L.C. 39,509 597,705
Alliance Unichem P.L.C. 36,707 425,655
Allied Domecq P.L.C. 86,312 717,778
Amec P.L.C. 20,420 100,316
Amvescap P.L.C. 72,635 487,298
Antofagasta P.L.C. 18,852 311,463
Arm Holdings P.L.C. 81,867 176,150
Arriva P.L.C. 14,532 103,890
Associated British Foods P.L.C. 105,111 1,234,381
Associated British Ports Holdings
P.L.C. 25,743 206,433
Aviva P.L.C. 181,082 1,767,893
* AWG P.L.C. 11,429 128,663
BAA P.L.C. 85,607 854,008
BAE Systems P.L.C. 244,805 923,606
Balfour Beatty P.L.C. 31,669 145,027
Barclays P.L.C. 518,582 4,529,560
Barratt Developments P.L.C. 18,632 196,042
BBA Group P.L.C. 33,869 157,722
Bellway P.L.C. 8,267 114,434
Berkeley Group P.L.C. 10,535 178,027
BG Group P.L.C. 282,618 1,721,754
BHP Billiton P.L.C. 197,451 1,662,400
BOC Group P.L.C. 37,915 619,229
Boots Group P.L.C. 61,958 746,330
BP Amoco P.L.C. 1,755,679 15,336,949
BPB P.L.C. 38,502 274,542
Bradford & Bingley P.L.C. 50,958 259,587
Brambles Industries P.L.C. 56,451 219,350
* British Airways P.L.C. 144,628 672,133
British American Tobacco P.L.C. 215,156 3,154,686
British Land Co. P.L.C. 38,039 467,343
British Sky Broadcasting Group P.L.C. 224,474 2,521,164
Brixton P.L.C. 18,052 96,044
BT Group P.L.C. 687,240 2,307,637
* BTG P.L.C. 5,600 11,712
Bunzl P.L.C. 35,893 301,705
* Cable and Wireless P.L.C. 190,789 431,393
Cadbury Schweppes P.L.C. 165,347 1,406,588
* Cairn Energy P.L.C. 12,046 233,422
* Canary Wharf Group P.L.C. 40,100 217,648
Capita Group P.L.C. 52,090 295,620
Carnival P.L.C. 16,498 740,408
Carpetright P.L.C. 3,639 66,346
Carphone Warehouse Group P.L.C. 74,224 187,104
Cattles P.L.C. 24,078 144,612
* Celltech P.L.C. 22,212 221,556
Centrica P.L.C. 341,281 1,332,076
Close Brothers Group P.L.C. 10,800 159,099
Cobham P.L.C. 8,902 $ 222,156
Collins Stewart Tullett P.L.C. 17,814 143,559
* Colt Telecom Group P.L.C. 171,894 264,807
Compass Group P.L.C. 172,356 1,076,284
Computacenter P.L.C. 9,463 67,666
* Cookson Group P.L.C. 130,539 103,732
* Corus Group P.L.C. 328,172 203,433
Davis Service Group P.L.C. 15,000 100,813
De la Rue P.L.C. 12,250 73,161
Diageo P.L.C. 242,323 3,216,108
Dixons Group P.L.C. 155,894 435,407
* Easyjet P.L.C. 36,683 133,889
* Egg P.L.C. 44,910 132,460
Electrocomponents P.L.C. 33,949 220,347
Emap P.L.C. 20,531 286,337
EMI Group P.L.C. 61,510 246,846
Enterprise Inns P.L.C. 27,237 306,458
First Choice Holidays P.L.C. 31,231 68,558
Firstgroup P.L.C. 32,236 162,991
FKI P.L.C. 39,662 80,632
Friends Provident P.L.C. 140,267 355,540
Galen Holdings P.L.C. 17,950 238,436
Gallaher Group P.L.C. 52,359 640,575
* General Electric Co. 22,898 710,406
GKN P.L.C. 57,264 240,851
Glaxosmithkline P.L.C. 474,682 9,932,322
Great Portland Estates P.L.C. 13,760 66,239
Great Universal Stores P.L.C. 81,129 1,207,797
Hammerson P.L.C. 20,700 256,768
Hanson P.L.C. 58,957 450,214
Hays P.L.C. 140,670 318,714
HBOS P.L.C. 308,670 4,044,215
* HHG P.L.C. 284,569 224,349
Hilton Group P.L.C. 123,435 600,457
HSBC Holdings P.L.C. 879,895 13,050,087
ICAP P.L.C. 57,946 301,495
IMI P.L.C. 28,268 190,626
Imperial Chemical Industries P.L.C. 95,296 381,164
Imperial Tobacco Group P.L.C. 58,335 1,295,985
Inchcape P.L.C. 6,503 187,873
Intercontinental Hotels Group P.L.C. 57,738 553,478
* International Power P.L.C. 86,376 230,036
* Intertek Group P.L.C. 11,060 109,790
* Invensys P.L.C. 407,608 121,362
Isoft Group P.L.C. 19,129 135,663
ITV P.L.C. 285,888 622,441
* ITV P.L.C. Convertible Shares 7,428 9,942
Jardine Lloyd Thompson Group P.L.C. 18,114 155,728
Johnson Matthey P.L.C. 17,203 279,605
Johnston Press P.L.C. 26,959 270,193
Kelda Group P.L.C. 29,200 263,323
Kesa Electricals P.L.C. 32,274 168,268
Kidde P.L.C. 59,000 122,991
Kingfisher P.L.C. 186,504 977,652
Land Securities Group P.L.C. 36,335 778,866
Legal and General Group P.L.C. 524,402 855,166
</Table>
5
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Liberty International P.L.C. 30,108 $ 408,471
Lloyds TSB Group P.L.C. 459,645 3,626,343
Logicacmg P.L.C. 33,214 113,996
Lonmin P.L.C. 11,312 197,806
Man Group P.L.C. 27,385 820,778
Manchester United P.L.C. 12,673 56,070
* Marconi Corp. P.L.C. 15,946 190,148
Marks & Spencer Group P.L.C. 179,849 1,185,293
* Matalan P.L.C. 16,817 56,183
Meggitt P.L.C. 22,329 102,830
MFI Furniture Group P.L.C. 43,800 119,980
Millennium and Copthorne Hotels
P.L.C. 19,218 111,540
Misys P.L.C. 43,945 167,700
Mitchells & Butlers P.L.C. 41,579 197,658
* MM02 P.L.C. 613,859 1,098,652
Morrison (Wm.) Supermarkets P.L.C. 232,964 975,482
*# My Travel Group P.L.C. 22,000 3,524
National Express Group P.L.C. 11,282 144,153
National Grid Group P.L.C. 247,008 1,959,476
Next P.L.C. 20,660 525,069
Northern Foods P.L.C. 37,322 105,906
Northern Rock P.L.C. 32,854 436,411
Novar P.L.C. 31,464 72,096
Ocean Group P.L.C. 23,727 307,112
Pearson P.L.C. 63,897 777,773
Peninsular & Oriental Steam
Navigation P.L.C. 53,886 211,835
Pennon Group P.L.C. 9,163 123,733
Persimmon P.L.C. 23,227 255,847
Pilkington P.L.C. 115,030 190,695
Premier Farnell P.L.C. 25,039 111,100
Provident Financial P.L.C. 17,113 199,304
Prudential Corp. P.L.C. 160,312 1,318,172
* Punch Taverns, Ltd. 19,772 186,003
RAC P.L.C. 8,737 106,201
Rank Group P.L.C. 47,588 267,811
Reckitt Benckiser P.L.C. 65,675 1,780,561
Reed International P.L.C. 101,697 979,650
Rentokill Initial P.L.C. 145,356 391,163
Reuters Holdings Group P.L.C. 111,737 745,544
Rexam P.L.C. 43,852 354,989
Rio Tinto P.L.C. 84,341 2,029,587
RMC Group P.L.C. 20,763 208,954
Rolls Royce Group P.L.C. 143,381 593,690
* Rolls Royce Group P.L.C. 6,007,200 11,014
Royal & Sun Alliance Insurance
Group P.L.C. 215,936 320,569
Royal Bank of Scotland Group P.L.C. 248,949 7,524,576
Sabmiller P.L.C. 97,983 1,184,117
Sage Group P.L.C. 104,202 338,210
Sainsbury (J.) P.L.C. 201,257 1,004,677
Schroders P.L.C. 27,720 307,973
Scottish & Newcastle P.L.C. 78,609 614,853
Scottish Hydro-Electric P.L.C. 68,595 870,529
Scottish Power P.L.C. 148,763 1,078,520
Securicor P.L.C. 35,700 78,920
Serco Group P.L.C. 32,613 120,867
Severn Trent P.L.C. 27,608 408,877
Shell Transport & Trading Co., P.L.C. 771,058 5,556,283
* Shire Pharmaceuticals Group P.L.C. 37,357 339,373
Signet Group P.L.C. 134,651 290,609
Slough Estates P.L.C. 31,300 $ 246,391
Smith & Nephew P.L.C. 73,281 770,584
Smith (W.H.) P.L.C. 18,540 121,640
Smiths Industries P.L.C. 43,759 559,394
Somerfield P.L.C. 37,078 97,458
* Spirent P.L.C. 72,279 85,439
SSL International P.L.C. 12,000 70,109
Stagecoach Holdings P.L.C. 93,831 141,078
Standard Chartered P.L.C. 105,639 1,744,426
Tate & Lyle P.L.C. 43,737 242,197
Taylor Nelson AGB P.L.C. 30,623 113,192
Taylor Woodrow P.L.C. 43,614 202,843
Tesco P.L.C. 614,199 2,803,361
* TI Automotive P.L.C. Series A 18,000 0
Tomkins P.L.C. 60,314 287,485
Travis Perkins P.L.C. 9,101 223,740
Trinity Mirror P.L.C. 23,499 267,350
Unilever P.L.C. 244,455 2,322,184
United Business Media P.L.C. 25,000 202,704
United Utilities P.L.C. 58,301 579,979
Viridian Group P.L.C. 9,554 103,233
Vodafone Group P.L.C. 5,367,560 12,650,813
Whitbread P.L.C. 23,799 348,938
William Hill P.L.C. 32,901 327,066
Wilson Bowden P.L.C. 8,193 155,566
Wimpey (George) P.L.C. 30,536 206,209
Wolseley P.L.C. 45,455 683,135
WPP Group P.L.C. 94,636 942,826
Xstrata P.L.C. 76,145 963,094
Zeneca Group P.L.C. 134,465 6,243,049
---------------
TOTAL COMMON STOCKS
(Cost $158,308,824) 176,427,506
---------------
INVESTMENT IN CURRENCY -- (0.6%)
* British Pound Sterling
(Cost $5,026,893) 5,018,287
---------------
TOTAL -- UNITED KINGDOM
(Cost $163,335,717) 181,445,793
---------------
JAPAN -- (18.9%)
COMMON STOCKS -- (18.6%)
Acom Co., Ltd. 7,500 502,924
Aderans Co., Ltd. 1,900 39,634
Advantest Corp. 6,370 450,813
AEON Co., Ltd. 22,400 938,977
Aeon Credit Service, Ltd. 2,700 177,308
Aiful Corp. 6,600 646,148
AIOI Insurance Co., Ltd. 33,000 143,574
Aisin Seiki Co., Ltd. 17,400 322,614
Ajinomoto Co., Inc. 35,000 402,293
Alfresa Holdings Corp. 700 33,694
# All Nippon Airways Co., Ltd. 92,000 282,256
Alps Electric Co., Ltd. 9,000 113,594
Amada Co., Ltd. 22,000 125,140
Amano Corp. 3,000 24,128
# Anritsu Corp. 6,000 37,577
Aoyama Trading Co., Ltd. 2,600 60,411
Ariake Japan Co., Ltd. 1,210 32,962
Arisawa Manufacturing Co., Ltd. 600 26,837
Asahi Breweries, Ltd. 27,000 284,563
Asahi Glass Co., Ltd. 82,000 866,820
</Table>
6
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<Table>
<Caption>
SHARES VALUE+
------ ------
Asahi Kasei Corp. 75,000 $ 369,106
Asatsu-Dk, Inc. 2,600 67,208
* Ashikaga Financial Group, Inc. 41,000 371
Autobacs Seven Co., Ltd. 1,800 50,821
Avex Inc. 1,000 16,123
Awa Bank, Ltd. 5,000 28,718
Bandai Co., Ltd. 5,000 124,164
Bank of Kyoto, Ltd. 10,000 65,943
Bank of Yokohama, Ltd. 60,000 342,809
Bellsystem24, Inc. 170 37,344
Benesse Corp. 5,000 151,962
Bridgestone Corp. 55,000 917,873
Brother Industries, Ltd. 13,000 119,048
C&S Co., Ltd. 2,800 63,854
Calsonic Corp. 4,000 27,145
Canon, Inc. 49,000 2,419,819
Capcom Co., Ltd. 2,000 20,487
Casio Computer Co., Ltd. 14,000 186,593
Central Glass Co., Ltd. 10,000 74,666
Central Japan Railway Co. 181 1,457,986
Chiba Bank, Ltd. 44,000 253,206
Chubu Electric Power Co., Ltd. 41,200 858,876
Chugai Pharmaceutical Co., Ltd. 42,000 636,144
Chugoku Bank, Ltd. 6,000 60,650
Chugoku Electric Power Co., Ltd. 22,100 371,908
Citizen Watch Co., Ltd. 15,000 156,770
Coca-Cola West Japan Co., Ltd. 3,600 86,913
Comsys Holdings Corp. 5,000 37,096
Cosmo Oil Co., Ltd. 14,000 34,226
Credit Saison Co., Ltd. 8,900 253,597
CSK Corp. 3,600 139,210
Dai Nippon Ink & Chemicals, Inc. 37,000 84,035
Dai Nippon Pharmaceutical Co., Ltd. 4,000 30,315
Dai Nippon Printing Co., Ltd. 46,000 703,554
# Dai Nippon Screen Mfg. Co., Ltd. 11,000 68,670
Daicel Chemical Industries, Ltd. 19,000 82,608
Daido Steel Co., Ltd. 11,000 26,393
*# Daiei, Inc. 12,000 35,550
Daifuku Co., Ltd. 3,000 13,823
Daihatsu Motor Co., Ltd. 20,000 117,602
# Dai-Ichi Pharmaceutical Co., Ltd. 14,400 238,249
Daikin Industries, Ltd. 14,000 331,516
Daimaru, Inc. 12,000 105,291
Daishi Bank, Ltd. 8,000 27,477
Daito Trust Construction Co., Ltd. 8,300 298,653
Daiwa House Industry Co., Ltd. 30,000 338,677
Daiwa Securities Co., Ltd. 74,000 516,545
Denki Kagaku Kogyo KK 22,000 69,487
Denso Corp. 67,700 1,452,863
Dentsu, Inc. 166 429,387
* Disco Corp. 500 22,531
Dowa Mining Co., Ltd. 16,000 88,312
East Japan Railway Co. 235 1,214,356
Ebara Corp. 13,000 58,473
Elsai Co., Ltd. 18,600 483,700
Ezaki Glico Co., Ltd. 3,000 21,331
Familymart Co., Ltd. 5,200 152,091
Fanuc, Ltd. 17,800 1,040,257
Fast Retailing Co., Ltd. 8,100 580,586
Fuji Electric Co., Ltd. 40,000 98,385
Fuji Heavy Industries 37,000 182,428
Fuji Oil Co., Ltd. 1,900 $ 22,155
Fuji Photo Film Co., Ltd. 28,000 832,251
Fuji Soft ABC, Inc. 1,000 33,797
Fuji Television Network, Inc. 124 282,562
Fujikura, Ltd. 17,000 81,371
Fujisawa Pharmaceutical Co., Ltd. 19,500 431,552
Fujitsu Support & Service, Inc. 2,000 36,142
Fujitsu, Ltd. 122,000 823,924
# Fukuoka Bank, Ltd. 30,000 155,361
Funai Electric Co., Ltd. 2,100 289,323
* Furukawa Electric Co., Ltd. 30,000 111,446
Futaba Industrial Co., Ltd. 1,400 21,662
Glory, Ltd. 1,600 22,659
Gunma Bank, Ltd. 25,000 115,023
Gunze, Ltd. 8,000 38,169
Hachijuni Bank, Ltd. 26,000 155,460
* Hamamatsu Photonics K.K. 1,400 24,269
* Hankyu Corp. 45,000 173,437
Hankyu Department Stores, Inc. 10,000 88,536
Hanshin Electric Railway Co., Ltd. 7,000 22,722
Higo Bank, Ltd. 5,000 28,719
Hikari Tsushin, Inc. 2,700 107,760
Hino Motors, Ltd. 32,000 192,668
Hirose Electric Co., Ltd. 2,100 229,734
Hiroshima Bank, Ltd. 30,000 133,727
Hitachi Cable, Ltd. 18,000 80,868
Hitachi Chemical Co., Ltd. 10,500 177,964
# Hitachi Construction Machinery
Co., Ltd. 8,000 95,325
Hitachi High-Technologies Corp. 6,400 88,886
* Hitachi Information Systems, Ltd. 900 28,320
Hitachi Metals, Ltd. 5,000 23,876
Hitachi Software Engineering Co., Ltd. 3,000 62,268
* Hitachi Zosen Corp. 20,000 31,662
Hitachi, Ltd. 198,000 1,356,892
Hokkaido Electric Power Co., Inc. 10,800 179,934
Hokkoku Bank, Ltd. 9,000 43,096
Hokuetsu Paper Mills, Ltd. 4,000 21,465
Hokugin Financial Group, Inc. 51,000 103,361
Hokuriku Electric Power Co., Inc. 10,700 175,154
Honda Motor Co., Ltd. 60,600 2,609,772
* Hosiden Corp. 1,900 23,881
House Foods Corp. 4,000 51,457
Hoya Corp. 6,500 670,874
Hyakugo Bank, Ltd. 5,000 29,744
Hyakujishi Bank, Ltd. 8,000 49,499
Ibiden Co., Ltd. 4,200 56,634
Isetan Co., Ltd. 10,000 134,999
Ishihara Sangyo Kaisha, Ltd. 12,000 23,528
* Ishikawajima-Harima Heavy
Industries Co., Ltd. 58,000 82,691
* Isuzu Motors, Ltd. 18,000 42,449
ITO EN, Ltd. 2,200 94,608
* Itochu Corp. 82,000 336,206
Itochu Techno-Science Corp. 3,000 116,848
Ito-Yokado Co., Ltd. 23,000 933,435
Iyo Bank, Ltd. 9,000 60,441
Izumi Co., Ltd. 1,000 24,401
*# Japan Airlines System Corp. 156,000 454,464
Japan Aviation Electronics
Industry, Ltd. 2,000 23,124
</Table>
7
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
JFE Holdings, Inc. 35,200 $ 761,672
JGC Corp. 12,000 100,676
Joyo Bank, Ltd. 48,000 189,116
Jsr Corp., Tokyo 15,400 327,550
Juroku Bank, Ltd. 12,000 50,718
Kagoshima Bank, Ltd. 4,000 22,422
Kajima Corp. 57,000 186,213
Kaken Pharmaceutical Co., Ltd. 3,000 16,327
Kamigumi Co., Ltd. 14,000 92,021
* Kanebo, Ltd. 19,000 15,287
Kaneka Corp. 17,000 156,916
* Kankaku Securities Co., Ltd. 34,000 78,330
Kansai Electric Power Co., Inc. 65,200 1,142,713
Kansai Paint Co., Ltd., Osaka 6,000 35,302
Kao Corp. 33,000 771,757
Katokichi Co., Ltd. 2,000 35,274
# Kawasaki Heavy Industries, Ltd. 67,000 100,072
# Kawasaki Kisen Kaisha, Ltd. 30,000 138,130
KDDI Corp. 257 1,496,407
# Keihin Electric Express Railway Co.,
Ltd. 24,000 142,820
Keio Electric Railway Co., Ltd. 34,000 179,838
* Keisei Electric Railway Co., Ltd. 7,000 23,701
Keyence Corp. 3,000 692,837
Kikkoman Corp. 9,000 72,534
Kinden Corp. 14,000 77,935
Kinki Nippon Railway Co., Ltd. 86,280 317,155
Kirin Brewery Co., Ltd. 60,000 570,179
Kissei Pharmaceutical Co., Ltd. 1,000 21,363
* Kobayashi Pharmaceutical Co., Ltd. 900 23,938
Kobe Steel, Ltd. 146,000 213,130
* Koei Co., Ltd. 800 19,834
Kokuyo Co., Ltd. 6,000 73,090
Komatsu, Ltd. 55,000 331,215
* Komeri Co., Ltd. 1,100 31,230
Komori Corp. 4,000 58,940
Konami Co., Ltd. 6,200 137,719
Konica Corp. 32,000 433,182
Kose Corp. 1,650 56,383
# Koyo Seiko Co. 9,000 91,192
Kubota Corp. 88,000 407,172
Kuraray Co., Ltd. 20,000 150,315
Kuraya Sanseido, Inc. 2,600 38,905
Kurita Water Industries, Ltd. 7,000 89,155
Kyocera Corp. 10,700 895,258
Kyowa Exeo Corp. 5,000 32,821
Kyowa Hakko Kogyo Co., Ltd. 23,000 150,438
Kyushu Electric Power Co., Inc. 26,500 455,883
Lawson Inc. 5,400 197,954
Lion Corp. 7,000 40,350
# Lopro Corp. 2,100 12,780
Mabuchi Motor Co., Ltd. 2,600 174,468
Makita Corp. 7,000 98,239
Marubeni Corp. 72,000 164,210
Marui Co., Ltd. 19,000 253,314
Matsumotokiyoshi Co., Ltd. 2,400 65,709
Matsushita Electric Industrial Co.,
Ltd. 144,188 2,000,059
Matsushita Electric Works, Ltd. 27,000 225,335
# Mazda Motor Corp. 58,000 187,959
Meiji Dairies Corp. 16,000 78,617
Meiji Seika Kaisha, Ltd. Tokyo 17,000 $ 68,951
Meitec Corp. 1,800 63,022
Millea Holdings, Inc. 99 1,282,446
Minebea Co., Ltd. 18,000 79,080
Mitsubishi Chemical Corp. 132,000 311,523
Mitsubishi Corp. 91,000 899,060
Mitsubishi Electric Corp. 130,000 641,791
Mitsubishi Estate Co., Ltd. 84,000 1,034,189
Mitsubishi Gas Chemical Co., Inc. 27,000 101,526
Mitsubishi Heavy Industries, Ltd. 178,000 465,667
Mitsubishi Logistics Corp. 7,000 61,026
Mitsubishi Materials Corp. 50,000 95,619
*# Mitsubishi Motors Corp. 61,000 120,268
# Mitsubishi Paper Mills, Ltd. 13,000 19,563
# Mitsubishi Pharma Corp. 25,000 262,308
Mitsubishi Rayon Co., Ltd. 30,000 104,931
Mitsubishi Securities Co., Ltd. 21,000 248,969
Mitsubishi Tokyo Financial Group, Inc. 456 3,939,324
Mitsui & Co., Ltd. 96,000 730,350
Mitsui Chemicals, Inc. 44,000 213,424
Mitsui Engineering and Shipbuilding
Co., Ltd. 36,000 60,884
Mitsui Fudosan Co., Ltd. 41,000 465,534
Mitsui Marine & Fire Insurance Co.,
Ltd. 82,790 737,114
Mitsui Mining and Smelting Co., Ltd. 26,000 102,918
Mitsui O.S.K. Lines, Ltd. 74,000 350,934
Mitsui Trust Holdings 51,000 339,482
Mitsukoshi, Ltd. 23,000 112,160
Mitsumi Electric Co., Ltd. 3,700 37,869
Mizuho Holdings, Inc. 741 3,182,993
Mori Seiki Co., Ltd. 4,000 33,408
Murata Manufacturing Co., Ltd. 12,700 755,950
Musashino Bank, Ltd. 600 21,676
# Nagoya Railroad Co., Ltd. 40,000 144,075
Namco, Ltd. 2,200 55,228
NEC Corp. 112,000 821,212
NEC Fielding, Ltd. 1,800 48,574
Net One Systems Co., Ltd. 13 52,302
* Net One Systems Co., Ltd. 13 47,872
NGK Insulators, Ltd. 19,000 135,158
NGK Spark Plug Co., Ltd. 11,000 98,975
NHK Spring Co., Ltd. 5,000 28,844
Nichicon Corp. 2,000 25,478
Nichii Gakkan Co. 1,760 81,154
Nichirei Corp. 13,000 41,638
Nidec Corp. 4,400 477,964
Nikko Cordial Corp. 130,000 679,794
Nikon Corp. 21,000 225,777
Nintendo Co., Ltd., Kyoto 9,500 970,835
Nippon Electric Glass Co., Ltd. 7,000 150,066
Nippon Express Co., Ltd. 65,000 351,295
Nippon Kayaku Co., Ltd. 9,000 45,677
Nippon Light Metal Co., Ltd. 11,000 26,038
Nippon Meat Packers, Inc., Osaka 10,000 108,883
Nippon Mining Holdings, Inc. 41,500 191,669
Nippon Mitsubishi Oil Corp. 81,000 460,336
Nippon Sanso Corp. 14,000 64,078
Nippon Sheet Glass Co., Ltd. 20,000 66,195
Nippon Shinpan Co., Ltd. 7,000 23,889
Nippon Shokubai Co., Ltd. 9,000 65,924
Nippon Steel Corp. 414,000 838,992
</Table>
8
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Nippon System Development Co., Ltd. 900 $ 17,430
Nippon Telegraph & Telephone Corp. 1,288 6,357,386
Nippon Television Network Corp. 700 107,784
Nippon Unipac Holding, Tokyo 57 278,536
Nippon Yusen KK 63,000 269,392
Nipponkoa Insurance Co., Ltd. 42,000 241,573
Nishimatsu Construction Co., Ltd. 10,000 33,959
* Nishi-Nippon Railroad Co., Ltd. 8,000 24,567
Nissan Chemical Industries, Ltd. 10,000 71,605
Nissan Motor Co., Ltd. 346,700 3,517,006
Nissay Dowa General Insurance Co.,
Ltd. 13,000 65,314
Nisshin Seifun Group, Inc. 12,000 110,312
Nisshin Steel Co., Ltd. 39,000 78,657
Nisshinbo Industries, Inc. 9,000 59,643
* Nissho Iwai-Nichmen Holdings Corp. 4,000 21,304
Nissin Food Products Co., Ltd. 6,000 145,845
Nitto Denko Corp. 9,200 497,905
NOK Corp. 9,000 321,808
Nomura Research Institute, Ltd. 2,600 263,409
Nomura Securities Co., Ltd. 110,000 1,686,068
Noritake Co., Ltd. 4,000 15,930
NSK, Ltd. 28,000 126,715
NTN Corp. 22,000 101,703
NTT Data Corp. 225 662,537
NTT Docomo, Inc. 3,227 6,062,934
Obayashi Corp. 38,000 181,392
Obic Co., Ltd. 500 101,506
Odakyu Electric Railway Co., Ltd. 36,000 190,675
Ogaki Kyoritsu Bank, Ltd. 8,000 43,151
Oji Paper Co., Ltd. 59,000 375,304
* Okasan Securities Co., Ltd. 4,000 23,395
* Oki Electric Industry Co., Ltd. 30,000 110,733
# Okumura Corp. 11,000 54,045
Olympus Optical Co., Ltd. 14,000 252,132
Omron Corp. 13,000 287,928
Ono Pharmaceutical Co., Ltd. 7,200 315,165
Onward Kashiyama Co., Ltd. 8,000 129,010
Oracle Corp. Japan 9,900 485,281
* Orient Corp. 31,000 82,736
Oriental Land Co., Ltd. 7,600 465,447
Orix Corp. 4,260 433,351
Osaka Gas Co., Ltd. 132,000 353,445
OSG Corp. 2,000 21,194
* Otsuka Corp. 700 32,235
Paris Miki, Inc. 1,900 41,208
* Park24 Co., Ltd. 700 21,081
Pioneer Electronic Corp. 9,000 230,680
Promise Co., Ltd. 6,500 427,262
Q.P. Corp. 6,000 48,855
* Resona Holdings, Inc. 845,000 1,452,994
Ricoh Co., Ltd., Tokyo 43,000 833,967
Rinnai Corp. 1,100 33,419
Rohm Co., Ltd. 6,600 805,032
* Ryoshoku, Ltd. 800 24,125
* Sagami Railway Co., Ltd. 9,000 26,851
Saizeriya Co., Ltd. 1,300 17,872
San In Godo Bank, Ltd. 4,000 31,430
Sanden Corp. 7,000 40,398
Sanken Electric Co., Ltd. 4,000 52,466
Sankyo Co, Ltd. 4,900 165,987
Sankyo Co., Ltd. 25,000 $ 500,094
# Sanrio Co., Ltd. 3,000 35,843
Santen Pharmaceutical Co., Ltd. 2,200 32,047
Sanwa Shutter Corp. 6,000 30,777
Sanyo Electric Co., Ltd. 104,000 406,313
# Sapporo Breweries, Ltd. 19,000 61,704
Sapporo Hokuyo Holdings, Inc. 9 47,094
Secom Co., Ltd. 13,000 523,812
* Sega Enterprises, Ltd. 9,200 92,706
# Seibu Railway Co., Ltd. 25,000 316,436
Seino Transportation Co., Ltd. 7,000 66,565
* Seiyu, Ltd. 28,000 97,100
Sekisui Chemical Co., Ltd. 27,000 199,213
Sekisui House, Ltd. 44,000 458,332
Seven-Eleven Japan Co., Ltd. 64,000 2,020,038
Seventy-seven (77) Bank, Ltd. 20,000 117,886
SFCG Co., Ltd. 280 49,113
Sharp Corp. Osaka 65,000 1,100,035
Shiga Bank, Ltd. 5,000 24,809
Shikoku Bank, Ltd. 4,000 23,834
Shikoku Electric Power Co., Inc. 13,200 225,432
Shima Seiki Manufacturing Co., Ltd. 700 23,560
Shimachu Co., Ltd. 2,200 54,828
Shimadzu Corp. 6,000 30,922
Shimamura Co., Ltd. 1,700 135,205
Shimano, Inc. 6,600 155,881
Shimizu Corp. 38,000 158,915
Shin-Etsu Chemical Co., Ltd. 23,600 827,058
Shinko Securities Co., Ltd. 38,000 126,207
Shionogi & Co., Ltd. 19,000 310,420
Shiseido Co., Ltd. 21,000 248,593
Shizuoka Bank, Ltd. 42,000 342,281
Showa Denko KK 59,000 126,440
Showa Shell Sekiyu KK 18,000 150,542
Skylark Co., Ltd. 5,000 95,411
SMBC Friend Securities Co., Ltd. 6,000 28,362
SMC Corp. 4,300 459,590
* Snow Brand Milk Products Co., Ltd. 12,000 39,306
# Softbank Corp. 23,200 887,315
* Sohgo Security Services Co.,Ltd. 2,100 26,414
Sony Corp. 51,800 1,906,056
Square Enix Co., Ltd. 3,900 100,080
Stanley Electric Co., Ltd. 9,000 148,003
* Sumisho Computer Systems Corp. 900 25,775
Sumitomo Bakelite Co., Ltd. 9,000 59,847
Sumitomo Chemical Co., Ltd. 106,000 497,308
Sumitomo Corp. 68,000 524,611
Sumitomo Corporation's Leasing, Ltd. 900 30,862
Sumitomo Electric Industries, Ltd. 44,000 423,281
Sumitomo Forestry Co., Ltd. 6,000 61,781
* Sumitomo Heavy Industries, Ltd. 31,000 79,627
Sumitomo Metal Industries, Ltd.
Osaka 314,000 352,262
Sumitomo Metal Mining Co., Ltd. 29,000 172,737
Sumitomo Mitsui Financial Group,
Inc. 250 1,785,159
Sumitomo Osaka Cement Co., Ltd. 14,000 33,863
* Sumitomo Real Estate Sales Co., Ltd. 600 24,800
Sumitomo Realty & Development Co., Ltd. 26,000 280,341
Sumitomo Rubber 6,000 49,914
</Table>
9
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
# Sumitomo Trust & Banking Co., Ltd. 96,000 $ 590,116
Suruga Bank, Ltd. 12,000 79,231
Suzuken Co., Ltd. 4,080 127,327
Suzuki Motor Corp. 32,900 535,659
* T&D Holdings, Inc. 5,900 247,157
Taiheiyo Cement Corp. 45,000 98,289
Taisei Corp. 52,000 173,197
Taisho Pharmaceutical Co., Ltd. 23,000 467,703
Taiyo Yuden Co., Ltd. 5,000 72,102
Takara Shuzo Co., Ltd. 10,000 75,615
Takashimaya Co., Ltd. 16,000 176,239
Takeda Chemical Industries, Ltd. 49,000 2,036,715
# Takefuji Corp. 10,350 688,656
Takuma Co., Ltd. 2,000 12,949
*# TC Properties Co., Ltd. 45,300 246,737
TDK Corp. 7,400 519,527
Teijin, Ltd. 50,000 161,509
Teikoku Oil Co., Ltd. 12,000 61,276
Terumo Corp. 10,500 247,672
THK Co., Ltd. 5,800 102,990
TIS, Inc. 2,000 79,629
Tobu Railway Co., Ltd. 43,000 182,543
Toda Corp. 14,000 51,620
Toho Co., Ltd. 9,800 140,802
Toho Gas Co., Ltd. 19,000 63,457
Tohuku Electric Power Co., Inc. 26,600 428,341
* Tokai Rubber Industries, Ltd. 2,000 24,335
Tokuyama Corp. 5,000 21,375
Tokyo Broadcasting System, Inc. 10,000 177,415
Tokyo Electric Power Co., Ltd. 79,600 1,702,382
Tokyo Electron, Ltd. 10,100 576,617
# Tokyo Gas Co., Ltd. 157,000 552,371
* Tokyo Seimitsu Co., Ltd. 800 26,986
Tokyo Steel Manufacturing Co., Ltd. 3,400 48,357
Tokyo Style Co., Ltd. 4,000 45,240
# Tokyu Corp. 59,000 290,525
* Tokyu Land Corp. 9,000 27,950
TonenGeneral Sekiyu KK 24,000 203,755
Toppan Printing Co., Ltd. 37,000 450,239
Toray Industries, Inc. 72,000 331,440
Toshiba Corp. 180,000 773,677
Tosoh Corp. 30,000 103,501
Tostem Inax Holding Corp. 20,240 414,753
Toto, Ltd. 19,000 204,171
Toyo Seikan Kaisha, Ltd. 11,300 185,388
Toyo Suisan Kaisha, Ltd. 5,000 60,419
Toyobo Co., Ltd. 37,000 87,044
Toyoda Gosei Co., Ltd. 6,300 154,288
Toyota Auto Body Co., Ltd. 1,800 27,410
Toyota Industries Corp. 15,300 333,655
Toyota Motor Credit Corp. 235,000 8,480,299
Toyota Tsusho Corp. 13,000 119,294
Trans Cosmos, Inc. 1,000 26,338
Trend Micro Inc. 8,000 301,186
* Ube Industries, Ltd. 37,000 54,602
UFJ Holdings, Inc. 343 1,712,536
UFJ Tsubasa Securities Co. Ltd. 28,000 128,216
Uni-Charm Corp. 3,500 169,838
Union Tool Co. 800 28,220
UNY Co., Ltd. 9,000 111,128
Ushio Inc. 7,000 132,341
USS Co., Ltd. 1,400 $ 112,717
Victor Co. of Japan, Ltd. 6,000 70,521
Vodafone Holdings KK 164 446,266
Wacoal Corp. 7,000 74,220
World Co., Ltd. 2,000 63,573
# Yakult Honsha Co., Ltd. 8,000 110,434
# Yamada Denki Co., Ltd. 5,300 176,988
Yamaguchi Bank, Ltd. 7,000 71,358
Yamaha Corp. 11,000 167,098
Yamaha Motor Co., Ltd. 15,000 214,919
Yamanouchi Pharmaceutical Co., Ltd. 20,200 649,044
Yamato Transport Co., Ltd. 24,000 341,338
Yamazaki Baking Co., Ltd. 9,000 83,383
Yaskawa Electric Corp. 8,000 51,465
Yasuda Fire & Marine Insurance Co.,
Ltd. 60,000 523,163
# Yasuda Trust & Banking Co., Ltd. 208,000 411,095
Yokogawa Electric Corp. 12,000 155,275
Yokohama Rubber Co., Ltd. 7,000 25,747
York-Benimaru Co., Ltd. 800 22,901
Zeon Corp. 6,000 43,893
---------------
TOTAL COMMON STOCKS
(Cost $158,024,572) 150,988,104
---------------
INVESTMENT IN CURRENCY -- (0.3%)
* Japanese Yen
(Cost $2,441,305) 2,467,881
---------------
TOTAL -- JAPAN
(Cost $160,465,877) 153,455,985
---------------
FRANCE -- (8.0%)
COMMON STOCKS -- (8.0%)
Accor SA 10,940 453,950
# AGF (Assurances Generales de
France SA) 11,361 688,832
Air France 14,686 240,250
Air Liquide SA 5,550 973,540
Air Liquide SA 10,266 1,811,500
Alcan, Inc. 2,587 102,229
* Alcatel SA 71,900 1,036,072
* Alstom SA 40,620 46,690
Arcelor SA 29,800 500,100
* Atos Origin 4,218 248,323
* Aventis 44,765 3,554,401
AXA 98,764 2,031,458
BNP Paribas SA 50,518 3,088,183
Bollore Technologies SA 203 62,209
Bouygues 21,845 753,697
* Business Objects SA 5,500 120,680
* Cap Gemini SA 7,550 289,581
Carrefour 40,100 1,958,722
Casino Guichard Perrachon 7,609 664,848
Cie Generale D'Optique Essilor
Intenational SA 5,570 345,753
Clarins SA 370 23,072
Compagnie de Saint-Gobain 19,436 979,092
Compagnie Francaise d'Etudes et
de Construction Technip SA 1,790 241,150
Dassault Systemes SA 8,054 368,200
Dior (Christian) SA 11,036 698,793
Eiffage SA 942 73,293
</Table>
10
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Euler-Hermes SA 1,833 $ 101,171
Faurecia SA 312 20,219
Fimalac SA 560 21,890
# France Telecom SA 202,365 4,889,626
Gecina SA 3,700 288,642
Generale des Establissements
Michelin SA Series B 8,009 391,323
Groupe Danone 7,642 1,319,021
Havas SA 12,513 66,426
* Hermes International SA 2,997 589,201
Imerys SA 1,000 227,498
* JC Decaux SA 9,528 203,418
Klepierre SA 1,862 128,138
LaFarge SA 9,716 833,066
LaFarge SA Prime Fidelity 8,604 745,456
# Lagardere S.C.A. SA 7,700 470,346
L'Oreal 51,116 3,970,231
LVMH (Louis Vuitton Moet Hennessy) 37,151 2,656,305
Metropole Television SA 3,117 87,213
Neopost SA 1,118 63,403
Pernod-Ricard SA 3,950 494,674
Peugeot SA 14,309 808,056
Pinault Printemps Redoute SA 8,640 903,333
Publicis Groupe 13,617 401,386
Remy Cointreau SA 1,518 50,686
Renault SA 18,294 1,363,211
Rexel SA 3,619 149,501
* SA Des Galeries Lafayette 559 108,320
Sagem SA 2,048 224,440
Sanofi Synthelabo 55,603 3,680,703
Schneider SA 12,889 868,235
* Scor SA 28,551 41,835
SEB SA Prime Fidelite 2002 764 85,917
SEB SA Prime Fidelity 990 111,222
Societe BIC SA 3,600 156,173
Societe des Ciments de Francais 737 57,300
Societe Generale d'Enterprise SA 4,640 445,642
Societe Generale, Paris 24,826 2,105,734
Societe Television Francaise 1 14,555 452,486
Sodexho Alliance SA 9,712 252,749
Somfy Interational SA 134 25,189
# Ste des Autoroutes du Sud de
la France 19,738 753,313
Stmicroelectronics NV 53,696 1,210,496
# Suez (ex Suez Lyonnaise des Eaux) 56,220 1,094,851
Thales SA 13,084 461,738
Thomson Multimedia 15,000 286,223
Total SA 35,906 6,745,359
Unibail SA 2,500 248,738
Valeo SA 5,000 202,923
*# Veolia Environnement SA 26,535 710,143
* Vivendi Universal SA 59,936 1,529,557
* Wanadoo SA 43,078 419,616
* Wendel Investissement 3,203 151,900
Zodiac SA 4,460 144,946
---------------
TOTAL -- FRANCE
(Cost $59,763,136) 65,173,806
---------------
SWITZERLAND -- (6.2%)
COMMON STOCKS -- (6.0%)
* ABB, Ltd. 153,897 $ 862,658
* Actelion, Ltd. 1,600 175,795
* Adecco SA 16,373 788,292
Baloise-Holding 3,300 132,988
* BKW FMB Energie AG 90 38,808
* Ciba Spezialitaetenchemie
Holding AG 4,525 309,165
Cie Financiere Richemont AG Series A 46,023 1,185,479
Clariant AG 15,571 214,972
* Credit Swisse Group 78,497 2,700,557
* Fischer (Georg) AG, Schaffhausen 145 31,613
* Forbo Holding AG, Eglisau 102 26,429
Geberit AG 274 176,430
# Givaudan SA 573 306,427
# Holcim, Ltd. 17,803 926,510
Julius Baer Holding AG 540 157,036
* Kudelski SA 3,084 94,509
Kuehne & Nagel International AG 1,500 197,277
Kuoni Reisen Holding AG 180 71,474
* Lindt & Spruengli AG 7 77,698
* Logitech International SA 3,319 153,293
Lonza Group AG 2,970 145,088
Nestle SA, Cham und Vevey 26,340 6,857,764
Nobel Biocare Holding AG 1,700 252,717
# Novartis AG 208,860 9,394,211
Phonak Holding AG 4,487 134,144
Publicitas Holding SA, Lausanne 104 32,371
Roche Holding AG Bearer 17,260 2,375,601
Roche Holding AG Genusschein 45,853 4,829,271
Schindler Holding AG 210 60,066
Schindler Holding AG 1,030 314,126
# Serono SA 1,109 676,087
# Societe Generale de Surveillance
Holding SA 770 444,043
Straumann Holding AG 1,000 207,067
Sulzer AG, Winterthur 165 41,094
# Swatch Group AG 2,692 375,609
* Swiss Life AG 2,140 269,743
# Swiss Reinsurance Co., Zurich 21,255 1,319,433
# Swisscom AG 7,449 2,315,607
* Syngenta AG 7,449 590,903
# Synthes, Inc. 10,130 1,192,705
Tecan Group AG 627 26,776
# The Swatch Group AG 18,164 516,560
# UBS AG 77,901 5,590,760
* Unaxis Holding AG 912 103,285
Valora Holding AG 209 49,484
* Zimmer Holdings, Inc. 3,010 254,353
* Zurich Financial SVCS AG 9,504 1,495,356
---------------
TOTAL COMMON STOCKS
(Cost $39,080,073) 48,491,634
---------------
INVESTMENT IN CURRENCY -- (0.2%)
* Swiss Francs
(Cost $1,225,916) 1,241,865
---------------
</Table>
11
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
RIGHTS/WARRANTS -- (0.0%)
* Swiss Life Holdings AG
Rights 06/02/04
(Cost $0) 1,380 $ 0
---------------
TOTAL -- SWITZERLAND
(Cost $40,305,989) 49,733,499
---------------
GERMANY -- (5.5%)
COMMON STOCKS -- (5.5%)
Aachener und Muenchener
Beteiligungs AG 596 43,017
Adidas-Salomon AG 2,400 284,395
* Aixtron AG 2,400 14,104
Allianz AG 22,867 2,390,586
Altana AG 11,010 716,347
BASF AG 31,350 1,606,578
Bayer AG 40,100 1,148,303
# Bayerische Motorenwerke AG 44,192 1,875,896
* Bayerische Vereinsbank AG 46,769 790,055
# Beiersdorf AG 7,703 870,744
Commerzbank AG 31,673 517,366
# Continental AG 7,400 333,098
* D. Logistics AG 1,200 2,542
DaimlerChrysler AG 56,252 2,503,585
# Deutsche Bank AG 31,988 2,517,999
# Deutsche Boerse AG 5,900 314,241
Deutsche Lufthansa AG 30,202 433,678
Deutsche Post AG 98,718 1,982,253
* Deutsche Telekom AG 290,398 4,888,094
Douglas Holding AG 1,500 40,034
E.ON AG 37,998 2,647,377
* Epcos AG 2,800 56,825
* Fraport AG 3,274 94,674
* Freenet.De AG 854 78,372
Fresenius Medical Care AG 5,195 384,298
Gehe AG 6,588 375,683
* Hannover Rueckversicherungs AG 3,742 127,269
* Heidelberger Druckmaschinen AG 2,678 84,886
Heidelberger Zement AG 7,569 333,452
Hochtief AG 2,695 59,148
* Hypo Real Estate Holding AG 6,387 179,544
* Infineon Technologies AG 43,704 592,044
Karstadt Quelle AG 7,555 156,042
# Linde AG 7,404 383,412
MAN AG 8,122 300,011
Medion AG 2,346 88,925
Merck KGAA 2,700 150,552
*# Metro AG 29,088 1,410,639
MG Technologies AG 11,945 155,452
# Munchener Rueckversicherungs-
Gesellschaft AG 15,448 1,583,629
Oldenburgische Landesbank AG 637 50,562
# Preussag AG 9,786 189,951
Puma AG 800 194,765
Rwe AG (Neu) 800 31,294
Rwe AG (NEU) Series A 29,611 1,302,004
# SAP AG (Systeme Anwendungen
Produkte in der Datenverarbeitung) 21,517 3,477,864
Schering AG 10,800 589,631
* SGL Carbon AG 1,750 16,780
Siemens AG 47,475 3,359,921
Stada Arzneimittel AG 1,121 $ 58,007
Suedzucker AG 13,568 270,754
ThyssenKrupp AG 36,653 613,081
* T-Online International AG 76,305 878,324
United Internet AG 1,321 33,164
Volkswagen AG 20,257 887,366
* WCM Beteiligungs AG 11,608 16,481
---------------
TOTAL -- GERMANY
(Cost $48,582,936) 44,485,098
---------------
NETHERLANDS -- (3.9%)
COMMON STOCKS -- (3.9%)
ABN-AMRO Holding NV 122,634 2,612,136
Aegon NV 117,874 1,423,571
* Air France 2,614 42,466
AKZO Nobel NV 20,687 745,101
Buhrmann NV 6,020 57,363
DSM NV 7,868 388,534
Elsevier NV 57,907 807,817
* Getronics NV 27,590 76,293
* Hagemeyer NV 21,897 46,884
Heineken Holding NV Series A 27,038 793,539
Heineken NV 56,719 1,874,693
* Hunter Douglas NV 3,502 163,215
IHC Caland NV 2,124 100,190
ING Groep NV 166,457 3,760,069
* Koninklijke Ahold NV 145,070 1,134,825
Koninklijke KPN NV 199,776 1,453,124
* Koninklijke Numico NV 12,248 389,125
Koninklijke Philips Electronics NV 90,808 2,480,208
Koninklijke Vendex KBB NV 5,978 111,200
* Norit NV 34,890 611,540
Oce NV 4,991 74,278
Randstad Holdings NV 8,050 211,474
Royal Dutch Petroleum Co.,
Den Haag 143,761 7,191,425
TNT Post Groep NV 45,904 1,030,728
Unilever NV 39,438 2,591,402
Vedior NV 15,338 228,694
VNU NV 19,323 568,964
Wolters Kluwer NV 21,861 370,518
---------------
TOTAL COMMON STOCKS
(Cost $32,721,347) 31,339,376
---------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 2,377 2,990
* ING Groep NV Coupons 06/17/05 166,457 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $4,469) 2,990
---------------
TOTAL -- NETHERLANDS
(Cost $32,725,816) 31,342,366
---------------
AUSTRALIA -- (3.9%)
COMMON STOCKS -- (3.8%)
Amcor, Ltd. 61,317 284,200
AMP Limited 111,330 442,508
Ansell, Ltd. 12,403 69,843
APN News & Media, Ltd. 23,741 69,246
Aristocrat Leisure, Ltd. 25,976 79,469
Australand Property Group 30,781 35,790
</Table>
12
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Australia & New Zealand Banking
Group, Ltd. 121,193 $ 1,559,324
Australian Gas Light Co. 31,475 264,612
Australian Stock Exchange, Ltd. 5,600 61,366
AWB, Ltd. 15,115 52,837
AXA Asia Pacific Holdings, Ltd. 139,317 337,403
Bendigo Bank, Ltd. 5,694 42,157
BHP Billiton, Ltd. 261,912 2,247,754
BHP Steel Ltd. 51,941 229,657
* Billabong International, Ltd. 10,606 62,337
Boral, Ltd. 36,452 152,438
Brambles Industries, Ltd. 66,718 280,980
Brickworks, Ltd. 5,844 35,756
* Burns, Philp & Co., Ltd. 90,152 40,508
Caltex Australia, Ltd. 12,048 74,257
Coca-Cola Amatil, Ltd. 35,542 180,045
Cochlear, Ltd. 3,100 45,330
Coles Myer, Ltd. 94,099 569,176
Commonwealth Bank of Australia 87,566 2,050,990
Computershare, Ltd. 34,090 73,930
CSL, Ltd. 10,618 174,368
CSR, Ltd. 55,115 75,854
* Davids Limited 27,928 52,024
Deutsche Office Trust 44,700 39,515
Flight Centre, Ltd. 4,194 52,790
Foodland Associates, Ltd. 6,090 80,175
Foster's Group, Ltd. 150,976 491,118
Futuris Corp., Ltd. 42,265 46,748
General Property Trust 75,385 184,635
Harvey Norman Holdings, Ltd. 91,545 178,160
Iluka Resources, Ltd. 15,365 43,569
Insurance Australiz Group, Ltd. 119,754 389,137
James Hardies Industries NL 30,184 129,520
John Fairfax Holdings, Ltd. 55,963 138,133
Leighton Holdings, Ltd. 23,641 136,245
Lend Lease Corp., Ltd. 31,264 224,042
Lion Nathan, Ltd. 43,600 205,274
Macquarie Bank, Ltd. 14,533 345,861
Macquarie Infrastructure Group 69,634 156,484
Mayne Group, Ltd. 49,547 105,844
Mirvac, Ltd. 46,875 141,960
National Australia Bank, Ltd. 106,524 2,276,671
National Foods, Ltd. 9,831 30,489
Newcrest Mining, Ltd. 21,576 194,614
News Corp., Ltd. 158,899 1,459,558
News Corp., Ltd. Pref Ordinary 284,248 2,414,182
Onesteel, Ltd. 36,779 58,978
Orica, Ltd. 17,659 184,413
Origin Energy, Ltd. 46,223 173,944
* Oxiana, Ltd. 52,556 31,130
Paperlinx, Ltd. 29,331 101,845
Patrick Corp., Ltd. 33,558 116,879
Perpetual Trustees Australia, Ltd. 1,977 62,085
Publishing and Broadcasting, Ltd. 60,779 534,981
QBE Insurance Group, Ltd. 47,261 420,847
Quantas Airways, Ltd. 163,543 400,387
Rinker Group, Ltd. 62,315 333,130
Rio Tinto, Ltd. 35,325 881,520
* Rural Press, Ltd. 5,203 27,966
Santos, Ltd. 38,543 186,416
* Scigen 11,443 522
Sigma Co., Ltd. 7,216 $ 39,120
Sonic Healthcare, Ltd. 16,529 103,940
* Sons of Gwalia, Ltd. 7,201 13,834
* Southcorp, Ltd. 49,137 110,815
St. George Bank, Ltd. 30,907 483,474
* Stockland Trust Group 1,070 3,993
Stockland Trust Group 31,060 116,961
Suncorp-Metway, Ltd. 36,688 361,170
Tab, Ltd. 27,500 93,375
Tabcorp Holdings, Ltd. 29,534 282,115
Telstra Corp., Ltd. 603,648 2,017,761
Ten Network Holdings, Ltd. 17,535 35,911
Toll Holdings, Ltd. 19,556 149,255
Transurban Group 32,295 103,709
Washington H. Soul Pattinson & Co.,
Ltd. 10,671 47,205
Wesfarmers, Ltd. 24,851 500,669
West Australian Newspapers
Holdings, Ltd. 10,881 51,267
Westfield Holdings, Ltd. 37,309 388,868
* Westfield Trust 57 169
Westfield Trust 2,312 7,013
Westpac Banking Corp. 126,435 1,549,889
WMC Resources, Ltd. 75,345 248,221
WMC, Ltd. 75,646 286,789
Woodside Petroleum, Ltd. 56,079 633,847
Woolworths, Ltd. 69,050 580,794
---------------
TOTAL COMMON STOCKS
(Cost $23,701,372) 30,834,090
---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar
(Cost $467,463) 472,133
---------------
TOTAL -- AUSTRALIA
(Cost $24,168,835) 31,306,223
---------------
ITALY -- (3.0%)
COMMON STOCKS -- (3.0%)
* Acea SpA 4,000 28,421
* AEM SpA 24,480 45,849
*# Alitalia Linee Aeree Italiane SpA
Series A 50,000 14,325
Alleanza Assicurazioni SpA 43,804 479,196
Assicurazioni Generali SpA, Trieste 58,514 1,516,664
* Autogrill SpA, Novara 10,000 141,983
* Banca Antoniana Popolare Veneta
SpA 9,599 191,443
Banca Fideuram SpA 50,948 291,817
Banca Monte Dei Paschi di Siena
SpA 135,554 420,411
* Banca Nazionale del Lavoro SpA 101,562 212,802
Banca Popolare di Lodi Scarl 9,804 89,821
Banca Popolare di Milano 14,520 85,453
Banco Popolare di Verona e Novara
SpA 16,000 262,526
Benetton Group SpA 6,950 78,722
Bulgari SpA 13,000 125,702
Capitalia SpA 100,360 296,643
# Cassa di Risparmio di Firenze SpA 21,455 36,802
# Compagnia Assicuratrice Unipol SpA 11,382 44,424
Credito Italiano 327,819 1,532,769
</Table>
13
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* E.Biscom SpA 1,000 $ 58,177
*# Edison SpA 167,195 289,643
# Eni SpA 198,578 4,035,829
# Ente Nazionale per L'Energia
Elettrica SpA 370,835 3,033,887
* Fiat SpA 39,286 278,277
* Finecogroup SpA 14,490 85,108
# Finmeccanica SpA 385,000 290,622
Gruppo Editoriale L'espresso SpA 16,000 98,264
# Intesabci SpA 316,482 1,136,135
Italcementi SpA 6,680 83,581
# Luxottica Group SpA 24,655 399,314
Mediaset SpA 66,880 732,927
Mediobanca SpA 34,000 389,312
# Mediolanum SpA 33,000 222,156
Mondadori (Arnoldo) Editore SpA 10,500 100,070
Pirelli & Co. SpA 93,332 95,767
RAS SpA (Riunione Adriatica di
Sicurta) 38,672 693,268
SAI SpA (Sta Assicuratrice
Industriale), Torino 3,906 86,897
Saipem SpA 16,937 154,273
San Paolo-IMI SpA 66,607 762,673
Seat Pagine Gialle SpA 8,018 3,182
* Seat Pagine Gialle SpA, Torino 3,041 1,290
SNAM Rete Gas SpA 105,674 444,900
SNIA SpA 9,248 2,786
Societe Cattolica di Assicurazoni
Scarl SpA 934 36,287
* Sorin SpA 13,872 35,574
Telecom Italia Mobile SpA 485,179 2,629,586
# Telecom Italia SpA 701,433 2,151,065
* Tiscali SpA 13,000 56,965
---------------
TOTAL COMMON STOCKS
(Cost $22,777,237) 24,283,588
---------------
PREFERRED STOCKS -- (0.0%)
* Fiat SpA
(Cost $43,047) 3,000 12,827
---------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 01/31/07
(Cost $0) 1,677 372
---------------
TOTAL -- ITALY
(Cost $22,820,284) 24,296,787
---------------
SPAIN -- (2.8%)
COMMON STOCKS -- (2.8%)
Acciona SA 4,613 291,583
# Acerinox SA 3,500 191,804
* Antena 3 Television 898 45,629
# Autopistas Concesionaria
Espanola SA 37,894 638,828
# Banco Bilbao Vizcaya SA 182,100 2,412,663
Banco de Andalucia 655 57,893
Banco de Sabadell SA 10,406 214,226
# Banco de Valencia SA 4,181 87,190
Banco Pastor SA 1,281 38,009
# Banco Popular Espanol SA, Madrid 14,722 827,598
Banco Santander Central
Hispanoamerica SA 271,784 2,888,095
Bankinter SA 3,867 $ 144,643
Cementos Portland SA 1,338 80,262
* Centros Comerciales Carrefour SA 20,065 386,964
# Cia Espanola de Petroleous SA 10,942 361,073
Compania de Distribucion Integral
Logista SA 1,457 46,762
*# Coporacion Financiera Reunida SA 6,070 65,427
Corporacion Mapfre Compania
Internacional de Reaseguros SA 12,760 145,206
Ebro Puleva SA 2,892 35,259
* Enagas SA 11,325 127,113
Endesa SA, Madrid 60,300 1,113,186
Fomento de Construcciones y
Contratas SA 9,577 344,921
* Gamesa Corporacion
Technologica SA 3,024 135,615
# Gas Natural SA, Buenos Aires 35,972 859,438
# Grupo Ferrovial SA 10,223 402,422
Iberdrola SA 51,300 1,034,950
Iberia Lineas Aereas de Espana SA 57,296 164,560
Indra Sistemas SA 7,600 97,182
Industria de Diseno Textil SA 51,131 1,175,582
# Metrovacesa SA 3,614 138,483
OCP Construcciones SA, Madrid 7,622 372,022
Promotora de Informaciones SA 13,866 239,702
Red Electrica de Espana S.A. 6,151 101,948
Repsol SA 75,700 1,601,540
Sociedad General de Aguas de
Barcelona SA 6,192 103,104
* Sociedad General de Aguas de
Barcelona SA 61 1,024
* Sogecable SA 5,430 224,757
# Sol Melia SA 8,400 72,344
Tabacalera SA 15,900 486,536
* Tele Pizza SA 7,000 12,734
# Telefonica de Espana SA 282,457 4,103,377
# Telefonica Publicidad e
Informacion SA 23,179 160,049
Union Fenosa SA 19,200 409,593
# Vallehermoso SA 17,641 259,758
# Zardoya Otis SA 9,831 200,448
*# Zeltia SA 10,500 76,366
---------------
TOTAL -- SPAIN
(Cost $18,314,874) 22,977,868
---------------
SWEDEN -- (2.0%)
COMMON STOCKS -- (1.9%)
* Ainax AB 1,922 53,962
Alfa Laval AB 7,600 117,372
Assa Abloy AB Series B 20,500 237,744
Atlas Copco AB Series A 9,300 343,347
Atlas Copco AB Series B 3,600 122,519
Axfood AB 2,700 67,815
Billerud AB 3,200 49,816
* Bostads AB Drott 1,175 21,119
Castellum AB 2,200 51,893
* Drott Series AB 4,700 65,734
Electrolux AB Series B 18,500 367,329
Eniro AB 8,200 64,408
Gambro AB Series A 15,300 138,024
Gambro AB Series B 5,200 46,202
</Table>
14
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Getinge AB 11,600 $ 135,280
Hennes & Mauritz AB Series B 57,900 1,433,926
Hoganas AB Series B 1,300 32,195
Holmen AB Series B 4,300 123,263
* Lundin Petroleum AB 9,000 51,527
* Modern Times Group AB Series B 1,800 32,353
Netcom AB Series B 8,700 374,460
Nordic Baltic Holdings AB 201,048 1,362,396
* OMHEX AB 6,500 86,239
Sandvik AB 16,700 567,170
Scania AB 4,000 123,357
Scania AB Series B 5,400 169,290
Securitas AB Series B 20,900 258,050
Skandia Insurance AB 63,500 254,688
Skandinaviska Enskilda Banken
Series A 53,100 765,653
Skanska AB Series B 19,500 162,968
SSAB Swedish Steel Series A 3,500 58,546
SSAB Swedish Steel Series B 1,400 22,660
Svenska Cellulosa AB Series B 12,700 492,126
Svenska Handelsbanken Series A 45,800 891,156
Svenska Kullagerfabriken AB
Series A 2,300 83,186
Svenska Kullagerfabriken AB
Series B 5,200 189,719
Swedish Match AB (Frueher
Svenska Taendsticks AB) 20,400 215,211
Tele2 AB Series A 800 34,189
* Telefon AB L.M. Ericsson Series B 950,800 2,658,934
# Telia AB 381,900 1,614,475
Tietoenator Corp. AB 3,400 100,829
Trelleborg AB Series B 4,200 76,123
# Volvo AB Series A 8,900 277,542
# Volvo AB Series B 20,900 683,228
WM-Data AB Series B 8,500 18,969
---------------
TOTAL COMMON STOCKS
(Cost $13,843,369) 15,096,992
---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Swedish Krona
(Cost $643,514) 647,648
---------------
TOTAL -- SWEDEN
(Cost $14,486,883) 15,744,640
---------------
HONG KONG -- (1.3%)
COMMON STOCKS -- (1.3%)
ASM Pacific Technology, Ltd. 12,000 47,890
Bank of East Asia, Ltd. 64,910 184,206
Cathay Pacific Airways, Ltd. 176,000 332,237
Cheung Kong Holdings, Ltd. 105,600 793,150
Cheung Kong Infrastructure
Holdings, Ltd. 99,000 240,040
China Merchants Holdings
(International) Co., Ltd. 54,000 71,316
China Unicom, Ltd. 232,000 176,330
CLP Holdings, Ltd. 110,400 584,908
CNOOC, Ltd. 712,500 303,260
Dah Sing Financial Holdings, Ltd. 3,600 24,187
Esprit Holdings, Ltd. 54,541 237,325
Giordano International, Ltd. 40,000 24,496
Hang Lung Development Co., Ltd. 24,000 32,640
Hang Lung Properties, Ltd. 113,500 $ 147,677
Hang Seng Bank, Ltd. 103,000 1,304,014
Henderson Investment, Ltd. 72,000 84,964
Henderson Land Development Co.,
Ltd. 97,000 417,942
* Hong Kong and China Gas Co., Ltd. 51,000 80,526
Hong Kong Electric Holdings, Ltd. 93,707 391,998
Hong Kong Exchanges & Clearing,
Ltd. 48,000 99,557
Hopewell Holdings, Ltd. 38,000 66,099
Hutchison Whampoa, Ltd. 218,500 1,477,411
Hysan Development Co., Ltd. 41,242 66,380
I-Cable Communications, Ltd. 9,854 3,786
Johnson Electric Holdings, Ltd. 168,000 158,097
Kerry Properties, Ltd. 18,000 29,122
Kowloon Motor Bus Holdings, Ltd. 1,200 5,894
* Legend Group, Ltd. 174,000 54,657
Li & Fung, Ltd. 126,000 186,333
* MTR Corp., Ltd. 18,500 27,017
New World Development Co., Ltd. 128,860 99,968
NWS Holdings Ltd. 27,000 32,198
* PCCW, Ltd. 235,265 159,917
SCMP Group, Ltd. 39,198 15,697
Shangri-La Asia, Ltd. 99,872 98,111
Sino Land Co., Ltd. 180,644 105,354
Smartone Telecommunications
Holdings, Ltd. 23,000 24,652
Sung Hungkai Properties, Ltd. 118,706 1,007,851
Swire Pacific, Ltd. Series A 42,500 274,021
Techtronic Industries Co., Ltd. 28,000 84,287
Television Broadcasts, Ltd. 20,000 87,987
Texwinca Holdings, Ltd. 60,000 47,707
Wharf Holdings, Ltd. 107,542 303,130
Wheelock and Co., Ltd. 29,000 34,755
Wing Hang Bank, Ltd. 4,500 26,303
# Yue Yuen Industrial (Holdings), Ltd. 69,000 171,914
---------------
TOTAL COMMON STOCKS
(Cost $10,956,855) 10,227,311
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars
(Cost $166,551) 166,537
---------------
TOTAL -- HONG KONG
(Cost $11,123,406) 10,393,848
---------------
FINLAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Amer-Yhtymae Oyj Series A 1,500 76,996
* Elisa Communications Corp. 10,063 125,447
Fortum Oyj 90,288 1,060,115
KCI Konecranes International Oyj 700 24,185
Kemira Oyj 4,000 50,523
Kesko Oyj 6,400 126,002
Kone Corp. 5,140 296,022
Metso Oyj 10,444 127,906
M-real Oyj Series B 9,000 76,581
Nokia Oyj 342,121 4,686,868
Nokian Renkaat Oyj 500 46,203
Orion-Yhtyma Oyj Series A 200 5,052
Orion-Yhtyma Oyj Series B 2,000 50,850
Outokumpu Oyj Series A 15,900 240,890
</Table>
15
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Pohjola Group P.L.C. Series D 9,600 $ 93,522
Rautaruukki Oyj Series K 8,700 64,769
Sampo Insurance Co., Ltd. 58,700 582,159
Sanoma-Wsoy Oyj Series A 1,391 24,797
Sanoma-Wsoy Oyj Series B 13,063 232,680
Stora Enso Oyj Series R 67,900 880,090
Tietoenator Corp. 2,800 82,623
Upm-Kymmene Oyj 45,800 822,604
Uponor Oyj Series A 2,300 73,143
Wartsila Corp. Oyj Series B 2,900 59,225
---------------
TOTAL -- FINLAND
(Cost $9,986,195) 9,909,252
---------------
BELGIUM -- (0.8%)
COMMON STOCKS -- (0.8%)
AGFA-Gevaert NV, Mortsel 7,300 177,527
Algemene Mij Voor Nijverheidskredit
Almanij 6,572 398,651
Barco (New) NV 400 34,950
Bekaert SA 700 40,451
Cie Martime Belge SA 300 28,204
Cofinimmo SA 200 25,644
Colruyt SA Halle 1,700 185,219
* Delhaize Freres & cie le Lion SA
Molenbeek-Saint Jean 3,600 168,319
# Dexia SA 50,657 847,840
D'Ieteren SA 290 57,729
# Electrabel SA 2,900 945,514
Exmar NV 300 16,468
# Fortis AG 53,679 1,141,072
Groupe Bruxelles Lambert 2,500 154,459
Interbrew SA 23,590 720,029
KBC Bancassurance Holding SA 15,700 899,884
* Mobistar SA 2,500 156,404
Omega Pharma SA 500 24,185
Solvay SA 4,400 354,131
# UCB SA 7,600 353,722
* Umicore-Strip VVPR 55 10
Union Miniere SA 1,155 70,118
---------------
TOTAL COMMON STOCKS
(Cost $6,205,870) 6,800,530
---------------
RIGHTS/WARRANTS -- (0.0%)
* Cofinimmo SA Rights 06/11/04
(Cost $0) 200 0
---------------
TOTAL -- BELGIUM
(Cost $6,205,870) 6,800,530
---------------
DENMARK -- (0.7%)
COMMON STOCKS -- (0.7%)
Bang & Olufsen Holding A.S. Series B 290 16,864
Carlsberg A.S. Series B 3,475 170,044
Codan A.S. 500 20,955
Coloplast A.S. Series B 970 94,284
Dampskibsselskabet Svendborg A.S. 254 1,654,295
Danisco A.S. 2,450 116,113
Danske Bank A.S. 37,056 842,536
DSV, De Sammensluttede
Vognmaend A.S. 880 40,525
East Asiatic Co., Ltd. 900 39,974
* FLS Industries 890 $ 12,054
GN Great Nordic A.S. 9,620 72,227
Group 4 Falck A.S. 3,480 80,626
H. Lundbeck A.S. 14,002 310,827
ISS A.S. 1,763 84,298
* Jyske Bank A.S. 1,330 70,123
Koebenhavns Lufthavne 280 39,715
NKT Holding A.S. 1,100 21,523
Novo-Nordisk A.S. Series B 14,150 650,675
Novozymes A.S. Series B 2,830 123,960
Sydbank A.S. 240 34,350
Tele Danmark A.S. 12,110 408,545
* TK Development 614 1,321
* Topdanmark A.S. 1,300 78,608
* Vestas Wind Systems A.S. 4,400 58,650
* Vestas Wind Systems A.S. Issue 04 1,466 19,015
* William Demant Holding 3,260 120,615
---------------
TOTAL COMMON STOCKS
(Cost $4,396,887) 5,182,722
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone
(Cost $300,967) 303,474
---------------
RIGHTS/WARRANTS -- (0.0%)
* Vestas Wind Systems A.S.
Rights 06/03/04
(Cost $0) 2 3
---------------
TOTAL -- DENMARK
(Cost $4,697,854) 5,486,199
---------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Allgreen Properties, Ltd. 41,000 22,901
* Capitacommercial Trust 23,100 13,854
Capitaland, Ltd. 115,500 88,169
* Chartered Semiconductor
Manufacturing, Ltd. 112,000 94,556
City Developments, Ltd. 32,000 98,314
Comfortdelgro Corp., Ltd. 81,000 54,323
Creative Technology Co., Ltd. 3,000 30,155
Cycle & Carriage, Ltd. 5,982 22,853
DBS Group Holdings, Ltd. 75,000 620,736
Fraser & Neave, Ltd. 11,100 88,035
Great Eastern Holdings, Ltd. 14,000 96,910
Haw Par Brothers International, Ltd. 2,248 6,174
Keppel Corp., Ltd. 32,000 125,122
Keppel Land, Ltd. 22,000 21,457
* MobileOne, Ltd. 23,000 20,372
Neptune Orient Lines, Ltd. 47,000 59,208
Overseas Chinese Banking Corp., Ltd. 63,300 446,081
Overseas Union Enterprise, Ltd. 6,000 23,753
Parkway Holdings, Ltd. 20,000 13,547
Sembcorp Industries, Ltd. 78,000 66,029
Sembcorp Logistics, Ltd. 39,000 43,725
Sembcorp Marine, Ltd. 55,000 28,477
Singapore Airlines, Ltd. 73,000 450,855
Singapore Land, Ltd. 11,000 24,973
Singapore Press Holdings 16,000 192,484
Singapore Technologies
Engineering, Ltd. 155,000 175,864
</Table>
16
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Singapore Telecommunications, Ltd. 1,178,000 $ 1,513,742
Smrt Corporation, Ltd. 59,000 22,684
*# St Assembly Test Services, Ltd. 38,000 32,922
United Overseas Bank, Ltd. 76,000 580,046
United Overseas Land, Ltd. 22,000 29,269
Venture Manufacturing
(Singapore), Ltd. 10,000 106,490
Wing Tai Holdings, Ltd. 22,166 11,098
---------------
TOTAL COMMON STOCKS
(Cost $6,124,378) 5,225,178
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $148,956) 149,994
---------------
RIGHTS/WARRANTS -- (0.0%)
* City Developments, Ltd. Warrants
(Cost $0) 3,200 5,080
---------------
TOTAL -- SINGAPORE
(Cost $6,273,334) 5,380,252
---------------
IRELAND -- (0.6%)
COMMON STOCKS -- (0.6%)
Allied Irish Banks P.L.C. 68,071 964,365
Anglo Irish Bank Corp. P.L.C. 24,997 395,909
Bank of Ireland P.L.C. 72,629 859,837
CRH P.L.C. 39,532 839,639
DCC P.L.C. 4,814 78,338
* Elan Corp. P.L.C. 28,990 684,614
Fyffes P.L.C. 17,987 35,203
* Grafton Group P.L.C. 15,596 112,207
Greencore Group P.L.C. 13,520 51,156
IAWS Group P.L.C. 8,593 96,712
Independent News & Media P.L.C. 66,416 157,114
Irish Permanent P.L.C. 18,325 275,706
Kerry Group P.L.C. 17,981 371,082
* Ryanair Holdings P.L.C. 32,702 173,280
Waterford Wedgwood P.L.C. 57,541 13,785
---------------
TOTAL -- IRELAND
(Cost $4,533,816) 5,108,947
---------------
EMU -- (0.6%)
INVESTMENT IN CURRENCY -- (0.6%)
* Euro Currency
(Cost $4,593,583) 4,624,056
---------------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
* Aker Kvaerner ASA 755 12,055
Den Norske Bank ASA Series A 46,600 295,667
* Merkantildata ASA 6,800 5,109
Nera ASA 6,300 16,717
Norsk Hydro ASA 16,900 1,048,742
Norske Skogindustrier ASA Series A 5,000 83,355
* Opticom ASA 600 5,867
Orkla ASA Series A 11,471 291,205
Schibsted ASA 2,700 47,443
Smedvig ASA Series A 3,800 35,706
Statoil Den Norske Stats
Oljeselskap ASA 52,301 654,843
Storebrand ASA 14,500 97,394
Tandberg ASA Series A 5,600 56,397
Telenor ASA 71,341 $ 512,476
Tomra Systems ASA 9,200 37,039
* Yara International ASA 16,900 125,403
---------------
TOTAL COMMON STOCKS
(Cost $2,600,205) 3,325,418
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone
(Cost $196,132) 197,907
---------------
TOTAL -- NORWAY
(Cost $2,796,337) 3,523,325
---------------
GREECE -- (0.3%)
COMMON STOCKS -- (0.3%)
Alpha Credit Bank 10,164 265,914
Athens Water Supply & Sewage Co.
S.A. 4,100 28,272
Attica Enterprises S.A. Holdings 3,130 12,633
Bank of Piraeus S.A. 6,510 75,842
Commercial Bank of Greece 3,700 97,957
* Cosmote Mobile Telecommunications
S.A. 9,750 162,962
EFG Eurobank Ergasias S.A. 17,470 388,853
Hellenic Bottling Co. S.A. 13,170 328,899
Hellenic Duty Free Shops S.A. 2,000 36,733
Hellenic Petroleum S.A. 13,100 100,125
Hellenic Technodomiki S.A. 3,900 19,454
Hellenic Tellecommunication
Organization Co. S.A. 32,460 426,517
Intracom S.A. 3,310 16,652
* Mailis (M.J.) S.A. 2,800 9,530
National Bank of Greece 13,285 400,093
Public Power Corp. of Greece 13,790 344,431
Titan Cement Co. 1,140 49,824
Viohalco S.A. 2,800 17,732
---------------
TOTAL -- GREECE
(Cost $2,300,943) 2,782,423
---------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Comercial Portugues SA 172,715 400,276
Banco Espirito Santo e Comercial
de Lisboa 17,995 296,298
BPI SGPS SA 44,098 160,901
Brisa Auto Estradas de
Portugal SA 24,268 168,200
Cimpor Cimentos de Portugal SA 34,848 182,831
Electricidade de Portugal SA 144,658 392,082
* Jeronimo Martins (Estabelecimentos
Jeronimo Martins & Filho
Administracao e Participacoes
Financeiros SA) 5,600 66,095
Portugal Telecom SA 62,730 642,692
PT Multimedia Servicos de
Telecomunicacoes e Multimedia
SGPS SA 5,286 110,918
Sonae SGPS SA 108,923 113,125
---------------
TOTAL -- PORTUGAL
(Cost $2,631,882) 2,533,418
---------------
</Table>
17
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
Bohler Uddeholm AG 480 $ 36,603
BWT AG 880 21,533
Erste Bank der Oesterreichischen
Sparkassen AG 2,731 422,201
EVN AG 674 35,492
Flughafen Wien AG 579 32,223
* Immofinanz Immobilien Anlagen AG 8,273 65,386
Mayr-Melnhof Karton AG 472 56,661
Oesterreichische
Elektrizitaetswirtschafts AG 810 134,482
OMV AG 1,728 303,035
* RHI AG, Wien 778 16,158
* Telekom Austria AG 20,547 286,633
* VA Technologie AG 805 42,959
Voestalpine AG 1,479 65,995
Wienerberger AG 4,007 135,793
---------------
TOTAL COMMON STOCKS
(Cost $1,160,576) 1,655,154
---------------
RIGHTS/WARRANTS -- (0.0%)
* Wienerberger AG Rights 06/02/04
(Cost $0) 4,007 0
---------------
TOTAL -- AUSTRIA
(Cost $1,160,576) 1,655,154
---------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 18,875 79,616
Carter Holt Harvey, Ltd. 128,700 158,483
Contact Energy, Ltd. 29,322 103,787
Fisher & Paykel Apppliances
Holdings, Ltd. 14,080 40,461
Fisher & Paykel Healthcare Corp. 6,279 49,973
Fletcher Building, Ltd. 28,054 77,841
Independent Newspapers, Ltd.
(Auckland) 21,417 65,514
Sky City Entertainment Group, Ltd. 28,614 85,272
* Sky Network Television, Ltd. 17,139 57,470
Telecom Corporation of
New Zealand, Ltd. 133,816 465,524
* Tower, Ltd. 25,408 $ 25,402
Warehouse Group, Ltd. 14,200 38,332
---------------
TOTAL COMMON STOCKS
(Cost $887,116) 1,247,675
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $37,056) 37,470
---------------
TOTAL -- NEW ZEALAND
(Cost $924,172) 1,285,145
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (16.1%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $14,225,000 FMC
Discount Notes 1.13%, 08/12/04,
valued at $14,189,438) to be
repurchased at $13,980,382
(Cost $13,979,000) $ 13,979 13,979,000
Repurchase Agreement, Mizuho
Securities USA 1.00%, 06/01/04
(Collateralized by $122,482,000
U.S. Treasury Obligations 2.625%,
05/15/08, valued at $119,112,191)
to be repurchased at $116,789,323
(Cost $116,776,348)^ 116,776 116,776,348
---------------
TOTAL TEMPORARY
CASH INVESTMENTS
(Cost $130,755,348) 130,755,348
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $772,953,663)++ $ 810,199,962
===============
</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 $773,766,551.
See accompanying Notes to Financial Statements.
18
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
INTERNATIONAL SMALL COMPANY PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company ( 28.8%)
(Cost $302,076,516) $ 360,551,570
Investment in The Pacific Rim Small Company Series of The DFA
Investment Trust Company (11.9%)
(Cost $140,211,863) 148,323,646
Investment in The United Kingdom Small Company Series of The DFA
Investment Trust Company ( 19.6%)
(Cost $189,612,216) 244,959,828
Investment in The Continental Small Company Series of The DFA
Investment Trust Company ( 39.6%)
(Cost $353,043,610) 495,445,736
Temporary Cash Investments (0.1%)
Repurchase Agreement, PNC Capital Markets Inc. 0.89%, 06/01/04
(Collateralized by $1,658,000 FHLB Notes 3.375%, 06/15/04,
valued at $1,684,943) to be repurchased at $1,660,164
(Cost $1,660,000) 1,660,000
---------------
Total Investments (100%) (Cost $986,604,205)++ $ 1,250,940,780
===============
</Table>
- ----------
++The cost for federal income tax purposes is $986,982,270.
JAPANESE SMALL COMPANY PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company $ 49,015,090
---------------
Total Investments (100%) (Cost $169,712,581)++ $ 49,015,090
===============
</Table>
- ----------
++The cost for federal income tax purposes is $172,462,169.
- ----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
19
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
PACIFIC RIM SMALL COMPANY PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment in The Pacific Rim Small Company Series of The DFA
Investment Trust Company $ 25,087,107
---------------
Total Investments (100%) (Cost $56,690,208))++ $ 25,087,107
===============
</Table>
- ----------
++The cost for federal income tax purposes is $56,737,710.
UNITED KINGDOM SMALL COMPANY PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment in The United Kingdom Small Company Series of The DFA
Investment Trust Company $ 13,584,500
---------------
Total Investments (100%) (Cost $7,989,926)++ $ 13,584,500
===============
</Table>
- ----------
++The cost for federal income tax purposes is $7,996,750.
CONTINENTAL SMALL COMPANY PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment in The Continental Small Company Series of The DFA
Investment Trust Company $ 26,226,166
---------------
Total Investments (100%) (Cost $16,053,272)++ $ 26,226,166
===============
</Table>
- ----------
++The cost for federal income tax purposes is $16,053,433.
- ----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
20
<Page>
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
JAPAN -- (23.1%)
COMMON STOCKS -- (23.1%)
* A&A Material Corp. 168,000 $ 153,478
ABILIT Corp. 44,400 226,468
# Achilles Corp. 422,000 760,038
ADVANEX, Inc. 38,000 199,657
Agro-Kanesho Co., Ltd. 7,000 40,398
Ahresty Corp. 17,000 137,404
Aichi Bank, Ltd. 30,800 1,941,052
Aichi Corp. 63,200 303,264
*# Aichi Machine Industry Co., Ltd. 271,000 822,207
Aida Engineering, Ltd. 209,000 936,118
Aigan Co., Ltd. 55,700 354,975
Airport Facilities Co., Ltd. 164,000 738,867
* Akai Electric Co., Ltd. 490,000 4,433
Akita Bank, Ltd. 379,000 1,491,407
Allied Material Corp. 67,600 995,575
# Aloka Co., Ltd. 85,000 675,407
Alpha Systems Inc. 16,000 239,957
Altech Co., Ltd. 28,800 132,225
Amada Co., Ltd. 178,079 1,012,948
# Ando Corp. 256,000 497,819
Anest Iwata Corp. 63,000 141,560
Anritsu Corp. 113,000 707,701
Aoi Advertising Promotion, Inc. 11,500 76,046
AOI Electronics Co., Ltd. 10,600 201,084
Aoki International Co., Ltd. 136,200 1,801,765
* Apic Yamada Corp. 20,000 74,257
Arakawa Chemical Industries, Ltd. 47,300 617,058
# Araya Industrial Co., Ltd. 156,000 235,723
* Argo 21 Corp. 34,600 229,421
# Aronkasei Co., Ltd. 89,000 334,686
# Asahi Kogyosha Co., Ltd. 92,000 262,978
Asahi Organic Chemicals Industry
Co., Ltd. 297,000 834,213
*# Asahi Tec Corp. 151,000 243,521
* Asahi Techno Glass Corp. 57,000 396,324
# Asanuma Corp. 254,000 420,809
# Ashimori Industry Co., Ltd. 160,000 318,095
Asia Air Survey Co., Ltd. 26,000 70,622
Asia Securities Printing Co., Ltd. 43,000 383,838
Asics Corp. 384,000 1,049,445
# Atsugi Co., Ltd. 624,000 683,326
Aucnet, Inc. 12,500 180,871
Autobacs Seven Co., Ltd. 80,400 2,270,010
*# Azel Corp., Tokyo 152,000 162,139
Bank of Iwate, Ltd. 50,000 2,214,377
Bank of Okinawa, Ltd. 59,400 1,282,773
Bank of Saga, Ltd. 215,000 786,556
# Best Denki Co., Ltd. 319,000 1,436,626
Bull Dog Sauce Co., Ltd. 12,000 129,220
Bunka Shutter Co., Ltd. 129,000 621,849
Cabin Co., Ltd. 119,000 304,872
Canon Finetech, Inc. 15,280 229,897
Central Finance Co., Ltd. 267,000 956,354
# Chiyoda Co., Ltd. 83,000 1,289,573
Chodai Co. Ltd. 12,000 $ 38,129
Chofu Seisakusho Co., Ltd. 95,200 1,748,518
Chudenko Corp. 179,460 3,088,077
Chuetsu Pulp and Paper Co., Ltd. 349,000 891,184
*# Chugai Mining Co., Ltd. 395,800 285,730
Chugokukogyo Co., Ltd. 22,000 72,492
Chuo Denki Kogyo co., Ltd. 53,000 268,957
Chuo Gyorui Co., Ltd. 114,000 193,798
Chuo Spring Co., Ltd., Nagoya 181,000 688,999
Chuo Woollen Mills, Ltd. 30,000 38,763
Cleanup Corp. 74,000 795,819
CMK Corp. 109,000 1,507,474
Coca Cola Central Japan Co., Ltd. 208 1,473,974
Comsys Holdings Corp. 187,000 1,387,378
# Corona Corp. 45,100 640,414
Credia Co., Ltd. 25,700 376,184
CTI Engineering Co., Ltd. 35,800 199,016
Daibiru Corp. 118,000 719,087
Dai-Dan Co., Ltd. 128,000 596,782
Daido Kogyo Co., Ltd. 42,000 75,730
Daido Steel Co., Ltd. 1,150,000 2,759,310
# Daidoh, Ltd. 91,000 740,479
Daihen Corp. 264,000 553,879
Daiho Corp. 201,000 441,507
Dai-Ichi Jitsugyo Co., Ltd. 70,000 191,737
Dai-Ichi Kogyo Seiyaku Co., Ltd. 65,000 176,826
Daiko Clearing Services Corp. 21,000 114,401
Daiko Denshi Tsushin, Ltd. 14,000 35,600
*# Daikyo, Inc. 468,000 1,041,925
# Daimei Telecom Engineering Corp. 123,000 711,363
Dainichi Co., Ltd. 57,100 252,089
* Daisue Construction Co., Ltd. 12,500 14,241
Daito Seiki Co., Ltd. 8,000 22,469
* Daito Woolen Spinning & Weaving
Co., Ltd., Tokyo 31,000 30,755
# Daiwa Industries, Ltd. 155,000 483,920
Daiwa Kosho Lease Co., Ltd. 359,000 1,750,811
# Daiwabo Co., Ltd. 409,000 500,130
Daiwabo Information System Co., Ltd. 43,000 498,183
# Danto Corp. 79,000 308,894
DC Co., Ltd. 83,000 172,396
# Denki Kogyo Co., Ltd. 135,000 507,465
Denyo Co., Ltd. 80,000 472,927
* Descente, Ltd. 240,000 698,821
* Dia Kensetsu Co., Ltd. 117,000 154,050
# Diamond Computer Service Co., Ltd. 58,200 537,771
* Dijet Industrial Co., Ltd. 53,000 85,937
DMW Corp. 1,600 42,859
* Dynic Corp. 62,000 167,629
* Eco-Tech Construction Co., Ltd. 231,000 2,090
Edion Corp. 169,075 1,824,508
Edosawa Co., Ltd. 6,000 34,050
# Eighteenth Bank, Ltd. 481,000 2,107,709
Eikoh, Inc. 27,000 179,997
Exedy Corp. 63,000 969,290
* First Baking Co., Ltd. 144,000 237,145
</Table>
21
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
# Foster Electric Co., Ltd. 60,000 $ 436,548
# France Bed Holdings Co., Ltd. 159,000 645,926
* Fudo Construction Co., Ltd. 38,200 189,885
* Fuji Electric Construction Co., Ltd. 40,000 58,174
Fuji Kiko Co., Ltd. 57,000 162,483
Fujicco Co., Ltd. 73,000 851,969
Fujikura Rubber, Ltd. 30,000 158,692
*# Fujitsu Access, Ltd. 80,300 449,689
# Fujitsu Business Systems, Ltd. 79,400 1,060,487
Fujitsu Fronttec, Ltd. 37,000 376,439
Fukuda Corp. 134,000 592,711
* Furukawa Co., Ltd. 627,000 650,268
Fuso Dentsu Co., Ltd. 17,000 66,213
# Fuso Lexel Inc. 22,000 175,015
Futaba Industrial Co., Ltd. 101,000 1,562,736
# Gakken Co., Ltd. 317,000 530,401
* Generas Corp. 121,000 1,095
Global-Dining, Inc. 14,100 92,129
# Godo Steel, Ltd. 481,000 1,488,629
* Goldwin, Inc. 145,000 229,934
*# Graphtec Corp. 72,000 115,588
Gro-BeLS Co., Ltd. 177,000 240,774
* GSI Creoss Corp. 32,000 61,865
# Gun-Ei Chemical Industry Co., Ltd. 285,000 807,684
Gunze, Ltd. 80,000 381,694
Haltec Corp. 37,000 58,423
Happinet Corp. 30,400 352,000
# Harima Chemicals, Inc. 65,000 443,206
# Haruyama Trading Co., Ltd. 38,300 465,040
# Heiwado Co., Ltd. 92,000 1,182,572
Hibiya Engineering, Ltd. 120,000 922,414
Himaraya Co., Ltd. 15,000 51,519
# Hisaka Works, Ltd. 88,000 638,477
Hitachi Cable, Ltd. 275,000 1,235,480
Hitachi Kiden Kogyo, Ltd. 39,000 152,187
# Hitachi Koki Co., Ltd. 265,000 1,481,028
Hitachi Kokusai Electric, Inc. 216,000 1,497,475
Hitachi Medical Corp. 85,000 1,082,149
Hitachi Metals Techno, Ltd. 15,000 38,708
# Hitachi Plant Engineering &
Construction Co., Ltd. 351,000 1,354,827
Hitachi Transport System, Ltd. 335,000 2,544,107
* Hitachi Zosen Corp. 441,000 698,138
Hochiki Corp. 38,000 175,210
* Hodogaya Chemical Co., Ltd. 93,000 306,618
# Hokkai Can Co., Ltd., Tokyo 200,000 474,195
* Hokkaido Bank, Ltd. 510,000 865,798
Hokkaido Coca Cola Bottling Co., Ltd. 24,000 143,152
Hokko Chemical Industry Co., Ltd. 64,000 212,161
# Hokuriku Electrical Construction Co.,
Ltd. 64,000 174,791
* Hokushin Co., Ltd. 42,300 64,223
Horiba, Ltd. 8,000 111,943
Horipro, Inc. 37,200 293,231
* Howa Machinery, Ltd. 139,000 152,248
# Ichikawa Co., Ltd. 81,000 243,824
Ichiken Co., Ltd. 69,000 82,948
# Ichikoh Industries, Ltd. 133,000 319,164
Ichiyoshi Securities Co., Ltd. 108,000 770,313
Idec Izumi Corp. 108,000 992,646
# Ihara Chemical Industry Co., Ltd. 137,000 307,715
* Ikegami Tsushinki Co., Ltd. 129,000 $ 251,655
i-Logistics Corp. 101,000 164,368
* Impress Corp. 211 247,750
Inaba Denki Sangyo Co., Ltd. 55,000 1,118,264
Inabata and Co., Ltd., Osaka 155,000 1,103,001
Ines Corp. 50,700 498,799
I-Net Corp. 29,500 108,690
# Inui Steamship Co., Ltd. 32,000 106,118
ISE Chemicals Corp. 67,000 229,901
Iseki & Co., Ltd. 405,000 1,006,064
Ishikawajima Construction Materials
Co., Ltd. 36,000 96,112
Ishikawajima Transport Machinery
Co., Ltd. 61,000 154,877
# Ishizuka Glass Co., Ltd. 90,000 184,614
Itochu Enex Co., Ltd. 289,000 1,466,887
Itoham Foods, Inc. 557,000 2,497,341
# Itoki Crebio Corp. 105,000 277,456
Iwaki & Co., Ltd. 54,000 136,752
Iwasaki Electric Co., Ltd. 88,000 311,605
* Iwatsu Electric Co., Ltd. 50,000 107,622
# Izumiya Co., Ltd. 240,000 1,548,997
# Jac Holdings Co., Ltd. 32,200 129,295
# Jaccs Co., Ltd. 311,000 1,810,354
Jamco Corp. 17,000 67,885
* Janome Sewing Machine Co., Ltd. 209,000 306,560
Japan Airport Terminal Co., Ltd. 174,000 1,561,920
* Japan Bridge Corp. 31,000 30,260
Japan Digital Laboratory Co., Ltd. 73,300 793,914
# Japan Foundation Engineering Co.,
Ltd. 77,300 351,730
Japan Maintenance Co., Ltd. 52,300 417,330
Japan Oil Transportation Co., Ltd. 99,000 220,001
* Japan Radio Co., Ltd. 200,000 860,571
Japan Steel Tower Co., Ltd. 29,000 55,136
Japan Steel Works, Ltd. 594,000 848,963
Japan Storage Battery Co., Ltd. 181,000 406,134
# Japan Transcity Corp. 190,000 471,831
# Japan Vilene Co., Ltd. 162,000 522,135
Japan Wool Textile Co., Ltd. 191,000 949,448
Jeans Mate Corp. 5,590 65,693
*# Jidosha Denki Kogyo Co., Ltd. 81,000 137,762
# JMS Co., Ltd. 108,000 324,822
Joban Kosan Co., Ltd. 105,000 160,576
# J-Oil Mills, Inc. 502,000 1,445,190
Joint Corp. 18,500 319,977
# Joshin Denki Co., Ltd. 167,000 601,361
Jsp Corp. 37,000 395,178
Juel Verite Ohkubo Co., Ltd. 24,000 62,245
*# Jujiya Co., Ltd. 265,000 248,977
Juntendo Co., Ltd. 27,000 54,979
# K.R.S. Corp. 7,000 128,492
Kadokawa Holdings, Inc. 24,000 766,609
# Kagawa Bank, Ltd. 219,000 1,137,203
Kagoshima Bank, Ltd. 559,000 3,133,518
Kahma Co., Ltd. 68,100 830,664
Kameda Seika Co., Ltd. 38,000 264,888
Kamei Corp. 112,000 704,194
Kanaden Corp. 80,000 392,882
Kanamoto Co., Ltd. 87,000 433,073
# Kandenko Co., Ltd. 519,000 2,749,253
</Table>
22
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
# Kanto Natural Gas Development Co.,
Ltd. 152,000 $ 851,674
Kanto Tsukuba Bank, Ltd. 41,200 321,996
Kasai Kogyo Co., Ltd. 118,000 320,705
# Kasei (C.I.) Co., Ltd. 109,000 362,717
Katakura Chikkarin Co., Ltd. 64,000 194,514
Kato Sangyo Co., Ltd. 66,000 864,790
# Kato Works Co., Ltd. 176,000 359,689
Katsumura Construction Co., Ltd. 63,000 65,493
# Kawada Industries, Inc. 157,000 401,350
* Kawai Musical Instruments
Manufacturing Co., Ltd. 104,000 143,962
* Kawasaki Kasei Chemicals, Ltd. 58,000 57,284
# Kawashima Textile Manufacturers,
Ltd. 215,000 274,555
# Kawasho Gecoss Corp. 109,300 433,846
# Kawasumi Laboratories, Inc. 49,000 330,203
Keihin Co., Ltd. 101,000 174,599
Keiiyu Co., Ltd. 26,900 265,322
Keiyo Co., Ltd. 178,400 847,828
Kinki Coca-Cola Bottling Co., Ltd. 187,000 1,628,929
Kinugawa Rubber Industrial Co., Ltd. 59,000 130,436
Kioritz Corp. 207,000 468,739
# Kishu Paper Co., Ltd. 257,000 420,578
Kitagawa Iron Works Co., Ltd. 123,000 209,624
# Kita-Nippon Bank, Ltd. 9,900 464,538
# Kitano Construction Corp. 235,000 431,747
Kitazawa Sangyo Co., Ltd. 44,500 100,212
# Kitz Corp. 238,000 905,739
Koa Corp. 38,100 335,023
Kodensha Co., Ltd. 25,000 70,121
Koekisha Co., Ltd. 1,200 27,286
Koike Sanso Kogyo Co., Ltd. 72,000 128,172
Koito Industries, Ltd. 110,000 462,453
# Kojima Co., Ltd. 116,700 1,383,550
* Kokune Corp. 99,000 896
*# Kokusai Kogyo Co., Ltd. 101,000 316,793
# Komai Tekko, Inc. 109,000 251,373
Komatsu Electronics Metals Co., Ltd. 42,000 519,637
# Komatsu Seiren Co., Ltd. 109,000 429,296
Komatsu Wall Industry Co., Ltd. 21,200 355,105
Komori Corp. 153,000 2,254,437
Konaka Co., Ltd. 58,290 801,149
Konishi Co., Ltd. 60,300 508,265
Kosaido Co., Ltd. 64,200 556,905
Kosei Securities Co., Ltd. 138,000 311,239
# Kumiai Chemical Industry Co., Ltd.,
Tokyo 230,000 553,745
# Kurabo Industries, Ltd. 740,000 1,259,081
# Kuraya Sanseido, Inc. 11,160 166,993
Kurimoto, Ltd. 401,000 800,110
Kuroganeya Co., Ltd. 23,000 90,672
Kurosaki Harima Corp. 245,000 410,148
Kyodo Printing Co., Ltd. 268,000 937,050
Kyoei Sangyo Co., Ltd. 65,000 222,238
Kyokuto Boeki Kaisha, Ltd. 73,000 187,861
Kyokuto Kaihatsu Kogyo Co., Ltd. 84,600 988,733
# Kyosan Electric Manufacturing Co.,
Ltd. 107,000 359,589
Kyowa Exeo Corp. 139,000 912,412
# Kyowa Leather Cloth Co., Ltd. 73,400 451,831
Kyudenko Corp. 249,000 $ 1,148,581
Kyushu-Shinwa Holdings, Inc. 618,000 1,310,083
# Laox Co., Ltd. 73,000 178,372
* Lonseal Corp. 94,000 76,580
* Look, Inc. 87,000 361,253
Maeda Corp. 555,000 2,367,793
Maeda Road Construction Co., Ltd. 300,000 2,078,066
# Maezawa Industries, Inc. 56,700 282,634
# Maezawa Kaisei Industries Co., Ltd. 39,800 640,396
Maezawa Kyuso Industries Co., Ltd. 40,000 390,836
* Magara Construction Co., Ltd. 76,000 75,392
Makino Milling Machine Co., Ltd. 136,000 841,596
Marubeni Construction Material
Lease Co., Ltd. 30,000 50,289
Marubeni Infotec Corp. 14,000 48,906
Marubun Corp. 84,100 638,779
# Marudai Food Co., Ltd. 397,000 736,577
* Maruei Department Store Co., Ltd. 114,000 250,967
# Marusan Securities Co., Ltd. 146,000 869,929
Maruwa Co., Ltd. 33,100 550,591
Maruwn Corp. 76,000 202,406
Maruyama Manufacturing Co., Inc. 98,000 143,490
Maruzen Co., Ltd. - General
Commercial Kitchen Appliances &
Equipment 20,000 115,827
Maruzen Showa Unyu Co., Ltd. 294,000 845,113
# Maspro Denkoh Corp. 61,000 635,049
# Matsui Construction Co., Ltd. 69,000 215,840
*# Matsuo Bridge Co., Ltd. 72,000 176,073
Matsuzakaya Co., Ltd. 268,000 1,167,897
Meidensha Corp. 182,795 375,935
*# Meiji Machine Co., Ltd. 126,000 120,667
# Meiwa Estate Co., Ltd. 78,000 826,068
Meiwa Industry Co., Ltd. 35,000 101,164
Mercian Corp. 384,000 939,368
Mikuni Coca-Cola Bottling Co., Ltd. 99,000 868,319
*# Misawa Homes Holdings, Inc. 120,000 335,732
# Mito Securities Co., Ltd. 158,000 522,373
Mitsuba Corp. 114,000 647,683
*# Mitsubishi Cable Industries, Ltd. 582,000 694,880
Mitsubishi Gas Chemical Co., Inc. 180,000 676,841
# Mitsubishi Paper Mills, Ltd. 669,000 1,006,725
Mitsubishi Pencil Co., Ltd. 45,000 345,823
Mitsubishi Shindoh Co., Ltd. 53,000 115,108
Mitsubishi Steel Manufacturing Co.,
Ltd. 209,000 282,091
Mitsuboshi Belting, Ltd. 111,000 413,000
# Mitsui Home Co., Ltd. 104,000 556,905
*# Mitsui Mining Co., Ltd. 156,000 182,076
# Mitsui Sugar Co., Ltd. 241,000 553,630
Mitsui-Soko Co., Ltd. 294,000 884,421
Mitsumura Printing Co., Ltd. 29,000 198,186
Miyaji Engineering Group 149,175 256,442
# Miyazaki Bank, Ltd. 422,260 1,580,444
Miyuki Keori Co., Ltd. 90,000 303,478
Mizuno Corp. 287,000 1,339,184
* Momiji Holdings, Inc. 156 334,439
Mori Seiki Co., Ltd. 210,000 1,753,928
# Morita Corp. 130,000 501,154
# Morozoff, Ltd., Osaka 91,000 167,995
Mory Industries, Inc. 120,000 304,787
</Table>
23
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Mos Food Services, Inc. 80,000 $ 947,477
# MR Max Corp. 118,800 395,222
Mutow Co., Ltd. 68,000 334,608
Myojo Foods Co., Ltd. 92,000 520,621
Nabtesco Corp. 98,200 507,326
Nagano Bank, Ltd. 144,000 454,082
* Nagano Japan Radio Co., Ltd. 20,000 33,362
Nagase & Co., Ltd. 284,000 2,362,345
*# Naigai Co., Ltd. 207,000 195,049
# Nakabayashi Co., Ltd. 184,000 291,108
* Nakamichi Corp. 96,000 869
Nakamuraya Co., Ltd. 4,000 11,845
* Nakano Corp. 78,500 189,067
# Nakayama Steel Works, Ltd. 351,000 1,119,455
Nakayo Telecommunications, Inc. 46,000 189,229
Nanto Bank, Ltd. 225,000 1,027,792
NEC System Integration &
Construction, Ltd. 93,000 808,827
Neturen Co., Ltd., Tokyo 124,000 644,239
# Nichia Steel Works, Ltd. 120,200 377,412
Nichiban Co., Ltd. 124,000 345,512
# Nichimo Co., Ltd. 94,000 189,541
*# Nichimo Corp. 182,000 180,658
# Nichireki Co., Ltd. 92,000 319,624
Nihon Dempa Kogyo Co., Ltd. 42,600 930,007
Nihon Kagaku Sangyo Co., Ltd. 72,000 314,766
Nihon Kohden Corp. 82,000 948,743
# Nihon Matai Co., Ltd. 92,000 169,941
# Nihon Nohyaku Co., Ltd. 210,000 389,623
Nihon Parkerizing Co., Ltd. 165,000 1,059,878
Nihon Shokuh Kako Co., Ltd. 61,000 129,700
Nihon Tokushu Toryo Co., Ltd. 60,000 347,965
# Nikko Co., Ltd., Akashi 118,000 370,450
Nikko Travel Co., Ltd. 6,300 43,695
* Nippei Toyama Corp. 96,000 190,319
Nippo Corp. 358,000 1,960,119
# Nippon Beet Sugar Manufacturing
Co., Ltd. 459,000 788,899
Nippon Broadcasting System, Inc. 59,600 2,912,966
Nippon Carbon Co., Ltd. 172,000 259,637
Nippon Chemical Industrial Co., Ltd. 104,000 361,284
# Nippon Chemi-Con Corp. 131,000 679,310
Nippon Chutetsukan KK 67,000 124,935
Nippon Concrete Industries Co., Ltd. 135,000 206,832
* Nippon Conlux Co., Ltd. 15,000 94,323
* Nippon Conveyor Co., Ltd. 95,000 90,376
Nippon Densetsu Kogyo Co., Ltd. 196,000 784,445
# Nippon Denwa Shisetu Co., Ltd. 142,000 466,114
Nippon Felt Co., Ltd. 55,000 191,137
# Nippon Fine Chemical Co., Ltd. 68,000 263,849
Nippon Formula Feed Manufacturing
Co., Ltd. 35,000 57,246
Nippon Hume Corp. 73,000 165,062
*# Nippon Kinzoku Co., Ltd. 57,000 95,571
# Nippon Koei Co., Ltd., Tokyo 259,000 569,105
Nippon Konpo Unyu Soko Co., Ltd. 196,000 1,767,374
*# Nippon Koshuha Steel Co., Ltd. 204,000 252,808
Nippon Light Metal Co., Ltd. 175,000 414,245
*# Nippon Metal Industry Co., Ltd. 290,000 409,941
Nippon Pigment Co., Ltd. 35,000 94,647
Nippon Piston Ring Co., Ltd. 151,000 247,815
# Nippon Road Co., Ltd. 292,000 $ 514,762
Nippon Seiki Co., Ltd. 63,000 515,469
Nippon Seisen Co., Ltd. 60,000 235,841
# Nippon Sharyo, Ltd. 316,000 801,596
Nippon Shinpan Co., Ltd. 591,000 2,016,881
Nippon Shinyaku Co., Ltd. 203,000 1,148,141
Nippon Signal Co., Ltd. 69,000 369,877
# Nippon Soda Co., Ltd. 427,000 1,113,149
# Nippon Synthetic Chemical Industry
Co., Ltd. 295,000 632,944
Nippon Tungsten Co., Ltd. 53,000 119,728
Nippon Valqua Industries, Ltd. 153,000 345,752
*# Nippon Yakin Kogyo Co., Ltd. 180,500 564,585
Nishimatsu Construction Co., Ltd. 387,000 1,314,211
Nishishiba Electric Co., Ltd. 38,000 61,971
Nissei Plastic Industrial Co., Ltd. 66,000 440,651
* Nisseki House Industry Co., Ltd. 180,000 1,629
Nisshin Fire & Marine Insurance Co.,
Ltd. 168,000 557,577
Nisshin Steel Co., Ltd. 2,041,000 4,116,363
Nisshinbo Industries, Inc. 227,000 1,504,337
Nissho Electronics Corp. 85,600 671,046
* Nissho Iwai-Nichmen Holdings Corp. 247,200 1,316,581
# Nissin Corp. 159,000 343,034
*# Nissin Electric Co., Ltd. 223,000 792,399
Nissin Sugar Manufacturing Co., Ltd. 180,000 324,837
Nissui Pharmaceutical Co., Ltd. 25,000 146,645
Nittan Co., Ltd. 18,000 49,074
Nittan Valve Co., Ltd. 70,000 277,864
# Nittetsu Mining Co., Ltd. 250,000 911,995
# Nittetsu Steel Sheet Corp. 167,000 370,471
# Nitto Boseki Co., Ltd. 743,000 1,554,268
Nitto Electric Works, Ltd. 8,000 65,852
Nitto Flour Milling Co., Ltd. 86,000 194,761
Nitto Seiko Co., Ltd. 54,000 107,787
Noda Corp. 24,000 145,202
# Nohmi Bosai, Ltd. 86,000 460,402
Nomura Co., Ltd. 70,000 397,537
# Noritz Corp. 73,000 1,136,919
# Obayashi Road Corp. 117,000 216,225
* Ohki Corp. 128,000 1,158
# Oita Bank, Ltd. 433,000 2,113,172
Okabe Co., Ltd. 68,000 218,320
Oki Electric Cable Co., Ltd. 67,000 124,433
*# OKK Corp. 149,000 232,021
* Okuma and Howa Machinery, Ltd. 125,000 217,296
* Okuma Corp. 176,000 630,088
Okumura Corp. 479,000 2,353,419
Okura Industrial Co., Ltd. 164,000 1,021,155
O-M, Ltd. 36,000 55,299
* Omikenshi Co., Ltd. 181,000 159,936
Ono Sokki Co., Ltd. 37,000 262,958
# Oriental Construction Co., Ltd. 83,800 397,036
Origin Electric Co., Ltd. 32,000 162,336
Original Engineering Consultants Co.,
Ltd. 15,500 80,151
Osaka Securities Finance Co., Ltd. 85,000 249,078
# Osaka Steel Co., Ltd. 126,800 1,414,228
Oyo Corp. 96,200 998,929
# P.S. Mitsubishi Construction Co., Ltd. 82,300 332,533
# Pacific Industrial Co., Ltd. 146,000 594,055
</Table>
24
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
PanaHome Corp. 364,000 $ 1,957,627
# Parco Co., Ltd. 121,000 719,186
* Penta-Ocean Construction Co., Ltd. 741,000 1,273,850
Pentax Corp. 58,000 281,781
Piolax, Inc. 38,000 686,703
Pocket Card Co., Ltd. 11,600 124,473
# Pokka Corp. 103,000 395,387
* Press Kogyo Co., Ltd. 113,000 256,881
# Raito Kogyo Co., Ltd. 173,400 760,533
Rengo Co., Ltd. 495,000 2,227,461
* Renown D'urban Holdings, Inc. 83,960 1,129,595
Rheon Automatic Machinery Co., Ltd. 70,000 214,049
# Rhythm Watch Co., Ltd. 208,000 396,023
Ricoh Elemex Corp. 65,000 299,490
Right On Co., Ltd. 23,400 859,273
Rikei Corp. 22,000 52,787
Riken Electric Wire Co., Ltd. 25,000 34,901
# Riken Technos Corp. 198,000 633,686
Riken Vitamin Co., Ltd. 51,000 920,019
Roland Corp. 59,200 959,240
Royal Co., Ltd. 81,000 1,238,909
# Ryoden Trading Co., Ltd. 136,000 793,873
Ryosan Co., Ltd. 103,000 2,163,438
# Ryoyo Electro Corp. 81,100 1,041,904
# S Foods, Inc. 29,000 186,441
# Sagami Co., Ltd. 111,000 389,697
Sakai Heavy Industries, Ltd. 112,000 288,699
* Sakai Ovex Co., Ltd. 88,000 167,311
# Sakata Seed Corp. 134,700 1,694,723
* Sakurada Co., Ltd. 36,000 48,646
Sala Corp. 76,000 330,437
San In Godo Bank, Ltd. 347,000 2,726,587
# San-Ai Oil Co., Ltd. 234,000 832,657
# Sanix, Inc. 79,700 523,438
# Sankei Building Co., Ltd. 146,000 793,632
Sanki Engineering Co., Ltd. 232,000 1,479,570
Sanko Co., Ltd. 19,000 120,696
Sanko Metal Industrial Co., Ltd.,
Tokyo 85,000 179,392
* Sankyo Seiki Manufacturing Co., Ltd. 29,000 270,466
Sankyo Seiko Co., Ltd. 104,000 414,127
Sankyo-Tateyama Holdings, Inc. 130,000 415,200
# Sanoh Industrial Co., Ltd. 110,000 586,775
Sanritsu Corp. 6,000 43,281
# Sanshin Electronics Co., Ltd. 108,000 758,118
*# Sansui Electric Co., Ltd. 297,000 94,359
Sanwa Shutter Corp. 59,000 302,636
Sanyo Denki Co., Ltd. 189,000 714,996
Sanyo Engineering & Construction,
Inc. 31,000 134,874
Sanyo Shinpan Finance Co., Ltd. 19,500 1,069,964
# Sanyo Special Steel Co., Ltd. 501,000 775,705
* Sasebo Heavy Industries Co., Ltd.,
Tokyo 301,000 313,297
*# Sata Construction Co., Ltd., Gumma 106,000 101,700
# Sato Shoji Corp. 49,000 291,442
Satori Electric Co., Ltd. 31,560 447,468
Seika Corp. 75,000 125,466
*# Seikitokyu Kogyo Co., Ltd. 153,000 168,984
# Seiren Co., Ltd. 85,000 559,672
# Sekisui Jushi Co., Ltd. 141,000 746,209
# Sekisui Plastics Co., Ltd. 305,000 $ 850,552
Sekonic Corp. 30,000 61,190
# Senko Co., Ltd. 180,000 647,369
Senshukai Co., Ltd. 88,000 846,104
SFCG Co., Ltd. 17,020 2,985,345
Shaddy Co., Ltd. 20,800 243,434
Shibusawa Warehouse Co., Ltd. 228,000 517,344
Shibuya Kogyo Co., Ltd. 41,000 326,111
Shiga Bank, Ltd. 246,000 1,220,613
* Shikibo, Ltd. 317,000 384,337
# Shikoku Coca-Cola Bottling Co., Ltd. 70,100 760,859
Shimizu Bank, Ltd. 10,300 486,745
Shin Nippon Air Technologies Co.,
Ltd. 63,920 344,101
Shinagawa Refractories Co., Ltd. 126,000 276,954
*# Shindengen Electric Manufacturing
Co., Ltd. 243,000 839,282
# Shinki Co., Ltd. 135,000 789,781
# Shinko Shoji Co., Ltd. 61,000 428,165
Shinmaywa Industries, Ltd. 359,000 1,345,577
Shiraishi Corp. 5,000 8,186
Shizuki Electric Co., Inc. 62,000 160,467
# Sho-Bond Corp. 86,000 502,524
Shobunsha Publications, Inc. 51,900 644,974
Shoei Foods Corp. 42,000 203,854
Showa Aircraft Industry Co., Ltd. 88,000 484,255
# Showa Electric Wire & Cable Co.,
Ltd., Kawasaki 470,000 586,146
# Showa Highpolymer Co., Ltd. 163,000 445,128
Showa Sangyo Co., Ltd. 146,000 333,097
Sinanen Co., Ltd. 90,000 391,165
# Sintokogio, Ltd., Nagoya 169,000 780,495
* Snow Brand Milk Products Co., Ltd. 353,500 1,157,900
Snow Brand Seed Co., Ltd. 48,000 197,573
SNT Corp. 59,000 267,344
Soda Nikka Co., Ltd. 62,000 142,632
Software Research Associates, Inc. 15,500 152,793
*# Sokkisha Co., Ltd. 54,000 147,352
Somar Corp. 25,000 63,312
Sonton Food Industry Co., Ltd. 36,000 316,401
Sotoh Co., Ltd. 26,000 367,445
# Space Co., Ltd. 31,440 288,559
# SRL, Inc. 80,000 855,251
# Starzen Corp. 122,000 234,682
# Subaru Enterprise Co., Ltd. 67,000 204,887
# Suminoe Textile Co., Ltd. 203,000 392,208
# Sumitomo Densetsu Co., Ltd. 90,100 280,472
Sumitomo Osaka Cement Co., Ltd. 845,000 2,043,869
# Sumitomo Pipe & Tube Co., Ltd. 68,000 172,933
Sumitomo Precision Products Co.,
Ltd., Amagasaki City 159,000 475,474
Sumitomo Seika Chemicals Co., Ltd. 10,000 26,540
Sumitomo Special Metals Co., Ltd. 53,000 722,225
# Sumitomo Warehouse Co., Ltd. 366,000 1,387,917
# Sun Wave Corp. 108,000 409,403
# Sun Telephone Co., Ltd. 99,000 604,092
*# Suzutan Co., Ltd. 11,200 107,535
# SXL Corp. 243,000 455,208
Tabai Espec Corp. 32,000 425,699
Tachikawa Corp. 52,500 294,262
Tachi-S Co., Ltd. 72,200 711,230
</Table>
25
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
# Tadano, Ltd. 281,000 $ 1,013,546
Taihei Dengyo Kaisha, Ltd. 128,000 488,821
*# Taihei Kogyo Co., Ltd. 151,000 226,565
*# Taiheiyo Kouhatsu, Inc. 128,000 128,892
Taiho Kogyo Co., Ltd. 74,700 618,910
Taikisha, Ltd. 60,000 823,912
# Taisei Rotec Corp. 237,000 388,166
Taiyo Toyo Sanso Co., Ltd. 164,000 602,577
Takada Kiko Co., Ltd. 56,000 316,279
# Takagi Securities Co., Ltd. 116,000 300,473
Takano Co., Ltd. 13,900 235,116
* Takaoka Electric Manufacturing Co.,
Ltd., Tokyo 117,000 158,923
*# Taka-Q Co., Ltd. 96,000 170,744
# Takara Standard Co., Ltd. 319,000 1,745,227
Takasago Thermal Engineering Co.,
Ltd. 216,000 1,360,204
Takashima & Co., Ltd. 43,000 77,340
Takigami Steel Construction Co., Ltd. 68,000 397,172
Takiron Co., Ltd. 199,000 767,195
Takuma Co., Ltd. 173,000 1,120,056
Tamura Corp. 123,000 679,669
* Tamura Taiko Holdings, Inc. 70,000 248,270
Tasaki Shinju Co., Ltd. 113,000 430,998
Tatsuta Electric Wire & Cable
Co., Ltd. 219,000 376,939
# Tayca Corp. 128,000 411,466
*# Teac Corp. 137,000 222,638
Techno Ryowa, Ltd. 42,300 218,334
# Teikoku Hormone Manufacturing Co.,
Ltd. 59,000 501,728
# Teikoku Tsushin Kogyo Co., Ltd. 63,000 224,375
# Tekken Corp. 338,000 527,558
# Ten Allied Co., Ltd. 47,200 174,432
Tenma Corp. 87,700 1,391,359
Teraoka Seisakusho Co., Ltd. 26,000 262,611
Tetra Co., Ltd., Tokyo 87,000 298,968
# The Nisshin Oillio Group, Ltd. 520,000 1,710,335
Tigers Polymer Corp. 53,000 250,398
*# Titan Kogyo KK 65,000 163,763
# Toa Corp. 598,000 843,829
# Toa Doro Kogyo Co., Ltd. 138,000 275,915
*# Toabo Corp. 134,000 127,395
# Toagosei Co., Ltd. 419,693 903,864
* Tobu Store Co., Ltd. 131,000 282,291
TOC Co., Ltd. 117,000 1,047,965
Tochigi Bank, Ltd. 164,000 918,843
# Tochigi Fuji Industrial Co., Ltd. 109,000 323,592
Toda Corp. 976,000 3,598,638
# Toda Kogyo Corp. 142,000 560,862
# Todentu Corp. 102,000 233,611
# Toenec Corp. 289,000 993,995
Tohcello Co., Ltd. 59,000 168,840
Toho Real Estate Co., Ltd. 147,000 546,121
Toho Zinc Co., Ltd. 186,000 397,984
Tohoku Bank, Ltd. 13,000 25,853
Tohoku Misawa Homes Co., Ltd. 54,000 196,664
Tohoku Pioneer Corp. 43,200 852,962
Tohoku Telecommunications
Construction Co., Ltd. 55,000 322,938
Tohto Suisan Co., Ltd. 100,000 174,535
Tokai Carbon Co., Ltd. 301,000 $ 945,656
* Tokai Kanko Co., Ltd. 141,000 44,643
Tokai Konetsu Kogyo Co., Ltd. 29,000 129,648
* Tokai Lease Co., Ltd. 32,000 48,382
# Tokai Senko KK, Nagoya 118,000 195,912
Tokai Tokyo Securities Co., Ltd. 436,000 1,258,034
Tokico, Ltd. 243,000 861,531
Toko Electric Corp. 45,000 149,228
# Toko, Inc. 192,000 682,319
# Tokushu Paper Manufacturing Co.,
Ltd. 152,000 646,764
Tokyo Biso Kogyo Corp. 46,000 273,306
Tokyo Denpa Co., Ltd. 3,500 53,189
Tokyo Dome Corp. 487,000 1,981,127
# Tokyo Energy & Systems, Inc. 90,000 372,354
*# Tokyo Rope Manufacturing Co., Ltd. 488,000 808,335
Tokyo Sangyo Co., Ltd. 75,500 205,470
Tokyo Soir Co., Ltd. 44,000 125,232
Tokyo Steel Manufacturing Co., Ltd. 46,000 654,238
Tokyo Style Co., Ltd. 30,000 339,300
Tokyo Tatemono Co., Ltd. 76,000 367,252
Tokyo Theatres Co., Inc., Tokyo 11,000 12,534
Tokyotokeiba Co., Ltd. 319,000 510,460
# Tokyu Store Chain Corp. 110,000 555,510
Toli Corp. 144,000 319,427
# Tomoe Corp. 83,000 148,241
# Tomoku Co., Ltd. 213,000 562,685
Tonami Transportation Co., Ltd. 292,000 940,569
Topcon Corp. 126,000 1,419,818
# Topre Corp. 110,000 631,228
Torigoe Co., Ltd. 65,000 287,647
# Torishima Pump Manufacturing Co.,
Ltd., Osaka 82,000 445,528
# Toshiba Plant Kensetsu Co., Ltd. 152,000 726,994
Toshiba TEC Corp. 215,000 935,460
Tosho Printing Co., Ltd. 140,000 437,450
* Totenko Co., Ltd. 50,000 94,133
# Totetsu Kogyo Co., Ltd. 95,000 358,091
* Totoku Electric Co., Ltd., Tokyo 132,000 193,719
*# Towa Real Estate Development Co.,
Ltd. 123,500 323,389
Toyo Bussan Co., Ltd. 43,200 351,928
* Toyo Communication Equipment
Co., Ltd. 77,000 412,521
* Toyo Construction Co., Ltd. 423,000 410,172
Toyo Electric Co., Ltd. 41,000 118,664
Toyo Ink Manufacturing Co., Ltd. 221,000 893,315
* Toyo Kanetsu KK 240,000 357,915
# Toyo Kohan Co., Ltd. 302,000 996,859
Toyo Securities Co., Ltd. 197,000 699,203
# Toyo Wharf & Warehouse Co., Ltd. 159,000 271,974
# Toyoda Machine Works, Ltd. 351,000 2,223,096
Trans Cosmos, Inc. 50,000 1,316,892
Tsubakimoto Kogyo Co., Ltd. 15,000 31,439
# Tsudakoma Corp. 118,000 264,098
* Tsugami Corp. 222,000 503,305
Tsukamoto Co., Ltd. 49,000 73,284
Tsukishima Kikai Co., Ltd. 98,000 634,387
# Tsurumi Manufacturing Co., Ltd. 83,000 445,029
Tsutsunaka Plastic Industry Co., Ltd. 15,958 59,439
Tsuzuki Denki Co., Ltd. 67,000 273,267
</Table>
26
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Tsuzuki Densan Co., Ltd. 29,900 $ 138,277
# TYK Corp. 120,000 310,339
U.Store Co., Ltd. 16,500 143,780
Ube Material Industries, Ltd. 166,000 367,365
Uchida Yoko Co., Ltd. 142,000 525,999
# Ueki Corp. 85,000 140,542
# U-Shin, Ltd. 67,000 364,233
# Wakachiku Construction Co., Ltd. 388,000 544,965
Wakodo Co., Ltd. 200 6,839
Warabeya Nichiyo Co., Ltd. 11,160 137,569
Yachiyo Musen Denki Co., Ltd. 9,000 56,647
Yahagi Construction Co., Ltd. 41,000 140,766
Yamaichi Electronics Co., Ltd. 14,500 142,987
# Yamamura Glass Co., Ltd. 376,000 808,711
Yamanashi Chuo Bank, Ltd. 361,000 1,784,769
Yamatake Corp. 107,000 1,039,600
* Yamatane Corp. 132,000 178,351
# Yamato Corp. 58,000 351,474
Yamato International, Inc. 72,000 422,964
Yamato Kogyo Co., Ltd. 174,000 1,979,119
Yamaura Corp. 12,000 33,067
Yasuda Warehouse Co., Ltd. 76,000 383,979
Ye Data, Inc. 34,000 79,107
Yellow Hat, Ltd., Tokyo 69,200 614,442
# Yodogawa Steel Works, Ltd. 552,000 2,148,030
# Yokogawa Bridge Corp. 114,000 503,607
# Yokohama Reito Co., Ltd. 133,000 865,237
Yondenko Corp. 121,650 505,730
Yonex Co., Ltd. 61,000 463,330
# Yorozu Corp. 54,200 487,597
Yuasa Funashoku Co., Ltd. 129,000 281,866
* Yuken Kogyo Co., Ltd. 55,000 124,257
Yuki Gosei Kogyo Co., Ltd. 45,000 139,211
Yuraku Real Estate Co., Ltd. 90,000 322,407
# Yurtec Corp. 243,000 1,069,143
Yushiro Chemical Industry Co., Ltd. 31,000 425,345
---------------
TOTAL COMMON STOCKS
(Cost $339,613,008) 408,880,525
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen
(Cost $25,756) 26,520
---------------
TOTAL -- JAPAN
(Cost $339,638,764) 408,907,045
---------------
UNITED KINGDOM -- (17.9%)
COMMON STOCKS -- (17.1%)
4imprint P.L.C. 174,170 443,381
600 Group P.L.C. 339,747 392,049
Abbeycrest P.L.C. 114,547 138,780
Aberdeen Asset Management P.L.C. 1,268,571 1,777,176
* Advanced Medical Solutions P.L.C. 1,008,000 171,135
AGA Food Service Group P.L.C. 724,241 3,242,091
* AIM Group P.L.C. 60,493 95,383
* Airflow Streamlines P.L.C. 19,305 20,706
Airsprung Furniture Group P.L.C. 80,900 91,221
Alexandra P.L.C. 164,745 301,502
Alphameric P.L.C. 662,000 983,790
Alumasc Group P.L.C. 150,000 392,729
Amberley Group P.L.C. 71,000 14,307
Amstrad P.L.C. 74,125 $ 248,623
Anglo Eastern Plantations P.L.C. 214,043 599,328
Anglo Pacific Group P.L.C. 332,931 349,645
* Anite Group P.L.C. 656,160 577,551
* API Group P.L.C. 171,000 199,456
* Applied Optical Technologies P.L.C. 270,000 156,201
* ARC International P.L.C. 500,000 190,441
* Arena Leisure P.L.C. 645,000 546,787
* Argonaut Games, Ltd. 493,000 59,410
Armour Group P.L.C. 225,000 288,724
Arriva P.L.C. 112,920 807,271
* Ashtead Group P.L.C. 2,121,000 954,648
Ashtenne Holdings P.L.C. 381,117 2,613,874
* Aston Villa P.L.C. 10,000 51,815
Atkins Ws P.L.C. 25,095 254,476
Austin Reed Group P.L.C. 159,297 423,311
Autologic Holdings P.L.C. 235,912 1,229,830
Avesco P.L.C. 56,789 97,984
Avon Rubber P.L.C. 155,700 586,919
Babcock International Group P.L.C. 458,333 940,623
Baggeridge Brick P.L.C. 222,343 634,949
* Baltimore Technologies P.L.C. 351,800 284,962
Beale P.L.C. 59,000 79,452
Beattie (James) P.L.C. 205,000 458,051
* Bede P.L.C. 283,000 122,575
Bellway P.L.C. 150,000 2,076,333
Benchmark Group P.L.C. 502,600 2,549,917
* Berkeley Technology, Ltd. 222,520 55,929
* Bizspace P.L.C. 34,782 24,977
Black Arrow Group P.L.C. 35,000 44,920
Blacks Leisure Group P.L.C. 5,018 38,567
Body Shop International P.L.C. 180,000 512,201
Bodycote International P.L.C. 1,849,785 4,868,859
Boot (Henry) P.L.C. 118,437 813,674
Brammer (H.) P.L.C. 242,432 590,980
Brewin Dolphin Holdings P.L.C. 272,000 368,849
* Bristol Water Group P.L.C. 44,052 301,659
Britannic P.L.C. 589,990 3,726,752
British Polythene Industries P.L.C. 182,554 975,347
British Vita P.L.C. 515,479 2,434,241
Brown (N) Group P.L.C. 100,000 188,376
BSS Group P.L.C. 83,203 1,081,831
* BTG P.L.C. 239,400 500,709
Burtonwood Brewery P.L.C. 121,870 780,331
Caffyns P.L.C. 15,315 201,447
* Cambridge Antibody Technology
Group P.L.C. 122,700 1,164,533
* Cape P.L.C. 237,482 370,390
Capital & Regional P.L.C. 365,355 3,299,416
* Carbo P.L.C. 34,200 7,976
Carclo P.L.C. 262,773 190,155
Carr's Milling Industries P.L.C. 39,862 243,073
Castings P.L.C. 234,679 795,972
* Cenes Pharmaceuticals P.L.C. 250,000 47,282
Chapelthorpe P.L.C. 995,696 301,378
* Che Group P.L.C. 82,061 65,729
* Chorion P.L.C. 2,920 11,268
Churchill China P.L.C. 40,000 155,996
* City of London Group P.L.C. 34,000 32,415
Clarkson (Horace) P.L.C. 75,061 676,307
Clinton Cards P.L.C. 292,245 442,647
</Table>
27
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* CLS Holdings P.L.C. 473,803 $ 2,723,756
Colefax Group P.L.C. 96,000 176,011
Communisis P.L.C. 803,373 1,516,216
Compel Group P.L.C. 73,000 119,757
* Cookson Group P.L.C. 4,545,789 3,612,294
Coral Products P.L.C. 102,000 83,528
* Corporate Services Group P.L.C. 1,423,456 258,037
Cosalt P.L.C. 20,000 124,066
Countryside Property P.L.C. 469,257 1,880,815
Courts P.L.C. 330,186 1,588,745
Cox Insurance Holdings P.L.C. 381,500 479,293
* Cradley Group Holdings P.L.C. 38,466 10,171
* Creightons P.L.C. 250,000 13,690
Crest Nicholson P.L.C. 545,000 3,361,414
Cropper (James) P.L.C. 29,000 78,336
Daejan Holdings P.L.C. 88,267 3,339,457
* Dana Petroleum P.L.C. 448,349 2,186,587
Dart Group P.L.C. 229,376 522,907
* Dawson International P.L.C. 502,194 96,349
Delta P.L.C. 1,118,769 1,621,179
Derwent Valley Holdings P.L.C. 322,192 4,937,033
Development Securities P.L.C. 152,213 1,033,143
DeVere Group P.L.C. 418,976 3,383,129
Diagonal P.L.C. 553,411 369,603
Dickinson Legg Group P.L.C. 8,648 3,730
* Dimension Data Holdings P.L.C. 2,992,147 1,678,195
Diploma P.L.C. 143,039 1,394,131
* Dowding & Mills P.L.C. 762,770 153,739
DRS Data Research Services P.L.C. 51,000 56,820
DTZ Holdings P.L.C. 113,023 323,234
Dyson Group P.L.C. 150,000 787,080
East Surrey Holdings P.L.C. 146,500 879,287
* Easynet Group P.L.C. 71,000 130,164
Eldridge Pope & Co. P.L.C. 122,000 338,232
Eleco P.L.C. 68,900 38,454
Electronic Data Processing P.L.C. 93,400 106,717
* Elementis P.L.C. 2,485,892 1,631,849
* Emerald Energy P.L.C. 7,409,000 235,495
* Emess P.L.C. 1,522,328 227,389
Ennstone P.L.C. 910,645 617,290
* Enodis P.L.C. 718,000 1,093,154
* Entertainment Rights P.L.C. 1,298,147 226,321
Estates & General P.L.C. 174,309 679,390
Eurocopy P.L.C. 156,700 111,986
* Eurodis Electron P.L.C. 2,531,550 236,878
European Colour P.L.C. 185,000 60,773
European Motor Holdings P.L.C. 271,675 1,004,217
* Evans of Leeds Contingent Units
P.L.C. 238,000 0
Fenner P.L.C. 272,000 513,902
* Ferguson International Holdings P.L.C. 88,836 43,977
Ferraris Group P.L.C. 273,840 524,821
* Fibernet Group P.L.C. 373,041 711,395
* FII Group P.L.C. 104,900 12,982
Filtronic P.L.C. 148,618 820,706
Financial Objects P.L.C. 139,000 102,010
First Technology P.L.C. 150,000 806,988
Fisher (James) & Sons P.L.C. 255,000 1,272,784
FKI P.L.C. 667,689 1,357,391
Fortress Holdings P.L.C. 200,000 96,256
Freeport P.L.C. 199,320 1,263,914
Fuller, Smith & Turner P.L.C. Series A 87,000 $ 1,022,018
Fulmar P.L.C. 107,500 147,709
Future Network P.L.C. 669,770 767,845
Galliford Try P.L.C. 646,740 590,573
Game Group P.L.C. 347,000 386,435
Gaming International P.L.C. 10,000 8,067
* Garton Engineering P.L.C. 6,000 0
* Gaskell P.L.C. 40,000 11,018
GB Group P.L.C. 482,497 172,242
* Georgica P.L.C. 124,719 177,349
* Gladstone P.L.C. 158,000 45,002
Gleeson (M.J.) Group P.L.C. 56,054 1,148,727
Goodwin P.L.C. 5,000 22,420
Gowrings P.L.C. 15,000 16,914
Great Portland Estates P.L.C. 796,976 3,836,539
Greene King P.L.C. 161,379 2,694,788
* Greenwich Resources P.L.C. 312,000 11,441
Guiness Peat Group P.L.C. 1,596 1,949
* Gyrus Group P.L.C. 506,000 1,859,037
Halstead (James) Group P.L.C. 79,267 643,796
* Hampson Industries P.L.C. 481,250 179,013
* Hampton Trust P.L.C. 200,491 6,892
Hardys & Hansons P.L.C. 108,180 998,133
* Hartstone Group P.L.C. 1,022,431 35,726
* Harvey Nash Group P.L.C. 100,000 125,433
* Hawtin P.L.C. 150,000 24,752
Haynes Publishing Group P.L.C. 23,932 146,265
Headway P.L.C. 86,387 159,788
Helical Bar P.L.C. 150,108 2,292,212
Henlys Group P.L.C. 470,919 137,894
Hercules Property Services P.L.C. 116,303 604,612
Heywood Williams Group P.L.C. 475,570 677,784
Highbury House Communications
P.L.C. 1,811,691 663,526
Highway Insurance Holdings P.L.C. 1,020,305 619,355
Hill & Smith Holdings P.L.C. 74,890 135,922
Hitachi Capital (UK) P.L.C. 86,500 318,331
Homestyle Group P.L.C. 406,032 654,679
House of Fraser P.L.C. 1,396,407 2,968,122
Hunting P.L.C. 698,211 1,864,891
* IAF Group P.L.C. 66,500 14,021
IFX Group P.L.C. 138,089 246,866
Incepta Group P.L.C. 1,147,139 1,756,868
Infast Group P.L.C. 692,912 283,134
* Intec Telecom Systems P.L.C. 409,000 476,303
Intelek P.L.C. 555,250 109,096
Intserve P.L.C. 145,032 673,472
* Inveresk P.L.C. 186,750 48,068
* IQE P.L.C. 200,500 39,627
Jarvis P.L.C. 820,348 1,237,634
* Jarvis Porter Group P.L.C. 101,000 37,499
JKX Oil and Gas P.L.C. 757,000 1,112,063
John David Group P.L.C. 28,571 110,533
Johnson Service Group P.L.C. 37,000 264,619
Johnston Group P.L.C. 38,635 208,964
* Kalamazoo Computer Group P.L.C. 12,200 391
KBC Advanced Technologies P.L.C. 243,000 130,662
* Kewill Systems P.L.C. 60,000 65,748
* Kingston Communications P.L.C. 2,659,941 3,007,083
* Knowledge Support Systems Group
P.L.C. 136,000 1,995
</Table>
28
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Laing (John) P.L.C. 226,209 $ 886,895
Laird Group P.L.C. 216,800 1,141,247
Lambert Howarth Group P.L.C. 46,073 247,365
* Lamont Holdings P.L.C. 100,000 1,146
* Laura Ashley Holdings P.L.C. 375,000 94,683
Lavendon Group P.L.C. 224,238 536,437
* Leeds Group P.L.C. 241,639 92,745
Linton Park P.L.C. 30,500 229,551
Litho Supplies P.L.C. 107,000 93,209
London Bridge Software Holdings
P.L.C. 865,000 1,506,515
London Industrial P.L.C. 76,835 2,265,838
London Merchant Securities P.L.C. 938,536 2,980,154
Lookers P.L.C. 168,983 911,387
Low & Bonar P.L.C. 602,812 1,189,608
Luminar P.L.C. 395,584 3,195,145
Lupus Capital P.L.C. 1,125,000 330,642
Macfarlane Group P.L.C. 697,015 320,071
Macro 4 P.L.C. 44,820 138,967
Mallett P.L.C. 60,000 292,618
Management Consulting Group P.L.C. 1,273,000 755,143
Manganese Bronze Holdings P.L.C. 38,000 163,878
Marlborough Stirling P.L.C. 404,000 448,945
* Martin International Holdings P.L.C. 484,589 209,390
* Marylebone Warwick Balfour Group
P.L.C. 555,176 548,642
Mayborn Group P.L.C. 50,000 235,728
Mayflower Corp. P.L.C. 1,809,000 223,878
McAlpine (Alfred) P.L.C. 620,913 3,152,702
McKay Securities P.L.C. 178,773 696,209
* Medical Solutions P.L.C. 61,000 47,853
* Medisys P.L.C. 700,000 125,978
Mentmore P.L.C. 984,475 2,043,175
Merrydown P.L.C. 94,172 160,462
Mersey Docks & Harbour Co. P.L.C. 217,064 2,746,769
Metalrax Group P.L.C. 200,000 304,869
Mice Group P.L.C. 349,205 447,715
* Microgen P.L.C. 526,813 571,053
* Mid-States P.L.C. 50,000 12,376
Minerva P.L.C. 1,130,491 4,975,501
Molins P.L.C. 101,360 301,909
Montpellier Group P.L.C. 14,000 5,441
* Morgan Crucible Company P.L.C. 1,758,048 3,870,324
Moss Brothers Group P.L.C. 450,000 605,889
* Mothercare P.L.C. 118,326 736,560
Mowlem (John) & Co. P.L.C. 311,131 1,075,735
MS International P.L.C. 49,000 30,182
MSB International P.L.C. 125,552 166,083
Mucklow (A & J) Group P.L.C. 292,756 1,545,730
* My Travel Group P.L.C. 3,336,000 534,406
Nestor Healthcare Group P.L.C. 97,090 238,694
* Nettec P.L.C. 220,000 30,829
* New Avesco P.L.C. 56,789 57,266
NHP P.L.C. 1,233,028 4,474,141
Nichols P.L.C. 48,000 108,049
* Noble Investments (UK) P.L.C. 300 206
Northamber P.L.C. 48,000 66,444
* NSB Retail P.L.C. 1,895,000 912,399
* NXT P.L.C. 48,000 86,887
Owen (H.R.) P.L.C. 79,333 299,110
Oxford Instruments P.L.C. 269,240 1,160,780
* Pace Micro Technology P.L.C. 616,176 $ 576,693
Panther Securities P.L.C. 45,000 180,274
* Parity Group P.L.C. 420,000 77,137
Partridge Fine Arts P.L.C. 33,000 37,815
Pendragon P.L.C. 237,500 1,345,357
Penna Consulting P.L.C. 89,000 225,762
Peterhouse Group P.L.C. 236,968 845,588
* Pharmagene P.L.C. 240,794 210,741
* Photo-Me International P.L.C. 414,000 715,612
* Pilkingtons Tiles Group P.L.C. 170,000 9,293
Pillar Property P.L.C. 437,483 4,490,104
Pittards P.L.C. 39,000 33,975
* Plantation & General P.L.C. 64,601 21,320
* Plasmon P.L.C. 59,000 201,906
Portmeirion Group P.L.C. 56,335 173,006
Porvair P.L.C. 223,026 445,708
* PPL Therapeutics P.L.C. 58,764 4,848
* Premier Oil P.L.C. 396,934 3,861,024
* Pressac P.L.C. 429,000 102,038
Primary Health Properties P.L.C. 91,537 369,597
* Probus Estates P.L.C. 416,666 6,799
* Provalis P.L.C. 1,722,446 193,438
* Psion P.L.C. 1,208,216 1,256,690
PZ Cuzzons P.L.C. 40,000 799,075
* QA P.L.C. 80,000 6,033
* Quays Group P.L.C. 71,000 7,811
* Queens Moat Houses P.L.C. 559,000 87,116
Quintain Estates & Development
P.L.C. 458,696 3,344,809
RAC P.L.C. 215,033 2,613,797
Radamec Group P.L.C. 71,000 50,039
Ransom (William) & Son P.L.C. 115,000 106,053
Raven Mount P.L.C. 125,337 219,458
* Redbus Imterhouse P.L.C. 1,110,980 150,159
* Redstone P.L.C. 2,171,000 338,624
Reg Vardy P.L.C. 101,000 982,869
Regent Inns P.L.C. 680,562 484,852
Renold P.L.C. 420,036 578,273
Rowe Evans Investments P.L.C. 95,900 254,893
Roxboro Group P.L.C. 60,000 317,703
* Royal Doulton P.L.C. 588,000 87,674
RPC Group P.L.C. 267,240 834,012
Rugby Estates P.L.C. 53,000 255,243
Rutland Trust P.L.C. 182,210 120,266
S & U P.L.C. 7,000 65,795
* Safeland P.L.C. 100,000 96,256
Sanctuary Group P.L.C. 2,011,000 1,770,778
Savills P.L.C. 90,000 732,491
* Scapa Group P.L.C. 712,583 368,065
* SDL P.L.C. 166,480 355,931
Senior P.L.C. 1,999,000 1,332,251
* SFI Group P.L.C. 79,000 44,901
Shaftesbury P.L.C. 696,939 3,296,279
* Sherwood Group P.L.C. 424,000 82,805
Shiloh P.L.C. 25,000 59,159
* ShopRite Group P.L.C. 196,000 44,920
* Simon Group P.L.C. 962,861 841,472
Sinclair (William) Holdings P.L.C. 81,940 113,995
Singer & Friedlander Group P.L.C. 956,134 4,120,656
Sirdar P.L.C. 280,105 174,351
Smart (J.) & Co. (Contractors) P.L.C. 8,000 72,605
</Table>
29
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Smith (David S.) Holdings P.L.C. 1,050,468 $ 3,004,832
Smith (James) Estates P.L.C. 95,000 609,622
* Soco International P.L.C. 5,000 31,184
Somerfield P.L.C. 1,553,301 4,082,790
Speedy Hire P.L.C. 15,000 111,293
* Spirent P.L.C. 2,120,832 2,506,974
Spring Group P.L.C. 200,000 410,639
St. Ives P.L.C. 4,688 30,938
St. Modwen Properties P.L.C. 214,000 1,124,861
Staffware P.L.C. 10,000 144,231
Stanley (Charles) Group P.L.C. 150,000 572,036
Stanley Leisure Organisation P.L.C. 492,548 4,235,628
* Sterling Publishing Group P.L.C. 300,000 49,664
Stylo P.L.C. 5,293 4,802
Swallowfield P.L.C. 60,849 86,073
* Tadpole Technology P.L.C. 296,000 86,507
* Tandem Group P.L.C. 472,000 0
Taylor Woodrow P.L.C. 74,632 347,104
TBI P.L.C. 3,032,926 3,604,265
Telemetrix P.L.C. 143,000 343,779
* Telspec P.L.C. 205,000 56,568
* Terence Chapman Group P.L.C. 62,500 363
Tex Holdings P.L.C. 11,000 31,912
The Big Food Group P.L.C. 1,914,972 3,517,570
The Cardiff Property P.L.C. 4,000 48,220
* The Innovation Group P.L.C. 889,000 510,439
The Malcolm Group P.L.C. 353,096 534,266
* The Television Corp. P.L.C. 202,247 308,523
Thorpe (F.W.) P.L.C. 15,000 62,468
* Thus Group P.L.C. 8,172,594 3,900,443
Tinsley (Eliza) Group P.L.C. 145,967 65,451
* Titon Holdings P.L.C. 36,110 69,462
Tops Estates P.L.C. 207,035 1,113,962
* Torotrak P.L.C. 167,000 185,294
* Tottenham Hotspur P.L.C. 146,000 73,923
Town Centre Securities (New) P.L.C. 322,567 1,412,209
Trace Computers P.L.C. 33,014 46,339
* Trafficmaster P.L.C. 300,000 431,807
Transport Development Group P.L.C. 431,123 1,621,546
Treatt P.L.C. 15,000 58,441
TT Group P.L.C. 952,927 2,531,111
U.K. Coal P.L.C. 884,178 2,473,957
UCM Group P.L.C. 166,000 239,955
Umeco P.L.C. 96,782 643,925
Uniq P.L.C. 620,787 1,974,561
Unite Group P.L.C. 656,328 2,100,773
Universal Salvage P.L.C. 135,633 156,302
Urbium P.L.C. 1,752 17,549
* Vega Group P.L.C. 14,000 41,752
* Vernalis P.L.C. 132,072 123,369
Victoria P.L.C. 33,632 231,640
Vislink P.L.C. 195,374 97,788
* Volex Group P.L.C. 178,939 418,060
VP P.L.C. 249,107 554,398
* Vtr P.L.C. 13,000 19,117
Wagon P.L.C. 318,949 944,852
* Walker Greenbank P.L.C. 297,910 76,468
Warner Estate Holdings P.L.C. 274,392 2,388,226
* Waterdorm P.L.C. 70,000 0
Waterman P.L.C. 136,263 187,440
Wembley P.L.C. 171,000 2,685,487
Westbury P.L.C. 592,424 $ 4,652,914
Whatman P.L.C. 250,000 955,878
Whitehead Mann Group P.L.C. 22,000 109,163
* Willliam Jacks P.L.C. 10,000 14,986
Wilmington Group P.L.C. 422,000 830,665
Wilshaw P.L.C. 28,000 5,775
Wintrust P.L.C. 24,000 260,048
Wolverhampton & Dudley Breweries
P.L.C. 229,171 3,451,386
Woolworths Group P.L.C. 2,273,785 1,846,405
WSP Group P.L.C. 366,454 1,329,526
Wyevale Garden Centres P.L.C. 301,606 1,997,063
Wyndeham Press Group P.L.C. 254,897 497,771
* XAAR P.L.C. 150,000 230,242
XANSA P.L.C. 759,231 1,175,010
* Xenova Group P.L.C. 1,853,484 296,176
Yates Group P.L.C. 372,883 683,917
* Yorkshire Group P.L.C. 117,096 12,345
Young & Co's Brewery P.L.C. Class A 5,000 104,038
Zotefoams P.L.C. 156,924 201,836
---------------
TOTAL COMMON STOCKS
(Cost $234,284,188) 303,046,653
---------------
INVESTMENT IN CURRENCY -- (0.8%)
* British Pound Sterling
(Cost $13,848,130) 13,897,716
---------------
RIGHTS/WARRANTS -- (0.0%)
* Letter of Entitlements - Audemars
Piguet 81,758 0
* Xenova Group P.L.C. Contingent
Rights 08/14/11 123,000 0
* Xenova Group P.L.C. Warrants
12/31/08 125,718 7,779
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 7,779
---------------
TOTAL -- UNITED KINGDOM
(Cost $248,132,318) 316,952,148
---------------
AUSTRALIA -- (4.6%)
COMMON STOCKS -- (4.3%)
A.P. Eagers, Ltd. 28,169 136,889
* Adacel Technologies, Ltd. 123,126 48,172
Adelaide Brighton, Ltd. 914,119 876,703
# Adsteam Marine, Ltd. 1,107,803 1,169,815
Alesco Corp., Ltd. 67,294 300,555
Altium, Ltd. 279,609 77,989
Amalgamated Holdings, Ltd. 299,595 683,814
* Amcom Telecommunications, Ltd. 1,845,098 191,447
* Amrad Corp., Ltd. 588,574 348,220
Ansell, Ltd. 318,229 1,792,002
APN News & Media, Ltd. 226,552 660,793
Ariadne Australia, Ltd. 360,000 74,531
* Atlas Pacific, Ltd. 113,450 16,191
* AuIron Energy, Ltd. 905,693 50,483
Ausdrill, Ltd. 289,120 123,562
Auspine, Ltd. 230,627 552,706
* Austal, Ltd. 654,587 518,990
* Austar United Communications, Ltd. 1,264,310 631,799
Austereo Group, Ltd. 1,305,270 1,266,468
</Table>
30
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Austral Coal, Ltd. 799,323 $ 318,659
# Australand Property Group 1,413,878 1,643,955
Australian Agricultural Co., Ltd. 918,125 785,426
*# Australian Magnesium Corp., Ltd. 97,349 1,730
Australian Pharmaceutical Industries,
Ltd. 466,516 831,756
* Australian Worldwide Exploration, Ltd. 116,990 137,654
* Auto Group, Ltd. 64,351 26,110
Avatar Industries, Ltd. 50,740 18,851
AWB, Ltd. 318,482 1,113,312
* BayCorp Advantage, Ltd. 976,911 1,894,033
Beach Petroleum NL 1,618,092 322,995
* Biota Holdings, Ltd. 136,051 56,356
Boral, Ltd. 23,312 97,488
Brickworks, Ltd. 139,350 852,601
Bridgestone Australia, Ltd. 51,126 98,439
* Burns, Philp & Co., Ltd. 748,991 336,541
# Burswood, Ltd. 1,142,426 1,198,180
Caltex Australia, Ltd. 402,300 2,479,554
Candle Australia, Ltd. 189,781 213,844
# Capral Aluminium, Ltd. 290,640 497,580
Cellnet Telecommunications Group,
Ltd. 263,372 268,105
# Central Equity, Ltd. 352,184 514,360
* Chiquita Brands South Pacific, Ltd. 495,750 226,383
* Circadian Technologies, Ltd. 38,781 58,726
* Clough, Ltd. 1,995,977 655,489
Coates Hire, Ltd. 270,627 644,339
Commander Communications, Ltd. 496,380 543,545
* Coplex Resources NL 351,512 22,575
Coventry Group, Ltd. 92,877 374,534
* CPI, Ltd. 64,577 30,364
# Crane Group, Ltd. 202,116 1,212,168
Croesus Mining NL 1,767,162 624,721
* Cumnock Coal, Ltd. 40,710 11,620
# Devine, Ltd. 495,010 222,505
* Dominion Mining, Ltd. 116,119 39,813
Downer Group, Ltd. 960,394 2,154,365
* Emporer Mines, Ltd. 135,024 72,319
* Energy Developments, Ltd. 475,677 872,554
Energy Resources of Australia, Ltd.
Series A 200,366 479,829
* Energy World Corp., Ltd. 393,461 5,622
Evans & Tate, Ltd. 16,184 12,702
# FKP, Ltd. 214,694 411,251
Fleetwood Corp., Ltd. 36,626 194,643
* Forest Enterprises Australia, Ltd. 1,368,992 356,970
Futuris Corp., Ltd. 1,925,126 2,129,332
Gazal Corp., Ltd. 89,069 160,563
* Globe International, Ltd. 1,772,169 531,492
Gowing Bros., Ltd. 83,400 140,415
* Gowing Retail, Ltd. 5,323 1,140
* Gradipore, Ltd. 36,474 20,347
* Graincorp, Ltd. Series A 13,002 114,003
* Grand Hotel Group 917,441 450,852
GRD NL 130,884 161,553
# Great Southern Plantations, Ltd. 367,373 648,533
Green's Foods, Ltd. 101,626 70,340
GUD Holdings, Ltd. 96,340 566,997
* Gympie Gold, Ltd. 266,614 106,543
* Haoma Mining NL 440,554 75,376
Healthscope, Ltd. 141,113 $ 374,394
* Henry Walker Eltin Group, Ltd. 420,135 300,151
HGL, Ltd. 170,497 233,530
Housewares International, Ltd. 986 1,611
* Hudson Investment Group, Ltd. 297,500 9,129
* Hutchison Telecommunications
(Australia), Ltd. 2,825,445 554,220
Iluka Resources, Ltd. 870,044 2,467,107
* Imdex, Ltd. 202,532 18,852
* Intercard Wireless, Ltd. 62,379 2,003
* Intermoco, Ltd. 558,800 11,944
* International All Sports, Ltd. 37,973 14,436
Investor Group, Ltd. 41,732 83,391
ION, Ltd. 527,584 561,037
IWL, Ltd. 265,000 60,562
* JDV, Ltd. 40,681 17,429
# Jones (David), Ltd. 805,650 919,545
K&S Corp., Ltd. 85,482 156,667
Kaz Group, Ltd. 1,898,863 528,050
* Keycorp, Ltd. 124,013 121,153
Lemarne Corp., Ltd. 38,606 66,158
* Leyshon Resources, Ltd. 123,978 33,781
Lighting Corp., Ltd. 154,714 82,805
# MacArthur Coal, Ltd. 634,488 664,219
* MacMahon Holdings, Ltd. 305,720 60,111
* Macquarie Corporate
Telecommunications, Ltd. 303,300 49,595
Magellan Petroleum Australia, Ltd. 29,537 24,970
MaxiTRANS Industries, Ltd. 178,401 89,213
McPherson's, Ltd. 37,358 117,133
# Mia Group, Ltd. 2,647,031 1,602,828
Miller's Retail, Ltd. 1,299,816 1,316,220
* Minara Resources, Ltd. 460,025 826,668
* Mineral Deposits, Ltd. 40,472 7,028
Namoi Cotton Cooperative, Ltd. 142,585 42,774
National Can Industries, Ltd. 18,850 19,438
* Novus Petroleum, Ltd. 421,511 593,033
Nufarm, Ltd. 220,300 934,865
Onesteel, Ltd. 1,052,780 1,688,217
* Orbital Engine Corp., Ltd. 165,000 17,056
Pacific Group, Ltd. 61,800 180,545
* Payce Consolidated, Ltd. 74,466 133,378
* Perilya Mines NL 219,076 137,140
* Petsec Energy, Ltd. 153,726 126,918
* Plantcorp NL 14,403 0
Plaspak Group, Ltd. 108,747 72,862
* PMP, Ltd. 666,000 764,598
Port Bouvard, Ltd. 94,055 83,929
Portman, Ltd. 319,770 383,234
* PowerTel, Ltd. Series B 47,395 35,796
* Pracom, Ltd. 122,300 1,752
Prime Television, Ltd. 316,263 586,635
* Primelife Corp., Ltd. 142,200 185,368
Queensland Cotton Holdings, Ltd. 98,780 252,279
* Reinsurance Australia Corp., Ltd. 764,440 295,047
* Resolute Mining, Ltd. 89,083 79,978
RG Capital Radio, Ltd. 64,205 131,142
Ridley Corp., Ltd. 1,038,850 949,977
*# Roc Oil Co., Ltd. 402,808 441,744
* Senetas Corp., Ltd. 206,798 9,167
# Servcorp, Ltd. 28,622 40,849
</Table>
31
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Seven Network, Ltd. 390,809 $ 1,421,463
Sigma Co., Ltd. 152,700 827,839
* Silex System, Ltd. 197,100 112,588
# Smorgon Steel Group, Ltd. 3,029,494 2,311,668
* SMS Management & Technology, Ltd. 719,309 148,779
* Solution 6 Holdings, Ltd. 582,663 370,142
*# Sons of Gwalia, Ltd. 816,853 1,569,316
# Southern Cross Broadcasting
(Australia), Ltd. 225,682 1,737,227
* Southern Pacific Petroleum NL 424,400 72,684
# SPC Ardmona, Ltd. 964,317 921,852
* St. Barbara Mines, Ltd. 329,338 11,290
* Straits Resources, Ltd. 89,994 63,098
* Strathfield Group, Ltd. 165,666 17,133
* Tap Oil, Ltd. 748,767 779,398
* Television & Media Services, Ltd. 240,000 5,135
Ten Network Holdings, Ltd. 656,900 1,345,300
Thakral Holdings Group 2,665,438 1,235,994
The Gribbles Group, Ltd. 1,035,133 225,087
Ticor, Ltd. 563,645 503,671
# Timbercorp, Ltd. 1,048,247 1,016,070
* Titan Resources NL 189,121 41,780
Trust Company of Australia, Ltd. 22,214 118,898
* Uecomm, Ltd. 1,746,107 491,252
United Group, Ltd. 91,667 323,418
Villa World, Ltd. 231,802 210,689
*# Village Roadshow, Ltd. 1,216,717 1,607,045
Vision Systems, Ltd. 721,934 442,986
Wattyl, Ltd. 238,549 646,694
Wide Bay Capricorn Building Society,
Ltd. 29,461 139,672
* Xanadu Wines, Ltd. 100,350 6,797
* Xanadu Wines, Ltd. Issue 04 50,175 3,399
* Yates, Ltd. 144,138 4,529
---------------
TOTAL COMMON STOCKS
(Cost $61,299,062) 75,929,735
---------------
INVESTMENT IN CURRENCY -- (0.3%)
* Australian Dollar
(Cost $4,615,508) 4,617,110
---------------
PREFERRED STOCKS -- (0.0%)
* Southern Cross Broadcasting
(Australia), Ltd. 7,118 60,953
*# Village Roadshow, Ltd. 2% Class A 398,305 386,238
---------------
TOTAL PREFERRED STOCKS
(Cost $341,532) 447,191
---------------
RIGHTS/WARRANTS -- (0.0%)
* Gradipore, Ltd. Options 09/01/04
(Cost $0) 7,294 1,666
---------------
TOTAL -- AUSTRALIA
(Cost $66,256,102) 80,995,702
---------------
FRANCE -- (4.5%)
COMMON STOCKS -- (4.5%)
* Actielec Technologies 14,719 60,297
Affine 9,997 793,627
Alain Manoukian SA 9,565 289,164
* Alstom SA 385,173 442,733
* Altran Technologies SA 87,754 944,736
Ares (Groupe) SA 37,590 $ 206,534
* Aubay SA 40,546 180,388
Bacou-Dalloz 35,939 2,833,099
Bains de Mer et du Cercle des
Etrangers a Monaco 6,329 1,946,633
* Bigben Interactive 13,755 69,225
# Bongrain SA 44,683 3,005,657
*# Bull SA 369,100 401,096
Burelle SA 10,986 1,152,699
* Cap Gemini SA 22,766 873,193
Carbone Lorraine 37,158 1,390,099
CEGID SA 4,108 111,976
CFF Recycling 9,710 1,108,463
* CGBI 7,000 2,646
* Cie Financiere Pour La Location
D'Immeubles Industriels &
Commerciaux Sa 48,652 2,555,214
*# Club Mediterranee SA 74,800 3,168,758
* Compagnie Internationale Andre
Trigano Ciat SA 2,100 48,857
* Conflandey SA 1,939 21,467
Consortium International de Diffusion
et de Representation Sante 1,300 18,119
Crometal SA 6,841 341,883
* CS Communication et Systemes 13,500 368,438
Delachaux SA 9,672 1,116,192
* Desquenne et Giral SA 4,761 63,853
Deveaux SA 5,487 599,060
Didot-Bottin 1,204 158,495
Dynaction SA 14,102 281,628
Elior 58,756 504,420
Etam Developpement SA 34,200 1,389,342
* Euraltech SA 55,173 105,781
*# Euro Disney SCA 5,082,010 2,294,893
* Evialis SA 10,703 388,713
Explosifs et de Produits Chimiques 312 82,669
* Faros SA 14,221 53,851
Faurecia SA 14,175 918,622
Fimalac SA 108,252 4,231,460
France-Africaine de Recherches
Petrolieres (Francarep) 2,004 254,443
* Gantois Series A 465 26,627
* Gascogne SA 10,334 904,492
Gaumont 7,292 488,739
*# Generale de Geophysique SA 51,591 2,552,593
* Geodis SA 4,900 374,968
Gespac System 6,736 114,337
Gevelot 4,129 233,541
GFI Informatique SA 163,600 1,206,005
* Groupe Bourbon SA 1,636 192,545
* Groupe Flo SA 52,020 275,952
* Groupe Focal SA 5,149 54,501
Groupe Guillin SA 480 38,120
Guerbet SA 3,700 246,709
Hbs Technologie SA 405 7,917
IDSUD 2,000 61,419
* Immobiliere et Hoteliere SA 27,700 90,977
IMS International Metal Service SA 78,028 618,954
* Ingenico SA 20,000 274,096
Laurent-Perrier 12,945 450,405
Lisi SA 38,378 1,803,542
</Table>
32
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*# LVL Medical Groupe SA 27,900 $ 103,270
* Maire (Henri) 1,252 10,740
Marionnaud Parfumeries Retails
Perfumes 71,986 2,544,945
* Matussiere et Forest SA 15,720 55,670
* Metaleurop SA 62,320 41,095
MGI Coutier SA 9,404 328,088
* Montupet SA 43,760 802,702
* Nexans 70,700 2,321,869
Nord Est SA 31,078 1,558,036
* Oeneo 61,605 271,066
* Otor SA 51,035 236,660
* Penauille Polyservices SA 80,808 826,241
*# Pinguely-Haulotte SA 153,419 1,129,006
Plastic Omnium SA 39,304 1,933,476
Plastivaloire SA 11,615 303,108
Prosodie SA 22,600 642,945
PSB Industries SA 2,613 343,046
* Radiall SA 9,811 778,578
Robertet SA 1,300 146,129
Rougier SA 2,715 203,884
* S.T. Dupont SA 26,155 126,168
SA Fromageries Bel la Vache Qui Rit 3,875 600,602
Sabeton 18,460 270,574
Saint-Etienne 600 19,253
* Sasa Industries SA 8,994 236,201
* Saveurs de France-Brossard 5,500 135,417
*# Scor SA 649,100 951,114
* SDR de Bretagne SA 9,506 301,606
Sechilienne-Sidec 1,000 177,199
Securidev SA 16,908 223,781
Selectibail 118,890 3,641,032
Setforge 600 20,963
Signaux Girod SA 5,407 267,552
SILIC (Societe Immobiliere de
Location pour L'industrie et le
Commerce) 13,932 941,688
Skis Rossignol SA 7,216 119,021
Smoby SA 3,835 342,248
* Societe Francais des Papiers Peints 140 1,670
Societe Industrielle D'Aviations
Latecoere SA 20,648 679,702
Sucriere de Pithiviers-le-Vieil 2,147 1,510,063
* Sylis SA 40,585 284,336
Taittinger SA 1,086 231,998
*# Teamlog SA 36,092 116,654
Tivoly SA 1,904 33,627
*# Ubi Soft Entertainment SA 73,685 1,928,593
# Vallourec (Usines a Tubes de Lorraine
Escaut et Vallourec Reunies) 43,572 3,801,599
*# Valtech, La Defense 251,100 273,279
Vilmorin et Cie SA 14,322 2,203,419
VM Materiaux SA 1,636 210,192
Vranken Monopole 20,625 817,292
* Xilam Animation 12,911 39,352
* XRT 72,800 58,660
---------------
TOTAL COMMON STOCKS
(Cost $57,144,367) 79,940,271
---------------
RIGHTS/WARRANTS -- (0.0%)
* Groupe Ares SA Warrants 10/03/05 29,000 $ 8,145
* Oeneo Warrants 08/26/06 28,305 12,802
* Prosodie SA Warrants 10/28/06 19,600 14,272
* Teamlog SA Warrants 06/30/04 9,843 120
* Ubi Soft Entertainment SA Warrants
05/14/06 66,800 31,005
* Valtech, La Defense Warrants
07/29/05 251,100 12,240
---------------
TOTAL RIGHTS/WARRANTS
(Cost $22,818) 78,584
---------------
TOTAL -- FRANCE
(Cost $57,167,185) 80,018,855
---------------
GERMANY -- (4.1%)
COMMON STOCKS -- (4.1%)
* AAP Implantate AG 18,600 48,264
Aareal Bank AG 41,100 1,393,208
*# Acg AG Fuer Chipkarten und
Informationssysteme 78,300 171,952
Ackermann-Goeggingen AG 23,520 460,233
AC-Service AG 14,400 92,757
* Adva AG Optical Networking 50,600 331,953
* Aigner (Etienne) AG 454 80,835
* Allbecon AG 6,700 19,581
Andreae-Noris Zahn AG, Anzag 31,491 1,113,397
* Articon Integralis AG 32,400 115,216
* Augusta Technologie AG 56,100 116,358
AWD Holding AG 43,500 1,464,008
* Baader Wertpapier Handelsbank AG 42,049 308,435
Bechtle AG 73,700 1,147,478
* Berliner Elektro Holding AG 56,000 511,189
Beta Systems Software AG 20,850 408,605
Bien-Haus AG 16,900 253,730
# Bilfinger & Berger Bau AG 125,019 4,111,195
* Biolitec AG 36,500 194,058
* Biotest AG 14,270 190,474
* BMP AG 12,980 41,992
* Borussia Dortmund GMBH & Co.
KGAA 68,800 245,656
# Bremer Energiekonto AG 54,600 102,134
* Bremer Woll-Kaemmerei AG 50,582 58,920
* Brueder Mannesmann AG 20,600 15,267
* Caatoosee AG 69,600 38,200
* Ce Consumer Electrnic AG 46,800 99,537
Cewe Color Holding AG 11,000 242,095
* Cinemaxx AG 3,100 5,068
Comdirect Bank AG 173,200 1,538,101
Computerlinks AG 10,900 161,233
* Concord Effekten AG 4,400 11,738
*# Condomi AG 19,900 57,293
* COR AG Insurance Technologies 12,700 18,190
* Cybio AG 11,100 38,677
* D. Logistics AG 142,200 301,210
* DAB Bank AG 200,400 1,517,007
* DAS Werk AG 10,600 739
* DEAG Deutsche Entertainment AG 59,850 199,445
*# Deutsche Euroshop AG 61,549 2,631,130
* Deutz AG 130,266 565,638
* Dierig Holding AG 8,750 126,768
</Table>
33
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Drillisch AG 36,400 $ 155,547
*# Duerr Beteiligungs AG 55,310 1,384,822
DVB Bank AG 11,529 1,437,916
*# Dyckerhoff AG DM50 29,750 909,923
* Eckert and Ziegler Strahlen - und
Medizintechnik AG 12,700 143,054
ElreingKlinger AG 1,300 142,133
*# Em.TV AG 36,712 103,560
* Escada AG 64,090 1,124,306
* Eurobike AG 18,900 3,478
*# Evotec Biosystems AG 160,100 818,993
# FJA AG 16,618 219,140
* Freenet.De AG 32,900 3,019,233
Fuchs Petrolub AG Oel & Chemie 19,440 1,437,006
* Gft Technologies AG 92,927 232,113
* Gontard & Metallbank AG 46,008 1,970
* GPC Biotech AG 72,300 1,037,344
* Herlitz AG 26,031 97,043
* Hoeft & Wessel AG 30,200 120,066
Hucke AG 33,100 147,424
Hutschenreuther AG 8,591 117,863
* I-D Media AG 11,265 23,837
* IM International Media AG 149,500 115,574
Interseroh AG 3,600 54,529
* Intershop Deutschland AG 7,195 14,778
* Intertainment AG 14,082 68,890
* IPC Archtec AG 15,800 28,713
Iwka AG 104,866 2,224,363
Jenoptik AG 162,400 1,983,286
Kampa-Haus AG 35,200 275,157
* Kaufring AG 5,600 1,579
* Kloeckner-Werke AG 177,348 2,106,291
* Kontron AG 171,520 1,345,470
Krones AG 4,700 424,668
KSB AG 4,650 897,107
* Leica Camera AG 6,791 41,937
# Leifheit AG 16,342 499,206
# Leoni AG 16,300 994,542
* Loesch Umweltschutz AG 16,000 3,328
Loewe AG 36,000 266,974
* M & S Elektronik AG 19,600 1,172
* Mania Technologie AG 12,100 18,404
* Mannheimer Aktiengesellschaft
Holding AG 27,000 77,670
* Marbert AG 6,800 15,472
* Maternus-Kliniken AG, Bad
Oyenhausen 16,800 16,020
* Maxdata AG 113,610 485,768
* Mediantis AG 10,950 25,133
*# Medigene AG 43,900 411,224
* Mosaic Software AG 21,800 58,644
Muehlabauer Holdings AG & Co.
KGAA 10,800 336,056
* MVS Miete Vertrieb Service AG 45,052 93,625
* Mwb Wertpapierhandelshaus AG 15,700 64,368
* MWG Biotech AG 127,600 192,344
* Nemetschek AG 20,847 186,115
*# Norddeutsche Affinerie AG 123,101 1,587,427
Norddeutsche Steingutfabrik AG 9,215 48,387
* Nordwest Handel AG 11,313 58,769
* November AG 24,500 149,547
* Pandatel AG 28,300 $ 109,019
* Parsytec AG 19,200 84,656
PC-Ware Information
Technologies AG 21,394 226,944
* Personal & Informatik AG 2,150 15,357
* Pfleiderer AG 185,313 1,397,429
* Phoenix AG, Hamburg 103,686 1,899,706
* Pixelpark AG 15,050 26,611
*# Plambeck Neue Energien AG 63,465 148,307
* Primacom AG 62,300 37,807
* Produkte und Syteme der
Informationstechnologie AG 45,211 205,481
* Qs Communications AG 260,800 1,247,516
* Ravensberg Bau-Beteiligungen AG 29,500 3,956
* Realtech AG 20,200 137,519
# Rheinmetall Berlin AG 85,490 3,280,312
Rinol AG 15,000 47,236
* Roesch Medizintechnik AG 7,300 2,045
* RTV Family Entertainment AG 2,480 3,873
* Ruecker AG 25,400 99,262
* Saltus Technology AG 5,900 16,170
# Salzgitter AG 329,609 3,914,571
# Sartorius AG 20,000 341,931
Schlott Sebaldus AG 23,023 666,490
Sektkellerei Schloss Wachenheim AG 2,900 27,677
* Senator Entertainment AG 107,300 34,063
* Ser Systeme AG 9,400 703
* SHS Informationssysteme AG 17,611 26,562
# Sixt AG 65,300 1,054,175
* Stahl (R.) AG 15,700 151,508
* Steag Hamtech AG 45,600 183,869
* Stoehr & Co. AG 44,310 181,860
* Strabag AG 15,750 1,065,039
*# Suess Microtec AG 58,600 510,184
Syskoplan AG 16,400 126,583
* Syzygy AG 30,000 171,379
* SZ Testsysteme AG 7,000 351
# Technotrans AG 25,800 378,496
* Telegate AG 19,300 251,829
Textilgruppe Hof AG 22,530 140,350
* TFG Venture Capital AG & Co. KGAA 43,100 125,245
* Tiptel AG 13,600 20,819
* TTL Information Technology AG 22,800 85,255
* TV Loonland AG 22,500 55,382
* Umweltkontor Renewable Energy AG 110,781 81,213
United Internet AG 18,700 469,469
* Value Management & Research AG 19,800 52,688
* VBH (Vereinigter
Baubeschlag-Handel) AG 6,000 22,089
* VCL Film & Medien AG 3,566 4,616
* Vereinigte Deutsche Nickel-Werke AG 43,909 59,025
VK Muehlen AG 4,632 421,418
* Vossloh AG 39,200 1,886,251
* Walter Bau AG, Augsburg 89,862 279,816
* WCM Beteiligungs AG 1,202,768 1,707,664
* Westag and Getalit AG,
Rheda-Wiedenbrueck 10,653 99,803
* Windhoff AG 11,400 1,647
Wuerttembergische
Lebensversicherung AG 5,000 98,998
</Table>
34
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
# Wuerttembergische
Metallwarenfabrik AG 64,620 $ 1,191,281
---------------
TOTAL COMMON STOCKS
(Cost $56,882,347) 73,277,777
---------------
RIGHTS/WARRANTS -- (0.0%)
*# Em.TV AG Options 04/18/06 36,712 13,898
*# Em.TV AG Options 04/18/08 36,712 19,277
---------------
TOTAL RIGHTS/WARRANTS
(Cost $171,913) 33,175
---------------
TOTAL -- GERMANY
(Cost $57,054,260) 73,310,952
---------------
SWITZERLAND -- (3.6%)
COMMON STOCKS -- (3.6%)
* AFG Arbonia-Forster Holding AG 7,150 1,021,372
* Ascom Holding AG 160,800 1,674,197
# Bank Coop AG 11,560 481,052
* Banque Cantonale de Geneve 7,920 1,219,613
Banque Cantonale du Jura 800 152,995
Banque Cantonale Vaudoise 6,695 736,556
Batigroup Holding AG 37,800 391,629
# Bobst Group SA 110,700 3,536,916
Bossard Holding AG 5,450 266,725
Bucher Industries AG,
Niederweningen 11,225 1,884,616
Caisse d'Epargne Cantonale
Vaudoise, Lausanne 1,900 1,684,800
Calida Holding AG 400 103,589
* Card Guard AG 51,000 213,998
* Carlo Gavazzi Holding AG 2,530 155,770
Charles Voegele Holding AG 37,400 2,510,518
# Cie Financiere Tradition 3,121 273,061
Converium Holding AG 10,400 530,054
# Conzzeta Holdings AG 2,810 2,509,034
* COS Computer Systems AG 8,900 213,379
*# Crossair AG, Basel 71,730 686,763
Daetwyler Holding AG, Atldorf 940 1,872,325
*# Feintol International Holding AG 1,720 343,157
* Fischer (Georg) AG, Schaffhausen 19,567 4,266,000
* Flughafen Zuerich AG 38,800 3,164,728
* Forbo Holding AG, Eglisau 7,331 1,899,541
*# Galenica Holding, Ltd. AG, Bern 20,000 3,004,356
* Golay-Buchel Holding SA, Lausanne 125 97,158
*# Gurit-Heberlein AG 2,280 1,958,584
Helvetia Patria Holding 31,871 5,606,113
Industrieholding Cham AG, Cham 4,800 972,900
Kardex AG, Zuerich 1,800 250,331
* Leica Geosystems Holdings AG 3,500 581,830
* Lem Holdings AG, Lyss 880 140,535
* Maag Holding AG, Zuerich 5,737 758,331
* Mikron Holding AG, Biel 9,400 106,057
* Moevenpick-Holding, Zuerich 470 294,560
* Nextrom Holding SA 250 2,748
# PSP Swiss Property AG 33,900 1,182,226
# Schweizerhall Holding AG, Basel 720 1,046,884
# Schweizerische National
Versicherungs Gesellschaft 4,998 2,391,946
* Sihl 750 1,794
* Sika Finanz AG, Baar 870 437,354
# Sulzer AG, Winterthur 16,040 $ 3,994,819
* Swiss Prime Site AG 20,720 4,390,153
*# Swisslog Holding AG 202,500 217,019
* UMS Schweizerische Metallwerke
Holding AG, Bern 3,200 82,135
* Valiant Holding AG 6,655 553,967
* Vaudoise Assurances Holding,
Lausanne 499 814,771
* Von Roll Holding AG 15,045 14,865
* Von Roll Holding AG, Gerlafingen 15,045 15,400
* Wmh Walter Meier Holding Ag,
Zuerich 9,600 462,504
Zehnder Holding AG 50 51,582
# Zschokke Holding SA, Geneve 1,950 856,886
* Zueblin Holding AG 175,740 1,376,318
---------------
TOTAL COMMON STOCKS
(Cost $47,289,588) 63,456,514
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*# Swiss Francs
(Cost $11,933) 12,436
---------------
TOTAL -- SWITZERLAND
(Cost $47,301,521) 63,468,950
---------------
SINGAPORE -- (3.1%)
COMMON STOCKS -- (3.1%)
A.V. Jennings Homes, Ltd. 265,600 377,173
* Acma, Ltd. 3,856,500 146,851
Allgreen Properties, Ltd. 5,592,000 3,123,500
Amtek Engineering, Ltd. 113,000 76,529
Apollo Enterprises, Ltd. 240,000 62,796
ASA Group Holdings, Ltd. 857,000 140,993
Ascott Group, Ltd. 7,610,038 1,837,628
* Asia Food and Properties, Ltd. 1,820,000 396,551
Auric Pacific Group, Ltd. 57,000 35,851
Blu Inc. Group, Ltd. 1,085,000 153,484
Bonvests Holdings, Ltd. 675,400 180,514
* Causeway Investment, Ltd. 539,000 72,063
Chemical Industries (Far East), Ltd. 40,000 22,444
* China Merchants Holdings Pacific,
Ltd. 469,000 149,632
* CK Tang, Ltd. 983,000 158,018
Cosco Corp. Singapore, Ltd. 1,872,000 865,452
Courts Singapore, Ltd. 760,000 304,855
* Eagle Brand Holdings, Ltd. 5,722,000 252,919
* Econ International, Ltd. 1,412,000 37,360
ECS Holdings, Ltd. 1,636,000 323,054
Eng Wah Organisation, Ltd. 481,000 85,379
* Excel Machine Tools, Ltd. 473,000 4,172
* Firstlink Investments Corp., Ltd. 923,000 138,714
* Freight Links Express Holdings, Ltd. 394,000 22,164
GB Holdings, Ltd. 231,000 109,781
# Guocoland, Ltd. 3,092,000 1,925,807
Hiap Moh Corp., Ltd. 10,125 1,791
Ho Bee Investment, Ltd. 1,277,000 198,527
Hong Fok Corp., Ltd. 1,924,000 297,083
# Hong Leong Finance, Ltd. 457,000 770,836
Hotel Grand Central, Ltd. 655,400 136,635
Hotel Plaza, Ltd. 942,000 308,404
Hotel Properties, Ltd. 2,333,000 1,399,776
</Table>
35
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Hour Glass, Ltd. 349,000 $ 123,915
Hwa Hong Corp., Ltd. 3,329,000 909,432
International Factors (Singapore), Ltd. 22,000 6,763
* Interra Resources, Ltd. 139,180 15,577
* Intraco, Ltd. 316,000 74,428
* IPC Corp., Ltd. 3,248,000 85,167
Isetan (Singapore), Ltd. 152,000 256,074
Jurong Engineering, Ltd. 199,000 281,230
* K1 Ventures, Ltd. 7,899,000 1,210,261
Keppel Land, Ltd. 3,609,000 3,519,996
Kian Ann Engineering, Ltd. 861,000 96,619
Koh Brothers, Ltd. 1,445,000 84,743
Lee Kim Tah Holdings, Ltd. 2,313,000 334,687
* Leong Hin Holdings, Ltd. 516,000 37,853
* Liang Huat Aluminum, Ltd. 939,000 27,852
Low Keng Huat Singapore, Ltd. 368,000 93,279
Lum Chang Holdings, Ltd. 1,211,000 151,307
Magnecomp International, Ltd. 526,000 166,080
Marco Polo Developments, Ltd. 2,153,000 2,646,471
MCL Land, Ltd. 1,863,000 1,502,165
Metro Holdings, Ltd. 2,980,800 860,752
Neptune Orient Lines, Ltd. 3,529,000 4,445,653
* Orchard Parade Holdings, Ltd. 1,293,625 307,791
Overseas Union Enterprise, Ltd. 459,000 1,817,084
Pan-United Corp., Ltd. 1,101,000 235,932
* Pan-United Marine, Ltd. 550,500 97,104
Penguin Boat International, Ltd. 642,000 60,636
Pertama Holdings, Ltd. 105,000 17,611
Raffles Holdings, Ltd. 9,898,000 2,573,967
* San Teh, Ltd. 579,000 163,139
Singapore Land, Ltd. 1,507,000 3,421,261
* Singapore Shipping Corp., Ltd. 2,153,000 373,690
Singapura Finance, Ltd. 84,000 67,260
SNP Corp., Ltd. 112,500 66,244
* SP Corp., Ltd. 55,000 2,245
Ssangyong Cement (Singapore), Ltd. 77,000 46,703
Stamford Land Corp., Ltd. 4,308,000 583,477
Straits Trading Co., Ltd. 1,735,200 1,927,613
* Sunright, Ltd. 196,000 47,665
Superior Metal Printing, Ltd. 552,000 66,319
* Tuan Sing Holdings, Ltd. 4,197,000 220,851
* Ultro Technologies, Ltd. 693,000 57,379
United Engineers, Ltd. 1,038,666 948,279
United Industrial Corp., Ltd. 7,075,000 3,569,179
# United Overseas Land, Ltd. 3,434,000 4,568,609
United Pulp & Paper Co., Ltd. 391,000 110,442
WBL Corp., Ltd. 445,500 802,326
Wing Tai Holdings, Ltd. 3,320,333 1,662,446
* Xpress Holdings, Ltd. 370,000 12,977
---------------
TOTAL COMMON STOCKS
(Cost $51,403,054) 54,875,269
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $26,991) 27,141
---------------
RIGHTS/WARRANTS -- (0.0%)
* Acma, Ltd. Warrants 11/16/04
(Cost $0) 147,500 434
---------------
TOTAL -- SINGAPORE
(Cost $51,430,045) 54,902,844
---------------
ITALY -- (3.1%)
COMMON STOCKS -- (3.1%)
*# A.S. Roma SpA 208,000 $ 321,747
* Acegas SpA 160,674 1,290,584
*# Alitalia Linee Aeree Italiane SpA
Series A 900,000 257,858
Banca Popolare Dell'etruria e Del
Lazio Scrl 43,573 953,186
Banca Popolare di Spoleto SpA 500 4,136
Banco Piccolo Valellinese Scarl SpA 104,649 1,035,590
* Bastogi SpA 3,403,297 545,511
Biesse SpA 120,000 333,665
* Brioschi Finanziaria SpA, Milano 2,426,064 789,977
Buzzi Unicem SpA 28,500 374,777
Caltagirone Editore SpA 154,000 1,172,137
Caltagirone SpA 595,400 3,703,151
Carraro SpA 108,000 356,467
# Cementir Cementerie del Tirreno SpA 929,859 2,959,644
CIR SpA (Cie Industriale Riunite),
Torino 1,315,000 2,674,818
* Cirio Finanziaria SpA 960,000 203,981
# Cremonini SpA 87,000 146,677
CSP International Industria Calze SpA 97,000 156,465
Danieli & C.Officine Meccaniche SpA 205,825 865,005
De Longhi SpA 752,732 2,650,193
Ericsson SpA 118,326 4,697,695
* Finarte Casa d'Aste SpA (Milano) 5,000 6,289
*# Finarte Partecipazioni Pro Arte SpA 1,472,050 289,593
Gefran SpA 72,504 354,837
*# Gemina SpA 1,897,434 1,764,189
* Giacomelli SpA 168,000 36,928
* Giovanni Crespi SpA 302,100 232,526
Grandi Navi Veloci SpA 330,548 758,944
* Grassetto SpA 110,000 0
* Gruppo Ceramiche Ricchetti SpA 1,078,260 394,839
I Grandi Viaggi SpA 190,100 182,027
*# Immobiliare Lombardia SpA 2,796,456 570,472
Immsi SpA 211,292 357,674
*# Impregilo SpA 2,570,000 1,373,338
Industria Romagnola Conduttori
Elettrici SpA 141,624 442,919
Italmobiliare SpA, Milano 29,780 1,390,699
La Doria SpA 124,000 334,885
* Lavorwash SpA 43,000 92,656
Linificio and Canapificio
Nazionale SpA 46,250 109,742
Maffei SpA 128,000 234,178
# Manifattura Lane Gaetano Marzotto &
Figli SpA 212,000 2,427,218
* Marcolin SpA 214,000 285,025
Milano Assicurazioni SpA 732,200 2,756,035
* Monrif SpA 183,000 169,277
* Montefibre SpA 556,474 151,164
* Necchi SpA 792,500 68,711
* NGP SpA 42,059 17,976
Olidata SpA 101,691 126,783
* Opengate Group SpA 22,800 53,179
* Pagnossin SpA 79,000 96,448
* Perlier SpA 190,000 45,867
*# Premafin Finanziaria SpA Holding di
Partecipazioni, Roma 1,679,827 2,152,400
</Table>
36
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Premuda SpA 312,366 $ 641,398
* Ratti SpA 130,000 71,472
*# Reno de Medici SpA, Milano 1,355,135 1,229,180
Risanamento Napoli SpA 1,381,281 2,291,210
* Roncadin SpA 238,950 132,662
SAES Getters SpA 31,000 476,137
* Sirti SpA 139,803 343,468
SISA (Societa Imballaggi Speciali
Asti SpA) 175,000 444,935
* SMI STA Metallurgica Italiana SpA 3,245,898 859,659
SNIA SpA 1,188,493 358,095
*# Societa Sportiva Lazio SpA 40,200 51,874
Sogefi SpA 101,876 382,532
Sol SpA 102,000 434,425
* SOPAF (Societa Partecipazioni
Finanziarie SpA) 493,500 103,392
* Sorin SpA 35,430 90,857
# Stefanel SpA 272,131 571,081
Targetti Sankey SpA 100,000 425,185
Terme Demaniali di Acqui SpA 553,330 322,379
* Trevi-Finanziaria Industriale SpA 322,240 393,641
* Vemer Siber Group SpA 13,800 11,479
Vianini Industria SpA 163,800 467,300
# Vianini Lavori SpA 233,090 1,422,927
Zucchi (Vincenzo) SpA 122,989 554,323
---------------
TOTAL COMMON STOCKS
(Cost $41,935,606) 54,849,693
---------------
RIGHTS/WARRANTS -- (0.0%)
* Roncadin SpA Warrants 10/15/07 63,180 18,471
* Societa Sportiva Lazio SpA Rights
06/14/04 40,200 957
---------------
TOTAL RIGHTS/WARRANTS
(Cost $202,294) 19,428
---------------
TOTAL -- ITALY
(Cost $42,137,900) 54,869,121
---------------
HONG KONG -- (2.9%)
COMMON STOCKS -- (2.9%)
Aeon Credit Service (Asia) Co., Ltd. 416,000 250,583
ALCO Holdings, Ltd. 710,000 191,170
* Allied Group, Ltd. 7,070,000 580,366
* Allied Properties, Ltd. 1,185,500 474,932
* Alpha General (Holdings), Ltd. 266,800 10,921
* Ananda Wing on Travel (Holdings),
Ltd. 24,120,000 55,840
* Applied International Holdings, Ltd. 1,150,000 16,078
* APT Satellite Holdings, Ltd. 562,000 125,769
* Asia Commercial Holdings, Ltd. 35,960 1,987
Asia Financial Holdings, Ltd. 1,494,106 331,753
* Asia Standard International Group,
Ltd. 6,096,666 227,020
* Asia Tele-Net & Technology Corp.,
Ltd. 200,000 5,985
Associated International Hotels, Ltd. 758,000 596,923
* Beauforte Investors Corp., Ltd. 44,000 29,848
* Capital Estate, Ltd. 720,000 1,762
* Capital Publications 1,015,200 78
* CCT Technology Holdings, Ltd. 209,880 431
CCT Telecom Holdings, Ltd. 600,800 80,031
* Celestial Asia Securities Holdings,
Ltd. 251,900 $ 15,856
* Century City International Holdings,
Ltd. 2,863,067 32,241
# Champion Technology Holdings, Ltd. 1,072,404 171,980
Chaoda Modern Agriculture
(Holdings), Ltd. 945,000 291,561
Chen Hsong Holdings, Ltd. 322,000 189,955
Cheuk Nang (Holdings), Ltd. 47,700 13,423
Chevalier International Holdings, Ltd. 664,491 399,995
* Chi Cheung Investment Co., Ltd. 431,085 49,377
* China Aerospace International
Holdings, Ltd. 1,683,000 100,327
* China Bio-Medical Group Limited 258,750 4,980
* China City Natural Gas Holdings, Ltd. 4,994,000 13,428
* China Everbright International, Ltd. 3,610,000 191,966
China Everbright, Ltd. 2,508,000 956,336
China Hong-Kong Photo Products
Holdings, Ltd. 1,843,000 113,581
* China Investments Holdings, Ltd. 1,186,800 25,582
*# China Motion Telecom International,
Ltd. 522,000 33,307
China Motor Bus Co., Ltd. 24,000 151,689
China Online (Bermuda), Ltd. 506,000 64,683
China Overseas Land & Investment,
Ltd. 8,660,000 1,420,847
China Rare Earth Holdings, Ltd. 1,210,000 162,938
# China Resources Land, Ltd. 2,562,000 340,837
* China Rich Holdings, Ltd. 2,554,000 13,318
* China Sci-Tech Holdings, Ltd. 5,416,000 13,876
* China Star Entertainment, Ltd. 37,380 3,786
* China Strategic Holdings, Ltd. 340,250 20,487
# China Travel International Investment,
Ltd. 7,380,000 1,296,702
Chinese Estates Holdings, Ltd. 3,772,000 2,004,176
Chinney Investments, Ltd. 752,000 55,754
Chow Sang Sang Holdings
International, Ltd. 1,115,000 343,175
Chuangs China Investments, Ltd. 884,000 40,224
* Chuang's Consortium International,
Ltd. 3,051,760 178,378
Chun Wo Holdings, Ltd. 636,000 66,019
City e Solutions, Ltd. 472,964 50,828
City Telecom (H.K.), Ltd. 300,000 56,763
* CNT Group, Ltd. 1,428,000 44,865
COFCO International, Ltd. 1,032,000 572,065
Continental Holdings, Ltd. 382,000 35,539
Continental Mariner Investment Co.,
Ltd. 1,290,000 225,979
* COSCO International Holdings, Ltd. 2,236,000 307,318
* Cosmos Machinery Enterprises, Ltd. 414,000 18,061
* Crocodile Garments, Ltd. 986,000 32,780
* Dan Form Holdings Co., Ltd. 2,326,000 90,386
Dickson Concepts International, Ltd. 362,000 320,821
* DigitalHongKong.com 12 0
* Dynamic Global Holdings, Ltd. 990,000 9,963
Dynamic Holdings, Ltd. 482,000 54,752
* Easyknit International Holdings, Ltd. 982,400 12,546
* E-Kong Group, Ltd. 250,200 6,724
* Emperor (China Concept)
Investments, Ltd. 11,160 10,060
</Table>
37
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Emperor International Holdings, Ltd. 81,200 $ 41,768
* eSun Holdings, Ltd. 722,400 28,606
* Ezcom Holdings, Ltd. 67,280 3,006
* Fairwood Holdings, Ltd. 67,500 13,713
# Far East Consortium International,
Ltd. 1,867,186 308,925
* Far East Hotels & Entertainment, Ltd. 464,000 18,390
* Far East Technology International,
Ltd. 408,000 8,907
First Sign International Holdings, Ltd. 740,000 26,173
Fountain Set Holdings, Ltd. 1,350,000 985,831
Global China Group Holdings, Ltd. 1,462,000 82,478
Gold Peak Industries (Holdings), Ltd. 269,000 79,352
Golden Resources Development
International, Ltd. 1,587,000 68,267
* Gold-Face Holdings, Ltd. 1,158,000 80,232
Goldlion Holdings, Ltd. 1,706,000 131,176
Golik Holdings, Ltd. 1,216,000 49,917
* Gorient Holdings, Ltd. 2,697 37
Grande Holdings, Ltd. 450,000 493,304
# Great Eagle Holdings, Ltd. 1,468,118 2,284,388
* Great Wall Cybertech, Ltd. 11,392,830 14,618
Group Sense (International), Ltd. 1,462,000 157,467
Guangdong Brewery Holdings, Ltd. 1,602,000 364,015
# Guangzhou Investment Co., Ltd. 10,748,000 977,053
* G-Vision International (Holdings), Ltd. 298,000 1,147
Hang Ten Group Holdings, Ltd. 267,010 411
Hanny Holdings, Ltd. 218,450 87,102
* Hansom Eastern Holdings, Ltd. 2,082,600 14,607
Harbour Centre Development, Ltd. 857,000 847,071
* Hen Fung Holdings, Ltd. 392,000 7,570
Henderson China Holdings, Ltd. 798,000 383,720
High Fashion International, Ltd. 800,000 119,144
*# HKR International, Ltd. 1,906,400 574,665
* Hon Kwok Land Investment Co., Ltd. 274,000 49,978
Hong Kong and Shanghai Hotels,
Ltd. 1,968,624 1,135,374
Hong Kong Catering Management,
Ltd. 384,000 42,022
* Hong Kong Construction Holdings,
Ltd. 692,000 42,111
# Hong Kong Ferry (Holdings) Co., Ltd. 420,000 417,472
* Hong Kong Parkview Group, Ltd. 646,000 41,443
Hongkong Chinese, Ltd. 2,164,000 277,152
* Hop Hing Holdings, Ltd. 604,000 23,249
Hopewell Holdings, Ltd. 1,493,800 2,598,375
Hopson Development Holdings, Ltd. 536,000 137,816
* Hsin Chong Construction Group, Ltd. 336,000 14,862
* Hualing Holdings, Ltd. 784,000 22,989
Hysan Development Co., Ltd. 316,159 508,863
* I-China Holdings, Ltd. 3,883,600 8,471
# International Bank of Asia, Ltd. 524,000 189,775
* Inworld Group, Ltd. 27,199 157
* ITC Corp., Ltd. 456,000 18,786
* Jessica Publications, Ltd. 1,015,200 62,523
* Jinchang Pharmaceutical 507,600 0
* Jinhui Holdings Co., Ltd. 97,800 212,403
# K Wah International Holdings, Ltd. 4,633,043 736,637
K. Wah Construction Materials, Ltd. 2,167,773 194,681
* Kader Holdings Co., Ltd. 857,000 16,595
Karce International Holdings Co., Ltd. 532,000 17,556
Keck Seng Investments (Hong Kong),
Ltd. 570,000 $ 94,878
Kee-Shing Holdings Co., Ltd. 256,000 20,655
* King Fook Holdings, Ltd. 338,000 17,301
Kowloon Development Co., Ltd. 801,000 642,986
KTP Holdings, Ltd. 758,000 72,883
* Kwong Sang Hong International, Ltd. 1,060,000 91,083
Kwoon Chung Bus Holdings, Ltd. 296,000 43,032
* Lai Fung Holdings, Ltd. 3,818,750 113,092
* Lai Sun Development Co., Ltd. 3,358,800 66,133
* Lai Sun Garment (International), Ltd. 2,700,000 105,660
Lam Soon (Hong Kong), Ltd. 203,250 67,072
* Lippo, Ltd. 751,000 184,453
Liu Chong Hing Bank, Ltd. 668,000 837,786
Liu Chong Hing Investment, Ltd. 626,000 395,231
Luks Industrial Group, Ltd. 736,560 118,925
* MACRO-LINK International Holdings,
Ltd. 843,750 23,906
* Magnificent Estates, Ltd. 5,014,600 35,525
Melbourne Enterprises, Ltd. 41,000 157,816
Midland Realty (Holding), Ltd. 552,000 131,170
* Min Xin Holdings, Ltd. 882,000 148,326
Miramar Hotel & Investment Co., Ltd. 879,000 831,998
* Morning Star Resources, Ltd. 3,075,000 21,811
* Nam Fong International Holdings, Ltd. 1,740,000 8,643
* Nam Hing Holdings, Ltd. 538,000 12,992
Nanyang Holdings, Ltd. 80,850 78,442
* National Electronics Holdings, Ltd. 1,106,000 36,179
New Asia Realty & Trust Co., Ltd. 265,000 100,079
* New City (Beijing) Development, Ltd. 6,760 230
New Hanison Construction Hldg 185,099 11,303
*# New World China Land, Ltd. 2,342,000 564,217
* New World Cyberbase, Ltd. 56,540 210
New World Development Co., Ltd. 6,759,956 5,244,271
* New World TMT, Ltd. 1,975,600 208,423
NWS Holdings Ltd. 1,039,000 1,239,028
* Onfem Holdings, Ltd. 1,426,000 109,497
Orient Power Holdings, Ltd. 570,573 75,366
Oriental Watch Holdings, Ltd. 462,000 84,066
Pacific Andes International Holdings,
Ltd. 624,000 103,249
Pacific Century Insurance Holdings,
Ltd. 478,000 180,608
* Pacific Plywood Holdings, Ltd. 4,844,000 26,215
Paul Y. ITC Construction Holdings,
Ltd. 642,856 53,762
Peace Mark Holdings, Ltd. 529,241 101,899
Pico Far East Holdings, Ltd. 392,000 25,672
Playmates Holdings, Ltd. 1,492,000 193,584
Pokfulam Development Co., Ltd. 244,000 76,600
* Poly Investments Holdings, Ltd. 1,428,000 33,539
Prime Success International Group,
Ltd. 800,000 45,780
# Proview International Holdings, Ltd. 936,000 216,038
* QPL International Holdings, Ltd. 651,000 161,915
* Rainbow International Holdings, Ltd. 27,199 262
* Regal Hotels International Holdings,
Ltd. 9,608,179 297,641
* Rexcapital International Holdings,
Ltd. 1,270,090 14,455
* Riverhill Holdings, Ltd. 27,199 377
</Table>
38
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* RNA Holdings, Ltd. 580,200 $ 2,010
S.A.S.Dragon Holdings, Ltd. 94,400 11,122
* San Miguel Brewery Hong Kong, Ltd. 1,130,400 240,679
Sea Holdings, Ltd. 1,444,000 353,352
* Seapower Resources International,
Ltd. 167,100 1,918
* Shanghai Land Holdings, Ltd. 352,000 15,581
# Shanghai Real Estates, Ltd. 810,000 64,291
Shell Electric Manufacturing
(Holdings) Co., Ltd. 89,838 20,269
Shenyin Wanguo (Hong Kong), Ltd. 850,000 90,267
Shougang Concord Century
Holdings, Ltd. 1,000,000 110,213
* Shougang Concord Grand (Group),
Ltd. 833,000 61,639
* Shougang Concord International
Enterprises Co., Ltd. 2,196,000 108,225
* Shougang Concord Technology
Holdings, Ltd. 743,035 61,711
* Shun Ho Resources Holdings, Ltd. 510,000 21,594
* Shun Ho Technology Holdings, Ltd. 814,380 35,843
# Shun Tak Holdings, Ltd. 3,313,000 1,348,572
Silver Grant International Industries,
Ltd. 2,190,000 454,639
* Sincere Co., Ltd. 872,000 41,824
Sino Hotels (Holdings), Ltd. 281,608 111,754
* Sino-I.com, Ltd. 25,497,000 472,494
Sinolink Worldwide Holdings, Ltd. 1,442,400 168,204
Sinopec Kantons Holdings, Ltd. 572,000 77,033
SIS International Holdings, Ltd. 326,000 25,077
SNP Leefung Holdings, Ltd. 128,000 19,717
* Softbank Investment International
(Strategic), Ltd. 4,112,000 54,868
South China Holdings, Ltd. 4,060,800 138,071
South China Industries, Ltd. 1,182,000 67,322
Starlight International Holdings, Ltd.
(New) 885,000 125,262
* Stelux Holdings International, Ltd. 1,862,552 66,242
* Styland Holdings, Ltd. 1,359,999 4,362
Sun Hung Kai & Co., Ltd. 3,340,000 784,969
* Sunday Communications, Ltd. 4,227,000 268,677
Sunway International Holdings, Ltd. 1,002,000 35,014
Tai Cheung Holdings, Ltd. 1,809,000 662,239
Tai Fook Securities Group, Ltd. 534,000 82,935
Tai Sang Land Development, Ltd. 796,900 206,753
Tak Sing Alliance Holdings, Ltd. 1,299,335 44,925
Tan Chong International, Ltd. 2,943,000 565,769
Tern Properties Co., Ltd. 168,000 34,489
* Tian An China Investments Co., Ltd. 1,362,700 324,267
Tian Teck Land, Ltd. 800,000 230,234
Tianjin Development Holdings, Ltd. 1,144,000 396,641
* Tomorrow International Holdings,
Ltd. New 330,600 42,629
Tungtex (Holdings) Co., Ltd. 558,000 207,765
* Tysan Holdings, Ltd. 614,000 23,977
* U-Cyber Technology Holdings, Ltd. 370,000 7,032
* Universe International Holdings, Ltd. 301,756 2,514
USI Holdings, Ltd. 671,999 81,811
# Van Shung Chong Holdings, Ltd. 482,000 89,019
* Wah Nam International 12,600 278
Wai Kee Holdings, Ltd. 1,387,000 235,519
Wellnet Holdings, Ltd. 385,000 $ 18,270
* Winfoong International, Ltd. 1,525,000 40,995
Wing On Co. International, Ltd. 588,000 602,960
Wing Shan International, Ltd. 1,130,000 58,761
Winsor Properties Holdings, Ltd. 110,000 44,163
* Wo Kee Hong Holdings 4,282,332 19,674
Wong's International (Holdings), Ltd. 196,000 23,874
World Houseware (Holdings), Ltd. 672,342 26,298
Y. T. Realty Group, Ltd. 1,166,000 69,219
* Yaohan International Holdings, Ltd. 1,660,000 0
* Yau Lee Holdings, Ltd. 657,750 32,441
* Yue Fung International Group
Holding, Ltd. 31,490 4,242
Yugang International, Ltd. 10,520,000 99,826
* Zhu Kuan Development Co., Ltd. 1,362,000 68,802
---------------
TOTAL COMMON STOCKS
(Cost $47,741,525) 51,971,461
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars
(Cost $77,291) 77,284
---------------
RIGHTS/WARRANTS -- (0.0%)
* China Travel International Investment,
Ltd. Warrants 05/31/06 1,355,200 0
* Easyknit International Holdings, Ltd.
Rights 06/07/04 491,200 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
---------------
TOTAL -- HONG KONG
(Cost $47,818,816) 52,048,745
---------------
SWEDEN -- (2.6%)
COMMON STOCKS -- (2.6%)
*# Active Biotech AB 15,100 108,360
Angpannefoereningen AB Series B 9,850 168,047
* Anoto Group AB 50,533 105,276
* B & N Bylock & Nordsjoefrakt AB
Series B 99,200 219,812
Beijer AB Series B 15,900 198,586
Beijer Alma AB Series B 27,300 362,166
Bergman & Beving AB Series B 110,100 791,253
Bilia AB Series A 102,950 1,271,836
*# Boliden AB 571,550 2,085,228
* Bong Ljungdahl AB 46,500 218,295
* Boras Waefveri AB Series B 15,900 58,394
Capona AB 85,542 745,933
# Carbo AB 92,000 2,274,375
Castellum AB 128,700 3,035,721
Cloetta AB Series B 6,300 148,109
Concordia Maritime AB Series B 136,100 338,979
* Doro Telefoni AB Series A 6,400 7,972
* Duroc AB Series B 1,400 2,720
* Elekta AB 37,700 753,045
* Enea Data AB Series B 339,400 139,229
* Expanda AB 18,600 82,144
* Fagerlid Industrier AB 51,750 0
*# Finnveden AB 103,600 859,532
* Framfab AB Issue 04 252,720 20,769
*# Framtidsfabriken AB 631,800 51,924
</Table>
39
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Frontec AB Series B 136,900 $ 117,829
Geveko AB Series B 19,900 396,832
Gorthon Lines AB Series B 69,300 165,345
Gunnebo AB 24,200 296,129
Haldex AB 77,200 1,212,600
Hiq International AB 45,000 81,550
*# IBS AB Series B 173,950 306,273
* Industrial & Financial Systems AB
Series B 146,500 220,328
* Industrifoervaltnings AB Skandigen 46,200 130,388
* Intellecta AB Series B 7,100 29,561
*# Intentia International AB Series B 375,300 433,294
Kinnevik Industrifoervaltnings AB
Series B 123,600 3,832,684
* Klippans Finpappersbruk AB 30,800 85,216
Klovern AB 94,078 191,809
Kungsleden AB 61,800 1,725,052
Lagercrantz Group AB Series B 86,000 248,439
* LGP Allgon Holding AB 73,900 584,845
Ljungberg Gruppen AB Series B 4,200 61,011
* Mandator AB 157,500 20,369
* Medivir Series B 12,100 167,294
* Medivir Series B Issue 04 6,050 83,647
* Micronic Laser Systems AB 26,000 194,002
Naerkes Elektriska AB Series B 31,650 382,424
NCC AB Series A 45,400 385,718
NCC AB Series B 335,800 2,837,210
Nolato AB Series B 15,900 113,166
Observer AB 242,600 880,154
OEM International AB Series B 5,000 63,942
* Ortivus AB 12,300 47,015
* Partnertech AB 36,982 253,120
PEAB AB Series B 350,400 2,108,557
* Pergo AB 214,716 470,440
Poolia AB Series B 43,200 156,606
* Pricer AB Series B 441,000 62,586
* Proact It Group AB 27,000 80,283
Profilgruppen AB 15,000 118,780
Protect Data AB 15,600 109,070
* PyroSequencing AB 165,782 214,559
* Rorvik Timber AB 30,600 40,636
Rottneros Bruk AB 1,191,000 1,543,512
Salus Ansvar AB Series B 36,600 82,050
* Scribona AB Series A 15,700 30,569
* Scribona AB Series B 189,100 380,692
* Semcon AB 30,500 98,601
* Song Networks Holding AB 81,507 514,311
Sweco AB Series B 47,050 631,956
* Teleca AB Series B 239,600 1,360,808
Trelleborg AB Series B 160,900 2,916,244
* Turnit AB 125,300 19,888
* Viking Telecom AB 29,100 15,595
Wallenstam Byggnads AB Series B 79,600 2,095,528
* Wedins Norden AB Series B 404,852 114,043
* Westergyllen AB Series B 6,800 65,729
Whilborg Fastigheter AB Class B 223,470 2,909,649
WM-Data AB Series B 166,500 371,566
---------------
TOTAL COMMON STOCKS
(Cost $30,332,980) 46,107,209
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $40,243) $ 41,719
---------------
TOTAL -- SWEDEN
(Cost $30,373,223) 46,148,928
---------------
NETHERLANDS -- (2.5%)
COMMON STOCKS -- (2.5%)
*# Air France 147,200 2,390,734
* Begemann Groep NV 24,247 91,925
* Begemann Groep NV Series B 44,600 33,762
Brunel International NV 22,100 176,263
Buhrmann NV 319,166 3,041,242
Docdata NV 7,400 45,606
# Draka Holding NV 96,444 1,567,289
* Econosto NV 23,804 42,314
Gamma Holding NV 58,811 2,566,306
Gemeenschappeljk Bezit Crown van
Gelder NV 21,427 367,319
# Grontmij NV 11,700 432,563
*# Hagemeyer NV 1,194,430 2,557,393
Heijmans NV 75,238 1,696,692
* Ispat International NV 163,245 2,075,563
Kas Bank NV 103,866 1,890,872
* Kendrion NV 51,681 142,236
Koninklijke Bam NV 81,843 2,426,280
# Koninklijke Nedlloyd NV 106,876 3,259,311
Koninklijke Ten Cate NV 46,495 2,437,463
Koninklijke Vopak NV 96,886 1,594,880
MacIntosh NV 23,191 593,396
* Maverix Capital NV 900 41,763
* Nedcon Groep NV 5,046 116,364
New Skies Satellites NV 313,809 2,540,295
Nutreco Holding NV 19,168 589,244
*# Petroplus International NV 127,889 1,208,235
Reesink NV 2,110 135,317
Roto Smeets de Boer NV 20,904 840,548
* Samas-Groep NV, Zaandam 51,325 335,679
* Seagull Holding NV 2,000 9,769
* Semiconductor Industries NV 179,135 1,170,312
Smit Internationale NV 10,692 361,677
* SNT Groep NV 80,047 1,291,301
Stork NV 92,187 1,821,956
* Textielgroep Twenthe NV 1,200 3,663
* Tulip Computers NV 38,643 10,891
Twentsche Kabel Holding NV 22,000 602,660
Univar NV 19,493 326,692
* Van Der Mollen Holding NV 198,500 1,512,015
* Versatel Telecom International NV 31,200 62,221
* Wegener Arcade NV . 163,817 1,601,058
---------------
TOTAL COMMON STOCKS
(Cost $32,385,100) 44,011,069
---------------
RIGHTS/WARRANTS -- (0.0%)
*# Air France Warrants 11/06/07 133,819 168,315
* Koninklijke Vopak NV Coupons
06/04/04 96,886 0
* Versatel Telecom International
Warrants 10/10/04 31,200 3,839
---------------
TOTAL RIGHTS/WARRANTS
(Cost $92,444) 172,154
---------------
TOTAL -- NETHERLANDS
(Cost $32,477,544) 44,183,223
---------------
</Table>
40
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
FINLAND -- (2.2%)
COMMON STOCKS -- (2.2%)
* Amanda Capital Oyj 831,250 $ 172,773
Amer-Yhtymae Oyj Series A 80,600 4,137,249
Aspocomp Group P.L.C. 42,400 616,977
Bank of Aland, Ltd. 5,700 122,638
* Benefon Oy 19,000 4,879
Efore Oy 18,800 160,694
Elcoteq Network Corp. 54,550 899,246
* Eq Online Oyj 23,440 60,123
* Evox Rifa Group Oyj 120,395 16,167
Finnair Oyj 424,700 2,721,247
# Finnlines Oyj 81,100 2,239,109
Fiskars Oy AB Series A 139,900 1,705,283
# HK Ruokatalo Oy Series A 83,850 658,798
Honkarakenne Oy Series B 15,900 130,641
Huhtamaki Van Leer Oyj 257,400 3,377,403
Ilkka-Yhtyma Oyj 14,620 118,748
Julius Tallberg-Kiinteistoet Oy, Helsinki
Series B 11,601 112,341
Kemira Oyj 123,100 1,554,848
Laennen Tehtaat Oy 25,850 405,193
# Lemminkainen Oy 66,400 1,144,838
Leo Longlife Oy 15,600 141,887
Metsaemarkka Oyj Series B 3,700 30,188
* Okmetic Oyj 61,975 195,536
Okobank Class A 253,880 2,524,658
Olvi Oyj Series A 15,000 233,114
# Raisio Group P.L.C. Series V 547,900 1,141,979
Rautaruukki Oyj Series K 533,110 3,968,866
Raute Oy Series A 11,200 97,904
Sponda Oyj 434,535 3,493,601
* Stonesoft Corp. 210,298 154,318
Tamfelt Oyj 1,400 21,589
* Tecnomen Holding Oyj 245,197 345,070
Tulikivi Oyj 29,500 243,044
Turkistuottajat Oy 9,000 81,238
Viking Line AB 14,750 365,590
Wartsila Corp. Oyj Series B 147,900 3,020,453
Yit-Yhtymae Oyj 106,200 2,111,700
Yomi Oyj 11,050 74,854
---------------
TOTAL -- FINLAND
(Cost $27,800,327) 38,604,784
---------------
GREECE -- (1.9%)
COMMON STOCKS -- (1.9%)
Aegek S.A. 369,814 516,047
* Agrotiki Insurance S.A. 44,150 199,455
Alco Hellas ABEE S.A. 145,300 305,769
* Allatini Industrial & Commercial Co. 58,400 97,688
* Alte Technological Co. S.A. 299,816 212,822
* Altec Information & Communication
Systems S.A. 348,200 238,762
Alumil Milonas S.A. 88,060 380,752
* Aluminum of Attica S.A. 337,348 235,715
Anek Lines S.A. 258,359 368,972
Arcadia Metal Industry C. Rokas S.A. 84,011 502,988
* Aspis Pronia General Insurance S.A. 194,160 273,029
Athens Medical Center S.A. 418,340 680,888
Athens Water Supply & Sewage Co.
S.A. 58,200 401,330
* Atlantic Super Market S.A. 128,310 $ 216,505
Attica Enterprises S.A. Holdings 482,314 1,946,668
Atti-Kat S.A. 378,008 277,412
* Bitros Holdings S.A. 82,020 281,455
Delta Holdings S.A. 64,300 414,856
Edrasi Psalllidas Technical Co. S.A. 117,012 140,007
Egnatia Bank S.A. 407,070 1,372,735
El. D. Mouzakis S.A. 123,900 184,756
* Ergas S.A. 95,407 42,060
* Etma Rayon S.A. 39,176 37,773
* Euro Reliance General Insurance 16,470 37,129
* Euromedica S.A. 109,200 270,925
* Europaiki Techniki 98,150 27,713
* Fanco S.A. 44,900 56,608
* Forthnet S.A. 61,700 438,541
Fourlis S.A. 155,000 902,400
Frigoglass S.A. 176,140 790,686
* G.Polyhronos S.A. 27,800 50,682
General Construction Co. S.A. 11,000 87,098
General Commercial & Industry 96,240 93,071
* General Hellenic Bank 124,299 1,086,368
Gnomon Construction S.A. 141,750 58,830
Halkor S.A. 132,600 252,649
Hatziioannou S.A. 97,400 289,701
Hellas Can Packaging Manufacturers
S.A. 64,287 600,778
Hellenic Cables S.A. 122,938 149,889
Hellenic Fabrics S.A. 55,000 133,044
Hellenic Sugar Industry S.A. 55,180 286,328
Hellenic Technodomiki S.A. 138,880 692,760
Hermes Real Estate S.A. 98,294 389,582
* Inform P. Lykos S.A. 21,930 83,617
* Intracom Constructions S.A. 129,640 178,781
Intracom S.A. 428,826 2,157,352
* J Boutaris & Son Holding S.A. 105,600 153,620
Kalpinis Simos Steel Service Center 49,238 169,688
* Karatzis SA 58,710 104,119
Kathimerini S.A. 73,740 527,365
Katselis Sons S.A. 21,000 63,330
* Keranis Holdings SA 53,625 66,037
* Kordellou Brothers S.A. 17,200 26,703
* Lambrakis Press S.A. 232,459 945,081
Lavipharm S.A. 160,616 264,674
Light Metals Industry 120,028 300,600
* Loulis Mills S.A. 77,428 259,755
* Maritime Company of Lesvos S.A. 164,000 108,448
* Maxim Knitwear Factory C.M 61,360 42,894
Mesochoritis Bros. Construction Co. 89,900 54,095
Michaniki S.A. 309,918 781,087
* Minoan Lines S.A. 328,387 855,859
Mochlos S.A. 679,690 365,659
Mytilineos Holdings S.A. 128,870 806,060
* N. Levederis S.A. 24,700 16,910
* Naoussa Spinning Mills S.A. 81,900 207,685
Nexans Hellas S.A. 25,070 90,208
Nikas S.A. 35,183 314,114
Notos Com.Holdings S.A. 11,808 52,526
* O. Daring Sain 42,800 15,720
Pantechniki S.A. 201,405 372,685
* Parnassos Enterprises S.A. 93,550 98,504
* Pegasus Publishing & Printing S.A. 217,030 479,891
</Table>
41
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Petzetakis S.A. 88,200 $ 263,571
* Pilias S.A. 85,264 27,081
Piraeus Leasing 23,551 192,229
* Prodeftiki Technical Co. 164,900 94,808
* Sanyo Hellas S.A. 236,508 324,244
Sarantis S.A. 154,900 764,962
* Sato S.A. 93,160 85,485
Selected Textile Industry Assoc. S.A. 171,500 161,652
Sfakianakis S.A. 38,370 137,766
* Sheet Steel S.A. 77,100 37,712
* Shelman Hellenic-Swiss Wood S.A. 155,548 209,429
Silver and Baryte Ores Mining Co.
S.A. 88,550 638,541
Spyroy Agricultural House S.A. 103,200 123,889
* Stabilton S.A. 221,900 21,678
Strintzis Shipping Lines S.A. 486,146 636,602
Technical Olympic S.A. 626,840 2,930,223
* Technodomi M.Travlos Br. Com. &
Constr. Co. S.A. 23,730 7,324
Terna Tourist Technical & Maritime
S.A. 33,100 277,275
* Themeliodomi S.A. 140,360 262,392
Thrace Plastics Co. S.A. 210,660 275,626
* Varvaressos S.A. European Spinning
Mills 36,350 89,684
Veterin S.A. 62,096 233,677
Vioter S.A. 227,695 327,913
* Vis Container Manufacturing Co. 12,511 42,529
Zampa S.A. 1,750 22,065
---------------
TOTAL -- GREECE
(Cost $34,803,154) 34,174,650
---------------
SPAIN -- (1.8%)
COMMON STOCKS -- (1.8%)
* Amper SA 101,200 508,290
*# Avanzit SA 76,700 220,106
CAF (Construcciones y Auxiliar de
Ferrocarriles SA) 11,875 841,569
Cie Automotive SA 17,839 239,436
Cortefiel SA 383,700 3,886,953
* Dogi International Fabrics SA 21,900 130,048
*# Duro Felguera SA 65,433 462,362
* Ercros SA 971,641 391,536
* Espanola del Zinc SA 53,703 119,400
Europistas Concesionaria
Espanola SA 232,238 1,450,474
# Funespana SA 43,617 345,491
Global Steel Wire SA 73,031 163,193
Grupo Empresarial Ence SA 82,280 2,173,842
*# Grupo Picking Pack SA 1,079,666 540,510
Hullas del Coto Cortes 7,000 88,045
Iberpapel Gestion SA 59,665 1,149,564
Inbesos SA 26,897 147,227
Inmobiliaria Colonial SA ICSA 79,400 1,925,010
Inmobiliaria Urbis SA 288,600 3,192,900
* LSB (La Seda de Barcelona SA)
Series B 166,230 404,044
* Mecalux SA 101,989 697,112
# Metrovacesa SA 29,345 1,124,455
* Nicolas Correa SA 37,386 133,647
Obrascon Huarte Lain SA 434,910 3,420,633
Pescanova SA 63,141 $ 1,170,653
Sol Melia SA 111,200 957,702
Tavex Algodonera SA 139,958 539,996
*# Tecnocom Telecomunicaciones y
Energia SA 35,910 312,648
Tubacex SA 645,874 1,262,497
Unipapel SA 70,634 1,340,250
*# Uralita SA 224,280 2,339,030
* Urbanizzciones y Transportes SA 79,329 62,935
Vidrala SA, Alava 10,880 147,075
Viscofan Industria Navarra de
Envolturas Celulosicas SA 24,100 223,527
---------------
TOTAL -- SPAIN
(Cost $17,429,480) 32,112,160
---------------
DENMARK -- (1.5%)
COMMON STOCKS -- (1.5%)
Aarhus Oliefabrik A.S. Aeries A 10,395 549,768
* Alm. Brand A.S. 45,705 1,125,463
Amagerbanken A.S. 4,226 430,393
Ambu International A.S. Series B 6,080 94,930
Amtssparekassen Fyn A.S. 4,181 493,467
* Andersen & Martini Series B 3,500 13,217
# AS Dampskibsselsk Torm 73,140 1,694,862
Bording (F.E.) A.S. Series B 475 21,446
* Brodrene Hartmann A.S. Series B 13,560 231,483
Codan A.S. 52,875 2,216,007
Dalhoff, Larsen & Hornemann A.S
Series B 3,663 175,157
* Danionics A.S. Series A 12,586 14,509
* Denka Holding A.S. 400 19,692
# DFDS A.S., Copenhagen 20,820 794,580
DiskontoBanken A.S. 1,301 216,577
Djursland Bank 2,365 123,037
East Asiatic Co., Ltd. 46,252 2,054,317
Egnsbank Han Herred 3,181 278,988
*# FLS Industries 138,986 1,882,491
Foras Holding A.S. Series A 31,379 343,026
Forstaedernes Bank 6,931 405,143
* Genmab A.S. 25,392 417,331
* Glostrup Plade Vaerksted Industri
A.S. 2,600 40,117
H&H International A.S. Series B 500 122,002
* Harboes Bryggeri A.S. 460 108,728
Hedegaard (Peder P.) A.S. 1,406 90,298
Hojgaard Holding A.S. Series B 7,075 197,736
HVB Bank A.S. 3,110 120,793
* Junckers (F.) Industrier A.S. 3,475 6
Kompan A.S. 310 46,658
Lan & Spar Bank A.S. 5,706 259,088
Lokalbanken I Nordsjaelland A.S. 690 109,433
* Migatronic Series B 1,294 26,132
Mons Bank A.S. 424 48,754
Morso Bank 240 31,124
NKT Holding A.S. 57,585 1,126,722
Nordjyske Bank A.S. 1,203 195,608
Norresundby Bank 439 148,064
* NTR Holdings A.S. 1,650 11,150
Ove Arkil Series B 680 68,994
Per Aarsleff A.S. Series B 5,540 206,616
*# Pharmexa A.S. 10,600 32,397
</Table>
42
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Pharmexa A.S. Issue 04 31,800 $ 97,111
Ringkjobing Bank 3,440 208,823
Ringkjobing Landbobank 2,565 725,888
Rockwool, Ltd. 26,020 1,068,481
Salling Bank 500 44,311
Sanistal A.S. Series B 4,670 247,772
* Scanbox Danmark A.S. Series B 3,400 1,077
Scandinavian Brake Systems A.S. 510 25,957
Schouw & Co. A.S. 31,885 686,695
Skaelskor Bank 720 75,463
Skjern Bank A.S. 1,530 103,654
* Spaencom A.S. 300 8,189
Spar Nord Holding 11,919 1,045,109
Sparbank Vest A.S. 11,870 438,803
Sparekassen Faaborg A.S. 1,634 380,385
Sydbank A.S. 17,570 2,514,708
* TK Development 26,740 57,529
* Topdanmark A.S. 1,000 60,468
* Torsana A.S. Series B 200 2,262
Totalbanken A.S. 600 62,061
* Treka A.S. 26,230 327,892
Vestfyns Bank 500 50,636
Vestjysk Bank A.S. 19,420 503,567
VT Holdings Shares B 5,900 261,908
* Wessel & Vett Magasin du Nord A.S
Series C 6,498 122,311
---------------
TOTAL COMMON STOCKS
(Cost $16,210,557) 25,707,364
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone
(Cost $22,018) 22,612
---------------
TOTAL -- DENMARK
(Cost $16,232,575) 25,729,976
---------------
NORWAY -- (1.4%)
COMMON STOCKS -- (1.4%)
ABG Sundal Collier ASA 93,000 70,292
* Aker Kvaerner ASA 126,503 2,019,825
Bonheur ASA 39,205 1,006,800
* Choice Hotel Scandinavia ASA 13,000 34,867
* Dale of Norway Holding ASA 18,200 9,763
# Det Norske Oljeselskap ASA Series A 154,800 609,179
*# DOF ASA 30,000 71,382
* EDB Elektronisk Data Behandling
ASA 75,000 453,254
Farstad Shipping ASA 65,000 557,268
*# Fjord Seafood ASA 1,451,246 651,034
*# Fred Olsen Energy ASA 303,500 1,972,795
# Ganger Rolf ASA 32,150 760,753
Gresvig ASA 13,300 69,405
Hafslund ASA 45,500 237,053
* Home Invest ASA 7,066 5,264
Kverneland ASA 39,457 516,920
* Merkantildata ASA 1,286,200 966,374
# Nera ASA 660,611 1,752,934
*# Ocean Rig ASA 168,549 452,602
Odfjell ASA Series A 88,474 2,769,347
*# Petroleum Geo-Services ASA (New) 30,590 1,134,141
* Petrolia Drilling ASA 8,760 612
* SAS AB 38,000 338,434
* Scana Industrier ASA 33,500 $ 5,312
* Sinvest ASA 6,003 9,574
Smedvig ASA Series A 281,900 2,648,790
* Software Innovation ASA 47,062 208,316
# Solstad Offshore ASA 86,000 641,905
* Tandberg Data ASA 107,700 234,538
*# Tandberg Storage ASA 107,700 38,675
* Tandberg Television ASA 209,900 1,324,313
* Tybring-Gjed ASA 163,020 67,945
Veidekke ASA 7,000 66,240
Wilhelmshaven (Wilhelm), Ltd. ASA 122,600 3,407,398
---------------
TOTAL COMMON STOCKS
(Cost $17,099,061) 25,113,304
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone
(Cost $31,118) 31,055
---------------
TOTAL -- NORWAY
(Cost $17,130,179) 25,144,359
---------------
BELGIUM -- (1.3%)
COMMON STOCKS -- (1.3%)
Ackermans & Van Haaren SA 3,300 78,800
# Banque Nationale de Belgique 159 543,111
Bekaert SA 39,600 2,288,346
# CFE (Compagnie Francois d'
Entreprises) 3,812 954,185
# Cie Martime Belge SA 49,059 4,612,215
Cofinimmo SA 15,405 1,975,231
D'Ieteren SA 1,562 310,940
Exmar NV 29,600 1,624,847
Floridienne NV 1,900 107,133
# Immobel (Cie Immobiliere de
Belgique SA) 27,546 1,116,142
* Integrated Production & Test
Engineering NV 28,600 164,102
*# Ion Beam Application SA 183,300 1,322,178
* Ipso-Ilg SA 38,662 307,215
Nord-Sumatra Investissements SA 421 107,632
Papeteries de Catala SA 450 52,259
Quick Restaurants SA 38,332 515,800
* Quick Restaurants VVPR 27,380 334
# Recticel SA 93,681 788,382
Rosier SA 200 26,150
* Sait Radioholland 21,764 134,895
Sapec SA 7,671 571,722
Societe Belge Des Betons SA 12,520 724,269
* Solvus SA 146,000 2,163,398
Spector Photo Group SA 11,701 137,259
* Systemat SA 68,225 382,695
*# Telindus Group SA 218,239 2,105,538
Tessenderlo Chemie 12,418 434,695
---------------
TOTAL COMMON STOCKS
(Cost $16,786,308) 23,549,473
---------------
RIGHTS/WARRANTS -- (0.0%)
* Cofinimmo SA Rights 06/11/04
(Cost $0) 15,405 0
---------------
TOTAL -- BELGIUM
(Cost $16,786,308) 23,549,473
---------------
</Table>
43
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
AUSTRIA -- (0.9%)
COMMON STOCKS -- (0.9%)
* Agrana Beteiligungs AG 4,657 $ 375,423
Allgemeine Sparkasse
Baugesellschaft 120 13,036
*# Austrian Airlines/Oesterreichische
Luftverkehrs-Aktiengesellschaft 254,826 3,443,892
Bohler Uddeholm AG 45,712 3,485,876
Constantia-Iso Holding AG 94,314 1,040,623
Flughafen Wien AG 37,104 2,064,969
* Frauenthal Holding AG 1,308 37,098
* General Partners Inmobilienbesitz AG 5,900 11,095
Linz Textil Holding AG 200 36,463
* RHI AG, Wien 31,752 659,433
Rosenbauer International AG 1,462 88,494
*# VA Technologie AG 91,700 4,893,550
---------------
TOTAL -- AUSTRIA
(Cost $11,565,814) 16,149,952
---------------
NEW ZEALAND -- (0.9%)
COMMON STOCKS -- (0.9%)
* AFFCO Holdings, Ltd. 3,125,460 491,368
CDL Hotels NZ, Ltd. 2,017,530 519,755
CDL Investments NZ, Ltd. 701,344 123,389
Colonial Motor Co., Ltd. 207,470 380,656
* Evergreen Forests, Ltd. 648,900 163,921
Fisher & Paykel Apppliances Holdings,
Ltd. 131,412 377,636
*# Fletcher Challenge Forests, Ltd. 550,302 659,668
Hellaby Holdings, Ltd. 149,400 471,023
Independent Newspapers, Ltd.
(Auckland) 1,213,784 3,712,928
* Kingsgate International Corp., Ltd. 1,021,800 198,397
Met Lifecare, Ltd. 161,905 228,540
* New Zealand Oil & Gas, Ltd. 308,137 138,915
New Zealand Refining Co., Ltd. 12,100 144,766
* New Zealand Rural Properties, Ltd. 45,022 0
* Pan Pacific Petroleum NL 374,079 45,905
Pyne Gould Guinness, Ltd. 246,048 242,229
* Richina Pacific, Ltd. 704,552 176,918
* Rubicon, Ltd. 1,718,412 895,903
Sanford, Ltd. 323,500 985,739
South Port New Zealand, Ltd. 71,088 61,735
Steel & Tube Holdings, Ltd. 250,000 612,202
* Tasman Farms 228,576 0
Taylors Group, Ltd. 42,000 69,070
Tourism Holdings, Ltd. 581,225 601,778
*# Tower, Ltd. 3,023,588 3,022,885
* Trans Tasman Properties, Ltd. 3,568,944 896,640
Williams & Kettle, Ltd. 67,534 114,578
Wrightson, Ltd. 480,700 423,096
---------------
TOTAL COMMON STOCKS
(Cost $9,939,736) 15,759,640
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $3,364) 3,395
---------------
TOTAL -- NEW ZEALAND
(Cost $9,943,100) 15,763,035
---------------
IRELAND -- (0.8%)
COMMON STOCKS -- (0.8%)
Abbey P.L.C. 117,120 1,116,915
* Arcon International Resources P.L.C. 441,600 $ 18,646
* Ardagh P.L.C. 77,019 112,862
* Dragon Oil P.L.C. 2,035,113 1,673,748
Greencore Group P.L.C. 171,697 649,651
Heiton Holdings P.L.C. 211,378 1,240,142
IFG Group P.L.C. 307,277 394,331
* Iona Technologies P.L.C. 146,143 755,592
* Irish Intercontental Group P.L.C. 110,167 1,445,388
Jurys Hotel Group P.L.C. 398,885 4,851,501
* Oakhill Group P.L.C. 69,119 13,505
Readymix P.L.C. 333,997 637,739
* Ryan Hotels P.L.C. 418,106 664,739
Waterford Wedgwood P.L.C. 5,271,476 1,262,930
---------------
TOTAL -- IRELAND
(Cost $10,796,202) 14,837,689
---------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
* Corticeira Amorim Sociedad Gestora
Participacoes Sociais SA 2,306,331 3,575,343
Efacec Capital SGPS SA 178,200 455,050
* Investimentos Participacoes e Gestao
SA Inapa 440,502 1,682,184
* Papelaria Fernandes-Industria
e Comercia SA 2,000 9,846
* Sociedad Construcoes Soares da
Costa SA 294,047 1,044,486
* Sonae Industria-Sociedade Gestora
de Participacoes Sociais SA 18,110 75,145
* Tertir Terminais de Portugal SA 80,798 313,502
---------------
TOTAL -- PORTUGAL
(Cost $6,236,629) 7,155,556
---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency
(Cost $625,495) 639,953
---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Promet Berhad 201,000 15,340
* 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) 120,032
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (14.9%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $50,000,000
FNMA Notes 6.125%, 03/15/12,
valued at $54,437,500 and by
$6,170,000 FNMA Discount Notes
0.96%, 06/16/04, valued at $6,166,915)
to be repurchased at $59,708,904
(Cost $59,703,000) $ 59,703 59,703,000
</Table>
44
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
Repurchase Agreement, Mizuho Securities USA and Deutsche
Bank Securitites 1.00%, 06/01/04 (Collateralized by
$370,358,487 U.S. Strips and U.S. Treasury Note 7.50%,
maturities ranging from 02/15/05 to 08/15/29, valued
at $227,201,029) to be repurchased at $204,368,294
(Cost $204,345,589)^ $ 204,346 $ 204,345,589
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $264,048,589) 264,048,589
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,453,848,904)++ $ 1,773,836,721
===============
</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 $1,453,885,401.
See accompanying Notes to Financial Statements.
45
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
EMERGING MARKETS PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment in The Emerging Markets Series of The DFA
Investment Trust Company $ 767,304,469
---------------
Total Investments (100%) (Cost $628,994,952)++ $ 767,304,469
===============
</Table>
- ----------
++The cost for federal income tax purposes is $629,435,761.
EMERGING MARKETS SMALL CAP PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment in The Emerging Markets Small Cap Series of The DFA
Investment Trust Company $ 133,829,242
---------------
Total Investments (100%) (Cost $121,171,464)++ $ 133,829,242
===============
</Table>
- ----------
++The cost for federal income tax purposes is $121,171,855.
DFA ONE-YEAR FIXED INCOME PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The DFA One-Year Fixed Income Series of The DFA
Investment Trust Company 181,594,608 $ 1,819,577,972
---------------
Total Investments (100%) (Cost $1,817,500,870)++ $ 1,819,577,972
===============
</Table>
- ----------
++The cost for federal income tax purposes is $1,824,917,442.
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The DFA Two-Year Global Fixed Income Series of
The DFA Investment Trust Company 150,564,458 $ 1,505,644,580
---------------
Total Investments (100%) (Cost $1,510,648,589)++ $ 1,505,644,580
===============
</Table>
- ----------
++The cost for federal income tax purposes is $1,519,256,467.
- ----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
46
<Page>
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (99.1%)
Federal Farm Credit Bank
3.000%, 04/15/08 $ 13,550 $ 13,117,213
3.625%, 10/24/08 83,000 81,434,869
3.700%, 12/17/08 56,700 55,404,575
Federal Home Loan Bank
2.750%, 03/14/08 3,000 2,892,306
2.625%, 07/15/08 19,000 18,036,605
5.945%, 07/28/08 3,000 3,228,042
3.750%, 08/15/08 49,400 48,825,824
5.500%, 08/15/08 10,000 10,550,070
5.800%, 09/02/08 53,300 56,861,826
5.865%, 09/02/08 2,670 2,865,919
3.625%, 11/14/08 24,000 23,542,920
3.625%, 11/14/08 17,000 16,676,235
3.500%, 02/13/09 42,880 41,624,688
3.000%, 04/15/09 9,000 8,511,201
Tennessee Valley Authority
5.375%, 11/13/08 70,445 74,234,307
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $469,214,734) 457,806,600
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
Repurchase Agreement, PNC Capital Markets, Inc.
0.89%, 06/01/04 (Collateralized by $4,314,000 FNMA Notes
1.50%, 09/21/05, valued at $4,287,038) to be repurchased
at $4,223,418
Cost $4,223,000) 4,223 4,223,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $473,437,734)++ $ 462,029,600
===============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $473,437,734.
See accompanying Notes to Financial Statements.
47
<Page>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
UNITED STATES -- (58.5%)
AGENCY OBLIGATIONS -- (31.7%)
Federal Farm Credit Bank
3.625%, 10/24/08 $ 72,000 $ 70,642,296
Federal Home Loan Bank
2.625%, 07/15/08 20,000 18,985,900
5.800%, 09/02/08 15,500 16,535,803
3.625%, 11/14/08 39,000 38,257,245
3.625%, 11/14/08 5,000 4,904,775
3.000%, 04/15/09 10,000 9,456,890
Federal Home Loan Mortgage
Corporation
3.625%, 09/15/08 41,000 40,343,098
5.125%, 10/15/08 24,000 25,046,976
5.750%, 03/15/09 16,000 17,062,624
3.375%, 04/15/09 8,000 7,699,232
Federal National Mortgage Association
3.250%, 08/15/08 12,000 11,653,932
5.250%, 01/15/09 12,500 13,058,000
3.250%, 02/15/09 52,000 49,880,844
Tennessee Valley Authority
5.375%, 11/13/08 24,400 25,712,500
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $357,933,850) 349,240,115
---------------
BONDS -- (26.8%)
Bayerische Landesbank
2.875%, 10/15/08 7,600 7,173,975
5.875%, 12/01/08 9,600 10,252,359
Citigroup, Inc.
3.625%, 02/09/09 7,000 6,782,678
Fifth Third Bank
3.375%, 08/15/08 21,035 20,487,796
General Electric Capital Corp.
4.250%, 01/15/08 22,050 22,295,372
Gillette Co.
2.875%, 03/15/08 21,300 20,658,380
2.500%, 06/01/08 6,500 6,164,080
Procter & Gamble Co.
6.125%, 05/08/08 24,400 26,151,920
4.300%, 08/15/08 4,200 4,262,756
Siemens Capital Co., Ltd.
6.000%, 02/11/08 24,200 25,889,160
Toyota Motor Credit Corp.
2.875%, 08/01/08 28,000 26,864,124
US Bank NA
3.400%, 03/02/09 30,250 28,971,696
Wal-Mart Stores, Inc.
3.375%, 10/01/08 25,000 24,292,275
Wells Fargo & Co. Corporate Bonds
3.125%, 04/01/09 32,090 30,385,026
Westdeutsche Landesbank
6.050%, 01/15/09 $ 32,200 $ 34,335,697
---------------
TOTAL BONDS
(Cost $300,787,752) 294,967,294
---------------
TOTAL -- UNITED STATES
(Cost $658,721,602) 644,207,409
---------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (8.9%)
BONDS -- (8.9%)
African Development Bank
3.250%, 08/01/08 23,000 22,343,948
European Investment Bank
5.375%, 09/16/08 24,200 25,584,724
Inter-American Development Bank
3.375%, 03/17/08 12,050 11,926,644
5.375%, 11/18/08 9,000 9,555,831
World Bank (International Bank for
Reconstruction & Development)
Corporate Bonds
5.000%, 10/29/08 27,260 28,513,960
---------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $99,957,756) 97,925,107
---------------
CANADA -- (7.7%)
BONDS -- (7.7%)
BP Canada Finance
3.625%, 01/15/09 6,200 6,064,313
Canada Mortgage and Housing Corp.
3.375%, 12/01/08 15,400 15,133,134
Canadian Government
5.250%, 11/05/08 26,300 27,888,520
Province of Ontario
5.500%, 10/01/08 26,520 27,977,035
Province of British Columbia
5.375%, 10/29/08 7,670 8,114,093
---------------
TOTAL -- CANADA
(Cost $86,952,455) 85,177,095
---------------
GERMANY -- (7.7%)
BONDS -- (7.7%)
Deutsche Postbank
5.500%, 02/17/09 8,000 8,451,200
KFW International Finance, Inc.
3.250%, 03/30/09 30,800 29,868,670
Landesbank Baden-Wuerttemberg
Foerderbank
3.000%, 09/30/08 24,200 23,277,980
Landwirtschaft Rentenbank
3.250%, 06/16/08 17,500 17,133,812
3.875%, 09/04/08 6,300 6,288,206
---------------
TOTAL -- GERMANY
(Cost $87,326,372) 85,019,868
---------------
</Table>
48
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
FRANCE -- (4.7%)
BONDS -- (4.7%)
Dexia Credit Local de France
5.500%, 01/21/09 $ 20,115 $ 21,225,348
Total Capital SA
3.500%, 01/05/09 30,900 30,195,480
---------------
TOTAL -- FRANCE
(Cost $52,810,527) 51,420,828
---------------
NETHERLANDS -- (4.1%)
BONDS -- (4.1%)
Nederlandse Waterschaps
2.750%, 12/30/08 19,300 18,296,400
Rabobank
5.500%, 09/17/08 25,000 26,412,500
---------------
TOTAL -- NETHERLANDS
(Cost $45,822,919) $ 44,708,900
---------------
<Caption>
FACE
AMOUNT@
-------
(000)
SWEDEN -- (3.1%)
BONDS -- (3.1%)
Sweden Government Bond
5.000%, 01/28/09 247,000 34,635,163
---------------
<Caption>
FACE
AMOUNT
------
(000)
AUSTRIA -- (1.7%)
BONDS -- (1.7%)
Republic of Austria
6.250%, 05/19/08 $ 17,657 $ 19,183,624
---------------
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
SPAIN -- (1.6%)
BONDS -- (1.6%)
Spain (Kingdom of)
5.875%, 07/28/08 $ 16,000 $ 17,204,480
---------------
JAPAN -- (1.5%)
BONDS -- (1.5%)
Nippon Telegraph & Telephone Corp.
6.000%, 03/25/08 15,110 16,167,413
---------------
UNITED KINGDOM -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $5,393) 6,351
---------------
TEMPORARY CASH
INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $5,322,000 FHLB
Notes 3.375%, 06/15/04, valued
at $5,408,483) to be repurchased at
$5,327,527 (Cost $5,327,000) 5,327 5,327,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,124,513,788)++ $ 1,100,983,238
===============
</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 $1,124,513,788.
See accompanying Notes to Financial Statements.
49
<Page>
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
U.S. TREASURY OBLIGATIONS -- (34.9%)
U.S. Treasury Bonds
11.250%, 02/15/15 $ 5,000 $ 7,701,560
10.625%, 08/15/15 6,000 8,990,628
9.875%, 11/15/15 6,000 8,617,032
9.250%, 02/15/16 9,000 12,455,856
7.250%, 05/15/16 6,000 7,224,612
9.000%, 11/15/18 4,200 5,839,806
U.S. Treasury Notes
5.625%, 05/15/08 11,000 11,862,378
5.500%, 05/15/09 5,000 5,386,330
6.000%, 08/15/09 10,000 10,996,090
6.500%, 02/15/10 6,600 7,435,573
5.750%, 08/15/10 3,600 3,920,342
5.000%, 08/15/11 10,000 10,414,450
3.875%, 02/15/13 10,300 9,808,340
7.500%, 11/15/16 4,000 4,911,876
---------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $112,968,825) 115,564,873
---------------
AGENCY OBLIGATIONS -- (64.6%)
Federal Farm Credit Bank
6.000%, 01/07/08 5,000 5,375,145
6.450%, 10/07/09 2,000 2,188,970
7.160%, 05/19/10 3,000 3,392,958
6.700%, 11/22/10 2,000 2,220,270
6.135%, 12/13/10 4,000 4,305,548
5.750%, 01/18/11 9,000 9,504,081
6.000%, 03/07/11 9,000 9,608,571
6.740%, 04/11/11 1,000 1,109,814
4.800%, 05/24/11 3,300 3,287,034
6.300%, 06/06/11 2,800 3,047,327
6.260%, 12/02/11 2,000 2,168,288
6.280%, 11/26/12 3,000 3,261,864
4.150%, 05/15/13 4,000 3,738,932
8.160%, 09/30/14 3,615 4,434,343
Federal Home Loan Bank
6.200%, 10/10/07 2,000 2,161,262
5.895%, 01/14/08 2,100 2,251,036
6.030%, 01/30/08 2,000 2,153,202
7.000%, 02/15/08 2,000 2,223,486
5.905%, 03/27/08 4,000 4,290,516
6.185%, 05/06/08 1,000 1,084,299
6.045%, 05/22/08 1,000 1,079,319
5.945%, 07/28/08 $ 6,000 $ 6,456,084
5.915%, 08/25/08 3,000 3,224,796
5.800%, 09/02/08 3,000 3,200,478
5.550%, 11/17/08 5,000 5,301,115
5.315%, 12/23/08 10,000 10,501,590
5.545%, 02/17/09 3,000 3,177,780
5.950%, 03/16/09 5,550 5,976,223
5.863%, 04/22/09 9,000 9,654,237
6.730%, 06/22/09 2,500 2,781,573
6.500%, 08/14/09 3,000 3,304,488
6.500%, 11/13/09 9,000 9,910,278
3.875%, 02/12/10 3,000 2,901,456
7.375%, 02/12/10 2,080 2,380,248
4.125%, 08/13/10 9,000 8,723,817
6.625%, 11/15/10 1,000 1,103,634
7.200%, 06/14/11 3,000 3,430,647
5.750%, 05/15/12 10,500 11,048,594
4.500%, 11/15/12 8,000 7,705,248
3.875%, 06/14/13 3,600 3,282,019
4.500%, 09/16/13 8,000 7,603,072
Tennessee Valley Authority
5.375%, 11/13/08 8,000 8,430,328
5.625%, 01/18/11 11,000 11,572,847
6.000%, 03/15/13 9,000 9,563,634
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $205,012,334) 214,120,451
---------------
TEMPORARY CASH
INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $1,793,000
FHLB Floating Rate Notes, 10/03/05,
valued at $1,790,759) to be
repurchased at $1,764,174
(Cost $1,764,000) 1,764 1,764,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $319,745,159)++ $ 331,449,324
===============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $319,745,160.
See accompanying Notes to Financial Statements.
50
<Page>
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (65.4%)
Alabama -- (3.4%)
Alabama State Department of
Dock Facilities Revenue Bonds
6.000%, 10/01/08 $ 1,000 $ 1,120,470
Alabama State Federal Highway
Finance Authority Series A
5.000%, 03/01/09 4,000 4,307,600
Alabama Water Pollution Control
Authority Revenue Bonds
5.000%, 08/15/08 2,160 2,328,264
Huntsville, Alabama General Obligations
4.500%, 08/01/07 1,000 1,050,740
Jefferson County, Alabama Series A
General Obligations
5.000%, 04/01/08 1,300 1,395,745
---------------
10,202,819
---------------
Arizona -- (2.2%)
Arizona State Transportation Board
Revenue Bonds
5.250%, 07/01/08 3,000 3,266,670
City of Scottsdale, Arizona General
Obligations
5.000%, 07/01/08 2,250 2,432,137
Pima County, Arizona General
Obligations
5.100%, 07/01/07 1,000 1,072,850
---------------
6,771,657
---------------
Colorado -- (0.4%)
Jefferson County, Colorado School
District General Obligations
5.500%, 12/15/06 1,000 1,082,160
---------------
Connecticut -- (1.9%)
State of Connecticut Health
Education Refunding Bonds
4.500%, 03/15/09 5,600 5,931,128
---------------
Delaware -- (0.7%)
Delaware Transportation Authority
Series B Revenue Bonds
5.250%, 07/01/07 1,000 1,080,650
State of Delaware Series B
General Obligations
5.000%, 05/01/07 1,000 1,070,910
---------------
2,151,560
---------------
Florida -- (2.8%)
Florida State Board of Education
Series C General Obligations
4.000%, 06/01/09 4,000 4,147,240
Florida State Board of Education
Series H General Obligations
5.000%, 06/01/08 $ 2,000 $ 2,160,480
Jacksonville, Florida Excise Taxes
Revenue Bonds
5.250%, 10/01/07 1,000 1,083,250
Tallahassee, Florida Energy Systems
2.750%, 10/01/05 1,000 1,011,740
---------------
8,402,710
---------------
Georgia -- (2.2%)
State of Georgia Finance &
Investment Committee
5.750%, 09/01/07 1,000 1,098,340
State of Georgia General Obligations
5.250%, 08/01/07 1,000 1,081,780
State of Georgia General Obligations
6.700%, 08/01/08 2,000 2,293,280
State of Georgia General Obligations
6.250%, 04/01/09 2,000 2,276,900
---------------
6,750,300
---------------
Hawaii -- (0.7%)
State of Hawaii General Obligations
5.000%, 04/01/08 2,000 2,150,300
---------------
Illinois -- (4.2%)
Central Lake County, Illinois General
Obligations
6.000%, 02/01/08 1,000 1,105,430
Chicago Metropolitan Water Reclamation
District General Obligations
5.500%, 12/01/08 2,000 2,194,800
Chicago, Illinois Public Building
Commission Revenue Bonds
5.000%, 03/01/08 1,000 1,072,490
Chicago, Illinois Tax Increment
5.500%, 01/01/07 970 1,040,432
Du Page, Cook & Will Counties
Community College District
General Obligations
5.000%, 06/01/08 2,175 2,334,210
Du Page, Illinois Water Commission
General Obligations
5.000%, 03/01/07 1,000 1,061,220
State of Illinios First Series
General Obligations
5.250%, 04/01/07 600 644,586
State of Illinois General Obligations
5.500%, 04/01/09 3,000 3,303,900
---------------
12,757,068
---------------
</Table>
51
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
Indiana -- (1.4%)
Indianapolis, Indiana Local Improvement
Revenue Bonds
6.500%, 01/01/08 $ 1,000 $ 1,120,760
Ivy Technical State College
Revenue Bonds
5.000%, 07/01/08 1,000 1,074,950
Logansport Multi-Purpose School
Building Corp. Revenue Bonds
4.250%, 07/05/08 1,000 1,046,490
Valparaiso, Indiana School
Building Corp.
4.500%, 01/05/07 1,000 1,048,280
---------------
4,290,480
---------------
Kansas -- (1.1%)
Johnson County, Kansas General
Obligations
5.250%, 09/01/07 1,000 1,078,660
Kansas State Development Finance
Authority Revenue Bonds
5.000%, 10/01/07 1,000 1,074,680
Wyandotte County, Kansas City, Kansas
5.000%, 09/01/07 1,000 1,072,880
---------------
3,226,220
---------------
Kentucky -- (1.1%)
Kentucky State Turnpike Authority
Revenue Bonds
5.500%, 07/01/08 3,000 3,286,860
---------------
Louisiana -- (1.3%)
Calcasieu Parish, Louisiana
General Obligations
4.600%, 08/15/06 700 736,176
New Orleans, Louisiana Certificates of
Indebtedness General Obligations
5.000%, 03/01/08 1,000 1,070,290
Shreveport, Louisiana Series A
Certificates of Indebtedness
5.000%, 10/01/07 1,000 1,073,690
St. Tammany Parish, Louisiana
6.000%, 04/01/07 1,000 1,091,500
---------------
3,971,656
---------------
Maryland -- (1.1%)
State of Maryland General Obligations
5.000%, 07/15/08 2,000 2,167,400
Washington Suburban Sanitation
District General Obligations
5.250%, 06/01/08 1,000 1,095,150
---------------
3,262,550
---------------
Massachusetts -- (1.1%)
Boston, Massachusetts Series A
General Obligations
5.000%, 02/01/08 1,000 1,072,410
State of Massachusetts Series C
General Obligations
5.250%, 12/01/07 $ 2,000 $ 2,157,880
---------------
3,230,290
---------------
Michigan -- (2.8%)
Detroit, Michigan City School District
Series B General Obligations
4.500%, 05/01/08 1,000 1,055,320
Fraser Public School District
General Obligations
5.150%, 05/01/08 1,000 1,079,140
Michigan Municipal Bond Authority
Revenue Bonds
5.250%, 10/01/07 1,000 1,082,590
Michigan Municipal Bond Authority
Revenue Bonds
5.250%, 10/01/08 3,000 3,274,530
Michigan State Comprehensive
Transportation Series A
Revenue Bonds
5.750%, 05/15/07 1,000 1,087,690
Wayne County, Michigan Community
College General Obligations
5.000%, 07/01/07 1,000 1,069,300
---------------
8,648,570
---------------
Minnesota -- (1.1%)
Metropolitan Council of Minneapolis
and St. Paul General Obligations
4.000%, 02/01/08 1,200 1,247,196
State of Minnesota General Obligations
6.000%, 08/01/05 1,000 1,049,800
State of Minnesota General Obligations
5.000%, 11/01/07 1,000 1,077,160
---------------
3,374,156
---------------
Mississippi -- (0.3%)
Rankin County, Mississippi
School District
4.500%, 02/01/07 1,000 1,047,460
---------------
Missouri -- (1.1%)
State of Missouri General Obligations
5.000%, 08/01/08 3,000 3,246,300
---------------
Nevada -- (3.0%)
Clark County, Nevada School District
General Obligations
4.000%, 06/01/09 3,540 3,665,316
Las Vegas, Nevada Valley Water
Distribution Series B
5.250%, 06/01/09 2,830 3,092,284
State of Nevada General Obligations
5.375%, 10/01/08 2,100 2,294,733
---------------
9,052,333
---------------
</Table>
52
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
New Hampshire -- (0.3%)
New Hampshire State Turnpike
Systems Revenue Bonds
5.000%, 10/01/06 $ 1,000 $ 1,059,660
---------------
New Jersey -- (0.4%)
New Jersey State Transportation Trust
Fund Authority
5.375%, 12/15/07 1,000 1,090,620
---------------
New Mexico -- (0.5%)
New Mexico State Severance Tax Series
5.000%, 07/01/07 550 588,115
New Mexico State Severance Tax Series
5.000%, 07/01/07 1,000 1,069,300
---------------
1,657,415
---------------
New York -- (1.9%)
Long Island Power Authority Series A
Revenue Bonds
5.250%, 12/01/05 1,000 1,047,160
Municipal Assistance Corp. for the
City of New York
6.000%, 07/01/07 1,000 1,100,230
New York State Thruway Authority
5.000%, 04/01/09 3,500 3,776,850
---------------
5,924,240
---------------
North Carolina -- (1.8%)
Durham County, North Carolina
General Obligation Bonds
5.500%, 04/01/09 3,000 3,319,500
North Carolina State Public
Improvements General Obligations
5.500%, 03/01/08 1,000 1,096,420
University of North Carolina
Revenue Bonds
5.000%, 04/01/08 1,000 1,075,900
---------------
5,491,820
---------------
Ohio -- (4.3%)
Franklin County, Ohio
General Obligations
5.500%, 12/01/07 1,000 1,094,170
Ohio State Building Authority
Revenue Bonds
5.500%, 10/01/08 1,500 1,644,090
Ohio State Higher Education Capital
Facilities Revenue Bonds
5.000%, 12/01/08 5,000 5,411,300
Ohio State Higher Education Capital
Facilities Series II Revenue Bonds
5.250%, 12/01/06 1,000 1,072,880
Ohio State Water Development Authority
Revenue Bonds
5.000%, 06/01/08 2,500 2,694,725
State of Ohio Highway Improvement
General Obligations
5.500%, 05/01/07 1,000 1,083,700
---------------
13,000,865
---------------
Oklahoma -- (1.5%)
Grand River Dam Authority of Oklahoma
Revenue Bonds
5.750%, 06/01/08 $ 4,000 $ 4,420,680
---------------
Oregon -- (3.2%)
Oregon State Deparment of
Transportation Revenue Bonds
5.000%, 11/15/06 900 959,553
Oregon State Department of
Administrative Services
Revenue Bonds
5.250%, 04/01/08 2,000 2,169,800
Salem-Keizer, Oregon School District
General Obligations
5.000%, 06/15/09 6,055 6,565,013
---------------
9,694,366
---------------
Pennsylvania -- (1.8%)
Allegheny County, Pennsylvania
Sanitation Authority
5.000%, 12/01/07 1,000 1,074,820
Berks County, Pennsylvania
General Obligations
6.350%, 11/15/07 1,500 1,674,450
Pennsylvania Intergovernmental
Cooperative Authority Special Tax
5.000%, 06/15/08 1,000 1,074,970
Pittsburgh, Pennsylvania School District
General Obligations
5.000%, 09/01/07 1,000 1,071,270
State of Pennsylvania
General Obligations
5.000%, 01/15/07 650 691,405
---------------
5,586,915
---------------
South Carolina -- (1.0%)
Piedmont Municipal Power Agency
Electric Revenue Bonds Series 1985B
6.125%, 01/01/07 1,000 1,087,580
State of South Carolina
General Obligations
5.000%, 04/01/09 1,900 2,060,037
---------------
3,147,617
---------------
Tennessee -- (3.2%)
Knox County, Tennessee
General Obligations
4.500%, 04/01/08 2,000 2,109,880
Metro Government Nashville & Davidson
Counties General Obligations
5.250%, 10/15/07 1,000 1,081,170
Metro Government Nashville & Davidson
Counties General Obligations
5.000%, 11/15/08 2,000 2,158,600
Shelby County, Tennessee
General Obligations
5.000%, 04/01/09 4,195 4,519,022
---------------
9,868,672
---------------
</Table>
53
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
Texas -- (3.9%)
Austin, Texas Electric Utility Systems
Revenue Bonds
5.000%, 11/15/05 $ 1,000 $ 1,043,090
Dallas, Texas Waterworks &
Sewer System
5.250%, 10/01/08 3,000 3,265,620
Houston, Texas Public Improvement
General Obligations
5.500%, 03/01/06 500 529,305
Lower Colorado River Authority
Revenue Bonds
5.250%, 05/15/08 1,000 1,081,660
San Antonio, Texas General
Improvement General Obligations
5.000%, 08/01/07 1,000 1,071,400
Texas State University Systems
Financing Revenue Bonds
5.000%, 03/15/09 2,245 2,414,834
Trinity River Authority Texas Regional
Wastewater System Revenue Bond
5.500%, 08/01/08 2,200 2,403,588
---------------
11,809,497
---------------
Utah -- (2.4%)
Salt Lake City, Utah General Obligations
5.250%, 06/15/07 1,000 1,078,020
Salt Lake County, Utah Municipal
Building Authority Lease
Revenue Bonds
5.000%, 10/01/08 1,800 1,941,246
State of Utah General Obligations
4.000%, 07/01/08 3,000 3,124,590
Utah State Board of Regents
Revenue Bonds
5.250%, 04/01/08 1,000 1,081,130
---------------
7,224,986
---------------
Vermont -- (0.3%)
Vermont Public Power Supply Authority
4.000%, 07/01/07 1,000 1,038,430
---------------
Virginia -- (1.7%)
Arlington County, Virginia
General Obligations
4.000%, 01/15/09 4,000 4,157,400
Richmond, Virginia General Obligations
5.000%, 07/15/07 1,000 1,070,140
---------------
5,227,540
---------------
Washington -- (2.6%)
King County, Washington Sewer
Revenue Bonds
5.250%, 01/01/08 2,000 2,152,240
Seattle, Washington Drain & Wastewater
Revenue Bonds
4.000%, 07/01/08 1,000 1,035,680
Snohomish County, Washington School
District Revenue Bonds
4.500%, 06/01/09 $ 3,500 $ 3,695,825
State of Washington General Obligations
5.500%, 09/01/07 1,000 1,086,050
---------------
7,969,795
---------------
Wisconsin -- (0.7%)
Muskego Norway, Wisconsin School
District General Obligations
5.000%, 04/01/07 1,000 1,063,860
State of Wisconsin
General Obligations
5.000%, 05/01/07 1,000 1,069,170
---------------
2,133,030
---------------
TOTAL MUNICIPAL BONDS
(Cost $202,403,006) 199,182,725
---------------
TAX EXEMPT COMMERCIAL
PAPER -- (31.9%)
Arizona -- (1.7%)
City of Mesa, Arizona Municipal
Development
1.100%, 07/13/04 4,000 4,000,000
Salt River Project Agricultural
Improvement
1.080%, 06/28/04 1,000 1,000,000
---------------
5,000,000
---------------
Connecticut -- (0.3%)
State of Connecticut Health Education
1.000%, 06/02/04 1,000 1,000,000
---------------
Florida -- (3.1%)
City of Gainesville, Florida
1.050%, 06/15/04 2,000 2,000,000
City of Gainesville, Florida
1.060%, 06/15/04 4,500 4,500,000
Sunshine State Government Finance
1.050%, 06/11/04 3,000 3,000,000
---------------
9,500,000
---------------
Georgia -- (1.8%)
Burke County, Georgia
Development Authority
1.050%, 06/03/04 1,500 1,500,000
Burke County, Georgia
Development Authority
1.030%, 06/11/04 4,000 4,000,000
---------------
5,500,000
---------------
Maryland -- (2.5%)
Maryland Health & Higher Education
1.050%, 06/01/04 3,000 3,000,000
Maryland Health & Higher Education
1.050%, 06/07/04 1,000 1,000,000
</Table>
54
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
Montgomery, Maryland
General Obligations
1.020%, 06/03/04 $ 1,700 $ 1,700,000
Montgomery, Maryland
General Obligations
1.020%, 06/04/04 2,000 2,000,000
---------------
7,700,000
---------------
Massachusetts -- (2.0%)
Harvard University
1.050%, 06/02/04 2,000 2,000,000
Harvard University
1.070%, 07/08/04 2,100 2,100,000
Massachusetts Water Resource Authority
1.040%, 06/04/04 2,000 2,000,000
---------------
6,100,000
---------------
Nebraska -- (1.6%)
Omaha Public Power District
1.050%, 06/14/04 3,000 3,000,000
Omaha Public Power District
1.080%, 06/22/04 2,000 2,000,000
---------------
5,000,000
---------------
New Jersey -- (0.8%)
Princeton University
1.050%, 06/03/04 2,500 2,500,000
---------------
New York -- (1.6%)
Dormitory Authority of New York
1.050%, 06/16/04 3,000 3,000,000
New York State Environmental Quality
General Obligation Bonds
1.020%, 06/02/04 2,000 2,000,000
---------------
5,000,000
---------------
South Carolina -- (1.5%)
South Carolina Public Services Authority
1.070%, 06/18/04 1,500 1,500,000
South Carolina Public Services Authority
1.060%, 06/25/04 3,109 3,109,000
---------------
4,609,000
---------------
Tennessee -- (0.8%)
Tennessee State School Board Authority
1.030%, 06/01/04 2,400 2,400,000
---------------
Texas -- (9.0%)
City of San Antonio, Texas
1.050%, 06/04/04 3,000 3,000,000
City of San Antonio, Texas Electric
1.070%, 07/09/04 2,000 2,000,000
Dallas Area Rapid Transit
1.050%, 06/21/04 1,000 1,000,000
Harris County, Texas
General Obligations
1.050%, 06/10/04 $ 5,350 $ 5,350,000
Houston, Texas General Obligations
1.050%, 06/01/04 2,000 2,000,000
Houston, Texas General Obligations
0.960%, 06/08/04 2,000 1,999,964
Plano, Texas Health Facility
1.070%, 06/07/04 2,000 2,000,000
Texas Public Finance Authority
1.060%, 06/14/04 2,500 2,500,000
University of Texas Board of Regents
0.960%, 06/09/04 2,000 1,999,960
University of Texas Board of Regents
1.070%, 07/06/04 2,000 2,000,000
University of Texas Board of Regents
1.090%, 07/06/04 3,500 3,500,000
---------------
27,349,924
---------------
Utah -- (2.0%)
Intermountain Power Agency
1.050%, 06/09/04 2,000 2,000,000
Intermountain Power Agency
1.050%, 06/23/04 2,000 2,000,000
Intermountain Power Agency
1.080%, 07/07/04 2,000 2,000,000
---------------
6,000,000
---------------
Virginia -- (2.0%)
Ida of The City of Norfolk, Virginia
1.050%, 06/30/04 6,000 6,000,000
---------------
Washington -- (0.7%)
City of Tacoma, Washington BANS
1.050%, 06/15/04 2,000 2,000,000
---------------
Wisconsin -- (0.5%)
State of Wisconsin General Obligations
1.100%, 07/14/04 1,500 1,500,000
---------------
TOTAL TAX EXEMPT COMMERCIAL
PAPER (Cost $97,159,000) 97,158,924
---------------
<Caption>
SHARES
------
(000)
TEMPORARY CASH
INVESTMENTS -- (2.7%)
Wilmington Tax Exempt Portfolio --
Investor Shares
(Cost $8,382,136) 8,382 8,382,136
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $307,944,142)++ $ 304,723,785
===============
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
++ The cost for federal income tax purposes is $307,944,142.
See accompanying Notes to Financial Statements.
55
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<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 $ 1,232,708 $ 172,544 $ 2,138,568 $ 131,503
Receivables:
Investment Securities Sold -- -- -- 1,089
Fund Shares Sold 1,382 65 2,921 70
Prepaid Expenses and Other Assets 39 22 23 28
-------------- -------------- -------------- --------------
Total Assets 1,234,129 172,631 2,141,512 132,690
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Investment Securities Purchased 1,126 32 2,500 --
Fund Shares Redeemed 256 33 421 1,159
Due to Advisor 59 21 259 41
Accrued Expenses and Other Liabilities 61 6 69 5
-------------- -------------- -------------- --------------
Total Liabilities 1,502 92 3,249 1,205
-------------- -------------- -------------- --------------
NET ASSETS $ 1,232,627 $ 172,539 $ 2,138,263 $ 131,485
============== ============== ============== ==============
SHARES OUTSTANDING $.01 PAR VALUE 37,348,103 19,320,939 121,522,599 8,835,561
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 33.00 $ 8.93 $ 17.60 $ 14.88
============== ============== ============== ==============
Investments at Cost $ 1,025,889 $ 157,038 $ 1,725,779 $ 111,003
============== ============== ============== ==============
<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 $34,246
of securities on loan, respectively) $ 4,769,328 $ 1,524,052 $ 2,737,528 $ 987,184
Receivables:
Dividends, Interest, and Tax Reclaims -- -- -- 745
Securities Lending Income -- -- -- 1
Fund Shares Sold 3,520 2,664 1,794 3,774
Prepaid Expenses and Other Assets 39 6 24 34
-------------- -------------- -------------- --------------
Total Assets 4,772,887 1,526,722 2,739,346 991,738
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Collateral on Securities Loaned -- -- -- 35,023
Investment Securities Purchased 1,377 1,775 966 --
Fund Shares Redeemed 2,143 889 828 869
Due to Advisor 1,166 397 901 223
Accrued Expenses and Other Liabilities 148 45 78 90
-------------- -------------- -------------- --------------
Total Liabilities 4,834 3,106 2,773 36,205
-------------- -------------- -------------- --------------
NET ASSETS $ 4,768,053 $ 1,523,616 $ 2,736,573 $ 955,533
============== ============== ============== ==============
SHARES OUTSTANDING $.01 PAR VALUE 199,417,467 88,239,818 201,220,937 50,305,894
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 23.91 $ 17.27 $ 13.60 $ 18.99
============== ============== ============== ==============
Investments at Cost $ 3,389,867 $ 1,238,857 $ 1,815,025 $ 811,156
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
56
<Page>
<Table>
<Caption>
INTERNATIONAL JAPANESE PACIFIC RIM
LARGE CAP SMALL SMALL SMALL
INTERNATIONAL COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value (includes $110,577, $0, $0 and $0
of securities on loan, respectively) $ 810,200 $ 1,250,941 $ 49,015 $ 25,087
Cash 16 15 -- --
Receivables:
Investment Securities Sold -- -- 13 --
Dividends, Interest, and Tax Reclaims 2,338 -- -- --
Securities Lending Income 112 -- -- --
Fund Shares Sold 1,173 1,374 37 8
Prepaid Expenses and Other Assets 24 40 10 10
-------------- -------------- -------------- --------------
Total Assets 813,863 1,252,370 49,075 25,105
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 116,776 -- -- --
Investment Securities Purchased 21,901 900 -- 8
Fund Shares Redeemed 141 262 50 --
Due to Advisor 135 406 16 6
Accrued Expenses and Other Liabilities 102 39 6 2
-------------- -------------- -------------- --------------
Total Liabilities 139,055 1,607 72 16
-------------- -------------- -------------- --------------
NET ASSETS $ 674,808 $ 1,250,763 $ 49,003 $ 25,089
============== ============== ============== ==============
SHARES OUTSTANDING $.01 PAR VALUE 42,815,655 100,751,994 3,741,119 2,119,674
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 15.76 $ 12.41 $ 13.10 $ 11.84
============== ============== ============== ==============
Investments at Cost $ 772,954 $ 986,604 $ 169,713 $ 56,690
============== ============== ============== ==============
<Caption>
DFA
UNITED CONTINENTAL INTERNATIONAL
KINGDOM SMALL SMALL CAP EMERGING
SMALL COMPANY COMPANY VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value (includes $0, $0, $190,664 and $0
of securities on loan, respectively) $ 13,585 $ 26,226 $ 1,773,837 $ 767,304
Receivables:
Investment Securities Sold -- 40 16,652 --
Dividends, Interest, and Tax Reclaims -- -- 6,484 --
Securities Lending Income -- -- 235 --
Fund Shares Sold -- 1 1,738 467
Prepaid Expenses and Other Assets 8 12 30 23
-------------- -------------- -------------- --------------
Total Assets 13,593 26,279 1,798,976 767,794
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Collateral on Securities Loaned -- -- 204,346 --
Investment Securities Purchased -- -- 38,317 447
Fund Shares Redeemed -- 41 418 20
Due to Advisor -- 9 807 248
Accrued Expenses and Other Liabilities 5 3 199 24
-------------- -------------- -------------- --------------
Total Liabilities 5 53 244,087 739
-------------- -------------- -------------- --------------
NET ASSETS $ 13,588 $ 26,226 $ 1,554,889 $ 767,055
============== ============== ============== ==============
SHARES OUTSTANDING $.01 PAR VALUE 644,730 2,229,458 119,320,358 59,780,265
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 21.07 $ 11.76 $ 13.03 $ 12.83
============== ============== ============== ==============
Investments at Cost $ 7,990 $ 16,053 $ 1,453,849 $ 628,995
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
57
<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 $ 133,829 $ 1,819,578 $ 1,505,645 $ 462,030
Cash -- -- -- 1
Receivables:
Investment Securities Sold -- 42,100 -- --
Dividends, Interest, and Tax Reclaims -- -- -- 3,870
Fund Shares Sold 265 1,787 2,191 276
Prepaid Expenses and Other Assets 14 34 34 51
-------------- -------------- -------------- --------------
Total Assets 134,108 1,863,499 1,507,870 466,228
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Investment Securities Purchased 257 -- 1,157 --
Fund Shares Redeemed 8 43,887 1,034 471
Due To Advisor 49 154 124 77
Accrued Expenses and Other Liabilities 4 65 50 38
-------------- -------------- -------------- --------------
Total Liabilities 318 44,106 2,365 586
-------------- -------------- -------------- --------------
NET ASSETS $ 133,790 $ 1,819,393 $ 1,505,505 $ 465,642
============== ============== ============== ==============
SHARES OUTSTANDING $.01 PAR VALUE 14,367,751 178,073,165 151,614,243 44,175,630
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 9.31 $ 10.22 $ 9.93 $ 10.54
============== ============== ============== ==============
Investments at Cost $ 121,171 $ 1,817,501 $ 1,510,649 $ 473,438
============== ============== ============== ==============
<Caption>
DFA DFA
FIVE-YEAR INTERMEDIATE DFA
GLOBAL GOVERNMENT SHORT-TERM
FIXED INCOME FIXED INCOME MUNICIPAL BOND
PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- --------------
ASSETS:
Investments at Value $ 1,100,983 $ 331,449 $ 304,724
Cash 15 1 --
Receivables:
Dividends, Interest, and Tax Reclaims 13,480 3,968 2,853
Fund Shares Sold 1,447 131 311
Prepaid Expenses and Other Assets 56 31 61
-------------- -------------- --------------
Total Assets 1,115,981 335,580 307,949
-------------- -------------- --------------
LIABILITIES:
Payables:
Fund Shares Redeemed 375 39 214
Unrealized Loss on Forward Currency Contracts 500 -- --
Due To Advisor 231 28 34
Accrued Expenses and Other Liabilities 98 30 40
-------------- -------------- --------------
Total Liabilities 1,204 97 288
-------------- -------------- --------------
NET ASSETS $ 1,114,777 $ 335,483 $ 307,661
============== ============== ==============
SHARES OUTSTANDING $.01 PAR VALUE 107,608,799 28,967,325 30,771,826
============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE $ 10.36 $ 11.58 $ 10.00
============== ============== ==============
Investments at Cost $ 1,124,514 $ 319,745 $ 307,944
============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
58
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<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 -- $ 689 $ 7,931 $ 274
Dividends $ 9,432 -- -- --
Interest 94 -- -- --
Income from Securities Lending 60 -- -- --
Expenses Allocated from Master Funds (307) -- -- --
-------------- -------------- -------------- --------------
Total Investment Income 9,279 689 7,931 274
-------------- -------------- -------------- --------------
EXPENSES
Administrative Service Fees 1,242 121 1,482 190
Accounting & Transfer Agent Fees 128 7 25 7
Legal Fees 8 1 10 1
Audit Fees 2 1 2 1
Filing Fees 18 9 26 10
Shareholders' Reports 19 1 26 1
Directors' Fees and Expenses 10 1 19 --
Other 2 -- 2 1
-------------- -------------- -------------- --------------
Total Expenses 1,429 141 1,592 211
Fees Waived, Expenses Reimbursed and/or Previously
Waived Fees Recovered by Advisor (Note C) (868) -- -- 18
-------------- -------------- -------------- --------------
Net Expenses 561 141 1,592 229
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 8,718 548 6,339 45
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES
Capital Gain Distributions Received from The DFA
Investment Trust Company -- -- -- 11,498
Net Realized Gain (Loss) on Investment Securities Sold (563) (998) (49) (622)
Net Realized Gain (Loss) on Futures 2,776 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 58,845 9,602 161,541 645
Futures (603) -- -- --
-------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 60,455 8,604 161,492 11,521
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 69,173 $ 9,152 $ 167,831 $ 11,566
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
59
<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 $ 4,789 $ 1,647 $ 2,512 --
Dividends -- -- -- $ 24,631
Interest -- -- -- 55
Income from Securities Lending -- -- -- 18
-------------- -------------- -------------- --------------
Total Investment Income 4,789 1,647 2,512 24,704
-------------- -------------- -------------- --------------
EXPENSES
Investment Advisory Services -- -- -- 1,336
Administrative Service Fees 6,969 2,266 5,659 --
Accounting & Transfer Agent Fees 30 17 18 268
Custodian Fees -- -- -- 42
Legal Fees 28 8 14 5
Audit Fees 5 2 4 19
Filing Fees 32 27 18 21
Shareholders' Reports 43 18 20 8
Directors' Fees and Expenses 43 13 8 7
Other 29 3 3 7
-------------- -------------- -------------- --------------
Total Expenses 7,179 2,354 5,744 1,713
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) (2,390) (707) (3,232) 22,991
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES
Capital Gain Distributions Received from The DFA
Investment Trust Company 331,592 494 57,526 --
Net Realized Gain (Loss) on Investment Securities Sold (1,988) (2,736) 55,555 (73)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 82,960 57,771 18,211 23,553
-------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 412,564 55,529 131,292 23,480
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 410,174 $ 54,822 $ 128,060 $ 46,471
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
60
<Page>
<Table>
<Caption>
INTERNATIONAL JAPANESE PACIFIC RIM
LARGE CAP SMALL SMALL SMALL
INTERNATIONAL COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- --------------
INVESTMENT INCOME
Dividends and Tax Reclaims (Net of Foreign Taxes
Withheld of $904, $1,696, $29 and $14, respectively) $ 8,876 $ 15,502 $ 391 $ 511
Interest 55 114 4 3
Income from Securities Lending 305 1,207 69 23
Expenses Allocated from Master Funds -- (1,654) (53) (47)
-------------- -------------- -------------- --------------
Total Investment Income 9,236 15,169 411 490
-------------- -------------- -------------- --------------
EXPENSES
Investment Advisory Services 779 -- -- --
Administrative Service Fees -- 2,301 78 54
Accounting & Transfer Agent Fees 299 17 16 16
Custodian Fees 133 -- -- --
Legal Fees 3 7 -- --
Audit Fees 13 2 1 1
Filing Fees 15 23 9 6
Shareholders' Reports 9 18 -- 1
Directors' Fees and Expenses 3 14 1 --
Other 15 8 -- --
-------------- -------------- -------------- --------------
Total Expenses 1,269 2,390 105 78
Fees Waived, Expenses Reimbursed and/or Previously
Waived Fees Recovered by Advisor (Note C) -- -- (13) (15)
-------------- -------------- -------------- --------------
Net Expenses 1,269 2,390 92 63
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 7,967 12,779 319 427
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 733 14,155 (2,326) (523)
Net Realized Gain (Loss) on Foreign Currency
Transactions 54 2 4 5
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 41,414 114,888 8,986 126
Translation of Foreign Currency Denominated
Amounts (112) (96) (17) --
-------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 42,089 128,949 6,647 (392)
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 50,056 $ 141,728 $ 6,966 $ 35
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
61
<Page>
<Table>
<Caption>
DFA
UNITED CONTINENTAL INTERNATIONAL
KINGDOM SMALL SMALL CAP EMERGING
SMALL COMPANY COMPANY VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- --------------
INVESTMENT INCOME
Dividends and Tax Reclaims (Net of Foreign Taxes
Withheld of $19, $61, $2,078 and $1,506,
respectively) $ 186 $ 374 $ 18,444 $ 10,818
Interest 1 2 169 67
Income from Securities Lending -- 30 1,052 --
Expenses Allocated from Master Funds (19) (37) -- (1,164)
-------------- -------------- -------------- --------------
Total Investment Income 168 369 19,665 9,721
-------------- -------------- -------------- --------------
EXPENSES
Investment Advisory Services -- -- 4,529 --
Administrative Service Fees 27 54 -- 1,478
Accounting & Transfer Agent Fees 16 16 412 34
Custodian Fees -- -- 385 --
Legal Fees -- 1 7 6
Audit Fees 1 1 29 1
Filing Fees 8 10 22 16
Shareholders' Reports 1 1 12 8
Directors' Fees and Expenses -- -- 12 8
Other -- 1 35 3
-------------- -------------- -------------- --------------
Total Expenses 53 84 5,443 1,554
Fees Waived, Expenses Reimbursed and/or Previously
Waived Fees Recovered by Advisor (Note C) (20) (20) -- --
-------------- -------------- -------------- --------------
Net Expenses 33 64 5,443 1,554
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 135 305 14,222 8,167
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 193 312 25,200 2,142
Net Realized Gain (Loss) on Foreign Currency
Transactions (5) 4 157 (563)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 1,383 2,333 142,147 42,077
Translation of Foreign Currency Denominated
Amounts 1 (4) 25 (57)
Deferred Thailand Capital Gains Tax -- -- -- (572)
-------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 1,572 2,645 167,529 43,027
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 1,707 $ 2,950 $ 181,751 $ 51,194
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
62
<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 -- $ 10,911 $ 7,498 --
Dividends and Tax Reclaims (Net of Foreign Taxes
Withheld of $253, $0 $0 and $0, respectively) $ 1,369 -- -- --
Interest 15 -- -- $ 7,571
Expenses Allocated from Master Funds (324) -- -- --
-------------- -------------- -------------- --------------
Total Investment Income 1,060 10,911 7,498 7,571
-------------- -------------- -------------- --------------
EXPENSES
Investment Advisory Services -- -- -- 441
Administrative Service Fees 254 863 682 --
Accounting & Transfer Agent Fees 16 13 12 68
Custodian Fees -- -- -- 19
Legal Fees -- 21 7 3
Audit Fees 1 2 1 11
Filing Fees 10 26 34 15
Shareholders' Reports 1 34 29 7
Directors' Fees and Expenses 1 14 12 2
Other 1 3 6 3
-------------- -------------- -------------- --------------
Total Expenses 284 976 783 569
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 776 9,935 6,715 7,002
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Capital Gain Distributions Received from The DFA
Investment Trust Company -- 9,758 13,460 --
Net Realized Gain (Loss) on Investment Securities
Sold 6,063 (1,609) (182) (210)
Net Realized Gain (Loss) on Foreign Currency
Transactions 46 -- -- --
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency (3,249) (11,473) (17,277) (8,207)
Translation of Foreign Currency Denominated
Amounts (8) -- -- --
Deferred Thailand Capital Gains Tax 208 -- -- --
-------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 3,060 (3,324) (3,999) (8,417)
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 3,836 $ 6,611 $ 2,716 $ (1,415)
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
63
<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 $ 17,441 $ 8,036 $ 2,591
-------------- -------------- --------------
Total Investment Income 17,441 8,036 2,591
-------------- -------------- --------------
EXPENSES
Investment Advisory Services 1,315 164 269
Accounting & Transfer Agent Fees 322 56 96
Custodian Fees 41 14 12
Legal Fees 6 3 2
Audit Fees 23 9 4
Filing Fees 20 9 21
Shareholders' Reports 9 4 2
Directors' Fees and Expenses 8 1 3
Other 12 9 22
-------------- -------------- --------------
Total Expenses 1,756 269 431
Fees Waived, Expenses Reimbursed and/or Previously
Waived Fees Recovered by Advisor (Note C) -- -- (28)
-------------- -------------- --------------
Net Expenses 1,756 269 403
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 15,685 7,767 2,188
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold (1,599) 770 (17)
Net Realized Gain (Loss) on Foreign Currency Transactions 31 -- --
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency (15,789) (9,035) (4,299)
Translation of Foreign Currency Denominated Amounts (492) -- --
-------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY (17,849) (8,265) (4,316)
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ (2,164) $ (498) $ (2,128)
============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
64
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
U.S. LARGE ENHANCED
COMPANY U.S. LARGE COMPANY
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 8,718 $ 13,446 $ 548 $ 1,592
Capital Gain Distributions Received
from The DFA Investment Trust
Company -- -- -- --
Net Realized Gain (Loss) on
Investment Securities Sold (563) (31,857) (998) (14,118)
Net Realized Gain (Loss) on
Futures 2,776 3,693 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities 58,845 133,557 9,602 31,567
Futures (603) (840) -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 69,173 117,999 9,152 19,041
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (8,371) (12,490) (749) (1,697)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
------------ ------------ ------------ ------------
Total Distributions (8,371) (12,490) (749) (1,697)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 227,722 318,836 39,544 67,037
Shares Issued in Lieu of Cash
Distributions 8,080 11,941 743 1,634
Shares Redeemed (81,242) (194,790) (17,640) (45,855)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 154,560 135,987 22,647 22,816
------------ ------------ ------------ ------------
Total Increase (Decrease) 215,362 241,496 31,050 40,160
NET ASSETS
Beginning of Period 1,017,265 775,769 141,489 101,329
------------ ------------ ------------ ------------
End of Period $ 1,232,627 $ 1,017,265 $ 172,539 $ 141,489
============ ============ ============ ============
(1)SHARES ISSUED AND REDEEMED:
Shares Issued 6,928 11,359 4,416 8,890
Shares Issued in Lieu of
Cash Distributions 249 435 83 225
Shares Redeemed (2,471) (7,302) (1,977) (6,000)
------------ ------------ ------------ ------------
4,706 4,492 2,522 3,115
============ ============ ============ ============
<Caption>
U.S. LARGE U.S. SMALL XM
CAP VALUE VALUE
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 6,339 $ 19,207 $ 45 $ 279
Capital Gain Distributions Received
from The DFA Investment Trust
Company -- -- 11,498 6,234
Net Realized Gain (Loss) on
Investment Securities Sold (49) (11,022) (622) (571)
Net Realized Gain (Loss) on
Futures -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities 161,541 260,888 645 19,021
Futures -- -- -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 167,831 269,073 11,566 24,963
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (11,842) (17,524) (423) (444)
Net Short-Term Gains -- -- (6,051) --
Net Long-Term Gains -- -- (5,912) (6,874)
------------ ------------ ------------ ------------
Total Distributions (11,842) (17,524) (12,386) (7,318)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 378,914 508,735 42,647 17,864
Shares Issued in Lieu of Cash
Distributions 11,476 17,143 12,293 7,311
Shares Redeemed (117,544) (244,710) (19,559) (12,850)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 272,846 281,168 35,381 12,325
------------ ------------ ------------ ------------
Total Increase (Decrease) 428,835 532,717 34,561 29,970
NET ASSETS
Beginning of Period 1,709,428 1,176,711 96,924 66,954
------------ ------------ ------------ ------------
End of Period $ 2,138,263 $ 1,709,428 $ 131,485 $ 96,924
============ ============ ============ ============
(1)SHARES ISSUED AND REDEEMED:
Shares Issued 21,692 36,285 2,886 1,391
Shares Issued in Lieu of
Cash Distributions 671 1,253 880 687
Shares Redeemed (6,752) (17,987) (1,334) (1,070)
------------ ------------ ------------ ------------
15,611 19,551 2,432 1,008
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
65
<Page>
<Table>
<Caption>
U.S. SMALL CAP U.S. SMALL
VALUE CAP
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ (2,390) $ 14,560 $ (707) $ 4,078
Capital Gain Distributions Received
from The DFA Investment Trust
Company 331,592 217,230 494 --
Net Realized Gain (Loss) on
Investment Securities Sold (1,988) (35,531) (2,736) (9,794)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities 82,960 1,099,617 57,771 303,474
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 410,174 1,295,876 54,822 297,758
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (15,429) (12,117) (4,681) (3,458)
Net Short-Term Gains (51,847) -- (494) --
Net Long-Term Gains (216,189) (271,483) -- (4,842)
------------ ------------ ------------ ------------
Total Distributions (283,465) (283,600) (5,175) (8,300)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 721,387 859,057 486,865 339,446
Shares Issued in Lieu of Cash
Distributions 275,232 279,462 4,957 8,065
Shares Redeemed (565,022) (913,699) (151,880) (149,814)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Capital Share Transactions 431,597 224,820 339,942 197,697
------------ ------------ ------------ ------------
Total Increase (Decrease) 558,306 1,237,096 389,589 487,155
NET ASSETS
Beginning of Period 4,209,747 2,972,651 1,134,027 646,872
------------ ------------ ------------ ------------
End of Period $ 4,768,053 $ 4,209,747 $ 1,523,616 $ 1,134,027
============ ============ ============ ============
(1)SHARES ISSUED AND REDEEMED:
Shares Issued 29,957 47,932 28,063 25,828
Shares Issued in Lieu of
Cash Distributions 12,189 17,812 299 704
Shares Redeemed (23,740) (52,635) (8,778) (11,911)
------------ ------------ ------------ ------------
18,406 13,109 19,584 14,621
============ ============ ============ ============
<Caption>
U.S. MICRO DFA REAL ESTATE
CAP SECURITIES
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ (3,232) $ 4,910 $ 22,991 $ 22,917
Capital Gain Distributions Received
from The DFA Investment Trust
Company 57,526 22,183 -- --
Net Realized Gain (Loss) on
Investment Securities Sold 55,555 2,669 (73) 6,763
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities 18,211 843,705 23,553 136,132
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 128,060 873,467 46,471 165,812
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (5,488) (2,812) (35,650) (20,722)
Net Short-Term Gains (35,761) -- (256) --
Net Long-Term Gains (33,946) (24,249) (1,406) (2,261)
------------ ------------ ------------ ------------
Total Distributions (75,195) (27,061) (37,312) (22,983)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 395,488 566,975 206,236 289,454
Shares Issued in Lieu of Cash
Distributions 72,116 26,396 36,668 22,586
Shares Redeemed (406,743) (426,402) (79,935) (84,728)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Capital Share Transactions 60,861 166,969 162,969 227,312
------------ ------------ ------------ ------------
Total Increase (Decrease) 113,726 1,013,375 172,128 370,141
NET ASSETS
Beginning of Period 2,622,847 1,609,472 783,405 413,264
------------ ------------ ------------ ------------
End of Period $ 2,736,573 $ 2,622,847 $ 955,533 $ 783,405
============ ============ ============ ============
(1)SHARES ISSUED AND REDEEMED:
Shares Issued 28,457 56,707 10,908 17,797
Shares Issued in Lieu of
Cash Distributions 5,530 3,041 1,993 1,588
Shares Redeemed (29,402) (40,652) (4,271) (5,421)
------------ ------------ ------------ ------------
4,585 19,096 8,630 13,964
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
66
<Page>
<Table>
<Caption>
LARGE CAP INTERNATIONAL
INTERNATIONAL SMALL COMPANY
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 7,967 $ 8,058 $ 12,779 $ 12,506
Net Realized Gain (Loss) on Investment
Securities Sold 733 -- 14,155 10,185
Net Realized Gain (Loss) on Foreign Currency
Transactions 54 99 2 309
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 41,414 81,602 114,888 249,662
Translation of Foreign Currency
Denominated Amounts (112) 21 (96) 102
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 50,056 89,780 141,728 272,764
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (9,522) (5,772) (15,304) (8,564)
------------ ------------ ------------ ------------
Total Distributions (9,522) (5,772) (15,304) (8,564)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 163,365 179,697 281,221 281,724
Shares Issued in Lieu of Cash
Distributions 9,243 5,551 15,304 8,551
Shares Redeemed (42,457) (102,500) (82,073) (109,166)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 130,151 82,748 214,452 181,109
------------ ------------ ------------ ------------
Total Increase (Decrease) 170,685 166,756 340,876 445,309
NET ASSETS
Beginning of Period 504,123 337,367 909,887 464,578
------------ ------------ ------------ ------------
End of Period $ 674,808 $ 504,123 $ 1,250,763 $ 909,887
============ ============ ============ ============
(1)SHARES ISSUED AND REDEEMED:
Shares Issued 10,498 14,472 23,387 31,592
Shares Issued in Lieu of
Cash Distributions 615 483 1,381 1,199
Shares Redeemed (2,702) (8,433) (6,748) (12,776)
------------ ------------ ------------ ------------
8,411 6,522 18,020 20,015
============ ============ ============ ============
<Caption>
JAPANESE PACIFIC RIM
SMALL COMPANY SMALL COMPANY
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 319 $ 381 $ 427 $ 809
Net Realized Gain (Loss) on Investment
Securities Sold (2,326) (19,891) (523) (6,175)
Net Realized Gain (Loss) on Foreign Currency
Transactions 4 7 5 6
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 8,986 30,910 126 15,862
Translation of Foreign Currency
Denominated Amounts (17) -- -- 1
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 6,966 11,407 35 10,503
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (396) (575) (828) (2,468)
------------ ------------ ------------ ------------
Total Distributions (396) (575) (828) (2,468)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 24,910 8,796 10,249 5,381
Shares Issued in Lieu of Cash
Distributions 396 575 828 2,468
Shares Redeemed (5,586) (49,309) (5,573) (49,691)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 19,720 (39,938) 5,504 (41,842)
------------ ------------ ------------ ------------
Total Increase (Decrease) 26,290 (29,106) 4,711 (33,807)
NET ASSETS
Beginning of Period 22,713 51,819 20,378 54,185
------------ ------------ ------------ ------------
End of Period $ 49,003 $ 22,713 $ 25,089 $ 20,378
============ ============ ============ ============
(1)SHARES ISSUED AND REDEEMED:
Shares Issued 2,033 906 807 530
Shares Issued in Lieu of
Cash Distributions 37 82 71 328
Shares Redeemed (431) (5,808) (442) (6,018)
------------ ------------ ------------ ------------
1,639 (4,820) 436 (5,160)
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
67
<Page>
<Table>
<Caption>
UNITED KINGDOM CONTINENTAL SMALL
SMALL COMPANY COMPANY
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 135 $ 476 $ 305 $ 643
Net Realized Gain (Loss) on Investment
Securities Sold 193 (102) 312 3,377
Net Realized Gain (Loss) on Foreign
Currency Transactions (5) 3 4 76
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 1,383 4,688 2,333 6,875
Translation of Foreign Currency
Denominated Amounts 1 1 (4) (17)
Deferred Thailand Capital Gains Tax -- -- -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in
Net Assets Resulting from Operations 1,707 5,066 2,950 10,954
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (506) (1,017) (770) (1,497)
Net Short-Term Gains -- -- (290) (305)
Net Long-Term Gains -- (599) (3,085) (2,582)
------------ ------------ ------------ ------------
Total Distributions (506) (1,616) (4,145) (4,384)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 1,453 1,791 4,752 4,919
Shares Issued in Lieu of Cash
Distributions 506 1,616 4,145 4,384
Shares Redeemed (1,781) (23,633) (5,852) (52,240)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 178 (20,226) 3,045 (42,937)
------------ ------------ ------------ ------------
Total Increase (Decrease) 1,379 (16,776) 1,850 (36,367)
NET ASSETS
Beginning of Period 12,209 28,985 24,376 60,743
------------ ------------ ------------ ------------
End of Period $ 13,588 $ 12,209 $ 26,226 $ 24,376
============ ============ ============ ============
(1)SHARES ISSUED AND REDEEMED:
Shares Issued 69 118 405 510
Shares Issued in Lieu of
Cash Distributions 27 122 384 528
Shares Redeemed (85) (1,641) (494) (5,903)
------------ ------------ ------------ ------------
11 (1,401) 295 (4,865)
============ ============ ============ ============
<Caption>
DFA
INTERNATIONAL
SMALL CAP VALUE EMERGING MARKETS
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 14,222 $ 13,221 $ 8,167 $ 7,421
Net Realized Gain (Loss) on Investment
Securities Sold 25,200 10,593 2,142 (5,984)
Net Realized Gain (Loss) on Foreign
Currency Transactions 157 438 (563) (276)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 142,146 333,818 42,077 144,491
Translation of Foreign Currency
Denominated Amounts 25 39 (57) 9
Deferred Thailand Capital Gains Tax -- -- (572) (1,778)
------------ ------------ ------------ ------------
Net Increase (Decrease) in
Net Assets Resulting from Operations 181,750 358,109 51,194 143,883
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (18,543) (11,202) (7,854) (4,473)
Net Short-Term Gains (197) -- -- --
Net Long-Term Gains (8,285) -- -- --
------------ ------------ ------------ ------------
Total Distributions (27,025) (11,202) (7,854) (4,473)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 381,417 332,252 176,412 178,201
Shares Issued in Lieu of Cash
Distributions 27,025 11,202 7,815 4,452
Shares Redeemed (103,975) (171,201) (54,588) (61,853)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 304,467 172,253 129,639 120,800
------------ ------------ ------------ ------------
Total Increase (Decrease) 459,192 519,160 172,979 260,210
NET ASSETS
Beginning of Period 1,095,697 576,537 594,076 333,866
------------ ------------ ------------ ------------
End of Period $ 1,554,889 $ 1,095,697 $ 767,055 $ 594,076
============ ============ ============ ============
(1)SHARES ISSUED AND REDEEMED:
Shares Issued 30,024 35,708 13,197 17,445
Shares Issued in Lieu of
Cash Distributions 2,332 1,564 622 528
Shares Redeemed (8,111) (19,920) (4,086) (6,524)
------------ ------------ ------------ ------------
24,245 17,352 9,733 11,449
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
68
<Page>
<Table>
<Caption>
EMERGING MARKETS DFA ONE-YEAR
SMALL CAP FIXED INCOME
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 776 $ 831 $ 9,935 $ 18,271
Capital Gain Distributions Received
from The DFA Investment Trust
Company -- -- 9,758 12,033
Net Realized Gain (Loss) on
Investment Securities Sold 6,063 637 (1,609) (1,382)
Net Realized Gain (Loss) on
Foreign Currency Transactions 46 (90) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (3,249) 20,926 (11,473) (8,369)
Translation of Foreign Currency
Denominated Amounts (8) (1) -- --
Deferred Thailand Capital Gains Tax 208 (486) -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 3,836 21,817 6,611 20,553
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (953) (338) (10,331) (18,230)
Net Short-Term Gains (216) -- (9,586) (12,023)
Net Long-Term Gains (432) (273) -- --
------------ ------------ ------------ ------------
Total Distributions (1,601) (611) (19,917) (30,253)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 54,967 41,560 844,794 1,051,658
Shares Issued in Lieu of Cash
Distributions 1,598 609 18,579 28,015
Shares Redeemed (9,363) (5,538) (485,410) (607,544)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Capital Share Transactions 47,202 36,631 377,963 472,129
------------ ------------ ------------ ------------
Total Increase (Decrease) 49,437 57,837 364,657 462,429
NET ASSETS
Beginning of Period 84,353 26,516 1,454,736 992,307
------------ ------------ ------------ ------------
End of Period $ 133,790 $ 84,353 $ 1,819,393 $ 1,454,736
============ ============ ============ ============
(1)SHARES ISSUED AND REDEEMED:
Shares Issued 5,491 5,844 82,341 101,940
Shares Issued in Lieu of
Cash Distributions 174 106 1,816 2,725
Shares Redeemed (953) (799) (47,324) (58,921)
------------ ------------ ------------ ------------
4,712 5,151 36,833 45,744
============ ============ ============ ============
<Caption>
DFA TWO-YEAR DFA FIVE-YEAR
GLOBAL FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 6,715 $ 16,557 $ 7,002 $ 11,583
Capital Gain Distributions Received
from The DFA Investment Trust
Company 13,460 10,965 -- --
Net Realized Gain (Loss) on
Investment Securities Sold (182) (338) (210) 15,782
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (17,277) (7,700) (8,207) (14,993)
Translation of Foreign Currency
Denominated Amounts -- -- -- --
Deferred Thailand Capital Gains Tax -- -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 2,716 19,484 (1,415) 12,372
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (9,179) (28,481) (6,797) (11,597)
Net Short-Term Gains (13,106) -- (429) --
Net Long-Term Gains -- -- (13,164) --
------------ ------------ ------------ ------------
Total Distributions (22,285) (28,481) (20,390) (11,597)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 451,893 571,993 121,694 186,798
Shares Issued in Lieu of Cash
Distributions 22,151 28,145 20,199 11,482
Shares Redeemed (144,042) (195,283) (57,438) (111,353)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Capital Share Transactions 330,002 404,855 84,455 86,927
------------ ------------ ------------ ------------
Total Increase (Decrease) 310,433 395,858 62,650 87,702
NET ASSETS
Beginning of Period 1,195,072 799,214 402,992 315,290
------------ ------------ ------------ ------------
End of Period $ 1,505,505 $ 1,195,072 $ 465,642 $ 402,992
============ ============ ============ ============
(1)SHARES ISSUED AND REDEEMED:
Shares Issued 45,157 56,679 11,302 16,715
Shares Issued in Lieu of
Cash Distributions 2,218 2,800 1,900 1,032
Shares Redeemed (14,359) (19,330) (5,295) (10,015)
------------ ------------ ------------ ------------
33,016 40,149 7,907 7,732
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
69
<Page>
<Table>
<Caption>
DFA
DFA INTERMEDIATE
FIVE-YEAR GOVERNMENT
GLOBAL FIXED INCOME FIXED INCOME
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 15,685 $ 26,914 $ 7,767 $ 14,622
Net Realized Gain (Loss) on Investment
Securities Sold (1,599) 37,435 770 7,497
Net Realized Gain (Loss) on Foreign Currency
Transactions 31 (826) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency (15,789) (30,554) (9,035) (6,149)
Translation of Foreign Currency
Denominated Amounts (492) 708 -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations (2,164) 33,677 (498) 15,970
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (14,476) (28,456) (7,334) (15,142)
Net Short-Term Gains (7,366) (4,472) (630) --
Net Long-Term Gains (30,042) (2,655) (6,872) (4,808)
------------ ------------ ------------ ------------
Total Distributions (51,884) (35,583) (14,836) (19,950)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 270,601 390,384 40,804 110,106
Shares Issued in Lieu of Cash Distributions 51,515 35,163 14,736 19,335
Shares Redeemed (122,728) (215,919) (20,957) (109,286)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital
Share Transactions 199,386 209,628 34,583 20,155
------------ ------------ ------------ ------------
Total Increase (Decrease) 145,338 207,722 19,249 16,175
NET ASSETS
Beginning of Period 969,439 761,717 316,234 300,059
------------ ------------ ------------ ------------
End of Period $ 1,114,777 $ 969,439 $ 335,483 $ 316,234
============ ============ ============ ============
(1)SHARES ISSUED AND REDEEMED:
Shares Issued 25,549 35,473 3,439 8,969
Shares Issued in Lieu of Cash Distributions 4,900 3,238 1,242 1,573
Shares Redeemed (11,583) (19,651) (1,764) (8,700)
------------ ------------ ------------ ------------
18,866 19,060 2,917 1,842
============ ============ ============ ============
<Caption>
DFA
SHORT-TERM
MUNICIPAL BOND
PORTFOLIO
---------------------------
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 2,188 $ 2,288
Net Realized Gain (Loss) on Investment
Securities Sold (17) --
Net Realized Gain (Loss) on Foreign Currency
Transactions -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency (4,299) 1,434
Translation of Foreign Currency
Denominated Amounts -- --
------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations (2,128) 3,722
------------ ------------
Distributions From:
Net Investment Income (2,054) (2,097)
Net Short-Term Gains -- --
Net Long-Term Gains -- --
------------ ------------
Total Distributions (2,054) (2,097)
------------ ------------
Capital Share Transactions (1):
Shares Issued 121,458 159,528
Shares Issued in Lieu of Cash Distributions 2,040 2,083
Shares Redeemed (25,044) (28,666)
------------ ------------
Net Increase (Decrease) from Capital
Share Transactions 98,454 132,945
------------ ------------
Total Increase (Decrease) 94,272 134,570
NET ASSETS
Beginning of Period 213,389 78,819
------------ ------------
End of Period $ 307,661 $ 213,389
============ ============
(1)SHARES ISSUED AND REDEEMED:
Shares Issued 11,987 15,782
Shares Issued in Lieu of Cash Distributions 202 206
Shares Redeemed (2,474) (2,837)
------------ ------------
9,715 13,151
============ ============
</Table>
See accompanying Notes to the Financial Statements.
70
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
U.S. LARGE COMPANY PORTFOLIO
-------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 31.16 $ 27.56 $ 33.51 $ 38.70 $ 41.08 $ 34.61
------------- ------------- ------------ ------------ ------------- ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.24 0.47 0.42 0.42 0.43 0.45
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.85 3.57 (5.95) (5.19) (2.16) 6.67
------------- ------------- ------------ ------------ ------------- ------------
Total From Investment Operations 2.09 4.04 (5.53) (4.77) (1.73) 7.12
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.25) (0.44) (0.42) (0.42) (0.40) (0.48)
Net Realized Gains -- -- -- -- (0.25) (0.17)
Tax Return of Capital -- -- -- -- -- --
------------- ------------- ------------ ------------ ------------- ------------
Total Distributions (0.25) (0.44) (0.42) (0.42) (0.65) (0.65)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 33.00 $ 31.16 $ 27.56 $ 33.51 $ 38.70 $ 41.08
=================================================================================================================================
Total Return 6.71%# 14.90% (16.64)% (12.41)% (4.33)% 20.76%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,232,627 $ 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% 0.15%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived
fees)** 0.30%* 0.30% 0.30% 0.30% 0.32% 0.31%
Ratio of Net Investment Income to
Average Net Assets 1.51%* 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
and/or recovery of previously
waived fees) 1.36%* 1.51% 1.28% 1.01% 0.85% 1.02%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series 1%# 8% 11% 8% 8% 4%
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
ENHANCED U.S. LARGE COMPANY PORTFOLIO
------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 8.42 $ 7.41 $ 8.91 $ 11.91 $ 15.12 $ 14.27
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.03 0.10 0.16 0.06 1.46 1.54
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.52 1.02 (1.52) (1.27) (2.00) 1.12
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment Operations 0.55 1.12 (1.36) (1.21) (0.54) 2.66
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.04) (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 (0.04) (0.11) (0.14) (1.79) (2.67) (1.81)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 8.93 $ 8.42 $ 7.41 $ 8.91 $ 11.91 $ 15.12
================================================================================================================================
Total Return 6.45%# 15.39% (15.40)% (11.90)% (4.84)% 20.31%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 172,539 $ 141,489 $ 101,329 $ 90,780 $ 89,878 $ 102,200
Ratio of Expenses to Average Net
Assets** 0.36%* 0.36% 0.37% 0.39% 0.40% 0.40%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived
fees)** 0.36%* 0.36% 0.37% 0.39% 0.40% 0.40%
Ratio of Net Investment Income to
Average Net Assets 0.68%* 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 and/or recovery of
previously waived fees) 0.68%* 1.32% 2.00% 0.36% 10.58% 6.27%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series 69%# 138% 183% 122% 71% 82%
- --------------------------------------------------------------------------------------------------------------------------------
</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 respective Master Fund Series.
See accompanying Notes to Financial Statements.
71
<Page>
<Table>
<Caption>
U.S. LARGE CAP VALUE PORTFOLIO
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 16.14 $ 13.63 $ 16.97 $ 18.36 $ 20.09 $ 20.21
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.06 0.20 0.19 0.29 0.36 0.34
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.51 2.50 (1.51) 1.46 0.10 0.54
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment Operations 1.57 2.70 (1.32) 1.75 0.46 0.88
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.11) (0.19) (0.21) (0.30) (0.36) (0.35)
Net Realized Gains -- -- (1.81) (2.84) (1.83) (0.65)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.11) (0.19) (2.02) (3.14) (2.19) (1.00)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.60 $ 16.14 $ 13.63 $ 16.97 $ 18.36 $ 20.09
===============================================================================================================================
Total Return 9.74%# 20.10% (8.77)% 10.83% 2.85% 4.51%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,138,263 $ 1,709,428 $ 1,176,711 $ 1,166,611 $ 1,245,177 $ 1,177,762
Ratio of Expenses to Average Net
Assets** 0.31%* 0.30% 0.32% 0.31% 0.33% 0.33%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived
fees)** 0.31%* 0.30% 0.32% 0.31% 0.33% 0.33%
Ratio of Net Investment Income to
Average Net Assets 0.64%* 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 and/or recovery of
previously waived fees) 0.64%* 1.34% 1.25% 1.59% 1.97% 1.63%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series 2%# 7% 9% 6% 26% 43%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
U.S. SMALL XM VALUE PORTFOLIO
-------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR FEB. 23,
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 15.14 $ 12.41 $ 13.03 $ 11.06 $ 10.00
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.01 0.05 0.07 0.14 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.49 4.12 0.18 2.38 0.91
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 1.50 4.17 0.25 2.52 1.06
- ----------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.06) (0.09) (0.12) (0.18) --
Net Realized Gains (1.70) (1.35) (0.75) (0.37) --
------------ ------------ ------------ ------------ ------------
Total Distributions (1.76) (1.44) (0.87) (0.55) --
- ----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.88 $ 15.14 $ 12.41 $ 13.03 $ 11.06
================================================================================================================
Total Return 10.68%# 38.43% 1.77% 23.77% 10.60%#
- ----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 131,485 $ 96,924 $ 66,954 $ 69,130 $ 67,638
Ratio of Expenses to Average Net
Assets** 0.50%* 0.47% 0.50% 0.47% 0.50%*
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived
fees)** 0.47%* 0.48% 0.52% 0.47% 0.85%*
Ratio of Net Investment Income to
Average Net Assets 0.07%* 0.41% 0.73% 1.03% 8.77%*
Ratio of Net Investment Income to
Average Net Assets (excluding
waivers and assumption of
expenses and/or recovery of
previously waived fees) 0.10%* 0.40% 0.71% 1.03% 8.42%*
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series 23%# 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 respective Master Fund Series.
(a) For the year ended November 30, 2000.
See accompanying Notes to Financial Statements.
72
<Page>
<Table>
<Caption>
U.S. SMALL CAP VALUE PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 23.26 $ 17.70 $ 21.11 $ 18.79 $ 19.17 $ 19.09
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) (0.01) 0.08 0.08 0.12 0.12 0.09
Net Gains (Losses) on
Securities (Realized and
Unrealized) 2.23 7.21 0.19 3.95 1.11 1.52
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 2.22 7.29 0.27 4.07 1.23 1.61
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.09) (0.07) (0.12) (0.13) (0.10) (0.08)
Net Realized Gains (1.48) (1.66) (3.56) (1.62) (1.51) (1.45)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (1.57) (1.73) (3.68) (1.75) (1.61) (1.53)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 23.91 $ 23.26 $ 17.70 $ 21.11 $ 18.79 $ 19.17
================================================================================================================================
Total Return 9.93%# 45.92% 0.71% 23.47% 6.99% 9.39%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 4,768,053 $ 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% 0.56% 0.58%
Ratio of Net Investment
Income to Average Net
Assets (0.10)%* 0.46% 0.42% 0.54% 0.60% 0.49%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series 13%# 35% 30% 13% 32% 29%
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
U.S. SMALL CAP PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 16.52 $ 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) 0.83 4.65 (1.16) 1.57 0.78 2.18
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 0.83 4.71 (1.09) 1.66 0.86 2.26
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.07) (0.08) (0.09) (0.08) (0.07)
Net Realized Gains (0.01) (0.09) (1.29) (1.41) (1.19) (1.28)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.08) (0.16) (1.37) (1.50) (1.27) (1.35)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 17.27 $ 16.52 $ 11.97 $ 14.43 $ 14.27 $ 14.68
================================================================================================================================
Total Return 5.01%# 39.89% (8.73)% 12.70% 6.09% 18.26%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 1,523,616 $ 1,134,027 $ 646,872 $ 784,278 $ 585,873 $ 398,665
Ratio of Expenses to Average
Net Assets** 0.41%* 0.42% 0.41% 0.42% 0.43% 0.43%
Ratio of Net Investment
Income to Average Net
Assets (0.10)%* 0.52% 0.47% 0.62% 0.63% 0.62%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series 7%# 16% 34% 13% 38% 29%
- --------------------------------------------------------------------------------------------------------------------------------
</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 respective Master Fund Series.
See accompanying Notes to Financial Statements.
73
<Page>
<Table>
<Caption>
U.S. MICRO CAP PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 13.34 $ 9.07 $ 11.09 $ 11.93 $ 12.54 $ 10.65
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) (0.02) 0.03 0.03 0.05 0.04 0.04
Net Gains (Losses) on
Securities (Realized and
Unrealized) 0.66 4.40 (0.29) 1.59 0.61 2.00
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 0.64 4.43 (0.26) 1.64 0.65 2.04
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.03) (0.02) (0.05) (0.05) (0.04) (0.02)
Net Realized Gains (0.35) (0.14) (1.71) (2.43) (1.22) (0.13)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.38) (0.16) (1.76) (2.48) (1.26) (0.15)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 13.60 $ 13.34 $ 9.07 $ 11.09 $ 11.93 $ 12.54
================================================================================================================================
Total Return 4.93%# 49.69% (3.31)% 17.22% 5.36% 19.47%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 2,736,573 $ 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) 0.56%(a) 0.61%(a)
Ratio of Net Investment
Income to Average Net
Assets (0.23)%* 0.25% 0.24% 0.41% 0.34% 0.30%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series 14%# 19% 19% 14% 37% 23%
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
DFA REAL ESTATE SECURITIES PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 18.80 $ 14.91 $ 15.02 $ 13.51 $ 11.50 $ 13.00
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.54 0.64 0.54 0.82 0.76 0.77
Net Gains (Losses) on
Securities (Realized and
Unrealized) 0.52 4.08 0.18 1.49 1.90 (1.62)
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 1.06 4.72 0.72 2.31 2.66 (0.85)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.71) (0.75) (0.75) (0.80) (0.65) (0.65)
Net Realized Gains (0.16) (0.08) (0.08) -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.87) (0.83) (0.83) (0.80) (0.65) (0.65)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 18.99 $ 18.80 $ 14.91 $ 15.02 $ 13.51 $ 11.50
================================================================================================================================
Total Return 5.87%# 33.48% 5.36% 17.76% 24.49% (6.75)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 955,533 $ 783,405 $ 413,264 $ 283,732 $ 210,231 $ 130,039
Ratio of Expenses to Average
Net Assets 0.38%* 0.41% 0.42% 0.43% 0.45% 0.47%
Ratio of Net Investment
Income to Average Net
Assets 5.16%* 4.19% 4.71% 5.55% 6.06% 6.82%
Portfolio Turnover Rate 0%# 2% 2% 6% 7% 8%
Portfolio Turnover Rate of
Master Fund Series N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
(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 respective Master Fund Series.
N/A+ Not applicable, as the DFA Real Estate Securities Portfolio is a
stand-alone registered investment company.
See accompanying Notes to Financial Statements.
74
<Page>
<Table>
<Caption>
LARGE CAP INTERNATIONAL PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41 $ 16.28
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.18 0.25 0.22 0.25 0.23 0.20
Net Gains (Losses) on
Securities (Realized and
Unrealized) 1.19 2.51 (1.79) (3.38) (1.96) 3.19
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 1.37 2.76 (1.57) (3.13) (1.73) 3.39
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.26) (0.21) (0.23) (0.22) (0.21) (0.26)
Net Realized Gains -- -- -- (0.05) (0.17) --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.26) (0.21) (0.23) (0.27) (0.38) (0.26)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 15.76 $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41
================================================================================================================================
Total Return 9.42%# 23.32% (11.50)% (18.42)% (9.19)% 21.12%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 674,808 $ 504,123 $ 337,367 $ 344,871 $ 358,638 $ 268,340
Ratio of Expenses to Average
Net Assets 0.41%* 0.43% 0.44% 0.45% 0.47% 0.53%
Ratio of Net Investment
Income to Average Net
Assets 2.56%* 2.10% 1.74% 1.65% 1.21% 1.38%
Portfolio Turnover Rate 0%# 1% 9% 4% 1% 2%
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
INTERNATIONAL SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 11.00 $ 7.41 $ 7.67 $ 8.49 $ 9.13 $ 7.82
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.13 0.16 0.14 0.15 0.17 0.15
Net Gains (Losses) on
Securities (Realized and
Unrealized) 1.46 3.57 (0.25) (0.67) (0.62) 1.31
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 1.59 3.73 (0.11) (0.52) (0.45) 1.46
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.14) (0.15) (0.17) (0.19) (0.15)
Net Realized Gains -- -- -- (0.13) -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.18) (0.14) (0.15) (0.30) (0.19) (0.15)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 12.41 $ 11.00 $ 7.41 $ 7.67 $ 8.49 $ 9.13
================================================================================================================================
Total Return 14.62%# 51.28% (1.39)% (6.36)% (5.01)% 19.07%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 1,250,763 $ 909,887 $ 464,578 $ 356,200 $ 309,060 $ 250,442
Ratio of Expenses to Average
Net Assets 0.70%*(a) 0.71%(a) 0.71%(a) 0.72%(a) 0.71%(a) 0.75%(a)
Ratio of Net Investment
Income to Average Net
Assets 2.22%* 1.97% 1.83% 2.02% 2.10% 1.76%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
(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 respective Master Fund Series.
See accompanying Notes to Financial Statements.
75
<Page>
<Table>
<Caption>
JAPANESE SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 10.80 $ 7.49 $ 8.42 $ 9.90 $ 11.11 $ 9.10
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.18 0.05 0.06 0.09 0.10 0.05
Net Gains (Losses) on
Securities (Realized and
Unrealized) 2.31 3.35 (0.90) (1.46) (1.24) 2.02
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 2.49 3.40 (0.84) (1.37) (1.14) 2.07
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.19) (0.09) (0.09) (0.11) (0.07) (0.06)
Net Realized Gains -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.19) (0.09) (0.09) (0.11) (0.07) (0.06)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 13.10 $ 10.80 $ 7.49 $ 8.42 $ 9.90 $ 11.11
================================================================================================================================
Total Return 23.40%# 46.01% (9.96)% (13.94)% (10.23)% 22.96%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 49,003 $ 22,713 $ 51,819 $ 76,570 $ 101,115 $ 144,533
Ratio of Expenses to Average
Net Assets** 0.75%* 0.75% 0.74% 0.74% 0.72% 0.73%
Ratio of Expenses to Average
Net Assets (excluding
waivers and assumption of
expenses and/or recovery
of previously waived
fees)** 0.82%* 0.85% 0.75% 0.74% 0.72% 0.73%
Ratio of Net Investment
Income to Average Net
Assets 1.63%* 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
and/or recovery of
previously waived fees)** 1.56%* 1.08% 0.75% 0.93% 0.93% 0.61%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series 1%# 16% 5% 9% 5% 6%
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
PACIFIC RIM SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 12.10 $ 7.92 $ 7.70 $ 7.89 $ 9.76 $ 6.55
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.36 (0.13) 0.24 0.25 0.34 0.20
Net Gains (Losses) on
Securities (Realized and
Unrealized) (0.15) 4.69 0.27 (0.06) (1.80) 3.23
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 0.21 4.56 0.51 0.19 (1.46) 3.43
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.47) (0.38) (0.29) (0.38) (0.41) (0.22)
Net Realized Gains -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.47) (0.38) (0.29) (0.38) (0.41) (0.22)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 11.84 $ 12.10 $ 7.92 $ 7.70 $ 7.89 $ 9.76
================================================================================================================================
Total Return 1.75%# 60.57% 6.92% 2.32% (15.65)% 54.36%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 25,089 $ 20,378 $ 54,185 $ 74,185 $ 88,307 $ 131,782
Ratio of Expenses to Average
Net Assets** 0.82%* 0.78% 0.79% 0.75% 0.74% 0.94%
Ratio of Expenses to Average
Net Assets (excluding
waivers and assumption of
expenses and/or recovery
of previously waived
fees)** 0.93%* 0.88% 0.80% 0.75% 0.74% 0.94%
Ratio of Net Investment
Income to Average Net
Assets 3.18%* 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
and/or recovery of
previously waived fees)** 3.07%* 2.77% 3.22% 3.18% 3.64% 2.50%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series 9%# 15% 26% 10% 7% 34%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
** 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.
76
<Page>
<Table>
<Caption>
UNITED KINGDOM SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 19.26 $ 14.24 $ 16.23 $ 19.31 $ 24.22 $ 21.63
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.21 0.62 0.50 0.47 0.65 0.77
Net Gains (Losses) on
Securities (Realized and
Unrealized) 2.40 5.26 (1.23) (1.26) (1.89) 5.67
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 2.61 5.88 (0.73) (0.79) (1.24) 6.44
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.80) (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 (0.80) (0.86) (1.26) (2.29) (3.67) (3.85)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 21.07 $ 19.26 $ 14.24 $ 16.23 $ 19.31 $ 24.22
================================================================================================================================
Total Return 14.08%# 44.01% (5.13)% (5.36)% (6.57)% 36.08%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 13,588 $ 12,209 $ 28,985 $ 41,143 $ 56,400 $ 83,826
Ratio of Expenses to Average
Net Assets** 0.75%* 0.73% 0.73% 0.74% 0.73% 0.72%
Ratio of Expenses to Average
Net Assets (excluding
waivers and assumption of
expenses and/or recovery
of previously waived
fees)** 1.04%* 0.96% 0.80% 0.79% 0.74% 0.72%
Ratio of Net Investment
Income to Average Net
Assets 1.97%* 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
and/or recovery of
previously waived fees)** 1.68%* 2.60% 2.48% 2.33% 2.58% 3.11%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series 1%# 7% 6% 14% 11% 5%
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
CONTINENTAL SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 12.60 $ 8.93 $ 9.96 $ 12.33 $ 14.29 $ 17.42
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.13 0.49 0.23 0.27 0.33 0.24
Net Gains (Losses) on
Securities (Realized and
Unrealized) 1.23 3.83 0.02 (0.85) (0.01) (1.26)
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 1.36 4.32 0.25 (0.58) 0.32 (1.02)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.41) (0.22) (0.27) (0.32) (0.25) (0.29)
Net Realized Gains (1.79) (0.43) (1.01) (1.47) (2.03) (1.82)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (2.20) (0.65) (1.28) (1.79) (2.28) (2.11)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 11.76 $ 12.60 $ 8.93 $ 9.96 $ 12.33 $ 14.29
================================================================================================================================
Total Return 12.35%# 52.10% 2.71% (5.85)% 2.26% (6.26)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 26,226 $ 24,376 $ 60,743 $ 82,883 $ 110,220 $ 160,743
Ratio of Expenses to Average
Net Assets** 0.75%* 0.77% 0.78% 0.76% 0.72% 0.70%
Ratio of Expenses to Average
Net Assets (excluding
waivers and assumption of
expenses and/or recovery
of previously waived
fees)** 0.90%* 0.88% 0.78% 0.76% 0.72% 0.70%
Ratio of Net Investment
Income to Average Net
Assets 2.27%* 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
and/or recovery of
previously waived fees)** 2.12%* 1.96% 1.84% 2.28% 1.92% 1.56%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series 2%# 11% 12% 12% 9% 11%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
** Represents the combined ratios for the portfolio and its pro-rata share of
its Master Fund Series.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
77
<Page>
<Table>
<Caption>
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 11.52 $ 7.42 $ 7.39 $ 7.84 $ 8.49 $ 7.54
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.13 0.16 0.15 0.19 0.18 0.14
Net Gains (Losses) on
Securities (Realized and
Unrealized) 1.66 4.09 0.06 (0.20) (0.63) 1.12
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 1.79 4.25 0.21 (0.01) (0.45) 1.26
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.19) (0.15) (0.18) (0.18) (0.20) (0.15)
Net Realized Gains (0.09) -- -- (0.26) -- (0.16)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.28) (0.15) (0.18) (0.44) (0.20) (0.31)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 13.03 $ 11.52 $ 7.42 $ 7.39 $ 7.84 $ 8.49
================================================================================================================================
Total Return 15.78%# 58.44% 2.95% (0.15)% (5.36)% 17.54%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 1,554,889 $ 1,095,697 $ 576,537 $ 492,911 $ 472,235 $ 525,133
Ratio of Expenses to Average
Net Assets 0.78%* 0.81% 0.83% 0.83% 0.82% 0.83%
Ratio of Net Investment
Income to Average Net
Assets 2.04%* 1.75% 1.87% 2.36% 2.28% 1.81%
Portfolio Turnover Rate 4%# 10% 21% 13% 16% 16%
Portfolio Turnover Rate of
Master Fund Series N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
EMERGING MARKETS PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 11.87 $ 8.65 $ 8.62 $ 9.52 $ 12.37 $ 8.16
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.13 0.16 0.10 0.12 0.11 0.08
Net Gains (Losses) on
Securities (Realized and
Unrealized) 0.98 3.18 0.05 (0.96) (2.86) 4.22
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 1.11 3.34 0.15 (0.84) (2.75) 4.30
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.12) (0.12) (0.06) (0.10) (0.09)
Net Realized Gains -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.15) (0.12) (0.12) (0.06) (0.10) (0.09)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 12.83 $ 11.87 $ 8.65 $ 8.62 $ 9.52 $ 12.37
================================================================================================================================
Total Return 9.40%# 39.13% 1.71% (8.95)% (22.49)% 53.34%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 767,055 $ 594,076 $ 333,866 $ 298,036 $ 286,152 $ 330,604
Ratio of Expenses to Average
Net Assets 0.74%* 0.78%(a) 0.78%(a) 0.90%(a) 0.90%(a) 0.91%(a)
Ratio of Net Investment
Income to Average Net
Assets 2.21%* 1.79% 1.20% 1.50% 0.90% 0.90%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series 1%# 1% 8% 6% 12% 16%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
(a) Represents the combined ratios for the portfolio and its pro-rata share of
its Master Fund Series.
N/A Refer to the respective Master Fund Series.
N/A+ Not applicable, as the DFA International Small Cap Value Portfolio is a
stand-alone registered investment company.
See accompanying Notes to Financial Statement
78
<Page>
<Table>
<Caption>
EMERGING MARKETS SMALL CAP PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 8.74 $ 5.89 $ 5.33 $ 6.79 $ 14.88 $ 9.09
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.06 0.10 0.06 0.10 0.12 0.04
Net Gains (Losses) on
Securities (Realized and
Unrealized) 0.68 2.88 0.54 (0.65) (1.68) 6.11
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 0.74 2.98 0.60 (0.55) (1.56) 6.15
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.07) (0.04) (0.06) (0.15) (0.06)
Net Realized Gains (0.07) (0.06) -- (0.85) (6.38) (0.30)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.17) (0.13) (0.04) (0.91) (6.53) (0.36)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 9.31 $ 8.74 $ 5.89 $ 5.33 $ 6.79 $ 14.88
================================================================================================================================
Total Return 8.41%# 51.84% 11.23% (9.44)% (23.38)% 70.30%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 133,790 $ 84,353 $ 26,516 $ 15,172 $ 10,992 $ 11,734
Ratio of Expenses to Average
Net Assets** 1.07%* 1.12% 1.20% 1.56% 1.56% 1.77%
Ratio of Net Investment
Income to Average Net
Assets 1.37%* 1.81% 1.31% 1.18% 0.77% 0.73%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series 7%# 6% 16% 14% 20% 24%
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
DFA ONE-YEAR FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 10.30 $ 10.39 $ 10.31 $ 10.21 $ 10.17 $ 10.22
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.06 0.16 0.27 0.51 0.60 0.52
Net Gains (Losses) on
Securities (Realized and
Unrealized) (0.01) 0.03 0.08 0.11 0.04 (0.04)
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 0.05 0.19 0.35 0.62 0.64 0.48
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.06) (0.16) (0.27) (0.52) (0.60) (0.52)
Net Realized Gains (0.07) (0.12) -- -- -- (0.01)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.13) (0.28) (0.27) (0.52) (0.60) (0.53)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 10.22 $ 10.30 $ 10.39 $ 10.31 $ 10.21 $ 10.17
================================================================================================================================
Total Return 0.49%# 1.85% 3.43% 6.21% 6.49% 4.80%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 1,819,393 $ 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% 0.20% 0.21%
Ratio of Net Investment
Income to Average Net
Assets 1.15%* 1.45% 2.56% 5.04% 5.90% 5.07%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series 72%# 143% 154% 55% 35% 58%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of their Master Fund Series.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
79
<Page>
<Table>
<Caption>
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 10.08 $ 10.19 $ 9.95 $ 10.05 $ 10.31 $ 10.21
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.14 0.22 0.25 0.19 1.01 0.56
Net Gains (Losses) on
Securities (Realized and
Unrealized) (0.11) 0.01 0.20 0.45 (0.41) (0.09)
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 0.03 0.23 0.45 0.64 0.60 0.47
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.34) (0.21) (0.56) (0.86) (0.36)
Net Realized Gains (0.11) -- -- -- -- (0.01)
Tax Return of Capital -- -- -- (0.18) -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.18) (0.34) (0.21) (0.74) (0.86) (0.37)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 9.93 $ 10.08 $ 10.19 $ 9.95 $ 10.05 $ 10.31
================================================================================================================================
Total Return 0.33%# 2.26% 4.54% 6.75% 6.18% 4.69%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 1,505,505 $ 1,195,072 $ 799,214 $ 596,119 $ 518,491 $ 531,488
Ratio of Expenses to Average
Net Assets 0.23%* 0.25%(a) 0.25%(a) 0.27%(a) 0.27%(a) 0.27%(a)
Ratio of Net Investment
Income to Average Net
Assets 0.98%* 1.68% 2.58% 1.34% 9.97% 5.59%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series 60%# 144% 138% 113% 73% 78%
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 11.11 $ 11.05 $ 10.56 $ 10.32 $ 10.26 $ 10.35
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.17 0.34 0.41 0.49 0.59 0.49
Net Gains (Losses) on
Securities (Realized and
Unrealized) (0.17) 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 (0.19) (0.38) (0.43) (0.57) (0.54) (0.50)
Net Realized Gains (0.38) -- -- -- -- --
Tax Return of Capital -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.57) (0.38) (0.43) (0.57) (0.54) (0.50)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 10.54 $ 11.11 $ 11.05 $ 10.56 $ 10.32 $ 10.26
================================================================================================================================
Total Return (0.04)%# 4.02% 9.06% 8.18% 6.16% 4.11%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 465,642 $ 402,992 $ 315,290 $ 243,880 $ 218,557 $ 219,022
Ratio of Expenses to Average
Net Assets 0.26%* 0.27% 0.26% 0.27% 0.28% 0.28%
Ratio of Net Investment
Income to Average Net
Assets 3.18%* 3.20% 4.09% 4.79% 5.75% 4.95%
Portfolio Turnover Rate 25%# 149% 19% 189% 60% 57%
Portfolio Turnover Rate of
Master Fund Series N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
(a) Represents the combined ratio for the portfolio and its pro-rata share of
its Master Fund Series.
N/A Refer to the respective 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.
80
<Page>
<Table>
<Caption>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 10.92 $ 10.93 $ 10.50 $ 10.50 $ 10.53 $ 10.65
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.15 0.33 0.33 0.50 0.61 0.37
Net Gains (Losses) on
Securities (Realized and
Unrealized) (0.13) 0.15 0.44 0.22 -- 0.01
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 0.02 0.48 0.77 0.72 0.61 0.38
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.16) (0.39) (0.33) (0.72) (0.64) (0.22)
Net Realized Gains (0.42) (0.10) (0.01) -- (0.28)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.58) (0.49) (0.34) (0.72) (0.64) (0.50)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 10.36 $ 10.92 $ 10.93 $ 10.50 $ 10.50 $ 10.53
================================================================================================================================
Total Return 0.11%# 4.45% 7.55% 7.23% 6.09% 3.63%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 1,114,777 $ 969,439 $ 761,717 $ 628,936 $ 517,325 $ 472,334
Ratio of Expenses to Average
Net Assets 0.33%* 0.34% 0.35% 0.37% 0.38% 0.39%
Ratio of Net Investment
Income to Average Net
Assets 2.98%* 3.23% 4.09% 4.04% 4.15% 3.62%
Portfolio Turnover Rate 37%# 103% 79% 113% 80% 59%
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 12.14 $ 12.39 $ 11.90 $ 11.18 $ 10.84 $ 11.78
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.28 0.62 0.65 0.65 0.63 0.61
Net Gains (Losses) on
Securities (Realized and
Unrealized) (0.27) (0.02) 0.48 0.71 0.38 (0.89)
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 0.01 0.60 1.13 1.36 1.01 (0.28)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.28) (0.65) (0.64) (0.64) (0.63) (0.58)
Net Realized Gains (0.29) (0.20) -- -- (0.04) (0.08)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.57) (0.85) (0.64) (0.64) (0.67) (0.66)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 11.58 $ 12.14 $ 12.39 $ 11.90 $ 11.18 $ 10.84
================================================================================================================================
Total Return (0.08)%# 4.86% 9.95% 12.57% 9.75% (2.41)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 335,483 $ 316,234 $ 300,059 $ 310,661 $ 286,444 $ 256,376
Ratio of Expenses to Average
Net Assets 0.16%* 0.17% 0.16% 0.16% 0.18% 0.21%
Ratio of Net Investment
Income to Average Net
Assets 4.73%* 4.91% 5.37% 5.60% 6.00% 5.58%
Portfolio Turnover Rate 3%# 23% 14% 17% 8% 13%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
81
<Page>
<Table>
<Caption>
DFA SHORT-TERM MUNICIPAL
BOND PORTFOLIO
----------------------------------------------
SIX MONTHS YEAR AUG. 20
ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30,
2004 2003 2002
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.13 $ 9.97 $ 10.00
------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.08 0.16 0.04
Net Gains (Losses) on Securities (Realized and Unrealized) (0.13) 0.15 (0.04)
------------ ------------ ------------
Total From Investment Operations (0.05) 0.31 --
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.15) (0.03)
Net Realized Gains -- -- --
------------ ------------ ------------
Total Distributions (0.08) (0.15) (0.03)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.00 $ 10.13 $ 9.97
================================================================================================================================
Total Return (0.50)%# 3.17% (0.03)%#
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 307,661 $ 213,389 $ 78,819
Ratio of Expenses to Average Net Assets 0.30%* 0.30% 0.30%*
Ratio of Expenses to Average Net Assets (excluding waivers and assumption of
expenses and/or recovery of previously waived fees) 0.32%* 0.34% 0.75%*
Ratio of Net Investment Income to Average Net Assets 1.63%* 1.60% 1.71%*
Ratio of Net Investment Income to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived fees) 1.61%* 1.56% 1.26%*
Portfolio Turnover Rate 5%# 0% 0%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
82
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors.
Twenty-three of the Fund's thirty-six portfolios (the "Portfolios") are included
in this report. Of the remaining thirteen portfolios, six portfolios are only
available through a select group of insurance products and are presented in a
separate report and seven are presented in separate reports.
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 5/31/04
- ------------------------- --------------------- ----------
U.S. Large Company Portfolio The U.S. Large Company Series 37%
Enhanced U.S. Large Company Portfolio The Enhanced U.S. Large Company Series 100%
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 67%
U.S. Small XM Value Portfolio The U.S. Small XM Value Series 68%
U.S. Small Cap Value Portfolio The U.S. Small Cap Value Series 92%
U.S. Small Cap Portfolio The U.S. Small Cap Series 87%
U.S. Micro Cap Portfolio The U.S. Micro Cap Series 100%
International Small Company Portfolio The Japanese Small Company Series 83%
The Pacific Rim Small Company Series 80%
The United Kingdom Small Company Series 89%
The Continental Small Company Series 89%
Japanese Small Company Portfolio The Japanese Small Company Series 11%
Pacific Rim Small Company Portfolio The Pacific Rim Small Company Series 14%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 5%
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 78%
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 99%
</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.
83
<Page>
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America may
require management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates and those differences could be material.
1. SECURITY VALUATION: Securities held by the DFA Real Estate Securities
Portfolio which are listed on a securities exchange and for which market
quotations are readily available are valued at the last quoted sale price of the
day. Securities held by the Fund that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Fund values securities at the mean between the quoted
bid and asked prices. Securities held by the Large Cap International Portfolio
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, or for which market quotations have become unreliable, are valued in
good faith at fair value using methods approved by the Board of Directors.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the New
York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the
NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the
International Equity Portfolios are computed. Due to the time differences
between the closings of the relevant foreign securities exchanges and the time
the International Equity Portfolios price their shares at the close of the NYSE,
the International Equity Portfolios will fair value their foreign investments
when it is determined that the market quotations for the foreign investments are
either unreliable or not readily available. The fair value prices will attempt
to reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Equity Portfolios' foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Directors of the Funds have determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock Exchange
or the London Stock Exchange, demonstrate that market quotations may be
unreliable, and may trigger fair value pricing. Consequently, fair valuation of
portfolio securities may occur on a daily basis. The fair value pricing by the
Funds utilizes data furnished by an independent pricing service (and that data
draws upon, among other information, the market values of foreign investments).
The fair value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of a Fund. When an International Equity Portfolio uses fair value
pricing, the values assigned to the International Equity Portfolio's foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges.
Securities held by DFA Five-Year Government Portfolio, DFA Five-Year Global
Fixed Income Portfolio, DFA Intermediate Government Fixed Income Portfolio and
DFA Short-Term Municipal Bond Portfolio (the "Fixed Income Portfolios"), are
valued at the mean between the most recently quoted bid and asked prices or
prices provided by a pricing service when such prices are believed to reflect
the fair market value of such securities. Securities for which quotations are
not readily available are valued in good faith at fair value using methods
approved by the Board of Directors.
Master Fund shares held by the Feeder Funds are valued at their respective
daily net asset values or for the U.S. Large Company Portfolio, the Japanese
Small Company Portfolio, the Pacific Rim Small Company Portfolio, the United
Kingdom Small Company Portfolio, the Continental Small Company Portfolio, the
International Small Company
84
<Page>
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 as quoted by generally recognized reliable
sources. Dividend and interest income and certain expenses are translated to
U.S. dollars at the rate of exchange on their respective accrual dates.
Receivables and payables denominated in foreign currencies are marked to market
daily based on daily exchange rates and exchange gains or losses are realized
upon ultimate receipt or disbursement. The DFA Five-Year Global Fixed Income
Portfolio also enters into forward foreign currency contracts solely for the
purpose of hedging against fluctuations in currency exchange rates. These
contracts are marked to market daily based on daily forward exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuation in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, the DFA
Five-Year Global Fixed Income Portfolio does isolate the effect of fluctuations
in foreign currency rates when determining the realized gain or loss upon the
sale or maturity of foreign currency denominated debt obligations pursuant to
U.S. Federal income tax regulations; such amounts are categorized as foreign
exchange gain or loss for both financial reporting and income tax reporting
purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and the DFA Five-Year Global Fixed Income
Portfolio and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses.
4. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or Portfolios are allocated using
methods approved by the Board of Directors, generally based on average net
assets.
The U.S. Large Company Portfolio, the International Small Company
Portfolio, the Japanese Small Company Portfolio, the Pacific Rim Small Company
Portfolio, the United Kingdom Small Company Portfolio, the Continental Small
Company Portfolio, the Emerging Markets Portfolio and the Emerging Markets Small
Cap Portfolio each accrue their respective share of income and expenses daily on
their investment in their corresponding Master Fund, which are treated as
partnerships for federal income tax purposes. All of the net investment income
and realized and unrealized gains and losses from the security transactions and
foreign currency of the Master Funds are allocated pro rata among its investors
at the time of such determination.
The Portfolios may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Portfolios
accrue such taxes when the related income or capital gains are earned. Some
countries require governmental approval for the repatriation of
85
<Page>
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 six months ended May 31, 2004, the Portfolios' advisory fees were
accrued daily and paid monthly to the Advisor based on the following effective
annual rates of average daily net assets:
<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.
For the six months ended May 31, 2004, 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, U.S. Small XM Value Portfolio and
Emerging Markets Portfolio, the Advisor has agreed to waive its administration
fee and to assume each Portfolio's direct and indirect expenses (including the
expenses the Portfolio bears as a shareholder of its master fund) to the extent
necessary to limit the expenses of each Portfolio to the following rates as a
percentage of average net assets on an annualized basis: 0.15% for the U.S.
Large Company Portfolio; 0.50% for the U.S. Small XM Value Portfolio; and 1.00%
for the Emerging Markets Portfolio. At any time that the annualized expenses of
a Portfolio are less than the rate listed above for such Portfolio on an
annualized basis, the Advisor retains the right to seek reimbursement for any
fees previously waived and/or expenses previously assumed to the extent that
such reimbursement will not cause the Portfolio's annualized expenses to exceed
the applicable percentage of average net assets as listed above. The Portfolios
are not obligated
86
<Page>
to reimburse the Advisor for fees waived or expenses assumed by the Advisor more
than thirty-six months prior to the date of such reimbursement. The expense
waiver will remain in effect for a period of one year from April 1, 2004 to
April 1, 2005, and shall continue to remain in effect from year to year unless
terminated by the Fund or the Advisor. At May 31, 2004 there were approximately
$3,962,000, $4,400 and $0, respectively, of previously waived fees subject to
future reimbursement to the Advisor over various periods not exceeding May 31,
2007.
The Advisor has agreed to waive its administration fee to the Enhanced U.S.
Large Company Portfolio to the extent necessary to reduce the Portfolio's
expenses to the extent that its total direct and indirect expenses (including
the expenses the Portfolio bears as a shareholder of The Enhanced U.S. Large
Company Series) exceed 0.45% of its average net assets on an annualized basis.
At any time that the total direct and indirect expenses of the Portfolio are
less than 0.45% of its assets on an annualized basis, the Advisor retains the
right to seek reimbursement for any fees previously waived to the extent that
such reimbursement will not cause the Portfolio's total direct and indirect
expenses to exceed 0.45% of average net assets on an annualized basis. The
Portfolio is not obligated to reimburse the Advisor for fees waived by the
Advisor more than thirty-six months prior to the date of such reimbursement. The
expense waiver will remain in effect for a period of one year from April 1,
2004 to April 1, 2005, and shall continue to remain in effect from year to year
thereafter unless terminated by the Fund or the Advisor. At May 31, 2004, there
were no waivers or fees subject to the future reimbursement to the Advisor.
For the International Small Company Portfolio, the Advisor has agreed to
waive its administration fee and to assume the Portfolio's other direct expenses
to the extent necessary to limit the direct expenses of the Portfolio to 0.45%
of its average net assets on an annualized basis. This fee waiver and expense
assumption arrangement does not include the indirect expenses the Portfolio
bears as a shareholder of the International Master Funds. At any time that the
direct expenses of the Portfolio are less than 0.45% of its average net assets
on an annualized basis, the Advisor retains the right to seek reimbursement for
any fees previously waived and/or expenses previously assumed to the extent that
such reimbursement will not cause the Portfolio's direct expenses to exceed
0.45% of average net assets on an annualized basis. The Portfolio is not
obligated to reimburse the Advisor for fees waived or expenses previously
assumed by the Advisor more than thirty-six months prior to the date of such
reimbursement. The expense waiver will remain in effect for a period of one year
from April 1, 2004 to April 1, 2005, and shall continue to remain in effect from
year to year thereafter unless terminated by the Fund or the Advisor. At May 31,
2004, there were no waivers or fees subject to future reimbursement to the
Advisor.
For Japanese Small Company Portfolio, Pacific Rim Small Company Portfolio,
United Kingdom Small Company Portfolio, and Continental Small Company Portfolio,
the Advisor has agreed to waive its administration fee and to assume each
Portfolio's other direct expenses to the extent necessary to limit the direct
expenses of the Portfolios to 0.47% of its average net assets on an annualized
basis. These fee waiver and expense assumption arrangements do not include the
indirect expenses each Portfolio bears as a shareholder of its master fund. At
any time that the direct expenses of each Portfolio are less than 0.47% of its
average net assets on an annualized basis, the Advisor retains the right to seek
reimbursement for any fees previously waived and/or expenses previously assumed
to the extent that such reimbursement will not cause the Portfolio's direct
expenses to exceed 0.47% of its average net assets on an annualized basis. The
Portfolios are not obligated to reimburse the Advisor for fees previously waived
or expenses previously assumed by the Advisor more than thirty-six months prior
to the date of such reimbursement. The expense waiver will remain in effect for
a period of one year from April 1, 2004 to April 1, 2005, and shall continue to
remain in effect from year to year thereafter unless terminated by the Fund or
the Advisor. At May 31, 2004, there were approximately $49,000, $52,000,
$59,000, and $55,000, respectively, of previously waived fees of subject to
future reimbursement to the Advisor over various periods not exceeding May 31,
2007.
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. The expense waiver will
87
<Page>
remain in effect for a period of one year from April 1, 2004 to April 1, 2005,
and shall continue to remain in effect from year to year thereafter unless
terminated by the Fund or the Advisor. At May 31, 2004, approximately $80,000 of
waived fees of DFA Short-Term Municipal Bond Portfolio were subject to future
reimbursement over various periods not exceeding May 31, 2007.
Certain officers of the Portfolios are also officers, and shareholders of
the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2004, the total liability for deferred compensation to Directors
is included in Accrued Expenses and Other Liabilities as follows:
<Table>
U.S. Large Company Portfolio $ 16,117
Enhanced U.S. Large Company Portfolio 2,241
U.S. Large Cap Value Portfolio 27,511
U.S. Small XM Value Portfolio 1,768
U.S. Small Cap Value Portfolio 65,301
U.S. Small Cap Portfolio 19,720
U.S. Micro Cap Portfolio 40,158
DFA Real Estate Securities Portfolio 12,525
Large Cap International Portfolio 8,692
International Small Company Portfolio 15,996
Japanese Small Company Portfolio 523
Pacific Rim Small Company Portfolio 383
United Kingdom Small Company Portfolio 194
Continental Small Company Portfolio 381
DFA International Small Cap Value Portfolio 19,328
Emerging Markets Portfolio 10,383
Emerging Markets Small Cap Portfolio 1,541
DFA One-Year Fixed Income Portfolio 23,948
DFA Two-Year Global Fixed Income Portfolio 18,831
DFA Five-Year Government Portfolio 6,135
DFA Five-Year Global Fixed Income Portfolio 14,639
DFA Intermediate Government Fixed Income Portfolio 4,615
DFA Short-Term Municipal Bond Portfolio 3,696
</Table>
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Portfolios made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
<Caption>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
---------------------- ----------------------
PURCHASES SALES PURCHASES SALES
--------- ---------- --------- ----------
DFA Real Estate Securities Portfolio -- -- $ 149,914 $ 1,158
Large Cap International Portfolio -- -- 132,971 2,989
DFA International Small Cap Value Portfolio -- -- 327,666 49,687
DFA Five-Year Government Portfolio $ 179,464 $ 108,865 -- --
DFA Five-Year Global Fixed Income Portfolio 195,888 118,653 347,619 258,760
DFA Intermediate Government Fixed Income Portfolio 39,963 10,977 -- --
DFA Short-Term Municipal Bond Portfolio -- -- 73,238 8,471
</Table>
88
<Page>
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.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities and foreign currencies was as
follows (amounts in thousands):
<Table>
<Caption>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- ------------
U.S. Large Company Portfolio $ 296,766 $ (140,032) $ 156,734
Enhanced U.S. Large Company Portfolio 15,506 (33,735) (18,229)
U.S. Large Cap Value Portfolio 412,788 (109,405) 303,383
U.S. Small XM Value Portfolio 29,500 (11,267) 18,233
U.S. Small Cap Value Portfolio 1,379,460 (165,869) 1,213,591
U.S. Small Cap Portfolio 285,195 (68,877) 216,318
U.S. Micro Cap Portfolio 922,503 (97,309) 825,194
DFA Real Estate Securities Portfolio 188,076 (13,137) 174,939
Large Cap International Portfolio 101,098 (64,665) 36,433
International Small Company Portfolio 271,074 (7,115) 263,959
Japanese Small Company Portfolio 24,224 (147,671) (123,447)
Pacific Rim Small Company Portfolio 48,962 (80,613) (31,651)
United Kingdom Small Company Portfolio 70,341 (64,753) 5,588
Continental Small Company Portfolio 82,419 (72,246) 10,173
DFA International Small Cap Value Portfolio 429,702 (109,751) 319,951
Emerging Markets Portfolio 214,361 (76,492) 137,869
Emerging Markets Small Cap Portfolio 15,280 (2,623) 12,657
DFA One-Year Fixed Income Portfolio 2,077 (7,416) (5,339)
DFA Two-Year Global Fixed Income Portfolio -- (13,612) (13,612)
DFA Five-Year Government Portfolio 21 (11,429) (11,408)
DFA Five-Year Global Fixed Income Portfolio 1,687 (25,218) (23,531)
DFA Intermediate Government Fixed Income Portfolio 15,443 (3,739) 11,704
DFA Short-Term Municipal Bond Portfolio 221 (3,441) (3,220)
</Table>
89
<Page>
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>
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. At November
30, 2003, 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>
90
<Page>
G. COMPONENTS OF NET ASSETS:
At May 31, 2004, 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 $ 1,100,578 $ 4,302 $ (78,553) -- --
Enhanced U.S. Large
Company Portfolio 193,423 (74) (36,316) -- --
U.S. Large Cap Value
Portfolio 1,837,003 (860) (110,669) -- --
U.S. Small XM
Value Portfolio 107,824 (209) 3,370 -- --
U.S. Small Cap
Value Portfolio 3,275,265 (6,030) 119,357 -- --
U.S. Small Cap
Portfolio 1,352,172 (2,070) (111,681) -- --
U.S. Micro Cap
Portfolio 1,839,595 (4,630) (20,895) -- --
DFA Real Estate
Securities Portfolio 754,445 22,788 2,272 -- --
Large Cap
International
Portfolio 652,508 6,302 (21,225) $ 54 --
International Small
Company Portfolio 964,317 9,067 12,947 2 --
Japanese Small
Company Portfolio 215,601 (85) (45,798) 4 --
Pacific Rim Small
Company Portfolio 68,405 (1,077) (10,638) 5 --
United Kingdom Small
Company Portfolio 7,823 75 96 (5) --
Continental Small
Company Portfolio 15,718 288 (3) 4 --
DFA International
Small Cap Value
Portfolio 1,201,305 7,140 26,159 157 --
Emerging Markets
Portfolio 674,475 5,474 (47,393) (563) $ (3,190)
Emerging Markets
Small Cap Portfolio 114,961 473 6,051 46 (390)
DFA One-Year Fixed
Income Portfolio 1,825,656 (288) (8,052) -- --
DFA Two-Year Global
Fixed Income
Portfolio 1,519,777 (453) (8,815) -- --
DFA Five-Year
Government
Portfolio 471,241 6,014 (205) -- --
DFA Five-Year Global
Fixed Income
Portfolio 1,131,784 8,532 (1,547) 31 --
DFA Intermediate
Government Fixed
Income Portfolio 318,949 4,067 763 -- --
DFA Short-Term
Municipal Bond
Portfolio 310,461 437 (17) -- --
<Caption>
UNREALIZED
APPRECIATION
(DEPRECIATION) UNREALIZED
OF INVESTMENT NET FOREIGN
SECURITIES, EXCHANGE NUMBER OF
FUTURES AND GAIN TOTAL NET SHARES
FOREIGN CURRENCY (LOSS) ASSETS AUTHORIZED
---------------- ----------- ----------- -----------
U.S. Large Company
Portfolio $ 206,300 -- $ 1,232,627 200,000,000
Enhanced U.S. Large
Company Portfolio 15,506 -- 172,539 100,000,000
U.S. Large Cap Value
Portfolio 412,789 -- 2,138,263 100,000,000
U.S. Small XM
Value Portfolio 20,500 -- 131,485 100,000,000
U.S. Small Cap
Value Portfolio 1,379,461 -- 4,768,053 300,000,000
U.S. Small Cap
Portfolio 285,195 -- 1,523,616 100,000,000
U.S. Micro Cap
Portfolio 922,503 -- 2,736,573 300,000,000
DFA Real Estate
Securities Portfolio 176,028 -- 953,533 100,000,000
Large Cap
International
Portfolio 37,246 $ (77) 674,808 150,000,000
International Small
Company Portfolio 264,337 93 1,250,763 100,000,000
Japanese Small
Company Portfolio (120,698) (21) 49,003 50,000,000
Pacific Rim Small
Company Portfolio (31,603) (3) 25,089 50,000,000
United Kingdom Small
Company Portfolio 5,595 4 13,588 20,000,000
Continental Small
Company Portfolio 10,173 46 26,226 200,000,000
DFA International
Small Cap Value
Portfolio 319,988 140 1,554,889 200,000,000
Emerging Markets
Portfolio 138,309 (57) 767,055 100,000,000
Emerging Markets
Small Cap Portfolio 12,658 (9) 133,790 100,000,000
DFA One-Year Fixed
Income Portfolio 2,077 -- 1,819,393 300,000,000
DFA Two-Year Global
Fixed Income
Portfolio (5,004) -- 1,505,505 200,000,000
DFA Five-Year
Government
Portfolio (11,408) -- 465,642 100,000,000
DFA Five-Year Global
Fixed Income
Portfolio (23,531) (492) 1,114,777 100,000,000
DFA Intermediate
Government Fixed
Income Portfolio 11,704 -- 335,483 100,000,000
DFA Short-Term
Municipal Bond
Portfolio (3,220) -- 307,661 100,000,000
</Table>
91
<Page>
H. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' Investment Objectives and Policies, the
Portfolios may invest, either directly or through their investment in a
corresponding Master Fund, in certain financial instruments that have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Fund's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings.
All open repurchase agreements were entered into on May 28, 2004.
2. FORWARD CURRENCY CONTRACTS: The DFA Five-Year Global Fixed Income
Portfolio may enter into forward foreign currency contracts only to hedge
against adverse changes in the relationship of the U.S. dollar to foreign
currencies. At May 31, 2004, the DFA Five-Year Global Fixed Income Portfolio had
entered into the following contract and the net unrealized foreign exchange loss
is reflected in the accompanying financial statements.
<Table>
<Caption>
UNREALIZED
FOREIGN
SETTLEMENT CONTRACT VALUE AT EXCHANGE
DATE CURRENCY SOLD AMOUNT MAY 31, 2004 GAIN (LOSS)
- ---------- ------------------------------ ------------- -------------- ------------
06/28/04 262,087,583 Swedish Krona $ 34,624,389 $ 35,124,042 $ (499,653)
------------- -------------- ------------
$ 34,624,389 $ 35,124,042 $ (499,653)
============= ============== ============
</Table>
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 and are generally limited to unrealized appreciation, if any, on the
contracts.
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 effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated at any time. For the six months ended May 31, 2004, borrowings under
the line 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
------------- ------------ ----------- -------- ---------------
International Small Company
Portfolio 1.78% $ 352,625 8 $ 139 $ 550,000
</Table>
There were no outstanding borrowings under the line of credit at May 31,
2004.
92
<Page>
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement for the line of credit expires in April
2005. There were no borrowings under the line of credit during the six months
ended May 31, 2004.
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 fees 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 May 31, 2004, some of the Fund's portfolios had securities on loan to
broker/dealers, for which each portfolio held cash collateral. Each portfolio
invests the cash collateral, as described below, and records a liability for the
return of the collateral, during the period the securities are on loan. 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.
Cash collateral of each Portfolio received from securities on loan is
invested along with cash collateral from the other Portfolios in repurchase
agreements collateralized by U.S. government securities. These investments are
accounted for separately for each Portfolio. Securities pledged as collateral
for the repurchase agreements are held by a custodian bank until the agreements
mature.
93
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company
(68,354,145 Shares, Cost $729,861)++ at Value+ $ 953,540
Receivable for Fund Shares Sold 541
Prepaid Expenses and Other Assets 11
------------
Total Assets 954,092
------------
LIABILITIES:
Payables:
Investment Securities Purchased 244
Fund Shares Redeemed 297
Due To Advisor 152
Accrued Expenses and Other Liabilities 27
------------
Total Liabilities 720
------------
NET ASSETS $ 953,372
============
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 200,000,000) 69,674,977
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 13.68
============
NET ASSETS CONSIST OF:
Paid-in Capital $ 770,549
Accumulated Net Investment Income (Loss) (496)
Accumulated Net Realized Gain (Loss) (40,360)
Unrealized Appreciation (Depreciation) from Investment Securities 223,679
------------
Total Net Assets $ 953,372
============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $760,644.
See accompanying Notes to Financial Statements.
94
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 3,543
------------
EXPENSES
Administrative Services 877
Accounting & Transfer Agent Fees 20
Legal Fees 11
Audit Fees 4
Filing Fees 16
Shareholders' Reports 8
Directors' Fees and Expenses 4
Other 5
------------
Total Expenses 945
------------
NET INVESTMENT INCOME (LOSS) 2,598
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold (761)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 95,560
------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 94,799
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 97,397
============
</Table>
See accompanying Notes to Financial Statements.
95
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 2,598 $ 12,442
Capital Gain Distributions Received from The DFA Investment Trust Company -- 507
Net Realized Gain (Loss) on Investment Securities Sold (761) (8,106)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 95,560 180,511
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 97,397 185,354
------------ ------------
Distributions From:
Net Investment Income (5,123) (12,609)
------------ ------------
Total Distributions (5,123) (12,609)
------------ ------------
Capital Share Transactions (1):
Shares Issued 179,382 217,849
Shares Issued in Lieu of Cash Distributions 5,123 12,606
Shares Redeemed (71,726) (119,194)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 112,779 111,261
------------ ------------
Total Increase (Decrease) 205,053 284,006
NET ASSETS
Beginning of Period 748,319 464,313
------------ ------------
End of Period $ 953,372 $ 748,319
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 13,304 22,165
Shares Issued in Lieu of Cash Distributions 403 1,279
Shares Redeemed (5,367) (12,639)
------------ ------------
8,340 10,805
============ ============
</Table>
See accompanying Notes to Financial Statements.
96
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 12.20 $ 9.19 $ 10.30 $ 12.58 $ 13.07 $ 11.88
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.04 0.22 0.23 0.25 0.24 0.28
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.52 3.02 (0.78) (1.50) (0.32) 1.24
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 1.56 3.24 (0.55) (1.25) (0.08) 1.52
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.23) (0.21) (0.27) (0.22) (0.29)
Net Realized Gains -- -- (0.35) (0.76) (0.19) (0.04)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.08) (0.23) (0.56) (1.03) (0.41) (0.33)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period $ 13.68 $ 12.20 $ 9.19 $ 10.30 $ 12.58 $ 13.07
========== ========== ========== ========== ========== ==========
Total Return 12.87%# 35.92% (5.72)% (10.96)% (0.72)% 12.96%
Net Assets, End of Period (thousands) $ 953,372 $ 748,319 $ 464,313 $ 449,496 $ 569,234 $ 453,713
Ratio of Expenses to Average Net
Assets** 0.51%* 0.52% 0.53% 0.51% 0.52% 0.52%
Ratio of Net Investment Income to
Average Net Assets 0.59%* 2.26% 2.35% 2.12% 1.76% 2.21%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series 5%# 14% 18% 6% 9% 6%
</Table>
- ----------
* Annualized
# Non-annualized
** 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.
97
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers twenty-five
portfolios, of which DFA International Value Portfolio (the "Portfolio") is
presented in this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 2004, 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. 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 May 31, 2004 the total liability for deferred compensation
to Directors is included in Accrued Expenses and Other Liabilities in the amount
of $12,226.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio or to the Series are directly charged.
Common expenses of the Fund or Portfolios are allocated using methods approved
by the Board of Directors, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For
98
<Page>
the six months ended May 31, 2004, 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.
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 May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
Gross Unrealized Appreciation $ 223,679
Gross Unrealized Depreciation (30,782)
---------
Net $ 192,897
=========
</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 $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 effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the 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 six months ended May 31, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings under the line of credit during the six months
ended May 31, 2004.
99
<Page>
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (87.5%)
3M Co. 244,400 $ 20,666,464
Abbott Laboratories 487,700 20,098,117
Ace, Ltd. 87,100 3,586,778
* ADC Telecommunications, Inc. 251,500 638,810
# Adobe Systems, Inc. 74,400 3,320,472
*# Advanced Micro Devices, Inc. 108,700 1,690,285
* AES Corp. 194,200 1,813,828
Aetna, Inc. 47,800 3,881,360
* Affiliated Computer Services, Inc.
Class A 42,700 2,127,314
AFLAC, Inc. 159,900 6,491,940
* Agilent Technologies, Inc. 148,300 3,811,310
Air Products & Chemicals, Inc. 70,900 3,542,873
Alberto-Culver Co. Class B 28,300 1,330,666
# Albertson's, Inc. 114,400 2,680,392
Alcoa, Inc. 271,400 8,494,820
*# Allegheny Energy, Inc. 39,600 564,300
Allegheny Technologies, Inc. 25,200 302,652
Allergan, Inc. 40,900 3,636,010
* Allied Waste Industries, Inc. 99,900 1,324,674
# Allstate Corp. 219,400 9,649,212
Alltel Corp. 97,400 4,931,362
*# Altera Corp. 118,100 2,703,309
Altria Group, Inc. 638,400 30,624,048
Ambac Financial Group, Inc. 33,300 2,302,695
Amerada Hess Corp. 28,000 1,976,520
Ameren Corp. 56,700 2,506,140
# American Electric Power Co., Inc. 123,200 3,914,064
American Express Co. 401,200 20,340,840
American International Group, Inc. 813,800 59,651,540
American Power Conversion Corp. 61,900 1,120,390
* American Standard Companies, Inc. 67,500 2,532,600
AmerisourceBergen Corp. 35,000 2,099,300
*# Amgen, Inc. 402,400 22,011,280
AmSouth Bancorporation 109,500 2,790,060
Anadarko Petroleum Corp. 78,500 4,279,820
# Analog Devices, Inc. 116,600 5,730,890
*# Andrew Corp. 49,600 974,640
Anheuser-Busch Companies, Inc. 254,100 13,535,907
*# Anthem, Inc. 43,100 3,815,643
AON Corp. 97,900 2,704,977
Apache Corp. 101,100 4,080,396
Apartment Investment & Management
Co. Class A 29,200 843,296
* Apollo Group, Inc. (Class A) 54,900 5,149,620
*# Apple Computer, Inc. 115,300 3,235,318
# Applera Corporation - Applied
Biosystems Group 64,300 1,246,134
* Applied Materials, Inc. 524,500 10,469,020
* Applied Micro Circuits Corp. 96,900 522,291
Archer-Daniels Midland Co. 202,100 3,360,923
Ashland, Inc. 21,700 1,023,155
# AT&T Corp. 247,500 4,103,550
* AT&T Wireless Services, Inc. 849,800 12,033,168
# Autodesk, Inc. 35,200 1,262,272
Automatic Data Processing, Inc. 183,900 $ 8,170,677
*# AutoNation, Inc. 85,800 1,430,286
* Autozone, Inc. 27,200 2,359,600
*# Avaya, Inc. 132,500 2,097,475
Avery Dennison Corp. 34,500 2,036,880
Avon Products, Inc. 73,500 6,516,510
B B & T Corp. 170,500 6,424,440
Baker Hughes, Inc. 104,400 3,552,732
Ball Corp. 17,500 1,195,425
# Bank of America Corp. 640,659 53,257,983
Bank of New York Co., Inc. 241,300 7,255,891
Bank One Corp. 349,200 16,918,740
Bard (C.R.), Inc. 16,200 1,817,154
Bausch & Lomb, Inc. 16,400 1,000,728
# Baxter International, Inc. 190,300 5,983,032
Bear Stearns Companies, Inc. 32,400 2,626,344
Becton Dickinson & Co. 78,800 3,965,216
* Bed, Bath and Beyond, Inc. 93,100 3,467,975
Bellsouth Corp. 571,100 14,254,656
Bemis Co., Inc. 33,500 922,925
# Best Buy Co., Inc. 101,300 5,344,588
* Big Lots, Inc. 36,400 532,168
*# Biogen Idec, Inc. 102,200 6,351,730
# Biomet, Inc. 79,800 3,201,576
* BJ Services, Co. 49,700 2,081,933
Black & Decker Corp. 24,500 1,468,285
# Block (H.&R.), Inc. 55,600 2,716,060
*# BMC Software, Inc. 70,200 1,238,328
# Boeing Co. 262,800 12,036,240
Boise Cascade Corp. 27,200 956,080
* Boston Scientific Corp. 255,400 11,314,220
Bristol Myers Squibb Co. 605,400 15,298,458
*# Broadcom Corp. 94,400 3,984,624
Brown-Forman Corp. Class B 37,800 1,816,290
Brunswick Corp. 29,200 1,182,600
Burlington Northern Santa Fe Corp. 116,100 3,824,334
Burlington Resources, Inc. 61,700 4,130,198
*# Calpine Corp. 128,900 488,531
# Campbell Soup Co. 128,200 3,270,382
# Capital One Financial Corp. 72,000 5,044,320
Cardinal Health, Inc. 135,700 9,188,247
* Caremark Rx, Inc. 142,200 4,436,640
# Carnival Corp. 196,500 8,372,865
# Caterpillar, Inc. 108,300 8,160,405
# Cendant Corp. 314,300 7,210,042
CenterPoint Energy, Inc. 95,500 1,035,220
Centex Corp. 39,000 1,891,110
CenturyTel, Inc. 45,000 1,345,050
Charter One Financial, Inc. 69,400 3,050,824
# ChevronTexaco Corp. 333,600 30,157,440
*# Chiron Corp. 58,500 2,617,875
Chubb Corp. 58,600 3,947,882
*# CIENA Corp. 179,900 647,640
# CIGNA Corp. 44,000 2,983,200
Cincinnati Financial Corp. 52,605 2,248,864
Cinergy Corp. 55,500 2,081,805
</Table>
100
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Cintas Corp. 53,400 $ 2,423,292
Circuit City Stores, Inc. 65,600 785,232
* Cisco Sytems, Inc. 2,143,400 47,476,310
# Citigroup, Inc. 1,606,500 74,589,795
* Citizens Communications Co. 88,700 1,126,490
* Citrix Systems, Inc. 51,200 1,077,760
# Clear Channel Communications, Inc. 192,000 7,622,400
Clorox Co. 65,500 3,429,580
*# CMS Energy Corp. 50,200 432,724
Coca-Cola Co. 762,600 39,159,510
Coca-Cola Enterprises, Inc. 143,100 3,942,405
Colgate-Palmolive Co. 166,100 9,500,920
* Comcast Corp. Class A 702,100 20,325,795
Comerica, Inc. 54,700 3,096,567
Computer Associates International,
Inc. 181,500 4,911,390
* Computer Sciences Corp. 58,500 2,550,015
* Compuware Corp. 119,900 953,205
* Comverse Technology, Inc. 60,100 1,061,967
Conagra, Inc. 167,500 4,710,100
ConocoPhilips 213,500 15,655,955
Consolidated Edison, Inc. 75,000 2,944,500
Constellation Energy Group 52,200 1,996,128
* Convergys Corp. 44,700 656,196
Cooper Industries, Ltd. 28,700 1,633,030
Cooper Tire & Rubber Co. 23,000 485,070
# Coors (Adolph) Co. Class B 11,400 734,730
*# Corning, Inc. 420,500 5,209,995
# Costco Wholesale Corp. 142,900 5,398,762
Countrywide Financial Corp. 86,100 5,553,450
# Crane Co. 18,500 558,515
# CSX Corp. 66,700 2,107,720
# Cummins, Inc. 13,300 774,592
CVS Corp. 123,600 5,151,648
# Dana Corp. 46,400 865,360
# Danaher Corp. 96,000 4,514,880
Darden Restaurants, Inc. 51,400 1,156,500
Deere & Co. 75,900 4,986,630
* Dell, Inc. 798,600 28,094,748
Delphi Automotive Systems Corp. 174,700 1,780,193
*# Delta Air Lines, Inc. 38,500 234,850
Deluxe Corp. 15,800 676,556
Devon Energy Corp. 72,600 4,309,536
Dillards, Inc. Class A 26,000 520,260
Disney (Walt) Co. 638,600 14,987,942
# Dollar General Corp. 105,100 2,038,940
Dominion Resources, Inc. 101,200 6,372,564
Donnelley (R.R.) & Sons Co. 68,200 2,063,732
Dover Corp. 63,400 2,470,064
Dow Chemical Co. 290,700 11,598,930
# Dow Jones & Co., Inc. 25,500 1,222,215
DTE Energy Co. 52,700 2,119,067
Duke Energy Corp. 283,100 5,645,014
DuPont (E.I.) de Nemours & Co., Inc. 311,200 13,443,840
*# Dynegy, Inc. 117,500 515,825
* E Trade Group, Inc. 116,600 1,330,406
# Eastman Chemical Co. 24,100 1,116,794
Eastman Kodak Co. 89,400 2,340,492
Eaton Corp. 47,900 2,794,965
* eBay, Inc. 201,500 17,893,200
Ecolab, Inc. 80,200 2,446,902
Edison International 101,600 $ 2,452,624
El Paso Corp. 200,100 1,442,721
*# Electronic Arts, Inc. 93,300 4,742,439
# Electronic Data Systems Corp. 149,900 2,450,865
* EMC Corp. 754,400 8,479,456
# Emerson Electric Co. 131,500 7,850,550
Engelhard Corp. 39,100 1,183,557
Entergy Corp. 71,400 3,899,154
# EOG Resources, Inc. 35,800 1,912,794
# Equifax, Inc. 43,400 1,063,734
Equity Office Properties Trust 124,700 3,360,665
Equity Residential Corp. 86,900 2,558,336
Exelon Corp. 205,400 6,839,820
* Express Scripts, Inc. Class A 24,200 1,893,892
# Exxon Mobil Corp. 2,044,900 88,441,925
# Family Dollar Stores, Inc. 53,700 1,684,032
Federal Home Loan Mortgage
Corporation 214,700 12,536,333
Federal National Mortgage
Association 303,000 20,513,100
Federated Department Stores, Inc. 56,400 2,690,844
Federated Investors, Inc. 33,900 1,009,542
FedEx Corp. 93,100 6,850,298
Fifth Third Bancorp 176,200 9,565,898
# First Data Corp. 277,800 12,025,962
# First Horizon National Corp. 39,200 1,825,544
# FirstEnergy Corp. 102,800 4,009,200
* Fiserv, Inc. 60,700 2,295,674
# Fluor Corp. 25,600 1,034,752
# Ford Motor Co. 571,200 8,482,320
* Forest Laboratories, Inc. 114,700 7,270,833
Fortune Brands, Inc. 45,400 3,418,620
FPL Group, Inc. 57,500 3,665,625
Franklin Resources, Inc. 77,800 3,911,784
# Freeport McMoran Copper & Gold,
Inc. Class B 61,100 2,054,793
Gannett Co., Inc. 84,500 7,419,100
Gap, Inc. 279,400 6,747,510
* Gateway, Inc. 117,100 474,255
# General Dynamics Corp. 61,800 5,909,934
General Electric Co. 3,181,800 99,017,616
# General Mills, Inc. 117,000 5,387,850
# General Motors Corp. 175,300 7,956,867
# Genuine Parts Co. 54,300 2,043,852
* Genzyme Corp. 69,900 3,046,242
Georgia-Pacific Corp. 79,100 2,833,362
Gillette Co. 314,100 13,534,569
Golden West Financial Corp. 47,400 5,155,698
Goodrich (B.F.) Co. 36,600 1,025,898
*# Goodyear Tire & Rubber Co. 54,700 475,890
Grainger (W.W.), Inc. 28,500 1,551,825
Great Lakes Chemical Corp. 15,800 391,524
Guidant Corp. 97,200 5,281,848
Halliburton Co. 136,600 3,966,864
Harley-Davidson, Inc. 94,500 5,432,805
Harrahs Entertainment, Inc. 34,700 1,783,580
Hartford Financial Services Group,
Inc. 91,000 6,016,920
Hasbro, Inc. 54,500 1,071,470
# HCA, Inc. 154,600 6,003,118
Health Management Associates, Inc. 75,800 1,666,842
</Table>
101
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<Table>
<Caption>
SHARES VALUE+
------ ------
Heinz (H.J.) Co. 109,800 $ 4,099,932
* Hercules, Inc. 34,600 366,068
Hershey Foods Corp. 40,500 3,593,565
# Hewlett-Packard Co. 951,500 20,209,860
Hilton Hotels Corp. 118,300 2,052,505
# Home Depot, Inc. 709,600 25,488,832
Honeywell International, Inc. 267,900 9,028,230
* Hospira, Inc. 48,770 1,250,463
* Humana, Inc. 50,500 862,035
# Huntington Bancshares, Inc. 71,500 1,620,905
# Illinois Tool Works, Inc. 96,100 8,637,468
IMS Health, Inc. 74,700 1,858,536
Ingersoll-Rand Co., Ltd. Class A 54,700 3,571,910
Intel Corp. 2,022,000 57,728,100
International Business Machines
Corp. 529,900 46,943,841
International Flavors & Fragrances,
Inc. 29,200 1,050,616
International Game Technology 108,100 4,248,330
International Paper Co. 149,900 6,285,307
*# Interpublic Group of Companies, Inc. 129,400 1,860,772
* Intuit, Inc. 61,900 2,425,242
ITT Industries, Inc. 28,800 2,319,840
* Jabil Circuit, Inc. 62,400 1,766,544
Janus Capital Group, Inc. 75,000 1,227,750
* JDS Uniphase Corp. 447,900 1,545,255
Jefferson-Pilot Corp. 44,000 2,258,520
# Johnson & Johnson 925,600 51,565,176
Johnson Controls, Inc. 58,800 3,170,496
Jones Apparel Group, Inc. 39,400 1,515,718
JP Morgan Chase & Co. 642,100 23,654,964
KB Home Corp. 14,600 961,848
# Kellogg Co. 128,600 5,452,640
# Kerr-McGee Corp. 31,400 1,546,450
KeyCorp 130,800 4,108,428
# KeySpan Corp. 49,600 1,755,840
Kimberly Clark Corp. 156,400 10,306,760
Kinder Morgan, Inc. 38,400 2,304,000
* King Pharmaceuticals, Inc. 75,200 1,004,672
* KLA-Tencor Corp. 61,200 2,948,616
Knight Ridder, Inc. 24,900 1,891,902
* Kohls Corp. 106,100 5,046,116
*# Kroger Co. 232,300 3,877,087
# Leggett and Platt, Inc. 59,800 1,511,744
# Lehman Brothers Holdings, Inc. 86,500 6,543,725
* Lexmark International Group, Inc. 40,100 3,782,232
Lilly (Eli) & Co. 350,500 25,821,335
# Limited Brands, Inc. 145,200 2,802,360
Lincoln National Corp. 55,500 2,635,695
Linear Technology Corp. 97,400 3,862,884
Liz Claiborne, Inc. 34,000 1,166,200
Lockheed Martin Corp. 140,700 6,970,278
Loews Corp. 57,900 3,336,777
# Louisiana-Pacific Corp. 33,000 762,300
# Lowe's Companies, Inc. 245,300 13,140,721
* LSI Logic Corp. 118,200 969,240
*# Lucent Technologies, Inc. 1,329,100 4,744,887
M & T Bank Corp. 38,000 3,441,660
Manor Care, Inc. 27,900 874,107
Marathon Oil Corp. 106,200 3,540,708
# Marriott International, Inc. Class A 71,800 3,541,894
Marsh & McLennan Co., Inc. 165,300 $ 7,293,036
Marshall & Isley Corp. 70,600 2,905,190
Masco Corp. 141,100 4,084,845
# Mattel, Inc. 134,100 2,344,068
# Maxim Integrated Products, Inc. 102,300 5,199,909
# May Department Stores Co. 90,000 2,579,400
Maytag Corp. 24,500 638,960
MBIA, Inc. 45,000 2,492,550
MBNA Corp. 398,500 10,121,900
# McCormick & Co., Inc. 42,800 1,517,260
McDonalds Corp. 393,500 10,388,400
# McGraw-Hill Companies, Inc. 59,600 4,644,032
McKesson Corp. 90,800 3,123,520
# MeadWestavco Corp. 62,700 1,731,774
* Medco Health Solutions, Inc. 84,300 2,953,029
* Medimmune, Inc. 77,200 1,858,204
# Medtronic, Inc. 378,100 18,110,990
Mellon Financial Corp. 134,200 3,950,848
Merck & Co., Inc. 693,800 32,816,740
* Mercury Interactive Corp. 28,100 1,347,114
Meredith Corp. 15,700 823,622
Merrill Lynch & Co., Inc. 302,800 17,199,040
MetLife, Inc. 237,100 8,428,905
MGIC Investment Corp. 30,700 2,241,100
* Micron Technology, Inc. 190,000 2,855,700
# Microsoft Corp. 3,366,600 88,709,910
* Millipore Corp. 15,200 835,848
Molex, Inc. 59,400 1,743,984
Monsanto Co. 82,900 2,860,050
* Monster Worldwide, Inc. 35,300 893,443
# Moody's Corp. 46,400 3,034,096
Morgan Stanley Dean Witter & Co. 342,200 18,311,122
# Motorola, Inc. 730,100 14,434,077
Mylan Laboratories, Inc. 85,400 1,905,274
* Nabors Industries, Ltd. 45,700 1,891,980
National City Corp. 189,000 6,707,610
* National Semiconductor Corp. 111,000 2,405,370
*# Navistar International Corp. 21,500 815,925
* NCR Corp. 29,500 1,423,080
*# Network Appliance Corp. 107,600 2,130,480
New York Times Class A 46,700 2,177,621
# Newell Rubbermaid, Inc. 85,600 2,017,592
Newmont Mining Corp. 134,800 5,352,908
* Nextel Communications Corp.
Class A 342,900 7,931,277
# Nicor, Inc. 13,700 455,936
Nike, Inc. Class B 82,100 5,841,415
# NiSource, Inc. 81,900 1,659,294
* Noble Corp. 41,900 1,443,874
# Nordstrom, Inc. 42,900 1,739,595
Norfolk Southern Corp. 121,900 2,953,637
# North Fork Bancorporation, Inc. 53,200 2,048,200
Northern Trust Corp. 68,800 2,954,960
Northrop Grumman Corp. 58,200 6,002,166
* Novell, Inc. 117,500 1,070,425
* Novellus Systems, Inc. 47,800 1,591,262
Nucor Corp. 24,400 1,606,740
*# Nvidia Corp. 50,500 1,190,790
Occidental Petroleum Corp. 121,100 5,352,620
* Office Depot, Inc. 96,900 1,583,346
Omnicom Group, Inc. 59,300 4,736,291
</Table>
102
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Oracle Systems Corp. 1,630,400 $ 18,456,128
Paccar, Inc. 54,600 3,046,680
* Pactiv Corp. 49,100 1,157,778
Pall Corp. 39,200 947,856
* Parametric Technology Corp. 83,200 403,520
Parker-Hannifin Corp. 37,000 2,055,720
Paychex, Inc. 117,700 4,414,927
# Penney (J.C.) Co., Inc. 85,100 3,044,878
# Peoples Energy Corp. 11,700 484,614
* Peoplesoft, Inc. 113,400 2,027,592
# Pepsi Bottling Group, Inc. 81,000 2,349,000
Pepsico, Inc. 533,400 28,467,558
PerkinElmer, Inc. 39,600 772,596
Pfizer, Inc. 2,378,100 84,042,054
*# PG&E Corp. (Holding Co.) 130,700 3,724,950
* Phelps Dodge Corp. 28,900 1,962,310
Pinnacle West Capital Corp. 28,500 1,148,265
# Pitney Bowes, Inc. 72,900 3,231,657
# Plum Creek Timber Co., Inc. 57,100 1,788,372
* PMC Sierra, Inc. 53,900 759,990
PNC Financial Services Group 86,500 4,775,665
* Power-One, Inc. 26,000 262,080
PPG Industries, Inc. 53,400 3,193,320
PPL Corp. 55,300 2,386,195
Praxair, Inc. 101,400 3,750,786
Principal Financial Group, Inc. 100,000 3,495,000
Procter & Gamble Co. 403,000 43,451,460
# Progress Energy, Inc. 76,400 3,255,404
Progressive Corp. 67,700 5,806,629
ProLogis 56,500 1,811,390
* Providian Financial Corp. 90,500 1,230,800
# Prudential Financial, Inc. 168,600 7,468,980
Public Service Enterprise Group, Inc. 73,700 3,107,192
Pulte Homes Inc. 39,100 2,062,525
*# Q Logic Corp. 29,600 908,720
Qualcomm, Inc. 251,200 16,847,984
Quest Diagnostics, Inc. 32,300 2,782,645
*# Qwest Communications International,
Inc. 550,800 2,065,500
Radioshack Corp. 51,200 1,555,968
Raytheon Co. 138,400 4,601,800
Reebok International, Ltd. 18,400 667,000
Regions Financial Corp. 69,200 2,630,984
# RJ Reynolds Tobacco Holdings, Inc. 26,300 1,478,060
Robert Half International, Inc. 53,400 1,494,132
Rockwell Collins, Inc. 55,600 1,670,224
Rockwell International Corp. 58,400 1,977,424
Rohm & Haas Co. 69,400 2,674,676
*# Rowan Companies, Inc. 32,500 714,350
Ryder System, Inc. 20,300 754,145
Sabre Holdings Corp. 43,700 1,114,350
# Safeco Corp. 43,200 1,812,240
*# Safeway, Inc. 137,900 3,111,024
* Saint Jude Medical, Inc. 53,800 4,102,788
Saint Paul Companies, Inc. 211,227 8,381,487
* Sanmina Corp. 161,800 1,711,844
# Sara Lee Corp. 246,700 5,649,430
SBC Communications, Inc. 1,031,700 24,451,290
Schering-Plough Corp. 458,900 7,755,410
Schlumberger, Ltd. 183,600 10,496,412
# Schwab (Charles) Corp. 423,100 4,146,380
# Scientific-Atlanta, Inc. 47,600 $ 1,638,392
* Sealed Air Corp. 26,500 1,332,155
# Sears, Roebuck & Co. 69,300 2,633,400
Sempra Energy 70,900 2,365,933
# Sherwin-Williams Co. 45,400 1,784,220
* Siebel Systems, Inc. 154,700 1,670,760
Sigma-Aldrich Corp. 21,600 1,233,576
Simon Property Group, Inc. 63,600 3,279,852
SLM Corp. 140,700 5,393,031
Snap-On, Inc. 18,200 612,066
* Solectron Corp. 299,900 1,649,450
# Southern Co. 228,400 6,605,328
SouthTrust Corp. 103,000 3,488,610
Southwest Airlines Co. 246,300 3,820,113
# Sprint Corp. 443,300 7,873,008
# Stanley Works 25,300 1,101,815
Staples, Inc. 155,800 4,296,964
* Starbucks Corp. 123,500 5,019,040
Starwood Hotels and Resorts
Worldwide, Inc. 63,700 2,686,866
State Street Corp. 104,600 5,064,732
Stryker Corp. 124,400 6,325,740
* Sun Microsystems, Inc. 1,025,300 4,337,019
* Sungard Data Systems, Inc. 89,600 2,482,816
Sunoco, Inc. 24,100 1,482,873
# Suntrust Banks, Inc. 88,100 5,733,548
Supervalu, Inc. 41,900 1,299,738
* Symantec Corp. 97,100 4,447,180
Symbol Technologies, Inc. 72,100 1,062,033
Synovus Financial Corp. 94,100 2,423,075
Sysco Corp. 201,100 7,541,250
T. Rowe Price Group, Inc. 39,300 1,892,688
Target Corp. 284,200 12,703,740
# Teco Energy, Inc. 58,600 712,576
Tektronix, Inc. 26,400 833,184
* Tellabs, Inc. 129,600 1,029,024
Temple-Inland, Inc. 17,000 1,110,440
* Tenet Healthcare Corp. 145,000 1,728,400
* Teradyne, Inc. 59,600 1,328,484
Texas Instruments, Inc. 540,300 14,107,233
# Textron, Inc. 43,000 2,349,950
The Goldman Sachs Group, Inc. 150,800 14,161,628
* Thermo-Electron Corp. 51,600 1,588,248
# Thomas & Betts Corp. 18,200 445,172
Tiffany & Co. 45,700 1,616,409
* Time Warner, Inc. 1,420,300 24,201,912
TJX Companies, Inc. 157,000 3,910,870
Torchmark Corp. 35,300 1,912,907
* Toys R Us, Inc. 66,600 1,046,952
* Transocean, Inc. 99,800 2,667,654
Tribune Co. 103,100 4,978,699
TXU Corp. 101,000 3,774,370
# Tyco International, Ltd. 623,700 19,203,723
U.S. Bancorp 598,800 16,826,280
Union Pacific Corp. 80,700 4,706,424
Union Planters Corp. 58,800 1,770,468
* Unisys Corp. 103,400 1,402,104
United Parcel Service, Inc. 352,200 25,259,784
# United States Steel Corp. 35,300 1,071,708
United Technologies Corp. 161,100 13,630,671
# Unitedhealth Group, Inc. 195,200 12,736,800
</Table>
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<Table>
<Caption>
SHARES VALUE+
------ ------
* Univision Communications, Inc.
Class A 100,600 $ 3,274,530
Unocal Corp. 80,800 2,878,904
# UnumProvident Corp. 92,400 1,345,344
# UST, Inc. 51,700 1,931,512
# Valero Energy Corp. 40,500 2,677,455
*# Veritas Software Co. 133,500 3,551,100
Verizon Communications, Inc. 861,400 29,787,212
# VF Corp. 33,700 1,583,226
Viacom, Inc. Class B 545,600 20,127,184
Visteon Corp. 40,700 446,072
# Vulcan Materials Co. 31,700 1,418,892
Wachovia Corp. 410,000 19,356,100
Walgreen Co. 319,700 11,192,697
Wal-Mart Stores, Inc. 1,349,800 75,224,354
Washington Mutual, Inc. 280,500 12,252,240
# Waste Management, Inc. 179,900 5,173,924
* Waters Corp. 37,900 1,746,432
* Watson Pharmaceuticals, Inc. 33,700 1,258,695
* Wellpoint Health Networks, Inc. 48,400 5,398,536
# Wells Fargo & Co. 527,700 31,028,760
Wendy's International, Inc. 35,600 1,345,324
Weyerhaeuser Co. 73,200 4,427,136
# Whirlpool Corp. 21,700 1,443,701
Williams Companies, Inc. 161,600 1,924,656
# Winn-Dixie Stores, Inc. 44,200 279,786
Worthington Industries, Inc. 26,900 514,866
# Wrigley (Wm.) Jr. Co. 70,100 4,402,280
Wyeth 415,400 14,954,400
XCEL Energy, Inc. 124,400 2,113,556
*# Xerox Corp. 248,800 3,368,752
# Xilinx, Inc. 107,600 3,925,248
# XL Capital, Ltd. 42,800 3,195,020
*# Yahoo!, Inc. 415,000 12,723,900
* Yum! Brands, Inc. 91,800 3,442,500
* Zimmer Holdings, Inc. 75,400 6,435,390
Zions Bancorp 28,000 1,716,400
---------------
TOTAL COMMON STOCKS
(Cost $2,587,575,053) 3,253,108,973
---------------
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
TEMPORARY CASH
INVESTMENTS -- (12.5%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $65,199,000
FHLB Floating Rate Notes,
10/03/05, valued at $65,117,501) to
be repurchased at $64,161,344
(Cost $64,155,000) $ 64,155 $ 64,155,000
Repurchase Agreement, Merrill Lynch
Triparty Repo 0.96%, 06/01/04
(Collateralized by $392,750,000
U.S. Treasury Obligations rates
ranging from 1.875% to 6.75%,
maturities ranging from 05/15/05 to
11/30/05, valued at $410,731,038)
to be repurchased at $402,719,403
(Cost $402,676,451)^ 402,676 402,676,451
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $466,831,451) 466,831,451
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,054,406,505)++ $ 3,719,940,424
===============
</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 $3,216,721,011.
See accompanying Notes to Financial Statements.
104
<Page>
THE ENHANCED U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT@ VALUE+
------- ------
(000)
UNITED STATES -- (72.6%)
COMMERCIAL PAPER -- (38.0%)
AIG Funding, Inc.
0.990%, 06/03/04 $ 300 $ 299,983
0.980%, 06/08/04 600 599,881
1.060%, 07/22/04 900 898,614
CDC Commercial Paper Corp.
1.000%, 06/03/04 2,600 2,599,853
0.990%, 06/10/04 2,300 2,299,413
Ciesco L.P.
1.030%, 06/17/04 1,200 1,199,439
1.030%, 06/22/04 3,600 3,597,770
Compass Securitization LLC
1.040%, 06/18/04 4,000 3,998,009
1.050%, 06/18/04 800 799,602
Electricite de France
1.020%, 06/17/04 4,900 4,897,778
Govco, Inc.
1.050%, 07/01/04 2,300 2,297,968
1.090%, 07/13/04 500 499,362
KFW International Finance, Inc.
1.010%, 06/22/04 1,800 1,798,929
Kimberly-Clark Worldwide
1.010%, 06/03/04 3,900 3,899,779
Kittyhawk Funding Corp.
1.030%, 06/02/04 600 599,982
1.030%, 06/15/04 1,709 1,708,295
1.030%, 06/24/04 2,200 2,198,496
Marsh & McLennan Co., Inc.
1.010%, 06/22/04 900 899,464
Novartis Finance Corp.
1.010%, 06/03/04 5,000 4,999,717
Pfizer, Inc.
1.040%, 07/08/04 1,600 1,598,281
1.040%, 07/12/04 1,900 1,897,708
Rabobank
1.030%, 06/01/04 5,000 5,000,000
Sheffield Receivables Corp.
1.040%, 06/01/04 2,800 2,800,000
1.040%, 06/22/04 2,100 2,098,687
Siemens Capital Corp.
1.000%, 06/03/04 2,000 1,999,887
UBS Finance Delaware, Inc.
1.015%, 06/01/04 4,100 4,100,000
Wal-Mart Stores, Inc.
1.050%, 07/20/04 1,400 1,397,940
Windmill Funding Corp.
1.030%, 06/03/04 4,100 4,099,759
---------------
TOTAL COMMERCIAL PAPER
(Cost $65,085,040) 65,084,596
---------------
AGENCY OBLIGATIONS -- (17.9%)
Federal Home Loan Bank
2.500%, 11/15/05 1,200 1,201,356
2.250%, 12/15/05 $ 2,700 $ 2,690,437
2.000%, 02/13/06 1,000 989,456
2.250%, 05/15/06 1,600 1,582,877
Federal Home Loan Mortgage
Corporation
0.960%, 06/01/04 8,700 8,700,000
5.250%, 01/15/06 6,500 6,779,903
1.875%, 02/15/06 7,300 7,218,539
Federal National Mortgage Association
2.125%, 04/15/06 1,500 1,483,320
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $30,811,012) 30,645,888
---------------
BONDS -- (16.7%)
Bayerische Landesbank
2.500%, 04/28/06 5,000 4,935,975
Citigroup, Inc.
6.750%, 12/01/05 4,600 4,881,483
General Electric Capital Corp.
2.000%, 01/30/06 3,500 3,459,725
KFW International Finance, Inc.
2.500%, 10/17/05 3,000 3,013,722
Swiss Bank Corp. New York
6.750%, 07/15/05 3,700 3,882,787
Toyota Motor Credit Corp.
2.070%, 10/31/05 3,500 3,502,688
4.050%, 01/26/06 1,000 1,021,700
Wells Fargo & Co. Corporate Bonds
7.250%, 08/24/05 3,800 4,024,204
---------------
TOTAL BONDS
(Cost $28,932,272) 28,722,284
---------------
TOTAL -- UNITED STATES
(Cost $124,828,324) 124,452,768
---------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (11.1%)
BONDS -- (11.1%)
Council of Europe Social
Development Fund
4.875%, 10/27/05 3,500 3,618,370
European Investment Bank
5.625%, 01/24/06 1,500 1,575,751
Inter-American Development Bank
6.125%, 03/08/06 4,500 4,773,600
Nordic Investment Bank
2.750%, 01/11/06 4,400 4,410,591
World Bank (International Bank for
Reconstruction & Development)
Corporate Bonds
5.000%, 11/04/05 4,500 4,661,550
---------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $19,205,841) 19,039,862
---------------
</Table>
105
<Page>
<Table>
<Caption>
FACE
AMOUNT@ VALUE+
------- ------
(000)
GERMANY -- (3.1%)
BONDS -- (3.1%)
Landeskreditbank Baden-Wuerttemberg - Foerderbank
4.500%, 12/30/05 $ 1,000 $ 1,030,500
Landwirtschaftliche Rentenbank 6.625%, 12/08/05 4,000 4,246,800
---------------
TOTAL -- GERMANY
(Cost $5,285,053) 5,277,300
---------------
SWEDEN -- (2.8%)
BONDS -- (2.8%)
Sweden (Kingdom of) 4.375%, 12/20/05
(Cost $4,877,293) 4,700 4,844,290
---------------
CANADA -- (2.8%)
BONDS -- (2.8%)
Ontario, Province of 6.000%, 02/21/06
(Cost $4,932,081) 4,600 4,841,164
---------------
FINLAND -- (2.8%)
BONDS -- (2.8%)
Republic of Finland 5.875%, 02/27/06
(Cost $4,814,976) 4,500 4,752,239
---------------
NETHERLANDS -- (2.7%)
BONDS -- (2.7%)
Bank Nederlandse Gemeenten 4.375%, 12/30/05
(Cost $4,671,588) 4,500 4,625,460
---------------
SPAIN -- (1.7%)
BONDS -- (1.7%)
Instituto de Credito Oficial 2.750%, 12/05/05
(Cost $3,037,484) 3,000 3,013,470
---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency
(Cost $449) 587
---------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets, Inc.
0.89%, 06/01/04 (Collateralized by $641,000
FHLB Floating Rate Notes, 10/03/05, valued at
$640,199) to be repurchased at $630,062
(Cost $630,000) 630 630,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $172,283,089)++ $ 171,477,140
===============
</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 $172,283,089.
See accompanying Notes to Financial Statements.
106
<Page>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (85.3%)
* 3COM Corp. 606,100 $ 3,921,467
A. G. Edwards, Inc. 17,500 654,500
*# Advanced Micro Devices, Inc. 504,800 7,849,640
Aetna, Inc. 539,626 43,817,631
* Agere Systems, Inc. Class A 8,652 21,976
* Agere Systems, Inc. Class B 212,364 520,292
# Albertson's, Inc. 538,100 12,607,683
* Allegheny Corp. 17,934 4,779,411
Alliant Energy Corp. 212,900 5,318,242
* Allied Waste Industries, Inc. 255,800 3,391,908
* Allmerica Financial Corp. 98,000 3,150,700
Allstate Corp. 1,618,800 71,194,824
Ambac Financial Group, Inc. 23,200 1,604,280
Amerada Hess Corp. 196,432 13,866,135
American Financial Group, Inc. 177,400 5,359,254
American National Insurance Co. 46,700 4,380,927
*# American Tower Corp. 336,000 4,646,880
*# Americredit Corp. 374,000 6,619,800
Anadarko Petroleum Corp. 627,078 34,188,293
Apache Corp. 129,990 5,246,396
* Apple Computer, Inc. 197,300 5,536,238
* Applied Micro Circuits Corp. 213,200 1,149,148
Archer-Daniels Midland Co. 2,475,260 41,163,574
* Arrow Electronics, Inc. 308,200 8,392,286
Ashland, Inc. 297,600 14,031,840
Astoria Financial Corp. 40,500 1,549,935
AT&T Corp. 1,937,780 32,128,392
* AT&T Wireless Services, Inc. 5,388,737 76,304,516
*# AutoNation, Inc. 2,057,600 34,300,192
* Avnet, Inc. 199,900 4,677,660
AVX Corp. 125,400 1,986,336
Bank of America Corp. 82,170 6,830,792
Bank of Hawaii Corp. 327,500 14,229,875
* Barnes & Noble, Inc. 13,000 389,220
Bausch & Lomb, Inc. 11,800 720,036
Bear Stearns Companies, Inc. 373,770 30,297,796
Belo Corp. Class A 324,200 9,537,964
* Big Lots, Inc. 253,500 3,706,170
# Blockbuster, Inc. Class A 23,300 364,878
Boise Cascade Corp. 213,400 7,501,010
Borders Group, Inc. 34,000 776,220
Borg-Warner, Inc. 201,600 8,354,304
Bowater, Inc. 168,400 7,111,532
Burlington Northern Santa Fe Corp. 1,283,000 42,262,020
* Caesars Entertainment, Inc. 845,900 11,648,043
* Cavco Industries, Inc. 11,450 434,402
# Cendant Corp. 311,800 7,152,692
*# CheckFree Corp. 56,200 1,723,092
Chubb Corp. 258,900 17,442,093
*# CIENA Corp. 164,600 592,560
Cincinnati Financial Corp. 579,159 24,759,047
Circuit City Stores, Inc. 531,900 6,366,843
Clear Channel Communications, Inc. 1,428,466 56,710,100
*# CNA Financial Corp. 635,600 19,080,712
Coca-Cola Enterprises, Inc. 1,785,400 49,187,770
* Comcast Corp. Class A 2,432,666 $ 70,425,681
* Comcast Corp. Special Class A
Non-Voting 927,100 26,283,285
Commerce Group, Inc. 93,100 4,219,292
Commercial Federal Corp. 98,900 2,771,178
* Compuware Corp. 35,800 284,610
* Comverse Technology, Inc. 111,500 1,970,205
ConocoPhilips 220,400 16,161,932
*# Corning, Inc. 998,300 12,368,937
Countrywide Financial Corp. 819,999 52,889,935
*# Cox Communications, Inc. 1,421,400 44,646,174
*# Crown Castle International Corp. 468,900 6,906,897
# CSX Corp. 577,800 18,258,480
# Cummins, Inc. 143,100 8,334,144
Curtiss-Wright Corp-Cl B W/I 27,130 1,214,067
# Dana Corp. 510,700 9,524,555
*# Delta Air Lines, Inc. 402,500 2,455,250
# Diamond Offshore Drilling, Inc. 298,241 6,737,264
Dillards, Inc. Class A 48,900 978,489
Disney (Walt) Co. 906,600 21,277,902
# Eastman Chemical Co. 108,200 5,013,988
Electronic Data Systems Corp. 746,200 12,200,370
Federated Department Stores, Inc. 618,200 29,494,322
First American Financial Corp. 156,500 4,062,740
First Citizens Bancshares, Inc. 10,300 1,194,800
Florida East Coast Industries, Inc. 68,139 2,465,269
Foot Locker, Inc. 175,000 4,130,000
# Ford Motor Co. 4,185,900 62,160,615
# General Motors Corp. 1,395,700 63,350,823
Georgia-Pacific Corp. 684,200 24,508,044
*# Goodyear Tire & Rubber Co. 203,900 1,773,930
Harris Corp. 151,400 7,000,736
Hartford Financial Services Group,
Inc. 487,000 32,200,440
Hearst-Argyle Television, Inc. 238,600 6,239,390
Helmerich & Payne, Inc. 146,800 3,662,660
Hibernia Corp. 274,500 6,588,000
Hollinger International, Inc. Class A 257,600 4,533,760
Horton (D.R.), Inc. 818,872 23,665,401
* Human Genome Sciences, Inc. 23,900 259,793
* Humana, Inc. 618,900 10,564,623
Ikon Office Solutions, Inc. 123,700 1,363,174
Independence Community Bank Corp. 12,500 469,000
* Ingram Micro, Inc. 336,900 4,868,205
* Instinet Group, Inc. 15,200 100,168
*# InterActiveCorp 1,496,500 46,780,590
International Paper Co. 1,215,775 50,977,446
*# Invitrogen Corp. 50,100 3,479,445
* JDS Uniphase Corp. 1,095,700 3,780,165
JP Morgan Chase & Co. 2,244,400 82,683,696
# Kerr-McGee Corp. 207,658 10,227,156
KeyCorp 941,600 29,575,656
# Labranche & Co., Inc. 19,700 176,512
LaFarge North America, Inc. 257,500 11,345,450
Lear Corp. 110,900 6,568,607
*# Level 3 Communications, Inc. 195,500 762,450
</Table>
107
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Liberty Media Corp. 6,276,100 $ 68,911,578
Lincoln National Corp. 418,500 19,874,565
Loews Corp. 636,800 36,698,784
# Louisiana-Pacific Corp. 94,500 2,182,950
* LSI Logic Corp. 647,300 5,307,860
Lubrizol Corp. 182,000 6,026,020
*# Lucent Technologies, Inc. 1,193,800 4,261,866
Lyondell Chemical Co. 447,200 7,387,744
Manulife Financial Corp. 425,285 16,509,564
Marathon Oil Corp. 961,450 32,054,743
# May Department Stores Co. 63,100 1,808,446
MBIA, Inc. 327,250 18,126,378
# MeadWestavco Corp. 758,431 20,947,864
MetLife, Inc. 1,830,500 65,074,275
*# Metro-Goldwyn-Mayer, Inc. 261,100 3,104,479
MGIC Investment Corp. 116,900 8,533,700
* MGM Grand, Inc. 390,100 17,324,341
* Micron Technology, Inc. 767,000 11,528,010
*# Mony Group, Inc. 51,200 1,599,488
Nationwide Financial Services, Inc. 94,300 3,446,665
Norfolk Southern Corp. 1,537,600 37,256,048
Northrop Grumman Corp. 427,771 44,116,023
Nucor Corp. 15,000 987,750
Occidental Petroleum Corp. 650,800 28,765,360
# Odyssey Re Holdings Corp. 50,500 1,275,125
Old Republic International Corp. 501,412 11,412,137
* Owens-Illinois, Inc. 314,400 4,662,552
* Pacificare Health Systems, Inc. 50,000 1,846,500
* Pactiv Corp. 55,100 1,299,258
*# PanAmSat Corp. 350,100 8,132,823
# Peabody Energy Corp. 54,600 2,715,804
# Penney (J.C.) Co., Inc. 1,120,000 40,073,600
PepsiAmericas, Inc. 192,000 4,078,080
* Phelps Dodge Corp. 287,085 19,493,072
# PMI Group, Inc. 191,100 8,249,787
Pogo Producing Co. 69,200 3,147,216
*# Pride International, Inc. 303,400 4,769,448
Principal Financial Group, Inc. 746,100 26,076,195
Protective Life Corp. 141,500 5,232,670
* Providian Financial Corp. 483,100 6,570,160
Pulte Homes Inc. 248,400 13,103,100
# Questar Corp. 251,000 9,199,150
*# Qwest Communications
International, Inc. 2,000,600 7,502,250
Radian Group, Inc. 211,300 9,719,800
* Radio One, Inc. 22,900 395,712
Rayonier, Inc. 500 21,000
Raytheon Co. 1,311,300 43,600,725
Reinsurance Group of America, Inc. 114,100 4,535,475
* Rite Aid Corp. 969,800 4,868,396
# RJ Reynolds Tobacco Holdings, Inc. 251,326 14,124,521
Ryder System, Inc. 275,400 10,231,110
# Safeco Corp. 486,400 20,404,480
Saint Paul Companies, Inc. 695,326 27,590,536
Saks, Inc. 743,200 11,155,432
* Sanmina Corp. 639,900 6,770,142
SBC Communications, Inc. 430,200 10,195,740
# Sears, Roebuck & Co. 493,500 18,753,000
* Service Corp. International 237,100 1,707,120
* Smithfield Foods, Inc. 68,400 1,982,916
*# Smurfit-Stone Container Corp. 617,026 11,205,192
* Solectron Corp. 1,155,300 $ 6,354,150
# Sovereign Bancorp, Inc. 781,020 16,987,185
# Sprint Corp. 2,161,500 38,388,240
StanCorp Financial Group, Inc. 20,000 1,281,800
Starwood Hotels and Resorts
Worldwide, Inc. 573,500 24,190,230
Steelcase, Inc. Class A 47,400 559,320
* Sun Microsystems, Inc. 2,143,700 9,067,851
Sunoco, Inc. 298,800 18,385,164
Supervalu, Inc. 565,200 17,532,504
*# Tech Data Corp. 119,000 4,776,660
# Telephone & Data Systems, Inc. 89,300 6,398,345
* Tellabs, Inc. 716,800 5,691,392
Temple-Inland, Inc. 131,300 8,576,516
* Tenet Healthcare Corp. 1,047,300 12,483,816
# Textron, Inc. 123,000 6,721,950
* The DIRECTV Group, Inc. 680,337 11,980,735
# Thomas & Betts Corp. 46,900 1,147,174
Tidewater, Inc. 100,900 2,788,876
* Time Warner, Inc. 7,039,080 119,945,923
Torchmark Corp. 127,200 6,892,968
* Toys R Us, Inc. 819,300 12,879,396
* Triad Hospitals, Inc. 147,000 5,197,920
# Tyson Foods, Inc. Class A 912,556 18,725,649
Union Pacific Corp. 824,200 48,067,344
Unionbancal Corp. 86,600 4,987,294
* Unisys Corp. 113,200 1,534,992
* United States Cellular Corp. 122,800 4,372,908
# United States Steel Corp. 326,200 9,903,432
Unitrin, Inc. 223,800 8,974,380
# UnumProvident Corp. 913,089 13,294,576
# Valero Energy Corp. 306,800 20,282,548
Valhi, Inc. 158,500 1,759,350
* VeriSign, Inc. 166,300 3,016,682
Viacom, Inc. Class B 3,061,100 112,923,979
*# Vishay Intertechnology, Inc. 315,716 5,957,561
* Vitesse Semiconductor, Inc. 2,800 15,288
* WebMD Corp. 25,800 228,588
Weis Markets, Inc. 20,800 710,320
Wesco Financial Corp. 13,540 5,103,903
* Westport Resources Corp. 30,800 1,065,680
# Weyerhaeuser Co. 565,400 34,195,392
Worthington Industries, Inc. 133,200 2,549,448
*# Xerox Corp. 75,000 1,015,500
---------------
TOTAL COMMON STOCKS
(Cost $2,572,821,731) 3,122,322,882
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS (14.7%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $67,332,000
FNMA Discount Notes, 12/10/04,
valued at $66,827,010) to be
repurchased at $65,845,511
(Cost $65,839,000) $ 65,839 65,839,000
</Table>
108
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
Repurchase Agreement, Merrill Lynch Triparty Repo
0.96%, 06/01/04 (Collateralized by $471,136,000
U.S. Treasury Obligations rates ranging from
1.625% to 6.00%, maturities ranging from 08/15/04 to
02/15/12, valued at $483,699,189) to be repurchased at
$474,263,981
(Cost $474,213,398)^ $ 474,213 $ 474,213,398
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $540,052,398) 540,052,398
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,112,874,129)++ $ 3,662,375,280
===============
</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 $3,112,874,157.
See accompanying Notes to Financial Statements.
109
<Page>
THE U.S. SMALL XM VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (91.6%)
1st Source Corp. 14,400 $ 326,880
* 3COM Corp. 137,100 887,037
* AAR Corp. 22,300 213,634
* ABX Air, Inc. 49,700 223,650
* Adaptec, Inc. 83,099 680,581
Advanta Corp. Class A 5,387 87,054
Advanta Corp. Class B Non-Voting 13,327 211,366
* Agile Software Corp. 13,400 107,200
Agilysys, Inc. 24,900 306,519
* AK Steel Holding Corp. 82,938 379,856
* Alaska Air Group, Inc. 18,700 385,220
Alexander & Baldwin, Inc. 33,500 1,067,645
* Allegheny Corp. 3,052 813,358
* Alliance Semiconductor Corp. 13,700 81,789
Alliant Energy Corp. 42,200 1,054,156
* Allmerica Financial Corp. 38,600 1,240,990
* Alloy, Inc. 16,100 80,661
Alpharma, Inc. Class A 31,500 616,770
* AMC Entertainment, Inc. 23,600 356,360
* Amerco, Inc. 17,600 440,176
American Financial Group, Inc. 53,400 1,613,214
*# American Greetings Corp. Class A 46,500 976,500
American National Insurance Co. 10,400 975,624
*# American Tower Corp. 63,400 876,822
* Americredit Corp. 65,100 1,152,270
# AmerUs Group Co. 31,200 1,227,720
* Ames Department Stores, Inc. 20,200 35
* AMN Healthcare Services, Inc. 10,700 162,640
* Anadigics, Inc. 6,800 33,524
Analogic Corp. 11,000 507,430
* Applica, Inc. 9,200 90,344
Applied Industrial Technologies, Inc. 13,500 361,125
* Applied Micro Circuits Corp. 182,253 982,344
Arch Chemicals, Inc. 15,550 412,541
* Arena Pharmaceuticals, Inc. 4,800 28,128
* Argonaut Group, Inc. 15,400 267,652
* Ariba, Inc. 14,288 31,148
*# Armstrong Holdings, Inc. 24,500 21,560
* Arris Group, Inc. 14,621 92,405
* Arrow Electronics, Inc. 13,277 361,533
* Ascential Software Corp. 16,259 260,957
*# ATA Holdings Corp. 4,600 29,210
* Atlas Air Worldwide Holdings, Inc. 11,400 593
* Atwood Oceanics, Inc. 9,000 358,380
* Audiovox Corp. Class A 8,100 112,752
* Avnet, Inc. 59,800 1,399,320
AVX Corp. 24,200 383,328
* Aztar Corp. 23,900 576,229
Baldwin & Lyons, Inc. Class B 4,725 114,109
* Bally Total Fitness Holding Corp. 13,300 61,180
Bandag, Inc. Class A 3,800 150,746
* BankUnited Financial Corp. Class A 20,000 521,800
Banner Corp. 4,497 131,312
* Barnes & Noble, Inc. 34,500 1,032,930
Bassett Furniture Industries, Inc. 4,600 87,533
* Bay View Capital Corp. 34,600 $ 70,584
# Beazer Homes USA, Inc. 10,600 1,068,162
* Beverly Enterprises 9,400 79,712
* Big Lots, Inc. 81,800 1,195,916
Bob Evans Farms, Inc. 17,600 452,144
* Boca Resorts, Inc. 24,800 445,904
* Bombay Co., Inc. 5,100 29,682
Borders Group, Inc. 54,200 1,237,386
Bowater, Inc. 21,600 912,168
Bowne & Co., Inc. 27,330 435,094
* Brush Engineered Materials, Inc. 6,400 111,488
* Buckeye Technology, Inc. 14,500 146,305
Burlington Coat Factory Warehouse
Corp. 34,400 654,976
* Cable Design Techologies Corp. 33,800 281,892
Calgon Carbon Corp. 15,300 94,554
* Caraustar Industries, Inc. 21,800 291,684
Carpenter Technology Corp. 15,600 474,552
Casey's General Stores, Inc. 34,935 570,489
* Castle (A.M.) & Co. 6,200 52,638
* Central Garden & Pet Co. 11,090 412,215
Central Parking Corp. 24,700 456,703
* Century Aluminum Co. 98 2,271
* Century Business Services, Inc. 64,700 266,564
* Cenveo, Inc. 13,200 40,788
* Charming Shoppes, Inc. 85,514 732,000
*# Charter Communications, Inc. 50,200 193,270
Chesapeake Corp. 10,700 232,404
* Ciber, Inc. 30,800 274,120
*# CIENA Corp. 11,500 41,400
* Cincinnati Bell, Inc. 85,400 351,848
CIRCOR International, Inc. 5,950 116,858
Circuit City Stores, Inc. 146,600 1,754,802
* Cirrus Logic, Inc. 700 5,201
* CKE Restaurants, Inc. 1,300 13,156
*# CMS Energy Corp. 72,075 621,286
* CNA Surety Corp. 27,000 280,800
* CNET Networks, Inc. 10,772 104,058
Coachmen Industries, Inc. 6,100 98,576
* Coherent, Inc. 20,536 556,320
* Collins & Aikman Corp. 56,300 298,953
* Columbus McKinnon Corp. 5,900 31,264
* Comfort Systems USA, Inc. 14,800 104,340
Commerce Group, Inc. 22,400 1,015,168
Commercial Federal Corp. 34,500 966,690
Commercial Metals Co. 19,800 595,980
* Commonwealth Industries, Inc. 6,300 56,385
Community Bank System, Inc. 5,200 114,504
Community Trust Bancorp, Inc. 2,940 91,640
* Compucom Systems, Inc. 19,300 86,657
* CompuCredit Corp. 15,400 270,116
* Compuware Corp. 71,948 571,987
* Conexant Systems, Inc. 31,791 150,054
* Conmed Corp. 20,300 516,635
* Consolidated Freightways Corp. 400 1
* Consolidated Graphics, Inc. 9,400 377,410
</Table>
110
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*# Continental Airlines, Inc. 50,800 $ 543,052
Cooper Tire & Rubber Co. 55,000 1,159,950
*# Corixa Corp. 6,100 30,927
Corn Products International, Inc. 25,240 1,094,911
* Covanta Energy Corp. 1,014 2
* Covenant Transport, Inc. Class A 4,900 76,783
*# Credence Systems Corp. 26,985 378,060
* Credit Acceptance Corp. 23,600 355,180
Crompton Corp. 22,300 133,131
* Cross Country Healthcare, Inc. 22,461 373,077
* Crown Media Holdings, Inc. 15,817 143,144
CSS Industries, Inc. 4,600 160,540
CTS Corp. 21,500 234,350
* Cumulus Media, Inc. Class A 18,800 348,552
* CuraGen Corp. 5,766 28,830
Curtiss-Wright Corp. 4,800 225,840
Curtiss-Wright Corp-Cl B W/I 3,168 141,768
Delphi Financial Group, Inc. Class A 18,017 725,725
* Denbury Resources, Inc. 9,300 171,120
Dillards, Inc. Class A 61,414 1,228,894
Dimon, Inc. 17,500 107,625
* Dollar Thrifty Automotive Group, Inc. 16,800 440,496
* DoubleClick, Inc. 48,920 414,842
Downey Financial Corp. 19,000 1,005,100
* Duane Reade, Inc. 11,600 191,400
* DuPont Photomasks, Inc. 12,679 279,952
* Dura Automotive Systems, Inc. 6,150 58,179
* DVI, Inc. 12,800 211
* Dynegy, Inc. 129,400 568,066
* E.piphany, Inc. 47,432 222,930
Eagle Materials, Inc. 3,993 266,333
* Edgewater Technology, Inc. 4,472 27,682
* eFunds Corp. 23,393 374,522
Electro Rent Corp. 9,700 106,118
* Electroglas, Inc. 7,500 39,375
* Emmis Communications Corp.
Class A 14,923 325,321
* Entravision Communications Corp. 47,300 383,130
* Esterline Technologies Corp. 14,700 370,146
* Ethyl Corp. 5,560 111,589
* Exar Corp. 27,702 441,293
* Fairchild Corp. Class A 8,736 39,312
FBL Financial Group, Inc. Class A 16,500 468,105
*# Federal-Mogul Corp. 98,700 26,155
First American Financial Corp. 38,800 1,007,248
First Citizens Bancshares, Inc. 3,500 406,000
* First Horizon Pharmaceutical Corp. 9,200 163,070
First Republic Bank 9,550 389,258
* Fleetwood Enterprises, Inc. 100 1,340
Flowers Foods, Inc. 14,525 339,449
* Flowserve Corp. 42,500 890,375
* Forest Oil Corp. 42,400 1,055,760
* Franklin Covey Co. 6,500 15,925
* Friede Goldman Halter, Inc. 1,000 1
* FSI International, Inc. 2,100 14,469
* Gateway, Inc. 71,200 288,360
GATX Corp. 38,600 930,646
* Gaylord Entertainment Co. 23,750 682,812
# Gencorp, Inc. 34,100 387,376
* Genesee & Wyoming, Inc. 13,500 308,610
* Genesis Microchip, Inc. 12,200 197,030
* Gerber Scientific, Inc. 8,700 $ 54,288
Gibraltar Steel Corp. 6,300 182,385
Glatfelter (P.H.) Co. 35,400 433,296
* Glenayre Technologies, Inc. 25,600 64,768
*# Goodyear Tire & Rubber Co. 126,900 1,104,030
Goody's Family Clothing, Inc. 12,700 151,638
* Graphic Packaging Corp. 9,300 60,078
Gray Television, Inc. 33,400 470,606
Great American Financial Resources,
Inc. 18,400 280,600
* Great Atlantic & Pacific Tea Co., Inc. 19,250 133,402
* Group 1 Automotive, Inc. 15,900 510,390
* Ha-Lo Industries, Inc. 27,300 38
* Hain Celestial Group, Inc. 23,400 414,180
Handleman Co. 17,100 383,040
* Hanger Orthopedic Group, Inc. 6,900 113,850
* Hanover Compressor Co. 62,800 657,516
Harleysville Group, Inc. 24,000 453,360
Hearst-Argyle Television, Inc. 20,000 523,000
Helmerich & Payne, Inc. 40,100 1,000,495
* Hexcel Corp. 15,100 128,350
Holly Corp. 1,100 38,225
Horace Mann Educators Corp. 29,300 496,049
* Houston Exploration Co. 19,000 897,940
Hughes Supply, Inc. 14,500 783,000
* Human Genome Sciences, Inc. 90,461 983,311
* Hypercom Corp. 18,900 127,008
* Identix, Inc. 9,188 66,613
* IDT Corp. 15,400 270,886
IHOP Corp. 14,900 536,400
Ikon Office Solutions, Inc. 112,100 1,235,342
* IMCO Recycling, Inc. 6,000 75,600
* Incyte Genomics, Inc. 28,000 200,760
# IndyMac Bancorp, Inc. 22,200 730,380
* InFocus Corp. 27,400 220,844
* Infonet Services Corp. 143,300 246,476
* Information Holdings, Inc. 14,100 376,752
Ingles Market, Inc. Class A 4,000 42,400
* Ingram Micro, Inc. 78,600 1,135,770
* Input/Output, Inc. 20,000 138,000
* Insight Communications Co., Inc. 40,100 383,356
* Insight Enterprises, Inc. 10,673 195,956
* Instinet Group, Inc. 87,040 573,594
* Integrated Electrical Services, Inc. 17,900 161,100
* InterCept Group, Inc. 7,900 117,631
* Interface, Inc. Class A 23,300 163,100
* Interland, Inc. 180 524
Intermet Corp. 10,000 41,100
Interpool, Inc. 10,750 181,406
Iomega Corp. 25,700 124,388
* Ionics, Inc. 12,100 305,646
* ITXC Corp. 16,800 39,648
* Jacuzzi Brands, Inc. 16,000 136,640
* Jakks Pacific, Inc. 12,699 225,788
* JDA Software Group, Inc. 18,852 238,478
* Jo-Ann Stores, Inc. 6,200 177,506
* Jones Lang LaSalle, Inc. 15,900 400,998
* K2, Inc. 23,400 344,448
Kaman Corp. Class A 9,000 106,020
*# Kansas City Southern Industries, Inc. 47,700 620,100
* Keane, Inc. 21,000 301,350
</Table>
111
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Kellwood Co. 16,700 $ 679,690
Kelly Services, Inc. 25,200 699,048
* Kemet Corp. 66,000 801,900
Kennametal, Inc. 4,200 178,920
* Kforce, Inc. 39 357
Kimball International, Inc. Class B 16,239 224,748
* Kindred Healthcare, Inc. 21,400 531,576
* Kirby Corp. 15,700 555,780
* Knight Trading Group, Inc. 41,431 474,799
# Labranche & Co., Inc. 45,900 411,264
* Lakes Entertainment, Inc. 8,300 102,588
Landamerica Financial Group, Inc. 14,900 594,361
Landry's Restaurants, Inc. 18,800 564,000
* Lattice Semiconductor Corp. 67,700 528,737
Lawson Products, Inc. 3,600 126,540
Liberty Corp. 12,700 591,185
Lithia Motors, Inc. Class A 9,500 227,240
# LNR Property Corp. 13,900 698,475
Lone Star Steakhouse & Saloon, Inc. 17,372 441,249
Longs Drug Stores Corp. 30,000 642,600
Longview Fibre Co. 39,200 500,192
Louisiana-Pacific Corp. 69,600 1,607,760
Lubrizol Corp. 26,400 874,104
* Luby's, Inc. 10,400 57,408
Lyondell Chemical Co. 30,400 502,208
* M & F Worldwide Corp. 7,100 92,300
MAF Bancorp, Inc. 16,540 728,587
* Magnetek, Inc. 9,200 71,852
* Magnum Hunter Resources, Inc. 52,700 530,689
Massey Energy Co. 57,700 1,420,574
* Mastec, Inc. 8,800 37,576
* Maxxam, Inc. 2,600 65,650
* Maxygen, Inc. 3,900 39,156
* Medarex, Inc. 2,600 21,762
Media General, Inc. Class A 18,000 1,238,760
* Medquist, Inc. 28,200 347,706
* Mens Warehouse, Inc. 29,700 774,873
* Metris Companies, Inc. 29,000 218,950
* Metromedia International Group, Inc. 10,600 3,710
Midland Co. 6,900 180,228
* Milacron, Inc. 13,200 59,136
Minerals Technologies, Inc. 8,600 494,500
* MIPS Technologies, Inc. 1,959 13,595
* MKS Instruments, Inc. 46 1,075
Modine Manufacturing Co. 26,924 811,759
* Mondavi (Robert) Corp. Class A 6,500 226,330
Movado Group, Inc. 3,400 104,380
* MPS Group, Inc. 78,800 873,104
* MRV Communications, Inc. 16,722 44,481
* MSC Software Corp. 5,000 44,700
Mueller Industries, Inc. 23,900 781,530
Myers Industries, Inc. 6,300 85,113
Nacco Industries, Inc. Class A 4,100 363,834
National Presto Industries, Inc. 2,700 106,380
* NCI Building Systems, Inc. 13,500 392,445
* NCO Group, Inc. 18,095 448,575
* Neoforma, Inc. 5,400 61,398
NetBank, Inc. 18,773 201,247
* NetIQ Corp. 43,858 581,118
* NetRatings, Inc. 21,790 304,842
* Newpark Resources, Inc. 31,100 175,715
* Newport Corp. 27,188 $ 395,042
*# Northwest Airlines Corp. 33,500 338,685
* Ocwen Financial Corp. 1,600 19,904
# Odyssey Re Holdings Corp. 49,600 1,252,400
* Offshore Logistics, Inc. 15,800 362,926
* Ohio Casualty Corp. 42,700 800,625
* Oil States International, Inc. 34,500 489,900
* Oplink Communications, Inc. 62,000 124,620
* Oregon Steel Mills, Inc. 10,300 116,081
*# Orthodontic Centers of America, Inc. 31,100 265,905
Overseas Shipholding Group, Inc. 30,000 1,144,200
* Owens-Illinois, Inc. 18,700 277,321
*# Palmone Inc. 2,200 46,706
Park Electrochemical Corp. 5,050 126,048
* Parker Drilling Co. 36,300 116,523
* Pathmark Stores, Inc. 11,800 79,650
* Paxson Communications Corp. 18,600 52,266
Peabody Energy Corp. 42,500 2,113,950
* Pegasus Solutions, Inc. 200 2,300
Penn Virginia Corp. 4,600 286,580
Pep Boys - Manny, Moe & Jack 19,100 467,759
PepsiAmericas, Inc. 65,300 1,386,972
* Per-Se Technologies, Inc. 11,800 153,400
Phillips-Van Heusen Corp. 15,200 287,736
* Photronics, Inc. 3,874 68,492
* Pico Holdings, Inc. 4,200 76,650
Pilgrims Pride Corp. Class B 800 21,504
* Pinnacle Entertainment, Inc. 15,000 171,000
* Plains Exploration & Production Co. 2,400 42,720
* Plexus Corp. 17,109 251,331
PMA Capital Corp. Class A 16,434 114,545
* Polyone Corp. 36,900 254,241
Pope & Talbot, Inc. 2,400 40,152
Potlatch Corp. 5,900 222,725
*# Powerwave Technologies, Inc. 36,500 292,365
Presidential Life Corp. 20,305 343,561
* PRG-Schultz International, Inc. 27,514 124,088
* Pride International, Inc. 60,300 947,916
* Prime Hospitality Corp. 32,600 323,066
* Procurenet, Inc. 13,000 13
* Protection One, Inc. 37,000 7,215
Protective Life Corp. 34,500 1,275,810
* Province Healthcare Co. 34,100 546,282
Pulitzer, Inc. 5,900 277,595
Quanex Corp. 11,100 494,505
* Quanta Services, Inc. 88,200 467,460
* Quantum Corp.- DLT 18,100 53,395
* Radio One, Inc. 15,500 267,840
* Railamerica, Inc. 22,400 285,600
* RealNetworks, Inc. 1,700 10,217
Regal-Beloit Corp. 14,700 300,615
Reinsurance Group of America, Inc. 24,900 989,775
Reliance Steel & Aluminum Co. 25,600 936,704
* Reliant Resources, Inc. 193,900 1,921,549
* Remec, Inc. 13,400 87,770
* Rent-Way, Inc. 10,100 93,930
Resource America, Inc. 6,700 146,060
* Retail Ventures Inc. 13,300 96,159
Riggs National Corp. 19,900 434,616
* Riverstone Networks, Inc. 13,200 13,134
RLI Corp. 17,600 633,072
</Table>
112
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Rock-Tenn Co. Class A 24,500 $ 393,715
* Rowan Companies, Inc. 65,800 1,446,284
* RTI International Metals, Inc. 8,200 118,982
Ruddick Corp. 31,800 653,808
Russell Corp. 25,100 411,138
* Ryan's Family Steak Houses, Inc. 25,300 425,799
Ryder System, Inc. 38,500 1,430,275
Ryerson Tull, Inc. 9,718 130,318
* Safeguard Scientifics, Inc. 66,500 169,575
Saks, Inc. 87,200 1,308,872
Sauer-Danfoss, Inc. 18,500 287,490
* ScanSoft, Inc. 9,000 47,160
Schulman (A.), Inc. 22,055 440,438
Schweitzer-Maudoit International, Inc. 5,100 143,565
SCPIE Holdings, Inc. 3,900 33,969
* SCS Transportation, Inc. 5,750 130,812
Seaboard Corp. 540 201,960
*# Seacor Smit, Inc. 12,250 490,490
Selective Insurance Group, Inc. 18,000 650,340
* Sequa Corp. Class A 2,800 137,620
* Sequa Corp. Class B 1,300 65,910
* Sequenom, Inc. 14,900 23,989
* Service Corp. International 217,800 1,568,160
*# Shaw Group, Inc. 46,700 551,060
* Shiloh Industries, Inc. 6,000 65,280
* Shopko Stores, Inc. 20,300 276,892
*# Silicon Graphics, Inc. 79,700 150,633
* Six Flags, Inc. 70,700 494,900
* Skechers U.S.A., Inc. Class A 11,600 133,400
Skyline Corp. 3,300 132,066
* Skyworks Solutions, Inc. 10,786 96,427
Smith (A.O.) Corp. 13,950 410,827
* Smithfield Foods, Inc. 42,600 1,234,974
* Sola International, Inc. 12,800 248,192
Sonic Automotive, Inc. 24,300 533,385
* SonicWALL, Inc. 41,000 326,360
* Sourcecorp, Inc. 10,200 261,936
South Jersey Industries, Inc. 7,000 293,930
* Southwestern Energy Co. 21,400 546,984
* Spherion Corp. 45,800 423,192
* Spinnaker Exploration Co. 24,300 809,919
* SR Telecom, Inc. 21 72
StanCorp Financial Group, Inc. 22,600 1,448,434
Standard Motor Products, Inc. Class A 7,700 107,800
Standard Pacific Corp. 13,600 692,920
Standard Register Co. 12,800 156,032
Starrett (L.S.) Co. Class A 2,000 31,460
*# Steel Dynamics, Inc. 28,858 738,765
Steelcase, Inc. Class A 30,700 362,260
Stepan Co. 3,500 84,875
Stewart & Stevenson Services, Inc. 20,000 339,000
* Stewart Enterprises, Inc. 75,400 567,008
Stewart Information Services Corp. 13,400 457,610
* Stillwater Mining Co. 52,200 790,830
* Stoneridge, Inc. 8,800 137,808
Stride Rite Corp. 24,800 261,640
*# Sunrise Senior Living, Inc. 17,800 641,512
* Swift Energy Corp. 22,400 452,480
SWS Group, Inc. 1,100 17,732
* Sycamore Networks, Inc. 207,882 916,760
* Systemax, Inc. 13,350 82,770
* Tech Data Corp. 40,700 $ 1,633,698
Tecumseh Products Co. Class A 8,800 326,656
Tecumseh Products Co. Class B 2,200 83,576
* Teletech Holdings, Inc. 10,096 75,922
* Terex Corp. 19,600 578,004
* Terra Industries, Inc. 30,000 138,900
* Tesoro Petroleum Corp. 44,500 1,059,990
# Texas Industries, Inc. 16,900 622,765
* The Dress Barn, Inc. 3,600 63,036
The Marcus Corp. 12,600 204,120
# The Phoenix Companies, Inc. 66,100 774,031
# Thomas & Betts Corp. 29,200 714,232
* THQ, Inc. 29,337 618,717
* TIBCO Software, Inc. 42,500 352,750
Tidewater, Inc. 43,500 1,202,340
* Timco Aviation Services, Inc. 910 364
* Time Warner Telecom, Inc. 20,730 88,310
# Timken Co. 56,400 1,285,356
Titan International, Inc. 8,100 86,265
* Titanium Metals Corp. 1,320 119,130
* Tower Automotive, Inc. 33,800 125,398
* Trammell Crow Co. 22,100 280,891
* Trans World Entertainment Corp. 15,200 151,696
* Transkaryotic Therapies, Inc. 22,010 317,384
* Transmeta Corp. 2,000 4,360
* Transmontaigne Oil Co. 6,500 37,830
Tredegar Industries, Inc. 29,300 423,385
*# Trenwick Group, Ltd. 38,857 350
* Triad Guaranty, Inc. 8,200 471,172
* Triad Hospitals, Inc. 29,300 1,036,048
*# Trico Marine Services, Inc. 14,200 3,266
# Trinity Industries, Inc. 35,600 1,018,516
*# Triquint Semiconductor, Inc. 52,030 290,327
* Triumph Group 10,100 321,281
* TriZetto Group, Inc. 12,500 81,625
* Tweeter Home Entertainment Group,
Inc. 9,400 62,604
* UICI 32,400 644,112
UMB Financial Corp. 15,953 811,210
* Unifi, Inc. 21,100 49,163
Unifirst Corp. 5,200 135,200
United Auto Group, Inc. 30,200 873,686
United Community Financial Corp. 22,800 276,108
* United Rentals, Inc. 56,200 961,020
Unitrin, Inc. 13,600 545,360
* Universal American Financial Corp. 36,040 394,638
* Universal Compression Holdings, Inc. 23,860 706,017
Universal Forest Products, Inc. 7,300 211,408
* Universal Stainless & Alloy Products,
Inc. 2,500 27,078
Unizan Financial Corp. 11,502 296,522
* Unova, Inc. 1,200 20,820
* URS Corp. 22,800 574,104
Usec, Inc. 63,300 495,639
USF Corp. 22,220 638,825
* Vail Resorts, Inc. 19,060 284,947
Valhi, Inc. 52,400 581,640
* Valuevision Media, Inc. Class A 9,700 116,400
* Venturi Partners, Inc. 44 606
* Veritas DGC, Inc. 26,000 497,640
* Vignette Corp. 63,300 104,445
</Table>
113
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Vintage Petroleum, Inc. 37,400 $ 583,066
Visteon Corp. 94,100 1,031,336
* Volt Information Sciences, Inc. 6,000 154,200
Walter Industries, Inc. 22,460 285,916
*# Warnaco Group, Inc. 18,600 19
Watsco, Inc. Class A 10,150 265,626
Watts Water Technologies, Inc. 10,900 264,543
Wausau-Mosinee Paper Corp. 40,200 611,442
Weis Markets, Inc. 9,200 314,180
Wellman, Inc. 12,500 99,375
Wesco Financial Corp. 2,775 1,046,036
West Pharmaceutical Services, Inc. 100 3,801
* Westport Resources Corp. 34,800 1,204,080
* Wolverine Tube, Inc. 4,800 54,624
Woodward Governor Co. 1,741 115,689
* Zoran Corp. 17,100 300,447
---------------
TOTAL COMMON STOCKS
(Cost $189,504,554) 190,952,471
---------------
RIGHTS/WARRANTS -- (0.1%)
* Chiquita Brands International, Inc. Warrants 03/19/09 24,308 114,734
* Imperial Credit Industries, Inc. Warrants 01/31/08 511 0
* Orbital Science Corp. Warrants 08/31/04 203 1,594
* Timco Aviation Services Warrants 02/27/07 2,178 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $1,119,289) 116,328
---------------
<Caption>
FACE
AMOUNT
------
(000)
BONDS -- (0.0%)
* Timco Aviation Services, Inc.
(Cost $0) $ 1 0
---------------
TEMPORARY CASH INVESTMENTS -- (8.4%)
Repurchase Agreement, Merrill Lynch Triparty Repo
0.96%, 06/01/04 (Collateralized by $16,950,000
U.S. Treasury Obligations 6.75%, 05/15/05,
valued at $17,795,542) to be repurchased at
$17,445,230
(Cost $17,443,369)^ 17,443 17,443,369
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $208,067,212)++ $ 208,512,168
===============
</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 $208,172,452.
See accompanying Notes to Financial Statements.
114
<Page>
THE U.S. SMALL CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (92.7%)
1st Source Corp. 273,476 $ 6,207,905
* 24/7 Real Media, Inc. 12,000 69,720
* AAR Corp. 935,130 8,958,545
ABC Bancorp 18,280 359,568
* Ablest, Inc. 16,800 89,040
Abrams Industries, Inc. 10,000 42,000
* ABX Air, Inc. 851,100 3,829,950
* Accelrys, Inc. 328,042 3,277,140
* Aclara Biosciences, Inc. 461,715 1,754,517
* Acme Communications, Inc. 385,989 2,987,555
* Acme United Corp. 8,700 60,900
* ACT Teleconferencing, Inc. 168,546 433,332
* Active Power, Inc. 948,715 3,320,502
Adams Resources & Energy, Inc. 6,700 93,130
* Adaptec, Inc. 881,628 7,220,533
* Adept Technology, Inc. 94,800 90,060
* Advanced Digital Information Corp. 44,500 398,275
* Advanced Magnetics, Inc. 12,800 125,568
* Advanced Power Technology, Inc. 207,718 2,743,955
Advanta Corp. Class A 289,953 4,685,640
Advanta Corp. Class B Non-Voting 497,013 7,882,626
* Advent Software, Inc. 600 11,352
* Aehr Test Systems 89,200 356,800
* AEP Industries, Inc. 197,350 2,101,580
* Aether Systems, Inc. 1,251,167 4,266,479
* Aetrium, Inc. 97,748 897,327
* Agile Software Corp. 139,653 1,117,224
Agilysys, Inc. 908,878 11,188,288
* Air Methods Corp. 121,928 968,108
* Airnet Systems, Inc. 245,500 1,050,740
* Airspan Networks, Inc. 109,100 605,505
* AK Steel Holding Corp. 2,514,916 11,518,315
* Akamai Technologies, Inc. 766,600 11,391,676
Alamo Group, Inc. 158,700 2,483,655
* Alaska Air Group, Inc. 776,800 16,002,080
* Alaska Communications Systems
Group, Inc. 251,100 1,619,595
* Alderwoods Group, Inc. 75,400 973,414
# Aldila, Inc. 78,966 1,201,073
Alexander & Baldwin, Inc. 815,021 25,974,719
Alico, Inc. 46,500 1,641,450
* All American Semiconductor, Inc. 29,260 266,559
Allegheny Technologies, Inc. 180,700 2,170,207
Allen Organ Co. Class B 5,000 250,000
* Alliance Semiconductor Corp. 1,010,481 6,032,572
* Allied Defense Group, Inc. 148,100 2,597,674
* Allied Healthcare International, Inc. 228,600 1,149,858
* Allied Healthcare Products, Inc. 124,200 674,406
* Allied Holdings, Inc. 111,535 568,828
* Allied Motion Technologies, Inc. 45,300 234,201
* Allmerica Financial Corp. 408,700 13,139,705
* Allou Health Care, Inc. Class A 97,500 10
* Alloy, Inc. 869,729 4,357,342
* Allscripts Healthcare Solutions, Inc. 353,200 2,910,015
* Almost Family, Inc. 13,700 $ 108,298
* Alpha Technologies Group, Inc. 82,112 114,957
Alpharma, Inc. Class A 1,139,500 22,311,410
*# Alterra Healthcare Corp. 248,800 25
Ambassadors, Inc. 159,500 2,046,385
* AMC Entertainment, Inc. 494,800 7,471,480
* Amcast Industrial Corp. 149,800 606,690
* Amerco, Inc. 219,400 5,487,194
*# America West Holdings Corp. Class B 447,600 4,484,952
* American Banknote Corp. 745 212
American Biltrite, Inc. 45,600 444,600
* American Building Control, Inc. 187,600 350,812
*# American Business Financial
Services, Inc. 43,184 141,646
* American Dental Partners, Inc. 69,500 1,184,975
* American Ecology Corp. 44,500 389,375
*# American Greetings Corp. Class A 1,296,400 27,224,400
* American Indemnity Financial Escrow 14,200 14,200
* American Independence Corp. 4,800 74,784
* American Medical Electronics, Inc.
(Escrow-Bonus) 20,800 0
* American Medical Electronics, Inc.
(Escrow-Earnings) 20,800 0
* American Medical Security Group,
Inc. 382,300 9,874,809
American Pacific Corp. 104,300 761,390
* American Physicians Capital, Inc. 246,070 5,671,913
* American Physicians Services Group,
Inc. 36,300 355,740
* American Retirement Corp. 279,800 1,259,100
American Shared Hospital Services 30,900 175,512
American Software, Inc. Class A 280,250 1,790,797
* American Superconductor Corp. 106,900 1,342,664
* American Technical Ceramics Corp. 83,100 735,435
Americana Bancorp, Inc. 26,030 422,987
* AmeriServe Financial, Inc. 359,138 2,065,043
Ameron International Corp. 196,721 6,119,990
# AmerUs Group Co. 486,485 19,143,185
* Ames Department Stores, Inc. 9,919 17
* Amistar Corp. 42,300 95,386
Ampco-Pittsburgh Corp. 200,200 2,596,594
Amrep Corp. 96,692 1,661,169
* Amtech Systems, Inc. 6,000 30,480
* Anadigics, Inc. 760,677 3,750,138
Analogic Corp. 46,675 2,153,118
* Analysts International Corp. 461,464 1,379,777
*# Analytical Surveys, Inc. 830 2,075
* Anaren, Inc. 366,740 5,838,501
Andersons, Inc. 96,900 1,672,494
*# Andrew Corp. 47,530 933,964
*# Angeion Corp. 315 466
Angelica Corp. 206,900 4,613,870
* Angelo & Maxie's, Inc. 25,350 27,124
* AnswerThink, Inc. 141,500 907,156
* APA Optics, Inc. 157,400 393,500
</Table>
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SHARES VALUE+
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Apogee Enterprises, Inc. 185,300 $ 1,845,588
* Applica, Inc. 689,400 6,769,908
* Applied Extrusion Technologies, Inc. 333,100 349,755
Applied Industrial Technologies, Inc. 560,000 14,980,000
* Applied Innovation, Inc. 51,000 204,000
* Applied Micro Circuits Corp. 35,300 190,267
* Apropos Technology, Inc. 273,086 1,108,729
* Aradigm Corp. 4,100 4,469
* Arch Capital Group, Ltd. 34,800 1,342,584
Arch Chemicals, Inc. 492,487 13,065,680
* Arena Pharmaceuticals, Inc. 742,844 4,353,066
* Argonaut Group, Inc. 651,533 11,323,644
* Argonaut Technologies, Inc. 8,200 13,366
* Ariba, Inc. 865,100 1,885,918
* Arlington Hospitality, Inc. 70,000 238,000
*# Armstrong Holdings, Inc. 387,200 340,736
* Arqule, Inc. 637,399 3,696,914
*# Arris Group, Inc. 1,679,841 10,616,595
* Art Technology Group, Inc. 52,300 71,651
* Artesyn Technologies, Inc. 323,397 2,955,849
ASB Financial Corp. 14,300 328,900
* Ascential Software Corp. 347,588 5,578,787
* Ashworth, Inc. 387,365 3,095,046
* Aspen Technology, Inc. 353,700 2,231,847
*# Astea International, Inc. 13,200 137,412
* Astec Industries, Inc. 375,110 6,493,154
Astro-Med, Inc. 10,312 109,307
* Astronics Corp. 19,687 99,616
* Astronics Corp. Class B 7,756 37,229
*# AstroPower, Inc. 28,600 1,144
*# ATA Holdings Corp. 184,300 1,170,305
* Atari, Inc. 11,280 31,358
* Atlantic American Corp. 42,900 127,413
* Atlantis Plastics, Inc. 65,500 1,011,975
* Atlas Air Worldwide Holdings, Inc. 144,400 7,509
* ATP Oil & Gas Corp. 102,300 605,616
Atrion Corp. 36,150 1,563,126
* ATS Medical, Inc. 13,800 64,860
* Atwood Oceanics, Inc. 267,411 10,648,306
* Audiovox Corp. Class A 598,891 8,336,563
* Ault, Inc. 93,400 278,332
* Aurora Foods, Inc. 573 5
* Avalon Holding Corp. Class A 25,112 66,672
*# Avanex Corp. 405,100 1,255,810
*# Avatar Holdings, Inc. 75,500 3,158,920
* Aviall, Inc. 500 8,680
* Avici Systems Inc. 232,427 2,454,429
* Avigen, Inc. 582,839 2,063,250
* Avteam, Inc. Class A 80,300 120
* Aware, Inc. 520,392 1,691,274
* Axsys Technologies, Inc. 60,700 1,174,545
* AXT, Inc. 462,278 980,029
* Aztar Corp. 693,000 16,708,230
* AZZ, Inc. 81,100 1,208,390
* Badger Paper Mills, Inc. 10,400 53,404
Bairnco Corp. 114,700 929,070
* Baker (Michael) Corp. 79,400 1,139,390
Baldwin & Lyons, Inc. Class B 82,425 1,990,564
* Baldwin Technology, Inc. Class A 219,700 812,890
* Ballantyne Omaha, Inc. 32,200 94,024
* Bally Total Fitness Holding Corp. 983,700 $ 4,525,020
* Bancinsurance Corp. 76,470 627,819
Bandag, Inc. Class A 112,600 4,466,842
* BankUnited Financial Corp. Class A 130,251 3,398,249
Banner Corp. 316,858 9,252,254
* Barrett Business Services, Inc. 82,500 1,117,050
* Barry (R.G.) Corp. 154,464 329,008
Bassett Furniture Industries, Inc. 339,238 6,455,360
* Bay View Capital Corp. 1,515,142 3,090,890
* BE Aerospace, Inc. 10,325 65,873
# Beazer Homes USA, Inc. 66,700 6,721,359
Belden, Inc. 699,755 11,825,859
* Bell Industries, Inc. 161,863 477,496
* Bell Microproducts, Inc. 727,482 4,634,060
* Bethlehem Steel Corp. 1,057,000 3,382
*# Beverly Enterprises 1,942,700 16,474,096
* BF Enterprises, Inc. 2,300 19,262
* Big 4 Ranch, Inc. 73,300 0
* Bioanalytical Systems, Inc. 17,100 68,827
* Biosource International, Inc. 118,800 856,667
Black Hills Corp. 3 88
Blair Corp. 228,890 5,882,473
* Blonder Tongue Laboratories, Inc. 22,600 71,190
* Bluegreen Corp. 712,398 8,534,528
* BMC Industries, Inc. 241,800 15,112
* BNS Co. Class A 46,855 288,158
Bob Evans Farms, Inc. 11,976 307,663
* Boca Resorts, Inc. 956,564 17,199,021
* Bogen Communications International,
Inc. 44,700 224,617
* Bolt Technology Corp. 13,700 63,020
* Bombay Co., Inc. 799,240 4,651,577
Bon-Ton Stores, Inc. 306,202 3,916,324
* Bookham Technologies P.L.C. 1,522,442 1,598,564
* Books-a-Million, Inc. 313,700 1,882,200
* Boston Biomedical, Inc. 56,400 178,224
Bostonfed Bancorp, Inc. 51,260 1,722,336
Bowl America, Inc. Class A 54,022 767,112
Bowne & Co., Inc. 917,613 14,608,399
* Boyds Collection, Ltd. 462,300 1,322,178
* Braun Consulting, Inc. 198,200 332,976
* Brigham Exploration Co. 33,400 284,601
* BrightStar Information Technology
Group, Inc. 83,400 3,002
* Brillian Corp. 122,950 1,039,050
* Bruker BioSciences Corp. 700 3,332
* Brush Engineered Materials, Inc. 449,309 7,826,963
* BSQUARE Corp. 139,200 134,885
* BTU International, Inc. 91,300 482,064
* Buca, Inc. 493,725 2,601,931
* Buckeye Technology, Inc. 960,698 9,693,443
Building Materials Holding Corp. 387,218 6,664,022
* Bull Run Corp. 8,560 4,665
Burlington Coat Factory Warehouse
Corp. 1,059,001 20,163,379
* Bush Industries, Inc. Class A 106,000 71,020
* Butler International, Inc. 81,200 201,376
* Cable Design Techologies Corp. 1,191,887 9,940,338
Cadmus Communications Corp. 50,200 691,756
Calgon Carbon Corp. 999,800 6,178,764
</Table>
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<Caption>
SHARES VALUE+
------ ------
* California Coastal Communities, Inc. 71,400 $ 1,145,970
California First National Bancorp 77,600 1,021,216
* Caliper Life Sciences, Inc. 803,230 4,265,151
* Callon Petroleum Corp. 405,300 5,317,536
Camco Financial Corp. 19,083 273,459
* Cannon Express, Inc. Class A 900 162
* Cannondale Corp. 115,400 16,156
* Canterbury Consulting Group, Inc. 842 695
* Capital Pacific Holdings, Inc. 201,300 810,232
* Capital Senior Living Corp. 529,199 2,725,375
* Caprius, Inc. 1,439 288
* Capstone Turbine Corp. 62,150 173,398
* Captaris, Inc. 610,587 3,694,051
* Caraustar Industries, Inc. 800,964 10,716,898
* Cardiotech International, Inc. 41,791 156,716
* CareCentric, Inc. 29,400 23,520
* Career Blazers, Inc. Trust Units 9,540 0
Carpenter Technology Corp. 650,962 19,802,264
* Carriage Services, Inc. Class A 416,100 2,142,915
* Carrington Laboratories, Inc. 121,900 522,951
*# Carrizo Oil & Gas, Inc. 21,800 184,428
Cascade Corp. 122,750 3,001,237
Casey's General Stores, Inc. 249,559 4,075,298
* Castle (A.M.) & Co. 217,730 1,848,528
Castle Energy Corp. 142,700 1,550,435
* Casual Male Retail Group, Inc. 373,265 2,538,202
* Catalina Lighting, Inc. 22,040 236,242
* Catalytica Energy Systems, Inc. 176,300 590,605
* Cavalier Homes, Inc. 369,181 2,082,181
* Celadon Group, Inc. 179,590 2,589,688
* Celebrity, Inc. Escrow Shares 26,325 0
Celeritek, Inc. 361,252 1,271,607
* CellStar Corp. 482,122 2,916,838
* Central Garden & Pet Co. 483,110 17,957,199
Central Parking Corp. 749,411 13,856,609
* Century Aluminum Co. 357,236 8,277,158
* Century Business Services, Inc. 1,381,481 5,691,702
* Cenveo, Inc. 599,100 1,851,219
* Ceres Group, Inc. 299,593 1,863,468
CFS Bancorp, Inc. 300,879 4,076,910
* Champion Enterprises, Inc. 517,400 4,837,690
Champion Industries, Inc. 104,200 477,236
* Championship Auto Racing Teams,
Inc. 70,000 8,190
* Champps Entertainment, Inc. 200,174 1,795,361
* Channell Commercial Corp. 17,600 79,200
*# Charming Shoppes, Inc. 3,091,347 26,461,930
* Chart Industries 3 90
*# Charter Communications, Inc. 116,600 448,910
Chesapeake Corp. 465,906 10,119,478
Chicago Rivet & Machine Co. 10,800 314,766
* Childtime Learning Centers, Inc. 43,500 116,145
* Chromcraft Revington, Inc. 5,900 83,485
* Chronimed, Inc. 339,202 2,510,095
*# Chyron Corp. 10,800 6,480
* Ciber, Inc. 351,700 3,130,130
* Cincinnati Bell, Inc. 123,800 510,056
* Ciprico, Inc. 70,900 330,039
CIRCOR International, Inc. 315,900 6,204,276
* Cirrus Logic, Inc. 342,979 2,548,334
*# Citizens, Inc. Class A 100,810 $ 687,524
* CKE Restaurants, Inc. 506,000 5,120,720
* Clark, Inc. 382,728 6,690,085
* Clarus Corp. 444,000 5,265,840
*# CMS Energy Corp. 743,769 6,411,289
* CNA Surety Corp. 327,495 3,405,948
* CNET Networks, Inc. 214,643 2,073,451
Coachmen Industries, Inc. 446,800 7,220,288
* Coast Dental Services, Inc. 48,533 150,452
Coast Distribution System 97,600 623,664
* Coastcast Corp. 101,900 219,085
* Cobra Electronics Corp. 84,100 754,377
*# Coeur d'Alene Mines Corp. 213,200 999,908
* Cogent Communications Group, Inc. 6,954 2,782
* Cognitronics Corp. 7,700 27,258
* Coherent, Inc. 827,292 22,411,340
* Collins & Aikman Corp. 1,189,794 6,317,806
Collins Industries, Inc. 30,500 174,155
* Columbus McKinnon Corp. 262,859 1,392,890
* Comarco, Inc. 110,200 784,624
* Comdial Corp. 10,007 26,018
* Comforce Corp. 58,000 114,840
* Comfort Systems USA, Inc. 984,800 6,942,840
Commerce Group, Inc. 5,700 258,324
*# Commerce One, Inc. 96,400 98,328
Commercial Federal Corp. 427,398 11,975,692
Commercial Metals Co. 841,866 25,340,167
* Commonwealth Industries, Inc. 444,162 3,975,250
Communications Systems, Inc. 17,300 136,670
Community Bank System, Inc. 51,300 1,129,626
Community Trust Bancorp, Inc. 53,821 1,677,601
Community West Bancshares 11,000 93,225
* Compex Technologies, Inc. 53,976 322,776
* Compucom Systems, Inc. 1,366,845 6,137,134
* CompuCredit Corp. 748,235 13,124,042
* Computer Access Technology Corp. 289,800 1,347,570
* Computer Horizons Corp. 545,091 1,945,975
* Computer Network Technology Corp. 594,839 3,592,828
* Computer Task Group, Inc. 153,800 669,030
* CompX International, Inc. 37,300 606,125
* Concord Camera Corp. 709,293 2,191,715
* Conexant Systems, Inc. 400,071 1,888,335
* Congoleum Corp. Class A 97,400 219,150
* Conmed Corp. 374,488 9,530,720
*# Consolidated Freightways Corp. 24,700 64
* Consolidated Graphics, Inc. 351,494 14,112,484
* Consumer Portfolio Services, Inc. 14,400 64,656
*# Continental Airlines, Inc. 1,919,600 20,520,524
* Continental Materials Corp. 4,600 134,734
*# Convera Corp. 37,600 106,784
*# Cooker Restaurant Corp. 109,768 659
Cooper Tire & Rubber Co. 840,900 17,734,581
# Cooperative Bankshares, Inc. 19,000 437,000
*# Corautus Genetics, Inc. 642 3,691
* Core Molding Technologies, Inc. 500 1,750
* Corixa Corp. 126,900 643,383
Corn Products International, Inc. 655,300 28,426,914
* Cornell Companies, Inc. 384,148 5,128,376
* Correctional Services Corp. 247,312 766,667
* Corrpro Companies, Inc. 88,475 146,868
</Table>
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<Caption>
SHARES VALUE+
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* Cosine Communications, Inc. 231,960 $ 923,201
* Cost-U-Less, Inc. 35,000 201,950
Cotton States Life Insurance Co. 8,300 164,962
* Covansys Corp. 71,200 774,656
* Covanta Energy Corp. 5,896 10
* Covenant Transport, Inc. Class A 364,025 5,704,272
CPAC, Inc. 82,200 475,938
*# Credence Systems Corp. 958,980 13,435,310
* Credit Acceptance Corp. 705,727 10,621,191
* Criticare Systems, Inc. 91,000 282,100
Crompton Corp. 117,900 703,863
* Cross (A.T.) Co. Class A 234,300 1,321,452
* Cross Country Healthcare, Inc. 271,676 4,512,538
* Crossroads Systems, Inc. 22,000 40,084
* Crown Andersen, Inc. 22,900 40,075
* Crown Financial Group, Inc. 59,900 71,880
* Crown Media Holdings, Inc. 219,454 1,986,059
*# Cryolife, Inc. 93,500 476,850
* CSP, Inc. 40,800 293,801
CSS Industries, Inc. 252,150 8,800,035
CT Communications, Inc. 161,759 2,216,098
CTS Corp. 652,600 7,113,340
* Culp, Inc. 324,918 2,404,393
* Cumulus Media, Inc. Class A 299,700 5,556,438
* CuraGen Corp. 1,193,625 5,968,125
* Curis, Inc. 20 89
Curtiss-Wright Corp. 172,600 8,120,830
Cutter & Buck, Inc. 289,237 2,996,495
* Cybersource Corp. 158,500 1,339,325
* Cybex International, Inc. 114,200 427,108
*# CycleLogic, Inc. 6 1
*# Cytrx Corp. 2,800 3,416
D & K Healthcare Resources, Inc. 405,661 4,855,762
* D A Consulting Group, Inc. 118,400 651
D&E Communications, Inc. 78,400 1,016,064
*# Daisytek International Corp. 44,337 310
*# Dan River, Inc. Class A 430,700 46,300
* Danielson Holding Corp. 73,400 700,236
* Data I/O Corp. 86,400 247,104
* Data Systems & Software, Inc. 91,400 152,638
* Datakey, Inc. 6,700 5,025
* Datalink Corp. 184,900 674,885
* Dataram Corp. 32,910 264,925
* DataTRAK International, Inc. 35,900 396,695
* Dave and Busters, Inc. 182,140 3,406,018
* Dawson Geophysical Co. 72,400 1,075,140
Deb Shops, Inc. 63,849 1,531,738
* Decora Industries, Inc. 4,200 24
Decorator Industries, Inc. 22,132 177,056
* Del Global Technologies Corp. 70,017 159,289
* Delphax Technologies, Inc. 70,700 452,480
Delphi Financial Group, Inc. Class A 601,363 24,222,902
Delta Apparel, Inc. 104,000 2,348,320
*# Delta Financial Corp. 138,300 842,247
Delta Natural Gas Co., Inc. 27,300 633,906
* Delta Woodside Industries, Inc. 130,000 175,500
* Denali, Inc. 69,500 6,950
* Denbury Resources, Inc. 25,800 474,720
* Dendreon Corp. 585 6,406
* Detrex Corp. 12,800 20,160
* Devcon International Corp. 52,400 $ 602,600
* DiamondCluster International, Inc. 271,100 2,626,959
* Diedrich Coffee, Inc. 13 51
* Digi International, Inc. 431,482 4,483,098
* Digimarc Corp. 50,100 566,130
*# Digital Angel Corp. 323,200 1,040,704
Dimon, Inc. 1,232,467 7,579,672
* Discovery Partners International 352,880 1,831,447
Distributed Energy Systems Corp. 774,783 2,479,306
* Diversified Corporate Resources, Inc. 1,600 2,240
* Dixie Group, Inc. 284,791 3,363,382
* Dixon Ticonderoga Co. 30,150 113,062
* Dollar Thrifty Automotive Group, Inc. 729,200 19,119,624
* Dominion Homes, Inc. 72,100 2,199,771
Donegal Group, Inc. Class A 62,496 1,311,166
Donegal Group, Inc. Class B 35,448 727,393
* DoubleClick, Inc. 40,100 340,048
Dover Motorsports, Inc. 308,000 1,413,720
Downey Financial Corp. 100 5,290
* Drugstore.com, Inc. 211,400 980,896
* DT Industries, Inc. 214,200 6,961
* Duane Reade, Inc. 620,376 10,236,204
* Duckwall-ALCO Stores, Inc. 103,200 1,779,168
* Ducommun, Inc. 88,879 1,675,369
* DuPont Photomasks, Inc. 527,708 11,651,793
* Dura Automotive Systems, Inc. 452,402 4,279,723
*# DVI, Inc. 241,100 3,978
* Dyax Corp. 252,900 2,491,065
*# Dynegy, Inc. 154,500 678,255
* E Com Ventures, Inc. 6,250 57,812
E-Z-EM, Inc. 23,943 447,734
* E.piphany, Inc. 1,011,562 4,754,341
Eagle Materials, Inc. 12,700 847,090
* EarthLink, Inc. 218,950 2,198,258
Eastern Co. 29,400 462,756
* EasyLink Services Corp. 640 819
Ecology & Environment, Inc. Class A 28,100 281,000
Edelbrock Corp. 93,940 1,413,797
* Eden Bioscience Corp. 83,100 91,410
* Edgewater Technology, Inc. 248,188 1,536,284
EFC Bancorp, Inc. 5,300 125,875
* eFunds Corp. 62,319 997,727
* Elcom International, Inc. 500 80
Electro Rent Corp. 353,315 3,865,266
* Electroglas, Inc. 448,888 2,356,662
* eLoyalty Corp. 51,900 328,527
* ELXSI Corp. 27,900 101,835
EMC Insurance Group, Inc. 150,700 3,056,196
* EMCORE Corp. 30,700 90,872
* Emisphere Technologies, Inc. 152,327 773,821
* Emmis Communications Corp.
Class A 8,100 176,580
# Empire District Electric Co. 12,400 248,248
* EMS Technologies, Inc. 256,470 5,580,787
* En Pointe Technologies, Inc. 39,500 74,655
* Encore Medical Corp. 95,100 663,798
* Endologix, Inc. 110,800 547,352
* Enesco Group, Inc. 404,700 3,897,261
* Entravision Communications Corp. 1,658,500 13,433,850
* Entrust, Inc. 110,200 506,920
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SHARES VALUE+
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* Environmental Elements Corp. 10,300 $ 1,596
* Environmental Technologies Corp. 35,800 251
* ePlus, Inc. 122,300 1,440,694
* ePresence, Inc. 312,600 1,262,904
* Equity Marketing, Inc. 1,100 14,124
* Equity Oil Co. 205,350 872,737
Espey Manufacturing & Electronics
Corp. 3,800 85,918
* Esterline Technologies Corp. 611,893 15,407,466
* Ethyl Corp. 287,420 5,768,519
* Evans & Sutherland Computer Corp. 184,000 917,240
*# Evergreen Solar, Inc. 134,700 408,141
*# Exabyte Corp. 17,200 14,276
* Exar Corp. 874,400 13,929,192
* Exelixis, Inc. 128,283 1,182,769
* Exponent, Inc. 41,600 1,037,088
* Extended Systems, Inc. 20,900 103,873
* Ezcorp, Inc. Class A Non-Voting 237,900 1,934,127
* Fab Industries, Inc. 82,381 288,333
*# Factory 2-U Stores, Inc. 145,779 137,032
* Fairchild Corp. Class A 640,629 2,882,830
* Falcon Products, Inc. 162,900 610,875
*# FalconStor Software, Inc. 47,700 330,084
* Famous Dave's of America, Inc. 136,684 1,075,976
FBL Financial Group, Inc. Class A 567,800 16,108,486
* Featherlite, Inc. 27,900 125,271
Fedders Corp. 50,600 224,664
Federal Screw Works 3,125 116,562
*# Federal-Mogul Corp. 823,500 218,227
FFLC Bancorp 5,598 142,357
* Fibermark, Inc. 50,150 5,015
*# Fiberstars, Inc. 17,100 145,846
* Fidelity Federal Bancorp 20,000 33,600
Fidelity Southern Corp. 91,000 1,228,500
* Finishmaster, Inc. 120,000 1,221,000
* Finlay Enterprises, Inc. 220,200 4,311,516
* Firebrand Financial Group, Inc. 86,400 3,110
* First Aviation Services, Inc. 9,000 43,740
First Citizens Bancshares, Inc. 10,300 1,194,800
First Defiance Financial Corp. 128,500 3,215,070
First Federal Bancshares of Arkansas,
Inc. 112,100 2,264,420
* First Horizon Pharmaceutical Corp. 570,031 10,103,799
First Indiana Corp. 223,925 4,418,040
* First Investors Financial Services
Group, Inc. 120,900 661,323
First Keystone Financial, Inc. 37,300 1,007,100
First Midwest Financial, Inc. 32,400 725,760
First Place Financial Corp. 279,963 4,602,592
First Republic Bank 224,778 9,161,951
* Fischer Imaging Corp. 39,500 116,525
* Flanders Corp. 585,000 4,182,750
* Fleetwood Enterprises, Inc. 39,400 527,960
*# Fleming Companies, Inc. 119,852 569
Flexsteel Industries, Inc. 90,400 1,954,448
Florida Public Utilities Co. 1,800 34,200
* Flow International Corp. 34,100 95,480
Flowers Foods, Inc. 112,650 2,632,630
* Flowserve Corp. 1,464,040 30,671,638
FNB Financial Services Corp. 17,375 321,437
* Foodarama Supermarkets, Inc. 12,900 $ 519,225
*# Footstar, Inc. 509,400 2,215,890
* Forest Oil Corp. 429,725 10,700,152
* Forgent Networks, Inc. 368,700 471,936
* Foster (L.B.) Co. Class A 162,400 1,266,720
*# Foster Wheeler, Ltd. 927,100 1,093,978
*# FPIC Insurance Group, Inc. 273,064 7,372,728
Frankfort First Bancorp, Inc. 24,650 526,524
# Franklin Bancorp, Inc. 49,283 980,732
* Franklin Covey Co. 341,800 837,410
* Franklin Electronic Publishers, Inc. 112,300 480,644
Frequency Electronics, Inc. 97,600 1,370,304
Fresh Brands, Inc. 2,900 23,957
* Fresh Choice, Inc. 65,100 108,066
* Friede Goldman Halter, Inc. 8,516 13
Friedman Industries, Inc. 108,395 422,741
Friedmans, Inc. Class A 592,200 1,871,352
* Frontier Airlines, Inc. 206,310 1,918,683
* Frozen Food Express Industries, Inc. 387,622 2,655,211
FSF Financial Corp. 16,100 557,060
* FSI International, Inc. 519,718 3,580,857
*# FuelCell Energy, Inc. 276,171 4,382,834
* G-III Apparel Group, Ltd. 98,600 888,879
GA Financial, Inc. 50,500 1,768,510
*# Gadzooks, Inc. 238,170 422,752
* Gaiam, Inc. 19,084 116,031
*# Galey & Lord, Inc. 124,100 621
*# Galyan's Trading Co. 473,032 4,753,972
GameTech International, Inc. 79,900 360,349
* Gateway, Inc. 1,166,900 4,725,945
# GATX Corp. 1,378,900 33,245,279
* Gaylord Entertainment Co. 1,066,685 30,667,194
* GC Companies, Inc. 4,300 2,688
* Gehl Co. 134,167 2,279,497
* Genaissance Pharmaceuticals, Inc. 109,600 477,746
# Gencorp, Inc. 1,290,940 14,665,078
* Gene Logic, Inc. 911,989 3,593,237
* General Cable Corp. 135,500 1,085,355
* General Communications, Inc.
Class A 552,600 4,382,118
* General DataComm Industries, Inc. 690 242
* Genesee & Wyoming, Inc. 344,530 7,875,956
* Genesis Microchip, Inc. 228,756 3,694,409
* Genlyte Group, Inc. 19,300 1,134,261
* Gerber Scientific, Inc. 511,900 3,194,256
* Giant Group, Ltd. 50,600 120,175
* Giant Industries, Inc. 299,400 5,604,768
Gibraltar Steel Corp. 198,800 5,755,260
* Giga-Tronics, Inc. 28,800 45,792
Glatfelter (P.H.) Co. 1,244,900 15,237,576
* Glenayre Technologies, Inc. 996,900 2,522,157
* Globecomm Systems, Inc. 162,800 954,008
*# Glowpoint, Inc. 160,300 347,851
*# GoAmerica, Inc. 41,590 37,389
Golden Enterprises, Inc. 17,200 50,052
* Golden State Vintners, Inc. 82,600 674,842
*# Goodyear Tire & Rubber Co. 849,000 7,386,300
Goody's Family Clothing, Inc. 567,900 6,780,726
Gorman-Rupp Co. 40,500 1,073,250
* Gottschalks, Inc. 223,900 1,159,802
</Table>
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<Caption>
SHARES VALUE+
------ ------
*# GP Strategies Corp. 235,265 $ 1,764,488
* Gradco Systems, Inc. 2,201 21,570
Graham Corp. 25,950 285,450
* Graphic Packaging Corp. 561,400 3,626,644
Gray Television, Inc. 904,550 12,745,110
Gray Television, Inc. Class A 40,650 520,320
Great American Financial Resources,
Inc. 221,500 3,377,875
* Great Atlantic & Pacific Tea Co., Inc. 1,117,000 7,740,810
* Greenbriar Corp. 1,070 3,076
* Greenbrier Companies, Inc. 196,900 3,392,587
* Griffin Land & Nurseries, Inc. Class A 25,000 632,375
* Group 1 Automotive, Inc. 244,100 7,835,610
* GTC Biotherapeutics, Inc. 379,069 621,673
* GTSI Corp. 222,215 2,648,803
Guaranty Federal Bancshares, Inc. 15,300 301,410
*# Guilford Pharmaceuticals, Inc. 338,313 2,097,541
* Gulfmark Offshore, Inc. 291,803 3,924,750
* Ha-Lo Industries, Inc. 223,600 313
Haggar Corp. 102,925 2,074,968
* Hain Celestial Group, Inc. 221,775 3,925,418
* Halifax Corp. 24,000 108,000
* Hall Kinion Associates, Inc. 208,832 864,564
* Hampshire Group, Ltd. 19,100 553,518
Handleman Co. 362,576 8,121,702
* Hanger Orthopedic Group, Inc. 405,900 6,697,350
*# Hanover Compressor Co. 2,308,915 24,174,340
Hardinge, Inc. 148,600 1,768,340
Harleysville Group, Inc. 736,468 13,911,881
* Harolds Stores, Inc. 2,000 5,040
* Hartmarx Corp. 696,000 4,196,880
* Hastings Entertainment, Inc. 174,000 1,353,546
* Hastings Manufacturing Co. 1,700 4,378
Haverty Furniture Co., Inc. 188,300 3,304,665
*# Hawaiian Holdings, Inc. 498,455 2,417,507
* Hawk Corp. 184,600 964,535
* Hector Communications Corp. 10,600 212,000
* HEI, Inc. 1,400 3,570
Heico Corp. 255,600 3,759,876
Heico Corp. Class A 23,951 283,101
Helmerich & Payne, Inc. 95,800 2,390,210
* Herley Industries, Inc. 0 10
* Hexcel Corp. 599,250 5,093,625
HF Financial Corp. 54,615 809,940
HMN Financial, Inc. 74,300 1,867,159
* HMS Holdings Corp. 345,607 1,866,278
* Hoenig Group Escrow Shares 104,700 24,081
* Holiday RV Superstores, Inc. 6,880 34
Holly Corp. 215,100 7,474,725
*# Hollywood Media Corp. 283,500 924,210
* Home Products International, Inc. 125,550 161,960
* HomeStore, Inc. 49,000 204,330
Horace Mann Educators Corp. 621,245 10,517,678
Horizon Financial Corp. 105,320 1,939,994
* Horizon Health Corp. 109,600 2,520,800
* Horizon Offshore, Inc. 717,378 875,201
* Houston Exploration Co. 689,842 32,601,933
* Hub Group, Inc. Class A 109,800 3,592,656
Hudson River Bancorp, Inc. 7,354 128,180
*# Hudson Technologies, Inc. 54,900 59,292
* Huffy Corp. 378,995 $ 439,634
Hughes Supply, Inc. 606,158 32,732,532
* Human Genome Sciences, Inc. 7,083 76,992
* Hurco Companies, Inc. 92,200 1,243,778
* Huttig Building Products, Inc. 65,600 541,200
* Hycor Biomedical, Inc. 56,900 298,725
* Hypercom Corp. 1,409,300 9,470,496
* I-many, Inc. 399,600 499,500
* Ico, Inc. 264,300 562,959
* Identix, Inc. 161,554 1,171,267
* IDT Corp. 617,922 10,869,248
* IDT Corp. Class B 118,400 2,131,200
* iGate Capital Corp. 555,429 2,477,213
IHOP Corp. 10,300 370,800
Ikon Office Solutions, Inc. 1,582,500 17,439,150
* Illumina, Inc. 307,500 1,949,550
* Image Entertainment, Inc. 29,400 101,430
# IMC Global, Inc. 302,483 3,765,913
* IMCO Recycling, Inc. 444,900 5,605,740
* ImmunoGen, Inc. 312,746 2,505,095
* Impco Technologies, Inc. 227,000 1,300,710
* Imperial Sugar Co. 98,576 1,164,183
*# Imperial Sugar Company 282,800 0
* Impreso, Inc. 6,500 15,470
* Incyte Genomics, Inc. 843,721 6,049,480
Independence Holding Co. 57,860 1,900,701
* Industrial Distribution Group, Inc. 231,800 1,680,550
* INEI Corp. 31,200 43,680
*# Infocrossing, Inc. 23,000 303,600
* InFocus Corp. 1,067,825 8,606,670
* Infonet Services Corp. 135,200 232,544
* Information Holdings, Inc. 43,974 1,174,985
* Inforte Corp. 193,268 2,091,160
* InfoSpace, Inc. 149,656 5,474,416
Ingles Market, Inc. Class A 296,439 3,142,253
* Innotrac Corp. 165,400 1,529,950
* Innovative Clinical Solutions, Ltd. 8,426 51
* Innovex, Inc. 110,135 593,628
* Input/Output, Inc. 711,900 4,912,110
* Insight Communications Co., Inc. 1,017,187 9,724,308
* Insight Enterprises, Inc. 371,446 6,819,749
* Insmed, Inc. 38,125 87,649
* Instinet Group, Inc. 455,900 3,004,381
* Insurance Auto Auctions, Inc. 320,900 5,249,924
* InsWeb Corp. 23,166 110,039
* IntegraMed America, Inc. 56,400 410,592
* Integrated Electrical Services, Inc. 1,037,900 9,341,100
* Integrated Information Systems, Inc. 7,220 903
* Integrated Telecom Express, Inc. 3,300 0
* Integrity Media, Inc. 23,100 146,916
* Intelligent Systems Corp. 52,375 96,894
* Intelligroup, Inc. 70,900 279,346
* InterCept Group, Inc. 587,853 8,753,131
* Interface, Inc. Class A 1,183,327 8,283,289
* Interland, Inc. 322,598 938,760
Intermet Corp. 698,792 2,872,035
International Aluminum Corp. 55,800 1,653,354
* International Shipholding Corp. 80,650 1,145,633
*# Internet Commerce Corp. 50,000 69,500
Interpool, Inc. 591,600 9,983,250
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Interstate Hotels & Resorts, Inc. 18,140 $ 97,049
* Intest Corp. 8,500 48,875
*# Intrusion, Inc. 23,600 46,704
* Intuitive Surgical, Inc. 7,148 118,228
Investors Title Co. 18,200 503,321
Iomega Corp. 1,285,900 6,223,756
* Ionics, Inc. 597,800 15,100,428
*# IPIX Corp. 7,500 62,925
* Iridex Corp. 89,000 618,550
Isco, Inc. 40,900 651,496
* ITLA Capital Corp. 147,000 5,894,700
* ITXC Corp. 524,620 1,238,103
* iVillage, Inc. 100 689
* IXYS Corp. 97,419 910,868
* J Net Enterprises, Inc. 108,700 163,050
* J. Alexander's Corp. 107,200 766,480
* Jaclyn, Inc. 26,900 136,652
* Jaco Electronics, Inc. 105,869 527,333
* Jacuzzi Brands, Inc. 1,103,700 9,425,598
* Jakks Pacific, Inc. 734,423 13,058,041
* JDA Software Group, Inc. 397,165 5,024,137
* Jo-Ann Stores, Inc. 59,400 1,700,622
* Johnson Outdoors, Inc. 121,800 2,322,726
* JPS Industries, Inc. 43,200 107,179
* K-Tron International, Inc. 6,300 134,442
* K2, Inc. 927,710 13,655,891
* Kadant, Inc. 381,860 7,725,028
* Kaiser Aluminum Corp. 231,265 8,094
Kaman Corp. Class A 662,618 7,805,640
*# Kansas City Southern Industries, Inc. 1,816,400 23,613,200
* Katy Industries, Inc. 133,000 778,050
* KBK Capital Corp. 12,075 13,584
* Keane, Inc. 209,000 2,999,150
* Keith Companies, Inc. 34,290 480,746
Kellwood Co. 307,417 12,511,872
Kelly Services, Inc. 50,986 1,414,352
* Kemet Corp. 2,033,984 24,712,906
* Kendle International, Inc. 350,238 2,626,785
* Kennedy-Wilson, Inc. 43,900 298,520
Kewaunee Scientific Corp. 31,100 334,792
* Key Technology, Inc. 26,200 343,220
* Key Tronic Corp. 151,900 543,802
* Keynote Systems, Inc. 288,000 3,758,400
* Keystone Consolidated Industries,Inc. 18,342 2,476
* Kforce, Inc. 501,878 4,597,202
Kimball International, Inc. Class B 560,207 7,753,265
* Kindred Healthcare, Inc. 1,047,674 26,024,222
* Kirby Corp. 1,200 42,480
*# Kit Manufacturing Co. 1,400 14
Knape & Vogt Manufacturing Co. 37,434 487,391
* Knight Trading Group, Inc. 453,829 5,200,880
* Koala Corp. 44,700 17,433
# Labranche & Co., Inc. 1,296,340 11,615,206
* LaCrosse Footwear, Inc. 29,400 231,084
Ladish Co., Inc. 299,510 2,605,737
* Lakes Entertainment, Inc. 232,850 2,878,026
* Lamson & Sessions Co. 247,700 1,870,135
* Lancer Corp. 108,400 693,760
Landamerica Financial Group, Inc. 540,112 21,545,068
Landry's Restaurants, Inc. 806,335 24,190,050
* Lantronix, Inc. 139,900 $ 174,875
* Larscom, Inc. 8,457 42,285
* Lattice Semiconductor Corp. 596,414 4,657,993
Lawson Products, Inc. 194,268 6,828,520
* Layne Christensen Co. 182,500 3,076,950
* Lazare Kaplan International, Inc. 126,800 1,115,840
* LCC International, Inc. Class A 140,400 581,256
* Lesco, Inc. 217,900 2,817,447
* Level 8 Systems, Inc. 5,966 1,611
* Lexicon Genetics, Inc. 1,400 9,814
* Liberate Technologies, Inc. 662,100 1,738,013
Liberty Corp. 290,950 13,543,723
* Lightbridge, Inc. 237,344 1,250,803
*# LightPath Technologies, Inc. 31,300 133,025
*# Lipid Sciences, Inc. 87,400 371,450
Lithia Motors, Inc. Class A 366,875 8,775,650
* LMI Aerospace, Inc. 29,100 36,375
# LNR Property Corp. 578,593 29,074,298
* Lodgenet Entertainment Corp. 26,000 514,020
* Lodgian, Inc. 944 13,971
* Logic Devices, Inc. 92,700 148,320
* LogicVision, Inc. 157,400 470,469
Lone Star Steakhouse & Saloon, Inc. 617,316 15,679,826
Longs Drug Stores Corp. 1,086,800 23,279,256
Longview Fibre Co. 1,451,440 18,520,374
* LOUD Technologies, Inc. 1,000 2,480
# Louisiana-Pacific Corp. 1,058,600 24,453,660
LSB Corp. 3,500 54,250
LSI Industries, Inc. 62,875 723,063
* Luby's, Inc. 627,200 3,462,144
Lufkin Industries, Inc. 104,600 3,164,150
* Lydall, Inc. 445,700 3,935,531
* Lynch Corp. 6,200 86,800
* M & F Worldwide Corp. 348,800 4,534,400
* Mac-Gray Corp. 287,700 1,844,157
MAF Bancorp, Inc. 58,080 2,558,424
*# Magic Lantern Group, Inc. 28,600 25,883
*# Magna Entertainment Corp. 158,300 826,326
* Magnetek, Inc. 681,300 5,320,953
* Magnum Hunter Resources, Inc. 1,941,528 19,551,187
* MAII Holdings, Inc. 62,700 627
* Main Street & Main, Inc. 258,064 529,031
Maine & Maritimes Corp. 400 12,220
* MAIR Holdings, Inc. 476,969 3,815,752
* Management Network Group, Inc. 163,087 383,254
* Manchester Technologies, Inc. 178,300 673,796
* Manugistic Group, Inc. 469,261 2,088,211
* Mapinfo Corp. 110,735 1,107,350
* Marimba, Inc. 60,600 495,708
* Marisa Christina, Inc. 94,000 122,200
Maritrans, Inc. 108,500 1,589,525
* MarketWatch.com, Inc. 95,000 1,081,100
MarkWest Hydrocarbon, Inc. 171,050 1,830,235
* Marlton Technologies, Inc. 96,500 56,935
Marsh Supermarkets, Inc. Class A 36,900 503,501
Marsh Supermarkets, Inc. Class B 59,400 820,908
* Marten Transport, Ltd. 200 3,472
MASSBANK Corp. 63,149 2,101,599
Massey Energy Co. 1,766,200 43,483,844
* Mastec, Inc. 655,000 2,796,850
</Table>
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SHARES VALUE+
------ ------
* Material Sciences Corp. 413,667 $ 4,281,453
* Matria Healthcare, Inc. 174,470 3,812,170
* Matrix Bancorp, Inc. 5,000 59,500
* Mattson Technology, Inc. 37,641 401,253
* Maxco, Inc. 38,500 127,050
Maxcor Financial Group, Inc. 59,500 664,615
* Maxicare Health Plans, Inc. 12,200 1,464
*# Maxim Pharmaceuticals, Inc. 270,710 2,412,026
* Maxwell Shoe Company, Inc. 61,350 1,369,946
* Maxxam, Inc. 105,500 2,663,875
* Maxygen, Inc. 136,619 1,371,655
* Mayor's Jewelers, Inc. 293,900 170,462
McRae Industries, Inc. Class A 32,700 325,365
*# MCSI, Inc. 27,200 276
* Meade Instruments Corp. 453,359 1,450,749
* Meadow Valley Corp. 44,064 95,839
* Meadowbrook Insurance Group, Inc. 360,400 1,827,228
*# Medarex, Inc. 235,344 1,969,829
* MedCath Corp. 169,601 3,425,940
* Media 100, Inc. 4,700 106
Media General, Inc. Class A 45,600 3,138,192
*# Medialink Worldwide, Inc. 63,000 226,800
* Medical Resources, Inc. 1,619 0
* Medicore, Inc. 58,600 191,622
* Medquist, Inc. 471,073 5,808,330
* Mens Warehouse, Inc. 308,300 8,043,547
Merchants Group, Inc. 23,900 621,400
* Mercury Air Group, Inc. 39,650 237,900
* Meridian Resource Corp. 73,600 543,168
* Merisel, Inc. 3,600 16,920
* Merrimac Industries, Inc. 35,170 325,323
Mesa Labs, Inc. 17,700 175,584
* Mestek, Inc. 13,500 212,760
* Meta Group, Inc. 10,600 48,760
* MetaSolv, Inc. 595,737 1,679,978
* Metris Companies, Inc. 1,679,600 12,680,980
*# Metro One Telecommunications, Inc. 461,619 770,904
* Metromedia International Group, Inc. 82,700 28,945
MFB Corp. 17,700 608,615
* MFRI, Inc. 59,900 178,802
MGP Ingredients, Inc. 105,900 3,775,335
* Michael Anthony Jewelers, Inc. 93,900 133,808
* Micro Component Technology, Inc. 20,800 28,496
* Micro Linear Corp. 189,700 1,143,891
* MicroFinancial, Inc. 125,000 362,500
* Microtek Medical Holdings, Inc. 597,600 2,695,774
* Microtune, Inc. 164,400 562,248
Midland Co. 49,800 1,300,776
*# Midway Games, Inc. 237,100 2,570,164
*# Midwest Express Holdings, Inc. 456,802 1,804,368
*# Mikohn Gaming Corp. 167,400 821,934
* Milacron, Inc. 791,300 3,545,024
* Miller Industries, Inc. 130,390 1,187,853
* Millerbuilding Systems Escrow Shares 46,200 13,860
* Miltope Group, Inc. Contigent Value
Right 53,600 0
Minerals Technologies, Inc. 97,100 5,583,250
Minuteman International, Inc. 9,000 117,000
* MIPS Technologies, Inc. 412,800 2,864,832
* Misonix, Inc. 119,390 1,005,264
* Mission Resources Corp. 524,200 $ 2,820,196
* Mitcham Industries, Inc. 143,200 601,440
* MKS Instruments, Inc. 55,869 1,305,100
* Mobile Mini, Inc. 416,221 8,873,832
* Modem Media, Inc. 11,900 66,759
Modine Manufacturing Co. 264,013 7,959,992
* Mod-Pac Corp. 9,843 82,780
* Mod-Pac Corp. Class B 3,878 32,614
* Modtech Holdings, Inc. 356,893 2,498,251
* Moldflow Corp. 43,600 486,576
* Mondavi (Robert) Corp. Class A 277,541 9,663,978
*# Mony Group, Inc. 34,200 1,068,408
* Moore Handley, Inc. 2,000 3,950
* Motor Car Parts & Accessories, Inc. 71,200 605,200
Movado Group, Inc. 247,350 7,593,645
* MPS Group, Inc. 3,031,500 33,589,020
* MRV Communications, Inc. 713,600 1,898,176
* MSC Software Corp. 882,739 7,891,687
*# MTI Technology Corp. 300 888
* MTM Technologies, Inc. 6,200 10,354
Mueller (Paul) Co. 2,300 73,002
Mueller Industries, Inc. 737,888 24,128,938
Myers Industries, Inc. 220,994 2,985,629
Nacco Industries, Inc. Class A 116,800 10,364,832
*# Nanogen, Inc. 180,200 1,227,162
* Nanometrics, Inc. 289,620 3,704,240
*# Napco Security Systems, Inc. 99,600 876,480
Nash-Finch Co. 349,771 6,575,695
* Nashua Corp. 116,000 1,070,680
* NATCO Group, Inc. Class A 30,800 235,312
* Nathans Famous, Inc. 107,000 651,523
* National Home Health Care Corp. 53,533 540,683
National Presto Industries, Inc. 135,950 5,356,430
* National Research Corp. 75,400 1,266,720
* National RV Holdings, Inc. 193,050 2,297,295
* National Steel Corp. Class B 5,015 35
* National Technical Systems, Inc. 128,684 639,431
* National Western Life Insurance Co.
Class A 24,300 3,551,445
* Natrol, Inc. 122,500 336,875
* Natural Alternatives International, Inc. 81,900 898,443
* Natus Medical, Inc. 159,600 818,748
* Navidec, Inc. 5,188 9,001
*# Navigant International, Inc. 439,398 7,636,737
* Navigators Group, Inc. 16,133 466,244
* NCI Building Systems, Inc. 553,698 16,096,001
* NCO Group, Inc. 743,550 18,432,617
* Neoforma, Inc. 319,706 3,635,057
* NeoMagic Corp. 364,300 1,493,630
* NES Rentals Holdings, Inc. 448 3,640
* Net2Phone, Inc. 485,128 2,073,922
NetBank, Inc. 302,082 3,238,319
* Netegrity, Inc. 43,350 408,357
* NetIQ Corp. 1,573,837 20,853,340
* NetManage, Inc. 83,916 549,650
* NetRatings, Inc. 778,110 10,885,759
* Netscout System, Inc. 40,238 277,240
* Network Equipment Technologies,Inc. 256,400 1,887,104
* Neurogen Corp. 56,090 527,807
* New Brunswick Scientific Co., Inc. 103,193 627,413
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<Caption>
SHARES VALUE+
------ ------
* New Horizons Worldwide, Inc. 63,775 $ 372,510
* Newpark Resources, Inc. 590,000 3,333,500
* Newport Corp. 890,104 12,933,211
* Niagara Corp. 132,200 533,427
Nitches, Inc. 4,047 26,144
* NMS Communications Corp. 260,300 2,238,580
* NMT Medical, Inc. 123,900 471,440
* Nobel Learning Communities, Inc. 83,500 549,013
* Noel Group, Inc. 95,400 286
# Noland Co. 3,000 128,340
* Norstan, Inc. 247,900 798,238
* North America Galvanizing & Coatings,
Inc. 73,400 146,800
* North American Scientific, Inc. 88,435 791,493
North Central Bancshares, Inc. 39,900 1,509,018
Northeast Bancorp 21,200 410,538
Northeast Pennsylvania Financial
Corp. 3,200 56,080
* Northland Cranberries, Inc. 32,800 21,648
Northrim BanCorp, Inc. 0 12
* Northwest Pipe Co. 91,800 1,349,460
* Novamed Eyecare, Inc. 44,550 161,717
* NS Group, Inc. 2,900 38,570
* Nu Horizons Electronics Corp. 457,433 3,718,930
* Numerex Corp. Class A 77,800 357,880
* Nuvelo, Inc. 53,209 462,918
NWH, Inc. 52,900 992,669
* NYFIX, Inc. 416,763 2,100,486
Nymagic, Inc. 125,800 3,233,060
* O.I. Corp. 51,900 436,479
* Obie Media Corp. 70,500 248,865
* Ocwen Financial Corp. 755,930 9,403,769
* Odd Job Stores, Inc. 175,300 283,110
* Offshore Logistics, Inc. 655,000 15,045,350
*# Oglebay Norton Co. 55,400 7,756
# Ohio Art Co. 3,500 32,515
* Ohio Casualty Corp. 1,722,044 32,288,325
* Oil States International, Inc. 623,581 8,854,850
Oil-Dri Corp. of America 47,700 766,539
* Olympic Steel, Inc. 210,900 2,994,780
* Omega Protein Corp. 583,800 6,305,040
* Omnova Solutions, Inc. 171,900 887,004
* Omtool, Ltd. 53,414 560,847
* On Assignment, Inc. 426,464 2,503,344
* One Price Clothing Stores, Inc. 42,786 856
*# Oneida, Ltd. 181,300 224,812
* Onyx Acceptance Corp. 107,900 1,634,685
* Opinion Research Corp. 89,900 623,906
* Oplink Communications, Inc. 158,500 318,585
* Opti, Inc. 168,800 261,640
* Optika, Inc. 72,100 261,723
* Oregon Steel Mills, Inc. 768,361 8,659,428
*# Orthodontic Centers of America, Inc. 1,165,800 9,967,590
* Orthologic Corp. 354,200 2,844,226
* Oscient Pharmaceutical Corp. 13,100 61,439
* OSI Systems, Inc. 218,930 4,888,707
Outlook Group Corp. 59,300 364,695
Overseas Shipholding Group, Inc. 960,975 36,651,587
* OYO Geospace Corp. 19,000 332,291
* Pacific Premier Bancorp, Inc. 29,840 343,458
* Pain Therapeutics, Inc. 103,800 $ 811,716
*# Palmone Inc. 76,444 1,622,906
* Par Technology Corp. 150,700 1,567,280
* Paradyne Networks Corp. 11,500 54,395
Park Electrochemical Corp. 224,350 5,599,776
* Parker Drilling Co. 2,494,100 8,006,061
* Park-Ohio Holdings Corp. 188,135 2,276,434
Parkvale Financial Corp. 40,825 1,085,129
* Parlex Corp. 165,300 1,003,371
* Parlux Fragrances, Inc. 224,000 2,047,360
* Pathmark Stores, Inc. 802,163 5,414,600
* Patrick Industries, Inc. 96,250 991,375
* Paula Financial, Inc. 90,600 258,210
* Paul-Son Gaming Corp. 35,400 138,414
* Paxson Communications Corp. 462,700 1,300,187
* Payless Cashways, Inc. 4,184 6
* PC Connection, Inc. 424,359 3,254,834
* PC-Tel, Inc. 296,000 3,238,240
* Pediatric Services of America, Inc. 152,300 1,888,520
* Peerless Manufacturing Co. 20,100 215,271
* Peerless Systems Corp. 120,900 151,125
* Pegasus Solutions, Inc. 387,366 4,454,709
* Pemstar, Inc. 663,090 1,743,927
Penford Corp. 79,800 1,372,560
* Penn Treaty American Corp. 235,200 500,976
Penn Virginia Corp. 53,900 3,357,970
Penn-America Group, Inc. 247,875 3,271,950
Pep Boys - Manny, Moe & Jack 1,187,900 29,091,671
* Perceptron, Inc. 243,900 1,634,130
* Pericom Semiconductor Corp. 270,400 2,895,984
* Perry Ellis International, Inc. 49,868 1,195,835
* Per-Se Technologies, Inc. 364,566 4,739,358
* Petrocorp, Inc. Escrow Shares 102,600 6,156
* Petroleum Development Corp. 68,679 1,687,443
* Pharmacopia Drug Discovery, Inc. 153,745 1,070,065
* Pharmacyclics, Inc. 225,953 2,704,657
* PharmChem, Inc. 54,000 8,640
Phillips-Van Heusen Corp. 702,700 13,302,111
* Phoenix Technologies, Ltd. 138,322 912,925
* Photo Control Corp. 4,200 11,550
* Photronics, Inc. 206,527 3,651,397
* Piccadilly Cafeterias, Inc. 184,200 184
* Pico Holdings, Inc. 184,820 3,372,965
Pilgrims Pride Corp. Class B 398,400 10,708,992
Pinnacle Bancshares, Inc. 10,400 154,440
* Pinnacle Entertainment, Inc. 401,400 4,575,960
* Plains Exploration & Production Co. 187,435 3,336,343
* Play By Play Toys and Novelties, Inc. 52,900 135
* Plexus Corp. 191,872 2,818,600
PMA Capital Corp. Class A 418,780 2,918,897
Pocahontas Bancorp, Inc. 69,800 1,191,835
* Polyone Corp. 473,800 3,264,482
Pomeroy IT Solutions, Inc. 349,333 4,443,516
Pope & Talbot, Inc. 381,000 6,374,130
Potlatch Corp. 42,650 1,610,038
PowerCerv Corp. 20,666 13,020
* Power-One, Inc. 118,888 1,198,391
*# Powerwave Technologies, Inc. 591,140 4,735,031
* PPT Vision, Inc. 89,000 125,490
* PRAECIS Pharmaceuticals, Inc. 818,413 3,412,782
</Table>
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<Caption>
SHARES VALUE+
------ ------
Preformed Line Products Co. 14,300 $ 393,250
* Premier Financial Bancorp 1,100 10,131
Presidential Life Corp. 821,703 13,903,215
*# PRG-Schultz International, Inc. 552,580 2,492,136
* Pricesmart, Inc. 58,559 322,660
* Prime Hospitality Corp. 1,303,752 12,920,182
* Prime Medical Services, Inc. 555,263 3,248,289
* Primus Knowledge Solutions, Inc. 117,500 250,275
* Printronix, Inc. 90,000 1,305,000
* Procom Technology, Inc. 5,400 6,588
* Procurenet, Inc. 22,400 22
Programmers Paradise, Inc. 86,900 642,191
* Progressive Software Holding, Inc. 5,680 1
* Protection One, Inc. 1,266,600 246,987
Providence & Worcester Railroad Co. 47,100 480,420
Provident Financial Holdings, Inc. 55,200 1,374,480
* Province Healthcare Co. 558,213 8,942,572
* ProxyMed, Inc. 5,303 100,757
* PSS World Medical, Inc. 817,944 8,220,337
* PTEK Holdings, Inc. 561,200 5,886,988
Pulitzer, Inc. 75,000 3,528,750
* Pure World, Inc. 100,500 192,960
Pyramid Breweries, Inc. 110,100 241,119
* QEP Co., Inc. 20,600 312,914
Quaker Fabric Corp. 458,348 3,653,034
* Quality Dining, Inc. 217,600 489,600
Quanex Corp. 476,202 21,214,799
* Quanta Services, Inc. 1,827,650 9,686,545
* Quantum Corp.- DLT 498,800 1,471,460
* Quantum Fuel Systems Technologies
Worldwide, Inc. 1,600 8,016
* Quicklogic Corp. 109,100 327,191
* Quigley Corp. 14,800 117,497
* Quovadx, Inc. 501,945 537,081
* R & B, Inc. 122,500 2,296,875
* Radiologix, Inc. 170,892 676,732
* Rag Shops, Inc. 55,755 183,992
* Railamerica, Inc. 919,965 11,729,554
* Raytech Corp. 26,800 54,940
* RCM Technologies, Inc. 234,100 1,252,435
* Reading International, Inc. Class A 213,799 1,804,464
* Reading International, Inc. Class B 14,660 120,945
* RealNetworks, Inc. 300 1,803
*# Redhook Ale Brewery, Inc. 126,500 275,770
* Refac 11,357 54,911
Regal-Beloit Corp. 537,583 10,993,572
* Regent Communications, Inc. 914,170 5,393,603
* Register.Com, Inc. 78,955 412,145
* Reliability, Inc. 100,400 110,440
Reliance Steel & Aluminum Co. 608,663 22,270,979
*# Relm Wireless Corp. 59,254 142,210
* Remec, Inc. 664,067 4,349,639
* RemedyTemp, Inc. 7,500 97,665
* Rentrak Corp. 35,300 314,170
* Rent-Way, Inc. 675,100 6,278,430
* Reptron Electronics, Inc. 73,300 0
*# Reptron Electronics, Inc. 2,856 20,849
* Republic First Bancorp, Inc. 66,730 794,087
* Res-Care, Inc. 528,510 7,330,434
Resource America, Inc. 483,676 10,544,137
* Restoration Hardware, Inc. 84,678 $ 568,189
* Retail Ventures Inc. 811,923 5,870,203
* Rex Stores Corp. 321,250 3,951,375
* Rexhall Industries, Inc. 38,798 67,509
* RF Monolithics, Inc. 29,200 279,736
Riggs National Corp. 833,884 18,212,027
* Riverside Group, Inc. 3,200 104
* Riverstone Networks, Inc. 9,900 9,851
Riverview Bancorp, Inc. 56,600 1,176,714
* Riviera Holdings Corp. 5,500 47,795
*# Riviera Tool Co. 16,500 55,110
RLI Corp. 71,800 2,582,646
* Roadhouse Grill, Inc. 174,800 43,700
Roanoke Electric Steel Corp. 140,900 1,852,835
Robbins & Myers, Inc. 344,900 7,622,290
*# Robotic Vision Systems, Inc. 14,000 46,900
* Rochester Medical Corp. 27,100 220,052
Rock of Ages Co. 87,600 712,188
*# Rockford Corp. 173,400 858,330
Rock-Tenn Co. Class A 960,250 15,431,218
* Rocky Shoes & Boots, Inc. 71,400 1,460,844
* Rouge Industries, Inc. Class A 50,000 425
* RTI International Metals, Inc. 613,650 8,904,062
* RTW, Inc. 93,850 606,553
* Rubio's Restaurants, Inc. 197,369 1,306,583
Ruddick Corp. 71,791 1,476,023
* Rural/Metro Corp. 134,500 168,125
* Rush Enterprises, Inc. Class A 105,400 1,244,774
* Rush Enterprises, Inc. Class B 105,400 1,279,240
Russell Corp. 858,300 14,058,954
* Ryan's Family Steak Houses, Inc. 351,500 5,915,745
Ryerson Tull, Inc. 721,439 9,674,497
* S&K Famous Brands, Inc. 78,600 1,338,165
* Safeguard Scientifics, Inc. 825,100 2,104,005
* SafeNet, Inc. 735 17,126
* Safety Components International, Inc. 1,155 15,448
*# Salton, Inc. 325,300 1,841,198
Sanders Morris Harris Group, Inc. 8,200 110,290
* Sands Regent Casino Hotel 15,492 105,810
* Sangamo BioSciences, Inc. 15,400 96,558
* Sapient Corp. 500 3,000
* Satcon Technology Corp. 101,000 277,750
Saucony, Inc. Class A 35,800 730,284
Saucony, Inc. Class B 48,400 976,712
Sauer-Danfoss, Inc. 92,400 1,435,896
* SBS Technologies, Inc. 181,174 3,351,719
* ScanSoft, Inc. 73,525 385,271
* Scheid Vineyards, Inc. 34,100 170,841
* Schieb (Earl), Inc. 75,600 250,236
* Schlotzskys, Inc. 164,000 249,116
* Schuff International, Inc. 106,600 249,444
# Schulman (A.), Inc. 509,536 10,175,434
Schweitzer-Maudoit International, Inc. 56,500 1,590,475
* SCM Microsystems, Inc. 312,903 1,993,192
Scope Industries, Inc. 8,100 567,000
SCPIE Holdings, Inc. 150,800 1,313,468
* SCS Transportation, Inc. 347,785 7,912,109
Seaboard Corp. 26,240 9,813,760
* Seabulk International, Inc. 557,000 4,940,590
Seacoast Financial Services Corp. 35,246 1,207,528
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Seacor Smit, Inc. 540,166 $ 21,628,247
* Secom General Corp. 11,500 14,548
* SED International Holdings, Inc. 11,350 17,252
* SEEC, Inc. 42,400 10,600
* Segue Software, Inc. 68,200 251,317
* Selas Corp. of America 76,500 229,500
* Selectica, Inc. 856,052 3,750,364
# Selective Insurance Group, Inc. 802,844 29,006,754
* Semitool, Inc. 276,235 3,162,891
*# SEMX Corp. 67,400 10,110
* Seneca Foods Corp. Class B 10,500 194,985
* Sequa Corp. Class A 94,900 4,664,335
* Sequa Corp. Class B 28,900 1,465,230
* Sequenom, Inc. 716,719 1,153,918
* Service Corp. International 4,365,800 31,433,760
* Servotronics, Inc. 400 1,558
*# Shaw Group, Inc. 1,658,898 19,574,996
* Shiloh Industries, Inc. 164,700 1,791,936
* Shoe Carnival, Inc. 332,900 4,587,362
* Shoe Pavilion, Inc. 9,500 22,183
* Sholodge, Inc. 71,600 483,300
* Shopko Stores, Inc. 847,300 11,557,172
* Sifco Industries, Inc. 74,715 306,332
* Sight Resource Corp. 75,200 3,384
* Sigmatron International, Inc. 16,800 204,120
*# Silicon Graphics, Inc. 1,681,500 3,178,035
Simmons First National Corp. Class A 68,600 1,652,574
* Sipex Corp. 490,900 3,166,305
* Sitel Corp. 762,700 2,387,251
* Six Flags, Inc. 2,475,600 17,329,200
* Skechers U.S.A., Inc. Class A 484,132 5,567,518
Skyline Corp. 118,700 4,750,374
*# Skyworks Solutions, Inc. 815,161 7,287,539
* SL Industries, Inc. 100 1,080
* Smart & Final Food, Inc. 364,900 5,670,546
* SmartDisk Corp. 21,800 3,924
* Smith & Wollensky Restaurant Group,
Inc. 160,400 1,032,976
Smith (A.O.) Corp. 412,200 12,139,290
Smith (A.O.) Corp. Convertible Class A 70,050 2,062,973
* Smithway Motor Xpress Corp. Class A 73,800 182,286
* Sola International, Inc. 236,900 4,593,491
* Somera Communications, Inc. 93,400 130,760
Sonic Automotive, Inc. 839,093 18,418,091
*# Sonic Foundry, Inc. 22,800 35,796
* SonicWALL, Inc. 1,048,778 8,348,273
* Sourcecorp, Inc. 423,815 10,883,569
South Jersey Industries, Inc. 302,991 12,722,592
* Southern Energy Homes, Inc. 180,800 743,992
* Southwall Technologies, Inc. 131,500 59,175
Southwest Gas Corp. 1,700 38,420
* Southwestern Energy Co. 464,400 11,870,064
*# Spacehab, Inc. 122,200 502,242
Span-American Medical System, Inc. 24,000 282,960
* SPAR Group, Inc. 6,000 7,980
* Spartan Stores, Inc. 247,671 1,075,140
* Sparton Corp. 120,503 1,008,610
* Spectrum Control, Inc. 173,800 1,423,422
* Spherion Corp. 1,547,289 14,296,950
* Spiegel, Inc. Class A Non-Voting 400 25
* Spinnaker Exploration Co. 976,066 $ 32,532,280
* Sport Chalet, Inc. 45,900 573,750
* Sport Supply Group, Inc. 105,400 123,845
* Sport-Haley, Inc. 60,800 324,672
* Sports Club Co., Inc. 116,000 185,600
* SportsLine.Com, Inc. 227,300 227,300
* SR Telecom, Inc. 11,987 40,996
* SRI/Surgical Express, Inc. 52,500 362,775
* Stamps.com, Inc. 373,904 4,939,272
Standard Commercial Corp. 343,680 5,667,283
* Standard Management Corp. 134,600 464,370
Standard Motor Products, Inc.
Class A 293,250 4,105,500
Standard Register Co. 380,299 4,635,845
Star Buffet, Inc. 7,200 46,584
Starrett (L.S.) Co. Class A 64,600 1,016,158
State Financial Services Corp.
Class A 67,000 1,904,140
*# Steel Dynamics, Inc. 989,988 25,343,693
Steel Technologies, Inc. 286,394 6,114,512
* SteelCloud Co. 5,900 14,632
* Steinway Musical Instruments, Inc. 122,500 4,165,000
* Stellent, Inc. 475,810 3,792,206
Stepan Co. 129,000 3,128,250
Stephan Co. 51,500 234,840
Stewart & Stevenson Services, Inc. 821,400 13,922,730
* Stewart Enterprises, Inc. 2,916,817 21,934,464
Stewart Information Services Corp. 484,500 16,545,675
* Stifel Financial Corp. 86,172 2,162,917
* Stillwater Mining Co. 1,300,380 19,700,757
* Stoneridge, Inc. 572,800 8,970,048
* StorageNetworks, Inc. Escrow Shares 362,800 9,832
Strategic Distribution, Inc. 65,178 846,662
* Stratos International, Inc. 207,023 1,177,961
* Stratus Properties, Inc. 94,450 1,180,625
Stride Rite Corp. 931,200 9,824,160
* Suburban Lodges of America, Inc.
Escrow Shares 241,100 0
* Summa Industries, Inc. 41,800 399,608
* SumTotal Systems, Inc. 11,597 74,801
* Sundance Homes, Inc. 40,500 223
* SunLink Health Systems, Inc. 65,400 340,080
*# Sunrise Senior Living, Inc. 614,400 22,142,976
Sunrise Telecom, Inc. 3,200 8,512
* Suntron Corp. 92,475 714,832
* Superior Consultant Holdings Corp. 3,900 24,336
*# Superior Telecom, Inc. 126,600 1,266
Superior Uniform Group, Inc. 136,600 2,253,900
Supreme Industries, Inc. 56,610 382,118
* Swift Energy Corp. 801,005 16,180,301
SWS Group, Inc. 267,400 4,310,488
* Sycamore Networks, Inc. 1,218,728 5,374,590
* Sykes Enterprises, Inc. 394,767 2,471,241
* Sylvan, Inc. 99,900 1,203,795
* Symmetricom, Inc. 568,141 4,488,314
* Syms Corp. 343,900 2,799,346
* Synalloy Corp. 88,350 823,422
Sypris Solutions, Inc. 24,608 467,552
* Systemax, Inc. 438,200 2,716,840
* T-3 Energy Services, Inc. 880 5,786
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Taitron Components, Inc. 6,500 $ 16,835
Tandy Brand Accessories, Inc. 63,700 856,128
* Tarrant Apparel Group 287,100 542,619
Tasty Baking Co. 195,200 1,840,736
TB Woods Corp. 92,900 710,685
* TBA Entertainment Corp. 132,500 87,450
* TEAM America, Inc. 2,500 0
* TeamStaff, Inc. 86,000 196,080
* Technical Communications Corp. 6,300 26,775
* Technology Solutions Corp. 64,000 69,120
* TechTeam Global, Inc. 240,500 1,847,281
Tecumseh Products Co. Class A 403,282 14,969,828
Tecumseh Products Co. Class B 15,600 592,628
* Tegal Corp. 66,300 110,058
* Teletech Holdings, Inc. 95,924 721,348
* Tenneco Automotive, Inc. 490,920 6,269,048
* Terayon Communication Systems,
Inc. 121,300 333,575
* Terex Corp. 950,513 28,030,628
* Terra Industries, Inc. 2,100,600 9,725,778
* Tesoro Petroleum Corp. 1,821,900 43,397,658
# Texas Industries, Inc. 613,957 22,624,315
TF Financial Corp. 36,200 1,076,407
* The Banc Corp. 80,438 550,196
* The Dress Barn, Inc. 238,485 4,175,872
* The Hallwood Group, Inc. 100 4,685
The Marcus Corp. 558,400 9,046,080
# The Phoenix Companies, Inc. 709,700 8,310,587
* The Rowe Companies 9,400 42,770
* Theragenics Corp. 777,300 3,319,071
* TheStreet.com, Inc. 264,000 992,640
* Third Wave Technologies 166,200 806,070
# Thomas & Betts Corp. 65,200 1,594,792
*# THQ, Inc. 51,285 1,081,601
* Three-Five Systems, Inc. 617,500 3,309,800
* TIBCO Software, Inc. 3,000 24,900
*# Tickets.com, Inc. 14,500 6,888
* TII Network Technologies, Inc. 98,200 137,480
Timberland Bancorp, Inc. 56,400 1,252,080
* Timco Aviation Services, Inc. 11,922 4,769
* Time Warner Telecom, Inc. 110,837 472,166
* Tipperary Corp. 126,900 414,963
Titan International, Inc. 260,900 2,778,585
* Titan Pharmaceuticals, Inc. 264,698 873,503
* Titanium Metals Corp. 57,930 5,228,183
* TL Administration Corp. 1,700 51
* TLC Vision Corp. 4,152 43,139
Todd Shipyards Corp. 81,650 1,437,040
* Todhunter International, Inc. 73,100 1,023,400
* Torch Offshore, Inc. 276,800 730,752
*# Tower Automotive, Inc. 1,662,950 6,169,545
# Traffix, Inc. 268,800 1,865,472
* Trailer Bridge, Inc. 111,200 617,160
* Trammell Crow Co. 208,400 2,648,764
* Trans World Entertainment Corp. 1,024,728 10,226,785
* Transcat, Inc. 60,000 189,540
* Transgenomic, Inc. 41,488 64,306
* Transkaryotic Therapies, Inc. 307,631 4,436,039
Trans-Lux Corp. 2,746 19,085
* Transmeta Corp. 59,900 130,582
* Transmontaigne Oil Co. 535,124 $ 3,114,422
* Transport Corp. of America 20,000 144,000
* Transpro, Inc. 191,600 1,135,230
* Transtechnology Corp. 97,300 671,370
Tredegar Industries, Inc. 799,800 11,557,110
*# Trenwick Group, Ltd. 199,776 1,798
*# Trestle Holdings Inc. 5,240 13,100
* Triad Guaranty, Inc. 49,659 2,853,406
*# Trico Marine Services, Inc. 691,930 159,144
Trinity Industries, Inc. 1,133,800 32,438,018
* TriPath Imaging, Inc. 34,587 317,509
* Tripos, Inc. 7,200 40,248
* Triquint Semiconductor, Inc. 635,770 3,547,597
* Triumph Group 414,317 13,179,424
* TriZetto Group, Inc. 825,529 5,390,704
* TRM Corp. 76,916 1,066,825
* Trover Solutions, Inc. 123,200 837,760
* Trump Hotels & Casino Resorts, Inc. 470,500 926,885
* Tumbleweed Communications Corp. 37,100 184,758
* Turnstone Systems, Inc. 243 35
* Tut Systems, Inc. 13,500 41,715
* Tweeter Home Entertainment Group,
Inc. 700,609 4,666,056
Twin Disc, Inc. 37,400 822,800
* U.S. Concrete, Inc. 436,841 3,049,150
*# U.S. Diagnostic, Inc. 20,800 2
* U.S. Xpress Enterprises, Inc. Class A 163,490 2,117,196
* UICI 1,339,300 26,625,284
* Ulticom, Inc. 210,762 1,981,163
UMB Financial Corp. 468,705 23,833,649
*# Unapix Entertainment, Inc. 9,300 38
* Unico American Corp. 72,700 428,276
* Unifi, Inc. 1,432,366 3,337,413
Unifirst Corp. 240,600 6,255,600
* Uni-Marts, Inc. 103,200 226,008
Union Bankshares Corp. 3,460 103,647
* Uniroyal Technology Corp. 3,700 4
* United American Healthcare Corp., 17,950 82,067
United Auto Group, Inc. 1,024,300 29,632,999
United Community Financial Corp. 693,870 8,402,766
United Fire & Casualty Co. 44,450 2,460,308
* United Rentals, Inc. 1,155,200 19,753,920
* United Retail Group, Inc. 276,701 760,928
* United Road Services, Inc. 5,380 619
* Universal Access Global Holdings,
Inc. 250 273
* Universal American Financial Corp. 149,185 1,633,576
* Universal Compression Holdings, Inc. 760,484 22,502,722
Universal Forest Products, Inc. 95,043 2,752,445
* Universal Stainless & Alloy Products,
Inc. 118,900 1,287,806
Unizan Financial Corp. 33,731 869,585
* Unova, Inc. 369,100 6,403,885
* Urologix, Inc. 107,200 1,506,160
* URS Corp. 969,296 24,406,873
*# US Energy Corp. 25,700 60,138
* US Oncology, Inc. 2,126,850 31,179,621
* USA Truck, Inc. 71,600 831,276
Usec, Inc. 2,287,102 17,908,009
USF Corp. 751,987 21,619,626
</Table>
126
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<Caption>
SHARES VALUE+
------ ------
*# V.I. Technologies, Inc. 100 $ 105
* Vail Resorts, Inc. 729,023 10,898,894
*# Valence Technology, Inc. 4,800 18,768
Valhi, Inc. 215,652 2,393,737
* Valley National Gases, Inc. 13,800 137,310
* Valpey Fisher Corp. 10,350 34,569
* ValueClick, Inc. 221,500 2,423,210
* Valuevision Media, Inc. Class A 9,000 108,000
* Vans, Inc. 517,446 10,561,073
* Variflex, Inc. 68,100 456,270
* Vastera, Inc. 706,795 2,438,443
* Verilink Corp. 110,800 498,600
* Veritas DGC, Inc. 982,300 18,801,222
* Verso Technologies, Inc. 322,228 510,731
* Verticalbuyer Inc. 7,773 58
Vesta Insurance Group, Inc. 973,600 5,792,920
* Vical, Inc. 397,433 2,189,856
* Vicon Industries, Inc. 71,500 376,805
* Vicor Corp. 118,811 1,651,473
*# Viewpoint Corp. 1,400 3,878
* Vignette Corp. 927,600 1,530,540
Vintage Petroleum, Inc. 1,734,335 27,038,283
Virco Manufacturing Corp. 60,786 416,384
Visteon Corp. 2,361,765 25,884,944
* Visual Networks, Inc. 26,900 86,618
*# Vitech America, Inc. 700 3
* Volt Information Sciences, Inc. 406,700 10,452,190
Vulcan International Corp. 11,200 486,080
* Vyyo, Inc. 124,414 913,199
Walter Industries, Inc. 225,100 2,865,523
*# Warnaco Group, Inc. 40,400 40
Washington Savings Bank FSB 37,650 391,184
Waste Industries USA, Inc. 238,100 2,690,530
* WatchGuard Technologoes, Inc. 901,333 5,867,678
* Water Pik Technologies, Inc. 106,700 1,780,823
* Waterlink, Inc. 248,300 211
Watsco, Inc. Class A 314,800 8,238,316
Watts Water Technologies, Inc. 294,900 7,157,223
Wausau-Mosinee Paper Corp. 1,342,899 20,425,494
Waypoint Financial Corp. 1,094 29,976
* Webb Interactive Services, Inc. 4,200 2,646
* Webco Industries, Inc. 93,900 460,580
* Weider Nutrition International, Inc. 166,500 772,560
Weis Markets, Inc. 13,700 467,855
Wellco Enterprises, Inc. 4,600 87,860
Wellman, Inc. 861,000 6,844,950
* Wells-Gardner Electronics Corp. 61,241 287,220
* Westaff, Inc. 192,900 501,540
Westbank Corp. 1,543 29,055
* Westcoast Hospitality Corp. 290,000 1,673,300
Western Ohio Financial Corp. 23,400 775,710
* Western Power & Equipment Corp. 4,091 1,493
* Whitehall Jewelers, Inc. 278,900 2,233,989
*# WHX Corp. 114,633 185,705
* Wickes, Inc. 49,400 6,175
* Williams Industries, Inc. 3,400 11,951
* Willis Lease Finance Corp. 132,900 1,096,425
* Wilshire Financial Services Group,
Inc. 2,092 18,807
* Wilshire Oil Co. of Texas 113,590 569,086
* Wilsons The Leather Experts, Inc. 458,814 $ 1,537,027
* Wind River Systems, Inc. 240,920 2,479,067
* Wireless WebConnect!, Inc. 4,500 12
* Wiser Oil Co. 174,475 1,844,201
* Wolverine Tube, Inc. 357,900 4,072,902
Woodward Governor Co. 20,966 1,393,191
* Worldwide Restaurant Concepts, Inc. 698,105 2,331,671
* Xanser Corp. 259,400 656,282
* Xeta Corp. 8,500 43,342
* Zapata Corp. 31,610 2,149,480
Ziegler Co., Inc. 8,200 131,200
*# Zoltek Companies, Inc. 311,248 2,265,885
* Zomax, Inc. 514,346 1,959,658
* Zones, Inc. 173,400 468,180
* Zoran Corp. 236,686 4,158,573
* Zygo Corp. 344,643 3,653,216
* Zymetx, Inc. 16,400 861
---------------
TOTAL COMMON STOCKS
(Cost $4,106,733,520) 5,075,931,230
---------------
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 23
* Chiquita Brands International, Inc.
Warrants 03/19/09 142,110 670,759
* CSF Holding, Inc. Litigation Rights 40,500 0
* Danielson Holding Corp. Rights
06/09/04 73,400 0
* Del Global Technologies Corp.
Warrants 03/28/08 19,927 11,956
* Imperial Credit Industries, Inc.
Warrants 01/31/08 4,082 0
* Imperial Sugar Co. Warrants
08/29/08 9,694 19,582
* Lodgian, Inc. Class A Warrants
11/25/07 3,433 721
* Lodgian, Inc. Class B Warrants
11/25/09 10,609 2,440
* Magnum Hunter Resources Warrants
03/21/05 9,740 5,844
* 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) 711,433
---------------
<Caption>
FACE
AMOUNT
------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp. $ 40 0
* Timco Aviation Services, Inc. 6 1
---------------
TOTAL BONDS
(Cost $0) 1
---------------
</Table>
127
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
TEMPORARY CASH INVESTMENTS -- (7.3%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.89%,
06/01/04 (Collateralized by $68,597,000 FNMA Notes
1.50%, 09/21/05, valued at $68,168,269) to be
repurchased at $67,166,641
(Cost $67,160,000) $ 67,160 $ 67,160,000
Repurchase Agreement, Merrill Lynch Triparty Repo 0.96%,
06/01/04 (Collateralized by $339,773,000 U.S. Treasury
Obligations rates ranging from 1.875% to 2.125%,
maturities ranging from 10/31/04 to 11/30/05, valued at
$341,544,253) to be repurchased at $334,880,442
(Cost $334,844,725)^ 334,845 334,844,725
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $402,004,725) 402,004,725
---------------
TOTAL INVESTMENTS -- (100.0%)
(COST $4,514,845,420)++ $ 5,478,647,389
===============
</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 $4,517,161,119.
See accompanying Notes to Financial Statements.
128
<Page>
THE U.S. SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (92.0%)
* 1-800 CONTACTS, Inc. 23,636 $ 347,449
* 1-800-FLOWERS.COM, Inc. 47,097 451,660
1st Source Corp. 34,441 781,811
# 21st Century Holding Co. 1,100 21,461
21st Century Insurance Group 76,800 1,005,312
* 24/7 Real Media, Inc. 3,180 18,476
* 3-D Systems Corp. 22,000 265,958
* 4Kids Entertainment, Inc. 23,500 508,775
* 7-Eleven, Inc. 16,600 285,022
*# 8X8, Inc. 19,200 50,880
* 99 Cents Only Stores 5,500 106,755
* @Road, Inc. 94,700 841,883
* A. B. Watley Group, Inc. 9,400 1,880
* A.C. Moore Arts & Crafts, Inc. 34,900 924,850
* A.D.A.M., Inc. 700 1,470
*# aaiPharma, Inc. 47,250 217,822
* Aames Financial Corp. 240 706
* AAON, Inc. 13,100 250,996
* AAR Corp. 58,083 556,435
Aaron Rents, Inc. Class A 5,700 151,050
Aaron Rents, Inc. Class B 21,600 642,600
* Abaxis, Inc. 18,300 341,661
ABC Bancorp 8,310 163,458
* Abgenix, Inc. 150,134 2,270,026
*# Abiomed, Inc. 38,270 472,634
* Able Laboratories, Inc. 30,200 561,720
* Ablest, Inc. 2,100 11,130
ABM Industries, Inc. 87,600 1,666,152
Abrams Industries, Inc. 200 840
* ABX Air, Inc. 66,600 299,700
* Acacia Research-Acacia
Technologies Common Stock 20,960 129,952
* Acacia Research-CombiMatrix Corp. 10,434 41,214
* Accelrys, Inc. 52,900 528,471
* Access Pharmaceuticals, Inc. 26,300 147,543
*# Acclaim Entertainment, Inc. 55,700 23,450
* Accredo Health, Inc. 44,343 1,613,198
* Ace Cash Express, Inc. 23,042 548,400
* Ace Comm Corp. 7,500 18,300
Aceto Corp. 28,550 458,798
* Aclara Biosciences, Inc. 60,171 228,650
* Acme Communications, Inc. 28,600 221,364
* Acme United Corp. 3,400 23,800
* ACT Manufacturing, Inc. 4,600 25
* ACT Teleconferencing, Inc. 25,700 66,075
* Actel Corp. 46,200 922,152
* Acterna Corp. 122,100 3,052
Action Performance Companies, Inc. 33,000 499,950
* ActivCard Corp. 74,043 473,135
* Active Power, Inc. 76,200 266,700
* Activision, Inc. 97,214 1,537,925
* Actuant Corp. 42,480 1,454,090
* Actuate Corp. 110,500 413,270
Acuity Brands, Inc. 27,700 683,082
Adams Resources & Energy, Inc. 4,200 58,380
* Adaptec, Inc. 187,800 $ 1,538,082
*# Addvantage Technologies Group, Inc. 1,700 9,222
* ADE Corp. 13,300 279,300
* Adept Technology, Inc. 7,000 6,650
* Administaff, Inc. 47,800 790,612
* Adolor Corp. 69,800 974,408
* Advanced Digital Information Corp. 115,500 1,033,725
* Advanced Energy Industries, Inc. 55,300 847,749
* Advanced Magnetics, Inc. 12,300 120,663
Advanced Marketing Services, Inc. 32,350 358,114
* Advanced Materials Group, Inc. 237 115
* Advanced Medical Optics, Inc. 52,400 1,839,240
* Advanced Neuromodulation
Systems, Inc. 33,200 1,083,316
* Advanced Nutraceuticals, Inc. 700 3,150
*# Advanced Photonix, Inc. Class A 9,000 21,240
* Advanced Power Technology, Inc. 18,195 240,356
Advanta Corp. Class A 18,317 296,003
Advanta Corp. Class B Non-Voting 30,994 491,565
* Advent Software, Inc. 59,400 1,123,848
Advo, Inc. 53,850 1,724,277
* Aehr Test Systems 7,100 28,400
* AEP Industries, Inc. 13,000 138,437
* AeroCentury Corp. 300 771
* Aeroflex, Inc. 133,450 1,702,822
* Aeropostale, Inc. 102,250 2,688,152
* Aerosonic Corp. 3,900 27,300
* Aether Systems, Inc. 74,742 254,870
* Aetrium, Inc. 9,300 85,374
* AFC Enterprises, Inc. 39,800 805,950
*# Affiliated Managers Group, Inc. 39,150 1,908,562
* Affinity Technology Group, Inc. 29,100 2,386
* Aftermarket Technology Corp. 41,150 602,436
* Agile Software Corp. 89,900 719,200
*# Agility Capital, Inc. 5,900 38
Agilysys, Inc. 57,788 711,370
* Air Methods Corp. 19,470 154,592
Airgas, Inc. 62,500 1,361,250
* Airnet Systems, Inc. 17,400 74,472
* Airspan Networks, Inc. 62,500 346,875
* Airtran Holdings, Inc. 151,400 2,107,488
* AK Steel Holding Corp. 195,400 894,932
*# Akamai Technologies, Inc. 165,213 2,455,065
*# Akorn, Inc. 19,500 64,350
*# Aksys, Ltd. 53,000 322,240
Alabama National Bancorporation 27,689 1,421,553
Alamo Group, Inc. 12,500 195,625
* Alaris Medical, Inc. 114,300 2,540,889
* Alaska Air Group, Inc. 48,200 992,920
* Alaska Communications Systems
Group, Inc. 22,200 143,190
Albany International Corp. Class A 50,272 1,532,793
* Albany Molecular Research, Inc. 56,978 720,202
Albemarle Corp. 74,581 2,146,441
* Alcide Corp. 2,300 47,288
* Alderwoods Group, Inc. 6,000 77,460
</Table>
129
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Aldila, Inc. 4,633 $ 70,468
Alexander & Baldwin, Inc. 58,000 1,848,460
* Alexion Pharmaceuticals, Inc. 39,500 791,975
Alfa Corp. 144,161 1,967,798
Alico, Inc. 7,000 247,100
* Align Technology, Inc. 106,612 2,032,025
* Alkermes, Inc. 157,411 2,266,718
* All American Semiconductor, Inc. 4,000 36,440
*# Allegheny Energy, Inc. 151,400 2,157,450
Allegheny Technologies, Inc. 145,700 1,749,857
Allen Organ Co. Class B 800 40,000
* Alliance Gaming Corp. 90,860 1,971,662
* Alliance Imaging, Inc. 86,400 331,776
* Alliance Semiconductor Corp. 62,500 373,125
* Allied Defense Group, Inc. 12,400 217,496
* Allied Healthcare International, Inc. 36,000 181,080
* Allied Healthcare Products, Inc. 6,700 36,381
* Allied Holdings, Inc. 8,300 42,330
* Allied Motion Technologies, Inc. 2,900 14,993
* Allmerica Financial Corp. 40,600 1,305,290
*# Allos Therapeutics, Inc. 55,700 103,045
* Allou Health Care, Inc. Class A 7,100 1
* Alloy, Inc. 71,200 356,712
* Allscripts Healthcare Solutions, Inc. 66,000 543,774
* Almost Family, Inc. 1,600 12,648
* Alpha Technologies Group, Inc. 7,100 9,940
Alpharma, Inc. Class A 70,700 1,384,306
* Alpine Group, Inc. 13,500 27,567
* Alteon, Inc. 61,700 80,210
*# Alterra Healthcare Corp. 4,900 0
* Altiris, Inc. 47,200 1,262,600
Ambassadors Group, Inc. 9,800 201,782
Ambassadors, Inc. 9,800 125,734
* AMC Entertainment, Inc. 60,600 915,060
* Amcast Industrial Corp. 8,500 34,425
Amcol International Corp. 52,700 880,090
Amcore Financial, Inc. 45,460 1,321,522
* Amedisys, Inc. 20,993 523,146
* AMEN Properties, Inc. 1,975 4,916
* Amerco, Inc. 13,900 347,639
* America Services Group, Inc. 12,700 457,200
* America West Holdings Corp.
Class B 60,100 602,202
* American Banknote Corp. 88 25
American Biltrite, Inc. 3,400 33,150
* American Building Control, Inc. 14,000 26,180
*# American Business Financial
Services, Inc. 5,074 16,644
* American Claims Evaluation, Inc. 1,000 2,890
* American Dental Partners, Inc. 10,500 179,025
* American Eagle Outfitters, Inc. 40,860 1,183,306
* American Ecology Corp. 14,350 125,562
* American Greetings Corp. Class A 89,600 1,881,600
*# American Healthways, Inc. 57,800 1,187,790
* American Indemnity Financial Escrow 800 800
* American Independence Corp. 8,400 130,872
American Italian Pasta Co. 30,600 895,356
* American Locker Group, Inc. 300 3,396
* American Medical Electronics, Inc.
(Escrow-Bonus) 4,400 0
* American Medical Electronics, Inc.
(Escrow-Earnings) 4,400 $ 0
* American Medical Security Group,
Inc. 24,200 625,086
* American Medical Systems
Holdings, Inc. 59,500 1,864,135
American Pacific Corp. 7,100 51,830
* American Physicians Capital, Inc. 14,800 341,140
* American Physicians Services
Group, Inc. 100 980
* American Retirement Corp. 42,900 193,050
* American Science & Engineering,
Inc. 12,400 214,024
American Shared Hospital Services 5,100 28,968
American Software, Inc. Class A 32,300 206,397
American States Water Co. 27,450 642,330
* American Superconductor Corp. 49,300 619,208
* American Technical Ceramics Corp. 8,000 70,800
American Vanguard Corp. 621 23,846
* American West Bancorporation 3,552 63,652
American Woodmark Corp. 13,700 788,298
Americana Bancorp, Inc. 2,712 44,070
* America's Car-Mart, Inc. 12,900 380,550
* AMERIGROUP Corp. 44,300 1,868,131
* AmeriServe Financial, Inc. 24,000 138,000
Ameristar Casinos, Inc. 48,500 1,592,740
Ameron International Corp. 13,700 426,207
# AmerUs Group Co. 46,844 1,843,311
* Ames Department Stores, Inc. 12,800 22
Ametek, Inc. 400 10,804
* Amistar Corp. 1,600 3,608
* AML Communications, Inc. 7,800 11,310
* AMN Healthcare Services, Inc. 58,700 892,240
Ampco-Pittsburgh Corp. 9,600 124,512
* Ampex Corp. Class A 5,925 10,369
Amrep Corp. 6,500 111,670
* Amsurg Corp. 54,333 1,230,654
* Amtech Systems, Inc. 1,900 9,652
* AMX Corp. 11,000 109,890
* Anacomp, Inc. 0 12
* Anadigics, Inc. 54,600 269,178
* Analex Corp. 25,800 92,880
Analogic Corp. 24,500 1,130,185
* Analysts International Corp. 41,200 123,188
*# Analytical Surveys, Inc. 730 1,825
* Anaren, Inc. 36,800 585,856
Anchor Bancorp Wisconsin, Inc. 41,240 1,087,499
Andersons, Inc. 8,200 141,532
*# Andrew Corp. 3,409 66,987
* Angeion Corp. 215 318
Angelica Corp. 16,100 359,030
* Angelo & Maxie's, Inc. 2,016 2,157
* Anika Therapeutics, Inc. 9,900 139,600
Anixter International, Inc. 65,900 2,009,950
* Ansoft Corp. 22,500 334,350
* AnswerThink, Inc. 84,800 543,653
* Ansys, Inc. 27,600 1,189,008
* Anteon International Corp. 63,500 1,870,710
* Anthony and Sylvan Pools Corp. 3,768 15,826
*# Antigenics, Inc. 81,113 654,582
* AP Pharma, Inc. 37,123 123,248
</Table>
130
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* APA Optics, Inc. 11,800 $ 29,500
* APAC Teleservices, Inc. 106,450 237,383
* Aphton Corp. 63,639 287,012
Apogee Enterprises, Inc. 49,500 493,020
* Apogee Technology, Inc. 1,300 11,479
* Applica, Inc. 42,800 420,296
* Applied Extrusion Technologies, Inc. 22,600 23,730
* Applied Films Corp. 26,361 713,065
* Applied Imaging Corp. 15,800 18,486
Applied Industrial Technologies, Inc. 34,000 909,500
* Applied Innovation, Inc. 15,100 60,400
Applied Signal Technologies, Inc. 19,700 615,625
* Applix, Inc. 23,900 105,160
* Apria Healthcare Group, Inc. 54,100 1,519,128
* Apropos Technology, Inc. 30,400 123,424
Aptargroup, Inc. 38,500 1,565,025
* aQuantive, Inc. 108,925 1,095,785
* Aquila, Inc. 331,800 1,330,518
*# Aradigm Corp. 92,337 100,647
* Arch Capital Group, Ltd. 5,900 227,622
Arch Chemicals, Inc. 40,622 1,077,702
Arch Coal, Inc. 73,400 2,385,500
* Arch Wireless, Inc. 35,100 1,112,319
Arctic Cat, Inc. 26,830 618,431
*# Ardent Communications, Inc. 12,900 32
* Arena Pharmaceuticals, Inc. 45,878 268,845
* Argonaut Group, Inc. 46,301 804,711
* Argonaut Technologies, Inc. 12,000 19,560
* Argosy Gaming Corp. 52,900 1,881,124
* Ariad Pharmaceuticals, Inc. 92,800 996,672
*# Ariba, Inc. 532,400 1,160,632
* Ark Restaurants Corp. 2,700 59,670
Arkansas Best Corp. 44,900 1,337,571
* Arlington Hospitality, Inc. 4,900 16,660
* Armor Holdings, Inc. 51,400 1,922,360
*# Armstrong Holdings, Inc. 4,400 3,872
*# Arotech Corp 57,100 145,034
* Arqule, Inc. 51,674 299,709
* Array BioPharma, Inc. 51,415 487,414
# Arrhythmia Research Technology, Inc. 3,900 49,608
* Arris Group, Inc. 147,400 931,568
Arrow Financial Corp. 9,941 292,265
Arrow International, Inc. 73,300 2,211,461
* Art Technology Group, Inc. 100,500 137,685
Artesian Resources Corp. Class A 700 19,096
* Artesyn Technologies, Inc. 69,300 633,402
* Arthrocare Corp. 38,310 937,829
* Artisan Components, Inc. 40,500 1,025,865
* Artisoft, Inc 2,400 6,264
* Arts Way Manufacturing Co., Inc. 200 1,036
* ASA International. Ltd. 640 2,880
ASB Financial Corp. 1,000 23,000
* Asbury Automotive Group, Inc. 98,100 1,402,830
* Ascential Software Corp. 66,079 1,060,568
* Ashworth, Inc. 23,371 186,734
*# Ask Jeeves, Inc. 78,400 3,167,360
* Aspect Communications Corp. 105,200 1,350,768
* Aspect Medical Systems, Inc. 35,000 532,700
* Aspen Technology, Inc. 73,579 464,283
* Aspeon, Inc. 900 9
*# Astea International, Inc. 2,900 30,189
* Astec Industries, Inc. 35,500 $ 614,505
Astro-Med, Inc. 9,130 96,778
* Astronics Corp. 5,500 27,830
* Astronics Corp. Class B 2,225 10,680
*# AstroPower, Inc. 6,550 262
* ASV, Inc. 22,800 690,156
* Asyst Technologies, Inc. 84,500 864,435
*# ATA Holdings Corp. 21,179 134,487
* Atari, Inc. 209,809 583,269
* AtheroGenics, Inc. 66,600 1,564,434
* Atlantic American Corp. 21,100 62,667
* Atlantic Coast Airlines, Inc. 68,000 383,520
* Atlantic Premium Brands, Ltd. 2,000 2,600
* Atlantis Plastics, Inc. 4,400 67,980
* Atlas Air Worldwide Holdings, Inc. 11,000 572
* ATMI, Inc. 55,900 1,432,158
# Atmos Energy Corp. 93,300 2,312,907
* ATP Oil & Gas Corp. 53,900 319,088
Atrion Corp. 1,700 73,508
* Atrix Labs, Inc. 38,900 1,061,581
* ATS Medical, Inc. 2,200 10,340
* Atwood Oceanics, Inc. 24,900 991,518
* Audiovox Corp. Class A 34,300 477,456
* August Technology Corp. 31,800 427,710
* Ault, Inc. 4,500 13,410
* Aura Systems, Inc. 5,295 199
* Aurora Foods, Inc. 44 0
*# Authentidate Holding Corp. 50,900 641,340
* autobytel.com, Inc. 73,800 771,210
* Avalon Holding Corp. Class A 1,550 4,115
* Avanex Corp. 229,116 710,260
* Avanir Pharmaceuticals Class A 58,000 80,620
* Avant Immunotherapeutics, Inc. 133,134 323,516
* Avatar Holdings, Inc. 8,700 364,008
Avatech Solutions, Inc. 1,851 1,481
* Avi Biopharma, Inc. 61,400 138,764
* Aviall, Inc. 57,700 1,001,672
* Avici Systems Inc. 21,343 225,382
*# Avid Technology, Inc. 45,100 2,346,102
* Avigen, Inc. 37,800 133,812
Avista Corp. 87,000 1,475,520
* Avocent Corp. 52,600 1,802,602
* Avteam, Inc. Class A 11,400 17
* Aware, Inc. 40,959 133,117
* Axcelis Technologies, Inc. 177,900 2,143,695
* Axonyx, Inc. 1,300 6,448
*# AXS-One, Inc. 50,400 149,184
* Axsys Technologies, Inc. 4,700 90,945
* AXT, Inc. 38,200 80,984
* Aztar Corp. 62,100 1,497,231
* AZZ, Inc. 8,200 122,180
Badger Meter, Inc. 3,200 134,464
* Badger Paper Mills, Inc. 1,000 5,135
Bairnco Corp. 7,300 59,130
* Baker (Michael) Corp. 7,600 109,060
Balchem Corp. 4,700 122,670
Baldor Electric Co. 59,233 1,371,836
Baldwin & Lyons, Inc. Class B 12,625 304,894
* Baldwin Technology, Inc. Class A 13,300 49,210
* Ballantyne Omaha, Inc. 11,900 34,748
* Bally Total Fitness Holding Corp. 57,800 265,880
</Table>
131
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Bancinsurance Corp. 5,700 $ 46,797
Bandag, Inc. 16,400 694,868
Bandag, Inc. Class A 9,600 380,832
Bank of Granite Corp. 16,400 317,668
Bank of The Ozarks 15,200 367,840
BankAtlantic Bancorp, Inc. Class A 11,285 180,560
* Bankrate, Inc. 7,000 79,450
* BankUnited Financial Corp. Class A 51,400 1,341,026
Banner Corp. 20,197 589,752
Banta Corp. 46,600 2,033,624
Barnes Group, Inc. 41,400 1,099,998
Barnwell Industries, Inc. 400 18,384
Barra, Inc. 33,000 1,350,030
* Barrett Business Services, Inc. 5,800 78,532
* Barry (R.G.) Corp. 9,500 20,235
Bassett Furniture Industries, Inc. 20,815 396,089
* Bay View Capital Corp. 92,550 188,802
* Baycorp Holdings, Ltd. 484 6,423
* BE Aerospace, Inc. 65,700 419,166
* Beasley Broadcast Group, Inc. 12,303 188,482
# Beazer Homes USA, Inc. 12,553 1,264,966
* Bebe Stores, Inc. 69,900 1,396,602
BEI Technologies, Inc. 26,500 706,755
Bel Fuse, Inc. Class A 2,600 78,679
Bel Fuse, Inc. Class B 5,250 190,785
Belden, Inc. 40,696 687,762
* Bell Industries, Inc. 8,900 26,255
* Bell Microproducts, Inc. 48,900 311,493
* Benchmark Electronics, Inc. 74,000 2,155,620
* Benihana, Inc. 1,000 14,500
* Benihana, Inc. Class A 150 2,196
* Bentley Pharmaceuticals, Inc. 37,060 466,956
Berry Petroleum Corp. Class A 44,700 1,218,075
*# Bethlehem Steel Corp. 37,300 119
* Beverly Enterprises 193,200 1,638,336
* Beyond.com Corp. 3,140 44
BHA Group Holdings, Inc. Class A 6,100 199,043
* Big 4 Ranch, Inc. 3,200 0
* Big City Radio, Inc. 6,400 832
* Big Dog Holdings, Inc. 1,500 7,216
* BindView Development Corp. 84,700 258,335
* Bio Imaging Technologies, Inc. 18,500 104,340
* Bioanalytical Systems, Inc. 4,600 18,515
* Biocryst Pharmaceuticals, Inc. 38,700 417,960
*# BioLase Technology, Inc. 43,200 509,328
* Bio-Logic Systems Corp. 4,200 26,082
* BioMarin Pharmaceutical, Inc. 112,885 689,727
* Bio-Rad Laboratories, Inc. Class A 20,000 1,122,400
* Bio-Reference Laboratories, Inc. 20,912 319,744
* BioSante Pharmaceuticals, Inc. 25,300 192,280
*# Biosite, Inc. 28,100 1,117,537
* Biosource International, Inc. 9,600 69,226
* Biospecifics Technologies Corp. 4,500 6,750
* BioSphere Medical, Inc. 24,600 75,768
* BioTime, Inc. 11,000 19,800
* Bioveris Corp. 30,900 388,104
* Bitstream, Inc. 8,400 19,152
BIW, Ltd. 800 15,588
Black Box Corp. 32,300 1,471,265
Black Hills Corp. 57,559 1,686,479
Blair Corp. 13,700 352,090
* Blonder Tongue Laboratories, Inc. 9,800 $ 30,870
* Blount International, Inc. 43,400 433,132
* Blue Coat Systems, Inc. 18,786 522,251
* Blue Martini Software, Inc. 19,500 87,535
* Bluegreen Corp. 45,665 547,067
Blyth, Inc. 38,100 1,243,965
* BMC Industries, Inc. 14,000 875
* BNS Co. Class A 4,120 25,338
Bob Evans Farms, Inc. 63,338 1,627,153
* Boca Resorts, Inc. 68,745 1,236,035
* Bogen Communications International,
Inc. 12,500 62,812
* Bolt Technology Corp. 5,400 24,840
* Bombay Co., Inc. 62,900 366,078
* Bone Care International, Inc. 25,821 551,278
* Bontex, Inc. 200 30
Bon-Ton Stores, Inc. 20,900 267,311
* Bookham Technologies P.L.C. 98,279 103,193
* Books-a-Million, Inc. 18,300 109,800
* Borland Software Corp. 145,900 1,283,920
Boston Acoustics, Inc. 4,600 50,600
* Boston Beer Company, Inc. Class A 16,400 313,240
* Boston Biomedical, Inc. 6,700 21,172
* Boston Communications Group, Inc. 33,000 349,800
Boston Private Financial Holdings,
Inc. 49,100 1,123,899
Bostonfed Bancorp, Inc. 4,300 144,480
* Bottomline Technologies, Inc. 27,904 267,878
Bowne & Co., Inc. 62,000 987,040
# Boyd Gaming Corp. 103,200 2,399,400
* Boyds Collection, Ltd. 121,517 347,539
* Bradley Pharmaceuticals, Inc.
Class A 25,251 587,843
Brady (W.H.) Co. Class A 37,400 1,543,872
* Braun Consulting, Inc. 30,100 50,568
* Breed Technologies, Inc. 36,800 975
Bridgford Foods Corp. 10,400 80,080
Briggs & Stratton Corp. 27,300 2,071,524
* Brigham Exploration Co. 60,182 512,811
* Bright Horizons Family Solutions, Inc. 6,600 326,106
* Brightpoint, Inc. 34,700 386,558
* BrightStar Information Technology
Group, Inc. 10,700 385
* Brillian Corp. 7,049 59,571
* Brilliant Digital Entertainment, Inc. 18,000 1,278
*# BriteSmile, Inc. 785 8,635
* Broadview Media, Inc. 200 1,220
* BroadVision, Inc. 59,800 206,848
* Brocade Communications Systems,
Inc. 17,800 106,622
# Brookline Bancorp, Inc. 106,091 1,534,076
* Brooks Automation, Inc. 75,239 1,554,438
* Brookstone, Inc. 35,875 692,746
* Brooktrout, Inc. 23,462 225,704
Brown Shoe Company, Inc. 32,500 1,343,225
* Bruker BioSciences Corp. 166,445 792,278
* Brush Engineered Materials, Inc. 30,100 524,342
Bryn Mawr Bank Corp. 1,600 32,960
BSB Bancorp, Inc. 16,785 583,279
* BSQUARE Corp. 19,000 18,411
* BTU International, Inc. 11,900 62,832
</Table>
132
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Buca, Inc. 33,971 $ 179,027
* Buckeye Technology, Inc. 65,183 657,696
Buckle, Inc. 30,000 842,700
Building Materials Holding Corp. 24,100 414,761
* Bull Run Corp. 3,700 2,016
Burlington Coat Factory
Warehouse Corp. 75,549 1,438,453
* Bush Industries, Inc. Class A 6,500 4,355
* Butler International, Inc. 8,400 20,832
C & D Technologies, Inc. 49,600 809,968
C & F Financial Corp. 300 11,280
* C-COR.net Corp. 75,800 673,862
*# C-Phone Corp. 8,900 156
* Cable Design Techologies Corp. 85,487 712,962
*# Cabot Microelectronics Corp. 42,300 1,317,645
Cabot Oil & Gas Corp. Class A 58,400 2,149,120
* Cache, Inc. 18,700 486,387
* Caci International, Inc. Class A 52,400 1,946,136
Cadmus Communications Corp. 8,900 122,642
* Cagle's, Inc. Class A 2,000 21,820
* Cal Dive International, Inc. 67,800 1,904,502
Calavo Growers 16,200 165,888
Calgon Carbon Corp. 67,400 416,532
* California Amplifier, Inc. 26,800 201,000
* California Coastal Communities, Inc. 10,000 160,500
California First National Bancorp 10,400 136,864
* California Micro Devices Corp. 38,000 511,480
* California Pizza Kitchen, Inc. 34,000 641,920
California Water Service Group 30,500 867,725
* Caliper Life Sciences, Inc. 56,174 298,284
Callaway Golf Co. 136,000 2,200,480
* Callidus Software 32,000 228,480
* Callon Petroleum Corp. 25,162 330,125
* Calloways Nursery, Inc. 1,200 198
# Cal-Maine Foods, Inc. 39,100 539,580
* Calton, Inc. 4,480 1,926
* CAM Commerce Solutions, Inc. 3,000 56,737
Cambrex Corp. 51,700 1,181,345
* Cambridge Heart, Inc. 6,600 4,290
Camco Financial Corp. 7,516 107,704
* Candela Corp. 39,910 415,064
* Candies, Inc. 45,550 114,786
* Candlewood Hotel Co., Inc. 1,500 85
* Cannon Express, Inc. Class A 200 36
* Cannondale Corp. 6,400 896
* Cantel Medical Corp. 16,740 287,928
* Canterbury Consulting Group, Inc. 1,571 1,296
* Canyon Resources Corp. 48,600 158,436
Capital Corp. of the West 5,046 181,656
* Capital Crossing Bank 5,900 374,060
* Capital Pacific Holdings, Inc. 14,500 58,362
* Capital Senior Living Corp. 42,200 217,330
Capital Southwest Corp. 300 22,650
Capitol Bancorp, Ltd. 8,564 215,984
* Caprius, Inc. 548 110
* Capstone Turbine Corp. 74,000 206,460
* Captaris, Inc. 57,600 348,480
* Captiva Software Corp. 4,400 44,308
* Caraustar Industries, Inc. 51,184 684,842
# Carbo Ceramics, Inc. 28,600 1,999,140
* Cardiac Sciences, Inc. 136,100 340,250
* Cardima, Inc. 6,300 $ 5,418
* CardioDynamics International Corp. 85,661 563,649
*# CardioGenesis Corp. 32,100 21,507
* Cardiotech International, Inc. 31,263 117,236
* Career Blazers, Inc. Trust Units 800 0
* Carmike Cinemas, Inc. 19,700 721,020
Carpenter Technology Corp. 40,400 1,228,968
* Carreker Corp. 21,871 199,682
* Carriage Services, Inc. Class A 28,700 147,805
* Carrier Access Corp. 59,989 667,078
* Carrington Laboratories, Inc. 9,800 42,042
* Carrizo Oil & Gas, Inc. 14,100 119,286
Cascade Corp. 20,800 508,560
Cascade Natural Gas Corp. 20,100 399,387
* Casella Waste Systems, Inc. Class A 40,669 568,553
Casey's General Stores, Inc. 84,800 1,384,784
Cash America International, Inc. 48,200 972,194
* Castle (A.M.) & Co. 15,437 131,060
Castle Energy Corp. 6,600 71,709
* Casual Male Retail Group, Inc. 63,100 429,080
* Catalina Lighting, Inc. 1,760 18,865
* Catalina Marketing Corp. 90,800 1,533,612
* Catalyst International, Inc. 7,600 10,640
* Catalyst Semiconductor, Inc. 28,040 224,881
* Catalytica Energy Systems, Inc. 15,391 51,560
* Catapult Communications Corp. 22,600 373,126
Cathay Bancorp, Inc. 38,961 2,460,387
Cato Corp. Class A 35,000 771,050
* Cavalier Homes, Inc. 32,060 180,818
Cavalry Bancorp, Inc. 500 7,530
* Cavco Industries, Inc. 3,852 146,141
CCA Industries, Inc. 11,800 91,450
* CCC Information Services Group,
Inc. 25,700 372,136
* CD Warehouse, Inc. 3,300 7
* CD&L, Inc. 2,600 3,640
CDI Corp. 35,300 1,171,607
* CEC Entertainment Inc. 69,550 2,137,271
* Celadon Group, Inc. 14,000 201,880
* Celebrity, Inc. Escrow Shares 1,300 0
Celeritek, Inc. 22,200 78,144
* Cell Genesys, Inc. 79,352 815,739
*# Cell Therapeutics, Inc. 88,200 617,400
* Cellegy Pharmaceuticals, Inc. 46,100 187,166
* CellStar Corp. 33,948 205,385
* Centene Corp. 36,200 1,305,010
* Centennial Communications Corp. 49,800 359,556
Center Bancorp, Inc. 1,890 22,189
Center Finl CO 12,960 191,160
*# CenterSpan Communication Corp. 8,400 714
* Centillium Communications, Inc. 64,069 211,428
* Centra Software, Inc. 45,500 99,190
Central Bancorp, Inc. 1,600 56,880
*# Central European Distribution Corp. 19,418 587,977
* Central Garden & Pet Co. 30,300 1,126,251
Central Pacific Financial Corp. 28,400 687,280
Central Parking Corp. 63,137 1,167,403
Central Vermont Public Service Corp. 21,700 423,367
* Century Aluminum Co. 55,390 1,283,386
Century Bancorp Income Class A 1,000 32,700
* Century Business Services, Inc. 141,857 584,451
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SHARES VALUE+
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* Cenveo, Inc. 84,800 $ 262,032
* Cepheid, Inc. 74,706 683,560
* Ceradyne, Inc. 28,650 953,185
Cerberonics, Inc. Class A 200 1,852
* Ceres Group, Inc. 54,395 338,337
*# Cerner Corp. 49,309 2,108,453
* Cerus Corp. 39,700 85,355
* CEVA, Inc. 10,833 86,664
CFS Bancorp, Inc. 21,420 290,241
CH Energy Group, Inc. 28,700 1,305,850
* Chad Therapeutics 10,000 42,500
* Champion Enterprises, Inc. 126,100 1,179,035
Champion Industries, Inc. 9,674 44,307
* Championship Auto Racing Teams,
Inc. 8,900 1,041
* Champps Entertainment, Inc. 21,340 191,398
* Channell Commercial Corp. 6,600 29,700
* Charles and Colvard, Ltd. 23,800 139,944
* Charles River Associates, Inc. 9,000 305,370
* Charlotte Russe Holding, Inc. 38,600 713,714
* Charming Shoppes, Inc. 200,877 1,719,507
* Chart Industries 23 690
*# Charter Communications, Inc. 142,500 548,625
Charter Financial Corp. 22,811 770,784
Chase Corp. 4,000 59,200
* Chattem, Inc. 35,000 930,300
* Chaus (Bernard), Inc. 1,300 1,300
* Checkers Drive-In Restaurant, Inc. 21,107 216,347
* Checkpoint Systems, Inc. 67,700 1,168,502
Chemed Corp. 20,900 986,898
Chemical Financial Corp. 42,938 1,504,977
* Cheniere Energy, Inc. 31,200 471,120
Cherokee, Inc. 8,100 186,300
Chesapeake Corp. 32,802 712,459
Chesapeake Utilities Corp. 9,000 209,970
Chester Valley Bancorp 575 11,759
* Chicago Pizza & Brewery, Inc. 35,022 469,995
Chicago Rivet & Machine Co. 200 5,829
* Children's Place Retail Stores, Inc. 45,400 1,075,072
* Childtime Learning Centers, Inc. 5,200 13,884
*# ChipPAC, Inc. 155,100 1,008,150
* Chiquita Brands International, Inc. 72,996 1,278,890
Chittenden Corp. 66,083 2,141,750
Choice Hotels International, Inc. 53,600 2,567,440
* Cholestech Corp. 25,300 241,615
* Chordiant Software, Inc. 122,500 474,075
Christopher & Banks Corp. 68,013 1,292,247
*# ChromaVision Medical Systems, Inc. 20,200 27,068
* Chromcraft Revington, Inc. 6,000 84,900
* Chronimed, Inc. 21,901 162,067
Churchill Downs, Inc. 14,400 545,472
*# Chyron Corp. 33,400 20,040
* Ciber, Inc. 117,312 1,044,077
* Cima Laboratories, Inc. 19,900 643,168
* Cimarex Energy Co. 14,004 394,773
* Cincinnati Bell, Inc. 447,700 1,844,524
* Ciphergen Biosystems, Inc. 52,200 407,682
* Ciprico, Inc. 4,900 22,809
CIRCOR International, Inc. 26,290 516,336
* Cirrus Logic, Inc. 151,800 1,127,874
Citizens Banking Corp. 67,033 2,010,320
Citizens South Banking Corp. 14,029 $ 181,676
*# Citizens, Inc. Class A 57,326 390,963
City Holding Co. 30,086 903,182
* CKE Restaurants, Inc. 103,800 1,050,456
Clarcor, Inc. 45,700 1,938,137
* Clark, Inc. 31,124 544,048
* Clarus Corp. 29,800 353,428
*# Clayton Williams Energy, Inc. 9,200 211,048
*# Clean Harbors, Inc. 25,100 182,979
* Clearone Communications, Inc. 11,300 66,387
Cleco Corp. 84,700 1,469,545
* Cleveland Cliffs, Inc. 19,200 900,288
*# ClickAction, Inc. Escrow 7,900 395
Clinical Data Inc 1,787 20,157
* Closure Medical Corp. 25,642 638,999
* CMG Information Services, Inc. 66,700 131,399
*# CMS Energy Corp. 273,775 2,359,940
* CNA Surety Corp. 67,918 706,347
*# CNE Group, Inc. 2,000 820
* CNET Networks, Inc. 241,100 2,329,026
CNS, Inc. 24,800 249,736
Coachmen Industries, Inc. 28,000 452,480
* Coast Dental Services, Inc. 2,066 6,405
Coast Distribution System 5,600 35,784
* Coastcast Corp. 7,600 16,340
CoBiz, Inc. 12,825 177,498
* Cobra Electronics Corp. 6,100 54,717
Coca-Cola Bottling Co. Consolidated 6,000 333,420
*# Coeur d'Alene Mines Corp. 457,200 2,144,268
* Cogent Communications Group, Inc. 8,913 3,565
Cognex Corp. 64,800 2,147,472
* Cognitronics Corp. 4,250 15,045
* Coherent, Inc. 53,846 1,458,688
Cohu, Inc. 38,600 731,470
*# Coinstar, Inc. 38,200 664,680
* Coldwater Creek, Inc. 23,850 634,648
Cole (Kenneth) Productions, Inc.
Class A 19,450 636,987
* Cole National Corp. Class A 14,800 336,108
* Collagenex Pharmaceuticals, Inc. 25,400 249,428
* Collins & Aikman Corp. 142,960 759,118
Collins Industries, Inc. 7,000 39,970
Columbia Banking System, Inc. 25,547 542,107
* Columbia Laboratories, Inc. 71,600 219,096
* Columbus McKinnon Corp. 25,800 136,714
* Comarco, Inc. 10,200 72,624
* Comdial Corp. 600 1,560
* Comforce Corp. 13,277 26,288
* Comfort Systems USA, Inc. 65,500 461,775
Commerce Group, Inc. 33,100 1,500,092
*# Commerce One, Inc. 51,000 52,020
Commercial Bancshares, Inc. 5,665 144,741
Commercial Federal Corp. 71,900 2,014,638
Commercial Metals Co. 52,300 1,574,230
Commercial National Financial Corp. 3,200 80,800
* Commonwealth Industries, Inc. 28,815 257,894
*# Commonwealth Telephone
Enterprises, Inc. 38,100 1,615,440
*# Commscope, Inc. 110,400 1,904,400
Communications Systems, Inc. 8,200 64,780
Community Bank System, Inc. 48,600 1,070,172
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SHARES VALUE+
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Community Bankshares, Inc. 210 $ 3,906
Community First Bankshares, Inc. 63,200 2,028,720
Community Trust Bancorp, Inc. 13,730 427,964
Community West Bancshares 5,500 46,612
* Competitive Technologies, Inc. 6,100 22,265
* Compex Technologies, Inc. 21,854 130,687
* Compucom Systems, Inc. 90,241 405,182
* CompuCredit Corp. 81,131 1,423,038
*# Compudyne Corp. 14,404 143,320
* Computer Access Technology Corp. 41,000 190,650
* Computer Horizons Corp. 37,400 133,518
* Computer Network Technology Corp. 47,000 283,880
Computer Programs & Systems, Inc. 18,000 349,020
* Computer Task Group, Inc. 35,900 156,165
* CompX International, Inc. 5,100 82,875
* Comstock Resources, Inc. 62,400 1,173,744
* Comtech Telecommunications Corp. 25,600 454,144
* Concepts Direct, Inc. 700 124
* Conceptus, Inc. 44,836 467,639
* Concord Camera Corp. 48,356 149,420
* Concord Communications, Inc. 30,000 342,600
* Concur Technologies, Inc. 57,631 625,873
* Concurrent Computer Corp. 106,000 214,120
* Conexant Systems, Inc. 237,333 1,120,212
* Congoleum Corp. Class A 3,600 8,100
* Conmed Corp. 53,111 1,351,675
Connecticut Water Services, Inc. 7,600 191,132
*# Connetics Corp. 63,400 1,354,858
* Conrad Industries, Inc. 7,200 16,358
* Consolidated Freightways Corp. 550 1
* Consolidated Graphics, Inc. 24,282 974,922
Consolidated Tokoma Land Co. 6,100 204,045
* Consumer Portfolio Services, Inc. 1,500 6,735
*# Continental Airlines, Inc. 119,100 1,273,179
* Continental Materials Corp. 200 5,858
*# Convera Corp. 60,916 173,001
* Convergence Systems, Inc. 1 45
*# Cooker Restaurant Corp. 6,500 39
Cooper Companies, Inc. 39,200 2,163,840
Cooper Tire & Rubber Co. 83,900 1,769,451
Cooperative Bankshares, Inc. 1,400 32,200
* Copart, Inc. 134,800 3,322,820
*# Copper Mountain Networks, Inc. 11,310 143,524
*# Corautus Genetics, Inc. 1,542 8,866
* Core Molding Technologies, Inc. 7,700 26,950
* Corillian Corp. 63,800 307,516
* Corinthian Colleges, Inc. 18,900 536,949
* Corio, Inc. 108,400 244,984
* Corixa Corp. 100,097 507,492
Corn Products International, Inc. 57,600 2,498,688
* Cornell Companies, Inc. 23,800 317,730
* Correctional Services Corp. 20,512 63,587
* Corrections Corporation of America 63,100 2,414,206
* Corrpro Companies, Inc. 7,275 12,076
Corus Bankshares, Inc. 50,444 1,971,352
* Corvel Corp. 10,900 253,207
* Cosine Communications, Inc. 16,721 66,550
* Cost Plus, Inc. 39,175 1,288,466
* CoStar Group, Inc. 32,391 1,340,340
* Cost-U-Less, Inc. 3,000 17,310
Cotton States Life Insurance Co. 6,330 125,809
Courier Corp. 4,275 $ 166,853
* Covansys Corp. 48,200 524,416
* Covenant Transport, Inc. Class A 22,130 346,777
* Covista Communications, Inc. 3,000 9,000
CPAC, Inc. 5,120 29,645
* CPI Aerostructures, Inc. 9,566 102,356
CPI Corp. 11,200 173,824
Craftmade International, Inc. 8,700 180,960
Crawford & Co. Class A 27,300 133,224
Crawford & Co. Class B 25,300 125,235
* Cray, Inc. 127,300 1,003,124
*# Credence Systems Corp. 114,047 1,597,798
* Credit Acceptance Corp. 71,369 1,074,103
*# Cree Research, Inc. 51,000 1,173,510
* Critical Path, Inc. 33,200 63,080
* Criticare Systems, Inc. 20,300 62,930
Crompton Corp. 206,100 1,230,417
* Cross (A.T.) Co. Class A 14,700 82,908
* Cross Country Healthcare, Inc. 55,657 924,463
* Crossroads Systems, Inc. 42,500 77,435
* Crown Andersen, Inc. 1,000 1,750
* Crown Financial Group, Inc. 6,600 7,920
* Crown Holdings, Inc. 247,400 2,209,282
* Crown Media Holdings, Inc. 127,651 1,155,242
*# Cryolife, Inc. 41,800 213,180
* CSG Systems International, Inc. 96,800 1,847,912
* CSK Auto Corp. 83,600 1,433,740
* CSP, Inc. 3,500 25,203
CSS Industries, Inc. 12,900 450,210
CT Communications, Inc. 30,860 422,782
CTS Corp. 64,959 708,053
Cubic Corp. 48,100 1,082,731
* Cubist Pharmaceuticals, Inc. 72,425 719,904
* Culp, Inc. 19,600 145,040
* Cumulus Media, Inc. Class A 90,093 1,670,324
* CUNO, Inc. 30,408 1,395,119
* CuraGen Corp. 85,560 427,800
* Curative Health Services Inc. 23,100 243,012
* Curis, Inc. 74,150 330,635
Curtiss-Wright Corp. 11,600 545,780
Cutter & Buck, Inc. 18,524 191,909
* CV Therapeutics, Inc. 56,405 737,777
CVB Financial Corp. 87,076 1,809,439
* Cyberguard Corp. 42,022 355,506
* Cyberonics, Inc. 42,100 826,002
* Cyberoptics Corp. 14,300 299,013
* Cybersource Corp. 59,900 506,155
* Cybex International, Inc. 8,700 32,538
*# Cycle Ctry Acc 6,300 33,705
*# CycleLogic, Inc. 29 3
* Cygnus, Inc. 1,300 338
* Cymer, Inc. 63,700 2,344,160
Cytec Industries, Inc. 62,000 2,496,740
* Cytogen Corp. 27,070 351,910
*# Cytrx Corp. 1,700 2,074
D & K Healthcare Resources, Inc. 28,330 339,110
* D A Consulting Group, Inc. 6,700 37
D&E Communications, Inc. 17,374 225,167
* Daily Journal Corp. 200 6,600
* Daktronics, Inc. 33,879 791,075
*# Dan River, Inc. Class A 27,400 2,945
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SHARES VALUE+
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* Danielson Holding Corp. 33,400 $ 318,636
* Darling International, Inc. 114,700 395,715
* Data I/O Corp. 7,600 21,736
* Data Systems & Software, Inc. 7,300 12,191
* Datakey, Inc. 1,000 750
* Datalink Corp. 13,300 48,545
* Dataram Corp. 14,400 115,920
Datascope Corp. 26,634 924,999
* Datastream Systems, Inc. 20,100 125,826
* Datatec Systems, Inc. 7,000 3,605
* DataTRAK International, Inc. 5,200 57,460
* Datawatch Corp. 4,132 17,437
* Dave and Busters, Inc. 13,200 246,840
* Davel Communications, Inc. 94 1
* Dawson Geophysical Co. 5,400 80,190
* Daxor Corp. 4,600 96,830
Deb Shops, Inc. 19,299 462,983
* Deckers Outdoor Corp. 9,200 230,000
* Decora Industries, Inc. 5,500 32
Decorator Industries, Inc. 2,762 22,096
* Del Global Technologies Corp. 10,927 24,859
* Del Laboratories, Inc. 9,506 273,773
* Delphax Technologies, Inc. 6,100 39,040
Delphi Financial Group, Inc. Class A 46,350 1,866,978
*# Delta Air Lines, Inc. 195,200 1,190,720
Delta and Pine Land Co. 68,900 1,597,102
Delta Apparel, Inc. 5,240 118,319
* Delta Financial Corp. 28,900 176,001
Delta Natural Gas Co., Inc. 2,800 65,016
* Delta Woodside Industries, Inc. 5,850 7,897
Deltic Timber Corp. 21,771 772,435
* Denali, Inc. 4,300 430
* Denbury Resources, Inc. 98,100 1,805,040
* Dendreon Corp. 103,881 1,137,497
* Dendrite International, Inc. 73,874 1,240,344
* Department 56, Inc. 23,700 374,460
*# DepoMed, Inc. 78,000 593,580
* Detrex Corp. 500 787
* Devcon International Corp. 3,600 41,400
* DHB Industries, Inc. 73,300 691,219
Diagnostic Products Corp. 52,200 2,198,664
*# Diametrics Medical, Inc. 2,500 275
* DiamondCluster International, Inc. 58,884 570,586
* Diedrich Coffee, Inc. 4,025 15,899
* Digene Corp. 35,000 1,365,350
* Digi International, Inc. 37,548 390,124
* Digimarc Corp. 37,265 421,094
*# Digital Angel Corp. 55,000 177,100
*# Digital Generation Systems, Inc. 114,900 166,605
* Digital Impact, Inc. 56,900 101,282
* Digital Insight Corp. 63,100 1,219,092
*# Digital Lightwave, Inc. 49,700 81,508
* Digital River, Inc. 57,000 1,790,370
* Digitas, Inc. 113,157 1,046,702
Dime Community Bancorp, Inc. 67,700 1,157,670
Dimon, Inc. 78,529 482,953
* Diodes, Inc. 12,150 265,234
* Dionex Corp. 38,310 1,929,292
* Directrix, Inc. 813 3
* Discovery Partners International 41,953 217,736
* Display Technologies, Inc. 11,330 23
Distributed Energy Systems Corp. 59,250 $ 189,600
* Ditech Communications Corp. 58,480 1,205,273
* Diversa Corp. 77,608 730,291
* Diversified Corporate Resources, Inc. 800 1,120
* Dixie Group, Inc. 18,500 218,485
* Dixon Ticonderoga Co. 1,900 7,125
* DJ Orthopedics, Inc. 38,800 905,204
* DLB Oil & Gas, Inc. 1,300 0
* DocuCorp International, Inc. 18,773 167,643
* Document Sciences Corp. 14,200 74,962
* Dollar Thrifty Automotive Group, Inc. 45,400 1,190,388
* Dominion Homes, Inc. 5,800 176,958
Donegal Group, Inc. Class A 6,066 127,265
Donegal Group, Inc. Class B 2,933 60,185
* Dot Hill Systems Corp. 70,760 672,220
* DoubleClick, Inc. 164,482 1,394,807
* DOV Pharmaceutical, Inc. 30,394 457,734
Dover Downs Gaming &
Entertainment, Inc. 9,910 106,235
Dover Motorsports, Inc. 26,200 120,258
Downey Financial Corp. 36,476 1,929,580
*# DPAC Technologies Corp. 20,900 16,469
* Drew Industries, Inc. 18,400 685,400
*# Drexler Technology Corp. 20,500 348,500
* Dril-Quip, Inc. 31,100 513,772
* DRS Technologies, Inc. 48,500 1,357,515
* Drugstore.com, Inc. 133,100 617,584
* DSP Group, Inc. 51,900 1,366,008
* DT Industries, Inc. 10,300 335
* Duane Reade, Inc. 36,021 594,346
* Duckwall-ALCO Stores, Inc. 4,100 70,684
* Ducommun, Inc. 17,100 322,335
* DuPont Photomasks, Inc. 32,755 723,230
Duquesne Light Holdings, Inc. 104,700 2,013,381
* Dura Automotive Systems, Inc. 28,100 265,826
* DuraSwitch Industries, Inc. 10,500 31,384
* Duratek, Inc. 13,500 175,500
*# Durect Corp. 91,387 322,596
*# DUSA Pharmaceuticals, Inc. 29,500 311,520
* DVI, Inc. 11,300 186
* Dyax Corp. 56,000 551,600
* Dycom Industries, Inc. 87,266 2,154,598
*# Dynacq Healthcare, Inc. 22,200 139,860
* Dynamex, Inc. 19,900 261,486
* Dynamic Materials Corp. 2,000 6,120
* Dynamics Research Corp. 14,598 239,553
* Dynegy, Inc. 84,700 371,833
*# E Com Ventures, Inc. 2,175 20,119
* E-Loan, Inc. 108,400 264,496
E-Z-EM, Inc. 8,562 160,109
* E.piphany, Inc. 127,687 600,129
Eagle Materials, Inc. 25,000 1,667,500
* EarthLink, Inc. 198,575 1,993,693
East West Bancorp, Inc. 41,300 2,505,671
Eastern Co. 4,950 77,913
* EasyLink Services Corp. 7,969 10,200
* Echelon Corp. 72,571 778,687
* Eclipsys Corp. 17,600 244,288
* eCollege.com 36,200 609,246
Ecology & Environment, Inc. Class A 2,000 20,000
Edelbrock Corp. 5,470 82,323
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------ ------
* Eden Bioscience Corp. 12,800 $ 14,080
*# EDGAR Online, Inc. 16,400 16,072
* Edge Petroleum Corp. 23,100 319,935
* Edgewater Technology, Inc. 11,569 71,612
Edo Corp. 35,800 768,984
Educational Development Corp. 1,800 19,611
EFC Bancorp, Inc. 4,600 109,250
* EFJ, Inc. 7,800 64,740
* eFunds Corp. 86,006 1,376,956
* EGL, Inc. 84,700 1,937,936
* El Paso Electric Co. 108,600 1,569,270
* Elcom International, Inc. 3,500 560
Electro Rent Corp. 39,266 429,570
* Electro Scientific Industries, Inc. 33,300 760,239
* Electroglas, Inc. 37,600 197,400
* Electronics Boutique Holdings Corp. 44,730 1,232,759
* Electronics for Imaging, Inc. 84,900 2,356,824
* Elizabeth Arden, Inc. 42,200 930,088
ElkCorp 35,300 875,440
* eLoyalty Corp. 6,700 42,411
* ELXSI Corp. 1,800 6,570
* Embarcadero Technologies, Inc. 47,750 541,007
* Embrex, Inc. 14,600 188,048
EMC Insurance Group, Inc. 11,300 229,164
* Emcor Group, Inc. 27,100 1,148,498
* EMCORE Corp. 65,111 192,729
* Emerging Vision, Inc. 25,700 3,341
* Emeritus Corp. 14,100 80,370
* Emerson Radio Corp. 45,422 152,164
* Emisphere Technologies, Inc. 33,000 167,640
* Emmis Communications Corp.
Class A 82,800 1,805,040
Empire District Electric Co. 45,400 908,908
* EMS Technologies, Inc. 19,932 433,720
* En Pointe Technologies, Inc. 6,500 12,285
* Encore Acquisition Co. 54,800 1,539,880
* Encore Capital Grooup, Inc. 31,700 483,108
* Encore Medical Corp. 74,500 520,010
* Encore Wire Corp. 25,965 791,024
* Encysive Pharmaceuticals, Inc. 94,800 871,686
* Endocardial Solutions, Inc. 39,300 382,389
* Endocare, Inc. 25,800 76,755
* Endologix, Inc. 57,000 281,580
Energen Corp. 41,300 1,850,240
* Energy Conversion Devices, Inc. 43,105 540,106
* Energy Partners, Ltd. 58,000 769,660
* Energy West, Inc. 3,900 25,545
EnergySouth, Inc. 7,971 290,304
* Enesco Group, Inc. 25,600 246,528
Engineered Support Systems, Inc. 45,881 2,404,164
* ENGlobal Corp. 1,700 2,839
* Enherent Corp. 17,400 2,610
*# Enlighten Software Solutions, Inc. 1,600 3
Ennis Business Forms, Inc. 28,800 444,960
* EnPro Industries, Inc. 35,200 680,768
* Entegris, Inc. 125,864 1,428,556
* Enterrasys Networks, Inc. 378,100 741,076
* Entravision Communications Corp. 106,817 865,218
* Entremed, Inc. 66,600 141,858
* Entrust, Inc. 114,400 526,240
* Environmental Elements Corp. 5,000 775
* Environmental Technologies Corp. 3,700 $ 26
* Environmental Tectonics Corp. 7,100 52,540
* Enzo Biochem, Inc. 53,066 708,962
* Enzon Pharmaceuticals, Inc. 51,600 741,492
* EP Medsystems, Inc. 14,900 43,210
* EpicEdge, Inc. 21,900 208
* Epicor Software Corp. 79,442 1,063,728
* Epimmune, Inc. 22,900 39,159
* EPIQ Systems, Inc. 31,150 455,724
* EPIX Medical, Inc. 40,828 997,428
* ePlus, Inc. 14,300 168,454
* ePresence, Inc. 25,100 101,404
*# Equimed Inc. Nevis 2,250 0
* Equinix, Inc. 27,300 858,585
* Equity Marketing, Inc. 5,700 73,188
* Equity Oil Co. 16,000 68,000
*# eResearch Technology, Inc. 92,100 2,329,209
* Ergo Science Corp. 7,150 17,160
ESB Financial Corp. 11,762 149,142
*# Escalon Medical Corp. 3,200 43,456
* Esco Technologies, Inc. 23,200 1,143,760
* eSpeed, Inc. 50,500 957,985
Espey Manufacturing & Electronics
Corp. 400 9,044
* ESS Technology, Inc. 70,800 811,368
* Esterline Technologies Corp. 36,500 919,070
Ethan Allen Interiors, Inc. 34,800 1,356,156
* Ethyl Corp. 30,300 608,121
* Euronet Worldwide, Inc. 53,952 1,240,356
* European Micro Holdings, Inc. 4,600 264
* Evans & Sutherland Computer Corp. 10,400 51,844
* Evans Systems, Inc. 4,000 360
* Evercel, Inc. 766 295
* Evergreen Resources, Inc. 58,700 2,221,795
*# Evergreen Solar, Inc. 26,400 79,992
* Everlast Worldwide, Inc. 1,500 4,050
EverTrust Financial Group, Inc. 2,850 55,461
* Evolving Systems, Inc. 12,600 50,148
*# Exabyte Corp. 1,000 830
* Exact Sciences Corp. 44,505 281,272
* Exactech, Inc. 10,800 216,000
* Exar Corp. 70,108 1,116,820
* Excel Technology, Inc. 20,400 657,900
* Exelixis, Inc. 124,818 1,150,822
* Exponent, Inc. 6,700 167,031
* ExpressJet Holdings, Inc. 88,400 1,053,728
* Extended Systems, Inc. 11,100 55,167
* Extreme Networks, Inc. 202,100 1,075,172
* Exult, Inc. 192,081 1,187,061
* Ezcorp, Inc. Class A Non-Voting 10,800 87,804
* Ezenia! Inc. 200 140
F.N.B. Corp. 81,720 1,631,131
* F5 Networks, Inc. 61,300 1,819,997
* Fab Industries, Inc. 5,200 18,200
*# Factory 2-U Stores, Inc. 26,949 25,332
# Factset Research Systems, Inc. 57,000 2,491,470
* Fairchild Corp. Class A 40,052 180,234
* Falcon Products, Inc. 11,800 44,250
*# FalconStor Software, Inc. 81,300 562,596
* Famous Dave's of America, Inc. 22,120 174,129
* Fargo Electronics 22,200 252,192
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Farmer Brothers Co. 19,000 $ 542,640
* Faro Technologies, Inc. 24,400 652,456
FBL Financial Group, Inc. Class A 38,700 1,097,919
* Featherlite, Inc. 6,500 29,185
Fedders Corp. 53,810 238,916
Federal Screw Works 1,562 58,263
# Federal Signal Corp. 84,700 1,508,507
*# Federal-Mogul Corp. 57,900 15,343
* FEI Co. 58,700 1,464,565
* Female Health Co. 9,300 29,295
Ferro Corp. 73,800 1,889,280
FFLC Bancorp 5,400 137,322
* Fibermark, Inc. 3,000 300
*# Fiberstars, Inc. 10,900 92,966
Fidelity Bankshares, Inc. 27,022 914,424
* Fidelity Federal Bancorp 2,500 4,200
Fidelity Southern Corp. 8,800 118,800
* Filenet Corp. 69,380 1,897,543
* Financial Federal Corp. 32,500 1,015,300
* Financial Industries Corp. 12,482 142,919
* Findwhat.Com 39,600 917,136
*# Finisar Corp. 333,296 663,259
* Finish Line, Inc. Class A 34,100 1,135,530
* Finishmaster, Inc. 800 8,140
* Finlay Enterprises, Inc. 19,000 372,020
* Firebrand Financial Group, Inc. 9,100 328
First Albany Companies, Inc. 9,098 95,256
* First Aviation Services, Inc. 6,200 30,132
First Bancorp 6,210 189,405
* First Cash Financial Services, Inc. 29,000 597,400
First Charter Corp. 52,633 1,102,135
First Citizens Bancshares, Inc. 1,300 150,800
First Commonwealth Financial Corp. 104,509 1,391,015
First Community Bancorp 27,000 980,100
First Community Bancshares, Inc. 5,500 148,500
* First Consulting Group, Inc. 44,128 230,348
First Defiance Financial Corp. 6,859 171,612
First Federal Bancshares of
Arkansas, Inc. 5,800 117,160
First Federal Capital Corp. 38,084 1,033,600
First Financial Bancorp 78,048 1,329,157
First Financial Bankshares, Inc. 15,395 624,267
First Financial Corp. 2,550 74,001
First Financial Holdings, Inc. 22,600 666,700
First Franklin Corp. 300 5,550
* First Horizon Pharmaceutical Corp. 64,564 1,144,397
First Indiana Corp. 26,617 525,153
* First Investors Financial Services
Group, Inc. 5,400 29,538
First Keystone Financial, Inc. 2,000 54,000
First M&F Corp. 2,100 69,489
* First Mariner Bank Corp. 4,900 87,367
First Merchants Corp. 32,408 778,764
First Midwest Bancorp, Inc. 7,375 252,594
First Midwest Financial, Inc. 2,400 53,760
First Mutual Bancshares, Inc. 5,013 116,251
First National Bankshares of Florida 28,320 551,107
First Niagara Financial Group, Inc. 142,929 1,779,466
First Oak Brook Bancshares, Inc.
Class A 3,150 91,350
First PacTrust Bancorp, Inc. 8,200 176,710
First Place Financial Corp. 22,751 $ 374,026
First Republic Bank 27,350 1,114,786
First SecurityFed Financial, Inc. 4,400 155,540
First Sentinel Bancorp, Inc. 41,508 866,687
First State Bancorporation 12,876 408,555
First United Corp. 3,500 73,360
* First Virtual Communications, Inc. 4,150 6,557
First Years, Inc. 8,100 135,675
Firstbank Corp. 2,835 75,269
FirstBank NW Corp. 2,928 76,860
* FirstCity Financial Corp. 18,200 141,960
* FirstFed Financial Corp. 30,700 1,267,603
* Firstwave Technologies, Inc. 2,600 7,774
* Fischer Imaging Corp. 9,100 26,845
Flag Financial Corp. 6,500 81,250
Flagstar Bancorp, Inc. 103,400 2,229,304
* Flamemaster Aerospace Corp.
Restricted 4 0
Flamemaster Corp. 278 1,162
* Flanders Corp. 45,560 325,754
* Fleetwood Enterprises, Inc. 70,500 944,700
*# Fleming Companies, Inc. 15,082 72
Flexsteel Industries, Inc. 6,100 131,882
* Flir Systems, Inc. 55,800 2,745,360
* Florida Banks, Inc. 5,700 119,472
Florida East Coast Industries, Inc. 57,400 2,076,732
Florida Public Utilities Co. 3,866 73,454
Florida Rock Industries, Inc. 39,850 1,584,037
* Flow International Corp. 27,600 77,280
Flowers Foods, Inc. 79,925 1,867,847
* Flowserve Corp. 96,700 2,025,865
Flushing Financial Corp. 33,714 590,332
* FMC Corp. 59,000 2,393,630
FMS Financial Corp. 3,300 56,100
FNB Corp. 2,700 52,380
FNB Financial Services Corp. 2,625 48,562
*# Foamex International, Inc. 41,000 184,090
* FOCUS Enhancements, Inc. 3,132 4,316
* Foodarama Supermarkets, Inc. 1,100 44,275
Foothill Independent Bancorp 6,555 133,788
*# Footstar, Inc. 27,600 120,060
Forest City Enterprises, Inc. Class B 4,500 226,125
* Forest Oil Corp. 75,170 1,871,733
* Forgent Networks, Inc. 39,400 50,432
* Forrester Research, Inc. 37,384 684,875
* Forward Air Corp., Inc. 38,750 1,195,437
* Fossil, Inc. 94,218 2,238,620
* Foster (L.B.) Co. Class A 10,000 78,000
*# Foster Wheeler, Ltd. 40,600 47,908
* Fountain Powerboat Industries, Inc. 4,700 22,560
*# FPIC Insurance Group, Inc. 17,946 484,542
Frankfort First Bancorp, Inc. 850 18,156
* Frankfort Tower Industries, Inc. 14,700 73
# Franklin Bancorp, Inc. 3,489 69,431
* Franklin Covey Co. 19,300 47,285
Franklin Electric Co., Inc. 10,800 686,880
* Franklin Electronic Publishers, Inc. 7,900 33,812
Fred's, Inc. 70,450 1,480,859
* FreeMarkets, Inc. 67,900 463,078
Frequency Electronics, Inc. 8,300 116,532
Fresh Brands, Inc. 5,100 42,131
</Table>
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SHARES VALUE+
------ ------
* Fresh Choice, Inc. 5,900 $ 9,794
* Friede Goldman Halter, Inc. 1,083 2
Friedman Industries, Inc. 6,158 24,016
Friedmans, Inc. Class A 35,240 111,358
* Friendly Ice Cream Corp. 7,300 96,214
Frisch's Restaurants, Inc. 4,900 139,895
* Frontier Airlines, Inc. 59,961 557,637
Frontier Oil Corp. 47,800 945,006
* Frozen Food Express Industries, Inc. 27,607 189,108
FSF Financial Corp. 2,300 79,580
* FSI International, Inc. 50,700 349,323
* FTI Consulting, Inc. 76,425 1,280,119
* FuelCell Energy, Inc. 85,854 1,362,503
Fuller (H.B.) Co. 51,309 1,374,568
*# FX Energy, Inc. 19,400 162,378
G & K Services, Inc. Class A 34,200 1,345,770
* G-III Apparel Group, Ltd. 6,700 60,400
GA Financial, Inc. 5,300 185,606
Gabelli Asset Management, Inc. 11,100 465,312
* Gadzooks, Inc. 13,600 24,140
* Gaiam, Inc. 5,500 33,440
* Galaxy Nutritional Foods, Inc. 11,500 22,425
* Galey & Lord, Inc. 6,400 32
*# Galyan's Trading Co. 29,537 296,847
* GameStop Corp. 37,700 588,874
GameTech International, Inc. 11,100 50,061
* Gardenburger, Inc. 4,000 880
* Gardner Denver Machinery, Inc. 34,688 908,479
* Gartner Group, Inc. 80,500 986,125
* Gateway, Inc. 140,600 569,430
GATX Corp. 85,200 2,054,172
* Gaylord Entertainment Co. 69,463 1,997,061
GB & T Bancshares, Inc. 700 19,089
* GC Companies, Inc. 200 125
* Gehl Co. 8,900 151,211
* Genaera Corp. 23,000 82,110
* Genaissance Pharmaceuticals, Inc. 41,300 180,027
Gencorp, Inc. 80,111 910,061
* Gene Logic, Inc. 66,682 262,727
* Genecor International, Inc. 102,608 1,541,172
* Genelabs Technologies, Inc. 149,610 388,986
* General Binding Corp. 13,300 178,619
* General Cable Corp. 70,700 566,307
* General Communications, Inc.
Class A 92,600 734,318
* General DataComm Industries, Inc. 1,310 458
* General Employment Enterprises,
Inc. 3,100 4,820
* Genesco, Inc. 39,200 983,920
* Genesee & Wyoming, Inc. 33,750 771,525
* Genesee Corp. Class B 200 765
* Genesis HealthCare Corp. 31,450 814,240
* Genesis Microchip, Inc. 37,462 605,011
* Geneva Financial Corp. 2,600 1,950
* Genlyte Group, Inc. 24,500 1,439,865
*# Genta, Inc. 131,800 303,140
* Gentek, Inc. 10,900 44
* Gentiva Health Services, Inc. 13,950 221,526
*# Genus, Inc. 67,221 174,707
* GenVec, Inc. 90,669 286,514
Georgia Gulf Corp. 58,600 1,981,852
* Gerber Scientific, Inc. 38,600 $ 240,864
* Geron Corp. 73,209 539,550
Gevity HR, Inc. 35,000 917,350
* Giant Group, Ltd. 2,200 5,225
* Giant Industries, Inc. 20,800 389,376
Gibraltar Steel Corp. 18,600 538,470
* Giga-Tronics, Inc. 4,600 7,314
Glacier Bancorp, Inc. 43,660 1,153,497
* Glacier Water Services, Inc. 3,600 66,456
Glatfelter (P.H.) Co. 75,600 925,344
* Glenayre Technologies, Inc. 113,627 287,476
* Global e-Point, Inc. 3,008 11,882
* Global Imaging Systems, Inc. 39,500 1,337,470
* Global Payment Technologies, Inc. 5,500 20,185
* Global Power Equipment Group, Inc. 83,400 552,942
* Globecomm Systems, Inc. 16,500 96,690
*# Glowpoint, Inc. 49,850 108,174
* GoAmerica, Inc. 2,850 2,562
Gold Banc Corp. 63,565 1,041,195
Golden Enterprises, Inc. 11,800 34,338
* Golden State Vintners, Inc. 5,100 41,667
* Goodrich Petroleum Corp. 30,600 252,450
*# Goodyear Tire & Rubber Co. 180,900 1,573,830
Goody's Family Clothing, Inc. 43,942 524,667
*# GoRemote Internet Communications,
Inc. 64,900 129,800
Gorman-Rupp Co. 7,975 211,337
* Gottschalks, Inc. 12,700 65,786
* GP Strategies Corp. 14,560 109,200
* Gradco Systems, Inc. 230 2,254
* Graftech International, Ltd. 171,300 1,627,350
Graham Corp. 1,000 11,000
Granite Construction, Inc. 74,600 1,409,940
* Graphic Packaging Corp. 102,600 662,796
Gray Television, Inc. 74,060 1,043,505
Gray Television, Inc. Class A 6,800 87,040
Great American Financial Resources,
Inc. 18,300 279,075
* Great Atlantic & Pacific Tea Co., Inc. 69,300 480,249
Great Lakes Chemical Corp. 91,200 2,259,936
Great Southern Bancorp, Inc. 6,800 378,896
Greater Bay Bancorp 72,446 2,079,925
Greater Communications Bancorp 3,600 50,580
* Green Mountain Coffee, Inc. 12,200 245,342
Green Mountain Power Corp. 7,700 197,967
* Greenbriar Corp. 674 1,938
* Greenbrier Companies, Inc. 14,100 242,943
Greene County Bancshares, Inc. 1,900 39,805
* Greens Worldwide, Inc. 2,502 56
Grey Global Group, Inc. 200 151,000
* Grey Wolf, Inc. 335,300 1,223,845
* Griffin Land & Nurseries, Inc. Class A 2,200 55,649
* Griffon Corp. 53,280 1,240,358
* Gristede's Foods, Inc. 1,200 1,020
* Group 1 Automotive, Inc. 38,700 1,242,270
* Group 1 Software, Inc. 16,450 376,047
* Grubb & Ellis Co. 14,900 15,049
* GSI Commerce, Inc. 73,754 604,783
*# GSV, Inc. 1,800 216
* GTC Biotherapeutics, Inc. 59,964 98,341
* GTSI Corp. 14,600 174,032
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SHARES VALUE+
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Guaranty Bancshares, Inc. 3,000 $ 57,375
Guaranty Federal Bancshares, Inc. 3,000 59,100
* Guess, Inc. 79,080 1,217,832
*# Guilford Pharmaceuticals, Inc. 61,047 378,491
* Guitar Center, Inc. 43,800 1,879,020
Gulf Island Fabrication, Inc. 21,537 409,203
* Gulfmark Offshore, Inc. 34,200 459,990
* Gymboree Corp. 54,900 800,991
* Ha-Lo Industries, Inc. 64,900 91
* Haemonetics Corp. 44,800 1,218,560
Haggar Corp. 6,300 127,008
* Hain Celestial Group, Inc. 59,188 1,047,628
* Halifax Corp. 1,000 4,500
* Hall Kinion Associates, Inc. 18,000 74,520
* Hammons (John Q.) Hotels, Inc.
Class A 5,200 48,880
* Hampshire Group, Ltd. 4,000 115,920
Hancock Fabrics, Inc. 32,200 374,164
Hancock Holding Co. 53,400 1,467,432
Handleman Co. 41,923 939,075
* Hanger Orthopedic Group, Inc. 36,252 598,158
Hanmi Financial Corp. 5,500 144,925
* Hanover Compressor Co. 153,900 1,611,333
Harbor Florida Bancshares, Inc. 42,898 1,204,147
Hardinge, Inc. 8,800 104,720
Harland (John H.) Co. 47,100 1,427,130
Harleysville Group, Inc. 49,967 943,877
Harleysville National Corp. 41,107 1,025,620
* Harmonic, Inc. 122,360 781,880
* Harolds Stores, Inc. 2,308 5,816
* Harris Interactive, Inc. 106,200 790,128
Harrodsburg First Financial Bancorp,
Inc. 1,100 21,422
* Hartmarx Corp. 33,600 202,608
* Harvard Bioscience, Inc. 52,700 247,690
* Harvest Natural Resources, Inc. 63,100 801,370
* Hastings Entertainment, Inc. 11,300 87,903
* Hastings Manufacturing Co. 700 1,802
* Hauppauge Digital, Inc. 8,800 55,977
Haverty Furniture Co., Inc. 15,700 275,535
Haverty Furniture Co., Inc. Class A 400 7,220
*# Hawaiian Holdings, Inc. 29,875 144,894
* Hawk Corp. 8,500 44,412
Hawkins, Inc. 10,200 122,502
* Hawthorne Financial Corp. 17,910 630,969
* Headwaters, Inc. 59,800 1,249,820
* HealthAxis, Inc. 750 1,642
Healthcare Services Group, Inc. 16,650 258,741
* HealthExtras, Inc. 66,050 1,007,262
Heartland Express, Inc. 89,936 2,178,250
Heartland Financial USA, Inc. 5,779 101,132
* Hecla Mining Co. 208,400 1,352,516
* Hector Communications Corp. 3,500 70,000
* HEI, Inc. 6,000 15,300
Heico Corp. 16,700 245,657
Heico Corp. Class A 7,465 88,236
* Heidrick & Struggles International,
Inc. 34,000 949,960
Helix Technology Corp. 46,953 933,426
Helmerich & Payne, Inc. 54,900 1,369,755
*# Hemispherx Biopharma, Inc. 73,500 255,045
Henry Jack & Associates, Inc. 18,642 $ 361,655
* Hercules, Inc. 200,800 2,124,464
* Heritage Commerce Corp. 2,800 39,732
Heritage Financial Corp. 7,500 142,125
* Herley Industries, Inc. 25,400 521,970
* Hexcel Corp. 69,400 589,900
HF Financial Corp. 3,630 53,833
*# Hi-Shear Technology Corp. 8,600 27,004
* Hi-Tech Pharmacal, Inc. 14,250 264,907
* HI/FN, Inc. 10,400 101,400
* Hibbett Sporting Goods, Inc. 40,870 1,061,803
Hickory Tech Corp. 13,900 156,097
Hilb Rogal Hamilton Co. 64,400 2,290,708
* Hines Horticulture, Inc. 22,000 95,480
Hirsch International Corp. Class A 3,300 3,432
HMN Financial, Inc. 4,400 110,572
* HMS Holdings Corp. 34,395 185,733
* Hoenig Group Escrow Shares 7,900 1,817
* Holiday RV Superstores, Inc. 930 5
Hollinger International, Inc. Class A 100,900 1,775,840
* Hollis-Eden Pharmaceuticals, Inc. 33,553 345,260
Holly Corp. 18,600 646,350
* Hollywood Entertainment Corp. 105,773 1,404,665
* Hollywood Media Corp. 44,600 145,396
* Hologic, Inc. 36,300 746,328
Home Federal Bancorp 4,300 114,595
Home Loan Financial Corp. 1,700 34,850
* Home Products International, Inc. 7,800 10,062
* HomeStore, Inc. 69,828 291,183
Hooper Holmes, Inc. 113,800 637,280
HopFed Bancorp, Inc. 2,100 36,414
Horace Mann Educators Corp. 73,638 1,246,691
Horizon Financial Corp. 18,284 336,791
* Horizon Health Corp. 9,900 227,700
* Horizon Medical Products, Inc. 19,400 36,860
* Horizon Offshore, Inc. 51,300 62,586
* Hot Topic, Inc. 86,800 1,875,748
* Houston Exploration Co. 49,997 2,362,858
* Hovnanian Enterprises, Inc. Class A 50,300 1,775,590
* Hub Group, Inc. Class A 7,000 229,040
* Hudson Highland Group, Inc. 2,130 59,107
Hudson River Bancorp, Inc. 51,564 898,761
* Hudson Technologies, Inc. 5,100 5,508
* Huffy Corp. 27,005 31,326
Hughes Supply, Inc. 36,569 1,974,726
Humboldt Bancorp 20,410 381,055
* Hurco Companies, Inc. 5,600 75,544
* Hutchinson Technology, Inc. 46,900 1,238,629
* Huttig Building Products, Inc. 5,300 43,725
* Hycor Biomedical, Inc. 8,000 42,000
* Hydril Co. 28,800 828,288
* Hypercom Corp. 91,600 615,552
* HyperFeed Technologies, Inc. 1,450 5,481
* Hyperion Solutions Corp 64,124 2,541,875
* I-Flow Corp. 35,800 484,374
* I-many, Inc. 47,900 59,875
*# I-Sector Corporation 5,900 50,740
* I-Trax Inc. 30,300 101,505
* I.C. Isaacs & Co., Inc. 7,200 7,272
Iberiabank Corp. 11,520 674,726
* Ibis Technology Corp. 18,800 144,760
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SHARES VALUE+
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*# icad, Inc. 3,600 $ 12,672
* Ico, Inc. 14,320 30,502
* ICT Group, Inc. 19,274 220,495
* ICU Medical, Inc. 24,650 821,091
Idacorp, Inc. 68,700 1,786,200
* Identix, Inc. 152,412 1,104,987
Idex Corp. 42,200 2,012,940
* IDT Corp. 37,478 659,238
* IDT Corp. Class B 29,500 531,000
* IDX Systems Corp. 53,951 1,571,593
* iGate Capital Corp. 88,012 392,534
* IGI, Inc. 2,100 4,620
* Igo Escrow Share 4,100 0
IHOP Corp. 36,200 1,303,200
* II-VI, Inc. 24,370 628,259
Ikon Office Solutions, Inc. 136,960 1,509,299
* ILEX Oncology, Inc. 62,400 1,444,560
* Illumina, Inc. 55,861 354,159
ILX Resorts, Inc. 2,900 29,203
* Image Entertainment, Inc. 32,900 113,505
*# ImageWare Systems, Inc. 5,500 15,345
Imation Corp. 59,100 2,432,556
# IMC Global, Inc. 184,158 2,292,767
* IMCO Recycling, Inc. 26,200 330,120
* Immersion Corp. 39,400 169,026
*# Immtech International, Inc. 14,900 212,325
* Immucor, Inc. 36,875 1,146,075
* ImmunoGen, Inc. 69,053 553,115
* Immunomedics, Inc. 84,800 513,888
* IMPAC Medical Systems, Inc. 10,400 121,472
* Impath, Inc. 21,600 122,040
* Impax Laboratoroes, Inc. 96,544 2,138,450
* Impco Technologies, Inc. 31,600 181,068
* Imperial Sugar Co. 15,420 182,110
*# Imperial Sugar Company 14,551 0
*# Implant Sciences Corp. 12,500 173,500
* Impreso, Inc. 5,300 12,614
* Incyte Genomics, Inc. 123,730 887,144
Independence Holding Co. 2,750 90,337
Independent Bank Corp. MA 24,700 655,044
Independent Bank Corp. MI 35,204 891,717
*# Indevus Pharmaceuticals, Inc. 85,094 708,833
* Index Development Partners, Inc. 5,700 313
* Indus International, Inc. 34,900 88,995
* Industrial Distribution Group, Inc. 15,500 112,375
* INEI Corp. 1,700 2,380
* Inet Technologies, Inc. 65,957 587,677
Infinity Property & Casualty Corp. 33,460 1,043,952
* Infinity, Inc. 15,398 56,203
*# Infocrossing, Inc. 25,100 331,320
* InFocus Corp. 67,089 540,737
* Infonet Services Corp. 133,400 229,448
* Informatica Corp. 145,100 1,125,976
* Information Architects Corp. 1,080 324
* Information Holdings, Inc. 35,400 945,888
* Inforte Corp. 18,500 200,170
* InfoSpace, Inc. 53,446 1,955,055
* infoUSA, Inc. 98,962 890,658
Ingles Market, Inc. Class A 17,405 184,493
* Inkine Pharmaceutical Co., Inc. 21,400 87,954
* Innodata Corp. 36,300 139,755
* Innotrac Corp. 11,600 $ 107,300
* Innovative Clinical Solutions, Ltd. 968 6
* Innovative Solutions & Support, Inc. 12,700 253,759
* Innovex, Inc. 31,500 169,785
* Input/Output, Inc. 90,300 623,070
* Insight Communications Co., Inc. 83,175 795,153
* Insight Enterprises, Inc. 82,079 1,506,970
* Insightful Corp. 6,300 27,147
* Insignia Systems, Inc. 19,250 25,602
*# Insite Vision, Inc. 18,000 14,040
* Insituform Technologies, Inc. Class A 45,019 688,791
* Insmed, Inc. 65,218 149,936
* Inspire Pharmaceuticals, Inc. 54,180 928,103
* Instinet Group, Inc. 36,500 240,535
* Insurance Auto Auctions, Inc. 19,961 326,562
* InsWeb Corp. 1,633 7,757
Integra Bank Corp. 30,683 644,036
*# Integra Lifesciences Corp. 51,200 1,641,984
Integral Systems, Inc. 9,200 161,644
*# Integral Vision, Inc. 2,200 3,630
* IntegraMed America, Inc. 3,100 22,568
*# Integrated Bio 17,100 237,690
* Integrated Electrical Services, Inc. 64,400 579,600
* Integrated Information Systems, Inc. 820 102
* Integrated Silicon Solution, Inc. 58,400 928,560
* Integrated Telecom Express, Inc. 600 0
* Integrity Media, Inc. 1,900 12,084
* Intelli-Check, Inc. 17,300 129,577
* Intellidata Technologies Corp. 65,500 49,780
* Intelligent Systems Corp. 4,500 8,325
* Intelligroup, Inc. 29,500 116,230
*# Intellisync Corp. 101,786 257,519
Inter Parfums, Inc. 18,550 466,903
* Interactive Data Corp. 58,013 983,320
* Interactive Intelligence, Inc. 26,100 147,465
* InterCept Group, Inc. 36,500 543,485
Interchange Financial Services Corp. 12,600 289,170
* Interdigital Communications Corp. 100,000 1,696,000
* Interep National Radio Sales, Inc. 4,600 8,970
* Interface, Inc. Class A 78,157 547,099
* Interferon Scientific, Inc. 2,435 101
* Intergraph Corp. 73,300 1,842,762
* Interland, Inc. 31,610 91,985
* Interlink Electronics, Inc. 9,700 97,485
* Intermagnetics General Corp. 28,395 836,801
Intermet Corp. 43,500 178,785
* InterMune, Inc. 54,200 770,182
International Aluminum Corp. 2,100 62,223
* International Microcomputer
Software, Inc. 5,100 6,630
* International Multifoods Corp. 32,800 818,688
* International Shipholding Corp. 6,100 86,650
*# Internet Commerce Corp. 4,000 5,560
* Internet Security Systems, Inc. 84,700 1,339,954
*# Interpharm Holdings, Inc. 31,700 102,074
* Interphase Corp. 5,400 51,295
Interpool, Inc. 38,000 641,250
* Interpore International, Inc. 30,400 438,672
Interstate Bakeries Corp. 77,200 810,600
* Interstate Hotels & Resorts, Inc. 49,540 265,039
Inter-Tel, Inc. 42,800 1,056,304
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Intervoice, Inc. 59,818 $ 838,050
* Interwoven, Inc. 68,607 632,557
* Intest Corp. 8,600 49,450
* Intevac, Inc. 12,000 108,000
* IntraBiotics Pharmaceuticals, Inc. 8,500 120,955
* Intrado, Inc. 28,900 480,318
* Intraware, Inc. 14,200 28,258
* Introgen Therapeutics, Inc. 45,075 296,548
*# Intrusion, Inc. 4,050 8,015
* Intuitive Surgical, Inc. 56,123 928,274
Invacare Corp. 48,600 2,015,442
* Inveresk Resh 63,807 1,919,315
* Inverness Medical Innovations, inc. 7,461 144,669
* Investment Technology Group, Inc. 76,000 1,037,400
* INVESTools, Inc. 4,283 8,780
Investors Title Co. 1,400 38,717
* Invision Technologies, Inc. 27,200 1,355,920
* Iomed, Inc. 10,500 30,765
Iomega Corp. 87,595 423,960
* Ion Networks, Inc. 4,200 336
*# Ionatron, Inc. 17,500 103,075
* Ionics, Inc. 38,400 969,984
*# IPIX Corp. 4,350 36,496
* Iridex Corp. 6,800 47,260
*# IRIS International, Inc. 24,100 202,151
Irwin Financial Corp. 50,400 1,282,680
Isco, Inc. 5,635 89,760
* Isis Pharmaceuticals, Inc. 94,400 609,824
*# Island Pacific, Inc. 73,700 58,223
* Isle of Capri Casinos, Inc. 53,200 1,031,016
* Isolagen Inc. 44,700 394,254
* Iteris Holdings, Inc. 300 810
* ITLA Capital Corp. 5,800 232,580
* Itron, Inc. 34,900 720,336
* ITXC Corp. 45,200 106,672
* iVillage, Inc. 63,600 438,204
* Ixia 102,300 958,551
* IXYS Corp. 55,824 521,954
* J & J Snack Foods Corp. 15,100 600,376
* J Net Enterprises, Inc. 8,400 12,600
* J. Alexander's Corp. 9,200 65,780
* J. Jill Group, Inc. 33,800 690,534
* j2 Global Communication, Inc. 39,332 974,254
* Jack in the Box, Inc. 61,800 1,728,546
* Jaclyn, Inc. 1,300 6,604
* Jaco Electronics, Inc. 5,659 28,190
* Jacuzzi Brands, Inc. 127,678 1,090,370
* Jakks Pacific, Inc. 42,623 757,837
* Jarden Corp. 45,450 1,590,750
* JDA Software Group, Inc. 48,712 616,207
* Jennifer Convertibles, Inc. 1,300 4,108
JLG Industries, Inc. 73,800 931,356
* JMAR Industries, Inc. 23,700 52,614
* Jo-Ann Stores, Inc. 37,075 1,061,457
* Johnson Outdoors, Inc. 6,700 127,769
* Jones Lang LaSalle, Inc. 53,600 1,351,792
* Jos. A. Bank Clothiers, Inc. 17,700 576,843
* Journal Register Co. 71,200 1,381,280
Joy Global, Inc. 85,500 2,351,250
* JPS Industries, Inc. 9,200 22,825
* Juno Lighting, Inc. 980 33,065
* Jupitermedia Corp. 43,780 $ 450,934
K Swiss, Inc. Class A 45,200 904,000
* K-Tron International, Inc. 2,400 51,216
* K-V Pharmaceutical Co. Class A 55,450 1,413,975
* K-V Pharmaceutical Co. Class B 20,975 572,617
* K2, Inc. 60,663 892,959
* Kadant, Inc. 23,420 473,787
* Kaiser Aluminum Corp. 14,500 507
Kaman Corp. Class A 38,300 451,174
* Kansas City Southern Industries, Inc. 105,600 1,372,800
* Katy Industries, Inc. 8,300 48,555
Kaydon Corp. 47,900 1,285,157
* KBK Capital Corp. 2,200 2,475
* KCS Energy, Inc. 82,900 1,037,079
*# Keane, Inc. 107,864 1,547,848
* Keith Companies, Inc. 11,400 159,828
Keithley Instruments, Inc. 23,200 501,352
Kellwood Co. 45,476 1,850,873
Kelly Services, Inc. 53,005 1,470,359
* Kemet Corp. 146,923 1,785,114
* Kendle International, Inc. 22,203 166,522
Kennametal, Inc. 35,200 1,499,520
* Kennedy-Wilson, Inc. 8,800 59,840
* Kensey Nash Corp. 19,300 616,442
*# Keravision, Inc. 4,300 13
Kewaunee Scientific Corp. 2,000 21,530
* Key Energy Group, Inc. 221,900 2,147,992
* Key Technology, Inc. 4,700 61,570
* Key Tronic Corp. 8,600 30,788
* Keynote Systems, Inc. 18,600 242,730
* Keystone Automotive Industries, Inc. 25,858 711,095
* Keystone Consolidated Industries, Inc. 2,100 283
* Kforce, Inc. 52,200 478,152
* KFX, Inc. 92,500 818,625
Kimball International, Inc. Class B 41,100 568,824
* Kindred Healthcare, Inc. 61,878 1,537,050
* Kirby Corp. 41,200 1,458,480
* Kirklands, Inc. 17,200 202,100
Knape & Vogt Manufacturing Co. 2,290 29,816
* Knight Trading Group, Inc. 50,956 583,956
* Knight Transportation, Inc. 63,625 1,551,177
* Koala Corp. 6,500 2,535
* Komag Inc. 46,609 675,830
* Kontron Mobile Computing, Inc. 8,900 3,471
* Kopin Corp. 119,087 645,452
* Korn/Ferry International 64,400 894,516
* Kos Pharmaceuticals, Inc. 52,000 1,730,040
* Kosan Biosciences, Inc. 48,424 525,885
Koss Corp. 3,600 75,456
* Krispy Kreme Doughnuts, Inc. 25,000 536,750
* Kroll, Inc. 66,560 2,432,102
Kronos Worldwide, Inc. 34,941 1,083,171
* Kronos, Inc. 52,500 2,177,700
* Kulicke & Soffa Industries, Inc. 85,734 983,369
* KVH Industries, Inc. 23,828 321,440
* Kyphon, Inc. 67,900 1,662,871
* La Jolla Pharmceutical Co. 109,100 294,570
La-Z-Boy, Inc. 89,400 1,649,430
* LaBarge, Inc. 26,800 203,680
* LabOne, Inc. 28,994 902,003
* Labor Ready, Inc. 70,000 851,900
</Table>
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<Caption>
SHARES VALUE+
------ ------
# Labranche & Co., Inc. 101,700 $ 911,232
Laclede Group, Inc. 32,600 888,024
* LaCrosse Footwear, Inc. 5,800 45,588
Ladish Co., Inc. 19,500 169,650
Lakeland Bancorp, Inc. 13,119 206,624
* Lakeland Industries, Inc. 2,420 52,635
* Lakes Entertainment, Inc. 21,950 271,302
* Lamson & Sessions Co. 23,400 176,670
Lance, Inc. 62,400 951,600
* Lancer Corp. 9,325 59,680
Landamerica Financial Group, Inc. 31,700 1,264,513
Landauer, Inc. 14,200 582,342
* Landec Corp. 36,190 256,587
Landry's Restaurants, Inc. 47,100 1,413,000
* Landstar Systems, Inc. 48,600 2,362,932
* Lannet Co., Inc. 33,430 566,639
* Lantronix, Inc. 15,000 18,750
*# Large Scale Biology Corp. 42,800 65,912
* Larscom, Inc. 1,157 5,785
* Laserscope 34,750 996,283
* Lattice Semiconductor Corp. 188,666 1,473,481
* Laureate Education, Inc. 69,700 2,559,384
Lawson Products, Inc. 9,600 337,440
* Lawson Software, Inc. 167,308 1,199,598
* Layne Christensen Co. 11,600 195,576
* Lazare Kaplan International, Inc. 8,700 76,560
* LCA-Vision, Inc. 22,650 543,600
* LCC International, Inc. Class A 30,900 127,926
* Learning Tree International, Inc. 29,100 417,585
* Lecroy Corp. 10,100 186,143
* Lectec Corp. 3,900 3,120
Leesport Financial Corp. 525 12,416
Lennox International, Inc. 100,005 1,648,082
* Lesco, Inc. 18,300 236,619
* Level 8 Systems, Inc. 3,729 1,007
* Levitt Corp. Series A 2,821 67,789
* Lexar Media, Inc. 129,897 1,228,826
* Lexicon Genetics, Inc. 107,600 754,276
Libbey, Inc. 23,200 591,832
* Liberate Technologies, Inc. 106,300 279,038
Liberty Corp. 30,900 1,438,395
Liberty Homes, Inc. Class A 200 910
* Lifecell Corp. 44,600 455,812
* Lifecore Biomedical, Inc. 21,900 153,300
* Lifeline Systems, Inc. 8,200 169,166
Lifetime Hoan Corp. 18,462 377,714
*# Ligand Pharmaceuticals, Inc. Class B 119,977 2,452,330
* Lightbridge, Inc. 45,021 237,261
* Lightning Rod Software, Inc. 580 641
* LightPath Technologies, Inc. 1,850 7,863
* Lin TV Corp. 44,600 1,012,420
Lincoln Electric Holdings 69,262 2,147,122
Lindsay Manufacturer Co. 20,000 458,000
* Linens 'n Things, Inc. 71,600 2,174,492
* Lionbridge Technologies, Inc. 31,197 244,273
*# Lipid Sciences, Inc. 41,758 177,472
*# Liquidmetal Technologies, Inc. 68,495 85,619
Lithia Motors, Inc. Class A 24,810 593,455
* Littlefuse, Inc. 37,500 1,483,500
* LMI Aerospace, Inc. 7,900 9,875
LNB Bancorp, Inc. 1,200 23,340
LNR Property Corp. 33,600 $ 1,688,400
* Local Financial Corp. 9,500 207,005
* Lodgenet Entertainment Corp. 22,200 438,894
* Lodgian, Inc. 51 755
* Log On America, Inc. 600 4
* Logic Devices, Inc. 6,700 10,720
* LogicVision, Inc. 28,200 84,290
* Logility, Inc. 13,200 58,740
* Lojack Corp. 25,700 205,600
Lone Star Steakhouse & Saloon, Inc. 35,800 909,320
* Lone Star Technologies, Inc. 48,400 973,808
Longs Drug Stores Corp. 63,700 1,364,454
Longview Fibre Co. 86,800 1,107,568
* LookSmart, Ltd. 177,867 416,209
* LOUD Technologies, Inc. 12,400 30,752
Louisiana-Pacific Corp. 37,200 859,320
Lowrance Electronics, Inc. 5,792 196,401
LSB Bancshares, Inc. NC 5,156 78,577
LSB Corp. 4,300 66,650
LSI Industries, Inc. 33,527 385,561
* LTX Corp. 103,500 1,102,275
* Luby's, Inc. 39,700 219,144
Lufkin Industries, Inc. 6,400 193,600
* Luminex Corp. 51,955 517,991
* Lydall, Inc. 26,900 237,527
* Lynch Corp. 1,500 21,000
* Lynch Interactive Corp. 2,800 100,772
* M & F Worldwide Corp. 30,400 395,200
* M-Wave, Inc. 2,900 4,640
M/I Schottenstein Homes, Inc. 23,000 976,810
MacDermid, Inc. 51,500 1,604,740
*# Mace Security International, Inc. 11,200 62,832
* Mac-Gray Corp. 12,600 80,766
* Macromedia, Inc. 117,485 3,054,610
* Macrovision Corp. 83,800 1,951,702
* Madden (Steven), Ltd. 22,700 438,337
MAF Bancorp, Inc. 44,927 1,979,034
* Magic Lantern Group, Inc. 1,700 1,539
* Magma Design Automation, Inc. 56,783 1,084,555
*# Magna Entertainment Corp. 21,200 110,664
* Magnetek, Inc. 55,900 436,579
* Magnum Hunter Resources, Inc. 117,102 1,179,217
* MAI Systems Corp. 3,400 850
* MAII Holdings, Inc. 3,400 34
* Main Street & Main, Inc. 25,200 51,660
Main Street Banks, Inc. 32,000 846,720
Maine & Maritimes Corp. 1,600 48,880
* MAIR Holdings, Inc. 33,716 269,728
* Major Automotive Companies, Inc. 3,280 2,066
* Management Network Group, Inc. 47,100 110,685
* Manatron, Inc. 1,102 8,948
* Manchester Technologies, Inc. 8,000 30,232
* Manhattan Associates, Inc. 51,300 1,462,050
Manitowoc Co., Inc. 45,150 1,433,513
# Mannatech, Inc. 13,500 137,160
*# Manning (Greg) Auctions, Inc. 9,200 122,084
* Manugistic Group, Inc. 128,100 570,045
* Mapics, Inc. 47,156 469,202
* Mapinfo Corp. 33,400 334,000
* Marimba, Inc. 44,800 366,464
Marine Products Corp. 25,530 467,199
</Table>
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<Caption>
SHARES VALUE+
------ ------
* MarineMax, Inc. 29,375 $ 782,844
* Marisa Christina, Inc. 6,700 8,710
Maritrans, Inc. 7,800 114,270
* MarketWatch.com, Inc. 41,820 475,912
MarkWest Hydrocarbon, Inc. 9,350 100,045
* Marlton Technologies, Inc. 7,800 4,602
Marsh Supermarkets, Inc. Class A 1,600 21,832
Marsh Supermarkets, Inc. Class B 4,500 62,190
* Marten Transport, Ltd. 9,450 164,052
*# Martha Stewart Living
Omnimedia, Ltd. 32,100 293,715
MASSBANK Corp. 4,700 156,416
Massey Energy Co. 110,600 2,722,972
* Mastec, Inc. 81,450 347,792
* Material Sciences Corp. 24,200 250,470
* Matria Healthcare, Inc. 17,369 379,513
* Matritech, Inc. 30,500 35,685
* Matrix Bancorp, Inc. 6,500 77,350
* Matrix Service Co. 29,100 310,788
* MatrixOne, Inc. 83,200 568,256
*# Matrixx Initiatives, Inc. 15,200 130,872
Matthews International Corp. Class A 54,700 1,728,520
* Mattson Technology, Inc. 84,645 902,316
* Maui Land & Pineapple Company,
Inc. 10,200 334,254
* Maverick Tube Corp. 71,400 1,642,200
* Max & Ermas Restaurants, Inc. 2,300 38,525
* Maxco, Inc. 3,100 10,230
Maxcor Financial Group, Inc. 11,672 130,376
* Maxicare Health Plans, Inc. 980 118
*# Maxim Pharmaceuticals, Inc. 47,233 420,846
* Maximus, Inc. 37,200 1,336,968
* Maxwell Shoe Company, Inc. 23,700 529,221
* Maxwell Technologies, Inc. 24,360 387,080
* Maxxam, Inc. 8,900 224,725
* Maxygen, Inc. 58,537 587,711
* Mayor's Jewelers, Inc. 20,300 11,774
* Mays (J.W.), Inc. 200 2,762
MB Financial, Inc. 45,500 1,532,895
MBT Financial Corp. 11,069 193,708
* McDATA Corp. 130,554 620,132
MCG Capital Corp. 64,442 998,207
McGrath Rent Corp. 20,569 640,724
*# McMoran Exploration Co. 28,164 403,308
McRae Industries, Inc. Class A 2,600 25,870
* Meade Instruments Corp. 33,400 106,880
* Meadow Valley Corp. 2,400 5,220
* Meadowbrook Insurance Group, Inc. 29,800 151,086
* Measurement Specialties, Inc. 12,900 256,452
* Mechanical Technology, Inc. 4,700 24,205
* Medarex, Inc. 134,470 1,125,514
* MedCath Corp. 27,449 554,470
*# Med-Design Corp. 28,300 59,147
* Media 100, Inc. 7,100 160
Media General, Inc. Class A 3,100 213,342
* Media Services Group, Inc. 471 3,989
* MediaBay, Inc. 11,800 6,018
* Mediacom Communications Corp. 154,100 1,248,210
*# Medialink Worldwide, Inc. 5,900 21,240
* Medical Action Industries, Inc. 16,900 297,609
* Medical Staffing Network Holdings,
Inc. 51,200 $ 337,408
* Medicore, Inc. 3,800 12,426
* Medifast, Inc. 17,000 125,630
* Medquist, Inc. 64,700 797,751
* MedSource Technologies, Inc. 46,500 323,640
* MEDTOX Scientific, Inc. 5,030 51,306
* Memberworks, Inc. 17,500 500,850
* Mens Warehouse, Inc. 63,100 1,646,279
# Mentor Corp. 73,900 2,368,495
* Mentor Graphics Corp. 118,800 1,899,612
Mercantile Bank Corp. 1,260 41,051
Merchants Bancshares, Inc. 6,150 156,887
Merchants Group, Inc. 1,300 33,800
* Mercury Air Group, Inc. 4,950 29,700
* Mercury Computer Systems, Inc. 36,000 807,480
* Merge Technologies, Inc. 21,494 354,436
Meridian Bioscience, Inc. 25,236 255,666
* Meridian Resource Corp. 106,300 784,494
* Merit Medical Systems, Inc. 44,382 643,983
* Meritage Corp. 22,500 1,534,275
* Merix Corp. 32,013 342,539
* Merrimac Industries, Inc. 2,860 26,455
* Mesa Air Group, Inc. 53,935 413,681
Mesa Labs, Inc. 3,300 32,736
* Mestek, Inc. 5,400 85,104
* Meta Group, Inc. 12,700 58,420
* Metals USA, Inc. 27,600 411,240
* MetaSolv, Inc. 66,600 187,812
Methode Electronics, Inc. Class A 34,100 375,782
Met-Pro Corp. 8,100 120,690
* Metris Companies, Inc. 98,500 743,675
* Metro One Telecommunications, Inc. 39,650 66,216
MetroCorp. Bancshares, Inc. 7,000 105,350
* Metrologic Instruments, Inc. 36,100 535,002
* Metromedia International Group, Inc. 10,600 3,710
MFB Corp. 1,300 44,701
* MFRI, Inc. 4,900 14,627
MGE Energy, Inc. 30,992 940,297
# MGP Ingredients, Inc. 8,000 285,200
* Michael Anthony Jewelers, Inc. 7,400 10,545
* Micrel, Inc. 157,673 2,328,830
* Micro Component Technology, Inc. 14,052 19,251
* Micro Linear Corp. 12,000 72,360
* MicroFinancial, Inc. 15,200 44,080
* Micromuse, Inc. 117,493 695,559
* Micros Systems, Inc. 30,752 1,335,559
* Microsemi Corp. 100,500 1,230,120
* MicroStrategy, Inc. 10,200 489,702
* Microtek Medical Holdings, Inc. 72,910 328,897
* Micro-Therapeutics, Inc. 51,763 225,687
* Microtune, Inc. 63,300 216,486
*# Microvision, Inc. 36,446 310,884
* Midas, Inc. 26,000 497,900
Middleby Corp. 15,700 960,369
Middlesex Water Co. 8,400 165,144
Midland Co. 6,600 172,392
Mid-State Bancshares 40,096 899,754
*# Midway Games, Inc. 115,900 1,256,356
Midwest Banc Holdings, Inc. 30,050 687,845
* Midwest Express Holdings, Inc. 29,600 116,920
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Mikohn Gaming Corp. 37,300 $ 183,143
* Milacron, Inc. 74,300 332,864
*# Milestone Scientific, Inc. 14,000 26,600
* Millennium Cell, Inc. 59,500 130,900
Millennium Chemicals, Inc. 101,800 1,728,564
* Miller Industries, Inc. 9,280 84,541
* Millerbuilding Systems Escrow
Shares 3,200 960
* Miltope Group, Inc. Contigent
Value Right 5,800 0
* MIM Corp. 38,000 297,920
* Mindspeed Technologies, Inc. 46,300 239,371
Mine Safety Appliances Co. 62,800 1,875,836
Minerals Technologies, Inc. 34,800 2,001,000
* Minorplanet Systems USA, Inc. 892 437
Minuteman International, Inc. 1,000 13,000
* MIPS Technologies, Inc. 66,200 459,428
*# Miravant Medical Technologies 1,800 5,274
* Misonix, Inc. 10,600 89,252
* Mission Resources Corp. 55,800 300,204
* Mitcham Industries, Inc. 8,700 36,540
* Mitek Systems, Inc. 11,100 6,938
* Mity Enterprises, Inc. 5,000 91,250
* MKS Instruments, Inc. 90,707 2,118,916
* Mobile Mini, Inc. 23,709 505,476
* Mobility Electronics, Inc. 47,000 389,160
* Mobius Management Systems, Inc. 17,100 102,600
Mocon, Inc. 5,500 42,680
* Modem Media, Inc. 9,500 53,295
Modine Manufacturing Co. 56,595 1,706,339
* Mod-Pac Corp. 2,750 23,128
* Mod-Pac Corp. Class B 1,112 9,352
* Modtech Holdings, Inc. 22,452 157,164
* Moldflow Corp. 17,886 199,608
* Molecular Devices Corp. 34,540 588,907
Monaco Coach Corp. 49,850 1,248,244
* Monarch Casino and Resort, Inc. 8,000 113,040
* Mondavi (Robert) Corp. Class A 16,300 567,566
* Monolithic System Technology, Inc. 49,133 342,948
* Monro Muffler Brake, Inc. 12,300 304,794
* Monterey Pasta Co. 24,200 87,120
* Mony Group, Inc. 6,100 190,564
* Moog, Inc. Class A 19,200 597,120
* Moog, Inc. Class B 3,300 118,388
* Morgan Group Holding Co. 4,400 330
* Morgan's Foods, Inc. 900 1,715
* Mossimo, Inc. 16,600 62,250
* Mother's Work, Inc. 8,854 195,319
* Motor Car Parts & Accessories, Inc. 2,500 21,250
Movado Group, Inc. 14,500 445,150
Movie Gallery, Inc. 56,000 1,041,040
* MPS Group, Inc. 185,800 2,058,664
* MPW Industrial Services Group 5,000 11,750
* MRO Software, Inc. 42,100 601,609
* MRV Communications, Inc. 178,900 475,874
* MSC Software Corp. 51,700 462,198
* MTC Technologies, Inc. 14,800 392,940
*# MTI Technology Corp. 1,300 3,848
* MTM Technologies, Inc. 4,900 8,183
* MTR Gaming Group, Inc. 48,468 451,237
MTS Systems Corp. 35,940 799,306
Mueller Industries, Inc. 58,145 $ 1,901,342
* Multi Color Corp. 2,250 35,145
*# Multimedia Games, Inc. 48,750 1,100,288
MutualFirst Financial, Inc. 2,000 44,265
Myers Industries, Inc. 50,063 676,351
* Mykrolis Corp. 69,900 1,132,380
* Myriad Genetics, Inc. 46,100 764,799
Mystic Financial, Inc. 1,575 45,069
* Nabi Biopharmaceuticals 97,150 1,632,120
Nacco Industries, Inc. Class A 6,500 576,810
*# Nanogen, Inc. 52,800 359,568
* Nanometrics, Inc. 20,394 260,839
*# Nanophase Technologies Corp. 29,498 212,091
*# Napco Security Systems, Inc. 4,300 37,840
Nara Bancorp, Inc. 19,500 600,210
Nash-Finch Co. 20,200 379,760
* Nashua Corp. 5,800 53,534
* Nassda Corp. 44,875 236,491
*# Nastech Pharmaceutical Co., Inc. 20,300 242,179
* NATCO Group, Inc. Class A 16,800 128,352
* Nathans Famous, Inc. 7,000 42,623
National Beverage Corp. 36,200 342,814
* National Dentex Corp. 3,500 106,418
* National Home Health Care Corp. 5,465 55,197
*# National Medical Health Card
Systems, Inc. 12,600 453,726
National Penn Bancshares, Inc. 40,784 1,169,277
National Presto Industries, Inc. 6,800 267,920
* National Processing, Inc. 116,000 3,336,160
* National Research Corp. 7,000 117,600
* National RV Holdings, Inc. 17,300 205,870
* National Steel Corp. Class B 200 1
* National Technical Systems, Inc. 8,600 42,733
* National Western Life Insurance Co.
Class A 1,000 146,150
* Natrol, Inc. 10,000 27,500
* Natural Alternatives International, Inc. 5,400 59,238
Nature's Sunshine Products, Inc. 24,550 365,795
* Natus Medical, Inc. 14,600 74,898
Nautilus Group, Inc. 55,400 834,878
* Navarre Corp. 43,600 536,280
* Navidec, Inc. 644 1,117
* Navigant Consulting, Inc. 77,200 1,578,740
*# Navigant International, Inc. 26,700 464,046
* Navigators Group, Inc. 21,371 617,622
NBT Bancorp 55,077 1,196,823
* NCI Building Systems, Inc. 33,100 962,217
* NCO Group, Inc. 45,884 1,137,477
# NDChealth Corp. 60,800 1,357,664
* NeighborCare, Inc. 73,800 2,214,000
* Nektar Therapeutics 89,769 1,929,136
Nelson (Thomas), Inc. 22,300 522,266
* Neoforma, Inc. 33,814 384,465
* Neogen Corp. 7,625 122,000
* NeoMagic Corp. 53,900 220,990
* NEON Systems, Inc. 8,600 30,186
* Neopharm, Inc. 39,417 433,587
* Neose Technologies, Inc. 33,900 283,743
* Neoware Systems, Inc. 23,800 205,632
* NES Rentals Holdings, Inc. 36 293
Net Perceptions, Inc. 22,600 20,340
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Net2Phone, Inc. 74,200 $ 317,205
NetBank, Inc. 57,533 616,754
* Netegrity, Inc. 63,700 600,054
*# Netflix, Inc. 74,400 2,456,688
* Netguru, Inc. 17,200 25,972
* NetIQ Corp. 91,787 1,216,178
* NetManage, Inc. 10,442 68,395
* Netopia, Inc. 38,800 225,040
* NetRatings, Inc. 57,363 802,508
* Netscout System, Inc. 51,600 355,524
* NetSolve, Inc. 12,100 120,419
* Network Engines, Inc. 61,400 195,252
* Network Equipment Technologies,
Inc. 40,800 300,288
*# Network Plus Corp. 14,500 25
* Neurobiological Technologies, Inc. 2,700 10,800
* Neurogen Corp. 74,113 697,403
Nevada Chemicals, Inc. 2,500 13,300
* Nevada Gold & Casinos, Inc. 20,350 299,145
* New Brunswick Scientific Co., Inc. 7,660 46,573
* New Century Equity Holdings Corp. 21,200 4,770
New Century Financial Corp. 51,150 2,230,652
New England Business Services, Inc. 22,600 991,462
New Hampshire Thrift BancShares,
Inc. 200 5,960
* New Horizons Worldwide, Inc. 10,200 59,578
New Jersey Resources Corp. 46,600 1,829,982
Newmil Bancorp, Inc. 4,400 119,900
* Newpark Resources, Inc. 142,500 805,125
* Newport Corp. 65,418 950,524
* Newtek Business Services, Inc. 45,088 216,873
* Niagara Corp. 8,200 33,087
* NIC, Inc. 117,100 646,392
Nitches, Inc. 864 5,581
NL Industries, Inc. 78,876 985,950
* NMS Communications Corp. 62,000 533,200
* NMT Medical, Inc. 11,500 43,758
NN, Inc. 15,250 181,018
* Nobel Learning Communities, Inc. 6,500 42,738
Nobility Homes, Inc. 4,100 85,075
Noble International, Ltd. 14,360 414,286
* Noel Group, Inc. 8,000 24
# Noland Co. 200 8,556
Nordson Corp. 59,277 2,242,449
* Norstan, Inc. 22,400 72,128
* North America Galvanizing &
Coatings, Inc. 6,700 13,400
* North American Scientific, Inc. 17,600 157,520
North Central Bancshares, Inc. 1,700 64,294
North Pittsburgh Systems, Inc. 25,066 483,774
Northeast Bancorp 900 17,429
Northeast Pennsylvania Financial
Corp. 4,400 77,110
Northern Technologies International
Corp. 3,000 14,160
*# Northfield Laboratories, Inc. 32,300 424,745
* Northland Cranberries, Inc. 4,400 2,904
Northrim BanCorp, Inc. 6,068 121,368
*# Northwest Airlines Corp. 147,700 1,493,247
Northwest Bancorp, Inc. 79,904 1,777,065
# Northwest Natural Gas Co. 44,200 1,286,662
* Northwest Pipe Co. 6,300 $ 92,610
* Novamed Eyecare, Inc. 36,300 131,769
* Novavax, Inc. 59,000 277,300
* Noven Pharmaceuticals, Inc. 39,408 755,845
* Novoste Corp. 27,800 83,400
*# NPS Pharmaceuticals, Inc. 62,900 1,365,559
* NS Group, Inc. 35,500 472,150
* NTN Communications, Inc. 89,193 267,579
* Nu Horizons Electronics Corp. 28,400 230,892
*# Nucentrix Broadband Networks, Inc. 10,400 23,140
* NuCo2, Inc. 16,000 313,120
NUI Corp. 29,892 406,232
* Numerex Corp. Class A 10,800 49,680
NuSkin Enterprises, Inc. 101,400 2,271,360
* Nutraceutical International Corp. 18,976 465,102
* Nutramax Products, Inc. 3,300 3
* Nutrition 21, Inc. 4,900 3,185
* Nuvelo, Inc. 40,322 350,801
NWH, Inc. 4,200 78,813
* NYFIX, Inc. 50,081 252,408
Nymagic, Inc. 8,700 223,590
* O'Charleys, Inc. 38,050 692,891
* O.I. Corp. 2,700 22,707
Oak Hill Financial, Inc. 3,000 95,550
Oakley, Inc. 115,700 1,552,694
* Obie Media Corp. 5,900 20,827
* Oceaneering International, Inc. 42,200 1,333,942
OceanFirst Financial Corp. 22,032 491,314
* Ocular Sciences, Inc. 41,600 1,389,856
* Ocwen Financial Corp. 115,234 1,433,511
* Odd Job Stores, Inc. 12,700 20,511
* Odetics, Inc. Series B 200 750
* Odyssey Healthcare, Inc. 61,500 1,042,425
* Offshore Logistics, Inc. 38,400 882,048
*# Oglebay Norton Co. 2,500 350
* Ohio Casualty Corp. 103,700 1,944,375
* Oil States International, Inc. 83,831 1,190,400
Oil-Dri Corp. of America 4,200 67,494
* Old Dominion Freight Lines, Inc. 40,950 1,137,182
Olin Corp. 117,452 1,932,085
* Olympic Steel, Inc. 9,600 136,320
* OM Group, Inc. 48,200 1,286,458
Omega Financial Corp. 8,200 270,436
* Omega Protein Corp. 39,200 423,360
* OMNI Energy Services Corp. 18,900 94,500
* Omnicell, Inc. 41,500 554,025
* OmniVision Technologies, Inc. 75,500 1,768,210
* Omnova Solutions, Inc. 13,900 71,724
* Omtool, Ltd. 3,570 37,485
* On Assignment, Inc. 42,800 251,236
*# ON Semiconductor Corp. 397,951 2,304,136
* On2.cCom, Inc. 75,000 55,500
* One Price Clothing Stores, Inc. 2,957 59
*# Oneida, Ltd. 28,900 35,836
* OneSource Information Services, Inc. 11,900 104,958
* Online Resources Corp. 30,000 221,400
* Onyx Acceptance Corp. 5,100 77,265
* Onyx Pharmacueticals, Inc. 54,800 2,573,956
* ONYX Software Corp. 23,800 91,630
* OPENT Technologies, Inc. 33,900 472,227
* OpenTV Corp. 39,946 101,063
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Openwave Systems Inc. 106,599 $ 1,190,711
* Opinion Research Corp. 6,700 46,498
* Oplink Communications, Inc. 53,100 106,731
* Opsware, Inc. 80,250 647,618
* Opti, Inc. 11,600 17,980
* Optical Cable Corp. 8,700 46,797
* Optical Communication Products,
Inc. 74,050 167,353
* Optical Sensors, Inc. 1,633 6,777
* Optika, Inc. 8,200 29,766
Option Care, Inc. 35,800 482,226
* OraSure Technologies, Inc. 75,500 557,945
* Orbit International Corp. 1,582 11,202
* Orbital Sciences Corp. 82,800 1,039,140
*# Orchid Biosciences, Inc. 9,381 68,012
* Oregon Steel Mills, Inc. 45,000 507,150
* Orleans Homebuilders, Inc. 28,600 523,380
* Orphan Medical, Inc. 10,300 92,288
*# Orthodontic Centers of America, Inc. 85,151 728,041
* Orthologic Corp. 58,713 471,465
*# Oscient Pharmaceutical Corp. 128,400 602,196
Oshkosh B'Gosh, Inc. Class A 17,000 383,690
*# OSI Systems, Inc. 24,800 553,784
* Osteotech, Inc. 29,100 181,584
Otter Tail Co. 43,800 1,119,528
Outlook Group Corp. 2,400 14,760
* Overland Storage, Inc. 23,075 330,434
Overseas Shipholding Group, Inc. 59,725 2,277,912
*# Overstock Com 28,400 1,022,116
Owens & Minor, Inc. 66,700 1,614,140
Oxford Industries, Inc. 27,500 1,013,375
* Oxigene, Inc. 12,600 92,862
* Oxis International, Inc. 7,900 5,293
* OYO Geospace Corp. 5,100 89,194
* P&F Industries, Inc. Class A 1,300 10,173
* P.F. Chang's China Bistro, Inc. 43,300 1,959,758
Pacific Capital Bancorp 57,833 2,131,146
* Pacific Mercantile Bancorp 5,900 64,310
* Pacific Premier Bancorp, Inc. 3,900 44,889
Packaging Dynamics Corp. 4,120 55,002
* Packeteer, Inc. 55,800 797,382
* Pac-West Telecomm, Inc. 23,100 27,258
* Pain Therapeutics, Inc. 60,115 470,099
* Palatin Technologies, Inc. 62 233
* Paligent, Inc. 347 73
* Palm Harbor Homes, Inc. 38,811 735,080
*# Palmone Inc. 78,284 1,661,969
* Palmsource Inc. 21,681 439,040
* PAM Transportation Services, Inc. 19,250 356,125
Pamrapo Bancorp, Inc. 5,100 126,888
* Panavision, Inc. 3,600 23,310
*# Panera Bread Co. 44,900 1,558,928
* Pantry, Inc. 33,700 611,655
*# Papa John's International, Inc. 30,000 872,700
* Par Technology Corp. 7,800 81,120
* Paradyne Networks Corp. 97,955 463,327
* Paragon Technologies, Inc. 4,200 42,000
* Parallel Petroleum Corp. 42,900 169,412
* Parametric Technology Corp. 447,395 2,169,866
* Parexel International Corp. 44,400 878,676
Park Bancorp, Inc. 1,200 36,864
Park Electrochemical Corp. 33,650 $ 839,904
* Parker Drilling Co. 160,200 514,242
*# Parkervision, Inc. 19,300 106,922
* Park-Ohio Holdings Corp. 10,400 125,840
Parkvale Financial Corp. 5,700 151,506
* Parlex Corp. 13,800 83,766
* Parlux Fragrances, Inc. 9,900 90,486
* Party City Corp. 29,522 433,678
* Pathmark Stores, Inc. 49,179 331,958
* Patient Infosystems, Inc. 733 2,566
Patina Oil & Gas Corp. 64,930 1,716,749
* Patrick Industries, Inc. 4,500 46,350
# Patriot Bank Corp. 6,930 194,872
* Patriot Transportation Holding, Inc. 2,500 90,438
* Paula Financial, Inc. 6,100 17,385
* Paul-Son Gaming Corp. 4,100 16,031
* Paxar Corp. 67,300 1,240,339
* Paxson Communications Corp. 98,100 275,661
* Payless Cashways, Inc. 160 0
* Payless ShoeSource, Inc. 115,700 1,897,480
* PC Connection, Inc. 39,750 304,883
* PC Mall, Inc. 18,400 303,416
* PC-Tel, Inc. 37,700 412,438
* PDF Solutions, Inc. 43,159 387,999
* PDI, Inc. 24,498 705,542
* PDS Gaming Corp. 1,100 2,046
* PEC Solutions, Inc. 43,600 453,440
* Pediatric Services of America, Inc. 10,900 135,160
* Pediatrix Medical Group, Inc. 32,200 2,128,420
* Peerless Manufacturing Co. 3,000 32,130
* Peerless Systems Corp. 24,300 30,375
* Peet's Coffee & Tea, Inc. 22,311 508,245
*# Pegasus Communications Corp. 8,770 142,249
* Pegasus Solutions, Inc. 40,533 466,130
* Pegasystems, Inc. 60,259 512,804
* Pemco Aviation Group, Inc. 950 30,865
* Pemstar, Inc. 73,200 192,516
Penford Corp. 7,300 125,560
Penn Engineering & Manufacturing
Corp. Class A 1,200 18,360
Penn Engineering & Manufacturing
Corp. Non-Voting 15,000 263,100
* Penn National Gaming, Inc. 67,800 2,032,644
* Penn Treaty American Corp. 24,800 52,824
Penn Virginia Corp. 15,500 965,650
Penn-America Group, Inc. 24,500 323,400
Pennfed Financial Services, Inc. 7,400 224,072
Penns Woods Bancorp, Inc. 770 33,534
* Penwest Pharmaceuticals Co. 31,400 346,028
Peoples Bancorp, Inc. 300 7,463
Pep Boys - Manny, Moe & Jack 84,400 2,066,956
* Perceptron, Inc. 13,850 92,795
* Performance Technologies, Inc. 21,600 234,144
* Pericom Semiconductor Corp. 41,800 447,678
* Perini Corp. 39,200 427,280
* Perot Systems Corp. 60,900 828,849
Perrigo Co. 110,900 2,269,014
* Perry Ellis International, Inc. 13,600 326,128
* Per-Se Technologies, Inc. 50,000 650,000
* Pervasive Software, Inc. 37,339 227,768
* PetMed Express, Inc. 15,565 132,303
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Petrocorp, Inc. Escrow Shares 6,900 $ 414
* Petroleum Development Corp. 27,133 666,658
PFF Bancorp, Inc. 28,700 1,142,834
* Pfsweb, Inc. 9 15
* Pharmacopia Drug Discovery, Inc. 26,450 184,092
* Pharmacyclics, Inc. 32,600 390,222
*# Pharmanetics, Inc. 9,500 6,650
* PharmChem, Inc. 5,100 816
* Pharmos Corp. 6,200 20,956
* Philadelphia Consolidated Holding
Corp. 37,200 2,108,496
Phillips-Van Heusen Corp. 52,200 988,146
* Phoenix Gold International, Inc. 1,000 1,240
* Phoenix Technologies, Ltd. 38,990 257,334
* Photo Control Corp. 1,000 2,750
* PhotoMedex, Inc. 49,800 176,790
* Photon Dynamics, Inc. 28,100 906,787
* Photronics, Inc. 53,300 942,344
* Physiometrix, Inc. 7,400 12,580
* Piccadilly Cafeterias, Inc. 10,400 10
* Pico Holdings, Inc. 12,300 224,475
Piedmont Natural Gas Co. 32,500 1,332,825
Pilgrims Pride Corp. Class B 29,500 792,960
* Pinnacle Entertainment, Inc. 59,800 681,720
* Pinnacle Systems, Inc. 115,400 838,958
* Pioneer Drilling Co. 1,500 9,630
* Pixelworks, Inc. 51,000 922,080
* Pizza Inn, Inc. 10,000 29,200
* Plains Exploration & Production Co. 98,563 1,754,421
* Plains Resources, Inc. 40,100 687,314
* Planar Systems, Inc. 24,800 313,720
* Plantronics, Inc. 27,700 1,101,075
* Plato Learning, Inc. 39,066 411,756
* Play By Play Toys and Novelties, Inc. 3,300 8
* Playboy Enterprises, Inc. Class A 4,700 51,700
* Playboy Enterprises, Inc. Class B 47,100 568,968
* Playtex Products, Inc. 104,100 744,315
* Plexus Corp. 73,000 1,072,370
* Plug Power, Inc. 124,043 944,215
* PLX Technology, Inc. 40,500 603,855
* Plymouth Rubber, Inc. Class B 200 68
PMA Capital Corp. Class A 51,800 361,046
PNM Resources, Inc. 68,400 2,055,420
Pocahontas Bancorp, Inc. 4,400 75,130
*# Point Therapeutics, Inc. 660 4,125
* Point.360 9,000 28,980
PolyMedica Corp. 44,600 1,289,386
* Polyone Corp. 94,200 649,038
Pomeroy IT Solutions, Inc. 20,195 256,880
Pope & Talbot, Inc. 26,700 446,691
* Porta Systems Corp. 9,600 1,056
* Portal Software, Inc. 70,020 322,092
* Possis Medical, Inc. 30,200 861,304
Potlatch Corp. 50,100 1,891,275
* Powell Industries, Inc. 18,090 309,158
* Power Intergrations, Inc. 51,900 1,429,326
PowerCerv Corp. 1,755 1,106
* Power-One, Inc. 141,700 1,428,336
*# Powerwave Technologies, Inc. 107,800 863,478
* Pozen, Inc. 48,500 481,120
* PPT Vision, Inc. 6,800 9,588
* PRAECIS Pharmaceuticals, Inc. 88,204 $ 367,811
Preformed Line Products Co. 1,200 33,000
* Premier Financial Bancorp 5,200 47,892
*# Premier Laser Systems, Inc. Class A 3,400 2
*# Pre-Paid Legal Services, Inc. 27,750 653,790
Presidential Life Corp. 49,400 835,848
* Presstek, Inc. 58,198 600,021
*# PRG-Schultz International, Inc. 104,100 469,491
* Price Communications Corp. 95,970 1,386,767
*# Priceline.com, Inc. 45,116 1,182,039
* Pricesmart, Inc. 9,600 52,896
* Prima Energy Corp. 22,062 840,562
* Prime Hospitality Corp. 76,400 757,124
* Prime Medical Services, Inc. 38,628 225,974
* PRIMEDIA, Inc. 437,638 1,304,161
* Primus Knowledge Solutions, Inc. 16,500 35,145
* Primus Telecommunications Group,
Inc. 86,000 521,160
* Princeton Review, Inc. 14,600 104,098
* Printronix, Inc. 5,800 84,100
* Priority Healthcare Corp. 62,636 1,265,247
* Private Business, Inc. 945 2,174
* Proassurance Corp. 49,450 1,635,312
* Procom Technology, Inc. 5,400 6,588
* Procurenet, Inc. 19,700 20
* Progenics Pharmaceuticals, Inc. 28,500 500,175
Programmers Paradise, Inc. 5,200 38,428
* Progress Software Corp. 60,700 1,135,697
* ProQuest Co. 48,300 1,259,664
* ProsoftTraining.com 500 380
Prosperity Bancshares, Inc. 34,200 800,622
* Protection One, Inc. 91,400 17,823
* Protein Design Labs, Inc. 13,144 256,439
Providence & Worcester Railroad Co. 3,000 30,600
Provident Bancorp, Inc. 23,047 240,611
Provident Bankshares Corp. 41,877 1,208,151
Provident Financial Group, Inc. 19,500 780,780
Provident Financial Holdings, Inc. 8,325 207,293
* Province Healthcare Co. 82,825 1,326,857
* Proxim Corp. 67,269 89,468
* ProxyMed, Inc. 2,692 51,148
* PSS World Medical, Inc. 114,600 1,151,730
Psychemedics Corp. 5,225 57,475
* Psychiatric Solutions, Inc. 19,633 486,506
* PTEK Holdings, Inc. 97,928 1,027,265
Pulaski Financial Corp. 5,400 90,180
Pulitzer, Inc. 14,700 691,635
* Pure World, Inc. 7,600 14,592
* PW Eagle, Inc. 7,000 24,010
Pyramid Breweries, Inc. 5,700 12,483
* Qad, Inc. 57,783 610,766
* QEP Co., Inc. 2,125 32,279
* QRS Corp. 26,700 146,583
*# QuadraMed Corp. 27,006 82,368
Quaker Chemical Corp. 16,320 418,282
Quaker City Bancorp, Inc. 2,734 149,331
Quaker Fabric Corp. 28,550 227,544
* Quality Dining, Inc. 11,400 25,650
* Quality Systems, Inc. 10,100 471,973
* Qualstar Corp. 5,500 32,753
Quanex Corp. 27,900 1,242,945
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Quanta Services, Inc. 194,000 $ 1,028,200
* Quantum Corp.- DLT 91,700 270,515
* Quantum Fuel Systems Technologies
Worldwide, Inc. 50,930 255,159
* Quest Software, Inc. 134,100 1,784,871
*# Questcor Pharmaceuticals, Inc. 26,800 22,512
* Quicklogic Corp. 39,000 116,961
* Quidel Corp. 53,544 299,311
* Quigley Corp. 19,300 153,223
* Quiksilver, Inc. 94,700 2,194,199
* Quinton Cardiology Systems, Inc. 24,200 253,858
* Quipp, Inc. 1,400 21,000
Quixote Corp. 13,691 287,511
*# Quokka Sports, Inc. 1,128 14
* Quovadx, Inc. 62,047 66,390
* R & B, Inc. 8,400 157,500
* R H Donnelley Corp. 52,800 2,275,680
* Radiant Systems, Inc. 64,344 288,905
* Radiologix, Inc. 36,100 142,956
* RadiSys Corp. 31,662 527,489
*# Radyne ComStream, Inc. 9,500 82,840
* Rag Shops, Inc. 2,415 7,970
* Railamerica, Inc. 56,100 715,275
* Raindance Communictions, Inc. 73,896 161,093
* Ralcorp Holdings, Inc. 49,400 1,647,490
* Ramtron International Corp. 37,700 185,107
Range Resources Corp. 96,300 1,143,081
* Rare Hospitality International, Inc. 57,382 1,467,832
Raven Industries, Inc. 15,355 488,135
* Rayovac Corp. 57,900 1,569,090
* Raytech Corp. 16,400 33,620
* RC2 Corp. 29,594 827,448
* RCM Technologies, Inc. 10,500 56,175
*# RCN Corp. 82,600 14,868
* Reading International, Inc. Class A 18,149 153,178
* Reading International, Inc. Class B 1,060 8,745
* RealNetworks, Inc. 287,000 1,724,870
*# Redhook Ale Brewery, Inc. 9,300 20,274
Redwood Empire Bancorp 5,250 118,913
Regal-Beloit Corp. 40,404 826,262
* Regeneration Technologies, Inc. 44,352 407,151
* Regeneron Pharmaceuticals, Inc. 84,100 944,443
* Regent Communications, Inc. 75,913 447,887
* Register.Com, Inc. 44,100 230,202
* Rehabcare Group, Inc. 27,500 686,950
* Reliability, Inc. 6,300 6,930
Reliance Steel & Aluminum Co. 54,557 1,996,241
Reliv International, Inc. 25,132 267,153
*# Relm Wireless Corp. 7,600 18,240
* Remec, Inc. 96,850 634,368
* RemedyTemp, Inc. 6,600 85,945
* Remington Oil & Gas Corp. 46,000 954,040
# Renaissance Learning, Inc. 52,600 1,104,074
* Rentrak Corp. 16,500 146,850
* Rent-Way, Inc. 46,300 430,590
* Repligen Corp. 51,000 127,500
* Reptron Electronics, Inc. 8,800 0
*# Reptron Electronics, Inc. 343 2,504
Republic Bancorp, Inc. 108,783 1,445,726
Republic Bancorp, Inc. Class A 15,225 293,081
* Republic First Bancorp, Inc. 6,334 75,375
* Res-Care, Inc. 37,785 $ 524,078
* ResMed, Inc. 41,300 2,098,040
Resource America, Inc. 29,551 644,212
* Resources Connection, Inc. 38,668 1,648,030
* Respironics, Inc. 37,200 1,978,668
* Restoration Hardware, Inc. 55,600 373,076
* Retail Ventures Inc. 56,600 409,218
* Retek, Inc. 93,100 607,012
* Revlon, Inc. 162,400 532,672
* Rewards Network, Inc. 41,600 410,176
* Rex Stores Corp. 18,600 228,780
* Rexhall Industries, Inc. 3,542 6,163
* RF Monolithics, Inc. 12,700 121,666
*# Rhythms NetConnections, Inc. 8,900 1
Richardson Electronics, Ltd. 18,527 209,540
* Rigel Pharmaceuticals, Inc. 2,222 39,463
Riggs National Corp. 49,299 1,076,690
* Rimage Corp. 8,600 121,518
* Rita Medical Systems, Inc. 30,350 150,840
* Riverside Group, Inc. 1,000 33
Riverview Bancorp, Inc. 4,500 93,555
Rivianna Foods, Inc. 16,700 438,208
* Riviera Holdings Corp. 3,600 31,284
RLI Corp. 42,000 1,510,740
* Roadhouse Grill, Inc. 13,340 3,335
Roanoke Electric Steel Corp. 9,900 130,185
Robbins & Myers, Inc. 24,600 543,660
*# Robotic Vision Systems, Inc. 3,480 11,658
* Rochester Medical Corp. 5,300 43,036
Rock of Ages Co. 4,400 35,772
*# Rockford Corp. 14,600 72,270
Rock-Tenn Co. Class A 61,200 983,484
Rocky Mountain Chocolate Factory,
Inc. 4,015 38,745
* Rocky Shoes & Boots, Inc. 4,500 92,070
* Rofin-Sinar Technologies, Inc. 25,300 662,126
* Rogers Corp. 27,500 1,689,875
Rollins, Inc. 77,100 1,880,469
* Ross Systems, Inc. 2,600 47,297
*# Roxio, Inc. 1,629 7,282
Royal Bancshares of Pennsylvania
Class A 4,430 101,181
Royal Gold, Inc. 35,335 492,217
* Royale Energy, Inc. 3,523 49,812
RPC, Inc. 28,600 391,820
* RSA Security, Inc. 104,200 1,911,028
* RTI International Metals, Inc. 36,000 522,360
* RTW, Inc. 5,150 33,284
* Rubio's Restaurants, Inc. 18,495 122,437
Ruddick Corp. 78,800 1,620,128
* Rudolph Technologies, Inc. 28,400 528,240
* Rural Cellular Corp. Class A 2,800 25,172
* Rural/Metro Corp. 14,000 17,500
* Rush Enterprises, Inc. Class A 7,000 82,670
* Rush Enterprises, Inc. Class B 7,000 84,959
Russ Berrie & Co., Inc. 34,500 931,500
Russell Corp. 54,500 892,710
* Ryan's Family Steak Houses, Inc. 71,800 1,208,394
Ryerson Tull, Inc. 41,800 560,538
* S&K Famous Brands, Inc. 2,100 35,753
S&T Bancorp, Inc. 45,400 1,357,460
</Table>
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<Caption>
SHARES VALUE+
------ ------
* S1 Corp. 120,498 $ 1,131,476
* Saba Software, Inc. 22,900 80,150
* Safeguard Scientifics, Inc. 203,500 518,925
* SafeNet, Inc. 39,904 929,763
* Safety Components International, Inc. 118 1,578
* Saga Communications, Inc. Class A 30,925 579,844
* Salem Communications Corp. 30,440 913,200
*# Salton, Inc. 18,500 104,710
* San Filippo (John B.) & Son, Inc. 17,893 445,894
Sanders Morris Harris Group, Inc. 29,532 397,205
Sanderson Farms, Inc. 33,400 1,536,400
* Sands Regent Casino Hotel 2,000 13,660
Sandy Spring Bancorp, Inc. 23,756 831,460
* Sangamo BioSciences, Inc. 42,450 266,162
* Sapient Corp. 200,923 1,205,538
* Satcon Technology Corp. 46,700 128,425
Saucony, Inc. Class A 2,700 55,077
Saucony, Inc. Class B 3,500 70,630
Sauer-Danfoss, Inc. 49,600 770,784
* Savient Pharmaceuticals, Inc. 76,600 185,372
* Saxon Capital, Inc. 17,400 415,338
* SBA Communications Corp. 88,500 341,610
* SBE, Inc. 3,500 12,215
* SBS Technologies, Inc. 25,730 476,005
* ScanSoft, Inc. 217,760 1,141,062
* ScanSource, Inc. 21,200 1,128,900
Schawk, Inc. Class A 22,200 294,150
* Scheid Vineyards, Inc. 2,200 11,022
* Schick Technologies, Inc. 9,000 86,850
* Schieb (Earl), Inc. 2,200 7,282
* Schlotzskys, Inc. 7,200 10,937
* Schmitt Industries, Inc. 2,466 6,042
Schnitzer Steel Industries, Inc.
Class A 62,351 1,724,629
* Scholastic Corp. 64,381 1,818,119
* Schuff International, Inc. 7,000 16,380
Schulman (A.), Inc. 49,687 992,249
Schweitzer-Maudoit International, Inc. 25,500 717,825
* Sciclone Pharmaceuticals, Inc. 75,746 376,458
* Scientific Games Corp. 106,058 1,964,194
* Scientific Learning Corp. 4,400 24,244
* Scientific Technologies, Inc. 6,700 38,391
* SciQuest, Inc. 5,900 35,459
* SCM Microsystems, Inc. 25,663 163,473
SCP Pool Corp. 56,700 2,282,175
SCPIE Holdings, Inc. 9,300 81,003
* SCS Transportation, Inc. 24,350 553,963
Seaboard Corp. 1,400 523,600
* Seabulk International, Inc. 46,800 415,116
* Seachange International, Inc. 46,200 689,766
Seacoast Banking Corp. 14,808 296,752
Seacoast Financial Services Corp. 11,076 379,464
*# Seacor Smit, Inc. 33,500 1,341,340
* Seattle Genetics, Inc. 67,634 466,675
* Secom General Corp. 140 177
Second Bancorp, Inc. 9,900 316,008
* Secure Computing Corp. 60,274 534,028
* SED International Holdings, Inc. 825 1,254
* SeeBeyond Technology Corp. 142,000 428,840
* SEEC, Inc. 3,000 750
* Segue Software, Inc. 9,500 35,008
* Selas Corp. of America 4,750 $ 14,250
* Select Comfort Corp. 61,300 1,661,230
Select Medical Corp. 103,800 1,391,958
* Selectica, Inc. 66,500 291,337
Selective Insurance Group, Inc. 47,079 1,700,964
SEMCO Energy, Inc. 47,900 274,946
* Semitool, Inc. 48,500 555,325
* Semtech Corp. 69,436 1,744,232
* SEMX Corp. 4,600 690
* Seneca Foods Corp. Class A 200 3,750
* Seneca Foods Corp. Class B 1,300 24,141
# Sensient Technologies Corp. 81,200 1,640,240
* Sensytech, Inc. 10,414 224,640
* Sequa Corp. Class A 6,900 339,135
* Sequa Corp. Class B 2,600 131,820
* Sequenom, Inc. 64,500 103,845
* SeraCare Life Sciences, Inc. 4,080 46,512
*# Serena Software, Inc. 66,400 1,410,336
* Serologicals Corp. 41,950 718,604
* Service Corp. International 261,400 1,882,080
* ServiceWare Technologies, Inc. 2,900 1,682
* Servotronics, Inc. 1,100 4,285
* SFBC International, Inc. 24,750 602,168
* Shared Technologies Cellular, Inc. 10,100 6
* Sharper Image Corp. 25,800 727,560
*# Shaw Group, Inc. 107,487 1,268,347
* Sheffield Pharmceuticals, Inc. 25 0
* Shiloh Industries, Inc. 13,500 146,880
* Shoe Carnival, Inc. 20,879 287,713
* Shoe Pavilion, Inc. 6,200 14,477
* Sholodge, Inc. 5,100 34,425
* Shopko Stores, Inc. 49,700 677,908
*# Shuffle Master, Inc. 42,387 1,418,693
* Siebert Financial Corp. 22,300 93,437
Sierra Bancorp 1,700 25,840
* Sierra Health Services, Inc. 45,936 1,965,601
*# Sierra Pacific Resources 199,300 1,486,778
* Sifco Industries, Inc. 5,400 22,140
*# Sigma Designs, Inc. 34,800 232,464
* Sigmatron International, Inc. 2,200 26,730
Silgan Holdings, Inc. 31,200 1,308,528
*# Silicon Graphics, Inc. 340,500 643,545
* Silicon Image, Inc. 125,089 1,488,559
* Silicon Storage Technology, Inc. 158,500 2,052,575
* Silicon Valley Bancshares 59,500 2,223,515
* Siliconix, Inc. 37,437 1,803,340
* Simclar, Inc. 6,500 19,305
Simmons First National Corp. Class A 24,000 578,160
* SimpleTech, Inc. 75,057 282,214
Simpson Manufacturing Co., Inc. 41,300 2,263,240
* Sinclair Broadcast Group, Inc.
Class A 78,000 861,900
* Sipex Corp. 56,200 362,490
* Sirenza Microdevices, Inc. 54,466 218,409
*# Sirna Therapeutics, Inc. 42,625 133,843
* Sitel Corp. 122,200 382,486
* Six Flags, Inc. 157,905 1,105,335
SJW Corp. 9,000 292,500
* Skechers U.S.A., Inc. Class A 31,800 365,700
Skyline Corp. 8,300 332,166
Skywest, Inc. 98,446 1,647,002
</Table>
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SHARES VALUE+
------ ------
*# Skyworks Solutions, Inc. 186,317 $ 1,665,674
* SL Industries, Inc. 5,900 63,720
* SM&A 33,300 269,730
* Smart & Final Food, Inc. 50,700 787,878
* SmartDisk Corp. 2,500 450
* Smith & Wollensky Restaurant
Group, Inc. 13,400 86,296
Smith (A.O.) Corp. 34,600 1,018,970
Smith (A.O.) Corp. Convertible
Class A 3,750 110,438
* Smith Micro Software, Inc. 21,400 44,512
* Smithway Motor Xpress Corp.
Class A 4,000 9,880
* Sola International, Inc. 54,300 1,052,877
* Somera Communications, Inc. 59,150 82,810
Sonic Automotive, Inc. 50,800 1,115,060
* Sonic Corp. 100,537 2,229,911
*# Sonic Foundry, Inc. 42,300 66,411
* Sonic Innovations, Inc. 34,700 355,675
* Sonic Solutions 36,800 782,000
* SonicWALL, Inc. 116,800 929,728
* SonoSite, Inc. 24,645 525,678
* Sonus Networks, Inc. 54,057 294,611
*# Sonus Pharmaceuticals, Inc. 30,900 145,230
* Sorrento Networks Corp. 17,800 52,154
* Sotheby's Holdings, Inc. Class A 80,900 1,206,219
Sound Federal Bancorp, Inc. 21,108 273,349
* Source Information Management, Inc. 39,200 411,600
* Source Media, Inc. 27,400 219
* Sourcecorp, Inc. 26,602 683,139
South Financial Group, Inc. 60,927 1,679,148
South Jersey Industries, Inc. 23,064 968,457
Southern Banc Company, Inc. 200 3,675
* Southern Energy Homes, Inc. 13,825 56,890
* Southern Union Co. 88,194 1,774,463
Southside Banchares, Inc. 315 5,733
* Southwall Technologies, Inc. 14,200 6,390
Southwest Bancorp, Inc. 11,400 195,168
Southwest Bancorporation of Texas,
Inc. 54,700 2,291,930
Southwest Gas Corp. 58,700 1,326,620
Southwest Water Co. 25,170 305,564
* Southwestern Energy Co. 61,200 1,564,272
*# Spacehab, Inc. 21,100 86,721
Span-American Medical System, Inc. 2,400 28,296
* Spanish Broadcasting System, Inc. 63,000 607,950
* SPAR Group, Inc. 2,900 3,857
Spartan Motors, Inc. 20,845 241,594
* Spartan Stores, Inc. 31,675 137,501
Spartech Corp. 50,000 1,144,000
* Sparton Corp. 7,938 66,441
* Specialty Laboratories, Inc. 38,600 348,172
SpectraLink Corp. 32,200 484,288
* Spectranetics Corp. 41,502 248,597
* Spectrum Control, Inc. 13,000 106,470
* SpectRx, Inc. 8,900 16,910
# Speedway Motorsports, Inc. 67,190 2,258,928
* Spescom Software, Inc. 1,202 649
* Spherion Corp. 102,320 945,437
* Spherix, Inc. 12,100 72,479
* Spiegel, Inc. Class A Non-Voting 100 6
* Spinnaker Exploration Co. 57,090 $ 1,902,810
* Spire Corp. 6,700 32,897
* Sport Chalet, Inc. 2,700 33,750
* Sport Supply Group, Inc. 8,900 10,458
* Sport-Haley, Inc. 2,700 14,418
* Sports Club Co., Inc. 20,100 32,160
* SportsLine.Com, Inc. 33,400 33,400
* Sportsman's Guide, Inc. 8,000 154,080
* SPSS, Inc. 27,637 460,156
* SRA International, Inc. 29,500 1,143,715
* SRI/Surgical Express, Inc. 6,100 42,151
* SRS Labs, Inc. 24,330 113,378
SS&C Technologies, Inc. 31,850 732,232
# St. Mary Land & Exploration Co. 50,500 1,641,755
* Staar Surgical Co. 31,300 236,628
* Stamps.com, Inc. 37,023 489,074
*# Standard Automotive Corp. 4,400 0
Standard Commercial Corp. 21,129 348,417
* Standard Management Corp. 7,600 26,220
* Standard Microsystems Corp. 30,600 754,902
Standard Motor Products, Inc. Class A 29,300 410,200
Standard Register Co. 40,300 491,257
Standex International Corp. 20,800 539,136
Stanley Furniture, Inc. 6,700 277,179
Star Buffet, Inc. 2,800 18,116
*# Star Scientific, Inc. 78,311 241,198
* Starbiz Restrictive Shares 2 0
* Starcraft Corp. 2,756 30,096
Starrett (L.S.) Co. Class A 4,800 75,504
StarTek, Inc. 24,400 813,984
State Auto Financial Corp. 67,520 2,056,659
State Financial Services Corp.
Class A 7,800 221,676
* Steak n Shake Co. 46,318 814,734
*# Steel Dynamics, Inc. 83,458 2,136,525
Steel Technologies, Inc. 20,150 430,203
* SteelCloud Co. 12,100 30,008
* Stein Mart, Inc. 71,416 1,031,247
* Steinway Musical Instruments, Inc. 12,500 425,000
* Stellent, Inc. 37,200 296,484
* Stemcells, Inc. 2,600 3,562
Stepan Co. 8,400 203,700
Stephan Co. 3,500 15,960
Sterling Bancorp 26,176 736,593
Sterling Bancshares 75,899 996,554
* Sterling Financial Corp. 37,370 1,192,113
Stewart & Stevenson Services, Inc. 48,702 825,499
* Stewart Enterprises, Inc. 183,033 1,376,408
Stewart Information Services Corp. 28,400 969,860
* Stifel Financial Corp. 6,100 153,110
* Stillwater Mining Co. 148,000 2,242,200
* Stone Energy Corp. 45,063 2,023,329
* Stonepath Group, Inc. 67,200 169,344
* Stoneridge, Inc. 43,600 682,776
* StorageNetworks, Inc. Escrow
Shares 60,800 1,648
* Stratasys, Inc. 17,400 451,878
* Strategic Diagnostics, Inc. 32,700 132,762
Strategic Distribution, Inc. 3,029 39,347
* Stratesec, Inc. 7,300 58
* Stratex Networks, Inc. 142,518 417,578
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SHARES VALUE+
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* Stratos International, Inc. 20,936 $ 119,126
* Strattec Security Corp. 4,100 238,866
* Stratus Properties, Inc. 7,050 88,125
Strayer Ed, Inc. 8,300 967,697
Stride Rite Corp. 65,100 686,805
Sturm Ruger & Co., Inc. 45,700 541,545
* Suburban Lodges of America, Inc.
Escrow Shares 18,500 0
Suffolk Bancorp 8,600 273,136
* Summa Industries, Inc. 5,200 49,712
Summit Bancshares, Inc. 2,000 56,500
Summit Bank Corp. 2,520 42,336
* SumTotal Systems, Inc. 28,067 181,032
* Sun Bancorp, Inc. 23,736 528,601
Sun Hydraulics, Inc. 4,900 60,613
* Sunair Electronics, Inc. 3,000 17,220
* Sundance Homes, Inc. 3,000 17
* SunLink Health Systems, Inc. 1,048 5,450
*# Sunrise Senior Living, Inc. 36,065 1,299,783
Sunrise Telecom, Inc. 3,700 9,842
* Suntron Corp. 5,265 40,698
* Superconductor Technologies, Inc. 83,940 96,531
* Supergen, Inc. 72,390 547,992
* Superior Consultant Holdings Corp. 10,700 66,768
* Superior Energy Services, Inc. 126,500 1,157,475
# Superior Industries International, Inc. 45,400 1,482,310
Superior Uniform Group, Inc. 7,000 115,500
* Supertex, Inc. 21,800 341,606
* SupportSoft, Inc. 71,600 703,112
Supreme Industries, Inc. 11,408 77,004
*# SureBeam Corp. 12,725 115
SureWest Communications 24,112 773,272
*# SurModics, Inc. 29,700 662,310
Susquehanna Bancshares, Inc. 67,800 1,649,574
* Swift Energy Corp. 47,000 949,400
* Swift Transportation, Inc. 4,200 75,432
* Swisher International, Inc. 700 770
*# Switchboard, Inc. 30,600 236,538
SWS Group, Inc. 29,118 469,382
* Sybron Dental Specialties, Inc. 65,300 1,778,772
* Sycamore Networks, Inc. 226,952 1,000,858
* Sykes Enterprises, Inc. 65,328 408,953
* Sylvan, Inc. 5,400 65,070
* Symmetricom, Inc. 82,767 653,859
* Syms Corp. 28,200 229,548
* Symyx Technologies 54,200 1,305,678
* Synalloy Corp. 5,900 54,988
* Synaptics, Inc. 42,000 805,140
* Synovis Life Technologies, Inc. 19,500 175,500
* Synplicity, Inc. 40,975 239,704
Syntel, Inc. 67,148 1,272,455
* Synthetech, Inc. 16,400 20,828
*# Syntroleum Corp. 66,566 419,366
Sypris Solutions, Inc. 28,163 535,097
* Systemax, Inc. 40,100 248,620
* T-3 Energy Services, Inc. 1,250 8,219
* Tag-It Pacific, Inc. 16,500 78,870
* Taitron Components, Inc. 5,000 12,950
*# Take Two Interactive Software 32,200 958,594
* TALK America Holdings, Inc. 44,509 418,830
TALX Corp. 23,038 534,482
Tandy Brand Accessories, Inc. 5,900 $ 79,296
* Tanox, Inc. 75,600 1,245,132
* Tarantella, Inc. 3,300 5,330
* Tarrant Apparel Group 32,800 61,992
Tasty Baking Co. 17,400 164,082
TB Woods Corp. 7,600 58,140
* TBA Entertainment Corp. 7,300 4,818
* TBC Corp. 37,250 945,778
* TEAM America, Inc. 2,800 0
* Team, Inc. 7,600 119,320
* TeamStaff, Inc. 20,200 46,056
Tech/Ops Sevcon, Inc. 3,100 18,042
Teche Holding Co. 700 24,938
* Techne Corp. 45,700 1,770,875
* Technical Communications Corp. 400 1,700
* Technical Olympic USA, Inc. 8,500 276,675
* Technitrol, Inc. 68,600 1,427,566
Technology Research Corp. 9,700 101,753
* Technology Solutions Corp. 42,400 45,792
* TechTeam Global, Inc. 20,800 159,765
Tecumseh Products Co. Class A 23,400 868,608
* Tegal Corp. 5,000 8,300
*# Tejon Ranch Co. 13,900 482,747
*# Tekelec 105,900 1,760,058
* TeleCommunication Systems, Inc. 40,500 205,335
* Teledyne Technologies Inc. 55,200 1,016,784
* Teletech Holdings, Inc. 121,600 914,432
* Telik, Inc. 73,800 1,690,020
* Telular Corp. 22,000 244,398
* TenFold Corp. 4,500 7,875
Tennant Co. 15,300 581,400
* Tenneco Automotive, Inc. 71,200 909,224
* Terayon Communication Systems, Inc. 123,500 339,625
* Terex Corp. 58,021 1,711,039
* Terra Industries, Inc. 131,500 608,845
* Tesoro Petroleum Corp. 103,400 2,462,988
* Tessco Technologies, Inc. 4,500 79,830
* Tetra Tech, Inc. 91,126 1,545,497
* Tetra Technologies, Inc. 37,900 902,399
Texas Industries, Inc. 35,900 1,322,915
Texas Regional Banchshares, Inc.
Class A 50,440 2,221,882
Texas United Bancshares, Inc. 100 1,760
TF Financial Corp. 2,600 77,311
* Thackeray Corp. 4,100 5,535
* The Banc Corp. 27,800 190,152
The Brink's Co. 86,818 2,685,281
* The Dress Barn, Inc. 51,400 900,014
* The Geo Group, Inc. 25,000 483,750
The Marcus Corp. 35,200 570,240
* The Medicines Co. 75,791 2,436,681
# The Phoenix Companies, Inc. 160,700 1,881,797
* The Rowe Companies 13,100 59,605
* The Sports Authority, Inc. 43,506 1,483,555
* Theragenics Corp. 50,900 217,343
* Therma-Wave, Inc. 56,989 225,107
* Thermwood Corp. 200 163
* TheStreet.com, Inc. 41,600 156,416
* Third Wave Technologies 66,386 321,972
# Thomas & Betts Corp. 93,500 2,287,010
* Thomas Group, Inc. 4,000 6,000
</Table>
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SHARES VALUE+
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Thomas Industries, Inc. 29,250 $ 995,085
*# Thoratec Corp. 94,843 1,383,759
*# THQ, Inc. 64,700 1,364,523
* Three-Five Systems, Inc. 35,599 190,811
* TIBCO Software, Inc. 172,330 1,430,339
* Tickets.com, Inc. 1,600 760
* Tier Technologies, Inc. Class B 30,900 336,192
TierOne Corp. 30,553 637,336
* TII Network Technologies, Inc. 11,260 15,764
Timberland Bancorp, Inc. 3,900 86,580
* Timco Aviation Services, Inc. 2,749 1,100
* Time Warner Telecom, Inc. 77,187 328,817
* Tipperary Corp. 17,900 58,533
Titan International, Inc. 19,600 208,740
* Titan Pharmaceuticals, Inc. 49,300 162,690
* Titanium Metals Corp. 3,170 286,093
* TiVo, Inc. 135,426 1,030,592
* TL Administration Corp. 200 6
* TLC Vision Corp. 33,060 343,493
Todd Shipyards Corp. 6,300 110,880
* Todhunter International, Inc. 4,600 64,400
* Tofutti Brands, Inc. 6,900 22,080
* Tollgrade Communications, Inc. 23,091 255,156
Tompkins County Trustco, Inc. 363 16,313
* Too, Inc. 58,500 984,555
Topps, Inc. 68,886 597,242
* Torch Offshore, Inc. 23,300 61,512
* Toreador Resources Corp. 4,900 25,774
Toro Co. 39,200 2,516,640
* Total Entertainment Restaurant Corp. 16,761 219,050
*# Tower Automotive, Inc. 97,500 361,725
Track Data Corp. 5,600 5,600
* Tractor Supply Co. 43,600 1,679,908
* Tradestation Group, Inc. 70,500 480,105
Traffix, Inc. 22,900 158,926
* Trailer Bridge, Inc. 9,800 54,390
* Trammell Crow Co. 59,500 756,245
* Trans World Entertainment Corp. 61,000 608,780
* Transact Technologies, Inc. 8,550 275,481
* Transaction Systems Architects, Inc. 64,900 1,224,663
* TransAxis, Inc. 72 5
* Transcat, Inc. 6,100 19,270
* Transgenomic, Inc. 21,900 33,945
* Transkaryotic Therapies, Inc. 58,500 843,570
* Transmeta Corp. 263,500 574,430
* Transmontaigne Oil Co. 61,500 357,930
* Transport Corp. of America 5,200 37,440
* Transport Industries, Inc. 1,400 2,254
* Transpro, Inc. 16,100 95,393
* Transtechnology Corp. 6,200 42,780
* TransTexas Gas Corp. Class A 236 5
*# Transwitch Corp. 40,600 62,524
* Travis Boats & Motors, Inc. 3,300 2,604
* TRC Companies, Inc. 23,500 387,985
Tredegar Industries, Inc. 61,491 888,545
*# Trenwick Group, Ltd. 11,975 108
*# Trestle Holdings Inc. 450 1,125
* Trex Co., Inc. 25,000 908,250
* Triad Guaranty, Inc. 24,500 1,407,770
Triarc Companies, Inc. Class A 33,300 361,305
Triarc Companies, Inc. Class B 49,000 524,790
Trico Bancshares 9,900 $ 180,774
*# Trico Marine Services, Inc. 57,100 13,133
* Trident Microsystems, Inc. 38,500 589,050
* Trimble Navigation, Ltd. 85,150 2,300,753
* Trimedyne, Inc. 4,300 3,870
* Trimeris, Inc. 36,700 538,022
# Trinity Industries, Inc. 74,900 2,142,889
* Trio-Tech International 400 1,848
* TriPath Imaging, Inc. 64,452 591,669
* Tripath Technology, Inc. 63,251 238,456
* Tripos, Inc. 10,620 59,366
* Triquint Semiconductor, Inc. 221,397 1,235,395
* Triton PCS Holdings, Inc. 103,600 488,992
* Triumph Group 26,302 836,667
* TriZetto Group, Inc. 79,700 520,441
* TRM Corp. 7,000 97,090
*# Tropical Sportswear International
Corp. 18,175 39,985
* Trover Solutions, Inc. 9,300 63,240
* Troy Group, Inc. 13,800 45,264
* Trump Hotels & Casino Resorts, Inc. 49,100 96,727
Trustco Bank Corp. 125,752 1,623,458
TSR, Inc. 4,400 29,436
* TTM Technologies, Inc. 69,000 786,600
* Tuesday Morning Corp. 69,300 1,978,515
* Tufco Technologies, Inc. 4,500 38,205
* Tularik, Inc. 104,551 2,586,592
* Tumbleweed Communications Corp. 74,095 368,993
# Tupperware Corp. 99,500 1,817,865
* TurboChef Technologies, Inc. 20,500 80,975
* Turnstone Systems, Inc. 65 9
* Tut Systems, Inc. 32,400 100,116
* Tweeter Home Entertainment
Group, Inc. 41,100 273,726
Twin Disc, Inc. 2,800 61,600
* Tyler Technologies, Inc. 70,500 627,450
*# U.S. Aggregates, Inc. 1,600 4
* U.S. Concrete, Inc. 44,900 313,402
* U.S. Physical Therapy, Inc. 20,372 251,798
* U.S. Xpress Enterprises, Inc.
Class A 10,823 140,158
* UbiquiTel, Inc. 84,490 357,393
* UFP Technologies, Inc. 3,800 12,350
UGI Corp. 42,900 1,376,661
* UICI 78,700 1,564,556
UIL Holdings Corp. 24,600 1,092,240
* Ulticom, Inc. 70,508 662,775
*# Ultimate Electronics, Inc. 23,500 84,130
* Ultimate Software Group, Inc. 35,000 449,750
* Ultradata Systems, Inc. 2,000 3,300
* Ultralife Batteries, Inc. 13,100 261,607
* Ultratech Stepper, Inc. 39,500 601,980
UMB Financial Corp. 35,765 1,818,650
Umpqua Holdings Corp. 48,203 916,821
*# Unapix Entertainment, Inc. 6,100 25
* Unico American Corp. 5,500 32,401
* Unifi, Inc. 83,334 194,168
Unifirst Corp. 14,350 373,100
* Uni-Marts, Inc. 6,500 14,235
Union Bankshares Corp. 170 5,106
Union Community Bancorp 2,300 41,044
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SHARES VALUE+
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* Uniroyal Technology Corp. 13,300 $ 13
# Unisource Energy Corp. 67,080 1,655,534
* Unit Corp. 77,700 2,213,673
United Auto Group, Inc. 66,400 1,920,952
United Bankshares, Inc. WV 47,960 1,496,352
United Community Banks, Inc. 59,351 1,404,838
United Community Financial Corp. 51,972 629,381
United Financial Corp. 660 16,368
* United Financial Mortgage Corp. 9,400 48,880
United Fire & Casualty Co. 6,200 343,170
United Guardian, Inc. 1,900 12,084
United Industrial Corp. 22,300 468,300
* United Natural Foods, Inc. 67,300 1,702,017
* United Online, Inc. 108,403 2,036,892
* United PanAm Financial Corp. 600 8,700
* United Rentals, Inc. 121,600 2,079,360
* United Retail Group, Inc. 20,666 56,832
* United Road Services, Inc. 720 83
# United Security Bancshares 2,000 44,600
* United Stationers, Inc. 55,300 2,085,363
* United Surgical Partners International,
Inc. 46,502 1,814,043
* United Therapeutics Corp. 36,300 858,858
Unitil Corp. 4,700 122,670
Unity Bancorp, Inc. 5,460 70,980
* Universal Access Global Holdings,
Inc. 2,235 2,436
* Universal American Financial Corp. 92,000 1,007,400
* Universal Compression Holdings, Inc. 50,949 1,507,581
Universal Corp. 42,700 2,009,462
* Universal Display Corp. 47,100 540,708
* Universal Electronics, Inc. 23,300 343,442
Universal Forest Products, Inc. 30,373 879,602
* Universal Stainless & Alloy Products,
Inc. 6,000 64,986
Unizan Financial Corp. 33,197 855,819
* Unova, Inc. 102,800 1,783,580
* UQM Technologies, Inc. 33,300 99,900
* Urologix, Inc. 23,842 334,980
* URS Corp. 68,913 1,735,229
*# US Airways Group, Inc. 8,800 22,968
*# US Energy Corp. 11,500 26,910
* US LEC Corp. 61,736 238,918
* US Oncology, Inc. 134,682 1,974,438
* USA Truck, Inc. 9,300 107,973
*# USAir Group, Inc. 84,700 6,903
* USANA, Inc. 32,800 913,152
USB Holding Co., Inc. 17,099 376,520
*# USDATA Corp. 2,820 113
Usec, Inc. 142,531 1,116,018
USF Corp. 47,037 1,352,314
* Utah Medical, Inc. 5,000 129,525
*# V.I. Technologies, Inc. 57,100 59,955
*# VA Software Corp. 97,900 231,044
Vail Banks Inc. 1,300 16,250
* Vail Resorts, Inc. 46,600 696,670
*# Valence Technology, Inc. 20,900 81,719
Valhi, Inc. 14,240 158,064
* Valley National Gases, Inc. 4,200 41,790
Valmont Industries, Inc. 40,500 842,400
* Valpey Fisher Corp. 1,650 5,511
Value Line, Inc. 9,900 $ 383,328
* ValueClick, Inc. 134,300 1,469,242
* Valuevision Media, Inc. Class A 60,947 731,364
* Vans, Inc. 28,700 585,767
* Varian Semiconductor Equipment
Associates, Inc. 51,200 1,882,624
* Varian, Inc. 54,100 2,407,450
* Variflex, Inc. 4,600 30,820
* Vascular Solutions, Inc. 23,700 255,960
* Vastera, Inc. 75,179 259,368
* Vaxgen, Inc. 42,400 672,888
* VCA Antech, Inc. 65,062 2,797,666
Vector Group, Ltd. 66,457 1,056,666
* Veeco Instruments, Inc. 49,700 1,283,254
* Ventana Medical Systems, Inc. 29,014 1,497,122
* Venture Catalyst, Inc. 7,200 3,240
* Verilink Corp. 25,100 112,950
* Veritas DGC, Inc. 57,700 1,104,378
* Verity, Inc. 64,200 892,380
* Vermont Pure Holdings, Ltd. 17,300 52,419
* Versant Corp. 5,400 11,016
* Versar, Inc. 8,700 44,718
* Verso Technologies, Inc. 26,319 41,716
* Vertex Pharmaceuticals, Inc. 132,888 1,169,414
* Verticalbuyer Inc. 920 7
Vesta Insurance Group, Inc. 60,500 359,975
* Vestin Group, Inc. 400 1,000
* Vialta, Inc. 40,295 15,312
* Viasat, Inc. 44,800 1,032,192
* Vical, Inc. 34,255 188,745
* Vicon Industries, Inc. 4,600 24,242
* Vicor Corp. 52,300 726,970
* Vicuron Pharmaceuticals, Inc. 91,100 1,266,290
# Video Display Corp. 3,600 66,600
*# Viewpoint Corp. 59,526 164,881
* Vignette Corp. 407,600 672,540
* Viisage Technology, Inc. 58,895 577,760
Vintage Petroleum, Inc. 109,300 1,703,987
* Virage Logic Corp. 35,727 269,024
* Virbac Corp. 22,000 66,000
Virco Manufacturing Corp. 13,269 90,893
* Virginia Commerce Bancorp, Inc. 400 11,380
* Virologic, Inc. 83,900 234,920
*# ViroPharma, Inc. 44,725 82,294
* Vision Sciences, Inc. 5,100 21,318
* Vista Medical Technologies, Inc. 7,500 11,100
Visteon Corp. 214,500 2,350,920
* Visual Networks, Inc. 31,900 102,718
* Visx, Inc. DE 87,400 2,054,774
* Vital Images, Inc. 18,200 176,904
Vital Signs, Inc. 21,956 592,812
* VitalWorks, Inc. 73,800 250,920
*# Vitech America, Inc. 14,850 67
* Vitesse Semiconductor, Inc. 20,500 111,930
* Vitria Technology, Inc. 53,942 153,195
* Vivus, Inc. 64,564 265,358
* Vl Dissolution Corp 3,101 1,930
VLPS Lighting Services International,
Inc. 4,800 20,040
* Vodavi Technology, Inc. 4,300 20,468
* Volt Information Sciences, Inc. 33,000 848,100
</Table>
154
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Vulcan International Corp. 700 $ 30,380
* Vyyo, Inc. 20,900 153,406
* W-H Energy Services, Inc. 50,300 929,544
* Wabash National Corp. 45,800 1,204,540
Wabtec Corp. 76,000 1,253,240
Walter Industries, Inc. 71,300 907,649
*# Warnaco Group, Inc. 2,900 3
* Warnaco Group, Inc. 61,372 1,223,144
Warwick Community Bancorp, Inc. 5,000 153,500
Warwick Valley Telephone Co. 300 6,300
Washington Banking Co. 4,680 75,348
Washington Savings Bank FSB 2,400 24,936
Washington Trust Bancorp, Inc. 21,855 549,653
* Waste Connections, Inc. 49,200 2,091,000
Waste Industries USA, Inc. 19,300 218,090
* WatchGuard Technologoes, Inc. 56,780 369,638
* Water Pik Technologies, Inc. 8,400 140,196
* Waterlink, Inc. 19,200 16
Waters Instruments, Inc. 300 2,403
Watsco, Inc. Class A 37,400 978,758
Watsco, Inc. Class B 1,350 35,370
* Watson Wyatt & Co., Holdings 55,900 1,461,785
Watts Water Technologies, Inc. 40,400 980,508
Wausau-Mosinee Paper Corp. 95,336 1,450,061
Waypoint Financial Corp. 53,226 1,458,392
* WCI Communities, Inc. 74,500 1,657,625
WD-40 Co. 28,900 880,294
* Webb Interactive Services, Inc. 5,300 3,339
* Webco Industries, Inc. 6,000 29,430
* WebEx Communications, Inc. 73,680 1,739,585
* webMethods, Inc. 89,502 780,457
* Websense, Inc. 38,800 1,256,344
* Weider Nutrition International, Inc. 10,500 48,720
Weis Markets, Inc. 19,607 669,579
Wellco Enterprises, Inc. 1,000 19,100
Wellman, Inc. 65,300 519,135
* Wells-Gardner Electronics Corp. 6,101 28,614
Wesbanco, Inc. 33,521 923,168
* WESCO International, Inc. 67,900 1,125,782
West Coast Bancorp 25,609 563,654
* West Marine, Inc. 35,100 921,726
West Pharmaceutical Services, Inc. 25,100 954,051
* Westaff, Inc. 24,300 63,180
Westamerica Bancorporation 2,000 98,760
Westar Energy, Inc. 89,400 1,762,968
Westbank Corp. 4,740 89,254
* Westcoast Hospitality Corp. 12,900 74,433
* Westell Technologies, Inc. 89,580 492,690
Western Gas Resources, Inc. 24,700 1,365,910
Western Ohio Financial Corp. 900 29,835
* Western Power & Equipment Corp. 3,373 1,231
* Western Sierra Bancorp 1,575 45,990
* Westmoreland Coal Co. 800 17,168
Westwood Holdings Group, Inc. 6,479 112,540
* Wet Seal, Inc. Class A 41,375 241,216
Weyco Group, Inc. 300 10,026
WGL Holdings, Inc. 14,000 385,140
* White Electronics Designs Corp. 41,065 262,405
* Whitehall Jewelers, Inc. 25,450 203,855
Whitney Holdings Corp. 15,300 665,091
*# WHX Corp. 6,333 10,259
* Wickes, Inc. 4,400 $ 550
* Wild Oats Markets, Inc. 51,350 695,793
* William Lyon Homes, Inc. 12,600 1,130,220
* Williams Industries, Inc. 1,200 4,218
* Willis Lease Finance Corp. 9,500 78,375
Willow Grove Bancorp, Inc. 17,451 265,430
* Wilshire Financial Services Group,
Inc. 137 1,232
* Wilshire Oil Co. of Texas 7,107 35,606
* Wilson Greatbatch Technologies, Inc. 36,000 979,200
* Wilsons The Leather Experts, Inc. 32,945 110,366
* Wind River Systems, Inc. 138,596 1,426,153
* Winmark Corp. 3,800 96,900
# Winn-Dixie Stores, Inc. 241,000 1,525,530
Winnebago Industries, Inc. 57,600 1,635,840
Wintrust Financial Corp. 34,250 1,627,560
* Wireless Facilities, Inc. 113,651 1,077,411
Wireless Telecom Group, Inc. 28,800 85,968
* Wireless WebConnect!, Inc. 8,900 24
* Wiser Oil Co. 26,300 277,991
* Witness Systems, Inc. 44,500 641,245
* WJ Communications, Inc. 50,400 161,280
* WMS Industries, Inc. 50,800 1,559,560
* Wolverine Tube, Inc. 20,100 228,738
Wolverine World Wide, Inc. 67,000 1,765,450
* Women First HealthCare, Inc. 1,500 34
Woodhead Industries, Inc. 20,557 309,588
Woodward Governor Co. 18,900 1,255,905
* World Acceptance Corp. 32,000 572,480
*# World Access, Inc. 35,372 48
World Fuel Services Corp. 18,300 806,481
World Wrestling Federation
Entertainment, Inc. 22,700 275,578
*# WorldGate Communications, Inc. 6,500 13,455
* WorldQuest Networks, Inc. 1,500 4,772
* Worldwide Restaurant Concepts, Inc. 52,200 174,348
Worthington Industries, Inc. 65,400 1,251,756
WPS Resources Corp. 31,200 1,412,112
* Wright Medical Group, Inc. 56,500 1,833,990
WSI Industries, Inc. 2,000 5,338
X-Rite, Inc. 35,163 470,481
* Xanser Corp. 42,800 108,284
* Xeta Corp. 9,200 46,911
* Xicor, Inc. 45,974 691,909
* Yankee Candle Co., Inc. 65,200 1,825,600
Yardville National Bancorp 16,400 412,460
* Yellow Roadway Corp. 22,982 820,687
York International Corp. 41,200 1,523,576
* Young Broadcasting, Inc. Class A 29,507 422,540
* Zapata Corp. 2,340 159,120
Zenith National Insurance Corp. 18,600 859,878
* Zevex International, Inc. 3,400 11,628
* Zhone Technologies, Inc. 37,400 122,672
* Zila, Inc. 76,307 388,403
*# Zix Corp. 51,726 462,430
* Zoll Medical Corp. 14,622 451,820
*# Zoltek Companies, Inc. 27,800 202,384
* Zomax, Inc. 51,700 196,977
* Zones, Inc. 13,500 36,450
* Zoran Corp. 68,635 1,205,917
* Zygo Corp. 28,600 303,160
</Table>
155
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Zymetx, Inc. 8,600 $ 452
* Zymogenetics, Inc. 88,239 1,404,765
---------------
TOTAL COMMON STOCKS
(Cost $1,513,392,652) 1,723,375,415
---------------
RIGHTS/WARRANTS -- (0.0%)
* American Banknote Corp. Warrants
Series 1 10/01/07 30 0
* American Banknote Corp. Warrants
Series 2 10/10/07 30 0
* Anacomp, Inc. Class B Warrants
12/10/06 0 0
*# Angeion Corp. Warrants 10/31/07 215 0
* Aura Systems, Inc. Warrants 05/31/05 1,262 0
* Chart Industries, Inc. Warrants
09/15/10 24 184
* Chiquita Brands International, Inc.
Warrants 03/19/09 9,947 46,950
* CSF Holding, Inc. Litigation Rights 3,250 0
* Danielson Holding Corp. Rights
06/09/04 33,400 0
* Del Global Technologies Corp.
Warrants 03/28/08 971 583
* Imperial Credit Industries, Inc.
Warrants 01/31/08 22 0
* Imperial Sugar Co. Warrants 08/29/08 498 1,006
* Lodgian, Inc. Class A Warrants
11/25/07 188 39
* Lodgian, Inc. Class B Warrants
11/25/09 582 134
* Magnum Hunter Resources
Warrants 03/21/05 7,200 4,320
* Orbital Science Corp. Warrants
08/31/04 152 1,193
*# OSI Pharmaceutical, Inc. Rights 4,829 1,859
* PMR Corp. Contingent Value Rights
08/05/04 7,300 7
* Timco Aviation Services Warrants
02/27/07 6,696 1
---------------
TOTAL RIGHTS/WARRANTS
(Cost $444,107) 56,276
---------------
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp. $ 2 $ 0
* Timco Aviation Services, Inc. 3 0
---------------
TOTAL BONDS
(Cost $0) 0
---------------
TEMPORARY CASH
INVESTMENTS -- (8.0%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $26,894,000
FNMA Notes 1.50%, 09/21/05,
valued at $26,725,913) to be
repurchased at $26,332,604
(Cost $26,330,000) 26,330 26,330,000
Repurchase Agreement, Merrill Lynch
Triparty Repo 0.96%, 06/01/04 (Collateralized by
$124,075,000 U.S. Treasury Obligations rates ranging
from 2.125% to 6.00%, maturities ranging from
08/15/04 to 08/31/04, valued at $125,930,146) to be
repurchased at $123,472,650
(Cost $123,459,481)^ 123,459 123,459,481
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $149,789,481) 149,789,481
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,663,626,240)++ $ 1,873,221,172
===============
</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 $1,666,038,387.
See accompanying Notes to Financial Statements.
156
<Page>
THE U.S. MICRO CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (93.8%)
* 1-800 CONTACTS, Inc. 69,529 $ 1,022,076
* 1-800-FLOWERS.COM, Inc. 75,997 728,811
1st Source Corp. 83,333 1,891,659
# 21st Century Holding Co. 700 13,657
* 24/7 Real Media, Inc. 4,040 23,472
* 3-D Systems Corp. 110,010 1,329,911
* 4Kids Entertainment, Inc. 73,200 1,584,780
*# 8X8, Inc. 84,000 222,600
* @Road, Inc. 200,691 1,784,143
* A. B. Watley Group, Inc. 9,900 1,980
* A.C. Moore Arts & Crafts, Inc. 104,800 2,777,200
* A.D.A.M., Inc. 5,100 10,710
*# aaiPharma, Inc. 154,500 712,245
* Aames Financial Corp. 480 1,411
* AAON, Inc. 141,925 2,719,283
* AAR Corp. 174,137 1,668,232
* Abaxis, Inc. 146,800 2,740,756
ABC Bancorp 62,670 1,232,719
Abigail Adams National Bancorp, Inc. 1,375 22,000
* Abiomed, Inc. 114,691 1,416,434
* Able Laboratories, Inc. 90,105 1,675,953
* Ablest, Inc. 13,500 71,550
Abrams Industries, Inc. 17,100 71,820
* Acacia Research-Acacia Technologies
Common Stock 68,050 421,910
* Acacia Research-CombiMatrix Corp. 34,190 135,050
* Accelrys, Inc. 206,100 2,058,939
* Access Pharmaceuticals, Inc. 71,200 399,432
*# Acclaim Entertainment, Inc. 117,200 49,341
* Ace Cash Express, Inc. 105,275 2,505,545
* Ace Comm Corp. 78,700 192,028
Aceto Corp. 129,375 2,079,056
* Aclara Biosciences, Inc. 89,200 338,960
* Acme Communications, Inc. 120,000 928,800
* Acme United Corp. 30,407 212,849
* ACT Manufacturing, Inc. 1,000 5
* ACT Teleconferencing, Inc. 79,000 203,109
* Actel Corp. 137,796 2,750,408
Action Performance Companies, Inc. 98,900 1,498,335
* ActivCard Corp. 196,539 1,255,884
* Active Power, Inc. 227,100 794,850
* Actuate Corp. 303,904 1,136,601
Adams Resources & Energy, Inc. 68,250 948,675
*# Addvantage Technologies Group, Inc. 1,500 8,137
* ADE Corp. 81,400 1,709,400
* Adept Technology, Inc. 30,000 28,500
* Administaff, Inc. 140,700 2,327,178
* Adolor Corp. 271,636 3,792,039
* Advanced Digital Information Corp. 13,700 122,615
* Advanced Energy Industries, Inc. 111,206 1,704,788
*# Advanced Magnetics, Inc. 64,200 629,802
Advanced Marketing Services, Inc. 132,075 1,462,070
* Advanced Nutraceuticals, Inc. 475 2,137
*# Advanced Photonix, Inc. Class A 68,300 161,188
* Advanced Power Technology, Inc. 73,800 974,898
Advanta Corp. Class A 58,683 $ 948,317
Advanta Corp. Class B Non-Voting 92,946 1,474,124
* Advantage Marketing Systems, Inc. 1,400 8,316
* Advent Software, Inc. 175,376 3,318,114
* Aehr Test Systems 57,400 229,600
* AEP Industries, Inc. 60,750 646,927
* Aerosonic Corp. 33,100 231,700
* Aether Systems, Inc. 229,876 783,877
* Aetrium, Inc. 87,300 801,414
* AFC Enterprises, Inc. 9,700 196,425
* Affinity Technology Group, Inc. 1,700 139
* Aftermarket Technology Corp. 151,100 2,212,104
* Agile Software Corp. 277,568 2,220,544
* Agility Capital, Inc. 13,400 87
Agilysys, Inc. 172,338 2,121,481
* Air Methods Corp. 70,800 562,152
* Airnet Systems, Inc. 96,100 411,308
* Airspan Networks, Inc. 116,005 643,828
* AK Steel Holding Corp. 286,200 1,310,796
*# Akorn, Inc. 202,000 666,600
*# Aksys, Ltd. 160,300 974,624
Alamo Group, Inc. 70,700 1,106,455
* Alaska Air Group, Inc. 80,600 1,660,360
* Alaska Communications Systems
Group, Inc. 198,600 1,280,970
* Albany Molecular Research, Inc. 171,240 2,164,474
* Alcide Corp. 18,000 370,080
* Alderwoods Group, Inc. 21,000 271,110
# Aldila, Inc. 33,233 505,474
* Alexion Pharmaceuticals, Inc. 118,570 2,377,328
Alico, Inc. 53,400 1,885,020
* All American Semiconductor, Inc. 45,140 411,225
Allen Organ Co. Class B 4,700 235,000
* Alliance Imaging, Inc. 317,000 1,217,280
* Alliance Semiconductor Corp. 201,818 1,204,853
* Allied Defense Group, Inc. 48,640 853,146
* Allied Healthcare International, Inc. 146,800 738,404
* Allied Healthcare Products, Inc. 65,800 357,294
* Allied Holdings, Inc. 73,100 372,810
* Allied Motion Technologies, Inc. 34,580 178,779
*# Allos Therapeutics, Inc. 159,677 295,402
* Allou Health Care, Inc. Class A 56,700 6
* Alloy, Inc. 215,380 1,079,054
* Allscripts Healthcare Solutions, Inc. 206,200 1,698,882
* Almost Family, Inc. 11,500 90,907
* Alpha Technologies Group, Inc. 87,200 122,080
* Alpine Group, Inc. 87,800 179,288
* Alteon, Inc. 231,200 300,560
*# Alterra Healthcare Corp. 139,000 14
Ambassadors Group, Inc. 70,300 1,447,477
Ambassadors, Inc. 70,300 901,949
* AMC Entertainment, Inc. 179,200 2,705,920
* Amcast Industrial Corp. 86,800 351,540
Amcol International Corp. 158,200 2,641,940
Amcore Financial, Inc. 5,400 156,978
* Amedisys, Inc. 65,826 1,640,384
</Table>
157
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* AMEN Properties, Inc. 12,375 $ 30,801
* Amerco, Inc. 13,605 340,261
* America Services Group, Inc. 38,200 1,375,200
*# America West Holdings Corp. Class B 180,400 1,807,608
* American Banknote Corp. 595 170
American Biltrite, Inc. 57,750 563,062
* American Building Control, Inc. 108,300 202,521
*# American Business Financial
Services, Inc. 35,450 116,279
* American Claims Evaluation, Inc. 3,100 8,959
* American Dental Partners, Inc. 57,700 983,785
* American Ecology Corp. 106,400 931,000
*# American Healthways, Inc. 94,400 1,939,920
* American Indemnity Financial Escrow 16,700 16,700
* American Independence Corp. 14,733 229,540
* American Locker Group, Inc. 32,200 364,504
* 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 2,608,830
American Pacific Corp. 66,400 484,720
* American Physicians Capital, Inc. 45,800 1,055,690
* American Physicians Services Group,
Inc. 36,700 359,660
* American Retirement Corp. 138,600 623,700
* American Science & Engineering,
Inc. 61,500 1,061,490
American Shared Hospital Services 26,800 152,224
American Software, Inc. Class A 292,000 1,865,880
American States Water Co. 80,800 1,890,720
* American Superconductor Corp. 147,976 1,858,579
* American Technical Ceramics Corp. 68,100 602,685
American Vanguard Corp. 5,998 230,323
* American West Bancorporation 14,733 264,015
American Woodmark Corp. 64,660 3,720,536
Americana Bancorp, Inc. 20,350 330,687
* America's Car-Mart, Inc. 41,000 1,209,500
* AmeriServe Financial, Inc. 176,775 1,016,456
Ameristar Casinos, Inc. 42,080 1,381,907
Ameron International Corp. 56,800 1,767,048
* Amistar Corp. 27,800 62,689
* AML Communications, Inc. 61,500 89,175
* AMN Healthcare Services, Inc. 151,800 2,307,360
Ampco-Pittsburgh Corp. 81,300 1,054,461
* Ampex Corp. Class A 7,565 13,239
Amrep Corp. 63,610 1,092,820
* Amsurg Corp. 66,946 1,516,338
* Amtech Systems, Inc. 2,400 12,192
* AMX Corp. 98,000 979,020
* Anacomp, Inc. 0 3
* Anadigics, Inc. 167,800 827,254
* Analex Corp. 34,500 124,200
Analogic Corp. 22,672 1,045,859
* Analysts International Corp. 190,092 568,375
*# Analytical Surveys, Inc. 5,670 14,175
* Anaren, Inc. 111,500 1,775,080
Anchor Bancorp Wisconsin, Inc. 121,529 3,204,720
Andersons, Inc. 51,500 888,890
*# Andrew Corp. 3,590 70,543
* Angeion Corp. 1,294 $ 1,915
Angelica Corp. 48,200 1,074,860
* Angelo & Maxie's, Inc. 15,333 16,406
* Anika Therapeutics, Inc. 64,600 910,925
* Ansoft Corp. 114,500 1,701,470
* AnswerThink, Inc. 249,049 1,596,653
* Ansys, Inc. 139,700 6,018,276
* Anthony and Sylvan Pools Corp. 57,410 241,122
*# Antigenics, Inc. 234,997 1,896,426
* AP Pharma, Inc. 193,400 642,088
* APA Optics, Inc. 41,400 103,500
* APAC Teleservices, Inc. 389,119 867,735
* Aphton Corp. 189,794 855,971
Apogee Enterprises, Inc. 241,900 2,409,324
* Apogee Technology, Inc. 1,000 8,830
* Applica, Inc. 127,300 1,250,086
* Applied Extrusion Technologies, Inc. 114,100 119,805
* Applied Films Corp. 78,701 2,128,862
* Applied Imaging Corp. 48,000 56,160
Applied Industrial Technologies, Inc. 104,700 2,800,725
* Applied Innovation, Inc. 142,800 571,200
Applied Signal Technologies, Inc. 94,700 2,959,375
* Applix, Inc. 121,600 535,040
* Apropos Technology, Inc. 91,500 371,490
* aQuantive, Inc. 160,407 1,613,694
* Aradigm Corp. 226,000 246,340
Arch Chemicals, Inc. 118,449 3,142,452
* Arch Wireless, Inc. 36,612 1,160,234
Arctic Cat, Inc. 79,082 1,822,840
*# Ardent Communications, Inc. 20,000 50
* Arena Pharmaceuticals, Inc. 136,553 800,201
* Argonaut Group, Inc. 128,700 2,236,806
* Argonaut Technologies, Inc. 97,100 158,273
* Ariad Pharmaceuticals, Inc. 278,271 2,988,631
* Ark Restaurants Corp. 21,400 472,940
* Arlington Hospitality, Inc. 60,600 206,040
*# Armstrong Holdings, Inc. 52,400 46,112
*# Arotech Corp 40,800 103,632
* Arqule, Inc. 155,100 899,580
* Array BioPharma, Inc. 154,220 1,462,006
# Arrhythmia Research Technology, Inc. 16,475 209,562
* Arris Group, Inc. 341,000 2,155,120
Arrow Financial Corp. 84,512 2,484,653
* Art Technology Group, Inc. 69,900 95,763
Artesian Resources Corp. Class A 700 19,096
* Artesyn Technologies, Inc. 210,200 1,921,228
* Arthrocare Corp. 114,861 2,811,797
*# Artificial Life, Inc. 100 66
* Artisan Components, Inc. 206,056 5,219,398
* Artisoft, Inc. 23,716 61,899
* Arts Way Manufacturing Co., Inc. 100 518
* ASA International. Ltd. 196 882
ASB Financial Corp. 4,500 103,500
* Ashworth, Inc. 132,700 1,060,273
* Aspect Medical Systems, Inc. 103,010 1,567,812
* Aspen Technology, Inc. 221,587 1,398,214
* Aspeon, Inc. 5,600 56
*# Astea International, Inc. 21,160 220,276
* Astec Industries, Inc. 101,161 1,751,097
Astro-Med, Inc. 54,422 576,873
* Astronics Corp. 36,681 185,606
</Table>
158
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Astronics Corp. Class B 13,755 $ 66,024
*# AstroPower, Inc. 18,050 722
* ASV, Inc. 76,750 2,323,222
* Asyst Technologies, Inc. 253,558 2,593,898
* ATA Holdings Corp. 155,900 989,965
* Atari, Inc. 527,469 1,466,364
* AtheroGenics, Inc. 69,916 1,642,327
* Atlantic American Corp. 157,725 468,443
* Atlantic Coast Airlines, Inc. 158,993 896,721
* Atlantic Premium Brands, Ltd. 27,000 35,100
* Atlantis Plastics, Inc. 34,800 537,660
* Atlas Air Worldwide Holdings, Inc. 34,300 1,784
* ATP Oil & Gas Corp. 206,905 1,224,878
Atrion Corp. 15,400 665,896
* Atrix Labs, Inc. 115,994 3,165,476
* ATS Medical, Inc. 14,200 66,740
* Atwood Oceanics, Inc. 73,400 2,922,788
* Audiovox Corp. Class A 109,490 1,524,101
* August Technology Corp. 95,100 1,279,095
* Ault, Inc. 40,100 119,498
* Aurora Foods, Inc. 46 0
*# Authentidate Holding Corp. 144,200 1,816,920
* autobytel.com, Inc. 212,814 2,223,906
* Avalon Holding Corp. Class A 15,475 41,086
* Avanex Corp. 258,400 801,040
* Avanir Pharmaceuticals Class A 69,500 96,605
* Avant Immunotherapeutics, Inc. 385,440 936,619
* Avatar Holdings, Inc. 47,000 1,966,480
Avatech Solutions, Inc. 12,186 9,749
* Avi Biopharma, Inc. 190,670 430,914
* Aviall, Inc. 173,950 3,019,772
* Avici Systems Inc. 64,681 683,031
* Avigen, Inc. 136,000 481,440
* Avteam, Inc. Class A 82,500 124
* Aware, Inc. 120,600 391,950
* Axonyx, Inc. 1,200 5,952
*# AXS-One, Inc. 170,000 503,200
* Axsys Technologies, Inc. 49,600 959,760
* AXT, Inc. 114,600 242,952
* AZZ, Inc. 59,726 889,917
Badger Meter, Inc. 64,500 2,710,290
* Badger Paper Mills, Inc. 200 1,027
Bairnco Corp. 105,300 852,930
* Baker (Michael) Corp. 61,614 884,161
* Baker (Michael) Corp. Class B 15,400 220,990
Balchem Corp. 24,100 629,010
* Baldwin Technology, Inc. Class A 131,900 488,030
* Ballantyne Omaha, Inc. 126,135 368,314
* Bally Total Fitness Holding Corp. 180,300 829,380
* Bancinsurance Corp. 39,480 324,131
Bank of Granite Corp. 31,200 604,344
Bank of The Ozarks 20,800 503,360
* Bankrate, Inc. 50,700 575,445
* BankUnited Financial Corp. Class A 52,700 1,374,943
Banner Corp. 116,190 3,392,748
Barnes Group, Inc. 71,400 1,897,098
Barnwell Industries, Inc. 10,100 464,196
Barra, Inc. 8,100 331,371
* Barrett Business Services, Inc. 61,800 836,772
* Barry (R.G.) Corp. 165,535 352,590
Bassett Furniture Industries, Inc. 105,400 2,005,657
* Bay View Capital Corp. 260,100 $ 530,604
* Baycorp Holdings, Ltd. 4,189 55,588
* BE Aerospace, Inc. 197,034 1,257,077
* Beasley Broadcast Group, Inc. 38,478 589,483
* Bebe Stores, Inc. 132,900 2,655,342
BEI Technologies, Inc. 131,800 3,515,106
Bel Fuse, Inc. Class A 42,550 1,287,606
Bel Fuse, Inc. Class B 93,250 3,388,705
Belden, Inc. 122,200 2,065,180
* Bell Industries, Inc. 88,500 261,075
* Bell Microproducts, Inc. 168,350 1,072,389
* Benihana, Inc. 11,500 166,750
* Benihana, Inc. Class A 3,335 48,824
* Bentley Pharmaceuticals, Inc. 128,550 1,619,730
Berry Petroleum Corp. Class A 171,900 4,684,275
* Bethlehem Steel Corp. 5,700 18
* Beverly Enterprises 286,300 2,427,824
* Beyond.com Corp. 5,160 72
BHA Group Holdings, Inc. Class A 84,754 2,765,523
* Big 4 Ranch, Inc. 35,000 0
* Big City Radio, Inc. 34,250 4,452
* Big Dog Holdings, Inc. 2,100 10,103
* BindView Development Corp. 254,250 775,462
* Bio Imaging Technologies, Inc. 57,400 323,736
* Bioanalytical Systems, Inc. 8,700 35,017
* Biocryst Pharmaceuticals, Inc. 179,700 1,940,760
*# BioLase Technology, Inc. 131,150 1,546,258
* Bio-Logic Systems Corp. 42,800 265,788
* BioMarin Pharmaceutical, Inc. 280,695 1,715,046
* Biomerica, Inc. 23,400 12,870
* Bio-Reference Laboratories, Inc. 62,659 958,056
* BioSante Pharmaceuticals, Inc. 20,300 154,280
*# Biosite, Inc. 81,700 3,249,209
* Biosource International, Inc. 98,100 707,399
* Biospecifics Technologies Corp. 39,000 58,500
* BioSphere Medical, Inc. 74,300 228,844
*# BioTime, Inc. 11,000 19,800
* Bitstream, Inc. 81,600 186,048
Blair Corp. 68,800 1,768,160
* Blonder Tongue Laboratories, Inc. 76,300 240,345
* Blount International, Inc. 43,500 434,130
* Blue Coat Systems, Inc. 56,472 1,569,922
* Blue Martini Software, Inc. 34,501 154,875
* Bluegreen Corp. 226,729 2,716,213
* BMC Industries, Inc. 142,200 8,887
* BNS Co. Class A 26,480 162,852
* Boca Resorts, Inc. 135,906 2,443,590
* Bogen Communications International,
Inc. 64,200 322,605
*# Bolder Technologies Corp. 40,300 103
* Bolt Technology Corp. 44,700 205,620
* Bombay Co., Inc. 299,600 1,743,672
* Bone Care International, Inc. 76,234 1,627,596
* Bontex, Inc. 2,200 330
Bon-Ton Stores, Inc. 110,500 1,413,295
* Bookham Technologies P.L.C. 227,663 239,046
* Books-a-Million, Inc. 171,700 1,030,200
Boston Acoustics, Inc. 52,750 580,250
* Boston Beer Company, Inc. Class A 131,700 2,515,470
* Boston Biomedical, Inc. 39,300 124,188
* Boston Communications Group, Inc. 131,800 1,397,080
</Table>
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<Caption>
SHARES VALUE+
------ ------
Boston Private Financial Holdings,
Inc. 46,300 $ 1,059,807
Bostonfed Bancorp, Inc. 36,100 1,212,960
* Bottomline Technologies, Inc. 81,896 786,202
Bowl America, Inc. Class A 55,406 786,765
Bowne & Co., Inc. 188,868 3,006,779
* Boyd Brothers Transportation, Inc. 13,000 88,660
* Boyds Collection, Ltd. 460,400 1,316,744
* Bradley Pharmaceuticals, Inc. Class A 75,649 1,761,109
* Braun Consulting, Inc. 89,200 149,856
* Breed Technologies, Inc. 5,600 148
Bridgford Foods Corp. 91,467 704,296
* Brigham Exploration Co. 150,638 1,283,586
* Brightpoint, Inc. 102,087 1,137,249
* BrightStar Information Technology
Group, Inc. 53,300 1,919
* Brillian Corp. 23,600 199,444
*# Brilliant Digital Entertainment, Inc. 141,500 10,046
*# BriteSmile, Inc. 4,700 51,700
* Broadview Media, Inc. 15,800 96,380
* BroadVision, Inc. 176,769 611,444
* Brookstone, Inc. 170,775 3,297,665
* Brooktrout, Inc. 109,050 1,049,061
Brown Shoe Company, Inc. 129,300 5,343,969
* Bruker BioSciences Corp. 496,291 2,362,345
* Brush Engineered Materials, Inc. 90,200 1,571,284
Bryn Mawr Bank Corp. 5,600 115,360
BSB Bancorp, Inc. 121,906 4,236,233
* BSQUARE Corp. 23,000 22,287
* BTU International, Inc. 78,200 412,896
* Buca, Inc. 89,300 470,611
* Buckeye Technology, Inc. 198,190 1,999,737
Buckle, Inc. 101,800 2,859,562
Building Materials Holding Corp. 120,600 2,075,526
* Bull Run Corp. 23,390 12,748
* Bush Industries, Inc. Class A 38,400 25,728
* Butler International, Inc. 69,690 172,832
C & D Technologies, Inc. 180,000 2,939,400
C & F Financial Corp. 100 3,760
* C-COR.net Corp. 223,985 1,991,227
*# C-Phone Corp. 31,800 556
* Cable Design Techologies Corp. 311,400 2,597,076
* Cache, Inc. 56,300 1,464,363
Cadmus Communications Corp. 67,100 924,638
* Cagle's, Inc. Class A 94,800 1,034,268
Calavo Growers 13,030 133,427
Calgon Carbon Corp. 206,900 1,278,642
* California Amplifier, Inc. 80,400 603,000
* California Coastal Communities, Inc. 63,600 1,020,780
California First National Bancorp 79,100 1,040,956
* California Micro Devices Corp. 137,200 1,846,712
* California Pizza Kitchen, Inc. 102,432 1,933,916
California Water Service Group 91,147 2,593,132
* Caliper Life Sciences, Inc. 199,950 1,061,734
* Callidus Software 125,200 893,928
* Callon Petroleum Corp. 121,600 1,595,392
* Calloways Nursery, Inc. 1,700 280
# Cal-Maine Foods, Inc. 164,000 2,263,200
* Calton, Inc. 29,050 12,491
* CAM Commerce Solutions, Inc. 11,300 213,708
* Cambridge Heart, Inc. 59,500 38,675
Camco Financial Corp. 17,471 $ 250,359
* Candela Corp. 180,702 1,879,301
*# Candies, Inc. 139,221 350,837
* Candlewood Hotel Co., Inc. 3,100 175
* Cannon Express, Inc. Class A 50 9
* Cannondale Corp. 67,700 9,478
* Cantel Medical Corp. 69,756 1,199,803
* Canterbury Consulting Group, Inc. 8,928 7,366
* Canyon Resources Corp. 176,800 576,368
Capital Corp. of the West 12,533 451,188
* Capital Crossing Bank 43,400 2,751,560
* Capital Pacific Holdings, Inc. 87,000 350,175
* Capital Senior Living Corp. 177,900 916,185
Capitol Bancorp, Ltd. 40,500 1,021,410
* Caprius, Inc. 2,010 402
* Capstone Turbine Corp. 32,637 91,057
* Captaris, Inc. 173,200 1,047,860
* Captiva Software Corp. 44,400 447,108
* Caraustar Industries, Inc. 152,389 2,038,965
* Cardiac Sciences, Inc. 418,981 1,047,452
* Cardima, Inc. 5,700 4,902
* CardioDynamics International Corp. 256,941 1,690,672
*# CardioGenesis Corp. 245,400 164,418
* Cardiotech International, Inc. 117,160 439,350
* CareCentric, Inc. 33,815 27,052
* Career Blazers, Inc. Trust Units 4,360 0
* Carmike Cinemas, Inc. 35,919 1,314,635
Carpenter Technology Corp. 88,100 2,680,002
* Carreker Corp. 131,700 1,202,421
* Carriage Services, Inc. Class A 110,700 570,105
* Carrier Access Corp. 178,473 1,984,620
* Carrington Laboratories, Inc. 73,900 317,031
*# Carrizo Oil & Gas, Inc. 83,000 702,180
Cascade Corp. 116,650 2,852,092
Cascade Natural Gas Corp. 98,400 1,955,208
* Casella Waste Systems, Inc.
Class A 121,876 1,703,826
Cash America International, Inc. 150,240 3,030,341
* Castle (A.M.) & Co. 74,225 630,170
Castle Energy Corp. 50,800 551,942
* Casual Male Retail Group, Inc. 189,800 1,290,640
* Catalina Lighting, Inc. 11,080 118,764
* Catalyst International, Inc. 74,700 104,580
* Catalyst Semiconductor, Inc. 56,500 453,130
* Catalytica Energy Systems, Inc. 36,600 122,610
* Catapult Communications Corp. 69,718 1,151,044
Cato Corp. Class A 105,100 2,315,353
* Cavalier Homes, Inc. 148,500 837,540
# Cavalry Bancorp, Inc. 300 4,518
* Cavco Industries, Inc. 11,506 436,526
CB Bancshares, Inc. HI 3,748 317,156
CCA Industries, Inc. 34,700 268,925
* CCC Information Services Group,
Inc. 13,100 189,688
* CD Warehouse, Inc. 5,600 11
* CD&L, Inc. 13,100 18,340
CDI Corp. 93,270 3,095,631
* Celadon Group, Inc. 74,800 1,078,616
* Celebrity, Inc. Escrow Shares 13,500 0
Celeritek, Inc. 67,010 235,875
* Cell Genesys, Inc. 234,905 2,414,823
</Table>
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<Caption>
SHARES VALUE+
------ ------
*# Cell Therapeutics, Inc. 212,165 $ 1,485,155
* Cellegy Pharmaceuticals, Inc. 178,700 725,522
* CellStar Corp. 107,884 652,698
* Centene Corp. 67,950 2,449,597
Center Bancorp, Inc. 5,250 61,635
Center Finl CO 14,656 216,176
*# CenterSpan Communication Corp. 38,300 3,255
* Centillium Communications, Inc. 200,849 662,802
* Centra Software, Inc. 144,282 314,535
Central Bancorp, Inc. 10,000 355,500
*# Central European Distribution Corp. 58,301 1,765,354
* Central Garden & Pet Co. 74,924 2,784,925
Central Pacific Financial Corp. 85,200 2,061,840
Central Parking Corp. 45,932 849,283
Central Vermont Public Service
Corp. 140,100 2,733,351
Centrue Financial Corp 3,000 83,190
* Century Aluminum Co. 113,400 2,627,478
Century Bancorp Income Class A 7,600 248,520
* Century Business Services, Inc. 177,515 731,362
* Cenveo, Inc. 255,900 790,731
* Cepheid, Inc. 224,795 2,056,874
* Ceradyne, Inc. 119,856 3,987,609
Cerberonics, Inc. Class A 3,500 32,410
* Ceres Group, Inc. 72,400 450,328
* Cerus Corp. 117,200 251,980
* CEVA, Inc. 24,400 195,200
CFS Bancorp, Inc. 63,599 861,766
* Chad Therapeutics 9,300 39,525
* Champion Enterprises, Inc. 304,000 2,842,400
Champion Industries, Inc. 92,800 425,024
* Championship Auto Racing Teams,
Inc. 29,900 3,498
* Champps Entertainment, Inc. 109,710 983,989
* Channell Commercial Corp. 21,100 94,950
* Charles and Colvard, Ltd. 70,900 416,892
* Charles River Associates, Inc. 48,100 1,632,033
* Charlotte Russe Holding, Inc. 116,200 2,148,538
* Charming Shoppes, Inc. 295 2,525
* Chart Industries 151 4,530
Chase Corp. 24,200 358,160
* Chattem, Inc. 176,400 4,688,712
* Chaus (Bernard), Inc. 1,760 1,760
* Checkers Drive-In Restaurant, Inc. 65,100 667,275
* Checkpoint Systems, Inc. 153,900 2,656,314
Chemed Corp. 58,900 2,781,258
* Cheniere Energy, Inc. 89,400 1,349,940
Cherokee, Inc. 20,200 464,600
Chesapeake Corp. 92,822 2,016,094
Chesapeake Utilities Corp. 53,375 1,245,239
Chester Valley Bancorp 7,535 154,091
* Chicago Pizza & Brewery, Inc. 106,048 1,423,164
Chicago Rivet & Machine Co. 20,000 582,900
* Children's Place Retail Stores, Inc. 91,862 2,175,292
* Childtime Learning Centers, Inc. 31,700 84,639
*# ChipPAC, Inc. 291,700 1,896,050
* Cholestech Corp. 114,500 1,093,475
* Chordiant Software, Inc. 216,845 839,190
Christopher & Banks Corp. 20,100 381,900
*# ChromaVision Medical Systems, Inc. 44,200 59,228
* Chromcraft Revington, Inc. 100,600 1,423,490
* Chronimed, Inc. 117,900 $ 872,460
Churchill Downs, Inc. 17,700 670,476
* Ciber, Inc. 263,664 2,346,610
* Cima Laboratories, Inc. 63,000 2,036,160
* Ciphergen Biosystems, Inc. 154,676 1,208,020
* Ciprico, Inc. 49,200 229,026
CIRCOR International, Inc. 58,211 1,143,264
* Cirrus Logic, Inc. 107,724 800,389
Citizens South Banking Corp. 7,175 92,916
*# Citizens, Inc. Class A 202,959 1,384,180
City Holding Co. 90,107 2,705,012
* CKE Restaurants, Inc. 440,500 4,457,860
* Clark, Inc. 93,900 1,641,372
* Clarus Corp. 142,550 1,690,643
*# Clayton Williams Energy, Inc. 67,800 1,555,332
*# Clean Harbors, Inc. 97,800 712,962
* Clearone Communications, Inc. 33,600 197,400
* Cleveland Cliffs, Inc. 57,760 2,708,366
* ClickAction, Inc. Escrow 45,200 2,260
Clinical Data Inc. 5,890 66,439
* Closure Medical Corp. 76,892 1,916,149
* CNA Surety Corp. 60,880 633,152
*# CNE Group, Inc. 2,900 1,189
CNS, Inc. 140,800 1,417,856
Coachmen Industries, Inc. 95,600 1,544,896
* Coast Dental Services, Inc. 19,133 59,312
Coast Distribution System 40,600 259,434
* Coastcast Corp. 75,000 161,250
CoBiz, Inc. 29,475 407,934
* Cobra Electronics Corp. 117,200 1,051,284
*# Coeur d'Alene Mines Corp. 157,700 739,613
* Cogent Communications Group, Inc. 14,529 5,812
* Cognitronics Corp. 82,975 293,731
Cohu, Inc. 115,779 2,194,012
*# Coinstar, Inc. 115,100 2,002,740
* Coldwater Creek, Inc. 132,525 3,526,490
Cole (Kenneth) Productions, Inc.
Class A 41,300 1,352,575
* Cole National Corp. Class A 104,300 2,368,653
* Collagenex Pharmaceuticals, Inc. 90,500 888,710
* Collins & Aikman Corp. 237,820 1,262,824
Collins Industries, Inc. 65,725 375,290
Columbia Bancorp 1,700 48,790
Columbia Banking System, Inc. 135,528 2,875,904
* Columbia Laboratories, Inc. 239,850 733,941
* Columbus McKinnon Corp. 116,300 616,274
* Comarco, Inc. 63,800 454,256
* Comdial Corp. 7,312 19,011
* Comforce Corp. 108,466 214,763
* Comfort Systems USA, Inc. 336,100 2,369,505
*# Commerce One, Inc. 56,200 57,324
Commercial Bancshares, Inc. 33,803 863,667
Commercial National Financial Corp. 1,600 40,400
* Commonwealth Industries, Inc. 143,900 1,287,905
Communications Systems, Inc. 118,400 935,360
Community Bank System, Inc. 105,700 2,327,514
Community Banks, Inc. 714 19,835
Community Bankshares, Inc. 2,730 50,778
Community Trust Bancorp, Inc. 53,670 1,672,894
Community West Bancshares 23,200 196,620
* Competitive Technologies, Inc. 102,100 372,665
</Table>
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<Caption>
SHARES VALUE+
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* Compex Technologies, Inc. 100,400 $ 600,392
* Compucom Systems, Inc. 270,682 1,215,362
*# Compudyne Corp. 43,321 431,044
* Computer Access Technology Corp. 160,200 744,930
* Computer Horizons Corp. 298,100 1,064,217
* Computer Network Technology Corp. 145,400 878,216
Computer Programs & Systems, Inc. 36,095 699,882
* Computer Task Group, Inc. 174,600 759,510
* CompX International, Inc. 9,500 154,375
* Comstock Resources, Inc. 200,900 3,778,929
* Comtech Telecommunications Corp. 101,225 1,795,731
*# Concepts Direct, Inc. 3,400 603
* Conceptus, Inc. 137,073 1,429,671
* Concord Camera Corp. 149,786 462,839
* Concord Communications, Inc. 96,300 1,099,746
* Concur Technologies, Inc. 174,851 1,898,882
* Concurrent Computer Corp. 331,400 669,428
* Congoleum Corp. Class A 35,500 79,875
* Conmed Corp. 38,000 967,100
Connecticut Water Services, Inc. 93,287 2,346,075
*# Connetics Corp. 126,600 2,705,442
* Conrad Industries, Inc. 18,700 42,486
* Consolidated Graphics, Inc. 84,300 3,384,645
Consolidated Tokoma Land Co. 28,400 949,980
* Consumer Portfolio Services, Inc. 3,000 13,470
* Continental Materials Corp. 14,900 436,421
*# Convera Corp. 179,214 508,968
* Convergence Systems, Inc. 13 585
Cooperative Bankshares, Inc. 5,500 126,500
*# Copper Mountain Networks, Inc. 33,470 424,734
*# Corautus Genetics, Inc. 3,614 20,780
* Core Molding Technologies, Inc. 39,597 138,589
* Corillian Corp. 198,300 955,806
*# Corinthian Colleges, Inc. 22,328 634,338
* Corio, Inc. 329,923 745,626
*# Corixa Corp. 300,059 1,521,299
* Cornell Companies, Inc. 91,400 1,220,190
* Correctional Services Corp. 114,441 354,767
* Corrpro Companies, Inc. 42,775 71,006
* Corvel Corp. 18,600 432,078
* Cosine Communications, Inc. 50,379 200,508
* CoStar Group, Inc. 71,700 2,966,946
* Cost-U-Less, Inc. 13,600 78,472
Cotton States Life Insurance Co. 22,500 447,187
Courier Corp. 94,212 3,677,094
* Covansys Corp. 145,000 1,577,600
* Covenant Transport, Inc. Class A 91,000 1,425,970
* Cover-All Technologies, Inc. 9,432 5,188
* Covista Communications, Inc. 21,500 64,500
CPAC, Inc. 51,978 300,953
* CPI Aerostructures, Inc. 27,933 298,883
CPI Corp. 39,200 608,384
Craftmade International, Inc. 62,150 1,292,720
Crawford & Co. Class A 94,400 460,672
Crawford & Co. Class B 132,500 655,875
* Cray, Inc. 146,815 1,156,902
*# Credence Systems Corp. 40,967 573,948
* Credit Acceptance Corp. 80,302 1,208,545
* Critical Path, Inc. 40,410 76,779
* Criticare Systems, Inc. 59,800 185,380
* Cross (A.T.) Co. Class A 130,300 734,892
* Cross Country Healthcare, Inc. 170,031 $ 2,824,215
* Crossroads Systems, Inc. 132,178 240,828
* Crown Andersen, Inc. 11,600 20,300
* Crown Financial Group, Inc. 72,600 87,120
* Crown Media Holdings, Inc. 18 163
* Crown Resources Corp. 13,540 26,268
*# Cryolife, Inc. 148,450 757,095
* CSK Auto Corp. 82,800 1,420,020
* CSP, Inc. 78,328 564,040
CSS Industries, Inc. 32,250 1,125,525
CT Communications, Inc. 92,574 1,268,264
CTS Corp. 192,519 2,098,457
Cubic Corp. 157,650 3,548,701
* Cubist Pharmaceuticals, Inc. 217,131 2,158,282
* Culp, Inc. 152,480 1,128,352
* CUNO, Inc. 5,450 250,046
* CuraGen Corp. 261,981 1,309,905
* Curative Health Services Inc. 76,900 808,988
* Curis, Inc. 220,550 983,432
Cutter & Buck, Inc. 111,600 1,156,176
* CV Therapeutics, Inc. 166,828 2,182,110
* Cyberguard Corp. 126,430 1,069,598
* Cyberonics, Inc. 123,876 2,430,447
* Cyberoptics Corp. 58,800 1,229,508
* Cybersource Corp. 517,800 4,375,410
* Cybex International, Inc. 75,950 284,053
*# Cycle Ctry Acc 20,800 111,280
* Cygnus, Inc. 5,600 1,456
* Cytogen Corp. 74,645 970,385
* Cytrx Corp. 6,400 7,808
D & K Healthcare Resources, Inc. 103,900 1,243,683
* D A Consulting Group, Inc. 55,900 307
D&E Communications, Inc. 34,700 449,712
* Daily Journal Corp. 200 6,600
* Daktronics, Inc. 167,200 3,904,120
*# Dan River, Inc. Class A 214,700 23,080
* Danielson Holding Corp. 102,553 978,356
* Darling International, Inc. 368,800 1,272,360
* Data I/O Corp. 77,000 220,220
* Data Systems & Software, Inc. 86,500 144,455
* Datakey, Inc. 11,700 8,775
* Datalink Corp. 51,500 187,975
* Dataram Corp. 83,650 673,382
Datascope Corp. 79,833 2,772,600
* Datastream Systems, Inc. 126,600 792,516
*# Datatec Systems, Inc. 6,100 3,141
* DataTRAK International, Inc. 28,900 319,345
* Datawatch Corp. 18,488 78,019
* Dave and Busters, Inc. 121,200 2,266,440
* Dawson Geophysical Co. 41,200 611,820
* Daxor Corp. 46,300 974,615
Deb Shops, Inc. 100,300 2,406,197
* Deckers Outdoor Corp. 64,900 1,622,500
* Decora Industries, Inc. 9,400 54
Decorator Industries, Inc. 20,587 164,696
* Del Global Technologies Corp. 79,121 180,000
* Del Laboratories, Inc. 168,357 4,848,682
* Delphax Technologies, Inc. 52,900 338,560
Delta Apparel, Inc. 38,640 872,491
* Delta Financial Corp. 80,400 489,636
Delta Natural Gas Co., Inc. 18,800 436,536
</Table>
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SHARES VALUE+
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* Delta Woodside Industries, Inc. 51,000 $ 68,850
Deltic Timber Corp. 65,200 2,313,296
* Denali, Inc. 33,100 3,310
* Dendreon Corp. 123,065 1,347,562
* Dendrite International, Inc. 153,700 2,580,623
* Department 56, Inc. 115,950 1,832,010
*# DepoMed, Inc. 304,150 2,314,581
* Detrex Corp. 10,200 16,065
* Devcon International Corp. 29,000 333,500
* DHB Industries, Inc. 220,000 2,074,600
*# Diametrics Medical, Inc. 105,500 11,605
* DiamondCluster International, Inc. 86,068 833,999
* Diedrich Coffee, Inc. 28,025 110,699
* Digene Corp. 47,700 1,860,777
* Digi International, Inc. 149,333 1,551,570
* Digimarc Corp. 113,694 1,284,742
*# Digital Angel Corp. 155,800 501,676
*# Digital Generation Systems, Inc. 314,100 455,445
* Digital Impact, Inc. 167,200 297,616
*# Digital Insight Corp. 116,900 2,258,508
*# Digital Lightwave, Inc. 59,200 97,088
* Digitas, Inc. 157,061 1,452,814
Dime Community Bancorp, Inc. 36,037 616,233
Dimon, Inc. 240,300 1,477,845
* Diodes, Inc. 131,250 2,865,187
* Directrix, Inc. 8,950 37
* Discovery Partners International 112,392 583,314
* Display Technologies, Inc. 44,255 89
Distributed Energy Systems Corp. 168,461 539,075
* Ditech Communications Corp. 163,310 3,365,819
* Diversa Corp. 232,752 2,190,196
* Diversified Corporate Resources,
Inc. 1,200 1,680
* Dixie Group, Inc. 98,600 1,164,466
* Dixon Ticonderoga Co. 26,750 100,312
* DJ Orthopedics, Inc. 116,900 2,727,277
* DLB Oil & Gas, Inc. 7,600 0
* DocuCorp International, Inc. 103,300 922,469
* Document Sciences Corp. 15,400 81,297
* Dollar Thrifty Automotive Group, Inc. 118,500 3,107,070
* Dominion Homes, Inc. 44,100 1,345,491
Donegal Group, Inc. Class A 38,280 803,114
Donegal Group, Inc. Class B 19,140 392,753
* Dot Hill Systems Corp. 152,926 1,452,797
* DOV Pharmaceutical, Inc. 89,243 1,344,000
Dover Downs Gaming &
Entertainment, Inc. 3,570 38,270
Dover Motorsports, Inc. 76,300 350,217
*# DPAC Technologies Corp. 203,600 160,437
* Drew Industries, Inc. 94,000 3,501,500
*# Drexler Technology Corp. 104,450 1,775,650
* Dril-Quip, Inc. 93,400 1,542,968
* Driver-Harris Co. 9,898 297
* DRS Technologies, Inc. 12,774 357,544
* Drugstore.com, Inc. 383,429 1,779,111
* DSP Group, Inc. 55,600 1,463,392
* DT Industries, Inc. 101,500 3,299
* Duane Reade, Inc. 108,200 1,785,300
* Duckwall-ALCO Stores, Inc. 41,000 706,840
* Ducommun, Inc. 93,900 1,770,015
* DuPont Photomasks, Inc. 97,090 2,143,747
* Dura Automotive Systems, Inc. 83,200 $ 787,072
* DuraSwitch Industries, Inc. 8,800 26,303
* Duratek, Inc. 124,000 1,612,000
*# Durect Corp. 235,745 832,180
*# DUSA Pharmaceuticals, Inc. 86,335 911,698
* DVI, Inc. 79,900 1,318
* Dyax Corp. 162,200 1,597,670
*# Dynacq Healthcare, Inc. 67,234 423,574
* Dynamex, Inc. 61,100 802,854
* Dynamic Materials Corp. 14,700 44,982
* Dynamics Research Corp. 66,100 1,084,701
*# E Com Ventures, Inc. 10,825 100,131
* E-Loan, Inc. 327,919 800,122
E-Z-EM, Inc. 86,424 1,616,129
* E.piphany, Inc. 336,245 1,580,351
Eastern Co. 33,900 533,586
* EasyLink Services Corp. 27,519 35,224
* Echelon Corp. 219,298 2,353,068
* eCollege.com 134,700 2,267,001
Ecology & Environment, Inc. Class A 13,900 139,000
Edelbrock Corp. 49,070 738,503
*# EDGAR Online, Inc. 14,400 14,112
* Edge Petroleum Corp. 69,246 959,057
* Edgewater Technology, Inc. 70,674 437,472
Edo Corp. 107,500 2,309,100
Educational Development Corp. 15,400 167,783
EFC Bancorp, Inc. 15,800 375,250
* EFJ, Inc. 9,000 74,700
* eFunds Corp. 43,388 694,642
* El Paso Electric Co. 15,000 216,750
* Elcom International, Inc. 23,500 3,760
Electro Rent Corp. 70,717 773,644
* Electro Scientific Industries, Inc. 74,818 1,708,095
Electro Sensors, Inc. 3,450 15,559
* Electroglas, Inc. 115,400 605,850
* Electronics Boutique Holdings Corp. 44,000 1,212,640
* Elizabeth Arden, Inc. 134,055 2,954,572
ElkCorp 105,900 2,626,320
* eLoyalty Corp. 10,200 64,566
* ELXSI Corp. 7,100 25,915
* Embarcadero Technologies, Inc. 140,102 1,587,356
* Embrex, Inc. 120,100 1,546,888
EMC Insurance Group, Inc. 85,100 1,725,828
* Emcor Group, Inc. 79,700 3,377,686
* EMCORE Corp. 196,191 580,725
* Emerging Vision, Inc. 145,200 18,876
* Emeritus Corp. 145,800 831,060
* Emerson Radio Corp. 144,178 482,996
* Emisphere Technologies, Inc. 98,947 502,651
# Empire District Electric Co. 136,300 2,728,726
* EMS Technologies, Inc. 115,299 2,508,906
* En Pointe Technologies, Inc. 57,200 108,108
* Encore Capital Grooup, Inc. 26,845 409,118
* Encore Medical Corp. 175,250 1,223,245
* Encore Wire Corp. 146,150 4,452,460
* Encysive Pharmaceuticals, Inc. 284,640 2,617,265
* Endocardial Solutions, Inc. 118,000 1,148,140
*# Endocare, Inc. 71,300 212,117
* Endologix, Inc. 168,588 832,825
* Energy Conversion Devices, Inc. 129,167 1,618,463
* Energy Partners, Ltd. 176,800 2,346,136
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Energy West, Inc. 7,750 $ 50,762
EnergySouth, Inc. 50,950 1,855,599
* Enesco Group, Inc. 122,400 1,178,712
* ENGlobal Corp. 3,900 6,513
* Enherent Corp. 19,400 2,910
*# Enlighten Software Solutions, Inc. 12,300 25
Ennis Business Forms, Inc. 222,300 3,434,535
* EnPro Industries, Inc. 109,800 2,123,532
* Enterrasys Networks, Inc. 56,900 111,524
* Entravision Communications Corp. 3,705 30,010
* Entremed, Inc. 195,990 417,459
* Entrust, Inc. 342,020 1,573,292
* Environmental Elements Corp. 43,600 6,758
* Environmental Technologies Corp. 39,700 278
* Environmental Tectonics Corp. 59,500 440,300
* Enzo Biochem, Inc. 159,165 2,126,444
*# EP Medsystems, Inc. 193,300 560,570
* Epicor Software Corp. 397,428 5,321,561
*# Epimmune, Inc. 66,570 113,835
* EPIQ Systems, Inc. 95,475 1,396,799
* EPIX Medical, Inc. 122,746 2,998,685
* ePlus, Inc. 44,180 520,440
* ePresence, Inc. 191,500 773,660
*# Equimed Inc. Nevis 6,533 1
* Equinix, Inc. 17,203 541,034
* Equity Marketing, Inc. 58,100 746,004
* Equity Oil Co. 131,100 557,175
* Ergo Science Corp. 36,350 87,240
ESB Financial Corp. 94,531 1,198,653
* Esco Technologies, Inc. 89,476 4,411,167
Espey Manufacturing & Electronics
Corp. 20,500 463,505
* ESS Technology, Inc. 208,393 2,388,184
* Esterline Technologies Corp. 112,600 2,835,268
* Ethyl Corp. 90,900 1,824,363
* Euronet Worldwide, Inc. 154,672 3,555,909
* European Micro Holdings, Inc. 5,900 339
* Evans & Sutherland Computer Corp. 99,800 497,503
* Evans Systems, Inc. 6,000 540
* Evercel, Inc. 5,866 2,258
*# Evergreen Solar, Inc. 48,700 147,561
* Everlast Worldwide, Inc. 5,600 15,120
EverTrust Financial Group, Inc. 6,150 119,679
* Evolving Systems, Inc. 71,600 284,968
*# Exabyte Corp. 2,600 2,158
* Exact Sciences Corp. 131,272 829,639
* Exactech, Inc. 76,400 1,528,000
* Excel Technology, Inc. 81,922 2,641,984
* Exelixis, Inc. 363,574 3,352,152
* Exponent, Inc. 69,800 1,740,114
* Extended Systems, Inc. 11,600 57,652
* EXX, Inc. Class A 1,900 3,724
* EXX, Inc. Class B 100 220
*# Ezcorp, Inc. Class A Non-Voting 91,900 747,147
* Ezenia! Inc. 2,900 2,030
* Fab Industries, Inc. 40,200 140,700
*# Factory 2-U Stores, Inc. 79,293 74,535
* Fairchild Corp. Class A 148,529 668,380
* Falcon Products, Inc. 78,825 295,594
*# FalconStor Software, Inc. 249,318 1,725,281
* Famous Dave's of America, Inc. 65,200 513,254
* Fargo Electronics 99,400 $ 1,129,184
* Faro Technologies, Inc. 73,100 1,954,694
* Featherlite, Inc. 52,400 235,276
Fedders Corp. 161,382 716,536
Federal Screw Works 33,750 1,258,875
* Female Health Co. 44,000 138,600
FFLC Bancorp 32,700 831,561
* Fibermark, Inc. 68,625 6,862
*# Fiberstars, Inc. 37,200 317,279
Fidelity Bancorp, Inc. PA 587 12,532
Fidelity Bankshares, Inc. 81,336 2,752,410
* Fidelity Federal Bancorp 21,340 35,851
Fidelity Southern Corp. 82,500 1,113,750
* Financial Federal Corp. 100,000 3,124,000
* Financial Industries Corp. 9,148 104,745
* Findwhat.Com 118,400 2,742,144
* Finisar Corp. 28,600 56,914
* Finishmaster, Inc. 64,800 659,340
* Finlay Enterprises, Inc. 79,800 1,562,484
* Firebrand Financial Group, Inc. 75,400 2,714
First Albany Companies, Inc. 35,519 371,884
* First Aviation Services, Inc. 1,700 8,262
First Bancorp 34,014 1,037,427
* First Cash Financial Services, Inc. 120,900 2,490,540
First Charter Corp. 79,304 1,660,626
First Community Bancorp 71,059 2,579,442
First Community Bancshares, Inc. 5,217 140,859
* First Consulting Group, Inc. 134,934 704,355
First Defiance Financial Corp. 68,292 1,708,666
First Federal Bancshares of
Arkansas, Inc. 46,800 945,360
First Federal Capital Corp. 118,046 3,203,768
First Financial Holdings, Inc. 122,500 3,613,750
First Franklin Corp. 600 11,100
* First Horizon Pharmaceutical Corp. 189,776 3,363,780
First Indiana Corp. 123,300 2,432,709
* First Investors Financial Services
Group, Inc. 43,200 236,304
First Keystone Financial, Inc. 16,500 445,500
First M&F Corp. 3,000 99,270
* First Mariner Bank Corp. 16,400 292,412
First Merchants Corp. 95,027 2,283,499
First Midwest Financial, Inc. 16,500 369,600
First Mutual Bancshares, Inc. 29,471 683,432
First Oak Brook Bancshares, Inc.
Class A 30,000 870,000
# First PacTrust Bancorp, Inc. 12,213 263,190
First Place Financial Corp. 66,643 1,095,611
First Republic Bank 106,500 4,340,940
First SecurityFed Financial, Inc. 28,500 1,007,475
First Sentinel Bancorp, Inc. 123,683 2,582,501
First State Bancorporation 38,263 1,214,085
First United Corp. 17,500 366,800
* First Virtual Communications, Inc. 28,021 44,273
First Years, Inc. 94,000 1,574,500
Firstbank Corp. 6,615 175,628
FirstBank NW Corp. 16,097 422,546
* FirstCity Financial Corp. 20,200 157,560
* Firstwave Technologies, Inc. 19,200 57,408
* Fischer Imaging Corp. 60,600 178,770
Flag Financial Corp. 35,200 440,000
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Flamemaster Aerospace Corp.
Restricted 4 $ 0
Flamemaster Corp. 278 1,162
* Flanders Corp. 251,600 1,798,940
Flanigan's Enterprises, Inc. 20,600 129,780
* Fleetwood Enterprises, Inc. 211,500 2,834,100
*# Fleming Companies, Inc. 23,815 113
Flexsteel Industries, Inc. 60,900 1,316,658
* Florida Banks, Inc. 25,400 532,384
Florida Public Utilities Co. 22,800 433,200
* Flow International Corp. 151,900 425,320
Flushing Financial Corp. 175,312 3,069,713
FMS Financial Corp. 8,400 142,800
FNB Corp. 10,700 207,580
FNB Financial Services Corp. 8,500 157,250
*# Foamex International, Inc. 110,129 494,479
* FOCUS Enhancements, Inc. 28,188 38,843
* Foodarama Supermarkets, Inc. 20,700 833,175
Foothill Independent Bancorp 43,014 877,916
*# Footstar, Inc. 83,700 364,095
* Forgent Networks, Inc. 263,300 337,024
* Forrester Research, Inc. 117,181 2,146,756
* Forward Air Corp., Inc. 78,997 2,437,057
* Foster (L.B.) Co. Class A 120,700 941,460
* Fountain Powerboat Industries, Inc. 35,700 171,360
*# FPIC Insurance Group, Inc. 55,200 1,490,400
Frankfort First Bancorp, Inc. 5,750 122,820
* Frankfort Tower Industries, Inc. 150,400 752
# Franklin Bancorp, Inc. 26,469 526,733
* Franklin Covey Co. 181,100 443,695
* Franklin Electronic Publishers, Inc. 81,300 347,964
* FreeMarkets, Inc. 203,650 1,388,893
Frequency Electronics, Inc. 89,500 1,256,580
Fresh Brands, Inc. 59,300 489,877
* Fresh Choice, Inc. 50,000 83,000
* Friede Goldman Halter, Inc. 1,122 2
Friedman Industries, Inc. 152,703 595,542
Friedmans, Inc. Class A 131,900 416,804
* Friendly Ice Cream Corp. 24,500 322,910
Frisch's Restaurants, Inc. 63,868 1,823,431
* Frontier Airlines, Inc. 186,166 1,731,344
Frontier Oil Corp. 233,300 4,612,341
* Frozen Food Express Industries, Inc. 161,875 1,108,844
FSF Financial Corp. 17,800 615,880
* FSI International, Inc. 158,102 1,089,323
*# FuelCell Energy, Inc. 158,050 2,508,253
*# FX Energy, Inc. 120,900 1,011,933
* G-III Apparel Group, Ltd. 61,470 554,152
GA Financial, Inc. 37,000 1,295,740
*# Gadzooks, Inc. 81,000 143,775
* Gaiam, Inc. 3,551 21,590
* Galaxy Nutritional Foods, Inc. 37,700 73,515
*# Galey & Lord, Inc. 45,000 225
*# Galyan's Trading Co. 91,297 917,535
GameTech International, Inc. 70,200 316,602
*# Gardenburger, Inc. 33,700 7,414
* Gardner Denver Machinery, Inc. 102,212 2,676,932
* Gateway Industries, Inc. 11,120 10,342
GB & T Bancshares, Inc. 1,400 38,178
* GC Companies, Inc. 400 250
* Gehl Co. 49,800 846,102
* Genaera Corp. 178,100 $ 635,817
* Genaissance Pharmaceuticals, Inc. 123,555 538,576
Gencorp, Inc. 235,900 2,679,824
* Gene Logic, Inc. 254,260 1,001,784
* Genelabs Technologies, Inc. 461,180 1,199,068
* General Binding Corp. 40,700 546,601
* General Cable Corp. 210,000 1,682,100
* General Communications, Inc.
Class A 297,000 2,355,210
* General DataComm Industries, Inc. 8,000 2,800
* General Employment Enterprises,
Inc. 17,700 27,523
* Genesco, Inc. 117,700 2,954,270
* Genesee & Wyoming, Inc. 106,450 2,433,447
* Genesee Corp. Class B 800 3,060
* Genesis HealthCare Corp. 17,909 463,664
* Genesis Microchip, Inc. 84,281 1,361,138
* Genlyte Group, Inc. 3,357 197,291
* Genta, Inc. 2,600 5,980
* Gentek, Inc. 70,400 282
*# Genus, Inc. 215,200 559,305
* GenVec, Inc. 275,902 871,850
* Gerber Scientific, Inc. 116,600 727,584
*# Geron Corp. 208,391 1,535,842
Gevity HR, Inc. 181,100 4,746,631
* Giant Group, Ltd. 28,300 67,212
* Giant Industries, Inc. 78,200 1,463,904
Gibraltar Steel Corp. 22,600 654,270
* Giga-Tronics, Inc. 49,100 78,069
Glacier Bancorp, Inc. 129,400 3,418,748
* Glacier Water Services, Inc. 24,500 452,270
Glatfelter (P.H.) Co. 194,400 2,379,456
* Glenayre Technologies, Inc. 350,734 887,357
* Global e-Point, Inc. 18,731 73,987
* Global Imaging Systems, Inc. 95,100 3,220,086
* Global Payment Technologies, Inc. 52,900 194,143
* Global Power Equipment Group, Inc. 244,800 1,623,024
* Globecomm Systems, Inc. 96,000 562,560
*# Glowpoint, Inc. 132,239 286,959
* GoAmerica, Inc. 10,940 9,835
Gold Banc Corp. 202,734 3,320,783
Golden Enterprises, Inc. 61,900 180,129
* Golden State Vintners, Inc. 47,200 385,624
* Goodrich Petroleum Corp. 87,700 723,525
Goody's Family Clothing, Inc. 164,500 1,964,130
*# GoRemote Internet Communications,
Inc. 165,000 330,000
Gorman-Rupp Co. 54,600 1,446,900
* Gottschalks, Inc. 129,300 669,774
*# GP Strategies Corp. 109,400 820,500
* Gradco Systems, Inc. 2,556 25,049
Graham Corp. 12,350 135,850
Gray Television, Inc. Class A 41,200 527,360
* Great Atlantic & Pacific Tea Co., Inc. 208,000 1,441,440
Great Southern Bancorp, Inc. 39,700 2,212,084
Greater Communications Bancorp 2,925 41,096
* Green Mountain Coffee, Inc. 59,700 1,200,567
Green Mountain Power Corp. 59,100 1,519,461
* Greenbriar Corp. 3,430 9,861
* Greenbrier Companies, Inc. 126,600 2,181,318
Greene County Bancshares, Inc. 3,900 81,705
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Greens Worldwide, Inc. 11,563 $ 260
* Grey Wolf, Inc. 15,000 54,750
* Griffin Land & Nurseries, Inc.
Class A 23,400 591,903
* Griffon Corp. 211,150 4,915,572
* Gristede's Foods, Inc. 30,639 26,043
* Group 1 Software, Inc. 169,130 3,866,312
* Grubb & Ellis Co. 177,552 179,328
GS Financial Corp. 6,400 121,280
* GSI Commerce, Inc. 216,661 1,776,620
*# GSV, Inc. 9,540 1,145
* GTC Biotherapeutics, Inc. 145,853 239,199
* GTSI Corp. 84,700 1,009,624
Guaranty Bancshares, Inc. 1,600 30,600
Guaranty Federal Bancshares, Inc. 17,100 336,870
* Guess, Inc. 201,500 3,103,100
*# Guilford Pharmaceuticals, Inc. 179,853 1,115,089
Gulf Island Fabrication, Inc. 88,600 1,683,400
* Gulfmark Offshore, Inc. 128,600 1,729,670
* Gymboree Corp. 225,300 3,287,127
* Ha-Lo Industries, Inc. 8,600 12
* Haemonetics Corp. 104,300 2,836,960
Haggar Corp. 58,500 1,179,360
* Hain Celestial Group, Inc. 22,700 401,790
* Halifax Corp. 8,650 38,925
* Hall Kinion Associates, Inc. 69,800 288,972
* Hammons (John Q.) Hotels, Inc.
Class A 49,700 467,180
* Hampshire Group, Ltd. 12,700 368,046
Hancock Fabrics, Inc. 182,600 2,121,812
Handleman Co. 126,405 2,831,472
* Hanger Orthopedic Group, Inc. 174,800 2,884,200
Hanmi Financial Corp. 19,000 500,650
Hardinge, Inc. 83,500 993,650
Harleysville Group, Inc. 35,200 664,928
Harleysville National Corp. 4,390 109,530
* Harmonic, Inc. 244,540 1,562,611
* Harolds Stores, Inc. 41,537 104,673
* Harris Interactive, Inc. 372,043 2,768,000
Harrodsburg First Financial Bancorp,
Inc. 3,700 72,057
* Hartmarx Corp. 295,600 1,782,468
* Harvard Bioscience, Inc. 158,635 745,585
* Harvest Natural Resources, Inc. 487,800 6,195,060
* Hastings Entertainment, Inc. 77,600 603,650
* Hastings Manufacturing Co. 13,700 35,278
* Hauppauge Digital, Inc. 90,200 573,762
Haverty Furniture Co., Inc. 40,000 702,000
Haverty Furniture Co., Inc. Class A 12,000 216,600
*# Hawaiian Holdings, Inc. 588,481 2,854,133
* Hawk Corp. 64,400 336,490
Hawkins, Inc. 92,485 1,110,745
* Hawthorne Financial Corp. 66,300 2,335,749
* Headwaters, Inc. 22,100 461,890
* HealthAxis, Inc. 5,710 12,505
Healthcare Services Group, Inc. 157,400 2,445,996
* HealthExtras, Inc. 244,614 3,730,364
* HealthStream, Inc. 14,400 31,104
Heartland Financial USA, Inc. 8,092 141,610
* Hector Communications Corp. 24,700 494,000
* HEI, Inc. 24,700 62,985
Heico Corp. 69,600 $ 1,023,816
Heico Corp. Class A 51,185 605,007
* Heidrick & Struggles International,
Inc. 100,199 2,799,560
Helix Technology Corp. 138,400 2,751,392
*# Hemispherx Biopharma, Inc. 216,400 750,908
* Heritage Commerce Corp. 8,600 122,034
Heritage Financial Corp. 83,700 1,586,115
* Herley Industries, Inc. 101,850 2,093,018
* Hexcel Corp. 206,000 1,751,000
HF Financial Corp. 29,920 443,714
*# Hi-Shear Technology Corp. 45,350 142,399
* Hi-Tech Pharmacal, Inc. 57,150 1,062,419
* Hibbett Sporting Goods, Inc. 157,612 4,094,760
Hickory Tech Corp. 12,800 143,744
* Hines Horticulture, Inc. 195,700 849,338
Hingham Institution for Savings 5,350 219,350
Hirsch International Corp. Class A 4,550 4,732
HMN Financial, Inc. 33,000 829,290
* HMS Holdings Corp. 167,500 904,500
* Hoenig Group Escrow Shares 61,000 14,030
* Holiday RV Superstores, Inc. 5,910 30
* Hollis-Eden Pharmaceuticals, Inc. 115,892 1,192,529
Holly Corp. 123,600 4,295,100
* Hollywood Media Corp. 117,174 381,987
* Hologic, Inc. 191,700 3,941,352
Home Federal Bancorp 37,400 996,710
* Home Products International, Inc. 64,400 83,076
* HomeStore, Inc. 54,000 225,180
Hooper Holmes, Inc. 344,000 1,926,400
HopFed Bancorp, Inc. 4,500 78,030
Horace Mann Educators Corp. 23,400 396,162
Horizon Financial Corp. 84,960 1,564,963
* Horizon Health Corp. 47,775 1,098,825
* Horizon Medical Products, Inc. 15,800 30,020
* Horizon Offshore, Inc. 190,400 232,288
* Hub Group, Inc. Class A 52,900 1,730,888
Hudson River Bancorp, Inc. 157,804 2,750,524
* Hudson Technologies, Inc. 32,100 34,668
* Huffy Corp. 96,300 111,708
Humboldt Bancorp 63,240 1,180,691
* Hurco Companies, Inc. 48,800 658,312
* Huttig Building Products, Inc. 18,200 150,150
* Hycor Biomedical, Inc. 83,216 436,884
* Hydril Co. 84,829 2,439,682
* Hypercom Corp. 269,600 1,811,712
* HyperFeed Technologies, Inc. 10,730 40,559
* I-Flow Corp. 63,599 860,494
* I-many, Inc. 176,900 221,125
*# I-Sector Corporation 32,000 275,200
*# I-Trax Inc. 72,800 243,880
Iberiabank Corp. 55,800 3,268,206
* Ibis Technology Corp. 56,013 431,300
* icad, Inc. 37,500 132,000
* Ico, Inc. 165,818 353,192
* ICT Group, Inc. 91,700 1,049,048
* ICU Medical, Inc. 102,525 3,415,108
* Identix, Inc. 447,567 3,244,861
* IDT Corp. 117,000 2,058,030
* iGate Capital Corp. 346,700 1,546,282
* IGI, Inc. 16,400 36,080
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Igo Escrow Share 11,200 $ 0
* II-VI, Inc. 114,052 2,940,261
* Illumina, Inc. 175,800 1,114,572
ILX Resorts, Inc. 15,900 160,113
* Image Entertainment, Inc. 172,900 596,505
*# ImageWare Systems, Inc. 7,700 21,483
* IMCO Recycling, Inc. 133,800 1,685,880
* Immersion Corp. 113,789 488,155
*# Immtech International, Inc. 16,200 230,850
* Immucor, Inc. 147,350 4,579,638
* ImmunoGen, Inc. 215,308 1,724,617
* Immunomedics, Inc. 264,379 1,602,137
* IMPAC Medical Systems, Inc. 40,800 476,544
*# Impath, Inc. 70,200 396,630
* Impco Technologies, Inc. 97,600 559,248
* Imperial Sugar Co. 30,617 361,587
*# Imperial Sugar Company 74,200 0
*# Implant Sciences Corp. 38,900 539,932
* Impreso, Inc. 31,500 74,970
* Incyte Genomics, Inc. 385,172 2,761,683
Independence Holding Co. 17,180 564,363
Independent Bank Corp. MA 129,900 3,444,948
Independent Bank Corp. MI 194,831 4,935,069
*# Indevus Pharmaceuticals, Inc. 250,555 2,087,123
* Index Development Partners, Inc. 24,200 1,331
* Indus International, Inc. 159,700 407,235
* Industrial Distribution Group, Inc. 81,400 590,150
* INEI Corp. 20,200 28,280
* Inet Technologies, Inc. 203,531 1,813,461
* Infinity, Inc. 47,052 171,740
*# Infocrossing, Inc. 78,200 1,032,240
* InFocus Corp. 209,746 1,690,553
*# Information Architects Corp. 13,040 3,912
* Information Holdings, Inc. 110,120 2,942,406
* Inforte Corp. 58,350 631,347
* infoUSA, Inc. 340,398 3,063,582
Ingles Market, Inc. Class A 53,409 566,135
* Inkine Pharmaceutical Co., Inc. 9,500 39,045
* Innodata Corp. 94,396 363,425
* Innotrac Corp. 156,400 1,446,700
* Innovative Clinical Solutions, Ltd. 1,310 8
*# Innovative Gaming Corp. 400 4
* Innovative Solutions & Support, Inc. 23,900 477,546
* Innovex, Inc. 130,800 705,012
* Input/Output, Inc. 281,500 1,942,350
* Insight Communications Co., Inc. 53,000 506,680
* Insight Enterprises, Inc. 13,122 240,920
* Insightful Corp. 40,100 172,791
* Insignia Systems, Inc. 60,750 80,798
*# Insite Vision, Inc. 180,600 140,868
* Insituform Technologies, Inc. Class A 140,260 2,145,978
* Insmed, Inc. 202,882 466,426
* Inspire Pharmaceuticals, Inc. 168,904 2,893,326
* Insurance Auto Auctions, Inc. 104,800 1,714,528
* InsWeb Corp. 12,966 61,589
Integra Bank Corp. 91,823 1,927,365
Integral Systems, Inc. 118,700 2,085,559
*# Integral Vision, Inc. 21,100 34,815
* IntegraMed America, Inc. 19,600 142,688
*# Integrated Bio 52,000 722,800
* Integrated Electrical Services, Inc. 189,700 1,707,300
* Integrated Information Systems, Inc. 5,020 $ 628
* Integrated Silicon Solution, Inc. 181,931 2,892,703
* Integrity Media, Inc. 6,400 40,704
* Intelli-Check, Inc. 46,700 349,783
* Intellidata Technologies Corp. 200,500 152,380
* Intelligent Systems Corp. 38,100 70,485
* Intelligroup, Inc. 116,800 460,192
*# Intellisync Corp. 276,414 699,327
Inter Parfums, Inc. 168,600 4,243,662
* Interactive Intelligence, Inc. 64,210 362,787
* InterCept Group, Inc. 106,784 1,590,014
Interchange Financial Services Corp. 74,265 1,704,382
* Interep National Radio Sales, Inc. 18,000 35,100
* Interface, Inc. Class A 246,079 1,722,553
* Interferon Scientific, Inc. 13,480 559
* Interland, Inc. 101,900 296,529
* Interlink Electronics, Inc. 82,000 824,100
* Intermagnetics General Corp. 152,915 4,506,405
Intermet Corp. 238,200 979,002
* InterMune, Inc. 111,828 1,589,076
International Aluminum Corp. 18,500 548,155
* International Microcomputer Software,
Inc. 4,200 5,460
* International Multifoods Corp. 102,400 2,555,904
* International Shipholding Corp. 51,200 727,296
*# Internet Commerce Corp. 13,900 19,321
*# Interpharm Holdings, Inc. 97,800 314,916
* Interphase Corp. 62,700 595,587
Interpool, Inc. 112,600 1,900,125
* Interpore International, Inc. 212,800 3,070,704
Interstate Bakeries Corp. 111,900 1,174,950
* Interstate Hotels & Resorts, Inc. 186,850 999,648
Inter-Tel, Inc. 91,700 2,263,156
* Intervoice, Inc. 189,138 2,649,823
* Interwoven, Inc. 213,629 1,969,659
* Intest Corp. 29,200 167,900
* Intevac, Inc. 108,100 972,900
* IntraBiotics Pharmaceuticals, Inc. 17,329 246,592
* Intrado, Inc. 109,900 1,826,538
* Intraware, Inc. 4,500 8,955
* Introgen Therapeutics, Inc. 140,887 926,896
*# Intrusion, Inc. 20,825 41,213
* Intuitive Surgical, Inc. 113,541 1,877,968
* Inverness Medical Innovations, inc. 2,955 57,297
* Investment Technology Group, Inc. 15,200 207,480
* INVESTools, Inc. 21,050 43,153
Investors Title Co. 19,800 547,569
*# Invision Technologies, Inc. 109,000 5,433,650
* Iomed, Inc. 34,900 102,257
Iomega Corp. 272,791 1,320,308
* Ion Networks, Inc. 23,600 1,888
*# Ionatron, Inc. 133,700 787,493
* Ionics, Inc. 119,700 3,023,622
*# IPIX Corp. 2,000 16,780
* Iridex Corp. 56,300 391,285
*# IRIS International, Inc. 70,250 589,257
Isco, Inc. 98,041 1,561,695
* Isis Pharmaceuticals, Inc. 296,198 1,913,439
*# Island Pacific, Inc. 41,900 33,101
* Isle of Capri Casinos, Inc. 200,100 3,877,938
* Isolagen Inc. 70,100 618,282
</Table>
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<Caption>
SHARES VALUE+
------ ------
* ITLA Capital Corp. 51,800 $ 2,077,180
* Itron, Inc. 154,100 3,180,624
* ITXC Corp. 58,600 138,296
* iVillage, Inc. 48,400 333,476
* Ixia 326,466 3,058,986
* IXYS Corp. 173,983 1,626,741
* J & J Snack Foods Corp. 83,200 3,308,032
* J Net Enterprises, Inc. 75,975 113,963
* J. Alexander's Corp. 104,700 748,605
* J. Jill Group, Inc. 168,450 3,441,434
* j2 Global Communication, Inc. 122,600 3,036,802
* Jaclyn, Inc. 20,027 101,737
* Jaco Electronics, Inc. 63,009 313,850
* Jacuzzi Brands, Inc. 323,222 2,760,316
* Jakks Pacific, Inc. 133,626 2,375,870
* JDA Software Group, Inc. 151,311 1,914,084
* Jennifer Convertibles, Inc. 41,000 129,560
JLG Industries, Inc. 230,700 2,911,434
* JMAR Industries, Inc. 189,000 419,580
* Jo-Ann Stores, Inc. 6,600 188,958
* Johnson Outdoors, Inc. 52,800 1,006,896
* Jones Lang LaSalle, Inc. 34,350 866,307
* Jos. A. Bank Clothiers, Inc. 82,350 2,683,787
* JPS Industries, Inc. 24,500 60,785
* Jupitermedia Corp. 108,861 1,121,268
* K-Tron International, Inc. 61,300 1,308,142
* K2, Inc. 304,263 4,478,751
* Kadant, Inc. 75,800 1,533,434
Kaman Corp. Class A 122,054 1,437,796
* Katy Industries, Inc. 76,100 445,185
* KBK Capital Corp. 18,200 20,475
* KCS Energy, Inc. 258,300 3,231,333
* Keith Companies, Inc. 18,300 256,566
Keithley Instruments, Inc. 72,300 1,562,403
* Kendle International, Inc. 98,600 739,500
* Kennedy-Wilson, Inc. 76,700 521,560
* Kensey Nash Corp. 122,700 3,919,038
* Kent Financial Services, Inc. 50,712 121,252
*# Keravision, Inc. 44,500 134
Kewaunee Scientific Corp. 19,400 208,841
* Key Technology, Inc. 36,000 471,600
* Key Tronic Corp. 96,500 345,470
* Keynote Systems, Inc. 64,500 841,725
* Keystone Automotive Industries, Inc. 141,700 3,896,750
* Keystone Consolidated Industries,
Inc. 11,000 1,485
* Kforce, Inc. 163,542 1,498,045
*# KFX, Inc. 294,000 2,601,900
Kimball International, Inc. Class B 14,639 202,604
* Kirklands, Inc. 59,700 701,475
Knape & Vogt Manufacturing Co. 27,588 359,196
* Koala Corp. 90,800 35,412
* Komag Inc. 145,740 2,113,230
* Kontron Mobile Computing, Inc. 4,000 1,560
* Kopin Corp. 366,213 1,984,874
* Korn/Ferry International 200,800 2,789,112
* Kosan Biosciences, Inc. 153,002 1,661,602
Koss Corp. 84,000 1,760,640
*# Krause's Furniture, Inc. 23,000 21
Kronos Worldwide, Inc. 51 1,581
* Kulicke & Soffa Industries, Inc. 92,726 1,063,567
* KVH Industries, Inc. 75,200 $ 1,014,448
* La Jolla Pharmceutical Co. 413,000 1,115,100
* LaBarge, Inc. 213,750 1,624,500
* LabOne, Inc. 90,277 2,808,517
* Labor Ready, Inc. 218,300 2,656,711
# Labranche & Co., Inc. 109,600 982,016
Laclede Group, Inc. 101,500 2,764,860
* LaCrosse Footwear, Inc. 20,400 160,344
Ladish Co., Inc. 115,500 1,004,850
Lakeland Bancorp, Inc. 11,250 177,188
* Lakeland Industries, Inc. 24,079 523,718
* Lakes Entertainment, Inc. 148,800 1,839,168
* Lamson & Sessions Co. 144,400 1,090,220
Lance, Inc. 240,521 3,667,945
* Lancer Corp. 94,525 604,960
Landauer, Inc. 82,000 3,362,820
* Landec Corp. 141,000 999,690
Landry's Restaurants, Inc. 106,000 3,180,000
* Lannet Co., Inc. 106,270 1,801,277
* Lantronix, Inc. 15,000 18,750
*# Large Scale Biology Corp. 24,560 37,822
* Larscom, Inc. 11,100 55,500
* Laserscope 108,331 3,105,850
Lawson Products, Inc. 4,900 172,235
* Layne Christensen Co. 159,000 2,680,740
* Lazare Kaplan International, Inc. 67,400 593,120
* LCA-Vision, Inc. 70,657 1,695,768
* LCC International, Inc. Class A 97,300 402,822
* Learning Tree International, Inc. 90,377 1,296,910
* Lecroy Corp. 85,200 1,570,236
* Lectec Corp. 25,637 20,510
Leesport Financial Corp. 525 12,416
* Lesco, Inc. 87,900 1,136,547
* Level 8 Systems, Inc. 26,400 7,128
* Lexicon Genetics, Inc. 335,530 2,352,065
Libbey, Inc. 72,300 1,844,373
* Liberate Technologies, Inc. 47,200 123,900
Liberty Homes, Inc. Class A 200 910
* Lifecell Corp. 138,005 1,410,411
* Lifecore Biomedical, Inc. 116,800 817,600
* Lifeline Systems, Inc. 74,000 1,526,620
Lifetime Hoan Corp. 89,052 1,821,915
* Lightbridge, Inc. 136,580 719,777
* Lightning Rod Software, Inc. 2,180 2,409
* LightPath Technologies, Inc. 8,650 36,763
Lindsay Manufacturer Co. 62,300 1,426,670
* Lionbridge Technologies, Inc. 31,886 249,667
*# Lipid Sciences, Inc. 121,100 514,675
*# Liquidmetal Technologies, Inc. 106,651 133,314
Lithia Motors, Inc. Class A 77,200 1,846,624
* LMI Aerospace, Inc. 3,700 4,625
LNB Bancorp, Inc. 1,000 19,450
* Local Financial Corp. 39,200 854,168
* Lodgenet Entertainment Corp. 92,900 1,836,633
* Lodgian, Inc. 498 7,370
* Logic Devices, Inc. 45,800 73,280
* LogicVision, Inc. 94,450 282,311
* Logility, Inc. 135,600 603,420
* Lojack Corp. 152,600 1,220,800
Lone Star Steakhouse & Saloon, Inc. 109,092 2,770,937
* Lone Star Technologies, Inc. 150,500 3,028,060
</Table>
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<Caption>
SHARES VALUE+
------ ------
Longview Fibre Co. 265,600 $ 3,389,056
* LookSmart, Ltd. 153,033 358,097
* LOUD Technologies, Inc. 112,900 279,992
Lowrance Electronics, Inc. 9,163 310,708
LSB Bancshares, Inc. NC 35,571 542,102
LSB Corp. 16,200 251,100
LSI Industries, Inc. 260,130 2,991,495
* Luby's, Inc. 151,550 836,556
Lufkin Industries, Inc. 46,100 1,394,525
* Luminex Corp. 162,657 1,621,690
* Lydall, Inc. 141,300 1,247,679
* Lynch Corp. 29,500 413,000
* Lynch Interactive Corp. 59,200 2,130,608
* M & F Worldwide Corp. 168,000 2,184,000
* M-Wave, Inc. 3,000 4,800
M/I Schottenstein Homes, Inc. 126,500 5,372,455
*# Mace Security International, Inc. 26,700 149,787
* Mac-Gray Corp. 116,200 744,842
* Madden (Steven), Ltd. 123,500 2,384,785
* Magic Lantern Group, Inc. 11,700 10,589
* Magma Design Automation, Inc. 3,617 69,085
*# Magna Entertainment Corp. 15,800 82,476
* Magnetek, Inc. 208,000 1,624,480
* Magnum Hunter Resources, Inc. 320,100 3,223,407
* MAI Systems Corp. 19,807 4,952
* MAII Holdings, Inc. 36,200 362
* Main Street & Main, Inc. 98,525 201,976
Main Street Banks, Inc. 49,395 1,306,992
Maine & Maritimes Corp. 29,300 895,115
* MAIR Holdings, Inc. 105,692 845,536
* Major Automotive Companies, Inc. 3,350 2,111
* Management Network Group, Inc. 54,499 128,073
* Manatron, Inc. 115 934
* Manchester Technologies, Inc. 83,700 316,302
Mannatech, Inc. 5,200 52,832
*# Manning (Greg) Auctions, Inc. 50,600 671,462
* Manugistic Group, Inc. 399,500 1,777,775
* Mapics, Inc. 220,279 2,191,776
* Mapinfo Corp. 104,050 1,040,500
* Marimba, Inc. 137,106 1,121,527
Marine Products Corp. 68,670 1,256,661
* MarineMax, Inc. 97,876 2,608,395
* Marisa Christina, Inc. 69,100 89,830
Maritrans, Inc. 47,700 698,805
* MarketWatch.com, Inc. 155,274 1,767,018
MarkWest Hydrocarbon, Inc. 67,210 719,147
* Marlton Technologies, Inc. 52,900 31,211
Marsh Supermarkets, Inc. Class A 17,700 241,517
Marsh Supermarkets, Inc. Class B 29,800 411,836
* Marten Transport, Ltd. 118,800 2,062,368
*# Martha Stewart Living Omnimedia,
Ltd. 100,000 915,000
MASSBANK Corp. 31,399 1,044,959
* Mastec, Inc. 249,800 1,066,646
* Material Sciences Corp. 131,800 1,364,130
* Matria Healthcare, Inc. 89,875 1,963,769
*# Matritech, Inc. 257,800 301,626
* Matrix Bancorp, Inc. 29,500 351,050
* Matrix Service Co. 150,600 1,608,408
* MatrixOne, Inc. 317,600 2,169,208
*# Matrixx Initiatives, Inc. 91,900 791,259
* Mattson Technology, Inc. 263,753 $ 2,811,607
* Maui Land & Pineapple Company, Inc. 35,500 1,163,335
* Max & Ermas Restaurants, Inc. 20,844 349,137
* Maxco, Inc. 18,800 62,040
Maxcor Financial Group, Inc. 36,628 409,135
* Maxicare Health Plans, Inc. 6,960 835
*# Maxim Pharmaceuticals, Inc. 148,494 1,323,082
* Maximus, Inc. 58,400 2,098,896
* Maxwell Shoe Company, Inc. 123,750 2,763,338
* Maxwell Technologies, Inc. 100,192 1,592,051
* Maxxam, Inc. 20,500 517,625
* Maxygen, Inc. 181,465 1,821,909
Mayflower Co-Operative Bank
Middleboro 450 6,755
* Mayor's Jewelers, Inc. 161,900 93,902
* Mays (J.W.), Inc. 2,700 37,287
MBT Financial Corp. 10,106 176,855
MCG Capital Corp. 5,500 85,195
McGrath Rent Corp. 76,200 2,373,630
*# McMoran Exploration Co. 89,500 1,281,640
McRae Industries, Inc. Class A 9,100 90,545
*# MCSI, Inc. 2,000 20
* Meade Instruments Corp. 103,660 331,712
* Meadow Valley Corp. 22,900 49,808
* Meadowbrook Insurance Group, Inc. 97,300 493,311
* Measurement Specialties, Inc. 78,500 1,560,580
* Medarex, Inc. 73,793 617,647
* MedCath Corp. 15,738 317,908
*# Med-Design Corp. 86,920 181,663
* Media 100, Inc. 59,500 1,339
* Media Services Group, Inc. 452 3,828
* MediaBay, Inc. 43,000 21,930
*# Medialink Worldwide, Inc. 49,800 179,280
* Medical Action Industries, Inc. 89,200 1,570,812
* Medical Staffing Network Holdings,
Inc. 160,100 1,055,059
* Medicore, Inc. 45,000 147,150
*# Medifast, Inc. 55,300 408,667
* Medquist, Inc. 133,500 1,646,055
* MedSource Technologies, Inc. 118,498 824,746
* MEDTOX Scientific, Inc. 21,581 220,126
* Memberworks, Inc. 55,100 1,576,962
Mercantile Bank Corp. 2,625 85,523
Merchants Bancshares, Inc. 47,100 1,201,521
Merchants Group, Inc. 15,700 408,200
* Mercury Air Group, Inc. 33,508 201,048
* Mercury Computer Systems, Inc. 112,300 2,518,889
* Merge Technologies, Inc. 66,012 1,088,538
Meridian Bioscience, Inc. 139,300 1,411,248
* Meridian Resource Corp. 331,472 2,446,263
* Merisel, Inc. 5 24
* Merit Medical Systems, Inc. 204,306 2,964,480
* Merix Corp. 95,200 1,018,640
* Merrimac Industries, Inc. 14,265 131,951
* Mesa Air Group, Inc. 331,800 2,544,906
Mesa Labs, Inc. 27,800 275,776
* Mestek, Inc. 115,650 1,822,644
* Meta Group, Inc. 104,600 481,160
* Metals USA, Inc. 28,970 431,653
* MetaSolv, Inc. 193,335 545,205
Methode Electronics, Inc. Class A 73,100 805,562
</Table>
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<Caption>
SHARES VALUE+
------ ------
Met-Pro Corp. 146,886 $ 2,188,601
*# Metris Companies, Inc. 306,594 2,314,785
*# Metro One Telecommunications, Inc. 120,500 201,235
MetroCorp. Bancshares, Inc. 23,000 346,150
* Metrologic Instruments, Inc. 114,583 1,698,120
MFB Corp. 8,500 292,273
* MFRI, Inc. 31,800 94,923
MGE Energy, Inc. 79,949 2,425,653
MGP Ingredients, Inc. 75,600 2,695,140
* Michael Anthony Jewelers, Inc. 64,100 91,343
* Micro Component Technology, Inc. 118,032 161,704
* Micro Linear Corp. 109,300 659,079
* MicroFinancial, Inc. 30,300 87,870
* Micromuse, Inc. 97,737 578,603
* Microsemi Corp. 206,432 2,526,728
* MicroStrategy, Inc. 31,100 1,493,111
* Microtek Medical Holdings, Inc. 375,445 1,693,632
* Micro-Therapeutics, Inc. 137,232 598,332
* Microtune, Inc. 45,600 155,952
*# Microvision, Inc. 112,804 962,218
* Midas, Inc. 99,400 1,903,510
Middleby Corp. 97,100 5,939,607
Middlesex Water Co. 56,000 1,100,960
Midland Co. 88,200 2,303,784
Mid-State Bancshares 124,165 2,786,263
*# Midway Games, Inc. 292,200 3,167,448
Midwest Banc Holdings, Inc. 69,322 1,586,781
* Midwest Express Holdings, Inc. 92,300 364,585
* Mikohn Gaming Corp. 115,600 567,596
* Milacron, Inc. 215,500 965,440
*# Milestone Scientific, Inc. 21,900 41,610
* Millennium Cell, Inc. 181,600 399,520
* Miller Industries, Inc. 32,700 297,897
* Millerbuilding Systems Escrow
Shares 72,800 21,840
* Miltope Group, Inc. Contigent Value
Right 44,000 0
* MIM Corp. 118,800 931,392
* Mindspeed Technologies, Inc. 900 4,653
*# Minorplanet Systems USA, Inc. 8,716 4,271
Minuteman International, Inc. 15,400 200,200
* MIPS Technologies, Inc. 128,400 891,096
* Misonix, Inc. 36,400 306,488
* Mission Resources Corp. 135,400 728,452
* Mitcham Industries, Inc. 90,200 378,840
* Mitek Systems, Inc. 22,300 13,938
* Mity Enterprises, Inc. 40,650 741,863
* Mobile Mini, Inc. 76,000 1,620,320
* Mobility Electronics, Inc. 147,150 1,218,402
* Mobius Management Systems, Inc. 174,400 1,046,400
Mocon, Inc. 73,375 569,390
* Modem Media, Inc. 8,500 47,685
* Mod-Pac Corp. 18,340 154,239
* Mod-Pac Corp. Class B 6,877 57,836
* Modtech Holdings, Inc. 106,312 744,184
* Moldflow Corp. 54,594 609,269
* Molecular Devices Corp. 131,366 2,239,790
Monaco Coach Corp. 109,800 2,749,392
* Monarch Casino and Resort, Inc. 72,500 1,024,425
* Mondavi (Robert) Corp. Class A 48,958 1,704,718
* Monolithic System Technology, Inc. 146,067 1,019,548
* Monro Muffler Brake, Inc. 83,397 $ 2,066,578
* Monterey Pasta Co. 135,300 487,080
* Moore Handley, Inc. 1,500 2,963
* Morgan Group Holding Co. 59,200 4,440
* Morgan's Foods, Inc. 600 1,143
* Moscow CableCom Corp. 15,000 110,985
* Mossimo, Inc. 149,150 559,313
* Mother's Work, Inc. 31,000 683,860
* Motor Car Parts & Accessories, Inc. 24,500 208,250
Movado Group, Inc. 92,900 2,852,030
# Movie Gallery, Inc. 255,175 4,743,703
* MRO Software, Inc. 132,300 1,890,567
* MRV Communications, Inc. 424,100 1,128,106
* MSC Software Corp. 161,300 1,442,022
* MTC Technologies, Inc. 58,200 1,545,210
*# MTI Technology Corp. 3,300 9,768
* MTM Technologies, Inc. 44,200 73,814
* MTR Gaming Group, Inc. 147,963 1,377,536
MTS Systems Corp. 188,648 4,195,532
Mueller (Paul) Co. 26,300 834,762
* Multi Color Corp. 30,600 477,972
*# Multimedia Games, Inc. 66,360 1,497,745
MutualFirst Financial, Inc. 2,900 64,184
Myers Industries, Inc. 124,752 1,685,400
* Mykrolis Corp. 216,500 3,507,300
* Myriad Genetics, Inc. 142,900 2,370,711
Nacco Industries, Inc. Class A 6,500 576,810
*# Nanogen, Inc. 167,507 1,140,723
* Nanometrics, Inc. 63,100 807,049
*# Nanophase Technologies Corp. 119,400 858,486
*# Napco Security Systems, Inc. 127,600 1,122,880
Nara Bancorp, Inc. 59,754 1,839,228
Nash-Finch Co. 91,400 1,718,320
* Nashua Corp. 54,500 503,035
* Nassda Corp. 85,035 448,134
*# Nastech Pharmaceutical Co., Inc. 63,146 753,332
* NATCO Group, Inc. Class A 163,600 1,249,904
* Nathans Famous, Inc. 52,600 320,281
National Beverage Corp. 213,800 2,024,686
* National Dentex Corp. 27,400 833,097
* National Home Health Care Corp. 24,566 248,117
* National Medical Health Card
Systems, Inc. 32,221 1,160,278
* National Research Corp. 52,200 876,960
* National RV Holdings, Inc. 102,650 1,221,535
National Security Group, Inc. 12,600 280,980
* National Steel Corp. Class B 550 4
* National Technical Systems, Inc. 83,600 415,408
* National Western Life Insurance Co.
Class A 2,600 379,990
* Natrol, Inc. 99,700 274,175
* Natural Alternatives International, Inc. 48,800 535,336
Nature's Sunshine Products, Inc. 153,100 2,281,190
* Natus Medical, Inc. 54,000 277,020
Nautilus Group, Inc. 172,950 2,606,357
* Navarre Corp. 159,700 1,964,310
* Navidec, Inc. 3,516 6,100
* Navigant Consulting, Inc. 14,700 300,615
* Navigant International, Inc. 96,400 1,675,432
* Navigators Group, Inc. 55,417 1,601,551
NBT Bancorp 101,441 2,204,313
</Table>
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<Caption>
SHARES VALUE+
------ ------
* NCI Building Systems, Inc. 103,200 $ 3,000,024
* NCO Group, Inc. 109,980 2,726,404
Nelson (Thomas), Inc. 126,800 2,969,656
* Neoforma, Inc. 103,725 1,179,353
* Neogen Corp. 53,625 858,000
* NeoMagic Corp. 170,600 699,460
* NEON Systems, Inc. 14,800 51,948
* Neopharm, Inc. 122,964 1,352,604
* Neorx Corp. 200 660
* Neose Technologies, Inc. 105,700 884,709
* Neoware Systems, Inc. 63,300 546,912
* NES Rentals Holdings, Inc. 245 1,991
Net Perceptions, Inc. 13,400 12,060
* Net2Phone, Inc. 243,521 1,041,052
NetBank, Inc. 112,237 1,203,181
* Netegrity, Inc. 198,575 1,870,577
* Netguru, Inc. 46,900 70,819
* NetManage, Inc. 49,128 321,788
* NetObjects, Inc. 2,000 20
* Netopia, Inc. 121,056 702,125
* NetRatings, Inc. 164,517 2,301,593
* Netscout System, Inc. 159,305 1,097,611
* NetSolve, Inc. 231,900 2,307,869
* Network Engines, Inc. 190,012 604,238
* Network Equipment Technologies, Inc. 167,500 1,232,800
*# Network Plus Corp. 10,000 18
* Neurobiological Technologies, Inc. 14,600 58,400
* Neurogen Corp. 284,532 2,677,446
Nevada Chemicals, Inc. 400 2,128
* Nevada Gold & Casinos, Inc. 63,550 934,185
* New Brunswick Scientific Co., Inc. 75,600 459,648
* New Century Equity Holdings Corp. 388,400 87,390
New England Business Services, Inc. 87,500 3,838,625
New Hampshire Thrift BancShares,
Inc. 1,600 47,680
* New Horizons Worldwide, Inc. 77,475 452,531
Newmil Bancorp, Inc. 44,200 1,204,450
* Newpark Resources, Inc. 442,100 2,497,865
* Newport Corp. 32,985 479,272
*# Newtek Business Services, Inc. 40,343 194,050
* Niagara Corp. 75,500 304,643
* NIC, Inc. 427,248 2,358,409
Nitches, Inc. 11,213 72,436
NL Industries, Inc. 1,300 16,250
* NMS Communications Corp. 193,185 1,661,391
* NMT Medical, Inc. 90,000 342,450
NN, Inc. 132,600 1,573,962
* Nobel Learning Communities, Inc. 49,600 326,120
Nobility Homes, Inc. 43,800 908,850
Noble International, Ltd. 46,502 1,341,583
* Noel Group, Inc. 43,600 131
# Noland Co. 700 29,946
* Norstan, Inc. 94,700 304,934
* North America Galvanizing &
Coatings, Inc. 56,500 113,000
* North American Scientific, Inc. 74,300 664,985
North Central Bancshares, Inc. 17,500 661,850
North Pittsburgh Systems, Inc. 79,227 1,529,081
Northeast Bancorp 12,600 243,999
Northeast Pennsylvania Financial
Corp. 3,250 56,956
Northern Technologies International
Corp. 26,400 $ 124,608
*# Northfield Laboratories, Inc. 129,200 1,698,980
* Northland Cranberries, Inc. 28,400 18,744
Northrim BanCorp, Inc. 34,939 698,786
* Northwest Pipe Co. 47,500 698,250
* Novamed Eyecare, Inc. 110,200 400,026
* Novavax, Inc. 203,150 954,805
* Noven Pharmaceuticals, Inc. 122,900 2,357,222
* Novoste Corp. 86,300 258,900
* NS Group, Inc. 170,000 2,261,000
* NTN Communications, Inc. 278,791 836,373
* Nu Horizons Electronics Corp. 110,650 899,585
*# Nucentrix Broadband Networks, Inc. 114,500 254,763
* NuCo2, Inc. 71,300 1,395,341
NUI Corp. 111,493 1,515,190
* Numerex Corp. Class A 102,700 472,420
* Nutraceutical International Corp. 60,400 1,480,404
* Nutramax Products, Inc. 44,000 44
* Nutrition 21, Inc. 8,700 5,655
* Nuvelo, Inc. 106,922 930,221
NWH, Inc. 14,700 275,846
* NYFIX, Inc. 157,798 795,302
Nymagic, Inc. 71,100 1,827,270
* O'Charleys, Inc. 116,775 2,126,473
* O.I. Corp. 25,700 216,137
Oak Hill Financial, Inc. 12,200 388,570
* Obie Media Corp. 35,000 123,550
* Oceaneering International, Inc. 24,700 780,767
OceanFirst Financial Corp. 70,007 1,561,156
* Ocular Sciences, Inc. 33,476 1,118,433
* Ocwen Financial Corp. 59,703 742,705
*# Odd Job Stores, Inc. 86,200 139,213
* Offshore Logistics, Inc. 119,741 2,750,451
*# Oglebay Norton Co. 6,000 840
# Ohio Art Co. 3,600 33,444
* Oil States International, Inc. 4,700 66,740
Oil-Dri Corp. of America 56,300 904,741
* Old Dominion Freight Lines, Inc. 162,900 4,523,733
* Olympic Steel, Inc. 73,100 1,038,020
* OM Group, Inc. 29,600 790,024
* Omega Protein Corp. 175,600 1,896,480
* OMNI Energy Services Corp. 50,480 252,400
* Omnicell, Inc. 130,700 1,744,845
* Omnova Solutions, Inc. 55,700 287,412
* Omtool, Ltd. 30,770 323,085
* On Assignment, Inc. 117,375 688,991
* On2.cCom, Inc. 40,000 29,600
* One Price Clothing Stores, Inc. 22,414 448
*# Oneida, Ltd. 104,000 128,960
* OneSource Information Services, Inc. 11,800 104,076
* Online Resources Corp. 92,266 680,923
* Onyx Acceptance Corp. 62,500 946,875
* ONYX Software Corp. 72,579 279,429
* OPENT Technologies, Inc. 103,553 1,442,493
* OpenTV Corp. 159,125 402,586
* Opinion Research Corp. 27,500 190,850
* Oplink Communications, Inc. 183,800 369,438
* Opsware, Inc. 12,900 104,103
* Opti, Inc. 118,200 183,210
* Optical Cable Corp. 24,905 133,964
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Optical Communication Products, Inc. 153,985 $ 348,006
* Optical Sensors, Inc. 1,133 4,702
* OptiCare Health Systems, Inc. 1,800 855
* Optika, Inc. 87,500 317,625
Option Care, Inc. 111,764 1,505,461
* OraSure Technologies, Inc. 234,550 1,733,325
* Orbit International Corp. 11,666 82,607
* Orbital Sciences Corp. 247,200 3,102,360
*# Orchid Biosciences, Inc. 9,581 69,462
* Oregon Steel Mills, Inc. 176,300 1,986,901
*# Orleans Homebuilders, Inc. 93,800 1,716,540
* Orphan Medical, Inc. 84,635 758,330
*# Orthodontic Centers of America, Inc. 265,500 2,270,025
* Orthologic Corp. 304,100 2,441,923
*# Osage Systems Group, Inc. 800 0
*# Oscient Pharmaceutical Corp. 256,500 1,202,985
Oshkosh B'Gosh, Inc. Class A 53,968 1,218,058
* OSI Systems, Inc. 104,100 2,324,553
* Osteotech, Inc. 151,125 943,020
Outlook Group Corp. 36,600 225,090
* Overland Storage, Inc. 107,900 1,545,128
*# Overstock Com 89,445 3,219,126
Oxford Industries, Inc. 101,400 3,736,590
*# Oxigene, Inc. 123,700 911,669
* Oxis International, Inc. 8,600 5,762
* OYO Geospace Corp. 19,000 332,291
* P&F Industries, Inc. Class A 600 4,695
* Pacific Mercantile Bancorp 7,700 83,930
* Pacific Premier Bancorp, Inc. 21,717 249,963
Packaging Dynamics Corp. 32,980 440,283
* Packeteer, Inc. 173,239 2,475,585
* Pac-West Telecomm, Inc. 198,100 233,758
* Pain Therapeutics, Inc. 186,905 1,461,597
* Palatin Technologies, Inc. 1,937 7,264
* Paligent, Inc. 3,063 643
* Palm Harbor Homes, Inc. 120,521 2,282,668
*# Palmone Inc. 64,746 1,374,558
* Palmsource Inc. 48,716 986,499
* PAM Transportation Services, Inc. 59,252 1,096,162
Pamrapo Bancorp, Inc. 36,400 905,632
* Panavision, Inc. 13,000 84,175
* Pantry, Inc. 77,291 1,402,832
*# Papa John's International, Inc. 94,078 2,736,729
* Par Technology Corp. 79,500 826,800
* Paradyne Networks Corp. 388,950 1,839,734
* Paragon Technologies, Inc. 39,425 394,250
* Parallel Petroleum Corp. 156,300 617,229
* Parexel International Corp. 138,384 2,738,619
Park Bancorp, Inc. 800 24,576
Park Electrochemical Corp. 103,800 2,590,848
* Parker Drilling Co. 499,500 1,603,395
*# Parkervision, Inc. 54,993 304,661
* Park-Ohio Holdings Corp. 125,525 1,518,853
Parkvale Financial Corp. 50,395 1,339,499
* Parlex Corp. 57,900 351,453
* Parlux Fragrances, Inc. 90,500 827,170
* Party City Corp. 92,385 1,357,136
* Pathmark Stores, Inc. 155,369 1,048,741
* Patient Infosystems, Inc. 408 1,428
* Patrick Industries, Inc. 44,000 453,200
# Patriot Bank Corp. 63,180 1,776,622
* Patriot Transportation Holding, Inc. 31,700 $ 1,146,748
* Paula Financial, Inc. 49,300 140,505
* Paul-Son Gaming Corp. 31,800 124,338
* Paxar Corp. 205,969 3,796,009
* Paxson Communications Corp. 312,000 876,720
* Payless Cashways, Inc. 2,136 3
* PC Connection, Inc. 124,700 956,449
* PC Mall, Inc. 94,300 1,555,007
* PC-Tel, Inc. 141,500 1,548,010
* PDF Solutions, Inc. 134,220 1,206,638
* PDI, Inc. 76,493 2,202,998
* PEC Solutions, Inc. 144,218 1,499,867
* Pediatric Services of America, Inc. 51,200 634,880
* Peerless Manufacturing Co. 18,500 198,135
* Peerless Systems Corp. 101,700 127,125
* Peet's Coffee & Tea, Inc. 70,072 1,596,240
*# Pegasus Communications Corp. 28,320 459,350
* Pegasus Solutions, Inc. 127,001 1,460,512
* Pegasystems, Inc. 188,310 1,602,518
* Pemco Aviation Group, Inc. 250 8,122
* Pemstar, Inc. 146,200 384,506
Penford Corp. 54,800 942,560
Penn Engineering & Manufacturing
Corp. Class A 67,200 1,028,160
Penn Engineering & Manufacturing
Corp. Non-Voting 165,400 2,901,116
* Penn Treaty American Corp. 68,200 145,266
Penn Virginia Corp. 58,400 3,638,320
Penn-America Group, Inc. 102,900 1,358,280
Pennfed Financial Services, Inc. 60,100 1,819,828
Penns Woods Bancorp, Inc. 110 4,791
* Penwest Pharmaceuticals Co. 128,900 1,420,478
Peoples Bancorp, Inc. 400 9,950
Peoples Bancorp, Inc. 2,310 58,535
* Perceptron, Inc. 76,650 513,555
* Performance Technologies, Inc. 131,275 1,423,021
* Pericom Semiconductor Corp. 130,441 1,397,023
* Perini Corp. 121,500 1,324,350
* Perry Ellis International, Inc. 64,400 1,544,312
* Per-Se Technologies, Inc. 162,572 2,113,436
* Pervasive Software, Inc. 117,200 714,920
* PetMed Express, Inc. 10,387 88,290
* Petrocorp, Inc. Escrow Shares 37,100 2,226
* Petroleum Development Corp. 139,678 3,431,888
PFF Bancorp, Inc. 89,500 3,563,890
* Pfsweb, Inc. 1 2
* Pharmacopia Drug Discovery, Inc. 103,050 717,228
* Pharmacyclics, Inc. 88,817 1,063,139
*# Pharmanetics, Inc. 84,400 59,080
* PharmChem, Inc. 41,600 6,656
* Pharmos Corp. 88,000 297,440
Phillips-Van Heusen Corp. 159,000 3,009,870
* Phoenix Gold International, Inc. 13,500 16,740
* Phoenix Technologies, Ltd. 124,781 823,555
* Photo Control Corp. 1,000 2,750
*# PhotoMedex, Inc. 197,508 701,153
* Photon Dynamics, Inc. 87,500 2,823,625
* Photronics, Inc. 130,958 2,315,337
* Physiometrix, Inc. 31,500 53,550
* Piccadilly Cafeterias, Inc. 91,000 91
* Pico Holdings, Inc. 83,771 1,528,821
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SHARES VALUE+
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Pilgrims Pride Corp. Class B 26,700 $ 717,696
Pinnacle Bancshares, Inc. 700 10,395
* Pinnacle Entertainment, Inc. 148,500 1,692,900
* Pinnacle Systems, Inc. 285,787 2,077,671
* Pioneer Drilling Co. 3,700 23,754
* Pixelworks, Inc. 113,400 2,050,272
* Pizza Inn, Inc. 39,700 115,924
* Plains Exploration & Production Co. 168,779 3,004,266
* Plains Resources, Inc. 149,100 2,555,574
* Planar Systems, Inc. 93,400 1,181,510
* Plato Learning, Inc. 119,433 1,258,824
* Play By Play Toys and Novelties, Inc. 32,100 82
* Playboy Enterprises, Inc. Class B 112,080 1,353,926
* Playtex Products, Inc. 324,400 2,319,460
* Plexus Corp. 46,519 683,364
* Plug Power, Inc. 356,644 2,714,774
* PLX Technology, Inc. 125,000 1,863,750
* Plymouth Rubber, Inc. Class A 900 1,305
* Plymouth Rubber, Inc. Class B 5 2
PMA Capital Corp. Class A 98,943 689,633
Pocahontas Bancorp, Inc. 51,900 886,193
*# Point Therapeutics, Inc. 5,640 35,250
* Point.360 84,700 272,734
PolyMedica Corp. 77,340 2,235,899
* Polyone Corp. 24,200 166,738
Pomeroy IT Solutions, Inc. 105,149 1,337,495
Pope & Talbot, Inc. 95,200 1,592,696
* Porta Systems Corp. 48,090 5,290
* Portal Software, Inc. 144,727 665,744
* Possis Medical, Inc. 159,600 4,551,792
* Powell Industries, Inc. 56,518 965,893
PowerCerv Corp. 12,633 7,959
* Power-One, Inc. 20,200 203,616
*# Powerwave Technologies, Inc. 331,961 2,659,008
* Pozen, Inc. 151,200 1,499,904
* PPT Vision, Inc. 47,000 66,270
* PRAECIS Pharmaceuticals, Inc. 270,947 1,129,849
Preformed Line Products Co. 4,700 129,250
* Premier Financial Bancorp 6,600 60,786
*# Premier Laser Systems, Inc. Class A 16,400 8
*# Pre-Paid Legal Services, Inc. 90,000 2,120,400
Presidential Life Corp. 154,720 2,617,862
* Presstek, Inc. 181,575 1,872,038
*# PRG-Schultz International, Inc. 160,536 724,017
* Pricesmart, Inc. 9,000 49,590
* Prima Energy Corp. 75,350 2,870,835
* Prime Hospitality Corp. 237,700 2,355,607
* Prime Medical Services, Inc. 181,705 1,062,974
* Primus Knowledge Solutions, Inc. 39,000 83,070
* Princeton Review, Inc. 50,400 359,352
* Printronix, Inc. 67,150 973,675
* Private Business, Inc. 8,305 19,102
* Procom Technology, Inc. 19,200 23,424
* Progenics Pharmaceuticals, Inc. 88,800 1,558,440
Programmers Paradise, Inc. 48,200 356,198
* Progress Software Corp. 28,500 533,235
* ProsoftTraining.com 1,900 1,444
Prosperity Bancshares, Inc. 90,259 2,112,963
* Protection One, Inc. 117,500 22,913
* Provena Foods, Inc. 200 251
Providence & Worcester Railroad Co. 11,000 112,200
Provident Bancorp, Inc. 56,733 $ 592,293
Provident Bankshares Corp. 44 1,269
Provident Financial Holdings, Inc. 72,400 1,802,760
* Province Healthcare Co. 53,900 863,478
* Proxim Corp. 208,611 277,453
* ProxyMed, Inc. 18,939 359,841
* PSS World Medical, Inc. 230,500 2,316,525
Psychemedics Corp. 49,039 539,429
* Psychiatric Solutions, Inc. 63,510 1,573,778
* PTEK Holdings, Inc. 301,546 3,163,218
# Pulaski Financial Corp. 30,400 507,680
* Pure World, Inc. 66,630 127,930
* PW Eagle, Inc. 21,900 75,117
Pyramid Breweries, Inc. 36,800 80,592
* Qad, Inc. 174,224 1,841,548
* QEP Co., Inc. 15,000 227,850
* QRS Corp. 83,907 460,649
*# QuadraMed Corp. 185,337 565,278
Quaker Chemical Corp. 71,700 1,837,671
Quaker City Bancorp, Inc. 34,945 1,908,696
Quaker Fabric Corp. 147,950 1,179,162
* Quality Dining, Inc. 98,900 222,525
* Quality Systems, Inc. 49,600 2,317,808
Quanex Corp. 18,900 841,995
* Quantum Corp.- DLT 163,900 483,505
* Quantum Fuel Systems Technologies
Worldwide, Inc. 155,973 781,425
*# Questcor Pharmaceuticals, Inc. 129,800 109,032
* Quicklogic Corp. 159,400 478,041
* Quidel Corp. 256,200 1,432,158
* Quigley Corp. 60,995 484,239
* Quinton Cardiology Systems, Inc. 83,960 880,740
* Quipp, Inc. 14,300 214,500
Quixote Corp. 68,200 1,432,200
*# Quokka Sports, Inc. 480 6
* Quovadx, Inc. 202,907 217,110
* R & B, Inc. 69,300 1,299,375
* Radiant Systems, Inc. 251,931 1,131,170
* Radiologix, Inc. 176,100 697,356
* RadiSys Corp. 98,837 1,646,624
*# Radyne ComStream, Inc. 71,000 619,120
* Rag Shops, Inc. 34,650 114,345
* Railamerica, Inc. 184,866 2,357,042
* Raindance Communictions, Inc. 84,400 183,992
* Ramtron International Corp. 185,100 908,841
Range Resources Corp. 360,900 4,283,883
Raven Industries, Inc. 192,220 6,110,674
* Raytech Corp. 51,695 105,975
* RC2 Corp. 92,700 2,591,892
* RCM Technologies, Inc. 91,800 491,130
*# RCN Corp. 4,300 774
* Reading International, Inc. Class A 142,163 1,199,856
* Reading International, Inc. Class B 10,140 83,655
*# Redhook Ale Brewery, Inc. 62,900 137,122
Redwood Empire Bancorp 60,750 1,375,988
* Refac 8,519 41,189
Regal-Beloit Corp. 101,430 2,074,244
* Regeneration Technologies, Inc. 140,284 1,287,807
* Regent Communications, Inc. 551,100 3,251,490
* Register.Com, Inc. 99,500 519,390
* Rehabcare Group, Inc. 85,700 2,140,786
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* Reliability, Inc. 113,300 $ 124,630
Reliv International, Inc. 101,576 1,079,753
* Relm Wireless Corp. 47,941 115,058
* Remec, Inc. 244,607 1,602,176
* RemedyTemp, Inc. 64,200 836,012
* Remington Oil & Gas Corp. 198,160 4,109,838
* Rentrak Corp. 105,400 938,060
* Rent-Way, Inc. 168,400 1,566,120
* Repligen Corp. 250,400 626,000
* Reptron Electronics, Inc. 55,900 0
* Reptron Electronics, Inc. 2,178 15,899
Republic Bancorp, Inc. Class A 37,380 719,565
* Republic First Bancorp, Inc. 45,468 541,069
* Res-Care, Inc. 107,702 1,493,827
Resource America, Inc. 168,780 3,679,404
* Resources Connection, Inc. 8,086 344,625
* Restoration Hardware, Inc. 172,500 1,157,475
* Retail Ventures Inc. 142,856 1,032,849
* Retek, Inc. 286,500 1,867,980
* Revlon, Inc. 167,800 550,384
* Rewards Network, Inc. 130,650 1,288,209
* Rex Stores Corp. 141,475 1,740,143
* Rexhall Industries, Inc. 36,400 63,336
* RF Monolithics, Inc. 83,500 799,930
Richardson Electronics, Ltd. 99,200 1,121,952
* Rigel Pharmaceuticals, Inc. 8,711 154,707
Riggs National Corp. 149,309 3,260,909
* Rimage Corp. 92,225 1,303,139
* Rita Medical Systems, Inc. 95,431 474,292
* Riverside Group, Inc. 1,300 42
* Riverstone Networks, Inc. 1,900 1,891
Riverview Bancorp, Inc. 34,400 715,176
Rivianna Foods, Inc. 17,600 461,824
* Riviera Holdings Corp. 22,100 192,049
* Riviera Tool Co. 7,000 23,380
* Roadhouse Grill, Inc. 75,670 18,918
Roanoke Electric Steel Corp. 87,400 1,149,310
Robbins & Myers, Inc. 74,900 1,655,290
*# Robotic Vision Systems, Inc. 6,201 20,773
* Rochester Medical Corp. 48,400 393,008
Rock of Ages Co. 32,900 267,477
*# Rockford Corp. 57,300 283,635
Rock-Tenn Co. Class A 184,100 2,958,487
Rocky Mountain Chocolate Factory,
Inc. 54,890 529,689
* Rocky Shoes & Boots, Inc. 34,200 699,732
* Rofin-Sinar Technologies, Inc. 104,400 2,732,252
* Ross Systems, Inc. 3,700 67,307
* Rouge Industries, Inc. Class A 39,600 337
Royal Bancshares of Pennsylvania
Class A 15,764 360,050
Royal Gold, Inc. 163,200 2,273,376
* Royale Energy, Inc. 31,564 446,283
RPC, Inc. 76,300 1,045,310
* RTI International Metals, Inc. 112,100 1,626,571
*# RTW, Inc. 43,450 280,817
* Rubio's Restaurants, Inc. 68,500 453,470
* Rudolph Technologies, Inc. 88,523 1,646,528
* Rural Cellular Corp. Class A 4,100 36,859
* Rural/Metro Corp. 110,300 137,875
* Rush Enterprises, Inc. Class A 54,500 643,645
* Rush Enterprises, Inc. Class B 54,500 $ 661,467
Russ Berrie & Co., Inc. 31,400 847,800
Russell Corp. 170,400 2,791,152
* Ryan's Family Steak Houses, Inc. 156,200 2,628,846
Ryerson Tull, Inc. 131,300 1,760,733
* S&K Famous Brands, Inc. 24,600 418,815
* S1 Corp. 379,756 3,565,909
* Saba Software, Inc. 61,052 213,682
* Safeguard Scientifics, Inc. 533,800 1,361,190
* SafeNet, Inc. 107,674 2,508,804
* Safety Components International, Inc. 1,180 15,783
* Saga Communications, Inc. Class A 96,441 1,808,269
* Salem Communications Corp. 67,791 2,033,730
*# Salton, Inc. 58,300 329,978
* San Filippo (John B.) & Son, Inc. 57,900 1,442,868
Sanders Morris Harris Group, Inc. 91,250 1,227,313
Sanderson Farms, Inc. 168,300 7,741,800
Sandy Spring Bancorp, Inc. 76,363 2,672,705
* Sangamo BioSciences, Inc. 132,980 833,785
* Satcon Technology Corp. 145,600 400,400
Saucony, Inc. Class A 55,300 1,128,065
Saucony, Inc. Class B 57,600 1,162,368
* Savient Pharmaceuticals, Inc. 254,600 616,132
* Saxon Capital, Inc. 5,600 133,672
* SBA Communications Corp. 237,044 914,990
* SBE, Inc. 34,600 120,754
* SBS Technologies, Inc. 83,600 1,546,600
* ScanSoft, Inc. 836,552 4,383,532
* ScanSource, Inc. 70,600 3,759,450
Schawk, Inc. Class A 168,300 2,229,975
* Scheid Vineyards, Inc. 14,500 72,645
* Schick Technologies, Inc. 47,200 455,480
* Schieb (Earl), Inc. 71,500 236,665
* Schlotzskys, Inc. 65,100 98,887
* Schmitt Industries, Inc. 17,800 43,610
* Schuff International, Inc. 53,200 124,488
Schulman (A.), Inc. 149,822 2,991,945
Schweitzer-Maudoit International, Inc. 78,000 2,195,700
* Sciclone Pharmaceuticals, Inc. 234,300 1,164,471
* Scientific Learning Corp. 1,900 10,469
* Scientific Technologies, Inc. 38,400 220,032
* SciQuest, Inc. 5,961 35,826
* SCM Microsystems, Inc. 79,524 506,568
Scope Industries, Inc. 16,650 1,165,500
SCPIE Holdings, Inc. 19,000 165,490
* SCS Transportation, Inc. 25,933 589,976
* Seabulk International, Inc. 182,900 1,622,323
* Seachange International, Inc. 141,403 2,111,147
Seacoast Banking Corp. 79,230 1,587,769
Seacoast Financial Services Corp. 17,084 585,298
* Seattle Genetics, Inc. 204,063 1,408,035
* Secom General Corp. 1,000 1,265
Second Bancorp, Inc. 23,200 740,544
* Secure Computing Corp. 183,561 1,626,350
* SED International Holdings, Inc. 6,350 9,652
* SeeBeyond Technology Corp. 368,039 1,111,478
* SEEC, Inc. 26,500 6,625
* Segue Software, Inc. 102,300 376,976
* Selas Corp. of America 46,700 140,100
* Selectica, Inc. 261,300 1,144,755
SEMCO Energy, Inc. 148,920 854,801
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SHARES VALUE+
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* Semitool, Inc. 168,100 $ 1,924,745
* SEMX Corp. 34,300 5,145
* Seneca Foods Corp. Class A 200 3,750
* Seneca Foods Corp. Class B 6,800 126,276
* Sensytech, Inc. 34,650 747,435
* Sequenom, Inc. 164,880 265,457
* SeraCare Life Sciences, Inc. 21,120 240,768
* Serologicals Corp. 132,025 2,261,588
* ServiceWare Technologies, Inc. 25,300 14,674
* Servotronics, Inc. 24,804 96,612
* SFBC International, Inc. 79,549 1,935,427
* Shared Technologies Cellular, Inc. 24,600 14
* Sharper Image Corp. 93,000 2,622,600
*# Shaw Group, Inc. 9,500 112,100
* Sheffield Pharmceuticals, Inc. 100 0
* Shiloh Industries, Inc. 121,400 1,320,832
* Shoe Carnival, Inc. 123,800 1,705,964
* Shoe Pavilion, Inc. 5,700 13,310
* Sholodge, Inc. 52,300 353,025
* Shopko Stores, Inc. 155,500 2,121,020
*# Shuffle Master, Inc. 184,970 6,190,946
* Siebert Financial Corp. 42,300 177,237
Sierra Bancorp 3,900 59,280
* Sifco Industries, Inc. 45,775 187,678
* Sight Resource Corp. 7,100 320
*# Sigma Designs, Inc. 173,500 1,158,980
* Sigmatron International, Inc. 18,200 221,130
Silgan Holdings, Inc. 3,900 163,566
*# Silicon Graphics, Inc. 155,800 294,462
* Silicon Image, Inc. 167,100 1,988,490
* Simclar, Inc. 23,400 69,498
Simmons First National Corp. Class A 73,887 1,779,938
* SimpleTech, Inc. 242,966 913,552
* Sipex Corp. 175,286 1,130,595
* Sirenza Microdevices, Inc. 164,961 661,494
*# Sirna Therapeutics, Inc. 138,812 435,870
* Sitel Corp. 232,000 726,160
* Skechers U.S.A., Inc. Class A 99,300 1,141,950
Skyline Corp. 34,800 1,392,696
* SL Industries, Inc. 91,885 992,358
* SM&A 106,688 864,173
* Smart & Final Food, Inc. 112,200 1,743,588
* SmartDisk Corp. 15,300 2,754
* Smith & Wollensky Restaurant Group,
Inc. 52,300 336,812
*# Smith Micro Software, Inc. 121,400 252,512
* Smithway Motor Xpress Corp. Class A 35,000 86,450
* Sola International, Inc. 185,900 3,604,601
* Somera Communications, Inc. 83,100 116,340
Sonesta International Hotels Corp.
Class A 400 2,144
*# Sonic Foundry, Inc. 95,300 149,621
* Sonic Innovations, Inc. 108,725 1,114,431
* Sonic Solutions 114,750 2,438,438
* SonicWALL, Inc. 239,176 1,903,841
* SonoSite, Inc. 77,778 1,659,005
*# Sonus Pharmaceuticals, Inc. 101,800 478,460
* Sorrento Networks Corp. 55,500 162,615
Sound Federal Bancorp, Inc. 54,752 709,038
* Source Information Management, Inc. 122,300 1,284,150
*# Source Media, Inc. 154,600 1,237
* Sourcecorp, Inc. 84,676 $ 2,174,480
South Jersey Industries, Inc. 61,282 2,573,231
* Southern Energy Homes, Inc. 120,525 495,960
Southside Banchares, Inc. 105 1,911
* Southwall Technologies, Inc. 79,100 35,595
Southwest Bancorp, Inc. 70,200 1,201,824
Southwest Water Co. 109,337 1,327,351
* Southwestern Energy Co. 48,100 1,229,436
*# Spacehab, Inc. 94,200 387,162
Span-American Medical System, Inc. 37,400 440,946
* Spanish Broadcasting System, Inc. 107,593 1,038,272
* SPAR Group, Inc. 1,000 1,330
Spartan Motors, Inc. 92,900 1,076,711
* Spartan Stores, Inc. 80,759 350,575
Spartech Corp. 4,200 96,096
* Sparton Corp. 80,313 672,220
* Specialty Laboratories, Inc. 119,700 1,079,694
SpectraLink Corp. 163,500 2,459,040
* Spectranetics Corp. 226,102 1,354,351
* Spectrum Control, Inc. 118,900 973,791
* SpectRx, Inc. 58,600 111,340
* Spescom Software, Inc. 10,973 5,925
* Spherion Corp. 315,993 2,919,775
* Spherix, Inc. 103,300 618,767
* Spiegel, Inc. Class A Non-Voting 100 6
* Spire Corp. 103,642 508,882
* Sport Chalet, Inc. 56,500 706,250
* Sport Supply Group, Inc. 63,100 74,143
* Sport-Haley, Inc. 32,100 171,414
* Sports Club Co., Inc. 142,200 227,520
* SportsLine.Com, Inc. 43,500 43,500
* Sportsman's Guide, Inc. 42,900 826,254
* SPSS, Inc. 90,385 1,504,910
* SR Telecom, Inc. 162 554
* SRI/Surgical Express, Inc. 34,000 234,940
* SRS Labs, Inc. 120,600 561,996
SS&C Technologies, Inc. 98,896 2,273,619
* SSE Telecom, Inc. 5,600 98
* Staar Surgical Co. 134,775 1,018,899
* Stamps.com, Inc. 112,898 1,491,383
*# Standard Automotive Corp. 22,100 2
Standard Commercial Corp. 104,808 1,728,284
* Standard Management Corp. 69,015 238,102
* Standard Microsystems Corp. 118,800 2,930,796
Standard Motor Products, Inc.
Class A 75,300 1,054,200
Standard Register Co. 123,500 1,505,465
Standex International Corp. 64,800 1,679,616
Stanley Furniture, Inc. 70,900 2,933,133
Star Buffet, Inc. 16,400 106,108
*# Star Scientific, Inc. 49,195 151,521
* Star Struck, Ltd. 500 450
* Starbiz Restrictive Shares 2 0
* Starcraft Corp. 18,191 198,646
Starrett (L.S.) Co. Class A 35,900 564,707
StarTek, Inc. 75,900 2,532,024
State Financial Services Corp.
Class A 77,532 2,203,459
* Steak n Shake Co. 144,500 2,541,755
Steel Technologies, Inc. 86,700 1,851,045
* SteelCloud Co. 75,500 187,240
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SHARES VALUE+
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* Stein Mart, Inc. 190,467 $ 2,750,343
* Steinway Musical Instruments, Inc. 79,000 2,686,000
* Stellent, Inc. 116,207 926,170
* Stemcells, Inc. 17,500 23,975
Stepan Co. 35,200 853,600
Stephan Co. 33,500 152,760
Sterling Bancorp 249,309 7,015,555
Sterling Bancshares 236,905 3,110,563
Sterling Financial Corp. 2,031 51,161
* Sterling Financial Corp. 171,751 5,478,882
Stewart & Stevenson Services, Inc. 151,911 2,574,891
* Stewart Enterprises, Inc. 171,663 1,290,906
Stewart Information Services Corp. 44,500 1,519,675
* Stifel Financial Corp. 35,971 902,872
* Stonepath Group, Inc. 207,000 521,640
* Stoneridge, Inc. 170,700 2,673,162
* StorageNetworks, Inc. Escrow
Shares 56,400 1,528
* Stratasys, Inc. 56,850 1,476,395
* Strategic Diagnostics, Inc. 161,000 653,660
Strategic Distribution, Inc. 27,770 360,732
* Stratesec, Inc. 6,400 51
* Stratex Networks, Inc. 441,775 1,294,401
* Stratos International, Inc. 44,477 253,074
* Strattec Security Corp. 40,900 2,382,834
* Stratus Properties, Inc. 53,750 671,875
Stride Rite Corp. 206,000 2,173,300
Sturm Ruger & Co., Inc. 142,600 1,689,810
* Suburban Lodges of America, Inc.
Escrow Shares 127,500 0
Suffolk Bancorp 68,400 2,172,384
* Summa Industries, Inc. 31,800 304,008
Summit Bancshares, Inc. 32,900 929,425
Summit Bank Corp. 8,400 141,120
* SumTotal Systems, Inc. 36,783 237,250
* Sun Bancorp, Inc. 157,954 3,517,636
Sun Hydraulics, Inc. 12,600 155,862
* Sunair Electronics, Inc. 33,700 193,438
* Sundance Homes, Inc. 50,000 275
* SunLink Health Systems, Inc. 33,465 174,018
*# Sunrise Senior Living, Inc. 60,200 2,169,608
Sunrise Telecom, Inc. 255,000 678,300
* Suntron Corp. 36,507 282,199
* Superconductor Technologies, Inc. 288,470 331,741
*# Supergen, Inc. 202,028 1,529,352
* Superior Consultant Holdings Corp. 92,000 574,080
Superior Uniform Group, Inc. 86,600 1,428,900
* Supertex, Inc. 94,300 1,477,681
* SupportSoft, Inc. 221,852 2,178,587
Supreme Industries, Inc. 92,283 622,910
*# SureBeam Corp. 22,685 204
SureWest Communications 35,965 1,153,398
*# SurModics, Inc. 92,594 2,064,846
* Swift Energy Corp. 146,400 2,957,280
* Swisher International, Inc. 8,500 9,350
*# Switchboard, Inc. 95,360 737,133
SWS Group, Inc. 63,549 1,024,410
* Sykes Enterprises, Inc. 200,849 1,257,315
* Sylvan, Inc. 63,500 765,175
* Symmetricom, Inc. 378,352 2,988,981
* Syms Corp. 143,200 1,165,648
* Synalloy Corp. 87,058 $ 811,381
* Synaptics, Inc. 131,231 2,515,698
* Synovis Life Technologies, Inc. 88,200 793,800
* Synplicity, Inc. 44,771 261,910
* Synthetech, Inc. 130,800 166,116
*# Syntroleum Corp. 207,498 1,307,237
Sypris Solutions, Inc. 83,935 1,594,765
* Systemax, Inc. 125,300 776,860
* T-3 Energy Services, Inc. 9,270 60,950
*# Tag-It Pacific, Inc. 68,300 326,474
* Taitron Components, Inc. 15,500 40,145
*# TALK America Holdings, Inc. 137,357 1,292,529
TALX Corp. 71,812 1,666,038
Tandy Brand Accessories, Inc. 56,777 763,083
* Tarantella, Inc. 18,840 30,427
* Tarrant Apparel Group 120,100 226,989
Tasty Baking Co. 80,500 759,115
TB Woods Corp. 26,200 200,430
* TBA Entertainment Corp. 80,100 52,866
* TBC Corp. 180,300 4,577,817
* TEAM America, Inc. 10,400 1
* Team, Inc. 55,200 866,640
* TeamStaff, Inc. 16,600 37,848
Tech/Ops Sevcon, Inc. 60,800 353,856
Teche Holding Co. 2,700 96,188
* Technical Communications Corp. 7,300 31,025
Technology Research Corp. 44,600 467,854
* Technology Solutions Corp. 76,500 82,620
* TechTeam Global, Inc. 90,100 692,058
*# Tegal Corp. 41,000 68,060
*# TeleCommunication Systems, Inc. 126,350 640,595
* Teledyne Technologies Inc. 166,000 3,057,720
* Teletech Holdings, Inc. 215,920 1,623,718
* Telular Corp. 106,075 1,178,387
* TenFold Corp. 1,700 2,975
Tennant Co. 47,700 1,812,600
* Tenneco Automotive, Inc. 217,700 2,780,029
* Terayon Communication Systems, Inc. 361,401 993,853
* Terra Industries, Inc. 411,300 1,904,319
* Tessco Technologies, Inc. 53,900 956,186
* Tetra Technologies, Inc. 193,200 4,600,092
Texas Industries, Inc. 57,400 2,115,190
Texas United Bancshares, Inc. 481 8,466
TF Financial Corp. 13,900 413,317
* Thackeray Corp. 69,700 94,095
* The Banc Corp. 49,508 338,635
* The Dress Barn, Inc. 154,169 2,699,499
* The Geo Group, Inc. 92,800 1,795,680
* The Hallwood Group, Inc. 2,653 124,293
The Marcus Corp. 102,000 1,652,400
* The Rowe Companies 120,268 547,219
* Theragenics Corp. 157,400 672,098
* Therma-Wave, Inc. 133,450 527,128
* Thermwood Corp. 920 750
* TheStreet.com, Inc. 227,700 856,152
* Third Wave Technologies 209,795 1,017,506
* Thomas Group, Inc. 35,100 52,650
Thomas Industries, Inc. 54,000 1,837,080
*# THQ, Inc. 3,400 71,706
* Three-Five Systems, Inc. 113,000 605,680
* Tickets.com, Inc. 700 333
</Table>
176
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Tier Technologies, Inc. Class B 100,000 $ 1,088,000
TierOne Corp. 33,791 704,880
* TII Network Technologies, Inc. 57,160 80,024
Timberland Bancorp, Inc. 36,300 805,860
* Timco Aviation Services, Inc. 8,568 3,427
* Time Warner Telecom, Inc. 93 396
* Tipperary Corp. 76,000 248,520
Titan International, Inc. 53,350 568,178
* Titan Pharmaceuticals, Inc. 153,800 507,540
* Titanium Metals Corp. 16,190 1,461,148
* TiVo, Inc. 10,083 76,732
* TL Administration Corp. 600 18
* TLC Vision Corp. 139,365 1,448,002
Todd Shipyards Corp. 44,600 784,960
* Todhunter International, Inc. 48,800 683,200
* Tofutti Brands, Inc. 4,000 12,800
* Tollgrade Communications, Inc. 71,995 795,545
Tompkins County Trustco, Inc. 473 21,257
* Too, Inc. 115,300 1,940,499
Topps, Inc. 214,969 1,863,781
* Torch Offshore, Inc. 90,900 239,976
* Toreador Resources Corp. 41,700 219,342
* Total Entertainment Restaurant Corp. 43,363 566,711
*# Tower Automotive, Inc. 300,800 1,115,968
Track Data Corp. 5,600 5,600
* Tradestation Group, Inc. 215,700 1,468,917
# Traffix, Inc. 152,900 1,061,126
* Trailer Bridge, Inc. 42,500 235,875
* Trammell Crow Co. 192,900 2,451,759
* Trans World Entertainment Corp. 189,800 1,894,204
* Transact Technologies, Inc. 82,200 2,648,484
* Transaction Systems Architects, Inc. 34,900 658,563
* TransAxis, Inc. 440 31
* Transcat, Inc. 42,500 134,258
* Transgenomic, Inc. 25,800 39,990
* Transkaryotic Therapies, Inc. 183,237 2,642,278
Trans-Lux Corp. 7,545 52,438
* Transmeta Corp. 19,484 42,475
* Transmontaigne Oil Co. 148,160 862,291
* Transport Corp. of America 15,900 114,480
* Transport Industries, Inc. 9,700 15,617
* Transpro, Inc. 63,000 373,275
* Transtechnology Corp. 94,300 650,670
* TransTexas Gas Corp. Class A 395 8
*# Transwitch Corp. 52,000 80,080
* Travis Boats & Motors, Inc. 18,900 14,912
* TRC Companies, Inc. 80,250 1,324,928
Tredegar Industries, Inc. 76,450 1,104,703
*# Trenwick Group, Ltd. 12,662 114
*# Trestle Holdings Inc. 3,440 8,600
* Trex Co., Inc. 78,000 2,833,740
Triarc Companies, Inc. Class A 103,700 1,125,145
Trico Bancshares 79,100 1,444,366
*# Trico Marine Services, Inc. 172,700 39,721
* Trident Microsystems, Inc. 210,300 3,217,590
* Trimedyne, Inc. 31,500 28,350
* Trimeris, Inc. 95,855 1,405,234
* TriPath Imaging, Inc. 254,653 2,337,715
* Tripath Technology, Inc. 68,600 258,622
* Tripos, Inc. 47,600 266,084
* Triquint Semiconductor, Inc. 53,666 299,456
* Triton PCS Holdings, Inc. 322,300 $ 1,521,256
* Triumph Group 82,900 2,637,049
* TriZetto Group, Inc. 246,895 1,612,224
* TRM Corp. 59,300 822,491
*# Tropical Sportswear International
Corp. 24,160 53,152
* Trover Solutions, Inc. 105,300 716,040
* Troy Group, Inc. 14,400 47,232
* Trump Hotels & Casino Resorts, Inc. 144,100 283,877
TSR, Inc. 100,900 675,021
* TTM Technologies, Inc. 211,141 2,407,007
* Tufco Technologies, Inc. 1,300 11,037
* Tumbleweed Communications Corp. 221,087 1,101,013
*# TurboChef Technologies, Inc. 143,900 568,405
* Turnstone Systems, Inc. 41 6
* Tut Systems, Inc. 105,450 325,841
* Tweeter Home Entertainment Group,
Inc. 128,025 852,647
Twin Disc, Inc. 41,100 904,200
* Tyler Technologies, Inc. 388,250 3,455,425
* U.S. Concrete, Inc. 86,600 604,468
*# U.S. Diagnostic, Inc. 26,100 3
* U.S. Physical Therapy, Inc. 65,873 814,190
* U.S. Xpress Enterprises, Inc. Class A 100,900 1,306,655
* UbiquiTel, Inc. 92,500 391,275
* UFP Technologies, Inc. 11,800 38,350
UIL Holdings Corp. 31,211 1,385,768
* Ulticom, Inc. 219,250 2,060,950
*# Ultimate Electronics, Inc. 76,700 274,586
* Ultimate Software Group, Inc. 107,800 1,385,230
* Ultradata Systems, Inc. 13,600 22,440
* Ultralife Batteries, Inc. 101,400 2,024,958
* Ultratech Stepper, Inc. 124,702 1,900,458
Umpqua Holdings Corp. 149,811 2,849,405
* Unico American Corp. 114,100 672,163
* Unifi, Inc. 267,900 624,207
Unifirst Corp. 87,300 2,269,800
* Uni-Marts, Inc. 64,600 141,474
Union Bankshares Corp. 2,557 76,582
Union Community Bancorp 3,000 53,535
* Uniroyal Technology Corp. 60,000 60
United Capital Corp. 90,008 1,681,349
United Community Financial Corp. 90,235 1,092,746
United Financial Corp. 2,640 65,472
* United Financial Mortgage Corp. 11,600 60,320
United Fire & Casualty Co. 11,300 625,455
United Guardian, Inc. 36,820 234,175
United Industrial Corp. 124,900 2,622,900
* United PanAm Financial Corp. 600 8,700
* United Retail Group, Inc. 118,000 324,500
* United Road Services, Inc. 710 82
# United Security Bancshares 6,500 144,950
* United Therapeutics Corp. 113,269 2,679,945
Unitil Corp. 39,500 1,030,950
Unity Bancorp, Inc. 15,225 197,925
* Universal Access Global Holdings,
Inc. 7,055 7,690
* Universal American Financial Corp. 283,233 3,101,401
* Universal Display Corp. 145,908 1,675,024
* Universal Electronics, Inc. 97,200 1,432,728
Universal Forest Products, Inc. 94,467 2,735,764
</Table>
177
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Universal Stainless & Alloy Products,
Inc. 55,300 $ 598,954
Unizan Financial Corp. 100,034 2,578,877
* Unova, Inc. 1,000 17,350
* UQM Technologies, Inc. 172,400 517,200
* Urologix, Inc. 97,600 1,371,280
*# US Airways Group, Inc. 3,500 9,135
*# US Energy Corp. 71,870 168,176
*# US LEC Corp. 242,800 939,636
* USA Truck, Inc. 53,200 617,652
*# USAir Group, Inc. 143,600 11,703
*# USANA, Inc. 102,250 2,846,640
USB Holding Co., Inc. 1,617 35,606
*# USDATA Corp. 24,040 962
Usec, Inc. 13,900 108,837
* Utah Medical, Inc. 56,700 1,468,814
*# V.I. Technologies, Inc. 30,400 31,920
*# VA Software Corp. 317,236 748,677
* Vail Resorts, Inc. 145,815 2,179,934
*# Valence Technology, Inc. 67,400 263,534
* Valley National Gases, Inc. 10,200 101,490
Valmont Industries, Inc. 119,420 2,483,936
* Valpey Fisher Corp. 35,700 119,238
* ValueClick, Inc. 36,500 399,310
* Valuevision Media, Inc. Class A 190,440 2,285,280
* Vans, Inc. 93,100 1,900,171
* Variflex, Inc. 48,100 322,270
* Vascular Solutions, Inc. 73,400 792,720
* Vastera, Inc. 264,472 912,428
* Vaxgen, Inc. 129,700 2,058,339
Vector Group, Ltd. 103,270 1,641,993
* Venture Catalyst, Inc. 31,700 14,265
* Verilink Corp. 125,900 566,550
* Veritas DGC, Inc. 125,500 2,402,070
* Verity, Inc. 196,800 2,735,520
* Vermont Pure Holdings, Ltd. 20,600 62,418
* Versant Corp. 20,900 42,636
* Versar, Inc. 54,200 278,588
* Verso Technologies, Inc. 141,566 224,382
* Verticalbuyer Inc. 15,785 118
Vesta Insurance Group, Inc. 188,900 1,123,955
* Vestin Group, Inc. 300 750
* Vialta, Inc. 3,221 1,224
* Viasat, Inc. 99,785 2,299,046
* Vical, Inc. 88,767 489,106
* Vicon Industries, Inc. 44,450 234,252
* Vicor Corp. 160,558 2,231,756
# Video Display Corp. 48,440 896,140
*# Viewpoint Corp. 52,100 144,312
* Vignette Corp. 86,378 142,524
* Viisage Technology, Inc. 135,530 1,329,549
* Virage Logic Corp. 110,800 834,324
* Virbac Corp. 29,500 88,500
Virco Manufacturing Corp. 155,131 1,062,647
* Virginia Commerce Bancorp, Inc. 200 5,690
* Virologic, Inc. 241,600 676,480
*# ViroPharma, Inc. 137,787 253,528
* Vision Sciences, Inc. 23,250 97,185
* Vista Medical Technologies, Inc. 23,750 35,150
* Visual Networks, Inc. 64,100 206,402
* Vital Images, Inc. 29,002 281,899
Vital Signs, Inc. 91,700 $ 2,475,900
* VitalWorks, Inc. 315,800 1,073,720
*# Vitech America, Inc. 99,280 447
* Vitria Technology, Inc. 135,909 385,982
* Vivus, Inc. 267,900 1,101,069
* Vl Dissolution Corp 12,426 7,735
* Vodavi Technology, Inc. 26,400 125,664
* Volt Information Sciences, Inc. 127,204 3,269,143
Vulcan International Corp. 8,251 358,093
* Vyyo, Inc. 68,000 499,120
* W-H Energy Services, Inc. 185,300 3,424,344
* Wabash National Corp. 87,640 2,304,932
Wabtec Corp. 30,400 501,296
Wainwright Bank & Trust Co. 266 3,384
Walter Industries, Inc. 222,300 2,829,879
Warwick Community Bancorp, Inc. 20,600 632,420
Washington Banking Co. 14,041 226,060
Washington Savings Bank FSB 43,368 450,594
Washington Trust Bancorp, Inc. 58,981 1,483,372
Waste Industries USA, Inc. 67,900 767,270
* WatchGuard Technologoes, Inc. 177,084 1,152,817
* Water Pik Technologies, Inc. 30,700 512,383
* Waterlink, Inc. 164,700 140
Waters Instruments, Inc. 750 6,008
Watsco, Inc. Class A 102,600 2,685,042
Watts Water Technologies, Inc. 65,900 1,599,393
Wausau-Mosinee Paper Corp. 3,800 57,798
* Waxman Industries, Inc. Class B 975 6,435
Waypoint Financial Corp. 36 986
WD-40 Co. 90,404 2,753,706
* Webco Industries, Inc. 37,500 183,938
* webMethods, Inc. 278,000 2,424,160
* Websense, Inc. 75,500 2,444,690
* Weider Nutrition International, Inc. 70,700 328,048
Wellco Enterprises, Inc. 10,600 202,460
Wellman, Inc. 250,200 1,989,090
* Wells-Gardner Electronics Corp. 50,473 236,718
Wesbanco, Inc. 104,273 2,871,678
* WESCO International, Inc. 50 829
West Coast Bancorp 104,787 2,306,362
* West Marine, Inc. 133,800 3,513,588
West Pharmaceutical Services, Inc. 77,700 2,953,377
* Westaff, Inc. 142,650 370,890
Westbank Corp. 10,363 195,135
* Westcoast Hospitality Corp. 118,800 685,476
* Westell Technologies, Inc. 274,027 1,507,149
Western Ohio Financial Corp. 9,300 308,295
* Western Power & Equipment Corp. 18,448 6,734
* Western Sierra Bancorp 1,732 50,574
* Western Water Co. 100 9
* Westmoreland Coal Co. 2,400 51,504
Westwood Holdings Group, Inc. 6,037 104,863
* Wet Seal, Inc. Class A 133,030 775,565
Weyco Group, Inc. 3,300 110,286
* White Electronics Designs Corp. 154,256 985,696
* Whitehall Jewelers, Inc. 153,200 1,227,132
*# WHX Corp. 34,433 55,781
* Wickes, Inc. 37,100 4,638
* Wild Oats Markets, Inc. 157,395 2,132,702
* Williams Industries, Inc. 5,800 20,387
* Willis Lease Finance Corp. 67,300 555,225
</Table>
178
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Willow Grove Bancorp, Inc. 54,509 $ 829,082
* Wilshire Financial Services Group,
Inc. 1,002 9,008
* Wilshire Oil Co. of Texas 130,375 653,179
* Wilsons The Leather Experts, Inc. 103,661 347,264
* Wind River Systems, Inc. 105,042 1,080,882
* Winmark Corp. 51,900 1,323,450
* Wireless Facilities, Inc. 54,900 520,452
Wireless Telecom Group, Inc. 192,400 574,314
* Wireless WebConnect!, Inc. 80,807 222
* Wiser Oil Co. 84,000 887,880
* Witness Systems, Inc. 171,300 2,468,433
* WJ Communications, Inc. 175,900 562,880
* WMS Industries, Inc. 89,600 2,750,720
* Wolverine Tube, Inc. 97,900 1,114,102
*# Women First HealthCare, Inc. 4,500 101
Woodhead Industries, Inc. 172,950 2,604,627
Woodward Governor Co. 34,859 2,316,381
* World Acceptance Corp. 177,000 3,166,530
World Fuel Services Corp. 92,300 4,067,661
*# WorldGate Communications, Inc. 24,000 49,680
* Worldwide Restaurant Concepts, Inc. 245,424 819,716
WSFS Financial Corp. 12,200 583,404
X-Rite, Inc. 173,100 2,316,078
* Xanser Corp. 303,000 766,590
* Xeta Corp. 85,400 435,455
* Xicor, Inc. 209,650 3,155,233
Yardville National Bancorp 75,767 1,905,540
* Young Broadcasting, Inc. Class A 89,200 1,277,344
* Zapata Corp. 13,360 908,480
* Zevex International, Inc. 26,500 90,630
* Zhone Technologies, Inc. 11,300 37,064
Ziegler Co., Inc. 4,200 67,200
* Zila, Inc. 238,728 1,215,126
*# Zix Corp. 159,924 1,429,721
* Zoll Medical Corp. 47,500 1,467,750
*# Zoltek Companies, Inc. 130,900 952,952
* Zomax, Inc. 161,692 616,047
* Zones, Inc. 147,800 399,060
* Zoran Corp. 22,819 400,930
* Zygo Corp. 92,901 984,751
* Zymetx, Inc. 35,300 1,853
---------------
TOTAL COMMON STOCKS
(Cost $2,022,287,707) 2,705,719,464
---------------
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 0 0
*# Angeion Corp. Warrants 10/31/07 1,294 0
* Chart Industries, Inc. Warrants
09/15/10 159 1,216
* Chiquita Brands International, Inc.
Warrants 03/19/09 546 2,577
* Danielson Holding Corp. Rights
06/09/04 102,553 0
* Del Global Technologies Corp.
Warrants 03/28/08 4,265 2,559
* Imperial Credit Industries, Inc.
Warrants 01/31/08 1,010 $ 0
* Imperial Sugar Co. Warrants
08/29/08 2,543 5,137
* Lodgian, Inc. Class A Warrants
11/25/07 1,813 381
* Lodgian, Inc. Class B Warrants
11/25/09 5,601 1,288
* Magnum Hunter Resources Warrants
03/21/05 42,340 25,404
*# OSI Pharmaceutical, Inc. Rights 4,500 1,733
* 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) 40,358
---------------
<Caption>
FACE
AMOUNT
------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp. $ 9 0
* Timco Aviation Services, Inc. 1 0
---------------
TOTAL BONDS
(Cost $0) 0
---------------
TEMPORARY CASH
INVESTMENTS -- (6.2%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $25,505,000 FHLB Notes 3.375%,
06/15/04, valued at $25,920,732 and by $11,477,000
FHLB Notes 1.625%, 06/15/05, valued at $11,520,613)
to be repurchased at $36,890,647 (Cost $36,887,000) 36,887 36,887,000
Repurchase Agreement, Merrill Lynch
Triparty Repo 0.96%, 06/01/04 (Collateralized by
$130,954,000 U.S. Treasury Obligations rates ranging
from 1.625% to 3.875%, maturities ranging from
01/31/05 to 05/15/09, valued at $146,258,675) to be
repurchased at $141,697,542 (Cost $141,682,429)^ 141,682 141,682,429
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $178,569,429) 178,569,429
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,200,867,333)++ $ 2,884,329,251
===============
</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 $2,202,391,098.
See accompanying Notes to Financial Statements.
179
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
UNITED KINGDOM -- (19.4%)
COMMON STOCKS -- (19.4%)
Abbey National P.L.C. 841,876 $ 6,930,244
Aggregate Industries P.L.C. 1,926,365 2,976,832
Alliance & Leicester P.L.C. 348,000 5,264,654
Allied Domecq P.L.C. 621,994 5,172,552
Amvescap P.L.C. 225,900 1,515,531
Arriva P.L.C. 231,050 1,651,789
Associated British Foods P.L.C. 990,462 11,631,581
Associated British Ports Holdings
P.L.C. 378,800 3,037,599
Aviva P.L.C. 2,582,930 25,216,998
* AWG P.L.C. 76,018 855,780
BAA P.L.C. 1,576,251 15,724,547
BAE Systems P.L.C. 2,599,132 9,806,062
Barratt Developments P.L.C. 338,959 3,566,453
BBA Group P.L.C. 679,855 3,165,960
Bellway P.L.C. 38,000 526,004
Berkeley Group P.L.C. 228,802 3,866,438
BG Group P.L.C. 1,408,548 8,581,102
BOC Group P.L.C. 82,135 1,341,431
Bovis Homes Group P.L.C. 132,000 1,237,365
BPB P.L.C. 458,500 3,269,374
Bradford & Bingley P.L.C. 80,259 408,850
Brambles Industries P.L.C. 272,000 1,056,902
Britannic P.L.C. 278,864 1,761,482
* British Airways P.L.C. 1,839,331 8,547,965
British Land Co. P.L.C. 857,882 10,539,837
British Vita P.L.C. 286,388 1,352,407
Brixton P.L.C. 359,333 1,911,806
* Cable and Wireless P.L.C. 3,512,914 7,943,057
* Canary Wharf Group P.L.C. 847,200 4,598,296
Carnival P.L.C. 156,448 7,021,173
* Colt Telecom Group P.L.C. 2,561,000 3,945,288
* Corus Group P.L.C. 6,312,988 3,913,405
Derwent Valley Holdings P.L.C. 49,351 756,218
DeVere Group P.L.C. 85,228 688,195
* Dimension Data Holdings P.L.C. 1,006,000 564,232
Dixons Group P.L.C. 333,402 931,182
* Duelguide Units P.L.C. 36,010 355,069
* Easyjet P.L.C. 294,025 1,073,156
FKI P.L.C. 856,795 1,741,838
Friends Provident P.L.C. 2,272,618 5,760,483
Galen Holdings P.L.C. 319,000 4,237,385
Great Portland Estates P.L.C. 299,155 1,440,093
Great Universal Stores P.L.C. 258,182 3,843,651
Greene King P.L.C. 105,263 1,757,735
Hammerson P.L.C. 468,800 5,815,111
Hanson P.L.C. 963,671 7,358,895
HBOS P.L.C. 14,538 190,478
* HHG P.L.C. 842,619 664,307
Hilton Group P.L.C. 2,619,960 12,744,959
IMI P.L.C. 24,000 161,845
Intercontinental Hotels Group P.L.C. 968,773 9,286,691
* International Power P.L.C. 1,898,700 5,056,603
ITV P.L.C. 1,551,881 3,378,787
Johnson Matthey P.L.C. 43,250 $ 702,953
Kelda Group P.L.C. 161,510 1,456,483
Kesa Electricals P.L.C. 9,781 50,996
# Kingfisher P.L.C. 651,215 3,413,664
Land Securities Group P.L.C. 78,654 1,686,004
Liberty International P.L.C. 469,345 6,367,535
Logicacmg P.L.C. 586,400 2,012,631
London Merchant Securities P.L.C. 358,862 1,139,502
Marks & Spencer Group P.L.C. 1,197,239 7,890,393
Mersey Docks & Harbour Co. P.L.C. 115,042 1,455,763
MFI Furniture Group P.L.C. 66,600 182,435
Millennium and Copthorne Hotels
P.L.C. 489,930 2,843,510
Mitchells & Butlers P.L.C. 630,549 2,997,502
* MM02 P.L.C. 8,760,348 15,678,806
Morrison (Wm.) Supermarkets P.L.C. 1,582,672 6,627,064
Novar P.L.C. 571,338 1,309,149
Pearson P.L.C. 246,039 2,994,860
Peninsular & Oriental Steam
Navigation P.L.C. 1,086,433 4,270,957
Pennon Group P.L.C. 56,524 763,276
Persimmon P.L.C. 271,811 2,994,022
Pilkington P.L.C. 2,184,617 3,621,628
Pillar Property P.L.C. 159,913 1,641,266
* Premier Oil P.L.C. 119,812 1,165,426
Quintain Estates & Development
P.L.C. 100,000 729,199
Rio Tinto P.L.C. 83,136 2,000,590
RMC Group P.L.C. 401,000 4,035,580
Rolls Royce Group P.L.C. 2,686,097 11,122,171
* Rolls Royce Group P.L.C. 134,304,850 246,241
Royal & Sun Alliance Insurance
Group P.L.C. 5,018,810 7,450,701
Royal Bank of Scotland Group P.L.C. 212,693 6,428,725
Sabmiller P.L.C. 192,609 2,327,665
# Sainsbury (J.) P.L.C. 2,864,609 14,300,152
Scottish & Newcastle P.L.C. 959,905 7,508,053
Scottish Power P.L.C. 915,215 6,635,236
Severn Trent P.L.C. 210,597 3,118,962
* Shire Pharmaceuticals Group P.L.C. 683,427 6,208,647
Singer & Friedlander Group P.L.C. 253,818 1,093,881
Slough Estates P.L.C. 706,900 5,564,664
Smith (David S.) Holdings P.L.C. 547,941 1,567,369
Smith (W.H.) P.L.C. 299,537 1,965,244
Somerfield P.L.C. 738,068 1,939,982
Stagecoach Holdings P.L.C. 1,557,000 2,341,002
Stanley Leisure Organisation P.L.C. 186,760 1,606,028
Tate & Lyle P.L.C. 660,070 3,655,181
Taylor Woodrow P.L.C. 973,675 4,528,444
Tesco P.L.C. 1,560,816 7,123,961
The Big Food Group P.L.C. 505,408 928,373
* Thus Group P.L.C. 1,956,555 933,783
Trinity Mirror P.L.C. 495,640 5,638,934
United Business Media P.L.C. 237,262 1,923,758
United Utilities P.L.C. 265,595 2,642,143
Vodafone Group P.L.C. 13,873,752 32,699,074
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Westbury P.L.C. 162,025 $ 1,272,549
Whitbread P.L.C. 511,290 7,496,474
Wilson Bowden P.L.C. 105,900 2,010,789
Wimpey (George) P.L.C. 446,968 3,018,363
Wolverhampton & Dudley Breweries
P.L.C. 107,366 1,616,965
Woolworths Group P.L.C. 2,074,511 1,684,586
---------------
TOTAL COMMON STOCKS
(Cost $377,656,054) 474,774,971
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling
(Cost $35,295) 36,615
---------------
TOTAL -- UNITED KINGDOM
(Cost $377,691,349) 474,811,586
---------------
JAPAN -- (17.4%)
COMMON STOCKS -- (17.4%)
Acom Co., Ltd. 14,600 979,025
# Aichi Steel Corp. 120,000 493,526
AIOI Insurance Co., Ltd. 928,735 4,040,680
Aisin Seiki Co., Ltd. 182,500 3,383,738
Akita Bank, Ltd. 115,000 452,538
# Alpine Electronics, Inc. 36,800 471,467
Amada Co., Ltd. 376,000 2,138,762
# Anritsu Corp. 67,000 419,610
Aoyama Trading Co., Ltd. 47,700 1,108,318
Asahi Breweries, Ltd. 173,000 1,823,313
Asahi Kasei Corp. 289,000 1,422,289
Asatsu-Dk, Inc. 32,500 840,095
Autobacs Seven Co., Ltd. 23,700 669,145
Awa Bank, Ltd. 196,600 1,129,190
Bank of Iwate, Ltd. 15,300 677,599
# Bank of Kyoto, Ltd. 347,400 2,290,876
Bank of Nagoya, Ltd. 185,000 933,192
Benesse Corp. 6,500 197,550
Canon Sales Co., Inc. 124,900 1,586,967
Chiba Bank, Ltd. 941,000 5,415,152
Chudenko Corp. 41,100 707,233
Chugoku Bank, Ltd. 238,800 2,413,869
Citizen Watch Co., Ltd. 318,000 3,323,532
Coca-Cola West Japan Co., Ltd. 58,400 1,409,917
Comsys Holdings Corp. 92,000 682,561
# Cosmo Oil Co., Ltd. 764,000 1,867,757
Dai Nippon Ink & Chemicals, Inc. 459,000 1,042,492
Dai Nippon Pharmaceutical Co., Ltd. 106,000 803,341
Dai Nippon Printing Co., Ltd. 144,000 2,202,431
# Daicel Chemical Industries, Ltd. 485,000 2,108,669
Daido Steel Co., Ltd. 274,000 657,436
Daihatsu Motor Co., Ltd. 258,000 1,517,061
Daishi Bank, Ltd. 355,000 1,219,314
Daiwa House Industry Co., Ltd. 663,000 7,484,763
Denso Corp. 22,500 482,857
# Ebara Corp. 173,000 778,135
# Ezaki Glico Co., Ltd. 174,600 1,241,437
Fuji Electric Co., Ltd. 525,780 1,293,228
Fuji Fire & Marine Insurance Co.,
Ltd. 297,000 692,913
Fuji Heavy Industries 493,000 2,430,726
Fuji Oil Co., Ltd. 55,200 643,650
Fuji Photo Film Co., Ltd. 355,000 $ 10,551,760
Fujikura, Ltd. 241,000 1,153,558
Fujitsu, Ltd. 286,000 1,931,493
Fukui Bank, Ltd. 343,000 1,359,737
# Fukuoka Bank, Ltd. 400,000 2,071,477
# Fukuyama Transporting Co., Ltd. 266,000 1,211,601
* Furukawa Electric Co., Ltd. 380,000 1,411,648
Futaba Corp. 16,000 419,581
Futaba Industrial Co., Ltd. 44,100 682,343
# Glory, Ltd. 46,800 662,790
Gunma Bank, Ltd. 323,000 1,486,093
Gunze, Ltd. 148,000 706,135
Hachijuni Bank, Ltd. 344,000 2,056,852
#* Hankyu Corp. 174,000 670,625
# Hanshin Electric Railway Co., Ltd. 216,000 701,147
Heiwa Corp. 81,500 1,221,706
Higo Bank, Ltd. 308,000 1,769,064
Hitachi Cable, Ltd. 236,000 1,060,267
Hitachi Maxell, Ltd. 96,000 1,407,726
Hitachi Metals, Ltd. 360,000 1,719,080
Hitachi, Ltd. 3,734,000 25,589,059
Hokkoku Bank, Ltd. 223,000 1,067,827
Hokuetsu Paper Mills, Ltd. 162,000 869,334
Hokugin Financial Group, Inc. 414,000 839,050
House Foods Corp. 117,000 1,505,125
# Hyakugo Bank, Ltd. 258,000 1,534,783
# Hyakujishi Bank, Ltd. 314,000 1,942,853
* Ishikawajima-Harima Heavy
Industries Co., Ltd. 819,000 1,167,661
* Itochu Corp. 120,000 492,009
Itoham Foods, Inc. 132,000 591,829
Iyo Bank, Ltd. 204,000 1,369,997
Japan Airport Terminal Co., Ltd. 33,000 296,226
JFE Holdings, Inc. 56,300 1,218,243
Joyo Bank, Ltd. 545,000 2,147,260
# Juroku Bank, Ltd. 349,000 1,475,036
# Kagoshima Bank, Ltd. 132,000 739,936
Kamigumi Co., Ltd. 357,000 2,346,542
Kandenko Co., Ltd. 129,000 683,340
Kansai Paint Co., Ltd., Osaka 131,000 770,757
Katokichi Co., Ltd. 34,500 608,482
# Kawasaki Heavy Industries, Ltd. 910,000 1,359,185
Kikkoman Corp. 259,000 2,087,353
Kinden Corp. 167,000 929,655
Kirin Brewery Co., Ltd. 437,000 4,152,801
# Kissei Pharmaceutical Co., Ltd. 41,000 875,872
Kobe Steel, Ltd. 2,632,000 3,842,186
Koito Manufacturing Co., Ltd. 101,000 701,488
Kokuyo Co., Ltd. 81,200 989,157
Komatsu, Ltd. 1,279,000 7,702,264
Komori Corp. 47,000 692,540
# Koyo Seiko Co. 198,000 2,006,219
Kubota Corp. 140,000 647,773
Kuraray Co., Ltd. 241,000 1,811,296
# Kuraya Sanseido, Inc. 82,600 1,235,988
Kureha Chemical Industry Co., Ltd. 122,000 488,520
KYORIN Pharmaceutical Co., Ltd. 52,000 680,761
# Makita Corp. 209,000 2,933,140
Marubeni Corp. 1,942,000 4,429,099
Marui Co., Ltd. 213,000 2,839,783
# Maruichi Steel Tube, Ltd. 117,000 1,758,628
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# Matsushita Electric Industrial Co.,
Ltd. 1,977,135 $ 27,425,216
Matsushita Electric Works, Ltd. 142,000 1,185,094
# Meiji Seika Kaisha, Ltd. Tokyo 243,000 985,587
# Michinoku Bank, Ltd. 187,000 1,063,990
Millea Holdings, Inc. 46 606,247
Mitsubishi Corp. 40,000 395,191
Mitsubishi Gas Chemical Co., Inc. 305,000 1,146,869
Mitsubishi Heavy Industries, Ltd. 2,128,000 5,567,075
Mitsubishi Logistics Corp. 106,000 924,108
Mitsubishi Materials Corp. 975,000 1,864,568
#* Mitsubishi Motors Corp. 568,000 1,119,876
Mitsui Chemicals, Inc. 239,800 1,163,162
Mitsui Engineering and Shipbuilding
Co., Ltd. 481,000 813,477
Mitsui Trust Holdings 641,000 4,266,825
Mitsumi Electric Co., Ltd. 45,800 468,759
Mizuho Holdings, Inc. 1,192 5,120,280
Morinaga Milk Industry Co., Ltd. 160,000 595,510
Musashino Bank, Ltd. 20,000 722,528
Nagase & Co., Ltd. 87,000 723,676
Namco, Ltd. 5,500 138,069
Nanto Bank, Ltd. 317,000 1,448,045
NGK Insulators, Ltd. 216,000 1,536,529
NGK Spark Plug Co., Ltd. 144,000 1,295,677
Nichicon Corp. 51,200 652,234
Nichirei Corp. 180,000 576,526
Nifco, Inc. 37,000 567,717
Nihon Unisys, Ltd. 69,100 512,213
Nippon Broadcasting System, Inc. 20,690 1,011,229
# Nippon Electric Glass Co., Ltd. 72,000 1,543,539
Nippon Kayaku Co., Ltd. 128,000 649,635
Nippon Meat Packers, Inc., Osaka 144,000 1,567,917
Nippon Mining Holdings, Inc. 370,000 1,708,854
Nippon Mitsubishi Oil Corp. 1,871,050 10,633,474
Nippon Paint Co., Ltd. 167,000 606,191
Nippon Sanso Corp. 30,000 137,311
Nippon Sheet Glass Co., Ltd. 280,000 926,729
Nippon Shinpan Co., Ltd. 191,000 651,818
Nippon Shokubai Co., Ltd. 163,000 1,193,958
Nippon Television Network Corp. 9,400 1,447,390
Nipponkoa Insurance Co., Ltd. 45,000 258,828
Nishimatsu Construction Co., Ltd. 364,000 1,236,106
Nishi-Nippon Bank, Ltd. 156,540 704,445
Nissay Dowa General Insurance
Co., Ltd. 383,000 1,924,261
Nisshin Seifun Group, Inc. 148,000 1,360,518
Nisshin Steel Co., Ltd. 627,000 1,264,556
Nisshinbo Industries, Inc. 305,000 2,021,246
#* Nissho Iwai-Nichmen Holdings Corp. 130,400 694,507
NSK, Ltd. 319,000 1,443,643
Obayashi Corp. 520,000 2,482,203
Ogaki Kyoritsu Bank, Ltd. 50,000 269,692
Oji Paper Co., Ltd. 275,000 1,749,298
Okumura Corp. 144,000 707,500
Onward Kashiyama Co., Ltd. 100,000 1,612,619
PanaHome Corp. 106,000 570,078
# Pioneer Electronic Corp. 60,000 1,537,866
Promise Co., Ltd. 60,500 3,976,827
Q.P. Corp. 109,600 892,411
# Rengo Co., Ltd. 152,000 683,988
* Resona Holdings, Inc. 1,873,000 $ 3,220,661
San In Godo Bank, Ltd. 110,000 864,336
Santen Pharmaceutical Co., Ltd. 52,000 757,478
# Sanwa Shutter Corp. 101,000 518,071
Sanyo Shinpan Finance Co., Ltd. 19,800 1,086,425
Sapporo Breweries, Ltd. 251,000 815,139
Sapporo Hokuyo Holdings, Inc. 224 1,172,121
Seino Transportation Co., Ltd. 193,000 1,835,299
Sekisui Chemical Co., Ltd. 557,000 4,109,695
Sekisui House, Ltd. 942,000 9,812,478
Seventy-seven (77) Bank, Ltd. 241,000 1,420,528
SFCG Co., Ltd. 8,010 1,404,972
Shiga Bank, Ltd. 272,000 1,349,621
Shikoku Bank, Ltd. 72,000 429,019
Shimachu Co., Ltd. 36,200 902,162
# Shimadzu Corp. 181,000 932,806
Shinko Securities Co., Ltd. 470,000 1,560,982
Shizuoka Bank, Ltd. 473,000 3,854,740
# Softbank Corp. 49,100 1,877,895
Sumitomo Bakelite Co., Ltd. 105,000 698,212
Sumitomo Corp. 471,000 3,633,702
Sumitomo Electric Industries, Ltd. 472,000 4,540,655
Sumitomo Forestry Co., Ltd. 139,000 1,431,249
Sumitomo Metal Industries, Ltd.
Osaka 1,481,000 1,661,464
Sumitomo Metal Mining Co., Ltd. 313,000 1,864,367
Sumitomo Osaka Cement Co., Ltd. 269,000 650,652
Sumitomo Realty & Development
Co., Ltd. 150,000 1,617,350
Sumitomo Rubber 43,000 357,718
Sumitomo Trust & Banking Co., Ltd. 21,000 129,088
Suruga Bank, Ltd. 87,000 574,425
Suzuken Co., Ltd. 54,000 1,685,214
Taiheiyo Cement Corp. 1,209,800 2,642,448
Taisei Corp. 1,325,000 4,413,188
Taiyo Yuden Co., Ltd. 72,000 1,038,264
Takara Standard Co., Ltd. 118,000 645,570
Takashimaya Co., Ltd. 214,000 2,357,203
# Takefuji Corp. 35,920 2,390,002
TDK Corp. 10,100 709,085
Teijin, Ltd. 893,000 2,884,554
Teikoku Oil Co., Ltd. 346,000 1,766,783
Toda Corp. 203,000 748,487
Toho Bank, Ltd. 254,000 1,010,175
Tokai Tokyo Securities Co., Ltd. 155,000 447,237
Tokuyama Corp. 248,000 1,060,197
Tokyo Broadcasting System, Inc. 113,500 2,013,658
# Tokyo Steel Manufacturing Co., Ltd. 97,800 1,390,966
Tokyo Style Co., Ltd. 133,000 1,504,229
# Tokyo Tatemono Co., Ltd. 143,000 691,014
Toppan Printing Co., Ltd. 441,000 5,366,365
Toray Industries, Inc. 620,000 2,854,071
Toshiba TEC Corp. 181,000 787,527
Tostem Inax Holding Corp. 160,000 3,278,680
Toto, Ltd. 247,000 2,654,223
# Toyo Ink Manufacturing Co., Ltd. 174,000 703,334
Toyo Seikan Kaisha, Ltd. 287,600 4,718,371
Toyo Suisan Kaisha, Ltd. 64,000 773,366
Toyota Auto Body Co., Ltd. 86,000 1,309,569
Toyota Industries Corp. 76,500 1,668,275
# Toyota Tsusho Corp. 314,000 2,881,419
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TV Asahi Corp. 202 $ 375,250
UNY Co., Ltd. 133,000 1,642,230
Wacoal Corp. 149,000 1,579,834
# Yamagata Bank, Ltd. 153,700 673,239
Yamaguchi Bank, Ltd. 133,000 1,355,800
Yamanashi Chuo Bank, Ltd. 119,000 588,331
Yamatake Corp. 20,000 194,318
Yamazaki Baking Co., Ltd. 155,000 1,436,047
Yokogawa Electric Corp. 337,000 4,360,631
Yokohama Rubber Co., Ltd. 410,000 1,508,010
York-Benimaru Co., Ltd. 29,300 838,751
---------------
TOTAL COMMON STOCKS
(Cost $411,657,891) 425,533,004
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen
(Cost $20,787) 21,114
---------------
TOTAL -- JAPAN
(Cost $411,678,678) 425,554,118
---------------
FRANCE -- (8.5%)
COMMON STOCKS -- (8.5%)
# AGF (Assurances Generales de
France SA) 149,122 9,041,456
# Air France 143,423 2,346,271
Air Liquide SA 8,848 1,561,285
Alcan, Inc. 30,183 1,192,724
#* Alcatel SA 195,750 2,820,740
#* Alstom SA 185,169 212,840
Arcelor SA 167,800 2,815,999
AXA 634,106 13,042,808
BNP Paribas SA 549,686 33,602,499
Bongrain SA 7,145 480,617
* Cap Gemini SA 89,951 3,450,082
#* Club Mediterranee SA 8,962 379,658
# Compagnie de Saint-Gobain 288,912 14,553,997
Compagnie Francaise d'Etudes et de
Construction Technip SA 10,990 1,480,578
Credit Agricole SA 27,709 681,356
Eiffage SA 6,954 541,060
Esso SA 686 96,312
Euler-Hermes SA 10,354 571,483
* Eurafrance 18,000 1,106,386
# Faurecia SA 30,445 1,973,013
# Fimalac SA 46,887 1,832,765
Fonciere Lyonnaise SA 10,950 471,975
France Telecom SA 188,321 4,550,289
Generale des Establissements
Michelin SA Series B 107,620 5,258,360
Havas SA 300,744 1,596,520
Imerys SA 11,000 2,502,481
LaFarge SA 62,037 5,319,155
LaFarge SA Prime Fidelity 82,581 7,154,869
# Lagardere S.C.A. SA 10,900 665,814
* Nexans 9,618 315,866
# Peugeot SA 233,374 13,179,063
# Pinault Printemps Redoute SA 22,619 2,364,871
Rallye SA 18,020 912,719
# Remy Cointreau SA 56,022 $ 1,870,576
Renault SA 121,719 9,070,115
Rexel SA 10,713 442,555
* SA Des Galeries Lafayette 900 174,397
Schneider SA 63,451 4,274,219
* Scor SA 733,800 1,075,223
SEB SA Prime Fidelity 9,900 1,112,224
Societe BIC SA 52,288 2,268,319
# Societe des Ciments de Francais 28,600 2,223,571
Societe Generale, Paris 293,528 24,896,954
# Suez (ex Suez Lyonnaise des Eaux) 296,563 5,775,385
Thomson Multimedia 129,923 2,479,132
Valeo SA 73,528 2,984,104
Vallourec (Usines a Tubes de Lorraine
Escaut et Vallourec Reunies) 4,504 392,968
#* Veolia Environnement SA 25,700 687,796
* Vivendi Universal SA 403,364 10,293,783
---------------
TOTAL COMMON STOCKS
(Cost $136,677,536) 208,097,232
---------------
RIGHTS/WARRANTS -- (0.0%)
* Rallye SA Series B Warrants 11/30/05
(Cost $7,244) 18,020 3,759
---------------
TOTAL -- FRANCE
(Cost $136,684,780) 208,100,991
---------------
SWITZERLAND -- (6.1%)
COMMON STOCKS -- (6.1%)
* ABB, Ltd. 335,400 1,880,058
# Baloise-Holding 190,560 7,679,424
Bank Sarasin & Cie Series B, Basel 180 255,824
Banque Cantonale Vaudoise 12,608 1,387,080
# Berner Kantonalbank 23,400 2,779,455
* Ciba Spezialitaetenchemie Holding
AG 56,300 3,846,625
Cie Financiere Richemont AG
Series A 1,251,000 32,223,768
Clariant AG 19,200 265,074
Converium Holding AG 14,400 733,921
* Credit Swisse Group 128,200 4,410,505
* Fischer (Georg) AG, Schaffhausen 1,280 279,066
# Givaudan SA 3,952 2,113,439
# Helvetia Patria Holding 16,301 2,867,348
# Holcim, Ltd. 199,770 10,396,504
# Jelmoli Holding AG 500 625,759
# Luzerner Kantonalbank AG 14,627 2,337,061
# Pargesa Holding SA, Geneve 1,935 5,565,147
# PSP Swiss Property AG 109,600 3,822,181
# Rieters Holdings AG 7,860 1,993,377
Sig Holding AG 44,130 7,549,197
#* Sika Finanz AG, Baar 3,828 1,924,356
# St. Galler Kantonalbank 14,319 2,879,750
#* Swiss Life AG 124,240 15,660,232
Swiss Reinsurance Co., Zurich 18,800 1,167,036
* Syngenta AG 152,500 12,097,295
#* Unaxis Holding AG 45,400 5,141,601
#* Valiant Holding AG 39,295 3,270,942
# Valora Holding AG 12,170 2,881,408
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* Zurich Financial SVCS AG 67,906 $ 10,684,280
---------------
TOTAL COMMON STOCKS
(Cost $107,900,215) 148,717,713
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs
(Cost $1,007,353) 1,035,109
---------------
TOTAL -- SWITZERLAND
(Cost $108,907,568) 149,752,822
---------------
GERMANY -- (5.4%)
COMMON STOCKS -- (5.4%)
# Aachener und Muenchener
Beteiligungs AG 32,773 2,365,409
# Aareal Bank AG 22,825 773,722
Allianz AG 5,000 522,715
* Bankgesellschaft Berlin AG 233,550 569,824
BASF AG 386,050 19,783,712
Bayer AG 280,139 8,022,055
* Bayerische Vereinsbank AG 485,020 8,193,305
# BHW Holding AG 34,600 540,214
# Bilfinger & Berger Bau AG 23,702 779,430
Commerzbank AG 408,050 6,665,331
# DaimlerChrysler AG 219,282 9,759,496
# Deutsche Bank AG 359,305 28,283,407
Deutsche Lufthansa AG 319,477 4,587,451
E.ON AG 7,600 529,503
* Fraport AG 63,708 1,842,234
# Fresenius Medical Care AG 27,600 2,041,697
#* Heidelberger Druckmaschinen AG 38,167 1,209,797
Heidelberger Zement AG 64,373 2,835,953
# Hochtief AG 56,150 1,232,333
* Hypo Real Estate Holding AG 84,277 2,369,101
# IVG Immobilien AG 30,276 349,823
# Karstadt Quelle AG 30,734 634,785
# Linde AG 77,043 3,989,632
# MAN AG 88,000 3,250,554
Merck KGAA 36,000 2,007,356
MG Technologies AG 135,773 1,766,950
# Preussag AG 115,227 2,236,610
Salzgitter AG 13,041 154,880
SCA Hygiene Products AG 3,550 1,300,620
ThyssenKrupp AG 290,691 4,862,280
* Vattenfall Europe AG 94,898 2,955,912
Volkswagen AG 120,547 5,280,608
---------------
TOTAL -- GERMANY
(Cost $125,815,346) 131,696,699
---------------
AUSTRALIA -- (3.8%)
COMMON STOCKS -- (3.8%)
Amcor, Ltd. 126,820 587,802
AMP Limited 1,026,451 4,079,874
Ansell, Ltd. 303,463 1,708,852
APN News & Media, Ltd. 486,363 1,418,593
AWB, Ltd. 345,296 1,207,045
AXA Asia Pacific Holdings, Ltd. 2,837,724 6,872,505
BHP Steel Ltd. 1,252,100 5,536,152
Boral, Ltd. 899,150 3,760,136
Caltex Australia, Ltd. 440,369 2,714,191
Commonwealth Bank of Australia 48,696 $ 1,140,569
CSR, Ltd. 1,514,337 2,084,174
Downer Group, Ltd. 216,113 484,787
Futuris Corp., Ltd. 456,719 505,165
Insurance Australiz Group, Ltd. 1,428,272 4,641,130
# Lend Lease Corp., Ltd. 568,460 4,073,668
Lion Nathan, Ltd. 871,345 4,102,395
Mayne Group, Ltd. 1,280,958 2,736,434
Mirvac, Ltd. 1,140,163 3,452,949
Onesteel, Ltd. 436,697 700,279
Orica, Ltd. 352,900 3,685,332
Origin Energy, Ltd. 686,245 2,582,446
Paperlinx, Ltd. 727,704 2,526,782
Publishing and Broadcasting, Ltd. 579,260 5,098,686
# Quantas Airways, Ltd. 3,042,351 7,448,311
Rinker Group, Ltd. 1,155,484 6,177,109
Santos, Ltd. 953,246 4,610,445
# Seven Network, Ltd. 383,865 1,396,206
* Southcorp, Ltd. 1,146,542 2,585,702
* Stockland Trust Group 735 2,743
Stockland Trust Group 21,349 80,393
WMC Resources, Ltd. 1,760,061 5,798,458
---------------
TOTAL COMMON STOCKS
(Cost $64,985,485) 93,799,313
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar
(Cost $23,400) 21,915
---------------
TOTAL -- AUSTRALIA
(Cost $65,008,885) 93,821,228
---------------
NETHERLANDS -- (3.8%)
COMMON STOCKS -- (3.8%)
ABN-AMRO Holding NV 676,189 14,402,913
Aegon NV 822,637 9,934,972
* Air France 18,150 294,780
AM NV 61,661 541,577
Buhrmann NV 94,439 899,882
DSM NV 78,837 3,893,093
#* Hagemeyer NV 342,825 734,022
* Hunter Douglas NV 34,696 1,617,050
ING Groep NV 1,552,333 35,065,385
* Koninklijke Ahold NV 411,500 3,219,002
Koninklijke KPN NV 278,922 2,028,813
Koninklijke Nedlloyd NV 12,142 370,285
Koninklijke Philips Electronics NV 405,906 11,086,373
New Skies Satellites NV 52,400 424,180
Nutreco Holding NV 23,646 726,902
NV Holdingsmij de Telegraaf 6,800 150,573
Oce NV 60,734 903,874
Vedior NV 46,388 691,658
* Versatel Telecom International NV 323,150 644,450
VNU NV 168,736 4,968,415
---------------
TOTAL COMMON STOCKS
(Cost $60,608,176) 92,598,199
---------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 16,500 20,753
* AM NV Coupons 06/04/04 61,661 0
</Table>
184
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* ING Groep NV Coupons 06/17/05 1,552,333 $ 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $21,343) 20,753
---------------
TOTAL -- NETHERLANDS
(Cost $60,629,519) 92,618,952
---------------
SPAIN -- (3.0%)
COMMON STOCKS -- (3.0%)
# Acerinox SA 65,340 3,580,706
# Arcelor SA 30,000 503,953
Autopistas Concesionaria Espanola
SA 905,074 15,258,004
Banco de Andalucia 900 79,548
Banco de Sabadell SA 154,021 3,170,801
# Banco Pastor SA 59,400 1,762,479
Cementos Portland SA 21,016 1,260,678
Corporacion Mapfre Compania
Internacional de Reaseguros SA 146,555 1,667,765
Ebro Puleva SA 116,168 1,416,324
Endesa SA, Madrid 308,964 5,703,723
# Gas Natural SA, Buenos Aires 21,400 511,286
# Iberdrola SA 535,000 10,793,336
# Iberia Lineas Aereas de Espana SA 617,500 1,773,522
Inmobiliaria Colonial SA ICSA 41,300 1,001,296
# Inmobiliaria Urbis SA 96,328 1,065,716
# Metrovacesa SA 109,351 4,190,161
Repsol SA 496,967 10,514,033
Sociedad General de Aguas de
Barcelona SA 107,683 1,793,055
* Sociedad General de Aguas de
Barcelona SA 737 12,366
# Sol Melia SA 142,463 1,226,953
Union Fenosa SA 230,000 4,906,580
# Vallehermoso SA 45,000 662,610
---------------
TOTAL -- SPAIN
(Cost $44,543,185) 72,854,895
---------------
ITALY -- (2.9%)
COMMON STOCKS -- (2.9%)
#* Alitalia Linee Aeree Italiane SpA
Series A 6,690,000 1,916,746
* Banca Antoniana Popolare Veneta
SpA 83,000 1,655,360
Banca Monte Dei Paschi di Siena
SpA 1,623,479 5,035,105
* Banca Nazionale del Lavoro SpA 1,652,352 3,462,165
# Banca Popolare di Lodi Scarl 374,206 3,428,369
# Banca Popolare di Milano 665,400 3,915,990
Banca Popolare Rights 57,990 531,109
# Benetton Group SpA 181,249 2,052,994
Buzzi Unicem SpA 67,793 891,483
# Caltagirone Editore SpA 222,304 1,692,017
Capitalia SpA 2,910,876 8,603,926
CIR SpA (Cie Industriale Riunite),
Torino 500,000 1,017,041
# Compagnia Assicuratrice Unipol SpA 452,120 1,764,618
#* E.Biscom SpA 16,000 930,834
#* Edison SpA 899,081 1,557,540
Erg SpA 295,000 1,855,359
Ericsson SpA 20,069 796,765
#* Fiat SpA 1,054,970 $ 7,472,748
#* IFIL Finanziaria Partecipazioni SpA 1,368,874 4,849,708
# Italcementi SpA 444,060 5,556,122
# Italmobiliare SpA, Milano 33,664 1,572,078
Manifattura Lane Gaetano
Marzotto & Figli SpA 5,573 63,806
Milano Assicurazioni SpA 182,000 685,056
# Pirelli & Co. SpA 1,486,658 1,525,436
# SAI SpA (Sta Assicuratrice
Industriale), Torino 167,605 3,728,705
San Paolo-IMI SpA 121,701 1,393,518
# Societe Cattolica di Assicurazoni
Scarl SpA 8,800 341,886
# Telecom Italia SpA 1,209,533 3,709,241
---------------
TOTAL COMMON STOCKS
(Cost $77,211,453) 72,005,725
---------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 01/31/07
(Cost $0) 51,693 11,459
---------------
TOTAL -- ITALY
(Cost $77,211,453) 72,017,184
---------------
SWEDEN -- (2.2%)
COMMON STOCKS -- (2.2%)
* Ainax AB 40,367 1,133,020
#* Bostads AB Drott 28,050 504,168
Carbo AB 2,900 71,692
Castellum AB 4,100 96,709
#* Drott Series AB 131,600 1,840,563
Gambro AB Series A 451,900 4,076,681
Gambro AB Series B 129,800 1,153,281
Holmen AB Series A 6,300 189,771
Holmen AB Series B 120,100 3,442,765
NCC AB Series B 59,700 504,412
Nordic Baltic Holdings AB 372,600 2,524,914
Skandinaviska Enskilda Banken
Series A 196,000 2,826,139
Skandinaviska Enskilda Banken
Series C 9,800 137,446
SSAB Swedish Steel Series A 121,600 2,034,049
SSAB Swedish Steel Series B 37,700 610,193
Svenska Cellulosa AB Series A 19,000 735,884
Svenska Cellulosa AB Series B 194,900 7,552,395
Svenska Kullagerfabriken AB
Series A 22,650 819,199
Svenska Kullagerfabriken AB
Series B 29,700 1,083,585
# Telia AB 255,500 1,080,122
Trelleborg AB Series B 103,600 1,877,706
# Volvo AB Series A 212,100 6,614,231
# Volvo AB Series B 413,600 13,520,720
Whilborg Fastigheter AB Class B 35,800 466,127
---------------
TOTAL -- SWEDEN
(Cost $42,136,221) 54,895,772
---------------
FINLAND -- (1.5%)
COMMON STOCKS -- (1.5%)
Fortum Oyj 1,071,385 12,579,654
Huhtamaki Van Leer Oyj 2,300 30,179
</Table>
185
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
# Kemira Oyj 101,377 $ 1,280,469
Kesko Oyj 157,000 3,090,975
Metso Oyj 219,166 2,684,084
M-real Oyj Series B 253,400 2,156,183
Okobank Class A 65,000 646,379
Outokumpu Oyj Series A 351,300 5,322,314
Rautaruukki Oyj Series K 12,900 96,037
Stora Enso Oyj Series R 595,800 7,722,494
Upm-Kymmene Oyj 83,100 1,492,540
Wartsila Corp. Oyj Series B 39,600 808,722
---------------
TOTAL -- FINLAND
(Cost $24,875,652) 37,910,030
---------------
HONG KONG -- (1.5%)
COMMON STOCKS -- (1.5%)
Cheung Kong Holdings, Ltd. 162,000 1,216,764
China Overseas Land & Investment,
Ltd. 1,864,000 305,826
China Travel International Investment,
Ltd. 680,000 119,479
# Chinese Estates Holdings, Ltd. 44,000 23,378
Great Eagle Holdings, Ltd. 94,000 146,264
# Hang Lung Development Co., Ltd. 1,765,000 2,400,392
Hang Lung Properties, Ltd. 624,500 812,550
Henderson Land Development Co.,
Ltd. 123,000 529,967
Hong Kong and Shanghai Hotels,
Ltd. 225,500 130,054
Hopewell Holdings, Ltd. 906,000 1,575,933
Hutchison Whampoa, Ltd. 217,000 1,467,269
Hysan Development Co., Ltd. 1,434,699 2,309,173
I-Cable Communications, Ltd. 325,121 124,918
# Kerry Properties, Ltd. 1,610,884 2,606,259
New Asia Realty & Trust Co., Ltd. 140,000 52,872
New World Development Co., Ltd. 1,269,649 984,974
Shanghai Industrial Holdings Ltd. 545,000 1,010,000
# Shangri-La Asia, Ltd. 3,149,482 3,093,937
Shun Tak Holdings, Ltd. 134,000 54,545
# Sino Land Co., Ltd. 6,239,407 3,638,909
Tsim Sha Tsui Properties, Ltd. 472,000 575,844
Wharf Holdings, Ltd. 3,251,214 9,164,226
Wheelock and Co., Ltd. 3,128,000 3,748,765
---------------
TOTAL COMMON STOCKS
(Cost $41,233,673) 36,092,298
---------------
RIGHTS/WARRANTS -- (0.0%)
* China Travel International Investment,
Ltd. Warrants 05/31/06
(Cost $0) 136,000 0
---------------
TOTAL -- HONG KONG
(Cost $41,233,673) 36,092,298
---------------
IRELAND -- (1.1%)
COMMON STOCKS -- (1.1%)
Allied Irish Banks P.L.C. 141,102 1,998,999
Bank of Ireland P.L.C. 99,637 1,179,578
CRH P.L.C. 279,359 5,933,437
* Elan Corp. P.L.C. 690,634 16,309,681
Irish Permanent P.L.C. 186,115 $ 2,800,171
---------------
TOTAL -- IRELAND
(Cost $12,849,099) 28,221,866
---------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
Ackermans & Van Haaren SA 4,187 99,981
# Algemene Mij Voor Nijverheidskredit
Almanij 74,928 4,545,058
# Banque Nationale de Belgique 1,049 3,583,170
Bekaert SA 2,787 161,051
Cofinimmo SA 1,108 142,068
#* Delhaize Freres & cie le Lion SA
Molenbeek-Saint Jean 88,564 4,140,848
# Dexia SA 87,003 1,456,158
D'Ieteren SA 431 85,797
Groupe Bruxelles Lambert 55,500 3,428,987
* ING Bank Belgium NV 128 4
Nationale a Portefeuille 4,029 568,411
Sofina SA 10,500 529,160
# Suez (ex Suez Lyonnaise des Eaux) 95,400 1,850,319
# Tessenderlo Chemie 31,155 1,090,587
#* Umicore-Strip VVPR 2,009 367
Union Miniere SA 54,327 3,298,083
---------------
TOTAL COMMON STOCKS
(Cost $21,735,276) 24,980,049
---------------
RIGHTS/WARRANTS -- (0.0%)
* Cofinimmo SA Rights 06/11/04
(Cost $0) 1,108 0
---------------
TOTAL -- BELGIUM
(Cost $21,735,276) 24,980,049
---------------
DENMARK -- (0.9%)
COMMON STOCKS -- (0.9%)
Carlsberg A.S. Series B 32,525 1,591,566
Codan A.S. 28,400 1,190,252
Danisco A.S. 29,530 1,399,523
Danske Bank A.S. 395,753 8,998,165
* Jyske Bank A.S. 22,300 1,175,746
Nordea AB 475,918 3,245,559
Rockwool, Ltd. 6,850 281,287
Tele Danmark A.S. 99,350 3,351,691
---------------
TOTAL -- DENMARK
(Cost $14,826,540) 21,233,789
---------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
DBS Group Holdings, Ltd. 357,000 2,954,705
Fraser & Neave, Ltd. 507,290 4,023,360
Haw Par Brothers International, Ltd. 2,698 7,409
Keppel Corp., Ltd. 855,000 3,343,117
# Neptune Orient Lines, Ltd. 801,000 1,009,059
Overseas Chinese Banking Corp.,
Ltd. 94,000 662,427
Sembcorp Industries, Ltd. 400,000 338,608
Singapore Airlines, Ltd. 617,000 3,810,654
Singapore Land, Ltd. 133,000 301,943
United Overseas Bank, Ltd. 66,000 503,724
</Table>
186
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
# United Overseas Land, Ltd. 259,000 $ 344,575
---------------
TOTAL COMMON STOCKS
(Cost $13,210,685) 17,299,581
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $7,704) 7,821
---------------
TOTAL -- SINGAPORE
(Cost $13,218,389) 17,307,402
---------------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
* Aker Kvaerner ASA 46,100 736,061
Den Norske Bank ASA Series A 606,394 3,847,441
Norsk Hydro ASA 16,700 1,036,330
Norske Skogindustrier ASA Series A 163,300 2,722,389
# Storebrand ASA 201,500 1,353,445
* Yara International ASA 16,700 123,919
---------------
TOTAL -- NORWAY
(Cost $8,187,301) 9,819,585
---------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
* Agricultural Bank of Greece S.A. 123,600 860,524
Alpha Credit Bank 35,040 916,728
Bank of Greece 8,520 900,526
Bank of Piraeus S.A. 4,600 53,590
Commercial Bank of Greece 44,760 1,185,010
EFG Eurobank Ergasias S.A. 60,097 1,337,660
Hellenic Petroleum S.A. 159,140 1,216,321
Hellenic Tellecommunication
Organization Co. S.A. 140,460 1,845,612
Intracom S.A. 92,390 464,799
National Bank of Greece 15,520 467,402
---------------
TOTAL -- GREECE
(Cost $7,870,638) 9,248,172
---------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Comercial Portugues SA 195,400 452,850
BPI SGPS SA 202,800 739,958
Cimpor Cimentos de Portugal SA 503,265 2,640,397
Portucel-Empresa Produtora de
Pasta de Papel SA 1,442,478 2,429,895
---------------
TOTAL -- PORTUGAL
(Cost $5,351,923) 6,263,100
---------------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
Bohler Uddeholm AG 6,402 488,199
OMV AG 5,913 1,036,949
Voestalpine AG 62,211 2,775,952
Wienerberger AG 16,123 546,392
---------------
TOTAL -- AUSTRIA
(Cost $3,477,881) 4,847,492
---------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 99,828 $ 421,080
Carter Holt Harvey, Ltd. 2,429,700 2,991,974
Fletcher Building, Ltd. 171,130 474,829
---------------
TOTAL COMMON STOCKS
(Cost $3,707,347) 3,887,883
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $6,846) 6,639
---------------
TOTAL -- NEW ZEALAND
(Cost $3,714,193) 3,894,522
---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Rekapacific Berhad 691,000 0
---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency
(Cost $881,605) 886,023
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (19.3%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $31,615,000 FMC
Discount Notes 1.13%, 08/12/04,
valued at $31,535,963) to be
repurchased at $31,071,072
(Cost $31,068,000) $ 31,068 31,068,000
Repurchase Agreement, Deutsche
Bank Securities 1.00%, 06/01/04
(Collateralized by $534,822,356
U.S. Treasury Obligations rates
ranging from 7.50% to 8.75%,
maturities ranging from 11/15/16 to
08/15/20, valued at $660,863,438) to
be repurchased at $442,051,058
(Cost $442,001,947)^ 442,002 442,001,947
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $473,069,947) 473,069,947
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,082,684,554)++ $ 2,449,898,522
===============
</Table>
- ----------
+ See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
^ Security purchased with cash proceeds from securities on loan.
++ The cost for federal income tax purposes is $2,082,875,007.
See accompanying Notes to Financial Statements.
187
<Page>
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
JAPAN -- (78.8%)
COMMON STOCKS -- (78.1%)
* A&A Material Corp. 123,000 $ 112,368
ABILIT Corp. 22,000 112,214
Achilles Corp. 549,000 988,770
Aderans Co., Ltd. 2,850 59,451
Advan Co., Ltd. 36,000 355,571
ADVANEX, Inc. 78,000 409,821
* Aeon Fantasy Co., Ltd. 4,000 85,691
Ahresty Corp. 28,300 228,737
Aichi Bank, Ltd. 13,200 831,880
# Aichi Corp. 119,900 575,338
* Aichi Machine Industry Co., Ltd. 153,000 464,198
Aichi Tokei Denki Co., Ltd. 67,000 193,558
Aida Engineering, Ltd. 113,000 506,131
Aigan Co., Ltd. 33,500 213,495
Aiphone Co., Ltd. 32,000 550,628
Airport Facilities Co., Ltd. 79,970 360,288
# Airtech Japan, Ltd. 12,100 98,440
Aisan Industry Co., Ltd. 80,500 721,947
* Akai Electric Co., Ltd. 363,000 3,284
Akebono Brake Industry Co., Ltd. 141,000 582,382
Akita Bank, Ltd. 42,000 165,275
Allied Material Corp. 37,700 555,224
# Allied Telesis KK 10,300 381,881
Aloka Co., Ltd. 43,000 341,677
# Alpha Systems Inc. 19,600 293,947
Alpine Electronics, Inc. 9,100 116,586
Alps Logistics Co., Ltd. 21,000 410,383
Altech Co., Ltd. 14,000 64,276
Amano Corp. 154,000 1,238,561
Amatsuji Steel Ball Manufacturing Co.,
Ltd. 42,000 442,441
Ando Corp. 120,000 233,353
Anest Iwata Corp. 74,000 166,277
Anrakutei Co., Ltd. 24,000 160,774
* AOC Holdings, Inc. 111,100 667,372
Aoi Advertising Promotion, Inc. 21,000 138,867
AOI Electronics Co., Ltd. 14,500 275,068
Aoki International Co., Ltd. 78,100 1,033,171
Aomori Bank, Ltd. 50,000 194,199
* Apic Yamada Corp. 20,000 74,257
* Arai-Gumi, Ltd. 34,450 69,542
Arakawa Chemical Industries, Ltd. 23,800 310,486
Araya Industrial Co., Ltd. 84,000 126,928
* Argo 21 Corp. 13,200 87,525
Ariake Japan Co., Ltd. 5,300 144,381
Aronkasei Co., Ltd. 53,000 199,307
As One Corp. 22,500 582,351
# Asahi Denka Kogyo KK 169,000 1,416,641
Asahi Diamond Industrial Co., Ltd. 112,000 626,104
Asahi Kogyosha Co., Ltd. 48,000 137,206
# Asahi Organic Chemicals Industry Co.,
Ltd. 157,000 440,981
Asahi Pretec Corp. 30,800 414,811
*# Asahi Soft Drinks Co., Ltd. 81,500 638,128
*# Asahi Tec Corp. 86,000 $ 138,694
*# Asahi Techno Glass Corp. 95,000 660,540
Asanuma Corp. 123,000 203,777
# Ashimori Industry Co., Ltd. 84,000 167,000
Asia Air Survey Co., Ltd. 6,000 16,297
Asia Securities Printing Co., Ltd. 29,000 258,868
Asics Corp. 333,000 910,065
Asunaro Construction., Ltd. 29,000 184,452
Ataka Constuction & Engineering Co.,
Ltd. 38,000 130,920
# Atom Corp. 16,600 193,892
# Atsugi Co., Ltd. 322,000 352,614
Aucnet, Inc. 15,000 217,046
Avex Inc. 14,600 235,401
* Azel Corp., Tokyo 89,000 94,936
Bando Chemical Industries, Ltd. 213,000 672,392
Bank of Okinawa, Ltd. 33,900 732,088
Bank of Saga, Ltd. 44,000 160,970
Bank of the Ryukyus, Ltd. 45,880 743,358
* Banpresto Co., Ltd. 6,800 88,405
# Best Denki Co., Ltd. 214,000 963,756
# BSL Corp. 210,950 305,662
Bull Dog Sauce Co., Ltd. 26,000 279,978
Bunka Shutter Co., Ltd. 134,000 645,951
Cabin Co., Ltd. 67,000 171,650
# CAC Corp. 31,100 212,737
# Calpis Co., Ltd. 125,000 897,301
Canon Electronics, Inc. 43,000 916,618
Canon Finetech, Inc. 67,070 1,009,111
Capcom Co., Ltd. 31,200 319,599
* Catena Corp. 46,000 122,424
* Cats, Inc. 15,400 418
# Cecile Co., Ltd. 64,100 581,358
Central Finance Co., Ltd. 180,000 644,733
Central Security Patrols Co., Ltd. 31,400 255,762
# CFS Corp. 47,500 319,755
* Chiba Kogyo Bank, Ltd. 80,600 577,582
# Chino Corp. 70,000 218,843
Chiyoda Co., Ltd. 64,400 1,000,584
Chofu Seisakusho Co., Ltd. 54,500 1,000,990
* Chori Co., Ltd. 256,000 328,875
Chuetsu Pulp and Paper Co., Ltd. 176,000 449,423
* Chugai Mining Co., Ltd. 188,600 136,151
# Chugai Ro Co., Ltd. 139,000 332,122
# Chugoku Marine Paints, Ltd. 111,000 574,660
# Chugokukogyo Co., Ltd. 45,000 148,278
Chukyo Bank, Ltd. 44,000 160,784
Chuo Denki Kogyo co., Ltd. 19,000 96,418
Chuo Gyorui Co., Ltd. 61,000 103,699
Chuo Spring Co., Ltd., Nagoya 91,000 346,403
CKD Corp. 113,000 796,516
*# Clarion Co., Ltd. 587,000 950,042
Cleanup Corp. 71,000 763,556
# CMK Corp. 62,000 857,462
Coca Cola Central Japan Co., Ltd. 139 985,011
# Colowide Co., Ltd. 29,000 277,378
</Table>
188
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*# Columbia Music Entertainment, Inc. 212,000 $ 207,213
Commuture Corp. 71,202 523,365
Computer Engineering & Consulting,
Ltd. 29,800 351,029
* Co-Op Chemical Co., Ltd. 80,000 80,248
* Core Corp. 5,000 113,280
# Corona Corp. 44,300 629,054
# Cosel Co., Ltd. 33,400 1,008,969
Create Medic Co., Ltd. 7,000 56,926
Credia Co., Ltd. 14,000 204,925
Cresco, Ltd. 11,600 113,161
CTI Engineering Co., Ltd. 19,000 105,623
*# Culture Convenience Club Co., Ltd. 29,600 315,673
* D&M Holdings, Inc. 134,000 387,625
# Dai Nippon Toryo, Ltd. 193,000 274,095
Daibiru Corp. 47,000 286,416
Dai-Dan Co., Ltd. 65,000 303,053
Daido Kogyo Co., Ltd. 60,000 108,185
Daidoh, Ltd. 54,000 439,405
Daifuku Co., Ltd. 176,000 810,974
Daihen Corp. 215,000 451,076
# Daiho Corp. 96,000 210,869
Dai-Ichi Jitsugyo Co., Ltd. 80,000 219,129
Dai-Ichi Kogyo Seiyaku Co., Ltd. 47,000 127,859
# Daiken Corp. 208,000 950,956
Daiki Co., Ltd. 41,300 419,573
Daiko Clearing Services Corp. 25,000 136,191
* Daikoku Denki Co., Ltd. 7,000 129,169
*# Daikyo, Inc. 444,000 988,493
Daimei Telecom Engineering Corp. 65,000 375,924
Dainichi Co., Ltd. 27,200 120,085
# Dainichiseika Colour & Chemicals
Manufacturing Co., Ltd. 163,000 780,374
# Dainippon Shigyo Co., Ltd. 25,000 119,859
Daisan Bank, Ltd. 50,000 189,752
# Daiseki Co., Ltd. 35,400 589,076
# Daiso Co., Ltd. 112,000 297,842
* Daisue Construction Co., Ltd. 151,500 172,603
Daisyo Corp. 32,000 337,553
Daito Seiki Co., Ltd. 18,000 50,556
* Daito Woolen Spinning & Weaving
Co., Ltd., Tokyo 42,000 41,668
Daiwa Industries, Ltd. 82,000 256,009
Daiwa Kosho Lease Co., Ltd. 225,000 1,097,305
*# Daiwa Seiko, Inc. 145,000 152,419
Daiwabo Co., Ltd. 217,000 265,350
Daiwabo Information System Co., Ltd. 22,000 254,884
Danto Corp. 42,000 164,222
DC Co., Ltd. 33,000 68,543
Denki Kogyo Co., Ltd. 111,000 417,249
# Denny's Japan Co., Ltd. 51,000 962,104
Densei-Lambda KK 34,584 294,844
# Denyo Co., Ltd. 38,000 224,640
*# Descente, Ltd. 119,000 346,499
* Dia Kensetsu Co., Ltd. 141,200 185,913
Diamond Computer Service Co., Ltd. 37,700 348,350
* Dijet Industrial Co., Ltd. 34,000 55,130
Doshisha Co., Ltd. 15,000 524,298
# Doutor Coffee Co., Ltd. 34,200 587,348
DTS Corp. 21,200 446,500
* Dydo Drinco Inc. 9,100 269,900
*# Dynic Corp. 52,000 $ 140,592
# Eagle Industry Co., Ltd. 78,000 397,190
* Econach Co., Ltd. 26,000 12,471
* Eco-Tech Construction Co., Ltd. 241,000 2,180
Edion Corp. 112,316 1,212,015
Ehime Bank, Ltd. 232,000 806,804
# Eiken Chemical Co., Ltd. 54,000 487,509
Eikoh, Inc. 8,000 53,333
* Eizo Nanao Corp. 9,200 260,281
Elna Co., Ltd. 22,000 54,036
Enplas Corp. 29,800 979,701
*# Enshu, Ltd. 69,000 111,142
Ensuiko Sugar Refining Co., Ltd. 51,000 95,323
Exedy Corp. 71,000 1,092,374
* F.D.C. Products, Inc. 7,200 80,936
* Fancl Corp. 5,900 194,970
*# FDK Corp. 178,000 434,395
Fine Sinter Co., Ltd. 31,000 94,966
* First Baking Co., Ltd. 67,000 110,338
Foster Electric Co., Ltd. 32,000 232,826
FP Corp. 38,800 780,034
# France Bed Holdings Co., Ltd. 193,000 784,049
*# Fudo Construction Co., Ltd. 40,200 199,827
* Fuji Co.,Ltd. 6,900 129,651
* Fuji Corp, Ltd. 3,000 24,946
Fuji Kiko Co., Ltd. 71,000 202,392
*# Fuji Kosan Co., Ltd. 130,000 139,905
Fuji Kyuko Co., Ltd. 170,000 602,860
*# Fuji Spinning Co., Ltd., Tokyo 163,000 199,044
Fujicco Co., Ltd. 46,000 536,857
* Fujii & Co., Ltd. 44,000 398
* Fujiko Co., Ltd. 55,000 995
Fujikura Kasei Co., Ltd. 43,000 315,407
Fujikura Rubber, Ltd. 34,000 179,851
# Fujirebio, Inc. 75,000 985,307
* Fujita Corp. 96,000 109,322
# Fujita Kanko, Inc. 194,000 754,015
Fujitec Co., Ltd. 145,000 700,453
* Fujitsu Access, Ltd. 36,000 201,604
Fujitsu Business Systems, Ltd. 45,300 605,039
Fujitsu Devices, Inc. 38,000 471,329
Fujitsu Fronttec, Ltd. 41,500 422,222
*# Fujitsu General, Ltd. 161,000 624,018
*# Fujiya Co., Ltd. 190,000 281,470
Fukuda Corp. 65,000 287,509
Fukushima Bank, Ltd. 271,000 473,395
* Fukusima Industries Corp. 10,500 134,050
* Fukusuke Corp. 95,000 860
Fumakilla, Ltd. 24,000 37,618
* Furukawa Battery Co., Ltd. 45,000 79,853
*# Furukawa Co., Ltd. 643,000 666,862
Fuso Lexel Inc. 17,000 135,239
Fuso Pharmaceutical Industries, Ltd. 157,000 497,721
* Ga-jo-en Kanko KK 37,000 0
Gakken Co., Ltd. 168,000 281,096
* Generas Corp. 64,000 579
# Genki Sushi Co., Ltd. 17,200 221,106
Geostar Corp. 10,000 35,300
Global-Dining, Inc. 6,200 40,511
# Godo Steel, Ltd. 242,000 748,957
* Goldwin, Inc. 76,000 120,517
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SHARES VALUE+
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# Gourmet Kineya Co., Ltd. 31,000 $ 255,165
* Graphtec Corp. 39,000 62,610
Gro-BeLS Co., Ltd. 84,000 114,266
* GSI Creoss Corp. 90,000 173,995
Gun-Ei Chemical Industry Co., Ltd. 127,000 359,915
Hagoromo Foods Corp. 29,000 288,231
Hakuto Co., Ltd. 36,400 461,429
Hakuyosha Co., Ltd. 57,000 164,958
Haltec Corp. 32,000 50,528
* Hamai Co., Ltd. 22,000 27,772
Hanshin Sogo Bank, Ltd. 78,000 166,075
Hanwa Co., Ltd. 405,000 1,283,436
Happinet Corp. 15,000 173,684
Harashin Co., Ltd. 24,300 189,893
Harima Chemicals, Inc. 37,000 252,287
Haruyama Trading Co., Ltd. 21,600 262,268
*# Hayashikane Sangyo Co., Ltd. 128,000 147,309
* Hazama Corp. 36,500 96,101
Heiwado Co., Ltd. 15,000 192,811
Hibiya Engineering, Ltd. 63,000 484,267
Higashi-Nippon Bank, Ltd. 288,000 765,937
Hisaka Works, Ltd. 41,000 297,472
Hitachi Business Solution Co., Ltd. 22,700 163,583
Hitachi Kiden Kogyo, Ltd. 20,000 78,044
Hitachi Koki Co., Ltd. 153,000 855,084
Hitachi Kokusai Electric, Inc. 76,000 526,889
Hitachi Medical Corp. 59,000 751,139
Hitachi Metals Techno, Ltd. 12,000 30,967
* Hitachi Mobile Co., Ltd. 12,000 85,627
Hitachi Plant Engineering &
Construction Co., Ltd. 177,000 683,203
Hitachi Powdered Metal Co., Ltd. 46,000 288,937
Hitachi Tool Engineering, Ltd. 39,000 287,576
# Hochiki Corp. 42,000 193,653
*# Hodogaya Chemical Co., Ltd. 100,000 329,697
* Hohsui Corp. 56,000 63,736
Hokkai Can Co., Ltd., Tokyo 106,000 251,323
*# Hokkaido Bank, Ltd. 580,000 984,633
Hokkaido Coca Cola Bottling Co., Ltd. 64,000 381,738
Hokkaido Gas Co., Ltd. 87,000 211,106
Hokko Chemical Industry Co., Ltd. 41,000 135,916
Hokuetsu Bank, Ltd. 350,000 721,515
Hokuriku Electric Industry Co., Ltd. 112,000 200,711
Hokuriku Electrical Construction Co.,
Ltd. 36,000 98,320
Hokuriku Gas Co., Ltd. 64,000 180,039
* Hokushin Co., Ltd. 39,900 60,579
# Hokuto Corp. 51,700 796,917
Homac Corp. 66,500 597,913
Honshu Chemical Industry Co., Ltd. 7,000 38,719
# Horiba, Ltd. 54,000 755,614
Horipro, Inc. 23,400 184,452
*# Hosokawa Micron Corp. 40,000 189,641
*# Howa Machinery, Ltd. 181,000 198,251
*# Ichida and Co., Ltd. 23,400 41,823
Ichikawa Co., Ltd. 49,000 147,498
Ichiken Co., Ltd. 48,000 57,703
Ichikoh Industries, Ltd. 141,000 338,362
Ichiyoshi Securities Co., Ltd. 87,000 620,530
# Icom, Inc. 23,600 562,646
Idec Izumi Corp. 54,500 500,919
Ihara Chemical Industry Co., Ltd. 80,000 $ 179,688
# Iino Kaiun Kaisha, Ltd. 161,000 670,569
*# Ikegami Tsushinki Co., Ltd. 102,000 198,983
i-Logistics Corp. 35,000 56,959
* Imasen Electric Industrial Co., Ltd. 15,800 114,371
Impact 21 Co., Ltd. 30,600 717,490
* Impress Corp. 178 209,002
Inaba Denki Sangyo Co., Ltd. 40,500 823,449
# Inaba Seisa Kusho Co., Ltd. 28,400 439,330
Inabata and Co., Ltd., Osaka 95,000 676,033
Inageya Co., Ltd. 83,000 760,182
Ines Corp. 80,400 790,994
I-Net Corp. 12,000 44,213
# Information Services
International-Dentsu, Ltd. 51,800 669,069
Intec, Inc. 65,000 424,553
# Inui Steamship Co., Ltd. 31,000 102,802
ISE Chemicals Corp. 38,000 130,391
# Iseki & Co., Ltd. 348,000 864,470
Ishihara Sangyo Kaisha, Ltd. 133,000 260,764
Ishii Hyoki Co., Ltd. 8,600 92,904
*# Ishii Iron Works Co., Ltd. 52,000 66,494
*# Ishikawa Seisakusho, Ltd. 75,000 93,520
Ishikawajima Construction Materials
Co., Ltd. 18,000 48,056
Ishikawajima Transport Machinery Co.,
Ltd. 16,000 40,623
Ishizuka Glass Co., Ltd. 49,000 100,512
Itochu Enex Co., Ltd. 149,300 757,807
Itochu Shokuh Co., Ltd. 20,700 759,029
Itoki Crebio Corp. 56,000 147,977
Iwaki & Co., Ltd. 38,000 96,233
# Iwasaki Electric Co., Ltd. 110,000 389,506
Iwatani International Corp. 389,000 879,705
* Iwatsu Electric Co., Ltd. 145,000 312,103
* Izuhakone Railway Co., Ltd. 300 36,643
*# Izukyu Corp. 11,700 84,657
Izumiya Co., Ltd. 135,000 871,311
*# Izutsuya Co., Ltd. 123,000 238,055
# Jac Holdings Co., Ltd. 11,000 44,169
Jaccs Co., Ltd. 207,000 1,204,962
* Jalux, Inc. 9,700 170,985
Jamco Corp. 18,000 71,878
*# Janome Sewing Machine Co., Ltd. 224,000 328,562
Japan Business Computer Co., Ltd. 34,000 214,964
# Japan Carlit Co., Ltd. 28,000 183,761
# Japan Cash Machine Co., Ltd. 29,810 823,382
Japan Digital Laboratory Co., Ltd. 53,900 583,792
Japan Foundation Engineering Co.,
Ltd. 49,200 223,870
Japan Information Processing
Service Co., Ltd. 31,800 229,277
Japan Kenzai Co., Ltd. 30,400 247,349
Japan Maintenance Co., Ltd. 27,000 215,447
Japan Medical Dynamic Marketing
Inc. 26,100 304,476
Japan Oil Transportation Co., Ltd. 45,000 100,000
# Japan Pulp and Paper Co., Ltd. 229,000 746,172
* Japan Radio Co., Ltd. 38,000 163,509
Japan Servo Co., Ltd. 51,000 136,344
Japan Steel Tower Co., Ltd. 19,000 36,124
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SHARES VALUE+
------ ------
# Japan Steel Works, Ltd. 590,000 $ 843,246
# Japan Storage Battery Co., Ltd. 529,000 1,186,989
# Japan Transcity Corp. 94,000 233,432
Japan Vilene Co., Ltd. 101,000 325,528
Japan Wool Textile Co., Ltd. 138,000 685,988
Jastec Co., Ltd. 11,600 188,047
Jeans Mate Corp. 12,740 149,719
# Jeol, Ltd. 119,000 768,302
*# Jidosha Denki Kogyo Co., Ltd. 34,000 57,826
JMS Co., Ltd. 49,000 147,373
Joban Kosan Co., Ltd. 101,000 154,459
J-Oil Mills, Inc. 274,000 788,809
Joint Corp. 24,900 430,672
# Joshin Denki Co., Ltd. 98,000 352,894
Jsp Corp. 42,300 451,784
Juel Verite Ohkubo Co., Ltd. 24,000 62,245
*# Jujiya Co., Ltd. 321,000 301,591
*# Juki Corp. 153,000 535,541
* Jyomo Co., Ltd. 48,000 100,311
# K.R.S. Corp. 17,000 312,052
Kabuki-Za Co., Ltd. 15,000 556,310
Kadokawa Holdings, Inc. 27,000 862,436
# Kaga Electronics Co., Ltd. 38,400 699,769
Kagawa Bank, Ltd. 126,350 656,099
# Kagome Co., Ltd. 41,600 381,756
Kahma Co., Ltd. 51,400 626,962
# Kaken Pharmaceutical Co., Ltd. 146,000 794,601
* Kakuei (L.) Corp. 100,000 905
*# Kamagai Gumi Co., Ltd. 87,800 206,055
Kameda Seika Co., Ltd. 33,000 230,035
Kamei Corp. 59,000 370,959
Kanaden Corp. 55,000 270,107
Kanagawa Chuo Kotsu Co., Ltd. 100,000 584,161
Kanamoto Co., Ltd. 43,000 214,047
*# Kanebo, Ltd. 723,000 581,724
*# Kanematsu Corp. 534,500 846,434
Kanematsu Electronics, Ltd. 45,500 519,270
* Kanematsu-NNK Corp. 60,000 142,761
Kanto Auto Works, Ltd., Yokosuka 78,000 767,789
# Kanto Denka Kogyo Co., Ltd. 83,000 402,113
Kanto Natural Gas Development Co.,
Ltd. 104,000 582,724
# Kanto Tsukuba Bank, Ltd. 45,500 355,602
Kasai Kogyo Co., Ltd. 59,000 160,352
Kasei (C.I.) Co., Ltd. 46,000 153,073
# Kasumi Co., Ltd. 132,000 770,311
Katakura Chikkarin Co., Ltd. 17,000 51,668
Katakura Industries Co., Ltd. 55,000 557,222
Kato Sangyo Co., Ltd. 60,300 790,104
# Kato Works Co., Ltd. 82,000 167,582
Katsumura Construction Co., Ltd. 48,600 50,523
Kawada Industries, Inc. 76,000 194,284
*# Kawai Musical Instruments
Manufacturing Co., Ltd. 99,000 137,041
* Kawasaki Kasei Chemicals, Ltd. 36,000 35,556
Kawashima Textile Manufacturers,
Ltd. 126,000 160,902
* Kawasho Corp. 549,000 1,358,075
Kawasho Gecoss Corp. 57,900 229,823
Kawasumi Laboratories, Inc. 26,000 175,210
Kawatetsu Systems, Inc. 112 156,311
Kayaba Industry Co., Ltd. 40,000 $ 136,781
* Keihanshin Real Estate Co., Ltd. 25,000 114,767
# Keihin Co., Ltd. 100,000 172,870
Keiiyu Co., Ltd. 15,000 147,949
Keiyo Co., Ltd. 139,900 664,860
# Kentucky Fried Chicken Japan, Ltd. 55,000 1,072,451
*# Kenwood Corp. 382,000 943,261
# Key Coffee, Inc. 33,000 440,938
# Kibun Food Chemifa Co., Ltd. 42,000 760,650
* Kimmon Manufacturing Co., Ltd. 41,000 48,965
* Kimura Chemical Plants Co., Ltd. 27,000 39,325
Kinki Coca-Cola Bottling Co., Ltd. 97,000 844,952
*# Kinki Nippon Tourist Co., Ltd. 133,000 371,726
# Kinki Sharyo Co., Ltd., Nagaokakyo 101,000 261,205
* Kinsho Corp. 21,000 60,914
# Kinugawa Rubber Industrial Co., Ltd. 107,000 236,554
Kioritz Corp. 96,000 217,386
# Kishu Paper Co., Ltd. 125,000 204,561
Kisoji Co., Ltd. 34,400 462,341
# Kitagawa Iron Works Co., Ltd. 124,000 211,328
Kita-Nippon Bank, Ltd. 13,006 610,281
Kitano Construction Corp. 124,000 227,816
Kitazawa Sangyo Co., Ltd. 17,500 39,409
# Kitz Corp. 234,000 890,517
Koa Corp. 67,300 591,787
Koatsu Gas Kogyo Co., Ltd. 78,000 250,970
Kobayashi Yoko Co., Ltd. 16,900 324,880
Kodensha Co., Ltd. 14,000 39,268
Koekisha Co., Ltd. 9,600 218,290
# Kohnan Shoji Co., Ltd. 29,500 564,588
Kohsoku Corp. 24,000 232,330
Koike Sanso Kogyo Co., Ltd. 71,000 126,392
Koito Industries, Ltd. 66,000 277,472
# Kojima Co., Ltd. 61,800 732,677
* Kokune Corp. 42,000 380
* Kokusai Kogyo Co., Ltd. 60,000 188,194
Komai Tekko, Inc. 53,000 122,227
# Komatsu Electronics Metals Co., Ltd. 46,800 579,024
Komatsu Seiren Co., Ltd. 53,000 208,740
Komatsu Wall Industry Co., Ltd. 17,300 289,779
Konaka Co., Ltd. 29,700 408,203
# Konami Sports Corp. 43,800 762,592
Kondotec, Inc. 12,500 65,324
Konishi Co., Ltd. 28,000 236,010
Kosaido Co., Ltd. 34,000 294,934
# Kosei Securities Co., Ltd. 137,000 308,983
*# Kubotek Corp. 147 244,055
Kumiai Chemical Industry Co., Ltd.,
Tokyo 108,000 260,020
Kurabo Industries, Ltd. 372,000 632,944
Kureha Chemical Industry Co., Ltd. 36,000 144,153
# Kurimoto, Ltd. 202,000 403,048
# Kuroda Electric Co., Ltd. 31,200 1,322,088
Kurosaki Harima Corp. 125,000 209,259
Kyoden Co., Ltd. 79,000 628,726
Kyodo Printing Co., Ltd. 152,000 531,461
# Kyodo Shiryo Co., Ltd. 145,000 166,603
Kyoei Sangyo Co., Ltd. 44,000 150,438
# Kyoei Tanker Co., Ltd. 53,000 116,210
Kyokuto Boeki Kaisha, Ltd. 36,000 92,644
Kyokuto Kaihatsu Kogyo Co., Ltd. 44,800 523,585
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SHARES VALUE+
------ ------
Kyokuyo Co., Ltd. 167,000 $ 270,807
# Kyoritsu Maintenance Co., Ltd. 15,400 323,685
Kyosan Electric Manufacturing Co.,
Ltd. 97,000 325,983
Kyoto Kimono Yuzen Co., Ltd. 128 285,941
Kyowa Electronic Instruments Co.,
Ltd. 30,000 86,679
Kyowa Exeo Corp. 22,000 144,411
Kyowa Leather Cloth Co., Ltd. 32,000 196,984
Kyudenko Corp. 140,000 645,788
Kyushu-Shinwa Holdings, Inc. 487,000 1,032,380
# Laox Co., Ltd. 54,000 131,946
Life Corp. 25,400 267,218
* Link Consulting Associates - Japan
Corp. 8,600 72,708
* Lonseal Corp. 69,000 56,213
* Look, Inc. 50,000 207,617
Macnica, Inc. 28,400 795,318
Maeda Corp. 38,000 162,119
Maeda Road Construction Co., Ltd. 155,000 1,073,668
Maezawa Industries, Inc. 27,700 138,077
Maezawa Kaisei Industries Co., Ltd. 20,600 331,461
Maezawa Kyuso Industries Co., Ltd. 25,400 248,181
* Magara Construction Co., Ltd. 61,000 60,512
# Makino Milling Machine Co., Ltd. 141,000 872,537
* Mamiya-Op Co., Ltd. 58,000 82,435
Marche Corp. 10,700 103,880
# Mars Engineering Corp. 22,200 1,311,312
Marubeni Construction Material Lease
Co., Ltd. 54,000 90,519
Marubun Corp. 44,600 338,758
Marudai Food Co., Ltd. 189,000 350,662
* Maruei Department Store Co., Ltd. 72,000 158,506
# Maruetsu, Inc. 27,000 148,610
Maruha Group, Inc. 477,000 794,101
*# Maruishi Cycle Industries, Ltd. 214,000 34,856
Marusan Securities Co., Ltd. 106,000 631,593
Maruwa Co., Ltd. 17,500 291,098
Maruwn Corp. 44,000 117,182
Maruya Co., Ltd. 14,000 101,231
Maruyama Manufacturing Co., Inc. 73,000 106,885
*# Maruzen Co., Ltd. 179,000 370,718
Maruzen Co., Ltd. - General
Commercial Kitchen Appliances &
Equipment 30,000 173,741
Maruzen Showa Unyu Co., Ltd. 156,000 448,427
Maspro Denkoh Corp. 32,300 336,264
Matsuda Sangyo Co., Ltd. 34,500 282,370
Matsui Construction Co., Ltd. 40,000 125,124
* Matsuo Bridge Co., Ltd. 37,000 90,482
# Matsuya Co., Ltd. 84,000 344,168
# Matsuya Foods Co., Ltd. 30,300 651,460
Matsuzakaya Co., Ltd. 189,077 823,964
Max Co., Ltd. 84,000 923,345
* Maxvalu Tohok Co., Ltd. 12,900 108,568
# Megachips Corp. 39,100 371,112
# Meidensha Corp. 378,050 777,496
*# Meiji Machine Co., Ltd. 90,000 86,190
Meiji Shipping Co., Ltd. 47,000 160,448
Meisei Industrial Co., Ltd. 29,000 105,051
Meito Sangyo Co., Ltd. 41,700 678,806
Meito Transportation Co., Ltd. 22,000 $ 171,752
# Meiwa Estate Co., Ltd. 34,000 360,081
Meiwa Industry Co., Ltd. 15,000 43,356
* Meiwa Trading Co., Ltd. 55,000 118,536
Melco Holdings, Inc. 9,000 228,003
Mercian Corp. 212,000 518,609
Mikuni Coca-Cola Bottling Co., Ltd. 76,000 666,588
# Milbon Co., Ltd. 14,900 391,741
# Mimasu Semiconductor Industry Co.,
Ltd. 33,200 494,924
Ministop Co., Ltd. 45,500 744,606
Mirai Group Co., Ltd. 49,000 86,721
Miroku Jyoho Service Co., Ltd. 22,500 203,687
* Misawa Homes Holdings, Inc. 262,900 735,533
# Misawa Resort Co., Ltd. 90,000 256,731
Mito Securities Co., Ltd. 113,000 373,596
Mitsuba Corp. 60,000 340,886
* Mitsubishi Cable Industries, Ltd. 277,000 330,724
* Mitsubishi Kakoki Kaisha, Ltd. 117,000 166,467
# Mitsubishi Paper Mills, Ltd. 505,000 759,934
Mitsubishi Pencil Co., Ltd. 61,000 468,783
# Mitsubishi Plastics, Inc. 333,000 830,724
Mitsubishi Shindoh Co., Ltd. 82,000 178,091
# Mitsubishi Steel Manufacturing Co.,
Ltd. 253,000 341,478
Mitsuboshi Belting, Ltd. 153,000 569,271
Mitsui High-Tec, Inc. 68,400 806,062
Mitsui Home Co., Ltd. 97,000 519,421
# Mitsui Knowledge Industry Co., Ltd. 20,100 206,469
*# Mitsui Matsushima Co., Ltd. 90,000 123,857
* Mitsui Mining Co., Ltd. 112,500 131,305
Mitsui Sugar Co., Ltd. 145,000 333,097
Mitsui-Soko Co., Ltd. 221,000 664,820
Mitsumi Electric Co., Ltd. 34,800 356,175
# Mitsumura Printing Co., Ltd. 49,000 334,866
Mitsuuroko Co., Ltd. 107,000 648,293
Miura Co., Ltd. 66,400 1,036,205
Miura Printing Corp. 16,000 52,934
Miyaji Engineering Group 90,000 154,716
Miyazaki Bank, Ltd. 275,000 1,029,276
# Miyoshi Oil & Fat Co., Ltd. 120,000 230,204
# Miyuki Keori Co., Ltd. 50,000 168,599
Mizuno Corp. 205,000 956,560
* Momiji Holdings, Inc. 340 728,907
Mori Seiki Co., Ltd. 19,900 166,206
# Morinaga & Co., Ltd. 419,000 911,417
*# Morishita Jinton Co., Ltd. 32,800 136,168
Morita Corp. 74,000 285,272
# Moritex Corp. 15,000 133,184
Morozoff, Ltd., Osaka 50,000 92,305
Mory Industries, Inc. 66,000 167,633
Mos Food Services, Inc. 47,000 556,643
Moshi Moshi Hotline, Inc. 8,700 553,884
# MR Max Corp. 56,300 187,298
* Mutoh Industries, Ltd. 78,000 186,279
Mutow Co., Ltd. 38,000 186,987
Myojo Foods Co., Ltd. 67,000 379,148
Nabtesco Corp. 210,000 1,084,913
# NAC Co., Ltd. 13,000 104,096
# Nachi-Fujikoshi Corp. 433,000 1,367,895
Nagano Bank, Ltd. 122,000 384,709
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SHARES VALUE+
------ ------
* Nagano Japan Radio Co., Ltd. 27,000 $ 45,038
# Nagatanien Co., Ltd. 56,000 416,553
*# Naigai Co., Ltd. 109,000 102,707
Nakabayashi Co., Ltd. 76,000 120,240
# Nakamuraya Co., Ltd. 85,000 251,699
* Nakano Corp. 49,000 118,016
# Nakayama Steel Works, Ltd. 186,000 593,215
Nakayo Telecommunications, Inc. 36,000 148,093
# NEC Infrontia Corp. 196,000 539,191
* NEC Mobiling, Ltd. 3,200 89,463
# NEC System Integration &
Construction, Ltd. 65,000 565,309
# NEC Tokin Corp. 180,000 859,720
Neturen Co., Ltd., Tokyo 66,000 342,901
New Japan Radio Co., Ltd. 62,000 772,698
* New Real Property KK 43,900 0
# Nichia Steel Works, Ltd. 67,900 213,197
# Nichias Corp. 237,000 868,589
# Nichiban Co., Ltd. 58,000 161,610
* Nichiboshin, Ltd. 1,190 1,077
Nichiha Corp. 64,980 958,119
Nichimo Co., Ltd. 54,000 108,885
* Nichimo Corp. 85,000 84,373
# Nichireki Co., Ltd. 44,000 152,863
# Nichiro Corp. 289,000 410,334
Nidec Tosok Corp. 24,500 382,096
Nihon Dempa Kogyo Co., Ltd. 32,100 700,780
Nihon Eslead Corp. 19,440 375,412
# Nihon Inter Electronics Corp. 54,000 515,015
Nihon Kagaku Sangyo Co., Ltd. 32,000 139,896
* Nihon Kentetsu Co., Ltd. 27,000 58,461
Nihon Kohden Corp. 85,000 983,453
Nihon Matai Co., Ltd. 50,000 92,359
Nihon Nohyaku Co., Ltd. 103,000 191,101
# Nihon Parkerizing Co., Ltd. 105,000 674,468
Nihon Seiko Co., Ltd. 11,000 33,322
Nihon Shokuh Kako Co., Ltd. 26,000 55,282
* Nihon Spindle Manufacturing Co., Ltd. 56,000 90,139
Nihon Tokushu Toryo Co., Ltd. 35,000 202,979
Nikken Chemicals Co., Ltd. 81,000 226,733
Nikkiso Co., Ltd. 107,000 445,772
Nikko Co., Ltd., Akashi 52,000 163,249
* Nippei Toyama Corp. 80,000 158,599
Nippo Corp. 25,000 136,880
* Nippon Avionics Co., Ltd. 40,000 108,454
Nippon Beet Sugar Manufacturing Co.,
Ltd. 243,000 417,652
*# Nippon Carbide Industries Co., Inc.,
Tokyo 101,000 154,560
# Nippon Carbon Co., Ltd. 177,000 267,184
# Nippon Ceramic Co., Ltd. 37,000 436,412
Nippon Chemical Industrial Co., Ltd. 131,000 455,079
# Nippon Chemi-Con Corp. 197,000 1,021,558
* Nippon Chemiphar Co., Ltd. 49,000 150,010
Nippon Chutetsukan KK 44,000 82,047
Nippon Concrete Industries Co., Ltd. 65,000 99,586
* Nippon Conlux Co., Ltd. 30,000 188,645
* Nippon Conveyor Co., Ltd. 43,000 40,907
# Nippon Denko Co., Ltd. 159,000 564,470
Nippon Densetsu Kogyo Co., Ltd. 93,000 372,211
Nippon Denwa Shisetu Co., Ltd. 104,000 341,379
Nippon Felt Co., Ltd. 28,000 $ 97,306
# Nippon Fine Chemical Co., Ltd. 40,000 155,205
Nippon Flour Mills Co., Ltd. 186,000 828,584
* Nippon Foil Mfg., Co., Ltd. 21,000 47,119
# Nippon Formula Feed Manufacturing
Co., Ltd. 100,000 163,559
Nippon Gas Co., Ltd. 62,000 429,371
Nippon Hume Corp. 43,000 97,228
# Nippon Kanzai Co., Ltd. 32,700 516,695
*# Nippon Kasei Chemical Co., Ltd. 154,000 200,292
* Nippon Kinzoku Co., Ltd. 93,000 155,931
# Nippon Koei Co., Ltd., Tokyo 137,000 301,032
Nippon Konpo Unyu Soko Co., Ltd. 115,000 1,036,979
*# Nippon Koshuha Steel Co., Ltd. 221,000 273,875
*# Nippon Metal Industry Co., Ltd. 230,000 325,126
Nippon Pigment Co., Ltd. 11,000 29,746
Nippon Pillar Packing Co., Ltd. 33,000 207,707
Nippon Piston Ring Co., Ltd. 133,000 218,274
Nippon Road Co., Ltd. 147,000 259,144
# Nippon Seiki Co., Ltd. 85,000 695,474
Nippon Seisen Co., Ltd. 39,000 153,296
Nippon Sharyo, Ltd. 233,000 591,050
Nippon Shinyaku Co., Ltd. 111,000 627,801
Nippon Signal Co., Ltd. 109,000 584,298
Nippon Soda Co., Ltd. 215,000 560,485
Nippon Suisan Kaisha, Ltd. 133,000 318,926
# Nippon Synthetic Chemical Industry
Co., Ltd. 152,000 326,127
Nippon System Development Co., Ltd. 40,600 786,274
Nippon Systemware Co., Ltd. 20,000 150,615
# Nippon Thompson Co., Ltd. 117,000 833,024
Nippon Tungsten Co., Ltd. 44,000 99,396
Nippon Valqua Industries, Ltd. 119,000 268,919
*# Nippon Yakin Kogyo Co., Ltd. 117,500 367,528
Nippon Yusoki Co., Ltd. 49,000 136,787
Nishimatsuya Chain Co., Ltd. 36,720 1,288,842
Nishishiba Electric Co., Ltd. 28,000 45,663
*# Nissan Diesel Motor Co., Ltd. 378,000 870,695
* Nissei Corp. 10,900 102,045
Nissei Plastic Industrial Co., Ltd. 35,000 233,678
* Nisseki House Industry Co., Ltd. 260,000 2,352
# Nissha Printing Co., Ltd. 81,000 1,211,670
# Nisshin Fire & Marine Insurance Co.,
Ltd. 293,000 972,441
Nisshin Fudosan Co., Ltd. 22,400 237,302
Nissho Electronics Corp. 49,900 391,182
# Nissin Co., Ltd. 413,200 1,447,382
Nissin Corp. 150,000 323,617
* Nissin Electric Co., Ltd. 162,000 575,644
Nissin Kogyo Co., Ltd. 33,800 807,983
Nissin Sugar Manufacturing Co., Ltd. 74,000 133,544
Nissui Pharmaceutical Co., Ltd. 34,000 199,438
Nitchitsu Co., Ltd. 14,000 24,483
Nitta Corp. 46,400 650,501
Nittan Valve Co., Ltd. 58,000 230,230
Nittetsu Mining Co., Ltd. 132,000 481,533
# Nittetsu Steel Sheet Corp. 117,000 259,551
Nitto Boseki Co., Ltd. 364,000 761,445
Nitto Electric Works, Ltd. 72,100 593,495
# Nitto Flour Milling Co., Ltd. 54,000 122,292
Nitto Kohki Co., Ltd. 36,000 684,901
</Table>
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<Caption>
SHARES VALUE+
------ ------
Nitto Seiko Co., Ltd. 56,000 $ 111,779
# Nitto Seimo Co., Ltd. 32,000 69,257
*# Nittoc Construction Co., Ltd. 61,000 127,816
* NIWS Co., Ltd. 58 169,215
Noda Corp. 2,800 16,940
NOF Corp. 39,000 145,075
Nohmi Bosai, Ltd. 59,000 315,857
Nomura Co., Ltd. 61,000 346,425
Noritake Co., Ltd. 320,000 1,274,424
Noritz Corp. 11,200 174,431
Nosan Corp. 201,000 369,074
Obayashi Road Corp. 65,000 120,125
Odakyu Construction Co., Ltd. 29,000 81,456
Odakyu Real Estate Co., Ltd. 58,000 145,824
Oenon Holdings, Inc. 74,000 180,834
* Ohki Corp. 73,000 660
* Ohmori Co., Ltd. 18,400 9,354
Oie Sangyo Co., Ltd. 13,200 101,524
Oiles Corp. 32,500 660,007
Oita Bank, Ltd. 39,000 190,332
Okabe Co., Ltd. 29,000 93,107
# Okamoto Industries, Inc. 212,000 541,020
* Okamoto Machine Tool Works, Ltd. 75,000 200,287
Okamura Corp. 24,000 183,348
Okaya Electric Industries Co., Ltd. 32,000 92,616
Oki Electric Cable Co., Ltd. 56,000 104,003
Okinawa Electric Power Co., Ltd. 22,900 798,039
* OKK Corp. 101,000 157,276
* Okuma and Howa Machinery, Ltd. 69,000 119,947
*# Okuma Corp. 193,000 690,948
# Okura Industrial Co., Ltd. 96,000 597,749
Okuwa Co., Ltd. 73,000 847,075
Olympic Corp. 36,100 467,727
# O-M, Ltd. 46,000 70,660
* Omikenshi Co., Ltd. 53,000 46,832
Ono Sokki Co., Ltd. 43,000 305,600
* Onoken Co., Ltd. 11,000 101,858
Organo Corp. 101,000 480,148
* Orient Watch Co., Ltd. 12,000 4,451
# Oriental Construction Co., Ltd. 39,000 184,778
Oriental Yeast Co., Ltd. 52,000 447,759
# Origin Electric Co., Ltd. 54,000 273,941
Osaka Securities Finance Co., Ltd. 54,000 158,238
Osaka Steel Co., Ltd. 72,200 805,262
# Osaki Electric Co., Ltd. 56,000 273,440
Oyo Corp. 45,800 475,582
# P.S. Mitsubishi Construction Co., Ltd. 46,500 187,883
Pacific Industrial Co., Ltd. 86,000 349,923
* Pacific Metals Co., Ltd. 44,000 166,580
# Parco Co., Ltd. 124,000 737,017
* Pasco Corp. 111,500 310,911
Patlite Corp. 13,440 243,237
PCA Corp. 12,000 146,720
*# Penta-Ocean Construction Co., Ltd. 574,000 986,761
# Pentax Corp. 180,000 874,492
Petrolub International Co., Ltd. 24,800 107,673
* PIA Corp. 4,600 99,355
Pigeon Corp. 37,000 518,294
Pilot Corp. 65 195,443
Piolax, Inc. 19,600 354,194
Pocket Card Co., Ltd. 41,000 439,948
# Pokka Corp. 48,000 $ 184,258
Poplar Co., Ltd. 13,560 180,413
Posful Corp. 36,900 227,120
*# Press Kogyo Co., Ltd. 162,000 368,272
*# Prima Meat Packers, Ltd. 355,000 379,449
Pulstec Industrial Co., Ltd. 21,200 130,988
Q'Sai Co., Ltd. 51,600 468,146
Raito Kogyo Co., Ltd. 84,900 372,372
Rasa Industries, Ltd. 119,000 286,093
*# Renown D'urban Holdings, Inc. 53,880 724,900
# Resorttrust Inc. 42,600 1,112,227
Rheon Automatic Machinery Co., Ltd. 40,000 122,314
Rhythm Watch Co., Ltd. 344,000 654,961
Ricoh Elemex Corp. 35,000 161,264
Ricoh Leasing Co., Ltd. 10,000 267,359
Right On Co., Ltd. 25,200 925,370
Rikei Corp. 22,500 53,987
Riken Corp. 193,000 635,213
Riken Keiki Co., Ltd. 33,000 169,531
Riken Technos Corp. 93,000 297,640
Riken Vitamin Co., Ltd. 37,000 667,465
Ringer Hut Co., Ltd. 38,300 395,273
Rion Co., Ltd. 5,000 23,337
# Rock Field Co., Ltd. 25,300 404,217
Rohto Pharmaceutical Co., Ltd. 83,000 814,658
Roland Corp. 40,600 657,857
Roland DG Corp. 3,000 114,263
Royal Co., Ltd. 71,000 1,085,957
Ryobi, Ltd. 265,000 921,361
Ryoden Trading Co., Ltd. 70,000 408,611
Ryosan Co., Ltd. 10,300 216,344
Ryoyo Electro Corp. 48,400 621,802
S Foods, Inc. 28,000 180,012
*# S Science Co., Ltd. 285,000 111,068
# S.T. Chemical Co., Ltd. 48,000 550,668
*# Saeki Kensetsu Kogyo Co., Ltd. 71,000 74,476
# Sagami Chain Co., Ltd. 37,000 315,406
Sagami Co., Ltd. 51,000 179,050
Sagami Rubber Industries Co., Ltd. 15,000 41,464
* Saibu Gas Co., Ltd. 102,000 189,211
* Sailor Pen Co., Ltd. 74,000 216,027
# Saizeriya Co., Ltd. 78,100 1,073,692
Sakai Chemical Industry Co., Ltd. 162,000 682,653
Sakai Heavy Industries, Ltd. 60,000 154,660
* Sakai Ovex Co., Ltd. 85,000 161,607
Sakata Inx Corp. 92,000 453,580
Sakata Seed Corp. 78,900 992,678
* Sakurada Co., Ltd. 38,000 51,348
Sala Corp. 56,000 243,480
San-Ai Oil Co., Ltd. 134,000 476,821
# Sanix, Inc. 65,000 426,894
Sankei Building Co., Ltd. 69,000 375,073
Sanki Engineering Co., Ltd. 120,000 765,295
Sanko Co., Ltd. 12,000 76,229
Sanko Metal Industrial Co., Ltd.,
Tokyo 54,000 113,967
Sankyo Seiko Co., Ltd. 86,000 342,451
# Sankyu, Inc., Tokyo 415,000 747,277
Sanoh Industrial Co., Ltd. 53,000 282,719
# Sanrio Co., Ltd. 58,600 700,135
Sanshin Electronics Co., Ltd. 57,000 400,118
</Table>
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<Caption>
SHARES VALUE+
------ ------
Sanyo Denki Co., Ltd. 95,000 $ 359,389
Sanyo Electric Credit Co., Ltd. 48,600 1,046,299
Sanyo Engineering & Construction,
Inc. 34,000 147,926
Sanyo Industries, Ltd., Tokyo 48,000 123,557
# Sanyo Special Steel Co., Ltd. 283,000 438,173
*# Sasebo Heavy Industries Co., Ltd.,
Tokyo 201,000 209,212
* Sata Construction Co., Ltd., Gumma 61,000 58,525
* Sato Corp. 7,000 174,231
Sato Shoji Corp. 31,000 184,382
Satori Electric Co., Ltd. 24,480 347,086
Sawafugji Electric Co., Ltd. 31,000 65,788
* Secom Joshinetsu Co., Ltd. 7,200 128,518
Secom Techno Service Co., Ltd. 19,500 656,263
* Seibu Electric Industry Co., Ltd. 24,000 100,430
# Seijo Corp. 17,400 230,853
Seika Corp. 145,000 242,568
* Seikitokyu Kogyo Co., Ltd. 86,000 94,985
Seiko Corp. 180,407 1,134,705
# Seiren Co., Ltd. 92,000 605,762
# Sekisui Jushi Co., Ltd. 73,000 386,335
Sekisui Plastics Co., Ltd. 145,000 404,361
Sekiwa Real Eastate, Ltd. 36,000 380,029
Sekiwa Real Estate Chubu, Ltd. 7,000 38,986
Senko Co., Ltd. 205,000 737,281
# Senshukai Co., Ltd. 75,000 721,112
Shaddy Co., Ltd. 32,200 376,855
*# Shibaura Mechatronics Corp. 79,000 586,164
Shibusawa Warehouse Co., Ltd. 115,000 260,941
# Shibuya Kogyo Co., Ltd. 54,000 429,512
* Shikibo, Ltd. 155,000 187,925
Shikoku Chemicals Corp. 89,000 324,522
Shikoku Coca-Cola Bottling Co., Ltd. 37,000 401,595
Shimizu Bank, Ltd. 15,500 732,481
Shin Nippon Air Technologies Co.,
Ltd. 31,180 167,852
Shinagawa Refractories Co., Ltd. 104,000 228,597
* Shindengen Electric Manufacturing Co.,
Ltd. 129,000 445,545
Shin-Etsu Polymer Co., Ltd. 124,000 747,647
# Shinkawa, Ltd. 30,200 675,516
Shin-Keisei Electric Railway Co., Ltd. 97,000 324,266
Shinki Co., Ltd. 61,000 356,864
# Shinko Electric Co., Ltd. 257,000 658,243
Shinko Plantech Co., Ltd. 27,000 27,872
Shinko Shoji Co., Ltd. 29,000 203,554
Shin-Kobe Electric Machinery Co.,
Ltd. 71,000 250,998
Shinmaywa Industries, Ltd. 203,000 760,870
# Shinsho Corp. 110,000 199,233
# Shinwa Kaiun Kaisha, Ltd. 257,000 593,886
Shinyei Kaisha 54,000 110,709
Shiraishi Corp. 25,000 40,930
Shiroki Co., Ltd. 132,000 281,112
Shizuki Electric Co., Inc. 47,000 121,645
* Shizuokagas Co., Ltd. 25,000 91,643
# Sho-Bond Corp. 46,200 269,960
Shobunsha Publications, Inc. 25,000 310,681
*# Shochiku Co., Ltd. 165,000 939,788
# Shoei Co., Ltd. 24,000 350,534
Shoei Foods Corp. 14,000 $ 67,951
Shoko Co., Ltd. 156,000 229,801
Shokusan Bank, Ltd. 98,000 318,961
Showa Aircraft Industry Co., Ltd. 47,000 258,636
Showa Corp. 18,400 178,359
Showa Electric Wire & Cable Co., Ltd.,
Kawasaki 329,000 410,302
# Showa Highpolymer Co., Ltd. 86,000 234,853
Showa Mining Co., Ltd. 66,000 97,541
# Showa Sangyo Co., Ltd. 282,000 643,379
Showa Tansan Co., Ltd. 21,000 64,341
# Siix Corp. 9,000 177,270
Silver Ox Inc. 30,000 67,020
*# Silver Seiko, Ltd. 228,000 105,643
Sinanen Co., Ltd. 160,000 695,404
Sintokogio, Ltd., Nagoya 89,000 411,030
SMK Corp. 127,000 565,649
Snow Brand Seed Co., Ltd. 16,000 65,858
SNT Corp. 31,000 140,469
Soda Nikka Co., Ltd. 35,000 80,518
# Sodick Co., Ltd. 69,000 582,429
Software Research Associates, Inc. 6,200 61,117
# Sogo Medical Co., Ltd. 8,800 135,199
* Sokkisha Co., Ltd. 40,000 109,150
Sonton Food Industry Co., Ltd. 27,000 237,301
# Sorun Corp. 41,000 239,864
# Sotetsu Rosen Co., Ltd. 44,000 248,220
Sotoh Co., Ltd. 12,000 169,590
Space Co., Ltd. 19,180 176,036
* SPC Electronics Corp. 29,000 127,611
SPK Corp. 7,800 108,604
SRL, Inc. 66,900 715,204
SS Pharmaceutical Co., Ltd., Tokyo 25,000 160,998
Star Micronics Co., Ltd. 89,000 729,904
Starzen Corp. 126,000 242,377
# Stella Chemifa Corp. 17,500 282,019
Subaru Enterprise Co., Ltd. 36,000 110,089
Sumida Corp. 23,900 765,627
Suminoe Textile Co., Ltd. 122,000 235,711
*# Sumitomo Coal Mining Co., Ltd. 200,000 219,913
Sumitomo Densetsu Co., Ltd. 50,700 157,824
# Sumitomo Light Metal Industries, Ltd. 493,000 844,703
* Sumitomo Mitsui Construction Co.,
Ltd. 413,600 477,674
Sumitomo Pipe & Tube Co., Ltd. 52,000 132,243
Sumitomo Precision Products Co., Ltd.,
Amagasaki City 84,000 251,194
# Sumitomo Seika Chemicals Co., Ltd. 102,000 270,712
Sumitomo Special Metals Co., Ltd. 76,000 1,035,644
# Sumitomo Warehouse Co., Ltd. 235,000 891,149
Sun Wave Corp. 80,000 303,261
Sundrug Co., Ltd. 3,200 160,865
SunTelephone Co., Ltd. 55,000 335,607
# Suruga Corp. 15,400 262,008
* Suzutan Co., Ltd. 13,200 126,738
SXL Corp. 129,000 241,654
Sysmex Corp. 39,800 1,158,760
# T.Hasegawa Co., Ltd. 63,700 1,003,274
# Tabai Espec Corp. 34,000 452,305
Tachihi Enterprise Co., Ltd. 17,000 668,901
Tachikawa Corp. 25,100 140,685
</Table>
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<Caption>
SHARES VALUE+
------ ------
Tachi-S Co., Ltd. 42,100 $ 414,720
# Tadano, Ltd. 201,000 724,992
Taihei Dengyo Kaisha, Ltd. 70,000 267,324
* Taihei Kogyo Co., Ltd. 114,000 171,049
*# Taiheiyo Kouhatsu, Inc. 90,000 90,627
Taiho Kogyo Co., Ltd. 35,600 294,956
Taikisha, Ltd. 97,000 1,331,991
Taisei Corp. 18,700 62,284
* Taisei Lamick Co., Ltd. 3,700 80,234
Taisei Rotec Corp. 140,000 229,297
# Taito Co., Ltd. 70,000 168,465
Taito Corp. 573 856,544
# Taiyo Toyo Sanso Co., Ltd. 232,000 852,426
Takada Kiko Co., Ltd. 31,000 175,083
Takagi Securities Co., Ltd. 94,000 243,487
Takamatsu Corp. 29,300 824,063
Takano Co., Ltd. 22,100 373,817
* Takaoka Electric Manufacturing Co.,
Ltd.,Tokyo 156,000 211,897
* Taka-Q Co., Ltd. 34,500 61,361
# Takara Co., Ltd. 224,000 1,098,666
Takara Printing Co., Ltd. 17,050 155,993
Takara Standard Co., Ltd. 30,000 164,128
* Takarabune Corp. 26,000 235
# Takasago International Corp. 156,000 727,221
Takasago Thermal Engineering Co.,
Ltd. 132,000 831,236
# Takashima & Co., Ltd. 60,000 107,916
Takigami Steel Construction Co.,
Ltd. 42,000 245,312
# Takiron Co., Ltd. 118,000 454,920
Takuma Co., Ltd. 136,000 880,506
# Tamura Corp. 113,000 624,412
* Tamura Taiko Holdings, Inc. 74,000 262,456
Tanseisha Co., Ltd. 26,000 103,064
# Tasaki Shinju Co., Ltd. 53,000 202,150
# Tateho Chemical Industries Co., Ltd. 26,500 120,915
Tatsuta Electric Wire & Cable Co., Ltd. 106,000 182,445
Taya Co., Ltd. 5,000 40,530
Tayca Corp. 74,000 237,879
*# TC Properties Co., Ltd. 579,000 0
TCM Corp. 146,000 305,414
* TDF Corp. 11,000 39,185
* Teac Corp. 113,000 183,636
Techno Ryowa, Ltd. 32,200 166,202
# Tecmo, Ltd. 27,000 286,666
Teikoku Hormone Manufacturing Co.,
Ltd. 38,000 323,147
# Teikoku Piston Ring Co., Ltd. 42,000 236,265
Teikoku Sen-I Co., Ltd. 39,000 166,032
Teikoku Tsushin Kogyo Co., Ltd. 73,000 259,990
Tekken Corp. 224,000 349,624
Ten Allied Co., Ltd. 37,000 136,737
Tenma Corp. 56,400 894,785
Teraoka Seisakusho Co., Ltd. 29,000 292,912
Tetra Co., Ltd., Tokyo 41,000 140,893
The Daito Bank, Ltd. 155,000 246,756
The Nisshin Oillio Group, Ltd. 346,000 1,138,030
Three F Co., Ltd. 12,200 89,417
Tigers Polymer Corp. 27,000 127,561
*# Titan Kogyo KK 36,000 90,700
# TKC Corp. 48,300 $ 830,674
# Toa Corp. 301,000 424,737
Toa Doro Kogyo Co., Ltd. 65,000 129,960
Toa Oil Co., Ltd. 145,000 241,126
* Toabo Corp. 73,000 69,402
Toagosei Co., Ltd. 544,719 1,173,125
*# Tobu Store Co., Ltd. 71,000 152,998
TOC Co., Ltd. 94,000 841,955
* Tocalo Co., Ltd. 4,000 123,049
Tochigi Bank, Ltd. 91,000 509,846
Tochigi Fuji Industrial Co., Ltd. 51,000 151,406
Toda Kogyo Corp. 68,000 268,582
# Todentu Corp. 57,000 130,547
Toei Co., Ltd. 228,000 861,278
Toenec Corp. 157,000 539,990
Tohcello Co., Ltd. 47,000 134,500
Toho Co., Ltd. 43,000 335,453
* Toho Rayon Co., Ltd. 28,000 54,967
Toho Real Estate Co., Ltd. 98,000 364,080
# Toho Titanium Co., Ltd. 44,000 602,286
# Toho Zinc Co., Ltd. 189,000 404,403
Tohoku Bank, Ltd. 92,000 182,958
Tohoku Misawa Homes Co., Ltd. 24,000 87,406
Tohoku Pioneer Corp. 34,000 671,312
Tohoku Telecommunications
Construction Co., Ltd. 17,000 99,817
* Tohpe Corp. 36,000 39,335
# Tohto Suisan Co., Ltd. 54,000 94,249
# Tokai Carbon Co., Ltd. 316,000 992,782
Tokai Corp. 120,000 480,894
*# Tokai Kanko Co., Ltd. 333,000 105,434
Tokai Konetsu Kogyo Co., Ltd. 15,000 67,059
# Tokai Pulp & Paper Co., Ltd. 88,000 295,187
Tokai Senko KK, Nagoya 47,000 78,033
Tokai Tokyo Securities Co., Ltd. 366,250 1,056,777
Tokico, Ltd. 189,000 670,079
Tokimec, Inc. 119,000 237,204
Toko Electric Corp. 39,000 129,331
# Toko, Inc. 151,000 536,615
Tokushima Bank, Ltd. 111,200 717,116
Tokushu Paper Manufacturing Co.,
Ltd. 80,000 340,402
Tokyo Biso Kogyo Corp. 13,000 77,239
Tokyo Denpa Co., Ltd. 11,000 167,166
Tokyo Dome Corp. 251,000 1,021,074
* Tokyo Electron Device, Ltd. 22 116,101
Tokyo Energy & Systems, Inc. 49,000 202,726
Tokyo Kikai Seisakusho, Ltd. 132,000 370,243
Tokyo Leasing Co., Ltd. 96,900 1,139,423
Tokyo Nissan Auto Sales Co., Ltd. 97,000 286,584
Tokyo Rakutenchi Co., Ltd. 92,000 347,222
* Tokyo Rope Manufacturing Co., Ltd. 232,000 384,290
Tokyo Sangyo Co., Ltd. 36,500 99,333
Tokyo Soir Co., Ltd. 34,000 96,770
*# Tokyo Tekko Co., Ltd. 67,000 230,635
Tokyo Theatres Co., Inc., Tokyo 116,000 132,174
Tokyo Tomin Bank, Ltd. 58,600 1,439,373
Tokyotokeiba Co., Ltd. 422,000 675,279
# Tokyu Community Corp. 22,800 304,974
*# Tokyu Department Store Co., Ltd. 406,000 615,282
</Table>
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<Page>
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<Caption>
SHARES VALUE+
------ ------
Tokyu Livable Inc. 22,200 $ 421,700
Tokyu Recreation Corp. 48,000 255,807
Tokyu Store Chain Corp. 175,000 883,766
Toli Corp. 106,000 235,134
Tomato Bank, Ltd. 189,000 407,395
Tomen Electronics Corp. 13,700 678,557
Tomoe Corp. 56,000 100,018
# Tomoegawa Paper Co., Ltd. 55,000 177,008
Tomoku Co., Ltd. 136,000 359,273
Tomy Co., Ltd. 32,400 539,295
Tonami Transportation Co., Ltd. 165,000 531,486
Topcon Corp. 78,000 878,935
Topre Corp. 81,000 464,814
# Topy Industries, Ltd. 351,000 1,075,334
# Torigoe Co., Ltd. 35,000 154,887
Torii Pharmaceutical Co., Ltd. 44,600 859,669
Torishima Pump Manufacturing Co.,
Ltd., Osaka 47,000 255,363
Tose Co., Ltd. 9,800 173,091
# Toshiba Ceramics Co., Ltd. 350,000 1,232,366
# Toshiba Machine Co., Ltd. 294,000 1,152,836
# Toshiba Plant Kensetsu Co., Ltd. 139,000 664,817
Tosho Printing Co., Ltd. 103,000 321,838
* Totenko Co., Ltd. 35,000 65,893
Totetsu Kogyo Co., Ltd. 53,000 199,777
* Totoku Electric Co., Ltd., Tokyo 62,000 90,989
Tottori Bank, Ltd. 148,000 554,670
# Touei Housing Corp. 37,800 1,715,359
* Toukei Computer Co., Ltd. 9,100 105,329
Towa Bank, Ltd. 340,000 799,165
* Towa Corp. 33,000 368,102
Towa Meccs Corp. 75,000 75,929
*# Towa Real Estate Development Co.,
Ltd. 80,000 209,483
Toyo Bussan Co., Ltd. 24,200 197,145
* Toyo Communication Equipment Co.,
Ltd. 89,000 476,810
*# Toyo Construction Co., Ltd. 398,000 385,930
# Toyo Corp. 49,200 543,989
# Toyo Electric Co., Ltd. 67,000 193,915
*# Toyo Engineering Corp. 473,000 1,001,964
*# Toyo Kanetsu KK 220,000 328,089
Toyo Kohan Co., Ltd. 152,000 501,730
# Toyo Radiator Co., Ltd. 118,000 611,637
Toyo Securities Co., Ltd. 113,000 401,066
* Toyo Shutter Co., Ltd. 77,000 82,142
* Toyo Sugar Refining Co., Ltd. 60,000 66,322
# Toyo Tire & Rubber Co., Ltd. 332,000 840,730
Toyo Wharf & Warehouse Co., Ltd. 118,000 201,842
# Trans Cosmos, Inc. 34,800 916,557
Trusco Nakayama Corp. 52,800 873,858
Tsubaki Nakashima Co., Ltd. 61,000 770,188
Tsubakimoto Chain Co. 98,000 325,148
Tsubakimoto Kogyo Co., Ltd. 44,000 92,220
Tsudakoma Corp. 101,000 226,050
* Tsugami Corp. 124,000 281,125
Tsukamoto Co., Ltd. 44,000 65,806
Tsukishima Kikai Co., Ltd. 70,000 453,133
Tsurumi Manufacturing Co., Ltd. 44,000 235,919
# Tsutsumi Jewelry Co., Ltd. 31,100 916,345
Tsutsunaka Plastic Industry Co., Ltd. 52,000 193,687
Tsuzuki Denki Co., Ltd. 36,000 $ 146,830
Tsuzuki Densan Co., Ltd. 14,200 65,670
TYK Corp. 67,000 173,273
U.Store Co., Ltd. 37,300 325,031
Ube Material Industries, Ltd. 116,000 256,713
Uchida Yoko Co., Ltd. 85,000 314,859
Ueki Corp. 47,000 77,712
# Unicafe, Inc. 10,360 142,709
Unimat Offisco Corp. 32,600 402,797
* Unitika, Ltd. 756,000 856,467
U-Shin, Ltd. 32,000 173,962
Utoc Corp. 68,000 108,626
* Valor Co., Ltd. 4,000 111,318
Vital-Net, Inc. 64,800 486,358
Wakachiku Construction Co., Ltd. 206,000 289,337
# Wakamoto Pharmaceutical Co., Ltd. 48,000 142,517
Wakodo Co., Ltd. 4,600 157,292
Warabeya Nichiyo Co., Ltd. 21,160 260,839
Watabe Wedding Corp. 11,400 212,142
Watami Food Service Co., Ltd. 64,200 614,634
Weathernews, Inc. 11,900 120,672
* Wondertable, Ltd. 8,000 9,644
Wood One Co., Ltd. 86,000 735,066
Xebio Co., Ltd. 12,000 354,972
* XNET Corp. 27 114,824
Yachiyo Musen Denki Co., Ltd. 16,800 105,741
Yahagi Construction Co., Ltd. 59,000 202,566
# Yaizu Suisankagaku Industry Co., Ltd. 20,100 176,423
Yamagata Bank, Ltd. 68,000 297,854
Yamaichi Electronics Co., Ltd. 24,700 243,570
Yamamura Glass Co., Ltd. 189,000 406,506
Yamatake Corp. 14,300 138,937
* Yamatane Corp. 131,000 177,000
# Yamato Corp. 36,000 218,156
Yamato International, Inc. 43,000 252,604
Yamato Kogyo Co., Ltd. 118,000 1,342,161
Yamaura Corp. 19,000 52,356
Yamazen Co., Ltd. 140,000 346,483
Yaoko Co., Ltd. 29,000 630,351
Yasuda Warehouse Co., Ltd. 61,000 308,193
Yellow Hat, Ltd., Tokyo 39,600 351,617
Yodogawa Steel Works, Ltd. 285,000 1,109,037
Yokogawa Bridge Corp. 55,400 244,735
# Yokohama Reito Co., Ltd. 63,000 409,849
Yokowo Co., Ltd. 32,300 427,381
# Yomeishu Seizo Co., Ltd. 52,000 364,259
Yomiuri Land Co., Ltd. 157,000 516,816
Yondenko Corp. 63,800 265,233
# Yonekyu Corp. 41,500 388,779
Yonex Co., Ltd. 33,000 250,654
# Yorozu Corp. 34,100 306,772
Yoshimoto Kogyo Co., Ltd. 60,000 558,026
Yuasa Funashoku Co., Ltd. 69,000 150,765
*# Yuasa Trading Co., Ltd. 237,000 411,591
*# Yuken Kogyo Co., Ltd. 60,000 135,553
Yuki Gosei Kogyo Co., Ltd. 31,000 95,901
Yukiguni Maitake Co., Ltd. 35,600 174,061
Yuraku Real Estate Co., Ltd. 69,000 247,178
Yurtec Corp. 122,000 536,771
# Yushin Precision Equipment Co., Ltd. 25,740 521,413
Yushiro Chemical Industry Co., Ltd. 10,000 137,208
</Table>
197
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
# Zenrin Co., Ltd. 57,200 $ 572,844
# Zensho Co., Ltd. 19,300 353,382
# Zeria Pharmacetical Co., Ltd. 74,000 747,164
Z-Plus Co., Ltd. 13,000 42,159
* Zuken, Inc. 13,300 150,650
---------------
TOTAL COMMON STOCKS
(Cost $485,137,117) 427,058,780
---------------
INVESTMENT IN CURRENCY -- (0.4%)
* Japanese Yen
(Cost $2,019,962) 2,029,277
---------------
RIGHTS/WARRANTS -- (0.0%)
* Kanematsu Corp. Warrants 03/31/06
(Cost $0) 20,125 0
---------------
TOTAL -- JAPAN
(Cost $487,157,079) 429,088,057
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (21.2%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.89%,
06/01/04 (Collateralized by $6,127,000
FHLB Notes 3.375%, 06/15/04, valued at $6,226,564) to
be repurchased at $6,134,607 (Cost $6,134,000) $ 6,134 6,134,000
Repurchase Agreement, Mizuho Securities USA 1.00%,
06/01/04 (Collateralized by $155,935,428
U.S. Treasury Strips, maturities ranging
from 11/15/04 to 11/15/15, valued at $111,339,286
to be repurchased at $109,285,421 (Cost $109,273,280)^ 109,273 109,273,280
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $602,564,359)++ $ 544,495,337
===============
</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 $605,624,329.
See accompanying Notes to Financial Statements.
198
<Page>
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
AUSTRALIA -- (30.1%)
COMMON STOCKS -- (29.6%)
* A.I., Ltd. 129,195 $ 12,469
A.P. Eagers, Ltd. 25,977 126,237
AAV, Ltd. 111,200 157,040
* ABB Grain, Ltd. 13,743 68,827
# ABC Learning Centres, Ltd. 197,376 471,618
* Acclaim Exploration NL 435,905 16,150
* Adacel Technologies, Ltd. 113,249 44,307
AD Corp Australia, Ltd. 119,617 89,610
Adelaide Bank, Ltd. 37,652 225,115
Adsteam Marine, Ltd. 402,319 424,840
Adtrans Group, Ltd. 29,000 76,568
* Agenix, Ltd. 267,186 143,067
* AGT Biosciences, Ltd. 31,650 10,530
AJ Lucas Group, Ltd. 62,800 78,058
Alesco Corp., Ltd. 88,492 395,232
* Alkane Exploration, Ltd. 185,165 36,900
* Allegiance Mining NL 274,272 21,547
Altium, Ltd. 162,100 45,213
Amalgamated Holdings, Ltd. 213,820 488,036
* Amcom Telecommunications, Ltd. 596,711 61,915
* Amity Oil NL 222,481 104,635
* Amrad Corp., Ltd. 135,523 80,180
* Anateus Energy, Ltd. 193,687 12,854
* Anvil Mining NL 343,284 110,217
APN News & Media, Ltd. 1 3
ARB Corporation, Ltd. 116,670 303,769
* Arc Energy NL 321,280 203,911
Ariadne Australia, Ltd. 270,353 55,971
* Arrow Pharmaceuticals, Ltd. 24,872 140,672
Aspen Group, Ltd. 16,175 1,732
* Atlas Pacific, Ltd. 82,585 11,786
* AuIron Energy, Ltd. 709,175 39,529
Ausdrill, Ltd. 118,742 50,747
* Ausmelt, Ltd. 36,118 10,314
Auspine, Ltd. 73,367 175,827
* Austal, Ltd. 356,800 282,890
* Austar United Communications, Ltd. 653,105 326,369
Austereo Group, Ltd. 230,927 224,062
Austin Group, Ltd. 70,265 35,058
* Austral Coal, Ltd. 373,084 148,734
Australian Agricultural Co., Ltd. 344,519 294,725
*# Australian Magnesium Corp., Ltd. 332,383 5,906
Australian Pharmaceutical Industries,
Ltd. 105,318 187,084
Australian Pipeline Trust 96,839 182,749
* Australian Worldwide Exploration, Ltd. 465,421 547,629
* Auto Group, Ltd. 41,309 16,761
# Autron Corporation, Ltd. 989,247 151,853
# AV Jennings Homes, Ltd. 350,188 498,878
Bank of Queensland, Ltd. 216,517 1,495,067
* BayCorp Advantage, Ltd. 100,703 195,243
Beach Petroleum NL 1,898,119 378,892
* Beaconsfield Gold NL 89,078 31,783
*# Bendigo Mining NL 171,212 136,943
* Beyond International, Ltd. 61,256 $ 13,064
* Biota Holdings, Ltd. 97,808 40,514
Blackmores, Ltd. 27,894 179,657
* Blina Diamonds, Ltd. 13,703 0
Bolnisi Gold NL 228,822 44,215
Brazin, Ltd. 159,875 174,427
Bridgestone Australia, Ltd. 49,000 94,346
* Broadcast Services Australia, Ltd. 205,703 33,685
Burswood, Ltd. 110,988 116,405
# Cabcharge Austalia, Ltd. 196,800 456,438
Campbell Brothers, Ltd. 88,210 405,631
Candle Australia, Ltd. 65,879 74,232
* Cape Range Wireless, Ltd. 1,698,199 63,895
Capral Aluminium, Ltd. 139,483 238,797
Casinos Austria International, Ltd. 258,299 180,565
* CDS Technologies, Ltd. 35,200 50,993
Cedar Woods Properties, Ltd. 50,913 56,353
* Cellestis, Ltd. 128,411 174,273
Cellnet Telecommunications Group,
Ltd. 91,100 92,737
* Centamin Egypt, Ltd. 996,437 127,927
Centennial Coal, Ltd. 456,316 940,714
# Central Equity, Ltd. 129,405 188,994
* Charter Pacific Corp., Ltd. 72,823 21,848
* Charters Towers Gold Mines, Ltd. 258,700 24,939
*# Chemeq, Ltd. 120,000 493,206
* Chiquita Brands South Pacific, Ltd. 162,390 74,155
* Circadian Technologies, Ltd. 40,370 61,132
Citect Corp., Ltd. 109,822 101,772
* Climax Mining, Ltd. 870,299 55,274
* Clough, Ltd. 817,737 268,549
* Clover Corp., Ltd. 159,500 35,850
* Cluff Resources Pacific NL 911,746 17,569
CMI, Ltd. 32,784 47,284
Coates Hire, Ltd. 112,949 268,101
Cochlear, Ltd. 15,767 230,552
Coffey International, Ltd. 13,768 43,721
# Collection House, Ltd. 176,200 183,592
Colorado Group, Ltd. 156,248 537,250
Commander Communications, Ltd. 197,200 215,938
# Consolidated Minerals, Ltd. 258,222 209,613
* Coplex Resources NL 231,400 14,861
* Corporate Express Australia, Ltd. 44,932 154,040
Count Financial, Ltd. 299,500 175,110
Coventry Group, Ltd. 60,180 242,680
* CPI, Ltd. 68,585 32,248
# Crane Group, Ltd. 96,182 576,841
Croesus Mining NL 798,235 282,189
Danks Holdings, Ltd. 10,425 92,522
* DCA Group, Ltd. 140,312 276,213
# Devine, Ltd. 168,183 75,598
* Dioro Exploraration NL 297,142 16,966
* Dominion Mining, Ltd. 168,015 57,607
Downer Group, Ltd. 60,303 135,272
* Dragon Mining NL 275,761 55,095
* Emporer Mines, Ltd. 120,600 64,593
</Table>
199
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Energy Developments, Ltd. 230,514 $ 422,841
* Energy World Corp., Ltd. 325,630 4,653
* Environmental Solutions International,
Ltd. 67,364 5,524
Equigold NL 225,700 223,869
* Equinox Resources, Ltd. 203,148 47,852
Evans & Tate, Ltd. 157,591 123,688
Fantastic Holdings, Ltd. 133,100 383,113
FKP, Ltd. 197,911 379,103
Fleetwood Corp., Ltd. 77,785 413,376
* Fortescue Metals Group, Ltd. 107,508 33,721
Funtastic, Ltd. 188,261 295,450
Futuris Corp., Ltd. 86,595 95,780
Gale Pacific, Ltd. 60,756 117,397
Gazal Corp., Ltd. 71,177 128,309
* Giants Reef Mining, Ltd. 819,928 46,289
* Globe International, Ltd. 712,348 213,641
* Gold Aura 2,635 226
* Golden West Refining Corp., Ltd. 17,330 4,452
* Goldstream Mining NL 105,681 29,415
Gowing Bros., Ltd. 59,479 100,141
* Gradipore, Ltd. 86,855 48,452
* Graincorp, Ltd. Series A 78,059 684,428
* Grand Hotel Group 383,087 188,258
GRD NL 379,594 468,542
# Great Southern Plantations, Ltd. 373,144 658,721
Green's Foods, Ltd. 129,747 89,803
GUD Holdings, Ltd. 114,428 673,452
Gunns, Ltd. 13,201 125,720
* Gutnick Resources NL 17,866 2,818
GWA International, Ltd. 153,066 317,714
* Gympie Gold, Ltd. 302,445 120,861
*# Hardman Resources NL 497,372 569,346
Harvey World Travel, Ltd. 52,100 55,089
Health Communication Network, Ltd. 106,000 83,933
Healthscope, Ltd. 133,652 354,599
* Henry Walker Eltin Group, Ltd. 287,948 205,715
* Herald Resources, Ltd. 69,910 39,409
HGL, Ltd. 67,969 93,097
# Hills Industries, Ltd. 271,884 717,792
* Horizon Oil NL 752,832 32,326
# Housewares International, Ltd. 289,080 472,338
HPAL, Ltd. 193,847 200,463
* Hutchison Telecommunications
(Australia), Ltd. 1,065,400 208,982
IInet, Ltd. 136,659 263,469
Iluka Resources, Ltd. 102,672 291,138
* Imdex, Ltd. 135,662 12,627
* Incitec Pivot, Ltd. 22,546 289,683
* Independent Practioner Network, Ltd. 1,372,241 51,008
# Infomedia, Ltd. 598,900 362,615
Institute of Drug Technology Australia,
Ltd. 44,372 62,467
Integrated Group, Ltd. 94,900 124,621
* Intellect Holdings, Ltd. 403,028 25,097
* International All Sports, Ltd. 58,815 22,360
Investor Group, Ltd. 110,445 220,696
ION, Ltd. 342,085 363,776
Iress Market Technology, Ltd. 176,883 392,353
IWL, Ltd. 295,600 67,556
* Ixla, Ltd. 89,921 1,476
* JDV, Ltd. 84,981 $ 36,409
# Jones (David), Ltd. 658,594 751,700
Jubilee Mines NL 224,549 563,604
K&S Corp., Ltd. 86,000 157,616
* Kagara Zinc, Ltd. 208,900 136,886
Kaz Group, Ltd. 1,324,705 368,384
* Keycorp, Ltd. 156,412 152,805
* Kimberley Diamond Co. NL 274,068 254,106
Kingsgate Consolidated NL 136,284 361,278
* Kresta Holdings, Ltd. 185,695 76,905
* Lakes Oil NL 1,183,489 38,968
Lemarne Corp., Ltd. 20,790 35,627
* Leyshon Resources, Ltd. 103,357 28,163
Lighting Corp., Ltd. 112,500 60,212
* LionOre Mining International, Ltd. 25,842 117,979
* Lynas Gold NL 433,768 114,640
# MacArthur Coal, Ltd. 265,423 277,860
* MacMahon Holdings, Ltd. 593,580 116,711
* Macmin Silver, Ltd. 305,531 32,752
* Macquarie Corporate
Telecommunications, Ltd. 350,192 57,262
* Macquarie Goodman Management,
Ltd. 58,465 135,788
Magellan Petroleum Australia, Ltd. 32,760 27,694
* Magnesium International, Ltd. 656,061 26,681
Maryborough Sugar Factory, Ltd. 600 2,096
* Matrix Oil NL 557,000 17,489
MaxiTRANS Industries, Ltd. 266,414 133,226
# McGuigan Simeon Wines, Ltd. 258,538 870,860
McPherson's, Ltd. 69,231 217,068
* Medica Holdings, Ltd. 31,587 13,974
Melbourne IT, Ltd. 33,350 19,216
* Metabolic Pharmaceuticals, Ltd. 700,000 435,194
*# Metal Storm, Ltd. 791,640 223,809
Mia Group, Ltd. 237,000 143,508
# Miller's Retail, Ltd. 478,989 485,034
* Mincor Resources NL 333,960 152,660
Monadelphous Group, Ltd. 18,988 75,186
* Mosaic Oil NL 387,324 63,289
* MPI Mines, Ltd. 70,601 70,336
* MXL, Ltd. 512,804 44,020
# MYOB, Ltd. 477,320 465,744
Namoi Cotton Cooperative, Ltd. 142,585 42,774
National Can Industries, Ltd. 97,017 100,041
* Norwood Abbey, Ltd. 245,896 193,522
* Novogen, Ltd. 53,107 191,902
* Novus Petroleum, Ltd. 288,634 406,086
Nufarm, Ltd. 66,623 282,721
*# Nylex, Ltd. 1,110,199 213,502
Oakton, Ltd. 90,396 79,168
# Oamps, Ltd. 176,480 383,946
*# Orbital Engine Corp., Ltd. 537,358 55,547
OrotonGroup, Ltd. 76,854 146,438
* Oxiana, Ltd. 170,526 101,556
Pacific Group, Ltd. 60,747 177,468
Pacific Hydro, Ltd. 375,596 763,721
* Palm Springs, Ltd. 222,804 23,961
* Pan Pacific Petroleum NL 327,800 39,684
* Pan Pharmaceuticals, Ltd. 322,766 276,390
* Panbio, Ltd. 58,078 16,596
* Payce Consolidated, Ltd. 18,000 32,240
</Table>
200
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Peppercorn Management Group, Ltd. 12,267 $ 67,159
*# Peptech, Ltd. 281,015 270,882
* Perilya Mines NL 263,500 164,949
* Perseverance Corp., Ltd. 917,246 174,373
* Petsec Energy, Ltd. 203,974 168,403
* Plantcorp NL 4,329 0
Plaspak Group, Ltd. 99,965 66,978
* PMP, Ltd. 455,871 523,360
* Polartechnics, Ltd. 43,405 18,592
Port Bouvard, Ltd. 108,200 96,552
* Port Douglas Reef Resorts, Ltd. 251,655 17,958
Portman, Ltd. 343,890 412,141
*# PowerTel, Ltd. Series B 110,422 83,398
* Prana Biotechnology, Ltd. 96,941 46,144
* Precious Metals Australia, Ltd. 10,606 492
* Preston Resources NL 64,000 594
Primary Health Care, Ltd. 193,456 772,942
Prime Television, Ltd. 210,595 390,632
* Primelife Corp., Ltd. 85,867 111,934
* Progen Industries, Ltd. 24,788 54,895
Programmed Maintenance Service,
Ltd. 121,686 281,552
Queensland Cotton Holdings, Ltd. 39,866 101,816
* Quiktrak Networks P.L.C. Entitlement
Shares 23,875 0
* Quiktrak Networks, Ltd. 740,124 528
Ramsay Health Care, Ltd. 70,910 271,847
Raptis Group, Ltd. 12,000 4,301
Rebel Sport, Ltd. 132,283 257,724
* Redfire Resources NL 859,797 110,614
Reece Australia, Ltd. 159,501 933,954
* Reinsurance Australia Corp., Ltd. 399,993 154,383
* Reliance Mining, Ltd. 91,651 29,373
*# Resolute Mining, Ltd. 287,264 257,903
* Resonance Health, Ltd. 29,264 2,914
RG Capital Radio, Ltd. 45,370 92,670
# Ridley Corp., Ltd. 593,143 542,400
Roberts, Ltd. 10,418 55,087
* Roc Oil Co., Ltd. 273,120 299,520
Rock Building Society, Ltd. 11,373 27,928
Ross Human Directions, Ltd. 42,066 20,162
* Rural Press, Ltd. 38,633 207,654
S8, Ltd. 80,476 63,232
Salmat, Ltd. 66,912 166,691
Schaffer Corp., Ltd. 33,766 328,286
SDI, Ltd. 40,163 277,709
* Sedimentary Holdings, Ltd. 264,237 41,334
Select Harvests, Ltd. 45,548 211,355
* Senetas Corp., Ltd. 240,406 10,657
Servcorp, Ltd. 156,000 222,644
Seven Network, Ltd. 28,361 103,290
* SFE Corp., Ltd. 72,967 338,467
* Silex System, Ltd. 235,100 134,295
Sims Group, Ltd. 50,097 392,918
Skilled Engineering, Ltd. 147,971 293,281
Smorgon Steel Group, Ltd. 221,547 169,052
* SMS Management & Technology, Ltd. 329,600 68,173
* Solution 6 Holdings, Ltd. 402,138 255,462
* Sons of Gwalia, Ltd. 76,934 147,803
Southern Cross Broadcasting
(Australia), Ltd. 33,058 254,470
*# Southern Pacific Petroleum NL 698,740 $ 119,669
SP Telecommunications, Ltd. 318,303 317,647
SPC Ardmona, Ltd. 345,724 330,499
Spotless Group, Ltd. 73,128 258,424
* St. Barbara Mines, Ltd. 375,500 12,872
Star Games, Ltd. 132,410 101,078
* Starpharma Holdings, Ltd. 107,300 55,835
* Straits Resources, Ltd. 212,913 149,282
* Strategic Minerals Corp. NL 358,100 50,983
* Strathfield Group, Ltd. 336,916 34,843
* Striker Resources NL 435,484 15,528
# STW Communications Group, Ltd. 238,716 536,665
Sunland Group, Ltd. 349,278 257,357
Sydney Aquarium, Ltd. 49,135 164,775
* Sydney Gas, Ltd. 351,119 207,711
Symex Holdings, Ltd. 163,000 147,546
Tandou, Ltd. 3,410 3,858
* Tap Oil, Ltd. 269,296 280,313
Technology One, Ltd. 587,800 222,027
Tectonic Resources NL 155,738 32,197
* Television & Media Services, Ltd. 2,000,584 42,806
# Tempo Service, Ltd. 184,359 139,480
Thakral Holdings Group 948,383 439,776
The Gribbles Group, Ltd. 780,300 169,674
Ticor, Ltd. 455,148 406,719
# Timbercorp, Ltd. 369,115 357,785
* Titan Resources NL 188,493 41,642
* Tooth & Co., Ltd. 153,000 16,312
Transfield Services, Ltd. 75,900 279,114
Triako Resources, Ltd. 25,400 27,313
Troy Resources NL 72,048 150,669
Trust Company of Australia, Ltd. 41,099 219,978
*# Uecomm, Ltd. 845,897 237,986
# United Group, Ltd. 170,233 600,613
UXC, Ltd. 181,293 95,676
* VeCommerce, Ltd. 13,680 12,875
*# Ventracor, Ltd. 331,714 330,961
* Victoria Petroleum NL 463,964 7,622
# Villa World, Ltd. 185,574 168,671
*# Village Roadshow, Ltd. 591,536 781,303
* Virotec International NL 298,151 95,294
Vision Systems, Ltd. 274,105 168,193
* Voicenet (Australia), Ltd. 495,284 14,844
Volante Group, Ltd. 125,700 107,562
Waterco, Ltd. 22,304 38,343
Watpac, Ltd. 133,333 72,358
Wattyl, Ltd. 136,317 369,548
* Webster, Ltd. 33,551 15,829
Wide Bay Capricorn Building Society,
Ltd. 26,958 127,806
* Worley Group, Ltd. 32,111 68,580
* Yates, Ltd. 60,281 1,894
---------------
TOTAL COMMON STOCKS
(Cost $57,070,964) 60,727,898
---------------
INVESTMENT IN CURRENCY -- (0.4%)
* Australian Dollar
(Cost $736,097) 732,315
---------------
</Table>
201
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
PREFERRED STOCKS -- (0.1%)
* Southern Cross Broadcasting
(Australia), Ltd. Preferred 11,744 $ 100,566
* Village Roadshow, Ltd. 2% Class A 55,477 53,796
---------------
TOTAL PREFERRED STOCKS
(Cost $203,293) 154,362
---------------
RIGHTS/WARRANTS -- (0.0%)
* Amity Oil, Ltd. Options 09/04/04 1 0
* Autron Corp., Ltd. 05/27/04 229,667 8,195
* Axon Instruments, Inc. Options
01/02/07 16,148 0
* Gradipore, Ltd. Options 09/01/04 17,371 3,967
* Kimberley Diamond Co. NL Rights 34,258 0
* Metal Storm, Ltd. Options 08/06/04 1 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $98) 12,162
---------------
TOTAL -- AUSTRALIA
(Cost $58,010,452) 61,626,737
---------------
SINGAPORE -- (25.1%)
COMMON STOCKS -- (25.1%)
* Acma, Ltd. 3,040,700 115,786
* Airocean Group, Ltd. 1,649,000 334,637
* Alliance Technology & Development,
Ltd. 156,000 9,631
Amtek Engineering, Ltd. 799,625 541,544
Apollo Enterprises, Ltd. 193,000 50,498
Armstrong Industrial Corp. 1,460,000 132,822
ASA Group Holdings, Ltd. 586,000 96,408
Ascott Group, Ltd. 1,807,250 436,404
Aussino Group, Ltd. 967,000 319,279
Benjamin (F.J.) Holdings, Ltd. 1,095,000 142,133
# Beyonics Technology, Ltd. 1,556,640 421,182
Blu Inc. Group, Ltd. 729,000 103,124
Bonvests Holdings, Ltd. 825,000 220,498
Brilliant Manufacturing, Ltd. 1,855,000 765,445
* Broadway Industrial Group, Ltd. 461,000 72,902
Bukit Sembawang Estates, Ltd. 71,334 564,216
Central Properties, Ltd. 66,000 1,445,387
Ch Offshore, Ltd. 823,200 179,034
Chemical Industries (Far East), Ltd. 105,910 59,425
* China Merchants Holdings Pacific, Ltd. 652,000 208,018
*# Chip Eng Seng Corp., Ltd. 1,775,000 157,259
Chosen Holdings, Ltd. 1,284,000 182,413
Chuan Hup Holdings, Ltd. 4,385,000 1,265,685
Chuan Soon Huat Industrial Group,
Ltd. 614,000 106,666
CIH, Ltd. 475,542 756,658
* CK Tang, Ltd. 614,000 98,701
* Compact Metal Industries, Ltd. 643,000 17,122
Courts Singapore, Ltd. 495,000 198,557
* CSC Holdings, Ltd. 672,000 13,785
CSE Global, Ltd. 1,262,000 438,533
CWT Distribution, Ltd. 461,500 131,900
* Eagle Brand Holdings, Ltd. 5,158,000 227,990
# Eastern Asia Technology, Ltd. 1,676,600 299,606
*# Eastern Asia Technology, Ltd.
Series A 167,660 37,460
Eastgate Technology, Ltd. 870,000 69,124
* Econ International, Ltd. 2,267,000 $ 59,982
ECS Holdings, Ltd. 1,375,000 271,515
Eng Wah Organisation, Ltd. 265,000 47,038
* Firstlink Investments Corp., Ltd. 995,000 149,535
* Freight Links Express Holdings, Ltd. 3,368,000 189,467
Frontline Technologies Corp., Ltd. 3,170,000 271,534
Fu Yu Manufacturing, Ltd. 1,819,000 941,851
Fuji Offset Plates Manufacturing, Ltd. 33,750 5,906
GB Holdings, Ltd. 200,000 95,049
# Ges International, Ltd. 2,909,000 1,078,544
GK Goh Holdings, Ltd. 1,494,000 693,300
Goodpack, Ltd. 1,592,000 885,491
GP Industries, Ltd. 1,516,000 891,683
Guocoland, Ltd. 1,215,000 756,745
Hiap Moh Corp., Ltd. 34,874 6,170
Ho Bee Investment, Ltd. 761,000 118,308
Hong Fok Corp., Ltd. 1,796,000 277,318
Hong Leong Asia, Ltd. 1,048,000 1,010,952
* Horizon Education & Technologies,
Ltd. 2,054,000 145,794
Hotel Grand Central, Ltd. 875,280 182,475
Hotel Plaza, Ltd. 1,189,000 389,270
Hotel Properties, Ltd. 1,675,000 1,004,983
Hour Glass, Ltd. 298,000 105,807
# HTL International Holdings, Ltd. 1,471,875 934,325
Huan Hsin Holdings, Ltd. 1,138,400 630,678
Hup Seng Huat, Ltd. 900,200 100,790
Hwa Hong Corp., Ltd. 2,488,000 679,683
# IDT Holdings, Ltd. 718,000 900,025
* Inno-Pacific Holdings, Ltd. 680,000 10,080
# Innovalues Precision, Ltd. 520,000 218,643
International Factors (Singapore), Ltd. 290,000 89,154
* Internet Technology Group, Ltd. 874,408 25,730
* Interra Resources, Ltd. 185,430 20,753
* Intraco, Ltd. 292,500 68,893
Isetan (Singapore), Ltd. 122,500 206,375
# Jaya Holdings, Ltd. 2,733,000 1,325,520
JK Yaming International, Ltd. 907,000 204,794
Jurong Cement, Ltd. 132,500 71,057
Jurong Engineering, Ltd. 137,000 193,611
# Jurong Technologies Industrial Corp.,
Ltd. 1,446,000 1,187,135
* K1 Ventures, Ltd. 5,340,500 818,256
Keppel Telecommunications and
Transportation, Ltd. 2,058,000 971,475
Khong Guan Flour Milling, Ltd. 19,000 18,133
Kian Ann Engineering, Ltd. 868,000 97,405
Kian Ho Bearings, Ltd. 521,000 58,568
Koh Brothers, Ltd. 1,494,000 87,616
* L & M Group Investments, Ltd. 7,107,100 62,682
Labroy Marine, Ltd. 3,343,000 923,029
* Lantrovision (S), Ltd. 1,117,500 65,987
Lee Kim Tah Holdings, Ltd. 1,600,000 231,517
* Leong Hin Holdings, Ltd. 526,000 38,587
* Liang Huat Aluminum, Ltd. 1,477,000 43,810
* Lion Asiapac, Ltd. 473,000 36,497
Low Keng Huat Singapore, Ltd. 372,000 94,293
Lum Chang Holdings, Ltd. 1,134,030 141,690
# Magnecomp International, Ltd. 931,000 293,955
* Manufacturing Integration Technology,
Ltd. 588,000 66,178
</Table>
202
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<Caption>
SHARES VALUE+
------ ------
MCL Land, Ltd. 1,427,000 $ 1,150,612
* Mediaring.Com, Ltd. 3,410,000 300,644
Metro Holdings, Ltd. 2,256,960 651,732
MMI Holdings, Ltd. 1,994,000 351,954
Multi-Chem, Ltd. 1,263,000 238,193
Nera Telecommunications, Ltd. 1,450,000 456,345
New Toyo Intenational Holdings, Ltd. 1,043,000 365,915
Norelco Centreline Holdings, Ltd. 941,000 642,079
* Orchard Parade Holdings, Ltd. 1,084,022 257,920
# Osim International, Ltd. 1,638,000 1,044,311
Ossia International, Ltd. 708,000 79,706
Pan-United Corp., Ltd. 2,193,000 469,936
* Pan-United Marine, Ltd. 1,096,500 193,415
PCI, Ltd. 734,000 328,371
Pentex-Schweizer Circuits, Ltd. 1,240,000 218,625
Pertama Holdings, Ltd. 459,750 77,112
Popular Holdings, Ltd. 1,813,000 494,493
# PSC Corp., Ltd. 4,088,000 276,698
Qian Hu Corp., Ltd. 408,200 150,371
Robinson & Co., Ltd. 284,832 962,380
Rotary Engineering, Ltd. 1,624,000 473,532
* San Teh, Ltd. 838,406 236,230
SBS Transit, Ltd. 1,011,000 892,027
Sea View Hotel, Ltd. 66,000 161,799
* Seatown Corp., Ltd. 101,000 1,782
Sembawang Kimtrans, Ltd. 1,295,000 114,613
Sin Soon Huat, Ltd. 1,307,000 50,004
Sing Investments & Finance, Ltd. 94,500 92,116
# Singapore Food Industries, Ltd. 1,707,000 812,794
Singapore Reinsurance Corp., Ltd. 1,540,935 231,742
* Singapore Shipping Corp., Ltd. 1,930,000 334,985
Singapura Finance, Ltd. 139,250 111,499
SMB United, Ltd. 2,010,000 216,110
SNP Corp., Ltd. 466,495 274,687
* SP Corp., Ltd. 454,000 18,530
Ssangyong Cement (Singapore), Ltd. 236,000 143,142
Stamford Land Corp., Ltd. 3,229,000 437,337
Straits Trading Co., Ltd. 1,117,200 1,241,084
* Sunright, Ltd. 378,000 91,926
Superbowl Holdings, Ltd. 490,000 67,705
Superior Metal Printing, Ltd. 490,500 58,930
* Thakral Corp., Ltd. 6,028,000 514,313
Tiong Woon Corp. Holding, Ltd. 906,000 199,886
* Transmarco, Ltd. 106,500 60,359
Trek 2000 International, Ltd. 1,004,000 346,459
TSM Resources, Ltd. 1,502,000 301,163
*# TT International, Ltd. 1,758,000 315,562
* Tuan Sing Holdings, Ltd. 3,362,000 176,912
* Ultro Technologies, Ltd. 530,000 43,883
# Unisteel Technology, Ltd. 974,000 698,596
United Engineers, Ltd. 846,666 772,988
United Overseas Insurance, Ltd. 125,500 258,235
United Pulp & Paper Co., Ltd. 354,000 99,991
UOB-Kay Hian Holdings, Ltd. 1,602,000 919,393
Vicom, Ltd. 120,000 66,202
WBL Corp., Ltd. 647,000 1,165,218
* Xpress Holdings, Ltd. 1,392,000 48,820
* Yongnam Holdi 1,004,000 11,877
---------------
TOTAL COMMON STOCKS
(Cost $57,015,596) 51,488,716
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $52,992) $ 53,455
---------------
RIGHTS/WARRANTS -- (0.0%)
* Acma, Ltd. Warrants 11/16/04
(Cost $0) 236,300 695
---------------
TOTAL -- SINGAPORE
(Cost $57,068,588) 51,542,866
---------------
HONG KONG -- (24.5%)
COMMON STOCKS -- (24.5%)
* 139 Holdings, Ltd. 6,200,000 19,761
ABC Communications (Holdings), Ltd. 930,000 52,479
Aeon Credit Service (Asia) Co., Ltd. 740,000 445,749
ALCO Holdings, Ltd. 740,000 199,247
* Allan International Holdings, Ltd. 592,000 103,420
* Allied Group, Ltd. 5,592,000 459,039
* Allied Properties, Ltd. 802,600 321,536
* Anex International Holdings, Ltd. 152,000 2,229
* Applied International Holdings, Ltd. 1,243,000 17,379
* APT Satellite Holdings, Ltd. 599,000 134,049
* Artel Solutions Group Holdings, Ltd. 2,315,000 86,925
Arts Optical International Holdings,
Ltd. 468,000 149,973
Asia Aluminum Holdings, Ltd. 196,000 21,384
* Asia Commercial Holdings, Ltd. 72,800 4,022
Asia Financial Holdings, Ltd. 1,976,908 438,955
* Asia Logistics Technologies, Ltd. 2,214,000 6,286
Asia Satellite Telecommunications
Holdings, Ltd. 42,500 66,271
* Asia Standard International Group,
Ltd. 6,780,000 252,465
* Asia Tele-Net & Technology Corp.,
Ltd. 521,000 15,590
Associated International Hotels, Ltd. 898,000 707,172
Automated Systems Holdings, Ltd. 340,000 58,738
Baltrans Holdings, Ltd. 376,000 104,876
* Beijing Development (Hong Kong),
Ltd. 166,000 27,878
* Bossini International Holdings, Ltd. 900,750 131,780
Bright International Group, Ltd. 710,000 77,333
Cafe de Coral Holdings, Ltd. 90,000 83,145
* Capital Prosper, Ltd. 480,000 2,615
* Capital Strategic Investment, Ltd. 122,000 3,176
* Cash Financial Services Group, Ltd. 27,018 1,059
* Casil Telecommunications Holdings,
Ltd. 1,420,000 71,906
* Catic International Holdings, Ltd. 5,332,000 96,515
CCT Telecom Holdings, Ltd. 472,970 63,003
* CEC International Holdings, Ltd. 210,000 4,048
* Celestial Asia Securities Holdings,
Ltd. 426,036 26,818
* Central China Enterprises, Ltd. 21,040 7,503
# Champion Technology Holdings, Ltd. 1,329,386 213,192
Chaoda Modern Agriculture
(Holdings), Ltd. 364,000 112,305
Chen Hsong Holdings, Ltd. 1,210,000 713,806
Cheuk Nang (Holdings), Ltd. 112,501 31,659
* Cheung Tai Hong Holdings, Ltd. 100,920 3,689
Chevalier International Holdings, Ltd. 441,482 265,753
</Table>
203
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<Caption>
SHARES VALUE+
------ ------
Chevalier Itech Holdings, Ltd. 355,250 $ 41,938
* China Aerospace International
Holdings, Ltd. 3,384,000 201,727
* China Bio-Medical Group Limited 415,000 7,987
* China City Natural Gas Holdings, Ltd. 10,488,000 28,200
* China Digicontent Co., Ltd. 2,710,000 3,477
* China Everbright International, Ltd. 3,945,000 209,780
* China Everbright Technology, Ltd. 3,244,000 133,243
* China Gas Holdings, Ltd. 2,026,000 156,267
China Hong-Kong Photo Products
Holdings, Ltd. 1,909,000 117,648
# China Insurance International
Holdings Co., Ltd. 198,000 93,954
* China Investments Holdings, Ltd. 210,000 4,527
* China Motion Telecom International,
Ltd. 257,000 16,398
China Motor Bus Co., Ltd. 74,000 467,708
* China Nan Feng Group, Ltd. 28,800 240
China National Aviation Co., Ltd. 278,000 47,747
China Online (Bermuda), Ltd. 423,200 54,098
China Pharmaceutical Enterprise and
Investment Corp., Ltd. 206,000 62,154
China Rare Earth Holdings, Ltd. 1,180,000 158,898
China Resources Land, Ltd. 2,658,000 353,609
China Resources Logic, Ltd. 3,796,000 428,176
* China Rich Holdings, Ltd. 3,380,000 17,625
* China Sci-Tech Holdings, Ltd. 2,786,000 7,138
* China Star Entertainment, Ltd. 440,292 44,599
* China Strategic Holdings, Ltd. 1,368,500 82,400
# China Travel International Investment,
Ltd. 624,000 109,640
Chinney Investments, Ltd. 1,144,000 84,818
Chow Sang Sang Holdings
International, Ltd. 721,400 222,033
Chuangs China Investments, Ltd. 1,347,000 61,292
* Chuang's Consortium International,
Ltd. 1,858,884 108,654
Chun Wo Holdings, Ltd. 1,671,917 173,552
Chung Tai Printing Holdings, Ltd. 548,000 87,842
* CITIC 21CN Co., Ltd. 178,000 19,631
* CITIC Resources Holdings, Ltd. 492,000 57,559
City e Solutions, Ltd. 186,000 19,989
# City Telecom (H.K.), Ltd. 1,070,000 202,454
* Clear Media, Ltd. 75,000 66,357
* Climax International Co., Ltd. 296,000 1,060
CNPC (Hong Kong), Ltd. 640,000 82,944
* CNT Group, Ltd. 3,078,000 96,705
* Coastal Greenland, Ltd. 2,440,000 51,308
* Compass Pacific Holdings, Ltd. 624,000 19,867
* Computer & Technologies Holdings,
Ltd. 432,000 77,595
Continental Holdings, Ltd. 98,825 9,194
Continental Mariner Investment Co.,
Ltd. 1,328,000 232,635
* COSCO International Holdings, Ltd. 2,573,600 353,718
# Coslight Technology International
Group, Ltd. 626,000 224,919
* Cosmos Machinery Enterprises, Ltd. 1,024,000 44,672
* Crocodile Garments, Ltd. 1,539,000 51,164
Cross Harbour Tunnel Co., Ltd. 381,725 197,382
*# Culturecom Holdings, Ltd. 3,767,000 219,589
* Dah Hwa International Holdings, Ltd. 1,062,000 $ 21,429
* Dan Form Holdings Co., Ltd. 2,386,600 92,741
Daqing Petroleum & Chemical Group,
Ltd. 1,375,000 74,216
Dickson Concepts International, Ltd. 453,000 401,469
Digital China Holdings, Ltd. 1,416,000 408,522
* DVN Holdings, Ltd. 744,490 200,403
* Dynamic Global Holdings, Ltd. 3,522,000 35,443
Dynamic Holdings, Ltd. 244,000 27,717
* Easyknit International Holdings, Ltd. 282,860 3,612
*# Eforce Holdings, Ltd. 2,620,000 67,232
Egana Jewelry and Pearls 331,789 63,794
# Eganagoldfeil Holdings Ltd 2,017,235 403,833
Elec & Eltek International Holdings,
Ltd. 3,078,790 553,728
* Emperor International Holdings, Ltd. 90,436 46,519
* e-New Media Co., Ltd. 320,000 8,793
* eSun Holdings, Ltd. 653,600 25,881
* Extrawell Pharmaceutical Holdings,
Ltd. 3,220,000 118,260
* Ezcom Holdings, Ltd. 72,576 3,243
* Fairwood Holdings, Ltd. 42,600 8,654
# Far East Consortium International,
Ltd. 1,914,086 316,684
* Far East Hotels & Entertainment, Ltd. 1,853,000 73,443
Far East Pharmaceutical Technology
Co., Ltd. 3,216,000 370,861
First Sign International Holdings, Ltd. 1,424,000 50,365
Fong's Industries Co., Ltd. 74,000 60,243
* Forefront International Holdings, Ltd. 658,000 48,122
* Fortuna International Holdings, Ltd. 9,344,000 16,744
* Foundation Group, Ltd. 83,800 1,083
* Founder Holdings, Ltd. 1,854,000 201,747
Fountain Set Holdings, Ltd. 134,000 98,031
Four Seas Frozen Food Holdings, Ltd. 347,184 54,738
Four Seas Mercantile Holdings, Ltd. 592,000 212,679
* Fujian Holdings, Ltd. 237,800 5,480
Fujikon Industrial Holdings, Ltd. 532,000 67,965
* Fushan Holdings, Ltd. 2,566,000 97,112
* GeoMaxima Energy Holdings, Ltd. 5,810,000 86,039
Global China Group Holdings, Ltd. 3,022,000 170,485
Global Green Tech Group, Ltd. 1,336,000 116,557
* Global Tech (Holdings), Ltd. 5,612,000 61,329
Glorious Sun Enterprises, Ltd. 1,650,000 486,839
Gold Peak Industries (Holdings), Ltd. 1,059,250 312,469
* Goldbond Group Holdings, Ltd. New 2,609,500 46,919
Golden Resources Development
International, Ltd. 1,456,500 62,654
* Gold-Face Holdings, Ltd. 2,003,600 138,819
Goldlion Holdings, Ltd. 1,438,000 110,570
Golik Holdings, Ltd. 930,500 38,197
Good Fellow Group, Ltd. 3,488,000 158,875
* Gorient Holdings, Ltd. 7,370 101
* Great Wall Cybertech, Ltd. 15,795,170 20,266
Group Sense (International), Ltd. 2,062,000 222,090
Guangdong Brewery Holdings, Ltd. 2,212,000 502,623
* Guangnan Holdings, Ltd. 14,216,000 218,787
Guangzhou Investment Co., Ltd. 1,070,000 96,552
* Guo Xin Group, Ltd. 3,640,000 42,383
* Guorun Holdings Ltd 230,000 20,979
GZI Transport, Ltd. 1,820,000 513,512
</Table>
204
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<Caption>
SHARES VALUE+
------ ------
Hang Fung Gold Technology, Ltd. 762,000 $ 125,921
Hang Ten Group Holdings, Ltd. 585,039 900
Hanny Holdings, Ltd. 186,658 74,426
* Hansom Eastern Holdings, Ltd. 3,473,235 24,360
Harbour Centre Development, Ltd. 517,000 511,010
Harbour Ring International Holdings,
Ltd. 636,000 57,889
* Hen Fung Holdings, Ltd. 1,740,000 33,600
Henderson China Holdings, Ltd. 815,000 391,895
Hengan International Group Co., Ltd. 98,000 57,373
High Fashion International, Ltd. 268,000 39,913
* HKR International, Ltd. 1,884,860 568,172
* Hon Kwok Land Investment Co., Ltd 572,535 104,432
Hong Kong Catering Management,
Ltd. 512,000 56,029
* Hong Kong Construction Holdings,
Ltd. 970,000 59,028
Hong Kong Ferry (Holdings) Co., Ltd. 671,300 667,260
* Hong Kong Parkview Group, Ltd. 1,130,000 72,493
* Hong Kong Pharmaceuticals
Holdings, Ltd. 1,834,000 55,062
Hongkong Chinese, Ltd. 2,126,000 272,285
* Hop Hing Holdings, Ltd. 660,265 25,415
Hopson Development Holdings, Ltd. 1,246,000 320,370
* Hsin Chong Construction Group, Ltd. 1,569,658 69,431
* Huabao International Holdings, Ltd. 19,300 3,226
* Hualing Holdings, Ltd. 1,344,000 39,410
Hung Hing Printing Group, Ltd. 34,000 25,504
* Hycomm Wireless, Ltd. 4,709,000 51,497
I-Cable Communications, Ltd. 191,000 73,386
* I-China Holdings, Ltd. 3,757,566 8,196
IDT International, Ltd. 4,028,486 919,340
* Imagi International Holdings, Ltd. 137,400 24,612
* Innomaxx Biotechnology Group, Ltd. 3,050,000 62,868
* Interchina Holdings Co., Ltd. 8,130,000 217,994
* Inworld Group, Ltd. 2,036 12
* ITC Corp., Ltd. 466,157 19,204
JCG Holdings, Ltd. 84,000 60,215
* Junefield Department Store Group,
Ltd. 256,000 3,365
K Wah International Holdings, Ltd. 3,009,831 478,552
K. Wah Construction Materials, Ltd. 2,404,949 215,981
* Kader Holdings Co., Ltd. 545,600 10,565
Karrie International Holdings, Ltd. 488,000 126,823
Keck Seng Investments (Hong Kong),
Ltd. 858,600 142,917
Kee-Shing Holdings Co., Ltd. 886,000 71,487
Kin Yat Hldgs 586,000 84,973
* King Fook Holdings, Ltd. 1,000,000 51,187
* King Pacific International Holdings,
Ltd. 1,404,200 21,980
Kingdee International Software Group
Co., Ltd. 638,000 216,636
Kingmaker Footwear Holdings, Ltd. 1,058,750 383,203
* Kong Sun Holdings, Ltd. 2,198,000 6,750
Kowloon Development Co., Ltd. 604,000 484,848
* KPI Co., Ltd. 264,000 3,328
KTP Holdings, Ltd. 560,400 53,883
* Kwong Sang Hong International, Ltd. 1,434,000 123,220
Kwoon Chung Bus Holdings, Ltd. 556,000 80,830
* Lai Sun Development Co., Ltd. 7,592,000 149,482
* Lai Sun Garment (International), Ltd. 2,325,000 $ 90,985
Lam Soon (Hong Kong), Ltd. 302,310 99,761
* Le Saunda Holdings, Ltd. 236,000 13,195
* Leadership Publishing Group, Ltd. 250,511 2,114
* Leading Spirit High-Tech Holdings
Co., Ltd. 2,310,000 2,964
Lerado Group (Holding) Co., Ltd. 1,048,000 184,290
* LifeTec Group, Ltd. 1,383,000 30,515
* Lippo, Ltd. 1,074,760 263,972
Liu Chong Hing Bank, Ltd. 73,000 92,202
Liu Chong Hing Investment, Ltd. 635,200 401,039
Luk Fook Holdings (International),
Ltd. 690,000 110,570
Luks Industrial Group, Ltd. 645,555 104,231
Lung Kee (Bermuda) Holdings, Ltd. 1,071,875 456,142
* MACRO-LINK International Holdings,
Ltd. 1,036,250 29,360
* Mae Holdings, Ltd. 2,220,000 4,006
* Magnificent Estates, Ltd. 8,368,000 59,281
* Magnum International Holdings, Ltd. 300,000 3,849
Mainland Headwear Holdings, Ltd. 410,000 131,396
* Mansion House Group, Ltd. 1,820,000 70,741
Matrix Holdings, Ltd. 402,000 90,058
* Mei Ah Entertainment Group, Ltd. 1,142,000 39,767
Melbourne Enterprises, Ltd. 45,500 175,137
Midas International Holdings, Ltd. 774,000 55,565
Midland Realty (Holding), Ltd. 1,110,000 263,766
* Millennium Group, Ltd. 1,392,000 19,370
* Min Xin Holdings, Ltd. 753,200 126,666
Miramar Hotel & Investment Co., Ltd. 84,000 79,508
* Morning Star Resources, Ltd. 1,845,000 13,087
Moulin International Holdings, Ltd. 699,274 441,817
Nanyang Holdings, Ltd. 137,500 133,405
* National Electronics Holdings, Ltd. 2,156,000 70,526
* New China Merchants Dichain 7,160,000 99,199
New Island Printing Holdings, Ltd. 176,000 15,356
* New World China Land, Ltd. 222,000 53,483
* New World Cyberbase, Ltd. 25,220 94
* New World TMT, Ltd. 1,380,600 145,651
Newocean Green Energy Holdings,
Ltd. 3,931,200 69,054
* Next Media, Ltd. 220,000 74,810
Ngai Lik Industrial Holdings, Ltd. 1,556,000 604,212
*# Onfem Holdings, Ltd. 1,266,000 97,211
Orient Power Holdings, Ltd. 804,000 106,200
* Oriental Metals, Ltd. 711,780 233,907
Oriental Press Group, Ltd. 230,000 78,972
Oriental Watch Holdings, Ltd. 398,000 72,420
# Pacific Andes International Holdings,
Ltd. 1,172,000 193,923
# Pacific Century Insurance Holdings,
Ltd. 1,272,000 480,613
* Pacific Plywood Holdings, Ltd. 4,430,000 23,975
Paul Y. ITC Construction Holdings,
Ltd. 2,262,856 189,243
Peace Mark Holdings, Ltd. 1,120,514 215,741
Pegasus International Holdings, Ltd. 226,000 34,499
Perfectech International Holdings,
Ltd. 571,450 58,726
Pico Far East Holdings, Ltd. 1,190,000 77,934
Playmates Holdings, Ltd. 2,223,000 288,430
</Table>
205
<Page>
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<Caption>
SHARES VALUE+
------ ------
Pokfulam Development Co., Ltd. 234,000 $ 73,461
* Poly Investments Holdings, Ltd. 2,670,000 62,709
Prime Success International Group,
Ltd. 2,366,000 135,395
# Proview International Holdings, Ltd. 944,000 217,885
*# QPL International Holdings, Ltd. 1,191,000 296,222
Quality Healthcare Asia, Ltd. 133,800 30,815
* Rainbow International Holdings, Ltd. 2,036 20
Raymond Industrial, Ltd. 605,400 213,396
*# Regal Hotels International Holdings,
Ltd. 11,656,000 361,078
* Rexcapital International Holdings, Ltd. 1,272,905 14,487
* Riche Multi-Media Holdings, Ltd. 706,000 296,726
* Rivera Holdings, Ltd. 3,620,000 116,128
* Riverhill Holdings, Ltd. 2,036 28
Road King Infrastructure, Ltd. 449,000 331,137
* Roadshow Holdings, Ltd. 1,456,000 143,628
S.A.S.Dragon Holdings, Ltd. 1,696,000 199,825
SA SA International Holdings, Ltd. 1,872,000 694,145
Safety Godown Co., Ltd. 408,000 146,576
Saint Honore Holdings, Ltd. 128,000 22,909
* San Miguel Brewery Hong Kong, Ltd. 612,800 130,474
SCMP Group, Ltd. 224,000 89,701
Sea Holdings, Ltd. 832,000 203,593
* Seapower Resources International,
Ltd. 151,680 1,741
* SEEC Media Group, Ltd. 2,550,000 158,831
Shanghai Allied Cement, Ltd. 1,152,080 75,647
* Shanghai Century Holdings, Ltd. 7,142,000 130,259
* Shanghai Land Holdings, Ltd. 1,464,000 64,805
# Shanghai Real Estates, Ltd. 2,234,000 177,317
Shaw Brothers Hong Kong, Ltd. 134,000 130,666
Shell Electric Manufacturing
(Holdings) Co., Ltd. 730,792 164,875
Shenyin Wanguo (Hong Kong), Ltd. 847,500 90,002
Shenzhen International Holdings, Ltd. 1,682,500 59,410
Shougang Concord Century Holdings,
Ltd. 1,676,000 184,717
* Shougang Concord Grand (Group),
Ltd. 1,701,000 125,867
* Shougang Concord International
Enterprises Co., Ltd. 4,166,000 205,313
* Shougang Concord Technology
Holdings, Ltd. 2,639,809 219,242
* Shui On Construction & Materials,
Ltd. 468,000 404,987
* Shun Ho Resources Holdings, Ltd. 483,000 20,451
* Shun Ho Technology Holdings, Ltd. 1,037,452 45,660
Silver Grant International Industries,
Ltd. 2,087,000 433,257
* Sincere Co., Ltd. 505,500 24,245
# Singamas Container Holdings, Ltd. 838,000 429,203
Sino Golf Holdings, Ltd. 438,000 80,335
* Sinocan Holdings, Ltd. 350,000 1,751
* Sino-I.com, Ltd. 19,383,158 359,196
Sinolink Worldwide Holdings, Ltd. 3,933,600 458,712
Sinopec Kantons Holdings, Ltd. 1,638,000 220,595
* Skynet (International Group)
Holdings, Ltd. 244,240 313
SNP Leefung Holdings, Ltd. 144,000 22,182
* Softbank Investment International
(Strategic), Ltd. 7,398,000 $ 98,715
* Solartech International Holdings, Ltd. 49,600 2,058
South China Brokerage Co., Ltd. 4,872,000 30,161
South China Industries, Ltd. 1,124,000 64,018
Southeast Asia Properties & Finance,
Ltd. 263,538 37,052
Starlight International Holdings, Ltd.
(New) 1,311,292 185,598
Starlite Holdings, Ltd. 694,000 74,741
* Stelux Holdings International, Ltd. 1,307,702 46,509
* Styland Holdings, Ltd. 101,808 327
Sun Hing Vision Group Holdings, Ltd. 358,000 159,326
Sun Hung Kai & Co., Ltd. 2,048,600 481,464
* Sun Innovation Holdings, Ltd. 1,420,360 3,271
* Sun Media Group Holdings, Ltd. 9,814,000 35,140
* Sunday Communications, Ltd. 4,441,000 282,279
Sunway International Holdings, Ltd. 866,000 30,261
* Suwa International Holdings, Ltd. 1,062,000 26,498
* Tack Hsin Holdings, Ltd. 542,000 9,385
Tai Cheung Holdings, Ltd. 1,013,000 370,839
Tai Fook Securities Group, Ltd. 590,000 91,633
Tai Sang Land Development, Ltd. 471,984 122,455
Tak Shun Technology Group, Ltd. 2,088,000 82,991
Tak Sing Alliance Holdings, Ltd. 2,909,865 100,609
# Tan Chong International, Ltd. 666,000 128,033
TCC International Holdings, Ltd. 1,124,000 195,914
* Technology Venture Holdings, Ltd. 586,000 16,665
* Termbray Industries International
(Holdings), Ltd. 2,304,900 124,269
Tern Properties Co., Ltd. 61,200 12,564
* The Sun's Group, Ltd. 17,004,000 21,817
* Tian An China Investments Co., Ltd. 1,238,275 294,659
Tian Teck Land, Ltd. 1,098,000 315,996
# Tianjin Development Holdings, Ltd. 1,118,000 387,626
* Titan Petrochemicals Group, Ltd. 640,000 44,324
* Tomorrow International Holdings, Ltd.
New 165,000 21,276
Tonic Industries Holdings., Ltd. 920,000 49,443
Top Form International, Ltd. 1,586,000 243,591
* Tristate Holdings, Ltd. 138,000 23,903
Truly International Holdings, Ltd. 66,000 90,963
Tungtex (Holdings) Co., Ltd. 788,000 293,403
* Tysan Holdings, Ltd. 1,040,773 40,643
* U-Cyber Technology Holdings, Ltd. 432,800 8,226
* United Power Investment, Ltd. 1,664,000 32,486
* Universal Holdings Ltd 2,770,000 22,738
* Universe International Holdings, Ltd. 573,339 4,777
U-Right International Holdings, Ltd. 2,040,000 91,598
USI Holdings, Ltd. 928,999 113,098
# Van Shung Chong Holdings, Ltd. 359,335 66,364
* Vanda Systems & Communications
Holdings, Ltd. 2,534,000 148,934
# Varitronix International, Ltd. 507,344 500,751
Veeko International Holdings, Ltd. 1,420,000 32,795
Victory City International Holdings,
Ltd. 839,768 328,303
Vitasoy International Holdings, Ltd. 1,423,000 325,008
* Wah Ha Realty Co., Ltd. 278,600 42,538
* Wah Nam International 38,696 853
Wai Kee Holdings, Ltd. 1,265,738 214,928
</Table>
206
<Page>
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<Caption>
SHARES VALUE+
------ ------
Wang ON Group Ltd New 47,897 $ 5,836
Wellnet Holdings, Ltd. 2,059,200 97,721
* Winfoong International, Ltd. 1,210,000 32,527
Wing On Co. International, Ltd. 565,000 579,375
Wing Shan International, Ltd. 896,000 46,593
* Winsan China Investment Group, Ltd. 1,296,000 49,585
Wong's International (Holdings), Ltd. 737,641 89,850
* Wonson International Holdings, Ltd. 4,040,000 10,342
World Houseware (Holdings), Ltd. 605,700 23,691
*# Xinao Gas Holdings, Ltd. 1,094,000 515,681
Y. T. Realty Group, Ltd. 965,000 57,287
Yangtzekiang Garment Manufacturing
Co., Ltd. 405,000 75,657
* Yanion International Holdings, Ltd. 118,000 8,898
* Yaohan International Holdings, Ltd. 974,000 0
* Yau Lee Holdings, Ltd. 534,000 26,338
YGM Trading, Ltd. 228,000 134,437
Yip's Chemical Holdings, Ltd. 674,000 136,687
Yugang International, Ltd. 11,916,000 113,072
* Yunnan Enterprises Holdings, Ltd. 240,000 12,284
* Zhu Kuan Development Co., Ltd. 646,000 32,633
---------------
TOTAL COMMON STOCKS
(Cost $74,974,804) 50,256,573
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars
(Cost $23,294) 23,293
---------------
RIGHTS/WARRANTS -- (0.0%)
* China Travel International Investment,
Ltd. Warrants 05/31/06 124,800 0
* Easyknit International Holdings, Ltd.
Rights 06/07/04 141,430 0
* Quality Healthcare Asia, Ltd.
Warrants 01/12/04 26,760 755
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 755
---------------
TOTAL -- HONG KONG
(Cost $74,998,098) 50,280,621
---------------
NEW ZEALAND -- (9.1%)
COMMON STOCKS -- (9.1%)
* AFFCO Holdings, Ltd. 1,935,950 304,360
Cavalier Corp., Ltd. 283,674 849,900
CDL Hotels NZ, Ltd. 1,387,344 357,407
CDL Investments NZ, Ltd. 306,025 53,840
Colonial Motor Co., Ltd. 126,795 232,638
* Cue Energy Resources NL 452,354 20,168
DB Breweries, Ltd. 312,589 1,591,228
Ebos Group, Ltd. 112,108 235,719
* Evergreen Forests, Ltd. 323,301 81,670
Hallenstein Glassons Holdings, Ltd. 241,638 447,449
Hellaby Holdings, Ltd. 201,679 635,846
Horizon Energy Distribution, Ltd. 40,420 99,159
* Kingsgate International Corp., Ltd. 479,679 93,136
Met Lifecare, Ltd. 270,895 382,388
Michael Hill International, Ltd. 156,746 566,477
* New Zealand Oil & Gas, Ltd. 584,872 $ 263,674
New Zealand Refining Co., Ltd. 84,779 1,014,305
* New Zealand Rural Properties, Ltd. 38,372 0
Northland Port Corp. (New Zealand),
Ltd. 219,997 378,068
Nuplex Industries, Ltd. 271,267 863,175
* Pacific Retail Group, Ltd. 194,156 268,890
Port of Tauranga, Ltd. 541,952 1,734,911
Powerco, Ltd. 804,832 1,076,673
* Provenco Group, Ltd. 281,600 127,390
Pyne Gould Guinness, Ltd. 229,634 226,070
Restaurant Brand New Zealand, Ltd. 369,175 282,949
* Richina Pacific, Ltd. 309,644 77,754
* Rubicon, Ltd. 995,760 519,144
Ryman Healthcare Group, Ltd. 415,999 652,837
Sanford, Ltd. 418,047 1,273,833
Scott Technology, Ltd. 60,842 123,018
* Seafresh Fisheries 80,520 1,417
* Sky City Leisure, Ltd. 15,236 8,689
South Port New Zealand, Ltd. 30,744 26,699
Steel & Tube Holdings, Ltd. 379,638 929,660
* Tasman Farms 157,056 0
Taylors Group, Ltd. 29,646 48,754
Tourism Holdings, Ltd. 402,452 416,683
* Trans Tasman Properties, Ltd. 2,311,308 580,679
Waste Management NZ, Ltd. 430,471 1,246,446
Williams & Kettle, Ltd. 57,558 97,652
Wrightson, Ltd. 597,701 526,077
---------------
TOTAL COMMON STOCKS
(Cost $13,954,178) 18,716,832
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $5,223) 5,229
---------------
TOTAL -- NEW ZEALAND
(Cost $13,959,401) 18,722,061
---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Exergy, Inc. 7,260 0
---------------
MALAYSIA -- (0.1%)
COMMON STOCKS -- (0.1%)
* Autoways Holdings Berhad 10,000 3,395
* Promet Berhad 1,143,000 87,229
* Rekapacific Berhad 473,000 0
* RNC Corp. Berhad 33,000 3,560
* Saship Holdings Berhad 223,520 52,351
* Versatile Creative Berhad 3,000 280
* Wing Tiek Holdings Berhad 95,800 22,437
---------------
TOTAL -- MALAYSIA
(Cost $1,278,766) 169,252
---------------
JAPAN -- (0.0%)
COMMON STOCKS -- (0.0%)
*# Sansui Electric Co., Ltd. 252,000 80,062
---------------
</Table>
207
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
TEMPORARY CASH INVESTMENTS -- (11.1%)
Repurchase Agreement, PNC Capital Markets,
Inc. 0.89%, 06/01/04 (Collateralized by $3,765,000
FMC Discount Notes 1.13%, 08/12/04,
valued at $3,755,588) to be repurchased at
$3,700,366 (Cost $3,700,000) $ 3,700 $ 3,700,000
Repurchase Agreement, Mizuho Securities
USA 1.00%, 06/01/04 (Collateralized by $37,418,998
U.S. Treasury Strips, maturities ranging from 02/15/16
to 02/15/17, valued at $19,766,812 to be repurchased
at $19,381,380 (Cost $19,379,227)^ 19,379 19,379,227
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $228,420,439)++ $ 205,500,826
===============
</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 $228,472,450.
See accompanying Notes to Financial Statements.
208
<Page>
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
UNITED KINGDOM -- (98.1%)
COMMON STOCKS -- (98.0%)
4imprint P.L.C. 50,375 $ 128,238
600 Group P.L.C. 100,910 116,445
Abacus Group P.L.C. 75,000 417,960
Abbeycrest P.L.C. 42,590 51,600
Abbot Group P.L.C. 239,595 765,886
Aberdeen Asset Management P.L.C. 303,617 425,345
Acal P.L.C. 20,971 191,418
* Acambis P.L.C. 137,000 814,283
* Advanced Medical Solutions P.L.C. 29,802 5,060
* Advanced Power Components, Ltd. 47,871 10,791
AEA Technology P.L.C. 72,381 267,361
AGA Food Service Group P.L.C. 174,500 781,156
Aggreko P.L.C. 339,200 930,678
* AIM Group P.L.C. 32,063 50,556
* Air Partner P.L.C. 11,763 88,162
* Airflow Streamlines P.L.C. 20,500 21,988
Airsprung Furniture Group P.L.C. 58,000 65,399
Alba P.L.C. 105,025 1,459,986
Alexandra P.L.C. 86,243 157,835
Alexon Group P.L.C. 116,632 705,851
* Alizyme P.L.C. 182,900 435,175
Alpha Airports Group P.L.C. 392,541 564,523
Alphameric P.L.C. 172,688 256,630
Alumasc Group P.L.C. 100,245 262,461
Alvis P.L.C. 191,010 987,161
Amberley Group P.L.C. 200,000 40,302
Amec P.L.C. 49,000 240,718
Amstrad P.L.C. 149,652 501,949
* Anglesey Mining P.L.C. 55,000 3,908
Anglo Eastern Plantations P.L.C. 57,166 160,067
Anglo Pacific Group P.L.C. 98,309 103,244
* Anite Group P.L.C. 467,715 411,682
* Antisoma P.L.C. 301,298 92,608
* API Group P.L.C. 51,500 60,070
* Applied Optical Technologies P.L.C. 75,383 43,611
* Arena Leisure P.L.C. 480,268 407,138
* Argonaut Games, Ltd. 100,000 12,051
Arla Foods UK P.L.C. 815,293 829,002
Arm Holdings P.L.C. 127,000 273,261
Arriva P.L.C. 129,697 927,211
* Ashtead Group P.L.C. 374,989 168,780
Ashtenne Holdings P.L.C. 93,880 643,872
Atkins Ws P.L.C. 127,815 1,296,111
* Atrium Underwriting P.L.C. 56,779 204,459
Austin Reed Group P.L.C. 68,999 183,356
Autologic Holdings P.L.C. 58,180 303,297
* Autonomy Corp. P.L.C. 143,486 580,567
Avesco P.L.C. 29,998 51,759
Aveva Group P.L.C. 23,026 219,521
Avis Europe P.L.C. 863,316 1,491,219
Avon Rubber P.L.C. 36,672 138,237
* AWG P.L.C. 16,000 180,122
* Axis-Shield P.L.C. 58,284 170,228
Axon Group P.L.C. 59,468 138,290
Babcock International Group P.L.C. 310,464 $ 637,156
Baggeridge Brick P.L.C. 98,000 279,860
* Bailey (C.H.) P.L.C. 109,500 15,559
* Bailey (C.H.) P.L.C. Class B 10,000 6,600
* Baltimore Technologies P.L.C. 60,656 49,132
Barr (A.G.) P.L.C. 43,000 579,720
Beattie (James) P.L.C. 132,247 295,492
Belhaven Brewery Group P.L.C. 39,070 315,461
* Bell Group P.L.C. 42,600 134,824
Bellway P.L.C. 127,364 1,763,001
Ben Bailey P.L.C. 26,000 203,851
Benchmark Group P.L.C. 138,813 704,261
Bespak P.L.C. 55,918 550,949
* Biocompatibles International P.L.C. 45,777 151,134
* Bioquell P.L.C. 50,194 123,413
Biotrace International P.L.C. 75,000 179,026
Birse Group P.L.C. 421,901 114,154
Black Arrow Group P.L.C. 56,500 72,513
Blacks Leisure Group P.L.C. 60,959 468,508
Bloomsbury Publishing P.L.C. 94,003 426,887
* BNB Resources P.L.C. 89,395 31,891
Body Shop International P.L.C. 235,793 670,964
Bodycote International P.L.C. 403,922 1,063,172
Boot (Henry) P.L.C. 47,000 322,895
Bovis Homes Group P.L.C. 157,801 1,479,223
BPP Holdings P.L.C. 106,500 616,608
* Bradstock Group P.L.C. 5,200 4,195
Brammer (H.) P.L.C. 119,123 290,388
* Brandon Hire P.L.C. 37,654 87,881
Brewin Dolphin Holdings P.L.C. 260,332 353,026
* Bristol Water Group P.L.C. 31,800 217,760
Britannic P.L.C. 243,326 1,537,002
British Polythene Industries P.L.C. 56,740 303,150
British Vita P.L.C. 223,303 1,054,501
Brixton P.L.C. 296,900 1,579,635
* Broadcastle P.L.C. 42,033 60,947
* Brown & Jackson P.L.C. 296,819 285,922
* Brown & Jackson P.L.C. Issue 04 84,805 81,692
Brown (N) Group P.L.C. 392,889 740,109
BSS Group P.L.C. 47,905 622,875
* BTG P.L.C. 220,220 460,594
Burtonwood Brewery P.L.C. 38,000 243,313
Business Post Group P.L.C. 70,934 647,796
BWD Securities P.L.C. 29,403 231,995
Caffyns P.L.C. 6,000 78,922
* Cairn Energy P.L.C. 183,836 3,562,290
* Cambridge Antibody Technology
Group P.L.C. 38,149 362,068
* Cammell Laird Holdings P.L.C. 256,158 28,179
Capital & Regional P.L.C. 83,991 758,498
Capital Radio P.L.C. 105,550 880,398
Carclo P.L.C. 100,463 72,700
Care UK P.L.C. 64,835 346,810
Carillion P.L.C. 286,809 876,596
* Carlisle Holdings, Ltd. 8,709 54,884
Carpetright P.L.C. 113,500 2,069,326
</Table>
209
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Carr's Milling Industries P.L.C. 19,000 $ 115,859
Castings P.L.C. 79,000 267,948
* Cenes Pharmaceuticals P.L.C. 298,612 56,476
Chamberlin & Hill P.L.C. 18,000 51,250
Chapelthorpe P.L.C. 627,680 189,986
Character Group P.L.C. 59,041 86,848
Charles Taylor Consulting P.L.C. 67,918 344,200
* Charter P.L.C. 159,633 364,414
* Che Group P.L.C. 51,533 41,277
Chemring Group P.L.C. 49,000 385,554
* Chesnara P.L.C. 92,900 178,844
* Chime Communications P.L.C. 230,438 141,501
Chloride Group P.L.C. 485,500 436,371
Christie Group P.L.C. 53,263 97,350
Chrysalis Group P.L.C. 286,082 968,921
Churchill China P.L.C. 30,000 116,997
Clarkson (Horace) P.L.C. 44,733 403,049
* Clinical Computing P.L.C. 46,666 17,068
Clinton Cards P.L.C. 433,380 656,416
* CLS Holdings P.L.C. 152,907 879,018
CML Microsystems P.L.C. 28,361 176,846
Colefax Group P.L.C. 60,000 110,007
Collins Stewart Tullett P.L.C. 31,538 254,157
* Colt Telecom Group P.L.C. 257,000 395,915
Comino Group P.L.C. 11,100 36,461
Communisis P.L.C. 237,134 447,546
Compel Group P.L.C. 5,000 8,203
Computacenter P.L.C. 51,000 364,681
* Cookson Group P.L.C. 2,289,168 1,819,079
Coral Products P.L.C. 50,000 40,945
* Corporate Services Group P.L.C. 1,114,371 202,008
Cosalt P.L.C. 30,700 190,442
* Costain Group P.L.C. 468,659 352,491
Countryside Property P.L.C. 102,264 409,881
* Countrywide P.L.C. 185,800 955,537
Courts P.L.C. 110,722 532,758
Cox Insurance Holdings P.L.C. 417,814 524,916
Cranswick P.L.C. 54,941 390,681
Crest Nicholson P.L.C. 267,250 1,648,327
Creston P.L.C. 28,278 76,309
Croda International P.L.C. 176,035 903,221
Cropper (James) P.L.C. 22,000 59,427
* Culver Holdings P.L.C. 338 81
Daejan Holdings P.L.C. 25,000 945,840
Dairy Crest Group P.L.C. 165,769 1,234,953
* Dana Petroleum P.L.C. 98,651 481,118
* Danka Business Systems P.L.C. 85,000 83,217
Dart Group P.L.C. 74,000 168,697
Davis Service Group P.L.C. 227,016 1,525,749
* Dawson Holdings P.L.C. 83,245 239,435
* Dawson International P.L.C. 100,688 19,318
* DCS Group P.L.C. 10,000 3,090
De la Rue P.L.C. 223,000 1,331,823
Dechra Pharmaceiticals P.L.C. 67,432 160,616
Delta P.L.C. 200,000 289,815
Deltron Electronics P.L.C. 9,339 11,214
* Densitron International P.L.C. 74,175 26,098
Derwent Valley Holdings P.L.C. 90,000 1,379,094
Development Securities P.L.C. 50,000 339,374
DeVere Group P.L.C. 132,501 1,069,913
Devro P.L.C. 213,653 412,529
Dewhurst P.L.C. 9,000 $ 21,946
Dewhurst P.L.C. Class A Non-Voting 15,500 32,823
DFS Furniture Co. P.L.C. 135,600 1,069,031
Diagonal P.L.C. 104,323 69,674
Dickinson Legg Group P.L.C. 11,935 5,148
Dicom Group P.L.C. 30,000 428,165
* Dimension Data Holdings P.L.C. 939,000 526,653
Diploma P.L.C. 30,191 294,257
Domestic & General Group P.L.C. 47,868 526,345
Domino Printing Sciences P.L.C. 355,935 1,216,022
Domnick Hunter Group P.L.C. 47,242 301,171
* Dowding & Mills P.L.C. 336,440 67,810
DTZ Holdings P.L.C. 114,500 327,458
* Duelguide Units P.L.C. 3,971 39,155
Dyson Group P.L.C. 42,750 224,318
East Surrey Holdings P.L.C. 112,648 676,108
* Easynet Group P.L.C. 158,575 290,715
* Ebookers P.L.C. 89,700 450,132
* Edinburgh Oil & Gas P.L.C. 47,564 137,908
* Eidos P.L.C. 150,900 328,100
Eldridge Pope & Co. P.L.C. 25,000 69,310
Eleco P.L.C. 104,685 58,426
Electronic Data Processing P.L.C. 55,200 63,070
* Elementis P.L.C. 573,383 376,394
* Emerald Energy P.L.C. 3,205,540 101,888
* Emess P.L.C. 288,250 43,056
Ennstone P.L.C. 295,323 200,188
* Enodis P.L.C. 524,429 798,442
Estates & General P.L.C. 10,000 38,976
Eurocopy P.L.C. 41,051 29,337
* Eurodis Electron P.L.C. 1,230,802 115,166
Euromoney Institutional
Investors P.L.C. 117,550 816,481
European Colour P.L.C. 82,090 26,967
European Motor Holdings P.L.C. 118,325 437,375
* European Telecom P.L.C. 7,000 0
* Evans of Leeds Contingent
Units P.L.C. 80,000 0
Expro International Group P.L.C. 74,744 370,127
Fenner P.L.C. 144,722 273,430
* Ferguson International
Holdings P.L.C. 89,105 44,110
Ferraris Group P.L.C. 63,540 121,776
* Fibernet Group P.L.C. 70,153 133,783
* FII Group P.L.C. 41,166 5,095
Filtronic P.L.C. 98,438 543,600
Financial Objects P.L.C. 7,000 5,137
Findel P.L.C. 142,288 998,925
First Choice Holidays P.L.C. 648,683 1,423,992
First Technology P.L.C. 128,111 689,227
Fisher (James) & Sons P.L.C. 76,000 379,339
FKI P.L.C. 702,700 1,428,568
Forminster P.L.C. 43,333 16,370
Forth Ports P.L.C. 142,983 2,990,417
Fortress Holdings P.L.C. 120,728 58,104
* Fortune Oil P.L.C. 1,805,243 189,074
Freeport P.L.C. 35,006 221,978
French Connection Group P.L.C. 125,000 993,645
Fuller, Smith & Turner P.L.C. Series A 20,000 234,947
Fulmar P.L.C. 107,500 147,709
Future Network P.L.C. 430,444 493,474
</Table>
210
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Galliford Try P.L.C. 517,870 $ 472,895
Game Group P.L.C. 534,000 594,687
Games Workshop Group P.L.C. 41,013 488,138
Gaming International P.L.C. 14,000 11,294
* Garton Engineering P.L.C. 10,248 0
* Gaskell P.L.C. 36,000 9,917
GB Group P.L.C. 250,000 89,245
Geest P.L.C. 97,588 1,046,634
* Get Group P.L.C. 13,200 49,051
Gibbs & Dandy P.L.C. 9,000 51,953
Gleeson (M.J.) Group P.L.C. 22,471 460,503
* Glotel P.L.C. 49,741 101,535
Go-Ahead Group P.L.C. 40,000 903,604
Goldshield Group P.L.C. 42,212 191,253
Gowrings P.L.C. 5,000 5,638
Grainger Trust, Ltd. 33,075 1,028,757
Great Portland Estates P.L.C. 272,408 1,311,337
Greene King P.L.C. 80,593 1,345,783
* Greenwich Resources P.L.C. 438,664 16,085
Greggs P.L.C. 26,000 1,613,385
* Gresham Computing P.L.C. 65,768 372,592
Guiness Peat Group P.L.C. 1,025,981 1,252,805
GWR Group P.L.C. 170,000 798,089
* Gyrus Group P.L.C. 110,664 406,578
Halma P.L.C. 489,564 1,342,522
Halstead (James) Group P.L.C. 52,208 424,027
* Hampson Industries P.L.C. 250,757 93,276
* Hampton Trust P.L.C. 232,050 7,977
* Hardy Underwriting Group P.L.C. 40,318 186,182
Hardys & Hansons P.L.C. 48,000 442,876
* Hartstone Group P.L.C. 240,263 8,395
* Harvey Nash Group P.L.C. 183,750 230,484
Havelock Europa P.L.C. 27,660 47,641
* Hawtin P.L.C. 196,500 32,425
Haynes Publishing Group P.L.C. 14,703 89,860
Headlam Group P.L.C. 152,974 1,146,673
Heath (Samuel) & Sons P.L.C. 7,500 54,316
Helical Bar P.L.C. 46,000 702,439
Helphire Group P.L.C. 159,600 575,345
Henlys Group P.L.C. 133,303 39,034
Hercules Property Services P.L.C. 25,132 130,651
Heywood Williams Group P.L.C. 140,400 200,099
Highbury House
Communications P.L.C. 439,166 160,843
Highway Insurance Holdings P.L.C. 467,933 284,049
Hill & Smith Holdings P.L.C. 86,850 157,629
Hiscox P.L.C. 387,778 1,096,445
Hit Entertainment P.L.C. 195,791 1,071,792
Hitachi Capital (UK) P.L.C. 53,912 198,403
Holidaybreak P.L.C. 92,974 869,965
* Homeserve P.L.C. 86,400 1,061,022
Homestyle Group P.L.C. 76,141 122,768
Hornby P.L.C. 10,000 187,903
House of Fraser P.L.C. 395,650 840,971
Hunting P.L.C. 223,174 596,088
Huntleigh Technology P.L.C. 66,958 432,702
Huntsworth P.L.C. 135,000 55,291
* Hyder Consulting P.L.C. 16,308 41,660
* IAF Group P.L.C. 30,000 6,325
IFX Group P.L.C. 34,486 61,652
* Imagination Technologies
Group P.L.C. 239,934 $ 373,222
* IMS Group P.L.C. 75,000 6,188
Incepta Group P.L.C. 280,643 429,811
Inchcape P.L.C. 20,000 577,805
* Industrial & Commercial
Holdings P.L.C. 5,000 137
Infast Group P.L.C. 301,224 123,085
* Intec Telecom Systems P.L.C. 275,141 320,417
Intelek P.L.C. 99,880 19,624
* Intertek Group P.L.C. 70,100 695,867
Intserve P.L.C. 179,459 833,338
* Invensys P.L.C. 5,864,457 1,746,088
* Inveresk P.L.C. 150,000 38,609
* IQE P.L.C. 132,400 26,167
ISIS Asset Management P.L.C. 199,626 656,212
Isoft Group P.L.C. 210,764 1,494,736
Isotron P.L.C. 50,325 429,477
Ite Group P.L.C. 374,735 387,964
Itnet P.L.C. 90,278 480,899
Jarvis P.L.C. 230,379 347,566
* Jarvis Porter Group P.L.C. 99,894 37,088
JJB Sports P.L.C. 308,125 1,426,339
JKX Oil and Gas P.L.C. 220,533 323,972
John David Group P.L.C. 114,500 442,969
Johnson Service Group P.L.C. 125,535 897,811
Johnston Group P.L.C. 26,000 140,626
* Kalamazoo Computer Group P.L.C. 56,120 1,801
KBC Advanced Technologies P.L.C. 25,000 13,443
Keller Group P.L.C. 123,128 488,996
Kensington Group P.L.C. 71,789 551,496
* Kewill Systems P.L.C. 88,409 96,878
Kidde P.L.C. 232,000 483,625
Kier Group P.L.C. 51,293 591,895
Kiln P.L.C. 271,733 408,358
* Kingston Communications P.L.C. 453,332 512,495
Kleeneze P.L.C. 84,300 177,912
* Knowledge Support Systems
Group P.L.C. 25,000 367
Laing (John) P.L.C. 301,961 1,183,895
Laird Group P.L.C. 163,100 858,567
Lambert Howarth Group P.L.C. 32,592 174,986
* Lastminute.com P.L.C. 258,882 876,814
* Laura Ashley Holdings P.L.C. 623,937 157,536
Lavendon Group P.L.C. 50,092 119,833
* Leeds United P.L.C. 66,000 181
Lincat Group P.L.C. 19,000 140,256
Linton Park P.L.C. 39,000 293,525
Linx Printing Technologies P.L.C. 27,000 171,616
Litho Supplies P.L.C. 20,000 17,422
London Bridge Software
Holdings P.L.C. 215,910 376,037
* London Clubs International P.L.C. 293,962 685,237
London Industrial P.L.C. 22,308 657,855
London Merchant Securities P.L.C. 324,905 1,031,678
London Scottish Bank P.L.C. 263,000 627,960
Lookers P.L.C. 53,160 286,711
* Lorien P.L.C. 60,000 97,275
Low & Bonar P.L.C. 132,598 261,673
Luminar P.L.C. 99,500 803,665
Lupus Capital P.L.C. 191,787 56,367
</Table>
211
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* M.L. Laboratories P.L.C. 298,631 $ 100,910
Macfarlane Group P.L.C. 228,287 104,830
Macro 4 P.L.C. 42,500 131,774
Maiden Group P.L.C. 16,800 68,719
Mallett P.L.C. 24,837 121,129
Management Consulting Group P.L.C. 310,972 184,468
Manchester United P.L.C. 377,176 1,668,761
Manganese Bronze Holdings P.L.C. 32,184 138,796
Marlborough Stirling P.L.C. 300,047 333,427
Marshalls P.L.C. 225,800 1,187,353
* Martin International Holdings P.L.C. 135,800 58,679
* Marylebone Warwick Balfour
Group P.L.C. 124,686 123,218
* Matalan P.L.C. 84,701 282,971
Mayflower Corp. P.L.C. 550,636 68,145
McAlpine (Alfred) P.L.C. 196,111 995,759
McBride P.L.C. 202,000 524,364
McCarthy & Stone P.L.C. 194,968 1,959,002
McKay Securities P.L.C. 68,500 266,765
* Medical Solutions P.L.C. 126,658 99,360
* Medisys P.L.C. 513,463 92,407
Meggitt P.L.C. 360,317 1,659,334
Mentmore P.L.C. 236,561 490,958
Menzies (John) P.L.C. 76,229 606,406
* Merant P.L.C. 172,500 600,913
Merchant Retail Group P.L.C. 185,666 531,166
Merrydown P.L.C. 59,927 102,111
Mersey Docks & Harbour Co. P.L.C. 104,554 1,323,046
Metal Bulletin P.L.C. 95,500 358,780
Metalrax Group P.L.C. 358,740 546,843
MFI Furniture Group P.L.C. 60,855 166,698
Mice Group P.L.C. 139,909 179,377
Michael Page International P.L.C. 436,800 1,355,326
* Microgen P.L.C. 98,405 106,669
Millennium and Copthorne
Hotels P.L.C. 80,633 467,987
Minerva P.L.C. 220,430 970,153
Mitie Group P.L.C. 500,000 1,053,188
Molins P.L.C. 68,000 202,543
Monsoon P.L.C. 71,000 225,222
* Morgan Crucible Company P.L.C. 330,666 727,958
Morgan Sindall P.L.C. 66,000 532,724
Morse P.L.C. 171,777 407,928
Moss Brothers Group P.L.C. 163,400 220,005
Mowlem (John) & Co. P.L.C. 341,969 1,182,358
MS International P.L.C. 71,500 44,041
MSB International P.L.C. 16,000 21,165
Mtl Instruments Group P.L.C. 14,748 58,913
Mucklow (A & J) Group P.L.C. 175,000 923,987
* My Travel Group P.L.C. 628,934 100,751
National Express Group P.L.C. 25,000 319,431
Nestor Healthcare Group P.L.C. 180,200 443,019
* New Avesco P.L.C. 29,998 30,250
Newcastle United P.L.C. 148,923 101,026
NHP P.L.C. 281,875 1,022,806
Nichols P.L.C. 66,550 149,805
Nord Anglia Education P.L.C. 29,624 122,202
Northamber P.L.C. 75,888 105,048
Northern Foods P.L.C. 527,042 1,495,546
* Northgate Information Solutions P.L.C. 659,558 721,684
Northgate P.L.C. 118,200 1,361,972
Novar P.L.C. 526,365 $ 1,206,099
* NSB Retail P.L.C. 461,606 222,253
* NXT P.L.C. 101,922 184,493
Ocean Wilsons Holdings, Ltd. 84,250 243,643
* OEM P.L.C. 12,000 12,431
* Orbis P.L.C. 11,428 3,149
* Osmetech P.L.C. 669,354 49,130
Ottakar's P.L.C. 30,000 222,791
Owen (H.R.) P.L.C. 34,000 128,191
* Oxford Biomedica, Ltd. 412,582 126,567
Oxford Instruments P.L.C. 63,163 272,316
* Pace Micro Technology P.L.C. 319,767 299,277
Paladin Resources P.L.C. 427,630 953,097
* Palmaris Capital P.L.C. 42,500 9,229
Paragon Group of Companies P.L.C. 153,200 910,670
* Parity Group P.L.C. 241,406 44,336
Park Group P.L.C. 291,600 158,136
Partridge Fine Arts P.L.C. 58,000 66,463
Pendragon P.L.C. 239,375 1,355,979
Penna Consulting P.L.C. 33,000 83,709
Peterhouse Group P.L.C. 85,427 304,835
* Pharmagene P.L.C. 160,000 140,030
* Photo-Me International P.L.C. 513,175 887,039
PHS Group P.L.C. 692,231 977,356
* Phytopharm P.L.C. 56,696 161,443
Pillar Property P.L.C. 150,588 1,545,559
Pittards P.L.C. 60,985 53,127
Planit Holdings P.L.C. 235,000 114,153
* Plantation & General P.L.C. 70,623 23,307
* Plasmon P.L.C. 100,000 342,213
Portmeirion Group P.L.C. 22,856 70,191
Porvair P.L.C. 62,000 123,904
* PPL Therapeutics P.L.C. 43,529 3,591
Premier Farnell P.L.C. 18,000 79,867
* Premier Oil P.L.C. 105,748 1,028,623
* Pressac P.L.C. 78,129 18,583
Primary Health Properties P.L.C. 23,784 96,032
* Probus Estates P.L.C. 83,333 1,360
* Protherics P.L.C. 506,828 481,138
* Provalis P.L.C. 375,538 42,174
PSD Group P.L.C. 43,500 188,420
* Psion P.L.C. 548,800 570,818
PZ Cuzzons P.L.C. 29,000 579,329
* QA P.L.C. 158,950 11,987
* Queens Moat Houses P.L.C. 159,000 24,779
Quintain Estates &
Development P.L.C. 158,650 1,156,875
* QXL Ricardo P.L.C. 130 953
RAC P.L.C. 142,900 1,736,997
Radamec Group P.L.C. 35,000 24,667
Radstone Technology P.L.C. 40,384 248,933
Ransom (William) & Son P.L.C. 30,000 27,666
* Redbus Imterhouse P.L.C. 206,250 27,877
Redrow P.L.C. 212,951 1,292,262
* Redstone P.L.C. 257,485 40,162
Reed Health Group P.L.C. 155,333 169,827
Reg Vardy P.L.C. 103,597 1,008,142
Regent Inns P.L.C. 162,667 115,889
Reliance Security Group P.L.C. 26,998 265,843
Renishaw P.L.C. 146,806 1,257,006
Renold P.L.C. 144,000 198,248
</Table>
212
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Restaurant Group P.L.C. 241,516 $ 371,734
Ricardo P.L.C. 114,409 392,465
Richmond Foods P.L.C. 30,683 281,049
* Richmond Oil & Gas P.L.C. 220,000 0
RM P.L.C. 119,174 297,544
* RMS Communications P.L.C. 15,000 0
Robert Wiseman Dairies P.L.C. 105,437 456,719
ROK property solutions P.L.C. 58,166 369,821
Rotork P.L.C. 185,440 1,296,919
Roxboro Group P.L.C. 9,304 49,265
* Royal Doulton P.L.C. 240,000 35,785
Royalblue Group P.L.C. 47,200 446,391
RPC Group P.L.C. 116,100 362,329
RPS Group P.L.C. 257,158 565,646
Rugby Estates P.L.C. 9,100 43,825
Rutland Trust P.L.C. 174,255 115,016
S & U P.L.C. 21,140 198,701
* Safeland P.L.C. 25,000 24,064
Salvesen (Christian) P.L.C. 334,415 303,878
Sanctuary Group P.L.C. 444,589 391,481
Savills P.L.C. 104,000 846,434
* Scapa Group P.L.C. 163,581 84,493
* Scipher P.L.C. 34,563 1,519
Scottish & Newcastle P.L.C. 58,467 457,309
Scottish Radio Holdings P.L.C. 45,800 731,727
SCS Upholstery P.L.C. 29,000 123,567
* SDL P.L.C. 71,511 152,889
Secure Trust Group P.L.C. 27,118 203,729
Securicor P.L.C. 664,050 1,467,982
Senior P.L.C. 122,900 81,908
Serco Group P.L.C. 233,359 864,852
* Servicepower Technologies P.L.C. 150,000 101,489
Severfield-Rowan P.L.C. 26,211 167,694
* SFI Group P.L.C. 26,713 15,183
Shaftesbury P.L.C. 171,500 811,135
Shanks & McEwan Group P.L.C. 311,671 674,921
Shiloh P.L.C. 14,500 34,312
SHL Group P.L.C. 41,650 84,145
* ShopRite Group P.L.C. 204,780 46,932
SIG P.L.C. 157,030 1,036,767
* Simon Group P.L.C. 348,089 304,205
Sinclair (William) Holdings P.L.C. 53,000 73,733
Singer & Friedlander Group P.L.C. 213,875 921,738
Sirdar P.L.C. 41,600 25,894
* Skyepharma P.L.C. 808,847 885,591
Smart (J.) & Co. (Contractors) P.L.C. 22,500 204,200
* Smart Approach Group P.L.C. 251,985 5,313
SMG P.L.C. 425,192 865,322
Smith (David S.) Holdings P.L.C. 468,840 1,341,103
Smith (James) Estates P.L.C. 13,000 83,422
Smith (W.H.) P.L.C. 125,843 825,648
* Soco International P.L.C. 95,932 598,301
Somerfield P.L.C. 601,400 1,580,756
* South Staffordshire Group P.L.C. 21,600 293,058
Southampton Leisure Holdings P.L.C. 19,615 16,157
Spectris P.L.C. 166,081 1,399,346
Speedy Hire P.L.C. 56,892 422,113
Spirax-Sarco Engineering P.L.C. 106,811 1,072,159
* Spirent P.L.C. 1,153,237 1,363,208
* Sportech P.L.C. 435,000 93,718
Spring Group P.L.C. 208,638 428,374
* Springwood P.L.C. 37,500 $ 2,406
SSL International P.L.C. 229,700 1,342,004
St. Ives P.L.C. 129,400 853,964
St. Modwen Properties P.L.C. 160,800 845,222
Staffware P.L.C. 16,613 239,611
Stanelco P.L.C. 1,012,741 108,917
Stanley (Charles) Group P.L.C. 86,800 331,018
Stanley Leisure Organisation P.L.C. 226,209 1,945,266
* Sterling Publishing Group P.L.C. 75,298 12,465
Stylo P.L.C. 64,096 58,154
* Superscape P.L.C. 162,101 91,112
* Surfcontrol P.L.C. 42,400 442,856
Swallowfield P.L.C. 15,000 21,218
Sygen International P.L.C. 492,975 422,627
Synstar P.L.C. 216,206 293,025
T&F Informa Group P.L.C. 355,029 2,344,884
* T. Clarke P.L.C. 16,213 137,151
* Tadpole Technology P.L.C. 314,463 91,903
* Tandem Group P.L.C. 327,365 0
Tarsus Group P.L.C. 34,855 56,452
Taylor Nelson AGB P.L.C. 109,000 402,898
TBI P.L.C. 696,132 827,268
Ted Baker P.L.C. 48,829 371,173
* Telecommunications Group P.L.C. 45,958 1,884
Telemetrix P.L.C. 165,708 398,370
* Telspec P.L.C. 25,000 6,898
* Terence Chapman Group P.L.C. 62,500 363
Tex Holdings P.L.C. 14,000 40,615
The Big Food Group P.L.C. 466,847 857,541
* The Innovation Group P.L.C. 940,000 539,722
The Malcolm Group P.L.C. 109,377 165,497
* The Television Corp. P.L.C. 81,937 124,993
* The Wireless Group P.L.C. 88,460 150,404
Thorntons P.L.C. 158,000 456,643
Thorpe (F.W.) P.L.C. 24,000 99,948
* Thus Group P.L.C. 1,697,000 809,908
Tibbett & Britten Group P.L.C. 86,123 706,030
Tinsley (Eliza) Group P.L.C. 19,844 8,898
* Toad Group P.L.C. 85,507 29,520
Topps Tiles P.L.C. 348,450 1,000,669
Tops Estates P.L.C. 41,188 221,614
* Torotrak P.L.C. 134,282 148,992
* Tottenham Hotspur P.L.C. 150,000 75,948
Town Centre Securities (New) P.L.C. 142,137 622,281
Trace Computers P.L.C. 33,552 47,094
* Trafficmaster P.L.C. 151,708 218,362
Transport Development Group P.L.C. 108,182 406,896
Trifast P.L.C. 135,388 168,736
Trio Holdings P.L.C. 50,000 20,603
TT Electronics P.L.C. 158,390 420,707
Tullow Oil P.L.C. 500,218 939,453
U.K. Coal P.L.C. 194,549 544,354
Ulster Television, Ltd. 115,602 915,777
Ultra Electronics Holdings P.L.C. 86,645 891,366
Ultraframe P.L.C. 129,685 290,765
Umeco P.L.C. 43,150 287,092
Uniq P.L.C. 152,986 486,608
Unite Group P.L.C. 144,289 461,840
Universal Salvage P.L.C. 14,255 16,427
* Vanco P.L.C. 69,249 288,439
* Vega Group P.L.C. 32,300 96,327
</Table>
213
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Vernalis P.L.C. 225,579 $ 210,715
* Vert (Jacques) P.L.C. 45,000 12,150
Victoria P.L.C. 12,000 82,650
Victrex P.L.C. 136,254 817,553
Vitec Group P.L.C. 47,953 306,193
* Volex Group P.L.C. 58,801 137,378
VP P.L.C. 83,100 184,943
VT Group P.L.C. 229,432 1,115,147
Wagon P.L.C. 65,292 193,420
* Walker Greenbank P.L.C. 53,105 13,631
Warner Estate Holdings P.L.C. 70,000 609,259
* Waterdorm P.L.C. 105,000 0
Waterman P.L.C. 74,473 102,443
Watermark Group P.L.C. 68,660 175,579
Weir Group P.L.C. 244,736 1,315,453
Wellington Holdings P.L.C. 9,000 22,019
Wembley P.L.C. 36,926 579,908
Westbury P.L.C. 202,522 1,590,613
* Weston Medical Group P.L.C. 50,200 2,301
Wetherspoon (J.D.) P.L.C. 264,451 1,395,753
Whatman P.L.C. 241,935 925,041
White Young Green P.L.C. 74,666 256,204
Whitehead Mann Group P.L.C. 95,000 471,388
Whittard of Chelsea P.L.C. 30,000 106,083
* Wiggins Group P.L.C. 1,148,266 116,317
Wilmington Group P.L.C. 66,592 131,080
Wilshaw P.L.C. 198,409 40,924
Wilson Bowden P.L.C. 7,000 132,913
Wincanton P.L.C. 147,600 568,882
Windsor P.L.C. 50,000 36,220
Wintrust P.L.C. 22,500 243,795
Wolverhampton & Dudley
Breweries P.L.C. 90,173 1,358,033
Wood Group (John) P.L.C. 555,826 1,451,077
Woolworths Group P.L.C. 1,717,965 1,395,056
* Worthington Group P.L.C. 102,653 6,587
WSP Group P.L.C. 90,000 326,527
Wyevale Garden Centres P.L.C. 74,407 492,681
Wyndeham Press Group P.L.C. 73,066 142,685
* XAAR P.L.C. 66,357 101,854
XANSA P.L.C. 459,994 711,901
* Xenova Group P.L.C. 436,931 69,819
* XKO Group P.L.C. 30,304 49,265
Yates Group P.L.C. 76,263 139,877
* Yorkshire Group P.L.C. 82,504 8,698
Young & Co's Brewery P.L.C. 10,000 $ 164,835
Young & Co's Brewery P.L.C. Class A 5,234 108,907
Yule Catto & Co. P.L.C. 194,090 854,572
Zotefoams P.L.C. 62,000 79,745
---------------
TOTAL COMMON STOCKS
(Cost $203,560,900) 268,369,725
---------------
INVESTMENT IN CURRENCY -- (0.1%)
* British Pound Sterling
(Cost $229,507) 222,287
---------------
RIGHTS/WARRANTS -- (0.0%)
* Creston P.L.C. Warrants 03/31/04 1,000 0
* Letter of Entitlements - Audemars
Piguet 90,242 0
* Planestation Group P.L.C
Warrants 01/13/11 229,653 5,684
* Xenova Group P.L.C. Rights 12/17/03 94,500 0
* Xenova Group P.L.C.
Warrants 12/31/08 56,991 3,527
---------------
TOTAL RIGHTS/WARRANTS
(Cost $4,781) 9,211
---------------
TOTAL -- UNITED KINGDOM
(Cost $203,795,188) 268,601,223
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (1.9%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $5,065,000
FHLB Notes 3.375%, 06/15/04,
valued at $5,147,306) to be
repurchased at $5,071,501
(Cost $5,071,000) $ 5,071 5,071,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $208,866,188)++ $ 273,672,223
===============
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
++ The cost for federal income tax purposes is $208,877,321.
See accompanying Notes to Financial Statements.
214
<Page>
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
FRANCE -- (12.0%)
COMMON STOCKS -- (12.0%)
Affine 1,400 $ 111,141
* Ales Groupe SA 1,900 81,408
* Ales Groupe SA Issue 04 316 13,120
Algeco SA 3,326 380,445
*# Alstom SA 177,212 203,694
* Altedia SA 2,800 52,790
*# Alten SA 21,372 321,491
* Altran Technologies SA 82,633 889,605
Apem SA 1,000 65,922
April Group SA 31,201 604,186
Ares (Groupe) SA 5,500 30,219
Arkopharma 6,240 380,897
* Assystem Brime SA 7,580 147,697
* Aubay SA 5,700 25,359
* Audika SA 1,900 115,410
* Baccarat SA 1,090 116,022
Bacou-Dalloz 6,287 495,609
Bains de Mer et du Cercle des
Etrangers a Monaco 4,615 1,419,452
Banque Tarneaud SA 1,000 176,586
Beneteau SA 13,527 814,140
* Bigben Interactive 2,100 10,569
Boiron SA 16,659 389,968
* Boizel Chanoine Champagne SA 600 32,718
Bonduelle SA 6,723 619,536
# Bongrain SA 13,083 880,044
* Bricorama SA 3,379 189,152
Brioche Pasquier SA 2,888 188,628
Buffalo Grill SA 1,028 15,036
* Bull SA 105,500 114,645
Burelle SA 4,030 422,845
* Business Objects SA 16,500 362,041
* BVRP SA 2,900 40,533
* Camaieu SA 4,988 441,236
* Cap Gemini SA 3,066 117,597
Carbone Lorraine 33,245 1,243,712
Cegedim SA 6,902 498,758
CEGID SA 18,000 490,644
CFCAL-Banque 840 296,612
CFF Recycling 10,576 1,207,323
* Cie Financiere Pour La Location
D'Immeubles Industriels &
Commerciaux Sa 6,400 336,129
# Clarins SA 7,332 457,193
*# Club Mediterranee SA 15,665 663,617
Consortium International
de Diffusion et de
Representation Sante 600 8,362
Crometal SA 1,100 54,973
* CS Communication et Systemes 4,983 135,994
* Damartex SA 22,900 667,998
* Dane-Elec Memory SA 11,400 43,833
Delachaux SA 1,300 150,026
Deveaux SA 1,040 113,545
Didot-Bottin 1,620 $ 213,257
* DMC (Dollfus Mieg et Cie) 9,630 62,941
Dynaction SA 10,660 212,889
Eiffage SA 7,650 595,213
Electricite de Strasbourg 23,784 3,050,984
Elior 104,108 893,767
Esso SA 3,200 449,270
Etam Developpement SA 7,300 296,555
Euler-Hermes SA 12,758 704,170
* Eurafrance 43,296 2,661,228
* Euraltech SA 11,700 22,432
*# Euro Disney SCA 797,643 360,193
* Evialis SA 1,200 43,582
Exel Industries SA 1,800 108,730
Explosifs et de Produits Chimiques 524 138,841
# Faurecia SA 6,500 421,238
Fimalac SA 111,143 4,344,466
Fininfo SA 9,760 273,837
* Fleury Michon SA 3,100 143,678
Fonciere Lyonnaise SA 9,596 413,614
France-Africaine de Recherches
Petrolieres (Francarep) 4,250 539,613
Francois Freres (Tonnellerie) SA 3,150 80,462
* Gantois Series A 647 37,048
* Gascogne SA 6,472 566,467
# Gaumont 14,607 979,019
* GCI (Groupe Chatellier Industrie SA) 7,258 886
*# Generale de Geophysique SA 20,770 1,027,647
Generale de Sante 32,259 445,331
Generale Location SA 9,000 201,787
* Geodis SA 4,379 335,099
Gespac System 1,100 18,671
Gevelot 3,584 202,715
GFI Informatique SA 26,700 196,824
# Gifi 4,678 359,086
* Ginger (Groupe Ingenierie Europe) 2,600 41,562
Grands Moulins de Strasbourg 110 56,417
* Groupe Bourbon SA 5,440 640,249
Groupe Crit 6,900 147,381
* Groupe Flo SA 11,900 63,126
* Groupe Focal SA 1,400 14,819
* Groupe Go Sport SA 2,207 173,770
Groupe Guillin SA 1,200 95,301
Groupe Open SA 2,000 77,199
Groupe Steria 14,365 499,032
Guerbet SA 1,700 113,353
* Guitel 116 921
Guyenne et Gascogne SA 26,000 2,966,673
Havas SA 62,300 330,724
Hoteliere Lutetia Concorde 2,505 444,858
* Hotels et Casinos de Deauville 2,055 1,092,020
Hyparlo SA 5,514 287,662
IDSUD 614 18,855
IMS International Metal Service SA 12,630 100,187
Industrielle et Financiere
d'Entreprise SA 300 46,330
</Table>
215
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*# Infogrames Entertainment SA 83,638 $ 243,609
*# Ingenico SA 61,820 847,231
* Ioltech SA 500 49,410
Ipsos SA 5,776 616,677
Kaufman et Broad SA 7,722 283,530
Lafuma SA 810 61,072
Laurent-Perrier 3,100 107,861
Lectra Systemes SA 23,092 182,491
Lisi SA 7,827 367,823
Manitou SA 11,092 1,230,726
Manutan International SA 4,700 214,023
Marionnaud Parfumeries Retails
Perfumes 11,209 396,275
* Matussiere et Forest SA 13,600 48,162
* Metaleurop SA 35,449 23,376
MGI Coutier SA 1,400 48,843
* Montupet SA 32,450 595,240
* Mr. Bricolage SA 6,600 217,595
* MRM 1,424 17,077
Neopost SA 7,200 408,321
* Nexans 15,136 497,083
Norbert Dentressangle 8,372 413,549
Nord Est SA 21,507 1,078,212
*# Oberthur Card Systems SA 53,640 381,483
* Oeneo 31,265 137,568
* Otor SA 13,700 63,530
* Parcours SA 5,300 32,310
* Passat SA 2,400 46,793
* Penauille Polyservices SA 10,200 104,292
* Petit Forestier SA 3,043 122,577
Pierre & Vacances 6,635 568,255
* Pinguely-Haulotte SA 25,000 183,974
Plastic Omnium SA 15,423 758,701
Plastivaloire SA 1,700 44,364
Prosodie SA 4,500 128,020
PSB Industries SA 1,240 162,793
* Radiall SA 1,340 106,339
Robertet SA 1,076 120,950
Rodriguez Group SA 9,687 525,517
Rougier SA 2,040 153,195
* S.T. Dupont SA 3,800 18,331
Sabeton 13,500 197,874
Samse SA 4,400 549,728
* Sasa Industries SA 1,000 26,262
* Saveurs de France-Brossard 900 22,159
* Scor SA 524,279 768,216
* SDR de Bretagne SA 1,314 41,691
SEB SA Prime Fidelite 2002 3,300 371,106
Sechilienne-Sidec 2,200 389,838
Securidev SA 1,500 19,853
Selectibail 29,286 896,890
Signaux Girod SA 600 29,689
SILIC (Societe Immobiliere
de Location pour L'industrie
et le Commerce) 15,009 1,014,484
Skis Rossignol SA 41,668 687,273
Smoby SA 500 44,622
Societe du Louvre SA 9,503 911,925
* Societe Francais des Papiers Peints 400 4,772
Societe Industrielle D'Aviations
Latecoere SA 3,700 121,799
Societe Pour L'Informatique
Industrielle SA 1,800 $ 66,262
* Solving International SA 2,100 20,945
Somfy Interational SA 22,900 4,304,685
Sopra SA 7,618 339,428
# SR Teleperformance 90,928 2,081,121
Stallergenes SA 1,949 103,468
Ste Virbac SA 7,637 276,391
Stef-Tfe SA 2,032 205,761
Sucriere de Pithiviers-le-Vieil 1,825 1,283,589
* Sylis SA 4,700 32,928
Synergie SA 8,000 209,838
Taittinger SA 12,700 2,713,057
* Teisseire France SA 700 67,431
* Tessi SA 1,700 66,447
Touax (Touage Investissement SA) 10,378 202,453
* Toupargel-Agrigel SA 6,200 172,257
Trigano SA 7,953 439,279
* Ubi Soft Entertainment SA 10,800 282,674
Unilog SA 9,747 488,426
Vallourec (Usines a Tubes de Lorraine
Escaut et Vallourec Reunies) 31,700 2,765,783
* Valtech, La Defense 48,000 52,240
Viel et Compagnie 44,339 213,065
# Vilmorin et Cie SA 2,349 361,390
VM Materiaux SA 300 38,544
Vranken Monopole 2,800 110,954
Zodiac SA 14,964 486,317
---------------
TOTAL COMMON STOCKS
(Cost $48,556,589) 79,340,531
---------------
RIGHTS/WARRANTS -- (0.0%)
* Ales Groupe SA Warrants 03/23/09 316 1,389
* Groupe Open Warrants 10/21/06 1,000 818
* Oeneo Warrants 08/26/06 14,365 6,497
* Prosodie SA Warrants 10/28/06 900 655
* Ubi Soft Entertainment SA Warrants
05/14/06 4,100 1,903
* Valtech, La Defense Warrants
07/29/05 20,000 975
---------------
TOTAL RIGHTS/WARRANTS
(Cost $1,814) 12,237
---------------
TOTAL -- FRANCE
(Cost $48,558,403) 79,352,768
---------------
GERMANY -- (11.1%)
COMMON STOCKS -- (11.1%)
A.S. Creation Tapeton AG 2,900 59,743
# Aareal Bank AG 46,391 1,572,562
* Acg AG Fuer Chipkarten und
Informationssysteme 15,400 33,819
Ackermann-Goeggingen AG 8,100 158,498
AC-Service AG 4,300 27,698
* Adva AG Optical Networking 39,883 261,646
* Agrob AG 5,800 61,202
* Aigner (Etienne) AG 600 106,831
* Aixtron AG 74,124 435,616
Amadeus Fire AG 4,900 31,754
Andreae-Noris Zahn AG, Anzag 27,200 961,684
* Articon Integralis AG 7,900 28,093
</Table>
216
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<Table>
<Caption>
SHARES VALUE+
------ ------
Atoss Software AG 3,700 $ 50,590
* Augusta Technologie AG 11,750 24,371
# Ava Allgemeine Handelsgesellschaft
der Verbraucher AG 35,814 1,405,711
# AWD Holding AG 52,932 1,781,445
* Baader Wertpapier Handelsbank AG 19,026 139,558
# Balda AG 40,277 355,105
* Basler AG 3,200 52,847
# Beate Uhse AG 56,241 746,045
Bechtle AG 25,498 396,993
* Berliner Elektro Holding AG 17,611 160,760
Bertrandt AG 9,850 158,922
Beru AG 14,051 1,061,422
Beta Systems Software AG 2,850 55,853
Bien-Haus AG 2,400 36,033
# Bilfinger & Berger Bau AG 44,787 1,472,801
* Biolitec AG 8,000 42,533
* Biotest AG 2,400 32,035
* BKN International AG 13,200 81,444
* BMP AG 10,600 34,292
# Boewe Systec AG 7,866 376,821
* Borussia Dortmund
GMBH & Co. KGAA 21,650 77,303
*# Brau und Brunnen AG 300 41,479
Bremer Energiekonto AG 14,700 27,498
* CBB Holding AG 102,602 4,737
* Ce Consumer Electrnic AG 21,600 45,940
* Ceag AG 20,670 227,287
* Cenit AG Systemhaus 3,500 55,707
* Centrotec
Hochleistungskunststoffe AG 7,500 122,220
Cewe Color Holding AG 7,073 155,667
Comdirect Bank AG 120,666 1,071,574
* Computec Media AG 4,650 34,624
Computerlinks AG 5,700 84,314
* Condomi AG 1,800 5,182
* CTS Eventim AG 14,800 235,001
* Curanum AG 21,500 50,227
* D. Logistics AG 37,750 79,963
*# DAB Bank AG 70,271 531,944
* Data Modul AG 2,904 57,127
* DEAG Deutsche Entertainment AG 10,500 34,990
*# Deutsche Euroshop AG 18,927 809,102
* Deutsche Steinzeug Cremer &
Breuer AG 87,200 97,072
*# Deutz AG 96,790 420,279
* Dierig Holding AG 10,500 152,121
Dis Deutscher Industrie Service AG 18,524 495,273
* Dom-Braugerei AG 1,100 44,940
Douglas Holding AG 43,825 1,169,648
* Dr. Scheller Cosmetics AG 4,000 16,852
* Drillisch AG 28,287 120,878
*# Duerr Beteiligungs AG 17,593 440,484
DVB Bank AG 7,124 888,517
* Eckert and Ziegler Strahlen - und
Medizintechnik AG 3,000 33,792
* Elexis AG 8,600 55,531
Elmos Semiconductor AG 23,218 359,878
ElreingKlinger AG 1,500 163,999
*# Em.TV AG 18,773 52,959
* Emprise Management Consulting AG 8,950 $ 18,758
* Epcos AG 55,500 1,126,358
Erlus Baustoffwerke AG 297 128,765
* Escada AG 20,520 359,975
* Eurobike AG 1,700 313
* Evotec Biosystems AG 42,707 218,468
Feilmann AG 29,181 1,624,007
# FJA AG 9,889 130,406
Fortec Elektronik AG 1,400 37,963
* Freenet.De AG 16,800 1,541,736
Fuchs Petrolub AG Oel & Chemie 6,693 494,747
GFK AG 37,903 1,278,675
* Gft Technologies AG 22,600 56,450
*# GPC Biotech AG 23,900 342,912
# Grenkeleasing AG 15,958 626,011
Gwag Bayerische Wohnungs-
Aktiengesellschaft AG 3,383 144,994
Hamborner AG 21,000 589,789
* Hawesko Holdings AG 4,300 131,109
* Herlitz AG 6,962 25,954
Hochtief AG 34,000 746,203
* Hoeft & Wessel AG 6,100 24,252
Hucke AG 8,300 36,967
# Hugo Boss AG 25,100 515,372
Hutschenreuther AG 2,800 38,414
* I-D Media AG 9,700 20,525
* IFA Hotel & Touristik AG 7,000 61,031
* IM International Media AG 19,800 15,307
*# Innovation in Traffic Systems AG 12,300 51,017
Interseroh AG 11,845 179,416
*# Intershop Deutschland AG 7,955 16,340
* Intertainment AG 8,500 41,583
* Isra Vision Systems AG 3,650 55,571
# IVG Immobilien AG 143,237 1,655,029
Iwka AG 26,613 564,501
Jenoptik AG 67,265 821,464
# K & S Aktiengesellschaft AG 129,500 4,130,207
Kampa-Haus AG 10,375 81,101
Keramag Keramische Werke AG 13,000 796,143
* Kloeckner-Werke AG 53,211 631,966
* Kontron AG 53,965 423,322
Krones AG 10,180 919,812
KSB AG 2,387 460,515
KWS Kleinwanzlebener
Saatzucht AG 1,650 1,156,027
* Leica Camera AG 4,400 27,172
# Leifheit AG 12,500 381,843
# Leoni AG 25,000 1,525,370
Loewe AG 7,100 52,653
* LPKF Laser & Electronics AG 9,000 42,942
* Masterflex AG 4,400 155,982
* Maternus-Kliniken AG,
Bad Oyenhausen 2,400 2,289
* Maxdata AG 32,897 140,659
* Mediclin AG 30,850 54,489
* Medigene AG 8,600 80,559
* Mensch und Maschine
Software AG 5,350 50,199
* Morphosys AG 4,800 127,516
* Mosaic Software AG 5,200 13,988
</Table>
217
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Muehlabauer Holdings AG &
Co. KGAA 7,423 $ 230,977
* MVS Miete Vertrieb Service AG 13,050 27,120
MVV Energie AG 58,291 960,418
* MWG Biotech AG 30,700 46,277
* Nemetschek AG 7,400 66,065
* Neschen AG 5,800 31,843
* Norddeutsche Affinerie AG 37,449 482,917
Norddeutsche Steingutfabrik AG 5,960 31,296
Novasoft AG 18,550 61,298
* November AG 5,400 32,961
* Ohb Teledata 12,650 109,800
* Pandatel AG 5,700 21,958
* Parsytec AG 11,900 52,469
PC-Ware Information
Technologies AG 5,100 54,100
* Personal & Informatik AG 5,900 42,144
Pfeiffer Vacuum Technology AG 8,250 322,003
* Pfleiderer AG 51,351 387,233
* Phoenix AG, Hamburg 37,500 687,065
* Plambeck Neue Energien AG 19,350 45,218
* Plenum AG 9,300 29,183
* Primacom AG 15,200 9,224
* Produkte und Syteme der
Informationstechnologie AG 10,300 46,813
Progress-Werk Oberkirch AG 5,000 161,914
Puma AG 5,700 1,387,699
* PVATepla AG 15,550 29,890
*# Qs Communications AG 124,164 593,928
Rational AG 15,083 967,109
* Realtech AG 3,650 24,849
Renk AG 19,400 599,513
* Repower Systems AG 5,000 111,430
# Rheinmetall Berlin AG 45,000 1,726,682
Rhoen Klinikum AG 24,107 1,134,092
Rinol AG 5,900 18,580
* Rohwedder AG 4,860 35,728
* Ruecker AG 7,800 30,482
# Salzgitter AG 85,948 1,020,754
* SAP Systems Integrations AG 35,050 877,359
Sartorius AG 11,252 192,370
Schlott Sebaldus AG 7,440 215,380
Schwarz Pharma AG 30,101 846,637
Sektkellerei Schloss Wachenheim AG 15,120 144,303
* Senator Entertainment AG 9,800 3,111
* SGL Carbon AG 57,758 553,816
* Singulus Technologies AG 36,100 688,832
Sinner AG, Karlsruhe 4,160 62,690
Sixt AG 19,433 313,718
* Sm Wirtschaftsberatungs AG 3,350 33,401
* Software AG 34,296 908,821
Stada Arzneimittel AG 25,093 1,298,467
* Stahl (R.) AG 6,300 60,796
* Steag Hamtech AG 35,473 143,035
* Stoehr & Co. AG 16,000 65,668
* Strabag AG 4,840 327,288
Stratec Biomedical Systems AG 3,200 46,891
Stuttgarter Hofbraeu AG 18,000 575,785
Sued-Chemie AG 29,146 1,032,237
* Suess Microtec AG 17,785 154,840
Syskoplan AG 3,300 $ 25,471
* Syzygy AG 18,000 102,827
Takkt AG 87,707 658,758
* Techem AG 29,076 673,450
Technotrans AG 6,450 94,624
* Telegate AG 20,500 267,486
* Teles AG Informationstechnologien 26,657 293,249
Textilgruppe Hof AG 12,170 75,813
* TFG Venture Capital AG & Co. KGAA 8,800 25,572
*# Tomorrow Focus AG 42,650 137,995
* TTL Information Technology AG 6,400 23,931
* TV Loonland AG 7,000 17,230
* Umweltkontor Renewable Energy AG 14,100 10,337
# United Internet AG 79,458 1,994,814
* USU Software AG 16,850 72,162
* Utimaco Safeware AG 12,200 49,274
* Value Management & Research AG 7,650 20,357
* VBH (Vereinigter
Baubeschlag-Handel) AG 9,415 34,662
* Vereinigte Deutsche
Nickel-Werke AG 12,150 16,333
VK Muehlen AG 1,312 119,365
* Vossloh AG 21,469 1,033,059
Wanderer-Werke AG 7,903 231,164
* WCM Beteiligungs AG 346,726 492,274
* Westag and Getalit AG,
Rheda-Wiedenbrueck 7,000 65,580
Wuerttembergische
Lebensversicherung AG 11,330 224,328
# Wuerttembergische
Metallwarenfabrik AG 30,330 559,139
Wuerzburger Hofbraeu AG 133 62,429
Zapf Creation AG 7,500 159,339
---------------
TOTAL COMMON STOCKS
(Cost $59,146,816) 73,151,471
---------------
RIGHTS/WARRANTS -- (0.0%)
*# Em.TV AG Options 04/18/06 18,773 7,107
*# Em.TV AG Options 04/18/08 18,773 9,858
---------------
TOTAL RIGHTS/WARRANTS
(Cost $61,194) 16,965
---------------
TOTAL -- GERMANY
(Cost $59,208,010) 73,168,436
---------------
SWITZERLAND -- (8.7%)
COMMON STOCKS -- (8.6%)
* A. Hiestad Holding AG 190 96,482
* Accu Holding AG Registered Shares 60 8,610
* Actelion, Ltd. 4,400 483,436
* AFG Arbonia-Forster Holding AG 2,610 372,836
* Agie Charmilles Holding AG 3,000 209,827
Allreal Holding AG 4,357 363,568
Also Holding AG 268 70,653
* Amazys Holding AG 1,183 40,920
* Ascom Holding AG 22,120 230,306
Bachem AG 3,659 199,906
# Bank Coop AG 29,405 1,223,646
# Bank Sarasin & Cie Series B, Basel 304 432,059
* Banque Cantonale de Geneve 1,344 206,965
Banque Cantonale du Jura 450 86,060
</Table>
218
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Banque Cantonale Vaudoise 600 $ 66,009
Banque Privee Edmond de
Rothschild SA, Geneve 120 1,358,296
Barry Callebaut AG 3,526 811,346
Basellandschaftliche Kantonalbank 600 402,554
Basler Kantonalbank 5,250 387,754
Batigroup Holding AG 2,902 30,066
Belimo Holdings 330 161,355
* Berna Biotech 18,727 136,630
# Berner Kantonalbank 4,815 571,926
BHB Beteiligungs und
Finanzgesellschaft 150 5,251
# Bobst Group SA 18,200 581,498
Bossard Holding AG 6,350 310,772
Bucher Industries AG,
Niederweningen 3,355 563,286
BVZ (Brig Visp Zermatt) Holding AG 370 71,018
# Caisse d'Epargne Cantonale
Vaudoise, Lausanne 697 618,056
Calida Holding AG 396 102,553
* Carlo Gavazzi Holding AG 910 56,028
Charles Voegele Holding AG 3,960 265,820
# Cie Financiere Tradition 5,202 455,131
# Conzzeta Holdings AG 1,415 1,263,446
* Crossair AG, Basel 13,517 129,415
Daetwyler Holding AG, Atldorf 348 693,159
Edipresse SA, Lausanne 694 341,511
EGL (Elektrizitaets-Gesellschaft
Laufenberg) AG, Laufenberg 8,390 5,624,292
Eichhof Holding AG 188 134,464
Energie Electrique du Simplon SA 350 42,659
Energiedienst Holding AG 8,265 2,570,114
Escor Casino & Entertainment AG 744 20,082
* Feintol International Holding AG 254 50,675
* Fischer (Georg) AG, Schaffhausen 1,822 397,233
* Flughafen Zuerich AG 2,810 229,198
* Forbo Holding AG, Eglisau 1,100 285,022
Fuchs Petrolub AG Oel &
Chemie Non-Voting 6,003 442,425
*# Galenica Holding, Ltd. AG, Bern 4,290 644,434
Geberit AG 870 560,197
* Generale d'Affichage, Geneve 337 188,654
* Generali (Switzerland)
Holdings, Adliswil 1,670 249,943
* Golay-Buchel Holding SA, Lausanne 40 31,091
Gornergrat Monte
Rasa-Bahnen Zermatt 70 46,386
*# Gurit-Heberlein AG 1,125 966,407
# Helvetia Patria Holding 4,331 761,823
* HPI Holding SA 6,000 9,307
Industrieholding Cham AG, Cham 864 175,122
* Interroll-Holding SA 320 37,499
# Jelmoli Holding AG 1,521 1,903,559
# Jelmoli Holding AG,
Zuerich (Namen) 2,835 707,520
Kaba Holding AG 2,040 410,355
Kardex AG, Zuerich 1,039 144,497
Kardex AG, Zuerich (Participating) 610 84,889
* Komax Holding AG 1,411 103,766
* Kudelski SA 13,000 398,382
# Kuoni Reisen Holding AG 1,470 583,704
* Leica Geosystems Holdings AG 1,057 $ 175,713
* Lem Holdings AG, Lyss 270 43,119
# Luzerner Kantonalbank AG 5,000 798,886
* Maag Holding AG, Zuerich 922 121,872
* Micronas Semi 12,202 540,442
* Mikron Holding AG, Biel 2,652 29,921
* Mobilezone Holding AG 13,349 40,304
* Moevenpick-Holding, Zuerich 1,320 827,276
Nobel Biocare Holding AG 45,460 6,757,938
Orell Fussli Graphische
Betriebe Ag, Zuerich 2,400 272,853
Oz Holding AG 4,400 294,089
* Parco Industriale e
Immobiliare SA 600 1,674
* Phoenix Mecano AG,
Stein am Rhein 2,749 784,724
Phonak Holding AG 29,137 871,081
# PSP Swiss Property AG 35,198 1,227,492
Publicitas Holding SA, Lausanne 1,535 477,783
# Rieters Holdings AG 2,626 665,981
Roche Holding AG Genusschein 800 84,257
SAIA-Burgess Electronics AG 274 133,279
Sarna Kunststoff Holding AG 1,760 167,896
* Saurer AG 7,843 396,643
* Schaffner Holding AG 300 46,784
* Schweiter Technology AG 649 114,009
Schweizerhall Holding AG, Basel 140 203,561
# Schweizerische National
Versicherungs Gesellschaft 692 331,178
Scintilla AG 170 142,894
SIA Abrasives Holding AG 337 61,313
# Siegfried Holding AG 8,560 1,087,350
Sig Holding AG 3,300 564,522
* Sihl 150 359
*# Sika Finanz AG, Baar 1,185 595,706
# Sopracenerina 2,409 378,935
# St. Galler Kantonalbank 3,636 731,250
Sulzer AG, Winterthur 1,637 407,701
* Swiss Prime Site AG 2,212 468,678
*# Swisslog Holding AG 17,025 18,246
Tamedia AG 5,300 487,914
# Tecan Group AG 5,859 250,212
* Temenos Group AG 35,359 322,285
* UMS Schweizerische Metallwerke
Holding AG, Bern 2,560 65,708
* Unaxis Holding AG 2,013 227,974
Unilabs SA 2,700 53,950
*# Valiant Holding AG 9,978 830,575
# Valora Holding AG 2,097 496,492
* Vaudoise Assurances
Holding, Lausanne 45 73,476
Villars Holding SA, Fribourg 150 32,286
* Von Roll Holding AG 23,024 22,749
*# Von Roll Holding AG, Gerlafingen 23,024 23,567
Vontobel Holdings AG 44,250 942,552
Walliser Kantonalbank 150 37,882
* Wmh Walter Meier
Holding Ag, Zuerich 1,000 48,177
Zehnder Holding AG 193 199,108
Zschokke Holding SA, Geneve 230 101,069
* Zueblin Holding AG 13,393 104,888
</Table>
219
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
# Zuger Kantonalbank 590 $ 1,342,451
---------------
TOTAL COMMON STOCKS
(Cost $30,646,624) 56,740,877
---------------
PREFERRED STOCKS -- (0.1%)
Fuchs Petrolub AG Oel & Chemie
(Cost $266,229) 6,003 420,425
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs
(Cost $4,164) 4,255
---------------
RIGHTS/WARRANTS -- (0.0%)
* Accu Holding AG Rights 05/28/04
(Cost $7,757) 60 3,827
---------------
TOTAL -- SWITZERLAND
(Cost $30,924,774) 57,169,384
---------------
ITALY -- (7.4%)
COMMON STOCKS -- (7.4%)
* Acea SpA 163,000 1,158,164
* Acegas SpA 31,875 256,030
* Actelios SpA 25,801 203,256
* Aem Torino SpA 450,627 843,820
Aeroporto de Firenze SpA 6,000 72,397
*# Alitalia Linee Aeree Italiane SpA
Series A 3,706,002 1,061,803
Amplifon SpA 18,242 635,794
* Auschem SpA (In Liquidation) 82,000 0
Azienda Mediterranea Gas e
Acqua SpA 360,014 561,812
# Banca Ifis SpA 19,351 211,909
# Banca Intermobiliare di
Investimenti e Gestoni SpA 132,998 888,983
Banca Monte Dei Paschi di
Siena SpA 229,515 711,825
Banca Popolare Dell'etruria e
Del Lazio Scrl 23,918 523,221
Banca Profilo SpA 114,243 245,428
Banco di Desio e della Brianza SpA 109,105 526,112
Banco Piccolo Valellinese Scarl SpA 56,071 554,870
* Bastogi SpA 1,183,000 189,622
* Beghelli SpA 142,000 95,703
Beni Stabili SpA, Roma 1,309,500 957,501
Biesse SpA 17,100 47,547
* Binda SpA 1,299,375 0
Bonifica dei Terreni Ferraresi e per
Imprese Agricole Roma 9,675 177,070
Bremba SpA 74,782 531,677
* Brioschi Finanziaria SpA, Milano 373,400 121,587
Buzzi Unicem SpA 94,100 1,237,422
# Caltagirone Editore SpA 132,868 1,011,295
# Caltagirone SpA 178,399 1,109,571
CAMFIN (Cam Finanziaria) 36,527 83,652
Carraro SpA 34,400 113,541
# Cementir Cementerie del
Tirreno SpA 249,704 794,782
CIR SpA (Cie Industriale Riunite),
Torino 591,100 1,202,346
* Cirio Finanziaria SpA 175,000 $ 37,184
Class Editore SpA 83,868 179,310
*# CMI SpA 64,502 284,066
* Coats Cucirini SpA 30,000 36,128
* Compagnia Immobiliare Azionaria 44,000 7,875
Credito Artigiano SpA 114,446 425,732
# Cremonini SpA 135,428 228,323
CSP International Industria
Calze SpA 10,000 16,130
Danieli & C.Officine
Meccaniche SpA 66,500 279,474
* Dataconsyst C.G.S. SpA, Monza 220 0
Davide Campari - Milano SpA 27,599 1,307,154
De Longhi SpA 139,386 490,745
* Del Favero SpA 86,000 0
* Ducati Motor Holding SpA 129,900 185,167
Emak SpA 27,000 117,329
Erg SpA 173,330 1,090,133
Ergo Previdenza SpA 95,165 509,800
Ericsson SpA 24,374 967,679
Esprinet SpA 3,700 108,626
* Finarte Casa d'Aste SpA (Milano) 56,266 70,771
* Finarte Partecipazioni Pro Arte SpA 242,693 47,745
*# Finmatica SpA 35,900 136,526
* FMC (Fabbrica Milanese
Condutorri SpA) 25,000 0
* Fochi (Filippo) SpA 216,000 0
* Fornara Societa Finanziaria e di
Partecipazioni SpA 310,000 0
Gabetti Holding SpA 55,000 124,597
Gefran SpA 11,000 53,834
*# Gemina SpA 331,283 308,019
* Gerolimich SpA (In Liquidation) 297,400 0
# Gewiss SpA 221,700 1,023,537
* Giovanni Crespi SpA 49,200 37,869
Grandi Navi Veloci SpA 53,833 123,601
# Granitifiandre SpA 33,237 273,769
* Grassetto SpA 279,125 0
* Gruppo Ceramiche Ricchetti SpA 164,000 60,054
I Grandi Viaggi SpA 28,100 26,907
*# Immobiliare Lombardia SpA 425,000 86,699
Immsi SpA 287,000 485,832
*# Impregilo SpA 592,300 316,509
# Industria Macchine
Automatique SpA 33,671 448,636
Industria Romagnola Conduttori
Elettrici SpA 17,500 54,730
Industrie Zignago S. Margherita SpA 52,000 818,457
Interpump Group SpA 75,402 384,788
ITALJOLLY (Cia Italiana dei Jolly
Hotels SpA) 34,500 223,575
# Italmobiliare SpA, Milano 20,975 979,514
* Juventus Footbal Club SpA 98,000 186,043
La Doria SpA 22,000 59,415
* Lavorwash SpA 10,000 21,548
Linificio and Canapificio
Nazionale SpA 22,000 52,202
Maffei SpA 52,500 96,050
* Mandelli SpA 41,000 0
# Manifattura Lane Gaetano
Marzotto & Figli SpA 138,000 1,579,981
</Table>
220
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<Table>
<Caption>
SHARES VALUE+
------ ------
* Marcolin SpA 35,100 $ 46,749
Mariella Burani Fashion Group SpA 26,077 241,831
Meliorbanca SpA 90,667 398,133
Merloni Elettrodomestici SpA 155,000 2,649,895
Milano Assicurazioni SpA 266,700 1,003,871
Mirato SpA 12,000 86,458
* Monrif SpA 150,000 138,752
* Montefibre SpA 143,130 38,881
# Navigazione Montanari SpA 110,917 243,930
* Necchi SpA 164,250 14,241
* Negri Bossi SpA 13,700 38,485
* NGP SpA 17,891 7,647
Olidata SpA 20,000 24,935
* Opengate Group SpA 4,000 9,330
* Pagnossin SpA 9,000 10,988
* Perlier SpA 100,700 24,309
Permasteelisa SpA 24,470 420,278
# Pininfarina SpA 31,285 849,351
# Pirelli & C.Real Estate SpA 9,600 341,944
Poligrafici Editoriale SpA 132,000 263,542
* Premafin Finanziaria SpA Holding
di Partecipazioni, Roma 342,051 438,278
# Premuda SpA 50,800 104,310
* Ratti SpA 31,768 17,466
Recordati Industria Chimica e
Farmaceutica SpA 58,644 1,142,315
*# Reno de Medici SpA, Milano 332,210 301,332
* Richard-Ginori 1735 SpA 128,000 92,847
Risanamento Napoli SpA 255,850 424,393
* Rodriquez SpA 41,250 0
* Roncadin SpA 81,400 45,192
Sabaf SpA 9,200 169,693
*# Saeco International Group SpA 154,000 678,509
SAES Getters SpA 14,750 226,549
SAI SpA (Sta Assicuratrice
Industriale), Torino 32,500 723,027
* Schiapparelli 1824 SpA, Milano 166,200 29,735
* Sirti SpA 29,967 73,623
SISA (Societa Imballaggi Speciali
Asti SpA) 65,000 165,261
* SMI STA Metallurgica Italiana SpA 565,280 149,711
# SNIA SpA 227,590 68,573
*# Societa Sportiva Lazio SpA 18,150 23,421
# Societe Cattolica di Assicurazoni
Scarl SpA 27,170 1,055,574
Sogefi SpA 182,500 685,265
# Sol SpA 81,830 348,520
* SOPAF (Societa Partecipazioni
Finanziarie SpA) 85,000 17,808
* Sorin SpA 341,385 875,453
Stefanel SpA 54,400 114,161
Targetti Sankey SpA 14,500 61,652
* Tecnodiffusione Italia SpA 3,332 8,138
Terme Demaniali di Acqui SpA 532,000 309,952
# Tod's Group SpA 30,476 1,037,865
* Trevi-Finanziaria Industriale SpA 52,400 64,011
* Tripcovich (D.) & Co. SpA Navigazione
Rimorchi e Salvataggi Trieste 113,898 0
* Unione Manifatture SpA
(In Liquidation) 156,000 0
* Unipar (Unione Nazionale di
Participazione SpA)
(In Liquidation) 539,000 $ 0
* Vemer Siber Group SpA 46,000 38,263
* Viaggi del Ventaglio SpA 23,000 34,226
Vianini Industria SpA 52,520 149,833
# Vianini Lavori SpA 180,752 1,103,423
Vittoria Assicurazioni SpA 51,500 330,906
Zucchi (Vincenzo) SpA 144,350 650,599
---------------
TOTAL COMMON STOCKS
(Cost $42,678,188) 49,094,237
---------------
RIGHTS/WARRANTS -- (0.0%)
* Societa Sportiva Lazio SpA
Rights 06/14/04 18,150 432
* Tecnodiffusione Italia SpA
Warrants 11/15/04 1,332 129
---------------
TOTAL RIGHTS/WARRANTS
(Cost $104,621) 561
---------------
TOTAL -- ITALY
(Cost $42,782,809) 49,094,798
---------------
SWEDEN -- (6.6%)
COMMON STOCKS -- (6.6%)
* Active Biotech AB 38,640 277,286
Addtech AB Series B 22,300 130,440
Alfa Laval AB 18,600 287,253
* Alfaskop AB 3,200 343
Angpannefoereningen AB Series B 10,800 184,255
*# Anoto Group AB 134,833 280,900
Axfood AB 73,400 1,843,548
*# Axis AB 76,994 139,444
* B & N Bylock & Nordsjoefrakt AB
Series B 41,800 92,622
Beiger Electronics AB 11,700 104,613
Beijer AB Series B 11,700 146,129
Beijer Alma AB Series B 10,400 137,968
Bergman & Beving AB Series B 36,200 260,158
Biacore International AB 11,150 260,688
Bilia AB Series A 116,725 1,442,011
Billerud AB 58,700 913,801
* Boliden AB 197,400 720,189
* Bong Ljungdahl AB 9,000 42,251
* Boras Waefveri AB Series B 8,600 31,584
* Boss Media AB 63,200 161,346
*# Bostads AB Drott 21,350 383,743
* Capio AB 78,700 762,528
Capona AB 25,400 221,490
Carbo AB 37,100 917,167
Castellum AB 43,600 1,028,418
Cloetta AB Series B 22,250 523,083
Concordia Maritime AB Series B 37,300 92,902
* Connecta AB 250 211
* Consilium AB Series B 4,300 18,075
* Consilum AB Series B Issue 04 946 3,977
D. Carnegie & Co. AB 74,000 789,208
Digital Illusions AB Series A 7,800 79,831
* Doro Telefoni AB Series A 2,900 3,612
* Drott Series AB 89,700 1,254,548
* Duroc AB Series B 2,700 5,245
</Table>
221
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<Table>
<Caption>
SHARES VALUE+
------ ------
* Elekta AB 28,600 $ 571,275
*# Enea Data AB Series B 440,000 180,497
Eniro AB 154,000 1,209,611
* Expanda AB 6,547 28,914
Fagerhult AB 14,100 154,596
* Fagerlid Industrier AB 8,600 0
* Finnveden AB 57,000 472,909
* Framfab AB Issue 04 276,000 22,683
*# Framtidsfabriken AB 690,000 56,707
* Frontec AB Series B 50,800 43,723
Getinge AB 176,604 2,059,565
Geveko AB Series B 8,300 165,513
* Glocalnet AB 187,500 71,787
Gorthon Lines AB Series B 41,800 99,732
Gunnebo AB 50,000 611,837
Haldex AB 39,000 612,583
Heba Fastighets AB Series B 13,500 162,317
Hexagon AB Series B 3,572 114,306
Hiq International AB 41,889 75,912
HL Display AB Series B 6,000 99,604
Hoganas AB Series B 38,200 946,042
* IBS AB Series B 83,200 146,490
* Icon Medialab International AB 145,300 85,642
* Industrial & Financial Systems AB
Series B 59,300 89,184
* Industrifoervaltnings AB Skandigen 63,975 180,553
* Intentia International AB Series B 149,420 172,510
* Intrum Justitia AB 115,700 702,643
Karlshamns AB 23,800 263,272
Kinnevik Industrifoervaltnings AB
Series B 44,400 1,376,789
* Klippans Finpappersbruk AB 5,800 16,047
Klovern AB 53,276 108,621
Kungsleden AB 17,600 491,277
Lagercrantz Group AB Series B 23,800 68,754
* LGP Allgon Holding AB 41,280 326,690
Lindex AB 16,100 451,133
Ljungberg Gruppen AB Series B 3,800 55,201
* Lundin Petroleum AB 322,400 1,845,813
* Mandator AB 20,520 2,654
Meda AB Series A 9,725 261,530
* Medivir Series B 7,100 98,165
* Medivir Series B Issue 04 3,550 49,082
* Micronic Laser Systems AB 42,600 317,865
* Modern Times Group AB Series B 48,700 875,329
Naerkes Elektriska AB Series B 4,250 51,352
# NCC AB Series B 118,100 997,840
Nefab AB Series B 5,100 106,921
* Net Insight AB Series B 199,000 54,293
New Wave Group AB Series B 10,400 274,411
# Nibe Industrier AB 22,800 395,686
Nolato AB Series B 42,840 304,908
Observer AB 137,856 500,142
OEM International AB Series B 7,100 90,798
* OMHEX AB 78,100 1,036,191
# Orc Software AB 16,500 164,087
* Ortivus AB 11,507 43,984
* Partnertech AB 9,800 67,075
PEAB AB Series B 105,200 633,049
* Pergo AB 43,300 94,870
Poolia AB Series B 18,150 65,796
* Prevas AB Series B 16,000 $ 34,602
*# Pricer AB Series B 431,500 61,237
* Proact It Group AB 15,000 44,602
*# Proffice AB 72,800 168,512
Profilgruppen AB 4,000 31,675
Protect Data AB 6,500 45,446
* PyroSequencing AB 51,940 67,222
Q-Med AB 34,000 933,835
* Readsoft AB Series B 17,800 25,618
Rottneros Bruk AB 366,600 475,106
Salus Ansvar AB Series B 12,900 28,919
Sardus AB 11,200 156,323
* Scribona AB Series A 40,100 78,078
* Scribona AB Series B 46,300 93,210
* Semcon AB 18,300 59,160
* Sigma AB Series B 25,800 18,228
Skistar AB 21,000 255,229
* Song Network Holding 43,845 276,663
SSAB Swedish Steel Series A 60,300 1,008,661
SSAB Swedish Steel Series B 17,100 276,772
Sweco AB Series B 23,450 314,971
*# Switchcore AB 154,820 76,009
* Teleca AB Series B 69,200 393,021
*# Telelogic AB 196,200 363,802
* Ticket Travel Group AB 15,152 24,006
Trelleborg AB Series B 75,400 1,366,593
TV 4 AB Series A 22,200 326,440
* VBG AB Series B 271 3,577
# Wallenstam Byggnads AB Series B 16,700 439,640
* Wedins Norden AB Series B 280,000 78,874
* Westergyllen AB Series B 4,300 41,564
Whilborg Fastigheter AB Class B 69,960 910,901
Wilh. Sonesson AB Series A 4,160 11,718
Wilh. Sonesson AB Series B 4,160 11,826
WM-Data AB Series B 437,600 976,559
Xponcard Group AB 2,800 48,951
---------------
TOTAL COMMON STOCKS
(Cost $31,736,191) 43,695,177
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $8,510) 8,738
---------------
TOTAL -- SWEDEN
(Cost $31,744,701) 43,703,915
---------------
GREECE -- (5.3%)
COMMON STOCKS -- (5.3%)
* A. Cambas Holding &
Real Estate S.A. 36,750 116,030
Aegek S.A. 99,835 139,312
* Agrotiki Insurance S.A. 34,455 155,656
Aktor Technical Co. S.A. 163,650 898,111
Alco Hellas ABEE S.A. 38,730 81,503
* Alfa Alfa Energy S.A. 3,810 21,305
Alfa-Beta Vassilopoulos S.A. 15,172 311,738
* Alisida S.A. 2,160 6,894
* Allatini Industrial & Commercial Co. 15,370 25,710
* Alte Technological Co. S.A. 85,048 60,371
* Altec Information & Communication
Systems S.A. 80,278 55,047
</Table>
222
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Alumil Milonas S.A. 27,516 $ 118,973
* Aluminum of Attica S.A. 104,982 73,354
Anek Lines S.A. 60,821 86,861
Arcadia Metal Industry
C. Rokas S.A. 22,389 134,047
* AS Co. S.A. 25,370 41,210
* Aspis Bank 45,604 160,199
* Aspis Pronia General Insurance S.A. 48,640 68,398
* Astir Palace Vouliagmenis S.A. 48,800 380,806
Athens Medical Center S.A. 104,974 170,855
Athens Water Supply & Sewage
Co. S.A. 53,245 367,162
* Atlantic Super Market S.A. 13,640 23,016
Attica Enterprises S.A. Holdings 138,964 560,873
Attica Publications S.A. 16,674 96,877
Atti-Kat S.A. 88,984 65,304
Autohellas S.A. 22,490 186,833
Babis Vovos S.A. 50,982 1,020,513
* Balafas Construction Holdings S.A. 15,200 13,376
* Bank of Attica S.A. 115,721 565,769
Bank of Greece 7,296 771,155
Bank of Piraeus S.A. 163,829 1,908,614
Benrubi S.A. 11,121 179,607
* Betanet S.A. 11,220 58,409
* Bitros Holdings S.A. 19,302 66,236
* Byte Computers S.A. 17,230 47,922
Chipita S.A. 46,325 136,539
Commercial Bank of Greece 1,960 51,891
* Compucon Computer
Applications S.A. 11,260 11,566
Computer Peripherals
International S.A. 9,110 18,660
* Cyclon Hellas S.A. 18,131 22,835
* Daios Plastics S.A. 16,350 97,776
Delta Holdings S.A. 33,747 217,732
Dionic S.A. 12,948 13,942
* Domiki Krittis S.A. 17,730 38,731
Edrasi Psalllidas Technical Co. S.A. 31,108 37,221
Egnatia Bank S.A. 117,107 394,912
El. D. Mouzakis S.A. 31,653 47,200
Elais Oleaginous Production S.A. 16,707 334,188
* Elbisco Holding S.A. 56,000 349,985
Elektrak S.A. 14,040 36,780
Elektroniki of Athens S.A. 21,560 75,870
* Elgeka S.A. 18,590 118,004
Elmec Sport S.A. 64,256 188,624
* Elton S.A. 18,640 102,926
Ethniki General Insurance Co. S.A. 118,768 502,415
* Etma Rayon S.A. 11,242 10,839
* Euro Reliance General Insurance 14,830 33,432
* Eurodrip S.A. 11,620 72,059
* Euromedica S.A. 33,300 82,617
* Europaiki Techniki 32,750 9,247
Everest S.A. 30,730 96,016
Evrofarma S.A. 9,500 20,032
F.G. Europe SA Common Registered
Shares 4,536 21,169
* Fanco S.A. 10,110 12,746
* Forthnet S.A. 17,510 124,455
Fourlis S.A. 64,420 $ 375,049
Frigoglass S.A. 49,990 224,403
* G.Polyhronos S.A. 10,580 19,288
* Galaxidi Fish S.A. 12,940 10,746
General Construction Co. S.A. 34,649 274,351
General Commercial & Industry 24,060 23,268
* General Hellenic Bank 35,139 307,113
Germanos S.A. 61,810 1,654,794
Gnomon Construction S.A. 39,937 16,575
Goody's S.A. 17,740 292,448
Halkor S.A. 121,226 230,977
Hatziioannou S.A. 44,200 131,466
Hellas Can Packaging
Manufacturers S.A. 27,902 260,751
Hellenic Cables S.A. 26,908 32,807
Hellenic Duty Free Shops S.A. 80,020 1,469,699
Hellenic Fabrics S.A. 17,110 41,389
Hellenic Sugar Industry S.A. 35,750 185,506
Hellenic Technodomiki S.A. 136,556 681,167
Heracles General Cement Co. 93,293 902,740
Hermes Real Estate S.A. 23,136 91,698
* Hippotour S.A. 12,155 21,640
Hyatt Regency S.A. 130,260 1,438,243
* Iaso S.A. 49,300 317,671
* Iktinos Hellas S.A. 6,500 19,968
* Inform P. Lykos S.A. 20,610 78,584
* Informatics S.A. 18,890 20,572
* Intersat S.A. 19,392 8,288
Intertech S.A. 12,236 43,100
* Intracom Constructions S.A. 30,520 42,089
Intracom S.A. 172,366 867,145
* Ionian Hotel Enterprises 16,754 196,136
* J Boutaris & Son Holding S.A. 28,150 40,951
J&P-Avax S.A. 100,626 541,326
Kalpinis Simos Steel Service Center 12,432 42,844
Karelia Tobacco Co., Inc. S.A. 2,160 155,130
Kathimerini S.A. 21,240 151,902
Katselis Sons S.A. 18,000 54,283
* Kego S.A. 21,670 42,748
* Kekrops S.A. 2,244 41,224
* Keramia-Allatini S.A. Industrielle
Commerciale & Technique 10,368 31,465
* Klonatex Group S.A. Bearer Shares 20,351 56,774
* Kordellou Brothers S.A. 12,300 19,096
* Kotsovolos S.A. 2,872 17,537
* Lambrakis Press S.A. 107,586 437,400
* Lampsa Hotel Co. 19,051 162,858
* Lan-Net S.A. 19,045 54,886
Lavipharm S.A. 39,294 64,751
* Lazarides Vineyards S.A. 18,326 58,991
Light Metals Industry 37,502 93,921
* Logic Dis S.A. 77,230 50,091
* Loulis Mills S.A. 15,382 51,603
* Mailis (M.J.) S.A. 101,594 345,789
* Maritime Company of Lesvos S.A. 30,753 20,336
* Maxim Knitwear Factory C.M. 16,360 11,436
* Medicon Hellas S.A. 2,600 21,452
Mesochoritis Bros. Construction Co. 23,700 14,261
Metka S.A. 59,820 332,002
</Table>
223
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Michaniki S.A. 98,065 $ 247,154
Minerva Knitwear 5,140 16,983
* Minoan Lines S.A. 77,309 201,487
* MLS Multimedia S.A. 8,300 17,544
Mochlos S.A. 101,679 54,701
Motor Oil (Hellas) Corinth
Refineries S.A. 152,870 1,479,494
Mytilineos Holdings S.A. 47,000 293,977
* N. Levederis S.A. 8,355 5,720
N.B.G. Real Estate Development Co. 134,960 548,750
* Naoussa Spinning Mills S.A. 21,832 55,362
* Naytemporiki S.A. 26,080 64,777
* Neorion-Syro's Shipyards S.A. 27,210 75,527
Nexans Hellas S.A. 3,003 10,805
Nikas S.A. 25,287 225,762
Notos Com.Holdings S.A. 94,554 420,611
* O. Daring Sain 7,760 2,850
Pantechniki S.A. 50,460 93,372
* Pegasus Publishing & Printing S.A. 58,590 129,553
* Persefs S.A. Health Care 23,592 76,801
Petros Petropoulos S.A. 7,360 51,031
* Petzetakis S.A. 22,560 67,417
* Pilias S.A. 103,584 32,899
* Pipeworks L. Girakian Profil S.A. 11,730 14,476
Piraeus Leasing 5,765 47,055
* Prodeftiki Technical Co. 32,257 18,546
* Promota Hellas S.A. 26,580 29,976
Rilken S.A. 1,982 20,130
* Sanyo Hellas S.A. 59,251 81,231
Sarantis S.A. 43,940 216,994
* Sato S.A. 28,850 26,473
Selected Textile Industry Assoc. S.A. 44,649 42,085
Sfakianakis S.A. 13,390 48,076
* Sheet Steel S.A. 25,850 12,644
* Shelman Hellenic-Swiss Wood S.A. 38,042 51,219
Silver and Baryte Ores Mining
Co. S.A. 34,961 252,107
Singular S.A. 54,600 118,301
Spyroy Agricultural House S.A. 22,258 26,720
* Stabilton S.A. 27,530 2,689
Strintzis Shipping Lines S.A. 131,240 171,857
Technical Olympic S.A. 180,370 843,157
* Technodomi M.Travlos Br. Com. &
Constr. Co. S.A. 13,910 4,293
Teletypos S.A. Mega Channel 36,227 206,649
Terna Tourist Technical &
Maritime S.A. 63,180 529,252
* Themeliodomi S.A. 37,422 69,958
Thrace Plastics Co. S.A. 45,500 59,532
Uncle Stathis S.A. 10,999 78,220
Unisystems S.A. 41,820 81,179
* Vardas S.A. 13,780 47,516
* Varvaressos S.A. European
Spinning Mills 7,200 17,764
Veterin S.A. 18,984 71,440
Viohalco S.A. 296,585 1,878,209
Vioter S.A. 61,470 88,526
* Vis Container Manufacturing Co. 4,259 $ 14,478
Zampa S.A. 830 10,465
---------------
TOTAL COMMON STOCKS
(Cost $33,864,979) 34,866,977
---------------
PREFERRED STOCKS -- (0.0%)
Egnatia Bank S.A.
(Cost $8,591) 3,196 9,368
---------------
TOTAL -- GREECE
(Cost $33,873,570) 34,876,345
---------------
NETHERLANDS -- (5.1%)
COMMON STOCKS -- (5.1%)
Aalberts Industries NV 25,910 731,834
Accell Group NV 5,260 176,853
* AFC Ajax NV 10,787 94,614
* Air France 27,280 443,063
Airspray NV 3,800 88,587
AM NV 71,761 630,286
Arcadis NV 14,000 196,024
*# ASM International NV 40,484 871,477
* Atag Group NV 4,630 1,640
Athlon Groep NV 34,250 710,516
Batenburg Beheer NV 3,000 117,303
* Begemann Groep NV 11,909 45,149
* Begemann Groep NV Series B 13,451 10,182
Beter Bed Holding NV 4,900 62,759
Boskalis Westminster NV 51,300 1,254,008
Brunel International NV 12,000 95,708
Buhrmann NV 110,719 1,055,010
Copaco NV 7,000 29,119
* Crucell NV 26,050 200,117
# Draka Holding NV 14,287 232,175
* Econosto NV 17,305 30,761
Eriks Group NV 9,032 365,853
Exact Holding NV 19,764 488,548
# Fornix Biosciences NV 2,611 38,923
* Fox Kids Europe NV 66,840 665,786
Gamma Holding NV 15,705 685,311
Gemeenschappeljk Bezit Crown
van Gelder NV 12,000 205,713
*# Getronics NV 331,423 916,464
Grolsche NV 32,100 975,983
Grontmij NV 2,053 75,902
*# Hagemeyer NV 339,750 727,438
Heijmans NV 18,173 409,819
ICT Automatisering NV 5,800 75,371
# Imtech NV 28,645 738,596
* Ispat International NV 84,322 1,072,104
Kas Bank NV 42,888 780,773
* Kendrion NV 21,454 59,046
Koninklijke Bam NV 25,037 742,236
Koninklijke Frans Maas Groep NV 12,349 410,257
Koninklijke Nedlloyd NV 33,528 1,022,476
Koninklijke Ten Cate NV 11,531 604,503
Koninklijke Vendex KBB NV 76,204 1,417,510
Koninklijke Vopak NV 48,540 799,037
* Laurus NV 464,928 618,864
MacIntosh NV 15,590 398,907
* Maverix Capital NV 1,500 69,606
</Table>
224
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Nederlandsche Apparatenfabriek 14,000 $ 401,251
New Skies Satellites NV 94,650 766,195
* NH Hoteles 21,703 243,941
Nutreco Holding NV 27,519 845,962
NV Holdingsmij de Telegraaf 42,524 941,612
Oce NV 60,200 895,927
Opg Groep NV Series A 10,100 492,522
*# Petroplus International NV 22,363 211,275
Pinkroccade NV 16,700 207,049
* Pinkroccade NV Coupons 16,700 0
Randstad Holdings NV 42,700 1,121,731
Reesink NV 2,050 131,469
Roto Smeets de Boer NV 2,640 106,154
Rubber Cultuur Maatschappij
Amsterdam NV 40,800 145,333
* Samas-Groep NV, Zaandam 24,184 158,170
* Scala Business Solutions NV 12,100 50,379
* Semiconductor Industries NV 21,900 143,075
Sligro Food Group Beheer 15,046 446,278
Smit Internationale NV 20,578 696,089
* SNT Groep NV 9,400 151,639
Stern Groep NV 1,236 45,258
Stork NV 26,745 528,580
* Textielgroep Twenthe NV 1,000 3,053
* Tulip Computers NV 53,860 15,179
Twentsche Kabel Holding NV 18,244 499,770
United Services Group NV 18,374 255,786
Univar NV 7,050 118,154
*# Van Der Mollen Holding NV 57,660 439,208
Vedior NV 74,880 1,116,481
* Versatel Telecom International NV 376,079 750,005
* Wegener Arcade NV 70,830 692,254
---------------
TOTAL COMMON STOCKS
(Cost $21,699,486) 34,061,990
---------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 24,800 31,193
* AM NV Coupons 06/04/04 71,761 0
* Eriks Group NV Coupons 06/02/04 9,032 0
* Koninklijke Vopak NV Coupons
06/04/04 48,540 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $19,048) 31,193
---------------
TOTAL -- NETHERLANDS
(Cost $21,718,534) 34,093,183
---------------
SPAIN -- (4.7%)
COMMON STOCKS -- (4.7%)
# Abengoa SA 66,042 539,091
Adolfo Dominguez SA 3,700 65,505
Aldeasa SA 15,329 429,375
*# Amper SA 56,800 285,285
* Avanzit SA 17,275 49,574
*# Azkoyen SA 52,500 362,360
Banco de Andalucia 9,800 866,187
Banco de Credito Balear SA 35,424 862,114
# Banco de Valencia SA 188,053 3,921,612
Banco Guipuzcoano SA 21,194 585,532
# Banco Pastor SA 34,300 1,017,728
*# Baron de Ley SA 5,642 232,169
CAF (Construcciones y Auxiliar de
Ferrocarriles SA) 7,500 $ 531,517
Campofrio Alimentacion SA 92,800 1,335,597
Cementos Portland SA 16,881 1,012,633
Compania de Distribucion
Integral Logista SA 29,600 949,994
Cortefiel SA 57,093 578,363
* Dogi International Fabrics SA 4,000 23,753
* Duro Felguera SA 10,860 76,739
Elecnor SA 18,300 756,452
* Ercros SA 100,518 40,505
* Espanola del Zinc SA 29,250 65,033
* Estacionamientos Urbanos SA 4,200 0
# Europistas Concesionaria
Espanola SA 174,940 1,092,612
# Faes Farma SA 32,498 482,884
* Faes Farma SA Issue 04 3,610 53,641
Funespana SA 4,500 35,644
Grupo Empresarial Ence SA 18,593 491,228
* Grupo Picking Pack SA 145,775 72,979
Hullas del Coto Cortes 8,666 109,000
Iberpapel Gestion SA 6,700 129,089
Inbesos SA 8,050 44,064
Indo Internacional SA 33,600 296,121
Indra Sistemas SA 75,200 961,588
Inmobiliaria Colonial SA ICSA 35,200 853,405
Inmobiliaria del Sur SA 331 49,919
Inmobiliaria del Sur SA Issue 2003 47 6,278
Inmobiliaria Urbis SA 80,282 888,193
Lingotes Especiales SA 22,080 127,800
* LSB (La Seda de Barcelona SA)
Series B 25,200 61,252
* Mecalux SA 9,500 64,934
# Metrovacesa SA 14,895 570,753
Miquel y Costas y Miquel SA 4,891 242,401
Natra SA 14,979 69,658
* Nicolas Correa SA 15,750 56,303
Obrascon Huarte Lain SA 65,366 514,114
Pescanova SA 26,443 490,261
Prosegur Cia de Seguridad SA 45,049 704,950
# Recoletos Grupo de
Comunicacion SA 95,420 688,621
* Sogecable SA 34,600 1,432,153
# Sol Melia SA 112,700 970,621
# SOS Cuetara SA 20,902 590,517
Tavex Algodonera SA 31,944 123,249
* Tecnocom Telecomunicaciones y
Energia SA 6,300 54,851
*# Tele Pizza SA 163,225 296,931
# Transportes Azkar, SA 35,477 250,505
Tubacex SA 73,130 142,948
Tubos Reunidos SA 12,466 98,848
Unipapel SA 41,935 795,699
*# Uralita SA 112,831 1,176,721
Vidrala SA, Alava 47,040 635,884
Viscofan Industria Navarra de
Envolturas Celulosicas SA 97,492 904,236
---------------
TOTAL COMMON STOCKS
(Cost $16,578,339) 31,217,973
---------------
</Table>
225
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
RIGHTS/WARRANTS -- (0.0%)
* Faes Farma SA Rights 06/08/04
(Cost $0) 8 $ 13
---------------
TOTAL -- SPAIN
(Cost $16,578,339) 31,217,986
---------------
FINLAND -- (4.6%)
COMMON STOCKS -- (4.6%)
Alandsbanken AB Series B 4,890 104,976
* Aldata Solutions Oyj 64,735 126,228
Alma Media Oyj 34,388 295,730
* Amanda Capital Oyj 180,700 37,558
Amer-Yhtymae Oyj Series A 25,370 1,302,258
Aspo P.L.C. 8,200 126,092
# Aspocomp Group P.L.C. 12,738 185,355
Basware Oyj 7,050 62,039
* Benefon Oy 1,900 488
* Biotie Therapies Oyj 39,754 54,404
Capman Oyj Series B 12,485 25,090
Chips Corp. Series B 17,750 391,799
# Comptel Oyj 149,541 332,860
Efore Oy 12,920 110,435
Elcoteq Network Corp. 21,260 350,467
Elektrobit Group Oyj 663,597 364,863
* Elisa Communications Corp. 74,525 929,039
* Eq Online Oyj 23,900 61,303
* Evox Rifa Group Oyj 51,210 6,877
Finnair Oyj 118,150 757,041
Finnlines Oyj 30,280 836,008
Fiskars Oy AB Series A 41,270 503,052
*# F-Secure Oyj 140,928 233,997
HK Ruokatalo Oy Series A 19,620 154,152
Honkarakenne Oy Series B 3,030 24,896
Huhtamaki Van Leer Oyj 125,650 1,648,682
Ilkka-Yhtyma Oyj 7,560 61,405
* Incap Oyj 11,000 29,727
J.W. Suominen Yhtyma Oy 17,955 115,905
Jaakko Poyry Group Oyj 14,610 374,274
KCI Konecranes International Oyj 13,800 476,790
Kemira Oyj 118,400 1,495,483
Kesko Oyj 32,060 631,189
Laennen Tehtaat Oy 5,870 92,011
Lassila & Tikanoja Oyj 16,990 531,093
# Lemminkainen Oy 16,600 286,210
Leo Longlife Oy 2,920 26,558
Martela Oy 530 7,552
Metsaemarkka Oyj Series B 700 5,711
New Kyro Corp. Oyj 45,670 416,917
Nokian Renkaat Oyj 12,180 1,125,512
Nordic Aluminium Oy 1,900 20,443
* Okmetic Oyj 16,204 51,125
Okobank Class A 101,080 1,005,169
Olvi Oyj Series A 3,320 51,596
Orion-Yhtyma Oyj Series A 20,590 520,112
Orion-Yhtyma Oyj Series B 30,460 774,447
Outokumpu Oyj Series A 21,100 319,672
# Oy Stockmann AB Series B 30,200 692,771
Perlos P.L.C. Warrants 04/04/04 72,311 706,734
PK Cables Oyj 5,530 157,375
* Pmj Automec Oyj 23,910 14,303
Pohjola Group P.L.C. Series D 146,205 1,424,311
Ponsse Oyj 6,300 $ 156,071
* Proha Oyj 51,232 30,597
Raisio Group P.L.C. Series V 118,423 246,827
Rakentajain Koneuvokrammo Oy 10,260 75,108
Ramirent Oyj 12,270 235,240
Rapala VMC Oyj 36,040 263,692
Rautaruukki Oyj Series K 188,780 1,405,418
Raute Oy Series A 2,390 20,892
Rocla Oy 1,300 10,604
*# Saunalahti Group Oyj 124,754 172,294
Scanfil Oyj 63,879 406,243
Sponda Oyj 109,111 877,237
Stockmann Oyj AB 35,240 794,290
* Stonesoft Corp. 49,279 36,161
Sysopen P.L.C. 7,720 31,554
Talentum Oyj 18,300 135,798
* Tecnomen Holding Oyj 49,370 69,479
# Teleste Corp. Oyi 14,699 100,496
Tulikivi Oyj 5,710 47,043
Turkistuottajat Oy 2,590 23,379
Uponor Oyj Series A 44,400 1,411,984
Vacon Oyj 14,537 195,157
Vaisala Oy Series A 19,050 418,738
Viking Line AB 10,360 256,781
Wartsila Corp. Oyj Series B 66,460 1,357,264
Yit-Yhtymae Oyj 67,708 1,346,318
Yomi Oyj 15,450 104,659
---------------
TOTAL -- FINLAND
(Cost $21,901,896) 30,669,408
---------------
DENMARK -- (4.1%)
COMMON STOCKS -- (4.1%)
Aarhus Oliefabrik A.S. Aeries A 4,950 261,794
* Alm. Brand A.S. 28,360 698,351
# Amagerbanken A.S. 2,734 278,442
Ambu International A.S. Series B 1,500 23,420
Amtssparekassen Fyn A.S. 2,243 264,732
AS Dampskibsselsk Torm 49,460 1,146,129
Bang & Olufsen Holding A.S.
Series B 13,387 778,490
* Bavarian Nordic A.S. 4,930 328,102
* Brodrene Hartmann A.S. Series B 5,865 100,121
Bryggerigruppen A.S. 8,515 559,580
# Christian Hansen Holding A.S.
Series B 10,855 659,833
# Codan A.S. 43,400 1,818,907
Dalhoff, Larsen & Hornemann A.S.
Series B 1,370 65,510
Danware A.S. 4,185 69,952
DFDS A.S., Copenhagen 11,760 448,812
DiskontoBanken A.S. 713 118,693
DSV, De Sammensluttede
Vognmaend A.S. 22,630 1,042,126
East Asiatic Co., Ltd. 22,723 1,009,259
Edb Gruppen A.S. 3,230 80,070
* Fimiston Resources & Technology Ltd. 400 3,675
* FLS Industries 73,180 991,184
Fluegger A.S. Series B 2,913 168,510
Foras Holding A.S. Series A 13,292 145,304
# Forstaedernes Bank 4,322 252,637
* Genmab A.S. 28,629 470,533
</Table>
226
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Glunz & Jensen A.S. 1,470 $ 9,435
GN Great Nordic A.S. 210,980 1,584,031
H&H International A.S. Series B 1,140 278,164
*# Harboes Bryggeri A.S. 575 135,909
Hedegaard (Peder P.) A.S. 660 42,388
Hojgaard Holding A.S. Series B 2,500 69,871
* IC Co. A.S. 3,510 21,322
* Incentive A.S. 3,575 10,859
* Junckers (F.) Industrier A.S. 860 1
* Jyske Bank A.S. 37,760 1,990,859
Kjobenhavns Sommer Tivoli A.S. 580 185,396
Koebenhavns Lufthavne 9,910 1,405,633
Kompan A.S. 230 34,618
Lan & Spar Bank A.S. 2,250 102,164
Lollands Bank 150 23,619
*# Neurosearch A.S. 9,160 290,933
NKT Holding A.S. 30,245 591,781
Nordjyske Bank A.S. 920 149,592
* NTR Holdings A.S. 1,130 7,636
Oestjydsk Bank 400 44,678
Ove Arkil Series B 270 27,395
Per Aarsleff A.S. Series B 1,545 57,621
* Pharmexa A.S. 3,235 9,887
* Pharmexa A.S. Issue 04 9,705 29,637
Ringkjobing Bank 1,670 101,376
Ringkjobing Landbobank 1,620 458,456
Rockwool, Ltd. 24,520 1,006,885
*# RTX Telecom A.S. 8,400 60,644
Salling Bank 250 22,156
Sanistal A.S. Series B 1,786 94,758
*# SAS Danmark A.S. 34,300 304,839
Satair A.S. 1,350 27,306
Schouw & Co. A.S. 15,485 333,494
Simcorp A.S. 5,240 207,857
Sjaelso Gruppen A.S. 2,388 172,549
Skjern Bank A.S. 725 49,117
* Sondagsavisen A.S. 21,165 75,193
Spar Nord Holding 6,823 598,270
Sparbank Vest A.S. 6,600 243,985
Sparekassen Faaborg A.S. 481 111,974
Sydbank A.S. 8,172 1,169,618
Thrane & Thrane A.S. 5,258 187,000
*# TK Development 12,478 26,845
* Topdanmark A.S. 28,300 1,711,231
* Treka A.S. 8,498 106,231
*# Vestas Wind Systems A.S. 27,377 364,922
* Vestas Wind Systems A.S. Issue 04 9,125 118,356
Vestfyns Bank 200 20,254
Vestjysk Bank A.S. 10,800 280,047
VT Holdings Shares B 3,130 138,945
* Wessel & Vett Magasin du Nord A.S.
Series C 2,102 39,566
---------------
TOTAL COMMON STOCKS
(Cost $17,507,964) 26,919,469
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone
(Cost $74,250) 74,909
---------------
RIGHTS/WARRANTS -- (0.0%)
* Vestas Wind Systems A.S.
Rights 06/03/04
(Cost $0) 2 $ 3
---------------
TOTAL -- DENMARK
(Cost $17,582,214) 26,994,381
---------------
NORWAY -- (3.7%)
COMMON STOCKS -- (3.7%)
* Aker Kvaerner ASA 73,730 1,177,219
Aktiv Kapital ASA 57,017 810,181
Arendals Fosse Kompani ASA 100 7,562
* Blom ASA 18,367 11,333
Bonheur ASA 16,850 432,715
* Choice Hotel Scandinavia ASA 27,740 74,400
* Corrocean ASA 19,321 7,353
Det Norske Oljeselskap ASA
Series A 85,320 335,757
*# DOF ASA 97,006 230,816
* EDB Elektronisk Data
Behandling ASA 149,417 902,984
Ekornes ASA 56,490 1,093,360
*# Eltek ASA 40,842 356,981
Expert ASA 48,758 318,254
Farstad Shipping ASA 60,790 521,174
*# Fjord Seafood ASA 783,483 351,473
*# Fred Olsen Energy ASA 91,600 595,414
Ganger Rolf ASA 6,690 158,303
Gresvig ASA 4,590 23,953
Hafslund ASA 58,700 305,825
* Home Invest ASA 15,077 11,233
* Industrifinans Naeringseiendom ASA 7,582 17,069
Kongsberg Gruppen ASA 49,500 641,109
Kverneland ASA 16,160 211,710
* Merkantildata ASA 320,521 240,821
Natural ASA 10,143 57,286
# Nera ASA 187,753 498,203
* Nordic Semiconductor ASA 25,000 93,778
* Northern Offshore, Ltd. 214,000 101,115
*# Ocean Rig ASA 105,531 283,380
Odfjell ASA Series A 24,910 779,714
Olav Thon Eiendomsselskap ASA 8,320 370,922
* P4 Radio Hele Norge ASA 32,200 44,142
* Photocure ASA 26,690 208,467
Prosafe ASA 55,980 1,226,476
Rieber and Son ASA Series A 63,654 526,927
Schibsted ASA 112,960 1,984,868
* Sinvest ASA 6,220 9,920
Smedvig ASA Series A 83,580 785,335
* Software Innovation ASA 13,423 59,416
Solstad Offshore ASA 54,100 403,803
Steen and Stroem ASA 19,512 362,974
Storebrand ASA 183,330 1,231,400
Tandberg ASA Series A 217,280 2,188,218
*# Tandberg Data ASA 58,950 128,375
* Tandberg Storage ASA 48,450 17,398
* Tandberg Television ASA 90,430 570,546
* Telecomputing ASA 44,963 75,209
*# Tgs-Nopec Geophysical Co. ASA 40,910 547,907
Tomra Systems ASA 294,480 1,185,566
* Tybring-Gjed ASA 145,145 60,495
</Table>
227
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Unit 4 Agresso NV 4,620 $ 47,499
Veidekke ASA 21,846 206,725
Visma ASA 47,393 494,421
Wilhelmshaven (Wilhelm), Ltd. ASA 30,400 844,901
---------------
TOTAL COMMON STOCKS
(Cost $19,143,084) 24,232,385
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone
(Cost $50,721) 50,620
---------------
TOTAL -- NORWAY
(Cost $19,193,805) 24,283,005
---------------
BELGIUM -- (3.5%)
COMMON STOCKS -- (3.5%)
* Abfin SA 2,560 0
# Ackermans & Van Haaren SA 32,186 768,565
* Arinso International NV 14,739 225,313
# Banque Nationale de Belgique 710 2,425,215
# Barco (New) NV 12,051 1,052,946
# Bekaert SA 23,290 1,345,848
BMT NV 2,040 268,903
Brantano NV 2,060 78,316
Brederode SA 12,180 247,184
Carrieres Unies Porphyre 20 32,363
# CFE (Compagnie Francois
d'Entreprises) 2,080 520,647
# Cie Martime Belge SA 8,237 774,390
Cofinimmo SA 9,778 1,253,737
Commerciale de Brasserie
SA COBRHA 115 118,559
# Deceuninck SA 63,700 2,060,616
# D'Ieteren SA 5,831 1,160,750
Distrigaz 57 109,360
* Docpharma SA NV 4,489 168,724
* Duvel Moorgat NV 5,019 146,297
EVS Broadcast Equipment SA 1,100 57,129
# Exmar NV 3,080 169,072
Floridienne NV 2,033 114,632
Glaces de Moustier-sur-Sambre SA 13,370 456,648
# Immobel (Cie Immobiliere de
Belgique SA) 4,600 186,388
* Integrated Production & Test
Engineering NV 4,380 25,132
*# Ion Beam Application SA 23,058 166,322
* Ipso-Ilg SA 5,990 47,597
Keytrade Bank SA 2,800 74,088
* Kinepolis Group NV 5,020 136,087
Lotus Bakeries NV 650 60,096
# Melexis NV 47,001 516,941
Metiers Automatiques Picanol 16,120 364,776
* Neuhaus NV 670 25,064
Nord-Sumatra Investissements SA 650 166,177
# Omega Pharma SA 26,708 1,291,876
Papeteries de Catala SA 315 36,581
Quick Restaurants SA 19,501 262,408
*# Real Software SA 10,280 6,292
Recticel SA 22,870 192,465
Resilux NV 1,754 143,326
Rosier SA 655 85,642
# Roularta Media Groep 9,837 $ 542,305
* Sait Radioholland 7,313 45,326
Sapec SA 3,635 270,918
* Sapec SA VVPR 75 124
Sioen Industries 21,502 239,937
* SIPEF (Societe Internationale de
Plantations & de Finance), Anvers 1,545 217,610
Societe Belge Des Betons SA 8,500 491,716
*# Solvus SA 38,344 568,173
* Solvus SA Interim Strip VVPR 18,176 222
Spector Photo Group SA 5,408 63,439
* Systemat SA 6,330 35,507
*# Telindus Group SA 39,392 380,048
Ter Beke NV 2,281 156,772
# Tessenderlo Chemie 28,984 1,014,591
*# Umicore-Strip VVPR 456 83
UNIBRA 1,600 143,561
Union Miniere SA 9,586 581,947
Van de Velde NV 2,683 314,928
VPK Packaging Group SA 7,185 224,333
Warehouses de Pauw Sicafi 6,608 250,094
---------------
TOTAL COMMON STOCKS
(Cost $16,261,563) 22,884,106
---------------
RIGHTS/WARRANTS -- (0.0%)
* Cofinimmo SA Rights 06/11/04
(Cost $0) 9,778 0
---------------
TOTAL -- BELGIUM
(Cost $16,261,563) 22,884,106
---------------
AUSTRIA -- (2.6%)
COMMON STOCKS -- (2.6%)
Andritz AG 13,609 629,977
* Austria Email AG 715 2,626
* Austrian Airlines/Oesterreichische
Luftverkehrs-Aktiengesellschaft 42,784 578,212
Bank Fuer Kaernten und
Steiermark AG 520 60,373
* Betandwin.com Interactive
Entertainment AG 12,749 401,870
Bohler Uddeholm AG 11,195 853,701
BWT AG 21,819 533,887
* Ca Immobilien Invest AG 28,791 686,371
Constantia-Iso Holding AG 15,000 165,504
Constantia-Verpackungen AG 19,123 455,606
Flughafen Wien AG 25,698 1,430,185
* Immofinanz Immobilien
Anlagen AG 165,130 1,305,119
* Lenzing AG 3,948 819,262
Manner (Josef) & Co. AG 870 39,309
Mayr-Melnhof Karton AG 11,760 1,411,719
Oberbank AG 5,384 494,560
Palfinger AG 10,383 352,584
* Readymix Kies-Union AG 500 55,632
* RHI AG, Wien 19,649 408,075
Rosenbauer International AG 1,530 92,610
* Sparkassen Immobilien 29,760 283,539
Ubm Realitaetenentwicklung AG 360 42,216
Uniqa Versicherungen AG 128,555 1,573,600
* VA Technologie AG 17,392 928,120
</Table>
228
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Voestalpine AG 30,095 $ 1,342,886
Wienerberger AG 63,642 2,156,762
*# Wolford AG 4,900 136,346
---------------
TOTAL COMMON STOCKS
(Cost $12,179,339) 17,240,651
---------------
RIGHTS/WARRANTS -- (0.0%)
* Jenbacher AG Rights 03/31/08 7,860 0
* Wienerberger AG Rights 06/02/04 63,642 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
---------------
TOTAL -- AUSTRIA
(Cost $12,179,339) 17,240,651
---------------
IRELAND -- (2.6%)
COMMON STOCKS -- (2.6%)
Abbey P.L.C. 25,557 243,724
* Arcon International Resources P.L.C. 143,750 6,070
* Ardagh P.L.C. 14,262 20,899
DCC P.L.C. 91,965 1,496,544
* Dragon Oil P.L.C. 104,167 85,671
* Elan Corp. P.L.C. 154,046 3,637,877
Fyffes P.L.C. 380,502 744,692
Glanbia P.L.C. 321,765 873,552
* Grafton Group P.L.C. 253,939 1,826,994
Greencore Group P.L.C. 218,422 826,444
Heiton Holdings P.L.C. 51,677 303,186
IAWS Group P.L.C. 105,879 1,191,636
IFG Group P.L.C. 37,599 48,251
Independent News & Media P.L.C. 618,550 1,463,247
* Iona Technologies P.L.C. 21,281 110,028
* Irish Intercontental Group P.L.C. 18,872 247,600
IWP International P.L.C. 39,611 14,995
Jurys Hotel Group P.L.C. 69,061 839,965
Kingspan Group P.L.C. 183,188 1,084,945
McInerney Holdings P.L.C. 33,991 199,328
Paddy Power P.L.C. 49,663 576,587
Readymix P.L.C. 109,762 209,581
* Ryan Hotels P.L.C. 68,061 108,209
United Drug P.L.C. 190,860 626,973
Waterford Wedgwood P.L.C. 1,026,650 245,963
---------------
TOTAL -- IRELAND
(Cost $9,414,821) 17,032,961
---------------
PORTUGAL -- (1.4%)
COMMON STOCKS -- (1.4%)
* Corticeira Amorim Sociedad Gestora
Participacoes Sociais SA 194,100 300,900
Efacec Capital SGPS SA 60,600 154,748
Ibersol SGPS SA 14,462 79,203
* Impresa Sociedade Gestora de
Participacoes Socias SA 190,166 884,290
* Investimentos Participacoes e
Gestao SA Inapa 43,702 166,889
* Jeronimo Martins (Estabelecimentos
Jeronimo Martins & Filho
Administracao e Participacoes
Financeiros SA) 130,000 1,534,348
Mota-Engil SGPS SA 250,900 528,610
* Novabase SGPS 56,005 409,732
Portucel-Empresa Produtora
de Pasta de Papel SA 466,977 $ 786,636
Sag Gest - Solucoes Automovel
Globais SGPS SA 235,500 376,183
Salvador Caetano - Industrias
Metalurgicas e Veiculos de
Transporte SA 54,900 245,318
* Sociedad Construcoes Soares
da Costa SA 19,200 68,200
Sociedade de Investimento e
Gestao SGPS SA 160,396 733,084
Sonae SGPS SA 1,079,900 1,121,565
* Sonaecom SGPS SA 321,175 1,180,914
Teixeira Duarte Engenharia e
Construcoes SA 609,000 891,595
---------------
TOTAL -- PORTUGAL
(Cost $6,340,397) 9,462,215
---------------
EMU -- (0.1%)
INVESTMENT IN CURRENCY -- (0.1%)
* Euro Currency
(Cost $413,489) 413,235
---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* InFocus Corp. 10,455 84,267
---------------
UNITED KINGDOM -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling
(Cost $7,676) 8,904
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (16.5%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $2,355,000
FHLB Notes 3.375%, 06/15/04,
valued at $2,393,269) to be
repurchased at $2,357,000
(Cost $2,357,000) $ 2,357 2,357,000
Repurchase Agreement, Mizuho
Securities USA 1.00%, 06/01/04 (Collateralized
by $112,867,000 U.S. Treasury Obligations rates
ranging from 2.625% to 4.25%, maturities ranging
from 08/15/08 to 08/15/13 valued at $109,888,930
to be repurchased at $107,746,214 (Cost $107,734,244)^ 107,734 107,734,244
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $498,965,942)++ $ 661,841,192
===============
</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 $498,965,972.
See accompanying Notes to Financial Statements.
229
<Page>
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
TAIWAN -- (9.8%)
COMMON STOCKS -- (9.1%)
Accton Technology Corp. 99,296 $ 63,940
Acer, Inc. 559,767 822,843
* Advanced Semiconductor
Engineering, Inc. 1,040,500 771,006
Advantech Co., Ltd. 91,706 187,068
Amtran Technology Co., Ltd. 66,080 56,720
* Arima Computer Corp. 178,800 61,738
Asia Cement Corp. 550,000 305,020
Askey Computer Co., Ltd. 60,200 38,760
Asustek Computer, Inc. 654,875 1,600,777
Au Optronics Corp. 1,308,487 2,589,328
Benq Corp. 563,600 800,659
Catcher Co., Ltd. 38,000 147,082
Cathay Financial Holdings Co., Ltd. 1,215,529 2,168,783
* Cathay Real Estate Development
Co., Ltd. 447,213 256,570
* Chang Hwa Commercial Bank 985,796 562,068
Cheng Shin Rubber Industry Co., Ltd. 257,698 329,662
Cheng Uei Precision Industry Co., Ltd. 39,215 74,618
* Chi Mei Optoelectronic Corp. 967,000 2,090,645
Chicony Electronics Co., Ltd. 80,240 150,010
* China Airlines 711,579 393,108
* China Development Financial
Holdong Co., Inc. 3,221,000 1,728,581
China Motor Co., Ltd. 362,628 514,515
China Steel Corp. 2,747,916 2,495,074
* Chinatrust Financial Holdings Co.,
Ltd. 350,024 388,171
* Chungwa Picture Tubes Co., Ltd. 1,856,298 1,096,034
* CMC Magnetics Corp. 876,400 590,303
Compal Electronics 919,810 1,129,982
* Compeq Manufacturing Co., Ltd. 131,300 53,203
* Cosmos Bank Taiwan 478,000 226,896
CTB Financial Holding Co., Ltd. 3,104,535 2,076,588
Delta Electronics Industrial Co., Ltd. 370,027 509,851
D-Link Corp. 138,100 178,375
* E.Sun Financial Holding Co., Ltd. 676,000 443,550
Elitegroup Computer Systems Co.,
Ltd. 100,750 64,779
Eternal Chemical Co., Ltd. 93,000 49,751
Eva Airways Corp. 687,762 322,081
Evergreen Marine Corp., Ltd. 578,682 468,867
Far East Textile, Ltd. 896,980 501,385
Far Eastern International Bank 409,000 207,409
* First Financial Holding Co., Ltd. 1,333,000 1,004,925
Formosa Chemicals & Fiber Co., Ltd. 1,313,491 1,885,361
Formosa Plastics Corp. 1,397,123 2,002,693
Formosa Taffeta Co., Ltd. 428,203 181,273
Fu Sheng Industria 145,863 284,237
Fubon Financi 2,418,052 2,406,652
Fuh-Hwa Financial Holding Co., Ltd. 780,799 340,233
Giga-Byte Technology Co., Ltd. 159,200 251,123
* High Tech Computer Corp. 58,000 250,724
Hon Hai Precision Industry Co., Ltd. 569,832 2,336,582
Hotai Motor Co., Ltd. 147,000 $ 201,110
* Hsinchu International Bank 348,000 196,132
* Hua Nan Financial Holding Co., Ltd. 735,000 638,623
* International Bank of Taipei 444,122 292,907
Inventec Corp. 546,560 358,935
* King Yuan Electronics Co., Ltd. 127,000 125,839
Kinpo Electronics, Inc. 189,200 99,252
* Largan Precision Co., Ltd. 25,000 294,095
Lite-On Technology Corp. 674,646 756,411
* Macronix International Co., Ltd. 1,188,500 429,093
Media Tek, Inc. 172,390 1,652,012
Micro-Star International Co., Ltd. 180,700 212,378
Mitac International Corp. 166,000 77,174
* Mosel Vitelic Inc. Co., Ltd. 300,826 60,480
Nan Ya Plastic Corp. 1,804,156 2,427,710
* Nanya Technology Co., Ltd. 1,038,989 773,262
Nien Hsing Textile Co., Ltd. 95,000 92,909
* Nien Made Enterprise Co., Ltd. 45,216 78,660
* Optimax Technology Corp. 70,694 286,621
Oriental Union Chemical Corp. 106,920 117,129
* Pacific Electric Wire & Cable Corp. 233,200 3,639
Pihsiang Machinery Mfg. Co., Ltd. 32,760 78,576
Pou Chen Corp. 470,415 469,879
Premier Image Technology Corp. 138,800 208,031
President Chain Store Corp. 230,927 415,807
Quanta Computer, Inc. 755,255 1,722,149
* Quanta Display, Inc. 189,000 150,505
Realtek Semiconductor Corp. 175,920 231,852
* Ritek Corp. 565,750 309,010
* Shin Kong Fin 654,000 617,414
* Silicon Integrated Systems Corp. 361,000 191,975
* Siliconware Precision Industries Co.,
Ltd. 508,000 395,772
* SinoPac Holdings 270,000 145,021
Sunplus Technology Co., Ltd. 193,950 395,684
Synnex Tech International Corp. 160,800 279,463
Systex Corp., Ltd. 159,500 75,676
Taishin Financial Holdings Co., Ltd. 1,029,000 931,422
* Taiwan Business Bank 579,120 197,190
Taiwan Cement Corp. 686,697 315,118
Taiwan Glass Ind. Corp. 346,370 270,386
Taiwan Life Insurance Co., Ltd. 92,000 161,454
* Taiwan Semiconductor Manufacturing
Co., Ltd. 5,223,480 9,180,975
Taiwan Styrene Monomer Corp. 84,700 64,661
* Tatung Co., Ltd. 1,133,000 463,767
Teco Electric & Machinery Co., Ltd. 501,000 173,513
* The Farmers Bank of China 375,000 122,725
Tong Yang Industry Co., Ltd. 76,220 129,370
Transcend Information, Inc. 29,344 71,763
U-Ming Marine Transport Corp. 167,000 210,388
Uni-President Enterprises Corp. 916,020 406,730
* United Microelectronics Corp. 4,222,381 3,660,881
Via Technologies, Inc. 342,245 330,471
* Walsin Lihwa Corp. 881,000 428,594
Wan Hai Lines Co., Ltd. 377,080 309,833
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<Caption>
SHARES VALUE+
------ ------
* Waterland Financial Holdings 572,000 $ 212,782
* Winbond Electronics Corp. 1,108,000 559,804
Ya Hsin Industrial Co., Ltd. 130,212 172,744
* Yageo Corp. 608,440 320,007
Yang Ming Marine Transport Corp. 587,000 515,956
Yieh Phui Enterprise Co., Ltd. 248,300 170,723
* Yuen Foong Yu Paper Manufacturing
Co., Ltd. 354,650 194,688
Yulon Motor Co., Ltd. 370,200 416,042
Zyxel Communication Corp. 85,200 179,245
---------------
TOTAL COMMON STOCKS
(Cost $62,538,444) 72,492,020
---------------
INVESTMENT IN CURRENCY -- (0.7%)
* Taiwan Dollar
(Cost $5,304,822) 5,316,923
---------------
TOTAL -- TAIWAN
(Cost $67,843,266) 77,808,943
---------------
SOUTH AFRICA -- (9.7%)
COMMON STOCKS -- (9.7%)
* ABSA Group, Ltd. 392,236 2,808,341
African Oxygen, Ltd. 206,548 568,342
* Amalgamated Beverage Industries,
Ltd. 80,191 853,932
Anglo American PLC 662,129 13,979,129
Anglo American Platinum Corp., Ltd. 138,689 5,108,275
Anglogold, Ltd. 141,049 4,952,254
AVI, Ltd. 145,875 385,791
Barloworld, Ltd. 105,674 1,124,273
Bidvest Group, Ltd. 156,588 1,251,287
* Dimension Data Holdings PLC 246,926 137,920
* Discovery Holdings, Ltd. 167,710 322,811
Edgars Consolidated Stores, Ltd. 26,859 576,642
Firstrand, Ltd. 3,379,947 5,160,785
Gold Fields, Ltd. 251,697 2,910,853
Harmony Gold Mining Co., Ltd. 137,081 1,643,723
Impala Platinum Holdings, Ltd. 32,630 2,411,426
Imperial Holdings, Ltd. 116,858 1,252,138
* Investec, Ltd. 23,111 427,873
Iscor, Ltd. 285,549 1,485,446
* JD Group, Ltd. 87,800 538,222
Kumba Resources, Ltd. 15,092 83,350
Liberty Group, Ltd. 173,556 1,389,397
* Massmart Holdings, Ltd. 95,249 458,992
* MTN Group, Ltd. 966,699 4,338,354
Nampak, Ltd. 313,953 670,144
* Naspers, Ltd. Series N 145,439 1,019,369
Nedcor, Ltd. 216,270 2,068,268
* Network Healthcare Holdings, Ltd. 888,707 603,536
Old Mutual PLC 1,763,742 3,081,574
* Pick'n Pay Stores, Ltd. 309,695 816,365
Pretoria Portland Cement Co., Ltd. 30,295 661,038
Sanlam, Ltd. 1,300,739 1,763,089
Sappi, Ltd. 117,144 1,634,751
Standard Bank Group, Ltd. 686,654 4,424,884
* Steinhoff International Holdings, Ltd. 605,515 760,766
* Telkom SA, Ltd. 355,518 4,290,927
Tiger Brands, Ltd. 30,753 $ 424,323
* Woolworths Holdings, Ltd. 402,268 434,773
---------------
TOTAL COMMON STOCKS
(Cost $77,209,321) 76,823,363
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* South African Rand
(Cost $64) 69
---------------
TOTAL -- SOUTH AFRICA
(Cost $77,209,385) 76,823,432
---------------
SOUTH KOREA -- (8.9%)
COMMON STOCKS -- (8.9%)
Amorepacific Corp. 2,930 503,270
* Cho Hung Bank Co., Ltd. 155,557 338,978
CJ Corp. 6,550 346,102
Daelim Industrial Co., Ltd. 9,830 326,831
Daewoo Engineering & Construction
Co., Ltd. 77,960 270,737
* Daewoo Heavy Industries &
Machinery, Ltd. 48,150 323,874
* Daewoo Securities Co., Ltd. 56,445 182,018
Daewoo Shipbuilding & Marine
Engineering Co., Ltd. 66,720 718,816
Daishin Securities Co., Ltd. 5,340 62,484
Halla Climate Control Corp. 30,000 228,055
Hankook Tire Manufacturing Co., Ltd. 42,940 339,308
Hanwha Chemical Corp. 32,000 183,489
Hite Brewery Co., Ltd. 7,100 458,608
Hyundai Development Co. 24,000 254,861
Hyundai Heavy Industries Co., Ltd. 24,070 587,034
* Hyundai Merchant Marine Co., Ltd. 27,000 182,509
Hyundai Mobis 26,460 1,078,985
Hyundai Motor Co., Ltd. 95,919 3,671,963
* Hyundai Securities Co., Ltd. 61,090 249,158
INI Steel Co., Ltd. 33,910 252,556
* Kangwon Land, Inc. 20,000 218,543
Kia Motors Corp. 128,970 1,102,902
* Kookmin Bank 139,085 4,795,792
Korea Electric Power Corp. 232,010 3,742,507
* Korea Exchange Bank 166,780 839,328
Korea Gas 27,040 731,727
* Korean Air Co., Ltd. 20,670 261,372
KT Corp. 67,490 2,284,767
KT&G Corp. 62,340 1,415,438
Kumgang Korea Chemical Co., Ltd. 3,000 301,092
LG Chemical Investment, Ltd. 95,890 1,313,208
LG Chemical, Ltd. 28,206 990,902
LG Electronics, Inc. 40,160 2,328,042
LG Engineering & Construction
Corp. 12,480 194,715
* LG Investment & Securities Co., Ltd. 29,880 228,429
LG Petrochemical Co., Ltd. 13,070 260,402
* NCsoft Corp. 2,250 185,218
Nong Shim Co., Ltd. 1,710 321,052
POSCO 24,840 3,096,722
Pusan Bank 34,160 208,723
S1 Corp. 16,638 359,710
Samsung Corp. 41,960 527,726
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<Caption>
SHARES VALUE+
------ ------
* Samsung Electro-Mechanics Co., Ltd. 32,707 $ 1,024,695
Samsung Electronics Co., Ltd. 37,988 16,940,498
Samsung Fire and Marine Insurance,
Ltd. 21,719 1,387,941
Samsung Heavy Industries Co., Ltd. 66,240 285,468
Samsung SDI Co., Ltd. 20,352 2,240,599
Samsung Securities Co., Ltd. 18,040 321,187
* Samsung Techwin Co., Ltd. 28,000 234,982
* Seoul Bank 38,700 858,260
Shinhan Financial Group Co., Ltd. 151,242 2,440,589
Shinsegae Co., Ltd. 4,610 1,035,789
SK Corp., Ltd. 55,584 2,379,221
SK Telecom Co., Ltd. 17,960 3,025,591
S-Oil Corp. 53,150 2,087,466
* Ssangyong Motor Co. 39,000 245,793
---------------
TOTAL -- SOUTH KOREA
(Cost $38,998,017) 70,776,032
---------------
MEXICO -- (8.9%)
COMMON STOCKS -- (8.9%)
Alfa S.A. de C.V. Series A 375,190 1,232,934
America Movil S.A. de C.V. Series L 6,377,000 11,176,445
* America Telecom S.A. de C.V.
Series A 2,243,071 4,245,746
* Carso Global Telecom S.A. de C.V.
Telecom Series A1 2,183,071 3,223,480
Cementos de Mexico S.A. de C.V.
Series B 970,682 5,665,112
Coca Cola Femsa S.A. de C.V.
Series L 374,700 794,943
* Consorcio Ara S.A. 157,500 432,965
Controladora Comercial Mexicana
S.A. de C.V. Series B 633,700 744,125
* Corporacion Interamericana de
Entramiento S.A. de C.V. Series B 75,000 158,393
* Corporacion Mexicana de
Restaurantes S.A. de C.V. Series B 1,107 102
Corporativo Fragua S.A. de C.V.
Series B 21 55
* Desc S.A. de C.V. Series B 619,841 181,963
El Puerto de Liverpool S.A. Series C1 339,500 478,986
Embotelladora Arca SA de CV, Mexico 466,500 856,023
* Empresas ICA Sociedad Controladora
S.A. de C.V. 623,700 191,840
Empresas la Moderna S.A. de C.V.
Series A 120,000 25,448
Fomento Economico Mexicano
Series B & D 554,000 2,370,090
Gruma S.A. de C.V. Series B 90,406 151,713
Grupo Carso S.A. de C.V. Series A-1 542,000 2,089,822
Grupo Continental S.A. 358,600 559,355
Grupo Elektra S.A. de C.V. 114,000 593,401
Grupo Financiero del Norte S.A
Series C 340,000 1,188,801
Grupo Financiero GBM Atlantico
S.A. de C.V. Series L 22,746 4,784
Grupo Financiero Inbursa S.A. de C.V.
Series O 1,697,097 2,157,900
* Grupo Gigante S.A. de C.V. Series B 117,282 75,026
Grupo Industrial Bimbo S.A. de C.V.
Series A 711,500 1,536,912
* Grupo Industrial Maseca S.A. de C.V.
Series B 229,000 $ 100,438
Grupo Modelo S.A. de C.V. Series C 1,806,300 4,479,542
* Grupo Nutrisa S.A. de C.V. 129 29
* Grupo Qumma S.A. de C.V. Series B 1,591 25
Grupo Televisa S.A. (Certificate
Representing Series A,
Series D & Series L) 1,510,000 3,175,744
* Grupo Tribasa S.A. de C.V. 2,120 0
* Hylsamex S.A. de C.V. 93,914 133,322
* Hylsamex S.A. de C.V. Series B 60,000 84,652
Industrias Penoles S.A. de C.V. 247,800 890,312
Kimberly Clark de Mexico S.A. de
C.V. Series A 648,000 1,700,705
* Nueva Grupo Mexico S.A. de C.V.
Series B 505,358 1,511,003
* Organizacion Soriana S.A. de C.V.
Series B 361,600 1,137,575
Telefonos de Mexico S.A. Series A 100,000 168,339
Telefonos de Mexico S.A. Series L 5,217,400 8,755,484
TV Azteca S.A. de C.V. Series A 1,387,100 717,162
* US Commercial Corp. S.A. de C.V. 223,000 116,859
Vitro S.A. 121,600 127,871
Walmart de Mexico S.A. de C.V.
Series V 2,320,149 6,933,060
---------------
TOTAL -- MEXICO
(Cost $50,739,967) 70,168,486
---------------
BRAZIL -- (8.3%)
PREFERRED STOCKS -- (6.4%)
Ambev Cia de Bebidas das Americas 12,453,835 2,356,946
Aracruz Celulose SA Series B 711,999 2,304,405
Banci Itau Holding Financeira 68,900,000 5,813,924
Banco Bradesco SA 82,118 3,517,639
Brasil Telecom Participacoes SA 164,643,872 946,211
Brasileira de Distribuicao Pao de
Acucar 38,610,000 576,845
* Braskem SA 30,000,000 472,411
Cimento Portland Itau 860,000 161,235
* Companhia Siderurgica Paulista 65,000 14,472
Compania Paranaense de Energia
Series B 100,000,000 305,905
Embratel Participacoes SA 143,582,922 331,274
Gerdau SA 200,304 2,143,944
Investimentos Itau SA 3,297,432 3,543,223
Klabin SA 542,875 702,462
* Lojas Renner SA 800,000 5,163
Siderurgica Belgo-Mineira 4,010,000 892,836
Siderurgica de Tubarao Sid Tubarao 37,920,000 1,064,672
Siderurgica Paulista Casipa Series B 325 3,146
Suzano de Papel e Celulose 143,544 592,889
Tele Centro Oeste Celular
Participacoes SA 230,437,922 658,075
Tele Norte Leste Participacoes SA 180,034,131 2,033,299
Telemar Norte Leste SA Series A 175,300,000 2,783,078
* Telesp Celular Participacoes 913,941,089 2,551,013
Telesp Participacoes SA 331,500,000 4,444,603
Telesudeste Celular Participacoes SA 81,000,000 131,994
Unibanco Unias de Bancos
Brasileiros SA 2,000,000 33,559
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<Caption>
SHARES VALUE+
------ ------
Unibanco-Uniao de Bancos
Brasileiros SA 13,713,000 $ 527,457
Usinas Siderurgicas de Minas
Gerais SA 118,039 1,137,349
Vale do Rio Doce Series A 223,160 9,649,384
Vale do Rio Doce Series B 81,160 0
Votorantim Celulose e Papel SA 12,467,325 776,482
Weg SA 185,000 423,846
---------------
TOTAL PREFERRED STOCKS
(Cost $37,226,680) 50,899,741
---------------
COMMON STOCKS -- (1.9%)
Ambev Cia de Bebidas das Americas 5,420,000 1,976,315
Brasil Telecom Participacoes SA 59,520,574 303,461
Brasil Telecom SA 409,930,875 1,388,924
Cemig Cia Ene 77,000,000 1,083,317
Cpfl Geracao Energia SA 3,140,000 5,573
Embraer Empresa Brasileira de
Aeronautica 525,521 3,342,375
* Embratel Participacoes 57,550,000 256,459
* Empresa Nasional de Comercio
Redito e Participacoes SAncorpar 480,000 929
Petroquimica do Sul Copesul 2,276,000 112,368
Siderurgica Nacional Sid Nacional 60,351,000 2,804,306
Souza Cruz Industria e Comercio 291,000 2,572,895
Tele Centro Oeste Celular
Participacoes SA 57,876,799 182,651
* Tele Centro Oeste Celular
Participacoes SA 1,365,528 4,309
* Tele Norte Celular Participacoes 57,624,254 13,016
Tele Norte Leste Participacoes SA 59,264,568 583,084
* Tele Sudeste Celular Participacoes SA 3,072,951 4,294
Tractebel Energia SA 96,600,000 268,074
---------------
TOTAL COMMON STOCKS
(Cost $11,162,959) 14,902,350
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Brazilian Real
(Cost $231) 219
---------------
TOTAL -- BRAZIL
(Cost $48,389,870) 65,802,310
---------------
ISRAEL -- (7.8%)
COMMON STOCKS -- (7.8%)
Africa-Israel Investments, Ltd. 108,700 2,159,744
Agis Industries (1983), Ltd. 71,436 2,003,187
Bank Hapoalim, Ltd. 2,309,640 5,918,274
Bank Leumi Le-Israel 2,802,069 5,148,201
* Bezeq Israeli Telecommunication
Corp., Ltd. 4,049,014 4,291,803
Blue Square Israel, Ltd. 16,186 173,511
CLAL Industries, Ltd. 289,038 1,374,645
CLAL Insurance, Ltd. 114,684 1,832,234
Delek Group, Ltd. 4,584 373,733
Discount Investment Corp. 66,100 1,519,035
Elbit Systems, Ltd. 98,319 1,815,882
* Elron Electronic Industries, Ltd. 0 4
* First International Bank of Israel 48,660 259,925
* First International Bank of Israel, Ltd. 347,200 377,530
IDB Development Corp., Ltd.
Series A 101,015 $ 2,306,607
IDB Holding Corp., Ltd. 36,578 628,339
Israel Chemicals, Ltd. 2,410,526 4,145,038
Israel Corp. Series A 5,500 877,081
* Koor Industries, Ltd. 25,971 984,923
M.A.Industries, Ltd. 843,283 3,520,356
Migdal Insurance Holdings 2,079,107 2,813,598
Osem Investment, Ltd. 210,522 2,301,869
Strauss Elite, Ltd. 33,250 305,002
Super-Sol, Ltd. Series B 372,926 841,904
Tefahot Israel Mortgage Bank, Ltd. 56,600 524,862
Teva Pharmaceutical Industries, Ltd. 209,140 13,734,393
United Mizrahi Bank, Ltd. 384,693 1,274,138
---------------
TOTAL -- ISRAEL
(Cost $37,527,997) 61,505,818
---------------
TURKEY -- (7.4%)
COMMON STOCKS -- (7.4%)
Akbank T.A.S 1,811,999,062 7,604,412
* Anadolu Efes Biracilik ve Malt
Sanayi A.S. 182,246,814 2,257,545
* Arcelik A.S. 1,549,702,646 7,236,348
Aygaz A.S. 593,998,416 1,189,366
* BSH Profilo Elektrikli Gerecler
Sanayii A.S. 4,725,086 55,114
* Dogan Sirketler Grubu Holdings A.S. 577,649,971 981,646
* Dogan Yayin Holding A.S. 282,794,524 839,612
Enka Insaat Ve Sanayi A.S. 164,940,663 3,159,694
* Eregli Demir ve Celik Fabrikalari
Turk A.S. 145,031,000 3,701,503
Ford Otomotiv Sanayi A.S. 722,990,000 5,114,990
* Hurriyet Gazetecilik ve
Matbaacilik A.S. 370,163,648 945,235
Koc Holding A.S. 1,058,111,057 4,374,954
Migros Turk A.S. 450,270,375 2,089,777
* Tat Konserve Sanayii A.S. 36 0
* Tofas Turk Otomobil Fabrikasi A.S. 1,489,092,271 2,560,485
Trakya Cam Sanayii A.S. 187,301,438 423,729
Tupras-Turkiye Petrol Rafineleri A.S. 289,886,950 1,745,862
* Turk Sise de Cam Fabrikalari A.S.
Issue 04 178,179,930 290,736
* Turk Sise ve Cam Fabrikalari A.S. 430,349,924 724,861
* Turkiye Garanti Bankasi A.S. 1,549,482,967 4,318,556
Turkiye Is Bankasi A.S. Series C 1,741,718,616 5,853,375
* Vestel Elektronik Sanayi Ticaret A.S. 240,241,000 741,018
* Yapi ve Kredi Bankasi A.S. 1,232,184,338 2,591,757
---------------
TOTAL COMMON STOCKS
(Cost $30,184,710) 58,800,575
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Turkish Lira
(Cost $155) 150
---------------
TOTAL -- TURKEY
(Cost $30,184,865) 58,800,725
---------------
INDONESIA -- (7.4%)
COMMON STOCKS -- (7.4%)
PT Astra Agro Lestari Tbk 2,153,000 581,077
PT Astra International Tbk 8,470,461 5,247,437
</Table>
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<Caption>
SHARES VALUE+
------ ------
PT Bank Central Asia Tbk 990,000 $ 394,856
PT Bank Danamon Indonesia Tbk 1,762,000 564,668
PT Bimantara Citra Tbk 1,758,000 550,943
PT Gudang Garam Tbk 4,695,500 7,334,130
PT Hanjaya Mandala Sampoerna Tbk 13,377,500 7,074,322
* PT Indocement Tunggal Prakarsa Tbk 7,362,000 1,271,541
PT Indofood Sukses Makmur Tbk 18,886,400 1,429,908
PT Indonesian Satellite Corp.Tbk 14,967,500 6,394,373
PT International Nickel Indonesia Tbk 145,000 507,470
PT Kalbe Farma Tbk 2,500,000 97,164
* PT Lippo Bank Tbk Series A 3,281,200 194,890
* PT Lippo Land Development Tbk 166,500 12,566
* PT Makindo Tbk 2,236,500 241,132
* PT Medco Energi International Tbk 9,754,000 1,474,625
* PT Panasia Indosyntec Tbk 75,100 3,198
PT Ramayana Lestari Sentosa Tbk 4,004,000 1,750,783
PT Sari Husada Tbk 13,793 29,013
PT Semen Gresik Tbk 1,739,502 1,741,826
PT Telekomunikasi Indonesia
(Persero) Tbk Series B 18,576,820 14,695,839
PT Tempo Scan Pacific 646,000 484,226
PT Unilever Tbk 16,022,000 6,211,478
---------------
TOTAL -- INDONESIA
(Cost $47,714,707) 58,287,465
---------------
THAILAND -- (7.0%)
COMMON STOCKS -- (7.0%)
* Advance Agro Public Co., Ltd.
(Foreign) 534,100 296,210
Advance Info Service Public Co.,
Ltd. (Foreign) 5,982,000 13,122,948
* Aromatics (Thailand) Public Co., Ltd.
(Foreign) 1,387,500 1,598,857
Bangkok Expressway Public Co., Ltd.
(Foreign) 1,794,100 1,034,803
* Bank of Asia Public Co., Ltd. (Foreign) 9,363,000 1,177,010
* Bank of Ayudhya Public Co., Ltd.
(Foreign) 5,174,500 1,568,803
Banpu Public Co., Ltd. (Foreign) 132,000 400,197
BEC World Public Co., Ltd. (Foreign) 3,915,000 1,592,248
* Capetronic International (Thailand)
Public Co., Ltd. (Foreign) 4,490,000 227,986
Central Pattana Public Co., Ltd.
(Foreign) 4,177,500 916,434
Charoen Pokphand Foods Public Co.,
Ltd. (Foreign) 14,442,000 1,238,801
* DBS Thai Danu Bank Public Co., Ltd.
(Foreign) 842,200 65,599
Delta Electronics (Thailand) Public Co.,
Ltd. (Foreign) 4,100,710 2,456,181
Hana Microelectronics Public Co., Ltd.
(Foreign) 238,300 734,225
* International Broadcasting Corp.
Public Co., Ltd. (Foreign) 612,000 268,514
Krung Thai Bank Public Co., Ltd.
(Foreign) 17,302,970 4,691,463
Land & Houses Public Co., Ltd.
(Foreign) 2,130,310 546,099
National Finance and Securities
Public Co., Ltd. (Foreign) 630,150 229,880
National Petrochemical Public Co.,
Ltd. (Foreign) 441,500 $ 979,418
Ratchaburi Electricity Generating
Holding Public Co., Ltd. (Foreign) 2,200,000 1,979,295
Shin Corporation Public Co., Ltd.
(Foreign) 6,122,000 5,281,489
Shinawatra Satellite Public Co., Ltd.
(Foreign) 2,762,450 871,564
Siam Cement Public Co., Ltd.
(Foreign) 270,000 1,530,688
Siam City Cement Public Co., Ltd.
(Foreign) 633,413 3,559,728
Siam Commercial Bank Public Co.,
Ltd. (Foreign) 2,549,166 2,874,645
Siam Makro Public Co., Ltd.
(Foreign) 727,100 860,261
* Telecomasia Corp. Public Co., Ltd.
(Foreign) 6,977,800 1,049,164
* Thai Military Bank Public Co., Ltd.
(Foreign) 11,657,100 1,022,905
Thai Stanley Electric (Thailand)
Public Co., Ltd. (Foreign) 89,000 574,760
Thai Union Frozen Products
Public Co., Ltd. (Foreign) 3,178,520 1,942,995
TISCO Finance Public Co., Ltd.
(Foreign) 1,231,100 842,076
Vanachai Group Co-Foreign 950,200 252,950
---------------
TOTAL COMMON STOCKS
(Cost $48,898,097) 55,788,196
---------------
RIGHTS/WARRANTS -- (0.0%)
* Telecomasia Corp. Public Co., Ltd.
(Foreign) Warrants 03/31/08
(Cost $0) 1,444,563 0
---------------
TOTAL -- THAILAND
(Cost $48,898,097) 55,788,196
---------------
MALAYSIA -- (6.6%)
COMMON STOCKS -- (6.6%)
AMFB Holdings Berhad 317,000 508,893
AMMB Holdings Berhad 1,131,731 1,029,696
* Aokam Perdana Berhad 333 5
Berjaya Sports Toto Berhad 622,000 674,707
British American Tobacco Berhad 175,000 2,210,132
Commerce Asset Holding Berhad 1,759,000 2,258,743
* Digi.Com Berhad 449,862 554,142
Diversified Resources Berhad 581,000 278,214
Gamuda Berhad 510,000 730,954
Genting Berhad 477,000 1,944,494
Golden Hope Plantations Berhad 711,000 639,501
Hong Leong Bank Berhad 874,250 1,061,871
Hong Leong Credit Berhad 795,429 849,788
Hong Leong Properties Berhad 175,328 24,713
IOI Corp. Berhad 665,000 1,415,772
IOI Oleochemical Industries Berhad 22,041 56,280
IOI Properties Berhad 103,000 194,061
Kuala Lumpur Kepong Berhad 462,500 772,044
Magnum Corp. Berhad 1,007,500 678,929
Malakoff Berhad 566,000 825,460
Malayan Banking Berhad 2,028,500 5,498,743
</Table>
234
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Malayan Cement Berhad 1,739,000 $ 359,544
Malaysia Mining Corp. Berhad 675,000 356,340
* Malaysian Airlines System Berhad 889,000 1,096,117
Malaysian International Shipping
Corp. (Foreign) 667,666 2,092,228
Malaysian Pacific Industries 136,000 566,217
Maxis Communications Berhad 151,000 333,847
* MBF Holdings Berhad 7,050 241
Nestle (Malaysia) Berhad 146,000 844,876
Oriental Holdings Berhad 168,000 172,315
Oyl Industries Berhad 89,000 849,452
Perusahaan Otomobil Nasional
Berhad 389,000 803,592
Petronas Dagangan Berhad 322,000 576,326
Petronas Gas Berhad 1,344,000 2,422,746
* Plus Expressways Berhad 440,000 251,373
PPB Group Berhad 348,000 595,426
Public Bank Berhad 1,550,201 2,529,275
Resorts World Berhad 743,000 1,731,416
RHB Capital Berhad 1,185,000 602,164
* Silverstone Corp. Berhad 11,587 746
Sime Darby Berhad (Malaysia) 1,479,800 2,046,924
Southern Bank Berhad 48,440 33,791
Southern Bank Berhad (Foreign) 734,437 512,122
Telekom Malaysia Berhad 1,873,000 4,830,628
Tenaga Nasional Berhad 1,759,000 4,398,924
* Time Dotcom Berhad 1,518,000 391,529
UMW Holdings Berhad 268,333 353,042
YTL Corp. Berhad 981,362 1,135,780
---------------
TOTAL -- MALAYSIA
(Cost $49,078,638) 52,094,123
---------------
UNITED STATES -- (5.0%)
COMMON STOCKS -- (5.0%)
Banco Bilboa Vizcaya Argentaria
Chile SA ADR 64,200 1,547,220
Banco de Chile Series F ADR 47,643 1,403,086
Banco Santander Chile Sponsored
ADR 295,998 7,849,867
* Chilesat Corp. S.A. ADR 788 1,812
Cia Telecom de Chile ADR 421,400 5,018,874
Compania Cervecerias Uni ADR 115,400 2,313,770
Cristalerias de Chile SA ADR 35,600 779,996
Distribucion y Servicio D&S SA ADR 176,800 2,584,816
Embotelladora Andina SA Andina
ADR 109,600 1,233,000
Embotelladora Andina SA Andina
Series B ADR 89,100 1,006,830
Empresa Nacional de Elec ADR 514,018 6,512,608
Enersis SA ADR 285,903 1,769,740
Grupo Financiero Galicia S.A. ADR 211,011 1,187,992
Lan Chile SA ADR 125,900 2,159,185
* Madeco SA 4,450 27,234
Masisa SA ADR 25,100 310,738
Sociedad Quimica y Minera de
Chile SA ADR 61,300 2,182,893
Sociedad Quimica y Minera de
Chile SA ADR Class A 902 34,006
Vina Concha y Toro SA Conchatoro
ADR 27,100 $ 1,222,210
---------------
TOTAL -- UNITED STATES
(Cost $39,950,627) 39,145,877
---------------
HUNGARY -- (3.4%)
COMMON STOCKS -- (3.4%)
Budapesti Elektromos Muvek RT 185 12,963
Delmagyarorszagi Aramszolgaltato
Demasz RT 2,275 127,035
Egis RT 37,757 1,467,774
Gedeon Richter, Ltd. 46,937 4,627,712
Magyar Olay-Es Gazipari RT 168,429 6,459,737
Matav RT 1,050,555 4,094,090
* Orszagos Takerekpenztar es
Keresdelmi Bank RT 386,220 8,065,863
* Tiszai Vegyi Kombinat RT 117,534 2,153,562
---------------
TOTAL -- HUNGARY
(Cost $15,788,433) 27,008,736
---------------
POLAND -- (3.4%)
COMMON STOCKS -- (3.4%)
* Agora SA 98,779 1,176,349
Bank Polska Kasa Opieki - Grupa
Pekao SA 156,792 5,095,264
Bank Przemyslowo Handlowy Pbk 31,526 3,497,934
Bank Zackodni Wbk SA 93,312 2,112,519
* Big Bank Gdanski SA 2,029,541 1,635,576
Browary Zywiec SA 15,860 1,731,197
* Budimex SA 36,763 454,010
* Cersanit-Krasnystaw SA 19,143 489,646
Debica SA 19,800 681,375
Frantschach Swiecie SA 103,599 1,693,832
* Kredyt Bank SA 418,562 1,003,684
* Netia Holdings SA 495,665 555,557
* Optimus Technologie 6,873 19,199
Orbis SA 77,409 479,683
Polski Koncern Naftowy Orlen S.A. 267,237 2,000,335
* Prokom Software SA 21,336 1,043,317
Telekomunikacja Polska SA 712,274 2,757,406
Zaklady Metali Lekkich Kety SA 15,120 486,133
---------------
TOTAL -- POLAND
(Cost $20,586,160) 26,913,016
---------------
PHILIPPINES -- (3.3%)
COMMON STOCKS -- (3.3%)
Aboitiz Equity Ventures, Inc. 7,803,400 405,952
Ayala Corp. 42,503,520 4,029,199
Ayala Land, Inc. 27,511,576 2,712,243
Bank of the Philippine Island 4,641,373 3,492,601
* Equitable PCI Bank, Inc. 2,217,300 1,723,317
* Filipina Water Bottling Corp. 2,006,957 0
Metro Bank and Trust Co. 4,584,435 2,049,982
Petron Corp. 28,593,000 1,559,337
* Philippine Long Distance Telephone
Co. 347,030 6,659,057
SM Prime Holdings, Inc. 29,223,000 3,087,076
Union Bank of the Philippines 1,572,300 646,999
---------------
TOTAL -- PHILIPPINES
(Cost $42,708,447) 26,365,763
---------------
</Table>
235
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
ARGENTINA -- (1.8%)
COMMON STOCKS -- (1.8%)
* Acindar Industria Argentina de
Aceros SA Series B 899,000 $ 866,690
* Alpargatas SA Industrial y Comercial 1,078 537
Alto Palermo SA Series A 5,000 5,302
* Banco del Sud Sociedad Anonima
Series B 29,000 25,628
* Banco Frances del Rio de la Plata SA 467,809 841,859
* Capex SA Series A 52,893 53,967
* Celulosa Argentina SA Series B 18,750 13,557
* Central Costanera SA Series B 114,100 145,932
* Central Puerto SA Series B 16,000 8,227
* Garovaglio y Zorraquin SA 28,000 3,869
* Gas Natural SA, Buenos Aires 345,000 164,083
* IRSA Inversiones y
Representaciones SA 657,649 460,716
* Juan Minetti SA 353,151 360,886
* Ledesma S.A.A.I. 242,632 140,347
* Metrogas SA Series B 543,115 209,438
* Molinos Rio de la Plata SA Series B 694,833 870,819
* Perez Companc SA 2,274,901 2,149,278
* Renault Argentina SA 399,465 62,901
Siderar SAIC Series A 721,484 3,153,177
Solvay Indupa S.A.I.C. 555,366 460,449
* Telecom Argentina Stet-France SA
Series B 977,000 1,601,207
Tenaris SA 653,898 2,038,283
* Transportadora de Gas del Sur SA
Series B 1,028,000 776,325
---------------
TOTAL COMMON STOCKS
(Cost $24,508,605) 14,413,477
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso
(Cost $155,706) 155,455
---------------
TOTAL -- ARGENTINA
(Cost $24,664,311) 14,568,932
---------------
CZECH REPUBLIC -- (0.1%)
COMMON STOCKS -- (0.1%)
* CEZ A.S. 35,236 $ 250,425
* Ceske Radiokomunikace A.S. 1,575 27,607
* Ceske Telecom A.S. 27,377 344,528
* Komercni Banka A.S. 2,584 283,551
* Phillip Morris CR A.S. 113 67,760
---------------
TOTAL -- CZECH REPUBLIC
(Cost $1,017,504) 973,871
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $9,965,000 FNMA
Discount Notes 0.96%, 06/16/04,
valued at $9,960,018
(Cost $9,812,000) $ 9,812 9,812,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $651,112,291)++ $ 792,643,725
===============
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
++ The cost for federal income tax purposes is $651,539,175.
See accompanying Notes to Financial Statements.
236
<Page>
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
SOUTH AFRICA -- (11.1%)
COMMON STOCKS -- (11.1%)
* AD Corp Holdings, Ltd. 43,285 $ 85,943
Advtech, Ltd. 120,000 14,161
Aeci, Ltd. 79,460 387,165
* Afgri, Ltd. 280,296 257,596
African Life Assurance Co., Ltd. 102,921 232,367
* African Rainbow Minerals, Ltd. 93,461 502,093
* Afrikander Lease, Ltd. 116,023 41,672
Afrox Healthcare 45,403 95,055
* AG Industries, Ltd. 107,512 32,912
* Alexander Forbes, Ltd. 259,170 369,567
* Allied Electronics Corp., Ltd. 84,012 154,363
Allied Technologies, Ltd. 82,724 411,649
* Amalgamated Appliance Holdings,
Ltd. 142,094 60,987
* Aspen Pharmacare Holdings PLC 297,721 584,115
Astral Foods, Ltd. 33,426 161,332
* Aveng, Ltd. 241,648 291,660
* Bearing Man, Ltd. 69,024 68,629
* Bell Equipment, Ltd. 57,476 74,079
* Brandcorp Holdings, Ltd. 43,383 29,934
* Business Connexion Group, Ltd. 229,687 128,681
Bytes Technology Group, Ltd. 113,445 100,955
* Capital Alliance Holdings, Ltd. 148,529 243,159
* Capitec Bank Holdings, Ltd. 37,860 33,816
Cashbuild, Ltd. 13,473 45,035
* Caxton & CTP Publishers & Printers,
Ltd. 356,504 448,187
Ceramic Industries, Ltd. 13,297 132,326
City Lodge Hotels, Ltd. 28,074 113,214
* Connection Group Holdings, Ltd. 26,487 21,910
* Corpcapital, Ltd. 241,136 19,541
Cullinan Holdings, Ltd. 10,000 598
* Datacentrix Holdings, Ltd. 162,198 53,018
* Datatec, Ltd. 92,603 134,530
Delta Electrical Industries, Ltd. 38,338 199,257
Distell Group, Ltd. 160,135 361,626
* Distribution & Warehousing Network,
Ltd. 98,577 28,751
Dorbyl, Ltd. 18,237 50,313
* Durban Roodeport Deep, Ltd. 196,023 554,626
* Ellerine Holdings, Ltd. 62,039 303,991
* Energy Africa, Ltd. 85,189 424,568
* Enviroserv Holdings, Ltd. 64,500 35,591
* Famous Brands, Ltd. 9,678 5,798
Foschini, Ltd. 168,564 515,510
* Frontrange, Ltd. 62,223 33,288
Gold Reef Casino Resorts, Ltd. 169,887 192,225
Grindrod, Ltd. 21,833 63,740
Group Five, Ltd. 40,465 59,281
Highveld Steel & Vanadilum Corp.,
Ltd. 80,938 229,707
Hudaco Industries, Ltd. 23,083 78,698
Iliad Africa, Ltd. 112,877 92,542
Illovo Sugar, Ltd. 203,494 236,769
* Ist Group PLC 83,223 $ 20,350
* JCI, Ltd. 1,622,051 136,552
* Johnic Communications, Ltd. 86,930 326,242
Kersaf Investments, Ltd. 58,532 341,097
M Cubed Holdings, Ltd. 385,000 18,300
* Medi-Clinic Corp., Ltd. 277,002 541,017
Metair Investment, Ltd. 4,447 103,806
* Metorex, Ltd. 101,510 36,879
* Metro Cash & Carry, Ltd. 1,278,869 479,657
Metropolitan Holdings, Ltd. 451,465 535,628
Murray & Roberts Holdings, Ltd. 215,729 460,722
Mustek, Ltd. 20,612 23,687
* Net 1 Applied Technology Holdings,
Ltd. 47,395 59,496
* New Clicks Holdings, Ltd. 290,335 329,578
Northam Platinum, Ltd. 183,217 255,498
* Nu-World Holdings 11,932 42,263
Oceana Group 86,619 203,206
* Omnia Holdings, Ltd. 35,992 163,079
* Palabora Mining Co., Ltd. 20,554 185,566
* Peregrine Holdings, Ltd. 134,813 46,380
* Primedia Limited 'n' 161,922 208,197
PSG Group, Ltd. 63,250 25,695
Rainbow Chicken, Ltd. 209,727 165,323
* Randgold and Expl CO 42,939 141,325
Rebserve Holdings, Ltd. 151,070 179,139
Redefine Income Fund, Ltd. 34,692 13,475
* Relyant Retail, Ltd. 724,775 161,902
Reunert 126,412 485,582
* SA Chrome and Alloys 798,852 94,473
* Sage Group, Ltd. 201,897 52,436
Santam, Ltd. 47,060 333,043
Shoprite Holdings Ltd 378,315 534,238
* Specialty Stores Ltd. 173,245 209,974
* Spur Corp., Ltd. 53,697 39,211
Sun International (Sth Afr) 235,076 120,626
* Super Group, Ltd. 280,556 449,184
* Tiger Wheels, Ltd. 47,140 145,045
Tongaat-Hulett Group, Ltd. 93,729 644,025
* Tourism Investment 647,510 141,642
* Trans Hex Group, Ltd. 69,964 241,334
* Trencor, Ltd. 142,114 265,481
Truworths International, Ltd. 312,815 452,238
UCS Group, Ltd. 144,872 26,750
* Unitrans Ltd 65,023 259,134
* Value Group, Ltd. 49,189 10,947
* Western Areas Ltd 90,489 430,149
Wilson Bayly Holme 40,403 108,329
---------------
TOTAL COMMON STOCKS
(Cost $19,146,850) 19,044,430
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* South African Rand
(Cost $1,381) 1,482
---------------
TOTAL -- SOUTH AFRICA
(Cost $19,148,231) 19,045,912
---------------
</Table>
237
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
SOUTH KOREA -- (11.0%)
COMMON STOCKS -- (11.0%)
* Anam Semiconductor, Inc. 69,073 $ 198,053
Asia Cement Manufacturing Co., Ltd. 1,243 27,368
Bing Grae Co., Ltd. 3,480 68,235
Bu Kwang Pharmaceutical Co., Ltd. 6,237 39,865
Byuck San Engineering and
Construction Co., Ltd. 8,750 19,892
Cheil Communications, Inc. 2,497 328,387
Cheil Industrial, Inc. 18,690 229,160
Choong Wae Pharmaceutical 1,877 18,024
Chungho Comnet Co., Ltd. 720 2,312
* Comtec Systems Co., Ltd. 2,000 1,081
* Dae Ho Corp. 543 61
Dae Sang Corp. 8,020 18,904
Dae Won Kang Up Co., Ltd. 1,740 14,950
Daeduck Electronics Co., Ltd. 22,437 175,337
Daeduck Industries Co., Ltd. 7,526 64,535
Daegu Bank Co., Ltd. 63,640 376,818
Daehan City Gas Co., Ltd. 2,621 30,761
Daehan Flour Mills Co., Ltd. 470 16,485
Daelim Industrial Co., Ltd. 9,480 315,194
Daesung Industrial Co., Ltd. 1,690 25,199
* Daewoo Heavy Industries &
Machinery, Ltd. 40,300 271,072
* Daewoo International Corp. 54,700 323,761
Daewoo Motor Sales Corp. 10,240 59,852
* Daewoo Precision Industries Co., Ltd. 2,800 38,254
* Daewoo Securities Co., Ltd. 119,000 383,739
Daewoong Co., Ltd. 4,686 21,599
* Daewoong Pharmaceutical Co., Ltd. 3,630 58,519
Daishin Securities Co., Ltd. 24,720 289,253
* Daou Technology, Inc. 7,000 8,398
DC Chemical Co., Ltd. 7,316 91,600
Dong Ah Tire Industrial Co., Ltd. 7,300 22,045
Dong Bu Insurance Co., Ltd. 30,810 123,975
* Dong Yang Mec 7,020 19,644
Dong-A Pharmaceutical Co., Ltd. 3,229 43,181
Dongbu Corp. 6,310 29,758
Dongbu Steel Co., Ltd. 7,290 38,007
Dongkuk Steel Mill Co., Ltd. 35,037 239,438
Dongwon F&B Co., Ltd. 900 27,099
Dongwon Financial Holding Co., Ltd. 19,848 99,932
* Doosan Corp. 7,390 66,381
Doosan Heavy Industries &
Construction Co., Ltd. 54,500 332,257
* Doosan Industrial Development Co.,
Ltd. 12,850 20,440
* Eastel Systems Corp. 4,307 4,238
* Fursys, Inc. 2,880 21,369
Global Enterprise Co., Ltd. 5,900 14,071
* Good Morning Securities Co., Ltd. 94,500 254,526
Green Cross Corp. 1,825 38,945
Hae In Co., Ltd. 5,964 6,662
Halla Climate Control Corp. 20,000 152,037
Han Kuk Carbon Co., Ltd. 7,903 8,133
Han Wha Corp. 33,650 240,324
Hana Securities Co., Ltd. 5,930 26,686
Handok Pharmaceuticals Co., Ltd. 3,860 30,967
Handsome Corp. 13,420 105,235
Hanil Cement Manufacturing Co., Ltd. 3,308 138,570
Hanjin Heavy Industry Co., Ltd. 26,190 $ 101,892
Hanjin Shipping Co., Ltd. 17,204 225,428
Hanjin Transportation Co., Ltd. 3,471 27,410
* Hankook Synthetics, Inc. 1,000 4,624
Hankook Tire Manufacturing Co., Ltd. 26,040 205,766
Hankuk Electric Glass Co., Ltd. 4,480 187,905
Hankuk Glass Industries, Inc. 5,120 152,283
Hankuk Paper Manufacturing Co., Ltd. 1,450 22,415
Hanmi Pharmaceutical Industrial Co,
Ltd. 2,620 75,689
* Hansol Electronics Inc. 797 7,314
Hansol Paper Co., Ltd. 17,360 117,073
* Hanssem Co., Ltd. 6,820 48,604
* Hansung Enterprise Co., Ltd. 620 1,561
Hanwha Chemical Corp. 56,030 321,279
Hanwha Securities Co., Ltd. 13,070 24,592
Hotel Shilla, Ltd. 15,138 64,731
Huchems Fine Chemical Corp. 5,616 17,747
* Hung Chang Co., Ltd. 27 44
Hyosung T & C Co., Ltd. 12,038 89,530
* Hyundai Auton Co., Ltd. 81,580 189,825
Hyundai Cement Co., Ltd. 2,570 58,254
* Hyundai Corp. 1,505 2,978
Hyundai Department Store Co., Ltd. 13,140 309,440
Hyundai Development Co. 39,110 415,317
* Hyundai Elevator Co., Ltd. 2,354 76,509
Hyundai Fire & Marine Insurance Co.,
Ltd. 4,020 126,135
Hyundai Hysco 36,380 138,846
* Hyundai Merchant Marine Co., Ltd. 65,410 442,144
* Hyundai Mipo Dockyard Co., Ltd. 8,568 129,199
* Hyundai Securities Co., Ltd. 71,159 290,224
* Il Jin Diamond Co., Ltd. 2,000 21,425
* IlJin Electric, Ltd. 9,150 18,872
IlShin Spinning Co., Ltd. 380 12,200
* Inchon Oil Refinery Co., Ltd. 373 18
INI Steel Co., Ltd. 33,750 251,365
ISU Chemical Co., Ltd. 1,530 8,276
* Isupetasys Co., Ltd. 7,160 15,919
Jahwa Electronics Co., Ltd. 6,230 60,711
Jeonbuk Bank, Ltd. 8,590 31,308
K.C. Tech Co., Ltd. 6,000 18,469
* KDB Capital Corp. 21,440 61,614
KEC Corp. 3,035 63,139
Kolon Industries, Inc. 5,090 27,081
* Kolon International 321 944
Kolon International Corp. 2,264 10,937
Korea Circuit Co. 7,800 24,113
* Korea Data Systems Co., Ltd. 35,000 6,161
* Korea Development Co., Ltd. 3,480 25,682
Korea Electric Terminal Co., Ltd. 3,530 58,009
* Korea Exchange Bank 9,888 49,762
* Korea Express Co., Ltd. 3,200 62,414
Korea Fine Chemical Co., Ltd. 1,388 14,515
Korea Iron & Steel Co., Ltd. 3,120 40,307
Korea Iron & Steel Works Co., Ltd. 3,328 29,822
Korea Komho Petrochemical 9,100 57,069
Korea Line Corp. 3,940 85,976
Korea Polyol Co., Ltd. 1,450 39,718
Korea Zinc Co., Ltd. 8,810 143,130
Korean Reinsurance Co., Ltd. 4,547 168,850
</Table>
238
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* KP Chemical Corp. 34,521 $ 83,929
* KTB Network, Ltd. 17,000 33,643
Kukdong City Gas Co., Ltd. 1,740 20,301
Kumho Electronics Co., Ltd. 1,987 89,335
Kumho Industrial Co., Ltd. 16,300 112,610
Kyeryong Construction Industrial Co.,
Ltd. 2,060 20,827
Kyobo Securities Co., Ltd. 10,440 20,860
LG Ad Inc., Ltd. 4,120 64,949
LG Cable, Ltd. 15,520 243,856
LG Caltex Gas Co., Ltd. 1,980 32,915
LG Engineering & Construction Corp. 20,910 326,241
LG Household & Healthcare Co., Ltd. 6,610 169,912
* LG Industrial Systems, Ltd. 16,950 233,691
LG Insurance Co., Ltd. 27,140 135,136
LG International Corp. 33,488 230,994
* LG Life Sciences, Ltd. 6,855 163,353
LG Petrochemical Co., Ltd. 13,800 274,946
Lotte Chilsung Beverage Co., Ltd. 760 443,020
Lotte Confectionary Co., Ltd. 910 402,994
Lotte Sam Kang Co., Ltd. 230 18,298
Meritz Securities Co., Ltd. 2,940 5,382
* Midopa Co., Ltd. 27,910 106,325
Namhae Chemical Corp. 13,104 17,946
Namyang Dairy Products Co., Ltd. 340 93,051
Nong Shim Co., Ltd. 2,463 462,427
Nong Shim Holdings Co., Ltd. 780 28,692
Oriental Fire & Marine Insurance Co.,
Ltd. 2,750 36,976
ORION Corp. 2,700 161,536
Ottogi Corporation 990 21,556
* Pacific Industries, Inc. 2,100 20,652
* Pantech Co., Ltd. 8,690 51,347
Poong San Corp. 12,640 104,184
Pulmuone Co., Ltd. 2,030 83,324
Pusan Bank 42,780 261,393
Pusan City Gas Co., Ltd. 3,000 30,237
Pyung Hwa Industrial Co., Ltd. 6,170 16,284
S1 Corp. 15,730 340,079
* Saehan Industries, Inc. 7,440 11,943
Samchully Co., Ltd. 1,370 64,243
* Samlip Industrial Co., Ltd. 4,560 16,060
* Samsung Engineering Co., Ltd. 15,780 75,516
Samsung Fine Chemicals 11,080 144,850
* Samsung Techwin Co., Ltd. 44,140 370,433
Samyang Corp. 1,870 30,476
Samyang Genex Co., Ltd. 220 4,998
* Samyoung Corp. 2,170 17,874
Samyoung Electronics Co., Ltd. 5,800 33,813
Sejong Securities Co., Ltd. 4,840 7,074
Seondo Electric Co., Ltd. 4,400 4,791
Seoul City Gas Co., Ltd. 2,750 41,670
* Seoul Securities Co., Ltd. 19,500 45,873
Shin Young Securities Co., Ltd. 2,620 26,157
* Shindongbang Corp. 2,590 24,759
Shinmoorim Paper Manufacturing Co.,
Ltd. 2,858 11,841
* Shinsung Engineering Co., Ltd. 11,880 44,389
Sindo Ricoh 4,630 225,879
* SK Chemicals Co., Ltd. 5,140 33,447
SK Gas Co., Ltd. 2,500 39,206
* SKC Co., Ltd. 14,290 $ 103,391
* Ssang Bang Wool Co., Ltd. 6,950 20,848
* Ssangyong Cement Industry Co., Ltd. 148,450 197,288
* Ssangyong Motor Co. 53,830 339,258
STX Corp. 5,508 18,493
* STX Engine 4,692 13,251
Suheung Capsule Co., Ltd. 1,900 9,136
Sung Shin Cement Co., Ltd. 7,920 117,799
* Sunkyong Securities Co., Ltd. 120,920 60,072
Tae Kwang Industrial Co., Ltd. 200 26,023
Tae Young Corp. 3,274 99,266
Taegu Department Store Co., Ltd. 3,130 17,660
Tai Han Electric Wire Co., Ltd. 13,991 65,763
* Tong Yang Investment Bank 28,710 40,883
* Tongil Heavy Industries Co., Ltd. 46,780 20,895
* Trigem Computer, Inc. 21,159 73,382
Union Steel Manufacturing Co., Ltd. 2,220 95,565
Woongjin Coway Co., Ltd. 6,930 30,330
Woongjin.Com Co., Ltd. 6,810 16,162
Woori Securities Co., Ltd. 9,550 31,554
Youlchon Chemical Co., Ltd. 8,890 55,345
* Young Poong Mining & Construction
Corp. 1,580 75
Youngone Corp. 18,210 39,720
Yuhan Corp. 3,702 212,792
---------------
TOTAL -- SOUTH KOREA
(Cost $18,013,632) 18,846,596
---------------
TAIWAN -- (10.9%)
COMMON STOCKS -- (10.9%)
Ability Enterprise Co., Ltd. 64,192 53,741
* Abit Computer Co., Ltd. 118,300 51,111
Accton Technology Corp. 178,000 114,621
Advantech Co., Ltd. 119,000 242,744
* Altek Corp. 14,000 13,926
* Ambassador Hotel 60,000 35,421
Amtran Technology Co., Ltd. 110,802 95,108
* Arima Computer Corp. 386,000 133,282
Asia Polymer Corp. 41,000 22,006
Askey Computer Co., Ltd. 79,550 51,219
Audix Co., Ltd. 17,513 21,970
Aurora Corp. 52,250 30,820
* Avermedia Technologies, Inc. 28,000 27,248
Avision, Inc. 25,030 18,704
Bank of Kaohsiung Co., Ltd. 129,060 96,305
Basso Industry Corp., Ltd. 26,000 53,420
* Behavior Tech Computer Corp. 117,000 43,203
* Bes Engineering Corp. 446,640 90,307
* Carnival Industrial Corp. 95,000 17,657
Catcher Co., Ltd. 58,910 228,015
* Cathay Real Estate Development Co.,
Ltd. 439,753 252,290
* Central Insurance Co., Ltd. 60,000 31,007
Central Reinsurance Co., Ltd. 61,000 25,219
Cheng Loong Corp. 311,000 120,281
Cheng Uei Precision Industry Co.,
Ltd. 81,200 154,507
* Chia Hsin Cement Corp. 196,000 92,741
* Chia Hsin Food & Synthetic Fiber Co.,
Ltd. 269,000 28,156
Chicony Electronics Co., Ltd. 123,866 231,570
</Table>
239
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Chien Shing Stainless Steel Co., Ltd. 56,000 $ 24,120
* China General Plastics Corp. 76,000 31,682
* China Life Insurance Co., Ltd. 219,400 127,872
* China Man-Made Fiber Co., Ltd. 390,280 222,443
China Metal Products Co., Ltd. 22,000 25,618
* China Petrochemical Development
Corp. 529,000 95,946
* China Rebar Co., Ltd. 200,000 23,739
China Steel Chemical Corp. 46,620 64,712
* China Synthetic Rubber Corp. 59,987 18,734
* China United Trust & Investment
Corp. 220,000 37,382
Chin-Poon Industrial Co., Ltd. 34,244 23,734
* Chou Chin Industrial Co., Ltd. 42,180 0
Chroma Ate, Inc. 56,252 62,806
* Chun Yu Works & Co., Ltd. 69,000 27,107
Chun Yuan Steel Industrial Co., Ltd. 100,000 57,377
Chung Hsin Electric & Machinery Co.,
Ltd. 120,000 49,436
Chung Hwa Pulp Corp. 135,804 73,842
* Clevo Co. 80,340 37,357
Compal Commun 76,250 179,614
* Compeq Manufacturing Co., Ltd. 273,000 110,620
Continental Engineering Corp. 244,098 124,568
CTCI Corp. 164,000 86,824
Der Pao Construction Co., Ltd. 78,000 27,595
D-Link Corp. 202,000 260,911
* Edom Technology Co., Ltd. 12,000 15,299
Elan Microelectronincs Corp. 80,210 63,979
* Elite Semiconductor Memory
Technology, Inc. 36,000 136,628
Elitegroup Computer Systems Co.,
Ltd. 185,000 118,950
* Enlight Corp. 53,000 20,035
* Entie Commercial Bank 580,246 164,381
Epistar Corp. 34,619 87,078
* ET Internet Technology Corp. 195,114 99,590
Eternal Chemical Co., Ltd. 164,700 88,108
Everest Textile Co., Ltd. 112,000 30,220
Evergreen International Storage &
Transport Corp. 391,000 160,633
Everlight Chemical Industrial Corp. 65,000 22,668
Everlight Electronics Co., Ltd. 83,640 133,039
Everspring Industry Co., Ltd. 51,000 17,369
* Far East Department Stores, Ltd. 312,000 129,754
Far Eastern International Bank 381,000 193,210
* Federal Corp. 73,552 52,876
Feng Hsin Iron & Steel Co., Ltd. 192,180 162,147
Feng Tay Enterprise Co., Ltd. 117,100 122,797
First Copper Technology Co., Ltd. 62,000 20,778
* First International Computer, Inc. 375,000 71,648
* Formosa International Hotels Corp. 49,500 60,629
Formosa Taffeta Co., Ltd. 600,000 254,000
* Formosan Rubber Group, Inc. 68,000 29,350
Giant Manufacture Co., Ltd. 81,170 97,290
* Giga Storage Corp. 42,000 23,966
Globe Union Industrial Corp. 32,634 43,345
* Gold Circuit Electronics, Ltd. 77,446 31,255
* Goldsun Development & Construction
Co., Ltd. 295,000 74,005
* Grand Pacific Petrochemical Corp. 115,000 46,835
Great China Metal Industry Co., Ltd. 63,000 $ 36,818
Great Taipei Gas Co., Ltd. 97,000 37,544
Great Wall Enterprise Co., Ltd. 63,000 16,363
Greatek Co., Ltd. 82,030 90,110
Hey Song Corp. 96,000 30,807
Ho Tung Holding Corp. 145,901 53,392
* Hocheng Corp. 71,000 21,904
Hotai Motor Co., Ltd. 179,000 244,889
* Hsin Kuang Steel Co., Ltd. 23,000 40,287
* Hsinchu International Bank 527,000 297,015
Hsing Ta Cement Co., Ltd. 100,000 30,003
Hua Eng Wire & Cable Co., Ltd. 113,565 31,494
* Hung Poo Construction Corp. 76,000 53,591
* Hung Sheng Construction Co., Ltd. 161,000 87,975
* Ichia Technologies, Inc. 61,200 152,512
* Infodissc Technology Co., Ltd. 115,000 32,626
* Infortrend Technology, Inc. 34,000 118,389
K Laser Technology, Inc. 20,343 14,722
* Kao Hsing Chang Iron & Steel Corp. 101,000 30,250
Kaulin Manufacturing Co., Ltd. 16,000 21,267
Kendra Rubber Industrial Co., Ltd. 100,793 72,532
* King Yuan Electronics Co., Ltd. 116,000 114,939
* Kingdom Construction Co., Ltd. 107,000 39,231
* King's Town Construction Co., Ltd. 36,000 66,478
Kinpo Electronics, Inc. 457,000 239,738
Knowledge-Yield-Excellence Systems
Corp. 23,995 24,906
* Lead Data Co., Ltd. 82,000 29,279
* Lealea Enterprise Co., Ltd. 110,000 20,283
Lee Chang Yung Chemical Industry
Corp. 70,019 26,573
* Lelon Co., Ltd. 27,378 13,199
* Leofoo Development Co., Ltd. 35,000 13,893
Li Shin International Enterprise Corp. 25,280 13,499
Lien Hwa Industrial Corp. 119,000 37,155
* Ling Sheng PrecisionIndustrial Corp. 45,000 25,682
* Long Bon Development Co., Ltd. 98,000 34,897
Long Chen Paper Co., Ltd. 89,000 31,973
Lucky Cement Corp. 97,000 30,281
Meiloon Co., Ltd. 43,060 55,800
Mercuries & Associates, Ltd. 110,250 40,642
* Mercuries Data Co., Ltd. 50,000 23,520
Merry Electronics Co., Ltd. 24,480 65,345
* Microelectronics Technology, Inc. 77,000 39,105
Mitac International Corp. 383,000 178,058
* Mustek Systems, Inc. 36,000 18,046
* Nankang Rubber Tire Co., Ltd. 75,000 78,984
National Petroleum Co., Ltd. 33,325 22,978
Nien Hsing Textile Co., Ltd. 229,000 223,959
* Nien Made Enterprise Co., Ltd. 81,752 142,220
* Opto Tech Corp. 61,000 18,833
* Orient Semiconductor Electronics,
Ltd. 455,917 54,141
Oriental Union Chemical Corp. 179,720 196,881
* Pacific Electric Wire & Cable Corp. 726,000 11,328
* Pan Jit International, Inc. 33,000 30,792
* Pan Overseas Electronics Co., Ltd. 67,000 30,004
* Pan-International Industrial 105,000 67,569
Phihong Technology Co., Ltd. 39,472 22,024
* Phoenix Precision Technology Corp. 152,000 113,756
Phoenixtec Power Co., Ltd. 172,725 195,048
</Table>
240
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Picvue Electronics, Ltd. 181,900 $ 65,739
Pihsiang Machinery Mfg. Co., Ltd. 48,000 115,130
Premier Image Technology Corp. 51,000 76,438
Primax Electronics, Ltd. 59,987 21,763
* Prince Housing & Development Corp. 223,000 60,950
* Procomp Informatics, Ltd. 21,675 7,049
* Prodisc Technology Inc. 218,560 167,914
* Q-Run Technology Co., Ltd. 94,000 166,159
Radium Life Tech 33,000 33,319
* Ruentex Development Co., Ltd. 140,000 29,974
* Ruentex Industries, Ltd. 141,000 51,162
* Sampo Corp. 438,000 147,068
* San Fang Chemical Industry Co., Ltd. 40,700 28,192
* Sanyang Industrial Co., Ltd. 205,000 80,994
Sanyo Electric Co., Ltd. 56,000 34,254
Senao International Co., Ltd. 31,900 18,408
Sheng Yu Steel Co., Ltd. 116,980 129,750
Shihlin Electric & Engineering Corp. 162,000 99,086
* Shihlin Paper Corp. 56,000 40,170
* Shinkong Synthetic Fibers Co., Ltd. 388,000 79,725
* Shuttle, Inc. 28,200 35,077
* Silicon Integrated Systems Corp. 150,000 79,768
Sincere Navigation Corp. 91,015 63,492
* Sinkong Spinning Co., Ltd. 60,000 24,478
* Sintek Photronics Corp. 177,000 142,286
Sinyi Realty, Inc. 20,000 50,959
* Solomon Technology Corp. 90,000 29,719
Southeast Cement Co., Ltd. 94,000 26,194
Springsoft, Inc. 35,466 87,169
Stark Technology, Inc. 45,100 29,913
Sunonwealth Electric Machine
Industry Co., Ltd. 44,719 22,125
Sunrex Technology Corp. 37,260 31,571
Systex Corp., Ltd. 299,000 141,863
Ta Chen Stainless Pipe Co., Ltd. 25,000 17,738
* Ta Chong Bank 413,000 139,914
Ta Ya Elec Wire & Cable Co., Ltd. 87,000 33,423
* Taichung Commercial Bank 484,000 132,880
* Tainan Business Bank 179,000 61,856
Tainan Enterprises Co., Ltd. 28,000 38,879
Tainan Spinning Co., Ltd. 541,000 162,909
Taiwan Acceptance Corp. 37,000 32,717
Taiwan Fire & Marine Insurance
Co., Ltd. 67,000 39,004
Taiwan Fu Hsing Industrial Co., Ltd. 30,000 27,092
* Taiwan Green Point Enterprises Co.,
Ltd. 22,000 83,836
Taiwan Hon Chuan Enterprise Co.,
Ltd. 19,059 19,229
Taiwan Kai Yih Industrial Co., Ltd. 27,270 25,360
* Taiwan Kolin Co., Ltd. 90,000 25,609
Taiwan Life Insurance Co., Ltd. 164,350 288,424
Taiwan Mask Corp. 49,720 26,576
Taiwan Navigation Co., Ltd. 81,240 54,903
Taiwan Polypropylene Co., Ltd. 63,416 54,018
Taiwan Secom 156,912 156,057
Taiwan Sogo Shinkong Security Co.,
Ltd. 45,150 22,760
Taiwan Styrene Monomer Corp. 169,000 129,017
* Taiwan Tea Corp. 220,917 53,258
Teco Electric & Machinery Co., Ltd. 225,000 77,925
Tecom, Ltd. 41,114 $ 17,035
Test-Rite International Co., Ltd. 82,541 44,500
* The Chinese Bank 464,000 106,369
* The Farmers Bank of China 569,720 186,450
The First Insurance Co., Ltd. 50,000 36,333
* Ton Yi Industrial Corp. 512,280 152,894
Tong Yang Industry Co., Ltd. 158,824 269,575
Transcend Information, Inc. 91,440 223,623
Tsann Kuen Enterprise Co., Ltd. 62,000 84,750
* TSRC Corp. 127,000 50,036
* Tung Ho Steel Enterprise Corp. 219,687 153,297
* Twinhead International Corp. 121,000 24,570
TYC Brother Industrial Co., Ltd. 43,680 47,880
* Tycoons Group Enterprise Co., Ltd. 72,000 21,419
U-Ming Marine Transport Corp. 174,000 219,207
* Union Bank of Taiwan 602,000 192,278
* Union Insurance Co., Ltd. 90,185 30,289
* Unitech Printed Circuit Board Corp. 62,000 38,862
* United Epitaxy Co., Ltd. 50,000 26,694
United Integration Service Co., Ltd. 44,450 55,055
* Universal Cement Corp. 63,000 23,237
* Universal Scientific Industrial Co., Ltd. 211,000 93,966
UPC Technology Corp. 171,680 65,109
* Usi Corp. 238,000 93,827
Walsin Technology Corp., Ltd. 98,793 83,688
* Waterland Financial Holdings 375,000 139,499
* Wei Chuan Food Corp. 70,000 29,321
Weltrend Semiconductor, Inc. 32,480 20,677
Wintek Corp. 199,800 266,579
* Wistron Corp. 199,000 130,214
World Peace Industrial Co., Ltd. 87,425 84,414
* WUS Printed Circuit Co., Ltd. 134,000 90,590
Ya Hsin Industrial Co., Ltd. 60,000 79,598
* Yeung Cyang Industrial Co., Ltd. 26,000 25,073
Yieh Phui Enterprise Co., Ltd. 280,580 192,918
Yosun Industrial Corp. 19,257 20,137
* Yuen Foong Yu Paper Manufacturing
Co., Ltd. 438,863 240,918
Yung Chi Paint & Varnish
Manufacturing Co., Ltd. 28,672 33,120
Yung Shin Pharmaceutical Industrial
Co., Ltd. 33,000 24,836
Yung Tay Engineering Co., Ltd. 127,000 74,570
Zig Sheng Industrial Co., Ltd. 71,000 20,420
Zinwell Corp. 23,320 21,565
Zyxel Communication Corp. 73,515 154,662
---------------
TOTAL COMMON STOCKS
(Cost $17,055,682) 18,559,325
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Taiwan Dollar
(Cost $31,141) 31,333
---------------
RIGHTS/WARRANTS -- (0.0%)
* Yeun Chyang Industrial Co., Ltd.
Rights 05/31/04
(Cost $0) 2,484 0
---------------
TOTAL -- TAIWAN
(Cost $17,086,823) 18,590,658
---------------
</Table>
241
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
MALAYSIA -- (10.6%)
COMMON STOCKS -- (10.6%)
* A&M Realty Berhad 65,000 $ 23,595
ACP Industries Berhad 34,000 17,789
Affin Holdings Berhad 562,100 199,908
Amalgamated Industrial Steel Berhad 11,250 2,076
* AMBD Berhad 58,000 2,976
Amway (Malaysia) Holdings Berhad 92,000 165,959
Ann Joo Resources Berhad 83,000 34,552
* Anson Perdana Berhad 10,000 118
Antah Holding Berhad 23,000 939
* Aokam Perdana Berhad 733 12
APM Automotive Holdings Berhad 74,500 49,616
* Arab Malaysia Corp. Berhad 558,000 198,288
Asas Dunia Berhad 16,000 4,422
* Asia Pacific Land Berhad 70,000 4,791
Asiatic Development Berhad 447,100 205,927
* Avenue Assets Berhad 254,000 35,100
Ayer Hitam Planting Syndicate
Berhad 6,000 3,789
Bandar Raya Developments Berhad 295,200 169,933
Batu Kawan Berhad 209,100 329,778
* Berjaya Capital Berhad 391,000 92,170
* Berjaya Land Berhad 465,000 96,680
* Bernas Padiberas Nasional Berhad 143,700 48,766
Bimb Holdings Berhad 208,200 93,054
Bintai Kinden Corp. Berhad 16,000 6,232
Bolton Properties Berhad 96,000 18,453
Boustead Holdings Berhad 233,000 107,393
Cahya Mata Sarawak Berhad 153,000 67,289
* Camerlin Group Berhad 58,000 13,647
Carlsberg Brewery Malaysia Berhad 111,600 308,337
Cement Industries of Malaysia Berhad 48,800 26,313
Chemical Co. of Malaysia Berhad 102,000 64,672
Chin Teck Plantations Berhad 33,000 46,845
* Cosway Corp. Berhad 113,000 26,940
Courts Mammoth Berhad 149,000 89,419
Cycle & Carriage Bintang Berhad 15,000 13,331
* Damansara Realty Berhad 65,000 1,803
* Datuk Keramik Holdings Berhad 24,000 784
* Digi.Com Berhad 232,000 285,779
* Dijaya Corp. Berhad 96,000 20,456
Diperdana Corp. Berhad 3,000 910
Diversified Resources Berhad 704,300 337,257
DNP Holdings Berhad 34,000 6,390
* E&O Property Development Berhad 563,200 100,729
Eastern & Oriental Berhad 72,000 17,247
* Econstates Berhad 55,500 16,840
Edaran Otomobil Nasional Berhad 173,600 404,359
Esso Malaysia Berhad 126,600 87,403
Europlus Berhad 25,700 4,866
* Faber Group Berhad 16,000 1,428
Far East Holdings Berhad 23,700 21,675
* FCW Holdings Berhad 24,000 2,524
FFM Berhad 82,600 186,838
Fraser & Neave Holdings Berhad 210,700 234,241
Globetronics Technology Berhad 796,400 112,173
Glomac Berhad 70,200 42,709
* Gold IS Berhad 77,000 27,362
* Golden Plus Holdings Berhad 16,000 2,881
* Gopeng Berhad 17,000 2,234
Guiness Anchor Berhad 192,300 $ 228,603
* Gula Perak Berhad 97,700 41,624
Guthrie Ropel Berhad 35,900 35,901
Hap Seng Consolidated Berhad 305,300 202,225
Heitech Padu Berhad 26,000 19,522
Highlands and Lowlands Berhad 411,700 401,040
* HLG Capital Berhad 12,000 3,734
Hock Seng Lee Berhad 44,160 34,831
Hong Leong Industries Berhad 148,100 182,979
Hong Leong Properties Berhad 259,100 36,521
Hume Industries (Malaysia) Berhad 93,867 113,550
Hwang-DBS (Malaysia) Berhad 97,500 44,395
IGB Corp. Berhad 706,850 226,829
IJM Corp. Berhad 255,500 312,991
IJM Plantations Berhad 37,600 11,468
* Insas Berhad 226,000 24,375
IOI Properties Berhad 127,000 239,279
Island & Peninsular Berhad 179,300 217,910
Jaya Jusco Stores Berhad 49,000 142,979
Jaya Tiasa Holdings Berhad 158,400 156,648
* Johan Holdings Berhad 30,000 2,716
John Hancock Life Insurance (M)
Berhad 46,000 27,983
Johor Port Berhad 162,700 99,354
* Johore Tenggara Oil Palm Berhad 59,200 19,032
JT International Berhad 122,700 141,468
* K & N Kenanga Holdings Berhad 287,300 73,396
Keck Seng (Malaysia) Berhad 23,000 9,746
KFC Holdings (Malaysia) Berhad 64,000 62,303
Kian Joo Can Factory Berhad 72,900 55,869
Kim Hin Industry Berhad 52,000 38,346
KPJ Healthcare Berhad 62,000 23,513
* Kretam Holdings Berhad 15,000 3,915
* KSL Holdings Berhad 64,500 47,735
* Kub Malaysia Berhad 181,000 32,355
Kulim Malaysia Berhad 53,000 34,143
* Kumpulan Hartanah Selangor
Berhad 166,500 28,481
Kwantas Corp. Berhad 68,600 96,655
Ladang Perbadanan-Fima Berhad 11,000 7,682
* Land & General Berhad 180,000 14,681
Landmarks Berhad 182,600 33,150
* Leader Universal Holdings Berhad 69,000 8,165
* Leong Hup Holdings Berhad 46,000 13,915
Lingkaran Trans Kota Holdings
Berhad 251,600 176,304
Lingui Development Berhad 219,000 91,198
Lion Diversified Holdings Berhad 114,000 32,131
Lion Industries Corp. Berhad 260,700 66,556
* Liqua Health Corp. Berhad 173 29
MAA Holdings Berhad 85,933 123,341
Magnum 4D Berhad 80,000 85,559
Malayan Cement Berhad 1,453,050 300,423
Malayawata Steel Berhad 72,000 40,764
* Malaysia Aica Berhad 48,200 25,057
* Malaysia Building Society Berhad 35,000 6,808
Malaysia Industrial Development
Finance Berhad 544,600 169,498
Malaysia Mining Corp. Berhad 732,900 386,906
Malaysia Smelting Corp. Berhad 23,000 44,785
Malaysian Mosaics Berhad 229,300 96,997
</Table>
242
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Malaysian National Reinsurance
Berhad 80,500 $ 69,833
Malaysian Oxygen Berhad 99,100 310,225
Malaysian Plantations Berhad 622,500 372,439
* Malaysian Resources Corp. Berhad 94,666 18,443
* Mancon Berhad 12,000 2,747
Maruichi Malaysia Steel Tube Berhad 58,600 36,523
Matsushita Electric Co. (Malaysia)
Berhad 23,884 64,073
MBM Resources Berhad 102,966 67,231
* Media Prima Berhad 61,533 29,181
* Merces Holdings Berhad 1,250 76
Metro Kajang Holdings Berhad 44,100 21,829
* Mieco Chipboard Berhad 69,000 43,825
* MTD Infraperdana Berhad 420,300 80,356
MUI Properties Berhad 75,200 6,526
* Mulpha International Berhad 739,950 123,746
* Multi-Purpose Holdings Berhad 457,000 132,431
* Mycron Steel Berhad 14,650 0
Naim Cendera Berhad 60,700 55,267
* Naluri Berhad 365,000 112,492
* Nam Fatt Berhad 9,000 1,630
Narra Industries Berhad 16,000 8,230
NCB Holdings Berhad 122,000 76,664
Negara Properties (Malaysia) Berhad 6,000 6,388
* New Straits Times Press (Malaysia)
Berhad 131,700 135,144
* Nikko Electronics Berhad 36,600 14,528
NV Multi Corp. Berhad 25,900 21,649
* NWP Holdings Berhad 112,000 27,037
Nylex (Malaysia) Berhad 83,000 22,924
Oriental Holdings Berhad 322,200 330,476
OSK Holdings Berhad 301,333 130,659
OSK Property Holdings Berhad 3,393 975
Pacific & Orient Berhad 40,400 20,360
* Pacificmas Berhad 9,500 14,195
Pan Malaysia Cement Works Berhad 192,000 25,231
* Pan Malaysian Industries Berhad 818,000 19,435
* Pan Pacific Asia Berhad 12,000 284
* Panglobal Berhad 14,000 6,963
* PBA Holdings Berhad 52,400 20,655
Pelangi Berhad 268,700 43,427
* Pernas International Holdings Berhad 224,000 32,415
Petaling Garden Berhad 94,000 32,187
Phileo Allied Berhad 279,200 143,382
* Pilecon Engineering Berhad 42,000 940
PK Resources Berhad 14,000 2,723
PPB Group Berhad 145,333 248,664
* Prime Utilities Berhad 3,000 942
* Promet Berhad 52,000 3,968
* Puncak Niaga Holdings Berhad 231,200 165,510
* QL Resources Berhad 57,000 34,519
* QSR Brand Berhad 32,000 17,090
Ramatex Berhad 292,700 273,991
Ranhill Berhad 66,400 119,587
* Ranhill Utilities Berhad 107,800 71,207
* Rashid Hussain Berhad 182,000 34,991
* Rekapacific Berhad 55,000 0
Road Builders (Malaysia) Holdings
Berhad 287,700 221,792
Sapura Telecommunications Berhad 64,846 37,193
Sarawak Enterprise Corp. Berhad 421,000 $ 147,313
* Saship Holdings Berhad 23,000 5,387
SCB Developments Berhad 45,000 53,319
Selangor Properties Berhad 171,800 101,656
Shangri-La Hotels (Malaysia) Berhad 114,000 35,005
Shell Refining Co. Federation of
Malaysia Berhad 160,900 287,607
* SHL Consolidated Berhad 75,000 26,081
Sime Engineering Services Berhad 279,100 113,946
Sime UEP Properties Berhad 133,000 140,419
Southern Acids (Malaysia) Berhad 41,000 19,863
Southern Bank Berhad (Foreign) 188,750 131,615
Southern Steel Berhad 118,400 68,855
SP Setia Berhad 351,400 349,500
* SRI Hartemas Berhad 65,000 7,099
Star Publications (Malaysia) Berhad 229,300 380,122
* Subur Tiasa Holdings Berhad 65,000 45,442
Sunrise Berhad 91,200 65,545
* Sunway City Berhad 139,000 61,058
* Sunway Construction Berhad 59,000 40,263
* Sunway Holdings, Inc. Berhad 245,700 105,368
* Suria Capital Holdings Berhad 186,000 28,397
* Symphony House Berhad 13,714 5,774
Ta Ann Holdings Berhad 86,800 157,665
Ta Enterprise Berhad 797,000 153,169
Talam Corp. Berhad 12,850 3,956
Tan Chong Motor Holdings Berhad 393,900 122,183
* Tanah Emas Corp. Berhad 65,000 30,534
Tasek Corp. Berhad 37,000 25,058
* Time Dotcom Berhad 1,001,500 258,311
Top Glove Corp. Berhad 30,000 55,257
Tractors Malaysia Holdings Berhad 143,400 94,372
Tradewinds (Malaysia) Berhad 117,000 82,613
* Trengganu Development &
Management Berhad 79,700 20,562
Tronoh Mines Malaysia Berhad 148,300 113,696
UAC Berhad 25,000 31,588
Uchi Technologies Berhad 177,500 85,566
UDA Holdings Berhad 81,000 31,779
* UEM World Berhad 745,100 224,695
Unico-Desa Plantations Berhad 79,000 38,428
Union Paper Holdings Berhad 70,000 16,592
* Uniphone Telecommunications
Berhad 43,000 12,661
Unisem (M) Berhad 82,500 195,342
United Malacca Rubber Estates
Berhad 47,500 43,228
United Malayan Land Berhad 13,000 3,858
United Plantations Berhad 101,700 125,612
* Utama Banking Group Berhad 122,000 31,911
Wah Seong Corp 164,000 70,406
* Wing Tiek Holdings Berhad 8,000 1,874
Worldwide Holdings Berhad 52,000 26,738
WTK Holdings Berhad 93,600 145,390
Yeo Hiap Seng (Malaysia) Berhad 47,300 23,622
* Yu Neh Huat Berhad 500 176
---------------
TOTAL COMMON STOCKS
(Cost $19,134,333) 18,048,034
---------------
</Table>
243
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
RIGHTS/WARRANTS -- (0.0%)
* FCW Holdings Berhad Warrants
11/11/13 8,000 $ 432
* Kulim Malaysia Berhad Rights
06/04/04 13,250 4,359
* Liqua Health Marketing Berhad
Warrants 09/09/08 34 2
* Mieco Chipboard Berhad Warrants
04/01/04 23,000 8,050
* OSK Property Holdings Berhad
Rights 06/28/04 1,696 0
* QSR Brand Berhad Warrants
01/24/07 12,800 2,869
---------------
TOTAL RIGHTS/WARRANTS
(Cost $605) 15,712
---------------
TOTAL -- MALAYSIA
(Cost $19,134,938) 18,063,746
BRAZIL -- (10.1%)
PREFERRED STOCKS -- (9.4%)
* Acesita SA 978,765,315 748,523
Alpargatas-Santista Textil SA 500,000 62,117
Bahia Sul Celulose SA 260,593 54,658
Banco Mercantil do Brasil SA 130,000 14,682
Brasileira de Petroleo Ipiranga 60,800,000 243,671
* Braskem SA 40,500,000 637,754
Centrais Electricas de Santa Catarin
Celesc Series B 840,000 227,686
Compania Paranaense de Energia
Series B 213,000,000 651,578
Confab Industrial SA 119,000 155,518
Coteminas Cia Tecidos Norte de
Minas 6,977,102 459,287
Distribuidora de Produtos Petreleo
Ipirangi SA 3,900,000 30,203
Duratex SA 13,400,000 264,844
* Electropaulo Electrecidade
Metropolitana 28,790,000 452,985
Embraco SA 262,000 102,298
Embratel Participacoes SA 273,800,000 631,710
* Empressa Metropolitanade
Aguas e Energia SA 24,000,000 37,018
Energetica do Ceara Coelce 72,000,000 99,903
* ENERSUL Empresa Energetjica de
Mato Grosso do Sul SA Series B 13,156,000 35,214
Fertibras SA 3,400 20,845
Forca Luz Cataguazes Leopoldina
Series A 23,400,000 10,571
Fras-Le Preferred 20,200 33,178
Globex Utilidades SA 25,268 66,044
* Gradiente Eletronica SA 2,600 3,675
* Industria de Bebidas Antarctica
Polar SA 23,000 19,482
* Inepar SA Industria e Construcoes 9,900,001 1,406
Klabin SA 652,000 843,666
Lojas Americanas SA 68,290,369 572,722
Magnesita SA Series A 20,500,000 59,205
Magnesita SA Series C 202,338 570
Marcopolo SA 124,000 211,668
Metal Leve SA 3,400,000 124,524
Metalurgica Gerdau SA 59,302 $ 759,693
* Net Servicos de Communication SA 1,604,500 398,666
* Paranapanema SA 146,200,000 155,211
Perdigao SA NPV 47,900 421,965
Randon Participacoes SA 162,500 192,966
* Rasip Agro-Pastoril SA 51,000 3,785
* Refinaria de Petroleo Ipiranga SA 12,300,000 70,649
Ripasa SA Papel e Celulose 442,000 386,518
Sadia SA 585,000 739,981
Saraiva Livreiros Editores 4,000 11,617
* Sharp SA Equipamentos Eletronicos 30,200,000 195
Siderurgica Belgo-Mineira 1,000,000 222,652
Suzano de Papel e Celulose 248,383 1,025,912
Suzano Petroquimica SA 30,000 33,882
Tele Celular Sul Participacoes SA 405,908,039 517,372
Tele Centro Oeste Celular
Participacoes SA 229,000,000 653,969
* Tele Leste Celular Participacoes SA 559,666,572 133,641
Tele Norte Celular Participacoes SA 549,505,027 97,524
Telemig Celular Participacoes SA 398,290,371 568,068
Telenordeste Celular Participacoes SA 408,041,513 492,441
Telesudeste Celular Participacoes
SA 285,800,000 465,728
Tim Sul SA Preferred Series B 13,950,000 299,347
Ultrapar Participants 66,639,437 645,106
Uniao des Industrias Petroquimicas
SA Series B 563,520 340,040
* Varig Participacoes Em Transportes 122,026 650
* Varig Particpacoes Em Servicos 116,823 109
* Varig SA Viacao Aerea Riograndense 16,000 4,956
Weg SA 280,100 641,726
---------------
TOTAL PREFERRED STOCKS
(Cost $14,370,746) 16,161,574
---------------
COMMON STOCKS -- (0.7%)
* Acos Especiais Itabira-Acesita Aces 42,900,000 30,593
* Acos Villares SA Avil 120,000 5,305
Avipal SA Avicultura e Agropecua 50,900,000 80,481
Eternit SA 120,000 10,339
Forjas Taurus SA 88,000 41,459
Metalurgica Gerdau SA 1,292 14,012
Petroquimica do Sul Copesul 18,200,000 898,548
* Rhodia Ster SA 640,780 24,812
Sao Paulo Alpargatas SA 510,000 29,622
---------------
TOTAL COMMON STOCKS
(Cost $1,185,597) 1,135,171
---------------
RIGHTS/WARRANTS -- (0.0%)
* Tele Celular Sul Participacoes SA
Rights 06/07/04 8,289,621 0
* Tele Nordeste Celular Participacoes
SA Rights 05/24/04 7,392,740 24
* Tim Sul SA Rights 05/19/04 243,591 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 24
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Brazilian Real
(Cost $3) 3
---------------
TOTAL -- BRAZIL
(Cost $15,556,346) 17,296,772
---------------
</Table>
244
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<Table>
<Caption>
SHARES VALUE+
------ ------
TURKEY -- (7.6%)
COMMON STOCKS -- (7.6%)
* Adana Cimento Sanayi Ticaret A.S. 253,683,148 $ 166,050
* Ak Enerji A.S. 72,903,000 346,079
* Akal Tekstil A.S. 2,779,875 9,127
Akcansa Cimento Sanayi ve Ticaret
A.S. 274,876,875 583,334
* Aksa 38,821,296 326,505
Aksigorta A.S. 285,150,627 674,484
* Aksu Iplik Dokuma ve Boya Apre Fab
A.S. 4,477,695 6,969
* Aktas Elektrik Ticaret A.S. 370,000 36,963
* Alarko Holding 21,706,400 430,449
* Alarko Sanayii ve Ticaret A.S. 14,579,992 95,623
Alkim Alkali Kimya A.S. 23,650,000 95,605
* Alternatifbank A.S. 97,063,680 45,245
* Altinyildiz Mensucat ve Konfeksiyan
Fabrikalari A.S. 21,960,000 28,563
* Anadolu Anonim Turk Sigorta Sirketi 122,999,220 131,762
Anadolu Cam Sanayii A.S. 250,675,663 622,762
* Anadolu Cam Sanayii A.S. 417,324 1,834
* Anadolu Isuzu Otomotiv Sanayi ve
Ticaret A.S. Series C 15,586,000 91,980
* Ayen Enerji A.S. 17,941,000 122,489
* Bagfas Bandirma Gubre Fabrik 2,300,000 49,890
* Bandirma Vitaminli Yem Sanayii
Ticaret A.S. 36,924,546 232,406
Bati Cimento A.S. 96,109,301 150,942
* Bekoteknik Sanayi A.S. 80,999,725 450,272
* Bolu Cimento Sanayi A.S. 111,833,881 128,556
Borusan 36,993,000 193,360
* Bossa Ticaret ve Sanayi Isletmeleri
A.S. 128,217,000 112,080
* Brisa Bridgestone Sanbanci Lastik
San & Tic A.S. 5,857,000 189,240
Bursa Cimento Fabrikasi A.S. 28,840,000 217,128
* Carsi Buyuk Magazacilik 122,086,500 100,119
Celebi Hava Servisi A.S. 18,903,000 114,692
CIMSA A.S. (Cimento Sanayi ve
Ticaret) 228,659,400 443,008
* Deva Holding A.S. 21,599,332 61,671
* Doktas Dokumculuk Ticaret ve
Sanayi A.S. 63,993,600 81,967
* Eczacibasi Ilac 49,338,000 60,044
* Eczacibasi Ilac Sanayi Issue 197,352,000 220,813
* Eczacibasi Yapi Gere 116,012,250 116,070
* Ege Seramik Co., Inc. 44,835,048 29,273
* Egeplast Plastik Ticaret ve Sanayi
A.S. 7,720,000 7,964
* Finansbank 523,018,021 515,643
* Global Menkul Degerler A.S. 31,200,000 22,117
* Global Menkul Degerler A.S. 15,376,164 10,548
* Goldas Kuyumculuk Sanayi A.S. 88,799,600 42,748
* Goltas Cimento 7,128,000 47,043
* Good Year Lastikleri A.S. 14,659,125 121,321
* GSD Holdings A.S. 62,399,999 21,233
* Gubre Fabrikalari Ticaret A.S. 8,436,960 13,456
* Gunes Sigorta A.S. 68,999,261 45,887
* Hektas Ticaret A.S. 25,477,234 15,783
* Ihlas Holding 285,533,822 220,847
* Is Gayrimenk 289,898,200 272,854
* Isiklar Ambalaj Sansuii ve Ticaret
A.S. 2,685,000 $ 3,176
* Istanbul Motor Piston ve Pim Sanayi
A.S. 229,000 28,135
* Izmir Demir Celik 57,269,250 66,299
Karsu Tekstil Sanayii ve Ticaret A.S. 5,680,000 15,737
Kartonsan 1,698,750 83,644
* Kav Orman Sanayii A.S. 4,654,650 10,781
* Kerevitas Gida Sanayi ve Ticaret
A.S. 2,532,000 6,536
Konya Cimento 4,921,000 54,162
* Kordsa Sabanci Dupont Endustriye
Iplik ve Kord Bezi Sanayi ve Ticaret
A.S. 146,305,500 198,445
* Kutahya Porslen Sanayii A.S. 2,617,000 31,216
* Mardin Cimento 38,235,750 134,209
* Marshall Boya ve Vernik Sanayii A.S. 2,186,000 26,381
* Marshall Boya ve Vernik Sanayii A.S. 2,186,000 25,769
* Medya Holdings A.S. Series C 15,849,000 72,833
* Menderes Tekstil Sanayi ve Ticaret
A.S. 104,549,000 48,792
* Merko Gida Sanayi ve Ticaret A.S.
Series A 10,580,000 7,188
* Milliyet Gazetecilik A.S. 28,557,680 108,508
* Milpa Ticari ve Sinai Urunler
Pazarlama 13,329,360 9,519
* Mudurnu Tavukculuk A.S. 1,740,000 522
* Mutlu Aku 1,527,000 11,304
* Nergis Holding A.S. 1,784,000 4,396
* Net Holding A.S. 15,942,722 12,487
* Net Turizm Ticaret ve Sanayi 16,830,000 14,289
* Netas Northern Electric
Telekomunikasyon A.S. 8,756,500 166,698
* Olmuksa Mukavva Sanayi ve Ticaret
A.S. 20,976,000 28,514
* Otobus Karoseri Sanayi A.S. 44,321,167 166,879
* Pinar Sut Mamulleri Sanayii A.S. 12,143,250 37,908
* Raks Elektroniks A.S. 2,730,000 2,289
* Sanko Pazarlama Ithalat Ihracat A.S. 48,903,000 128,002
* Sarkuysan Elektrolitik Bakir Sanayi
A.S. 10,999,662 14,949
* Sarkuysan Elektrolitik Bakir Sanayi
A.S. Issue 04 43,998,648 53,332
* Sasa Suni ve Sentetik Elyat
Sanayi A.S. 310,985,000 307,680
* Sonmez Filament Sentetik Iplik ve
Elyaf Sanayi A.S. 6,300,000 5,006
* T. Tuborg Bira ve Malt Sanayi A.S. 10,974,754 62,060
* Tansas Izmir Buyuksehir Belediyesi
Ic ve dis Ticaret A.S. 365,309,000 294,628
* Tat Konserve Sanayii A.S. 63,787,500 93,117
* Tekstil Bankasi A.S. 121,274,079 34,779
* Teletas Telekomunikasyon Endustri
Ticaret A.S. 8,799,000 68,168
Tire Kutsan Oluklu Mukavvakutu ve
Kagit Sanayi A.S. 39,939,000 63,398
Trakya Cam Sanayii A.S. 154,764,866 350,122
* Turk Demir Dokum Fabrikalari 60,749,982 105,132
Turk Dis Ticaret Bankasi A.S. 334,067,850 410,033
* Turk Siemens Kablo ve Elektrik
Sanayi A.S. 9,925,500 69,357
</Table>
245
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<Table>
<Caption>
SHARES VALUE+
------ ------
* Turk Sise de Cam Fabrikalari
A.S. Issue 04 74,340,010 $ 121,301
* Turk Sise ve Cam Fabrikalari A.S. 179,550,063 302,426
* Ulker Gida Sanayi Ve Ticaret 101,003,282 413,700
USAS (Ucak Servisi A.S.) 11,938,000 128,841
* Uzel Makina Sanayi A.S. 41,851,000 177,841
* Vakif Finansal Kiralama A.S. 5,450,302 6,642
* Yunsa Yunlu Sanayi ve Ticaret A.S. 10,027,800 8,708
* Zorlu Enerji Elektrik Uretimi
Otoproduktor Gruba A.S. 98,400,000 356,973
---------------
TOTAL -- TURKEY
(Cost $10,681,810) 13,077,609
---------------
ISRAEL -- (7.3%)
COMMON STOCKS -- (7.3%)
* Afcon Industries 159 1,745
Albad Massuot Yitzhak, Ltd. 7,600 120,951
Alony Hetz Properties & Investments,
Ltd. 46,080 86,204
American Israeli Paper Mills, Ltd. 4,542 242,610
* Azorim Investment Development &
Construction Co., Ltd. 40,322 347,470
* Baran Group, Ltd. 9,500 55,493
* Beit Shemesh Engines
Holdings (1997), Ltd. 3,351 10,988
Blue Square Israel, Ltd. 45,312 485,735
* C Mer Industries, Ltd. 7,900 77,446
Danya Cebus, Ltd. 19,413 92,633
Delek Automotive Systems, Ltd. 96,288 697,006
* Delek Drilling 599,731 251,431
Delta Galil Industries, Ltd. 27,362 411,522
* Direct Insurance - I.D.I. Insurance Co.,
Ltd. 59,860 116,056
* Discount Mortgage Bank, Ltd. 1,320 109,589
* Elbit Medical Imaging 27,990 210,890
Elco Industries (1975) 5,476 28,562
Electra Consumer 22,800 274,169
Electra Israel, Ltd. 3,700 274,679
* Electronics Line, Ltd. 3,169 22,199
* Elron Electronic Industries, Ltd. 34,325 453,233
* Feuchtwanger Investments 1984, Ltd. 4,200 2,301
FMS Enterprises Migun, Ltd. 7,300 215,353
* Formula Systems (1985), Ltd. 12,170 230,706
* Formula Vision Technologies, Ltd. 1,604 1,803
Frutarom Industries (1995), Ltd. 48,400 252,629
Gachelet Invetment Co., Ltd. 653 33,132
* Granite Hacarmel Investments, Ltd. 19,200 31,882
* Housing & Construction Holding Co.,
Ltd. 473,282 316,153
Industrial Building Corp., Ltd. 284,973 292,967
Investec Bank, Ltd. 3,222 91,886
* Israel Land Development Co., Ltd. 26,000 89,725
* Israel Petrochemical Enterprises, Ltd. 32,500 150,525
* Israel Salt Industries 38,139 117,462
Ituran 7,011 134,836
* J.O.E.L. Jerusalem Oil Exploration,
Ltd. 6,178 34,122
* Knafaim-Arkia Holdings, Ltd. 14,161 179,337
* Koor Industries, Ltd. 19,500 739,512
* Leader Holding & Investments, Ltd. 11,500 14,131
* Lipman Electronic Engineering, Ltd. 12,968 614,645
* Magic Software Enterprises, Ltd. 24,908 $ 114,193
Maman Cargo Terminals & Handling,
Ltd. 33,600 45,966
* Matav Cable Israel 35,613 332,067
Medtechnica, Ltd. 14,470 66,318
* Mehadrin, Ltd. 3,887 68,253
* Metalink, Ltd. 22,247 137,548
Middle East Tube Co. 19,000 24,873
Miloumor, Ltd. 12,658 48,526
Mivtach Shamir Holdings, Ltd. 12,000 162,911
* Naphtha Israel Petroleum Corp. 105,630 15,690
* Nice Systems, Ltd. 15,600 342,578
* OCIF Investments and Development,
Ltd. 1,100 14,553
Ormat Industries, Ltd. 75,100 324,394
Property and Building Corp., Ltd. 4,894 418,539
* Rapac Electronics, Ltd. 6,000 16,744
* Rapac Technologies (2000), Ltd. 6,000 15,771
* Retalix, Ltd. 13,300 261,467
* Scitex Corp., Ltd. 46,509 263,495
* Shrem Fudim Kelner & Co., Ltd. 6,600 17,251
Strauss Elite, Ltd. 44,000 403,612
Suny Electronic Inc., Ltd. 37,700 215,211
Tadiran Communications, Ltd. 12,806 438,801
* Team Computer & Systems, Ltd. 1,400 25,384
Tefahot Israel Mortgage Bank, Ltd. 33,330 309,075
Telsys, Ltd. Electronic Engineering 5,300 29,945
* Tower Semiconductor, Ltd. 59,093 298,062
* Union Bank of Israel, Ltd. 55,564 184,263
Ytong Industries, Ltd. 52,500 53,290
---------------
TOTAL COMMON STOCKS
(Cost $8,415,304) 12,562,498
---------------
RIGHTS/WARRANTS -- (0.0%)
* Alony Hetz Properties & Investments,
Ltd. Warrants 11/20/07 16,263 6,985
* Delek Drilling Warrants 07/31/04 27,376 5,679
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 12,664
---------------
TOTAL -- ISRAEL
(Cost $8,415,304) 12,575,162
---------------
MEXICO -- (6.9%)
COMMON STOCKS -- (6.9%)
* Cintra S.A. de C.V. 137,000 24,011
* Consorcio Ara S.A. 599,000 1,646,640
* Consorcio Hogar S.A. de C.V. Series B 325,000 105,091
Controladora Comercial Mexicana
S.A. de C.V. Series B 1,326,100 1,557,178
* Corporacion Geo S.A. de C.V.
Series B 1,330,000 1,713,272
* Corporacion Interamericana de
Entramiento S.A. de C.V. Series B 703,769 1,486,293
* Corporacion Mexicana de
Restaurantes S.A. de C.V. Series B 1,623 149
Corporativo Fragua S.A. de C.V.
Series B 31 82
* Desc S.A. de C.V. Series B 981,833 288,230
* Empaques Ponderosa S.A. de C.V.
Series B 206,000 10,831
</Table>
246
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<Caption>
SHARES VALUE+
------ ------
* Empresas ICA Sociedad Controladora
S.A. de C.V. 6,256,350 $ 1,924,356
Empresas la Moderna S.A. de C.V.
Series A 610,700 129,509
* GPo Iusacell 51,405 62,975
Gruma S.A. de C.V. Series B 138,000 231,582
Grupo Casa Saba S.A. de C.V. 39,700 51,141
Grupo Cementos de Chihuahua,
S.A. de C.V. 398,000 652,202
Grupo Corvi S.A. de C.V. Series L 100,000 16,562
Grupo Financiero GBM Atlantico
S.A. de C.V. Series L 9,441 1,870
Grupo Financiero GBM Atlantico
S.A. de C.V. Series L 23,928 5,032
* Grupo Industrial Maseca S.A. de C.V.
Series B 446,000 195,612
Grupo Industrial Saltillo Unique Series 90,600 148,466
* Grupo Nutrisa S.A. de C.V. 188 42
Grupo Posadas S.A. de C.V. Series L 199,000 115,095
* Grupo Qumma S.A. de C.V. Series B 105,334 1,662
* Grupo Tribasa S.A. de C.V. 67,110 0
Herdez Common Series 107,000 46,883
* Hylsamex S.A. de C.V. Series B 82,000 115,690
Industrias Bachoco S.A. de C.V.
(Certificate Representing Series B
and Series L) 66,000 106,997
* Industrias S.A. de C.V. Series B 33,000 151,821
* Jugos del Valle S.A. de C.V. Series B 37,900 59,848
* Movilaccess S.A. de C.V. Series B 13,489 44,918
Nadro S.A. de C.V. Series B 242,967 128,174
* Sanluis Corporacion S.A. de C.V.
(Certificates representing 1 share
Series B, 1 share Series C &
1 share Series D) 3,300 1,345
Vitro S.A. 811,000 852,824
---------------
TOTAL COMMON STOCKS
(Cost $8,982,127) 11,876,383
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Mexican Peso
(Cost $8,636) 6,893
---------------
TOTAL -- MEXICO
(Cost $8,990,763) 11,883,276
---------------
THAILAND -- (6.5%)
COMMON STOCKS -- (6.5%)
A.J. Plast Public Co., Ltd. (Foreign) 166,500 18,222
* Adkinson Securities Public Co., Ltd.
(Foreign) 138,150 32,179
* Advance Agro Public Co., Ltd.
(Foreign) 809,000 448,669
Aeon Thana Sinsap (Thailand) Public
Co., Ltd. 28,500 91,324
Amarin Plaza Public Co., Ltd.
(Foreign) 523,680 28,914
Amata Corp. Public Co., Ltd. 782,800 227,682
Asian Property Development Public
Co., Ltd. (Foreign) 1,435,000 148,558
Bangkok Dusit Medical Services
Public Co., Ltd. (Foreign) 250,000 51,454
Bangkok Expressway Public Co., Ltd.
(Foreign) 1,170,400 $ 675,064
Bangkok Insurance Public Co., Ltd. 35,880 212,255
* Bangkok Land Co., Ltd. (Foreign) 4,830,900 111,931
* Bangkok Rubber Public Co., Ltd.
(Foreign) 14,600 893
Banpu Public Co., Ltd. (Foreign) 133,600 405,048
Big C Supercenter Public Co., Ltd.
(Foreign) 87,000 38,386
* Book Club Finance Public Co., Ltd. 157,200 24,992
Cal-Comp Electronics (Thailand)
Public Co., Ltd. 173,800 139,229
* Capetronic International (Thailand)
Public Co., Ltd. (Foreign) 1,020,399 51,812
Capital Nomura Securities Public Co.,
Ltd. (Foreign) 46,000 86,172
* Central Paper Industry Public Co.,
Ltd. (Foreign) 19,800 1,025
Central Pattana Public Co., Ltd.
(Foreign) 490,000 107,493
Central Plaza Hotel Public Co., Ltd.
(Foreign) 79,000 28,625
* Ch Karnchang Public Co., Ltd.
(Foreign) 797,400 257,479
Charoong Thai Wire & Cable Public
Co., Ltd. 130,000 29,800
Compass East Ind-Foreign 122,000 24,508
* DBS Thai Danu Bank Public Co., Ltd.
(Foreign) 1,306,000 101,724
Dynasty Ceramic Public Co., Ltd. 232,500 115,190
* Eastern Star Real Estate Public Co.,
Ltd. (Foreign) 1,537,600 20,466
Eastern Water Resources
Development & Management
Public Co., Ltd. (Foreign) 90,100 111,043
Fancy Wood Industries Public Co.,
Ltd. 260,800 33,106
* GFPT Public Co., Ltd. 71,400 25,871
GMM Grammy Public Co., Ltd.
(Foreign) 460,000 179,147
* Golden Land Property Development
Public Co., Ltd. (Foreign) 485,616 114,312
Hana Microelectronics Public Co.,
Ltd. (Foreign) 73,894 227,674
Hermraj Land & Development Public
Co., Ltd. 3,087,400 75,340
Home Product Center Public Co., Ltd. 417,900 45,117
ICC International Public Co., Ltd. 155,000 135,630
* International Broadcasting Corp.
Public Co., Ltd. (Foreign) 408,170 179,084
* International Engineering Public Co.,
Ltd. (Foreign) 20,000 503
* ITV Public Co., Ltd. 254,000 93,912
* Jasmine International Public Co.,
Ltd. (Foreign) 7,000,000 151,836
* K.R. Precision Public Co.,
Ltd. (Foreign) 320,598 18,650
Kang Yong Electric Public Co., Ltd.
(Foreign) 7,200 9,672
KCE Electronics Public Co., Ltd.
(Foreign) 204,000 54,809
</Table>
247
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<Table>
<Caption>
SHARES VALUE+
------ ------
* Keppel Thai Properties Public Co., Ltd. 8,360 $ 828
KGI Securities One Public Co.,
Ltd. (Foreign) 1,070,446 102,902
Laguna Resorts & Hotels Public Co.,
Ltd. (Foreign) 32,200 41,272
Loxley Public Co., Ltd. (Foreign) 958,120 87,853
LPN Development Public Co., Ltd.
(Foreign) 340,505 23,668
MBK Development Public Co., Ltd. 114,000 140,498
* Media of Medias Public Co., Ltd.
(Foreign) 9,100 3,701
MFC Asset Management Public
Co., Ltd. (Foreign) 5,000 1,972
MK Real Estate Development Public
Co., Ltd. (Foreign) 472,260 26,541
Muramoto Electronic (Thailand) Public
Co., Ltd. (Foreign) 9,900 64,910
* Nakornthai Strip Mill Public Co., Ltd. 1,902,400 83,936
Nation Multimedia Group Public Co.,
Ltd. (Foreign) 146,259 53,716
National Finance and Securities
Public Co., Ltd. (Foreign) 476,800 173,937
National Petrochemical Public Co.,
Ltd. (Foreign) 447,300 992,285
Noble Development Public Co., Ltd. 260,100 57,700
* Pacific Assets Public Co., Ltd.
(Foreign) 141,000 20,332
* Padaeng Industry Public Co., Ltd.
(Foreign) 73,800 25,649
Patum Rice Mill & Granary Public Co.,
Ltd. (Foreign) 5,500 4,338
Phatra Insurance Public Co., Ltd. 10,000 40,424
Phoenix Pulp and Paper Public Co.,
Ltd. (Foreign) 62,800 151,698
* Prasit Development Public Co.,
Ltd. (Foreign) 29,700 1,098
Quality Houses Public Co., Ltd.
(Foreign) 3,370,500 95,540
Regional Container Lines Public Co.,
Ltd. 482,900 171,402
* Robinson Department Store Public
Co., Ltd. (Foreign) 18,525 1,827
Saha Pathana Inter-Holding Public
Co., Ltd. 350,000 114,740
Saha-Union Public Co., Ltd. (Foreign) 279,500 141,231
* Samart Corporation Public Co., Ltd. 539,500 94,416
Sammakorn Public Co., Ltd. (Foreign) 75,000 4,770
Sansiri Public Co., Ltd. 780,566 107,744
Seamico Securities Public Co., Ltd. 448,722 111,710
Serm Suk Public Co., Ltd. (Foreign) 10,000 6,039
Shinawatra Satellite Public Co., Ltd.
(Foreign) 307,400 96,986
Siam Food Products Public Co., Ltd.
(Foreign) 9,000 17,747
Siam Industrial Credit Public Co., Ltd. 352,862 61,318
Siam Makro Public Co., Ltd. (Foreign) 136,800 161,854
Sino-Thai Engineering & Construction
Public Co., Ltd. (Foreign) 502,100 172,028
Sri Trang Agro Industry Public Co.,
Ltd. (Foreign) 30,496 26,685
Srithai Superware Public Co., Ltd.
(Foreign) 16,400 2,870
* Standard Chartered Nakornthon
Bank Public Co., Ltd. (Foreign) 54 $ 4,392
* STP & I Public Co., Ltd. 138,700 7,453
* Sun Tech Group Public Co., Ltd.
(Foreign) 27,200 1,877
Supalai (Forign) 346,000 26,609
SVI Public Co., Ltd. 122,266 39,781
* Tanayong Public Co., Ltd. (Foreign) 261,000 6,433
TCJ Motor Public Co., Ltd. (Foreign) 730 828
* Telecomasia Corp. Public Co., Ltd.
(Foreign) 765,100 115,039
* Thai Gypsum Public Co., Ltd. 650,000 108,146
Thai Plastic and Chemicals Public
Co., Ltd. (Foreign) 40,500 179,689
Thai Reinsurance Public Co., Ltd.
(Foreign) 660,300 69,334
Thai Rung Union Car Public Co., Ltd.
(Foreign) 165,000 62,226
Thai Stanley Electric (Thailand) Public
Co., Ltd. (Foreign) 16,000 103,328
Thai Vegetable Oil-Foreign 482,600 141,556
Thai Wacoal Public Co., Ltd. 78,000 59,601
Thai-German Ceramic Industry Public
Co., Ltd. (Foreign) 361,000 46,271
* Tipco Asphalt Public Co., Ltd.
(Foreign) 95,200 67,464
TIPCO Foods (Thailand) Public Co.,
Ltd. 147,620 18,557
TISCO Finance Public Co., Ltd.
(Foreign) 745,900 510,198
* TPI Polene Public Co., Ltd. (Foreign) 458,476 367,278
* TT&T Public Co., Ltd. (Foreign) 1,020,000 96,544
* Tuntex (Thailand) Public Co., Ltd.
(Foreign) 126,728 5,998
* United Communication Industry Public
Co., Ltd. (Foreign) 139,000 150,752
United Palm Oil Industry Public Co.,
Ltd. 21,000 21,093
Vanachai Group Co-Foreign 953,066 253,712
* Vinythai Public Co., Ltd. (Foreign) 861,634 244,239
---------------
TOTAL COMMON STOCKS
(Cost $8,462,706) 11,131,363
---------------
RIGHTS/WARRANTS -- (0.0%)
* Bangkok Dusit Medical Services
Public Co., Ltd. (Foreign) Rights
06/25/04 8,333 483
* Bangkok Land (Foreign)
Warrants 2006 217,330 0
* Ch Karnchang Public Co., Ltd.
Warrants 12/06 125,600 25,541
* Seamico Securities Public Co., Ltd.
(Foreign) Warrants 12/02/04 13,680 0
* Seamico Securities Public Co., Ltd.
(Foreign) Warrants 2008 98,500 13,596
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 39,620
---------------
TOTAL -- THAILAND
(Cost $8,462,706) 11,170,983
---------------
</Table>
248
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
INDONESIA -- (6.0%)
COMMON STOCKS -- (6.0%)
* PT Apac Centretex Corporation Tbk 122,000 $ 1,973
* PT Argha Karya Prima Industry Tbk 90,666 7,087
* PT Artha Graya Investama Sentral Tbk 4,773,000 51,331
PT Asahimas Flat Glass Co., Ltd. 1,271,000 255,832
PT Astra Agro Lestari Tbk 6,656,000 1,796,401
PT Astra Graphia Tbk 4,549,000 122,740
* PT Bank NISP Tbk 13,832,920 762,519
* PT Batu Buana 77,715 670
PT Berlian Laju Tanker Tbk 7,383,600 734,381
PT Bhakti Investama Tbk 9,031,500 287,573
PT Branta Mulia Tbk 66,000 5,515
* PT Budi Acid Jaya Tbk 1,449,000 14,106
PT Charoen Pokphand Indonesia Tbk 3,406,500 84,838
* PT Ciputra Development Tbk 161,250 5,133
PT Citra Marga Nusaphala Persada 6,649,500 336,955
* PT Clipan Finance Indonesia Tbk 3,133,000 105,379
PT Dankos Laboratories Tbk 6,022,800 422,518
* PT Davomas Adabi Tbk 4,192,000 266,609
* PT Dharmala Intiland 277,400 2,247
PT Dynaplast Tbk 1,038,000 170,675
PT Enseval Putera Megatrading Tbk 6,380,000 279,190
* PT Eterindo Wahanatama Tbk 397,000 6,007
* PT Ever Shine Textile Tbk 4,029,640 40,188
* PT Gajah Tunggal Tbk 236,000 13,363
* PT GT Petrochem Industries Tbk 918,000 38,324
* PT Hero Supermarket Tbk 33,000 3,563
* PT Indal Aluminium Industry 47,000 709
PT Indorama Synthetics Tbk 2,211,000 100,411
* PT Jakarta International Hotel and
Development Tbk 790,000 19,236
* PT Jaya Real Property 393,500 69,968
PT Kalbe Farma Tbk 25,907,600 1,006,919
* PT Karwell Indonesia 138,000 4,947
* PT Kawasan Industry Jababeka Tbk 43,401,000 375,127
* PT Keramika Indonesia Assosiasi Tbk 100,000 1,887
PT Komatsu Indonesia Tbk 860,000 119,495
PT Lautan Luas Tbk 1,887,500 46,781
PT Matahari Putra Prima Tbk Foreign 2,609,000 140,892
PT Mayorah Indah 2,473,500 246,923
* PT Metrodata Electronics Tbk 3,981,000 32,219
* PT Modern Photo Tbk 40,000 2,711
* PT Mulia Industrindo 542,000 12,836
PT Mustika Ratu Tbk 723,000 31,199
* PT Pakuwon Jati Tbk 63,000 2,412
* PT Panasia Indosyntec Tbk 79,000 3,364
PT Panin Insurance Tbk 7,979,000 205,996
* PT Prasidha Aneka Niaga Tbk 84,000 951
PT Pudjiadi Prestige, Ltd. Tbk 45,500 920
* PT Putra Sejahtera Pioneerindo 29,000 1,180
* PT Rig Tenders Indonesia Tbk 178,000 133,645
PT Selamat Semp Tbk 1,920,000 50,897
* PT Semen Cibinong Tbk 702,000 23,077
* PT Sinar Mas Agro Resources and
Technology Tbk 87,792 26,292
PT Summarecon Agung Tbk 6,332,000 307,947
* PT Sunson Textile Manufacturer Tbk 343,000 3,940
* PT Suparma Tbk 2,400,000 46,495
* PT Surabaya Agung Industri Pulp &
Paper 64,500 452
* PT Surya Dumai Industri Tbk 3,298,500 $ 121,804
* PT Suryamas Dutamakmur 125,000 911
PT Tempo Scan Pacific 471,500 353,425
* PT Texmaco Jaya Tbk 93,000 29,580
PT Timah Tbk 1,701,000 357,971
* PT Trias Sentosa Tbk 9,198,400 193,523
PT Trimegah Sec Tbk 9,961,000 145,636
PT Tunas Ridean Tbk 1,987,000 72,735
PT Ultrajaya Milk Industry & Trading
Co. 390,000 16,387
PT Unggul Indah Corp. Tbk 48,239 12,157
* PT United Tractors 1,128,960 139,780
* PT Wicaksana Overseas International 28,560 762
---------------
TOTAL -- INDONESIA
(Cost $8,401,293) 10,279,616
---------------
POLAND -- (4.0%)
COMMON STOCKS -- (4.0%)
* Amica Wronki SA 18,410 219,619
* Budimex SA 28,076 346,729
* Cersanit-Krasnystaw SA 22,217 568,274
* Computerland SA 14,630 454,902
Debica SA 19,184 660,176
* Echo Investment SA 19,155 428,928
* Fabryki Mebli Forte SA 39,475 143,989
* Farmacol SA 39,250 286,331
* Huta Ferrum SA 309 522
* Impexmetal SA 23,067 202,975
Kroscienskie Huty Szkla Krosno SA 2,000 56,629
* Kutnowskie Zaklady Farmaceutyczne
Polfa SA 3,498 302,773
Lentex SA 13,464 104,686
* Mostostal Export SA 42,087 19,028
* Mostostal Siedlce SA 17,520 60,255
* Mostostal Warszawa SA 18,600 65,550
* Mostostal Zabrze Holding SA 18,293 5,462
* Netia Holdings SA 43,672 48,949
* Ocean Company SA 8,530 270
* Optimus Technologie 7,500 20,951
Orbis SA 25,000 154,918
Polifarb Cieszyn Wroclaw SA 98,435 266,097
Polska Grupa Farmaceutyczna SA 22,323 326,151
* Prosper SA 12,770 55,559
Przedsiebiorstwo Farmaceutyczne
JELFA SA 14,330 258,893
* Przedsiebiorstwo Telekomunikacyjne
Szeptel A.S. 16,774 18,020
Raciborska Fabryka Kotlow SA 37,758 140,498
* Softbank SA 44,730 247,912
* Sokolowskie Zaklady Miesne SA 217,420 332,796
* Stalexport SA 11,514 9,582
* Ster-Projekt SA 20,650 78,855
* Zaklad Przetworstwa Hutniczego
Stalprodukt SA 8,169 110,536
Zaklady Metali Lekkich Kety SA 19,615 630,654
* Zaklady Tluszcowe Kruszwica SA 23,610 242,897
---------------
TOTAL -- POLAND
(Cost $4,254,114) 6,870,366
---------------
</Table>
249
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
HUNGARY -- (2.6%)
COMMON STOCKS -- (2.6%)
* Danubius Hotel & Spa RT 58,038 $ 1,127,881
Delmagyarorszagi Aramszolgaltato
Demasz RT 15,581 870,034
* Fotex First Hungarian-American
Photo Service Co. 749,391 545,350
Globus Konzervipari RT 92,126 380,252
* Mezogazdasagi Gepgyarto
Reszvenytarsasag (Mezogep) 67,414 324,636
* North American Business Industries
RT 51,024 215,902
* Pannonplast P.L.C. 39,441 303,215
* Raba Hungarian Railway Carriage &
Machine Works 143,528 522,670
* Synergon Information Systems Ltd.,
Budapest 30,190 59,952
* Tiszantuli Aramszolgaltato RT Titasz,
Debrecen 1,801 88,333
* Zwack Unicum Liqueur Industry &
Trading Co., Ltd. 1,100 39,822
---------------
TOTAL -- HUNGARY
(Cost $4,893,648) 4,478,047
---------------
PHILIPPINES -- (2.4%)
COMMON STOCKS -- (2.4%)
Alaska Milk Corp. 1,404,000 74,143
* Bacnotan Consolidated Industries, Inc. 122,234 21,867
* Bankard, Inc. 412,000 6,731
* Belle Corp. 20,937,000 183,716
* C & P Homes, Inc. 6,477,000 19,714
* Digital Telecommunications
(Philippines), Inc. 20,973,000 243,553
EDSA Properties Holdings, Inc. 1,759,970 15,585
* EEI Corp. 1,108,000 5,666
* Fil-Estate Land, Inc. 3,170,700 14,823
* Filinvest Development Corp. 4,664,500 78,854
* Filinvest Land, Inc. 25,798,050 479,740
* First E-Bank Corp. 77,000 1,033
Ginebra San Miguel, Inc. 1,065,200 551,888
* Global Equities, Inc. 886,462 799
* House of Investments, Inc. 732,000 4,714
International Container Terminal
Services, Inc. 4,593,837 250,777
* Ionics, Inc. 769,825 16,360
* iVantage Corp. 593,400 3,985
Keppel Philippines Marine, Inc. 610,000 2,946
* Lepanto Consolidated Mining Co.
Series B 1,925,000 8,446
* Mabuhay Holdings Corp. 516,000 1,200
* Macroasia Corp. 2,237,500 22,615
* Manila Jockey Club, Inc. 65,311 8,763
* Megaworld Properties & Holdings, Inc. 21,843,500 438,408
* Metro Pacific Corp. 45,763,860 213,325
* Negros Navigation Co., Inc. 31,100 206
* Philex Mining Corp. Series B 150,000 965
* Philippine Bank of Communications 14,726 22,392
* Philippine National Bank 929,975 396,208
* Philippine National Construction Corp. 173,000 10,058
Philippine Savings Bank 317,212 153,215
* Picop Resources, Inc. 1,125,000 725
* Pilipino Telephone Corp. 1,692,000 $ 53,833
* Prime Orion Philippines, Inc. 2,920,000 8,346
Republic Glass Holding Corp. 507,500 15,161
* RFM Corp. 2,378,934 27,054
Robinson's Land Corp. Series B 3,402,000 108,328
Security Bank Corp. 320,842 96,127
SM Development Corp. 4,971,000 94,492
Soriano (A.) Corp. 3,430,211 56,489
Union Bank of the Philippines 47,500 19,546
* United Paragon Mining Corp. 322,500 519
* Universal Rightfield Property Holdings,
Inc. 1,062,000 532
Universal Robina Corp. 3,158,100 378,318
* Urban Bank, Inc. 5,658 53
* Victorias Milling Co., Inc. 139,680 2,174
* Vitarich Corp. 176,000 819
---------------
TOTAL -- PHILIPPINES
(Cost $6,291,017) 4,115,211
---------------
ARGENTINA -- (1.3%)
COMMON STOCKS -- (1.2%)
* Acindar Industria Argentina de
Aceros SA Series B 459,031 442,533
* Alpargatas SA Industrial y Comercial 1,007 502
* Banco del Sud Sociedad Anonima
Series B 89,000 78,651
* Banco Suquia SA 76,789 12,215
* Capex SA Series A 26,370 26,905
* Celulosa Argentina SA Series B 6,375 4,609
* Central Costanera SA Series B 50,000 63,949
* Central Puerto SA Series B 61,000 31,364
* CINBA SA (Cia de Bebidao y
Alimentos) 15,000 7,809
Cresud SA Comercial Industrial
Financiera y Agropecuaria 155,401 154,810
DYCASA SA (Dragados y
Construcciones Argentina) Series B 23,052 19,483
* Ferrum SA de Ceramica y Metalurgica
Series B 25,200 25,104
* Fiplasto SA Comercial y Industrial
Series B 6,000 4,589
* Garovaglio y Zorraquin SA 14,160 1,957
* Importadora y Exportadora de la
Patagonia Series B 11,500 48,782
* Introductora de Buenos Aires SA
Series A 9,832 6,161
* IRSA Inversiones y Representaciones
SA 306,635 214,813
* Juan Minetti SA 131,531 134,412
* Ledesma S.A.A.I. 387,128 223,929
* Polledo SA Industrial y
Constructora y Financiera 88,891 13,397
* Quimica Estrella SA Series B 27,200 9,178
* Renault Argentina SA 624,451 98,328
* Sol Petroleo SA 50,662 8,303
Solvay Indupa S.A.I.C. 370,500 307,178
---------------
TOTAL COMMON STOCKS
(Cost $2,583,593) 1,938,961
---------------
</Table>
250
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
INVESTMENT IN CURRENCY -- (0.1%)
* Argentine Peso
(Cost $214,576) $ 215,240
---------------
PREFERRED STOCKS -- (0.0%)
* Quimica Estrella New Preferred Shares
(Cost $3,163) 3,260 974
---------------
TOTAL -- ARGENTINA
(Cost $2,801,332) 2,155,175
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (1.7%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.89%,
06/01/04 (Collateralized by $2,900,000 FHLB Notes
3.375%, 06/15/04, valued at $2,947,125) to be
repurchased at $2,903,287 (Cost $2,903,000) $ 2,903 2,903,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $155,034,957)++ $ 171,352,129
===============
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
++ The cost for federal income tax purposes is $155,035,503.
See accompanying Notes to Financial Statements.
251
<Page>
THE DFA ONE-YEAR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
UNITED STATES -- (84.6%)
COMMERCIAL PAPER -- (44.4%)
AIG Funding, Inc.
0.990%, 06/03/04 $ 18,494 $ 18,492,951
Barton Capital Corp.
1.030%, 06/11/04 36,400 36,389,382
1.030%, 06/17/04 13,400 13,393,734
CBA (DE) Finance, Inc.
1.030%, 06/11/04 5,200 5,198,526
CDC Commercial Paper Corp.
1.000%, 06/03/04 45,500 45,497,420
0.990%, 06/10/04 9,000 8,997,705
Ciesco L.P.
1.030%, 06/16/04 8,200 8,196,412
1.030%, 06/17/04 28,800 28,786,533
1.030%, 06/22/04 14,000 13,991,327
Compass Securitization LLC
1.030%, 06/04/04 36,200 36,196,832
1.030%, 06/16/04 16,200 16,192,912
1.040%, 06/18/04 2,100 2,098,955
DuPont (E.I.) de Nemours & Co., Inc.
1.000%, 06/07/04 5,333 5,332,093
1.040%, 07/16/04 34,700 34,653,415
Electricite de France
1.020%, 06/10/04 3,400 3,399,133
1.020%, 06/17/04 43,800 43,780,141
Govco, Inc.
1.050%, 07/01/04 2,700 2,697,615
1.070%, 07/19/04 16,200 16,175,959
1.130%, 07/27/04 35,900 35,835,944
KFW International Finance, Inc.
1.010%, 06/22/04 13,900 13,891,730
Kittyhawk Funding Corp.
1.030%, 06/02/04 44,960 44,958,674
1.030%, 06/09/04 7,500 7,498,233
Marsh & McLennan Co., Inc.
1.010%, 06/22/04 4,100 4,097,561
Nestle Capital Corp.
1.000%, 06/07/04 24,300 24,295,869
Paccar Financial Corp.
0.980%, 06/01/04 35,000 35,000,000
Pfizer, Inc.
1.040%, 07/12/04 45,000 44,945,726
Rabobank
1.030%, 06/01/04 54,800 54,800,000
Sheffield Receivables Corp.
1.040%, 06/22/04 18,260 18,248,580
1.040%, 06/25/04 8,560 8,553,893
1.040%, 06/28/04 6,200 6,195,025
Siemens Capital Corp.
1.010%, 06/02/04 46,200 46,198,688
1.000%, 06/03/04 2,600 2,599,853
1.000%, 06/07/04 $ 1,600 $ 1,599,728
UBS Finance Delaware, Inc.
1.015%, 06/01/04 46,500 46,500,000
United Parcel Service, Inc.
0.960%, 06/01/04 32,900 32,900,000
Windmill Funding Corp.
1.030%, 06/03/04 3,300 3,299,806
1.030%, 06/14/04 30,129 30,117,467
1.080%, 07/06/04 10,500 10,488,934
1.080%, 07/07/04 9,040 9,030,174
---------------
TOTAL COMMERCIAL PAPER
(Cost $820,533,987) 820,526,930
---------------
AGENCY OBLIGATIONS -- (24.1%)
Federal Farm Credit Bank
1.850%, 03/03/06 28,000 27,602,624
Federal Home Loan Bank
2.125%, 11/15/05 19,300 19,210,718
2.500%, 11/15/05 22,500 22,525,425
2.250%, 12/15/05 27,000 26,904,366
2.375%, 02/15/06 27,000 26,866,728
2.250%, 05/15/06 34,400 34,031,851
Federal Home Loan Mortgage
Corporation
5.250%, 01/15/06 76,000 79,272,712
1.875%, 02/15/06 16,000 15,821,456
Federal National Mortgage Association
2.000%, 01/15/06 115,000 114,007,090
5.500%, 02/15/06 24,000 25,136,904
2.125%, 04/15/06 55,000 54,388,400
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $449,991,031) 445,768,274
---------------
BONDS -- (16.1%)
Bayerische Landesbank
2.500%, 04/28/06 55,200 54,493,164
Citigroup, Inc.
6.750%, 12/01/05 44,125 46,825,097
General Electric Capital Corp.
6.800%, 11/01/05 10,083 10,683,624
2.000%, 01/30/06 22,700 22,438,791
2.850%, 01/30/06 16,000 16,045,200
5.350%, 03/30/06 5,500 5,745,987
Gillette Co.
4.000%, 06/30/05 9,400 9,574,652
KFW International Finance, Inc.
2.500%, 10/17/05 37,000 37,169,238
Swiss Bank Corp. New York
6.750%, 07/15/05 3,400 3,567,967
Toyota Motor Credit Corp.
2.070%, 10/31/05 40,500 40,531,104
2.800%, 01/18/06 3,350 3,388,843
</Table>
252
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
Wells Fargo & Co.
7.250%, 08/24/05 $ 36,000 $ 38,124,036
6.125%, 02/15/06 9,000 9,517,320
---------------
TOTAL BONDS
(Cost $300,108,831) 298,105,023
---------------
TOTAL -- UNITED STATES
(Cost $1,570,633,849) 1,564,400,227
---------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (8.9%)
BONDS -- (8.9%)
Asian Development Bank
2.375%, 03/15/06 12,600 12,594,317
European Investment Bank
5.625%, 01/24/06 17,300 18,173,667
Inter-American Development Bank
6.125%, 03/08/06 55,000 58,344,000
Nordic Investment Bank
2.750%, 01/11/06 54,500 54,631,182
World Bank (International Bank for
Reconstruction & Development)
Corporate Bonds
5.000%, 03/28/06 19,600 20,416,340
---------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $166,192,840) 164,159,506
---------------
CANADA -- (5.0%)
BONDS -- (5.0%)
Canada (Government of)
6.375%, 07/21/05 20,000 20,984,000
Export Development Corp.
2.750%, 12/12/05 $ 14,500 $ 14,592,409
Ontario, Province of
6.000%, 02/21/06 55,000 57,883,485
---------------
TOTAL -- CANADA
(Cost $94,740,532) 93,459,894
---------------
FINLAND -- (1.3%)
BONDS -- (1.3%)
Republic of Finland
5.875%, 02/27/06 22,100 23,338,771
---------------
TEMPORARY CASH
INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $4,806,000 FHLB
Notes 1.625%, 06/15/05, valued at
$4,824,263) to be repurchased at
$4,752,470 (Cost $4,752,000) 4,752 4,752,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,859,950,072)++ $ 1,850,110,398
===============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $1,859,950,072.
See accompanying Notes to Financial Statements.
253
<Page>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT@ VALUE+
------- ------
(000)
UNITED STATES -- (59.8%)
AGENCY OBLIGATIONS -- (44.7%)
Federal Farm Credit Bank
1.760%, 09/22/05 $ 13,000 $ 12,914,174
2.625%, 12/15/05 5,225 5,235,894
1.850%, 03/03/06 131,935 130,062,578
2.500%, 03/15/06 9,125 9,091,201
Federal Home Loan Bank
2.125%, 11/15/05 29,300 29,164,458
2.500%, 11/15/05 15,500 15,517,515
2.250%, 12/15/05 47,000 46,833,526
2.500%, 12/15/05 8,000 8,001,680
2.000%, 02/13/06 66,000 65,304,096
2.250%, 05/15/06 13,000 12,860,874
Federal Home Loan Mortgage
Corporation
5.250%, 01/15/06 25,000 26,076,550
1.875%, 02/15/06 76,000 75,151,916
2.375%, 04/15/06 10,000 9,951,850
2.125%, 11/15/05 49,000 48,824,874
Federal National Mortgage Association
2.875%, 10/15/05 25,000 25,176,125
6.000%, 12/15/05 7,500 7,899,293
2.000%, 01/15/06 54,000 53,533,764
5.500%, 02/15/06 49,000 51,321,179
2.125%, 04/15/06 28,000 27,688,640
2.250%, 05/15/06 9,000 8,898,237
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $676,442,377) 669,508,424
---------------
BONDS -- (15.1%)
Bayerische Landesbank
2.500%, 04/28/06 42,400 41,857,068
Citigroup, Inc.
6.750%, 12/01/05 37,025 39,290,634
General Electric Capital Corp.
2.000%, 01/30/06 30,000 29,654,790
2.850%, 01/30/06 3,000 3,008,475
5.350%, 03/30/06 4,000 4,178,900
KFW International Finance, Inc.
2.500%, 10/17/05 31,000 31,141,794
Toyota Motor Credit Corp.
2.070%, 10/31/05 32,000 32,024,576
4.050%, 01/26/06 4,000 4,086,800
Wells Fargo & Co.
7.250%, 08/24/05 32,380 34,290,452
6.125%, 02/15/06 5,500 5,816,140
---------------
TOTAL BONDS
(Cost $226,895,340) 225,349,629
---------------
TOTAL -- UNITED STATES
(Cost $903,337,717) 894,858,053
---------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (14.7%)
BONDS -- (14.7%)
African Development Bank
3.250%, 07/29/05 $ 20,000 $ 20,229,780
Asian Development Bank
2.375%, 03/15/06 9,400 9,395,761
Council of Europe Social Development
Fund
4.875%, 10/27/05 31,500 32,565,330
European Investment Bank
5.625%, 01/24/06 25,700 26,997,876
5.250%, 02/01/06 5,000 5,221,000
Inter-American Development Bank
6.125%, 03/08/06 41,800 44,341,440
Nordic Investment Bank
2.750%, 01/11/06 42,500 42,602,297
World Bank (International Bank for
Reconstruction & Development)
Corporate Bonds
5.000%, 11/04/05 37,500 38,846,250
---------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $222,137,169) 220,199,734
---------------
CANADA -- (5.3%)
BONDS -- (5.3%)
Canada (Government of)
6.375%, 07/21/05 16,000 16,787,200
Export Development Corp.
2.750%, 12/12/05 8,600 8,654,808
Manitoba, Province of
2.750%, 01/17/06 10,000 10,052,830
Ontario, Province of
6.000%, 02/21/06 42,000 44,201,934
---------------
TOTAL BONDS
(Cost $80,720,026) 79,696,772
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars
(Cost $367) 382
---------------
TOTAL -- CANADA
(Cost $80,720,393) 79,697,154
---------------
NETHERLANDS -- (4.8%)
BONDS -- (4.8%)
Bank Nederlandse Gemeenten
4.375%, 12/30/05 37,500 38,545,500
Nederlandse Waterschapsbank NV
5.000%, 09/19/05 21,819 22,549,937
4.250%, 12/28/05 10,000 10,267,000
---------------
TOTAL NETHERLANDS
(Cost $71,931,831) 71,362,437
---------------
</Table>
254
<Page>
<Table>
<Caption>
FACE
AMOUNT@ VALUE+
------- ------
(000)
SWEDEN -- (4.8%)
BONDS -- (4.8%)
Sweden (Kingdom of)
4.375%, 12/20/05 $ 39,500 $ 40,712,650
Swedish Export Credit Corp.
3.000%, 09/30/05 30,000 30,243,900
---------------
TOTAL SWEDEN
(Cost $71,432,251) 70,956,550
---------------
GERMANY -- (3.5%)
BONDS -- (3.5%)
Landesbank Baden-Wuerttemberg
7.000%, 10/05/05 10,000 10,599,000
Landeskreditbank Baden-
Wuerttemberg - Foerderbank
4.500%, 12/30/05 7,000 7,213,500
Landwirtschaftliche Rentenbank
5.000%, 09/19/05 15,000 15,502,500
6.625%, 12/08/05 18,500 19,641,450
---------------
TOTAL GERMANY
(Cost $53,165,203) 52,956,450
---------------
SPAIN -- (2.6%)
BONDS -- (2.6%)
Instituto de Credito Oficial
2.750%, 12/05/05 17,000 17,076,330
2.375%, 04/18/06 22,000 21,876,140
---------------
TOTAL -- SPAIN
(Cost $39,085,523) 38,952,470
---------------
UNITED KINGDOM -- (1.4%)
BONDS -- (1.4%)
BP Capital Markets P.L.C
4.625%, 12/12/05 5,000 5,157,500
Landesbank Baden-Wuerttemberg
Capital Markets PLC
5.500%, 02/23/06 $ 15,000 $ 15,694,500
---------------
TOTAL UNITED KINGDOM
(Cost $21,062,029) 20,852,000
---------------
FINLAND -- (1.4%)
BONDS -- (1.4%)
Republic of Finland
5.875%, 02/27/06 19,500 20,593,033
---------------
FRANCE -- (1.1%)
BONDS -- (1.1%)
ELF Aquitaine SA Medium Term Notes
7.000%, 10/05/05 16,000 16,948,800
---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency
(Cost $1,432) 1,903
---------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $9,558,000 FNMA
Discount Notes 0.96%, 06/16/04,
valued at $9,553,221) to be
repurchased at $9,412,931
(Cost $9,412,000) 9,412 9,412,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,510,208,671)++ $ 1,496,790,584
===============
</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 $1,510,208,671.
See accompanying Notes to Financial Statements.
255
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<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 $390,011, $0, $459,183
and $16,451 of securities on loan, respectively) $ 3,719,940 $ 171,477 $ 3,662,375 $ 208,512
Cash 3,729 1 1 --
Receivables:
Investment Securities Sold -- -- 605 4,746
Dividends, Interest, and Tax Reclaims 5,142 1,482 5,373 140
Securities Lending Income 17 -- 20 5
Fund Shares Sold 1,653 32 3,543 --
Prepaid Expenses and Other Assets 24 4 13 2
------------- ------------- ------------- -------------
Total Assets 3,730,505 172,996 3,671,930 213,405
------------- ------------- ------------- -------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 402,677 -- 474,214 17,443
Investment Securities Purchased -- -- 21,826 --
Fund Shares Redeemed 2,119 -- 96 1,089
Loan Payable -- -- -- 1,261
Due to Advisor 68 7 257 16
Unrealized Loss on Swap Contracts -- 181 -- --
Payable for Futures Margin Variation 139 309 -- --
Accrued Expenses and Other Liabilities 270 32 201 30
------------- ------------- ------------- -------------
Total Liabilities 405,273 529 496,594 19,839
------------- ------------- ------------- -------------
NET ASSETS $ 3,325,232 $ 172,467 $ 3,175,336 $ 193,566
============= ============= ============= =============
SHARES OUTSTANDING $.01 PAR VALUE N/A 20,467,890 188,406,260 17,342,825
============= ============= ============= =============
NET ASSET VALUE , OFFERING AND REDEMPTION
PRICE PER SHARE N/A $ 8.43 $ 16.85 $ 11.16
============= ============= ============= =============
Investments at Cost $ 3,054,407 $ 172,283 $ 3,112,874 $ 208,067
============= ============= ============= =============
</Table>
<Table>
<Caption>
THE U.S. THE U.S. THE U.S. THE DFA
SMALL CAP SMALL MICRO INTERNATIONAL
VALUE SERIES CAP SERIES CAP SERIES VALUE SERIES
------------- ------------- ------------- -------------
ASSETS:
Investments at Value (including $314,398, $116,349,
$130,638 and $419,174 of securities on loan,
respectively) $ 5,478,647 $ 1,873,221 $ 2,884,329 $ 2,449,899
Cash 1 1 -- 15
Receivables:
Investment Securities Sold 27,863 6,981 11,865 3,463
Dividends, Interest, and Tax Reclaims 2,678 794 953 8,315
Securities Lending Income 201 66 223 371
Fund Shares Sold 1,631 1,923 965 812
Prepaid Expenses and Other Assets 24 15 40 13
------------- ------------- ------------- -------------
Total Assets 5,511,045 1,883,001 2,898,375 2,462,888
------------- ------------- ------------- -------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 334,845 123,459 141,682 442,002
Investment Securities Purchased 10,104 12,887 17,913 3,476
Fund Shares Redeemed -- -- -- 335
Due to Advisor 842 43 225 324
Accrued Expenses and Other Liabilities 329 127 202 219
------------- ------------- ------------- -------------
Total Liabilities 346,120 136,516 160,022 446,356
------------- ------------- ------------- -------------
NET ASSETS $ 5,164,925 $ 1,746,485 $ 2,738,353 $ 2,016,532
============= ============= ============= =============
SHARES OUTSTANDING $.01 PAR VALUE 251,552,029 120,164,188 254,180,878 144,560,171
============= ============= ============= =============
NET ASSET VALUE , OFFERING AND REDEMPTION
PRICE PER SHARE $ 20.53 $ 14.53 $ 10.77 $ 13.95
============= ============= ============= =============
Investments at Cost $ 4,514,845 $ 1,663,626 $ 2,200,867 $ 2,082,685
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
256
<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
------------- ------------- ------------- -------------
ASSETS:
Investments at Value (including $101,833, $14,580, $0,
and $102,476 of securities on loan, respectively) $ 544,495 $ 205,501 $ 273,672 $ 661,841
Cash 16 16 15 15
Receivables:
Investment Securities Sold -- 60 297 1,176
Dividends, Interest, and Tax Reclaims 3,087 421 1,156 2,111
Securities Lending Income 120 26 -- 119
Fund Shares Sold 43 7 910 4
Prepaid Expenses and Other Assets 2 1 2 2
------------- ------------- ------------- -------------
Total Assets 547,763 206,032 276,052 665,268
------------- ------------- ------------- -------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 109,273 19,379 -- 107,734
Investment Securities Purchased 4,033 2,489 194 147
Fund Shares Redeemed 13 -- -- 40
Due to Advisor 35 15 22 45
Accrued Expenses and Other Liabilities 72 49 60 87
------------- ------------- ------------- -------------
Total Liabilities 113,426 21,932 276 108,053
------------- ------------- ------------- -------------
NET ASSETS $ 434,337 $ 184,100 $ 275,776 $ 557,215
============= ============= ============= =============
SHARES OUTSTANDING $.01 PAR VALUE N/A N/A N/A N/A
============= ============= ============= =============
NET ASSET VALUE , OFFERING AND REDEMPTION
PRICE PER SHARE N/A N/A N/A N/A
============= ============= ============= =============
Investments at Cost $ 602,564 $ 228,420 $ 208,866 $ 498,966
============= ============= ============= =============
</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 $ 792,644 $ 171,352 $ 1,850,110 $ 1,496,791
Cash 16 757 1 16
Receivables:
Investment Securities Sold 15 35 -- 23,109
Dividends, Interest, and Tax Reclaims 1,951 369 11,050 18,709
Fund Shares Sold 487 264 -- 1,333
Prepaid Expenses and Other Assets 4 1 7 7
------------- ------------- ------------- ---------------
Total Assets 795,117 172,778 1,861,168 1,539,965
------------- ------------- ------------- ---------------
LIABILITIES:
Payables:
Investment Securities Purchased 5,461 801 -- 21,938
Fund Shares Redeemed -- -- 42,100 --
Due to Advisor 51 28 77 63
Deferred Thailand Capital Gains Tax 3,275 665 -- --
Deferred Chilean Repatriation Tax 26 -- -- --
Accrued Expenses and Other Liabilities 180 60 108 108
------------- ------------- ------------- ---------------
Total Liabilities 8,993 1,554 42,285 22,109
------------- ------------- ------------- ---------------
NET ASSETS $ 786,124 $ 171,224 $ 1,818,883 $ 1,517,856
============= ============= ============= ===============
SHARES OUTSTANDING $.01 PAR VALUE N/A N/A 181,594,608 151,720,843
============= ============= ============= ===============
NET ASSET VALUE , OFFERING AND REDEMPTION
PRICE PER SHARE N/A N/A $ 10.02 $ 10.00
============= ============= ============= ===============
Investments at Cost $ 651,112 $ 155,035 $ 1,859,950 $ 1,510,209
============= ============= ============= ===============
</Table>
See accompanying Notes to Financial Statements.
257
<Page>
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<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 $ 26,657 -- $ 23,072 $ 989
Interest 266 $ 1,216 173 15
Income from Securities Lending 171 -- 174 39
------------- ------------- ------------- -------------
Total Investment Income 27,094 1,216 23,419 1,043
------------- ------------- ------------- -------------
EXPENSES
Investment Advisory Services 408 40 1,467 101
Accounting & Transfer Agent Fees 244 83 444 16
Custodian Fees 56 14 139 10
Legal Fees 13 1 10 1
Audit Fees 21 1 19 5
S&P 500 Fees 38 3 -- --
Shareholders' Reports 28 1 25 5
Trustees' Fees and Expenses 29 1 15 2
Other 30 4 33 5
------------- ------------- ------------- -------------
Total Expenses 867 148 2,152 145
------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 26,227 1,068 21,267 898
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities Sold (2,018) 113 22,742 10,993
Net Realized Gain (Loss) on Futures 8,199 15,355 -- --
Net Realized Gain (Loss) on Swap Contracts -- 2,119 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 172,722 (556) 206,595 9,190
Futures (1,635) (8,370) -- --
Swap Contracts -- (491) -- --
------------- ------------- ------------- -------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 177,268 8,170 229,337 20,183
------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 203,495 $ 9,238 $ 250,604 $ 21,081
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
258
<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 $3,065, respectively) $ 17,596 $ 6,892 $ 9,133 $ 27,015
Interest 345 104 157 115
Income from Securities Lending 1,274 462 1,233 1,369
------------- ------------- ------------- -------------
Total Investment Income 19,215 7,458 10,523 28,499
------------- ------------- ------------- -------------
EXPENSES
Investment Advisory Services 5,027 244 1,415 1,881
Accounting & Transfer Agent Fees 761 251 428 483
Custodian Fees 239 79 135 290
Legal Fees 15 5 9 6
Audit Fees 33 11 18 7
Shareholders' Reports 44 14 25 11
Trustees' Fees and Expenses 32 8 15 4
Other 43 19 21 27
------------- ------------- ------------ -------------
Total Expenses 6,194 631 2,066 2,709
------------- ------------- ------------ -------------
NET INVESTMENT INCOME (LOSS) 13,021 6,827 8,457 25,790
------------- ------------- ------------ -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities Sold 292,493 42,483 199,296 50,698
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- 4
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 142,085 22,170 (73,383) 134,458
Translation of Foreign Currency Denominated
Amounts -- -- -- (180)
------------- ------------- ------------ -------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 434,578 64,653 125,913 184,980
------------- ------------- ------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 447,599 $ 71,480 $ 134,370 $ 210,770
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
259
<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
------------- ------------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
($262, $93, $349 and $1,233, respectively) $ 3,501 $ 3,523 $ 3,415 $ 7,595
Interest 40 19 22 44
Income from Securities Lending 675 153 -- 582
------------- ------------- ------------- -------------
Total Investment Income 4,216 3,695 3,437 8,221
------------- ------------- ------------- -------------
EXPENSES
Investment Advisory Services 191 91 125 259
Accounting & Transfer Agent Fees 222 117 162 265
Custodian Fees 100 103 51 169
Legal Fees 1 1 1 2
Audit Fees 2 1 1 3
Shareholders' Reports 3 -- 2 4
Trustees' Fees and Expenses 2 1 1 3
Other 12 1 8 18
------------- ------------- ------------- -------------
Total Expenses 533 315 351 723
------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 3,683 3,380 3,086 7,498
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities Sold (787) 6,588 2,115 4,979
Net Realized Gain (Loss) on Foreign Currency
Transactions 51 35 (73) (6)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 74,747 (8,333) 24,616 43,996
Translation of Foreign Currency Denominated
Amounts (150) 4 16 9
------------- ------------- ------------- -------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 73,861 (1,706) 26,674 48,978
------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 77,544 $ 1,674 $ 29,760 $ 56,476
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
260
<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 $1,516,
$211, $0 and $0, respectively) $ 11,067 $ 1,824 -- --
Interest 69 20 $ 12,886 $ 12,606
------------- ------------- ------------- ---------------
Total Investment Income 11,136 1,844 12,886 12,606
------------- ------------- ------------- ---------------
EXPENSES
Investment Advisory Services 378 151 432 342
Accounting & Transfer Agent Fees 332 98 197 350
Custodian Fees 437 171 75 55
Legal Fees 2 1 5 4
Audit Fees 5 1 11 8
Shareholders' Reports 7 2 14 12
Trustees' Fees and Expenses 4 1 9 11
Other 26 8 15 12
------------- ------------- ------------- ---------------
Total Expenses 1,191 433 758 794
------------- ------------- ------------- ---------------
NET INVESTMENT INCOME (LOSS) 9,945 1,411 12,128 11,812
------------- ------------- ------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities Sold 2,133 7,538 1,326 1,562
Net Realized Gain (Loss) on Foreign Currency
Transactions (575) 62 -- --
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 43,011 (2,301) (7,025) (9,700)
Translation of Foreign Currency Denominated
Amounts (59) (10) -- --
Deferred Thailand Capital Gains Tax (584) 274 -- --
------------- ------------- ------------- ---------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 43,926 5,563 (5,699) (8,138)
------------- ------------- ------------- ---------------
Net Increase (Decrease) in Net Assets Resulting
from Operations $ 53,871 $ 6,974 $ 6,429 $ 3,674
============= ============= ============= ===============
</Table>
See accompanying Notes to Financial Statements.
261
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE U.S. THE ENHANCED
LARGE COMPANY U.S. LARGE COMPANY
SERIES SERIES
------------------------------ ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------- ------------- ------------- -------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 26,227 $ 45,762 $ 1,068 $ 1,729
Net Realized Gain (Loss) on
Investment Securities Sold (2,018) (137,474) 113 983
Net Realized Gain (Loss) on Futures 8,199 9,903 15,355 12,294
Net Realized Gain (Loss) on
Swap Contracts -- -- 2,119 5,138
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 172,722 447,952 (556) (661)
Futures (1,635) (3,012) (8,370) 1,356
Swap Contracts -- -- (491) (1,671)
------------- ------------- ------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 203,495 363,131 9,238 19,168
------------- ------------- ------------- -------------
Distributions From:
Net Investment Income -- -- (689) (1,810)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
------------- ------------- ------------- -------------
Total Distributions -- -- (689) (1,810)
------------- ------------- ------------- -------------
Capital Share Transactions (1):
Shares Issued -- -- 30,584 54,067
Shares Issued in Lieu of Cash
Distributions -- -- 683 1,747
Shares Redeemed -- -- (8,827) (33,101)
------------- ------------- ------------- -------------
Net Increase (Decrease) from Capital
Share Transactions -- -- 22,440 22,713
------------- ------------- ------------- -------------
Transactions in Interest:
Contributions 309,693 547,508 -- --
Withdrawals (188,953) (533,199) -- --
------------- ------------- ------------- -------------
Net Increase (Decrease) from
Transactions in Interest 120,740 14,309 -- --
------------- ------------- ------------- -------------
Total Increase (Decrease) 324,235 377,440 30,989 40,071
NET ASSETS
Beginning of Period 3,000,997 2,623,557 141,478 101,407
------------- ------------- ------------- -------------
End of Period $ 3,325,232 $ 3,000,997 $ 172,467 $ 141,478
============= ============= ============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued N/A N/A 3,608 7,604
Shares Issued in Lieu of
Cash Distributions 81 250
Shares Redeemed (1,042) (4,572)
------------- -------------
2,647 3,282
============= =============
<Caption>
THE U.S. THE U.S.
LARGE CAP VALUE SMALL XM VALUE
SERIES SERIES
------------------------------ ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------- ------------- ------------- -------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 21,267 $ 31,384 $ 898 $ 4,044
Net Realized Gain (Loss) on
Investment Securities Sold 22,742 (48,309) 10,993 64,047
Net Realized Gain (Loss) on Futures -- -- -- --
Net Realized Gain (Loss) on
Swap Contracts -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 206,595 415,785 9,190 41,676
Futures -- -- -- --
Swap Contracts -- -- -- --
------------- ------------- ------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 250,604 398,860 21,081 109,767
------------- ------------- ------------- -------------
Distributions From:
Net Investment Income (11,755) (31,464) (486) (2,339)
Net Short-Term Gains -- -- (10,132) --
Net Long-Term Gains -- -- (10,283) (78,781)
------------- ------------- ------------- -------------
Total Distributions (11,755) (31,464) (20,901) (81,120)
------------- ------------- ------------- -------------
Capital Share Transactions (1):
Shares Issued 437,618 495,839 39,702 58,299
Shares Issued in Lieu of Cash
Distributions 11,311 31,027 20,807 81,120
Shares Redeemed (23,104) (121,409) (46,531) (793,214)
------------- ------------- ------------- -------------
Net Increase (Decrease) from Capital
Share Transactions 425,825 405,457 13,978 (653,795)
------------- ------------- ------------- -------------
Transactions in Interest:
Contributions -- -- -- --
Withdrawals -- -- -- --
------------- ------------- ------------- -------------
Net Increase (Decrease) from
Transactions in Interest -- -- -- --
------------- ------------- ------------- -------------
Total Increase (Decrease) 664,674 772,853 14,159 (625,148)
NET ASSETS
Beginning of Period 2,510,662 1,737,809 179,407 804,555
------------- ------------- ------------- -------------
End of Period $ 3,175,336 $ 2,510,662 $ 193,566 $ 179,407
============= ============= ============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 26,167 36,572 3,592 7,476
Shares Issued in Lieu of
Cash Distributions 682 2,270 1,989 10,215
Shares Redeemed (1,402) (9,461) (4,172) (90,343)
------------- ------------- ------------- -------------
25,447 29,381 1,409 (72,652)
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
262
<Page>
<Table>
<Caption>
THE U.S. THE U.S.
SMALL CAP VALUE SMALL CAP
SERIES SERIES
------------------------------ ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------- ------------- ------------- -------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 13,021 $ 25,250 $ 6,827 $ 8,625
Net Realized Gain (Loss) on Investment
Securities Sold 292,493 354,502 42,483 11,512
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- --
Change in Unrealized
Appreciation (Depreciation) of
Investment Securities and
Foreign Currency 142,085 1,007,496 22,170 370,338
Translation of Foreign Currency
Denominated Amounts -- -- -- --
------------- ------------- ------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 447,599 1,387,248 71,480 390,475
------------- ------------- ------------- -------------
Distributions From:
Net Investment Income (5,150) (26,137) (2,129) (8,820)
Net Short-Term Gains (55,750) -- (639) --
Net Long-Term Gains (300,806) (230,313) -- --
------------- ------------- ------------- -------------
Total Distributions (361,706) (256,450) (2,768) (8,820)
------------- ------------- ------------- -------------
Capital Share Transactions (1):
Shares Issued 454,172 469,039 415,250 397,476
Shares Issued in Lieu of Cash Distributions 353,472 252,312 2,549 8,584
Shares Redeemed (246,666) (482,875) (208,512) (171,130)
------------- ------------- ------------- -------------
Net Increase (Decrease) from Capital
Share Transactions 560,978 238,476 209,287 234,930
------------- ------------- ------------- -------------
Total Increase (Decrease) 646,871 1,369,274 277,999 616,585
NET ASSETS
Beginning of Period 4,518,054 3,148,780 1,468,486 851,901
------------- ------------- ------------- -------------
End of Period $ 5,164,925 $ 4,518,054 $ 1,746,485 $ 1,468,486
============= ============= ============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 21,849 29,244 28,514 34,897
Shares Issued in Lieu of Cash Distributions 18,258 17,959 183 658
Shares Redeemed (12,181) (32,884) (14,671) (15,197)
------------- ------------- ------------- -------------
27,926 14,319 14,026 20,358
============= ============= ============= =============
<Caption>
THE U.S. THE DFA
MICRO CAP INTERNATIONAL VALUE
SERIES SERIES
------------------------------ ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------- ------------- ------------- -------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 8,457 $ 13,103 $ 25,790 $ 31,730
Net Realized Gain (Loss) on Investment
Securities Sold 199,296 57,916 50,698 (3,540)
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- 4 205
Change in Unrealized
Appreciation (Depreciation) of
Investment Securities and
Foreign Currency (73,383) 809,548 134,458 379,196
Translation of Foreign Currency
Denominated Amounts -- -- (180) 114
------------- ------------- ------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 134,370 880,567 210,770 407,705
------------- ------------- ------------- -------------
Distributions From:
Net Investment Income (2,512) (12,775) (7,625) (30,082)
Net Short-Term Gains (35,169) -- -- --
Net Long-Term Gains (22,357) (22,183) -- (1,177)
------------- ------------- ------------- -------------
Total Distributions (60,038) (34,958) (7,625) (31,259)
------------- ------------- ------------- -------------
Capital Share Transactions (1):
Shares Issued 212,705 339,392 292,065 542,740
Shares Issued in Lieu of Cash Distributions 56,959 34,293 7,625 31,258
Shares Redeemed (229,686) (206,440) (91,081) (471,133)
------------- ------------- ------------- -------------
Net Increase (Decrease) from Capital
Share Transactions 39,978 167,245 208,609 102,865
------------- ------------- ------------- -------------
Total Increase (Decrease) 114,309 1,012,854 411,754 479,311
NET ASSETS
Beginning of Period 2,624,043 1,611,189 1,604,778 1,125,467
------------- ------------- ------------- -------------
End of Period $ 2,738,353 $ 2,624,043 $ 2,016,532 $ 1,604,778
============= ============= ============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 19,264 43,658 21,290 53,795
Shares Issued in Lieu of Cash Distributions 5,525 4,472 583 2,986
Shares Redeemed (20,967) (24,233) (6,742) (47,941)
------------- ------------- ------------- -------------
3,822 23,897 15,131 8,840
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
263
<Page>
<Table>
<Caption>
THE JAPANESE THE PACIFIC RIM
SMALL COMPANY SMALL COMPANY
SERIES SERIES
------------------------------ ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------- ------------- ------------- -------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 3,683 $ 3,245 $ 3,380 $ 4,147
Net Realized Gain (Loss) on Investment
Securities Sold (787) (18,120) 6,588 (436)
Net Realized Gain (Loss) on Foreign Currency
Transactions 51 54 35 18
Change in Unrealized Appreciation
(Depreciation) of Investment Securities
and Foreign Currency 74,747 101,101 (8,333) 56,281
Translation of Foreign Currency
Denominated Amounts (150) 16 4 4
------------- ------------- ------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 77,544 86,296 1,674 60,014
------------- ------------- ------------- -------------
Transactions in Interest:
Contributions 77,473 53,153 31,319 25,155
Withdrawals (4,379) (50,797) (5,658) (50,041)
------------- ------------- ------------- -------------
Net Increase (Decrease) from Transactions
in Interest 73,094 2,356 25,661 (24,886)
------------- ------------- ------------- -------------
Total Increase (Decrease) 150,638 88,652 27,335 35,128
NET ASSETS
Beginning of Period 283,699 195,047 156,765 121,637
------------- ------------- ------------- -------------
End of Period $ 434,337 $ 283,699 $ 184,100 $ 156,765
============= ============= ============= =============
<Caption>
THE UNITED KINGDOM THE CONTINENTAL
SMALL COMPANY SMALL COMPANY
SERIES SERIES
------------------------------ ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------- ------------- ------------- -------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 3,086 $ 3,789 $ 7,498 $ 7,753
Net Realized Gain (Loss) on Investment
Securities Sold 2,115 (1,016) 4,979 12,045
Net Realized Gain (Loss) on Foreign Currency
Transactions (73) 30 (6) 315
Change in Unrealized Appreciation
(Depreciation) of Investment Securities
and Foreign Currency 24,616 42,580 43,996 120,867
Translation of Foreign Currency
Denominated Amounts 16 5 9 69
------------- ------------- ------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 29,760 45,388 56,476 141,049
------------- ------------- ------------- -------------
Transactions in Interest:
Contributions 87,100 41,630 61,448 97,585
Withdrawals (2,001) (25,000) (9,116) (53,295)
------------- ------------- ------------- -------------
Net Increase (Decrease) from Transactions
in Interest 85,099 16,630 52,332 44,290
------------- ------------- ------------- -------------
Total Increase (Decrease) 114,859 62,018 108,808 185,339
NET ASSETS
Beginning of Period 160,917 98,899 448,407 263,068
------------- ------------- ------------- -------------
End of Period $ 275,776 $ 160,917 $ 557,215 $ 448,407
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
264
<Page>
<Table>
<Caption>
THE
THE EMERGING
EMERGING MARKETS MARKETS SMALL CAP
SERIES SERIES
------------------------------ ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------- ------------- ------------- -------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 9,945 $ 9,466 $ 1,411 $ 1,764
Net Realized Gain (Loss) on Investment
Securities Sold 2,133 (6,216) 7,538 332
Net Realized Gain (Loss) on Foreign Currency
Transactions (575) (283) 62 (143)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities
and Foreign Currency 43,011 148,355 (2,301) 32,404
Translation of Foreign Currency
Denominated Amounts (59) 10 (10) --
Deferred Thailand Capital Gains Tax (584) (1,826) 274 (720)
------------- ------------- ------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 53,871 149,506 6,974 33,637
------------- ------------- ------------- -------------
Distributions From:
Net Investment Income -- -- -- --
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
------------- ------------- ------------- -------------
Total Distributions -- -- -- --
------------- ------------- ------------- -------------
Capital Share Transactions (1):
Shares Issued -- -- -- --
Shares Issued in Lieu of Cash Distributions -- -- -- --
Shares Redeemed -- -- -- --
------------- ------------- ------------- -------------
Net Increase (Decrease) from Capital Share
Transactions -- -- -- --
------------- ------------- ------------- -------------
Transactions in Interest:
Contributions 164,440 156,160 48,528 36,904
Withdrawals (39,748) (41,298) (2,022) (1,126)
------------- ------------- ------------- -------------
Net Increase (Decrease) from Transactions
in Interest 124,692 114,862 46,506 35,778
------------- ------------- ------------- -------------
Total Increase (Decrease) 178,563 264,368 53,480 69,415
NET ASSETS
Beginning of Period 607,561 343,193 117,744 48,329
------------- ------------- ------------- -------------
End of Period $ 786,124 $ 607,561 $ 171,224 $ 117,744
============= ============= ============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued N/A N/A N/A N/A
Shares Issued in Lieu of Cash Distributions
Shares Redeemed
<Caption>
THE DFA THE DFA
ONE-YEAR FIXED TWO-YEAR GLOBAL
INCOME SERIES FIXED INCOME SERIES
------------------------------ ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------- ------------- ------------- -------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 12,128 $ 18,976 $ 11,812 $ 17,497
Net Realized Gain (Loss) on Investment
Securities Sold 1,326 9,741 1,562 13,434
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- (298)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities
and Foreign Currency (7,025) (6,678) (9,700) (9,932)
Translation of Foreign Currency
Denominated Amounts -- -- -- 306
Deferred Thailand Capital Gains Tax -- -- -- --
------------- ------------- ------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 6,429 22,039 3,674 21,007
------------- ------------- ------------- -------------
Distributions From:
Net Investment Income (10,910) (19,710) (7,516) (17,698)
Net Short-Term Gains (9,586) (12,023) (13,106) --
Net Long-Term Gains (172) (10) (354) (10,965)
------------- ------------- ------------- -------------
Total Distributions (20,668) (31,743) (20,976) (28,663)
------------- ------------- ------------- -------------
Capital Share Transactions (1):
Shares Issued 616,565 715,785 348,541 411,930
Shares Issued in Lieu of Cash Distributions 19,529 29,506 20,864 28,394
Shares Redeemed (258,346) (273,042) (29,857) (36,366)
------------- ------------- ------------- -------------
Net Increase (Decrease) from Capital Share
Transactions 377,748 472,249 339,548 403,958
------------- ------------- ------------- -------------
Transactions in Interest:
Contributions -- -- -- --
Withdrawals -- -- -- --
------------- ------------- ------------- -------------
Net Increase (Decrease) from Transactions
in Interest -- -- -- --
------------- ------------- ------------- -------------
Total Increase (Decrease) 363,509 462,545 322,246 396,302
NET ASSETS
Beginning of Period 1,455,374 992,829 1,195,610 799,308
------------- ------------- ------------- -------------
End of Period $ 1,818,883 $ 1,455 $ 1,517,856 $ 1,195,610
============= ============= ============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 61,285 70,748 34,598 40,550
Shares Issued in Lieu of Cash Distributions 1,947 2,926 2,075 2,803
Shares Redeemed (25,688) (27,014) (2,938) (3,574)
------------- ------------- ------------- -------------
37,544 46,660 33,735 39,779
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
265
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
THE U.S. LARGE COMPANY SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
Return of Capital -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=========================================================================================================================
Total Return 6.77%# 15.05% (16.59)% (12.30)% (4.25)% 20.86%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,325,232 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812 $ 2,775,062
Ratio of Expenses to Average Net
Assets 0.05%* 0.05% 0.05% 0.05% 0.06% 0.06%
Ratio of Net Investment Income to
Average Net Assets 1.61%* 1.75% 1.53% 1.26% 1.12% 1.27%
Portfolio Turnover Rate 1%# 8% 11% 8% 8% 4%
<Caption>
THE ENHANCED U.S. LARGE COMPANY SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 7.94 $ 6.97 $ 8.41 $ 9.92 $ 13.03 $ 12.95
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.05 0.15 0.18 0.44 1.18 1.06
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.48 0.93 (1.46) (1.57) (1.62) 1.34
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.53 1.08 (1.28) (1.13) (0.44) 2.40
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.04) (0.11) (0.16) (0.06) (1.30) (1.02)
Net Realized Gains -- -- -- -- (1.37) (1.30)
Return of Capital -- -- -- (0.32) -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.04) (0.11) (0.16) (0.38) (2.67) (2.32)
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 8.43 $ 7.94 $ 6.97 $ 8.41 $ 9.92 $ 13.03
=========================================================================================================================
Total Return 6.51%# 15.71% (15.34)% (11.66)% 4.64% 20.55%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 172,467 $ 141,478 $ 101,407 $ 90,801 $ 89,927 $ 102,171
Ratio of Expenses to Average Net
Assets 0.18%* 0.18% 0.18% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to
Average Net Assets 1.33%* 1.44% 2.61% 4.37% 5.26% 4.55%
Portfolio Turnover Rate 69%# 138% 183% 122% 71% 82%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The U.S. Large Company Series is organized as a
partnership.
See accompanying Notes to Financial Statements
266
<Page>
<Table>
<Caption>
THE U.S. LARGE CAP VALUE SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 $ 18.79
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.21 0.20 0.25 0.33 0.34
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.39 2.41 (1.43) 1.25 0.04 0.46
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 1.51 2.62 (1.23) 1.50 0.37 0.80
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.22) (0.20) (0.27) (0.32) (0.34)
Net Realized Gains -- -- -- (1.50) (3.13) (1.46)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.07) (0.22) (0.20) (1.77) (3.45) (1.80)
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.85 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79
=========================================================================================================================
Total Return 9.80%# 20.34% (8.64)% 10.97% 3.06% 4.64%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,175,336 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343 $ 1,788,082
Ratio of Expenses to Average Net
Assets 0.15%* 0.15% 0.15% 0.15% 0.16% 0.16%
Ratio of Net Investment Income to
Average Net Assets 1.45%* 1.62% 1.49% 1.66% 2.20% 1.80%
Portfolio Turnover Rate 2%# 7% 9% 6% 26% 43%
<Caption>
THE U.S. SMALL XM VALUE SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 11.26 $ 9.08 $ 10.21 $ 8.95 $ 9.03 $ 8.62
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.04 0.24 0.10 0.15 0.15 0.10
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.11 2.90 0.14 1.88 0.15 0.45
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 1.15 3.14 0.24 2.03 0.30 0.55
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.03) (0.07) (0.10) (0.14) (0.15) (0.10)
Net Realized Gains (1.22) (0.89) (1.27) (0.63) (0.23) (0.04)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (1.25) (0.96) (1.37) (0.77) (0.38) (0.14)
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.16 $ 11.26 $ 9.08 $ 10.21 $ 8.95 $ 9.03
=========================================================================================================================
Total Return 10.92%# 38.88% 2.17% 24.10% 3.42% 6.39%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 193,566 $ 179,407 $ 804,555 $ 793,190 $ 801,368 $ 360,336
Ratio of Expenses to Average Net
Assets 0.14%* 0.13% 0.13% 0.13% 0.13% 0.14%
Ratio of Net Investment Income to
Average Net Assets 0.89%* 0.89% 1.04% 1.32% 2.03% 1.33%
Portfolio Turnover Rate 23%# 43% 34% 8% 26% 35%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
267
<Page>
<Table>
<Caption>
THE U.S. SMALL CAP VALUE SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 20.20 $ 15.04 $ 16.54 $ 16.47 $ 17.16 $ 17.26
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.05 0.12 0.11 0.15 0.16 0.14
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.89 6.29 0.11 3.15 0.97 1.38
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 1.94 6.41 0.22 3.30 1.13 1.52
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.02) (0.12) (0.11) (0.15) (0.16) (0.14)
Net Realized Gains (1.59) (1.13) (1.61) (3.08) (1.66) (1.48)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (1.61) (1.25) (1.72) (3.23) (1.82) (1.62)
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 20.53 $ 20.20 $ 15.04 $ 16.54 $ 16.47 $ 17.16
=========================================================================================================================
Total Return 10.12%# 46.31% 1.05% 23.86% 7.29% 9.78%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 5,164,925 $ 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% 0.25% 0.26%
Ratio of Net Investment Income to
Average Net Assets 0.52%* 0.75% 0.70% 0.86% 0.92% 0.83%
Portfolio Turnover Rate 13%# 35% 30% 13% 32% 29%
<Caption>
THE U.S. SMALL CAP SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24 $ 11.46
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.06 0.08 0.09 0.10 0.11 0.10
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.66 3.92 (1.00) 1.24 0.65 1.83
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.72 4.00 (0.91) 1.34 0.76 1.93
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.02) (0.09) (0.10) (0.10) (0.11) (0.11)
Net Realized Gains (0.01) -- (0.14) (1.83) (1.22) (1.04)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.03) (0.09) (0.24) (1.93) (1.33) (1.15)
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.53 $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24
=========================================================================================================================
Total Return 5.18%# 40.32% (8.42)% 13.08% 6.48% 18.62%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,746,485 $ 1,468,486 $ 851,901 $ 991,082 $ 768,151 $ 586,086
Ratio of Expenses to Average Net
Assets 0.08%* 0.08% 0.08% 0.08% 0.08% 0.09%
Ratio of Net Investment Income to
Average Net Assets 0.82%* 0.84% 0.81% 0.94% 0.99% 0.89%
Portfolio Turnover Rate 7%# 16% 34% 13% 38% 29%
</Table>
* Annualized
# Non-Annualized
See accompanying Notes to Financial Statements.
268
<Page>
<Table>
<Caption>
THE U.S. MICRO CAP SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.48 $ 7.11 $ 7.50 $ 8.19 $ 9.55 $ 8.86
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.03 0.05 0.04 0.07 0.07 0.07
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.50 3.47 (0.25) 1.07 0.46 1.52
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.53 3.52 (0.21) 1.14 0.53 1.59
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.01) (0.05) (0.05) (0.06) (0.07) (0.07)
Net Realized Gains (0.23) (0.10) (0.13) (1.77) (1.82) (0.83)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.24) (0.15) (0.18) (1.83) (1.89) (0.90)
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.77 $ 10.48 $ 7.11 $ 7.50 $ 8.19 $ 9.55
=========================================================================================================================
Total Return 5.15%# 50.34% (2.96)% 17.66% 5.82% 20.06%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 2,738,353 $ 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% 0.15% 0.16%
Ratio of Net Investment Income to
Average Net Assets 0.60%* 0.68% 0.58% 0.88% 0.76% 0.76%
Portfolio Turnover Rate 14%# 19% 19% 14% 37% 23%
<Caption>
THE DFA INTERNATIONAL VALUE SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 $ 11.95
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.18 0.27 0.24 0.27 0.27 0.28
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.43 3.06 (0.78) (1.49) (0.31) 1.29
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 1.61 3.33 (0.54) (1.22) (0.04) 1.57
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.06) (0.25) (0.25) (0.27) (0.26) (0.31)
Net Realized Gains -- (0.01) (0.03) (0.43) (0.81) (0.03)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.06) (0.26) (0.28) (0.70) (1.07) (0.34)
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 13.95 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18
=========================================================================================================================
Total Return 13.00%# 36.24% (5.53)% (10.75)% (0.51)% 13.27%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 2,016,532 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481 $ 1,660,377
Ratio of Expenses to Average Net
Assets 0.29%* 0.30% 0.30% 0.29% 0.29% 0.29%
Ratio of Net Investment Income to
Average Net Assets 2.74%* 2.61% 2.36% 2.32% 2.13% 2.17%
Portfolio Turnover Rate 5%# 14% 18% 6% 9% 6%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
269
<Page>
<Table>
<Caption>
THE JAPANESE SMALL COMPANY SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=========================================================================================================================
Total Return 23.92%# 47.87% (9.62)% (13.51)% (9.93)% 33.83%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 434,337 $ 283,699 $ 195,047 $ 196,187 $ 196,118 $ 202,676
Ratio of Expenses to Average Net
Assets 0.28%* 0.28% 0.27% 0.28% 0.27% 0.28%
Ratio of Net Investment Income to
Average Net Assets 1.92%* 1.41% 1.26% 1.41% 1.38% 1.10%
Portfolio Turnover Rate 1%# 16% 5% 9% 6% 6%
<Caption>
THE PACIFIC RIM SMALL COMPANY SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=========================================================================================================================
Total Return 2.02%# 61.47% 7.28% 2.84% (10.99)% 54.81%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 184,100 $ 156,765 $ 121,637 $ 130,554 $ 131,888 $ 183,759
Ratio of Expenses to Average Net
Assets 0.35%* 0.31% 0.32% 0.28% 0.29% 0.48%
Ratio of Net Investment Income to
Average Net Assets 3.71%* 3.35% 3.77% 3.69% 4.10% 2.95%
Portfolio Turnover Rate 9%# 15% 26% 10% 7% 34%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The Japanese Small Company Series and The Pacific Rim
Small Company Series are organized as partnerships.
See accompanying Notes to Financial Statements.
270
<Page>
<Table>
<Caption>
THE UNITED KINGDOM SMALL COMPANY SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=========================================================================================================================
Total Return 14.33%# 44.65% (4.67)% (4.89)% (6.18)% 36.75%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 275,776 $ 160,917 $ 98,899 $ 96,741 $ 109,806 $ 132,127
Ratio of Expenses to Average Net
Assets 0.28%* 0.26% 0.26% 0.27% 0.26% 0.26%
Ratio of Net Investment Income to
Average Net Assets 2.46%* 3.25% 3.03% 2.86% 3.06% 3.55%
Portfolio Turnover Rate 1%# 7% 6% 14% 11% 5%
<Caption>
THE CONTINENTAL SMALL COMPANY SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=========================================================================================================================
Total Return 12.66%# 52.86% 3.22% (5.43)% 2.67% (5.89)%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 557,215 $ 448,407 $ 263,068 $ 210,337 $ 226,724 $ 252,368
Ratio of Expenses to Average Net
Assets 0.28%* 0.30% 0.31% 0.30% 0.28% 0.27%
Ratio of Net Investment Income to
Average Net Assets 2.89%* 2.49% 2.22% 2.73% 2.36% 1.92%
Portfolio Turnover Rate 2%# 11% 12% 12% 9% 11%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The United Kingdom Small Company Series and The
Continental Small Company Series are organized as partnerships.
See accompanying Notes to Financial Statements.
271
<Page>
<Table>
<Caption>
THE EMERGING MARKETS SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=========================================================================================================================
Total Return 9.71%# 39.67% 2.10% (8.54)% (22.30)% 53.78%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 786,124 $ 607,561 $ 343,193 $ 307,720 $ 296,726 $ 344,175
Ratio of Expenses to Average Net
Assets 0.32%* 0.34% 0.34% 0.46% 0.46% 0.46%
Ratio of Net Investment Income to
Average Net Assets 2.63%* 2.23% 1.64% 1.94% 1.33% 1.34%
Portfolio Turnover Rate 1%# 1% 8% 6% 12% 16%
<Caption>
THE EMERGING MARKETS SMALL CAP SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=========================================================================================================================
Total Return 8.75%# 52.80% 13.07% (9.55)% (23.28)% 71.45%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 171,224 $ 117,744 $ 40,379 $ 34,687 $ 32,572 $ 39,848
Ratio of Expenses to Average Net
Assets 0.57%* 0.54% 0.51% 0.63% 0.66% 0.68%
Ratio of Net Investment Income to
Average Net Assets 1.86%* 2.44% 2.03% 2.17% 1.69% 1.82%
Portfolio Turnover Rate 7%# 6% 16% 14% 20% 24%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The Emerging Markets Series and The Emerging Markets
Small Cap Series are organized as partnerships.
See accompanying Notes to Financial Statements.
272
<Page>
<Table>
<Caption>
THE DFA ONE-YEAR FIXED INCOME SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.10 $ 10.19 $ 10.11 $ 10.01 $ 9.97 $ 10.02
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.07 0.15 0.27 0.49 0.60 0.52
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.02) 0.04 0.09 0.13 0.04 (0.05)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.05 0.19 0.36 0.62 0.64 0.47
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.06) (0.16) (0.28) (0.52) (0.60) (0.52)
Net Realized Gains (0.07) (0.12) -- -- -- --
Return of Capital -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.13) (0.28) (0.28) (0.52) (0.60) (0.52)
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.02 $ 10.10 $ 10.19 $ 10.11 $ 10.01 $ 9.97
=========================================================================================================================
Total Return 0.52%# 1.95% 3.57% 6.33% 6.63% 4.83%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,818,883 $ 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% 0.09%
Ratio of Net Investment Income to
Average Net Assets 1.40%* 1.51% 2.65% 4.89% 6.07% 5.19%
Portfolio Turnover Rate 72%# 143% 154% 55% 35% 58%
<Caption>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.13 $ 10.22 $ 10.03 $ 9.70 $ 10.11 $ 10.21
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.01 0.25 0.30 0.44 0.84 0.45
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.03 (0.01) 0.16 0.22 (0.23) 0.03
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.04 0.24 0.46 0.66 0.61 0.48
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.06) (0.19) (0.27) (0.14) (1.02) (0.57)
Net Realized Gains (0.11) (0.14) -- -- -- (0.01)
Return of Capital -- -- -- (0.19) -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.17) (0.33) (0.27) (0.33) (1.02) (0.58)
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.00 $ 10.13 $ 10.22 $ 10.03 $ 9.70 $ 10.11
=========================================================================================================================
Total Return 0.41%# 2.36% 4.60% 6.91% 6.30% 4.84%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,517,856 $ 1,195,610 $ 799,308 $ 596,209 $ 518,518 $ 531,514
Ratio of Expenses to Average Net
Assets 0.12%* 0.13% 0.14% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to
Average Net Assets 1.73%* 1.78% 3.20% 4.54% 5.03% 4.45%
Portfolio Turnover Rate 60%# 144% 138% 113% 73% 78%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
273
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At May
31, 2004, the Trust consisted of twenty-one investment portfolios, of which
sixteen are included in this report, (collectively, the "Series") (five are
presented in separate reports):
The U.S. Large Company Series
The Enhanced U.S. Large Company Series
The U.S. Large Cap Value Series
The U.S. Small XM Value Series
The U.S. Small Cap Value Series
The U.S. Small Cap Series
The U.S. Micro Cap Series
(the "Domestic Equity Portfolios")
The DFA One-Year Fixed Income Series
The DFA Two-Year Global Fixed Income Series
(the "Fixed Income Portfolios")
The DFA International Value Series
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
(the "International Equity Portfolios")
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America may
require management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates and those differences could be material.
1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day.
Securities held by the Series that are listed on Nasdaq are valued at the Nasdaq
Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP
for the day, the Series values securities at the mean between the quoted bid and
asked prices. Securities held by the International Equity Portfolios that are
listed on a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are
available are valued at the mean between the most recent bid and asked prices.
Fixed income instruments held by The Enhanced U.S. Large Company Series and The
Fixed Income Portfolios are valued at the mean between the most recent quoted
bid and asked prices or prices provided by a pricing service when such prices
are believed to reflect the current market value of these securities. Securities
for which quotations are not readily available, or for which market quotations
have become unreliable, are valued in good faith at fair value using methods
approved by the Board of Trustees.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the
274
<Page>
New York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the
NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the
International Equity Portfolios are computed. Due to the time differences
between the closings of the relevant foreign securities exchanges and the time
the International Equity Portfolios price their shares at the close of the NYSE,
the International Equity Portfolios will fair value their foreign investments
when it is determined that the market quotations for the foreign investments are
either unreliable or not readily available. The fair value prices will attempt
to reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Equity Portfolios' foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Funds have determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock Exchange
or the London Stock Exchange, demonstrate that market quotations may be
unreliable, and may trigger fair value pricing. Consequently, fair valuation of
portfolio securities may occur on a daily basis. The fair value pricing by the
Series utilizes data furnished by an independent pricing service (and that data
draws upon, among other information, the market values of foreign investments).
The fair value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of a Series. When an International Equity Portfolio uses fair value
pricing, the values assigned to the International Equity Portfolio's foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of The Enhanced U.S. Large Company Series, the International Equity
Portfolios and The DFA Two-Year Global Fixed Income Series, whose values are
initially expressed in foreign currencies, are translated to U.S. dollars using
the mean between the most recently quoted bid and asked prices for the U.S.
dollar as quoted by generally recognized reliable sources. Dividend and interest
income and certain expenses are translated to U.S. dollars at the rate of
exchange on their respective accrual dates. Receivables and payables denominated
in foreign currencies are marked to market daily based on daily exchange rates
and exchange gains or losses are realized upon ultimate receipt or disbursement.
The Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series also enter into forward foreign currency contracts solely for the purpose
of hedging against fluctuations in currency exchange rates. These contracts are
also marked to market daily based on daily exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized. However, The
Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series do isolate the effect of fluctuations in foreign currency rates when
determining the realized gain or loss upon the sale or maturity of foreign
currency denominated debt obligations pursuant to U.S. Federal income tax
regulations; such amounts are categorized as foreign exchange gain or loss for
both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of The Enhanced
U.S. Large Company Series, the International Equity Portfolios and The DFA
Two-Year Global Fixed Income Series and the U.S. dollar equivalent amounts
actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
275
<Page>
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities, utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Trustees, generally based on average net
assets.
The International 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.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Trust. For the six months ended May 31,
2004, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on the following effective annual rates 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 May 31, 2004, 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 $ 45,850
The Enhanced U.S. Large Company Series 2,241
The U.S. Large Cap Value Series 40,843
The U.S. Small XM Value Series 2,870
The U.S. Small Cap Value Series 70,642
The U.S. Small Cap Series 23,166
The U.S. Micro Cap Series 40,167
The DFA International Value Series 26,286
The Japanese Small Company Series 5,280
</Table>
276
<Page>
<Table>
The Pacific Rim Small Company Series $ 2,569
The United Kingdom Small Company Series 3,481
The Continental Small Company Series 7,214
The Emerging Markets Series 10,618
The Emerging Markets Small Cap Series 2,087
The DFA One-Year Fixed Income Series 23,949
The DFA Two-Year Global Fixed Income Series 18,887
</Table>
E. PURCHASE AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
<Caption>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
----------------------- -----------------------
PURCHASES SALES PURCHASES SALES
---------- ---------- ---------- ----------
The U.S. Large Company Series -- -- $ 180,353 $ 23,851
The Enhanced U.S. Large Company Series $ 25,492 $ 14,919 54,422 46,798
The U.S. Large Cap Value Series -- -- 467,788 54,183
The U.S. Small XM Value Series -- -- 44,178 52,488
The U.S. Small Cap Value Series -- -- 849,864 662,772
The U.S. Small Cap Series -- -- 306,399 109,038
The U.S. Micro Cap Series -- -- 391,652 412,277
The DFA International Value Series -- -- 315,813 92,912
The Japanese Small Company Series -- -- 82,654 5,454
The Pacific Rim Small Company Series -- -- 45,546 15,737
The United Kingdom Small Company Series -- -- 56,945 3,490
The Continental Small Company Series -- -- 74,753 12,079
The Emerging Markets Series -- -- 128,046 6,712
The Emerging Markets Small Cap Series -- -- 59,052 10,038
The DFA One-Year Fixed Income Series 469,177 325,133 426,251 357,188
The DFA Two-Year Global Fixed Income Series 615,513 409,114 534,522 400,557
</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. At November 30, 2003, the Enhanced U.S. Large Company Series had
unrealized loss on open futures contracts of $1,492,300 which is required to be
treated as a realized gain for tax purposes.
277
<Page>
The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series are treated as partnerships for federal income tax
purposes and therefore, no provision for federal income taxes is required. Any
interest, dividends, and gains or losses have been deemed to have been "passed
down" to their Feeder Funds.
At May 31, 2004, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies was
as follows (amounts in thousands):
<Table>
<Caption>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- ------------
The U.S. Large Company Series $ 840,597 $ (337,378) $ 503,219
The Enhanced U.S. Large Company Series 71 (877) (806)
The U.S. Large Cap Value Series 697,096 (147,595) 549,501
The U.S. Small XM Value Series 25,617 (25,277) 340
The U.S. Small Cap Value Series 1,349,700 (388,214) 961,486
The U.S. Small Cap Series 407,851 (200,668) 207,183
The U.S. Micro Cap Series 968,536 (286,598) 681,938
The DFA International Value Series 474,540 (107,516) 367,024
The Japanese Small Company Series 47,933 (109,062) (61,129)
The Pacific Rim Small Company Series 5,682 (28,654) (22,972)
The United Kingdom Small Company Series 87,310 (22,515) 64,795
The Continental Small Company Series 197,951 (35,076) 162,875
The Emerging Markets Series 215,351 (74,246) 141,105
The Emerging Markets Small Cap Series 35,020 (18,703) 16,317
The DFA One-Year Fixed Income Series 164 (10,004) (9,840)
The DFA Two-Year Global Fixed Income Series 999,829 (1,013,247) (13,418)
</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>
Certain of the DFA International Value Series' investments are in
securities considered to be "passive foreign investment companies", for which
any unrealized appreciation (depreciation) (mark to market) and/or realized
gains are required to be included in distributable net investment income for tax
purposes. At November 30, 2003, the Series had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies of $3,502,361 and $7,718,955 respectively, which
are included in distributable net investment income for tax purposes,
accordingly, such gains have been reclassified from accumulated net realized
gains to accumulated net investment income.
278
<Page>
G. COMPONENTS OF NET ASSETS:
At May 31, 2004, 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 $ 190,367 $ 619 $ (16,040) --
The U.S. Large Cap Value
Series 2,672,681 11,217 (58,064) --
The U.S. Small XM Value
Series 135,881 2,870 54,370 --
The U.S. Small Cap Value
Series 3,902,587 8,703 289,832 --
The U.S. Small Cap Series 1,493,205 4,891 38,794 --
The U.S. Micro Cap Series 1,850,642 6,532 197,718 --
The DFA International Value
Series 1,583,131 19,141 47,022 $ 4
The DFA One-Year Fixed
Income Series 1,825,180 2,242 1,301 --
The DFA Two-Year Global
Fixed Income Series 1,523,077 6,692 1,504 --
<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 $ (2,479) -- $ 172,467 Unlimited
The U.S. Large Cap Value
Series 549,502 -- 3,175,336 Unlimited
The U.S. Small XM Value
Series 445 -- 193,566 Unlimited
The U.S. Small Cap Value
Series 963,803 -- 5,164,925 Unlimited
The U.S. Small Cap Series 209,595 -- 1,746,485 Unlimited
The U.S. Micro Cap Series 683,461 -- 2,738,353 Unlimited
The DFA International Value
Series 367,214 $ 20 2,016,532 Unlimited
The DFA One-Year Fixed
Income Series (9,840) -- 1,818,883 Unlimited
The DFA Two-Year Global
Fixed Income Series (13,417) -- 1,517,856 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 May 28, 2004.
2. FORWARD CURRENCY CONTRACTS: The Enhanced U.S. Large Company Series and
The DFA Two-Year Global Fixed Income Series may enter into forward foreign
currency contracts only to hedge against adverse changes in the relationship of
the U.S. dollar to foreign currencies. At May 31, 2004, there were no
outstanding forward foreign currency contracts.
Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar.
3. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
consideration and risks not typically associated with investments in the United
States, including the possibility of future political and economic developments
and the level of foreign government supervision and regulation of foreign
securities markets. These markets are generally smaller, less liquid and more
volatile than the major securities markets in the United States. Consequently,
acquisition and disposition of securities by the Fund may be inhibited.
4. FUTURES CONTRACTS: During the six months ended May 31, 2004, 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
279
<Page>
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 May 31, 2004, "Large Company" had outstanding 240 long futures contracts
on the S&P 500 Index, all of which expire on June 18, 2004. The value of such
contracts on May 31, 2004 was $67,218,000, which resulted in an unrealized gain
of $606,188.
At May 31, 2004, "Enhanced" had outstanding 515 long futures contracts on
the S&P 500 Index which expire on June 18, 2004. The value of the June contracts
on May 31, 2004 was $144,238,625, which resulted in an unrealized loss of
$1,492,300.
Risks arise upon entering into futures contracts from potential imperfect
price correlations between the futures contracts and the underlying securities
and from the possibility of an illiquid secondary market for these instruments
and from the possibility that the Series could lose more than the initial margin
requirements.
5. EQUITY INDEX SWAPS: Enhanced may enter into equity index swaps in
accordance with its investment objectives. A swap agreement obligates two
parties to exchange returns realized on a notional amount agreed upon by both
parties. The obligations of the parties are calculated on a net basis based on
the daily fluctuations in the indices on which the agreement is based. The daily
net fluctuation is recorded as unrealized gains or losses by Enhanced. At the
termination of the agreement, Enhanced will receive from or pay to the
counterparty, the accumulated net unrealized gain or loss, which will then be
recorded as realized.
At May 31, 2004, Enhanced had an outstanding equity index swap with Morgan
Stanley dated April 15, 2004 (which represents approximately 16% of the net
assets of Enhanced), terminating on October 15, 2004. The notional value of the
swap was $28,221,000 and Enhanced had recorded net unrealized depreciation of
$181,233, owed to Enhanced as of May 31, 2004. 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 effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million. Borrowings under
the line of credit are charged interest at the then current federal funds rate
plus 1%. Each portfolio is individually, and not jointly, liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
The agreement for the discretionary line of credit may be terminated at any
time. For the six months ended May 31, 2004, borrowings under the line 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. Small XM Value Series 1.77% $ 1,057,100 20 $ 1,037 $ 2,633,000
The Pacific Rim Small Company Series 1.74% 430,000 3 62 430,000
</Table>
280
<Page>
The U.S. Small XM Value Series had $1,261,000 outstanding on the line of
credit at May 31, 2004 at an interest rate of 1.81%. The loan was repaid on June
1, 2004.[caad 214]
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement for the line of credit expires in April
2005. There were no borrowings by the Trust under the line of credit during the
six months ended May 31, 2004.
J. SECURITIES LENDING:
As of May 31, 2004, some of the Series' portfolios had securities on loan
to brokers/dealers, for which each portfolio held cash collateral. Each
portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities are
on loan. Loans of securities are required at all times to be secured by
collateral at least equal to 100% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, PNCBank, National
Association, the lending agent, has agreed to pay the amount of the shortfall to
the portfolio or, at the option of the lending agent, to replace the securities.
Cash collateral of each Portfolio received from securities on loan is
invested along with cash collateral from the other Portfolios of the Series in
repurchase agreements collateralized by U.S. government securities. These
investments are accounted for separately for each Portfolio. Securities pledged
as collateral for the repurchase agreements are held by a custodian bank until
the agreements mature.
281
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the non-Feeder Portfolios
and Master Funds use in voting proxies relating to securities held in their
portfolio's is available without charge, upon request, by calling collect:
(310) 395-8005. Information regarding how the Advisor votes these proxies will
become available from the EDGAR database on the SEC's website at
http://www.sec.gov no later than August 31, 2004 when the Funds file their first
report on Form N-PX and will reflect the twelve-month period beginning July 1,
2003 and ending June 30, 2004.
282
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
AAM/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
AAM/DFA TWO-YEAR FIXED INCOME PORTFOLIO
AAM/DFA TWO-YEAR GOVERNMENT PORTFOLIO
DFA INVESTMENT DIMENSIONS GROUP INC.
AAM/DFA INTERNATIONAL HIGH BOOK TO MARKET
PORTFOLIO
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2004
(UNAUDITED)
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities 1
Statements of Net Assets 2
Statements of Operations 4
Statements of Changes in Net Assets 5
Financial Highlights 6
Notes to Financial Statements 9
DFA INVESTMENT DIMENSIONS GROUP INC.
Statement of Assets and Liabilities 13
Statement of Operations 14
Statements of Changes in Net Assets 15
Financial Highlights 16
Notes to Financial Statements 17
THE DFA INVESTMENT TRUST COMPANY
Schedules of Investments 19
Statements of Assets and Liabilities 30
Statements of Operations 31
Statements of Changes in Net Assets 32
Financial Highlights 33
Notes to Financial Statements 35
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 39
</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>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
AAM/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company
(5,018,523 Shares, Cost $65,936)++ at Value+ $ 84,562
Receivables:
Investment Securities Sold 96
Fund Shares Sold 4
Prepaid Expenses and Other Assets 6
------------
Total Assets 84,668
------------
LIABILITIES:
Payables:
Fund Shares Redeemed 101
Due to Advisor 10
Accrued Expenses and Other Liabilities 15
------------
Total Liabilities 126
------------
NET ASSETS $ 84,542
============
SHARES OUTSTANDING $.01 PAR VALUE
(Authorized 200,000,000) 7,581,800
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 11.15
============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $76,702.
See accompanying Notes to Financial Statements.
1
<Page>
AAM/DFA TWO-YEAR FIXED INCOME PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
-------------- --------------
(000)
UNITED STATES -- (83.7%)
AGENCY OBLIGATIONS -- (63.6%)
Federal Farm Credit Bank
1.850%, 03/03/06 $ 11,000 $ 10,843,888
Federal Home Loan Bank
2.125%, 11/15/05 1,800 1,791,673
2.500%, 11/15/05 1,000 1,001,130
2.250%, 12/15/05 2,800 2,790,082
2.375%, 02/15/06 1,900 1,890,622
2.500%, 03/15/06 4,700 4,685,030
Federal Home Loan Mortgage
Corporation
2.875%, 09/15/05 4,000 4,033,928
2.125%, 11/15/05 1,500 1,494,639
5.250%, 01/15/06 1,000 1,043,062
1.875%, 02/15/06 8,000 7,910,728
Federal National Mortgage
Association
1.875%, 09/15/05 5,500 5,472,599
2.875%, 10/15/05 2,000 2,014,090
6.000%, 12/15/05 500 526,620
5.500%, 02/15/06 6,600 6,912,649
--------------
TOTAL AGENCY OBLIGATIONS
(Cost $52,977,654) 52,410,740
--------------
BONDS -- (20.1%)
Bayerische Landesbank
2.500%, 04/28/06 2,400 2,369,268
Citigroup, Inc.
6.750%, 12/01/05 2,200 2,334,622
General Electric Capital Corp.
5.350%, 03/30/06 2,000 2,089,450
Gillette Co.
4.000%, 06/30/05 1,800 1,833,444
KFW International Finance, Inc.
2.500%, 10/17/05 2,000 2,009,148
Swiss Bank Corp. New York
6.750%, 07/15/05 2,000 2,098,804
Toyota Motor Credit Corp.
2.070%, 10/31/05 2,000 2,001,536
Wells Fargo & Co.
7.250%, 08/24/05 1,700 1,800,302
--------------
TOTAL BONDS
(Cost $16,638,006) 16,536,574
--------------
TOTAL -- UNITED STATES
(Cost $69,615,660) 68,947,314
--------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (8.8%)
BONDS -- (8.8%)
African Development Bank
3.250%, 07/29/05 1,800 1,820,680
Inter-american Development Bank
6.125%, 03/08/06 2,200 2,333,760
Nordic Investment Bank
2.750%, 01/11/06 $ 2,300 $ 2,305,536
World Bank (International Bank for
Reconstruction & Development)
Corporate Bonds
5.000%, 03/28/06 800 833,320
--------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $7,372,871) 7,293,296
--------------
CANADA -- (3.9%)
BONDS -- (3.9%)
Export Development Corp.
2.750%, 12/12/05 800 805,099
Ontario, Province of
6.000%, 02/21/06 2,300 2,420,582
--------------
TOTAL -- CANADA
(Cost $3,278,749) 3,225,681
--------------
FINLAND -- (2.6%)
BONDS -- (2.6%)
Republic of Finland
5.875%, 02/27/06 2,000 2,112,106
--------------
TEMPORARY CASH
INVESTMENTS -- (0.3%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $241,000 FHLB
Floating Rate Notes, 1.46% 10/03/05,
valued at $240,699) to be
repurchased at $229,023
(Cost $229,000) 229 229,000
--------------
TOTAL INVESTMENTS -- (99.3%)
(Cost $82,636,268)++ 81,807,397
==============
OTHER ASSETS AND LIABILITIES -- (0.7%)
Interest Receivable 746,724
Payable to Advisor (10,341)
Other Liabilities in Excess of Other
Assets (120,110)
--------------
616,273
--------------
NET ASSETS -- (100.0%)
Applicable to 8,308,564 Shares
Outstanding $.01 Par Value Shares
(200,000,000 Shares Authorized) $ 82,423,670
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $ 9.92
==============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $82,636,268.
See accompanying Notes to Financial Statements.
2
<Page>
AAM/DFA TWO-YEAR GOVERNMENT PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
-------------- --------------
(000)
AGENCY OBLIGATIONS -- (98.2%)
Federal Farm Credit Bank
2.500%, 11/15/05 $ 16,000 $ 16,024,912
2.500%, 03/15/06 23,000 22,914,808
Federal Home Loan Bank
1.750%, 08/15/05 2,500 2,487,298
2.500%, 11/15/05 1,500 1,501,695
2.250%, 12/15/05 1,500 1,494,687
2.500%, 12/15/05 500 500,105
2.000%, 02/13/06 700 692,619
2.375%, 02/15/06 4,000 3,980,256
5.125%, 03/06/06 350 364,573
2.250%, 05/15/06 300 296,789
Tennessee Valley Authority
6.375%, 06/15/05 20,000 20,879,780
--------------
TOTAL AGENCY OBLIGATIONS
(Cost $71,899,401) 71,137,522
--------------
TEMPORARY CASH
INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $556,000 FHLB
Notes 1.625%, 06/15/05,
valued at $558,113) to be
repurchased at $549,054
(Cost $549,000) 549 549,000
--------------
TOTAL INVESTMENTS -- (99.0%)
(Cost $72,448,401)++ 71,686,522
==============
<Caption>
VALUE+
--------------
OTHER ASSETS AND LIABILITIES -- (1.0%)
Interest Receivable $ 801,699
Payable to Advisor (9,049)
Other Liabilities in Excess of Other
Assets (35,310)
--------------
757,340
--------------
NET ASSETS -- (100.0%)
Applicable to 7,362,980
Outstanding $.01 Par Value Shares
(200,000,000 Shares Authorized) $ 72,443,862
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $ 9.84
==============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $72,448,400.
See accompanying Notes to Financial Statements.
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
<Caption>
AAM/DFA AAM/DFA AAM/DFA
U.S. HIGH TWO-YEAR TWO-YEAR
BOOK TO MARKET FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------ ----------
INVESTMENT INCOME
Income Distributions Received from The DFA
Investment Trust Company $ 347 -- --
Interest -- $ 726 $ 637
-------------- ------------ ----------
Total Investment Income 347 726 637
-------------- ------------ ----------
EXPENSES
Investment Advisory Services -- 60 56
Administrative Service Fees 4 -- --
Accounting & Transfer Agent Fees 1 21 19
Shareholder Servicing Fees 63 32 30
Custodian Fees -- 4 3
Legal Fees 1 4 2
Audit Fees 1 11 10
Filing Fees 8 8 7
Shareholders' Reports 3 5 6
Directors' Fees and Expenses 1 -- 1
Other -- 3 1
-------------- ------------ ----------
Total Expenses 82 148 135
-------------- ------------ ----------
NET INVESTMENT INCOME (LOSS) 265 578 502
-------------- ------------ ----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment
Securities Sold 6 96 182
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 7,187 (557) (319)
-------------- ------------ ----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 7,193 (461) (137)
-------------- ------------ ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 7,458 $ 117 $ 365
============== ============ ==========
</Table>
See accompanying Notes to Financial Statements.
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
AAM/DFA AAM/DFA AAM/DFA
U.S. HIGH TWO-YEAR TWO-YEAR
BOOK TO MARKET FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------- ----------------------- -----------------------
SIX SIX SIX
MONTHS YEAR MONTHS YEAR MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003 2004 2003
----------- --------- ----------- --------- ----------- ---------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 265 $ 925 $ 578 $ 1,284 $ 502 $ 1,308
Net Realized Gain (Loss) on
Investment Securities Sold 6 (1,444) 96 1,651 182 1,836
Change in Unrealized Appreciation
(Depreciation) of Investment Securities 7,187 13,126 (557) (1,238) (319) (1,418)
----------- --------- ----------- --------- ----------- ---------
Net Increase (Decrease) in Net
Assets Resulting from Operations 7,458 12,607 117 1,697 365 1,726
----------- --------- ----------- --------- ----------- ---------
Distributions From:
Net Investment Income (499) (898) (503) (1,659) (551) (1,602)
Net Short-Term Gains -- -- (1,374) (1,748) (1,836) (2,641)
Net Long-Term Gains -- (775) (281) -- -- (128)
----------- --------- ----------- --------- ----------- ---------
Total Distributions (499) (1,673) (2,158) (3,407) (2,387) (4,371)
----------- --------- ----------- --------- ----------- ---------
Capital Share Transactions (1):
Shares Issued 6,623 11,800 16,327 10,837 12,086 29,409
Shares Issued in Lieu of Cash
Distributions 441 1,514 1,865 3,173 2,272 3,652
Shares Redeemed (5,968) (19,097) (6,828) (21,383) (25,032) (30,885)
----------- --------- ----------- --------- ----------- ---------
Net Increase (Decrease) from
Capital Share Transactions 1,096 (5,783) 11,364 (7,373) (10,674) 2,176
----------- --------- ----------- --------- ----------- ---------
Total Increase (Decrease) 8,055 5,151 9,323 (9,083) (12,696) (469)
NET ASSETS
Beginning of Period 76,487 71,336 73,101 82,184 85,140 85,609
----------- --------- ----------- --------- ----------- ---------
End of Period $ 84,542 $ 76,487 $ 82,424 $ 73,101 $ 72,444 $ 85,140
=========== ========= =========== ========= =========== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 603 1,343 1,618 1,065 1,216 2,905
Shares Issued in Lieu of Cash
Distributions 41 178 187 314 230 363
Shares Redeemed (541) (2,200) (683) (2,097) (2,487) (3,048)
----------- --------- ----------- --------- ----------- ---------
103 (679) 1,122 (718) (1,041) 220
=========== ========= =========== ========= =========== =========
</Table>
See accompanying Notes to the Financial Statements.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
AAM/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.23 $ 8.74 $ 11.17 $ 12.14 $ 13.82 $ 13.99
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.04 0.13 0.12 0.25 0.22 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.95 1.59 (0.98) 0.90 0.12 0.35
----------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations 0.99 1.72 (0.86) 1.15 0.34 0.59
----------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.12) (0.13) (0.25) (0.21) (0.25)
Net Realized Gains -- (0.11) (1.44) (1.87) (1.81) (0.51)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.07) (0.23) (1.57) (2.12) (2.02) (0.76)
----------- ---------- ---------- ---------- ---------- ----------
Net Assets Value, End of Period $ 11.15 $ 10.23 $ 8.74 $ 11.17 $ 12.14 $ 13.82
=========== ========== ========== ========== ========== ==========
Total Return 9.66%# 20.18% (8.86)% 10.74% 2.82% 4.44%
Net Assets, End of Period (thousands) $ 84,542 $ 76,487 $ 71,336 $ 99,247 $ 130,007 $ 118,923
Ratio of Expenses to Average Net Assets (1) 0.34%* 0.36% 0.36% 0.36% 0.37% 0.35%
Ratio of Net Investment Income to Average
Net Assets 0.63%* 1.39% 1.15% 1.53% 1.92% 1.56%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 2%# 4% 7% 9% 6% 26%
</Table>
- ----------
* Annualized
# Non-annualized
(1) 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.
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
AAM/DFA TWO-YEAR FIXED INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.17 $ 10.40 $ 10.25 $ 10.15 $ 10.09 $ 10.19
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.07 0.23 0.32 0.47 0.58 0.51
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.05) (0.01) 0.18 0.16 0.03 (0.07)
----------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations 0.02 0.22 0.50 0.63 0.61 0.44
----------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income (0.06) (0.22) (0.35) (0.53) (0.55) (0.52)
Net Realized Gains (0.21) (0.23) -- -- -- (0.02)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.27) (0.45) (0.35) (0.53) (0.55) (0.54)
----------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period $ 9.92 $ 10.17 $ 10.40 $ 10.25 $ 10.15 $ 10.09
=========== ========== ========== ========== ========== ==========
Total Return 0.25%# 2.15% 4.95% 6.46% 6.29% 4.42%
Net Assets, End of Period (thousands) $ 82,424 $ 73,101 $ 82,184 $ 105,656 $ 119,602 $ 138,612
Ratio of Expenses to Average Net Assets 0.37%* 0.37% 0.35% 0.35% 0.34% 0.33%
Ratio of Net Investment Income to Average
Net Assets 1.44%* 1.72% 3.09% 4.63% 5.72% 5.00%
Portfolio Turnover Rate 60%# 171% 131% 58% 24% 46%
</Table>
- ----------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
7
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
AAM/DFA TWO-YEAR GOVERNMENT PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.13 $ 10.46 $ 10.37 $ 10.13 $ 10.05 $ 10.19
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.08 0.16 0.31 0.47 0.58 0.49
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.03) 0.06 0.16 0.29 0.03 (0.07)
----------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations 0.05 0.22 0.47 0.76 0.61 0.42
----------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.20) (0.34) (0.52) (0.53) (0.52)
Net Realized Gains (0.26) (0.35) (0.04) -- -- (0.04)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.34) (0.55) (0.38) (0.52) (0.53) (0.56)
----------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period $ 9.84 $ 10.13 $ 10.46 $ 10.37 $ 10.13 $ 10.05
=========== ========== ========== ========== ========== ==========
Total Return 0.44%# 2.11% 4.73% 7.79% 6.23% 4.19%
Net Assets, End of Period (thousands) $ 72,444 $ 85,140 $ 85,609 $ 108,422 $ 122,341 $ 114,742
Ratio of Expenses to Average Net Assets 0.36%* 0.35% 0.35% 0.34% 0.34% 0.34%
Ratio of Net Investment Income to Average
Net Assets 1.36%* 1.57% 2.88% 4.57% 5.82% 4.86%
Portfolio Turnover Rate 44%# 216% 165% 113% 90% 64%
</Table>
- ----------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
8
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twenty-five portfolios (the
"Portfolios"), of which three are presented in this report.
The AAM/DFA U.S. High Book to Market Portfolio ("Feeder Fund") invests all
of its assets in The U.S. Large Cap Value Series (the "Series"), a corresponding
Series of The DFA Investment Trust Company. At May 31, 2004, the Portfolio owned
3% of the outstanding shares of the Series.
The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America may
require management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates and those differences could be material.
1. SECURITY VALUATION: The shares of The U.S. Large Cap Value Series held
by the AAM/DFA U.S. High Book to Market Portfolio are valued at its respective
daily net asset value. Securities held by the AAM/DFA Two-Year Fixed Income
Portfolio and the AAM/DFA Two-Year Government Portfolio are valued on the basis
of prices provided by a pricing service when such prices are believed to reflect
the fair market value of such securities. Securities for which quotations are
not readily available, or for which market quotations have become unreliable,
are valued in good faith at fair value using methods approved by the Board of
Directors.
2. REPURCHASE AGREEMENTS: The AAM/DFA Two-Year Fixed Income Portfolio and
the AAM/DFA Two-Year Government Portfolio may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
or with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 28, 2004.
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
9
<Page>
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. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to the Portfolios
or to the Series are directly charged. Common expenses of the Fund or Portfolios
are allocated using methods approved by the Board of Directors, generally based
on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to one of the Portfolios, including supervision of
services provided by others, providing information to the shareholders and to
the Board of Directors, and other administrative services. The Advisor provides
investment advisory services to two of the Portfolios. For the six months ended
May 31, 2004, the Portfolio's administrative fees or advisory fees,
respectively, were accrued daily and paid monthly to the Advisor based on the
following effective annual rates of average daily net assets for each Portfolio.
<Table>
<Caption>
ADMINISTRATIVE ADVISORY
FEES FEES
-------------- --------
AAM/DFA U.S. High Book to Market Portfolio 0.01% --
AAM/DFA Two-Year Fixed Income Portfolio -- 0.15%
AAM/DFA Two-Year Government Portfolio -- 0.15%
</Table>
In addition, pursuant to a Client Service Agreement with Assante Asset
Management, Inc. ("Assante"), the Portfolios pay to Assante fees at the
following effective annual rates of their average daily net assets for each
Portfolio.
<Table>
AAM/DFA U.S. High Book to Market Portfolio 0.15%
AAM/DFA Two-Year Fixed Income Portfolio 0.08%
AAM/DFA Two-Year Government Portfolio 0.08%
</Table>
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2004, the total liability for deferred compensation to Directors
is included in Accrued Expenses and Other Liabilities as follows:
<Table>
AAM/DFA U.S. High Book to Market Portfolio $ 1,189
AAM/DFA Two-Year Fixed Income Portfolio 1,124
AAM/DFA Two-Year Government Portfolio 1,046
</Table>
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the following 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
--------- --------- --------- ---------
AAM/DFA Two-Year Fixed Income Portfolio $ 40,469 $ 26,331 $ 17,941 $ 21,223
AAM/DFA Two-Year Government Portfolio 32,299 43,874 -- --
</Table>
10
<Page>
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.
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.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
<Caption>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- --------
AAM/DFA U.S. High Book to Market Portfolio $ 18,626 $ (10,766) $ 7,860
AAM/DFA Two-Year Fixed Income Portfolio 11 (840) (829)
AAM/DFA Two-Year Government Portfolio 11 (773) (762)
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. At November 30,
2003, the AAM/DFA U.S. High Book to Market Portfolio had a capital loss
carryforward for federal income tax purposes of approximately $436,000, expiring
November 30, 2011.
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line 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
Portfolios during the six months ended May 31, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings under the line of credit by the Portfolios with
the international custodian bank during the six months ended May 31, 2004.
11
<Page>
H. COMPONENTS OF NET ASSETS:
At May 31, 2004, net assets consisted of (amounts in thousands):
<Table>
<Caption>
AAM/DFA U.S. AAM/DFA AAM/DFA
HIGH BOOK TO TWO-YEAR TWO-YEAR
MARKET FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ----------
Paid-In Capital $ 77,145 $ 82,845 $ 72,769
Accumulated Net Investment Income (Loss) (31) 319 268
Accumulated Net Realized Gain (Loss) (11,198) 89 169
Unrealized Appreciation (Depreciation) of Investment Securities 18,626 (829) (762)
------------ ------------ ----------
Total Net Assets $ 84,542 $ 82,424 $ 72,444
============ ============ ==========
</Table>
12
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
AAM/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31,2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The DFA International Value Series of The DFA
Investment Trust Company (8,285,172 Shares, Cost $72,764)++ at Value+ $ 115,578
Receivables:
Investment Securities Sold 103
Fund Shares Sold 6
Prepaid Expenses and Other Assets 4
------------
Total Assets 115,691
------------
LIABILITIES:
Payables:
Fund Shares Redeemed 109
Due to Advisor 1
Accrued Expenses and Other Liabilities 27
------------
Total Liabilities 137
------------
NET ASSETS $ 115,554
============
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000) 8,341,167
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 13.85
============
NET ASSETS CONSIST OF:
Paid-in Capital $ 76,090
Accumulated Net Investment Income (Loss) (46)
Accumulated Net Realized Gain (Loss) (3,304)
Unrealized Appreciation (Depreciation) from Investment Securities 42,814
------------
Total Net Assets $ 115,554
============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purpose is $78,221.
See accompanying Notes to Financial Statements.
13
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31,2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust
Company $ 502
----------
EXPENSES
Administrative Services 6
Accounting& Transfer Agent Fees 3
Shareholder Servicing Fees 111
Legal Fees 2
Audit Fees 1
Filing Fees 9
Shareholders' Reports 7
----------
Total Expenses 139
----------
NET INVESTMENT INCOME (LOSS) 363
----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold 2,328
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 11,232
----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 13,560
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 13,923
==========
</Table>
See accompanying Notes to Financial Statements.
14
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV.30,
2004 2003
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 363 $ 2,004
Capital Gain Distributions Received from The DFA Investment Trust Company -- 92
Net Realized Gain (Loss) on Investment Securities Sold 2,328 (352)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 11,232 27,670
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations 13,923 29,414
----------- -----------
Distributions From:
Net Investment Income (2,396) (2,111)
Net Short-Term Gains (9) --
Net Long-Term Gains (77) (1,176)
----------- -----------
Total Distributions (2,482) (3,287)
----------- -----------
Capital Share Transactions (1):
Shares Issued 6,612 12,389
Shares Issued in Lieu of Cash Distributions 2,482 3,287
Shares Redeemed (14,923) (21,001)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions (5,829) (5,325)
----------- -----------
Total Increase (Decrease) 5,612 20,802
NET ASSETS
Beginning of Period 109,942 89,140
----------- -----------
End of Period $ 115,554 $ 109,942
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 487 1,255
Shares Issued in Lieu of Cash Distributions 194 366
Shares Redeemed (1,100) (2,133)
----------- -----------
(419) (512)
=========== ===========
</Table>
See accompanying Notes to Financial Statements.
15
<Page>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV.30, NOV.30, NOV.30, NOV.30, NOV.30,
2004 2003 2002 2001 2000 1999
------------ --------- --------- --------- --------- ---------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 12.55 $ 9.61 $ 11.35 $ 14.47 $ 15.29 $ 13.86
------------ --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.05 0.24 0.30 0.32 0.30 0.35
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.54 3.07 (0.90) (1.68) (0.39) 1.42
------------ --------- --------- --------- --------- ---------
Total From Investment Operations 1.59 3.31 (0.60) (1.36) (0.09) 1.77
------------ --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
Net Investment Income (0.28) (0.24) (0.34) (0.33) (0.32) (0.29)
Net Realized Gains (0.01) (0.13) (0.80) (1.43) (0.41) (0.05)
------------ --------- --------- --------- --------- ---------
Total Distributions (0.29) (0.37) (1.14) (1.76) (0.73) (0.34)
------------ --------- --------- --------- --------- ---------
Net Asset Value, End of Period $ 13.85 $ 12.55 $ 9.61 $ 11.35 $ 14.47 $ 15.29
============ ========= ========= ========= ========= =========
Total Return 12.85%# 35.96% (5.76)% 10.97% (0.75)% 13.03%
Net Assets, End of Period (thousands) $ 115,554 $ 109,942 $ 89,140 $ 141,058 $ 209,123 $ 259,693
Ratio of Expenses to Average Net Assets (1) 0.53%* 0.55% 0.54% 0.52% 0.52% 0.50%
Ratio of Net Investment Income to Average
Net Assets 0.62%* 2.20% 2.15% 2.14% 1.85% 2.20%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 5%# 14% 18% 6% 9% 6%
</Table>
- ----------
* Annualized
# Non-annualized
(1) 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.
16
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of thirty-six portfolios, of
which the AAM/DFA International High Book to Market Portfolio ("Portfolio") is
presented in this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 2004, the Portfolio owned 7% of the outstanding shares of
the Series.
The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with these 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. 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 May 31, 2004, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities in the amount of
$1,651.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio or to the Series are directly charged.
Common expenses of the Fund or Portfolios are allocated using methods approved
by the Board of Directors, generally based on average net assets.
The Series may be subject to taxes imposed by countries in which its
invests, with respect to its investment in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Series accrues such
taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income capital
or the proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.
17
<Page>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2004, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.01 of 1% of the Portfolio's
average daily net assets.
In addition, pursuant to a Client Service Agreement with Assante Asset
Management, Inc. ("Assante"), the Portfolio pays to Assante a fee at the
effective annual rate of 0.19 of 1% of its average daily net assets. Until March
26, 1999, this fee was 0.13 of 1% of its average daily net assets.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
D. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Fund intends to
continue to qualify as a regulated investment company under Subchapter M of the
Internal Revenue Code and distribute substantially all of its taxable income and
capital gains to shareholders. Because income tax regulations differ from
accounting principles generally accepted in the United States of America, the
timing and character of income and capital gain distributions determined in
accordance with tax regulations can differ from income and capital gains
recognized for financial reporting purposes. Accordingly, the character of
distributions and the composition of net assets for tax purposes can differ from
those reflected in the financial statements. These book/tax differences may be
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid in capital, accumulated net realized gain
(loss) or undistributed net investment income as appropriate, in the period the
differences arise. These reclassifications have no effect on net assets or net
asset value per share.
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Statement of Assets and Liabilities.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
Gross Unrealized Appreciation $ 42,814
Gross Unrealized Depreciation (5,457)
----------
Net $ 37,357
==========
</Table>
E. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line are charged interest at the current federal funds rate
plus 1%. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed 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
Portfolio during the six months ended May 31, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings under the line of credit by the Portfolio during
the six months ended May 31, 2004.
18
<Page>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------- ------
COMMON STOCKS -- (85.3%)
* 3COM Corp. 606,100 $ 3,921,467
A. G. Edwards, Inc. 17,500 654,500
*# Advanced Micro Devices, Inc. 504,800 7,849,640
Aetna, Inc. 539,626 43,817,631
* Agere Systems, Inc. Class A 8,652 21,976
* Agere Systems, Inc. Class B 212,364 520,292
# Albertson's, Inc. 538,100 12,607,683
* Allegheny Corp. 17,934 4,779,411
Alliant Energy Corp. 212,900 5,318,242
* Allied Waste Industries, Inc. 255,800 3,391,908
* Allmerica Financial Corp. 98,000 3,150,700
Allstate Corp. 1,618,800 71,194,824
Ambac Financial Group, Inc. 23,200 1,604,280
Amerada Hess Corp. 196,432 13,866,135
American Financial Group, Inc. 177,400 5,359,254
American National Insurance Co. 46,700 4,380,927
*# American Tower Corp. 336,000 4,646,880
*# Americredit Corp. 374,000 6,619,800
Anadarko Petroleum Corp. 627,078 34,188,293
Apache Corp. 129,990 5,246,396
* Apple Computer, Inc. 197,300 5,536,238
* Applied Micro Circuits Corp. 213,200 1,149,148
Archer-Daniels Midland Co. 2,475,260 41,163,574
* Arrow Electronics, Inc. 308,200 8,392,286
Ashland, Inc. 297,600 14,031,840
Astoria Financial Corp. 40,500 1,549,935
AT&T Corp. 1,937,780 32,128,392
* AT&T Wireless Services, Inc. 5,388,737 76,304,516
*# AutoNation, Inc. 2,057,600 34,300,192
* Avnet, Inc. 199,900 4,677,660
AVX Corp. 125,400 1,986,336
Bank of America Corp. 82,170 6,830,792
Bank of Hawaii Corp. 327,500 14,229,875
* Barnes & Noble, Inc. 13,000 389,220
Bausch & Lomb, Inc. 11,800 720,036
Bear Stearns Companies, Inc. 373,770 30,297,796
Belo Corp. Class A 324,200 9,537,964
* Big Lots, Inc. 253,500 3,706,170
# Blockbuster, Inc. Class A 23,300 364,878
Boise Cascade Corp. 213,400 7,501,010
Borders Group, Inc. 34,000 776,220
Borg-Warner, Inc. 201,600 8,354,304
Bowater, Inc. 168,400 7,111,532
Burlington Northern Santa Fe Corp. 1,283,000 42,262,020
* Caesars Entertainment, Inc. 845,900 11,648,043
* Cavco Industries, Inc. 11,450 434,402
# Cendant Corp. 311,800 7,152,692
*# CheckFree Corp. 56,200 1,723,092
Chubb Corp. 258,900 17,442,093
*# CIENA Corp. 164,600 592,560
Cincinnati Financial Corp. 579,159 24,759,047
Circuit City Stores, Inc. 531,900 6,366,843
Clear Channel Communications, Inc. 1,428,466 56,710,100
*# CNA Financial Corp. 635,600 19,080,712
Coca-Cola Enterprises, Inc. 1,785,400 49,187,770
* Comcast Corp. Class A 2,432,666 $ 70,425,681
* Comcast Corp. Special Class A
Non-Voting 927,100 26,283,285
Commerce Group, Inc. 93,100 4,219,292
Commercial Federal Corp. 98,900 2,771,178
* Compuware Corp. 35,800 284,610
* Comverse Technology, Inc. 111,500 1,970,205
ConocoPhilips 220,400 16,161,932
*# Corning, Inc. 998,300 12,368,937
Countrywide Financial Corp. 819,999 52,889,935
*# Cox Communications, Inc. 1,421,400 44,646,174
*# Crown Castle International Corp. 468,900 6,906,897
# CSX Corp. 577,800 18,258,480
# Cummins, Inc. 143,100 8,334,144
Curtiss-Wright Corp-Cl B W/I 27,130 1,214,067
# Dana Corp. 510,700 9,524,555
*# Delta Air Lines, Inc. 402,500 2,455,250
# Diamond Offshore Drilling, Inc. 298,241 6,737,264
Dillards, Inc. Class A 48,900 978,489
Disney (Walt) Co. 906,600 21,277,902
# Eastman Chemical Co. 108,200 5,013,988
Electronic Data Systems Corp. 746,200 12,200,370
Federated Department Stores, Inc. 618,200 29,494,322
First American Financial Corp. 156,500 4,062,740
First Citizens Bancshares, Inc. 10,300 1,194,800
Florida East Coast Industries, Inc. 68,139 2,465,269
Foot Locker, Inc. 175,000 4,130,000
# Ford Motor Co. 4,185,900 62,160,615
# General Motors Corp. 1,395,700 63,350,823
Georgia-Pacific Corp. 684,200 24,508,044
*# Goodyear Tire & Rubber Co. 203,900 1,773,930
Harris Corp. 151,400 7,000,736
Hartford Financial Services Group,
Inc. 487,000 32,200,440
Hearst-Argyle Television, Inc. 238,600 6,239,390
Helmerich & Payne, Inc. 146,800 3,662,660
Hibernia Corp. 274,500 6,588,000
Hollinger International, Inc. Class A 257,600 4,533,760
Horton (D.R.), Inc. 818,872 23,665,401
* Human Genome Sciences, Inc. 23,900 259,793
* Humana, Inc. 618,900 10,564,623
Ikon Office Solutions, Inc. 123,700 1,363,174
Independence Community Bank Corp. 12,500 469,000
* Ingram Micro, Inc. 336,900 4,868,205
* Instinet Group, Inc. 15,200 100,168
*# InterActiveCorp 1,496,500 46,780,590
International Paper Co. 1,215,775 50,977,446
*# Invitrogen Corp. 50,100 3,479,445
* JDS Uniphase Corp. 1,095,700 3,780,165
JP Morgan Chase & Co. 2,244,400 82,683,696
# Kerr-McGee Corp. 207,658 10,227,156
KeyCorp 941,600 29,575,656
# Labranche & Co., Inc. 19,700 176,512
LaFarge North America, Inc. 257,500 11,345,450
Lear Corp. 110,900 6,568,607
*# Level 3 Communications, Inc. 195,500 762,450
</Table>
19
<Page>
<Table>
<Caption>
SHARES VALUE+
------- ------
* Liberty Media Corp. 6,276,100 $ 68,911,578
Lincoln National Corp. 418,500 19,874,565
Loews Corp. 636,800 36,698,784
# Louisiana-Pacific Corp. 94,500 2,182,950
* LSI Logic Corp. 647,300 5,307,860
Lubrizol Corp. 182,000 6,026,020
*# Lucent Technologies, Inc. 1,193,800 4,261,866
Lyondell Chemical Co. 447,200 7,387,744
Manulife Financial Corp. 425,285 16,509,564
Marathon Oil Corp. 961,450 32,054,743
# May Department Stores Co. 63,100 1,808,446
MBIA, Inc. 327,250 18,126,378
# MeadWestavco Corp. 758,431 20,947,864
MetLife, Inc. 1,830,500 65,074,275
*# Metro-Goldwyn-Mayer, Inc. 261,100 3,104,479
MGIC Investment Corp. 116,900 8,533,700
* MGM Grand, Inc. 390,100 17,324,341
* Micron Technology, Inc. 767,000 11,528,010
*# Mony Group, Inc. 51,200 1,599,488
Nationwide Financial Services, Inc. 94,300 3,446,665
Norfolk Southern Corp. 1,537,600 37,256,048
Northrop Grumman Corp. 427,771 44,116,023
Nucor Corp. 15,000 987,750
Occidental Petroleum Corp. 650,800 28,765,360
# Odyssey Re Holdings Corp. 50,500 1,275,125
Old Republic International Corp. 501,412 11,412,137
* Owens-Illinois, Inc. 314,400 4,662,552
* Pacificare Health Systems, Inc. 50,000 1,846,500
* Pactiv Corp. 55,100 1,299,258
*# PanAmSat Corp. 350,100 8,132,823
# Peabody Energy Corp. 54,600 2,715,804
# Penney (J.C.) Co., Inc. 1,120,000 40,073,600
PepsiAmericas, Inc. 192,000 4,078,080
* Phelps Dodge Corp. 287,085 19,493,072
# PMI Group, Inc. 191,100 8,249,787
Pogo Producing Co. 69,200 3,147,216
*# Pride International, Inc. 303,400 4,769,448
Principal Financial Group, Inc. 746,100 26,076,195
Protective Life Corp. 141,500 5,232,670
* Providian Financial Corp. 483,100 6,570,160
Pulte Homes Inc. 248,400 13,103,100
# Questar Corp. 251,000 9,199,150
*# Qwest Communications
International, Inc. 2,000,600 7,502,250
Radian Group, Inc. 211,300 9,719,800
* Radio One, Inc. 22,900 395,712
Rayonier, Inc. 500 21,000
Raytheon Co. 1,311,300 43,600,725
Reinsurance Group of America, Inc. 114,100 4,535,475
* Rite Aid Corp. 969,800 4,868,396
# RJ Reynolds Tobacco Holdings, Inc. 251,326 14,124,521
Ryder System, Inc. 275,400 10,231,110
# Safeco Corp. 486,400 20,404,480
Saint Paul Companies, Inc. 695,326 27,590,536
Saks, Inc. 743,200 11,155,432
* Sanmina Corp. 639,900 6,770,142
SBC Communications, Inc. 430,200 10,195,740
# Sears, Roebuck & Co. 493,500 18,753,000
* Service Corp. International 237,100 1,707,120
* Smithfield Foods, Inc. 68,400 1,982,916
*# Smurfit-Stone Container Corp. 617,026 11,205,192
* Solectron Corp. 1,155,300 $ 6,354,150
# Sovereign Bancorp, Inc. 781,020 16,987,185
# Sprint Corp. 2,161,500 38,388,240
StanCorp Financial Group, Inc. 20,000 1,281,800
Starwood Hotels and Resorts
Worldwide, Inc. 573,500 24,190,230
Steelcase, Inc. Class A 47,400 559,320
* Sun Microsystems, Inc. 2,143,700 9,067,851
Sunoco, Inc. 298,800 18,385,164
Supervalu, Inc. 565,200 17,532,504
*# Tech Data Corp. 119,000 4,776,660
# Telephone & Data Systems, Inc. 89,300 6,398,345
* Tellabs, Inc. 716,800 5,691,392
Temple-Inland, Inc. 131,300 8,576,516
* Tenet Healthcare Corp. 1,047,300 12,483,816
# Textron, Inc. 123,000 6,721,950
* The DIRECTV Group, Inc. 680,337 11,980,735
# Thomas & Betts Corp. 46,900 1,147,174
Tidewater, Inc. 100,900 2,788,876
* Time Warner, Inc. 7,039,080 119,945,923
Torchmark Corp. 127,200 6,892,968
* Toys R Us, Inc. 819,300 12,879,396
* Triad Hospitals, Inc. 147,000 5,197,920
# Tyson Foods, Inc. Class A 912,556 18,725,649
Union Pacific Corp. 824,200 48,067,344
Unionbancal Corp. 86,600 4,987,294
* Unisys Corp. 113,200 1,534,992
* United States Cellular Corp. 122,800 4,372,908
# United States Steel Corp. 326,200 9,903,432
Unitrin, Inc. 223,800 8,974,380
# UnumProvident Corp. 913,089 13,294,576
# Valero Energy Corp. 306,800 20,282,548
Valhi, Inc. 158,500 1,759,350
* VeriSign, Inc. 166,300 3,016,682
Viacom, Inc. Class B 3,061,100 112,923,979
*# Vishay Intertechnology, Inc. 315,716 5,957,561
* Vitesse Semiconductor, Inc. 2,800 15,288
* WebMD Corp. 25,800 228,588
Weis Markets, Inc. 20,800 710,320
Wesco Financial Corp. 13,540 5,103,903
* Westport Resources Corp. 30,800 1,065,680
# Weyerhaeuser Co. 565,400 34,195,392
Worthington Industries, Inc. 133,200 2,549,448
*# Xerox Corp. 75,000 1,015,500
---------------
TOTAL COMMON STOCKS
(Cost $2,572,821,731) 3,122,322,882
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (14.7%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $67,332,000
FNMA Discount Notes, 12/10/04,
valued at $66,827,010) to be
repurchased at $65,845,511
(Cost $65,839,000) $ 65,839 65,839,000
</Table>
20
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
Repurchase Agreement, Merrill Lynch
Triparty Repo 0.96%, 06/01/04
(Collateralized by $471,136,000 U.S.
Treasury Obligations rates ranging from
1.625% to 6.00%, maturities ranging
from 08/15/04 to 02/15/12, valued at
$483,699,189) to be repurchased at
$474,263,981
(Cost $474,213,398)^ $ 474,213 $ 474,213,398
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $540,052,398) 540,052,398
---------------
TOTAL INVESTMENTS -- (100.0%)
(COST $3,112,874,129)++ $ 3,662,375,280
===============
</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 $3,112,874,157.
See accompanying Notes to Financial Statements.
21
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------- ------
UNITED KINGDOM -- (19.4%)
COMMON STOCKS -- (19.4%)
Abbey National P.L.C. 841,876 $ 6,930,244
Aggregate Industries P.L.C. 1,926,365 2,976,832
Alliance & Leicester P.L.C. 348,000 5,264,654
Allied Domecq P.L.C. 621,994 5,172,552
Amvescap P.L.C. 225,900 1,515,531
Arriva P.L.C. 231,050 1,651,789
Associated British Foods P.L.C. 990,462 11,631,581
Associated British Ports Holdings
P.L.C. 378,800 3,037,599
Aviva P.L.C. 2,582,930 25,216,998
* AWG P.L.C. 76,018 855,780
BAA P.L.C. 1,576,251 15,724,547
BAE Systems P.L.C. 2,599,132 9,806,062
Barratt Developments P.L.C. 338,959 3,566,453
BBA Group P.L.C. 679,855 3,165,960
Bellway P.L.C. 38,000 526,004
Berkeley Group P.L.C. 228,802 3,866,438
BG Group P.L.C. 1,408,548 8,581,102
BOC Group P.L.C. 82,135 1,341,431
Bovis Homes Group P.L.C. 132,000 1,237,365
BPB P.L.C. 458,500 3,269,374
Bradford & Bingley P.L.C. 80,259 408,850
Brambles Industries P.L.C. 272,000 1,056,902
Britannic P.L.C. 278,864 1,761,482
* British Airways P.L.C. 1,839,331 8,547,965
British Land Co. P.L.C. 857,882 10,539,837
British Vita P.L.C. 286,388 1,352,407
Brixton P.L.C. 359,333 1,911,806
* Cable and Wireless P.L.C. 3,512,914 7,943,057
* Canary Wharf Group P.L.C. 847,200 4,598,296
Carnival P.L.C. 156,448 7,021,173
* Colt Telecom Group P.L.C. 2,561,000 3,945,288
* Corus Group P.L.C. 6,312,988 3,913,405
Derwent Valley Holdings P.L.C. 49,351 756,218
DeVere Group P.L.C. 85,228 688,195
* Dimension Data Holdings P.L.C. 1,006,000 564,232
Dixons Group P.L.C. 333,402 931,182
* Duelguide Units P.L.C. 36,010 355,069
* Easyjet P.L.C. 294,025 1,073,156
FKI P.L.C. 856,795 1,741,838
Friends Provident P.L.C. 2,272,618 5,760,483
Galen Holdings P.L.C. 319,000 4,237,385
Great Portland Estates P.L.C. 299,155 1,440,093
Great Universal Stores P.L.C. 258,182 3,843,651
Greene King P.L.C. 105,263 1,757,735
Hammerson P.L.C. 468,800 5,815,111
Hanson P.L.C. 963,671 7,358,895
HBOS P.L.C. 14,538 190,478
* HHG P.L.C. 842,619 664,307
Hilton Group P.L.C. 2,619,960 12,744,959
IMI P.L.C. 24,000 161,845
Intercontinental Hotels Group P.L.C. 968,773 9,286,691
* International Power P.L.C. 1,898,700 5,056,603
ITV P.L.C. 1,551,881 3,378,787
Johnson Matthey P.L.C. 43,250 $ 702,953
Kelda Group P.L.C. 161,510 1,456,483
Kesa Electricals P.L.C. 9,781 50,996
# Kingfisher P.L.C. 651,215 3,413,664
Land Securities Group P.L.C. 78,654 1,686,004
Liberty International P.L.C. 469,345 6,367,535
Logicacmg P.L.C. 586,400 2,012,631
London Merchant Securities P.L.C. 358,862 1,139,502
Marks & Spencer Group P.L.C. 1,197,239 7,890,393
Mersey Docks & Harbour Co. P.L.C. 115,042 1,455,763
MFI Furniture Group P.L.C. 66,600 182,435
Millennium and Copthorne Hotels
P.L.C. 489,930 2,843,510
Mitchells & Butlers P.L.C. 630,549 2,997,502
* MM02 P.L.C. 8,760,348 15,678,806
Morrison (Wm.) Supermarkets P.L.C. 1,582,672 6,627,064
Novar P.L.C. 571,338 1,309,149
Pearson P.L.C. 246,039 2,994,860
Peninsular & Oriental Steam
Navigation P.L.C. 1,086,433 4,270,957
Pennon Group P.L.C. 56,524 763,276
Persimmon P.L.C. 271,811 2,994,022
Pilkington P.L.C. 2,184,617 3,621,628
Pillar Property P.L.C. 159,913 1,641,266
* Premier Oil P.L.C. 119,812 1,165,426
Quintain Estates & Development
P.L.C. 100,000 729,199
Rio Tinto P.L.C. 83,136 2,000,590
RMC Group P.L.C. 401,000 4,035,580
Rolls Royce Group P.L.C. 2,686,097 11,122,171
* Rolls Royce Group P.L.C. 134,304,850 246,241
Royal & Sun Alliance Insurance
Group P.L.C. 5,018,810 7,450,701
Royal Bank of Scotland Group P.L.C. 212,693 6,428,725
Sabmiller P.L.C. 192,609 2,327,665
# Sainsbury (J.) P.L.C. 2,864,609 14,300,152
Scottish & Newcastle P.L.C. 959,905 7,508,053
Scottish Power P.L.C. 915,215 6,635,236
Severn Trent P.L.C. 210,597 3,118,962
* Shire Pharmaceuticals Group P.L.C. 683,427 6,208,647
Singer & Friedlander Group P.L.C. 253,818 1,093,881
Slough Estates P.L.C. 706,900 5,564,664
Smith (David S.) Holdings P.L.C. 547,941 1,567,369
Smith (W.H.) P.L.C. 299,537 1,965,244
Somerfield P.L.C. 738,068 1,939,982
Stagecoach Holdings P.L.C. 1,557,000 2,341,002
Stanley Leisure Organisation P.L.C. 186,760 1,606,028
Tate & Lyle P.L.C. 660,070 3,655,181
Taylor Woodrow P.L.C. 973,675 4,528,444
Tesco P.L.C. 1,560,816 7,123,961
The Big Food Group P.L.C. 505,408 928,373
* Thus Group P.L.C. 1,956,555 933,783
Trinity Mirror P.L.C. 495,640 5,638,934
United Business Media P.L.C. 237,262 1,923,758
United Utilities P.L.C. 265,595 2,642,143
Vodafone Group P.L.C. 13,873,752 32,699,074
</Table>
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<Caption>
SHARES VALUE+
------- ------
Westbury P.L.C. 162,025 $ 1,272,549
Whitbread P.L.C. 511,290 7,496,474
Wilson Bowden P.L.C. 105,900 2,010,789
Wimpey (George) P.L.C. 446,968 3,018,363
Wolverhampton & Dudley Breweries
P.L.C. 107,366 1,616,965
Woolworths Group P.L.C. 2,074,511 1,684,586
---------------
TOTAL COMMON STOCKS
(Cost $377,656,054) 474,774,971
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling
(Cost $35,295) 36,615
---------------
TOTAL -- UNITED KINGDOM
(Cost $377,691,349) 474,811,586
---------------
JAPAN -- (17.4%)
COMMON STOCKS -- (17.4%)
Acom Co., Ltd. 14,600 979,025
# Aichi Steel Corp. 120,000 493,526
AIOI Insurance Co., Ltd. 928,735 4,040,680
Aisin Seiki Co., Ltd. 182,500 3,383,738
Akita Bank, Ltd. 115,000 452,538
# Alpine Electronics, Inc. 36,800 471,467
Amada Co., Ltd. 376,000 2,138,762
# Anritsu Corp. 67,000 419,610
Aoyama Trading Co., Ltd. 47,700 1,108,318
Asahi Breweries, Ltd. 173,000 1,823,313
Asahi Kasei Corp. 289,000 1,422,289
Asatsu-Dk, Inc. 32,500 840,095
Autobacs Seven Co., Ltd. 23,700 669,145
Awa Bank, Ltd. 196,600 1,129,190
Bank of Iwate, Ltd. 15,300 677,599
# Bank of Kyoto, Ltd. 347,400 2,290,876
Bank of Nagoya, Ltd. 185,000 933,192
Benesse Corp. 6,500 197,550
Canon Sales Co., Inc. 124,900 1,586,967
Chiba Bank, Ltd. 941,000 5,415,152
Chudenko Corp. 41,100 707,233
Chugoku Bank, Ltd. 238,800 2,413,869
Citizen Watch Co., Ltd. 318,000 3,323,532
Coca-Cola West Japan Co., Ltd. 58,400 1,409,917
Comsys Holdings Corp. 92,000 682,561
# Cosmo Oil Co., Ltd. 764,000 1,867,757
Dai Nippon Ink & Chemicals, Inc. 459,000 1,042,492
Dai Nippon Pharmaceutical Co., Ltd. 106,000 803,341
Dai Nippon Printing Co., Ltd. 144,000 2,202,431
# Daicel Chemical Industries, Ltd. 485,000 2,108,669
Daido Steel Co., Ltd. 274,000 657,436
Daihatsu Motor Co., Ltd. 258,000 1,517,061
Daishi Bank, Ltd. 355,000 1,219,314
Daiwa House Industry Co., Ltd. 663,000 7,484,763
Denso Corp. 22,500 482,857
# Ebara Corp. 173,000 778,135
# Ezaki Glico Co., Ltd. 174,600 1,241,437
Fuji Electric Co., Ltd. 525,780 1,293,228
Fuji Fire & Marine Insurance Co.,
Ltd. 297,000 692,913
Fuji Heavy Industries 493,000 2,430,726
Fuji Oil Co., Ltd. 55,200 643,650
Fuji Photo Film Co., Ltd. 355,000 $ 10,551,760
Fujikura, Ltd. 241,000 1,153,558
Fujitsu, Ltd. 286,000 1,931,493
Fukui Bank, Ltd. 343,000 1,359,737
# Fukuoka Bank, Ltd. 400,000 2,071,477
# Fukuyama Transporting Co., Ltd. 266,000 1,211,601
* Furukawa Electric Co., Ltd. 380,000 1,411,648
Futaba Corp. 16,000 419,581
Futaba Industrial Co., Ltd. 44,100 682,343
# Glory, Ltd. 46,800 662,790
Gunma Bank, Ltd. 323,000 1,486,093
Gunze, Ltd. 148,000 706,135
Hachijuni Bank, Ltd. 344,000 2,056,852
#* Hankyu Corp. 174,000 670,625
# Hanshin Electric Railway Co., Ltd. 216,000 701,147
Heiwa Corp 81,500 1,221,706
Higo Bank, Ltd. 308,000 1,769,064
Hitachi Cable, Ltd. 236,000 1,060,267
Hitachi Maxell, Ltd. 96,000 1,407,726
Hitachi Metals, Ltd. 360,000 1,719,080
Hitachi, Ltd. 3,734,000 25,589,059
Hokkoku Bank, Ltd. 223,000 1,067,827
Hokuetsu Paper Mills, Ltd. 162,000 869,334
Hokugin Financial Group, Inc. 414,000 839,050
House Foods Corp. 117,000 1,505,125
# Hyakugo Bank, Ltd. 258,000 1,534,783
# Hyakujishi Bank, Ltd. 314,000 1,942,853
* Ishikawajima-Harima Heavy
Industries Co., Ltd. 819,000 1,167,661
* Itochu Corp. 120,000 492,009
Itoham Foods, Inc. 132,000 591,829
Iyo Bank, Ltd. 204,000 1,369,997
Japan Airport Terminal Co., Ltd. 33,000 296,226
JFE Holdings, Inc. 56,300 1,218,243
Joyo Bank, Ltd. 545,000 2,147,260
# Juroku Bank, Ltd. 349,000 1,475,036
# Kagoshima Bank, Ltd. 132,000 739,936
Kamigumi Co., Ltd. 357,000 2,346,542
Kandenko Co., Ltd. 129,000 683,340
Kansai Paint Co., Ltd., Osaka 131,000 770,757
Katokichi Co., Ltd. 34,500 608,482
# Kawasaki Heavy Industries, Ltd. 910,000 1,359,185
Kikkoman Corp. 259,000 2,087,353
Kinden Corp. 167,000 929,655
Kirin Brewery Co., Ltd. 437,000 4,152,801
# Kissei Pharmaceutical Co., Ltd. 41,000 875,872
Kobe Steel, Ltd. 2,632,000 3,842,186
Koito Manufacturing Co., Ltd. 101,000 701,488
Kokuyo Co., Ltd. 81,200 989,157
Komatsu, Ltd. 1,279,000 7,702,264
Komori Corp. 47,000 692,540
# Koyo Seiko Co. 198,000 2,006,219
Kubota Corp. 140,000 647,773
Kuraray Co., Ltd. 241,000 1,811,296
# Kuraya Sanseido, Inc. 82,600 1,235,988
Kureha Chemical Industry Co., Ltd. 122,000 488,520
KYORIN Pharmaceutical Co., Ltd. 52,000 680,761
# Makita Corp. 209,000 2,933,140
Marubeni Corp. 1,942,000 4,429,099
Marui Co., Ltd. 213,000 2,839,783
# Maruichi Steel Tube, Ltd. 117,000 1,758,628
</Table>
23
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<Caption>
SHARES VALUE+
------ ------
# Matsushita Electric Industrial Co.,
Ltd. 1,977,135 $ 27,425,216
Matsushita Electric Works, Ltd. 142,000 1,185,094
# Meiji Seika Kaisha, Ltd. Tokyo 243,000 985,587
# Michinoku Bank, Ltd. 187,000 1,063,990
Millea Holdings, Inc. 46 606,247
Mitsubishi Corp. 40,000 395,191
Mitsubishi Gas Chemical Co., Inc. 305,000 1,146,869
Mitsubishi Heavy Industries, Ltd. 2,128,000 5,567,075
Mitsubishi Logistics Corp. 106,000 924,108
Mitsubishi Materials Corp. 975,000 1,864,568
#* Mitsubishi Motors Corp. 568,000 1,119,876
Mitsui Chemicals, Inc. 239,800 1,163,162
Mitsui Engineering and Shipbuilding
Co., Ltd. 481,000 813,477
Mitsui Trust Holdings 641,000 4,266,825
Mitsumi Electric Co., Ltd. 45,800 468,759
Mizuho Holdings, Inc. 1,192 5,120,280
Morinaga Milk Industry Co., Ltd. 160,000 595,510
Musashino Bank, Ltd. 20,000 722,528
Nagase & Co., Ltd. 87,000 723,676
Namco, Ltd. 5,500 138,069
Nanto Bank, Ltd. 317,000 1,448,045
NGK Insulators, Ltd. 216,000 1,536,529
NGK Spark Plug Co., Ltd. 144,000 1,295,677
Nichicon Corp. 51,200 652,234
Nichirei Corp. 180,000 576,526
Nifco, Inc. 37,000 567,717
Nihon Unisys, Ltd. 69,100 512,213
Nippon Broadcasting System, Inc. 20,690 1,011,229
# Nippon Electric Glass Co., Ltd. 72,000 1,543,539
Nippon Kayaku Co., Ltd. 128,000 649,635
Nippon Meat Packers, Inc., Osaka 144,000 1,567,917
Nippon Mining Holdings, Inc. 370,000 1,708,854
Nippon Mitsubishi Oil Corp. 1,871,050 10,633,474
Nippon Paint Co., Ltd. 167,000 606,191
Nippon Sanso Corp. 30,000 137,311
Nippon Sheet Glass Co., Ltd. 280,000 926,729
Nippon Shinpan Co., Ltd. 191,000 651,818
Nippon Shokubai Co., Ltd. 163,000 1,193,958
Nippon Television Network Corp. 9,400 1,447,390
Nipponkoa Insurance Co., Ltd. 45,000 258,828
Nishimatsu Construction Co., Ltd. 364,000 1,236,106
Nishi-Nippon Bank, Ltd. 156,540 704,445
Nissay Dowa General Insurance
Co., Ltd. 383,000 1,924,261
Nisshin Seifun Group, Inc. 148,000 1,360,518
Nisshin Steel Co., Ltd. 627,000 1,264,556
Nisshinbo Industries, Inc. 305,000 2,021,246
#* Nissho Iwai-Nichmen Holdings Corp. 130,400 694,507
NSK, Ltd. 319,000 1,443,643
Obayashi Corp. 520,000 2,482,203
Ogaki Kyoritsu Bank, Ltd. 50,000 269,692
Oji Paper Co., Ltd. 275,000 1,749,298
Okumura Corp. 144,000 707,500
Onward Kashiyama Co., Ltd. 100,000 1,612,619
PanaHome Corp. 106,000 570,078
# Pioneer Electronic Corp. 60,000 1,537,866
Promise Co., Ltd. 60,500 3,976,827
Q.P. Corp. 109,600 892,411
# Rengo Co., Ltd. 152,000 683,988
* Resona Holdings, Inc. 1,873,000 $ 3,220,661
San In Godo Bank, Ltd. 110,000 864,336
Santen Pharmaceutical Co., Ltd. 52,000 757,478
# Sanwa Shutter Corp. 101,000 518,071
Sanyo Shinpan Finance Co., Ltd. 19,800 1,086,425
Sapporo Breweries, Ltd. 251,000 815,139
Sapporo Hokuyo Holdings, Inc. 224 1,172,121
Seino Transportation Co., Ltd. 193,000 1,835,299
Sekisui Chemical Co., Ltd. 557,000 4,109,695
Sekisui House, Ltd. 942,000 9,812,478
Seventy-seven (77) Bank, Ltd. 241,000 1,420,528
SFCG Co., Ltd. 8,010 1,404,972
Shiga Bank, Ltd. 272,000 1,349,621
Shikoku Bank, Ltd. 72,000 429,019
Shimachu Co., Ltd. 36,200 902,162
# Shimadzu Corp. 181,000 932,806
Shinko Securities Co., Ltd. 470,000 1,560,982
Shizuoka Bank, Ltd. 473,000 3,854,740
# Softbank Corp. 49,100 1,877,895
Sumitomo Bakelite Co., Ltd. 105,000 698,212
Sumitomo Corp. 471,000 3,633,702
Sumitomo Electric Industries, Ltd. 472,000 4,540,655
Sumitomo Forestry Co., Ltd. 139,000 1,431,249
Sumitomo Metal Industries, Ltd.
Osaka 1,481,000 1,661,464
Sumitomo Metal Mining Co., Ltd. 313,000 1,864,367
Sumitomo Osaka Cement Co., Ltd. 269,000 650,652
Sumitomo Realty & Development
Co., Ltd. 150,000 1,617,350
Sumitomo Rubber 43,000 357,718
Sumitomo Trust & Banking Co., Ltd. 21,000 129,088
Suruga Bank, Ltd. 87,000 574,425
Suzuken Co., Ltd. 54,000 1,685,214
Taiheiyo Cement Corp. 1,209,800 2,642,448
Taisei Corp. 1,325,000 4,413,188
Taiyo Yuden Co., Ltd. 72,000 1,038,264
Takara Standard Co., Ltd. 118,000 645,570
Takashimaya Co., Ltd. 214,000 2,357,203
# Takefuji Corp. 35,920 2,390,002
TDK Corp. 10,100 709,085
Teijin, Ltd. 893,000 2,884,554
Teikoku Oil Co., Ltd. 346,000 1,766,783
Toda Corp. 203,000 748,487
Toho Bank, Ltd. 254,000 1,010,175
Tokai Tokyo Securities Co., Ltd. 155,000 447,237
Tokuyama Corp. 248,000 1,060,197
Tokyo Broadcasting System, Inc. 113,500 2,013,658
# Tokyo Steel Manufacturing Co., Ltd. 97,800 1,390,966
Tokyo Style Co., Ltd. 133,000 1,504,229
# Tokyo Tatemono Co., Ltd. 143,000 691,014
Toppan Printing Co., Ltd. 441,000 5,366,365
Toray Industries, Inc. 620,000 2,854,071
Toshiba TEC Corp. 181,000 787,527
Tostem Inax Holding Corp. 160,000 3,278,680
Toto, Ltd. 247,000 2,654,223
# Toyo Ink Manufacturing Co., Ltd. 174,000 703,334
Toyo Seikan Kaisha, Ltd. 287,600 4,718,371
Toyo Suisan Kaisha, Ltd. 64,000 773,366
Toyota Auto Body Co., Ltd. 86,000 1,309,569
Toyota Industries Corp. 76,500 1,668,275
# Toyota Tsusho Corp. 314,000 2,881,419
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SHARES VALUE+
------ ------
TV Asahi Corp. 202 $ 375,250
UNY Co., Ltd. 133,000 1,642,230
Wacoal Corp. 149,000 1,579,834
# Yamagata Bank, Ltd. 153,700 673,239
Yamaguchi Bank, Ltd. 133,000 1,355,800
Yamanashi Chuo Bank, Ltd. 119,000 588,331
Yamatake Corp. 20,000 194,318
Yamazaki Baking Co., Ltd. 155,000 1,436,047
Yokogawa Electric Corp. 337,000 4,360,631
Yokohama Rubber Co., Ltd. 410,000 1,508,010
York-Benimaru Co., Ltd. 29,300 838,751
---------------
TOTAL COMMON STOCKS
(Cost $411,657,891) 425,533,004
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen
(Cost $20,787) 21,114
---------------
TOTAL -- JAPAN
(Cost $411,678,678) 425,554,118
---------------
FRANCE -- (8.5%)
COMMON STOCKS -- (8.5%)
# AGF (Assurances Generales de
France SA) 149,122 9,041,456
# Air France 143,423 2,346,271
Air Liquide SA 8,848 1,561,285
Alcan, Inc. 30,183 1,192,724
#* Alcatel SA 195,750 2,820,740
#* Alstom SA 185,169 212,840
Arcelor SA 167,800 2,815,999
AXA 634,106 13,042,808
BNP Paribas SA 549,686 33,602,499
Bongrain SA 7,145 480,617
* Cap Gemini SA 89,951 3,450,082
#* Club Mediterranee SA 8,962 379,658
# Compagnie de Saint-Gobain 288,912 14,553,997
Compagnie Francaise d'Etudes et de
Construction Technip SA 10,990 1,480,578
Credit Agricole SA 27,709 681,356
Eiffage SA 6,954 541,060
Esso SA 686 96,312
Euler-Hermes SA 10,354 571,483
* Eurafrance 18,000 1,106,386
# Faurecia SA 30,445 1,973,013
# Fimalac SA 46,887 1,832,765
Fonciere Lyonnaise SA 10,950 471,975
France Telecom SA 188,321 4,550,289
Generale des Establissements
Michelin SA Series B 107,620 5,258,360
Havas SA 300,744 1,596,520
Imerys SA 11,000 2,502,481
LaFarge SA 62,037 5,319,155
LaFarge SA Prime Fidelity 82,581 7,154,869
# Lagardere S.C.A. SA 10,900 665,814
* Nexans 9,618 315,866
# Peugeot SA 233,374 13,179,063
# Pinault Printemps Redoute SA 22,619 2,364,871
Rallye SA 18,020 912,719
# Remy Cointreau SA 56,022 $ 1,870,576
Renault SA 121,719 9,070,115
Rexel SA 10,713 442,555
* SA Des Galeries Lafayette 900 174,397
Schneider SA 63,451 4,274,219
* Scor SA 733,800 1,075,223
SEB SA Prime Fidelity 9,900 1,112,224
Societe BIC SA 52,288 2,268,319
# Societe des Ciments de Francais 28,600 2,223,571
Societe Generale, Paris 293,528 24,896,954
# Suez (ex Suez Lyonnaise des Eaux) 296,563 5,775,385
Thomson Multimedia 129,923 2,479,132
Valeo SA 73,528 2,984,104
Vallourec (Usines a Tubes de Lorraine
Escaut et Vallourec Reunies) 4,504 392,968
#* Veolia Environnement SA 25,700 687,796
* Vivendi Universal SA 403,364 10,293,783
---------------
TOTAL COMMON STOCKS
(Cost $136,677,536) 208,097,232
---------------
RIGHTS/WARRANTS -- (0.0%)
* Rallye SA Series B Warrants 11/30/05
(Cost $7,244) 18,020 3,759
---------------
TOTAL -- FRANCE
(Cost $136,684,780) 208,100,991
---------------
SWITZERLAND -- (6.1%)
COMMON STOCKS -- (6.1%)
* ABB, Ltd. 335,400 1,880,058
# Baloise-Holding 190,560 7,679,424
Bank Sarasin & Cie Series B, Basel 180 255,824
Banque Cantonale Vaudoise 12,608 1,387,080
# Berner Kantonalbank 23,400 2,779,455
* Ciba Spezialitaetenchemie Holding
AG 56,300 3,846,625
Cie Financiere Richemont AG
Series A 1,251,000 32,223,768
Clariant AG 19,200 265,074
Converium Holding AG 14,400 733,921
* Credit Swisse Group 128,200 4,410,505
* Fischer (Georg) AG, Schaffhausen 1,280 279,066
# Givaudan SA 3,952 2,113,439
# Helvetia Patria Holding 16,301 2,867,348
# Holcim, Ltd. 199,770 10,396,504
# Jelmoli Holding AG 500 625,759
# Luzerner Kantonalbank AG 14,627 2,337,061
# Pargesa Holding SA, Geneve 1,935 5,565,147
# PSP Swiss Property AG 109,600 3,822,181
# Rieters Holdings AG 7,860 1,993,377
Sig Holding AG 44,130 7,549,197
#* Sika Finanz AG, Baar 3,828 1,924,356
# St. Galler Kantonalbank 14,319 2,879,750
#* Swiss Life AG 124,240 15,660,232
Swiss Reinsurance Co., Zurich 18,800 1,167,036
* Syngenta AG 152,500 12,097,295
#* Unaxis Holding AG 45,400 5,141,601
#* Valiant Holding AG 39,295 3,270,942
# Valora Holding AG 12,170 2,881,408
</Table>
25
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<Caption>
SHARES VALUE+
------ ------
* Zurich Financial SVCS AG 67,906 $ 10,684,280
---------------
TOTAL COMMON STOCKS
(Cost $107,900,215) 148,717,713
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs
(Cost $1,007,353) 1,035,109
---------------
TOTAL -- SWITZERLAND
(Cost $108,907,568) 149,752,822
---------------
GERMANY -- (5.4%)
COMMON STOCKS -- (5.4%)
# Aachener und Muenchener
Beteiligungs AG 32,773 2,365,409
# Aareal Bank AG 22,825 773,722
Allianz AG 5,000 522,715
* Bankgesellschaft Berlin AG 233,550 569,824
BASF AG 386,050 19,783,712
Bayer AG 280,139 8,022,055
* Bayerische Vereinsbank AG 485,020 8,193,305
# BHW Holding AG 34,600 540,214
# Bilfinger & Berger Bau AG 23,702 779,430
Commerzbank AG 408,050 6,665,331
# DaimlerChrysler AG 219,282 9,759,496
# Deutsche Bank AG 359,305 28,283,407
Deutsche Lufthansa AG 319,477 4,587,451
E.ON AG 7,600 529,503
* Fraport AG 63,708 1,842,234
# Fresenius Medical Care AG 27,600 2,041,697
#*Heidelberger Druckmaschinen AG 38,167 1,209,797
Heidelberger Zement AG 64,373 2,835,953
# Hochtief AG 56,150 1,232,333
* Hypo Real Estate Holding AG 84,277 2,369,101
# IVG Immobilien AG 30,276 349,823
# Karstadt Quelle AG 30,734 634,785
# Linde AG 77,043 3,989,632
# MAN AG 88,000 3,250,554
Merck KGAA 36,000 2,007,356
MG Technologies AG 135,773 1,766,950
# Preussag AG 115,227 2,236,610
Salzgitter AG 13,041 154,880
SCA Hygiene Products AG 3,550 1,300,620
ThyssenKrupp AG 290,691 4,862,280
* Vattenfall Europe AG 94,898 2,955,912
Volkswagen AG 120,547 5,280,608
---------------
TOTAL -- GERMANY
(Cost $125,815,346) 131,696,699
---------------
AUSTRALIA -- (3.8%)
COMMON STOCKS -- (3.8%)
Amcor, Ltd. 126,820 587,802
AMP Limited 1,026,451 4,079,874
Ansell, Ltd. 303,463 1,708,852
APN News & Media, Ltd. 486,363 1,418,593
AWB, Ltd. 345,296 1,207,045
AXA Asia Pacific Holdings, Ltd. 2,837,724 6,872,505
BHP Steel Ltd. 1,252,100 5,536,152
Boral, Ltd. 899,150 3,760,136
Caltex Australia, Ltd. 440,369 2,714,191
Commonwealth Bank of Australia 48,696 $ 1,140,569
CSR, Ltd. 1,514,337 2,084,174
Downer Group, Ltd. 216,113 484,787
Futuris Corp., Ltd. 456,719 505,165
Insurance Australiz Group, Ltd. 1,428,272 4,641,130
# Lend Lease Corp., Ltd. 568,460 4,073,668
Lion Nathan, Ltd. 871,345 4,102,395
Mayne Group, Ltd. 1,280,958 2,736,434
Mirvac, Ltd. 1,140,163 3,452,949
Onesteel, Ltd. 436,697 700,279
Orica, Ltd. 352,900 3,685,332
Origin Energy, Ltd. 686,245 2,582,446
Paperlinx, Ltd. 727,704 2,526,782
Publishing and Broadcasting, Ltd. 579,260 5,098,686
# Quantas Airways, Ltd. 3,042,351 7,448,311
Rinker Group, Ltd. 1,155,484 6,177,109
Santos, Ltd. 953,246 4,610,445
# Seven Network, Ltd. 383,865 1,396,206
* Southcorp, Ltd. 1,146,542 2,585,702
* Stockland Trust Group 735 2,743
Stockland Trust Group 21,349 80,393
WMC Resources, Ltd. 1,760,061 5,798,458
---------------
TOTAL COMMON STOCKS
(Cost $64,985,485) 93,799,313
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar
(Cost $23,400) 21,915
---------------
TOTAL -- AUSTRALIA
(Cost $65,008,885) 93,821,228
---------------
NETHERLANDS -- (3.8%)
COMMON STOCKS -- (3.8%)
ABN-AMRO Holding NV 676,189 14,402,913
Aegon NV 822,637 9,934,972
* Air France 18,150 294,780
AM NV 61,661 541,577
Buhrmann NV 94,439 899,882
DSM NV 78,837 3,893,093
#* Hagemeyer NV 342,825 734,022
* Hunter Douglas NV 34,696 1,617,050
ING Groep NV 1,552,333 35,065,385
* Koninklijke Ahold NV 411,500 3,219,002
Koninklijke KPN NV 278,922 2,028,813
Koninklijke Nedlloyd NV 12,142 370,285
Koninklijke Philips Electronics NV 405,906 11,086,373
New Skies Satellites NV 52,400 424,180
Nutreco Holding NV 23,646 726,902
NV Holdingsmij de Telegraaf 6,800 150,573
Oce NV 60,734 903,874
Vedior NV 46,388 691,658
* Versatel Telecom International NV 323,150 644,450
VNU NV 168,736 4,968,415
---------------
TOTAL COMMON STOCKS
(Cost $60,608,176) 92,598,199
---------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 16,500 20,753
* AM NV Coupons 06/04/04 61,661 0
</Table>
26
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* ING Groep NV Coupons 06/17/05 1,552,333 $ 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $21,343) 20,753
---------------
TOTAL NETHERLANDS
(Cost $60,629,519) 92,618,952
---------------
SPAIN -- (3.0%)
COMMON STOCKS -- (3.0%)
# Acerinox SA 65,340 3,580,706
# Arcelor SA 30,000 503,953
Autopistas Concesionaria Espanola
SA 905,074 15,258,004
Banco de Andalucia 900 79,548
Banco de Sabadell SA 154,021 3,170,801
# Banco Pastor SA 59,400 1,762,479
Cementos Portland SA 21,016 1,260,678
Corporacion Mapfre Compania
Internacional de Reaseguros SA 146,555 1,667,765
Ebro Puleva SA 116,168 1,416,324
Endesa SA, Madrid 308,964 5,703,723
# Gas Natural SA, Buenos Aires 21,400 511,286
# Iberdrola SA 535,000 10,793,336
# Iberia Lineas Aereas de Espana SA 617,500 1,773,522
Inmobiliaria Colonial SA ICSA 41,300 1,001,296
# Inmobiliaria Urbis SA 96,328 1,065,716
# Metrovacesa SA 109,351 4,190,161
Repsol SA 496,967 10,514,033
Sociedad General de Aguas de
Barcelona SA 107,683 1,793,055
* Sociedad General de Aguas de
Barcelona SA 737 12,366
# Sol Melia SA 142,463 1,226,953
Union Fenosa SA 230,000 4,906,580
# Vallehermoso SA 45,000 662,610
---------------
TOTAL -- SPAIN
(Cost $44,543,185) 72,854,895
---------------
ITALY -- (2.9%)
COMMON STOCKS -- (2.9%)
#* Alitalia Linee Aeree Italiane SpA
Series A 6,690,000 1,916,746
* Banca Antoniana Popolare Veneta
SpA 83,000 1,655,360
Banca Monte Dei Paschi di Siena
SpA 1,623,479 5,035,105
* Banca Nazionale del Lavoro SpA 1,652,352 3,462,165
# Banca Popolare di Lodi Scarl 374,206 3,428,369
# Banca Popolare di Milano 665,400 3,915,990
Banca Popolare Rights 57,990 531,109
# Benetton Group SpA 181,249 2,052,994
Buzzi Unicem SpA 67,793 891,483
# Caltagirone Editore SpA 222,304 1,692,017
Capitalia SpA 2,910,876 8,603,926
CIR SpA (Cie Industriale Riunite),
Torino 500,000 1,017,041
# Compagnia Assicuratrice Unipol SpA 452,120 1,764,618
#* E.Biscom SpA 16,000 930,834
#* Edison SpA 899,081 1,557,540
Erg SpA 295,000 1,855,359
Ericsson SpA 20,069 796,765
#* Fiat SpA 1,054,970 $ 7,472,748
#* IFIL Finanziaria Partecipazioni SpA 1,368,874 4,849,708
# Italcementi SpA 444,060 5,556,122
# Italmobiliare SpA, Milano 33,664 1,572,078
Manifattura Lane Gaetano
Marzotto & Figli SpA 5,573 63,806
Milano Assicurazioni SpA 182,000 685,056
# Pirelli & Co. SpA 1,486,658 1,525,436
# SAI SpA (Sta Assicuratrice
Industriale), Torino 167,605 3,728,705
San Paolo-IMI SpA 121,701 1,393,518
# Societe Cattolica di Assicurazoni
Scarl SpA 8,800 341,886
# Telecom Italia SpA 1,209,533 3,709,241
---------------
TOTAL COMMON STOCKS
(Cost $77,211,453) 72,005,725
---------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 01/31/07
(Cost $0) 51,693 11,459
---------------
TOTAL -- ITALY
(Cost $77,211,453) 72,017,184
---------------
SWEDEN -- (2.2%)
COMMON STOCKS -- (2.2%)
* Ainax AB 40,367 1,133,020
#* Bostads AB Drott 28,050 504,168
Carbo AB 2,900 71,692
Castellum AB 4,100 96,709
#* Drott Series AB 131,600 1,840,563
Gambro AB Series A 451,900 4,076,681
Gambro AB Series B 129,800 1,153,281
Holmen AB Series A 6,300 189,771
Holmen AB Series B 120,100 3,442,765
NCC AB Series B 59,700 504,412
Nordic Baltic Holdings AB 372,600 2,524,914
Skandinaviska Enskilda Banken
Series A 196,000 2,826,139
Skandinaviska Enskilda Banken
Series C 9,800 137,446
SSAB Swedish Steel Series A 121,600 2,034,049
SSAB Swedish Steel Series B 37,700 610,193
Svenska Cellulosa AB Series A 19,000 735,884
Svenska Cellulosa AB Series B 194,900 7,552,395
Svenska Kullagerfabriken AB
Series A 22,650 819,199
Svenska Kullagerfabriken AB
Series B 29,700 1,083,585
# Telia AB 255,500 1,080,122
Trelleborg AB Series B 103,600 1,877,706
# Volvo AB Series A 212,100 6,614,231
# Volvo AB Series B 413,600 13,520,720
Whilborg Fastigheter AB Class B 35,800 466,127
---------------
TOTAL -- SWEDEN
(Cost $42,136,221) 54,895,772
---------------
FINLAND -- (1.5%)
COMMON STOCKS -- (1.5%)
Fortum Oyj 1,071,385 12,579,654
Huhtamaki Van Leer Oyj 2,300 30,179
</Table>
27
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
# Kemira Oyj 101,377 $ 1,280,469
Kesko Oyj 157,000 3,090,975
Metso Oyj 219,166 2,684,084
M-real Oyj Series B 253,400 2,156,183
Okobank Class A 65,000 646,379
Outokumpu Oyj Series A 351,300 5,322,314
Rautaruukki Oyj Series K 12,900 96,037
Stora Enso Oyj Series R 595,800 7,722,494
Upm-Kymmene Oyj 83,100 1,492,540
Wartsila Corp. Oyj Series B 39,600 808,722
---------------
TOTAL -- FINLAND
(Cost $24,875,652) 37,910,030
---------------
HONG KONG -- (1.5%)
COMMON STOCKS -- (1.5%)
Cheung Kong Holdings, Ltd. 162,000 1,216,764
China Overseas Land & Investment,
Ltd. 1,864,000 305,826
China Travel International Investment,
Ltd. 680,000 119,479
# Chinese Estates Holdings, Ltd. 44,000 23,378
Great Eagle Holdings, Ltd. 94,000 146,264
# Hang Lung Development Co., Ltd. 1,765,000 2,400,392
Hang Lung Properties, Ltd. 624,500 812,550
Henderson Land Development Co.,
Ltd. 123,000 529,967
Hong Kong and Shanghai Hotels,
Ltd. 225,500 130,054
Hopewell Holdings, Ltd. 906,000 1,575,933
Hutchison Whampoa, Ltd. 217,000 1,467,269
Hysan Development Co., Ltd. 1,434,699 2,309,173
I-Cable Communications, Ltd. 325,121 124,918
# Kerry Properties, Ltd. 1,610,884 2,606,259
New Asia Realty & Trust Co., Ltd. 140,000 52,872
New World Development Co., Ltd. 1,269,649 984,974
Shanghai Industrial Holdings Ltd. 545,000 1,010,000
# Shangri-La Asia, Ltd. 3,149,482 3,093,937
Shun Tak Holdings, Ltd. 134,000 54,545
# Sino Land Co., Ltd. 6,239,407 3,638,909
Tsim Sha Tsui Properties, Ltd. 472,000 575,844
Wharf Holdings, Ltd. 3,251,214 9,164,226
Wheelock and Co., Ltd. 3,128,000 3,748,765
---------------
TOTAL COMMON STOCKS
(Cost $41,233,673) 36,092,298
---------------
RIGHTS/WARRANTS -- (0.0%)
* China Travel International Investment,
Ltd. Warrants 05/31/06
(Cost $0) 136,000 0
---------------
TOTAL -- HONG KONG
(Cost $41,233,673) 36,092,298
---------------
IRELAND -- (1.1%)
COMMON STOCKS -- (1.1%)
Allied Irish Banks P.L.C. 141,102 1,998,999
Bank of Ireland P.L.C. 99,637 1,179,578
CRH P.L.C. 279,359 5,933,437
* Elan Corp. P.L.C. 690,634 16,309,681
Irish Permanent P.L.C. 186,115 $ 2,800,171
---------------
TOTAL -- IRELAND
(Cost $12,849,099) 28,221,866
---------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
Ackermans & Van Haaren SA 4,187 99,981
# Algemene Mij Voor Nijverheidskredit
Almanij 74,928 4,545,058
# Banque Nationale de Belgique 1,049 3,583,170
Bekaert SA 2,787 161,051
Cofinimmo SA 1,108 142,068
#* Delhaize Freres & cie le Lion SA
Molenbeek-Saint Jean 88,564 4,140,848
# Dexia SA 87,003 1,456,158
D'Ieteren SA 431 85,797
Groupe Bruxelles Lambert 55,500 3,428,987
* ING Bank Belgium NV 128 4
Nationale a Portefeuille 4,029 568,411
Sofina SA 10,500 529,160
# Suez (ex Suez Lyonnaise des Eaux) 95,400 1,850,319
# Tessenderlo Chemie 31,155 1,090,587
#* Umicore-Strip VVPR 2,009 367
Union Miniere SA 54,327 3,298,083
---------------
TOTAL COMMON STOCKS
(Cost $21,735,276) 24,980,049
---------------
RIGHTS/WARRANTS -- (0.0%)
* Cofinimmo SA Rights 06/11/04
(Cost $0) 1,108 0
---------------
TOTAL -- BELGIUM
(Cost $21,735,276) 24,980,049
---------------
DENMARK -- (0.9%)
COMMON STOCKS -- (0.9%)
Carlsberg A.S. Series B 32,525 1,591,566
Codan A.S. 28,400 1,190,252
Danisco A.S. 29,530 1,399,523
Danske Bank A.S. 395,753 8,998,165
* Jyske Bank A.S. 22,300 1,175,746
Nordea AB 475,918 3,245,559
Rockwool, Ltd. 6,850 281,287
Tele Danmark A.S. 99,350 3,351,691
---------------
TOTAL -- DENMARK
(Cost $14,826,540) 21,233,789
---------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
DBS Group Holdings, Ltd. 357,000 2,954,705
Fraser & Neave, Ltd. 507,290 4,023,360
Haw Par Brothers International, Ltd. 2,698 7,409
Keppel Corp., Ltd. 855,000 3,343,117
# Neptune Orient Lines, Ltd. 801,000 1,009,059
Overseas Chinese Banking Corp.,
Ltd. 94,000 662,427
Sembcorp Industries, Ltd. 400,000 338,608
Singapore Airlines, Ltd. 617,000 3,810,654
Singapore Land, Ltd. 133,000 301,943
United Overseas Bank, Ltd. 66,000 503,724
</Table>
28
<Page>
<Table>
<Caption>
SHARES VALUE+
------- ------
# United Overseas Land, Ltd. 259,000 $ 344,575
---------------
TOTAL COMMON STOCKS
(Cost $13,210,685) 17,299,581
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $7,704) 7,821
---------------
TOTAL -- SINGAPORE
(Cost $13,218,389) 17,307,402
---------------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
* Aker Kvaerner ASA 46,100 736,061
Den Norske Bank ASA Series A 606,394 3,847,441
Norsk Hydro ASA 16,700 1,036,330
Norske Skogindustrier ASA Series A 163,300 2,722,389
# Storebrand ASA 201,500 1,353,445
* Yara International ASA 16,700 123,919
---------------
TOTAL -- NORWAY
(Cost $8,187,301) 9,819,585
---------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
* Agricultural Bank of Greece S.A. 123,600 860,524
Alpha Credit Bank 35,040 916,728
Bank of Greece 8,520 900,526
Bank of Piraeus S.A. 4,600 53,590
Commercial Bank of Greece 44,760 1,185,010
EFG Eurobank Ergasias S.A. 60,097 1,337,660
Hellenic Petroleum S.A. 159,140 1,216,321
Hellenic Tellecommunication
Organization Co. S.A. 140,460 1,845,612
Intracom S.A. 92,390 464,799
National Bank of Greece 15,520 467,402
---------------
TOTAL -- GREECE
(Cost $7,870,638) 9,248,172
---------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Comercial Portugues SA 195,400 452,850
BPI SGPS SA 202,800 739,958
Cimpor Cimentos de Portugal SA 503,265 2,640,397
Portucel-Empresa Produtora de
Pasta de Papel SA 1,442,478 2,429,895
---------------
TOTAL -- PORTUGAL
(Cost $5,351,923) 6,263,100
---------------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
Bohler Uddeholm AG 6,402 488,199
OMV AG 5,913 1,036,949
Voestalpine AG 62,211 2,775,952
Wienerberger AG 16,123 546,392
---------------
TOTAL -- AUSTRIA
(Cost $3,477,881) 4,847,492
---------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 99,828 $ 421,080
Carter Holt Harvey, Ltd. 2,429,700 2,991,974
Fletcher Building, Ltd. 171,130 474,829
---------------
TOTAL COMMON STOCKS
(Cost $3,707,347) 3,887,883
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $6,846) 6,639
---------------
TOTAL -- NEW ZEALAND
(Cost $3,714,193) 3,894,522
---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Rekapacific Berhad 691,000 0
---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency
(Cost $881,605) 886,023
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (19.3%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $31,615,000 FMC
Discount Notes 1.13%, 08/12/04,
valued at $31,535,963) to be
repurchased at $31,071,072
(Cost $31,068,000) $ 31,068 31,068,000
Repurchase Agreement, Deutsche
Bank Securities 1.00%, 06/01/04
(Collateralized by $534,822,356 U.S.
Treasury Obligations rates ranging from
7.50% to 8.75%, maturities ranging
from 11/15/16 to 08/15/20, valued at
$660,863,438) to be repurchased at
$442,051,058
(Cost $442,001,947)^ 442,002 442,001,947
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $473,069,947) 473,069,947
---------------
TOTAL INVESTMENTS -- (100.0%)
(COST $2,082,684,554)++ $ 2,449,898,522
===============
</Table>
- ----------
+ See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
^ Security purchased with cash proceeds from securities on loan.
++ The cost for federal income tax purposes is $2,082,875,007.
See accompanying Notes to Financial Statements.
29
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
<Caption>
THE U.S. LARGE THE DFA
CAP VALUE INTERNATIONAL
SERIES VALUE SERIES
-------------- --------------
ASSETS:
Investments at Value (including $459,183 and $469,174
of securities on loan, respectively) $ 3,662,375 $ 2,449,899
Cash 1 15
Receivables:
Investment Securities Sold 605 3,463
Dividends, Interest, and Tax Reclaims 5,373 8,315
Fund Share Sold 3,543 812
Securities Lending Income 20 371
Prepaid Expenses and Other Assets 13 13
-------------- --------------
Total Assets 3,671,930 2,462,888
-------------- --------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 474,214 442,002
Investment Securities Purchased 21,826 3,476
Fund Shares Redeemed 96 335
Due to Advisor 257 324
Accrued Expenses and Other Liabilities 201 219
-------------- --------------
Total Liabilities 496,594 446,356
-------------- --------------
NET ASSETS $ 3,175,336 $ 2,016,532
============== ==============
SHARES OUTSTANDING $.01 PAR VALUE (Unlimited Number of
Shares Authorized) 188,406,260 144,560,171
============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE $ 16.85 $ 13.95
============== ==============
Investments at Cost $ 3,112,874 $ 2,082,685
============== ==============
</Table>
See accompanying Notes to Financial Statements.
30
<Page>
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
<Caption>
THE U.S. LARGE THE DFA
CAP VALUE INTERNATIONAL
SERIES VALUE SERIES
-------------- --------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0 and $3,065,
respectively) $ 23,072 $ 27,015
Interest 173 115
Income from Securities Lending 174 1,369
-------------- --------------
Total Investment Income 23,419 28,499
-------------- --------------
EXPENSES
Investment Advisory Services 1,467 1,881
Accounting & Transfer Agent Fees 444 483
Custodian Fees 139 290
Legal Fees 10 6
Audit Fees 19 7
Shareholders' Reports 25 11
Trustees' Fees and Expenses 15 4
Other 33 27
-------------- --------------
Total Expenses 2,152 2,709
-------------- --------------
NET INVESTMENT INCOME (LOSS) 21,267 25,790
-------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 22,742 50,698
Net Realized Gain (Loss) on Foreign Currency Transactions -- 4
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 206,595 134,458
Translation of Foreign Currency Denominated Amounts -- (180)
-------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 229,337 184,980
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 250,604 $ 210,770
============== ==============
</Table>
See accompanying Notes to Financial Statements.
31
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE U.S. LARGE CAP THE DFA INTERNATIONAL
VALUE SERIES VALUE SERIES
------------------------------ ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------- ------------- ------------- -------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 21,267 $ 31,384 $ 25,790 $ 31,730
Net Realized Gain (Loss) on
Investment Securities Sold 22,742 (48,309) 50,698 (3,540)
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- 4 205
Change in Unrealized Appreciation
(Depreciation) of
Investment Securities and
Foreign Currency 206,595 415,785 134,458 379,196
Translation of Foreign Currency
Denominated Amounts -- -- (180) 114
------------- ------------- ------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 250,604 398,860 210,770 407,705
------------- ------------- ------------- -------------
Distributions From:
Net Investment Income (11,755) (31,464) (7,625) (30,082)
Net Long-Term Gains -- -- -- (1,177)
------------- ------------- ------------- -------------
Total Distributions (11,755) (31,464) (7,625) (31,259)
------------- ------------- ------------- -------------
Capital Share Transactions (1):
Shares Issued 437,618 495,839 292,065 542,740
Shares Issued in Lieu of Cash
Distributions 11,311 31,027 7,625 31,258
Shares Redeemed (23,104) (121,409) (91,081) (471,133)
------------- ------------- ------------- -------------
Net Increase (Decrease) from
Capital Share Transactions 425,825 405,457 208,609 102,865
------------- ------------- ------------- -------------
Total Increase (Decrease) 664,674 772,853 411,754 479,311
NET ASSETS
Beginning of Period 2,510,662 1,737,809 1,604,778 1,125,467
------------- ------------- ------------- -------------
End of Period $ 3,175,336 $ 2,510,662 $ 2,016,532 $ 1,604,778
============= ============= ============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 26,167 36,572 21,290 53,795
Shares Issued in Lieu of Cash
Distributions 682 2,270 583 2,986
Shares Redeemed (1,402) (9,461) (6,742) (47,941)
------------- ------------- ------------- -------------
25,447 29,381 15,131 8,840
============= ============= ============= =============
</Table>
See accompanying Notes to the Financial Statements.
32
<Page>
THE U.S. LARGE CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 $ 18.79
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.21 0.20 0.25 0.33 0.34
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.39 2.41 (1.43) 1.25 0.04 0.46
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment
Operations 1.51 2.62 (1.23) 1.50 0.37 0.80
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.22) (0.20) (0.27) (0.32) (0.34)
Net Realized Gains -- -- -- (1.50) (3.13) (1.46)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.07) (0.22) (0.20) (1.77) (3.45) (1.80)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 16.85 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79
=========== =========== =========== =========== =========== ===========
Total Return 9.80%# 20.34% (8.64)% 10.97% 3.06% 4.64%
Net Assets, End of Period
(thousands) $ 3,175,336 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343 $ 1,788,082
Ratio of Expenses to
Average Net Assets 0.15%* 0.15% 0.15% 0.15% 0.16% 0.16%
Ratio of Net Investment Income
to Average Net Assets 1.45%* 1.62% 1.49% 1.66% 2.20% 1.80%
Portfolio Turnover Rate 2%# 7% 9% 6% 26% 43%
</Table>
- ----------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
33
<Page>
THE DFA INTERNATIONAL VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 $ 11.95
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.18 0.27 0.24 0.27 0.27 0.28
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.43 3.06 (0.78) (1.49) (0.31) 1.29
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment
Operations 1.61 3.33 (0.54) (1.22) (0.04) 1.57
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income (0.06) (0.25) (0.25) (0.27) (0.26) (0.31)
Net Realized Gains -- (0.01) (0.03) (0.43) (0.81) (0.03)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.06) (0.26) (0.28) (0.70) (1.07) (0.34)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 13.95 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18
=========== =========== =========== =========== =========== ===========
Total Return 13.00%# 36.24% (5.53)% (10.75)% (0.51)% 13.27%
Net Assets, End of Period
(thousands) $ 2,016,532 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481 $ 1,660,377
Ratio of Expenses to Average
Net Assets 0.29%* 0.30% 0.30% 0.29% 0.29% 0.29%
Ratio of Net Investment Income
to Average Net Assets 2.74%* 2.61% 2.36% 2.32% 2.13% 2.17%
Portfolio Turnover Rate 5%# 14% 18% 6% 9% 6%
</Table>
- ----------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
34
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which two (the "Series") are presented
in this report.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Series 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. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities at the mean between the quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Trustees.
The DFA International Value Series (the "Fund") will also apply a fair
value price in the circumstances described below. Generally, trading in foreign
securities markets is completed each day at various times prior to the close of
the New York Stock Exchange (NYSE.) For example, trading in the Japanese
securities markets is completed each day at the close of the Tokyo Stock
Exchange (generally 11:00 p.m. PT), which is fourteen hours prior to the close
of the NYSE (generally 1:00 p.m. PT) and the time that the net asset value of
the Fund is computed. Due to the time differences between the closings of the
relevant foreign securities exchanges and the time the Fund prices its shares at
the close of the NYSE, the Fund will fair value its foreign investments when it
is determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on the Fund's foreign investments since the last closing prices of
the foreign investments were calculated on their primary foreign securities
markets or exchanges. For these purposes, the Board of Trustees of the Trust
have determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable, and may trigger
fair value pricing. Consequently, fair valuation of portfolio securities may
occur on a daily basis. The fair value pricing by the Fund utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). The fair value
prices of portfolio securities generally will be used when it is determined that
the use of such prices will have a material impact on the net asset value of a
Fund. When the Fund uses fair value pricing, the values assigned to the Fund's
foreign investments may not be the quoted or published prices of the investments
on their primary markets or exchanges.
35
<Page>
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of The DFA International Value Series whose values are initially
expressed in foreign currencies, are translated to U.S. dollars using the mean
between the most recently quoted bid and asked prices for the U.S. dollar as
quoted by generally recognized reliable sources. Dividend and interest income
and certain expenses are translated to U.S. dollars at the rate of exchange on
their respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates, and
exchange gains or losses are realized upon ultimate receipt or disbursement.
The DFA International Value Series does not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on The DFA International Value
Series books and the U.S. dollar equivalent amounts actually received or paid.
3. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with The Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 28, 2004.
4. 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.
5. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Trustees, generally based on average net
assets.
The DFA International Value Series may be subject to taxes imposed by
countries in which it invests, with respect to its investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The DFA International Value Series accrues such taxes when the
related income or capital gains are earned. Some countries require governmental
approval for the repatriation of investment income, capital or the proceeds of
sales of foreign investors. In addition, if there is a deterioration in a
country's balance of payments or for other reasons, a country may impose
temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2004, the advisory fees were accrued daily and paid monthly to the Advisor based
on an effective annual rate of 0.10 of 1% and 0.20 of 1% of average daily net
assets for The U.S. Large Cap Value Series and The DFA International Value
Series, respectively.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
36
<Page>
D. DEFERRED COMPENSATION:
At May 31, 2004, the total liability for deferred compensation to Trustees
is included in Accrued Expenses and Other Liabilities as follows:
<Table>
The U.S. Large Cap Value Series $ 40,843
The DFA International Value Series 26,286
</Table>
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
<Caption>
PURCHASES SALES
----------- ----------
The U.S. Large Cap Value Series $ 467,788 $ 54,183
The DFA International Value Series 315,813 92,912
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2004.
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Fund intends to
continue to qualify as a regulated investment company under Subchapter M of the
Internal Revenue Code and distribute substantially all of its taxable income and
capital gains to shareholders. Because income tax regulations differ from
accounting principles generally accepted in the United States of America, the
timing and character of income and capital gain distributions determined in
accordance with tax regulations can differ from income and capital gains
recognized for financial reporting purposes. Accordingly, the character of
distributions and the composition of net assets for tax purposes can differ from
those reflected in the financial statements. These book/tax differences may be
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid in capital, accumulated net realized gain
(loss) or undistributed net investment income as appropriate, in the period the
differences arise. These reclassifications have no effect on net assets or net
asset value per share.
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Components of Net Assets.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities and foreign currencies was as
follows (amounts in thousands):
<Table>
<Caption>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- ----------
The U.S. Large Cap Value Series $ 697,096 $ (147,595) $ 549,501
The DFA International Value Series 474,540 (107,516) 367,024
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. As of May 31, 2004,
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. At November 30, 2003, the Series
37
<Page>
had unrealized appreciation/depreciation (mark to market) and realized gains on
the sale of passive foreign investment companies of $3,502,361 and $7,716,855
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. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each series is permitted to borrow, subject to
its investment limitations, up to a maximum of $50 million. 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. 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. 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 six months ended May 31, 2004.
The Trust together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings under the line of credit by the Series during the
six months ended May 31, 2004.
H. COMPONENTS OF NET ASSETS:
At May 31, 2004, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED UNREALIZED ACCUMULATED
NET ACCUMULATED NET REALIZED APPRECIATION NET FOREIGN
INVESTMENT NET REALIZED FOREIGN (DEPRECIATION) OF EXCHANGE
PAID-IN INCOME GAIN EXCHANGE INVESTMENT GAIN TOTAL NET
CAPITAL (LOSS) (LOSS) GAIN (LOSS) SECURITIES (LOSS) ASSETS
------------ ----------- ------------ ------------ ----------------- ----------- ------------
The U.S. Large Cap Value Series $ 2,672,681 $ 11,217 $ (58,064) -- $ 549,502 -- $ 3,175,336
The DFA International Value Series 1,583,131 19,141 47,022 $ 4 367,214 $ 20 2,016,532
</Table>
I. SECURITIES LENDING:
As of May 31, 2004, some of the Series' portfolios had securities on loan
to brokers/dealers, for which each portfolio held cash collateral. Each
portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities are
on loan. Loans of securities are required at all times to be secured by
collateral at least equal to 100% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, PNCBank, National
Association, the lending agent, has agreed to pay the amount of the shortfall to
the portfolio or, at the option of the lending agent, to replace the securities.
Cash collateral of each Series received from securities on loan is invested
along with cash collateral from the other Portfolios of the Series in repurchase
agreements collateralized by U.S. government securities. These investments are
accounted for separately for each Portfolio. Securities pledged as collateral
for the repurchase agreements are held by a custodian bank until the agreements
mature.
38
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the non-Feeder Portfolios
and Master Funds use in voting proxies relating to securities held in their
portfolio's is available without charge, upon request, by calling collect: (310)
395-8005. Information regarding how the Advisor votes these proxies will become
available from the EDGARdatabase on the SEC's website at http://www.sec.gov no
later than August 31, 2004 when the Funds file their first report on Form N-PX
and will reflect the twelve-month period beginning July 1, 2003 and ending June
30, 2004.
39
<Page>
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<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
GLOBAL EQUITY PORTFOLIO
GLOBAL 60/40 PORTFOLIO
GLOBAL 25/75 PORTFOLIO
CLASS R SHARES
INSTITUTIONAL CLASS SHARES
SEMI-ANNUAL REPORT
PERIOD ENDED MAY 31, 2004
(UNAUDITED)
<Page>
DIMENSIONIAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
--------
DIMENSIONAL INVESTMENT GROUP INC.
Schedules of Investments 1
Global Equity Portfolio 1
Global 60/40 Portfolio 3
Global 25/75 Portfolio 5
Statements of Assets and Liabilities 7
Statements of Operations 8
Statements of Changes in Net Assets 9
Financial Highlights 10
Notes to Financial Statements 12
THE DFA INVESTMENT TRUST COMPANY
Schedules of Investments 17
The U.S. Large Company Series 17
The U.S. Large Cap Value Series 22
The U.S. Small Cap Series 25
The DFA International Value Series 53
The Japanese Small Company Series 61
The Pacific Rim Small Company Series 72
The United Kingdom Small Company Series 82
The Continental Small Company Series 88
The Emerging Markets Series 103
The Emerging Markets Small Cap Series 110
The DFA Two-Year Global Fixed Income Series 125
Statements of Assets and Liabilities 127
Statements of Operations 129
Statements of Changes in Net Assets 133
Financial Highlights 137
Notes to Financial Statements 143
DFA INVESTMENT DIMENSIONS GROUP INC.
Schedules of Investments 149
DFA Real Estate Securities Portfolio 149
Large Cap International Portfolio 151
DFA Five-Year Global Fixed Income Portfolio 165
Statements of Assets and Liabilities 167
Statements of Operations 168
Statements of Changes in Net Assets 169
Financial Highlights 170
Notes to Financial Statements 172
</Table>
i
<Page>
<Table>
<Caption>
PAGE
--------
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
Schedule of Investments 177
Statement of Assets and Liabilities 192
Statement of Operations 193
Statement of Changes in Net Assets 194
Financial Highlights 195
Notes to Financial Statements 196
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 200
</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.
ii
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
SCHEDULES OF INVESTMENTS
GLOBAL EQUITY PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
VALUE+
-------------
Investment in The U.S. Large Company Series of The DFA
Investment Trust Company (24.8%)
(Cost $21,381,992) $ 21,631,049
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company (24.8%)
(1,284,430 Shares, Cost $21,654,776) 21,642,645
Investment in The U.S. Small Cap Series of The DFA
Investment Trust Company (17.9%)
(1,071,485 Shares, Cost $15,804,160) 15,568,680
Investment in The DFA International Value Series of The DFA
Investment Trust Company (9.9%)
(623,137 Shares, Cost $8,621,287) 8,692,760
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company (2.8%)
(Cost $2,299,440) 2,419,228
Investment in The Pacific Rim Small Company Series of The DFA
Investment Trust Company (1.3%)
(Cost $1,206,534) 1,122,461
Investment in The United Kingdom Small Company Series of The DFA
Investment Trust Company (1.9%)
(Cost $1,656,835) 1,721,665
Investment in The Continental Small Company Series of The DFA
Investment Trust Company (4.0%)
(Cost $3,482,135) 3,454,033
Investment in The Emerging Markets Series of The DFA
Investment Trust Company (2.0%)
(Cost $1,773,646) 1,729,050
Investment in The Emerging Markets Small Cap Series of The DFA
Investment Trust Company (1.0%)
(Cost $902,700) 859,622
Investment in DFA Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc. (2.0%)
(92,062 Shares, Cost $1,742,457) 1,749,178
Investment in Large Cap International Portfolio of DFA
Investment Dimensions Group Inc. (5.0%)
(273,845 Shares, Cost $4,332,850) 4,315,797
Investment in Dimensional Emerging Markets Value Fund Inc. (2.0%)
(81,259 Shares, Cost $1,817,408) 1,729,192
</Table>
See accompanying Notes to Financial Statements.
1
<Page>
<Table>
<Caption>
FACE
AMOUNT
(000) VALUE+
------------- -------------
Temporary Cash Investments (0.60%)
Repurchase Agreement, PNC Capital Markets Inc. 0.89%, 06/01/04
(Collateralized by $543,000 FHLB Notes 1.625%, 06/15/05, valued
at $543,063) to be repurchased at $537,053
(Cost $537,000) $ 537 $ 537,000
-------------
Total Investments (100%) (Cost $87,213,220)++ $ 87,172,360
=============
</Table>
- ----------
+See Note B to Financial Statements.
++The cost for federal income tax purposes is $87,309,050.
See accompanying Notes to Financial Statements.
2
<Page>
GLOBAL 60/40 PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
VALUE+
-------------
Investment in The U.S. Large Company Series of The DFA
Investment Trust Company (14.8%)
(Cost $5,524,948) $ 5,588,564
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company (14.8%)
(331,845 Shares, Cost $5,609,470) 5,591,580
Investment in The U.S. Small Cap Series of The DFA
Investment Trust Company (10.7%)
(276,865 Shares, Cost $4,089,981) 4,022,851
Investment in The DFA International Value Series of The DFA
Investment Trust Company (5.9%)
(160,300 Shares, Cost $2,224,448) 2,236,187
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company (1.7%)
(Cost $601,744) 625,517
Investment in The Pacific Rim Small Company Series of The DFA
Investment Trust Company (0.8%)
(Cost $311,642) 290,689
Investment in The United Kingdom Small Company Series of The DFA
Investment Trust Company (1.2%)
(Cost $429,785) 446,574
Investment in The Continental Small Company Series of The DFA
Investment Trust Company (2.4%)
(Cost $896,497) 891,202
Investment in The Emerging Markets Series of The DFA
Investment Trust Company (1.2%)
(Cost $461.633) 448,074
Investment in The Emerging Markets Small Cap Series of The DFA
Investment Trust Company (0.6%)
(Cost $236,386) 223,936
Investment in The DFA Two-Year Global Fixed Income Series of The DFA
Investment Trust Company (19.8%)
(744,851 Shares, Cost $7,500,804) 7,448,515
Investment in DFA Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc. (1.2%)
(23,733 Shares, Cost $448,978) 450,932
Investment in Large Cap International Portfolio of DFA
Investment Dimensions Group Inc. (3.0%)
(70,630 Shares, Cost $1,120,236) 1,113,127
Investment in DFA Five-Year Global Fixed Income Portfolio of DFA
Investment Dimensions Group Inc. (19.7%)
(718,308 Shares, Cost $7,591,171) 7,441,669
</Table>
See accompanying Notes to Financial Statements.
3
<Page>
<Table>
<Caption>
VALUE+
-------------
Investment in Dimensional Emerging Markets Value Fund Inc. (1.2%)
(21,077 Shares, Cost $475,961) $ 448,513
<Caption>
FACE
AMOUNT
(000)
-------------
Temporary Cash Investments (1.0%)
Repurchase Agreement, PNC Capital Markets Inc. 0.89%, 06/01/04
(Collateralized by $475,000 U.S. Treasury Notes 6.00%, 08/15/04, valued
at $488,063) to be repurchased at $432,043
(Cost $432,000) $ 432 432,000
-------------
Total Investments(100%) (Cost $37,955,684)++ $ 37,699,930
=============
</Table>
- ----------
+See Note B to Financial Statements.
++The cost for federal income tax purposes is $37,956,754
See accompanying Notes to Financial Statements.
4
<Page>
GLOBAL 25/75 PORTFOLIO
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
VALUE+
-------------
Investment in The U.S. Large Company Series of The DFA
Investment Trust Company (6.1%)
(Cost $673,627) $ 681,533
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company (6.2%)
(40,642 Shares, Cost $684,397) 684,811
Investment in The U.S. Small Cap Series of The DFA
Investment Trust Company (4.5%)
(34,396 Shares, Cost $507,562) 499,772
Investment in The DFA International Value Series of The DFA
Investment Trust Company (2.5%)
(20,166 Shares, Cost $279,632) 281,320
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company (0.7%)
(Cost $76,900) 79,105
Investment in The Pacific Rim Small Company Series of The DFA
Investment Trust Company (0.3%)
(Cost $39,149) 36,721
Investment in The United Kingdom Small Company Series of The DFA
Investment Trust Company (0.5%)
(Cost $53,006) 55,111
Investment in The Continental Small Company Series of The DFA
Investment Trust Company (1.0%)
(Cost $109,815) 109,911
Investment in The Emerging Markets Series of The DFA
Investment Trust Company (0.5%)
(Cost $58,102) 56,349
Investment in The Emerging Markets Small Cap Series of The DFA
Investment Trust Company (0.3%)
(Cost $29,413) 27,871
Investment in The DFA Two-Year Global Fixed Income Series of The DFA
Investment Trust Company (37.1%)
(411,534 Shares, Cost $4,141,175) 4,115,338
Investment in DFA Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc. (0.5%)
(3,012 Shares, Cost $56,708) 57,231
Investment in Large Cap International Portfolio of DFA
Investment Dimensions Group Inc. (1.2%)
(8,800 Shares, Cost $139,689) 138,686
Investment in DFA Five-Year Global Fixed Income Portfolio of DFA
Investment Dimensions Group Inc. (37.0%)
(396,867 Shares, Cost $4,186,270) 4,111,545
</Table>
See accompanying Notes to Financial Statements.
5
<Page>
<Table>
<Caption>
VALUE+
-------------
Investment in Dimensional Emerging Markets Value Fund Inc. (0.5%)
(2,640 Shares, Cost $59,749) $ 56,177
<Caption>
FACE
AMOUNT
(000)
-------------
Temporary Cash Investments (1.1%)
Repurchase Agreement, PNC Capital Markets Inc. 0.89%, 06/01/04
(Collateralized by $195,000 FNMA Discount Notes 1.60%, 09/21/05, valued
at $193,781) to be repurchased at $110,011
(Cost $110,000) $ 110 110,000
-------------
Total Investments (100%) (Cost $11,204,924)++ $ 11,101,481
=============
</Table>
- ----------
+See Note B to Financial Statements
++The cost for federal income tax purposes is $11,206,365
See accompanying Notes to Financial Statements.
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
<Caption>
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ----------
ASSETS:
Investments at Value $ 87,172 $ 37,700 $ 11,101
Receivables:
Fund Shares Sold 615 127 22
From Advisor 7 5 8
Prepaid Expenses and Other Assets 9 6 3
---------- ---------- ----------
Total Assets 87,803 37,838 11,134
---------- ---------- ----------
LIABILITIES:
Payables:
Investment Securities Purchased 528 422 100
Fund Shares Redeemed 5 -- --
Accrued Expenses and Other Liabilities 77 28 9
---------- ---------- ----------
Total Liabilities 610 450 109
---------- ---------- ----------
NET ASSETS $ 87,193 $ 37,388 $ 11,025
========== ========== ==========
NET ASSET VALUE OFFERING AND REDEMPTION PRICE PER SHARE:
Class I - based on net assets of $73,745, $35,501, and $10,875 and 7,060,732,
3,495,754 and 1,082,609 shares outstanding, respectively
(Authorized 100,000,000 shares) $ 10.44 $ 10.16 $ 10.05
========== ========== ==========
Class R - based on net assets of $13,448, $1,887, and $150 and 1,288,163,
185,866 and 14,931 shares outstanding, respectively (Authorized 100,000,000
shares) $ 10.44 $ 10.15 $ 10.04
========== ========== ==========
Investments at Cost $ 87,213 $ 37,956 $ 11,205
========== ========== ==========
</Table>
See accompanying Notes to Financial Statements.
7
<Page>
STATEMENTS OF OPERATIONS
FOR THE PERIOD DECEMBER 24, 2003 TO MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
<Caption>
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO (1) PORTFOLIO (1) PORTFOLIO (1)
------------- ------------- -------------
INVESTMENT INCOME
Income Distributions Received from
Master Funds $ 26 $ 32 $ 14
Dividends (Net of Foreign Taxes Withheld of $11, $3, and
$0, respectively) 172 42 6
Interest 2 1 --
Income from Securities Lending 5 1 --
Expenses Allocated from Master Funds (11) (2) (1)
------------- ------------- -------------
Total Investment Income 194 74 19
------------- ------------- -------------
EXPENSES
Administrative Services 60 20 5
Accounting & Transfer Agent Fees 8 8 8
Audit Fees 1 1 1
Shareholder Servicing Fees - Class R 11 2 --
Shareholders' Reports 7 2 --
Directors' Fees and Expenses 1 -- --
Filing Fees 3 2 1
------------- ------------- -------------
Total Expenses 91 35 15
Fees Waived, Expenses Reimbursed and/or
Previously Waived Fees Recovered by Advisor (Note C) (7) (5) (8)
------------- ------------- -------------
Net Expenses 84 30 7
------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 110 44 12
------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold (596) (116) (12)
Net Realized Gain (Loss) on Foreign Currency Transactions (2) -- --
Net Realized Gain (Loss) on Futures (100) (29) (5)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency (41) (256) (103)
Deferred Thailand Capital Gains Tax 3 1 --
------------- ------------- -------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES
AND FOREIGN CURRENCY (736) (400) (120)
------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ (626) $ (356) $ (108)
============= ============= =============
</Table>
- ----------
(1) The Portfolio commenced operations on December 24, 2003.
See accompanying Notes to Financial Statements.
8
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
<Caption>
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
----------------- ----------------- -----------------
DEC. 24, 2003 (1) DEC. 24, 2003 (1) DEC. 24, 2003 (1)
TO TO TO
MAY 31, MAY 31, MAY 31,
2004 2004 2004
----------------- ----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 110 $ 44 $ 12
Net Realized Gain (Loss) on Investment Securities Sold (596) (116) (12)
Net Realized Gain (Loss) on Foreign Currency Transactions (2) -- --
Net Realized Gain (Loss) on Futures (100) (29) (5)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency (41) (256) (103)
Deferred Thailand Capital Gains Tax 3 1 --
----------------- ----------------- -----------------
Net Increase (Decrease) in Net Assets
Resulting from Operations (626) (356) (108)
----------------- ----------------- -----------------
Distributions to Shareholders From:
Net Investment Income
Institutional Class (24) (27) (13)
Retail Class (8) (4) --
----------------- ----------------- -----------------
Total Distributions from Net Investment Income (32) (31) (13)
Net Realized Gains
Institutional Class -- -- --
Retail Class -- -- --
----------------- ----------------- -----------------
Total Distributions from Net Realized Gains -- -- --
----------------- ----------------- -----------------
Total Distributions to Shareholders (32) (31) (13)
----------------- ----------------- -----------------
Capital Share Transactions (1):
Shares Issued 95,686 38,691 11,254
Shares Issued in Lieu of Cash Distributions 32 31 13
Shares Redeemed (7,867) (947) (121)
----------------- ----------------- -----------------
Net Increase (Decrease) From Capital Shares Transactions 87,851 37,775 11,146
----------------- ----------------- -----------------
Total Increase (Decrease) 87,193 37,388 11,025
NET ASSETS
Beginning of Period -- -- --
----------------- ----------------- -----------------
End of Period $ 87,193 $ 37,388 $ 11,025
================= ================= =================
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 9,096 3,772 1,109
Shares Issued in Lieu of Cash Distributions 3 3 1
Shares Redeemed (750) (93) (12)
----------------- ----------------- -----------------
8,349 3,682 1,098
================= ================= =================
</Table>
- ----------
(1) Commencement of operations.
See accompanying Notes to Financial Statements.
9
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CLASS R SHARES
(UNAUDITED)
<Table>
<Caption>
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
----------------- ----------------- -----------------
DEC. 24, 2003 (1) DEC. 24, 2003 (1) DEC. 24, 2003 (1)
TO TO TO
MAY 31, 2004 MAY 31, 2004 MAY 31, 2004
----------------- ----------------- -----------------
Net Asset Value, Beginning of Period $ 10.00 $ 10.00 $ 10.00
----------------- ----------------- -----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.01 0.02 0.02
Net Gain (Loss) on Securities (Realized and Unrealized) 0.44 0.15 0.04
----------------- ----------------- -----------------
Total from Investment Operations 0.45 0.17 0.06
----------------- ----------------- -----------------
LESS DISTRIBUTIONS
Net Investment Income (0.01) (0.02) (0.02)
Net Realized Gains -- -- --
----------------- ----------------- -----------------
Total Distributions (0.01) (0.02) (0.02)
----------------- ----------------- -----------------
Net Assets, End of Period $ 10.44 $ 10.15 $ 10.04
================= ================= =================
Total Return 4.46%# 1.68%# 0.62%#
Net Assets, End of Period (thousands) $ 13,448 $ 1,887 $ 150
Ratio of Expenses to Average Net Assets**(a) 0.62%* 0.59%* 0.52%*
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously
waived fees)**(a) 0.65%* 0.63%* 0.92%*
Ratio of Net Investment Income to Average Net Assets 0.37%* 0.48%* (0.15)%*
Ratio of Net Investment Income to Average Net Assets (excluding
waivers and assumption of expenses and/or recovery of
previously waived fees) 0.34%* 0.44%* (0.55)%*
Portfolio Turnover Rate N/A N/A N/A
</Table>
- ----------
* Annualized
# Non-annualized
(1) Commencement of operations.
** Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
N/A Refer to the respective Master Fund Series.
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements.
10
<Page>
INSTITUTIONAL CLASS SHARES
(UNAUDITED)
<Table>
<Caption>
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
----------------- ----------------- -----------------
DEC. 24, 2003 (1) DEC. 24, 2003 (1) DEC. 24, 2003 (1)
TO TO TO
MAY 31, 2004 MAY 31, 2004 MAY 31, 2004
----------------- ----------------- -----------------
Net Asset Value, Beginning of Period $ 10.00 $ 10.00 $ 10.00
----------------- ----------------- -----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.02 0.02 0.03
Net Gain (Loss) on Securities (Realized and Unrealized) 0.43 0.16 0.05
----------------- ----------------- -----------------
Total from Investment Operations 0.45 0.18 0.08
----------------- ----------------- -----------------
LESS DISTRIBUTIONS
Net Investment Income (0.01) (0.02) (0.03)
Net Realized Gains -- -- --
----------------- ----------------- -----------------
Total Distributions (0.01) (0.02) (0.03)
----------------- ----------------- -----------------
Net Assets, End of Period $ 10.44 $ 10.16 $ 10.05
================= ================= =================
Total Return 4.47%# 1.79%# 0.78%#
Net Assets, End of Period (thousands) $ 73,745 $ 35,501 $ 10,875
Ratio of Expenses to Average Net Assets**(a) 0.39%* 0.36%* 0.28%*
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously
waived fees)**(a) 0.43%* 0.42%* 0.59%*
Ratio of Net Investment Income to Average Net Assets 0.57%* 0.51%* 0.45%*
Ratio of Net Investment Income to Average Net Assets (excluding
waivers and assumption of expenses and/or recovery of
previously waived fees) 0.53%* 0.45%* 0.14%*
Portfolio Turnover Rate N/A N/A N/A
</Table>
- ----------
* Annualized
# Non-annualized
(1) Commencement of operations.
** Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
N/A Refer to the respective Master Fund Series.
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements.
11
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers twenty-five
portfolios, of which three (the "Global Funds" or "Feeder Funds") are presented
in this report.
The Global Funds achieve their investment objectives by investing in other
portfolios within The DFA Investment Trust Company ("ITC"), or DFA Investment
Dimensions Group Inc. ("IDG") or Dimensional Emerging Markets Value Fund Inc.
("DEM") (collectively, the "Master Funds").
<Table>
<Caption>
GLOBAL FUND MASTER FUNDS (AT MAY 31, 2004)
- ----------------------- ----------------------------------------------------
Global Equity Portfolio The U.S. Large Company Series (ITC)
Global 60/40 Portfolio The U.S. Large Cap Value Series (ITC)
Global 25/75 Portfolio The U.S. Small Cap Series (ITC)
The DFA International Value Series (ITC)
The Japanese Small Company Series (ITC)
The Pacific Rim Small Company Series (ITC)
The United Kingdom Small Company Series (ITC)
The Continental Small Company Series (ITC)
The Emerging Markets Series (ITC)
The Emerging Markets Small Cap Series (ITC)
The DFA Two-Year Global Fixed Income Series (ITC)
DFA Real Estate Securities Portfolio (IDG)
Large Cap International Portfolio (IDG)
DFA Five-Year Global Fixed Income Portfolio (IDG)
Dimensional Emerging Markets Value Fund Inc. (DEM)
</Table>
The Global Equity Portfolio did not hold any shares of The DFA Two-Year
Global Fixed Income Series or the DFA Five-Year Global Fixed Income Portfolio
during the period ended May 31, 2004.
At May 31, 2004 no one Global Fund owned more than 1% of any one Master
Fund's total net assets.
The financial statements of the Master Funds are included in this report
and should be read in conjunction with the financial statements of the Global
Funds.
In the normal course of business, the Global Funds enter into contracts
that contain a variety of representations and warranties and which provide
general indemnification. The Global Funds' maximum exposure under these
arrangements is unknown as this would involve future claims that may be made
against the Global Fund and/or its affiliates that have not yet occurred.
However, based on experience, the Global Fund expects the risk of loss to be
remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Global Funds in the preparation of its
financial statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America may
require management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates and those differences could be material.
12
<Page>
1. SECURITY VALUATION: The shares of the Master Funds held by the Global
Funds are valued at their respective daily net asset values where the Master
Funds are organized as regulated investment companies for federal income tax
purposes. The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series are organized as partnerships (the "Partnerships"). The
Global Funds reflect their proportionate interest in the net assets of those
corresponding Master Funds.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Expenses directly attributable to a
Global Fund are directly charged.
Each class of shares has equal rights to assets and earnings of its Global
Fund. Income, gains and losses on investments, and common expenses of each
Global Fund are allocated to each class of shares based on its relative net
assets. Each class will bear its own class-specific expenses, if any.
The Funds each accrue their respective share of income and expenses daily
on their investment in their corresponding Partnerships. All of the net
investment income and realized and unrealized gains and losses from the security
transactions and foreign currency of the Partnerships are allocated pro-rata
among its investors at the time of such determination.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Master Funds and the Feeder Funds. The
Advisor also provides administrative services to the Feeder Funds, including
supervision of services provided by others, providing information to
shareholders and the Board of Directors, and other administrative services. The
Global Funds are not subject to a management fee.
For the Institutional and Class R shares, the Advisor has agreed to waive
its administration fees to the extent necessary to limit the proportionate share
of the total combined administration fees paid by each of the Global Funds and
management fees paid by the Master Funds to the Advisor to 0.35% for the Global
Equity Portfolio, 0.30% for the Global 60/40 Portfolio and to 0.25% for the
Global 25/75 Portfolio. The expense waiver will remain in effect for a period of
one year from April 1, 2004 to April 1, 2005, and shall continue to remain in
effect from year to year thereafter unless terminated by the Fund or the
Advisor.
The Advisor has also agreed to assume the direct operating expenses of the
Institutional Class shares of each Global Fund (excluding administration fees
paid to the Advisor), up to an amount equal to the total fees paid to the
Advisor by the Institutional Class shares (including the pass through of the
management fees aid to the Advisor by the Master Funds), as is necessary to
limit the total operating expense ratios (including the expenses that the
Institutional Class shares of each such Global Fund bears as a shareholder of
the Master Fund) of the Institutional Class shares of the Global Equity
Portfolio to 0.70%, the Global 60/40 Portfolio to 0.65% and the Global 25/75
Portfolio to 0.60%. The expense waiver will remain in effect for a period of one
year from April 1, 2004 to April 1, 2005, and shall continue to remain in effect
from year to year thereafter unless terminated by the Fund or the Advisor.
Also, for the Class R shares, the Advisor has agreed to assume the direct
operating expenses of the Class R shares of each Global Fund (excluding
administration fees paid to the Advisor) to the extent necessary to limit the
total expense ratios (including the expenses that the Class R shares of each
such Global Fund bears as a shareholder
13
<Page>
of the Master Funds and including Shareholder Servicing Fees) of the Class R
shares of each Global Fund to 0.95%. The expense waiver will remain in effect
for a period of one year from April 1, 2004 to April 1, 2005, and shall continue
to remain in effect from year to year thereafter unless terminated by the Fund
or the Advisor.
Certain officers of the Global Funds are also officers, directors and
shareholders of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2004, the total liability for deferred compensation to Directors
is included in Accrued Expenses and Other Liabilities as follows:
<Table>
Global Equity Portfolio $ 1,025
Global 60/40 Portfolio 451
Global 25/75 Portfolio 132
</Table>
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since it is the intention
of each of the Global Funds to continue to qualify as a regulated investment
company under Subchapter M of the Internal Revenue Code and distribute
substantially all of its taxable income and capital gains to shareholders.
Because income tax regulations differ from accounting principles generally
accepted in the United States of America, the timing and character of income and
capital gain distributions determined in accordance with tax regulations can
differ from income and capital gains recognized for financial reporting
purposes. Accordingly, the character of distributions and the composition of net
assets for tax purposes can differ from those reflected in the financial
statements. These book/tax differences may be temporary or permanent in nature.
To the extent these differences are permanent, they are charged or credited to
paid in capital, accumulated net realized gain (loss) or undistributed net
investment income as appropriate, in the period the differences arise. These
reclassifications have no effect on net assets or net asset value per share.
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities and foreign currencies was as
follows (amounts in thousands):
<Table>
<Caption>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- -----------
Global Equity Portfolio $ 416 $ (553) $ (137)
Global 60/40 Portfolio 92 (349) (257)
Global 25/75 Portfolio 13 (118) (105)
</Table>
F. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (in thousands):
<Table>
<Caption>
DECEMBER 24, 2003
TO
MAY 31, 2004
--------------------
AMOUNT SHARES
--------- --------
GLOBAL EQUITY PORTFOLIO
Institutional Class Shares
Shares Issued $ 80,379 7,629
Shares Issued in Lieu of Cash Distributions 24 2
Shares Redeemed (5,991) (571)
--------- --------
Net Increase (Decrease)--Institutional Shares $ 74,412 7,060
========= ========
</Table>
14
<Page>
<Table>
<Caption>
DECEMBER 24, 2003
TO
MAY 31, 2004
------------------------
AMOUNT SHARES
---------- ----------
Class R Shares
Shares Issued $ 15,307 1,466
Shares Issued in Lieu of Cash Distributions 8 1
Shares Redeemed (1,876) (179)
---------- ----------
Net Increase (Decrease)--Class R Shares $ 13,439 1,288
========== ==========
GLOBAL 60/40 PORTFOLIO
Insitutional Class Shares
Shares Issued 36,294 3,537
Shares Issued in Lieu of Cash Distributions 27 3
Shares Redeemed (442) (44)
---------- ----------
Net Increase (Decrease)--Institutional Shares $ 35,879 3,496
========== ==========
Class R Shares
Shares Issued 2,397 235
Shares Issued in Lieu of Cash Distributions 4 --
Shares Redeemed (505) (49)
---------- ----------
Net Increase (Decrease)--Class R Shares $ 1,896 186
========== ==========
GLOBAL 25/75 PORTFOLIO
Institutional Class Shares
Shares Issued 11,102 1,094
Shares Issued in Lieu of Cash Distributions 13 1
Shares Redeemed (121) (12)
---------- ----------
Net Increase (Decrease)--Institutional Shares $ 10,994 1,083
========== ==========
Class R Shares
Shares Issued 152 15
Shares Issued in Lieu of Cash Distributions -- --
Shares Redeemed -- --
---------- ----------
Net Increase (Decrease)--Class R Shares $ 152 15
========== ==========
</Table>
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated at any time. There were no borrowings under the discretionary line of
credit by the Global Funds during the period from December 24, 2003 to May 31,
2004.
The Global Funds, together with other Dimensional-advised portfolios, have
also entered into an additional $150 million unsecured line of credit effective
April 2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The
15
<Page>
agreement for the line of credit expires in April 2005. There were no borrowings
by the Global Funds under the line of credit with the international custodian
bank during the period from December 24, 2003 to May 31, 2004.
H. COMPONENTS OF NET ASSETS:
At May 31, 2004, net assets consisted of (amounts in thousands):
<Table>
<Caption>
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ----------
Paid-in Capital $ 87,851 $ 37,775 $ 11,146
Accumulated Net Investment Income (Loss) 78 13 (1)
Accumulated Net Realized Gain (Loss) (696) (145) (17)
Undistributed Realized Foreign Exchange Gain (Loss) (2) -- --
Unrealized Appreciation (Depreciation) of Investment Securities (41) (256) (103)
Deferred Thailand Capital Gains Tax 3 1 --
---------- ---------- ----------
Total Net Assets $ 87,193 $ 37,388 $ 11,025
========== ========== ==========
</Table>
I. SHAREHOLDER SERVICING FEES:
The Class R shares pay a shareholder servicing fee in the amount of 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services to
investors in a Global Fund's Class R shares.
16
<Page>
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
COMMON STOCKS -- (87.5%)
3M Co. 244,400 $ 20,666,464
Abbott Laboratories 487,700 20,098,117
Ace, Ltd. 87,100 3,586,778
* ADC Telecommunications, Inc. 251,500 638,810
# Adobe Systems, Inc. 74,400 3,320,472
*# Advanced Micro Devices, Inc. 108,700 1,690,285
* AES Corp. 194,200 1,813,828
Aetna, Inc. 47,800 3,881,360
* Affiliated Computer Services, Inc. Class A 42,700 2,127,314
AFLAC, Inc. 159,900 6,491,940
* Agilent Technologies, Inc. 148,300 3,811,310
Air Products & Chemicals, Inc. 70,900 3,542,873
Alberto-Culver Co. Class B 28,300 1,330,666
# Albertson's, Inc. 114,400 2,680,392
Alcoa, Inc. 271,400 8,494,820
*# Allegheny Energy, Inc. 39,600 564,300
Allegheny Technologies, Inc. 25,200 302,652
Allergan, Inc. 40,900 3,636,010
* Allied Waste Industries, Inc. 99,900 1,324,674
# Allstate Corp. 219,400 9,649,212
Alltel Corp. 97,400 4,931,362
*# Altera Corp. 118,100 2,703,309
Altria Group, Inc. 638,400 30,624,048
Ambac Financial Group, Inc. 33,300 2,302,695
Amerada Hess Corp. 28,000 1,976,520
Ameren Corp. 56,700 2,506,140
# American Electric Power Co., Inc. 123,200 3,914,064
American Express Co. 401,200 20,340,840
American International Group, Inc. 813,800 59,651,540
American Power Conversion Corp. 61,900 1,120,390
* American Standard Companies, Inc. 67,500 2,532,600
AmerisourceBergen Corp. 35,000 2,099,300
*# Amgen, Inc. 402,400 22,011,280
AmSouth Bancorporation 109,500 2,790,060
Anadarko Petroleum Corp. 78,500 4,279,820
# Analog Devices, Inc. 116,600 5,730,890
*# Andrew Corp. 49,600 974,640
Anheuser-Busch Companies, Inc. 254,100 13,535,907
*# Anthem, Inc. 43,100 3,815,643
AON Corp. 97,900 2,704,977
Apache Corp. 101,100 4,080,396
Apartment Investment & Management Co. Class A 29,200 843,296
* Apollo Group, Inc. (Class A) 54,900 5,149,620
*# Apple Computer, Inc. 115,300 3,235,318
# Applera Corporation - Applied Biosystems Group 64,300 1,246,134
* Applied Materials, Inc. 524,500 10,469,020
* Applied Micro Circuits Corp. 96,900 522,291
Archer-Daniels Midland Co. 202,100 3,360,923
Ashland, Inc. 21,700 1,023,155
# AT&T Corp. 247,500 4,103,550
* AT&T Wireless Services, Inc. 849,800 12,033,168
# Autodesk, Inc. 35,200 1,262,272
Automatic Data Processing, Inc. 183,900 $ 8,170,677
*# AutoNation, Inc. 85,800 1,430,286
* Autozone, Inc. 27,200 2,359,600
*# Avaya, Inc. 132,500 2,097,475
Avery Dennison Corp. 34,500 2,036,880
Avon Products, Inc. 73,500 6,516,510
B B & T Corp. 170,500 6,424,440
Baker Hughes, Inc. 104,400 3,552,732
Ball Corp. 17,500 1,195,425
# Bank of America Corp. 640,659 53,257,983
Bank of New York Co., Inc. 241,300 7,255,891
Bank One Corp. 349,200 16,918,740
Bard (C.R.), Inc. 16,200 1,817,154
Bausch & Lomb, Inc. 16,400 1,000,728
# Baxter International, Inc. 190,300 5,983,032
Bear Stearns Companies, Inc. 32,400 2,626,344
Becton Dickinson & Co. 78,800 3,965,216
* Bed, Bath and Beyond, Inc. 93,100 3,467,975
Bellsouth Corp. 571,100 14,254,656
Bemis Co., Inc. 33,500 922,925
# Best Buy Co., Inc. 101,300 5,344,588
* Big Lots, Inc. 36,400 532,168
*# Biogen Idec, Inc. 102,200 6,351,730
# Biomet, Inc. 79,800 3,201,576
* BJ Services, Co. 49,700 2,081,933
Black & Decker Corp. 24,500 1,468,285
# Block (H.&R.), Inc. 55,600 2,716,060
*# BMC Software, Inc. 70,200 1,238,328
# Boeing Co. 262,800 12,036,240
Boise Cascade Corp. 27,200 956,080
* Boston Scientific Corp. 255,400 11,314,220
Bristol Myers Squibb Co. 605,400 15,298,458
*# Broadcom Corp. 94,400 3,984,624
Brown-Forman Corp. Class B 37,800 1,816,290
Brunswick Corp. 29,200 1,182,600
Burlington Northern Santa Fe Corp. 116,100 3,824,334
Burlington Resources, Inc. 61,700 4,130,198
*# Calpine Corp. 128,900 488,531
# Campbell Soup Co. 128,200 3,270,382
# Capital One Financial Corp. 72,000 5,044,320
Cardinal Health, Inc. 135,700 9,188,247
* Caremark Rx, Inc. 142,200 4,436,640
# Carnival Corp. 196,500 8,372,865
# Caterpillar, Inc. 108,300 8,160,405
# Cendant Corp. 314,300 7,210,042
CenterPoint Energy, Inc. 95,500 1,035,220
Centex Corp. 39,000 1,891,110
CenturyTel, Inc. 45,000 1,345,050
Charter One Financial, Inc. 69,400 3,050,824
# ChevronTexaco Corp. 333,600 30,157,440
*# Chiron Corp. 58,500 2,617,875
Chubb Corp. 58,600 3,947,882
*# CIENA Corp. 179,900 647,640
# CIGNA Corp. 44,000 2,983,200
Cincinnati Financial Corp. 52,605 2,248,864
Cinergy Corp. 55,500 2,081,805
</Table>
17
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Cintas Corp. 53,400 $ 2,423,292
Circuit City Stores, Inc. 65,600 785,232
* Cisco Sytems, Inc. 2,143,400 47,476,310
# Citigroup, Inc. 1,606,500 74,589,795
* Citizens Communications Co. 88,700 1,126,490
* Citrix Systems, Inc. 51,200 1,077,760
# Clear Channel Communications, Inc. 192,000 7,622,400
Clorox Co. 65,500 3,429,580
*# CMS Energy Corp. 50,200 432,724
Coca-Cola Co. 762,600 39,159,510
Coca-Cola Enterprises, Inc. 143,100 3,942,405
Colgate-Palmolive Co. 166,100 9,500,920
* Comcast Corp. Class A 702,100 20,325,795
Comerica, Inc. 54,700 3,096,567
Computer Associates International, Inc. 181,500 4,911,390
* Computer Sciences Corp. 58,500 2,550,015
* Compuware Corp. 119,900 953,205
* Comverse Technology, Inc. 60,100 1,061,967
Conagra, Inc. 167,500 4,710,100
ConocoPhilips 213,500 15,655,955
Consolidated Edison, Inc. 75,000 2,944,500
Constellation Energy Group 52,200 1,996,128
* Convergys Corp. 44,700 656,196
Cooper Industries, Ltd. 28,700 1,633,030
Cooper Tire & Rubber Co. 23,000 485,070
# Coors (Adolph) Co. Class B 11,400 734,730
*# Corning, Inc. 420,500 5,209,995
# Costco Wholesale Corp. 142,900 5,398,762
Countrywide Financial Corp. 86,100 5,553,450
# Crane Co. 18,500 558,515
# CSX Corp. 66,700 2,107,720
# Cummins, Inc. 13,300 774,592
CVS Corp. 123,600 5,151,648
# Dana Corp. 46,400 865,360
# Danaher Corp. 96,000 4,514,880
Darden Restaurants, Inc. 51,400 1,156,500
Deere & Co. 75,900 4,986,630
* Dell, Inc. 798,600 28,094,748
Delphi Automotive Systems Corp. 174,700 1,780,193
*# Delta Air Lines, Inc. 38,500 234,850
Deluxe Corp. 15,800 676,556
Devon Energy Corp. 72,600 4,309,536
Dillards, Inc. Class A 26,000 520,260
Disney (Walt) Co. 638,600 14,987,942
# Dollar General Corp. 105,100 2,038,940
Dominion Resources, Inc. 101,200 6,372,564
Donnelley (R.R.) & Sons Co. 68,200 2,063,732
Dover Corp. 63,400 2,470,064
Dow Chemical Co. 290,700 11,598,930
# Dow Jones & Co., Inc. 25,500 1,222,215
DTE Energy Co. 52,700 2,119,067
Duke Energy Corp. 283,100 5,645,014
DuPont (E.I.) de Nemours & Co., Inc. 311,200 13,443,840
*# Dynegy, Inc. 117,500 515,825
* E Trade Group, Inc. 116,600 1,330,406
# Eastman Chemical Co. 24,100 1,116,794
Eastman Kodak Co. 89,400 2,340,492
Eaton Corp. 47,900 2,794,965
* eBay, Inc. 201,500 17,893,200
Ecolab, Inc. 80,200 2,446,902
Edison International 101,600 $ 2,452,624
El Paso Corp. 200,100 1,442,721
*# Electronic Arts, Inc. 93,300 4,742,439
# Electronic Data Systems Corp. 149,900 2,450,865
* EMC Corp. 754,400 8,479,456
# Emerson Electric Co. 131,500 7,850,550
Engelhard Corp. 39,100 1,183,557
Entergy Corp. 71,400 3,899,154
# EOG Resources, Inc. 35,800 1,912,794
# Equifax, Inc. 43,400 1,063,734
Equity Office Properties Trust 124,700 3,360,665
Equity Residential Corp. 86,900 2,558,336
Exelon Corp. 205,400 6,839,820
* Express Scripts, Inc. Class A 24,200 1,893,892
# Exxon Mobil Corp. 2,044,900 88,441,925
# Family Dollar Stores, Inc. 53,700 1,684,032
Federal Home Loan Mortgage Corporation 214,700 12,536,333
Federal National Mortgage Association 303,000 20,513,100
Federated Department Stores, Inc. 56,400 2,690,844
Federated Investors, Inc. 33,900 1,009,542
FedEx Corp. 93,100 6,850,298
Fifth Third Bancorp 176,200 9,565,898
# First Data Corp. 277,800 12,025,962
# First Horizon National Corp. 39,200 1,825,544
# FirstEnergy Corp. 102,800 4,009,200
* Fiserv, Inc. 60,700 2,295,674
# Fluor Corp. 25,600 1,034,752
# Ford Motor Co. 571,200 8,482,320
* Forest Laboratories, Inc. 114,700 7,270,833
Fortune Brands, Inc. 45,400 3,418,620
FPL Group, Inc. 57,500 3,665,625
Franklin Resources, Inc. 77,800 3,911,784
# Freeport McMoran Copper & Gold, Inc. Class B 61,100 2,054,793
Gannett Co., Inc. 84,500 7,419,100
Gap, Inc. 279,400 6,747,510
* Gateway, Inc. 117,100 474,255
# General Dynamics Corp. 61,800 5,909,934
General Electric Co. 3,181,800 99,017,616
# General Mills, Inc. 117,000 5,387,850
# General Motors Corp. 175,300 7,956,867
# Genuine Parts Co. 54,300 2,043,852
* Genzyme Corp. 69,900 3,046,242
Georgia-Pacific Corp. 79,100 2,833,362
Gillette Co. 314,100 13,534,569
Golden West Financial Corp. 47,400 5,155,698
Goodrich (B.F.) Co. 36,600 1,025,898
*# Goodyear Tire & Rubber Co. 54,700 475,890
Grainger (W.W.), Inc. 28,500 1,551,825
Great Lakes Chemical Corp. 15,800 391,524
Guidant Corp. 97,200 5,281,848
Halliburton Co. 136,600 3,966,864
Harley-Davidson, Inc. 94,500 5,432,805
Harrahs Entertainment, Inc. 34,700 1,783,580
Hartford Financial Services Group, Inc. 91,000 6,016,920
Hasbro, Inc. 54,500 1,071,470
# HCA, Inc. 154,600 6,003,118
Health Management Associates, Inc. 75,800 1,666,842
</Table>
18
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Heinz (H.J.) Co. 109,800 $ 4,099,932
* Hercules, Inc. 34,600 366,068
Hershey Foods Corp. 40,500 3,593,565
# Hewlett-Packard Co. 951,500 20,209,860
Hilton Hotels Corp. 118,300 2,052,505
# Home Depot, Inc. 709,600 25,488,832
Honeywell International, Inc. 267,900 9,028,230
* Hospira, Inc. 48,770 1,250,463
* Humana, Inc. 50,500 862,035
# Huntington Bancshares, Inc. 71,500 1,620,905
# Illinois Tool Works, Inc. 96,100 8,637,468
IMS Health, Inc. 74,700 1,858,536
Ingersoll-Rand Co., Ltd. Class A 54,700 3,571,910
Intel Corp. 2,022,000 57,728,100
International Business Machines Corp. 529,900 46,943,841
International Flavors & Fragrances, Inc. 29,200 1,050,616
International Game Technology 108,100 4,248,330
International Paper Co. 149,900 6,285,307
*# Interpublic Group of Companies, Inc. 129,400 1,860,772
* Intuit, Inc. 61,900 2,425,242
ITT Industries, Inc. 28,800 2,319,840
* Jabil Circuit, Inc. 62,400 1,766,544
Janus Capital Group, Inc. 75,000 1,227,750
* JDS Uniphase Corp. 447,900 1,545,255
Jefferson-Pilot Corp. 44,000 2,258,520
# Johnson & Johnson 925,600 51,565,176
Johnson Controls, Inc. 58,800 3,170,496
Jones Apparel Group, Inc. 39,400 1,515,718
JP Morgan Chase & Co. 642,100 23,654,964
KB Home Corp. 14,600 961,848
# Kellogg Co. 128,600 5,452,640
# Kerr-McGee Corp. 31,400 1,546,450
KeyCorp 130,800 4,108,428
# KeySpan Corp. 49,600 1,755,840
Kimberly Clark Corp. 156,400 10,306,760
Kinder Morgan, Inc. 38,400 2,304,000
* King Pharmaceuticals, Inc. 75,200 1,004,672
* KLA-Tencor Corp. 61,200 2,948,616
Knight Ridder, Inc. 24,900 1,891,902
* Kohls Corp. 106,100 5,046,116
*# Kroger Co. 232,300 3,877,087
# Leggett and Platt, Inc. 59,800 1,511,744
# Lehman Brothers Holdings, Inc. 86,500 6,543,725
* Lexmark International Group, Inc. 40,100 3,782,232
Lilly (Eli) & Co. 350,500 25,821,335
# Limited Brands, Inc. 145,200 2,802,360
Lincoln National Corp. 55,500 2,635,695
Linear Technology Corp. 97,400 3,862,884
Liz Claiborne, Inc. 34,000 1,166,200
Lockheed Martin Corp. 140,700 6,970,278
Loews Corp. 57,900 3,336,777
# Louisiana-Pacific Corp. 33,000 762,300
# Lowe's Companies, Inc. 245,300 13,140,721
* LSI Logic Corp. 118,200 969,240
*# Lucent Technologies, Inc. 1,329,100 4,744,887
M & T Bank Corp. 38,000 3,441,660
Manor Care, Inc. 27,900 874,107
Marathon Oil Corp. 106,200 3,540,708
# Marriott International, Inc. Class A 71,800 3,541,894
Marsh & McLennan Co., Inc. 165,300 $ 7,293,036
Marshall & Isley Corp. 70,600 2,905,190
Masco Corp. 141,100 4,084,845
# Mattel, Inc. 134,100 2,344,068
# Maxim Integrated Products, Inc. 102,300 5,199,909
# May Department Stores Co. 90,000 2,579,400
Maytag Corp. 24,500 638,960
MBIA, Inc. 45,000 2,492,550
MBNA Corp. 398,500 10,121,900
# McCormick & Co., Inc. 42,800 1,517,260
McDonalds Corp. 393,500 10,388,400
# McGraw-Hill Companies, Inc. 59,600 4,644,032
McKesson Corp. 90,800 3,123,520
# MeadWestavco Corp. 62,700 1,731,774
* Medco Health Solutions, Inc. 84,300 2,953,029
* Medimmune, Inc. 77,200 1,858,204
# Medtronic, Inc. 378,100 18,110,990
Mellon Financial Corp. 134,200 3,950,848
Merck & Co., Inc. 693,800 32,816,740
* Mercury Interactive Corp. 28,100 1,347,114
Meredith Corp. 15,700 823,622
Merrill Lynch & Co., Inc. 302,800 17,199,040
MetLife, Inc. 237,100 8,428,905
MGIC Investment Corp. 30,700 2,241,100
* Micron Technology, Inc. 190,000 2,855,700
# Microsoft Corp. 3,366,600 88,709,910
* Millipore Corp. 15,200 835,848
Molex, Inc. 59,400 1,743,984
Monsanto Co. 82,900 2,860,050
* Monster Worldwide, Inc. 35,300 893,443
# Moody's Corp. 46,400 3,034,096
Morgan Stanley Dean Witter & Co. 342,200 18,311,122
# Motorola, Inc. 730,100 14,434,077
Mylan Laboratories, Inc. 85,400 1,905,274
* Nabors Industries, Ltd. 45,700 1,891,980
National City Corp. 189,000 6,707,610
* National Semiconductor Corp. 111,000 2,405,370
*# Navistar International Corp. 21,500 815,925
* NCR Corp. 29,500 1,423,080
*# Network Appliance Corp. 107,600 2,130,480
New York Times Class A 46,700 2,177,621
# Newell Rubbermaid, Inc. 85,600 2,017,592
Newmont Mining Corp. 134,800 5,352,908
* Nextel Communications Corp. Class A 342,900 7,931,277
# Nicor, Inc. 13,700 455,936
Nike, Inc. Class B 82,100 5,841,415
# NiSource, Inc. 81,900 1,659,294
* Noble Corp. 41,900 1,443,874
# Nordstrom, Inc. 42,900 1,739,595
Norfolk Southern Corp. 121,900 2,953,637
# North Fork Bancorporation, Inc. 53,200 2,048,200
Northern Trust Corp. 68,800 2,954,960
Northrop Grumman Corp. 58,200 6,002,166
* Novell, Inc. 117,500 1,070,425
* Novellus Systems, Inc. 47,800 1,591,262
Nucor Corp. 24,400 1,606,740
*# Nvidia Corp. 50,500 1,190,790
Occidental Petroleum Corp. 121,100 5,352,620
* Office Depot, Inc. 96,900 1,583,346
Omnicom Group, Inc. 59,300 4,736,291
</Table>
19
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Oracle Systems Corp. 1,630,400 $ 18,456,128
Paccar, Inc. 54,600 3,046,680
* Pactiv Corp. 49,100 1,157,778
Pall Corp. 39,200 947,856
* Parametric Technology Corp. 83,200 403,520
Parker-Hannifin Corp. 37,000 2,055,720
Paychex, Inc. 117,700 4,414,927
# Penney (J.C.) Co., Inc. 85,100 3,044,878
# Peoples Energy Corp. 11,700 484,614
* Peoplesoft, Inc. 113,400 2,027,592
# Pepsi Bottling Group, Inc. 81,000 2,349,000
Pepsico, Inc. 533,400 28,467,558
PerkinElmer, Inc. 39,600 772,596
Pfizer, Inc. 2,378,100 84,042,054
*# PG&E Corp. (Holding Co.) 130,700 3,724,950
* Phelps Dodge Corp. 28,900 1,962,310
Pinnacle West Capital Corp. 28,500 1,148,265
# Pitney Bowes, Inc. 72,900 3,231,657
# Plum Creek Timber Co., Inc. 57,100 1,788,372
* PMC Sierra, Inc. 53,900 759,990
PNC Financial Services Group 86,500 4,775,665
* Power-One, Inc. 26,000 262,080
PPG Industries, Inc. 53,400 3,193,320
PPL Corp. 55,300 2,386,195
Praxair, Inc. 101,400 3,750,786
Principal Financial Group, Inc. 100,000 3,495,000
Procter & Gamble Co. 403,000 43,451,460
# Progress Energy, Inc. 76,400 3,255,404
Progressive Corp. 67,700 5,806,629
ProLogis 56,500 1,811,390
* Providian Financial Corp. 90,500 1,230,800
# Prudential Financial, Inc. 168,600 7,468,980
Public Service Enterprise Group, Inc. 73,700 3,107,192
Pulte Homes Inc. 39,100 2,062,525
*# Q Logic Corp. 29,600 908,720
Qualcomm, Inc. 251,200 16,847,984
Quest Diagnostics, Inc. 32,300 2,782,645
*# Qwest Communications International, Inc. 550,800 2,065,500
Radioshack Corp. 51,200 1,555,968
Raytheon Co. 138,400 4,601,800
Reebok International, Ltd. 18,400 667,000
Regions Financial Corp. 69,200 2,630,984
# RJ Reynolds Tobacco Holdings, Inc. 26,300 1,478,060
Robert Half International, Inc. 53,400 1,494,132
Rockwell Collins, Inc. 55,600 1,670,224
Rockwell International Corp. 58,400 1,977,424
Rohm & Haas Co. 69,400 2,674,676
*# Rowan Companies, Inc. 32,500 714,350
Ryder System, Inc. 20,300 754,145
Sabre Holdings Corp. 43,700 1,114,350
# Safeco Corp. 43,200 1,812,240
*# Safeway, Inc. 137,900 3,111,024
* Saint Jude Medical, Inc. 53,800 4,102,788
Saint Paul Companies, Inc. 211,227 8,381,487
* Sanmina Corp. 161,800 1,711,844
# Sara Lee Corp. 246,700 5,649,430
SBC Communications, Inc. 1,031,700 24,451,290
Schering-Plough Corp. 458,900 7,755,410
Schlumberger, Ltd. 183,600 10,496,412
# Schwab (Charles) Corp. 423,100 4,146,380
# Scientific-Atlanta, Inc. 47,600 $ 1,638,392
* Sealed Air Corp. 26,500 1,332,155
# Sears, Roebuck & Co. 69,300 2,633,400
Sempra Energy 70,900 2,365,933
# Sherwin-Williams Co. 45,400 1,784,220
* Siebel Systems, Inc. 154,700 1,670,760
Sigma-Aldrich Corp. 21,600 1,233,576
Simon Property Group, Inc. 63,600 3,279,852
SLM Corp. 140,700 5,393,031
Snap-On, Inc. 18,200 612,066
* Solectron Corp. 299,900 1,649,450
# Southern Co. 228,400 6,605,328
SouthTrust Corp. 103,000 3,488,610
Southwest Airlines Co. 246,300 3,820,113
# Sprint Corp. 443,300 7,873,008
# Stanley Works 25,300 1,101,815
Staples, Inc. 155,800 4,296,964
* Starbucks Corp. 123,500 5,019,040
Starwood Hotels and Resorts Worldwide, Inc. 63,700 2,686,866
State Street Corp. 104,600 5,064,732
Stryker Corp. 124,400 6,325,740
* Sun Microsystems, Inc. 1,025,300 4,337,019
* Sungard Data Systems, Inc. 89,600 2,482,816
Sunoco, Inc. 24,100 1,482,873
# Suntrust Banks, Inc. 88,100 5,733,548
Supervalu, Inc. 41,900 1,299,738
* Symantec Corp. 97,100 4,447,180
Symbol Technologies, Inc. 72,100 1,062,033
Synovus Financial Corp. 94,100 2,423,075
Sysco Corp. 201,100 7,541,250
T. Rowe Price Group, Inc. 39,300 1,892,688
Target Corp. 284,200 12,703,740
# Teco Energy, Inc. 58,600 712,576
Tektronix, Inc. 26,400 833,184
* Tellabs, Inc. 129,600 1,029,024
Temple-Inland, Inc. 17,000 1,110,440
* Tenet Healthcare Corp. 145,000 1,728,400
* Teradyne, Inc. 59,600 1,328,484
Texas Instruments, Inc. 540,300 14,107,233
# Textron, Inc. 43,000 2,349,950
The Goldman Sachs Group, Inc. 150,800 14,161,628
* Thermo-Electron Corp. 51,600 1,588,248
# Thomas & Betts Corp. 18,200 445,172
Tiffany & Co. 45,700 1,616,409
* Time Warner, Inc. 1,420,300 24,201,912
TJX Companies, Inc. 157,000 3,910,870
Torchmark Corp. 35,300 1,912,907
* Toys R Us, Inc. 66,600 1,046,952
* Transocean, Inc. 99,800 2,667,654
Tribune Co. 103,100 4,978,699
TXU Corp. 101,000 3,774,370
# Tyco International, Ltd. 623,700 19,203,723
U.S. Bancorp 598,800 16,826,280
Union Pacific Corp. 80,700 4,706,424
Union Planters Corp. 58,800 1,770,468
* Unisys Corp. 103,400 1,402,104
United Parcel Service, Inc. 352,200 25,259,784
# United States Steel Corp. 35,300 1,071,708
United Technologies Corp. 161,100 13,630,671
# Unitedhealth Group, Inc. 195,200 12,736,800
</Table>
20
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Univision Communications, Inc. Class A 100,600 $ 3,274,530
Unocal Corp. 80,800 2,878,904
# UnumProvident Corp. 92,400 1,345,344
# UST, Inc. 51,700 1,931,512
# Valero Energy Corp. 40,500 2,677,455
*# Veritas Software Co. 133,500 3,551,100
Verizon Communications, Inc. 861,400 29,787,212
# VF Corp. 33,700 1,583,226
Viacom, Inc. Class B 545,600 20,127,184
Visteon Corp. 40,700 446,072
# Vulcan Materials Co. 31,700 1,418,892
Wachovia Corp. 410,000 19,356,100
Walgreen Co. 319,700 11,192,697
Wal-Mart Stores, Inc. 1,349,800 75,224,354
Washington Mutual, Inc. 280,500 12,252,240
# Waste Management, Inc. 179,900 5,173,924
* Waters Corp. 37,900 1,746,432
* Watson Pharmaceuticals, Inc. 33,700 1,258,695
* Wellpoint Health Networks, Inc. 48,400 5,398,536
# Wells Fargo & Co. 527,700 31,028,760
Wendy's International, Inc. 35,600 1,345,324
Weyerhaeuser Co. 73,200 4,427,136
# Whirlpool Corp. 21,700 1,443,701
Williams Companies, Inc. 161,600 1,924,656
# Winn-Dixie Stores, Inc. 44,200 279,786
Worthington Industries, Inc. 26,900 514,866
# Wrigley (Wm.) Jr. Co. 70,100 4,402,280
Wyeth 415,400 14,954,400
XCEL Energy, Inc. 124,400 2,113,556
*# Xerox Corp. 248,800 3,368,752
# Xilinx, Inc. 107,600 3,925,248
# XL Capital, Ltd. 42,800 3,195,020
*# Yahoo!, Inc. 415,000 12,723,900
* Yum! Brands, Inc. 91,800 3,442,500
* Zimmer Holdings, Inc. 75,400 6,435,390
Zions Bancorp 28,000 1,716,400
---------------
TOTAL COMMON STOCKS
(Cost $2,587,575,053) 3,253,108,973
---------------
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (12.5%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $65,199,000
FHLB Floating Rate Notes,
10/03/05, valued at $65,117,501) to
be repurchased at $64,161,344
(Cost $64,155,000) $ 64,155 $ 64,155,000
Repurchase Agreement, Merrill Lynch
Triparty Repo 0.96%, 06/01/04 (Collateralized by
$392,750,000 U.S. Treasury Obligations rates ranging
from 1.875% to 6.75%, maturities ranging from 05/15/05
to 11/30/05, valued at $410,731,038) to be repurchased
at $402,719,403 (Cost $402,676,451)^ 402,676 402,676,451
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $466,831,451) 466,831,451
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,054,406,505)++ $ 3,719,940,424
===============
</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 $3,216,721,011.
See accompanying Notes to Financial Statements.
21
<Page>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
COMMON STOCKS -- (85.3%)
* 3COM Corp. 606,100 $ 3,921,467
A. G. Edwards, Inc. 17,500 654,500
*# Advanced Micro Devices, Inc. 504,800 7,849,640
Aetna, Inc. 539,626 43,817,631
* Agere Systems, Inc. Class A 8,652 21,976
* Agere Systems, Inc. Class B 212,364 520,292
# Albertson's, Inc. 538,100 12,607,683
* Allegheny Corp. 17,934 4,779,411
Alliant Energy Corp. 212,900 5,318,242
* Allied Waste Industries, Inc. 255,800 3,391,908
* Allmerica Financial Corp. 98,000 3,150,700
Allstate Corp. 1,618,800 71,194,824
Ambac Financial Group, Inc. 23,200 1,604,280
Amerada Hess Corp. 196,432 13,866,135
American Financial Group, Inc. 177,400 5,359,254
American National Insurance Co. 46,700 4,380,927
*# American Tower Corp. 336,000 4,646,880
*# Americredit Corp. 374,000 6,619,800
Anadarko Petroleum Corp. 627,078 34,188,293
Apache Corp. 129,990 5,246,396
* Apple Computer, Inc. 197,300 5,536,238
* Applied Micro Circuits Corp. 213,200 1,149,148
Archer-Daniels Midland Co. 2,475,260 41,163,574
* Arrow Electronics, Inc. 308,200 8,392,286
Ashland, Inc. 297,600 14,031,840
Astoria Financial Corp. 40,500 1,549,935
AT&T Corp. 1,937,780 32,128,392
* AT&T Wireless Services, Inc. 5,388,737 76,304,516
*# AutoNation, Inc. 2,057,600 34,300,192
* Avnet, Inc. 199,900 4,677,660
AVX Corp. 125,400 1,986,336
Bank of America Corp. 82,170 6,830,792
Bank of Hawaii Corp. 327,500 14,229,875
* Barnes & Noble, Inc. 13,000 389,220
Bausch & Lomb, Inc. 11,800 720,036
Bear Stearns Companies, Inc. 373,770 30,297,796
Belo Corp. Class A 324,200 9,537,964
* Big Lots, Inc. 253,500 3,706,170
# Blockbuster, Inc. Class A 23,300 364,878
Boise Cascade Corp. 213,400 7,501,010
Borders Group, Inc. 34,000 776,220
Borg-Warner, Inc. 201,600 8,354,304
Bowater, Inc. 168,400 7,111,532
Burlington Northern Santa Fe Corp. 1,283,000 42,262,020
* Caesars Entertainment, Inc. 845,900 11,648,043
* Cavco Industries, Inc. 11,450 434,402
# Cendant Corp. 311,800 7,152,692
*# CheckFree Corp. 56,200 1,723,092
Chubb Corp. 258,900 17,442,093
*# CIENA Corp. 164,600 592,560
Cincinnati Financial Corp. 579,159 24,759,047
Circuit City Stores, Inc. 531,900 6,366,843
Clear Channel Communications, Inc. 1,428,466 56,710,100
*# CNA Financial Corp. 635,600 19,080,712
Coca-Cola Enterprises, Inc. 1,785,400 49,187,770
* Comcast Corp. Class A 2,432,666 $ 70,425,681
* Comcast Corp. Special Class A Non-Voting 927,100 26,283,285
Commerce Group, Inc. 93,100 4,219,292
Commercial Federal Corp. 98,900 2,771,178
* Compuware Corp. 35,800 284,610
* Comverse Technology, Inc. 111,500 1,970,205
ConocoPhilips 220,400 16,161,932
*# Corning, Inc. 998,300 12,368,937
Countrywide Financial Corp. 819,999 52,889,935
*# Cox Communications, Inc. 1,421,400 44,646,174
*# Crown Castle International Corp. 468,900 6,906,897
# CSX Corp. 577,800 18,258,480
# Cummins, Inc. 143,100 8,334,144
Curtiss-Wright Corp-Cl B W/I 27,130 1,214,067
# Dana Corp. 510,700 9,524,555
*# Delta Air Lines, Inc. 402,500 2,455,250
# Diamond Offshore Drilling, Inc. 298,241 6,737,264
Dillards, Inc. Class A 48,900 978,489
Disney (Walt) Co. 906,600 21,277,902
# Eastman Chemical Co. 108,200 5,013,988
Electronic Data Systems Corp. 746,200 12,200,370
Federated Department Stores, Inc. 618,200 29,494,322
First American Financial Corp. 156,500 4,062,740
First Citizens Bancshares, Inc. 10,300 1,194,800
Florida East Coast Industries, Inc. 68,139 2,465,269
Foot Locker, Inc. 175,000 4,130,000
# Ford Motor Co. 4,185,900 62,160,615
# General Motors Corp. 1,395,700 63,350,823
Georgia-Pacific Corp. 684,200 24,508,044
*# Goodyear Tire & Rubber Co. 203,900 1,773,930
Harris Corp. 151,400 7,000,736
Hartford Financial Services Group, Inc. 487,000 32,200,440
Hearst-Argyle Television, Inc. 238,600 6,239,390
Helmerich & Payne, Inc. 146,800 3,662,660
Hibernia Corp. 274,500 6,588,000
Hollinger International, Inc. Class A 257,600 4,533,760
Horton (D.R.), Inc. 818,872 23,665,401
* Human Genome Sciences, Inc. 23,900 259,793
* Humana, Inc. 618,900 10,564,623
Ikon Office Solutions, Inc. 123,700 1,363,174
Independence Community Bank Corp. 12,500 469,000
* Ingram Micro, Inc. 336,900 4,868,205
* Instinet Group, Inc. 15,200 100,168
*# InterActiveCorp 1,496,500 46,780,590
International Paper Co. 1,215,775 50,977,446
*# Invitrogen Corp. 50,100 3,479,445
* JDS Uniphase Corp. 1,095,700 3,780,165
JP Morgan Chase & Co. 2,244,400 82,683,696
# Kerr-McGee Corp. 207,658 10,227,156
KeyCorp 941,600 29,575,656
# Labranche & Co., Inc. 19,700 176,512
LaFarge North America, Inc. 257,500 11,345,450
Lear Corp. 110,900 6,568,607
*# Level 3 Communications, Inc. 195,500 762,450
</Table>
22
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Liberty Media Corp. 6,276,100 $ 68,911,578
Lincoln National Corp. 418,500 19,874,565
Loews Corp. 636,800 36,698,784
# Louisiana-Pacific Corp. 94,500 2,182,950
* LSI Logic Corp. 647,300 5,307,860
Lubrizol Corp. 182,000 6,026,020
*# Lucent Technologies, Inc. 1,193,800 4,261,866
Lyondell Chemical Co. 447,200 7,387,744
Manulife Financial Corp. 425,285 16,509,564
Marathon Oil Corp. 961,450 32,054,743
# May Department Stores Co. 63,100 1,808,446
MBIA, Inc. 327,250 18,126,378
# MeadWestavco Corp. 758,431 20,947,864
MetLife, Inc. 1,830,500 65,074,275
*# Metro-Goldwyn-Mayer, Inc. 261,100 3,104,479
MGIC Investment Corp. 116,900 8,533,700
* MGM Grand, Inc. 390,100 17,324,341
* Micron Technology, Inc. 767,000 11,528,010
*# Mony Group, Inc. 51,200 1,599,488
Nationwide Financial Services, Inc. 94,300 3,446,665
Norfolk Southern Corp. 1,537,600 37,256,048
Northrop Grumman Corp. 427,771 44,116,023
Nucor Corp. 15,000 987,750
Occidental Petroleum Corp. 650,800 28,765,360
# Odyssey Re Holdings Corp. 50,500 1,275,125
Old Republic International Corp. 501,412 11,412,137
* Owens-Illinois, Inc. 314,400 4,662,552
* Pacificare Health Systems, Inc. 50,000 1,846,500
* Pactiv Corp. 55,100 1,299,258
*# PanAmSat Corp. 350,100 8,132,823
# Peabody Energy Corp. 54,600 2,715,804
# Penney (J.C.) Co., Inc. 1,120,000 40,073,600
PepsiAmericas, Inc. 192,000 4,078,080
* Phelps Dodge Corp. 287,085 19,493,072
# PMI Group, Inc. 191,100 8,249,787
Pogo Producing Co. 69,200 3,147,216
*# Pride International, Inc. 303,400 4,769,448
Principal Financial Group, Inc. 746,100 26,076,195
Protective Life Corp. 141,500 5,232,670
* Providian Financial Corp. 483,100 6,570,160
Pulte Homes Inc. 248,400 13,103,100
# Questar Corp. 251,000 9,199,150
*# Qwest Communications International, Inc. 2,000,600 7,502,250
Radian Group, Inc. 211,300 9,719,800
* Radio One, Inc. 22,900 395,712
Rayonier, Inc. 500 21,000
Raytheon Co. 1,311,300 43,600,725
Reinsurance Group of America, Inc. 114,100 4,535,475
* Rite Aid Corp. 969,800 4,868,396
# RJ Reynolds Tobacco Holdings, Inc. 251,326 14,124,521
Ryder System, Inc. 275,400 10,231,110
# Safeco Corp. 486,400 20,404,480
Saint Paul Companies, Inc. 695,326 27,590,536
Saks, Inc. 743,200 11,155,432
* Sanmina Corp. 639,900 6,770,142
SBC Communications, Inc. 430,200 10,195,740
# Sears, Roebuck & Co. 493,500 18,753,000
* Service Corp. International 237,100 1,707,120
* Smithfield Foods, Inc. 68,400 1,982,916
*# Smurfit-Stone Container Corp. 617,026 11,205,192
* Solectron Corp. 1,155,300 $ 6,354,150
# Sovereign Bancorp, Inc. 781,020 16,987,185
# Sprint Corp. 2,161,500 38,388,240
StanCorp Financial Group, Inc. 20,000 1,281,800
Starwood Hotels and Resorts Worldwide, Inc. 573,500 24,190,230
Steelcase, Inc. Class A 47,400 559,320
* Sun Microsystems, Inc. 2,143,700 9,067,851
Sunoco, Inc. 298,800 18,385,164
Supervalu, Inc. 565,200 17,532,504
*# Tech Data Corp. 119,000 4,776,660
# Telephone & Data Systems, Inc. 89,300 6,398,345
* Tellabs, Inc. 716,800 5,691,392
Temple-Inland, Inc. 131,300 8,576,516
* Tenet Healthcare Corp. 1,047,300 12,483,816
# Textron, Inc. 123,000 6,721,950
* The DIRECTV Group, Inc. 680,337 11,980,735
# Thomas & Betts Corp. 46,900 1,147,174
Tidewater, Inc. 100,900 2,788,876
* Time Warner, Inc. 7,039,080 119,945,923
Torchmark Corp. 127,200 6,892,968
* Toys R Us, Inc. 819,300 12,879,396
* Triad Hospitals, Inc. 147,000 5,197,920
# Tyson Foods, Inc. Class A 912,556 18,725,649
Union Pacific Corp. 824,200 48,067,344
Unionbancal Corp. 86,600 4,987,294
* Unisys Corp. 113,200 1,534,992
* United States Cellular Corp. 122,800 4,372,908
# United States Steel Corp. 326,200 9,903,432
Unitrin, Inc. 223,800 8,974,380
# UnumProvident Corp. 913,089 13,294,576
# Valero Energy Corp. 306,800 20,282,548
Valhi, Inc. 158,500 1,759,350
* VeriSign, Inc. 166,300 3,016,682
Viacom, Inc. Class B 3,061,100 112,923,979
*# Vishay Intertechnology, Inc. 315,716 5,957,561
* Vitesse Semiconductor, Inc. 2,800 15,288
* WebMD Corp. 25,800 228,588
Weis Markets, Inc. 20,800 710,320
Wesco Financial Corp. 13,540 5,103,903
* Westport Resources Corp. 30,800 1,065,680
# Weyerhaeuser Co. 565,400 34,195,392
Worthington Industries, Inc. 133,200 2,549,448
*# Xerox Corp. 75,000 1,015,500
---------------
TOTAL COMMON STOCKS
(Cost $2,572,821,731) 3,122,322,882
---------------
<Caption>
FACE
AMOUNT
(000)
---------------
TEMPORARY CASH INVESTMENTS -- (14.7%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.89%,
06/01/04 (Collateralized by $67,332,000 FNMA Discount
Notes, 12/10/04, valued at $66,827,010) to be
repurchased at $65,845,511 (Cost $65,839,000) $ 65,839 65,839,000
</Table>
23
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
Repurchase Agreement, Merrill Lynch Triparty Repo 0.96%,
06/01/04 (Collateralized by $471,136,000 U.S. Treasury
Obligations rates ranging from 1.625% to 6.00%,
maturities ranging from 08/15/04 to 02/15/12, valued at
$483,699,189) to be repurchased at $474,263,981
(Cost $474,213,398)^ $ 474,213 $ 474,213,398
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $540,052,398) 540,052,398
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,112,874,129)++ $ 3,662,375,280
===============
</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 $3,112,874,157.
See accompanying Notes to Financial Statements.
24
<Page>
THE U.S. SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
COMMON STOCKS -- (92.0%)
* 1-800 CONTACTS, Inc. 23,636 $ 347,449
* 1-800-FLOWERS.COM, Inc. 47,097 451,660
1st Source Corp. 34,441 781,811
# 21st Century Holding Co. 1,100 21,461
21st Century Insurance Group 76,800 1,005,312
* 24/7 Real Media, Inc. 3,180 18,476
* 3-D Systems Corp. 22,000 265,958
* 4Kids Entertainment, Inc. 23,500 508,775
* 7-Eleven, Inc. 16,600 285,022
*# 8X8, Inc. 19,200 50,880
* 99 Cents Only Stores 5,500 106,755
* @Road, Inc. 94,700 841,883
* A. B. Watley Group, Inc. 9,400 1,880
* A.C. Moore Arts & Crafts, Inc. 34,900 924,850
* A.D.A.M., Inc. 700 1,470
*# aaiPharma, Inc. 47,250 217,822
* Aames Financial Corp. 240 706
* AAON, Inc. 13,100 250,996
* AAR Corp. 58,083 556,435
Aaron Rents, Inc. Class A 5,700 151,050
Aaron Rents, Inc. Class B 21,600 642,600
* Abaxis, Inc. 18,300 341,661
ABC Bancorp 8,310 163,458
* Abgenix, Inc. 150,134 2,270,026
*# Abiomed, Inc. 38,270 472,634
* Able Laboratories, Inc. 30,200 561,720
* Ablest, Inc. 2,100 11,130
ABM Industries, Inc. 87,600 1,666,152
Abrams Industries, Inc. 200 840
* ABX Air, Inc. 66,600 299,700
* Acacia Research-Acacia Technologies Common Stock 20,960 129,952
* Acacia Research-CombiMatrix Corp. 10,434 41,214
* Accelrys, Inc. 52,900 528,471
* Access Pharmaceuticals, Inc. 26,300 147,543
*# Acclaim Entertainment, Inc. 55,700 23,450
* Accredo Health, Inc. 44,343 1,613,198
* Ace Cash Express, Inc. 23,042 548,400
* Ace Comm Corp. 7,500 18,300
Aceto Corp. 28,550 458,798
* Aclara Biosciences, Inc. 60,171 228,650
* Acme Communications, Inc. 28,600 221,364
* Acme United Corp. 3,400 23,800
* ACT Manufacturing, Inc. 4,600 25
* ACT Teleconferencing, Inc. 25,700 66,075
* Actel Corp. 46,200 922,152
* Acterna Corp. 122,100 3,052
Action Performance Companies, Inc. 33,000 499,950
* ActivCard Corp. 74,043 473,135
* Active Power, Inc. 76,200 266,700
* Activision, Inc. 97,214 1,537,925
* Actuant Corp. 42,480 1,454,090
* Actuate Corp. 110,500 413,270
Acuity Brands, Inc. 27,700 683,082
Adams Resources & Energy, Inc. 4,200 58,380
* Adaptec, Inc. 187,800 $ 1,538,082
*# Addvantage Technologies Group, Inc. 1,700 9,222
* ADE Corp. 13,300 279,300
* Adept Technology, Inc. 7,000 6,650
* Administaff, Inc. 47,800 790,612
* Adolor Corp. 69,800 974,408
* Advanced Digital Information Corp. 115,500 1,033,725
* Advanced Energy Industries, Inc. 55,300 847,749
* Advanced Magnetics, Inc. 12,300 120,663
Advanced Marketing Services, Inc. 32,350 358,114
* Advanced Materials Group, Inc. 237 115
* Advanced Medical Optics, Inc. 52,400 1,839,240
* Advanced Neuromodulation Systems, Inc. 33,200 1,083,316
* Advanced Nutraceuticals, Inc. 700 3,150
*# Advanced Photonix, Inc. Class A 9,000 21,240
* Advanced Power Technology, Inc. 18,195 240,356
Advanta Corp. Class A 18,317 296,003
Advanta Corp. Class B Non-Voting 30,994 491,565
* Advent Software, Inc. 59,400 1,123,848
Advo, Inc. 53,850 1,724,277
* Aehr Test Systems 7,100 28,400
* AEP Industries, Inc. 13,000 138,437
* AeroCentury Corp. 300 771
* Aeroflex, Inc. 133,450 1,702,822
* Aeropostale, Inc. 102,250 2,688,152
* Aerosonic Corp. 3,900 27,300
* Aether Systems, Inc. 74,742 254,870
* Aetrium, Inc. 9,300 85,374
* AFC Enterprises, Inc. 39,800 805,950
*# Affiliated Managers Group, Inc. 39,150 1,908,562
* Affinity Technology Group, Inc. 29,100 2,386
* Aftermarket Technology Corp. 41,150 602,436
* Agile Software Corp. 89,900 719,200
*# Agility Capital, Inc. 5,900 38
Agilysys, Inc. 57,788 711,370
* Air Methods Corp. 19,470 154,592
Airgas, Inc. 62,500 1,361,250
* Airnet Systems, Inc. 17,400 74,472
* Airspan Networks, Inc. 62,500 346,875
* Airtran Holdings, Inc. 151,400 2,107,488
* AK Steel Holding Corp. 195,400 894,932
*# Akamai Technologies, Inc. 165,213 2,455,065
*# Akorn, Inc. 19,500 64,350
*# Aksys, Ltd. 53,000 322,240
Alabama National Bancorporation 27,689 1,421,553
Alamo Group, Inc. 12,500 195,625
* Alaris Medical, Inc. 114,300 2,540,889
* Alaska Air Group, Inc. 48,200 992,920
* Alaska Communications Systems Group, Inc. 22,200 143,190
Albany International Corp. Class A 50,272 1,532,793
* Albany Molecular Research, Inc. 56,978 720,202
Albemarle Corp. 74,581 2,146,441
* Alcide Corp. 2,300 47,288
* Alderwoods Group, Inc. 6,000 77,460
</Table>
25
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Aldila, Inc. 4,633 $ 70,468
Alexander & Baldwin, Inc. 58,000 1,848,460
* Alexion Pharmaceuticals, Inc. 39,500 791,975
Alfa Corp. 144,161 1,967,798
Alico, Inc. 7,000 247,100
* Align Technology, Inc. 106,612 2,032,025
* Alkermes, Inc. 157,411 2,266,718
* All American Semiconductor, Inc. 4,000 36,440
*# Allegheny Energy, Inc. 151,400 2,157,450
Allegheny Technologies, Inc. 145,700 1,749,857
Allen Organ Co. Class B 800 40,000
* Alliance Gaming Corp. 90,860 1,971,662
* Alliance Imaging, Inc. 86,400 331,776
* Alliance Semiconductor Corp. 62,500 373,125
* Allied Defense Group, Inc. 12,400 217,496
* Allied Healthcare International, Inc. 36,000 181,080
* Allied Healthcare Products, Inc. 6,700 36,381
* Allied Holdings, Inc. 8,300 42,330
* Allied Motion Technologies, Inc. 2,900 14,993
* Allmerica Financial Corp. 40,600 1,305,290
*# Allos Therapeutics, Inc. 55,700 103,045
* Allou Health Care, Inc. Class A 7,100 1
* Alloy, Inc. 71,200 356,712
* Allscripts Healthcare Solutions, Inc. 66,000 543,774
* Almost Family, Inc. 1,600 12,648
* Alpha Technologies Group, Inc. 7,100 9,940
Alpharma, Inc. Class A 70,700 1,384,306
* Alpine Group, Inc. 13,500 27,567
* Alteon, Inc. 61,700 80,210
*# Alterra Healthcare Corp. 4,900 0
* Altiris, Inc. 47,200 1,262,600
Ambassadors Group, Inc. 9,800 201,782
Ambassadors, Inc. 9,800 125,734
* AMC Entertainment, Inc. 60,600 915,060
* Amcast Industrial Corp. 8,500 34,425
Amcol International Corp. 52,700 880,090
Amcore Financial, Inc. 45,460 1,321,522
* Amedisys, Inc. 20,993 523,146
* AMEN Properties, Inc. 1,975 4,916
* Amerco, Inc. 13,900 347,639
* America Services Group, Inc. 12,700 457,200
* America West Holdings Corp. Class B 60,100 602,202
* American Banknote Corp. 88 25
American Biltrite, Inc. 3,400 33,150
* American Building Control, Inc. 14,000 26,180
*# American Business Financial Services, Inc. 5,074 16,644
* American Claims Evaluation, Inc. 1,000 2,890
* American Dental Partners, Inc. 10,500 179,025
* American Eagle Outfitters, Inc. 40,860 1,183,306
* American Ecology Corp. 14,350 125,562
* American Greetings Corp. Class A 89,600 1,881,600
*# American Healthways, Inc. 57,800 1,187,790
* American Indemnity Financial Escrow 800 800
* American Independence Corp. 8,400 130,872
American Italian Pasta Co. 30,600 895,356
* American Locker Group, Inc. 300 3,396
* American Medical Electronics, Inc. (Escrow-Bonus) 4,400 0
* American Medical Electronics, Inc. (Escrow-Earnings) 4,400 $ 0
* American Medical Security Group, Inc. 24,200 625,086
* American Medical Systems Holdings, Inc. 59,500 1,864,135
American Pacific Corp. 7,100 51,830
* American Physicians Capital, Inc. 14,800 341,140
* American Physicians Services Group, Inc. 100 980
* American Retirement Corp. 42,900 193,050
* American Science & Engineering, Inc. 12,400 214,024
American Shared Hospital Services 5,100 28,968
American Software, Inc. Class A 32,300 206,397
American States Water Co. 27,450 642,330
* American Superconductor Corp. 49,300 619,208
* American Technical Ceramics Corp. 8,000 70,800
American Vanguard Corp. 621 23,846
* American West Bancorporation 3,552 63,652
American Woodmark Corp. 13,700 788,298
Americana Bancorp, Inc. 2,712 44,070
* America's Car-Mart, Inc. 12,900 380,550
* AMERIGROUP Corp. 44,300 1,868,131
* AmeriServe Financial, Inc. 24,000 138,000
Ameristar Casinos, Inc. 48,500 1,592,740
Ameron International Corp. 13,700 426,207
# AmerUs Group Co. 46,844 1,843,311
* Ames Department Stores, Inc. 12,800 22
Ametek, Inc. 400 10,804
* Amistar Corp. 1,600 3,608
* AML Communications, Inc. 7,800 11,310
* AMN Healthcare Services, Inc. 58,700 892,240
Ampco-Pittsburgh Corp. 9,600 124,512
* Ampex Corp. Class A 5,925 10,369
Amrep Corp. 6,500 111,670
* Amsurg Corp. 54,333 1,230,654
* Amtech Systems, Inc. 1,900 9,652
* AMX Corp. 11,000 109,890
* Anacomp, Inc. 0 12
* Anadigics, Inc. 54,600 269,178
* Analex Corp. 25,800 92,880
Analogic Corp. 24,500 1,130,185
* Analysts International Corp. 41,200 123,188
*# Analytical Surveys, Inc. 730 1,825
* Anaren, Inc. 36,800 585,856
Anchor Bancorp Wisconsin, Inc. 41,240 1,087,499
Andersons, Inc. 8,200 141,532
*# Andrew Corp. 3,409 66,987
* Angeion Corp. 215 318
Angelica Corp. 16,100 359,030
* Angelo & Maxie's, Inc. 2,016 2,157
* Anika Therapeutics, Inc. 9,900 139,600
Anixter International, Inc. 65,900 2,009,950
* Ansoft Corp. 22,500 334,350
* AnswerThink, Inc. 84,800 543,653
* Ansys, Inc. 27,600 1,189,008
* Anteon International Corp. 63,500 1,870,710
* Anthony and Sylvan Pools Corp. 3,768 15,826
*# Antigenics, Inc. 81,113 654,582
* AP Pharma, Inc. 37,123 123,248
</Table>
26
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* APA Optics, Inc. 11,800 $ 29,500
* APAC Teleservices, Inc. 106,450 237,383
* Aphton Corp. 63,639 287,012
Apogee Enterprises, Inc. 49,500 493,020
* Apogee Technology, Inc. 1,300 11,479
* Applica, Inc. 42,800 420,296
* Applied Extrusion Technologies, Inc. 22,600 23,730
* Applied Films Corp. 26,361 713,065
* Applied Imaging Corp. 15,800 18,486
Applied Industrial Technologies, Inc. 34,000 909,500
* Applied Innovation, Inc. 15,100 60,400
Applied Signal Technologies, Inc. 19,700 615,625
* Applix, Inc. 23,900 105,160
* Apria Healthcare Group, Inc. 54,100 1,519,128
* Apropos Technology, Inc. 30,400 123,424
Aptargroup, Inc. 38,500 1,565,025
* aQuantive, Inc. 108,925 1,095,785
* Aquila, Inc. 331,800 1,330,518
*# Aradigm Corp. 92,337 100,647
* Arch Capital Group, Ltd. 5,900 227,622
Arch Chemicals, Inc. 40,622 1,077,702
Arch Coal, Inc. 73,400 2,385,500
* Arch Wireless, Inc. 35,100 1,112,319
Arctic Cat, Inc. 26,830 618,431
*# Ardent Communications, Inc. 12,900 32
* Arena Pharmaceuticals, Inc. 45,878 268,845
* Argonaut Group, Inc. 46,301 804,711
* Argonaut Technologies, Inc. 12,000 19,560
* Argosy Gaming Corp. 52,900 1,881,124
* Ariad Pharmaceuticals, Inc. 92,800 996,672
*# Ariba, Inc. 532,400 1,160,632
* Ark Restaurants Corp. 2,700 59,670
Arkansas Best Corp. 44,900 1,337,571
* Arlington Hospitality, Inc. 4,900 16,660
* Armor Holdings, Inc. 51,400 1,922,360
*# Armstrong Holdings, Inc. 4,400 3,872
*# Arotech Corp 57,100 145,034
* Arqule, Inc. 51,674 299,709
* Array BioPharma, Inc. 51,415 487,414
# Arrhythmia Research Technology, Inc. 3,900 49,608
* Arris Group, Inc. 147,400 931,568
Arrow Financial Corp. 9,941 292,265
Arrow International, Inc. 73,300 2,211,461
* Art Technology Group, Inc. 100,500 137,685
Artesian Resources Corp. Class A 700 19,096
* Artesyn Technologies, Inc. 69,300 633,402
* Arthrocare Corp. 38,310 937,829
* Artisan Components, Inc. 40,500 1,025,865
* Artisoft, Inc 2,400 6,264
* Arts Way Manufacturing Co., Inc. 200 1,036
* ASA International. Ltd. 640 2,880
ASB Financial Corp. 1,000 23,000
* Asbury Automotive Group, Inc. 98,100 1,402,830
* Ascential Software Corp. 66,079 1,060,568
* Ashworth, Inc. 23,371 186,734
*# Ask Jeeves, Inc. 78,400 3,167,360
* Aspect Communications Corp. 105,200 1,350,768
* Aspect Medical Systems, Inc. 35,000 532,700
* Aspen Technology, Inc. 73,579 464,283
* Aspeon, Inc. 900 9
*# Astea International, Inc. 2,900 30,189
* Astec Industries, Inc. 35,500 $ 614,505
Astro-Med, Inc. 9,130 96,778
* Astronics Corp. 5,500 27,830
* Astronics Corp. Class B 2,225 10,680
*# AstroPower, Inc. 6,550 262
* ASV, Inc. 22,800 690,156
* Asyst Technologies, Inc. 84,500 864,435
*# ATA Holdings Corp. 21,179 134,487
* Atari, Inc. 209,809 583,269
* AtheroGenics, Inc. 66,600 1,564,434
* Atlantic American Corp. 21,100 62,667
* Atlantic Coast Airlines, Inc. 68,000 383,520
* Atlantic Premium Brands, Ltd. 2,000 2,600
* Atlantis Plastics, Inc. 4,400 67,980
* Atlas Air Worldwide Holdings, Inc. 11,000 572
* ATMI, Inc. 55,900 1,432,158
# Atmos Energy Corp. 93,300 2,312,907
* ATP Oil & Gas Corp. 53,900 319,088
Atrion Corp. 1,700 73,508
* Atrix Labs, Inc. 38,900 1,061,581
* ATS Medical, Inc. 2,200 10,340
* Atwood Oceanics, Inc. 24,900 991,518
* Audiovox Corp. Class A 34,300 477,456
* August Technology Corp. 31,800 427,710
* Ault, Inc. 4,500 13,410
* Aura Systems, Inc. 5,295 199
* Aurora Foods, Inc. 44 0
*# Authentidate Holding Corp. 50,900 641,340
* autobytel.com, Inc. 73,800 771,210
* Avalon Holding Corp. Class A 1,550 4,115
* Avanex Corp. 229,116 710,260
* Avanir Pharmaceuticals Class A 58,000 80,620
* Avant Immunotherapeutics, Inc. 133,134 323,516
* Avatar Holdings, Inc. 8,700 364,008
Avatech Solutions, Inc 1,851 1,481
* Avi Biopharma, Inc. 61,400 138,764
* Aviall, Inc. 57,700 1,001,672
* Avici Systems Inc. 21,343 225,382
*# Avid Technology, Inc. 45,100 2,346,102
* Avigen, Inc. 37,800 133,812
Avista Corp. 87,000 1,475,520
* Avocent Corp. 52,600 1,802,602
* Avteam, Inc. Class A 11,400 17
* Aware, Inc. 40,959 133,117
* Axcelis Technologies, Inc. 177,900 2,143,695
* Axonyx, Inc. 1,300 6,448
*# AXS-One, Inc. 50,400 149,184
* Axsys Technologies, Inc. 4,700 90,945
* AXT, Inc. 38,200 80,984
* Aztar Corp. 62,100 1,497,231
* AZZ, Inc. 8,200 122,180
Badger Meter, Inc. 3,200 134,464
* Badger Paper Mills, Inc. 1,000 5,135
Bairnco Corp. 7,300 59,130
* Baker (Michael) Corp. 7,600 109,060
Balchem Corp. 4,700 122,670
Baldor Electric Co. 59,233 1,371,836
Baldwin & Lyons, Inc. Class B 12,625 304,894
* Baldwin Technology, Inc. Class A 13,300 49,210
* Ballantyne Omaha, Inc. 11,900 34,748
* Bally Total Fitness Holding Corp. 57,800 265,880
</Table>
27
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Bancinsurance Corp. 5,700 $ 46,797
Bandag, Inc. 16,400 694,868
Bandag, Inc. Class A 9,600 380,832
Bank of Granite Corp. 16,400 317,668
Bank of The Ozarks 15,200 367,840
BankAtlantic Bancorp, Inc. Class A 11,285 180,560
* Bankrate, Inc. 7,000 79,450
* BankUnited Financial Corp. Class A 51,400 1,341,026
Banner Corp. 20,197 589,752
Banta Corp. 46,600 2,033,624
Barnes Group, Inc. 41,400 1,099,998
Barnwell Industries, Inc. 400 18,384
Barra, Inc. 33,000 1,350,030
* Barrett Business Services, Inc. 5,800 78,532
* Barry (R.G.) Corp. 9,500 20,235
Bassett Furniture Industries, Inc. 20,815 396,089
* Bay View Capital Corp. 92,550 188,802
* Baycorp Holdings, Ltd. 484 6,423
* BE Aerospace, Inc. 65,700 419,166
* Beasley Broadcast Group, Inc. 12,303 188,482
# Beazer Homes USA, Inc. 12,553 1,264,966
* Bebe Stores, Inc. 69,900 1,396,602
BEI Technologies, Inc. 26,500 706,755
Bel Fuse, Inc. Class A 2,600 78,679
Bel Fuse, Inc. Class B 5,250 190,785
Belden, Inc. 40,696 687,762
* Bell Industries, Inc. 8,900 26,255
* Bell Microproducts, Inc. 48,900 311,493
* Benchmark Electronics, Inc. 74,000 2,155,620
* Benihana, Inc. 1,000 14,500
* Benihana, Inc. Class A 150 2,196
* Bentley Pharmaceuticals, Inc. 37,060 466,956
Berry Petroleum Corp. Class A 44,700 1,218,075
*# Bethlehem Steel Corp. 37,300 119
* Beverly Enterprises 193,200 1,638,336
* Beyond.com Corp. 3,140 44
BHA Group Holdings, Inc. Class A 6,100 199,043
* Big 4 Ranch, Inc. 3,200 0
* Big City Radio, Inc. 6,400 832
* Big Dog Holdings, Inc. 1,500 7,216
* BindView Development Corp. 84,700 258,335
* Bio Imaging Technologies, Inc. 18,500 104,340
* Bioanalytical Systems, Inc. 4,600 18,515
* Biocryst Pharmaceuticals, Inc. 38,700 417,960
*# BioLase Technology, Inc. 43,200 509,328
* Bio-Logic Systems Corp. 4,200 26,082
* BioMarin Pharmaceutical, Inc. 112,885 689,727
* Bio-Rad Laboratories, Inc. Class A 20,000 1,122,400
* Bio-Reference Laboratories, Inc. 20,912 319,744
* BioSante Pharmaceuticals, Inc. 25,300 192,280
*# Biosite, Inc. 28,100 1,117,537
* Biosource International, Inc. 9,600 69,226
* Biospecifics Technologies Corp. 4,500 6,750
* BioSphere Medical, Inc. 24,600 75,768
* BioTime, Inc. 11,000 19,800
* Bioveris Corp. 30,900 388,104
* Bitstream, Inc. 8,400 19,152
BIW, Ltd. 800 15,588
Black Box Corp. 32,300 1,471,265
Black Hills Corp. 57,559 1,686,479
Blair Corp. 13,700 352,090
* Blonder Tongue Laboratories, Inc. 9,800 $ 30,870
* Blount International, Inc. 43,400 433,132
* Blue Coat Systems, Inc. 18,786 522,251
* Blue Martini Software, Inc. 19,500 87,535
* Bluegreen Corp. 45,665 547,067
Blyth, Inc. 38,100 1,243,965
* BMC Industries, Inc. 14,000 875
* BNS Co. Class A 4,120 25,338
Bob Evans Farms, Inc. 63,338 1,627,153
* Boca Resorts, Inc. 68,745 1,236,035
* Bogen Communications International, Inc. 12,500 62,812
* Bolt Technology Corp. 5,400 24,840
* Bombay Co., Inc. 62,900 366,078
* Bone Care International, Inc. 25,821 551,278
* Bontex, Inc. 200 30
Bon-Ton Stores, Inc. 20,900 267,311
* Bookham Technologies P.L.C. 98,279 103,193
* Books-a-Million, Inc. 18,300 109,800
* Borland Software Corp. 145,900 1,283,920
Boston Acoustics, Inc. 4,600 50,600
* Boston Beer Company, Inc. Class A 16,400 313,240
* Boston Biomedical, Inc. 6,700 21,172
* Boston Communications Group, Inc. 33,000 349,800
Boston Private Financial Holdings, Inc. 49,100 1,123,899
Bostonfed Bancorp, Inc. 4,300 144,480
* Bottomline Technologies, Inc. 27,904 267,878
Bowne & Co., Inc. 62,000 987,040
# Boyd Gaming Corp. 103,200 2,399,400
* Boyds Collection, Ltd. 121,517 347,539
* Bradley Pharmaceuticals, Inc. Class A 25,251 587,843
Brady (W.H.) Co. Class A 37,400 1,543,872
* Braun Consulting, Inc. 30,100 50,568
* Breed Technologies, Inc. 36,800 975
Bridgford Foods Corp. 10,400 80,080
Briggs & Stratton Corp. 27,300 2,071,524
* Brigham Exploration Co. 60,182 512,811
* Bright Horizons Family Solutions, Inc. 6,600 326,106
* Brightpoint, Inc. 34,700 386,558
* BrightStar Information Technology Group, Inc. 10,700 385
* Brillian Corp. 7,049 59,571
* Brilliant Digital Entertainment, Inc. 18,000 1,278
*# BriteSmile, Inc. 785 8,635
* Broadview Media, Inc. 200 1,220
* BroadVision, Inc. 59,800 206,848
* Brocade Communications Systems, Inc. 17,800 106,622
# Brookline Bancorp, Inc. 106,091 1,534,076
* Brooks Automation, Inc. 75,239 1,554,438
* Brookstone, Inc. 35,875 692,746
* Brooktrout, Inc. 23,462 225,704
Brown Shoe Company, Inc. 32,500 1,343,225
* Bruker BioSciences Corp. 166,445 792,278
* Brush Engineered Materials, Inc. 30,100 524,342
Bryn Mawr Bank Corp. 1,600 32,960
BSB Bancorp, Inc. 16,785 583,279
* BSQUARE Corp. 19,000 18,411
* BTU International, Inc. 11,900 62,832
</Table>
28
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Buca, Inc. 33,971 $ 179,027
* Buckeye Technology, Inc. 65,183 657,696
Buckle, Inc. 30,000 842,700
Building Materials Holding Corp. 24,100 414,761
* Bull Run Corp. 3,700 2,016
Burlington Coat Factory Warehouse Corp. 75,549 1,438,453
* Bush Industries, Inc. Class A 6,500 4,355
* Butler International, Inc. 8,400 20,832
C & D Technologies, Inc. 49,600 809,968
C & F Financial Corp. 300 11,280
* C-COR.net Corp. 75,800 673,862
*# C-Phone Corp. 8,900 156
* Cable Design Techologies Corp. 85,487 712,962
*# Cabot Microelectronics Corp. 42,300 1,317,645
Cabot Oil & Gas Corp. Class A 58,400 2,149,120
* Cache, Inc. 18,700 486,387
* Caci International, Inc. Class A 52,400 1,946,136
Cadmus Communications Corp. 8,900 122,642
* Cagle's, Inc. Class A 2,000 21,820
* Cal Dive International, Inc. 67,800 1,904,502
Calavo Growers 16,200 165,888
Calgon Carbon Corp. 67,400 416,532
* California Amplifier, Inc. 26,800 201,000
* California Coastal Communities, Inc. 10,000 160,500
California First National Bancorp 10,400 136,864
* California Micro Devices Corp. 38,000 511,480
* California Pizza Kitchen, Inc. 34,000 641,920
California Water Service Group 30,500 867,725
* Caliper Life Sciences, Inc. 56,174 298,284
Callaway Golf Co. 136,000 2,200,480
* Callidus Software 32,000 228,480
* Callon Petroleum Corp. 25,162 330,125
* Calloways Nursery, Inc. 1,200 198
# Cal-Maine Foods, Inc. 39,100 539,580
* Calton, Inc. 4,480 1,926
* CAM Commerce Solutions, Inc. 3,000 56,737
Cambrex Corp. 51,700 1,181,345
* Cambridge Heart, Inc. 6,600 4,290
Camco Financial Corp. 7,516 107,704
* Candela Corp. 39,910 415,064
* Candies, Inc. 45,550 114,786
* Candlewood Hotel Co., Inc. 1,500 85
* Cannon Express, Inc. Class A 200 36
* Cannondale Corp. 6,400 896
* Cantel Medical Corp. 16,740 287,928
* Canterbury Consulting Group, Inc. 1,571 1,296
* Canyon Resources Corp. 48,600 158,436
Capital Corp. of the West 5,046 181,656
* Capital Crossing Bank 5,900 374,060
* Capital Pacific Holdings, Inc. 14,500 58,362
* Capital Senior Living Corp. 42,200 217,330
Capital Southwest Corp. 300 22,650
Capitol Bancorp, Ltd. 8,564 215,984
* Caprius, Inc. 548 110
* Capstone Turbine Corp. 74,000 206,460
* Captaris, Inc. 57,600 348,480
* Captiva Software Corp. 4,400 44,308
* Caraustar Industries, Inc. 51,184 684,842
# Carbo Ceramics, Inc. 28,600 1,999,140
* Cardiac Sciences, Inc. 136,100 340,250
* Cardima, Inc. 6,300 $ 5,418
* CardioDynamics International Corp. 85,661 563,649
*# CardioGenesis Corp. 32,100 21,507
* Cardiotech International, Inc. 31,263 117,236
* Career Blazers, Inc. Trust Units 800 0
* Carmike Cinemas, Inc. 19,700 721,020
Carpenter Technology Corp. 40,400 1,228,968
* Carreker Corp. 21,871 199,682
* Carriage Services, Inc. Class A 28,700 147,805
* Carrier Access Corp. 59,989 667,078
* Carrington Laboratories, Inc. 9,800 42,042
* Carrizo Oil & Gas, Inc. 14,100 119,286
Cascade Corp. 20,800 508,560
Cascade Natural Gas Corp. 20,100 399,387
* Casella Waste Systems, Inc. Class A 40,669 568,553
Casey's General Stores, Inc. 84,800 1,384,784
Cash America International, Inc. 48,200 972,194
* Castle (A.M.) & Co. 15,437 131,060
Castle Energy Corp. 6,600 71,709
* Casual Male Retail Group, Inc. 63,100 429,080
* Catalina Lighting, Inc. 1,760 18,865
* Catalina Marketing Corp. 90,800 1,533,612
* Catalyst International, Inc. 7,600 10,640
* Catalyst Semiconductor, Inc. 28,040 224,881
* Catalytica Energy Systems, Inc. 15,391 51,560
* Catapult Communications Corp. 22,600 373,126
Cathay Bancorp, Inc. 38,961 2,460,387
Cato Corp. Class A 35,000 771,050
* Cavalier Homes, Inc. 32,060 180,818
Cavalry Bancorp, Inc. 500 7,530
* Cavco Industries, Inc. 3,852 146,141
CCA Industries, Inc. 11,800 91,450
* CCC Information Services Group, Inc. 25,700 372,136
* CD Warehouse, Inc. 3,300 7
* CD&L, Inc. 2,600 3,640
CDI Corp. 35,300 1,171,607
* CEC Entertainment Inc. 69,550 2,137,271
* Celadon Group, Inc. 14,000 201,880
* Celebrity, Inc. Escrow Shares 1,300 0
Celeritek, Inc. 22,200 78,144
* Cell Genesys, Inc. 79,352 815,739
*# Cell Therapeutics, Inc. 88,200 617,400
* Cellegy Pharmaceuticals, Inc. 46,100 187,166
* CellStar Corp. 33,948 205,385
* Centene Corp. 36,200 1,305,010
* Centennial Communications Corp. 49,800 359,556
Center Bancorp, Inc. 1,890 22,189
Center Finl CO 12,960 191,160
*# CenterSpan Communication Corp. 8,400 714
* Centillium Communications, Inc. 64,069 211,428
* Centra Software, Inc. 45,500 99,190
Central Bancorp, Inc. 1,600 56,880
*# Central European Distribution Corp. 19,418 587,977
* Central Garden & Pet Co. 30,300 1,126,251
Central Pacific Financial Corp. 28,400 687,280
Central Parking Corp. 63,137 1,167,403
Central Vermont Public Service Corp. 21,700 423,367
* Century Aluminum Co. 55,390 1,283,386
Century Bancorp Income Class A 1,000 32,700
* Century Business Services, Inc. 141,857 584,451
</Table>
29
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Cenveo, Inc. 84,800 $ 262,032
* Cepheid, Inc. 74,706 683,560
* Ceradyne, Inc. 28,650 953,185
Cerberonics, Inc. Class A 200 1,852
* Ceres Group, Inc. 54,395 338,337
*# Cerner Corp. 49,309 2,108,453
* Cerus Corp. 39,700 85,355
* CEVA, Inc. 10,833 86,664
CFS Bancorp, Inc. 21,420 290,241
CH Energy Group, Inc. 28,700 1,305,850
* Chad Therapeutics 10,000 42,500
* Champion Enterprises, Inc. 126,100 1,179,035
Champion Industries, Inc. 9,674 44,307
* Championship Auto Racing Teams, Inc. 8,900 1,041
* Champps Entertainment, Inc. 21,340 191,398
* Channell Commercial Corp. 6,600 29,700
* Charles and Colvard, Ltd. 23,800 139,944
* Charles River Associates, Inc. 9,000 305,370
* Charlotte Russe Holding, Inc. 38,600 713,714
* Charming Shoppes, Inc. 200,877 1,719,507
* Chart Industries 23 690
*# Charter Communications, Inc. 142,500 548,625
Charter Financial Corp. 22,811 770,784
Chase Corp. 4,000 59,200
* Chattem, Inc. 35,000 930,300
* Chaus (Bernard), Inc. 1,300 1,300
* Checkers Drive-In Restaurant, Inc. 21,107 216,347
* Checkpoint Systems, Inc. 67,700 1,168,502
Chemed Corp. 20,900 986,898
Chemical Financial Corp. 42,938 1,504,977
* Cheniere Energy, Inc. 31,200 471,120
Cherokee, Inc. 8,100 186,300
Chesapeake Corp. 32,802 712,459
Chesapeake Utilities Corp. 9,000 209,970
Chester Valley Bancorp 575 11,759
* Chicago Pizza & Brewery, Inc. 35,022 469,995
Chicago Rivet & Machine Co. 200 5,829
* Children's Place Retail Stores, Inc. 45,400 1,075,072
* Childtime Learning Centers, Inc. 5,200 13,884
*# ChipPAC, Inc. 155,100 1,008,150
* Chiquita Brands International, Inc. 72,996 1,278,890
Chittenden Corp. 66,083 2,141,750
Choice Hotels International, Inc. 53,600 2,567,440
* Cholestech Corp. 25,300 241,615
* Chordiant Software, Inc. 122,500 474,075
Christopher & Banks Corp. 68,013 1,292,247
*# ChromaVision Medical Systems, Inc. 20,200 27,068
* Chromcraft Revington, Inc. 6,000 84,900
* Chronimed, Inc. 21,901 162,067
Churchill Downs, Inc. 14,400 545,472
*# Chyron Corp. 33,400 20,040
* Ciber, Inc. 117,312 1,044,077
* Cima Laboratories, Inc. 19,900 643,168
* Cimarex Energy Co. 14,004 394,773
* Cincinnati Bell, Inc. 447,700 1,844,524
* Ciphergen Biosystems, Inc. 52,200 407,682
* Ciprico, Inc. 4,900 22,809
CIRCOR International, Inc. 26,290 516,336
* Cirrus Logic, Inc. 151,800 1,127,874
Citizens Banking Corp. 67,033 2,010,320
Citizens South Banking Corp. 14,029 $ 181,676
*# Citizens, Inc. Class A 57,326 390,963
City Holding Co. 30,086 903,182
* CKE Restaurants, Inc. 103,800 1,050,456
Clarcor, Inc. 45,700 1,938,137
* Clark, Inc. 31,124 544,048
* Clarus Corp. 29,800 353,428
*# Clayton Williams Energy, Inc. 9,200 211,048
*# Clean Harbors, Inc. 25,100 182,979
* Clearone Communications, Inc. 11,300 66,387
Cleco Corp. 84,700 1,469,545
* Cleveland Cliffs, Inc. 19,200 900,288
*# ClickAction, Inc. Escrow 7,900 395
Clinical Data Inc 1,787 20,157
* Closure Medical Corp. 25,642 638,999
* CMG Information Services, Inc. 66,700 131,399
*# CMS Energy Corp. 273,775 2,359,940
* CNA Surety Corp. 67,918 706,347
*# CNE Group, Inc. 2,000 820
* CNET Networks, Inc. 241,100 2,329,026
CNS, Inc. 24,800 249,736
Coachmen Industries, Inc. 28,000 452,480
* Coast Dental Services, Inc. 2,066 6,405
Coast Distribution System 5,600 35,784
* Coastcast Corp. 7,600 16,340
CoBiz, Inc. 12,825 177,498
* Cobra Electronics Corp. 6,100 54,717
Coca-Cola Bottling Co. Consolidated 6,000 333,420
*# Coeur d'Alene Mines Corp. 457,200 2,144,268
* Cogent Communications Group, Inc. 8,913 3,565
Cognex Corp. 64,800 2,147,472
* Cognitronics Corp. 4,250 15,045
* Coherent, Inc. 53,846 1,458,688
Cohu, Inc. 38,600 731,470
*# Coinstar, Inc. 38,200 664,680
* Coldwater Creek, Inc. 23,850 634,648
Cole (Kenneth) Productions, Inc. Class A 19,450 636,987
* Cole National Corp. Class A 14,800 336,108
* Collagenex Pharmaceuticals, Inc. 25,400 249,428
* Collins & Aikman Corp. 142,960 759,118
Collins Industries, Inc. 7,000 39,970
Columbia Banking System, Inc. 25,547 542,107
* Columbia Laboratories, Inc. 71,600 219,096
* Columbus McKinnon Corp. 25,800 136,714
* Comarco, Inc. 10,200 72,624
* Comdial Corp. 600 1,560
* Comforce Corp. 13,277 26,288
* Comfort Systems USA, Inc. 65,500 461,775
Commerce Group, Inc. 33,100 1,500,092
*# Commerce One, Inc. 51,000 52,020
Commercial Bancshares, Inc. 5,665 144,741
Commercial Federal Corp. 71,900 2,014,638
Commercial Metals Co. 52,300 1,574,230
Commercial National Financial Corp. 3,200 80,800
* Commonwealth Industries, Inc. 28,815 257,894
*# Commonwealth Telephone Enterprises, Inc. 38,100 1,615,440
*# Commscope, Inc. 110,400 1,904,400
Communications Systems, Inc. 8,200 64,780
Community Bank System, Inc. 48,600 1,070,172
</Table>
30
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Community Bankshares, Inc. 210 $ 3,906
Community First Bankshares, Inc. 63,200 2,028,720
Community Trust Bancorp, Inc. 13,730 427,964
Community West Bancshares 5,500 46,612
* Competitive Technologies, Inc. 6,100 22,265
* Compex Technologies, Inc. 21,854 130,687
* Compucom Systems, Inc. 90,241 405,182
* CompuCredit Corp. 81,131 1,423,038
*# Compudyne Corp. 14,404 143,320
* Computer Access Technology Corp. 41,000 190,650
* Computer Horizons Corp. 37,400 133,518
* Computer Network Technology Corp. 47,000 283,880
Computer Programs & Systems, Inc. 18,000 349,020
* Computer Task Group, Inc. 35,900 156,165
* CompX International, Inc. 5,100 82,875
* Comstock Resources, Inc. 62,400 1,173,744
* Comtech Telecommunications Corp. 25,600 454,144
* Concepts Direct, Inc. 700 124
* Conceptus, Inc. 44,836 467,639
* Concord Camera Corp. 48,356 149,420
* Concord Communications, Inc. 30,000 342,600
* Concur Technologies, Inc. 57,631 625,873
* Concurrent Computer Corp. 106,000 214,120
* Conexant Systems, Inc. 237,333 1,120,212
* Congoleum Corp. Class A 3,600 8,100
* Conmed Corp. 53,111 1,351,675
Connecticut Water Services, Inc. 7,600 191,132
*# Connetics Corp. 63,400 1,354,858
* Conrad Industries, Inc. 7,200 16,358
* Consolidated Freightways Corp. 550 1
* Consolidated Graphics, Inc. 24,282 974,922
Consolidated Tokoma Land Co. 6,100 204,045
* Consumer Portfolio Services, Inc. 1,500 6,735
*# Continental Airlines, Inc. 119,100 1,273,179
* Continental Materials Corp. 200 5,858
*# Convera Corp. 60,916 173,001
* Convergence Systems, Inc. 1 45
*# Cooker Restaurant Corp. 6,500 39
Cooper Companies, Inc. 39,200 2,163,840
Cooper Tire & Rubber Co. 83,900 1,769,451
Cooperative Bankshares, Inc. 1,400 32,200
* Copart, Inc. 134,800 3,322,820
*# Copper Mountain Networks, Inc. 11,310 143,524
*# Corautus Genetics, Inc. 1,542 8,866
* Core Molding Technologies, Inc. 7,700 26,950
* Corillian Corp. 63,800 307,516
* Corinthian Colleges, Inc. 18,900 536,949
* Corio, Inc. 108,400 244,984
* Corixa Corp. 100,097 507,492
Corn Products International, Inc. 57,600 2,498,688
* Cornell Companies, Inc. 23,800 317,730
* Correctional Services Corp. 20,512 63,587
* Corrections Corporation of America 63,100 2,414,206
* Corrpro Companies, Inc. 7,275 12,076
Corus Bankshares, Inc. 50,444 1,971,352
* Corvel Corp. 10,900 253,207
* Cosine Communications, Inc. 16,721 66,550
* Cost Plus, Inc. 39,175 1,288,466
* CoStar Group, Inc. 32,391 1,340,340
* Cost-U-Less, Inc. 3,000 17,310
Cotton States Life Insurance Co. 6,330 125,809
Courier Corp. 4,275 $ 166,853
* Covansys Corp. 48,200 524,416
* Covenant Transport, Inc. Class A 22,130 346,777
* Covista Communications, Inc. 3,000 9,000
CPAC, Inc. 5,120 29,645
* CPI Aerostructures, Inc. 9,566 102,356
CPI Corp. 11,200 173,824
Craftmade International, Inc. 8,700 180,960
Crawford & Co. Class A 27,300 133,224
Crawford & Co. Class B 25,300 125,235
* Cray, Inc. 127,300 1,003,124
*# Credence Systems Corp. 114,047 1,597,798
* Credit Acceptance Corp. 71,369 1,074,103
*# Cree Research, Inc. 51,000 1,173,510
* Critical Path, Inc. 33,200 63,080
* Criticare Systems, Inc. 20,300 62,930
Crompton Corp. 206,100 1,230,417
* Cross (A.T.) Co. Class A 14,700 82,908
* Cross Country Healthcare, Inc. 55,657 924,463
* Crossroads Systems, Inc. 42,500 77,435
* Crown Andersen, Inc. 1,000 1,750
* Crown Financial Group, Inc. 6,600 7,920
* Crown Holdings, Inc. 247,400 2,209,282
* Crown Media Holdings, Inc. 127,651 1,155,242
*# Cryolife, Inc. 41,800 213,180
* CSG Systems International, Inc. 96,800 1,847,912
* CSK Auto Corp. 83,600 1,433,740
* CSP, Inc. 3,500 25,203
CSS Industries, Inc. 12,900 450,210
CT Communications, Inc. 30,860 422,782
CTS Corp. 64,959 708,053
Cubic Corp. 48,100 1,082,731
* Cubist Pharmaceuticals, Inc. 72,425 719,904
* Culp, Inc. 19,600 145,040
* Cumulus Media, Inc. Class A 90,093 1,670,324
* CUNO, Inc. 30,408 1,395,119
* CuraGen Corp. 85,560 427,800
* Curative Health Services Inc 23,100 243,012
* Curis, Inc. 74,150 330,635
Curtiss-Wright Corp. 11,600 545,780
Cutter & Buck, Inc. 18,524 191,909
* CV Therapeutics, Inc. 56,405 737,777
CVB Financial Corp. 87,076 1,809,439
* Cyberguard Corp. 42,022 355,506
* Cyberonics, Inc. 42,100 826,002
* Cyberoptics Corp. 14,300 299,013
* Cybersource Corp. 59,900 506,155
* Cybex International, Inc. 8,700 32,538
*# Cycle Ctry Acc 6,300 33,705
*# CycleLogic, Inc. 29 3
* Cygnus, Inc. 1,300 338
* Cymer, Inc. 63,700 2,344,160
Cytec Industries, Inc. 62,000 2,496,740
* Cytogen Corp. 27,070 351,910
*# Cytrx Corp. 1,700 2,074
D & K Healthcare Resources, Inc. 28,330 339,110
* D A Consulting Group, Inc. 6,700 37
D&E Communications, Inc. 17,374 225,167
* Daily Journal Corp. 200 6,600
* Daktronics, Inc. 33,879 791,075
*# Dan River, Inc. Class A 27,400 2,945
</Table>
31
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Danielson Holding Corp. 33,400 $ 318,636
* Darling International, Inc. 114,700 395,715
* Data I/O Corp. 7,600 21,736
* Data Systems & Software, Inc. 7,300 12,191
* Datakey, Inc. 1,000 750
* Datalink Corp. 13,300 48,545
* Dataram Corp. 14,400 115,920
Datascope Corp. 26,634 924,999
* Datastream Systems, Inc. 20,100 125,826
* Datatec Systems, Inc. 7,000 3,605
* DataTRAK International, Inc. 5,200 57,460
* Datawatch Corp. 4,132 17,437
* Dave and Busters, Inc. 13,200 246,840
* Davel Communications, Inc. 94 1
* Dawson Geophysical Co. 5,400 80,190
* Daxor Corp. 4,600 96,830
Deb Shops, Inc. 19,299 462,983
* Deckers Outdoor Corp. 9,200 230,000
* Decora Industries, Inc. 5,500 32
Decorator Industries, Inc. 2,762 22,096
* Del Global Technologies Corp. 10,927 24,859
* Del Laboratories, Inc. 9,506 273,773
* Delphax Technologies, Inc. 6,100 39,040
Delphi Financial Group, Inc. Class A 46,350 1,866,978
*# Delta Air Lines, Inc. 195,200 1,190,720
Delta and Pine Land Co. 68,900 1,597,102
Delta Apparel, Inc. 5,240 118,319
* Delta Financial Corp. 28,900 176,001
Delta Natural Gas Co., Inc. 2,800 65,016
* Delta Woodside Industries, Inc. 5,850 7,897
Deltic Timber Corp. 21,771 772,435
* Denali, Inc. 4,300 430
* Denbury Resources, Inc. 98,100 1,805,040
* Dendreon Corp. 103,881 1,137,497
* Dendrite International, Inc. 73,874 1,240,344
* Department 56, Inc. 23,700 374,460
*# DepoMed, Inc. 78,000 593,580
* Detrex Corp. 500 787
* Devcon International Corp. 3,600 41,400
* DHB Industries, Inc. 73,300 691,219
Diagnostic Products Corp. 52,200 2,198,664
*# Diametrics Medical, Inc. 2,500 275
* DiamondCluster International, Inc. 58,884 570,586
* Diedrich Coffee, Inc. 4,025 15,899
* Digene Corp. 35,000 1,365,350
* Digi International, Inc. 37,548 390,124
* Digimarc Corp. 37,265 421,094
*# Digital Angel Corp. 55,000 177,100
*# Digital Generation Systems, Inc. 114,900 166,605
* Digital Impact, Inc. 56,900 101,282
* Digital Insight Corp. 63,100 1,219,092
*# Digital Lightwave, Inc. 49,700 81,508
* Digital River, Inc. 57,000 1,790,370
* Digitas, Inc. 113,157 1,046,702
Dime Community Bancorp, Inc. 67,700 1,157,670
Dimon, Inc. 78,529 482,953
* Diodes, Inc. 12,150 265,234
* Dionex Corp. 38,310 1,929,292
* Directrix, Inc. 813 3
* Discovery Partners International 41,953 217,736
* Display Technologies, Inc. 11,330 23
Distributed Energy Systems Corp. 59,250 $ 189,600
* Ditech Communications Corp. 58,480 1,205,273
* Diversa Corp. 77,608 730,291
* Diversified Corporate Resources, Inc. 800 1,120
* Dixie Group, Inc. 18,500 218,485
* Dixon Ticonderoga Co. 1,900 7,125
* DJ Orthopedics, Inc. 38,800 905,204
* DLB Oil & Gas, Inc. 1,300 0
* DocuCorp International, Inc. 18,773 167,643
* Document Sciences Corp. 14,200 74,962
* Dollar Thrifty Automotive Group, Inc. 45,400 1,190,388
* Dominion Homes, Inc 5,800 176,958
Donegal Group, Inc. Class A 6,066 127,265
Donegal Group, Inc. Class B 2,933 60,185
* Dot Hill Systems Corp. 70,760 672,220
* DoubleClick, Inc. 164,482 1,394,807
* DOV Pharmaceutical, Inc. 30,394 457,734
Dover Downs Gaming & Entertainment, Inc. 9,910 106,235
Dover Motorsports, Inc. 26,200 120,258
Downey Financial Corp. 36,476 1,929,580
*# DPAC Technologies Corp. 20,900 16,469
* Drew Industries, Inc. 18,400 685,400
*# Drexler Technology Corp. 20,500 348,500
* Dril-Quip, Inc. 31,100 513,772
* DRS Technologies, Inc. 48,500 1,357,515
* Drugstore.com, Inc. 133,100 617,584
* DSP Group, Inc. 51,900 1,366,008
* DT Industries, Inc. 10,300 335
* Duane Reade, Inc. 36,021 594,346
* Duckwall-ALCO Stores, Inc. 4,100 70,684
* Ducommun, Inc. 17,100 322,335
* DuPont Photomasks, Inc. 32,755 723,230
Duquesne Light Holdings, Inc. 104,700 2,013,381
* Dura Automotive Systems, Inc. 28,100 265,826
* DuraSwitch Industries, Inc. 10,500 31,384
* Duratek, Inc. 13,500 175,500
*# Durect Corp. 91,387 322,596
*# DUSA Pharmaceuticals, Inc. 29,500 311,520
* DVI, Inc. 11,300 186
* Dyax Corp. 56,000 551,600
* Dycom Industries, Inc. 87,266 2,154,598
*# Dynacq Healthcare, Inc. 22,200 139,860
* Dynamex, Inc. 19,900 261,486
* Dynamic Materials Corp. 2,000 6,120
* Dynamics Research Corp. 14,598 239,553
* Dynegy, Inc. 84,700 371,833
*# E Com Ventures, Inc. 2,175 20,119
* E-Loan, Inc. 108,400 264,496
E-Z-EM, Inc. 8,562 160,109
* E.piphany, Inc. 127,687 600,129
Eagle Materials, Inc. 25,000 1,667,500
* EarthLink, Inc. 198,575 1,993,693
East West Bancorp, Inc. 41,300 2,505,671
Eastern Co. 4,950 77,913
* EasyLink Services Corp. 7,969 10,200
* Echelon Corp. 72,571 778,687
* Eclipsys Corp. 17,600 244,288
* eCollege.com 36,200 609,246
Ecology & Environment, Inc. Class A 2,000 20,000
Edelbrock Corp. 5,470 82,323
</Table>
32
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Eden Bioscience Corp. 12,800 $ 14,080
*# EDGAR Online, Inc. 16,400 16,072
* Edge Petroleum Corp. 23,100 319,935
* Edgewater Technology, Inc. 11,569 71,612
Edo Corp. 35,800 768,984
Educational Development Corp. 1,800 19,611
EFC Bancorp, Inc. 4,600 109,250
* EFJ, Inc. 7,800 64,740
* eFunds Corp. 86,006 1,376,956
* EGL, Inc. 84,700 1,937,936
* El Paso Electric Co. 108,600 1,569,270
* Elcom International, Inc. 3,500 560
Electro Rent Corp. 39,266 429,570
* Electro Scientific Industries, Inc. 33,300 760,239
* Electroglas, Inc. 37,600 197,400
* Electronics Boutique Holdings Corp. 44,730 1,232,759
* Electronics for Imaging, Inc. 84,900 2,356,824
* Elizabeth Arden, Inc. 42,200 930,088
ElkCorp 35,300 875,440
* eLoyalty Corp. 6,700 42,411
* ELXSI Corp. 1,800 6,570
* Embarcadero Technologies, Inc 47,750 541,007
* Embrex, Inc. 14,600 188,048
EMC Insurance Group, Inc. 11,300 229,164
* Emcor Group, Inc. 27,100 1,148,498
* EMCORE Corp. 65,111 192,729
* Emerging Vision, Inc. 25,700 3,341
* Emeritus Corp. 14,100 80,370
* Emerson Radio Corp. 45,422 152,164
* Emisphere Technologies, Inc. 33,000 167,640
* Emmis Communications Corp. Class A 82,800 1,805,040
Empire District Electric Co. 45,400 908,908
* EMS Technologies, Inc. 19,932 433,720
* En Pointe Technologies, Inc. 6,500 12,285
* Encore Acquisition Co. 54,800 1,539,880
* Encore Capital Grooup, Inc. 31,700 483,108
* Encore Medical Corp. 74,500 520,010
* Encore Wire Corp. 25,965 791,024
* Encysive Pharmaceuticals, Inc. 94,800 871,686
* Endocardial Solutions, Inc. 39,300 382,389
* Endocare, Inc. 25,800 76,755
* Endologix, Inc. 57,000 281,580
Energen Corp. 41,300 1,850,240
* Energy Conversion Devices, Inc. 43,105 540,106
* Energy Partners, Ltd. 58,000 769,660
* Energy West, Inc. 3,900 25,545
EnergySouth, Inc. 7,971 290,304
* Enesco Group, Inc. 25,600 246,528
Engineered Support Systems, Inc. 45,881 2,404,164
* ENGlobal Corp. 1,700 2,839
* Enherent Corp. 17,400 2,610
*# Enlighten Software Solutions, Inc. 1,600 3
Ennis Business Forms, Inc. 28,800 444,960
* EnPro Industries, Inc. 35,200 680,768
* Entegris, Inc. 125,864 1,428,556
* Enterrasys Networks, Inc. 378,100 741,076
* Entravision Communications Corp. 106,817 865,218
* Entremed, Inc. 66,600 141,858
* Entrust, Inc. 114,400 526,240
* Environmental Elements Corp. 5,000 775
* Environmental Technologies Corp. 3,700 $ 26
* Environmental Tectonics Corp. 7,100 52,540
* Enzo Biochem, Inc. 53,066 708,962
* Enzon Pharmaceuticals, Inc. 51,600 741,492
* EP Medsystems, Inc. 14,900 43,210
* EpicEdge, Inc. 21,900 208
* Epicor Software Corp. 79,442 1,063,728
* Epimmune, Inc. 22,900 39,159
* EPIQ Systems, Inc. 31,150 455,724
* EPIX Medical, Inc. 40,828 997,428
* ePlus, Inc. 14,300 168,454
* ePresence, Inc. 25,100 101,404
*# Equimed Inc. Nevis 2,250 0
* Equinix, Inc. 27,300 858,585
* Equity Marketing, Inc. 5,700 73,188
* Equity Oil Co. 16,000 68,000
*# eResearch Technology, Inc. 92,100 2,329,209
* Ergo Science Corp. 7,150 17,160
ESB Financial Corp. 11,762 149,142
*# Escalon Medical Corp. 3,200 43,456
* Esco Technologies, Inc. 23,200 1,143,760
* eSpeed, Inc. 50,500 957,985
Espey Manufacturing & Electronics Corp. 400 9,044
* ESS Technology, Inc. 70,800 811,368
* Esterline Technologies Corp. 36,500 919,070
Ethan Allen Interiors, Inc. 34,800 1,356,156
* Ethyl Corp. 30,300 608,121
* Euronet Worldwide, Inc. 53,952 1,240,356
* European Micro Holdings, Inc. 4,600 264
* Evans & Sutherland Computer Corp. 10,400 51,844
* Evans Systems, Inc. 4,000 360
* Evercel, Inc. 766 295
* Evergreen Resources, Inc. 58,700 2,221,795
*# Evergreen Solar, Inc. 26,400 79,992
* Everlast Worldwide, Inc. 1,500 4,050
EverTrust Financial Group, Inc. 2,850 55,461
* Evolving Systems, Inc. 12,600 50,148
*# Exabyte Corp. 1,000 830
* Exact Sciences Corp. 44,505 281,272
* Exactech, Inc. 10,800 216,000
* Exar Corp. 70,108 1,116,820
* Excel Technology, Inc. 20,400 657,900
* Exelixis, Inc. 124,818 1,150,822
* Exponent, Inc. 6,700 167,031
* ExpressJet Holdings, Inc. 88,400 1,053,728
* Extended Systems, Inc. 11,100 55,167
* Extreme Networks, Inc. 202,100 1,075,172
* Exult, Inc. 192,081 1,187,061
* Ezcorp, Inc. Class A Non-Voting 10,800 87,804
* Ezenia! Inc. 200 140
F.N.B. Corp. 81,720 1,631,131
* F5 Networks, Inc. 61,300 1,819,997
* Fab Industries, Inc. 5,200 18,200
*# Factory 2-U Stores, Inc. 26,949 25,332
# Factset Research Systems, Inc. 57,000 2,491,470
* Fairchild Corp. Class A 40,052 180,234
* Falcon Products, Inc. 11,800 44,250
*# FalconStor Software, Inc. 81,300 562,596
* Famous Dave's of America, Inc. 22,120 174,129
* Fargo Electronics 22,200 252,192
</Table>
33
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Farmer Brothers Co. 19,000 $ 542,640
* Faro Technologies, Inc. 24,400 652,456
FBL Financial Group, Inc. Class A 38,700 1,097,919
* Featherlite, Inc. 6,500 29,185
Fedders Corp. 53,810 238,916
Federal Screw Works 1,562 58,263
# Federal Signal Corp. 84,700 1,508,507
*# Federal-Mogul Corp. 57,900 15,343
* FEI Co. 58,700 1,464,565
* Female Health Co. 9,300 29,295
Ferro Corp. 73,800 1,889,280
FFLC Bancorp 5,400 137,322
* Fibermark, Inc. 3,000 300
*# Fiberstars, Inc. 10,900 92,966
Fidelity Bankshares, Inc. 27,022 914,424
* Fidelity Federal Bancorp 2,500 4,200
Fidelity Southern Corp. 8,800 118,800
* Filenet Corp. 69,380 1,897,543
* Financial Federal Corp. 32,500 1,015,300
* Financial Industries Corp. 12,482 142,919
* Findwhat.Com 39,600 917,136
*# Finisar Corp. 333,296 663,259
* Finish Line, Inc. Class A 34,100 1,135,530
* Finishmaster, Inc. 800 8,140
* Finlay Enterprises, Inc. 19,000 372,020
* Firebrand Financial Group, Inc. 9,100 328
First Albany Companies, Inc. 9,098 95,256
* First Aviation Services, Inc. 6,200 30,132
First Bancorp 6,210 189,405
* First Cash Financial Services, Inc. 29,000 597,400
First Charter Corp. 52,633 1,102,135
First Citizens Bancshares, Inc. 1,300 150,800
First Commonwealth Financial Corp. 104,509 1,391,015
First Community Bancorp 27,000 980,100
First Community Bancshares, Inc. 5,500 148,500
* First Consulting Group, Inc. 44,128 230,348
First Defiance Financial Corp. 6,859 171,612
First Federal Bancshares of Arkansas, Inc. 5,800 117,160
First Federal Capital Corp. 38,084 1,033,600
First Financial Bancorp 78,048 1,329,157
First Financial Bankshares, Inc. 15,395 624,267
First Financial Corp. 2,550 74,001
First Financial Holdings, Inc. 22,600 666,700
First Franklin Corp. 300 5,550
* First Horizon Pharmaceutical Corp. 64,564 1,144,397
First Indiana Corp. 26,617 525,153
* First Investors Financial Services Group, Inc. 5,400 29,538
First Keystone Financial, Inc. 2,000 54,000
First M&F Corp. 2,100 69,489
* First Mariner Bank Corp. 4,900 87,367
First Merchants Corp. 32,408 778,764
First Midwest Bancorp, Inc. 7,375 252,594
First Midwest Financial, Inc. 2,400 53,760
First Mutual Bancshares, Inc. 5,013 116,251
First National Bankshares of Florida 28,320 551,107
First Niagara Financial Group, Inc. 142,929 1,779,466
First Oak Brook Bancshares, Inc. Class A 3,150 91,350
First PacTrust Bancorp, Inc. 8,200 176,710
First Place Financial Corp. 22,751 $ 374,026
First Republic Bank 27,350 1,114,786
First SecurityFed Financial, Inc. 4,400 155,540
First Sentinel Bancorp, Inc. 41,508 866,687
First State Bancorporation 12,876 408,555
First United Corp. 3,500 73,360
* First Virtual Communications, Inc. 4,150 6,557
First Years, Inc. 8,100 135,675
Firstbank Corp. 2,835 75,269
FirstBank NW Corp. 2,928 76,860
* FirstCity Financial Corp. 18,200 141,960
* FirstFed Financial Corp. 30,700 1,267,603
* Firstwave Technologies, Inc. 2,600 7,774
* Fischer Imaging Corp. 9,100 26,845
Flag Financial Corp. 6,500 81,250
Flagstar Bancorp, Inc. 103,400 2,229,304
* Flamemaster Aerospace Corp. Restricted 4 0
Flamemaster Corp. 278 1,162
* Flanders Corp. 45,560 325,754
* Fleetwood Enterprises, Inc. 70,500 944,700
*# Fleming Companies, Inc. 15,082 72
Flexsteel Industries, Inc. 6,100 131,882
* Flir Systems, Inc. 55,800 2,745,360
* Florida Banks, Inc. 5,700 119,472
Florida East Coast Industries, Inc. 57,400 2,076,732
Florida Public Utilities Co. 3,866 73,454
Florida Rock Industries, Inc. 39,850 1,584,037
* Flow International Corp. 27,600 77,280
Flowers Foods, Inc. 79,925 1,867,847
* Flowserve Corp. 96,700 2,025,865
Flushing Financial Corp. 33,714 590,332
* FMC Corp. 59,000 2,393,630
FMS Financial Corp. 3,300 56,100
FNB Corp. 2,700 52,380
FNB Financial Services Corp. 2,625 48,562
*# Foamex International, Inc. 41,000 184,090
* FOCUS Enhancements, Inc. 3,132 4,316
* Foodarama Supermarkets, Inc. 1,100 44,275
Foothill Independent Bancorp 6,555 133,788
*# Footstar, Inc. 27,600 120,060
Forest City Enterprises, Inc. Class B 4,500 226,125
* Forest Oil Corp. 75,170 1,871,733
* Forgent Networks, Inc. 39,400 50,432
* Forrester Research, Inc. 37,384 684,875
* Forward Air Corp., Inc. 38,750 1,195,437
* Fossil, Inc. 94,218 2,238,620
* Foster (L.B.) Co. Class A 10,000 78,000
*# Foster Wheeler, Ltd. 40,600 47,908
* Fountain Powerboat Industries, Inc. 4,700 22,560
*# FPIC Insurance Group, Inc. 17,946 484,542
Frankfort First Bancorp, Inc. 850 18,156
* Frankfort Tower Industries, Inc. 14,700 73
# Franklin Bancorp, Inc. 3,489 69,431
* Franklin Covey Co. 19,300 47,285
Franklin Electric Co., Inc. 10,800 686,880
* Franklin Electronic Publishers, Inc. 7,900 33,812
Fred's, Inc. 70,450 1,480,859
* FreeMarkets, Inc. 67,900 463,078
Frequency Electronics, Inc. 8,300 116,532
Fresh Brands, Inc. 5,100 42,131
</Table>
34
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Fresh Choice, Inc. 5,900 $ 9,794
* Friede Goldman Halter, Inc. 1,083 2
Friedman Industries, Inc. 6,158 24,016
Friedmans, Inc. Class A 35,240 111,358
* Friendly Ice Cream Corp. 7,300 96,214
Frisch's Restaurants, Inc. 4,900 139,895
* Frontier Airlines, Inc. 59,961 557,637
Frontier Oil Corp. 47,800 945,006
* Frozen Food Express Industries, Inc. 27,607 189,108
FSF Financial Corp. 2,300 79,580
* FSI International, Inc. 50,700 349,323
* FTI Consulting, Inc. 76,425 1,280,119
* FuelCell Energy, Inc. 85,854 1,362,503
Fuller (H.B.) Co. 51,309 1,374,568
*# FX Energy, Inc. 19,400 162,378
G & K Services, Inc. Class A 34,200 1,345,770
* G-III Apparel Group, Ltd. 6,700 60,400
GA Financial, Inc. 5,300 185,606
Gabelli Asset Management, Inc. 11,100 465,312
* Gadzooks, Inc. 13,600 24,140
* Gaiam, Inc. 5,500 33,440
* Galaxy Nutritional Foods, Inc. 11,500 22,425
* Galey & Lord, Inc. 6,400 32
*# Galyan's Trading Co. 29,537 296,847
* GameStop Corp. 37,700 588,874
GameTech International, Inc. 11,100 50,061
* Gardenburger, Inc. 4,000 880
* Gardner Denver Machinery, Inc. 34,688 908,479
* Gartner Group, Inc. 80,500 986,125
* Gateway, Inc. 140,600 569,430
GATX Corp. 85,200 2,054,172
* Gaylord Entertainment Co. 69,463 1,997,061
GB & T Bancshares, Inc. 700 19,089
* GC Companies, Inc. 200 125
* Gehl Co. 8,900 151,211
* Genaera Corp. 23,000 82,110
* Genaissance Pharmaceuticals, Inc. 41,300 180,027
Gencorp, Inc. 80,111 910,061
* Gene Logic, Inc. 66,682 262,727
* Genecor International, Inc. 102,608 1,541,172
* Genelabs Technologies, Inc. 149,610 388,986
* General Binding Corp. 13,300 178,619
* General Cable Corp. 70,700 566,307
* General Communications, Inc. Class A 92,600 734,318
* General DataComm Industries, Inc. 1,310 458
* General Employment Enterprises, Inc. 3,100 4,820
* Genesco, Inc. 39,200 983,920
* Genesee & Wyoming, Inc. 33,750 771,525
* Genesee Corp. Class B 200 765
* Genesis HealthCare Corp. 31,450 814,240
* Genesis Microchip, Inc. 37,462 605,011
* Geneva Financial Corp. 2,600 1,950
* Genlyte Group, Inc. 24,500 1,439,865
*# Genta, Inc. 131,800 303,140
* Gentek, Inc. 10,900 44
* Gentiva Health Services, Inc. 13,950 221,526
*# Genus, Inc. 67,221 174,707
* GenVec, Inc. 90,669 286,514
Georgia Gulf Corp. 58,600 1,981,852
* Gerber Scientific, Inc. 38,600 $ 240,864
* Geron Corp. 73,209 539,550
Gevity HR, Inc. 35,000 917,350
* Giant Group, Ltd. 2,200 5,225
* Giant Industries, Inc. 20,800 389,376
Gibraltar Steel Corp. 18,600 538,470
* Giga-Tronics, Inc. 4,600 7,314
Glacier Bancorp, Inc. 43,660 1,153,497
* Glacier Water Services, Inc. 3,600 66,456
Glatfelter (P.H.) Co. 75,600 925,344
* Glenayre Technologies, Inc. 113,627 287,476
* Global e-Point, Inc. 3,008 11,882
* Global Imaging Systems, Inc. 39,500 1,337,470
* Global Payment Technologies, Inc. 5,500 20,185
* Global Power Equipment Group, Inc. 83,400 552,942
* Globecomm Systems, Inc. 16,500 96,690
*# Glowpoint, Inc. 49,850 108,174
* GoAmerica, Inc. 2,850 2,562
Gold Banc Corp. 63,565 1,041,195
Golden Enterprises, Inc. 11,800 34,338
* Golden State Vintners, Inc. 5,100 41,667
* Goodrich Petroleum Corp. 30,600 252,450
*# Goodyear Tire & Rubber Co. 180,900 1,573,830
Goody's Family Clothing, Inc. 43,942 524,667
*# GoRemote Internet Communications, Inc. 64,900 129,800
Gorman-Rupp Co. 7,975 211,337
* Gottschalks, Inc. 12,700 65,786
* GP Strategies Corp. 14,560 109,200
* Gradco Systems, Inc. 230 2,254
* Graftech International, Ltd. 171,300 1,627,350
Graham Corp. 1,000 11,000
Granite Construction, Inc. 74,600 1,409,940
* Graphic Packaging Corp. 102,600 662,796
Gray Television, Inc. 74,060 1,043,505
Gray Television, Inc. Class A 6,800 87,040
Great American Financial Resources, Inc. 18,300 279,075
* Great Atlantic & Pacific Tea Co., Inc. 69,300 480,249
Great Lakes Chemical Corp. 91,200 2,259,936
Great Southern Bancorp, Inc. 6,800 378,896
Greater Bay Bancorp 72,446 2,079,925
Greater Communications Bancorp 3,600 50,580
* Green Mountain Coffee, Inc. 12,200 245,342
Green Mountain Power Corp. 7,700 197,967
* Greenbriar Corp. 674 1,938
* Greenbrier Companies, Inc. 14,100 242,943
Greene County Bancshares, Inc. 1,900 39,805
* Greens Worldwide, Inc. 2,502 56
Grey Global Group, Inc. 200 151,000
* Grey Wolf, Inc. 335,300 1,223,845
* Griffin Land & Nurseries, Inc. Class A 2,200 55,649
* Griffon Corp. 53,280 1,240,358
* Gristede's Foods, Inc. 1,200 1,020
* Group 1 Automotive, Inc. 38,700 1,242,270
* Group 1 Software, Inc. 16,450 376,047
* Grubb & Ellis Co. 14,900 15,049
* GSI Commerce, Inc. 73,754 604,783
*# GSV, Inc. 1,800 216
* GTC Biotherapeutics, Inc. 59,964 98,341
* GTSI Corp. 14,600 174,032
</Table>
35
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Guaranty Bancshares, Inc. 3,000 $ 57,375
Guaranty Federal Bancshares, Inc. 3,000 59,100
* Guess, Inc. 79,080 1,217,832
*# Guilford Pharmaceuticals, Inc. 61,047 378,491
* Guitar Center, Inc. 43,800 1,879,020
Gulf Island Fabrication, Inc. 21,537 409,203
* Gulfmark Offshore, Inc. 34,200 459,990
* Gymboree Corp. 54,900 800,991
* Ha-Lo Industries, Inc. 64,900 91
* Haemonetics Corp. 44,800 1,218,560
Haggar Corp. 6,300 127,008
* Hain Celestial Group, Inc. 59,188 1,047,628
* Halifax Corp. 1,000 4,500
* Hall Kinion Associates, Inc. 18,000 74,520
* Hammons (John Q.) Hotels, Inc. Class A 5,200 48,880
* Hampshire Group, Ltd. 4,000 115,920
Hancock Fabrics, Inc. 32,200 374,164
Hancock Holding Co. 53,400 1,467,432
Handleman Co. 41,923 939,075
* Hanger Orthopedic Group, Inc. 36,252 598,158
Hanmi Financial Corp. 5,500 144,925
* Hanover Compressor Co. 153,900 1,611,333
Harbor Florida Bancshares, Inc. 42,898 1,204,147
Hardinge, Inc. 8,800 104,720
Harland (John H.) Co. 47,100 1,427,130
Harleysville Group, Inc. 49,967 943,877
Harleysville National Corp. 41,107 1,025,620
* Harmonic, Inc. 122,360 781,880
* Harolds Stores, Inc. 2,308 5,816
* Harris Interactive, Inc. 106,200 790,128
Harrodsburg First Financial Bancorp, Inc. 1,100 21,422
* Hartmarx Corp. 33,600 202,608
* Harvard Bioscience, Inc. 52,700 247,690
* Harvest Natural Resources, Inc. 63,100 801,370
* Hastings Entertainment, Inc. 11,300 87,903
* Hastings Manufacturing Co. 700 1,802
* Hauppauge Digital, Inc. 8,800 55,977
Haverty Furniture Co., Inc. 15,700 275,535
Haverty Furniture Co., Inc. Class A 400 7,220
*# Hawaiian Holdings, Inc. 29,875 144,894
* Hawk Corp. 8,500 44,412
Hawkins, Inc. 10,200 122,502
* Hawthorne Financial Corp. 17,910 630,969
* Headwaters, Inc. 59,800 1,249,820
* HealthAxis, Inc. 750 1,642
Healthcare Services Group, Inc. 16,650 258,741
* HealthExtras, Inc. 66,050 1,007,262
Heartland Express, Inc. 89,936 2,178,250
Heartland Financial USA, Inc. 5,779 101,132
* Hecla Mining Co. 208,400 1,352,516
* Hector Communications Corp. 3,500 70,000
* HEI, Inc. 6,000 15,300
Heico Corp. 16,700 245,657
Heico Corp. Class A 7,465 88,236
* Heidrick & Struggles International, Inc. 34,000 949,960
Helix Technology Corp. 46,953 933,426
Helmerich & Payne, Inc. 54,900 1,369,755
*# Hemispherx Biopharma, Inc. 73,500 255,045
Henry Jack & Associates, Inc. 18,642 $ 361,655
* Hercules, Inc. 200,800 2,124,464
* Heritage Commerce Corp. 2,800 39,732
Heritage Financial Corp. 7,500 142,125
* Herley Industries, Inc. 25,400 521,970
* Hexcel Corp. 69,400 589,900
HF Financial Corp. 3,630 53,833
*# Hi-Shear Technology Corp. 8,600 27,004
* Hi-Tech Pharmacal, Inc. 14,250 264,907
* HI/FN, Inc. 10,400 101,400
* Hibbett Sporting Goods, Inc. 40,870 1,061,803
Hickory Tech Corp. 13,900 156,097
Hilb Rogal Hamilton Co. 64,400 2,290,708
* Hines Horticulture, Inc. 22,000 95,480
Hirsch International Corp. Class A 3,300 3,432
HMN Financial, Inc. 4,400 110,572
* HMS Holdings Corp. 34,395 185,733
* Hoenig Group Escrow Shares 7,900 1,817
* Holiday RV Superstores, Inc. 930 5
Hollinger International, Inc. Class A 100,900 1,775,840
* Hollis-Eden Pharmaceuticals, Inc. 33,553 345,260
Holly Corp. 18,600 646,350
* Hollywood Entertainment Corp. 105,773 1,404,665
* Hollywood Media Corp. 44,600 145,396
* Hologic, Inc. 36,300 746,328
Home Federal Bancorp 4,300 114,595
Home Loan Financial Corp. 1,700 34,850
* Home Products International, Inc. 7,800 10,062
* HomeStore, Inc. 69,828 291,183
Hooper Holmes, Inc. 113,800 637,280
HopFed Bancorp, Inc. 2,100 36,414
Horace Mann Educators Corp. 73,638 1,246,691
Horizon Financial Corp. 18,284 336,791
* Horizon Health Corp. 9,900 227,700
* Horizon Medical Products, Inc. 19,400 36,860
* Horizon Offshore, Inc. 51,300 62,586
* Hot Topic, Inc. 86,800 1,875,748
* Houston Exploration Co. 49,997 2,362,858
* Hovnanian Enterprises, Inc. Class A 50,300 1,775,590
* Hub Group, Inc. Class A 7,000 229,040
* Hudson Highland Group, Inc. 2,130 59,107
Hudson River Bancorp, Inc. 51,564 898,761
* Hudson Technologies, Inc. 5,100 5,508
* Huffy Corp. 27,005 31,326
Hughes Supply, Inc. 36,569 1,974,726
Humboldt Bancorp 20,410 381,055
* Hurco Companies, Inc. 5,600 75,544
* Hutchinson Technology, Inc. 46,900 1,238,629
* Huttig Building Products, Inc. 5,300 43,725
* Hycor Biomedical, Inc. 8,000 42,000
* Hydril Co. 28,800 828,288
* Hypercom Corp. 91,600 615,552
* HyperFeed Technologies, Inc. 1,450 5,481
* Hyperion Solutions Corp 64,124 2,541,875
* I-Flow Corp. 35,800 484,374
* I-many, Inc. 47,900 59,875
*# I-Sector Corporation 5,900 50,740
* I-Trax Inc 30,300 101,505
* I.C. Isaacs & Co., Inc. 7,200 7,272
Iberiabank Corp. 11,520 674,726
* Ibis Technology Corp. 18,800 144,760
</Table>
36
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
*# icad, Inc. 3,600 $ 12,672
* Ico, Inc. 14,320 30,502
* ICT Group, Inc. 19,274 220,495
* ICU Medical, Inc. 24,650 821,091
Idacorp, Inc. 68,700 1,786,200
* Identix, Inc. 152,412 1,104,987
Idex Corp. 42,200 2,012,940
* IDT Corp. 37,478 659,238
* IDT Corp. Class B 29,500 531,000
* IDX Systems Corp. 53,951 1,571,593
* iGate Capital Corp. 88,012 392,534
* IGI, Inc. 2,100 4,620
* Igo Escrow Share 4,100 0
IHOP Corp. 36,200 1,303,200
* II-VI, Inc. 24,370 628,259
Ikon Office Solutions, Inc. 136,960 1,509,299
* ILEX Oncology, Inc. 62,400 1,444,560
* Illumina, Inc. 55,861 354,159
ILX Resorts, Inc. 2,900 29,203
* Image Entertainment, Inc. 32,900 113,505
*# ImageWare Systems, Inc. 5,500 15,345
Imation Corp. 59,100 2,432,556
# IMC Global, Inc. 184,158 2,292,767
* IMCO Recycling, Inc. 26,200 330,120
* Immersion Corp. 39,400 169,026
*# Immtech International, Inc. 14,900 212,325
* Immucor, Inc. 36,875 1,146,075
* ImmunoGen, Inc. 69,053 553,115
* Immunomedics, Inc. 84,800 513,888
* IMPAC Medical Systems, Inc. 10,400 121,472
* Impath, Inc. 21,600 122,040
* Impax Laboratoroes, Inc. 96,544 2,138,450
* Impco Technologies, Inc. 31,600 181,068
* Imperial Sugar Co. 15,420 182,110
*# Imperial Sugar Company 14,551 0
*# Implant Sciences Corp. 12,500 173,500
* Impreso, Inc. 5,300 12,614
* Incyte Genomics, Inc. 123,730 887,144
Independence Holding Co. 2,750 90,337
Independent Bank Corp. MA 24,700 655,044
Independent Bank Corp. MI 35,204 891,717
*# Indevus Pharmaceuticals, Inc. 85,094 708,833
* Index Development Partners, Inc. 5,700 313
* Indus International, Inc. 34,900 88,995
* Industrial Distribution Group, Inc. 15,500 112,375
* INEI Corp. 1,700 2,380
* Inet Technologies, Inc. 65,957 587,677
Infinity Property & Casualty Corp. 33,460 1,043,952
* Infinity, Inc. 15,398 56,203
*# Infocrossing, Inc. 25,100 331,320
* InFocus Corp. 67,089 540,737
* Infonet Services Corp. 133,400 229,448
* Informatica Corp. 145,100 1,125,976
* Information Architects Corp. 1,080 324
* Information Holdings, Inc. 35,400 945,888
* Inforte Corp. 18,500 200,170
* InfoSpace, Inc. 53,446 1,955,055
* infoUSA, Inc. 98,962 890,658
Ingles Market, Inc. Class A 17,405 184,493
* Inkine Pharmaceutical Co., Inc. 21,400 87,954
* Innodata Corp. 36,300 139,755
* Innotrac Corp. 11,600 $ 107,300
* Innovative Clinical Solutions, Ltd. 968 6
* Innovative Solutions & Support, Inc. 12,700 253,759
* Innovex, Inc. 31,500 169,785
* Input/Output, Inc. 90,300 623,070
* Insight Communications Co., Inc. 83,175 795,153
* Insight Enterprises, Inc. 82,079 1,506,970
* Insightful Corp. 6,300 27,147
* Insignia Systems, Inc. 19,250 25,602
*# Insite Vision, Inc. 18,000 14,040
* Insituform Technologies, Inc. Class A 45,019 688,791
* Insmed, Inc. 65,218 149,936
* Inspire Pharmaceuticals, Inc. 54,180 928,103
* Instinet Group, Inc. 36,500 240,535
* Insurance Auto Auctions, Inc. 19,961 326,562
* InsWeb Corp. 1,633 7,757
Integra Bank Corp. 30,683 644,036
*# Integra Lifesciences Corp. 51,200 1,641,984
Integral Systems, Inc. 9,200 161,644
*# Integral Vision, Inc. 2,200 3,630
* IntegraMed America, Inc. 3,100 22,568
*# Integrated Bio 17,100 237,690
* Integrated Electrical Services, Inc. 64,400 579,600
* Integrated Information Systems, Inc. 820 102
* Integrated Silicon Solution, Inc. 58,400 928,560
* Integrated Telecom Express, Inc. 600 0
* Integrity Media, Inc. 1,900 12,084
* Intelli-Check, Inc. 17,300 129,577
* Intellidata Technologies Corp. 65,500 49,780
* Intelligent Systems Corp. 4,500 8,325
* Intelligroup, Inc. 29,500 116,230
*# Intellisync Corp. 101,786 257,519
Inter Parfums, Inc. 18,550 466,903
* Interactive Data Corp. 58,013 983,320
* Interactive Intelligence, Inc. 26,100 147,465
* InterCept Group, Inc. 36,500 543,485
Interchange Financial Services Corp. 12,600 289,170
* Interdigital Communications Corp. 100,000 1,696,000
* Interep National Radio Sales, Inc. 4,600 8,970
* Interface, Inc. Class A 78,157 547,099
* Interferon Scientific, Inc. 2,435 101
* Intergraph Corp. 73,300 1,842,762
* Interland, Inc. 31,610 91,985
* Interlink Electronics, Inc. 9,700 97,485
* Intermagnetics General Corp. 28,395 836,801
Intermet Corp. 43,500 178,785
* InterMune, Inc. 54,200 770,182
International Aluminum Corp. 2,100 62,223
* International Microcomputer Software, Inc. 5,100 6,630
* International Multifoods Corp. 32,800 818,688
* International Shipholding Corp. 6,100 86,650
*# Internet Commerce Corp. 4,000 5,560
* Internet Security Systems, Inc. 84,700 1,339,954
*# Interpharm Holdings, Inc. 31,700 102,074
* Interphase Corp. 5,400 51,295
Interpool, Inc. 38,000 641,250
* Interpore International, Inc. 30,400 438,672
Interstate Bakeries Corp. 77,200 810,600
* Interstate Hotels & Resorts, Inc. 49,540 265,039
Inter-Tel, Inc. 42,800 1,056,304
</Table>
37
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Intervoice, Inc. 59,818 $ 838,050
* Interwoven, Inc. 68,607 632,557
* Intest Corp. 8,600 49,450
* Intevac, Inc. 12,000 108,000
* IntraBiotics Pharmaceuticals, Inc. 8,500 120,955
* Intrado, Inc. 28,900 480,318
* Intraware, Inc. 14,200 28,258
* Introgen Therapeutics, Inc. 45,075 296,548
*# Intrusion, Inc. 4,050 8,015
* Intuitive Surgical, Inc. 56,123 928,274
Invacare Corp. 48,600 2,015,442
* Inveresk Resh 63,807 1,919,315
* Inverness Medical Innovations, inc. 7,461 144,669
* Investment Technology Group, Inc. 76,000 1,037,400
* INVESTools, Inc. 4,283 8,780
Investors Title Co. 1,400 38,717
* Invision Technologies, Inc. 27,200 1,355,920
* Iomed, Inc. 10,500 30,765
Iomega Corp. 87,595 423,960
* Ion Networks, Inc. 4,200 336
*# Ionatron, Inc. 17,500 103,075
* Ionics, Inc. 38,400 969,984
*# IPIX Corp. 4,350 36,496
* Iridex Corp. 6,800 47,260
*# IRIS International, Inc. 24,100 202,151
Irwin Financial Corp. 50,400 1,282,680
Isco, Inc. 5,635 89,760
* Isis Pharmaceuticals, Inc. 94,400 609,824
*# Island Pacific, Inc. 73,700 58,223
* Isle of Capri Casinos, Inc. 53,200 1,031,016
* Isolagen Inc 44,700 394,254
* Iteris Holdings, Inc. 300 810
* ITLA Capital Corp. 5,800 232,580
* Itron, Inc. 34,900 720,336
* ITXC Corp. 45,200 106,672
* iVillage, Inc. 63,600 438,204
* Ixia 102,300 958,551
* IXYS Corp. 55,824 521,954
* J & J Snack Foods Corp. 15,100 600,376
* J Net Enterprises, Inc. 8,400 12,600
* J. Alexander's Corp. 9,200 65,780
* J. Jill Group, Inc. 33,800 690,534
* j2 Global Communication, Inc. 39,332 974,254
* Jack in the Box, Inc. 61,800 1,728,546
* Jaclyn, Inc. 1,300 6,604
* Jaco Electronics, Inc. 5,659 28,190
* Jacuzzi Brands, Inc. 127,678 1,090,370
* Jakks Pacific, Inc. 42,623 757,837
* Jarden Corp. 45,450 1,590,750
* JDA Software Group, Inc. 48,712 616,207
* Jennifer Convertibles, Inc. 1,300 4,108
JLG Industries, Inc. 73,800 931,356
* JMAR Industries, Inc. 23,700 52,614
* Jo-Ann Stores, Inc. 37,075 1,061,457
* Johnson Outdoors, Inc. 6,700 127,769
* Jones Lang LaSalle, Inc. 53,600 1,351,792
* Jos. A. Bank Clothiers, Inc. 17,700 576,843
* Journal Register Co. 71,200 1,381,280
Joy Global, Inc. 85,500 2,351,250
* JPS Industries, Inc. 9,200 22,825
* Juno Lighting, Inc. 980 33,065
* Jupitermedia Corp. 43,780 $ 450,934
K Swiss, Inc. Class A 45,200 904,000
* K-Tron International, Inc. 2,400 51,216
* K-V Pharmaceutical Co. Class A 55,450 1,413,975
* K-V Pharmaceutical Co. Class B 20,975 572,617
* K2, Inc. 60,663 892,959
* Kadant, Inc. 23,420 473,787
* Kaiser Aluminum Corp. 14,500 507
Kaman Corp. Class A 38,300 451,174
* Kansas City Southern Industries, Inc. 105,600 1,372,800
* Katy Industries, Inc. 8,300 48,555
Kaydon Corp. 47,900 1,285,157
* KBK Capital Corp. 2,200 2,475
* KCS Energy, Inc. 82,900 1,037,079
*# Keane, Inc. 107,864 1,547,848
* Keith Companies, Inc. 11,400 159,828
Keithley Instruments, Inc. 23,200 501,352
Kellwood Co. 45,476 1,850,873
Kelly Services, Inc. 53,005 1,470,359
* Kemet Corp. 146,923 1,785,114
* Kendle International, Inc. 22,203 166,522
Kennametal, Inc. 35,200 1,499,520
* Kennedy-Wilson, Inc. 8,800 59,840
* Kensey Nash Corp. 19,300 616,442
*# Keravision, Inc. 4,300 13
Kewaunee Scientific Corp. 2,000 21,530
* Key Energy Group, Inc. 221,900 2,147,992
* Key Technology, Inc. 4,700 61,570
* Key Tronic Corp. 8,600 30,788
* Keynote Systems, Inc. 18,600 242,730
* Keystone Automotive Industries, Inc. 25,858 711,095
* Keystone Consolidated Industries, Inc. 2,100 283
* Kforce, Inc. 52,200 478,152
* KFX, Inc. 92,500 818,625
Kimball International, Inc. Class B 41,100 568,824
* Kindred Healthcare, Inc. 61,878 1,537,050
* Kirby Corp. 41,200 1,458,480
* Kirklands, Inc. 17,200 202,100
Knape & Vogt Manufacturing Co. 2,290 29,816
* Knight Trading Group, Inc. 50,956 583,956
* Knight Transportation, Inc. 63,625 1,551,177
* Koala Corp. 6,500 2,535
* Komag Inc 46,609 675,830
* Kontron Mobile Computing, Inc. 8,900 3,471
* Kopin Corp. 119,087 645,452
* Korn/Ferry International 64,400 894,516
* Kos Pharmaceuticals, Inc. 52,000 1,730,040
* Kosan Biosciences, Inc. 48,424 525,885
Koss Corp. 3,600 75,456
* Krispy Kreme Doughnuts, Inc. 25,000 536,750
* Kroll, Inc. 66,560 2,432,102
Kronos Worldwide, Inc. 34,941 1,083,171
* Kronos, Inc. 52,500 2,177,700
* Kulicke & Soffa Industries, Inc. 85,734 983,369
* KVH Industries, Inc. 23,828 321,440
* Kyphon, Inc. 67,900 1,662,871
* La Jolla Pharmceutical Co. 109,100 294,570
La-Z-Boy, Inc. 89,400 1,649,430
* LaBarge, Inc. 26,800 203,680
* LabOne, Inc. 28,994 902,003
* Labor Ready, Inc. 70,000 851,900
</Table>
38
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
# Labranche & Co., Inc. 101,700 $ 911,232
Laclede Group, Inc. 32,600 888,024
* LaCrosse Footwear, Inc. 5,800 45,588
Ladish Co., Inc. 19,500 169,650
Lakeland Bancorp, Inc. 13,119 206,624
* Lakeland Industries, Inc. 2,420 52,635
* Lakes Entertainment, Inc. 21,950 271,302
* Lamson & Sessions Co. 23,400 176,670
Lance, Inc. 62,400 951,600
* Lancer Corp. 9,325 59,680
Landamerica Financial Group, Inc. 31,700 1,264,513
Landauer, Inc. 14,200 582,342
* Landec Corp. 36,190 256,587
Landry's Restaurants, Inc. 47,100 1,413,000
* Landstar Systems, Inc. 48,600 2,362,932
* Lannet Co., Inc. 33,430 566,639
* Lantronix, Inc. 15,000 18,750
*# Large Scale Biology Corp. 42,800 65,912
* Larscom, Inc. 1,157 5,785
* Laserscope 34,750 996,283
* Lattice Semiconductor Corp. 188,666 1,473,481
* Laureate Education, Inc. 69,700 2,559,384
Lawson Products, Inc. 9,600 337,440
* Lawson Software, Inc. 167,308 1,199,598
* Layne Christensen Co. 11,600 195,576
* Lazare Kaplan International, Inc. 8,700 76,560
* LCA-Vision, Inc. 22,650 543,600
* LCC International, Inc. Class A 30,900 127,926
* Learning Tree International, Inc. 29,100 417,585
* Lecroy Corp. 10,100 186,143
* Lectec Corp. 3,900 3,120
Leesport Financial Corp. 525 12,416
Lennox International, Inc. 100,005 1,648,082
* Lesco, Inc. 18,300 236,619
* Level 8 Systems, Inc. 3,729 1,007
* Levitt Corp. Series A 2,821 67,789
* Lexar Media, Inc. 129,897 1,228,826
* Lexicon Genetics, Inc. 107,600 754,276
Libbey, Inc. 23,200 591,832
* Liberate Technologies, Inc. 106,300 279,038
Liberty Corp. 30,900 1,438,395
Liberty Homes, Inc. Class A 200 910
* Lifecell Corp. 44,600 455,812
* Lifecore Biomedical, Inc. 21,900 153,300
* Lifeline Systems, Inc. 8,200 169,166
Lifetime Hoan Corp. 18,462 377,714
*# Ligand Pharmaceuticals, Inc. Class B 119,977 2,452,330
* Lightbridge, Inc. 45,021 237,261
* Lightning Rod Software, Inc. 580 641
* LightPath Technologies, Inc. 1,850 7,863
* Lin TV Corp. 44,600 1,012,420
Lincoln Electric Holdings 69,262 2,147,122
Lindsay Manufacturer Co. 20,000 458,000
* Linens 'n Things, Inc. 71,600 2,174,492
* Lionbridge Technologies, Inc. 31,197 244,273
*# Lipid Sciences, Inc. 41,758 177,472
*# Liquidmetal Technologies, Inc. 68,495 85,619
Lithia Motors, Inc. Class A 24,810 593,455
* Littlefuse, Inc. 37,500 1,483,500
* LMI Aerospace, Inc. 7,900 9,875
LNB Bancorp, Inc. 1,200 23,340
LNR Property Corp. 33,600 $ 1,688,400
* Local Financial Corp. 9,500 207,005
* Lodgenet Entertainment Corp. 22,200 438,894
* Lodgian, Inc. 51 755
* Log On America, Inc. 600 4
* Logic Devices, Inc. 6,700 10,720
* LogicVision, Inc. 28,200 84,290
* Logility, Inc. 13,200 58,740
* Lojack Corp. 25,700 205,600
Lone Star Steakhouse & Saloon, Inc. 35,800 909,320
* Lone Star Technologies, Inc. 48,400 973,808
Longs Drug Stores Corp. 63,700 1,364,454
Longview Fibre Co. 86,800 1,107,568
* LookSmart, Ltd. 177,867 416,209
* LOUD Technologies, Inc. 12,400 30,752
Louisiana-Pacific Corp. 37,200 859,320
Lowrance Electronics, Inc. 5,792 196,401
LSB Bancshares, Inc. NC 5,156 78,577
LSB Corp. 4,300 66,650
LSI Industries, Inc. 33,527 385,561
* LTX Corp. 103,500 1,102,275
* Luby's, Inc. 39,700 219,144
Lufkin Industries, Inc. 6,400 193,600
* Luminex Corp. 51,955 517,991
* Lydall, Inc. 26,900 237,527
* Lynch Corp. 1,500 21,000
* Lynch Interactive Corp. 2,800 100,772
* M & F Worldwide Corp. 30,400 395,200
* M-Wave, Inc. 2,900 4,640
M/I Schottenstein Homes, Inc. 23,000 976,810
MacDermid, Inc. 51,500 1,604,740
*# Mace Security International, Inc. 11,200 62,832
* Mac-Gray Corp. 12,600 80,766
* Macromedia, Inc. 117,485 3,054,610
* Macrovision Corp. 83,800 1,951,702
* Madden (Steven), Ltd. 22,700 438,337
MAF Bancorp, Inc. 44,927 1,979,034
* Magic Lantern Group, Inc. 1,700 1,539
* Magma Design Automation, Inc. 56,783 1,084,555
*# Magna Entertainment Corp. 21,200 110,664
* Magnetek, Inc. 55,900 436,579
* Magnum Hunter Resources, Inc. 117,102 1,179,217
* MAI Systems Corp. 3,400 850
* MAII Holdings, Inc. 3,400 34
* Main Street & Main, Inc. 25,200 51,660
Main Street Banks, Inc. 32,000 846,720
Maine & Maritimes Corp. 1,600 48,880
* MAIR Holdings, Inc. 33,716 269,728
* Major Automotive Companies, Inc. 3,280 2,066
* Management Network Group, Inc. 47,100 110,685
* Manatron, Inc. 1,102 8,948
* Manchester Technologies, Inc. 8,000 30,232
* Manhattan Associates, Inc. 51,300 1,462,050
Manitowoc Co., Inc. 45,150 1,433,513
# Mannatech, Inc. 13,500 137,160
*# Manning (Greg) Auctions, Inc. 9,200 122,084
* Manugistic Group, Inc. 128,100 570,045
* Mapics, Inc. 47,156 469,202
* Mapinfo Corp. 33,400 334,000
* Marimba, Inc. 44,800 366,464
Marine Products Corp. 25,530 467,199
</Table>
39
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* MarineMax, Inc. 29,375 $ 782,844
* Marisa Christina, Inc. 6,700 8,710
Maritrans, Inc. 7,800 114,270
* MarketWatch.com, Inc. 41,820 475,912
MarkWest Hydrocarbon, Inc. 9,350 100,045
* Marlton Technologies, Inc. 7,800 4,602
Marsh Supermarkets, Inc. Class A 1,600 21,832
Marsh Supermarkets, Inc. Class B 4,500 62,190
* Marten Transport, Ltd. 9,450 164,052
*# Martha Stewart Living Omnimedia, Ltd. 32,100 293,715
MASSBANK Corp. 4,700 156,416
Massey Energy Co. 110,600 2,722,972
* Mastec, Inc. 81,450 347,792
* Material Sciences Corp. 24,200 250,470
* Matria Healthcare, Inc. 17,369 379,513
* Matritech, Inc. 30,500 35,685
* Matrix Bancorp, Inc. 6,500 77,350
* Matrix Service Co. 29,100 310,788
* MatrixOne, Inc. 83,200 568,256
*# Matrixx Initiatives, Inc. 15,200 130,872
Matthews International Corp. Class A 54,700 1,728,520
* Mattson Technology, Inc. 84,645 902,316
* Maui Land & Pineapple Company, Inc. 10,200 334,254
* Maverick Tube Corp. 71,400 1,642,200
* Max & Ermas Restaurants, Inc. 2,300 38,525
* Maxco, Inc. 3,100 10,230
Maxcor Financial Group, Inc. 11,672 130,376
* Maxicare Health Plans, Inc. 980 118
*# Maxim Pharmaceuticals, Inc. 47,233 420,846
* Maximus, Inc. 37,200 1,336,968
* Maxwell Shoe Company, Inc. 23,700 529,221
* Maxwell Technologies, Inc. 24,360 387,080
* Maxxam, Inc. 8,900 224,725
* Maxygen, Inc. 58,537 587,711
* Mayor's Jewelers, Inc. 20,300 11,774
* Mays (J.W.), Inc. 200 2,762
MB Financial, Inc. 45,500 1,532,895
MBT Financial Corp. 11,069 193,708
* McDATA Corp. 130,554 620,132
MCG Capital Corp. 64,442 998,207
McGrath Rent Corp. 20,569 640,724
*# McMoran Exploration Co. 28,164 403,308
McRae Industries, Inc. Class A 2,600 25,870
* Meade Instruments Corp. 33,400 106,880
* Meadow Valley Corp. 2,400 5,220
* Meadowbrook Insurance Group, Inc. 29,800 151,086
* Measurement Specialties, Inc. 12,900 256,452
* Mechanical Technology, Inc. 4,700 24,205
* Medarex, Inc. 134,470 1,125,514
* MedCath Corp. 27,449 554,470
*# Med-Design Corp. 28,300 59,147
* Media 100, Inc. 7,100 160
Media General, Inc. Class A 3,100 213,342
* Media Services Group, Inc. 471 3,989
* MediaBay, Inc. 11,800 6,018
* Mediacom Communications Corp. 154,100 1,248,210
*# Medialink Worldwide, Inc. 5,900 21,240
* Medical Action Industries, Inc. 16,900 297,609
* Medical Staffing Network Holdings, Inc. 51,200 $ 337,408
* Medicore, Inc. 3,800 12,426
* Medifast, Inc. 17,000 125,630
* Medquist, Inc. 64,700 797,751
* MedSource Technologies, Inc. 46,500 323,640
* MEDTOX Scientific, Inc. 5,030 51,306
* Memberworks, Inc. 17,500 500,850
* Mens Warehouse, Inc. 63,100 1,646,279
# Mentor Corp. 73,900 2,368,495
* Mentor Graphics Corp. 118,800 1,899,612
Mercantile Bank Corp. 1,260 41,051
Merchants Bancshares, Inc. 6,150 156,887
Merchants Group, Inc. 1,300 33,800
* Mercury Air Group, Inc. 4,950 29,700
* Mercury Computer Systems, Inc. 36,000 807,480
* Merge Technologies, Inc. 21,494 354,436
Meridian Bioscience, Inc. 25,236 255,666
* Meridian Resource Corp. 106,300 784,494
* Merit Medical Systems, Inc. 44,382 643,983
* Meritage Corp. 22,500 1,534,275
* Merix Corp. 32,013 342,539
* Merrimac Industries, Inc. 2,860 26,455
* Mesa Air Group, Inc. 53,935 413,681
Mesa Labs, Inc. 3,300 32,736
* Mestek, Inc. 5,400 85,104
* Meta Group, Inc. 12,700 58,420
* Metals USA, Inc. 27,600 411,240
* MetaSolv, Inc. 66,600 187,812
Methode Electronics, Inc. Class A 34,100 375,782
Met-Pro Corp. 8,100 120,690
* Metris Companies, Inc. 98,500 743,675
* Metro One Telecommunications, Inc. 39,650 66,216
MetroCorp. Bancshares, Inc. 7,000 105,350
* Metrologic Instruments, Inc. 36,100 535,002
* Metromedia International Group, Inc. 10,600 3,710
MFB Corp. 1,300 44,701
* MFRI, Inc. 4,900 14,627
MGE Energy, Inc. 30,992 940,297
# MGP Ingredients, Inc. 8,000 285,200
* Michael Anthony Jewelers, Inc. 7,400 10,545
* Micrel, Inc. 157,673 2,328,830
* Micro Component Technology, Inc. 14,052 19,251
* Micro Linear Corp. 12,000 72,360
* MicroFinancial, Inc. 15,200 44,080
* Micromuse, Inc. 117,493 695,559
* Micros Systems, Inc. 30,752 1,335,559
* Microsemi Corp. 100,500 1,230,120
* MicroStrategy, Inc. 10,200 489,702
* Microtek Medical Holdings, Inc. 72,910 328,897
* Micro-Therapeutics, Inc. 51,763 225,687
* Microtune, Inc. 63,300 216,486
*# Microvision, Inc. 36,446 310,884
* Midas, Inc. 26,000 497,900
Middleby Corp. 15,700 960,369
Middlesex Water Co. 8,400 165,144
Midland Co. 6,600 172,392
Mid-State Bancshares 40,096 899,754
*# Midway Games, Inc. 115,900 1,256,356
Midwest Banc Holdings, Inc. 30,050 687,845
* Midwest Express Holdings, Inc. 29,600 116,920
</Table>
40
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Mikohn Gaming Corp. 37,300 $ 183,143
* Milacron, Inc. 74,300 332,864
*# Milestone Scientific, Inc. 14,000 26,600
* Millennium Cell, Inc. 59,500 130,900
Millennium Chemicals, Inc. 101,800 1,728,564
* Miller Industries, Inc. 9,280 84,541
* Millerbuilding Systems Escrow Shares 3,200 960
* Miltope Group, Inc. Contigent Value Right 5,800 0
* MIM Corp. 38,000 297,920
* Mindspeed Technologies, Inc. 46,300 239,371
Mine Safety Appliances Co. 62,800 1,875,836
Minerals Technologies, Inc. 34,800 2,001,000
* Minorplanet Systems USA, Inc. 892 437
Minuteman International, Inc. 1,000 13,000
* MIPS Technologies, Inc. 66,200 459,428
*# Miravant Medical Technologies 1,800 5,274
* Misonix, Inc. 10,600 89,252
* Mission Resources Corp. 55,800 300,204
* Mitcham Industries, Inc. 8,700 36,540
* Mitek Systems, Inc. 11,100 6,938
* Mity Enterprises, Inc. 5,000 91,250
* MKS Instruments, Inc. 90,707 2,118,916
* Mobile Mini, Inc. 23,709 505,476
* Mobility Electronics, Inc. 47,000 389,160
* Mobius Management Systems, Inc. 17,100 102,600
Mocon, Inc. 5,500 42,680
* Modem Media, Inc. 9,500 53,295
Modine Manufacturing Co. 56,595 1,706,339
* Mod-Pac Corp. 2,750 23,128
* Mod-Pac Corp. Class B 1,112 9,352
* Modtech Holdings, Inc. 22,452 157,164
* Moldflow Corp. 17,886 199,608
* Molecular Devices Corp. 34,540 588,907
Monaco Coach Corp. 49,850 1,248,244
* Monarch Casino and Resort, Inc. 8,000 113,040
* Mondavi (Robert) Corp. Class A 16,300 567,566
* Monolithic System Technology, Inc. 49,133 342,948
* Monro Muffler Brake, Inc. 12,300 304,794
* Monterey Pasta Co. 24,200 87,120
* Mony Group, Inc. 6,100 190,564
* Moog, Inc. Class A 19,200 597,120
* Moog, Inc. Class B 3,300 118,388
* Morgan Group Holding Co. 4,400 330
* Morgan's Foods, Inc. 900 1,715
* Mossimo, Inc. 16,600 62,250
* Mother's Work, Inc. 8,854 195,319
* Motor Car Parts & Accessories, Inc. 2,500 21,250
Movado Group, Inc. 14,500 445,150
Movie Gallery, Inc. 56,000 1,041,040
* MPS Group, Inc. 185,800 2,058,664
* MPW Industrial Services Group 5,000 11,750
* MRO Software, Inc. 42,100 601,609
* MRV Communications, Inc. 178,900 475,874
* MSC Software Corp. 51,700 462,198
* MTC Technologies, Inc. 14,800 392,940
*# MTI Technology Corp. 1,300 3,848
* MTM Technologies, Inc. 4,900 8,183
* MTR Gaming Group, Inc. 48,468 451,237
MTS Systems Corp. 35,940 799,306
Mueller Industries, Inc. 58,145 $ 1,901,342
* Multi Color Corp. 2,250 35,145
*# Multimedia Games, Inc. 48,750 1,100,288
MutualFirst Financial, Inc. 2,000 44,265
Myers Industries, Inc. 50,063 676,351
* Mykrolis Corp. 69,900 1,132,380
* Myriad Genetics, Inc. 46,100 764,799
Mystic Financial, Inc. 1,575 45,069
* Nabi Biopharmaceuticals 97,150 1,632,120
Nacco Industries, Inc. Class A 6,500 576,810
*# Nanogen, Inc. 52,800 359,568
* Nanometrics, Inc. 20,394 260,839
*# Nanophase Technologies Corp. 29,498 212,091
*# Napco Security Systems, Inc. 4,300 37,840
Nara Bancorp, Inc. 19,500 600,210
Nash-Finch Co. 20,200 379,760
* Nashua Corp. 5,800 53,534
* Nassda Corp. 44,875 236,491
*# Nastech Pharmaceutical Co., Inc. 20,300 242,179
* NATCO Group, Inc. Class A 16,800 128,352
* Nathans Famous, Inc. 7,000 42,623
National Beverage Corp. 36,200 342,814
* National Dentex Corp. 3,500 106,418
* National Home Health Care Corp. 5,465 55,197
*# National Medical Health Card Systems, Inc. 12,600 453,726
National Penn Bancshares, Inc. 40,784 1,169,277
National Presto Industries, Inc. 6,800 267,920
* National Processing, Inc. 116,000 3,336,160
* National Research Corp. 7,000 117,600
* National RV Holdings, Inc. 17,300 205,870
* National Steel Corp. Class B 200 1
* National Technical Systems, Inc. 8,600 42,733
* National Western Life Insurance Co. Class A 1,000 146,150
* Natrol, Inc. 10,000 27,500
* Natural Alternatives International, Inc. 5,400 59,238
Nature's Sunshine Products, Inc. 24,550 365,795
* Natus Medical, Inc. 14,600 74,898
Nautilus Group, Inc. 55,400 834,878
* Navarre Corp. 43,600 536,280
* Navidec, Inc. 644 1,117
* Navigant Consulting, Inc. 77,200 1,578,740
*# Navigant International, Inc. 26,700 464,046
* Navigators Group, Inc. 21,371 617,622
NBT Bancorp 55,077 1,196,823
* NCI Building Systems, Inc. 33,100 962,217
* NCO Group, Inc. 45,884 1,137,477
# NDChealth Corp. 60,800 1,357,664
* NeighborCare, Inc. 73,800 2,214,000
* Nektar Therapeutics 89,769 1,929,136
Nelson (Thomas), Inc. 22,300 522,266
* Neoforma, Inc. 33,814 384,465
* Neogen Corp. 7,625 122,000
* NeoMagic Corp. 53,900 220,990
* NEON Systems, Inc. 8,600 30,186
* Neopharm, Inc. 39,417 433,587
* Neose Technologies, Inc. 33,900 283,743
* Neoware Systems, Inc. 23,800 205,632
* NES Rentals Holdings, Inc. 36 293
Net Perceptions, Inc. 22,600 20,340
</Table>
41
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Net2Phone, Inc. 74,200 $ 317,205
NetBank, Inc. 57,533 616,754
* Netegrity, Inc. 63,700 600,054
*# Netflix, Inc. 74,400 2,456,688
* Netguru, Inc. 17,200 25,972
* NetIQ Corp. 91,787 1,216,178
* NetManage, Inc. 10,442 68,395
* Netopia, Inc. 38,800 225,040
* NetRatings, Inc. 57,363 802,508
* Netscout System, Inc. 51,600 355,524
* NetSolve, Inc. 12,100 120,419
* Network Engines, Inc. 61,400 195,252
* Network Equipment Technologies, Inc. 40,800 300,288
*# Network Plus Corp. 14,500 25
* Neurobiological Technologies, Inc. 2,700 10,800
* Neurogen Corp. 74,113 697,403
Nevada Chemicals, Inc. 2,500 13,300
* Nevada Gold & Casinos, Inc. 20,350 299,145
* New Brunswick Scientific Co., Inc. 7,660 46,573
* New Century Equity Holdings Corp. 21,200 4,770
New Century Financial Corp. 51,150 2,230,652
New England Business Services, Inc. 22,600 991,462
New Hampshire Thrift BancShares, Inc. 200 5,960
* New Horizons Worldwide, Inc. 10,200 59,578
New Jersey Resources Corp. 46,600 1,829,982
Newmil Bancorp, Inc. 4,400 119,900
* Newpark Resources, Inc. 142,500 805,125
* Newport Corp. 65,418 950,524
* Newtek Business Services, Inc. 45,088 216,873
* Niagara Corp. 8,200 33,087
* NIC, Inc. 117,100 646,392
Nitches, Inc. 864 5,581
NL Industries, Inc. 78,876 985,950
* NMS Communications Corp. 62,000 533,200
* NMT Medical, Inc. 11,500 43,758
NN, Inc. 15,250 181,018
* Nobel Learning Communities, Inc. 6,500 42,738
Nobility Homes, Inc. 4,100 85,075
Noble International, Ltd. 14,360 414,286
* Noel Group, Inc. 8,000 24
# Noland Co. 200 8,556
Nordson Corp. 59,277 2,242,449
* Norstan, Inc. 22,400 72,128
* North America Galvanizing & Coatings, Inc. 6,700 13,400
* North American Scientific, Inc. 17,600 157,520
North Central Bancshares, Inc. 1,700 64,294
North Pittsburgh Systems, Inc. 25,066 483,774
Northeast Bancorp 900 17,429
Northeast Pennsylvania Financial Corp. 4,400 77,110
Northern Technologies International Corp. 3,000 14,160
*# Northfield Laboratories, Inc. 32,300 424,745
* Northland Cranberries, Inc. 4,400 2,904
Northrim BanCorp, Inc. 6,068 121,368
*# Northwest Airlines Corp. 147,700 1,493,247
Northwest Bancorp, Inc. 79,904 1,777,065
# Northwest Natural Gas Co. 44,200 1,286,662
* Northwest Pipe Co. 6,300 $ 92,610
* Novamed Eyecare, Inc. 36,300 131,769
* Novavax, Inc. 59,000 277,300
* Noven Pharmaceuticals, Inc. 39,408 755,845
* Novoste Corp. 27,800 83,400
*# NPS Pharmaceuticals, Inc. 62,900 1,365,559
* NS Group, Inc. 35,500 472,150
* NTN Communications, Inc. 89,193 267,579
* Nu Horizons Electronics Corp. 28,400 230,892
*# Nucentrix Broadband Networks, Inc. 10,400 23,140
* NuCo2, Inc. 16,000 313,120
NUI Corp. 29,892 406,232
* Numerex Corp. Class A 10,800 49,680
NuSkin Enterprises, Inc. 101,400 2,271,360
* Nutraceutical International Corp. 18,976 465,102
* Nutramax Products, Inc. 3,300 3
* Nutrition 21, Inc. 4,900 3,185
* Nuvelo, Inc. 40,322 350,801
NWH, Inc. 4,200 78,813
* NYFIX, Inc. 50,081 252,408
Nymagic, Inc. 8,700 223,590
* O'Charleys, Inc. 38,050 692,891
* O.I. Corp. 2,700 22,707
Oak Hill Financial, Inc. 3,000 95,550
Oakley, Inc. 115,700 1,552,694
* Obie Media Corp. 5,900 20,827
* Oceaneering International, Inc. 42,200 1,333,942
OceanFirst Financial Corp. 22,032 491,314
* Ocular Sciences, Inc. 41,600 1,389,856
* Ocwen Financial Corp. 115,234 1,433,511
* Odd Job Stores, Inc. 12,700 20,511
* Odetics, Inc. Series B 200 750
* Odyssey Healthcare, Inc. 61,500 1,042,425
* Offshore Logistics, Inc. 38,400 882,048
*# Oglebay Norton Co. 2,500 350
* Ohio Casualty Corp. 103,700 1,944,375
* Oil States International, Inc. 83,831 1,190,400
Oil-Dri Corp. of America 4,200 67,494
* Old Dominion Freight Lines, Inc. 40,950 1,137,182
Olin Corp. 117,452 1,932,085
* Olympic Steel, Inc. 9,600 136,320
* OM Group, Inc. 48,200 1,286,458
Omega Financial Corp. 8,200 270,436
* Omega Protein Corp. 39,200 423,360
* OMNI Energy Services Corp. 18,900 94,500
* Omnicell, Inc. 41,500 554,025
* OmniVision Technologies, Inc. 75,500 1,768,210
* Omnova Solutions, Inc. 13,900 71,724
* Omtool, Ltd. 3,570 37,485
* On Assignment, Inc. 42,800 251,236
*# ON Semiconductor Corp. 397,951 2,304,136
* On2.cCom, Inc. 75,000 55,500
* One Price Clothing Stores, Inc. 2,957 59
*# Oneida, Ltd. 28,900 35,836
* OneSource Information Services, Inc. 11,900 104,958
* Online Resources Corp. 30,000 221,400
* Onyx Acceptance Corp. 5,100 77,265
* Onyx Pharmacueticals, Inc. 54,800 2,573,956
* ONYX Software Corp. 23,800 91,630
* OPENT Technologies, Inc. 33,900 472,227
* OpenTV Corp. 39,946 101,063
</Table>
42
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Openwave Systems Inc 106,599 $ 1,190,711
* Opinion Research Corp. 6,700 46,498
* Oplink Communications, Inc. 53,100 106,731
* Opsware, Inc. 80,250 647,618
* Opti, Inc. 11,600 17,980
* Optical Cable Corp. 8,700 46,797
* Optical Communication Products, Inc. 74,050 167,353
* Optical Sensors, Inc. 1,633 6,777
* Optika, Inc. 8,200 29,766
Option Care, Inc. 35,800 482,226
* OraSure Technologies, Inc. 75,500 557,945
* Orbit International Corp. 1,582 11,202
* Orbital Sciences Corp. 82,800 1,039,140
*# Orchid Biosciences, Inc. 9,381 68,012
* Oregon Steel Mills, Inc. 45,000 507,150
* Orleans Homebuilders, Inc. 28,600 523,380
* Orphan Medical, Inc. 10,300 92,288
*# Orthodontic Centers of America, Inc. 85,151 728,041
* Orthologic Corp. 58,713 471,465
*# Oscient Pharmaceutical Corp. 128,400 602,196
Oshkosh B'Gosh, Inc. Class A 17,000 383,690
*# OSI Systems, Inc. 24,800 553,784
* Osteotech, Inc. 29,100 181,584
Otter Tail Co. 43,800 1,119,528
Outlook Group Corp. 2,400 14,760
* Overland Storage, Inc. 23,075 330,434
Overseas Shipholding Group, Inc. 59,725 2,277,912
*# Overstock Com 28,400 1,022,116
Owens & Minor, Inc. 66,700 1,614,140
Oxford Industries, Inc. 27,500 1,013,375
* Oxigene, Inc. 12,600 92,862
* Oxis International, Inc. 7,900 5,293
* OYO Geospace Corp. 5,100 89,194
* P&F Industries, Inc. Class A 1,300 10,173
* P.F. Chang's China Bistro, Inc. 43,300 1,959,758
Pacific Capital Bancorp 57,833 2,131,146
* Pacific Mercantile Bancorp 5,900 64,310
* Pacific Premier Bancorp, Inc. 3,900 44,889
Packaging Dynamics Corp. 4,120 55,002
* Packeteer, Inc. 55,800 797,382
* Pac-West Telecomm, Inc. 23,100 27,258
* Pain Therapeutics, Inc. 60,115 470,099
* Palatin Technologies, Inc. 62 233
* Paligent, Inc. 347 73
* Palm Harbor Homes, Inc. 38,811 735,080
*# Palmone Inc 78,284 1,661,969
* Palmsource Inc 21,681 439,040
* PAM Transportation Services, Inc. 19,250 356,125
Pamrapo Bancorp, Inc. 5,100 126,888
* Panavision, Inc. 3,600 23,310
*# Panera Bread Co. 44,900 1,558,928
* Pantry, Inc. 33,700 611,655
*# Papa John's International, Inc. 30,000 872,700
* Par Technology Corp. 7,800 81,120
* Paradyne Networks Corp. 97,955 463,327
* Paragon Technologies, Inc. 4,200 42,000
* Parallel Petroleum Corp. 42,900 169,412
* Parametric Technology Corp. 447,395 2,169,866
* Parexel International Corp. 44,400 878,676
Park Bancorp, Inc. 1,200 36,864
Park Electrochemical Corp. 33,650 $ 839,904
* Parker Drilling Co. 160,200 514,242
*# Parkervision, Inc. 19,300 106,922
* Park-Ohio Holdings Corp. 10,400 125,840
Parkvale Financial Corp. 5,700 151,506
* Parlex Corp. 13,800 83,766
* Parlux Fragrances, Inc. 9,900 90,486
* Party City Corp. 29,522 433,678
* Pathmark Stores, Inc. 49,179 331,958
* Patient Infosystems, Inc. 733 2,566
Patina Oil & Gas Corp. 64,930 1,716,749
* Patrick Industries, Inc. 4,500 46,350
# Patriot Bank Corp. 6,930 194,872
* Patriot Transportation Holding, Inc. 2,500 90,438
* Paula Financial, Inc. 6,100 17,385
* Paul-Son Gaming Corp. 4,100 16,031
* Paxar Corp. 67,300 1,240,339
* Paxson Communications Corp. 98,100 275,661
* Payless Cashways, Inc. 160 0
* Payless ShoeSource, Inc. 115,700 1,897,480
* PC Connection, Inc. 39,750 304,883
* PC Mall, Inc. 18,400 303,416
* PC-Tel, Inc. 37,700 412,438
* PDF Solutions, Inc. 43,159 387,999
* PDI, Inc. 24,498 705,542
* PDS Gaming Corp. 1,100 2,046
* PEC Solutions, Inc. 43,600 453,440
* Pediatric Services of America, Inc. 10,900 135,160
* Pediatrix Medical Group, Inc. 32,200 2,128,420
* Peerless Manufacturing Co. 3,000 32,130
* Peerless Systems Corp. 24,300 30,375
* Peet's Coffee & Tea, Inc. 22,311 508,245
*# Pegasus Communications Corp. 8,770 142,249
* Pegasus Solutions, Inc. 40,533 466,130
* Pegasystems, Inc. 60,259 512,804
* Pemco Aviation Group, Inc. 950 30,865
* Pemstar, Inc. 73,200 192,516
Penford Corp. 7,300 125,560
Penn Engineering & Manufacturing Corp. Class A 1,200 18,360
Penn Engineering & Manufacturing Corp. Non-Voting 15,000 263,100
* Penn National Gaming, Inc. 67,800 2,032,644
* Penn Treaty American Corp. 24,800 52,824
Penn Virginia Corp. 15,500 965,650
Penn-America Group, Inc. 24,500 323,400
Pennfed Financial Services, Inc. 7,400 224,072
Penns Woods Bancorp, Inc. 770 33,534
* Penwest Pharmaceuticals Co. 31,400 346,028
Peoples Bancorp, Inc. 300 7,463
Pep Boys - Manny, Moe & Jack 84,400 2,066,956
* Perceptron, Inc. 13,850 92,795
* Performance Technologies, Inc. 21,600 234,144
* Pericom Semiconductor Corp. 41,800 447,678
* Perini Corp. 39,200 427,280
* Perot Systems Corp. 60,900 828,849
Perrigo Co. 110,900 2,269,014
* Perry Ellis International, Inc. 13,600 326,128
* Per-Se Technologies, Inc. 50,000 650,000
* Pervasive Software, Inc. 37,339 227,768
* PetMed Express, Inc. 15,565 132,303
</Table>
43
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Petrocorp, Inc. Escrow Shares 6,900 $ 414
* Petroleum Development Corp. 27,133 666,658
PFF Bancorp, Inc. 28,700 1,142,834
* Pfsweb, Inc. 9 15
* Pharmacopia Drug Discovery, Inc. 26,450 184,092
* Pharmacyclics, Inc. 32,600 390,222
*# Pharmanetics, Inc. 9,500 6,650
* PharmChem, Inc. 5,100 816
* Pharmos Corp. 6,200 20,956
* Philadelphia Consolidated Holding Corp. 37,200 2,108,496
Phillips-Van Heusen Corp. 52,200 988,146
* Phoenix Gold International, Inc. 1,000 1,240
* Phoenix Technologies, Ltd. 38,990 257,334
* Photo Control Corp. 1,000 2,750
* PhotoMedex, Inc. 49,800 176,790
* Photon Dynamics, Inc. 28,100 906,787
* Photronics, Inc. 53,300 942,344
* Physiometrix, Inc. 7,400 12,580
* Piccadilly Cafeterias, Inc. 10,400 10
* Pico Holdings, Inc. 12,300 224,475
Piedmont Natural Gas Co. 32,500 1,332,825
Pilgrims Pride Corp. Class B 29,500 792,960
* Pinnacle Entertainment, Inc. 59,800 681,720
* Pinnacle Systems, Inc. 115,400 838,958
* Pioneer Drilling Co. 1,500 9,630
* Pixelworks, Inc. 51,000 922,080
* Pizza Inn, Inc. 10,000 29,200
* Plains Exploration & Production Co. 98,563 1,754,421
* Plains Resources, Inc. 40,100 687,314
* Planar Systems, Inc. 24,800 313,720
* Plantronics, Inc. 27,700 1,101,075
* Plato Learning, Inc. 39,066 411,756
* Play By Play Toys and Novelties, Inc. 3,300 8
* Playboy Enterprises, Inc. Class A 4,700 51,700
* Playboy Enterprises, Inc. Class B 47,100 568,968
* Playtex Products, Inc. 104,100 744,315
* Plexus Corp. 73,000 1,072,370
* Plug Power, Inc. 124,043 944,215
* PLX Technology, Inc. 40,500 603,855
* Plymouth Rubber, Inc. Class B 200 68
PMA Capital Corp. Class A 51,800 361,046
PNM Resources, Inc. 68,400 2,055,420
Pocahontas Bancorp, Inc. 4,400 75,130
*# Point Therapeutics, Inc. 660 4,125
* Point.360 9,000 28,980
PolyMedica Corp. 44,600 1,289,386
* Polyone Corp. 94,200 649,038
Pomeroy IT Solutions, Inc. 20,195 256,880
Pope & Talbot, Inc. 26,700 446,691
* Porta Systems Corp. 9,600 1,056
* Portal Software, Inc. 70,020 322,092
* Possis Medical, Inc. 30,200 861,304
Potlatch Corp. 50,100 1,891,275
* Powell Industries, Inc. 18,090 309,158
* Power Intergrations, Inc. 51,900 1,429,326
PowerCerv Corp. 1,755 1,106
* Power-One, Inc. 141,700 1,428,336
*# Powerwave Technologies, Inc. 107,800 863,478
* Pozen, Inc. 48,500 481,120
* PPT Vision, Inc. 6,800 9,588
* PRAECIS Pharmaceuticals, Inc. 88,204 $ 367,811
Preformed Line Products Co. 1,200 33,000
* Premier Financial Bancorp 5,200 47,892
*# Premier Laser Systems, Inc. Class A 3,400 2
*# Pre-Paid Legal Services, Inc. 27,750 653,790
Presidential Life Corp. 49,400 835,848
* Presstek, Inc. 58,198 600,021
*# PRG-Schultz International, Inc. 104,100 469,491
* Price Communications Corp. 95,970 1,386,767
*# Priceline.com, Inc. 45,116 1,182,039
* Pricesmart, Inc. 9,600 52,896
* Prima Energy Corp. 22,062 840,562
* Prime Hospitality Corp. 76,400 757,124
* Prime Medical Services, Inc. 38,628 225,974
* PRIMEDIA, Inc. 437,638 1,304,161
* Primus Knowledge Solutions, Inc. 16,500 35,145
* Primus Telecommunications Group, Inc. 86,000 521,160
* Princeton Review, Inc. 14,600 104,098
* Printronix, Inc. 5,800 84,100
* Priority Healthcare Corp. 62,636 1,265,247
* Private Business, Inc. 945 2,174
* Proassurance Corp. 49,450 1,635,312
* Procom Technology, Inc. 5,400 6,588
* Procurenet, Inc. 19,700 20
* Progenics Pharmaceuticals, Inc. 28,500 500,175
Programmers Paradise, Inc. 5,200 38,428
* Progress Software Corp. 60,700 1,135,697
* ProQuest Co. 48,300 1,259,664
* ProsoftTraining.com 500 380
Prosperity Bancshares, Inc. 34,200 800,622
* Protection One, Inc. 91,400 17,823
* Protein Design Labs, Inc. 13,144 256,439
Providence & Worcester Railroad Co. 3,000 30,600
Provident Bancorp, Inc. 23,047 240,611
Provident Bankshares Corp. 41,877 1,208,151
Provident Financial Group, Inc. 19,500 780,780
Provident Financial Holdings, Inc. 8,325 207,293
* Province Healthcare Co. 82,825 1,326,857
* Proxim Corp. 67,269 89,468
* ProxyMed, Inc. 2,692 51,148
* PSS World Medical, Inc. 114,600 1,151,730
Psychemedics Corp. 5,225 57,475
* Psychiatric Solutions, Inc. 19,633 486,506
* PTEK Holdings, Inc. 97,928 1,027,265
Pulaski Financial Corp. 5,400 90,180
Pulitzer, Inc. 14,700 691,635
* Pure World, Inc. 7,600 14,592
* PW Eagle, Inc. 7,000 24,010
Pyramid Breweries, Inc. 5,700 12,483
* Qad, Inc. 57,783 610,766
* QEP Co., Inc. 2,125 32,279
* QRS Corp. 26,700 146,583
*# QuadraMed Corp. 27,006 82,368
Quaker Chemical Corp. 16,320 418,282
Quaker City Bancorp, Inc. 2,734 149,331
Quaker Fabric Corp. 28,550 227,544
* Quality Dining, Inc. 11,400 25,650
* Quality Systems, Inc. 10,100 471,973
* Qualstar Corp. 5,500 32,753
Quanex Corp. 27,900 1,242,945
</Table>
44
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Quanta Services, Inc. 194,000 $ 1,028,200
* Quantum Corp.- DLT 91,700 270,515
* Quantum Fuel Systems Technologies Worldwide, Inc. 50,930 255,159
* Quest Software, Inc. 134,100 1,784,871
*# Questcor Pharmaceuticals, Inc. 26,800 22,512
* Quicklogic Corp. 39,000 116,961
* Quidel Corp. 53,544 299,311
* Quigley Corp. 19,300 153,223
* Quiksilver, Inc. 94,700 2,194,199
* Quinton Cardiology Systems, Inc. 24,200 253,858
* Quipp, Inc. 1,400 21,000
Quixote Corp. 13,691 287,511
*# Quokka Sports, Inc. 1,128 14
* Quovadx, Inc. 62,047 66,390
* R & B, Inc. 8,400 157,500
* R H Donnelley Corp. 52,800 2,275,680
* Radiant Systems, Inc. 64,344 288,905
* Radiologix, Inc. 36,100 142,956
* RadiSys Corp. 31,662 527,489
*# Radyne ComStream, Inc. 9,500 82,840
* Rag Shops, Inc. 2,415 7,970
* Railamerica, Inc. 56,100 715,275
* Raindance Communictions, Inc. 73,896 161,093
* Ralcorp Holdings, Inc. 49,400 1,647,490
* Ramtron International Corp. 37,700 185,107
Range Resources Corp. 96,300 1,143,081
* Rare Hospitality International, Inc. 57,382 1,467,832
Raven Industries, Inc. 15,355 488,135
* Rayovac Corp. 57,900 1,569,090
* Raytech Corp. 16,400 33,620
* RC2 Corp. 29,594 827,448
* RCM Technologies, Inc. 10,500 56,175
*# RCN Corp. 82,600 14,868
* Reading International, Inc. Class A 18,149 153,178
* Reading International, Inc. Class B 1,060 8,745
* RealNetworks , Inc. 287,000 1,724,870
*# Redhook Ale Brewery, Inc. 9,300 20,274
Redwood Empire Bancorp 5,250 118,913
Regal-Beloit Corp. 40,404 826,262
* Regeneration Technologies, Inc. 44,352 407,151
* Regeneron Pharmaceuticals, Inc. 84,100 944,443
* Regent Communications, Inc. 75,913 447,887
* Register.Com, Inc. 44,100 230,202
* Rehabcare Group, Inc. 27,500 686,950
* Reliability, Inc. 6,300 6,930
Reliance Steel & Aluminum Co. 54,557 1,996,241
Reliv International, Inc. 25,132 267,153
*# Relm Wireless Corp. 7,600 18,240
* Remec, Inc. 96,850 634,368
* RemedyTemp, Inc. 6,600 85,945
* Remington Oil & Gas Corp. 46,000 954,040
# Renaissance Learning, Inc. 52,600 1,104,074
* Rentrak Corp. 16,500 146,850
* Rent-Way, Inc. 46,300 430,590
* Repligen Corp. 51,000 127,500
* Reptron Electronics, Inc. 8,800 0
*# Reptron Electronics, Inc. 343 2,504
Republic Bancorp, Inc. 108,783 1,445,726
Republic Bancorp, Inc. Class A 15,225 293,081
* Republic First Bancorp, Inc. 6,334 75,375
* Res-Care, Inc. 37,785 $ 524,078
* ResMed, Inc. 41,300 2,098,040
Resource America, Inc. 29,551 644,212
* Resources Connection, Inc. 38,668 1,648,030
* Respironics, Inc. 37,200 1,978,668
* Restoration Hardware, Inc. 55,600 373,076
* Retail Ventures Inc. 56,600 409,218
* Retek, Inc. 93,100 607,012
* Revlon, Inc. 162,400 532,672
* Rewards Network, Inc. 41,600 410,176
* Rex Stores Corp. 18,600 228,780
* Rexhall Industries, Inc. 3,542 6,163
* RF Monolithics, Inc. 12,700 121,666
*# Rhythms NetConnections, Inc. 8,900 1
Richardson Electronics, Ltd. 18,527 209,540
* Rigel Pharmaceuticals, Inc. 2,222 39,463
Riggs National Corp. 49,299 1,076,690
* Rimage Corp. 8,600 121,518
* Rita Medical Systems, Inc. 30,350 150,840
* Riverside Group, Inc. 1,000 33
Riverview Bancorp, Inc. 4,500 93,555
Rivianna Foods, Inc. 16,700 438,208
* Riviera Holdings Corp. 3,600 31,284
RLI Corp. 42,000 1,510,740
* Roadhouse Grill, Inc. 13,340 3,335
Roanoke Electric Steel Corp. 9,900 130,185
Robbins & Myers, Inc. 24,600 543,660
*# Robotic Vision Systems, Inc. 3,480 11,658
* Rochester Medical Corp. 5,300 43,036
Rock of Ages Co. 4,400 35,772
*# Rockford Corp. 14,600 72,270
Rock-Tenn Co. Class A 61,200 983,484
Rocky Mountain Chocolate Factory, Inc. 4,015 38,745
* Rocky Shoes & Boots, Inc. 4,500 92,070
* Rofin-Sinar Technologies, Inc. 25,300 662,126
* Rogers Corp. 27,500 1,689,875
Rollins, Inc. 77,100 1,880,469
* Ross Systems, Inc. 2,600 47,297
*# Roxio, Inc. 1,629 7,282
Royal Bancshares of Pennsylvania Class A 4,430 101,181
Royal Gold, Inc. 35,335 492,217
* Royale Energy, Inc. 3,523 49,812
RPC, Inc. 28,600 391,820
* RSA Security, Inc. 104,200 1,911,028
* RTI International Metals, Inc. 36,000 522,360
* RTW, Inc. 5,150 33,284
* Rubio's Restaurants, Inc. 18,495 122,437
Ruddick Corp. 78,800 1,620,128
* Rudolph Technologies, Inc. 28,400 528,240
* Rural Cellular Corp. Class A 2,800 25,172
* Rural/Metro Corp. 14,000 17,500
* Rush Enterprises, Inc. Class A 7,000 82,670
* Rush Enterprises, Inc. Class B 7,000 84,959
Russ Berrie & Co., Inc. 34,500 931,500
Russell Corp. 54,500 892,710
* Ryan's Family Steak Houses, Inc. 71,800 1,208,394
Ryerson Tull, Inc. 41,800 560,538
* S&K Famous Brands, Inc. 2,100 35,753
S&T Bancorp, Inc. 45,400 1,357,460
</Table>
45
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* S1 Corp. 120,498 $ 1,131,476
* Saba Software, Inc. 22,900 80,150
* Safeguard Scientifics, Inc. 203,500 518,925
* SafeNet, Inc. 39,904 929,763
* Safety Components International, Inc. 118 1,578
* Saga Communications, Inc. Class A 30,925 579,844
* Salem Communications Corp. 30,440 913,200
*# Salton, Inc. 18,500 104,710
* San Filippo (John B.) & Son, Inc. 17,893 445,894
Sanders Morris Harris Group, Inc. 29,532 397,205
Sanderson Farms, Inc. 33,400 1,536,400
* Sands Regent Casino Hotel 2,000 13,660
Sandy Spring Bancorp, Inc. 23,756 831,460
* Sangamo BioSciences, Inc. 42,450 266,162
* Sapient Corp. 200,923 1,205,538
* Satcon Technology Corp. 46,700 128,425
Saucony, Inc. Class A 2,700 55,077
Saucony, Inc. Class B 3,500 70,630
Sauer-Danfoss, Inc. 49,600 770,784
* Savient Pharmaceuticals, Inc. 76,600 185,372
* Saxon Capital, Inc. 17,400 415,338
* SBA Communications Corp. 88,500 341,610
* SBE, Inc. 3,500 12,215
* SBS Technologies, Inc. 25,730 476,005
* ScanSoft, Inc. 217,760 1,141,062
* ScanSource, Inc. 21,200 1,128,900
Schawk, Inc. Class A 22,200 294,150
* Scheid Vineyards, Inc. 2,200 11,022
* Schick Technologies, Inc. 9,000 86,850
* Schieb (Earl), Inc. 2,200 7,282
* Schlotzskys, Inc. 7,200 10,937
* Schmitt Industries, Inc. 2,466 6,042
Schnitzer Steel Industries, Inc. Class A 62,351 1,724,629
* Scholastic Corp. 64,381 1,818,119
* Schuff International, Inc. 7,000 16,380
Schulman (A.), Inc. 49,687 992,249
Schweitzer-Maudoit International, Inc. 25,500 717,825
* Sciclone Pharmaceuticals, Inc. 75,746 376,458
* Scientific Games Corp. 106,058 1,964,194
* Scientific Learning Corp. 4,400 24,244
* Scientific Technologies, Inc. 6,700 38,391
* SciQuest, Inc. 5,900 35,459
* SCM Microsystems, Inc. 25,663 163,473
SCP Pool Corp. 56,700 2,282,175
SCPIE Holdings, Inc. 9,300 81,003
* SCS Transportation, Inc. 24,350 553,963
Seaboard Corp. 1,400 523,600
* Seabulk International, Inc. 46,800 415,116
* Seachange International, Inc. 46,200 689,766
Seacoast Banking Corp. 14,808 296,752
Seacoast Financial Services Corp. 11,076 379,464
*# Seacor Smit, Inc. 33,500 1,341,340
* Seattle Genetics, Inc. 67,634 466,675
* Secom General Corp. 140 177
Second Bancorp, Inc. 9,900 316,008
* Secure Computing Corp. 60,274 534,028
* SED International Holdings, Inc. 825 1,254
* SeeBeyond Technology Corp. 142,000 428,840
* SEEC, Inc. 3,000 750
* Segue Software, Inc. 9,500 35,008
* Selas Corp. of America 4,750 $ 14,250
* Select Comfort Corp. 61,300 1,661,230
Select Medical Corp. 103,800 1,391,958
* Selectica, Inc. 66,500 291,337
Selective Insurance Group, Inc. 47,079 1,700,964
SEMCO Energy, Inc. 47,900 274,946
* Semitool, Inc. 48,500 555,325
* Semtech Corp. 69,436 1,744,232
* SEMX Corp. 4,600 690
* Seneca Foods Corp. Class A 200 3,750
* Seneca Foods Corp. Class B 1,300 24,141
# Sensient Technologies Corp. 81,200 1,640,240
* Sensytech, Inc. 10,414 224,640
* Sequa Corp. Class A 6,900 339,135
* Sequa Corp. Class B 2,600 131,820
* Sequenom, Inc. 64,500 103,845
* SeraCare Life Sciences, Inc. 4,080 46,512
*# Serena Software, Inc. 66,400 1,410,336
* Serologicals Corp. 41,950 718,604
* Service Corp. International 261,400 1,882,080
* ServiceWare Technologies, Inc. 2,900 1,682
* Servotronics, Inc. 1,100 4,285
* SFBC International, Inc. 24,750 602,168
* Shared Technologies Cellular, Inc. 10,100 6
* Sharper Image Corp. 25,800 727,560
*# Shaw Group, Inc. 107,487 1,268,347
* Sheffield Pharmceuticals, Inc. 25 0
* Shiloh Industries, Inc. 13,500 146,880
* Shoe Carnival, Inc. 20,879 287,713
* Shoe Pavilion, Inc. 6,200 14,477
* Sholodge, Inc. 5,100 34,425
* Shopko Stores, Inc. 49,700 677,908
*# Shuffle Master, Inc. 42,387 1,418,693
* Siebert Financial Corp. 22,300 93,437
Sierra Bancorp 1,700 25,840
* Sierra Health Services, Inc. 45,936 1,965,601
*# Sierra Pacific Resources 199,300 1,486,778
* Sifco Industries, Inc. 5,400 22,140
*# Sigma Designs, Inc. 34,800 232,464
* Sigmatron International, Inc. 2,200 26,730
Silgan Holdings, Inc. 31,200 1,308,528
*# Silicon Graphics, Inc. 340,500 643,545
* Silicon Image, Inc. 125,089 1,488,559
* Silicon Storage Technology, Inc. 158,500 2,052,575
* Silicon Valley Bancshares 59,500 2,223,515
* Siliconix, Inc. 37,437 1,803,340
* Simclar, Inc. 6,500 19,305
Simmons First National Corp. Class A 24,000 578,160
* SimpleTech, Inc. 75,057 282,214
Simpson Manufacturing Co., Inc. 41,300 2,263,240
* Sinclair Broadcast Group, Inc. Class A 78,000 861,900
* Sipex Corp. 56,200 362,490
* Sirenza Microdevices, Inc. 54,466 218,409
*# Sirna Therapeutics, Inc. 42,625 133,843
* Sitel Corp. 122,200 382,486
* Six Flags, Inc. 157,905 1,105,335
SJW Corp. 9,000 292,500
* Skechers U.S.A., Inc. Class A 31,800 365,700
Skyline Corp. 8,300 332,166
Skywest, Inc. 98,446 1,647,002
</Table>
46
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
*# Skyworks Solutions, Inc. 186,317 $ 1,665,674
* SL Industries, Inc. 5,900 63,720
* SM&A 33,300 269,730
* Smart & Final Food, Inc. 50,700 787,878
* SmartDisk Corp. 2,500 450
* Smith & Wollensky Restaurant Group, Inc. 13,400 86,296
Smith (A.O.) Corp. 34,600 1,018,970
Smith (A.O.) Corp. Convertible Class A 3,750 110,438
* Smith Micro Software, Inc. 21,400 44,512
* Smithway Motor Xpress Corp. Class A 4,000 9,880
* Sola International, Inc. 54,300 1,052,877
* Somera Communications, Inc. 59,150 82,810
Sonic Automotive, Inc. 50,800 1,115,060
* Sonic Corp. 100,537 2,229,911
*# Sonic Foundry, Inc. 42,300 66,411
* Sonic Innovations, Inc. 34,700 355,675
* Sonic Solutions 36,800 782,000
* SonicWALL, Inc. 116,800 929,728
* SonoSite, Inc. 24,645 525,678
* Sonus Networks, Inc. 54,057 294,611
*# Sonus Pharmaceuticals, Inc. 30,900 145,230
* Sorrento Networks Corp. 17,800 52,154
* Sotheby's Holdings, Inc. Class A 80,900 1,206,219
Sound Federal Bancorp, Inc. 21,108 273,349
* Source Information Management, Inc. 39,200 411,600
* Source Media, Inc. 27,400 219
* Sourcecorp, Inc. 26,602 683,139
South Financial Group, Inc. 60,927 1,679,148
South Jersey Industries, Inc. 23,064 968,457
Southern Banc Company, Inc. 200 3,675
* Southern Energy Homes, Inc. 13,825 56,890
* Southern Union Co. 88,194 1,774,463
Southside Banchares, Inc. 315 5,733
* Southwall Technologies, Inc. 14,200 6,390
Southwest Bancorp, Inc. 11,400 195,168
Southwest Bancorporation of Texas, Inc. 54,700 2,291,930
Southwest Gas Corp. 58,700 1,326,620
Southwest Water Co. 25,170 305,564
* Southwestern Energy Co. 61,200 1,564,272
*# Spacehab, Inc. 21,100 86,721
Span-American Medical System, Inc. 2,400 28,296
* Spanish Broadcasting System, Inc. 63,000 607,950
* SPAR Group, Inc. 2,900 3,857
Spartan Motors, Inc. 20,845 241,594
* Spartan Stores, Inc. 31,675 137,501
Spartech Corp. 50,000 1,144,000
* Sparton Corp. 7,938 66,441
* Specialty Laboratories, Inc. 38,600 348,172
SpectraLink Corp. 32,200 484,288
* Spectranetics Corp. 41,502 248,597
* Spectrum Control, Inc. 13,000 106,470
* SpectRx, Inc. 8,900 16,910
# Speedway Motorsports, Inc. 67,190 2,258,928
* Spescom Software, Inc. 1,202 649
* Spherion Corp. 102,320 945,437
* Spherix, Inc. 12,100 72,479
* Spiegel, Inc. Class A Non-Voting 100 6
* Spinnaker Exploration Co. 57,090 $ 1,902,810
* Spire Corp. 6,700 32,897
* Sport Chalet, Inc. 2,700 33,750
* Sport Supply Group, Inc. 8,900 10,458
* Sport-Haley, Inc. 2,700 14,418
* Sports Club Co., Inc. 20,100 32,160
* SportsLine.Com, Inc. 33,400 33,400
* Sportsman's Guide, Inc. 8,000 154,080
* SPSS, Inc. 27,637 460,156
* SRA International, Inc. 29,500 1,143,715
* SRI/Surgical Express, Inc. 6,100 42,151
* SRS Labs, Inc. 24,330 113,378
SS&C Technologies, Inc. 31,850 732,232
# St. Mary Land & Exploration Co. 50,500 1,641,755
* Staar Surgical Co. 31,300 236,628
* Stamps.com, Inc. 37,023 489,074
*# Standard Automotive Corp. 4,400 0
Standard Commercial Corp. 21,129 348,417
* Standard Management Corp. 7,600 26,220
* Standard Microsystems Corp. 30,600 754,902
Standard Motor Products, Inc. Class A 29,300 410,200
Standard Register Co. 40,300 491,257
Standex International Corp. 20,800 539,136
Stanley Furniture, Inc. 6,700 277,179
Star Buffet, Inc. 2,800 18,116
*# Star Scientific, Inc. 78,311 241,198
* Starbiz Restrictive Shares 2 0
* Starcraft Corp. 2,756 30,096
Starrett (L.S.) Co. Class A 4,800 75,504
StarTek, Inc. 24,400 813,984
State Auto Financial Corp. 67,520 2,056,659
State Financial Services Corp. Class A 7,800 221,676
* Steak n Shake Co. 46,318 814,734
*# Steel Dynamics, Inc. 83,458 2,136,525
Steel Technologies, Inc. 20,150 430,203
* SteelCloud Co. 12,100 30,008
* Stein Mart, Inc. 71,416 1,031,247
* Steinway Musical Instruments, Inc. 12,500 425,000
* Stellent, Inc. 37,200 296,484
* Stemcells, Inc. 2,600 3,562
Stepan Co. 8,400 203,700
Stephan Co. 3,500 15,960
Sterling Bancorp 26,176 736,593
Sterling Bancshares 75,899 996,554
* Sterling Financial Corp. 37,370 1,192,113
Stewart & Stevenson Services, Inc. 48,702 825,499
* Stewart Enterprises, Inc. 183,033 1,376,408
Stewart Information Services Corp. 28,400 969,860
* Stifel Financial Corp. 6,100 153,110
* Stillwater Mining Co. 148,000 2,242,200
* Stone Energy Corp. 45,063 2,023,329
* Stonepath Group, Inc. 67,200 169,344
* Stoneridge, Inc. 43,600 682,776
* StorageNetworks, Inc. Escrow Shares 60,800 1,648
* Stratasys, Inc. 17,400 451,878
* Strategic Diagnostics, Inc. 32,700 132,762
Strategic Distribution, Inc. 3,029 39,347
* Stratesec, Inc. 7,300 58
* Stratex Networks, Inc. 142,518 417,578
</Table>
47
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Stratos International, Inc. 20,936 $ 119,126
* Strattec Security Corp. 4,100 238,866
* Stratus Properties, Inc. 7,050 88,125
Strayer Ed, Inc. 8,300 967,697
Stride Rite Corp. 65,100 686,805
Sturm Ruger & Co., Inc. 45,700 541,545
* Suburban Lodges of America, Inc. Escrow Shares 18,500 0
Suffolk Bancorp 8,600 273,136
* Summa Industries, Inc. 5,200 49,712
Summit Bancshares, Inc. 2,000 56,500
Summit Bank Corp. 2,520 42,336
* SumTotal Systems, Inc. 28,067 181,032
* Sun Bancorp, Inc. 23,736 528,601
Sun Hydraulics, Inc. 4,900 60,613
* Sunair Electronics, Inc. 3,000 17,220
* Sundance Homes, Inc. 3,000 17
* SunLink Health Systems, Inc. 1,048 5,450
*# Sunrise Senior Living, Inc. 36,065 1,299,783
Sunrise Telecom, Inc. 3,700 9,842
* Suntron Corp. 5,265 40,698
* Superconductor Technologies, Inc. 83,940 96,531
* Supergen, Inc. 72,390 547,992
* Superior Consultant Holdings Corp. 10,700 66,768
* Superior Energy Services, Inc. 126,500 1,157,475
# Superior Industries International, Inc. 45,400 1,482,310
Superior Uniform Group, Inc. 7,000 115,500
* Supertex, Inc. 21,800 341,606
* SupportSoft, Inc. 71,600 703,112
Supreme Industries, Inc. 11,408 77,004
*# SureBeam Corp. 12,725 115
SureWest Communications 24,112 773,272
*# SurModics, Inc. 29,700 662,310
Susquehanna Bancshares, Inc. 67,800 1,649,574
* Swift Energy Corp. 47,000 949,400
* Swift Transportation, Inc. 4,200 75,432
* Swisher International, Inc. 700 770
*# Switchboard, Inc. 30,600 236,538
SWS Group, Inc. 29,118 469,382
* Sybron Dental Specialties, Inc. 65,300 1,778,772
* Sycamore Networks, Inc. 226,952 1,000,858
* Sykes Enterprises, Inc. 65,328 408,953
* Sylvan, Inc. 5,400 65,070
* Symmetricom, Inc. 82,767 653,859
* Syms Corp. 28,200 229,548
* Symyx Technologies 54,200 1,305,678
* Synalloy Corp. 5,900 54,988
* Synaptics, Inc. 42,000 805,140
* Synovis Life Technologies, Inc. 19,500 175,500
* Synplicity, Inc. 40,975 239,704
Syntel, Inc. 67,148 1,272,455
* Synthetech, Inc. 16,400 20,828
*# Syntroleum Corp. 66,566 419,366
Sypris Solutions, Inc. 28,163 535,097
* Systemax, Inc. 40,100 248,620
* T-3 Energy Services, Inc. 1,250 8,219
* Tag-It Pacific, Inc. 16,500 78,870
* Taitron Components, Inc. 5,000 12,950
*# Take Two Interactive Software 32,200 958,594
* TALK America Holdings, Inc. 44,509 418,830
TALX Corp. 23,038 534,482
Tandy Brand Accessories, Inc. 5,900 $ 79,296
* Tanox, Inc. 75,600 1,245,132
* Tarantella, Inc. 3,300 5,330
* Tarrant Apparel Group 32,800 61,992
Tasty Baking Co. 17,400 164,082
TB Woods Corp. 7,600 58,140
* TBA Entertainment Corp. 7,300 4,818
* TBC Corp. 37,250 945,778
* TEAM America, Inc. 2,800 0
* Team, Inc. 7,600 119,320
* TeamStaff, Inc. 20,200 46,056
Tech/Ops Sevcon, Inc. 3,100 18,042
Teche Holding Co. 700 24,938
* Techne Corp. 45,700 1,770,875
* Technical Communications Corp. 400 1,700
* Technical Olympic USA, Inc. 8,500 276,675
* Technitrol, Inc. 68,600 1,427,566
Technology Research Corp. 9,700 101,753
* Technology Solutions Corp. 42,400 45,792
* TechTeam Global, Inc. 20,800 159,765
Tecumseh Products Co. Class A 23,400 868,608
* Tegal Corp. 5,000 8,300
*# Tejon Ranch Co. 13,900 482,747
*# Tekelec 105,900 1,760,058
* TeleCommunication Systems, Inc. 40,500 205,335
* Teledyne Technologies Inc 55,200 1,016,784
* Teletech Holdings, Inc. 121,600 914,432
* Telik, Inc. 73,800 1,690,020
* Telular Corp. 22,000 244,398
* TenFold Corp. 4,500 7,875
Tennant Co. 15,300 581,400
* Tenneco Automotive, Inc. 71,200 909,224
* Terayon Communication Systems, Inc. 123,500 339,625
* Terex Corp. 58,021 1,711,039
* Terra Industries, Inc. 131,500 608,845
* Tesoro Petroleum Corp. 103,400 2,462,988
* Tessco Technologies, Inc. 4,500 79,830
* Tetra Tech, Inc. 91,126 1,545,497
* Tetra Technologies, Inc. 37,900 902,399
Texas Industries, Inc. 35,900 1,322,915
Texas Regional Banchshares, Inc. Class A 50,440 2,221,882
Texas United Bancshares, Inc. 100 1,760
TF Financial Corp. 2,600 77,311
* Thackeray Corp. 4,100 5,535
* The Banc Corp. 27,800 190,152
The Brink's Co. 86,818 2,685,281
* The Dress Barn, Inc. 51,400 900,014
* The Geo Group, Inc. 25,000 483,750
The Marcus Corp. 35,200 570,240
* The Medicines Co. 75,791 2,436,681
# The Phoenix Companies, Inc. 160,700 1,881,797
* The Rowe Companies 13,100 59,605
* The Sports Authority, Inc. 43,506 1,483,555
* Theragenics Corp. 50,900 217,343
* Therma-Wave, Inc. 56,989 225,107
* Thermwood Corp. 200 163
* TheStreet.com, Inc. 41,600 156,416
* Third Wave Technologies 66,386 321,972
# Thomas & Betts Corp. 93,500 2,287,010
* Thomas Group, Inc. 4,000 6,000
</Table>
48
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Thomas Industries, Inc. 29,250 $ 995,085
*# Thoratec Corp. 94,843 1,383,759
*# THQ, Inc. 64,700 1,364,523
* Three-Five Systems, Inc. 35,599 190,811
* TIBCO Software, Inc. 172,330 1,430,339
* Tickets.com, Inc. 1,600 760
* Tier Technologies, Inc. Class B 30,900 336,192
TierOne Corp. 30,553 637,336
* TII Network Technologies, Inc. 11,260 15,764
Timberland Bancorp, Inc. 3,900 86,580
* Timco Aviation Services, Inc. 2,749 1,100
* Time Warner Telecom, Inc. 77,187 328,817
* Tipperary Corp. 17,900 58,533
Titan International, Inc. 19,600 208,740
* Titan Pharmaceuticals, Inc. 49,300 162,690
* Titanium Metals Corp. 3,170 286,093
* TiVo, Inc. 135,426 1,030,592
* TL Administration Corp. 200 6
* TLC Vision Corp. 33,060 343,493
Todd Shipyards Corp. 6,300 110,880
* Todhunter International, Inc. 4,600 64,400
* Tofutti Brands, Inc. 6,900 22,080
* Tollgrade Communications, Inc. 23,091 255,156
Tompkins County Trustco, Inc. 363 16,313
* Too, Inc. 58,500 984,555
Topps, Inc. 68,886 597,242
* Torch Offshore, Inc. 23,300 61,512
* Toreador Resources Corp. 4,900 25,774
Toro Co. 39,200 2,516,640
* Total Entertainment Restaurant Corp. 16,761 219,050
*# Tower Automotive, Inc. 97,500 361,725
Track Data Corp. 5,600 5,600
* Tractor Supply Co. 43,600 1,679,908
* Tradestation Group, Inc. 70,500 480,105
Traffix, Inc. 22,900 158,926
* Trailer Bridge, Inc. 9,800 54,390
* Trammell Crow Co. 59,500 756,245
* Trans World Entertainment Corp. 61,000 608,780
* Transact Technologies, Inc. 8,550 275,481
* Transaction Systems Architects, Inc. 64,900 1,224,663
* TransAxis, Inc. 72 5
* Transcat, Inc. 6,100 19,270
* Transgenomic, Inc. 21,900 33,945
* Transkaryotic Therapies, Inc. 58,500 843,570
* Transmeta Corp. 263,500 574,430
* Transmontaigne Oil Co. 61,500 357,930
* Transport Corp. of America 5,200 37,440
* Transport Industries, Inc. 1,400 2,254
* Transpro, Inc. 16,100 95,393
* Transtechnology Corp. 6,200 42,780
* TransTexas Gas Corp. Class A 236 5
*# Transwitch Corp. 40,600 62,524
* Travis Boats & Motors, Inc. 3,300 2,604
* TRC Companies, Inc. 23,500 387,985
Tredegar Industries, Inc. 61,491 888,545
*# Trenwick Group, Ltd. 11,975 108
*# Trestle Holdings Inc. 450 1,125
* Trex Co., Inc. 25,000 908,250
* Triad Guaranty, Inc. 24,500 1,407,770
Triarc Companies, Inc. Class A 33,300 361,305
Triarc Companies, Inc. Class B 49,000 524,790
Trico Bancshares 9,900 $ 180,774
*# Trico Marine Services, Inc. 57,100 13,133
* Trident Microsystems, Inc. 38,500 589,050
* Trimble Navigation, Ltd. 85,150 2,300,753
* Trimedyne, Inc. 4,300 3,870
* Trimeris, Inc. 36,700 538,022
# Trinity Industries, Inc. 74,900 2,142,889
* Trio-Tech International 400 1,848
* TriPath Imaging, Inc. 64,452 591,669
* Tripath Technology, Inc. 63,251 238,456
* Tripos, Inc. 10,620 59,366
* Triquint Semiconductor, Inc. 221,397 1,235,395
* Triton PCS Holdings, Inc. 103,600 488,992
* Triumph Group 26,302 836,667
* TriZetto Group, Inc. 79,700 520,441
* TRM Corp. 7,000 97,090
*# Tropical Sportswear International Corp. 18,175 39,985
* Trover Solutions, Inc. 9,300 63,240
* Troy Group, Inc. 13,800 45,264
* Trump Hotels & Casino Resorts, Inc. 49,100 96,727
Trustco Bank Corp. 125,752 1,623,458
TSR, Inc. 4,400 29,436
* TTM Technologies, Inc. 69,000 786,600
* Tuesday Morning Corp. 69,300 1,978,515
* Tufco Technologies, Inc. 4,500 38,205
* Tularik, Inc. 104,551 2,586,592
* Tumbleweed Communications Corp. 74,095 368,993
# Tupperware Corp. 99,500 1,817,865
* TurboChef Technologies, Inc. 20,500 80,975
* Turnstone Systems, Inc. 65 9
* Tut Systems, Inc. 32,400 100,116
* Tweeter Home Entertainment Group, Inc. 41,100 273,726
Twin Disc, Inc. 2,800 61,600
* Tyler Technologies, Inc. 70,500 627,450
*# U.S. Aggregates, Inc. 1,600 4
* U.S. Concrete, Inc. 44,900 313,402
* U.S. Physical Therapy, Inc. 20,372 251,798
* U.S. Xpress Enterprises, Inc. Class A 10,823 140,158
* UbiquiTel, Inc. 84,490 357,393
* UFP Technologies, Inc. 3,800 12,350
UGI Corp. 42,900 1,376,661
* UICI 78,700 1,564,556
UIL Holdings Corp. 24,600 1,092,240
* Ulticom, Inc. 70,508 662,775
*# Ultimate Electronics, Inc. 23,500 84,130
* Ultimate Software Group, Inc. 35,000 449,750
* Ultradata Systems, Inc. 2,000 3,300
* Ultralife Batteries, Inc. 13,100 261,607
* Ultratech Stepper, Inc. 39,500 601,980
UMB Financial Corp. 35,765 1,818,650
Umpqua Holdings Corp. 48,203 916,821
*# Unapix Entertainment, Inc. 6,100 25
* Unico American Corp. 5,500 32,401
* Unifi, Inc. 83,334 194,168
Unifirst Corp. 14,350 373,100
* Uni-Marts, Inc. 6,500 14,235
Union Bankshares Corp. 170 5,106
Union Community Bancorp 2,300 41,044
</Table>
49
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Uniroyal Technology Corp. 13,300 $ 13
# Unisource Energy Corp. 67,080 1,655,534
* Unit Corp. 77,700 2,213,673
United Auto Group, Inc. 66,400 1,920,952
United Bankshares, Inc. WV 47,960 1,496,352
United Community Banks, Inc. 59,351 1,404,838
United Community Financial Corp. 51,972 629,381
United Financial Corp. 660 16,368
* United Financial Mortgage Corp. 9,400 48,880
United Fire & Casualty Co. 6,200 343,170
United Guardian, Inc. 1,900 12,084
United Industrial Corp. 22,300 468,300
* United Natural Foods, Inc. 67,300 1,702,017
* United Online, Inc. 108,403 2,036,892
* United PanAm Financial Corp. 600 8,700
* United Rentals, Inc. 121,600 2,079,360
* United Retail Group, Inc. 20,666 56,832
* United Road Services, Inc. 720 83
# United Security Bancshares 2,000 44,600
* United Stationers, Inc. 55,300 2,085,363
* United Surgical Partners International, Inc. 46,502 1,814,043
* United Therapeutics Corp. 36,300 858,858
Unitil Corp. 4,700 122,670
Unity Bancorp, Inc. 5,460 70,980
* Universal Access Global Holdings, Inc. 2,235 2,436
* Universal American Financial Corp. 92,000 1,007,400
* Universal Compression Holdings, Inc. 50,949 1,507,581
Universal Corp. 42,700 2,009,462
* Universal Display Corp. 47,100 540,708
* Universal Electronics, Inc. 23,300 343,442
Universal Forest Products, Inc. 30,373 879,602
* Universal Stainless & Alloy Products, Inc. 6,000 64,986
Unizan Financial Corp. 33,197 855,819
* Unova, Inc. 102,800 1,783,580
* UQM Technologies, Inc. 33,300 99,900
* Urologix, Inc. 23,842 334,980
* URS Corp. 68,913 1,735,229
*# US Airways Group, Inc. 8,800 22,968
*# US Energy Corp. 11,500 26,910
* US LEC Corp. 61,736 238,918
* US Oncology, Inc. 134,682 1,974,438
* USA Truck, Inc. 9,300 107,973
*# USAir Group, Inc. 84,700 6,903
* USANA, Inc. 32,800 913,152
USB Holding Co., Inc. 17,099 376,520
*# USDATA Corp. 2,820 113
Usec, Inc. 142,531 1,116,018
USF Corp. 47,037 1,352,314
* Utah Medical, Inc. 5,000 129,525
*# V.I. Technologies, Inc. 57,100 59,955
*# VA Software Corp. 97,900 231,044
Vail Banks Inc. 1,300 16,250
* Vail Resorts, Inc. 46,600 696,670
*# Valence Technology, Inc. 20,900 81,719
Valhi, Inc. 14,240 158,064
* Valley National Gases, Inc. 4,200 41,790
Valmont Industries, Inc. 40,500 842,400
* Valpey Fisher Corp. 1,650 5,511
Value Line, Inc. 9,900 $ 383,328
* ValueClick, Inc. 134,300 1,469,242
* Valuevision Media, Inc. Class A 60,947 731,364
* Vans, Inc. 28,700 585,767
* Varian Semiconductor Equipment Associates, Inc. 51,200 1,882,624
* Varian, Inc. 54,100 2,407,450
* Variflex, Inc. 4,600 30,820
* Vascular Solutions, Inc. 23,700 255,960
* Vastera, Inc. 75,179 259,368
* Vaxgen, Inc. 42,400 672,888
* VCA Antech, Inc. 65,062 2,797,666
Vector Group, Ltd. 66,457 1,056,666
* Veeco Instruments, Inc. 49,700 1,283,254
* Ventana Medical Systems, Inc. 29,014 1,497,122
* Venture Catalyst, Inc. 7,200 3,240
* Verilink Corp. 25,100 112,950
* Veritas DGC, Inc. 57,700 1,104,378
* Verity, Inc. 64,200 892,380
* Vermont Pure Holdings, Ltd. 17,300 52,419
* Versant Corp. 5,400 11,016
* Versar, Inc. 8,700 44,718
* Verso Technologies, Inc. 26,319 41,716
* Vertex Pharmaceuticals, Inc. 132,888 1,169,414
* Verticalbuyer Inc. 920 7
Vesta Insurance Group, Inc. 60,500 359,975
* Vestin Group, Inc. 400 1,000
* Vialta, Inc. 40,295 15,312
* Viasat, Inc. 44,800 1,032,192
* Vical, Inc. 34,255 188,745
* Vicon Industries, Inc. 4,600 24,242
* Vicor Corp. 52,300 726,970
* Vicuron Pharmaceuticals, Inc. 91,100 1,266,290
# Video Display Corp. 3,600 66,600
*# Viewpoint Corp. 59,526 164,881
* Vignette Corp. 407,600 672,540
* Viisage Technology, Inc. 58,895 577,760
Vintage Petroleum, Inc. 109,300 1,703,987
* Virage Logic Corp. 35,727 269,024
* Virbac Corp. 22,000 66,000
Virco Manufacturing Corp. 13,269 90,893
* Virginia Commerce Bancorp, Inc. 400 11,380
* Virologic, Inc. 83,900 234,920
*# ViroPharma, Inc. 44,725 82,294
* Vision Sciences, Inc. 5,100 21,318
* Vista Medical Technologies, Inc. 7,500 11,100
Visteon Corp. 214,500 2,350,920
* Visual Networks, Inc. 31,900 102,718
* Visx, Inc. DE 87,400 2,054,774
* Vital Images, Inc. 18,200 176,904
Vital Signs, Inc. 21,956 592,812
* VitalWorks, Inc. 73,800 250,920
*# Vitech America, Inc. 14,850 67
* Vitesse Semiconductor, Inc. 20,500 111,930
* Vitria Technology, Inc. 53,942 153,195
* Vivus, Inc. 64,564 265,358
* Vl Dissolution Corp 3,101 1,930
VLPS Lighting Services International, Inc. 4,800 20,040
* Vodavi Technology, Inc. 4,300 20,468
* Volt Information Sciences, Inc. 33,000 848,100
</Table>
50
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Vulcan International Corp. 700 $ 30,380
* Vyyo, Inc. 20,900 153,406
* W-H Energy Services, Inc. 50,300 929,544
* Wabash National Corp. 45,800 1,204,540
Wabtec Corp. 76,000 1,253,240
Walter Industries, Inc. 71,300 907,649
*# Warnaco Group, Inc. 2,900 3
* Warnaco Group, Inc. 61,372 1,223,144
Warwick Community Bancorp, Inc. 5,000 153,500
Warwick Valley Telephone Co. 300 6,300
Washington Banking Co. 4,680 75,348
Washington Savings Bank FSB 2,400 24,936
Washington Trust Bancorp, Inc. 21,855 549,653
* Waste Connections, Inc. 49,200 2,091,000
Waste Industries USA, Inc. 19,300 218,090
* WatchGuard Technologoes, Inc. 56,780 369,638
* Water Pik Technologies, Inc. 8,400 140,196
* Waterlink, Inc. 19,200 16
Waters Instruments, Inc. 300 2,403
Watsco, Inc. Class A 37,400 978,758
Watsco, Inc. Class B 1,350 35,370
* Watson Wyatt & Co., Holdings 55,900 1,461,785
Watts Water Technologies, Inc. 40,400 980,508
Wausau-Mosinee Paper Corp. 95,336 1,450,061
Waypoint Financial Corp. 53,226 1,458,392
* WCI Communities, Inc. 74,500 1,657,625
WD-40 Co. 28,900 880,294
* Webb Interactive Services, Inc. 5,300 3,339
* Webco Industries, Inc. 6,000 29,430
* WebEx Communications, Inc. 73,680 1,739,585
* webMethods, Inc. 89,502 780,457
* Websense, Inc. 38,800 1,256,344
* Weider Nutrition International, Inc. 10,500 48,720
Weis Markets, Inc. 19,607 669,579
Wellco Enterprises, Inc. 1,000 19,100
Wellman, Inc. 65,300 519,135
* Wells-Gardner Electronics Corp. 6,101 28,614
Wesbanco, Inc. 33,521 923,168
* WESCO International, Inc. 67,900 1,125,782
West Coast Bancorp 25,609 563,654
* West Marine, Inc. 35,100 921,726
West Pharmaceutical Services, Inc. 25,100 954,051
* Westaff, Inc. 24,300 63,180
Westamerica Bancorporation 2,000 98,760
Westar Energy, Inc. 89,400 1,762,968
Westbank Corp. 4,740 89,254
* Westcoast Hospitality Corp. 12,900 74,433
* Westell Technologies, Inc. 89,580 492,690
Western Gas Resources, Inc. 24,700 1,365,910
Western Ohio Financial Corp. 900 29,835
* Western Power & Equipment Corp. 3,373 1,231
* Western Sierra Bancorp 1,575 45,990
* Westmoreland Coal Co. 800 17,168
Westwood Holdings Group, Inc. 6,479 112,540
* Wet Seal, Inc. Class A 41,375 241,216
Weyco Group, Inc. 300 10,026
WGL Holdings, Inc. 14,000 385,140
* White Electronics Designs Corp. 41,065 262,405
* Whitehall Jewelers, Inc. 25,450 203,855
Whitney Holdings Corp. 15,300 665,091
*# WHX Corp. 6,333 10,259
* Wickes, Inc. 4,400 $ 550
* Wild Oats Markets, Inc. 51,350 695,793
* William Lyon Homes, Inc. 12,600 1,130,220
* Williams Industries, Inc. 1,200 4,218
* Willis Lease Finance Corp. 9,500 78,375
Willow Grove Bancorp, Inc. 17,451 265,430
* Wilshire Financial Services Group, Inc. 137 1,232
* Wilshire Oil Co. of Texas 7,107 35,606
* Wilson Greatbatch Technologies, Inc. 36,000 979,200
* Wilsons The Leather Experts, Inc. 32,945 110,366
* Wind River Systems, Inc. 138,596 1,426,153
* Winmark Corp. 3,800 96,900
# Winn-Dixie Stores, Inc. 241,000 1,525,530
Winnebago Industries, Inc. 57,600 1,635,840
Wintrust Financial Corp. 34,250 1,627,560
* Wireless Facilities, Inc. 113,651 1,077,411
Wireless Telecom Group, Inc. 28,800 85,968
* Wireless WebConnect!, Inc. 8,900 24
* Wiser Oil Co. 26,300 277,991
* Witness Systems, Inc. 44,500 641,245
* WJ Communications, Inc. 50,400 161,280
* WMS Industries, Inc. 50,800 1,559,560
* Wolverine Tube, Inc. 20,100 228,738
Wolverine World Wide, Inc. 67,000 1,765,450
* Women First HealthCare, Inc. 1,500 34
Woodhead Industries, Inc. 20,557 309,588
Woodward Governor Co. 18,900 1,255,905
* World Acceptance Corp. 32,000 572,480
*# World Access, Inc. 35,372 48
World Fuel Services Corp. 18,300 806,481
World Wrestling Federation Entertainment, Inc. 22,700 275,578
*# WorldGate Communications, Inc. 6,500 13,455
* WorldQuest Networks, Inc. 1,500 4,772
* Worldwide Restaurant Concepts, Inc. 52,200 174,348
Worthington Industries, Inc. 65,400 1,251,756
WPS Resources Corp. 31,200 1,412,112
* Wright Medical Group, Inc. 56,500 1,833,990
WSI Industries, Inc. 2,000 5,338
X-Rite, Inc. 35,163 470,481
* Xanser Corp. 42,800 108,284
* Xeta Corp. 9,200 46,911
* Xicor, Inc. 45,974 691,909
* Yankee Candle Co., Inc. 65,200 1,825,600
Yardville National Bancorp 16,400 412,460
* Yellow Roadway Corp. 22,982 820,687
York International Corp. 41,200 1,523,576
* Young Broadcasting, Inc. Class A 29,507 422,540
* Zapata Corp. 2,340 159,120
Zenith National Insurance Corp. 18,600 859,878
* Zevex International, Inc. 3,400 11,628
* Zhone Technologies, Inc. 37,400 122,672
* Zila, Inc. 76,307 388,403
*# Zix Corp. 51,726 462,430
* Zoll Medical Corp. 14,622 451,820
*# Zoltek Companies, Inc. 27,800 202,384
* Zomax, Inc. 51,700 196,977
* Zones, Inc. 13,500 36,450
* Zoran Corp. 68,635 1,205,917
* Zygo Corp. 28,600 303,160
</Table>
51
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Zymetx, Inc. 8,600 $ 452
* Zymogenetics, Inc. 88,239 1,404,765
---------------
TOTAL COMMON STOCKS
(Cost $1,513,392,652) 1,723,375,415
---------------
RIGHTS/WARRANTS -- (0.0%)
* American Banknote Corp. Warrants Series 1 10/01/07 30 0
* American Banknote Corp. Warrants Series 2 10/10/07 30 0
* Anacomp, Inc. Class B Warrants 12/10/06 0 0
*# Angeion Corp. Warrants 10/31/07 215 0
* Aura Systems, Inc. Warrants 05/31/05 1,262 0
* Chart Industries, Inc. Warrants 09/15/10 24 184
* Chiquita Brands International, Inc. Warrants 03/19/09 9,947 46,950
* CSF Holding, Inc. Litigation Rights 3,250 0
* Danielson Holding Corp. Rights 06/09/04 33,400 0
* Del Global Technologies Corp. Warrants 03/28/08 971 583
* Imperial Credit Industries, Inc. Warrants 01/31/08 22 0
* Imperial Sugar Co. Warrants 08/29/08 498 1,006
* Lodgian, Inc. Class A Warrants 11/25/07 188 39
* Lodgian, Inc. Class B Warrants 11/25/09 582 134
* Magnum Hunter Resources Warrants 03/21/05 7,200 4,320
* Orbital Science Corp. Warrants 08/31/04 152 1,193
*# OSI Pharmaceutical, Inc. Rights 4,829 1,859
* PMR Corp. Contingent Value Rights 08/05/04 7,300 7
* Timco Aviation Services Warrants 02/27/07 6,696 1
---------------
TOTAL RIGHTS/WARRANTS
(Cost $444,107) 56,276
---------------
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp. $ 2 $ 0
* Timco Aviation Services, Inc. 3 0
---------------
TOTAL BONDS
(Cost $0) 0
---------------
TEMPORARY CASH INVESTMENTS -- (8.0%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.89%,
06/01/04 (Collateralized by $26,894,000 FNMA Notes 1.50%,
09/21/05, valued at $26,725,913) to be repurchased at
$26,332,604
(Cost $26,330,000) 26,330 26,330,000
Repurchase Agreement, Merrill Lynch Triparty Repo 0.96%,
06/01/04 (Collateralized by $124,075,000 U.S. Treasury
Obligations rates ranging from 2.125% to 6.00%, maturities
ranging from 08/15/04 to 08/31/04, valued at $125,930,146)
to be repurchased at $123,472,650
(Cost $123,459,481)^ 123,459 123,459,481
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $149,789,481) 149,789,481
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,663,626,240)++ $ 1,873,221,172
===============
</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 $1,666,038,387.
See accompanying Notes to Financial Statements.
52
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
UNITED KINGDOM -- (19.4%)
COMMON STOCKS -- (19.4%)
Abbey National P.L.C. 841,876 $ 6,930,244
Aggregate Industries P.L.C. 1,926,365 2,976,832
Alliance & Leicester P.L.C. 348,000 5,264,654
Allied Domecq P.L.C. 621,994 5,172,552
Amvescap P.L.C. 225,900 1,515,531
Arriva P.L.C. 231,050 1,651,789
Associated British Foods P.L.C. 990,462 11,631,581
Associated British Ports Holdings P.L.C. 378,800 3,037,599
Aviva P.L.C. 2,582,930 25,216,998
* AWG P.L.C. 76,018 855,780
BAA P.L.C. 1,576,251 15,724,547
BAE Systems P.L.C. 2,599,132 9,806,062
Barratt Developments P.L.C. 338,959 3,566,453
BBA Group P.L.C. 679,855 3,165,960
Bellway P.L.C. 38,000 526,004
Berkeley Group P.L.C. 228,802 3,866,438
BG Group P.L.C. 1,408,548 8,581,102
BOC Group P.L.C. 82,135 1,341,431
Bovis Homes Group P.L.C. 132,000 1,237,365
BPB P.L.C. 458,500 3,269,374
Bradford & Bingley P.L.C. 80,259 408,850
Brambles Industries P.L.C. 272,000 1,056,902
Britannic P.L.C. 278,864 1,761,482
* British Airways P.L.C. 1,839,331 8,547,965
British Land Co. P.L.C. 857,882 10,539,837
British Vita P.L.C. 286,388 1,352,407
Brixton P.L.C. 359,333 1,911,806
* Cable and Wireless P.L.C. 3,512,914 7,943,057
* Canary Wharf Group P.L.C. 847,200 4,598,296
Carnival P.L.C. 156,448 7,021,173
* Colt Telecom Group P.L.C. 2,561,000 3,945,288
* Corus Group P.L.C. 6,312,988 3,913,405
Derwent Valley Holdings P.L.C. 49,351 756,218
DeVere Group P.L.C. 85,228 688,195
* Dimension Data Holdings P.L.C. 1,006,000 564,232
Dixons Group P.L.C. 333,402 931,182
* Duelguide Units P.L.C. 36,010 355,069
* Easyjet P.L.C. 294,025 1,073,156
FKI P.L.C. 856,795 1,741,838
Friends Provident P.L.C. 2,272,618 5,760,483
Galen Holdings P.L.C. 319,000 4,237,385
Great Portland Estates P.L.C. 299,155 1,440,093
Great Universal Stores P.L.C. 258,182 3,843,651
Greene King P.L.C. 105,263 1,757,735
Hammerson P.L.C. 468,800 5,815,111
Hanson P.L.C. 963,671 7,358,895
HBOS P.L.C. 14,538 190,478
* HHG P.L.C. 842,619 664,307
Hilton Group P.L.C. 2,619,960 12,744,959
IMI P.L.C. 24,000 161,845
Intercontinental Hotels Group P.L.C. 968,773 9,286,691
* International Power P.L.C. 1,898,700 5,056,603
ITV P.L.C. 1,551,881 3,378,787
Johnson Matthey P.L.C. 43,250 $ 702,953
Kelda Group P.L.C. 161,510 1,456,483
Kesa Electricals P.L.C. 9,781 50,996
# Kingfisher P.L.C. 651,215 3,413,664
Land Securities Group P.L.C. 78,654 1,686,004
Liberty International P.L.C. 469,345 6,367,535
Logicacmg P.L.C. 586,400 2,012,631
London Merchant Securities P.L.C. 358,862 1,139,502
Marks & Spencer Group P.L.C. 1,197,239 7,890,393
Mersey Docks & Harbour Co. P.L.C. 115,042 1,455,763
MFI Furniture Group P.L.C. 66,600 182,435
Millennium and Copthorne Hotels P.L.C. 489,930 2,843,510
Mitchells & Butlers P.L.C. 630,549 2,997,502
* MM02 P.L.C. 8,760,348 15,678,806
Morrison (Wm.) Supermarkets P.L.C. 1,582,672 6,627,064
Novar P.L.C. 571,338 1,309,149
Pearson P.L.C. 246,039 2,994,860
Peninsular & Oriental Steam Navigation P.L.C. 1,086,433 4,270,957
Pennon Group P.L.C. 56,524 763,276
Persimmon P.L.C. 271,811 2,994,022
Pilkington P.L.C. 2,184,617 3,621,628
Pillar Property P.L.C. 159,913 1,641,266
* Premier Oil P.L.C. 119,812 1,165,426
Quintain Estates & Development P.L.C. 100,000 729,199
Rio Tinto P.L.C. 83,136 2,000,590
RMC Group P.L.C. 401,000 4,035,580
Rolls Royce Group P.L.C. 2,686,097 11,122,171
* Rolls Royce Group P.L.C. 134,304,850 246,241
Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,450,701
Royal Bank of Scotland Group P.L.C. 212,693 6,428,725
Sabmiller P.L.C. 192,609 2,327,665
# Sainsbury (J.) P.L.C. 2,864,609 14,300,152
Scottish & Newcastle P.L.C. 959,905 7,508,053
Scottish Power P.L.C. 915,215 6,635,236
Severn Trent P.L.C. 210,597 3,118,962
* Shire Pharmaceuticals Group P.L.C. 683,427 6,208,647
Singer & Friedlander Group P.L.C. 253,818 1,093,881
Slough Estates P.L.C. 706,900 5,564,664
Smith (David S.) Holdings P.L.C. 547,941 1,567,369
Smith (W.H.) P.L.C. 299,537 1,965,244
Somerfield P.L.C. 738,068 1,939,982
Stagecoach Holdings P.L.C. 1,557,000 2,341,002
Stanley Leisure Organisation P.L.C. 186,760 1,606,028
Tate & Lyle P.L.C. 660,070 3,655,181
Taylor Woodrow P.L.C. 973,675 4,528,444
Tesco P.L.C. 1,560,816 7,123,961
The Big Food Group P.L.C. 505,408 928,373
* Thus Group P.L.C. 1,956,555 933,783
Trinity Mirror P.L.C. 495,640 5,638,934
United Business Media P.L.C. 237,262 1,923,758
United Utilities P.L.C. 265,595 2,642,143
Vodafone Group P.L.C. 13,873,752 32,699,074
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SHARES VALUE+
--------------- ---------------
Westbury P.L.C. 162,025 $ 1,272,549
Whitbread P.L.C. 511,290 7,496,474
Wilson Bowden P.L.C. 105,900 2,010,789
Wimpey (George) P.L.C. 446,968 3,018,363
Wolverhampton & Dudley Breweries P.L.C. 107,366 1,616,965
Woolworths Group P.L.C. 2,074,511 1,684,586
---------------
TOTAL COMMON STOCKS
(Cost $377,656,054) 474,774,971
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling
(Cost $35,295) 36,615
---------------
TOTAL -- UNITED KINGDOM
(Cost $377,691,349) 474,811,586
---------------
JAPAN -- (17.4%)
COMMON STOCKS -- (17.4%)
Acom Co., Ltd. 14,600 979,025
# Aichi Steel Corp. 120,000 493,526
AIOI Insurance Co., Ltd. 928,735 4,040,680
Aisin Seiki Co., Ltd. 182,500 3,383,738
Akita Bank, Ltd. 115,000 452,538
# Alpine Electronics, Inc. 36,800 471,467
Amada Co., Ltd. 376,000 2,138,762
# Anritsu Corp. 67,000 419,610
Aoyama Trading Co., Ltd. 47,700 1,108,318
Asahi Breweries, Ltd. 173,000 1,823,313
Asahi Kasei Corp. 289,000 1,422,289
Asatsu-Dk, Inc. 32,500 840,095
Autobacs Seven Co., Ltd. 23,700 669,145
Awa Bank, Ltd. 196,600 1,129,190
Bank of Iwate, Ltd. 15,300 677,599
# Bank of Kyoto, Ltd. 347,400 2,290,876
Bank of Nagoya, Ltd. 185,000 933,192
Benesse Corp. 6,500 197,550
Canon Sales Co., Inc. 124,900 1,586,967
Chiba Bank, Ltd. 941,000 5,415,152
Chudenko Corp. 41,100 707,233
Chugoku Bank, Ltd. 238,800 2,413,869
Citizen Watch Co., Ltd. 318,000 3,323,532
Coca-Cola West Japan Co., Ltd. 58,400 1,409,917
Comsys Holdings Corp. 92,000 682,561
# Cosmo Oil Co., Ltd. 764,000 1,867,757
Dai Nippon Ink & Chemicals, Inc. 459,000 1,042,492
Dai Nippon Pharmaceutical Co., Ltd. 106,000 803,341
Dai Nippon Printing Co., Ltd. 144,000 2,202,431
# Daicel Chemical Industries, Ltd. 485,000 2,108,669
Daido Steel Co., Ltd. 274,000 657,436
Daihatsu Motor Co., Ltd. 258,000 1,517,061
Daishi Bank, Ltd. 355,000 1,219,314
Daiwa House Industry Co., Ltd. 663,000 7,484,763
Denso Corp. 22,500 482,857
# Ebara Corp. 173,000 778,135
# Ezaki Glico Co., Ltd. 174,600 1,241,437
Fuji Electric Co., Ltd. 525,780 1,293,228
Fuji Fire & Marine Insurance Co., Ltd. 297,000 692,913
Fuji Heavy Industries 493,000 2,430,726
Fuji Oil Co., Ltd. 55,200 643,650
Fuji Photo Film Co., Ltd. 355,000 $ 10,551,760
Fujikura, Ltd. 241,000 1,153,558
Fujitsu, Ltd. 286,000 1,931,493
Fukui Bank, Ltd. 343,000 1,359,737
# Fukuoka Bank, Ltd. 400,000 2,071,477
# Fukuyama Transporting Co., Ltd. 266,000 1,211,601
* Furukawa Electric Co., Ltd. 380,000 1,411,648
Futaba Corp. 16,000 419,581
Futaba Industrial Co., Ltd. 44,100 682,343
# Glory, Ltd. 46,800 662,790
Gunma Bank, Ltd. 323,000 1,486,093
Gunze, Ltd. 148,000 706,135
Hachijuni Bank, Ltd. 344,000 2,056,852
#* Hankyu Corp. 174,000 670,625
# Hanshin Electric Railway Co., Ltd. 216,000 701,147
Heiwa Corp 81,500 1,221,706
Higo Bank, Ltd. 308,000 1,769,064
Hitachi Cable, Ltd. 236,000 1,060,267
Hitachi Maxell, Ltd. 96,000 1,407,726
Hitachi Metals, Ltd. 360,000 1,719,080
Hitachi, Ltd. 3,734,000 25,589,059
Hokkoku Bank, Ltd. 223,000 1,067,827
Hokuetsu Paper Mills, Ltd. 162,000 869,334
Hokugin Financial Group, Inc. 414,000 839,050
House Foods Corp. 117,000 1,505,125
# Hyakugo Bank, Ltd. 258,000 1,534,783
# Hyakujishi Bank, Ltd. 314,000 1,942,853
* Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,167,661
* Itochu Corp. 120,000 492,009
Itoham Foods, Inc. 132,000 591,829
Iyo Bank, Ltd. 204,000 1,369,997
Japan Airport Terminal Co., Ltd. 33,000 296,226
JFE Holdings, Inc. 56,300 1,218,243
Joyo Bank, Ltd. 545,000 2,147,260
# Juroku Bank, Ltd. 349,000 1,475,036
# Kagoshima Bank, Ltd. 132,000 739,936
Kamigumi Co., Ltd. 357,000 2,346,542
Kandenko Co., Ltd. 129,000 683,340
Kansai Paint Co., Ltd., Osaka 131,000 770,757
Katokichi Co., Ltd. 34,500 608,482
# Kawasaki Heavy Industries, Ltd. 910,000 1,359,185
Kikkoman Corp. 259,000 2,087,353
Kinden Corp. 167,000 929,655
Kirin Brewery Co., Ltd. 437,000 4,152,801
# Kissei Pharmaceutical Co., Ltd. 41,000 875,872
Kobe Steel, Ltd. 2,632,000 3,842,186
Koito Manufacturing Co., Ltd. 101,000 701,488
Kokuyo Co., Ltd. 81,200 989,157
Komatsu, Ltd. 1,279,000 7,702,264
Komori Corp. 47,000 692,540
# Koyo Seiko Co. 198,000 2,006,219
Kubota Corp. 140,000 647,773
Kuraray Co., Ltd. 241,000 1,811,296
# Kuraya Sanseido, Inc. 82,600 1,235,988
Kureha Chemical Industry Co., Ltd. 122,000 488,520
KYORIN Pharmaceutical Co., Ltd. 52,000 680,761
# Makita Corp. 209,000 2,933,140
Marubeni Corp. 1,942,000 4,429,099
Marui Co., Ltd. 213,000 2,839,783
# Maruichi Steel Tube, Ltd. 117,000 1,758,628
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SHARES VALUE+
--------------- ---------------
# Matsushita Electric Industrial Co., Ltd. 1,977,135 $ 27,425,216
Matsushita Electric Works, Ltd. 142,000 1,185,094
# Meiji Seika Kaisha, Ltd. Tokyo 243,000 985,587
# Michinoku Bank, Ltd. 187,000 1,063,990
Millea Holdings, Inc. 46 606,247
Mitsubishi Corp. 40,000 395,191
Mitsubishi Gas Chemical Co., Inc. 305,000 1,146,869
Mitsubishi Heavy Industries, Ltd. 2,128,000 5,567,075
Mitsubishi Logistics Corp. 106,000 924,108
Mitsubishi Materials Corp. 975,000 1,864,568
#* Mitsubishi Motors Corp. 568,000 1,119,876
Mitsui Chemicals, Inc. 239,800 1,163,162
Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 813,477
Mitsui Trust Holdings 641,000 4,266,825
Mitsumi Electric Co., Ltd. 45,800 468,759
Mizuho Holdings, Inc. 1,192 5,120,280
Morinaga Milk Industry Co., Ltd. 160,000 595,510
Musashino Bank, Ltd. 20,000 722,528
Nagase & Co., Ltd. 87,000 723,676
Namco, Ltd. 5,500 138,069
Nanto Bank, Ltd. 317,000 1,448,045
NGK Insulators, Ltd. 216,000 1,536,529
NGK Spark Plug Co., Ltd. 144,000 1,295,677
Nichicon Corp. 51,200 652,234
Nichirei Corp. 180,000 576,526
Nifco, Inc. 37,000 567,717
Nihon Unisys, Ltd. 69,100 512,213
Nippon Broadcasting System, Inc. 20,690 1,011,229
# Nippon Electric Glass Co., Ltd. 72,000 1,543,539
Nippon Kayaku Co., Ltd. 128,000 649,635
Nippon Meat Packers, Inc., Osaka 144,000 1,567,917
Nippon Mining Holdings, Inc. 370,000 1,708,854
Nippon Mitsubishi Oil Corp. 1,871,050 10,633,474
Nippon Paint Co., Ltd. 167,000 606,191
Nippon Sanso Corp. 30,000 137,311
Nippon Sheet Glass Co., Ltd. 280,000 926,729
Nippon Shinpan Co., Ltd. 191,000 651,818
Nippon Shokubai Co., Ltd. 163,000 1,193,958
Nippon Television Network Corp. 9,400 1,447,390
Nipponkoa Insurance Co., Ltd. 45,000 258,828
Nishimatsu Construction Co., Ltd. 364,000 1,236,106
Nishi-Nippon Bank, Ltd. 156,540 704,445
Nissay Dowa General Insurance Co., Ltd. 383,000 1,924,261
Nisshin Seifun Group, Inc. 148,000 1,360,518
Nisshin Steel Co., Ltd. 627,000 1,264,556
Nisshinbo Industries, Inc. 305,000 2,021,246
#* Nissho Iwai-Nichmen Holdings Corp. 130,400 694,507
NSK, Ltd. 319,000 1,443,643
Obayashi Corp. 520,000 2,482,203
Ogaki Kyoritsu Bank, Ltd. 50,000 269,692
Oji Paper Co., Ltd. 275,000 1,749,298
Okumura Corp. 144,000 707,500
Onward Kashiyama Co., Ltd. 100,000 1,612,619
PanaHome Corp. 106,000 570,078
# Pioneer Electronic Corp. 60,000 1,537,866
Promise Co., Ltd. 60,500 3,976,827
Q.P. Corp. 109,600 892,411
# Rengo Co., Ltd. 152,000 683,988
* Resona Holdings, Inc. 1,873,000 $ 3,220,661
San In Godo Bank, Ltd. 110,000 864,336
Santen Pharmaceutical Co., Ltd. 52,000 757,478
# Sanwa Shutter Corp. 101,000 518,071
Sanyo Shinpan Finance Co., Ltd. 19,800 1,086,425
Sapporo Breweries, Ltd. 251,000 815,139
Sapporo Hokuyo Holdings, Inc. 224 1,172,121
Seino Transportation Co., Ltd. 193,000 1,835,299
Sekisui Chemical Co., Ltd. 557,000 4,109,695
Sekisui House, Ltd. 942,000 9,812,478
Seventy-seven (77) Bank, Ltd. 241,000 1,420,528
SFCG Co., Ltd. 8,010 1,404,972
Shiga Bank, Ltd. 272,000 1,349,621
Shikoku Bank, Ltd. 72,000 429,019
Shimachu Co., Ltd. 36,200 902,162
# Shimadzu Corp. 181,000 932,806
Shinko Securities Co., Ltd. 470,000 1,560,982
Shizuoka Bank, Ltd. 473,000 3,854,740
# Softbank Corp. 49,100 1,877,895
Sumitomo Bakelite Co., Ltd. 105,000 698,212
Sumitomo Corp. 471,000 3,633,702
Sumitomo Electric Industries, Ltd. 472,000 4,540,655
Sumitomo Forestry Co., Ltd. 139,000 1,431,249
Sumitomo Metal Industries, Ltd. Osaka 1,481,000 1,661,464
Sumitomo Metal Mining Co., Ltd. 313,000 1,864,367
Sumitomo Osaka Cement Co., Ltd. 269,000 650,652
Sumitomo Realty & Development Co., Ltd. 150,000 1,617,350
Sumitomo Rubber 43,000 357,718
Sumitomo Trust & Banking Co., Ltd. 21,000 129,088
Suruga Bank, Ltd. 87,000 574,425
Suzuken Co., Ltd. 54,000 1,685,214
Taiheiyo Cement Corp. 1,209,800 2,642,448
Taisei Corp. 1,325,000 4,413,188
Taiyo Yuden Co., Ltd. 72,000 1,038,264
Takara Standard Co., Ltd. 118,000 645,570
Takashimaya Co., Ltd. 214,000 2,357,203
# Takefuji Corp. 35,920 2,390,002
TDK Corp. 10,100 709,085
Teijin, Ltd. 893,000 2,884,554
Teikoku Oil Co., Ltd. 346,000 1,766,783
Toda Corp. 203,000 748,487
Toho Bank, Ltd. 254,000 1,010,175
Tokai Tokyo Securities Co., Ltd. 155,000 447,237
Tokuyama Corp. 248,000 1,060,197
Tokyo Broadcasting System, Inc. 113,500 2,013,658
# Tokyo Steel Manufacturing Co., Ltd. 97,800 1,390,966
Tokyo Style Co., Ltd. 133,000 1,504,229
# Tokyo Tatemono Co., Ltd. 143,000 691,014
Toppan Printing Co., Ltd. 441,000 5,366,365
Toray Industries, Inc. 620,000 2,854,071
Toshiba TEC Corp. 181,000 787,527
Tostem Inax Holding Corp. 160,000 3,278,680
Toto, Ltd. 247,000 2,654,223
# Toyo Ink Manufacturing Co., Ltd. 174,000 703,334
Toyo Seikan Kaisha, Ltd. 287,600 4,718,371
Toyo Suisan Kaisha, Ltd. 64,000 773,366
Toyota Auto Body Co., Ltd. 86,000 1,309,569
Toyota Industries Corp. 76,500 1,668,275
# Toyota Tsusho Corp. 314,000 2,881,419
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SHARES VALUE+
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TV Asahi Corp. 202 $ 375,250
UNY Co., Ltd. 133,000 1,642,230
Wacoal Corp. 149,000 1,579,834
# Yamagata Bank, Ltd. 153,700 673,239
Yamaguchi Bank, Ltd. 133,000 1,355,800
Yamanashi Chuo Bank, Ltd. 119,000 588,331
Yamatake Corp. 20,000 194,318
Yamazaki Baking Co., Ltd. 155,000 1,436,047
Yokogawa Electric Corp. 337,000 4,360,631
Yokohama Rubber Co., Ltd. 410,000 1,508,010
York-Benimaru Co., Ltd. 29,300 838,751
---------------
TOTAL COMMON STOCKS
(Cost $411,657,891) 425,533,004
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen
(Cost $20,787) 21,114
---------------
TOTAL -- JAPAN
(Cost $411,678,678) 425,554,118
---------------
FRANCE -- (8.5%)
COMMON STOCKS -- (8.5%)
# AGF (Assurances Generales de France SA) 149,122 9,041,456
# Air France 143,423 2,346,271
Air Liquide SA 8,848 1,561,285
Alcan, Inc. 30,183 1,192,724
#* Alcatel SA 195,750 2,820,740
#* Alstom SA 185,169 212,840
Arcelor SA 167,800 2,815,999
AXA 634,106 13,042,808
BNP Paribas SA 549,686 33,602,499
Bongrain SA 7,145 480,617
* Cap Gemini SA 89,951 3,450,082
#* Club Mediterranee SA 8,962 379,658
# Compagnie de Saint-Gobain 288,912 14,553,997
Compagnie Francaise d'Etudes et de Construction Technip SA 10,990 1,480,578
Credit Agricole SA 27,709 681,356
Eiffage SA 6,954 541,060
Esso SA 686 96,312
Euler-Hermes SA 10,354 571,483
* Eurafrance 18,000 1,106,386
# Faurecia SA 30,445 1,973,013
# Fimalac SA 46,887 1,832,765
Fonciere Lyonnaise SA 10,950 471,975
France Telecom SA 188,321 4,550,289
Generale des Establissements Michelin SA Series B 107,620 5,258,360
Havas SA 300,744 1,596,520
Imerys SA 11,000 2,502,481
LaFarge SA 62,037 5,319,155
LaFarge SA Prime Fidelity 82,581 7,154,869
# Lagardere S.C.A. SA 10,900 665,814
* Nexans 9,618 315,866
# Peugeot SA 233,374 13,179,063
# Pinault Printemps Redoute SA 22,619 2,364,871
Rallye SA 18,020 912,719
# Remy Cointreau SA 56,022 $ 1,870,576
Renault SA 121,719 9,070,115
Rexel SA 10,713 442,555
* SA Des Galeries Lafayette 900 174,397
Schneider SA 63,451 4,274,219
* Scor SA 733,800 1,075,223
SEB SA Prime Fidelity 9,900 1,112,224
Societe BIC SA 52,288 2,268,319
# Societe des Ciments de Francais 28,600 2,223,571
Societe Generale, Paris 293,528 24,896,954
# Suez (ex Suez Lyonnaise des Eaux) 296,563 5,775,385
Thomson Multimedia 129,923 2,479,132
Valeo SA 73,528 2,984,104
Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec
Reunies) 4,504 392,968
#* Veolia Environnement SA 25,700 687,796
* Vivendi Universal SA 403,364 10,293,783
---------------
TOTAL COMMON STOCKS
(Cost $136,677,536) 208,097,232
---------------
RIGHTS/WARRANTS -- (0.0%)
* Rallye SA Series B Warrants 11/30/05
(Cost $7,244) 18,020 3,759
---------------
TOTAL -- FRANCE
(Cost $136,684,780) 208,100,991
---------------
SWITZERLAND -- (6.1%)
COMMON STOCKS -- (6.1%)
* ABB, Ltd. 335,400 1,880,058
# Baloise-Holding 190,560 7,679,424
Bank Sarasin & Cie Series B, Basel 180 255,824
Banque Cantonale Vaudoise 12,608 1,387,080
# Berner Kantonalbank 23,400 2,779,455
* Ciba Spezialitaetenchemie Holding AG 56,300 3,846,625
Cie Financiere Richemont AG Series A 1,251,000 32,223,768
Clariant AG 19,200 265,074
Converium Holding AG 14,400 733,921
* Credit Swisse Group 128,200 4,410,505
* Fischer (Georg) AG, Schaffhausen 1,280 279,066
# Givaudan SA 3,952 2,113,439
# Helvetia Patria Holding 16,301 2,867,348
# Holcim, Ltd. 199,770 10,396,504
# Jelmoli Holding AG 500 625,759
# Luzerner Kantonalbank AG 14,627 2,337,061
# Pargesa Holding SA, Geneve 1,935 5,565,147
# PSP Swiss Property AG 109,600 3,822,181
# Rieters Holdings AG 7,860 1,993,377
Sig Holding AG 44,130 7,549,197
#* Sika Finanz AG, Baar 3,828 1,924,356
# St. Galler Kantonalbank 14,319 2,879,750
#* Swiss Life AG 124,240 15,660,232
Swiss Reinsurance Co., Zurich 18,800 1,167,036
* Syngenta AG 152,500 12,097,295
#* Unaxis Holding AG 45,400 5,141,601
#* Valiant Holding AG 39,295 3,270,942
# Valora Holding AG 12,170 2,881,408
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SHARES VALUE+
--------------- ---------------
* Zurich Financial SVCS AG 67,906 $ 10,684,280
---------------
TOTAL COMMON STOCKS
(Cost $107,900,215) 148,717,713
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs
(Cost $1,007,353) 1,035,109
---------------
TOTAL -- SWITZERLAND
(Cost $108,907,568) 149,752,822
---------------
GERMANY -- (5.4%)
COMMON STOCKS -- (5.4%)
# Aachener und Muenchener Beteiligungs AG 32,773 2,365,409
# Aareal Bank AG 22,825 773,722
Allianz AG 5,000 522,715
* Bankgesellschaft Berlin AG 233,550 569,824
BASF AG 386,050 19,783,712
Bayer AG 280,139 8,022,055
* Bayerische Vereinsbank AG 485,020 8,193,305
# BHW Holding AG 34,600 540,214
# Bilfinger & Berger Bau AG 23,702 779,430
Commerzbank AG 408,050 6,665,331
# DaimlerChrysler AG 219,282 9,759,496
# Deutsche Bank AG 359,305 28,283,407
Deutsche Lufthansa AG 319,477 4,587,451
E.ON AG 7,600 529,503
* Fraport AG 63,708 1,842,234
# Fresenius Medical Care AG 27,600 2,041,697
#* Heidelberger Druckmaschinen AG 38,167 1,209,797
Heidelberger Zement AG 64,373 2,835,953
# Hochtief AG 56,150 1,232,333
* Hypo Real Estate Holding AG 84,277 2,369,101
# IVG Immobilien AG 30,276 349,823
# Karstadt Quelle AG 30,734 634,785
# Linde AG 77,043 3,989,632
# MAN AG 88,000 3,250,554
Merck KGAA 36,000 2,007,356
MG Technologies AG 135,773 1,766,950
# Preussag AG 115,227 2,236,610
Salzgitter AG 13,041 154,880
SCA Hygiene Products AG 3,550 1,300,620
ThyssenKrupp AG 290,691 4,862,280
* Vattenfall Europe AG 94,898 2,955,912
Volkswagen AG 120,547 5,280,608
---------------
TOTAL -- GERMANY
(Cost $125,815,346) 131,696,699
---------------
AUSTRALIA -- (3.8%)
COMMON STOCKS -- (3.8%)
Amcor, Ltd. 126,820 587,802
AMP Limited 1,026,451 4,079,874
Ansell, Ltd. 303,463 1,708,852
APN News & Media, Ltd. 486,363 1,418,593
AWB, Ltd. 345,296 1,207,045
AXA Asia Pacific Holdings, Ltd. 2,837,724 6,872,505
BHP Steel Ltd 1,252,100 5,536,152
Boral, Ltd. 899,150 3,760,136
Caltex Australia, Ltd. 440,369 2,714,191
Commonwealth Bank of Australia 48,696 $ 1,140,569
CSR, Ltd. 1,514,337 2,084,174
Downer Group, Ltd. 216,113 484,787
Futuris Corp., Ltd. 456,719 505,165
Insurance Australiz Group, Ltd. 1,428,272 4,641,130
# Lend Lease Corp., Ltd. 568,460 4,073,668
Lion Nathan, Ltd. 871,345 4,102,395
Mayne Group, Ltd. 1,280,958 2,736,434
Mirvac, Ltd. 1,140,163 3,452,949
Onesteel, Ltd. 436,697 700,279
Orica, Ltd. 352,900 3,685,332
Origin Energy, Ltd. 686,245 2,582,446
Paperlinx, Ltd. 727,704 2,526,782
Publishing and Broadcasting, Ltd. 579,260 5,098,686
# Quantas Airways, Ltd. 3,042,351 7,448,311
Rinker Group, Ltd. 1,155,484 6,177,109
Santos, Ltd. 953,246 4,610,445
# Seven Network, Ltd. 383,865 1,396,206
* Southcorp, Ltd. 1,146,542 2,585,702
* Stockland Trust Group 735 2,743
Stockland Trust Group 21,349 80,393
WMC Resources, Ltd. 1,760,061 5,798,458
---------------
TOTAL COMMON STOCKS
(Cost $64,985,485) 93,799,313
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar
(Cost $23,400) 21,915
---------------
TOTAL -- AUSTRALIA
(Cost $65,008,885) 93,821,228
---------------
NETHERLANDS -- (3.8%)
COMMON STOCKS -- (3.8%)
ABN-AMRO Holding NV 676,189 14,402,913
Aegon NV 822,637 9,934,972
* Air France 18,150 294,780
AM NV 61,661 541,577
Buhrmann NV 94,439 899,882
DSM NV 78,837 3,893,093
#* Hagemeyer NV 342,825 734,022
* Hunter Douglas NV 34,696 1,617,050
ING Groep NV 1,552,333 35,065,385
* Koninklijke Ahold NV 411,500 3,219,002
Koninklijke KPN NV 278,922 2,028,813
Koninklijke Nedlloyd NV 12,142 370,285
Koninklijke Philips Electronics NV 405,906 11,086,373
New Skies Satellites NV 52,400 424,180
Nutreco Holding NV 23,646 726,902
NV Holdingsmij de Telegraaf 6,800 150,573
Oce NV 60,734 903,874
Vedior NV 46,388 691,658
* Versatel Telecom International NV 323,150 644,450
VNU NV 168,736 4,968,415
---------------
TOTAL COMMON STOCKS
(Cost $60,608,176) 92,598,199
---------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 16,500 20,753
* AM NV Coupons 06/04/04 61,661 0
</Table>
57
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* ING Groep NV Coupons 06/17/05 1,552,333 $ 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $21,343) 20,753
---------------
TOTAL -- NETHERLANDS
(Cost $60,629,519) 92,618,952
---------------
SPAIN -- (3.0%)
COMMON STOCKS -- (3.0%)
# Acerinox SA 65,340 3,580,706
# Arcelor SA 30,000 503,953
Autopistas Concesionaria Espanola SA 905,074 15,258,004
Banco de Andalucia 900 79,548
Banco de Sabadell SA 154,021 3,170,801
# Banco Pastor SA 59,400 1,762,479
Cementos Portland SA 21,016 1,260,678
Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 1,667,765
Ebro Puleva SA 116,168 1,416,324
Endesa SA, Madrid 308,964 5,703,723
# Gas Natural SA, Buenos Aires 21,400 511,286
# Iberdrola SA 535,000 10,793,336
# Iberia Lineas Aereas de Espana SA 617,500 1,773,522
Inmobiliaria Colonial SA ICSA 41,300 1,001,296
# Inmobiliaria Urbis SA 96,328 1,065,716
# Metrovacesa SA 109,351 4,190,161
Repsol SA 496,967 10,514,033
Sociedad General de Aguas de Barcelona SA 107,683 1,793,055
* Sociedad General de Aguas de Barcelona SA 737 12,366
# Sol Melia SA 142,463 1,226,953
Union Fenosa SA 230,000 4,906,580
# Vallehermoso SA 45,000 662,610
---------------
TOTAL -- SPAIN
(Cost $44,543,185) 72,854,895
---------------
ITALY -- (2.9%)
COMMON STOCKS -- (2.9%)
#* Alitalia Linee Aeree Italiane SpA Series A 6,690,000 1,916,746
* Banca Antoniana Popolare Veneta SpA 83,000 1,655,360
Banca Monte Dei Paschi di Siena SpA 1,623,479 5,035,105
* Banca Nazionale del Lavoro SpA 1,652,352 3,462,165
# Banca Popolare di Lodi Scarl 374,206 3,428,369
# Banca Popolare di Milano 665,400 3,915,990
Banca Popolare Rights 57,990 531,109
# Benetton Group SpA 181,249 2,052,994
Buzzi Unicem SpA 67,793 891,483
# Caltagirone Editore SpA 222,304 1,692,017
Capitalia SpA 2,910,876 8,603,926
CIR SpA (Cie Industriale Riunite), Torino 500,000 1,017,041
# Compagnia Assicuratrice Unipol SpA 452,120 1,764,618
#* E.Biscom SpA 16,000 930,834
#* Edison SpA 899,081 1,557,540
Erg SpA 295,000 1,855,359
Ericsson SpA 20,069 796,765
#* Fiat SpA 1,054,970 $ 7,472,748
#* IFIL Finanziaria Partecipazioni SpA 1,368,874 4,849,708
# Italcementi SpA 444,060 5,556,122
# Italmobiliare SpA, Milano 33,664 1,572,078
Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 63,806
Milano Assicurazioni SpA 182,000 685,056
# Pirelli & Co. SpA 1,486,658 1,525,436
# SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 3,728,705
San Paolo-IMI SpA 121,701 1,393,518
# Societe Cattolica di Assicurazoni Scarl SpA 8,800 341,886
# Telecom Italia SpA 1,209,533 3,709,241
---------------
TOTAL COMMON STOCKS
(Cost $77,211,453) 72,005,725
---------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 01/31/07
(Cost $0) 51,693 11,459
---------------
TOTAL -- ITALY
(Cost $77,211,453) 72,017,184
---------------
SWEDEN -- (2.2%)
COMMON STOCKS -- (2.2%)
* Ainax AB 40,367 1,133,020
#* Bostads AB Drott 28,050 504,168
Carbo AB 2,900 71,692
Castellum AB 4,100 96,709
#* Drott Series AB 131,600 1,840,563
Gambro AB Series A 451,900 4,076,681
Gambro AB Series B 129,800 1,153,281
Holmen AB Series A 6,300 189,771
Holmen AB Series B 120,100 3,442,765
NCC AB Series B 59,700 504,412
Nordic Baltic Holdings AB 372,600 2,524,914
Skandinaviska Enskilda Banken Series A 196,000 2,826,139
Skandinaviska Enskilda Banken Series C 9,800 137,446
SSAB Swedish Steel Series A 121,600 2,034,049
SSAB Swedish Steel Series B 37,700 610,193
Svenska Cellulosa AB Series A 19,000 735,884
Svenska Cellulosa AB Series B 194,900 7,552,395
Svenska Kullagerfabriken AB Series A 22,650 819,199
Svenska Kullagerfabriken AB Series B 29,700 1,083,585
# Telia AB 255,500 1,080,122
Trelleborg AB Series B 103,600 1,877,706
# Volvo AB Series A 212,100 6,614,231
# Volvo AB Series B 413,600 13,520,720
Whilborg Fastigheter AB Class B 35,800 466,127
---------------
TOTAL -- SWEDEN
(Cost $42,136,221) 54,895,772
---------------
FINLAND -- (1.5%)
COMMON STOCKS -- (1.5%)
Fortum Oyj 1,071,385 12,579,654
Huhtamaki Van Leer Oyj 2,300 30,179
</Table>
58
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
# Kemira Oyj 101,377 $ 1,280,469
Kesko Oyj 157,000 3,090,975
Metso Oyj 219,166 2,684,084
M-real Oyj Series B 253,400 2,156,183
Okobank Class A 65,000 646,379
Outokumpu Oyj Series A 351,300 5,322,314
Rautaruukki Oyj Series K 12,900 96,037
Stora Enso Oyj Series R 595,800 7,722,494
Upm-Kymmene Oyj 83,100 1,492,540
Wartsila Corp. Oyj Series B 39,600 808,722
---------------
TOTAL -- FINLAND
(Cost $24,875,652) 37,910,030
---------------
HONG KONG -- (1.5%)
COMMON STOCKS -- (1.5%)
Cheung Kong Holdings, Ltd. 162,000 1,216,764
China Overseas Land & Investment, Ltd. 1,864,000 305,826
China Travel International Investment, Ltd. 680,000 119,479
# Chinese Estates Holdings, Ltd. 44,000 23,378
Great Eagle Holdings, Ltd. 94,000 146,264
# Hang Lung Development Co., Ltd. 1,765,000 2,400,392
Hang Lung Properties, Ltd. 624,500 812,550
Henderson Land Development Co., Ltd. 123,000 529,967
Hong Kong and Shanghai Hotels, Ltd. 225,500 130,054
Hopewell Holdings, Ltd. 906,000 1,575,933
Hutchison Whampoa, Ltd. 217,000 1,467,269
Hysan Development Co., Ltd. 1,434,699 2,309,173
I-Cable Communications, Ltd. 325,121 124,918
# Kerry Properties, Ltd. 1,610,884 2,606,259
New Asia Realty & Trust Co., Ltd. 140,000 52,872
New World Development Co., Ltd. 1,269,649 984,974
Shanghai Industrial Holdings Ltd. 545,000 1,010,000
# Shangri-La Asia, Ltd. 3,149,482 3,093,937
Shun Tak Holdings, Ltd. 134,000 54,545
# Sino Land Co., Ltd. 6,239,407 3,638,909
Tsim Sha Tsui Properties, Ltd. 472,000 575,844
Wharf Holdings, Ltd. 3,251,214 9,164,226
Wheelock and Co., Ltd. 3,128,000 3,748,765
---------------
TOTAL COMMON STOCKS
(Cost $41,233,673) 36,092,298
---------------
RIGHTS/WARRANTS -- (0.0%)
* China Travel International Investment, Ltd.
Warrants 05/31/06
(Cost $0) 136,000 0
---------------
TOTAL -- HONG KONG
(Cost $41,233,673) 36,092,298
---------------
IRELAND -- (1.1%)
COMMON STOCKS -- (1.1%)
Allied Irish Banks P.L.C. 141,102 1,998,999
Bank of Ireland P.L.C. 99,637 1,179,578
CRH P.L.C. 279,359 5,933,437
* Elan Corp. P.L.C. 690,634 16,309,681
Irish Permanent P.L.C. 186,115 $ 2,800,171
---------------
TOTAL -- IRELAND
(Cost $12,849,099) 28,221,866
---------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
Ackermans & Van Haaren SA 4,187 99,981
# Algemene Mij Voor Nijverheidskredit Almanij 74,928 4,545,058
# Banque Nationale de Belgique 1,049 3,583,170
Bekaert SA 2,787 161,051
Cofinimmo SA 1,108 142,068
#* Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 88,564 4,140,848
# Dexia SA 87,003 1,456,158
D'Ieteren SA 431 85,797
Groupe Bruxelles Lambert 55,500 3,428,987
* ING Bank Belgium NV 128 4
Nationale a Portefeuille 4,029 568,411
Sofina SA 10,500 529,160
# Suez (ex Suez Lyonnaise des Eaux) 95,400 1,850,319
# Tessenderlo Chemie 31,155 1,090,587
#* Umicore-Strip VVPR 2,009 367
Union Miniere SA 54,327 3,298,083
---------------
TOTAL COMMON STOCKS
(Cost $21,735,276) 24,980,049
---------------
RIGHTS/WARRANTS -- (0.0%)
* Cofinimmo SA Rights 06/11/04
(Cost $0) 1,108 0
---------------
TOTAL -- BELGIUM
(Cost $21,735,276) 24,980,049
---------------
DENMARK -- (0.9%)
COMMON STOCKS -- (0.9%)
Carlsberg A.S. Series B 32,525 1,591,566
Codan A.S. 28,400 1,190,252
Danisco A.S. 29,530 1,399,523
Danske Bank A.S. 395,753 8,998,165
* Jyske Bank A.S. 22,300 1,175,746
Nordea AB 475,918 3,245,559
Rockwool, Ltd. 6,850 281,287
Tele Danmark A.S. 99,350 3,351,691
---------------
TOTAL -- DENMARK
(Cost $14,826,540) 21,233,789
---------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
DBS Group Holdings, Ltd. 357,000 2,954,705
Fraser & Neave, Ltd. 507,290 4,023,360
Haw Par Brothers International, Ltd. 2,698 7,409
Keppel Corp., Ltd. 855,000 3,343,117
# Neptune Orient Lines, Ltd. 801,000 1,009,059
Overseas Chinese Banking Corp., Ltd. 94,000 662,427
Sembcorp Industries, Ltd. 400,000 338,608
Singapore Airlines, Ltd. 617,000 3,810,654
Singapore Land, Ltd. 133,000 301,943
United Overseas Bank, Ltd. 66,000 503,724
</Table>
59
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
# United Overseas Land, Ltd. 259,000 $ 344,575
---------------
TOTAL COMMON STOCKS
(Cost $13,210,685) 17,299,581
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $7,704) 7,821
---------------
TOTAL -- SINGAPORE
(Cost $13,218,389) 17,307,402
---------------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
* Aker Kvaerner ASA 46,100 736,061
Den Norske Bank ASA Series A 606,394 3,847,441
Norsk Hydro ASA 16,700 1,036,330
Norske Skogindustrier ASA Series A 163,300 2,722,389
# Storebrand ASA 201,500 1,353,445
* Yara International ASA 16,700 123,919
---------------
TOTAL -- NORWAY
(Cost $8,187,301) 9,819,585
---------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
* Agricultural Bank of Greece S.A. 123,600 860,524
Alpha Credit Bank 35,040 916,728
Bank of Greece 8,520 900,526
Bank of Piraeus S.A. 4,600 53,590
Commercial Bank of Greece 44,760 1,185,010
EFG Eurobank Ergasias S.A. 60,097 1,337,660
Hellenic Petroleum S.A. 159,140 1,216,321
Hellenic Tellecommunication Organization Co. S.A. 140,460 1,845,612
Intracom S.A. 92,390 464,799
National Bank of Greece 15,520 467,402
---------------
TOTAL -- GREECE
(Cost $7,870,638) 9,248,172
---------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Comercial Portugues SA 195,400 452,850
BPI SGPS SA 202,800 739,958
Cimpor Cimentos de Portugal SA 503,265 2,640,397
Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,429,895
---------------
TOTAL -- PORTUGAL
(Cost $5,351,923) 6,263,100
---------------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
Bohler Uddeholm AG 6,402 488,199
OMV AG 5,913 1,036,949
Voestalpine AG 62,211 2,775,952
Wienerberger AG 16,123 546,392
---------------
TOTAL -- AUSTRIA
(Cost $3,477,881) 4,847,492
---------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 99,828 $ 421,080
Carter Holt Harvey, Ltd. 2,429,700 2,991,974
Fletcher Building, Ltd. 171,130 474,829
---------------
TOTAL COMMON STOCKS
(Cost $3,707,347) 3,887,883
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $6,846) 6,639
---------------
TOTAL -- NEW ZEALAND
(Cost $3,714,193) 3,894,522
---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Rekapacific Berhad 691,000 0
---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency
(Cost $881,605) 886,023
---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (19.3%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.89%,
06/01/04 (Collateralized by $31,615,000 FMC Discount
Notes 1.13%, 08/12/04, valued at $31,535,963) to be
repurchased at $31,071,072 (Cost $31,068,000) $ 31,068 31,068,000
Repurchase Agreement, Deutsche Bank Securities 1.00%,
06/01/04 (Collateralized by $534,822,356 U.S. Treasury
Obligations rates ranging from 7.50% to 8.75%, maturities
ranging from 11/15/16 to 08/15/20, valued at $660,863,438)
to be repurchased at $442,051,058 (Cost $442,001,947)^ 442,002 442,001,947
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $473,069,947) 473,069,947
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,082,684,554)++ $ 2,449,898,522
===============
</Table>
- ----------
+ See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
^ Security purchased with cash proceeds from securities on loan.
++ The cost for federal income tax purposes is $2,082,875,007.
See accompanying Notes to Financial Statements.
60
<Page>
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
JAPAN -- (78.8%)
COMMON STOCKS -- (78.1%)
* A&A Material Corp. 123,000 $ 112,368
ABILIT Corp. 22,000 112,214
Achilles Corp. 549,000 988,770
Aderans Co., Ltd. 2,850 59,451
Advan Co., Ltd. 36,000 355,571
ADVANEX, Inc. 78,000 409,821
* Aeon Fantasy Co., Ltd. 4,000 85,691
Ahresty Corp. 28,300 228,737
Aichi Bank, Ltd. 13,200 831,880
# Aichi Corp. 119,900 575,338
* Aichi Machine Industry Co., Ltd. 153,000 464,198
Aichi Tokei Denki Co., Ltd. 67,000 193,558
Aida Engineering, Ltd. 113,000 506,131
Aigan Co., Ltd. 33,500 213,495
Aiphone Co., Ltd. 32,000 550,628
Airport Facilities Co., Ltd. 79,970 360,288
# Airtech Japan, Ltd. 12,100 98,440
Aisan Industry Co., Ltd. 80,500 721,947
* Akai Electric Co., Ltd. 363,000 3,284
Akebono Brake Industry Co., Ltd. 141,000 582,382
Akita Bank, Ltd. 42,000 165,275
Allied Material Corp. 37,700 555,224
# Allied Telesis KK 10,300 381,881
Aloka Co., Ltd. 43,000 341,677
# Alpha Systems Inc. 19,600 293,947
Alpine Electronics, Inc. 9,100 116,586
Alps Logistics Co., Ltd. 21,000 410,383
Altech Co., Ltd. 14,000 64,276
Amano Corp. 154,000 1,238,561
Amatsuji Steel Ball Manufacturing Co., Ltd. 42,000 442,441
Ando Corp. 120,000 233,353
Anest Iwata Corp. 74,000 166,277
Anrakutei Co., Ltd. 24,000 160,774
* AOC Holdings, Inc. 111,100 667,372
Aoi Advertising Promotion, Inc. 21,000 138,867
AOI Electronics Co., Ltd. 14,500 275,068
Aoki International Co., Ltd. 78,100 1,033,171
Aomori Bank, Ltd. 50,000 194,199
* Apic Yamada Corp. 20,000 74,257
* Arai-Gumi, Ltd. 34,450 69,542
Arakawa Chemical Industries, Ltd. 23,800 310,486
Araya Industrial Co., Ltd. 84,000 126,928
* Argo 21 Corp. 13,200 87,525
Ariake Japan Co., Ltd. 5,300 144,381
Aronkasei Co., Ltd. 53,000 199,307
As One Corp. 22,500 582,351
# Asahi Denka Kogyo KK 169,000 1,416,641
Asahi Diamond Industrial Co., Ltd. 112,000 626,104
Asahi Kogyosha Co., Ltd. 48,000 137,206
# Asahi Organic Chemicals Industry Co., Ltd. 157,000 440,981
Asahi Pretec Corp. 30,800 414,811
*# Asahi Soft Drinks Co., Ltd. 81,500 638,128
*# Asahi Tec Corp. 86,000 $ 138,694
*# Asahi Techno Glass Corp. 95,000 660,540
Asanuma Corp. 123,000 203,777
# Ashimori Industry Co., Ltd. 84,000 167,000
Asia Air Survey Co., Ltd. 6,000 16,297
Asia Securities Printing Co., Ltd. 29,000 258,868
Asics Corp. 333,000 910,065
Asunaro Construction., Ltd. 29,000 184,452
Ataka Constuction & Engineering Co., Ltd. 38,000 130,920
# Atom Corp. 16,600 193,892
# Atsugi Co., Ltd. 322,000 352,614
Aucnet, Inc. 15,000 217,046
Avex Inc. 14,600 235,401
* Azel Corp., Tokyo 89,000 94,936
Bando Chemical Industries, Ltd. 213,000 672,392
Bank of Okinawa, Ltd. 33,900 732,088
Bank of Saga, Ltd. 44,000 160,970
Bank of the Ryukyus, Ltd. 45,880 743,358
* Banpresto Co., Ltd. 6,800 88,405
# Best Denki Co., Ltd. 214,000 963,756
# BSL Corp. 210,950 305,662
Bull Dog Sauce Co., Ltd. 26,000 279,978
Bunka Shutter Co., Ltd. 134,000 645,951
Cabin Co., Ltd. 67,000 171,650
# CAC Corp. 31,100 212,737
# Calpis Co., Ltd. 125,000 897,301
Canon Electronics, Inc. 43,000 916,618
Canon Finetech, Inc. 67,070 1,009,111
Capcom Co., Ltd. 31,200 319,599
* Catena Corp. 46,000 122,424
* Cats, Inc. 15,400 418
# Cecile Co., Ltd. 64,100 581,358
Central Finance Co., Ltd. 180,000 644,733
Central Security Patrols Co., Ltd. 31,400 255,762
# CFS Corp. 47,500 319,755
* Chiba Kogyo Bank, Ltd. 80,600 577,582
# Chino Corp. 70,000 218,843
Chiyoda Co., Ltd. 64,400 1,000,584
Chofu Seisakusho Co., Ltd. 54,500 1,000,990
* Chori Co., Ltd. 256,000 328,875
Chuetsu Pulp and Paper Co., Ltd. 176,000 449,423
* Chugai Mining Co., Ltd. 188,600 136,151
# Chugai Ro Co., Ltd. 139,000 332,122
# Chugoku Marine Paints, Ltd. 111,000 574,660
# Chugokukogyo Co., Ltd. 45,000 148,278
Chukyo Bank, Ltd. 44,000 160,784
Chuo Denki Kogyo co., Ltd. 19,000 96,418
Chuo Gyorui Co., Ltd. 61,000 103,699
Chuo Spring Co., Ltd., Nagoya 91,000 346,403
CKD Corp. 113,000 796,516
*# Clarion Co., Ltd. 587,000 950,042
Cleanup Corp. 71,000 763,556
# CMK Corp. 62,000 857,462
Coca Cola Central Japan Co., Ltd. 139 985,011
# Colowide Co., Ltd. 29,000 277,378
</Table>
61
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
*# Columbia Music Entertainment, Inc. 212,000 $ 207,213
Commuture Corp. 71,202 523,365
Computer Engineering & Consulting, Ltd. 29,800 351,029
* Co-Op Chemical Co., Ltd. 80,000 80,248
* Core Corp. 5,000 113,280
# Corona Corp. 44,300 629,054
# Cosel Co., Ltd. 33,400 1,008,969
Create Medic Co., Ltd. 7,000 56,926
Credia Co., Ltd. 14,000 204,925
Cresco, Ltd. 11,600 113,161
CTI Engineering Co., Ltd. 19,000 105,623
*# Culture Convenience Club Co., Ltd. 29,600 315,673
* D&M Holdings, Inc. 134,000 387,625
# Dai Nippon Toryo, Ltd. 193,000 274,095
Daibiru Corp. 47,000 286,416
Dai-Dan Co., Ltd. 65,000 303,053
Daido Kogyo Co., Ltd. 60,000 108,185
Daidoh, Ltd. 54,000 439,405
Daifuku Co., Ltd. 176,000 810,974
Daihen Corp. 215,000 451,076
# Daiho Corp. 96,000 210,869
Dai-Ichi Jitsugyo Co., Ltd. 80,000 219,129
Dai-Ichi Kogyo Seiyaku Co., Ltd. 47,000 127,859
# Daiken Corp. 208,000 950,956
Daiki Co., Ltd. 41,300 419,573
Daiko Clearing Services Corp. 25,000 136,191
* Daikoku Denki Co., Ltd. 7,000 129,169
*# Daikyo, Inc. 444,000 988,493
Daimei Telecom Engineering Corp. 65,000 375,924
Dainichi Co., Ltd. 27,200 120,085
# Dainichiseika Colour & Chemicals Manufacturing Co., Ltd. 163,000 780,374
# Dainippon Shigyo Co., Ltd. 25,000 119,859
Daisan Bank, Ltd. 50,000 189,752
# Daiseki Co., Ltd. 35,400 589,076
# Daiso Co., Ltd. 112,000 297,842
* Daisue Construction Co., Ltd. 151,500 172,603
Daisyo Corp. 32,000 337,553
Daito Seiki Co., Ltd. 18,000 50,556
* Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 42,000 41,668
Daiwa Industries, Ltd. 82,000 256,009
Daiwa Kosho Lease Co., Ltd. 225,000 1,097,305
*# Daiwa Seiko, Inc. 145,000 152,419
Daiwabo Co., Ltd. 217,000 265,350
Daiwabo Information System Co., Ltd. 22,000 254,884
Danto Corp. 42,000 164,222
DC Co., Ltd. 33,000 68,543
Denki Kogyo Co., Ltd. 111,000 417,249
# Denny's Japan Co., Ltd. 51,000 962,104
Densei-Lambda KK 34,584 294,844
# Denyo Co., Ltd. 38,000 224,640
*# Descente, Ltd. 119,000 346,499
* Dia Kensetsu Co., Ltd. 141,200 185,913
Diamond Computer Service Co., Ltd. 37,700 348,350
* Dijet Industrial Co., Ltd. 34,000 55,130
Doshisha Co., Ltd. 15,000 524,298
# Doutor Coffee Co., Ltd. 34,200 587,348
DTS Corp. 21,200 446,500
* Dydo Drinco Inc. 9,100 269,900
*# Dynic Corp. 52,000 $ 140,592
# Eagle Industry Co., Ltd. 78,000 397,190
* Econach Co., Ltd. 26,000 12,471
* Eco-Tech Construction Co., Ltd. 241,000 2,180
Edion Corp. 112,316 1,212,015
Ehime Bank, Ltd. 232,000 806,804
# Eiken Chemical Co., Ltd. 54,000 487,509
Eikoh, Inc. 8,000 53,333
* Eizo Nanao Corp. 9,200 260,281
Elna Co., Ltd. 22,000 54,036
Enplas Corp. 29,800 979,701
*# Enshu, Ltd. 69,000 111,142
Ensuiko Sugar Refining Co., Ltd. 51,000 95,323
Exedy Corp. 71,000 1,092,374
* F.D.C. Products, Inc. 7,200 80,936
* Fancl Corp. 5,900 194,970
*# FDK Corp. 178,000 434,395
Fine Sinter Co., Ltd. 31,000 94,966
* First Baking Co., Ltd. 67,000 110,338
Foster Electric Co., Ltd. 32,000 232,826
FP Corp. 38,800 780,034
# France Bed Holdings Co., Ltd. 193,000 784,049
*# Fudo Construction Co., Ltd. 40,200 199,827
* Fuji Co.,Ltd. 6,900 129,651
* Fuji Corp, Ltd. 3,000 24,946
Fuji Kiko Co., Ltd. 71,000 202,392
*# Fuji Kosan Co., Ltd. 130,000 139,905
Fuji Kyuko Co., Ltd. 170,000 602,860
*# Fuji Spinning Co., Ltd., Tokyo 163,000 199,044
Fujicco Co., Ltd. 46,000 536,857
* Fujii & Co., Ltd. 44,000 398
* Fujiko Co., Ltd. 55,000 995
Fujikura Kasei Co., Ltd. 43,000 315,407
Fujikura Rubber, Ltd. 34,000 179,851
# Fujirebio, Inc. 75,000 985,307
* Fujita Corp. 96,000 109,322
# Fujita Kanko, Inc. 194,000 754,015
Fujitec Co., Ltd. 145,000 700,453
* Fujitsu Access, Ltd. 36,000 201,604
Fujitsu Business Systems, Ltd. 45,300 605,039
Fujitsu Devices, Inc. 38,000 471,329
Fujitsu Fronttec, Ltd. 41,500 422,222
*# Fujitsu General, Ltd. 161,000 624,018
*# Fujiya Co., Ltd. 190,000 281,470
Fukuda Corp. 65,000 287,509
Fukushima Bank, Ltd. 271,000 473,395
* Fukusima Industries Corp. 10,500 134,050
* Fukusuke Corp. 95,000 860
Fumakilla, Ltd. 24,000 37,618
* Furukawa Battery Co., Ltd. 45,000 79,853
*# Furukawa Co., Ltd. 643,000 666,862
Fuso Lexel Inc. 17,000 135,239
Fuso Pharmaceutical Industries, Ltd. 157,000 497,721
* Ga-jo-en Kanko KK 37,000 0
Gakken Co., Ltd. 168,000 281,096
* Generas Corp. 64,000 579
# Genki Sushi Co., Ltd. 17,200 221,106
Geostar Corp. 10,000 35,300
Global-Dining, Inc. 6,200 40,511
# Godo Steel, Ltd. 242,000 748,957
* Goldwin, Inc. 76,000 120,517
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SHARES VALUE+
--------------- ---------------
# Gourmet Kineya Co., Ltd. 31,000 $ 255,165
* Graphtec Corp. 39,000 62,610
Gro-BeLS Co., Ltd. 84,000 114,266
* GSI Creoss Corp. 90,000 173,995
Gun-Ei Chemical Industry Co., Ltd. 127,000 359,915
Hagoromo Foods Corp. 29,000 288,231
Hakuto Co., Ltd. 36,400 461,429
Hakuyosha Co., Ltd. 57,000 164,958
Haltec Corp. 32,000 50,528
* Hamai Co., Ltd. 22,000 27,772
Hanshin Sogo Bank, Ltd. 78,000 166,075
Hanwa Co., Ltd. 405,000 1,283,436
Happinet Corp. 15,000 173,684
Harashin Co., Ltd. 24,300 189,893
Harima Chemicals, Inc. 37,000 252,287
Haruyama Trading Co., Ltd. 21,600 262,268
*# Hayashikane Sangyo Co., Ltd. 128,000 147,309
* Hazama Corp. 36,500 96,101
Heiwado Co., Ltd. 15,000 192,811
Hibiya Engineering, Ltd. 63,000 484,267
Higashi-Nippon Bank, Ltd. 288,000 765,937
Hisaka Works, Ltd. 41,000 297,472
Hitachi Business Solution Co., Ltd. 22,700 163,583
Hitachi Kiden Kogyo, Ltd. 20,000 78,044
Hitachi Koki Co., Ltd. 153,000 855,084
Hitachi Kokusai Electric, Inc. 76,000 526,889
Hitachi Medical Corp. 59,000 751,139
Hitachi Metals Techno, Ltd. 12,000 30,967
* Hitachi Mobile Co., Ltd. 12,000 85,627
Hitachi Plant Engineering & Construction Co., Ltd. 177,000 683,203
Hitachi Powdered Metal Co., Ltd. 46,000 288,937
Hitachi Tool Engineering, Ltd. 39,000 287,576
# Hochiki Corp. 42,000 193,653
*# Hodogaya Chemical Co., Ltd. 100,000 329,697
* Hohsui Corp. 56,000 63,736
Hokkai Can Co., Ltd., Tokyo 106,000 251,323
*# Hokkaido Bank, Ltd. 580,000 984,633
Hokkaido Coca Cola Bottling Co., Ltd. 64,000 381,738
Hokkaido Gas Co., Ltd. 87,000 211,106
Hokko Chemical Industry Co., Ltd. 41,000 135,916
Hokuetsu Bank, Ltd. 350,000 721,515
Hokuriku Electric Industry Co., Ltd. 112,000 200,711
Hokuriku Electrical Construction Co., Ltd. 36,000 98,320
Hokuriku Gas Co., Ltd. 64,000 180,039
* Hokushin Co., Ltd. 39,900 60,579
# Hokuto Corp. 51,700 796,917
Homac Corp. 66,500 597,913
Honshu Chemical Industry Co., Ltd. 7,000 38,719
# Horiba, Ltd. 54,000 755,614
Horipro, Inc. 23,400 184,452
*# Hosokawa Micron Corp. 40,000 189,641
*# Howa Machinery, Ltd. 181,000 198,251
*# Ichida and Co., Ltd. 23,400 41,823
Ichikawa Co., Ltd. 49,000 147,498
Ichiken Co., Ltd. 48,000 57,703
Ichikoh Industries, Ltd. 141,000 338,362
Ichiyoshi Securities Co., Ltd. 87,000 620,530
# Icom, Inc. 23,600 562,646
Idec Izumi Corp. 54,500 500,919
Ihara Chemical Industry Co., Ltd. 80,000 $ 179,688
# Iino Kaiun Kaisha, Ltd. 161,000 670,569
*# Ikegami Tsushinki Co., Ltd. 102,000 198,983
i-Logistics Corp. 35,000 56,959
* Imasen Electric Industrial Co., Ltd. 15,800 114,371
Impact 21 Co., Ltd. 30,600 717,490
* Impress Corp. 178 209,002
Inaba Denki Sangyo Co., Ltd. 40,500 823,449
# Inaba Seisa Kusho Co., Ltd. 28,400 439,330
Inabata and Co., Ltd., Osaka 95,000 676,033
Inageya Co., Ltd. 83,000 760,182
Ines Corp. 80,400 790,994
I-Net Corp. 12,000 44,213
# Information Services International-Dentsu, Ltd. 51,800 669,069
Intec, Inc. 65,000 424,553
# Inui Steamship Co., Ltd. 31,000 102,802
ISE Chemicals Corp. 38,000 130,391
# Iseki & Co., Ltd. 348,000 864,470
Ishihara Sangyo Kaisha, Ltd. 133,000 260,764
Ishii Hyoki Co., Ltd. 8,600 92,904
*# Ishii Iron Works Co., Ltd. 52,000 66,494
*# Ishikawa Seisakusho, Ltd. 75,000 93,520
Ishikawajima Construction Materials Co., Ltd. 18,000 48,056
Ishikawajima Transport Machinery Co., Ltd. 16,000 40,623
Ishizuka Glass Co., Ltd. 49,000 100,512
Itochu Enex Co., Ltd. 149,300 757,807
Itochu Shokuh Co., Ltd. 20,700 759,029
Itoki Crebio Corp. 56,000 147,977
Iwaki & Co., Ltd. 38,000 96,233
# Iwasaki Electric Co., Ltd. 110,000 389,506
Iwatani International Corp. 389,000 879,705
* Iwatsu Electric Co., Ltd. 145,000 312,103
* Izuhakone Railway Co., Ltd. 300 36,643
*# Izukyu Corp. 11,700 84,657
Izumiya Co., Ltd. 135,000 871,311
*# Izutsuya Co., Ltd. 123,000 238,055
# Jac Holdings Co., Ltd. 11,000 44,169
Jaccs Co., Ltd. 207,000 1,204,962
* Jalux, Inc. 9,700 170,985
Jamco Corp. 18,000 71,878
*# Janome Sewing Machine Co., Ltd. 224,000 328,562
Japan Business Computer Co., Ltd. 34,000 214,964
# Japan Carlit Co., Ltd. 28,000 183,761
# Japan Cash Machine Co., Ltd. 29,810 823,382
Japan Digital Laboratory Co., Ltd. 53,900 583,792
Japan Foundation Engineering Co., Ltd. 49,200 223,870
Japan Information Processing Service Co., Ltd. 31,800 229,277
Japan Kenzai Co., Ltd. 30,400 247,349
Japan Maintenance Co., Ltd. 27,000 215,447
Japan Medical Dynamic Marketing Inc. 26,100 304,476
Japan Oil Transportation Co., Ltd. 45,000 100,000
# Japan Pulp and Paper Co., Ltd. 229,000 746,172
* Japan Radio Co., Ltd. 38,000 163,509
Japan Servo Co., Ltd. 51,000 136,344
Japan Steel Tower Co., Ltd. 19,000 36,124
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SHARES VALUE+
--------------- ---------------
# Japan Steel Works, Ltd. 590,000 $ 843,246
# Japan Storage Battery Co., Ltd. 529,000 1,186,989
# Japan Transcity Corp. 94,000 233,432
Japan Vilene Co., Ltd. 101,000 325,528
Japan Wool Textile Co., Ltd. 138,000 685,988
Jastec Co., Ltd. 11,600 188,047
Jeans Mate Corp. 12,740 149,719
# Jeol, Ltd. 119,000 768,302
*# Jidosha Denki Kogyo Co., Ltd. 34,000 57,826
JMS Co., Ltd. 49,000 147,373
Joban Kosan Co., Ltd. 101,000 154,459
J-Oil Mills, Inc. 274,000 788,809
Joint Corp. 24,900 430,672
# Joshin Denki Co., Ltd. 98,000 352,894
Jsp Corp. 42,300 451,784
Juel Verite Ohkubo Co., Ltd 24,000 62,245
*# Jujiya Co., Ltd. 321,000 301,591
*# Juki Corp. 153,000 535,541
* Jyomo Co., Ltd. 48,000 100,311
# K.R.S. Corp. 17,000 312,052
Kabuki-Za Co., Ltd. 15,000 556,310
Kadokawa Holdings, Inc. 27,000 862,436
# Kaga Electronics Co., Ltd. 38,400 699,769
Kagawa Bank, Ltd. 126,350 656,099
# Kagome Co., Ltd. 41,600 381,756
Kahma Co., Ltd. 51,400 626,962
# Kaken Pharmaceutical Co., Ltd. 146,000 794,601
* Kakuei (L.) Corp. 100,000 905
*# Kamagai Gumi Co., Ltd. 87,800 206,055
Kameda Seika Co., Ltd. 33,000 230,035
Kamei Corp. 59,000 370,959
Kanaden Corp. 55,000 270,107
Kanagawa Chuo Kotsu Co., Ltd. 100,000 584,161
Kanamoto Co., Ltd. 43,000 214,047
*# Kanebo, Ltd. 723,000 581,724
*# Kanematsu Corp. 534,500 846,434
Kanematsu Electronics, Ltd. 45,500 519,270
* Kanematsu-NNK Corp. 60,000 142,761
Kanto Auto Works, Ltd., Yokosuka 78,000 767,789
# Kanto Denka Kogyo Co., Ltd. 83,000 402,113
Kanto Natural Gas Development Co., Ltd. 104,000 582,724
# Kanto Tsukuba Bank, Ltd. 45,500 355,602
Kasai Kogyo Co., Ltd. 59,000 160,352
Kasei (C.I.) Co., Ltd. 46,000 153,073
# Kasumi Co., Ltd. 132,000 770,311
Katakura Chikkarin Co., Ltd. 17,000 51,668
Katakura Industries Co., Ltd. 55,000 557,222
Kato Sangyo Co., Ltd. 60,300 790,104
# Kato Works Co., Ltd. 82,000 167,582
Katsumura Construction Co., Ltd. 48,600 50,523
Kawada Industries, Inc. 76,000 194,284
*# Kawai Musical Instruments Manufacturing Co., Ltd. 99,000 137,041
* Kawasaki Kasei Chemicals, Ltd. 36,000 35,556
Kawashima Textile Manufacturers, Ltd. 126,000 160,902
* Kawasho Corp. 549,000 1,358,075
Kawasho Gecoss Corp. 57,900 229,823
Kawasumi Laboratories, Inc. 26,000 175,210
Kawatetsu Systems, Inc. 112 156,311
Kayaba Industry Co., Ltd. 40,000 $ 136,781
* Keihanshin Real Estate Co., Ltd. 25,000 114,767
# Keihin Co., Ltd. 100,000 172,870
Keiiyu Co., Ltd. 15,000 147,949
Keiyo Co., Ltd. 139,900 664,860
# Kentucky Fried Chicken Japan, Ltd. 55,000 1,072,451
*# Kenwood Corp. 382,000 943,261
# Key Coffee, Inc. 33,000 440,938
# Kibun Food Chemifa Co., Ltd. 42,000 760,650
* Kimmon Manufacturing Co., Ltd. 41,000 48,965
* Kimura Chemical Plants Co., Ltd. 27,000 39,325
Kinki Coca-Cola Bottling Co., Ltd. 97,000 844,952
*# Kinki Nippon Tourist Co., Ltd. 133,000 371,726
# Kinki Sharyo Co., Ltd., Nagaokakyo 101,000 261,205
* Kinsho Corp. 21,000 60,914
# Kinugawa Rubber Industrial Co., Ltd. 107,000 236,554
Kioritz Corp. 96,000 217,386
# Kishu Paper Co., Ltd. 125,000 204,561
Kisoji Co., Ltd. 34,400 462,341
# Kitagawa Iron Works Co., Ltd. 124,000 211,328
Kita-Nippon Bank, Ltd. 13,006 610,281
Kitano Construction Corp. 124,000 227,816
Kitazawa Sangyo Co., Ltd. 17,500 39,409
# Kitz Corp. 234,000 890,517
Koa Corp. 67,300 591,787
Koatsu Gas Kogyo Co., Ltd. 78,000 250,970
Kobayashi Yoko Co., Ltd. 16,900 324,880
Kodensha Co., Ltd. 14,000 39,268
Koekisha Co., Ltd. 9,600 218,290
# Kohnan Shoji Co., Ltd. 29,500 564,588
Kohsoku Corp. 24,000 232,330
Koike Sanso Kogyo Co., Ltd. 71,000 126,392
Koito Industries, Ltd. 66,000 277,472
# Kojima Co., Ltd. 61,800 732,677
* Kokune Corp. 42,000 380
* Kokusai Kogyo Co., Ltd. 60,000 188,194
Komai Tekko, Inc. 53,000 122,227
# Komatsu Electronics Metals Co., Ltd. 46,800 579,024
Komatsu Seiren Co., Ltd. 53,000 208,740
Komatsu Wall Industry Co., Ltd. 17,300 289,779
Konaka Co., Ltd. 29,700 408,203
# Konami Sports Corp. 43,800 762,592
Kondotec, Inc. 12,500 65,324
Konishi Co., Ltd. 28,000 236,010
Kosaido Co., Ltd. 34,000 294,934
# Kosei Securities Co., Ltd. 137,000 308,983
*# Kubotek Corp. 147 244,055
Kumiai Chemical Industry Co., Ltd., Tokyo 108,000 260,020
Kurabo Industries, Ltd. 372,000 632,944
Kureha Chemical Industry Co., Ltd. 36,000 144,153
# Kurimoto, Ltd. 202,000 403,048
# Kuroda Electric Co., Ltd. 31,200 1,322,088
Kurosaki Harima Corp. 125,000 209,259
Kyoden Co., Ltd. 79,000 628,726
Kyodo Printing Co., Ltd. 152,000 531,461
# Kyodo Shiryo Co., Ltd. 145,000 166,603
Kyoei Sangyo Co., Ltd. 44,000 150,438
# Kyoei Tanker Co., Ltd. 53,000 116,210
Kyokuto Boeki Kaisha, Ltd. 36,000 92,644
Kyokuto Kaihatsu Kogyo Co., Ltd. 44,800 523,585
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SHARES VALUE+
--------------- ---------------
Kyokuyo Co., Ltd. 167,000 $ 270,807
# Kyoritsu Maintenance Co., Ltd. 15,400 323,685
Kyosan Electric Manufacturing Co., Ltd. 97,000 325,983
Kyoto Kimono Yuzen Co., Ltd. 128 285,941
Kyowa Electronic Instruments Co., Ltd. 30,000 86,679
Kyowa Exeo Corp. 22,000 144,411
Kyowa Leather Cloth Co., Ltd. 32,000 196,984
Kyudenko Corp. 140,000 645,788
Kyushu-Shinwa Holdings, Inc. 487,000 1,032,380
# Laox Co., Ltd. 54,000 131,946
Life Corp. 25,400 267,218
* Link Consulting Associates - Japan Corp. 8,600 72,708
* Lonseal Corp. 69,000 56,213
* Look, Inc. 50,000 207,617
Macnica, Inc. 28,400 795,318
Maeda Corp. 38,000 162,119
Maeda Road Construction Co., Ltd. 155,000 1,073,668
Maezawa Industries, Inc. 27,700 138,077
Maezawa Kaisei Industries Co., Ltd. 20,600 331,461
Maezawa Kyuso Industries Co., Ltd. 25,400 248,181
* Magara Construction Co., Ltd. 61,000 60,512
# Makino Milling Machine Co., Ltd. 141,000 872,537
* Mamiya-Op Co., Ltd. 58,000 82,435
Marche Corp. 10,700 103,880
# Mars Engineering Corp. 22,200 1,311,312
Marubeni Construction Material Lease Co., Ltd. 54,000 90,519
Marubun Corp. 44,600 338,758
Marudai Food Co., Ltd. 189,000 350,662
* Maruei Department Store Co., Ltd. 72,000 158,506
# Maruetsu, Inc. 27,000 148,610
Maruha Group, Inc. 477,000 794,101
*# Maruishi Cycle Industries, Ltd. 214,000 34,856
Marusan Securities Co., Ltd. 106,000 631,593
Maruwa Co., Ltd. 17,500 291,098
Maruwn Corp. 44,000 117,182
Maruya Co., Ltd. 14,000 101,231
Maruyama Manufacturing Co., Inc. 73,000 106,885
*# Maruzen Co., Ltd. 179,000 370,718
Maruzen Co., Ltd. - General Commercial Kitchen
Appliances & Equipment 30,000 173,741
Maruzen Showa Unyu Co., Ltd. 156,000 448,427
Maspro Denkoh Corp. 32,300 336,264
Matsuda Sangyo Co., Ltd. 34,500 282,370
Matsui Construction Co., Ltd. 40,000 125,124
* Matsuo Bridge Co., Ltd. 37,000 90,482
# Matsuya Co., Ltd. 84,000 344,168
# Matsuya Foods Co., Ltd. 30,300 651,460
Matsuzakaya Co., Ltd. 189,077 823,964
Max Co., Ltd. 84,000 923,345
* Maxvalu Tohok Co., Ltd. 12,900 108,568
# Megachips Corp. 39,100 371,112
# Meidensha Corp. 378,050 777,496
*# Meiji Machine Co., Ltd. 90,000 86,190
Meiji Shipping Co., Ltd. 47,000 160,448
Meisei Industrial Co., Ltd. 29,000 105,051
Meito Sangyo Co., Ltd. 41,700 678,806
Meito Transportation Co., Ltd. 22,000 $ 171,752
# Meiwa Estate Co., Ltd. 34,000 360,081
Meiwa Industry Co., Ltd. 15,000 43,356
* Meiwa Trading Co., Ltd. 55,000 118,536
Melco Holdings, Inc. 9,000 228,003
Mercian Corp. 212,000 518,609
Mikuni Coca-Cola Bottling Co., Ltd. 76,000 666,588
# Milbon Co., Ltd. 14,900 391,741
# Mimasu Semiconductor Industry Co., Ltd. 33,200 494,924
Ministop Co., Ltd. 45,500 744,606
Mirai Group Co., Ltd. 49,000 86,721
Miroku Jyoho Service Co., Ltd. 22,500 203,687
* Misawa Homes Holdings, Inc. 262,900 735,533
# Misawa Resort Co., Ltd. 90,000 256,731
Mito Securities Co., Ltd. 113,000 373,596
Mitsuba Corp. 60,000 340,886
* Mitsubishi Cable Industries, Ltd. 277,000 330,724
* Mitsubishi Kakoki Kaisha, Ltd. 117,000 166,467
# Mitsubishi Paper Mills, Ltd. 505,000 759,934
Mitsubishi Pencil Co., Ltd. 61,000 468,783
# Mitsubishi Plastics, Inc. 333,000 830,724
Mitsubishi Shindoh Co., Ltd. 82,000 178,091
# Mitsubishi Steel Manufacturing Co., Ltd. 253,000 341,478
Mitsuboshi Belting, Ltd. 153,000 569,271
Mitsui High-Tec, Inc. 68,400 806,062
Mitsui Home Co., Ltd. 97,000 519,421
# Mitsui Knowledge Industry Co., Ltd. 20,100 206,469
*# Mitsui Matsushima Co., Ltd. 90,000 123,857
* Mitsui Mining Co., Ltd. 112,500 131,305
Mitsui Sugar Co., Ltd. 145,000 333,097
Mitsui-Soko Co., Ltd. 221,000 664,820
Mitsumi Electric Co., Ltd. 34,800 356,175
# Mitsumura Printing Co., Ltd. 49,000 334,866
Mitsuuroko Co., Ltd. 107,000 648,293
Miura Co., Ltd. 66,400 1,036,205
Miura Printing Corp. 16,000 52,934
Miyaji Engineering Group 90,000 154,716
Miyazaki Bank, Ltd. 275,000 1,029,276
# Miyoshi Oil & Fat Co., Ltd. 120,000 230,204
# Miyuki Keori Co., Ltd. 50,000 168,599
Mizuno Corp. 205,000 956,560
* Momiji Holdings, Inc. 340 728,907
Mori Seiki Co., Ltd. 19,900 166,206
# Morinaga & Co., Ltd. 419,000 911,417
*# Morishita Jinton Co., Ltd. 32,800 136,168
Morita Corp. 74,000 285,272
# Moritex Corp. 15,000 133,184
Morozoff, Ltd., Osaka 50,000 92,305
Mory Industries, Inc. 66,000 167,633
Mos Food Services, Inc. 47,000 556,643
Moshi Moshi Hotline, Inc. 8,700 553,884
# MR Max Corp. 56,300 187,298
* Mutoh Industries, Ltd. 78,000 186,279
Mutow Co., Ltd. 38,000 186,987
Myojo Foods Co., Ltd. 67,000 379,148
Nabtesco Corp. 210,000 1,084,913
# NAC Co., Ltd. 13,000 104,096
# Nachi-Fujikoshi Corp. 433,000 1,367,895
Nagano Bank, Ltd. 122,000 384,709
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SHARES VALUE+
--------------- ---------------
* Nagano Japan Radio Co., Ltd. 27,000 $ 45,038
# Nagatanien Co., Ltd. 56,000 416,553
*# Naigai Co., Ltd. 109,000 102,707
Nakabayashi Co., Ltd. 76,000 120,240
# Nakamuraya Co., Ltd. 85,000 251,699
* Nakano Corp. 49,000 118,016
# Nakayama Steel Works, Ltd. 186,000 593,215
Nakayo Telecommunications, Inc. 36,000 148,093
# NEC Infrontia Corp. 196,000 539,191
* NEC Mobiling, Ltd. 3,200 89,463
# NEC System Integration & Construction, Ltd. 65,000 565,309
# NEC Tokin Corp. 180,000 859,720
Neturen Co., Ltd., Tokyo 66,000 342,901
New Japan Radio Co., Ltd. 62,000 772,698
* New Real Property KK 43,900 0
# Nichia Steel Works, Ltd. 67,900 213,197
# Nichias Corp. 237,000 868,589
# Nichiban Co., Ltd. 58,000 161,610
* Nichiboshin, Ltd. 1,190 1,077
Nichiha Corp. 64,980 958,119
Nichimo Co., Ltd. 54,000 108,885
* Nichimo Corp. 85,000 84,373
# Nichireki Co., Ltd. 44,000 152,863
# Nichiro Corp. 289,000 410,334
Nidec Tosok Corp. 24,500 382,096
Nihon Dempa Kogyo Co., Ltd. 32,100 700,780
Nihon Eslead Corp. 19,440 375,412
# Nihon Inter Electronics Corp. 54,000 515,015
Nihon Kagaku Sangyo Co., Ltd. 32,000 139,896
* Nihon Kentetsu Co., Ltd. 27,000 58,461
Nihon Kohden Corp. 85,000 983,453
Nihon Matai Co., Ltd. 50,000 92,359
Nihon Nohyaku Co., Ltd. 103,000 191,101
# Nihon Parkerizing Co., Ltd. 105,000 674,468
Nihon Seiko Co., Ltd. 11,000 33,322
Nihon Shokuh Kako Co., Ltd. 26,000 55,282
* Nihon Spindle Manufacturing Co., Ltd. 56,000 90,139
Nihon Tokushu Toryo Co., Ltd. 35,000 202,979
Nikken Chemicals Co., Ltd. 81,000 226,733
Nikkiso Co., Ltd. 107,000 445,772
Nikko Co., Ltd., Akashi 52,000 163,249
* Nippei Toyama Corp. 80,000 158,599
Nippo Corp. 25,000 136,880
* Nippon Avionics Co., Ltd. 40,000 108,454
Nippon Beet Sugar Manufacturing Co., Ltd. 243,000 417,652
*# Nippon Carbide Industries Co., Inc., Tokyo 101,000 154,560
# Nippon Carbon Co., Ltd. 177,000 267,184
# Nippon Ceramic Co., Ltd. 37,000 436,412
Nippon Chemical Industrial Co., Ltd. 131,000 455,079
# Nippon Chemi-Con Corp. 197,000 1,021,558
* Nippon Chemiphar Co., Ltd. 49,000 150,010
Nippon Chutetsukan KK 44,000 82,047
Nippon Concrete Industries Co., Ltd. 65,000 99,586
* Nippon Conlux Co., Ltd. 30,000 188,645
* Nippon Conveyor Co., Ltd. 43,000 40,907
# Nippon Denko Co., Ltd. 159,000 564,470
Nippon Densetsu Kogyo Co., Ltd. 93,000 372,211
Nippon Denwa Shisetu Co., Ltd. 104,000 341,379
Nippon Felt Co., Ltd. 28,000 $ 97,306
# Nippon Fine Chemical Co., Ltd. 40,000 155,205
Nippon Flour Mills Co., Ltd. 186,000 828,584
* Nippon Foil Mfg., Co., Ltd. 21,000 47,119
# Nippon Formula Feed Manufacturing Co., Ltd. 100,000 163,559
Nippon Gas Co., Ltd. 62,000 429,371
Nippon Hume Corp. 43,000 97,228
# Nippon Kanzai Co., Ltd. 32,700 516,695
*# Nippon Kasei Chemical Co., Ltd. 154,000 200,292
* Nippon Kinzoku Co., Ltd. 93,000 155,931
# Nippon Koei Co., Ltd., Tokyo 137,000 301,032
Nippon Konpo Unyu Soko Co., Ltd. 115,000 1,036,979
*# Nippon Koshuha Steel Co., Ltd. 221,000 273,875
*# Nippon Metal Industry Co., Ltd. 230,000 325,126
Nippon Pigment Co., Ltd. 11,000 29,746
Nippon Pillar Packing Co., Ltd. 33,000 207,707
Nippon Piston Ring Co., Ltd. 133,000 218,274
Nippon Road Co., Ltd. 147,000 259,144
# Nippon Seiki Co., Ltd. 85,000 695,474
Nippon Seisen Co., Ltd. 39,000 153,296
Nippon Sharyo, Ltd. 233,000 591,050
Nippon Shinyaku Co., Ltd. 111,000 627,801
Nippon Signal Co., Ltd. 109,000 584,298
Nippon Soda Co., Ltd. 215,000 560,485
Nippon Suisan Kaisha, Ltd. 133,000 318,926
# Nippon Synthetic Chemical Industry Co., Ltd. 152,000 326,127
Nippon System Development Co., Ltd. 40,600 786,274
Nippon Systemware Co., Ltd. 20,000 150,615
# Nippon Thompson Co., Ltd. 117,000 833,024
Nippon Tungsten Co., Ltd. 44,000 99,396
Nippon Valqua Industries, Ltd. 119,000 268,919
*# Nippon Yakin Kogyo Co., Ltd. 117,500 367,528
Nippon Yusoki Co., Ltd. 49,000 136,787
Nishimatsuya Chain Co., Ltd. 36,720 1,288,842
Nishishiba Electric Co., Ltd. 28,000 45,663
*# Nissan Diesel Motor Co., Ltd. 378,000 870,695
* Nissei Corp. 10,900 102,045
Nissei Plastic Industrial Co., Ltd. 35,000 233,678
* Nisseki House Industry Co., Ltd. 260,000 2,352
# Nissha Printing Co., Ltd. 81,000 1,211,670
# Nisshin Fire & Marine Insurance Co., Ltd. 293,000 972,441
Nisshin Fudosan Co., Ltd. 22,400 237,302
Nissho Electronics Corp. 49,900 391,182
# Nissin Co., Ltd. 413,200 1,447,382
Nissin Corp. 150,000 323,617
* Nissin Electric Co., Ltd. 162,000 575,644
Nissin Kogyo Co., Ltd. 33,800 807,983
Nissin Sugar Manufacturing Co., Ltd. 74,000 133,544
Nissui Pharmaceutical Co., Ltd. 34,000 199,438
Nitchitsu Co., Ltd. 14,000 24,483
Nitta Corp. 46,400 650,501
Nittan Valve Co., Ltd. 58,000 230,230
Nittetsu Mining Co., Ltd. 132,000 481,533
# Nittetsu Steel Sheet Corp. 117,000 259,551
Nitto Boseki Co., Ltd. 364,000 761,445
Nitto Electric Works, Ltd. 72,100 593,495
# Nitto Flour Milling Co., Ltd. 54,000 122,292
Nitto Kohki Co., Ltd. 36,000 684,901
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SHARES VALUE+
--------------- ---------------
Nitto Seiko Co., Ltd. 56,000 $ 111,779
# Nitto Seimo Co., Ltd. 32,000 69,257
*# Nittoc Construction Co., Ltd. 61,000 127,816
* NIWS Co., Ltd. 58 169,215
Noda Corp. 2,800 16,940
NOF Corp. 39,000 145,075
Nohmi Bosai, Ltd. 59,000 315,857
Nomura Co., Ltd. 61,000 346,425
Noritake Co., Ltd. 320,000 1,274,424
Noritz Corp. 11,200 174,431
Nosan Corp. 201,000 369,074
Obayashi Road Corp. 65,000 120,125
Odakyu Construction Co., Ltd. 29,000 81,456
Odakyu Real Estate Co., Ltd. 58,000 145,824
Oenon Holdings, Inc. 74,000 180,834
* Ohki Corp. 73,000 660
* Ohmori Co., Ltd. 18,400 9,354
Oie Sangyo Co., Ltd. 13,200 101,524
Oiles Corp. 32,500 660,007
Oita Bank, Ltd. 39,000 190,332
Okabe Co., Ltd. 29,000 93,107
# Okamoto Industries, Inc. 212,000 541,020
* Okamoto Machine Tool Works, Ltd. 75,000 200,287
Okamura Corp. 24,000 183,348
Okaya Electric Industries Co., Ltd. 32,000 92,616
Oki Electric Cable Co., Ltd. 56,000 104,003
Okinawa Electric Power Co., Ltd. 22,900 798,039
* OKK Corp. 101,000 157,276
* Okuma and Howa Machinery, Ltd. 69,000 119,947
*# Okuma Corp. 193,000 690,948
# Okura Industrial Co., Ltd. 96,000 597,749
Okuwa Co., Ltd. 73,000 847,075
Olympic Corp. 36,100 467,727
# O-M, Ltd. 46,000 70,660
* Omikenshi Co., Ltd. 53,000 46,832
Ono Sokki Co., Ltd. 43,000 305,600
* Onoken Co., Ltd. 11,000 101,858
Organo Corp. 101,000 480,148
* Orient Watch Co., Ltd. 12,000 4,451
# Oriental Construction Co., Ltd. 39,000 184,778
Oriental Yeast Co., Ltd. 52,000 447,759
# Origin Electric Co., Ltd. 54,000 273,941
Osaka Securities Finance Co., Ltd. 54,000 158,238
Osaka Steel Co., Ltd. 72,200 805,262
# Osaki Electric Co., Ltd. 56,000 273,440
Oyo Corp. 45,800 475,582
# P.S. Mitsubishi Construction Co., Ltd. 46,500 187,883
Pacific Industrial Co., Ltd. 86,000 349,923
* Pacific Metals Co., Ltd. 44,000 166,580
# Parco Co., Ltd. 124,000 737,017
* Pasco Corp. 111,500 310,911
Patlite Corp. 13,440 243,237
PCA Corp. 12,000 146,720
*# Penta-Ocean Construction Co., Ltd. 574,000 986,761
# Pentax Corp. 180,000 874,492
Petrolub International Co., Ltd. 24,800 107,673
* PIA Corp. 4,600 99,355
Pigeon Corp. 37,000 518,294
Pilot Corp. 65 195,443
Piolax, Inc. 19,600 354,194
Pocket Card Co., Ltd. 41,000 439,948
# Pokka Corp. 48,000 $ 184,258
Poplar Co., Ltd. 13,560 180,413
Posful Corp. 36,900 227,120
*# Press Kogyo Co., Ltd. 162,000 368,272
*# Prima Meat Packers, Ltd. 355,000 379,449
Pulstec Industrial Co., Ltd. 21,200 130,988
Q'Sai Co., Ltd. 51,600 468,146
Raito Kogyo Co., Ltd. 84,900 372,372
Rasa Industries, Ltd. 119,000 286,093
*# Renown D'urban Holdings, Inc. 53,880 724,900
# Resorttrust Inc. 42,600 1,112,227
Rheon Automatic Machinery Co., Ltd. 40,000 122,314
Rhythm Watch Co., Ltd. 344,000 654,961
Ricoh Elemex Corp. 35,000 161,264
Ricoh Leasing Co., Ltd. 10,000 267,359
Right On Co., Ltd. 25,200 925,370
Rikei Corp. 22,500 53,987
Riken Corp. 193,000 635,213
Riken Keiki Co., Ltd. 33,000 169,531
Riken Technos Corp. 93,000 297,640
Riken Vitamin Co., Ltd. 37,000 667,465
Ringer Hut Co., Ltd. 38,300 395,273
Rion Co., Ltd. 5,000 23,337
# Rock Field Co., Ltd. 25,300 404,217
Rohto Pharmaceutical Co., Ltd. 83,000 814,658
Roland Corp. 40,600 657,857
Roland DG Corp. 3,000 114,263
Royal Co., Ltd. 71,000 1,085,957
Ryobi, Ltd. 265,000 921,361
Ryoden Trading Co., Ltd. 70,000 408,611
Ryosan Co., Ltd. 10,300 216,344
Ryoyo Electro Corp. 48,400 621,802
S Foods, Inc. 28,000 180,012
*# S Science Co., Ltd. 285,000 111,068
# S.T. Chemical Co., Ltd. 48,000 550,668
*# Saeki Kensetsu Kogyo Co., Ltd. 71,000 74,476
# Sagami Chain Co., Ltd. 37,000 315,406
Sagami Co., Ltd. 51,000 179,050
Sagami Rubber Industries Co., Ltd. 15,000 41,464
* Saibu Gas Co., Ltd. 102,000 189,211
* Sailor Pen Co., Ltd. 74,000 216,027
# Saizeriya Co., Ltd. 78,100 1,073,692
Sakai Chemical Industry Co., Ltd. 162,000 682,653
Sakai Heavy Industries, Ltd. 60,000 154,660
* Sakai Ovex Co., Ltd. 85,000 161,607
Sakata Inx Corp. 92,000 453,580
Sakata Seed Corp. 78,900 992,678
* Sakurada Co., Ltd. 38,000 51,348
Sala Corp. 56,000 243,480
San-Ai Oil Co., Ltd. 134,000 476,821
# Sanix, Inc. 65,000 426,894
Sankei Building Co., Ltd. 69,000 375,073
Sanki Engineering Co., Ltd. 120,000 765,295
Sanko Co., Ltd. 12,000 76,229
Sanko Metal Industrial Co., Ltd., Tokyo 54,000 113,967
Sankyo Seiko Co., Ltd. 86,000 342,451
# Sankyu, Inc., Tokyo 415,000 747,277
Sanoh Industrial Co., Ltd. 53,000 282,719
# Sanrio Co., Ltd. 58,600 700,135
Sanshin Electronics Co., Ltd. 57,000 400,118
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SHARES VALUE+
--------------- ---------------
Sanyo Denki Co., Ltd. 95,000 $ 359,389
Sanyo Electric Credit Co., Ltd. 48,600 1,046,299
Sanyo Engineering & Construction, Inc. 34,000 147,926
Sanyo Industries, Ltd., Tokyo 48,000 123,557
# Sanyo Special Steel Co., Ltd. 283,000 438,173
*# Sasebo Heavy Industries Co., Ltd., Tokyo 201,000 209,212
* Sata Construction Co., Ltd., Gumma 61,000 58,525
* Sato Corp. 7,000 174,231
Sato Shoji Corp. 31,000 184,382
Satori Electric Co., Ltd. 24,480 347,086
Sawafugji Electric Co., Ltd. 31,000 65,788
* Secom Joshinetsu Co., Ltd. 7,200 128,518
Secom Techno Service Co., Ltd. 19,500 656,263
* Seibu Electric Industry Co., Ltd. 24,000 100,430
# Seijo Corp. 17,400 230,853
Seika Corp. 145,000 242,568
* Seikitokyu Kogyo Co., Ltd. 86,000 94,985
Seiko Corp. 180,407 1,134,705
# Seiren Co., Ltd. 92,000 605,762
# Sekisui Jushi Co., Ltd. 73,000 386,335
Sekisui Plastics Co., Ltd. 145,000 404,361
Sekiwa Real Eastate, Ltd. 36,000 380,029
Sekiwa Real Estate Chubu, Ltd. 7,000 38,986
Senko Co., Ltd. 205,000 737,281
# Senshukai Co., Ltd. 75,000 721,112
Shaddy Co., Ltd. 32,200 376,855
*# Shibaura Mechatronics Corp. 79,000 586,164
Shibusawa Warehouse Co., Ltd. 115,000 260,941
# Shibuya Kogyo Co., Ltd. 54,000 429,512
* Shikibo, Ltd. 155,000 187,925
Shikoku Chemicals Corp. 89,000 324,522
Shikoku Coca-Cola Bottling Co., Ltd. 37,000 401,595
Shimizu Bank, Ltd. 15,500 732,481
Shin Nippon Air Technologies Co., Ltd. 31,180 167,852
Shinagawa Refractories Co., Ltd. 104,000 228,597
* Shindengen Electric Manufacturing Co., Ltd. 129,000 445,545
Shin-Etsu Polymer Co., Ltd. 124,000 747,647
# Shinkawa, Ltd. 30,200 675,516
Shin-Keisei Electric Railway Co., Ltd. 97,000 324,266
Shinki Co., Ltd. 61,000 356,864
# Shinko Electric Co., Ltd. 257,000 658,243
Shinko Plantech Co., Ltd. 27,000 27,872
Shinko Shoji Co., Ltd. 29,000 203,554
Shin-Kobe Electric Machinery Co., Ltd. 71,000 250,998
Shinmaywa Industries, Ltd. 203,000 760,870
# Shinsho Corp. 110,000 199,233
# Shinwa Kaiun Kaisha, Ltd. 257,000 593,886
Shinyei Kaisha 54,000 110,709
Shiraishi Corp. 25,000 40,930
Shiroki Co., Ltd. 132,000 281,112
Shizuki Electric Co., Inc. 47,000 121,645
* Shizuokagas Co., Ltd. 25,000 91,643
# Sho-Bond Corp. 46,200 269,960
Shobunsha Publications, Inc. 25,000 310,681
*# Shochiku Co., Ltd. 165,000 939,788
# Shoei Co., Ltd. 24,000 350,534
Shoei Foods Corp. 14,000 $ 67,951
Shoko Co., Ltd. 156,000 229,801
Shokusan Bank, Ltd. 98,000 318,961
Showa Aircraft Industry Co., Ltd. 47,000 258,636
Showa Corp. 18,400 178,359
Showa Electric Wire & Cable Co., Ltd., Kawasaki 329,000 410,302
# Showa Highpolymer Co., Ltd. 86,000 234,853
Showa Mining Co., Ltd. 66,000 97,541
# Showa Sangyo Co., Ltd. 282,000 643,379
Showa Tansan Co., Ltd. 21,000 64,341
# Siix Corp. 9,000 177,270
Silver Ox Inc. 30,000 67,020
*# Silver Seiko, Ltd. 228,000 105,643
Sinanen Co., Ltd. 160,000 695,404
Sintokogio, Ltd., Nagoya 89,000 411,030
SMK Corp. 127,000 565,649
Snow Brand Seed Co., Ltd. 16,000 65,858
SNT Corp. 31,000 140,469
Soda Nikka Co., Ltd. 35,000 80,518
# Sodick Co., Ltd. 69,000 582,429
Software Research Associates, Inc. 6,200 61,117
# Sogo Medical Co., Ltd. 8,800 135,199
* Sokkisha Co., Ltd. 40,000 109,150
Sonton Food Industry Co., Ltd. 27,000 237,301
# Sorun Corp. 41,000 239,864
# Sotetsu Rosen Co., Ltd. 44,000 248,220
Sotoh Co., Ltd. 12,000 169,590
Space Co., Ltd. 19,180 176,036
* SPC Electronics Corp. 29,000 127,611
SPK Corp. 7,800 108,604
SRL, Inc. 66,900 715,204
SS Pharmaceutical Co., Ltd., Tokyo 25,000 160,998
Star Micronics Co., Ltd. 89,000 729,904
Starzen Corp. 126,000 242,377
# Stella Chemifa Corp. 17,500 282,019
Subaru Enterprise Co., Ltd. 36,000 110,089
Sumida Corp. 23,900 765,627
Suminoe Textile Co., Ltd. 122,000 235,711
*# Sumitomo Coal Mining Co., Ltd. 200,000 219,913
Sumitomo Densetsu Co., Ltd. 50,700 157,824
# Sumitomo Light Metal Industries, Ltd. 493,000 844,703
* Sumitomo Mitsui Construction Co., Ltd. 413,600 477,674
Sumitomo Pipe & Tube Co., Ltd. 52,000 132,243
Sumitomo Precision Products Co., Ltd., Amagasaki City 84,000 251,194
# Sumitomo Seika Chemicals Co., Ltd. 102,000 270,712
Sumitomo Special Metals Co., Ltd. 76,000 1,035,644
# Sumitomo Warehouse Co., Ltd. 235,000 891,149
Sun Wave Corp. 80,000 303,261
Sundrug Co., Ltd. 3,200 160,865
SunTelephone Co., Ltd. 55,000 335,607
# Suruga Corp. 15,400 262,008
* Suzutan Co., Ltd. 13,200 126,738
SXL Corp. 129,000 241,654
Sysmex Corp. 39,800 1,158,760
# T.Hasegawa Co., Ltd. 63,700 1,003,274
# Tabai Espec Corp. 34,000 452,305
Tachihi Enterprise Co., Ltd. 17,000 668,901
Tachikawa Corp. 25,100 140,685
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SHARES VALUE+
--------------- ---------------
Tachi-S Co., Ltd. 42,100 $ 414,720
# Tadano, Ltd. 201,000 724,992
Taihei Dengyo Kaisha, Ltd. 70,000 267,324
* Taihei Kogyo Co., Ltd. 114,000 171,049
*# Taiheiyo Kouhatsu, Inc. 90,000 90,627
Taiho Kogyo Co., Ltd. 35,600 294,956
Taikisha, Ltd. 97,000 1,331,991
Taisei Corp. 18,700 62,284
* Taisei Lamick Co., Ltd. 3,700 80,234
Taisei Rotec Corp. 140,000 229,297
# Taito Co., Ltd. 70,000 168,465
Taito Corp. 573 856,544
# Taiyo Toyo Sanso Co., Ltd. 232,000 852,426
Takada Kiko Co., Ltd. 31,000 175,083
Takagi Securities Co., Ltd. 94,000 243,487
Takamatsu Corp. 29,300 824,063
Takano Co., Ltd. 22,100 373,817
* Takaoka Electric Manufacturing Co., Ltd.,Tokyo 156,000 211,897
* Taka-Q Co., Ltd. 34,500 61,361
# Takara Co., Ltd. 224,000 1,098,666
Takara Printing Co., Ltd. 17,050 155,993
Takara Standard Co., Ltd. 30,000 164,128
* Takarabune Corp. 26,000 235
# Takasago International Corp. 156,000 727,221
Takasago Thermal Engineering Co., Ltd. 132,000 831,236
# Takashima & Co., Ltd. 60,000 107,916
Takigami Steel Construction Co., Ltd. 42,000 245,312
# Takiron Co., Ltd. 118,000 454,920
Takuma Co., Ltd. 136,000 880,506
# Tamura Corp. 113,000 624,412
* Tamura Taiko Holdings, Inc. 74,000 262,456
Tanseisha Co., Ltd. 26,000 103,064
# Tasaki Shinju Co., Ltd. 53,000 202,150
# Tateho Chemical Industries Co., Ltd. 26,500 120,915
Tatsuta Electric Wire & Cable Co., Ltd. 106,000 182,445
Taya Co., Ltd. 5,000 40,530
Tayca Corp. 74,000 237,879
*# TC Properties Co., Ltd. 579,000 0
TCM Corp. 146,000 305,414
* TDF Corp. 11,000 39,185
* Teac Corp. 113,000 183,636
Techno Ryowa, Ltd. 32,200 166,202
# Tecmo, Ltd. 27,000 286,666
Teikoku Hormone Manufacturing Co., Ltd. 38,000 323,147
# Teikoku Piston Ring Co., Ltd. 42,000 236,265
Teikoku Sen-I Co., Ltd. 39,000 166,032
Teikoku Tsushin Kogyo Co., Ltd. 73,000 259,990
Tekken Corp. 224,000 349,624
Ten Allied Co., Ltd. 37,000 136,737
Tenma Corp. 56,400 894,785
Teraoka Seisakusho Co., Ltd. 29,000 292,912
Tetra Co., Ltd., Tokyo 41,000 140,893
The Daito Bank, Ltd. 155,000 246,756
The Nisshin Oillio Group, Ltd. 346,000 1,138,030
Three F Co., Ltd. 12,200 89,417
Tigers Polymer Corp. 27,000 127,561
*# Titan Kogyo KK 36,000 90,700
# TKC Corp. 48,300 $ 830,674
# Toa Corp. 301,000 424,737
Toa Doro Kogyo Co., Ltd. 65,000 129,960
Toa Oil Co., Ltd. 145,000 241,126
* Toabo Corp. 73,000 69,402
Toagosei Co., Ltd. 544,719 1,173,125
*# Tobu Store Co., Ltd. 71,000 152,998
TOC Co., Ltd. 94,000 841,955
* Tocalo Co., Ltd. 4,000 123,049
Tochigi Bank, Ltd. 91,000 509,846
Tochigi Fuji Industrial Co., Ltd. 51,000 151,406
Toda Kogyo Corp. 68,000 268,582
# Todentu Corp. 57,000 130,547
Toei Co., Ltd. 228,000 861,278
Toenec Corp. 157,000 539,990
Tohcello Co., Ltd. 47,000 134,500
Toho Co., Ltd. 43,000 335,453
* Toho Rayon Co., Ltd. 28,000 54,967
Toho Real Estate Co., Ltd. 98,000 364,080
# Toho Titanium Co., Ltd. 44,000 602,286
# Toho Zinc Co., Ltd. 189,000 404,403
Tohoku Bank, Ltd. 92,000 182,958
Tohoku Misawa Homes Co., Ltd. 24,000 87,406
Tohoku Pioneer Corp. 34,000 671,312
Tohoku Telecommunications Construction Co., Ltd. 17,000 99,817
* Tohpe Corp. 36,000 39,335
# Tohto Suisan Co., Ltd. 54,000 94,249
# Tokai Carbon Co., Ltd. 316,000 992,782
Tokai Corp. 120,000 480,894
*# Tokai Kanko Co., Ltd. 333,000 105,434
Tokai Konetsu Kogyo Co., Ltd. 15,000 67,059
# Tokai Pulp & Paper Co., Ltd. 88,000 295,187
Tokai Senko KK, Nagoya 47,000 78,033
Tokai Tokyo Securities Co., Ltd. 366,250 1,056,777
Tokico, Ltd. 189,000 670,079
Tokimec, Inc. 119,000 237,204
Toko Electric Corp. 39,000 129,331
# Toko, Inc. 151,000 536,615
Tokushima Bank, Ltd. 111,200 717,116
Tokushu Paper Manufacturing Co., Ltd. 80,000 340,402
Tokyo Biso Kogyo Corp. 13,000 77,239
Tokyo Denpa Co., Ltd. 11,000 167,166
Tokyo Dome Corp. 251,000 1,021,074
* Tokyo Electron Device, Ltd. 22 116,101
Tokyo Energy & Systems, Inc. 49,000 202,726
Tokyo Kikai Seisakusho, Ltd. 132,000 370,243
Tokyo Leasing Co., Ltd. 96,900 1,139,423
Tokyo Nissan Auto Sales Co., Ltd. 97,000 286,584
Tokyo Rakutenchi Co., Ltd. 92,000 347,222
* Tokyo Rope Manufacturing Co., Ltd. 232,000 384,290
Tokyo Sangyo Co., Ltd. 36,500 99,333
Tokyo Soir Co., Ltd. 34,000 96,770
*# Tokyo Tekko Co., Ltd. 67,000 230,635
Tokyo Theatres Co., Inc., Tokyo 116,000 132,174
Tokyo Tomin Bank, Ltd. 58,600 1,439,373
Tokyotokeiba Co., Ltd. 422,000 675,279
# Tokyu Community Corp. 22,800 304,974
*# Tokyu Department Store Co., Ltd. 406,000 615,282
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SHARES VALUE+
--------------- ---------------
Tokyu Livable Inc. 22,200 $ 421,700
Tokyu Recreation Corp. 48,000 255,807
Tokyu Store Chain Corp. 175,000 883,766
Toli Corp. 106,000 235,134
Tomato Bank, Ltd. 189,000 407,395
Tomen Electronics Corp. 13,700 678,557
Tomoe Corp. 56,000 100,018
# Tomoegawa Paper Co., Ltd. 55,000 177,008
Tomoku Co., Ltd. 136,000 359,273
Tomy Co., Ltd. 32,400 539,295
Tonami Transportation Co., Ltd. 165,000 531,486
Topcon Corp. 78,000 878,935
Topre Corp. 81,000 464,814
# Topy Industries, Ltd. 351,000 1,075,334
# Torigoe Co., Ltd. 35,000 154,887
Torii Pharmaceutical Co., Ltd. 44,600 859,669
Torishima Pump Manufacturing Co., Ltd., Osaka 47,000 255,363
Tose Co., Ltd. 9,800 173,091
# Toshiba Ceramics Co., Ltd. 350,000 1,232,366
# Toshiba Machine Co., Ltd. 294,000 1,152,836
# Toshiba Plant Kensetsu Co., Ltd. 139,000 664,817
Tosho Printing Co., Ltd. 103,000 321,838
* Totenko Co., Ltd. 35,000 65,893
Totetsu Kogyo Co., Ltd. 53,000 199,777
* Totoku Electric Co., Ltd., Tokyo 62,000 90,989
Tottori Bank, Ltd. 148,000 554,670
# Touei Housing Corp. 37,800 1,715,359
* Toukei Computer Co., Ltd. 9,100 105,329
Towa Bank, Ltd. 340,000 799,165
* Towa Corp. 33,000 368,102
Towa Meccs Corp. 75,000 75,929
*# Towa Real Estate Development Co., Ltd. 80,000 209,483
Toyo Bussan Co., Ltd. 24,200 197,145
* Toyo Communication Equipment Co., Ltd. 89,000 476,810
*# Toyo Construction Co., Ltd. 398,000 385,930
# Toyo Corp. 49,200 543,989
# Toyo Electric Co., Ltd. 67,000 193,915
*# Toyo Engineering Corp. 473,000 1,001,964
*# Toyo Kanetsu KK 220,000 328,089
Toyo Kohan Co., Ltd. 152,000 501,730
# Toyo Radiator Co., Ltd. 118,000 611,637
Toyo Securities Co., Ltd. 113,000 401,066
* Toyo Shutter Co., Ltd. 77,000 82,142
* Toyo Sugar Refining Co., Ltd. 60,000 66,322
# Toyo Tire & Rubber Co., Ltd. 332,000 840,730
Toyo Wharf & Warehouse Co., Ltd. 118,000 201,842
# Trans Cosmos, Inc. 34,800 916,557
Trusco Nakayama Corp. 52,800 873,858
Tsubaki Nakashima Co., Ltd. 61,000 770,188
Tsubakimoto Chain Co. 98,000 325,148
Tsubakimoto Kogyo Co., Ltd. 44,000 92,220
Tsudakoma Corp. 101,000 226,050
* Tsugami Corp. 124,000 281,125
Tsukamoto Co., Ltd. 44,000 65,806
Tsukishima Kikai Co., Ltd. 70,000 453,133
Tsurumi Manufacturing Co., Ltd. 44,000 235,919
# Tsutsumi Jewelry Co., Ltd. 31,100 916,345
Tsutsunaka Plastic Industry Co., Ltd. 52,000 193,687
Tsuzuki Denki Co., Ltd. 36,000 $ 146,830
Tsuzuki Densan Co., Ltd. 14,200 65,670
TYK Corp. 67,000 173,273
U.Store Co., Ltd. 37,300 325,031
Ube Material Industries, Ltd. 116,000 256,713
Uchida Yoko Co., Ltd. 85,000 314,859
Ueki Corp. 47,000 77,712
# Unicafe, Inc. 10,360 142,709
Unimat Offisco Corp. 32,600 402,797
* Unitika, Ltd. 756,000 856,467
U-Shin, Ltd. 32,000 173,962
Utoc Corp. 68,000 108,626
* Valor Co., Ltd. 4,000 111,318
Vital-Net, Inc. 64,800 486,358
Wakachiku Construction Co., Ltd. 206,000 289,337
# Wakamoto Pharmaceutical Co., Ltd. 48,000 142,517
Wakodo Co., Ltd. 4,600 157,292
Warabeya Nichiyo Co., Ltd. 21,160 260,839
Watabe Wedding Corp. 11,400 212,142
Watami Food Service Co., Ltd. 64,200 614,634
Weathernews, Inc. 11,900 120,672
* Wondertable, Ltd. 8,000 9,644
Wood One Co., Ltd. 86,000 735,066
Xebio Co., Ltd. 12,000 354,972
* XNET Corp. 27 114,824
Yachiyo Musen Denki Co., Ltd. 16,800 105,741
Yahagi Construction Co., Ltd. 59,000 202,566
# Yaizu Suisankagaku Industry Co., Ltd. 20,100 176,423
Yamagata Bank, Ltd. 68,000 297,854
Yamaichi Electronics Co., Ltd. 24,700 243,570
Yamamura Glass Co., Ltd. 189,000 406,506
Yamatake Corp. 14,300 138,937
* Yamatane Corp. 131,000 177,000
# Yamato Corp. 36,000 218,156
Yamato International, Inc. 43,000 252,604
Yamato Kogyo Co., Ltd. 118,000 1,342,161
Yamaura Corp. 19,000 52,356
Yamazen Co., Ltd. 140,000 346,483
Yaoko Co., Ltd. 29,000 630,351
Yasuda Warehouse Co., Ltd. 61,000 308,193
Yellow Hat, Ltd., Tokyo 39,600 351,617
Yodogawa Steel Works, Ltd. 285,000 1,109,037
Yokogawa Bridge Corp. 55,400 244,735
# Yokohama Reito Co., Ltd. 63,000 409,849
Yokowo Co., Ltd. 32,300 427,381
# Yomeishu Seizo Co., Ltd. 52,000 364,259
Yomiuri Land Co., Ltd. 157,000 516,816
Yondenko Corp. 63,800 265,233
# Yonekyu Corp. 41,500 388,779
Yonex Co., Ltd. 33,000 250,654
# Yorozu Corp. 34,100 306,772
Yoshimoto Kogyo Co., Ltd. 60,000 558,026
Yuasa Funashoku Co., Ltd. 69,000 150,765
*# Yuasa Trading Co., Ltd. 237,000 411,591
*# Yuken Kogyo Co., Ltd. 60,000 135,553
Yuki Gosei Kogyo Co., Ltd. 31,000 95,901
Yukiguni Maitake Co., Ltd. 35,600 174,061
Yuraku Real Estate Co., Ltd. 69,000 247,178
Yurtec Corp. 122,000 536,771
# Yushin Precision Equipment Co., Ltd. 25,740 521,413
Yushiro Chemical Industry Co., Ltd. 10,000 137,208
</Table>
70
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
# Zenrin Co., Ltd. 57,200 $ 572,844
# Zensho Co., Ltd. 19,300 353,382
# Zeria Pharmacetical Co., Ltd. 74,000 747,164
Z-Plus Co., Ltd. 13,000 42,159
* Zuken, Inc. 13,300 150,650
---------------
TOTAL COMMON STOCKS
(Cost $485,137,117) 427,058,780
---------------
INVESTMENT IN CURRENCY -- (0.4%)
* Japanese Yen
(Cost $2,019,962) 2,029,277
---------------
RIGHTS/WARRANTS -- (0.0%)
* Kanematsu Corp. Warrants 03/31/06
(Cost $0) 20,125 0
---------------
TOTAL -- JAPAN
(Cost $487,157,079) 429,088,057
---------------
<Caption>
FACE
AMOUNT
(000)
---------------
TEMPORARY CASH INVESTMENTS -- (21.2%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.89%,
06/01/04 (Collateralized by $6,127,000 FHLB Notes 3.375%,
06/15/04, valued at $6,226,564) to be repurchased
at $6,134,607 (Cost $6,134,000) $ 6,134 6,134,000
Repurchase Agreement, Mizuho Securities USA 1.00%, 06/01/04
(Collateralized by $155,935,428 U.S. Treasury Strips,
maturities ranging from 11/15/04 to 11/15/15, valued at
$111,339,286 to be repurchased at $109,285,421
(Cost $109,273,280)^ 109,273 109,273,280
---------------
TOTAL INVESTMENTS -- (100.0%)
(COST $602,564,359)++ $ 544,495,337
===============
</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 $605,624,329.
See accompanying Notes to Financial Statements.
71
<Page>
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
AUSTRALIA -- (30.1%)
COMMON STOCKS -- (29.6%)
* A.I., Ltd. 129,195 $ 12,469
A.P. Eagers, Ltd. 25,977 126,237
AAV, Ltd. 111,200 157,040
* ABB Grain, Ltd. 13,743 68,827
# ABC Learning Centres, Ltd. 197,376 471,618
* Acclaim Exploration NL 435,905 16,150
* Adacel Technologies, Ltd. 113,249 44,307
ADCorp Australia, Ltd. 119,617 89,610
Adelaide Bank, Ltd. 37,652 225,115
Adsteam Marine, Ltd. 402,319 424,840
Adtrans Group, Ltd. 29,000 76,568
* Agenix, Ltd. 267,186 143,067
* AGT Biosciences, Ltd. 31,650 10,530
AJ Lucas Group, Ltd. 62,800 78,058
Alesco Corp., Ltd. 88,492 395,232
* Alkane Exploration, Ltd. 185,165 36,900
* Allegiance Mining NL 274,272 21,547
Altium, Ltd. 162,100 45,213
Amalgamated Holdings, Ltd. 213,820 488,036
* Amcom Telecommunications, Ltd. 596,711 61,915
* Amity Oil NL 222,481 104,635
* Amrad Corp., Ltd. 135,523 80,180
* Anateus Energy, Ltd. 193,687 12,854
* Anvil Mining NL 343,284 110,217
APN News & Media, Ltd. 1 3
ARB Corporation, Ltd. 116,670 303,769
* Arc Energy NL 321,280 203,911
Ariadne Australia, Ltd. 270,353 55,971
* Arrow Pharmaceuticals, Ltd. 24,872 140,672
Aspen Group, Ltd. 16,175 1,732
* Atlas Pacific, Ltd. 82,585 11,786
* AuIron Energy, Ltd. 709,175 39,529
Ausdrill, Ltd. 118,742 50,747
* Ausmelt, Ltd. 36,118 10,314
Auspine, Ltd. 73,367 175,827
* Austal, Ltd. 356,800 282,890
* Austar United Communications, Ltd. 653,105 326,369
Austereo Group, Ltd. 230,927 224,062
Austin Group, Ltd. 70,265 35,058
* Austral Coal, Ltd. 373,084 148,734
Australian Agricultural Co., Ltd. 344,519 294,725
*# Australian Magnesium Corp., Ltd. 332,383 5,906
Australian Pharmaceutical Industries, Ltd. 105,318 187,084
Australian Pipeline Trust 96,839 182,749
* Australian Worldwide Exploration, Ltd. 465,421 547,629
* Auto Group, Ltd. 41,309 16,761
# Autron Corporation, Ltd. 989,247 151,853
# AV Jennings Homes, Ltd. 350,188 498,878
Bank of Queensland, Ltd. 216,517 1,495,067
* BayCorp Advantage, Ltd. 100,703 195,243
Beach Petroleum NL 1,898,119 378,892
* Beaconsfield Gold NL 89,078 31,783
*# Bendigo Mining NL 171,212 136,943
* Beyond International, Ltd. 61,256 $ 13,064
* Biota Holdings, Ltd. 97,808 40,514
Blackmores, Ltd. 27,894 179,657
* Blina Diamonds, Ltd. 13,703 0
Bolnisi Gold NL 228,822 44,215
Brazin, Ltd. 159,875 174,427
Bridgestone Australia, Ltd. 49,000 94,346
* Broadcast Services Australia, Ltd. 205,703 33,685
Burswood, Ltd. 110,988 116,405
# Cabcharge Austalia, Ltd. 196,800 456,438
Campbell Brothers, Ltd. 88,210 405,631
Candle Australia, Ltd. 65,879 74,232
* Cape Range Wireless, Ltd. 1,698,199 63,895
Capral Aluminium, Ltd. 139,483 238,797
Casinos Austria International, Ltd. 258,299 180,565
* CDS Technologies, Ltd. 35,200 50,993
Cedar Woods Properties, Ltd. 50,913 56,353
* Cellestis, Ltd. 128,411 174,273
Cellnet Telecommunications Group, Ltd. 91,100 92,737
* Centamin Egypt, Ltd. 996,437 127,927
Centennial Coal, Ltd. 456,316 940,714
# Central Equity, Ltd. 129,405 188,994
* Charter Pacific Corp., Ltd. 72,823 21,848
* Charters Towers Gold Mines, Ltd. 258,700 24,939
*# Chemeq, Ltd. 120,000 493,206
* Chiquita Brands South Pacific, Ltd. 162,390 74,155
* Circadian Technologies, Ltd. 40,370 61,132
Citect Corp., Ltd. 109,822 101,772
* Climax Mining, Ltd. 870,299 55,274
* Clough, Ltd. 817,737 268,549
* Clover Corp., Ltd. 159,500 35,850
* Cluff Resources Pacific NL 911,746 17,569
CMI, Ltd. 32,784 47,284
Coates Hire, Ltd. 112,949 268,101
Cochlear, Ltd. 15,767 230,552
Coffey International, Ltd. 13,768 43,721
# Collection House, Ltd. 176,200 183,592
Colorado Group, Ltd. 156,248 537,250
Commander Communications, Ltd. 197,200 215,938
# Consolidated Minerals, Ltd. 258,222 209,613
* Coplex Resources NL 231,400 14,861
* Corporate Express Australia, Ltd. 44,932 154,040
Count Financial, Ltd. 299,500 175,110
Coventry Group, Ltd. 60,180 242,680
* CPI, Ltd. 68,585 32,248
# Crane Group, Ltd. 96,182 576,841
Croesus Mining NL 798,235 282,189
Danks Holdings, Ltd. 10,425 92,522
* DCA Group, Ltd. 140,312 276,213
# Devine, Ltd. 168,183 75,598
* Dioro Exploraration NL 297,142 16,966
* Dominion Mining, Ltd. 168,015 57,607
Downer Group, Ltd. 60,303 135,272
* Dragon Mining NL 275,761 55,095
* Emporer Mines, Ltd. 120,600 64,593
</Table>
72
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Energy Developments, Ltd. 230,514 $ 422,841
* Energy World Corp., Ltd. 325,630 4,653
* Environmental Solutions International, Ltd. 67,364 5,524
Equigold NL 225,700 223,869
* Equinox Resources, Ltd. 203,148 47,852
Evans & Tate, Ltd. 157,591 123,688
Fantastic Holdings, Ltd. 133,100 383,113
FKP, Ltd. 197,911 379,103
Fleetwood Corp., Ltd. 77,785 413,376
* Fortescue Metals Group, Ltd. 107,508 33,721
Funtastic, Ltd. 188,261 295,450
Futuris Corp., Ltd. 86,595 95,780
Gale Pacific, Ltd. 60,756 117,397
Gazal Corp., Ltd. 71,177 128,309
* Giants Reef Mining, Ltd. 819,928 46,289
* Globe International, Ltd. 712,348 213,641
* Gold Aura 2,635 226
* Golden West Refining Corp., Ltd. 17,330 4,452
* Goldstream Mining NL 105,681 29,415
Gowing Bros., Ltd. 59,479 100,141
* Gradipore, Ltd. 86,855 48,452
* Graincorp, Ltd. Series A 78,059 684,428
* Grand Hotel Group 383,087 188,258
GRD NL 379,594 468,542
# Great Southern Plantations, Ltd. 373,144 658,721
Green's Foods, Ltd. 129,747 89,803
GUD Holdings, Ltd. 114,428 673,452
Gunns, Ltd. 13,201 125,720
* Gutnick Resources NL 17,866 2,818
GWA International, Ltd. 153,066 317,714
* Gympie Gold, Ltd. 302,445 120,861
*# Hardman Resources NL 497,372 569,346
Harvey World Travel, Ltd. 52,100 55,089
Health Communication Network, Ltd. 106,000 83,933
Healthscope, Ltd. 133,652 354,599
* Henry Walker Eltin Group, Ltd. 287,948 205,715
* Herald Resources, Ltd. 69,910 39,409
HGL, Ltd. 67,969 93,097
# Hills Industries, Ltd. 271,884 717,792
* Horizon Oil NL 752,832 32,326
# Housewares International, Ltd. 289,080 472,338
HPAL, Ltd. 193,847 200,463
* Hutchison Telecommunications (Australia), Ltd. 1,065,400 208,982
IInet, Ltd. 136,659 263,469
Iluka Resources, Ltd. 102,672 291,138
* Imdex, Ltd. 135,662 12,627
* Incitec Pivot, Ltd. 22,546 289,683
* Independent Practioner Network, Ltd. 1,372,241 51,008
# Infomedia, Ltd. 598,900 362,615
Institute of Drug Technology Australia, Ltd. 44,372 62,467
Integrated Group, Ltd. 94,900 124,621
* Intellect Holdings, Ltd. 403,028 25,097
* International All Sports, Ltd. 58,815 22,360
Investor Group, Ltd. 110,445 220,696
ION, Ltd. 342,085 363,776
Iress Market Technology, Ltd. 176,883 392,353
IWL, Ltd. 295,600 67,556
* Ixla, Ltd. 89,921 1,476
* JDV, Ltd. 84,981 $ 36,409
# Jones (David), Ltd. 658,594 751,700
Jubilee Mines NL 224,549 563,604
K&S Corp., Ltd. 86,000 157,616
* Kagara Zinc, Ltd. 208,900 136,886
Kaz Group, Ltd. 1,324,705 368,384
* Keycorp, Ltd. 156,412 152,805
* Kimberley Diamond Co. NL 274,068 254,106
Kingsgate Consolidated NL 136,284 361,278
* Kresta Holdings, Ltd. 185,695 76,905
* Lakes Oil NL 1,183,489 38,968
Lemarne Corp., Ltd. 20,790 35,627
* Leyshon Resources, Ltd. 103,357 28,163
Lighting Corp., Ltd. 112,500 60,212
* LionOre Mining International, Ltd. 25,842 117,979
* Lynas Gold NL 433,768 114,640
# MacArthur Coal, Ltd. 265,423 277,860
* MacMahon Holdings, Ltd. 593,580 116,711
* Macmin Silver, Ltd. 305,531 32,752
* Macquarie Corporate Telecommunications, Ltd. 350,192 57,262
* Macquarie Goodman Management, Ltd. 58,465 135,788
Magellan Petroleum Australia, Ltd. 32,760 27,694
* Magnesium International, Ltd. 656,061 26,681
Maryborough Sugar Factory, Ltd. 600 2,096
* Matrix Oil NL 557,000 17,489
MaxiTRANS Industries, Ltd. 266,414 133,226
# McGuigan Simeon Wines, Ltd. 258,538 870,860
McPherson's, Ltd. 69,231 217,068
* Medica Holdings, Ltd. 31,587 13,974
Melbourne IT, Ltd. 33,350 19,216
* Metabolic Pharmaceuticals, Ltd. 700,000 435,194
*# Metal Storm, Ltd. 791,640 223,809
Mia Group, Ltd. 237,000 143,508
# Miller's Retail, Ltd. 478,989 485,034
* Mincor Resources NL 333,960 152,660
Monadelphous Group, Ltd. 18,988 75,186
* Mosaic Oil NL 387,324 63,289
* MPI Mines, Ltd. 70,601 70,336
* MXL, Ltd. 512,804 44,020
# MYOB, Ltd. 477,320 465,744
Namoi Cotton Cooperative, Ltd. 142,585 42,774
National Can Industries, Ltd. 97,017 100,041
* Norwood Abbey, Ltd. 245,896 193,522
* Novogen, Ltd. 53,107 191,902
* Novus Petroleum, Ltd. 288,634 406,086
Nufarm, Ltd. 66,623 282,721
*# Nylex, Ltd. 1,110,199 213,502
Oakton, Ltd. 90,396 79,168
# Oamps, Ltd. 176,480 383,946
*# Orbital Engine Corp., Ltd. 537,358 55,547
OrotonGroup, Ltd. 76,854 146,438
* Oxiana, Ltd. 170,526 101,556
Pacific Group, Ltd. 60,747 177,468
Pacific Hydro, Ltd. 375,596 763,721
* Palm Springs, Ltd. 222,804 23,961
* Pan Pacific Petroleum NL 327,800 39,684
* Pan Pharmaceuticals, Ltd. 322,766 276,390
* Panbio, Ltd. 58,078 16,596
* Payce Consolidated, Ltd. 18,000 32,240
</Table>
73
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Peppercorn Management Group, Ltd. 12,267 $ 67,159
*# Peptech, Ltd. 281,015 270,882
* Perilya Mines NL 263,500 164,949
* Perseverance Corp., Ltd. 917,246 174,373
* Petsec Energy, Ltd. 203,974 168,403
* Plantcorp NL 4,329 0
Plaspak Group, Ltd. 99,965 66,978
* PMP, Ltd. 455,871 523,360
* Polartechnics, Ltd. 43,405 18,592
Port Bouvard, Ltd. 108,200 96,552
* Port Douglas Reef Resorts, Ltd. 251,655 17,958
Portman, Ltd. 343,890 412,141
*# PowerTel, Ltd. Series B 110,422 83,398
* Prana Biotechnology, Ltd. 96,941 46,144
* Precious Metals Australia, Ltd. 10,606 492
* Preston Resources NL 64,000 594
Primary Health Care, Ltd. 193,456 772,942
Prime Television, Ltd. 210,595 390,632
* Primelife Corp., Ltd. 85,867 111,934
* Progen Industries, Ltd. 24,788 54,895
Programmed Maintenance Service, Ltd. 121,686 281,552
Queensland Cotton Holdings, Ltd. 39,866 101,816
* Quiktrak Networks P.L.C. Entitlement Shares 23,875 0
* Quiktrak Networks, Ltd. 740,124 528
Ramsay Health Care, Ltd. 70,910 271,847
Raptis Group, Ltd. 12,000 4,301
Rebel Sport, Ltd. 132,283 257,724
* Redfire Resources NL 859,797 110,614
Reece Australia, Ltd. 159,501 933,954
* Reinsurance Australia Corp., Ltd. 399,993 154,383
* Reliance Mining, Ltd. 91,651 29,373
*# Resolute Mining, Ltd. 287,264 257,903
* Resonance Health, Ltd. 29,264 2,914
RG Capital Radio, Ltd. 45,370 92,670
# Ridley Corp., Ltd. 593,143 542,400
Roberts, Ltd. 10,418 55,087
* Roc Oil Co., Ltd. 273,120 299,520
Rock Building Society, Ltd. 11,373 27,928
Ross Human Directions, Ltd. 42,066 20,162
* Rural Press, Ltd. 38,633 207,654
S8, Ltd. 80,476 63,232
Salmat, Ltd. 66,912 166,691
Schaffer Corp., Ltd. 33,766 328,286
SDI, Ltd. 40,163 277,709
* Sedimentary Holdings, Ltd. 264,237 41,334
Select Harvests, Ltd. 45,548 211,355
* Senetas Corp., Ltd. 240,406 10,657
Servcorp, Ltd. 156,000 222,644
Seven Network, Ltd. 28,361 103,290
* SFE Corp., Ltd. 72,967 338,467
* Silex System, Ltd. 235,100 134,295
Sims Group, Ltd. 50,097 392,918
Skilled Engineering, Ltd. 147,971 293,281
Smorgon Steel Group, Ltd. 221,547 169,052
* SMS Management & Technology, Ltd. 329,600 68,173
* Solution 6 Holdings, Ltd. 402,138 255,462
* Sons of Gwalia, Ltd. 76,934 147,803
Southern Cross Broadcasting (Australia), Ltd. 33,058 254,470
*# Southern Pacific Petroleum NL 698,740 $ 119,669
SP Telecommunications, Ltd. 318,303 317,647
SPC Ardmona, Ltd. 345,724 330,499
Spotless Group, Ltd. 73,128 258,424
* St. Barbara Mines, Ltd. 375,500 12,872
Star Games, Ltd. 132,410 101,078
* Starpharma Holdings, Ltd. 107,300 55,835
* Straits Resources, Ltd. 212,913 149,282
* Strategic Minerals Corp. NL 358,100 50,983
* Strathfield Group, Ltd. 336,916 34,843
* Striker Resources NL 435,484 15,528
# STW Communications Group, Ltd. 238,716 536,665
Sunland Group, Ltd. 349,278 257,357
Sydney Aquarium, Ltd. 49,135 164,775
* Sydney Gas, Ltd. 351,119 207,711
Symex Holdings, Ltd. 163,000 147,546
Tandou, Ltd. 3,410 3,858
* Tap Oil, Ltd. 269,296 280,313
Technology One, Ltd. 587,800 222,027
Tectonic Resources NL 155,738 32,197
* Television & Media Services, Ltd. 2,000,584 42,806
# Tempo Service, Ltd. 184,359 139,480
Thakral Holdings Group 948,383 439,776
The Gribbles Group, Ltd. 780,300 169,674
Ticor, Ltd. 455,148 406,719
# Timbercorp, Ltd. 369,115 357,785
* Titan Resources NL 188,493 41,642
* Tooth & Co., Ltd. 153,000 16,312
Transfield Services, Ltd. 75,900 279,114
Triako Resources, Ltd. 25,400 27,313
Troy Resources NL 72,048 150,669
Trust Company of Australia, Ltd. 41,099 219,978
*# Uecomm, Ltd. 845,897 237,986
# United Group, Ltd. 170,233 600,613
UXC, Ltd. 181,293 95,676
* VeCommerce, Ltd. 13,680 12,875
*# Ventracor, Ltd. 331,714 330,961
* Victoria Petroleum NL 463,964 7,622
# Villa World, Ltd. 185,574 168,671
*# Village Roadshow, Ltd. 591,536 781,303
* Virotec International NL 298,151 95,294
Vision Systems, Ltd. 274,105 168,193
* Voicenet (Australia), Ltd. 495,284 14,844
Volante Group, Ltd. 125,700 107,562
Waterco, Ltd. 22,304 38,343
Watpac, Ltd. 133,333 72,358
Wattyl, Ltd. 136,317 369,548
* Webster, Ltd. 33,551 15,829
Wide Bay Capricorn Building Society, Ltd. 26,958 127,806
* Worley Group, Ltd. 32,111 68,580
* Yates, Ltd. 60,281 1,894
---------------
TOTAL COMMON STOCKS
(Cost $57,070,964) 60,727,898
---------------
INVESTMENT IN CURRENCY -- (0.4%)
* Australian Dollar
(Cost $736,097) 732,315
---------------
</Table>
74
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
PREFERRED STOCKS -- (0.1%)
* Southern Cross Broadcasting (Australia), Ltd. Preferred 11,744 $ 100,566
* Village Roadshow, Ltd. 2% Class A 55,477 53,796
---------------
TOTAL PREFERRED STOCKS
(Cost $203,293) 154,362
---------------
RIGHTS/WARRANTS -- (0.0%)
* Amity Oil, Ltd. Options 09/04/04 1 0
* Autron Corp., Ltd. 05/27/04 229,667 8,195
* Axon Instruments, Inc. Options 01/02/07 16,148 0
* Gradipore, Ltd. Options 09/01/04 17,371 3,967
* Kimberley Diamond Co. NL Rights 34,258 0
* Metal Storm, Ltd. Options 08/06/04 1 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $98) 12,162
---------------
TOTAL -- AUSTRALIA
(Cost $58,010,452) 61,626,737
---------------
SINGAPORE -- (25.1%)
COMMON STOCKS -- (25.1%)
* Acma, Ltd. 3,040,700 115,786
* Airocean Group, Ltd. 1,649,000 334,637
* Alliance Technology & Development, Ltd. 156,000 9,631
Amtek Engineering, Ltd. 799,625 541,544
Apollo Enterprises, Ltd. 193,000 50,498
Armstrong Industrial Corp. 1,460,000 132,822
ASA Group Holdings, Ltd. 586,000 96,408
Ascott Group, Ltd. 1,807,250 436,404
Aussino Group, Ltd. 967,000 319,279
Benjamin (F.J.) Holdings, Ltd. 1,095,000 142,133
# Beyonics Technology, Ltd. 1,556,640 421,182
Blu Inc. Group, Ltd. 729,000 103,124
Bonvests Holdings, Ltd. 825,000 220,498
Brilliant Manufacturing, Ltd. 1,855,000 765,445
* Broadway Industrial Group, Ltd. 461,000 72,902
Bukit Sembawang Estates, Ltd. 71,334 564,216
Central Properties, Ltd. 66,000 1,445,387
Ch Offshore, Ltd. 823,200 179,034
Chemical Industries (Far East), Ltd. 105,910 59,425
* China Merchants Holdings Pacific, Ltd. 652,000 208,018
*# Chip Eng Seng Corp., Ltd. 1,775,000 157,259
Chosen Holdings, Ltd. 1,284,000 182,413
Chuan Hup Holdings, Ltd. 4,385,000 1,265,685
Chuan Soon Huat Industrial Group, Ltd. 614,000 106,666
CIH, Ltd. 475,542 756,658
* CK Tang, Ltd. 614,000 98,701
* Compact Metal Industries, Ltd. 643,000 17,122
Courts Singapore, Ltd. 495,000 198,557
* CSC Holdings, Ltd. 672,000 13,785
CSE Global, Ltd. 1,262,000 438,533
CWT Distribution, Ltd. 461,500 131,900
* Eagle Brand Holdings, Ltd. 5,158,000 227,990
# Eastern Asia Technology, Ltd. 1,676,600 299,606
*# Eastern Asia Technology, Ltd. Series A 167,660 37,460
Eastgate Technology, Ltd. 870,000 69,124
* Econ International, Ltd. 2,267,000 $ 59,982
ECS Holdings, Ltd. 1,375,000 271,515
Eng Wah Organisation, Ltd. 265,000 47,038
* Firstlink Investments Corp., Ltd. 995,000 149,535
* Freight Links Express Holdings, Ltd. 3,368,000 189,467
Frontline Technologies Corp., Ltd. 3,170,000 271,534
Fu Yu Manufacturing, Ltd. 1,819,000 941,851
Fuji Offset Plates Manufacturing, Ltd. 33,750 5,906
GB Holdings, Ltd. 200,000 95,049
# Ges International, Ltd. 2,909,000 1,078,544
GK Goh Holdings, Ltd. 1,494,000 693,300
Goodpack, Ltd. 1,592,000 885,491
GP Industries, Ltd. 1,516,000 891,683
Guocoland, Ltd. 1,215,000 756,745
Hiap Moh Corp., Ltd. 34,874 6,170
Ho Bee Investment, Ltd. 761,000 118,308
Hong Fok Corp., Ltd. 1,796,000 277,318
Hong Leong Asia, Ltd. 1,048,000 1,010,952
* Horizon Education & Technologies, Ltd. 2,054,000 145,794
Hotel Grand Central, Ltd. 875,280 182,475
Hotel Plaza, Ltd. 1,189,000 389,270
Hotel Properties, Ltd. 1,675,000 1,004,983
Hour Glass, Ltd. 298,000 105,807
# HTL International Holdings, Ltd. 1,471,875 934,325
Huan Hsin Holdings, Ltd. 1,138,400 630,678
Hup Seng Huat, Ltd. 900,200 100,790
Hwa Hong Corp., Ltd. 2,488,000 679,683
# IDT Holdings, Ltd. 718,000 900,025
* Inno-Pacific Holdings, Ltd. 680,000 10,080
# Innovalues Precision, Ltd. 520,000 218,643
International Factors (Singapore), Ltd. 290,000 89,154
* Internet Technology Group, Ltd. 874,408 25,730
* Interra Resources, Ltd. 185,430 20,753
* Intraco, Ltd. 292,500 68,893
Isetan (Singapore), Ltd. 122,500 206,375
# Jaya Holdings, Ltd. 2,733,000 1,325,520
JK Yaming International, Ltd. 907,000 204,794
Jurong Cement, Ltd. 132,500 71,057
Jurong Engineering, Ltd. 137,000 193,611
# Jurong Technologies Industrial Corp., Ltd. 1,446,000 1,187,135
* K1 Ventures, Ltd. 5,340,500 818,256
Keppel Telecommunications and Transportation, Ltd. 2,058,000 971,475
Khong Guan Flour Milling, Ltd. 19,000 18,133
Kian Ann Engineering, Ltd. 868,000 97,405
Kian Ho Bearings, Ltd. 521,000 58,568
Koh Brothers, Ltd. 1,494,000 87,616
* L & M Group Investments, Ltd. 7,107,100 62,682
Labroy Marine, Ltd. 3,343,000 923,029
* Lantrovision (S), Ltd. 1,117,500 65,987
Lee Kim Tah Holdings, Ltd. 1,600,000 231,517
* Leong Hin Holdings, Ltd. 526,000 38,587
* Liang Huat Aluminum, Ltd. 1,477,000 43,810
* Lion Asiapac, Ltd. 473,000 36,497
Low Keng Huat Singapore, Ltd. 372,000 94,293
Lum Chang Holdings, Ltd. 1,134,030 141,690
# Magnecomp International, Ltd. 931,000 293,955
* Manufacturing Integration Technology, Ltd. 588,000 66,178
</Table>
75
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
MCL Land, Ltd. 1,427,000 $ 1,150,612
* Mediaring.Com, Ltd. 3,410,000 300,644
Metro Holdings, Ltd. 2,256,960 651,732
MMI Holdings, Ltd. 1,994,000 351,954
Multi-Chem, Ltd. 1,263,000 238,193
Nera Telecommunications, Ltd. 1,450,000 456,345
New Toyo Intenational Holdings, Ltd. 1,043,000 365,915
Norelco Centreline Holdings, Ltd. 941,000 642,079
* Orchard Parade Holdings, Ltd. 1,084,022 257,920
# Osim International, Ltd. 1,638,000 1,044,311
Ossia International, Ltd. 708,000 79,706
Pan-United Corp., Ltd. 2,193,000 469,936
* Pan-United Marine, Ltd. 1,096,500 193,415
PCI, Ltd. 734,000 328,371
Pentex-Schweizer Circuits, Ltd. 1,240,000 218,625
Pertama Holdings, Ltd. 459,750 77,112
Popular Holdings, Ltd. 1,813,000 494,493
# PSC Corp., Ltd. 4,088,000 276,698
Qian Hu Corp., Ltd. 408,200 150,371
Robinson & Co., Ltd. 284,832 962,380
Rotary Engineering, Ltd. 1,624,000 473,532
* San Teh, Ltd. 838,406 236,230
SBS Transit, Ltd. 1,011,000 892,027
Sea View Hotel, Ltd. 66,000 161,799
* Seatown Corp., Ltd. 101,000 1,782
Sembawang Kimtrans, Ltd. 1,295,000 114,613
Sin Soon Huat, Ltd. 1,307,000 50,004
Sing Investments & Finance, Ltd. 94,500 92,116
# Singapore Food Industries, Ltd. 1,707,000 812,794
Singapore Reinsurance Corp., Ltd 1,540,935 231,742
* Singapore Shipping Corp., Ltd. 1,930,000 334,985
Singapura Finance, Ltd. 139,250 111,499
SMB United, Ltd. 2,010,000 216,110
SNP Corp., Ltd. 466,495 274,687
* SP Corp., Ltd. 454,000 18,530
Ssangyong Cement (Singapore), Ltd. 236,000 143,142
Stamford Land Corp., Ltd. 3,229,000 437,337
Straits Trading Co., Ltd. 1,117,200 1,241,084
* Sunright, Ltd. 378,000 91,926
Superbowl Holdings, Ltd. 490,000 67,705
Superior Metal Printing, Ltd. 490,500 58,930
* Thakral Corp., Ltd. 6,028,000 514,313
Tiong Woon Corp. Holding, Ltd. 906,000 199,886
* Transmarco, Ltd. 106,500 60,359
Trek 2000 International, Ltd. 1,004,000 346,459
TSM Resources, Ltd. 1,502,000 301,163
*# TT International, Ltd. 1,758,000 315,562
* Tuan Sing Holdings, Ltd. 3,362,000 176,912
* Ultro Technologies, Ltd. 530,000 43,883
# Unisteel Technology, Ltd. 974,000 698,596
United Engineers, Ltd. 846,666 772,988
United Overseas Insurance, Ltd. 125,500 258,235
United Pulp & Paper Co., Ltd. 354,000 99,991
UOB-Kay Hian Holdings, Ltd. 1,602,000 919,393
Vicom, Ltd. 120,000 66,202
WBL Corp., Ltd. 647,000 1,165,218
* Xpress Holdings, Ltd. 1,392,000 48,820
* Yongnam Holdi 1,004,000 11,877
---------------
TOTAL COMMON STOCKS
(Cost $57,015,596) 51,488,716
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $52,992) $ 53,455
---------------
RIGHTS/WARRANTS -- (0.0%)
* Acma, Ltd. Warrants 11/16/04
(Cost $0) 236,300 695
---------------
TOTAL -- SINGAPORE
(Cost $57,068,588) 51,542,866
---------------
HONG KONG -- (24.5%)
COMMON STOCKS -- (24.5%)
* 139 Holdings, Ltd. 6,200,000 19,761
ABC Communications (Holdings), Ltd. 930,000 52,479
Aeon Credit Service (Asia) Co., Ltd. 740,000 445,749
ALCO Holdings, Ltd. 740,000 199,247
* Allan International Holdings, Ltd. 592,000 103,420
* Allied Group, Ltd. 5,592,000 459,039
* Allied Properties, Ltd. 802,600 321,536
* Anex International Holdings, Ltd. 152,000 2,229
* Applied International Holdings, Ltd. 1,243,000 17,379
* APT Satellite Holdings, Ltd. 599,000 134,049
* Artel Solutions Group Holdings, Ltd. 2,315,000 86,925
Arts Optical International Holdings, Ltd. 468,000 149,973
Asia Aluminum Holdings, Ltd. 196,000 21,384
* Asia Commercial Holdings, Ltd. 72,800 4,022
Asia Financial Holdings, Ltd. 1,976,908 438,955
* Asia Logistics Technologies, Ltd. 2,214,000 6,286
Asia Satellite Telecommunications Holdings, Ltd. 42,500 66,271
* Asia Standard International Group, Ltd. 6,780,000 252,465
* Asia Tele-Net & Technology Corp., Ltd. 521,000 15,590
Associated International Hotels, Ltd. 898,000 707,172
Automated Systems Holdings, Ltd. 340,000 58,738
Baltrans Holdings, Ltd. 376,000 104,876
* Beijing Development (Hong Kong), Ltd. 166,000 27,878
* Bossini International Holdings, Ltd. 900,750 131,780
Bright International Group, Ltd. 710,000 77,333
Cafe de Coral Holdings, Ltd. 90,000 83,145
* Capital Prosper, Ltd. 480,000 2,615
* Capital Strategic Investment, Ltd. 122,000 3,176
* Cash Financial Services Group, Ltd. 27,018 1,059
* Casil Telecommunications Holdings, Ltd. 1,420,000 71,906
* Catic International Holdings, Ltd. 5,332,000 96,515
CCT Telecom Holdings, Ltd. 472,970 63,003
* CEC International Holdings, Ltd. 210,000 4,048
* Celestial Asia Securities Holdings, Ltd. 426,036 26,818
* Central China Enterprises, Ltd. 21,040 7,503
# Champion Technology Holdings, Ltd. 1,329,386 213,192
Chaoda Modern Agriculture (Holdings), Ltd. 364,000 112,305
Chen Hsong Holdings, Ltd. 1,210,000 713,806
Cheuk Nang (Holdings), Ltd. 112,501 31,659
* Cheung Tai Hong Holdings, Ltd. 100,920 3,689
Chevalier International Holdings, Ltd 441,482 265,753
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Chevalier Itech Holdings, Ltd. 355,250 $ 41,938
* China Aerospace International Holdings, Ltd. 3,384,000 201,727
* China Bio-Medical Group Limited 415,000 7,987
* China City Natural Gas Holdings, Ltd. 10,488,000 28,200
* China Digicontent Co., Ltd. 2,710,000 3,477
* China Everbright International, Ltd. 3,945,000 209,780
* China Everbright Technology, Ltd. 3,244,000 133,243
* China Gas Holdings, Ltd. 2,026,000 156,267
China Hong-Kong Photo Products Holdings, Ltd. 1,909,000 117,648
# China Insurance International Holdings Co., Ltd. 198,000 93,954
* China Investments Holdings, Ltd. 210,000 4,527
* China Motion Telecom International, Ltd. 257,000 16,398
China Motor Bus Co., Ltd. 74,000 467,708
* China Nan Feng Group, Ltd. 28,800 240
China National Aviation Co., Ltd. 278,000 47,747
China Online (Bermuda), Ltd. 423,200 54,098
China Pharmaceutical Enterprise and Investment Corp., Ltd. 206,000 62,154
China Rare Earth Holdings, Ltd. 1,180,000 158,898
China Resources Land, Ltd. 2,658,000 353,609
China Resources Logic, Ltd. 3,796,000 428,176
* China Rich Holdings, Ltd. 3,380,000 17,625
* China Sci-Tech Holdings, Ltd. 2,786,000 7,138
* China Star Entertainment, Ltd. 440,292 44,599
* China Strategic Holdings, Ltd. 1,368,500 82,400
# China Travel International Investment, Ltd. 624,000 109,640
Chinney Investments, Ltd. 1,144,000 84,818
Chow Sang Sang Holdings International, Ltd. 721,400 222,033
Chuangs China Investments, Ltd. 1,347,000 61,292
* Chuang's Consortium International, Ltd. 1,858,884 108,654
Chun Wo Holdings, Ltd. 1,671,917 173,552
Chung Tai Printing Holdings, Ltd. 548,000 87,842
* CITIC 21CN Co., Ltd. 178,000 19,631
* CITIC Resources Holdings, Ltd. 492,000 57,559
City e Solutions, Ltd. 186,000 19,989
# City Telecom (H.K.), Ltd. 1,070,000 202,454
* Clear Media, Ltd. 75,000 66,357
* Climax International Co., Ltd. 296,000 1,060
CNPC (Hong Kong), Ltd. 640,000 82,944
* CNT Group, Ltd. 3,078,000 96,705
* Coastal Greenland, Ltd. 2,440,000 51,308
* Compass Pacific Holdings, Ltd. 624,000 19,867
* Computer & Technologies Holdings, Ltd. 432,000 77,595
Continental Holdings, Ltd. 98,825 9,194
Continental Mariner Investment Co., Ltd. 1,328,000 232,635
* COSCO International Holdings, Ltd. 2,573,600 353,718
# Coslight Technology International Group, Ltd. 626,000 224,919
* Cosmos Machinery Enterprises, Ltd. 1,024,000 44,672
* Crocodile Garments, Ltd. 1,539,000 51,164
Cross Harbour Tunnel Co., Ltd. 381,725 197,382
*# Culturecom Holdings, Ltd. 3,767,000 219,589
* Dah Hwa International Holdings, Ltd. 1,062,000 $ 21,429
* Dan Form Holdings Co., Ltd. 2,386,600 92,741
Daqing Petroleum & Chemical Group, Ltd. 1,375,000 74,216
Dickson Concepts International, Ltd. 453,000 401,469
Digital China Holdings, Ltd. 1,416,000 408,522
* DVN Holdings, Ltd. 744,490 200,403
* Dynamic Global Holdings, Ltd. 3,522,000 35,443
Dynamic Holdings, Ltd. 244,000 27,717
* Easyknit International Holdings, Ltd. 282,860 3,612
*# Eforce Holdings, Ltd. 2,620,000 67,232
Egana Jewelry and Pearls 331,789 63,794
# Eganagoldfeil Holdings Ltd 2,017,235 403,833
Elec & Eltek International Holdings, Ltd. 3,078,790 553,728
* Emperor International Holdings, Ltd. 90,436 46,519
* e-New Media Co., Ltd. 320,000 8,793
* eSun Holdings, Ltd. 653,600 25,881
* Extrawell Pharmaceutical Holdings, Ltd. 3,220,000 118,260
* Ezcom Holdings, Ltd. 72,576 3,243
* Fairwood Holdings, Ltd. 42,600 8,654
# Far East Consortium International, Ltd. 1,914,086 316,684
* Far East Hotels & Entertainment, Ltd. 1,853,000 73,443
Far East Pharmaceutical Technology Co., Ltd. 3,216,000 370,861
First Sign International Holdings, Ltd. 1,424,000 50,365
Fong's Industries Co., Ltd. 74,000 60,243
* Forefront International Holdings, Ltd. 658,000 48,122
* Fortuna International Holdings, Ltd. 9,344,000 16,744
* Foundation Group, Ltd. 83,800 1,083
* Founder Holdings, Ltd. 1,854,000 201,747
Fountain Set Holdings, Ltd. 134,000 98,031
Four Seas Frozen Food Holdings, Ltd. 347,184 54,738
Four Seas Mercantile Holdings, Ltd. 592,000 212,679
* Fujian Holdings, Ltd. 237,800 5,480
Fujikon Industrial Holdings, Ltd. 532,000 67,965
* Fushan Holdings, Ltd. 2,566,000 97,112
* GeoMaxima Energy Holdings, Ltd. 5,810,000 86,039
Global China Group Holdings, Ltd. 3,022,000 170,485
Global Green Tech Group, Ltd. 1,336,000 116,557
* Global Tech (Holdings), Ltd. 5,612,000 61,329
Glorious Sun Enterprises, Ltd. 1,650,000 486,839
Gold Peak Industries (Holdings), Ltd. 1,059,250 312,469
* Goldbond Group Holdings, Ltd. New 2,609,500 46,919
Golden Resources Development International, Ltd. 1,456,500 62,654
* Gold-Face Holdings, Ltd. 2,003,600 138,819
Goldlion Holdings, Ltd. 1,438,000 110,570
Golik Holdings, Ltd. 930,500 38,197
Good Fellow Group, Ltd. 3,488,000 158,875
* Gorient Holdings, Ltd. 7,370 101
* Great Wall Cybertech, Ltd. 15,795,170 20,266
Group Sense (International), Ltd. 2,062,000 222,090
Guangdong Brewery Holdings, Ltd. 2,212,000 502,623
* Guangnan Holdings, Ltd. 14,216,000 218,787
Guangzhou Investment Co., Ltd. 1,070,000 96,552
* Guo Xin Group, Ltd. 3,640,000 42,383
* Guorun Holdings Ltd 230,000 20,979
GZI Transport, Ltd. 1,820,000 513,512
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Hang Fung Gold Technology, Ltd. 762,000 $ 125,921
Hang Ten Group Holdings, Ltd. 585,039 900
Hanny Holdings, Ltd. 186,658 74,426
* Hansom Eastern Holdings, Ltd. 3,473,235 24,360
Harbour Centre Development, Ltd. 517,000 511,010
Harbour Ring International Holdings, Ltd. 636,000 57,889
* Hen Fung Holdings, Ltd. 1,740,000 33,600
Henderson China Holdings, Ltd. 815,000 391,895
Hengan International Group Co., Ltd. 98,000 57,373
High Fashion International, Ltd. 268,000 39,913
* HKR International, Ltd. 1,884,860 568,172
* Hon Kwok Land Investment Co., Ltd 572,535 104,432
Hong Kong Catering Management, Ltd. 512,000 56,029
* Hong Kong Construction Holdings, Ltd. 970,000 59,028
Hong Kong Ferry (Holdings) Co., Ltd. 671,300 667,260
* Hong Kong Parkview Group, Ltd. 1,130,000 72,493
* Hong Kong Pharmaceuticals Holdings, Ltd. 1,834,000 55,062
Hongkong Chinese, Ltd. 2,126,000 272,285
* Hop Hing Holdings, Ltd. 660,265 25,415
Hopson Development Holdings, Ltd. 1,246,000 320,370
* Hsin Chong Construction Group, Ltd. 1,569,658 69,431
* Huabao International Holdings, Ltd. 19,300 3,226
* Hualing Holdings, Ltd. 1,344,000 39,410
Hung Hing Printing Group, Ltd. 34,000 25,504
* Hycomm Wireless, Ltd. 4,709,000 51,497
I-Cable Communications, Ltd. 191,000 73,386
* I-China Holdings, Ltd. 3,757,566 8,196
IDT International, Ltd. 4,028,486 919,340
* Imagi International Holdings, Ltd. 137,400 24,612
* Innomaxx Biotechnology Group, Ltd. 3,050,000 62,868
* Interchina Holdings Co., Ltd. 8,130,000 217,994
* Inworld Group, Ltd. 2,036 12
* ITC Corp., Ltd. 466,157 19,204
JCG Holdings, Ltd. 84,000 60,215
* Junefield Department Store Group, Ltd. 256,000 3,365
K Wah International Holdings, Ltd. 3,009,831 478,552
K. Wah Construction Materials, Ltd. 2,404,949 215,981
* Kader Holdings Co., Ltd. 545,600 10,565
Karrie International Holdings, Ltd. 488,000 126,823
Keck Seng Investments (Hong Kong), Ltd. 858,600 142,917
Kee-Shing Holdings Co., Ltd. 886,000 71,487
Kin Yat Hldgs 586,000 84,973
* King Fook Holdings, Ltd. 1,000,000 51,187
* King Pacific International Holdings, Ltd. 1,404,200 21,980
Kingdee International Software Group Co., Ltd. 638,000 216,636
Kingmaker Footwear Holdings, Ltd. 1,058,750 383,203
* Kong Sun Holdings, Ltd. 2,198,000 6,750
Kowloon Development Co., Ltd. 604,000 484,848
* KPI Co., Ltd. 264,000 3,328
KTP Holdings, Ltd. 560,400 53,883
* Kwong Sang Hong International, Ltd. 1,434,000 123,220
Kwoon Chung Bus Holdings, Ltd. 556,000 80,830
* Lai Sun Development Co., Ltd. 7,592,000 149,482
* Lai Sun Garment (International), Ltd. 2,325,000 $ 90,985
Lam Soon (Hong Kong), Ltd. 302,310 99,761
* Le Saunda Holdings, Ltd. 236,000 13,195
* Leadership Publishing Group, Ltd. 250,511 2,114
* Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 2,964
Lerado Group (Holding) Co., Ltd. 1,048,000 184,290
* LifeTec Group, Ltd. 1,383,000 30,515
* Lippo, Ltd. 1,074,760 263,972
Liu Chong Hing Bank, Ltd. 73,000 92,202
Liu Chong Hing Investment, Ltd. 635,200 401,039
Luk Fook Holdings (International), Ltd. 690,000 110,570
Luks Industrial Group, Ltd. 645,555 104,231
Lung Kee (Bermuda) Holdings, Ltd. 1,071,875 456,142
* MACRO-LINK International Holdings, Ltd. 1,036,250 29,360
* Mae Holdings, Ltd. 2,220,000 4,006
* Magnificent Estates, Ltd. 8,368,000 59,281
* Magnum International Holdings, Ltd. 300,000 3,849
Mainland Headwear Holdings, Ltd. 410,000 131,396
* Mansion House Group, Ltd. 1,820,000 70,741
Matrix Holdings, Ltd. 402,000 90,058
* Mei Ah Entertainment Group, Ltd. 1,142,000 39,767
Melbourne Enterprises, Ltd. 45,500 175,137
Midas International Holdings, Ltd. 774,000 55,565
Midland Realty (Holding), Ltd. 1,110,000 263,766
* Millennium Group, Ltd. 1,392,000 19,370
* Min Xin Holdings, Ltd. 753,200 126,666
Miramar Hotel & Investment Co., Ltd. 84,000 79,508
* Morning Star Resources, Ltd. 1,845,000 13,087
Moulin International Holdings, Ltd. 699,274 441,817
Nanyang Holdings, Ltd. 137,500 133,405
* National Electronics Holdings, Ltd. 2,156,000 70,526
* New China Merchants Dichain 7,160,000 99,199
New Island Printing Holdings, Ltd. 176,000 15,356
* New World China Land, Ltd. 222,000 53,483
* New World Cyberbase, Ltd. 25,220 94
* New World TMT, Ltd. 1,380,600 145,651
Newocean Green Energy Holdings, Ltd. 3,931,200 69,054
* Next Media, Ltd. 220,000 74,810
Ngai Lik Industrial Holdings, Ltd. 1,556,000 604,212
*# Onfem Holdings, Ltd. 1,266,000 97,211
Orient Power Holdings, Ltd. 804,000 106,200
* Oriental Metals, Ltd. 711,780 233,907
Oriental Press Group, Ltd. 230,000 78,972
Oriental Watch Holdings, Ltd. 398,000 72,420
# Pacific Andes International Holdings, Ltd. 1,172,000 193,923
# Pacific Century Insurance Holdings, Ltd. 1,272,000 480,613
* Pacific Plywood Holdings, Ltd. 4,430,000 23,975
Paul Y. ITC Construction Holdings, Ltd. 2,262,856 189,243
Peace Mark Holdings, Ltd. 1,120,514 215,741
Pegasus International Holdings, Ltd. 226,000 34,499
Perfectech International Holdings, Ltd. 571,450 58,726
Pico Far East Holdings, Ltd. 1,190,000 77,934
Playmates Holdings, Ltd. 2,223,000 288,430
</Table>
78
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Pokfulam Development Co., Ltd. 234,000 $ 73,461
* Poly Investments Holdings, Ltd. 2,670,000 62,709
Prime Success International Group, Ltd. 2,366,000 135,395
# Proview International Holdings, Ltd. 944,000 217,885
*# QPL International Holdings, Ltd. 1,191,000 296,222
Quality Healthcare Asia, Ltd. 133,800 30,815
* Rainbow International Holdings, Ltd. 2,036 20
Raymond Industrial, Ltd. 605,400 213,396
*# Regal Hotels International Holdings, Ltd. 11,656,000 361,078
* Rexcapital International Holdings, Ltd. 1,272,905 14,487
* Riche Multi-Media Holdings, Ltd. 706,000 296,726
* Rivera Holdings, Ltd. 3,620,000 116,128
* Riverhill Holdings, Ltd. 2,036 28
Road King Infrastructure, Ltd. 449,000 331,137
* Roadshow Holdings, Ltd. 1,456,000 143,628
S.A.S.Dragon Holdings, Ltd. 1,696,000 199,825
SA SA International Holdings, Ltd. 1,872,000 694,145
Safety Godown Co., Ltd. 408,000 146,576
Saint Honore Holdings, Ltd. 128,000 22,909
* San Miguel Brewery Hong Kong, Ltd. 612,800 130,474
SCMP Group, Ltd. 224,000 89,701
Sea Holdings, Ltd. 832,000 203,593
* Seapower Resources International, Ltd. 151,680 1,741
* SEEC Media Group, Ltd. 2,550,000 158,831
Shanghai Allied Cement, Ltd. 1,152,080 75,647
* Shanghai Century Holdings, Ltd. 7,142,000 130,259
* Shanghai Land Holdings, Ltd. 1,464,000 64,805
# Shanghai Real Estates, Ltd. 2,234,000 177,317
Shaw Brothers Hong Kong, Ltd. 134,000 130,666
Shell Electric Manufacturing (Holdings) Co., Ltd. 730,792 164,875
Shenyin Wanguo (Hong Kong), Ltd. 847,500 90,002
Shenzhen International Holdings, Ltd. 1,682,500 59,410
Shougang Concord Century Holdings, Ltd. 1,676,000 184,717
* Shougang Concord Grand (Group), Ltd. 1,701,000 125,867
* Shougang Concord International Enterprises Co., Ltd. 4,166,000 205,313
* Shougang Concord Technology Holdings, Ltd. 2,639,809 219,242
* Shui On Construction & Materials, Ltd. 468,000 404,987
* Shun Ho Resources Holdings, Ltd. 483,000 20,451
* Shun Ho Technology Holdings, Ltd. 1,037,452 45,660
Silver Grant International Industries, Ltd. 2,087,000 433,257
* Sincere Co., Ltd. 505,500 24,245
# Singamas Container Holdings, Ltd. 838,000 429,203
Sino Golf Holdings, Ltd. 438,000 80,335
* Sinocan Holdings, Ltd. 350,000 1,751
* Sino-I.com, Ltd. 19,383,158 359,196
Sinolink Worldwide Holdings, Ltd. 3,933,600 458,712
Sinopec Kantons Holdings, Ltd. 1,638,000 220,595
* Skynet (International Group) Holdings, Ltd. 244,240 313
SNP Leefung Holdings, Ltd. 144,000 22,182
* Softbank Investment International (Strategic), Ltd. 7,398,000 $ 98,715
* Solartech International Holdings, Ltd. 49,600 2,058
South China Brokerage Co., Ltd. 4,872,000 30,161
South China Industries, Ltd. 1,124,000 64,018
Southeast Asia Properties & Finance, Ltd. 263,538 37,052
Starlight International Holdings, Ltd. (New) 1,311,292 185,598
Starlite Holdings, Ltd. 694,000 74,741
* Stelux Holdings International, Ltd. 1,307,702 46,509
* Styland Holdings, Ltd. 101,808 327
Sun Hing Vision Group Holdings, Ltd. 358,000 159,326
Sun Hung Kai & Co., Ltd. 2,048,600 481,464
* Sun Innovation Holdings, Ltd. 1,420,360 3,271
* Sun Media Group Holdings, Ltd. 9,814,000 35,140
* Sunday Communications, Ltd. 4,441,000 282,279
Sunway International Holdings, Ltd. 866,000 30,261
* Suwa International Holdings, Ltd. 1,062,000 26,498
* Tack Hsin Holdings, Ltd. 542,000 9,385
Tai Cheung Holdings, Ltd. 1,013,000 370,839
Tai Fook Securities Group, Ltd. 590,000 91,633
Tai Sang Land Development, Ltd. 471,984 122,455
Tak Shun Technology Group, Ltd. 2,088,000 82,991
Tak Sing Alliance Holdings, Ltd. 2,909,865 100,609
# Tan Chong International, Ltd. 666,000 128,033
TCC International Holdings, Ltd. 1,124,000 195,914
* Technology Venture Holdings, Ltd. 586,000 16,665
* Termbray Industries International (Holdings), Ltd. 2,304,900 124,269
Tern Properties Co., Ltd. 61,200 12,564
* The Sun's Group, Ltd. 17,004,000 21,817
* Tian An China Investments Co., Ltd. 1,238,275 294,659
Tian Teck Land, Ltd. 1,098,000 315,996
# Tianjin Development Holdings, Ltd. 1,118,000 387,626
* Titan Petrochemicals Group, Ltd. 640,000 44,324
* Tomorrow International Holdings, Ltd. New 165,000 21,276
Tonic Industries Holdings., Ltd. 920,000 49,443
Top Form International, Ltd. 1,586,000 243,591
* Tristate Holdings, Ltd. 138,000 23,903
Truly International Holdings, Ltd. 66,000 90,963
Tungtex (Holdings) Co., Ltd. 788,000 293,403
* Tysan Holdings, Ltd. 1,040,773 40,643
* U-Cyber Technology Holdings, Ltd. 432,800 8,226
* United Power Investment, Ltd. 1,664,000 32,486
* Universal Holdings Ltd 2,770,000 22,738
* Universe International Holdings, Ltd. 573,339 4,777
U-Right International Holdings, Ltd. 2,040,000 91,598
USI Holdings, Ltd. 928,999 113,098
# Van Shung Chong Holdings, Ltd. 359,335 66,364
* Vanda Systems & Communications Holdings, Ltd. 2,534,000 148,934
# Varitronix International, Ltd. 507,344 500,751
Veeko International Holdings, Ltd. 1,420,000 32,795
Victory City International Holdings, Ltd. 839,768 328,303
Vitasoy International Holdings, Ltd. 1,423,000 325,008
* Wah Ha Realty Co., Ltd. 278,600 42,538
* Wah Nam International 38,696 853
Wai Kee Holdings, Ltd. 1,265,738 214,928
</Table>
79
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Wang ON Group Ltd New 47,897 $ 5,836
Wellnet Holdings, Ltd. 2,059,200 97,721
* Winfoong International, Ltd. 1,210,000 32,527
Wing On Co. International, Ltd. 565,000 579,375
Wing Shan International, Ltd. 896,000 46,593
* Winsan China Investment Group, Ltd. 1,296,000 49,585
Wong's International (Holdings), Ltd. 737,641 89,850
* Wonson International Holdings, Ltd. 4,040,000 10,342
World Houseware (Holdings), Ltd. 605,700 23,691
*# Xinao Gas Holdings, Ltd. 1,094,000 515,681
Y. T. Realty Group, Ltd. 965,000 57,287
Yangtzekiang Garment Manufacturing Co., Ltd. 405,000 75,657
* Yanion International Holdings, Ltd. 118,000 8,898
* Yaohan International Holdings, Ltd. 974,000 0
* Yau Lee Holdings, Ltd. 534,000 26,338
YGM Trading, Ltd. 228,000 134,437
Yip's Chemical Holdings, Ltd. 674,000 136,687
Yugang International, Ltd. 11,916,000 113,072
* Yunnan Enterprises Holdings, Ltd. 240,000 12,284
* Zhu Kuan Development Co., Ltd. 646,000 32,633
---------------
TOTAL COMMON STOCKS
(Cost $74,974,804) 50,256,573
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars
(Cost $23,294) 23,293
---------------
RIGHTS/WARRANTS -- (0.0%)
* China Travel International Investment, Ltd.
Warrants 05/31/06 124,800 0
* Easyknit International Holdings, Ltd. Rights 06/07/04 141,430 0
* Quality Healthcare Asia, Ltd. Warrants 01/12/04 26,760 755
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 755
---------------
TOTAL -- HONG KONG
(Cost $74,998,098) 50,280,621
---------------
NEW ZEALAND -- (9.1%)
COMMON STOCKS -- (9.1%)
* AFFCO Holdings, Ltd. 1,935,950 304,360
Cavalier Corp., Ltd. 283,674 849,900
CDL Hotels NZ, Ltd. 1,387,344 357,407
CDL Investments NZ, Ltd. 306,025 53,840
Colonial Motor Co., Ltd. 126,795 232,638
* Cue Energy Resources NL 452,354 20,168
DB Breweries, Ltd. 312,589 1,591,228
Ebos Group, Ltd. 112,108 235,719
* Evergreen Forests, Ltd. 323,301 81,670
Hallenstein Glassons Holdings, Ltd. 241,638 447,449
Hellaby Holdings, Ltd. 201,679 635,846
Horizon Energy Distribution, Ltd. 40,420 99,159
* Kingsgate International Corp., Ltd. 479,679 93,136
Met Lifecare, Ltd. 270,895 382,388
Michael Hill International, Ltd. 156,746 566,477
* New Zealand Oil & Gas, Ltd. 584,872 $ 263,674
New Zealand Refining Co., Ltd. 84,779 1,014,305
* New Zealand Rural Properties, Ltd. 38,372 0
Northland Port Corp. (New Zealand), Ltd. 219,997 378,068
Nuplex Industries, Ltd. 271,267 863,175
* Pacific Retail Group, Ltd. 194,156 268,890
Port of Tauranga, Ltd. 541,952 1,734,911
Powerco, Ltd. 804,832 1,076,673
* Provenco Group, Ltd. 281,600 127,390
Pyne Gould Guinness, Ltd. 229,634 226,070
Restaurant Brand New Zealand, Ltd. 369,175 282,949
* Richina Pacific, Ltd. 309,644 77,754
* Rubicon, Ltd. 995,760 519,144
Ryman Healthcare Group, Ltd. 415,999 652,837
Sanford, Ltd. 418,047 1,273,833
Scott Technology, Ltd. 60,842 123,018
* Seafresh Fisheries 80,520 1,417
* Sky City Leisure, Ltd. 15,236 8,689
South Port New Zealand, Ltd. 30,744 26,699
Steel & Tube Holdings, Ltd. 379,638 929,660
* Tasman Farms 157,056 0
Taylors Group, Ltd. 29,646 48,754
Tourism Holdings, Ltd. 402,452 416,683
* Trans Tasman Properties, Ltd. 2,311,308 580,679
Waste Management NZ, Ltd. 430,471 1,246,446
Williams & Kettle, Ltd. 57,558 97,652
Wrightson, Ltd. 597,701 526,077
---------------
TOTAL COMMON STOCKS
(Cost $13,954,178) 18,716,832
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $5,223) 5,229
---------------
TOTAL -- NEW ZEALAND
(Cost $13,959,401) 18,722,061
---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Exergy, Inc. 7,260 0
---------------
MALAYSIA -- (0.1%)
COMMON STOCKS -- (0.1%)
* Autoways Holdings Berhad 10,000 3,395
* Promet Berhad 1,143,000 87,229
* Rekapacific Berhad 473,000 0
* RNC Corp. Berhad 33,000 3,560
* Saship Holdings Berhad 223,520 52,351
* Versatile Creative Berhad 3,000 280
* Wing Tiek Holdings Berhad 95,800 22,437
---------------
TOTAL -- MALAYSIA
(Cost $1,278,766) 169,252
---------------
JAPAN -- (0.0%)
COMMON STOCKS -- (0.0%)
*# Sansui Electric Co., Ltd. 252,000 80,062
---------------
</Table>
80
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (11.1%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.89%,
06/01/04 (Collateralized by $3,765,000 FMC Discount
Notes 1.13%, 08/12/04, valued at $3,755,588) to be
repurchased at $3,700,366 (Cost $3,700,000) $ 3,700 $ 3,700,000
Repurchase Agreement, Mizuho Securities USA 1.00%,
06/01/04 (Collateralized by $37,418,998 U.S. Treasury
Strips, maturities ranging from 02/15/16 to 02/15/17,
valued at $19,766,812 to be repurchased at $19,381,380
(Cost $19,379,227)^ 19,379 19,379,227
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $228,420,439)++ $ 205,500,826
===============
</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 $228,472,450.
See accompanying Notes to Financial Statements.
81
<Page>
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
UNITED KINGDOM -- (98.1%)
COMMON STOCKS -- (98.0%)
4imprint P.L.C. 50,375 $ 128,238
600 Group P.L.C. 100,910 116,445
Abacus Group P.L.C. 75,000 417,960
Abbeycrest P.L.C. 42,590 51,600
Abbot Group P.L.C. 239,595 765,886
Aberdeen Asset Management P.L.C. 303,617 425,345
Acal P.L.C. 20,971 191,418
* Acambis P.L.C. 137,000 814,283
* Advanced Medical Solutions P.L.C. 29,802 5,060
* Advanced Power Components, Ltd. 47,871 10,791
AEA Technology P.L.C. 72,381 267,361
AGA Food Service Group P.L.C. 174,500 781,156
Aggreko P.L.C. 339,200 930,678
* AIM Group P.L.C. 32,063 50,556
* Air Partner P.L.C. 11,763 88,162
* Airflow Streamlines P.L.C. 20,500 21,988
Airsprung Furniture Group P.L.C. 58,000 65,399
Alba P.L.C. 105,025 1,459,986
Alexandra P.L.C. 86,243 157,835
Alexon Group P.L.C. 116,632 705,851
* Alizyme P.L.C. 182,900 435,175
Alpha Airports Group P.L.C. 392,541 564,523
Alphameric P.L.C. 172,688 256,630
Alumasc Group P.L.C. 100,245 262,461
Alvis P.L.C. 191,010 987,161
Amberley Group P.L.C. 200,000 40,302
Amec P.L.C. 49,000 240,718
Amstrad P.L.C. 149,652 501,949
* Anglesey Mining P.L.C. 55,000 3,908
Anglo Eastern Plantations P.L.C. 57,166 160,067
Anglo Pacific Group P.L.C. 98,309 103,244
* Anite Group P.L.C. 467,715 411,682
* Antisoma P.L.C. 301,298 92,608
* API Group P.L.C. 51,500 60,070
* Applied Optical Technologies P.L.C. 75,383 43,611
* Arena Leisure P.L.C. 480,268 407,138
* Argonaut Games, Ltd. 100,000 12,051
Arla Foods UK P.L.C. 815,293 829,002
Arm Holdings P.L.C. 127,000 273,261
Arriva P.L.C. 129,697 927,211
* Ashtead Group P.L.C. 374,989 168,780
Ashtenne Holdings P.L.C. 93,880 643,872
Atkins Ws P.L.C. 127,815 1,296,111
* Atrium Underwriting P.L.C. 56,779 204,459
Austin Reed Group P.L.C. 68,999 183,356
Autologic Holdings P.L.C. 58,180 303,297
* Autonomy Corp. P.L.C. 143,486 580,567
Avesco P.L.C. 29,998 51,759
Aveva Group P.L.C. 23,026 219,521
Avis Europe P.L.C. 863,316 1,491,219
Avon Rubber P.L.C. 36,672 138,237
* AWG P.L.C. 16,000 180,122
* Axis-Shield P.L.C. 58,284 170,228
Axon Group P.L.C. 59,468 138,290
Babcock International Group P.L.C. 310,464 $ 637,156
Baggeridge Brick P.L.C. 98,000 279,860
* Bailey (C.H.) P.L.C. 109,500 15,559
* Bailey (C.H.) P.L.C. Class B 10,000 6,600
* Baltimore Technologies P.L.C. 60,656 49,132
Barr (A.G.) P.L.C. 43,000 579,720
Beattie (James) P.L.C. 132,247 295,492
Belhaven Brewery Group P.L.C. 39,070 315,461
* Bell Group P.L.C. 42,600 134,824
Bellway P.L.C. 127,364 1,763,001
Ben Bailey P.L.C. 26,000 203,851
Benchmark Group P.L.C. 138,813 704,261
Bespak P.L.C. 55,918 550,949
* Biocompatibles International P.L.C. 45,777 151,134
* Bioquell P.L.C. 50,194 123,413
Biotrace International P.L.C. 75,000 179,026
Birse Group P.L.C. 421,901 114,154
Black Arrow Group P.L.C. 56,500 72,513
Blacks Leisure Group P.L.C. 60,959 468,508
Bloomsbury Publishing P.L.C. 94,003 426,887
* BNB Resources P.L.C. 89,395 31,891
Body Shop International P.L.C. 235,793 670,964
Bodycote International P.L.C. 403,922 1,063,172
Boot (Henry) P.L.C. 47,000 322,895
Bovis Homes Group P.L.C. 157,801 1,479,223
BPP Holdings P.L.C. 106,500 616,608
* Bradstock Group P.L.C. 5,200 4,195
Brammer (H.) P.L.C. 119,123 290,388
* Brandon Hire P.L.C. 37,654 87,881
Brewin Dolphin Holdings P.L.C. 260,332 353,026
* Bristol Water Group P.L.C. 31,800 217,760
Britannic P.L.C. 243,326 1,537,002
British Polythene Industries P.L.C. 56,740 303,150
British Vita P.L.C. 223,303 1,054,501
Brixton P.L.C. 296,900 1,579,635
* Broadcastle P.L.C. 42,033 60,947
* Brown & Jackson P.L.C. 296,819 285,922
* Brown & Jackson P.L.C. Issue 04 84,805 81,692
Brown (N) Group P.L.C. 392,889 740,109
BSS Group P.L.C. 47,905 622,875
* BTG P.L.C. 220,220 460,594
Burtonwood Brewery P.L.C. 38,000 243,313
Business Post Group P.L.C. 70,934 647,796
BWD Securities P.L.C. 29,403 231,995
Caffyns P.L.C. 6,000 78,922
* Cairn Energy P.L.C. 183,836 3,562,290
* Cambridge Antibody Technology Group P.L.C. 38,149 362,068
* Cammell Laird Holdings P.L.C. 256,158 28,179
Capital & Regional P.L.C. 83,991 758,498
Capital Radio P.L.C. 105,550 880,398
Carclo P.L.C. 100,463 72,700
Care UK P.L.C. 64,835 346,810
Carillion P.L.C. 286,809 876,596
* Carlisle Holdings, Ltd. 8,709 54,884
Carpetright P.L.C. 113,500 2,069,326
</Table>
82
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Carr's Milling Industries P.L.C. 19,000 $ 115,859
Castings P.L.C. 79,000 267,948
* Cenes Pharmaceuticals P.L.C. 298,612 56,476
Chamberlin & Hill P.L.C. 18,000 51,250
Chapelthorpe P.L.C. 627,680 189,986
Character Group P.L.C. 59,041 86,848
Charles Taylor Consulting P.L.C. 67,918 344,200
* Charter P.L.C. 159,633 364,414
* Che Group P.L.C. 51,533 41,277
Chemring Group P.L.C. 49,000 385,554
* Chesnara P.L.C. 92,900 178,844
* Chime Communications P.L.C. 230,438 141,501
Chloride Group P.L.C. 485,500 436,371
Christie Group P.L.C. 53,263 97,350
Chrysalis Group P.L.C. 286,082 968,921
Churchill China P.L.C. 30,000 116,997
Clarkson (Horace) P.L.C. 44,733 403,049
* Clinical Computing P.L.C. 46,666 17,068
Clinton Cards P.L.C. 433,380 656,416
* CLS Holdings P.L.C. 152,907 879,018
CML Microsystems P.L.C. 28,361 176,846
Colefax Group P.L.C. 60,000 110,007
Collins Stewart Tullett P.L.C. 31,538 254,157
* Colt Telecom Group P.L.C. 257,000 395,915
Comino Group P.L.C. 11,100 36,461
Communisis P.L.C. 237,134 447,546
Compel Group P.L.C. 5,000 8,203
Computacenter P.L.C. 51,000 364,681
* Cookson Group P.L.C. 2,289,168 1,819,079
Coral Products P.L.C. 50,000 40,945
* Corporate Services Group P.L.C. 1,114,371 202,008
Cosalt P.L.C. 30,700 190,442
* Costain Group P.L.C. 468,659 352,491
Countryside Property P.L.C. 102,264 409,881
* Countrywide P.L.C. 185,800 955,537
Courts P.L.C. 110,722 532,758
Cox Insurance Holdings P.L.C. 417,814 524,916
Cranswick P.L.C. 54,941 390,681
Crest Nicholson P.L.C. 267,250 1,648,327
Creston P.L.C. 28,278 76,309
Croda International P.L.C. 176,035 903,221
Cropper (James) P.L.C. 22,000 59,427
* Culver Holdings P.L.C. 338 81
Daejan Holdings P.L.C. 25,000 945,840
Dairy Crest Group P.L.C. 165,769 1,234,953
* Dana Petroleum P.L.C. 98,651 481,118
* Danka Business Systems P.L.C. 85,000 83,217
Dart Group P.L.C. 74,000 168,697
Davis Service Group P.L.C. 227,016 1,525,749
* Dawson Holdings P.L.C. 83,245 239,435
* Dawson International P.L.C. 100,688 19,318
* DCS Group P.L.C. 10,000 3,090
De la Rue P.L.C. 223,000 1,331,823
Dechra Pharmaceiticals P.L.C. 67,432 160,616
Delta P.L.C. 200,000 289,815
Deltron Electronics P.L.C. 9,339 11,214
* Densitron International P.L.C. 74,175 26,098
Derwent Valley Holdings P.L.C. 90,000 1,379,094
Development Securities P.L.C. 50,000 339,374
DeVere Group P.L.C. 132,501 1,069,913
Devro P.L.C. 213,653 412,529
Dewhurst P.L.C. 9,000 $ 21,946
Dewhurst P.L.C. Class A Non-Voting 15,500 32,823
DFS Furniture Co. P.L.C. 135,600 1,069,031
Diagonal P.L.C. 104,323 69,674
Dickinson Legg Group P.L.C. 11,935 5,148
Dicom Group P.L.C. 30,000 428,165
* Dimension Data Holdings P.L.C. 939,000 526,653
Diploma P.L.C. 30,191 294,257
Domestic & General Group P.L.C. 47,868 526,345
Domino Printing Sciences P.L.C. 355,935 1,216,022
Domnick Hunter Group P.L.C. 47,242 301,171
* Dowding & Mills P.L.C. 336,440 67,810
DTZ Holdings P.L.C. 114,500 327,458
* Duelguide Units P.L.C. 3,971 39,155
Dyson Group P.L.C. 42,750 224,318
East Surrey Holdings P.L.C. 112,648 676,108
* Easynet Group P.L.C. 158,575 290,715
* Ebookers P.L.C. 89,700 450,132
* Edinburgh Oil & Gas P.L.C. 47,564 137,908
* Eidos P.L.C. 150,900 328,100
Eldridge Pope & Co. P.L.C. 25,000 69,310
Eleco P.L.C. 104,685 58,426
Electronic Data Processing P.L.C. 55,200 63,070
* Elementis P.L.C. 573,383 376,394
* Emerald Energy P.L.C. 3,205,540 101,888
* Emess P.L.C. 288,250 43,056
Ennstone P.L.C. 295,323 200,188
* Enodis P.L.C. 524,429 798,442
Estates & General P.L.C. 10,000 38,976
Eurocopy P.L.C. 41,051 29,337
* Eurodis Electron P.L.C. 1,230,802 115,166
Euromoney Institutional Investors P.L.C. 117,550 816,481
European Colour P.L.C. 82,090 26,967
European Motor Holdings P.L.C. 118,325 437,375
* European Telecom P.L.C. 7,000 0
* Evans of Leeds Contingent Units P.L.C. 80,000 0
Expro International Group P.L.C. 74,744 370,127
Fenner P.L.C. 144,722 273,430
* Ferguson International Holdings P.L.C. 89,105 44,110
Ferraris Group P.L.C. 63,540 121,776
* Fibernet Group P.L.C. 70,153 133,783
* FII Group P.L.C. 41,166 5,095
Filtronic P.L.C. 98,438 543,600
Financial Objects P.L.C. 7,000 5,137
Findel P.L.C. 142,288 998,925
First Choice Holidays P.L.C. 648,683 1,423,992
First Technology P.L.C. 128,111 689,227
Fisher (James) & Sons P.L.C. 76,000 379,339
FKI P.L.C. 702,700 1,428,568
Forminster P.L.C. 43,333 16,370
Forth Ports P.L.C. 142,983 2,990,417
Fortress Holdings P.L.C. 120,728 58,104
* Fortune Oil P.L.C. 1,805,243 189,074
Freeport P.L.C. 35,006 221,978
French Connection Group P.L.C. 125,000 993,645
Fuller, Smith & Turner P.L.C. Series A 20,000 234,947
Fulmar P.L.C. 107,500 147,709
Future Network P.L.C. 430,444 493,474
</Table>
83
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Galliford Try P.L.C. 517,870 $ 472,895
Game Group P.L.C. 534,000 594,687
Games Workshop Group P.L.C. 41,013 488,138
Gaming International P.L.C. 14,000 11,294
* Garton Engineering P.L.C. 10,248 0
* Gaskell P.L.C. 36,000 9,917
GB Group P.L.C. 250,000 89,245
Geest P.L.C. 97,588 1,046,634
* Get Group P.L.C. 13,200 49,051
Gibbs & Dandy P.L.C. 9,000 51,953
Gleeson (M.J.) Group P.L.C. 22,471 460,503
* Glotel P.L.C. 49,741 101,535
Go-Ahead Group P.L.C. 40,000 903,604
Goldshield Group P.L.C. 42,212 191,253
Gowrings P.L.C. 5,000 5,638
Grainger Trust, Ltd. 33,075 1,028,757
Great Portland Estates P.L.C. 272,408 1,311,337
Greene King P.L.C. 80,593 1,345,783
* Greenwich Resources P.L.C. 438,664 16,085
Greggs P.L.C. 26,000 1,613,385
* Gresham Computing P.L.C. 65,768 372,592
Guiness Peat Group P.L.C. 1,025,981 1,252,805
GWR Group P.L.C. 170,000 798,089
* Gyrus Group P.L.C. 110,664 406,578
Halma P.L.C. 489,564 1,342,522
Halstead (James) Group P.L.C. 52,208 424,027
* Hampson Industries P.L.C. 250,757 93,276
* Hampton Trust P.L.C. 232,050 7,977
* Hardy Underwriting Group P.L.C. 40,318 186,182
Hardys & Hansons P.L.C. 48,000 442,876
* Hartstone Group P.L.C. 240,263 8,395
* Harvey Nash Group P.L.C. 183,750 230,484
Havelock Europa P.L.C. 27,660 47,641
* Hawtin P.L.C. 196,500 32,425
Haynes Publishing Group P.L.C. 14,703 89,860
Headlam Group P.L.C. 152,974 1,146,673
Heath (Samuel) & Sons P.L.C. 7,500 54,316
Helical Bar P.L.C. 46,000 702,439
Helphire Group P.L.C. 159,600 575,345
Henlys Group P.L.C. 133,303 39,034
Hercules Property Services P.L.C. 25,132 130,651
Heywood Williams Group P.L.C. 140,400 200,099
Highbury House Communications P.L.C. 439,166 160,843
Highway Insurance Holdings P.L.C. 467,933 284,049
Hill & Smith Holdings P.L.C. 86,850 157,629
Hiscox P.L.C. 387,778 1,096,445
Hit Entertainment P.L.C. 195,791 1,071,792
Hitachi Capital (UK) P.L.C. 53,912 198,403
Holidaybreak P.L.C. 92,974 869,965
* Homeserve P.L.C. 86,400 1,061,022
Homestyle Group P.L.C. 76,141 122,768
Hornby P.L.C. 10,000 187,903
House of Fraser P.L.C. 395,650 840,971
Hunting P.L.C. 223,174 596,088
Huntleigh Technology P.L.C. 66,958 432,702
Huntsworth P.L.C. 135,000 55,291
* Hyder Consulting P.L.C. 16,308 41,660
* IAF Group P.L.C. 30,000 6,325
IFX Group P.L.C. 34,486 61,652
* Imagination Technologies Group P.L.C. 239,934 $ 373,222
* IMS Group P.L.C. 75,000 6,188
Incepta Group P.L.C. 280,643 429,811
Inchcape P.L.C. 20,000 577,805
* Industrial & Commercial Holdings P.L.C. 5,000 137
Infast Group P.L.C. 301,224 123,085
* Intec Telecom Systems P.L.C. 275,141 320,417
Intelek P.L.C. 99,880 19,624
* Intertek Group P.L.C. 70,100 695,867
Intserve P.L.C. 179,459 833,338
* Invensys P.L.C. 5,864,457 1,746,088
* Inveresk P.L.C. 150,000 38,609
* IQE P.L.C. 132,400 26,167
ISIS Asset Management P.L.C. 199,626 656,212
Isoft Group P.L.C. 210,764 1,494,736
Isotron P.L.C. 50,325 429,477
Ite Group P.L.C. 374,735 387,964
Itnet P.L.C. 90,278 480,899
Jarvis P.L.C. 230,379 347,566
* Jarvis Porter Group P.L.C. 99,894 37,088
JJB Sports P.L.C. 308,125 1,426,339
JKX Oil and Gas P.L.C. 220,533 323,972
John David Group P.L.C. 114,500 442,969
Johnson Service Group P.L.C. 125,535 897,811
Johnston Group P.L.C. 26,000 140,626
* Kalamazoo Computer Group P.L.C. 56,120 1,801
KBC Advanced Technologies P.L.C. 25,000 13,443
Keller Group P.L.C. 123,128 488,996
Kensington Group P.L.C. 71,789 551,496
* Kewill Systems P.L.C. 88,409 96,878
Kidde P.L.C. 232,000 483,625
Kier Group P.L.C. 51,293 591,895
Kiln P.L.C. 271,733 408,358
* Kingston Communications P.L.C. 453,332 512,495
Kleeneze P.L.C. 84,300 177,912
* Knowledge Support Systems Group P.L.C. 25,000 367
Laing (John) P.L.C. 301,961 1,183,895
Laird Group P.L.C. 163,100 858,567
Lambert Howarth Group P.L.C. 32,592 174,986
* Lastminute.com P.L.C. 258,882 876,814
* Laura Ashley Holdings P.L.C. 623,937 157,536
Lavendon Group P.L.C. 50,092 119,833
* Leeds United P.L.C. 66,000 181
Lincat Group P.L.C. 19,000 140,256
Linton Park P.L.C. 39,000 293,525
Linx Printing Technologies P.L.C. 27,000 171,616
Litho Supplies P.L.C. 20,000 17,422
London Bridge Software Holdings P.L.C. 215,910 376,037
* London Clubs International P.L.C. 293,962 685,237
London Industrial P.L.C. 22,308 657,855
London Merchant Securities P.L.C. 324,905 1,031,678
London Scottish Bank P.L.C. 263,000 627,960
Lookers P.L.C. 53,160 286,711
* Lorien P.L.C. 60,000 97,275
Low & Bonar P.L.C. 132,598 261,673
Luminar P.L.C. 99,500 803,665
Lupus Capital P.L.C. 191,787 56,367
</Table>
84
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* M.L. Laboratories P.L.C. 298,631 $ 100,910
Macfarlane Group P.L.C. 228,287 104,830
Macro 4 P.L.C. 42,500 131,774
Maiden Group P.L.C. 16,800 68,719
Mallett P.L.C. 24,837 121,129
Management Consulting Group P.L.C. 310,972 184,468
Manchester United P.L.C. 377,176 1,668,761
Manganese Bronze Holdings P.L.C. 32,184 138,796
Marlborough Stirling P.L.C. 300,047 333,427
Marshalls P.L.C. 225,800 1,187,353
* Martin International Holdings P.L.C. 135,800 58,679
* Marylebone Warwick Balfour Group P.L.C. 124,686 123,218
* Matalan P.L.C. 84,701 282,971
Mayflower Corp. P.L.C. 550,636 68,145
McAlpine (Alfred) P.L.C. 196,111 995,759
McBride P.L.C. 202,000 524,364
McCarthy & Stone P.L.C. 194,968 1,959,002
McKay Securities P.L.C. 68,500 266,765
* Medical Solutions P.L.C. 126,658 99,360
* Medisys P.L.C. 513,463 92,407
Meggitt P.L.C. 360,317 1,659,334
Mentmore P.L.C. 236,561 490,958
Menzies (John) P.L.C. 76,229 606,406
* Merant P.L.C. 172,500 600,913
Merchant Retail Group P.L.C. 185,666 531,166
Merrydown P.L.C. 59,927 102,111
Mersey Docks & Harbour Co. P.L.C. 104,554 1,323,046
Metal Bulletin P.L.C. 95,500 358,780
Metalrax Group P.L.C. 358,740 546,843
MFI Furniture Group P.L.C. 60,855 166,698
Mice Group P.L.C. 139,909 179,377
Michael Page International P.L.C. 436,800 1,355,326
* Microgen P.L.C. 98,405 106,669
Millennium and Copthorne Hotels P.L.C. 80,633 467,987
Minerva P.L.C. 220,430 970,153
Mitie Group P.L.C. 500,000 1,053,188
Molins P.L.C. 68,000 202,543
Monsoon P.L.C. 71,000 225,222
* Morgan Crucible Company P.L.C. 330,666 727,958
Morgan Sindall P.L.C. 66,000 532,724
Morse P.L.C. 171,777 407,928
Moss Brothers Group P.L.C. 163,400 220,005
Mowlem (John) & Co. P.L.C. 341,969 1,182,358
MS International P.L.C. 71,500 44,041
MSB International P.L.C. 16,000 21,165
Mtl Instruments Group P.L.C. 14,748 58,913
Mucklow (A & J) Group P.L.C. 175,000 923,987
* My Travel Group P.L.C. 628,934 100,751
National Express Group P.L.C. 25,000 319,431
Nestor Healthcare Group P.L.C. 180,200 443,019
* New Avesco P.L.C. 29,998 30,250
Newcastle United P.L.C. 148,923 101,026
NHP P.L.C. 281,875 1,022,806
Nichols P.L.C. 66,550 149,805
Nord Anglia Education P.L.C. 29,624 122,202
Northamber P.L.C. 75,888 105,048
Northern Foods P.L.C. 527,042 1,495,546
* Northgate Information Solutions P.L.C. 659,558 721,684
Northgate P.L.C. 118,200 1,361,972
Novar P.L.C. 526,365 $ 1,206,099
* NSB Retail P.L.C. 461,606 222,253
* NXT P.L.C. 101,922 184,493
Ocean Wilsons Holdings, Ltd. 84,250 243,643
* OEM P.L.C. 12,000 12,431
* Orbis P.L.C. 11,428 3,149
* Osmetech P.L.C. 669,354 49,130
Ottakar's P.L.C. 30,000 222,791
Owen (H.R.) P.L.C. 34,000 128,191
* Oxford Biomedica, Ltd. 412,582 126,567
Oxford Instruments P.L.C. 63,163 272,316
* Pace Micro Technology P.L.C. 319,767 299,277
Paladin Resources P.L.C. 427,630 953,097
* Palmaris Capital P.L.C. 42,500 9,229
Paragon Group of Companies P.L.C. 153,200 910,670
* Parity Group P.L.C. 241,406 44,336
Park Group P.L.C. 291,600 158,136
Partridge Fine Arts P.L.C. 58,000 66,463
Pendragon P.L.C. 239,375 1,355,979
Penna Consulting P.L.C. 33,000 83,709
Peterhouse Group P.L.C. 85,427 304,835
* Pharmagene P.L.C. 160,000 140,030
* Photo-Me International P.L.C. 513,175 887,039
PHS Group P.L.C. 692,231 977,356
* Phytopharm P.L.C. 56,696 161,443
Pillar Property P.L.C. 150,588 1,545,559
Pittards P.L.C. 60,985 53,127
Planit Holdings P.L.C. 235,000 114,153
* Plantation & General P.L.C. 70,623 23,307
* Plasmon P.L.C. 100,000 342,213
Portmeirion Group P.L.C. 22,856 70,191
Porvair P.L.C. 62,000 123,904
* PPL Therapeutics P.L.C. 43,529 3,591
Premier Farnell P.L.C. 18,000 79,867
* Premier Oil P.L.C. 105,748 1,028,623
* Pressac P.L.C. 78,129 18,583
Primary Health Properties P.L.C. 23,784 96,032
* Probus Estates P.L.C. 83,333 1,360
* Protherics P.L.C. 506,828 481,138
* Provalis P.L.C. 375,538 42,174
PSD Group P.L.C. 43,500 188,420
* Psion P.L.C. 548,800 570,818
PZ Cuzzons P.L.C. 29,000 579,329
* QA P.L.C. 158,950 11,987
* Queens Moat Houses P.L.C. 159,000 24,779
Quintain Estates & Development P.L.C. 158,650 1,156,875
* QXL Ricardo P.L.C. 130 953
RAC P.L.C. 142,900 1,736,997
Radamec Group P.L.C. 35,000 24,667
Radstone Technology P.L.C. 40,384 248,933
Ransom (William) & Son P.L.C. 30,000 27,666
* Redbus Imterhouse P.L.C. 206,250 27,877
Redrow P.L.C. 212,951 1,292,262
* Redstone P.L.C. 257,485 40,162
Reed Health Group P.L.C. 155,333 169,827
Reg Vardy P.L.C. 103,597 1,008,142
Regent Inns P.L.C. 162,667 115,889
Reliance Security Group P.L.C. 26,998 265,843
Renishaw P.L.C. 146,806 1,257,006
Renold P.L.C. 144,000 198,248
</Table>
85
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Restaurant Group P.L.C. 241,516 $ 371,734
Ricardo P.L.C. 114,409 392,465
Richmond Foods P.L.C. 30,683 281,049
* Richmond Oil & Gas P.L.C. 220,000 0
RM P.L.C. 119,174 297,544
* RMS Communications P.L.C. 15,000 0
Robert Wiseman Dairies P.L.C. 105,437 456,719
ROK property solutions P.L.C. 58,166 369,821
Rotork P.L.C. 185,440 1,296,919
Roxboro Group P.L.C. 9,304 49,265
* Royal Doulton P.L.C. 240,000 35,785
Royalblue Group P.L.C. 47,200 446,391
RPC Group P.L.C. 116,100 362,329
RPS Group P.L.C. 257,158 565,646
Rugby Estates P.L.C. 9,100 43,825
Rutland Trust P.L.C. 174,255 115,016
S & U P.L.C. 21,140 198,701
* Safeland P.L.C. 25,000 24,064
Salvesen (Christian) P.L.C. 334,415 303,878
Sanctuary Group P.L.C. 444,589 391,481
Savills P.L.C. 104,000 846,434
* Scapa Group P.L.C. 163,581 84,493
* Scipher P.L.C. 34,563 1,519
Scottish & Newcastle P.L.C. 58,467 457,309
Scottish Radio Holdings P.L.C. 45,800 731,727
SCS Upholstery P.L.C. 29,000 123,567
* SDL P.L.C. 71,511 152,889
Secure Trust Group P.L.C. 27,118 203,729
Securicor P.L.C. 664,050 1,467,982
Senior P.L.C. 122,900 81,908
Serco Group P.L.C. 233,359 864,852
* Servicepower Technologies P.L.C. 150,000 101,489
Severfield-Rowan P.L.C. 26,211 167,694
* SFI Group P.L.C. 26,713 15,183
Shaftesbury P.L.C. 171,500 811,135
Shanks & McEwan Group P.L.C. 311,671 674,921
Shiloh P.L.C. 14,500 34,312
SHL Group P.L.C. 41,650 84,145
* ShopRite Group P.L.C. 204,780 46,932
SIG P.L.C. 157,030 1,036,767
* Simon Group P.L.C. 348,089 304,205
Sinclair (William) Holdings P.L.C. 53,000 73,733
Singer & Friedlander Group P.L.C. 213,875 921,738
Sirdar P.L.C. 41,600 25,894
* Skyepharma P.L.C. 808,847 885,591
Smart (J.) & Co. (Contractors) P.L.C. 22,500 204,200
* Smart Approach Group P.L.C. 251,985 5,313
SMG P.L.C. 425,192 865,322
Smith (David S.) Holdings P.L.C. 468,840 1,341,103
Smith (James) Estates P.L.C. 13,000 83,422
Smith (W.H.) P.L.C. 125,843 825,648
* Soco International P.L.C. 95,932 598,301
Somerfield P.L.C. 601,400 1,580,756
* South Staffordshire Group P.L.C. 21,600 293,058
Southampton Leisure Holdings P.L.C. 19,615 16,157
Spectris P.L.C. 166,081 1,399,346
Speedy Hire P.L.C. 56,892 422,113
Spirax-Sarco Engineering P.L.C. 106,811 1,072,159
* Spirent P.L.C. 1,153,237 1,363,208
* Sportech P.L.C. 435,000 93,718
Spring Group P.L.C. 208,638 428,374
* Springwood P.L.C. 37,500 $ 2,406
SSL International P.L.C. 229,700 1,342,004
St. Ives P.L.C. 129,400 853,964
St. Modwen Properties P.L.C. 160,800 845,222
Staffware P.L.C. 16,613 239,611
Stanelco P.L.C. 1,012,741 108,917
Stanley (Charles) Group P.L.C. 86,800 331,018
Stanley Leisure Organisation P.L.C. 226,209 1,945,266
* Sterling Publishing Group P.L.C. 75,298 12,465
Stylo P.L.C. 64,096 58,154
* Superscape P.L.C. 162,101 91,112
* Surfcontrol P.L.C. 42,400 442,856
Swallowfield P.L.C. 15,000 21,218
Sygen International P.L.C. 492,975 422,627
Synstar P.L.C. 216,206 293,025
T&F Informa Group P.L.C. 355,029 2,344,884
* T. Clarke P.L.C. 16,213 137,151
* Tadpole Technology P.L.C. 314,463 91,903
* Tandem Group P.L.C. 327,365 0
Tarsus Group P.L.C. 34,855 56,452
Taylor Nelson AGB P.L.C. 109,000 402,898
TBI P.L.C. 696,132 827,268
Ted Baker P.L.C. 48,829 371,173
* Telecommunications Group P.L.C. 45,958 1,884
Telemetrix P.L.C. 165,708 398,370
* Telspec P.L.C. 25,000 6,898
* Terence Chapman Group P.L.C. 62,500 363
Tex Holdings P.L.C. 14,000 40,615
The Big Food Group P.L.C. 466,847 857,541
* The Innovation Group P.L.C. 940,000 539,722
The Malcolm Group P.L.C. 109,377 165,497
* The Television Corp. P.L.C. 81,937 124,993
* The Wireless Group P.L.C. 88,460 150,404
Thorntons P.L.C. 158,000 456,643
Thorpe (F.W.) P.L.C. 24,000 99,948
* Thus Group P.L.C. 1,697,000 809,908
Tibbett & Britten Group P.L.C. 86,123 706,030
Tinsley (Eliza) Group P.L.C. 19,844 8,898
* Toad Group P.L.C. 85,507 29,520
Topps Tiles P.L.C. 348,450 1,000,669
Tops Estates P.L.C. 41,188 221,614
* Torotrak P.L.C. 134,282 148,992
* Tottenham Hotspur P.L.C. 150,000 75,948
Town Centre Securities (New) P.L.C. 142,137 622,281
Trace Computers P.L.C. 33,552 47,094
* Trafficmaster P.L.C. 151,708 218,362
Transport Development Group P.L.C. 108,182 406,896
Trifast P.L.C. 135,388 168,736
Trio Holdings P.L.C. 50,000 20,603
TT Electronics P.L.C. 158,390 420,707
Tullow Oil P.L.C. 500,218 939,453
U.K. Coal P.L.C. 194,549 544,354
Ulster Television, Ltd. 115,602 915,777
Ultra Electronics Holdings P.L.C. 86,645 891,366
Ultraframe P.L.C. 129,685 290,765
Umeco P.L.C. 43,150 287,092
Uniq P.L.C. 152,986 486,608
Unite Group P.L.C. 144,289 461,840
Universal Salvage P.L.C. 14,255 16,427
* Vanco P.L.C. 69,249 288,439
* Vega Group P.L.C. 32,300 96,327
</Table>
86
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Vernalis P.L.C. 225,579 $ 210,715
* Vert (Jacques) P.L.C. 45,000 12,150
Victoria P.L.C. 12,000 82,650
Victrex P.L.C. 136,254 817,553
Vitec Group P.L.C. 47,953 306,193
* Volex Group P.L.C. 58,801 137,378
VP P.L.C. 83,100 184,943
VT Group P.L.C. 229,432 1,115,147
Wagon P.L.C. 65,292 193,420
* Walker Greenbank P.L.C. 53,105 13,631
Warner Estate Holdings P.L.C. 70,000 609,259
* Waterdorm P.L.C. 105,000 0
Waterman P.L.C. 74,473 102,443
Watermark Group P.L.C. 68,660 175,579
Weir Group P.L.C. 244,736 1,315,453
Wellington Holdings P.L.C. 9,000 22,019
Wembley P.L.C. 36,926 579,908
Westbury P.L.C. 202,522 1,590,613
* Weston Medical Group P.L.C. 50,200 2,301
Wetherspoon (J.D.) P.L.C. 264,451 1,395,753
Whatman P.L.C. 241,935 925,041
White Young Green P.L.C. 74,666 256,204
Whitehead Mann Group P.L.C. 95,000 471,388
Whittard of Chelsea P.L.C. 30,000 106,083
* Wiggins Group P.L.C. 1,148,266 116,317
Wilmington Group P.L.C. 66,592 131,080
Wilshaw P.L.C. 198,409 40,924
Wilson Bowden P.L.C. 7,000 132,913
Wincanton P.L.C. 147,600 568,882
Windsor P.L.C. 50,000 36,220
Wintrust P.L.C. 22,500 243,795
Wolverhampton & Dudley Breweries P.L.C. 90,173 1,358,033
Wood Group (John) P.L.C. 555,826 1,451,077
Woolworths Group P.L.C. 1,717,965 1,395,056
* Worthington Group P.L.C. 102,653 6,587
WSP Group P.L.C. 90,000 326,527
Wyevale Garden Centres P.L.C. 74,407 492,681
Wyndeham Press Group P.L.C. 73,066 142,685
* XAAR P.L.C. 66,357 101,854
XANSA P.L.C. 459,994 711,901
* Xenova Group P.L.C. 436,931 69,819
* XKO Group P.L.C. 30,304 49,265
Yates Group P.L.C. 76,263 139,877
* Yorkshire Group P.L.C. 82,504 8,698
Young & Co's Brewery P.L.C. 10,000 $ 164,835
Young & Co's Brewery P.L.C. Class A 5,234 108,907
Yule Catto & Co. P.L.C. 194,090 854,572
Zotefoams P.L.C. 62,000 79,745
---------------
TOTAL COMMON STOCKS
(Cost $203,560,900) 268,369,725
---------------
INVESTMENT IN CURRENCY -- (0.1%)
* British Pound Sterling
(Cost $229,507) 222,287
---------------
RIGHTS/WARRANTS -- (0.0%)
* Creston P.L.C. Warrants 03/31/04 1,000 0
* Letter of Entitlements - Audemars Piguet 90,242 0
* Planestation Group P.L.C. Warrants 01/13/11 229,653 5,684
* Xenova Group P.L.C. Rights 12/17/03 94,500 0
* Xenova Group P.L.C. Warrants 12/31/08 56,991 3,527
---------------
TOTAL RIGHTS/WARRANTS
(Cost $4,781) 9,211
---------------
TOTAL -- UNITED KINGDOM
(Cost $203,795,188) 268,601,223
---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.9%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.89%,
06/01/04 (Collateralized by $5,065,000 FHLB Notes
3.375%, 06/15/04, valued at $5,147,306) to be
repurchased at $5,071,501
(Cost $5,071,000) $ 5,071 5,071,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $208,866,188)++ $ 273,672,223
===============
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
++ The cost for federal income tax purposes is $208,877,321.
See accompanying Notes to Financial Statements.
87
<Page>
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
FRANCE -- (12.0%)
COMMON STOCKS -- (12.0%)
Affine 1,400 $ 111,141
* Ales Groupe SA 1,900 81,408
* Ales Groupe SA Issue 04 316 13,120
Algeco SA 3,326 380,445
*# Alstom SA 177,212 203,694
* Altedia SA 2,800 52,790
*# Alten SA 21,372 321,491
* Altran Technologies SA 82,633 889,605
Apem SA 1,000 65,922
April Group SA 31,201 604,186
Ares (Groupe) SA 5,500 30,219
Arkopharma 6,240 380,897
* Assystem Brime SA 7,580 147,697
* Aubay SA 5,700 25,359
* Audika SA 1,900 115,410
* Baccarat SA 1,090 116,022
Bacou-Dalloz 6,287 495,609
Bains de Mer et du Cercle des Etrangers a Monaco 4,615 1,419,452
Banque Tarneaud SA 1,000 176,586
Beneteau SA 13,527 814,140
* Bigben Interactive 2,100 10,569
Boiron SA 16,659 389,968
* Boizel Chanoine Champagne SA 600 32,718
Bonduelle SA 6,723 619,536
# Bongrain SA 13,083 880,044
* Bricorama SA 3,379 189,152
Brioche Pasquier SA 2,888 188,628
Buffalo Grill SA 1,028 15,036
* Bull SA 105,500 114,645
Burelle SA 4,030 422,845
* Business Objects SA 16,500 362,041
* BVRP SA 2,900 40,533
* Camaieu SA 4,988 441,236
* Cap Gemini SA 3,066 117,597
Carbone Lorraine 33,245 1,243,712
Cegedim SA 6,902 498,758
CEGID SA 18,000 490,644
CFCAL-Banque 840 296,612
CFF Recycling 10,576 1,207,323
* Cie Financiere Pour La Location D'Immeubles
Industriels & Commerciaux Sa 6,400 336,129
# Clarins SA 7,332 457,193
*# Club Mediterranee SA 15,665 663,617
Consortium International de Diffusion et de
Representation Sante 600 8,362
Crometal SA 1,100 54,973
* CS Communication et Systemes 4,983 135,994
* Damartex SA 22,900 667,998
* Dane-Elec Memory SA 11,400 43,833
Delachaux SA 1,300 150,026
Deveaux SA 1,040 113,545
Didot-Bottin 1,620 $ 213,257
* DMC (Dollfus Mieg et Cie) 9,630 62,941
Dynaction SA 10,660 212,889
Eiffage SA 7,650 595,213
Electricite de Strasbourg 23,784 3,050,984
Elior 104,108 893,767
Esso SA 3,200 449,270
Etam Developpement SA 7,300 296,555
Euler-Hermes SA 12,758 704,170
* Eurafrance 43,296 2,661,228
* Euraltech SA 11,700 22,432
*# Euro Disney SCA 797,643 360,193
* Evialis SA 1,200 43,582
Exel Industries SA 1,800 108,730
Explosifs et de Produits Chimiques 524 138,841
# Faurecia SA 6,500 421,238
Fimalac SA 111,143 4,344,466
Fininfo SA 9,760 273,837
* Fleury Michon SA 3,100 143,678
Fonciere Lyonnaise SA 9,596 413,614
France-Africaine de Recherches Petrolieres (Francarep) 4,250 539,613
Francois Freres (Tonnellerie) SA 3,150 80,462
* Gantois Series A 647 37,048
* Gascogne SA 6,472 566,467
# Gaumont 14,607 979,019
* GCI (Groupe Chatellier Industrie SA) 7,258 886
*# Generale de Geophysique SA 20,770 1,027,647
Generale de Sante 32,259 445,331
Generale Location SA 9,000 201,787
* Geodis SA 4,379 335,099
Gespac System 1,100 18,671
Gevelot 3,584 202,715
GFI Informatique SA 26,700 196,824
# Gifi 4,678 359,086
* Ginger (Groupe Ingenierie Europe) 2,600 41,562
Grands Moulins de Strasbourg 110 56,417
* Groupe Bourbon SA 5,440 640,249
Groupe Crit 6,900 147,381
* Groupe Flo SA 11,900 63,126
* Groupe Focal SA 1,400 14,819
* Groupe Go Sport SA 2,207 173,770
Groupe Guillin SA 1,200 95,301
Groupe Open SA 2,000 77,199
Groupe Steria 14,365 499,032
Guerbet SA 1,700 113,353
* Guitel 116 921
Guyenne et Gascogne SA 26,000 2,966,673
Havas SA 62,300 330,724
Hoteliere Lutetia Concorde 2,505 444,858
* Hotels et Casinos de Deauville 2,055 1,092,020
Hyparlo SA 5,514 287,662
IDSUD 614 18,855
IMS International Metal Service SA 12,630 100,187
Industrielle et Financiere d'Entreprise SA 300 46,330
</Table>
88
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
*# Infogrames Entertainment SA 83,638 $ 243,609
*# Ingenico SA 61,820 847,231
* Ioltech SA 500 49,410
Ipsos SA 5,776 616,677
Kaufman et Broad SA 7,722 283,530
Lafuma SA 810 61,072
Laurent-Perrier 3,100 107,861
Lectra Systemes SA 23,092 182,491
Lisi SA 7,827 367,823
Manitou SA 11,092 1,230,726
Manutan International SA 4,700 214,023
Marionnaud Parfumeries Retails Perfumes 11,209 396,275
* Matussiere et Forest SA 13,600 48,162
* Metaleurop SA 35,449 23,376
MGI Coutier SA 1,400 48,843
* Montupet SA 32,450 595,240
* Mr. Bricolage SA 6,600 217,595
* MRM 1,424 17,077
Neopost SA 7,200 408,321
* Nexans 15,136 497,083
Norbert Dentressangle 8,372 413,549
Nord Est SA 21,507 1,078,212
*# Oberthur Card Systems SA 53,640 381,483
* Oeneo 31,265 137,568
* Otor SA 13,700 63,530
* Parcours SA 5,300 32,310
* Passat SA 2,400 46,793
* Penauille Polyservices SA 10,200 104,292
* Petit Forestier SA 3,043 122,577
Pierre & Vacances 6,635 568,255
* Pinguely-Haulotte SA 25,000 183,974
Plastic Omnium SA 15,423 758,701
Plastivaloire SA 1,700 44,364
Prosodie SA 4,500 128,020
PSB Industries SA 1,240 162,793
* Radiall SA 1,340 106,339
Robertet SA 1,076 120,950
Rodriguez Group SA 9,687 525,517
Rougier SA 2,040 153,195
* S.T. Dupont SA 3,800 18,331
Sabeton 13,500 197,874
Samse SA 4,400 549,728
* Sasa Industries SA 1,000 26,262
* Saveurs de France-Brossard 900 22,159
* Scor SA 524,279 768,216
* SDR de Bretagne SA 1,314 41,691
SEB SA Prime Fidelite 2002 3,300 371,106
Sechilienne-Sidec 2,200 389,838
Securidev SA 1,500 19,853
Selectibail 29,286 896,890
Signaux Girod SA 600 29,689
SILIC (Societe Immobiliere de Location pour L'industrie
et le Commerce) 15,009 1,014,484
Skis Rossignol SA 41,668 687,273
Smoby SA 500 44,622
Societe du Louvre SA 9,503 911,925
* Societe Francais des Papiers Peints 400 4,772
Societe Industrielle D'Aviations Latecoere SA 3,700 121,799
Societe Pour L'Informatique Industrielle SA 1,800 $ 66,262
* Solving International SA 2,100 20,945
Somfy Interational SA 22,900 4,304,685
Sopra SA 7,618 339,428
# SR Teleperformance 90,928 2,081,121
Stallergenes SA 1,949 103,468
Ste Virbac SA 7,637 276,391
Stef-Tfe SA 2,032 205,761
Sucriere de Pithiviers-le-Vieil 1,825 1,283,589
* Sylis SA 4,700 32,928
Synergie SA 8,000 209,838
Taittinger SA 12,700 2,713,057
* Teisseire France SA 700 67,431
* Tessi SA 1,700 66,447
Touax (Touage Investissement SA) 10,378 202,453
* Toupargel-Agrigel SA 6,200 172,257
Trigano SA 7,953 439,279
* Ubi Soft Entertainment SA 10,800 282,674
Unilog SA 9,747 488,426
Vallourec (Usines a Tubes de Lorraine
Escaut et Vallourec Reunies) 31,700 2,765,783
* Valtech, La Defense 48,000 52,240
Viel et Compagnie 44,339 213,065
# Vilmorin et Cie SA 2,349 361,390
VM Materiaux SA 300 38,544
Vranken Monopole 2,800 110,954
Zodiac SA 14,964 486,317
---------------
TOTAL COMMON STOCKS
(Cost $48,556,589) 79,340,531
---------------
RIGHTS/WARRANTS -- (0.0%)
* Ales Groupe SA Warrants 03/23/09 316 1,389
* Groupe Open Warrants 10/21/06 1,000 818
* Oeneo Warrants 08/26/06 14,365 6,497
* Prosodie SA Warrants 10/28/06 900 655
* Ubi Soft Entertainment SA Warrants 05/14/06 4,100 1,903
* Valtech, La Defense Warrants 07/29/05 20,000 975
---------------
TOTAL RIGHTS/WARRANTS
(Cost $1,814) 12,237
---------------
TOTAL -- FRANCE
(Cost $48,558,403) 79,352,768
---------------
GERMANY -- (11.1%)
COMMON STOCKS -- (11.1%)
A.S. Creation Tapeton AG 2,900 59,743
# Aareal Bank AG 46,391 1,572,562
* Acg AG Fuer Chipkarten und Informationssysteme 15,400 33,819
Ackermann-Goeggingen AG 8,100 158,498
AC-Service AG 4,300 27,698
* Adva AG Optical Networking 39,883 261,646
* Agrob AG 5,800 61,202
* Aigner (Etienne) AG 600 106,831
* Aixtron AG 74,124 435,616
Amadeus Fire AG 4,900 31,754
Andreae-Noris Zahn AG, Anzag 27,200 961,684
* Articon Integralis AG 7,900 28,093
</Table>
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Atoss Software AG 3,700 $ 50,590
* Augusta Technologie AG 11,750 24,371
# Ava Allgemeine Handelsgesellschaft der Verbraucher AG 35,814 1,405,711
# AWD Holding AG 52,932 1,781,445
* Baader Wertpapier Handelsbank AG 19,026 139,558
# Balda AG 40,277 355,105
* Basler AG 3,200 52,847
# Beate Uhse AG 56,241 746,045
Bechtle AG 25,498 396,993
* Berliner Elektro Holding AG 17,611 160,760
Bertrandt AG 9,850 158,922
Beru AG 14,051 1,061,422
Beta Systems Software AG 2,850 55,853
Bien-Haus AG 2,400 36,033
# Bilfinger & Berger Bau AG 44,787 1,472,801
* Biolitec AG 8,000 42,533
* Biotest AG 2,400 32,035
* BKN International AG 13,200 81,444
* BMP AG 10,600 34,292
# Boewe Systec AG 7,866 376,821
* Borussia Dortmund GMBH & Co. KGAA 21,650 77,303
*# Brau und Brunnen AG 300 41,479
Bremer Energiekonto AG 14,700 27,498
* CBB Holding AG 102,602 4,737
* Ce Consumer Electrnic AG 21,600 45,940
* Ceag AG 20,670 227,287
* Cenit AG Systemhaus 3,500 55,707
* Centrotec Hochleistungskunststoffe AG 7,500 122,220
Cewe Color Holding AG 7,073 155,667
Comdirect Bank AG 120,666 1,071,574
* Computec Media AG 4,650 34,624
Computerlinks AG 5,700 84,314
* Condomi AG 1,800 5,182
* CTS Eventim AG 14,800 235,001
* Curanum AG 21,500 50,227
* D. Logistics AG 37,750 79,963
*# DAB Bank AG 70,271 531,944
* Data Modul AG 2,904 57,127
* DEAG Deutsche Entertainment AG 10,500 34,990
*# Deutsche Euroshop AG 18,927 809,102
* Deutsche Steinzeug Cremer & Breuer AG 87,200 97,072
*# Deutz AG 96,790 420,279
* Dierig Holding AG 10,500 152,121
Dis Deutscher Industrie Service AG 18,524 495,273
* Dom-Braugerei AG 1,100 44,940
Douglas Holding AG 43,825 1,169,648
* Dr. Scheller Cosmetics AG 4,000 16,852
* Drillisch AG 28,287 120,878
*# Duerr Beteiligungs AG 17,593 440,484
DVB Bank AG 7,124 888,517
* Eckert and Ziegler Strahlen - und Medizintechnik AG 3,000 33,792
* Elexis AG 8,600 55,531
Elmos Semiconductor AG 23,218 359,878
ElreingKlinger AG 1,500 163,999
*# Em.TV AG 18,773 52,959
* Emprise Management Consulting AG 8,950 $ 18,758
* Epcos AG 55,500 1,126,358
Erlus Baustoffwerke AG 297 128,765
* Escada AG 20,520 359,975
* Eurobike AG 1,700 313
* Evotec Biosystems AG 42,707 218,468
Feilmann AG 29,181 1,624,007
# FJA AG 9,889 130,406
Fortec Elektronik AG 1,400 37,963
* Freenet.De AG 16,800 1,541,736
Fuchs Petrolub AG Oel & Chemie 6,693 494,747
GFK AG 37,903 1,278,675
* Gft Technologies AG 22,600 56,450
*# GPC Biotech AG 23,900 342,912
# Grenkeleasing AG 15,958 626,011
Gwag Bayerische Wohnungs-Aktiengesellschaft AG 3,383 144,994
Hamborner AG 21,000 589,789
* Hawesko Holdings AG 4,300 131,109
* Herlitz AG 6,962 25,954
Hochtief AG 34,000 746,203
* Hoeft & Wessel AG 6,100 24,252
Hucke AG 8,300 36,967
# Hugo Boss AG 25,100 515,372
Hutschenreuther AG 2,800 38,414
* I-D Media AG 9,700 20,525
* IFA Hotel & Touristik AG 7,000 61,031
* IM International Media AG 19,800 15,307
*# Innovation in Traffic Systems AG 12,300 51,017
Interseroh AG 11,845 179,416
*# Intershop Deutschland AG 7,955 16,340
* Intertainment AG 8,500 41,583
* Isra Vision Systems AG 3,650 55,571
# IVG Immobilien AG 143,237 1,655,029
Iwka AG 26,613 564,501
Jenoptik AG 67,265 821,464
# K & S Aktiengesellschaft AG 129,500 4,130,207
Kampa-Haus AG 10,375 81,101
Keramag Keramische Werke AG 13,000 796,143
* Kloeckner-Werke AG 53,211 631,966
* Kontron AG 53,965 423,322
Krones AG 10,180 919,812
KSB AG 2,387 460,515
KWS Kleinwanzlebener Saatzucht AG 1,650 1,156,027
* Leica Camera AG 4,400 27,172
# Leifheit AG 12,500 381,843
# Leoni AG 25,000 1,525,370
Loewe AG 7,100 52,653
* LPKF Laser & Electronics AG 9,000 42,942
* Masterflex AG 4,400 155,982
* Maternus-Kliniken AG, Bad Oyenhausen 2,400 2,289
* Maxdata AG 32,897 140,659
* Mediclin AG 30,850 54,489
* Medigene AG 8,600 80,559
* Mensch und Maschine Software AG 5,350 50,199
* Morphosys AG 4,800 127,516
* Mosaic Software AG 5,200 13,988
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Muehlabauer Holdings AG & Co. KGAA 7,423 $ 230,977
* MVS Miete Vertrieb Service AG 13,050 27,120
MVV Energie AG 58,291 960,418
* MWG Biotech AG 30,700 46,277
* Nemetschek AG 7,400 66,065
* Neschen AG 5,800 31,843
* Norddeutsche Affinerie AG 37,449 482,917
Norddeutsche Steingutfabrik AG 5,960 31,296
Novasoft AG 18,550 61,298
* November AG 5,400 32,961
* Ohb Teledata 12,650 109,800
* Pandatel AG 5,700 21,958
* Parsytec AG 11,900 52,469
PC-Ware Information Technologies AG 5,100 54,100
* Personal & Informatik AG 5,900 42,144
Pfeiffer Vacuum Technology AG 8,250 322,003
* Pfleiderer AG 51,351 387,233
* Phoenix AG, Hamburg 37,500 687,065
* Plambeck Neue Energien AG 19,350 45,218
* Plenum AG 9,300 29,183
* Primacom AG 15,200 9,224
* Produkte und Syteme der Informationstechnologie AG 10,300 46,813
Progress-Werk Oberkirch AG 5,000 161,914
Puma AG 5,700 1,387,699
* PVATepla AG 15,550 29,890
*# Qs Communications AG 124,164 593,928
Rational AG 15,083 967,109
* Realtech AG 3,650 24,849
Renk AG 19,400 599,513
* Repower Systems AG 5,000 111,430
# Rheinmetall Berlin AG 45,000 1,726,682
Rhoen Klinikum AG 24,107 1,134,092
Rinol AG 5,900 18,580
* Rohwedder AG 4,860 35,728
* Ruecker AG 7,800 30,482
# Salzgitter AG 85,948 1,020,754
* SAP Systems Integrations AG 35,050 877,359
Sartorius AG 11,252 192,370
Schlott Sebaldus AG 7,440 215,380
Schwarz Pharma AG 30,101 846,637
Sektkellerei Schloss Wachenheim AG 15,120 144,303
* Senator Entertainment AG 9,800 3,111
* SGL Carbon AG 57,758 553,816
* Singulus Technologies AG 36,100 688,832
Sinner AG, Karlsruhe 4,160 62,690
Sixt AG 19,433 313,718
* Sm Wirtschaftsberatungs AG 3,350 33,401
* Software AG 34,296 908,821
Stada Arzneimittel AG 25,093 1,298,467
* Stahl (R.) AG 6,300 60,796
* Steag Hamtech AG 35,473 143,035
* Stoehr & Co. AG 16,000 65,668
* Strabag AG 4,840 327,288
Stratec Biomedical Systems AG 3,200 46,891
Stuttgarter Hofbraeu AG 18,000 575,785
Sued-Chemie AG 29,146 1,032,237
* Suess Microtec AG 17,785 154,840
Syskoplan AG 3,300 $ 25,471
* Syzygy AG 18,000 102,827
Takkt AG 87,707 658,758
* Techem AG 29,076 673,450
Technotrans AG 6,450 94,624
* Telegate AG 20,500 267,486
* Teles AG Informationstechnologien 26,657 293,249
Textilgruppe Hof AG 12,170 75,813
* TFG Venture Capital AG & Co. KGAA 8,800 25,572
*# Tomorrow Focus AG 42,650 137,995
* TTL Information Technology AG 6,400 23,931
* TV Loonland AG 7,000 17,230
* Umweltkontor Renewable Energy AG 14,100 10,337
# United Internet AG 79,458 1,994,814
* USU Software AG 16,850 72,162
* Utimaco Safeware AG 12,200 49,274
* Value Management & Research AG 7,650 20,357
* VBH (Vereinigter Baubeschlag-Handel) AG 9,415 34,662
* Vereinigte Deutsche Nickel-Werke AG 12,150 16,333
VK Muehlen AG 1,312 119,365
* Vossloh AG 21,469 1,033,059
Wanderer-Werke AG 7,903 231,164
* WCM Beteiligungs AG 346,726 492,274
* Westag and Getalit AG, Rheda-Wiedenbrueck 7,000 65,580
Wuerttembergische Lebensversicherung AG 11,330 224,328
# Wuerttembergische Metallwarenfabrik AG 30,330 559,139
Wuerzburger Hofbraeu AG 133 62,429
Zapf Creation AG 7,500 159,339
---------------
TOTAL COMMON STOCKS
(Cost $59,146,816) 73,151,471
---------------
RIGHTS/WARRANTS -- (0.0%)
*# Em.TV AG Options 04/18/06 18,773 7,107
*# Em.TV AG Options 04/18/08 18,773 9,858
---------------
TOTAL RIGHTS/WARRANTS
(Cost $61,194) 16,965
---------------
TOTAL -- GERMANY
(Cost $59,208,010) 73,168,436
---------------
SWITZERLAND -- (8.7%)
COMMON STOCKS -- (8.6%)
* A. Hiestad Holding AG 190 96,482
* Accu Holding AG Registered Shares 60 8,610
* Actelion, Ltd. 4,400 483,436
* AFG Arbonia-Forster Holding AG 2,610 372,836
* Agie Charmilles Holding AG 3,000 209,827
Allreal Holding AG 4,357 363,568
Also Holding AG 268 70,653
* Amazys Holding AG 1,183 40,920
* Ascom Holding AG 22,120 230,306
Bachem AG 3,659 199,906
# Bank Coop AG 29,405 1,223,646
# Bank Sarasin & Cie Series B, Basel 304 432,059
* Banque Cantonale de Geneve 1,344 206,965
Banque Cantonale du Jura 450 86,060
</Table>
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Banque Cantonale Vaudoise 600 $ 66,009
Banque Privee Edmond de Rothschild SA, Geneve 120 1,358,296
Barry Callebaut AG 3,526 811,346
Basellandschaftliche Kantonalbank 600 402,554
Basler Kantonalbank 5,250 387,754
Batigroup Holding AG 2,902 30,066
Belimo Holdings 330 161,355
* Berna Biotech 18,727 136,630
# Berner Kantonalbank 4,815 571,926
BHB Beteiligungs und Finanzgesellschaft 150 5,251
# Bobst Group SA 18,200 581,498
Bossard Holding AG 6,350 310,772
Bucher Industries AG, Niederweningen 3,355 563,286
BVZ (Brig Visp Zermatt) Holding AG 370 71,018
# Caisse d'Epargne Cantonale Vaudoise, Lausanne 697 618,056
Calida Holding AG 396 102,553
* Carlo Gavazzi Holding AG 910 56,028
Charles Voegele Holding AG 3,960 265,820
# Cie Financiere Tradition 5,202 455,131
# Conzzeta Holdings AG 1,415 1,263,446
* Crossair AG, Basel 13,517 129,415
Daetwyler Holding AG, Atldorf 348 693,159
Edipresse SA, Lausanne 694 341,511
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG, Laufenberg 8,390 5,624,292
Eichhof Holding AG 188 134,464
Energie Electrique du Simplon SA 350 42,659
Energiedienst Holding AG 8,265 2,570,114
Escor Casino & Entertainment AG 744 20,082
* Feintol International Holding AG 254 50,675
* Fischer (Georg) AG, Schaffhausen 1,822 397,233
* Flughafen Zuerich AG 2,810 229,198
* Forbo Holding AG, Eglisau 1,100 285,022
Fuchs Petrolub AG Oel & Chemie Non-Voting 6,003 442,425
*# Galenica Holding, Ltd. AG, Bern 4,290 644,434
Geberit AG 870 560,197
* Generale d'Affichage, Geneve 337 188,654
* Generali (Switzerland) Holdings, Adliswil 1,670 249,943
* Golay-Buchel Holding SA, Lausanne 40 31,091
Gornergrat Monte Rasa-Bahnen Zermatt 70 46,386
*# Gurit-Heberlein AG 1,125 966,407
# Helvetia Patria Holding 4,331 761,823
* HPI Holding SA 6,000 9,307
Industrieholding Cham AG, Cham 864 175,122
* Interroll-Holding SA 320 37,499
# Jelmoli Holding AG 1,521 1,903,559
# Jelmoli Holding AG, Zuerich (Namen) 2,835 707,520
Kaba Holding AG 2,040 410,355
Kardex AG, Zuerich 1,039 144,497
Kardex AG, Zuerich (Participating) 610 84,889
* Komax Holding AG 1,411 103,766
* Kudelski SA 13,000 398,382
# Kuoni Reisen Holding AG 1,470 583,704
* Leica Geosystems Holdings AG 1,057 $ 175,713
* Lem Holdings AG, Lyss 270 43,119
# Luzerner Kantonalbank AG 5,000 798,886
* Maag Holding AG, Zuerich 922 121,872
* Micronas Semi 12,202 540,442
* Mikron Holding AG, Biel 2,652 29,921
* Mobilezone Holding AG 13,349 40,304
* Moevenpick-Holding, Zuerich 1,320 827,276
Nobel Biocare Holding AG 45,460 6,757,938
Orell Fussli Graphische Betriebe Ag, Zuerich 2,400 272,853
Oz Holding AG 4,400 294,089
* Parco Industriale e Immobiliare SA 600 1,674
* Phoenix Mecano AG, Stein am Rhein 2,749 784,724
Phonak Holding AG 29,137 871,081
# PSP Swiss Property AG 35,198 1,227,492
Publicitas Holding SA, Lausanne 1,535 477,783
# Rieters Holdings AG 2,626 665,981
Roche Holding AG Genusschein 800 84,257
SAIA-Burgess Electronics AG 274 133,279
Sarna Kunststoff Holding AG 1,760 167,896
* Saurer AG 7,843 396,643
* Schaffner Holding AG 300 46,784
* Schweiter Technology AG 649 114,009
Schweizerhall Holding AG, Basel 140 203,561
# Schweizerische National Versicherungs Gesellschaft 692 331,178
Scintilla AG 170 142,894
SIA Abrasives Holding AG 337 61,313
# Siegfried Holding AG 8,560 1,087,350
Sig Holding AG 3,300 564,522
* Sihl 150 359
*# Sika Finanz AG, Baar 1,185 595,706
# Sopracenerina 2,409 378,935
# St. Galler Kantonalbank 3,636 731,250
Sulzer AG, Winterthur 1,637 407,701
* Swiss Prime Site AG 2,212 468,678
*# Swisslog Holding AG 17,025 18,246
Tamedia AG 5,300 487,914
# Tecan Group AG 5,859 250,212
* Temenos Group AG 35,359 322,285
* UMS Schweizerische Metallwerke Holding AG, Bern 2,560 65,708
* Unaxis Holding AG 2,013 227,974
Unilabs SA 2,700 53,950
*# Valiant Holding AG 9,978 830,575
# Valora Holding AG 2,097 496,492
* Vaudoise Assurances Holding, Lausanne 45 73,476
Villars Holding SA, Fribourg 150 32,286
* Von Roll Holding AG 23,024 22,749
*# Von Roll Holding AG, Gerlafingen 23,024 23,567
Vontobel Holdings AG 44,250 942,552
Walliser Kantonalbank 150 37,882
* Wmh Walter Meier Holding Ag, Zuerich 1,000 48,177
Zehnder Holding AG 193 199,108
Zschokke Holding SA, Geneve 230 101,069
* Zueblin Holding AG 13,393 104,888
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
# Zuger Kantonalbank 590 $ 1,342,451
TOTAL COMMON STOCKS
(Cost $30,646,624) 56,740,877
---------------
PREFERRED STOCKS -- (0.1%)
Fuchs Petrolub AG Oel & Chemie
(Cost $266,229) 6,003 420,425
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs
(Cost $4,164) 4,255
---------------
RIGHTS/WARRANTS -- (0.0%)
* Accu Holding AG Rights 05/28/04
(Cost $7,757) 60 3,827
---------------
TOTAL -- SWITZERLAND
(Cost $30,924,774) 57,169,384
---------------
ITALY -- (7.4%)
COMMON STOCKS -- (7.4%)
* Acea SpA 163,000 1,158,164
* Acegas SpA 31,875 256,030
* Actelios SpA 25,801 203,256
* Aem Torino SpA 450,627 843,820
Aeroporto de Firenze SpA 6,000 72,397
*# Alitalia Linee Aeree Italiane SpA Series A 3,706,002 1,061,803
Amplifon SpA 18,242 635,794
* Auschem SpA (In Liquidation) 82,000 0
Azienda Mediterranea Gas e Acqua SpA 360,014 561,812
# Banca Ifis SpA 19,351 211,909
# Banca Intermobiliare di Investimenti e Gestoni SpA 132,998 888,983
Banca Monte Dei Paschi di Siena SpA 229,515 711,825
Banca Popolare Dell'etruria e Del Lazio Scrl 23,918 523,221
Banca Profilo SpA 114,243 245,428
Banco di Desio e della Brianza SpA 109,105 526,112
Banco Piccolo Valellinese Scarl SpA 56,071 554,870
* Bastogi SpA 1,183,000 189,622
* Beghelli SpA 142,000 95,703
Beni Stabili SpA, Roma 1,309,500 957,501
Biesse SpA 17,100 47,547
* Binda SpA 1,299,375 0
Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma 9,675 177,070
Bremba SpA 74,782 531,677
* Brioschi Finanziaria SpA, Milano 373,400 121,587
Buzzi Unicem SpA 94,100 1,237,422
# Caltagirone Editore SpA 132,868 1,011,295
# Caltagirone SpA 178,399 1,109,571
CAMFIN (Cam Finanziaria) 36,527 83,652
Carraro SpA 34,400 113,541
# Cementir Cementerie del Tirreno SpA 249,704 794,782
CIR SpA (Cie Industriale Riunite), Torino 591,100 1,202,346
* Cirio Finanziaria SpA 175,000 $ 37,184
Class Editore SpA 83,868 179,310
*# CMI SpA 64,502 284,066
* Coats Cucirini SpA 30,000 36,128
* Compagnia Immobiliare Azionaria 44,000 7,875
Credito Artigiano SpA 114,446 425,732
# Cremonini SpA 135,428 228,323
CSP International Industria Calze SpA 10,000 16,130
Danieli & C.Officine Meccaniche SpA 66,500 279,474
* Dataconsyst C.G.S. SpA, Monza 220 0
Davide Campari - Milano SpA 27,599 1,307,154
De Longhi SpA 139,386 490,745
* Del Favero SpA 86,000 0
* Ducati Motor Holding SpA 129,900 185,167
Emak SpA 27,000 117,329
Erg SpA 173,330 1,090,133
Ergo Previdenza SpA 95,165 509,800
Ericsson SpA 24,374 967,679
Esprinet SpA 3,700 108,626
* Finarte Casa d'Aste SpA (Milano) 56,266 70,771
* Finarte Partecipazioni Pro Arte SpA 242,693 47,745
*# Finmatica SpA 35,900 136,526
* FMC (Fabbrica Milanese Condutorri SpA) 25,000 0
* Fochi (Filippo) SpA 216,000 0
* Fornara Societa Finanziaria e di Partecipazioni SpA 310,000 0
Gabetti Holding SpA 55,000 124,597
Gefran SpA 11,000 53,834
*# Gemina SpA 331,283 308,019
* Gerolimich SpA (In Liquidation) 297,400 0
# Gewiss SpA 221,700 1,023,537
* Giovanni Crespi SpA 49,200 37,869
Grandi Navi Veloci SpA 53,833 123,601
# Granitifiandre SpA 33,237 273,769
* Grassetto SpA 279,125 0
* Gruppo Ceramiche Ricchetti SpA 164,000 60,054
I Grandi Viaggi SpA 28,100 26,907
*# Immobiliare Lombardia SpA 425,000 86,699
Immsi SpA 287,000 485,832
*# Impregilo SpA 592,300 316,509
# Industria Macchine Automatique SpA 33,671 448,636
Industria Romagnola Conduttori Elettrici SpA 17,500 54,730
Industrie Zignago S. Margherita SpA 52,000 818,457
Interpump Group SpA 75,402 384,788
ITALJOLLY (Cia Italiana dei Jolly Hotels SpA) 34,500 223,575
# Italmobiliare SpA, Milano 20,975 979,514
* Juventus Footbal Club SpA 98,000 186,043
La Doria SpA 22,000 59,415
* Lavorwash SpA 10,000 21,548
Linificio and Canapificio Nazionale SpA 22,000 52,202
Maffei SpA 52,500 96,050
* Mandelli SpA 41,000 0
# Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 1,579,981
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
* Marcolin SpA 35,100 $ 46,749
Mariella Burani Fashion Group SpA 26,077 241,831
Meliorbanca SpA 90,667 398,133
Merloni Elettrodomestici SpA 155,000 2,649,895
Milano Assicurazioni SpA 266,700 1,003,871
Mirato SpA 12,000 86,458
* Monrif SpA 150,000 138,752
* Montefibre SpA 143,130 38,881
# Navigazione Montanari SpA 110,917 243,930
* Necchi SpA 164,250 14,241
* Negri Bossi SpA 13,700 38,485
* NGP SpA 17,891 7,647
Olidata SpA 20,000 24,935
* Opengate Group SpA 4,000 9,330
* Pagnossin SpA 9,000 10,988
* Perlier SpA 100,700 24,309
Permasteelisa SpA 24,470 420,278
# Pininfarina SpA 31,285 849,351
# Pirelli & C.Real Estate SpA 9,600 341,944
Poligrafici Editoriale SpA 132,000 263,542
* Premafin Finanziaria SpA Holding di Partecipazioni, Roma 342,051 438,278
# Premuda SpA 50,800 104,310
* Ratti SpA 31,768 17,466
Recordati Industria Chimica e Farmaceutica SpA 58,644 1,142,315
*# Reno de Medici SpA, Milano 332,210 301,332
* Richard-Ginori 1735 SpA 128,000 92,847
Risanamento Napoli SpA 255,850 424,393
* Rodriquez SpA 41,250 0
* Roncadin SpA 81,400 45,192
Sabaf SpA 9,200 169,693
*# Saeco International Group SpA 154,000 678,509
SAES Getters SpA 14,750 226,549
SAI SpA (Sta Assicuratrice Industriale), Torino 32,500 723,027
* Schiapparelli 1824 SpA, Milano 166,200 29,735
* Sirti SpA 29,967 73,623
SISA (Societa Imballaggi Speciali Asti SpA) 65,000 165,261
* SMI STA Metallurgica Italiana SpA 565,280 149,711
# SNIA SpA 227,590 68,573
*# Societa Sportiva Lazio SpA 18,150 23,421
# Societe Cattolica di Assicurazoni Scarl SpA 27,170 1,055,574
Sogefi SpA 182,500 685,265
# Sol SpA 81,830 348,520
* SOPAF (Societa Partecipazioni Finanziarie SpA) 85,000 17,808
* Sorin SpA 341,385 875,453
Stefanel SpA 54,400 114,161
Targetti Sankey SpA 14,500 61,652
* Tecnodiffusione Italia SpA 3,332 8,138
Terme Demaniali di Acqui SpA 532,000 309,952
# Tod's Group SpA 30,476 1,037,865
* Trevi-Finanziaria Industriale SpA 52,400 64,011
* Tripcovich (D.) & Co. SpA Navigazione
Rimorchi e Salvataggi Trieste 113,898 0
* Unione Manifatture SpA (In Liquidation) 156,000 0
* Unipar (Unione Nazionale di Participazione SpA)
(In Liquidation) 539,000 $ 0
* Vemer Siber Group SpA 46,000 38,263
* Viaggi del Ventaglio SpA 23,000 34,226
Vianini Industria SpA 52,520 149,833
# Vianini Lavori SpA 180,752 1,103,423
Vittoria Assicurazioni SpA 51,500 330,906
Zucchi (Vincenzo) SpA 144,350 650,599
---------------
TOTAL COMMON STOCKS
(Cost $42,678,188) 49,094,237
---------------
RIGHTS/WARRANTS -- (0.0%)
* Societa Sportiva Lazio SpA Rights 06/14/04 18,150 432
* Tecnodiffusione Italia SpA Warrants 11/15/04 1,332 129
---------------
TOTAL RIGHTS/WARRANTS
(Cost $104,621) 561
---------------
TOTAL -- ITALY
(Cost $42,782,809) 49,094,798
---------------
SWEDEN -- (6.6%)
COMMON STOCKS -- (6.6%)
* Active Biotech AB 38,640 277,286
Addtech AB Series B 22,300 130,440
Alfa Laval AB 18,600 287,253
* Alfaskop AB 3,200 343
Angpannefoereningen AB Series B 10,800 184,255
*# Anoto Group AB 134,833 280,900
Axfood AB 73,400 1,843,548
*# Axis AB 76,994 139,444
* B & N Bylock & Nordsjoefrakt AB Series B 41,800 92,622
Beiger Electronics AB 11,700 104,613
Beijer AB Series B 11,700 146,129
Beijer Alma AB Series B 10,400 137,968
Bergman & Beving AB Series B 36,200 260,158
Biacore International AB 11,150 260,688
Bilia AB Series A 116,725 1,442,011
Billerud AB 58,700 913,801
* Boliden AB 197,400 720,189
* Bong Ljungdahl AB 9,000 42,251
* Boras Waefveri AB Series B 8,600 31,584
* Boss Media AB 63,200 161,346
*# Bostads AB Drott 21,350 383,743
* Capio AB 78,700 762,528
Capona AB 25,400 221,490
Carbo AB 37,100 917,167
Castellum AB 43,600 1,028,418
Cloetta AB Series B 22,250 523,083
Concordia Maritime AB Series B 37,300 92,902
* Connecta AB 250 211
* Consilium AB Series B 4,300 18,075
* Consilum AB Series B Issue 04 946 3,977
D. Carnegie & Co. AB 74,000 789,208
Digital Illusions AB Series A 7,800 79,831
* Doro Telefoni AB Series A 2,900 3,612
* Drott Series AB 89,700 1,254,548
* Duroc AB Series B 2,700 5,245
</Table>
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Elekta AB 28,600 $ 571,275
*# Enea Data AB Series B 440,000 180,497
Eniro AB 154,000 1,209,611
* Expanda AB 6,547 28,914
Fagerhult AB 14,100 154,596
* Fagerlid Industrier AB 8,600 0
* Finnveden AB 57,000 472,909
* Framfab AB Issue 04 276,000 22,683
*# Framtidsfabriken AB 690,000 56,707
* Frontec AB Series B 50,800 43,723
Getinge AB 176,604 2,059,565
Geveko AB Series B 8,300 165,513
* Glocalnet AB 187,500 71,787
Gorthon Lines AB Series B 41,800 99,732
Gunnebo AB 50,000 611,837
Haldex AB 39,000 612,583
Heba Fastighets AB Series B 13,500 162,317
Hexagon AB Series B 3,572 114,306
Hiq International AB 41,889 75,912
HL Display AB Series B 6,000 99,604
Hoganas AB Series B 38,200 946,042
* IBS AB Series B 83,200 146,490
* Icon Medialab International AB 145,300 85,642
* Industrial & Financial Systems AB Series B 59,300 89,184
* Industrifoervaltnings AB Skandigen 63,975 180,553
* Intentia International AB Series B 149,420 172,510
* Intrum Justitia AB 115,700 702,643
Karlshamns AB 23,800 263,272
Kinnevik Industrifoervaltnings AB Series B 44,400 1,376,789
* Klippans Finpappersbruk AB 5,800 16,047
Klovern AB 53,276 108,621
Kungsleden AB 17,600 491,277
Lagercrantz Group AB Series B 23,800 68,754
* LGP Allgon Holding AB 41,280 326,690
Lindex AB 16,100 451,133
Ljungberg Gruppen AB Series B 3,800 55,201
* Lundin Petroleum AB 322,400 1,845,813
* Mandator AB 20,520 2,654
Meda AB Series A 9,725 261,530
* Medivir Series B 7,100 98,165
* Medivir Series B Issue 04 3,550 49,082
* Micronic Laser Systems AB 42,600 317,865
* Modern Times Group AB Series B 48,700 875,329
Naerkes Elektriska AB Series B 4,250 51,352
# NCC AB Series B 118,100 997,840
Nefab AB Series B 5,100 106,921
* Net Insight AB Series B 199,000 54,293
New Wave Group AB Series B 10,400 274,411
# Nibe Industrier AB 22,800 395,686
Nolato AB Series B 42,840 304,908
Observer AB 137,856 500,142
OEM International AB Series B 7,100 90,798
* OMHEX AB 78,100 1,036,191
# Orc Software AB 16,500 164,087
* Ortivus AB 11,507 43,984
* Partnertech AB 9,800 67,075
PEAB AB Series B 105,200 633,049
* Pergo AB 43,300 94,870
Poolia AB Series B 18,150 65,796
* Prevas AB Series B 16,000 $ 34,602
*# Pricer AB Series B 431,500 61,237
* Proact It Group AB 15,000 44,602
*# Proffice AB 72,800 168,512
Profilgruppen AB 4,000 31,675
Protect Data AB 6,500 45,446
* PyroSequencing AB 51,940 67,222
Q-Med AB 34,000 933,835
* Readsoft AB Series B 17,800 25,618
Rottneros Bruk AB 366,600 475,106
Salus Ansvar AB Series B 12,900 28,919
Sardus AB 11,200 156,323
* Scribona AB Series A 40,100 78,078
* Scribona AB Series B 46,300 93,210
* Semcon AB 18,300 59,160
* Sigma AB Series B 25,800 18,228
Skistar AB 21,000 255,229
* Song Network Holding 43,845 276,663
SSAB Swedish Steel Series A 60,300 1,008,661
SSAB Swedish Steel Series B 17,100 276,772
Sweco AB Series B 23,450 314,971
*# Switchcore AB 154,820 76,009
* Teleca AB Series B 69,200 393,021
*# Telelogic AB 196,200 363,802
* Ticket Travel Group AB 15,152 24,006
Trelleborg AB Series B 75,400 1,366,593
TV 4 AB Series A 22,200 326,440
* VBG AB Series B 271 3,577
# Wallenstam Byggnads AB Series B 16,700 439,640
* Wedins Norden AB Series B 280,000 78,874
* Westergyllen AB Series B 4,300 41,564
Whilborg Fastigheter AB Class B 69,960 910,901
Wilh. Sonesson AB Series A 4,160 11,718
Wilh. Sonesson AB Series B 4,160 11,826
WM-Data AB Series B 437,600 976,559
Xponcard Group AB 2,800 48,951
---------------
TOTAL COMMON STOCKS
(Cost $31,736,191) 43,695,177
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $8,510) 8,738
---------------
TOTAL -- SWEDEN
(Cost $31,744,701) 43,703,915
---------------
GREECE -- (5.3%)
COMMON STOCKS -- (5.3%)
* A. Cambas Holding & Real Estate S.A. 36,750 116,030
Aegek S.A. 99,835 139,312
* Agrotiki Insurance S.A. 34,455 155,656
Aktor Technical Co. S.A. 163,650 898,111
Alco Hellas ABEE S.A. 38,730 81,503
* Alfa Alfa Energy S.A. 3,810 21,305
Alfa-Beta Vassilopoulos S.A. 15,172 311,738
* Alisida S.A. 2,160 6,894
* Allatini Industrial & Commercial Co. 15,370 25,710
* Alte Technological Co. S.A. 85,048 60,371
* Altec Information & Communication Systems S.A. 80,278 55,047
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Alumil Milonas S.A. 27,516 $ 118,973
* Aluminum of Attica S.A. 104,982 73,354
Anek Lines S.A. 60,821 86,861
Arcadia Metal Industry C. Rokas S.A. 22,389 134,047
* AS Co. S.A. 25,370 41,210
* Aspis Bank 45,604 160,199
* Aspis Pronia General Insurance S.A. 48,640 68,398
* Astir Palace Vouliagmenis S.A. 48,800 380,806
Athens Medical Center S.A. 104,974 170,855
Athens Water Supply & Sewage Co. S.A. 53,245 367,162
* Atlantic Super Market S.A. 13,640 23,016
Attica Enterprises S.A. Holdings 138,964 560,873
Attica Publications S.A. 16,674 96,877
Atti-Kat S.A. 88,984 65,304
Autohellas S.A. 22,490 186,833
Babis Vovos S.A. 50,982 1,020,513
* Balafas Construction Holdings S.A. 15,200 13,376
* Bank of Attica S.A. 115,721 565,769
Bank of Greece 7,296 771,155
Bank of Piraeus S.A. 163,829 1,908,614
Benrubi S.A. 11,121 179,607
* Betanet S.A. 11,220 58,409
* Bitros Holdings S.A. 19,302 66,236
* Byte Computers S.A. 17,230 47,922
Chipita S.A. 46,325 136,539
Commercial Bank of Greece 1,960 51,891
* Compucon Computer Applications S.A. 11,260 11,566
Computer Peripherals International S.A. 9,110 18,660
* Cyclon Hellas S.A. 18,131 22,835
* Daios Plastics S.A. 16,350 97,776
Delta Holdings S.A. 33,747 217,732
Dionic S.A. 12,948 13,942
* Domiki Krittis S.A. 17,730 38,731
Edrasi Psalllidas Technical Co. S.A. 31,108 37,221
Egnatia Bank S.A. 117,107 394,912
El. D. Mouzakis S.A. 31,653 47,200
Elais Oleaginous Production S.A. 16,707 334,188
* Elbisco Holding S.A. 56,000 349,985
Elektrak S.A. 14,040 36,780
Elektroniki of Athens S.A. 21,560 75,870
* Elgeka S.A. 18,590 118,004
Elmec Sport S.A. 64,256 188,624
* Elton S.A. 18,640 102,926
Ethniki General Insurance Co. S.A. 118,768 502,415
* Etma Rayon S.A. 11,242 10,839
* Euro Reliance General Insurance 14,830 33,432
* Eurodrip S.A. 11,620 72,059
* Euromedica S.A. 33,300 82,617
* Europaiki Techniki 32,750 9,247
Everest S.A. 30,730 96,016
Evrofarma S.A. 9,500 20,032
F.G. Europe SA Common Registered Shares 4,536 21,169
* Fanco S.A. 10,110 12,746
* Forthnet S.A. 17,510 124,455
Fourlis S.A. 64,420 $ 375,049
Frigoglass S.A. 49,990 224,403
* G.Polyhronos S.A. 10,580 19,288
* Galaxidi Fish S.A. 12,940 10,746
General Construction Co. S.A. 34,649 274,351
General Commercial & Industry 24,060 23,268
* General Hellenic Bank 35,139 307,113
Germanos S.A. 61,810 1,654,794
Gnomon Construction S.A. 39,937 16,575
Goody's S.A. 17,740 292,448
Halkor S.A. 121,226 230,977
Hatziioannou S.A. 44,200 131,466
Hellas Can Packaging Manufacturers S.A. 27,902 260,751
Hellenic Cables S.A. 26,908 32,807
Hellenic Duty Free Shops S.A. 80,020 1,469,699
Hellenic Fabrics S.A. 17,110 41,389
Hellenic Sugar Industry S.A. 35,750 185,506
Hellenic Technodomiki S.A. 136,556 681,167
Heracles General Cement Co. 93,293 902,740
Hermes Real Estate S.A. 23,136 91,698
* Hippotour S.A. 12,155 21,640
Hyatt Regency S.A. 130,260 1,438,243
* Iaso S.A. 49,300 317,671
* Iktinos Hellas S.A. 6,500 19,968
* Inform P. Lykos S.A. 20,610 78,584
* Informatics S.A. 18,890 20,572
* Intersat S.A. 19,392 8,288
Intertech S.A. 12,236 43,100
* Intracom Constructions S.A. 30,520 42,089
Intracom S.A. 172,366 867,145
* Ionian Hotel Enterprises 16,754 196,136
* J Boutaris & Son Holding S.A. 28,150 40,951
J&P-Avax S.A. 100,626 541,326
Kalpinis Simos Steel Service Center 12,432 42,844
Karelia Tobacco Co., Inc. S.A. 2,160 155,130
Kathimerini S.A. 21,240 151,902
Katselis Sons S.A. 18,000 54,283
* Kego S.A. 21,670 42,748
* Kekrops S.A. 2,244 41,224
* Keramia-Allatini S.A. Industrielle Commerciale & Technique 10,368 31,465
* Klonatex Group S.A. Bearer Shares 20,351 56,774
* Kordellou Brothers S.A. 12,300 19,096
* Kotsovolos S.A. 2,872 17,537
* Lambrakis Press S.A. 107,586 437,400
* Lampsa Hotel Co. 19,051 162,858
* Lan-Net S.A. 19,045 54,886
Lavipharm S.A. 39,294 64,751
* Lazarides Vineyards S.A. 18,326 58,991
Light Metals Industry 37,502 93,921
* Logic Dis S.A. 77,230 50,091
* Loulis Mills S.A. 15,382 51,603
* Mailis (M.J.) S.A. 101,594 345,789
* Maritime Company of Lesvos S.A. 30,753 20,336
* Maxim Knitwear Factory C.M. 16,360 11,436
* Medicon Hellas S.A. 2,600 21,452
Mesochoritis Bros. Construction Co. 23,700 14,261
Metka S.A. 59,820 332,002
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Michaniki S.A. 98,065 $ 247,154
Minerva Knitwear 5,140 16,983
* Minoan Lines S.A. 77,309 201,487
* MLS Multimedia S.A. 8,300 17,544
Mochlos S.A. 101,679 54,701
Motor Oil (Hellas) Corinth Refineries S.A. 152,870 1,479,494
Mytilineos Holdings S.A. 47,000 293,977
* N. Levederis S.A. 8,355 5,720
N.B.G. Real Estate Development Co. 134,960 548,750
* Naoussa Spinning Mills S.A. 21,832 55,362
* Naytemporiki S.A. 26,080 64,777
* Neorion-Syro's Shipyards S.A. 27,210 75,527
Nexans Hellas S.A. 3,003 10,805
Nikas S.A. 25,287 225,762
Notos Com.Holdings S.A. 94,554 420,611
* O. Daring Sain 7,760 2,850
Pantechniki S.A. 50,460 93,372
* Pegasus Publishing & Printing S.A. 58,590 129,553
* Persefs S.A. Health Care 23,592 76,801
Petros Petropoulos S.A. 7,360 51,031
* Petzetakis S.A. 22,560 67,417
* Pilias S.A. 103,584 32,899
* Pipeworks L. Girakian Profil S.A. 11,730 14,476
Piraeus Leasing 5,765 47,055
* Prodeftiki Technical Co. 32,257 18,546
* Promota Hellas S.A. 26,580 29,976
Rilken S.A. 1,982 20,130
* Sanyo Hellas S.A. 59,251 81,231
Sarantis S.A. 43,940 216,994
* Sato S.A. 28,850 26,473
Selected Textile Industry Assoc. S.A. 44,649 42,085
Sfakianakis S.A. 13,390 48,076
* Sheet Steel S.A. 25,850 12,644
* Shelman Hellenic-Swiss Wood S.A. 38,042 51,219
Silver and Baryte Ores Mining Co. S.A. 34,961 252,107
Singular S.A. 54,600 118,301
Spyroy Agricultural House S.A. 22,258 26,720
* Stabilton S.A. 27,530 2,689
Strintzis Shipping Lines S.A. 131,240 171,857
Technical Olympic S.A. 180,370 843,157
* Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 13,910 4,293
Teletypos S.A. Mega Channel 36,227 206,649
Terna Tourist Technical & Maritime S.A. 63,180 529,252
* Themeliodomi S.A. 37,422 69,958
Thrace Plastics Co. S.A. 45,500 59,532
Uncle Stathis S.A. 10,999 78,220
Unisystems S.A. 41,820 81,179
* Vardas S.A. 13,780 47,516
* Varvaressos S.A. European Spinning Mills 7,200 17,764
Veterin S.A. 18,984 71,440
Viohalco S.A. 296,585 1,878,209
Vioter S.A. 61,470 88,526
* Vis Container Manufacturing Co. 4,259 $ 14,478
Zampa S.A. 830 10,465
---------------
TOTAL COMMON STOCKS
(Cost $33,864,979) 34,866,977
---------------
PREFERRED STOCKS -- (0.0%)
Egnatia Bank S.A
(Cost $8,591) 3,196 9,368
---------------
TOTAL -- GREECE
(Cost $33,873,570) 34,876,345
---------------
NETHERLANDS -- (5.1%)
COMMON STOCKS -- (5.1%)
Aalberts Industries NV 25,910 731,834
Accell Group NV 5,260 176,853
* AFC Ajax NV 10,787 94,614
* Air France 27,280 443,063
Airspray NV 3,800 88,587
AM NV 71,761 630,286
Arcadis NV 14,000 196,024
*# ASM International NV 40,484 871,477
* Atag Group NV 4,630 1,640
Athlon Groep NV 34,250 710,516
Batenburg Beheer NV 3,000 117,303
* Begemann Groep NV 11,909 45,149
* Begemann Groep NV Series B 13,451 10,182
Beter Bed Holding NV 4,900 62,759
Boskalis Westminster NV 51,300 1,254,008
Brunel International NV 12,000 95,708
Buhrmann NV 110,719 1,055,010
Copaco NV 7,000 29,119
* Crucell NV 26,050 200,117
# Draka Holding NV 14,287 232,175
* Econosto NV 17,305 30,761
Eriks Group NV 9,032 365,853
Exact Holding NV 19,764 488,548
# Fornix Biosciences NV 2,611 38,923
* Fox Kids Europe NV 66,840 665,786
Gamma Holding NV 15,705 685,311
Gemeenschappeljk Bezit Crown van Gelder NV 12,000 205,713
*# Getronics NV 331,423 916,464
Grolsche NV 32,100 975,983
Grontmij NV 2,053 75,902
*# Hagemeyer NV 339,750 727,438
Heijmans NV 18,173 409,819
ICT Automatisering NV 5,800 75,371
# Imtech NV 28,645 738,596
* Ispat International NV 84,322 1,072,104
Kas Bank NV 42,888 780,773
* Kendrion NV 21,454 59,046
Koninklijke Bam NV 25,037 742,236
Koninklijke Frans Maas Groep NV 12,349 410,257
Koninklijke Nedlloyd NV 33,528 1,022,476
Koninklijke Ten Cate NV 11,531 604,503
Koninklijke Vendex KBB NV 76,204 1,417,510
Koninklijke Vopak NV 48,540 799,037
* Laurus NV 464,928 618,864
MacIntosh NV 15,590 398,907
* Maverix Capital NV 1,500 69,606
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Nederlandsche Apparatenfabriek 14,000 $ 401,251
New Skies Satellites NV 94,650 766,195
* NH Hoteles 21,703 243,941
Nutreco Holding NV 27,519 845,962
NV Holdingsmij de Telegraaf 42,524 941,612
Oce NV 60,200 895,927
Opg Groep NV Series A 10,100 492,522
*# Petroplus International NV 22,363 211,275
Pinkroccade NV 16,700 207,049
* Pinkroccade NV Coupons 16,700 0
Randstad Holdings NV 42,700 1,121,731
Reesink NV 2,050 131,469
Roto Smeets de Boer NV 2,640 106,154
Rubber Cultuur Maatschappij Amsterdam NV 40,800 145,333
* Samas-Groep NV, Zaandam 24,184 158,170
* Scala Business Solutions NV 12,100 50,379
* Semiconductor Industries NV 21,900 143,075
Sligro Food Group Beheer 15,046 446,278
Smit Internationale NV 20,578 696,089
* SNT Groep NV 9,400 151,639
Stern Groep NV 1,236 45,258
Stork NV 26,745 528,580
* Textielgroep Twenthe NV 1,000 3,053
* Tulip Computers NV 53,860 15,179
Twentsche Kabel Holding NV 18,244 499,770
United Services Group NV 18,374 255,786
Univar NV 7,050 118,154
*# Van Der Mollen Holding NV 57,660 439,208
Vedior NV 74,880 1,116,481
* Versatel Telecom International NV 376,079 750,005
* Wegener Arcade NV 70,830 692,254
---------------
TOTAL COMMON STOCKS
(Cost $21,699,486) 34,061,990
---------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 24,800 31,193
* AM NV Coupons 06/04/04 71,761 0
* Eriks Group NV Coupons 06/02/04 9,032 0
* Koninklijke Vopak NV Coupons 06/04/04 48,540 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $19,048) 31,193
---------------
TOTAL -- NETHERLANDS
(Cost $21,718,534) 34,093,183
---------------
SPAIN -- (4.7%)
COMMON STOCKS -- (4.7%)
# Abengoa SA 66,042 539,091
Adolfo Dominguez SA 3,700 65,505
Aldeasa SA 15,329 429,375
*# Amper SA 56,800 285,285
* Avanzit SA 17,275 49,574
*# Azkoyen SA 52,500 362,360
Banco de Andalucia 9,800 866,187
Banco de Credito Balear SA 35,424 862,114
# Banco de Valencia SA 188,053 3,921,612
Banco Guipuzcoano SA 21,194 585,532
# Banco Pastor SA 34,300 1,017,728
*# Baron de Ley SA 5,642 232,169
CAF (Construcciones y Auxiliar de Ferrocarriles SA) 7,500 $ 531,517
Campofrio Alimentacion SA 92,800 1,335,597
Cementos Portland SA 16,881 1,012,633
Compania de Distribucion Integral Logista SA 29,600 949,994
Cortefiel SA 57,093 578,363
* Dogi International Fabrics SA 4,000 23,753
* Duro Felguera SA 10,860 76,739
Elecnor SA 18,300 756,452
* Ercros SA 100,518 40,505
* Espanola del Zinc SA 29,250 65,033
* Estacionamientos Urbanos SA 4,200 0
# Europistas Concesionaria Espanola SA 174,940 1,092,612
# Faes Farma SA 32,498 482,884
* Faes Farma SA Issue 04 3,610 53,641
Funespana SA 4,500 35,644
Grupo Empresarial Ence SA 18,593 491,228
* Grupo Picking Pack SA 145,775 72,979
Hullas del Coto Cortes 8,666 109,000
Iberpapel Gestion SA 6,700 129,089
Inbesos SA 8,050 44,064
Indo Internacional SA 33,600 296,121
Indra Sistemas SA 75,200 961,588
Inmobiliaria Colonial SA ICSA 35,200 853,405
Inmobiliaria del Sur SA 331 49,919
Inmobiliaria del Sur SA Issue 2003 47 6,278
Inmobiliaria Urbis SA 80,282 888,193
Lingotes Especiales SA 22,080 127,800
* LSB (La Seda de Barcelona SA) Series B 25,200 61,252
* Mecalux SA 9,500 64,934
# Metrovacesa SA 14,895 570,753
Miquel y Costas y Miquel SA 4,891 242,401
Natra SA 14,979 69,658
* Nicolas Correa SA 15,750 56,303
Obrascon Huarte Lain SA 65,366 514,114
Pescanova SA 26,443 490,261
Prosegur Cia de Seguridad SA 45,049 704,950
# Recoletos Grupo de Comunicacion SA 95,420 688,621
* Sogecable SA 34,600 1,432,153
# Sol Melia SA 112,700 970,621
# SOS Cuetara SA 20,902 590,517
Tavex Algodonera SA 31,944 123,249
* Tecnocom Telecomunicaciones y Energia SA 6,300 54,851
*# Tele Pizza SA 163,225 296,931
# Transportes Azkar, SA 35,477 250,505
Tubacex SA 73,130 142,948
Tubos Reunidos SA 12,466 98,848
Unipapel SA 41,935 795,699
*# Uralita SA 112,831 1,176,721
Vidrala SA, Alava 47,040 635,884
Viscofan Industria Navarra de Envolturas Celulosicas SA 97,492 904,236
---------------
TOTAL COMMON STOCKS
(Cost $16,578,339) 31,217,973
---------------
</Table>
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
* Faes Farma SA Rights 06/08/04
(Cost $0) 8 $ 13
---------------
TOTAL -- SPAIN
(Cost $16,578,339) 31,217,986
---------------
FINLAND -- (4.6%)
COMMON STOCKS -- (4.6%)
Alandsbanken AB Series B 4,890 104,976
* Aldata Solutions Oyj 64,735 126,228
Alma Media Oyj 34,388 295,730
* Amanda Capital Oyj 180,700 37,558
Amer-Yhtymae Oyj Series A 25,370 1,302,258
Aspo P.L.C. 8,200 126,092
# Aspocomp Group P.L.C. 12,738 185,355
Basware Oyj 7,050 62,039
* Benefon Oy 1,900 488
* Biotie Therapies Oyj 39,754 54,404
Capman Oyj Series B 12,485 25,090
Chips Corp. Series B 17,750 391,799
# Comptel Oyj 149,541 332,860
Efore Oy 12,920 110,435
Elcoteq Network Corp. 21,260 350,467
Elektrobit Group Oyj 663,597 364,863
* Elisa Communications Corp. 74,525 929,039
* Eq Online Oyj 23,900 61,303
* Evox Rifa Group Oyj 51,210 6,877
Finnair Oyj 118,150 757,041
Finnlines Oyj 30,280 836,008
Fiskars Oy AB Series A 41,270 503,052
*# F-Secure Oyj 140,928 233,997
HK Ruokatalo Oy Series A 19,620 154,152
Honkarakenne Oy Series B 3,030 24,896
Huhtamaki Van Leer Oyj 125,650 1,648,682
Ilkka-Yhtyma Oyj 7,560 61,405
* Incap Oyj 11,000 29,727
J.W. Suominen Yhtyma Oy 17,955 115,905
Jaakko Poyry Group Oyj 14,610 374,274
KCI Konecranes International Oyj 13,800 476,790
Kemira Oyj 118,400 1,495,483
Kesko Oyj 32,060 631,189
Laennen Tehtaat Oy 5,870 92,011
Lassila & Tikanoja Oyj 16,990 531,093
# Lemminkainen Oy 16,600 286,210
Leo Longlife Oy 2,920 26,558
Martela Oy 530 7,552
Metsaemarkka Oyj Series B 700 5,711
New Kyro Corp. Oyj 45,670 416,917
Nokian Renkaat Oyj 12,180 1,125,512
Nordic Aluminium Oy 1,900 20,443
* Okmetic Oyj 16,204 51,125
Okobank Class A 101,080 1,005,169
Olvi Oyj Series A 3,320 51,596
Orion-Yhtyma Oyj Series A 20,590 520,112
Orion-Yhtyma Oyj Series B 30,460 774,447
Outokumpu Oyj Series A 21,100 319,672
# Oy Stockmann AB Series B 30,200 692,771
Perlos P.L.C. Warrants 04/04/04 72,311 706,734
PK Cables Oyj 5,530 157,375
* Pmj Automec Oyj 23,910 14,303
Pohjola Group P.L.C. Series D 146,205 1,424,311
Ponsse Oyj 6,300 $ 156,071
* Proha Oyj 51,232 30,597
Raisio Group P.L.C. Series V 118,423 246,827
Rakentajain Koneuvokrammo Oy 10,260 75,108
Ramirent Oyj 12,270 235,240
Rapala VMC Oyj 36,040 263,692
Rautaruukki Oyj Series K 188,780 1,405,418
Raute Oy Series A 2,390 20,892
Rocla Oy 1,300 10,604
*# Saunalahti Group Oyj 124,754 172,294
Scanfil Oyj 63,879 406,243
Sponda Oyj 109,111 877,237
Stockmann Oyj AB 35,240 794,290
* Stonesoft Corp. 49,279 36,161
Sysopen P.L.C. 7,720 31,554
Talentum Oyj 18,300 135,798
* Tecnomen Holding Oyj 49,370 69,479
# Teleste Corp. Oyi 14,699 100,496
Tulikivi Oyj 5,710 47,043
Turkistuottajat Oy 2,590 23,379
Uponor Oyj Series A 44,400 1,411,984
Vacon Oyj 14,537 195,157
Vaisala Oy Series A 19,050 418,738
Viking Line AB 10,360 256,781
Wartsila Corp. Oyj Series B 66,460 1,357,264
Yit-Yhtymae Oyj 67,708 1,346,318
Yomi Oyj 15,450 104,659
---------------
TOTAL -- FINLAND
(Cost $21,901,896) 30,669,408
---------------
DENMARK -- (4.1%)
COMMON STOCKS -- (4.1%)
Aarhus Oliefabrik A.S. Aeries A 4,950 261,794
* Alm. Brand A.S. 28,360 698,351
# Amagerbanken A.S. 2,734 278,442
Ambu International A.S. Series B 1,500 23,420
Amtssparekassen Fyn A.S. 2,243 264,732
AS Dampskibsselsk Torm 49,460 1,146,129
Bang & Olufsen Holding A.S. Series B 13,387 778,490
* Bavarian Nordic A.S. 4,930 328,102
* Brodrene Hartmann A.S. Series B 5,865 100,121
Bryggerigruppen A.S. 8,515 559,580
# Christian Hansen Holding A.S. Series B 10,855 659,833
# Codan A.S. 43,400 1,818,907
Dalhoff, Larsen & Hornemann A.S. Series B 1,370 65,510
Danware A.S. 4,185 69,952
DFDS A.S., Copenhagen 11,760 448,812
DiskontoBanken A.S. 713 118,693
DSV, De Sammensluttede Vognmaend A.S. 22,630 1,042,126
East Asiatic Co., Ltd. 22,723 1,009,259
Edb Gruppen A.S. 3,230 80,070
* Fimiston Resources & Technology Ltd. 400 3,675
* FLS Industries 73,180 991,184
Fluegger A.S. Series B 2,913 168,510
Foras Holding A.S. Series A 13,292 145,304
# Forstaedernes Bank 4,322 252,637
* Genmab A.S. 28,629 470,533
</Table>
99
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Glunz & Jensen A.S. 1,470 $ 9,435
GN Great Nordic A.S. 210,980 1,584,031
H&H International A.S. Series B 1,140 278,164
*# Harboes Bryggeri A.S. 575 135,909
Hedegaard (Peder P.) A.S. 660 42,388
Hojgaard Holding A.S. Series B 2,500 69,871
* IC Co. A.S. 3,510 21,322
* Incentive A.S. 3,575 10,859
* Junckers (F.) Industrier A.S. 860 1
* Jyske Bank A.S. 37,760 1,990,859
Kjobenhavns Sommer Tivoli A.S. 580 185,396
Koebenhavns Lufthavne 9,910 1,405,633
Kompan A.S. 230 34,618
Lan & Spar Bank A.S. 2,250 102,164
Lollands Bank 150 23,619
*# Neurosearch A.S. 9,160 290,933
NKT Holding A.S. 30,245 591,781
Nordjyske Bank A.S. 920 149,592
* NTR Holdings A.S. 1,130 7,636
Oestjydsk Bank 400 44,678
Ove Arkil Series B 270 27,395
Per Aarsleff A.S. Series B 1,545 57,621
* Pharmexa A.S. 3,235 9,887
* Pharmexa A.S. Issue 04 9,705 29,637
Ringkjobing Bank 1,670 101,376
Ringkjobing Landbobank 1,620 458,456
Rockwool, Ltd. 24,520 1,006,885
*# RTX Telecom A.S. 8,400 60,644
Salling Bank 250 22,156
Sanistal A.S. Series B 1,786 94,758
*# SAS Danmark A.S. 34,300 304,839
Satair A.S. 1,350 27,306
Schouw & Co. A.S. 15,485 333,494
Simcorp A.S. 5,240 207,857
Sjaelso Gruppen A.S. 2,388 172,549
Skjern Bank A.S. 725 49,117
* Sondagsavisen A.S. 21,165 75,193
Spar Nord Holding 6,823 598,270
Sparbank Vest A.S. 6,600 243,985
Sparekassen Faaborg A.S. 481 111,974
Sydbank A.S. 8,172 1,169,618
Thrane & Thrane A.S. 5,258 187,000
*# TK Development 12,478 26,845
* Topdanmark A.S. 28,300 1,711,231
* Treka A.S. 8,498 106,231
*# Vestas Wind Systems A.S. 27,377 364,922
* Vestas Wind Systems A.S. Issue 04 9,125 118,356
Vestfyns Bank 200 20,254
Vestjysk Bank A.S. 10,800 280,047
VT Holdings Shares B 3,130 138,945
* Wessel & Vett Magasin du Nord A.S. Series C 2,102 39,566
---------------
TOTAL COMMON STOCKS
(Cost $17,507,964) 26,919,469
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone
(Cost $74,250) 74,909
---------------
RIGHTS/WARRANTS -- (0.0%)
* Vestas Wind Systems A.S
Rights 06/03/04
(Cost $0) 2 $ 3
---------------
TOTAL -- DENMARK
(Cost $17,582,214) 26,994,381
---------------
NORWAY -- (3.7%)
COMMON STOCKS -- (3.7%)
* Aker Kvaerner ASA 73,730 1,177,219
Aktiv Kapital ASA 57,017 810,181
Arendals Fosse Kompani ASA 100 7,562
* Blom ASA 18,367 11,333
Bonheur ASA 16,850 432,715
* Choice Hotel Scandinavia ASA 27,740 74,400
* Corrocean ASA 19,321 7,353
Det Norske Oljeselskap ASA Series A 85,320 335,757
*# DOF ASA 97,006 230,816
* EDB Elektronisk Data Behandling ASA 149,417 902,984
Ekornes ASA 56,490 1,093,360
*# Eltek ASA 40,842 356,981
Expert ASA 48,758 318,254
Farstad Shipping ASA 60,790 521,174
*# Fjord Seafood ASA 783,483 351,473
*# Fred Olsen Energy ASA 91,600 595,414
Ganger Rolf ASA 6,690 158,303
Gresvig ASA 4,590 23,953
Hafslund ASA 58,700 305,825
* Home Invest ASA 15,077 11,233
* Industrifinans Naeringseiendom ASA 7,582 17,069
Kongsberg Gruppen ASA 49,500 641,109
Kverneland ASA 16,160 211,710
* Merkantildata ASA 320,521 240,821
Natural ASA 10,143 57,286
# Nera ASA 187,753 498,203
* Nordic Semiconductor ASA 25,000 93,778
* Northern Offshore, Ltd. 214,000 101,115
*# Ocean Rig ASA 105,531 283,380
Odfjell ASA Series A 24,910 779,714
Olav Thon Eiendomsselskap ASA 8,320 370,922
* P4 Radio Hele Norge ASA 32,200 44,142
* Photocure ASA 26,690 208,467
Prosafe ASA 55,980 1,226,476
Rieber and Son ASA Series A 63,654 526,927
Schibsted ASA 112,960 1,984,868
* Sinvest ASA 6,220 9,920
Smedvig ASA Series A 83,580 785,335
* Software Innovation ASA 13,423 59,416
Solstad Offshore ASA 54,100 403,803
Steen and Stroem ASA 19,512 362,974
Storebrand ASA 183,330 1,231,400
Tandberg ASA Series A 217,280 2,188,218
*# Tandberg Data ASA 58,950 128,375
* Tandberg Storage ASA 48,450 17,398
* Tandberg Television ASA 90,430 570,546
* Telecomputing ASA 44,963 75,209
*# Tgs-Nopec Geophysical Co. ASA 40,910 547,907
Tomra Systems ASA 294,480 1,185,566
* Tybring-Gjed ASA 145,145 60,495
</Table>
100
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Unit 4 Agresso NV 4,620 $ 47,499
Veidekke ASA 21,846 206,725
Visma ASA 47,393 494,421
Wilhelmshaven (Wilhelm), Ltd. ASA 30,400 844,901
---------------
TOTAL COMMON STOCKS
(Cost $19,143,084) 24,232,385
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone
(Cost $50,721) 50,620
---------------
TOTAL -- NORWAY
(Cost $19,193,805) 24,283,005
---------------
BELGIUM -- (3.5%)
COMMON STOCKS -- (3.5%)
* Abfin SA 2,560 0
# Ackermans & Van Haaren SA 32,186 768,565
* Arinso International NV 14,739 225,313
# Banque Nationale de Belgique 710 2,425,215
# Barco (New) NV 12,051 1,052,946
# Bekaert SA 23,290 1,345,848
BMT NV 2,040 268,903
Brantano NV 2,060 78,316
Brederode SA 12,180 247,184
Carrieres Unies Porphyre 20 32,363
# CFE (Compagnie Francois d'Entreprises) 2,080 520,647
# Cie Martime Belge SA 8,237 774,390
Cofinimmo SA 9,778 1,253,737
Commerciale de Brasserie SA COBRHA 115 118,559
# Deceuninck SA 63,700 2,060,616
# D'Ieteren SA 5,831 1,160,750
Distrigaz 57 109,360
* Docpharma SA NV 4,489 168,724
* Duvel Moorgat NV 5,019 146,297
EVS Broadcast Equipment SA 1,100 57,129
# Exmar NV 3,080 169,072
Floridienne NV 2,033 114,632
Glaces de Moustier-sur-Sambre SA 13,370 456,648
# Immobel (Cie Immobiliere de Belgique SA) 4,600 186,388
* Integrated Production & Test Engineering NV 4,380 25,132
*# Ion Beam Application SA 23,058 166,322
* Ipso-Ilg SA 5,990 47,597
Keytrade Bank SA 2,800 74,088
* Kinepolis Group NV 5,020 136,087
Lotus Bakeries NV 650 60,096
# Melexis NV 47,001 516,941
Metiers Automatiques Picanol 16,120 364,776
* Neuhaus NV 670 25,064
Nord-Sumatra Investissements SA 650 166,177
# Omega Pharma SA 26,708 1,291,876
Papeteries de Catala SA 315 36,581
Quick Restaurants SA 19,501 262,408
*# Real Software SA 10,280 6,292
Recticel SA 22,870 192,465
Resilux NV 1,754 143,326
Rosier SA 655 85,642
# Roularta Media Groep 9,837 $ 542,305
* Sait Radioholland 7,313 45,326
Sapec SA 3,635 270,918
* Sapec SA VVPR 75 124
Sioen Industries 21,502 239,937
* SIPEF (Societe Internationale de Plantations
& de Finance), Anvers 1,545 217,610
Societe Belge Des Betons SA 8,500 491,716
*# Solvus SA 38,344 568,173
* Solvus SA Interim Strip VVPR 18,176 222
Spector Photo Group SA 5,408 63,439
* Systemat SA 6,330 35,507
*# Telindus Group SA 39,392 380,048
Ter Beke NV 2,281 156,772
# Tessenderlo Chemie 28,984 1,014,591
*# Umicore-Strip VVPR 456 83
UNIBRA 1,600 143,561
Union Miniere SA 9,586 581,947
Van de Velde NV 2,683 314,928
VPK Packaging Group SA 7,185 224,333
Warehouses de Pauw Sicafi 6,608 250,094
---------------
TOTAL COMMON STOCKS
(Cost $16,261,563) 22,884,106
---------------
RIGHTS/WARRANTS -- (0.0%)
* Cofinimmo SA Rights 06/11/04
(Cost $0) 9,778 0
---------------
TOTAL -- BELGIUM
(Cost $16,261,563) 22,884,106
---------------
AUSTRIA -- (2.6%)
COMMON STOCKS -- (2.6%)
Andritz AG 13,609 629,977
* Austria Email AG 715 2,626
* Austrian Airlines/Oesterreichische
Luftverkehrs-Aktiengesellschaft 42,784 578,212
Bank Fuer Kaernten und Steiermark AG 520 60,373
* Betandwin.com Interactive Entertainment AG 12,749 401,870
Bohler Uddeholm AG 11,195 853,701
BWT AG 21,819 533,887
* Ca Immobilien Invest AG 28,791 686,371
Constantia-Iso Holding AG 15,000 165,504
Constantia-Verpackungen AG 19,123 455,606
Flughafen Wien AG 25,698 1,430,185
* Immofinanz Immobilien Anlagen AG 165,130 1,305,119
* Lenzing AG 3,948 819,262
Manner (Josef) & Co. AG 870 39,309
Mayr-Melnhof Karton AG 11,760 1,411,719
Oberbank AG 5,384 494,560
Palfinger AG 10,383 352,584
* Readymix Kies-Union AG 500 55,632
* RHI AG, Wien 19,649 408,075
Rosenbauer International AG 1,530 92,610
* Sparkassen Immobilien 29,760 283,539
Ubm Realitaetenentwicklung AG 360 42,216
Uniqa Versicherungen AG 128,555 1,573,600
* VA Technologie AG 17,392 928,120
</Table>
101
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Voestalpine AG 30,095 $ 1,342,886
Wienerberger AG 63,642 2,156,762
*# Wolford AG 4,900 136,346
---------------
TOTAL COMMON STOCKS
(Cost $12,179,339) 17,240,651
---------------
RIGHTS/WARRANTS -- (0.0%)
* Jenbacher AG Rights 03/31/08 7,860 0
* Wienerberger AG Rights 06/02/04 63,642 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
---------------
TOTAL -- AUSTRIA
(Cost $12,179,339) 17,240,651
---------------
IRELAND -- (2.6%)
COMMON STOCKS -- (2.6%)
Abbey P.L.C. 25,557 243,724
* Arcon International Resources P.L.C. 143,750 6,070
* Ardagh P.L.C. 14,262 20,899
DCC P.L.C. 91,965 1,496,544
* Dragon Oil P.L.C. 104,167 85,671
* Elan Corp. P.L.C. 154,046 3,637,877
Fyffes P.L.C. 380,502 744,692
Glanbia P.L.C. 321,765 873,552
* Grafton Group P.L.C. 253,939 1,826,994
Greencore Group P.L.C. 218,422 826,444
Heiton Holdings P.L.C. 51,677 303,186
IAWS Group P.L.C. 105,879 1,191,636
IFG Group P.L.C. 37,599 48,251
Independent News & Media P.L.C. 618,550 1,463,247
* Iona Technologies P.L.C. 21,281 110,028
* Irish Intercontental Group P.L.C. 18,872 247,600
IWP International P.L.C. 39,611 14,995
Jurys Hotel Group P.L.C. 69,061 839,965
Kingspan Group P.L.C. 183,188 1,084,945
McInerney Holdings P.L.C. 33,991 199,328
Paddy Power P.L.C. 49,663 576,587
Readymix P.L.C. 109,762 209,581
* Ryan Hotels P.L.C. 68,061 108,209
United Drug P.L.C. 190,860 626,973
Waterford Wedgwood P.L.C. 1,026,650 245,963
---------------
TOTAL -- IRELAND
(Cost $9,414,821) 17,032,961
---------------
PORTUGAL -- (1.4%)
COMMON STOCKS -- (1.4%)
* Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 194,100 300,900
Efacec Capital SGPS SA 60,600 154,748
Ibersol SGPS SA 14,462 79,203
* Impresa Sociedade Gestora de Participacoes Socias SA 190,166 884,290
* Investimentos Participacoes e Gestao SA Inapa 43,702 166,889
* Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho
Administracao e Participacoes Financeiros SA) 130,000 1,534,348
Mota-Engil SGPS SA 250,900 528,610
* Novabase SGPS 56,005 409,732
Portucel-Empresa Produtora de Pasta de Papel SA 466,977 $ 786,636
Sag Gest - Solucoes Automovel Globais SGPS SA 235,500 376,183
Salvador Caetano - Industrias Metalurgicas e Veiculos de
Transporte SA 54,900 245,318
* Sociedad Construcoes Soares da Costa SA 19,200 68,200
Sociedade de Investimento e Gestao SGPS SA 160,396 733,084
Sonae SGPS SA 1,079,900 1,121,565
* Sonaecom SGPS SA 321,175 1,180,914
Teixeira Duarte Engenharia e Construcoes SA 609,000 891,595
---------------
TOTAL -- PORTUGAL
(Cost $6,340,397) 9,462,215
---------------
EMU -- (0.1%)
INVESTMENT IN CURRENCY -- (0.1%)
* Euro Currency
(Cost $413,489) 413,235
---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* InFocus Corp. 10,455 84,267
---------------
UNITED KINGDOM -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling
(Cost $7,676) 8,904
---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (16.5%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.89%,
06/01/04 (Collateralized by $2,355,000 FHLB Notes
3.375%, 06/15/04, valued at $2,393,269) to be
repurchased at $2,357,000
(Cost $2,357,000) $ 2,357 2,357,000
Repurchase Agreement, Mizuho Securities USA 1.00%,
06/01/04 (Collateralized by $112,867,000 U.S.
Treasury Obligations rates ranging from 2.625% to 4.25%,
maturities ranging from 08/15/08 to 08/15/13 valued at
$109,888,930 to be repurchased at $107,746,214
(Cost $107,734,244)^ 107,734 107,734,244
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $498,965,942)++ $ 661,841,192
===============
</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 $498,965,972.
See accompanying Notes to Financial Statements.
102
<Page>
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
TAIWAN -- (9.8%)
COMMON STOCKS -- (9.1%)
Accton Technology Corp. 99,296 $ 63,940
Acer, Inc. 559,767 822,843
* Advanced Semiconductor Engineering, Inc. 1,040,500 771,006
Advantech Co., Ltd. 91,706 187,068
Amtran Technology Co., Ltd. 66,080 56,720
* Arima Computer Corp. 178,800 61,738
Asia Cement Corp. 550,000 305,020
Askey Computer Co., Ltd. 60,200 38,760
Asustek Computer, Inc. 654,875 1,600,777
Au Optronics Corp. 1,308,487 2,589,328
Benq Corp. 563,600 800,659
Catcher Co., Ltd. 38,000 147,082
Cathay Financial Holdings Co., Ltd. 1,215,529 2,168,783
* Cathay Real Estate Development Co., Ltd. 447,213 256,570
* Chang Hwa Commercial Bank 985,796 562,068
Cheng Shin Rubber Industry Co., Ltd. 257,698 329,662
Cheng Uei Precision Industry Co., Ltd. 39,215 74,618
* Chi Mei Optoelectronic Corp. 967,000 2,090,645
Chicony Electronics Co., Ltd. 80,240 150,010
* China Airlines 711,579 393,108
* China Development Financial Holdong Co., Inc. 3,221,000 1,728,581
China Motor Co., Ltd. 362,628 514,515
China Steel Corp. 2,747,916 2,495,074
* Chinatrust Financial Holdings Co., Ltd. 350,024 388,171
* Chungwa Picture Tubes Co., Ltd. 1,856,298 1,096,034
* CMC Magnetics Corp. 876,400 590,303
Compal Electronics 919,810 1,129,982
* Compeq Manufacturing Co., Ltd. 131,300 53,203
* Cosmos Bank Taiwan 478,000 226,896
CTB Financial Holding Co., Ltd. 3,104,535 2,076,588
Delta Electronics Industrial Co., Ltd. 370,027 509,851
D-Link Corp. 138,100 178,375
* E.Sun Financial Holding Co., Ltd. 676,000 443,550
Elitegroup Computer Systems Co., Ltd. 100,750 64,779
Eternal Chemical Co., Ltd. 93,000 49,751
Eva Airways Corp. 687,762 322,081
Evergreen Marine Corp., Ltd. 578,682 468,867
Far East Textile, Ltd. 896,980 501,385
Far Eastern International Bank 409,000 207,409
* First Financial Holding Co., Ltd. 1,333,000 1,004,925
Formosa Chemicals & Fiber Co., Ltd. 1,313,491 1,885,361
Formosa Plastics Corp. 1,397,123 2,002,693
Formosa Taffeta Co., Ltd. 428,203 181,273
Fu Sheng Industria 145,863 284,237
Fubon Financi 2,418,052 2,406,652
Fuh-Hwa Financial Holding Co., Ltd. 780,799 340,233
Giga-Byte Technology Co., Ltd. 159,200 251,123
* High Tech Computer Corp. 58,000 250,724
Hon Hai Precision Industry Co., Ltd. 569,832 2,336,582
Hotai Motor Co., Ltd. 147,000 $ 201,110
* Hsinchu International Bank 348,000 196,132
* Hua Nan Financial Holding Co., Ltd. 735,000 638,623
* International Bank of Taipei 444,122 292,907
Inventec Corp. 546,560 358,935
* King Yuan Electronics Co., Ltd. 127,000 125,839
Kinpo Electronics, Inc. 189,200 99,252
* Largan Precision Co., Ltd. 25,000 294,095
Lite-On Technology Corp. 674,646 756,411
* Macronix International Co., Ltd. 1,188,500 429,093
Media Tek, Inc. 172,390 1,652,012
Micro-Star International Co., Ltd. 180,700 212,378
Mitac International Corp. 166,000 77,174
* Mosel Vitelic Inc. Co., Ltd. 300,826 60,480
Nan Ya Plastic Corp. 1,804,156 2,427,710
* Nanya Technology Co., Ltd. 1,038,989 773,262
Nien Hsing Textile Co., Ltd. 95,000 92,909
* Nien Made Enterprise Co., Ltd. 45,216 78,660
* Optimax Technology Corp. 70,694 286,621
Oriental Union Chemical Corp. 106,920 117,129
* Pacific Electric Wire & Cable Corp. 233,200 3,639
Pihsiang Machinery Mfg. Co., Ltd. 32,760 78,576
Pou Chen Corp. 470,415 469,879
Premier Image Technology Corp. 138,800 208,031
President Chain Store Corp. 230,927 415,807
Quanta Computer, Inc. 755,255 1,722,149
* Quanta Display, Inc. 189,000 150,505
Realtek Semiconductor Corp. 175,920 231,852
* Ritek Corp. 565,750 309,010
* Shin Kong Fin 654,000 617,414
* Silicon Integrated Systems Corp. 361,000 191,975
* Siliconware Precision Industries Co., Ltd. 508,000 395,772
* SinoPac Holdings 270,000 145,021
Sunplus Technology Co., Ltd. 193,950 395,684
Synnex Tech International Corp. 160,800 279,463
Systex Corp., Ltd. 159,500 75,676
Taishin Financial Holdings Co., Ltd. 1,029,000 931,422
* Taiwan Business Bank 579,120 197,190
Taiwan Cement Corp. 686,697 315,118
Taiwan Glass Ind. Corp. 346,370 270,386
Taiwan Life Insurance Co., Ltd 92,000 161,454
* Taiwan Semiconductor Manufacturing Co., Ltd. 5,223,480 9,180,975
Taiwan Styrene Monomer Corp. 84,700 64,661
* Tatung Co., Ltd. 1,133,000 463,767
Teco Electric & Machinery Co., Ltd. 501,000 173,513
* The Farmers Bank of China 375,000 122,725
Tong Yang Industry Co., Ltd. 76,220 129,370
Transcend Information, Inc. 29,344 71,763
U-Ming Marine Transport Corp. 167,000 210,388
Uni-President Enterprises Corp. 916,020 406,730
* United Microelectronics Corp. 4,222,381 3,660,881
Via Technologies, Inc. 342,245 330,471
* Walsin Lihwa Corp. 881,000 428,594
Wan Hai Lines Co., Ltd. 377,080 309,833
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SHARES VALUE+
--------------- ---------------
* Waterland Financial Holdings 572,000 $ 212,782
* Winbond Electronics Corp. 1,108,000 559,804
Ya Hsin Industrial Co., Ltd. 130,212 172,744
* Yageo Corp. 608,440 320,007
Yang Ming Marine Transport Corp. 587,000 515,956
Yieh Phui Enterprise Co., Ltd. 248,300 170,723
* Yuen Foong Yu Paper Manufacturing Co., Ltd. 354,650 194,688
Yulon Motor Co., Ltd. 370,200 416,042
Zyxel Communication Corp. 85,200 179,245
---------------
TOTAL COMMON STOCKS
(Cost $62,538,444) 72,492,020
---------------
INVESTMENT IN CURRENCY -- (0.7%)
* Taiwan Dollar
(Cost $5,304,822) 5,316,923
---------------
TOTAL -- TAIWAN
(Cost $67,843,266) 77,808,943
---------------
SOUTH AFRICA -- (9.7%)
COMMON STOCKS -- (9.7%)
* ABSA Group, Ltd. 392,236 2,808,341
African Oxygen, Ltd. 206,548 568,342
* Amalgamated Beverage Industries, Ltd. 80,191 853,932
Anglo American PLC 662,129 13,979,129
Anglo American Platinum Corp., Ltd. 138,689 5,108,275
Anglogold, Ltd. 141,049 4,952,254
AVI, Ltd. 145,875 385,791
Barloworld, Ltd. 105,674 1,124,273
Bidvest Group, Ltd. 156,588 1,251,287
* Dimension Data Holdings PLC 246,926 137,920
* Discovery Holdings, Ltd. 167,710 322,811
Edgars Consolidated Stores, Ltd. 26,859 576,642
Firstrand, Ltd. 3,379,947 5,160,785
Gold Fields, Ltd. 251,697 2,910,853
Harmony Gold Mining Co., Ltd. 137,081 1,643,723
Impala Platinum Holdings, Ltd. 32,630 2,411,426
Imperial Holdings, Ltd. 116,858 1,252,138
* Investec, Ltd. 23,111 427,873
Iscor, Ltd. 285,549 1,485,446
* JD Group, Ltd. 87,800 538,222
Kumba Resources, Ltd. 15,092 83,350
Liberty Group, Ltd. 173,556 1,389,397
* Massmart Holdings, Ltd. 95,249 458,992
* MTN Group, Ltd. 966,699 4,338,354
Nampak, Ltd. 313,953 670,144
* Naspers, Ltd. Series N 145,439 1,019,369
Nedcor, Ltd. 216,270 2,068,268
* Network Healthcare Holdings, Ltd. 888,707 603,536
Old Mutual PLC 1,763,742 3,081,574
* Pick'n Pay Stores, Ltd. 309,695 816,365
Pretoria Portland Cement Co., Ltd. 30,295 661,038
Sanlam, Ltd. 1,300,739 1,763,089
Sappi, Ltd. 117,144 1,634,751
Standard Bank Group, Ltd. 686,654 4,424,884
* Steinhoff International Holdings, Ltd. 605,515 760,766
* Telkom SA, Ltd. 355,518 4,290,927
Tiger Brands, Ltd. 30,753 $ 424,323
* Woolworths Holdings, Ltd. 402,268 434,773
---------------
TOTAL COMMON STOCKS
(Cost $77,209,321) 76,823,363
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* South African Rand
(Cost $64) 69
---------------
TOTAL -- SOUTH AFRICA
(Cost $77,209,385) 76,823,432
---------------
SOUTH KOREA -- (8.9%)
COMMON STOCKS -- (8.9%)
Amorepacific Corp. 2,930 503,270
* Cho Hung Bank Co., Ltd. 155,557 338,978
CJ Corp. 6,550 346,102
Daelim Industrial Co., Ltd. 9,830 326,831
Daewoo Engineering & Construction Co., Ltd. 77,960 270,737
* Daewoo Heavy Industries & Machinery, Ltd. 48,150 323,874
* Daewoo Securities Co., Ltd. 56,445 182,018
Daewoo Shipbuilding & Marine Engineering Co., Ltd. 66,720 718,816
Daishin Securities Co., Ltd. 5,340 62,484
Halla Climate Control Corp. 30,000 228,055
Hankook Tire Manufacturing Co., Ltd. 42,940 339,308
Hanwha Chemical Corp. 32,000 183,489
Hite Brewery Co., Ltd. 7,100 458,608
Hyundai Development Co. 24,000 254,861
Hyundai Heavy Industries Co., Ltd. 24,070 587,034
* Hyundai Merchant Marine Co., Ltd. 27,000 182,509
Hyundai Mobis 26,460 1,078,985
Hyundai Motor Co., Ltd. 95,919 3,671,963
* Hyundai Securities Co., Ltd. 61,090 249,158
INI Steel Co., Ltd. 33,910 252,556
* Kangwon Land, Inc. 20,000 218,543
Kia Motors Corp. 128,970 1,102,902
* Kookmin Bank 139,085 4,795,792
Korea Electric Power Corp. 232,010 3,742,507
* Korea Exchange Bank 166,780 839,328
Korea Gas 27,040 731,727
* Korean Air Co., Ltd. 20,670 261,372
KT Corp. 67,490 2,284,767
KT&G Corp. 62,340 1,415,438
Kumgang Korea Chemical Co., Ltd. 3,000 301,092
LG Chemical Investment, Ltd. 95,890 1,313,208
LG Chemical, Ltd. 28,206 990,902
LG Electronics, Inc. 40,160 2,328,042
LG Engineering & Construction Corp. 12,480 194,715
* LG Investment & Securities Co., Ltd. 29,880 228,429
LG Petrochemical Co., Ltd. 13,070 260,402
* NCsoft Corp. 2,250 185,218
Nong Shim Co., Ltd. 1,710 321,052
POSCO 24,840 3,096,722
Pusan Bank 34,160 208,723
S1 Corp. 16,638 359,710
Samsung Corp. 41,960 527,726
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SHARES VALUE+
--------------- ---------------
* Samsung Electro-Mechanics Co., Ltd. 32,707 $ 1,024,695
Samsung Electronics Co., Ltd. 37,988 16,940,498
Samsung Fire and Marine Insurance, Ltd. 21,719 1,387,941
Samsung Heavy Industries Co., Ltd. 66,240 285,468
Samsung SDI Co., Ltd. 20,352 2,240,599
Samsung Securities Co., Ltd. 18,040 321,187
* Samsung Techwin Co., Ltd. 28,000 234,982
* Seoul Bank 38,700 858,260
Shinhan Financial Group Co., Ltd. 151,242 2,440,589
Shinsegae Co., Ltd. 4,610 1,035,789
SK Corp., Ltd. 55,584 2,379,221
SK Telecom Co., Ltd. 17,960 3,025,591
S-Oil Corp. 53,150 2,087,466
* Ssangyong Motor Co. 39,000 245,793
---------------
TOTAL -- SOUTH KOREA
(Cost $38,998,017) 70,776,032
---------------
MEXICO -- (8.9%)
COMMON STOCKS -- (8.9%)
Alfa S.A. de C.V. Series A 375,190 1,232,934
America Movil S.A. de C.V. Series L 6,377,000 11,176,445
* America Telecom S.A. de C.V. Series A 2,243,071 4,245,746
* Carso Global Telecom S.A. de C.V. Telecom Series A1 2,183,071 3,223,480
Cementos de Mexico S.A. de C.V. Series B 970,682 5,665,112
Coca Cola Femsa S.A. de C.V. Series L 374,700 794,943
* Consorcio Ara S.A. 157,500 432,965
Controladora Comercial Mexicana S.A. de C.V. Series B 633,700 744,125
* Corporacion Interamericana de Entramiento S.A. de
C.V. Series B 75,000 158,393
* Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,107 102
Corporativo Fragua S.A. de C.V. Series B 21 55
* Desc S.A. de C.V. Series B 619,841 181,963
El Puerto de Liverpool S.A. Series C1 339,500 478,986
Embotelladora Arca SA de CV , Mexico 466,500 856,023
* Empresas ICA Sociedad Controladora S.A. de C.V. 623,700 191,840
Empresas la Moderna S.A. de C.V. Series A 120,000 25,448
Fomento Economico Mexicano Series B & D 554,000 2,370,090
Gruma S.A. de C.V. Series B 90,406 151,713
Grupo Carso S.A. de C.V. Series A-1 542,000 2,089,822
Grupo Continental S.A. 358,600 559,355
Grupo Elektra S.A. de C.V. 114,000 593,401
Grupo Financiero del Norte S.A. Series C 340,000 1,188,801
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 22,746 4,784
Grupo Financiero Inbursa S.A. de C.V. Series O 1,697,097 2,157,900
* Grupo Gigante S.A. de C.V. Series B 117,282 75,026
Grupo Industrial Bimbo S.A. de C.V. Series A 711,500 1,536,912
* Grupo Industrial Maseca S.A. de C.V. Series B 229,000 $ 100,438
Grupo Modelo S.A. de C.V. Series C 1,806,300 4,479,542
* Grupo Nutrisa S.A. de C.V. 129 29
* Grupo Qumma S.A. de C.V. Series B 1,591 25
Grupo Televisa S.A. (Certificate Representing Series A,
Series D & Series L) 1,510,000 3,175,744
* Grupo Tribasa S.A. de C.V. 2,120 0
* Hylsamex S.A. de C.V. 93,914 133,322
* Hylsamex S.A. de C.V. Series B 60,000 84,652
Industrias Penoles S.A. de C.V. 247,800 890,312
Kimberly Clark de Mexico S.A. de C.V. Series A 648,000 1,700,705
* Nueva Grupo Mexico S.A. de C.V. Series B 505,358 1,511,003
* Organizacion Soriana S.A. de C.V. Series B 361,600 1,137,575
Telefonos de Mexico S.A. Series A 100,000 168,339
Telefonos de Mexico S.A. Series L 5,217,400 8,755,484
TV Azteca S.A. de C.V. Series A 1,387,100 717,162
* US Commercial Corp. S.A. de C.V. 223,000 116,859
Vitro S.A. 121,600 127,871
Walmart de Mexico S.A. de C.V. Series V 2,320,149 6,933,060
---------------
TOTAL -- MEXICO
(Cost $50,739,967) 70,168,486
---------------
BRAZIL -- (8.3%)
PREFERRED STOCKS -- (6.4%)
Ambev Cia de Bebidas das Americas 12,453,835 2,356,946
Aracruz Celulose SA Series B 711,999 2,304,405
Banci Itau Holding Financeira 68,900,000 5,813,924
Banco Bradesco SA 82,118 3,517,639
Brasil Telecom Participacoes SA 164,643,872 946,211
Brasileira de Distribuicao Pao de Acucar 38,610,000 576,845
* Braskem SA 30,000,000 472,411
Cimento Portland Itau 860,000 161,235
* Companhia Siderurgica Paulista 65,000 14,472
Compania Paranaense de Energia Series B 100,000,000 305,905
Embratel Participacoes SA 143,582,922 331,274
Gerdau SA 200,304 2,143,944
Investimentos Itau SA 3,297,432 3,543,223
Klabin SA 542,875 702,462
* Lojas Renner SA 800,000 5,163
Siderurgica Belgo-Mineira 4,010,000 892,836
Siderurgica de Tubarao Sid Tubarao 37,920,000 1,064,672
Siderurgica Paulista Casipa Series B 325 3,146
Suzano de Papel e Celulose 143,544 592,889
Tele Centro Oeste Celular Participacoes SA 230,437,922 658,075
Tele Norte Leste Participacoes SA 180,034,131 2,033,299
Telemar Norte Leste SA Series A 175,300,000 2,783,078
* Telesp Celular Participacoes 913,941,089 2,551,013
Telesp Participacoes SA 331,500,000 4,444,603
Telesudeste Celular Participacoes SA 81,000,000 131,994
Unibanco Unias de Bancos Brasileiros SA 2,000,000 33,559
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<Caption>
SHARES VALUE+
--------------- ---------------
Unibanco-Uniao de Bancos Brasileiros SA 13,713,000 $ 527,457
Usinas Siderurgicas de Minas Gerais SA 118,039 1,137,349
Vale do Rio Doce Series A 223,160 9,649,384
Vale do Rio Doce Series B 81,160 0
Votorantim Celulose e Papel SA 12,467,325 776,482
Weg SA 185,000 423,846
---------------
TOTAL PREFERRED STOCKS
(Cost $37,226,680) 50,899,741
---------------
COMMON STOCKS -- (1.9%)
Ambev Cia de Bebidas das Americas 5,420,000 1,976,315
Brasil Telecom Participacoes SA 59,520,574 303,461
Brasil Telecom SA 409,930,875 1,388,924
Cemig Cia Ene 77,000,000 1,083,317
Cpfl Geracao Energia SA 3,140,000 5,573
Embraer Empresa Brasileira de Aeronautica 525,521 3,342,375
* Embratel Participacoes 57,550,000 256,459
* Empresa Nasional de Comercio Redito e Participacoes SAncorpar 480,000 929
Petroquimica do Sul Copesul 2,276,000 112,368
Siderurgica Nacional Sid Nacional 60,351,000 2,804,306
Souza Cruz Industria e Comercio 291,000 2,572,895
Tele Centro Oeste Celular Participacoes SA 57,876,799 182,651
* Tele Centro Oeste Celular Participacoes SA 1,365,528 4,309
* Tele Norte Celular Participacoes 57,624,254 13,016
Tele Norte Leste Participacoes SA 59,264,568 583,084
* Tele Sudeste Celular Participacoes SA 3,072,951 4,294
Tractebel Energia SA 96,600,000 268,074
---------------
TOTAL COMMON STOCKS
(Cost $11,162,959) 14,902,350
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Brazilian Real
(Cost $23) 219
---------------
TOTAL -- BRAZIL
(Cost $48,389,870) 65,802,310
---------------
ISRAEL -- (7.8%)
COMMON STOCKS -- (7.8%)
Africa-Israel Investments, Ltd. 108,700 2,159,744
Agis Industries (1983), Ltd. 71,436 2,003,187
Bank Hapoalim, Ltd. 2,309,640 5,918,274
Bank Leumi Le-Israel 2,802,069 5,148,201
* Bezeq Israeli Telecommunication Corp., Ltd. 4,049,014 4,291,803
Blue Square Israel, Ltd. 16,186 173,511
CLAL Industries, Ltd. 289,038 1,374,645
CLAL Insurance, Ltd. 114,684 1,832,234
Delek Group, Ltd. 4,584 373,733
Discount Investment Corp 66,100 1,519,035
Elbit Systems, Ltd. 98,319 1,815,882
* Elron Electronic Industries, Ltd. 0 4
* First International Bank of Israel 48,660 259,925
* First International Bank of Israel, Ltd. 347,200 377,530
IDB Development Corp., Ltd. Series A 101,015 $ 2,306,607
IDB Holding Corp., Ltd. 36,578 628,339
Israel Chemicals, Ltd. 2,410,526 4,145,038
Israel Corp. Series A 5,500 877,081
* Koor Industries, Ltd. 25,971 984,923
M.A.Industries, Ltd. 843,283 3,520,356
Migdal Insurance Holdings 2,079,107 2,813,598
Osem Investment, Ltd. 210,522 2,301,869
Strauss Elite, Ltd. 33,250 305,002
Super-Sol, Ltd. Series B 372,926 841,904
Tefahot Israel Mortgage Bank, Ltd. 56,600 524,862
Teva Pharmaceutical Industries, Ltd. 209,140 13,734,393
United Mizrahi Bank, Ltd. 384,693 1,274,138
---------------
TOTAL -- ISRAEL
(Cost $37,527,997) 61,505,818
---------------
TURKEY -- (7.4%)
COMMON STOCKS -- (7.4%)
Akbank T.A.S. 1,811,999,062 7,604,412
* Anadolu Efes Biracilik ve Malt Sanayi A.S. 182,246,814 2,257,545
* Arcelik A.S. 1,549,702,646 7,236,348
Aygaz A.S. 593,998,416 1,189,366
* BSH Profilo Elektrikli Gerecler Sanayii A.S. 4,725,086 55,114
* Dogan Sirketler Grubu Holdings A.S 577,649,971 981,646
* Dogan Yayin Holding A.S. 282,794,524 839,612
Enka Insaat Ve Sanayi A.S. 164,940,663 3,159,694
* Eregli Demir ve Celik Fabrikalari Turk A.S. 145,031,000 3,701,503
Ford Otomotiv Sanayi A.S. 722,990,000 5,114,990
* Hurriyet Gazetecilik ve Matbaacilik A.S. 370,163,648 945,235
Koc Holding A.S. 1,058,111,057 4,374,954
Migros Turk A.S. 450,270,375 2,089,777
* Tat Konserve Sanayii A.S. 36 0
* Tofas Turk Otomobil Fabrikasi A.S. 1,489,092,271 2,560,485
Trakya Cam Sanayii A.S. 187,301,438 423,729
Tupras-Turkiye Petrol Rafineleri A.S. 289,886,950 1,745,862
* Turk Sise de Cam Fabrikalari A.S. Issue 04 178,179,930 290,736
* Turk Sise ve Cam Fabrikalari A.S. 430,349,924 724,861
* Turkiye Garanti Bankasi A.S. 1,549,482,967 4,318,556
Turkiye Is Bankasi A.S. Series C 1,741,718,616 5,853,375
* Vestel Elektronik Sanayi Ticaret A.S. 240,241,000 741,018
* Yapi ve Kredi Bankasi A.S. 1,232,184,338 2,591,757
---------------
TOTAL COMMON STOCKS
(Cost $30,184,710) 58,800,575
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Turkish Lira
(Cost $155) 150
---------------
TOTAL -- TURKEY
(Cost $30,184,865) 58,800,725
---------------
INDONESIA -- (7.4%)
COMMON STOCKS -- (7.4%)
PT Astra Agro Lestari Tbk 2,153,000 581,077
PT Astra International Tbk 8,470,461 5,247,437
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SHARES VALUE+
--------------- ---------------
PT Bank Central Asia Tbk 990,000 $ 394,856
PT Bank Danamon Indonesia Tbk 1,762,000 564,668
PT Bimantara Citra Tbk 1,758,000 550,943
PT Gudang Garam Tbk 4,695,500 7,334,130
PT Hanjaya Mandala Sampoerna Tbk 13,377,500 7,074,322
* PT Indocement Tunggal Prakarsa Tbk 7,362,000 1,271,541
PT Indofood Sukses Makmur Tbk 18,886,400 1,429,908
PT Indonesian Satellite Corp.Tbk 14,967,500 6,394,373
PT International Nickel Indonesia Tbk 145,000 507,470
PT Kalbe Farma Tbk 2,500,000 97,164
* PT Lippo Bank Tbk Series A 3,281,200 194,890
* PT Lippo Land Development Tbk 166,500 12,566
* PT Makindo Tbk 2,236,500 241,132
* PT Medco Energi International Tbk 9,754,000 1,474,625
* PT Panasia Indosyntec Tbk 75,100 3,198
PT Ramayana Lestari Sentosa Tbk 4,004,000 1,750,783
PT Sari Husada Tbk 13,793 29,013
PT Semen Gresik Tbk 1,739,502 1,741,826
PT Telekomunikasi Indonesia (Persero) Tbk Series B 18,576,820 14,695,839
PT Tempo Scan Pacific 646,000 484,226
PT Unilever Tbk 16,022,000 6,211,478
---------------
TOTAL -- INDONESIA
(Cost $47,714,707) 58,287,465
---------------
THAILAND -- (7.0%)
COMMON STOCKS -- (7.0%)
* Advance Agro Public Co., Ltd. (Foreign) 534,100 296,210
Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 13,122,948
* Aromatics (Thailand) Public Co., Ltd. (Foreign) 1,387,500 1,598,857
Bangkok Expressway Public Co., Ltd. (Foreign) 1,794,100 1,034,803
* Bank of Asia Public Co., Ltd. (Foreign) 9,363,000 1,177,010
* Bank of Ayudhya Public Co., Ltd. (Foreign) 5,174,500 1,568,803
Banpu Public Co., Ltd. (Foreign) 132,000 400,197
BEC World Public Co., Ltd. (Foreign) 3,915,000 1,592,248
* Capetronic International (Thailand) Public Co., Ltd.
(Foreign) 4,490,000 227,986
Central Pattana Public Co., Ltd. (Foreign) 4,177,500 916,434
Charoen Pokphand Foods Public Co., Ltd. (Foreign) 14,442,000 1,238,801
* DBS Thai Danu Bank Public Co., Ltd. (Foreign) 842,200 65,599
Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 4,100,710 2,456,181
Hana Microelectronics Public Co., Ltd. (Foreign) 238,300 734,225
* International Broadcasting Corp. Public Co., Ltd. (Foreign) 612,000 268,514
Krung Thai Bank Public Co., Ltd. (Foreign) 17,302,970 4,691,463
Land & Houses Public Co., Ltd. (Foreign) 2,130,310 546,099
National Finance and Securities Public Co., Ltd. (Foreign) 630,150 229,880
National Petrochemical Public Co., Ltd. (Foreign) 441,500 $ 979,418
Ratchaburi Electricity Generating Holding Public Co., Ltd.
(Foreign) 2,200,000 1,979,295
Shin Corporation Public Co., Ltd. (Foreign) 6,122,000 5,281,489
Shinawatra Satellite Public Co., Ltd. (Foreign) 2,762,450 871,564
Siam Cement Public Co., Ltd. (Foreign) 270,000 1,530,688
Siam City Cement Public Co., Ltd. (Foreign) 633,413 3,559,728
Siam Commercial Bank Public Co., Ltd. (Foreign) 2,549,166 2,874,645
Siam Makro Public Co., Ltd. (Foreign) 727,100 860,261
* Telecomasia Corp. Public Co., Ltd. (Foreign) 6,977,800 1,049,164
* Thai Military Bank Public Co., Ltd. (Foreign) 11,657,100 1,022,905
Thai Stanley Electric (Thailand) Public Co., Ltd. (Foreign) 89,000 574,760
Thai Union Frozen Products Public Co., Ltd. (Foreign) 3,178,520 1,942,995
TISCO Finance Public Co., Ltd. (Foreign) 1,231,100 842,076
Vanachai Group Co-Foreign 950,200 252,950
---------------
TOTAL COMMON STOCKS
(Cost $48,898,097) 55,788,196
---------------
RIGHTS/WARRANTS -- (0.0%)
* Telecomasia Corp. Public Co., Ltd. (Foreign) Warrants
03/31/08 (Cost $0) 1,444,563 0
---------------
TOTAL -- THAILAND
(Cost $48,898,097) 55,788,196
---------------
MALAYSIA -- (6.6%)
COMMON STOCKS -- (6.6%)
AMFB Holdings Berhad 317,000 508,893
AMMB Holdings Berhad 1,131,731 1,029,696
* Aokam Perdana Berhad 333 5
Berjaya Sports Toto Berhad 622,000 674,707
British American Tobacco Berhad 175,000 2,210,132
Commerce Asset Holding Berhad 1,759,000 2,258,743
* Digi.Com Berhad 449,862 554,142
Diversified Resources Berhad 581,000 278,214
Gamuda Berhad 510,000 730,954
Genting Berhad 477,000 1,944,494
Golden Hope Plantations Berhad 711,000 639,501
Hong Leong Bank Berhad 874,250 1,061,871
Hong Leong Credit Berhad 795,429 849,788
Hong Leong Properties Berhad 175,328 24,713
IOI Corp. Berhad 665,000 1,415,772
IOI Oleochemical Industries Berhad 22,041 56,280
IOI Properties Berhad 103,000 194,061
Kuala Lumpur Kepong Berhad 462,500 772,044
Magnum Corp. Berhad 1,007,500 678,929
Malakoff Berhad 566,000 825,460
Malayan Banking Berhad 2,028,500 5,498,743
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SHARES VALUE+
--------------- ---------------
Malayan Cement Berhad 1,739,000 $ 359,544
Malaysia Mining Corp. Berhad 675,000 356,340
* Malaysian Airlines System Berhad 889,000 1,096,117
Malaysian International Shipping Corp. (Foreign) 667,666 2,092,228
Malaysian Pacific Industries 136,000 566,217
Maxis Communications Berhad 151,000 333,847
* MBF Holdings Berhad 7,050 241
Nestle (Malaysia) Berhad 146,000 844,876
Oriental Holdings Berhad 168,000 172,315
Oyl Industries Berhad 89,000 849,452
Perusahaan Otomobil Nasional Berhad 389,000 803,592
Petronas Dagangan Berhad 322,000 576,326
Petronas Gas Berhad 1,344,000 2,422,746
* Plus Expressways Berhad 440,000 251,373
PPB Group Berhad 348,000 595,426
Public Bank Berhad 1,550,201 2,529,275
Resorts World Berhad 743,000 1,731,416
RHB Capital Berhad 1,185,000 602,164
* Silverstone Corp. Berhad 11,587 746
Sime Darby Berhad (Malaysia) 1,479,800 2,046,924
Southern Bank Berhad 48,440 33,791
Southern Bank Berhad (Foreign) 734,437 512,122
Telekom Malaysia Berhad 1,873,000 4,830,628
Tenaga Nasional Berhad 1,759,000 4,398,924
* Time Dotcom Berhad 1,518,000 391,529
UMW Holdings Berhad 268,333 353,042
YTL Corp. Berhad 981,362 1,135,780
---------------
TOTAL -- MALAYSIA
(Cost $49,078,638) 52,094,123
---------------
UNITED STATES -- (5.0%)
COMMON STOCKS -- (5.0%)
Banco Bilboa Vizcaya Argentaria Chile SA ADR 64,200 1,547,220
Banco de Chile Series F ADR 47,643 1,403,086
Banco Santander Chile Sponsored ADR 295,998 7,849,867
* Chilesat Corp. S.A. ADR 788 1,812
Cia Telecom de Chile ADR 421,400 5,018,874
Compania Cervecerias Uni ADR 115,400 2,313,770
Cristalerias de Chile SA ADR 35,600 779,996
Distribucion y Servicio D&S SA ADR 176,800 2,584,816
Embotelladora Andina SA Andina ADR 109,600 1,233,000
Embotelladora Andina SA Andina Series B ADR 89,100 1,006,830
Empresa Nacional de Elec ADR 514,018 6,512,608
Enersis SA ADR 285,903 1,769,740
Grupo Financiero Galicia S.A. ADR 211,011 1,187,992
Lan Chile SA ADR 125,900 2,159,185
* Madeco SA 4,450 27,234
Masisa SA ADR 25,100 310,738
Sociedad Quimica y Minera de Chile SA ADR 61,300 2,182,893
Sociedad Quimica y Minera de Chile SA ADR Class A 902 34,006
Vina Concha y Toro SA Conchatoro ADR 27,100 $ 1,222,210
---------------
TOTAL -- UNITED STATES
(Cost $39,950,627) 39,145,877
---------------
HUNGARY -- (3.4%)
COMMON STOCKS -- (3.4%)
Budapesti Elektromos Muvek RT 185 12,963
Delmagyarorszagi Aramszolgaltato Demasz RT 2,275 127,035
Egis RT 37,757 1,467,774
Gedeon Richter, Ltd. 46,937 4,627,712
Magyar Olay-Es Gazipari RT 168,429 6,459,737
Matav RT 1,050,555 4,094,090
* Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 8,065,863
* Tiszai Vegyi Kombinat RT 117,534 2,153,562
---------------
TOTAL -- HUNGARY
(Cost $15,788,433) 27,008,736
---------------
POLAND -- (3.4%)
COMMON STOCKS -- (3.4%)
* Agora SA 98,779 1,176,349
Bank Polska Kasa Opieki - Grupa Pekao SA 156,792 5,095,264
Bank Przemyslowo Handlowy Pbk 31,526 3,497,934
Bank Zackodni Wbk SA 93,312 2,112,519
* Big Bank Gdanski SA 2,029,541 1,635,576
Browary Zywiec SA 15,860 1,731,197
* Budimex SA 36,763 454,010
* Cersanit-Krasnystaw SA 19,143 489,646
Debica SA 19,800 681,375
Frantschach Swiecie SA 103,599 1,693,832
* Kredyt Bank SA 418,562 1,003,684
* Netia Holdings SA 495,665 555,557
* Optimus Technologie 6,873 19,199
Orbis SA 77,409 479,683
Polski Koncern Naftowy Orlen S.A. 267,237 2,000,335
* Prokom Software SA 21,336 1,043,317
Telekomunikacja Polska SA 712,274 2,757,406
Zaklady Metali Lekkich Kety SA 15,120 486,133
---------------
TOTAL -- POLAND
(Cost $20,586,160) 26,913,016
---------------
PHILIPPINES -- (3.3%)
COMMON STOCKS -- (3.3%)
Aboitiz Equity Ventures, Inc. 7,803,400 405,952
Ayala Corp. 42,503,520 4,029,199
Ayala Land, Inc. 27,511,576 2,712,243
Bank of the Philippine Island 4,641,373 3,492,601
* Equitable PCI Bank, Inc. 2,217,300 1,723,317
* Filipina Water Bottling Corp. 2,006,957 0
Metro Bank and Trust Co. 4,584,435 2,049,982
Petron Corp. 28,593,000 1,559,337
* Philippine Long Distance Telephone Co. 347,030 6,659,057
SM Prime Holdings, Inc. 29,223,000 3,087,076
Union Bank of the Philippines 1,572,300 646,999
---------------
TOTAL -- PHILIPPINES
(Cost $42,708,447) 26,365,763
---------------
</Table>
108
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
ARGENTINA -- (1.8%)
COMMON STOCKS -- (1.8%)
* Acindar Industria Argentina de Aceros SA Series B 899,000 $ 866,690
* Alpargatas SA Industrial y Comercial 1,078 537
Alto Palermo SA Series A 5,000 5,302
* Banco del Sud Sociedad Anonima Series B 29,000 25,628
* Banco Frances del Rio de la Plata SA 467,809 841,859
* Capex SA Series A 52,893 53,967
* Celulosa Argentina SA Series B 18,750 13,557
* Central Costanera SA Series B 114,100 145,932
* Central Puerto SA Series B 16,000 8,227
* Garovaglio y Zorraquin SA 28,000 3,869
* Gas Natural SA, Buenos Aires 345,000 164,083
* IRSA Inversiones y Representaciones SA 657,649 460,716
* Juan Minetti SA 353,151 360,886
* Ledesma S.A.A.I. 242,632 140,347
* Metrogas SA Series B 543,115 209,438
* Molinos Rio de la Plata SA Series B 694,833 870,819
* Perez Companc SA 2,274,901 2,149,278
* Renault Argentina SA 399,465 62,901
Siderar SAIC Series A 721,484 3,153,177
Solvay Indupa S.A.I.C. 555,366 460,449
* Telecom Argentina Stet-France SA Series B 977,000 1,601,207
Tenaris SA 653,898 2,038,283
* Transportadora de Gas del Sur SA Series B 1,028,000 776,325
---------------
TOTAL COMMON STOCKS
(Cost $24,508,605) 14,413,477
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso
(Cost $155,706) 155,455
---------------
TOTAL -- ARGENTINA
(Cost $24,664,311) 14,568,932
---------------
CZECH REPUBLIC -- (0.1%)
COMMON STOCKS -- (0.1%)
* CEZ A.S. 35,236 $ 250,425
* Ceske Radiokomunikace A.S. 1,575 27,607
* Ceske Telecom A.S. 27,377 344,528
* Komercni Banka A.S. 2,584 283,551
* Phillip Morris CR A.S. 113 67,760
---------------
TOTAL -- CZECH REPUBLIC
(Cost $1,017,504) 973,871
---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $9,965,000 FNMA
Discount Notes 0.96%, 06/16/04,
valued at $9,960,018
(Cost $9,812,000) $ 9,812 9,812,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $651,112,291)++ $ 792,643,725
===============
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
++ The cost for federal income tax purposes is $651,539,175.
See accompanying Notes to Financial Statements.
109
<Page>
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
SOUTH AFRICA -- (11.1%)
COMMON STOCKS -- (11.1%)
* ADCorp Holdings, Ltd. 43,285 $ 85,943
Advtech, Ltd. 120,000 14,161
Aeci, Ltd. 79,460 387,165
* Afgri, Ltd. 280,296 257,596
African Life Assurance Co., Ltd. 102,921 232,367
* African Rainbow Minerals, Ltd. 93,461 502,093
* Afrikander Lease, Ltd. 116,023 41,672
Afrox Healthcare 45,403 95,055
* AG Industries, Ltd. 107,512 32,912
* Alexander Forbes, Ltd. 259,170 369,567
* Allied Electronics Corp., Ltd. 84,012 154,363
Allied Technologies, Ltd. 82,724 411,649
* Amalgamated Appliance Holdings, Ltd. 142,094 60,987
* Aspen Pharmacare Holdings PLC 297,721 584,115
Astral Foods, Ltd. 33,426 161,332
* Aveng, Ltd. 241,648 291,660
* Bearing Man, Ltd. 69,024 68,629
* Bell Equipment, Ltd. 57,476 74,079
* Brandcorp Holdings, Ltd. 43,383 29,934
* Business Connexion Group, Ltd. 229,687 128,681
Bytes Technology Group, Ltd. 113,445 100,955
* Capital Alliance Holdings, Ltd. 148,529 243,159
* Capitec Bank Holdings, Ltd. 37,860 33,816
Cashbuild, Ltd. 13,473 45,035
* Caxton & CTP Publishers & Printers, Ltd. 356,504 448,187
Ceramic Industries, Ltd. 13,297 132,326
City Lodge Hotels, Ltd. 28,074 113,214
* Connection Group Holdings, Ltd. 26,487 21,910
* Corpcapital, Ltd. 241,136 19,541
Cullinan Holdings, Ltd. 10,000 598
* Datacentrix Holdings, Ltd. 162,198 53,018
* Datatec, Ltd. 92,603 134,530
Delta Electrical Industries, Ltd. 38,338 199,257
Distell Group, Ltd. 160,135 361,626
* Distribution & Warehousing Network, Ltd. 98,577 28,751
Dorbyl, Ltd. 18,237 50,313
* Durban Roodeport Deep, Ltd. 196,023 554,626
* Ellerine Holdings, Ltd. 62,039 303,991
* Energy Africa, Ltd. 85,189 424,568
* Enviroserv Holdings, Ltd. 64,500 35,591
* Famous Brands, Ltd. 9,678 5,798
Foschini, Ltd. 168,564 515,510
* Frontrange, Ltd. 62,223 33,288
Gold Reef Casino Resorts, Ltd. 169,887 192,225
Grindrod, Ltd. 21,833 63,740
Group Five, Ltd. 40,465 59,281
Highveld Steel & Vanadilum Corp., Ltd. 80,938 229,707
Hudaco Industries, Ltd. 23,083 78,698
Iliad Africa, Ltd. 112,877 92,542
Illovo Sugar, Ltd. 203,494 236,769
* Ist Group PLC 83,223 $ 20,350
* JCI, Ltd. 1,622,051 136,552
* Johnic Communications, Ltd. 86,930 326,242
Kersaf Investments, Ltd. 58,532 341,097
M Cubed Holdings, Ltd. 385,000 18,300
* Medi-Clinic Corp., Ltd. 277,002 541,017
Metair Investment, Ltd. 4,447 103,806
* Metorex, Ltd. 101,510 36,879
* Metro Cash & Carry, Ltd. 1,278,869 479,657
Metropolitan Holdings, Ltd. 451,465 535,628
Murray & Roberts Holdings, Ltd. 215,729 460,722
Mustek, Ltd. 20,612 23,687
* Net 1 Applied Technology Holdings, Ltd. 47,395 59,496
* New Clicks Holdings, Ltd. 290,335 329,578
Northam Platinum, Ltd. 183,217 255,498
* Nu-World Holdings 11,932 42,263
Oceana Group 86,619 203,206
* Omnia Holdings, Ltd. 35,992 163,079
* Palabora Mining Co., Ltd. 20,554 185,566
* Peregrine Holdings, Ltd. 134,813 46,380
* Primedia Limited 'n' 161,922 208,197
PSG Group, Ltd. 63,250 25,695
Rainbow Chicken, Ltd. 209,727 165,323
* Randgold and Expl CO 42,939 141,325
Rebserve Holdings, Ltd. 151,070 179,139
Redefine Income Fund, Ltd. 34,692 13,475
* Relyant Retail, Ltd. 724,775 161,902
Reunert 126,412 485,582
* SA Chrome and Alloys 798,852 94,473
* Sage Group, Ltd. 201,897 52,436
Santam, Ltd. 47,060 333,043
Shoprite Holdings Ltd 378,315 534,238
* Specialty Stores Ltd. 173,245 209,974
* Spur Corp., Ltd. 53,697 39,211
Sun International (Sth Afr) 235,076 120,626
* Super Group, Ltd. 280,556 449,184
* Tiger Wheels, Ltd. 47,140 145,045
Tongaat-Hulett Group, Ltd. 93,729 644,025
* Tourism Investment 647,510 141,642
* Trans Hex Group, Ltd. 69,964 241,334
* Trencor, Ltd. 142,114 265,481
Truworths International, Ltd. 312,815 452,238
UCS Group, Ltd. 144,872 26,750
* Unitrans Ltd 65,023 259,134
* Value Group, Ltd. 49,189 10,947
* Western Areas Ltd 90,489 430,149
Wilson Bayly Holme 40,403 108,329
---------------
TOTAL COMMON STOCKS
(Cost $19,146,850) 19,044,430
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* South African Rand
(Cost $1,381) 1,482
---------------
TOTAL -- SOUTH AFRICA
(Cost $19,148,231) 19,045,912
---------------
</Table>
110
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
SOUTH KOREA -- (11.0%)
COMMON STOCKS -- (11.0%)
* Anam Semiconductor, Inc. 69,073 $ 198,053
Asia Cement Manufacturing Co., Ltd. 1,243 27,368
Bing Grae Co., Ltd. 3,480 68,235
Bu Kwang Pharmaceutical Co., Ltd. 6,237 39,865
Byuck San Engineering and Construction Co., Ltd. 8,750 19,892
Cheil Communications, Inc. 2,497 328,387
Cheil Industrial, Inc. 18,690 229,160
Choong Wae Pharmaceutical 1,877 18,024
Chungho Comnet Co., Ltd. 720 2,312
* Comtec Systems Co., Ltd. 2,000 1,081
* Dae Ho Corp. 543 61
Dae Sang Corp. 8,020 18,904
Dae Won Kang Up Co., Ltd. 1,740 14,950
Daeduck Electronics Co., Ltd. 22,437 175,337
Daeduck Industries Co., Ltd. 7,526 64,535
Daegu Bank Co., Ltd. 63,640 376,818
Daehan City Gas Co., Ltd. 2,621 30,761
Daehan Flour Mills Co., Ltd. 470 16,485
Daelim Industrial Co., Ltd. 9,480 315,194
Daesung Industrial Co., Ltd. 1,690 25,199
* Daewoo Heavy Industries & Machinery, Ltd. 40,300 271,072
* Daewoo International Corp. 54,700 323,761
Daewoo Motor Sales Corp. 10,240 59,852
* Daewoo Precision Industries Co., Ltd. 2,800 38,254
* Daewoo Securities Co., Ltd. 119,000 383,739
Daewoong Co., Ltd. 4,686 21,599
* Daewoong Pharmaceutical Co., Ltd. 3,630 58,519
Daishin Securities Co., Ltd. 24,720 289,253
* Daou Technology, Inc. 7,000 8,398
DC Chemical Co., Ltd. 7,316 91,600
Dong Ah Tire Industrial Co., Ltd. 7,300 22,045
Dong Bu Insurance Co., Ltd. 30,810 123,975
* Dong Yang Mec 7,020 19,644
Dong-A Pharmaceutical Co., Ltd. 3,229 43,181
Dongbu Corp. 6,310 29,758
Dongbu Steel Co., Ltd. 7,290 38,007
Dongkuk Steel Mill Co., Ltd. 35,037 239,438
Dongwon F&B Co., Ltd. 900 27,099
Dongwon Financial Holding Co., Ltd. 19,848 99,932
* Doosan Corp. 7,390 66,381
Doosan Heavy Industries & Construction Co., Ltd. 54,500 332,257
* Doosan Industrial Development Co., Ltd. 12,850 20,440
* Eastel Systems Corp. 4,307 4,238
* Fursys, Inc. 2,880 21,369
Global Enterprise Co., Ltd. 5,900 14,071
* Good Morning Securities Co., Ltd. 94,500 254,526
Green Cross Corp. 1,825 38,945
Hae In Co., Ltd. 5,964 6,662
Halla Climate Control Corp. 20,000 152,037
Han Kuk Carbon Co., Ltd. 7,903 8,133
Han Wha Corp. 33,650 240,324
Hana Securities Co., Ltd. 5,930 26,686
Handok Pharmaceuticals Co., Ltd. 3,860 30,967
Handsome Corp. 13,420 105,235
Hanil Cement Manufacturing Co., Ltd. 3,308 138,570
Hanjin Heavy Industry Co., Ltd. 26,190 $ 101,892
Hanjin Shipping Co., Ltd. 17,204 225,428
Hanjin Transportation Co., Ltd. 3,471 27,410
* Hankook Synthetics, Inc. 1,000 4,624
Hankook Tire Manufacturing Co., Ltd. 26,040 205,766
Hankuk Electric Glass Co., Ltd. 4,480 187,905
Hankuk Glass Industries, Inc. 5,120 152,283
Hankuk Paper Manufacturing Co., Ltd. 1,450 22,415
Hanmi Pharmaceutical Industrial Co, Ltd. 2,620 75,689
* Hansol Electronics Inc. 797 7,314
Hansol Paper Co., Ltd. 17,360 117,073
* Hanssem Co., Ltd. 6,820 48,604
* Hansung Enterprise Co., Ltd. 620 1,561
Hanwha Chemical Corp. 56,030 321,279
Hanwha Securities Co., Ltd. 13,070 24,592
Hotel Shilla, Ltd. 15,138 64,731
Huchems Fine Chemical Corp. 5,616 17,747
* Hung Chang Co., Ltd. 27 44
Hyosung T & C Co., Ltd. 12,038 89,530
* Hyundai Auton Co., Ltd. 81,580 189,825
Hyundai Cement Co., Ltd. 2,570 58,254
* Hyundai Corp. 1,505 2,978
Hyundai Department Store Co., Ltd. 13,140 309,440
Hyundai Development Co. 39,110 415,317
* Hyundai Elevator Co., Ltd. 2,354 76,509
Hyundai Fire & Marine Insurance Co., Ltd. 4,020 126,135
Hyundai Hysco 36,380 138,846
* Hyundai Merchant Marine Co., Ltd. 65,410 442,144
* Hyundai Mipo Dockyard Co., Ltd. 8,568 129,199
* Hyundai Securities Co., Ltd. 71,159 290,224
* Il Jin Diamond Co., Ltd. 2,000 21,425
* IlJin Electric, Ltd. 9,150 18,872
IlShin Spinning Co., Ltd. 380 12,200
* Inchon Oil Refinery Co., Ltd. 373 18
INI Steel Co., Ltd. 33,750 251,365
ISU Chemical Co., Ltd. 1,530 8,276
* Isupetasys Co., Ltd. 7,160 15,919
Jahwa Electronics Co., Ltd. 6,230 60,711
Jeonbuk Bank, Ltd. 8,590 31,308
K.C. Tech Co., Ltd. 6,000 18,469
* KDB Capital Corp. 21,440 61,614
KEC Corp. 3,035 63,139
Kolon Industries, Inc. 5,090 27,081
* Kolon International 321 944
Kolon International Corp. 2,264 10,937
Korea Circuit Co. 7,800 24,113
* Korea Data Systems Co., Ltd. 35,000 6,161
* Korea Development Co., Ltd. 3,480 25,682
Korea Electric Terminal Co., Ltd. 3,530 58,009
* Korea Exchange Bank 9,888 49,762
* Korea Express Co., Ltd. 3,200 62,414
Korea Fine Chemical Co., Ltd. 1,388 14,515
Korea Iron & Steel Co., Ltd. 3,120 40,307
Korea Iron & Steel Works Co., Ltd. 3,328 29,822
Korea Komho Petrochemical 9,100 57,069
Korea Line Corp. 3,940 85,976
Korea Polyol Co., Ltd. 1,450 39,718
Korea Zinc Co., Ltd. 8,810 143,130
Korean Reinsurance Co., Ltd. 4,547 168,850
</Table>
111
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* KP Chemical Corp. 34,521 $ 83,929
* KTB Network, Ltd. 17,000 33,643
Kukdong City Gas Co., Ltd. 1,740 20,301
Kumho Electronics Co., Ltd. 1,987 89,335
Kumho Industrial Co., Ltd. 16,300 112,610
Kyeryong Construction Industrial Co., Ltd. 2,060 20,827
Kyobo Securities Co., Ltd. 10,440 20,860
LG Ad Inc., Ltd. 4,120 64,949
LG Cable, Ltd. 15,520 243,856
LG Caltex Gas Co., Ltd. 1,980 32,915
LG Engineering & Construction Corp. 20,910 326,241
LG Household & Healthcare Co., Ltd. 6,610 169,912
* LG Industrial Systems, Ltd. 16,950 233,691
LG Insurance Co., Ltd. 27,140 135,136
LG International Corp. 33,488 230,994
* LG Life Sciences, Ltd. 6,855 163,353
LG Petrochemical Co., Ltd. 13,800 274,946
Lotte Chilsung Beverage Co., Ltd. 760 443,020
Lotte Confectionary Co., Ltd. 910 402,994
Lotte Sam Kang Co., Ltd. 230 18,298
Meritz Securities Co., Ltd. 2,940 5,382
* Midopa Co., Ltd. 27,910 106,325
Namhae Chemical Corp. 13,104 17,946
Namyang Dairy Products Co., Ltd. 340 93,051
Nong Shim Co., Ltd. 2,463 462,427
Nong Shim Holdings Co., Ltd. 780 28,692
Oriental Fire & Marine Insurance Co., Ltd. 2,750 36,976
ORION Corp. 2,700 161,536
Ottogi Corporation 990 21,556
* Pacific Industries, Inc. 2,100 20,652
* Pantech Co., Ltd. 8,690 51,347
Poong San Corp. 12,640 104,184
Pulmuone Co., Ltd. 2,030 83,324
Pusan Bank 42,780 261,393
Pusan City Gas Co., Ltd. 3,000 30,237
Pyung Hwa Industrial Co., Ltd. 6,170 16,284
S1 Corp. 15,730 340,079
* Saehan Industries, Inc. 7,440 11,943
Samchully Co., Ltd. 1,370 64,243
* Samlip Industrial Co., Ltd. 4,560 16,060
* Samsung Engineering Co., Ltd. 15,780 75,516
Samsung Fine Chemicals 11,080 144,850
* Samsung Techwin Co., Ltd. 44,140 370,433
Samyang Corp. 1,870 30,476
Samyang Genex Co., Ltd. 220 4,998
* Samyoung Corp. 2,170 17,874
Samyoung Electronics Co., Ltd. 5,800 33,813
Sejong Securities Co., Ltd. 4,840 7,074
Seondo Electric Co., Ltd. 4,400 4,791
Seoul City Gas Co., Ltd. 2,750 41,670
* Seoul Securities Co., Ltd. 19,500 45,873
Shin Young Securities Co., Ltd. 2,620 26,157
* Shindongbang Corp. 2,590 24,759
Shinmoorim Paper Manufacturing Co., Ltd. 2,858 11,841
* Shinsung Engineering Co., Ltd. 11,880 44,389
Sindo Ricoh 4,630 225,879
* SK Chemicals Co., Ltd. 5,140 33,447
SK Gas Co., Ltd. 2,500 39,206
* SKC Co., Ltd. 14,290 $ 103,391
* Ssang Bang Wool Co., Ltd. 6,950 20,848
* Ssangyong Cement Industry Co., Ltd. 148,450 197,288
* Ssangyong Motor Co. 53,830 339,258
STX Corp. 5,508 18,493
* STX Engine 4,692 13,251
Suheung Capsule Co., Ltd. 1,900 9,136
Sung Shin Cement Co., Ltd. 7,920 117,799
* Sunkyong Securities Co., Ltd. 120,920 60,072
Tae Kwang Industrial Co., Ltd. 200 26,023
Tae Young Corp. 3,274 99,266
Taegu Department Store Co., Ltd. 3,130 17,660
Tai Han Electric Wire Co., Ltd. 13,991 65,763
* Tong Yang Investment Bank 28,710 40,883
* Tongil Heavy Industries Co., Ltd. 46,780 20,895
* Trigem Computer, Inc. 21,159 73,382
Union Steel Manufacturing Co., Ltd. 2,220 95,565
Woongjin Coway Co., Ltd. 6,930 30,330
Woongjin.Com Co., Ltd. 6,810 16,162
Woori Securities Co., Ltd. 9,550 31,554
Youlchon Chemical Co., Ltd. 8,890 55,345
* Young Poong Mining & Construction Corp. 1,580 75
Youngone Corp. 18,210 39,720
Yuhan Corp. 3,702 212,792
---------------
TOTAL -- SOUTH KOREA
(Cost $18,013,632) 18,846,596
---------------
TAIWAN -- (10.9%)
COMMON STOCKS -- (10.9%)
Ability Enterprise Co., Ltd. 64,192 53,741
* Abit Computer Co., Ltd. 118,300 51,111
Accton Technology Corp. 178,000 114,621
Advantech Co., Ltd. 119,000 242,744
* Altek Corp. 14,000 13,926
* Ambassador Hotel 60,000 35,421
Amtran Technology Co., Ltd. 110,802 95,108
* Arima Computer Corp. 386,000 133,282
Asia Polymer Corp. 41,000 22,006
Askey Computer Co., Ltd. 79,550 51,219
Audix Co., Ltd. 17,513 21,970
Aurora Corp. 52,250 30,820
* Avermedia Technologies, Inc. 28,000 27,248
Avision, Inc. 25,030 18,704
Bank of Kaohsiung Co., Ltd. 129,060 96,305
Basso Industry Corp., Ltd. 26,000 53,420
* Behavior Tech Computer Corp. 117,000 43,203
* Bes Engineering Corp. 446,640 90,307
* Carnival Industrial Corp. 95,000 17,657
Catcher Co., Ltd. 58,910 228,015
* Cathay Real Estate Development Co., Ltd. 439,753 252,290
* Central Insurance Co., Ltd. 60,000 31,007
Central Reinsurance Co., Ltd. 61,000 25,219
Cheng Loong Corp. 311,000 120,281
Cheng Uei Precision Industry Co., Ltd. 81,200 154,507
* Chia Hsin Cement Corp. 196,000 92,741
* Chia Hsin Food & Synthetic Fiber Co., Ltd. 269,000 28,156
Chicony Electronics Co., Ltd. 123,866 231,570
</Table>
112
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Chien Shing Stainless Steel Co., Ltd. 56,000 $ 24,120
* China General Plastics Corp. 76,000 31,682
* China Life Insurance Co., Ltd. 219,400 127,872
* China Man-Made Fiber Co., Ltd. 390,280 222,443
China Metal Products Co., Ltd. 22,000 25,618
* China Petrochemical Development Corp. 529,000 95,946
* China Rebar Co., Ltd. 200,000 23,739
China Steel Chemical Corp. 46,620 64,712
* China Synthetic Rubber Corp. 59,987 18,734
* China United Trust & Investment Corp. 220,000 37,382
Chin-Poon Industrial Co., Ltd. 34,244 23,734
* Chou Chin Industrial Co., Ltd. 42,180 0
Chroma Ate, Inc. 56,252 62,806
* Chun Yu Works & Co., Ltd. 69,000 27,107
Chun Yuan Steel Industrial Co., Ltd. 100,000 57,377
Chung Hsin Electric & Machinery Co., Ltd. 120,000 49,436
Chung Hwa Pulp Corp. 135,804 73,842
* Clevo Co. 80,340 37,357
Compal Commun 76,250 179,614
* Compeq Manufacturing Co., Ltd. 273,000 110,620
Continental Engineering Corp. 244,098 124,568
CTCI Corp. 164,000 86,824
Der Pao Construction Co., Ltd. 78,000 27,595
D-Link Corp. 202,000 260,911
* Edom Technology Co., Ltd. 12,000 15,299
Elan Microelectronincs Corp. 80,210 63,979
* Elite Semiconductor Memory Technology, Inc. 36,000 136,628
Elitegroup Computer Systems Co., Ltd. 185,000 118,950
* Enlight Corp. 53,000 20,035
* Entie Commercial Bank 580,246 164,381
Epistar Corp. 34,619 87,078
* ET Internet Technology Corp. 195,114 99,590
Eternal Chemical Co., Ltd. 164,700 88,108
Everest Textile Co., Ltd. 112,000 30,220
Evergreen International Storage & Transport Corp. 391,000 160,633
Everlight Chemical Industrial Corp. 65,000 22,668
Everlight Electronics Co., Ltd. 83,640 133,039
Everspring Industry Co., Ltd. 51,000 17,369
* Far East Department Stores, Ltd. 312,000 129,754
Far Eastern International Bank 381,000 193,210
* Federal Corp. 73,552 52,876
Feng Hsin Iron & Steel Co., Ltd. 192,180 162,147
Feng Tay Enterprise Co., Ltd. 117,100 122,797
First Copper Technology Co., Ltd. 62,000 20,778
* First International Computer, Inc. 375,000 71,648
* Formosa International Hotels Corp. 49,500 60,629
Formosa Taffeta Co., Ltd. 600,000 254,000
* Formosan Rubber Group, Inc. 68,000 29,350
Giant Manufacture Co., Ltd. 81,170 97,290
* Giga Storage Corp. 42,000 23,966
Globe Union Industrial Corp. 32,634 43,345
* Gold Circuit Electronics, Ltd. 77,446 31,255
* Goldsun Development & Construction Co., Ltd. 295,000 74,005
* Grand Pacific Petrochemical Corp. 115,000 46,835
Great China Metal Industry Co., Ltd. 63,000 $ 36,818
Great Taipei Gas Co., Ltd. 97,000 37,544
Great Wall Enterprise Co., Ltd. 63,000 16,363
Greatek Co., Ltd. 82,030 90,110
Hey Song Corp. 96,000 30,807
Ho Tung Holding Corp. 145,901 53,392
* Hocheng Corp. 71,000 21,904
Hotai Motor Co., Ltd. 179,000 244,889
* Hsin Kuang Steel Co., Ltd. 23,000 40,287
* Hsinchu International Bank 527,000 297,015
Hsing Ta Cement Co., Ltd. 100,000 30,003
Hua Eng Wire & Cable Co., Ltd. 113,565 31,494
* Hung Poo Construction Corp. 76,000 53,591
* Hung Sheng Construction Co., Ltd. 161,000 87,975
* Ichia Technologies, Inc. 61,200 152,512
* Infodissc Technology Co., Ltd. 115,000 32,626
* Infortrend Technology, Inc. 34,000 118,389
K Laser Technology, Inc. 20,343 14,722
* Kao Hsing Chang Iron & Steel Corp. 101,000 30,250
Kaulin Manufacturing Co., Ltd. 16,000 21,267
Kendra Rubber Industrial Co., Ltd. 100,793 72,532
* King Yuan Electronics Co., Ltd. 116,000 114,939
* Kingdom Construction Co., Ltd. 107,000 39,231
* King's Town Construction Co., Ltd. 36,000 66,478
Kinpo Electronics, Inc. 457,000 239,738
Knowledge-Yield-Excellence Systems Corp. 23,995 24,906
* Lead Data Co., Ltd. 82,000 29,279
* Lealea Enterprise Co., Ltd. 110,000 20,283
Lee Chang Yung Chemical Industry Corp. 70,019 26,573
* Lelon Co., Ltd. 27,378 13,199
* Leofoo Development Co., Ltd. 35,000 13,893
Li Shin International Enterprise Corp. 25,280 13,499
Lien Hwa Industrial Corp. 119,000 37,155
* Ling Sheng PrecisionIndustrial Corp. 45,000 25,682
* Long Bon Development Co., Ltd. 98,000 34,897
Long Chen Paper Co., Ltd. 89,000 31,973
Lucky Cement Corp. 97,000 30,281
Meiloon Co., Ltd. 43,060 55,800
Mercuries & Associates, Ltd. 110,250 40,642
* Mercuries Data Co., Ltd. 50,000 23,520
Merry Electronics Co., Ltd. 24,480 65,345
* Microelectronics Technology, Inc. 77,000 39,105
Mitac International Corp. 383,000 178,058
* Mustek Systems, Inc. 36,000 18,046
* Nankang Rubber Tire Co., Ltd. 75,000 78,984
National Petroleum Co., Ltd. 33,325 22,978
Nien Hsing Textile Co., Ltd. 229,000 223,959
* Nien Made Enterprise Co., Ltd. 81,752 142,220
* Opto Tech Corp. 61,000 18,833
* Orient Semiconductor Electronics, Ltd. 455,917 54,141
Oriental Union Chemical Corp. 179,720 196,881
* Pacific Electric Wire & Cable Corp. 726,000 11,328
* Pan Jit International, Inc. 33,000 30,792
* Pan Overseas Electronics Co., Ltd. 67,000 30,004
* Pan-International Industrial 105,000 67,569
Phihong Technology Co., Ltd. 39,472 22,024
* Phoenix Precision Technology Corp. 152,000 113,756
Phoenixtec Power Co., Ltd. 172,725 195,048
</Table>
113
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Picvue Electronics, Ltd. 181,900 $ 65,739
Pihsiang Machinery Mfg. Co., Ltd. 48,000 115,130
Premier Image Technology Corp. 51,000 76,438
Primax Electronics, Ltd. 59,987 21,763
* Prince Housing & Development Corp. 223,000 60,950
* Procomp Informatics, Ltd. 21,675 7,049
* Prodisc Technology Inc. 218,560 167,914
* Q-Run Technology Co., Ltd. 94,000 166,159
Radium Life Tech 33,000 33,319
* Ruentex Development Co., Ltd. 140,000 29,974
* Ruentex Industries, Ltd. 141,000 51,162
* Sampo Corp. 438,000 147,068
* San Fang Chemical Industry Co., Ltd. 40,700 28,192
* Sanyang Industrial Co., Ltd. 205,000 80,994
Sanyo Electric Co., Ltd. 56,000 34,254
Senao International Co., Ltd. 31,900 18,408
Sheng Yu Steel Co., Ltd. 116,980 129,750
Shihlin Electric & Engineering Corp. 162,000 99,086
* Shihlin Paper Corp. 56,000 40,170
* Shinkong Synthetic Fibers Co., Ltd. 388,000 79,725
* Shuttle, Inc. 28,200 35,077
* Silicon Integrated Systems Corp. 150,000 79,768
Sincere Navigation Corp. 91,015 63,492
* Sinkong Spinning Co., Ltd. 60,000 24,478
* Sintek Photronics Corp. 177,000 142,286
Sinyi Realty, Inc. 20,000 50,959
* Solomon Technology Corp. 90,000 29,719
Southeast Cement Co., Ltd. 94,000 26,194
Springsoft, Inc. 35,466 87,169
Stark Technology, Inc. 45,100 29,913
Sunonwealth Electric Machine Industry Co., Ltd. 44,719 22,125
Sunrex Technology Corp. 37,260 31,571
Systex Corp., Ltd. 299,000 141,863
Ta Chen Stainless Pipe Co., Ltd. 25,000 17,738
* Ta Chong Bank 413,000 139,914
Ta Ya Elec Wire & Cable Co., Ltd. 87,000 33,423
* Taichung Commercial Bank 484,000 132,880
* Tainan Business Bank 179,000 61,856
Tainan Enterprises Co., Ltd. 28,000 38,879
Tainan Spinning Co., Ltd. 541,000 162,909
Taiwan Acceptance Corp. 37,000 32,717
Taiwan Fire & Marine Insurance Co., Ltd. 67,000 39,004
Taiwan Fu Hsing Industrial Co., Ltd. 30,000 27,092
* Taiwan Green Point Enterprises Co., Ltd. 22,000 83,836
Taiwan Hon Chuan Enterprise Co., Ltd. 19,059 19,229
Taiwan Kai Yih Industrial Co., Ltd. 27,270 25,360
* Taiwan Kolin Co., Ltd. 90,000 25,609
Taiwan Life Insurance Co., Ltd 164,350 288,424
Taiwan Mask Corp. 49,720 26,576
Taiwan Navigation Co., Ltd. 81,240 54,903
Taiwan Polypropylene Co., Ltd. 63,416 54,018
Taiwan Secom 156,912 156,057
Taiwan Sogo Shinkong Security Co., Ltd. 45,150 22,760
Taiwan Styrene Monomer Corp. 169,000 129,017
* Taiwan Tea Corp. 220,917 53,258
Teco Electric & Machinery Co., Ltd. 225,000 77,925
Tecom, Ltd. 41,114 $ 17,035
Test-Rite International Co., Ltd. 82,541 44,500
* The Chinese Bank 464,000 106,369
* The Farmers Bank of China 569,720 186,450
The First Insurance Co., Ltd. 50,000 36,333
* Ton Yi Industrial Corp. 512,280 152,894
Tong Yang Industry Co., Ltd. 158,824 269,575
Transcend Information, Inc. 91,440 223,623
Tsann Kuen Enterprise Co., Ltd. 62,000 84,750
* TSRC Corp. 127,000 50,036
* Tung Ho Steel Enterprise Corp. 219,687 153,297
* Twinhead International Corp. 121,000 24,570
TYC Brother Industrial Co., Ltd. 43,680 47,880
* Tycoons Group Enterprise Co., Ltd. 72,000 21,419
U-Ming Marine Transport Corp. 174,000 219,207
* Union Bank of Taiwan 602,000 192,278
* Union Insurance Co., Ltd. 90,185 30,289
* Unitech Printed Circuit Board Corp. 62,000 38,862
* United Epitaxy Co., Ltd. 50,000 26,694
United Integration Service Co., Ltd. 44,450 55,055
* Universal Cement Corp. 63,000 23,237
* Universal Scientific Industrial Co., Ltd. 211,000 93,966
UPC Technology Corp. 171,680 65,109
* Usi Corp. 238,000 93,827
Walsin Technology Corp., Ltd. 98,793 83,688
* Waterland Financial Holdings 375,000 139,499
* Wei Chuan Food Corp. 70,000 29,321
Weltrend Semiconductor, Inc. 32,480 20,677
Wintek Corp. 199,800 266,579
* Wistron Corp. 199,000 130,214
World Peace Industrial Co., Ltd. 87,425 84,414
* WUS Printed Circuit Co., Ltd. 134,000 90,590
Ya Hsin Industrial Co., Ltd. 60,000 79,598
* Yeung Cyang Industrial Co., Ltd. 26,000 25,073
Yieh Phui Enterprise Co., Ltd. 280,580 192,918
Yosun Industrial Corp. 19,257 20,137
* Yuen Foong Yu Paper Manufacturing Co., Ltd. 438,863 240,918
Yung Chi Paint & Varnish Manufacturing Co., Ltd. 28,672 33,120
Yung Shin Pharmaceutical Industrial Co., Ltd. 33,000 24,836
Yung Tay Engineering Co., Ltd. 127,000 74,570
Zig Sheng Industrial Co., Ltd. 71,000 20,420
Zinwell Corp. 23,320 21,565
Zyxel Communication Corp. 73,515 154,662
---------------
TOTAL COMMON STOCKS
(Cost $17,055,682) 18,559,325
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Taiwan Dollar
(Cost $31,141) 31,333
---------------
RIGHTS/WARRANTS -- (0.0%)
* Yeun Chyang Industrial Co., Ltd.
Rights 05/31/04
(Cost $0) 2,484 0
---------------
TOTAL -- TAIWAN
(Cost $17,086,823) 18,590,658
---------------
</Table>
114
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
MALAYSIA -- (10.6%)
COMMON STOCKS -- (10.6%)
* A&M Realty Berhad 65,000 $ 23,595
ACP Industries Berhad 34,000 17,789
Affin Holdings Berhad 562,100 199,908
Amalgamated Industrial Steel Berhad 11,250 2,076
* AMBD Berhad 58,000 2,976
Amway (Malaysia) Holdings Berhad 92,000 165,959
Ann Joo Resources Berhad 83,000 34,552
* Anson Perdana Berhad 10,000 118
Antah Holding Berhad 23,000 939
* Aokam Perdana Berhad 733 12
APM Automotive Holdings Berhad 74,500 49,616
* Arab Malaysia Corp. Berhad 558,000 198,288
Asas Dunia Berhad 16,000 4,422
* Asia Pacific Land Berhad 70,000 4,791
Asiatic Development Berhad 447,100 205,927
* Avenue Assets Berhad 254,000 35,100
Ayer Hitam Planting Syndicate Berhad 6,000 3,789
Bandar Raya Developments Berhad 295,200 169,933
Batu Kawan Berhad 209,100 329,778
* Berjaya Capital Berhad 391,000 92,170
* Berjaya Land Berhad 465,000 96,680
* Bernas Padiberas Nasional Berhad 143,700 48,766
Bimb Holdings Berhad 208,200 93,054
Bintai Kinden Corp. Berhad 16,000 6,232
Bolton Properties Berhad 96,000 18,453
Boustead Holdings Berhad 233,000 107,393
Cahya Mata Sarawak Berhad 153,000 67,289
* Camerlin Group Berhad 58,000 13,647
Carlsberg Brewery Malaysia Berhad 111,600 308,337
Cement Industries of Malaysia Berhad 48,800 26,313
Chemical Co. of Malaysia Berhad 102,000 64,672
Chin Teck Plantations Berhad 33,000 46,845
* Cosway Corp. Berhad 113,000 26,940
Courts Mammoth Berhad 149,000 89,419
Cycle & Carriage Bintang Berhad 15,000 13,331
* Damansara Realty Berhad 65,000 1,803
* Datuk Keramik Holdings Berhad 24,000 784
* Digi.Com Berhad 232,000 285,779
* Dijaya Corp. Berhad 96,000 20,456
Diperdana Corp. Berhad 3,000 910
Diversified Resources Berhad 704,300 337,257
DNP Holdings Berhad 34,000 6,390
* E&O Property Development Berhad 563,200 100,729
Eastern & Oriental Berhad 72,000 17,247
* Econstates Berhad 55,500 16,840
Edaran Otomobil Nasional Berhad 173,600 404,359
Esso Malaysia Berhad 126,600 87,403
Europlus Berhad 25,700 4,866
* Faber Group Berhad 16,000 1,428
Far East Holdings Berhad 23,700 21,675
* FCW Holdings Berhad 24,000 2,524
FFM Berhad 82,600 186,838
Fraser & Neave Holdings Berhad 210,700 234,241
Globetronics Technology Berhad 796,400 112,173
Glomac Berhad 70,200 42,709
* Gold IS Berhad 77,000 27,362
* Golden Plus Holdings Berhad 16,000 2,881
* Gopeng Berhad 17,000 2,234
Guiness Anchor Berhad 192,300 $ 228,603
* Gula Perak Berhad 97,700 41,624
Guthrie Ropel Berhad 35,900 35,901
Hap Seng Consolidated Berhad 305,300 202,225
Heitech Padu Berhad 26,000 19,522
Highlands and Lowlands Berhad 411,700 401,040
* HLG Capital Berhad 12,000 3,734
Hock Seng Lee Berhad 44,160 34,831
Hong Leong Industries Berhad 148,100 182,979
Hong Leong Properties Berhad 259,100 36,521
Hume Industries (Malaysia) Berhad 93,867 113,550
Hwang-DBS (Malaysia) Berhad 97,500 44,395
IGB Corp. Berhad 706,850 226,829
IJM Corp. Berhad 255,500 312,991
IJM Plantations Berhad 37,600 11,468
* Insas Berhad 226,000 24,375
IOI Properties Berhad 127,000 239,279
Island & Peninsular Berhad 179,300 217,910
Jaya Jusco Stores Berhad 49,000 142,979
Jaya Tiasa Holdings Berhad 158,400 156,648
* Johan Holdings Berhad 30,000 2,716
John Hancock Life Insurance (M) Berhad 46,000 27,983
Johor Port Berhad 162,700 99,354
* Johore Tenggara Oil Palm Berhad 59,200 19,032
JT International Berhad 122,700 141,468
* K & N Kenanga Holdings Berhad 287,300 73,396
Keck Seng (Malaysia) Berhad 23,000 9,746
KFC Holdings (Malaysia) Berhad 64,000 62,303
Kian Joo Can Factory Berhad 72,900 55,869
Kim Hin Industry Berhad 52,000 38,346
KPJ Healthcare Berhad 62,000 23,513
* Kretam Holdings Berhad 15,000 3,915
* KSL Holdings Berhad 64,500 47,735
* Kub Malaysia Berhad 181,000 32,355
Kulim Malaysia Berhad 53,000 34,143
* Kumpulan Hartanah Selangor Berhad 166,500 28,481
Kwantas Corp. Berhad 68,600 96,655
Ladang Perbadanan-Fima Berhad 11,000 7,682
* Land & General Berhad 180,000 14,681
Landmarks Berhad 182,600 33,150
* Leader Universal Holdings Berhad 69,000 8,165
* Leong Hup Holdings Berhad 46,000 13,915
Lingkaran Trans Kota Holdings Berhad 251,600 176,304
Lingui Development Berhad 219,000 91,198
Lion Diversified Holdings Berhad 114,000 32,131
Lion Industries Corp. Berhad 260,700 66,556
* Liqua Health Corp. Berhad 173 29
MAA Holdings Berhad 85,933 123,341
Magnum 4D Berhad 80,000 85,559
Malayan Cement Berhad 1,453,050 300,423
Malayawata Steel Berhad 72,000 40,764
* Malaysia Aica Berhad 48,200 25,057
* Malaysia Building Society Berhad 35,000 6,808
Malaysia Industrial Development Finance Berhad 544,600 169,498
Malaysia Mining Corp. Berhad 732,900 386,906
Malaysia Smelting Corp. Berhad 23,000 44,785
Malaysian Mosaics Berhad 229,300 96,997
</Table>
115
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Malaysian National Reinsurance Berhad 80,500 $ 69,833
Malaysian Oxygen Berhad 99,100 310,225
Malaysian Plantations Berhad 622,500 372,439
* Malaysian Resources Corp. Berhad 94,666 18,443
* Mancon Berhad 12,000 2,747
Maruichi Malaysia Steel Tube Berhad 58,600 36,523
Matsushita Electric Co. (Malaysia) Berhad 23,884 64,073
MBM Resources Berhad 102,966 67,231
* Media Prima Berhad 61,533 29,181
* Merces Holdings Berhad 1,250 76
Metro Kajang Holdings Berhad 44,100 21,829
* Mieco Chipboard Berhad 69,000 43,825
* MTD Infraperdana Berhad 420,300 80,356
MUI Properties Berhad 75,200 6,526
* Mulpha International Berhad 739,950 123,746
* Multi-Purpose Holdings Berhad 457,000 132,431
* Mycron Steel Berhad 14,650 0
Naim Cendera Berhad 60,700 55,267
* Naluri Berhad 365,000 112,492
* Nam Fatt Berhad 9,000 1,630
Narra Industries Berhad 16,000 8,230
NCB Holdings Berhad 122,000 76,664
Negara Properties (Malaysia) Berhad 6,000 6,388
* New Straits Times Press (Malaysia) Berhad 131,700 135,144
* Nikko Electronics Berhad 36,600 14,528
NV Multi Corp. Berhad 25,900 21,649
* NWP Holdings Berhad 112,000 27,037
Nylex (Malaysia) Berhad 83,000 22,924
Oriental Holdings Berhad 322,200 330,476
OSK Holdings Berhad 301,333 130,659
OSK Property Holdings Berhad 3,393 975
Pacific & Orient Berhad 40,400 20,360
* Pacificmas Berhad 9,500 14,195
Pan Malaysia Cement Works Berhad 192,000 25,231
* Pan Malaysian Industries Berhad 818,000 19,435
* Pan Pacific Asia Berhad 12,000 284
* Panglobal Berhad 14,000 6,963
* PBA Holdings Berhad 52,400 20,655
Pelangi Berhad 268,700 43,427
* Pernas International Holdings Berhad 224,000 32,415
Petaling Garden Berhad 94,000 32,187
Phileo Allied Berhad 279,200 143,382
* Pilecon Engineering Berhad 42,000 940
PK Resources Berhad 14,000 2,723
PPB Group Berhad 145,333 248,664
* Prime Utilities Berhad 3,000 942
* Promet Berhad 52,000 3,968
* Puncak Niaga Holdings Berhad 231,200 165,510
* QL Resources Berhad 57,000 34,519
* QSR Brand Berhad 32,000 17,090
Ramatex Berhad 292,700 273,991
Ranhill Berhad 66,400 119,587
* Ranhill Utilities Berhad 107,800 71,207
* Rashid Hussain Berhad 182,000 34,991
* Rekapacific Berhad 55,000 0
Road Builders (Malaysia) Holdings Berhad 287,700 221,792
Sapura Telecommunications Berhad 64,846 37,193
Sarawak Enterprise Corp. Berhad 421,000 $ 147,313
* Saship Holdings Berhad 23,000 5,387
SCB Developments Berhad 45,000 53,319
Selangor Properties Berhad 171,800 101,656
Shangri-La Hotels (Malaysia) Berhad 114,000 35,005
Shell Refining Co. Federation of Malaysia Berhad 160,900 287,607
* SHL Consolidated Berhad 75,000 26,081
Sime Engineering Services Berhad 279,100 113,946
Sime UEP Properties Berhad 133,000 140,419
Southern Acids (Malaysia) Berhad 41,000 19,863
Southern Bank Berhad (Foreign) 188,750 131,615
Southern Steel Berhad 118,400 68,855
SP Setia Berhad 351,400 349,500
* SRI Hartemas Berhad 65,000 7,099
Star Publications (Malaysia) Berhad 229,300 380,122
* Subur Tiasa Holdings Berhad 65,000 45,442
Sunrise Berhad 91,200 65,545
* Sunway City Berhad 139,000 61,058
* Sunway Construction Berhad 59,000 40,263
* Sunway Holdings, Inc. Berhad 245,700 105,368
* Suria Capital Holdings Berhad 186,000 28,397
* Symphony House Berhad 13,714 5,774
Ta Ann Holdings Berhad 86,800 157,665
Ta Enterprise Berhad 797,000 153,169
Talam Corp. Berhad 12,850 3,956
Tan Chong Motor Holdings Berhad 393,900 122,183
* Tanah Emas Corp. Berhad 65,000 30,534
Tasek Corp. Berhad 37,000 25,058
* Time Dotcom Berhad 1,001,500 258,311
Top Glove Corp. Berhad 30,000 55,257
Tractors Malaysia Holdings Berhad 143,400 94,372
Tradewinds (Malaysia) Berhad 117,000 82,613
* Trengganu Development & Management Berhad 79,700 20,562
Tronoh Mines Malaysia Berhad 148,300 113,696
UAC Berhad 25,000 31,588
Uchi Technologies Berhad 177,500 85,566
UDA Holdings Berhad 81,000 31,779
* UEM World Berhad 745,100 224,695
Unico-Desa Plantations Berhad 79,000 38,428
Union Paper Holdings Berhad 70,000 16,592
* Uniphone Telecommunications Berhad 43,000 12,661
Unisem (M) Berhad 82,500 195,342
United Malacca Rubber Estates Berhad 47,500 43,228
United Malayan Land Berhad 13,000 3,858
United Plantations Berhad 101,700 125,612
* Utama Banking Group Berhad 122,000 31,911
Wah Seong Corp 164,000 70,406
* Wing Tiek Holdings Berhad 8,000 1,874
Worldwide Holdings Berhad 52,000 26,738
WTK Holdings Berhad 93,600 145,390
Yeo Hiap Seng (Malaysia) Berhad 47,300 23,622
* Yu Neh Huat Berhad 500 176
---------------
TOTAL COMMON STOCKS
(Cost $19,134,333) 18,048,034
---------------
</Table>
116
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
* FCW Holdings Berhad Warrants
11/11/13 8,000 $ 432
* Kulim Malaysia Berhad Rights
06/04/04 13,250 4,359
* Liqua Health Marketing Berhad
Warrants 09/09/08 34 2
* Mieco Chipboard Berhad Warrants
04/01/04 23,000 8,050
* OSK Property Holdings Berhad
Rights 06/28/04 1,696 0
* QSR Brand Berhad Warrants
01/24/07 12,800 2,869
---------------
TOTAL RIGHTS/WARRANTS
(Cost $605) 15,712
---------------
TOTAL -- MALAYSIA
(Cost $19,134,938) 18,063,746
---------------
BRAZIL -- (10.1%)
PREFERRED STOCKS -- (9.4%)
* Acesita SA 978,765,315 748,523
Alpargatas-Santista Textil SA 500,000 62,117
Bahia Sul Celulose SA 260,593 54,658
Banco Mercantil do Brasil SA 130,000 14,682
Brasileira de Petroleo Ipiranga 60,800,000 243,671
* Braskem SA 40,500,000 637,754
Centrais Electricas de Santa Catarin Celesc Series B 840,000 227,686
Compania Paranaense de Energia Series B 213,000,000 651,578
Confab Industrial SA 119,000 155,518
Coteminas Cia Tecidos Norte de Minas 6,977,102 459,287
Distribuidora de Produtos Petreleo Ipirangi SA 3,900,000 30,203
Duratex SA 13,400,000 264,844
* Electropaulo Electrecidade Metropolitana 28,790,000 452,985
Embraco SA 262,000 102,298
Embratel Participacoes SA 273,800,000 631,710
* Empressa Metropolitanade Aguas e Energia SA 24,000,000 37,018
Energetica do Ceara Coelce 72,000,000 99,903
* ENERSUL Empresa Energetjica de Mato Grosso do Sul SA Series B 13,156,000 35,214
Fertibras SA 3,400 20,845
Forca Luz Cataguazes Leopoldina Series A 23,400,000 10,571
Fras-Le Preferred 20,200 33,178
Globex Utilidades SA 25,268 66,044
* Gradiente Eletronica SA 2,600 3,675
* Industria de Bebidas Antarctica Polar SA 23,000 19,482
* Inepar SA Industria e Construcoes 9,900,001 1,406
Klabin SA 652,000 843,666
Lojas Americanas SA 68,290,369 572,722
Magnesita SA Series A 20,500,000 59,205
Magnesita SA Series C 202,338 570
Marcopolo SA 124,000 211,668
Metal Leve SA 3,400,000 124,524
Metalurgica Gerdau SA 59,302 $ 759,693
* Net Servicos de Communication SA 1,604,500 398,666
* Paranapanema SA 146,200,000 155,211
Perdigao SA NPV 47,900 421,965
Randon Participacoes SA 162,500 192,966
* Rasip Agro-Pastoril SA 51,000 3,785
* Refinaria de Petroleo Ipiranga SA 12,300,000 70,649
Ripasa SA Papel e Celulose 442,000 386,518
Sadia SA 585,000 739,981
Saraiva Livreiros Editores 4,000 11,617
* Sharp SA Equipamentos Eletronicos 30,200,000 195
Siderurgica Belgo-Mineira 1,000,000 222,652
Suzano de Papel e Celulose 248,383 1,025,912
Suzano Petroquimica SA 30,000 33,882
Tele Celular Sul Participacoes SA 405,908,039 517,372
Tele Centro Oeste Celular Participacoes SA 229,000,000 653,969
* Tele Leste Celular Participacoes SA 559,666,572 133,641
Tele Norte Celular Participacoes SA 549,505,027 97,524
Telemig Celular Participacoes SA 398,290,371 568,068
Telenordeste Celular Participacoes SA 408,041,513 492,441
Telesudeste Celular Participacoes SA 285,800,000 465,728
Tim Sul SA Preferred Series B 13,950,000 299,347
Ultrapar Participants 66,639,437 645,106
Uniao des Industrias Petroquimicas SA Series B 563,520 340,040
* Varig Participacoes Em Transportes 122,026 650
* Varig Particpacoes Em Servicos 116,823 109
* Varig SA Viacao Aerea Riograndense 16,000 4,956
Weg SA 280,100 641,726
---------------
TOTAL PREFERRED STOCKS
(Cost $14,370,746) 16,161,574
---------------
COMMON STOCKS -- (0.7%)
* Acos Especiais Itabira-Acesita Aces 42,900,000 30,593
* Acos Villares SA Avil 120,000 5,305
Avipal SA Avicultura e Agropecua 50,900,000 80,481
Eternit SA 120,000 10,339
Forjas Taurus SA 88,000 41,459
Metalurgica Gerdau SA 1,292 14,012
Petroquimica do Sul Copesul 18,200,000 898,548
* Rhodia Ster SA 640,780 24,812
Sao Paulo Alpargatas SA 510,000 29,622
---------------
TOTAL COMMON STOCKS
(Cost $1,185,597) 1,135,171
---------------
RIGHTS/WARRANTS -- (0.0%)
* Tele Celular Sul Participacoes SA
Rights 06/07/04 8,289,621 0
* Tele Nordeste Celular Participacoes
SA Rights 05/24/04 7,392,740 24
* Tim Sul SA Rights 05/19/04 243,591 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 24
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Brazilian Real
(Cost $3) 3
---------------
TOTAL -- BRAZIL
(Cost $15,556,346) 17,296,772
---------------
</Table>
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
TURKEY -- (7.6%)
COMMON STOCKS -- (7.6%)
* Adana Cimento Sanayi Ticaret A.S. 253,683,148 $ 166,050
* Ak Enerji A.S. 72,903,000 346,079
* Akal Tekstil A.S. 2,779,875 9,127
Akcansa Cimento Sanayi ve Ticaret A.S. 274,876,875 583,334
* Aksa 38,821,296 326,505
Aksigorta A.S. 285,150,627 674,484
* Aksu Iplik Dokuma ve Boya Apre Fab A.S. 4,477,695 6,969
* Aktas Elektrik Ticaret A.S. 370,000 36,963
* Alarko Holding 21,706,400 430,449
* Alarko Sanayii ve Ticaret A.S. 14,579,992 95,623
Alkim Alkali Kimya A.S. 23,650,000 95,605
* Alternatifbank A.S. 97,063,680 45,245
* Altinyildiz Mensucat ve Konfeksiyan Fabrikalari A.S. 21,960,000 28,563
* Anadolu Anonim Turk Sigorta Sirketi 122,999,220 131,762
Anadolu Cam Sanayii A.S. 250,675,663 622,762
* Anadolu Cam Sanayii A.S. 417,324 1,834
* Anadolu Isuzu Otomotiv Sanayi ve Ticaret A.S. Series C 15,586,000 91,980
* Ayen Enerji A.S. 17,941,000 122,489
* Bagfas Bandirma Gubre Fabrik 2,300,000 49,890
* Bandirma Vitaminli Yem Sanayii Ticaret A.S. 36,924,546 232,406
Bati Cimento A.S. 96,109,301 150,942
* Bekoteknik Sanayi A.S. 80,999,725 450,272
* Bolu Cimento Sanayi A.S. 111,833,881 128,556
Borusan 36,993,000 193,360
* Bossa Ticaret ve Sanayi Isletmeleri A.S. 128,217,000 112,080
* Brisa Bridgestone Sanbanci Lastik San & Tic A.S. 5,857,000 189,240
Bursa Cimento Fabrikasi A.S. 28,840,000 217,128
* Carsi Buyuk Magazacilik 122,086,500 100,119
Celebi Hava Servisi A.S. 18,903,000 114,692
CIMSA A.S. (Cimento Sanayi ve Ticaret) 228,659,400 443,008
* Deva Holding A.S. 21,599,332 61,671
* Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,993,600 81,967
* Eczacibasi Ilac 49,338,000 60,044
* Eczacibasi Ilac Sanayi Issue 197,352,000 220,813
* Eczacibasi Yapi Gere 116,012,250 116,070
* Ege Seramik Co., Inc. 44,835,048 29,273
* Egeplast Plastik Ticaret ve Sanayi A.S. 7,720,000 7,964
* Finansbank 523,018,021 515,643
* Global Menkul Degerler A.S. 31,200,000 22,117
* Global Menkul Degerler A.S. 15,376,164 10,548
* Goldas Kuyumculuk Sanayi A.S. 88,799,600 42,748
* Goltas Cimento 7,128,000 47,043
* Good Year Lastikleri A.S. 14,659,125 121,321
* GSD Holdings A.S. 62,399,999 21,233
* Gubre Fabrikalari Ticaret A.S. 8,436,960 13,456
* Gunes Sigorta A.S. 68,999,261 45,887
* Hektas Ticaret A.S. 25,477,234 15,783
* Ihlas Holding 285,533,822 220,847
* Is Gayrimenk 289,898,200 272,854
* Isiklar Ambalaj Sansuii ve Ticaret A.S. 2,685,000 $ 3,176
* Istanbul Motor Piston ve Pim Sanayi A.S. 229,000 28,135
* Izmir Demir Celik 57,269,250 66,299
Karsu Tekstil Sanayii ve Ticaret A.S. 5,680,000 15,737
Kartonsan 1,698,750 83,644
* Kav Orman Sanayii A.S. 4,654,650 10,781
* Kerevitas Gida Sanayi ve Ticaret A.S. 2,532,000 6,536
Konya Cimento 4,921,000 54,162
* Kordsa Sabanci Dupont Endustriye Iplik ve Kord Bezi Sanayi
ve Ticaret A.S. 146,305,500 198,445
* Kutahya Porslen Sanayii A.S. 2,617,000 31,216
* Mardin Cimento 38,235,750 134,209
* Marshall Boya ve Vernik Sanayii A.S. 2,186,000 26,381
* Marshall Boya ve Vernik Sanayii A.S. 2,186,000 25,769
* Medya Holdings A.S. Series C 15,849,000 72,833
* Menderes Tekstil Sanayi ve Ticaret A.S. 104,549,000 48,792
* Merko Gida Sanayi ve Ticaret A.S. Series A 10,580,000 7,188
* Milliyet Gazetecilik A.S. 28,557,680 108,508
* Milpa Ticari ve Sinai Urunler Pazarlama 13,329,360 9,519
* Mudurnu Tavukculuk A.S. 1,740,000 522
* Mutlu Aku 1,527,000 11,304
* Nergis Holding A.S. 1,784,000 4,396
* Net Holding A.S. 15,942,722 12,487
* Net Turizm Ticaret ve Sanayi 16,830,000 14,289
* Netas Northern Electric Telekomunikasyon A.S. 8,756,500 166,698
* Olmuksa Mukavva Sanayi ve Ticaret A.S. 20,976,000 28,514
* Otobus Karoseri Sanayi A.S. 44,321,167 166,879
* Pinar Sut Mamulleri Sanayii A.S. 12,143,250 37,908
* Raks Elektroniks A.S. 2,730,000 2,289
* Sanko Pazarlama Ithalat Ihracat A.S. 48,903,000 128,002
* Sarkuysan Elektrolitik Bakir Sanayi A.S. 10,999,662 14,949
* Sarkuysan Elektrolitik Bakir Sanayi A.S. Issue 04 43,998,648 53,332
* Sasa Suni ve Sentetik Elyat Sanayi A.S. 310,985,000 307,680
* Sonmez Filament Sentetik Iplik ve Elyaf Sanayi A.S. 6,300,000 5,006
* T. Tuborg Bira ve Malt Sanayi A.S. 10,974,754 62,060
* Tansas Izmir Buyuksehir Belediyesi Ic ve dis Ticaret A.S. 365,309,000 294,628
* Tat Konserve Sanayii A.S. 63,787,500 93,117
* Tekstil Bankasi A.S. 121,274,079 34,779
* Teletas Telekomunikasyon Endustri Ticaret A.S. 8,799,000 68,168
Tire Kutsan Oluklu Mukavvakutu ve Kagit Sanayi A.S. 39,939,000 63,398
Trakya Cam Sanayii A.S. 154,764,866 350,122
* Turk Demir Dokum Fabrikalari 60,749,982 105,132
Turk Dis Ticaret Bankasi A.S. 334,067,850 410,033
* Turk Siemens Kablo ve Elektrik Sanayi A.S. 9,925,500 69,357
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
* Turk Sise de Cam Fabrikalari A.S. Issue 04 74,340,010 $ 121,301
* Turk Sise ve Cam Fabrikalari A.S. 179,550,063 302,426
* Ulker Gida Sanayi Ve Ticaret 101,003,282 413,700
USAS (Ucak Servisi A.S.) 11,938,000 128,841
* Uzel Makina Sanayi A.S. 41,851,000 177,841
* Vakif Finansal Kiralama A.S. 5,450,302 6,642
* Yunsa Yunlu Sanayi ve Ticaret A.S. 10,027,800 8,708
* Zorlu Enerji Elektrik Uretimi Otoproduktor Gruba A.S. 98,400,000 356,973
---------------
TOTAL -- TURKEY
(Cost $10,681,810) 13,077,609
---------------
ISRAEL -- (7.3%)
COMMON STOCKS -- (7.3%)
* Afcon Industries 159 1,745
Albad Massuot Yitzhak, Ltd. 7,600 120,951
Alony Hetz Properties & Investments, Ltd. 46,080 86,204
American Israeli Paper Mills, Ltd. 4,542 242,610
* Azorim Investment Development & Construction Co., Ltd. 40,322 347,470
* Baran Group, Ltd. 9,500 55,493
* Beit Shemesh Engines Holdings (1997), Ltd. 3,351 10,988
Blue Square Israel, Ltd. 45,312 485,735
* C Mer Industries, Ltd. 7,900 77,446
Danya Cebus, Ltd. 19,413 92,633
Delek Automotive Systems, Ltd. 96,288 697,006
* Delek Drilling 599,731 251,431
Delta Galil Industries, Ltd. 27,362 411,522
* Direct Insurance - I.D.I. Insurance Co., Ltd. 59,860 116,056
* Discount Mortgage Bank, Ltd. 1,320 109,589
* Elbit Medical Imaging 27,990 210,890
Elco Industries (1975) 5,476 28,562
Electra Consumer 22,800 274,169
Electra Israel, Ltd. 3,700 274,679
* Electronics Line, Ltd. 3,169 22,199
* Elron Electronic Industries, Ltd. 34,325 453,233
* Feuchtwanger Investments 1984, Ltd. 4,200 2,301
FMS Enterprises Migun, Ltd. 7,300 215,353
* Formula Systems (1985), Ltd. 12,170 230,706
* Formula Vision Technologies, Ltd. 1,604 1,803
Frutarom Industries (1995), Ltd. 48,400 252,629
Gachelet Invetment Co., Ltd. 653 33,132
* Granite Hacarmel Investments, Ltd. 19,200 31,882
* Housing & Construction Holding Co., Ltd. 473,282 316,153
Industrial Building Corp., Ltd. 284,973 292,967
Investec Bank, Ltd. 3,222 91,886
* Israel Land Development Co., Ltd. 26,000 89,725
* Israel Petrochemical Enterprises, Ltd. 32,500 150,525
* Israel Salt Industries 38,139 117,462
Ituran 7,011 134,836
* J.O.E.L. Jerusalem Oil Exploration, Ltd. 6,178 34,122
* Knafaim-Arkia Holdings, Ltd. 14,161 179,337
* Koor Industries, Ltd. 19,500 739,512
* Leader Holding & Investments, Ltd. 11,500 14,131
* Lipman Electronic Engineering, Ltd. 12,968 614,645
* Magic Software Enterprises, Ltd. 24,908 $ 114,193
Maman Cargo Terminals & Handling, Ltd. 33,600 45,966
* Matav Cable Israel 35,613 332,067
Medtechnica, Ltd. 14,470 66,318
* Mehadrin, Ltd. 3,887 68,253
* Metalink, Ltd. 22,247 137,548
Middle East Tube Co. 19,000 24,873
Miloumor, Ltd. 12,658 48,526
Mivtach Shamir Holdings, Ltd. 12,000 162,911
* Naphtha Israel Petroleum Corp. 105,630 15,690
* Nice Systems, Ltd. 15,600 342,578
* OCIF Investments and Development, Ltd. 1,100 14,553
Ormat Industries, Ltd. 75,100 324,394
Property and Building Corp., Ltd. 4,894 418,539
* Rapac Electronics, Ltd. 6,000 16,744
* Rapac Technologies (2000), Ltd. 6,000 15,771
* Retalix, Ltd. 13,300 261,467
* Scitex Corp., Ltd. 46,509 263,495
* Shrem Fudim Kelner & Co., Ltd. 6,600 17,251
Strauss Elite, Ltd. 44,000 403,612
Suny Electronic Inc., Ltd. 37,700 215,211
Tadiran Communications, Ltd. 12,806 438,801
* Team Computer & Systems, Ltd. 1,400 25,384
Tefahot Israel Mortgage Bank, Ltd. 33,330 309,075
Telsys, Ltd. Electronic Engineering 5,300 29,945
* Tower Semiconductor, Ltd. 59,093 298,062
* Union Bank of Israel, Ltd. 55,564 184,263
Ytong Industries, Ltd. 52,500 53,290
---------------
TOTAL COMMON STOCKS
(Cost $8,415,304) 12,562,498
---------------
RIGHTS/WARRANTS -- (0.0%)
* Alony Hetz Properties & Investments,
Ltd. Warrants 11/20/07 16,263 6,985
* Delek Drilling Warrants 07/31/04 27,376 5,679
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 12,664
---------------
TOTAL -- ISRAEL
(Cost $8,415,304) 12,575,162
---------------
MEXICO -- (6.9%)
COMMON STOCKS -- (6.9%)
* Cintra S.A. de C.V. 137,000 24,011
* Consorcio Ara S.A. 599,000 1,646,640
* Consorcio Hogar S.A. de C.V. Series B 325,000 105,091
Controladora Comercial Mexicana S.A. de C.V. Series B 1,326,100 1,557,178
* Corporacion Geo S.A. de C.V. Series B 1,330,000 1,713,272
* Corporacion Interamericana de Entramiento S.A. de C.V.
Series B 703,769 1,486,293
* Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,623 149
Corporativo Fragua S.A. de C.V. Series B 31 82
* Desc S.A. de C.V. Series B 981,833 288,230
* Empaques Ponderosa S.A. de C.V. Series B 206,000 10,831
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
* Empresas ICA Sociedad Controladora S.A. de C.V. 6,256,350 $ 1,924,356
Empresas la Moderna S.A. de C.V. Series A 610,700 129,509
* GPo Iusacell 51,405 62,975
Gruma S.A. de C.V. Series B 138,000 231,582
Grupo Casa Saba S.A. de C.V. 39,700 51,141
Grupo Cementos de Chihuahua, S.A. de C.V. 398,000 652,202
Grupo Corvi S.A. de C.V. Series L 100,000 16,562
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 9,441 1,870
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 23,928 5,032
* Grupo Industrial Maseca S.A. de C.V. Series B 446,000 195,612
Grupo Industrial Saltillo Unique Series 90,600 148,466
* Grupo Nutrisa S.A. de C.V. 188 42
Grupo Posadas S.A. de C.V. Series L 199,000 115,095
* Grupo Qumma S.A. de C.V. Series B 105,334 1,662
* Grupo Tribasa S.A. de C.V. 67,110 0
Herdez Common Series 107,000 46,883
* Hylsamex S.A. de C.V. Series B 82,000 115,690
Industrias Bachoco S.A. de C.V.
(Certificate Representing Series B
and Series L) 66,000 106,997
* Industrias S.A. de C.V. Series B 33,000 151,821
* Jugos del Valle S.A. de C.V. Series B 37,900 59,848
* Movilaccess S.A. de C.V. Series B 13,489 44,918
Nadro S.A. de C.V. Series B 242,967 128,174
* Sanluis Corporacion S.A. de C.V.
(Certificates representing 1 share
Series B, 1 share Series C & 1 share Series D) 3,300 1,345
Vitro S.A. 811,000 852,824
---------------
TOTAL COMMON STOCKS
(Cost $8,982,127) 11,876,383
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Mexican Peso
(Cost $8,636) 6,893
---------------
TOTAL -- MEXICO
(Cost $8,990,763) 11,883,276
---------------
THAILAND -- (6.5%)
COMMON STOCKS -- (6.5%)
A.J. Plast Public Co., Ltd. (Foreign) 166,500 18,222
* Adkinson Securities Public Co., Ltd. (Foreign) 138,150 32,179
* Advance Agro Public Co., Ltd. (Foreign) 809,000 448,669
Aeon Thana Sinsap (Thailand) Public Co., Ltd. 28,500 91,324
Amarin Plaza Public Co., Ltd. (Foreign) 523,680 28,914
Amata Corp. Public Co., Ltd. 782,800 227,682
Asian Property Development Public Co., Ltd. (Foreign) 1,435,000 148,558
Bangkok Dusit Medical Services Public Co., Ltd. (Foreign) 250,000 51,454
Bangkok Expressway Public Co., Ltd. (Foreign) 1,170,400 $ 675,064
Bangkok Insurance Public Co., Ltd. 35,880 212,255
* Bangkok Land Co., Ltd. (Foreign) 4,830,900 111,931
* Bangkok Rubber Public Co., Ltd. (Foreign) 14,600 893
Banpu Public Co., Ltd. (Foreign) 133,600 405,048
Big C Supercenter Public Co., Ltd. (Foreign) 87,000 38,386
* Book Club Finance Public Co., Ltd. 157,200 24,992
Cal-Comp Electronics (Thailand) Public Co., Ltd. 173,800 139,229
* Capetronic International (Thailand) Public Co., Ltd. (Foreign) 1,020,399 51,812
Capital Nomura Securities Public Co., Ltd. (Foreign) 46,000 86,172
* Central Paper Industry Public Co., Ltd. (Foreign) 19,800 1,025
Central Pattana Public Co., Ltd. (Foreign) 490,000 107,493
Central Plaza Hotel Public Co., Ltd. (Foreign) 79,000 28,625
* Ch Karnchang Public Co., Ltd. (Foreign) 797,400 257,479
Charoong Thai Wire & Cable Public Co., Ltd. 130,000 29,800
Compass East Ind-Foreign 122,000 24,508
* DBS Thai Danu Bank Public Co., Ltd. (Foreign) 1,306,000 101,724
Dynasty Ceramic Public Co., Ltd. 232,500 115,190
* Eastern Star Real Estate Public Co., Ltd. (Foreign) 1,537,600 20,466
Eastern Water Resources Development & Management Public
Co., Ltd. (Foreign) 90,100 111,043
Fancy Wood Industries Public Co., Ltd. 260,800 33,106
* GFPT Public Co., Ltd. 71,400 25,871
GMM Grammy Public Co., Ltd. (Foreign) 460,000 179,147
* Golden Land Property Development Public Co., Ltd. (Foreign) 485,616 114,312
Hana Microelectronics Public Co., Ltd. (Foreign) 73,894 227,674
Hermraj Land & Development Public Co., Ltd. 3,087,400 75,340
Home Product Center Public Co., Ltd. 417,900 45,117
ICC International Public Co., Ltd. 155,000 135,630
* International Broadcasting Corp. Public Co., Ltd. (Foreign) 408,170 179,084
* International Engineering Public Co., Ltd. (Foreign) 20,000 503
* ITV Public Co., Ltd. 254,000 93,912
* Jasmine International Public Co., Ltd. (Foreign) 7,000,000 151,836
* K.R. Precision Public Co., Ltd. (Foreign) 320,598 18,650
Kang Yong Electric Public Co., Ltd. (Foreign) 7,200 9,672
KCE Electronics Public Co., Ltd. (Foreign) 204,000 54,809
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
* Keppel Thai Properties Public Co., Ltd. 8,360 $ 828
KGI Securities One Public Co., Ltd. (Foreign) 1,070,446 102,902
Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 32,200 41,272
Loxley Public Co., Ltd. (Foreign) 958,120 87,853
LPN Development Public Co., Ltd. (Foreign) 340,505 23,668
MBK Development Public Co., Ltd. 114,000 140,498
* Media of Medias Public Co., Ltd. (Foreign) 9,100 3,701
MFC Asset Management Public Co., Ltd. (Foreign) 5,000 1,972
MK Real Estate Development Public Co., Ltd. (Foreign) 472,260 26,541
Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 9,900 64,910
* Nakornthai Strip Mill Public Co., Ltd. 1,902,400 83,936
Nation Multimedia Group Public Co., Ltd. (Foreign) 146,259 53,716
National Finance and Securities Public Co., Ltd. (Foreign) 476,800 173,937
National Petrochemical Public Co., Ltd. (Foreign) 447,300 992,285
Noble Development Public Co., Ltd. 260,100 57,700
* Pacific Assets Public Co., Ltd. (Foreign) 141,000 20,332
* Padaeng Industry Public Co., Ltd. (Foreign) 73,800 25,649
Patum Rice Mill & Granary Public Co., Ltd. (Foreign) 5,500 4,338
Phatra Insurance Public Co., Ltd. 10,000 40,424
Phoenix Pulp and Paper Public Co., Ltd. (Foreign) 62,800 151,698
* Prasit Development Public Co., Ltd. (Foreign) 29,700 1,098
Quality Houses Public Co., Ltd. (Foreign) 3,370,500 95,540
Regional Container Lines Public Co., Ltd. 482,900 171,402
* Robinson Department Store Public Co., Ltd. (Foreign) 18,525 1,827
Saha Pathana Inter-Holding Public Co., Ltd. 350,000 114,740
Saha-Union Public Co., Ltd. (Foreign) 279,500 141,231
* Samart Corporation Public Co., Ltd. 539,500 94,416
Sammakorn Public Co., Ltd. (Foreign) 75,000 4,770
Sansiri Public Co., Ltd. 780,566 107,744
Seamico Securities Public Co., Ltd. 448,722 111,710
Serm Suk Public Co., Ltd. (Foreign) 10,000 6,039
Shinawatra Satellite Public Co., Ltd. (Foreign) 307,400 96,986
Siam Food Products Public Co., Ltd. (Foreign) 9,000 17,747
Siam Industrial Credit Public Co., Ltd. 352,862 61,318
Siam Makro Public Co., Ltd. (Foreign) 136,800 161,854
Sino-Thai Engineering & Construction Public Co., Ltd.
(Foreign) 502,100 172,028
Sri Trang Agro Industry Public Co., Ltd. (Foreign) 30,496 26,685
Srithai Superware Public Co., Ltd. (Foreign) 16,400 2,870
* Standard Chartered Nakornthon Bank Public Co., Ltd. (Foreign) 54 $ 4,392
* STP & I Public Co., Ltd. 138,700 7,453
* Sun Tech Group Public Co., Ltd. (Foreign) 27,200 1,877
Supalai (Forign) 346,000 26,609
SVI Public Co., Ltd. 122,266 39,781
* Tanayong Public Co., Ltd. (Foreign) 261,000 6,433
TCJ Motor Public Co., Ltd. (Foreign) 730 828
* Telecomasia Corp. Public Co., Ltd. (Foreign) 765,100 115,039
* Thai Gypsum Public Co., Ltd. 650,000 108,146
Thai Plastic and Chemicals Public Co., Ltd. (Foreign) 40,500 179,689
Thai Reinsurance Public Co., Ltd. (Foreign) 660,300 69,334
Thai Rung Union Car Public Co., Ltd. (Foreign) 165,000 62,226
Thai Stanley Electric (Thailand) Public Co., Ltd. (Foreign) 16,000 103,328
Thai Vegetable Oil-Foreign 482,600 141,556
Thai Wacoal Public Co., Ltd. 78,000 59,601
Thai-German Ceramic Industry Public Co., Ltd. (Foreign) 361,000 46,271
* Tipco Asphalt Public Co., Ltd. (Foreign) 95,200 67,464
TIPCO Foods (Thailand) Public Co., Ltd. 147,620 18,557
TISCO Finance Public Co., Ltd. (Foreign) 745,900 510,198
* TPI Polene Public Co., Ltd. (Foreign) 458,476 367,278
* TT&T Public Co., Ltd. (Foreign) 1,020,000 96,544
* Tuntex (Thailand) Public Co., Ltd. (Foreign) 126,728 5,998
* United Communication Industry Public Co., Ltd. (Foreign) 139,000 150,752
United Palm Oil Industry Public Co., Ltd. 21,000 21,093
Vanachai Group Co-Foreign 953,066 253,712
* Vinythai Public Co., Ltd. (Foreign) 861,634 244,239
---------------
TOTAL COMMON STOCKS
(Cost $8,462,706) 11,131,363
---------------
RIGHTS/WARRANTS -- (0.0%)
* Bangkok Dusit Medical Services
Public Co., Ltd. (Foreign) Rights 06/25/04 8,333 483
* Bangkok Land (Foreign) Warrants 2006 217,330 0
* Ch Karnchang Public Co., Ltd. Warrants 12/06 125,600 25,541
* Seamico Securities Public Co., Ltd. (Foreign)
Warrants 12/02/04 13,680 0
* Seamico Securities Public Co., Ltd.
(Foreign) Warrants 2008 98,500 13,596
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 39,620
---------------
TOTAL -- THAILAND
(Cost $8,462,706) 11,170,983
---------------
</Table>
121
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
INDONESIA -- (6.0%)
COMMON STOCKS -- (6.0%)
* PT Apac Centretex Corporation Tbk 122,000 $ 1,973
* PT Argha Karya Prima Industry Tbk 90,666 7,087
* PT Artha Graya Investama Sentral Tbk 4,773,000 51,331
PT Asahimas Flat Glass Co., Ltd. 1,271,000 255,832
PT Astra Agro Lestari Tbk 6,656,000 1,796,401
PT Astra Graphia Tbk 4,549,000 122,740
* PT Bank NISP Tbk 13,832,920 762,519
* PT Batu Buana 77,715 670
PT Berlian Laju Tanker Tbk 7,383,600 734,381
PT Bhakti Investama Tbk 9,031,500 287,573
PT Branta Mulia Tbk 66,000 5,515
* PT Budi Acid Jaya Tbk 1,449,000 14,106
PT Charoen Pokphand Indonesia Tbk 3,406,500 84,838
* PT Ciputra Development Tbk 161,250 5,133
PT Citra Marga Nusaphala Persada 6,649,500 336,955
* PT Clipan Finance Indonesia Tbk 3,133,000 105,379
PT Dankos Laboratories Tbk 6,022,800 422,518
* PT Davomas Adabi Tbk 4,192,000 266,609
* PT Dharmala Intiland 277,400 2,247
PT Dynaplast Tbk 1,038,000 170,675
PT Enseval Putera Megatrading Tbk 6,380,000 279,190
* PT Eterindo Wahanatama Tbk 397,000 6,007
* PT Ever Shine Textile Tbk 4,029,640 40,188
* PT Gajah Tunggal Tbk 236,000 13,363
* PT GT Petrochem Industries Tbk 918,000 38,324
* PT Hero Supermarket Tbk 33,000 3,563
* PT Indal Aluminium Industry 47,000 709
PT Indorama Synthetics Tbk 2,211,000 100,411
* PT Jakarta International Hotel and Development Tbk 790,000 19,236
* PT Jaya Real Property 393,500 69,968
PT Kalbe Farma Tbk 25,907,600 1,006,919
* PT Karwell Indonesia 138,000 4,947
* PT Kawasan Industry Jababeka Tbk 43,401,000 375,127
* PT Keramika Indonesia Assosiasi Tbk 100,000 1,887
PT Komatsu Indonesia Tbk 860,000 119,495
PT Lautan Luas Tbk 1,887,500 46,781
PT Matahari Putra Prima Tbk Foreign 2,609,000 140,892
PT Mayorah Indah 2,473,500 246,923
* PT Metrodata Electronics Tbk 3,981,000 32,219
* PT Modern Photo Tbk 40,000 2,711
* PT Mulia Industrindo 542,000 12,836
PT Mustika Ratu Tbk 723,000 31,199
* PT Pakuwon Jati Tbk 63,000 2,412
* PT Panasia Indosyntec Tbk 79,000 3,364
PT Panin Insurance Tbk 7,979,000 205,996
* PT Prasidha Aneka Niaga Tbk 84,000 951
PT Pudjiadi Prestige, Ltd. Tbk 45,500 920
* PT Putra Sejahtera Pioneerindo 29,000 1,180
* PT Rig Tenders Indonesia Tbk 178,000 133,645
PT Selamat Semp Tbk 1,920,000 50,897
* PT Semen Cibinong Tbk 702,000 23,077
* PT Sinar Mas Agro Resources and Technology Tbk 87,792 26,292
PT Summarecon Agung Tbk 6,332,000 307,947
* PT Sunson Textile Manufacturer Tbk 343,000 3,940
* PT Suparma Tbk 2,400,000 46,495
* PT Surabaya Agung Industri Pulp & Paper 64,500 452
* PT Surya Dumai Industri Tbk 3,298,500 $ 121,804
* PT Suryamas Dutamakmur 125,000 911
PT Tempo Scan Pacific 471,500 353,425
* PT Texmaco Jaya Tbk 93,000 29,580
PT Timah Tbk 1,701,000 357,971
* PT Trias Sentosa Tbk 9,198,400 193,523
PT Trimegah Sec Tbk 9,961,000 145,636
PT Tunas Ridean Tbk 1,987,000 72,735
PT Ultrajaya Milk Industry & Trading Co. 390,000 16,387
PT Unggul Indah Corp. Tbk 48,239 12,157
* PT United Tractors 1,128,960 139,780
* PT Wicaksana Overseas International 28,560 762
---------------
TOTAL -- INDONESIA
(Cost $8,401,293) 10,279,616
---------------
POLAND -- (4.0%)
COMMON STOCKS -- (4.0%)
* Amica Wronki SA 18,410 219,619
* Budimex SA 28,076 346,729
* Cersanit-Krasnystaw SA 22,217 568,274
* Computerland SA 14,630 454,902
Debica SA 19,184 660,176
* Echo Investment SA 19,155 428,928
* Fabryki Mebli Forte SA 39,475 143,989
* Farmacol SA 39,250 286,331
* Huta Ferrum SA 309 522
* Impexmetal SA 23,067 202,975
Kroscienskie Huty Szkla Krosno SA 2,000 56,629
* Kutnowskie Zaklady Farmaceutyczne Polfa SA 3,498 302,773
Lentex SA 13,464 104,686
* Mostostal Export SA 42,087 19,028
* Mostostal Siedlce SA 17,520 60,255
* Mostostal Warszawa SA 18,600 65,550
* Mostostal Zabrze Holding SA 18,293 5,462
* Netia Holdings SA 43,672 48,949
* Ocean Company SA 8,530 270
* Optimus Technologie 7,500 20,951
Orbis SA 25,000 154,918
Polifarb Cieszyn Wroclaw SA 98,435 266,097
Polska Grupa Farmaceutyczna SA 22,323 326,151
* Prosper SA 12,770 55,559
Przedsiebiorstwo Farmaceutyczne JELFA SA 14,330 258,893
* Przedsiebiorstwo Telekomunikacyjne Szeptel A.S. 16,774 18,020
Raciborska Fabryka Kotlow SA 37,758 140,498
* Softbank SA 44,730 247,912
* Sokolowskie Zaklady Miesne SA 217,420 332,796
* Stalexport SA 11,514 9,582
* Ster-Projekt SA 20,650 78,855
* Zaklad Przetworstwa Hutniczego Stalprodukt SA 8,169 110,536
Zaklady Metali Lekkich Kety SA 19,615 630,654
* Zaklady Tluszcowe Kruszwica SA 23,610 242,897
---------------
TOTAL -- POLAND
(Cost $4,254,114) 6,870,366
---------------
</Table>
122
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
HUNGARY -- (2.6%)
COMMON STOCKS -- (2.6%)
* Danubius Hotel & Spa RT 58,038 $ 1,127,881
Delmagyarorszagi Aramszolgaltato Demasz RT 15,581 870,034
* Fotex First Hungarian-American Photo Service Co. 749,391 545,350
Globus Konzervipari RT 92,126 380,252
* Mezogazdasagi Gepgyarto Reszvenytarsasag (Mezogep) 67,414 324,636
* North American Business Industries RT 51,024 215,902
* Pannonplast P.L.C. 39,441 303,215
* Raba Hungarian Railway Carriage & Machine Works 143,528 522,670
* Synergon Information Systems Ltd., Budapest 30,190 59,952
* Tiszantuli Aramszolgaltato RT Titasz, Debrecen 1,801 88,333
* Zwack Unicum Liqueur Industry & Trading Co., Ltd. 1,100 39,822
---------------
TOTAL -- HUNGARY
(Cost $4,893,648) 4,478,047
---------------
PHILIPPINES -- (2.4%)
COMMON STOCKS -- (2.4%)
Alaska Milk Corp. 1,404,000 74,143
* Bacnotan Consolidated Industries, Inc. 122,234 21,867
* Bankard, Inc. 412,000 6,731
* Belle Corp. 20,937,000 183,716
* C & P Homes, Inc. 6,477,000 19,714
* Digital Telecommunications (Philippines), Inc. 20,973,000 243,553
EDSA Properties Holdings, Inc. 1,759,970 15,585
* EEI Corp. 1,108,000 5,666
* Fil-Estate Land, Inc. 3,170,700 14,823
* Filinvest Development Corp. 4,664,500 78,854
* Filinvest Land, Inc. 25,798,050 479,740
* First E-Bank Corp. 77,000 1,033
Ginebra San Miguel, Inc. 1,065,200 551,888
* Global Equities, Inc. 886,462 799
* House of Investments, Inc. 732,000 4,714
International Container Terminal Services, Inc. 4,593,837 250,777
* Ionics, Inc. 769,825 16,360
* iVantage Corp. 593,400 3,985
Keppel Philippines Marine, Inc. 610,000 2,946
* Lepanto Consolidated Mining Co. Series B 1,925,000 8,446
* Mabuhay Holdings Corp. 516,000 1,200
* Macroasia Corp. 2,237,500 22,615
* Manila Jockey Club, Inc. 65,311 8,763
* Megaworld Properties & Holdings, Inc. 21,843,500 438,408
* Metro Pacific Corp. 45,763,860 213,325
* Negros Navigation Co., Inc. 31,100 206
* Philex Mining Corp. Series B 150,000 965
* Philippine Bank of Communications 14,726 22,392
* Philippine National Bank 929,975 396,208
* Philippine National Construction Corp. 173,000 10,058
Philippine Savings Bank 317,212 153,215
* Picop Resources, Inc. 1,125,000 725
* Pilipino Telephone Corp. 1,692,000 $ 53,833
* Prime Orion Philippines, Inc. 2,920,000 8,346
Republic Glass Holding Corp. 507,500 15,161
* RFM Corp. 2,378,934 27,054
Robinson's Land Corp. Series B 3,402,000 108,328
Security Bank Corp. 320,842 96,127
SM Development Corp. 4,971,000 94,492
Soriano (A.) Corp. 3,430,211 56,489
Union Bank of the Philippines 47,500 19,546
* United Paragon Mining Corp. 322,500 519
* Universal Rightfield Property Holdings, Inc. 1,062,000 532
Universal Robina Corp. 3,158,100 378,318
* Urban Bank, Inc. 5,658 53
* Victorias Milling Co., Inc. 139,680 2,174
* Vitarich Corp. 176,000 819
---------------
TOTAL -- PHILIPPINES
(Cost $6,291,017) 4,115,211
---------------
ARGENTINA -- (1.3%)
COMMON STOCKS -- (1.2%)
* Acindar Industria Argentina de Aceros SA Series B 459,031 442,533
* Alpargatas SA Industrial y Comercial 1,007 502
* Banco del Sud Sociedad Anonima Series B 89,000 78,651
* Banco Suquia SA 76,789 12,215
* Capex SA Series A 26,370 26,905
* Celulosa Argentina SA Series B 6,375 4,609
* Central Costanera SA Series B 50,000 63,949
* Central Puerto SA Series B 61,000 31,364
* CINBA SA (Cia de Bebidao y Alimentos) 15,000 7,809
Cresud SA Comercial Industrial Financiera y Agropecuaria 155,401 154,810
DYCASA SA (Dragados y Construcciones Argentina) Series B 23,052 19,483
* Ferrum SA de Ceramica y Metalurgica Series B 25,200 25,104
* Fiplasto SA Comercial y Industrial Series B 6,000 4,589
* Garovaglio y Zorraquin SA 14,160 1,957
* Importadora y Exportadora de la Patagonia Series B 11,500 48,782
* Introductora de Buenos Aires SA Series A 9,832 6,161
* IRSA Inversiones y Representaciones SA 306,635 214,813
* Juan Minetti SA 131,531 134,412
* Ledesma S.A.A.I. 387,128 223,929
* Polledo SA Industrial y Constructora y Financiera 88,891 13,397
* Quimica Estrella SA Series B 27,200 9,178
* Renault Argentina SA 624,451 98,328
* Sol Petroleo SA 50,662 8,303
Solvay Indupa S.A.I.C. 370,500 307,178
---------------
TOTAL COMMON STOCKS
(Cost $2,583,593) 1,938,961
---------------
</Table>
123
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Argentine Peso
(Cost $214,576) $ 215,240
---------------
PREFERRED STOCKS -- (0.0%)
* Quimica Estrella New Preferred Shares
(Cost $3,163) 3,260 974
---------------
TOTAL -- ARGENTINA
(Cost $2,801,332) 2,155,175
---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.7%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.89%,
06/01/04 (Collateralized by $2,900,000 FHLB Notes 3.375%,
06/15/04, valued at $2,947,125) to be repurchased at
$2,903,287
(Cost $2,903,000) $ 2,903 2,903,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $155,034,957)++ $ 171,352,129
===============
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
++ The cost for federal income tax purposes is $155,035,503.
See accompanying Notes to Financial Statements.
124
<Page>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT@ VALUE+
--------------- ---------------
(000)
UNITED STATES -- (59.8%)
AGENCY OBLIGATIONS -- (44.7%)
Federal Farm Credit Bank
1.760%, 09/22/05 $ 13,000 $ 12,914,174
2.625%, 12/15/05 5,225 5,235,894
1.850%, 03/03/06 131,935 130,062,578
2.500%, 03/15/06 9,125 9,091,201
Federal Home Loan Bank
2.125%, 11/15/05 29,300 29,164,458
2.500%, 11/15/05 15,500 15,517,515
2.250%, 12/15/05 47,000 46,833,526
2.500%, 12/15/05 8,000 8,001,680
2.000%, 02/13/06 66,000 65,304,096
2.250%, 05/15/06 13,000 12,860,874
Federal Home Loan Mortgage Corporation
5.250%, 01/15/06 25,000 26,076,550
1.875%, 02/15/06 76,000 75,151,916
2.375%, 04/15/06 10,000 9,951,850
2.125%, 11/15/05 49,000 48,824,874
Federal National Mortgage Association
2.875%, 10/15/05 25,000 25,176,125
6.000%, 12/15/05 7,500 7,899,293
2.000%, 01/15/06 54,000 53,533,764
5.500%, 02/15/06 49,000 51,321,179
2.125%, 04/15/06 28,000 27,688,640
2.250%, 05/15/06 9,000 8,898,237
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $676,442,377) 669,508,424
---------------
BONDS -- (15.1%)
Bayerische Landesbank
2.500%, 04/28/06 42,400 41,857,068
Citigroup, Inc.
6.750%, 12/01/05 37,025 39,290,634
General Electric Capital Corp.
2.000%, 01/30/06 30,000 29,654,790
2.850%, 01/30/06 3,000 3,008,475
5.350%, 03/30/06 4,000 4,178,900
KFW International Finance, Inc.
2.500%, 10/17/05 31,000 31,141,794
Toyota Motor Credit Corp.
2.070%, 10/31/05 32,000 32,024,576
4.050%, 01/26/06 4,000 4,086,800
Wells Fargo & Co.
7.250%, 08/24/05 32,380 34,290,452
6.125%, 02/15/06 5,500 5,816,140
---------------
TOTAL BONDS
(Cost $226,895,340) 225,349,629
---------------
TOTAL -- UNITED STATES
(Cost $903,337,717) 894,858,053
---------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (14.7%)
BONDS -- (14.7%)
African Development Bank
3.250%, 07/29/05 $ 20,000 $ 20,229,780
Asian Development Bank
2.375%, 03/15/06 9,400 9,395,761
Council of Europe Social Development Fund
4.875%, 10/27/05 31,500 32,565,330
European Investment Bank
5.625%, 01/24/06 25,700 26,997,876
5.250%, 02/01/06 5,000 5,221,000
Inter-American Development Bank
6.125%, 03/08/06 41,800 44,341,440
Nordic Investment Bank
2.750%, 01/11/06 42,500 42,602,297
World Bank (International Bank for Reconstruction &
Development) Corporate Bonds
5.000%, 11/04/05 37,500 38,846,250
---------------
TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS
(Cost $222,137,169) 220,199,734
---------------
CANADA -- (5.3%)
BONDS -- (5.3%)
Canada (Government of)
6.375%, 07/21/05 16,000 16,787,200
Export Development Corp.
2.750%, 12/12/05 8,600 8,654,808
Manitoba, Province of
2.750%, 01/17/06 10,000 10,052,830
Ontario, Province of
6.000%, 02/21/06 42,000 44,201,934
---------------
TOTAL BONDS
(Cost $80,720,026) 79,696,772
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars
(Cost $367) 382
---------------
TOTAL -- CANADA
(Cost $80,720,393) 79,697,154
---------------
NETHERLANDS -- (4.8%)
BONDS -- (4.8%)
Bank Nederlandse Gemeenten
4.375%, 12/30/05 37,500 38,545,500
Nederlandse Waterschapsbank NV
5.000%, 09/19/05 21,819 22,549,937
4.250%, 12/28/05 10,000 10,267,000
---------------
TOTAL -- NETHERLANDS
(Cost $71,931,831) 71,362,437
---------------
</Table>
125
<Page>
<Table>
<Caption>
FACE
AMOUNT@ VALUE+
--------------- ---------------
(000)
SWEDEN -- (4.8%)
BONDS -- (4.8%)
Sweden (Kingdom of)
4.375%, 12/20/05 $ 39,500 $ 40,712,650
Swedish Export Credit Corp.
3.000%, 09/30/05 30,000 30,243,900
---------------
TOTAL -- SWEDEN
(Cost $71,432,251) 70,956,550
---------------
GERMANY -- (3.5%)
BONDS -- (3.5%)
Landesbank Baden-Wuerttemberg
7.000%, 10/05/05 10,000 10,599,000
Landeskreditbank Baden-Wuerttemberg - Foerderbank
4.500%, 12/30/05 7,000 7,213,500
Landwirtschaftliche Rentenbank
5.000%, 09/19/05 15,000 15,502,500
6.625%, 12/08/05 18,500 19,641,450
---------------
TOTAL -- GERMANY
(Cost $53,165,203) 52,956,450
---------------
SPAIN -- (2.6%)
BONDS -- (2.6%)
Instituto de Credito Oficial
2.750%, 12/05/05 17,000 17,076,330
2.375%, 04/18/06 22,000 21,876,140
---------------
TOTAL -- SPAIN
(Cost $39,085,523) 38,952,470
---------------
UNITED KINGDOM -- (1.4%)
BONDS -- (1.4%)
BP Capital Markets P.L.C.
4.625%, 12/12/05 5,000 5,157,500
Landesbank Baden-Wuerttemberg Capital Markets PLC
5.500%, 02/23/06 $ 15,000 $ 15,694,500
---------------
TOTAL -- UNITED KINGDOM
(Cost $21,062,029) 20,852,000
---------------
FINLAND -- (1.4%)
BONDS -- (1.4%)
Republic of Finland
5.875%, 02/27/06 19,500 20,593,033
---------------
FRANCE -- (1.1%)
BONDS -- (1.1%)
ELF Aquitaine SA Medium Term Notes
7.000%, 10/05/05 16,000 16,948,800
---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency
(Cost $1,432) 1,903
---------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $9,558,000 FNMA
Discount Notes 0.96%, 06/16/04,
valued at $9,553,221) to be
repurchased at $9,412,931
(Cost $9,412,000) 9,412 9,412,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,510,208,671)++ $ 1,496,790,584
===============
</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 $1,510,208,671.
See accompanying Notes to Financial Statements.
126
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
<Caption>
THE U.S. THE U.S.
LARGE LARGE CAP
COMPANY VALUE
SERIES SERIES
------------ ------------
ASSETS:
Investments at Value (including $390,011 and $459,183 of securities on loan, respectively) $ 3,719,940 $ 3,662,375
Cash 3,729 1
Receivables:
Investment Securities Sold -- 605
Dividends, Interest, and Tax Reclaims 5,142 5,373
Securities Lending Income 17 20
Fund Shares Sold 1,653 3,543
Prepaid Expenses and Other Assets 24 13
------------ -------------
Total Assets 3,730,505 3,671,930
------------ -------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 402,677 474,214
Investment Securities Purchased -- 21,826
Fund Shares Redeemed 2,119 96
Payable for Future Margin Variation 139 --
Accrued Expenses and Other Liabilities 338 458
------------ -------------
Total Liabilities 405,273 496,594
------------ -------------
NET ASSETS $ 3,325,232 $ 3,175,336
============ =============
SHARES OUTSTANDING $.01 PAR VALUE N/A 188,406,260
============ =============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE N/A $ 16.85
============ =============
Investments at Cost $ 3,054,407 $ 3,112,874
============ =============
<Caption>
THE U.S. THE DFA
SMALL INTERNATIONAL
CAP VALUE
SERIES SERIES
------------ -------------
ASSETS:
Investments at Value (including $116,349 and $419,174 of securities on loan, respectively) $ 1,873,221 $ 2,449,899
Cash 1 15
Receivables:
Investment Securities Sold 6,981 3,463
Dividends, Interest, and Tax Reclaims 794 8,315
Securities Lending Income 66 371
Fund Shares Sold 1,923 812
Prepaid Expenses and Other Assets 15 13
------------ -------------
Total Assets 1,883,001 2,462,888
------------ -------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 123,459 442,002
Investment Securities Purchased 12,887 3,476
Fund Shares Redeemed -- 335
Due to Advisor 43 324
Accrued Expenses and Other Liabilities 127 219
------------ -------------
Total Liabilities 136,516 446,356
------------ -------------
NET ASSETS $ 1,746,485 $ 2,016,532
============ =============
SHARES OUTSTANDING $.01 PAR VALUE 120,164,188 144,560,171
============ =============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 14.53 $ 13.95
============ =============
Investments at Cost $ 1,663,626 $ 2,082,685
============ =============
</Table>
See accompanying Notes to Financial Statements.
127
<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
----------- ----------- ----------- -----------
ASSETS:
Investments at Value (including $101,833, $14,580, $0,
and $102,476 of securities on loan, respectively) $ 544,495 $ 205,501 $ 273,672 $ 661,841
Cash 16 16 15 15
Receivables:
Investment Securities Sold -- 60 297 1,176
Dividends, Interest, and Tax Reclaims 3,087 421 1,156 2,111
Securities Lending Income 120 26 -- 119
Fund Shares Sold 43 7 910 4
Prepaid Expenses and Other Assets 2 1 2 2
----------- ----------- ----------- -----------
Total Assets 547,763 206,032 276,052 665,268
----------- ----------- ----------- -----------
LIABILITIES:
Payables:
Collateral on Securities Loaned 109,273 19,379 -- 107,734
Investment Securities Purchased 4,033 2,489 194 147
Fund Shares Redeemed 13 -- -- 40
Due to Advisor 35 15 22 45
Accrued Expenses and Other Liabilities 72 49 60 87
----------- ----------- ----------- -----------
Total Liabilities 113,426 21,932 276 108,053
----------- ----------- ----------- -----------
NET ASSETS $ 434,337 $ 184,100 $ 275,776 $ 557,215
=========== =========== =========== ===========
SHARES OUTSTANDING $.01 PAR VALUE N/A N/A N/A N/A
=========== =========== =========== ===========
NET ASSET VALUE , OFFERING AND REDEMPTION
PRICE PER SHARE N/A N/A N/A N/A
=========== =========== =========== ===========
Investments at Cost $ 602,564 $ 228,420 $ 208,866 $ 498,966
=========== =========== =========== ===========
<Caption>
THE THE EMERGING THE DFA
EMERGING MARKETS TWO-YEAR GLOBAL
MARKETS SMALL CAP FIXED INCOME
SERIES SERIES SERIES
-------------- -------------- ---------------
ASSETS:
Investments at Value $ 792,644 $ 171,352 $ 1,496,791
Cash 16 757 16
Receivables:
Investment Securities Sold 15 35 23,109
Dividends, Interest, and Tax Reclaims 1,951 369 18,709
Fund Shares Sold 487 264 1,333
Prepaid Expenses and Other Assets 4 1 7
-------------- -------------- --------------
Total Assets 795,117 172,778 1,539,965
-------------- -------------- --------------
LIABILITIES:
Payables:
Investment Securities Purchased 5,461 801 21,938
Fund Shares Redeemed -- -- --
Due to Advisor 51 28 63
Deferred Thailand Capital Gains Tax 3,275 665 --
Deferred Chilean Repatriation Tax 26 -- --
Accrued Expenses and Other Liabilities 180 60 108
-------------- -------------- --------------
Total Liabilities 8,993 1,554 22,109
-------------- -------------- --------------
NET ASSETS $ 786,124 $ 171,224 $ 1,517,856
============== ============== ==============
SHARES OUTSTANDING $.01 PAR VALUE N/A N/A 151,720,843
============== ============== ==============
NET ASSET VALUE , OFFERING AND REDEMPTION
PRICE PER SHARE N/A N/A $ 10.00
============== ============== ==============
Investments at Cost $ 651,112 $ 155,035 $ 1,510,205
============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
128
<Page>
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
<Caption>
THE U.S. THE U.S.
LARGE LARGE CAP
COMPANY VALUE
SERIES SERIES
---------- ----------
INVESTMENT INCOME
Dividends $ 26,657 $ 23,072
Interest 266 173
Income from Securities Lending 171 174
---------- ----------
Total Investment Income 27,094 23,419
---------- ----------
EXPENSES
Investment Advisory Services 408 1,467
Accounting & Transfer Agent Fees 244 444
Custodian Fees 56 139
Legal Fees 13 10
Audit Fees 21 19
S&P 500 Fees 38 --
Shareholders' Reports 28 25
Trustees' Fees and Expenses 29 15
Other 30 33
---------- ----------
Total Expenses 867 2,152
---------- ----------
NET INVESTMENT INCOME (LOSS) 26,227 21,267
---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold (2,018) 22,742
Net Realized Gain (Loss) on Futures 8,199 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 172,722 206,595
Futures (1,635) --
---------- ----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 177,268 229,337
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 203,495 $ 250,604
========== ==========
</Table>
See accompanying Notes to Financial Statements.
129
<Page>
<Table>
<Caption>
THE U.S. THE DFA
SMALL INTERNATIONAL
CAP VALUE
SERIES SERIES
---------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0 and $3,065, respectively) $ 6,892 $ 27,015
Interest 104 115
Income from Securities Lending 462 1,369
---------- -------------
Total Investment Income 7,458 28,499
---------- -------------
EXPENSES
Investment Advisory Services 244 1,881
Accounting & Transfer Agent Fees 251 483
Custodian Fees 79 290
Legal Fees 5 6
Audit Fees 11 7
Shareholders' Reports 14 11
Trustees' Fees and Expenses 8 4
Other 19 27
---------- -------------
Total Expenses 631 2,709
---------- -------------
NET INVESTMENT INCOME (LOSS) 6,827 25,790
---------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 42,483 50,698
Net Realized Gain (Loss) on Foreign Currency Transactions -- 4
Change in Unrealized Appreciation (Depreciation) of Investment Securities
and Foreign Currency 22,170 134,458
Translation of Foreign Currency Denominated Amounts -- (180)
---------- -------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 64,653 184,980
---------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 71,480 $ 210,770
========== =============
</Table>
See accompanying Notes to Financial Statements.
130
<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
------------ ------------ ------------ ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$262, $93, $349 and $1,233, respectively) $ 3,501 $ 3,523 $ 3,415 $ 7,595
Interest 40 19 22 44
Income from Securities Lending 675 153 -- 582
------------ ------------ ------------ ------------
Total Investment Income 4,216 3,695 3,437 8,221
------------ ------------ ------------ ------------
EXPENSES
Investment Advisory Services 191 91 125 259
Accounting & Transfer Agent Fees 222 117 162 265
Custodian Fees 100 103 51 169
Legal Fees 1 1 1 2
Audit Fees 2 1 1 3
Shareholders' Reports 3 -- 2 4
Trustees' Fees and Expenses 2 1 1 3
Other 12 3 8 18
------------ ------------ ------------ ------------
Total Expenses 533 315 351 723
------------ ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) 3,683 3,380 3,086 7,498
------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities Sold (787) 6,588 2,115 4,979
Net Realized Gain (Loss) on Foreign Currency
Transactions 51 35 (73) (6)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 74,747 (8,333) 24,616 43,996
Translation of Foreign Currency Denominated
Amounts (150) 4 16 9
------------ ------------ ------------ ------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 73,861 (1,706) 26,674 48,978
------------ ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 77,544 $ 1,674 $ 29,760 $ 56,476
============ ============ ============ ============
</Table>
See accompanying Notes to Financial Statements.
131
<Page>
<Table>
<Caption>
THE
THE EMERGING THE DFA
EMERGING MARKETS TWO-YEAR GLOBAL
MARKETS SMALL CAP FIXED INCOME
SERIES SERIES SERIES
---------- ---------- ---------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1,516, $211, $0 and
$0, respectively) $ 11,067 $ 1,824 --
Interest 69 20 $ 12,606
---------- ---------- ------------
Total Investment Income 11,136 1,844 12,606
---------- ---------- ------------
EXPENSES
Investment Advisory Services 378 151 342
Accounting & Transfer Agent Fees 332 98 350
Custodian Fees 437 171 55
Legal Fees 2 1 4
Audit Fees 5 1 8
Shareholders' Reports 7 2 12
Trustees' Fees and Expenses 4 1 11
Other 26 8 12
---------- ---------- ------------
Total Expenses 1,191 433 794
---------- ---------- ------------
NET INVESTMENT INCOME (LOSS) 9,945 1,411 11,812
---------- ---------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 2,133 7,538 1,562
Net Realized Gain (Loss) on Foreign Currency Transactions (575) 62 --
Change in Unrealized Appreciation (Depreciation) of Investment
Securities and Foreign Currency 43,011 (2,301) (9,700)
Translation of Foreign Currency Denominated Amounts (59) (10) --
Deferred Thailand Capital Gains Tax (584) 274 --
---------- ---------- ------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 43,926 5,563 (8,138)
---------- ---------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 53,871 $ 6,974 $ 3,674
========== ========== ============
</Table>
See accompanying Notes to Financial Statements.
132
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE U.S. THE U.S.
LARGE COMPANY LARGE CAP VALUE
SERIES SERIES
--------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 26,227 $ 45,762 $ 21,267 $ 31,384
Net Realized Gain (Loss) on Investment Securities Sold (2,018) (137,474) 22,742 (48,309)
Net Realized Gain (Loss) on Futures 8,199 9,903 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 172,722 447,952 206,595 415,785
Futures (1,635) (3,012) -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 203,495 363,131 250,604 398,860
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income -- -- (11,755) (31,464)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
------------ ------------ ------------ ------------
Total Distributions -- -- (11,755) (31,464)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued -- -- 437,618 495,839
Shares Issued in Lieu of Cash Distributions -- -- 11,311 31,027
Shares Redeemed -- -- (23,104) (121,409)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share Transactions -- -- 425,825 405,457
------------ ------------ ------------ ------------
Transactions in Interest:
Contributions 309,693 547,508 -- --
Withdrawals (188,953) (533,199) -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) from Transactions in Interest 120,740 14,309 -- --
------------ ------------ ------------ ------------
Total Increase (Decrease) 324,235 377,440 664,674 772,853
NET ASSETS
Beginning of Period 3,000,997 2,623,557 2,510,662 1,737,809
------------ ------------ ------------ ------------
End of Period $ 3,325,232 $ 3,000,997 $ 3,175,336 $ 2,510,662
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued N/A N/A 26,167 36,572
Shares Issued in Lieu of Cash Distributions 682 2,270
Shares Redeemed (1,402) (9,461)
------------ ------------
25,447 29,381
============ ============
</Table>
See accompanying Notes to Financial Statements.
133
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE U.S. THE DFA
SMALL CAP INTERNATIONAL
SERIES VALUE SERIES
--------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 6,827 $ 8,625 $ 25,790 $ 31,730
Net Realized Gain (Loss) on Investment Securities Sold 42,483 11,512 50,698 (3,540)
Net Realized Gain (Loss) on Foreign Currency Transactions -- -- 4 205
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 22,170 370,338 134,458 379,196
Translation of Foreign Currency Denominated Amounts -- -- (180) 114
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 71,480 390,475 210,770 407,705
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (2,129) (8,820) (7,625) (30,082)
Net Short-Term Gains (639) -- -- --
Net Long-Term Gains -- -- -- (1,177)
------------ ------------ ------------ ------------
Total Distributions (2,768) (8,820) (7,625) (31,259)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 415,250 397,476 292,065 542,740
Shares Issued in Lieu of Cash Distributions 2,549 8,584 7,625 31,258
Shares Redeemed (208,512) (171,130) (91,081) (471,133)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share Transactions 209,287 234,930 208,609 102,865
------------ ------------ ------------ ------------
Total Increase (Decrease) 277,999 616,585 411,754 479,311
NET ASSETS
Beginning of Period 1,468,486 851,901 1,604,778 1,125,467
------------ ------------ ------------ ------------
End of Period $ 1,746,485 $ 1,468,486 $ 2,016,532 $ 1,604,778
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 28,514 34,897 21,290 53,795
Shares Issued in Lieu of Cash Distributions 183 658 583 2,986
Shares Redeemed (14,671) (15,197) (6,742) (47,941)
------------ ------------ ------------ ------------
14,026 20,358 15,131 8,840
============ ============ ============ ============
</Table>
See accompanying Notes to Financial Statements.
134
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE JAPANESE THE PACIFIC RIM
SMALL COMPANY SMALL COMPANY
SERIES SERIES
----------------------- -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
---------- ---------- ---------- ----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 3,683 $ 3,245 $ 3,380 $ 4,147
Net Realized Gain (Loss) on Investment
Securities Sold (787) (18,120) 6,588 (436)
Net Realized Gain (Loss) on Foreign Currency
Transactions 51 54 35 18
Change in Unrealized Appreciation
(Depreciation) of Investment Securities
and Foreign Currency 74,747 101,101 (8,333) 56,281
Translation of Foreign Currency
Denominated Amounts (150) 16 4 4
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations 77,544 86,296 1,674 60,014
---------- ---------- ---------- ----------
Transactions in Interest:
Contributions 77,473 53,153 31,319 25,155
Withdrawals (4,379) (50,797) (5,658) (50,041)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Transactions
in Interest 73,094 2,356 25,661 (24,886)
---------- ---------- ---------- ----------
Total Increase (Decrease) 150,638 88,652 27,335 35,128
NET ASSETS
Beginning of Period 283,699 195,047 156,765 121,637
---------- ---------- ---------- ----------
End of Period $ 434,337 $ 283,699 $ 184,100 $ 156,765
========== ========== ========== ==========
<Caption>
THE UNITED KINGDOM THE CONTINENTAL
SMALL COMPANY SMALL COMPANY
SERIES SERIES
----------------------- -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
---------- ---------- ---------- ----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 3,086 $ 3,789 $ 7,498 $ 7,753
Net Realized Gain (Loss) on Investment
Securities Sold 2,115 (1,016) 4,979 12,045
Net Realized Gain (Loss) on Foreign Currency
Transactions (73) 30 (6) 315
Change in Unrealized Appreciation
(Depreciation) of Investment Securities
and Foreign Currency 24,616 42,580 43,996 120,867
Translation of Foreign Currency
Denominated Amounts 16 5 9 69
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations 29,760 45,388 56,476 141,049
---------- ---------- ---------- ----------
Transactions in Interest:
Contributions 87,100 41,630 61,448 97,585
Withdrawals (2,001) (25,000) (9,116) (53,295)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Transactions
in Interest 85,099 16,630 52,332 44,290
---------- ---------- ---------- ----------
Total Increase (Decrease) 114,859 62,018 108,808 185,339
NET ASSETS
Beginning of Period 160,917 98,899 448,407 263,068
---------- ---------- ---------- ----------
End of Period $ 275,776 $ 160,917 $ 557,215 $ 448,407
========== ========== ========== ==========
</Table>
See accompanying Notes to Financial Statements.
135
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE
THE EMERGING
EMERGING MARKETS MARKETS SMALL CAP
SERIES SERIES
------------------------ ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003
---------- ---------- ---------- ----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 9,945 $ 9,466 $ 1,411 $ 1,764
Net Realized Gain (Loss) on Investment Securities Sold 2,133 (6,216) 7,538 332
Net Realized Gain (Loss) on Foreign Currency Transactions (575) (283) 62 (143)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 43,011 148,355 (2,301) 32,404
Translation of Foreign Currency Denominated Amounts (59) 10 (10) --
Deferred Thailand Capital Gains Tax (584) (1,826) 274 (720)
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations 53,871 149,506 6,974 33,637
---------- ---------- ---------- ----------
Distributions From:
Net Investment Income -- -- -- --
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
---------- ---------- ---------- ----------
Total Distributions -- -- -- --
---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued -- -- -- --
Shares Issued in Lieu of Cash Distributions -- -- -- --
Shares Redeemed -- -- -- --
---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital Share Transactions -- -- -- --
---------- ---------- ---------- ----------
Transactions in Interest:
Contributions 164,440 156,160 48,528 36,904
Withdrawals (39,748) (41,298) (2,022) (1,126)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest 124,692 114,862 46,506 35,778
---------- ---------- ---------- ----------
Total Increase (Decrease) 178,563 264,368 53,480 69,415
NET ASSETS
Beginning of Period 607,561 343,193 117,744 48,329
---------- ---------- ---------- ----------
End of Period $ 786,124 $ 607,561 $ 171,224 $ 117,744
========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued N/A N/A N/A N/A
Shares Issued in Lieu of Cash Distributions
Shares Redeemed
<Caption>
THE DFA
TWO-YEAR GLOBAL
FIXED INCOME SERIES
------------------------
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 11,812 $ 17,497
Net Realized Gain (Loss) on Investment Securities Sold 1,562 13,434
Net Realized Gain (Loss) on Foreign Currency Transactions -- (298)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency (9,700) (9,932)
Translation of Foreign Currency Denominated Amounts -- 306
Deferred Thailand Capital Gains Tax -- --
----------- ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 3,674 21,007
----------- ------------
Distributions From:
Net Investment Income (7,516) (17,698)
Net Short-Term Gains (13,106) --
Net Long-Term Gains (354) (10,965)
----------- ------------
Total Distributions (20,976) (28,663)
----------- ------------
Capital Share Transactions (1):
Shares Issued 348,541 411,930
Shares Issued in Lieu of Cash Distributions 20,864 28,394
Shares Redeemed (29,857) (36,366)
----------- ------------
Net Increase (Decrease) from Capital Share Transactions 339,548 403,958
----------- ------------
Transactions in Interest:
Contributions -- --
Withdrawals -- --
----------- ------------
Net Increase (Decrease) from Transactions in Interest -- --
----------- ------------
Total Increase (Decrease) 322,246 396,302
NET ASSETS
Beginning of Period 1,195,610 799,308
----------- ------------
End of Period $ 1,517,856 $ 1,195,610
=========== ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 34,598 40,550
Shares Issued in Lieu of Cash Distributions 2,075 2,803
Shares Redeemed (2,938) (3,574)
----------- ------------
33,735 39,779
=========== ============
</Table>
See accompanying Notes to Financial Statements.
136
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
THE U.S. LARGE COMPANY SERIES
------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on
Securities (Realized and
Unrealized) -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
Return of Capital -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=================================================================================================================================
Total Return 6.77%# 15.05% (16.59)% (12.30)% (4.25)% 20.86%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 3,325,232 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812 $ 2,775,062
Ratio of Expenses to Average
Net Assets 0.05%* 0.05% 0.05% 0.05% 0.06% 0.06%
Ratio of Net Investment Income
to Average Net Assets 1.61%* 1.75% 1.53% 1.26% 1.12% 1.27%
Portfolio Turnover Rate 1%# 8% 11% 8% 8% 4%
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
THE U.S. LARGE CAP VALUE SERIES
---------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 $ 18.79
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.21 0.20 0.25 0.33 0.34
Net Gains (Losses) on
Securities (Realized and
Unrealized) 1.39 2.41 (1.43) 1.25 0.04 0.46
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 1.51 2.62 (1.23) 1.50 0.37 0.80
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.22) (0.20) (0.27) (0.32) (0.34)
Net Realized Gains -- -- -- (1.50) (3.13) (1.46)
Return of Capital -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.07) (0.22) (0.20) (1.77) (3.45) (1.80)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.85 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79
==================================================================================================================================
Total Return 9.80%# 20.34% (8.64)% 10.97% 3.06% 4.64%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 3,175,336 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343 $ 1,788,082
Ratio of Expenses to Average
Net Assets 0.15%* 0.15% 0.15% 0.15% 0.16% 0.16%
Ratio of Net Investment Income
to Average Net Assets 1.45%* 1.62% 1.49% 1.66% 2.20% 1.80%
Portfolio Turnover Rate 2%# 7% 9% 6% 26% 43%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The U.S. Large Company Series is organized as a
partnership
See accompanying Notes to Financial Statements.
137
<Page>
<Table>
<Caption>
THE U.S. SMALL CAP SERIES
------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24 $ 11.46
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.06 0.08 0.09 0.10 0.11 0.10
Net Gains (Losses) on
Securities (Realized and
Unrealized) 0.66 3.92 (1.00) 1.24 0.65 1.83
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 0.72 4.00 (0.91) 1.34 0.76 1.93
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.02) (0.09) (0.10) (0.10) (0.11) (0.11)
Net Realized Gains (0.01) -- (0.14) (1.83) (1.22) (1.04)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.03) (0.09) (0.24) (1.93) (1.33) (1.15)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.53 $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24
=================================================================================================================================
Total Return 5.18%# 40.32% (8.42)% 13.08% 6.48% 18.62%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 1,746,485 $ 1,468,486 $ 851,901 $ 991,082 $ 768,151 $ 586,086
Ratio of Expenses to Average
Net Assets 0.08%* 0.08% 0.08% 0.08% 0.08% 0.09%
Ratio of Net Investment Income
to Average Net Assets 0.82%* 0.84% 0.81% 0.94% 0.99% 0.89%
Portfolio Turnover Rate 7%# 16% 34% 13% 38% 29%
<Caption>
THE DFA INTERNATIONAL VALUE SERIES
---------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 $ 11.95
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.18 0.27 0.24 0.27 0.27 0.28
Net Gains (Losses) on
Securities (Realized and
Unrealized) 1.43 3.06 (0.78) (1.49) (0.31) 1.29
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations 1.61 3.33 (0.54) (1.22) (0.04) 1.57
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.06) (0.25) (0.25) (0.27) (0.26) (0.31)
Net Realized Gains -- (0.01) (0.03) (0.43) (0.81) (0.03)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.06) (0.26) (0.28) (0.70) (1.07) (0.34)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 13.95 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18
==================================================================================================================================
Total Return 13.00%# 36.24% (5.53)% (10.75)% (0.51)% 13.27%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 2,016,532 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481 $ 1,660,377
Ratio of Expenses to Average
Net Assets 0.29%* 0.30% 0.30% 0.29% 0.29% 0.29%
Ratio of Net Investment Income
to Average Net Assets 2.74%* 2.61% 2.36% 2.32% 2.13% 2.17%
Portfolio Turnover Rate 5%# 14% 18% 6% 9% 6%
</Table>
* Annualized
# Non-Annualized
See accompanying Notes to Financial Statements.
138
<Page>
<Table>
<Caption>
THE JAPANESE SMALL COMPANY SERIES
------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment Operations -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=================================================================================================================================
Total Return 23.92%# 47.87% (9.62)% (13.51)% (9.93)% 33.83%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 434,337 $ 283,699 $ 195,047 $ 196,187 $ 196,118 $ 202,676
Ratio of Expenses to Average Net
Assets 0.28%* 0.28% 0.27% 0.28% 0.27% 0.28%
Ratio of Net Investment Income to
Average Net Assets 1.92%* 1.41% 1.26% 1.41% 1.38% 1.10%
Portfolio Turnover Rate 1%# 16% 5% 9% 6% 6%
<Caption>
THE PACIFIC RIM SMALL COMPANY SERIES
---------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 2.02%# 61.47% 7.28% 2.84% (10.99)% 54.81%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 184,100 $ 156,765 $ 121,637 $ 130,554 $ 131,888 $ 183,759
Ratio of Expenses to Average Net
Assets 0.35%* 0.31% 0.32% 0.28% 0.29% 0.48%
Ratio of Net Investment Income to
Average Net Assets 3.71%* 3.35% 3.77% 3.69% 4.10% 2.95%
Portfolio Turnover Rate 9%# 15% 26% 10% 7% 34%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The Japanese Small Company Series and The Pacific Rim
Small Company Series are organized as partnerships
See accompanying Notes to Financial Statements.
139
<Page>
<Table>
<Caption>
THE UNITED KINGDOM SMALL COMPANY SERIES
------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=================================================================================================================================
Total Return 14.33%# 44.65% (4.67)% (4.89)% (6.18)% 36.75%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 275,776 $ 160,917 $ 98,899 $ 96,741 $ 109,806 $ 132,127
Ratio of Expenses to Average Net
Assets 0.28%* 0.26% 0.26% 0.27% 0.26% 0.26%
Ratio of Net Investment Income to
Average Net Assets 2.46%* 3.25% 3.03% 2.86% 3.06% 3.55%
Portfolio Turnover Rate 1%# 7% 6% 14% 11% 5%
<Caption>
THE CONTINENTAL SMALL COMPANY SERIES
---------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 12.66%# 52.86% 3.22% (5.43)% 2.67% (5.89)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 557,215 $ 448,407 $ 263,068 $ 210,337 $ 226,724 $ 252,368
Ratio of Expenses to Average Net
Assets 0.28%* 0.30% 0.31% 0.30% 0.28% 0.27%
Ratio of Net Investment Income to
Average Net Assets 2.89%* 2.49% 2.22% 2.73% 2.36% 1.92%
Portfolio Turnover Rate 2%# 11% 12% 12% 9% 11%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The United Kingdom Small Company Series and The
Continental Small Company Series are organized as partnerships
See accompanying Notes to Financial Statements.
140
<Page>
<Table>
<Caption>
THE EMERGING MARKETS SERIES
------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment Operations -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=================================================================================================================================
Total Return 9.71%# 39.67% 2.10% (8.54)% (22.30)% 53.78%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 786,124 $ 607,561 $ 343,193 $ 307,720 $ 296,726 $ 344,175
Ratio of Expenses to Average Net
Assets 0.32%* 0.34% 0.34% 0.46% 0.46% 0.46%
Ratio of Net Investment Income to
Average Net Assets 2.63%* 2.23% 1.64% 1.94% 1.33% 1.34%
Portfolio Turnover Rate 1%# 1% 8% 6% 12% 16%
<Caption>
THE EMERGING MARKETS SMALL CAP SERIES
---------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment
Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 8.75%# 52.80% 13.07% (9.55)% (23.28)% 71.45%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 171,224 $ 117,744 $ 40,379 $ 34,687 $ 32,572 $ 39,848
Ratio of Expenses to Average Net
Assets 0.57%* 0.54% 0.51% 0.63% 0.66% 0.68%
Ratio of Net Investment Income to
Average Net Assets 1.86%* 2.44% 2.03% 2.17% 1.69% 1.82%
Portfolio Turnover Rate 7%# 6% 16% 14% 20% 24%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The Emerging Markets Series and The Emerging Markets
Small Cap Series are organized as partnerships
See accompanying Notes to Financial Statements.
141
<Page>
<Table>
<Caption>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
--------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- -----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 10.13 $ 10.22 $ 10.03 $ 9.70 $ 10.11 $ 10.21
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.01 0.25 0.30 0.44 0.84 0.45
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.03 (0.01) 0.16 0.22 (0.23) 0.03
------------ ------------- ------------ ------------ ------------ ------------
Total From Investment
Operations 0.04 0.24 0.46 0.66 0.61 0.48
- -----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.06) (0.19) (0.27) (0.14) (1.02) (0.57)
Net Realized Gains (0.11) (0.14) -- -- -- (0.01)
Return of Capital -- -- -- (0.19) -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.17) (0.33) (0.27) (0.33) (1.02) (0.58)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.00 $ 10.13 $ 10.22 $ 10.03 $ 9.70 $ 10.11
- -----------------------------------------------------------------------------------------------------------------------------------
Total Return 0.41%# 2.36% 4.60% 6.91% 6.30% 4.84%
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 1,517,856 $ 1,195,610 $ 799,308 $ 596,209 $ 518,518 $ 531,514
Ratio of Expenses to Average Net
Assets 0.12%* 0.13% 0.14% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to
Average Net Assets 1.73%* 1.78% 3.20% 4.54% 5.03% 4.45%
Portfolio Turnover Rate 60%# 144% 138% 113% 73% 78%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
142
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At May
31, 2004, the Trust consisted of twenty-one investment portfolios, of which
eleven are included in this section of the report. (collectively, the "Series"):
The U.S. Large Company Series
The U.S. Large Cap Value Series
The U.S. Small Cap Series
(the "Domestic Equity Portfolios")
The DFA International Value Series
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
The DFA Two-Year Global Fixed Income Series
(the "International Equity Portfolios")
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America may
require management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates and those differences could be material.
1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day.
Securities held by the Series that are listed on Nasdaq are valued at the Nasdaq
Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP
for the day, the Series values the securities at the mean between the quoted bid
and asked prices. Securities held by the International Equity Portfolios that
are listed on a securities exchange are valued at the last quoted sale price.
Price information on listed securities is taken from the exchange where the
security is primarily traded. Unlisted securities for which market quotations
are available are valued at the mean between the most recent bid and asked
prices. Securities for which quotations are not readily available, or for which
market quotations have become unreliable, are valued in good faith at fair value
using methods approved by the Board of Trustees.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the New
York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the
NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the
International Equity Portfolios are computed. Due to the time differences
between the closings of the relevant foreign securities exchanges and the time
the International Equity Portfolios price their shares at the close of the NYSE,
the International Equity Portfolios will fair value their foreign investments
when it is determined that the market quotations for the foreign investments are
either
143
<Page>
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Equity Portfolios' foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Funds have determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock Exchange
or the London Stock Exchange, demonstrate that market quotations may be
unreliable, and may trigger fair value pricing. Consequently, fair valuation of
portfolio securities may occur on a daily basis. The fair value pricing by the
Funds utilizes data furnished by an independent pricing service (and that data
draws upon, among other information, the market values of foreign investments).
The fair value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of a Fund. When an International Equity Portfolio uses fair value
pricing, the values assigned to the International Equity Portfolio's foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the International Equity Portfolios whose values are initially
expressed in foreign currencies are translated to U.S. dollars using the mean
between the most recently quoted bid and asked prices for the U.S. dollar as
quoted by generally recognized reliable sources. Dividend and interest income
and certain expenses are translated to U.S. dollars at the rate of exchange on
their respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates and exchange
gains or losses are realized upon ultimate receipt or disbursement.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities, utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Trustees, generally based on average net
assets.
The International Equity Portfolios may be subject to taxes imposed by
countries in which they invest, with respect to their investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The International Equity Portfolios accrue such taxes when the
related income or capital gains are earned. Some countries require governmental
approval for the repatriation of investment income, capital or the proceeds of
sales of foreign investors. In addition, if there is a deterioration in a
country's balance of payments or for other reasons, a country may impose
temporary restrictions on foreign capital remittances abroad.
144
<Page>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Trust. For the six months ended May 31,
2004, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on the following effective annual rates:
<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%
The Emerging Markets Series 0.10 of 1%
The Emerging Markets Small Cap Series 0.20 of 1%
The DFA Two-Year Global Fixed Income Series 0.05 of 1%
</Table>
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2004, the total liability for deferred compensation to Trustees
is included in Accrued Expenses and Other Liabilities as follows:
<Table>
The U.S. Large Company Series $ 45,850
The U.S. Large Cap Value Series 40,843
The U.S. Small Cap Series 23,166
The DFA International Value Series 26,286
The Japanese Small Company Series 5,280
The Pacific Rim Small Company Series 2,569
The United Kingdom Small Company Series 3,481
The Continental Small Company Series 7,214
The Emerging Markets Series 10,618
The Emerging Markets Small Cap Series 2,087
The DFA Two-Year Global Fixed Income Series 18,887
</Table>
E. PURCHASE AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
<Caption>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
---------------------- -----------------------
PURCHASES SALES PURCHASES SALES
--------- ---------- ---------- ----------
The U.S. Large Company Series -- -- $ 180,353 $ 23,851
The U.S. Large Cap Value Series -- -- 467,788 54,183
The U.S. Small Cap Series -- -- 306,399 109,038
The DFA International Value Series -- -- 315,813 92,912
The Japanese Small Company Series -- -- 82,654 5,454
The Pacific Rim Small Company Series -- -- 45,546 15,737
The United Kingdom Small Company Series -- -- 56,945 3,490
The Continental Small Company Series -- -- 74,753 12,079
The Emerging Markets Series -- -- 128,046 6,712
The Emerging Markets Small Cap Series -- -- 59,052 10,038
The DFA Two-Year Global Fixed Income Series $ 615,513 $ 409,114 534,522 400,557
</Table>
145
<Page>
F. FEDERAL INCOME TAXES:
It is the intention of The U.S. Large Cap Value Series, The U.S. Small Cap
Series, The DFA International Value Series and The DFA Two-Year Global Fixed
Income Series to continue to qualify as a regulated investment company under
Subchapter M of the Internal Revenue Code and to distribute substantially all of
its taxable income and capital gains to shareholders. Because income tax
regulations differ from accounting principles generally accepted in the United
States of America, the timing and character of income and capital gain
distributions determined in accordance with tax regulations can differ from
income and capital gains recognized for financial reporting purposes.
Accordingly, the character of distributions and the composition of net assets
for tax purposes can differ from those reflected in the financial statements.
These book/tax differences may be temporary or permanent in nature. To the
extent these differences are permanent, they are charged or credited to paid in
capital, accumulated net realized gain (loss) or undistributed net investment
income as appropriate, in the period the differences arise. These
reclassifications have no effect on net assets or net asset value per share.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Components of Net Assets.
The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series are treated as partnerships for federal income tax
purposes and therefore, no provision for federal income taxes is required. Any
interest, dividends, and gains or losses have been deemed to have been "passed
down" to their Feeder Funds.
At May 31, 2004, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies was
as follows (amounts in thousands):
<Table>
<Caption>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- ----------
The U.S. Large Company Series $ 840,597 $ (337,378) $ 503,219
The U.S. Large Cap Value Series 697,096 (147,595) 549,501
The U.S. Small Cap Series 407,851 (200,668) 207,183
The DFA International Value Series 474,540 (107,516) 367,024
The Japanese Small Company Series 47,933 (109,062) (61,129)
The Pacific Rim Small Company Series 5,682 (28,654) (22,972)
The United Kingdom Small Company Series 87,310 (22,515) 64,795
The Continental Small Company Series 197,951 (35,076) 162,875
The Emerging Markets Series 215,351 (74,246) 141,105
The Emerging Markets Small Cap Series 35,020 (18,703) 16,317
The DFA Two-Year Global Fixed Income Series 999,829 (1,013,247) (13,418)
</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,
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 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. At November 30, 2003, the Series had unrealized
appreciation/(depreciation) (mark to market) and realized gains on the sale of
passive foreign investment companies of $3,502,361 and $7,718,955 respectively,
which are included in distributable net investment
146
<Page>
income for tax purposes, accordingly, such gains have been reclassified from
accumulated net realized gains to accumulated net investment income.
G. COMPONENTS OF NET ASSETS:
At May 31, 2004, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
ACCUMULATED ACCUMULATED APPRECIATION
NET NET REALIZED (DEPRECIATION) OF
INVESTMENT ACCUMULATED FOREIGN INVESTMENT
PAID-IN INCOME NET REALIZED EXCHANGE SECURITIES AND
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY
------------ ------------ ------------ ------------ -----------------
The U.S. Large Cap
Value Series $ 2,672,681 $ 11,217 $ (58,064) -- $ 549,502
The U.S. Small Cap Series 1,493,205 4,891 38,794 -- 209,595
The DFA International
Value Series 1,583,131 19,141 47,022 $ 4 367,214
The DFA Two-Year Global
Fixed Income Series 1,523,077 6,692 1,504 -- (13,417)
<Caption>
UNREALIZED
NET FOREIGN
EXCHANGE NUMBER OF
GAIN TOTAL NET SHARES
(LOSS) ASSETS AUTHORIZED
------------ ------------ ------------
The U.S. Large Cap
Value Series -- $ 3,175,336 Unlimited
The U.S. Small Cap Series -- 1,746,485 Unlimited
The DFA International
Value Series $ 20 2,016,532 Unlimited
The DFA Two-Year Global
Fixed Income Series -- 1,517,856 Unlimited
</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 May 28, 2004.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain consideration and risks not typically associated with investments in the
United States, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Series may be
inhibited.
3. FUTURES CONTRACTS. During the six months ended May 31, 2004, The U.S.
Large Company Series ("Large Company") entered into futures contracts in
accordance with its investment objectives. Upon entering into a futures
contract, Large Company deposits cash or pledges U.S. Government securities to a
broker, equal to the minimum "initial margin" requirements of the exchange on
which the contract is traded. Subsequent payments are received from or paid to
the broker each day, based on the daily fluctuation in the market value of the
contract. These receipts or payments are known as "variation margin" and are
recorded daily by Large Company as unrealized gains or losses until the
contracts are closed. When the contracts are closed, Large Company records a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
At May 31, 2004, Large Company had outstanding 240 long futures contracts
on the S&P 500 Index, all of which expire on June 18, 2004. The value of such
contracts on May 31, 2004 was $67,218,000 which resulted in an unrealized gain
of $606,188.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements.
147
<Page>
I. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated at any time. For the six months ended May 31, 2004, borrowings under
the line by the Series were as follows:
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
The Pacific Rim Small Company Series 1.74% $ 430,000 3 $ 62 $ 430,000
</Table>
There were no outstanding borrowings under the line of credit at May 31,
2004.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement for the line of credit expires in April
2005. There were no borrowings by the Series under the line of credit during the
six months ended May 31, 2004.
J. SECURITIES LENDING:
As of May 31, 2004, some of the Series' portfolios had securities on loan
to brokers/dealers, for which each portfolio held cash collateral. Each
portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities are
on loan. Loans of securities are required at all times to be secured by
collateral at least equal to 100% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, PNCBank, National
Association, the lending agent has agreed to pay the amount of the shortfall to
the portfolio or, at the option of the lending agent, to replace the securities.
Cash collateral of each Portfolio received from securities on loan is
invested along with cash collateral from the other Portfolios of the Series in
repurchase agreements collateralized by U.S. government securities. These
investments are accounted for separately for each Portfolio. Securities pledged
as collateral for the repurchase agreements are held by a custodian bank until
the agreements mature.
148
<Page>
DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
COMMON STOCKS -- (95.4%)
Acadia Realty Trust 138,000 $ 1,766,400
Agree Realty Corp. 32,200 782,460
* Alexander's, Inc. 11,900 1,917,090
# Alexandria Real Estate Equities, Inc. 96,900 5,324,655
AMB Property Corp. 412,500 13,633,125
American Land Lease Inc. 34,800 636,840
* American Real Estate Partners, L.P. 19,400 354,050
* American Spectrum Realty, Inc. 1,200 10,500
AmeriVest Properties, Inc. 91,500 553,575
AMLI Residential Properties Trust 107,300 2,976,502
Apartment Investment & Management Co. Class A 214,000 6,180,320
# Archstone-Smith Trust 956,755 27,793,733
Arden Realty Group, Inc. 321,000 9,517,650
Associated Estates Realty Corp. 95,400 763,200
AvalonBay Communities, Inc. 350,700 19,095,615
Bedford Property Investors, Inc. 80,900 2,380,887
BNP Residential Properties, Inc. 24,600 314,880
Boston Properties, Inc. 521,600 25,746,176
* Boykin Lodging Trust, Inc. 87,100 638,443
# Brandywine Realty Trust 225,300 6,060,570
BRE Properties, Inc. Class A 245,600 8,497,760
* Burnham Pacific Properties, Inc. 82,100 10,139
Camden Property Trust 194,100 9,066,411
Capital Automotive 177,286 4,875,365
Carramerica Realty Corp. 259,500 7,608,540
CBL & Associates Properties, Inc. 150,200 8,008,664
# Centerpoint Properties Corp. 115,000 8,469,750
# Chelsea Property Group Inc. 216,200 11,886,676
Colonial Properties Trust 131,000 5,034,330
# Commercial Net Lease Realty, Inc. 249,775 4,263,659
Cornerstone Realty Income Trust, Inc. 276,100 2,266,781
Corporate Office Properties Trust 151,600 3,517,120
Cousins Properties, Inc. 237,700 7,437,633
Crescent Real Estate Equities, Inc. 486,300 8,169,840
Developers Diversified Realty Corp. 425,099 14,619,155
Duke Realty Investments, Inc. 677,000 21,907,720
Eastgroup Properties, Inc. 102,100 3,241,675
Entertainment Properties Trust 101,300 3,646,800
Equity Inns, Inc. 222,700 1,964,214
Equity Office Properties Trust 1,975,163 53,230,643
Equity One, Inc. 340,976 6,069,373
Equity Residential Corp. 1,372,900 40,418,176
# Essex Property Trust 112,000 7,341,600
Federal Realty Investment Trust 241,700 9,643,830
* Felcor Lodging Trust, Inc. 289,800 3,083,472
# First Industrial Realty Trust, Inc. 201,300 7,214,592
* First Union Real Estate Equity & Mortgage Investments 106,100 319,361
* Five Star Quality Care, Inc. 40,830 159,237
Gables Residential Trust 143,200 4,833,000
General Growth Properties 1,067,000 31,348,460
Glenborough Realty Trust, Inc. 153,200 2,912,332
Glimcher Realty Trust 171,500 3,829,595
* Golf Trust America, Inc. 37,800 83,916
Heritage Property Investment Trust 227,900 $ 6,139,626
Hersha Hospitality Trust 53,500 532,860
Highwood Properties, Inc. 262,400 5,964,352
* HMG Courtland Properties, Inc. 2,400 21,840
Home Properties of New York, Inc. 160,090 6,336,362
Hospitality Properties Trust 329,200 13,474,156
* Host Marriott Corp. 1,570,800 19,258,008
HRPT Properties Trust 857,100 8,442,435
Humphrey Hospitality Trust 48,600 203,974
Innkeepers USA Trust 183,100 1,642,407
Jameson Inns, Inc. 61,042 159,930
Keystone Property Trust 129,900 3,107,208
# Kilroy Realty Corp. 137,800 4,701,736
# Kimco Realty Corp. 542,650 24,934,767
Koger Equity, Inc. 121,500 2,697,300
Kramont Realty Trust 116,700 1,881,204
* La Quinta Corp. 859,100 6,434,659
Lasalle Hotel Properties Trust 122,600 2,960,790
Lexington Corporate Properties Trust 214,400 4,105,760
# Liberty Property Trust 412,700 16,462,603
Macerich Co. 288,700 13,063,675
Mack-California Realty Corp. 296,600 11,852,136
Maguire Properties, inc. 198,900 4,892,940
Malan Realty Investors, Inc. 19,100 91,298
Manufactured Home Communities, Inc. 110,300 3,424,815
Maxus Realty Trust, Inc. 1,700 19,831
* Meristar Hospitality Corp. 63,700 404,495
Mid-America Apartment Communities, Inc. 97,100 3,425,688
Mills Corp. 260,600 11,453,370
Mission West Properties, Inc. 85,700 1,039,541
Monmouth Real Estate Investment Corp. Class A 77,525 573,685
# New Plan Excel Realty Trust, Inc. 487,600 11,609,756
One Liberty Properties, Inc. 46,000 825,700
Pan Pacific Retail Properties, Inc. 197,731 9,095,626
* Paragon Real Estate & Investment Trust 10,700 2,033
Parkway Properties, Inc. 53,600 2,146,680
Pennsylvania Real Estate Investment Trust 175,481 5,843,517
* Philips International Realty Corp. 14,400 6,336
# Post Properties, Inc. 200,500 5,834,550
Prentiss Properties Trust 217,100 7,164,300
Presidential Realty Corp. Class B 2,100 15,299
Price Legacy Corp. 32,217 591,504
* Prime Group Realty Trust 116,000 610,160
ProLogis 884,600 28,360,276
PS Business Parks, Inc. 105,500 4,082,850
Public Storage, Inc. 628,800 28,918,512
Ramco-Gershenson Properties Trust 81,900 1,981,980
# Realty Income Corp. 191,200 7,638,440
Reckson Associates Realty Corp. 322,301 8,386,272
Regency Centers Corp. 165,900 6,685,770
Roberts Realty Investment 13,100 122,878
</Table>
149
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Rouse Co. 492,700 $ 22,491,755
Saul Centers, Inc. 77,700 2,296,035
Senior Housing Properties Trust 310,900 5,061,452
Shurgard Storage Centers, Inc. Class A 223,600 8,385,000
Simon Property Group, Inc. 989,800 51,043,986
Sizeler Property Investors, Inc. 64,300 589,631
SL Green Realty Corp. 188,900 8,594,950
Sovran Self Storage, Inc. 71,000 2,670,310
Summit Properties, Inc. 166,600 3,860,122
Sun Communities, Inc. 93,300 3,450,234
Tanger Factory Outlet Centers, Inc. 64,600 2,507,772
* Tarragon Realty Investors, Inc. 54,338 760,732
Taubman Centers, Inc. 243,700 5,434,510
Town & Country Trust 84,600 2,058,318
Trizec Properties, Inc. 732,700 12,096,877
U.S. Restaurant Properties, Inc. 108,500 1,722,980
United Dominion Realty Trust, Inc. 624,900 12,460,506
United Mobile Homes, Inc. 40,500 536,625
Urstadt Biddle Properties Class A 89,700 1,237,860
Urstadt Biddle Properties, Inc. 19,800 267,696
Vornado Realty Trust 615,600 33,642,540
Washington Real Estate Investment Trust 203,900 5,764,253
Weingarten Realty Investors 419,300 12,985,721
Winston Hotels, Inc. 127,300 1,187,709
---------------
TOTAL COMMON STOCKS
(Cost $766,131,846) 942,159,954
---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.6%)
Repurchase Agreement, PNC Capital Markets, Inc.
0.89%, 06/01/04 (Collateralized by $10,168,000 FHLB
Discount Notes 1.625%, 06/15/05, valued at $10,206,638)
to be repurchased at $10,001,989 (Cost $10,001,000) $ 10,001 10,001,000
Repurchase Agreement, Merrill Lynch Triparty
Repo 0.96%, 06/01/04 (Collateralized by
$35,445,000 U.S. Treasury Obligations 2.125%, 08/31/04,
valued at $35,726,762) to be repurchased at $35,026,686
(Cost $35,022,950)^ 35,023 35,022,950
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $45,023,950) 45,023,950
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $811,155,796)++ $ 987,183,904
===============
</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 $812,245,002.
See accompanying Notes to Financial Statements.
150
<Page>
LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
UNITED KINGDOM -- (22.4%)
COMMON STOCKS -- (21.8%)
3I Group P.L.C. 46,244 $ 519,059
Abbey National P.L.C. 113,033 930,477
Aegis Group P.L.C. 83,410 134,961
Aggregate Industries P.L.C. 102,663 158,646
Aggreko P.L.C. 20,000 54,875
Alliance & Leicester P.L.C. 39,509 597,705
Alliance Unichem P.L.C. 36,707 425,655
Allied Domecq P.L.C. 86,312 717,778
Amec P.L.C. 20,420 100,316
Amvescap P.L.C. 72,635 487,298
Antofagasta P.L.C. 18,852 311,463
Arm Holdings P.L.C. 81,867 176,150
Arriva P.L.C. 14,532 103,890
Associated British Foods P.L.C. 105,111 1,234,381
Associated British Ports Holdings P.L.C. 25,743 206,433
Aviva P.L.C. 181,082 1,767,893
* AWG P.L.C. 11,429 128,663
BAA P.L.C. 85,607 854,008
BAE Systems P.L.C. 244,805 923,606
Balfour Beatty P.L.C. 31,669 145,027
Barclays P.L.C. 518,582 4,529,560
Barratt Developments P.L.C. 18,632 196,042
BBA Group P.L.C. 33,869 157,722
Bellway P.L.C. 8,267 114,434
Berkeley Group P.L.C. 10,535 178,027
BG Group P.L.C. 282,618 1,721,754
BHP Billiton P.L.C. 197,451 1,662,400
BOC Group P.L.C. 37,915 619,229
Boots Group P.L.C. 61,958 746,330
BP Amoco P.L.C. 1,755,679 15,336,949
BPB P.L.C. 38,502 274,542
Bradford & Bingley P.L.C. 50,958 259,587
Brambles Industries P.L.C. 56,451 219,350
* British Airways P.L.C. 144,628 672,133
British American Tobacco P.L.C. 215,156 3,154,686
British Land Co. P.L.C. 38,039 467,343
British Sky Broadcasting Group P.L.C. 224,474 2,521,164
Brixton P.L.C. 18,052 96,044
BT Group P.L.C. 687,240 2,307,637
* BTG P.L.C. 5,600 11,712
Bunzl P.L.C. 35,893 301,705
* Cable and Wireless P.L.C. 190,789 431,393
Cadbury Schweppes P.L.C. 165,347 1,406,588
* Cairn Energy P.L.C. 12,046 233,422
* Canary Wharf Group P.L.C. 40,100 217,648
Capita Group P.L.C. 52,090 295,620
Carnival P.L.C. 16,498 740,408
Carpetright P.L.C. 3,639 66,346
Carphone Warehouse Group P.L.C. 74,224 187,104
Cattles P.L.C. 24,078 144,612
* Celltech P.L.C. 22,212 221,556
Centrica P.L.C. 341,281 1,332,076
Close Brothers Group P.L.C. 10,800 159,099
Cobham P.L.C. 8,902 $ 222,156
Collins Stewart Tullett P.L.C. 17,814 143,559
* Colt Telecom Group P.L.C. 171,894 264,807
Compass Group P.L.C. 172,356 1,076,284
Computacenter P.L.C. 9,463 67,666
* Cookson Group P.L.C. 130,539 103,732
* Corus Group P.L.C. 328,172 203,433
Davis Service Group P.L.C. 15,000 100,813
De la Rue P.L.C. 12,250 73,161
Diageo P.L.C. 242,323 3,216,108
Dixons Group P.L.C. 155,894 435,407
* Easyjet P.L.C. 36,683 133,889
* Egg P.L.C. 44,910 132,460
Electrocomponents P.L.C. 33,949 220,347
Emap P.L.C. 20,531 286,337
EMI Group P.L.C. 61,510 246,846
Enterprise Inns P.L.C. 27,237 306,458
First Choice Holidays P.L.C. 31,231 68,558
Firstgroup P.L.C. 32,236 162,991
FKI P.L.C. 39,662 80,632
Friends Provident P.L.C. 140,267 355,540
Galen Holdings P.L.C. 17,950 238,436
Gallaher Group P.L.C. 52,359 640,575
* General Electric Co. 22,898 710,406
GKN P.L.C. 57,264 240,851
Glaxosmithkline P.L.C. 474,682 9,932,322
Great Portland Estates P.L.C. 13,760 66,239
Great Universal Stores P.L.C. 81,129 1,207,797
Hammerson P.L.C. 20,700 256,768
Hanson P.L.C. 58,957 450,214
Hays P.L.C. 140,670 318,714
HBOS P.L.C. 308,670 4,044,215
* HHG P.L.C. 284,569 224,349
Hilton Group P.L.C. 123,435 600,457
HSBC Holdings P.L.C. 879,895 13,050,087
ICAP P.L.C. 57,946 301,495
IMI P.L.C. 28,268 190,626
Imperial Chemical Industries P.L.C. 95,296 381,164
Imperial Tobacco Group P.L.C. 58,335 1,295,985
Inchcape P.L.C. 6,503 187,873
Intercontinental Hotels Group P.L.C. 57,738 553,478
* International Power P.L.C. 86,376 230,036
* Intertek Group P.L.C. 11,060 109,790
* Invensys P.L.C. 407,608 121,362
Isoft Group P.L.C. 19,129 135,663
ITV P.L.C. 285,888 622,441
* ITV P.L.C. Convertible Shares 7,428 9,942
Jardine Lloyd Thompson Group P.L.C. 18,114 155,728
Johnson Matthey P.L.C. 17,203 279,605
Johnston Press P.L.C. 26,959 270,193
Kelda Group P.L.C. 29,200 263,323
Kesa Electricals P.L.C. 32,274 168,268
Kidde P.L.C. 59,000 122,991
Kingfisher P.L.C. 186,504 977,652
Land Securities Group P.L.C. 36,335 778,866
Legal and General Group P.L.C. 524,402 855,166
</Table>
151
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Liberty International P.L.C. 30,108 $ 408,471
Lloyds TSB Group P.L.C. 459,645 3,626,343
Logicacmg P.L.C. 33,214 113,996
Lonmin P.L.C. 11,312 197,806
Man Group P.L.C. 27,385 820,778
Manchester United P.L.C. 12,673 56,070
* Marconi Corp. P.L.C. 15,946 190,148
Marks & Spencer Group P.L.C. 179,849 1,185,293
* Matalan P.L.C. 16,817 56,183
Meggitt P.L.C. 22,329 102,830
MFI Furniture Group P.L.C. 43,800 119,980
Millennium and Copthorne Hotels P.L.C. 19,218 111,540
Misys P.L.C. 43,945 167,700
Mitchells & Butlers P.L.C. 41,579 197,658
* MM02 P.L.C. 613,859 1,098,652
Morrison (Wm.) Supermarkets P.L.C. 232,964 975,482
*# My Travel Group P.L.C. 22,000 3,524
National Express Group P.L.C. 11,282 144,153
National Grid Group P.L.C. 247,008 1,959,476
Next P.L.C. 20,660 525,069
Northern Foods P.L.C. 37,322 105,906
Northern Rock P.L.C. 32,854 436,411
Novar P.L.C. 31,464 72,096
Ocean Group P.L.C. 23,727 307,112
Pearson P.L.C. 63,897 777,773
Peninsular & Oriental Steam Navigation P.L.C. 53,886 211,835
Pennon Group P.L.C. 9,163 123,733
Persimmon P.L.C. 23,227 255,847
Pilkington P.L.C. 115,030 190,695
Premier Farnell P.L.C. 25,039 111,100
Provident Financial P.L.C. 17,113 199,304
Prudential Corp. P.L.C. 160,312 1,318,172
* Punch Taverns, Ltd. 19,772 186,003
RAC P.L.C. 8,737 106,201
Rank Group P.L.C. 47,588 267,811
Reckitt Benckiser P.L.C. 65,675 1,780,561
Reed International P.L.C. 101,697 979,650
Rentokill Initial P.L.C. 145,356 391,163
Reuters Holdings Group P.L.C. 111,737 745,544
Rexam P.L.C. 43,852 354,989
Rio Tinto P.L.C. 84,341 2,029,587
RMC Group P.L.C. 20,763 208,954
Rolls Royce Group P.L.C. 143,381 593,690
* Rolls Royce Group P.L.C. 6,007,200 11,014
Royal & Sun Alliance Insurance Group P.L.C. 215,936 320,569
Royal Bank of Scotland Group P.L.C. 248,949 7,524,576
Sabmiller P.L.C. 97,983 1,184,117
Sage Group P.L.C. 104,202 338,210
Sainsbury (J.) P.L.C. 201,257 1,004,677
Schroders P.L.C. 27,720 307,973
Scottish & Newcastle P.L.C. 78,609 614,853
Scottish Hydro-Electric P.L.C. 68,595 870,529
Scottish Power P.L.C. 148,763 1,078,520
Securicor P.L.C. 35,700 78,920
Serco Group P.L.C. 32,613 120,867
Severn Trent P.L.C. 27,608 408,877
Shell Transport & Trading Co., P.L.C. 771,058 5,556,283
* Shire Pharmaceuticals Group P.L.C. 37,357 339,373
Signet Group P.L.C. 134,651 290,609
Slough Estates P.L.C. 31,300 $ 246,391
Smith & Nephew P.L.C. 73,281 770,584
Smith (W.H.) P.L.C. 18,540 121,640
Smiths Industries P.L.C. 43,759 559,394
Somerfield P.L.C. 37,078 97,458
* Spirent P.L.C. 72,279 85,439
SSL International P.L.C. 12,000 70,109
Stagecoach Holdings P.L.C. 93,831 141,078
Standard Chartered P.L.C. 105,639 1,744,426
Tate & Lyle P.L.C. 43,737 242,197
Taylor Nelson AGB P.L.C. 30,623 113,192
Taylor Woodrow P.L.C. 43,614 202,843
Tesco P.L.C. 614,199 2,803,361
* TI Automotive P.L.C. Series A 18,000 0
Tomkins P.L.C. 60,314 287,485
Travis Perkins P.L.C. 9,101 223,740
Trinity Mirror P.L.C. 23,499 267,350
Unilever P.L.C. 244,455 2,322,184
United Business Media P.L.C. 25,000 202,704
United Utilities P.L.C. 58,301 579,979
Viridian Group P.L.C. 9,554 103,233
Vodafone Group P.L.C. 5,367,560 12,650,813
Whitbread P.L.C. 23,799 348,938
William Hill P.L.C. 32,901 327,066
Wilson Bowden P.L.C. 8,193 155,566
Wimpey (George) P.L.C. 30,536 206,209
Wolseley P.L.C. 45,455 683,135
WPP Group P.L.C. 94,636 942,826
Xstrata P.L.C. 76,145 963,094
Zeneca Group P.L.C. 134,465 6,243,049
---------------
TOTAL COMMON STOCKS
(Cost $158,308,824) 176,427,506
---------------
INVESTMENT IN CURRENCY -- (0.6%)
* British Pound Sterling
(Cost $5,026,893) 5,018,287
---------------
TOTAL -- UNITED KINGDOM
(Cost $163,335,717) 181,445,793
---------------
JAPAN -- (18.9%)
COMMON STOCKS -- (18.6%)
Acom Co., Ltd. 7,500 502,924
Aderans Co., Ltd. 1,900 39,634
Advantest Corp. 6,370 450,813
AEON Co., Ltd. 22,400 938,977
Aeon Credit Service, Ltd. 2,700 177,308
Aiful Corp. 6,600 646,148
AIOI Insurance Co., Ltd. 33,000 143,574
Aisin Seiki Co., Ltd. 17,400 322,614
Ajinomoto Co., Inc. 35,000 402,293
Alfresa Holdings Corp. 700 33,694
# All Nippon Airways Co., Ltd. 92,000 282,256
Alps Electric Co., Ltd. 9,000 113,594
Amada Co., Ltd. 22,000 125,140
Amano Corp. 3,000 24,128
# Anritsu Corp. 6,000 37,577
Aoyama Trading Co., Ltd. 2,600 60,411
Ariake Japan Co., Ltd. 1,210 32,962
Arisawa Manufacturing Co., Ltd. 600 26,837
Asahi Breweries, Ltd. 27,000 284,563
Asahi Glass Co., Ltd. 82,000 866,820
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Asahi Kasei Corp. 75,000 $ 369,106
Asatsu-Dk, Inc. 2,600 67,208
* Ashikaga Financial Group, Inc. 41,000 371
Autobacs Seven Co., Ltd. 1,800 50,821
Avex Inc. 1,000 16,123
Awa Bank, Ltd. 5,000 28,718
Bandai Co., Ltd. 5,000 124,164
Bank of Kyoto, Ltd. 10,000 65,943
Bank of Yokohama, Ltd. 60,000 342,809
Bellsystem24, Inc. 170 37,344
Benesse Corp. 5,000 151,962
Bridgestone Corp. 55,000 917,873
Brother Industries, Ltd. 13,000 119,048
C&S Co., Ltd. 2,800 63,854
Calsonic Corp. 4,000 27,145
Canon, Inc. 49,000 2,419,819
Capcom Co., Ltd. 2,000 20,487
Casio Computer Co., Ltd. 14,000 186,593
Central Glass Co., Ltd. 10,000 74,666
Central Japan Railway Co. 181 1,457,986
Chiba Bank, Ltd. 44,000 253,206
Chubu Electric Power Co., Ltd. 41,200 858,876
Chugai Pharmaceutical Co., Ltd. 42,000 636,144
Chugoku Bank, Ltd. 6,000 60,650
Chugoku Electric Power Co., Ltd. 22,100 371,908
Citizen Watch Co., Ltd. 15,000 156,770
Coca-Cola West Japan Co., Ltd. 3,600 86,913
Comsys Holdings Corp. 5,000 37,096
Cosmo Oil Co., Ltd. 14,000 34,226
Credit Saison Co., Ltd. 8,900 253,597
CSK Corp. 3,600 139,210
Dai Nippon Ink & Chemicals, Inc. 37,000 84,035
Dai Nippon Pharmaceutical Co., Ltd. 4,000 30,315
Dai Nippon Printing Co., Ltd. 46,000 703,554
# Dai Nippon Screen Mfg. Co., Ltd. 11,000 68,670
Daicel Chemical Industries, Ltd. 19,000 82,608
Daido Steel Co., Ltd. 11,000 26,393
*# Daiei, Inc. 12,000 35,550
Daifuku Co., Ltd. 3,000 13,823
Daihatsu Motor Co., Ltd. 20,000 117,602
# Dai-Ichi Pharmaceutical Co., Ltd. 14,400 238,249
Daikin Industries, Ltd. 14,000 331,516
Daimaru, Inc. 12,000 105,291
Daishi Bank, Ltd. 8,000 27,477
Daito Trust Construction Co., Ltd. 8,300 298,653
Daiwa House Industry Co., Ltd. 30,000 338,677
Daiwa Securities Co., Ltd. 74,000 516,545
Denki Kagaku Kogyo KK 22,000 69,487
Denso Corp. 67,700 1,452,863
Dentsu, Inc. 166 429,387
* Disco Corp. 500 22,531
Dowa Mining Co., Ltd. 16,000 88,312
East Japan Railway Co. 235 1,214,356
Ebara Corp. 13,000 58,473
Elsai Co., Ltd. 18,600 483,700
Ezaki Glico Co., Ltd. 3,000 21,331
Familymart Co., Ltd. 5,200 152,091
Fanuc, Ltd. 17,800 1,040,257
Fast Retailing Co., Ltd. 8,100 580,586
Fuji Electric Co., Ltd. 40,000 98,385
Fuji Heavy Industries 37,000 182,428
Fuji Oil Co., Ltd. 1,900 $ 22,155
Fuji Photo Film Co., Ltd. 28,000 832,251
Fuji Soft ABC, Inc. 1,000 33,797
Fuji Television Network, Inc. 124 282,562
Fujikura, Ltd. 17,000 81,371
Fujisawa Pharmaceutical Co., Ltd. 19,500 431,552
Fujitsu Support & Service, Inc. 2,000 36,142
Fujitsu, Ltd. 122,000 823,924
# Fukuoka Bank, Ltd. 30,000 155,361
Funai Electric Co., Ltd. 2,100 289,323
* Furukawa Electric Co., Ltd. 30,000 111,446
Futaba Industrial Co., Ltd. 1,400 21,662
Glory, Ltd. 1,600 22,659
Gunma Bank, Ltd. 25,000 115,023
Gunze, Ltd. 8,000 38,169
Hachijuni Bank, Ltd. 26,000 155,460
* Hamamatsu Photonics K.K. 1,400 24,269
* Hankyu Corp. 45,000 173,437
Hankyu Department Stores, Inc. 10,000 88,536
Hanshin Electric Railway Co., Ltd. 7,000 22,722
Higo Bank, Ltd. 5,000 28,719
Hikari Tsushin, Inc. 2,700 107,760
Hino Motors, Ltd. 32,000 192,668
Hirose Electric Co., Ltd. 2,100 229,734
Hiroshima Bank, Ltd. 30,000 133,727
Hitachi Cable, Ltd. 18,000 80,868
Hitachi Chemical Co., Ltd. 10,500 177,964
# Hitachi Construction Machinery Co., Ltd. 8,000 95,325
Hitachi High-Technologies Corp. 6,400 88,886
* Hitachi Information Systems, Ltd. 900 28,320
Hitachi Metals, Ltd. 5,000 23,876
Hitachi Software Engineering Co., Ltd. 3,000 62,268
* Hitachi Zosen Corp. 20,000 31,662
Hitachi, Ltd. 198,000 1,356,892
Hokkaido Electric Power Co., Inc. 10,800 179,934
Hokkoku Bank, Ltd. 9,000 43,096
Hokuetsu Paper Mills, Ltd. 4,000 21,465
Hokugin Financial Group, Inc. 51,000 103,361
Hokuriku Electric Power Co., Inc. 10,700 175,154
Honda Motor Co., Ltd. 60,600 2,609,772
* Hosiden Corp. 1,900 23,881
House Foods Corp. 4,000 51,457
Hoya Corp. 6,500 670,874
Hyakugo Bank, Ltd. 5,000 29,744
Hyakujishi Bank, Ltd. 8,000 49,499
Ibiden Co., Ltd. 4,200 56,634
Isetan Co., Ltd. 10,000 134,999
Ishihara Sangyo Kaisha, Ltd. 12,000 23,528
* Ishikawajima-Harima Heavy Industries Co., Ltd. 58,000 82,691
* Isuzu Motors, Ltd. 18,000 42,449
ITO EN, Ltd. 2,200 94,608
* Itochu Corp. 82,000 336,206
Itochu Techno-Science Corp. 3,000 116,848
Ito-Yokado Co., Ltd. 23,000 933,435
Iyo Bank, Ltd. 9,000 60,441
Izumi Co., Ltd. 1,000 24,401
*# Japan Airlines System Corp. 156,000 454,464
Japan Aviation Electronics Industry, Ltd. 2,000 23,124
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SHARES VALUE+
--------------- ---------------
JFE Holdings, Inc. 35,200 $ 761,672
JGC Corp. 12,000 100,676
Joyo Bank, Ltd. 48,000 189,116
Jsr Corp., Tokyo 15,400 327,550
Juroku Bank, Ltd. 12,000 50,718
Kagoshima Bank, Ltd. 4,000 22,422
Kajima Corp. 57,000 186,213
Kaken Pharmaceutical Co., Ltd. 3,000 16,327
Kamigumi Co., Ltd. 14,000 92,021
* Kanebo, Ltd. 19,000 15,287
Kaneka Corp. 17,000 156,916
* Kankaku Securities Co., Ltd. 34,000 78,330
Kansai Electric Power Co., Inc. 65,200 1,142,713
Kansai Paint Co., Ltd., Osaka 6,000 35,302
Kao Corp. 33,000 771,757
Katokichi Co., Ltd. 2,000 35,274
# Kawasaki Heavy Industries, Ltd. 67,000 100,072
# Kawasaki Kisen Kaisha, Ltd. 30,000 138,130
KDDI Corp. 257 1,496,407
# Keihin Electric Express Railway Co., Ltd. 24,000 142,820
Keio Electric Railway Co., Ltd. 34,000 179,838
* Keisei Electric Railway Co., Ltd. 7,000 23,701
Keyence Corp. 3,000 692,837
Kikkoman Corp. 9,000 72,534
Kinden Corp. 14,000 77,935
Kinki Nippon Railway Co., Ltd. 86,280 317,155
Kirin Brewery Co., Ltd. 60,000 570,179
Kissei Pharmaceutical Co., Ltd. 1,000 21,363
* Kobayashi Pharmaceutical Co., Ltd. 900 23,938
Kobe Steel, Ltd. 146,000 213,130
* Koei Co., Ltd. 800 19,834
Kokuyo Co., Ltd. 6,000 73,090
Komatsu, Ltd. 55,000 331,215
* Komeri Co., Ltd. 1,100 31,230
Komori Corp. 4,000 58,940
Konami Co., Ltd. 6,200 137,719
Konica Corp. 32,000 433,182
Kose Corp. 1,650 56,383
# Koyo Seiko Co. 9,000 91,192
Kubota Corp. 88,000 407,172
Kuraray Co., Ltd. 20,000 150,315
Kuraya Sanseido, Inc. 2,600 38,905
Kurita Water Industries, Ltd. 7,000 89,155
Kyocera Corp. 10,700 895,258
Kyowa Exeo Corp. 5,000 32,821
Kyowa Hakko Kogyo Co., Ltd. 23,000 150,438
Kyushu Electric Power Co., Inc. 26,500 455,883
Lawson Inc. 5,400 197,954
Lion Corp. 7,000 40,350
# Lopro Corp. 2,100 12,780
Mabuchi Motor Co., Ltd. 2,600 174,468
Makita Corp. 7,000 98,239
Marubeni Corp. 72,000 164,210
Marui Co., Ltd. 19,000 253,314
Matsumotokiyoshi Co., Ltd. 2,400 65,709
Matsushita Electric Industrial Co., Ltd. 144,188 2,000,059
Matsushita Electric Works, Ltd. 27,000 225,335
# Mazda Motor Corp. 58,000 187,959
Meiji Dairies Corp. 16,000 78,617
Meiji Seika Kaisha, Ltd. Tokyo 17,000 $ 68,951
Meitec Corp. 1,800 63,022
Millea Holdings, Inc. 99 1,282,446
Minebea Co., Ltd. 18,000 79,080
Mitsubishi Chemical Corp. 132,000 311,523
Mitsubishi Corp. 91,000 899,060
Mitsubishi Electric Corp. 130,000 641,791
Mitsubishi Estate Co., Ltd. 84,000 1,034,189
Mitsubishi Gas Chemical Co., Inc. 27,000 101,526
Mitsubishi Heavy Industries, Ltd. 178,000 465,667
Mitsubishi Logistics Corp. 7,000 61,026
Mitsubishi Materials Corp. 50,000 95,619
*# Mitsubishi Motors Corp. 61,000 120,268
# Mitsubishi Paper Mills, Ltd. 13,000 19,563
# Mitsubishi Pharma Corp. 25,000 262,308
Mitsubishi Rayon Co., Ltd. 30,000 104,931
Mitsubishi Securities Co., Ltd. 21,000 248,969
Mitsubishi Tokyo Financial Group, Inc. 456 3,939,324
Mitsui & Co., Ltd. 96,000 730,350
Mitsui Chemicals, Inc. 44,000 213,424
Mitsui Engineering and Shipbuilding Co., Ltd. 36,000 60,884
Mitsui Fudosan Co., Ltd. 41,000 465,534
Mitsui Marine & Fire Insurance Co., Ltd. 82,790 737,114
Mitsui Mining and Smelting Co., Ltd. 26,000 102,918
Mitsui O.S.K. Lines, Ltd. 74,000 350,934
Mitsui Trust Holdings 51,000 339,482
Mitsukoshi, Ltd. 23,000 112,160
Mitsumi Electric Co., Ltd. 3,700 37,869
Mizuho Holdings, Inc. 741 3,182,993
Mori Seiki Co., Ltd. 4,000 33,408
Murata Manufacturing Co., Ltd. 12,700 755,950
Musashino Bank, Ltd. 600 21,676
# Nagoya Railroad Co., Ltd. 40,000 144,075
Namco, Ltd. 2,200 55,228
NEC Corp. 112,000 821,212
NEC Fielding, Ltd. 1,800 48,574
Net One Systems Co., Ltd. 13 52,302
* Net One Systems Co., Ltd. 13 47,872
NGK Insulators, Ltd. 19,000 135,158
NGK Spark Plug Co., Ltd. 11,000 98,975
NHK Spring Co., Ltd. 5,000 28,844
Nichicon Corp. 2,000 25,478
Nichii Gakkan Co. 1,760 81,154
Nichirei Corp. 13,000 41,638
Nidec Corp. 4,400 477,964
Nikko Cordial Corp. 130,000 679,794
Nikon Corp. 21,000 225,777
Nintendo Co., Ltd., Kyoto 9,500 970,835
Nippon Electric Glass Co., Ltd. 7,000 150,066
Nippon Express Co., Ltd. 65,000 351,295
Nippon Kayaku Co., Ltd. 9,000 45,677
Nippon Light Metal Co., Ltd. 11,000 26,038
Nippon Meat Packers, Inc., Osaka 10,000 108,883
Nippon Mining Holdings, Inc. 41,500 191,669
Nippon Mitsubishi Oil Corp. 81,000 460,336
Nippon Sanso Corp. 14,000 64,078
Nippon Sheet Glass Co., Ltd. 20,000 66,195
Nippon Shinpan Co., Ltd. 7,000 23,889
Nippon Shokubai Co., Ltd. 9,000 65,924
Nippon Steel Corp. 414,000 838,992
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SHARES VALUE+
--------------- ---------------
Nippon System Development Co., Ltd. 900 $ 17,430
Nippon Telegraph & Telephone Corp. 1,288 6,357,386
Nippon Television Network Corp. 700 107,784
Nippon Unipac Holding, Tokyo 57 278,536
Nippon Yusen KK 63,000 269,392
Nipponkoa Insurance Co., Ltd. 42,000 241,573
Nishimatsu Construction Co., Ltd. 10,000 33,959
* Nishi-Nippon Railroad Co., Ltd. 8,000 24,567
Nissan Chemical Industries, Ltd. 10,000 71,605
Nissan Motor Co., Ltd. 346,700 3,517,006
Nissay Dowa General Insurance Co., Ltd. 13,000 65,314
Nisshin Seifun Group, Inc. 12,000 110,312
Nisshin Steel Co., Ltd. 39,000 78,657
Nisshinbo Industries, Inc. 9,000 59,643
* Nissho Iwai-Nichmen Holdings Corp. 4,000 21,304
Nissin Food Products Co., Ltd. 6,000 145,845
Nitto Denko Corp. 9,200 497,905
NOK Corp. 9,000 321,808
Nomura Research Institute, Ltd. 2,600 263,409
Nomura Securities Co., Ltd. 110,000 1,686,068
Noritake Co., Ltd. 4,000 15,930
NSK, Ltd. 28,000 126,715
NTN Corp. 22,000 101,703
NTT Data Corp. 225 662,537
NTT Docomo, Inc. 3,227 6,062,934
Obayashi Corp. 38,000 181,392
Obic Co., Ltd. 500 101,506
Odakyu Electric Railway Co., Ltd. 36,000 190,675
Ogaki Kyoritsu Bank, Ltd. 8,000 43,151
Oji Paper Co., Ltd. 59,000 375,304
* Okasan Securities Co., Ltd. 4,000 23,395
* Oki Electric Industry Co., Ltd. 30,000 110,733
# Okumura Corp. 11,000 54,045
Olympus Optical Co., Ltd. 14,000 252,132
Omron Corp. 13,000 287,928
Ono Pharmaceutical Co., Ltd. 7,200 315,165
Onward Kashiyama Co., Ltd. 8,000 129,010
Oracle Corp. Japan 9,900 485,281
* Orient Corp. 31,000 82,736
Oriental Land Co., Ltd. 7,600 465,447
Orix Corp. 4,260 433,351
Osaka Gas Co., Ltd. 132,000 353,445
OSG Corp. 2,000 21,194
* Otsuka Corp. 700 32,235
Paris Miki, Inc. 1,900 41,208
* Park24 Co., Ltd. 700 21,081
Pioneer Electronic Corp. 9,000 230,680
Promise Co., Ltd. 6,500 427,262
Q.P. Corp. 6,000 48,855
* Resona Holdings, Inc. 845,000 1,452,994
Ricoh Co., Ltd., Tokyo 43,000 833,967
Rinnai Corp. 1,100 33,419
Rohm Co., Ltd. 6,600 805,032
* Ryoshoku, Ltd. 800 24,125
* Sagami Railway Co., Ltd. 9,000 26,851
Saizeriya Co., Ltd. 1,300 17,872
San In Godo Bank, Ltd. 4,000 31,430
Sanden Corp. 7,000 40,398
Sanken Electric Co., Ltd. 4,000 52,466
Sankyo Co, Ltd. 4,900 165,987
Sankyo Co., Ltd. 25,000 $ 500,094
# Sanrio Co., Ltd. 3,000 35,843
Santen Pharmaceutical Co., Ltd. 2,200 32,047
Sanwa Shutter Corp. 6,000 30,777
Sanyo Electric Co., Ltd. 104,000 406,313
# Sapporo Breweries, Ltd. 19,000 61,704
Sapporo Hokuyo Holdings, Inc. 9 47,094
Secom Co., Ltd. 13,000 523,812
* Sega Enterprises, Ltd. 9,200 92,706
# Seibu Railway Co., Ltd. 25,000 316,436
Seino Transportation Co., Ltd. 7,000 66,565
* Seiyu, Ltd. 28,000 97,100
Sekisui Chemical Co., Ltd. 27,000 199,213
Sekisui House, Ltd. 44,000 458,332
Seven-Eleven Japan Co., Ltd. 64,000 2,020,038
Seventy-seven (77) Bank, Ltd. 20,000 117,886
SFCG Co., Ltd. 280 49,113
Sharp Corp. Osaka 65,000 1,100,035
Shiga Bank, Ltd. 5,000 24,809
Shikoku Bank, Ltd. 4,000 23,834
Shikoku Electric Power Co., Inc. 13,200 225,432
Shima Seiki Manufacturing Co., Ltd. 700 23,560
Shimachu Co., Ltd. 2,200 54,828
Shimadzu Corp. 6,000 30,922
Shimamura Co., Ltd. 1,700 135,205
Shimano, Inc. 6,600 155,881
Shimizu Corp. 38,000 158,915
Shin-Etsu Chemical Co., Ltd. 23,600 827,058
Shinko Securities Co., Ltd. 38,000 126,207
Shionogi & Co., Ltd. 19,000 310,420
Shiseido Co., Ltd. 21,000 248,593
Shizuoka Bank, Ltd. 42,000 342,281
Showa Denko KK 59,000 126,440
Showa Shell Sekiyu KK 18,000 150,542
Skylark Co., Ltd. 5,000 95,411
SMBC Friend Securities Co., Ltd. 6,000 28,362
SMC Corp. 4,300 459,590
* Snow Brand Milk Products Co., Ltd. 12,000 39,306
# Softbank Corp. 23,200 887,315
* Sohgo Security Services Co., Ltd. 2,100 26,414
Sony Corp. 51,800 1,906,056
Square Enix Co., Ltd. 3,900 100,080
Stanley Electric Co., Ltd. 9,000 148,003
* Sumisho Computer Systems Corp. 900 25,775
Sumitomo Bakelite Co., Ltd. 9,000 59,847
Sumitomo Chemical Co., Ltd. 106,000 497,308
Sumitomo Corp. 68,000 524,611
Sumitomo Corporation's Leasing, Ltd. 900 30,862
Sumitomo Electric Industries, Ltd. 44,000 423,281
Sumitomo Forestry Co., Ltd. 6,000 61,781
* Sumitomo Heavy Industries, Ltd. 31,000 79,627
Sumitomo Metal Industries, Ltd. Osaka 314,000 352,262
Sumitomo Metal Mining Co., Ltd. 29,000 172,737
Sumitomo Mitsui Financial Group, Inc. 250 1,785,159
Sumitomo Osaka Cement Co., Ltd. 14,000 33,863
* Sumitomo Real Estate Sales Co., Ltd. 600 24,800
Sumitomo Realty & Development Co., Ltd. 26,000 280,341
Sumitomo Rubber 6,000 49,914
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SHARES VALUE+
--------------- ---------------
# Sumitomo Trust & Banking Co., Ltd. 96,000 $ 590,116
Suruga Bank, Ltd. 12,000 79,231
Suzuken Co., Ltd. 4,080 127,327
Suzuki Motor Corp. 32,900 535,659
* T&D Holdings, Inc. 5,900 247,157
Taiheiyo Cement Corp. 45,000 98,289
Taisei Corp. 52,000 173,197
Taisho Pharmaceutical Co., Ltd. 23,000 467,703
Taiyo Yuden Co., Ltd. 5,000 72,102
Takara Shuzo Co., Ltd. 10,000 75,615
Takashimaya Co., Ltd. 16,000 176,239
Takeda Chemical Industries, Ltd. 49,000 2,036,715
# Takefuji Corp. 10,350 688,656
Takuma Co., Ltd. 2,000 12,949
*# TC Properties Co., Ltd. 45,300 246,737
TDK Corp. 7,400 519,527
Teijin, Ltd. 50,000 161,509
Teikoku Oil Co., Ltd. 12,000 61,276
Terumo Corp. 10,500 247,672
THK Co., Ltd. 5,800 102,990
TIS, Inc. 2,000 79,629
Tobu Railway Co., Ltd. 43,000 182,543
Toda Corp. 14,000 51,620
Toho Co., Ltd. 9,800 140,802
Toho Gas Co., Ltd. 19,000 63,457
Tohuku Electric Power Co., Inc. 26,600 428,341
* Tokai Rubber Industries, Ltd. 2,000 24,335
Tokuyama Corp. 5,000 21,375
Tokyo Broadcasting System, Inc. 10,000 177,415
Tokyo Electric Power Co., Ltd 79,600 1,702,382
Tokyo Electron, Ltd. 10,100 576,617
# Tokyo Gas Co., Ltd. 157,000 552,371
* Tokyo Seimitsu Co., Ltd. 800 26,986
Tokyo Steel Manufacturing Co., Ltd. 3,400 48,357
Tokyo Style Co., Ltd. 4,000 45,240
# Tokyu Corp. 59,000 290,525
* Tokyu Land Corp. 9,000 27,950
TonenGeneral Sekiyu KK 24,000 203,755
Toppan Printing Co., Ltd. 37,000 450,239
Toray Industries, Inc. 72,000 331,440
Toshiba Corp. 180,000 773,677
Tosoh Corp. 30,000 103,501
Tostem Inax Holding Corp. 20,240 414,753
Toto, Ltd. 19,000 204,171
Toyo Seikan Kaisha, Ltd. 11,300 185,388
Toyo Suisan Kaisha, Ltd. 5,000 60,419
Toyobo Co., Ltd. 37,000 87,044
Toyoda Gosei Co., Ltd. 6,300 154,288
Toyota Auto Body Co., Ltd. 1,800 27,410
Toyota Industries Corp. 15,300 333,655
Toyota Motor Credit Corp. 235,000 8,480,299
Toyota Tsusho Corp. 13,000 119,294
Trans Cosmos, Inc. 1,000 26,338
Trend Micro Inc. 8,000 301,186
* Ube Industries, Ltd. 37,000 54,602
UFJ Holdings, Inc. 343 1,712,536
UFJ Tsubasa Securities Co. Ltd. 28,000 128,216
Uni-Charm Corp. 3,500 169,838
Union Tool Co. 800 28,220
UNY Co., Ltd. 9,000 111,128
Ushio Inc. 7,000 132,341
USS Co., Ltd. 1,400 $ 112,717
Victor Co. of Japan, Ltd. 6,000 70,521
Vodafone Holdings KK 164 446,266
Wacoal Corp. 7,000 74,220
World Co., Ltd. 2,000 63,573
# Yakult Honsha Co., Ltd. 8,000 110,434
# Yamada Denki Co., Ltd. 5,300 176,988
Yamaguchi Bank, Ltd. 7,000 71,358
Yamaha Corp. 11,000 167,098
Yamaha Motor Co., Ltd. 15,000 214,919
Yamanouchi Pharmaceutical Co., Ltd. 20,200 649,044
Yamato Transport Co., Ltd. 24,000 341,338
Yamazaki Baking Co., Ltd. 9,000 83,383
Yaskawa Electric Corp. 8,000 51,465
Yasuda Fire & Marine Insurance Co., Ltd. 60,000 523,163
# Yasuda Trust & Banking Co., Ltd. 208,000 411,095
Yokogawa Electric Corp. 12,000 155,275
Yokohama Rubber Co., Ltd. 7,000 25,747
York-Benimaru Co., Ltd. 800 22,901
Zeon Corp. 6,000 43,893
---------------
TOTAL COMMON STOCKS
(Cost $158,024,572) 150,988,104
---------------
INVESTMENT IN CURRENCY -- (0.3%)
* Japanese Yen
(Cost $2,441,305) 2,467,881
---------------
TOTAL -- JAPAN
(Cost $160,465,877) 153,455,985
---------------
FRANCE -- (8.0%)
COMMON STOCKS -- (8.0%)
Accor SA 10,940 453,950
# AGF (Assurances Generales de
France SA) 11,361 688,832
Air France 14,686 240,250
Air Liquide SA 5,550 973,540
Air Liquide SA 10,266 1,811,500
Alcan, Inc. 2,587 102,229
* Alcatel SA 71,900 1,036,072
* Alstom SA 40,620 46,690
Arcelor SA 29,800 500,100
* Atos Origin 4,218 248,323
* Aventis 44,765 3,554,401
AXA 98,764 2,031,458
BNP Paribas SA 50,518 3,088,183
Bollore Technologies SA 203 62,209
Bouygues 21,845 753,697
* Business Objects SA 5,500 120,680
* Cap Gemini SA 7,550 289,581
Carrefour 40,100 1,958,722
Casino Guichard Perrachon 7,609 664,848
Cie Generale D'Optique Essilor
Intenational SA 5,570 345,753
Clarins SA 370 23,072
Compagnie de Saint-Gobain 19,436 979,092
Compagnie Francaise d'Etudes et
de Construction Technip SA 1,790 241,150
Dassault Systemes SA 8,054 368,200
Dior (Christian) SA 11,036 698,793
Eiffage SA 942 73,293
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<Caption>
SHARES VALUE+
--------------- ---------------
Euler-Hermes SA 1,833 $ 101,171
Faurecia SA 312 20,219
Fimalac SA 560 21,890
# France Telecom SA 202,365 4,889,626
Gecina SA 3,700 288,642
Generale des Establissements Michelin SA Series B 8,009 391,323
Groupe Danone 7,642 1,319,021
Havas SA 12,513 66,426
* Hermes International SA 2,997 589,201
Imerys SA 1,000 227,498
* JC Decaux SA 9,528 203,418
Klepierre SA 1,862 128,138
LaFarge SA 9,716 833,066
LaFarge SA Prime Fidelity 8,604 745,456
# Lagardere S.C.A. SA 7,700 470,346
L'Oreal 51,116 3,970,231
LVMH (Louis Vuitton Moet Hennessy) 37,151 2,656,305
Metropole Television SA 3,117 87,213
Neopost SA 1,118 63,403
Pernod-Ricard SA 3,950 494,674
Peugeot SA 14,309 808,056
Pinault Printemps Redoute SA 8,640 903,333
Publicis Groupe 13,617 401,386
Remy Cointreau SA 1,518 50,686
Renault SA 18,294 1,363,211
Rexel SA 3,619 149,501
* SA Des Galeries Lafayette 559 108,320
Sagem SA 2,048 224,440
Sanofi Synthelabo 55,603 3,680,703
Schneider SA 12,889 868,235
* Scor SA 28,551 41,835
SEB SA Prime Fidelite 2002 764 85,917
SEB SA Prime Fidelity 990 111,222
Societe BIC SA 3,600 156,173
Societe des Ciments de Francais 737 57,300
Societe Generale d'Enterprise SA 4,640 445,642
Societe Generale, Paris 24,826 2,105,734
Societe Television Francaise 1 14,555 452,486
Sodexho Alliance SA 9,712 252,749
Somfy Interational SA 134 25,189
# Ste des Autoroutes du Sud de la France 19,738 753,313
Stmicroelectronics NV 53,696 1,210,496
# Suez (ex Suez Lyonnaise des Eaux) 56,220 1,094,851
Thales SA 13,084 461,738
Thomson Multimedia 15,000 286,223
Total SA 35,906 6,745,359
Unibail SA 2,500 248,738
Valeo SA 5,000 202,923
*# Veolia Environnement SA 26,535 710,143
* Vivendi Universal SA 59,936 1,529,557
* Wanadoo SA 43,078 419,616
* Wendel Investissement 3,203 151,900
Zodiac SA 4,460 144,946
---------------
TOTAL -- FRANCE
(Cost $59,763,136) 65,173,806
---------------
SWITZERLAND -- (6.2%)
COMMON STOCKS -- (6.0%)
* ABB, Ltd. 153,897 $ 862,658
* Actelion, Ltd. 1,600 175,795
* Adecco SA 16,373 788,292
Baloise-Holding 3,300 132,988
* BKW FMB Energie AG 90 38,808
* Ciba Spezialitaetenchemie Holding AG 4,525 309,165
Cie Financiere Richemont AG Series A 46,023 1,185,479
Clariant AG 15,571 214,972
* Credit Swisse Group 78,497 2,700,557
* Fischer (Georg) AG, Schaffhausen 145 31,613
* Forbo Holding AG, Eglisau 102 26,429
Geberit AG 274 176,430
# Givaudan SA 573 306,427
# Holcim, Ltd. 17,803 926,510
Julius Baer Holding AG 540 157,036
* Kudelski SA 3,084 94,509
Kuehne & Nagel International AG 1,500 197,277
Kuoni Reisen Holding AG 180 71,474
* Lindt & Spruengli AG 7 77,698
* Logitech International SA 3,319 153,293
Lonza Group AG 2,970 145,088
Nestle SA, Cham und Vevey 26,340 6,857,764
Nobel Biocare Holding AG 1,700 252,717
# Novartis AG 208,860 9,394,211
Phonak Holding AG 4,487 134,144
Publicitas Holding SA, Lausanne 104 32,371
Roche Holding AG Bearer 17,260 2,375,601
Roche Holding AG Genusschein 45,853 4,829,271
Schindler Holding AG 210 60,066
Schindler Holding AG 1,030 314,126
# Serono SA 1,109 676,087
# Societe Generale de Surveillance Holding SA 770 444,043
Straumann Holding AG 1,000 207,067
Sulzer AG, Winterthur 165 41,094
# Swatch Group AG 2,692 375,609
* Swiss Life AG 2,140 269,743
# Swiss Reinsurance Co., Zurich 21,255 1,319,433
# Swisscom AG 7,449 2,315,607
* Syngenta AG 7,449 590,903
# Synthes, Inc. 10,130 1,192,705
Tecan Group AG 627 26,776
# The Swatch Group AG 18,164 516,560
# UBS AG 77,901 5,590,760
* Unaxis Holding AG 912 103,285
Valora Holding AG 209 49,484
* Zimmer Holdings, Inc. 3,010 254,353
* Zurich Financial SVCS AG 9,504 1,495,356
---------------
TOTAL COMMON STOCKS
(Cost $39,080,073) 48,491,634
---------------
INVESTMENT IN CURRENCY -- (0.2%)
* Swiss Francs
(Cost $1,225,916) 1,241,865
---------------
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SHARES VALUE+
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
* Swiss Life Holdings AG
Rights 06/02/04
(Cost $0) 1,380 $ 0
---------------
TOTAL -- SWITZERLAND
(Cost $40,305,989) 49,733,499
---------------
GERMANY -- (5.5%)
COMMON STOCKS -- (5.5%)
Aachener und Muenchener Beteiligungs AG 596 43,017
Adidas-Salomon AG 2,400 284,395
* Aixtron AG 2,400 14,104
Allianz AG 22,867 2,390,586
Altana AG 11,010 716,347
BASF AG 31,350 1,606,578
Bayer AG 40,100 1,148,303
# Bayerische Motorenwerke AG 44,192 1,875,896
* Bayerische Vereinsbank AG 46,769 790,055
# Beiersdorf AG 7,703 870,744
Commerzbank AG 31,673 517,366
# Continental AG 7,400 333,098
* D. Logistics AG 1,200 2,542
DaimlerChrysler AG 56,252 2,503,585
# Deutsche Bank AG 31,988 2,517,999
# Deutsche Boerse AG 5,900 314,241
Deutsche Lufthansa AG 30,202 433,678
Deutsche Post AG 98,718 1,982,253
* Deutsche Telekom AG 290,398 4,888,094
Douglas Holding AG 1,500 40,034
E.ON AG 37,998 2,647,377
* Epcos AG 2,800 56,825
* Fraport AG 3,274 94,674
* Freenet.De AG 854 78,372
Fresenius Medical Care AG 5,195 384,298
Gehe AG 6,588 375,683
* Hannover Rueckversicherungs AG 3,742 127,269
* Heidelberger Druckmaschinen AG 2,678 84,886
Heidelberger Zement AG 7,569 333,452
Hochtief AG 2,695 59,148
* Hypo Real Estate Holding AG 6,387 179,544
* Infineon Technologies AG 43,704 592,044
Karstadt Quelle AG 7,555 156,042
# Linde AG 7,404 383,412
MAN AG 8,122 300,011
Medion AG 2,346 88,925
Merck KGAA 2,700 150,552
*# Metro AG 29,088 1,410,639
MG Technologies AG 11,945 155,452
# Munchener Rueckversicherungs-Gesellschaft AG 15,448 1,583,629
Oldenburgische Landesbank AG 637 50,562
# Preussag AG 9,786 189,951
Puma AG 800 194,765
Rwe AG (Neu) 800 31,294
Rwe AG (NEU) Series A 29,611 1,302,004
# SAP AG (Systeme Anwendungen
Produkte in der Datenverarbeitung) 21,517 3,477,864
Schering AG 10,800 589,631
* SGL Carbon AG 1,750 16,780
Siemens AG 47,475 3,359,921
Stada Arzneimittel AG 1,121 $ 58,007
Suedzucker AG 13,568 270,754
ThyssenKrupp AG 36,653 613,081
* T-Online International AG 76,305 878,324
United Internet AG 1,321 33,164
Volkswagen AG 20,257 887,366
* WCM Beteiligungs AG 11,608 16,481
---------------
TOTAL -- GERMANY
(Cost $48,582,936) 44,485,098
---------------
NETHERLANDS -- (3.9%)
COMMON STOCKS -- (3.9%)
ABN-AMRO Holding NV 122,634 2,612,136
Aegon NV 117,874 1,423,571
* Air France 2,614 42,466
AKZO Nobel NV 20,687 745,101
Buhrmann NV 6,020 57,363
DSM NV 7,868 388,534
Elsevier NV 57,907 807,817
* Getronics NV 27,590 76,293
* Hagemeyer NV 21,897 46,884
Heineken Holding NV Series A 27,038 793,539
Heineken NV 56,719 1,874,693
* Hunter Douglas NV 3,502 163,215
IHC Caland NV 2,124 100,190
ING Groep NV 166,457 3,760,069
* Koninklijke Ahold NV 145,070 1,134,825
Koninklijke KPN NV 199,776 1,453,124
* Koninklijke Numico NV 12,248 389,125
Koninklijke Philips Electronics NV 90,808 2,480,208
Koninklijke Vendex KBB NV 5,978 111,200
* Norit NV 34,890 611,540
Oce NV 4,991 74,278
Randstad Holdings NV 8,050 211,474
Royal Dutch Petroleum Co., Den Haag 143,761 7,191,425
TNT Post Groep NV 45,904 1,030,728
Unilever NV 39,438 2,591,402
Vedior NV 15,338 228,694
VNU NV 19,323 568,964
Wolters Kluwer NV 21,861 370,518
---------------
TOTAL COMMON STOCKS
(Cost $32,721,347) 31,339,376
---------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 2,377 2,990
* ING Groep NV Coupons 06/17/05 166,457 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $4,469) 2,990
---------------
TOTAL -- NETHERLANDS
(Cost $32,725,816) 31,342,366
---------------
AUSTRALIA -- (3.9%)
COMMON STOCKS -- (3.8%)
Amcor, Ltd. 61,317 284,200
AMP Limited 111,330 442,508
Ansell, Ltd. 12,403 69,843
APN News & Media, Ltd. 23,741 69,246
Aristocrat Leisure, Ltd. 25,976 79,469
Australand Property Group 30,781 35,790
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SHARES VALUE+
--------------- ---------------
Australia & New Zealand Banking Group, Ltd. 121,193 $ 1,559,324
Australian Gas Light Co. 31,475 264,612
Australian Stock Exchange, Ltd. 5,600 61,366
AWB, Ltd. 15,115 52,837
AXA Asia Pacific Holdings, Ltd. 139,317 337,403
Bendigo Bank, Ltd. 5,694 42,157
BHP Billiton, Ltd. 261,912 2,247,754
BHP Steel Ltd 51,941 229,657
* Billabong International, Ltd. 10,606 62,337
Boral, Ltd. 36,452 152,438
Brambles Industries, Ltd. 66,718 280,980
Brickworks, Ltd. 5,844 35,756
* Burns, Philp & Co., Ltd. 90,152 40,508
Caltex Australia, Ltd. 12,048 74,257
Coca-Cola Amatil, Ltd. 35,542 180,045
Cochlear, Ltd. 3,100 45,330
Coles Myer, Ltd. 94,099 569,176
Commonwealth Bank of Australia 87,566 2,050,990
Computershare, Ltd. 34,090 73,930
CSL, Ltd. 10,618 174,368
CSR, Ltd. 55,115 75,854
* Davids Limited 27,928 52,024
Deutsche Office Trust 44,700 39,515
Flight Centre, Ltd. 4,194 52,790
Foodland Associates, Ltd. 6,090 80,175
Foster's Group, Ltd. 150,976 491,118
Futuris Corp., Ltd. 42,265 46,748
General Property Trust 75,385 184,635
Harvey Norman Holdings, Ltd. 91,545 178,160
Iluka Resources, Ltd. 15,365 43,569
Insurance Australiz Group, Ltd. 119,754 389,137
James Hardies Industries NL 30,184 129,520
John Fairfax Holdings, Ltd. 55,963 138,133
Leighton Holdings, Ltd. 23,641 136,245
Lend Lease Corp., Ltd. 31,264 224,042
Lion Nathan, Ltd. 43,600 205,274
Macquarie Bank, Ltd. 14,533 345,861
Macquarie Infrastructure Group 69,634 156,484
Mayne Group, Ltd. 49,547 105,844
Mirvac, Ltd. 46,875 141,960
National Australia Bank, Ltd. 106,524 2,276,671
National Foods, Ltd. 9,831 30,489
Newcrest Mining, Ltd. 21,576 194,614
News Corp., Ltd. 158,899 1,459,558
News Corp., Ltd. Pref Ordinary 284,248 2,414,182
Onesteel, Ltd. 36,779 58,978
Orica, Ltd. 17,659 184,413
Origin Energy, Ltd. 46,223 173,944
* Oxiana, Ltd. 52,556 31,130
Paperlinx, Ltd. 29,331 101,845
Patrick Corp., Ltd. 33,558 116,879
Perpetual Trustees Australia, Ltd. 1,977 62,085
Publishing and Broadcasting, Ltd. 60,779 534,981
QBE Insurance Group, Ltd. 47,261 420,847
Quantas Airways, Ltd. 163,543 400,387
Rinker Group, Ltd. 62,315 333,130
Rio Tinto, Ltd. 35,325 881,520
* Rural Press, Ltd. 5,203 27,966
Santos, Ltd. 38,543 186,416
* Scigen 11,443 522
Sigma Co., Ltd. 7,216 $ 39,120
Sonic Healthcare, Ltd. 16,529 103,940
* Sons of Gwalia, Ltd. 7,201 13,834
* Southcorp, Ltd. 49,137 110,815
St. George Bank, Ltd. 30,907 483,474
* Stockland Trust Group 1,070 3,993
Stockland Trust Group 31,060 116,961
Suncorp-Metway, Ltd. 36,688 361,170
Tab, Ltd. 27,500 93,375
Tabcorp Holdings, Ltd. 29,534 282,115
Telstra Corp., Ltd. 603,648 2,017,761
Ten Network Holdings, Ltd. 17,535 35,911
Toll Holdings, Ltd. 19,556 149,255
Transurban Group 32,295 103,709
Washington H. Soul Pattinson & Co., Ltd. 10,671 47,205
Wesfarmers, Ltd. 24,851 500,669
West Australian Newspapers Holdings, Ltd. 10,881 51,267
Westfield Holdings, Ltd. 37,309 388,868
* Westfield Trust 57 169
Westfield Trust 2,312 7,013
Westpac Banking Corp. 126,435 1,549,889
WMC Resources, Ltd. 75,345 248,221
WMC, Ltd. 75,646 286,789
Woodside Petroleum, Ltd. 56,079 633,847
Woolworths, Ltd. 69,050 580,794
---------------
TOTAL COMMON STOCKS
(Cost $23,701,372) 30,834,090
---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar
(Cost $467,463) 472,133
---------------
TOTAL -- AUSTRALIA
(Cost $24,168,835) 31,306,223
---------------
ITALY -- (3.0%)
COMMON STOCKS -- (3.0%)
* Acea SpA 4,000 28,421
* AEM SpA 24,480 45,849
*# Alitalia Linee Aeree Italiane SpA Series A 50,000 14,325
Alleanza Assicurazioni SpA 43,804 479,196
Assicurazioni Generali SpA, Trieste 58,514 1,516,664
* Autogrill SpA, Novara 10,000 141,983
* Banca Antoniana Popolare Veneta SpA 9,599 191,443
Banca Fideuram SpA 50,948 291,817
Banca Monte Dei Paschi di Siena SpA 135,554 420,411
* Banca Nazionale del Lavoro SpA 101,562 212,802
Banca Popolare di Lodi Scarl 9,804 89,821
Banca Popolare di Milano 14,520 85,453
Banco Popolare di Verona e Novara SpA 16,000 262,526
Benetton Group SpA 6,950 78,722
Bulgari SpA 13,000 125,702
Capitalia SpA 100,360 296,643
# Cassa di Risparmio di Firenze SpA 21,455 36,802
# Compagnia Assicuratrice Unipol SpA 11,382 44,424
Credito Italiano 327,819 1,532,769
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SHARES VALUE+
--------------- ---------------
E.Biscom SpA 1,000 $ 58,177
*# Edison SpA 167,195 289,643
# Eni SpA 198,578 4,035,829
# Ente Nazionale per L'Energia Elettrica SpA 370,835 3,033,887
* Fiat SpA 39,286 278,277
* Finecogroup SpA 14,490 85,108
# Finmeccanica SpA 385,000 290,622
Gruppo Editoriale L'espresso SpA 16,000 98,264
# Intesabci SpA 316,482 1,136,135
Italcementi SpA 6,680 83,581
# Luxottica Group SpA 24,655 399,314
Mediaset SpA 66,880 732,927
Mediobanca SpA 34,000 389,312
# Mediolanum SpA 33,000 222,156
Mondadori (Arnoldo) Editore SpA 10,500 100,070
Pirelli & Co. SpA 93,332 95,767
RAS SpA (Riunione Adriatica di Sicurta) 38,672 693,268
SAI SpA (Sta Assicuratrice Industriale), Torino 3,906 86,897
Saipem SpA 16,937 154,273
San Paolo-IMI SpA 66,607 762,673
Seat Pagine Gialle SpA 8,018 3,182
* Seat Pagine Gialle SpA, Torino 3,041 1,290
SNAM Rete Gas SpA 105,674 444,900
SNIA SpA 9,248 2,786
Societe Cattolica di Assicurazoni Scarl SpA 934 36,287
* Sorin SpA 13,872 35,574
Telecom Italia Mobile SpA 485,179 2,629,586
# Telecom Italia SpA 701,433 2,151,065
* Tiscali SpA 13,000 56,965
---------------
TOTAL COMMON STOCKS
(Cost $22,777,237) 24,283,588
---------------
PREFERRED STOCKS -- (0.0%)
* Fiat SpA
(Cost $43,047) 3,000 12,827
---------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 01/31/07
(Cost $0) 1,677 372
---------------
TOTAL -- ITALY
(Cost $22,820,284) 24,296,787
---------------
SPAIN -- (2.8%)
COMMON STOCKS -- (2.8%)
Acciona SA 4,613 291,583
# Acerinox SA 3,500 191,804
* Antena 3 Television 898 45,629
# Autopistas Concesionaria Espanola SA 37,894 638,828
# Banco Bilbao Vizcaya SA 182,100 2,412,663
Banco de Andalucia 655 57,893
Banco de Sabadell SA 10,406 214,226
# Banco de Valencia SA 4,181 87,190
Banco Pastor SA 1,281 38,009
# Banco Popular Espanol SA, Madrid 14,722 827,598
Banco Santander Central Hispanoamerica SA 271,784 2,888,095
Bankinter SA 3,867 $ 144,643
Cementos Portland SA 1,338 80,262
* Centros Comerciales Carrefour SA 20,065 386,964
# Cia Espanola de Petroleous SA 10,942 361,073
Compania de Distribucion Integral Logista SA 1,457 46,762
*# Coporacion Financiera Reunida SA 6,070 65,427
Corporacion Mapfre Compania Internacional de Reaseguros SA 12,760 145,206
Ebro Puleva SA 2,892 35,259
* Enagas SA 11,325 127,113
Endesa SA, Madrid 60,300 1,113,186
Fomento de Construcciones y Contratas SA 9,577 344,921
* Gamesa Corporacion Technologica SA 3,024 135,615
# Gas Natural SA, Buenos Aires 35,972 859,438
# Grupo Ferrovial SA 10,223 402,422
Iberdrola SA 51,300 1,034,950
Iberia Lineas Aereas de Espana SA 57,296 164,560
Indra Sistemas SA 7,600 97,182
Industria de Diseno Textil SA 51,131 1,175,582
# Metrovacesa SA 3,614 138,483
OCP Construcciones SA, Madrid 7,622 372,022
Promotora de Informaciones SA 13,866 239,702
Red Electrica de Espana S.A. 6,151 101,948
Repsol SA 75,700 1,601,540
Sociedad General de Aguas de Barcelona SA 6,192 103,104
* Sociedad General de Aguas de Barcelona SA 61 1,024
* Sogecable SA 5,430 224,757
# Sol Melia SA 8,400 72,344
Tabacalera SA 15,900 486,536
* Tele Pizza SA 7,000 12,734
# Telefonica de Espana SA 282,457 4,103,377
# Telefonica Publicidad e Informacion SA 23,179 160,049
Union Fenosa SA 19,200 409,593
# Vallehermoso SA 17,641 259,758
# Zardoya Otis SA 9,831 200,448
*# Zeltia SA 10,500 76,366
---------------
TOTAL -- SPAIN
(Cost $18,314,874) 22,977,868
---------------
SWEDEN -- (2.0%)
COMMON STOCKS -- (1.9%)
* Ainax AB 1,922 53,962
Alfa Laval AB 7,600 117,372
Assa Abloy AB Series B 20,500 237,744
Atlas Copco AB Series A 9,300 343,347
Atlas Copco AB Series B 3,600 122,519
Axfood AB 2,700 67,815
Billerud AB 3,200 49,816
* Bostads AB Drott 1,175 21,119
Castellum AB 2,200 51,893
* Drott Series AB 4,700 65,734
Electrolux AB Series B 18,500 367,329
Eniro AB 8,200 64,408
Gambro AB Series A 15,300 138,024
Gambro AB Series B 5,200 46,202
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SHARES VALUE+
--------------- ---------------
Getinge AB 11,600 $ 135,280
Hennes & Mauritz AB Series B 57,900 1,433,926
Hoganas AB Series B 1,300 32,195
Holmen AB Series B 4,300 123,263
* Lundin Petroleum AB 9,000 51,527
* Modern Times Group AB Series B 1,800 32,353
Netcom AB Series B 8,700 374,460
Nordic Baltic Holdings AB 201,048 1,362,396
* OMHEX AB 6,500 86,239
Sandvik AB 16,700 567,170
Scania AB 4,000 123,357
Scania AB Series B 5,400 169,290
Securitas AB Series B 20,900 258,050
Skandia Insurance AB 63,500 254,688
Skandinaviska Enskilda Banken Series A 53,100 765,653
Skanska AB Series B 19,500 162,968
SSAB Swedish Steel Series A 3,500 58,546
SSAB Swedish Steel Series B 1,400 22,660
Svenska Cellulosa AB Series B 12,700 492,126
Svenska Handelsbanken Series A 45,800 891,156
Svenska Kullagerfabriken AB Series A 2,300 83,186
Svenska Kullagerfabriken AB Series B 5,200 189,719
Swedish Match AB (Frueher Svenska Taendsticks AB) 20,400 215,211
Tele2 AB Series A 800 34,189
* Telefon AB L.M. Ericsson Series B 950,800 2,658,934
# Telia AB 381,900 1,614,475
Tietoenator Corp. AB 3,400 100,829
Trelleborg AB Series B 4,200 76,123
# Volvo AB Series A 8,900 277,542
# Volvo AB Series B 20,900 683,228
WM-Data AB Series B 8,500 18,969
---------------
TOTAL COMMON STOCKS
(Cost $13,843,369) 15,096,992
---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Swedish Krona
(Cost $643,514) 647,648
---------------
TOTAL -- SWEDEN
(Cost $14,486,883) 15,744,640
---------------
HONG KONG -- (1.3%)
COMMON STOCKS -- (1.3%)
ASM Pacific Technology, Ltd. 12,000 47,890
Bank of East Asia, Ltd. 64,910 184,206
Cathay Pacific Airways, Ltd. 176,000 332,237
Cheung Kong Holdings, Ltd. 105,600 793,150
Cheung Kong Infrastructure Holdings, Ltd. 99,000 240,040
China Merchants Holdings (International) Co., Ltd. 54,000 71,316
China Unicom, Ltd. 232,000 176,330
CLP Holdings, Ltd. 110,400 584,908
CNOOC, Ltd. 712,500 303,260
Dah Sing Financial Holdings, Ltd. 3,600 24,187
Esprit Holdings, Ltd. 54,541 237,325
Giordano International, Ltd. 40,000 24,496
Hang Lung Development Co., Ltd. 24,000 32,640
Hang Lung Properties, Ltd. 113,500 $ 147,677
Hang Seng Bank, Ltd. 103,000 1,304,014
Henderson Investment, Ltd. 72,000 84,964
Henderson Land Development Co., Ltd. 97,000 417,942
* Hong Kong and China Gas Co., Ltd. 51,000 80,526
Hong Kong Electric Holdings, Ltd. 93,707 391,998
Hong Kong Exchanges & Clearing, Ltd. 48,000 99,557
Hopewell Holdings, Ltd. 38,000 66,099
Hutchison Whampoa, Ltd. 218,500 1,477,411
Hysan Development Co., Ltd. 41,242 66,380
I-Cable Communications, Ltd. 9,854 3,786
Johnson Electric Holdings, Ltd. 168,000 158,097
Kerry Properties, Ltd. 18,000 29,122
Kowloon Motor Bus Holdings, Ltd. 1,200 5,894
* Legend Group, Ltd. 174,000 54,657
Li & Fung, Ltd. 126,000 186,333
* MTR Corp., Ltd. 18,500 27,017
New World Development Co., Ltd. 128,860 99,968
NWS Holdings Ltd. 27,000 32,198
* PCCW, Ltd. 235,265 159,917
SCMP Group, Ltd. 39,198 15,697
Shangri-La Asia, Ltd. 99,872 98,111
Sino Land Co., Ltd. 180,644 105,354
Smartone Telecommunications Holdings, Ltd. 23,000 24,652
Sung Hungkai Properties, Ltd. 118,706 1,007,851
Swire Pacific, Ltd. Series A 42,500 274,021
Techtronic Industries Co., Ltd. 28,000 84,287
Television Broadcasts, Ltd. 20,000 87,987
Texwinca Holdings, Ltd. 60,000 47,707
Wharf Holdings, Ltd. 107,542 303,130
Wheelock and Co., Ltd. 29,000 34,755
Wing Hang Bank, Ltd. 4,500 26,303
# Yue Yuen Industrial (Holdings), Ltd. 69,000 171,914
---------------
TOTAL COMMON STOCKS
(Cost $10,956,855) 10,227,311
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars
(Cost $166,551) 166,537
---------------
TOTAL -- HONG KONG
(Cost $11,123,406) 10,393,848
---------------
FINLAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Amer-Yhtymae Oyj Series A 1,500 76,996
* Elisa Communications Corp. 10,063 125,447
Fortum Oyj 90,288 1,060,115
KCI Konecranes International Oyj 700 24,185
Kemira Oyj 4,000 50,523
Kesko Oyj 6,400 126,002
Kone Corp. 5,140 296,022
Metso Oyj 10,444 127,906
M-real Oyj Series B 9,000 76,581
Nokia Oyj 342,121 4,686,868
Nokian Renkaat Oyj 500 46,203
Orion-Yhtyma Oyj Series A 200 5,052
Orion-Yhtyma Oyj Series B 2,000 50,850
Outokumpu Oyj Series A 15,900 240,890
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<Caption>
SHARES VALUE+
--------------- ---------------
Pohjola Group P.L.C. Series D 9,600 $ 93,522
Rautaruukki Oyj Series K 8,700 64,769
Sampo Insurance Co., Ltd. 58,700 582,159
Sanoma-Wsoy Oyj Series A 1,391 24,797
Sanoma-Wsoy Oyj Series B 13,063 232,680
Stora Enso Oyj Series R 67,900 880,090
Tietoenator Corp. 2,800 82,623
Upm-Kymmene Oyj 45,800 822,604
Uponor Oyj Series A 2,300 73,143
Wartsila Corp. Oyj Series B 2,900 59,225
---------------
TOTAL -- FINLAND
(Cost $9,986,195) 9,909,252
---------------
BELGIUM -- (0.8%)
COMMON STOCKS -- (0.8%)
AGFA-Gevaert NV, Mortsel 7,300 177,527
Algemene Mij Voor Nijverheidskredit Almanij 6,572 398,651
Barco (New) NV 400 34,950
Bekaert SA 700 40,451
Cie Martime Belge SA 300 28,204
Cofinimmo SA 200 25,644
Colruyt SA Halle 1,700 185,219
* Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 3,600 168,319
# Dexia SA 50,657 847,840
D'Ieteren SA 290 57,729
# Electrabel SA 2,900 945,514
Exmar NV 300 16,468
# Fortis AG 53,679 1,141,072
Groupe Bruxelles Lambert 2,500 154,459
Interbrew SA 23,590 720,029
KBC Bancassurance Holding SA 15,700 899,884
* Mobistar SA 2,500 156,404
Omega Pharma SA 500 24,185
Solvay SA 4,400 354,131
# UCB SA 7,600 353,722
* Umicore-Strip VVPR 55 10
Union Miniere SA 1,155 70,118
---------------
TOTAL COMMON STOCKS
(Cost $6,205,870) 6,800,530
---------------
RIGHTS/WARRANTS -- (0.0%)
* Cofinimmo SA Rights 06/11/04
(Cost $0) 200 0
---------------
TOTAL -- BELGIUM
(Cost $6,205,870) 6,800,530
---------------
DENMARK -- (0.7%)
COMMON STOCKS -- (0.7%)
Bang & Olufsen Holding A.S. Series B 290 16,864
Carlsberg A.S. Series B 3,475 170,044
Codan A.S. 500 20,955
Coloplast A.S. Series B 970 94,284
Dampskibsselskabet Svendborg A.S. 254 1,654,295
Danisco A.S. 2,450 116,113
Danske Bank A.S. 37,056 842,536
DSV, De Sammensluttede Vognmaend A.S. 880 40,525
East Asiatic Co., Ltd. 900 39,974
* FLS Industries 890 $ 12,054
GN Great Nordic A.S. 9,620 72,227
Group 4 Falck A.S. 3,480 80,626
H. Lundbeck A.S. 14,002 310,827
ISS A.S. 1,763 84,298
* Jyske Bank A.S. 1,330 70,123
Koebenhavns Lufthavne 280 39,715
NKT Holding A.S. 1,100 21,523
Novo-Nordisk A.S. Series B 14,150 650,675
Novozymes A.S. Series B 2,830 123,960
Sydbank A.S. 240 34,350
Tele Danmark A.S. 12,110 408,545
* TK Development 614 1,321
* Topdanmark A.S. 1,300 78,608
* Vestas Wind Systems A.S. 4,400 58,650
* Vestas Wind Systems A.S. Issue 04 1,466 19,015
* William Demant Holding 3,260 120,615
---------------
TOTAL COMMON STOCKS
(Cost $4,396,887) 5,182,722
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone
(Cost $300,967) 303,474
---------------
RIGHTS/WARRANTS -- (0.0%)
* Vestas Wind Systems A.S. Rights 06/03/04
(Cost $0) 2 3
---------------
TOTAL -- DENMARK
(Cost $4,697,854) 5,486,199
---------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Allgreen Properties, Ltd. 41,000 22,901
* Capitacommercial Trust 23,100 13,854
Capitaland, Ltd. 115,500 88,169
* Chartered Semiconductor Manufacturing, Ltd. 112,000 94,556
City Developments, Ltd. 32,000 98,314
Comfortdelgro Corp., Ltd. 81,000 54,323
Creative Technology Co., Ltd. 3,000 30,155
Cycle & Carriage, Ltd. 5,982 22,853
DBS Group Holdings, Ltd. 75,000 620,736
Fraser & Neave, Ltd. 11,100 88,035
Great Eastern Holdings, Ltd. 14,000 96,910
Haw Par Brothers International, Ltd. 2,248 6,174
Keppel Corp., Ltd. 32,000 125,122
Keppel Land, Ltd. 22,000 21,457
* MobileOne, Ltd. 23,000 20,372
Neptune Orient Lines, Ltd. 47,000 59,208
Overseas Chinese Banking Corp., Ltd. 63,300 446,081
Overseas Union Enterprise, Ltd. 6,000 23,753
Parkway Holdings, Ltd. 20,000 13,547
Sembcorp Industries, Ltd. 78,000 66,029
Sembcorp Logistics, Ltd. 39,000 43,725
Sembcorp Marine, Ltd. 55,000 28,477
Singapore Airlines, Ltd. 73,000 450,855
Singapore Land, Ltd. 11,000 24,973
Singapore Press Holdings 16,000 192,484
Singapore Technologies Engineering, Ltd. 155,000 175,864
</Table>
162
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Singapore Telecommunications, Ltd. 1,178,000 $ 1,513,742
Smrt Corporation, Ltd. 59,000 22,684
*# St Assembly Test Services, Ltd. 38,000 32,922
United Overseas Bank, Ltd. 76,000 580,046
United Overseas Land, Ltd. 22,000 29,269
Venture Manufacturing (Singapore), Ltd. 10,000 106,490
Wing Tai Holdings, Ltd. 22,166 11,098
---------------
TOTAL COMMON STOCKS
(Cost $6,124,378) 5,225,178
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $148,956) 149,994
---------------
RIGHTS/WARRANTS -- (0.0%)
* City Developments, Ltd. Warrants
(Cost $0) 3,200 5,080
---------------
TOTAL -- SINGAPORE
(Cost $6,273,334) 5,380,252
---------------
IRELAND -- (0.6%)
COMMON STOCKS -- (0.6%)
Allied Irish Banks P.L.C. 68,071 964,365
Anglo Irish Bank Corp. P.L.C. 24,997 395,909
Bank of Ireland P.L.C. 72,629 859,837
CRH P.L.C. 39,532 839,639
DCC P.L.C. 4,814 78,338
* Elan Corp. P.L.C. 28,990 684,614
Fyffes P.L.C. 17,987 35,203
* Grafton Group P.L.C. 15,596 112,207
Greencore Group P.L.C. 13,520 51,156
IAWS Group P.L.C. 8,593 96,712
Independent News & Media P.L.C. 66,416 157,114
Irish Permanent P.L.C. 18,325 275,706
Kerry Group P.L.C. 17,981 371,082
* Ryanair Holdings P.L.C. 32,702 173,280
Waterford Wedgwood P.L.C. 57,541 13,785
---------------
TOTAL -- IRELAND
(Cost $4,533,816) 5,108,947
---------------
EMU -- (0.6%)
INVESTMENT IN CURRENCY -- (0.6%)
* Euro Currency
(Cost $4,593,583) 4,624,056
---------------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
* Aker Kvaerner ASA 755 12,055
Den Norske Bank ASA Series A 46,600 295,667
* Merkantildata ASA 6,800 5,109
Nera ASA 6,300 16,717
Norsk Hydro ASA 16,900 1,048,742
Norske Skogindustrier ASA Series A 5,000 83,355
* Opticom ASA 600 5,867
Orkla ASA Series A 11,471 291,205
Schibsted ASA 2,700 47,443
Smedvig ASA Series A 3,800 35,706
Statoil Den Norske Stats Oljeselskap ASA 52,301 654,843
Storebrand ASA 14,500 97,394
Tandberg ASA Series A 5,600 56,397
Telenor ASA 71,341 $ 512,476
Tomra Systems ASA 9,200 37,039
* Yara International ASA 16,900 125,403
---------------
TOTAL COMMON STOCKS
(Cost $2,600,205) 3,325,418
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone
(Cost $196,132) 197,907
---------------
TOTAL -- NORWAY
(Cost $2,796,337) 3,523,325
---------------
GREECE -- (0.3%)
COMMON STOCKS -- (0.3%)
Alpha Credit Bank 10,164 265,914
Athens Water Supply & Sewage Co. S.A. 4,100 28,272
Attica Enterprises S.A. Holdings 3,130 12,633
Bank of Piraeus S.A. 6,510 75,842
Commercial Bank of Greece 3,700 97,957
* Cosmote Mobile Telecommunications S.A. 9,750 162,962
EFG Eurobank Ergasias S.A. 17,470 388,853
Hellenic Bottling Co. S.A. 13,170 328,899
Hellenic Duty Free Shops S.A. 2,000 36,733
Hellenic Petroleum S.A. 13,100 100,125
Hellenic Technodomiki S.A. 3,900 19,454
Hellenic Tellecommunication Organization Co. S.A. 32,460 426,517
Intracom S.A. 3,310 16,652
* Mailis (M.J.) S.A. 2,800 9,530
National Bank of Greece 13,285 400,093
Public Power Corp. of Greece 13,790 344,431
Titan Cement Co. 1,140 49,824
Viohalco S.A. 2,800 17,732
---------------
TOTAL -- GREECE
(Cost $2,300,943) 2,782,423
---------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Comercial Portugues SA 172,715 400,276
Banco Espirito Santo e Comercial de Lisboa 17,995 296,298
BPI SGPS SA 44,098 160,901
Brisa Auto Estradas de Portugal SA 24,268 168,200
Cimpor Cimentos de Portugal SA 34,848 182,831
Electricidade de Portugal SA 144,658 392,082
* Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho
Administracao e Participacoes Financeiros SA) 5,600 66,095
Portugal Telecom SA 62,730 642,692
PT Multimedia Servicos de Telecomunicacoes e Multimedia
SGPS SA 5,286 110,918
Sonae SGPS SA 108,923 113,125
---------------
TOTAL -- PORTUGAL
(Cost $2,631,882) 2,533,418
---------------
</Table>
163
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
Bohler Uddeholm AG 480 $ 36,603
BWT AG 880 21,533
Erste Bank der Oesterreichischen Sparkassen AG 2,731 422,201
EVN AG 674 35,492
Flughafen Wien AG 579 32,223
* Immofinanz Immobilien Anlagen AG 8,273 65,386
Mayr-Melnhof Karton AG 472 56,661
Oesterreichische Elektrizitaetswirtschafts AG 810 134,482
OMV AG 1,728 303,035
* RHI AG, Wien 778 16,158
* Telekom Austria AG 20,547 286,633
* VA Technologie AG 805 42,959
Voestalpine AG 1,479 65,995
Wienerberger AG 4,007 135,793
---------------
TOTAL COMMON STOCKS
(Cost $1,160,576) 1,655,154
---------------
RIGHTS/WARRANTS -- (0.0%)
* Wienerberger AG Rights 06/02/04
(Cost $0) 4,007 0
---------------
TOTAL -- AUSTRIA
(Cost $1,160,576) 1,655,154
---------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 18,875 79,616
Carter Holt Harvey, Ltd. 128,700 158,483
Contact Energy, Ltd. 29,322 103,787
Fisher & Paykel Apppliances Holdings, Ltd. 14,080 40,461
Fisher & Paykel Healthcare Corp. 6,279 49,973
Fletcher Building, Ltd. 28,054 77,841
Independent Newspapers, Ltd. (Auckland) 21,417 65,514
Sky City Entertainment Group, Ltd. 28,614 85,272
* Sky Network Television, Ltd. 17,139 57,470
Telecom Corporation of New Zealand, Ltd. 133,816 465,524
* Tower, Ltd. 25,408 $ 25,402
Warehouse Group, Ltd. 14,200 38,332
---------------
TOTAL COMMON STOCKS
(Cost $887,116) 1,247,675
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $37,056) 37,470
---------------
TOTAL -- NEW ZEALAND
(Cost $924,172) 1,285,145
---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (16.1%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04 (Collateralized by
$14,225,000 FMC Discount Notes 1.13%, 08/12/04,
valued at $14,189,438) to be repurchased at $13,980,382
(Cost $13,979,000) $ 13,979 13,979,000
Repurchase Agreement, Mizuho Securities USA 1.00%,
06/01/04 (Collateralized by $122,482,000 U.S.
Treasury Obligations 2.625%, 05/15/08, valued at
$119,112,191) to be repurchased at $116,789,323
(Cost $116,776,348)^ 116,776 116,776,348
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $130,755,348) 130,755,348
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $772,953,663)++ $ 810,199,962
===============
</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 $773,766,551.
See accompanying Notes to Financial Statements.
164
<Page>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
UNITED STATES -- (58.5%)
AGENCY OBLIGATIONS -- (31.7%)
Federal Farm Credit Bank
3.625%, 10/24/08 $ 72,000 $ 70,642,296
Federal Home Loan Bank
2.625%, 07/15/08 20,000 18,985,900
5.800%, 09/02/08 15,500 16,535,803
3.625%, 11/14/08 39,000 38,257,245
3.625%, 11/14/08 5,000 4,904,775
3.000%, 04/15/09 10,000 9,456,890
Federal Home Loan Mortgage Corporation
3.625%, 09/15/08 41,000 40,343,098
5.125%, 10/15/08 24,000 25,046,976
5.750%, 03/15/09 16,000 17,062,624
3.375%, 04/15/09 8,000 7,699,232
Federal National Mortgage Association
3.250%, 08/15/08 12,000 11,653,932
5.250%, 01/15/09 12,500 13,058,000
3.250%, 02/15/09 52,000 49,880,844
Tennessee Valley Authority
5.375%, 11/13/08 24,400 25,712,500
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $357,933,850) 349,240,115
---------------
BONDS -- (26.8%)
Bayerische Landesbank
2.875%, 10/15/08 7,600 7,173,975
5.875%, 12/01/08 9,600 10,252,359
Citigroup, Inc.
3.625%, 02/09/09 7,000 6,782,678
Fifth Third Bank
3.375%, 08/15/08 21,035 20,487,796
General Electric Capital Corp.
4.250%, 01/15/08 22,050 22,295,372
Gillette Co.
2.875%, 03/15/08 21,300 20,658,380
2.500%, 06/01/08 6,500 6,164,080
Procter & Gamble Co.
6.125%, 05/08/08 24,400 26,151,920
4.300%, 08/15/08 4,200 4,262,756
Siemens Capital Co., Ltd.
6.000%, 02/11/08 24,200 25,889,160
Toyota Motor Credit Corp.
2.875%, 08/01/08 28,000 26,864,124
US Bank NA
3.400%, 03/02/09 30,250 28,971,696
Wal-Mart Stores, Inc.
3.375%, 10/01/08 25,000 24,292,275
Wells Fargo & Co. Corporate Bonds
3.125%, 04/01/09 32,090 30,385,026
Westdeutsche Landesbank
6.050%, 01/15/09 $ 32,200 $ 34,335,697
---------------
TOTAL BONDS
(Cost $300,787,752) 294,967,294
---------------
TOTAL -- UNITED STATES
(Cost $658,721,602) 644,207,409
---------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (8.9%)
BONDS -- (8.9%)
African Development Bank
3.250%, 08/01/08 23,000 22,343,948
European Investment Bank
5.375%, 09/16/08 24,200 25,584,724
Inter-American Development Bank
3.375%, 03/17/08 12,050 11,926,644
5.375%, 11/18/08 9,000 9,555,831
World Bank (International Bank for
Reconstruction & Development)
Corporate Bonds
5.000%, 10/29/08 27,260 28,513,960
---------------
TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS
(Cost $99,957,756) 97,925,107
---------------
CANADA -- (7.7%)
BONDS -- (7.7%)
BP Canada Finance
3.625%, 01/15/09 6,200 6,064,313
Canada Mortgage and Housing Corp.
3.375%, 12/01/08 15,400 15,133,134
Canadian Government
5.250%, 11/05/08 26,300 27,888,520
Province of Ontario
5.500%, 10/01/08 26,520 27,977,035
Province of British Columbia
5.375%, 10/29/08 7,670 8,114,093
---------------
TOTAL -- CANADA
(Cost $86,952,455) 85,177,095
---------------
GERMANY -- (7.7%)
BONDS -- (7.7%)
Deutsche Postbank
5.500%, 02/17/09 8,000 8,451,200
KFW International Finance, Inc.
3.250%, 03/30/09 30,800 29,868,670
Landesbank Baden-Wuerttemberg Foerderbank
3.000%, 09/30/08 24,200 23,277,980
Landwirtschaft Rentenbank
3.250%, 06/16/08 17,500 17,133,812
3.875%, 09/04/08 6,300 6,288,206
---------------
TOTAL -- GERMANY
(Cost $87,326,372) 85,019,868
---------------
</Table>
165
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
FRANCE -- (4.7%)
BONDS -- (4.7%)
Dexia Credit Local de France
5.500%, 01/21/09 $ 20,115 $ 21,225,348
Total Capital SA
3.500%, 01/05/09 30,900 30,195,480
---------------
TOTAL -- FRANCE
(Cost $52,810,527) 51,420,828
---------------
NETHERLANDS -- (4.1%)
BONDS -- (4.1%)
Nederlandse Waterschaps
2.750%, 12/30/08 19,300 18,296,400
Rabobank
5.500%, 09/17/08 25,000 26,412,500
---------------
TOTAL -- NETHERLANDS
(Cost $45,822,919) $ 44,708,900
---------------
<Caption>
FACE
AMOUNT@
---------------
(000)
SWEDEN -- (3.1%)
BONDS -- (3.1%)
Sweden Government Bond
5.000%, 01/28/09 247,000 34,635,163
---------------
<Caption>
FACE
AMOUNT
---------------
(000)
AUSTRIA -- (1.7%)
BONDS -- (1.7%)
Republic of Austria
6.250%, 05/19/08 $ 17,657 $ 19,183,624
---------------
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
SPAIN -- (1.6%)
BONDS -- (1.6%)
Spain (Kingdom of)
5.875%, 07/28/08 $ 16,000 $ 17,204,480
---------------
JAPAN -- (1.5%)
BONDS -- (1.5%)
Nippon Telegraph & Telephone Corp.
6.000%, 03/25/08 15,110 16,167,413
---------------
UNITED KINGDOM -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $5,393) 6,351
---------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $5,322,000 FHLB
Notes 3.375%, 06/15/04, valued
at $5,408,483) to be repurchased at
$5,327,527 (Cost $5,327,000) 5,327 5,327,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,124,513,788)++ $ 1,100,983,238
===============
</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 $1,124,513,788.
See accompanying Notes to Financial Statements.
166
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
<Caption>
DFA
DFA LARGE FIVE-YEAR
REAL ESTATE CAP GLOBAL
SECURITIES INTERNATIONAL FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- ---------------
ASSETS:
Investments at Value (including $34,246, $110,577 and $0, respectively) $ 987,184 $ 810,200 $ 1,100,983
Cash -- 16 15
Receivables:
Dividends, Interest and Tax Reclaims 745 2,338 13,480
Securities Lending Income 1 112 --
Fund Shares Sold 3,774 1,173 1,447
Prepaid Expenses and Other Assets 34 24 56
--------------- --------------- ---------------
Total Assets 991,738 813,863 1,115,981
--------------- --------------- ---------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 35,023 116,776 --
Investment Securities Purchased -- 21,901 --
Fund Shares Redeemed 869 141 375
Due to Advisor 223 135 231
Unrealized Loss on Forward Foreign Currency Contracts -- -- 500
Accrued Expenses and Other Liabilities 90 102 98
--------------- --------------- ---------------
Total Liabilities 36,205 139,055 1,204
--------------- --------------- ---------------
NET ASSETS $ 955,533 $ 674,808 $ 1,114,777
=============== =============== ===============
SHARES OUTSTANDING $.01 PAR VALUE 59,305,894 42,815,655 107,608,799
=============== =============== ===============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 18.99 $ 15.76 $ 10.36
=============== =============== ===============
Investments at Cost $ 811,156 $ 772,954 $ 1,124,514
=============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
167
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
<Caption>
DFA
DFA LARGE FIVE-YEAR
REAL ESTATE CAP GLOBAL
SECURITIES INTERNATIONAL FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- ---------------
INVESTMENT INCOME
Dividends and Tax Reclaims (Net of foreign taxes withheld of
$0, $904 and $0, respectively) $ 24,631 $ 8,876 $ 17,441
Interest 55 55 --
Income from Securities Lending 18 305 --
--------------- --------------- ---------------
Total Investment Income 24,704 9,236 17,441
--------------- --------------- ---------------
EXPENSES
Investment Advisory Services 1,336 779 1,315
Accounting & Transfer Agent Fees 268 299 322
Custodian Fees 42 133 41
Legal Fees 5 3 6
Audit Fees 19 13 23
Filing Fees 21 15 20
Shareholders' Reports 8 9 9
Directors' Fees and Expenses 7 3 8
Other 7 15 12
--------------- --------------- ---------------
Total Expenses 1,713 1,269 1,756
--------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS) 22,991 7,967 15,685
--------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold (73) 733 (1,599)
Net Realized Gain (Loss) on Foreign Currency Transactions -- 54 31
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 23,553 41,414 (15,789)
Translation of Foreign Currency Denominated Amounts -- (112) (492)
--------------- --------------- ---------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 23,480 42,089 (17,849)
--------------- --------------- ---------------
Net Increase (Decrease) in Net Assets
Resulting from Operations $ 46,471 $ 50,056 $ (2,164)
=============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
168
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
DFA DFA
REAL ESTATE LARGE CAP FIVE-YEAR GLOBAL
SECURITIES INTERNATIONAL FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------- ----------------------- -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2004 2003 2004 2003 2004 2003
----------- ---------- ----------- ---------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 22,991 $ 22,917 $ 7,967 $ 8,058 $ 15,685 $ 26,914
Net Realized Gain (Loss) on Investment
Securities Sold (73) 6,763 733 -- (1,599) 37,435
Net Realized Gain (Loss) on Foreign
Currency Transaction -- -- 54 99 31 (826)
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities and Foreign Currency
Transactions 23,553 136,132 41,414 81,602 (15,789) (30,554)
Translation of Foreign Currency Denominated
Amounts -- -- (112) 21 (492) 708
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 46,471 165,812 50,056 89,780 (2,164) 33,677
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income (35,650) (20,722) (9,522) (5,772) (14,476) (28,456)
Net Short-Term Gains (256) (2,261) -- -- (7,366) (4,472)
Net Long-Term Gains (1,406) -- -- -- (30,042) (2,655)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (37,312) (22,983) (9,522) (5,772) (51,884) (35,583)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued 206,235 289,454 163,365 179,697 270,600 390,384
Shares Issued in Lieu of Cash Distributions 36,668 22,586 9,243 5,551 51,514 35,163
Shares Redeemed (79,935) (84,728) (42,457) (102,500) (122,728) (215,919)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) From Capital Shares
Transactions 162,969 227,312 130,151 82,748 199,386 209,628
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) 172,128 370,141 170,685 166,756 145,338 207,722
---------- ---------- ---------- ---------- ---------- ----------
NET ASSETS
Beginning of Period 783,405 413,264 504,123 337,367 969,439 761,717
---------- ---------- ---------- ---------- ---------- ----------
End of Period $ 955,533 $ 783,405 $ 674,808 $ 504,123 $1,114,777 $ 969,439
========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 10,908 17,797 10,498 14,472 25,549 35,473
Shares Issued in Lieu of Cash Distributions 1,993 1,588 615 483 4,900 3,238
Shares Redeemed (4,271) (5,421) (2,702) (8,433) (11,583) (19,651)
---------- ---------- ---------- ---------- ---------- ----------
8,630 13,964 8,411 6,522 18,866 19,060
========== ========== ========== ========== ========== ==========
</Table>
See accompanying Notes to Financial Statements.
169
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
DFA REAL ESTATE SECURITIES PORTFOLIO
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 18.80 $ 14.91 $ 15.02 $ 13.51 $ 11.50 $ 13.00
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.54 0.64 0.54 0.82 0.76 0.77
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.52 4.08 0.18 1.49 1.90 (1.62)
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations 1.06 4.72 0.72 2.31 2.66 (0.85)
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.71) (0.75) (0.75) (0.80) (0.65) (0.65)
Net Realized Gains (0.16) (0.08) (0.08) -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.87) (0.83) (0.83) (0.80) (0.65) (0.65)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 18.99 $ 18.80 $ 14.91 $ 15.02 $ 13.51 $ 11.50
==================================================================================================================================
Total Return 5.87%# 33.48% 5.36% 17.76% 24.49% (6.75)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 955,533 $ 783,405 $ 413,264 $ 283,732 $ 210,231 $ 130,039
Ratio of Expenses to Average Net Assets 0.38%* 0.41% 0.42% 0.43% 0.45% 0.47%
Ratio of Net Investment Income
to Average Net Assets 5.16%* 4.19% 4.71% 5.55% 6.06% 6.82%
Portfolio Turnover Rate 0%# 2% 2% 6% 7% 8%
- ----------------------------------------------------------------------------------------------------------------------------------
<Caption>
LARGE CAP INTERNATIONAL PORTFOLIO
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41 $ 16.28
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.18 0.25 0.22 0.25 0.23 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.19 2.51 (1.79) (3.38) (1.96) 3.19
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations 1.37 2.76 (1.57) (3.13) (1.73) 3.39
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.26) (0.21) (0.23) (0.22) (0.21) (0.26)
Net Realized Gains -- -- -- (0.05) (0.17) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.26) (0.21) (0.23) (0.27) (0.38) (0.26)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.76 $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41
==================================================================================================================================
Total Return 9.42%# 23.32% (11.50)% (18.42)% (9.19)% 21.12%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 674,808 $ 504,123 $ 337,367 $ 344,871 $ 358,638 $ 268,340
Ratio of Expenses to Average Net Assets 0.41%* 0.43% 0.44% 0.45% 0.47% 0.53%
Ratio of Net Investment Income
to Average Net Assets 2.56%* 2.10% 1.74% 1.65% 1.21% 1.38%
Portfolio Turnover Rate 0%# 1% 9% 4% 1% 2%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
170
<Page>
<Table>
<Caption>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
---------------------------------------------------------------------------
SIX
MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.92 $ 10.93 $ 10.50 $ 10.50 $ 10.53 $ 10.65
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.15 0.33 0.33 0.50 0.61 0.37
Net Gains (Losses) on Securities (Realized
and Unrealized) (0.13) 0.15 0.44 0.22 -- 0.01
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations 0.02 0.48 0.77 0.72 0.61 0.38
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.16) (0.39) (0.33) (0.72) (0.64) (0.22)
Net Realized Gains (0.42) (0.10) (0.01) -- -- (0.28)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.58) (0.49) (0.34) (0.72) (0.64) (0.50)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.36 $ 10.92 $ 10.93 $ 10.50 $ 10.50 $ 10.53
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return 0.11%# 4.45% 7.55% 7.23% 6.09% 3.63%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $1,114,777 $ 969,439 $ 761,717 $ 628,936 $ 517,325 $ 472,334
Ratio of Expenses to Average Net Assets 0.33%* 0.34% 0.35% 0.37% 0.38% 0.39%
Ratio of Net Investment Income to Average Net Assets 2.98%* 3.23% 4.09% 4.04% 4.15% 3.62%
Portfolio Turnover Rate 37%# 103% 79% 113% 80% 59%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-Annualized
See accompanying Notes to Financial Statements.
171
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered without a sales charge generally to
institutional investors and clients of registered investment advisors. The Fund
consists of thirty-six portfolios, of which DFA Real Estate Securities
Portfolio, Large Cap International Portfolio and DFA Five-Year Global Fixed
Income Portfolio (the "Portfolios") are presented in this report.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in the preparation of its
financial statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America may
require management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates and those differences could be material.
1. SECURITY VALUATION: Securities held by the DFA Real Estate Securities
Portfolio which are listed on a securities exchange and for which market
quotations are readily available are valued at the last quoted sale price of the
day. Securities held by the Fund that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Fund values securities at the mean between the quoted
bid and asked prices. Securities held by the Large Cap International Portfolio
which are listed on a securities exchange are valued at the last quoted sale
price. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Directors.
The Large Cap International Portfolio will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the New
York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the
NYSE (generally 1:00 p.m. PT) and the time that the net asset value of the
Portfolio is computed. Due to the time differences between the closings of the
relevant foreign securities exchanges and the time the Portfolio prices its
shares at the close of the NYSE, the Portfolio will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the Portfolio's foreign investments since
the last closing prices of the foreign investments were calculated on their
primary foreign securities markets or exchanges. For these purposes, the Board
of Directors of the Fund have determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock Exchange
or the London Stock Exchange, demonstrate that market quotations may be
unreliable, and may trigger fair value pricing. Consequently, fair valuation of
portfolio securities may occur on a daily basis. The fair value pricing by the
Portfolio utilizes data furnished by an independent pricing service (and that
data draws upon, among other information, the market values of foreign
investments). The fair value prices of portfolio securities generally will be
used when it is determined that the use of
172
<Page>
such prices will have a material impact on the net asset value of a Portfolio.
When the Portfolio uses fair value pricing, the values assigned to the
Portfolio's foreign investments may not be the quoted or published prices of the
investments on their primary markets or exchanges.
Securities held by DFA Five-Year Global Fixed Income Portfolio are valued
at the mean between the most recently quoted bid and asked prices or prices
provided by a pricing service when such prices are believed to reflect the fair
market value of such securities. Securities for which quotations are not readily
available are valued in good faith at fair value using methods approved by the
Board of Directors.
2. FOREIGN CURRENCY: Securities and other assets and liabilities of the
International Portfolios whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement. The DFA Five-Year
Global Fixed Income Portfolio also enters into forward foreign currency
contracts solely for the purpose of hedging against fluctuations in currency
exchange rates. These contracts are marked to market daily based on daily
forward exchange rates.
The International Portfolios do not isolate the effect of fluctuation in
foreign exchange rates from the effect of fluctuations in the market prices of
securities whether realized or unrealized. However, the DFA Five-Year Global
Fixed Income Portfolio does isolate the effect of fluctuations in foreign
currency rates when determining the realized gain or loss upon the sale or
maturity of foreign currency denominated debt obligations pursuant to U.S.
Federal income tax regulations; such amounts are categorized as foreign exchange
gain or loss for both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses.
4. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to each Portfolio
are directly charged. Common expenses of the Fund or Portfolios are allocated
using methods approved by the Board of Directors, generally based on average net
assets.
The International Portfolios may be subject to taxes imposed by countries
in which they invest, with respect to their investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Portfolios accrue such taxes when the related income or capital
gains are known. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is deterioration in a country's balance
of payments or for other reasons, a country may impose temporary restrictions on
foreign capital remittances abroad.
173
<Page>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Portfolios. The Advisor provides
administrative services including supervision of services provided by others,
providing information to the shareholders and to the Board of Directors, and
other administrative services.
For the six months ended May 31, 2004, the Portfolios advisory fees were
accrued daily and paid monthly to the Advisor based on the following effective
annual rates of average daily net assets:
<Table>
DFA Real Estate Securities Portfolio 0.30 of 1%
Large Cap International Portfolio 0.25 of 1%
DFA Five-Year Global Fixed Income Portfolio 0.25 of 1%
</Table>
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2004, the total liability for deferred compensation to Directors
is included in Accrued Expenses and Other Liabilities as follows:
<Table>
DFA Real Estate Securities Portfolio $ 12,525
Large Cap International Portfolio 8,692
DFA Five-Year Global Fixed Income Portfolio 14,639
</Table>
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Portfolios made the following
purchases and sales of investment securities other than U.S. Government
Securities and short-term securities (amounts in thousands):
<Table>
<Caption>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
--------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
------------ ------------ ------------ ------------
DFA Real Estate Securities Portfolio -- -- $ 149,914 $ 1,158
Large Cap International Portfolio -- -- 132,971 2,989
DFA Five-Year Global Fixed Income Portfolio $ 195,888 $ 118,653 347,619 258,760
</Table>
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Fund intends to
continue to qualify as a regulated investment company under Subchapter M of the
Internal Revenue Code and distribute substantially all of its taxable income and
capital gains to shareholders. Because income tax regulations differ from
accounting principles generally accepted in the United States of America, the
timing and character of income and capital gain distributions determined in
accordance with tax regulations can differ from income and capital gains
recognized for financial reporting purposes. Accordingly, the character of
distributions and the composition of net assets for tax purposes can differ from
those reflected in the financial statements. These book/tax differences may be
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid in capital, accumulated net realized gain
(loss) or undistributed net investment income as appropriate, in the period the
differences arise. These reclassifications have no effect on net assets or net
asset value per share.
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Statements of Assets and Liabilities.
174
<Page>
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities and foreign currencies was as
follows (amounts in thousands):
<Table>
<Caption>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- ----------
DFA Real Estate Securities Portfolio $ 188,076 $ (13,137) $ 174,939
Large Cap International Portfolio 101,098 (64,665) 36,433
DFA Five-Year Global Fixed Income Portfolio 1,687 (25,218) (23,531)
</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 Large Cap International Portfolio had a capital loss carryforward for
federal income tax purposes in the amount of approximately $21,144,000, with
$2,431,000, $18,180,000 and $533,000 expiring on November 30, 2009, 2010 and
2011, respectively.
Certain of the Large Cap International Portfolio's investments are in
securities considered to be "passive foreign investment companies", for which
any unrealized appreciation (depreciation) (mark to market) and/or realized
gains are required to be included in distributable net investment income for tax
purposes. At November 30, 2003, the Portfolio had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies, which are included in distributable net investment
income for tax purposes, accordingly, such gains have been reclassified from
accumulated net realized gains to accumulated net investment income.
G. COMPONENTS OF NET ASSETS:
At May 31, 2004, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED UNREALIZED UNREALIZED
NET ACCUMULATED NET REALIZED APPRECIATION NET
INVESTMENT NET FOREIGN (DEPRECIATION) FOREIGN
INCOME REALIZED EXCHANGE OF INVESTMENT EXCHANGE TOTAL
PAID-IN CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) SECURITIES GAIN (LOSS) NET ASSETS
--------------- ----------- ----------- ------------ -------------- ----------- ----------
DFA Real Estate Securities
Portfolio $ 754,445 $ 22,788 $ 2,272 -- $ 176,028 -- $ 955,533
Large Cap International
Portfolio 652,508 6,302 (21,225) $ 54 37,246 $ (77) 674,808
DFA Five-Year Global
Fixed Income Portfolio 1,131,784 8,532 (1,547) 31 (23,531) (492) 1,114,777
</Table>
H. FINANCIAL INSTRUMENTS:
In accordance with the Fund's Investment Objectives and Policies, the Fund
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. These instruments and their significant corresponding
risks are described below:
1. REPURCHASE AGREEMENTS: The Fund may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Funds's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings.
Any open repurchase agreements were entered into on May 28, 2004.
175
<Page>
2. FORWARD CURRENCY CONTRACTS: DFA Five-Year Global Fixed Income
Portfolio may enter into forward currency contracts only to hedge against
adverse changes in the relationship of the U.S. dollar to foreign currencies. At
May 31, 2004, DFA Five-Year Global Fixed Income Portfolio had entered into the
following contract and the net unrealized foreign exchange loss is reflected in
the accompanying financial statements.
<Table>
<Caption>
UNREALIZED
FOREIGN
SETTLEMENT CONTRACT VALUE AT EXCHANGE
DATE CURRENCY SOLD AMOUNT MAY 31, 2004 GAIN (LOSS)
- ---------- -------------------------- ------------- -------------- -----------
06/28/04 262,087,583 Swedish Krona $ 34,624,389 $ 35,124,042 $ (499,653)
------------- -------------- -----------
$ 34,624,389 $ 35,124,042 $ (499,653)
============= ============== ===========
</Table>
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Portfolios may be
inhibited.
I. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated at any time. There were no borrowings by the Portfolios under the
discretionary line of credit during the six months ended May 31, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement for the line of credit expires in April
2005. There were no borrowings by the Portfolios during the six months ended May
31, 2004.
J. SECURITIES LENDING:
As of May 31, 2004, some of the Fund's portfolios had securities on loan to
broker/dealers, for which each portfolio held cash collateral. Each portfolio
invests the cash collateral, as described below, and records a liability for the
return of the collateral, during the period the securities are on loan. However,
in the event of default or bankruptcy by the other party to the agreement,
realization and/or retention of the collateral may be subject to legal
proceedings. In the event that the borrower fails to return loaned securities,
and cash collateral being maintained by the borrower is insufficient to cover
the value of loaned securities and provided such collateral insufficiency is not
the result of investment losses, PNCBank, National Association, the lending
agent, has agreed to pay the amount of the shortfall to the portfolio or, at the
option of the lending agent, to replace the securities.
Cash collateral of each Portfolio received from securities on loan is
invested along with cash collateral from the other Portfolios in repurchase
agreements collateralized by U.S. government securities. These investments are
accounted for separately for each Portfolio. Securities pledged as collateral
for the repurchase agreements are held by a custodian bank until the agreements
mature.
176
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
TAIWAN -- (10.2%)
COMMON STOCKS -- (9.9%)
* Abit Computer Co., Ltd. 635,000 $ 274,349
Abocom Systems, Inc. 105,000 49,827
Accton Technology Corp. 607,000 390,870
Acer, Inc. 403,000 592,400
* AGV Products 327,000 76,544
* Allis Electric Co., Ltd. 86,320 16,814
* Ambassador Hotel 435,000 256,801
* Apex Science & Engineering Corp. 103,000 21,794
* Arima Computer Corp. 1,273,000 439,553
Asia Cement Corp. 2,486,000 1,378,691
Asia Chemical Corp. 357,000 88,412
Asia Polymer Corp. 252,000 135,257
Askey Computer Co., Ltd. 99,000 63,742
Aurora Corp. 210,650 124,253
* Aurora Systems Corp. 157,000 58,817
Avision, Inc. 56,000 41,847
Bank of Kaohsiung Co., Ltd. 556,020 414,902
* Behavior Tech Computer Corp. 544,000 200,875
* Bes Engineering Corp. 1,577,539 318,966
* Carnival Industrial Corp. 336,000 62,449
Cathay Chemical Works, Inc. 131,000 39,309
* Cathay Real Estate Development Co., Ltd. 1,914,421 1,098,321
* Central Insurance Co., Ltd. 317,000 163,821
Central Reinsurance Co., Ltd. 312,840 129,337
* Chang Hwa Commercial Bank 3,595,459 2,050,012
Chang-Ho Fibre Corp. 50,000 19,889
* Charoen Pokphand Enterprises Co., Ltd. 96,000 21,461
Cheng Loong Corp. 1,116,000 431,620
* Chia Her Industrial Co., Ltd. 699,000 90,168
* Chia Hsin Cement Corp. 518,000 245,101
* Chia Hsin Food & Synthetic Fiber Co., Ltd. 1,425,000 149,152
* Chia-I Industrial Co., Ltd. 334,000 112,014
* Chien Tai Cement Co., Ltd. 470,397 61,319
* China Airlines 3,135,371 1,732,120
* China Chemical & Pharmaceutical Co. 278,000 110,983
* China Development Financial Holdong Co., Inc. 1,130,000 607,043
China Electric Manufacturing Co., Ltd. 306,000 104,971
* China General Plastics Corp. 314,000 130,897
* China Glaze Co., Ltd. 54,000 13,588
* China Life Insurance Co., Ltd. 665,350 387,784
* China Man-Made Fiber Co., Ltd. 952,020 542,611
* China Petrochemical Development Corp. 1,875,000 340,075
* China Rebar Co., Ltd. 1,592,000 188,966
China Steel Structure Co., Ltd. 170,464 78,725
* China Synthetic Rubber Corp. 385,948 120,535
* China United Trust & Investment Corp. 851,145 $ 144,624
* China Wire & Cable Co., Ltd. 379,000 81,953
* Chinatrust Financial Holdings Co., Ltd. 228,092 253,765
Chin-Poon Industrial Co., Ltd. 370,000 256,439
* Chun Yu Works & Co., Ltd. 230,000 90,357
Chun Yuan Steel Industrial Co., Ltd. 421,000 241,557
Chung Hsin Electric & Machinery Co., Ltd. 512,000 210,929
Chung Hwa Pulp Corp. 432,780 235,319
* Chung Shing Textile Co., Ltd. 228,600 10,007
* Clevo Co. 494,000 229,704
* CMC Magnetics Corp. 632,000 425,686
Collins Co., Ltd. 320,000 107,948
* Compeq Manufacturing Co., Ltd. 982,000 397,909
* Compex International Co. Ltd. 46,400 8,340
Continental Engineering Corp. 927,417 473,281
* Cosmos Bank Taiwan 966,000 458,539
CTCI Corp. 408,000 216,002
* Cyntec Co., Ltd. 32,000 21,110
* Da-Cin Construction Co., Ltd. 229,000 67,744
* Delpha Construction Co., Ltd. 357,000 51,937
Der Pao Construction Co., Ltd. 483,000 170,874
DFI, Inc. 64,000 33,635
* Elite Material Co., Ltd. 93,000 29,882
* Enlight Corp. 250,000 94,504
* Entie Commercial Bank 1,844,474 522,530
* ET Internet Technology Corp. 354,676 181,033
* Eten Information Systems, Ltd. 134,000 86,127
Eternal Chemical Co., Ltd. 706,000 377,682
Eva Airways Corp. 3,032,419 1,420,090
* Ever Fortune Industrial Co., Ltd. 409,000 4,050
Everest Textile Co., Ltd. 419,590 113,216
Evergreen International Storage & Transport Corp. 1,233,000 506,549
Evergreen Marine Corp., Ltd. 1,449,602 1,174,513
Everlight Chemical Industrial Corp. 306,950 107,044
Everspring Industry Co., Ltd. 206,000 70,155
* Far East Department Stores, Ltd. 1,026,000 426,690
Far East Textile, Ltd. 4,150,855 2,320,205
Far Eastern International Bank 825,000 418,368
First Copper Technology Co., Ltd. 322,750 108,165
* First Financial Holding Co., Ltd. 3,071,000 2,319,068
* First Hotel 123,000 71,080
* First International Computer, Inc. 1,680,000 320,983
Formosa Taffeta Co., Ltd. 1,836,124 777,294
* Formosan Rubber Group, Inc. 345,000 148,907
Formosan Union Chemical Corp. 189,561 73,218
* Fortune Electric Co., Ltd. 191,000 56,155
Fu I Industrial Co., Ltd. 264,000 58,649
Fuh-Hwa Financial Holding Co., Ltd. 3,487,993 1,519,894
Fwuson Industry Co., Ltd. 302,000 64,289
</Table>
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SHARES VALUE+
--------------- ---------------
* G.T.M. Corp. 133,000 $ 59,477
* Giga Storage Corp. 201,000 114,695
* Gold Circuit Electronics, Ltd. 483,140 194,980
* Goldsun Development & Construction Co., Ltd. 1,235,000 309,818
* Grand Pacific Petrochemical Corp. 347,000 141,319
Great China Metal Industry Co., Ltd. 287,000 167,725
Great Wall Enterprise Co., Ltd. 366,000 95,058
* Helix Co., Ltd 158,211 54,355
Hey Song Corp. 594,000 190,616
Ho Tung Holding Corp. 743,000 271,898
* Hocheng Corp. 364,000 112,295
* Hong Ho Precision Textile Co., Ltd. 92,960 18,817
Hong Tai Electric Industrial Co., Ltd. 282,000 85,344
* Hsinchu International Bank 972,940 548,346
Hsing Ta Cement Co., Ltd. 366,000 109,810
Hua Eng Wire & Cable Co., Ltd. 702,035 194,687
* Hua Nan Financial Holding Co., Ltd. 68,453 59,477
* Hualon Corp. 257,040 8,330
* Hung Ching Development & Construction Co., Ltd. 528,000 92,775
* Hung Poo Construction Corp. 286,000 201,672
* Hung Sheng Construction Co., Ltd. 642,000 350,807
* Infodissc Technology Co., Ltd. 716,000 203,131
* International Bank of Taipei 2,420,795 1,596,562
Inventec Corp. 371,000 243,642
* Jean Co., Ltd. 154,000 55,165
* Jui Li Enterprise Co., Ltd. 195,000 54,904
Jung Shing Wire Co., Ltd. 123,000 48,166
Kang Na Hsiung Co., Ltd. 71,415 36,437
* Kao Hsing Chang Iron & Steel Corp. 360,000 107,821
* Kee Tai Properties Co., Ltd. 272,000 74,700
* King Yuan Electronics Co., Ltd. 362,000 358,690
* Kingdom Construction Co., Ltd. 464,000 170,124
Kinpo Electronics, Inc. 333,000 174,689
* Kuoyang Construction Co., Ltd. 255,000 97,622
* Kwong Fong Industries Corp. 230,000 29,353
Lan Fa Textile Co., Ltd. 294,044 88,297
* Lead Data Co., Ltd. 419,000 149,607
* Leadtek Research, Inc. 112,000 57,991
* Lealea Enterprise Co., Ltd. 658,000 121,332
Lee Chang Yung Chemical Industry Corp. 491,077 186,367
* Lee Chi Enterprises Co., Ltd. 196,000 76,712
* Lelon Co., Ltd. 124,000 59,781
* Leofoo Development Co., Ltd. 238,000 94,471
* Les Enphants Co., Ltd. 126,000 50,988
* Li Peng Enterprise Co., Ltd. 513,000 103,791
Li Shin International Enterprise Corp. 38,000 20,291
Lien Hwa Industrial Corp. 734,000 229,173
* Ling Sheng PrecisionIndustrial Corp. 211,320 120,600
* Long Bon Development Co., Ltd. 568,000 202,257
Long Chen Paper Co., Ltd. 507,000 $ 182,138
Lucky Cement Corp. 449,000 140,168
* Luxon Electronics Corp. 313,400 81,472
* Macronix International Co., Ltd. 4,084,000 1,474,477
* Megamedia Corp. 65,782 3,187
Mercuries & Associates, Ltd. 549,000 202,382
* Mercuries Data Co., Ltd. 135,853 63,905
Merida Industry Co., Ltd. 171,000 63,858
* Microelectronics Technology, Inc. 352,000 178,767
Micro-Star International Co., Ltd. 181,000 212,730
* Microtek International, Inc. 115,062 31,002
Mitac International Corp. 1,210,120 562,588
* Mitac Technology Corp. 52,000 22,798
* Mustek Systems, Inc. 75,000 37,597
* Namchow Chemical Industrial Co., Ltd. 159,900 35,805
* Nankang Rubber Tire Co., Ltd. 104,312 109,854
Nantex Industry Co., Ltd. 181,000 59,671
* New Asia Construction & Development Co., Ltd. 146,000 28,032
* Ocean Plastics Co., Ltd. 128,000 78,464
* Opto Tech Corp. 483,000 149,117
* Orient Semiconductor Electronics, Ltd. 1,305,855 155,072
* Pacific Construction Co., Ltd. 324,256 38,354
* Pacific Electric Wire & Cable Corp. 1,873,020 29,226
* Pan Overseas Electronics Co., Ltd. 184,000 82,398
* Pan-International Industrial Corp. 89,000 57,273
Phihong Technology Co., Ltd. 75,000 41,848
* Picvue Electronics, Ltd. 604,000 218,288
Primax Electronics, Ltd. 475,240 172,416
* Prince Housing & Development Corp. 1,102,000 301,199
* Procomp Informatics, Ltd. 391,440 127,294
* Prodisc Technology Inc. 372,000 285,798
Radium Life Tech 85,534 86,360
Ralec Electronic Corp. 156,681 88,744
* Rectron, Ltd. 78,300 19,945
Rexon Industrial Corp., Ltd. 218,820 78,386
* Ritek Corp. 2,327,250 1,271,133
* Ruentex Development Co., Ltd. 626,000 134,028
* Sampo Corp. 1,064,000 357,262
* San Fang Chemical Industry Co., Ltd. 74,800 51,813
* Sanyang Industrial Co., Ltd. 979,000 386,794
Sanyo Electric Co., Ltd. 351,000 214,697
* SDI Corp. 184,000 87,101
Sheng Yu Steel Co., Ltd. 5,000 5,546
Shihlin Electric & Engineering Corp. 595,000 363,928
* Shihlin Paper Corp. 81,000 58,103
* Shinkong Co., Ltd. 173,200 102,633
* Shinkong Synthetic Fibers Co., Ltd. 1,378,000 283,146
Shinung Corp. 285,000 76,076
* Silicon Integrated Systems Corp. 421,000 223,882
* Sin Yih Ceramic Co., Ltd. 211,000 57,758
Sincere Navigation Corp. 339,602 236,906
* Sinkong Spinning Co., Ltd. 75,000 30,597
</Table>
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SHARES VALUE+
--------------- ---------------
* SinoPac Holdings Co., Ltd. 999,000 $ 536,578
* Siward Crystal Technology Co., Ltd. 38,000 23,273
* Solomon Technology Corp. 338,000 111,612
South East Soda Manufacturing Co., Ltd. 233,000 54,531
Southeast Cement Co., Ltd. 474,000 132,086
* Space Shuttle Hi-Tech Co., Ltd. 177,000 40,049
Standard Foods Taiwan, Ltd. 288,000 88,928
Stark Technology, Inc. 58,000 38,469
Sunonwealth Electric Machine Industry Co., Ltd. 21,000 10,390
Systex Corp., Ltd. 1,015,000 481,574
Ta Chen Stainless Pipe Co., Ltd. 81,000 57,470
* Ta Chong Bank 1,394,000 472,252
Ta Ya Elec Wire & Cable Co., Ltd. 481,000 184,788
Tah Hsin Industrial Corp. 268,000 79,581
* Ta-I Technology Co., Ltd. 140,000 122,292
* Taichung Commercial Bank 1,737,000 476,884
* Tainan Business Bank 749,000 258,827
Tainan Spinning Co., Ltd. 1,727,000 520,044
* Taita Chemical Co., Ltd. 223,000 82,350
* Taitung Business Bank 163,395 18,307
* Taiwan Business Bank 4,077,120 1,388,260
Taiwan Cement Corp. 3,106,090 1,425,352
Taiwan Fire & Marine Insurance Co., Ltd. 278,412 162,079
* Taiwan Flourescent Lamp Co., Ltd. 124,000 67,459
Taiwan Glass Ind. Corp. 503,200 392,812
* Taiwan Kolin Co., Ltd. 498,000 141,702
Taiwan Mask Corp. 103,000 55,055
Taiwan Navigation Co., Ltd. 104,824 70,842
* Taiwan Pulp & Paper Corp. 238,000 73,859
* Taiwan Sakura Corp. 252,900 83,231
Taiwan Sogo Shinkong Security Co., Ltd. 93,000 46,881
* Taiwan Tea Corp. 992,215 239,199
* Tatung Co., Ltd. 4,743,000 1,941,437
* Tay-Shan Enterprises Co., Ltd. 358,000 83,772
Teapo Electronic Corp. 79,000 28,206
Teco Electric & Machinery Co., Ltd. 2,406,834 833,566
Tecom, Ltd. 307,753 127,510
Test-Rite International Co., Ltd. 96,000 51,757
* The Chinese Bank 1,754,000 402,093
* The Farmers Bank of China 1,542,800 504,907
The First Insurance Co., Ltd. 182,000 132,254
* Ton Yi Industrial Corp. 1,927,810 575,370
* TSRC Corp. 598,000 235,605
* Tung Ho Steel Enterprise Corp. 701,285 489,356
* Twinhead International Corp. 422,000 85,690
* Tycoons Group Enterprise Co., Ltd. 263,000 78,240
* Ulead Systems, Inc. 66,000 46,278
U-Ming Marine Transport Corp. 355,000 447,233
* Union Bank of Taiwan 1,811,000 578,432
* Union Insurance Co., Ltd. 557,686 187,302
Uni-President Enterprises Corp. 3,828,130 1,699,761
* Unitech Printed Circuit Board Corp. 433,000 271,404
* United Epitaxy Co., Ltd. 78,000 $ 41,643
* Universal Cement Corp. 315,500 116,369
Universal Microelectronics Co., Ltd. 69,010 33,118
* Universal Scientific Industrial Co., Ltd. 796,000 354,487
UPC Technology Corp. 826,840 313,578
* Usi Corp. 935,000 368,605
* Ve Wong Corp. 177,000 65,963
Via Technologies, Inc. 246,000 237,537
* Visual Photonics Epitacy Co., Ltd. 86,000 46,175
* Walsin Lihwa Corp. 3,829,000 1,862,753
Walsin Technology Corp., Ltd. 367,763 311,533
* Wan Hwa Enterprise Co., Ltd. 253,000 84,160
* Waterland Financial Holdings 2,570,000 956,031
* Wei Chih Steel Industrial Co., Ltd. 211,898 55,229
* Wei Chuan Food Corp. 167,000 69,951
* Winbond Electronics Corp. 4,690,000 2,369,568
Wintek Corp. 108,640 144,951
* Wistron Corp. 229,000 149,844
World Peace Industrial Co., Ltd. 83,000 80,141
* WUS Printed Circuit Co., Ltd. 475,000 321,121
* Yageo Corp. 2,343,840 1,232,735
Yang Ming Marine Transport Corp. 1,027,000 902,704
* Yi Jinn Industrial Co., Ltd. 387,000 71,335
Yosun Industrial Corp. 50,000 52,284
* Yuen Foong Yu Paper Manufacturing Co., Ltd. 1,505,487 826,451
Yulon Motor Co., Ltd. 435,880 489,856
Yung Chi Paint & Varnish Manufacturing Co., Ltd. 1,000 1,155
Yung Shin Pharmaceutical Industrial Co., Ltd. 268,000 201,695
Yung Tay Engineering Co., Ltd. 456,000 267,748
Zig Sheng Industrial Co., Ltd. 341,120 98,108
---------------
TOTAL COMMON STOCKS
(Cost $62,121,548) 78,035,982
---------------
INVESTMENT IN CURRENCY -- (0.3%)
* Taiwan Dollar
(Cost $2,275,829) 2,292,121
---------------
TOTAL -- TAIWAN
(Cost $64,397,377) 80,328,103
---------------
SOUTH KOREA -- (9.7%)
COMMON STOCKS -- (9.7%)
Aekyung Petrochemical Co., Ltd. 10,140 106,490
* Anam Semiconductor, Inc. 296,459 850,038
Asia Cement Manufacturing Co., Ltd. 9,438 207,804
* AUK Corp. 24,000 70,687
Baiksan Co., Ltd. 41,550 41,314
Boo Kook Securities Co., Ltd. 17,385 71,918
BYC Co., Ltd. 810 28,151
Byuck San Corp. 230 2,548
Byuck San Engineering and Construction Co., Ltd. 87,860 199,742
* Capro Corp. 16,830 20,628
</Table>
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SHARES VALUE+
--------------- ---------------
Cheil Industrial, Inc. 80,314 $ 984,736
Cho Kwang Leather Co., Ltd. 4,860 12,490
Choil Aluminium Mfg. Co., Ltd. 5,770 19,311
Chon Bang Co., Ltd. 2,520 63,501
* Chong Kun Dang 11,299 32,959
Choong Wae Pharmaceutical 9,816 94,258
* Choongnam Spinning Co., Ltd. 714 3,203
Chosun Refractories Co., Ltd. 7,370 133,868
* CKD Bio Corp. 3,109 7,722
* D.I Corp. 65,430 101,019
Dae Chang Industrial Co. 6,170 19,454
Dae Dong Industrial Co., Ltd. 3,930 13,745
* Dae Han Fire & Marine Insurance Co., Ltd. 12,610 40,823
Dae Sang Corp. 82,740 195,032
Dae Won Kang Up Co., Ltd. 13,100 112,554
* Dae Young Packaging Co., Ltd. 356,210 21,339
Daegu Bank Co., Ltd. 148,102 876,925
Daehan Flour Mills Co., Ltd. 2,525 88,561
Daehan Synthetic Fiber Co., Ltd. 2,000 20,153
Daelim Industrial Co., Ltd. 54,270 1,804,384
* Daelim Trading Co., Ltd. 27,140 120,022
Daesung Industrial Co., Ltd. 7,690 114,663
Daewoo Engineering & Construction Co., Ltd. 419,350 1,475,293
* Daewoo International Corp. 64,190 379,931
Daewoo Motor Sales Corp. 61,560 359,813
* Daewoo Securities Co., Ltd. 324,720 1,047,123
Daewoong Co., Ltd. 12,340 56,878
Dahaam E-Tec Co., Ltd. 5,985 41,672
Daishin Securities Co., Ltd. 103,481 1,210,849
Daiyang Metal Co., Ltd. 40,000 40,327
* Daou Technology, Inc. 60,000 71,979
DC Chemical Co., Ltd. 38,990 488,175
Dong Ah Tire Industrial Co., Ltd. 42,420 128,103
Dong Bu Insurance Co., Ltd. 132,650 533,767
* Dong Hai Pulp Co., Ltd. 14,310 45,963
Dong IL Rubber Belt Co., Ltd. 7,253 12,276
Dong Wha Pharmaceutical Industries Co. 5,167 29,777
* Dong Won Co., Ltd. 5,520 49,678
Dong Yang Department Store Co., Ltd. 9,000 31,210
Dong-A Pharmaceutical Co., Ltd. 19,920 266,389
Dongbu Corp. 46,410 218,869
Dongbu Hannong Chemical Co., Ltd. 14,890 69,547
Dongbu Securities Co., Ltd. 22,040 37,235
Dongbu Steel Co., Ltd. 46,108 240,385
Dong-II Corp. 4,205 88,368
Dongkook Industries Co., Ltd. 1,620 5,082
Dongkuk Steel Mill Co., Ltd. 155,862 1,065,142
* Dongsu Industrial Co., Ltd. 9,880 101,037
Dongsung Chemical Industries 3,770 19,674
Dongwon F&B Co., Ltd. 6,666 200,712
Dongwon Financial Holding Co., Ltd. 116,926 588,706
* Dongwon Industries Co., Ltd. 1,876 14,018
Dongyang Express & Construction Corp. 5,250 64,460
* Doosan Corp. 41,820 375,648
Doosan Heavy Industries & Construction Co., Ltd. 221,940 $ 1,353,048
DPI Co., Ltd. 33,340 79,530
Duck Yang Industry Co., Ltd. 4,000 26,758
* Enex Co., Ltd. 5,960 37,433
F&F Co., Ltd. 23,100 31,677
* First Fire & Marine Insurance Co., Ltd. 40,160 36,525
* Fursys, Inc. 24,120 178,970
Global & Yuasa Battery Co., Ltd. 11,600 14,981
Green Cross Corp. 10,540 224,923
* Gwangju Shinsegae Co., Ltd. 1,590 46,385
Halla Engineering & Construction Corp. 7,450 30,028
Han Kuk Carbon Co., Ltd. 25,070 25,799
Han Wha Corp. 146,740 1,047,997
Han Yang Securities Co., Ltd. 24,940 56,050
Hana Securities Co., Ltd. 40,790 183,560
Handok Pharmaceuticals Co., Ltd. 18,150 145,607
Hanil Cement Manufacturing Co., Ltd. 15,883 665,331
* Hanil E-wha Co., Ltd. 79,730 77,158
Hanil Iron & Steel Co., Ltd. 1,815 17,007
Hanjin Heavy Industry Co., Ltd. 145,790 567,197
Hanjin Transportation Co., Ltd. 23,460 185,259
* Hankook Core Co., Ltd. 7,001 511
Hankook Cosmetics Co., Ltd. 30,000 20,875
Hankook Tire Manufacturing Co., Ltd. 150,550 1,189,634
Hankuk Electric Glass Co., Ltd. 16,680 699,610
Hankuk Glass Industries, Inc. 22,200 660,289
Hankuk Paper Manufacturing Co., Ltd. 9,800 151,497
* Hanmi Capital Co., Ltd. 28,690 80,542
Hansae Co., Ltd. 3,260 34,989
* Hansol Chemical Co., Ltd. 12,467 39,514
* Hansol CSN Co., Ltd. 103,640 82,729
Hansol Paper Co., Ltd. 92,914 626,597
* Hansol Telecom Co., Ltd. 543 4,147
Hanwha Chemical Corp. 175,110 1,004,089
Hanwha Securities Co., Ltd. 62,690 117,957
Heesung Cable, Ltd. 3,660 31,538
Histeel Co., Ltd 1,080 7,724
Hotel Shilla, Ltd. 76,920 328,914
HS R&A Co., Ltd. 4,980 24,132
Huchems Fine Chemical Corp. 45,340 143,279
* Huneed Technologoes Co., Ltd. 90,030 25,061
Husteel Co., Ltd. 10,370 41,170
Hwa Sung Industrial Co. 26,510 72,522
Hwashin Co., Ltd. 42,000 35,278
Hyosung T & C Co., Ltd. 61,987 461,013
Hyundai Cement Co., Ltd. 15,435 349,867
* Hyundai Corp. 6,015 11,903
Hyundai Department Store Co., Ltd. 20,728 488,133
Hyundai Department Store H & S Co., Ltd. 8,362 79,619
Hyundai Development Co. 160,560 1,705,019
Hyundai Fire & Marine Insurance Co., Ltd. 7,420 232,816
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SHARES VALUE+
--------------- ---------------
Hyundai Heavy Industries Co., Ltd. 103,890 $ 2,533,734
Hyundai Hysco 170,820 651,943
* Hyundai Merchant Marine Co., Ltd. 171,390 1,158,524
* Hyundai Mipo Dockyard Co., Ltd. 15,693 236,638
Hyundai Motor Co., Ltd. 101,700 3,893,271
Hyundai Pharmaceutical Ind Co., Ltd. 4,200 38,195
* Hyundai Securities Co., Ltd. 249,730 1,018,532
II Dong Pharmaceutical Co., Ltd. 5,840 46,372
* II Jin Diamond Co., Ltd. 14,730 157,797
II Sung Pharmaceutical Co., Ltd. 3,990 48,982
II Yang Pharmaceutical Co., Ltd. 6,107 16,239
IIShin Spinning Co., Ltd. 3,600 115,582
INI Steel Co., Ltd. 225,530 1,679,713
ISU Chemical Co., Ltd. 14,350 77,622
Je II Pharmaceutical Co. 2,220 40,929
Jeonbuk Bank, Ltd. 52,970 193,060
* Jinro, Ltd. 12,210 15,722
Joongang Constuction Co., Ltd. 9,880 43,189
* KDB Capital Corp. 972 2,793
* Keang Nam Enterprises Co., Ltd. 7,902 27,102
KEC Corp. 8,020 166,846
Keyang Electric Machinery Co., Ltd. 71,760 64,879
* KG Chemical Corp. 111,230 42,015
Kia Motors Corp. 58,630 501,381
Kodenshi Korea Corp. 38,000 54,380
Kolon Chemical Co., Ltd. 20,220 86,796
Kolon Engineering & Construction Co., Ltd. 37,850 85,909
Kolon Industries, Inc. 32,379 172,269
* Kolon International 1,905 5,601
Kolon International Corp. 11,960 57,775
Korea Cast Iron Pipe Co., Ltd. 44,688 64,521
Korea Circuit Co. 31,660 97,874
* Korea Development Co., Ltd. 23,520 173,573
* Korea Development Leasing Corp. 61,900 66,400
* Korea Express Co., Ltd. 21,990 428,902
Korea Fine Chemical Co., Ltd. 7,000 73,204
Korea Flange Co., Ltd. 6,860 69,724
Korea Iron & Steel Co., Ltd. 25,230 325,947
Korea Iron & Steel Works Co., Ltd. 21,294 190,815
Korea Kolmar Co., Ltd. 35,185 49,465
Korea Komho Petrochemical 61,750 387,254
* Korea Mutual Savings Bank 14,910 73,449
Korea Petrochemical Industry Co., Ltd. 12,300 74,789
Korea Polyol Co., Ltd. 9,750 267,068
Korea Zinc Co., Ltd. 31,800 516,633
* Korean Air Co., Ltd. 167,698 2,120,543
Korean Air Terminal Service Co., Ltd. 3,490 34,708
Korean Reinsurance Co., Ltd. 9,279 344,550
* KP Chemical Corp. 201,976 491,054
* KTB Network, Ltd. 135,720 268,591
Kuk Dong Electric Wire Co., Ltd. 3,740 57,464
Kukdo Chemical Co., Ltd. 8,710 67,169
Kukdong City Gas Co., Ltd. 12,780 $ 149,109
* Kukje Corp. 34,550 41,338
Kumgang Korea Chemical Co., Ltd. 8,410 844,060
Kumho Industrial Co., Ltd. 89,380 617,491
* Kunsul Chemical Industrial Co. Ltd 12,700 49,320
Kwang Dong Pharmaceutical Co., Ltd. 114,660 113,435
Kyeryong Construction Industrial Co., Ltd. 17,500 176,925
Kyobo Securities Co., Ltd. 76,680 153,213
Kyong Dong Boiler Co., Ltd. 3,450 37,647
Kyungbang Co., Ltd. 1,856 85,959
LG Cable, Ltd. 68,050 1,069,229
LG Engineering & Construction Corp. 104,882 1,636,385
LG International Corp. 72,934 503,084
* LG Investment & Securities Co., Ltd. 136,070 1,016,513
Lotte Confectionary Co., Ltd. 1,170 518,136
Lotte Sam Kang Co., Ltd. 2,460 195,704
Meritz Securities Co., Ltd. 73,900 135,293
Motonic Corp. 640 6,836
Namhae Chemical Corp. 105,810 144,907
Namyang Dairy Products Co., Ltd. 1,320 361,255
Nexans Korea, Ltd. 45,600 51,598
Nong Shim Holdings Co., Ltd. 1,750 64,373
Oriental Fire & Marine Insurance Co., Ltd. 16,810 226,022
Ottogi Corporation 7,320 159,381
* Pacific Industries, Inc. 12,240 120,370
* PaperCorea, Inc. 19,552 43,978
* Partsnic Co., Ltd. 11,310 30,761
* Pohang Coated Steel Co., Ltd. 12,780 163,352
Poong Lim Industrial Co., Ltd. 32,280 57,944
Poong San Corp. 66,220 545,811
* Pum Yang Construction Co., Ltd. 14,380 97,110
Pusan City Gas Co., Ltd. 21,560 217,304
Pyung Hwa Industrial Co., Ltd. 45,370 119,739
* Regent Securities Co., Ltd. 267,423 213,488
* Rocket Electric Co., Ltd. 3,460 5,340
* Saehan Industries, Inc. 95,610 153,475
* Saehan Media Corp. 31,250 41,552
* Sam Jin Pharmaceutical Co., Ltd. 2,650 48,627
Sam Yung Trading Co., Ltd. 13,840 15,272
Sambu Construction Co., Ltd. 11,175 72,348
Samhwa Crown and Closure Co., Ltd. 3,100 21,934
Samhwa Paints Industrial Co., Ltd. 33,600 74,994
* Samlip Industrial Co., Ltd. 15,670 55,189
Samsung Climate Control Co., Ltd. 11,990 48,964
Samsung Corp. 331,070 4,163,830
* Samsung Engineering Co., Ltd. 84,110 402,511
Samsung Fine Chemicals 57,050 745,819
Samsung Heavy Industries Co., Ltd. 491,740 2,119,201
Samsung Securities Co., Ltd. 7,000 124,629
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SHARES VALUE+
--------------- ---------------
Samwhan Corp. Co., Ltd. 17,730 $ 82,100
Samyang Corp. 22,135 360,736
Samyang Genex Co., Ltd. 5,490 124,712
Samyang Tongsang Co., Ltd. 2,820 28,564
* Samyoung Chemical Co., Ltd. 2,820 17,231
Samyoung Electronics Co., Ltd. 39,200 228,527
Seah Holdings Corp. 4,619 52,639
Seah Steel Corp. 6,245 52,599
* Segye Corp. 20,530 40,163
Sejong Industrial Co., Ltd. 44,050 97,102
Sejong Securities Co., Ltd. 71,510 104,520
Sempio Foods Co. 3,610 18,677
* Seoul Securities Co., Ltd. 109,220 256,938
* Shin Dong-Ah Fire & Marine Insurance Co. 22,873 71,538
Shin Heung Securities Co., Ltd. 9,130 16,126
Shin Young Securities Co., Ltd. 18,390 183,595
Shin Young Wacoal, Inc. 273 7,963
* Shin-Ho Paper Manufacturing Co., Ltd. 38,850 99,869
Shinmoorim Paper Manufacturing Co., Ltd. 34,120 141,359
Shinpoong Pharmaceutical Co., Ltd. 4,540 39,332
* Shinsegae Engineering & Construction Co., Ltd. 3,980 36,313
* Shinsung Tongsang Co., Ltd. 21,550 36,534
* SK Chemicals Co., Ltd. 37,810 246,039
SK Gas Co., Ltd. 18,370 288,089
* SK Networks Co., Ltd. 13,708 251,004
* SKC Co., Ltd. 47,410 343,022
Song Woun Industries 24,310 44,657
* Ssang Bang Wool Co., Ltd. 52,870 158,593
* Ssangyong Cement Industry Co., Ltd. 397,692 528,527
* Ssangyong Fire & Marine Insurance Co. 13,190 32,144
STX Corp. 10,226 34,334
* STX Engine 8,711 24,601
* Sung Chang Enterprise Co., Ltd. 9,000 50,342
Sung Shin Cement Co., Ltd. 40,070 595,984
* Sungwon Corp. 20,600 20,428
* Sunjin Co., Ltd. 4,240 67,968
Tae Kwang Industrial Co., Ltd. 2,380 309,676
Tae Kyung Industrial Co., Ltd. 63,000 97,825
Tae Young Corp. 16,270 493,296
Taegu Department Store Co., Ltd. 19,941 112,508
Tai Han Electric Wire Co., Ltd. 84,107 395,337
Tai Lim Packaging Industries Co., Ltd. 4,380 10,029
The Will-Bes & Co., Ltd. 10,640 21,651
* Tong Kook Corp. 607 814
* Tong Yang Investment Bank 166,420 236,981
* Tong Yang Major Corp. 24,960 46,843
Tong Yang Moolsan Co., Ltd. 4,560 9,739
* Tongil Heavy Industries Co., Ltd. 160,770 71,810
* Trigem Computer, Inc. 60,329 209,228
TS Corp. 3,881 28,606
Union Steel Manufacturing Co., Ltd. 12,240 526,901
Wiscom Co., Ltd. 22,000 $ 46,588
Woongjin.Com Co., Ltd. 78,940 187,349
Woori Securities Co., Ltd. 64,593 213,422
Yoo Sung Enterprise Co., Ltd. 3,780 46,835
Youlchon Chemical Co., Ltd. 47,300 294,467
* Young Poong Mining & Construction Corp. 18,030 851
* Youngbo Chemical Co., Ltd. 33,000 50,762
Youngone Corp. 108,650 236,992
Youngpoong Corp. 1,580 58,291
Yuhan Corp. 5,179 297,691
Yuhwa Securities Co., Ltd. 17,000 98,671
* Zinus, Inc. 9,330 24,627
---------------
TOTAL -- SOUTH KOREA
(Cost $64,517,828) 76,069,220
---------------
SOUTH AFRICA -- (9.6%)
COMMON STOCKS -- (9.6%)
* ABSA Group, Ltd. 1,028,666 7,365,068
Advtech, Ltd. 281,863 33,262
Aeci, Ltd. 164,732 802,648
* Afgri, Ltd. 474,231 435,824
African Life Assurance Co., Ltd. 224,178 506,132
* Afrikander Lease, Ltd. 246,760 88,629
* AG Industries, Ltd. 258,225 79,048
* Allied Electronics Corp., Ltd. 83,653 153,704
Anglo American PLC 233,102 4,921,341
Argent Industrial, Ltd. 44,350 26,426
* AST Group, Ltd. 195,883 17,676
* Aveng, Ltd. 625,909 755,448
Barloworld, Ltd. 340,431 3,621,869
* Bell Equipment, Ltd. 104,995 135,324
* Bridgestone Firestone Maxiprest, Ltd. 113,271 22,667
* Business Connexion Group, Ltd. 465,381 260,728
Bytes Technology Group, Ltd. 151,960 135,230
* Capital Alliance Holdings, Ltd. 368,442 603,181
* Capitec Bank Holdings, Ltd. 90,933 81,219
* Corpcapital, Ltd. 579,166 46,933
* Datatec, Ltd. 217,667 316,218
* Dimension Data Holdings PLC 960,866 536,691
Distell Group, Ltd. 15,299 34,549
Dorbyl, Ltd. 23,741 65,497
* Ellerine Holdings, Ltd. 123,641 605,840
Gold Reef Casino Resorts, Ltd. 344,218 389,477
Grintek, Ltd. 210,786 37,988
Group Five, Ltd. 116,245 170,298
Highveld Steel & Vanadilum Corp., Ltd. 170,633 484,267
Hudaco Industries, Ltd. 41,570 141,727
Iliad Africa, Ltd. 76,658 62,848
Illovo Sugar, Ltd. 440,336 512,338
Imperial Holdings, Ltd. 343,691 3,682,662
* Investec, Ltd. 69,518 1,287,043
Iscor, Ltd. 788,334 4,100,969
* JCI, Ltd. 1,770,853 149,079
* Johnic Communications, Ltd. 48,017 180,204
Kersaf Investments, Ltd. 101,756 592,987
Liberty Group, Ltd. 480,674 3,848,020
M Cubed Holdings, Ltd. 990,750 47,094
Metair Investment, Ltd. 7,789 181,819
</Table>
182
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Metorex, Ltd. 214,682 $ 77,995
Metropolitan Holdings, Ltd. 1,070,841 1,270,470
Murray & Roberts Holdings, Ltd. 524,389 1,119,913
Nampak, Ltd. 1,012,204 2,160,586
Nedcor, Ltd. 664,231 6,352,281
* New Clicks Holdings, Ltd. 304,410 345,555
Northam Platinum, Ltd. 330,046 460,252
* Nu-World Holdings 22,465 79,570
Old Mutual PLC 6,061,892 10,591,213
* Omnia Holdings, Ltd. 60,733 275,179
* Palabora Mining Co., Ltd. 13,846 125,005
* Peregrine Holdings, Ltd. 302,634 104,116
PSG Group, Ltd. 151,915 61,715
Rainbow Chicken, Ltd. 382,937 301,860
Rebserve Holdings, Ltd. 388,298 460,443
Redefine Income Fund, Ltd. 83,325 32,365
* Relyant Retail, Ltd. 944,541 210,994
Sanlam, Ltd. 4,194,220 5,685,064
Santam, Ltd. 172,709 1,222,259
Sappi, Ltd. 377,732 5,271,270
* Tiger Wheels, Ltd. 80,109 246,487
Tongaat-Hulett Group, Ltd. 177,566 1,220,081
* Trencor, Ltd. 239,789 447,947
UCS Group, Ltd. 170,047 31,398
* Value Group, Ltd. 108,971 24,251
---------------
TOTAL -- SOUTH AFRICA
(Cost $71,638,862) 75,698,241
---------------
MEXICO -- (9.5%)
COMMON STOCKS -- (9.5%)
Alfa S.A. de C.V. Series A 3,021,264 9,928,353
* Cintra S.A. de C.V. 85,000 14,897
* Consorcio Hogar S.A. de C.V. Series B 189,500 61,276
Controladora Comercial Mexicana S.A. de C.V. Series B 4,793,000 5,628,200
* Corporacion Geo S.A. de C.V. Series B 1,728,500 2,226,609
* Corporacion Interamericana de Entramiento S.A. de C.V.
Series B 1,414,805 2,987,933
* Corporacion Mexicana de Restaurantes S.A. de C.V.
Series B 3,689 339
Corporativo Fragua S.A. de C.V. Series B 70 184
* Desc S.A. de C.V. Series B 8,736,833 2,564,815
El Puerto de Liverpool S.A. Series 1 20,000 28,743
El Puerto de Liverpool S.A. Series C1 328,600 463,608
* Empaques Ponderosa S.A. de C.V. Series B 90,000 4,732
* Empresas ICA Sociedad Controladora S.A. de C.V. 14,137,500 4,348,475
Empresas la Moderna S.A. de C.V. Series A 2,636,785 559,174
Fomento Economico Mexicano Series B & D 488,000 2,087,733
* GPo Iusacell 143,500 175,799
Gruma S.A. de C.V. Series B 1,222,950 2,052,271
Grupo Carso S.A. de C.V. Series A-1 721,000 $ 2,780,003
Grupo Cementos de Chihuahua, S.A. de C.V. 1,171,000 1,918,915
Grupo Corvi S.A. de C.V. Series L 284,000 47,037
Grupo Financiero del Norte S.A. Series C 650,000 2,272,707
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 74 15
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 75,724 15,926
Grupo Financiero Inbursa S.A. de C.V. Series O 2,728,165 3,468,928
* Grupo Gigante S.A. de C.V. Series B 324,076 207,313
* Grupo Industrial Maseca S.A. de C.V. Series B 1,824,900 800,388
Grupo Industrial Saltillo Unique Series 778,300 1,275,399
* Grupo Nutrisa S.A. de C.V. 428 96
Grupo Posadas S.A. de C.V. Series L 356,000 205,898
* Grupo Qumma S.A. de C.V. Series B 5,301 84
* Grupo Tribasa S.A. de C.V. 152,065 0
Herdez Common Series 319,000 139,771
* Hylsamex S.A. de C.V. 1,026,960 1,457,894
Industrias Bachoco S.A. de C.V. (Certificate Representing
Series B and Series L) 246,000 398,808
Industrias Penoles S.A. de C.V. 1,277,400 4,589,528
* Industrias S.A. de C.V. Series B 93,000 427,858
* Jugos del Valle S.A. de C.V. Series B 155,900 246,183
* Nueva Grupo Mexico S.A. de C.V. Series B 4,676,996 13,984,060
* Organizacion Soriana S.A. de C.V. Series B 1,796,300 5,651,069
* Sanluis Corporacion S.A. de C.V. (Certificates representing
1 share Series B, 1 share Series C & 1 share Series D) 2,400 978
* US Commercial Corp. S.A. de C.V. 271,000 142,013
Vitro S.A. 1,471,900 1,547,807
---------------
TOTAL COMMON STOCKS
(Cost $52,582,959) 74,711,819
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Mexican Peso
(Cost $6,375) 5,873
---------------
TOTAL -- MEXICO
(Cost $52,589,334) 74,717,692
---------------
MALAYSIA -- (9.1%)
COMMON STOCKS -- (9.1%)
* A&M Realty Berhad 427,100 155,039
ACP Industries Berhad 512,000 267,879
* Advance Synergy Berhad 641,000 79,406
</Table>
183
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Advanced Synergy Capital Berhad 153,500 $ 27,491
Affin Holdings Berhad 2,406,100 855,717
Aluminum Co. of Malaysia 250,000 73,073
* AMBD Berhad 1,990,900 102,154
AMMB Holdings Berhad 938,944 854,290
Ancom Berhad 375,000 82,924
Ann Joo Resources Berhad 619,200 257,767
Antah Holding Berhad 306,000 12,499
* Apollo Food Holdings Berhad 198,400 111,246
* Arab Malaysia Corp. Berhad 2,000,000 710,710
Asas Dunia Berhad 524,700 144,999
* Asia Pacific Land Berhad 1,349,000 92,339
Asiatic Development Berhad 1,523,000 701,469
* Avenue Assets Berhad 2,401,600 331,874
Ayer Hitam Planting Syndicate Berhad 27,000 17,049
Bandar Raya Developments Berhad 1,097,000 631,491
Batu Kawan Berhad 614,500 969,148
* Berjaya Capital Berhad 1,765,900 416,274
* Berjaya Group Berhad 3,516,900 115,855
* Berjaya Land Berhad 2,479,500 515,523
* Bernas Padiberas Nasional Berhad 1,391,800 472,319
Bimb Holdings Berhad 1,029,800 460,266
* Bina Darulaman Berhad 118,000 38,664
* Binaik Equity Berhad 149,800 47,349
Bolton Properties Berhad 747,000 143,588
Boustead Holdings Berhad 1,665,600 767,699
Cahya Mata Sarawak Berhad 1,008,800 443,666
* Camerlin Group Berhad 845,200 198,864
Chemical Co. of Malaysia Berhad 311,000 197,186
Chin Teck Plantations Berhad 81,000 114,982
* Choo Bee Metal Industries Berhad 235,700 141,333
Commerce Asset Holding Berhad 1,104,000 1,417,653
* Cosway Corp. Berhad 854,100 203,625
Cycle & Carriage Bintang Berhad 249,800 222,013
* Damansara Realty Berhad 391,000 10,847
* Datuk Keramik Holdings Berhad 127,000 4,149
* Dijaya Corp. Berhad 612,100 130,427
Diversified Resources Berhad 3,284,000 1,572,557
DNP Holdings Berhad 166,000 31,197
* E&O Property Development Berhad 1,166,000 208,541
Eastern & Oriental Berhad 325,000 77,850
Eastern Pacific Industrial Corp. Berhad 207,200 177,931
* Econstates Berhad 264,000 80,106
Edaran Otomobil Nasional Berhad 735,600 1,713,401
Esso Malaysia Berhad 237,000 163,622
Europlus Berhad 278,100 52,655
* Faber Group Berhad 170,300 15,194
Far East Holdings Berhad 159,200 145,599
FFM Berhad 383,400 867,237
Focal Aims Holdings Berhad 424,000 50,110
General Corp. Berhad 564,000 83,085
Glomac Berhad 171,600 104,400
* Gold IS Berhad 734,100 260,864
Golden Hope Plantations Berhad 2,934,800 $ 2,639,670
* Golden Plus Holdings Berhad 201,000 36,197
* Gopeng Berhad 273,900 36,001
* Grand United Holdings Berhad 451,100 74,130
* Gula Perak Berhad 417,000 177,658
Guthrie Ropel Berhad 191,700 191,708
Hap Seng Consolidated Berhad 662,100 438,563
Highlands and Lowlands Berhad 1,727,900 1,683,159
* Ho Hup Construction Co. Berhad 175,100 73,348
* Ho Wah Genting Berhad 369,000 60,209
Hong Leong Credit Berhad 1,097,137 1,172,114
Hong Leong Industries Berhad 261,000 322,468
Hong Leong Properties Berhad 2,295,741 323,589
Hume Industries (Malaysia) Berhad 270,667 327,423
Hwang-DBS (Malaysia) Berhad 654,000 297,790
IGB Corp. Berhad 3,872,600 1,242,722
IJM Corp. Berhad 511,000 625,981
IJM Plantations Berhad 204,400 62,342
* Insas Berhad 1,680,000 181,193
* Integrated Logistics Berhad 324,000 144,979
Island & Peninsular Berhad 522,500 635,013
Jaya Tiasa Holdings Berhad 302,000 298,659
Jerneh Asia Berhad 265,700 165,035
* Johan Holdings Berhad 228,000 20,640
Johor Port Berhad 1,078,200 658,413
* Johore Tenggara Oil Palm Berhad 464,000 149,167
* K & N Kenanga Holdings Berhad 1,454,300 371,529
Keck Seng (Malaysia) Berhad 657,500 278,600
* Kejora Harta Berhad 601,000 48,963
Kian Joo Can Factory Berhad 598,200 458,447
* KIG Glass Industrial Berhad 260,000 13,700
Kim Hin Industry Berhad 265,000 195,418
Kim Loong Resources Berhad 113,000 44,664
KPJ Healthcare Berhad 478,600 181,501
Kuala Lumpur Kepong Berhad 117,000 195,306
* Kub Malaysia Berhad 1,251,400 223,698
Kulim Malaysia Berhad 576,100 371,123
* Kumpulan Emas Berhad 1,268,000 110,271
Kwantas Corp. Berhad 123,000 173,303
* Land & General Berhad 2,261,700 184,463
Landmarks Berhad 1,637,000 297,188
* Leader Universal Holdings Berhad 1,621,833 191,916
* Leong Hup Holdings Berhad 286,000 86,514
* Lien Hoe Corp. Berhad 654,850 68,959
Lingui Development Berhad 1,323,000 550,934
Lion Diversified Holdings Berhad 1,044,100 294,281
Lion Industries Corp. Berhad 1,742,581 444,877
Malayan Cement Berhad 67,500 13,956
Malayawata Steel Berhad 645,100 365,231
* Malaysia Building Society Berhad 263,000 51,160
Malaysia Industrial Development Finance Berhad 2,898,700 902,176
Malaysia Mining Corp. Berhad 3,286,800 1,735,139
* Malaysian Airlines System Berhad 80,000 98,638
Malaysian Mosaics Berhad 1,097,200 464,128
Malaysian Plantations Berhad 2,514,000 1,504,114
</Table>
184
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Maruichi Malaysia Steel Tube Berhad 479,000 $ 298,540
Matrix International Berhad 316,000 98,878
Matsushita Electric Co. (Malaysia) Berhad 160,880 431,587
* MBF Holdings Berhad 41,850 1,431
MBM Resources Berhad 143,333 93,588
* Meda, Inc. Berhad 650,100 53,028
Mega First Corp. Berhad 448,000 111,429
Metro Kajang Holdings Berhad 401,500 198,741
* Metroplex Berhad 817,000 13,953
* Mieco Chipboard Berhad 228,000 144,813
* MTD Infraperdana Berhad 1,747,000 334,005
Muda Holdings Berhad 706,000 96,526
Muhibbah Engineering Berhad 321,600 88,888
MUI Properties Berhad 1,314,000 114,026
* Mulpha International Berhad 5,006,400 837,250
* Multi-Purpose Holdings Berhad 1,974,000 572,032
* Mutiara Goodyear Development Berhad 247,900 58,437
* MWE Holdings Berhad 360,000 54,956
* Mycron Steel Berhad 119,750 0
* Naluri Berhad 2,010,800 619,724
* Nam Fatt Berhad 286,100 51,827
Narra Industries Berhad 154,200 79,317
NCB Holdings Berhad 1,310,500 823,508
* Negri Sembilan Oil Palms Berhad 167,600 102,811
* New Straits Times Press (Malaysia) Berhad 735,600 754,837
Nylex (Malaysia) Berhad 219,500 60,625
Oriental Holdings Berhad 1,598,716 1,639,781
Oriental Interest Berhad 170,000 60,466
OSK Holdings Berhad 940,666 407,877
OSK Property Holdings Berhad 186,678 53,623
Oyl Industries Berhad 96,333 919,441
Pacific & Orient Berhad 239,300 120,600
Pan Malaysia Cement Works Berhad 1,271,800 167,126
* Pan Malaysian Industries Berhad 4,041,000 96,011
* Pan Pacific Asia Berhad 100,000 2,368
* Paracorp Berhad 252,000 23,587
Paramount Corp. Berhad 203,900 136,902
* PBA Holdings Berhad 504,000 198,671
Pelangi Berhad 1,655,800 267,608
* Pernas International Holdings Berhad 2,030,200 293,787
Perusahaan Otomobil Nasional Berhad 1,305,500 2,696,888
Petaling Garden Berhad 636,200 217,845
Phileo Allied Berhad 1,361,100 698,987
* Pilecon Engineering Berhad 210,000 4,699
PJ Development Holdings Berhad 1,043,900 117,982
PK Resources Berhad 25,000 4,863
PPB Group Berhad 918,333 1,571,263
* Premium Nutri 513,100 56,700
* Prime Utilities Berhad 46,000 14,447
* Promet Berhad 140,000 10,684
* Pulai Springs Berhad 159,800 55,860
RHB Capital Berhad 4,895,100 2,487,471
Road Builders (Malaysia) Holdings Berhad 243,000 $ 187,332
Sapura Telecommunications Berhad 155,152 88,988
Sarawak Enterprise Corp. Berhad 2,760,200 965,828
Sarawak Oil Palms Berhad 93,000 57,016
SCB Developments Berhad 120,000 142,184
Scientex, Inc. Berhad 116,000 60,663
Selangor Dredging Berhad 619,000 64,395
Selangor Properties Berhad 1,164,600 689,107
Shell Refining Co. Federation of Malaysia Berhad 48,000 85,799
* SHL Consolidated Berhad 561,300 195,193
* Silverstone Corp. Berhad 8,690 559
Sime Darby Berhad (Malaysia) 355,980 492,407
Sime Engineering Services Berhad 222,000 90,634
* South East Asia Lumber, Inc. Berhad 228,800 59,990
Southern Acids (Malaysia) Berhad 44,000 21,317
Southern Bank Berhad (Foreign) 1,350,850 941,947
Southern Steel Berhad 330,000 191,911
* Store Corp. Berhad 124,630 85,219
Sunrise Berhad 517,000 371,566
* Sunway City Berhad 1,160,000 509,549
* Sunway Holdings, Inc. Berhad 394,000 168,967
* Suria Capital Holdings Berhad 1,181,600 180,395
* Symphony House Berhad 106,714 44,932
Ta Enterprise Berhad 4,292,200 824,886
Talam Corp. Berhad 139,050 42,806
Tan Chong Motor Holdings Berhad 2,220,500 688,773
Tekala Corp. Berhad 337,700 79,551
* Time Dotcom Berhad 6,229,300 1,606,687
Tiong Nam Transport Holdings Berhad 171,500 63,754
Tradewinds (Malaysia) Berhad 782,900 552,804
* Trengganu Development & Management Berhad 534,400 137,871
Tronoh Mines Malaysia Berhad 371,000 284,432
UDA Holdings Berhad 875,200 343,370
UMW Holdings Berhad 634,443 834,728
Unico-Desa Plantations Berhad 359,000 174,628
Union Paper Holdings Berhad 1,014,100 240,365
* Uniphone Telecommunications Berhad 286,800 84,443
United Malacca Rubber Estates Berhad 310,800 282,845
United Plantations Berhad 112,000 138,333
* Utama Banking Group Berhad 955,000 249,797
VS Industry Berhad 285,500 97,583
Warisan TC Holdings Berhad 109,850 49,427
Worldwide Holdings Berhad 418,600 215,242
WTK Holdings Berhad 172,300 267,635
Yeo Hiap Seng (Malaysia) Berhad 296,100 147,874
YTL Corp. Berhad 30,000 34,721
---------------
TOTAL COMMON STOCKS
(Cost $64,353,274) 71,662,310
---------------
</Table>
185
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
* Kulim Malaysia Berhad Rights 06/04/04 144,025 $ 47,377
* Mieco Chipboard Berhad Warrants 04/01/04 76,000 26,600
* OSK Property Holdings Berhad Rights 06/28/04 93,339 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $2,000) 73,977
---------------
TOTAL -- MALAYSIA
(Cost $64,355,274) 71,736,287
---------------
ISRAEL -- (8.0%)
COMMON STOCKS -- (8.0%)
* Afcon Industries, Ltd. 2,102 5,656
American Israeli Paper Mills, Ltd. 13,563 724,465
* Ashtrom Properties, Ltd. 171,400 83,567
* Azorim Investment Development & Construction Co., Ltd. 299,403 2,580,070
Bank Hapoalim, Ltd. 3,775,700 9,674,939
Bank Leumi Le-Israel 4,836,950 8,886,859
Bank of Jerusalem, Ltd. 71,150 60,611
* Baran Group, Ltd. 94,200 550,252
Blue Square Chain Stores Properties & Investments, Ltd. 33,400 313,169
CLAL Industries, Ltd. 773,796 3,680,121
Delta Galil Industries, Ltd. 78,554 1,181,433
* Discount Mortgage Bank, Ltd. 3,611 299,793
* Elbit Medical Imaging 192,747 1,452,245
Elco Industries (1975) 11,441 59,674
Electra Consumer 23,400 281,384
* Electrochemical Industries (1952), Ltd. 48,800 1,643
* Elron Electronic Industries, Ltd. 202,296 2,671,158
* Feuchtwanger Investments 1984, Ltd. 10,500 5,751
* First International Bank of Israel 294,660 1,573,971
* First International Bank of Israel, Ltd. 434,800 472,783
* Formula Systems (1985), Ltd. 93,700 1,776,268
* Formula Vision Technologies, Ltd. 1,953 2,195
* Granite Hacarmel Investments, Ltd. 142,500 236,624
IDB Development Corp., Ltd. Series A 87,522 1,998,504
Industrial Building Corp., Ltd. 408,034 419,480
Investec Bank, Ltd. 4,400 125,481
Israel Cold Storage & Supply Co., Ltd. 7,000 27,756
Israel Corp. Series A 4,000 637,877
* Israel Land Development Co., Ltd. 234,969 810,873
* Israel Petrochemical Enterprises, Ltd. 253,817 1,175,560
* Israel Steel Mills, Ltd. 97,000 827
* Kardan Real Estate, Ltd. 3,052 7,838
* Knafaim-Arkia Holdings, Ltd. 117,857 1,492,556
* Koor Industries, Ltd. 125,769 4,769,654
* Leader Holding & Investments, Ltd. 113,800 139,832
* Liberty Properties, Ltd. 3,457 $ 25,023
M.A.Industries, Ltd. 227,355 949,113
* Mehadrin, Ltd. 24,063 422,529
* Merhav-Ceramic & Building Materials Center, Ltd. 36,232 47,595
Middle East Tube Co. 46,200 60,481
Miloumor, Ltd. 26,800 102,741
* Minrav Holdings, Ltd. 2,000 79,646
* Nice Systems, Ltd. 50,930 1,118,429
* OCIF Investments and Development, Ltd. 3,380 44,719
Otzar Hashilton Hamekomi, Ltd. 1,050 64,368
Packer Plada, Ltd. 2,877 187,270
* Polgat Industries, Ltd. Series B 21,900 46,246
Property and Building Corp., Ltd. 7,261 620,967
* Scitex Corp., Ltd. 365,565 2,071,092
* Secom 60,500 44,587
* Shrem Fudim Kelner & Co., Ltd. 28,100 73,450
Super-Sol, Ltd. Series B 688,337 1,553,964
* Team Computer & Systems, Ltd. 7,900 143,238
Tefahot Israel Mortgage Bank, Ltd. 150,477 1,395,399
* Union Bank of Israel, Ltd. 373,011 1,236,993
United Mizrahi Bank, Ltd. 1,233,305 4,084,817
* Urdan Industries, Ltd. 183,950 93,229
Ytong Industries, Ltd. 174,250 176,871
---------------
TOTAL COMMON STOCKS
(Cost $51,313,718) 62,823,636
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Israel Shekel
(Cost $6,027) 5,961
---------------
TOTAL -- ISRAEL
(Cost $51,319,745) 62,829,597
---------------
TURKEY -- (7.7%)
COMMON STOCKS -- (7.7%)
* Adana Cimento Sanayi Ticaret A.S. 130,533,878 85,442
* Ak Enerji A.S. 196,467,000 932,651
Akbank T.A.S. 2,195,623,604 9,214,368
* Aksa 148,490,460 1,248,874
Aksigorta A.S. 401,460,655 949,599
* Alarko Sanayii ve Ticaret A.S. 40,047,992 262,656
* Alternatifbank A.S. 92,933,793 43,320
* Altinyildiz Mensucat ve Konfeksiyan Fabrikalari A.S. 87,865,000 114,284
* Anadolu Anonim Turk Sigorta Sirketi 450,118,800 482,188
Anadolu Cam Sanayii A.S. 560,760,663 1,393,116
* Anadolu Cam Sanayii A.S. 933,554 4,103
* Ayen Enerji A.S. 52,628,000 359,309
* Bagfas Bandirma Gubre Fabrik 7,420,000 160,949
Bati Cimento A.S. 221,759,062 348,278
* Bolu Cimento Sanayi A.S. 290,345,704 333,760
Borusan 98,343,000 514,033
* Bossa Ticaret ve Sanayi Isletmeleri A.S. 360,180,000 314,850
* Brisa Bridgestone Sanbanci Lastik San & Tic A.S. 9,261,000 299,223
</Table>
186
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
CIMSA A.S. (Cimento Sanayi ve Ticaret) 480,369,600 $ 930,675
* Dardanel Onentas 16,183,440 13,065
* Dogan Sirketler Grubu Holdings A.S. 2,405,888,914 4,088,515
* Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,360,000 81,156
* Eczacibasi Yapi Gere 362,756,250 362,937
* Eregli Demir ve Celik Fabrikalari Turk A.S. 181,399,500 4,629,705
* Finansbank 2,461,996,166 2,427,279
* Goldas Kuyumculuk Sanayi A.S. 327,200,000 157,513
* Goltas Cimento 24,412,000 161,114
* Gubre Fabrikalari Ticaret A.S. 29,241,000 46,636
* Gunes Sigorta A.S. 309,093,552 205,559
* Ihlas Holding 188,032,000 145,434
* Is Gayrimenk 1,114,100,400 1,048,598
* Izmir Demir Celik 230,946,541 267,361
Kartonsan 1,000,000 49,239
* Kordsa Sabanci Dupont Endustriye Iplik ve Kord Bezi
Sanayi ve Ticaret A.S. 414,951,000 562,829
* Kutahya Porslen Sanayii A.S. 7,076,000 84,404
* Mardin Cimento 51,378,750 180,342
* Marshall Boya ve Vernik Sanayii A.S. 5,909,000 71,312
* Marshall Boya ve Vernik Sanayii A.S. 5,909,000 69,657
* Medya Holdings A.S. Series C 33,508,000 153,983
* Menderes Tekstil Sanayi ve Ticaret A.S. 347,650,000 162,246
* Milpa Ticari ve Sinai Urunler Pazarlama 48,774,528 34,830
* Net Holding A.S. 123,098,207 96,417
* Net Turizm Ticaret ve Sanayi 92,089,000 78,186
* Netas Northern Electric Telekomunikasyon A.S. 24,805,400 472,222
* Otobus Karoseri Sanayi A.S. 98,162,368 369,604
* Pinar Entegre et ve Yem Sanayii A.S. 51,591,600 37,199
* Pinar Sut Mamulleri Sanayii A.S. 20,146,500 62,892
* Raks Elektroniks A.S. 5,859,000 4,913
* Sabah Yayincilik A.S. 31,938,000 80,829
* Sarkuysan Elektrolitik Bakir Sanayi A.S. 49,559,827 67,354
* Sarkuysan Elektrolitik Bakir Sanayi A.S. Issue 04 198,239,308 240,290
* Sasa Suni ve Sentetik Elyat Sanayi A.S. 1,121,965,000 1,110,041
* Tat Konserve Sanayii A.S. 175,295,920 255,897
* Tekstil Bankasi A.S. 501,024,697 143,683
Ticaret ve Sanayi A.S. 27,299,993 41,622
Tire Kutsan Oluklu Mukavvakutu ve Kagit Sanayi A.S. 156,597,250 248,578
* Tofas Turk Otomobil Fabrikasi A.S. 544,993,508 937,113
Trakya Cam Sanayii A.S. 1,227,824,231 2,777,686
* Turk Demir Dokum Fabrikalari 166,949,478 288,917
Turk Dis Ticaret Bankasi A.S. 1,481,311,972 1,818,154
* Turk Siemens Kablo ve Elektrik Sanayi A.S. 9,828,000 68,675
* Turk Sise de Cam Fabrikalari A.S. Issue 04 608,032,453 $ 992,128
* Turk Sise ve Cam Fabrikalari A.S. 1,468,553,271 2,473,562
* Turkiye Garanti Bankasi A.S. 1,892,062,225 5,273,356
Turkiye Is Bankasi A.S. Series C 1,617,774,400 5,436,837
* Ulker Gida Sanayi Ve Ticaret 113,147,029 463,439
* Unye Cimento Sanayi ve Ticaret A.S. 20,978,642 19,657
USAS (Ucak Servisi A.S.) 3,420,000 36,910
* Vestel Elektronik Sanayi Ticaret A.S. 223,134,000 688,252
* Yapi ve Kredi Bankasi A.S. 1,405,653,434 2,956,629
* Yatak ve Vorgan Sanayi ve Ticaret Yatas 6,552,000 15,278
---------------
TOTAL -- TURKEY
(Cost $32,054,380) 60,551,712
---------------
BRAZIL -- (7.6%)
PREFERRED STOCKS -- (6.5%)
* Acesita SA 4,130,760,696 3,159,052
Alpargatas-Santista Textil SA 430,000 53,420
Bahia Sul Celulose SA 930,690 195,208
Banco Bradesco SA 72,828 3,119,689
* Bradespar SA 142,577,592 54,289
Brasil Telecom Participacoes SA 1,406,899 8,085
Brasileira de Petroleo Ipiranga 202,800,000 812,771
* Braskem SA 142,800,000 2,248,674
Centrais Electricas de Santa Catarin Celesc Series B 1,250,000 338,819
* Companhia Siderurgica Paulista 720,000 160,310
Confab Industrial SA 600,000 784,124
Coteminas Cia Tecidos Norte de Minas 15,097,500 993,833
Distribuidora de Produtos Petreleo Ipirangi SA 8,000,000 61,955
Duratex SA 66,910,000 1,322,439
Embraco SA 342,000 133,533
Embratel Participacoes SA 1,389,166 3,205
Gerdau SA 775,552 8,301,084
Globex Utilidades SA 34,076 89,066
* Inepar SA Industria e Construcoes 78,960,001 11,211
Investimentos Itau SA 2,204,851 2,369,201
Magnesita SA Series A 20,000,000 57,761
Marcopolo SA 326,400 557,166
Metalurgica Gerdau SA 396,800 5,083,240
Perdigao SA NPV 199,200 1,754,811
Polialden Petroquimica SA 780,000 123,330
Ripasa SA Papel e Celulose 1,298,000 1,135,069
Sadia SA 3,838,282 4,855,136
Siderurgica Belgo-Mineira 12,307,631 2,740,324
Siderurgica de Tubarao Sid Tubarao 160,870,000 4,516,715
Suzano de Papel e Celulose 408,508 1,687,287
Suzano Petroquimica SA 94,000 106,163
Tele Celular Sul Participacoes SA 1,443,880 1,840
* Tele Leste Celular Participacoes SA 1,784,040 426
Tele Norte Celular Participacoes SA 1,390,958 247
</Table>
187
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Tele Norte Leste Participacoes SA 7,538,375 $ 85,138
Telemar Norte Leste SA Series A 73,000,000 1,158,955
Telemig Celular Participacoes SA 1,422,616 2,029
Telenordeste Celular Participacoes SA 1,437,735 1,735
* Telesp Celular Participacoes 1,389,246 3,878
Uniao des Industrias Petroquimicas SA Series B 2,153,712 1,299,594
Unibanco-Uniao de Bancos Brasileiros SA 1,850,000 71,158
Usinas Siderurgicas de Minas Gerais SA 41,925 403,963
* Usinas Siderurgicas de Minas Gerais SA 6,900,000 8,238
Vale do Rio Doce Series B 239,144 0
Votorantim Celulose e Papel SA 26,200,000 1,631,772
---------------
TOTAL PREFERRED STOCKS
(Cost $20,655,586) 51,505,943
---------------
COMMON STOCKS -- (1.1%)
Brasil Telecom Participacoes SA 51,256,779 261,329
* Embratel Participacoes 50,000,000 222,814
Eternit SA 880,000 75,818
Forjas Taurus SA 254,000 119,664
Sao Pau Alpargatas SA 470,000 30,332
Siderurgica Nacional Sid Nacional 151,600,000 7,044,337
Tele Celular Sul Participacoes SA 50,433,301 53,704
Tele Centro Oeste Celular Participacoes SA 50,291,117 158,712
* Tele Leste Celular Participacoes 64,212,621 13,675
* Tele Norte Celular Participacoes 50,064,513 11,309
Tele Norte Leste Participacoes SA 51,468,358 506,380
Telemig Celular Participacoes SA 51,793,284 133,703
Telenordeste Celular Participacoes SA 50,517,828 50,208
---------------
TOTAL COMMON STOCKS
(Cost $3,046,240) 8,681,985
---------------
RIGHTS/WARRANTS -- (0.0%)
* Tele Celular Sul Participacoes SA Rights 06/07/04 2,059,938 70
* Tele Celular Sul Participacoes SA Rights 06/07/04 29,487 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 70
---------------
TOTAL -- BRAZIL
(Cost $23,701,826) 60,187,998
---------------
INDONESIA -- (6.7%)
COMMON STOCKS -- (6.7%)
* PT Apac Centretex Corporation Tbk 774,000 12,518
PT Asahimas Flat Glass Co., Ltd. 5,333,500 1,073,549
PT Astra Agro Lestari Tbk 12,738,500 3,438,018
PT Astra Graphia Tbk 18,779,000 506,690
PT Bank Central Asia Tbk 1,277,000 $ 509,324
* PT Bank NISP Tbk 44,791,078 2,469,042
PT Bank Pan Indonesia Tbk 105,175,000 3,291,209
PT Berlian Laju Tanker Tbk 27,228,400 2,708,166
PT Bhakti Investama Tbk 31,933,500 1,016,798
PT Branta Mulia Tbk 180,000 15,040
* PT Budi Acid Jaya Tbk 6,410,000 62,401
PT Charoen Pokphand Indonesia Tbk 13,979,000 348,144
* PT Clipan Finance Indonesia Tbk 12,461,000 419,129
* PT Davomas Adabi Tbk 14,203,500 903,334
PT Dynaplast Tbk 3,040,000 499,857
* PT Eterindo Wahanatama Tbk 4,599,000 69,583
* PT Ever Shine Textile Tbk 19,347,215 192,951
* PT Great River International 1,788,000 78,561
* PT Hero Supermarket Tbk 220,000 23,754
* PT Indocement Tunggal Prakarsa Tbk 166,000 28,671
PT Indorama Synthetics Tbk 7,901,320 358,832
PT International Nickel Indonesia Tbk 1,880,500 6,581,357
* PT Jaya Real Property 5,189,500 922,735
* PT Karwell Indonesia 1,466,500 52,573
* PT Kawasan Industry Jababeka Tbk 534,000 4,616
PT Komatsu Indonesia Tbk 6,049,000 840,493
PT Lautan Luas Tbk 7,721,000 191,363
* PT Lippo Land Development Tbk 386,400 29,162
* PT Makindo Tbk 1,450,000 156,334
PT Matahari Putra Prima Tbk Foreign 12,852,500 694,066
PT Mayorah Indah 8,497,572 848,289
* PT Medco Energi International Tbk 31,249,000 4,724,273
* PT Metrodata Electronics Tbk 18,582,000 150,390
* PT Modern Photo Tbk 1,266,500 85,845
* PT Mulia Industrindo 5,260,000 124,567
* PT Mutlipolar Corporation Tbk 3,195,000 94,803
* PT Panasia Indosyntec Tbk 403,200 17,171
PT Panin Insurance Tbk 27,086,000 699,285
* PT Rig Tenders Indonesia Tbk 276,000 207,225
PT Sari Husada Tbk 1 2
PT Selamat Semp Tbk 10,624,000 281,631
PT Semen Gresik Tbk 8,421,591 8,432,842
* PT Sinar Mas Agro Resources and Technology Tbk 1,688,580 505,697
PT Summarecon Agung Tbk 2,250,000 109,425
* PT Sunson Textile Manufacturer Tbk 6,012,000 69,054
* PT Suparma Tbk 3,995,345 77,401
* PT Surya Dumai Industri Tbk 5,145,000 189,991
PT Surya Toto Indonesia 46,400 19,511
PT Tempo Scan Pacific 6,466,000 4,846,756
PT Tigaraksa Satria Tbk 68,400 24,797
PT Timah Tbk 5,855,000 1,232,169
* PT Trias Sentosa Tbk 29,527,200 621,216
PT Trimegah Sec Tbk 34,298,000 501,459
PT Tunas Ridean Tbk 10,810,000 395,706
PT Ultrajaya Milk Industry & Trading Co. 13,717,500 576,390
</Table>
188
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
PT Unggul Indah Corp. Tbk 371,435 $ 93,610
---------------
TOTAL -- INDONESIA
(Cost $38,777,964) 52,427,775
---------------
THAILAND -- (5.9%)
COMMON STOCKS -- (5.9%)
* Adkinson Securities Public Co., Ltd. (Foreign) 1,753,500 408,444
* Advance Agro Public Co., Ltd. (Foreign) 1,587,830 880,606
American Standard Sanitaryware (Thailand)
Public Co. Ltd. (Foreign) 4,150 22,300
Bangkok Expressway Public Co., Ltd. (Foreign) 4,575,300 2,638,946
* Bangkok Land Co., Ltd. (Foreign) 11,962,000 277,157
* Bank of Ayudhya Public Co., Ltd. (Foreign) 12,208,000 3,701,218
Banpu Public Co., Ltd. (Foreign) 1,122,000 3,401,676
Big C Supercenter Public Co., Ltd. (Foreign) 1,274,800 562,458
Capital Nomura Securities Public Co., Ltd. (Foreign) 370,100 693,310
Central Plaza Hotel Public Co., Ltd. (Foreign) 723,000 261,969
Charoen Pokphand Foods Public Co., Ltd. (Foreign) 11,854,940 1,016,889
Eastern Water Resources Development & Management
Public Co., Ltd. (Foreign) 715,900 882,302
Hana Microelectronics Public Co., Ltd. (Foreign) 187,000 576,165
ICC International Public Co., Ltd. 2,755,000 2,410,710
Kang Yong Electric Public Co., Ltd. (Foreign) 236,200 317,301
* Kasikornbank PCL (Foreign) 1,530,000 1,857,345
Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 545,800 699,571
Modernform Group Public Co., Ltd. (Foreign) 46,000 32,881
Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 134,300 880,547
National Finance and Securities Public Co., Ltd. (Foreign) 9,023,000 3,291,605
National Petrochemical Public Co., Ltd. (Foreign) 2,010,600 4,460,291
* Pacific Assets Public Co., Ltd. (Foreign) 380,000 54,794
* Padaeng Industry Public Co., Ltd. (Foreign) 1,600,800 556,354
Regional Container Lines Public Co., Ltd. 6,950,000 2,466,847
Saha Pathana Inter-Holding Public Co., Ltd. 3,316,000 1,087,079
Saha Pathanapibul Public Co., Ltd. (Foreign) 1,367,000 379,067
Saha-Union Public Co., Ltd. (Foreign) 3,025,300 1,528,683
* Samart Corporation Public Co., Ltd. 4,552,000 796,628
Siam Food Products Public Co., Ltd. (Foreign) 97,100 $ 191,472
Siam Industrial Credit Public Co., Ltd. 4,055,050 704,661
* Standard Chartered Nakornthon Bank
Public Co., Ltd. (Foreign) 839 68,245
* Thai Military Bank Public Co., Ltd. (Foreign) 24,588,200 2,157,604
Thai Plastic and Chemicals Public Co., Ltd. (Foreign) 29,000 128,666
Thai Rayon Public Co., Ltd. 16,500 132,586
Thai Rung Union Car Public Co., Ltd. (Foreign) 5,386,250 2,031,295
* TPI Polene Public Co., Ltd. (Foreign) 3,890,162 3,116,349
* Tuntex (Thailand) Public Co., Ltd. (Foreign) 1,987,600 94,064
* United Communication Industry Public Co., Ltd. (Foreign) 864,400 937,481
* Vinythai Public Co., Ltd. (Foreign) 1,217,358 344,364
---------------
TOTAL COMMON STOCKS
(Cost $26,470,237) 46,049,930
---------------
RIGHTS/WARRANTS -- (0.0%)
* Bangkok Land (Foreign) Warrants 2006 3,987,330 0
* Ch Karnchang Public Co., Ltd. Warrants 03/30/07 1,501,400 305,313
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 305,313
---------------
TOTAL -- THAILAND
(Cost $26,470,237) 46,355,243
---------------
POLAND -- (3.4%)
COMMON STOCKS -- (3.4%)
* Amica Wronki SA 174,355 2,079,937
Bank Przemyslowo Handlowy Pbk 9,050 1,004,133
* Big Bank Gdanski SA 2,399,724 1,933,901
* Budimex SA 66,643 823,018
Debica SA 73,315 2,522,978
* Huta Ferrum SA 4,233 7,154
* Impexmetal SA 241,068 2,121,248
* Kredyt Bank SA 1,032,878 2,476,774
Lentex SA 104,119 809,554
* Mostostal Export SA 654,595 295,945
* Mostostal Warszawa SA 183,300 645,984
* Mostostal Zabrze Holding SA 140,376 41,915
* Netia Holdings SA 499,050 559,350
Orbis SA 561,018 3,476,476
Polifarb Cieszyn Wroclaw SA 929,467 2,512,610
Polski Koncern Naftowy Orlen S.A. 77,519 580,249
Przedsiebiorstwo Farmaceutyczne JELFA SA 139,333 2,517,260
Raciborska Fabryka Kotlow SA 291,972 1,086,430
* Sokolowskie Zaklady Miesne SA 640,477 980,221
---------------
TOTAL -- POLAND
(Cost $19,409,618) 26,475,137
---------------
</Table>
189
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
CHILE -- (3.2%)
COMMON STOCKS -- (3.2%)
Banco de Credito e Inversiones SA Series A 54,733 $ 908,970
Banmedica SA 347,000 134,464
CAP SA (Compania de Aceros del Pacifico) 199,310 740,812
Cementos Bio-Bio S.A. 62,327 93,651
Cervecerias Unidas SA 143,000 568,834
Consumidores de Gas de Santiago SA 103,000 439,858
COPEC (Cia de Petroleos de Chile) 947,488 6,503,911
Cristalerias de Chile SA 12,500 92,902
CTI SA (Cia Tecno Industrial) 4,900,000 82,345
Empresa Nacional de Electricidad SA 2,479,503 1,035,332
Empresa Nacional de Telecomunicaciones SA 81,000 462,491
Empresas Iansa SA 4,994,997 142,206
* Enersis SA 6,762,242 832,111
* Forestal Terranova SA 147,795 73,268
Industrias Forestales Inforsa SA 2,387,597 377,673
Inversiones Frimetal SA 4,900,000 0
* Madeco Manufacturera de Cobre SA 1,194,560 74,631
Maderas y Sinteticos SA 1,379,095 562,762
Manufacturera de Papeles y Cartones SA 285,547 4,877,671
Minera Valparaiso SA 7,500 78,292
Parque Arauco S.A. 455,207 188,635
Sociedad Industrial Pizarreno SA 63,000 109,609
Sociedad Quimica y Minera de Chile SA Series A 43,364 164,608
Sociedad Quimica y Minera de Chile SA Series B 945,090 3,355,985
Soquimic Comercial SA 150,000 37,960
Sud Americana de Vapores SA 410,000 496,085
Telecomunicaciones de Chile SA Series A 384,000 1,135,753
Telecomunicaciones de Chile SA Series B 372,166 1,059,547
Vina de Concha y Toro SA 350,000 315,540
Vina San Pedro SA 4,500,000 40,925
Vina Sta Carolina SA Series A 163,489 46,545
---------------
TOTAL COMMON STOCKS
(Cost $18,437,682) 25,033,376
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Chilean Pesos
(Cost $16,524) 17,613
---------------
TOTAL -- CHILE
(Cost $18,454,206) 25,050,989
---------------
HUNGARY -- (3.0%)
COMMON STOCKS -- (3.0%)
* Danubius Hotel & Spa RT 171,412 3,331,133
Egis RT 42,143 1,638,277
* Fotex First Hungarian-American Photo Service Co. 2,356,737 1,715,056
Globus Konzervipari RT 317,900 1,312,138
Magyar Olay-Es Gazipari RT 183,209 $ 7,026,592
* Mezogazdasagi Gepgyarto Reszvenytarsasag (Mezogep) 84,611 407,449
* North American Business Industries RT 121,832 515,518
* Pannonplast P.L.C. 138,882 1,067,699
* Raba Hungarian Railway Carriage & Machine Works 482,083 1,755,549
* Synergon Information Systems Ltd., Budapest 247,161 490,822
* Tiszai Vegyi Kombinat RT 251,242 4,603,479
---------------
TOTAL -- HUNGARY
(Cost $21,409,826) 23,863,712
---------------
PHILIPPINES -- (2.4%)
COMMON STOCKS -- (2.4%)
Aboitiz Equity Ventures, Inc. 5,782,000 300,794
Alaska Milk Corp. 7,953,000 419,986
* Alsons Consolidated Resources, Inc. 16,904,000 45,360
* Bacnotan Consolidated Industries, Inc. 1,696,970 303,572
* Belle Corp. 30,800,000 270,260
* Cebu Holdings, Inc. 7,763,250 62,495
* Digital Telecommunications (Philippines), Inc. 131,630,000 1,528,581
* Equitable PCI Bank, Inc. 2,841,900 2,208,765
* Fil-Estate Land, Inc. 3,196,340 14,943
* Filinvest Development Corp. 5,283,500 89,319
* Filinvest Land, Inc. 151,904,100 2,824,806
* Filipina Water Bottling Corp. 5,471,786 0
* First E-Bank Corp. 409,000 5,488
Keppel Philippines Marine, Inc. 9,725,165 46,973
* Kuok Philippine Properties, Inc. 4,300,000 11,579
* Megaworld Properties & Holdings, Inc. 179,870,000 3,610,062
Metro Bank and Trust Co. 349,020 156,068
* Mondragon International Philippines, Inc. 2,464,000 5,510
Petron Corp. 15,160,000 826,760
* Philippine National Bank 3,619,900 1,542,227
* Philippine National Construction Corp. 398,900 23,192
* Philippine Realty & Holdings Corp. 20,930,000 7,488
Philippine Savings Bank 1,095,390 529,079
* Prime Orion Philippines, Inc. 14,400,000 41,161
* RFM Corp. 2,488,200 28,296
Robinson's Land Corp. Series B 16,019,000 510,086
Security Bank Corp. 2,713,200 812,897
SM Development Corp. 21,996,400 418,121
* Solid Group, Inc. 19,668,000 125,721
Soriano (A.) Corp. 20,195,000 332,575
* Swift Foods, Inc. 1,238,566 5,481
Union Bank of the Philippines 547,400 225,254
Universal Robina Corp. 16,140,300 1,933,492
* Urban Bank, Inc. 14,950 141
---------------
TOTAL -- PHILIPPINES
(Cost $28,471,071) 19,266,532
---------------
</Table>
190
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
ARGENTINA -- (2.3%)
COMMON STOCKS -- (2.3%)
* Acindar Industria Argentina de Aceros SA Series B 2,261,067 $ 2,179,804
* Alpargatas SA Industrial y Comercial 6,363 3,169
* Banco del Sud Sociedad Anonima Series B 310,563 274,451
* Banco Frances del Rio de la Plata SA 178,000 320,325
* Banco Suquia SA 327,868 52,154
* Capex SA Series A 131,575 134,246
* Celulosa Argentina SA Series B 10,843 7,840
* Central Costanera SA Series B 261,000 333,815
* Central Puerto SA Series B 161,000 82,781
Cresud SA Comercial Industrial Financiera y Agropecuaria 535,252 533,215
DYCASA SA (Dragados y Construcciones Argentina) Series B 55,000 46,484
* Garovaglio y Zorraquin SA 65,800 9,092
* Grupo Financiero Galicia SA Series B 1,697,935 916,670
* IRSA Inversiones y Representaciones SA 1,257,197 880,730
* Juan Minetti SA 806,693 824,362
* Ledesma S.A.A.I. 825,405 477,444
* Metrogas SA Series B 176,000 67,870
* Molinos Rio de la Plata SA Series B 307,214 385,024
* Polledo SA Industrial y Constructora y Financiera 50,000 7,536
* Renault Argentina SA 2,501,957 393,966
Siderar SAIC Series A 645,512 2,821,149
* Sol Petroleo SA 173,000 28,353
Solvay Indupa S.A.I.C. 1,334,322 1,106,275
* Telecom Argentina Stet-France SA Series B 476,600 781,101
Tenaris SA 1,660,259 5,175,238
---------------
TOTAL COMMON STOCKS
(Cost $17,705,390) 17,843,094
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso
(Cost $479,488) $ 480,676
---------------
TOTAL -- ARGENTINA
(Cost $18,184,878) 18,323,770
---------------
CZECH REPUBLIC -- (0.1%)
COMMON STOCKS -- (0.1%)
* CEZ A.S. (Cost $951,800) 132,655 942,790
---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency
(Cost $284) 410
---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.6%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04 (Collateralized by
$12,956,000 FNMA Discount Notes 0.96%, 06/16/04,
valued at $12,949,522) to be repurchased at $12,759,262
(Cost $12,758,000) $ 12,758 12,758,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $609,462,510)++ $ 787,583,208
===============
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
++ The cost for federal income tax purposes is $610,344,890.
See accompanying Notes to Financial Statements.
191
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (Cost $609,463) $ 787,583
Cash 1,889
Receivables:
Investment Securities Sold 1,549
Dividends and Interest 2,494
Fund Shares Sold 284
Prepaid Expenses and Other Assets 5
------------
Total Assets 793,804
------------
LIABILITIES:
Payables:
Investment Securities Purchased 1,595
Due to Advisor 64
Fund Shares Redeemed 3,500
Deferred Thailand Capital Gains Tax 3,811
Deferred Chilean Repatriation Tax 107
Accrued Expenses and Other Liabilities 224
------------
Total Liabilities 9,301
------------
NET ASSETS applicable to 36,861,017 shares outstanding $0.01 par value shares $ 784,503
============
(Authorized 200,000,000)
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 21.28
============
NET ASSETS CONSIST OF:
Paid-in Capital $ 585,778
Accumulated Net Investment Income (Loss) 2,186
Accumulated Net Realized Gain (Loss) 23,117
Accumulated Net Realized Foreign Exchange Gain (Loss) (776)
Deferred Thailand Capital Gains Tax (3,811)
Unrealized Net Foreign Exchange Gain (Loss) (111)
Unrealized Appreciation (Depreciation) of Investment Securities and Foreign
Currency Transactions 178,120
------------
Total Net Assets $ 784,503
============
</Table>
See accompanying Notes to Financial Statements.
192
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1,487) $ 10,167
Interest 64
----------
Total Investment Income 10,231
----------
EXPENSES
Investment Advisory Services 389
Accounting & Transfer Agent Fees 333
Custodian Fees 532
Legal Fees 21
Audit Fees 11
Shareholders' Reports 34
Directors' Fees and Expenses 4
Other 35
----------
Total Expenses 1,359
----------
NET INVESTMENT INCOME (LOSS) 8,872
----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 24,718
Net Realized Gain (Loss) on Foreign Currency Transactions (776)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 37,019
Translation of Foreign Currency Denominated Amounts (97)
Deferred Thailand Capital Gains Tax 1,589
----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 62,453
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 71,325
----------
----------
</Table>
See accompanying Notes to Financial Statements.
193
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 8,872 $ 9,519
Net Realized Gain (Loss) on Investment Securities Sold 24,718 9,445
Net Realized Gain (Loss) on Foreign Currency Transactions (776) (301)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 37,019 164,617
Translation of Foreign Currency Denominated Amounts (97) (93)
Deferred Thailand Capital Gains Tax 1,589 (3,793)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations 71,325 179,394
----------- -----------
Distributions From:
Net Investment Income (2,587) (10,213)
Net Long-Term Gains (6,727) --
----------- -----------
Total Distributions (9,314) (10,213)
----------- -----------
Capital Share Transactions (1):
Shares Issued 123,117 187,083
Shares Issued in Lieu of Cash Distributions 9,314 10,213
Shares Redeemed (27,662) (94,351)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions 104,769 102,945
----------- -----------
Total Increase (Decrease) 166,780 272,126
NET ASSETS
Beginning of Period 617,723 345,597
----------- -----------
End of Period $ 784,503 $ 617,723
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 5,573 11,549
Shares Issued in Lieu of Cash Distributions 454 597
Shares Redeemed (1,257) (7,037)
----------- -----------
4,770 5,109
=========== ===========
</Table>
See accompanying Notes to Financial Statements.
194
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 19.25 $ 12.81 $ 12.28 $ 14.14 $ 20.88 $ 14.74
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.37 0.33 0.23 0.38 0.19 0.22
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.95 6.45 0.83 (0.92) (5.75) 8.62
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations 2.32 6.78 1.06 (0.54) (5.56) 8.84
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.34) (0.32) (0.33) (0.16) (0.25)
Net Realized Gains (0.21) -- (0.21) (0.99) (1.02) (2.45)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.29) (0.34) (0.53) (1.32) (1.18) (2.70)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 21.28 $ 19.25 $ 12.81 $ 12.28 $ 14.14 $ 20.88
=========== =========== =========== =========== =========== ===========
Total Return 12.16%# 53.30% 8.79% (4.34)% (28.02)% 71.69%
Net Assets, End of Period
(thousands) $ 784,503 $ 617,723 $ 345,597 $ 279,096 $ 295,276 $ 360,430
Ratio of Expenses to Average Net
Assets 0.35%* 0.42% 0.40% 0.52% 0.54% 0.52%
Ratio of Net Investment Income to
Average Net Assets 2.28%* 2.39% 1.67% 3.16% 1.46% 1.51%
Portfolio Turnover Rate 7%# 10% 15% 19% 19% 18%
</Table>
- ----------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
195
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Emerging Markets Value Fund Inc. (the "Fund") was organized as
a closed-end management investment company registered under the Investment
Company Act of 1940, as amended. Effective November 21, 1997, the Fund was
reorganized as an open-end management investment company.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America may
require management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates and those differences could be material.
1. SECURITY VALUATION: Securities held by the Fund which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day or, if there is no such reported
sale, at the mean between the quoted bid and asked prices. Price information on
listed securities is taken from the exchange where the security is primarily
traded. Unlisted securities for which market quotations are readily available
are valued at the mean between the most recent bid and asked prices. Securities
for which quotations are not readily available, or for which market quotations
have become unreliable, are approved in good faith at fair value using methods
approved by the Board of Directors.
The Fund will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day at
various times prior to the close of the New York Stock Exchange (NYSE). For
example, trading in the Japanese securities markets is completed each day at the
close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen
hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that
the net asset value of the Fund is computed. Due to the time differences between
the closings of the relevant foreign securities exchanges and the time the Fund
prices its shares at the close of the NYSE, the Fund will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the Fund's foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Directors of the Fund has determined that movements in relevant indices or other
appropriate market indicators, after the close of the Tokyo Stock Exchange or
the London Stock Exchange, demonstrate that market quotations may be unreliable,
and may trigger fair value pricing. Consequently, fair valuation of portfolio
securities may occur on a daily basis. The fair value pricing by the Fund
utilizes data furnished by an independent pricing service (and that data draws
upon, among other information, the market values of foreign investments). The
fair value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of a Fund. When the Fund uses fair value pricing, the values
assigned to the Fund's foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges.
196
<Page>
2. FOREIGN CURRENCY TRANSLATIONS: Securities and other assets and
liabilities of the Fund whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market based on daily exchange rates and exchange gains or losses are
realized upon ultimate receipt or disbursement.
The Fund does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the Fund's books and the
U.S. dollar equivalent amounts actually received or paid.
3. REPURCHASE AGREEMENTS: The Fund may purchase money market instruments
from financial institutions, such as banks and non-bank dealers, subject to the
counterparty's agreement to repurchase them at an agreed upon date and price.
The counterparty will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system or with the Fund's
custodian or a third party sub-custodian. In the event of default or bankruptcy
by the other party to the agreement, retention of the collateral may be subject
to legal proceedings. All open repurchase agreements were entered into on May
28, 2004.
4. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
5. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At May 31, 2004, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $10,981.
6. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis.
The Fund may be subject to taxes imposed by countries in which it invests,
with respect to its investment in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Fund accrues such
taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income, capital
or the proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.
The Fund's investments in Chile are subject to governmental taxes on
investment income and realized capital gains. Such taxes are due when currencies
are repatriated from the country. The Fund accrues for taxes on income as income
is earned and accrues for taxes on capital gains throughout the holding period
of underlying securities. The cost basis used to determine the amount of capital
gains subject to such taxes is adjusted for the Consumer Price Index (CPI) in
Chile from the date such securities were purchased through the date such
securities are sold.
197
<Page>
The Fund's investments in Thailand are subject to a 15% governmental
capital gains tax. Such taxes are due upon sale of individual securities. The
Fund accrues for taxes on the capital gains throughout the holding period of the
underlying securities.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Fund. For the six months ended May 31, 2004,
the Fund paid the Advisor a fee based on an annual effective rate of 0.10 of 1%
of average net assets.
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Fund made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 154,484
Sales 51,410
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2004.
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Fund intends
to continue to qualify as a regulated investment company under Subchapter M of
the Internal Revenue Code and distribute substantially all of its taxable income
and capital gains to shareholders. Because income tax regulations differ from
accounting principles generally accepted in the United States of America, the
timing and character of income and capital gain distributions determined in
accordance with tax regulations can differ from income and capital gains
recognized for financial reporting purposes. Accordingly, the character of
distributions and the composition of net assets for tax purposes can differ from
those reflected in the financial statements. These book/tax differences may be
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid in capital, accumulated net realized gain
(loss) or undistributed net investment income as appropriate, in the period the
differences arise. These reclassifications have no effect on net assets or net
asset value per share.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Statement of Assets and Liabilities.
At May 31, 2004, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies was
as follows (amounts in thousands):
<Table>
Gross Unrealized Appreciation $ 233,027
Gross Unrealized Depreciation (55,789)
-----------
Net $ 177,238
===========
</Table>
Certain of the Fund's investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. During the
year ended November 30, 2003, the Fund had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies of $2,805,362 and $1,692,377 respectively, which
are included in distributable net investment income for tax purposes,
accordingly, such gains have been reclassified from accumulated net realized
gains to accumulated net investment income.
198
<Page>
F. LINE OF CREDIT:
The Fund together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. The Fund is permitted to borrow, subject to
its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated at any time. There were no borrowings by the Fund under the
discretionary line of credit with the domestic custodian bank during the six
months ended May 31, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement for the line of credit expires in April
2005. There were no borrowings by the Fund under the line of credit during the
six months ended May 31, 2004.
G. REIMBURSEMENT FEES:
Until March 30, 2002, shares of the Fund were sold at a public offering
price which was equal to the current net asset value plus a reimbursement fee of
0.50% of such net asset value. Reimbursement fees were recorded as an addition
to Paid-in capital and were used to defray the costs associated with investing
proceeds of the sale of shares to investors.
Effective March 30, 2002, the Fund no longer charges reimbursement fees.
199
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the non-Feeder
Portfolios and Master Funds use in voting proxies relating to securities held in
their portfolio's is available without charge, upon request, by calling collect:
(310) 395-8005. Information regarding how the Advisor votes these proxies will
become available from the EDGAR database on the SEC's website at
http://www.sec.gov no later than August 31, 2004 when the Funds file their first
report on Form N-PX and will reflect the twelve-month period beginning July 1,
2003 and ending June 30, 2004.
200
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2004
(UNAUDITED)
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
------
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities 1
Statement of Operations 2
Statements of Changes in Net Assets 3
Financial Highlights 4
Notes to Financial Statements 5
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE CAP VALUE SERIES
Schedule of Investments 7
Statement of Assets and Liabilities 10
Statement of Operations 11
Statements of Changes in Net Assets 12
Financial Highlights 13
Notes to Financial Statements 14
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 17
</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.
U.S. LARGE CAP VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company
(9,061,956 Shares, Cost $131,003)++ at Value+ $ 152,694
Receivable for Fund Shares Sold 135
Prepaid Expenses and Other Assets 15
-------------
Total Assets 152,844
-------------
LIABILITIES:
Payables:
Investment Securities Purchased 135
Due To Advisor 1
Accrued Expenses and Other Liabilities 13
-------------
Total Liabilities 149
-------------
NET ASSETS $ 152,695
=============
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000) 9,258,907
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 16.49
=============
NET ASSETS CONSIST OF:
Paid-in Capital $ 139,091
Accumulated Net Investment Income (Loss) 236
Accumulated Net Realized Gain (Loss) (8,323)
Unrealized Appreciation (Depreciation) from Investment Securities 21,691
-------------
Total Net Assets $ 152,695
=============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $138,119.
See accompanying Notes to Financial Statements.
1
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 538
-------------
EXPENSES
Administrative Services 7
Accounting & Transfer Agent Fees 2
Legal Fees 2
Audit Fees 1
Filing Fees 9
Shareholders' Reports 11
Directors' Fees and Expenses 3
Other 1
-------------
Total Expenses 36
-------------
NET INVESTMENT INCOME (LOSS) 502
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold (243)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 10,186
-------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 9,943
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 10,445
=============
</Table>
See accompanying Notes to Financial Statements.
2
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
------------- -------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 502 $ 1,201
Net Realized Gain (Loss) on Investment Securities Sold (243) (1,839)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 10,186 16,089
------------- -------------
Net Increase (Decrease) in Net Assets Resulting from Operations 10,445 15,451
------------- -------------
Distributions From:
Net Investment Income (1,280) (1,007)
------------- -------------
Total Distributions (1,280) (1,007)
------------- -------------
Capital Share Transactions (1):
Shares Issued 45,444 28,650
Shares Issued in Lieu of Cash Distributions 1,280 1,007
Shares Redeemed (6,615) (10,528)
------------- -------------
Net Increase (Decrease) from Capital Share Transactions 40,109 19,129
------------- -------------
Total Increase (Decrease) 49,274 33,573
NET ASSETS
Beginning of Period 103,421 69,848
------------- -------------
End of Period $ 152,695 $ 103,421
============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 2,777 2,120
Shares Issued in Lieu of Cash Distributions 81 82
Shares Redeemed (406) (842)
------------- -------------
2,452 1,360
============= =============
</Table>
See accompanying Notes to Financial Statements.
3
<Page>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 15.19 $ 12.82 $ 15.05 $ 16.66 $ 19.15 $ 19.82
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.05 0.18 0.18 0.23 0.32 0.34
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.43 2.38 (1.42) 1.31 0.07 0.46
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 1.48 2.56 (1.24) 1.54 0.39 0.80
----------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.19) (0.21) (0.32) (0.34) (0.33)
Net Realized Gains -- -- (0.78) (2.83) (2.54) (1.14)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.18) (0.19) (0.99) (3.15) (2.88) (1.47)
----------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period $ 16.49 $ 15.19 $ 12.82 $ 15.05 $ 16.66 $ 19.15
=========== ========== ========== ========== ========== ==========
Total Return 9.78%# 20.26% (8.76)% 10.74% 2.78% 4.42%
Net Assets, End of Period
(thousands) $ 152,695 $ 103,421 $ 69,848 $ 62,960 $ 33,364 $ 37,540
Ratio of Expenses to Average Net
Assets (1) 0.20%* 0.22% 0.26% 0.36% 0.40% 0.37%
Ratio of Net Investment Income to
Average Net Assets 0.73%* 1.56% 1.30% 1.61% 1.88% 1.58%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series 2%# 7% 9% 6% 26% 43%
</Table>
- ----------
* Annualized
# Non-annualized
(1) 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.
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twenty-five portfolios, of
which U.S. Large Cap Value Portfolio II (the "Portfolio") is presented in this
report.
The Portfolio invests all of its assets in The U.S. Large Cap Value Series
(the "Series" or the "Master Fund"), a corresponding series of The DFA
Investment Trust Company. At May 31, 2004, the Portfolio owned 5% 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. 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 May 31, 2004, the total liability for deferred
compensation to Directors is included in Accrued Expense and Other Liabilities
in the amount of $1,915.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio or to the Series are directly charged.
Common expenses of the Fund or Portfolios are allocated using methods approved
by the Board of Directors, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. The Portfolio's administrative fees are accrued
daily and paid monthly to the Advisor based on an effective annual rate of 0.01
of 1%.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
The Advisor has agreed to waive its fees and reimburse the Portfolio to the
extent necessary to keep the annual combined expenses of the Portfolio and its
Series to not more than 0.75% of average daily net assets on an
5
<Page>
annualized basis. At any time that the total direct and indirect expenses of the
Portfolio are less than 0.75% of its average net assets on an annualized basis,
the Advisor retains the right to seek reimbursement for any fees previously
waived during the prior thirty-six months. Annualized expenses are those
expenses incurred in any period consisting of twelve consecutive months. At May
31, 2004, there are no previously waived fees subject to future reimbursement to
the Advisor.
In addition, until May 1, 2002, pursuant to an agreement with a shareholder
service agent, the Portfolio paid to such agent a fee at the effective annual
rate of 0.10 of 1% of its average daily net assets for services provided to
shareholders. Effective May 1, 2002, this fee is no longer charged to the
Portfolio.
D. 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 differ from book
basis distributable earnings, which are disclosed in the Statement of Assets and
Liabilities mainly due to wash sales which have the effect of reducing tax basis
distributable earnings.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
Gross Unrealized Appreciation $ 21,690
Gross Unrealized Depreciation (7,115)
--------
Net $ 14,575
========
</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 of approximately $1,207,000, of which $919,000 and $288,000 expires 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 effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly,
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated at any time. There were no borrowings under the discretionary line of
credit by the Portfolio during the six months ended May 31, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings under the line of credit by the Portfolio during
the six months ended May 31, 2004.
6
<Page>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (85.3%)
* 3COM Corp. 606,100 $ 3,921,467
A. G. Edwards, Inc. 17,500 654,500
*# Advanced Micro Devices, Inc. 504,800 7,849,640
Aetna, Inc. 539,626 43,817,631
* Agere Systems, Inc. Class A 8,652 21,976
* Agere Systems, Inc. Class B 212,364 520,292
# Albertson's, Inc. 538,100 12,607,683
* Allegheny Corp. 17,934 4,779,411
Alliant Energy Corp. 212,900 5,318,242
* Allied Waste Industries, Inc. 255,800 3,391,908
* Allmerica Financial Corp. 98,000 3,150,700
Allstate Corp. 1,618,800 71,194,824
Ambac Financial Group, Inc. 23,200 1,604,280
Amerada Hess Corp. 196,432 13,866,135
American Financial Group, Inc. 177,400 5,359,254
American National Insurance Co. 46,700 4,380,927
*# American Tower Corp. 336,000 4,646,880
*# Americredit Corp. 374,000 6,619,800
Anadarko Petroleum Corp. 627,078 34,188,293
Apache Corp. 129,990 5,246,396
* Apple Computer, Inc. 197,300 5,536,238
* Applied Micro Circuits Corp. 213,200 1,149,148
Archer-Daniels Midland Co. 2,475,260 41,163,574
* Arrow Electronics, Inc. 308,200 8,392,286
Ashland, Inc. 297,600 14,031,840
Astoria Financial Corp. 40,500 1,549,935
AT&T Corp. 1,937,780 32,128,392
* AT&T Wireless Services, Inc. 5,388,737 76,304,516
*# AutoNation, Inc. 2,057,600 34,300,192
* Avnet, Inc. 199,900 4,677,660
AVX Corp. 125,400 1,986,336
Bank of America Corp. 82,170 6,830,792
Bank of Hawaii Corp. 327,500 14,229,875
* Barnes & Noble, Inc. 13,000 389,220
Bausch & Lomb, Inc. 11,800 720,036
Bear Stearns Companies, Inc. 373,770 30,297,796
Belo Corp. Class A 324,200 9,537,964
* Big Lots, Inc. 253,500 3,706,170
# Blockbuster, Inc. Class A 23,300 364,878
Boise Cascade Corp. 213,400 7,501,010
Borders Group, Inc. 34,000 776,220
Borg-Warner, Inc. 201,600 8,354,304
Bowater, Inc. 168,400 7,111,532
Burlington Northern Santa Fe Corp. 1,283,000 42,262,020
* Caesars Entertainment, Inc. 845,900 11,648,043
* Cavco Industries, Inc. 11,450 434,402
# Cendant Corp. 311,800 7,152,692
*# CheckFree Corp. 56,200 1,723,092
Chubb Corp. 258,900 17,442,093
*# CIENA Corp. 164,600 592,560
Cincinnati Financial Corp. 579,159 24,759,047
Circuit City Stores, Inc. 531,900 6,366,843
Clear Channel Communications, Inc. 1,428,466 56,710,100
*# CNA Financial Corp. 635,600 19,080,712
Coca-Cola Enterprises, Inc. 1,785,400 49,187,770
* Comcast Corp. Class A 2,432,666 $ 70,425,681
* Comcast Corp. Special Class A
Non-Voting 927,100 26,283,285
Commerce Group, Inc. 93,100 4,219,292
Commercial Federal Corp. 98,900 2,771,178
* Compuware Corp. 35,800 284,610
* Comverse Technology, Inc. 111,500 1,970,205
ConocoPhilips 220,400 16,161,932
*# Corning, Inc. 998,300 12,368,937
Countrywide Financial Corp. 819,999 52,889,935
*# Cox Communications, Inc. 1,421,400 44,646,174
*# Crown Castle International Corp. 468,900 6,906,897
# CSX Corp. 577,800 18,258,480
# Cummins, Inc. 143,100 8,334,144
Curtiss-Wright Corp-Cl B W/I 27,130 1,214,067
# Dana Corp. 510,700 9,524,555
*# Delta Air Lines, Inc. 402,500 2,455,250
# Diamond Offshore Drilling, Inc. 298,241 6,737,264
Dillards, Inc. Class A 48,900 978,489
Disney (Walt) Co. 906,600 21,277,902
# Eastman Chemical Co. 108,200 5,013,988
Electronic Data Systems Corp. 746,200 12,200,370
Federated Department Stores, Inc. 618,200 29,494,322
First American Financial Corp. 156,500 4,062,740
First Citizens Bancshares, Inc. 10,300 1,194,800
Florida East Coast Industries, Inc. 68,139 2,465,269
Foot Locker, Inc. 175,000 4,130,000
# Ford Motor Co. 4,185,900 62,160,615
# General Motors Corp. 1,395,700 63,350,823
Georgia-Pacific Corp. 684,200 24,508,044
*# Goodyear Tire & Rubber Co. 203,900 1,773,930
Harris Corp. 151,400 7,000,736
Hartford Financial Services Group, Inc. 487,000 32,200,440
Hearst-Argyle Television, Inc. 238,600 6,239,390
Helmerich & Payne, Inc. 146,800 3,662,660
Hibernia Corp. 274,500 6,588,000
Hollinger International, Inc. Class A 257,600 4,533,760
Horton (D.R.), Inc. 818,872 23,665,401
* Human Genome Sciences, Inc. 23,900 259,793
* Humana, Inc. 618,900 10,564,623
Ikon Office Solutions, Inc. 123,700 1,363,174
Independence Community Bank Corp. 12,500 469,000
* Ingram Micro, Inc. 336,900 4,868,205
* Instinet Group, Inc. 15,200 100,168
*# InterActiveCorp 1,496,500 46,780,590
International Paper Co. 1,215,775 50,977,446
*# Invitrogen Corp. 50,100 3,479,445
* JDS Uniphase Corp. 1,095,700 3,780,165
JP Morgan Chase & Co. 2,244,400 82,683,696
# Kerr-McGee Corp. 207,658 10,227,156
KeyCorp 941,600 29,575,656
# Labranche & Co., Inc. 19,700 176,512
LaFarge North America, Inc. 257,500 11,345,450
Lear Corp. 110,900 6,568,607
*# Level 3 Communications, Inc. 195,500 762,450
</Table>
7
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Liberty Media Corp. 6,276,100 $ 68,911,578
Lincoln National Corp. 418,500 19,874,565
Loews Corp. 636,800 36,698,784
# Louisiana-Pacific Corp. 94,500 2,182,950
* LSI Logic Corp. 647,300 5,307,860
Lubrizol Corp. 182,000 6,026,020
*# Lucent Technologies, Inc. 1,193,800 4,261,866
Lyondell Chemical Co. 447,200 7,387,744
Manulife Financial Corp. 425,285 16,509,564
Marathon Oil Corp. 961,450 32,054,743
# May Department Stores Co. 63,100 1,808,446
MBIA, Inc. 327,250 18,126,378
# MeadWestavco Corp. 758,431 20,947,864
MetLife, Inc. 1,830,500 65,074,275
*# Metro-Goldwyn-Mayer, Inc. 261,100 3,104,479
MGIC Investment Corp. 116,900 8,533,700
* MGM Grand, Inc. 390,100 17,324,341
* Micron Technology, Inc. 767,000 11,528,010
*# Mony Group, Inc. 51,200 1,599,488
Nationwide Financial Services, Inc. 94,300 3,446,665
Norfolk Southern Corp. 1,537,600 37,256,048
Northrop Grumman Corp. 427,771 44,116,023
Nucor Corp. 15,000 987,750
Occidental Petroleum Corp. 650,800 28,765,360
# Odyssey Re Holdings Corp. 50,500 1,275,125
Old Republic International Corp. 501,412 11,412,137
* Owens-Illinois, Inc. 314,400 4,662,552
* Pacificare Health Systems, Inc. 50,000 1,846,500
* Pactiv Corp. 55,100 1,299,258
*# PanAmSat Corp. 350,100 8,132,823
# Peabody Energy Corp. 54,600 2,715,804
# Penney (J.C.) Co., Inc. 1,120,000 40,073,600
PepsiAmericas, Inc. 192,000 4,078,080
* Phelps Dodge Corp. 287,085 19,493,072
# PMI Group, Inc. 191,100 8,249,787
Pogo Producing Co. 69,200 3,147,216
*# Pride International, Inc. 303,400 4,769,448
Principal Financial Group, Inc. 746,100 26,076,195
Protective Life Corp. 141,500 5,232,670
* Providian Financial Corp. 483,100 6,570,160
Pulte Homes Inc. 248,400 13,103,100
# Questar Corp. 251,000 9,199,150
*# Qwest Communications International, Inc. 2,000,600 7,502,250
Radian Group, Inc. 211,300 9,719,800
* Radio One, Inc. 22,900 395,712
Rayonier, Inc. 500 21,000
Raytheon Co. 1,311,300 43,600,725
Reinsurance Group of America, Inc. 114,100 4,535,475
* Rite Aid Corp. 969,800 4,868,396
# RJ Reynolds Tobacco Holdings, Inc. 251,326 14,124,521
Ryder System, Inc. 275,400 10,231,110
# Safeco Corp. 486,400 20,404,480
Saint Paul Companies, Inc. 695,326 27,590,536
Saks, Inc. 743,200 11,155,432
* Sanmina Corp. 639,900 6,770,142
SBC Communications, Inc. 430,200 10,195,740
# Sears, Roebuck & Co. 493,500 18,753,000
* Service Corp. International 237,100 1,707,120
* Smithfield Foods, Inc. 68,400 1,982,916
*# Smurfit-Stone Container Corp. 617,026 11,205,192
* Solectron Corp. 1,155,300 $ 6,354,150
# Sovereign Bancorp, Inc. 781,020 16,987,185
# Sprint Corp. 2,161,500 38,388,240
StanCorp Financial Group, Inc. 20,000 1,281,800
Starwood Hotels and Resorts Worldwide, Inc. 573,500 24,190,230
Steelcase, Inc. Class A 47,400 559,320
* Sun Microsystems, Inc. 2,143,700 9,067,851
Sunoco, Inc. 298,800 18,385,164
Supervalu, Inc. 565,200 17,532,504
*# Tech Data Corp. 119,000 4,776,660
# Telephone & Data Systems, Inc. 89,300 6,398,345
* Tellabs, Inc. 716,800 5,691,392
Temple-Inland, Inc. 131,300 8,576,516
* Tenet Healthcare Corp. 1,047,300 12,483,816
# Textron, Inc. 123,000 6,721,950
* The DIRECTV Group, Inc. 680,337 11,980,735
# Thomas & Betts Corp. 46,900 1,147,174
Tidewater, Inc. 100,900 2,788,876
* Time Warner, Inc. 7,039,080 119,945,923
Torchmark Corp. 127,200 6,892,968
* Toys R Us, Inc. 819,300 12,879,396
* Triad Hospitals, Inc. 147,000 5,197,920
# Tyson Foods, Inc. Class A 912,556 18,725,649
Union Pacific Corp. 824,200 48,067,344
Unionbancal Corp. 86,600 4,987,294
* Unisys Corp. 113,200 1,534,992
* United States Cellular Corp. 122,800 4,372,908
# United States Steel Corp. 326,200 9,903,432
Unitrin, Inc. 223,800 8,974,380
# UnumProvident Corp. 913,089 13,294,576
# Valero Energy Corp. 306,800 20,282,548
Valhi, Inc. 158,500 1,759,350
* VeriSign, Inc. 166,300 3,016,682
Viacom, Inc. Class B 3,061,100 112,923,979
*# Vishay Intertechnology, Inc. 315,716 5,957,561
* Vitesse Semiconductor, Inc. 2,800 15,288
* WebMD Corp. 25,800 228,588
Weis Markets, Inc. 20,800 710,320
Wesco Financial Corp. 13,540 5,103,903
* Westport Resources Corp. 30,800 1,065,680
# Weyerhaeuser Co. 565,400 34,195,392
Worthington Industries, Inc. 133,200 2,549,448
*# Xerox Corp. 75,000 1,015,500
---------------
TOTAL COMMON STOCKS
(Cost $2,572,821,731) 3,122,322,882
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (14.7%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $67,332,000
FNMA Discount Notes, 12/10/04,
valued at $66,827,010) to be
repurchased at $65,845,511
(Cost $65,839,000) $ 65,839 65,839,000
</Table>
8
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
Repurchase Agreement, Merrill Lynch Triparty
Repo 0.96%, 06/01/04 (Collateralized by
$471,136,000 U.S. Treasury Obligations rates
ranging from 1.625% to 6.00%, maturities
ranging from 08/15/04 to 02/15/12, valued at
$483,699,189) to be repurchased at
$474,263,981
(Cost $474,213,398)^ $ 474,213 $ 474,213,398
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $540,052,398) 540,052,398
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,112,874,129)++ $ 3,662,375,280
===============
</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 $3,112,874,157.
See accompanying Notes to Financial Statements.
9
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $459,183 of securities on loan) $ 3,662,375
Cash 1
Receivables:
Investment Securities Sold 605
Dividends and Interest 5,373
Fund Shares Sold 3,543
Securities Lending Income 20
Prepaid Expenses and Other Assets 13
-------------
Total Assets 3,671,930
-------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 474,214
Investment Securities Purchased 21,826
Fund Shares Redeemed 96
Due to Advisor 257
Accrued Expenses and Other Liabilities 201
-------------
Total Liabilities 496,594
-------------
NET ASSETS $ 3,175,336
=============
SHARES OUTSTANDING, $.01 PAR VALUE
(Unlimited Number of Shares Authorized) 188,406,260
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 16.85
=============
Investments at Cost $ 3,112,874
=============
NET ASSETS CONSIST OF:
Paid-in Capital $ 2,672,681
Accumulated Net Investment Income (Loss) 11,217
Accumulated Net Realized Gain (Loss) (58,064)
Unrealized Appreciation (Depreciation) from Investment Securities 549,502
-------------
Total Net Assets $ 3,175,336
=============
</Table>
See accompanying Notes to Financial Statements.
10
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends $ 23,072
Interest 173
Income from Securities Lending 174
-------------
Total Investment Income 23,419
-------------
EXPENSES
Investment Advisory Services 1,467
Accounting & Transfer Agent Fees 444
Custodian Fees 139
Legal Fees 10
Audit Fees 19
Shareholders' Reports 25
Trustees' Fees and Expenses 15
Other 33
-------------
Total Expenses 2,152
-------------
NET INVESTMENT INCOME (LOSS) 21,267
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold 22,742
Change in Unrealized Appreciation (Depreciation) of Investment Securities 206,595
-------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 229,337
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 250,604
=============
</Table>
See accompanying Notes to Financial Statements.
11
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 21,267 $ 31,384
Net Realized Gain (Loss) on Investment Securities Sold 22,742 (48,309)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 206,595 415,785
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations 250,604 398,860
----------- -----------
Distributions From:
Net Investment Income (11,755) (31,464)
----------- -----------
Total Distributions (11,755) (31,464)
----------- -----------
Capital Share Transactions (1):
Shares Issued 437,618 495,839
Shares Issued in Lieu of Cash Distributions 11,311 31,027
Shares Redeemed (23,104) (121,409)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions 425,825 405,457
----------- -----------
Total Increase (Decrease) 664,674 772,853
NET ASSETS
Beginning of Period 2,510,662 1,737,809
----------- -----------
End of Period $ 3,175,336 $ 2,510,662
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 26,167 36,572
Shares Issued in Lieu of Cash Distributions 682 2,270
Shares Redeemed (1,402) (9,461)
----------- -----------
25,447 29,381
=========== ===========
</Table>
See accompanying Notes to Financial Statements.
12
<Page>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value,
Beginning of Period $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 $ 18.79
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM
INVESTMENT OPERATIONS
Net Investment
Income (Loss) 0.12 0.21 0.20 0.25 0.33 0.34
Net Gains (Losses) on
Securities (Realized
and Unrealized) 1.39 2.41 (1.43) 1.25 0.04 0.46
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations 1.51 2.62 (1.23) 1.50 0.37 0.80
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.22) (0.20) (0.27) (0.32) (0.34)
Net Realized Gains -- -- -- (1.50) (3.13) (1.46)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.07) (0.22) (0.20) (1.77) (3.45) (1.80)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value,
End of Period $ 16.85 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79
=========== =========== =========== =========== =========== ===========
Total Return 9.80%# 20.34% (8.64)% 10.97% 3.06% 4.64%
Net Assets, End of
Period (thousands) $ 3,175,336 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343 $ 1,788,082
Ratio of Expenses to
Average Net Assets 0.15%* 0.15% 0.15% 0.15% 0.16% 0.16%
Ratio of Net Investment Income
to Average Net Assets 1.45%* 1.62% 1.49% 1.66% 2.20% 1.80%
Portfolio Turnover Rate 2%# 7% 9% 6% 26% 43%
</Table>
- ----------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
13
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The U.S. Large Cap Value Series
(the "Series" or "Portfolio") is 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. 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. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities at the mean between the quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At May 31, 2004, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities in the amount of
$40,843.
3. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 28, 2004.
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.
14
<Page>
Discount and premium on securities purchased are amortized over the lives of the
respective securities, utilizing the effective interest method. Expenses
directly attributable to a Series are directly charged. Common expenses of the
Trust or Series are allocated using methods approved by the Board of Trustees,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2004, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.10 of 1% of average daily net
assets.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 467,788
Sales 54,183
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2004.
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series intends
to continue to qualify as a regulated investment company under Subchapter M of
the Internal Revenue Code and distribute substantially all of its taxable income
and capital gains to shareholders. Because income tax regulations differ from
accounting principles generally accepted in the United States of America, the
timing and character of income and capital gain distributions determined in
accordance with tax regulations can differ from income and capital gains
recognized for financial reporting purposes. Accordingly, the character of
distributions and the composition of net assets for tax purposes can differ from
those reflected in the financial statements. These book/tax differences may be
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid in capital, accumulated net realized gain
(loss) or undistributed net investment income as appropriate, in the period the
differences arise. These reclassifications have no effect on net assets or net
asset value per share.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Statement of Assets and Liabilities.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
Gross Unrealized Appreciation $ 697,096
Gross Unrealized Depreciation (147,595)
----------
Net $ 549,501
==========
</Table>
For federal income tax purposes, the Trust measures its capital loss
carryforwards annually at November 30, its fiscal year end. As of November 30,
2003, the Series had a capital loss carryforward for federal income tax purposes
of approximately $80,662,000 of which $11,185,000, $21,142,000 and $48,335,000
will expire on November 30, 2009, 2010 and November 30, 2011, respectively.
F. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each 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.
15
<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 line of credit may
be terminated at any time. There were no borrowings under the line of credit
during the six months ended May 31, 2004.
There were no outstanding borrowings by the Series under the line of credit
for the six months ended May 31, 2004.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings by the Series under the line of credit during the
six months ended May 31, 2004.
G. SECURITIES LENDING:
As of May 31, 2004, the Series had securities on loan to brokers/dealers,
for which the Series held cash collateral. Each portfolio invests the cash
collateral, as described below, and records a liability for the return of the
collateral, during the period the securities are on loan. Loans of securities
are required at all times to be secured by collateral at least equal to 100% of
the market value of the securities on loan. However, in the event of default or
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the portfolio
or, at the option of the lending agent, to replace the securities.
Cash collateral of each Series received from securities on loan is invested
along with cash collateral from the other Portfolios of the Series in repurchase
agreements collateralized by U.S. government securities. These investments are
accounted for separately for each Portfolio. Securities pledged as collateral
for the repurchase agreements are held by a custodian bank until the agreements
mature.
16
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the non-Feeder Portfolios
and Master Funds use in voting proxies relating to securities held in their
portfolios is available without charge, upon request, by calling collect: (310)
395-8005. Information regarding how the Advisor votes these proxies will become
available from the EDGAR database on the SEC's website at http://www.sec.gov no
later than August 31, 2004 when the Funds file their first report on Form N-PX
and will reflect the twelve-month period beginning July 1, 2003 and ending June
30, 2004.
17
<Page>
================================================================================
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2004
(UNAUDITED)
================================================================================
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
------
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities 1
Statement of Operations 2
Statements of Changes in Net Assets 3
Financial Highlights 4
Notes to Financial Statements 5
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE CAP VALUE SERIES
Schedule of Investments 7
Statement of Assets and Liabilities 10
Statement of Operations 11
Statements of Changes in Net Assets 12
Financial Highlights 13
Notes to Financial Statements 14
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 17
</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.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company
(40,278,708 Shares, Cost $529,604)++ at Value+ $ 678,696
Receivable for Fund Shares Sold 634
Prepaid Expenses and Other Assets 24
--------------
Total Assets 679,354
--------------
LIABILITIES:
Payables:
Investment Securities Purchased 457
Fund Shares Redeemed 177
Due to Advisor 6
Accrued Expenses and Other Liabilities 19
--------------
Total Liabilities 659
--------------
NET ASSETS $ 678,695
==============
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000) 50,044,368
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 13.56
==============
NET ASSETS CONSIST OF:
Paid-in Capital $ 539,116
Accumulated Net Investment Income (Loss) 1,069
Accumulated Net Realized Gain (Loss) (10,582)
Unrealized Appreciation (Depreciation) from Investment Securities 149,092
--------------
Total Net Assets $ 678,695
==============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $540,235.
See accompanying Notes to Financial Statements.
1
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 2,558
--------------
EXPENSES
Administrative Services 32
Accounting & Transfer Agent Fees 8
Legal Fees 8
Audit Fees 4
Filing Fees 15
Shareholders' Reports 14
Directors' Fees and Expenses 6
Other 1
--------------
Total Expenses 88
--------------
NET INVESTMENT INCOME (LOSS) 2,470
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold 45
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 51,851
--------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 51,896
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 54,366
==============
</Table>
See accompanying Notes to Financial Statements.
2
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 2,470 $ 6,735
Net Realized Gain (Loss) on Investment Securities Sold 45 (4,854)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 51,851 85,786
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 54,366 87,667
------------ ------------
Distributions From:
Net Investment Income (7,079) (5,177)
Net Long-Term Gains (5) --
------------ ------------
Total Distributions (7,084) (5,177)
------------ ------------
Capital Share Transactions (1):
Shares Issued 107,064 150,434
Shares Issued in Lieu of Cash Distributions 7,084 5,177
Shares Redeemed (28,530) (71,051)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 85,618 84,560
------------ ------------
Total Increase (Decrease) 132,900 167,050
NET ASSETS
Beginning of Period 545,795 378,745
------------ ------------
End of Period $ 678,695 $ 545,795
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 7,978 14,105
Shares Issued in Lieu of Cash Distributions 546 510
Shares Redeemed (2,127) (6,875)
------------ ------------
6,397 7,740
============ ============
</Table>
See accompanying Notes to Financial Statements.
3
<Page>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 12.50 $ 10.55 $ 13.02 $ 16.21 $ 19.07 $ 19.68
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.05 0.16 0.13 0.27 0.40 0.36
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.17 1.94 (1.14) 1.13 -- 0.47
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations 1.22 2.10 (1.01) 1.40 0.40 0.83
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income (0.16) (0.15) (0.19) (0.42) (0.39) (0.32)
Net Realized Gains -- -- (1.27) (4.17) (2.87) (1.12)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.16) (0.15) (1.46) (4.59) (3.26) (1.44)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 13.56 $ 12.50 $ 10.55 $ 13.02 $ 16.21 $ 19.07
=========== =========== =========== =========== =========== ===========
Total Return 9.81%# 20.23% (8.66)% 10.94% 3.00% 4.65%
Net Assets, End of Period (thousands) $ 678,695 $ 545,795 $ 378,745 $ 282,658 $ 291,964 $ 418,647
Ratio of Expenses to Average Net
Assets (1) 0.18%* 0.18% 0.19% 0.20% 0.20% 0.19%
Ratio of Net Investment Income to Average
Net Assets 0.78%* 1.58% 1.40% 1.71% 2.06% 1.73%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series 2%# 7% 9% 6% 26% 43%
</Table>
- ----------
* Annualized
# Non-annualized
(1) 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.
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twenty-five portfolios, of
which U.S. Large Cap Value Portfolio III (the "Portfolio") is presented in this
report.
The Portfolio invests all of its assets in The U.S. Large Cap Value Series
(the "Series" or the "Master Fund"), a corresponding series of The DFA
Investment Trust Company. At May 31, 2004, the Portfolio owned 21% 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. 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 May 31, 2004, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities in the amount of
$8,862.
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 a Portfolio or to the Series are directly charged.
Common expenses of the Fund or Portfolios are allocated using methods approved
by the Board of Directors, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2004, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.01 of 1% of average daily net
assets.
5
<Page>
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
D. 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
Statement of Assets and Liabilities.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
Gross Unrealized Appreciation $ 149,092
Gross Unrealized Depreciation (10,631)
--------------
Net $ 138,461
==============
</Table>
E. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated at any time. There were no borrowings by the Portfolio under the
discretionary line of credit during the six months ended May 31, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings by the Portfolio under the line of credit during
the six months ended May 31, 2004.
6
<Page>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (85.3%)
* 3COM Corp. 606,100 $ 3,921,467
A. G. Edwards, Inc. 17,500 654,500
*# Advanced Micro Devices, Inc. 504,800 7,849,640
Aetna, Inc. 539,626 43,817,631
* Agere Systems, Inc. Class A 8,652 21,976
* Agere Systems, Inc. Class B 212,364 520,292
# Albertson's, Inc. 538,100 12,607,683
* Allegheny Corp. 17,934 4,779,411
Alliant Energy Corp. 212,900 5,318,242
* Allied Waste Industries, Inc. 255,800 3,391,908
* Allmerica Financial Corp. 98,000 3,150,700
Allstate Corp. 1,618,800 71,194,824
Ambac Financial Group, Inc. 23,200 1,604,280
Amerada Hess Corp. 196,432 13,866,135
American Financial Group, Inc. 177,400 5,359,254
American National Insurance Co. 46,700 4,380,927
*# American Tower Corp. 336,000 4,646,880
*# Americredit Corp. 374,000 6,619,800
Anadarko Petroleum Corp. 627,078 34,188,293
Apache Corp. 129,990 5,246,396
* Apple Computer, Inc. 197,300 5,536,238
* Applied Micro Circuits Corp. 213,200 1,149,148
Archer-Daniels Midland Co. 2,475,260 41,163,574
* Arrow Electronics, Inc. 308,200 8,392,286
Ashland, Inc. 297,600 14,031,840
Astoria Financial Corp. 40,500 1,549,935
AT&T Corp. 1,937,780 32,128,392
* AT&T Wireless Services, Inc. 5,388,737 76,304,516
*# AutoNation, Inc. 2,057,600 34,300,192
* Avnet, Inc. 199,900 4,677,660
AVX Corp. 125,400 1,986,336
Bank of America Corp. 82,170 6,830,792
Bank of Hawaii Corp. 327,500 14,229,875
* Barnes & Noble, Inc. 13,000 389,220
Bausch & Lomb, Inc. 11,800 720,036
Bear Stearns Companies, Inc. 373,770 30,297,796
Belo Corp. Class A 324,200 9,537,964
* Big Lots, Inc. 253,500 3,706,170
# Blockbuster, Inc. Class A 23,300 364,878
Boise Cascade Corp. 213,400 7,501,010
Borders Group, Inc. 34,000 776,220
Borg-Warner, Inc. 201,600 8,354,304
Bowater, Inc. 168,400 7,111,532
Burlington Northern Santa Fe Corp. 1,283,000 42,262,020
* Caesars Entertainment, Inc. 845,900 11,648,043
* Cavco Industries, Inc. 11,450 434,402
# Cendant Corp. 311,800 7,152,692
*# CheckFree Corp. 56,200 1,723,092
Chubb Corp. 258,900 17,442,093
*# CIENA Corp. 164,600 592,560
Cincinnati Financial Corp. 579,159 24,759,047
Circuit City Stores, Inc. 531,900 6,366,843
Clear Channel Communications, Inc. 1,428,466 56,710,100
*# CNA Financial Corp. 635,600 19,080,712
Coca-Cola Enterprises, Inc. 1,785,400 49,187,770
* Comcast Corp. Class A 2,432,666 $ 70,425,681
* Comcast Corp. Special Class A
Non-Voting 927,100 26,283,285
Commerce Group, Inc. 93,100 4,219,292
Commercial Federal Corp. 98,900 2,771,178
* Compuware Corp. 35,800 284,610
* Comverse Technology, Inc. 111,500 1,970,205
ConocoPhilips 220,400 16,161,932
*# Corning, Inc. 998,300 12,368,937
Countrywide Financial Corp. 819,999 52,889,935
*# Cox Communications, Inc. 1,421,400 44,646,174
*# Crown Castle International Corp. 468,900 6,906,897
# CSX Corp. 577,800 18,258,480
# Cummins, Inc. 143,100 8,334,144
Curtiss-Wright Corp-Cl B W/I 27,130 1,214,067
# Dana Corp. 510,700 9,524,555
*# Delta Air Lines, Inc. 402,500 2,455,250
# Diamond Offshore Drilling, Inc. 298,241 6,737,264
Dillards, Inc. Class A 48,900 978,489
Disney (Walt) Co. 906,600 21,277,902
# Eastman Chemical Co. 108,200 5,013,988
Electronic Data Systems Corp. 746,200 12,200,370
Federated Department Stores, Inc. 618,200 29,494,322
First American Financial Corp. 156,500 4,062,740
First Citizens Bancshares, Inc. 10,300 1,194,800
Florida East Coast Industries, Inc. 68,139 2,465,269
Foot Locker, Inc. 175,000 4,130,000
# Ford Motor Co. 4,185,900 62,160,615
# General Motors Corp. 1,395,700 63,350,823
Georgia-Pacific Corp. 684,200 24,508,044
*# Goodyear Tire & Rubber Co. 203,900 1,773,930
Harris Corp. 151,400 7,000,736
Hartford Financial Services Group,
Inc. 487,000 32,200,440
Hearst-Argyle Television, Inc. 238,600 6,239,390
Helmerich & Payne, Inc. 146,800 3,662,660
Hibernia Corp. 274,500 6,588,000
Hollinger International, Inc. Class A 257,600 4,533,760
Horton (D.R.), Inc. 818,872 23,665,401
* Human Genome Sciences, Inc. 23,900 259,793
* Humana, Inc. 618,900 10,564,623
Ikon Office Solutions, Inc. 123,700 1,363,174
Independence Community Bank Corp. 12,500 469,000
* Ingram Micro, Inc. 336,900 4,868,205
* Instinet Group, Inc. 15,200 100,168
*# InterActiveCorp 1,496,500 46,780,590
International Paper Co. 1,215,775 50,977,446
*# Invitrogen Corp. 50,100 3,479,445
* JDS Uniphase Corp. 1,095,700 3,780,165
JP Morgan Chase & Co. 2,244,400 82,683,696
# Kerr-McGee Corp. 207,658 10,227,156
KeyCorp 941,600 29,575,656
# Labranche & Co., Inc. 19,700 176,512
LaFarge North America, Inc. 257,500 11,345,450
Lear Corp. 110,900 6,568,607
*# Level 3 Communications, Inc. 195,500 762,450
</Table>
7
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Liberty Media Corp. 6,276,100 $ 68,911,578
Lincoln National Corp. 418,500 19,874,565
Loews Corp. 636,800 36,698,784
# Louisiana-Pacific Corp. 94,500 2,182,950
* LSI Logic Corp. 647,300 5,307,860
Lubrizol Corp. 182,000 6,026,020
*# Lucent Technologies, Inc. 1,193,800 4,261,866
Lyondell Chemical Co. 447,200 7,387,744
Manulife Financial Corp. 425,285 16,509,564
Marathon Oil Corp. 961,450 32,054,743
# May Department Stores Co. 63,100 1,808,446
MBIA, Inc. 327,250 18,126,378
# MeadWestavco Corp. 758,431 20,947,864
MetLife, Inc. 1,830,500 65,074,275
*# Metro-Goldwyn-Mayer, Inc. 261,100 3,104,479
MGIC Investment Corp. 116,900 8,533,700
* MGM Grand, Inc. 390,100 17,324,341
* Micron Technology, Inc. 767,000 11,528,010
*# Mony Group, Inc. 51,200 1,599,488
Nationwide Financial Services, Inc. 94,300 3,446,665
Norfolk Southern Corp. 1,537,600 37,256,048
Northrop Grumman Corp. 427,771 44,116,023
Nucor Corp. 15,000 987,750
Occidental Petroleum Corp. 650,800 28,765,360
# Odyssey Re Holdings Corp. 50,500 1,275,125
Old Republic International Corp. 501,412 11,412,137
* Owens-Illinois, Inc. 314,400 4,662,552
* Pacificare Health Systems, Inc. 50,000 1,846,500
* Pactiv Corp. 55,100 1,299,258
*# PanAmSat Corp. 350,100 8,132,823
# Peabody Energy Corp. 54,600 2,715,804
# Penney (J.C.) Co., Inc. 1,120,000 40,073,600
PepsiAmericas, Inc. 192,000 4,078,080
* Phelps Dodge Corp. 287,085 19,493,072
# PMI Group, Inc. 191,100 8,249,787
Pogo Producing Co. 69,200 3,147,216
*# Pride International, Inc. 303,400 4,769,448
Principal Financial Group, Inc. 746,100 26,076,195
Protective Life Corp. 141,500 5,232,670
* Providian Financial Corp. 483,100 6,570,160
Pulte Homes Inc. 248,400 13,103,100
# Questar Corp. 251,000 9,199,150
*# Qwest Communications
International, Inc. 2,000,600 7,502,250
Radian Group, Inc. 211,300 9,719,800
* Radio One, Inc. 22,900 395,712
Rayonier, Inc. 500 21,000
Raytheon Co. 1,311,300 43,600,725
Reinsurance Group of America, Inc. 114,100 4,535,475
* Rite Aid Corp. 969,800 4,868,396
# RJ Reynolds Tobacco Holdings, Inc. 251,326 14,124,521
Ryder System, Inc. 275,400 10,231,110
# Safeco Corp. 486,400 20,404,480
Saint Paul Companies, Inc. 695,326 27,590,536
Saks, Inc. 743,200 11,155,432
* Sanmina Corp. 639,900 6,770,142
SBC Communications, Inc. 430,200 10,195,740
# Sears, Roebuck & Co. 493,500 18,753,000
* Service Corp. International 237,100 1,707,120
* Smithfield Foods, Inc. 68,400 1,982,916
*# Smurfit-Stone Container Corp. 617,026 11,205,192
* Solectron Corp. 1,155,300 $ 6,354,150
# Sovereign Bancorp, Inc. 781,020 16,987,185
# Sprint Corp. 2,161,500 38,388,240
StanCorp Financial Group, Inc. 20,000 1,281,800
Starwood Hotels and Resorts
Worldwide, Inc. 573,500 24,190,230
Steelcase, Inc. Class A 47,400 559,320
* Sun Microsystems, Inc. 2,143,700 9,067,851
Sunoco, Inc. 298,800 18,385,164
Supervalu, Inc. 565,200 17,532,504
*# Tech Data Corp. 119,000 4,776,660
# Telephone & Data Systems, Inc. 89,300 6,398,345
* Tellabs, Inc. 716,800 5,691,392
Temple-Inland, Inc. 131,300 8,576,516
* Tenet Healthcare Corp. 1,047,300 12,483,816
# Textron, Inc. 123,000 6,721,950
* The DIRECTV Group, Inc. 680,337 11,980,735
# Thomas & Betts Corp. 46,900 1,147,174
Tidewater, Inc. 100,900 2,788,876
* Time Warner, Inc. 7,039,080 119,945,923
Torchmark Corp. 127,200 6,892,968
* Toys R Us, Inc. 819,300 12,879,396
* Triad Hospitals, Inc. 147,000 5,197,920
# Tyson Foods, Inc. Class A 912,556 18,725,649
Union Pacific Corp. 824,200 48,067,344
Unionbancal Corp. 86,600 4,987,294
* Unisys Corp. 113,200 1,534,992
* United States Cellular Corp. 122,800 4,372,908
# United States Steel Corp. 326,200 9,903,432
Unitrin, Inc. 223,800 8,974,380
# UnumProvident Corp. 913,089 13,294,576
# Valero Energy Corp. 306,800 20,282,548
Valhi, Inc. 158,500 1,759,350
* VeriSign, Inc. 166,300 3,016,682
Viacom, Inc. Class B 3,061,100 112,923,979
*# Vishay Intertechnology, Inc. 315,716 5,957,561
* Vitesse Semiconductor, Inc. 2,800 15,288
* WebMD Corp. 25,800 228,588
Weis Markets, Inc. 20,800 710,320
Wesco Financial Corp. 13,540 5,103,903
* Westport Resources Corp. 30,800 1,065,680
# Weyerhaeuser Co. 565,400 34,195,392
Worthington Industries, Inc. 133,200 2,549,448
*# Xerox Corp. 75,000 1,015,500
---------------
TOTAL COMMON STOCKS
(Cost $2,572,821,731) 3,122,322,882
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (14.7%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $67,332,000
FNMA Discount Notes, 12/10/04,
valued at $66,827,010) to be
repurchased at $65,845,511
(Cost $65,839,000) $ 65,839 65,839,000
</Table>
8
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
Repurchase Agreement,
Merrill Lynch Triparty Repo 0.96%, 06/01/04
(Collateralized by $471,136,000 U.S. Treasury
Obligations rates ranging from 1.625% to 6.00%,
maturities ranging from 08/15/04 to 02/15/12,
valued at $483,699,189) to be repurchased at
$474,263,981 (Cost $474,213,398)@ $ 474,213 $ 474,213,398
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $540,052,398) 540,052,398
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,112,874,129)++ $ 3,662,375,280
===============
</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 $3,112,874,157.
See accompanying Notes to Financial Statements.
9
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $459,183 of securities on loan) $ 3,662,375
Cash 1
Receivables:
Investment Securities Sold 605
Dividends and Interest 5,373
Fund Shares Sold 3,543
Securities Lending Income 20
Prepaid Expenses and Other Assets 13
--------------
Total Assets 3,671,930
--------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 474,214
Investment Securities Purchased 21,826
Fund Shares Redeemed 96
Due to Advisor 257
Accrued Expenses and Other Liabilities 201
--------------
Total Liabilities 496,594
--------------
NET ASSETS $ 3,175,336
==============
SHARES OUTSTANDING, $.01 PAR VALUE
(Unlimited Number of Shares Authorized) 188,406,260
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 16.85
==============
Investments at Cost $ 3,112,874
==============
NET ASSETS CONSIST OF:
Paid-in Capital $ 2,672,681
Accumulated Net Investment Income (Loss) 11,217
Accumulated Net Realized Gain (Loss) (58,064)
Unrealized Appreciation (Depreciation) from Investment Securities 549,502
--------------
Total Net Assets $ 3,175,336
==============
</Table>
See accompanying Notes to Financial Statements.
10
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends $ 23,072
Interest 173
Income from Securities Lending 174
--------------
Total Investment Income 23,419
--------------
EXPENSES
Investment Advisory Services 1,467
Accounting & Transfer Agent Fees 444
Custodian Fees 139
Legal Fees 10
Audit Fees 19
Shareholders' Reports 25
Trustees' Fees and Expenses 15
Other 33
--------------
Total Expenses 2,152
--------------
NET INVESTMENT INCOME (LOSS) 21,267
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold 22,742
Change in Unrealized Appreciation (Depreciation) of Investment Securities 206,595
--------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 229,337
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 250,604
==============
</Table>
See accompanying Notes to Financial Statements.
11
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 21,267 $ 31,384
Net Realized Gain (Loss) on Investment Securities Sold 22,742 (48,309)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 206,595 415,785
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 250,604 398,860
------------ ------------
Distributions From:
Net Investment Income (11,755) (31,464)
------------ ------------
Total Distributions (11,755) (31,464)
------------ ------------
Capital Share Transactions (1):
Shares Issued 437,618 495,839
Shares Issued in Lieu of Cash Distributions 11,311 31,027
Shares Redeemed (23,104) (121,409)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 425,825 405,457
------------ ------------
Total Increase (Decrease) 664,674 772,853
NET ASSETS
Beginning of Period 2,510,662 1,737,809
------------ ------------
End of Period $ 3,175,336 $ 2,510,662
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 26,167 36,572
Shares Issued in Lieu of Cash Distributions 682 2,270
Shares Redeemed (1,402) (9,461)
------------ ------------
25,447 29,381
============ ============
</Table>
See accompanying Notes to Financial Statements.
12
<Page>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value,
Beginning of Period $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79 $ 18.79
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM
INVESTMENT OPERATIONS
Net Investment
Income (Loss) 0.12 0.21 0.20 0.25 0.33 0.34
Net Gains (Losses) on
Securities (Realized
and Unrealized) 1.39 2.41 (1.43) 1.25 0.04 0.46
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations 1.51 2.62 (1.23) 1.50 0.37 0.80
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.22) (0.20) (0.27) (0.32) (0.34)
Net Realized Gains -- -- -- (1.50) (3.13) (1.46)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.07) (0.22) (0.20) (1.77) (3.45) (1.80)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value,
End of Period $ 16.85 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79
=========== =========== =========== =========== =========== ===========
Total Return 9.80%# 20.34% (8.64)% 10.97% 3.06% 4.64%
Net Assets, End of
Period (thousands) $ 3,175,336 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343 $ 1,788,082
Ratio of Expenses to
Average Net Assets 0.15%* 0.15% 0.15% 0.15% 0.16% 0.16%
Ratio of Net Investment Income
to Average Net Assets 1.45%* 1.62% 1.49% 1.66% 2.20% 1.80%
Portfolio Turnover Rate 2%# 7% 9% 6% 26% 43%
</Table>
- ----------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
13
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The U.S. Large Cap Value Series
(the "Series" or "Portfolio") is 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. 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. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities at the mean between the quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At May 31, 2004, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities in the amount of
$40,843.
3. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 28, 2004.
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.
14
<Page>
Discount and premium on securities purchased are amortized over the lives of the
respective securities, utilizing the effective interest method. Expenses
directly attributable to a Series are directly charged. Common expenses of the
Trust or Series are allocated using methods approved by the Board of Trustees,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2004, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.10 of 1% of average daily net
assets.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 467,788
Sales 54,183
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2004.
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series intends
to continue to qualify as a regulated investment company under Subchapter M of
the Internal Revenue Code and distribute substantially all of its taxable income
and capital gains to shareholders. Because income tax regulations differ from
accounting principles generally accepted in the United States of America, the
timing and character of income and capital gain distributions determined in
accordance with tax regulations can differ from income and capital gains
recognized for financial reporting purposes. Accordingly, the character of
distributions and the composition of net assets for tax purposes can differ from
those reflected in the financial statements. These book/tax differences may be
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid in capital, accumulated net realized gain
(loss) or undistributed net investment income as appropriate, in the period the
differences arise. These reclassifications have no effect on net assets or net
asset value per share.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Statement of Assets and Liabilities.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
Gross Unrealized Appreciation $ 697,096
Gross Unrealized Depreciation (147,595)
--------------
Net $ 549,501
==============
</Table>
For federal income tax purposes, the Trust measures its capital loss
carryforwards annually at November 30, its fiscal year end. As of November 30,
2003, the Series had a capital loss carryforward for federal income tax purposes
of approximately $80,662,000 of which $11,185,000, $21,142,000 and $48,335,000
will expire on November 30, 2009, 2010 and November 30, 2011, respectively.
F. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each 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.
15
<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 line of credit may
be terminated at any time. There were no borrowings under the line of credit
during the six months ended May 31, 2004.
There were no outstanding borrowings by the Series under the line of credit
for the six months ended May 31, 2004.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings by the Series under the line of credit during the
six months ended May 31, 2004.
G. SECURITIES LENDING:
As of May 31, 2004, the Series had securities on loan to brokers/dealers,
for which the Series held cash collateral. Each portfolio invests the cash
collateral, as described below, and records a liability for the return of the
collateral, during the period the securities are on loan. Loans of securities
are required at all times to be secured by collateral at least equal to 100% of
the market value of the securities on loan. However, in the event of default or
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the portfolio
or, at the option of the lending agent, to replace the securities.
Cash collateral of each Series received from securities on loan is invested
along with cash collateral from the other Portfolios of the Series in repurchase
agreements collateralized by U.S. government securities. These investments are
accounted for separately for each Portfolio. Securities pledged as collateral
for the repurchase agreements are held by a custodian bank until the agreements
mature.
16
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the non-Feeder Portfolios
and Master Funds use in voting proxies relating to securities held in their
portfolios is available without charge, upon request, by calling collect: (310)
395-8005. Information regarding how the Advisor votes these proxies will become
available from the EDGARdatabase on the SEC's website at http://www.sec.gov no
later than August 31, 2004 when the Funds file their first report on Form N-PX
and will reflect the twelve-month period beginning July 1, 2003 and ending June
30, 2004.
17
<Page>
================================================================================
Dimensional Investment Group Inc.
U.S. Small Cap Value Portfolio II
SEMI-ANNUAL REPORT
Six Months Ended May 31, 2004
(Unaudited)
================================================================================
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities 1
Statement of Operations 2
Statements of Changes in Net Assets 3
Financial Highlights 4
Notes to Financial Statements 5
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. SMALL CAP VALUE SERIES
Schedule of Investments 8
Statement of Assets and Liabilities 22
Statement of Operations 23
Statements of Changes in Net Assets 24
Financial Highlights 25
Notes to Financial Statements 26
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 29
</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.
U.S. SMALL CAP VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The U.S. Small Cap Value Series of The DFA Investment Trust Company
(19,241,837 Shares, Cost $318,354++) at Value+ $ 395,035
Receivable for Fund Shares Sold 254
Prepaid Expenses and Other Assets 18
------------
Total Assets 395,307
------------
LIABILITIES:
Payables:
Investment Securities Purchased 254
Due to Advisor 3
Accrued Expenses and Other Liabilities 28
------------
Total Liabilities 285
------------
NET ASSETS $ 395,022
============
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000) 17,268,785
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 22.87
============
NET ASSETS CONSIST OF:
Paid-in Capital $ 316,361
Accumulated Net Investment Income (Loss) (52)
Accumulated Net Realized Gain (Loss) 2,032
Unrealized Appreciation (Depreciation) from Investment Securities 76,681
------------
Total Net Assets $ 395,022
============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $337,428.
See accompanying Notes to Financial Statements.
1
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 361
------------
EXPENSES
Administrative Services 19
Accounting & Transfer Agent Fees 3
Legal Fees 6
Audit Fees 2
Filing Fees 9
Shareholders' Reports 14
Directors' Fees and Expenses 2
Other 2
------------
Total Expenses 57
------------
NET INVESTMENT INCOME (LOSS) 304
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Capital Gain Distributions Received from The DFA Investment Trust Company 24,964
Net Realized Gain (Loss) on Investment Securities Sold (1,492)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 6,656
------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 30,128
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 30,432
============
</Table>
See accompanying Notes to Financial Statements.
2
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 304 $ 1,625
Capital Gain Distributions Received from The DFA Investment Trust Company 24,964 13,082
Net Realized Gain (Loss) on Investment Securities Sold (1,492) (7,232)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 6,656 73,938
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 30,432 81,413
------------ ------------
Distributions From:
Net Investment Income (1,769) (1,124)
Net Short-Term Gains (3,903) --
Net Long-Term Gains (10,169) (5,607)
------------ ------------
Total Distributions (15,841) (6,731)
------------ ------------
Capital Share Transactions (1):
Shares Issued 93,735 81,330
Shares Issued in Lieu of Cash Distributions 15,841 6,731
Shares Redeemed (35,551) (30,925)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 74,025 57,136
------------ ------------
Total Increase (Decrease) 88,616 131,818
NET ASSETS
Beginning of Period 306,406 174,588
------------ ------------
End of Period $ 395,022 $ 306,406
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 4,074 4,363
Shares Issued in Lieu of Cash Distributions 734 458
Shares Redeemed (1,576) (2,023)
------------ ------------
3,232 2,798
============ ============
</Table>
See accompanying Notes to Financial Statements.
3
<Page>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
------------ ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 21.83 $ 15.53 $ 17.52 $ 15.65 $ 16.26 $ 16.73
------------ ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.29 0.12 0.10 0.12 0.13 0.10
Net Gains (Losses) on Securities (Realized
and Unrealized) 1.84 6.78 0.13 3.28 0.91 1.29
------------ ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 2.13 6.90 0.23 3.40 1.04 1.39
------------ ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.10) (0.12) (0.13) (0.11) (0.09)
Net Realized Gains (0.97) (0.50) (2.10) (1.40) (1.54) (1.77)
------------ ---------- ---------- ---------- ---------- ----------
Total Distributions (1.09) (0.60) (2.22) (1.53) (1.65) (1.86)
------------ ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period $ 22.87 $ 21.83 $ 15.53 $ 17.52 $ 15.65 $ 16.26
============ ========== ========== ========== ========== ==========
Total Return 10.07%# 46.30% 0.93% 23.65% 7.07% 9.60%
Net Assets, End of Period (thousands) $ 395,022 $ 306,406 $ 174,588 $ 123,888 $ 76,993 $ 70,150
Ratio of Expenses to Average Net Assets 0.28%* 0.30% 0.33% 0.42% 0.42% 0.44%
Ratio of Net Investment Income to Average Net
Assets 0.16%* 0.82% 0.61% 0.79% 0.76% 0.59%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 13%# 35% 30% 13% 32% 29%
</Table>
- ----------
* Annualized
# Non-annualized
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twenty-five portfolios, of
which U.S. Small Cap Value Portfolio II (the "Portfolio") is presented in this
report.
The Portfolio invests all of its assets in The U.S. Small Cap Value Series
(the "Series" or the "Master Fund"), a corresponding series of The DFA
Investment Trust Company. At May 31, 2004, the Portfolio owned 8% of the
outstanding shares of the Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Portfolio.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America may
require management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates and those differences could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses. At May 31, 2004, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities in the amount of
$5,329.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio or to the Series are directly charged.
Common expenses of the Fund or Portfolios are allocated using methods approved
by the Board of Directors, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For
5
<Page>
the six months ended May 31, 2004, the Portfolio's administrative fees were
accrued daily and paid monthly to the Advisor at an effective annual rate of
0.01 of 1% of average daily net assets.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
The Advisor has agreed to waive its administration fee and to assume the
Portfolio's direct and indirect expenses (including the expenses the Portfolio
bears as a shareholder of the Master Fund) to the extent necessary to limit the
expenses of the Portfolio to 0.75% of its average net assets on an annualized
basis. At any time that the total direct and indirect expenses of the Portfolio
are less than 0.75% of its average net assets on an annualized basis, the
Advisor retains the right to seek reimbursement for any fees previously waived
and/or expenses assumed to the extent that such reimbursement will not cause the
Portfolio's annualized expenses to exceed 0.75% of its average net assets. The
Portfolio is not obligated to reimburse the Advisor for fees waived or expenses
assumed by the Advisor more than thirty-six months prior to the date of such
reimbursement. The expense waiver shall remain in effect for a period of one
year from April 1, 2004 to April 1, 2005 and shall continue in effect from year
to year thereafter unless terminated by the Fund or the Advisor. At May 31,
2004, there are no previously waived fees subject to future reimbursement to the
Advisor.
In addition, until May 1, 2002, pursuant to an agreement with a Shareholder
Service Agent, the Portfolio paid to such agent a fee at the effective annual
rate of 0.10% of its average daily net assets for services provided to
shareholders. Effective May 1, 2002, this fee is no longer charged to the
Portfolio.
D. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Fund intends to
continue to qualify as a regulated investment company under Subchapter M of the
Internal Revenue Code and distribute substantially all of its taxable income and
capital gains to shareholders. Because income tax regulations differ from
accounting principles generally accepted in the United States of America, the
timing and character of income and capital gain distributions determined in
accordance with tax regulations can differ from income and capital gains
recognized for financial reporting purposes. Accordingly, the character of
distributions and the composition of net assets for tax purposes can differ from
those reflected in the financial statements. These book/tax differences may be
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid in capital, accumulated net realized gain
(loss) or undistributed net investment income as appropriate, in the period the
differences arise. These reclassifications have no effect on net assets or net
asset value per share.
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Statement of Assets and Liabilities.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
Gross Unrealized Appreciation $ 76,681
Gross Unrealized Depreciation (19,074)
---------
Net $ 57,607
=========
</Table>
6
<Page>
E. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated at any time. There were no borrowings by the Portfolio under the
discretionary line of credit during the six months ended May 31, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings by the Portfolio under the line of credit during
the six months ended May 31, 2004.
7
<Page>
THE U.S. SMALL CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (92.7%)
1st Source Corp. 273,476 $ 6,207,905
* 24/7 Real Media, Inc. 12,000 69,720
* AAR Corp. 935,130 8,958,545
ABC Bancorp 18,280 359,568
* Ablest, Inc. 16,800 89,040
Abrams Industries, Inc. 10,000 42,000
* ABX Air, Inc. 851,100 3,829,950
* Accelrys, Inc. 328,042 3,277,140
* Aclara Biosciences, Inc. 461,715 1,754,517
* Acme Communications, Inc. 385,989 2,987,555
* Acme United Corp. 8,700 60,900
* ACT Teleconferencing, Inc. 168,546 433,332
* Active Power, Inc. 948,715 3,320,502
Adams Resources & Energy, Inc. 6,700 93,130
* Adaptec, Inc. 881,628 7,220,533
* Adept Technology, Inc. 94,800 90,060
* Advanced Digital Information Corp. 44,500 398,275
* Advanced Magnetics, Inc. 12,800 125,568
* Advanced Power Technology, Inc. 207,718 2,743,955
Advanta Corp. Class A 289,953 4,685,640
Advanta Corp. Class B Non-Voting 497,013 7,882,626
* Advent Software, Inc. 600 11,352
* Aehr Test Systems 89,200 356,800
* AEP Industries, Inc. 197,350 2,101,580
* Aether Systems, Inc. 1,251,167 4,266,479
* Aetrium, Inc. 97,748 897,327
* Agile Software Corp. 139,653 1,117,224
Agilysys, Inc. 908,878 11,188,288
* Air Methods Corp. 121,928 968,108
* Airnet Systems, Inc. 245,500 1,050,740
* Airspan Networks, Inc. 109,100 605,505
* AK Steel Holding Corp. 2,514,916 11,518,315
* Akamai Technologies, Inc. 766,600 11,391,676
Alamo Group, Inc. 158,700 2,483,655
* Alaska Air Group, Inc. 776,800 16,002,080
* Alaska Communications Systems Group, Inc. 251,100 1,619,595
* Alderwoods Group, Inc. 75,400 973,414
# Aldila, Inc. 78,966 1,201,073
Alexander & Baldwin, Inc. 815,021 25,974,719
Alico, Inc. 46,500 1,641,450
* All American Semiconductor, Inc. 29,260 266,559
Allegheny Technologies, Inc. 180,700 2,170,207
Allen Organ Co. Class B 5,000 250,000
* Alliance Semiconductor Corp. 1,010,481 6,032,572
* Allied Defense Group, Inc. 148,100 2,597,674
* Allied Healthcare International, Inc. 228,600 1,149,858
* Allied Healthcare Products, Inc. 124,200 674,406
* Allied Holdings, Inc. 111,535 568,828
* Allied Motion Technologies, Inc. 45,300 234,201
* Allmerica Financial Corp. 408,700 13,139,705
* Allou Health Care, Inc. Class A 97,500 10
* Alloy, Inc. 869,729 4,357,342
* Allscripts Healthcare Solutions, Inc. 353,200 2,910,015
* Almost Family, Inc. 13,700 $ 108,298
* Alpha Technologies Group, Inc. 82,112 114,957
Alpharma, Inc. Class A 1,139,500 22,311,410
*# Alterra Healthcare Corp. 248,800 25
Ambassadors, Inc. 159,500 2,046,385
* AMC Entertainment, Inc. 494,800 7,471,480
* Amcast Industrial Corp. 149,800 606,690
* Amerco, Inc. 219,400 5,487,194
*# America West Holdings Corp. Class B 447,600 4,484,952
* American Banknote Corp. 745 212
American Biltrite, Inc. 45,600 444,600
* American Building Control, Inc. 187,600 350,812
*# American Business Financial Services, Inc. 43,184 141,646
* American Dental Partners, Inc. 69,500 1,184,975
* American Ecology Corp. 44,500 389,375
*# American Greetings Corp. Class A 1,296,400 27,224,400
* American Indemnity Financial Escrow 14,200 14,200
* American Independence Corp. 4,800 74,784
* American Medical Electronics, Inc.
(Escrow-Bonus) 20,800 0
* American Medical Electronics, Inc.
(Escrow-Earnings) 20,800 0
* American Medical Security Group, Inc. 382,300 9,874,809
American Pacific Corp. 104,300 761,390
* American Physicians Capital, Inc. 246,070 5,671,913
* American Physicians Services Group, Inc. 36,300 355,740
* American Retirement Corp. 279,800 1,259,100
American Shared Hospital Services 30,900 175,512
American Software, Inc. Class A 280,250 1,790,797
* American Superconductor Corp. 106,900 1,342,664
* American Technical Ceramics Corp. 83,100 735,435
Americana Bancorp, Inc. 26,030 422,987
* AmeriServe Financial, Inc. 359,138 2,065,043
Ameron International Corp. 196,721 6,119,990
# AmerUs Group Co. 486,485 19,143,185
* Ames Department Stores, Inc. 9,919 17
* Amistar Corp. 42,300 95,386
Ampco-Pittsburgh Corp. 200,200 2,596,594
Amrep Corp. 96,692 1,661,169
* Amtech Systems, Inc. 6,000 30,480
* Anadigics, Inc. 760,677 3,750,138
Analogic Corp. 46,675 2,153,118
* Analysts International Corp. 461,464 1,379,777
*# Analytical Surveys, Inc. 830 2,075
* Anaren, Inc. 366,740 5,838,501
Andersons, Inc. 96,900 1,672,494
*# Andrew Corp. 47,530 933,964
*# Angeion Corp. 315 466
Angelica Corp. 206,900 4,613,870
* Angelo & Maxie's, Inc. 25,350 27,124
* AnswerThink, Inc. 141,500 907,156
* APA Optics, Inc. 157,400 393,500
</Table>
8
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Apogee Enterprises, Inc. 185,300 $ 1,845,588
* Applica, Inc. 689,400 6,769,908
* Applied Extrusion Technologies, Inc. 333,100 349,755
Applied Industrial Technologies, Inc. 560,000 14,980,000
* Applied Innovation, Inc. 51,000 204,000
* Applied Micro Circuits Corp. 35,300 190,267
* Apropos Technology, Inc. 273,086 1,108,729
* Aradigm Corp. 4,100 4,469
* Arch Capital Group, Ltd. 34,800 1,342,584
Arch Chemicals, Inc. 492,487 13,065,680
* Arena Pharmaceuticals, Inc. 742,844 4,353,066
* Argonaut Group, Inc. 651,533 11,323,644
* Argonaut Technologies, Inc. 8,200 13,366
* Ariba, Inc. 865,100 1,885,918
* Arlington Hospitality, Inc. 70,000 238,000
*# Armstrong Holdings, Inc. 387,200 340,736
* Arqule, Inc. 637,399 3,696,914
*# Arris Group, Inc. 1,679,841 10,616,595
* Art Technology Group, Inc. 52,300 71,651
* Artesyn Technologies, Inc. 323,397 2,955,849
ASB Financial Corp. 14,300 328,900
* Ascential Software Corp. 347,588 5,578,787
* Ashworth, Inc. 387,365 3,095,046
* Aspen Technology, Inc. 353,700 2,231,847
*# Astea International, Inc. 13,200 137,412
* Astec Industries, Inc. 375,110 6,493,154
Astro-Med, Inc. 10,312 109,307
* Astronics Corp. 19,687 99,616
* Astronics Corp. Class B 7,756 37,229
*# AstroPower, Inc. 28,600 1,144
*# ATA Holdings Corp. 184,300 1,170,305
* Atari, Inc. 11,280 31,358
* Atlantic American Corp. 42,900 127,413
* Atlantis Plastics, Inc. 65,500 1,011,975
* Atlas Air Worldwide Holdings, Inc. 144,400 7,509
* ATP Oil & Gas Corp. 102,300 605,616
Atrion Corp. 36,150 1,563,126
* ATS Medical, Inc. 13,800 64,860
* Atwood Oceanics, Inc. 267,411 10,648,306
* Audiovox Corp. Class A 598,891 8,336,563
* Ault, Inc. 93,400 278,332
* Aurora Foods, Inc. 573 5
* Avalon Holding Corp. Class A 25,112 66,672
*# Avanex Corp. 405,100 1,255,810
*# Avatar Holdings, Inc. 75,500 3,158,920
* Aviall, Inc. 500 8,680
* Avici Systems Inc. 232,427 2,454,429
* Avigen, Inc. 582,839 2,063,250
* Avteam, Inc. Class A 80,300 120
* Aware, Inc. 520,392 1,691,274
* Axsys Technologies, Inc. 60,700 1,174,545
* AXT, Inc. 462,278 980,029
* Aztar Corp. 693,000 16,708,230
* AZZ, Inc. 81,100 1,208,390
* Badger Paper Mills, Inc. 10,400 53,404
Bairnco Corp. 114,700 929,070
* Baker (Michael) Corp. 79,400 1,139,390
Baldwin & Lyons, Inc. Class B 82,425 1,990,564
* Baldwin Technology, Inc. Class A 219,700 812,890
* Ballantyne Omaha, Inc. 32,200 94,024
* Bally Total Fitness Holding Corp. 983,700 $ 4,525,020
* Bancinsurance Corp. 76,470 627,819
Bandag, Inc. Class A 112,600 4,466,842
* BankUnited Financial Corp. Class A 130,251 3,398,249
Banner Corp. 316,858 9,252,254
* Barrett Business Services, Inc. 82,500 1,117,050
* Barry (R.G.) Corp. 154,464 329,008
Bassett Furniture Industries, Inc. 339,238 6,455,360
* Bay View Capital Corp. 1,515,142 3,090,890
* BE Aerospace, Inc. 10,325 65,873
# Beazer Homes USA, Inc. 66,700 6,721,359
Belden, Inc. 699,755 11,825,859
* Bell Industries, Inc. 161,863 477,496
* Bell Microproducts, Inc. 727,482 4,634,060
* Bethlehem Steel Corp. 1,057,000 3,382
*# Beverly Enterprises 1,942,700 16,474,096
* BF Enterprises, Inc. 2,300 19,262
* Big 4 Ranch, Inc. 73,300 0
* Bioanalytical Systems, Inc. 17,100 68,827
* Biosource International, Inc. 118,800 856,667
Black Hills Corp. 3 88
Blair Corp. 228,890 5,882,473
* Blonder Tongue Laboratories, Inc. 22,600 71,190
* Bluegreen Corp. 712,398 8,534,528
* BMC Industries, Inc. 241,800 15,112
* BNS Co. Class A 46,855 288,158
Bob Evans Farms, Inc. 11,976 307,663
* Boca Resorts, Inc. 956,564 17,199,021
* Bogen Communications International, Inc. 44,700 224,617
* Bolt Technology Corp. 13,700 63,020
* Bombay Co., Inc. 799,240 4,651,577
Bon-Ton Stores, Inc. 306,202 3,916,324
* Bookham Technologies P.L.C. 1,522,442 1,598,564
* Books-a-Million, Inc. 313,700 1,882,200
* Boston Biomedical, Inc. 56,400 178,224
Bostonfed Bancorp, Inc. 51,260 1,722,336
Bowl America, Inc. Class A 54,022 767,112
Bowne & Co., Inc. 917,613 14,608,399
* Boyds Collection, Ltd. 462,300 1,322,178
* Braun Consulting, Inc. 198,200 332,976
* Brigham Exploration Co. 33,400 284,601
* BrightStar Information Technology Group, Inc. 83,400 3,002
* Brillian Corp. 122,950 1,039,050
* Bruker BioSciences Corp. 700 3,332
* Brush Engineered Materials, Inc. 449,309 7,826,963
* BSQUARE Corp. 139,200 134,885
* BTU International, Inc. 91,300 482,064
* Buca, Inc. 493,725 2,601,931
* Buckeye Technology, Inc. 960,698 9,693,443
Building Materials Holding Corp. 387,218 6,664,022
* Bull Run Corp. 8,560 4,665
Burlington Coat Factory Warehouse Corp. 1,059,001 20,163,379
* Bush Industries, Inc. Class A 106,000 71,020
* Butler International, Inc. 81,200 201,376
* Cable Design Techologies Corp. 1,191,887 9,940,338
Cadmus Communications Corp. 50,200 691,756
Calgon Carbon Corp. 999,800 6,178,764
</Table>
9
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* California Coastal Communities, Inc. 71,400 $ 1,145,970
California First National Bancorp 77,600 1,021,216
* Caliper Life Sciences, Inc. 803,230 4,265,151
* Callon Petroleum Corp. 405,300 5,317,536
Camco Financial Corp. 19,083 273,459
* Cannon Express, Inc. Class A 900 162
* Cannondale Corp. 115,400 16,156
* Canterbury Consulting Group, Inc. 842 695
* Capital Pacific Holdings, Inc. 201,300 810,232
* Capital Senior Living Corp. 529,199 2,725,375
* Caprius, Inc. 1,439 288
* Capstone Turbine Corp. 62,150 173,398
* Captaris, Inc. 610,587 3,694,051
* Caraustar Industries, Inc. 800,964 10,716,898
* Cardiotech International, Inc. 41,791 156,716
* CareCentric, Inc. 29,400 23,520
* Career Blazers, Inc. Trust Units 9,540 0
Carpenter Technology Corp. 650,962 19,802,264
* Carriage Services, Inc. Class A 416,100 2,142,915
* Carrington Laboratories, Inc. 121,900 522,951
*# Carrizo Oil & Gas, Inc. 21,800 184,428
Cascade Corp. 122,750 3,001,237
Casey's General Stores, Inc. 249,559 4,075,298
* Castle (A.M.) & Co. 217,730 1,848,528
Castle Energy Corp. 142,700 1,550,435
* Casual Male Retail Group, Inc. 373,265 2,538,202
* Catalina Lighting, Inc. 22,040 236,242
* Catalytica Energy Systems, Inc. 176,300 590,605
* Cavalier Homes, Inc. 369,181 2,082,181
* Celadon Group, Inc. 179,590 2,589,688
* Celebrity, Inc. Escrow Shares 26,325 0
Celeritek, Inc. 361,252 1,271,607
* CellStar Corp. 482,122 2,916,838
* Central Garden & Pet Co. 483,110 17,957,199
Central Parking Corp. 749,411 13,856,609
* Century Aluminum Co. 357,236 8,277,158
* Century Business Services, Inc. 1,381,481 5,691,702
* Cenveo, Inc. 599,100 1,851,219
* Ceres Group, Inc. 299,593 1,863,468
CFS Bancorp, Inc. 300,879 4,076,910
* Champion Enterprises, Inc. 517,400 4,837,690
Champion Industries, Inc. 104,200 477,236
* Championship Auto Racing Teams, Inc. 70,000 8,190
* Champps Entertainment, Inc. 200,174 1,795,361
* Channell Commercial Corp. 17,600 79,200
*# Charming Shoppes, Inc. 3,091,347 26,461,930
* Chart Industries 3 90
*# Charter Communications, Inc. 116,600 448,910
Chesapeake Corp. 465,906 10,119,478
Chicago Rivet & Machine Co. 10,800 314,766
* Childtime Learning Centers, Inc. 43,500 116,145
* Chromcraft Revington, Inc. 5,900 83,485
* Chronimed, Inc. 339,202 2,510,095
*# Chyron Corp. 10,800 6,480
* Ciber, Inc. 351,700 3,130,130
* Cincinnati Bell, Inc. 123,800 510,056
* Ciprico, Inc. 70,900 330,039
CIRCOR International, Inc. 315,900 6,204,276
* Cirrus Logic, Inc. 342,979 2,548,334
*# Citizens, Inc. Class A 100,810 $ 687,524
* CKE Restaurants, Inc. 506,000 5,120,720
* Clark, Inc. 382,728 6,690,085
* Clarus Corp. 444,000 5,265,840
*# CMS Energy Corp. 743,769 6,411,289
* CNA Surety Corp. 327,495 3,405,948
* CNET Networks, Inc. 214,643 2,073,451
Coachmen Industries, Inc. 446,800 7,220,288
* Coast Dental Services, Inc. 48,533 150,452
Coast Distribution System 97,600 623,664
* Coastcast Corp. 101,900 219,085
* Cobra Electronics Corp. 84,100 754,377
*# Coeur d'Alene Mines Corp. 213,200 999,908
* Cogent Communications Group, Inc. 6,954 2,782
* Cognitronics Corp. 7,700 27,258
* Coherent, Inc. 827,292 22,411,340
* Collins & Aikman Corp. 1,189,794 6,317,806
Collins Industries, Inc. 30,500 174,155
* Columbus McKinnon Corp. 262,859 1,392,890
* Comarco, Inc. 110,200 784,624
* Comdial Corp. 10,007 26,018
* Comforce Corp. 58,000 114,840
* Comfort Systems USA, Inc. 984,800 6,942,840
Commerce Group, Inc. 5,700 258,324
*# Commerce One, Inc. 96,400 98,328
Commercial Federal Corp. 427,398 11,975,692
Commercial Metals Co. 841,866 25,340,167
* Commonwealth Industries, Inc. 444,162 3,975,250
Communications Systems, Inc. 17,300 136,670
Community Bank System, Inc. 51,300 1,129,626
Community Trust Bancorp, Inc. 53,821 1,677,601
Community West Bancshares 11,000 93,225
* Compex Technologies, Inc. 53,976 322,776
* Compucom Systems, Inc. 1,366,845 6,137,134
* CompuCredit Corp. 748,235 13,124,042
* Computer Access Technology Corp. 289,800 1,347,570
* Computer Horizons Corp. 545,091 1,945,975
* Computer Network Technology Corp. 594,839 3,592,828
* Computer Task Group, Inc. 153,800 669,030
* CompX International, Inc. 37,300 606,125
* Concord Camera Corp. 709,293 2,191,715
* Conexant Systems, Inc. 400,071 1,888,335
* Congoleum Corp. Class A 97,400 219,150
* Conmed Corp. 374,488 9,530,720
*# Consolidated Freightways Corp. 24,700 64
* Consolidated Graphics, Inc. 351,494 14,112,484
* Consumer Portfolio Services, Inc. 14,400 64,656
*# Continental Airlines, Inc. 1,919,600 20,520,524
* Continental Materials Corp. 4,600 134,734
*# Convera Corp. 37,600 106,784
*# Cooker Restaurant Corp. 109,768 659
Cooper Tire & Rubber Co. 840,900 17,734,581
# Cooperative Bankshares, Inc. 19,000 437,000
*# Corautus Genetics, Inc. 642 3,691
* Core Molding Technologies, Inc. 500 1,750
* Corixa Corp. 126,900 643,383
Corn Products International, Inc. 655,300 28,426,914
* Cornell Companies, Inc. 384,148 5,128,376
* Correctional Services Corp. 247,312 766,667
* Corrpro Companies, Inc. 88,475 146,868
</Table>
10
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<Table>
<Caption>
SHARES VALUE+
------ ------
* Cosine Communications, Inc. 231,960 $ 923,201
* Cost-U-Less, Inc. 35,000 201,950
Cotton States Life Insurance Co. 8,300 164,962
* Covansys Corp. 71,200 774,656
* Covanta Energy Corp. 5,896 10
* Covenant Transport, Inc. Class A 364,025 5,704,272
CPAC, Inc. 82,200 475,938
*# Credence Systems Corp. 958,980 13,435,310
* Credit Acceptance Corp. 705,727 10,621,191
* Criticare Systems, Inc. 91,000 282,100
Crompton Corp. 117,900 703,863
* Cross (A.T.) Co. Class A 234,300 1,321,452
* Cross Country Healthcare, Inc. 271,676 4,512,538
* Crossroads Systems, Inc. 22,000 40,084
* Crown Andersen, Inc. 22,900 40,075
* Crown Financial Group, Inc. 59,900 71,880
* Crown Media Holdings, Inc. 219,454 1,986,059
*# Cryolife, Inc. 93,500 476,850
* CSP, Inc. 40,800 293,801
CSS Industries, Inc. 252,150 8,800,035
CT Communications, Inc. 161,759 2,216,098
CTS Corp. 652,600 7,113,340
* Culp, Inc. 324,918 2,404,393
* Cumulus Media, Inc. Class A 299,700 5,556,438
* CuraGen Corp. 1,193,625 5,968,125
* Curis, Inc. 20 89
Curtiss-Wright Corp. 172,600 8,120,830
Cutter & Buck, Inc. 289,237 2,996,495
* Cybersource Corp. 158,500 1,339,325
* Cybex International, Inc. 114,200 427,108
*# CycleLogic, Inc. 6 1
*# Cytrx Corp. 2,800 3,416
D & K Healthcare Resources, Inc. 405,661 4,855,762
* D A Consulting Group, Inc. 118,400 651
D&E Communications, Inc. 78,400 1,016,064
*# Daisytek International Corp. 44,337 310
*# Dan River, Inc. Class A 430,700 46,300
* Danielson Holding Corp. 73,400 700,236
* Data I/O Corp. 86,400 247,104
* Data Systems & Software, Inc. 91,400 152,638
* Datakey, Inc. 6,700 5,025
* Datalink Corp. 184,900 674,885
* Dataram Corp. 32,910 264,925
* DataTRAK International, Inc. 35,900 396,695
* Dave and Busters, Inc. 182,140 3,406,018
* Dawson Geophysical Co. 72,400 1,075,140
Deb Shops, Inc. 63,849 1,531,738
* Decora Industries, Inc. 4,200 24
Decorator Industries, Inc. 22,132 177,056
* Del Global Technologies Corp. 70,017 159,289
* Delphax Technologies, Inc. 70,700 452,480
Delphi Financial Group, Inc. Class A 601,363 24,222,902
Delta Apparel, Inc. 104,000 2,348,320
*# Delta Financial Corp. 138,300 842,247
Delta Natural Gas Co., Inc. 27,300 633,906
* Delta Woodside Industries, Inc. 130,000 175,500
* Denali, Inc. 69,500 6,950
* Denbury Resources, Inc. 25,800 474,720
* Dendreon Corp. 585 6,406
* Detrex Corp. 12,800 20,160
* Devcon International Corp. 52,400 $ 602,600
* DiamondCluster International, Inc. 271,100 2,626,959
* Diedrich Coffee, Inc. 13 51
* Digi International, Inc. 431,482 4,483,098
* Digimarc Corp. 50,100 566,130
*# Digital Angel Corp. 323,200 1,040,704
Dimon, Inc. 1,232,467 7,579,672
* Discovery Partners International 352,880 1,831,447
Distributed Energy Systems Corp. 774,783 2,479,306
* Diversified Corporate Resources, Inc. 1,600 2,240
* Dixie Group, Inc. 284,791 3,363,382
* Dixon Ticonderoga Co. 30,150 113,062
* Dollar Thrifty Automotive Group, Inc. 729,200 19,119,624
* Dominion Homes, Inc 72,100 2,199,771
Donegal Group, Inc. Class A 62,496 1,311,166
Donegal Group, Inc. Class B 35,448 727,393
* DoubleClick, Inc. 40,100 340,048
Dover Motorsports, Inc. 308,000 1,413,720
Downey Financial Corp. 100 5,290
* Drugstore.com, Inc. 211,400 980,896
* DT Industries, Inc. 214,200 6,961
* Duane Reade, Inc. 620,376 10,236,204
* Duckwall-ALCO Stores, Inc. 103,200 1,779,168
* Ducommun, Inc. 88,879 1,675,369
* DuPont Photomasks, Inc. 527,708 11,651,793
* Dura Automotive Systems, Inc. 452,402 4,279,723
*# DVI, Inc. 241,100 3,978
* Dyax Corp. 252,900 2,491,065
*# Dynegy, Inc. 154,500 678,255
* E Com Ventures, Inc. 6,250 57,812
E-Z-EM, Inc. 23,943 447,734
* E.piphany, Inc. 1,011,562 4,754,341
Eagle Materials, Inc. 12,700 847,090
* EarthLink, Inc. 218,950 2,198,258
Eastern Co. 29,400 462,756
* EasyLink Services Corp. 640 819
Ecology & Environment, Inc. Class A 28,100 281,000
Edelbrock Corp. 93,940 1,413,797
* Eden Bioscience Corp. 83,100 91,410
* Edgewater Technology, Inc. 248,188 1,536,284
EFC Bancorp, Inc. 5,300 125,875
* eFunds Corp. 62,319 997,727
* Elcom International, Inc. 500 80
Electro Rent Corp. 353,315 3,865,266
* Electroglas, Inc. 448,888 2,356,662
* eLoyalty Corp. 51,900 328,527
* ELXSI Corp. 27,900 101,835
EMC Insurance Group, Inc. 150,700 3,056,196
* EMCORE Corp. 30,700 90,872
* Emisphere Technologies, Inc. 152,327 773,821
* Emmis Communications Corp.
Class A 8,100 176,580
# Empire District Electric Co. 12,400 248,248
* EMS Technologies, Inc. 256,470 5,580,787
* En Pointe Technologies, Inc. 39,500 74,655
* Encore Medical Corp. 95,100 663,798
* Endologix, Inc. 110,800 547,352
* Enesco Group, Inc. 404,700 3,897,261
* Entravision Communications Corp. 1,658,500 13,433,850
* Entrust, Inc. 110,200 506,920
</Table>
11
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Environmental Elements Corp. 10,300 $ 1,596
* Environmental Technologies Corp. 35,800 251
* ePlus, Inc. 122,300 1,440,694
* ePresence, Inc. 312,600 1,262,904
* Equity Marketing, Inc. 1,100 14,124
* Equity Oil Co. 205,350 872,737
Espey Manufacturing & Electronics Corp. 3,800 85,918
* Esterline Technologies Corp. 611,893 15,407,466
* Ethyl Corp. 287,420 5,768,519
* Evans & Sutherland Computer Corp. 184,000 917,240
*# Evergreen Solar, Inc. 134,700 408,141
*# Exabyte Corp. 17,200 14,276
* Exar Corp. 874,400 13,929,192
* Exelixis, Inc. 128,283 1,182,769
* Exponent, Inc. 41,600 1,037,088
* Extended Systems, Inc. 20,900 103,873
* Ezcorp, Inc. Class A Non-Voting 237,900 1,934,127
* Fab Industries, Inc. 82,381 288,333
*# Factory 2-U Stores, Inc. 145,779 137,032
* Fairchild Corp. Class A 640,629 2,882,830
* Falcon Products, Inc. 162,900 610,875
*# FalconStor Software, Inc. 47,700 330,084
* Famous Dave's of America, Inc. 136,684 1,075,976
FBL Financial Group, Inc. Class A 567,800 16,108,486
* Featherlite, Inc. 27,900 125,271
Fedders Corp. 50,600 224,664
Federal Screw Works 3,125 116,562
*# Federal-Mogul Corp. 823,500 218,227
FFLC Bancorp 5,598 142,357
* Fibermark, Inc. 50,150 5,015
*# Fiberstars, Inc. 17,100 145,846
* Fidelity Federal Bancorp 20,000 33,600
Fidelity Southern Corp. 91,000 1,228,500
* Finishmaster, Inc. 120,000 1,221,000
* Finlay Enterprises, Inc. 220,200 4,311,516
* Firebrand Financial Group, Inc. 86,400 3,110
* First Aviation Services, Inc. 9,000 43,740
First Citizens Bancshares, Inc. 10,300 1,194,800
First Defiance Financial Corp. 128,500 3,215,070
First Federal Bancshares of Arkansas, Inc. 112,100 2,264,420
* First Horizon Pharmaceutical Corp. 570,031 10,103,799
First Indiana Corp. 223,925 4,418,040
* First Investors Financial Services Group, Inc. 120,900 661,323
First Keystone Financial, Inc. 37,300 1,007,100
First Midwest Financial, Inc. 32,400 725,760
First Place Financial Corp. 279,963 4,602,592
First Republic Bank 224,778 9,161,951
* Fischer Imaging Corp. 39,500 116,525
* Flanders Corp. 585,000 4,182,750
* Fleetwood Enterprises, Inc. 39,400 527,960
*# Fleming Companies, Inc. 119,852 569
Flexsteel Industries, Inc. 90,400 1,954,448
Florida Public Utilities Co. 1,800 34,200
* Flow International Corp. 34,100 95,480
Flowers Foods, Inc. 112,650 2,632,630
* Flowserve Corp. 1,464,040 30,671,638
FNB Financial Services Corp. 17,375 321,437
* Foodarama Supermarkets, Inc. 12,900 $ 519,225
*# Footstar, Inc. 509,400 2,215,890
* Forest Oil Corp. 429,725 10,700,152
* Forgent Networks, Inc. 368,700 471,936
* Foster (L.B.) Co. Class A 162,400 1,266,720
*# Foster Wheeler, Ltd. 927,100 1,093,978
*# FPIC Insurance Group, Inc. 273,064 7,372,728
Frankfort First Bancorp, Inc. 24,650 526,524
# Franklin Bancorp, Inc. 49,283 980,732
* Franklin Covey Co. 341,800 837,410
* Franklin Electronic Publishers, Inc. 112,300 480,644
Frequency Electronics, Inc. 97,600 1,370,304
Fresh Brands, Inc. 2,900 23,957
* Fresh Choice, Inc. 65,100 108,066
* Friede Goldman Halter, Inc. 8,516 13
Friedman Industries, Inc. 108,395 422,741
Friedmans, Inc. Class A 592,200 1,871,352
* Frontier Airlines, Inc. 206,310 1,918,683
* Frozen Food Express Industries, Inc. 387,622 2,655,211
FSF Financial Corp. 16,100 557,060
* FSI International, Inc. 519,718 3,580,857
*# FuelCell Energy, Inc. 276,171 4,382,834
* G-III Apparel Group, Ltd. 98,600 888,879
GA Financial, Inc. 50,500 1,768,510
*# Gadzooks, Inc. 238,170 422,752
* Gaiam, Inc. 19,084 116,031
*# Galey & Lord, Inc. 124,100 621
*# Galyan's Trading Co. 473,032 4,753,972
GameTech International, Inc. 79,900 360,349
* Gateway, Inc. 1,166,900 4,725,945
# GATX Corp. 1,378,900 33,245,279
* Gaylord Entertainment Co. 1,066,685 30,667,194
* GC Companies, Inc. 4,300 2,688
* Gehl Co. 134,167 2,279,497
* Genaissance Pharmaceuticals, Inc. 109,600 477,746
# Gencorp, Inc. 1,290,940 14,665,078
* Gene Logic, Inc. 911,989 3,593,237
* General Cable Corp. 135,500 1,085,355
* General Communications, Inc.
Class A 552,600 4,382,118
* General DataComm Industries, Inc. 690 242
* Genesee & Wyoming, Inc. 344,530 7,875,956
* Genesis Microchip, Inc. 228,756 3,694,409
* Genlyte Group, Inc. 19,300 1,134,261
* Gerber Scientific, Inc. 511,900 3,194,256
* Giant Group, Ltd. 50,600 120,175
* Giant Industries, Inc. 299,400 5,604,768
Gibraltar Steel Corp. 198,800 5,755,260
* Giga-Tronics, Inc. 28,800 45,792
Glatfelter (P.H.) Co. 1,244,900 15,237,576
* Glenayre Technologies, Inc. 996,900 2,522,157
* Globecomm Systems, Inc. 162,800 954,008
*# Glowpoint, Inc. 160,300 347,851
*# GoAmerica, Inc. 41,590 37,389
Golden Enterprises, Inc. 17,200 50,052
* Golden State Vintners, Inc. 82,600 674,842
*# Goodyear Tire & Rubber Co. 849,000 7,386,300
Goody's Family Clothing, Inc. 567,900 6,780,726
Gorman-Rupp Co. 40,500 1,073,250
* Gottschalks, Inc. 223,900 1,159,802
</Table>
12
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*# GP Strategies Corp. 235,265 $ 1,764,488
* Gradco Systems, Inc. 2,201 21,570
Graham Corp. 25,950 285,450
* Graphic Packaging Corp. 561,400 3,626,644
Gray Television, Inc. 904,550 12,745,110
Gray Television, Inc. Class A 40,650 520,320
Great American Financial Resources, Inc. 221,500 3,377,875
* Great Atlantic & Pacific Tea Co., Inc. 1,117,000 7,740,810
* Greenbriar Corp. 1,070 3,076
* Greenbrier Companies, Inc. 196,900 3,392,587
* Griffin Land & Nurseries, Inc. Class A 25,000 632,375
* Group 1 Automotive, Inc. 244,100 7,835,610
* GTC Biotherapeutics, Inc. 379,069 621,673
* GTSI Corp. 222,215 2,648,803
Guaranty Federal Bancshares, Inc. 15,300 301,410
*# Guilford Pharmaceuticals, Inc. 338,313 2,097,541
* Gulfmark Offshore, Inc. 291,803 3,924,750
* Ha-Lo Industries, Inc. 223,600 313
Haggar Corp. 102,925 2,074,968
* Hain Celestial Group, Inc. 221,775 3,925,418
* Halifax Corp. 24,000 108,000
* Hall Kinion Associates, Inc. 208,832 864,564
* Hampshire Group, Ltd. 19,100 553,518
Handleman Co. 362,576 8,121,702
* Hanger Orthopedic Group, Inc. 405,900 6,697,350
*# Hanover Compressor Co. 2,308,915 24,174,340
Hardinge, Inc. 148,600 1,768,340
Harleysville Group, Inc. 736,468 13,911,881
* Harolds Stores, Inc. 2,000 5,040
* Hartmarx Corp. 696,000 4,196,880
* Hastings Entertainment, Inc. 174,000 1,353,546
* Hastings Manufacturing Co. 1,700 4,378
Haverty Furniture Co., Inc. 188,300 3,304,665
*# Hawaiian Holdings, Inc. 498,455 2,417,507
* Hawk Corp. 184,600 964,535
* Hector Communications Corp. 10,600 212,000
* HEI, Inc. 1,400 3,570
Heico Corp. 255,600 3,759,876
Heico Corp. Class A 23,951 283,101
Helmerich & Payne, Inc. 95,800 2,390,210
* Herley Industries, Inc. 0 10
* Hexcel Corp. 599,250 5,093,625
HF Financial Corp. 54,615 809,940
HMN Financial, Inc. 74,300 1,867,159
* HMS Holdings Corp. 345,607 1,866,278
* Hoenig Group Escrow Shares 104,700 24,081
* Holiday RV Superstores, Inc. 6,880 34
Holly Corp. 215,100 7,474,725
*# Hollywood Media Corp. 283,500 924,210
* Home Products International, Inc. 125,550 161,960
* HomeStore, Inc. 49,000 204,330
Horace Mann Educators Corp. 621,245 10,517,678
Horizon Financial Corp. 105,320 1,939,994
* Horizon Health Corp. 109,600 2,520,800
* Horizon Offshore, Inc. 717,378 875,201
* Houston Exploration Co. 689,842 32,601,933
* Hub Group, Inc. Class A 109,800 3,592,656
Hudson River Bancorp, Inc. 7,354 128,180
*# Hudson Technologies, Inc. 54,900 59,292
* Huffy Corp. 378,995 $ 439,634
Hughes Supply, Inc. 606,158 32,732,532
* Human Genome Sciences, Inc. 7,083 76,992
* Hurco Companies, Inc. 92,200 1,243,778
* Huttig Building Products, Inc. 65,600 541,200
* Hycor Biomedical, Inc. 56,900 298,725
* Hypercom Corp. 1,409,300 9,470,496
* I-many, Inc. 399,600 499,500
* Ico, Inc. 264,300 562,959
* Identix, Inc. 161,554 1,171,267
* IDT Corp. 617,922 10,869,248
* IDT Corp. Class B 118,400 2,131,200
* iGate Capital Corp. 555,429 2,477,213
IHOP Corp. 10,300 370,800
Ikon Office Solutions, Inc. 1,582,500 17,439,150
* Illumina, Inc. 307,500 1,949,550
* Image Entertainment, Inc. 29,400 101,430
# IMC Global, Inc. 302,483 3,765,913
* IMCO Recycling, Inc. 444,900 5,605,740
* ImmunoGen, Inc. 312,746 2,505,095
* Impco Technologies, Inc. 227,000 1,300,710
* Imperial Sugar Co. 98,576 1,164,183
*# Imperial Sugar Company 282,800 0
* Impreso, Inc. 6,500 15,470
* Incyte Genomics, Inc. 843,721 6,049,480
Independence Holding Co. 57,860 1,900,701
* Industrial Distribution Group, Inc. 231,800 1,680,550
* INEI Corp. 31,200 43,680
*# Infocrossing, Inc. 23,000 303,600
* InFocus Corp. 1,067,825 8,606,670
* Infonet Services Corp. 135,200 232,544
* Information Holdings, Inc. 43,974 1,174,985
* Inforte Corp. 193,268 2,091,160
* InfoSpace, Inc. 149,656 5,474,416
Ingles Market, Inc. Class A 296,439 3,142,253
* Innotrac Corp. 165,400 1,529,950
* Innovative Clinical Solutions, Ltd. 8,426 51
* Innovex, Inc. 110,135 593,628
* Input/Output, Inc. 711,900 4,912,110
* Insight Communications Co., Inc. 1,017,187 9,724,308
* Insight Enterprises, Inc. 371,446 6,819,749
* Insmed, Inc. 38,125 87,649
* Instinet Group, Inc. 455,900 3,004,381
* Insurance Auto Auctions, Inc. 320,900 5,249,924
* InsWeb Corp. 23,166 110,039
* IntegraMed America, Inc. 56,400 410,592
* Integrated Electrical Services, Inc. 1,037,900 9,341,100
* Integrated Information Systems, Inc. 7,220 903
* Integrated Telecom Express, Inc. 3,300 0
* Integrity Media, Inc. 23,100 146,916
* Intelligent Systems Corp. 52,375 96,894
* Intelligroup, Inc. 70,900 279,346
* InterCept Group, Inc. 587,853 8,753,131
* Interface, Inc. Class A 1,183,327 8,283,289
* Interland, Inc. 322,598 938,760
Intermet Corp. 698,792 2,872,035
International Aluminum Corp. 55,800 1,653,354
* International Shipholding Corp. 80,650 1,145,633
*# Internet Commerce Corp. 50,000 69,500
Interpool, Inc. 591,600 9,983,250
</Table>
13
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Interstate Hotels & Resorts, Inc. 18,140 $ 97,049
* Intest Corp. 8,500 48,875
*# Intrusion, Inc. 23,600 46,704
* Intuitive Surgical, Inc. 7,148 118,228
Investors Title Co. 18,200 503,321
Iomega Corp. 1,285,900 6,223,756
* Ionics, Inc. 597,800 15,100,428
*# IPIX Corp. 7,500 62,925
* Iridex Corp. 89,000 618,550
Isco, Inc. 40,900 651,496
* ITLA Capital Corp. 147,000 5,894,700
* ITXC Corp. 524,620 1,238,103
* iVillage, Inc. 100 689
* IXYS Corp. 97,419 910,868
* J Net Enterprises, Inc. 108,700 163,050
* J. Alexander's Corp. 107,200 766,480
* Jaclyn, Inc. 26,900 136,652
* Jaco Electronics, Inc. 105,869 527,333
* Jacuzzi Brands, Inc. 1,103,700 9,425,598
* Jakks Pacific, Inc. 734,423 13,058,041
* JDA Software Group, Inc. 397,165 5,024,137
* Jo-Ann Stores, Inc. 59,400 1,700,622
* Johnson Outdoors, Inc. 121,800 2,322,726
* JPS Industries, Inc. 43,200 107,179
* K-Tron International, Inc. 6,300 134,442
* K2, Inc. 927,710 13,655,891
* Kadant, Inc. 381,860 7,725,028
* Kaiser Aluminum Corp. 231,265 8,094
Kaman Corp. Class A 662,618 7,805,640
*# Kansas City Southern Industries, Inc. 1,816,400 23,613,200
* Katy Industries, Inc. 133,000 778,050
* KBK Capital Corp. 12,075 13,584
* Keane, Inc. 209,000 2,999,150
* Keith Companies, Inc. 34,290 480,746
Kellwood Co. 307,417 12,511,872
Kelly Services, Inc. 50,986 1,414,352
* Kemet Corp. 2,033,984 24,712,906
* Kendle International, Inc. 350,238 2,626,785
* Kennedy-Wilson, Inc. 43,900 298,520
Kewaunee Scientific Corp. 31,100 334,792
* Key Technology, Inc. 26,200 343,220
* Key Tronic Corp. 151,900 543,802
* Keynote Systems, Inc. 288,000 3,758,400
* Keystone Consolidated Industries, Inc. 18,342 2,476
* Kforce, Inc. 501,878 4,597,202
Kimball International, Inc. Class B 560,207 7,753,265
* Kindred Healthcare, Inc. 1,047,674 26,024,222
* Kirby Corp. 1,200 42,480
*# Kit Manufacturing Co. 1,400 14
Knape & Vogt Manufacturing Co. 37,434 487,391
* Knight Trading Group, Inc. 453,829 5,200,880
* Koala Corp. 44,700 17,433
# Labranche & Co., Inc. 1,296,340 11,615,206
* LaCrosse Footwear, Inc. 29,400 231,084
Ladish Co., Inc. 299,510 2,605,737
* Lakes Entertainment, Inc. 232,850 2,878,026
* Lamson & Sessions Co. 247,700 1,870,135
* Lancer Corp. 108,400 693,760
Landamerica Financial Group, Inc. 540,112 21,545,068
Landry's Restaurants, Inc. 806,335 24,190,050
* Lantronix, Inc. 139,900 $ 174,875
* Larscom, Inc. 8,457 42,285
* Lattice Semiconductor Corp. 596,414 4,657,993
Lawson Products, Inc. 194,268 6,828,520
* Layne Christensen Co. 182,500 3,076,950
* Lazare Kaplan International, Inc. 126,800 1,115,840
* LCC International, Inc. Class A 140,400 581,256
* Lesco, Inc. 217,900 2,817,447
* Level 8 Systems, Inc. 5,966 1,611
* Lexicon Genetics, Inc. 1,400 9,814
* Liberate Technologies, Inc. 662,100 1,738,013
Liberty Corp. 290,950 13,543,723
* Lightbridge, Inc. 237,344 1,250,803
*# LightPath Technologies, Inc. 31,300 133,025
*# Lipid Sciences, Inc. 87,400 371,450
Lithia Motors, Inc. Class A 366,875 8,775,650
* LMI Aerospace, Inc. 29,100 36,375
# LNR Property Corp. 578,593 29,074,298
* Lodgenet Entertainment Corp. 26,000 514,020
* Lodgian, Inc. 944 13,971
* Logic Devices, Inc. 92,700 148,320
* LogicVision, Inc. 157,400 470,469
Lone Star Steakhouse & Saloon, Inc. 617,316 15,679,826
Longs Drug Stores Corp. 1,086,800 23,279,256
Longview Fibre Co. 1,451,440 18,520,374
* LOUD Technologies, Inc. 1,000 2,480
# Louisiana-Pacific Corp. 1,058,600 24,453,660
LSB Corp. 3,500 54,250
LSI Industries, Inc. 62,875 723,063
* Luby's, Inc. 627,200 3,462,144
Lufkin Industries, Inc. 104,600 3,164,150
* Lydall, Inc. 445,700 3,935,531
* Lynch Corp. 6,200 86,800
* M & F Worldwide Corp. 348,800 4,534,400
* Mac-Gray Corp. 287,700 1,844,157
MAF Bancorp, Inc. 58,080 2,558,424
*# Magic Lantern Group, Inc. 28,600 25,883
*# Magna Entertainment Corp. 158,300 826,326
* Magnetek, Inc. 681,300 5,320,953
* Magnum Hunter Resources, Inc. 1,941,528 19,551,187
* MAII Holdings, Inc. 62,700 627
* Main Street & Main, Inc. 258,064 529,031
Maine & Maritimes Corp. 400 12,220
* MAIR Holdings, Inc. 476,969 3,815,752
* Management Network Group, Inc. 163,087 383,254
* Manchester Technologies, Inc. 178,300 673,796
* Manugistic Group, Inc. 469,261 2,088,211
* Mapinfo Corp. 110,735 1,107,350
* Marimba, Inc. 60,600 495,708
* Marisa Christina, Inc. 94,000 122,200
Maritrans, Inc. 108,500 1,589,525
* MarketWatch.com, Inc. 95,000 1,081,100
MarkWest Hydrocarbon, Inc. 171,050 1,830,235
* Marlton Technologies, Inc. 96,500 56,935
Marsh Supermarkets, Inc. Class A 36,900 503,501
Marsh Supermarkets, Inc. Class B 59,400 820,908
* Marten Transport, Ltd. 200 3,472
MASSBANK Corp. 63,149 2,101,599
Massey Energy Co. 1,766,200 43,483,844
* Mastec, Inc. 655,000 2,796,850
</Table>
14
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<Table>
<Caption>
SHARES VALUE+
------ ------
* Material Sciences Corp. 413,667 $ 4,281,453
* Matria Healthcare, Inc. 174,470 3,812,170
* Matrix Bancorp, Inc. 5,000 59,500
* Mattson Technology, Inc. 37,641 401,253
* Maxco, Inc. 38,500 127,050
Maxcor Financial Group, Inc. 59,500 664,615
* Maxicare Health Plans, Inc. 12,200 1,464
*# Maxim Pharmaceuticals, Inc. 270,710 2,412,026
* Maxwell Shoe Company, Inc. 61,350 1,369,946
* Maxxam, Inc. 105,500 2,663,875
* Maxygen, Inc. 136,619 1,371,655
* Mayor's Jewelers, Inc. 293,900 170,462
McRae Industries, Inc. Class A 32,700 325,365
*# MCSI, Inc. 27,200 276
* Meade Instruments Corp. 453,359 1,450,749
* Meadow Valley Corp. 44,064 95,839
* Meadowbrook Insurance Group, Inc. 360,400 1,827,228
*# Medarex, Inc. 235,344 1,969,829
* MedCath Corp. 169,601 3,425,940
* Media 100, Inc. 4,700 106
Media General, Inc. Class A 45,600 3,138,192
*# Medialink Worldwide, Inc. 63,000 226,800
* Medical Resources, Inc. 1,619 0
* Medicore, Inc. 58,600 191,622
* Medquist, Inc. 471,073 5,808,330
* Mens Warehouse, Inc. 308,300 8,043,547
Merchants Group, Inc. 23,900 621,400
* Mercury Air Group, Inc. 39,650 237,900
* Meridian Resource Corp. 73,600 543,168
* Merisel, Inc. 3,600 16,920
* Merrimac Industries, Inc. 35,170 325,323
Mesa Labs, Inc. 17,700 175,584
* Mestek, Inc. 13,500 212,760
* Meta Group, Inc. 10,600 48,760
* MetaSolv, Inc. 595,737 1,679,978
* Metris Companies, Inc. 1,679,600 12,680,980
*# Metro One Telecommunications, Inc. 461,619 770,904
* Metromedia International Group, Inc. 82,700 28,945
MFB Corp. 17,700 608,615
* MFRI, Inc. 59,900 178,802
MGP Ingredients, Inc. 105,900 3,775,335
* Michael Anthony Jewelers, Inc. 93,900 133,808
* Micro Component Technology, Inc. 20,800 28,496
* Micro Linear Corp. 189,700 1,143,891
* MicroFinancial, Inc. 125,000 362,500
* Microtek Medical Holdings, Inc. 597,600 2,695,774
* Microtune, Inc. 164,400 562,248
Midland Co. 49,800 1,300,776
*# Midway Games, Inc. 237,100 2,570,164
*# Midwest Express Holdings, Inc. 456,802 1,804,368
*# Mikohn Gaming Corp. 167,400 821,934
* Milacron, Inc. 791,300 3,545,024
* Miller Industries, Inc. 130,390 1,187,853
* Millerbuilding Systems Escrow Shares 46,200 13,860
* Miltope Group, Inc. Contigent Value Right 53,600 0
Minerals Technologies, Inc. 97,100 5,583,250
Minuteman International, Inc. 9,000 117,000
* MIPS Technologies, Inc. 412,800 2,864,832
* Misonix, Inc. 119,390 1,005,264
* Mission Resources Corp. 524,200 $ 2,820,196
* Mitcham Industries, Inc. 143,200 601,440
* MKS Instruments, Inc. 55,869 1,305,100
* Mobile Mini, Inc. 416,221 8,873,832
* Modem Media, Inc. 11,900 66,759
Modine Manufacturing Co. 264,013 7,959,992
* Mod-Pac Corp. 9,843 82,780
* Mod-Pac Corp. Class B 3,878 32,614
* Modtech Holdings, Inc. 356,893 2,498,251
* Moldflow Corp. 43,600 486,576
* Mondavi (Robert) Corp. Class A 277,541 9,663,978
*# Mony Group, Inc. 34,200 1,068,408
* Moore Handley, Inc. 2,000 3,950
* Motor Car Parts & Accessories, Inc. 71,200 605,200
Movado Group, Inc. 247,350 7,593,645
* MPS Group, Inc. 3,031,500 33,589,020
* MRV Communications, Inc. 713,600 1,898,176
* MSC Software Corp. 882,739 7,891,687
*# MTI Technology Corp. 300 888
* MTM Technologies, Inc. 6,200 10,354
Mueller (Paul) Co. 2,300 73,002
Mueller Industries, Inc. 737,888 24,128,938
Myers Industries, Inc. 220,994 2,985,629
Nacco Industries, Inc. Class A 116,800 10,364,832
*# Nanogen, Inc. 180,200 1,227,162
* Nanometrics, Inc. 289,620 3,704,240
*# Napco Security Systems, Inc. 99,600 876,480
Nash-Finch Co. 349,771 6,575,695
* Nashua Corp. 116,000 1,070,680
* NATCO Group, Inc. Class A 30,800 235,312
* Nathans Famous, Inc. 107,000 651,523
* National Home Health Care Corp. 53,533 540,683
National Presto Industries, Inc. 135,950 5,356,430
* National Research Corp. 75,400 1,266,720
* National RV Holdings, Inc. 193,050 2,297,295
* National Steel Corp. Class B 5,015 35
* National Technical Systems, Inc. 128,684 639,431
* National Western Life Insurance Co.
Class A 24,300 3,551,445
* Natrol, Inc. 122,500 336,875
* Natural Alternatives International, Inc. 81,900 898,443
* Natus Medical, Inc. 159,600 818,748
* Navidec, Inc. 5,188 9,001
*# Navigant International, Inc. 439,398 7,636,737
* Navigators Group, Inc. 16,133 466,244
* NCI Building Systems, Inc. 553,698 16,096,001
* NCO Group, Inc. 743,550 18,432,617
* Neoforma, Inc. 319,706 3,635,057
* NeoMagic Corp. 364,300 1,493,630
* NES Rentals Holdings, Inc. 448 3,640
* Net2Phone, Inc. 485,128 2,073,922
NetBank, Inc. 302,082 3,238,319
* Netegrity, Inc. 43,350 408,357
* NetIQ Corp. 1,573,837 20,853,340
* NetManage, Inc. 83,916 549,650
* NetRatings, Inc. 778,110 10,885,759
* Netscout System, Inc. 40,238 277,240
* Network Equipment Technologies, Inc. 256,400 1,887,104
* Neurogen Corp. 56,090 527,807
* New Brunswick Scientific Co., Inc. 103,193 627,413
</Table>
15
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<Table>
<Caption>
SHARES VALUE+
------ ------
* New Horizons Worldwide, Inc. 63,775 $ 372,510
* Newpark Resources, Inc. 590,000 3,333,500
* Newport Corp. 890,104 12,933,211
* Niagara Corp. 132,200 533,427
Nitches, Inc. 4,047 26,144
* NMS Communications Corp. 260,300 2,238,580
* NMT Medical, Inc. 123,900 471,440
* Nobel Learning Communities, Inc. 83,500 549,013
* Noel Group, Inc. 95,400 286
# Noland Co. 3,000 128,340
* Norstan, Inc. 247,900 798,238
* North America Galvanizing & Coatings, Inc. 73,400 146,800
* North American Scientific, Inc. 88,435 791,493
North Central Bancshares, Inc. 39,900 1,509,018
Northeast Bancorp 21,200 410,538
Northeast Pennsylvania Financial Corp. 3,200 56,080
* Northland Cranberries, Inc. 32,800 21,648
Northrim BanCorp, Inc. 0 12
* Northwest Pipe Co. 91,800 1,349,460
* Novamed Eyecare, Inc. 44,550 161,717
* NS Group, Inc. 2,900 38,570
* Nu Horizons Electronics Corp. 457,433 3,718,930
* Numerex Corp. Class A 77,800 357,880
* Nuvelo, Inc. 53,209 462,918
NWH, Inc. 52,900 992,669
* NYFIX, Inc. 416,763 2,100,486
Nymagic, Inc. 125,800 3,233,060
* O.I. Corp. 51,900 436,479
* Obie Media Corp. 70,500 248,865
* Ocwen Financial Corp. 755,930 9,403,769
* Odd Job Stores, Inc. 175,300 283,110
* Offshore Logistics, Inc. 655,000 15,045,350
*# Oglebay Norton Co. 55,400 7,756
# Ohio Art Co. 3,500 32,515
* Ohio Casualty Corp. 1,722,044 32,288,325
* Oil States International, Inc. 623,581 8,854,850
Oil-Dri Corp. of America 47,700 766,539
* Olympic Steel, Inc. 210,900 2,994,780
* Omega Protein Corp. 583,800 6,305,040
* Omnova Solutions, Inc. 171,900 887,004
* Omtool, Ltd. 53,414 560,847
* On Assignment, Inc. 426,464 2,503,344
* One Price Clothing Stores, Inc. 42,786 856
*# Oneida, Ltd. 181,300 224,812
* Onyx Acceptance Corp. 107,900 1,634,685
* Opinion Research Corp. 89,900 623,906
* Oplink Communications, Inc. 158,500 318,585
* Opti, Inc. 168,800 261,640
* Optika, Inc. 72,100 261,723
* Oregon Steel Mills, Inc. 768,361 8,659,428
*# Orthodontic Centers of America, Inc. 1,165,800 9,967,590
* Orthologic Corp. 354,200 2,844,226
* Oscient Pharmaceutical Corp. 13,100 61,439
* OSI Systems, Inc. 218,930 4,888,707
Outlook Group Corp. 59,300 364,695
Overseas Shipholding Group, Inc. 960,975 36,651,587
* OYO Geospace Corp. 19,000 332,291
* Pacific Premier Bancorp, Inc. 29,840 343,458
* Pain Therapeutics, Inc. 103,800 $ 811,716
*# Palmone Inc 76,444 1,622,906
* Par Technology Corp. 150,700 1,567,280
* Paradyne Networks Corp. 11,500 54,395
Park Electrochemical Corp. 224,350 5,599,776
* Parker Drilling Co. 2,494,100 8,006,061
* Park-Ohio Holdings Corp. 188,135 2,276,434
Parkvale Financial Corp. 40,825 1,085,129
* Parlex Corp. 165,300 1,003,371
* Parlux Fragrances, Inc. 224,000 2,047,360
* Pathmark Stores, Inc. 802,163 5,414,600
* Patrick Industries, Inc. 96,250 991,375
* Paula Financial, Inc. 90,600 258,210
* Paul-Son Gaming Corp. 35,400 138,414
* Paxson Communications Corp. 462,700 1,300,187
* Payless Cashways, Inc. 4,184 6
* PC Connection, Inc. 424,359 3,254,834
* PC-Tel, Inc. 296,000 3,238,240
* Pediatric Services of America, Inc. 152,300 1,888,520
* Peerless Manufacturing Co. 20,100 215,271
* Peerless Systems Corp. 120,900 151,125
* Pegasus Solutions, Inc. 387,366 4,454,709
* Pemstar, Inc. 663,090 1,743,927
Penford Corp. 79,800 1,372,560
* Penn Treaty American Corp. 235,200 500,976
Penn Virginia Corp. 53,900 3,357,970
Penn-America Group, Inc. 247,875 3,271,950
Pep Boys - Manny, Moe & Jack 1,187,900 29,091,671
* Perceptron, Inc. 243,900 1,634,130
* Pericom Semiconductor Corp. 270,400 2,895,984
* Perry Ellis International, Inc. 49,868 1,195,835
* Per-Se Technologies, Inc. 364,566 4,739,358
* Petrocorp, Inc. Escrow Shares 102,600 6,156
* Petroleum Development Corp. 68,679 1,687,443
* Pharmacopia Drug Discovery, Inc. 153,745 1,070,065
* Pharmacyclics, Inc. 225,953 2,704,657
* PharmChem, Inc. 54,000 8,640
Phillips-Van Heusen Corp. 702,700 13,302,111
* Phoenix Technologies, Ltd. 138,322 912,925
* Photo Control Corp. 4,200 11,550
* Photronics, Inc. 206,527 3,651,397
* Piccadilly Cafeterias, Inc. 184,200 184
* Pico Holdings, Inc. 184,820 3,372,965
Pilgrims Pride Corp. Class B 398,400 10,708,992
Pinnacle Bancshares, Inc. 10,400 154,440
* Pinnacle Entertainment, Inc. 401,400 4,575,960
* Plains Exploration & Production Co. 187,435 3,336,343
* Play By Play Toys and Novelties, Inc. 52,900 135
* Plexus Corp. 191,872 2,818,600
PMA Capital Corp. Class A 418,780 2,918,897
Pocahontas Bancorp, Inc. 69,800 1,191,835
* Polyone Corp. 473,800 3,264,482
Pomeroy IT Solutions, Inc. 349,333 4,443,516
Pope & Talbot, Inc. 381,000 6,374,130
Potlatch Corp. 42,650 1,610,038
PowerCerv Corp. 20,666 13,020
* Power-One, Inc. 118,888 1,198,391
*# Powerwave Technologies, Inc. 591,140 4,735,031
* PPT Vision, Inc. 89,000 125,490
* PRAECIS Pharmaceuticals, Inc. 818,413 3,412,782
</Table>
16
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<Table>
<Caption>
SHARES VALUE+
------ ------
Preformed Line Products Co. 14,300 $ 393,250
* Premier Financial Bancorp 1,100 10,131
Presidential Life Corp. 821,703 13,903,215
*# PRG-Schultz International, Inc. 552,580 2,492,136
* Pricesmart, Inc. 58,559 322,660
* Prime Hospitality Corp. 1,303,752 12,920,182
* Prime Medical Services, Inc. 555,263 3,248,289
* Primus Knowledge Solutions, Inc. 117,500 250,275
* Printronix, Inc. 90,000 1,305,000
* Procom Technology, Inc. 5,400 6,588
* Procurenet, Inc. 22,400 22
Programmers Paradise, Inc. 86,900 642,191
* Progressive Software Holding, Inc. 5,680 1
* Protection One, Inc. 1,266,600 246,987
Providence & Worcester Railroad Co. 47,100 480,420
Provident Financial Holdings, Inc. 55,200 1,374,480
* Province Healthcare Co. 558,213 8,942,572
* ProxyMed, Inc. 5,303 100,757
* PSS World Medical, Inc. 817,944 8,220,337
* PTEK Holdings, Inc. 561,200 5,886,988
Pulitzer, Inc. 75,000 3,528,750
* Pure World, Inc. 100,500 192,960
Pyramid Breweries, Inc. 110,100 241,119
* QEP Co., Inc. 20,600 312,914
Quaker Fabric Corp. 458,348 3,653,034
* Quality Dining, Inc. 217,600 489,600
Quanex Corp. 476,202 21,214,799
* Quanta Services, Inc. 1,827,650 9,686,545
* Quantum Corp.- DLT 498,800 1,471,460
* Quantum Fuel Systems Technologies Worldwide, Inc. 1,600 8,016
* Quicklogic Corp. 109,100 327,191
* Quigley Corp. 14,800 117,497
* Quovadx, Inc. 501,945 537,081
* R & B, Inc. 122,500 2,296,875
* Radiologix, Inc. 170,892 676,732
* Rag Shops, Inc. 55,755 183,992
* Railamerica, Inc. 919,965 11,729,554
* Raytech Corp. 26,800 54,940
* RCM Technologies, Inc. 234,100 1,252,435
* Reading International, Inc. Class A 213,799 1,804,464
* Reading International, Inc. Class B 14,660 120,945
* RealNetworks, Inc. 300 1,803
*# Redhook Ale Brewery, Inc. 126,500 275,770
* Refac 11,357 54,911
Regal-Beloit Corp. 537,583 10,993,572
* Regent Communications, Inc. 914,170 5,393,603
* Register.Com, Inc. 78,955 412,145
* Reliability, Inc. 100,400 110,440
Reliance Steel & Aluminum Co. 608,663 22,270,979
*# Relm Wireless Corp. 59,254 142,210
* Remec, Inc. 664,067 4,349,639
* RemedyTemp, Inc. 7,500 97,665
* Rentrak Corp. 35,300 314,170
* Rent-Way, Inc. 675,100 6,278,430
* Reptron Electronics, Inc. 73,300 0
*# Reptron Electronics, Inc. 2,856 20,849
* Republic First Bancorp, Inc. 66,730 794,087
* Res-Care, Inc. 528,510 7,330,434
Resource America, Inc. 483,676 10,544,137
* Restoration Hardware, Inc. 84,678 $ 568,189
* Retail Ventures Inc. 811,923 5,870,203
* Rex Stores Corp. 321,250 3,951,375
* Rexhall Industries, Inc. 38,798 67,509
* RF Monolithics, Inc. 29,200 279,736
Riggs National Corp. 833,884 18,212,027
* Riverside Group, Inc. 3,200 104
* Riverstone Networks, Inc. 9,900 9,851
Riverview Bancorp, Inc. 56,600 1,176,714
* Riviera Holdings Corp. 5,500 47,795
*# Riviera Tool Co. 16,500 55,110
RLI Corp. 71,800 2,582,646
* Roadhouse Grill, Inc. 174,800 43,700
Roanoke Electric Steel Corp. 140,900 1,852,835
Robbins & Myers, Inc. 344,900 7,622,290
*# Robotic Vision Systems, Inc. 14,000 46,900
* Rochester Medical Corp. 27,100 220,052
Rock of Ages Co. 87,600 712,188
*# Rockford Corp. 173,400 858,330
Rock-Tenn Co. Class A 960,250 15,431,218
* Rocky Shoes & Boots, Inc. 71,400 1,460,844
* Rouge Industries, Inc. Class A 50,000 425
* RTI International Metals, Inc. 613,650 8,904,062
* RTW, Inc. 93,850 606,553
* Rubio's Restaurants, Inc. 197,369 1,306,583
Ruddick Corp. 71,791 1,476,023
* Rural/Metro Corp. 134,500 168,125
* Rush Enterprises, Inc. Class A 105,400 1,244,774
* Rush Enterprises, Inc. Class B 105,400 1,279,240
Russell Corp. 858,300 14,058,954
* Ryan's Family Steak Houses, Inc. 351,500 5,915,745
Ryerson Tull, Inc. 721,439 9,674,497
* S&K Famous Brands, Inc. 78,600 1,338,165
* Safeguard Scientifics, Inc. 825,100 2,104,005
* SafeNet, Inc. 735 17,126
* Safety Components International, Inc. 1,155 15,448
*# Salton, Inc. 325,300 1,841,198
Sanders Morris Harris Group, Inc. 8,200 110,290
* Sands Regent Casino Hotel 15,492 105,810
* Sangamo BioSciences, Inc. 15,400 96,558
* Sapient Corp. 500 3,000
* Satcon Technology Corp. 101,000 277,750
Saucony, Inc. Class A 35,800 730,284
Saucony, Inc. Class B 48,400 976,712
Sauer-Danfoss, Inc. 92,400 1,435,896
* SBS Technologies, Inc. 181,174 3,351,719
* ScanSoft, Inc. 73,525 385,271
* Scheid Vineyards, Inc. 34,100 170,841
* Schieb (Earl), Inc. 75,600 250,236
* Schlotzskys, Inc. 164,000 249,116
* Schuff International, Inc. 106,600 249,444
# Schulman (A.), Inc. 509,536 10,175,434
Schweitzer-Maudoit International, Inc. 56,500 1,590,475
* SCM Microsystems, Inc. 312,903 1,993,192
Scope Industries, Inc. 8,100 567,000
SCPIE Holdings, Inc. 150,800 1,313,468
* SCS Transportation, Inc. 347,785 7,912,109
Seaboard Corp. 26,240 9,813,760
* Seabulk International, Inc. 557,000 4,940,590
Seacoast Financial Services Corp. 35,246 1,207,528
</Table>
17
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Seacor Smit, Inc. 540,166 $ 21,628,247
* Secom General Corp. 11,500 14,548
* SED International Holdings, Inc. 11,350 17,252
* SEEC, Inc. 42,400 10,600
* Segue Software, Inc. 68,200 251,317
* Selas Corp. of America 76,500 229,500
* Selectica, Inc. 856,052 3,750,364
# Selective Insurance Group, Inc. 802,844 29,006,754
* Semitool, Inc. 276,235 3,162,891
*# SEMX Corp. 67,400 10,110
* Seneca Foods Corp. Class B 10,500 194,985
* Sequa Corp. Class A 94,900 4,664,335
* Sequa Corp. Class B 28,900 1,465,230
* Sequenom, Inc. 716,719 1,153,918
* Service Corp. International 4,365,800 31,433,760
* Servotronics, Inc. 400 1,558
*# Shaw Group, Inc. 1,658,898 19,574,996
* Shiloh Industries, Inc. 164,700 1,791,936
* Shoe Carnival, Inc. 332,900 4,587,362
* Shoe Pavilion, Inc. 9,500 22,183
* Sholodge, Inc. 71,600 483,300
* Shopko Stores, Inc. 847,300 11,557,172
* Sifco Industries, Inc. 74,715 306,332
* Sight Resource Corp. 75,200 3,384
* Sigmatron International, Inc. 16,800 204,120
*# Silicon Graphics, Inc. 1,681,500 3,178,035
Simmons First National Corp. Class A 68,600 1,652,574
* Sipex Corp. 490,900 3,166,305
* Sitel Corp. 762,700 2,387,251
* Six Flags, Inc. 2,475,600 17,329,200
* Skechers U.S.A., Inc. Class A 484,132 5,567,518
Skyline Corp. 118,700 4,750,374
*# Skyworks Solutions, Inc. 815,161 7,287,539
* SL Industries, Inc. 100 1,080
* Smart & Final Food, Inc. 364,900 5,670,546
* SmartDisk Corp. 21,800 3,924
* Smith & Wollensky Restaurant Group, Inc. 160,400 1,032,976
Smith (A.O.) Corp. 412,200 12,139,290
Smith (A.O.) Corp. Convertible Class A 70,050 2,062,973
* Smithway Motor Xpress Corp. Class A 73,800 182,286
* Sola International, Inc. 236,900 4,593,491
* Somera Communications, Inc. 93,400 130,760
Sonic Automotive, Inc. 839,093 18,418,091
*# Sonic Foundry, Inc. 22,800 35,796
* SonicWALL, Inc. 1,048,778 8,348,273
* Sourcecorp, Inc. 423,815 10,883,569
South Jersey Industries, Inc. 302,991 12,722,592
* Southern Energy Homes, Inc. 180,800 743,992
* Southwall Technologies, Inc. 131,500 59,175
Southwest Gas Corp. 1,700 38,420
* Southwestern Energy Co. 464,400 11,870,064
*# Spacehab, Inc. 122,200 502,242
Span-American Medical System, Inc. 24,000 282,960
* SPAR Group, Inc. 6,000 7,980
* Spartan Stores, Inc. 247,671 1,075,140
* Sparton Corp. 120,503 1,008,610
* Spectrum Control, Inc. 173,800 1,423,422
* Spherion Corp. 1,547,289 14,296,950
* Spiegel, Inc. Class A Non-Voting 400 25
* Spinnaker Exploration Co. 976,066 $ 32,532,280
* Sport Chalet, Inc. 45,900 573,750
* Sport Supply Group, Inc. 105,400 123,845
* Sport-Haley, Inc. 60,800 324,672
* Sports Club Co., Inc. 116,000 185,600
* SportsLine.Com, Inc. 227,300 227,300
* SR Telecom, Inc. 11,987 40,996
* SRI/Surgical Express, Inc. 52,500 362,775
* Stamps.com, Inc. 373,904 4,939,272
Standard Commercial Corp. 343,680 5,667,283
* Standard Management Corp. 134,600 464,370
Standard Motor Products, Inc.
Class A 293,250 4,105,500
Standard Register Co. 380,299 4,635,845
Star Buffet, Inc. 7,200 46,584
Starrett (L.S.) Co. Class A 64,600 1,016,158
State Financial Services Corp.
Class A 67,000 1,904,140
*# Steel Dynamics, Inc. 989,988 25,343,693
Steel Technologies, Inc. 286,394 6,114,512
* SteelCloud Co. 5,900 14,632
* Steinway Musical Instruments, Inc. 122,500 4,165,000
* Stellent, Inc. 475,810 3,792,206
Stepan Co. 129,000 3,128,250
Stephan Co. 51,500 234,840
Stewart & Stevenson Services, Inc. 821,400 13,922,730
* Stewart Enterprises, Inc. 2,916,817 21,934,464
Stewart Information Services Corp. 484,500 16,545,675
* Stifel Financial Corp. 86,172 2,162,917
* Stillwater Mining Co. 1,300,380 19,700,757
* Stoneridge, Inc. 572,800 8,970,048
* StorageNetworks, Inc. Escrow Shares 362,800 9,832
Strategic Distribution, Inc. 65,178 846,662
* Stratos International, Inc. 207,023 1,177,961
* Stratus Properties, Inc. 94,450 1,180,625
Stride Rite Corp. 931,200 9,824,160
* Suburban Lodges of America, Inc.
Escrow Shares 241,100 0
* Summa Industries, Inc. 41,800 399,608
* SumTotal Systems, Inc. 11,597 74,801
* Sundance Homes, Inc. 40,500 223
* SunLink Health Systems, Inc. 65,400 340,080
*# Sunrise Senior Living, Inc. 614,400 22,142,976
Sunrise Telecom, Inc. 3,200 8,512
* Suntron Corp. 92,475 714,832
* Superior Consultant Holdings Corp. 3,900 24,336
*# Superior Telecom, Inc. 126,600 1,266
Superior Uniform Group, Inc. 136,600 2,253,900
Supreme Industries, Inc. 56,610 382,118
* Swift Energy Corp. 801,005 16,180,301
SWS Group, Inc. 267,400 4,310,488
* Sycamore Networks, Inc. 1,218,728 5,374,590
* Sykes Enterprises, Inc. 394,767 2,471,241
* Sylvan, Inc. 99,900 1,203,795
* Symmetricom, Inc. 568,141 4,488,314
* Syms Corp. 343,900 2,799,346
* Synalloy Corp. 88,350 823,422
Sypris Solutions, Inc. 24,608 467,552
* Systemax, Inc. 438,200 2,716,840
* T-3 Energy Services, Inc. 880 5,786
</Table>
18
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Taitron Components, Inc. 6,500 $ 16,835
Tandy Brand Accessories, Inc. 63,700 856,128
* Tarrant Apparel Group 287,100 542,619
Tasty Baking Co. 195,200 1,840,736
TB Woods Corp. 92,900 710,685
* TBA Entertainment Corp. 132,500 87,450
* TEAM America, Inc. 2,500 0
* TeamStaff, Inc. 86,000 196,080
* Technical Communications Corp. 6,300 26,775
* Technology Solutions Corp. 64,000 69,120
* TechTeam Global, Inc. 240,500 1,847,281
Tecumseh Products Co. Class A 403,282 14,969,828
Tecumseh Products Co. Class B 15,600 592,628
* Tegal Corp. 66,300 110,058
* Teletech Holdings, Inc. 95,924 721,348
* Tenneco Automotive, Inc. 490,920 6,269,048
* Terayon Communication Systems, Inc. 121,300 333,575
* Terex Corp. 950,513 28,030,628
* Terra Industries, Inc. 2,100,600 9,725,778
* Tesoro Petroleum Corp. 1,821,900 43,397,658
# Texas Industries, Inc. 613,957 22,624,315
TF Financial Corp. 36,200 1,076,407
* The Banc Corp. 80,438 550,196
* The Dress Barn, Inc. 238,485 4,175,872
* The Hallwood Group, Inc. 100 4,685
The Marcus Corp. 558,400 9,046,080
# The Phoenix Companies, Inc. 709,700 8,310,587
* The Rowe Companies 9,400 42,770
* Theragenics Corp. 777,300 3,319,071
* TheStreet.com, Inc. 264,000 992,640
* Third Wave Technologies 166,200 806,070
# Thomas & Betts Corp. 65,200 1,594,792
*# THQ, Inc. 51,285 1,081,601
* Three-Five Systems, Inc. 617,500 3,309,800
* TIBCO Software, Inc. 3,000 24,900
*# Tickets.com, Inc. 14,500 6,888
* TII Network Technologies, Inc. 98,200 137,480
Timberland Bancorp, Inc. 56,400 1,252,080
* Timco Aviation Services, Inc. 11,922 4,769
* Time Warner Telecom, Inc. 110,837 472,166
* Tipperary Corp. 126,900 414,963
Titan International, Inc. 260,900 2,778,585
* Titan Pharmaceuticals, Inc. 264,698 873,503
* Titanium Metals Corp. 57,930 5,228,183
* TL Administration Corp. 1,700 51
* TLC Vision Corp. 4,152 43,139
Todd Shipyards Corp. 81,650 1,437,040
* Todhunter International, Inc. 73,100 1,023,400
* Torch Offshore, Inc. 276,800 730,752
*# Tower Automotive, Inc. 1,662,950 6,169,545
# Traffix, Inc. 268,800 1,865,472
* Trailer Bridge, Inc. 111,200 617,160
* Trammell Crow Co. 208,400 2,648,764
* Trans World Entertainment Corp. 1,024,728 10,226,785
* Transcat, Inc. 60,000 189,540
* Transgenomic, Inc. 41,488 64,306
* Transkaryotic Therapies, Inc. 307,631 4,436,039
Trans-Lux Corp. 2,746 19,085
* Transmeta Corp. 59,900 130,582
* Transmontaigne Oil Co. 535,124 $ 3,114,422
* Transport Corp. of America 20,000 144,000
* Transpro, Inc. 191,600 1,135,230
* Transtechnology Corp. 97,300 671,370
Tredegar Industries, Inc. 799,800 11,557,110
*# Trenwick Group, Ltd. 199,776 1,798
*# Trestle Holdings Inc. 5,240 13,100
* Triad Guaranty, Inc. 49,659 2,853,406
*# Trico Marine Services, Inc. 691,930 159,144
Trinity Industries, Inc. 1,133,800 32,438,018
* TriPath Imaging, Inc. 34,587 317,509
* Tripos, Inc. 7,200 40,248
* Triquint Semiconductor, Inc. 635,770 3,547,597
* Triumph Group 414,317 13,179,424
* TriZetto Group, Inc. 825,529 5,390,704
* TRM Corp. 76,916 1,066,825
* Trover Solutions, Inc. 123,200 837,760
* Trump Hotels & Casino Resorts, Inc. 470,500 926,885
* Tumbleweed Communications Corp. 37,100 184,758
* Turnstone Systems, Inc. 243 35
* Tut Systems, Inc. 13,500 41,715
* Tweeter Home Entertainment Group, Inc. 700,609 4,666,056
Twin Disc, Inc. 37,400 822,800
* U.S. Concrete, Inc. 436,841 3,049,150
*# U.S. Diagnostic, Inc. 20,800 2
* U.S. Xpress Enterprises, Inc. Class A 163,490 2,117,196
* UICI 1,339,300 26,625,284
* Ulticom, Inc. 210,762 1,981,163
UMB Financial Corp. 468,705 23,833,649
*# Unapix Entertainment, Inc. 9,300 38
* Unico American Corp. 72,700 428,276
* Unifi, Inc. 1,432,366 3,337,413
Unifirst Corp. 240,600 6,255,600
* Uni-Marts, Inc. 103,200 226,008
Union Bankshares Corp. 3,460 103,647
* Uniroyal Technology Corp. 3,700 4
* United American Healthcare Corp., 17,950 82,067
United Auto Group, Inc. 1,024,300 29,632,999
United Community Financial Corp. 693,870 8,402,766
United Fire & Casualty Co. 44,450 2,460,308
* United Rentals, Inc. 1,155,200 19,753,920
* United Retail Group, Inc. 276,701 760,928
* United Road Services, Inc. 5,380 619
* Universal Access Global Holdings, Inc. 250 273
* Universal American Financial Corp. 149,185 1,633,576
* Universal Compression Holdings, Inc. 760,484 22,502,722
Universal Forest Products, Inc. 95,043 2,752,445
* Universal Stainless & Alloy Products, Inc. 118,900 1,287,806
Unizan Financial Corp. 33,731 869,585
* Unova, Inc. 369,100 6,403,885
* Urologix, Inc. 107,200 1,506,160
* URS Corp. 969,296 24,406,873
*# US Energy Corp. 25,700 60,138
* US Oncology, Inc. 2,126,850 31,179,621
* USA Truck, Inc. 71,600 831,276
Usec, Inc. 2,287,102 17,908,009
USF Corp. 751,987 21,619,626
</Table>
19
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*# V.I. Technologies, Inc. 100 $ 105
* Vail Resorts, Inc. 729,023 10,898,894
*# Valence Technology, Inc. 4,800 18,768
Valhi, Inc. 215,652 2,393,737
* Valley National Gases, Inc. 13,800 137,310
* Valpey Fisher Corp. 10,350 34,569
* ValueClick, Inc. 221,500 2,423,210
* Valuevision Media, Inc. Class A 9,000 108,000
* Vans, Inc. 517,446 10,561,073
* Variflex, Inc. 68,100 456,270
* Vastera, Inc. 706,795 2,438,443
* Verilink Corp. 110,800 498,600
* Veritas DGC, Inc. 982,300 18,801,222
* Verso Technologies, Inc. 322,228 510,731
* Verticalbuyer Inc. 7,773 58
Vesta Insurance Group, Inc. 973,600 5,792,920
* Vical, Inc. 397,433 2,189,856
* Vicon Industries, Inc. 71,500 376,805
* Vicor Corp. 118,811 1,651,473
*# Viewpoint Corp. 1,400 3,878
* Vignette Corp. 927,600 1,530,540
Vintage Petroleum, Inc. 1,734,335 27,038,283
Virco Manufacturing Corp. 60,786 416,384
Visteon Corp. 2,361,765 25,884,944
* Visual Networks, Inc. 26,900 86,618
*# Vitech America, Inc. 700 3
* Volt Information Sciences, Inc. 406,700 10,452,190
Vulcan International Corp. 11,200 486,080
* Vyyo, Inc. 124,414 913,199
Walter Industries, Inc. 225,100 2,865,523
*# Warnaco Group, Inc. 40,400 40
Washington Savings Bank FSB 37,650 391,184
Waste Industries USA, Inc. 238,100 2,690,530
* WatchGuard Technologoes, Inc. 901,333 5,867,678
* Water Pik Technologies, Inc. 106,700 1,780,823
* Waterlink, Inc. 248,300 211
Watsco, Inc. Class A 314,800 8,238,316
Watts Water Technologies, Inc. 294,900 7,157,223
Wausau-Mosinee Paper Corp. 1,342,899 20,425,494
Waypoint Financial Corp. 1,094 29,976
* Webb Interactive Services, Inc. 4,200 2,646
* Webco Industries, Inc. 93,900 460,580
* Weider Nutrition International, Inc. 166,500 772,560
Weis Markets, Inc. 13,700 467,855
Wellco Enterprises, Inc. 4,600 87,860
Wellman, Inc. 861,000 6,844,950
* Wells-Gardner Electronics Corp. 61,241 287,220
* Westaff, Inc. 192,900 501,540
Westbank Corp. 1,543 29,055
* Westcoast Hospitality Corp. 290,000 1,673,300
Western Ohio Financial Corp. 23,400 775,710
* Western Power & Equipment Corp. 4,091 1,493
* Whitehall Jewelers, Inc. 278,900 2,233,989
*# WHX Corp. 114,633 185,705
* Wickes, Inc. 49,400 6,175
* Williams Industries, Inc. 3,400 11,951
* Willis Lease Finance Corp. 132,900 1,096,425
* Wilshire Financial Services Group, Inc. 2,092 18,807
* Wilshire Oil Co. of Texas 113,590 569,086
* Wilsons The Leather Experts, Inc. 458,814 $ 1,537,027
* Wind River Systems, Inc. 240,920 2,479,067
* Wireless WebConnect!, Inc. 4,500 12
* Wiser Oil Co. 174,475 1,844,201
* Wolverine Tube, Inc. 357,900 4,072,902
Woodward Governor Co. 20,966 1,393,191
* Worldwide Restaurant Concepts, Inc. 698,105 2,331,671
* Xanser Corp. 259,400 656,282
* Xeta Corp. 8,500 43,342
* Zapata Corp. 31,610 2,149,480
Ziegler Co., Inc. 8,200 131,200
*# Zoltek Companies, Inc. 311,248 2,265,885
* Zomax, Inc. 514,346 1,959,658
* Zones, Inc. 173,400 468,180
* Zoran Corp. 236,686 4,158,573
* Zygo Corp. 344,643 3,653,216
* Zymetx, Inc. 16,400 861
---------------
TOTAL COMMON STOCKS
(Cost $4,106,733,520) 5,075,931,230
---------------
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 23
* Chiquita Brands International, Inc.
Warrants 03/19/09 142,110 670,759
* CSF Holding, Inc. Litigation Rights 40,500 0
* Danielson Holding Corp. Rights
06/09/04 73,400 0
* Del Global Technologies Corp.
Warrants 03/28/08 19,927 11,956
* Imperial Credit Industries, Inc.
Warrants 01/31/08 4,082 0
* Imperial Sugar Co. Warrants
08/29/08 9,694 19,582
* Lodgian, Inc. Class A Warrants
11/25/07 3,433 721
* Lodgian, Inc. Class B Warrants
11/25/09 10,609 2,440
* Magnum Hunter Resources Warrants
03/21/05 9,740 5,844
* 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) 711,433
---------------
<Caption>
FACE
AMOUNT
------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp. $ 40 0
* Timco Aviation Services, Inc. 6 1
---------------
TOTAL BONDS
(Cost $0) 1
---------------
</Table>
20
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
TEMPORARY CASH INVESTMENTS -- (7.3%)
Repurchase Agreement, PNC Capital Markets, Inc.
0.89%, 06/01/04 (Collateralized by $68,597,000
FNMA Notes 1.50%, 09/21/05, valued at
$68,168,269) to be repurchased at $67,166,641
(Cost $67,160,000) $ 67,160 $ 67,160,000
---------------
Repurchase Agreement, Merrill Lynch Triparty Repo
0.96%, 06/01/04 (Collateralized by $339,773,000
U.S. Treasury Obligations rates ranging from
1.875% to 2.125%, maturities ranging from
10/31/04 to 11/30/05, valued at $341,544,253)
to be repurchased at $334,880,442
(Cost $334,844,725)^ 334,845 334,844,725
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $402,004,725) 402,004,725
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,514,845,420)++ $ 5,478,647,389
===============
</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 $4,517,161,119.
See accompanying Notes to Financial Statements.
21
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $314,398 of securities on loan) $ 5,478,647
Cash 1
Receivables:
Investment Securities Sold 27,863
Dividends and Interest 2,678
Fund Shares Sold 1,631
Securities Lending Income 201
Prepaid Expenses and Other Assets 24
-------------
Total Assets 5,511,045
-------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 334,845
Investment Securities Purchased 10,104
Due to Advisor 842
Accrued Expenses and Other Liabilities 329
-------------
Total Liabilities 346,120
-------------
NET ASSETS $ 5,164,925
=============
SHARES OUTSTANDING, $.01 PAR VALUE
(Unlimited number of shares authorized) 251,552,029
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 20.53
=============
Investments at Cost $ 4,514,845
=============
NET ASSETS CONSIST OF:
Paid-in Capital $ 3,902,587
Accumulated Net Investment Income (Loss) 8,703
Accumulated Net Realized Gain (Loss) 289,832
Unrealized Appreciation (Depreciation) from Investment Securities 963,803
-------------
Total Net Assets $ 5,164,925
=============
</Table>
See accompanying Notes to Financial Statements.
22
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends $ 17,596
Interest 345
Income from Securities Lending 1,274
------------
Total Investment Income 19,215
------------
EXPENSES
Investment Advisory Services 5,027
Accounting & Transfer Agent Fees 761
Custodian Fees 239
Legal Fees 15
Audit Fees 33
Shareholders' Reports 44
Trustees' Fees and Expenses 32
Other 43
------------
Total Expenses 6,194
------------
NET INVESTMENT INCOME (LOSS) 13,021
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold 292,493
Change in Unrealized Appreciation (Depreciation) of Investment Securities 142,085
------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 434,578
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 447,599
============
</Table>
See accompanying Notes to Financial Statements.
23
<Page>
STATEMENT OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 13,021 $ 25,250
Net Realized Gain (Loss) on Investment Securities Sold 292,493 354,502
Change in Unrealized Appreciation (Depreciation) of Investment Securities 142,085 1,007,496
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 447,599 1,387,248
------------ ------------
Distributions From:
Net Investment Income (5,150) (26,137)
Net Short-Term Gains (55,750) --
Net Long-Term Gains (300,806) (230,313)
------------ ------------
Total Distributions (361,706) (256,450)
------------ ------------
Capital Share Transactions (1):
Shares Issued 454,172 469,039
Shares Issued in Lieu of Cash Distributions 353,472 252,312
Shares Redeemed (246,666) (482,875)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 560,978 238,476
------------ ------------
Total Increase (Decrease) 646,871 1,369,274
NET ASSETS
Beginning of Period 4,518,054 3,148,780
------------ ------------
End of Period $ 5,164,925 $ 4,518,054
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 21,849 29,244
Shares Issued in Lieu of Cash Distributions 18,258 17,959
Shares Redeemed (12,181) (32,884)
------------ ------------
27,926 14,319
============ ============
</Table>
See accompanying Notes to Financial Statements.
24
<Page>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
------------ ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 20.20 $ 15.04 $ 16.54 $ 16.47 $ 17.16 $ 17.26
------------ ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.05 0.12 0.11 0.15 0.16 0.14
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.89 6.29 0.11 3.15 0.97 1.38
------------ ----------- ----------- ----------- ----------- -----------
Total from Investment Operations 1.94 6.41 0.22 3.30 1.13 1.52
------------ ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income (0.02) (0.12) (0.11) (0.15) (0.16) (0.14)
Net Realized Gains (1.59) (1.13) (1.61) (3.08) (1.66) (1.48)
------------ ----------- ----------- ----------- ----------- -----------
Total Distributions (1.61) (1.25) (1.72) (3.23) (1.82) (1.62)
------------ ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 20.53 $ 20.20 $ 15.04 $ 16.54 $ 16.47 $ 17.16
============ =========== =========== =========== =========== ===========
Total Return 10.12%# 46.31% 1.05% 23.86% 7.29% 9.78%
Net Assets, End of Period (thousands) $ 5,164,925 $ 4,518,054 $ 3,148,780 $ 3,039,884 $ 2,711,041 $ 2,692,473
Ratio of Expenses to Average Net Assets 0.25%* 0.25% 0.25% 0.25% 0.25% 0.26%
Ratio of Net Investment Income to Average
Net Assets 0.52%* 0.75% 0.70% 0.86% 0.92% 0.83%
Portfolio Turnover Rate 13%# 35% 30% 13% 32% 29%
</Table>
- ----------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
25
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The U.S. Small Cap Value Series
(the "Series") is 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. 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. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values securities at the mean between the quoted bid and asked prices.
Price information on listed securities is taken from the exchange where the
security is primarily traded. Unlisted securities for which market quotations
are readily available are valued at the mean between the most recent bid and
asked prices. Securities for which quotations are not readily available, or for
which market quotations have become unreliable, are valued in good faith at fair
value using methods approved by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At May 31, 2004, the total liability for deferred compensation to
Trustees is included in Accrured Expenses and Other Liabilities in the amount of
$70,642.
3. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 28, 2004.
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
26
<Page>
premium on securities purchased are amortized over the lives of the respective
securities utilizing the effective interest method. Expenses directly
attributable to a Series are directly charged. Common expenses of the Trust or
Series are allocated using methods approved by the Board of Trustees, generally
based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2004, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of average daily net
assets.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Series made the following
purchases and sales of investment securities other than short-term securites
(amounts in thousands):
<Table>
Purchases $ 849,864
Sales 662,772
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2004.
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Trust intends
to continue to qualify as a regulated investment company under Subchapter M of
the Internal Revenue Code and distribute substantially all of its taxable income
and capital gains to shareholders. Because income tax regulations differ from
accounting principles generally accepted in the United States of America, the
timing and character of income and capital gain distributions determined in
accordance with tax regulations can differ from income and capital gains
recognized for financial reporting purposes. Accordingly, the character of
distributions and the composition of net assets for tax purposes can differ from
those reflected in the financial statements. These book/tax differences may be
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid in capital, accumulated net realized gain
(loss) or undistributed net investment income as appropriate, in the period the
differences arise. These reclassifications have no effect on net assets or net
asset value per share.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Statement of Assets and Liabilities.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities and foreign currencies was as
follows (amounts in thousands):
<Table>
Gross Unrealized Appreciation $ 1,349,700
Gross Unrealized Depreciation (388,214)
-----------
Net $ 961,486
===========
</Table>
F. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each series is individually, and not jointly liable
for its particular advances under the line of credit. There is no commitment fee
on the unused portion of the line of credit, since this is not a committed
facility. The agreement for the discretionary line of credit may be terminated
at any time. There were no borrowings by the Series under the line of credit
during the six months ended May 31, 2004.
27
<Page>
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee
on the unused line of credit. The agreement for the line of credit expires in
April 2005. There were no borrowings by the Series under the line of credit for
the six months ended May 31, 2004.
G. SECURITIES LENDING
As of May 31, 2004, the Series' had securities on loan to brokers/dealers,
for which the Series held cash collateral. The Series invests the cash
collateral, as described below, and records a liability for the return of the
collateral, during the period the securities are on loan. Loans of securities
are required at all times to be secured by collateral at least equal to 100% of
the market value of the securities on loan. However, in the event of default or
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not the result of investment losses,
PNCBank, National Association, the lending agent, has agreed to pay the amount
of the shortfall to the portfolio or, at the option of the lending agent, to
replace the securities.
Cash collateral of each Portfolio received from securities on loan is
invested along with cash collateral from the other Portfolios of the Series in
repurchase agreements collateralized by U.S. government securities. These
investments are accounted for separately for each portfolio. Securities pledged
as collateral for the repurchase agreements are held by a custodian bank until
the agreements mature.
28
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the non-Feeder Portfolios
and Master Funds use in voting proxies relating to securities held in their
portfolio's is available without charge, upon request, by calling collect:
(310) 395-8005. Information regarding how the Advisor votes these proxies will
become available from the EDGAR database on the SEC's website at
http://www.sec.gov no later than August 31, 2004 when the Funds file their first
report on Form N-PX and will reflect the twelve-month period beginning
July 1, 2003 and ending June 30, 2004.
29
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA U.S. SMALL CAP INSTITUTIONAL PORTFOLIO
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2004
(UNAUDITED)
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA U.S. SMALL CAP INSTITUTIONAL PORTFOLIO
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities 1
Statement of Operations 2
Statements of Changes in Net Assets 3
Financial Highlights 4
Notes to Financial Statements 5
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. SMALL CAP SERIES
Schedule of Investments 8
Statement of Assets and Liabilities 36
Statement of Operations 37
Statements of Changes in Net Assets 38
Financial Highlights 39
Notes to Financial Statements 40
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 43
</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>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA U.S. SMALL CAP INSTITUTIONAL PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The U.S. Small Cap Series of The DFA Investment Trust Company
(5,733,029 Shares, Cost $57,813)++ at Value)+ $ 83,301
------------
Total Assets 83,301
------------
LIABILITIES:
Payable to Advisor
Accrued Expenses and Other Liabilities 22
------------
Total Liabilities 27
------------
NET ASSETS $ 83,274
============
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000) 6,454,175
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 12.90
============
NET ASSETS CONSIST OF:
Paid-in Capital $ 47,249
Accumulated Net Investment Income (Loss) (53)
Accumulated Net Realized Gain (Loss) 10,590
Unrealized Appreciation (Depreciation) from Investment Securities 25,488
------------
Total Net Assets $ 83,274
============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $79,917.
See accompanying Notes to Financial Statements.
1
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA U.S. SMALL CAP INSTITUTIONAL PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 329
------------
EXPENSES
Administrative Services 41
Accounting & Transfer Agent Fees 1
Legal Fees 5
Audit Fees 1
Filing Fees 1
Shareholders' Reports 15
Directors' Fees and Expenses 1
Other 1
------------
Total Expenses 66
------------
NET INVESTMENT INCOME (LOSS) 263
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Capital Gain Distributions Received from The DFA Investment Trust Company 99
Net Realized Gain (Loss) on Investment Securities Sold 35,487
Change in Unrealized Appreciation (Depreciation) of Investment Securities (27,684)
------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 7,902
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 8,165
============
</Table>
See accompanying Notes to Financial Statements.
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA U.S. SMALL CAP INSTITUTIONAL PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 263 $ 1,290
Capital Gain Distributions Received from The DFA Investment Trust Company 99 --
Net Realized Gain (Loss) on Investment Securities Sold 35,487 (8,677)
Change in Unrealized Appreciation (Depreciation) of Investment Securities (27,684) 67,860
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 8,165 60,473
------------ ------------
Distributions From:
Net Investment Income (1,395) (1,236)
Net Short-Term Gains (99) --
Net Long-Term Gains -- (68)
------------ ------------
Total Distributions (1,494) (1,304)
------------ ------------
Capital Share Transactions (1):
Shares Issued 6,211 135,719
Shares Issued in Lieu of Cash Distributions 1,494 1,304
Shares Redeemed (160,251) (117,712)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions (152,546) 19,311
------------ ------------
Total Increase (Decrease) (145,875) 78,480
NET ASSETS
Beginning of Period 229,149 150,669
------------ ------------
End of Period $ 83,274 $ 229,149
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 507 12,840
Shares Issued in Lieu of Cash Distributions 121 153
Shares Redeemed (12,733) (11,388)
------------ ------------
(12,105) 1,605
============ ============
</Table>
See accompanying Notes to Financial Statements.
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA U.S. SMALL CAP INSTITUTIONAL PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
------------ ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 12.35 $ 8.89 $ 10.91 $ 10.87 $ 11.13 $ 9.80
------------ ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.02 0.07 0.07 0.09 0.08 0.08
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.61 3.46 (0.85) 1.20 0.60 1.66
------------ ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations 0.63 3.53 (0.78) 1.29 0.68 1.74
------------ ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.07) (0.08) (0.09) (0.08) (0.08)
Net Realized Gains -- -- (1.16) (1.16) (0.86) (0.33)
------------ ---------- ---------- ---------- ---------- ----------
Total Distributions (0.08) (0.07) (1.24) (1.25) (0.94) (0.41)
------------ ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period $ 12.90 $ 12.35 $ 8.89 $ 10.91 $ 10.87 $ 11.13
============ ========== ========== ========== ========== ==========
Total Return 5.14%# 40.17% (8.50)% 13.02% 6.38% 18.47%
Net Assets, End of Period
(thousands) $ 83,274 $ 229,149 $ 150,669 $ 169,276 $ 150,975 $ 135,107
Ratio of Expenses to Average Net
Assets (1) 0.19%* 0.18% 0.18% 0.17% 0.18% 0.20%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses) (1) 0.19%* 0.18% 0.18% 0.17% 0.18% 0.21%
Ratio of Net Investment Income to
Average Net Assets 0.46%* 0.77% 0.78% 0.84% 0.67% 0.89%
Ratio of Net Investment Income to
Average Net Assets (excluding
waivers and assumption of
expenses) 0.46%* 0.77% 0.78% 0.84% 0.67% 0.88%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series 7%# 16% 34% 13% 38% 29%
</Table>
- ----------
* Annualized
# Non-annualized
(1) 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.
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twenty-five portfolios, of
which The DFA U.S. Small Cap Institutional Portfolio (the "Portfolio") is
presented in this report.
The Portfolio invests all of its assets in The U.S. Small Cap Series (the
"Series", or the "Master Fund"), a corresponding series of The DFA Investment
Trust Company. At May 31, 2004, the Portfolio owned 5% of the outstanding shares
of the Series. The financial statement 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. 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 May 31, 2004, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities in the amount of
$1,726.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio or to the Series are directly charged.
Common expenses of the Fund or Portfolios are allocated using methods approved
by the Board of Directors, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For
5
<Page>
the six months ended May 31, 2004, the Portfolio's administrative fees were
accrued daily and paid monthly to the Advisor based on an effective annual rate
of 0.07 of 1% of average daily net assets.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
The Advisor has agreed to waive its administration fee and to assume the
Portfolio's direct and indirect expenses (including the expenses the Portfolio
bears as a shareholder of the Master Fund) to the extent necessary to limit the
expenses of the Portfolio to 0.20% of its average net assets on an annualized
basis. At any time that the total direct and indirect expenses of the Portfolio
are less than 0.20% 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 annualized expenses to exceed 0.20% of its average net
assets. The Portfolio is not obligated to reimburse the Advisor for fees waived
or expenses assumed by the Advisor more than thirty-six months prior to the date
of such reimbursement. The expense waiver shall remain in effect for a period of
one year from April 1, 2004 to April 1, 2005 and shall continue in effect from
year to year thereafter unless terminated by the Fund or the Advisor. At May 31,
2004, there are no previously waived fees subject to future reimbursement to the
Advisor.
D. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Fund intends to
continue to qualify as a regulated investment company under Subchapter M of the
Internal Revenue Code and distribute substantially all of its taxable income and
capital gains to shareholders. Because income tax regulations differ from
accounting principles generally accepted in the United States of America, the
timing and character of income and capital gain distributions determined in
accordance with tax regulations can differ from income and capital gains
recognized for financial reporting purposes. Accordingly, the character of
distributions and the composition of net assets for tax purposes can differ from
those reflected in the financial statements. These book/tax differences may be
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid in capital, accumulated net realized gain
(loss) or undistributed net investment income as appropriate, in the period the
differences arise. These reclassifications have no effect on net assets or net
asset value per share.
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Statement of Assets and Liabilities.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
Gross Unrealized Appreciation $ 25,488
Gross Unrealized Depreciation (22,104)
----------
Net $ 3,384
==========
</Table>
For federal income tax purposes, the Portfolio measures its capital loss
carryforwards annually at November 30, its fiscal year end. As of November 30,
2003, the Series had a capital loss carryforward for federal income tax purposes
of approximately $285,000, which will expire on November 30, 2011.
E. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million. Borrowings under
the line are charged interest at the then current federal funds rate plus 1%.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit, since this is
6
<Page>
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 Portfolio during the six months ended May 31, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings by the Portfolio under the line of credit with
the international custodian bank during the six months ended May 31, 2004.
7
<Page>
THE U.S. SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (92.0%)
* 1-800 CONTACTS, Inc. 23,636 $ 347,449
* 1-800-FLOWERS.COM, Inc. 47,097 451,660
1st Source Corp. 34,441 781,811
# 21st Century Holding Co. 1,100 21,461
21st Century Insurance Group 76,800 1,005,312
* 24/7 Real Media, Inc. 3,180 18,476
* 3-D Systems Corp. 22,000 265,958
* 4Kids Entertainment, Inc. 23,500 508,775
* 7-Eleven, Inc. 16,600 285,022
*# 8X8, Inc. 19,200 50,880
* 99 Cents Only Stores 5,500 106,755
* @Road, Inc. 94,700 841,883
* A. B. Watley Group, Inc. 9,400 1,880
* A.C. Moore Arts & Crafts, Inc. 34,900 924,850
* A.D.A.M., Inc. 700 1,470
*# aaiPharma, Inc. 47,250 217,822
* Aames Financial Corp. 240 706
* AAON, Inc. 13,100 250,996
* AAR Corp. 58,083 556,435
Aaron Rents, Inc. Class A 5,700 151,050
Aaron Rents, Inc. Class B 21,600 642,600
* Abaxis, Inc. 18,300 341,661
ABC Bancorp 8,310 163,458
* Abgenix, Inc. 150,134 2,270,026
*# Abiomed, Inc. 38,270 472,634
* Able Laboratories, Inc. 30,200 561,720
* Ablest, Inc. 2,100 11,130
ABM Industries, Inc. 87,600 1,666,152
Abrams Industries, Inc. 200 840
* ABX Air, Inc. 66,600 299,700
* Acacia Research-Acacia
Technologies Common Stock 20,960 129,952
* Acacia Research-CombiMatrix Corp. 10,434 41,214
* Accelrys, Inc. 52,900 528,471
* Access Pharmaceuticals, Inc. 26,300 147,543
*# Acclaim Entertainment, Inc. 55,700 23,450
* Accredo Health, Inc. 44,343 1,613,198
* Ace Cash Express, Inc. 23,042 548,400
* Ace Comm Corp. 7,500 18,300
Aceto Corp. 28,550 458,798
* Aclara Biosciences, Inc. 60,171 228,650
* Acme Communications, Inc. 28,600 221,364
* Acme United Corp. 3,400 23,800
* ACT Manufacturing, Inc. 4,600 25
* ACT Teleconferencing, Inc. 25,700 66,075
* Actel Corp. 46,200 922,152
* Acterna Corp. 122,100 3,052
Action Performance Companies, Inc. 33,000 499,950
* ActivCard Corp. 74,043 473,135
* Active Power, Inc. 76,200 266,700
* Activision, Inc. 97,214 1,537,925
* Actuant Corp. 42,480 1,454,090
* Actuate Corp. 110,500 413,270
Acuity Brands, Inc. 27,700 683,082
Adams Resources & Energy, Inc. 4,200 58,380
* Adaptec, Inc. 187,800 $ 1,538,082
*# Addvantage Technologies Group, Inc. 1,700 9,222
* ADE Corp. 13,300 279,300
* Adept Technology, Inc. 7,000 6,650
* Administaff, Inc. 47,800 790,612
* Adolor Corp. 69,800 974,408
* Advanced Digital Information Corp. 115,500 1,033,725
* Advanced Energy Industries, Inc. 55,300 847,749
* Advanced Magnetics, Inc. 12,300 120,663
Advanced Marketing Services, Inc. 32,350 358,114
* Advanced Materials Group, Inc. 237 115
* Advanced Medical Optics, Inc. 52,400 1,839,240
* Advanced Neuromodulation
Systems, Inc. 33,200 1,083,316
* Advanced Nutraceuticals, Inc. 700 3,150
*# Advanced Photonix, Inc. Class A 9,000 21,240
* Advanced Power Technology, Inc. 18,195 240,356
Advanta Corp. Class A 18,317 296,003
Advanta Corp. Class B Non-Voting 30,994 491,565
* Advent Software, Inc. 59,400 1,123,848
Advo, Inc. 53,850 1,724,277
* Aehr Test Systems 7,100 28,400
* AEP Industries, Inc. 13,000 138,437
* AeroCentury Corp. 300 771
* Aeroflex, Inc. 133,450 1,702,822
* Aeropostale, Inc. 102,250 2,688,152
* Aerosonic Corp. 3,900 27,300
* Aether Systems, Inc. 74,742 254,870
* Aetrium, Inc. 9,300 85,374
* AFC Enterprises, Inc. 39,800 805,950
*# Affiliated Managers Group, Inc. 39,150 1,908,562
* Affinity Technology Group, Inc. 29,100 2,386
* Aftermarket Technology Corp. 41,150 602,436
* Agile Software Corp. 89,900 719,200
*# Agility Capital, Inc. 5,900 38
Agilysys, Inc. 57,788 711,370
* Air Methods Corp. 19,470 154,592
Airgas, Inc. 62,500 1,361,250
* Airnet Systems, Inc. 17,400 74,472
* Airspan Networks, Inc. 62,500 346,875
* Airtran Holdings, Inc. 151,400 2,107,488
* AK Steel Holding Corp. 195,400 894,932
*# Akamai Technologies, Inc. 165,213 2,455,065
*# Akorn, Inc. 19,500 64,350
*# Aksys, Ltd. 53,000 322,240
Alabama National Bancorporation 27,689 1,421,553
Alamo Group, Inc. 12,500 195,625
* Alaris Medical, Inc. 114,300 2,540,889
* Alaska Air Group, Inc. 48,200 992,920
* Alaska Communications Systems
Group, Inc. 22,200 143,190
Albany International Corp. Class A 50,272 1,532,793
* Albany Molecular Research, Inc. 56,978 720,202
Albemarle Corp. 74,581 2,146,441
* Alcide Corp. 2,300 47,288
* Alderwoods Group, Inc. 6,000 77,460
</Table>
8
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Aldila, Inc. 4,633 $ 70,468
Alexander & Baldwin, Inc. 58,000 1,848,460
* Alexion Pharmaceuticals, Inc. 39,500 791,975
Alfa Corp. 144,161 1,967,798
Alico, Inc. 7,000 247,100
* Align Technology, Inc. 106,612 2,032,025
* Alkermes, Inc. 157,411 2,266,718
* All American Semiconductor, Inc. 4,000 36,440
*# Allegheny Energy, Inc. 151,400 2,157,450
Allegheny Technologies, Inc. 145,700 1,749,857
Allen Organ Co. Class B 800 40,000
* Alliance Gaming Corp. 90,860 1,971,662
* Alliance Imaging, Inc. 86,400 331,776
* Alliance Semiconductor Corp. 62,500 373,125
* Allied Defense Group, Inc. 12,400 217,496
* Allied Healthcare International, Inc. 36,000 181,080
* Allied Healthcare Products, Inc. 6,700 36,381
* Allied Holdings, Inc. 8,300 42,330
* Allied Motion Technologies, Inc. 2,900 14,993
* Allmerica Financial Corp. 40,600 1,305,290
*# Allos Therapeutics, Inc. 55,700 103,045
* Allou Health Care, Inc. Class A 7,100 1
* Alloy, Inc. 71,200 356,712
* Allscripts Healthcare Solutions, Inc. 66,000 543,774
* Almost Family, Inc. 1,600 12,648
* Alpha Technologies Group, Inc. 7,100 9,940
Alpharma, Inc. Class A 70,700 1,384,306
* Alpine Group, Inc. 13,500 27,567
* Alteon, Inc. 61,700 80,210
*# Alterra Healthcare Corp. 4,900 0
* Altiris, Inc. 47,200 1,262,600
Ambassadors Group, Inc. 9,800 201,782
Ambassadors, Inc. 9,800 125,734
* AMC Entertainment, Inc. 60,600 915,060
* Amcast Industrial Corp. 8,500 34,425
Amcol International Corp. 52,700 880,090
Amcore Financial, Inc. 45,460 1,321,522
* Amedisys, Inc. 20,993 523,146
* AMEN Properties, Inc. 1,975 4,916
* Amerco, Inc. 13,900 347,639
* America Services Group, Inc. 12,700 457,200
* America West Holdings Corp.
Class B 60,100 602,202
* American Banknote Corp. 88 25
American Biltrite, Inc. 3,400 33,150
* American Building Control, Inc. 14,000 26,180
*# American Business Financial
Services, Inc. 5,074 16,644
* American Claims Evaluation, Inc. 1,000 2,890
* American Dental Partners, Inc. 10,500 179,025
* American Eagle Outfitters, Inc. 40,860 1,183,306
* American Ecology Corp. 14,350 125,562
* American Greetings Corp. Class A 89,600 1,881,600
*# American Healthways, Inc. 57,800 1,187,790
* American Indemnity Financial Escrow 800 800
* American Independence Corp. 8,400 130,872
American Italian Pasta Co. 30,600 895,356
* American Locker Group, Inc. 300 3,396
* American Medical Electronics, Inc.
(Escrow-Bonus) 4,400 0
* American Medical Electronics, Inc.
(Escrow-Earnings) 4,400 $ 0
* American Medical Security Group,
Inc. 24,200 625,086
* American Medical Systems
Holdings, Inc. 59,500 1,864,135
American Pacific Corp. 7,100 51,830
* American Physicians Capital, Inc. 14,800 341,140
* American Physicians Services
Group, Inc. 100 980
* American Retirement Corp. 42,900 193,050
* American Science & Engineering,
Inc. 12,400 214,024
American Shared Hospital Services 5,100 28,968
American Software, Inc. Class A 32,300 206,397
American States Water Co. 27,450 642,330
* American Superconductor Corp. 49,300 619,208
* American Technical Ceramics Corp. 8,000 70,800
American Vanguard Corp. 621 23,846
* American West Bancorporation 3,552 63,652
American Woodmark Corp. 13,700 788,298
Americana Bancorp, Inc. 2,712 44,070
* America's Car-Mart, Inc. 12,900 380,550
* AMERIGROUP Corp. 44,300 1,868,131
* AmeriServe Financial, Inc. 24,000 138,000
Ameristar Casinos, Inc. 48,500 1,592,740
Ameron International Corp. 13,700 426,207
# AmerUs Group Co. 46,844 1,843,311
* Ames Department Stores, Inc. 12,800 22
Ametek, Inc. 400 10,804
* Amistar Corp. 1,600 3,608
* AML Communications, Inc. 7,800 11,310
* AMN Healthcare Services, Inc. 58,700 892,240
Ampco-Pittsburgh Corp. 9,600 124,512
* Ampex Corp. Class A 5,925 10,369
Amrep Corp. 6,500 111,670
* Amsurg Corp. 54,333 1,230,654
* Amtech Systems, Inc. 1,900 9,652
* AMX Corp. 11,000 109,890
* Anacomp, Inc. 0 12
* Anadigics, Inc. 54,600 269,178
* Analex Corp. 25,800 92,880
Analogic Corp. 24,500 1,130,185
* Analysts International Corp. 41,200 123,188
*# Analytical Surveys, Inc. 730 1,825
* Anaren, Inc. 36,800 585,856
Anchor Bancorp Wisconsin, Inc. 41,240 1,087,499
Andersons, Inc. 8,200 141,532
*# Andrew Corp. 3,409 66,987
* Angeion Corp. 215 318
Angelica Corp. 16,100 359,030
* Angelo & Maxie's, Inc. 2,016 2,157
* Anika Therapeutics, Inc. 9,900 139,600
Anixter International, Inc. 65,900 2,009,950
* Ansoft Corp. 22,500 334,350
* AnswerThink, Inc. 84,800 543,653
* Ansys, Inc. 27,600 1,189,008
* Anteon International Corp. 63,500 1,870,710
* Anthony and Sylvan Pools Corp. 3,768 15,826
*# Antigenics, Inc. 81,113 654,582
* AP Pharma, Inc. 37,123 123,248
</Table>
9
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* APA Optics, Inc. 11,800 $ 29,500
* APAC Teleservices, Inc. 106,450 237,383
* Aphton Corp. 63,639 287,012
Apogee Enterprises, Inc. 49,500 493,020
* Apogee Technology, Inc. 1,300 11,479
* Applica, Inc. 42,800 420,296
* Applied Extrusion Technologies, Inc. 22,600 23,730
* Applied Films Corp. 26,361 713,065
* Applied Imaging Corp. 15,800 18,486
Applied Industrial Technologies, Inc. 34,000 909,500
* Applied Innovation, Inc. 15,100 60,400
Applied Signal Technologies, Inc. 19,700 615,625
* Applix, Inc. 23,900 105,160
* Apria Healthcare Group, Inc. 54,100 1,519,128
* Apropos Technology, Inc. 30,400 123,424
Aptargroup, Inc. 38,500 1,565,025
* aQuantive, Inc. 108,925 1,095,785
* Aquila, Inc. 331,800 1,330,518
*# Aradigm Corp. 92,337 100,647
* Arch Capital Group, Ltd. 5,900 227,622
Arch Chemicals, Inc. 40,622 1,077,702
Arch Coal, Inc. 73,400 2,385,500
* Arch Wireless, Inc. 35,100 1,112,319
Arctic Cat, Inc. 26,830 618,431
*# Ardent Communications, Inc. 12,900 32
* Arena Pharmaceuticals, Inc. 45,878 268,845
* Argonaut Group, Inc. 46,301 804,711
* Argonaut Technologies, Inc. 12,000 19,560
* Argosy Gaming Corp. 52,900 1,881,124
* Ariad Pharmaceuticals, Inc. 92,800 996,672
*# Ariba, Inc. 532,400 1,160,632
* Ark Restaurants Corp. 2,700 59,670
Arkansas Best Corp. 44,900 1,337,571
* Arlington Hospitality, Inc. 4,900 16,660
* Armor Holdings, Inc. 51,400 1,922,360
*# Armstrong Holdings, Inc. 4,400 3,872
*# Arotech Corp 57,100 145,034
* Arqule, Inc. 51,674 299,709
* Array BioPharma, Inc. 51,415 487,414
# Arrhythmia Research Technology, Inc. 3,900 49,608
* Arris Group, Inc. 147,400 931,568
Arrow Financial Corp. 9,941 292,265
Arrow International, Inc. 73,300 2,211,461
* Art Technology Group, Inc. 100,500 137,685
Artesian Resources Corp. Class A 700 19,096
* Artesyn Technologies, Inc. 69,300 633,402
* Arthrocare Corp. 38,310 937,829
* Artisan Components, Inc. 40,500 1,025,865
* Artisoft, Inc 2,400 6,264
* Arts Way Manufacturing Co., Inc. 200 1,036
* ASA International. Ltd. 640 2,880
ASB Financial Corp. 1,000 23,000
* Asbury Automotive Group, Inc. 98,100 1,402,830
* Ascential Software Corp. 66,079 1,060,568
* Ashworth, Inc. 23,371 186,734
*# Ask Jeeves, Inc. 78,400 3,167,360
* Aspect Communications Corp. 105,200 1,350,768
* Aspect Medical Systems, Inc. 35,000 532,700
* Aspen Technology, Inc. 73,579 464,283
* Aspeon, Inc. 900 9
*# Astea International, Inc. 2,900 30,189
* Astec Industries, Inc. 35,500 $ 614,505
Astro-Med, Inc. 9,130 96,778
* Astronics Corp. 5,500 27,830
* Astronics Corp. Class B 2,225 10,680
*# AstroPower, Inc. 6,550 262
* ASV, Inc. 22,800 690,156
* Asyst Technologies, Inc. 84,500 864,435
*# ATA Holdings Corp. 21,179 134,487
* Atari, Inc. 209,809 583,269
* AtheroGenics, Inc. 66,600 1,564,434
* Atlantic American Corp. 21,100 62,667
* Atlantic Coast Airlines, Inc. 68,000 383,520
* Atlantic Premium Brands, Ltd. 2,000 2,600
* Atlantis Plastics, Inc. 4,400 67,980
* Atlas Air Worldwide Holdings, Inc. 11,000 572
* ATMI, Inc. 55,900 1,432,158
# Atmos Energy Corp. 93,300 2,312,907
* ATP Oil & Gas Corp. 53,900 319,088
Atrion Corp. 1,700 73,508
* Atrix Labs, Inc. 38,900 1,061,581
* ATS Medical, Inc. 2,200 10,340
* Atwood Oceanics, Inc. 24,900 991,518
* Audiovox Corp. Class A 34,300 477,456
* August Technology Corp. 31,800 427,710
* Ault, Inc. 4,500 13,410
* Aura Systems, Inc. 5,295 199
* Aurora Foods, Inc. 44 0
*# Authentidate Holding Corp. 50,900 641,340
* autobytel.com, Inc. 73,800 771,210
* Avalon Holding Corp. Class A 1,550 4,115
* Avanex Corp. 229,116 710,260
* Avanir Pharmaceuticals Class A 58,000 80,620
* Avant Immunotherapeutics, Inc. 133,134 323,516
* Avatar Holdings, Inc. 8,700 364,008
Avatech Solutions, Inc 1,851 1,481
* Avi Biopharma, Inc. 61,400 138,764
* Aviall, Inc. 57,700 1,001,672
* Avici Systems Inc. 21,343 225,382
*# Avid Technology, Inc. 45,100 2,346,102
* Avigen, Inc. 37,800 133,812
Avista Corp. 87,000 1,475,520
* Avocent Corp. 52,600 1,802,602
* Avteam, Inc. Class A 11,400 17
* Aware, Inc. 40,959 133,117
* Axcelis Technologies, Inc. 177,900 2,143,695
* Axonyx, Inc. 1,300 6,448
*# AXS-One, Inc. 50,400 149,184
* Axsys Technologies, Inc. 4,700 90,945
* AXT, Inc. 38,200 80,984
* Aztar Corp. 62,100 1,497,231
* AZZ, Inc. 8,200 122,180
Badger Meter, Inc. 3,200 134,464
* Badger Paper Mills, Inc. 1,000 5,135
Bairnco Corp. 7,300 59,130
* Baker (Michael) Corp. 7,600 109,060
Balchem Corp. 4,700 122,670
Baldor Electric Co. 59,233 1,371,836
Baldwin & Lyons, Inc. Class B 12,625 304,894
* Baldwin Technology, Inc. Class A 13,300 49,210
* Ballantyne Omaha, Inc. 11,900 34,748
* Bally Total Fitness Holding Corp. 57,800 265,880
</Table>
10
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Bancinsurance Corp. 5,700 $ 46,797
Bandag, Inc. 16,400 694,868
Bandag, Inc. Class A 9,600 380,832
Bank of Granite Corp. 16,400 317,668
Bank of The Ozarks 15,200 367,840
BankAtlantic Bancorp, Inc. Class A 11,285 180,560
* Bankrate, Inc. 7,000 79,450
* BankUnited Financial Corp. Class A 51,400 1,341,026
Banner Corp. 20,197 589,752
Banta Corp. 46,600 2,033,624
Barnes Group, Inc. 41,400 1,099,998
Barnwell Industries, Inc. 400 18,384
Barra, Inc. 33,000 1,350,030
* Barrett Business Services, Inc. 5,800 78,532
* Barry (R.G.) Corp. 9,500 20,235
Bassett Furniture Industries, Inc. 20,815 396,089
* Bay View Capital Corp. 92,550 188,802
* Baycorp Holdings, Ltd. 484 6,423
* BE Aerospace, Inc. 65,700 419,166
* Beasley Broadcast Group, Inc. 12,303 188,482
# Beazer Homes USA, Inc. 12,553 1,264,966
* Bebe Stores, Inc. 69,900 1,396,602
BEI Technologies, Inc. 26,500 706,755
Bel Fuse, Inc. Class A 2,600 78,679
Bel Fuse, Inc. Class B 5,250 190,785
Belden, Inc. 40,696 687,762
* Bell Industries, Inc. 8,900 26,255
* Bell Microproducts, Inc. 48,900 311,493
* Benchmark Electronics, Inc. 74,000 2,155,620
* Benihana, Inc. 1,000 14,500
* Benihana, Inc. Class A 150 2,196
* Bentley Pharmaceuticals, Inc. 37,060 466,956
Berry Petroleum Corp. Class A 44,700 1,218,075
*# Bethlehem Steel Corp. 37,300 119
* Beverly Enterprises 193,200 1,638,336
* Beyond.com Corp. 3,140 44
BHA Group Holdings, Inc. Class A 6,100 199,043
* Big 4 Ranch, Inc. 3,200 0
* Big City Radio, Inc. 6,400 832
* Big Dog Holdings, Inc. 1,500 7,216
* BindView Development Corp. 84,700 258,335
* Bio Imaging Technologies, Inc. 18,500 104,340
* Bioanalytical Systems, Inc. 4,600 18,515
* Biocryst Pharmaceuticals, Inc. 38,700 417,960
*# BioLase Technology, Inc. 43,200 509,328
* Bio-Logic Systems Corp. 4,200 26,082
* BioMarin Pharmaceutical, Inc. 112,885 689,727
* Bio-Rad Laboratories, Inc. Class A 20,000 1,122,400
* Bio-Reference Laboratories, Inc. 20,912 319,744
* BioSante Pharmaceuticals, Inc. 25,300 192,280
*# Biosite, Inc. 28,100 1,117,537
* Biosource International, Inc. 9,600 69,226
* Biospecifics Technologies Corp. 4,500 6,750
* BioSphere Medical, Inc. 24,600 75,768
* BioTime, Inc. 11,000 19,800
* Bioveris Corp. 30,900 388,104
* Bitstream, Inc. 8,400 19,152
BIW, Ltd. 800 15,588
Black Box Corp. 32,300 1,471,265
Black Hills Corp. 57,559 1,686,479
Blair Corp. 13,700 352,090
* Blonder Tongue Laboratories, Inc. 9,800 $ 30,870
* Blount International, Inc. 43,400 433,132
* Blue Coat Systems, Inc. 18,786 522,251
* Blue Martini Software, Inc. 19,500 87,535
* Bluegreen Corp. 45,665 547,067
Blyth, Inc. 38,100 1,243,965
* BMC Industries, Inc. 14,000 875
* BNS Co. Class A 4,120 25,338
Bob Evans Farms, Inc. 63,338 1,627,153
* Boca Resorts, Inc. 68,745 1,236,035
* Bogen Communications International,
Inc. 12,500 62,812
* Bolt Technology Corp. 5,400 24,840
* Bombay Co., Inc. 62,900 366,078
* Bone Care International, Inc. 25,821 551,278
* Bontex, Inc. 200 30
Bon-Ton Stores, Inc. 20,900 267,311
* Bookham Technologies P.L.C. 98,279 103,193
* Books-a-Million, Inc. 18,300 109,800
* Borland Software Corp. 145,900 1,283,920
Boston Acoustics, Inc. 4,600 50,600
* Boston Beer Company, Inc. Class A 16,400 313,240
* Boston Biomedical, Inc. 6,700 21,172
* Boston Communications Group, Inc. 33,000 349,800
Boston Private Financial Holdings,
Inc. 49,100 1,123,899
Bostonfed Bancorp, Inc. 4,300 144,480
* Bottomline Technologies, Inc. 27,904 267,878
Bowne & Co., Inc. 62,000 987,040
# Boyd Gaming Corp. 103,200 2,399,400
* Boyds Collection, Ltd. 121,517 347,539
* Bradley Pharmaceuticals, Inc.
Class A 25,251 587,843
Brady (W.H.) Co. Class A 37,400 1,543,872
* Braun Consulting, Inc. 30,100 50,568
* Breed Technologies, Inc. 36,800 975
Bridgford Foods Corp. 10,400 80,080
Briggs & Stratton Corp. 27,300 2,071,524
* Brigham Exploration Co. 60,182 512,811
* Bright Horizons Family Solutions, Inc. 6,600 326,106
* Brightpoint, Inc. 34,700 386,558
* BrightStar Information Technology
Group, Inc. 10,700 385
* Brillian Corp. 7,049 59,571
* Brilliant Digital Entertainment, Inc. 18,000 1,278
*# BriteSmile, Inc. 785 8,635
* Broadview Media, Inc. 200 1,220
* BroadVision, Inc. 59,800 206,848
* Brocade Communications Systems,
Inc. 17,800 106,622
# Brookline Bancorp, Inc. 106,091 1,534,076
* Brooks Automation, Inc. 75,239 1,554,438
* Brookstone, Inc. 35,875 692,746
* Brooktrout, Inc. 23,462 225,704
Brown Shoe Company, Inc. 32,500 1,343,225
* Bruker BioSciences Corp. 166,445 792,278
* Brush Engineered Materials, Inc. 30,100 524,342
Bryn Mawr Bank Corp. 1,600 32,960
BSB Bancorp, Inc. 16,785 583,279
* BSQUARE Corp. 19,000 18,411
* BTU International, Inc. 11,900 62,832
</Table>
11
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Buca, Inc. 33,971 $ 179,027
* Buckeye Technology, Inc. 65,183 657,696
Buckle, Inc. 30,000 842,700
Building Materials Holding Corp. 24,100 414,761
* Bull Run Corp. 3,700 2,016
Burlington Coat Factory
Warehouse Corp. 75,549 1,438,453
* Bush Industries, Inc. Class A 6,500 4,355
* Butler International, Inc. 8,400 20,832
C & D Technologies, Inc. 49,600 809,968
C & F Financial Corp. 300 11,280
* C-COR.net Corp. 75,800 673,862
*# C-Phone Corp. 8,900 156
* Cable Design Techologies Corp. 85,487 712,962
*# Cabot Microelectronics Corp. 42,300 1,317,645
Cabot Oil & Gas Corp. Class A 58,400 2,149,120
* Cache, Inc. 18,700 486,387
* Caci International, Inc. Class A 52,400 1,946,136
Cadmus Communications Corp. 8,900 122,642
* Cagle's, Inc. Class A 2,000 21,820
* Cal Dive International, Inc. 67,800 1,904,502
Calavo Growers 16,200 165,888
Calgon Carbon Corp. 67,400 416,532
* California Amplifier, Inc. 26,800 201,000
* California Coastal Communities, Inc. 10,000 160,500
California First National Bancorp 10,400 136,864
* California Micro Devices Corp. 38,000 511,480
* California Pizza Kitchen, Inc. 34,000 641,920
California Water Service Group 30,500 867,725
* Caliper Life Sciences, Inc. 56,174 298,284
Callaway Golf Co. 136,000 2,200,480
* Callidus Software 32,000 228,480
* Callon Petroleum Corp. 25,162 330,125
* Calloways Nursery, Inc. 1,200 198
# Cal-Maine Foods, Inc. 39,100 539,580
* Calton, Inc. 4,480 1,926
* CAM Commerce Solutions, Inc. 3,000 56,737
Cambrex Corp. 51,700 1,181,345
* Cambridge Heart, Inc. 6,600 4,290
Camco Financial Corp. 7,516 107,704
* Candela Corp. 39,910 415,064
* Candies, Inc. 45,550 114,786
* Candlewood Hotel Co., Inc. 1,500 85
* Cannon Express, Inc. Class A 200 36
* Cannondale Corp. 6,400 896
* Cantel Medical Corp. 16,740 287,928
* Canterbury Consulting Group, Inc. 1,571 1,296
* Canyon Resources Corp. 48,600 158,436
Capital Corp. of the West 5,046 181,656
* Capital Crossing Bank 5,900 374,060
* Capital Pacific Holdings, Inc. 14,500 58,362
* Capital Senior Living Corp. 42,200 217,330
Capital Southwest Corp. 300 22,650
Capitol Bancorp, Ltd. 8,564 215,984
* Caprius, Inc. 548 110
* Capstone Turbine Corp. 74,000 206,460
* Captaris, Inc. 57,600 348,480
* Captiva Software Corp. 4,400 44,308
* Caraustar Industries, Inc. 51,184 684,842
# Carbo Ceramics, Inc. 28,600 1,999,140
* Cardiac Sciences, Inc. 136,100 340,250
* Cardima, Inc. 6,300 $ 5,418
* CardioDynamics International Corp. 85,661 563,649
*# CardioGenesis Corp. 32,100 21,507
* Cardiotech International, Inc. 31,263 117,236
* Career Blazers, Inc. Trust Units 800 0
* Carmike Cinemas, Inc. 19,700 721,020
Carpenter Technology Corp. 40,400 1,228,968
* Carreker Corp. 21,871 199,682
* Carriage Services, Inc. Class A 28,700 147,805
* Carrier Access Corp. 59,989 667,078
* Carrington Laboratories, Inc. 9,800 42,042
* Carrizo Oil & Gas, Inc. 14,100 119,286
Cascade Corp. 20,800 508,560
Cascade Natural Gas Corp. 20,100 399,387
* Casella Waste Systems, Inc. Class A 40,669 568,553
Casey's General Stores, Inc. 84,800 1,384,784
Cash America International, Inc. 48,200 972,194
* Castle (A.M.) & Co. 15,437 131,060
Castle Energy Corp. 6,600 71,709
* Casual Male Retail Group, Inc. 63,100 429,080
* Catalina Lighting, Inc. 1,760 18,865
* Catalina Marketing Corp. 90,800 1,533,612
* Catalyst International, Inc. 7,600 10,640
* Catalyst Semiconductor, Inc. 28,040 224,881
* Catalytica Energy Systems, Inc. 15,391 51,560
* Catapult Communications Corp. 22,600 373,126
Cathay Bancorp, Inc. 38,961 2,460,387
Cato Corp. Class A 35,000 771,050
* Cavalier Homes, Inc. 32,060 180,818
Cavalry Bancorp, Inc. 500 7,530
* Cavco Industries, Inc. 3,852 146,141
CCA Industries, Inc. 11,800 91,450
* CCC Information Services Group,
Inc. 25,700 372,136
* CD Warehouse, Inc. 3,300 7
* CD&L, Inc. 2,600 3,640
CDI Corp. 35,300 1,171,607
* CEC Entertainment Inc. 69,550 2,137,271
* Celadon Group, Inc. 14,000 201,880
* Celebrity, Inc. Escrow Shares 1,300 0
Celeritek, Inc. 22,200 78,144
* Cell Genesys, Inc. 79,352 815,739
*# Cell Therapeutics, Inc. 88,200 617,400
* Cellegy Pharmaceuticals, Inc. 46,100 187,166
* CellStar Corp. 33,948 205,385
* Centene Corp. 36,200 1,305,010
* Centennial Communications Corp. 49,800 359,556
Center Bancorp, Inc. 1,890 22,189
Center Finl CO 12,960 191,160
*# CenterSpan Communication Corp. 8,400 714
* Centillium Communications, Inc. 64,069 211,428
* Centra Software, Inc. 45,500 99,190
Central Bancorp, Inc. 1,600 56,880
*# Central European Distribution Corp. 19,418 587,977
* Central Garden & Pet Co. 30,300 1,126,251
Central Pacific Financial Corp. 28,400 687,280
Central Parking Corp. 63,137 1,167,403
Central Vermont Public Service Corp. 21,700 423,367
* Century Aluminum Co. 55,390 1,283,386
Century Bancorp Income Class A 1,000 32,700
* Century Business Services, Inc. 141,857 584,451
</Table>
12
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Cenveo, Inc. 84,800 $ 262,032
* Cepheid, Inc. 74,706 683,560
* Ceradyne, Inc. 28,650 953,185
Cerberonics, Inc. Class A 200 1,852
* Ceres Group, Inc. 54,395 338,337
*# Cerner Corp. 49,309 2,108,453
* Cerus Corp. 39,700 85,355
* CEVA, Inc. 10,833 86,664
CFS Bancorp, Inc. 21,420 290,241
CH Energy Group, Inc. 28,700 1,305,850
* Chad Therapeutics 10,000 42,500
* Champion Enterprises, Inc. 126,100 1,179,035
Champion Industries, Inc. 9,674 44,307
* Championship Auto Racing Teams,
Inc. 8,900 1,041
* Champps Entertainment, Inc. 21,340 191,398
* Channell Commercial Corp. 6,600 29,700
* Charles and Colvard, Ltd. 23,800 139,944
* Charles River Associates, Inc. 9,000 305,370
* Charlotte Russe Holding, Inc. 38,600 713,714
* Charming Shoppes, Inc. 200,877 1,719,507
* Chart Industries 23 690
*# Charter Communications, Inc. 142,500 548,625
Charter Financial Corp. 22,811 770,784
Chase Corp. 4,000 59,200
* Chattem, Inc. 35,000 930,300
* Chaus (Bernard), Inc. 1,300 1,300
* Checkers Drive-In Restaurant, Inc. 21,107 216,347
* Checkpoint Systems, Inc. 67,700 1,168,502
Chemed Corp. 20,900 986,898
Chemical Financial Corp. 42,938 1,504,977
* Cheniere Energy, Inc. 31,200 471,120
Cherokee, Inc. 8,100 186,300
Chesapeake Corp. 32,802 712,459
Chesapeake Utilities Corp. 9,000 209,970
Chester Valley Bancorp 575 11,759
* Chicago Pizza & Brewery, Inc. 35,022 469,995
Chicago Rivet & Machine Co. 200 5,829
* Children's Place Retail Stores, Inc. 45,400 1,075,072
* Childtime Learning Centers, Inc. 5,200 13,884
*# ChipPAC, Inc. 155,100 1,008,150
* Chiquita Brands International, Inc. 72,996 1,278,890
Chittenden Corp. 66,083 2,141,750
Choice Hotels International, Inc. 53,600 2,567,440
* Cholestech Corp. 25,300 241,615
* Chordiant Software, Inc. 122,500 474,075
Christopher & Banks Corp. 68,013 1,292,247
*# ChromaVision Medical Systems, Inc. 20,200 27,068
* Chromcraft Revington, Inc. 6,000 84,900
* Chronimed, Inc. 21,901 162,067
Churchill Downs, Inc. 14,400 545,472
*# Chyron Corp. 33,400 20,040
* Ciber, Inc. 117,312 1,044,077
* Cima Laboratories, Inc. 19,900 643,168
* Cimarex Energy Co. 14,004 394,773
* Cincinnati Bell, Inc. 447,700 1,844,524
* Ciphergen Biosystems, Inc. 52,200 407,682
* Ciprico, Inc. 4,900 22,809
CIRCOR International, Inc. 26,290 516,336
* Cirrus Logic, Inc. 151,800 1,127,874
Citizens Banking Corp. 67,033 2,010,320
Citizens South Banking Corp. 14,029 $ 181,676
*# Citizens, Inc. Class A 57,326 390,963
City Holding Co. 30,086 903,182
* CKE Restaurants, Inc. 103,800 1,050,456
Clarcor, Inc. 45,700 1,938,137
* Clark, Inc. 31,124 544,048
* Clarus Corp. 29,800 353,428
*# Clayton Williams Energy, Inc. 9,200 211,048
*# Clean Harbors, Inc. 25,100 182,979
* Clearone Communications, Inc. 11,300 66,387
Cleco Corp. 84,700 1,469,545
* Cleveland Cliffs, Inc. 19,200 900,288
*# ClickAction, Inc. Escrow 7,900 395
Clinical Data Inc 1,787 20,157
* Closure Medical Corp. 25,642 638,999
* CMG Information Services, Inc. 66,700 131,399
*# CMS Energy Corp. 273,775 2,359,940
* CNA Surety Corp. 67,918 706,347
*# CNE Group, Inc. 2,000 820
* CNET Networks, Inc. 241,100 2,329,026
CNS, Inc. 24,800 249,736
Coachmen Industries, Inc. 28,000 452,480
* Coast Dental Services, Inc. 2,066 6,405
Coast Distribution System 5,600 35,784
* Coastcast Corp. 7,600 16,340
CoBiz, Inc. 12,825 177,498
* Cobra Electronics Corp. 6,100 54,717
Coca-Cola Bottling Co. Consolidated 6,000 333,420
*# Coeur d'Alene Mines Corp. 457,200 2,144,268
* Cogent Communications Group, Inc. 8,913 3,565
Cognex Corp. 64,800 2,147,472
* Cognitronics Corp. 4,250 15,045
* Coherent, Inc. 53,846 1,458,688
Cohu, Inc. 38,600 731,470
*# Coinstar, Inc. 38,200 664,680
* Coldwater Creek, Inc. 23,850 634,648
Cole (Kenneth) Productions, Inc.
Class A 19,450 636,987
* Cole National Corp. Class A 14,800 336,108
* Collagenex Pharmaceuticals, Inc. 25,400 249,428
* Collins & Aikman Corp. 142,960 759,118
Collins Industries, Inc. 7,000 39,970
Columbia Banking System, Inc. 25,547 542,107
* Columbia Laboratories, Inc. 71,600 219,096
* Columbus McKinnon Corp. 25,800 136,714
* Comarco, Inc. 10,200 72,624
* Comdial Corp. 600 1,560
* Comforce Corp. 13,277 26,288
* Comfort Systems USA, Inc. 65,500 461,775
Commerce Group, Inc. 33,100 1,500,092
*# Commerce One, Inc. 51,000 52,020
Commercial Bancshares, Inc. 5,665 144,741
Commercial Federal Corp. 71,900 2,014,638
Commercial Metals Co. 52,300 1,574,230
Commercial National Financial Corp. 3,200 80,800
* Commonwealth Industries, Inc. 28,815 257,894
*# Commonwealth Telephone
Enterprises, Inc. 38,100 1,615,440
*# Commscope, Inc. 110,400 1,904,400
Communications Systems, Inc. 8,200 64,780
Community Bank System, Inc. 48,600 1,070,172
</Table>
13
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Community Bankshares, Inc. 210 $ 3,906
Community First Bankshares, Inc. 63,200 2,028,720
Community Trust Bancorp, Inc. 13,730 427,964
Community West Bancshares 5,500 46,612
* Competitive Technologies, Inc. 6,100 22,265
* Compex Technologies, Inc. 21,854 130,687
* Compucom Systems, Inc. 90,241 405,182
* CompuCredit Corp. 81,131 1,423,038
*# Compudyne Corp. 14,404 143,320
* Computer Access Technology Corp. 41,000 190,650
* Computer Horizons Corp. 37,400 133,518
* Computer Network Technology Corp. 47,000 283,880
Computer Programs & Systems, Inc. 18,000 349,020
* Computer Task Group, Inc. 35,900 156,165
* CompX International, Inc. 5,100 82,875
* Comstock Resources, Inc. 62,400 1,173,744
* Comtech Telecommunications Corp. 25,600 454,144
* Concepts Direct, Inc. 700 124
* Conceptus, Inc. 44,836 467,639
* Concord Camera Corp. 48,356 149,420
* Concord Communications, Inc. 30,000 342,600
* Concur Technologies, Inc. 57,631 625,873
* Concurrent Computer Corp. 106,000 214,120
* Conexant Systems, Inc. 237,333 1,120,212
* Congoleum Corp. Class A 3,600 8,100
* Conmed Corp. 53,111 1,351,675
Connecticut Water Services, Inc. 7,600 191,132
*# Connetics Corp. 63,400 1,354,858
* Conrad Industries, Inc. 7,200 16,358
* Consolidated Freightways Corp. 550 1
* Consolidated Graphics, Inc. 24,282 974,922
Consolidated Tokoma Land Co. 6,100 204,045
* Consumer Portfolio Services, Inc. 1,500 6,735
*# Continental Airlines, Inc. 119,100 1,273,179
* Continental Materials Corp. 200 5,858
*# Convera Corp. 60,916 173,001
* Convergence Systems, Inc. 1 45
*# Cooker Restaurant Corp. 6,500 39
Cooper Companies, Inc. 39,200 2,163,840
Cooper Tire & Rubber Co. 83,900 1,769,451
Cooperative Bankshares, Inc. 1,400 32,200
* Copart, Inc. 134,800 3,322,820
*# Copper Mountain Networks, Inc. 11,310 143,524
*# Corautus Genetics, Inc. 1,542 8,866
* Core Molding Technologies, Inc. 7,700 26,950
* Corillian Corp. 63,800 307,516
* Corinthian Colleges, Inc. 18,900 536,949
* Corio, Inc. 108,400 244,984
* Corixa Corp. 100,097 507,492
Corn Products International, Inc. 57,600 2,498,688
* Cornell Companies, Inc. 23,800 317,730
* Correctional Services Corp. 20,512 63,587
* Corrections Corporation of America 63,100 2,414,206
* Corrpro Companies, Inc. 7,275 12,076
Corus Bankshares, Inc. 50,444 1,971,352
* Corvel Corp. 10,900 253,207
* Cosine Communications, Inc. 16,721 66,550
* Cost Plus, Inc. 39,175 1,288,466
* CoStar Group, Inc. 32,391 1,340,340
* Cost-U-Less, Inc. 3,000 17,310
Cotton States Life Insurance Co. 6,330 125,809
Courier Corp. 4,275 $ 166,853
* Covansys Corp. 48,200 524,416
* Covenant Transport, Inc. Class A 22,130 346,777
* Covista Communications, Inc. 3,000 9,000
CPAC, Inc. 5,120 29,645
* CPI Aerostructures, Inc. 9,566 102,356
CPI Corp. 11,200 173,824
Craftmade International, Inc. 8,700 180,960
Crawford & Co. Class A 27,300 133,224
Crawford & Co. Class B 25,300 125,235
* Cray, Inc. 127,300 1,003,124
*# Credence Systems Corp. 114,047 1,597,798
* Credit Acceptance Corp. 71,369 1,074,103
*# Cree Research, Inc. 51,000 1,173,510
* Critical Path, Inc. 33,200 63,080
* Criticare Systems, Inc. 20,300 62,930
Crompton Corp. 206,100 1,230,417
* Cross (A.T.) Co. Class A 14,700 82,908
* Cross Country Healthcare, Inc. 55,657 924,463
* Crossroads Systems, Inc. 42,500 77,435
* Crown Andersen, Inc. 1,000 1,750
* Crown Financial Group, Inc. 6,600 7,920
* Crown Holdings, Inc. 247,400 2,209,282
* Crown Media Holdings, Inc. 127,651 1,155,242
*# Cryolife, Inc. 41,800 213,180
* CSG Systems International, Inc. 96,800 1,847,912
* CSK Auto Corp. 83,600 1,433,740
* CSP, Inc. 3,500 25,203
CSS Industries, Inc. 12,900 450,210
CT Communications, Inc. 30,860 422,782
CTS Corp. 64,959 708,053
Cubic Corp. 48,100 1,082,731
* Cubist Pharmaceuticals, Inc. 72,425 719,904
* Culp, Inc. 19,600 145,040
* Cumulus Media, Inc. Class A 90,093 1,670,324
* CUNO, Inc. 30,408 1,395,119
* CuraGen Corp. 85,560 427,800
* Curative Health Services Inc 23,100 243,012
* Curis, Inc. 74,150 330,635
Curtiss-Wright Corp. 11,600 545,780
Cutter & Buck, Inc. 18,524 191,909
* CV Therapeutics, Inc. 56,405 737,777
CVB Financial Corp. 87,076 1,809,439
* Cyberguard Corp. 42,022 355,506
* Cyberonics, Inc. 42,100 826,002
* Cyberoptics Corp. 14,300 299,013
* Cybersource Corp. 59,900 506,155
* Cybex International, Inc. 8,700 32,538
*# Cycle Ctry Acc 6,300 33,705
*# CycleLogic, Inc. 29 3
* Cygnus, Inc. 1,300 338
* Cymer, Inc. 63,700 2,344,160
Cytec Industries, Inc. 62,000 2,496,740
* Cytogen Corp. 27,070 351,910
*# Cytrx Corp. 1,700 2,074
D & K Healthcare Resources, Inc. 28,330 339,110
* D A Consulting Group, Inc. 6,700 37
D&E Communications, Inc. 17,374 225,167
* Daily Journal Corp. 200 6,600
* Daktronics, Inc. 33,879 791,075
*# Dan River, Inc. Class A 27,400 2,945
</Table>
14
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Danielson Holding Corp. 33,400 $ 318,636
* Darling International, Inc. 114,700 395,715
* Data I/O Corp. 7,600 21,736
* Data Systems & Software, Inc. 7,300 12,191
* Datakey, Inc. 1,000 750
* Datalink Corp. 13,300 48,545
* Dataram Corp. 14,400 115,920
Datascope Corp. 26,634 924,999
* Datastream Systems, Inc. 20,100 125,826
* Datatec Systems, Inc. 7,000 3,605
* DataTRAK International, Inc. 5,200 57,460
* Datawatch Corp. 4,132 17,437
* Dave and Busters, Inc. 13,200 246,840
* Davel Communications, Inc. 94 1
* Dawson Geophysical Co. 5,400 80,190
* Daxor Corp. 4,600 96,830
Deb Shops, Inc. 19,299 462,983
* Deckers Outdoor Corp. 9,200 230,000
* Decora Industries, Inc. 5,500 32
Decorator Industries, Inc. 2,762 22,096
* Del Global Technologies Corp. 10,927 24,859
* Del Laboratories, Inc. 9,506 273,773
* Delphax Technologies, Inc. 6,100 39,040
Delphi Financial Group, Inc. Class A 46,350 1,866,978
*# Delta Air Lines, Inc. 195,200 1,190,720
Delta and Pine Land Co. 68,900 1,597,102
Delta Apparel, Inc. 5,240 118,319
* Delta Financial Corp. 28,900 176,001
Delta Natural Gas Co., Inc. 2,800 65,016
* Delta Woodside Industries, Inc. 5,850 7,897
Deltic Timber Corp. 21,771 772,435
* Denali, Inc. 4,300 430
* Denbury Resources, Inc. 98,100 1,805,040
* Dendreon Corp. 103,881 1,137,497
* Dendrite International, Inc. 73,874 1,240,344
* Department 56, Inc. 23,700 374,460
*# DepoMed, Inc. 78,000 593,580
* Detrex Corp. 500 787
* Devcon International Corp. 3,600 41,400
* DHB Industries, Inc. 73,300 691,219
Diagnostic Products Corp. 52,200 2,198,664
*# Diametrics Medical, Inc. 2,500 275
* DiamondCluster International, Inc. 58,884 570,586
* Diedrich Coffee, Inc. 4,025 15,899
* Digene Corp. 35,000 1,365,350
* Digi International, Inc. 37,548 390,124
* Digimarc Corp. 37,265 421,094
*# Digital Angel Corp. 55,000 177,100
*# Digital Generation Systems, Inc. 114,900 166,605
* Digital Impact, Inc. 56,900 101,282
* Digital Insight Corp. 63,100 1,219,092
*# Digital Lightwave, Inc. 49,700 81,508
* Digital River, Inc. 57,000 1,790,370
* Digitas, Inc. 113,157 1,046,702
Dime Community Bancorp, Inc. 67,700 1,157,670
Dimon, Inc. 78,529 482,953
* Diodes, Inc. 12,150 265,234
* Dionex Corp. 38,310 1,929,292
* Directrix, Inc. 813 3
* Discovery Partners International 41,953 217,736
* Display Technologies, Inc. 11,330 23
Distributed Energy Systems Corp. 59,250 $ 189,600
* Ditech Communications Corp. 58,480 1,205,273
* Diversa Corp. 77,608 730,291
* Diversified Corporate Resources, Inc. 800 1,120
* Dixie Group, Inc. 18,500 218,485
* Dixon Ticonderoga Co. 1,900 7,125
* DJ Orthopedics, Inc. 38,800 905,204
* DLB Oil & Gas, Inc. 1,300 0
* DocuCorp International, Inc. 18,773 167,643
* Document Sciences Corp. 14,200 74,962
* Dollar Thrifty Automotive Group, Inc. 45,400 1,190,388
* Dominion Homes, Inc 5,800 176,958
Donegal Group, Inc. Class A 6,066 127,265
Donegal Group, Inc. Class B 2,933 60,185
* Dot Hill Systems Corp. 70,760 672,220
* DoubleClick, Inc. 164,482 1,394,807
* DOV Pharmaceutical, Inc. 30,394 457,734
Dover Downs Gaming &
Entertainment, Inc. 9,910 106,235
Dover Motorsports, Inc. 26,200 120,258
Downey Financial Corp. 36,476 1,929,580
*# DPAC Technologies Corp. 20,900 16,469
* Drew Industries, Inc. 18,400 685,400
*# Drexler Technology Corp. 20,500 348,500
* Dril-Quip, Inc. 31,100 513,772
* DRS Technologies, Inc. 48,500 1,357,515
* Drugstore.com, Inc. 133,100 617,584
* DSP Group, Inc. 51,900 1,366,008
* DT Industries, Inc. 10,300 335
* Duane Reade, Inc. 36,021 594,346
* Duckwall-ALCO Stores, Inc. 4,100 70,684
* Ducommun, Inc. 17,100 322,335
* DuPont Photomasks, Inc. 32,755 723,230
Duquesne Light Holdings, Inc. 104,700 2,013,381
* Dura Automotive Systems, Inc. 28,100 265,826
* DuraSwitch Industries, Inc. 10,500 31,384
* Duratek, Inc. 13,500 175,500
*# Durect Corp. 91,387 322,596
*# DUSA Pharmaceuticals, Inc. 29,500 311,520
* DVI, Inc. 11,300 186
* Dyax Corp. 56,000 551,600
* Dycom Industries, Inc. 87,266 2,154,598
*# Dynacq Healthcare, Inc. 22,200 139,860
* Dynamex, Inc. 19,900 261,486
* Dynamic Materials Corp. 2,000 6,120
* Dynamics Research Corp. 14,598 239,553
* Dynegy, Inc. 84,700 371,833
*# E Com Ventures, Inc. 2,175 20,119
* E-Loan, Inc. 108,400 264,496
E-Z-EM, Inc. 8,562 160,109
* E.piphany, Inc. 127,687 600,129
Eagle Materials, Inc. 25,000 1,667,500
* EarthLink, Inc. 198,575 1,993,693
East West Bancorp, Inc. 41,300 2,505,671
Eastern Co. 4,950 77,913
* EasyLink Services Corp. 7,969 10,200
* Echelon Corp. 72,571 778,687
* Eclipsys Corp. 17,600 244,288
* eCollege.com 36,200 609,246
Ecology & Environment, Inc. Class A 2,000 20,000
Edelbrock Corp. 5,470 82,323
</Table>
15
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Eden Bioscience Corp. 12,800 $ 14,080
*# EDGAR Online, Inc. 16,400 16,072
* Edge Petroleum Corp. 23,100 319,935
* Edgewater Technology, Inc. 11,569 71,612
Edo Corp. 35,800 768,984
Educational Development Corp. 1,800 19,611
EFC Bancorp, Inc. 4,600 109,250
* EFJ, Inc. 7,800 64,740
* eFunds Corp. 86,006 1,376,956
* EGL, Inc. 84,700 1,937,936
* El Paso Electric Co. 108,600 1,569,270
* Elcom International, Inc. 3,500 560
Electro Rent Corp. 39,266 429,570
* Electro Scientific Industries, Inc. 33,300 760,239
* Electroglas, Inc. 37,600 197,400
* Electronics Boutique Holdings Corp. 44,730 1,232,759
* Electronics for Imaging, Inc. 84,900 2,356,824
* Elizabeth Arden, Inc. 42,200 930,088
ElkCorp 35,300 875,440
* eLoyalty Corp. 6,700 42,411
* ELXSI Corp. 1,800 6,570
* Embarcadero Technologies, Inc 47,750 541,007
* Embrex, Inc. 14,600 188,048
EMC Insurance Group, Inc. 11,300 229,164
* Emcor Group, Inc. 27,100 1,148,498
* EMCORE Corp. 65,111 192,729
* Emerging Vision, Inc. 25,700 3,341
* Emeritus Corp. 14,100 80,370
* Emerson Radio Corp. 45,422 152,164
* Emisphere Technologies, Inc. 33,000 167,640
* Emmis Communications Corp.
Class A 82,800 1,805,040
Empire District Electric Co. 45,400 908,908
* EMS Technologies, Inc. 19,932 433,720
* En Pointe Technologies, Inc. 6,500 12,285
* Encore Acquisition Co. 54,800 1,539,880
* Encore Capital Grooup, Inc. 31,700 483,108
* Encore Medical Corp. 74,500 520,010
* Encore Wire Corp. 25,965 791,024
* Encysive Pharmaceuticals, Inc. 94,800 871,686
* Endocardial Solutions, Inc. 39,300 382,389
* Endocare, Inc. 25,800 76,755
* Endologix, Inc. 57,000 281,580
Energen Corp. 41,300 1,850,240
* Energy Conversion Devices, Inc. 43,105 540,106
* Energy Partners, Ltd. 58,000 769,660
* Energy West, Inc. 3,900 25,545
EnergySouth, Inc. 7,971 290,304
* Enesco Group, Inc. 25,600 246,528
Engineered Support Systems, Inc. 45,881 2,404,164
* ENGlobal Corp. 1,700 2,839
* Enherent Corp. 17,400 2,610
*# Enlighten Software Solutions, Inc. 1,600 3
Ennis Business Forms, Inc. 28,800 444,960
* EnPro Industries, Inc. 35,200 680,768
* Entegris, Inc. 125,864 1,428,556
* Enterrasys Networks, Inc. 378,100 741,076
* Entravision Communications Corp. 106,817 865,218
* Entremed, Inc. 66,600 141,858
* Entrust, Inc. 114,400 526,240
* Environmental Elements Corp. 5,000 775
* Environmental Technologies Corp. 3,700 $ 26
* Environmental Tectonics Corp. 7,100 52,540
* Enzo Biochem, Inc. 53,066 708,962
* Enzon Pharmaceuticals, Inc. 51,600 741,492
* EP Medsystems, Inc. 14,900 43,210
* EpicEdge, Inc. 21,900 208
* Epicor Software Corp. 79,442 1,063,728
* Epimmune, Inc. 22,900 39,159
* EPIQ Systems, Inc. 31,150 455,724
* EPIX Medical, Inc. 40,828 997,428
* ePlus, Inc. 14,300 168,454
* ePresence, Inc. 25,100 101,404
*# Equimed Inc. Nevis 2,250 0
* Equinix, Inc. 27,300 858,585
* Equity Marketing, Inc. 5,700 73,188
* Equity Oil Co. 16,000 68,000
*# eResearch Technology, Inc. 92,100 2,329,209
* Ergo Science Corp. 7,150 17,160
ESB Financial Corp. 11,762 149,142
*# Escalon Medical Corp. 3,200 43,456
* Esco Technologies, Inc. 23,200 1,143,760
* eSpeed, Inc. 50,500 957,985
Espey Manufacturing & Electronics
Corp. 400 9,044
* ESS Technology, Inc. 70,800 811,368
* Esterline Technologies Corp. 36,500 919,070
Ethan Allen Interiors, Inc. 34,800 1,356,156
* Ethyl Corp. 30,300 608,121
* Euronet Worldwide, Inc. 53,952 1,240,356
* European Micro Holdings, Inc. 4,600 264
* Evans & Sutherland Computer Corp. 10,400 51,844
* Evans Systems, Inc. 4,000 360
* Evercel, Inc. 766 295
* Evergreen Resources, Inc. 58,700 2,221,795
*# Evergreen Solar, Inc. 26,400 79,992
* Everlast Worldwide, Inc. 1,500 4,050
EverTrust Financial Group, Inc. 2,850 55,461
* Evolving Systems, Inc. 12,600 50,148
*# Exabyte Corp. 1,000 830
* Exact Sciences Corp. 44,505 281,272
* Exactech, Inc. 10,800 216,000
* Exar Corp. 70,108 1,116,820
* Excel Technology, Inc. 20,400 657,900
* Exelixis, Inc. 124,818 1,150,822
* Exponent, Inc. 6,700 167,031
* ExpressJet Holdings, Inc. 88,400 1,053,728
* Extended Systems, Inc. 11,100 55,167
* Extreme Networks, Inc. 202,100 1,075,172
* Exult, Inc. 192,081 1,187,061
* Ezcorp, Inc. Class A Non-Voting 10,800 87,804
* Ezenia! Inc. 200 140
F.N.B. Corp. 81,720 1,631,131
* F5 Networks, Inc. 61,300 1,819,997
* Fab Industries, Inc. 5,200 18,200
*# Factory 2-U Stores, Inc. 26,949 25,332
# Factset Research Systems, Inc. 57,000 2,491,470
* Fairchild Corp. Class A 40,052 180,234
* Falcon Products, Inc. 11,800 44,250
*# FalconStor Software, Inc. 81,300 562,596
* Famous Dave's of America, Inc. 22,120 174,129
* Fargo Electronics 22,200 252,192
</Table>
16
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Farmer Brothers Co. 19,000 $ 542,640
* Faro Technologies, Inc. 24,400 652,456
FBL Financial Group, Inc. Class A 38,700 1,097,919
* Featherlite, Inc. 6,500 29,185
Fedders Corp. 53,810 238,916
Federal Screw Works 1,562 58,263
# Federal Signal Corp. 84,700 1,508,507
*# Federal-Mogul Corp. 57,900 15,343
* FEI Co. 58,700 1,464,565
* Female Health Co. 9,300 29,295
Ferro Corp. 73,800 1,889,280
FFLC Bancorp 5,400 137,322
* Fibermark, Inc. 3,000 300
*# Fiberstars, Inc. 10,900 92,966
Fidelity Bankshares, Inc. 27,022 914,424
* Fidelity Federal Bancorp 2,500 4,200
Fidelity Southern Corp. 8,800 118,800
* Filenet Corp. 69,380 1,897,543
* Financial Federal Corp. 32,500 1,015,300
* Financial Industries Corp. 12,482 142,919
* Findwhat.Com 39,600 917,136
*# Finisar Corp. 333,296 663,259
* Finish Line, Inc. Class A 34,100 1,135,530
* Finishmaster, Inc. 800 8,140
* Finlay Enterprises, Inc. 19,000 372,020
* Firebrand Financial Group, Inc. 9,100 328
First Albany Companies, Inc. 9,098 95,256
* First Aviation Services, Inc. 6,200 30,132
First Bancorp 6,210 189,405
* First Cash Financial Services, Inc. 29,000 597,400
First Charter Corp. 52,633 1,102,135
First Citizens Bancshares, Inc. 1,300 150,800
First Commonwealth Financial Corp. 104,509 1,391,015
First Community Bancorp 27,000 980,100
First Community Bancshares, Inc. 5,500 148,500
* First Consulting Group, Inc. 44,128 230,348
First Defiance Financial Corp. 6,859 171,612
First Federal Bancshares of
Arkansas, Inc. 5,800 117,160
First Federal Capital Corp. 38,084 1,033,600
First Financial Bancorp 78,048 1,329,157
First Financial Bankshares, Inc. 15,395 624,267
First Financial Corp. 2,550 74,001
First Financial Holdings, Inc. 22,600 666,700
First Franklin Corp. 300 5,550
* First Horizon Pharmaceutical Corp. 64,564 1,144,397
First Indiana Corp. 26,617 525,153
* First Investors Financial Services
Group, Inc. 5,400 29,538
First Keystone Financial, Inc. 2,000 54,000
First M&F Corp. 2,100 69,489
* First Mariner Bank Corp. 4,900 87,367
First Merchants Corp. 32,408 778,764
First Midwest Bancorp, Inc. 7,375 252,594
First Midwest Financial, Inc. 2,400 53,760
First Mutual Bancshares, Inc. 5,013 116,251
First National Bankshares of Florida 28,320 551,107
First Niagara Financial Group, Inc. 142,929 1,779,466
First Oak Brook Bancshares, Inc.
Class A 3,150 91,350
First PacTrust Bancorp, Inc. 8,200 176,710
First Place Financial Corp. 22,751 $ 374,026
First Republic Bank 27,350 1,114,786
First SecurityFed Financial, Inc. 4,400 155,540
First Sentinel Bancorp, Inc. 41,508 866,687
First State Bancorporation 12,876 408,555
First United Corp. 3,500 73,360
* First Virtual Communications, Inc. 4,150 6,557
First Years, Inc. 8,100 135,675
Firstbank Corp. 2,835 75,269
FirstBank NW Corp. 2,928 76,860
* FirstCity Financial Corp. 18,200 141,960
* FirstFed Financial Corp. 30,700 1,267,603
* Firstwave Technologies, Inc. 2,600 7,774
* Fischer Imaging Corp. 9,100 26,845
Flag Financial Corp. 6,500 81,250
Flagstar Bancorp, Inc. 103,400 2,229,304
* Flamemaster Aerospace Corp.
Restricted 4 0
Flamemaster Corp. 278 1,162
* Flanders Corp. 45,560 325,754
* Fleetwood Enterprises, Inc. 70,500 944,700
*# Fleming Companies, Inc. 15,082 72
Flexsteel Industries, Inc. 6,100 131,882
* Flir Systems, Inc. 55,800 2,745,360
* Florida Banks, Inc. 5,700 119,472
Florida East Coast Industries, Inc. 57,400 2,076,732
Florida Public Utilities Co. 3,866 73,454
Florida Rock Industries, Inc. 39,850 1,584,037
* Flow International Corp. 27,600 77,280
Flowers Foods, Inc. 79,925 1,867,847
* Flowserve Corp. 96,700 2,025,865
Flushing Financial Corp. 33,714 590,332
* FMC Corp. 59,000 2,393,630
FMS Financial Corp. 3,300 56,100
FNB Corp. 2,700 52,380
FNB Financial Services Corp. 2,625 48,562
*# Foamex International, Inc. 41,000 184,090
* FOCUS Enhancements, Inc. 3,132 4,316
* Foodarama Supermarkets, Inc. 1,100 44,275
Foothill Independent Bancorp 6,555 133,788
*# Footstar, Inc. 27,600 120,060
Forest City Enterprises, Inc. Class B 4,500 226,125
* Forest Oil Corp. 75,170 1,871,733
* Forgent Networks, Inc. 39,400 50,432
* Forrester Research, Inc. 37,384 684,875
* Forward Air Corp., Inc. 38,750 1,195,437
* Fossil, Inc. 94,218 2,238,620
* Foster (L.B.) Co. Class A 10,000 78,000
*# Foster Wheeler, Ltd. 40,600 47,908
* Fountain Powerboat Industries, Inc. 4,700 22,560
*# FPIC Insurance Group, Inc. 17,946 484,542
Frankfort First Bancorp, Inc. 850 18,156
* Frankfort Tower Industries, Inc. 14,700 73
# Franklin Bancorp, Inc. 3,489 69,431
* Franklin Covey Co. 19,300 47,285
Franklin Electric Co., Inc. 10,800 686,880
* Franklin Electronic Publishers, Inc. 7,900 33,812
Fred's, Inc. 70,450 1,480,859
* FreeMarkets, Inc. 67,900 463,078
Frequency Electronics, Inc. 8,300 116,532
Fresh Brands, Inc. 5,100 42,131
</Table>
17
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Fresh Choice, Inc. 5,900 $ 9,794
* Friede Goldman Halter, Inc. 1,083 2
Friedman Industries, Inc. 6,158 24,016
Friedmans, Inc. Class A 35,240 111,358
* Friendly Ice Cream Corp. 7,300 96,214
Frisch's Restaurants, Inc. 4,900 139,895
* Frontier Airlines, Inc. 59,961 557,637
Frontier Oil Corp. 47,800 945,006
* Frozen Food Express Industries, Inc. 27,607 189,108
FSF Financial Corp. 2,300 79,580
* FSI International, Inc. 50,700 349,323
* FTI Consulting, Inc. 76,425 1,280,119
* FuelCell Energy, Inc. 85,854 1,362,503
Fuller (H.B.) Co. 51,309 1,374,568
*# FX Energy, Inc. 19,400 162,378
G & K Services, Inc. Class A 34,200 1,345,770
* G-III Apparel Group, Ltd. 6,700 60,400
GA Financial, Inc. 5,300 185,606
Gabelli Asset Management, Inc. 11,100 465,312
* Gadzooks, Inc. 13,600 24,140
* Gaiam, Inc. 5,500 33,440
* Galaxy Nutritional Foods, Inc. 11,500 22,425
* Galey & Lord, Inc. 6,400 32
*# Galyan's Trading Co. 29,537 296,847
* GameStop Corp. 37,700 588,874
GameTech International, Inc. 11,100 50,061
* Gardenburger, Inc. 4,000 880
* Gardner Denver Machinery, Inc. 34,688 908,479
* Gartner Group, Inc. 80,500 986,125
* Gateway, Inc. 140,600 569,430
GATX Corp. 85,200 2,054,172
* Gaylord Entertainment Co. 69,463 1,997,061
GB & T Bancshares, Inc. 700 19,089
* GC Companies, Inc. 200 125
* Gehl Co. 8,900 151,211
* Genaera Corp. 23,000 82,110
* Genaissance Pharmaceuticals, Inc. 41,300 180,027
Gencorp, Inc. 80,111 910,061
* Gene Logic, Inc. 66,682 262,727
* Genecor International, Inc. 102,608 1,541,172
* Genelabs Technologies, Inc. 149,610 388,986
* General Binding Corp. 13,300 178,619
* General Cable Corp. 70,700 566,307
* General Communications, Inc.
Class A 92,600 734,318
* General DataComm Industries, Inc. 1,310 458
* General Employment Enterprises,
Inc. 3,100 4,820
* Genesco, Inc. 39,200 983,920
* Genesee & Wyoming, Inc. 33,750 771,525
* Genesee Corp. Class B 200 765
* Genesis HealthCare Corp. 31,450 814,240
* Genesis Microchip, Inc. 37,462 605,011
* Geneva Financial Corp. 2,600 1,950
* Genlyte Group, Inc. 24,500 1,439,865
*# Genta, Inc. 131,800 303,140
* Gentek, Inc. 10,900 44
* Gentiva Health Services, Inc. 13,950 221,526
*# Genus, Inc. 67,221 174,707
* GenVec, Inc. 90,669 286,514
Georgia Gulf Corp. 58,600 1,981,852
* Gerber Scientific, Inc. 38,600 $ 240,864
* Geron Corp. 73,209 539,550
Gevity HR, Inc. 35,000 917,350
* Giant Group, Ltd. 2,200 5,225
* Giant Industries, Inc. 20,800 389,376
Gibraltar Steel Corp. 18,600 538,470
* Giga-Tronics, Inc. 4,600 7,314
Glacier Bancorp, Inc. 43,660 1,153,497
* Glacier Water Services, Inc. 3,600 66,456
Glatfelter (P.H.) Co. 75,600 925,344
* Glenayre Technologies, Inc. 113,627 287,476
* Global e-Point, Inc. 3,008 11,882
* Global Imaging Systems, Inc. 39,500 1,337,470
* Global Payment Technologies, Inc. 5,500 20,185
* Global Power Equipment Group, Inc. 83,400 552,942
* Globecomm Systems, Inc. 16,500 96,690
*# Glowpoint, Inc. 49,850 108,174
* GoAmerica, Inc. 2,850 2,562
Gold Banc Corp. 63,565 1,041,195
Golden Enterprises, Inc. 11,800 34,338
* Golden State Vintners, Inc. 5,100 41,667
* Goodrich Petroleum Corp. 30,600 252,450
*# Goodyear Tire & Rubber Co. 180,900 1,573,830
Goody's Family Clothing, Inc. 43,942 524,667
*# GoRemote Internet Communications,
Inc. 64,900 129,800
Gorman-Rupp Co. 7,975 211,337
* Gottschalks, Inc. 12,700 65,786
* GP Strategies Corp. 14,560 109,200
* Gradco Systems, Inc. 230 2,254
* Graftech International, Ltd. 171,300 1,627,350
Graham Corp. 1,000 11,000
Granite Construction, Inc. 74,600 1,409,940
* Graphic Packaging Corp. 102,600 662,796
Gray Television, Inc. 74,060 1,043,505
Gray Television, Inc. Class A 6,800 87,040
Great American Financial Resources,
Inc. 18,300 279,075
* Great Atlantic & Pacific Tea Co., Inc. 69,300 480,249
Great Lakes Chemical Corp. 91,200 2,259,936
Great Southern Bancorp, Inc. 6,800 378,896
Greater Bay Bancorp 72,446 2,079,925
Greater Communications Bancorp 3,600 50,580
* Green Mountain Coffee, Inc. 12,200 245,342
Green Mountain Power Corp. 7,700 197,967
* Greenbriar Corp. 674 1,938
* Greenbrier Companies, Inc. 14,100 242,943
Greene County Bancshares, Inc. 1,900 39,805
* Greens Worldwide, Inc. 2,502 56
Grey Global Group, Inc. 200 151,000
* Grey Wolf, Inc. 335,300 1,223,845
* Griffin Land & Nurseries, Inc. Class A 2,200 55,649
* Griffon Corp. 53,280 1,240,358
* Gristede's Foods, Inc. 1,200 1,020
* Group 1 Automotive, Inc. 38,700 1,242,270
* Group 1 Software, Inc. 16,450 376,047
* Grubb & Ellis Co. 14,900 15,049
* GSI Commerce, Inc. 73,754 604,783
*# GSV, Inc. 1,800 216
* GTC Biotherapeutics, Inc. 59,964 98,341
* GTSI Corp. 14,600 174,032
</Table>
18
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Guaranty Bancshares, Inc. 3,000 $ 57,375
Guaranty Federal Bancshares, Inc. 3,000 59,100
* Guess, Inc. 79,080 1,217,832
*# Guilford Pharmaceuticals, Inc. 61,047 378,491
* Guitar Center, Inc. 43,800 1,879,020
Gulf Island Fabrication, Inc. 21,537 409,203
* Gulfmark Offshore, Inc. 34,200 459,990
* Gymboree Corp. 54,900 800,991
* Ha-Lo Industries, Inc. 64,900 91
* Haemonetics Corp. 44,800 1,218,560
Haggar Corp. 6,300 127,008
* Hain Celestial Group, Inc. 59,188 1,047,628
* Halifax Corp. 1,000 4,500
* Hall Kinion Associates, Inc. 18,000 74,520
* Hammons (John Q.) Hotels, Inc.
Class A 5,200 48,880
* Hampshire Group, Ltd. 4,000 115,920
Hancock Fabrics, Inc. 32,200 374,164
Hancock Holding Co. 53,400 1,467,432
Handleman Co. 41,923 939,075
* Hanger Orthopedic Group, Inc. 36,252 598,158
Hanmi Financial Corp. 5,500 144,925
* Hanover Compressor Co. 153,900 1,611,333
Harbor Florida Bancshares, Inc. 42,898 1,204,147
Hardinge, Inc. 8,800 104,720
Harland (John H.) Co. 47,100 1,427,130
Harleysville Group, Inc. 49,967 943,877
Harleysville National Corp. 41,107 1,025,620
* Harmonic, Inc. 122,360 781,880
* Harolds Stores, Inc. 2,308 5,816
* Harris Interactive, Inc. 106,200 790,128
Harrodsburg First Financial Bancorp,
Inc. 1,100 21,422
* Hartmarx Corp. 33,600 202,608
* Harvard Bioscience, Inc. 52,700 247,690
* Harvest Natural Resources, Inc. 63,100 801,370
* Hastings Entertainment, Inc. 11,300 87,903
* Hastings Manufacturing Co. 700 1,802
* Hauppauge Digital, Inc. 8,800 55,977
Haverty Furniture Co., Inc. 15,700 275,535
Haverty Furniture Co., Inc. Class A 400 7,220
*# Hawaiian Holdings, Inc. 29,875 144,894
* Hawk Corp. 8,500 44,412
Hawkins, Inc. 10,200 122,502
* Hawthorne Financial Corp. 17,910 630,969
* Headwaters, Inc. 59,800 1,249,820
* HealthAxis, Inc. 750 1,642
Healthcare Services Group, Inc. 16,650 258,741
* HealthExtras, Inc. 66,050 1,007,262
Heartland Express, Inc. 89,936 2,178,250
Heartland Financial USA, Inc. 5,779 101,132
* Hecla Mining Co. 208,400 1,352,516
* Hector Communications Corp. 3,500 70,000
* HEI, Inc. 6,000 15,300
Heico Corp. 16,700 245,657
Heico Corp. Class A 7,465 88,236
* Heidrick & Struggles International,
Inc. 34,000 949,960
Helix Technology Corp. 46,953 933,426
Helmerich & Payne, Inc. 54,900 1,369,755
*# Hemispherx Biopharma, Inc. 73,500 255,045
Henry Jack & Associates, Inc. 18,642 $ 361,655
* Hercules, Inc. 200,800 2,124,464
* Heritage Commerce Corp. 2,800 39,732
Heritage Financial Corp. 7,500 142,125
* Herley Industries, Inc. 25,400 521,970
* Hexcel Corp. 69,400 589,900
HF Financial Corp. 3,630 53,833
*# Hi-Shear Technology Corp. 8,600 27,004
* Hi-Tech Pharmacal, Inc. 14,250 264,907
* HI/FN, Inc. 10,400 101,400
* Hibbett Sporting Goods, Inc. 40,870 1,061,803
Hickory Tech Corp. 13,900 156,097
Hilb Rogal Hamilton Co. 64,400 2,290,708
* Hines Horticulture, Inc. 22,000 95,480
Hirsch International Corp. Class A 3,300 3,432
HMN Financial, Inc. 4,400 110,572
* HMS Holdings Corp. 34,395 185,733
* Hoenig Group Escrow Shares 7,900 1,817
* Holiday RV Superstores, Inc. 930 5
Hollinger International, Inc. Class A 100,900 1,775,840
* Hollis-Eden Pharmaceuticals, Inc. 33,553 345,260
Holly Corp. 18,600 646,350
* Hollywood Entertainment Corp. 105,773 1,404,665
* Hollywood Media Corp. 44,600 145,396
* Hologic, Inc. 36,300 746,328
Home Federal Bancorp 4,300 114,595
Home Loan Financial Corp. 1,700 34,850
* Home Products International, Inc. 7,800 10,062
* HomeStore, Inc. 69,828 291,183
Hooper Holmes, Inc. 113,800 637,280
HopFed Bancorp, Inc. 2,100 36,414
Horace Mann Educators Corp. 73,638 1,246,691
Horizon Financial Corp. 18,284 336,791
* Horizon Health Corp. 9,900 227,700
* Horizon Medical Products, Inc. 19,400 36,860
* Horizon Offshore, Inc. 51,300 62,586
* Hot Topic, Inc. 86,800 1,875,748
* Houston Exploration Co. 49,997 2,362,858
* Hovnanian Enterprises, Inc. Class A 50,300 1,775,590
* Hub Group, Inc. Class A 7,000 229,040
* Hudson Highland Group, Inc. 2,130 59,107
Hudson River Bancorp, Inc. 51,564 898,761
* Hudson Technologies, Inc. 5,100 5,508
* Huffy Corp. 27,005 31,326
Hughes Supply, Inc. 36,569 1,974,726
Humboldt Bancorp 20,410 381,055
* Hurco Companies, Inc. 5,600 75,544
* Hutchinson Technology, Inc. 46,900 1,238,629
* Huttig Building Products, Inc. 5,300 43,725
* Hycor Biomedical, Inc. 8,000 42,000
* Hydril Co. 28,800 828,288
* Hypercom Corp. 91,600 615,552
* HyperFeed Technologies, Inc. 1,450 5,481
* Hyperion Solutions Corp 64,124 2,541,875
* I-Flow Corp. 35,800 484,374
* I-many, Inc. 47,900 59,875
*# I-Sector Corporation 5,900 50,740
* I-Trax Inc 30,300 101,505
* I.C. Isaacs & Co., Inc. 7,200 7,272
Iberiabank Corp. 11,520 674,726
* Ibis Technology Corp. 18,800 144,760
</Table>
19
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*# icad, Inc. 3,600 $ 12,672
* Ico, Inc. 14,320 30,502
* ICT Group, Inc. 19,274 220,495
* ICU Medical, Inc. 24,650 821,091
Idacorp, Inc. 68,700 1,786,200
* Identix, Inc. 152,412 1,104,987
Idex Corp. 42,200 2,012,940
* IDT Corp. 37,478 659,238
* IDT Corp. Class B 29,500 531,000
* IDX Systems Corp. 53,951 1,571,593
* iGate Capital Corp. 88,012 392,534
* IGI, Inc. 2,100 4,620
* Igo Escrow Share 4,100 0
IHOP Corp. 36,200 1,303,200
* II-VI, Inc. 24,370 628,259
Ikon Office Solutions, Inc. 136,960 1,509,299
* ILEX Oncology, Inc. 62,400 1,444,560
* Illumina, Inc. 55,861 354,159
ILX Resorts, Inc. 2,900 29,203
* Image Entertainment, Inc. 32,900 113,505
*# ImageWare Systems, Inc. 5,500 15,345
Imation Corp. 59,100 2,432,556
# IMC Global, Inc. 184,158 2,292,767
* IMCO Recycling, Inc. 26,200 330,120
* Immersion Corp. 39,400 169,026
*# Immtech International, Inc. 14,900 212,325
* Immucor, Inc. 36,875 1,146,075
* ImmunoGen, Inc. 69,053 553,115
* Immunomedics, Inc. 84,800 513,888
* IMPAC Medical Systems, Inc. 10,400 121,472
* Impath, Inc. 21,600 122,040
* Impax Laboratoroes, Inc. 96,544 2,138,450
* Impco Technologies, Inc. 31,600 181,068
* Imperial Sugar Co. 15,420 182,110
*# Imperial Sugar Company 14,551 0
*# Implant Sciences Corp. 12,500 173,500
* Impreso, Inc. 5,300 12,614
* Incyte Genomics, Inc. 123,730 887,144
Independence Holding Co. 2,750 90,337
Independent Bank Corp. MA 24,700 655,044
Independent Bank Corp. MI 35,204 891,717
*# Indevus Pharmaceuticals, Inc. 85,094 708,833
* Index Development Partners, Inc. 5,700 313
* Indus International, Inc. 34,900 88,995
* Industrial Distribution Group, Inc. 15,500 112,375
* INEI Corp. 1,700 2,380
* Inet Technologies, Inc. 65,957 587,677
Infinity Property & Casualty Corp. 33,460 1,043,952
* Infinity, Inc. 15,398 56,203
*# Infocrossing, Inc. 25,100 331,320
* InFocus Corp. 67,089 540,737
* Infonet Services Corp. 133,400 229,448
* Informatica Corp. 145,100 1,125,976
* Information Architects Corp. 1,080 324
* Information Holdings, Inc. 35,400 945,888
* Inforte Corp. 18,500 200,170
* InfoSpace, Inc. 53,446 1,955,055
* infoUSA, Inc. 98,962 890,658
Ingles Market, Inc. Class A 17,405 184,493
* Inkine Pharmaceutical Co., Inc. 21,400 87,954
* Innodata Corp. 36,300 139,755
* Innotrac Corp. 11,600 $ 107,300
* Innovative Clinical Solutions, Ltd. 968 6
* Innovative Solutions & Support, Inc. 12,700 253,759
* Innovex, Inc. 31,500 169,785
* Input/Output, Inc. 90,300 623,070
* Insight Communications Co., Inc. 83,175 795,153
* Insight Enterprises, Inc. 82,079 1,506,970
* Insightful Corp. 6,300 27,147
* Insignia Systems, Inc. 19,250 25,602
*# Insite Vision, Inc. 18,000 14,040
* Insituform Technologies, Inc. Class A 45,019 688,791
* Insmed, Inc. 65,218 149,936
* Inspire Pharmaceuticals, Inc. 54,180 928,103
* Instinet Group, Inc. 36,500 240,535
* Insurance Auto Auctions, Inc. 19,961 326,562
* InsWeb Corp. 1,633 7,757
Integra Bank Corp. 30,683 644,036
*# Integra Lifesciences Corp. 51,200 1,641,984
Integral Systems, Inc. 9,200 161,644
*# Integral Vision, Inc. 2,200 3,630
* IntegraMed America, Inc. 3,100 22,568
*# Integrated Bio 17,100 237,690
* Integrated Electrical Services, Inc. 64,400 579,600
* Integrated Information Systems, Inc. 820 102
* Integrated Silicon Solution, Inc. 58,400 928,560
* Integrated Telecom Express, Inc. 600 0
* Integrity Media, Inc. 1,900 12,084
* Intelli-Check, Inc. 17,300 129,577
* Intellidata Technologies Corp. 65,500 49,780
* Intelligent Systems Corp. 4,500 8,325
* Intelligroup, Inc. 29,500 116,230
*# Intellisync Corp. 101,786 257,519
Inter Parfums, Inc. 18,550 466,903
* Interactive Data Corp. 58,013 983,320
* Interactive Intelligence, Inc. 26,100 147,465
* InterCept Group, Inc. 36,500 543,485
Interchange Financial Services Corp. 12,600 289,170
* Interdigital Communications Corp. 100,000 1,696,000
* Interep National Radio Sales, Inc. 4,600 8,970
* Interface, Inc. Class A 78,157 547,099
* Interferon Scientific, Inc. 2,435 101
* Intergraph Corp. 73,300 1,842,762
* Interland, Inc. 31,610 91,985
* Interlink Electronics, Inc. 9,700 97,485
* Intermagnetics General Corp. 28,395 836,801
Intermet Corp. 43,500 178,785
* InterMune, Inc. 54,200 770,182
International Aluminum Corp. 2,100 62,223
* International Microcomputer
Software, Inc. 5,100 6,630
* International Multifoods Corp. 32,800 818,688
* International Shipholding Corp. 6,100 86,650
*# Internet Commerce Corp. 4,000 5,560
* Internet Security Systems, Inc. 84,700 1,339,954
*# Interpharm Holdings, Inc. 31,700 102,074
* Interphase Corp. 5,400 51,295
Interpool, Inc. 38,000 641,250
* Interpore International, Inc. 30,400 438,672
Interstate Bakeries Corp. 77,200 810,600
* Interstate Hotels & Resorts, Inc. 49,540 265,039
Inter-Tel, Inc. 42,800 1,056,304
</Table>
20
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Intervoice, Inc. 59,818 $ 838,050
* Interwoven, Inc. 68,607 632,557
* Intest Corp. 8,600 49,450
* Intevac, Inc. 12,000 108,000
* IntraBiotics Pharmaceuticals, Inc. 8,500 120,955
* Intrado, Inc. 28,900 480,318
* Intraware, Inc. 14,200 28,258
* Introgen Therapeutics, Inc. 45,075 296,548
*# Intrusion, Inc. 4,050 8,015
* Intuitive Surgical, Inc. 56,123 928,274
Invacare Corp. 48,600 2,015,442
* Inveresk Resh 63,807 1,919,315
* Inverness Medical Innovations, inc. 7,461 144,669
* Investment Technology Group, Inc. 76,000 1,037,400
* INVESTools, Inc. 4,283 8,780
Investors Title Co. 1,400 38,717
* Invision Technologies, Inc. 27,200 1,355,920
* Iomed, Inc. 10,500 30,765
Iomega Corp. 87,595 423,960
* Ion Networks, Inc. 4,200 336
*# Ionatron, Inc. 17,500 103,075
* Ionics, Inc. 38,400 969,984
*# IPIX Corp. 4,350 36,496
* Iridex Corp. 6,800 47,260
*# IRIS International, Inc. 24,100 202,151
Irwin Financial Corp. 50,400 1,282,680
Isco, Inc. 5,635 89,760
* Isis Pharmaceuticals, Inc. 94,400 609,824
*# Island Pacific, Inc. 73,700 58,223
* Isle of Capri Casinos, Inc. 53,200 1,031,016
* Isolagen Inc 44,700 394,254
* Iteris Holdings, Inc. 300 810
* ITLA Capital Corp. 5,800 232,580
* Itron, Inc. 34,900 720,336
* ITXC Corp. 45,200 106,672
* iVillage, Inc. 63,600 438,204
* Ixia 102,300 958,551
* IXYS Corp. 55,824 521,954
* J & J Snack Foods Corp. 15,100 600,376
* J Net Enterprises, Inc. 8,400 12,600
* J. Alexander's Corp. 9,200 65,780
* J. Jill Group, Inc. 33,800 690,534
* j2 Global Communication, Inc. 39,332 974,254
* Jack in the Box, Inc. 61,800 1,728,546
* Jaclyn, Inc. 1,300 6,604
* Jaco Electronics, Inc. 5,659 28,190
* Jacuzzi Brands, Inc. 127,678 1,090,370
* Jakks Pacific, Inc. 42,623 757,837
* Jarden Corp. 45,450 1,590,750
* JDA Software Group, Inc. 48,712 616,207
* Jennifer Convertibles, Inc. 1,300 4,108
JLG Industries, Inc. 73,800 931,356
* JMAR Industries, Inc. 23,700 52,614
* Jo-Ann Stores, Inc. 37,075 1,061,457
* Johnson Outdoors, Inc. 6,700 127,769
* Jones Lang LaSalle, Inc. 53,600 1,351,792
* Jos. A. Bank Clothiers, Inc. 17,700 576,843
* Journal Register Co. 71,200 1,381,280
Joy Global, Inc. 85,500 2,351,250
* JPS Industries, Inc. 9,200 22,825
* Juno Lighting, Inc. 980 33,065
* Jupitermedia Corp. 43,780 $ 450,934
K Swiss, Inc. Class A 45,200 904,000
* K-Tron International, Inc. 2,400 51,216
* K-V Pharmaceutical Co. Class A 55,450 1,413,975
* K-V Pharmaceutical Co. Class B 20,975 572,617
* K2, Inc. 60,663 892,959
* Kadant, Inc. 23,420 473,787
* Kaiser Aluminum Corp. 14,500 507
Kaman Corp. Class A 38,300 451,174
* Kansas City Southern Industries, Inc. 105,600 1,372,800
* Katy Industries, Inc. 8,300 48,555
Kaydon Corp. 47,900 1,285,157
* KBK Capital Corp. 2,200 2,475
* KCS Energy, Inc. 82,900 1,037,079
*# Keane, Inc. 107,864 1,547,848
* Keith Companies, Inc. 11,400 159,828
Keithley Instruments, Inc. 23,200 501,352
Kellwood Co. 45,476 1,850,873
Kelly Services, Inc. 53,005 1,470,359
* Kemet Corp. 146,923 1,785,114
* Kendle International, Inc. 22,203 166,522
Kennametal, Inc. 35,200 1,499,520
* Kennedy-Wilson, Inc. 8,800 59,840
* Kensey Nash Corp. 19,300 616,442
*# Keravision, Inc. 4,300 13
Kewaunee Scientific Corp. 2,000 21,530
* Key Energy Group, Inc. 221,900 2,147,992
* Key Technology, Inc. 4,700 61,570
* Key Tronic Corp. 8,600 30,788
* Keynote Systems, Inc. 18,600 242,730
* Keystone Automotive Industries, Inc. 25,858 711,095
* Keystone Consolidated Industries, Inc. 2,100 283
* Kforce, Inc. 52,200 478,152
* KFX, Inc. 92,500 818,625
Kimball International, Inc. Class B 41,100 568,824
* Kindred Healthcare, Inc. 61,878 1,537,050
* Kirby Corp. 41,200 1,458,480
* Kirklands, Inc. 17,200 202,100
Knape & Vogt Manufacturing Co. 2,290 29,816
* Knight Trading Group, Inc. 50,956 583,956
* Knight Transportation, Inc. 63,625 1,551,177
* Koala Corp. 6,500 2,535
* Komag Inc 46,609 675,830
* Kontron Mobile Computing, Inc. 8,900 3,471
* Kopin Corp. 119,087 645,452
* Korn/Ferry International 64,400 894,516
* Kos Pharmaceuticals, Inc. 52,000 1,730,040
* Kosan Biosciences, Inc. 48,424 525,885
Koss Corp. 3,600 75,456
* Krispy Kreme Doughnuts, Inc. 25,000 536,750
* Kroll, Inc. 66,560 2,432,102
Kronos Worldwide, Inc. 34,941 1,083,171
* Kronos, Inc. 52,500 2,177,700
* Kulicke & Soffa Industries, Inc. 85,734 983,369
* KVH Industries, Inc. 23,828 321,440
* Kyphon, Inc. 67,900 1,662,871
* La Jolla Pharmceutical Co. 109,100 294,570
La-Z-Boy, Inc. 89,400 1,649,430
* LaBarge, Inc. 26,800 203,680
* LabOne, Inc. 28,994 902,003
* Labor Ready, Inc. 70,000 851,900
</Table>
21
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
# Labranche & Co., Inc. 101,700 $ 911,232
Laclede Group, Inc. 32,600 888,024
* LaCrosse Footwear, Inc. 5,800 45,588
Ladish Co., Inc. 19,500 169,650
Lakeland Bancorp, Inc. 13,119 206,624
* Lakeland Industries, Inc. 2,420 52,635
* Lakes Entertainment, Inc. 21,950 271,302
* Lamson & Sessions Co. 23,400 176,670
Lance, Inc. 62,400 951,600
* Lancer Corp. 9,325 59,680
Landamerica Financial Group, Inc. 31,700 1,264,513
Landauer, Inc. 14,200 582,342
* Landec Corp. 36,190 256,587
Landry's Restaurants, Inc. 47,100 1,413,000
* Landstar Systems, Inc. 48,600 2,362,932
* Lannet Co., Inc. 33,430 566,639
* Lantronix, Inc. 15,000 18,750
*# Large Scale Biology Corp. 42,800 65,912
* Larscom, Inc. 1,157 5,785
* Laserscope 34,750 996,283
* Lattice Semiconductor Corp. 188,666 1,473,481
* Laureate Education, Inc. 69,700 2,559,384
Lawson Products, Inc. 9,600 337,440
* Lawson Software, Inc. 167,308 1,199,598
* Layne Christensen Co. 11,600 195,576
* Lazare Kaplan International, Inc. 8,700 76,560
* LCA-Vision, Inc. 22,650 543,600
* LCC International, Inc. Class A 30,900 127,926
* Learning Tree International, Inc. 29,100 417,585
* Lecroy Corp. 10,100 186,143
* Lectec Corp. 3,900 3,120
Leesport Financial Corp. 525 12,416
Lennox International, Inc. 100,005 1,648,082
* Lesco, Inc. 18,300 236,619
* Level 8 Systems, Inc. 3,729 1,007
* Levitt Corp. Series A 2,821 67,789
* Lexar Media, Inc. 129,897 1,228,826
* Lexicon Genetics, Inc. 107,600 754,276
Libbey, Inc. 23,200 591,832
* Liberate Technologies, Inc. 106,300 279,038
Liberty Corp. 30,900 1,438,395
Liberty Homes, Inc. Class A 200 910
* Lifecell Corp. 44,600 455,812
* Lifecore Biomedical, Inc. 21,900 153,300
* Lifeline Systems, Inc. 8,200 169,166
Lifetime Hoan Corp. 18,462 377,714
*# Ligand Pharmaceuticals, Inc. Class B 119,977 2,452,330
* Lightbridge, Inc. 45,021 237,261
* Lightning Rod Software, Inc. 580 641
* LightPath Technologies, Inc. 1,850 7,863
* Lin TV Corp. 44,600 1,012,420
Lincoln Electric Holdings 69,262 2,147,122
Lindsay Manufacturer Co. 20,000 458,000
* Linens `n Things, Inc. 71,600 2,174,492
* Lionbridge Technologies, Inc. 31,197 244,273
*# Lipid Sciences, Inc. 41,758 177,472
*# Liquidmetal Technologies, Inc. 68,495 85,619
Lithia Motors, Inc. Class A 24,810 593,455
* Littlefuse, Inc. 37,500 1,483,500
* LMI Aerospace, Inc. 7,900 9,875
LNB Bancorp, Inc. 1,200 23,340
LNR Property Corp. 33,600 $ 1,688,400
* Local Financial Corp. 9,500 207,005
* Lodgenet Entertainment Corp. 22,200 438,894
* Lodgian, Inc. 51 755
* Log On America, Inc. 600 4
* Logic Devices, Inc. 6,700 10,720
* LogicVision, Inc. 28,200 84,290
* Logility, Inc. 13,200 58,740
* Lojack Corp. 25,700 205,600
Lone Star Steakhouse & Saloon, Inc. 35,800 909,320
* Lone Star Technologies, Inc. 48,400 973,808
Longs Drug Stores Corp. 63,700 1,364,454
Longview Fibre Co. 86,800 1,107,568
* LookSmart, Ltd. 177,867 416,209
* LOUD Technologies, Inc. 12,400 30,752
Louisiana-Pacific Corp. 37,200 859,320
Lowrance Electronics, Inc. 5,792 196,401
LSB Bancshares, Inc. NC 5,156 78,577
LSB Corp. 4,300 66,650
LSI Industries, Inc. 33,527 385,561
* LTX Corp. 103,500 1,102,275
* Luby's, Inc. 39,700 219,144
Lufkin Industries, Inc. 6,400 193,600
* Luminex Corp. 51,955 517,991
* Lydall, Inc. 26,900 237,527
* Lynch Corp. 1,500 21,000
* Lynch Interactive Corp. 2,800 100,772
* M & F Worldwide Corp. 30,400 395,200
* M-Wave, Inc. 2,900 4,640
M/I Schottenstein Homes, Inc. 23,000 976,810
MacDermid, Inc. 51,500 1,604,740
*# Mace Security International, Inc. 11,200 62,832
* Mac-Gray Corp. 12,600 80,766
* Macromedia, Inc. 117,485 3,054,610
* Macrovision Corp. 83,800 1,951,702
* Madden (Steven), Ltd. 22,700 438,337
MAF Bancorp, Inc. 44,927 1,979,034
* Magic Lantern Group, Inc. 1,700 1,539
* Magma Design Automation, Inc. 56,783 1,084,555
*# Magna Entertainment Corp. 21,200 110,664
* Magnetek, Inc. 55,900 436,579
* Magnum Hunter Resources, Inc. 117,102 1,179,217
* MAI Systems Corp. 3,400 850
* MAII Holdings, Inc. 3,400 34
* Main Street & Main, Inc. 25,200 51,660
Main Street Banks, Inc. 32,000 846,720
Maine & Maritimes Corp. 1,600 48,880
* MAIR Holdings, Inc. 33,716 269,728
* Major Automotive Companies, Inc. 3,280 2,066
* Management Network Group, Inc. 47,100 110,685
* Manatron, Inc. 1,102 8,948
* Manchester Technologies, Inc. 8,000 30,232
* Manhattan Associates, Inc. 51,300 1,462,050
Manitowoc Co., Inc. 45,150 1,433,513
# Mannatech, Inc. 13,500 137,160
*# Manning (Greg) Auctions, Inc. 9,200 122,084
* Manugistic Group, Inc. 128,100 570,045
* Mapics, Inc. 47,156 469,202
* Mapinfo Corp. 33,400 334,000
* Marimba, Inc. 44,800 366,464
Marine Products Corp. 25,530 467,199
</Table>
22
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* MarineMax, Inc. 29,375 $ 782,844
* Marisa Christina, Inc. 6,700 8,710
Maritrans, Inc. 7,800 114,270
* MarketWatch.com, Inc. 41,820 475,912
MarkWest Hydrocarbon, Inc. 9,350 100,045
* Marlton Technologies, Inc. 7,800 4,602
Marsh Supermarkets, Inc. Class A 1,600 21,832
Marsh Supermarkets, Inc. Class B 4,500 62,190
* Marten Transport, Ltd. 9,450 164,052
*# Martha Stewart Living
Omnimedia, Ltd. 32,100 293,715
MASSBANK Corp. 4,700 156,416
Massey Energy Co. 110,600 2,722,972
* Mastec, Inc. 81,450 347,792
* Material Sciences Corp. 24,200 250,470
* Matria Healthcare, Inc. 17,369 379,513
* Matritech, Inc. 30,500 35,685
* Matrix Bancorp, Inc. 6,500 77,350
* Matrix Service Co. 29,100 310,788
* MatrixOne, Inc. 83,200 568,256
*# Matrixx Initiatives, Inc. 15,200 130,872
Matthews International Corp. Class A 54,700 1,728,520
* Mattson Technology, Inc. 84,645 902,316
* Maui Land & Pineapple Company,
Inc. 10,200 334,254
* Maverick Tube Corp. 71,400 1,642,200
* Max & Ermas Restaurants, Inc. 2,300 38,525
* Maxco, Inc. 3,100 10,230
Maxcor Financial Group, Inc. 11,672 130,376
* Maxicare Health Plans, Inc. 980 118
*# Maxim Pharmaceuticals, Inc. 47,233 420,846
* Maximus, Inc. 37,200 1,336,968
* Maxwell Shoe Company, Inc. 23,700 529,221
* Maxwell Technologies, Inc. 24,360 387,080
* Maxxam, Inc. 8,900 224,725
* Maxygen, Inc. 58,537 587,711
* Mayor's Jewelers, Inc. 20,300 11,774
* Mays (J.W.), Inc. 200 2,762
MB Financial, Inc. 45,500 1,532,895
MBT Financial Corp. 11,069 193,708
* McDATA Corp. 130,554 620,132
MCG Capital Corp. 64,442 998,207
McGrath Rent Corp. 20,569 640,724
*# McMoran Exploration Co. 28,164 403,308
McRae Industries, Inc. Class A 2,600 25,870
* Meade Instruments Corp. 33,400 106,880
* Meadow Valley Corp. 2,400 5,220
* Meadowbrook Insurance Group, Inc. 29,800 151,086
* Measurement Specialties, Inc. 12,900 256,452
* Mechanical Technology, Inc. 4,700 24,205
* Medarex, Inc. 134,470 1,125,514
* MedCath Corp. 27,449 554,470
*# Med-Design Corp. 28,300 59,147
* Media 100, Inc. 7,100 160
Media General, Inc. Class A 3,100 213,342
* Media Services Group, Inc. 471 3,989
* MediaBay, Inc. 11,800 6,018
* Mediacom Communications Corp. 154,100 1,248,210
*# Medialink Worldwide, Inc. 5,900 21,240
* Medical Action Industries, Inc. 16,900 297,609
* Medical Staffing Network Holdings,
Inc. 51,200 $ 337,408
* Medicore, Inc. 3,800 12,426
* Medifast, Inc. 17,000 125,630
* Medquist, Inc. 64,700 797,751
* MedSource Technologies, Inc. 46,500 323,640
* MEDTOX Scientific, Inc. 5,030 51,306
* Memberworks, Inc. 17,500 500,850
* Mens Warehouse, Inc. 63,100 1,646,279
# Mentor Corp. 73,900 2,368,495
* Mentor Graphics Corp. 118,800 1,899,612
Mercantile Bank Corp. 1,260 41,051
Merchants Bancshares, Inc. 6,150 156,887
Merchants Group, Inc. 1,300 33,800
* Mercury Air Group, Inc. 4,950 29,700
* Mercury Computer Systems, Inc. 36,000 807,480
* Merge Technologies, Inc. 21,494 354,436
Meridian Bioscience, Inc. 25,236 255,666
* Meridian Resource Corp. 106,300 784,494
* Merit Medical Systems, Inc. 44,382 643,983
* Meritage Corp. 22,500 1,534,275
* Merix Corp. 32,013 342,539
* Merrimac Industries, Inc. 2,860 26,455
* Mesa Air Group, Inc. 53,935 413,681
Mesa Labs, Inc. 3,300 32,736
* Mestek, Inc. 5,400 85,104
* Meta Group, Inc. 12,700 58,420
* Metals USA, Inc. 27,600 411,240
* MetaSolv, Inc. 66,600 187,812
Methode Electronics, Inc. Class A 34,100 375,782
Met-Pro Corp. 8,100 120,690
* Metris Companies, Inc. 98,500 743,675
* Metro One Telecommunications, Inc. 39,650 66,216
MetroCorp. Bancshares, Inc. 7,000 105,350
* Metrologic Instruments, Inc. 36,100 535,002
* Metromedia International Group, Inc. 10,600 3,710
MFB Corp. 1,300 44,701
* MFRI, Inc. 4,900 14,627
MGE Energy, Inc. 30,992 940,297
# MGP Ingredients, Inc. 8,000 285,200
* Michael Anthony Jewelers, Inc. 7,400 10,545
* Micrel, Inc. 157,673 2,328,830
* Micro Component Technology, Inc. 14,052 19,251
* Micro Linear Corp. 12,000 72,360
* MicroFinancial, Inc. 15,200 44,080
* Micromuse, Inc. 117,493 695,559
* Micros Systems, Inc. 30,752 1,335,559
* Microsemi Corp. 100,500 1,230,120
* MicroStrategy, Inc. 10,200 489,702
* Microtek Medical Holdings, Inc. 72,910 328,897
* Micro-Therapeutics, Inc. 51,763 225,687
* Microtune, Inc. 63,300 216,486
*# Microvision, Inc. 36,446 310,884
* Midas, Inc. 26,000 497,900
Middleby Corp. 15,700 960,369
Middlesex Water Co. 8,400 165,144
Midland Co. 6,600 172,392
Mid-State Bancshares 40,096 899,754
*# Midway Games, Inc. 115,900 1,256,356
Midwest Banc Holdings, Inc. 30,050 687,845
* Midwest Express Holdings, Inc. 29,600 116,920
</Table>
23
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Mikohn Gaming Corp. 37,300 $ 183,143
* Milacron, Inc. 74,300 332,864
*# Milestone Scientific, Inc. 14,000 26,600
* Millennium Cell, Inc. 59,500 130,900
Millennium Chemicals, Inc. 101,800 1,728,564
* Miller Industries, Inc. 9,280 84,541
* Millerbuilding Systems Escrow
Shares 3,200 960
* Miltope Group, Inc. Contigent
Value Right 5,800 0
* MIM Corp. 38,000 297,920
* Mindspeed Technologies, Inc. 46,300 239,371
Mine Safety Appliances Co. 62,800 1,875,836
Minerals Technologies, Inc. 34,800 2,001,000
* Minorplanet Systems USA, Inc. 892 437
Minuteman International, Inc. 1,000 13,000
* MIPS Technologies, Inc. 66,200 459,428
*# Miravant Medical Technologies 1,800 5,274
* Misonix, Inc. 10,600 89,252
* Mission Resources Corp. 55,800 300,204
* Mitcham Industries, Inc. 8,700 36,540
* Mitek Systems, Inc. 11,100 6,938
* Mity Enterprises, Inc. 5,000 91,250
* MKS Instruments, Inc. 90,707 2,118,916
* Mobile Mini, Inc. 23,709 505,476
* Mobility Electronics, Inc. 47,000 389,160
* Mobius Management Systems, Inc. 17,100 102,600
Mocon, Inc. 5,500 42,680
* Modem Media, Inc. 9,500 53,295
Modine Manufacturing Co. 56,595 1,706,339
* Mod-Pac Corp. 2,750 23,128
* Mod-Pac Corp. Class B 1,112 9,352
* Modtech Holdings, Inc. 22,452 157,164
* Moldflow Corp. 17,886 199,608
* Molecular Devices Corp. 34,540 588,907
Monaco Coach Corp. 49,850 1,248,244
* Monarch Casino and Resort, Inc. 8,000 113,040
* Mondavi (Robert) Corp. Class A 16,300 567,566
* Monolithic System Technology, Inc. 49,133 342,948
* Monro Muffler Brake, Inc. 12,300 304,794
* Monterey Pasta Co. 24,200 87,120
* Mony Group, Inc. 6,100 190,564
* Moog, Inc. Class A 19,200 597,120
* Moog, Inc. Class B 3,300 118,388
* Morgan Group Holding Co. 4,400 330
* Morgan's Foods, Inc. 900 1,715
* Mossimo, Inc. 16,600 62,250
* Mother's Work, Inc. 8,854 195,319
* Motor Car Parts & Accessories, Inc. 2,500 21,250
Movado Group, Inc. 14,500 445,150
Movie Gallery, Inc. 56,000 1,041,040
* MPS Group, Inc. 185,800 2,058,664
* MPW Industrial Services Group 5,000 11,750
* MRO Software, Inc. 42,100 601,609
* MRV Communications, Inc. 178,900 475,874
* MSC Software Corp. 51,700 462,198
* MTC Technologies, Inc. 14,800 392,940
*# MTI Technology Corp. 1,300 3,848
* MTM Technologies, Inc. 4,900 8,183
* MTR Gaming Group, Inc. 48,468 451,237
MTS Systems Corp. 35,940 799,306
Mueller Industries, Inc. 58,145 $ 1,901,342
* Multi Color Corp. 2,250 35,145
*# Multimedia Games, Inc. 48,750 1,100,288
MutualFirst Financial, Inc. 2,000 44,265
Myers Industries, Inc. 50,063 676,351
* Mykrolis Corp. 69,900 1,132,380
* Myriad Genetics, Inc. 46,100 764,799
Mystic Financial, Inc. 1,575 45,069
* Nabi Biopharmaceuticals 97,150 1,632,120
Nacco Industries, Inc. Class A 6,500 576,810
*# Nanogen, Inc. 52,800 359,568
* Nanometrics, Inc. 20,394 260,839
*# Nanophase Technologies Corp. 29,498 212,091
*# Napco Security Systems, Inc. 4,300 37,840
Nara Bancorp, Inc. 19,500 600,210
Nash-Finch Co. 20,200 379,760
* Nashua Corp. 5,800 53,534
* Nassda Corp. 44,875 236,491
*# Nastech Pharmaceutical Co., Inc. 20,300 242,179
* NATCO Group, Inc. Class A 16,800 128,352
* Nathans Famous, Inc. 7,000 42,623
National Beverage Corp. 36,200 342,814
* National Dentex Corp. 3,500 106,418
* National Home Health Care Corp. 5,465 55,197
*# National Medical Health Card
Systems, Inc. 12,600 453,726
National Penn Bancshares, Inc. 40,784 1,169,277
National Presto Industries, Inc. 6,800 267,920
* National Processing, Inc. 116,000 3,336,160
* National Research Corp. 7,000 117,600
* National RV Holdings, Inc. 17,300 205,870
* National Steel Corp. Class B 200 1
* National Technical Systems, Inc. 8,600 42,733
* National Western Life Insurance Co.
Class A 1,000 146,150
* Natrol, Inc. 10,000 27,500
* Natural Alternatives International, Inc. 5,400 59,238
Nature's Sunshine Products, Inc. 24,550 365,795
* Natus Medical, Inc. 14,600 74,898
Nautilus Group, Inc. 55,400 834,878
* Navarre Corp. 43,600 536,280
* Navidec, Inc. 644 1,117
* Navigant Consulting, Inc. 77,200 1,578,740
*# Navigant International, Inc. 26,700 464,046
* Navigators Group, Inc. 21,371 617,622
NBT Bancorp 55,077 1,196,823
* NCI Building Systems, Inc. 33,100 962,217
* NCO Group, Inc. 45,884 1,137,477
# NDChealth Corp. 60,800 1,357,664
* NeighborCare, Inc. 73,800 2,214,000
* Nektar Therapeutics 89,769 1,929,136
Nelson (Thomas), Inc. 22,300 522,266
* Neoforma, Inc. 33,814 384,465
* Neogen Corp. 7,625 122,000
* NeoMagic Corp. 53,900 220,990
* NEON Systems, Inc. 8,600 30,186
* Neopharm, Inc. 39,417 433,587
* Neose Technologies, Inc. 33,900 283,743
* Neoware Systems, Inc. 23,800 205,632
* NES Rentals Holdings, Inc. 36 293
Net Perceptions, Inc. 22,600 20,340
</Table>
24
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Net2Phone, Inc. 74,200 $ 317,205
NetBank, Inc. 57,533 616,754
* Netegrity, Inc. 63,700 600,054
*# Netflix, Inc. 74,400 2,456,688
* Netguru, Inc. 17,200 25,972
* NetIQ Corp. 91,787 1,216,178
* NetManage, Inc. 10,442 68,395
* Netopia, Inc. 38,800 225,040
* NetRatings, Inc. 57,363 802,508
* Netscout System, Inc. 51,600 355,524
* NetSolve, Inc. 12,100 120,419
* Network Engines, Inc. 61,400 195,252
* Network Equipment Technologies,
Inc. 40,800 300,288
*# Network Plus Corp. 14,500 25
* Neurobiological Technologies, Inc. 2,700 10,800
* Neurogen Corp. 74,113 697,403
Nevada Chemicals, Inc. 2,500 13,300
* Nevada Gold & Casinos, Inc. 20,350 299,145
* New Brunswick Scientific Co., Inc. 7,660 46,573
* New Century Equity Holdings Corp. 21,200 4,770
New Century Financial Corp. 51,150 2,230,652
New England Business Services, Inc. 22,600 991,462
New Hampshire Thrift BancShares,
Inc. 200 5,960
* New Horizons Worldwide, Inc. 10,200 59,578
New Jersey Resources Corp. 46,600 1,829,982
Newmil Bancorp, Inc. 4,400 119,900
* Newpark Resources, Inc. 142,500 805,125
* Newport Corp. 65,418 950,524
* Newtek Business Services, Inc. 45,088 216,873
* Niagara Corp. 8,200 33,087
* NIC, Inc. 117,100 646,392
Nitches, Inc. 864 5,581
NL Industries, Inc. 78,876 985,950
* NMS Communications Corp. 62,000 533,200
* NMT Medical, Inc. 11,500 43,758
NN, Inc. 15,250 181,018
* Nobel Learning Communities, Inc. 6,500 42,738
Nobility Homes, Inc. 4,100 85,075
Noble International, Ltd. 14,360 414,286
* Noel Group, Inc. 8,000 24
# Noland Co. 200 8,556
Nordson Corp. 59,277 2,242,449
* Norstan, Inc. 22,400 72,128
* North America Galvanizing &
Coatings, Inc. 6,700 13,400
* North American Scientific, Inc. 17,600 157,520
North Central Bancshares, Inc. 1,700 64,294
North Pittsburgh Systems, Inc. 25,066 483,774
Northeast Bancorp 900 17,429
Northeast Pennsylvania Financial
Corp. 4,400 77,110
Northern Technologies International
Corp. 3,000 14,160
*# Northfield Laboratories, Inc. 32,300 424,745
* Northland Cranberries, Inc. 4,400 2,904
Northrim BanCorp, Inc. 6,068 121,368
*# Northwest Airlines Corp. 147,700 1,493,247
Northwest Bancorp, Inc. 79,904 1,777,065
# Northwest Natural Gas Co. 44,200 1,286,662
* Northwest Pipe Co. 6,300 $ 92,610
* Novamed Eyecare, Inc. 36,300 131,769
* Novavax, Inc. 59,000 277,300
* Noven Pharmaceuticals, Inc. 39,408 755,845
* Novoste Corp. 27,800 83,400
*# NPS Pharmaceuticals, Inc. 62,900 1,365,559
* NS Group, Inc. 35,500 472,150
* NTN Communications, Inc. 89,193 267,579
* Nu Horizons Electronics Corp. 28,400 230,892
*# Nucentrix Broadband Networks, Inc. 10,400 23,140
* NuCo2, Inc. 16,000 313,120
NUI Corp. 29,892 406,232
* Numerex Corp. Class A 10,800 49,680
NuSkin Enterprises, Inc. 101,400 2,271,360
* Nutraceutical International Corp. 18,976 465,102
* Nutramax Products, Inc. 3,300 3
* Nutrition 21, Inc. 4,900 3,185
* Nuvelo, Inc. 40,322 350,801
NWH, Inc. 4,200 78,813
* NYFIX, Inc. 50,081 252,408
Nymagic, Inc. 8,700 223,590
* O'Charleys, Inc. 38,050 692,891
* O.I. Corp. 2,700 22,707
Oak Hill Financial, Inc. 3,000 95,550
Oakley, Inc. 115,700 1,552,694
* Obie Media Corp. 5,900 20,827
* Oceaneering International, Inc. 42,200 1,333,942
OceanFirst Financial Corp. 22,032 491,314
* Ocular Sciences, Inc. 41,600 1,389,856
* Ocwen Financial Corp. 115,234 1,433,511
* Odd Job Stores, Inc. 12,700 20,511
* Odetics, Inc. Series B 200 750
* Odyssey Healthcare, Inc. 61,500 1,042,425
* Offshore Logistics, Inc. 38,400 882,048
*# Oglebay Norton Co. 2,500 350
* Ohio Casualty Corp. 103,700 1,944,375
* Oil States International, Inc. 83,831 1,190,400
Oil-Dri Corp. of America 4,200 67,494
* Old Dominion Freight Lines, Inc. 40,950 1,137,182
Olin Corp. 117,452 1,932,085
* Olympic Steel, Inc. 9,600 136,320
* OM Group, Inc. 48,200 1,286,458
Omega Financial Corp. 8,200 270,436
* Omega Protein Corp. 39,200 423,360
* OMNI Energy Services Corp. 18,900 94,500
* Omnicell, Inc. 41,500 554,025
* OmniVision Technologies, Inc. 75,500 1,768,210
* Omnova Solutions, Inc. 13,900 71,724
* Omtool, Ltd. 3,570 37,485
* On Assignment, Inc. 42,800 251,236
*# ON Semiconductor Corp. 397,951 2,304,136
* On2.cCom, Inc. 75,000 55,500
* One Price Clothing Stores, Inc. 2,957 59
*# Oneida, Ltd. 28,900 35,836
* OneSource Information Services, Inc. 11,900 104,958
* Online Resources Corp. 30,000 221,400
* Onyx Acceptance Corp. 5,100 77,265
* Onyx Pharmacueticals, Inc. 54,800 2,573,956
* ONYX Software Corp. 23,800 91,630
* OPENT Technologies, Inc. 33,900 472,227
* OpenTV Corp. 39,946 101,063
</Table>
25
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Openwave Systems Inc 106,599 $ 1,190,711
* Opinion Research Corp. 6,700 46,498
* Oplink Communications, Inc. 53,100 106,731
* Opsware, Inc. 80,250 647,618
* Opti, Inc. 11,600 17,980
* Optical Cable Corp. 8,700 46,797
* Optical Communication Products,
Inc. 74,050 167,353
* Optical Sensors, Inc. 1,633 6,777
* Optika, Inc. 8,200 29,766
Option Care, Inc. 35,800 482,226
* OraSure Technologies, Inc. 75,500 557,945
* Orbit International Corp. 1,582 11,202
* Orbital Sciences Corp. 82,800 1,039,140
*# Orchid Biosciences, Inc. 9,381 68,012
* Oregon Steel Mills, Inc. 45,000 507,150
* Orleans Homebuilders, Inc. 28,600 523,380
* Orphan Medical, Inc. 10,300 92,288
*# Orthodontic Centers of America, Inc. 85,151 728,041
* Orthologic Corp. 58,713 471,465
*# Oscient Pharmaceutical Corp. 128,400 602,196
Oshkosh B'Gosh, Inc. Class A 17,000 383,690
*# OSI Systems, Inc. 24,800 553,784
* Osteotech, Inc. 29,100 181,584
Otter Tail Co. 43,800 1,119,528
Outlook Group Corp. 2,400 14,760
* Overland Storage, Inc. 23,075 330,434
Overseas Shipholding Group, Inc. 59,725 2,277,912
*# Overstock Com 28,400 1,022,116
Owens & Minor, Inc. 66,700 1,614,140
Oxford Industries, Inc. 27,500 1,013,375
* Oxigene, Inc. 12,600 92,862
* Oxis International, Inc. 7,900 5,293
* OYO Geospace Corp. 5,100 89,194
* P&F Industries, Inc. Class A 1,300 10,173
* P.F. Chang's China Bistro, Inc. 43,300 1,959,758
Pacific Capital Bancorp 57,833 2,131,146
* Pacific Mercantile Bancorp 5,900 64,310
* Pacific Premier Bancorp, Inc. 3,900 44,889
Packaging Dynamics Corp. 4,120 55,002
* Packeteer, Inc. 55,800 797,382
* Pac-West Telecomm, Inc. 23,100 27,258
* Pain Therapeutics, Inc. 60,115 470,099
* Palatin Technologies, Inc. 62 233
* Paligent, Inc. 347 73
* Palm Harbor Homes, Inc. 38,811 735,080
*# Palmone Inc. 78,284 1,661,969
* Palmsource Inc. 21,681 439,040
* PAM Transportation Services, Inc. 19,250 356,125
Pamrapo Bancorp, Inc. 5,100 126,888
* Panavision, Inc. 3,600 23,310
*# Panera Bread Co. 44,900 1,558,928
* Pantry, Inc. 33,700 611,655
*# Papa John's International, Inc. 30,000 872,700
* Par Technology Corp. 7,800 81,120
* Paradyne Networks Corp. 97,955 463,327
* Paragon Technologies, Inc. 4,200 42,000
* Parallel Petroleum Corp. 42,900 169,412
* Parametric Technology Corp. 447,395 2,169,866
* Parexel International Corp. 44,400 878,676
Park Bancorp, Inc. 1,200 36,864
Park Electrochemical Corp. 33,650 $ 839,904
* Parker Drilling Co. 160,200 514,242
*# Parkervision, Inc. 19,300 106,922
* Park-Ohio Holdings Corp. 10,400 125,840
Parkvale Financial Corp. 5,700 151,506
* Parlex Corp. 13,800 83,766
* Parlux Fragrances, Inc. 9,900 90,486
* Party City Corp. 29,522 433,678
* Pathmark Stores, Inc. 49,179 331,958
* Patient Infosystems, Inc. 733 2,566
Patina Oil & Gas Corp. 64,930 1,716,749
* Patrick Industries, Inc. 4,500 46,350
# Patriot Bank Corp. 6,930 194,872
* Patriot Transportation Holding, Inc. 2,500 90,438
* Paula Financial, Inc. 6,100 17,385
* Paul-Son Gaming Corp. 4,100 16,031
* Paxar Corp. 67,300 1,240,339
* Paxson Communications Corp. 98,100 275,661
* Payless Cashways, Inc. 160 0
* Payless ShoeSource, Inc. 115,700 1,897,480
* PC Connection, Inc. 39,750 304,883
* PC Mall, Inc. 18,400 303,416
* PC-Tel, Inc. 37,700 412,438
* PDF Solutions, Inc. 43,159 387,999
* PDI, Inc. 24,498 705,542
* PDS Gaming Corp. 1,100 2,046
* PEC Solutions, Inc. 43,600 453,440
* Pediatric Services of America, Inc. 10,900 135,160
* Pediatrix Medical Group, Inc. 32,200 2,128,420
* Peerless Manufacturing Co. 3,000 32,130
* Peerless Systems Corp. 24,300 30,375
* Peet's Coffee & Tea, Inc. 22,311 508,245
*# Pegasus Communications Corp. 8,770 142,249
* Pegasus Solutions, Inc. 40,533 466,130
* Pegasystems, Inc. 60,259 512,804
* Pemco Aviation Group, Inc. 950 30,865
* Pemstar, Inc. 73,200 192,516
Penford Corp. 7,300 125,560
Penn Engineering & Manufacturing
Corp. Class A 1,200 18,360
Penn Engineering & Manufacturing
Corp. Non-Voting 15,000 263,100
* Penn National Gaming, Inc. 67,800 2,032,644
* Penn Treaty American Corp. 24,800 52,824
Penn Virginia Corp. 15,500 965,650
Penn-America Group, Inc. 24,500 323,400
Pennfed Financial Services, Inc. 7,400 224,072
Penns Woods Bancorp, Inc. 770 33,534
* Penwest Pharmaceuticals Co. 31,400 346,028
Peoples Bancorp, Inc. 300 7,463
Pep Boys - Manny, Moe & Jack 84,400 2,066,956
* Perceptron, Inc. 13,850 92,795
* Performance Technologies, Inc. 21,600 234,144
* Pericom Semiconductor Corp. 41,800 447,678
* Perini Corp. 39,200 427,280
* Perot Systems Corp. 60,900 828,849
Perrigo Co. 110,900 2,269,014
* Perry Ellis International, Inc. 13,600 326,128
* Per-Se Technologies, Inc. 50,000 650,000
* Pervasive Software, Inc. 37,339 227,768
* PetMed Express, Inc. 15,565 132,303
</Table>
26
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Petrocorp, Inc. Escrow Shares 6,900 $ 414
* Petroleum Development Corp. 27,133 666,658
PFF Bancorp, Inc. 28,700 1,142,834
* Pfsweb, Inc. 9 15
* Pharmacopia Drug Discovery, Inc. 26,450 184,092
* Pharmacyclics, Inc. 32,600 390,222
*# Pharmanetics, Inc. 9,500 6,650
* PharmChem, Inc. 5,100 816
* Pharmos Corp. 6,200 20,956
* Philadelphia Consolidated Holding
Corp. 37,200 2,108,496
Phillips-Van Heusen Corp. 52,200 988,146
* Phoenix Gold International, Inc. 1,000 1,240
* Phoenix Technologies, Ltd. 38,990 257,334
* Photo Control Corp. 1,000 2,750
* PhotoMedex, Inc. 49,800 176,790
* Photon Dynamics, Inc. 28,100 906,787
* Photronics, Inc. 53,300 942,344
* Physiometrix, Inc. 7,400 12,580
* Piccadilly Cafeterias, Inc. 10,400 10
* Pico Holdings, Inc. 12,300 224,475
Piedmont Natural Gas Co. 32,500 1,332,825
Pilgrims Pride Corp. Class B 29,500 792,960
* Pinnacle Entertainment, Inc. 59,800 681,720
* Pinnacle Systems, Inc. 115,400 838,958
* Pioneer Drilling Co. 1,500 9,630
* Pixelworks, Inc. 51,000 922,080
* Pizza Inn, Inc. 10,000 29,200
* Plains Exploration & Production Co. 98,563 1,754,421
* Plains Resources, Inc. 40,100 687,314
* Planar Systems, Inc. 24,800 313,720
* Plantronics, Inc. 27,700 1,101,075
* Plato Learning, Inc. 39,066 411,756
* Play By Play Toys and Novelties, Inc. 3,300 8
* Playboy Enterprises, Inc. Class A 4,700 51,700
* Playboy Enterprises, Inc. Class B 47,100 568,968
* Playtex Products, Inc. 104,100 744,315
* Plexus Corp. 73,000 1,072,370
* Plug Power, Inc. 124,043 944,215
* PLX Technology, Inc. 40,500 603,855
* Plymouth Rubber, Inc. Class B 200 68
PMA Capital Corp. Class A 51,800 361,046
PNM Resources, Inc. 68,400 2,055,420
Pocahontas Bancorp, Inc. 4,400 75,130
*# Point Therapeutics, Inc. 660 4,125
* Point.360 9,000 28,980
PolyMedica Corp. 44,600 1,289,386
* Polyone Corp. 94,200 649,038
Pomeroy IT Solutions, Inc. 20,195 256,880
Pope & Talbot, Inc. 26,700 446,691
* Porta Systems Corp. 9,600 1,056
* Portal Software, Inc. 70,020 322,092
* Possis Medical, Inc. 30,200 861,304
Potlatch Corp. 50,100 1,891,275
* Powell Industries, Inc. 18,090 309,158
* Power Intergrations, Inc. 51,900 1,429,326
PowerCerv Corp. 1,755 1,106
* Power-One, Inc. 141,700 1,428,336
*# Powerwave Technologies, Inc. 107,800 863,478
* Pozen, Inc. 48,500 481,120
* PPT Vision, Inc. 6,800 9,588
* PRAECIS Pharmaceuticals, Inc. 88,204 $ 367,811
Preformed Line Products Co. 1,200 33,000
* Premier Financial Bancorp 5,200 47,892
*# Premier Laser Systems, Inc. Class A 3,400 2
*# Pre-Paid Legal Services, Inc. 27,750 653,790
Presidential Life Corp. 49,400 835,848
* Presstek, Inc. 58,198 600,021
*# PRG-Schultz International, Inc. 104,100 469,491
* Price Communications Corp. 95,970 1,386,767
*# Priceline.com, Inc. 45,116 1,182,039
* Pricesmart, Inc. 9,600 52,896
* Prima Energy Corp. 22,062 840,562
* Prime Hospitality Corp. 76,400 757,124
* Prime Medical Services, Inc. 38,628 225,974
* PRIMEDIA, Inc. 437,638 1,304,161
* Primus Knowledge Solutions, Inc. 16,500 35,145
* Primus Telecommunications Group,
Inc. 86,000 521,160
* Princeton Review, Inc. 14,600 104,098
* Printronix, Inc. 5,800 84,100
* Priority Healthcare Corp. 62,636 1,265,247
* Private Business, Inc. 945 2,174
* Proassurance Corp. 49,450 1,635,312
* Procom Technology, Inc. 5,400 6,588
* Procurenet, Inc. 19,700 20
* Progenics Pharmaceuticals, Inc. 28,500 500,175
Programmers Paradise, Inc. 5,200 38,428
* Progress Software Corp. 60,700 1,135,697
* ProQuest Co. 48,300 1,259,664
* ProsoftTraining.com 500 380
Prosperity Bancshares, Inc. 34,200 800,622
* Protection One, Inc. 91,400 17,823
* Protein Design Labs, Inc. 13,144 256,439
Providence & Worcester Railroad Co. 3,000 30,600
Provident Bancorp, Inc. 23,047 240,611
Provident Bankshares Corp. 41,877 1,208,151
Provident Financial Group, Inc. 19,500 780,780
Provident Financial Holdings, Inc. 8,325 207,293
* Province Healthcare Co. 82,825 1,326,857
* Proxim Corp. 67,269 89,468
* ProxyMed, Inc. 2,692 51,148
* PSS World Medical, Inc. 114,600 1,151,730
Psychemedics Corp. 5,225 57,475
* Psychiatric Solutions, Inc. 19,633 486,506
* PTEK Holdings, Inc. 97,928 1,027,265
Pulaski Financial Corp. 5,400 90,180
Pulitzer, Inc. 14,700 691,635
* Pure World, Inc. 7,600 14,592
* PW Eagle, Inc. 7,000 24,010
Pyramid Breweries, Inc. 5,700 12,483
* Qad, Inc. 57,783 610,766
* QEP Co., Inc. 2,125 32,279
* QRS Corp. 26,700 146,583
*# QuadraMed Corp. 27,006 82,368
Quaker Chemical Corp. 16,320 418,282
Quaker City Bancorp, Inc. 2,734 149,331
Quaker Fabric Corp. 28,550 227,544
* Quality Dining, Inc. 11,400 25,650
* Quality Systems, Inc. 10,100 471,973
* Qualstar Corp. 5,500 32,753
Quanex Corp. 27,900 1,242,945
</Table>
27
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Quanta Services, Inc. 194,000 $ 1,028,200
* Quantum Corp.- DLT 91,700 270,515
* Quantum Fuel Systems Technologies
Worldwide, Inc. 50,930 255,159
* Quest Software, Inc. 134,100 1,784,871
*# Questcor Pharmaceuticals, Inc. 26,800 22,512
* Quicklogic Corp. 39,000 116,961
* Quidel Corp. 53,544 299,311
* Quigley Corp. 19,300 153,223
* Quiksilver, Inc. 94,700 2,194,199
* Quinton Cardiology Systems, Inc. 24,200 253,858
* Quipp, Inc. 1,400 21,000
Quixote Corp. 13,691 287,511
*# Quokka Sports, Inc. 1,128 14
* Quovadx, Inc. 62,047 66,390
* R & B, Inc. 8,400 157,500
* R H Donnelley Corp. 52,800 2,275,680
* Radiant Systems, Inc. 64,344 288,905
* Radiologix, Inc. 36,100 142,956
* RadiSys Corp. 31,662 527,489
*# Radyne ComStream, Inc. 9,500 82,840
* Rag Shops, Inc. 2,415 7,970
* Railamerica, Inc. 56,100 715,275
* Raindance Communictions, Inc. 73,896 161,093
* Ralcorp Holdings, Inc. 49,400 1,647,490
* Ramtron International Corp. 37,700 185,107
Range Resources Corp. 96,300 1,143,081
* Rare Hospitality International, Inc. 57,382 1,467,832
Raven Industries, Inc. 15,355 488,135
* Rayovac Corp. 57,900 1,569,090
* Raytech Corp. 16,400 33,620
* RC2 Corp. 29,594 827,448
* RCM Technologies, Inc. 10,500 56,175
*# RCN Corp. 82,600 14,868
* Reading International, Inc. Class A 18,149 153,178
* Reading International, Inc. Class B 1,060 8,745
* RealNetworks, Inc. 287,000 1,724,870
*# Redhook Ale Brewery, Inc. 9,300 20,274
Redwood Empire Bancorp 5,250 118,913
Regal-Beloit Corp. 40,404 826,262
* Regeneration Technologies, Inc. 44,352 407,151
* Regeneron Pharmaceuticals, Inc. 84,100 944,443
* Regent Communications, Inc. 75,913 447,887
* Register.Com, Inc. 44,100 230,202
* Rehabcare Group, Inc. 27,500 686,950
* Reliability, Inc. 6,300 6,930
Reliance Steel & Aluminum Co. 54,557 1,996,241
Reliv International, Inc. 25,132 267,153
*# Relm Wireless Corp. 7,600 18,240
* Remec, Inc. 96,850 634,368
* RemedyTemp, Inc. 6,600 85,945
* Remington Oil & Gas Corp. 46,000 954,040
# Renaissance Learning, Inc. 52,600 1,104,074
* Rentrak Corp. 16,500 146,850
* Rent-Way, Inc. 46,300 430,590
* Repligen Corp. 51,000 127,500
* Reptron Electronics, Inc. 8,800 0
*# Reptron Electronics, Inc. 343 2,504
Republic Bancorp, Inc. 108,783 1,445,726
Republic Bancorp, Inc. Class A 15,225 293,081
* Republic First Bancorp, Inc. 6,334 75,375
* Res-Care, Inc. 37,785 $ 524,078
* ResMed, Inc. 41,300 2,098,040
Resource America, Inc. 29,551 644,212
* Resources Connection, Inc. 38,668 1,648,030
* Respironics, Inc. 37,200 1,978,668
* Restoration Hardware, Inc. 55,600 373,076
* Retail Ventures Inc. 56,600 409,218
* Retek, Inc. 93,100 607,012
* Revlon, Inc. 162,400 532,672
* Rewards Network, Inc. 41,600 410,176
* Rex Stores Corp. 18,600 228,780
* Rexhall Industries, Inc. 3,542 6,163
* RF Monolithics, Inc. 12,700 121,666
*# Rhythms NetConnections, Inc. 8,900 1
Richardson Electronics, Ltd. 18,527 209,540
* Rigel Pharmaceuticals, Inc. 2,222 39,463
Riggs National Corp. 49,299 1,076,690
* Rimage Corp. 8,600 121,518
* Rita Medical Systems, Inc. 30,350 150,840
* Riverside Group, Inc. 1,000 33
Riverview Bancorp, Inc. 4,500 93,555
Rivianna Foods, Inc. 16,700 438,208
* Riviera Holdings Corp. 3,600 31,284
RLI Corp. 42,000 1,510,740
* Roadhouse Grill, Inc. 13,340 3,335
Roanoke Electric Steel Corp. 9,900 130,185
Robbins & Myers, Inc. 24,600 543,660
*# Robotic Vision Systems, Inc. 3,480 11,658
* Rochester Medical Corp. 5,300 43,036
Rock of Ages Co. 4,400 35,772
*# Rockford Corp. 14,600 72,270
Rock-Tenn Co. Class A 61,200 983,484
Rocky Mountain Chocolate Factory,
Inc. 4,015 38,745
* Rocky Shoes & Boots, Inc. 4,500 92,070
* Rofin-Sinar Technologies, Inc. 25,300 662,126
* Rogers Corp. 27,500 1,689,875
Rollins, Inc. 77,100 1,880,469
* Ross Systems, Inc. 2,600 47,297
*# Roxio, Inc. 1,629 7,282
Royal Bancshares of Pennsylvania
Class A 4,430 101,181
Royal Gold, Inc. 35,335 492,217
* Royale Energy, Inc. 3,523 49,812
RPC, Inc. 28,600 391,820
* RSA Security, Inc. 104,200 1,911,028
* RTI International Metals, Inc. 36,000 522,360
* RTW, Inc. 5,150 33,284
* Rubio's Restaurants, Inc. 18,495 122,437
Ruddick Corp. 78,800 1,620,128
* Rudolph Technologies, Inc. 28,400 528,240
* Rural Cellular Corp. Class A 2,800 25,172
* Rural/Metro Corp. 14,000 17,500
* Rush Enterprises, Inc. Class A 7,000 82,670
* Rush Enterprises, Inc. Class B 7,000 84,959
Russ Berrie & Co., Inc. 34,500 931,500
Russell Corp. 54,500 892,710
* Ryan's Family Steak Houses, Inc. 71,800 1,208,394
Ryerson Tull, Inc. 41,800 560,538
* S&K Famous Brands, Inc. 2,100 35,753
S&T Bancorp, Inc. 45,400 1,357,460
</Table>
28
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* S1 Corp. 120,498 $ 1,131,476
* Saba Software, Inc. 22,900 80,150
* Safeguard Scientifics, Inc. 203,500 518,925
* SafeNet, Inc. 39,904 929,763
* Safety Components International, Inc. 118 1,578
* Saga Communications, Inc. Class A 30,925 579,844
* Salem Communications Corp. 30,440 913,200
*# Salton, Inc. 18,500 104,710
* San Filippo (John B.) & Son, Inc. 17,893 445,894
Sanders Morris Harris Group, Inc. 29,532 397,205
Sanderson Farms, Inc. 33,400 1,536,400
* Sands Regent Casino Hotel 2,000 13,660
Sandy Spring Bancorp, Inc. 23,756 831,460
* Sangamo BioSciences, Inc. 42,450 266,162
* Sapient Corp. 200,923 1,205,538
* Satcon Technology Corp. 46,700 128,425
Saucony, Inc. Class A 2,700 55,077
Saucony, Inc. Class B 3,500 70,630
Sauer-Danfoss, Inc. 49,600 770,784
* Savient Pharmaceuticals, Inc. 76,600 185,372
* Saxon Capital, Inc. 17,400 415,338
* SBA Communications Corp. 88,500 341,610
* SBE, Inc. 3,500 12,215
* SBS Technologies, Inc. 25,730 476,005
* ScanSoft, Inc. 217,760 1,141,062
* ScanSource, Inc. 21,200 1,128,900
Schawk, Inc. Class A 22,200 294,150
* Scheid Vineyards, Inc. 2,200 11,022
* Schick Technologies, Inc. 9,000 86,850
* Schieb (Earl), Inc. 2,200 7,282
* Schlotzskys, Inc. 7,200 10,937
* Schmitt Industries, Inc. 2,466 6,042
Schnitzer Steel Industries, Inc.
Class A 62,351 1,724,629
* Scholastic Corp. 64,381 1,818,119
* Schuff International, Inc. 7,000 16,380
Schulman (A.), Inc. 49,687 992,249
Schweitzer-Maudoit International, Inc. 25,500 717,825
* Sciclone Pharmaceuticals, Inc. 75,746 376,458
* Scientific Games Corp. 106,058 1,964,194
* Scientific Learning Corp. 4,400 24,244
* Scientific Technologies, Inc. 6,700 38,391
* SciQuest, Inc. 5,900 35,459
* SCM Microsystems, Inc. 25,663 163,473
SCP Pool Corp. 56,700 2,282,175
SCPIE Holdings, Inc. 9,300 81,003
* SCS Transportation, Inc. 24,350 553,963
Seaboard Corp. 1,400 523,600
* Seabulk International, Inc. 46,800 415,116
* Seachange International, Inc. 46,200 689,766
Seacoast Banking Corp. 14,808 296,752
Seacoast Financial Services Corp. 11,076 379,464
*# Seacor Smit, Inc. 33,500 1,341,340
* Seattle Genetics, Inc. 67,634 466,675
* Secom General Corp. 140 177
Second Bancorp, Inc. 9,900 316,008
* Secure Computing Corp. 60,274 534,028
* SED International Holdings, Inc. 825 1,254
* SeeBeyond Technology Corp. 142,000 428,840
* SEEC, Inc. 3,000 750
* Segue Software, Inc. 9,500 35,008
* Selas Corp. of America 4,750 $ 14,250
* Select Comfort Corp. 61,300 1,661,230
Select Medical Corp. 103,800 1,391,958
* Selectica, Inc. 66,500 291,337
Selective Insurance Group, Inc. 47,079 1,700,964
SEMCO Energy, Inc. 47,900 274,946
* Semitool, Inc. 48,500 555,325
* Semtech Corp. 69,436 1,744,232
* SEMX Corp. 4,600 690
* Seneca Foods Corp. Class A 200 3,750
* Seneca Foods Corp. Class B 1,300 24,141
# Sensient Technologies Corp. 81,200 1,640,240
* Sensytech, Inc. 10,414 224,640
* Sequa Corp. Class A 6,900 339,135
* Sequa Corp. Class B 2,600 131,820
* Sequenom, Inc. 64,500 103,845
* SeraCare Life Sciences, Inc. 4,080 46,512
*# Serena Software, Inc. 66,400 1,410,336
* Serologicals Corp. 41,950 718,604
* Service Corp. International 261,400 1,882,080
* ServiceWare Technologies, Inc. 2,900 1,682
* Servotronics, Inc. 1,100 4,285
* SFBC International, Inc. 24,750 602,168
* Shared Technologies Cellular, Inc. 10,100 6
* Sharper Image Corp. 25,800 727,560
*# Shaw Group, Inc. 107,487 1,268,347
* Sheffield Pharmceuticals, Inc. 25 0
* Shiloh Industries, Inc. 13,500 146,880
* Shoe Carnival, Inc. 20,879 287,713
* Shoe Pavilion, Inc. 6,200 14,477
* Sholodge, Inc. 5,100 34,425
* Shopko Stores, Inc. 49,700 677,908
*# Shuffle Master, Inc. 42,387 1,418,693
* Siebert Financial Corp. 22,300 93,437
Sierra Bancorp 1,700 25,840
* Sierra Health Services, Inc. 45,936 1,965,601
*# Sierra Pacific Resources 199,300 1,486,778
* Sifco Industries, Inc. 5,400 22,140
*# Sigma Designs, Inc. 34,800 232,464
* Sigmatron International, Inc. 2,200 26,730
Silgan Holdings, Inc. 31,200 1,308,528
*# Silicon Graphics, Inc. 340,500 643,545
* Silicon Image, Inc. 125,089 1,488,559
* Silicon Storage Technology, Inc. 158,500 2,052,575
* Silicon Valley Bancshares 59,500 2,223,515
* Siliconix, Inc. 37,437 1,803,340
* Simclar, Inc. 6,500 19,305
Simmons First National Corp. Class A 24,000 578,160
* SimpleTech, Inc. 75,057 282,214
Simpson Manufacturing Co., Inc. 41,300 2,263,240
* Sinclair Broadcast Group, Inc.
Class A 78,000 861,900
* Sipex Corp. 56,200 362,490
* Sirenza Microdevices, Inc. 54,466 218,409
*# Sirna Therapeutics, Inc. 42,625 133,843
* Sitel Corp. 122,200 382,486
* Six Flags, Inc. 157,905 1,105,335
SJW Corp. 9,000 292,500
* Skechers U.S.A., Inc. Class A 31,800 365,700
Skyline Corp. 8,300 332,166
Skywest, Inc. 98,446 1,647,002
</Table>
29
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*# Skyworks Solutions, Inc. 186,317 $ 1,665,674
* SL Industries, Inc. 5,900 63,720
* SM&A 33,300 269,730
* Smart & Final Food, Inc. 50,700 787,878
* SmartDisk Corp. 2,500 450
* Smith & Wollensky Restaurant
Group, Inc. 13,400 86,296
Smith (A.O.) Corp. 34,600 1,018,970
Smith (A.O.) Corp. Convertible
Class A 3,750 110,438
* Smith Micro Software, Inc. 21,400 44,512
* Smithway Motor Xpress Corp.
Class A 4,000 9,880
* Sola International, Inc. 54,300 1,052,877
* Somera Communications, Inc. 59,150 82,810
Sonic Automotive, Inc. 50,800 1,115,060
* Sonic Corp. 100,537 2,229,911
*# Sonic Foundry, Inc. 42,300 66,411
* Sonic Innovations, Inc. 34,700 355,675
* Sonic Solutions 36,800 782,000
* SonicWALL, Inc. 116,800 929,728
* SonoSite, Inc. 24,645 525,678
* Sonus Networks, Inc. 54,057 294,611
*# Sonus Pharmaceuticals, Inc. 30,900 145,230
* Sorrento Networks Corp. 17,800 52,154
* Sotheby's Holdings, Inc. Class A 80,900 1,206,219
Sound Federal Bancorp, Inc. 21,108 273,349
* Source Information Management, Inc. 39,200 411,600
* Source Media, Inc. 27,400 219
* Sourcecorp, Inc. 26,602 683,139
South Financial Group, Inc. 60,927 1,679,148
South Jersey Industries, Inc. 23,064 968,457
Southern Banc Company, Inc. 200 3,675
* Southern Energy Homes, Inc. 13,825 56,890
* Southern Union Co. 88,194 1,774,463
Southside Banchares, Inc. 315 5,733
* Southwall Technologies, Inc. 14,200 6,390
Southwest Bancorp, Inc. 11,400 195,168
Southwest Bancorporation of Texas,
Inc. 54,700 2,291,930
Southwest Gas Corp. 58,700 1,326,620
Southwest Water Co. 25,170 305,564
* Southwestern Energy Co. 61,200 1,564,272
*# Spacehab, Inc. 21,100 86,721
Span-American Medical System, Inc. 2,400 28,296
* Spanish Broadcasting System, Inc. 63,000 607,950
* SPAR Group, Inc. 2,900 3,857
Spartan Motors, Inc. 20,845 241,594
* Spartan Stores, Inc. 31,675 137,501
Spartech Corp. 50,000 1,144,000
* Sparton Corp. 7,938 66,441
* Specialty Laboratories, Inc. 38,600 348,172
SpectraLink Corp. 32,200 484,288
* Spectranetics Corp. 41,502 248,597
* Spectrum Control, Inc. 13,000 106,470
* SpectRx, Inc. 8,900 16,910
# Speedway Motorsports, Inc. 67,190 2,258,928
* Spescom Software, Inc. 1,202 649
* Spherion Corp. 102,320 945,437
* Spherix, Inc. 12,100 72,479
* Spiegel, Inc. Class A Non-Voting 100 6
* Spinnaker Exploration Co. 57,090 $ 1,902,810
* Spire Corp. 6,700 32,897
* Sport Chalet, Inc. 2,700 33,750
* Sport Supply Group, Inc. 8,900 10,458
* Sport-Haley, Inc. 2,700 14,418
* Sports Club Co., Inc. 20,100 32,160
* SportsLine.Com, Inc. 33,400 33,400
* Sportsman's Guide, Inc. 8,000 154,080
* SPSS, Inc. 27,637 460,156
* SRA International, Inc. 29,500 1,143,715
* SRI/Surgical Express, Inc. 6,100 42,151
* SRS Labs, Inc. 24,330 113,378
SS&C Technologies, Inc. 31,850 732,232
# St. Mary Land & Exploration Co. 50,500 1,641,755
* Staar Surgical Co. 31,300 236,628
* Stamps.com, Inc. 37,023 489,074
*# Standard Automotive Corp. 4,400 0
Standard Commercial Corp. 21,129 348,417
* Standard Management Corp. 7,600 26,220
* Standard Microsystems Corp. 30,600 754,902
Standard Motor Products, Inc. Class A 29,300 410,200
Standard Register Co. 40,300 491,257
Standex International Corp. 20,800 539,136
Stanley Furniture, Inc. 6,700 277,179
Star Buffet, Inc. 2,800 18,116
*# Star Scientific, Inc. 78,311 241,198
* Starbiz Restrictive Shares 2 0
* Starcraft Corp. 2,756 30,096
Starrett (L.S.) Co. Class A 4,800 75,504
StarTek, Inc. 24,400 813,984
State Auto Financial Corp. 67,520 2,056,659
State Financial Services Corp.
Class A 7,800 221,676
* Steak n Shake Co. 46,318 814,734
*# Steel Dynamics, Inc. 83,458 2,136,525
Steel Technologies, Inc. 20,150 430,203
* SteelCloud Co. 12,100 30,008
* Stein Mart, Inc. 71,416 1,031,247
* Steinway Musical Instruments, Inc. 12,500 425,000
* Stellent, Inc. 37,200 296,484
* Stemcells, Inc. 2,600 3,562
Stepan Co. 8,400 203,700
Stephan Co. 3,500 15,960
Sterling Bancorp 26,176 736,593
Sterling Bancshares 75,899 996,554
* Sterling Financial Corp. 37,370 1,192,113
Stewart & Stevenson Services, Inc. 48,702 825,499
* Stewart Enterprises, Inc. 183,033 1,376,408
Stewart Information Services Corp. 28,400 969,860
* Stifel Financial Corp. 6,100 153,110
* Stillwater Mining Co. 148,000 2,242,200
* Stone Energy Corp. 45,063 2,023,329
* Stonepath Group, Inc. 67,200 169,344
* Stoneridge, Inc. 43,600 682,776
* StorageNetworks, Inc. Escrow
Shares 60,800 1,648
* Stratasys, Inc. 17,400 451,878
* Strategic Diagnostics, Inc. 32,700 132,762
Strategic Distribution, Inc. 3,029 39,347
* Stratesec, Inc. 7,300 58
* Stratex Networks, Inc. 142,518 417,578
</Table>
30
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Stratos International, Inc. 20,936 $ 119,126
* Strattec Security Corp. 4,100 238,866
* Stratus Properties, Inc. 7,050 88,125
Strayer Ed, Inc. 8,300 967,697
Stride Rite Corp. 65,100 686,805
Sturm Ruger & Co., Inc. 45,700 541,545
* Suburban Lodges of America, Inc.
Escrow Shares 18,500 0
Suffolk Bancorp 8,600 273,136
* Summa Industries, Inc. 5,200 49,712
Summit Bancshares, Inc. 2,000 56,500
Summit Bank Corp. 2,520 42,336
* SumTotal Systems, Inc. 28,067 181,032
* Sun Bancorp, Inc. 23,736 528,601
Sun Hydraulics, Inc. 4,900 60,613
* Sunair Electronics, Inc. 3,000 17,220
* Sundance Homes, Inc. 3,000 17
* SunLink Health Systems, Inc. 1,048 5,450
*# Sunrise Senior Living, Inc. 36,065 1,299,783
Sunrise Telecom, Inc. 3,700 9,842
* Suntron Corp. 5,265 40,698
* Superconductor Technologies, Inc. 83,940 96,531
* Supergen, Inc. 72,390 547,992
* Superior Consultant Holdings Corp. 10,700 66,768
* Superior Energy Services, Inc. 126,500 1,157,475
# Superior Industries International, Inc. 45,400 1,482,310
Superior Uniform Group, Inc. 7,000 115,500
* Supertex, Inc. 21,800 341,606
* SupportSoft, Inc. 71,600 703,112
Supreme Industries, Inc. 11,408 77,004
*# SureBeam Corp. 12,725 115
SureWest Communications 24,112 773,272
*# SurModics, Inc. 29,700 662,310
Susquehanna Bancshares, Inc. 67,800 1,649,574
* Swift Energy Corp. 47,000 949,400
* Swift Transportation, Inc. 4,200 75,432
* Swisher International, Inc. 700 770
*# Switchboard, Inc. 30,600 236,538
SWS Group, Inc. 29,118 469,382
* Sybron Dental Specialties, Inc. 65,300 1,778,772
* Sycamore Networks, Inc. 226,952 1,000,858
* Sykes Enterprises, Inc. 65,328 408,953
* Sylvan, Inc. 5,400 65,070
* Symmetricom, Inc. 82,767 653,859
* Syms Corp. 28,200 229,548
* Symyx Technologies 54,200 1,305,678
* Synalloy Corp. 5,900 54,988
* Synaptics, Inc. 42,000 805,140
* Synovis Life Technologies, Inc. 19,500 175,500
* Synplicity, Inc. 40,975 239,704
Syntel, Inc. 67,148 1,272,455
* Synthetech, Inc. 16,400 20,828
*# Syntroleum Corp. 66,566 419,366
Sypris Solutions, Inc. 28,163 535,097
* Systemax, Inc. 40,100 248,620
* T-3 Energy Services, Inc. 1,250 8,219
* Tag-It Pacific, Inc. 16,500 78,870
* Taitron Components, Inc. 5,000 12,950
*# Take Two Interactive Software 32,200 958,594
* TALK America Holdings, Inc. 44,509 418,830
TALX Corp. 23,038 534,482
Tandy Brand Accessories, Inc. 5,900 $ 79,296
* Tanox, Inc. 75,600 1,245,132
* Tarantella, Inc. 3,300 5,330
* Tarrant Apparel Group 32,800 61,992
Tasty Baking Co. 17,400 164,082
TB Woods Corp. 7,600 58,140
* TBA Entertainment Corp. 7,300 4,818
* TBC Corp. 37,250 945,778
* TEAM America, Inc. 2,800 0
* Team, Inc. 7,600 119,320
* TeamStaff, Inc. 20,200 46,056
Tech/Ops Sevcon, Inc. 3,100 18,042
Teche Holding Co. 700 24,938
* Techne Corp. 45,700 1,770,875
* Technical Communications Corp. 400 1,700
* Technical Olympic USA, Inc. 8,500 276,675
* Technitrol, Inc. 68,600 1,427,566
Technology Research Corp. 9,700 101,753
* Technology Solutions Corp. 42,400 45,792
* TechTeam Global, Inc. 20,800 159,765
Tecumseh Products Co. Class A 23,400 868,608
* Tegal Corp. 5,000 8,300
*# Tejon Ranch Co. 13,900 482,747
*# Tekelec 105,900 1,760,058
* TeleCommunication Systems, Inc. 40,500 205,335
* Teledyne Technologies Inc. 55,200 1,016,784
* Teletech Holdings, Inc. 121,600 914,432
* Telik, Inc. 73,800 1,690,020
* Telular Corp. 22,000 244,398
* TenFold Corp. 4,500 7,875
Tennant Co. 15,300 581,400
* Tenneco Automotive, Inc. 71,200 909,224
* Terayon Communication Systems, Inc. 123,500 339,625
* Terex Corp. 58,021 1,711,039
* Terra Industries, Inc. 131,500 608,845
* Tesoro Petroleum Corp. 103,400 2,462,988
* Tessco Technologies, Inc. 4,500 79,830
* Tetra Tech, Inc. 91,126 1,545,497
* Tetra Technologies, Inc. 37,900 902,399
Texas Industries, Inc. 35,900 1,322,915
Texas Regional Banchshares, Inc.
Class A 50,440 2,221,882
Texas United Bancshares, Inc. 100 1,760
TF Financial Corp. 2,600 77,311
* Thackeray Corp. 4,100 5,535
* The Banc Corp. 27,800 190,152
The Brink's Co. 86,818 2,685,281
* The Dress Barn, Inc. 51,400 900,014
* The Geo Group, Inc. 25,000 483,750
The Marcus Corp. 35,200 570,240
* The Medicines Co. 75,791 2,436,681
# The Phoenix Companies, Inc. 160,700 1,881,797
* The Rowe Companies 13,100 59,605
* The Sports Authority, Inc. 43,506 1,483,555
* Theragenics Corp. 50,900 217,343
* Therma-Wave, Inc. 56,989 225,107
* Thermwood Corp. 200 163
* TheStreet.com, Inc. 41,600 156,416
* Third Wave Technologies 66,386 321,972
# Thomas & Betts Corp. 93,500 2,287,010
* Thomas Group, Inc. 4,000 6,000
</Table>
31
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Thomas Industries, Inc. 29,250 $ 995,085
*# Thoratec Corp. 94,843 1,383,759
*# THQ, Inc. 64,700 1,364,523
* Three-Five Systems, Inc. 35,599 190,811
* TIBCO Software, Inc. 172,330 1,430,339
* Tickets.com, Inc. 1,600 760
* Tier Technologies, Inc. Class B 30,900 336,192
TierOne Corp. 30,553 637,336
* TII Network Technologies, Inc. 11,260 15,764
Timberland Bancorp, Inc. 3,900 86,580
* Timco Aviation Services, Inc. 2,749 1,100
* Time Warner Telecom, Inc. 77,187 328,817
* Tipperary Corp. 17,900 58,533
Titan International, Inc. 19,600 208,740
* Titan Pharmaceuticals, Inc. 49,300 162,690
* Titanium Metals Corp. 3,170 286,093
* TiVo, Inc. 135,426 1,030,592
* TL Administration Corp. 200 6
* TLC Vision Corp. 33,060 343,493
Todd Shipyards Corp. 6,300 110,880
* Todhunter International, Inc. 4,600 64,400
* Tofutti Brands, Inc. 6,900 22,080
* Tollgrade Communications, Inc. 23,091 255,156
Tompkins County Trustco, Inc. 363 16,313
* Too, Inc. 58,500 984,555
Topps, Inc. 68,886 597,242
* Torch Offshore, Inc. 23,300 61,512
* Toreador Resources Corp. 4,900 25,774
Toro Co. 39,200 2,516,640
* Total Entertainment Restaurant Corp. 16,761 219,050
*# Tower Automotive, Inc. 97,500 361,725
Track Data Corp. 5,600 5,600
* Tractor Supply Co. 43,600 1,679,908
* Tradestation Group, Inc. 70,500 480,105
Traffix, Inc. 22,900 158,926
* Trailer Bridge, Inc. 9,800 54,390
* Trammell Crow Co. 59,500 756,245
* Trans World Entertainment Corp. 61,000 608,780
* Transact Technologies, Inc. 8,550 275,481
* Transaction Systems Architects, Inc. 64,900 1,224,663
* TransAxis, Inc. 72 5
* Transcat, Inc. 6,100 19,270
* Transgenomic, Inc. 21,900 33,945
* Transkaryotic Therapies, Inc. 58,500 843,570
* Transmeta Corp. 263,500 574,430
* Transmontaigne Oil Co. 61,500 357,930
* Transport Corp. of America 5,200 37,440
* Transport Industries, Inc. 1,400 2,254
* Transpro, Inc. 16,100 95,393
* Transtechnology Corp. 6,200 42,780
* TransTexas Gas Corp. Class A 236 5
*# Transwitch Corp. 40,600 62,524
* Travis Boats & Motors, Inc. 3,300 2,604
* TRC Companies, Inc. 23,500 387,985
Tredegar Industries, Inc. 61,491 888,545
*# Trenwick Group, Ltd. 11,975 108
*# Trestle Holdings Inc. 450 1,125
* Trex Co., Inc. 25,000 908,250
* Triad Guaranty, Inc. 24,500 1,407,770
Triarc Companies, Inc. Class A 33,300 361,305
Triarc Companies, Inc. Class B 49,000 524,790
Trico Bancshares 9,900 $ 180,774
*# Trico Marine Services, Inc. 57,100 13,133
* Trident Microsystems, Inc. 38,500 589,050
* Trimble Navigation, Ltd. 85,150 2,300,753
* Trimedyne, Inc. 4,300 3,870
* Trimeris, Inc. 36,700 538,022
# Trinity Industries, Inc. 74,900 2,142,889
* Trio-Tech International 400 1,848
* TriPath Imaging, Inc. 64,452 591,669
* Tripath Technology, Inc. 63,251 238,456
* Tripos, Inc. 10,620 59,366
* Triquint Semiconductor, Inc. 221,397 1,235,395
* Triton PCS Holdings, Inc. 103,600 488,992
* Triumph Group 26,302 836,667
* TriZetto Group, Inc. 79,700 520,441
* TRM Corp. 7,000 97,090
*# Tropical Sportswear International
Corp. 18,175 39,985
* Trover Solutions, Inc. 9,300 63,240
* Troy Group, Inc. 13,800 45,264
* Trump Hotels & Casino Resorts, Inc. 49,100 96,727
Trustco Bank Corp. 125,752 1,623,458
TSR, Inc. 4,400 29,436
* TTM Technologies, Inc. 69,000 786,600
* Tuesday Morning Corp. 69,300 1,978,515
* Tufco Technologies, Inc. 4,500 38,205
* Tularik, Inc. 104,551 2,586,592
* Tumbleweed Communications Corp. 74,095 368,993
# Tupperware Corp. 99,500 1,817,865
* TurboChef Technologies, Inc. 20,500 80,975
* Turnstone Systems, Inc. 65 9
* Tut Systems, Inc. 32,400 100,116
* Tweeter Home Entertainment
Group, Inc. 41,100 273,726
Twin Disc, Inc. 2,800 61,600
* Tyler Technologies, Inc. 70,500 627,450
*# U.S. Aggregates, Inc. 1,600 4
* U.S. Concrete, Inc. 44,900 313,402
* U.S. Physical Therapy, Inc. 20,372 251,798
* U.S. Xpress Enterprises, Inc.
Class A 10,823 140,158
* UbiquiTel, Inc. 84,490 357,393
* UFP Technologies, Inc. 3,800 12,350
UGI Corp. 42,900 1,376,661
* UICI 78,700 1,564,556
UIL Holdings Corp. 24,600 1,092,240
* Ulticom, Inc. 70,508 662,775
*# Ultimate Electronics, Inc. 23,500 84,130
* Ultimate Software Group, Inc. 35,000 449,750
* Ultradata Systems, Inc. 2,000 3,300
* Ultralife Batteries, Inc. 13,100 261,607
* Ultratech Stepper, Inc. 39,500 601,980
UMB Financial Corp. 35,765 1,818,650
Umpqua Holdings Corp. 48,203 916,821
*# Unapix Entertainment, Inc. 6,100 25
* Unico American Corp. 5,500 32,401
* Unifi, Inc. 83,334 194,168
Unifirst Corp. 14,350 373,100
* Uni-Marts, Inc. 6,500 14,235
Union Bankshares Corp. 170 5,106
Union Community Bancorp 2,300 41,044
</Table>
32
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Uniroyal Technology Corp. 13,300 $ 13
# Unisource Energy Corp. 67,080 1,655,534
* Unit Corp. 77,700 2,213,673
United Auto Group, Inc. 66,400 1,920,952
United Bankshares, Inc. WV 47,960 1,496,352
United Community Banks, Inc. 59,351 1,404,838
United Community Financial Corp. 51,972 629,381
United Financial Corp. 660 16,368
* United Financial Mortgage Corp. 9,400 48,880
United Fire & Casualty Co. 6,200 343,170
United Guardian, Inc. 1,900 12,084
United Industrial Corp. 22,300 468,300
* United Natural Foods, Inc. 67,300 1,702,017
* United Online, Inc. 108,403 2,036,892
* United PanAm Financial Corp. 600 8,700
* United Rentals, Inc. 121,600 2,079,360
* United Retail Group, Inc. 20,666 56,832
* United Road Services, Inc. 720 83
# United Security Bancshares 2,000 44,600
* United Stationers, Inc. 55,300 2,085,363
* United Surgical Partners International,
Inc. 46,502 1,814,043
* United Therapeutics Corp. 36,300 858,858
Unitil Corp. 4,700 122,670
Unity Bancorp, Inc. 5,460 70,980
* Universal Access Global Holdings,
Inc. 2,235 2,436
* Universal American Financial Corp. 92,000 1,007,400
* Universal Compression Holdings, Inc. 50,949 1,507,581
Universal Corp. 42,700 2,009,462
* Universal Display Corp. 47,100 540,708
* Universal Electronics, Inc. 23,300 343,442
Universal Forest Products, Inc. 30,373 879,602
* Universal Stainless & Alloy Products,
Inc. 6,000 64,986
Unizan Financial Corp. 33,197 855,819
* Unova, Inc. 102,800 1,783,580
* UQM Technologies, Inc. 33,300 99,900
* Urologix, Inc. 23,842 334,980
* URS Corp. 68,913 1,735,229
*# US Airways Group, Inc. 8,800 22,968
*# US Energy Corp. 11,500 26,910
* US LEC Corp. 61,736 238,918
* US Oncology, Inc. 134,682 1,974,438
* USA Truck, Inc. 9,300 107,973
*# USAir Group, Inc. 84,700 6,903
* USANA, Inc. 32,800 913,152
USB Holding Co., Inc. 17,099 376,520
*# USDATA Corp. 2,820 113
Usec, Inc. 142,531 1,116,018
USF Corp. 47,037 1,352,314
* Utah Medical, Inc. 5,000 129,525
*# V.I. Technologies, Inc. 57,100 59,955
*# VA Software Corp. 97,900 231,044
Vail Banks Inc. 1,300 16,250
* Vail Resorts, Inc. 46,600 696,670
*# Valence Technology, Inc. 20,900 81,719
Valhi, Inc. 14,240 158,064
* Valley National Gases, Inc. 4,200 41,790
Valmont Industries, Inc. 40,500 842,400
* Valpey Fisher Corp. 1,650 5,511
Value Line, Inc. 9,900 $ 383,328
* ValueClick, Inc. 134,300 1,469,242
* Valuevision Media, Inc. Class A 60,947 731,364
* Vans, Inc. 28,700 585,767
* Varian Semiconductor Equipment
Associates, Inc. 51,200 1,882,624
* Varian, Inc. 54,100 2,407,450
* Variflex, Inc. 4,600 30,820
* Vascular Solutions, Inc. 23,700 255,960
* Vastera, Inc. 75,179 259,368
* Vaxgen, Inc. 42,400 672,888
* VCA Antech, Inc. 65,062 2,797,666
Vector Group, Ltd. 66,457 1,056,666
* Veeco Instruments, Inc. 49,700 1,283,254
* Ventana Medical Systems, Inc. 29,014 1,497,122
* Venture Catalyst, Inc. 7,200 3,240
* Verilink Corp. 25,100 112,950
* Veritas DGC, Inc. 57,700 1,104,378
* Verity, Inc. 64,200 892,380
* Vermont Pure Holdings, Ltd. 17,300 52,419
* Versant Corp. 5,400 11,016
* Versar, Inc. 8,700 44,718
* Verso Technologies, Inc. 26,319 41,716
* Vertex Pharmaceuticals, Inc. 132,888 1,169,414
* Verticalbuyer Inc. 920 7
Vesta Insurance Group, Inc. 60,500 359,975
* Vestin Group, Inc. 400 1,000
* Vialta, Inc. 40,295 15,312
* Viasat, Inc. 44,800 1,032,192
* Vical, Inc. 34,255 188,745
* Vicon Industries, Inc. 4,600 24,242
* Vicor Corp. 52,300 726,970
* Vicuron Pharmaceuticals, Inc. 91,100 1,266,290
# Video Display Corp. 3,600 66,600
*# Viewpoint Corp. 59,526 164,881
* Vignette Corp. 407,600 672,540
* Viisage Technology, Inc. 58,895 577,760
Vintage Petroleum, Inc. 109,300 1,703,987
* Virage Logic Corp. 35,727 269,024
* Virbac Corp. 22,000 66,000
Virco Manufacturing Corp. 13,269 90,893
* Virginia Commerce Bancorp, Inc. 400 11,380
* Virologic, Inc. 83,900 234,920
*# ViroPharma, Inc. 44,725 82,294
* Vision Sciences, Inc. 5,100 21,318
* Vista Medical Technologies, Inc. 7,500 11,100
Visteon Corp. 214,500 2,350,920
* Visual Networks, Inc. 31,900 102,718
* Visx, Inc. DE 87,400 2,054,774
* Vital Images, Inc. 18,200 176,904
Vital Signs, Inc. 21,956 592,812
* VitalWorks, Inc. 73,800 250,920
*# Vitech America, Inc. 14,850 67
* Vitesse Semiconductor, Inc. 20,500 111,930
* Vitria Technology, Inc. 53,942 153,195
* Vivus, Inc. 64,564 265,358
* Vl Dissolution Corp 3,101 1,930
VLPS Lighting Services International,
Inc. 4,800 20,040
* Vodavi Technology, Inc. 4,300 20,468
* Volt Information Sciences, Inc. 33,000 848,100
</Table>
33
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Vulcan International Corp. 700 $ 30,380
* Vyyo, Inc. 20,900 153,406
* W-H Energy Services, Inc. 50,300 929,544
* Wabash National Corp. 45,800 1,204,540
Wabtec Corp. 76,000 1,253,240
Walter Industries, Inc. 71,300 907,649
*# Warnaco Group, Inc. 2,900 3
* Warnaco Group, Inc. 61,372 1,223,144
Warwick Community Bancorp, Inc. 5,000 153,500
Warwick Valley Telephone Co. 300 6,300
Washington Banking Co. 4,680 75,348
Washington Savings Bank FSB 2,400 24,936
Washington Trust Bancorp, Inc. 21,855 549,653
* Waste Connections, Inc. 49,200 2,091,000
Waste Industries USA, Inc. 19,300 218,090
* WatchGuard Technologoes, Inc. 56,780 369,638
* Water Pik Technologies, Inc. 8,400 140,196
* Waterlink, Inc. 19,200 16
Waters Instruments, Inc. 300 2,403
Watsco, Inc. Class A 37,400 978,758
Watsco, Inc. Class B 1,350 35,370
* Watson Wyatt & Co., Holdings 55,900 1,461,785
Watts Water Technologies, Inc. 40,400 980,508
Wausau-Mosinee Paper Corp. 95,336 1,450,061
Waypoint Financial Corp. 53,226 1,458,392
* WCI Communities, Inc. 74,500 1,657,625
WD-40 Co. 28,900 880,294
* Webb Interactive Services, Inc. 5,300 3,339
* Webco Industries, Inc. 6,000 29,430
* WebEx Communications, Inc. 73,680 1,739,585
* webMethods, Inc. 89,502 780,457
* Websense, Inc. 38,800 1,256,344
* Weider Nutrition International, Inc. 10,500 48,720
Weis Markets, Inc. 19,607 669,579
Wellco Enterprises, Inc. 1,000 19,100
Wellman, Inc. 65,300 519,135
* Wells-Gardner Electronics Corp. 6,101 28,614
Wesbanco, Inc. 33,521 923,168
* WESCO International, Inc. 67,900 1,125,782
West Coast Bancorp 25,609 563,654
* West Marine, Inc. 35,100 921,726
West Pharmaceutical Services, Inc. 25,100 954,051
* Westaff, Inc. 24,300 63,180
Westamerica Bancorporation 2,000 98,760
Westar Energy, Inc. 89,400 1,762,968
Westbank Corp. 4,740 89,254
* Westcoast Hospitality Corp. 12,900 74,433
* Westell Technologies, Inc. 89,580 492,690
Western Gas Resources, Inc. 24,700 1,365,910
Western Ohio Financial Corp. 900 29,835
* Western Power & Equipment Corp. 3,373 1,231
* Western Sierra Bancorp 1,575 45,990
* Westmoreland Coal Co. 800 17,168
Westwood Holdings Group, Inc. 6,479 112,540
* Wet Seal, Inc. Class A 41,375 241,216
Weyco Group, Inc. 300 10,026
WGL Holdings, Inc. 14,000 385,140
* White Electronics Designs Corp. 41,065 262,405
* Whitehall Jewelers, Inc. 25,450 203,855
Whitney Holdings Corp. 15,300 665,091
*# WHX Corp. 6,333 10,259
* Wickes, Inc. 4,400 $ 550
* Wild Oats Markets, Inc. 51,350 695,793
* William Lyon Homes, Inc. 12,600 1,130,220
* Williams Industries, Inc. 1,200 4,218
* Willis Lease Finance Corp. 9,500 78,375
Willow Grove Bancorp, Inc. 17,451 265,430
* Wilshire Financial Services Group,
Inc. 137 1,232
* Wilshire Oil Co. of Texas 7,107 35,606
* Wilson Greatbatch Technologies, Inc. 36,000 979,200
* Wilsons The Leather Experts, Inc. 32,945 110,366
* Wind River Systems, Inc. 138,596 1,426,153
* Winmark Corp. 3,800 96,900
# Winn-Dixie Stores, Inc. 241,000 1,525,530
Winnebago Industries, Inc. 57,600 1,635,840
Wintrust Financial Corp. 34,250 1,627,560
* Wireless Facilities, Inc. 113,651 1,077,411
Wireless Telecom Group, Inc. 28,800 85,968
* Wireless WebConnect!, Inc. 8,900 24
* Wiser Oil Co. 26,300 277,991
* Witness Systems, Inc. 44,500 641,245
* WJ Communications, Inc. 50,400 161,280
* WMS Industries, Inc. 50,800 1,559,560
* Wolverine Tube, Inc. 20,100 228,738
Wolverine World Wide, Inc. 67,000 1,765,450
* Women First HealthCare, Inc. 1,500 34
Woodhead Industries, Inc. 20,557 309,588
Woodward Governor Co. 18,900 1,255,905
* World Acceptance Corp. 32,000 572,480
*# World Access, Inc. 35,372 48
World Fuel Services Corp. 18,300 806,481
World Wrestling Federation
Entertainment, Inc. 22,700 275,578
*# WorldGate Communications, Inc. 6,500 13,455
* WorldQuest Networks, Inc. 1,500 4,772
* Worldwide Restaurant Concepts, Inc. 52,200 174,348
Worthington Industries, Inc. 65,400 1,251,756
WPS Resources Corp. 31,200 1,412,112
* Wright Medical Group, Inc. 56,500 1,833,990
WSI Industries, Inc. 2,000 5,338
X-Rite, Inc. 35,163 470,481
* Xanser Corp. 42,800 108,284
* Xeta Corp. 9,200 46,911
* Xicor, Inc. 45,974 691,909
* Yankee Candle Co., Inc. 65,200 1,825,600
Yardville National Bancorp 16,400 412,460
* Yellow Roadway Corp. 22,982 820,687
York International Corp. 41,200 1,523,576
* Young Broadcasting, Inc. Class A 29,507 422,540
* Zapata Corp. 2,340 159,120
Zenith National Insurance Corp. 18,600 859,878
* Zevex International, Inc. 3,400 11,628
* Zhone Technologies, Inc. 37,400 122,672
* Zila, Inc. 76,307 388,403
*# Zix Corp. 51,726 462,430
* Zoll Medical Corp. 14,622 451,820
*# Zoltek Companies, Inc. 27,800 202,384
* Zomax, Inc. 51,700 196,977
* Zones, Inc. 13,500 36,450
* Zoran Corp. 68,635 1,205,917
* Zygo Corp. 28,600 303,160
</Table>
34
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Zymetx, Inc. 8,600 $ 452
* Zymogenetics, Inc. 88,239 1,404,765
---------------
TOTAL COMMON STOCKS
(Cost $1,513,392,652) 1,723,375,415
---------------
RIGHTS/WARRANTS -- (0.0%)
* American Banknote Corp. Warrants
Series 1 10/01/07 30 0
* American Banknote Corp. Warrants
Series 2 10/10/07 30 0
* Anacomp, Inc. Class B Warrants
12/10/06 0 0
*# Angeion Corp. Warrants 10/31/07 215 0
* Aura Systems, Inc. Warrants 05/31/05 1,262 0
* Chart Industries, Inc. Warrants
09/15/10 24 184
* Chiquita Brands International, Inc.
Warrants 03/19/09 9,947 46,950
* CSF Holding, Inc. Litigation Rights 3,250 0
* Danielson Holding Corp. Rights
06/09/04 33,400 0
* Del Global Technologies Corp.
Warrants 03/28/08 971 583
* Imperial Credit Industries, Inc.
Warrants 01/31/08 22 0
* Imperial Sugar Co. Warrants 08/29/08 498 1,006
* Lodgian, Inc. Class A Warrants
11/25/07 188 39
* Lodgian, Inc. Class B Warrants
11/25/09 582 134
* Magnum Hunter Resources
Warrants 03/21/05 7,200 4,320
* Orbital Science Corp. Warrants
08/31/04 152 1,193
*# OSI Pharmaceutical, Inc. Rights 4,829 1,859
* PMR Corp. Contingent Value Rights
08/05/04 7,300 7
* Timco Aviation Services Warrants
02/27/07 6,696 1
---------------
TOTAL RIGHTS/WARRANTS
(Cost $444,107) 56,276
---------------
<Caption>
FACE
AMOUNT VALUE+
------ -------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp. $ 2 $ 0
* Timco Aviation Services, Inc. 3 0
---------------
TOTAL BONDS
(Cost $0) 0
---------------
TEMPORARY CASH
INVESTMENTS -- (8.0%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $26,894,000
FNMA Notes 1.50%, 09/21/05,
valued at $26,725,913) to be
repurchased at $26,332,604
(Cost $26,330,000) 26,330 26,330,000
Repurchase Agreement, Merrill Lynch
Triparty Repo 0.96%, 06/01/04
(Collateralized by $124,075,000 U.S.
Treasury Obligations rates ranging from
2.125% to 6.00%, maturities ranging from
08/15/04 to 08/31/04, valued at
$125,930,146) to be repurchased at
$123,472,650 (Cost $123,459,481)~ 123,459 123,459,481
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $149,789,481) 149,789,481
---------------
TOTAL INVESTMENTS-- (100.0%)
(Cost $1,663,626,240)++ $ 1,873,221,172
===============
</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 $1,666,038,387.
See accompanying Notes to Financial Statements.
35
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $116,349 of securities on loan) $ 1,873,221
Cash 1
Receivables:
Investment Securities Sold 6,981
Dividends and Interest 794
Fund Shares Sold 1,923
Securities Lending Income 66
Prepaid Expenses and Other Assets 15
---------------
Total Assets 1,883,001
---------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 123,459
Investment Securities Purchased 12,887
Due to Advisor 43
Accrued Expenses and Other Liabilities 127
---------------
Total Liabilities 136,516
---------------
NET ASSETS $ 1,746,485
===============
SHARES OUTSTANDING, $.01 PAR VALUE
(Unlimited Number of Shares Authorized) 120,164,188
===============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 14.53
===============
Investments at Cost $ 1,663,626
===============
</Table>
See accompanying Notes to Financial Statements.
36
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends $ 6,892
Interest 104
Income from Securities Lending 462
---------------
Total Investment Income 7,458
---------------
EXPENSES
Investment Advisory Services 244
Accounting & Transfer Agent Fees 251
Custodian Fees 79
Legal Fees 5
Audit Fees 11
Shareholders' Reports 14
Trustees' Fees and Expenses 8
Other 19
---------------
Total Expenses 631
---------------
NET INVESTMENT INCOME (LOSS) 6,827
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold 42,483
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 22,170
---------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 64,653
---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 71,480
===============
</Table>
See accompanying Notes to Financial Statements.
37
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
--------------- ---------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 6,827 $ 8,625
Net Realized Gain (Loss) on Investment Securities Sold 42,483 11,512
Change in Unrealized Appreciation (Depreciation) of Investment Securities 22,170 370,338
--------------- ---------------
Net Increase (Decrease) in Net Assets Resulting from Operations 71,480 390,475
--------------- ---------------
Distributions From:
Net Investment Income (2,129) (8,820)
Net Short-Term Gains (639) --
Net Long-Term Gains -- --
--------------- ---------------
Total Distributions (2,768) (8,820)
--------------- ---------------
Capital Share Transactions (1):
Shares Issued 415,250 397,476
Shares Issued in Lieu of Cash Distributions 2,549 8,584
Shares Redeemed (208,512) (171,130)
--------------- ---------------
Net Increase (Decrease) from Capital Share Transactions 209,287 234,930
--------------- ---------------
Total Increase (Decrease) 277,999 616,585
NET ASSETS
Beginning of Period 1,468,486 851,901
--------------- ---------------
End of Period $ 1,746,485 $ 1,468,486
=============== ===============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 28,514 34,897
Shares Issued in Lieu of Cash Distributions 183 658
Shares Redeemed (14,671) (15,197)
--------------- ---------------
14,026 20,358
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
38
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV.30, NOV.30, NOV.30, NOV.30, NOV.30,
2004 2003 2002 2001 2000 1999
------------ ------------ ------------ ------------ ------------ ------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24 $ 11.46
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.06 0.08 0.09 0.10 0.11 0.10
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.66 3.92 (1.00) 1.24 0.65 1.83
------------ ------------ ------------ ------------ ------------ ------------
Total from Investment Operations 0.72 4.00 (0.91) 1.34 0.76 1.93
------------ ------------ ------------ ------------ ------------ ------------
LESS DISTRIBUTIONS
Net Investment Income (0.02) (0.09) (0.10) (0.10) (0.11) (0.11)
Net Realized Gains (0.01) -- (0.14) (1.83) (1.22) (1.04)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.03) (0.09) (0.24) (1.93) (1.33) (1.15)
------------ ------------ ------------ ------------ ------------ ------------
Net Asset Value, End of Period $ 14.53 $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24
============ ============ ============ ============ ============ ============
Total Return 5.18%# 40.32% (8.42)% 13.08% 6.48% 18.62%
Net Assets, End of Period (thousands) $ 1,746,485 $ 1,468,486 $ 851,901 $ 991,082 $ 768,151 $ 586,086
Ratio of Expenses to Average
Net Assets 0.08%* 0.08% 0.08% 0.08% 0.08% 0.09%
Ratio of Net Investment Income
to Average Net Assets 0.82%* 0.84% 0.81% 0.94% 0.99% 0.89%
Portfolio Turnover Rate 7%# 16% 34% 13% 38% 29%
</Table>
- ----------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
39
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series of which The U.S. Small Cap Series (the
"Series" or "Portfolio") is 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. 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. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no such reported sale price or NOCP for the day, the
Series values its securities at the mean between the quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At May 31, 2004, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities in the amount of
$23,166.
3. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 28, 2004.
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
40
<Page>
premium on securities purchased are amortized over the lives of the respective
securities utilizing the effective interest method. Expenses directly
attributable to a Series are directly charged. Common expenses of the Trust or
Series are allocated using methods approved by the Board of Trustees, generally
based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2004, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of .03 of 1% of average daily net
assets.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 306,399
Sales 109,038
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2004.
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Fund intends to
continue to qualify as a regulated investment company under Subchapter M of the
Internal Revenue Code and distribute substantially all of its taxable income and
capital gains to shareholders. Because income tax regulations differ from
accounting principles generally accepted in the United States of America, the
timing and character of income and capital gain distributions determined in
accordance with tax regulations can differ from income and capital gains
recognized for financial reporting purposes. Accordingly, the character of
distributions and the composition of net assets for tax purposes can differ from
those reflected in the financial statements. These book/tax differences may be
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid in capital, accumulated net realized gain
(loss) or undistributed net investment income as appropriate, in the period the
differences arise. These reclassifications have no effect on net assets or net
asset value per share.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Statement of Assets and Liabilities.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
Gross Unrealized Appreciation $ 407,851
Gross Unrealized Depreciation (200,668)
----------
Net $ 207,183
==========
</Table>
F. LINE OF CREDIT:
The Trust, together with other Dimensional-advised series, has entered into
a $50 million unsecured discretionary line of credit effective June 2003 with
its domestic custodian bank. Each Portfolio is permitted to borrow, subject to
its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line are charged interest at the then current federal funds
rate plus 1%. Each Portfolio is individually, and not jointly, liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
The agreement for the discretionary line of credit may be terminated at any
time. There were no borrowings by the Series under the line of credit during the
six months ended May 31, 2004.
41
<Page>
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings by the Series under the line of credit for the
six months ended May 31, 2004.
G. SECURITIES LENDING
As of May 31, 2004, the Series had securities on loan to brokers/dealers,
for which the 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 portfolio or, at the option of the lending agent, to
replace the securities.
Cash collateral of each Portfolio received from securities on loan is
invested along with cash collateral from the other Portfolios of the Series in
repurchase agreements collateralized by U.S. government securities. These
investments are accounted for separately for each Portfolio. Securities pledged
as collateral for the repurchase agreements are held by a custodian bank until
the agreements mature.
42
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the non-Feeder Portfolios
and Master Funds use in voting proxies relating to securities held in their
portfolio's is available without charge, upon request, by calling collect:
(310) 395-8005. Information regarding how the Advisor votes these proxies will
become available from the EDGAR database on the SEC's website at
http://www.sec.gov no later than August 31, 2004 when the Funds file their first
report on Form N-PX and will reflect the twelve-month period beginning July 1,
2003 and ending June 30, 2004.
43
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
SEMI-ANNUAL REPORTS
SIX MONTHS ENDED MAY 31, 2004
(UNAUDITED)
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
------
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities 1
Statement of Operations 2
Statements of Changes in Net Assets 3
Financial Highlights 4
Notes to Financial Statements 5
THE DFA INVESTMENT TRUST COMPANY -- THE EMERGING MARKETS SERIES
Schedule of Investments 8
Statement of Assets and Liabilities 15
Statement of Operations 16
Statements of Changes in Net Assets 17
Financial Highlights 18
Notes to Financial Statements 19
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 22
</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>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The Emerging Markets Series of The DFA
Investment Trust Company
(Cost $13,306)++ at Value+ $ 16,587
Receivable for Fund Shares Sold 38
Prepaid Expenses and Other Assets 17
-----------
Total Assets 16,642
-----------
LIABILITIES:
Payable for Investment Securities Purchased 38
Accrued Expenses and Other Liabilities 11
-----------
Total Liabilities 49
-----------
NET ASSETS $ 16,593
===========
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000) 1,573,644
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.54
===========
NET ASSETS CONSIST OF:
Paid-in Capital $ 16,397
Accumulated Net Investment Income (Loss) 81
Accumulated Net Realized Gain (Loss) (3,065)
Accumulated Net Realized Foreign Exchange Gain (Loss) (12)
Deferred Thailand Capital Gains Tax (87)
Unrealized Appreciation (Depreciation) from Investment Securities 3,280
Unrealized Net Foreign Exchange Gain (Loss) (1)
-----------
Total Net Assets $ 16,593
===========
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $13,327.
See accompanying Notes to Financial Statements.
1
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $32) $ 231
Interest 2
Expenses Allocated from Master Fund (25)
-----------
Total Investment Income 208
-----------
EXPENSES
Administrative Services 31
Accounting & Transfer Agent Fees 1
Audit Fees 1
Filing Fees 8
Shareholders' Reports 10
-----------
Total Expenses 51
Fees Waived, Expenses Reimbursed and/or
Previously Waived Fees Recovered by Advisor (Note C) (31)
-----------
Net Expenses 20
-----------
NET INVESTMENT INCOME (LOSS) 188
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold 50
Net Realized Gain (Loss) on Foreign Currency Transactions (12)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 993
Translation of Foreign Currency Denominated Amounts (1)
Deferred Thailand Capital Gains Tax (14)
-----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 1,016
-----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 1,204
===========
</Table>
See accompanying Notes to Financial Statements.
2
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 188 $ 219
Net Realized Gain (Loss) on Investment Securities Sold 50 (231)
Net Realized Gain (Loss) on Foreign Currency Transactions (12) (7)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 993 3,863
Translation of Foreign Currency Denominated Amounts (1) --
Deferred Thailand Capital Gains Tax (14) (48)
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 1,204 3,796
------------ ------------
Distributions From:
Net Investment Income (229) (147)
------------ ------------
Total Distributions (229) (147)
------------ ------------
Capital Share Transactions (1):
Shares Issued 7,109 28,385
Shares Issued in Lieu of Cash Distributions 229 147
Shares Redeemed (4,992) (28,120)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 2,346 412
------------ ------------
Total Increase (Decrease) 3,321 4,061
NET ASSETS
Beginning of Period 13,272 9,211
------------ ------------
End of Period $ 16,593 $ 13,272
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 656 3,573
Shares Issued in Lieu of Cash Distributions 22 21
Shares Redeemed (462) (3,533)
------------ ------------
216 61
============ ============
</Table>
See accompanying Notes to Financial Statements.
3
<Page>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 9.78 $ 7.11 $ 7.08 $ 7.83 $ 10.08 $ 6.57
----------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.16 0.09 0.10 0.09 0.09
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.81 2.63 0.04 (0.79) (2.26) 3.50
----------- -------- -------- -------- -------- --------
Total from Investment
Operations 0.93 2.79 0.13 (0.69) (2.17) 3.59
----------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Net Investment Income (0.17) (0.12) (0.10) (0.06) (0.08) (0.08)
Net Realized Gains -- -- -- -- -- --
----------- -------- -------- -------- -------- --------
Total Distributions (0.17) (0.12) (0.10) (0.06) (0.08) (0.08)
----------- -------- -------- -------- -------- --------
Net Asset Value, End of Period $ 10.54 $ 9.78 $ 7.11 $ 7.08 $ 7.83 $ 10.08
=========== ======== ======== ======== ======== ========
Total Return 9.62%# 39.88% 1.83% (8.96)% (21.73)% 55.31%
Net Assets, End of Period
(thousands) $ 16,593 $ 13,272 $ 9,211 $ 9,568 $ 10,465 $ 13,476
Ratio of Expenses to Average
Net Assets (1) 0.56%* 0.58% 0.65% 0.93% 0.82%(a) 0.76%(a)
Ratio of Expenses to Average Net
Assets (excluding waivers,
assumption of expenses and/or
recovery of previously waived
fees) (1) 0.96%* 0.98% 1.05% 1.33% 1.22%(a) 1.16%(a)
Ratio of Net Investment Income
to Average Net Assets 2.39%* 2.09% 1.34% 1.49% 0.98% 0.94%
Ratio of Net Investment Income to
Average Net Assets (excluding
waivers, assumption of expenses
and/or recovery of previously
waived fees) 1.99%* 1.69% 0.94% 1.09% 0.58% 0.54%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series 1%# 1% 8% 6% 12% 16%
</Table>
- ----------
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Portfolio and its respective
pro-rata share of its Master Fund Series.
(a) The plan's sponsor has voluntarily contributed to the portfolio an amount
equal to that portion of the aggregate fees and expenses incurred by the
Portfolio relating to the plan's investment.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twenty-five portfolios, of
which the Emerging Markets Portfolio II (the "Portfolio") is presented in this
report.
The Portfolio invests all of its assets in The Emerging Markets Series
(the "Series" or the "Master Fund"), a series of The DFA Investment Trust
Company. At May 31, 2004, the Portfolio owned 2% of the Series. The financial
statements of the Series are included elsewhere in this report and should be
read in conjunction with the financial statements of the Portfolio.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America may
require management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolio's investment reflects its
proportionate interest in the net assets of the Series.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At May 31, 2004, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $222.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio or to the Series are directly charged.
Common expenses of the Fund or portfolios are allocated using methods approved
by the Board of Directors, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2004, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.40 of 1% of the first $50 million
of average net assets.
5
<Page>
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
The Advisor has agreed to waive its administration fee of 0.40% per year
for the Portfolio on the first $50 million of the Portfolio's average net
assets. This expense waiver will remain in effect for a period of one year from
April 1, 2004 to April 1, 2005, and shall continue in effect from year to year
thereafter unless terminated by the Fund or the Advisor.
In addition, each sponsor of a benefit plan which invested in the
Portfolio had agreed to make a voluntary monthly contributions prior to January
1, 2001 to the Portfolio in an amount equal to that portion of the aggregate
fees and expenses incurred by the Portfolio related to the benefit plan's
investment. Such contributions were made in accordance with the sponsor's
practice of bearing the expenses of administering the benefit plan's investments
and were recorded as additions to capital.
Effective January 1, 2001, the sponsors of the benefit plans which invest
in the Portfolio no longer make voluntary monthly contributions to the Portfolio
for the portion of the fees and expenses incurred by the Portfolio relating to
the benefit plan's investment.
D. FEDERAL INCOME TAX:
No provision for federal income taxes is required since the Portfolio
intends to continue to qualify as a registered 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
Statement of Assets and Liabilities.
At May 31, 2004, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies was
as follows (amounts in thousands):
<Table>
Gross Unrealized Appreciation $ 4,004
Gross Unrealized Depreciation (744)
----------
Net $ 3,260
==========
</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 of approximately $3,036,000, with $1,490,000, $592,000, $669,000 and
$285,000 expiring on November 30, 2007, 2009, 2010 and 2011, respectively.
Certain of the Master Fund's investments held by the Emerging Markets
Portfolio II are 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 Emerging Markets Portfolio II received
unrealized appreciation (depreciation) (mark to market) and realized gains on
the sale of passive foreign investment companies of such gains have been
reclassified from accumulated net realized gains to accumulated net investment
income.
6
<Page>
E. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated at any time. There were no outstanding borrowings by the Portfolio
under the line of credit during the six months ended May 31, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings by the Portfolio under the line of credit during
the six months ended May 31, 2004.
F. REIMBURSEMENT FEES:
Until March 30, 2002, shares of the Portfolio were sold at a public
offering price which was equal to the current net asset value of the shares plus
a reimbursement fee. Reimbursement fees were recorded as an addition to paid-in
capital. The reimbursement fees for the Portfolio were .50% of the net asset
value of their shares. Effective March 30, 2002, reimbursement fees are no
longer charged.
7
<Page>
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
TAIWAN -- (9.8%)
COMMON STOCKS -- (9.1%)
Accton Technology Corp. 99,296 $ 63,940
Acer, Inc. 559,767 822,843
* Advanced Semiconductor
Engineering, Inc. 1,040,500 771,006
Advantech Co., Ltd. 91,706 187,068
Amtran Technology Co., Ltd. 66,080 56,720
* Arima Computer Corp. 178,800 61,738
Asia Cement Corp. 550,000 305,020
Askey Computer Co., Ltd. 60,200 38,760
Asustek Computer, Inc. 654,875 1,600,777
Au Optronics Corp. 1,308,487 2,589,328
Benq Corp. 563,600 800,659
Catcher Co., Ltd. 38,000 147,082
Cathay Financial Holdings Co., Ltd. 1,215,529 2,168,783
* Cathay Real Estate Development
Co., Ltd. 447,213 256,570
* Chang Hwa Commercial Bank 985,796 562,068
Cheng Shin Rubber Industry Co., Ltd. 257,698 329,662
Cheng Uei Precision Industry Co., Ltd. 39,215 74,618
* Chi Mei Optoelectronic Corp. 967,000 2,090,645
Chicony Electronics Co., Ltd. 80,240 150,010
* China Airlines 711,579 393,108
* China Development Financial
Holdong Co., Inc. 3,221,000 1,728,581
China Motor Co., Ltd. 362,628 514,515
China Steel Corp. 2,747,916 2,495,074
* Chinatrust Financial Holdings Co.,
Ltd. 350,024 388,171
* Chungwa Picture Tubes Co., Ltd. 1,856,298 1,096,034
* CMC Magnetics Corp. 876,400 590,303
Compal Electronics 919,810 1,129,982
* Compeq Manufacturing Co., Ltd. 131,300 53,203
* Cosmos Bank Taiwan 478,000 226,896
CTB Financial Holding Co., Ltd. 3,104,535 2,076,588
Delta Electronics Industrial Co., Ltd. 370,027 509,851
D-Link Corp. 138,100 178,375
* E.Sun Financial Holding Co., Ltd. 676,000 443,550
Elitegroup Computer Systems Co.,
Ltd. 100,750 64,779
Eternal Chemical Co., Ltd. 93,000 49,751
Eva Airways Corp. 687,762 322,081
Evergreen Marine Corp., Ltd. 578,682 468,867
Far East Textile, Ltd. 896,980 501,385
Far Eastern International Bank 409,000 207,409
* First Financial Holding Co., Ltd. 1,333,000 1,004,925
Formosa Chemicals & Fiber Co., Ltd. 1,313,491 1,885,361
Formosa Plastics Corp. 1,397,123 2,002,693
Formosa Taffeta Co., Ltd. 428,203 181,273
Fu Sheng Industria 145,863 284,237
Fubon Financi 2,418,052 2,406,652
Fuh-Hwa Financial Holding Co., Ltd. 780,799 340,233
Giga-Byte Technology Co., Ltd. 159,200 251,123
* High Tech Computer Corp. 58,000 250,724
Hon Hai Precision Industry Co., Ltd. 569,832 2,336,582
Hotai Motor Co., Ltd. 147,000 $ 201,110
* Hsinchu International Bank 348,000 196,132
* Hua Nan Financial Holding Co., Ltd. 735,000 638,623
* International Bank of Taipei 444,122 292,907
Inventec Corp. 546,560 358,935
* King Yuan Electronics Co., Ltd. 127,000 125,839
Kinpo Electronics, Inc. 189,200 99,252
* Largan Precision Co., Ltd. 25,000 294,095
Lite-On Technology Corp. 674,646 756,411
* Macronix International Co., Ltd. 1,188,500 429,093
Media Tek, Inc. 172,390 1,652,012
Micro-Star International Co., Ltd. 180,700 212,378
Mitac International Corp. 166,000 77,174
* Mosel Vitelic Inc. Co., Ltd. 300,826 60,480
Nan Ya Plastic Corp. 1,804,156 2,427,710
* Nanya Technology Co., Ltd. 1,038,989 773,262
Nien Hsing Textile Co., Ltd. 95,000 92,909
* Nien Made Enterprise Co., Ltd. 45,216 78,660
* Optimax Technology Corp. 70,694 286,621
Oriental Union Chemical Corp. 106,920 117,129
* Pacific Electric Wire & Cable Corp. 233,200 3,639
Pihsiang Machinery Mfg. Co., Ltd. 32,760 78,576
Pou Chen Corp. 470,415 469,879
Premier Image Technology Corp. 138,800 208,031
President Chain Store Corp. 230,927 415,807
Quanta Computer, Inc. 755,255 1,722,149
* Quanta Display, Inc. 189,000 150,505
Realtek Semiconductor Corp. 175,920 231,852
* Ritek Corp. 565,750 309,010
* Shin Kong Fin 654,000 617,414
* Silicon Integrated Systems Corp. 361,000 191,975
* Siliconware Precision Industries Co.,
Ltd. 508,000 395,772
* SinoPac Holdings 270,000 145,021
Sunplus Technology Co., Ltd. 193,950 395,684
Synnex Tech International Corp. 160,800 279,463
Systex Corp., Ltd. 159,500 75,676
Taishin Financial Holdings Co., Ltd. 1,029,000 931,422
* Taiwan Business Bank 579,120 197,190
Taiwan Cement Corp. 686,697 315,118
Taiwan Glass Ind. Corp. 346,370 270,386
Taiwan Life Insurance Co., Ltd. 92,000 161,454
* Taiwan Semiconductor Manufacturing
Co., Ltd. 5,223,480 9,180,975
Taiwan Styrene Monomer Corp. 84,700 64,661
* Tatung Co., Ltd. 1,133,000 463,767
Teco Electric & Machinery Co., Ltd. 501,000 173,513
* The Farmers Bank of China 375,000 122,725
Tong Yang Industry Co., Ltd. 76,220 129,370
Transcend Information, Inc. 29,344 71,763
U-Ming Marine Transport Corp. 167,000 210,388
Uni-President Enterprises Corp. 916,020 406,730
* United Microelectronics Corp. 4,222,381 3,660,881
Via Technologies, Inc. 342,245 330,471
* Walsin Lihwa Corp. 881,000 428,594
Wan Hai Lines Co., Ltd. 377,080 309,833
</Table>
8
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Waterland Financial Holdings 572,000 $ 212,782
* Winbond Electronics Corp. 1,108,000 559,804
Ya Hsin Industrial Co., Ltd. 130,212 172,744
* Yageo Corp. 608,440 320,007
Yang Ming Marine Transport Corp. 587,000 515,956
Yieh Phui Enterprise Co., Ltd. 248,300 170,723
* Yuen Foong Yu Paper Manufacturing
Co., Ltd. 354,650 194,688
Yulon Motor Co., Ltd. 370,200 416,042
Zyxel Communication Corp. 85,200 179,245
----------------
TOTAL COMMON STOCKS
(Cost $62,538,444) 72,492,020
----------------
INVESTMENT IN CURRENCY -- (0.7%)
* Taiwan Dollar
(Cost $5,304,822) 5,316,923
----------------
TOTAL -- TAIWAN
(Cost $67,843,266) 77,808,943
----------------
SOUTH AFRICA -- (9.7%)
COMMON STOCKS -- (9.7%)
* ABSA Group, Ltd. 392,236 2,808,341
African Oxygen, Ltd. 206,548 568,342
* Amalgamated Beverage Industries,
Ltd. 80,191 853,932
Anglo American PLC 662,129 13,979,129
Anglo American Platinum Corp., Ltd. 138,689 5,108,275
Anglogold, Ltd. 141,049 4,952,254
AVI, Ltd. 145,875 385,791
Barloworld, Ltd. 105,674 1,124,273
Bidvest Group, Ltd. 156,588 1,251,287
* Dimension Data Holdings PLC 246,926 137,920
* Discovery Holdings, Ltd. 167,710 322,811
Edgars Consolidated Stores, Ltd. 26,859 576,642
Firstrand, Ltd. 3,379,947 5,160,785
Gold Fields, Ltd. 251,697 2,910,853
Harmony Gold Mining Co., Ltd. 137,081 1,643,723
Impala Platinum Holdings, Ltd. 32,630 2,411,426
Imperial Holdings, Ltd. 116,858 1,252,138
* Investec, Ltd. 23,111 427,873
Iscor, Ltd. 285,549 1,485,446
* JD Group, Ltd. 87,800 538,222
Kumba Resources, Ltd. 15,092 83,350
Liberty Group, Ltd. 173,556 1,389,397
* Massmart Holdings, Ltd. 95,249 458,992
* MTN Group, Ltd. 966,699 4,338,354
Nampak, Ltd. 313,953 670,144
* Naspers, Ltd. Series N 145,439 1,019,369
Nedcor, Ltd. 216,270 2,068,268
* Network Healthcare Holdings, Ltd. 888,707 603,536
Old Mutual PLC 1,763,742 3,081,574
* Pick'n Pay Stores, Ltd. 309,695 816,365
Pretoria Portland Cement Co., Ltd. 30,295 661,038
Sanlam, Ltd. 1,300,739 1,763,089
Sappi, Ltd. 117,144 1,634,751
Standard Bank Group, Ltd. 686,654 4,424,884
* Steinhoff International Holdings, Ltd. 605,515 760,766
* Telkom SA, Ltd. 355,518 4,290,927
Tiger Brands, Ltd. 30,753 $ 424,323
* Woolworths Holdings, Ltd. 402,268 434,773
----------------
TOTAL COMMON STOCKS
(Cost $77,209,321) 76,823,363
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* South African Rand
(Cost $64) 69
----------------
TOTAL -- SOUTH AFRICA
(Cost $77,209,385) 76,823,432
----------------
SOUTH KOREA -- (8.9%)
COMMON STOCKS -- (8.9%)
Amorepacific Corp. 2,930 503,270
* Cho Hung Bank Co., Ltd. 155,557 338,978
CJ Corp. 6,550 346,102
Daelim Industrial Co., Ltd. 9,830 326,831
Daewoo Engineering & Construction
Co., Ltd. 77,960 270,737
* Daewoo Heavy Industries &
Machinery, Ltd. 48,150 323,874
* Daewoo Securities Co., Ltd. 56,445 182,018
Daewoo Shipbuilding & Marine
Engineering Co., Ltd. 66,720 718,816
Daishin Securities Co., Ltd. 5,340 62,484
Halla Climate Control Corp. 30,000 228,055
Hankook Tire Manufacturing Co., Ltd. 42,940 339,308
Hanwha Chemical Corp. 32,000 183,489
Hite Brewery Co., Ltd. 7,100 458,608
Hyundai Development Co. 24,000 254,861
Hyundai Heavy Industries Co., Ltd. 24,070 587,034
* Hyundai Merchant Marine Co., Ltd. 27,000 182,509
Hyundai Mobis 26,460 1,078,985
Hyundai Motor Co., Ltd. 95,919 3,671,963
* Hyundai Securities Co., Ltd. 61,090 249,158
INI Steel Co., Ltd. 33,910 252,556
* Kangwon Land, Inc. 20,000 218,543
Kia Motors Corp. 128,970 1,102,902
* Kookmin Bank 139,085 4,795,792
Korea Electric Power Corp. 232,010 3,742,507
* Korea Exchange Bank 166,780 839,328
Korea Gas 27,040 731,727
* Korean Air Co., Ltd. 20,670 261,372
KT Corp. 67,490 2,284,767
KT&G Corp. 62,340 1,415,438
Kumgang Korea Chemical Co., Ltd. 3,000 301,092
LG Chemical Investment, Ltd. 95,890 1,313,208
LG Chemical, Ltd. 28,206 990,902
LG Electronics, Inc. 40,160 2,328,042
LG Engineering & Construction
Corp. 12,480 194,715
* LG Investment & Securities Co., Ltd. 29,880 228,429
LG Petrochemical Co., Ltd. 13,070 260,402
* NCsoft Corp. 2,250 185,218
Nong Shim Co., Ltd. 1,710 321,052
POSCO 24,840 3,096,722
Pusan Bank 34,160 208,723
S1 Corp. 16,638 359,710
Samsung Corp. 41,960 527,726
</Table>
9
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Samsung Electro-Mechanics Co., Ltd. 32,707 $ 1,024,695
Samsung Electronics Co., Ltd. 37,988 16,940,498
Samsung Fire and Marine Insurance,
Ltd. 21,719 1,387,941
Samsung Heavy Industries Co., Ltd. 66,240 285,468
Samsung SDI Co., Ltd. 20,352 2,240,599
Samsung Securities Co., Ltd. 18,040 321,187
* Samsung Techwin Co., Ltd. 28,000 234,982
* Seoul Bank 38,700 858,260
Shinhan Financial Group Co., Ltd. 151,242 2,440,589
Shinsegae Co., Ltd. 4,610 1,035,789
SK Corp., Ltd. 55,584 2,379,221
SK Telecom Co., Ltd. 17,960 3,025,591
S-Oil Corp. 53,150 2,087,466
* Ssangyong Motor Co. 39,000 245,793
----------------
TOTAL -- SOUTH KOREA
(Cost $38,998,017) 70,776,032
----------------
MEXICO -- (8.9%)
COMMON STOCKS -- (8.9%)
Alfa S.A. de C.V. Series A 375,190 1,232,934
America Movil S.A. de C.V. Series L 6,377,000 11,176,445
* America Telecom S.A. de C.V
Series A 2,243,071 4,245,746
* Carso Global Telecom S.A. de C.V
Telecom Series A1 2,183,071 3,223,480
Cementos de Mexico S.A. de C.V
Series B 970,682 5,665,112
Coca Cola Femsa S.A. de C.V
Series L 374,700 794,943
* Consorcio Ara S.A 157,500 432,965
Controladora Comercial Mexicana
S.A. de C.V. Series B 633,700 744,125
* Corporacion Interamericana de
Entramiento S.A. de C.V. Series B 75,000 158,393
* Corporacion Mexicana de
Restaurantes S.A. de C.V. Series B 1,107 102
Corporativo Fragua S.A. de C.V
Series B 21 55
* Desc S.A. de C.V. Series B 619,841 181,963
El Puerto de Liverpool S.A. Series C1 339,500 478,986
Embotelladora Arca SA de CV, Mexico 466,500 856,023
* Empresas ICA Sociedad Controladora
S.A. de C.V 623,700 191,840
Empresas la Moderna S.A. de C.V
Series A 120,000 25,448
Fomento Economico Mexicano
Series B & D 554,000 2,370,090
Gruma S.A. de C.V. Series B 90,406 151,713
Grupo Carso S.A. de C.V. Series A-1 542,000 2,089,822
Grupo Continental S.A 358,600 559,355
Grupo Elektra S.A. de C.V 114,000 593,401
Grupo Financiero del Norte S.A
Series C 340,000 1,188,801
Grupo Financiero GBM Atlantico
S.A. de C.V. Series L 22,746 4,784
Grupo Financiero Inbursa S.A. de C.V
Series O 1,697,097 2,157,900
* Grupo Gigante S.A. de C.V. Series B 117,282 75,026
Grupo Industrial Bimbo S.A. de C.V
Series A 711,500 1,536,912
*Grupo Industrial Maseca S.A. de C.V
Series B 229,000 $ 100,438
Grupo Modelo S.A. de C.V. Series C 1,806,300 4,479,542
* Grupo Nutrisa S.A. de C.V 129 29
* Grupo Qumma S.A. de C.V. Series B 1,591 25
Grupo Televisa S.A. (Certificate
Representing Series A,
Series D & Series L) 1,510,000 3,175,744
* Grupo Tribasa S.A. de C.V 2,120 0
* Hylsamex S.A. de C.V. 93,914 133,322
* Hylsamex S.A. de C.V. Series B 60,000 84,652
Industrias Penoles S.A. de C.V. 247,800 890,312
Kimberly Clark de Mexico S.A. de
C.V. Series A 648,000 1,700,705
* Nueva Grupo Mexico S.A. de C.V.
Series B 505,358 1,511,003
* Organizacion Soriana S.A. de C.V.
Series B 361,600 1,137,575
Telefonos de Mexico S.A. Series A 100,000 168,339
Telefonos de Mexico S.A. Series L 5,217,400 8,755,484
TV Azteca S.A. de C.V. Series A 1,387,100 717,162
* US Commercial Corp. S.A. de C.V. 223,000 116,859
Vitro S.A. 121,600 127,871
Walmart de Mexico S.A. de C.V.
Series V 2,320,149 6,933,060
----------------
TOTAL -- MEXICO
(Cost $50,739,967) 70,168,486
----------------
BRAZIL -- (8.3%)
PREFERRED STOCKS -- (6.4%)
Ambev Cia de Bebidas das Americas 12,453,835 2,356,946
Aracruz Celulose SA Series B 711,999 2,304,405
Banci Itau Holding Financeira 68,900,000 5,813,924
Banco Bradesco SA 82,118 3,517,639
Brasil Telecom Participacoes SA 164,643,872 946,211
Brasileira de Distribuicao Pao de
Acucar 38,610,000 576,845
* Braskem SA 30,000,000 472,411
Cimento Portland Itau 860,000 161,235
* Companhia Siderurgica Paulista 65,000 14,472
Compania Paranaense de Energia
Series B 100,000,000 305,905
Embratel Participacoes SA 143,582,922 331,274
Gerdau SA 200,304 2,143,944
Investimentos Itau SA 3,297,432 3,543,223
Klabin SA 542,875 702,462
* Lojas Renner SA 800,000 5,163
Siderurgica Belgo-Mineira 4,010,000 892,836
Siderurgica de Tubarao Sid Tubarao 37,920,000 1,064,672
Siderurgica Paulista Casipa Series B 325 3,146
Suzano de Papel e Celulose 143,544 592,889
Tele Centro Oeste Celular
Participacoes SA 230,437,922 658,075
Tele Norte Leste Participacoes SA 180,034,131 2,033,299
Telemar Norte Leste SA Series A 175,300,000 2,783,078
* Telesp Celular Participacoes 913,941,089 2,551,013
Telesp Participacoes SA 331,500,000 4,444,603
Telesudeste Celular Participacoes SA 81,000,000 131,994
Unibanco Unias de Bancos
Brasileiros SA 2,000,000 33,559
</Table>
10
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Unibanco-Uniao de Bancos
Brasileiros SA 13,713,000 $ 527,457
Usinas Siderurgicas de Minas
Gerais SA 118,039 1,137,349
Vale do Rio Doce Series A 223,160 9,649,384
Vale do Rio Doce Series B 81,160 0
Votorantim Celulose e Papel SA 12,467,325 776,482
Weg SA 185,000 423,846
----------------
TOTAL PREFERRED STOCKS
(Cost $37,226,680) 50,899,741
----------------
COMMON STOCKS -- (1.9%)
Ambev Cia de Bebidas das Americas 5,420,000 1,976,315
Brasil Telecom Participacoes SA 59,520,574 303,461
Brasil Telecom SA 409,930,875 1,388,924
Cemig Cia Ene 77,000,000 1,083,317
Cpfl Geracao Energia SA 3,140,000 5,573
Embraer Empresa Brasileira de
Aeronautica 525,521 3,342,375
* Embratel Participacoes 57,550,000 256,459
* Empresa Nasional de Comercio
Redito e Participacoes SAncorpar 480,000 929
Petroquimica do Sul Copesul 2,276,000 112,368
Siderurgica Nacional Sid Nacional 60,351,000 2,804,306
Souza Cruz Industria e Comercio 291,000 2,572,895
Tele Centro Oeste Celular
Participacoes SA 57,876,799 182,651
* Tele Centro Oeste Celular
Participacoes SA 1,365,528 4,309
* Tele Norte Celular Participacoes 57,624,254 13,016
Tele Norte Leste Participacoes SA 59,264,568 583,084
* Tele Sudeste Celular Participacoes SA 3,072,951 4,294
Tractebel Energia SA 96,600,000 268,074
----------------
TOTAL COMMON STOCKS
(Cost $11,162,959) 14,902,350
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Brazilian Real
(Cost $231) 219
----------------
TOTAL -- BRAZIL
(Cost $48,389,870) 65,802,310
----------------
ISRAEL -- (7.8%)
COMMON STOCKS -- (7.8%)
Africa-Israel Investments, Ltd. 108,700 2,159,744
Agis Industries (1983), Ltd. 71,436 2,003,187
Bank Hapoalim, Ltd. 2,309,640 5,918,274
Bank Leumi Le-Israel 2,802,069 5,148,201
* Bezeq Israeli Telecommunication
Corp., Ltd. 4,049,014 4,291,803
Blue Square Israel, Ltd. 16,186 173,511
CLAL Industries, Ltd. 289,038 1,374,645
CLAL Insurance, Ltd. 114,684 1,832,234
Delek Group, Ltd. 4,584 373,733
Discount Investment Corp 66,100 1,519,035
Elbit Systems, Ltd. 98,319 1,815,882
* Elron Electronic Industries, Ltd. 0 4
* First International Bank of Israel 48,660 259,925
* First International Bank of Israel, Ltd. 347,200 377,530
IDB Development Corp., Ltd.
Series A 101,015 $ 2,306,607
IDB Holding Corp., Ltd. 36,578 628,339
Israel Chemicals, Ltd. 2,410,526 4,145,038
Israel Corp. Series A 5,500 877,081
* Koor Industries, Ltd. 25,971 984,923
M.A.Industries, Ltd. 843,283 3,520,356
Migdal Insurance Holdings 2,079,107 2,813,598
Osem Investment, Ltd. 210,522 2,301,869
Strauss Elite, Ltd. 33,250 305,002
Super-Sol, Ltd. Series B 372,926 841,904
Tefahot Israel Mortgage Bank, Ltd. 56,600 524,862
Teva Pharmaceutical Industries, Ltd. 209,140 13,734,393
United Mizrahi Bank, Ltd. 384,693 1,274,138
----------------
TOTAL -- ISRAEL
(Cost $37,527,997) 61,505,818
----------------
TURKEY -- (7.4%)
COMMON STOCKS -- (7.4%)
Akbank T.A.S. 1,811,999,062 7,604,412
* Anadolu Efes Biracilik ve Malt
Sanayi A.S. 182,246,814 2,257,545
* Arcelik A.S. 1,549,702,646 7,236,348
Aygaz A.S. 593,998,416 1,189,366
* BSH Profilo Elektrikli Gerecler
Sanayii A.S. 4,725,086 55,114
* Dogan Sirketler Grubu Holdings A.S 577,649,971 981,646
* Dogan Yayin Holding A.S. 282,794,524 839,612
Enka Insaat Ve Sanayi A.S. 164,940,663 3,159,694
* Eregli Demir ve Celik Fabrikalari
Turk A.S. 145,031,000 3,701,503
Ford Otomotiv Sanayi A.S. 722,990,000 5,114,990
* Hurriyet Gazetecilik ve
Matbaacilik A.S. 370,163,648 945,235
Koc Holding A.S. 1,058,111,057 4,374,954
Migros Turk A.S. 450,270,375 2,089,777
* Tat Konserve Sanayii A.S. 36 0
* Tofas Turk Otomobil Fabrikasi A.S. 1,489,092,271 2,560,485
Trakya Cam Sanayii A.S. 187,301,438 423,729
Tupras-Turkiye Petrol Rafineleri A.S. 289,886,950 1,745,862
* Turk Sise de Cam Fabrikalari A.S.
Issue 04 178,179,930 290,736
* Turk Sise ve Cam Fabrikalari A.S. 430,349,924 724,861
* Turkiye Garanti Bankasi A.S. 1,549,482,967 4,318,556
Turkiye Is Bankasi A.S. Series C 1,741,718,616 5,853,375
* Vestel Elektronik Sanayi Ticaret A.S. 240,241,000 741,018
* Yapi ve Kredi Bankasi A.S. 1,232,184,338 2,591,757
----------------
TOTAL COMMON STOCKS
(Cost $30,184,710) 58,800,575
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Turkish Lira
(Cost $155) 150
----------------
TOTAL -- TURKEY
(Cost $30,184,865) 58,800,725
----------------
INDONESIA -- (7.4%)
COMMON STOCKS -- (7.4%)
PT Astra Agro Lestari Tbk 2,153,000 581,077
PT Astra International Tbk 8,470,461 5,247,437
</Table>
11
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
PT Bank Central Asia Tbk 990,000 $ 394,856
PT Bank Danamon Indonesia Tbk 1,762,000 564,668
PT Bimantara Citra Tbk 1,758,000 550,943
PT Gudang Garam Tbk 4,695,500 7,334,130
PT Hanjaya Mandala Sampoerna Tbk 13,377,500 7,074,322
* PT Indocement Tunggal Prakarsa Tbk 7,362,000 1,271,541
PT Indofood Sukses Makmur Tbk 18,886,400 1,429,908
PT Indonesian Satellite Corp.Tbk 14,967,500 6,394,373
PT International Nickel Indonesia Tbk 145,000 507,470
PT Kalbe Farma Tbk 2,500,000 97,164
* PT Lippo Bank Tbk Series A 3,281,200 194,890
* PT Lippo Land Development Tbk 166,500 12,566
* PT Makindo Tbk 2,236,500 241,132
* PT Medco Energi International Tbk 9,754,000 1,474,625
* PT Panasia Indosyntec Tbk 75,100 3,198
PT Ramayana Lestari Sentosa Tbk 4,004,000 1,750,783
PT Sari Husada Tbk 13,793 29,013
PT Semen Gresik Tbk 1,739,502 1,741,826
PT Telekomunikasi Indonesia
(Persero) Tbk Series B 18,576,820 14,695,839
PT Tempo Scan Pacific 646,000 484,226
PT Unilever Tbk 16,022,000 6,211,478
----------------
TOTAL -- INDONESIA
(Cost $47,714,707) 58,287,465
----------------
THAILAND -- (7.0%)
COMMON STOCKS -- (7.0%)
* Advance Agro Public Co., Ltd.
(Foreign) 534,100 296,210
Advance Info Service Public Co.,
Ltd. (Foreign) 5,982,000 13,122,948
* Aromatics (Thailand) Public Co., Ltd.
(Foreign) 1,387,500 1,598,857
Bangkok Expressway Public Co., Ltd.
(Foreign) 1,794,100 1,034,803
* Bank of Asia Public Co., Ltd. (Foreign) 9,363,000 1,177,010
* Bank of Ayudhya Public Co., Ltd.
(Foreign) 5,174,500 1,568,803
Banpu Public Co., Ltd. (Foreign) 132,000 400,197
BEC World Public Co., Ltd. (Foreign) 3,915,000 1,592,248
* Capetronic International (Thailand)
Public Co., Ltd. (Foreign) 4,490,000 227,986
Central Pattana Public Co., Ltd.
(Foreign) 4,177,500 916,434
Charoen Pokphand Foods Public Co.,
Ltd. (Foreign) 14,442,000 1,238,801
* DBS Thai Danu Bank Public Co., Ltd.
(Foreign) 842,200 65,599
Delta Electronics (Thailand) Public Co.,
Ltd. (Foreign) 4,100,710 2,456,181
Hana Microelectronics Public Co., Ltd.
(Foreign) 238,300 734,225
* International Broadcasting Corp.
Public Co., Ltd. (Foreign) 612,000 268,514
Krung Thai Bank Public Co., Ltd.
(Foreign) 17,302,970 4,691,463
Land & Houses Public Co., Ltd.
(Foreign) 2,130,310 546,099
National Finance and Securities
Public Co., Ltd. (Foreign) 630,150 229,880
National Petrochemical Public Co.,
Ltd. (Foreign) 441,500 $ 979,418
Ratchaburi Electricity Generating
Holding Public Co., Ltd. (Foreign) 2,200,000 1,979,295
Shin Corporation Public Co., Ltd.
(Foreign) 6,122,000 5,281,489
Shinawatra Satellite Public Co., Ltd.
(Foreign) 2,762,450 871,564
Siam Cement Public Co., Ltd.
(Foreign) 270,000 1,530,688
Siam City Cement Public Co., Ltd.
(Foreign) 633,413 3,559,728
Siam Commercial Bank Public Co.,
Ltd. (Foreign) 2,549,166 2,874,645
Siam Makro Public Co., Ltd.
(Foreign) 727,100 860,261
* Telecomasia Corp. Public Co., Ltd.
(Foreign) 6,977,800 1,049,164
* Thai Military Bank Public Co., Ltd.
(Foreign) 11,657,100 1,022,905
Thai Stanley Electric (Thailand)
Public Co., Ltd. (Foreign) 89,000 574,760
Thai Union Frozen Products
Public Co., Ltd. (Foreign) 3,178,520 1,942,995
TISCO Finance Public Co., Ltd.
(Foreign) 1,231,100 842,076
Vanachai Group Co-Foreign 950,200 252,950
----------------
TOTAL COMMON STOCKS
(Cost $48,898,097) 55,788,196
----------------
RIGHTS/WARRANTS -- (0.0%)
* Telecomasia Corp. Public Co., Ltd.
(Foreign) Warrants 03/31/08
(Cost $0) 1,444,563 0
----------------
TOTAL -- THAILAND
(Cost $48,898,097) 55,788,196
----------------
MALAYSIA -- (6.6%)
COMMON STOCKS -- (6.6%)
AMFB Holdings Berhad 317,000 508,893
AMMB Holdings Berhad 1,131,731 1,029,696
* Aokam Perdana Berhad 333 5
Berjaya Sports Toto Berhad 622,000 674,707
British American Tobacco Berhad 175,000 2,210,132
Commerce Asset Holding Berhad 1,759,000 2,258,743
* Digi.Com Berhad 449,862 554,142
Diversified Resources Berhad 581,000 278,214
Gamuda Berhad 510,000 730,954
Genting Berhad 477,000 1,944,494
Golden Hope Plantations Berhad 711,000 639,501
Hong Leong Bank Berhad 874,250 1,061,871
Hong Leong Credit Berhad 795,429 849,788
Hong Leong Properties Berhad 175,328 24,713
IOI Corp. Berhad 665,000 1,415,772
IOI Oleochemical Industries Berhad 22,041 56,280
IOI Properties Berhad 103,000 194,061
Kuala Lumpur Kepong Berhad 462,500 772,044
Magnum Corp. Berhad 1,007,500 678,929
Malakoff Berhad 566,000 825,460
Malayan Banking Berhad 2,028,500 5,498,743
</Table>
12
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Malayan Cement Berhad 1,739,000 $ 359,544
Malaysia Mining Corp. Berhad 675,000 356,340
* Malaysian Airlines System Berhad 889,000 1,096,117
Malaysian International Shipping
Corp. (Foreign) 667,666 2,092,228
Malaysian Pacific Industries 136,000 566,217
Maxis Communications Berhad 151,000 333,847
* MBF Holdings Berhad 7,050 241
Nestle (Malaysia) Berhad 146,000 844,876
Oriental Holdings Berhad 168,000 172,315
Oyl Industries Berhad 89,000 849,452
Perusahaan Otomobil Nasional
Berhad 389,000 803,592
Petronas Dagangan Berhad 322,000 576,326
Petronas Gas Berhad 1,344,000 2,422,746
* Plus Expressways Berhad 440,000 251,373
PPB Group Berhad 348,000 595,426
Public Bank Berhad 1,550,201 2,529,275
Resorts World Berhad 743,000 1,731,416
RHB Capital Berhad 1,185,000 602,164
* Silverstone Corp. Berhad 11,587 746
Sime Darby Berhad (Malaysia) 1,479,800 2,046,924
Southern Bank Berhad 48,440 33,791
Southern Bank Berhad (Foreign) 734,437 512,122
Telekom Malaysia Berhad 1,873,000 4,830,628
Tenaga Nasional Berhad 1,759,000 4,398,924
* Time Dotcom Berhad 1,518,000 391,529
UMW Holdings Berhad 268,333 353,042
YTL Corp. Berhad 981,362 1,135,780
----------------
TOTAL -- MALAYSIA
(Cost $49,078,638) 52,094,123
----------------
UNITED STATES -- (5.0%)
COMMON STOCKS -- (5.0%)
Banco Bilboa Vizcaya Argentaria
Chile SA ADR 64,200 1,547,220
Banco de Chile Series F ADR 47,643 1,403,086
Banco Santander Chile Sponsored
ADR 295,998 7,849,867
* Chilesat Corp. S.A. ADR 788 1,812
Cia Telecom de Chile ADR 421,400 5,018,874
Compania Cervecerias Uni ADR 115,400 2,313,770
Cristalerias de Chile SA ADR 35,600 779,996
Distribucion y Servicio D&S SA ADR 176,800 2,584,816
Embotelladora Andina SA Andina
ADR 109,600 1,233,000
Embotelladora Andina SA Andina
Series B ADR 89,100 1,006,830
Empresa Nacional de Elec ADR 514,018 6,512,608
Enersis SA ADR 285,903 1,769,740
Grupo Financiero Galicia S.A. ADR 211,011 1,187,992
Lan Chile SA ADR 125,900 2,159,185
* Madeco SA 4,450 27,234
Masisa SA ADR 25,100 310,738
Sociedad Quimica y Minera de
Chile SA ADR 61,300 2,182,893
Sociedad Quimica y Minera de
Chile SA ADR Class A 902 34,006
Vina Concha y Toro SA Conchatoro
ADR 27,100 $ 1,222,210
----------------
TOTAL -- UNITED STATES
(Cost $39,950,627) 39,145,877
----------------
HUNGARY -- (3.4%)
COMMON STOCKS -- (3.4%)
Budapesti Elektromos Muvek RT 185 12,963
Delmagyarorszagi Aramszolgaltato
Demasz RT 2,275 127,035
Egis RT 37,757 1,467,774
Gedeon Richter, Ltd. 46,937 4,627,712
Magyar Olay-Es Gazipari RT 168,429 6,459,737
Matav RT 1,050,555 4,094,090
* Orszagos Takerekpenztar es
Keresdelmi Bank RT 386,220 8,065,863
* Tiszai Vegyi Kombinat RT 117,534 2,153,562
----------------
TOTAL -- HUNGARY
(Cost $15,788,433) 27,008,736
----------------
POLAND -- (3.4%)
COMMON STOCKS -- (3.4%)
* Agora SA 98,779 1,176,349
Bank Polska Kasa Opieki - Grupa
Pekao SA 156,792 5,095,264
Bank Przemyslowo Handlowy Pbk 31,526 3,497,934
Bank Zackodni Wbk SA 93,312 2,112,519
* Big Bank Gdanski SA 2,029,541 1,635,576
Browary Zywiec SA 15,860 1,731,197
* Budimex SA 36,763 454,010
* Cersanit-Krasnystaw SA 19,143 489,646
Debica SA 19,800 681,375
Frantschach Swiecie SA 103,599 1,693,832
* Kredyt Bank SA 418,562 1,003,684
* Netia Holdings SA 495,665 555,557
* Optimus Technologie 6,873 19,199
Orbis SA 77,409 479,683
Polski Koncern Naftowy Orlen S.A 267,237 2,000,335
* Prokom Software SA 21,336 1,043,317
Telekomunikacja Polska SA 712,274 2,757,406
Zaklady Metali Lekkich Kety SA 15,120 486,133
----------------
TOTAL -- POLAND
(Cost $20,586,160) 26,913,016
----------------
PHILIPPINES -- (3.3%)
COMMON STOCKS -- (3.3%)
Aboitiz Equity Ventures, Inc. 7,803,400 405,952
Ayala Corp. 42,503,520 4,029,199
Ayala Land, Inc. 27,511,576 2,712,243
Bank of the Philippine Island 4,641,373 3,492,601
* Equitable PCI Bank, Inc. 2,217,300 1,723,317
* Filipina Water Bottling Corp. 2,006,957 0
Metro Bank and Trust Co. 4,584,435 2,049,982
Petron Corp. 28,593,000 1,559,337
* Philippine Long Distance Telephone
Co. 347,030 6,659,057
SM Prime Holdings, Inc. 29,223,000 3,087,076
Union Bank of the Philippines 1,572,300 646,999
----------------
TOTAL -- PHILIPPINES
(Cost $42,708,447) 26,365,763
----------------
</Table>
13
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
ARGENTINA -- (1.8%)
COMMON STOCKS -- (1.8%)
* Acindar Industria Argentina de
Aceros SA Series B 899,000 $ 866,690
* Alpargatas SA Industrial y Comercial 1,078 537
Alto Palermo SA Series A 5,000 5,302
* Banco del Sud Sociedad Anonima
Series B 29,000 25,628
* Banco Frances del Rio de la Plata SA 467,809 841,859
* Capex SA Series A 52,893 53,967
* Celulosa Argentina SA Series B 18,750 13,557
* Central Costanera SA Series B 114,100 145,932
* Central Puerto SA Series B 16,000 8,227
* Garovaglio y Zorraquin SA 28,000 3,869
* Gas Natural SA, Buenos Aires 345,000 164,083
* IRSA Inversiones y
Representaciones SA 657,649 460,716
* Juan Minetti SA 353,151 360,886
* Ledesma S.A.A.I 242,632 140,347
* Metrogas SA Series B 543,115 209,438
* Molinos Rio de la Plata SA Series B 694,833 870,819
* Perez Companc SA 2,274,901 2,149,278
* Renault Argentina SA 399,465 62,901
Siderar SAIC Series A 721,484 3,153,177
Solvay Indupa S.A.I.C 555,366 460,449
* Telecom Argentina Stet-France SA
Series B 977,000 1,601,207
Tenaris SA 653,898 2,038,283
* Transportadora de Gas del Sur SA
Series B 1,028,000 776,325
----------------
TOTAL COMMON STOCKS
(Cost $24,508,605) 14,413,477
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso
(Cost $155,706) 155,455
----------------
TOTAL -- ARGENTINA
(Cost $24,664,311) 14,568,932
----------------
CZECH REPUBLIC -- (0.1%)
COMMON STOCKS -- (0.1%)
* CEZ A.S. 35,236 $ 250,425
* Ceske Radiokomunikace A.S. 1,575 27,607
* Ceske Telecom A.S. 27,377 344,528
* Komercni Banka A.S. 2,584 283,551
* Phillip Morris CR A.S. 113 67,760
----------------
TOTAL -- CZECH REPUBLIC
(Cost $1,017,504) 973,871
----------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Capital
Markets, Inc. 0.89%, 06/01/04
(Collateralized by $9,965,000 FNMA
Discount Notes 0.96%, 06/16/04,
valued at $9,960,018
(Cost $9,812,000) $ 9,812 9,812,000
----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $651,112,291)++ $ 792,643,725
================
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
++ The cost for federal income tax purposes is $651,539,175.
See accompanying Notes to Financial Statements.
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value $ 792,644
Cash 16
Receivables:
Investment Securities Sold 15
Dividends, Interest and Tax Reclaims 1,951
Fund Shares Sold 487
Prepaid Expenses and Other Assets 4
-----------
Total Assets 795,117
-----------
LIABILITIES:
Payables:
Investment Securities Purchased 5,461
Due to Advisor 51
Deferred Thailand Capital Gains Tax 3,275
Deferred Chilean Repatriation Tax 26
Accrued Expenses and Other Liabilities 180
-----------
Total Liabilities 8,993
-----------
NET ASSETS $ 786,124
===========
Investments at Cost $ 651,112
===========
</Table>
See accompanying Notes to Financial Statements.
15
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1,516) $ 11,067
Interest 69
-----------
Total Investment Income 11,136
-----------
EXPENSES
Investment Advisory Services 378
Accounting & Transfer Agent Fees 332
Custodian Fees 437
Legal Fees 2
Audit Fees 5
Shareholders' Reports 7
Trustees' Fees and Expenses 4
Other 26
-----------
Total Expenses 1,191
-----------
NET INVESTMENT INCOME (LOSS) 9,945
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 2,133
Net Realized Gain (Loss) on Foreign Currency Transactions (575)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 43,011
Translation of Foreign Currency Denominated Amounts (59)
Deferred Thailand Capital Gains Tax (584)
-----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 43,926
-----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 53,871
===========
</Table>
See accompanying Notes to Financial Statements.
16
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 9,945 $ 9,466
Net Realized Gain (Loss) on Investment Securities Sold 2,133 (6,216)
Net Realized Gain (Loss) on Foreign Currency Transactions (575) (283)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency 43,011 148,355
Translation of Foreign Currency Denominated Amounts (59) 10
Deferred Thailand Capital Gains Tax (584) (1,826)
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 53,871 149,506
------------ ------------
Transactions in Interest:
Contributions 164,440 156,160
Withdrawals (39,748) (41,298)
------------ ------------
Net Increase (Decrease) from Transactions in Interest 124,692 114,862
------------ ------------
Total Increase (Decrease) 178,563 264,368
NET ASSETS
Beginning of Period 607,561 343,193
------------ ------------
End of Period $ 786,124 $ 607,561
============ ============
</Table>
See accompanying Notes to Financial Statements.
17
<Page>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
Total from Investment Operations -- -- -- -- -- --
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=========== =========== =========== =========== =========== ===========
Total Return 9.71%# 39.67% 2.10% (8.54)% (22.30)% 53.78%
Net Assets, End of Period (thousands) $ 786,124 $ 607,561 $ 343,193 $ 307,720 $ 296,726 $ 344,175
Ratio of Expenses to Average
Net Assets 0.32%* 0.34% 0.34% 0.46% 0.46% 0.46%
Ratio of Net Investment Income to
Average Net Assets 2.63%* 2.23% 1.64% 1.94% 1.33% 1.34%
Portfolio Turnover Rate 1%# 1% 8% 6% 12% 16%
</Table>
- ----------
* Annualized
# Non-annualized
N/A+ Not applicable as The Emerging Markets Series is organized as a
partnership.
See accompanying Notes to Financial Statements.
18
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The Emerging Markets Series (the
"Series") is 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. 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 are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available, or for which market
quotations have become unreliable, are valued in good faith at fair value using
methods approved by the Board of Trustees.
The Series will also apply a fair value price in the circumstances
described below. Generally, trading in foreign securities markets is completed
each day at various times prior to the close of the New York Stock Exchange
(NYSE). For example, trading in the Japanese securities markets is completed
each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT),
which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT)
and the time that the net asset values of the Series is computed. Due to the
time differences between the closings of the relevant foreign securities
exchanges and the time the Series prices its shares at the close of the NYSE,
the Series will fair value its foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the Series'
foreign investments since the last closing prices of the foreign investments
were calculated on their primary foreign securities markets or exchanges. For
these purposes, the Board of Trustees of the Trust has determined that movements
in relevant indices or other appropriate market indicators, after the close of
the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable, and may trigger fair value pricing. Consequently,
fair valuation of portfolio securities may occur on a daily basis. The fair
value pricing by the Trust utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values of
foreign investments). The fair value prices of portfolio securities generally
will be used when it is determined that the use of such prices will have a
material impact on the net asset value of a Series. When the Series uses fair
value pricing, the values assigned to the Series' foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges.
19
<Page>
2. FOREIGN CURRENCY TRANSLATION: Securities, other assets and liabilities
of The Emerging Markets Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The Series does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Series and
the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At May 31, 2004, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities in the amount of
$10,618.
4. REPURCHASE AGREEMENTS: The Series may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system or with the Trust's custodian or a third party sub-custodian.
In the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on May 28, 2004.
5. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Series may be
inhibited.
6. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Trustees, generally based on average net
assets.
The Series may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Series accrues
such taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income, capital
or the proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.
20
<Page>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2004, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.10 of 1% of average daily net
assets.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 128,046
Sales 6,712
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2004.
E. FEDERAL INCOME TAX:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any interest,
dividends and gains or loses have been deemed to have been "passed through" to
its Feeder Fund.
At May 31, 2004, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies was
as follows (amounts in thousands):
<Table>
Gross Unrealized Appreciation $ 215,351
Gross Unrealized Depreciation (74,246)
-----------
Net $ 141,105
===========
</Table>
F. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each series is permitted to borrow, subject to
its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each series is individually, and not jointly, liable
for its particular advances under the line of credit. There is no commitment fee
on the unused portion of the line of credit, since this is not a committed
facility. The agreement for the discretionary line of credit may be terminated
at any time. There were no borrowings by the Series under the discretionary line
of credit during the six months ended May 31, 2004.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings by the Series under the line of credit for the
six months ended May 31, 2004.
21
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the non-Feeder
Portfolios and Master Funds use in voting relating to securities held in their
portfolio's is available without charge, upon request, by calling collect: (310)
395-8005. Information regarding how the Advisor votes these proxies will become
available from the EDGARdatabase on the SEC's website at http://www.sec.gov no
later than August 31, 2004 when the Funds file their first report on Form N-PX
and will reflect the twelve-month period beginning July 1, 2003 and ending June
30, 2004.
22
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE
PORTFOLIO II
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2004
(UNAUDITED)
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
------
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities 1
Statement of Operations 2
Statements of Changes in Net Assets 3
Financial Highlights 4
Notes to Financial Statements 5
THE DFA INVESTMENT TRUST COMPANY-- THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Schedule of Investments 7
Statement of Assets and Liabilities 21
Statement of Operations 22
Statements of Changes in Net Assets 23
Financial Highlights 24
Notes to Financial Statements 25
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 28
</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.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The Tax-Managed U.S. Marketwide Value Series of
The DFA Investment Trust Company (Cost $306,215)++ at Value+ $ 409,437
Receivable for Fund Shares Sold 394
Prepaid Expenses and Other Assets 6
--------------
Total Assets 409,837
--------------
LIABILITIES:
Payables:
Investment Securities Purchased 302
Fund Shares Redeemed 92
Accrued Expenses and Other Liabilities 28
--------------
Total Liabilities 422
--------------
NET ASSETS $ 409,415
==============
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000) 34,220,890
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 11.96
==============
NET ASSETS CONSIST OF:
Paid-in Capital $ 355,073
Accumulated Net Investment Income (Loss) 1,389
Accumulated Net Realized Gain (Loss) (50,269)
Unrealized Appreciation (Depreciation) from Investment Securities 103,222
--------------
Total Net Assets $ 409,415
==============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $306,339.
See accompanying Notes to Financial Statements.
1
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends $ 2,154
Interest 28
Income from Securities Lending 12
Expenses Allocated from Master Funds (467)
--------------
Total Investment Income 1,727
--------------
EXPENSES
Accounting & Transfer Agent Fees 18
Legal Fees 6
Audit Fees 2
Filing Fees 11
Shareholders' Reports 14
Directors' Fees and Expenses 2
Other 1
--------------
Total Expenses 54
--------------
NET INVESTMENT INCOME (LOSS) 1,673
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold (2,397)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 28,979
--------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 26,582
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 28,255
==============
</Table>
See accompanying Notes to Financial Statements.
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
-------------- --------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,673 $ 1,383
Net Realized Gain (Loss) on Investment Securities Sold (2,397) (6,688)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 28,979 63,677
-------------- --------------
Net Increase (Decrease) in Net Assets Resulting from Operations 28,255 58,372
-------------- --------------
Distributions From:
Net Investment Income (1,518) (932)
-------------- --------------
Total Distributions (1,518) (932)
-------------- --------------
Capital Share Transactions (1):
Shares Issued 72,953 119,357
Shares Issued in Lieu of Cash Distributions 1,518 932
Shares Redeemed (20,051) (44,801)
-------------- --------------
Net Increase (Decrease) from Capital Share Transactions 54,420 75,488
-------------- --------------
Total Increase (Decrease) 81,157 132,928
NET ASSETS
Beginning of Period 328,258 195,330
-------------- --------------
End of Period $ 409,415 $ 328,258
============== ==============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 6,152 13,003
Shares Issued in Lieu of Cash Distributions 133 106
Shares Redeemed (1,703) (5,040)
-------------- --------------
4,582 8,069
============== ==============
</Table>
See accompanying Notes to Financial Statements.
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR DEC, 16,
ENDED ENDED ENDED ENDED ENDED 1998 TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
------------ ------------ ------------ ------------ ------------ ------------
(UNAUDITED)
Net Asset Value,
Beginning of Period $ 11.08 $ 9.06 $ 11.46 $ 10.74 $ 10.68 $ 10.00
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.05 0.05 0.04 0.10 0.17 0.06
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.88 2.01 (2.34) 0.77 0.12 0.62
------------ ------------ ------------ ------------ ------------ ------------
Total from Investment
Operations 0.93 2.06 (2.30) 0.87 0.29 0.68
------------ ------------ ------------ ------------ ------------ ------------
LESS DISTRIBUTIONS
Net Investment Income (0.05) (0.04) (0.10) (0.15) (0.09) --
Net Realized Gains -- -- -- -- (0.14) --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.05) (0.04) (0.10) (0.15) (0.23) --
------------ ------------ ------------ ------------ ------------ ------------
Net Asset Value, End of Period $ 11.96 $ 11.08 $ 9.06 $ 11.46 $ 10.74 $ 10.68
============ ============ ============ ============ ============ ============
Total Return 8.43%# 22.91% (20.26)% 8.17% 2.83% 6.80%#
Net Assets, End of Period
(thousands) $ 409,415 $ 328,258 $ 195,330 $ 116,355 $ 54,476 $ 26,414
Ratio of Expenses to Average Net
Assets (1) 0.28%* 0.30% 0.30% 0.34% 0.44% 0.96%*
Ratio of Net Investment Income to
Average Net Assets 0.88%* 0.57% 0.57% 1.10% 1.78% 0.99%*
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series 3%# 6% 15% 11% 39% 10%*
</Table>
- ----------
* Annualized
# Non-annualized
(1) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of the Master Fund Series.
N/A Refers to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twenty-five portfolios, of
which Tax-Managed U.S. Marketwide Value Portfolio II (the "Portfolio") is
presented in this report.
The Portfolio invests all of its assets in The Tax-Managed U.S. Marketwide
Value Series (the "Series" or the "Master Fund"), a corresponding series of The
DFA Investment Trust Company. At May 31, 2004, the Portfolio owned 30% of the
Series. The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Portfolio.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America may
require management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolio's investment reflects its
proportionate interest in the net assets of the Series.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At May 31, 2004, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $5,269.
3. OTHER: The Portfolio accrues its share of income and expenses daily on
its investment in the Series, which is treated as a partnership for federal
income tax purposes. All of the net investment income and realized and
unrealized gains or losses from the security transactions of the Series are
allocated pro rata among its investors at the time of such determination.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Expenses directly attributable to the Portfolio or to the
Series are directly charged. Common expenses of the Fund or Portfolios are
allocated using methods approved by the Board of Directors, generally based on
average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
5
<Page>
of Directors, and other administrative services. The Portfolio is not charged a
fee for these services. The Advisor provides investment advisory services to the
Series.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
D. FEDERAL INCOME TAX:
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 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 May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
Gross Unrealized Appreciation $ 103,222
Gross Unrealized Depreciation (124)
-----------
Net $ 103,098
===========
</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 capital loss carryforwards for federal income tax
purposes of approximately $47,742,000 of which $2,938,000, $1,364,000,
$36,758,000 and $6,682,000 will expire on November 30, 2008, November 30, 2009,
November 30, 2010 and November 30, 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 effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million. 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.
There were no borrowings by the Portfolio under the discretionary line of credit
with the domestic custodian bank during the six months ended May 31, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings by the Portfolio under the line of credit during
the six months ended May 31, 2004.
6
<Page>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (90.3%)
1st Source Corp. 8,200 $ 186,140
21st Century Insurance Group 9,800 128,282
*3COM Corp. 193,900 1,254,533
*AAR Corp. 9,900 94,842
*ABX Air, Inc. 19,300 86,850
*Accelrys, Inc. 15,800 157,842
*Ace Cash Express, Inc. 400 9,520
*Aclara Biosciences, Inc. 9,400 35,720
*ACT Manufacturing, Inc. 300 2
*Actel Corp. 7,300 145,708
Action Performance Companies, Inc. 5,800 87,870
*Active Power, Inc. 1,100 3,850
*Activision, Inc. 48,150 761,733
*Adaptec, Inc. 36,500 298,935
*ADC Telecommunications, Inc. 173,900 441,706
*ADE Corp. 2,600 54,600
*Adept Technology, Inc. 700 665
*Administaff, Inc. 30,800 509,432
*Advanced Digital Information Corp. 20,700 185,265
*Advanced Energy Industries, Inc. 1,600 24,528
Advanced Marketing Services, Inc. 4,600 50,922
*#Advanced Micro Devices, Inc. 103,800 1,614,090
*Advanced Power Technology, Inc. 1,200 15,852
Advanta Corp. Class A 14,400 232,704
Advanta Corp. Class B Non-Voting 15,000 237,900
*Advent Software, Inc. 10,700 202,444
*Aehr Test Systems 500 2,000
*AEP Industries, Inc. 8,300 88,387
*Aeroflex, Inc. 9,100 116,116
*Aether Systems, Inc. 13,900 47,399
Aetna, Inc. 91,900 7,462,280
*Aetrium, Inc. 100 918
*Aftermarket Technology Corp. 300 4,392
*Agco Corp. 47,700 913,932
*Agile Software Corp. 2,100 16,800
Agilysys, Inc. 22,600 278,206
*Air Methods Corp. 1,900 15,086
Airgas, Inc. 78,300 1,705,374
Alamo Group, Inc. 3,800 59,470
*Alaska Air Group, Inc. 16,700 344,020
Albany International Corp. Class A 17,000 518,330
Albemarle Corp. 13,400 385,652
#Albertson's, Inc. 169,700 3,976,071
Alcoa, Inc. 2,552 79,878
*Alderwoods Group, Inc. 5,100 65,841
Alexander & Baldwin, Inc. 19,000 605,530
*Alexion Pharmaceuticals, Inc. 6,600 132,330
Alfa Corp. 21,962 299,781
*#Align Technology, Inc. 1,000 19,060
*All American Semiconductor, Inc. 1,300 11,843
*Allegheny Corp. 2,265 603,622
Allegheny Technologies, Inc. 4,200 50,442
*Alliance Semiconductor Corp. 5,800 34,626
*Allied Defense Group, Inc. 3,000 52,620
*Allied Healthcare International, Inc. 1,200 6,036
*Allied Healthcare Products, Inc. 400 $ 2,172
*Allied Holdings, Inc. 1,100 5,610
*Allied Waste Industries, Inc. 84,000 1,113,840
*Allmerica Financial Corp. 100 3,215
*Allou Health Care, Inc. Class A 1,000 0
*Alloy, Inc. 1,200 6,012
*Allscripts Healthcare Solutions, Inc. 22,400 184,554
Allstate Corp. 424,300 18,660,714
Alltel Corp. 500 25,315
Alpharma, Inc. Class A 25,200 493,416
Ambac Financial Group, Inc. 57,500 3,976,125
Ambassadors Group, Inc. 700 14,413
Ambassadors, Inc. 4,000 51,320
*AMC Entertainment, Inc. 9,700 146,470
Amerada Hess Corp. 46,300 3,268,317
*America Services Group, Inc. 400 14,400
*#America West Holdings Corp. Class B 200 2,004
American Capital Strategies, Ltd. 17,123 457,698
*American Dental Partners, Inc. 1,800 30,690
American Financial Group, Inc. 35,700 1,078,497
*#American Greetings Corp. Class A 32,500 682,500
*American Independence Corp. 1,266 19,724
American Italian Pasta Co. 6,400 187,264
*American Medical Security Group, Inc. 7,200 185,976
American National Insurance Co. 24,200 2,270,202
American Pacific Corp. 500 3,650
*American Physicians Capital, Inc. 4,000 92,200
American Power Conversion Corp. 3,000 54,300
*American Retirement Corp. 9,800 44,100
American Shared Hospital Services 600 3,408
American Software, Inc. Class A 4,500 28,755
*American Superconductor Corp. 3,800 47,728
*American Technical Ceramics Corp. 500 4,425
*#American Tower Corp. 78,900 1,091,187
*American West Bancorporation 666 11,935
*Americredit Corp. 16,500 292,050
AmerisourceBergen Corp. 83,872 5,030,643
Ameron International Corp. 1,700 52,887
#AmerUs Group Co. 24,000 944,400
*AMN Healthcare Services, Inc. 7,300 110,960
*#AMR Corp. 7,500 86,400
Amrep Corp. 500 8,590
AmSouth Bancorporation 2,500 63,700
Anadarko Petroleum Corp. 223,734 12,197,978
*Anadigics, Inc. 1,800 8,874
Analogic Corp. 5,300 244,489
*Anaren, Inc. 8,700 138,504
*#Andrew Corp. 65,130 1,279,804
#Anixter International, Inc. 400 12,200
*#Ann Taylor Stores Corp. 39,375 1,114,706
*AnswerThink, Inc. 15,200 97,447
*#Anthem, Inc. 52,339 4,633,572
AON Corp. 46,000 1,270,980
</Table>
7
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*APA Optics, Inc. 5,200 $ 13,000
Apache Corp. 227,546 9,183,757
Apogee Enterprises, Inc. 1,100 10,956
*Apple Computer, Inc. 155,000 4,349,300
*Applica, Inc. 1,300 12,766
*Applied Films Corp. 5,400 146,070
Applied Industrial Technologies, Inc. 6,200 165,850
*Applied Innovation, Inc. 1,300 5,200
*Applied Micro Circuits Corp. 122,600 660,814
Applied Signal Technologies, Inc. 2,400 75,000
*Apropos Technology, Inc. 7,000 28,420
Aptargroup, Inc. 6,500 264,225
*aQuantive, Inc. 13,000 130,780
*Arch Capital Group, Ltd. 3,900 150,462
Arch Chemicals, Inc. 7,500 198,975
Arch Coal, Inc. 18,995 617,337
Archer-Daniels Midland Co. 425,565 7,077,146
*Argonaut Group, Inc. 450 7,821
Arkansas Best Corp. 11,000 327,690
*Armor Holdings, Inc. 10,700 400,180
*Arqule, Inc. 3,100 17,980
*Arris Group, Inc. 59,400 375,408
*Arrow Electronics, Inc. 24,800 675,304
*Artesyn Technologies, Inc. 30,500 278,770
Arvinmeritor, Inc. 200 3,720
*Ascential Software Corp. 40,525 650,426
Ashland, Inc. 34,100 1,607,815
*Ashworth, Inc. 4,000 31,960
*Aspect Communications Corp. 8,400 107,856
*Aspect Medical Systems, Inc. 1,600 24,352
*Aspen Technology, Inc. 5,900 37,229
*Astec Industries, Inc. 10,800 186,948
Astoria Financial Corp. 5,400 206,658
*#AstroPower, Inc. 5,400 216
AT&T Corp. 400,600 6,641,948
*AT&T Wireless Services, Inc. 2,122,131 30,049,375
*Atlantic Coast Airlines, Inc. 4,999 28,194
*Atmel Corp. 14,700 93,492
*ATP Oil & Gas Corp. 6,900 40,848
Atrion Corp. 200 8,648
*Atwood Oceanics, Inc. 1,600 63,712
*Audiovox Corp. Class A 23,900 332,688
*August Technology Corp. 8,600 115,670
*autobytel.com, Inc. 7,300 76,285
*AutoNation, Inc. 324,600 5,411,082
*Avatar Holdings, Inc. 1,700 71,128
*Aviall, Inc. 5,600 97,216
*#Avid Technology, Inc. 4,700 244,494
*Avnet, Inc. 33,700 788,580
*Avocent Corp. 20,400 699,108
AVX Corp. 97,200 1,539,648
*Aware, Inc. 21,800 70,850
*Axcelis Technologies, Inc. 51,400 619,370
*Axsys Technologies, Inc. 300 5,805
*Aztar Corp. 30,900 744,999
*AZZ, Inc. 3,600 53,640
B B & T Corp. 437 16,466
Baldwin & Lyons, Inc. Class B 1,500 36,225
*Bancinsurance Corp. 1,800 14,778
Bandag, Inc. 4,500 190,665
Bandag, Inc. Class A 2,600 103,142
Bank of America Corp. 14,000 $ 1,163,820
Bank of Hawaii Corp. 64,600 2,806,870
Bank One Corp. 11,400 552,330
Banknorth Group, Inc. 3,000 98,820
*BankUnited Financial Corp. Class A 16,500 430,485
Banner Corp. 3,766 109,967
Banta Corp. 13,000 567,320
*Barnes & Noble, Inc. 26,200 784,428
Bassett Furniture Industries, Inc. 679 12,921
*Bay View Capital Corp. 16,900 34,476
*Baycorp Holdings, Ltd. 34 451
Bear Stearns Companies, Inc. 49,622 4,022,359
*BearingPoint, Inc. 1,300 11,154
#Beazer Homes USA, Inc. 6,801 685,337
Belden, Inc. 11,600 196,040
*Bell Industries, Inc. 2,700 7,965
*Bell Microproducts, Inc. 9,600 61,152
Belo Corp. Class A 69,100 2,032,922
*Benchmark Electronics, Inc. 12,600 367,038
Berkley (W.R.) Corp. 23,625 983,981
*Bethlehem Steel Corp. 5,900 19
*#Beverly Enterprises 26,800 227,264
*Big Lots, Inc. 84,200 1,231,004
*Bio-Logic Systems Corp. 300 1,863
*BioMarin Pharmaceutical, Inc. 15,200 92,872
*Bio-Rad Laboratories, Inc. Class A 4,000 224,480
*Biosource International, Inc. 2,600 18,749
*BJ's Wholesale Club, Inc. 500 11,810
Black Box Corp. 16,800 765,240
Blair Corp. 1,500 38,550
#Blockbuster, Inc. Class A 47,000 736,020
*Blonder Tongue Laboratories, Inc. 500 1,575
*Bluegreen Corp. 7,800 93,444
Bob Evans Farms, Inc. 19,600 503,524
*Boca Resorts, Inc. 35,200 632,896
*Bogen Communications International, Inc. 700 3,517
Boise Cascade Corp. 44,600 1,567,690
*Bombay Co., Inc. 9,900 57,618
Bon-Ton Stores, Inc. 1,200 15,348
*Books-a-Million, Inc. 5,000 30,000
Borders Group, Inc. 36,200 826,446
Borg-Warner, Inc. 46,200 1,914,528
*Borland Software Corp. 9,700 85,360
*Boston Biomedical, Inc. 100 316
*Boston Communications Group, Inc. 5,300 56,180
*Bottomline Technologies, Inc. 1,000 9,600
Bowater, Inc. 27,100 1,144,433
Bowne & Co., Inc. 29,300 466,456
#Boyd Gaming Corp. 42,300 983,475
*Boyds Collection, Ltd. 8,600 24,596
*Brigham Exploration Co. 1,100 9,373
*Brightpoint, Inc. 2,250 25,065
*Brillian Corp. 1,475 12,465
*#Broadcom Corp. 42,400 1,789,704
#Brookline Bancorp, Inc. 25,150 363,669
*Brookstone, Inc. 3,375 65,171
*Brooktrout, Inc. 3,300 31,746
Brown Shoe Company, Inc. 8,900 367,837
*Bruker BioSciences Corp. 4,000 19,040
Brunswick Corp. 51,400 2,081,700
</Table>
8
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*Brush Engineered Materials, Inc. 3,000 $ 52,260
*BTU International, Inc. 500 2,640
*Buckeye Technology, Inc. 19,400 195,746
Building Materials Holding Corp. 7,000 120,470
Burlington Coat Factory Warehouse Corp. 51,900 988,176
Burlington Northern Santa Fe Corp. 311,900 10,273,986
Burlington Resources, Inc. 160,700 10,757,258
C & D Technologies, Inc. 9,800 160,034
*Cable Design Techologies Corp. 13,900 115,926
#Cabot Corp. 27,400 984,756
Cabot Oil & Gas Corp. Class A 17,100 629,280
*Cache, Inc. 700 18,207
*Caesars Entertainment, Inc. 247,700 3,410,829
Calgon Carbon Corp. 32,900 203,322
*California Amplifier, Inc. 1,600 12,000
*California Coastal Communities, Inc. 700 11,235
*Caliper Life Sciences, Inc. 14,800 78,588
*Callon Petroleum Corp. 11,000 144,320
Cambrex Corp. 16,400 374,740
*Candela Corp. 5,400 56,160
*Capital Pacific Holdings, Inc. 5,700 22,942
*Capital Senior Living Corp. 3,900 20,085
*Captaris, Inc. 9,600 58,080
*Caraustar Industries, Inc. 24,100 322,458
*#CarMax, Inc. 21,729 496,942
Carpenter Technology Corp. 8,400 255,528
*Carreker Corp. 2,200 20,086
*Carriage Services, Inc. Class A 1,700 8,755
*#Carrizo Oil & Gas, Inc. 1,700 14,382
Cascade Corp. 3,500 85,575
*Casella Waste Systems, Inc. Class A 6,400 89,472
Casey's General Stores, Inc. 23,600 385,388
Cash America International, Inc. 19,100 385,247
*Castle (A.M.) & Co. 100 849
*Casual Male Retail Group, Inc. 20,000 136,000
*Catalytica Energy Systems, Inc. 6,300 21,105
Cato Corp. Class A 400 8,812
*Cavalier Homes, Inc. 5,800 32,712
*Cavco Industries, Inc. 3,025 114,765
CBRL Group, Inc. 60,100 1,938,225
CDI Corp. 8,600 285,434
*Celadon Group, Inc. 2,000 28,840
*Celestica, Inc. 562 10,566
*CellStar Corp. 5,000 30,250
#Cendant Corp. 548,579 12,584,402
Centex Corp. 121,000 5,867,290
*Centillium Communications, Inc. 6,300 20,790
*Central Garden & Pet Co. 7,100 263,907
Central Parking Corp. 30,900 571,341
*Century Aluminum Co. 24,600 569,982
*Century Business Services, Inc. 42,800 176,336
CenturyTel, Inc. 3,100 92,659
*Cenveo, Inc. 12,000 37,080
*Ceradyne, Inc. 1,500 49,905
*Ceres Group, Inc. 1,100 6,842
CFS Bancorp, Inc. 600 8,130
*Chalone Wine Group, Ltd. 700 7,140
*Champion Enterprises, Inc. 8,800 82,280
*Channell Commercial Corp. 700 3,150
*Charles and Colvard, Ltd. 1,000 5,880
*Charlotte Russe Holding, Inc. 200 $ 3,698
*#Charming Shoppes, Inc. 50,800 434,848
*Chart Industries 3 90
*Checkers Drive-In Restaurant, Inc. 3,100 31,775
*#CheckFree Corp. 21,400 656,124
*Checkpoint Systems, Inc. 24,200 417,692
Chemed Corp. 1,200 56,664
Chemical Financial Corp. 2,100 73,605
Chesapeake Corp. 5,100 110,772
Chesapeake Energy Corp. 117,800 1,554,960
*Children's Place Retail Stores, Inc. 8,300 196,544
*Chromcraft Revington, Inc. 700 9,905
*Chronimed, Inc. 3,100 22,940
Chubb Corp. 116,300 7,835,131
*Ciber, Inc. 29,400 261,660
CIGNA Corp. 69,000 4,678,200
*Cima Laboratories, Inc. 1,800 58,176
*Cimarex Energy Co. 6,111 172,269
Cincinnati Financial Corp. 143,745 6,145,099
*Ciphergen Biosystems, Inc. 6,900 53,889
*Ciprico, Inc. 400 1,862
CIRCOR International, Inc. 5,550 109,002
Circuit City Stores, Inc. 171,800 2,056,446
Citigroup, Inc. 45,069 2,092,554
*Citizens Communications Co. 133,500 1,695,450
Citizens South Banking Corp. 1,542 19,969
City Holding Co. 6,500 195,130
*Clark, Inc. 9,200 160,816
*Clarus Corp. 9,000 106,740
*Clayton Williams Energy, Inc. 6,100 139,934
*#Clean Harbors, Inc. 3,200 23,328
Clear Channel Communications, Inc. 576,100 22,871,170
*Cleveland Cliffs, Inc. 4,300 201,627
*#CMS Energy Corp. 25,775 222,180
*#CNA Financial Corp. 45,100 1,353,902
*CNA Surety Corp. 14,100 146,640
*CNET Networks, Inc. 40,100 387,366
Coachmen Industries, Inc. 6,400 103,424
*Cobra Electronics Corp. 1,200 10,764
Coca-Cola Enterprises, Inc. 455,800 12,557,290
*Coherent, Inc. 13,100 354,879
*Coldwater Creek, Inc. 900 23,949
*Collins & Aikman Corp. 16,000 84,960
Columbia Banking System, Inc. 7,623 161,760
*Comarco, Inc. 8,700 61,944
*Comcast Corp. Class A 461,469 13,359,528
*Comcast Corp. Special Class A Non-Voting 322,500 9,142,875
Comerica, Inc. 72,600 4,109,886
*Comfort Systems USA, Inc. 12,700 89,535
Commerce Bancshares, Inc. 1,620 75,411
Commerce Group, Inc. 13,000 589,160
Commercial Federal Corp. 34,300 961,086
Commercial Metals Co. 18,600 559,860
*Commonwealth Industries, Inc. 2,900 25,955
*#Commscope, Inc. 21,500 370,875
Community Bank System, Inc. 5,500 121,110
*#Community Health Care 700 17,850
Community West Bancshares 400 3,390
Compass Bancshares, Inc. 2,700 113,535
*Compex Technologies, Inc. 2,000 11,960
</Table>
9
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*Compucom Systems, Inc. 8,300 $ 37,267
*CompuCredit Corp. 36,500 640,210
*#Compudyne Corp. 1,000 9,950
*Computer Access Technology Corp. 14,600 67,890
Computer Associates International, Inc. 176,400 4,773,384
*Computer Horizons Corp. 9,600 34,272
*Computer Network Technology Corp. 3,200 19,328
*Computer Sciences Corp. 13,800 601,542
*Computer Task Group, Inc. 5,600 24,360
*Compuware Corp. 151,500 1,204,425
*Comstock Resources, Inc. 13,700 257,697
*Comtech Telecommunications Corp. 2,700 47,898
*Comverse Technology, Inc. 237,100 4,189,557
*Concord Camera Corp. 9,900 30,591
*Conexant Systems, Inc. 41,810 197,343
*Conmed Corp. 14,650 372,842
ConocoPhilips 387,194 28,392,936
*Consolidated Graphics, Inc. 5,700 228,855
*#Constellation Brands, Inc. 3,200 115,200
*#Continental Airlines, Inc. 2,200 23,518
*Continental Materials Corp. 100 2,929
*#Convera Corp. 8,800 24,992
Cooper Tire & Rubber Co. 36,100 761,349
#Coors (Adolph) Co. Class B 16,800 1,082,760
*#Copper Mountain Networks, Inc. 700 8,883
Corn Products International, Inc. 32,200 1,396,836
*Cornell Companies, Inc. 2,400 32,040
*#Corning, Inc. 470,500 5,829,495
*Correctional Services Corp. 1,500 4,650
*Corrections Corporation of America 11,900 455,294
Corus Bankshares, Inc. 13,400 523,672
*Cosine Communications, Inc. 800 3,184
Countrywide Financial Corp. 196,599 12,680,635
*Covansys Corp. 21,000 228,480
*Covenant Transport, Inc. Class A 15,100 236,617
*#Cox Communications, Inc. 356,500 11,197,665
*Cox Radio, Inc. 15,000 284,100
*Credit Acceptance Corp. 35,400 532,770
*#Cree Research, Inc. 29,900 687,999
*Cross (A.T.) Co. Class A 1,100 6,204
*Cross Country Healthcare, Inc. 4,300 71,423
*#Crown Castle International Corp. 68,300 1,006,059
*Crown Holdings, Inc. 67,300 600,989
*Crown Media Holdings, Inc. 13,500 122,175
*#Cryolife, Inc. 1,100 5,610
CSS Industries, Inc. 2,550 88,995
CSX Corp. 191,300 6,045,080
CT Communications, Inc. 2,200 30,140
CTS Corp. 13,000 141,700
Cubic Corp. 31,500 709,065
*Culp, Inc. 2,500 18,500
*#Cumulus Media, Inc. Class A 15,600 289,224
*CuraGen Corp. 4,900 24,500
*Curative Health Services Inc 2,500 26,300
Curtiss-Wright Corp-Cl B W/I 1,272 56,922
Cutter & Buck, Inc. 2,500 25,900
*Cyberoptics Corp. 600 12,546
*Cybersource Corp. 6,500 54,925
*Cypress Semiconductor Corp. 46,900 767,284
Cytec Industries, Inc. 13,500 543,645
D & K Healthcare Resources, Inc. 13,600 $ 162,792
D&E Communications, Inc. 2,800 36,288
Dana Corp. 173,300 3,232,045
*Datalink Corp. 12,500 45,625
Datascope Corp. 5,617 195,078
*Datastream Systems, Inc. 3,900 24,414
*Dave and Busters, Inc. 3,900 72,930
*DaVita, Inc. 50,000 2,321,000
*Dawson Geophysical Co. 400 5,940
*Deckers Outdoor Corp. 1,900 47,500
Deere & Co. 2,500 164,250
*Delphax Technologies, Inc. 400 2,560
Delphi Financial Group, Inc. Class A 14,100 567,948
*Denbury Resources, Inc. 24,100 443,440
*Dendreon Corp. 6,400 70,080
*Department 56, Inc. 3,900 61,620
*Devcon International Corp. 300 3,450
Devon Energy Corp. 81,900 4,861,584
#Diamond Offshore Drilling, Inc. 71,900 1,624,221
*DiamondCluster International, Inc. 5,000 48,450
Diebold, Inc. 200 9,826
*Diedrich Coffee, Inc. 400 1,580
*Digi International, Inc. 4,300 44,677
*Digimarc Corp. 2,400 27,120
*#Digital Angel Corp. 5,900 18,998
*#Digital Insight Corp. 7,900 152,628
*Digitas, Inc. 15,500 143,375
Dillards, Inc. Class A 73,900 1,478,739
Dime Community Bancorp, Inc. 19,912 340,495
Dimon, Inc. 55,600 341,940
*Diodes, Inc. 3,000 65,490
*Discovery Partners International 7,800 40,482
Disney (Walt) Co. 436,700 10,249,349
Distributed Energy Systems Corp. 2,000 6,400
*Ditech Communications Corp. 13,600 280,296
*Dixie Group, Inc. 11,100 131,091
*Dollar Thrifty Automotive Group, Inc. 22,900 600,438
*Dominion Homes, Inc. 700 21,357
Dominion Resources, Inc. 1,194 75,186
*DoubleClick, Inc. 51,900 440,112
Dover Motorsports, Inc. 2,900 13,311
Downey Financial Corp. 20,800 1,100,320
*Drew Industries, Inc. 700 26,075
*Drugstore.com, Inc. 26,300 122,032
*Duane Reade, Inc. 8,400 138,600
*Ducommun, Inc. 700 13,195
*Dura Automotive Systems, Inc. 5,500 52,030
*#DUSA Pharmaceuticals, Inc. 10,100 106,656
*Dyax Corp. 15,200 149,720
*Dycom Industries, Inc. 21,399 528,341
*Dynamex, Inc. 700 9,198
*Dynegy, Inc. 69,100 303,349
*E Trade Group, Inc. 212,600 2,425,766
*E.piphany, Inc. 4,000 18,800
Eagle Materials, Inc. 19,681 1,312,723
Eagle Materials, Inc. Series B 9,015 594,990
Eastman Chemical Co. 22,900 1,061,186
Eastman Kodak Co. 128,300 3,358,894
Eaton Corp. 3,200 186,720
*Edge Petroleum Corp. 2,800 38,780
*Edgewater Technology, Inc. 7,700 47,663
</Table>
10
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*eFunds Corp. 16,300 $ 260,963
*EGL, Inc. 12,800 292,864
Electro Rent Corp. 2,400 26,256
*Electro Scientific Industries, Inc. 7,500 171,225
Electronic Data Systems Corp. 246,100 4,023,735
*Electronics for Imaging, Inc. 24,000 666,240
*eLoyalty Corp. 900 5,697
*EMC Corp. 26,550 298,422
*EMCORE Corp. 2,400 7,104
*Emisphere Technologies, Inc. 6,000 30,480
*Emmis Communications Corp. Class A 18,800 409,840
*EMS Technologies, Inc. 9,700 211,072
*Emulex Corp. 5,000 93,400
*Encore Medical Corp. 7,100 49,558
*Encore Wire Corp. 4,700 143,185
Energen Corp. 11,300 506,240
*Energy Partners, Ltd. 11,500 152,605
*Enesco Group, Inc. 3,600 34,668
ENSCO International, Inc. 85,046 2,265,625
*Entravision Communications Corp. 55,400 448,740
*Entrust, Inc. 66,800 307,280
#EOG Resources, Inc. 60,600 3,237,858
*ePlus, Inc. 2,400 28,272
*ePresence, Inc. 6,400 25,856
*Equity Oil Co. 900 3,825
*Esco Technologies, Inc. 5,700 281,010
*ESS Technology, Inc. 10,100 115,746
*Esterline Technologies Corp. 8,200 206,476
*Ethyl Corp. 2,100 42,147
*Exar Corp. 15,900 253,287
*Exelixis, Inc. 32,600 300,572
*Exponent, Inc. 500 12,465
*Extreme Networks, Inc. 33,232 176,794
*Exult, Inc. 15,000 92,700
F.N.B. Corp. 13,200 263,472
Fair, Isaac & Co., Inc. 12,922 449,039
*Fairchild Corp. Class A 8,100 36,450
*Fairchild Semiconductor Corp. Class A 47,466 936,030
*Famous Dave's of America, Inc. 2,100 16,531
Farmer Brothers Co. 5,000 142,800
*Faro Technologies, Inc. 1,400 37,436
FBL Financial Group, Inc. Class A 18,200 516,334
Federated Department Stores, Inc. 171,600 8,187,036
FedEx Corp. 4,782 351,860
Fidelity National Financial, Inc. 81,235 3,053,624
*Financial Federal Corp. 2,100 65,604
*Financial Industries Corp. 2,444 27,984
*Finish Line, Inc. Class A 11,700 389,610
*Finlay Enterprises, Inc. 4,400 86,152
First American Financial Corp. 38,600 1,002,056
*First Cash Financial Services, Inc. 2,700 55,620
First Charter Corp. 7,900 165,426
First Citizens Bancshares, Inc. 3,900 452,400
First Community Bancorp 3,600 130,680
First Community Bancshares, Inc. 3,000 81,000
First Federal Capital Corp. 4,400 119,416
*First Horizon Pharmaceutical Corp. 5,665 100,412
First Indiana Corp. 7,775 153,401
*First Mariner Bank Corp. 300 5,349
First Merchants Corp. 3,831 $ 92,059
First Niagara Financial Group, Inc. 28,454 354,252
#First PacTrust Bancorp, Inc. 600 12,930
First Place Financial Corp. 991 16,292
First Republic Bank 6,800 277,168
First Sentinel Bancorp, Inc. 9,600 200,448
First State Bancorporation 200 6,346
*FirstFed Financial Corp. 7,800 322,062
*Flanders Corp. 1,900 13,585
*Fleetwood Enterprises, Inc. 39,700 531,980
*Florida Banks, Inc. 400 8,384
Florida East Coast Industries, Inc. 9,600 347,328
Flowers Foods, Inc. 39,150 914,935
*Flowserve Corp. 35,500 743,725
*FMC Corp. 10,300 417,871
*FMC Technologies, Inc. 1,719 46,361
FNB Corp. 700 13,580
*Foodarama Supermarkets, Inc. 100 4,025
Foot Locker, Inc. 32,000 755,200
Ford Motor Co. 1,049,140 15,579,729
*Forest Oil Corp. 49,750 1,238,775
Fortune Brands, Inc. 2,000 150,600
*Foster (L.B.) Co. Class A 700 5,460
*#Foster Wheeler, Ltd. 3,500 4,130
*Fox Entertainment Group, Inc. Class A 115,800 3,120,810
*FPIC Insurance Group, Inc. 1,800 48,600
*FreeMarkets, Inc. 13,200 90,024
Fremont General Corp. 32,300 725,135
*Friede Goldman Halter, Inc. 100 0
*Frontier Airlines, Inc. 9,200 85,560
*Frozen Food Express Industries, Inc. 4,300 29,455
*#FuelCell Energy, Inc. 12,200 193,614
Fuller (H.B.) Co. 10,100 270,579
Furniture Brands International, Inc. 24,200 623,634
G & K Services, Inc. Class A 4,843 190,572
*G-III Apparel Group, Ltd. 500 4,507
GameTech International, Inc. 800 3,608
*Gardner Denver Machinery, Inc. 5,500 144,045
*Gateway, Inc. 24,100 97,605
#GATX Corp. 14,097 339,879
*Gaylord Entertainment Co. 34,760 999,350
*Gehl Co. 400 6,796
#Gencorp, Inc. 27,600 313,536
*Gene Logic, Inc. 4,600 18,124
*General Binding Corp. 2,600 34,918
*General Communications, Inc. Class A 16,200 128,466
General Electric Co. 139 4,326
#General Motors Corp. 301,300 13,676,007
*Genesee Corp. Class B 100 382
*Genesis Microchip, Inc. 9,200 148,580
*Genlyte Group, Inc. 6,100 358,497
*Gentiva Health Services, Inc. 2,800 44,464
Genuine Parts Co. 3,800 143,032
Georgia-Pacific Corp. 155,700 5,577,174
*Getty Images, Inc. 17,800 1,002,140
Gibraltar Steel Corp. 7,600 220,020
Glatfelter (P.H.) Co. 11,200 137,088
*Global Payment Technologies, Inc. 400 1,468
*Globecomm Systems, Inc. 10,200 59,772
</Table>
11
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Gold Banc Corp. 4,700 $ 76,986
*#Goodyear Tire & Rubber Co. 52,300 455,010
Goody's Family Clothing, Inc. 35,300 421,482
*Gottschalks, Inc. 2,400 12,432
*#GP Strategies Corp. 7,600 57,000
Granite Construction, Inc. 14,300 270,270
*Graphic Packaging Corp. 3,200 20,672
Gray Television, Inc. 15,940 224,595
Great American Financial Resources, Inc. 2,300 35,075
*Great Atlantic & Pacific Tea Co., Inc. 12,700 88,011
Great Lakes Chemical Corp. 18,000 446,040
Greenpoint Financial Corp. 58,950 2,363,895
*Grey Wolf, Inc. 15,200 55,480
*Griffin Land & Nurseries, Inc. Class A 400 10,118
*Griffon Corp. 27,170 632,518
*Group 1 Automotive, Inc. 19,100 613,110
*Group 1 Software, Inc. 800 18,288
*GSI Commerce, Inc. 9,700 79,540
*GTSI Corp. 1,600 19,072
*Guess, Inc. 12,900 198,660
Gulf Island Fabrication, Inc. 2,900 55,100
*Ha-Lo Industries, Inc. 19,500 27
*Hain Celestial Group, Inc. 15,100 267,270
*Hall Kinion Associates, Inc. 4,400 18,216
Hancock Holding Co. 4,500 123,660
Handleman Co. 25,400 568,960
*Hanger Orthopedic Group, Inc. 7,900 130,350
*Hanover Compressor Co. 15,100 158,097
Harbor Florida Bancshares, Inc. 5,200 145,964
Harleysville Group, Inc. 11,800 222,902
*Harmonic, Inc. 2,400 15,336
Harrahs Entertainment, Inc. 2,600 133,640
Harris Corp. 17,800 823,072
*Harris Interactive, Inc. 5,600 41,664
Hartford Financial Services Group, Inc. 178,600 11,809,032
*Harvard Bioscience, Inc. 14,700 69,090
*Harvest Natural Resources, Inc. 3,800 48,260
Hasbro, Inc. 229,000 4,502,140
*Hauppauge Digital, Inc. 1,200 7,633
*Hawk Corp. 600 3,135
*Hawthorne Financial Corp. 3,450 121,543
HCC Insurance Holdings, Inc. 11,800 391,052
*Health Net Inc 18,000 423,000
Healthcare Services Group, Inc. 1,200 18,648
Hearst-Argyle Television, Inc. 43,100 1,127,065
*Hector Communications Corp. 200 4,000
Heico Corp. 8,700 127,977
Heico Corp. Class A 870 10,283
*Heidrick & Struggles International, Inc. 7,400 206,756
Helmerich & Payne, Inc. 30,700 765,965
*Hercules, Inc. 100 1,058
*Heritage Commerce Corp. 800 11,352
*Herley Industries, Inc. 2,200 45,210
Hewlett-Packard Co. 439,900 9,343,476
*Hexcel Corp. 5,000 42,500
Hibernia Corp. 1,900 45,600
Hilton Hotels Corp. 42,400 735,640
*Hines Horticulture, Inc. 1,600 $ 6,944
HMN Financial, Inc. 3,600 90,468
*HMS Holdings Corp. 4,500 24,300
*Hollywood Entertainment Corp. 15,400 204,512
*Hologic, Inc. 6,500 133,640
Hooper Holmes, Inc. 15,800 88,480
Horace Mann Educators Corp. 12,700 215,011
Horizon Financial Corp. 1,900 34,998
*Horizon Health Corp. 2,000 46,000
*Horizon Offshore, Inc. 7,300 8,906
Horton (D.R.), Inc. 82,755 2,391,619
*Houston Exploration Co. 13,400 633,284
*Hub Group, Inc. Class A 500 16,360
*Hudson Highland Group, Inc. 3,390 94,072
#Hughes Supply, Inc. 21,200 1,144,800
*Human Genome Sciences, Inc. 900 9,783
*Humana, Inc. 94,100 1,606,287
#Hunt (J.B.) Transport Services, Inc. 50,000 1,637,000
#Huntington Bancshares, Inc. 2,500 56,675
*Hutchinson Technology, Inc. 22,300 588,943
*Huttig Building Products, Inc. 4,400 36,300
*Hypercom Corp. 21,100 141,792
*Ibis Technology Corp. 1,600 12,320
*Identix, Inc. 27,179 197,048
#Idex Corp. 8,500 405,450
*IDT Corp. 10,500 184,695
*IDT Corp. Class B 1,100 19,800
*iGate Capital Corp. 20,600 91,876
IHOP Corp. 7,300 262,800
Ikon Office Solutions, Inc. 100,500 1,107,510
*ILEX Oncology, Inc. 10,099 233,792
*Illumina, Inc. 24,400 154,696
ILX Resorts, Inc. 200 2,014
*Image Entertainment, Inc. 4,800 16,560
Imation Corp. 31,300 1,288,308
IMC Global, Inc. 56 697
*IMCO Recycling, Inc. 3,900 49,140
*ImmunoGen, Inc. 4,400 35,244
*#Impath, Inc. 600 3,390
*Impco Technologies, Inc. 3,700 21,201
*Imperial Sugar Co. 300 3,543
Independence Community Bank Corp. 49,687 1,864,256
#IndyMac Bancorp, Inc. 22,400 736,960
*Inet Technologies, Inc. 9,200 81,972
Infinity Property & Casualty Corp. 6,400 199,680
*InFocus Corp. 300 2,418
*Infonet Services Corp. 58,600 100,792
*Information Holdings, Inc. 6,800 181,696
*Inforte Corp. 6,700 72,494
*InfoSpace, Inc. 8,500 310,930
Ingles Market, Inc. Class A 2,000 21,200
*Ingram Micro, Inc. 71,200 1,028,840
*Innotrac Corp. 200 1,850
*Innovative Solutions & Support, Inc. 1,100 21,979
*Innovex, Inc. 4,500 24,255
*Insight Communications Co., Inc. 9,450 90,342
*Insight Enterprises, Inc. 16,100 295,596
*Insituform Technologies, Inc. Class A 4,500 68,850
*Inspire Pharmaceuticals, Inc. 5,100 87,363
*Instinet Group, Inc. 37,500 247,125
</Table>
12
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*Insurance Auto Auctions, Inc. 6,900 $ 112,884
Integra Bank Corp. 4,100 86,059
*IntegraMed America, Inc. 200 1,456
*Integrated Device Technology, Inc. 49,000 714,420
*Integrated Electrical Services, Inc. 35,700 321,300
*Interactive Data Corp. 2,200 37,290
*InterActiveCorp 214,503 6,705,364
*Interface, Inc. Class A 19,800 138,600
*Intergraph Corp. 40,200 1,010,628
*Interland, Inc. 5,400 15,714
*Interlink Electronics, Inc. 1,800 18,090
Intermet Corp. 1,900 7,809
*International Multifoods Corp. 8,000 199,680
International Paper Co. 206,912 8,675,820
*International Rectifier Corp. 25,900 1,146,593
International Speedway Corp. Class A 1,000 46,650
*Internet Security Systems, Inc. 16,600 262,612
*Interphase Corp. 1,100 10,449
Interpool, Inc. 4,500 75,937
Intersil Corp. 77,900 1,655,375
Interstate Bakeries Corp. 14,600 153,300
*Interstate Hotels & Resorts, Inc. 1,100 5,885
*Intest Corp. 600 3,450
*Invitrogen Corp. 30,600 2,125,170
Iomega Corp. 200 968
*#Ionics, Inc. 11,900 300,594
*#IPIX Corp. 1,700 14,263
*#Iron Mountain, Inc. 300 13,281
Irwin Financial Corp. 9,700 246,865
Isco, Inc. 200 3,186
*ITLA Capital Corp. 400 16,040
*IXYS Corp. 21,522 201,231
*J & J Snack Foods Corp. 1,700 67,592
*J Net Enterprises, Inc. 600 900
*Jack in the Box, Inc. 12,000 335,640
*Jaco Electronics, Inc. 1,400 6,973
*Jacuzzi Brands, Inc. 19,300 164,822
*Jakks Pacific, Inc. 2,400 42,672
Janus Capital Group, Inc. 244,500 4,002,465
*Jarden Corp. 1,500 52,500
*JDA Software Group, Inc. 8,900 112,585
Jefferies Group, Inc. 22,800 746,244
Jefferson-Pilot Corp. 60,500 3,105,465
JLG Industries, Inc. 39,300 495,966
*Johnson Outdoors, Inc. 500 9,535
Jones Apparel Group, Inc. 81,400 3,131,458
*Jones Lang LaSalle, Inc. 700 17,654
*Jos. A. Bank Clothiers, Inc. 1,650 53,773
Joy Global, Inc. 5,000 137,500
*K-Tron International, Inc. 200 4,268
*K2, Inc. 9,924 146,081
*Kadant, Inc. 5,657 114,441
*Kaiser Aluminum Corp. 2,900 101
Kaman Corp. Class A 5,932 69,879
*Kansas City Southern Industries, Inc. 29,300 380,900
KB Home Corp. 1,000 65,880
*Keane, Inc. 26,300 377,405
*Keith Companies, Inc. 2,400 33,648
Kellwood Co. 94,700 3,854,290
Kelly Services, Inc. 7,804 $ 216,483
*Kemet Corp. 41,500 504,225
Kennametal, Inc. 27,400 1,167,240
*Kennedy-Wilson, Inc. 900 6,120
Kerr-McGee Corp. 45,346 2,233,290
*Key Energy Group, Inc. 51,500 498,520
KeyCorp 215,100 6,756,291
*Keynote Systems, Inc. 12,100 157,905
*Keystone Automotive Industries, Inc. 4,700 129,250
*Kforce, Inc. 1,676 15,352
Kimball International, Inc. Class B 5,300 73,352
*Kindred Healthcare, Inc. 8,600 213,624
*King Pharmaceuticals, Inc. 8,300 110,888
*Kirby Corp. 8,300 293,820
Knight Ridder, Inc. 1,700 129,166
*Knight Trading Group, Inc. 77,000 882,420
*Korn/Ferry International 17,000 236,130
#Kraft Foods, Inc. 329,700 9,844,842
*Kroll, Inc. 451 16,480
Kronos Worldwide, Inc. 53 1,643
*Kulicke & Soffa Industries, Inc. 8,500 97,495
#La-Z-Boy, Inc. 16,700 308,115
*LaBarge, Inc. 1,900 14,440
*Labor Ready, Inc. 6,700 81,539
*LaCrosse Footwear, Inc. 400 3,144
Ladish Co., Inc. 3,000 26,100
LaFarge North America, Inc. 54,900 2,418,894
*Lakes Entertainment, Inc. 1,600 19,776
*Lamson & Sessions Co. 12,800 96,640
Lance, Inc. 14,100 215,025
*Lancer Corp. 700 4,480
Landamerica Financial Group, Inc. 17,100 682,119
*Landec Corp. 3,300 23,397
Landry's Restaurants, Inc. 25,200 756,000
*Laureate Education, Inc. 33,800 1,241,136
*Lawson Software, Inc. 5,800 41,586
*Layne Christensen Co. 800 13,488
*Lazare Kaplan International, Inc. 500 4,400
*LCC International, Inc. Class A 2,700 11,178
Lear Corp. 56,700 3,358,341
*Lecroy Corp. 1,100 20,273
Leggett and Platt, Inc. 1,800 45,504
Lehman Brothers Holdings, Inc. 3,000 226,950
Lennar Corp. A Shares 34,400 1,578,960
Lennar Corp. B Shares 3,440 147,301
Lennox International, Inc. 45,700 753,136
*Lesco, Inc. 4,200 54,306
*#Level 3 Communications, Inc. 40,500 157,950
*Lexicon Genetics, Inc. 15,000 105,150
Liberty Corp. 5,300 246,715
*Liberty Media Corp. 1,421,700 15,610,266
*Lightbridge, Inc. 3,300 17,391
Lilly (Eli) & Co. 676 49,801
Limited Brands, Inc. 16,400 316,520
Lincoln National Corp. 80,200 3,808,698
Lithia Motors, Inc. Class A 5,200 124,384
#LNR Property Corp. 27,200 1,366,800
Lockheed Martin Corp. 133,500 6,613,590
Loews Corp. 175,000 10,085,250
*LogicVision, Inc. 10,600 31,683
</Table>
13
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*Logility, Inc. 1,000 $ 4,450
Lone Star Steakhouse & Saloon, Inc. 41,400 1,051,560
*Lone Star Technologies, Inc. 11,300 227,356
Longs Drug Stores Corp. 29,800 638,316
Longview Fibre Co. 25,400 324,104
#Louisiana-Pacific Corp. 130,100 3,005,310
LSI Industries, Inc. 1,350 15,525
*LSI Logic Corp. 177,500 1,455,500
*LTX Corp. 15,451 164,553
Lubrizol Corp. 20,300 672,133
*Luby's, Inc. 1,500 8,280
*Lydall, Inc. 4,800 42,384
Lyondell Chemical Co. 71,600 1,182,832
*M & F Worldwide Corp. 1,500 19,500
M/I Schottenstein Homes, Inc. 8,100 344,007
*Mac-Gray Corp. 500 3,205
*Macromedia, Inc. 20,900 543,400
*Madden (Steven), Ltd. 800 15,448
MAF Bancorp, Inc. 13,800 607,890
*#Magna Entertainment Corp. 7,000 36,540
*Magnetek, Inc. 4,900 38,269
*Magnum Hunter Resources, Inc. 24,600 247,722
*Main Street & Main, Inc. 2,000 4,100
*MAIR Holdings, Inc. 6,100 48,800
Mandalay Resort Group 39,500 2,166,575
Manor Care, Inc. 29,800 933,634
*Manugistic Group, Inc. 12,600 56,070
Manulife Financial Corp. 284,353 11,038,583
*Mapinfo Corp. 6,700 67,000
Marathon Oil Corp. 199,900 6,664,666
Marcantile Bankshares Corp. 2,381 111,169
*Marimba, Inc. 7,200 58,896
*MarineMax, Inc. 7,200 191,880
*MarketWatch.com, Inc. 16,700 190,046
MarkWest Hydrocarbon, Inc. 660 7,062
Martin Marietta Materials, Inc. 22,300 955,109
Massey Energy Co. 35,800 881,396
*Mastec, Inc. 21,500 91,805
*Material Sciences Corp. 3,900 40,365
*Matria Healthcare, Inc. 2,000 43,700
*Matrix Bancorp, Inc. 500 5,950
*Matrix Service Co. 4,000 42,720
*Maverick Tube Corp. 14,300 328,900
Maxcor Financial Group, Inc. 3,700 41,329
*#Maxim Pharmaceuticals, Inc. 6,300 56,133
*#Maxtor Corp. 139,600 959,052
*Maxwell Shoe Company, Inc. 900 20,097
*Maxwell Technologies, Inc. 700 11,123
*Maxygen, Inc. 5,300 53,212
May Department Stores Co. 25,100 719,366
MBIA, Inc. 111,750 6,189,832
MCG Capital Corp. 6,900 106,881
McGrath Rent Corp. 3,004 93,575
McKesson Corp. 161,900 5,569,360
McRae Industries, Inc. Class A 2,200 21,890
MDC Holdings, Inc. 15,665 1,007,729
*Meade Instruments Corp. 16,000 51,200
*Meadowbrook Insurance Group, Inc. 2,200 11,154
MeadWestavco Corp. 90,400 2,496,848
*#Medarex, Inc. 18,200 152,334
*Medco Health Solutions, Inc. 44,100 $ 1,544,823
Media General, Inc. Class A 13,800 949,716
*Medquist, Inc. 8,300 102,339
*MEDTOX Scientific, Inc. 2,500 25,500
*Mens Warehouse, Inc. 12,700 331,343
*Merix Corp. 9,400 100,580
*Merrimac Industries, Inc. 1,100 10,175
*Mesa Air Group, Inc. 12,000 92,040
*Meta Group, Inc. 2,900 13,340
MetLife, Inc. 759,500 27,000,225
*Metris Companies, Inc. 5,600 42,280
*Metro-Goldwyn-Mayer, Inc. 186,200 2,213,918
*Metrologic Instruments, Inc. 7,200 106,704
MGIC Investment Corp. 111,100 8,110,300
*MGM Grand, Inc. 91,900 4,081,279
Michaels Stores, Inc. 30,800 1,609,300
*Micro Linear Corp. 4,200 25,326
*Micromuse, Inc. 22,000 130,240
*#Micron Technology, Inc. 228,000 3,426,840
*Microsemi Corp. 18,400 225,216
*Microtune, Inc. 5,600 19,152
Middleby Corp. 600 36,702
Midland Co. 2,000 52,240
*#Midway Games, Inc. 3,200 34,688
Millennium Chemicals, Inc. 900 15,282
*#Millennium Pharmaceuticals, Inc. 131,300 1,957,683
*Miller Industries, Inc. 8,700 79,257
Mine Safety Appliances Co. 3,900 116,493
Minerals Technologies, Inc. 18,600 1,069,500
*MIPS Technologies, Inc. 2,700 18,738
*Misonix, Inc. 4,500 37,890
*Mission Resources Corp. 5,400 29,052
*MKS Instruments, Inc. 16,200 378,432
*Mobile Mini, Inc. 5,900 125,788
*Mobius Management Systems, Inc. 1,300 7,800
Modine Manufacturing Co. 6,900 208,035
*Modtech Holdings, Inc. 1,800 12,600
*Moldflow Corp. 2,000 22,320
*Molecular Devices Corp. 4,600 78,430
Monaco Coach Corp. 3,200 80,128
*Mondavi (Robert) Corp. Class A 4,800 167,136
*Monro Muffler Brake, Inc. 900 22,302
Monsanto Co. 119,100 4,108,950
*Monster Worldwide, Inc. 45,200 1,144,012
*#Mony Group, Inc. 41,500 1,296,460
*Moog, Inc. Class A 5,175 160,942
Movado Group, Inc. 6,600 202,620
*MPS Group, Inc. 86,100 953,988
*MRO Software, Inc. 33,300 475,857
*MSC Software Corp. 8,500 75,990
Mueller Industries, Inc. 16,200 529,740
Myers Industries, Inc. 10,100 136,451
*Nabi Biopharmaceuticals 16,200 272,160
Nacco Industries, Inc. Class A 7,300 647,802
*Nanometrics, Inc. 2,200 28,138
*#Napco Security Systems, Inc. 400 3,520
Nash-Finch Co. 3,200 60,160
*Nashua Corp. 400 3,692
*NATCO Group, Inc. Class A 1,500 11,460
*National RV Holdings, Inc. 1,800 21,420
*National Semiconductor Corp. 10,000 216,700
</Table>
14
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*National Western Life Insurance Co. Class A 900 $ 131,535
Nationwide Financial Services, Inc. 30,200 1,103,810
*Natrol, Inc. 900 2,475
Nature's Sunshine Products, Inc. 100 1,490
*Natus Medical, Inc. 3,300 16,929
*Navigant International, Inc. 6,200 107,756
*Navigators Group, Inc. 600 17,340
*NCI Building Systems, Inc. 14,800 430,236
*NCO Group, Inc. 13,197 327,154
*NCR Corp. 6,300 303,912
Neiman Marcus Group, Inc. 13,700 706,920
*Nektar Therapeutics 21,400 459,886
*Neoforma, Inc. 200 2,274
*NEON Systems, Inc. 700 2,457
*Neopharm, Inc. 1,610 17,710
*NES Rentals Holdings, Inc. 5 41
*Netegrity, Inc. 8,300 78,186
*Netopia, Inc. 300 1,740
*NetRatings, Inc. 33,900 474,261
*Netscout System, Inc. 22,100 152,269
*NetSolve, Inc. 3,200 31,846
*Network Associates, Inc. 12,000 199,800
*Network Equipment Technologies, Inc. 26,700 196,512
#New Century Financial Corp. 11,400 497,154
New Jersey Resources Corp. 5,500 215,985
*Newfield Exploration Co. 23,890 1,188,527
Newmont Mining Corp. 2,294 91,095
*Newpark Resources, Inc. 26,000 146,900
*Newport Corp. 24,700 358,891
*NIC, Inc. 8,000 44,160
NL Industries, Inc. 11,500 143,750
*NMT Medical, Inc. 1,500 5,708
*Nobel Learning Communities, Inc. 400 2,630
Noble Energy, Inc. 18,700 847,858
#Nordstrom, Inc. 1,900 77,045
Norfolk Southern Corp. 339,800 8,233,354
*North American Scientific, Inc. 5,800 51,910
Northrop Grumman Corp. 116,262 11,990,100
Northwest Bancorp, Inc. 2,300 51,152
*Northwest Pipe Co. 500 7,350
*Novell, Inc. 205,000 1,867,550
*Nu Horizons Electronics Corp. 12,600 102,438
Nucor Corp. 35,800 2,357,430
*Nutraceutical International Corp. 2,200 53,922
*Nuvelo, Inc. 21 183
NWH, Inc. 3,600 67,554
*NYFIX, Inc. 9,700 48,888
*O.I. Corp. 200 1,682
*Obie Media Corp. 400 1,412
Occidental Petroleum Corp. 15,100 667,420
OceanFirst Financial Corp. 2,400 53,520
*Ocular Sciences, Inc. 1,900 63,479
*Ocwen Financial Corp. 39,300 488,892
#Odyssey Re Holdings Corp. 52,000 1,313,000
*Office Depot, Inc. 215,300 3,518,002
*Offshore Logistics, Inc. 16,400 376,708
*Ohio Casualty Corp. 48,700 913,125
*Oil States International, Inc. 17,700 251,340
*Old Dominion Freight Lines, Inc. 450 12,497
Old Republic International Corp. 91,250 $ 2,076,850
Olin Corp. 448 7,370
*Olympic Steel, Inc. 2,500 35,500
*OM Group, Inc. 9,300 248,217
*Omega Protein Corp. 2,500 27,000
Omnicare, Inc. 64,800 2,786,400
*Omnova Solutions, Inc. 10,500 54,180
*#Oneida, Ltd. 2,600 3,224
*Onvia.com, Inc. 200 1,174
*Onyx Acceptance Corp. 400 6,060
*Onyx Pharmacueticals, Inc. 5,600 263,032
*OPENT Technologies, Inc. 23,600 328,748
*Openwave Systems Inc 10,900 121,753
*Opinion Research Corp. 5,300 36,782
Option Care, Inc. 5,000 67,350
*Orbital Sciences Corp. 37,100 465,605
*Oregon Steel Mills, Inc. 5,500 61,985
*Orleans Homebuilders, Inc. 600 10,980
*#Orthodontic Centers of America, Inc. 2,900 24,795
*Osteotech, Inc. 4,100 25,584
*Overland Storage, Inc. 2,800 40,096
Overseas Shipholding Group, Inc. 19,200 732,288
*Owens-Illinois, Inc. 81,700 1,211,611
*OYO Geospace Corp. 900 15,740
Paccar, Inc. 3,825 213,435
*Pacific Mercantile Bancorp 1,000 10,900
*Pacificare Health Systems, Inc. 31,600 1,166,988
*Packeteer, Inc. 7,100 101,459
*Pactiv Corp. 1,800 42,444
*Pain Therapeutics, Inc. 10,700 83,674
*Palm Harbor Homes, Inc. 6,800 128,792
*#Palmone Inc 4,015 85,238
*Palmsource Inc 1,243 25,171
*PAM Transportation Services, Inc. 400 7,400
*PanAmSat Corp. 8,200 190,486
*Panavision, Inc. 600 3,885
*Par Technology Corp. 600 6,240
*Paradyne Networks Corp. 10,200 48,246
*Parallel Petroleum Corp. 4,500 17,771
*Parexel International Corp. 7,400 146,446
Park Electrochemical Corp. 3,400 84,864
*Parker Drilling Co. 11,900 38,199
Parker-Hannifin Corp. 2,600 144,456
*Park-Ohio Holdings Corp. 2,800 33,880
*Parlex Corp. 3,300 20,031
*Pathmark Stores, Inc. 4,400 29,700
*Patriot Transportation Holding, Inc. 200 7,235
*Paxar Corp. 11,000 202,730
*PC Connection, Inc. 17,661 135,460
*PC Mall, Inc. 2,300 37,927
*PC-Tel, Inc. 7,700 84,238
*PDI, Inc. 3,300 95,040
#Peabody Energy Corp. 34,900 1,735,926
*Pediatrix Medical Group, Inc. 5,100 337,110
*#Pegasus Communications Corp. 1,600 25,952
*Pegasus Solutions, Inc. 9,200 105,800
*Pegasystems, Inc. 23,000 195,730
Pelican Financial, Inc. 300 1,491
*Pemstar, Inc. 6,700 17,621
Penn Virginia Corp. 1,200 74,760
</Table>
15
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Penn-America Group, Inc. 2,700 $ 35,640
Penney (J.C.) Co., Inc. 235,400 8,422,612
#Pep Boys - Manny, Moe & Jack 62,500 1,530,625
PepsiAmericas, Inc. 169,900 3,608,676
*Performance Food Group Co. 500 16,420
*Performance Technologies, Inc. 1,400 15,176
*Pericom Semiconductor Corp. 8,200 87,822
PerkinElmer, Inc. 60,300 1,176,453
Perrigo Co. 2,700 55,242
*Perry Ellis International, Inc. 600 14,388
*Petrocorp, Inc. Escrow Shares 900 54
*Petroleum Development Corp. 4,900 120,393
PetSmart, Inc. 78,300 2,434,347
PFF Bancorp, Inc. 21,000 836,220
*Pharmacopia Drug Discovery, Inc. 7,900 54,984
*Pharmacyclics, Inc. 2,900 34,713
*Phelps Dodge Corp. 70,800 4,807,320
Phillips-Van Heusen Corp. 12,000 227,160
*Phoenix Technologies, Ltd. 7,400 48,840
*Photon Dynamics, Inc. 3,800 122,626
*Photronics, Inc. 11,200 198,016
*Piccadilly Cafeterias, Inc. 1,800 2
*Pico Holdings, Inc. 9,700 177,025
Pier 1 Imports, Inc. 18,600 350,610
Pilgrims Pride Corp. Class B 30,700 825,216
*Pinnacle Entertainment, Inc. 5,400 61,560
*Pinnacle Systems, Inc. 21,300 154,851
#Pioneer Natural Resources Co. 50,700 1,569,165
*Pixelworks, Inc. 10,700 193,456
*Plains Exploration & Production Co. 20,910 372,198
*Plains Resources, Inc. 7,900 135,406
*Planar Systems, Inc. 800 10,120
*Plato Learning, Inc. 13,300 140,182
*Plexus Corp. 13,500 198,315
*PLX Technology, Inc. 3,800 56,658
PMA Capital Corp. Class A 1,500 10,455
PMI Group, Inc. 117,100 5,055,207
Pogo Producing Co. 39,900 1,814,652
*Polycom, Inc. 40,400 827,796
PolyMedica Corp. 10,600 306,446
*Polyone Corp. 1,500 10,335
Pomeroy IT Solutions, Inc. 10,400 132,288
Pope & Talbot, Inc. 5,100 85,323
Potlatch Corp. 11,800 445,450
*Powell Industries, Inc. 1,400 23,926
*Power-One, Inc. 22,100 222,768
*#Powerwave Technologies, Inc. 20,400 163,404
*PRAECIS Pharmaceuticals, Inc. 18,600 77,562
Precision Castparts Corp. 51,955 2,436,170
Preformed Line Products Co. 300 8,250
*Premier Financial Bancorp 400 3,684
Presidential Life Corp. 8,448 142,940
*Presstek, Inc. 16,700 172,177
*PRG-Schultz International, Inc. 3,597 16,222
*Price Communications Corp. 12,038 173,949
*#Pride International, Inc. 78,700 1,237,164
*Prime Hospitality Corp. 31,800 315,138
*Prime Medical Services, Inc. 7,900 46,215
Principal Financial Group, Inc. 309,100 10,803,045
*Proassurance Corp. 15,200 502,664
*#Procom Technology, Inc. 900 1,098
*Progenics Pharmaceuticals, Inc. 1,400 $ 24,570
*Protection One, Inc. 26,200 5,109
Protective Life Corp. 33,800 1,249,924
*Protein Design Labs, Inc. 30,500 595,055
Providence & Worcester Railroad Co. 1,500 15,300
Provident Financial Group, Inc. 5,100 204,204
Provident Financial Holdings, Inc. 675 16,808
*Providian Financial Corp. 117,300 1,595,280
*Province Healthcare Co. 14,300 229,086
Prudential Financial, Inc. 506,200 22,424,660
*#PSS World Medical, Inc. 64,000 643,200
*PTEK Holdings, Inc. 8,400 88,116
Pulitzer, Inc. 2,900 136,445
Pulte Homes Inc. 141,022 7,438,911
*PW Eagle, Inc. 500 1,715
Quaker Fabric Corp. 5,800 46,226
Quanex Corp. 12,100 539,055
*Quanta Services, Inc. 18,400 97,520
*Quantum Corp.- DLT 12,500 36,875
Questar Corp. 37,800 1,385,370
*Quicklogic Corp. 2,100 6,298
*Quidel Corp. 1,600 8,944
*Quovadx, Inc. 6,564 7,023
*#Qwest Communications International, Inc. 97,900 367,125
Radian Group, Inc. 123,804 5,694,984
*Radio One, Inc. 12,500 216,000
*RadiSys Corp. 7,200 119,952
*Railamerica, Inc. 23,700 302,175
*Ralcorp Holdings, Inc. 5,100 170,085
Range Resources Corp. 20,600 244,522
Raytheon Co. 276,200 9,183,650
*RC2 Corp. 3,900 109,044
*RCM Technologies, Inc. 800 4,280
*#RCN Corp. 18,600 3,348
*RealNetworks, Inc. 43,700 262,637
*Redhook Ale Brewery, Inc. 5,900 12,862
Reebok International, Ltd. 27,200 986,000
Regal-Beloit Corp. 8,000 163,600
*Regent Communications, Inc. 34,600 204,140
Regions Financial Corp. 82,000 3,117,640
*Register.Com, Inc. 5,600 29,232
Reinsurance Group of America, Inc. 39,900 1,586,025
Reliance Steel & Aluminum Co. 13,300 486,647
*Reliant Resources, Inc. 124,900 1,237,759
*Remec, Inc. 11,600 75,980
*RemedyTemp, Inc. 400 5,209
*Rent-Way, Inc. 9,500 88,350
*Republic First Bancorp, Inc. 500 5,950
*Res-Care, Inc. 1,610 22,331
Resource America, Inc. 16,600 361,880
*Respironics, Inc. 6,200 329,778
*Restoration Hardware, Inc. 4,500 30,195
*Retek, Inc. 16,500 107,580
*Rex Stores Corp. 4,250 52,275
*RF Monolithics, Inc. 8,100 77,598
Richardson Electronics, Ltd. 13,800 156,078
Riggs National Corp. 20,700 452,088
*Riviera Holdings Corp. 300 2,607
RJ Reynolds Tobacco Holdings, Inc. 38,000 2,135,600
RLI Corp. 9,800 352,506
</Table>
16
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Robbins & Myers, Inc. 5,200 $ 114,920
Rock of Ages Co. 300 2,439
*#Rockford Corp. 3,600 17,820
Rock-Tenn Co. Class A 16,700 268,369
*Rocky Shoes & Boots, Inc. 300 6,138
*Rofin-Sinar Technologies, Inc. 800 20,937
Rohm & Haas Co. 1,000 38,540
*#Rowan Companies, Inc. 123,500 2,714,530
RPM, Inc. 92,000 1,353,320
*RSA Security, Inc. 24,400 447,496
*RTI International Metals, Inc. 20,900 303,259
*Rubio's Restaurants, Inc. 3,400 22,508
Ruddick Corp. 11,800 242,608
*Rush Enterprises, Inc. Class A 500 5,905
*Rush Enterprises, Inc. Class B 500 6,069
Russ Berrie & Co., Inc. 10,100 272,700
Russell Corp. 25,800 422,604
*Ryan's Family Steak Houses, Inc. 43,050 724,532
Ryder System, Inc. 83,000 3,083,450
Ryerson Tull, Inc. 7,100 95,211
Ryland Group, Inc. 11,000 875,600
Sabre Holdings Corp. 47,100 1,201,050
Safeco Corp. 107,900 4,526,405
*Safeguard Scientifics, Inc. 23,100 58,905
*SafeNet, Inc. 2,318 54,009
Saint Paul Companies, Inc. 125,700 4,987,776
Saks, Inc. 129,550 1,944,546
*San Filippo (John B.) & Son, Inc. 400 9,968
Sanders Morris Harris Group, Inc. 1,100 14,795
*Sandisk Corp. 47,000 1,158,550
*Sangamo BioSciences, Inc. 28,600 179,322
*Sanmina Corp. 169,700 1,795,426
Saucony, Inc. Class B 300 6,054
Sauer-Danfoss, Inc. 6,000 93,240
*Savient Pharmaceuticals, Inc. 11,289 27,319
SBC Communications, Inc. 1,182,100 28,015,770
*#Schein (Henry), Inc. 16,900 1,135,004
Schulman (A.), Inc. 26,300 525,211
Schweitzer-Maudoit International, Inc. 8,100 228,015
#Scientific-Atlanta, Inc. 46,700 1,607,414
*SCM Microsystems, Inc. 7,900 50,323
*SCS Transportation, Inc. 11,200 254,800
Seaboard Corp. 1,100 411,400
*Seabulk International, Inc. 7,641 67,776
*Seachange International, Inc. 7,500 111,975
Seacoast Financial Services Corp. 7,600 260,376
*#Seacor Smit, Inc. 12,550 502,502
Seagate Tax Refund Escrow Shares 2,700 0
*Sealed Air Corp. 39,700 1,995,719
#Sears, Roebuck & Co. 160,700 6,106,600
*Selectica, Inc. 29,900 130,992
Selective Insurance Group, Inc. 22,600 816,538
*Semitool, Inc. 26,400 302,280
*SEMX Corp. 100 15
#Sensient Technologies Corp. 13,100 264,620
*Sequa Corp. Class A 3,300 162,195
*Sequa Corp. Class B 900 45,630
*Serologicals Corp. 27,200 465,936
*Service Corp. International 178,300 1,283,760
*SFBC International, Inc. 1,500 36,495
*Sharper Image Corp. 2,300 $ 64,860
*Shaw Group, Inc. 4,000 47,200
Sherwin-Williams Co. 3,500 137,550
*Shiloh Industries, Inc. 4,000 43,520
*Shoe Carnival, Inc. 3,000 41,340
*Shopko Stores, Inc. 11,900 162,316
*Silicon Storage Technology, Inc. 32,300 418,285
*Silicon Valley Bancshares 13,700 511,969
Simmons First National Corp. Class A 3,411 82,171
*SimpleTech, Inc. 2,700 10,152
*Sinclair Broadcast Group, Inc. Class A 29,200 322,660
*Sipex Corp. 30,000 193,500
*Sitel Corp. 2,000 6,260
*Six Flags, Inc. 29,600 207,200
*Skechers U.S.A., Inc. Class A 5,300 60,950
Skyline Corp. 1,000 40,020
Skywest, Inc. 22,200 371,406
*#Skyworks Solutions, Inc. 55,980 500,461
*SL Industries, Inc. 400 4,320
*Smart & Final Food, Inc. 7,800 121,212
*Smith & Wollensky Restaurant Group, Inc. 3,700 23,828
Smith (A.O.) Corp. 13,400 394,630
Smith (A.O.) Corp. Convertible Class A 2,200 64,790
*Smithfield Foods, Inc. 60,100 1,742,299
*Smurfit-Stone Container Corp. 219,600 3,987,936
Snap-On, Inc. 23,600 793,668
*Sola International, Inc. 10,100 195,839
*Solectron Corp. 370,900 2,039,950
Sonic Automotive, Inc. 23,300 511,435
*SonicWALL, Inc. 41,100 327,156
Sound Federal Bancorp, Inc. 2,900 37,555
*Source Information Management, Inc. 11,400 119,700
*Sourcecorp, Inc. 6,000 154,080
South Financial Group, Inc. 27,500 757,900
South Jersey Industries, Inc. 3,300 138,567
*Southern Energy Homes, Inc. 3,200 13,168
*Southern Union Co. 23,483 472,478
Southwest Airlines Co. 214,500 3,326,895
*Southwestern Energy Co. 11,300 288,828
#Sovereign Bancorp, Inc. 203,300 4,421,775
*Spartan Stores, Inc. 6,700 29,085
Spartech Corp. 6,500 148,720
*Specialty Laboratories, Inc. 6,900 62,238
*Spectrum Control, Inc. 3,500 28,665
*Spherion Corp. 23,900 220,836
*Spiegel, Inc. Class A Non-Voting 200 12
*#Spinnaker Exploration Co. 10,600 353,298
*Sport Chalet, Inc. 500 6,250
#Sprint Corp. 536,188 9,522,699
SPX Corp. 36,800 1,608,896
SS&C Technologies, Inc. 1,650 37,934
St. Joe Corp. 1,900 74,195
*Staar Surgical Co. 8,200 61,992
*Stamps.com, Inc. 10,650 140,687
StanCorp Financial Group, Inc. 23,600 1,512,524
Standard Commercial Corp. 3,000 49,470
*Standard Management Corp. 700 2,415
</Table>
17
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*Standard Microsystems Corp. 7,300 $ 180,091
Standard Motor Products, Inc. Class A 4,300 60,200
Standard Pacific Corp. 19,700 1,003,715
Standard Register Co. 15,000 182,850
Starwood Hotels and Resorts Worldwide, Inc. 105,800 4,462,644
State Auto Financial Corp. 15,100 459,946
*#Steel Dynamics, Inc. 31,400 803,840
Steel Technologies, Inc. 4,100 87,535
Steelcase, Inc. Class A 42,100 496,780
*Stein Mart, Inc. 10,400 150,176
*Steinway Musical Instruments, Inc. 600 20,400
*Stellent, Inc. 8,200 65,354
Stepan Co. 1,100 26,675
*Sterling Financial Corp. 11,259 359,181
Stewart & Stevenson Services, Inc. 8,700 147,465
*Stewart Enterprises, Inc. 36,500 274,480
Stewart Information Services Corp. 12,000 409,800
*Stillwater Mining Co. 10,200 154,530
*Stone Energy Corp. 12,500 561,250
*Stoneridge, Inc. 16,300 255,258
*Storage Technology Corp. 50,100 1,415,325
*Stratasys, Inc. 600 15,582
Strategic Distribution, Inc. 200 2,598
*Stratus Properties, Inc. 500 6,250
Stride Rite Corp. 30,089 317,439
*Suburban Lodges of America, Inc. Escrow Shares 900 0
*Summa Industries, Inc. 2,200 21,032
*Sun Microsystems, Inc. 932,000 3,942,360
Sunoco, Inc. 29,300 1,802,829
*#Sunrise Senior Living, Inc. 10,100 364,004
Sunrise Telecom, Inc. 13,300 35,378
#Superior Industries International, Inc. 9,500 310,175
Supervalu, Inc. 66,000 2,047,320
Supreme Industries, Inc. 610 4,118
SureWest Communications 3,124 100,187
Susquehanna Bancshares, Inc. 10,700 260,331
*Swift Energy Corp. 25,900 523,180
*Swift Transportation, Inc. 6,120 109,915
*#Switchboard, Inc. 4,800 37,104
SWS Group, Inc. 10,800 174,096
*Sycamore Networks, Inc. 119,400 526,554
*Sykes Enterprises, Inc. 12,700 79,502
*Symmetricom, Inc. 17,642 139,372
*Syms Corp. 5,500 44,770
Sypris Solutions, Inc. 825 15,675
Tasty Baking Co. 3,800 35,834
TB Woods Corp. 5,400 41,310
*TBC Corp. 9,400 238,666
*Tech Data Corp. 26,200 1,051,668
*TechTeam Global, Inc. 5,000 38,405
Tecumseh Products Co. Class A 3,500 129,920
Teleflex, Inc. 18,800 873,636
Telephone & Data Systems, Inc. 40,300 2,887,495
*Teletech Holdings, Inc. 25,200 189,504
*Tellabs, Inc. 197,000 1,564,180
*Telular Corp. 3,400 37,771
Temple-Inland, Inc. 26,900 1,757,108
*Tenet Healthcare Corp. 79,450 947,044
*Teradyne, Inc. 74,300 1,656,147
*Terex Corp. 42,500 $ 1,253,325
*Terra Industries, Inc. 34,300 158,809
*Tesoro Petroleum Corp. 16,700 397,794
*Tetra Tech, Inc. 18,600 315,456
*Tetra Technologies, Inc. 8,400 200,004
Texas Genco Holdings, Inc. 39,100 1,564,000
Texas Industries, Inc. 23,600 869,660
Textron, Inc. 67,600 3,694,340
*The Banc Corp. 4,200 28,728
The Brink's Co. 20,300 627,879
*The DIRECTV Group, Inc. 26,179 461,012
*The Dress Barn, Inc. 14,800 259,148
*The Geo Group, Inc. 2,000 38,700
The Marcus Corp. 8,000 129,600
#The Phoenix Companies, Inc. 36,900 432,099
*The Sports Authority, Inc. 8,103 276,312
*The Washtenaw Group, Inc. 300 1,071
*Theragenics Corp. 3,100 13,237
*Thermo-Electron Corp. 48,545 1,494,215
*TheStreet.com, Inc. 6,700 25,192
*Third Wave Technologies 16,800 81,480
#Thomas & Betts Corp. 73,600 1,800,256
Thomas Industries, Inc. 5,100 173,502
*#Thoratec Corp. 49,800 726,582
*THQ, Inc. 12,838 270,753
*Three-Five Systems, Inc. 5,900 31,624
*TIBCO Software, Inc. 72,900 605,070
Tidewater, Inc. 27,800 768,392
TierOne Corp. 4,400 91,784
*Time Warner Telecom, Inc. 11,400 48,564
*Time Warner, Inc. 702,600 11,972,304
#Timken Co. 43,600 993,644
*Titan Corp. 12,100 228,569
Todd Shipyards Corp. 1,100 19,360
*#Toll Brothers, Inc. 34,400 1,407,304
*Tollgrade Communications, Inc. 4,400 48,620
Topps, Inc. 8,700 75,429
Torchmark Corp. 79,000 4,281,010
*Toreador Resources Corp. 500 2,630
*Toys R Us, Inc. 147,400 2,317,128
#Traffix, Inc. 18,100 125,614
*Trammell Crow Co. 32,400 411,804
*Trans World Entertainment Corp. 40,100 400,198
*Transkaryotic Therapies, Inc. 9,400 135,548
*Transmontaigne Oil Co. 11,700 68,094
*Transport Corp. of America 500 3,600
*Transpro, Inc. 8,100 47,993
*TRC Companies, Inc. 2,000 33,020
Tredegar Industries, Inc. 16,900 244,205
*Triad Guaranty, Inc. 5,600 321,776
*Triad Hospitals, Inc. 30,562 1,080,672
Triarc Companies, Inc. Class A 6,300 68,355
Tribune Co. 191,700 9,257,193
*Trident Microsystems, Inc. 4,800 73,440
Trinity Industries, Inc. 25,800 738,138
*TriPath Imaging, Inc. 19,800 181,764
*#Triquint Semiconductor, Inc. 31,700 176,886
*Triumph Group 5,600 178,136
*TriZetto Group, Inc. 29,900 195,247
*Trover Solutions, Inc. 2,800 19,040
*TTM Technologies, Inc. 12,400 141,360
</Table>
18
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*Tufco Technologies, Inc. 300 $ 2,547
*Tyler Technologies, Inc. 25,700 228,730
Tyson Foods, Inc. Class A 188,330 3,864,532
*U.S. Concrete, Inc. 11,700 81,666
*U.S. Xpress Enterprises, Inc. Class A 800 10,360
*UICI 45,600 906,528
*Ulticom, Inc. 21,900 205,860
*Ultratech Stepper, Inc. 5,500 83,820
UMB Financial Corp. 9,870 501,890
Umpqua Holdings Corp. 8,200 155,964
Unifirst Corp. 4,600 119,600
*Uni-Marts, Inc. 500 1,095
Union Pacific Corp. 211,600 12,340,512
Union Planters Corp. 3,000 90,330
Unionbancal Corp. 1,000 57,590
*Uniroyal Technology Corp. 1,600 2
*Unisys Corp. 68,700 931,572
*Unit Corp. 15,400 438,746
United Auto Group, Inc. 18,100 523,633
United Community Financial Corp. 34,000 411,740
*United Online, Inc. 23,700 445,323
*United Rentals, Inc. 60,100 1,027,710
*United States Cellular Corp. 32,800 1,168,008
United States Steel Corp. 63,300 1,921,788
*#United Stationers, Inc. 10,400 392,184
*United Therapeutics Corp. 7,700 182,182
Unitrin, Inc. 27,500 1,102,750
Unity Bancorp, Inc. 1,470 19,110
*Universal American Financial Corp. 52,900 579,255
*Universal Compression Holdings, Inc. 10,800 319,572
Universal Corp. 8,000 376,480
Universal Forest Products, Inc. 16,700 483,632
*Universal Stainless & Alloy Products, Inc. 500 5,416
*Univision Communications, Inc. Class A 41,230 1,342,037
*Unova, Inc. 29,400 510,090
#UnumProvident Corp. 152,500 2,220,400
*Urologix, Inc. 12,600 177,030
*URS Corp. 12,600 317,268
*US Oncology, Inc. 82,300 1,206,518
*USA Truck, Inc. 2,100 24,381
Usec, Inc. 56,800 444,744
USF Corp. 10,600 304,750
*Vail Resorts, Inc. 10,900 162,955
#Valero Energy Corp. 85,400 5,645,794
Valhi, Inc. 32,600 361,860
Valmont Industries, Inc. 2,900 60,320
*Valpey Fisher Corp. 100 334
*ValueClick, Inc. 26,600 291,004
*Valuevision Media, Inc. Class A 9,800 117,600
*Vans, Inc. 5,200 106,132
*#Varco International, Inc. 4,500 90,900
*Variflex, Inc. 300 2,010
*Vastera, Inc. 11,800 40,710
*Veeco Instruments, Inc. 16,900 436,358
*VeriSign, Inc. 96,300 1,746,882
*Veritas Software Co. 1 27
*Verity, Inc. 7,000 97,300
Verizon Communications, Inc. 235,900 8,157,422
Vesta Insurance Group, Inc. 5,400 $ 32,130
Viacom, Inc. Class A 85,800 3,197,766
Viacom, Inc. Class B 1,058,300 39,040,687
*Viasat, Inc. 11,300 260,352
*Viasys Healthcare, Inc. 3,717 77,983
*Vicon Industries, Inc. 300 1,581
*Vicor Corp. 16,500 229,350
#Video Display Corp. 300 5,550
Vintage Petroleum, Inc. 70,000 1,091,300
*Vishay Intertechnology, Inc. 78,711 1,485,277
Visteon Corp. 45,900 503,064
*Vitesse Semiconductor, Inc. 49,700 271,362
*Volt Information Sciences, Inc. 15,600 400,920
*Vyyo, Inc. 1,400 10,276
Wachovia Corp. 6,232 294,213
Walter Industries, Inc. 30,140 383,682
Washington Federal, Inc. 29,800 712,518
Washington Mutual, Inc. 253,700 11,081,616
*#Waste Connections, Inc. 9,700 412,250
Waste Industries USA, Inc. 16,100 181,930
*WatchGuard Technologoes, Inc. 15,700 102,207
*Water Pik Technologies, Inc. 6,100 101,809
Watsco, Inc. Class A 23,900 625,463
*Watson Pharmaceuticals, Inc. 58,200 2,173,770
Watts Water Technologies, Inc. 9,300 225,711
Wausau-Mosinee Paper Corp. 29,200 444,132
Waypoint Financial Corp. 3,045 83,433
*WCI Communities, Inc. 500 11,125
*WebMD Corp. 169,600 1,502,656
Webster Financial Corp. 20,100 941,484
Weis Markets, Inc. 1,600 54,640
Wellman, Inc. 8,400 66,780
Werner Enterprises, Inc. 43,332 827,208
Wesbanco, Inc. 3,900 107,406
Wesco Financial Corp. 1,110 418,415
*WESCO International, Inc. 900 14,922
*West Marine, Inc. 8,100 212,706
*Westaff, Inc. 3,700 9,620
*Westcoast Hospitality Corp. 900 5,193
Westcorp, Inc. 13,320 572,094
*Westport Resources Corp. 18,231 630,793
*#Wet Seal, Inc. Class A 1,700 9,911
Weyerhaeuser Co. 135,800 8,213,184
*WFS Financial, Inc. 9,100 426,881
*Whitehall Jewelers, Inc. 5,842 46,794
Whitney Holdings Corp. 5,850 254,300
*Wickes, Inc. 400 50
*William Lyon Homes, Inc. 11,500 1,031,550
*Willis Lease Finance Corp. 1,200 9,900
Willow Grove Bancorp, Inc. 1,600 24,336
*Wilshire Oil Co. of Texas 600 3,006
*Wind River Systems, Inc. 8,200 84,378
#Winn-Dixie Stores, Inc. 33,700 213,321
Wintrust Financial Corp. 800 38,016
*Wireless Facilities, Inc. 17,600 166,848
*Wiser Oil Co. 2,700 28,539
*Witness Systems, Inc. 4,100 59,081
*WMS Industries, Inc. 9,100 279,370
*Wolverine Tube, Inc. 1,200 13,656
Woodhead Industries, Inc. 800 12,048
Woodward Governor Co. 4,800 318,960
</Table>
19
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*World Acceptance Corp. 3,200 $ 57,248
*WorldQuest Networks, Inc. 1,700 5,408
*Worldwide Restaurant Concepts, Inc. 12,900 43,086
Worthington Industries, Inc. 69,000 1,320,660
*Xanser Corp. 10,600 26,818
*#Xerox Corp. 158,800 2,150,152
*Xeta Corp. 1,200 6,119
*XM Satellite Radio Holdings, Inc. 32,200 810,796
*#Yahoo!, Inc. 4,152 127,300
Yardville National Bancorp 3,100 77,965
*Yellow Roadway Corp. 24,791 885,287
York International Corp. 3,600 133,128
*Zapata Corp. 200 13,600
*#Zoltek Companies, Inc. 16,800 122,304
*Zoran Corp. 12,542 220,363
*Zygo Corp. 15,000 159,000
-----------------
TOTAL COMMON STOCKS
(Cost $1,017,872,168) 1,354,818,088
-----------------
RIGHTS/WARRANTS -- (0.0%)
*Chart Industries, Inc. Warrants 09/15/10 3 23
*Chiquita Brands International, Inc. Warrants 03/19/09 1,687 7,963
*Orbital Science Corp. Warrants 08/31/04 213 1,672
*Timco Aviation Services Warrants 02/27/07 229 0
-----------------
TOTAL RIGHTS/WARRANTS
(Cost $43,938) 9,658
-----------------
</Table>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
BONDS -- (0.0%)
*Timco Aviation Services, Inc. Jr
Subordinated Note 8.00%, 01/02/07
(Cost $0) $ 0 $ 0
-----------------
TEMPORARY CASH INVESTMENTS -- (9.7%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.89%,
06/01/04 (Collateralized by $26,750,000 FHLB Notes
1.625%, 06/15/05, valued at $26,851,650) to be
repurchased at $26,456,616 (Cost $26,454,000) 26,454 26,454,000
Repurchase Agreement, Merrill Lynch Triparty
Repo 0.96%, 06/01/04 (Collateralized by $121,397,000
U.S. Treasury Obligations rates ranging from 3.375%
to 6.75%, maturities ranging from 05/15/05 to
11/15/08, valued at $120,820,567) to be repurchased at
$118,463,063 (Cost $118,450,428)^ 118,450 118,450,428
-----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $144,904,428) 144,904,428
-----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,162,820,534)++ $ 1,499,732,174
=================
</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 $1,163,596,003.
See accompanying Notes to Financial Statements.
20
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $113,747 of securities on loan) $ 1,499,732
Cash 1
Receivables:
Dividends and Interest 1,708
Fund Shares Sold 1,772
Securities Lending Income 12
Prepaid Expenses and Other Assets 14
--------------
Total Assets 1,503,239
--------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 118,450
Investment Securities Purchased 14,067
Due To Advisor 221
Accrued Expenses and Other Liabilities 91
--------------
Total Liabilities 132,829
--------------
NET ASSETS $ 1,370,410
==============
Investments at Cost $ 1,162,821
==============
</Table>
See accompanying Notes to Financial Statements.
21
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends $ 7,176
Interest 95
Income from Securities Lending 38
--------------
Total Investment Income 7,309
--------------
EXPENSES
Investment Advisory Services 1,257
Accounting & Transfer Agent Fees 190
Custodian Fees 58
Legal Fees 4
Audit Fees 8
Shareholders' Reports 13
Trustees' Fees and Expenses 7
Other 14
--------------
Total Expenses 1,551
--------------
NET INVESTMENT INCOME (LOSS) 5,758
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold (8,021)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 96,169
--------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 88,148
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 93,906
==============
</Table>
See accompanying Notes to Financial Statements.
22
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
-------------- --------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 5,758 $ 4,897
Net Realized Gain (Loss) on Investment Securities Sold (8,021) (22,174)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 96,169 204,201
-------------- --------------
Net Increase (Decrease) in Net Assets Resulting from Operations 93,906 186,924
-------------- --------------
Transactions in Interest:
Contributions 203,690 290,723
Withdrawals (12,419) (66,772)
-------------- --------------
Net Increase (Decrease) from Transactions in Interest 191,271 223,951
-------------- --------------
Total Increase (Decrease) 285,177 410,875
NET ASSETS
Beginning of Period 1,085,233 674,358
-------------- --------------
End of Period $ 1,370,410 $ 1,085,233
============== ==============
</Table>
See accompanying Notes to Financial Statements.
23
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR DEC. 14,
ENDED ENDED ENDED ENDED ENDED 1998 TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ----------- --------- --------- --------- ---------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A N/A N/A N/A N/A N/A
----------- ----------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on
Securities (Realized and Unrealized) -- -- -- -- -- --
----------- ----------- --------- --------- --------- ---------
Total from Investment Operations -- -- -- -- -- --
----------- ----------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- --------- --------- --------- ---------
Total Distributions N/A N/A N/A N/A N/A N/A
----------- ----------- --------- --------- --------- ---------
Net Asset Value, End of Period N/A N/A N/A N/A N/A N/A
=========== =========== ========= ========= ========= =========
Total Return 8.59%# 22.88% (20.25)% 8.30% 3.07% 4.27%#
Net Assets, End of Period (thousands) $ 1,370,410 $ 1,085,233 $ 674,358 $ 690,795 $ 314,021 $ 126,004
Ratio of Expenses to Average Net Assets 0.25%* 0.25% 0.25% 0.25% 0.26% 0.29%*
Ratio of Net Investment Income to Average
Net Assets 0.92%* 0.61% 0.61% 1.17% 1.98% 1.66%*
Portfolio Turnover Rate 3%# 6% 15% 11% 39% 10%
</Table>
- ----------
* Annualized
# Non-annualized
N/A Not applicable as The Tax-Managed U.S. Marketwide Value Series is organized
as a partnership.
See accompanying Notes to Financial Statements.
24
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The Tax-Managed U.S. Marketwide
Value Series (the "Series") is 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. 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. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no such reported sale price or NOCP for the day, the
Series values securities at the mean between the quoted bid and asked prices.
Price information on listed securities is taken from the exchange where the
security is primarily traded. Unlisted securities for which market quotations
are readily available are valued at the mean between the most recent bid and
asked prices. Securities for which quotations are not readily available, or for
which market quotations have become unreliable, are valued in good faith at fair
value using methods approved by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At May 31, 2004, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities in the amount of
$17,477.
3. REPURCHASE AGREEMENTS: The Series may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system or with the Trust's custodian or a third party sub-custodian.
In the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on May 28, 2004.
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 sold. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
25
<Page>
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Trustees, generally based on average net
assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2004, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of average daily net
assets.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 235,629
Sales 32,946
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2004.
E. FEDERAL INCOME TAX:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any interest,
dividends and gains or losses have been deemed to have been "passed through" to
its Feeder Fund.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
Gross Unrealized Appreciation $ 371,834
Gross Unrealized Depreciation (35,698)
-----------
Net $ 336,136
===========
</Table>
F. LINE OF CREDIT:
The Trust, together with other DFA-advised portfolios, has entered into a
$50 million unsecured discretionary line of credit effective June 2003 with its
domestic custodian bank. Each Series is permitted to borrow, subject to its
investment limitations, up to a maximum of $50 million. Borrowings under the
line of credit are charged interest at the then current federal funds rate plus
1%. Each Series is individually, and not jointly liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit, since this is not a committed facility. The
agreement for the line of credit may be terminated at any time. There were no
borrowings under the line of credit by the series during the six months ended
May 31, 2004.
The Trust, together with other DFA-advised portfolios, has also entered
into an additional $150 million unsecured line of credit effective April 2004
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
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings by the Series under the line of credit during the
six months ended May 31, 2004.
26
<Page>
G. SECURITIES LENDING:
As of May 31, 2004, 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 portfolio or, at the option of the
lending agent, to replace the securities.
Cash collateral of each Series received from securities on loan is invested
along with cash collateral from the other Portfolios of the Series in repurchase
agreements collateralized by U.S. government securities. These investments are
accounted for separately for each Portfolio. Securities pledged as collateral
for the repurchase agreements are held by a custodian bank until the agreements
mature.
27
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the non-Feeder Portfolios
and Master Funds use in voting proxies relating to securities held in their
portfolio's is available without charge, upon request, by calling collect: (310)
395-8005. Information regarding how the Advisor votes these proxies will become
available from the EDGAR database on the SEC's website at http://www.sec.gov no
later than August 31, 2004 when the Funds file their first report on Form N-PX
and will reflect the twelve-month period beginning July 1, 2003 and ending June
30, 2004.
28
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2004
(UNAUDITED)
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
-------
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities 1
Statement of Operations 2
Statements of Changes in Net Assets 3
Financial Highlights 4
Notes to Financial Statements 5
THE DFA INVESTMENT TRUST COMPANY -- THE DFA INTERNATIONAL VALUE SERIES
Schedule of Investments 8
Statement of Assets and Liabilities 16
Statement of Operations 17
Statements of Changes in Net Assets 18
Financial Highlights 19
Notes to Financial Statements 20
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 24
</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>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company
(8,510,351 Shares, Cost $92,880++) at Value+ $ 118,719
Receivables for Investment Securities Sold 231
Prepaid Expenses and Other Assets 34
------------
Total Assets 118,984
------------
LIABILITIES:
Payables:
Fund Shares Redeemed 231
Due to Advisor 1
Accrued Expenses and Other Liabilities 7
------------
Total Liabilities 239
------------
NET ASSETS $ 118,745
============
SHARES OUTSTANDING, $.01 PAR VALUE
(AUTHORIZED 200,000,000) 9,290,568
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 12.78
============
NET ASSETS CONSIST OF:
Paid-in Capital $ 104,160
Accumulated Net Investment Income (Loss) 40
Accumulated Net Realized Gain (Loss) (11,294)
Unrealized Appreciation (Depreciation) from Investment Securities 25,839
------------
Total Net Assets $ 118,745
============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $104,193.
See accompanying Notes to Financial Statements.
1
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 366
------------
EXPENSES
Administrative Services 6
Accounting & Transfer Agent Fees 2
Legal Fees 1
Audit Fees 1
Filing Fees 9
Shareholders' Reports 8
Directors' Fees and Expenses 1
Other 1
------------
Total Expenses 29
------------
NET INVESTMENT INCOME (LOSS) 337
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold (541)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 9,651
------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 9,110
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 9,447
============
</Table>
See accompanying Notes to Financial Statements.
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 337 $ 1,088
Capital Gain Distributions Received from The DFA Investment Trust Company -- 40
Net Realized Gain (Loss) on Investment Securities Sold (541) (2,451)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 9,651 16,755
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations 9,447 15,432
----------- -----------
Distributions From:
Net Investment Income (1,371) (856)
Net Short-Term Gains (129) --
Net Long-Term Gains (41) --
----------- -----------
Total Distributions (1,541) (856)
----------- -----------
Capital Share Transactions (1):
Shares Issued 60,998 75,088
Shares Issued in Lieu of Cash Distributions 1,541 856
Shares Redeemed (20,920) (58,876)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions 41,619 17,068
----------- -----------
Total Increase (Decrease) 49,525 31,644
NET ASSETS
Beginning of Period 69,220 37,576
----------- -----------
End of Period $ 118,745 $ 69,220
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 4,856 7,899
Shares Issued in Lieu of Cash Distributions 131 104
Shares Redeemed (1,692) (6,333)
----------- -----------
3,295 1,670
=========== ===========
</Table>
See accompanying Notes to Financial Statements.
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 11.54 $ 8.69 $ 9.88 $ 12.10 $ 12.65 $ 11.55
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.04 0.18 0.22 0.24 0.23 0.28
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.44 2.87 (0.74) (1.43) (0.32) 1.17
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 1.48 3.05 (0.52) (1.19) (0.09) 1.45
----------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income (0.21) (0.20) (0.24) (0.24) (0.25) (0.24)
Net Realized Gains (0.03) -- (0.43) (0.79) (0.21) (0.11)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.24) (0.20) (0.67) (1.03) (0.46) (0.35)
----------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period $ 12.78 $ 11.54 $ 8.69 $ 9.88 $ 12.10 $ 12.65
=========== ========== ========== ========== ========== ==========
Total Return 12.99%# 35.98% (5.62)% (10.94)% (0.80)% 13.03%
Net Assets, End of Period (thousands) $ 118,745 $ 69,220 $ 37,576 $ 36,107 $ 42,435 $ 43,213
Ratio of Expenses to Average Net Assets (1) 0.35%* 0.40% 0.45% 0.51% 0.53% 0.50%
Ratio of Net Investment Income to Average
Net Assets 0.65%* 2.41% 2.45% 2.17% 1.87% 2.31%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 5%# 14% 18% 6% 9% 6%
</Table>
- ----------
* Annualized
# Non-annualized
(1) 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.
4
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twenty-five portfolios, of
which the DFA International Value Portfolio II (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series" or the "Master Fund"), a corresponding series of The DFA
Investment Trust Company. At May 31, 2004, the Portfolio owned 6% of the
outstanding shares of the Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Portfolio.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in the preparation of its
financial statements. The preparation of financial statements in accordance
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 May 31, 2004, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities in the amount of
$1,427.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio or to the Series are directly charged.
Common expenses of the Fund or Portfolios are allocated using methods approved
by the Board of Directors, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2004, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.01 of 1%.
5
<Page>
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
The Advisor has agreed to waive its administration fee and to assume the
Portfolio's direct and indirect expenses (including the expenses the Portfolio
bears as a shareholder of the Master Fund) to the extent necessary to limit the
expenses of the Portfolio to 0.75% of its average net assets on an annualized
basis. At any time that the annualized expenses of the Portfolio are less that
0.75% of the Portfolio's average net assets on an annualized basis, the Advisor
retains the right to seek reimbursement for any fees previously waived and/or
expenses previously assumed to the extent that such reimbursement will not cause
the Portfolio's annualized expenses to exceed 0.75% of its average net assets.
The Portfolio is not obligated to reimburse the Advisor for fees waived or
expenses assumed by the Advisor more than thirty-six months prior to the date of
such reimbursement. The expense waiver will remain in effect for a period of one
year from April 1, 2004 to April 1, 2005, and shall continue to remain in effect
from year to year thereafter unless terminated by the Fund or the Advisor. At
May 31, 2004, there were no fees subject to future reimbursement to the Advisor.
In addition, until May 1, 2002, pursuant to an agreement with a certain
Shareholder Service Agent, the Portfolio paid to such agent a fee at the
effective annual rate of 0.10 of 1% of its average daily net assets for services
provided to shareholders. Effective May 1, 2002, this fee is no longer charged
to the Portfolio.
D. 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
Statement of Assets and Liabilities.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
Gross Unrealized Appreciation $ 25,842
Gross Unrealized Depreciation (11,316)
---------
Net $ 14,526
=========
</Table>
E. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated at any time. There were no borrowings under the discretionary line of
credit by the Portfolio during the six months ended May 31, 2004.
6
<Page>
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings by the Portfolio under the line of credit with
the international custodian bank for the six months ended May 31, 2004.
7
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
----------------- -----------------
UNITED KINGDOM -- (19.4%)
COMMON STOCKS -- (19.4%)
Abbey National P.L.C. 841,876 $ 6,930,244
Aggregate Industries P.L.C. 1,926,365 2,976,832
Alliance & Leicester P.L.C. 348,000 5,264,654
Allied Domecq P.L.C. 621,994 5,172,552
Amvescap P.L.C. 225,900 1,515,531
Arriva P.L.C. 231,050 1,651,789
Associated British Foods P.L.C. 990,462 11,631,581
Associated British Ports Holdings
P.L.C. 378,800 3,037,599
Aviva P.L.C. 2,582,930 25,216,998
*AWG P.L.C. 76,018 855,780
BAA P.L.C. 1,576,251 15,724,547
BAE Systems P.L.C. 2,599,132 9,806,062
Barratt Developments P.L.C. 338,959 3,566,453
BBA Group P.L.C. 679,855 3,165,960
Bellway P.L.C. 38,000 526,004
Berkeley Group P.L.C. 228,802 3,866,438
BG Group P.L.C. 1,408,548 8,581,102
BOC Group P.L.C. 82,135 1,341,431
Bovis Homes Group P.L.C. 132,000 1,237,365
BPB P.L.C. 458,500 3,269,374
Bradford & Bingley P.L.C. 80,259 408,850
Brambles Industries P.L.C. 272,000 1,056,902
Britannic P.L.C. 278,864 1,761,482
*British Airways P.L.C. 1,839,331 8,547,965
British Land Co. P.L.C. 857,882 10,539,837
British Vita P.L.C. 286,388 1,352,407
Brixton P.L.C. 359,333 1,911,806
*Cable and Wireless P.L.C. 3,512,914 7,943,057
*Canary Wharf Group P.L.C. 847,200 4,598,296
Carnival P.L.C. 156,448 7,021,173
*Colt Telecom Group P.L.C. 2,561,000 3,945,288
*Corus Group P.L.C. 6,312,988 3,913,405
Derwent Valley Holdings P.L.C. 49,351 756,218
DeVere Group P.L.C. 85,228 688,195
*Dimension Data Holdings P.L.C. 1,006,000 564,232
Dixons Group P.L.C. 333,402 931,182
*Duelguide Units P.L.C. 36,010 355,069
*Easyjet P.L.C. 294,025 1,073,156
FKI P.L.C. 856,795 1,741,838
Friends Provident P.L.C. 2,272,618 5,760,483
Galen Holdings P.L.C. 319,000 4,237,385
Great Portland Estates P.L.C. 299,155 1,440,093
Great Universal Stores P.L.C. 258,182 3,843,651
Greene King P.L.C. 105,263 1,757,735
Hammerson P.L.C. 468,800 5,815,111
Hanson P.L.C. 963,671 7,358,895
HBOS P.L.C. 14,538 190,478
*HHG P.L.C. 842,619 664,307
Hilton Group P.L.C. 2,619,960 12,744,959
IMI P.L.C. 24,000 161,845
Intercontinental Hotels Group P.L.C. 968,773 9,286,691
*International Power P.L.C. 1,898,700 5,056,603
ITV P.L.C. 1,551,881 3,378,787
Johnson Matthey P.L.C. 43,250 $ 702,953
Kelda Group P.L.C. 161,510 1,456,483
Kesa Electricals P.L.C. 9,781 50,996
#Kingfisher P.L.C. 651,215 3,413,664
Land Securities Group P.L.C. 78,654 1,686,004
Liberty International P.L.C. 469,345 6,367,535
Logicacmg P.L.C. 586,400 2,012,631
London Merchant Securities P.L.C. 358,862 1,139,502
Marks & Spencer Group P.L.C. 1,197,239 7,890,393
Mersey Docks & Harbour Co. P.L.C. 115,042 1,455,763
MFI Furniture Group P.L.C. 66,600 182,435
Millennium and Copthorne Hotels
P.L.C. 489,930 2,843,510
Mitchells & Butlers P.L.C. 630,549 2,997,502
*MM02 P.L.C. 8,760,348 15,678,806
Morrison (Wm.) Supermarkets P.L.C. 1,582,672 6,627,064
Novar P.L.C. 571,338 1,309,149
Pearson P.L.C. 246,039 2,994,860
Peninsular & Oriental Steam
Navigation P.L.C. 1,086,433 4,270,957
Pennon Group P.L.C. 56,524 763,276
Persimmon P.L.C. 271,811 2,994,022
Pilkington P.L.C. 2,184,617 3,621,628
Pillar Property P.L.C. 159,913 1,641,266
*Premier Oil P.L.C. 119,812 1,165,426
Quintain Estates & Development
P.L.C. 100,000 729,199
Rio Tinto P.L.C. 83,136 2,000,590
RMC Group P.L.C. 401,000 4,035,580
Rolls Royce Group P.L.C. 2,686,097 11,122,171
*Rolls Royce Group P.L.C. 134,304,850 246,241
Royal & Sun Alliance Insurance
Group P.L.C. 5,018,810 7,450,701
Royal Bank of Scotland Group P.L.C. 212,693 6,428,725
Sabmiller P.L.C. 192,609 2,327,665
#Sainsbury (J.) P.L.C. 2,864,609 14,300,152
Scottish & Newcastle P.L.C. 959,905 7,508,053
Scottish Power P.L.C. 915,215 6,635,236
Severn Trent P.L.C. 210,597 3,118,962
*Shire Pharmaceuticals Group P.L.C. 683,427 6,208,647
Singer & Friedlander Group P.L.C. 253,818 1,093,881
Slough Estates P.L.C. 706,900 5,564,664
Smith (David S.) Holdings P.L.C. 547,941 1,567,369
Smith (W.H.) P.L.C. 299,537 1,965,244
Somerfield P.L.C. 738,068 1,939,982
Stagecoach Holdings P.L.C. 1,557,000 2,341,002
Stanley Leisure Organisation P.L.C. 186,760 1,606,028
Tate & Lyle P.L.C. 660,070 3,655,181
Taylor Woodrow P.L.C. 973,675 4,528,444
Tesco P.L.C. 1,560,816 7,123,961
The Big Food Group P.L.C. 505,408 928,373
*Thus Group P.L.C. 1,956,555 933,783
Trinity Mirror P.L.C. 495,640 5,638,934
United Business Media P.L.C. 237,262 1,923,758
United Utilities P.L.C. 265,595 2,642,143
Vodafone Group P.L.C. 13,873,752 32,699,074
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<Caption>
SHARES VALUE+
----------------- -----------------
Westbury P.L.C. 162,025 $ 1,272,549
Whitbread P.L.C. 511,290 7,496,474
Wilson Bowden P.L.C. 105,900 2,010,789
Wimpey (George) P.L.C. 446,968 3,018,363
Wolverhampton & Dudley Breweries
P.L.C. 107,366 1,616,965
Woolworths Group P.L.C. 2,074,511 1,684,586
-----------------
TOTAL COMMON STOCKS
(Cost $377,656,054) 474,774,971
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $35,295) 36,615
-----------------
TOTAL -- UNITED KINGDOM
(Cost $377,691,349) 474,811,586
-----------------
JAPAN -- (17.4%)
COMMON STOCKS -- (17.4%)
Acom Co., Ltd. 14,600 979,025
#Aichi Steel Corp. 120,000 493,526
AIOI Insurance Co., Ltd. 928,735 4,040,680
Aisin Seiki Co., Ltd. 182,500 3,383,738
Akita Bank, Ltd. 115,000 452,538
#Alpine Electronics, Inc. 36,800 471,467
Amada Co., Ltd. 376,000 2,138,762
#Anritsu Corp. 67,000 419,610
Aoyama Trading Co., Ltd. 47,700 1,108,318
Asahi Breweries, Ltd. 173,000 1,823,313
Asahi Kasei Corp. 289,000 1,422,289
Asatsu-Dk, Inc. 32,500 840,095
Autobacs Seven Co., Ltd. 23,700 669,145
Awa Bank, Ltd. 196,600 1,129,190
Bank of Iwate, Ltd. 15,300 677,599
#Bank of Kyoto, Ltd. 347,400 2,290,876
Bank of Nagoya, Ltd. 185,000 933,192
Benesse Corp. 6,500 197,550
Canon Sales Co., Inc. 124,900 1,586,967
Chiba Bank, Ltd. 941,000 5,415,152
Chudenko Corp. 41,100 707,233
Chugoku Bank, Ltd. 238,800 2,413,869
Citizen Watch Co., Ltd. 318,000 3,323,532
Coca-Cola West Japan Co., Ltd. 58,400 1,409,917
Comsys Holdings Corp. 92,000 682,561
#Cosmo Oil Co., Ltd. 764,000 1,867,757
Dai Nippon Ink & Chemicals, Inc. 459,000 1,042,492
Dai Nippon Pharmaceutical Co., Ltd. 106,000 803,341
Dai Nippon Printing Co., Ltd. 144,000 2,202,431
#Daicel Chemical Industries, Ltd. 485,000 2,108,669
Daido Steel Co., Ltd. 274,000 657,436
Daihatsu Motor Co., Ltd. 258,000 1,517,061
Daishi Bank, Ltd. 355,000 1,219,314
Daiwa House Industry Co., Ltd. 663,000 7,484,763
Denso Corp. 22,500 482,857
#Ebara Corp. 173,000 778,135
#Ezaki Glico Co., Ltd. 174,600 1,241,437
Fuji Electric Co., Ltd. 525,780 1,293,228
Fuji Fire & Marine Insurance Co.,
Ltd. 297,000 692,913
Fuji Heavy Industries 493,000 2,430,726
Fuji Oil Co., Ltd. 55,200 643,650
Fuji Photo Film Co., Ltd. 355,000 $ 10,551,760
Fujikura, Ltd. 241,000 1,153,558
Fujitsu, Ltd. 286,000 1,931,493
Fukui Bank, Ltd. 343,000 1,359,737
#Fukuoka Bank, Ltd. 400,000 2,071,477
#Fukuyama Transporting Co., Ltd. 266,000 1,211,601
*Furukawa Electric Co., Ltd. 380,000 1,411,648
Futaba Corp. 16,000 419,581
Futaba Industrial Co., Ltd. 44,100 682,343
#Glory, Ltd. 46,800 662,790
Gunma Bank, Ltd. 323,000 1,486,093
Gunze, Ltd. 148,000 706,135
Hachijuni Bank, Ltd. 344,000 2,056,852
#*Hankyu Corp. 174,000 670,625
#Hanshin Electric Railway Co., Ltd. 216,000 701,147
Heiwa Corp 81,500 1,221,706
Higo Bank, Ltd. 308,000 1,769,064
Hitachi Cable, Ltd. 236,000 1,060,267
Hitachi Maxell, Ltd. 96,000 1,407,726
Hitachi Metals, Ltd. 360,000 1,719,080
Hitachi, Ltd. 3,734,000 25,589,059
Hokkoku Bank, Ltd. 223,000 1,067,827
Hokuetsu Paper Mills, Ltd. 162,000 869,334
Hokugin Financial Group, Inc. 414,000 839,050
House Foods Corp. 117,000 1,505,125
#Hyakugo Bank, Ltd. 258,000 1,534,783
#Hyakujishi Bank, Ltd. 314,000 1,942,853
*Ishikawajima-Harima Heavy
Industries Co., Ltd. 819,000 1,167,661
*Itochu Corp. 120,000 492,009
Itoham Foods, Inc. 132,000 591,829
Iyo Bank, Ltd. 204,000 1,369,997
Japan Airport Terminal Co., Ltd. 33,000 296,226
JFE Holdings, Inc. 56,300 1,218,243
Joyo Bank, Ltd. 545,000 2,147,260
#Juroku Bank, Ltd. 349,000 1,475,036
#Kagoshima Bank, Ltd. 132,000 739,936
Kamigumi Co., Ltd. 357,000 2,346,542
Kandenko Co., Ltd. 129,000 683,340
Kansai Paint Co., Ltd., Osaka 131,000 770,757
Katokichi Co., Ltd. 34,500 608,482
#Kawasaki Heavy Industries, Ltd. 910,000 1,359,185
Kikkoman Corp. 259,000 2,087,353
Kinden Corp. 167,000 929,655
Kirin Brewery Co., Ltd. 437,000 4,152,801
#Kissei Pharmaceutical Co., Ltd. 41,000 875,872
Kobe Steel, Ltd. 2,632,000 3,842,186
Koito Manufacturing Co., Ltd. 101,000 701,488
Kokuyo Co., Ltd. 81,200 989,157
Komatsu, Ltd. 1,279,000 7,702,264
Komori Corp. 47,000 692,540
#Koyo Seiko Co. 198,000 2,006,219
Kubota Corp. 140,000 647,773
Kuraray Co., Ltd. 241,000 1,811,296
#Kuraya Sanseido, Inc. 82,600 1,235,988
Kureha Chemical Industry Co., Ltd. 122,000 488,520
KYORIN Pharmaceutical Co., Ltd. 52,000 680,761
#Makita Corp. 209,000 2,933,140
Marubeni Corp. 1,942,000 4,429,099
Marui Co., Ltd. 213,000 2,839,783
#Maruichi Steel Tube, Ltd. 117,000 1,758,628
</Table>
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SHARES VALUE+
----------------- -----------------
#Matsushita Electric Industrial Co.,
Ltd. 1,977,135 $ 27,425,216
Matsushita Electric Works, Ltd. 142,000 1,185,094
#Meiji Seika Kaisha, Ltd. Tokyo 243,000 985,587
#Michinoku Bank, Ltd. 187,000 1,063,990
Millea Holdings, Inc. 46 606,247
Mitsubishi Corp. 40,000 395,191
Mitsubishi Gas Chemical Co., Inc. 305,000 1,146,869
Mitsubishi Heavy Industries, Ltd. 2,128,000 5,567,075
Mitsubishi Logistics Corp. 106,000 924,108
Mitsubishi Materials Corp. 975,000 1,864,568
#*Mitsubishi Motors Corp. 568,000 1,119,876
Mitsui Chemicals, Inc. 239,800 1,163,162
Mitsui Engineering and Shipbuilding
Co., Ltd. 481,000 813,477
Mitsui Trust Holdings 641,000 4,266,825
Mitsumi Electric Co., Ltd. 45,800 468,759
Mizuho Holdings, Inc. 1,192 5,120,280
Morinaga Milk Industry Co., Ltd. 160,000 595,510
Musashino Bank, Ltd. 20,000 722,528
Nagase & Co., Ltd. 87,000 723,676
Namco, Ltd. 5,500 138,069
Nanto Bank, Ltd. 317,000 1,448,045
NGK Insulators, Ltd. 216,000 1,536,529
NGK Spark Plug Co., Ltd. 144,000 1,295,677
Nichicon Corp. 51,200 652,234
Nichirei Corp. 180,000 576,526
Nifco, Inc. 37,000 567,717
Nihon Unisys, Ltd. 69,100 512,213
Nippon Broadcasting System, Inc. 20,690 1,011,229
#Nippon Electric Glass Co., Ltd. 72,000 1,543,539
Nippon Kayaku Co., Ltd. 128,000 649,635
Nippon Meat Packers, Inc., Osaka 144,000 1,567,917
Nippon Mining Holdings, Inc. 370,000 1,708,854
Nippon Mitsubishi Oil Corp. 1,871,050 10,633,474
Nippon Paint Co., Ltd. 167,000 606,191
Nippon Sanso Corp. 30,000 137,311
Nippon Sheet Glass Co., Ltd. 280,000 926,729
Nippon Shinpan Co., Ltd. 191,000 651,818
Nippon Shokubai Co., Ltd. 163,000 1,193,958
Nippon Television Network Corp. 9,400 1,447,390
Nipponkoa Insurance Co., Ltd. 45,000 258,828
Nishimatsu Construction Co., Ltd. 364,000 1,236,106
Nishi-Nippon Bank, Ltd. 156,540 704,445
Nissay Dowa General Insurance
Co., Ltd. 383,000 1,924,261
Nisshin Seifun Group, Inc. 148,000 1,360,518
Nisshin Steel Co., Ltd. 627,000 1,264,556
Nisshinbo Industries, Inc. 305,000 2,021,246
#*Nissho Iwai-Nichmen Holdings Corp. 130,400 694,507
NSK, Ltd. 319,000 1,443,643
Obayashi Corp. 520,000 2,482,203
Ogaki Kyoritsu Bank, Ltd. 50,000 269,692
Oji Paper Co., Ltd. 275,000 1,749,298
Okumura Corp. 144,000 707,500
Onward Kashiyama Co., Ltd. 100,000 1,612,619
PanaHome Corp. 106,000 570,078
#Pioneer Electronic Corp. 60,000 1,537,866
Promise Co., Ltd. 60,500 3,976,827
Q.P. Corp. 109,600 892,411
#Rengo Co., Ltd. 152,000 683,988
*Resona Holdings, Inc. 1,873,000 $ 3,220,661
San In Godo Bank, Ltd. 110,000 864,336
Santen Pharmaceutical Co., Ltd. 52,000 757,478
#Sanwa Shutter Corp. 101,000 518,071
Sanyo Shinpan Finance Co., Ltd. 19,800 1,086,425
Sapporo Breweries, Ltd. 251,000 815,139
Sapporo Hokuyo Holdings, Inc. 224 1,172,121
Seino Transportation Co., Ltd. 193,000 1,835,299
Sekisui Chemical Co., Ltd. 557,000 4,109,695
Sekisui House, Ltd. 942,000 9,812,478
Seventy-seven (77) Bank, Ltd. 241,000 1,420,528
SFCG Co., Ltd. 8,010 1,404,972
Shiga Bank, Ltd. 272,000 1,349,621
Shikoku Bank, Ltd. 72,000 429,019
Shimachu Co., Ltd. 36,200 902,162
#Shimadzu Corp. 181,000 932,806
Shinko Securities Co., Ltd. 470,000 1,560,982
Shizuoka Bank, Ltd. 473,000 3,854,740
#Softbank Corp. 49,100 1,877,895
Sumitomo Bakelite Co., Ltd. 105,000 698,212
Sumitomo Corp. 471,000 3,633,702
Sumitomo Electric Industries, Ltd. 472,000 4,540,655
Sumitomo Forestry Co., Ltd. 139,000 1,431,249
Sumitomo Metal Industries, Ltd.
Osaka 1,481,000 1,661,464
Sumitomo Metal Mining Co., Ltd. 313,000 1,864,367
Sumitomo Osaka Cement Co., Ltd. 269,000 650,652
Sumitomo Realty & Development
Co., Ltd. 150,000 1,617,350
Sumitomo Rubber 43,000 357,718
Sumitomo Trust & Banking Co., Ltd. 21,000 129,088
Suruga Bank, Ltd. 87,000 574,425
Suzuken Co., Ltd. 54,000 1,685,214
Taiheiyo Cement Corp. 1,209,800 2,642,448
Taisei Corp. 1,325,000 4,413,188
Taiyo Yuden Co., Ltd. 72,000 1,038,264
Takara Standard Co., Ltd. 118,000 645,570
Takashimaya Co., Ltd. 214,000 2,357,203
#Takefuji Corp. 35,920 2,390,002
TDK Corp. 10,100 709,085
Teijin, Ltd. 893,000 2,884,554
Teikoku Oil Co., Ltd. 346,000 1,766,783
Toda Corp. 203,000 748,487
Toho Bank, Ltd. 254,000 1,010,175
Tokai Tokyo Securities Co., Ltd. 155,000 447,237
Tokuyama Corp. 248,000 1,060,197
Tokyo Broadcasting System, Inc. 113,500 2,013,658
#Tokyo Steel Manufacturing Co., Ltd. 97,800 1,390,966
Tokyo Style Co., Ltd. 133,000 1,504,229
#Tokyo Tatemono Co., Ltd. 143,000 691,014
Toppan Printing Co., Ltd. 441,000 5,366,365
Toray Industries, Inc. 620,000 2,854,071
Toshiba TEC Corp. 181,000 787,527
Tostem Inax Holding Corp. 160,000 3,278,680
Toto, Ltd. 247,000 2,654,223
#Toyo Ink Manufacturing Co., Ltd. 174,000 703,334
Toyo Seikan Kaisha, Ltd. 287,600 4,718,371
Toyo Suisan Kaisha, Ltd. 64,000 773,366
Toyota Auto Body Co., Ltd. 86,000 1,309,569
Toyota Industries Corp. 76,500 1,668,275
#Toyota Tsusho Corp. 314,000 2,881,419
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SHARES VALUE+
----------------- -----------------
TV Asahi Corp. 202 $ 375,250
UNY Co., Ltd. 133,000 1,642,230
Wacoal Corp. 149,000 1,579,834
#Yamagata Bank, Ltd. 153,700 673,239
Yamaguchi Bank, Ltd. 133,000 1,355,800
Yamanashi Chuo Bank, Ltd. 119,000 588,331
Yamatake Corp. 20,000 194,318
Yamazaki Baking Co., Ltd. 155,000 1,436,047
Yokogawa Electric Corp. 337,000 4,360,631
Yokohama Rubber Co., Ltd. 410,000 1,508,010
York-Benimaru Co., Ltd. 29,300 838,751
-----------------
TOTAL COMMON STOCKS
(Cost $411,657,891) 425,533,004
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $20,787) 21,114
-----------------
TOTAL -- JAPAN
(Cost $411,678,678) 425,554,118
-----------------
FRANCE -- (8.5%)
COMMON STOCKS -- (8.5%)
#AGF (Assurances Generales de
France SA) 149,122 9,041,456
#Air France 143,423 2,346,271
Air Liquide SA 8,848 1,561,285
Alcan, Inc. 30,183 1,192,724
#*Alcatel SA 195,750 2,820,740
#*Alstom SA 185,169 212,840
Arcelor SA 167,800 2,815,999
AXA 634,106 13,042,808
BNP Paribas SA 549,686 33,602,499
Bongrain SA 7,145 480,617
*Cap Gemini SA 89,951 3,450,082
#*Club Mediterranee SA 8,962 379,658
#Compagnie de Saint-Gobain 288,912 14,553,997
Compagnie Francaise d'Etudes et de
Construction Technip SA 10,990 1,480,578
Credit Agricole SA 27,709 681,356
Eiffage SA 6,954 541,060
Esso SA 686 96,312
Euler-Hermes SA 10,354 571,483
*Eurafrance 18,000 1,106,386
#Faurecia SA 30,445 1,973,013
#Fimalac SA 46,887 1,832,765
Fonciere Lyonnaise SA 10,950 471,975
France Telecom SA 188,321 4,550,289
Generale des Establissements
Michelin SA Series B 107,620 5,258,360
Havas SA 300,744 1,596,520
Imerys SA 11,000 2,502,481
LaFarge SA 62,037 5,319,155
LaFarge SA Prime Fidelity 82,581 7,154,869
#Lagardere S.C.A. SA 10,900 665,814
*Nexans 9,618 315,866
#Peugeot SA 233,374 13,179,063
#Pinault Printemps Redoute SA 22,619 2,364,871
Rallye SA 18,020 912,719
#Remy Cointreau SA 56,022 $ 1,870,576
Renault SA 121,719 9,070,115
Rexel SA 10,713 442,555
*SA Des Galeries Lafayette 900 174,397
Schneider SA 63,451 4,274,219
*Scor SA 733,800 1,075,223
SEB SA Prime Fidelity 9,900 1,112,224
Societe BIC SA 52,288 2,268,319
#Societe des Ciments de Francais 28,600 2,223,571
Societe Generale, Paris 293,528 24,896,954
#Suez (ex Suez Lyonnaise des Eaux) 296,563 5,775,385
Thomson Multimedia 129,923 2,479,132
Valeo SA 73,528 2,984,104
Vallourec (Usines a Tubes de Lorraine
Escaut et Vallourec Reunies) 4,504 392,968
#*Veolia Environnement SA 25,700 687,796
*Vivendi Universal SA 403,364 10,293,783
-----------------
TOTAL COMMON STOCKS
(Cost $136,677,536) 208,097,232
-----------------
RIGHTS/WARRANTS -- (0.0%)
*Rallye SA Series B Warrants 11/30/05
(Cost $7,244) 18,020 3,759
-----------------
TOTAL -- FRANCE
(Cost $136,684,780) 208,100,991
-----------------
SWITZERLAND -- (6.1%)
COMMON STOCKS -- (6.1%)
*ABB, Ltd. 335,400 1,880,058
#Baloise-Holding 190,560 7,679,424
Bank Sarasin & Cie Series B, Basel 180 255,824
Banque Cantonale Vaudoise 12,608 1,387,080
#Berner Kantonalbank 23,400 2,779,455
*Ciba Spezialitaetenchemie Holding
AG 56,300 3,846,625
Cie Financiere Richemont AG
Series A 1,251,000 32,223,768
Clariant AG 19,200 265,074
Converium Holding AG 14,400 733,921
*Credit Swisse Group 128,200 4,410,505
*Fischer (Georg) AG, Schaffhausen 1,280 279,066
#Givaudan SA 3,952 2,113,439
#Helvetia Patria Holding 16,301 2,867,348
#Holcim, Ltd. 199,770 10,396,504
#Jelmoli Holding AG 500 625,759
#Luzerner Kantonalbank AG 14,627 2,337,061
#Pargesa Holding SA, Geneve 1,935 5,565,147
#PSP Swiss Property AG 109,600 3,822,181
#Rieters Holdings AG 7,860 1,993,377
Sig Holding AG 44,130 7,549,197
#*Sika Finanz AG, Baar 3,828 1,924,356
#St. Galler Kantonalbank 14,319 2,879,750
#*Swiss Life AG 124,240 15,660,232
Swiss Reinsurance Co., Zurich 18,800 1,167,036
*Syngenta AG 152,500 12,097,295
#*Unaxis Holding AG 45,400 5,141,601
#*Valiant Holding AG 39,295 3,270,942
#Valora Holding AG 12,170 2,881,408
</Table>
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<Caption>
SHARES VALUE+
----------------- -----------------
*Zurich Financial SVCS AG 67,906 $ 10,684,280
-----------------
TOTAL COMMON STOCKS
(Cost $107,900,215) 148,717,713
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $1,007,353) 1,035,109
-----------------
TOTAL -- SWITZERLAND
(Cost $108,907,568) 149,752,822
-----------------
GERMANY -- (5.4%)
COMMON STOCKS -- (5.4%)
#Aachener und Muenchener
Beteiligungs AG 32,773 2,365,409
#Aareal Bank AG 22,825 773,722
Allianz AG 5,000 522,715
*Bankgesellschaft Berlin AG 233,550 569,824
BASF AG 386,050 19,783,712
Bayer AG 280,139 8,022,055
*Bayerische Vereinsbank AG 485,020 8,193,305
#BHW Holding AG 34,600 540,214
#Bilfinger & Berger Bau AG 23,702 779,430
Commerzbank AG 408,050 6,665,331
#DaimlerChrysler AG 219,282 9,759,496
#Deutsche Bank AG 359,305 28,283,407
Deutsche Lufthansa AG 319,477 4,587,451
E.ON AG 7,600 529,503
*Fraport AG 63,708 1,842,234
#Fresenius Medical Care AG 27,600 2,041,697
#*Heidelberger Druckmaschinen AG 38,167 1,209,797
Heidelberger Zement AG 64,373 2,835,953
#Hochtief AG 56,150 1,232,333
*Hypo Real Estate Holding AG 84,277 2,369,101
#IVG Immobilien AG 30,276 349,823
#Karstadt Quelle AG 30,734 634,785
#Linde AG 77,043 3,989,632
#MAN AG 88,000 3,250,554
Merck KGAA 36,000 2,007,356
MG Technologies AG 135,773 1,766,950
#Preussag AG 115,227 2,236,610
Salzgitter AG 13,041 154,880
SCA Hygiene Products AG 3,550 1,300,620
ThyssenKrupp AG 290,691 4,862,280
*Vattenfall Europe AG 94,898 2,955,912
Volkswagen AG 120,547 5,280,608
-----------------
TOTAL -- GERMANY
(Cost $125,815,346) 131,696,699
-----------------
AUSTRALIA -- (3.8%)
COMMON STOCKS -- (3.8%)
Amcor, Ltd. 126,820 587,802
AMP Limited 1,026,451 4,079,874
Ansell, Ltd. 303,463 1,708,852
APN News & Media, Ltd. 486,363 1,418,593
AWB, Ltd. 345,296 1,207,045
AXA Asia Pacific Holdings, Ltd. 2,837,724 6,872,505
BHP Steel Ltd. 1,252,100 5,536,152
Boral, Ltd. 899,150 3,760,136
Caltex Australia, Ltd. 440,369 2,714,191
Commonwealth Bank of Australia 48,696 $ 1,140,569
CSR, Ltd. 1,514,337 2,084,174
Downer Group, Ltd. 216,113 484,787
Futuris Corp., Ltd. 456,719 505,165
Insurance Australiz Group, Ltd. 1,428,272 4,641,130
#Lend Lease Corp., Ltd. 568,460 4,073,668
Lion Nathan, Ltd. 871,345 4,102,395
Mayne Group, Ltd. 1,280,958 2,736,434
Mirvac, Ltd. 1,140,163 3,452,949
Onesteel, Ltd. 436,697 700,279
Orica, Ltd. 352,900 3,685,332
Origin Energy, Ltd. 686,245 2,582,446
Paperlinx, Ltd. 727,704 2,526,782
Publishing and Broadcasting, Ltd. 579,260 5,098,686
#Quantas Airways, Ltd. 3,042,351 7,448,311
Rinker Group, Ltd. 1,155,484 6,177,109
Santos, Ltd. 953,246 4,610,445
#Seven Network, Ltd. 383,865 1,396,206
*Southcorp, Ltd. 1,146,542 2,585,702
*Stockland Trust Group 735 2,743
Stockland Trust Group 21,349 80,393
WMC Resources, Ltd. 1,760,061 5,798,458
-----------------
TOTAL COMMON STOCKS
(Cost $64,985,485) 93,799,313
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $23,400) 21,915
-----------------
TOTAL -- AUSTRALIA
(Cost $65,008,885) 93,821,228
-----------------
NETHERLANDS -- (3.8%)
COMMON STOCKS -- (3.8%)
ABN-AMRO Holding NV 676,189 14,402,913
Aegon NV 822,637 9,934,972
*Air France 18,150 294,780
AM NV 61,661 541,577
Buhrmann NV 94,439 899,882
DSM NV 78,837 3,893,093
#*Hagemeyer NV 342,825 734,022
*Hunter Douglas NV 34,696 1,617,050
ING Groep NV 1,552,333 35,065,385
*Koninklijke Ahold NV 411,500 3,219,002
Koninklijke KPN NV 278,922 2,028,813
Koninklijke Nedlloyd NV 12,142 370,285
Koninklijke Philips Electronics NV 405,906 11,086,373
New Skies Satellites NV 52,400 424,180
Nutreco Holding NV 23,646 726,902
NV Holdingsmij de Telegraaf 6,800 150,573
Oce NV 60,734 903,874
Vedior NV 46,388 691,658
*Versatel Telecom International NV 323,150 644,450
VNU NV 168,736 4,968,415
-----------------
TOTAL COMMON STOCKS
(Cost $60,608,176) 92,598,199
-----------------
RIGHTS/WARRANTS -- (0.0%)
*Air France Warrants 11/06/07 16,500 20,753
*AM NV Coupons 06/04/04 61,661 0
</Table>
12
<Page>
<Table>
<Caption>
SHARES VALUE+
----------------- -----------------
*ING Groep NV Coupons 06/17/05 1,552,333 $ 0
-----------------
TOTAL RIGHTS/WARRANTS
(Cost $21,343) 20,753
-----------------
TOTAL -- NETHERLANDS
(Cost $60,629,519) 92,618,952
-----------------
SPAIN -- (3.0%)
COMMON STOCKS -- (3.0%)
#Acerinox SA 65,340 3,580,706
#Arcelor SA 30,000 503,953
Autopistas Concesionaria Espanola
SA 905,074 15,258,004
Banco de Andalucia 900 79,548
Banco de Sabadell SA 154,021 3,170,801
#Banco Pastor SA 59,400 1,762,479
Cementos Portland SA 21,016 1,260,678
Corporacion Mapfre Compania
Internacional de Reaseguros SA 146,555 1,667,765
Ebro Puleva SA 116,168 1,416,324
Endesa SA, Madrid 308,964 5,703,723
#Gas Natural SA, Buenos Aires 21,400 511,286
#Iberdrola SA 535,000 10,793,336
#Iberia Lineas Aereas de Espana SA 617,500 1,773,522
Inmobiliaria Colonial SA ICSA 41,300 1,001,296
#Inmobiliaria Urbis SA 96,328 1,065,716
#Metrovacesa SA 109,351 4,190,161
Repsol SA 496,967 10,514,033
Sociedad General de Aguas de
Barcelona SA 107,683 1,793,055
*Sociedad General de Aguas de
Barcelona SA 737 12,366
#Sol Melia SA 142,463 1,226,953
Union Fenosa SA 230,000 4,906,580
#Vallehermoso SA 45,000 662,610
-----------------
TOTAL -- SPAIN
(Cost $44,543,185) 72,854,895
-----------------
ITALY -- (2.9%)
COMMON STOCKS -- (2.9%)
#*Alitalia Linee Aeree Italiane SpA
Series A 6,690,000 1,916,746
*Banca Antoniana Popolare Veneta
SpA 83,000 1,655,360
Banca Monte Dei Paschi di Siena
SpA 1,623,479 5,035,105
*Banca Nazionale del Lavoro SpA 1,652,352 3,462,165
#Banca Popolare di Lodi Scarl 374,206 3,428,369
#Banca Popolare di Milano 665,400 3,915,990
Banca Popolare Rights 57,990 531,109
#Benetton Group SpA 181,249 2,052,994
Buzzi Unicem SpA 67,793 891,483
#Caltagirone Editore SpA 222,304 1,692,017
Capitalia SpA 2,910,876 8,603,926
CIR SpA (Cie Industriale Riunite),
Torino 500,000 1,017,041
#Compagnia Assicuratrice Unipol SpA 452,120 1,764,618
#*E.Biscom SpA 16,000 930,834
#*Edison SpA 899,081 1,557,540
Erg SpA 295,000 1,855,359
Ericsson SpA 20,069 796,765
#*Fiat SpA 1,054,970 $ 7,472,748
#*IFIL Finanziaria Partecipazioni SpA 1,368,874 4,849,708
#Italcementi SpA 444,060 5,556,122
#Italmobiliare SpA, Milano 33,664 1,572,078
Manifattura Lane Gaetano
Marzotto & Figli SpA 5,573 63,806
Milano Assicurazioni SpA 182,000 685,056
#Pirelli & Co. SpA 1,486,658 1,525,436
#SAI SpA (Sta Assicuratrice
Industriale), Torino 167,605 3,728,705
San Paolo-IMI SpA 121,701 1,393,518
#Societe Cattolica di Assicurazoni
Scarl SpA 8,800 341,886
#Telecom Italia SpA 1,209,533 3,709,241
-----------------
TOTAL COMMON STOCKS
(Cost $77,211,453) 72,005,725
-----------------
RIGHTS/WARRANTS -- (0.0%)
*Fiat SpA Warrants 01/31/07
(Cost $0) 51,693 11,459
-----------------
TOTAL -- ITALY
(Cost $77,211,453) 72,017,184
-----------------
SWEDEN -- (2.2%)
COMMON STOCKS -- (2.2%)
*Ainax AB 40,367 1,133,020
#*Bostads AB Drott 28,050 504,168
Carbo AB 2,900 71,692
Castellum AB 4,100 96,709
#*Drott Series AB 131,600 1,840,563
Gambro AB Series A 451,900 4,076,681
Gambro AB Series B 129,800 1,153,281
Holmen AB Series A 6,300 189,771
Holmen AB Series B 120,100 3,442,765
NCC AB Series B 59,700 504,412
Nordic Baltic Holdings AB 372,600 2,524,914
Skandinaviska Enskilda Banken
Series A 196,000 2,826,139
Skandinaviska Enskilda Banken
Series C 9,800 137,446
SSAB Swedish Steel Series A 121,600 2,034,049
SSAB Swedish Steel Series B 37,700 610,193
Svenska Cellulosa AB Series A 19,000 735,884
Svenska Cellulosa AB Series B 194,900 7,552,395
Svenska Kullagerfabriken AB
Series A 22,650 819,199
Svenska Kullagerfabriken AB
Series B 29,700 1,083,585
#Telia AB 255,500 1,080,122
Trelleborg AB Series B 103,600 1,877,706
#Volvo AB Series A 212,100 6,614,231
#Volvo AB Series B 413,600 13,520,720
Whilborg Fastigheter AB Class B 35,800 466,127
-----------------
TOTAL -- SWEDEN
(Cost $42,136,221) 54,895,772
-----------------
FINLAND -- (1.5%)
COMMON STOCKS -- (1.5%)
Fortum Oyj 1,071,385 12,579,654
Huhtamaki Van Leer Oyj 2,300 30,179
</Table>
13
<Page>
<Table>
<Caption>
SHARES VALUE+
----------------- -----------------
#Kemira Oyj 101,377 $ 1,280,469
Kesko Oyj 157,000 3,090,975
Metso Oyj 219,166 2,684,084
M-real Oyj Series B 253,400 2,156,183
Okobank Class A 65,000 646,379
Outokumpu Oyj Series A 351,300 5,322,314
Rautaruukki Oyj Series K 12,900 96,037
Stora Enso Oyj Series R 595,800 7,722,494
Upm-Kymmene Oyj 83,100 1,492,540
Wartsila Corp. Oyj Series B 39,600 808,722
-----------------
TOTAL -- FINLAND
(Cost $24,875,652) 37,910,030
-----------------
HONG KONG -- (1.5%)
COMMON STOCKS -- (1.5%)
Cheung Kong Holdings, Ltd. 162,000 1,216,764
China Overseas Land & Investment,
Ltd. 1,864,000 305,826
China Travel International Investment,
Ltd. 680,000 119,479
#Chinese Estates Holdings, Ltd. 44,000 23,378
Great Eagle Holdings, Ltd. 94,000 146,264
#Hang Lung Development Co., Ltd. 1,765,000 2,400,392
Hang Lung Properties, Ltd. 624,500 812,550
Henderson Land Development Co.,
Ltd. 123,000 529,967
Hong Kong and Shanghai Hotels,
Ltd. 225,500 130,054
Hopewell Holdings, Ltd. 906,000 1,575,933
Hutchison Whampoa, Ltd. 217,000 1,467,269
Hysan Development Co., Ltd. 1,434,699 2,309,173
I-Cable Communications, Ltd. 325,121 124,918
#Kerry Properties, Ltd. 1,610,884 2,606,259
New Asia Realty & Trust Co., Ltd. 140,000 52,872
New World Development Co., Ltd. 1,269,649 984,974
Shanghai Industrial Holdings Ltd. 545,000 1,010,000
#Shangri-La Asia, Ltd. 3,149,482 3,093,937
Shun Tak Holdings, Ltd. 134,000 54,545
#Sino Land Co., Ltd. 6,239,407 3,638,909
Tsim Sha Tsui Properties, Ltd. 472,000 575,844
Wharf Holdings, Ltd. 3,251,214 9,164,226
Wheelock and Co., Ltd. 3,128,000 3,748,765
-----------------
TOTAL COMMON STOCKS
(Cost $41,233,673) 36,092,298
-----------------
RIGHTS/WARRANTS -- (0.0%)
*China Travel International Investment,
Ltd. Warrants 05/31/06
(Cost $0) 136,000 0
-----------------
TOTAL -- HONG KONG
(Cost $41,233,673) 36,092,298
-----------------
IRELAND -- (1.1%)
COMMON STOCKS -- (1.1%)
Allied Irish Banks P.L.C. 141,102 1,998,999
Bank of Ireland P.L.C. 99,637 1,179,578
CRH P.L.C. 279,359 5,933,437
*Elan Corp. P.L.C. 690,634 16,309,681
Irish Permanent P.L.C. 186,115 $ 2,800,171
-----------------
TOTAL -- IRELAND
(Cost $12,849,099) 28,221,866
-----------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
Ackermans & Van Haaren SA 4,187 99,981
#Algemene Mij Voor Nijverheidskredit
Almanij 74,928 4,545,058
#Banque Nationale de Belgique 1,049 3,583,170
Bekaert SA 2,787 161,051
Cofinimmo SA 1,108 142,068
#*Delhaize Freres & cie le Lion SA
Molenbeek-Saint Jean 88,564 4,140,848
#Dexia SA 87,003 1,456,158
D'Ieteren SA 431 85,797
Groupe Bruxelles Lambert 55,500 3,428,987
*ING Bank Belgium NV 128 4
Nationale a Portefeuille 4,029 568,411
Sofina SA 10,500 529,160
#Suez (ex Suez Lyonnaise des Eaux) 95,400 1,850,319
#Tessenderlo Chemie 31,155 1,090,587
#*Umicore-Strip VVPR 2,009 367
Union Miniere SA 54,327 3,298,083
-----------------
TOTAL COMMON STOCKS
(Cost $21,735,276) 24,980,049
-----------------
RIGHTS/WARRANTS -- (0.0%)
*Cofinimmo SA Rights 06/11/04
(Cost $0) 1,108 0
-----------------
TOTAL -- BELGIUM
(Cost $21,735,276) 24,980,049
-----------------
DENMARK -- (0.9%)
COMMON STOCKS -- (0.9%)
Carlsberg A.S. Series B 32,525 1,591,566
Codan A.S. 28,400 1,190,252
Danisco A.S. 29,530 1,399,523
Danske Bank A.S. 395,753 8,998,165
*Jyske Bank A.S. 22,300 1,175,746
Nordea AB 475,918 3,245,559
Rockwool, Ltd. 6,850 281,287
Tele Danmark A.S. 99,350 3,351,691
-----------------
TOTAL -- DENMARK
(Cost $14,826,540) 21,233,789
-----------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
DBS Group Holdings, Ltd. 357,000 2,954,705
Fraser & Neave, Ltd. 507,290 4,023,360
Haw Par Brothers International, Ltd. 2,698 7,409
Keppel Corp., Ltd. 855,000 3,343,117
#Neptune Orient Lines, Ltd. 801,000 1,009,059
Overseas Chinese Banking Corp.,
Ltd. 94,000 662,427
Sembcorp Industries, Ltd. 400,000 338,608
Singapore Airlines, Ltd. 617,000 3,810,654
Singapore Land, Ltd. 133,000 301,943
United Overseas Bank, Ltd. 66,000 503,724
</Table>
14
<Page>
<Table>
<Caption>
SHARES VALUE+
----------------- -----------------
#United Overseas Land, Ltd. 259,000 $ 344,575
TOTAL COMMON STOCKS
(Cost $13,210,685) 17,299,581
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $7,704) 7,821
-----------------
TOTAL -- SINGAPORE
(Cost $13,218,389) 17,307,402
-----------------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
*Aker Kvaerner ASA 46,100 736,061
Den Norske Bank ASA Series A 606,394 3,847,441
Norsk Hydro ASA 16,700 1,036,330
Norske Skogindustrier ASA Series A 163,300 2,722,389
#Storebrand ASA 201,500 1,353,445
*Yara International ASA 16,700 123,919
-----------------
TOTAL -- NORWAY
(Cost $8,187,301) 9,819,585
-----------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
*Agricultural Bank of Greece S.A 123,600 860,524
Alpha Credit Bank 35,040 916,728
Bank of Greece 8,520 900,526
Bank of Piraeus S.A. 4,600 53,590
Commercial Bank of Greece 44,760 1,185,010
EFG Eurobank Ergasias S.A. 60,097 1,337,660
Hellenic Petroleum S.A. 159,140 1,216,321
Hellenic Tellecommunication
Organization Co. S.A. 140,460 1,845,612
Intracom S.A. 92,390 464,799
National Bank of Greece 15,520 467,402
-----------------
TOTAL -- GREECE
(Cost $7,870,638) 9,248,172
-----------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Comercial Portugues SA 195,400 452,850
BPI SGPS SA 202,800 739,958
Cimpor Cimentos de Portugal SA 503,265 2,640,397
Portucel-Empresa Produtora de
Pasta de Papel SA 1,442,478 2,429,895
-----------------
TOTAL -- PORTUGAL
(Cost $5,351,923) 6,263,100
-----------------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
Bohler Uddeholm AG 6,402 488,199
OMV AG 5,913 1,036,949
Voestalpine AG 62,211 2,775,952
Wienerberger AG 16,123 546,392
-----------------
TOTAL -- AUSTRIA
(Cost $3,477,881) 4,847,492
-----------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 99,828 $ 421,080
Carter Holt Harvey, Ltd. 2,429,700 2,991,974
Fletcher Building, Ltd. 171,130 474,829
-----------------
TOTAL COMMON STOCKS
(Cost $3,707,347) 3,887,883
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $6,846) 6,639
-----------------
TOTAL -- NEW ZEALAND
(Cost $3,714,193) 3,894,522
-----------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
*Rekapacific Berhad 691,000 0
-----------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency
(Cost $881,605) 886,023
-----------------
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH
INVESTMENTS -- (19.3%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.89%,
06/01/04 (Collateralized by $31,615,000 FMC
Discount Notes 1.13%, 08/12/04, valued at $31,535,963)
to be repurchased at $31,071,072 (Cost $31,068,000) $ 31,068 31,068,000
Repurchase Agreement, Deutsche Bank Securities 1.00%,
06/01/04 (Collateralized by $534,822,356 U.S.
Treasury Obligations rates ranging from 7.50% to 8.75%,
maturities ranging from 11/15/16 to 08/15/20, valued at
$660,863,438) to be repurchased at $442,051,058
(Cost $442,001,947)^ 442,002 442,001,947
-----------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $473,069,947) 473,069,947
-----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,082,684,554)++ $ 2,449,898,522
=================
</Table>
- ----------
+ See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
^ Security purchased with cash proceeds from securities on loan.
++ The cost for federal income tax purposes is $2,082,875,007.
See accompanying Notes to Financial Statements.
15
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $419,174 of securities on loan) $ 2,449,899
Cash 15
Receivables:
Investment Securities Sold 3,463
Dividends, Interest and Tax Reclaims 8,315
Fund Shares Sold 812
Securities Lending Income 371
Prepaid Expenses and Other Assets 13
------------
Total Assets 2,462,888
------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 442,002
Investment Securities Purchased 3,476
Fund Shares Redeemed 335
Due to Advisor 324
Accrued Expenses and Other Liabilities 219
------------
Total Liabilities 446,356
------------
NET ASSETS $ 2,016,532
============
SHARES OUTSTANDING, $.01 PAR VALUE
(Unlimited Number of Shares Authorized) 144,560,171
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 13.95
============
Investments at Cost $ 2,082,685
============
NET ASSETS CONSIST OF:
Paid-in Capital $ 1,583,131
Accumulated Net Investment Income (Loss) 19,141
Accumulated Net Realized Gain (Loss) 47,022
Accumulated Net Realized Foreign Exchange Gain (Loss) 4
Unrealized Appreciation (Depreciation) from Investment Securities and Foreign Currency 367,214
Unrealized Net Foreign Exchange Gain (Loss) 20
------------
Total Net Assets $ 2,016,532
============
</Table>
See accompanying Notes to Financial Statements.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $3,065) $ 27,015
Interest 115
Income from Securities Lending 1,369
----------
Total Investment Income 28,499
----------
EXPENSES
Investment Advisory Services 1,881
Accounting & Transfer Agent Fees 483
Custodian Fees 290
Legal Fees 6
Audit Fees 7
Shareholders' Reports 11
Trustees' Fees and Expenses 4
Other 27
----------
Total Expenses 2,709
----------
NET INVESTMENT INCOME (LOSS) 25,790
----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 50,698
Net Realized Gain (Loss) on Foreign Currency Transactions 4
Change in Unrealized Appreciation (Depreciation) of Investment Securities and Foreign Currency 134,458
Translation of Foreign Currency Denominated Amounts (180)
----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 184,980
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 210,770
==========
</Table>
See accompanying Notes to Financial Statements.
17
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31 NOV. 30,
2004 2003
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 25,790 $ 31,730
Net Realized Gain (Loss) on Investment Securities Sold 50,698 (3,540)
Net Realized Gain (Loss) on Foreign Currency Transactions 4 205
Change in Unrealized Appreciation (Depreciation) of Investment Securities and
Foreign Currency 134,458 379,196
Translation of Foreign Currency Denominated Amounts (180) 114
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations 210,770 407,705
----------- -----------
Distributions From:
Net Investment Income (7,625) (30,082)
Net Short-Term Gains -- --
Net Long-Term Gains -- (1,177)
----------- -----------
Total Distributions (7,625) (31,259
----------- -----------
Capital Share Transactions (1):
Shares Issued 292,065 542,740
Shares Issued in Lieu of Cash Distributions 7,625 31,258
Shares Redeemed (91,081) (471,133)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions 208,609 102,865
----------- -----------
Total Increase (Decrease) 411,754 479,311
----------- -----------
NET ASSETS
Beginning of Period 1,604,778 1,125,467
----------- -----------
End of Period $ 2,016,532 $ 1,604,778
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 21,290 53,795
Shares Issued in Lieu of Cash Distributions 583 2,986
Shares Redeemed (6,742) (47,941)
----------- -----------
15,131 8,840
=========== ===========
</Table>
See accompanying Notes to Financial Statements.
18
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2004 2003 2002
------------- ------------- -------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 12.40 $ 9.33 $ 10.15
------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.18 0.27 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.43 3.06 (0.78)
------------- ------------- -------------
Total from Investment Operations 1.61 3.33 (0.54)
------------- ------------- -------------
LESS DISTRIBUTIONS
Net Investment Income (0.06) (0.25) (0.25)
Net Realized Gains -- (0.01) (0.03)
------------- ------------- -------------
Total Distributions (0.06) (0.26) (0.28)
------------- ------------- -------------
Net Asset Value, End of Period $ 13.95 $ 12.40 $ 9.33
============= ============= =============
Total Return 13.00%# 36.24% (5.53)%
Net Assets, End of Period (thousands) $ 2,016,532 $ 1,604,778 $ 1,125,467
Ratio of Expenses to Average Net Assets 0.29%* 0.30% 0.30%
Ratio of Net Investment Income to
Average Net Assets 2.74%* 2.61% 2.36%
Portfolio Turnover Rate 5%# 14% 18%
<Caption>
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2001 2000 1999
------------- ------------- -------------
Net Asset Value, Beginning of Period $ 12.07 $ 13.18 $ 11.95
------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.27 0.28
Net Gains (Losses) on Securities
(Realized and Unrealized) (1.49) (0.31) 1.29
------------- ------------- -------------
Total from Investment Operations (1.22) (0.04) 1.57
------------- ------------- -------------
LESS DISTRIBUTIONS
Net Investment Income (0.27) (0.26) (0.31)
Net Realized Gains (0.43) (0.81)) (0.03)
------------- ------------- -------------
Total Distributions (0.70) (1.07) (0.34)
------------- ------------- -------------
Net Asset Value, End of Period $ 10.15 $ 12.07 $ 13.18
============= ============= =============
Total Return (10.75)% (0.51)% 13.27%
Net Assets, End of Period (thousands) $ 1,208,100 $ 1,553,481 $ 1,660,377
Ratio of Expenses to Average Net Assets 0.29% 0.29% 0.29%
Ratio of Net Investment Income to
Average Net Assets 2.32% 2.13% 2.17%
Portfolio Turnover Rate 6% 9% 6%
</Table>
- ----------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
19
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The DFA International Value Series
(the "Series") is 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. 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: Securities held by the Series which are listed on a
securities exchange are valued at the last quoted sale price. Price information
on listed securities is taken from the exchange where the security is primarily
traded. Unlisted securities for which market quotations are readily available
are valued at the mean between the quoted bid and asked prices. Securities for
which quotations are not readily available, or for which market quotations have
become unreliable, are valued in good faith at fair value using methods approved
by the Board of Trustees.
The Series will also apply a fair value price in the circumstances
described below. Generally, trading in foreign securities markets is completed
each day at various times prior to the close of the New York Stock Exchange
(NYSE). For example, trading in the Japanese securities markets is completed
each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT),
which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT)
and the time that the net asset values of the Series is computed. Due to the
time differences between the closings of the relevant foreign securities
exchanges and the time the Series prices its shares at the close of the NYSE,
the Series will fair value its foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the Series'
foreign investments since the last closing prices of the foreign investments
were calculated on their primary foreign securities markets or exchanges. For
these purposes, the Board of Trustees of the Trust has determined that movements
in relevant indices or other appropriate market indicators, after the close of
the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable, and may trigger fair value pricing. Consequently,
fair valuation of portfolio securities may occur on a daily basis. The fair
value pricing by the Trust utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values of
foreign investments). The fair value prices of portfolio securities generally
will be used when it is determined that the use of such prices will have a
material impact on the net asset value of a Series. When a Series uses fair
value pricing, the values assigned to the Series' foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges.
20
<Page>
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates. Exchange gains or losses
are realized upon ultimate receipt or disbursement.
The Series does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest
dividends and foreign withholding taxes recorded on the books of the Series and
the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Trustees' Fees and
Expenses. At May 31, 2004, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities in the amount of
$26,286.
4. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 28, 2004.
5. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the United
States, including the possibility of future political and economic developments
and the level of foreign government supervision and regulation of foreign
securities markets. These markets are generally smaller, less liquid and more
volatile than the major securities markets in the United States. Consequently,
acquisition and disposition of securities by the Series may be inhibited.
6. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Trustees, generally based on average net
assets.
The Series may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers exiting or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Series accrue
such taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income, capital
or the proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.
21
<Page>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2004, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of average daily net
assets.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 315,813
Sales 92,912
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2004.
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series intends
to continue to qualify as a regulated investment company under Subchapter M of
the Internal Revenue Code and distribute substantially all of its taxable income
and capital gains to shareholders. Because income tax regulations differ from
accounting principles generally accepted in the United States of America, the
timing and character of income and capital gain distributions determined in
accordance with tax regulations can differ from income and capital gains
recognized for financial reporting purposes. Accordingly, the character of
distributions and the composition of net assets for tax purposes can differ from
those reflected in the financial statements. These book/tax differences may be
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid in capital, accumulated net realized gain
(loss) or undistributed net investment income as appropriate, in the period the
differences arise. These reclassifications have no effect on net assets or net
asset value per share.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Statement of Assets and Liabilities.
At May 31, 2004, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies was
as follows (amounts in thousands):
<Table>
Gross Unrealized Appreciation $ 474,540
Gross Unrealized Depreciation (107,516)
----------
Net $ 367,024
==========
</Table>
For federal income tax purposes, the Trust measures its capital loss
carryfowards annually at November 30, its fiscal year end. As of November 30,
2003, the Series had a capital loss carryforward of approximately $3,507,000
which expires on November 30, 2011.
Certain of the DFA International Value Series' investments are in
securities considered to be "passive foreign investment companies", for which
any unrealized appreciation (depreciation) (mark to market) and/or realized
gains are required to be included in distributable net investment income for tax
purposes. At November 30, 2003, The Series had unrealized
appreciation/depreciation (mark to market) and realized gains on the sale of
passive foreign investment companies of $3,502,361 and $7,718,955 respectively,
which are included in distributable net investment income for tax purposes,
accordingly, such gains have been reclassified from accumulated net realized
gains to accumulated net investment income.
22
<Page>
F. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each series is permitted to borrow, subject to
its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each series is individually, and not jointly liable
for its particular advances under the line of credit. There is no commitment fee
on the unused portion of the line of credit, since this is not a committed
facility. The agreement for the discretionary line of credit may be terminated
at any time. There were no borrowings by the Series under the line of credit for
the six months ended May 31, 2004.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement for the line of credit expires in April
2005. There were no borrowings by the Series under the line of credit during the
six months ended May 31, 2004.
G. SECURITIES LENDING:
As of May 31, 2004, some of the Series' 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.
Cash collateral of each Portfolio received from securities on loan is
invested along with cash collateral from the other Portfolios of the Series in
repurchase agreements collateralized by U.S. government securities. These
investments are accounted for separately for each Portfolio. Securities pledged
as collateral for the repurchase agreements are held by a custodian bank until
the agreements mature.
23
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the non-Feeder Portfolios
and Master Funds use in voting proxies relating to securities held in their
portfolios is available without charge, upon request, by calling collect:
(310) 395-8005. Information regarding how the Advisor votes these proxies
will become available from the EDGARdatabase on the SEC's website at
http://www.sec.gov no later than August 31, 2004 when the Funds file their
first report on Form N-PX and will reflect the twelve-month period beginning
July 1, 2003 and ending June 30, 2004.
24
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2004
(UNAUDITED)
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
------
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities 1
Statement of Operations 2
Statements of Changes in Net Assets 3
Financial Highlights 4
Notes to Financial Statements 5
THE DFA INVESTMENT TRUST COMPANY-- THE DFA INTERNATIONAL VALUE SERIES
Schedule of Investments 7
Statement of Assets and Liabilities 15
Statement of Operations 16
Statements of Changes in Net Assets 17
Financial Highlights 18
Notes to Financial Statements 19
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 23
</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 III
STATEMENT OF ASSETS AND LIABILITIES
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
MAY 31, 2004
(UNAUDITED)
<Table>
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company
(30,922,800 Shares, Cost $313,566)++ at Value+ $ 431,373
Receivable for Fund Shares Sold 324
Prepaid Expenses and Other Assets 33
--------------
Total Assets 431,730
--------------
LIABILITIES:
Payables:
Investment Securities Purchased 228
Fund Shares Redeemed 96
Due to Advisor 3
Accrued Expenses and Other Liabilities 30
--------------
Total Liabilities 357
--------------
NET ASSETS $ 431,373
==============
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000) 32,976,848
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 13.08
==============
NET ASSETS CONSIST OF:
Paid-In Capital $ 323,114
Accumulated Net Investment Income (Loss) 186
Accumulated Net Realized Gain (Loss) (9,734)
Unrealized Appreciation (Depreciation) from Investment Securities 117,807
--------------
Total Net Assets $ 431,373
==============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $323,292.
See accompanying Notes to Financial Statements.
1
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 1,691
--------------
EXPENSES
Administrative Services 21
Accounting & Transfer Agent Fees 9
Legal Fees 7
Audit Fees 2
Filing Fees 11
Shareholders' Reports 22
Directors' Fees and Expenses 4
Other 2
--------------
Total Expenses 78
--------------
NET INVESTMENT INCOME (LOSS) 1,613
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold (44)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 45,283
--------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 45,239
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 46,852
==============
</Table>
See accompanying Notes to Financial Statements.
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,613 $ 6,501
Capital Gain Distributions Received from The DFA Investment Trust Company -- 229
Net Realized Gain (Loss) on Investment Securities Sold (44) (2,449)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 45,283 86,544
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 46,852 90,825
------------ ------------
Distributions From:
Net Investment Income (7,845) (4,886)
Net Short-Term Gains (6) --
Net Long-Term Gains (244) (407)
------------ ------------
Total Distributions (8,095) (5,293)
------------ ------------
Capital Share Transactions (1):
Shares Issued 56,550 94,320
Shares Issued in Lieu of Cash Distributions 8,095 5,293
Shares Redeemed (28,538) (51,406)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 36,107 48,207
------------ ------------
Total Increase (Decrease) 74,864 133,739
NET ASSETS
Beginning of Period 356,509 222,770
------------ ------------
End of Period $ 431,373 $ 356,509
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 4,404 10,134
Shares Issued in Lieu of Cash Distributions 671 626
Shares Redeemed (2,224) (5,617)
------------ ------------
2,851 5,143
============ ============
</Table>
See accompanying Notes to Financial Statements.
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 11.83 $ 8.92 $ 10.16 $ 13.15 $ 13.79 $ 12.55
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.05 0.22 0.23 0.27 0.31 0.33
Net Gains (Losses) on Securities (Realized
and Unrealized) 1.47 2.91 (0.76) (1.47) (0.36) 1.28
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 1.52 3.13 (0.53) (1.20) (0.05) 1.61
----------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income (0.26) (0.20) (0.25) (0.33) (0.32) (0.28)
Net Realized Gains (0.01) (0.02) (0.46) (1.46) (0.27) (0.09)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.27) (0.22) (0.71) (1.79) (0.59) (0.37)
----------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period $ 13.08 $ 11.83 $ 8.92 $ 10.16 $ 13.15 $ 13.79
=========== ========== ========== ========== ========== ==========
Total Return 13.01%# 36.09% (5.52)% (10.80)% (0.53)% 13.22%
Net Assets, End of Period (thousands) $ 431,373 $ 356,509 $ 222,770 $ 184,306 $ 203,184 $ 269,973
Ratio of Expenses to Average Net Assets (1) 0.33%* 0.35% 0.35% 0.34% 0.33% 0.33%
Ratio of Net Investment Income to
Average Net Assets 0.79%* 2.46% 2.52% 2.34% 2.04% 2.38%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 5%# 14% 18% 6% 9% 6%
</Table>
- ----------
* Annualized
# Non-annualized
(1) 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.
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twenty-five portfolios, of
which the DFA International Value Portfolio III (the "Portfolio") is presented
in this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 2004, the Portfolio owned 21% 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. 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 May 31, 2004, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities in the amount of
$5,739.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio or to the Series are directly charged.
Common expenses of the Fund or Portfolios are allocated using methods approved
by the Board of Directors, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2004, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.01 of 1% of average daily net
assets.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
5
<Page>
D. 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
Statement of Assets and Liabilities.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
Gross Unrealized Appreciation $ 117,807
Gross Unrealized Depreciation (9,726)
----------
Net $ 108,081
==========
</Table>
E. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated at any time. There were no borrowings under the discretionary line of
credit by the Portfolio during the six months ended May 31, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement for the line of credit expires in April
2005. There were no borrowings by the Portfolio under the line of credit during
the six months ended May 31, 2004.
6
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
UNITED KINGDOM -- (19.4%)
COMMON STOCKS -- (19.4%)
Abbey National P.L.C. 841,876 $ 6,930,244
Aggregate Industries P.L.C. 1,926,365 2,976,832
Alliance & Leicester P.L.C. 348,000 5,264,654
Allied Domecq P.L.C. 621,994 5,172,552
Amvescap P.L.C. 225,900 1,515,531
Arriva P.L.C. 231,050 1,651,789
Associated British Foods P.L.C. 990,462 11,631,581
Associated British Ports Holdings
P.L.C. 378,800 3,037,599
Aviva P.L.C. 2,582,930 25,216,998
*AWG P.L.C. 76,018 855,780
BAA P.L.C. 1,576,251 15,724,547
BAE Systems P.L.C. 2,599,132 9,806,062
Barratt Developments P.L.C. 338,959 3,566,453
BBA Group P.L.C. 679,855 3,165,960
Bellway P.L.C. 38,000 526,004
Berkeley Group P.L.C. 228,802 3,866,438
BG Group P.L.C. 1,408,548 8,581,102
BOC Group P.L.C. 82,135 1,341,431
Bovis Homes Group P.L.C. 132,000 1,237,365
BPB P.L.C. 458,500 3,269,374
Bradford & Bingley P.L.C. 80,259 408,850
Brambles Industries P.L.C. 272,000 1,056,902
Britannic P.L.C. 278,864 1,761,482
*British Airways P.L.C. 1,839,331 8,547,965
British Land Co. P.L.C. 857,882 10,539,837
British Vita P.L.C. 286,388 1,352,407
Brixton P.L.C. 359,333 1,911,806
*Cable and Wireless P.L.C. 3,512,914 7,943,057
*Canary Wharf Group P.L.C. 847,200 4,598,296
Carnival P.L.C. 156,448 7,021,173
*Colt Telecom Group P.L.C. 2,561,000 3,945,288
*Corus Group P.L.C. 6,312,988 3,913,405
Derwent Valley Holdings P.L.C. 49,351 756,218
DeVere Group P.L.C. 85,228 688,195
*Dimension Data Holdings P.L.C. 1,006,000 564,232
Dixons Group P.L.C. 333,402 931,182
*Duelguide Units P.L.C. 36,010 355,069
*Easyjet P.L.C. 294,025 1,073,156
FKI P.L.C. 856,795 1,741,838
Friends Provident P.L.C. 2,272,618 5,760,483
Galen Holdings P.L.C. 319,000 4,237,385
Great Portland Estates P.L.C. 299,155 1,440,093
Great Universal Stores P.L.C. 258,182 3,843,651
Greene King P.L.C. 105,263 1,757,735
Hammerson P.L.C. 468,800 5,815,111
Hanson P.L.C. 963,671 7,358,895
HBOS P.L.C. 14,538 190,478
*HHG P.L.C. 842,619 664,307
Hilton Group P.L.C. 2,619,960 12,744,959
IMI P.L.C. 24,000 161,845
Intercontinental Hotels Group P.L.C. 968,773 9,286,691
*International Power P.L.C. 1,898,700 5,056,603
ITV P.L.C. 1,551,881 3,378,787
Johnson Matthey P.L.C. 43,250 $ 702,953
Kelda Group P.L.C. 161,510 1,456,483
Kesa Electricals P.L.C. 9,781 50,996
#Kingfisher P.L.C. 651,215 3,413,664
Land Securities Group P.L.C. 78,654 1,686,004
Liberty International P.L.C. 469,345 6,367,535
Logicacmg P.L.C. 586,400 2,012,631
London Merchant Securities P.L.C. 358,862 1,139,502
Marks & Spencer Group P.L.C. 1,197,239 7,890,393
Mersey Docks & Harbour Co. P.L.C. 115,042 1,455,763
MFI Furniture Group P.L.C. 66,600 182,435
Millennium and Copthorne Hotels
P.L.C. 489,930 2,843,510
Mitchells & Butlers P.L.C. 630,549 2,997,502
*MM02 P.L.C. 8,760,348 15,678,806
Morrison (Wm.) Supermarkets P.L.C. 1,582,672 6,627,064
Novar P.L.C. 571,338 1,309,149
Pearson P.L.C. 246,039 2,994,860
Peninsular & Oriental Steam
Navigation P.L.C. 1,086,433 4,270,957
Pennon Group P.L.C. 56,524 763,276
Persimmon P.L.C. 271,811 2,994,022
Pilkington P.L.C. 2,184,617 3,621,628
Pillar Property P.L.C. 159,913 1,641,266
*Premier Oil P.L.C. 119,812 1,165,426
Quintain Estates & Development
P.L.C. 100,000 729,199
Rio Tinto P.L.C. 83,136 2,000,590
RMC Group P.L.C. 401,000 4,035,580
Rolls Royce Group P.L.C. 2,686,097 11,122,171
*Rolls Royce Group P.L.C. 134,304,850 246,241
Royal & Sun Alliance Insurance
Group P.L.C. 5,018,810 7,450,701
Royal Bank of Scotland Group P.L.C. 212,693 6,428,725
Sabmiller P.L.C. 192,609 2,327,665
#Sainsbury (J.) P.L.C. 2,864,609 14,300,152
Scottish & Newcastle P.L.C. 959,905 7,508,053
Scottish Power P.L.C. 915,215 6,635,236
Severn Trent P.L.C. 210,597 3,118,962
*Shire Pharmaceuticals Group P.L.C. 683,427 6,208,647
Singer & Friedlander Group P.L.C. 253,818 1,093,881
Slough Estates P.L.C. 706,900 5,564,664
Smith (David S.) Holdings P.L.C. 547,941 1,567,369
Smith (W.H.) P.L.C. 299,537 1,965,244
Somerfield P.L.C. 738,068 1,939,982
Stagecoach Holdings P.L.C. 1,557,000 2,341,002
Stanley Leisure Organisation P.L.C. 186,760 1,606,028
Tate & Lyle P.L.C. 660,070 3,655,181
Taylor Woodrow P.L.C. 973,675 4,528,444
Tesco P.L.C. 1,560,816 7,123,961
The Big Food Group P.L.C. 505,408 928,373
*Thus Group P.L.C. 1,956,555 933,783
Trinity Mirror P.L.C. 495,640 5,638,934
United Business Media P.L.C. 237,262 1,923,758
United Utilities P.L.C. 265,595 2,642,143
Vodafone Group P.L.C. 13,873,752 32,699,074
</Table>
7
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Westbury P.L.C. 162,025 $ 1,272,549
Whitbread P.L.C. 511,290 7,496,474
Wilson Bowden P.L.C. 105,900 2,010,789
Wimpey (George) P.L.C. 446,968 3,018,363
Wolverhampton & Dudley Breweries
P.L.C. 107,366 1,616,965
Woolworths Group P.L.C. 2,074,511 1,684,586
-----------------
TOTAL COMMON STOCKS
(Cost $377,656,054) 474,774,971
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $35,295) 36,615
-----------------
TOTAL -- UNITED KINGDOM
(Cost $377,691,349) 474,811,586
-----------------
JAPAN -- (17.4%)
COMMON STOCKS -- (17.4%)
Acom Co., Ltd. 14,600 979,025
#Aichi Steel Corp. 120,000 493,526
AIOI Insurance Co., Ltd. 928,735 4,040,680
Aisin Seiki Co., Ltd. 182,500 3,383,738
Akita Bank, Ltd. 115,000 452,538
#Alpine Electronics, Inc. 36,800 471,467
Amada Co., Ltd. 376,000 2,138,762
#Anritsu Corp. 67,000 419,610
Aoyama Trading Co., Ltd. 47,700 1,108,318
Asahi Breweries, Ltd. 173,000 1,823,313
Asahi Kasei Corp. 289,000 1,422,289
Asatsu-Dk, Inc. 32,500 840,095
Autobacs Seven Co., Ltd. 23,700 669,145
Awa Bank, Ltd. 196,600 1,129,190
Bank of Iwate, Ltd. 15,300 677,599
#Bank of Kyoto, Ltd. 347,400 2,290,876
Bank of Nagoya, Ltd. 185,000 933,192
Benesse Corp. 6,500 197,550
Canon Sales Co., Inc. 124,900 1,586,967
Chiba Bank, Ltd. 941,000 5,415,152
Chudenko Corp. 41,100 707,233
Chugoku Bank, Ltd. 238,800 2,413,869
Citizen Watch Co., Ltd. 318,000 3,323,532
Coca-Cola West Japan Co., Ltd. 58,400 1,409,917
Comsys Holdings Corp. 92,000 682,561
#Cosmo Oil Co., Ltd. 764,000 1,867,757
Dai Nippon Ink & Chemicals, Inc. 459,000 1,042,492
Dai Nippon Pharmaceutical Co., Ltd. 106,000 803,341
Dai Nippon Printing Co., Ltd. 144,000 2,202,431
#Daicel Chemical Industries, Ltd. 485,000 2,108,669
Daido Steel Co., Ltd. 274,000 657,436
Daihatsu Motor Co., Ltd. 258,000 1,517,061
Daishi Bank, Ltd. 355,000 1,219,314
Daiwa House Industry Co., Ltd. 663,000 7,484,763
Denso Corp. 22,500 482,857
#Ebara Corp. 173,000 778,135
#Ezaki Glico Co., Ltd. 174,600 1,241,437
Fuji Electric Co., Ltd. 525,780 1,293,228
Fuji Fire & Marine Insurance Co.,
Ltd. 297,000 692,913
Fuji Heavy Industries 493,000 2,430,726
Fuji Oil Co., Ltd. 55,200 643,650
Fuji Photo Film Co., Ltd. 355,000 $ 10,551,760
Fujikura, Ltd. 241,000 1,153,558
Fujitsu, Ltd. 286,000 1,931,493
Fukui Bank, Ltd. 343,000 1,359,737
#Fukuoka Bank, Ltd. 400,000 2,071,477
#Fukuyama Transporting Co., Ltd. 266,000 1,211,601
*Furukawa Electric Co., Ltd. 380,000 1,411,648
Futaba Corp. 16,000 419,581
Futaba Industrial Co., Ltd. 44,100 682,343
#Glory, Ltd. 46,800 662,790
Gunma Bank, Ltd. 323,000 1,486,093
Gunze, Ltd. 148,000 706,135
Hachijuni Bank, Ltd. 344,000 2,056,852
#*Hankyu Corp. 174,000 670,625
#Hanshin Electric Railway Co., Ltd. 216,000 701,147
Heiwa Corp 81,500 1,221,706
Higo Bank, Ltd. 308,000 1,769,064
Hitachi Cable, Ltd. 236,000 1,060,267
Hitachi Maxell, Ltd. 96,000 1,407,726
Hitachi Metals, Ltd. 360,000 1,719,080
Hitachi, Ltd. 3,734,000 25,589,059
Hokkoku Bank, Ltd. 223,000 1,067,827
Hokuetsu Paper Mills, Ltd. 162,000 869,334
Hokugin Financial Group, Inc. 414,000 839,050
House Foods Corp. 117,000 1,505,125
#Hyakugo Bank, Ltd. 258,000 1,534,783
#Hyakujishi Bank, Ltd. 314,000 1,942,853
*Ishikawajima-Harima Heavy
Industries Co., Ltd. 819,000 1,167,661
*Itochu Corp. 120,000 492,009
Itoham Foods, Inc. 132,000 591,829
Iyo Bank, Ltd. 204,000 1,369,997
Japan Airport Terminal Co., Ltd. 33,000 296,226
JFE Holdings, Inc. 56,300 1,218,243
Joyo Bank, Ltd. 545,000 2,147,260
#Juroku Bank, Ltd. 349,000 1,475,036
#Kagoshima Bank, Ltd. 132,000 739,936
Kamigumi Co., Ltd. 357,000 2,346,542
Kandenko Co., Ltd. 129,000 683,340
Kansai Paint Co., Ltd., Osaka 131,000 770,757
Katokichi Co., Ltd. 34,500 608,482
#Kawasaki Heavy Industries, Ltd. 910,000 1,359,185
Kikkoman Corp. 259,000 2,087,353
Kinden Corp. 167,000 929,655
Kirin Brewery Co., Ltd. 437,000 4,152,801
#Kissei Pharmaceutical Co., Ltd. 41,000 875,872
Kobe Steel, Ltd. 2,632,000 3,842,186
Koito Manufacturing Co., Ltd. 101,000 701,488
Kokuyo Co., Ltd. 81,200 989,157
Komatsu, Ltd. 1,279,000 7,702,264
Komori Corp. 47,000 692,540
#Koyo Seiko Co. 198,000 2,006,219
Kubota Corp. 140,000 647,773
Kuraray Co., Ltd. 241,000 1,811,296
#Kuraya Sanseido, Inc. 82,600 1,235,988
Kureha Chemical Industry Co., Ltd. 122,000 488,520
KYORIN Pharmaceutical Co., Ltd. 52,000 680,761
#Makita Corp. 209,000 2,933,140
Marubeni Corp. 1,942,000 4,429,099
Marui Co., Ltd. 213,000 2,839,783
#Maruichi Steel Tube, Ltd. 117,000 1,758,628
</Table>
8
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
#Matsushita Electric Industrial Co.,
Ltd. 1,977,135 $ 27,425,216
Matsushita Electric Works, Ltd. 142,000 1,185,094
#Meiji Seika Kaisha, Ltd. Tokyo 243,000 985,587
#Michinoku Bank, Ltd. 187,000 1,063,990
Millea Holdings, Inc. 46 606,247
Mitsubishi Corp. 40,000 395,191
Mitsubishi Gas Chemical Co., Inc. 305,000 1,146,869
Mitsubishi Heavy Industries, Ltd. 2,128,000 5,567,075
Mitsubishi Logistics Corp. 106,000 924,108
Mitsubishi Materials Corp. 975,000 1,864,568
#*Mitsubishi Motors Corp. 568,000 1,119,876
Mitsui Chemicals, Inc. 239,800 1,163,162
Mitsui Engineering and Shipbuilding
Co., Ltd. 481,000 813,477
Mitsui Trust Holdings 641,000 4,266,825
Mitsumi Electric Co., Ltd. 45,800 468,759
Mizuho Holdings, Inc. 1,192 5,120,280
Morinaga Milk Industry Co., Ltd. 160,000 595,510
Musashino Bank, Ltd. 20,000 722,528
Nagase & Co., Ltd. 87,000 723,676
Namco, Ltd. 5,500 138,069
Nanto Bank, Ltd. 317,000 1,448,045
NGK Insulators, Ltd. 216,000 1,536,529
NGK Spark Plug Co., Ltd. 144,000 1,295,677
Nichicon Corp. 51,200 652,234
Nichirei Corp. 180,000 576,526
Nifco, Inc. 37,000 567,717
Nihon Unisys, Ltd. 69,100 512,213
Nippon Broadcasting System, Inc. 20,690 1,011,229
#Nippon Electric Glass Co., Ltd. 72,000 1,543,539
Nippon Kayaku Co., Ltd. 128,000 649,635
Nippon Meat Packers, Inc., Osaka 144,000 1,567,917
Nippon Mining Holdings, Inc. 370,000 1,708,854
Nippon Mitsubishi Oil Corp. 1,871,050 10,633,474
Nippon Paint Co., Ltd. 167,000 606,191
Nippon Sanso Corp. 30,000 137,311
Nippon Sheet Glass Co., Ltd. 280,000 926,729
Nippon Shinpan Co., Ltd. 191,000 651,818
Nippon Shokubai Co., Ltd. 163,000 1,193,958
Nippon Television Network Corp. 9,400 1,447,390
Nipponkoa Insurance Co., Ltd. 45,000 258,828
Nishimatsu Construction Co., Ltd. 364,000 1,236,106
Nishi-Nippon Bank, Ltd. 156,540 704,445
Nissay Dowa General Insurance
Co., Ltd. 383,000 1,924,261
Nisshin Seifun Group, Inc. 148,000 1,360,518
Nisshin Steel Co., Ltd. 627,000 1,264,556
Nisshinbo Industries, Inc. 305,000 2,021,246
#*Nissho Iwai-Nichmen Holdings Corp. 130,400 694,507
NSK, Ltd. 319,000 1,443,643
Obayashi Corp. 520,000 2,482,203
Ogaki Kyoritsu Bank, Ltd. 50,000 269,692
Oji Paper Co., Ltd. 275,000 1,749,298
Okumura Corp. 144,000 707,500
Onward Kashiyama Co., Ltd. 100,000 1,612,619
PanaHome Corp. 106,000 570,078
#Pioneer Electronic Corp. 60,000 1,537,866
Promise Co., Ltd. 60,500 3,976,827
Q.P. Corp. 109,600 892,411
#Rengo Co., Ltd. 152,000 683,988
*Resona Holdings, Inc. 1,873,000 $ 3,220,661
San In Godo Bank, Ltd. 110,000 864,336
Santen Pharmaceutical Co., Ltd. 52,000 757,478
#Sanwa Shutter Corp. 101,000 518,071
Sanyo Shinpan Finance Co., Ltd. 19,800 1,086,425
Sapporo Breweries, Ltd. 251,000 815,139
Sapporo Hokuyo Holdings, Inc. 224 1,172,121
Seino Transportation Co., Ltd. 193,000 1,835,299
Sekisui Chemical Co., Ltd. 557,000 4,109,695
Sekisui House, Ltd. 942,000 9,812,478
Seventy-seven (77) Bank, Ltd. 241,000 1,420,528
SFCG Co., Ltd. 8,010 1,404,972
Shiga Bank, Ltd. 272,000 1,349,621
Shikoku Bank, Ltd. 72,000 429,019
Shimachu Co., Ltd. 36,200 902,162
#Shimadzu Corp. 181,000 932,806
Shinko Securities Co., Ltd. 470,000 1,560,982
Shizuoka Bank, Ltd. 473,000 3,854,740
#Softbank Corp. 49,100 1,877,895
Sumitomo Bakelite Co., Ltd. 105,000 698,212
Sumitomo Corp. 471,000 3,633,702
Sumitomo Electric Industries, Ltd. 472,000 4,540,655
Sumitomo Forestry Co., Ltd. 139,000 1,431,249
Sumitomo Metal Industries, Ltd.
Osaka 1,481,000 1,661,464
Sumitomo Metal Mining Co., Ltd. 313,000 1,864,367
Sumitomo Osaka Cement Co., Ltd. 269,000 650,652
Sumitomo Realty & Development
Co., Ltd. 150,000 1,617,350
Sumitomo Rubber 43,000 357,718
Sumitomo Trust & Banking Co., Ltd. 21,000 129,088
Suruga Bank, Ltd. 87,000 574,425
Suzuken Co., Ltd. 54,000 1,685,214
Taiheiyo Cement Corp. 1,209,800 2,642,448
Taisei Corp. 1,325,000 4,413,188
Taiyo Yuden Co., Ltd. 72,000 1,038,264
Takara Standard Co., Ltd. 118,000 645,570
Takashimaya Co., Ltd. 214,000 2,357,203
#Takefuji Corp. 35,920 2,390,002
TDK Corp. 10,100 709,085
Teijin, Ltd. 893,000 2,884,554
Teikoku Oil Co., Ltd. 346,000 1,766,783
Toda Corp. 203,000 748,487
Toho Bank, Ltd. 254,000 1,010,175
Tokai Tokyo Securities Co., Ltd. 155,000 447,237
Tokuyama Corp. 248,000 1,060,197
Tokyo Broadcasting System, Inc. 113,500 2,013,658
#Tokyo Steel Manufacturing Co., Ltd. 97,800 1,390,966
Tokyo Style Co., Ltd. 133,000 1,504,229
#Tokyo Tatemono Co., Ltd. 143,000 691,014
Toppan Printing Co., Ltd. 441,000 5,366,365
Toray Industries, Inc. 620,000 2,854,071
Toshiba TEC Corp. 181,000 787,527
Tostem Inax Holding Corp. 160,000 3,278,680
Toto, Ltd. 247,000 2,654,223
#Toyo Ink Manufacturing Co., Ltd. 174,000 703,334
Toyo Seikan Kaisha, Ltd. 287,600 4,718,371
Toyo Suisan Kaisha, Ltd. 64,000 773,366
Toyota Auto Body Co., Ltd. 86,000 1,309,569
Toyota Industries Corp. 76,500 1,668,275
#Toyota Tsusho Corp. 314,000 2,881,419
</Table>
9
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
TV Asahi Corp. 202 $ 375,250
UNY Co., Ltd. 133,000 1,642,230
Wacoal Corp. 149,000 1,579,834
#Yamagata Bank, Ltd. 153,700 673,239
Yamaguchi Bank, Ltd. 133,000 1,355,800
Yamanashi Chuo Bank, Ltd. 119,000 588,331
Yamatake Corp. 20,000 194,318
Yamazaki Baking Co., Ltd. 155,000 1,436,047
Yokogawa Electric Corp. 337,000 4,360,631
Yokohama Rubber Co., Ltd. 410,000 1,508,010
York-Benimaru Co., Ltd. 29,300 838,751
-----------------
TOTAL COMMON STOCKS
(Cost $411,657,891) 425,533,004
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $20,787) 21,114
-----------------
TOTAL -- JAPAN
(Cost $411,678,678) 425,554,118
-----------------
FRANCE -- (8.5%)
COMMON STOCKS -- (8.5%)
#AGF (Assurances Generales de
France SA) 149,122 9,041,456
#Air France 143,423 2,346,271
Air Liquide SA 8,848 1,561,285
Alcan, Inc. 30,183 1,192,724
#*Alcatel SA 195,750 2,820,740
#*Alstom SA 185,169 212,840
Arcelor SA 167,800 2,815,999
AXA 634,106 13,042,808
BNP Paribas SA 549,686 33,602,499
Bongrain SA 7,145 480,617
*Cap Gemini SA 89,951 3,450,082
#*Club Mediterranee SA 8,962 379,658
#Compagnie de Saint-Gobain 288,912 14,553,997
Compagnie Francaise d'Etudes et de
Construction Technip SA 10,990 1,480,578
Credit Agricole SA 27,709 681,356
Eiffage SA 6,954 541,060
Esso SA 686 96,312
Euler-Hermes SA 10,354 571,483
*Eurafrance 18,000 1,106,386
#Faurecia SA 30,445 1,973,013
#Fimalac SA 46,887 1,832,765
Fonciere Lyonnaise SA 10,950 471,975
France Telecom SA 188,321 4,550,289
Generale des Establissements
Michelin SA Series B 107,620 5,258,360
Havas SA 300,744 1,596,520
Imerys SA 11,000 2,502,481
LaFarge SA 62,037 5,319,155
LaFarge SA Prime Fidelity 82,581 7,154,869
#Lagardere S.C.A. SA 10,900 665,814
*Nexans 9,618 315,866
#Peugeot SA 233,374 13,179,063
#Pinault Printemps Redoute SA 22,619 2,364,871
Rallye SA 18,020 912,719
#Remy Cointreau SA 56,022 $ 1,870,576
Renault SA 121,719 9,070,115
Rexel SA 10,713 442,555
*SA Des Galeries Lafayette 900 174,397
Schneider SA 63,451 4,274,219
*Scor SA 733,800 1,075,223
SEB SA Prime Fidelity 9,900 1,112,224
Societe BIC SA 52,288 2,268,319
#Societe des Ciments de Francais 28,600 2,223,571
Societe Generale, Paris 293,528 24,896,954
#Suez (ex Suez Lyonnaise des Eaux) 296,563 5,775,385
Thomson Multimedia 129,923 2,479,132
Valeo SA 73,528 2,984,104
Vallourec (Usines a Tubes de Lorraine
Escaut et Vallourec Reunies) 4,504 392,968
#*Veolia Environnement SA 25,700 687,796
*Vivendi Universal SA 403,364 10,293,783
-----------------
TOTAL COMMON STOCKS
(Cost $136,677,536) 208,097,232
-----------------
RIGHTS/WARRANTS -- (0.0%)
*Rallye SA Series B Warrants 11/30/05
(Cost $7,244) 18,020 3,759
-----------------
TOTAL -- FRANCE
(Cost $136,684,780) 208,100,991
-----------------
SWITZERLAND -- (6.1%)
COMMON STOCKS -- (6.1%)
*ABB, Ltd. 335,400 1,880,058
#Baloise-Holding 190,560 7,679,424
Bank Sarasin & Cie Series B, Basel 180 255,824
Banque Cantonale Vaudoise 12,608 1,387,080
#Berner Kantonalbank 23,400 2,779,455
*Ciba Spezialitaetenchemie Holding
AG 56,300 3,846,625
Cie Financiere Richemont AG
Series A 1,251,000 32,223,768
Clariant AG 19,200 265,074
Converium Holding AG 14,400 733,921
*Credit Swisse Group 128,200 4,410,505
*Fischer (Georg) AG, Schaffhausen 1,280 279,066
#Givaudan SA 3,952 2,113,439
#Helvetia Patria Holding 16,301 2,867,348
#Holcim, Ltd. 199,770 10,396,504
#Jelmoli Holding AG 500 625,759
#Luzerner Kantonalbank AG 14,627 2,337,061
#Pargesa Holding SA, Geneve 1,935 5,565,147
#PSP Swiss Property AG 109,600 3,822,181
#Rieters Holdings AG 7,860 1,993,377
Sig Holding AG 44,130 7,549,197
#*Sika Finanz AG, Baar 3,828 1,924,356
#St. Galler Kantonalbank 14,319 2,879,750
#*Swiss Life AG 124,240 15,660,232
Swiss Reinsurance Co., Zurich 18,800 1,167,036
*Syngenta AG 152,500 12,097,295
#*Unaxis Holding AG 45,400 5,141,601
#*Valiant Holding AG 39,295 3,270,942
#Valora Holding AG 12,170 2,881,408
</Table>
10
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*Zurich Financial SVCS AG 67,906 $ 10,684,280
-----------------
TOTAL COMMON STOCKS
(Cost $107,900,215) 148,717,713
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $1,007,353) 1,035,109
-----------------
TOTAL -- SWITZERLAND
(Cost $108,907,568) 149,752,822
-----------------
GERMANY -- (5.4%)
COMMON STOCKS -- (5.4%)
#Aachener und Muenchener
Beteiligungs AG 32,773 2,365,409
#Aareal Bank AG 22,825 773,722
Allianz AG 5,000 522,715
*Bankgesellschaft Berlin AG 233,550 569,824
BASF AG 386,050 19,783,712
Bayer AG 280,139 8,022,055
*Bayerische Vereinsbank AG 485,020 8,193,305
#BHW Holding AG 34,600 540,214
#Bilfinger & Berger Bau AG 23,702 779,430
Commerzbank AG 408,050 6,665,331
#DaimlerChrysler AG 219,282 9,759,496
#Deutsche Bank AG 359,305 28,283,407
Deutsche Lufthansa AG 319,477 4,587,451
E.ON AG 7,600 529,503
*Fraport AG 63,708 1,842,234
#Fresenius Medical Care AG 27,600 2,041,697
#*Heidelberger Druckmaschinen AG 38,167 1,209,797
Heidelberger Zement AG 64,373 2,835,953
#Hochtief AG 56,150 1,232,333
*Hypo Real Estate Holding AG 84,277 2,369,101
#IVG Immobilien AG 30,276 349,823
#Karstadt Quelle AG 30,734 634,785
#Linde AG 77,043 3,989,632
#MAN AG 88,000 3,250,554
Merck KGAA 36,000 2,007,356
MG Technologies AG 135,773 1,766,950
#Preussag AG 115,227 2,236,610
Salzgitter AG 13,041 154,880
SCA Hygiene Products AG 3,550 1,300,620
ThyssenKrupp AG 290,691 4,862,280
*Vattenfall Europe AG 94,898 2,955,912
Volkswagen AG 120,547 5,280,608
-----------------
TOTAL -- GERMANY
(Cost $125,815,346) 131,696,699
-----------------
AUSTRALIA -- (3.8%)
COMMON STOCKS -- (3.8%)
Amcor, Ltd. 126,820 587,802
AMP Limited 1,026,451 4,079,874
Ansell, Ltd. 303,463 1,708,852
APN News & Media, Ltd. 486,363 1,418,593
AWB, Ltd. 345,296 1,207,045
AXA Asia Pacific Holdings, Ltd. 2,837,724 6,872,505
BHP Steel Ltd. 1,252,100 5,536,152
Boral, Ltd. 899,150 3,760,136
Caltex Australia, Ltd. 440,369 2,714,191
Commonwealth Bank of Australia 48,696 $ 1,140,569
CSR, Ltd. 1,514,337 2,084,174
Downer Group, Ltd. 216,113 484,787
Futuris Corp., Ltd. 456,719 505,165
Insurance Australiz Group, Ltd. 1,428,272 4,641,130
#Lend Lease Corp., Ltd. 568,460 4,073,668
Lion Nathan, Ltd. 871,345 4,102,395
Mayne Group, Ltd. 1,280,958 2,736,434
Mirvac, Ltd. 1,140,163 3,452,949
Onesteel, Ltd. 436,697 700,279
Orica, Ltd. 352,900 3,685,332
Origin Energy, Ltd. 686,245 2,582,446
Paperlinx, Ltd. 727,704 2,526,782
Publishing and Broadcasting, Ltd. 579,260 5,098,686
#Quantas Airways, Ltd. 3,042,351 7,448,311
Rinker Group, Ltd. 1,155,484 6,177,109
Santos, Ltd. 953,246 4,610,445
#Seven Network, Ltd. 383,865 1,396,206
*Southcorp, Ltd. 1,146,542 2,585,702
*Stockland Trust Group 735 2,743
Stockland Trust Group 21,349 80,393
WMC Resources, Ltd. 1,760,061 5,798,458
-----------------
TOTAL COMMON STOCKS
(Cost $64,985,485) 93,799,313
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $23,400) 21,915
-----------------
TOTAL -- AUSTRALIA
(Cost $65,008,885) 93,821,228
-----------------
NETHERLANDS -- (3.8%)
COMMON STOCKS -- (3.8%)
ABN-AMRO Holding NV 676,189 14,402,913
Aegon NV 822,637 9,934,972
*Air France 18,150 294,780
AM NV 61,661 541,577
Buhrmann NV 94,439 899,882
DSM NV 78,837 3,893,093
#*Hagemeyer NV 342,825 734,022
*Hunter Douglas NV 34,696 1,617,050
ING Groep NV 1,552,333 35,065,385
*Koninklijke Ahold NV 411,500 3,219,002
Koninklijke KPN NV 278,922 2,028,813
Koninklijke Nedlloyd NV 12,142 370,285
Koninklijke Philips Electronics NV 405,906 11,086,373
New Skies Satellites NV 52,400 424,180
Nutreco Holding NV 23,646 726,902
NV Holdingsmij de Telegraaf 6,800 150,573
Oce NV 60,734 903,874
Vedior NV 46,388 691,658
*Versatel Telecom International NV 323,150 644,450
VNU NV 168,736 4,968,415
-----------------
TOTAL COMMON STOCKS
(Cost $60,608,176) 92,598,199
-----------------
RIGHTS/WARRANTS -- (0.0%)
*Air France Warrants 11/06/07 16,500 20,753
*AM NV Coupons 06/04/04 61,661 0
</Table>
11
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*ING Groep NV Coupons 06/17/05 1,552,333 $ 0
-----------------
TOTAL RIGHTS/WARRANTS
(Cost $21,343) 20,753
-----------------
TOTAL -- NETHERLANDS
(Cost $60,629,519) 92,618,952
-----------------
SPAIN -- (3.0%)
COMMON STOCKS -- (3.0%)
#Acerinox SA 65,340 3,580,706
#Arcelor SA 30,000 503,953
Autopistas Concesionaria Espanola
SA 905,074 15,258,004
Banco de Andalucia 900 79,548
Banco de Sabadell SA 154,021 3,170,801
#Banco Pastor SA 59,400 1,762,479
Cementos Portland SA 21,016 1,260,678
Corporacion Mapfre Compania
Internacional de Reaseguros SA 146,555 1,667,765
Ebro Puleva SA 116,168 1,416,324
Endesa SA, Madrid 308,964 5,703,723
#Gas Natural SA, Buenos Aires 21,400 511,286
#Iberdrola SA 535,000 10,793,336
#Iberia Lineas Aereas de Espana SA 617,500 1,773,522
Inmobiliaria Colonial SA ICSA 41,300 1,001,296
#Inmobiliaria Urbis SA 96,328 1,065,716
#Metrovacesa SA 109,351 4,190,161
Repsol SA 496,967 10,514,033
Sociedad General de Aguas de
Barcelona SA 107,683 1,793,055
*Sociedad General de Aguas de
Barcelona SA 737 12,366
#Sol Melia SA 142,463 1,226,953
Union Fenosa SA 230,000 4,906,580
#Vallehermoso SA 45,000 662,610
-----------------
TOTAL -- SPAIN
(Cost $44,543,185) 72,854,895
-----------------
ITALY -- (2.9%)
COMMON STOCKS -- (2.9%)
#*Alitalia Linee Aeree Italiane SpA
Series A 6,690,000 1,916,746
*Banca Antoniana Popolare Veneta
SpA 83,000 1,655,360
Banca Monte Dei Paschi di Siena
SpA 1,623,479 5,035,105
*Banca Nazionale del Lavoro SpA 1,652,352 3,462,165
#Banca Popolare di Lodi Scarl 374,206 3,428,369
#Banca Popolare di Milano 665,400 3,915,990
Banca Popolare Rights 57,990 531,109
#Benetton Group SpA 181,249 2,052,994
Buzzi Unicem SpA 67,793 891,483
#Caltagirone Editore SpA 222,304 1,692,017
Capitalia SpA 2,910,876 8,603,926
CIR SpA (Cie Industriale Riunite),
Torino 500,000 1,017,041
#Compagnia Assicuratrice Unipol SpA 452,120 1,764,618
#*E.Biscom SpA 16,000 930,834
#*Edison SpA 899,081 1,557,540
Erg SpA 295,000 1,855,359
Ericsson SpA 20,069 796,765
#*Fiat SpA 1,054,970 $ 7,472,748
#*IFIL Finanziaria Partecipazioni SpA 1,368,874 4,849,708
#Italcementi SpA 444,060 5,556,122
#Italmobiliare SpA, Milano 33,664 1,572,078
Manifattura Lane Gaetano
Marzotto & Figli SpA 5,573 63,806
Milano Assicurazioni SpA 182,000 685,056
#Pirelli & Co. SpA 1,486,658 1,525,436
#SAI SpA (Sta Assicuratrice
Industriale), Torino 167,605 3,728,705
San Paolo-IMI SpA 121,701 1,393,518
#Societe Cattolica di Assicurazoni
Scarl SpA 8,800 341,886
#Telecom Italia SpA 1,209,533 3,709,241
-----------------
TOTAL COMMON STOCKS
(Cost $77,211,453) 72,005,725
-----------------
RIGHTS/WARRANTS -- (0.0%)
*Fiat SpA Warrants 01/31/07
(Cost $0) 51,693 11,459
-----------------
TOTAL -- ITALY
(Cost $77,211,453) 72,017,184
-----------------
SWEDEN -- (2.2%)
COMMON STOCKS -- (2.2%)
*Ainax AB 40,367 1,133,020
#*Bostads AB Drott 28,050 504,168
Carbo AB 2,900 71,692
Castellum AB 4,100 96,709
#*Drott Series AB 131,600 1,840,563
Gambro AB Series A 451,900 4,076,681
Gambro AB Series B 129,800 1,153,281
Holmen AB Series A 6,300 189,771
Holmen AB Series B 120,100 3,442,765
NCC AB Series B 59,700 504,412
Nordic Baltic Holdings AB 372,600 2,524,914
Skandinaviska Enskilda Banken
Series A 196,000 2,826,139
Skandinaviska Enskilda Banken
Series C 9,800 137,446
SSAB Swedish Steel Series A 121,600 2,034,049
SSAB Swedish Steel Series B 37,700 610,193
Svenska Cellulosa AB Series A 19,000 735,884
Svenska Cellulosa AB Series B 194,900 7,552,395
Svenska Kullagerfabriken AB
Series A 22,650 819,199
Svenska Kullagerfabriken AB
Series B 29,700 1,083,585
#Telia AB 255,500 1,080,122
Trelleborg AB Series B 103,600 1,877,706
#Volvo AB Series A 212,100 6,614,231
#Volvo AB Series B 413,600 13,520,720
Whilborg Fastigheter AB Class B 35,800 466,127
-----------------
TOTAL -- SWEDEN
(Cost $42,136,221) 54,895,772
-----------------
FINLAND -- (1.5%)
COMMON STOCKS -- (1.5%)
Fortum Oyj 1,071,385 12,579,654
Huhtamaki Van Leer Oyj 2,300 30,179
</Table>
12
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
#Kemira Oyj 101,377 $ 1,280,469
Kesko Oyj 157,000 3,090,975
Metso Oyj 219,166 2,684,084
M-real Oyj Series B 253,400 2,156,183
Okobank Class A 65,000 646,379
Outokumpu Oyj Series A 351,300 5,322,314
Rautaruukki Oyj Series K 12,900 96,037
Stora Enso Oyj Series R 595,800 7,722,494
Upm-Kymmene Oyj 83,100 1,492,540
Wartsila Corp. Oyj Series B 39,600 808,722
-----------------
TOTAL -- FINLAND
(Cost $24,875,652) 37,910,030
-----------------
HONG KONG -- (1.5%)
COMMON STOCKS -- (1.5%)
Cheung Kong Holdings, Ltd. 162,000 1,216,764
China Overseas Land & Investment,
Ltd. 1,864,000 305,826
China Travel International Investment,
Ltd. 680,000 119,479
#Chinese Estates Holdings, Ltd. 44,000 23,378
Great Eagle Holdings, Ltd. 94,000 146,264
#Hang Lung Development Co., Ltd. 1,765,000 2,400,392
Hang Lung Properties, Ltd. 624,500 812,550
Henderson Land Development Co.,
Ltd. 123,000 529,967
Hong Kong and Shanghai Hotels,
Ltd. 225,500 130,054
Hopewell Holdings, Ltd. 906,000 1,575,933
Hutchison Whampoa, Ltd. 217,000 1,467,269
Hysan Development Co., Ltd. 1,434,699 2,309,173
I-Cable Communications, Ltd. 325,121 124,918
#Kerry Properties, Ltd. 1,610,884 2,606,259
New Asia Realty & Trust Co., Ltd. 140,000 52,872
New World Development Co., Ltd. 1,269,649 984,974
Shanghai Industrial Holdings Ltd. 545,000 1,010,000
#Shangri-La Asia, Ltd. 3,149,482 3,093,937
Shun Tak Holdings, Ltd. 134,000 54,545
#Sino Land Co., Ltd. 6,239,407 3,638,909
Tsim Sha Tsui Properties, Ltd. 472,000 575,844
Wharf Holdings, Ltd. 3,251,214 9,164,226
Wheelock and Co., Ltd. 3,128,000 3,748,765
-----------------
TOTAL COMMON STOCKS
(Cost $41,233,673) 36,092,298
-----------------
RIGHTS/WARRANTS -- (0.0%)
*China Travel International Investment,
Ltd. Warrants 05/31/06
(Cost $0) 136,000 0
-----------------
TOTAL -- HONG KONG
(Cost $41,233,673) 36,092,298
-----------------
IRELAND -- (1.1%)
COMMON STOCKS -- (1.1%)
Allied Irish Banks P.L.C. 141,102 1,998,999
Bank of Ireland P.L.C. 99,637 1,179,578
CRH P.L.C. 279,359 5,933,437
*Elan Corp. P.L.C. 690,634 16,309,681
Irish Permanent P.L.C. 186,115 $ 2,800,171
-----------------
TOTAL -- IRELAND
(Cost $12,849,099) 28,221,866
-----------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
Ackermans & Van Haaren SA 4,187 99,981
#Algemene Mij Voor Nijverheidskredit
Almanij 74,928 4,545,058
#Banque Nationale de Belgique 1,049 3,583,170
Bekaert SA 2,787 161,051
Cofinimmo SA 1,108 142,068
#*Delhaize Freres & cie le Lion SA
Molenbeek-Saint Jean 88,564 4,140,848
#Dexia SA 87,003 1,456,158
D'Ieteren SA 431 85,797
Groupe Bruxelles Lambert 55,500 3,428,987
*ING Bank Belgium NV 128 4
Nationale a Portefeuille 4,029 568,411
Sofina SA 10,500 529,160
#Suez (ex Suez Lyonnaise des Eaux) 95,400 1,850,319
#Tessenderlo Chemie 31,155 1,090,587
#*Umicore-Strip VVPR 2,009 367
Union Miniere SA 54,327 3,298,083
-----------------
TOTAL COMMON STOCKS
(Cost $21,735,276) 24,980,049
-----------------
RIGHTS/WARRANTS -- (0.0%)
*Cofinimmo SA Rights 06/11/04
(Cost $0) 1,108 0
-----------------
TOTAL -- BELGIUM
(Cost $21,735,276) 24,980,049
-----------------
DENMARK -- (0.9%)
COMMON STOCKS -- (0.9%)
Carlsberg A.S. Series B 32,525 1,591,566
Codan A.S. 28,400 1,190,252
Danisco A.S. 29,530 1,399,523
Danske Bank A.S. 395,753 8,998,165
*Jyske Bank A.S. 22,300 1,175,746
Nordea AB 475,918 3,245,559
Rockwool, Ltd. 6,850 281,287
Tele Danmark A.S. 99,350 3,351,691
-----------------
TOTAL -- DENMARK
(Cost $14,826,540) 21,233,789
-----------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
DBS Group Holdings, Ltd. 357,000 2,954,705
Fraser & Neave, Ltd. 507,290 4,023,360
Haw Par Brothers International, Ltd. 2,698 7,409
Keppel Corp., Ltd. 855,000 3,343,117
#Neptune Orient Lines, Ltd. 801,000 1,009,059
Overseas Chinese Banking Corp.,
Ltd. 94,000 662,427
Sembcorp Industries, Ltd. 400,000 338,608
Singapore Airlines, Ltd. 617,000 3,810,654
Singapore Land, Ltd. 133,000 301,943
United Overseas Bank, Ltd. 66,000 503,724
</Table>
13
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
#United Overseas Land, Ltd. 259,000 $ 344,575
-----------------
TOTAL COMMON STOCKS
(Cost $13,210,685) 17,299,581
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $7,704) 7,821
-----------------
TOTAL -- SINGAPORE
(Cost $13,218,389) 17,307,402
-----------------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
*Aker Kvaerner ASA 46,100 736,061
Den Norske Bank ASA Series A 606,394 3,847,441
Norsk Hydro ASA 16,700 1,036,330
Norske Skogindustrier ASA Series A 163,300 2,722,389
#Storebrand ASA 201,500 1,353,445
*Yara International ASA 16,700 123,919
-----------------
TOTAL -- NORWAY
(Cost $8,187,301) 9,819,585
-----------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
*Agricultural Bank of Greece S.A. 123,600 860,524
Alpha Credit Bank 35,040 916,728
Bank of Greece 8,520 900,526
Bank of Piraeus S.A. 4,600 53,590
Commercial Bank of Greece 44,760 1,185,010
EFG Eurobank Ergasias S.A. 60,097 1,337,660
Hellenic Petroleum S.A. 159,140 1,216,321
Hellenic Tellecommunication
Organization Co. S.A. 140,460 1,845,612
Intracom S.A. 92,390 464,799
National Bank of Greece 15,520 467,402
-----------------
TOTAL -- GREECE
(Cost $7,870,638) 9,248,172
-----------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Comercial Portugues SA 195,400 452,850
BPI SGPS SA 202,800 739,958
Cimpor Cimentos de Portugal SA 503,265 2,640,397
Portucel-Empresa Produtora de
Pasta de Papel SA 1,442,478 2,429,895
-----------------
TOTAL -- PORTUGAL
(Cost $5,351,923) 6,263,100
-----------------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
Bohler Uddeholm AG 6,402 488,199
OMV AG 5,913 1,036,949
Voestalpine AG 62,211 2,775,952
Wienerberger AG 16,123 546,392
-----------------
TOTAL -- AUSTRIA
(Cost $3,477,881) 4,847,492
-----------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 99,828 $ 421,080
Carter Holt Harvey, Ltd. 2,429,700 2,991,974
Fletcher Building, Ltd. 171,130 474,829
-----------------
TOTAL COMMON STOCKS
(Cost $3,707,347) 3,887,883
-----------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $6,846) 6,639
-----------------
TOTAL -- NEW ZEALAND
(Cost $3,714,193) 3,894,522
-----------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
*Rekapacific Berhad 691,000 0
-----------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency
(Cost $881,605) 886,023
-----------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (19.3%)
Repurchase Agreement, PNC Capital Markets, Inc. 0.89%,
06/01/04 (Collateralized by $31,615,000 FMC Discount
Notes 1.13%, 08/12/04, valued at $31,535,963) to be
repurchased at $31,071,072 (Cost $31,068,000) $ 31,068 31,068,000
Repurchase Agreement, Deutsche Bank Securities 1.00%,
06/01/04 (Collateralized by $534,822,356 U.S. Treasury
Obligations rates ranging from 7.50% to 8.75%,
maturities ranging from 11/15/16 to 08/15/20, valued at
$660,863,438) to be repurchased at $442,051,058
(Cost $442,001,947)^ 442,002 442,001,947
-----------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $473,069,947) 473,069,947
-----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,082,684,554)++ $ 2,449,898,522
=================
</Table>
- ----------
+ See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
^ Security purchased with cash proceeds from securities on loan.
++ The cost for federal income tax purposes is $2,082,875,007.
See accompanying Notes to Financial Statements.
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $419,174 of securities on loan) $ 2,449,899
Cash 15
Receivables:
Investment Securities Sold 3,463
Dividends, Interest and Tax Reclaims 8,315
Fund Shares Sold 812
Securities Lending Income 371
Prepaid Expenses and Other Assets 13
--------------
Total Assets 2,462,888
--------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 442,002
Investment Securities Purchased 3,476
Fund Shares Redeemed 335
Due to Advisor 324
Accrued Expenses and Other Liabilities 219
--------------
Total Liabilities 446,356
--------------
NET ASSETS $ 2,016,532
==============
SHARES OUTSTANDING, $.01 PAR VALUE
(Unlimited Number of Shares Authorized) 144,560,171
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 13.95
==============
Investments at Cost $ 2,082,685
==============
NET ASSETS CONSIST OF:
Paid-in Capital $ 1,583,131
Accumulated Net Investment Income (Loss) 19,141
Accumulated Net Realized Gain (Loss) 47,022
Accumulated Net Realized Foreign Exchange Gain (Loss) 4
Unrealized Appreciation (Depreciation) from Investment Securities and Foreign Currency 367,214
Unrealized Net Foreign Exchange Gain (Loss) 20
--------------
Total Net Assets $ 2,016,532
==============
</Table>
See accompanying Notes to Financial Statements.
15
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $3,065) $ 27,015
Interest 115
Income from Securities Lending 1,369
--------------
Total Investment Income 28,499
--------------
EXPENSES
Investment Advisory Services 1,881
Accounting & Transfer Agent Fees 483
Custodian Fees 290
Legal Fees 6
Audit Fees 7
Shareholders' Reports 11
Trustees' Fees and Expenses 4
Other 27
--------------
Total Expenses 2,709
--------------
NET INVESTMENT INCOME (LOSS) 25,790
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 50,698
Net Realized Gain (Loss) on Foreign Currency Transactions 4
Change in Unrealized Appreciation (Depreciation) of Investment Securities and
Foreign Currency 134,458
Translation of Foreign Currency Denominated Amounts (180)
--------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 184,980
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 210,770
==============
</Table>
See accompanying Notes to Financial Statements.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31 NOV. 30,
2004 2003
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 25,790 $ 31,730
Net Realized Gain (Loss) on Investment Securities Sold 50,698 (3,540)
Net Realized Gain (Loss) on Foreign Currency Transactions 4 205
Change in Unrealized Appreciation (Depreciation) of Investment Securities and
Foreign Currency 134,458 379,196
Translation of Foreign Currency Denominated Amounts (180) 114
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 210,770 407,705
------------ ------------
Distributions From:
Net Investment Income (7,625) (30,082)
Net Short-Term Gains -- --
Net Long-Term Gains -- (1,177)
------------ ------------
Total Distributions (7,625) (31,259
------------ ------------
Capital Share Transactions (1):
Shares Issued 292,065 542,740
Shares Issued in Lieu of Cash Distributions 7,625 31,258
Shares Redeemed (91,081) (471,133)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 208,609 102,865
------------ ------------
Total Increase (Decrease) 411,754 479,311
------------ ------------
NET ASSETS
Beginning of Period 1,604,778 1,125,467
------------ ------------
End of Period $ 2,016,532 $ 1,604,778
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 21,290 53,795
Shares Issued in Lieu of Cash Distributions 583 2,986
Shares Redeemed (6,742) (47,941)
------------ ------------
15,131 8,840
============ ============
</Table>
See accompanying Notes to Financial Statements.
17
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2004 2003 2002
------------- ------------- -------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 12.40 $ 9.33 $ 10.15
------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.18 0.27 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.43 3.06 (0.78)
------------- ------------- -------------
Total from Investment Operations 1.61 3.33 (0.54)
------------- ------------- -------------
LESS DISTRIBUTIONS
Net Investment Income (0.06) (0.25) (0.25)
Net Realized Gains -- (0.01) (0.03)
------------- ------------- -------------
Total Distributions (0.06) (0.26) (0.28)
------------- ------------- -------------
Net Asset Value, End of Period $ 13.95 $ 12.40 $ 9.33
============= ============= =============
Total Return 13.00%# 36.24% (5.53)%
Net Assets, End of Period (thousands) $ 2,016,532 $ 1,604,778 $ 1,125,467
Ratio of Expenses to Average Net Assets 0.29%* 0.30% 0.30%
Ratio of Net Investment Income to
Average Net Assets 2.74%* 2.61% 2.36%
Portfolio Turnover Rate 5%# 14% 18%
<Caption>
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2001 2000 1999
------------- ------------- -------------
Net Asset Value, Beginning of Period $ 12.07 $ 13.18 $ 11.95
------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.27 0.28
Net Gains (Losses) on Securities
(Realized and Unrealized) (1.49) (0.31) 1.29
------------- ------------- -------------
Total from Investment Operations (1.22) (0.04) 1.57
------------- ------------- -------------
LESS DISTRIBUTIONS
Net Investment Income (0.27) (0.26) (0.31)
Net Realized Gains (0.43) (0.81) (0.03)
------------- ------------- -------------
Total Distributions (0.70) (1.07) (0.34)
------------- ------------- -------------
Net Asset Value, End of Period $ 10.15 $ 12.07 $ 13.18
============= ============= =============
Total Return (10.75)% (0.51)% 13.27%
Net Assets, End of Period (thousands) $ 1,208,100 $ 1,553,481 $ 1,660,377
Ratio of Expenses to Average Net Assets 0.29% 0.29% 0.29%
Ratio of Net Investment Income to
Average Net Assets 2.32% 2.13% 2.17%
Portfolio Turnover Rate 6% 9% 6%
</Table>
- ----------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
18
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The DFA International Value Series
(the "Series") is 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. 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: Securities held by the Series which are listed on a
securities exchange are valued at the last quoted sale price. Price information
on listed securities is taken from the exchange where the security is primarily
traded. Unlisted securities for which market quotations are readily available
are valued at the mean between the quoted bid and asked prices. Securities for
which quotations are not readily available, or for which market quotations have
become unreliable, are valued in good faith at fair value using methods approved
by the Board of Trustees.
The Series will also apply a fair value price in the circumstances
described below. Generally, trading in foreign securities markets is completed
each day at various times prior to the close of the New York Stock Exchange
(NYSE). For example, trading in the Japanese securities markets is completed
each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT),
which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT)
and the time that the net asset values of the Series is computed. Due to the
time differences between the closings of the relevant foreign securities
exchanges and the time the Series prices its shares at the close of the NYSE,
the Series will fair value its foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the Series'
foreign investments since the last closing prices of the foreign investments
were calculated on their primary foreign securities markets or exchanges. For
these purposes, the Board of Trustees of the Trust has determined that movements
in relevant indices or other appropriate market indicators, after the close of
the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable, and may trigger fair value pricing. Consequently,
fair valuation of portfolio securities may occur on a daily basis. The fair
value pricing by the Trust utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values of
foreign investments). The fair value prices of portfolio securities generally
will be used when it is determined that the use of such prices will have a
material impact on the net asset value of a Series. When a Series uses fair
value pricing, the values assigned to the Series' foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges.
19
<Page>
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates. Exchange gains or losses
are realized upon ultimate receipt or disbursement.
The Series does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest
dividends and foreign withholding taxes recorded on the books of the Series and
the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Trustees' Fees and
Expenses. At May 31, 2004, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities in the amount of
$26,286.
4. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 28, 2004.
5. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the United
States, including the possibility of future political and economic developments
and the level of foreign government supervision and regulation of foreign
securities markets. These markets are generally smaller, less liquid and more
volatile than the major securities markets in the United States. Consequently,
acquisition and disposition of securities by the Series may be inhibited.
6. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Trustees, generally based on average net
assets.
The Series may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers exiting or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Series accrue
such taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income, capital
or the proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.
20
<Page>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2004, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of average daily net
assets.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 315,813
Sales 92,912
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2004.
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series intends
to continue to qualify as a regulated investment company under Subchapter M of
the Internal Revenue Code and distribute substantially all of its taxable income
and capital gains to shareholders. Because income tax regulations differ from
accounting principles generally accepted in the United States of America, the
timing and character of income and capital gain distributions determined in
accordance with tax regulations can differ from income and capital gains
recognized for financial reporting purposes. Accordingly, the character of
distributions and the composition of net assets for tax purposes can differ from
those reflected in the financial statements. These book/tax differences may be
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid in capital, accumulated net realized gain
(loss) or undistributed net investment income as appropriate, in the period the
differences arise. These reclassifications have no effect on net assets or net
asset value per share.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Statement of Assets and Liabilities.
At May 31, 2004, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities and foreign currencies was as
follows (amounts in thousands):
<Table>
Gross Unrealized Appreciation $ 474,540
Gross Unrealized Depreciation (107,516)
-----------
Net $ 367,024
===========
</Table>
For federal income tax purposes, the Trust measures its capital loss
carryfowards annually at November 30, its fiscal year end. As of November 30,
2003, the Series had a capital loss carryforward of approximately $3,507,000
which expires on November 30, 2011.
Certain of the DFA International Value Series' investments are in
securities considered to be "passive foreign investment companies", for which
any unrealized appreciation (depreciation) (mark to market) and/or realized
gains are required to be included in distributable net investment income for tax
purposes. At November 30, 2003, The Series had unrealized
appreciation/depreciation (mark to market) and realized gains on the sale of
passive foreign investment companies of $3,502,361 and $7,718,955 respectively,
which are included in distributable net investment income for tax purposes,
accordingly, such gains have been reclassified from accumulated net realized
gains to accumulated net investment income.
21
<Page>
F. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each series is permitted to borrow, subject to
its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each series is individually, and not jointly liable
for its particular advances under the line of credit. There is no commitment fee
on the unused portion of the line of credit, since this is not a committed
facility. The agreement for the discretionary line of credit may be terminated
at any time. There were no borrowings by the Series under the line of credit for
the six months ended May 31, 2004.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement for the line of credit expires in April
2005. There were no borrowings by the Series under the line of credit during the
six months ended May 31, 2004.
G. SECURITIES LENDING:
As of May 31, 2004, some of the Series' 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.
Cash collateral of each Portfolio received from securities on loan is
invested along with cash collateral from the other Portfolios of the Series in
repurchase agreements collateralized by U.S. government securities. These
investments are accounted for separately for each Portfolio. Securities pledged
as collateral for the repurchase agreements are held by a custodian bank until
the agreements mature.
22
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the non-Feeder Portfolios
and Master Funds use in voting proxies relating to securities held in their
portfolio's is available without charge, upon request, by calling collect: (310)
395-8005. Information regarding how the Advisor votes these proxies will become
available from the EDGAR database on the SEC's website at http://www.sec.gov no
later than August 31, 2004 when the Funds file their first report on Form N-PX
and will reflect the twelve-month period beginning July 1, 2003 and ending June
30, 2004.
23
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2004
(UNAUDITED)
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
------
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities 1
Statement of Operations 2
Statements of Changes in Net Assets 3
Financial Highlights 4
Notes to Financial Statements 5
THE DFA INVESTMENT TRUST COMPANY -- THE DFA INTERNATIONAL VALUE SERIES
Schedule of Investments 7
Statement of Assets and Liabilities 15
Statement of Operations 16
Statements of Changes in Net Assets 17
Financial Highlights 18
Notes to Financial Statements 19
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 23
</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>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The DFA International Value Series of The DFA Investment
Trust Company (10,624,092 Shares, Cost $98,984)++ at Value+ $ 148,206
Receivable for Fund Shares Sold 339
Prepaid Expenses and Other Assets 13
--------------
Total Assets 148,558
--------------
LIABILITIES:
Payables:
Investment Securities Purchased 339
Due to Advisor 7
Accrued Expenses and Other Liabilities 24
--------------
Total Liabilities 370
--------------
NET ASSETS $ 148,188
==============
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000) 13,386,081
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 11.07
==============
NET ASSETS CONSIST OF:
Paid-in Capital $ 128,943
Accumulated Net Investment Income (Loss) 57
Accumulated Net Realized Gain (Loss) (30,034)
Unrealized Appreciation (Depreciation) from Investment Securities 49,222
--------------
Total Net Assets $ 148,188
==============
</Table>
- ----------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $129,085.
See accompanying Notes to Financial Statements.
1
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 574
--------------
EXPENSES
Administrative Services 40
Accounting & Transfer Agent Fees 3
Legal Fees 3
Audit Fees 1
Filing Fees 8
Shareholders' Reports 7
--------------
Total Expenses 62
--------------
NET INVESTMENT INCOME (LOSS) 512
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold (454)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 15,525
NET GAIN (LOSS) ON INVESTMENT SECURITIES 15,071
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 15,583
==============
</Table>
See accompanying Notes to Financial Statements.
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2004 2003
-------------- --------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 512 $ 2,143
Capital Gain Distributions Received from The DFA Investment Trust Company -- 88
Net Realized Gain (Loss) on Investment Securities Sold (454) (8,925)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 15,525 40,015
-------------- --------------
Net Increase (Decrease) in Net Assets Resulting from Operations 15,583 33,321
-------------- --------------
Distributions From:
Net Investment Income (2,598) --
Net Short-Term Gains (2,109) --
Net Long-Term Gains (88) --
-------------- --------------
Total Distributions (4,795) --
-------------- --------------
Capital Share Transactions (1):
Shares Issued 55,245 254,025
Shares Issued in Lieu of Cash Distributions 4,795 --
Shares Redeemed (42,732) (251,657)
-------------- --------------
Net Increase (Decrease) from Capital Share Transactions 17,308 2,368
-------------- --------------
Total Increase (Decrease) 28,096 35,689
NET ASSETS
Beginning of Period 120,092 84,403
-------------- --------------
End of Period $ 148,188 $ 120,092
============== ==============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 5,069 31,203
Shares Issued in Lieu of Cash Distributions 469 --
Shares Redeemed (3,941) (30,688)
-------------- --------------
1,597 515
============== ==============
</Table>
See accompanying Notes to Financial Statements.
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV.30, NOV.30, NOV.30, NOV.30, NOV.30,
2004 2003 2002 2001 2000 1999
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.19 $ 7.49 $ 8.45 $ 10.90 $ 11.19 $ 10.07
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) (0.02) 0.18 0.19 0.21 0.20 0.30
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.26 2.52 (0.65) (1.20) (0.22) 1.04
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 1.28 2.70 (0.46) (0.99) (0.02) 1.34
----------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income (0.22) -- (0.20) (0.27) (0.22) (0.22)
Net Realized Gains (0.18) -- (0.30) (1.19) (0.05) --
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.40) -- (0.50) (1.46) (0.27) (0.22)
----------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period $ 11.07 $ 10.19 $ 7.49 $ 8.45 $ 10.90 $ 11.19
=========== ========== ========== ========== ========== ==========
Total Return 12.91%# 36.05% (5.66)% (10.80)% (0.24)% 13.58%
Net Assets, End of Period (thousands) $ 148,188 $ 120,092 $ 84,403 $ 86,341 $ 96,607 $ 121,276
Ratio of Expenses to Average Net
Assets (1) 0.38%* 0.43% 0.45% 0.44% 0.41%(a) 0.41%(a)
Ratio of Net Investment Income to
Average Net Assets 0.72%* 2.28% 2.38% 2.22% 1.97%(a) 2.32%(a)
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series 5%# 14% 18% 6% 9% 6%
</Table>
- ----------
* Annualized.
# Non-annualized.
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
(a) The plan's sponsor has voluntarily contributed to the Portfolio an amount
equal to that portion of the aggregate fees and expenses incurred by the
Portfolio relating to the plan's investment.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twenty-five portfolios, of
which the DFA International Value Portfolio IV (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 2004, the Portfolio owned 7% of the outstanding shares of
the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in the preparation of its
financial statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America may
require management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates and those differences could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At May 31, 2004, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $1,994.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio or to the Series are directly charged.
Common expenses of the Fund or Portfolios are allocated using methods approved
by the Board of Directors, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2004, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of the first $40 million
of average net assets.
5
<Page>
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
Each sponsor of a benefit plan which invests in the Portfolio has agreed
to make a voluntary monthly contribution to the Portfolio in an amount equal to
that portion of the aggregate fees and expenses incurred by the Portfolio
relating to the benefit plan's investment. Such contributions are made in
accordance with the sponsor's practice of bearing the expenses of administering
the benefit plan's investments and are recorded as an addition to paid-in
capital.
Effective January 1, 2001, the sponsors of the benefit plans which invest
in the Portfolio ceased making voluntary monthly contributions to the Portfolio
for the portion of the fees and expenses incurred by the Portfolio relating to
the benefit plan's investment.
D. FEDERAL INCOME TAXES:
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
Statement of Assets and Liabilities.
As of May 31, 2004, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities was as follows (amounts in
thousands):
<Table>
Gross Unrealized Appreciation $ 49,222
Gross Unrealized Depreciation (30,101)
----------
Net $ 19,121
==========
</Table>
E. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated at any time. There were no borrowings under the discretionary line of
credit by the Portfolio during the six months ended May 31, 2004.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement of the line of credit expires in April
2005. There were no borrowings by the Portfolio under the line of credit with
the international custodian bank during the six months ended May 31, 2004.
6
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2004
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
UNITED KINGDOM -- (19.4%)
COMMON STOCKS -- (19.4%)
Abbey National P.L.C. 841,876 $ 6,930,244
Aggregate Industries P.L.C. 1,926,365 2,976,832
Alliance & Leicester P.L.C. 348,000 5,264,654
Allied Domecq P.L.C. 621,994 5,172,552
Amvescap P.L.C. 225,900 1,515,531
Arriva P.L.C. 231,050 1,651,789
Associated British Foods P.L.C. 990,462 11,631,581
Associated British Ports Holdings P.L.C. 378,800 3,037,599
Aviva P.L.C. 2,582,930 25,216,998
*AWG P.L.C. 76,018 855,780
BAA P.L.C. 1,576,251 15,724,547
BAE Systems P.L.C. 2,599,132 9,806,062
Barratt Developments P.L.C. 338,959 3,566,453
BBA Group P.L.C. 679,855 3,165,960
Bellway P.L.C. 38,000 526,004
Berkeley Group P.L.C. 228,802 3,866,438
BG Group P.L.C. 1,408,548 8,581,102
BOC Group P.L.C. 82,135 1,341,431
Bovis Homes Group P.L.C. 132,000 1,237,365
BPB P.L.C. 458,500 3,269,374
Bradford & Bingley P.L.C. 80,259 408,850
Brambles Industries P.L.C. 272,000 1,056,902
Britannic P.L.C. 278,864 1,761,482
*British Airways P.L.C. 1,839,331 8,547,965
British Land Co. P.L.C. 857,882 10,539,837
British Vita P.L.C. 286,388 1,352,407
Brixton P.L.C. 359,333 1,911,806
*Cable and Wireless P.L.C. 3,512,914 7,943,057
*Canary Wharf Group P.L.C. 847,200 4,598,296
Carnival P.L.C. 156,448 7,021,173
*Colt Telecom Group P.L.C. 2,561,000 3,945,288
*Corus Group P.L.C. 6,312,988 3,913,405
Derwent Valley Holdings P.L.C. 49,351 756,218
DeVere Group P.L.C. 85,228 688,195
*Dimension Data Holdings P.L.C. 1,006,000 564,232
Dixons Group P.L.C. 333,402 931,182
*Duelguide Units P.L.C. 36,010 355,069
*Easyjet P.L.C. 294,025 1,073,156
FKI P.L.C. 856,795 1,741,838
Friends Provident P.L.C. 2,272,618 5,760,483
Galen Holdings P.L.C. 319,000 4,237,385
Great Portland Estates P.L.C. 299,155 1,440,093
Great Universal Stores P.L.C. 258,182 3,843,651
Greene King P.L.C. 105,263 1,757,735
Hammerson P.L.C. 468,800 5,815,111
Hanson P.L.C. 963,671 7,358,895
HBOS P.L.C. 14,538 190,478
*HHG P.L.C. 842,619 664,307
Hilton Group P.L.C. 2,619,960 12,744,959
IMI P.L.C. 24,000 161,845
Intercontinental Hotels Group P.L.C. 968,773 9,286,691
*International Power P.L.C. 1,898,700 5,056,603
ITV P.L.C. 1,551,881 3,378,787
Johnson Matthey P.L.C. 43,250 $ 702,953
Kelda Group P.L.C. 161,510 1,456,483
Kesa Electricals P.L.C. 9,781 50,996
#Kingfisher P.L.C. 651,215 3,413,664
Land Securities Group P.L.C. 78,654 1,686,004
Liberty International P.L.C. 469,345 6,367,535
Logicacmg P.L.C. 586,400 2,012,631
London Merchant Securities P.L.C. 358,862 1,139,502
Marks & Spencer Group P.L.C. 1,197,239 7,890,393
Mersey Docks & Harbour Co. P.L.C. 115,042 1,455,763
MFI Furniture Group P.L.C. 66,600 182,435
Millennium and Copthorne Hotels P.L.C. 489,930 2,843,510
Mitchells & Butlers P.L.C. 630,549 2,997,502
*MM02 P.L.C. 8,760,348 15,678,806
Morrison (Wm.) Supermarkets P.L.C. 1,582,672 6,627,064
Novar P.L.C. 571,338 1,309,149
Pearson P.L.C. 246,039 2,994,860
Peninsular & Oriental Steam Navigation P.L.C. 1,086,433 4,270,957
Pennon Group P.L.C. 56,524 763,276
Persimmon P.L.C. 271,811 2,994,022
Pilkington P.L.C. 2,184,617 3,621,628
Pillar Property P.L.C. 159,913 1,641,266
*Premier Oil P.L.C. 119,812 1,165,426
Quintain Estates & Development P.L.C. 100,000 729,199
Rio Tinto P.L.C. 83,136 2,000,590
RMC Group P.L.C. 401,000 4,035,580
Rolls Royce Group P.L.C. 2,686,097 11,122,171
*Rolls Royce Group P.L.C. 134,304,850 246,241
Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,450,701
Royal Bank of Scotland Group P.L.C. 212,693 6,428,725
Sabmiller P.L.C. 192,609 2,327,665
#Sainsbury (J.) P.L.C. 2,864,609 14,300,152
Scottish & Newcastle P.L.C. 959,905 7,508,053
Scottish Power P.L.C. 915,215 6,635,236
Severn Trent P.L.C. 210,597 3,118,962
*Shire Pharmaceuticals Group P.L.C. 683,427 6,208,647
Singer & Friedlander Group P.L.C. 253,818 1,093,881
Slough Estates P.L.C. 706,900 5,564,664
Smith (David S.) Holdings P.L.C. 547,941 1,567,369
Smith (W.H.) P.L.C. 299,537 1,965,244
Somerfield P.L.C. 738,068 1,939,982
Stagecoach Holdings P.L.C. 1,557,000 2,341,002
Stanley Leisure Organisation P.L.C. 186,760 1,606,028
Tate & Lyle P.L.C. 660,070 3,655,181
Taylor Woodrow P.L.C. 973,675 4,528,444
Tesco P.L.C. 1,560,816 7,123,961
The Big Food Group P.L.C. 505,408 928,373
*Thus Group P.L.C. 1,956,555 933,783
Trinity Mirror P.L.C. 495,640 5,638,934
United Business Media P.L.C. 237,262 1,923,758
United Utilities P.L.C. 265,595 2,642,143
Vodafone Group P.L.C. 13,873,752 32,699,074
</Table>
7
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Westbury P.L.C. 162,025 $ 1,272,549
Whitbread P.L.C. 511,290 7,496,474
Wilson Bowden P.L.C. 105,900 2,010,789
Wimpey (George) P.L.C. 446,968 3,018,363
Wolverhampton & Dudley Breweries P.L.C. 107,366 1,616,965
Woolworths Group P.L.C. 2,074,511 1,684,586
----------------
TOTAL COMMON STOCKS
(Cost $377,656,054) 474,774,971
----------------
INVESTMENT IN CURRENCY --(0.0%)
*British Pound Sterling
(Cost $35,295) 36,615
----------------
TOTAL UNITED KINGDOM
(Cost $377,691,349) 474,811,586
----------------
JAPAN -- (17.4%)
COMMON STOCKS -- (17.4%)
Acom Co., Ltd. 14,600 979,025
#Aichi Steel Corp. 120,000 493,526
AIOI Insurance Co., Ltd. 928,735 4,040,680
Aisin Seiki Co., Ltd. 182,500 3,383,738
Akita Bank, Ltd. 115,000 452,538
#Alpine Electronics, Inc. 36,800 471,467
Amada Co., Ltd. 376,000 2,138,762
#Anritsu Corp. 67,000 419,610
Aoyama Trading Co., Ltd. 47,700 1,108,318
Asahi Breweries, Ltd. 173,000 1,823,313
Asahi Kasei Corp. 289,000 1,422,289
Asatsu-Dk, Inc. 32,500 840,095
Autobacs Seven Co., Ltd. 23,700 669,145
Awa Bank, Ltd. 196,600 1,129,190
Bank of Iwate, Ltd. 15,300 677,599
#Bank of Kyoto, Ltd. 347,400 2,290,876
Bank of Nagoya, Ltd. 185,000 933,192
Benesse Corp. 6,500 197,550
Canon Sales Co., Inc. 124,900 1,586,967
Chiba Bank, Ltd. 941,000 5,415,152
Chudenko Corp. 41,100 707,233
Chugoku Bank, Ltd. 238,800 2,413,869
Citizen Watch Co., Ltd. 318,000 3,323,532
Coca-Cola West Japan Co., Ltd. 58,400 1,409,917
Comsys Holdings Corp. 92,000 682,561
#Cosmo Oil Co., Ltd. 764,000 1,867,757
Dai Nippon Ink & Chemicals, Inc. 459,000 1,042,492
Dai Nippon Pharmaceutical Co., Ltd. 106,000 803,341
Dai Nippon Printing Co., Ltd. 144,000 2,202,431
#Daicel Chemical Industries, Ltd. 485,000 2,108,669
Daido Steel Co., Ltd. 274,000 657,436
Daihatsu Motor Co., Ltd. 258,000 1,517,061
Daishi Bank, Ltd. 355,000 1,219,314
Daiwa House Industry Co., Ltd. 663,000 7,484,763
Denso Corp. 22,500 482,857
#Ebara Corp. 173,000 778,135
#Ezaki Glico Co., Ltd. 174,600 1,241,437
Fuji Electric Co., Ltd. 525,780 1,293,228
Fuji Fire & Marine Insurance Co., Ltd. 297,000 692,913
Fuji Heavy Industries 493,000 2,430,726
Fuji Oil Co., Ltd. 55,200 643,650
Fuji Photo Film Co., Ltd. 355,000 $ 10,551,760
Fujikura, Ltd. 241,000 1,153,558
Fujitsu, Ltd. 286,000 1,931,493
Fukui Bank, Ltd. 343,000 1,359,737
#Fukuoka Bank, Ltd. 400,000 2,071,477
#Fukuyama Transporting Co., Ltd. 266,000 1,211,601
*Furukawa Electric Co., Ltd. 380,000 1,411,648
Futaba Corp. 16,000 419,581
Futaba Industrial Co., Ltd. 44,100 682,343
#Glory, Ltd. 46,800 662,790
Gunma Bank, Ltd. 323,000 1,486,093
Gunze, Ltd. 148,000 706,135
Hachijuni Bank, Ltd. 344,000 2,056,852
#*Hankyu Corp. 174,000 670,625
#Hanshin Electric Railway Co., Ltd. 216,000 701,147
Heiwa Corp 81,500 1,221,706
Higo Bank, Ltd. 308,000 1,769,064
Hitachi Cable, Ltd. 236,000 1,060,267
Hitachi Maxell, Ltd. 96,000 1,407,726
Hitachi Metals, Ltd. 360,000 1,719,080
Hitachi, Ltd. 3,734,000 25,589,059
Hokkoku Bank, Ltd. 223,000 1,067,827
Hokuetsu Paper Mills, Ltd. 162,000 869,334
Hokugin Financial Group, Inc. 414,000 839,050
House Foods Corp. 117,000 1,505,125
#Hyakugo Bank, Ltd. 258,000 1,534,783
#Hyakujishi Bank, Ltd. 314,000 1,942,853
*Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,167,661
*Itochu Corp. 120,000 492,009
Itoham Foods, Inc. 132,000 591,829
Iyo Bank, Ltd. 204,000 1,369,997
Japan Airport Terminal Co., Ltd. 33,000 296,226
JFE Holdings, Inc. 56,300 1,218,243
Joyo Bank, Ltd. 545,000 2,147,260
#Juroku Bank, Ltd. 349,000 1,475,036
#Kagoshima Bank, Ltd. 132,000 739,936
Kamigumi Co., Ltd. 357,000 2,346,542
Kandenko Co., Ltd. 129,000 683,340
Kansai Paint Co., Ltd., Osaka 131,000 770,757
Katokichi Co., Ltd. 34,500 608,482
#Kawasaki Heavy Industries, Ltd. 910,000 1,359,185
Kikkoman Corp. 259,000 2,087,353
Kinden Corp. 167,000 929,655
Kirin Brewery Co., Ltd. 437,000 4,152,801
#Kissei Pharmaceutical Co., Ltd. 41,000 875,872
Kobe Steel, Ltd. 2,632,000 3,842,186
Koito Manufacturing Co., Ltd. 101,000 701,488
Kokuyo Co., Ltd. 81,200 989,157
Komatsu, Ltd. 1,279,000 7,702,264
Komori Corp. 47,000 692,540
#Koyo Seiko Co. 198,000 2,006,219
Kubota Corp. 140,000 647,773
Kuraray Co., Ltd. 241,000 1,811,296
#Kuraya Sanseido, Inc. 82,600 1,235,988
Kureha Chemical Industry Co., Ltd. 122,000 488,520
KYORIN Pharmaceutical Co., Ltd. 52,000 680,761
#Makita Corp. 209,000 2,933,140
Marubeni Corp. 1,942,000 4,429,099
Marui Co., Ltd. 213,000 2,839,783
#Maruichi Steel Tube, Ltd. 117,000 1,758,628
</Table>
8
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
#Matsushita Electric Industrial Co., Ltd. 1,977,135 $ 27,425,216
Matsushita Electric Works, Ltd. 142,000 1,185,094
#Meiji Seika Kaisha, Ltd. Tokyo 243,000 985,587
#Michinoku Bank, Ltd. 187,000 1,063,990
Millea Holdings, Inc. 46 606,247
Mitsubishi Corp. 40,000 395,191
Mitsubishi Gas Chemical Co., Inc. 305,000 1,146,869
Mitsubishi Heavy Industries, Ltd. 2,128,000 5,567,075
Mitsubishi Logistics Corp. 106,000 924,108
Mitsubishi Materials Corp. 975,000 1,864,568
#*Mitsubishi Motors Corp. 568,000 1,119,876
Mitsui Chemicals, Inc. 239,800 1,163,162
Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 813,477
Mitsui Trust Holdings 641,000 4,266,825
Mitsumi Electric Co., Ltd. 45,800 468,759
Mizuho Holdings, Inc. 1,192 5,120,280
Morinaga Milk Industry Co., Ltd. 160,000 595,510
Musashino Bank, Ltd. 20,000 722,528
Nagase & Co., Ltd. 87,000 723,676
Namco, Ltd. 5,500 138,069
Nanto Bank, Ltd. 317,000 1,448,045
NGK Insulators, Ltd. 216,000 1,536,529
NGK Spark Plug Co., Ltd. 144,000 1,295,677
Nichicon Corp. 51,200 652,234
Nichirei Corp. 180,000 576,526
Nifco, Inc. 37,000 567,717
Nihon Unisys, Ltd. 69,100 512,213
Nippon Broadcasting System, Inc. 20,690 1,011,229
#Nippon Electric Glass Co., Ltd. 72,000 1,543,539
Nippon Kayaku Co., Ltd. 128,000 649,635
Nippon Meat Packers, Inc., Osaka 144,000 1,567,917
Nippon Mining Holdings, Inc. 370,000 1,708,854
Nippon Mitsubishi Oil Corp. 1,871,050 10,633,474
Nippon Paint Co., Ltd. 167,000 606,191
Nippon Sanso Corp. 30,000 137,311
Nippon Sheet Glass Co., Ltd. 280,000 926,729
Nippon Shinpan Co., Ltd. 191,000 651,818
Nippon Shokubai Co., Ltd. 163,000 1,193,958
Nippon Television Network Corp. 9,400 1,447,390
Nipponkoa Insurance Co., Ltd. 45,000 258,828
Nishimatsu Construction Co., Ltd. 364,000 1,236,106
Nishi-Nippon Bank, Ltd. 156,540 704,445
Nissay Dowa General Insurance Co., Ltd. 383,000 1,924,261
Nisshin Seifun Group, Inc. 148,000 1,360,518
Nisshin Steel Co., Ltd. 627,000 1,264,556
Nisshinbo Industries, Inc. 305,000 2,021,246
#*Nissho Iwai-Nichmen Holdings Corp. 130,400 694,507
NSK, Ltd. 319,000 1,443,643
Obayashi Corp. 520,000 2,482,203
Ogaki Kyoritsu Bank, Ltd. 50,000 269,692
Oji Paper Co., Ltd. 275,000 1,749,298
Okumura Corp. 144,000 707,500
Onward Kashiyama Co., Ltd. 100,000 1,612,619
PanaHome Corp. 106,000 570,078
#Pioneer Electronic Corp. 60,000 1,537,866
Promise Co., Ltd. 60,500 3,976,827
Q.P. Corp. 109,600 892,411
#Rengo Co., Ltd. 152,000 683,988
*Resona Holdings, Inc. 1,873,000 $ 3,220,661
San In Godo Bank, Ltd. 110,000 864,336
Santen Pharmaceutical Co., Ltd. 52,000 757,478
#Sanwa Shutter Corp. 101,000 518,071
Sanyo Shinpan Finance Co., Ltd. 19,800 1,086,425
Sapporo Breweries, Ltd. 251,000 815,139
Sapporo Hokuyo Holdings, Inc. 224 1,172,121
Seino Transportation Co., Ltd. 193,000 1,835,299
Sekisui Chemical Co., Ltd. 557,000 4,109,695
Sekisui House, Ltd. 942,000 9,812,478
Seventy-seven (77) Bank, Ltd. 241,000 1,420,528
SFCG Co., Ltd. 8,010 1,404,972
Shiga Bank, Ltd. 272,000 1,349,621
Shikoku Bank, Ltd. 72,000 429,019
Shimachu Co., Ltd. 36,200 902,162
#Shimadzu Corp. 181,000 932,806
Shinko Securities Co., Ltd. 470,000 1,560,982
Shizuoka Bank, Ltd. 473,000 3,854,740
#Softbank Corp. 49,100 1,877,895
Sumitomo Bakelite Co., Ltd. 105,000 698,212
Sumitomo Corp. 471,000 3,633,702
Sumitomo Electric Industries, Ltd. 472,000 4,540,655
Sumitomo Forestry Co., Ltd. 139,000 1,431,249
Sumitomo Metal Industries, Ltd. Osaka 1,481,000 1,661,464
Sumitomo Metal Mining Co., Ltd. 313,000 1,864,367
Sumitomo Osaka Cement Co., Ltd. 269,000 650,652
Sumitomo Realty & Development Co., Ltd. 150,000 1,617,350
Sumitomo Rubber 43,000 357,718
Sumitomo Trust & Banking Co., Ltd. 21,000 129,088
Suruga Bank, Ltd. 87,000 574,425
Suzuken Co., Ltd. 54,000 1,685,214
Taiheiyo Cement Corp. 1,209,800 2,642,448
Taisei Corp. 1,325,000 4,413,188
Taiyo Yuden Co., Ltd. 72,000 1,038,264
Takara Standard Co., Ltd. 118,000 645,570
Takashimaya Co., Ltd. 214,000 2,357,203
#Takefuji Corp. 35,920 2,390,002
TDK Corp. 10,100 709,085
Teijin, Ltd. 893,000 2,884,554
Teikoku Oil Co., Ltd. 346,000 1,766,783
Toda Corp. 203,000 748,487
Toho Bank, Ltd. 254,000 1,010,175
Tokai Tokyo Securities Co., Ltd. 155,000 447,237
Tokuyama Corp. 248,000 1,060,197
Tokyo Broadcasting System, Inc. 113,500 2,013,658
#Tokyo Steel Manufacturing Co., Ltd. 97,800 1,390,966
Tokyo Style Co., Ltd. 133,000 1,504,229
#Tokyo Tatemono Co., Ltd. 143,000 691,014
Toppan Printing Co., Ltd. 441,000 5,366,365
Toray Industries, Inc. 620,000 2,854,071
Toshiba TEC Corp. 181,000 787,527
Tostem Inax Holding Corp. 160,000 3,278,680
Toto, Ltd. 247,000 2,654,223
#Toyo Ink Manufacturing Co., Ltd. 174,000 703,334
Toyo Seikan Kaisha, Ltd. 287,600 4,718,371
Toyo Suisan Kaisha, Ltd. 64,000 773,366
Toyota Auto Body Co., Ltd. 86,000 1,309,569
Toyota Industries Corp. 76,500 1,668,275
#Toyota Tsusho Corp. 314,000 2,881,419
</Table>
9
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
TV Asahi Corp. 202 $ 375,250
UNY Co., Ltd. 133,000 1,642,230
Wacoal Corp. 149,000 1,579,834
#Yamagata Bank, Ltd. 153,700 673,239
Yamaguchi Bank, Ltd. 133,000 1,355,800
Yamanashi Chuo Bank, Ltd. 119,000 588,331
Yamatake Corp. 20,000 194,318
Yamazaki Baking Co., Ltd. 155,000 1,436,047
Yokogawa Electric Corp. 337,000 4,360,631
Yokohama Rubber Co., Ltd. 410,000 1,508,010
York-Benimaru Co., Ltd. 29,300 838,751
----------------
TOTAL COMMON STOCKS
(Cost $411,657,891) 425,533,004
----------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $20,787) 21,114
----------------
TOTAL -- JAPAN
(Cost $411,678,678) 425,554,118
----------------
FRANCE -- (8.5%)
COMMON STOCKS -- (8.5%)
#AGF (Assurances Generales de France SA) 149,122 9,041,456
#Air France 143,423 2,346,271
Air Liquide SA 8,848 1,561,285
Alcan, Inc. 30,183 1,192,724
#*Alcatel SA 195,750 2,820,740
#*Alstom SA 185,169 212,840
Arcelor SA 167,800 2,815,999
AXA 634,106 13,042,808
BNP Paribas SA 549,686 33,602,499
Bongrain SA 7,145 480,617
*Cap Gemini SA 89,951 3,450,082
#*Club Mediterranee SA 8,962 379,658
#Compagnie de Saint-Gobain 288,912 14,553,997
Compagnie Francaise d'Etudes et de Construction Technip SA 10,990 1,480,578
Credit Agricole SA 27,709 681,356
Eiffage SA 6,954 541,060
Esso SA 686 96,312
Euler-Hermes SA 10,354 571,483
*Eurafrance 18,000 1,106,386
#Faurecia SA 30,445 1,973,013
#Fimalac SA 46,887 1,832,765
Fonciere Lyonnaise SA 10,950 471,975
France Telecom SA 188,321 4,550,289
Generale des Establissements Michelin SA Series B 107,620 5,258,360
Havas SA 300,744 1,596,520
Imerys SA 11,000 2,502,481
LaFarge SA 62,037 5,319,155
LaFarge SA Prime Fidelity 82,581 7,154,869
#Lagardere S.C.A. SA 10,900 665,814
*Nexans 9,618 315,866
#Peugeot SA 233,374 13,179,063
#Pinault Printemps Redoute SA 22,619 2,364,871
Rallye SA 18,020 912,719
#Remy Cointreau SA 56,022 $ 1,870,576
Renault SA 121,719 9,070,115
Rexel SA 10,713 442,555
*SA Des Galeries Lafayette 900 174,397
Schneider SA 63,451 4,274,219
*Scor SA 733,800 1,075,223
SEB SA Prime Fidelity 9,900 1,112,224
Societe BIC SA 52,288 2,268,319
#Societe des Ciments de Francais 28,600 2,223,571
Societe Generale, Paris 293,528 24,896,954
#Suez (ex Suez Lyonnaise des Eaux) 296,563 5,775,385
Thomson Multimedia 129,923 2,479,132
Valeo SA 73,528 2,984,104
Vallourec (Usines a Tubes de Lorraine
Escaut et Vallourec Reunies) 4,504 392,968
#*Veolia Environnement SA 25,700 687,796
*Vivendi Universal SA 403,364 10,293,783
----------------
TOTAL COMMON STOCKS
(Cost $136,677,536) 208,097,232
----------------
RIGHTS/WARRANTS -- (0.0%)
*Rallye SA Series B Warrants 11/30/05
(Cost $7,244) 18,020 3,759
----------------
TOTAL FRANCE
(Cost $136,684,780) 208,100,991
----------------
SWITZERLAND -- (6.1%)
COMMON STOCKS -- (6.1%)
*ABB, Ltd. 335,400 1,880,058
#Baloise-Holding 190,560 7,679,424
Bank Sarasin & Cie Series B, Basel 180 255,824
Banque Cantonale Vaudoise 12,608 1,387,080
#Berner Kantonalbank 23,400 2,779,455
*Ciba Spezialitaetenchemie Holding AG 56,300 3,846,625
Cie Financiere Richemont AG Series A 1,251,000 32,223,768
Clariant AG 19,200 265,074
Converium Holding AG 14,400 733,921
*Credit Swisse Group 128,200 4,410,505
*Fischer (Georg) AG, Schaffhausen 1,280 279,066
#Givaudan SA 3,952 2,113,439
#Helvetia Patria Holding 16,301 2,867,348
#Holcim, Ltd. 199,770 10,396,504
#Jelmoli Holding AG 500 625,759
#Luzerner Kantonalbank AG 14,627 2,337,061
#Pargesa Holding SA, Geneve 1,935 5,565,147
#PSP Swiss Property AG 109,600 3,822,181
#Rieters Holdings AG 7,860 1,993,377
Sig Holding AG 44,130 7,549,197
#*Sika Finanz AG, Baar 3,828 1,924,356
#St. Galler Kantonalbank 14,319 2,879,750
#*Swiss Life AG 124,240 15,660,232
Swiss Reinsurance Co., Zurich 18,800 1,167,036
*Syngenta AG 152,500 12,097,295
#*Unaxis Holding AG 45,400 5,141,601
#*Valiant Holding AG 39,295 3,270,942
#Valora Holding AG 12,170 2,881,408
</Table>
10
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*Zurich Financial SVCS AG 67,906 $ 10,684,280
----------------
TOTAL COMMON STOCKS
(Cost $107,900,215) 148,717,713
----------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $1,007,353) 1,035,109
----------------
TOTAL SWITZERLAND
(Cost $108,907,568) 149,752,822
----------------
GERMANY -- (5.4%)
COMMON STOCKS -- (5.4%)
#Aachener und Muenchener
Beteiligungs AG 32,773 2,365,409
#Aareal Bank AG 22,825 773,722
Allianz AG 5,000 522,715
*Bankgesellschaft Berlin AG 233,550 569,824
BASF AG 386,050 19,783,712
Bayer AG 280,139 8,022,055
*Bayerische Vereinsbank AG 485,020 8,193,305
#BHW Holding AG 34,600 540,214
#Bilfinger & Berger Bau AG 23,702 779,430
Commerzbank AG 408,050 6,665,331
#DaimlerChrysler AG 219,282 9,759,496
#Deutsche Bank AG 359,305 28,283,407
Deutsche Lufthansa AG 319,477 4,587,451
E.ON AG 7,600 529,503
*Fraport AG 63,708 1,842,234
#Fresenius Medical Care AG 27,600 2,041,697
#*Heidelberger Druckmaschinen AG 38,167 1,209,797
Heidelberger Zement AG 64,373 2,835,953
#Hochtief AG 56,150 1,232,333
*Hypo Real Estate Holding AG 84,277 2,369,101
#IVG Immobilien AG 30,276 349,823
#Karstadt Quelle AG 30,734 634,785
#Linde AG 77,043 3,989,632
#MAN AG 88,000 3,250,554
Merck KGAA 36,000 2,007,356
MG Technologies AG 135,773 1,766,950
#Preussag AG 115,227 2,236,610
Salzgitter AG 13,041 154,880
SCA Hygiene Products AG 3,550 1,300,620
ThyssenKrupp AG 290,691 4,862,280
*Vattenfall Europe AG 94,898 2,955,912
Volkswagen AG 120,547 5,280,608
----------------
TOTAL -- GERMANY
(Cost $125,815,346) 131,696,699
----------------
AUSTRALIA -- (3.8%)
COMMON STOCKS -- (3.8%)
Amcor, Ltd. 126,820 587,802
AMP Limited 1,026,451 4,079,874
Ansell, Ltd. 303,463 1,708,852
APN News & Media, Ltd. 486,363 1,418,593
AWB, Ltd. 345,296 1,207,045
AXA Asia Pacific Holdings, Ltd. 2,837,724 6,872,505
BHP Steel Ltd 1,252,100 5,536,152
Boral, Ltd. 899,150 3,760,136
Caltex Australia, Ltd. 440,369 2,714,191
Commonwealth Bank of Australia 48,696 $ 1,140,569
CSR, Ltd. 1,514,337 2,084,174
Downer Group, Ltd. 216,113 484,787
Futuris Corp., Ltd. 456,719 505,165
Insurance Australiz Group, Ltd. 1,428,272 4,641,130
#Lend Lease Corp., Ltd. 568,460 4,073,668
Lion Nathan, Ltd. 871,345 4,102,395
Mayne Group, Ltd. 1,280,958 2,736,434
Mirvac, Ltd. 1,140,163 3,452,949
Onesteel, Ltd. 436,697 700,279
Orica, Ltd. 352,900 3,685,332
Origin Energy, Ltd. 686,245 2,582,446
Paperlinx, Ltd. 727,704 2,526,782
Publishing and Broadcasting, Ltd. 579,260 5,098,686
#Quantas Airways, Ltd. 3,042,351 7,448,311
Rinker Group, Ltd. 1,155,484 6,177,109
Santos, Ltd. 953,246 4,610,445
#Seven Network, Ltd. 383,865 1,396,206
*Southcorp, Ltd. 1,146,542 2,585,702
*Stockland Trust Group 735 2,743
Stockland Trust Group 21,349 80,393
WMC Resources, Ltd. 1,760,061 5,798,458
----------------
TOTAL COMMON STOCKS
(Cost $64,985,485) 93,799,313
----------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $23,400) 21,915
----------------
TOTAL AUSTRALIA
(Cost $65,008,885) 93,821,228
----------------
NETHERLANDS -- (3.8%)
COMMON STOCKS -- (3.8%)
ABN-AMRO Holding NV 676,189 14,402,913
Aegon NV 822,637 9,934,972
*Air France 18,150 294,780
AM NV 61,661 541,577
Buhrmann NV 94,439 899,882
DSM NV 78,837 3,893,093
#*Hagemeyer NV 342,825 734,022
*Hunter Douglas NV 34,696 1,617,050
ING Groep NV 1,552,333 35,065,385
*Koninklijke Ahold NV 411,500 3,219,002
Koninklijke KPN NV 278,922 2,028,813
Koninklijke Nedlloyd NV 12,142 370,285
Koninklijke Philips Electronics NV 405,906 11,086,373
New Skies Satellites NV 52,400 424,180
Nutreco Holding NV 23,646 726,902
NV Holdingsmij de Telegraaf 6,800 150,573
Oce NV 60,734 903,874
Vedior NV 46,388 691,658
*Versatel Telecom International NV 323,150 644,450
VNU NV 168,736 4,968,415
----------------
TOTAL COMMON STOCKS
(Cost $60,608,176) 92,598,199
----------------
RIGHTS/WARRANTS -- (0.0%)
*Air France Warrants 11/06/07 16,500 20,753
*AM NV Coupons 06/04/04 61,661 0
</Table>
11
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*ING Groep NV Coupons 06/17/05 1,552,333 $ 0
----------------
TOTAL RIGHTS/WARRANTS
(Cost $21,343) 20,753
----------------
TOTAL NETHERLANDS
(Cost $60,629,519) 92,618,952
----------------
SPAIN -- (3.0%)
COMMON STOCKS -- (3.0%)
#Acerinox SA 65,340 3,580,706
#Arcelor SA 30,000 503,953
Autopistas Concesionaria Espanola SA 905,074 15,258,004
Banco de Andalucia 900 79,548
Banco de Sabadell SA 154,021 3,170,801
#Banco Pastor SA 59,400 1,762,479
Cementos Portland SA 21,016 1,260,678
Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 1,667,765
Ebro Puleva SA 116,168 1,416,324
Endesa SA, Madrid 308,964 5,703,723
#Gas Natural SA, Buenos Aires 21,400 511,286
#Iberdrola SA 535,000 10,793,336
#Iberia Lineas Aereas de Espana SA 617,500 1,773,522
Inmobiliaria Colonial SA ICSA 41,300 1,001,296
#Inmobiliaria Urbis SA 96,328 1,065,716
#Metrovacesa SA 109,351 4,190,161
Repsol SA 496,967 10,514,033
Sociedad General de Aguas de Barcelona SA 107,683 1,793,055
*Sociedad General de Aguas de Barcelona SA 737 12,366
#Sol Melia SA 142,463 1,226,953
Union Fenosa SA 230,000 4,906,580
#Vallehermoso SA 45,000 662,610
----------------
TOTAL SPAIN
(Cost $44,543,185) 72,854,895
----------------
ITALY -- (2.9%)
COMMON STOCKS -- (2.9%)
#*Alitalia Linee Aeree Italiane SpA Series A 6,690,000 1,916,746
*Banca Antoniana Popolare Veneta SpA 83,000 1,655,360
Banca Monte Dei Paschi di Siena SpA 1,623,479 5,035,105
*Banca Nazionale del Lavoro SpA 1,652,352 3,462,165
#Banca Popolare di Lodi Scarl 374,206 3,428,369
#Banca Popolare di Milano 665,400 3,915,990
Banca Popolare Rights 57,990 531,109
#Benetton Group SpA 181,249 2,052,994
Buzzi Unicem SpA 67,793 891,483
#Caltagirone Editore SpA 222,304 1,692,017
Capitalia SpA 2,910,876 8,603,926
CIR SpA (Cie Industriale Riunite), Torino 500,000 1,017,041
#Compagnia Assicuratrice Unipol SpA 452,120 1,764,618
#*E.Biscom SpA 16,000 930,834
#*Edison SpA 899,081 1,557,540
Erg SpA 295,000 1,855,359
Ericsson SpA 20,069 796,765
#*Fiat SpA 1,054,970 $ 7,472,748
#*IFIL Finanziaria Partecipazioni SpA 1,368,874 4,849,708
#Italcementi SpA 444,060 5,556,122
#Italmobiliare SpA, Milano 33,664 1,572,078
Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 63,806
Milano Assicurazioni SpA 182,000 685,056
#Pirelli & Co. SpA 1,486,658 1,525,436
#SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 3,728,705
San Paolo-IMI SpA 121,701 1,393,518
#Societe Cattolica di Assicurazoni Scarl SpA 8,800 341,886
#Telecom Italia SpA 1,209,533 3,709,241
----------------
TOTAL COMMON STOCKS
(Cost $77,211,453) 72,005,725
----------------
RIGHTS/WARRANTS -- (0.0%)
*Fiat SpA Warrants 01/31/07
(Cost $0) 51,693 11,459
----------------
TOTAL ITALY
(Cost $77,211,453) 72,017,184
----------------
SWEDEN -- (2.2%)
COMMON STOCKS -- (2.2%)
*Ainax AB 40,367 1,133,020
#*Bostads AB Drott 28,050 504,168
Carbo AB 2,900 71,692
Castellum AB 4,100 96,709
#*Drott Series AB 131,600 1,840,563
Gambro AB Series A 451,900 4,076,681
Gambro AB Series B 129,800 1,153,281
Holmen AB Series A 6,300 189,771
Holmen AB Series B 120,100 3,442,765
NCC AB Series B 59,700 504,412
Nordic Baltic Holdings AB 372,600 2,524,914
Skandinaviska Enskilda Banken Series A 196,000 2,826,139
Skandinaviska Enskilda Banken Series C 9,800 137,446
SSAB Swedish Steel Series A 121,600 2,034,049
SSAB Swedish Steel Series B 37,700 610,193
Svenska Cellulosa AB Series A 19,000 735,884
Svenska Cellulosa AB Series B 194,900 7,552,395
Svenska Kullagerfabriken AB Series A 22,650 819,199
Svenska Kullagerfabriken AB Series B 29,700 1,083,585
#Telia AB 255,500 1,080,122
Trelleborg AB Series B 103,600 1,877,706
#Volvo AB Series A 212,100 6,614,231
#Volvo AB Series B 413,600 13,520,720
Whilborg Fastigheter AB Class B 35,800 466,127
----------------
TOTAL SWEDEN
(Cost $42,136,221) 54,895,772
----------------
FINLAND -- (1.5%)
COMMON STOCKS -- (1.5%)
Fortum Oyj 1,071,385 12,579,654
Huhtamaki Van Leer Oyj 2,300 30,179
</Table>
12
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
#Kemira Oyj 101,377 $ 1,280,469
Kesko Oyj 157,000 3,090,975
Metso Oyj 219,166 2,684,084
M-real Oyj Series B 253,400 2,156,183
Okobank Class A 65,000 646,379
Outokumpu Oyj Series A 351,300 5,322,314
Rautaruukki Oyj Series K 12,900 96,037
Stora Enso Oyj Series R 595,800 7,722,494
Upm-Kymmene Oyj 83,100 1,492,540
Wartsila Corp. Oyj Series B 39,600 808,722
----------------
TOTAL -- FINLAND
(Cost $24,875,652) 37,910,030
----------------
HONG KONG -- (1.5%)
COMMON STOCKS -- (1.5%)
Cheung Kong Holdings, Ltd. 162,000 1,216,764
China Overseas Land & Investment, Ltd. 1,864,000 305,826
China Travel International Investment, Ltd. 680,000 119,479
#Chinese Estates Holdings, Ltd. 44,000 23,378
Great Eagle Holdings, Ltd. 94,000 146,264
#Hang Lung Development Co., Ltd. 1,765,000 2,400,392
Hang Lung Properties, Ltd. 624,500 812,550
Henderson Land Development Co., Ltd. 123,000 529,967
Hong Kong and Shanghai Hotels, Ltd. 225,500 130,054
Hopewell Holdings, Ltd. 906,000 1,575,933
Hutchison Whampoa, Ltd. 217,000 1,467,269
Hysan Development Co., Ltd. 1,434,699 2,309,173
I-Cable Communications, Ltd. 325,121 124,918
#Kerry Properties, Ltd. 1,610,884 2,606,259
New Asia Realty & Trust Co., Ltd. 140,000 52,872
New World Development Co., Ltd. 1,269,649 984,974
Shanghai Industrial Holdings Ltd. 545,000 1,010,000
#Shangri-La Asia, Ltd. 3,149,482 3,093,937
Shun Tak Holdings, Ltd. 134,000 54,545
#Sino Land Co., Ltd. 6,239,407 3,638,909
Tsim Sha Tsui Properties, Ltd. 472,000 575,844
Wharf Holdings, Ltd. 3,251,214 9,164,226
Wheelock and Co., Ltd. 3,128,000 3,748,765
----------------
TOTAL COMMON STOCKS
(Cost $41,233,673) 36,092,298
----------------
RIGHTS/WARRANTS -- (0.0%)
*China Travel International Investment, Ltd. Warrants 05/31/06
(Cost $0) 136,000 0
----------------
TOTAL -- HONG KONG
(Cost $41,233,673) 36,092,298
----------------
IRELAND -- (1.1%)
COMMON STOCKS -- (1.1%)
Allied Irish Banks P.L.C. 141,102 1,998,999
Bank of Ireland P.L.C. 99,637 1,179,578
CRH P.L.C. 279,359 5,933,437
*Elan Corp. P.L.C. 690,634 16,309,681
Irish Permanent P.L.C. 186,115 $ 2,800,171
----------------
TOTAL -- IRELAND
(Cost $12,849,099) 28,221,866
----------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
Ackermans & Van Haaren SA 4,187 99,981
#Algemene Mij Voor Nijverheidskredit Almanij 74,928 4,545,058
#Banque Nationale de Belgique 1,049 3,583,170
Bekaert SA 2,787 161,051
Cofinimmo SA 1,108 142,068
#*Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 88,564 4,140,848
#Dexia SA 87,003 1,456,158
D'Ieteren SA 431 85,797
Groupe Bruxelles Lambert 55,500 3,428,987
*ING Bank Belgium NV 128 4
Nationale a Portefeuille 4,029 568,411
Sofina SA 10,500 529,160
#Suez (ex Suez Lyonnaise des Eaux) 95,400 1,850,319
#Tessenderlo Chemie 31,155 1,090,587
#*Umicore-Strip VVPR 2,009 367
Union Miniere SA 54,327 3,298,083
----------------
TOTAL COMMON STOCKS
(Cost $21,735,276) 24,980,049
----------------
RIGHTS/WARRANTS -- (0.0%)
*Cofinimmo SA Rights 06/11/04
(Cost $0) 1,108 0
----------------
TOTAL -- BELGIUM
(Cost $21,735,276) 24,980,049
----------------
DENMARK -- (0.9%)
COMMON STOCKS -- (0.9%)
Carlsberg A.S. Series B 32,525 1,591,566
Codan A.S. 28,400 1,190,252
Danisco A.S. 29,530 1,399,523
Danske Bank A.S. 395,753 8,998,165
*Jyske Bank A.S. 22,300 1,175,746
Nordea AB 475,918 3,245,559
Rockwool, Ltd. 6,850 281,287
Tele Danmark A.S. 99,350 3,351,691
----------------
TOTAL -- DENMARK
(Cost $14,826,540) 21,233,789
----------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
DBS Group Holdings, Ltd. 357,000 2,954,705
Fraser & Neave, Ltd. 507,290 4,023,360
Haw Par Brothers International, Ltd. 2,698 7,409
Keppel Corp., Ltd. 855,000 3,343,117
#Neptune Orient Lines, Ltd. 801,000 1,009,059
Overseas Chinese Banking Corp., Ltd. 94,000 662,427
Sembcorp Industries, Ltd. 400,000 338,608
Singapore Airlines, Ltd. 617,000 3,810,654
Singapore Land, Ltd. 133,000 301,943
United Overseas Bank, Ltd. 66,000 503,724
</Table>
13
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
#United Overseas Land, Ltd. 259,000 $ 344,575
----------------
TOTAL COMMON STOCKS
(Cost $13,210,685) 17,299,581
----------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $7,704) 7,821
----------------
TOTAL -- SINGAPORE
(Cost $13,218,389) 17,307,402
----------------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
*Aker Kvaerner ASA 46,100 736,061
Den Norske Bank ASA Series A 606,394 3,847,441
Norsk Hydro ASA 16,700 1,036,330
Norske Skogindustrier ASA Series A 163,300 2,722,389
#Storebrand ASA 201,500 1,353,445
*Yara International ASA 16,700 123,919
----------------
TOTAL -- NORWAY
(Cost $8,187,301) 9,819,585
----------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
*Agricultural Bank of Greece S.A. 123,600 860,524
Alpha Credit Bank 35,040 916,728
Bank of Greece 8,520 900,526
Bank of Piraeus S.A. 4,600 53,590
Commercial Bank of Greece 44,760 1,185,010
EFG Eurobank Ergasias S.A. 60,097 1,337,660
Hellenic Petroleum S.A. 159,140 1,216,321
Hellenic Tellecommunication Organization Co. S.A. 140,460 1,845,612
Intracom S.A. 92,390 464,799
National Bank of Greece 15,520 467,402
----------------
TOTAL -- GREECE
(Cost $7,870,638) 9,248,172
----------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Comercial Portugues SA 195,400 452,850
BPI SGPS SA 202,800 739,958
Cimpor Cimentos de Portugal SA 503,265 2,640,397
Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,429,895
----------------
TOTAL -- PORTUGAL
(Cost $5,351,923) 6,263,100
----------------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
Bohler Uddeholm AG 6,402 488,199
OMV AG 5,913 1,036,949
Voestalpine AG 62,211 2,775,952
Wienerberger AG 16,123 546,392
----------------
TOTAL -- AUSTRIA
(Cost $3,477,881) 4,847,492
----------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 99,828 $ 421,080
Carter Holt Harvey, Ltd. 2,429,700 2,991,974
Fletcher Building, Ltd. 171,130 474,829
----------------
TOTAL COMMON STOCKS
(Cost $3,707,347) 3,887,883
----------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $6,846) 6,639
----------------
TOTAL NEW ZEALAND
(Cost $3,714,193) 3,894,522
----------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
*Rekapacific Berhad 691,000 0
----------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency
(Cost $881,605) 886,023
----------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (19.3%)
Repurchase Agreement, PNC Capital Markets, Inc.
0.89%, 06/01/04 (Collateralized by $31,615,000 FMC
Discount Notes 1.13%, 08/12/04, valued at $31,535,963)
to be repurchased at $31,071,072
(Cost $31,068,000) $ 31,068 31,068,000
Repurchase Agreement, Deutsche
Bank Securities 1.00%, 06/01/04 (Collateralized by
$534,822,356 U.S. Treasury Obligations rates ranging
from 7.50% to 8.75%, maturities ranging from 11/15/16 to
08/15/20, valued at $660,863,438) to be repurchased at
$442,051,058
(Cost $442,001,947)^ 442,002 442,001,947
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $473,069,947) 473,069,947
----------------
TOTAL INVESTMENTS-- (100.0%)
(Cost $2,082,684,554)++ $ 2,449,898,522
================
</Table>
- ----------
+ See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
^ Security purchased with cash proceeds from securities on loan.
++ The cost for federal income tax purposes is $2,082,875,007.
See accompanying Notes to Financial Statements.
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $419,174 of securities on loan) $ 2,449,899
Cash 15
Receivables:
Investment Securities Sold 3,463
Dividends, Interest and Tax Reclaims 8,315
Fund Shares Sold 812
Securities Lending Income 371
Prepaid Expenses and Other Assets 13
--------------
Total Assets 2,462,888
--------------
LIABILITIES:
Payables:
Collateral on Securities Loaned 442,002
Investment Securities Purchased 3,476
Fund Shares Redeemed 335
Due to Advisor 324
Accrued Expenses and Other Liabilities 219
--------------
Total Liabilities 446,356
--------------
NET ASSETS $ 2,016,532
==============
SHARES OUTSTANDING, $.01 PAR VALUE
(Unlimited Number of Shares Authorized) 144,560,171
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 13.95
==============
Investments at Cost $ 2,082,685
==============
NET ASSETS CONSIST OF:
Paid-in Capital $ 1,583,131
Accumulated Net Investment Income (Loss) 19,141
Accumulated Net Realized Gain (Loss) 47,022
Accumulated Net Realized Foreign Exchange Gain (Loss) 4
Unrealized Appreciation (Depreciation) from Investment Securities and
Foreign Currency 367,214
Unrealized Net Foreign Exchange Gain (Loss) 20
--------------
Total Net Assets $ 2,016,532
==============
</Table>
See accompanying Notes to Financial Statements.
15
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2004
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $3,065) $ 27,015
Interest 115
Income from Securities Lending 1,369
--------------
Total Investment Income 28,499
--------------
EXPENSES
Investment Advisory Services 1,881
Accounting & Transfer Agent Fees 483
Custodian Fees 290
Legal Fees 6
Audit Fees 7
Shareholders' Reports 11
Trustees' Fees and Expenses 4
Other 27
--------------
Total Expenses 2,709
--------------
NET INVESTMENT INCOME (LOSS) 25,790
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 50,698
Net Realized Gain (Loss) on Foreign Currency Transactions 4
Change in Unrealized Appreciation (Depreciation) of Investment
Securities and Foreign Currency 134,458
Translation of Foreign Currency Denominated Amounts (180)
--------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 184,980
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 210,770
==============
</Table>
See accompanying Notes to Financial Statements.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31 NOV. 30,
2004 2003
-------------- --------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 25,790 $ 31,730
Net Realized Gain (Loss) on Investment Securities Sold 50,698 (3,540)
Net Realized Gain (Loss) on Foreign Currency Transactions 4 205
Change in Unrealized Appreciation (Depreciation) of Investment
Securities and Foreign Currency 134,458 379,196
Translation of Foreign Currency Denominated Amounts (180) 114
-------------- --------------
Net Increase (Decrease) in Net Assets Resulting from Operations 210,770 407,705
-------------- --------------
Distributions From:
Net Investment Income (7,625) (30,082)
Net Short-Term Gains -- --
Net Long-Term Gains -- (1,177)
-------------- --------------
Total Distributions (7,625) (31,259
-------------- --------------
Capital Share Transactions (1):
Shares Issued 292,065 542,740
Shares Issued in Lieu of Cash Distributions 7,625 31,258
Shares Redeemed (91,081) (471,133)
-------------- --------------
Net Increase (Decrease) from Capital Share Transactions 208,609 102,865
-------------- --------------
Total Increase (Decrease) 411,754 479,311
-------------- --------------
NET ASSETS
Beginning of Period 1,604,778 1,125,467
-------------- --------------
End of Period $ 2,016,532 $ 1,604,778
============== ==============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 21,290 53,795
Shares Issued in Lieu of Cash Distributions 583 2,986
Shares Redeemed (6,742) (47,941)
-------------- --------------
15,131 8,840
============== ==============
</Table>
See accompanying Notes to Financial Statements.
17
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000 1999
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18 $ 11.95
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.18 0.27 0.24 0.27 0.27 0.28
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.43 3.06 (0.78) (1.49) (0.31) 1.29
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations 1.61 3.33 (0.54) (1.22) (0.04) 1.57
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income (0.06) (0.25) (0.25) (0.27) (0.26) (0.31)
Net Realized Gains -- (0.01) (0.03) (0.43) (0.81)) (0.03)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.06) (0.26) (0.28) (0.70) (1.07) (0.34)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 13.95 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18
=========== =========== =========== =========== =========== ===========
Total Return 13.00%# 36.24% (5.53)% (10.75)% (0.51)% 13.27%
Net Assets, End of Period (thousands) $ 2,016,532 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481 $ 1,660,377
Ratio of Expenses to Average Net Assets 0.29%* 0.30% 0.30% 0.29% 0.29% 0.29%
Ratio of Net Investment Income to
Average Net Assets 2.74%* 2.61% 2.36% 2.32% 2.13% 2.17%
Portfolio Turnover Rate 5%# 14% 18% 6% 9% 6%
</Table>
- ----------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
18
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The DFA International Value Series
(the "Series") is 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. 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: Securities held by the Series which are listed on a
securities exchange are valued at the last quoted sale price. Price information
on listed securities is taken from the exchange where the security is primarily
traded. Unlisted securities for which market quotations are readily available
are valued at the mean between the quoted bid and asked prices. Securities for
which quotations are not readily available, or for which market quotations have
become unreliable, are valued in good faith at fair value using methods approved
by the Board of Trustees.
The Series will also apply a fair value price in the circumstances
described below. Generally, trading in foreign securities markets is completed
each day at various times prior to the close of the New York Stock Exchange
(NYSE). For example, trading in the Japanese securities markets is completed
each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT),
which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT)
and the time that the net asset values of the Series is computed. Due to the
time differences between the closings of the relevant foreign securities
exchanges and the time the Series prices its shares at the close of the NYSE,
the Series will fair value its foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the Series'
foreign investments since the last closing prices of the foreign investments
were calculated on their primary foreign securities markets or exchanges. For
these purposes, the Board of Trustees of the Trust has determined that movements
in relevant indices or other appropriate market indicators, after the close of
the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable, and may trigger fair value pricing. Consequently,
fair valuation of portfolio securities may occur on a daily basis. The fair
value pricing by the Trust utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values of
foreign investments). The fair value prices of portfolio securities generally
will be used when it is determined that the use of such prices will have a
material impact on the net asset value of a Series. When a Series uses fair
value pricing, the values assigned to the Series' foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges.
19
<Page>
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates. Exchange gains or losses
are realized upon ultimate receipt or disbursement.
The Series does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest
dividends and foreign withholding taxes recorded on the books of the Series and
the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Trustees' Fees and
Expenses. At May 31, 2004, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities in the amount of
$26,286.
4. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 28, 2004.
5. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Series may be
inhibited.
6. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Trustees, generally based on average net
assets.
The Series may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers exiting or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Series accrue
such taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income, capital
or the proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.
20
<Page>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2004, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of average daily net
assets.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2004, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 315,813
Sales 92,912
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2004.
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series intends
to continue to qualify as a regulated investment company under Subchapter M of
the Internal Revenue Code and distribute substantially all of its taxable income
and capital gains to shareholders. Because income tax regulations differ from
accounting principles generally accepted in the United States of America, the
timing and character of income and capital gain distributions determined in
accordance with tax regulations can differ from income and capital gains
recognized for financial reporting purposes. Accordingly, the character of
distributions and the composition of net assets for tax purposes can differ from
those reflected in the financial statements. These book/tax differences may be
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid in capital, accumulated net realized gain
(loss) or undistributed net investment income as appropriate, in the period the
differences arise. These reclassifications have no effect on net assets or net
asset value per share.
The components of distributable earnings on a tax basis do not differ
materially from book basis distributable earnings, which are disclosed in the
Statement of Assets and Liabilities.
At May 31, 2004, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies was
as follows (amounts in thousands):
<Table>
Gross Unrealized Appreciation $ 474,540
Gross Unrealized Depreciation (107,516)
-----------
Net $ 367,024
===========
</Table>
For federal income tax purposes, the Trust measures its capital loss
carryfowards annually at November 30, its fiscal year end. As of November 30,
2003, the Series had a capital loss carryforward of approximately $3,507,000
which expires on November 30, 2011.
Certain of the DFA International Value Series' investments are in
securities considered to be "passive foreign investment companies", for which
any unrealized appreciation (depreciation) (mark to market) and/or realized
gains are required to be included in distributable net investment income for tax
purposes. At November 30, 2003, The Series had unrealized
appreciation/depreciation (mark to market) and realized gains on the sale of
passive foreign investment companies of $3,502,361 and $7,718,955 respectively,
which are included in distributable net investment income for tax purposes,
accordingly, such gains have been reclassified from accumulated net realized
gains to accumulated net investment income.
21
<Page>
F. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2003
with its domestic custodian bank. Each series is permitted to borrow, subject to
its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each series is individually, and not jointly liable
for its particular advances under the line of credit. There is no commitment fee
on the unused portion of the line of credit, since this is not a committed
facility. The agreement for the discretionary line of credit may be terminated
at any time. There were no borrowings by the Series under the line of credit for
the six months ended May 31, 2004.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
2004 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. There is no commitment fee on
the unused line of credit. The agreement for the line of credit expires in April
2005. There were no borrowings by the Series under the line of credit during the
six months ended May 31, 2004.
G. SECURITIES LENDING:
As of May 31, 2004, some of the Series' 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.
Cash collateral of each Portfolio received from securities on loan is
invested along with cash collateral from the other Portfolios of the Series in
repurchase agreements collateralized by U.S. government securities. These
investments are accounted for separately for each Portfolio. Securities pledged
as collateral for the repurchase agreements are held by a custodian bank until
the agreements mature.
22
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the non-Feeder
Portfolios and Master Funds use in voting proxies relating to securities held in
their portfolio's is available without charge, upon request, by calling collect:
(310) 395-8005. Information regarding how the Advisor votes these proxies will
become available from the EDGARdatabase on the SEC's website at
http://www.sec.gov no later than August 31, 2004 when the Funds file their first
report on Form N-PX and will reflect the twelve-month period beginning July 1,
2003 and ending June 30, 2004.
23
<Page>
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant.
<Page>
ITEM 6. SCHEDULE OF INVESTMENTS.
This item is not applicable. This item is applicable only for periods ending on
or after July 9, 2004.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 10. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this Form
N-CSR (the "Report"), the Registrant's Principal Executive Officer and
Principal Financial Officer believe that the disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act
of 1940, as amended) are effectively designed to ensure that information
required to be disclosed by the Registrant in the Report is recorded,
processed, summarized and reported by the filing date, including
ensuring that information required to be disclosed in the Report is
accumulated and communicated to the Registrant's officers that are
making certifications in the Report, as appropriate, to allow timely
decisions regarding required disclosure. The Registrant's management,
including the Principal Executive Officer and the Principal Financial
Officer, recognizes that any set of controls and procedures, no matter
how well designed and operated, can provide only reasonable assurance of
achieving the desired control objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act)
that occurred during the Registrant's last fiscal half-year that have
materially affected, or are reasonably likely to materially affect, the
Registrant's internal control over financial reporting.
ITEM 11. EXHIBITS.
(a) This item is not applicable.
(b) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
are filed herewith.
(c) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
are filed herewith.
<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.
Dimensional Investment Group Inc.
By: /s/ David G. Booth
----------------------------------
David G. Booth
Chairman, Director, President,
Chief Executive Officer and Chief Investment Officer
Date: August 6, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ David G. Booth
----------------------------------
David G. Booth
Principal Executive Officer
Dimensional Investment Group Inc.
Date: August 6, 2004
By: /s/ Michael T. Scardina
----------------------------------
Michael T. Scardina
Principal Financial Officer
Dimensional Investment Group Inc.
Date: August 6, 2004